Strategy Zoo / S1643
LongTermTrend_V1643
ARCHIVEDhybridllmAdded regime gates to avoid high-volatility and extreme-bubble environments; introduced a short-term trend filter (close > sma_50) and modest distance-from-sma requirement to reduce false entries; kept original long-term trend or strong 20d momentum requirement; added volatility-based position sizing (reduce size when vol_pctile > 0.66, full size when quiet); tightened risk exits by adding an SMA-50 cross exit and an extreme-volatility exit; reduced base_position to 0.7 to lower exposure.
Fitness
0.2800
Generation
76
Complexity
18
Created
2026-10-15
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1643 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > -0.0012) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997 and close > sma_50 and vol_pctile < 0.8 and dist_sma_20 > -0.05):
position = 0.7
if long and (ret_20d < -0.1003 or close < sma_50 or vol_pctile > 0.9):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 21.3% | 1.3% | 4.8% |
| Total Return | 5.1% | 78.6% | 4.9% | 101.0% |
| Sharpe | 0.12 | 1.04 | 0.16 | 0.36 |
| Sortino | 0.09 | 0.92 | 0.11 | 0.28 |
| Calmar | 0.02 | 0.87 | 0.05 | 0.12 |
| Volatility | 16.4% | 20.7% | 17.6% | 17.7% |
| Max DD | -39.6% | -24.6% | -24.5% | -39.6% |
| Win Rate | 29.5% | 41.7% | 33.3% | 32.4% |
| Avg Win | 7.6% | 22.2% | 11.1% | 12.3% |
| Avg Loss | -3.2% | -5.5% | -4.5% | -3.8% |
| Payoff | 2.41 | 4.02 | 2.44 | 3.24 |
| Expectancy | 0.0% | 6.0% | 0.7% | 1.4% |
| Profit Factor | 1.01 | 2.87 | 1.22 | 1.55 |
| Trades | 44 | 12 | 15 | 71 |
| Avg Holding Days | 13.5 | 22.0 | 16.0 | 15.9 |
| Turnover | 7.8 | 5.6 | 5.6 | 6.7 |
| Exposure | 20.1% | 23.3% | 16.6% | 19.9% |
Growth of $100
LongTermTrend_V1643 vs TSLA Buy & Hold
LongTermTrend_V1643 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 | -7.8% | -0.71 | -14.4% | 4 |
| 2017 | 13.4% | 0.82 | -10.1% | 12 |
| 2018 | -16.8% | -1.62 | -17.4% | 3 |
| 2019 | 7.4% | 0.47 | -15.8% | 3 |
| 2020 | 55.9% | 2.50 | -8.6% | 4 |
| 2021 | 21.4% | 0.89 | -24.6% | 6 |
| 2022 | -8.1% | -0.40 | -21.1% | 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 | -2.5% | -1.37 | 1% |
| hidden test | EXPENSIVE | 83 | 50.5% | 1.80 | 40% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.3% | -0.83 | 1% |
| hidden test | LOW VOLATILITY | 445 | 21.1% | 1.36 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -14.4% | -0.63 | 23% |
| hidden test | NORMAL | 818 | -1.8% | -0.11 | 15% |
| hidden test | SIDEWAYS | 300 | -12.0% | -0.75 | 18% |
| hidden test | UPTREND | 371 | 18.8% | 0.78 | 27% |
| train | DOWNTREND | 518 | -4.7% | -1.28 | 1% |
| train | EXPENSIVE | 311 | 32.4% | 1.47 | 33% |
| train | EXTREME | 100 | 8.1% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 2.8% | 0.18 | 2% |
| train | LOW VOLATILITY | 745 | 19.8% | 1.18 | 38% |
| train | MEDIUM VOLATILITY | 568 | -22.5% | -1.31 | 20% |
| train | NORMAL | 1,601 | -4.3% | -0.28 | 19% |
| train | SIDEWAYS | 592 | -13.8% | -0.94 | 16% |
| train | UPTREND | 902 | 16.2% | 0.76 | 34% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 77.9% | 2.87 | 41% |
| validation | EXTREME | 144 | 33.1% | 2.61 | 2% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 19.7% | 1.13 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 46.9% | 1.66 | 31% |
| validation | NORMAL | 474 | 1.5% | 0.07 | 25% |
| validation | SIDEWAYS | 206 | -9.9% | -0.51 | 24% |
| validation | UPTREND | 425 | 43.0% | 1.79 | 30% |
Trades (full period)
71 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -3.52% | 21 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -3.26% | 14 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 12.98% | 59 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-05-19 | 2025-06-06 | $342.09 | $295.14 | -13.28% | 14 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -6.04% | 16 | |
| 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 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 15.58% | 11 | |
| 2023-11-29 | 2024-01-10 | $244.14 | $233.94 | -3.38% | 29 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.17% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.72% | 9 | |
| 2023-05-31 | 2023-08-03 | $203.93 | $259.32 | 18.16% | 45 | |
| 2022-08-02 | 2022-09-01 | $300.59 | $277.16 | -5.15% | 23 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -3.08% | 26 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-06-24 | 2021-11-10 | $226.61 | $355.98 | 37.33% | 98 | |
| 2021-05-03 | 2021-05-05 | $228.30 | $223.65 | -3.69% | 3 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -8.02% | 13 | |
| 2021-01-12 | 2021-02-23 | $283.15 | $232.95 | -8.37% | 29 | |
| 2020-12-10 | 2021-01-11 | $209.02 | $270.40 | 30.32% | 21 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 21.45% | 13 | |
| 2020-10-13 | 2020-10-29 | $148.88 | $136.94 | -5.89% | 13 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.41% | 4 | |
| 2019-11-22 | 2020-01-22 | $22.20 | $37.97 | 35.76% | 40 | |
| 2019-10-23 | 2019-10-25 | $16.98 | $21.88 | 11.93% | 3 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -6.61% | 9 | |
| 2019-07-24 | 2019-07-26 | $17.66 | $15.20 | -8.51% | 3 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -6.66% | 16 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.97% | 3 | |
| 2018-01-22 | 2018-02-09 | $23.44 | $20.69 | -7.07% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-08-30 | 2017-09-26 | $23.55 | $23.02 | -0.52% | 19 | |
| 2017-08-25 | 2017-08-29 | $23.20 | $23.16 | -1.58% | 3 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-30 | 2017-07-06 | $24.11 | $20.59 | -6.70% | 4 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 7.23% | 8 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.51% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.13% | 6 | |
| 2016-12-28 | 2017-02-28 | $14.65 | $16.67 | 8.42% | 42 | |
| 2016-07-22 | 2016-08-29 | $14.82 | $14.35 | -0.26% | 27 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.03% | 3 | |
| 2016-03-28 | 2016-05-05 | $15.35 | $14.10 | -1.59% | 29 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.18% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 6.50% | 64 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.65% | 6 | |
| 2014-11-25 | 2014-12-02 | $16.54 | $15.43 | -4.42% | 5 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.43% | 9 | |
| 2014-06-16 | 2014-09-23 | $14.97 | $16.69 | 14.72% | 70 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.47% | 2 | |
| 2014-06-09 | 2014-06-11 | $13.69 | $13.63 | -2.12% | 3 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -2.41% | 5 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.73% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 18.38% | 9 | |
| 2014-01-06 | 2014-01-14 | $9.80 | $10.75 | -4.93% | 7 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -0.88% | 34 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.59% | 21 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 3.13% | 47 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.68% | 4 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -1.27% | 13 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -3.57% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.18% | 5 | |
| 2012-02-15 | 2012-04-10 | $2.24 | $2.16 | 0.11% | 38 |