LongTermTrend_V1538

ARCHIVEDhybrid

llmSimplified and regularized entry: require price above both sma_200 and sma_50, relaxed 20d return threshold to 3%, added sma_50 slope and 1y cumulative return guard, and a volatility percentile filter to avoid high-vol regimes. Improved exits: exit on moderate 20d loss (-8%), price crossing below sma_50, or drawdown worse than 12%. Added trend gate to only run in UPTREND and restrict high volatility; reduced base_position to 0.8 to lower risk.

Fitness

0.4982

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

LongTermTrend_V1513S1513 · gen 69ELITEllm

added entry filter: sma_50_slope > -0.005

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1538  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (close > sma_200 and close > sma_50 and ret_20d > 0.03 and sma_50_slope > -0.002 and cumret_252d > -0.15 and vol_pctile < 0.75):
    position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or drawdown < -0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.4%	45.0%	-0.6%	8.7%
Total Return	11.8%	204.7%	-2.3%	240.8%
Sharpe	0.18	1.96	-0.01	0.69
Sortino	0.07	1.66	-0.00	0.35
Calmar	0.06	5.14	-0.04	0.39
Volatility	11.6%	19.9%	9.9%	13.4%
Max DD	-22.0%	-8.7%	-15.7%	-22.0%
Win Rate	35.0%	66.7%	28.6%	41.7%
Avg Win	6.0%	22.6%	3.3%	13.2%
Avg Loss	-2.7%	-1.3%	-1.7%	-2.3%
Payoff	2.23	10.00	1.91	5.80
Expectancy	0.4%	14.6%	-0.3%	4.2%
Profit Factor	1.20	10.00	0.76	4.14
Trades	20	9	7	36
Avg Holding Days	8.6	13.7	8.1	10.1
Turnover	4.1	4.8	3.0	3.9
Exposure	6.4%	12.1%	4.2%	7.0%

Growth of $100

LongTermTrend_V1538 vs TSLA Buy & Hold

LongTermTrend_V1538 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	0.0%	0.00	0.0%	0
2017	-11.2%	-0.57	-21.5%	12
2018	0.0%	0.00	0.0%	0
2019	7.6%	1.31	-3.0%	0
2020	177.4%	3.53	-7.0%	8
2021	6.4%	0.48	-8.7%	1
2022	0.0%	0.00	0.0%	0

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	279	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-1.1%	-0.04	39%
hidden test	EXTREME	48	23.7%	0.93	13%
hidden test	HIGH VOLATILITY	254	-2.8%	-1.02	0%
hidden test	LOW VOLATILITY	443	12.2%	1.80	2%
hidden test	MEDIUM VOLATILITY	251	-19.1%	-1.13	11%
hidden test	NORMAL	817	-1.4%	-0.79	0%
hidden test	SIDEWAYS	298	0.0%	0.00	0%
hidden test	UPTREND	371	-0.3%	-0.02	11%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	9.0%	0.34	33%
train	EXTREME	100	42.0%	1.83	23%
train	HIGH VOLATILITY	699	-2.0%	-0.16	1%
train	LOW VOLATILITY	745	8.2%	0.93	9%
train	MEDIUM VOLATILITY	568	-1.0%	-0.07	10%
train	NORMAL	1,601	-1.8%	-0.86	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	4.6%	0.27	14%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	68.2%	2.05	46%
validation	EXTREME	144	142.0%	4.56	19%
validation	HIGH VOLATILITY	258	28.6%	1.91	1%
validation	LOW VOLATILITY	183	6.8%	0.57	9%
validation	MEDIUM VOLATILITY	315	66.4%	2.55	23%
validation	NORMAL	474	-0.6%	-0.78	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	69.6%	2.63	21%

Trades (full period)

36 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-10-14	2025-11-13	$429.24	$401.99	-0.98%	23
2025-09-22	2025-10-13	$434.21	$435.90	-2.39%	16
2025-09-17	2025-09-19	$425.86	$426.07	-1.06%	3
2025-09-15	2025-09-16	$410.04	$421.62	2.69%	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
2024-12-11	2024-12-23	$424.77	$430.60	3.98%	9
2020-11-19	2021-02-19	$166.42	$260.43	47.69%	62
2020-10-26	2020-10-27	$140.09	$141.56	-0.23%	2
2020-10-22	2020-10-23	$141.93	$140.21	0.44%	2
2020-10-13	2020-10-20	$148.88	$140.65	-2.21%	6
2020-08-31	2020-09-01	$166.11	$158.35	9.89%	2
2020-08-26	2020-08-27	$143.54	$149.25	4.97%	2
2020-06-01	2020-07-06	$59.87	$91.44	34.69%	25
2020-05-28	2020-05-29	$53.72	$55.67	-1.57%	2
2019-12-17	2020-01-31	$25.27	$43.37	51.65%	31
2017-10-05	2017-10-10	$23.69	$23.71	-2.87%	4
2017-09-18	2017-09-26	$25.67	$23.02	-7.53%	7
2017-08-15	2017-08-18	$24.16	$23.16	-2.77%	4
2017-08-04	2017-08-07	$23.79	$23.68	2.10%	2
2017-06-05	2017-07-06	$23.15	$20.59	-3.05%	23
2017-05-12	2017-05-19	$21.65	$20.72	-2.63%	6
2017-04-24	2017-05-10	$20.54	$21.68	3.99%	13
2017-04-20	2017-04-21	$20.17	$20.37	-0.95%	2
2017-03-28	2017-04-04	$18.50	$20.25	8.17%	6
2017-02-07	2017-02-28	$17.17	$16.67	-3.66%	15
2017-02-03	2017-02-06	$16.76	$17.18	-0.23%	2
2017-01-25	2017-01-31	$16.96	$16.80	-1.41%	5
2014-03-20	2014-03-25	$15.66	$14.70	-5.49%	4
2014-02-13	2014-02-26	$13.31	$16.87	21.13%	9
2013-10-11	2013-10-24	$11.91	$11.54	-4.02%	10
2013-09-09	2013-10-10	$10.71	$11.53	0.87%	24
2013-06-28	2013-07-17	$7.16	$8.02	-0.01%	13
2013-04-30	2013-05-08	$3.60	$3.72	0.77%	7
2013-02-14	2013-02-15	$2.55	$2.47	-0.53%	2
2013-01-24	2013-02-12	$2.47	$2.53	5.21%	14