LongTermTrend_V1479

ARCHIVEDhybrid

llmAdded trend and volatility regime gates (only UPTREND and LOW/MEDIUM volatility, bubble NORMAL); simplified and diversified entry to require price above SMAs or rising 200SMA + modest 20d momentum (>3%); added a volatility cap (vol_pctile < 0.8) to avoid high-vol regimes; strengthened exits to include a tighter stop (-8% 20d), a drawdown-based stop (12%), and SMA50 breakdown; introduced position scaling rules to increase size on low-vol breakout momentum and otherwise reduce base position to 0.8 to lower risk.

Fitness

0.0790

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

LongTermTrend_V1159S1159 · gen 53ELITEllm

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1479  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and close > sma_200) or (close > sma_200 and sma_200_slope > 0.0)) and ret_20d > 0.03 and cumret_252d > -0.1997 and vol_pctile < 0.8):
    position = 0.8
if long and (ret_20d < -0.08 or drawdown > 0.12 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.2%	-7.2%	2.3%	-1.6%
Total Return	-9.5%	-20.1%	9.1%	-21.1%
Sharpe	-0.04	-0.39	0.23	-0.05
Sortino	-0.02	-0.18	0.10	-0.02
Calmar	-0.04	-0.15	0.11	-0.03
Volatility	12.2%	15.8%	15.4%	13.8%
Max DD	-34.4%	-46.9%	-21.9%	-46.9%
Win Rate	38.1%	20.0%	53.8%	38.6%
Avg Win	5.7%	19.0%	7.5%	8.0%
Avg Loss	-4.0%	-6.5%	-6.5%	-5.3%
Payoff	1.42	2.90	1.15	1.50
Expectancy	-0.3%	-1.4%	1.0%	-0.2%
Profit Factor	0.87	0.73	1.34	0.95
Trades	21	10	13	44
Avg Holding Days	15.1	11.3	8.2	12.2
Turnover	4.2	5.3	5.5	4.8
Exposure	11.8%	10.9%	7.9%	10.6%

Growth of $100

LongTermTrend_V1479 vs TSLA Buy & Hold

LongTermTrend_V1479 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	-7.5%	-0.83	-12.6%	3
2017	9.7%	2.04	-0.9%	2
2018	-18.1%	-1.73	-18.0%	3
2019	4.6%	0.58	-7.1%	2
2020	0.0%	0.00	0.0%	0
2021	13.7%	0.69	-24.5%	4
2022	-29.8%	-2.13	-31.8%	6

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	278	0.0%	0.00	0%
hidden test	EXPENSIVE	83	34.0%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-19.2%	-1.20	1%
hidden test	LOW VOLATILITY	443	9.1%	0.70	11%
hidden test	MEDIUM VOLATILITY	250	16.7%	0.90	10%
hidden test	NORMAL	816	0.6%	0.04	9%
hidden test	SIDEWAYS	298	-10.9%	-1.02	1%
hidden test	UPTREND	371	17.7%	0.78	19%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.2%	-0.21	0%
train	LOW VOLATILITY	745	11.1%	0.76	26%
train	MEDIUM VOLATILITY	568	-13.8%	-1.26	7%
train	NORMAL	1,601	-2.0%	-0.15	15%
train	SIDEWAYS	592	-7.3%	-1.28	1%
train	UPTREND	902	3.7%	0.21	26%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-6.5%	-0.66	1%
validation	LOW VOLATILITY	183	10.3%	0.75	27%
validation	MEDIUM VOLATILITY	315	-15.5%	-0.77	10%
validation	NORMAL	474	-9.9%	-0.50	17%
validation	SIDEWAYS	206	-27.8%	-2.08	2%
validation	UPTREND	425	2.4%	0.13	18%

Trades (full period)

44 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.30%	2
2025-12-12	2026-01-05	$458.96	$451.67	-1.67%	15
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-09-04	2025-09-05	$338.53	$350.84	0.90%	2
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-10-03	2024-10-14	$240.66	$219.16	-10.21%	8
2024-09-23	2024-09-27	$250.00	$260.46	5.19%	5
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2024-01-03	2024-01-10	$238.45	$233.94	-4.50%	6
2023-06-02	2023-08-03	$213.97	$259.32	17.82%	43
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-09-12	2022-09-14	$304.42	$302.61	-2.16%	3
2022-08-16	2022-08-22	$306.56	$289.91	-3.44%	5
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2022-01-12	2022-01-13	$368.74	$343.85	2.98%	2
2021-12-09	2021-12-14	$334.60	$319.50	-7.85%	4
2021-11-23	2021-12-03	$369.68	$338.32	-5.13%	8
2021-08-24	2021-11-10	$236.16	$355.98	34.93%	56
2021-08-05	2021-08-23	$238.21	$235.43	-3.57%	13
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2019-10-21	2019-10-22	$16.90	$17.04	-1.23%	2
2018-11-27	2018-12-21	$22.93	$21.32	-7.21%	18
2018-02-08	2018-02-09	$21.02	$20.69	-7.06%	2
2018-02-01	2018-02-06	$23.28	$22.26	-4.95%	4
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-29	$15.30	$14.35	-3.63%	25
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-05-04	$17.03	$14.84	-4.86%	22
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-05-11	2015-07-28	$15.97	$17.65	5.51%	55
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-06-23	2014-09-23	$15.81	$16.69	7.19%	65
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-15	2013-02-22	$2.47	$2.41	-6.61%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-18	2013-01-14	$2.31	$2.22	-3.60%	18
2012-11-23	2012-12-14	$2.14	$2.25	2.68%	16
2012-02-23	2012-04-10	$2.30	$2.16	-2.46%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2