Strategy Zoo / S1642
LongTermTrend_V1642
ARCHIVEDhybridllmSimplified and strengthened entry: add short MA crossover + slope and MACD/breakout confirmation; remove redundant ret_20d duplicates; tighten cumulative return gate. Add volatility percentile gate to avoid high-vol regimes. Improved exits: earlier loss exit, MA-based trend exit, and drawdown cap. Reduced base position to 0.8 to lower risk.
Fitness
0.1077
Generation
76
Complexity
18
Created
2026-10-15
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1642 [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((sma_10 > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.08) and ret_20d > 0.03 and cumret_252d > -0.3 and vol_pctile < 0.8 and (breakout_20 > 0.5 or macd > macd_signal)):
position = 0.8
if long and (ret_20d < -0.08 or sma_10 < sma_50 or drawdown < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.8% | -1.1% | 4.5% | 0.4% |
| Total Return | -6.3% | -3.4% | 18.0% | 6.8% |
| Sharpe | -0.01 | -0.03 | 0.43 | 0.10 |
| Sortino | -0.00 | -0.02 | 0.28 | 0.06 |
| Calmar | -0.03 | -0.05 | 0.25 | 0.02 |
| Volatility | 12.3% | 12.5% | 12.1% | 12.3% |
| Max DD | -25.4% | -24.0% | -18.3% | -27.3% |
| Win Rate | 49.6% | 40.0% | 52.6% | 48.6% |
| Avg Win | 1.6% | 2.0% | 2.1% | 1.8% |
| Avg Loss | -1.6% | -1.4% | -1.8% | -1.6% |
| Payoff | 1.00 | 1.47 | 1.17 | 1.14 |
| Expectancy | -0.0% | -0.0% | 0.3% | 0.1% |
| Profit Factor | 0.98 | 0.98 | 1.29 | 1.08 |
| Trades | 127 | 50 | 76 | 253 |
| Avg Holding Days | 2.5 | 2.3 | 2.1 | 2.4 |
| Turnover | 25.5 | 26.7 | 32.3 | 27.4 |
| Exposure | 7.6% | 7.1% | 7.2% | 7.4% |
Growth of $100
LongTermTrend_V1642 vs TSLA Buy & Hold
LongTermTrend_V1642 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 | -2.6% | -0.24 | -9.0% | 23 |
| 2017 | 7.0% | 1.47 | -1.7% | 11 |
| 2018 | -11.0% | -1.69 | -11.2% | 9 |
| 2019 | 5.0% | 0.36 | -12.0% | 18 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 9.9% | 0.58 | -13.6% | 30 |
| 2022 | -12.1% | -1.27 | -14.8% | 20 |
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 | 2.0% | 0.25 | 4% |
| hidden test | EXPENSIVE | 83 | 33.8% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.7% | -0.20 | 1% |
| hidden test | LOW VOLATILITY | 445 | 0.7% | 0.05 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | 20.0% | 1.55 | 6% |
| hidden test | NORMAL | 818 | 2.5% | 0.21 | 8% |
| hidden test | SIDEWAYS | 300 | -9.3% | -0.85 | 10% |
| hidden test | UPTREND | 371 | 19.1% | 1.27 | 7% |
| train | DOWNTREND | 518 | 0.3% | 0.07 | 2% |
| train | EXPENSIVE | 311 | 2.2% | 1.18 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.2% | 0.32 | 0% |
| train | LOW VOLATILITY | 745 | 5.5% | 0.47 | 16% |
| train | MEDIUM VOLATILITY | 568 | -12.7% | -1.11 | 5% |
| train | NORMAL | 1,601 | -0.5% | -0.04 | 9% |
| train | SIDEWAYS | 592 | -6.5% | -0.49 | 8% |
| train | UPTREND | 902 | 3.9% | 0.27 | 11% |
| validation | DOWNTREND | 125 | 0.7% | 0.14 | 3% |
| 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 | 6.8% | 0.74 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 2.9% | 0.18 | 9% |
| validation | NORMAL | 474 | -0.6% | -0.04 | 11% |
| validation | SIDEWAYS | 206 | -21.4% | -2.17 | 9% |
| validation | UPTREND | 425 | 9.5% | 0.64 | 8% |
Trades (full period)
latest 100 of 253
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-13 | 2026-10-14 | $375.23 | $367.16 | -0.75% | 2 | |
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.48% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.76% | 2 | |
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.39% | 2 | |
| 2026-09-23 | 2026-09-24 | $380.12 | $377.94 | 0.10% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.25% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.24% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 4.17% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.53% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.17% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -3.22% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.76% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.19% | 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 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2024-02-27 | 2024-02-28 | $199.73 | $202.04 | -0.03% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.34% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.78% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.61% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.58% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 3.61% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.39% | 2 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 3.71% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.46% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.87% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.11% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 1.65% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.13% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.61% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -3.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.50% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.27% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -3.49% | 2 | |
| 2022-04-04 | 2022-04-05 | $381.82 | $363.75 | 4.33% | 2 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.36% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.41% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.42% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.25% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 19.87% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.37% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.26% | 2 |