Strategy Zoo / S1646
LongTermTrend_V1646
ARCHIVEDhybridllmRemoved redundant ret_20d checks, tightened regime gating to only UPTREND and non-HIGH volatility, added momentum/volume filters (macd_hist, sma_50, rel_volume, rsi) and a more conservative cumulative return floor, replaced single stop with multi-exit (stop-loss OR SMA50 breakdown OR drawdown threshold), and added volatility-based position scaling (reduce size when vol_pctile high). These changes aim to improve robustness and reduce drawdowns in validation.
Fitness
0.2382
Generation
76
Complexity
20
Created
2026-10-15
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1646 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.08 or (macd_hist > 0.0 and close > sma_50)) and ret_20d > 0.03 and cumret_252d > -0.2 and rsi_14 < 70.0 and rel_volume > 0.8):
position = 1.0
if long and (ret_20d < -0.1003 or close < sma_50 or drawdown < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.5% | 15.3% | -2.0% | 2.7% |
| Total Return | 4.2% | 53.3% | -7.4% | 47.9% |
| Sharpe | 0.11 | 0.99 | -0.13 | 0.25 |
| Sortino | 0.06 | 0.65 | -0.05 | 0.13 |
| Calmar | 0.02 | 0.82 | -0.14 | 0.09 |
| Volatility | 15.7% | 15.7% | 11.0% | 14.6% |
| Max DD | -29.8% | -18.6% | -14.1% | -31.1% |
| Win Rate | 43.3% | 50.0% | 46.4% | 45.9% |
| Avg Win | 4.4% | 4.6% | 3.1% | 4.1% |
| Avg Loss | -2.9% | -1.6% | -3.1% | -2.6% |
| Payoff | 1.48 | 2.80 | 1.01 | 1.57 |
| Expectancy | 0.2% | 1.5% | -0.2% | 0.5% |
| Profit Factor | 1.13 | 2.80 | 0.87 | 1.33 |
| Trades | 60 | 34 | 28 | 122 |
| Avg Holding Days | 4.2 | 2.9 | 2.4 | 3.4 |
| Turnover | 15.0 | 22.7 | 14.9 | 16.5 |
| Exposure | 9.5% | 8.6% | 4.1% | 7.9% |
Growth of $100
LongTermTrend_V1646 vs TSLA Buy & Hold
LongTermTrend_V1646 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 | -0.6% | -0.14 | -4.0% | 7 |
| 2017 | 5.0% | 0.37 | -9.0% | 10 |
| 2018 | -16.6% | -1.60 | -16.5% | 6 |
| 2019 | -1.2% | -0.90 | -1.8% | 3 |
| 2020 | 32.8% | 1.61 | -6.6% | 6 |
| 2021 | 13.9% | 0.82 | -15.3% | 22 |
| 2022 | -2.1% | -0.25 | -7.5% | 6 |
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 | 2.1% | 0.08 | 17% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -0.2% | -1.41 | 0% |
| hidden test | LOW VOLATILITY | 445 | 0.2% | 0.02 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.6% | -0.36 | 7% |
| hidden test | NORMAL | 818 | -1.9% | -0.22 | 3% |
| hidden test | SIDEWAYS | 300 | 0.8% | 0.69 | 0% |
| hidden test | UPTREND | 371 | -4.3% | -0.25 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 32.5% | 1.28 | 26% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 10.1% | 0.64 | 1% |
| train | LOW VOLATILITY | 745 | 7.4% | 0.49 | 18% |
| train | MEDIUM VOLATILITY | 568 | -16.0% | -0.98 | 9% |
| train | NORMAL | 1,601 | -4.9% | -0.36 | 7% |
| train | SIDEWAYS | 592 | -3.3% | -0.57 | 0% |
| train | UPTREND | 902 | 6.0% | 0.26 | 21% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 75.6% | 2.53 | 28% |
| validation | EXTREME | 144 | 25.9% | 1.85 | 1% |
| validation | HIGH VOLATILITY | 258 | 3.6% | 0.96 | 0% |
| validation | LOW VOLATILITY | 183 | -17.0% | -1.57 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 44.0% | 1.96 | 13% |
| validation | NORMAL | 474 | -5.2% | -0.64 | 5% |
| validation | SIDEWAYS | 206 | -0.1% | -1.11 | 0% |
| validation | UPTREND | 425 | 27.5% | 1.32 | 15% |
Trades (full period)
latest 100 of 122
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -4.63% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2024-10-10 | 2024-10-11 | $238.77 | $217.80 | -1.14% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -4.37% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 | |
| 2021-09-29 | 2021-09-30 | $260.44 | $258.49 | 0.28% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 2.44% | 2 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.42% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 2.46% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-02-01 | 2021-02-11 | $279.94 | $270.55 | 1.23% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.65% | 5 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 24.46% | 6 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-15 | 2020-12-22 | $211.08 | $213.45 | 1.36% | 6 | |
| 2020-12-10 | 2020-12-14 | $209.02 | $213.28 | 0.71% | 3 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 | |
| 2020-10-23 | 2020-10-26 | $140.21 | $140.09 | -1.41% | 2 | |
| 2020-06-25 | 2020-06-29 | $65.73 | $67.29 | -0.31% | 3 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-12-04 | 2019-12-05 | $22.20 | $22.02 | -1.14% | 2 | |
| 2019-11-27 | 2019-11-29 | $22.09 | $22.00 | 0.52% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-11-27 | 2018-11-28 | $22.93 | $23.19 | -0.80% | 2 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.63% | 2 | |
| 2017-10-05 | 2017-10-06 | $23.69 | $23.79 | -0.11% | 2 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-30 | 2017-07-05 | $24.11 | $21.81 | -2.45% | 3 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 10.40% | 8 | |
| 2017-05-16 | 2017-05-19 | $21.13 | $20.72 | -1.09% | 4 | |
| 2017-05-08 | 2017-05-10 | $20.48 | $21.68 | 3.98% | 3 | |
| 2017-04-25 | 2017-05-05 | $20.92 | $20.56 | -4.27% | 9 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 10.26% | 6 | |
| 2017-02-17 | 2017-02-24 | $18.15 | $17.13 | -5.01% | 5 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.45% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.82% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -2.23% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-13 | 2016-04-14 | $16.97 | $16.79 | 2.50% | 2 | |
| 2016-04-11 | 2016-04-12 | $16.66 | $16.52 | -0.26% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-20 | 2015-07-22 | $18.82 | $17.86 | -3.06% | 3 | |
| 2015-07-01 | 2015-07-08 | $17.94 | $17.00 | -0.34% | 5 | |
| 2015-06-29 | 2015-06-30 | $17.47 | $17.88 | -2.10% | 2 | |
| 2015-06-25 | 2015-06-26 | $17.92 | $17.81 | 1.16% | 2 | |
| 2015-06-23 | 2015-06-24 | $17.84 | $17.68 | 2.83% | 2 | |
| 2015-06-08 | 2015-06-09 | $17.09 | $17.07 | 2.67% | 2 | |
| 2014-08-11 | 2014-09-16 | $17.29 | $17.38 | 2.11% | 26 | |
| 2014-08-05 | 2014-08-06 | $15.90 | $16.60 | -0.21% | 2 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -3.34% | 2 | |
| 2014-07-09 | 2014-07-10 | $14.87 | $14.63 | 1.62% | 2 | |
| 2014-07-07 | 2014-07-08 | $14.84 | $14.60 | -3.07% | 2 |