Strategy Zoo / S1522
LongTermTrend_V1522
ARCHIVEDhybridllmSimplified and regularized entry: require price > SMA50, positive long-term slope, modest 20d momentum, reasonable RSI and not extreme vol; require volume confirmation. Added robust exits: 20d loss threshold, price under SMA50, or extreme RSI. Added regime gates to only trade in uptrends and non-high volatility. Position sizing scales down in high vol and up in low vol. Purpose: reduce overfitting, improve generalization and risk control.
Fitness
0.3961
Generation
70
Complexity
15
Created
2026-10-13
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1522 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (close > sma_50 and sma_200_slope > 0.0 and ret_20d > 0.03 and (rsi_14 < 75.0 and vol_pctile < 0.8) and (volume_breakout > 0.5 or rel_volume > 1.0)):
position = 0.8
if long and (ret_20d < -0.02 or close < sma_50 or rsi_14 > 85.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.2% | 41.6% | -8.6% | 5.7% |
| Total Return | 9.7% | 184.0% | -28.6% | 127.5% |
| Sharpe | 0.15 | 1.55 | -0.49 | 0.39 |
| Sortino | 0.10 | 1.36 | -0.28 | 0.27 |
| Calmar | 0.03 | 1.69 | -0.26 | 0.13 |
| Volatility | 17.0% | 24.4% | 15.8% | 18.5% |
| Max DD | -37.2% | -24.6% | -32.7% | -45.3% |
| Win Rate | 40.0% | 50.0% | 16.7% | 37.3% |
| Avg Win | 8.5% | 26.1% | 10.0% | 13.6% |
| Avg Loss | -4.7% | -4.5% | -5.0% | -4.8% |
| Payoff | 1.81 | 5.75 | 1.98 | 2.86 |
| Expectancy | 0.6% | 10.8% | -2.5% | 2.1% |
| Profit Factor | 1.21 | 5.75 | 0.40 | 1.70 |
| Trades | 35 | 12 | 12 | 59 |
| Avg Holding Days | 13.3 | 20.4 | 14.3 | 15.0 |
| Turnover | 7.1 | 6.4 | 5.1 | 6.4 |
| Exposure | 17.2% | 24.7% | 13.4% | 17.8% |
Growth of $100
LongTermTrend_V1522 vs TSLA Buy & Hold
LongTermTrend_V1522 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 | 6.2% | 1.28 | -2.2% | 0 |
| 2017 | 6.3% | 0.42 | -21.3% | 10 |
| 2018 | -14.5% | -1.27 | -14.9% | 3 |
| 2019 | 8.7% | 0.92 | -6.8% | 2 |
| 2020 | 145.3% | 3.46 | -7.0% | 3 |
| 2021 | 15.0% | 0.66 | -24.6% | 7 |
| 2022 | -2.5% | -0.04 | -20.3% | 2 |
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 | -3.9% | -1.67 | 1% |
| hidden test | EXPENSIVE | 83 | 62.2% | 1.96 | 44% |
| hidden test | EXTREME | 48 | -19.2% | -2.92 | 3% |
| hidden test | HIGH VOLATILITY | 254 | -9.0% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 443 | 9.1% | 0.63 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.1% | -1.78 | 17% |
| hidden test | NORMAL | 816 | -14.2% | -1.05 | 11% |
| hidden test | SIDEWAYS | 298 | -12.5% | -0.70 | 19% |
| hidden test | UPTREND | 371 | -6.7% | -0.34 | 18% |
| train | DOWNTREND | 518 | -4.9% | -0.73 | 3% |
| train | EXPENSIVE | 311 | 29.4% | 1.16 | 26% |
| train | EXTREME | 100 | 30.6% | 1.56 | 21% |
| train | HIGH VOLATILITY | 699 | -1.2% | -0.08 | 2% |
| train | LOW VOLATILITY | 745 | 24.8% | 1.48 | 32% |
| train | MEDIUM VOLATILITY | 568 | -21.7% | -1.15 | 17% |
| train | NORMAL | 1,601 | -4.3% | -0.30 | 15% |
| train | SIDEWAYS | 592 | -11.7% | -0.97 | 9% |
| train | UPTREND | 902 | 16.3% | 0.71 | 30% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 83.0% | 2.59 | 36% |
| validation | EXTREME | 144 | 105.5% | 3.92 | 17% |
| validation | HIGH VOLATILITY | 258 | 4.6% | 0.33 | 1% |
| validation | LOW VOLATILITY | 183 | 32.8% | 1.69 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 67.8% | 2.09 | 34% |
| validation | NORMAL | 474 | 4.0% | 0.19 | 24% |
| validation | SIDEWAYS | 206 | -12.1% | -0.59 | 23% |
| validation | UPTREND | 425 | 73.1% | 2.51 | 33% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.75% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 14.70% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-05-21 | 2025-06-06 | $334.62 | $295.14 | -13.92% | 12 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-12-19 | 2024-12-23 | $436.17 | $430.60 | -3.63% | 3 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -10.54% | 6 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.62% | 4 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2022-08-08 | 2022-08-29 | $290.42 | $284.82 | -0.12% | 16 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.35% | 27 | |
| 2021-11-24 | 2021-12-01 | $372.00 | $365.00 | 2.43% | 5 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -9.74% | 2 | |
| 2021-08-03 | 2021-10-26 | $236.58 | $339.48 | 34.31% | 60 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -1.71% | 22 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -4.21% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 62.55% | 58 | |
| 2020-06-02 | 2020-07-06 | $58.77 | $91.44 | 27.01% | 24 | |
| 2020-01-17 | 2020-01-31 | $34.03 | $43.37 | 19.36% | 10 | |
| 2019-12-31 | 2020-01-09 | $27.89 | $32.09 | 14.55% | 7 | |
| 2019-12-13 | 2019-12-27 | $23.89 | $28.69 | 15.44% | 10 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -2.18% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-23 | 2018-02-09 | $23.52 | $20.69 | -8.41% | 14 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -2.96% | 11 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.87% | 4 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -7.10% | 8 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-06 | 2017-07-06 | $23.52 | $20.59 | -4.72% | 22 | |
| 2017-05-16 | 2017-05-19 | $21.13 | $20.72 | -0.86% | 4 | |
| 2017-04-26 | 2017-05-10 | $20.68 | $21.68 | 1.81% | 11 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-17 | 2017-02-28 | $18.15 | $16.67 | -6.91% | 7 | |
| 2016-12-14 | 2017-02-14 | $13.25 | $18.73 | 32.01% | 42 | |
| 2015-12-17 | 2016-01-05 | $15.56 | $14.90 | -3.91% | 12 | |
| 2015-12-10 | 2015-12-14 | $15.14 | $14.57 | -2.82% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -4.94% | 6 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-05-14 | 2015-07-28 | $16.27 | $17.65 | 3.22% | 52 | |
| 2015-02-20 | 2015-02-24 | $14.47 | $13.61 | -1.79% | 3 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-17 | 2014-07-16 | $15.44 | $14.48 | -1.87% | 21 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 19.03% | 8 | |
| 2014-01-13 | 2014-01-14 | $9.29 | $10.75 | -3.66% | 2 | |
| 2013-09-10 | 2013-10-22 | $11.09 | $11.44 | 5.93% | 31 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-05-01 | 2013-05-08 | $3.55 | $3.72 | 2.19% | 6 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-02-07 | 2013-02-22 | $2.63 | $2.41 | -8.32% | 11 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 5.35% | 45 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -8.40% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.02% | 38 |