LongTermTrend_V1539

ARCHIVEDhybrid

llm1) Added trend and volatility regime gates to avoid DOWNTREND/HIGH_VOLATILITY and bubble states. 2) Strengthened entry: require either price above SMA200 with non-negative long-term slope or 20d momentum>6%, plus price>50SMA with positive 50SMA slope. 3) Added volatility and proximity-to-20SMA checks to reduce entries in extreme conditions. 4) Improved exits: multi-condition exit (short-term loss, break below SMA50, or drawdown limit) for better risk control. 5) Position scaling by vol_pctile: full size in low vol, reduced size in high vol, and lowered base position to 0.8 to temper turnover.

Fitness

0.4102

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

LongTermTrend_V1319S1319 · gen 60ELITEllm

added entry filter: dist_sma_20 > -0.0187

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1539  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (((close > sma_200 and sma_200_slope > -0.0005) or ret_20d > 0.06) and (close > sma_50 and sma_50_slope > 0.0) and dist_sma_20 > -0.05 and vol_pctile < 0.7):
    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	0.7%	40.1%	-0.1%	7.6%
Total Return	5.4%	174.7%	-0.3%	195.5%
Sharpe	0.12	1.76	0.05	0.59
Sortino	0.05	1.58	0.02	0.29
Calmar	0.03	3.01	-0.00	0.30
Volatility	12.5%	20.3%	10.6%	14.1%
Max DD	-25.4%	-13.3%	-19.4%	-25.4%
Win Rate	33.3%	55.6%	40.0%	40.0%
Avg Win	6.7%	27.4%	5.6%	14.9%
Avg Loss	-3.2%	-3.8%	-3.6%	-3.4%
Payoff	2.09	7.24	1.53	4.42
Expectancy	0.1%	13.5%	0.0%	3.9%
Profit Factor	1.04	9.05	1.02	2.95
Trades	21	9	5	35
Avg Holding Days	8.7	15.0	12.8	11.2
Turnover	4.3	4.8	2.1	3.8
Exposure	6.8%	13.3%	5.0%	7.7%

Growth of $100

LongTermTrend_V1539 vs TSLA Buy & Hold

LongTermTrend_V1539 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	-9.2%	-0.44	-21.5%	11
2018	0.0%	0.00	0.0%	0
2019	7.6%	1.31	-3.0%	0
2020	150.2%	3.11	-13.3%	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	22.5%	0.78	44%
hidden test	EXTREME	48	5.6%	0.21	17%
hidden test	HIGH VOLATILITY	254	-2.8%	-1.02	0%
hidden test	LOW VOLATILITY	443	14.9%	2.09	3%
hidden test	MEDIUM VOLATILITY	251	-21.6%	-1.19	13%
hidden test	NORMAL	817	-2.1%	-0.98	0%
hidden test	SIDEWAYS	298	-1.3%	-0.71	1%
hidden test	UPTREND	371	2.2%	0.13	12%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	0.7%	0.02	34%
train	EXTREME	100	55.3%	2.34	25%
train	HIGH VOLATILITY	699	-6.2%	-0.45	1%
train	LOW VOLATILITY	745	8.3%	0.93	9%
train	MEDIUM VOLATILITY	568	1.8%	0.12	11%
train	NORMAL	1,601	-1.8%	-0.86	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	3.2%	0.17	15%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	44.1%	1.29	52%
validation	EXTREME	144	147.3%	4.70	20%
validation	HIGH VOLATILITY	258	28.5%	1.90	1%
validation	LOW VOLATILITY	183	-3.3%	-0.26	11%
validation	MEDIUM VOLATILITY	315	64.3%	2.43	24%
validation	NORMAL	474	-0.6%	-0.78	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	63.5%	2.36	24%

Trades (full period)

35 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	7.14%	44
2025-05-28	2025-06-02	$356.90	$342.69	-3.78%	4
2025-05-19	2025-05-22	$342.09	$341.04	-3.67%	4
2025-01-31	2025-02-04	$404.60	$392.21	-3.46%	3
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
2020-11-06	2020-11-10	$143.32	$136.79	-3.24%	3
2020-11-04	2020-11-05	$140.33	$146.03	-0.71%	2
2020-10-13	2020-10-29	$148.88	$136.94	-6.73%	13
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
2020-08-10	2020-08-12	$94.57	$103.65	-4.48%	3
2020-05-27	2020-07-06	$54.68	$91.44	36.82%	28
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
2017-02-03	2017-02-28	$16.76	$16.67	-1.76%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.41%	5
2014-04-03	2014-04-04	$15.03	$14.15	-1.86%	2
2014-03-20	2014-03-26	$15.66	$14.20	-5.39%	5
2014-02-13	2014-02-26	$13.31	$16.87	21.13%	9
2013-11-05	2013-11-07	$11.79	$9.32	-11.10%	3
2013-10-25	2013-10-28	$11.31	$10.86	-1.77%	2
2013-09-09	2013-10-24	$10.71	$11.54	-1.12%	34
2013-06-26	2013-07-17	$7.05	$8.02	5.33%	15
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