Strategy Zoo / S1584
LongTermTrend_V1584
ARCHIVEDhybridllmRequire stronger multi-timeframe trend (price>200SMA, 50>200, positive 200SMA slope), keep momentum (ret_20d>5%) and recent breakout, avoid high volatility (vol_pctile<0.7) and deep year drawdown. Exit expanded to stoploss OR drawdown cap OR price breach of 50SMA. Added trend and volatility regime gates; reduced base position to 0.8 to lower risk.
Fitness
0.4627
Generation
73
Complexity
15
Created
2026-10-14
Lineage
Parents (1)
changed sma_200_slope threshold 0.0 -> -0.0012
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1584 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (close > sma_200 and sma_50 > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.05 and vol_pctile < 0.7 and cumret_252d > -0.15 and breakout_20 > 0.0):
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 | 0.7% | 39.9% | 1.5% | 8.1% |
| Total Return | 5.7% | 173.9% | 5.9% | 213.8% |
| Sharpe | 0.12 | 1.89 | 0.20 | 0.68 |
| Sortino | 0.04 | 1.45 | 0.08 | 0.30 |
| Calmar | 0.03 | 4.57 | 0.14 | 0.40 |
| Volatility | 10.6% | 18.7% | 10.0% | 12.6% |
| Max DD | -20.3% | -8.7% | -11.3% | -20.3% |
| Win Rate | 54.5% | 100.0% | 100.0% | 68.8% |
| Avg Win | 5.3% | 40.0% | 2.9% | 15.6% |
| Avg Loss | -6.2% | 0.0% | 0.0% | -6.2% |
| Payoff | 0.87 | 5.00 | 5.00 | 2.54 |
| Expectancy | 0.1% | 40.0% | 2.9% | 8.8% |
| Profit Factor | 1.04 | 5.00 | 5.00 | 5.58 |
| Trades | 11 | 3 | 2 | 16 |
| Avg Holding Days | 10.7 | 35.7 | 25.5 | 17.9 |
| Turnover | 2.3 | 1.6 | 0.9 | 1.7 |
| Exposure | 4.7% | 11.0% | 4.1% | 5.8% |
Growth of $100
LongTermTrend_V1584 vs TSLA Buy & Hold
LongTermTrend_V1584 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -7.9% | -0.41 | -16.9% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 7.6% | 1.31 | -3.0% | 0 |
| 2020 | 149.4% | 3.42 | -7.0% | 2 |
| 2021 | 6.4% | 0.48 | -8.7% | 1 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 14.7% | 0.53 | 39% |
| hidden test | EXTREME | 48 | 23.7% | 0.93 | 13% |
| hidden test | HIGH VOLATILITY | 254 | -2.8% | -1.02 | 0% |
| hidden test | LOW VOLATILITY | 443 | 11.8% | 1.79 | 2% |
| hidden test | MEDIUM VOLATILITY | 251 | -10.3% | -0.60 | 11% |
| hidden test | NORMAL | 817 | -0.5% | -0.58 | 0% |
| hidden test | SIDEWAYS | 298 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 5.2% | 0.32 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 4.8% | 0.20 | 22% |
| train | EXTREME | 100 | 27.1% | 1.37 | 22% |
| train | HIGH VOLATILITY | 699 | -1.4% | -0.12 | 1% |
| train | LOW VOLATILITY | 745 | 5.2% | 0.74 | 6% |
| train | MEDIUM VOLATILITY | 568 | -0.7% | -0.06 | 8% |
| train | NORMAL | 1,601 | -1.0% | -0.66 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 2.8% | 0.18 | 10% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 74.4% | 2.28 | 41% |
| validation | EXTREME | 144 | 116.1% | 4.17 | 18% |
| validation | HIGH VOLATILITY | 258 | 14.1% | 1.37 | 1% |
| validation | LOW VOLATILITY | 183 | 7.2% | 0.60 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 69.0% | 2.68 | 21% |
| validation | NORMAL | 474 | -0.6% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 62.8% | 2.53 | 20% |
Trades (full period)
16 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2025-11-13 | $425.86 | $401.99 | 1.87% | 42 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.98% | 9 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 47.69% | 62 | |
| 2020-06-01 | 2020-07-06 | $59.87 | $91.44 | 34.69% | 25 | |
| 2019-12-17 | 2020-01-31 | $25.27 | $43.37 | 51.65% | 31 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.53% | 7 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-06 | 2017-07-06 | $23.52 | $20.59 | -4.72% | 22 | |
| 2017-04-26 | 2017-05-10 | $20.68 | $21.68 | 1.81% | 11 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 8.17% | 6 | |
| 2017-02-10 | 2017-02-28 | $17.95 | $16.67 | -6.96% | 12 | |
| 2014-02-14 | 2014-02-26 | $13.22 | $16.87 | 19.03% | 8 | |
| 2013-09-20 | 2013-10-24 | $12.23 | $11.54 | -6.07% | 25 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.77% | 7 | |
| 2013-02-04 | 2013-02-12 | $2.52 | $2.53 | 0.10% | 7 |