Strategy Zoo / S1500
LongTermTrend_V1500
ARCHIVEDhybridllmAllow trading in normal markets and add trend+momentum regime gates; simplified and de-duplicated entry; require 50>200 SMA and positive 50-SMA slope, price above 50-SMA, and either 20d momentum or 20d breakout; avoid high volatility via vol_pctile<0.8 and avoid deeply damaged stocks via cumret_252d>-15%; strengthen exits: stop on short-term -5% move, break of 50-SMA, or >15% drawdown. These structural changes aim to increase trade frequency and improve robustness (fixes prior bubble-only gate that caused zero validation trades).
Fitness
0.4421
Generation
69
Complexity
16
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.1 -> 0.0257
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1500 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((sma_50 > sma_200 and sma_50_slope > 0.0) and close > sma_50 and (ret_20d > 0.03 or breakout_20 > 0.5) and cumret_252d > -0.15 and vol_pctile < 0.8):
position = 1.0
if long and (ret_20d < -0.05 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.9% | 64.5% | -10.2% | 9.0% |
| Total Return | 16.4% | 345.4% | -33.2% | 256.6% |
| Sharpe | 0.19 | 1.85 | -0.57 | 0.51 |
| Sortino | 0.12 | 1.57 | -0.26 | 0.32 |
| Calmar | 0.05 | 1.94 | -0.30 | 0.17 |
| Volatility | 19.8% | 29.3% | 16.4% | 21.4% |
| Max DD | -40.1% | -33.3% | -34.4% | -54.5% |
| Win Rate | 34.5% | 57.9% | 33.3% | 40.6% |
| Avg Win | 7.8% | 20.1% | 2.1% | 12.3% |
| Avg Loss | -3.8% | -3.9% | -3.8% | -3.8% |
| Payoff | 2.07 | 5.10 | 0.54 | 3.24 |
| Expectancy | 0.2% | 10.0% | -1.8% | 2.7% |
| Profit Factor | 1.09 | 7.02 | 0.27 | 2.21 |
| Trades | 29 | 19 | 21 | 69 |
| Avg Holding Days | 11.8 | 9.9 | 5.1 | 9.6 |
| Turnover | 7.4 | 12.7 | 11.2 | 9.4 |
| Exposure | 16.8% | 22.4% | 9.1% | 16.0% |
Growth of $100
LongTermTrend_V1500 vs TSLA Buy & Hold
LongTermTrend_V1500 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 | -3.2% | -1.30 | -3.6% | 5 |
| 2017 | -8.0% | -0.25 | -26.2% | 10 |
| 2018 | -7.3% | -0.96 | -11.7% | 1 |
| 2019 | 17.8% | 1.36 | -7.4% | 0 |
| 2020 | 255.6% | 3.53 | -9.2% | 6 |
| 2021 | 35.9% | 1.13 | -23.1% | 9 |
| 2022 | -11.5% | -1.40 | -13.3% | 4 |
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 | 18.4% | 0.53 | 48% |
| hidden test | EXTREME | 48 | 29.6% | 0.93 | 17% |
| hidden test | HIGH VOLATILITY | 254 | -12.1% | -1.32 | 1% |
| hidden test | LOW VOLATILITY | 443 | 5.2% | 0.38 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -32.4% | -1.33 | 16% |
| hidden test | NORMAL | 816 | -14.5% | -1.26 | 5% |
| hidden test | SIDEWAYS | 298 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | -23.9% | -0.91 | 23% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 29.1% | 0.88 | 42% |
| train | EXTREME | 100 | 60.9% | 2.09 | 30% |
| train | HIGH VOLATILITY | 699 | -0.0% | -0.00 | 2% |
| train | LOW VOLATILITY | 745 | 19.8% | 1.00 | 30% |
| train | MEDIUM VOLATILITY | 568 | -12.2% | -0.57 | 17% |
| train | NORMAL | 1,601 | -4.6% | -0.31 | 11% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 8.6% | 0.29 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 81.0% | 1.95 | 55% |
| validation | EXTREME | 144 | 184.2% | 4.70 | 24% |
| validation | HIGH VOLATILITY | 258 | 24.0% | 1.08 | 2% |
| validation | LOW VOLATILITY | 183 | 34.5% | 1.88 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 90.1% | 2.36 | 37% |
| validation | NORMAL | 474 | 6.7% | 0.34 | 12% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 96.1% | 2.47 | 40% |
Trades (full period)
69 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-09-17 | 2025-11-14 | $425.86 | $404.35 | -4.85% | 43 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 4.80% | 9 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.17% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -3.46% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-23 | 2021-12-01 | $369.68 | $365.00 | -1.25% | 6 | |
| 2021-09-22 | 2021-11-10 | $250.65 | $355.98 | 38.15% | 36 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.17% | 5 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.43% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -4.79% | 7 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 12.36% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 6.21% | 2 | |
| 2020-05-28 | 2020-07-06 | $53.72 | $91.44 | 47.06% | 27 | |
| 2019-11-22 | 2020-01-31 | $22.20 | $43.37 | 80.22% | 47 | |
| 2018-12-04 | 2018-12-20 | $23.98 | $21.03 | -7.30% | 12 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.46% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.94% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -3.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 4.92% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 13.21% | 7 | |
| 2017-02-01 | 2017-02-28 | $16.62 | $16.67 | -2.46% | 19 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.45% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.82% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -2.23% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.73% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-06-10 | 2015-07-28 | $16.71 | $17.65 | -1.37% | 34 | |
| 2014-08-04 | 2014-09-23 | $15.90 | $16.69 | 6.97% | 36 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -6.72% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 26.72% | 9 | |
| 2013-09-09 | 2013-10-23 | $10.71 | $10.97 | 2.53% | 33 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.83% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-21 | 2013-01-14 | $2.27 | $2.22 | -4.61% | 15 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 |