Strategy Zoo / S1564
LongTermTrend_V1564
ARCHIVEDhybridllmSimplified and generalized entry: replace repeated ret_20d reliance with SMA-50 trend confirmation + sma_50_slope and RSI momentum; add low volatility filter (vol_pctile<0.6) and allow short 20d returns as alternative. Strengthened exits: OR of 20d stop-loss (-8%), absolute drawdown (12%), or close below sma_50. Add regime gates to require UPTREND and LOW/MEDIUM volatility and avoid bubble states. Reduced base_position from 1.0 to 0.8 to lower leverage and improve robustness.
Fitness
0.0743
Generation
72
Complexity
14
Created
2026-10-14
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1564 [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 or ret_20d > 0.03) and sma_50_slope > 0.0 and rsi_14 > 50.0 and vol_pctile < 0.6):
position = 0.8
if long and (ret_20d < -0.08 or drawdown > 0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.4% | -8.1% | -0.2% | -2.5% |
| Total Return | -10.8% | -22.4% | -0.6% | -31.2% |
| Sharpe | -0.05 | -0.47 | 0.07 | -0.11 |
| Sortino | -0.03 | -0.22 | 0.03 | -0.05 |
| Calmar | -0.04 | -0.17 | -0.01 | -0.05 |
| Volatility | 12.5% | 15.3% | 15.8% | 14.0% |
| Max DD | -36.3% | -48.5% | -28.9% | -50.6% |
| Win Rate | 33.3% | 10.0% | 40.0% | 30.8% |
| Avg Win | 6.0% | 34.9% | 8.0% | 8.6% |
| Avg Loss | -3.4% | -5.8% | -4.9% | -4.4% |
| Payoff | 1.75 | 6.00 | 1.64 | 1.95 |
| Expectancy | -0.3% | -1.7% | 0.3% | -0.4% |
| Profit Factor | 0.87 | 0.67 | 1.09 | 0.87 |
| Trades | 27 | 10 | 15 | 52 |
| Avg Holding Days | 12.9 | 11.3 | 7.7 | 11.1 |
| Turnover | 5.4 | 5.3 | 6.4 | 5.6 |
| Exposure | 12.8% | 10.9% | 8.5% | 11.3% |
Growth of $100
LongTermTrend_V1564 vs TSLA Buy & Hold
LongTermTrend_V1564 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 | 8.1% | 1.14 | -3.8% | 6 |
| 2018 | -18.5% | -1.78 | -18.4% | 3 |
| 2019 | 4.6% | 0.58 | -7.1% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.9% | 0.63 | -25.7% | 4 |
| 2022 | -30.7% | -2.25 | -30.6% | 5 |
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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.1% | -1.20 | 1% |
| hidden test | LOW VOLATILITY | 443 | 9.7% | 0.74 | 12% |
| hidden test | MEDIUM VOLATILITY | 251 | 6.4% | 0.33 | 9% |
| hidden test | NORMAL | 817 | -2.2% | -0.13 | 10% |
| hidden test | SIDEWAYS | 298 | -15.7% | -1.29 | 1% |
| hidden test | UPTREND | 371 | 15.4% | 0.68 | 21% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 10.1% | 1.79 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -3.4% | -0.33 | 1% |
| train | LOW VOLATILITY | 745 | 12.5% | 0.85 | 27% |
| train | MEDIUM VOLATILITY | 568 | -14.5% | -1.21 | 9% |
| train | NORMAL | 1,601 | -2.8% | -0.20 | 16% |
| train | SIDEWAYS | 592 | -7.3% | -1.29 | 1% |
| train | UPTREND | 902 | 3.3% | 0.18 | 28% |
| 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 | -9.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 12.6% | 0.91 | 28% |
| validation | MEDIUM VOLATILITY | 315 | -17.0% | -0.87 | 9% |
| validation | NORMAL | 474 | -11.6% | -0.60 | 17% |
| validation | SIDEWAYS | 206 | -27.8% | -2.08 | 2% |
| validation | UPTREND | 425 | 0.6% | 0.03 | 18% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.63% | 21 | |
| 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 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -14.50% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -10.21% | 8 | |
| 2024-09-18 | 2024-09-20 | $227.20 | $238.25 | 5.47% | 3 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -4.50% | 6 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 17.82% | 43 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -3.86% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.16% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.44% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -19.20% | 16 | |
| 2021-12-29 | 2022-01-03 | $362.06 | $399.93 | -2.49% | 4 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -7.85% | 4 | |
| 2021-12-01 | 2021-12-03 | $365.00 | $338.32 | -4.37% | 3 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 34.93% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.57% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -7.62% | 16 | |
| 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 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-11 | 2017-10-17 | $23.64 | $23.72 | -1.28% | 5 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -3.59% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.14% | 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 | |
| 2015-08-05 | 2015-08-07 | $18.01 | $16.17 | -6.18% | 3 | |
| 2015-07-30 | 2015-08-04 | $17.79 | $17.75 | -1.32% | 4 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 5.51% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-10-07 | 2014-10-10 | $17.30 | $15.79 | -1.27% | 4 | |
| 2014-06-23 | 2014-09-23 | $15.81 | $16.69 | 7.19% | 65 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 2013-03-06 | 2013-03-18 | $2.51 | $2.34 | -3.08% | 9 | |
| 2013-02-15 | 2013-02-22 | $2.47 | $2.41 | -6.61% | 5 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2013-01-16 | 2013-01-24 | $2.27 | $2.47 | 4.77% | 6 | |
| 2012-12-18 | 2013-01-14 | $2.31 | $2.22 | -3.60% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.46% | 33 |