Strategy Zoo / S1558
LongTermTrend_V1558
ARCHIVEDhybridllmReduced overfitting to short ret_20d signals and added structural guards: (1) diversified entry rules to include breakout+sma_50 momentum and a clean sma_200 trend entry; (2) added exits for larger short-term drawdowns, price crossing below sma_50, and a stronger ret_20d stop; (3) added regime gates to trade only in uptrends and low/medium volatility and avoid bubble states; (4) introduced volatility-based position scaling (trim in high vol, increase in low vol) and reduced base position to 0.6 to improve robustness and lower risk.
Fitness
0.1090
Generation
72
Complexity
18
Created
2026-10-14
Lineage
Parents (1)
entry = LongTermTrend_V0605 OR PriceMomentum_V1003
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1558 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_50 and sma_50_slope > 0.0 and breakout_20 == 1 and vol_pctile < 0.75) or (close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.03 and cumret_252d > -0.5)):
position = 0.6
if long and (ret_20d < -0.06 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | -0.6% | -1.4% | -1.2% |
| Total Return | -10.2% | -1.8% | -5.3% | -16.5% |
| Sharpe | -0.11 | -0.01 | -0.13 | -0.09 |
| Sortino | -0.05 | -0.01 | -0.05 | -0.04 |
| Calmar | -0.06 | -0.03 | -0.07 | -0.04 |
| Volatility | 8.9% | 9.9% | 8.4% | 9.0% |
| Max DD | -24.0% | -24.4% | -19.6% | -28.4% |
| Win Rate | 34.6% | 41.7% | 51.9% | 42.9% |
| Avg Win | 3.3% | 2.9% | 2.1% | 2.7% |
| Avg Loss | -2.3% | -2.0% | -2.6% | -2.3% |
| Payoff | 1.45 | 1.44 | 0.81 | 1.17 |
| Expectancy | -0.4% | 0.0% | -0.2% | -0.2% |
| Profit Factor | 0.77 | 1.03 | 0.87 | 0.88 |
| Trades | 26 | 24 | 27 | 77 |
| Avg Holding Days | 10.5 | 4.0 | 2.6 | 5.7 |
| Turnover | 3.9 | 9.6 | 8.6 | 6.3 |
| Exposure | 7.3% | 5.6% | 2.8% | 5.8% |
Growth of $100
LongTermTrend_V1558 vs TSLA Buy & Hold
LongTermTrend_V1558 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 | -0.8% | -0.13 | -5.9% | 3 |
| 2017 | 5.1% | 1.80 | -0.7% | 5 |
| 2018 | -13.8% | -1.73 | -13.8% | 3 |
| 2019 | 4.4% | 0.73 | -4.5% | 1 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 8.5% | 0.60 | -16.5% | 16 |
| 2022 | -9.5% | -1.42 | -11.5% | 8 |
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 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.9% | -1.76 | 1% |
| hidden test | LOW VOLATILITY | 443 | 3.1% | 0.43 | 4% |
| hidden test | MEDIUM VOLATILITY | 251 | 5.5% | 0.56 | 2% |
| hidden test | NORMAL | 817 | -3.8% | -0.46 | 3% |
| hidden test | SIDEWAYS | 298 | -4.2% | -0.96 | 1% |
| hidden test | UPTREND | 371 | 0.6% | 0.04 | 7% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.1% | 1.51 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.6% | -0.21 | 0% |
| train | LOW VOLATILITY | 745 | 6.5% | 0.63 | 15% |
| train | MEDIUM VOLATILITY | 568 | -10.0% | -1.22 | 5% |
| train | NORMAL | 1,601 | -2.4% | -0.24 | 9% |
| train | SIDEWAYS | 592 | -5.4% | -1.28 | 1% |
| train | UPTREND | 902 | 1.4% | 0.11 | 16% |
| 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 | 10.7% | 1.41 | 14% |
| validation | MEDIUM VOLATILITY | 315 | -2.5% | -0.20 | 5% |
| validation | NORMAL | 474 | -0.2% | -0.02 | 9% |
| validation | SIDEWAYS | 206 | -5.1% | -1.14 | 0% |
| validation | UPTREND | 425 | 2.2% | 0.17 | 10% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.61% | 2 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.25% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -2.53% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.45% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.30% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.31% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.56% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.48% | 5 | |
| 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 | 2021-12-02 | $369.68 | $361.53 | -3.28% | 7 | |
| 2021-09-22 | 2021-11-10 | $250.65 | $355.98 | 22.14% | 36 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.15% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.12% | 5 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.25% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.48% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -0.97% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.07% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.47% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -1.91% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 4.45% | 17 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -5.40% | 18 | |
| 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 | |
| 2017-01-19 | 2017-01-25 | $16.25 | $16.96 | 3.93% | 5 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.67% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 0.97% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2016-04-05 | 2016-05-02 | $17.03 | $16.12 | -1.54% | 20 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 3.48% | 54 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -1.77% | 2 | |
| 2014-08-04 | 2014-09-23 | $15.90 | $16.69 | 4.41% | 36 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -3.30% | 18 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 10.06% | 5 | |
| 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 | |
| 2012-12-18 | 2013-01-14 | $2.31 | $2.22 | -2.69% | 18 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-11-27 | 2012-11-28 | $2.14 | $2.22 | -0.34% | 2 | |
| 2012-11-23 | 2012-11-26 | $2.14 | $2.15 | -0.75% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -1.69% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |