Strategy Zoo / S1561
LongTermTrend_V1561
ARCHIVEDhybridllmAdded regime gates to trade only in uptrends and medium volatility; added guard vs near-52w highs (dist_52w_high < 0.6) to avoid bubbly entries; tightened exits to include SMA50 cross-down and a short-term stop (1d drop < -6%) in addition to macd_hist<0; reduced base position to 0.8 and added volatility-based scaling (reduce to 0.4 in high vol, full size in low vol) to lower drawdown and turnover.
Fitness
0.5301
Generation
72
Complexity
30
Created
2026-10-14
Lineage
Parents (1)
swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1561 [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((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)))) and sma_20 < close and dist_52w_high < 0.6):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.8% | 47.1% | 9.2% | 23.9% |
| Total Return | 416.6% | 218.4% | 39.2% | 2244.1% |
| Sharpe | 0.95 | 1.24 | 0.48 | 0.91 |
| Sortino | 0.97 | 1.28 | 0.47 | 0.91 |
| Calmar | 0.61 | 1.40 | 0.26 | 0.63 |
| Volatility | 24.9% | 36.5% | 24.3% | 27.5% |
| Max DD | -37.7% | -33.7% | -35.9% | -37.7% |
| Win Rate | 44.7% | 47.3% | 31.1% | 42.9% |
| Avg Win | 6.9% | 7.1% | 10.7% | 7.8% |
| Avg Loss | -2.7% | -2.7% | -3.3% | -2.8% |
| Payoff | 2.61 | 2.61 | 3.26 | 2.75 |
| Expectancy | 1.6% | 1.9% | 1.1% | 1.7% |
| Profit Factor | 2.11 | 2.34 | 1.47 | 2.07 |
| Trades | 114 | 74 | 45 | 233 |
| Avg Holding Days | 7.4 | 5.2 | 7.9 | 6.9 |
| Turnover | 22.9 | 39.5 | 19.4 | 25.3 |
| Exposure | 29.6% | 33.0% | 26.6% | 29.5% |
Growth of $100
LongTermTrend_V1561 vs TSLA Buy & Hold
LongTermTrend_V1561 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 | 26.3% | 1.87 | -6.1% | 4 |
| 2017 | 16.8% | 1.00 | -12.1% | 14 |
| 2018 | -7.9% | -0.28 | -19.0% | 11 |
| 2019 | 16.7% | 0.70 | -23.4% | 7 |
| 2020 | 185.4% | 2.23 | -33.7% | 38 |
| 2021 | 12.5% | 0.60 | -18.8% | 27 |
| 2022 | -3.9% | -0.08 | -14.3% | 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 | 0.1% | 0.00 | 18% |
| hidden test | EXPENSIVE | 83 | 76.6% | 2.12 | 39% |
| hidden test | EXTREME | 48 | 104.4% | 2.97 | 27% |
| hidden test | HIGH VOLATILITY | 254 | 12.1% | 0.38 | 28% |
| hidden test | LOW VOLATILITY | 443 | 32.5% | 1.66 | 28% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.3% | -1.12 | 23% |
| hidden test | NORMAL | 817 | -0.3% | -0.01 | 25% |
| hidden test | SIDEWAYS | 298 | -13.7% | -0.60 | 32% |
| hidden test | UPTREND | 371 | 40.9% | 1.41 | 29% |
| train | DOWNTREND | 518 | -5.9% | -0.42 | 13% |
| train | EXPENSIVE | 311 | 45.9% | 1.67 | 43% |
| train | EXTREME | 100 | 296.2% | 5.31 | 66% |
| train | HIGH VOLATILITY | 699 | 38.9% | 1.17 | 29% |
| train | LOW VOLATILITY | 745 | 25.4% | 1.47 | 35% |
| train | MEDIUM VOLATILITY | 568 | 2.4% | 0.12 | 24% |
| train | NORMAL | 1,601 | 2.3% | 0.11 | 25% |
| train | SIDEWAYS | 592 | 12.2% | 0.58 | 29% |
| train | UPTREND | 902 | 48.1% | 1.54 | 39% |
| validation | DOWNTREND | 125 | 24.5% | 1.41 | 6% |
| validation | EXPENSIVE | 138 | 11.3% | 0.28 | 38% |
| validation | EXTREME | 144 | 219.8% | 3.64 | 58% |
| validation | HIGH VOLATILITY | 258 | 25.1% | 0.52 | 28% |
| validation | LOW VOLATILITY | 183 | 8.5% | 0.47 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 83.1% | 2.53 | 35% |
| validation | NORMAL | 474 | 2.1% | 0.09 | 24% |
| validation | SIDEWAYS | 206 | -9.9% | -0.46 | 25% |
| validation | UPTREND | 425 | 78.1% | 1.73 | 45% |
Trades (full period)
latest 100 of 234
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.63% | 5 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.05% | 8 | |
| 2026-09-09 | 2026-09-17 | $367.81 | $366.20 | -2.35% | 7 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 5.30% | 14 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.67% | 11 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 15.93% | 26 | |
| 2024-12-20 | 2024-12-24 | $421.06 | $462.28 | -1.17% | 3 | |
| 2024-12-09 | 2024-12-19 | $389.79 | $436.17 | 10.32% | 9 | |
| 2024-11-14 | 2024-11-29 | $311.18 | $345.16 | 0.57% | 11 | |
| 2024-10-25 | 2024-11-13 | $269.19 | $330.24 | 20.60% | 14 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 5.03% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-20 | 2024-08-23 | $221.10 | $220.32 | -4.48% | 4 | |
| 2024-07-15 | 2024-07-22 | $252.64 | $251.51 | -3.05% | 6 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-05-14 | 2024-05-30 | $177.55 | $178.79 | 1.91% | 12 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -9.32% | 9 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 26.30% | 25 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.09% | 2 | |
| 2023-03-24 | 2023-04-04 | $190.41 | $192.58 | 0.97% | 8 | |
| 2023-02-01 | 2023-02-23 | $181.41 | $202.07 | 12.59% | 16 | |
| 2023-01-27 | 2023-01-31 | $177.90 | $173.22 | 3.14% | 3 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-09 | 2022-08-12 | $283.33 | $300.03 | -1.18% | 4 | |
| 2022-07-19 | 2022-08-08 | $245.53 | $290.42 | 15.58% | 15 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -5.39% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.23% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.38% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.49% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 0.92% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.21% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.71% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.53% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.19% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -2.57% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -0.87% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.79% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.37% | 2 | |
| 2021-04-06 | 2021-04-07 | $230.54 | $223.66 | -0.09% | 2 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 0.89% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.60% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 2.98% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-13 | 2021-01-25 | $284.80 | $293.60 | -0.41% | 8 | |
| 2021-01-04 | 2021-01-12 | $243.26 | $283.15 | 11.80% | 7 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 3.30% | 2 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.07% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.54% | 2 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -0.83% | 3 | |
| 2020-12-11 | 2020-12-17 | $203.33 | $218.63 | -0.68% | 5 | |
| 2020-11-18 | 2020-12-10 | $162.21 | $209.02 | 28.71% | 16 | |
| 2020-11-06 | 2020-11-10 | $143.32 | $136.79 | -3.24% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 1.37% | 2 | |
| 2020-10-08 | 2020-10-09 | $141.97 | $144.67 | -0.04% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 1.88% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 3.41% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.56% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -8.43% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.15% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -3.48% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 5.58% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -17.00% | 2 |