Strategy Zoo / S1504
LongTermTrend_V1504
ARCHIVEDhybridllmReplaced repetitive ret_20d rules with a simpler trend/momentum entry: (close>sma_50 & sma_50_slope>0 & ret_20d>3%) OR (breakout_20 & macd_hist>0 & cumret_252d>-20%). Added stronger exit: ret_20d<-3% OR close<sma_50 OR drawdown<-6% to limit large drawdowns. Added regime gates to avoid entries in high-volatility or bubble regimes (allow only UPTREND/SIDEWAYS, LOW/MEDIUM volatility, NORMAL bubble). Introduced volatility-based position sizing: reduce size to 40% when vol_pctile>0.7. Lowered base_position to 0.8 to temper overall exposure.
Fitness
0.0516
Generation
69
Complexity
16
Created
2026-10-13
Lineage
Parents (1)
entry = LongTermTrend_V0605 OR PriceMomentum_V1003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1504 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_50 and sma_50_slope > 0.0 and ret_20d > 0.03) or (breakout_20 > 0.0 and macd_hist > 0.0 and cumret_252d > -0.2)):
position = 0.8
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.5% | 0.0% | -10.1% | -5.6% |
| Total Return | -36.1% | 0.0% | -33.1% | -57.3% |
| Sharpe | -0.42 | 0.07 | -0.71 | -0.40 |
| Sortino | -0.24 | 0.04 | -0.39 | -0.22 |
| Calmar | -0.14 | 0.00 | -0.27 | -0.09 |
| Volatility | 11.6% | 13.3% | 13.7% | 12.5% |
| Max DD | -40.3% | -27.4% | -37.7% | -62.8% |
| Win Rate | 40.1% | 52.7% | 45.7% | 44.2% |
| Avg Win | 1.6% | 1.8% | 1.9% | 1.7% |
| Avg Loss | -1.5% | -1.9% | -2.5% | -1.9% |
| Payoff | 1.02 | 0.94 | 0.79 | 0.93 |
| Expectancy | -0.3% | 0.0% | -0.5% | -0.3% |
| Profit Factor | 0.69 | 1.05 | 0.66 | 0.74 |
| Trades | 142 | 55 | 81 | 278 |
| Avg Holding Days | 2.5 | 2.3 | 2.1 | 2.3 |
| Turnover | 28.5 | 29.3 | 34.5 | 30.2 |
| Exposure | 8.5% | 7.5% | 7.7% | 8.1% |
Growth of $100
LongTermTrend_V1504 vs TSLA Buy & Hold
LongTermTrend_V1504 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 | -4.1% | -0.57 | -10.0% | 22 |
| 2017 | 10.0% | 1.68 | -1.8% | 12 |
| 2018 | -15.4% | -1.50 | -15.3% | 14 |
| 2019 | -1.1% | -0.12 | -6.7% | 16 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 3.2% | 0.25 | -22.9% | 33 |
| 2022 | -3.1% | -0.27 | -7.4% | 22 |
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 | -1.6% | -1.00 | 0% |
| hidden test | EXPENSIVE | 83 | 33.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.9% | -0.75 | 1% |
| hidden test | LOW VOLATILITY | 443 | -1.8% | -0.14 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.6% | -1.51 | 8% |
| hidden test | NORMAL | 816 | -14.7% | -1.05 | 9% |
| hidden test | SIDEWAYS | 298 | -21.4% | -1.57 | 10% |
| hidden test | UPTREND | 371 | -6.5% | -0.36 | 11% |
| train | DOWNTREND | 518 | -0.4% | -0.85 | 0% |
| train | EXPENSIVE | 311 | 2.9% | 1.31 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.7% | -0.07 | 0% |
| train | LOW VOLATILITY | 745 | 0.0% | 0.00 | 18% |
| train | MEDIUM VOLATILITY | 568 | -16.7% | -1.31 | 6% |
| train | NORMAL | 1,601 | -6.8% | -0.52 | 10% |
| train | SIDEWAYS | 592 | -8.4% | -0.79 | 7% |
| train | UPTREND | 902 | -5.3% | -0.35 | 14% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 6.5% | 0.55 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 6.1% | 0.37 | 8% |
| validation | NORMAL | 474 | 1.4% | 0.08 | 12% |
| validation | SIDEWAYS | 206 | 6.6% | 0.77 | 6% |
| validation | UPTREND | 425 | -1.6% | -0.10 | 11% |
Trades (full period)
latest 100 of 278
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.48% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -6.15% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.15% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.35% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.09% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.40% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -0.99% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.03% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.75% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.99% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.20% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.03% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.21% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.12% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.29% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 1.93% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.11% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.82% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.64% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -1.77% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -4.84% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -0.90% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.10% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 3.58% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.95% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.47% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.16% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.73% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -4.12% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.41% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.71% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -4.02% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.72% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -3.94% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.41% | 2 |