Strategy Zoo / S1561

LongTermTrend_V1561

ARCHIVEDhybrid

llmAdded 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)
LongTermTrend_V1083S1083 · gen 49ELITEllm

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 cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR22.8%47.1%9.2%23.9%
Total Return416.6%218.4%39.2%2244.1%
Sharpe0.951.240.480.91
Sortino0.971.280.470.91
Calmar0.611.400.260.63
Volatility24.9%36.5%24.3%27.5%
Max DD-37.7%-33.7%-35.9%-37.7%
Win Rate44.7%47.3%31.1%42.9%
Avg Win6.9%7.1%10.7%7.8%
Avg Loss-2.7%-2.7%-3.3%-2.8%
Payoff2.612.613.262.75
Expectancy1.6%1.9%1.1%1.7%
Profit Factor2.112.341.472.07
Trades1147445233
Avg Holding Days7.45.27.96.9
Turnover22.939.519.425.3
Exposure29.6%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
YearCAGRSharpeMax DDTrades
201626.3%1.87-6.1%4
201716.8%1.00-12.1%14
2018-7.9%-0.28-19.0%11
201916.7%0.70-23.4%7
2020185.4%2.23-33.7%38
202112.5%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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2790.1%0.0018%
hidden testEXPENSIVE8376.6%2.1239%
hidden testEXTREME48104.4%2.9727%
hidden testHIGH VOLATILITY25412.1%0.3828%
hidden testLOW VOLATILITY44332.5%1.6628%
hidden testMEDIUM VOLATILITY251-25.3%-1.1223%
hidden testNORMAL817-0.3%-0.0125%
hidden testSIDEWAYS298-13.7%-0.6032%
hidden testUPTREND37140.9%1.4129%
trainDOWNTREND518-5.9%-0.4213%
trainEXPENSIVE31145.9%1.6743%
trainEXTREME100296.2%5.3166%
trainHIGH VOLATILITY69938.9%1.1729%
trainLOW VOLATILITY74525.4%1.4735%
trainMEDIUM VOLATILITY5682.4%0.1224%
trainNORMAL1,6012.3%0.1125%
trainSIDEWAYS59212.2%0.5829%
trainUPTREND90248.1%1.5439%
validationDOWNTREND12524.5%1.416%
validationEXPENSIVE13811.3%0.2838%
validationEXTREME144219.8%3.6458%
validationHIGH VOLATILITY25825.1%0.5228%
validationLOW VOLATILITY1838.5%0.4737%
validationMEDIUM VOLATILITY31583.1%2.5335%
validationNORMAL4742.1%0.0924%
validationSIDEWAYS206-9.9%-0.4625%
validationUPTREND42578.1%1.7345%

Trades (full period)

latest 100 of 234
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-0.63%5OPEN
2026-09-182026-09-29$364.27$352.84-2.05%8
2026-09-092026-09-17$367.81$366.20-2.35%7
2026-09-042026-09-08$354.08$368.16-4.89%2
2026-09-012026-09-02$356.09$357.01-2.74%2
2026-07-072026-07-08$402.90$394.06-3.37%2
2026-07-012026-07-06$425.30$419.77-5.30%3
2026-05-282026-06-02$442.10$423.74-4.61%4
2026-05-042026-05-21$392.51$417.855.30%14
2026-04-202026-04-22$392.50$387.51-3.00%3
2026-04-162026-04-17$388.90$400.62-0.78%2
2025-12-042025-12-30$454.53$454.432.22%18
2025-11-042025-11-05$444.26$462.07-4.27%2
2025-09-082025-10-06$346.40$453.2517.65%21
2025-08-252025-09-03$346.60$334.09-2.65%7
2025-08-082025-08-22$329.65$340.01-0.67%11
2025-07-292025-07-30$321.20$319.04-1.24%2
2025-07-212025-07-25$328.49$316.06-6.05%5
2025-06-252025-06-26$327.55$325.78-3.19%2
2025-04-282025-06-03$285.88$344.2715.93%26
2024-12-202024-12-24$421.06$462.28-1.17%3
2024-12-092024-12-19$389.79$436.1710.32%9
2024-11-142024-11-29$311.18$345.160.57%11
2024-10-252024-11-13$269.19$330.2420.60%14
2024-09-112024-10-04$228.13$250.085.03%18
2024-09-062024-09-09$210.73$216.27-6.91%2
2024-08-262024-08-27$213.21$209.21-2.74%2
2024-08-202024-08-23$221.10$220.32-4.48%4
2024-07-152024-07-22$252.64$251.51-3.05%6
2024-06-172024-07-12$187.44$248.2327.57%18
2024-05-142024-05-30$177.55$178.791.91%12
2024-04-302024-05-10$183.28$168.47-9.32%9
2023-12-152024-01-02$253.50$248.42-0.94%11
2023-11-292023-12-14$244.14$251.05-2.56%12
2023-11-222023-11-24$234.21$235.45-2.48%2
2023-11-162023-11-17$233.59$234.30-3.20%2
2023-10-062023-10-17$260.53$254.85-2.03%8
2023-09-122023-09-22$267.48$244.88-5.39%9
2023-09-062023-09-07$251.92$251.49-1.58%2
2023-08-302023-09-05$256.90$256.49-3.94%4
2023-07-062023-07-07$276.54$274.43-1.84%2
2023-05-222023-06-27$188.87$250.2126.30%25
2023-04-052023-04-06$185.52$185.06-3.09%2
2023-03-242023-04-04$190.41$192.580.97%8
2023-02-012023-02-23$181.41$202.0712.59%16
2023-01-272023-01-31$177.90$173.223.14%3
2022-09-132022-09-23$292.13$275.33-4.29%9
2022-08-162022-08-19$306.56$296.67-1.83%4
2022-08-092022-08-12$283.33$300.03-1.18%4
2022-07-192022-08-08$245.53$290.4215.58%15
2022-07-112022-07-12$234.34$233.07-5.39%2
2022-03-212022-04-11$307.05$325.3110.49%16
2022-01-132022-01-14$343.85$349.87-5.55%2
2022-01-042022-01-07$383.20$342.32-9.22%4
2021-12-282022-01-03$362.82$399.93-2.88%5
2021-11-222021-11-23$385.62$369.681.23%2
2021-11-182021-11-19$365.46$379.020.38%2
2021-11-112021-11-12$354.50$344.47-0.49%2
2021-10-132021-11-10$270.36$355.9821.37%21
2021-10-082021-10-11$261.83$263.98-0.98%2
2021-09-282021-10-07$259.19$264.54-1.03%8
2021-08-312021-09-21$245.24$246.46-0.21%15
2021-07-302021-08-17$229.07$221.900.92%13
2021-07-132021-07-15$222.85$216.87-3.94%3
2021-06-242021-07-12$226.61$228.57-0.08%12
2021-06-222021-06-23$207.90$218.860.21%2
2021-06-182021-06-21$207.77$206.940.71%2
2021-06-152021-06-16$199.79$201.62-2.53%2
2021-06-112021-06-14$203.30$205.90-0.19%2
2021-06-022021-06-03$201.71$190.95-2.57%2
2021-05-282021-06-01$208.41$207.97-0.87%2
2021-04-142021-04-29$244.08$225.67-7.29%12
2021-04-122021-04-13$233.99$254.112.79%2
2021-04-082021-04-09$227.93$225.671.37%2
2021-04-062021-04-07$230.54$223.66-0.09%2
2021-02-082021-02-09$287.81$283.150.89%2
2021-02-042021-02-05$283.33$284.08-0.60%2
2021-02-022021-02-03$290.93$284.902.98%2
2021-01-282021-01-29$278.48$264.51-2.82%2
2021-01-262021-01-27$294.36$288.050.05%2
2021-01-132021-01-25$284.80$293.60-0.41%8
2021-01-042021-01-12$243.26$283.1511.80%7
2020-12-302020-12-31$231.59$235.223.30%2
2020-12-282020-12-29$221.23$222.000.07%2
2020-12-232020-12-24$215.33$220.590.54%2
2020-12-182020-12-22$231.67$213.45-0.83%3
2020-12-112020-12-17$203.33$218.63-0.68%5
2020-11-182020-12-10$162.21$209.0228.71%16
2020-11-062020-11-10$143.32$136.79-3.24%3
2020-10-142020-10-20$153.77$140.65-2.98%5
2020-10-122020-10-13$147.43$148.881.37%2
2020-10-082020-10-09$141.97$144.67-0.04%2
2020-10-052020-10-06$141.89$137.991.88%2
2020-10-012020-10-02$149.39$138.363.41%2
2020-09-292020-09-30$139.69$143.00-0.56%2
2020-09-232020-09-24$126.79$129.26-8.43%2
2020-09-212020-09-22$149.80$141.411.15%2
2020-09-172020-09-18$141.14$147.38-3.48%2
2020-09-152020-09-16$149.92$147.255.58%2
2020-09-082020-09-09$110.07$122.09-17.00%2