Strategy Zoo / S1630
LongTermTrend_V1630
ARCHIVEDhybridllmFixed bubble gate to NORMAL (previous gated to EXPENSIVE/EXTREME). Added trend gate UPTREND and limited volatility to LOW/MEDIUM to avoid high-volatility entries. Simplified and regularized entry: keep price above 200sma or strong recent 20d return, require modest 20d return, positive short-term distance and 50sma slope and RSI>45 for healthier momentum. Improved exits: looser 20d stop (-8%) plus mechanical exit on close below 50sma or negative MACD histogram for timely risk cuts. Reduced base position from 1.0 to 0.8 to lower exposure.
Fitness
0.0971
Generation
75
Complexity
15
Created
2026-10-15
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0494
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1630 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_200 or ret_20d > 0.08) and ret_20d > 0.03 and dist_sma_20 > 0.03 and sma_50_slope > 0.0 and rsi_14 > 45.0):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.1% | -3.3% | 8.4% | 1.4% |
| Total Return | 0.5% | -9.7% | 35.5% | 23.0% |
| Sharpe | 0.05 | -0.22 | 0.74 | 0.19 |
| Sortino | 0.02 | -0.09 | 0.31 | 0.08 |
| Calmar | 0.00 | -0.10 | 0.75 | 0.04 |
| Volatility | 9.1% | 12.2% | 11.9% | 10.5% |
| Max DD | -17.8% | -33.1% | -11.3% | -33.1% |
| Win Rate | 37.8% | 20.0% | 52.6% | 39.4% |
| Avg Win | 3.5% | 11.0% | 5.0% | 4.7% |
| Avg Loss | -2.0% | -3.7% | -2.0% | -2.3% |
| Payoff | 1.75 | 3.00 | 2.53 | 2.00 |
| Expectancy | 0.1% | -0.7% | 1.7% | 0.4% |
| Profit Factor | 1.07 | 0.75 | 2.81 | 1.30 |
| Trades | 37 | 10 | 19 | 66 |
| Avg Holding Days | 5.0 | 7.2 | 4.0 | 5.0 |
| Turnover | 7.4 | 5.3 | 8.1 | 7.2 |
| Exposure | 5.8% | 6.6% | 4.8% | 5.7% |
Growth of $100
LongTermTrend_V1630 vs TSLA Buy & Hold
LongTermTrend_V1630 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 | -0.8% | -0.07 | -6.3% | 4 |
| 2017 | 8.8% | 1.90 | -0.9% | 2 |
| 2018 | -7.4% | -1.38 | -7.4% | 4 |
| 2019 | -1.8% | -0.22 | -6.6% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 12.6% | 0.71 | -16.6% | 6 |
| 2022 | -19.9% | -2.49 | -19.8% | 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 | 34.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.70 | 1% |
| hidden test | LOW VOLATILITY | 445 | 12.5% | 1.10 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 18.9% | 1.42 | 6% |
| hidden test | NORMAL | 818 | 6.7% | 0.56 | 5% |
| hidden test | SIDEWAYS | 300 | -1.2% | -1.03 | 0% |
| hidden test | UPTREND | 371 | 23.3% | 1.23 | 12% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 6.4% | 1.28 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.6% | 0.60 | 0% |
| train | LOW VOLATILITY | 745 | 1.1% | 0.10 | 13% |
| train | MEDIUM VOLATILITY | 568 | -5.4% | -0.69 | 3% |
| train | NORMAL | 1,601 | -0.7% | -0.07 | 7% |
| train | SIDEWAYS | 592 | -3.2% | -1.08 | 0% |
| train | UPTREND | 902 | 3.1% | 0.23 | 13% |
| 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 | 0.1% | 0.01 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 1.3% | 0.09 | 5% |
| validation | NORMAL | 474 | -4.2% | -0.27 | 10% |
| validation | SIDEWAYS | 206 | -10.9% | -1.56 | 1% |
| validation | UPTREND | 425 | 0.5% | 0.03 | 11% |
Trades (full period)
66 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 11.75% | 8 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.73% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 2.40% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.58% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.09% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.17% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 1.77% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 12.72% | 17 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -3.47% | 2 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -5.07% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.23% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.60% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -2.21% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.68% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-07-20 | 2015-07-22 | $18.82 | $17.86 | -2.43% | 3 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-06-01 | 2015-06-02 | $16.63 | $16.56 | -0.59% | 2 | |
| 2015-05-28 | 2015-05-29 | $16.76 | $16.72 | 1.14% | 2 | |
| 2015-05-26 | 2015-05-27 | $16.50 | $16.50 | -0.25% | 2 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 2.88% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.69% | 3 | |
| 2014-09-15 | 2014-09-16 | $16.92 | $17.38 | -7.41% | 2 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.41% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -1.67% | 2 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.68% | 16 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 2.76% | 2 | |
| 2012-03-02 | 2012-03-05 | $2.27 | $2.25 | -1.02% | 2 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 |