LongTermTrend_V1560

ARCHIVEDhybrid

llmSimplified and strengthened regime gating and added momentum/volume filters; entry now requires price > SMA50, positive SMA50 slope, modest 20d return, and momentum/volume confirmation to reduce false signals. Regime gates restrict to UPTREND and non-high volatility, bubble NORMAL. Exit tightened to earlier signals (ret_20d < -8% OR price crossing below SMA50 OR negative SMA50 slope) to limit drawdown. Reduced base position to 0.8 and added position rules to scale down in HIGH_VOLATILITY and when bubble is EXPENSIVE/EXTREME to lower risk exposure.

Fitness

0.1171

Generation

Complexity

Created

2026-10-14

Lineage

Parents (1)

LongTermTrend_V1343S1343 · gen 61ELITEllm

changed cumret_252d threshold -0.1997 -> -0.4102

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1560  [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 ret_20d > 0.03 and (macd > 0.0 or macd_hist > 0.0 or rsi_14 > 55.0) and rel_volume > 1.0 and cumret_252d > -0.6):
    position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or sma_50_slope < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.7%	0.1%	-0.9%	-1.1%
Total Return	-12.8%	0.3%	-3.4%	-15.5%
Sharpe	-0.09	0.08	0.01	-0.02
Sortino	-0.05	0.03	0.00	-0.01
Calmar	-0.06	0.00	-0.03	-0.03
Volatility	11.8%	14.3%	14.4%	13.0%
Max DD	-30.4%	-35.3%	-33.4%	-39.1%
Win Rate	35.3%	20.0%	50.0%	36.7%
Avg Win	6.1%	34.9%	9.0%	9.8%
Avg Loss	-4.3%	-6.8%	-8.8%	-5.8%
Payoff	1.41	5.10	1.02	1.69
Expectancy	-0.6%	1.5%	0.1%	-0.1%
Profit Factor	0.77	1.28	1.02	0.98
Trades	17	5	8	30
Avg Holding Days	16.7	17.6	10.5	15.2
Turnover	3.4	2.7	3.4	3.3
Exposure	10.6%	8.8%	6.4%	9.2%

Growth of $100

LongTermTrend_V1560 vs TSLA Buy & Hold

LongTermTrend_V1560 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	-8.3%	-0.94	-13.4%	2
2017	9.5%	2.08	-0.7%	1
2018	-18.1%	-1.73	-18.0%	3
2019	4.7%	0.91	-0.4%	1
2020	0.0%	0.00	0.0%	0
2021	31.3%	1.45	-15.4%	3
2022	-23.7%	-1.82	-23.6%	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	279	0.0%	0.00	0%
hidden test	EXPENSIVE	83	17.4%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-25.0%	-1.69	1%
hidden test	LOW VOLATILITY	443	11.4%	0.92	9%
hidden test	MEDIUM VOLATILITY	251	5.8%	0.34	7%
hidden test	NORMAL	817	-1.6%	-0.11	7%
hidden test	SIDEWAYS	298	-9.0%	-0.85	1%
hidden test	UPTREND	371	7.5%	0.36	16%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	6.5%	1.29	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.2%	-0.21	0%
train	LOW VOLATILITY	745	9.4%	0.68	23%
train	MEDIUM VOLATILITY	568	-13.3%	-1.21	7%
train	NORMAL	1,601	-2.5%	-0.20	13%
train	SIDEWAYS	592	-6.7%	-1.20	1%
train	UPTREND	902	2.1%	0.13	23%
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	-9.4%	-1.00	0%
validation	LOW VOLATILITY	183	19.7%	1.68	22%
validation	MEDIUM VOLATILITY	315	-1.0%	-0.05	8%
validation	NORMAL	474	1.8%	0.10	14%
validation	SIDEWAYS	206	-15.1%	-1.33	1%
validation	UPTREND	425	9.3%	0.54	15%

Trades (full period)

30 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2026-01-05	$475.31	$451.67	-3.75%	14
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-09-04	2025-09-05	$338.53	$350.84	0.90%	2
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2024-10-03	2024-10-14	$240.66	$219.16	-10.21%	8
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-06-02	2023-08-03	$213.97	$259.32	17.82%	43
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2021-11-24	2021-12-03	$372.00	$338.32	-1.88%	7
2021-08-24	2021-11-10	$236.16	$355.98	34.93%	56
2021-08-17	2021-08-23	$221.90	$235.43	-0.83%	5
2019-12-13	2019-12-17	$23.89	$25.27	4.69%	3
2018-11-27	2018-12-21	$22.93	$21.32	-7.21%	18
2018-02-08	2018-02-09	$21.02	$20.69	-7.06%	2
2018-02-01	2018-02-06	$23.28	$22.26	-4.95%	4
2017-01-05	2017-01-25	$15.12	$16.96	9.47%	14
2016-07-26	2016-08-29	$15.30	$14.35	-3.63%	25
2016-04-05	2016-05-04	$17.03	$14.84	-4.86%	22
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-05-12	2015-07-28	$16.32	$17.65	4.49%	54
2015-04-29	2015-05-01	$15.50	$15.07	-1.69%	3
2014-06-24	2014-09-23	$15.50	$16.69	4.41%	64
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-02-19	2013-02-22	$2.62	$2.41	-4.14%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-12-19	2013-01-14	$2.31	$2.22	-4.03%	17
2012-11-29	2012-12-14	$2.25	$2.25	0.79%	12
2012-02-23	2012-04-10	$2.30	$2.16	-2.46%	33