Strategy Zoo / S1625
LongTermTrend_V1625
ARCHIVEDhybridllmSimplified and de-duplicated entry; require price > sma_50 and moderate recent return + RSI filter to avoid overbought. Added multi-condition exit: softer 20d loss (-8%), break below sma_50, or drawdown cap. Added regime gates to avoid DOWNTREND, high bubble periods, and to restrict to low/medium volatility. Position scaling rules reduce exposure in medium/high volatility. Base position reduced to 0.8 to lower overall risk.
Fitness
0.0941
Generation
75
Complexity
17
Created
2026-10-15
Lineage
Parents (1)
entry = LongTermTrend_V1319 AND PriceMomentum_V1300
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1625 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.1) and close > sma_50 and ret_20d > 0.03 and dist_sma_20 > -0.03 and rsi_14 < 75.0):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.2% | 0.1% | -1.5% | -2.1% |
| Total Return | -23.0% | 0.2% | -5.7% | -27.2% |
| Sharpe | -0.12 | 0.10 | 0.01 | -0.04 |
| Sortino | -0.08 | 0.06 | 0.01 | -0.02 |
| Calmar | -0.07 | 0.00 | -0.06 | -0.04 |
| Volatility | 16.1% | 18.5% | 18.5% | 17.2% |
| Max DD | -48.2% | -30.6% | -24.8% | -48.2% |
| Win Rate | 32.4% | 14.3% | 33.3% | 30.6% |
| Avg Win | 7.0% | 43.3% | 11.3% | 10.3% |
| Avg Loss | -4.1% | -5.8% | -5.5% | -4.7% |
| Payoff | 1.71 | 7.50 | 2.06 | 2.17 |
| Expectancy | -0.5% | 1.2% | 0.1% | -0.1% |
| Profit Factor | 0.82 | 1.25 | 1.03 | 0.96 |
| Trades | 37 | 7 | 18 | 62 |
| Avg Holding Days | 12.6 | 25.1 | 11.6 | 13.7 |
| Turnover | 7.4 | 3.7 | 7.6 | 6.7 |
| Exposure | 17.1% | 17.9% | 16.1% | 17.0% |
Growth of $100
LongTermTrend_V1625 vs TSLA Buy & Hold
LongTermTrend_V1625 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 | -4.5% | -0.35 | -11.9% | 4 |
| 2017 | 13.0% | 1.76 | -4.3% | 3 |
| 2018 | -18.6% | -1.58 | -19.3% | 3 |
| 2019 | -5.5% | -0.15 | -21.7% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.0% | 0.47 | -24.5% | 5 |
| 2022 | -8.2% | -0.33 | -23.9% | 2 |
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 | -2.8% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.0% | -0.83 | 2% |
| hidden test | LOW VOLATILITY | 445 | 15.0% | 0.87 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.8% | -0.54 | 17% |
| hidden test | NORMAL | 818 | -3.3% | -0.17 | 18% |
| hidden test | SIDEWAYS | 300 | -27.2% | -1.38 | 25% |
| hidden test | UPTREND | 371 | 24.6% | 1.04 | 21% |
| train | DOWNTREND | 518 | -8.5% | -1.39 | 1% |
| train | EXPENSIVE | 311 | 7.8% | 1.51 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -0.9% | -0.06 | 1% |
| train | LOW VOLATILITY | 745 | 17.5% | 1.03 | 34% |
| train | MEDIUM VOLATILITY | 568 | -28.8% | -1.78 | 15% |
| train | NORMAL | 1,601 | -4.0% | -0.22 | 21% |
| train | SIDEWAYS | 592 | -18.2% | -1.10 | 17% |
| train | UPTREND | 902 | 12.4% | 0.64 | 27% |
| 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 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 26.7% | 1.57 | 42% |
| validation | MEDIUM VOLATILITY | 315 | -3.6% | -0.15 | 19% |
| validation | NORMAL | 474 | 2.8% | 0.12 | 29% |
| validation | SIDEWAYS | 206 | -9.6% | -0.43 | 28% |
| validation | UPTREND | 425 | 7.8% | 0.41 | 18% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -4.08% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.67% | 15 | |
| 2025-08-25 | 2025-09-15 | $346.60 | $410.04 | 12.89% | 15 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 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 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.94% | 16 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.90% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -3.23% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 20.79% | 45 | |
| 2023-02-28 | 2023-03-10 | $205.71 | $173.44 | -13.68% | 9 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -5.92% | 23 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -2.35% | 27 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -7.85% | 4 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-06-24 | 2021-11-10 | $226.61 | $355.98 | 43.27% | 98 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -4.21% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -9.14% | 13 | |
| 2019-11-22 | 2019-12-17 | $22.20 | $25.27 | 5.89% | 17 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 13.63% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -7.54% | 9 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -6.43% | 2 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -7.21% | 18 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -4.53% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -8.08% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-02-02 | 2017-02-03 | $16.77 | $16.76 | 0.58% | 2 | |
| 2016-12-30 | 2017-01-25 | $14.25 | $16.96 | 14.49% | 17 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.31% | 27 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.18% | 3 | |
| 2016-03-28 | 2016-05-04 | $15.35 | $14.84 | 1.54% | 28 | |
| 2016-03-23 | 2016-03-24 | $14.84 | $15.18 | -4.14% | 2 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -4.79% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.90% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -7.26% | 2 | |
| 2015-04-29 | 2015-07-28 | $15.50 | $17.65 | 7.77% | 63 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.88% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -5.05% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.78% | 9 | |
| 2014-06-16 | 2014-09-23 | $14.97 | $16.69 | 16.79% | 70 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.53% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.42% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.76% | 5 | |
| 2014-01-10 | 2014-01-14 | $9.71 | $10.75 | -4.60% | 3 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 1.12% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 13.44% | 5 | |
| 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 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.52% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -4.20% | 4 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -1.50% | 13 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -4.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.76% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.02% | 38 |