Strategy Zoo / S1644
LongTermTrend_V1644
ARCHIVEDhybridllmReduced base position to 0.6 to lower risk; tightened long filters to require short-term trend (close>50SMA and positive 50SMA slope) plus either price above 200SMA or strong 20d return; raised long-term drawdown floor (cumret_252d>-0.2) and require recent day not deeply negative and above-average volume; improved exits: combined daily stop, 20d momentum stop, peak drawdown stop, and exit when price falls below 50SMA; added regime gates to only trade in UPTREND / MEDIUM_VOLATILITY / NORMAL bubble to reduce overfitting and avoid adverse regimes.
Fitness
0.3137
Generation
76
Complexity
15
Created
2026-10-15
Lineage
Parents (1)
changed ret_1d threshold -0.0578 -> -0.0437
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1644 [hybrid]
if flat and (((close > sma_200 or ret_20d > 0.06) and close > sma_50 and sma_50_slope > 0.0) and cumret_252d > -0.2 and ret_1d > -0.03 and rel_volume > 1.0):
position = 0.6
if long and (ret_1d < -0.06 or ret_20d < -0.02 or drawdown > 0.12 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.9% | 21.9% | 0.6% | 7.7% |
| Total Return | 58.1% | 81.3% | 2.3% | 198.4% |
| Sharpe | 0.41 | 0.90 | 0.12 | 0.47 |
| Sortino | 0.36 | 0.76 | 0.09 | 0.39 |
| Calmar | 0.13 | 0.62 | 0.02 | 0.16 |
| Volatility | 17.7% | 25.8% | 18.1% | 19.7% |
| Max DD | -46.8% | -35.3% | -30.0% | -46.8% |
| Win Rate | 30.8% | 44.0% | 34.8% | 35.0% |
| Avg Win | 9.8% | 13.7% | 9.3% | 11.6% |
| Avg Loss | -3.0% | -5.1% | -4.4% | -3.8% |
| Payoff | 3.29 | 2.70 | 2.14 | 3.08 |
| Expectancy | 1.0% | 3.2% | 0.4% | 1.6% |
| Profit Factor | 1.46 | 2.12 | 1.14 | 1.66 |
| Trades | 52 | 25 | 23 | 100 |
| Avg Holding Days | 13.5 | 11.6 | 11.0 | 12.7 |
| Turnover | 7.9 | 10.0 | 7.3 | 8.1 |
| Exposure | 20.1% | 21.0% | 14.5% | 18.9% |
Growth of $100
LongTermTrend_V1644 vs TSLA Buy & Hold
LongTermTrend_V1644 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 | -0.7% | -0.06 | -9.4% | 3 |
| 2017 | 7.6% | 0.55 | -16.3% | 10 |
| 2018 | -25.1% | -1.74 | -25.9% | 7 |
| 2019 | 3.0% | 0.28 | -15.3% | 4 |
| 2020 | 120.1% | 2.30 | -30.0% | 11 |
| 2021 | 19.9% | 1.07 | -13.1% | 7 |
| 2022 | -31.6% | -2.48 | -31.5% | 7 |
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 | 64.4% | 2.00 | 46% |
| hidden test | EXTREME | 48 | 82.8% | 2.55 | 36% |
| hidden test | HIGH VOLATILITY | 254 | -8.8% | -0.38 | 14% |
| hidden test | LOW VOLATILITY | 445 | 19.7% | 1.61 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.6% | -0.85 | 18% |
| hidden test | NORMAL | 818 | -8.8% | -0.61 | 10% |
| hidden test | SIDEWAYS | 300 | -18.5% | -1.57 | 7% |
| hidden test | UPTREND | 371 | 20.7% | 0.77 | 31% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 17.2% | 0.72 | 39% |
| train | EXTREME | 100 | 206.3% | 4.98 | 47% |
| train | HIGH VOLATILITY | 699 | 13.6% | 0.58 | 16% |
| train | LOW VOLATILITY | 745 | 19.0% | 1.46 | 27% |
| train | MEDIUM VOLATILITY | 568 | -15.9% | -1.12 | 15% |
| train | NORMAL | 1,601 | -7.1% | -0.55 | 15% |
| train | SIDEWAYS | 592 | -18.9% | -1.84 | 6% |
| train | UPTREND | 902 | 28.7% | 1.15 | 41% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -13.4% | -0.45 | 22% |
| validation | EXTREME | 144 | 146.5% | 3.54 | 34% |
| validation | HIGH VOLATILITY | 258 | 18.1% | 0.53 | 16% |
| validation | LOW VOLATILITY | 183 | 20.0% | 1.41 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 29.1% | 1.28 | 20% |
| validation | NORMAL | 474 | -3.7% | -0.22 | 17% |
| validation | SIDEWAYS | 206 | -19.5% | -1.52 | 6% |
| validation | UPTREND | 425 | 50.6% | 1.53 | 34% |
Trades (full period)
100 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -2.53% | 2 | |
| 2026-05-14 | 2026-06-08 | $443.30 | $408.95 | -7.47% | 17 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -1.16% | 21 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 11.23% | 59 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -5.04% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -3.77% | 3 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.58% | 2 | |
| 2025-06-10 | 2025-06-12 | $326.09 | $319.11 | 3.35% | 3 | |
| 2025-05-21 | 2025-06-06 | $334.62 | $295.14 | -10.46% | 12 | |
| 2025-01-31 | 2025-02-04 | $404.60 | $392.21 | -2.59% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.46% | 2 | |
| 2024-12-20 | 2025-01-03 | $421.06 | $410.44 | -7.98% | 9 | |
| 2024-11-14 | 2024-12-19 | $311.18 | $436.17 | 19.19% | 25 | |
| 2024-10-25 | 2024-11-13 | $269.19 | $330.24 | 15.37% | 14 | |
| 2024-09-11 | 2024-10-14 | $228.13 | $219.16 | -2.07% | 24 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.06% | 2 | |
| 2024-07-15 | 2024-07-25 | $252.64 | $220.25 | -7.86% | 9 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 13.31% | 11 | |
| 2023-07-24 | 2023-08-02 | $269.06 | $254.11 | 0.18% | 8 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -5.96% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -2.89% | 7 | |
| 2022-08-09 | 2022-08-29 | $283.33 | $284.82 | -0.51% | 15 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -1.90% | 5 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.11% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -14.61% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -4.17% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -6.97% | 4 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.09% | 3 | |
| 2021-11-11 | 2021-12-01 | $354.50 | $365.00 | 4.27% | 14 | |
| 2021-07-30 | 2021-11-10 | $229.07 | $355.98 | 28.94% | 73 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -1.29% | 2 | |
| 2021-02-18 | 2021-02-19 | $262.46 | $260.43 | -0.93% | 2 | |
| 2021-01-26 | 2021-02-11 | $294.36 | $270.55 | -5.24% | 13 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -4.81% | 2 | |
| 2020-12-11 | 2020-12-22 | $203.33 | $213.45 | 2.21% | 8 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 14.10% | 15 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.53% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 2.90% | 2 | |
| 2020-09-16 | 2020-09-24 | $147.25 | $129.26 | -9.46% | 7 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -12.75% | 2 | |
| 2020-08-13 | 2020-09-04 | $108.07 | $139.44 | 18.14% | 17 | |
| 2020-06-02 | 2020-07-27 | $58.77 | $102.64 | 32.68% | 39 | |
| 2020-03-04 | 2020-03-05 | $49.97 | $48.30 | 0.20% | 2 | |
| 2020-02-07 | 2020-02-25 | $49.87 | $53.33 | 6.76% | 12 | |
| 2019-11-26 | 2020-02-06 | $21.93 | $49.93 | 62.14% | 49 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 6.64% | 22 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -5.67% | 9 | |
| 2019-08-01 | 2019-08-08 | $15.59 | $15.89 | -2.14% | 6 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -8.28% | 2 | |
| 2018-12-20 | 2018-12-21 | $21.03 | $21.32 | -3.29% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -1.59% | 16 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -7.60% | 12 | |
| 2018-06-12 | 2018-07-05 | $22.85 | $20.61 | -3.80% | 17 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -3.41% | 3 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -2.75% | 6 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -5.59% | 17 | |
| 2017-10-11 | 2017-10-12 | $23.64 | $23.71 | -0.29% | 2 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.15% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -5.68% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.01% | 12 | |
| 2017-05-30 | 2017-07-06 | $22.34 | $20.59 | 0.45% | 27 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 9.19% | 42 | |
| 2017-03-17 | 2017-03-20 | $17.43 | $17.46 | -0.25% | 2 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -0.65% | 2 | |
| 2017-02-27 | 2017-02-28 | $16.42 | $16.67 | -2.63% | 2 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 9.74% | 40 | |
| 2016-08-24 | 2016-08-25 | $14.84 | $14.73 | -0.71% | 2 | |
| 2016-07-26 | 2016-08-18 | $15.30 | $14.90 | -1.87% | 18 | |
| 2016-03-28 | 2016-05-03 | $15.35 | $15.49 | 3.67% | 27 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -3.80% | 3 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.45% | 2 | |
| 2015-07-29 | 2015-08-03 | $17.59 | $17.33 | 0.18% | 4 | |
| 2015-04-29 | 2015-07-28 | $15.50 | $17.65 | 5.91% | 63 | |
| 2014-10-07 | 2014-10-08 | $17.30 | $17.29 | -0.36% | 2 | |
| 2014-09-17 | 2014-09-23 | $17.43 | $16.69 | -2.58% | 5 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 5.33% | 31 | |
| 2014-07-31 | 2014-08-01 | $14.89 | $15.55 | -1.59% | 2 | |
| 2014-07-29 | 2014-07-30 | $15.00 | $15.26 | -0.07% | 2 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -4.56% | 16 | |
| 2014-04-03 | 2014-04-04 | $15.03 | $14.15 | -1.39% | 2 | |
| 2014-03-31 | 2014-04-01 | $13.90 | $14.46 | -1.23% | 2 | |
| 2014-01-28 | 2014-03-26 | $11.89 | $14.20 | 17.59% | 41 | |
| 2013-11-05 | 2013-11-07 | $11.79 | $9.32 | -8.31% | 3 | |
| 2013-10-23 | 2013-10-24 | $10.97 | $11.54 | -2.58% | 2 | |
| 2013-10-07 | 2013-10-22 | $12.20 | $11.44 | -2.81% | 12 | |
| 2013-07-18 | 2013-10-03 | $7.94 | $11.55 | 28.47% | 55 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -4.00% | 11 | |
| 2013-05-09 | 2013-06-03 | $4.63 | $6.17 | 41.81% | 17 | |
| 2013-04-12 | 2013-05-08 | $2.92 | $3.72 | 15.83% | 19 | |
| 2013-03-26 | 2013-04-04 | $2.52 | $2.80 | 5.83% | 7 | |
| 2013-02-25 | 2013-02-26 | $2.29 | $2.30 | -2.99% | 2 | |
| 2013-01-15 | 2013-02-22 | $2.26 | $2.41 | 3.50% | 27 | |
| 2012-11-20 | 2013-01-10 | $2.20 | $2.24 | 1.31% | 35 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -2.52% | 2 | |
| 2012-07-23 | 2012-07-24 | $2.04 | $1.99 | -2.25% | 2 | |
| 2012-04-09 | 2012-04-10 | $2.21 | $2.16 | -2.43% | 2 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 1.54% | 31 |