Strategy Zoo / S1518
LongTermTrend_V1518
ARCHIVEDhybridllmAdded regime gates to require UPTREND and exclude HIGH volatility/bubble extremes; simplified/strengthened entry to use SMA50>200 + positive sma_200_slope + positive MACD for trend, plus a dedicated high-volume breakout arm and a milder momentum arm (lowered ret_20d threshold) to increase robustness; improved exit to include MACD < 0 OR large drop below SMA50 OR drawdown > 8% to cut losses earlier; added position scaling rules: reduce size in high vol (vol_pctile>0.8) and allow full size on strong breakout with very high rel_volume.
Fitness
0.2928
Generation
70
Complexity
17
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1344
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1518 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and ((sma_50 > sma_200 and sma_200_slope > 0.0 and macd_hist > 0.0) or (breakout_50 == 1 and rel_volume > 1.8 and macd_hist > 0.0) or (ret_20d > 0.06 and cumret_252d > 0.12)):
position = 0.8
if long and (macd_hist < 0.0 or dist_sma_50 < -0.15 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -4.6% | 36.1% | -10.0% | 1.2% |
| Total Return | -31.5% | 151.9% | -32.6% | 19.1% |
| Sharpe | -0.23 | 1.35 | -0.61 | 0.16 |
| Sortino | -0.15 | 1.54 | -0.39 | 0.12 |
| Calmar | -0.10 | 1.49 | -0.26 | 0.02 |
| Volatility | 15.4% | 25.1% | 15.2% | 17.8% |
| Max DD | -44.2% | -24.2% | -38.6% | -48.9% |
| Win Rate | 41.5% | 48.3% | 41.7% | 43.6% |
| Avg Win | 2.1% | 3.7% | 1.9% | 2.7% |
| Avg Loss | -1.9% | -1.7% | -1.9% | -1.8% |
| Payoff | 1.11 | 2.22 | 0.97 | 1.46 |
| Expectancy | -0.2% | 0.9% | -0.3% | 0.1% |
| Profit Factor | 0.79 | 2.08 | 0.69 | 1.13 |
| Trades | 176 | 118 | 103 | 397 |
| Avg Holding Days | 2.8 | 2.7 | 2.2 | 2.7 |
| Turnover | 35.4 | 62.9 | 43.9 | 43.1 |
| Exposure | 13.2% | 21.4% | 10.8% | 14.3% |
Growth of $100
LongTermTrend_V1518 vs TSLA Buy & Hold
LongTermTrend_V1518 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 | -0.5% | -0.03 | -4.8% | 14 |
| 2017 | 10.6% | 0.72 | -10.9% | 39 |
| 2018 | -8.4% | -1.28 | -9.6% | 8 |
| 2019 | 13.4% | 1.65 | -3.0% | 2 |
| 2020 | 138.6% | 3.05 | -11.6% | 18 |
| 2021 | 10.8% | 0.53 | -20.3% | 61 |
| 2022 | -14.1% | -0.98 | -17.2% | 37 |
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 | -9.6% | -1.49 | 2% |
| hidden test | EXPENSIVE | 83 | -9.4% | -0.42 | 18% |
| hidden test | EXTREME | 48 | 26.6% | 1.05 | 12% |
| hidden test | HIGH VOLATILITY | 254 | -9.2% | -0.71 | 1% |
| hidden test | LOW VOLATILITY | 443 | 6.2% | 0.44 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.9% | -1.96 | 12% |
| hidden test | NORMAL | 816 | -11.4% | -0.85 | 10% |
| hidden test | SIDEWAYS | 298 | -24.5% | -1.40 | 15% |
| hidden test | UPTREND | 371 | 3.1% | 0.17 | 14% |
| train | DOWNTREND | 518 | -3.4% | -1.01 | 1% |
| train | EXPENSIVE | 311 | 20.5% | 0.87 | 26% |
| train | EXTREME | 100 | 53.2% | 2.40 | 22% |
| train | HIGH VOLATILITY | 699 | 1.6% | 0.12 | 1% |
| train | LOW VOLATILITY | 745 | 0.7% | 0.05 | 21% |
| train | MEDIUM VOLATILITY | 568 | -15.5% | -0.83 | 17% |
| train | NORMAL | 1,601 | -11.8% | -0.93 | 10% |
| train | SIDEWAYS | 592 | -11.6% | -0.96 | 9% |
| train | UPTREND | 902 | 1.6% | 0.08 | 23% |
| validation | DOWNTREND | 125 | -4.3% | -0.58 | 5% |
| validation | EXPENSIVE | 138 | 62.5% | 1.95 | 35% |
| validation | EXTREME | 144 | 122.7% | 4.09 | 17% |
| validation | HIGH VOLATILITY | 258 | 32.4% | 1.55 | 2% |
| validation | LOW VOLATILITY | 183 | 16.4% | 0.96 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 45.3% | 1.44 | 33% |
| validation | NORMAL | 474 | -1.4% | -0.07 | 19% |
| validation | SIDEWAYS | 206 | -27.4% | -1.77 | 18% |
| validation | UPTREND | 425 | 74.9% | 2.40 | 28% |
Trades (full period)
latest 100 of 397
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 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 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.76% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.19% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.40% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -2.70% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.93% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.56% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2025-12-10 | 2025-12-30 | $451.45 | $454.43 | 2.50% | 14 | |
| 2025-12-03 | 2025-12-09 | $446.74 | $445.17 | 1.79% | 5 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.38% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -4.21% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.87% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 4.20% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.93% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.59% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.37% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 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 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.43% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 2.66% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -11.56% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.21% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.48% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.30% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.96% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -2.93% | 2 | |
| 2024-12-11 | 2024-12-19 | $424.77 | $436.17 | 7.72% | 7 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 5.07% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-11-15 | 2023-11-16 | $242.84 | $233.59 | 1.67% | 2 | |
| 2023-11-13 | 2023-11-14 | $223.71 | $237.41 | 3.21% | 2 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -4.53% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 0.90% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.73% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.41% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.06% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.54% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.08% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 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 |