LongTermTrend_V1526

ARCHIVEDhybrid

llmAdded regime gates to restrict to UPTREND and non-high volatility; relaxed and generalized entry filters (lowered ret_20d and cumret thresholds, added breakout+volume OR SMA200 trend combo, RSI and vol_pctile filters) to reduce overfitting; improved exit to use SMA50 cross and a larger short-rate stop (ret_20d<-3%); introduced position scaling (higher size on breakouts/strong recent returns) and reduced base position to 0.6 to lower risk/turnover.

Fitness

0.1022

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

LongTermTrend_V1249S1249 · gen 57ELITEllm

removed entry condition: ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1526  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > -0.0015) or (breakout_20 > 0.5 and rel_volume > 1.2)) and ret_20d > 0.02 and cumret_252d > 0.02 and rsi_14 < 70.0 and vol_pctile < 0.9):
    position = 0.6
if long and (close < sma_50 or ret_20d < -0.03):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.6%	-1.2%	-1.9%	-1.6%
Total Return	-12.1%	-3.5%	-6.9%	-21.0%
Sharpe	-0.14	-0.05	-0.18	-0.13
Sortino	-0.07	-0.02	-0.06	-0.05
Calmar	-0.06	-0.04	-0.12	-0.04
Volatility	8.6%	11.2%	8.4%	9.2%
Max DD	-25.2%	-29.2%	-16.0%	-35.5%
Win Rate	38.1%	22.2%	50.0%	37.5%
Avg Win	3.8%	13.9%	2.3%	4.6%
Avg Loss	-3.2%	-3.9%	-3.5%	-3.5%
Payoff	1.19	3.54	0.65	1.34
Expectancy	-0.5%	0.0%	-0.6%	-0.4%
Profit Factor	0.73	1.01	0.65	0.80
Trades	21	9	10	40
Avg Holding Days	11.5	11.8	7.3	10.5
Turnover	3.2	3.6	3.2	3.3
Exposure	6.6%	7.7%	4.0%	6.1%

Growth of $100

LongTermTrend_V1526 vs TSLA Buy & Hold

LongTermTrend_V1526 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	-4.4%	-1.02	-5.3%	1
2017	1.5%	0.96	-0.1%	1
2018	-10.3%	-1.37	-10.3%	3
2019	7.8%	1.54	-1.4%	1
2020	0.0%	0.00	0.0%	0
2021	16.9%	1.05	-14.3%	4
2022	-17.5%	-1.70	-19.3%	5

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	25.5%	2.44	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-8.5%	-1.00	0%
hidden test	LOW VOLATILITY	443	0.2%	0.03	6%
hidden test	MEDIUM VOLATILITY	250	2.5%	0.26	4%
hidden test	NORMAL	816	-4.4%	-0.52	4%
hidden test	SIDEWAYS	298	-8.1%	-1.02	1%
hidden test	UPTREND	371	2.6%	0.23	10%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	6.0%	1.51	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-0.5%	-0.06	0%
train	LOW VOLATILITY	745	7.6%	0.76	14%
train	MEDIUM VOLATILITY	568	-13.8%	-1.70	5%
train	NORMAL	1,601	-2.7%	-0.29	8%
train	SIDEWAYS	592	-4.3%	-1.06	0%
train	UPTREND	902	0.1%	0.01	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	-4.9%	-0.66	0%
validation	LOW VOLATILITY	183	7.7%	0.75	20%
validation	MEDIUM VOLATILITY	315	-1.8%	-0.13	6%
validation	NORMAL	474	-0.9%	-0.06	12%
validation	SIDEWAYS	206	-15.9%	-1.76	1%
validation	UPTREND	425	6.7%	0.49	13%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-0.98%	2
2025-12-08	2026-01-05	$439.58	$451.67	-2.24%	19
2025-09-12	2025-09-15	$395.94	$410.04	4.29%	2
2025-09-04	2025-09-05	$338.53	$350.84	0.68%	2
2025-07-21	2025-07-23	$328.49	$332.56	0.33%	3
2025-06-02	2025-06-06	$342.69	$295.14	-10.95%	5
2025-05-22	2025-05-28	$341.04	$356.90	4.92%	4
2024-09-25	2024-09-27	$257.02	$260.46	-0.13%	3
2024-01-03	2024-01-10	$238.45	$233.94	-3.38%	6
2023-06-26	2023-08-02	$241.05	$254.11	1.27%	27
2022-09-20	2022-09-23	$308.73	$275.33	-4.12%	4
2022-09-12	2022-09-14	$304.42	$302.61	-1.61%	3
2022-08-16	2022-08-22	$306.56	$289.91	-2.59%	5
2022-04-06	2022-04-27	$348.59	$293.84	-12.12%	15
2022-01-12	2022-01-13	$368.74	$343.85	2.24%	2
2021-12-09	2021-12-10	$334.60	$339.01	-3.78%	2
2021-11-23	2021-12-01	$369.68	$365.00	-0.69%	6
2021-08-24	2021-11-10	$236.16	$355.98	25.61%	56
2021-08-05	2021-08-23	$238.21	$235.43	-2.66%	13
2019-11-26	2019-12-17	$21.93	$25.27	7.81%	15
2018-11-27	2018-12-19	$22.93	$22.20	-1.59%	16
2018-02-08	2018-02-09	$21.02	$20.69	-5.29%	2
2018-02-01	2018-02-06	$23.28	$22.26	-3.73%	4
2017-03-27	2017-03-28	$18.01	$18.50	1.49%	2
2016-04-11	2016-05-04	$16.66	$14.84	-4.38%	18
2015-08-06	2015-08-07	$16.41	$16.17	-5.45%	2
2015-05-21	2015-07-28	$16.37	$17.65	2.22%	47
2014-09-19	2014-09-23	$17.29	$16.69	-3.27%	3
2014-08-05	2014-09-16	$15.90	$17.38	3.93%	30
2014-06-23	2014-07-17	$15.81	$14.36	-3.30%	18
2014-05-06	2014-05-07	$13.82	$13.42	-2.70%	2
2013-03-26	2013-04-02	$2.52	$2.96	10.06%	5
2013-03-22	2013-03-25	$2.44	$2.50	0.90%	2
2013-03-14	2013-03-15	$2.46	$2.35	-3.40%	2
2013-02-15	2013-02-22	$2.47	$2.41	-4.92%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.07%	3
2013-01-23	2013-01-24	$2.40	$2.47	1.26%	2
2012-12-18	2013-01-11	$2.31	$2.19	-1.60%	17
2012-11-28	2012-12-14	$2.22	$2.25	2.64%	13
2012-02-23	2012-04-10	$2.30	$2.16	-1.69%	33