Strategy Zoo / S1562
LongTermTrend_V1562
ARCHIVEDhybridllmAdded regime gates to avoid extreme volatility/bubble regimes; broadened entry to allow either clean 200-day trend + positive slope OR short-term breakout/strong 20d momentum; relaxed 20d and 252d thresholds for more timely entries; added a volatility percentile gate to avoid entering in extreme vol; improved exits to include multi-horizon stop rules (20d loss, 1d shock, and drawdown cap); reduced base position to 75% to lower risk/turnover.
Fitness
0.2998
Generation
72
Complexity
17
Created
2026-10-14
Lineage
Parents (1)
changed sma_200_slope threshold -0.0024 -> -0.0041
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1562 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or breakout_20 == 1 or ret_20d > 0.06) and ret_20d > 0.03 and cumret_252d > 0.03 and vol_pctile < 0.85):
position = 0.75
if long and (ret_20d < -0.06 or ret_1d < -0.07 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.9% | 24.4% | -5.4% | 4.3% |
| Total Return | 15.9% | 92.7% | -18.7% | 85.6% |
| Sharpe | 0.19 | 1.06 | -0.24 | 0.32 |
| Sortino | 0.15 | 1.00 | -0.16 | 0.25 |
| Calmar | 0.05 | 0.81 | -0.15 | 0.09 |
| Volatility | 16.8% | 23.1% | 17.1% | 18.3% |
| Max DD | -35.3% | -30.2% | -34.6% | -48.5% |
| Win Rate | 45.9% | 46.7% | 25.0% | 42.2% |
| Avg Win | 5.9% | 18.3% | 7.6% | 9.7% |
| Avg Loss | -4.3% | -5.7% | -4.5% | -4.6% |
| Payoff | 1.38 | 3.22 | 1.69 | 2.10 |
| Expectancy | 0.4% | 5.5% | -1.5% | 1.4% |
| Profit Factor | 1.17 | 2.82 | 0.56 | 1.53 |
| Trades | 37 | 15 | 12 | 64 |
| Avg Holding Days | 15.4 | 18.8 | 18.7 | 17.0 |
| Turnover | 7.0 | 7.5 | 4.8 | 6.5 |
| Exposure | 20.2% | 26.5% | 16.8% | 20.6% |
Growth of $100
LongTermTrend_V1562 vs TSLA Buy & Hold
LongTermTrend_V1562 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 | -6.2% | -0.61 | -9.5% | 3 |
| 2017 | 13.7% | 0.78 | -10.5% | 11 |
| 2018 | -17.6% | -1.58 | -18.2% | 3 |
| 2019 | 7.1% | 1.31 | -2.8% | 0 |
| 2020 | 74.5% | 2.75 | -9.1% | 4 |
| 2021 | 22.6% | 0.87 | -21.6% | 7 |
| 2022 | -12.5% | -0.59 | -28.6% | 4 |
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 | -2.8% | -1.46 | 1% |
| hidden test | EXPENSIVE | 83 | 54.1% | 1.80 | 43% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.8% | -0.49 | 1% |
| hidden test | LOW VOLATILITY | 443 | 17.3% | 1.05 | 25% |
| hidden test | MEDIUM VOLATILITY | 251 | -39.9% | -1.84 | 19% |
| hidden test | NORMAL | 817 | -10.2% | -0.65 | 15% |
| hidden test | SIDEWAYS | 298 | -11.0% | -0.61 | 23% |
| hidden test | UPTREND | 371 | 0.6% | 0.03 | 24% |
| train | DOWNTREND | 518 | -5.0% | -1.28 | 1% |
| train | EXPENSIVE | 311 | 42.0% | 1.64 | 36% |
| train | EXTREME | 100 | 8.7% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.2% | 0.42 | 2% |
| train | LOW VOLATILITY | 745 | 16.7% | 0.98 | 34% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -0.96 | 24% |
| train | NORMAL | 1,601 | -4.6% | -0.31 | 18% |
| train | SIDEWAYS | 592 | -0.0% | -0.00 | 18% |
| train | UPTREND | 902 | 10.2% | 0.48 | 33% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 99.1% | 3.22 | 45% |
| validation | EXTREME | 144 | 35.5% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -6.1% | -0.66 | 1% |
| validation | LOW VOLATILITY | 183 | 9.3% | 0.47 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 58.4% | 1.87 | 34% |
| validation | NORMAL | 474 | -0.5% | -0.02 | 29% |
| validation | SIDEWAYS | 206 | -20.0% | -0.88 | 30% |
| validation | UPTREND | 425 | 53.3% | 2.03 | 33% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -2.72% | 23 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.67% | 2 | |
| 2025-12-12 | 2026-01-15 | $458.96 | $438.57 | -1.32% | 23 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 13.85% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.44% | 9 | |
| 2025-07-31 | 2025-08-06 | $308.27 | $319.91 | -2.57% | 5 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -14.21% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.91% | 2 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -10.97% | 14 | |
| 2023-11-17 | 2024-01-16 | $234.30 | $219.91 | -4.75% | 39 | |
| 2023-10-05 | 2023-10-13 | $260.05 | $251.12 | -0.80% | 7 | |
| 2023-06-13 | 2023-07-21 | $258.71 | $260.02 | 4.06% | 27 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -8.40% | 5 | |
| 2022-08-02 | 2022-08-31 | $300.59 | $275.61 | -4.99% | 22 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.12% | 27 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 2.79% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -4.72% | 2 | |
| 2021-11-23 | 2021-12-02 | $369.68 | $361.53 | -4.12% | 7 | |
| 2021-08-03 | 2021-11-10 | $236.58 | $355.98 | 32.19% | 71 | |
| 2021-06-11 | 2021-07-28 | $203.30 | $215.66 | 4.20% | 33 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -13.42% | 20 | |
| 2021-01-12 | 2021-02-19 | $283.15 | $260.43 | -2.18% | 27 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 32.73% | 21 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 32.52% | 14 | |
| 2020-10-13 | 2020-10-30 | $148.88 | $129.35 | -5.48% | 14 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.65% | 4 | |
| 2019-12-17 | 2020-01-22 | $25.27 | $37.97 | 31.20% | 24 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -6.76% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.25% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.58% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.97% | 10 | |
| 2017-08-25 | 2017-10-16 | $23.20 | $23.37 | 0.54% | 36 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.60% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.97% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -7.17% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.76% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.46% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.75% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.89% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.65% | 6 | |
| 2017-01-06 | 2017-02-28 | $15.27 | $16.67 | 6.37% | 36 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.47% | 28 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.40% | 4 | |
| 2015-12-30 | 2016-01-11 | $15.87 | $13.86 | -8.48% | 8 | |
| 2015-09-23 | 2015-10-08 | $17.40 | $15.11 | -8.54% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.81% | 2 | |
| 2015-04-28 | 2015-08-04 | $15.37 | $17.75 | 9.17% | 69 | |
| 2015-04-16 | 2015-04-21 | $13.78 | $13.96 | -1.07% | 4 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -3.27% | 15 | |
| 2014-09-19 | 2014-09-26 | $17.29 | $16.44 | -4.96% | 6 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 4.82% | 30 | |
| 2014-05-27 | 2014-07-17 | $14.10 | $14.36 | 3.57% | 37 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -5.06% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 19.75% | 9 | |
| 2014-01-03 | 2014-01-15 | $9.97 | $10.94 | 5.61% | 9 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -0.99% | 34 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 12.59% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.74% | 21 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.33% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.94% | 4 | |
| 2012-06-28 | 2012-07-18 | $2.09 | $2.14 | 3.22% | 14 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.47% | 5 | |
| 2012-04-09 | 2012-04-11 | $2.21 | $2.21 | -4.55% | 3 | |
| 2012-02-15 | 2012-04-05 | $2.24 | $2.30 | 4.21% | 36 |