LongTermTrend_V1602

ARCHIVEDhybrid

llmSimplified and regularized the entry to robust trend+momentum signals: require price breakout or being above 50/200 SMA with positive slopes, plus positive MACD histogram and modest 20d momentum. Added multi-condition exit (20d loss, price drop below SMA50, or MACD turn negative) for more reliable cutoffs. Introduced regime gates to trade only in UPTREND and non-high volatility periods and avoid bubble extremes. Added position scaling: reduce size in high volatility and force cash on short sharp 20d losses. Lowered base position to 0.7 to reduce risk/exposure and combat overfitting.

Fitness

0.1294

Generation

Complexity

Created

2026-10-15

Lineage

Parents (1)

LongTermTrend_V1407S1407 · gen 65ARCHIVEDllm

entry from LongTermTrend_V1383, exit from PriceMomentum_V0690

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1602  [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 and sma_50_slope > 0.0) or (close > sma_200 and sma_200_slope > 0.0) or breakout_20 > 0.5) and macd_hist > 0.0 and ret_20d > 0.03):
    position = 0.7
if long and (ret_20d < -0.03 or close < sma_50 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.9%	-2.3%	6.9%	1.7%
Total Return	7.5%	-6.9%	28.8%	28.9%
Sharpe	0.16	-0.17	0.72	0.24
Sortino	0.07	-0.07	0.27	0.10
Calmar	0.09	-0.09	0.55	0.06
Volatility	7.1%	10.5%	9.9%	8.7%
Max DD	-10.3%	-27.4%	-12.7%	-27.4%
Win Rate	36.4%	11.1%	58.3%	37.2%
Avg Win	4.4%	18.7%	5.6%	5.8%
Avg Loss	-1.9%	-3.0%	-2.4%	-2.3%
Payoff	2.34	6.32	2.30	2.53
Expectancy	0.4%	-0.6%	2.2%	0.7%
Profit Factor	1.34	0.79	3.21	1.50
Trades	22	9	12	43
Avg Holding Days	6.9	7.7	5.2	6.6
Turnover	3.9	4.2	4.5	4.1
Exposure	4.5%	5.6%	3.7%	4.5%

Growth of $100

LongTermTrend_V1602 vs TSLA Buy & Hold

LongTermTrend_V1602 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	1.5%	0.29	-4.7%	3
2017	7.7%	1.90	-0.8%	2
2018	-5.5%	-1.20	-5.5%	2
2019	-1.1%	-1.07	-1.1%	1
2020	0.0%	0.00	0.0%	0
2021	12.9%	0.81	-12.0%	5
2022	-17.6%	-2.49	-17.5%	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	278	0.0%	0.00	0%
hidden test	EXPENSIVE	83	29.7%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-6.8%	-0.69	1%
hidden test	LOW VOLATILITY	445	9.4%	1.00	5%
hidden test	MEDIUM VOLATILITY	250	17.6%	1.62	5%
hidden test	NORMAL	818	5.3%	0.54	4%
hidden test	SIDEWAYS	300	-1.7%	-1.38	0%
hidden test	UPTREND	371	19.8%	1.25	9%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	2.0%	1.18	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.0%	0.60	0%
train	LOW VOLATILITY	745	2.8%	0.36	11%
train	MEDIUM VOLATILITY	568	-4.5%	-0.68	2%
train	NORMAL	1,601	1.1%	0.13	6%
train	SIDEWAYS	592	-2.8%	-1.05	1%
train	UPTREND	902	4.4%	0.43	10%
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	-8.3%	-1.00	0%
validation	LOW VOLATILITY	183	-2.0%	-0.21	16%
validation	MEDIUM VOLATILITY	315	3.6%	0.28	4%
validation	NORMAL	474	-2.9%	-0.22	9%
validation	SIDEWAYS	206	-9.5%	-1.56	1%
validation	UPTREND	425	1.4%	0.10	10%

Trades (full period)

43 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.14%	2
2025-12-12	2025-12-30	$458.96	$454.43	1.93%	12
2025-09-12	2025-09-15	$395.94	$410.04	5.01%	2
2025-06-02	2025-06-03	$342.69	$344.27	-0.90%	2
2025-05-22	2025-05-28	$341.04	$356.90	5.75%	4
2024-10-03	2024-10-04	$240.66	$250.08	-2.49%	2
2024-09-24	2024-09-27	$254.27	$260.46	1.04%	4
2024-09-16	2024-09-20	$226.78	$238.25	4.02%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.05%	2
2024-07-02	2024-07-12	$231.26	$248.23	10.30%	8
2023-07-06	2023-07-07	$276.54	$274.43	-1.61%	2
2023-06-02	2023-06-27	$213.97	$250.21	11.12%	17
2022-09-20	2022-09-23	$308.73	$275.33	-4.80%	4
2022-08-16	2022-08-19	$306.56	$296.67	-1.60%	4
2022-08-05	2022-08-08	$288.17	$290.42	-4.78%	2
2022-04-05	2022-04-11	$363.75	$325.31	-7.53%	5
2021-10-13	2021-11-10	$270.36	$355.98	18.67%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.86%	2
2021-09-28	2021-10-07	$259.19	$264.54	-0.90%	8
2021-09-01	2021-09-21	$244.70	$246.46	-0.63%	14
2021-08-05	2021-08-17	$238.21	$221.90	-2.55%	9
2019-10-21	2019-10-22	$16.90	$17.04	-1.08%	2
2018-12-11	2018-12-18	$24.45	$22.47	-3.32%	6
2018-02-01	2018-02-05	$23.28	$22.21	-2.23%	3
2017-01-31	2017-02-02	$16.80	$16.77	-0.53%	3
2017-01-05	2017-01-25	$15.12	$16.96	8.25%	14
2016-07-26	2016-08-09	$15.30	$15.27	-1.29%	11
2016-06-08	2016-06-09	$15.70	$15.29	0.82%	2
2016-04-05	2016-04-14	$17.03	$16.79	2.04%	8
2015-07-21	2015-07-22	$17.78	$17.86	-3.98%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.08%	13
2015-05-11	2015-05-22	$15.97	$16.52	2.52%	10
2015-04-29	2015-05-01	$15.50	$15.07	-1.48%	3
2014-09-02	2014-09-12	$18.94	$18.61	2.65%	9
2014-08-05	2014-08-25	$15.90	$17.50	5.20%	15
2014-06-23	2014-07-07	$15.81	$14.84	-0.20%	10
2013-03-27	2013-04-02	$2.54	$2.96	11.07%	4
2013-02-12	2013-02-14	$2.53	$2.55	-0.08%	3
2012-11-23	2012-12-14	$2.14	$2.25	2.36%	16
2012-03-28	2012-04-05	$2.52	$2.30	-5.53%	7
2012-03-14	2012-03-16	$2.35	$2.35	-2.26%	3
2012-02-23	2012-02-29	$2.30	$2.23	-0.97%	5
2012-02-21	2012-02-22	$2.30	$2.28	-1.08%	2