Strategy Zoo / S1480
LongTermTrend_V1480
ARCHIVEDhybridllmReplaced redundant ret_20d checks with a clearer trend+momentum gate: require price above sma_50 OR modest 20d return; add sma_50_slope, macd_hist and RSI confirmation; tighten long-term drawdown filter (cumret_252d > -0.15) and require not too far below sma_20; add multi-condition exit (softer 20d stop, MACD negative, or drop below sma_50) to reduce large drawdowns; restrict regimes to UPTREND and avoid HIGH_VOLATILITY; reduce base_position to 0.8 to lower risk.
Fitness
0.4150
Generation
68
Complexity
17
Created
2026-10-13
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1480 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (((close > sma_50 and sma_50_slope > 0.0001) or ret_20d > 0.03) and cumret_252d > -0.15 and dist_sma_20 > -0.03 and macd_hist > 0.0 and rsi_14 > 45.0):
position = 0.8
if long and (ret_20d < -0.07 or macd_hist < -0.02 or dist_sma_50 < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.3% | 31.4% | 0.6% | 7.3% |
| Total Return | 19.5% | 127.0% | 2.2% | 183.8% |
| Sharpe | 0.28 | 1.62 | 0.11 | 0.68 |
| Sortino | 0.09 | 1.19 | 0.03 | 0.28 |
| Calmar | 0.11 | 3.50 | 0.04 | 0.36 |
| Volatility | 9.5% | 17.9% | 7.8% | 11.4% |
| Max DD | -20.1% | -9.0% | -13.3% | -20.1% |
| Win Rate | 43.8% | 70.0% | 50.0% | 53.3% |
| Avg Win | 6.2% | 14.3% | 5.4% | 10.6% |
| Avg Loss | -3.3% | -2.9% | -4.0% | -3.3% |
| Payoff | 1.87 | 4.90 | 1.33 | 3.15 |
| Expectancy | 0.9% | 9.2% | 0.7% | 4.1% |
| Profit Factor | 1.46 | 10.00 | 1.33 | 3.61 |
| Trades | 16 | 10 | 4 | 30 |
| Avg Holding Days | 6.9 | 8.9 | 7.8 | 8.0 |
| Turnover | 3.3 | 5.3 | 1.7 | 3.3 |
| Exposure | 4.1% | 8.4% | 2.3% | 4.5% |
Growth of $100
LongTermTrend_V1480 vs TSLA Buy & Hold
LongTermTrend_V1480 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -1.0% | -0.02 | -11.1% | 10 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 7.6% | 1.31 | -3.0% | 0 |
| 2020 | 101.0% | 2.61 | -9.0% | 9 |
| 2021 | 12.6% | 1.04 | -6.3% | 1 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 4.8% | 0.27 | 17% |
| hidden test | EXTREME | 48 | 23.7% | 0.93 | 13% |
| hidden test | HIGH VOLATILITY | 254 | -2.8% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 443 | 13.7% | 1.97 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | -18.1% | -1.56 | 4% |
| hidden test | NORMAL | 816 | -0.8% | -0.57 | 0% |
| hidden test | SIDEWAYS | 298 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 2.3% | 0.18 | 6% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 12.4% | 0.58 | 20% |
| train | EXTREME | 100 | 21.9% | 1.12 | 21% |
| train | HIGH VOLATILITY | 699 | -0.5% | -0.05 | 1% |
| train | LOW VOLATILITY | 745 | 4.6% | 0.61 | 7% |
| train | MEDIUM VOLATILITY | 568 | 4.1% | 0.41 | 5% |
| train | NORMAL | 1,601 | -0.4% | -0.57 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 6.0% | 0.42 | 9% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 41.6% | 1.43 | 29% |
| validation | EXTREME | 144 | 111.8% | 3.88 | 16% |
| validation | HIGH VOLATILITY | 258 | 28.5% | 1.90 | 1% |
| validation | LOW VOLATILITY | 183 | 16.8% | 1.60 | 5% |
| validation | MEDIUM VOLATILITY | 315 | 36.2% | 1.59 | 16% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 51.4% | 2.17 | 15% |
Trades (full period)
30 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 6.73% | 16 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -3.78% | 4 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.98% | 9 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 21.91% | 20 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -3.81% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 9.89% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.97% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 6.20% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 7.16% | 17 | |
| 2019-12-17 | 2020-01-31 | $25.27 | $43.37 | 51.65% | 31 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-28 | $23.15 | $24.75 | 5.17% | 18 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-10 | 2017-02-23 | $17.95 | $17.07 | 1.15% | 9 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.41% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.16% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.77% | 7 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 5.21% | 14 |