Strategy Zoo / S1604
LongTermTrend_V1604
ARCHIVEDhybridllmSimplified and strengthened entry: require either 200-day breakout with rising 200-SMA or strong 20d momentum (>25%), add filter for positive 50-SMA slope and moderate historical drawdown, and avoid high volatility (vol_pctile<0.8). Add regime gates to trade only in UPTREND / MEDIUM_VOLATILITY / NORMAL bubble. Exit improved: add a meaningful 20d stop-loss (-5%) and a trend-based exit (close < SMA50) while keeping the tiny existing exit. Reduced base position to 0.7 to lower drawdown risk.
Fitness
0.4978
Generation
74
Complexity
13
Created
2026-10-15
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1604 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.25) and cumret_252d > -0.1997 and sma_50_slope > 0.0 and vol_pctile < 0.8):
position = 0.7
if long and (ret_20d < -0.05 or close < sma_50 or ret_20d < -0.0017):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.4% | 60.9% | -11.3% | 11.8% |
| Total Return | 90.7% | 316.6% | -36.2% | 417.1% |
| Sharpe | 0.49 | 1.53 | -0.50 | 0.58 |
| Sortino | 0.46 | 1.61 | -0.37 | 0.53 |
| Calmar | 0.18 | 2.29 | -0.22 | 0.22 |
| Volatility | 20.7% | 35.0% | 19.8% | 24.2% |
| Max DD | -47.7% | -26.6% | -50.7% | -52.6% |
| Win Rate | 39.2% | 41.3% | 31.7% | 37.6% |
| Avg Win | 5.3% | 13.6% | 3.8% | 7.1% |
| Avg Loss | -2.1% | -2.7% | -2.7% | -2.4% |
| Payoff | 2.57 | 4.97 | 1.40 | 2.98 |
| Expectancy | 0.8% | 4.0% | -0.6% | 1.2% |
| Profit Factor | 1.66 | 3.50 | 0.65 | 1.80 |
| Trades | 120 | 46 | 60 | 226 |
| Avg Holding Days | 6.3 | 8.6 | 5.0 | 6.6 |
| Turnover | 21.1 | 21.5 | 22.3 | 21.5 |
| Exposure | 23.2% | 32.4% | 17.9% | 23.7% |
Growth of $100
LongTermTrend_V1604 vs TSLA Buy & Hold
LongTermTrend_V1604 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 | -9.8% | -1.86 | -9.8% | 6 |
| 2017 | 4.0% | 0.30 | -21.8% | 30 |
| 2018 | -21.9% | -1.98 | -22.9% | 6 |
| 2019 | 12.3% | 1.36 | -5.2% | 0 |
| 2020 | 212.7% | 2.58 | -24.4% | 13 |
| 2021 | 59.3% | 1.71 | -14.5% | 24 |
| 2022 | -25.9% | -1.71 | -26.6% | 9 |
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 | 4.0% | 0.13 | 46% |
| hidden test | EXTREME | 48 | 30.0% | 0.87 | 39% |
| hidden test | HIGH VOLATILITY | 254 | -35.1% | -1.58 | 12% |
| hidden test | LOW VOLATILITY | 445 | 15.3% | 1.00 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -29.4% | -1.24 | 22% |
| hidden test | NORMAL | 818 | -13.7% | -0.81 | 14% |
| hidden test | SIDEWAYS | 300 | -28.2% | -1.94 | 8% |
| hidden test | UPTREND | 371 | -2.7% | -0.09 | 39% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.7% | 0.79 | 50% |
| train | EXTREME | 100 | 285.2% | 5.51 | 69% |
| train | HIGH VOLATILITY | 699 | 23.8% | 0.91 | 17% |
| train | LOW VOLATILITY | 745 | 16.6% | 1.10 | 29% |
| train | MEDIUM VOLATILITY | 568 | -15.0% | -0.77 | 24% |
| train | NORMAL | 1,601 | -9.6% | -0.71 | 15% |
| train | SIDEWAYS | 592 | -13.2% | -1.59 | 4% |
| train | UPTREND | 902 | 31.4% | 1.04 | 49% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 24.2% | 0.61 | 47% |
| validation | EXTREME | 144 | 219.0% | 4.03 | 54% |
| validation | HIGH VOLATILITY | 258 | 79.7% | 1.70 | 28% |
| validation | LOW VOLATILITY | 183 | 25.6% | 1.42 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 48.7% | 1.58 | 35% |
| validation | NORMAL | 474 | 12.1% | 0.50 | 22% |
| validation | SIDEWAYS | 206 | -8.7% | -0.63 | 7% |
| validation | UPTREND | 425 | 99.7% | 2.19 | 54% |
Trades (full period)
latest 100 of 226
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -2.95% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -8.70% | 17 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.28% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -1.97% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.18% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 2.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -2.78% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -1.54% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.21% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.57% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -3.04% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -2.65% | 19 | |
| 2025-12-03 | 2025-12-05 | $446.74 | $455.00 | 3.97% | 3 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.14% | 2 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.06% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 4.63% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -1.66% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -1.45% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.27% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -3.40% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.52% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 19.89% | 43 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.87% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.38% | 3 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.63% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.49% | 2 | |
| 2025-06-30 | 2025-07-01 | $317.66 | $300.71 | -1.43% | 2 | |
| 2025-06-26 | 2025-06-27 | $325.78 | $323.63 | -0.52% | 2 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.12% | 2 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -2.86% | 2 | |
| 2025-06-13 | 2025-06-16 | $325.31 | $329.13 | 1.22% | 2 | |
| 2025-06-10 | 2025-06-12 | $326.09 | $319.11 | 3.91% | 3 | |
| 2025-05-16 | 2025-06-06 | $349.98 | $295.14 | -12.01% | 15 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.33% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.48% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.90% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -4.57% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -2.51% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -2.64% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -3.76% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 1.87% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.03% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.12% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -1.62% | 2 | |
| 2024-12-06 | 2025-01-13 | $389.22 | $403.31 | 5.09% | 24 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -9.25% | 6 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -4.03% | 22 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.44% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 0.73% | 2 | |
| 2024-01-03 | 2024-01-05 | $238.45 | $237.49 | -3.10% | 3 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -2.15% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -2.12% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -0.91% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -2.24% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -0.80% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.29% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -1.80% | 2 | |
| 2023-06-01 | 2023-07-24 | $207.52 | $269.06 | 18.86% | 36 | |
| 2022-08-02 | 2022-08-29 | $300.59 | $284.82 | -2.17% | 20 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 3.20% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -8.66% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.40% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.52% | 12 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -1.41% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -2.24% | 3 | |
| 2022-01-10 | 2022-01-11 | $352.71 | $354.80 | 1.98% | 2 | |
| 2022-01-03 | 2022-01-07 | $399.93 | $342.32 | 0.61% | 5 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.16% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.49% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 3.89% | 2 | |
| 2021-12-21 | 2021-12-22 | $312.84 | $336.29 | 2.86% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.29% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.14% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.62% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -3.31% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.55% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -0.80% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 43.89% | 86 | |
| 2021-07-29 | 2021-07-30 | $225.78 | $229.07 | 3.14% | 2 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -1.51% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 13.60% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -2.78% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -3.53% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 4.31% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -5.78% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -1.67% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.68% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.03% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.24% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -3.82% | 2 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 50.40% | 55 | |
| 2020-11-10 | 2020-11-11 | $136.79 | $139.04 | -1.95% | 2 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -1.44% | 2 | |
| 2020-11-03 | 2020-11-05 | $141.30 | $146.03 | 3.44% | 3 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -4.02% | 2 | |
| 2020-10-28 | 2020-10-29 | $135.34 | $136.94 | -3.21% | 2 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.53% | 4 | |
| 2020-10-20 | 2020-10-21 | $140.65 | $140.88 | -1.58% | 2 |