Strategy Zoo / S1687
LongTermTrend_V1687
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-vol environments; introduced volatility-based position sizing (higher size in low vol, scaled down in medium vol); simplified and broadened entry to include SMA50 regime and loosened single-day return filter; added volatility percentile and RSI filters to avoid extreme moves; made exits more robust with a multi-condition stop (20d drawdown, 1d stop-loss, and 20d deterioration). Purpose: reduce overfitting, improve robustness and drawdown control.
Fitness
0.2122
Generation
78
Complexity
20
Created
2026-10-16
Lineage
Parents (1)
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1687 [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 > 0.0) or (close > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.05) and ret_1d > -0.04 and vol_pctile < 0.85 and rsi_14 < 85.0 and cumret_252d > -0.6):
position = 0.6
if long and (ret_20d < -0.03 or ret_1d < -0.08 or drawdown < -0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.9% | 16.5% | -8.7% | -0.7% |
| Total Return | -21.1% | 58.2% | -29.1% | -9.9% |
| Sharpe | -0.11 | 0.86 | -0.50 | 0.04 |
| Sortino | -0.09 | 0.90 | -0.46 | 0.04 |
| Calmar | -0.08 | 0.70 | -0.22 | -0.02 |
| Volatility | 15.5% | 20.2% | 15.8% | 16.7% |
| Max DD | -35.8% | -23.5% | -39.0% | -45.6% |
| Win Rate | 42.9% | 45.2% | 42.3% | 43.2% |
| Avg Win | 1.9% | 3.1% | 1.5% | 2.1% |
| Avg Loss | -1.6% | -1.7% | -1.4% | -1.5% |
| Payoff | 1.15 | 1.83 | 1.07 | 1.36 |
| Expectancy | -0.1% | 0.5% | -0.2% | 0.0% |
| Profit Factor | 0.86 | 1.51 | 0.79 | 1.04 |
| Trades | 203 | 124 | 182 | 509 |
| Avg Holding Days | 4.1 | 3.0 | 2.5 | 3.3 |
| Turnover | 30.6 | 49.6 | 58.1 | 41.4 |
| Exposure | 19.5% | 19.6% | 17.1% | 18.9% |
Growth of $100
LongTermTrend_V1687 vs TSLA Buy & Hold
LongTermTrend_V1687 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 | -10.2% | -1.30 | -13.7% | 26 |
| 2017 | 6.3% | 0.45 | -16.0% | 33 |
| 2018 | -8.0% | -0.76 | -11.0% | 4 |
| 2019 | 18.9% | 1.96 | -5.7% | 13 |
| 2020 | 53.6% | 2.43 | -10.1% | 14 |
| 2021 | 9.3% | 0.50 | -19.3% | 68 |
| 2022 | -14.8% | -0.84 | -17.3% | 41 |
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 | 279 | -5.3% | -1.72 | 1% |
| hidden test | EXPENSIVE | 83 | 11.8% | 0.52 | 35% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -14.5% | -1.25 | 1% |
| hidden test | LOW VOLATILITY | 445 | 12.1% | 0.84 | 23% |
| hidden test | MEDIUM VOLATILITY | 251 | -36.6% | -1.76 | 23% |
| hidden test | NORMAL | 819 | -10.3% | -0.67 | 16% |
| hidden test | SIDEWAYS | 300 | -32.6% | -1.70 | 24% |
| hidden test | UPTREND | 371 | 10.2% | 0.56 | 23% |
| train | DOWNTREND | 518 | -10.2% | -1.07 | 1% |
| train | EXPENSIVE | 311 | 22.8% | 1.06 | 31% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | -5.8% | -0.42 | 2% |
| train | LOW VOLATILITY | 745 | 12.6% | 0.85 | 32% |
| train | MEDIUM VOLATILITY | 568 | -15.6% | -0.86 | 25% |
| train | NORMAL | 1,601 | -7.1% | -0.49 | 18% |
| train | SIDEWAYS | 592 | -11.9% | -0.88 | 16% |
| train | UPTREND | 902 | 9.7% | 0.51 | 32% |
| validation | DOWNTREND | 125 | -8.5% | -2.08 | 1% |
| validation | EXPENSIVE | 138 | 68.7% | 2.64 | 36% |
| validation | EXTREME | 144 | 31.9% | 2.85 | 2% |
| validation | HIGH VOLATILITY | 258 | -4.2% | -0.32 | 1% |
| validation | LOW VOLATILITY | 183 | -6.1% | -0.38 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 48.5% | 1.85 | 27% |
| validation | NORMAL | 474 | -2.0% | -0.10 | 20% |
| validation | SIDEWAYS | 206 | -24.9% | -1.27 | 20% |
| validation | UPTREND | 425 | 45.4% | 1.97 | 25% |
Trades (full period)
latest 100 of 510
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-15 | — | — | — | -0.06% | 1 | OPEN |
| 2026-10-13 | 2026-10-14 | $375.23 | $367.16 | -0.56% | 2 | |
| 2026-10-09 | 2026-10-12 | $382.70 | $378.03 | 1.11% | 2 | |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.57% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -2.74% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -3.59% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.07% | 2 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 0.97% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -1.92% | 2 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -4.77% | 4 | |
| 2026-05-20 | 2026-06-02 | $417.26 | $423.74 | 1.67% | 9 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.29% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.44% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -2.00% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.04% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.42% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 1.94% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.39% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 1.31% | 2 | |
| 2026-02-20 | 2026-02-23 | $411.82 | $399.83 | -0.10% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.02% | 2 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.07% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.31% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 0.79% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -1.42% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.10% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 1.87% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.04% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -1.97% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 2.37% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.27% | 2 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 0.97% | 6 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.58% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.38% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.11% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -0.75% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.29% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.56% | 2 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.36% | 45 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 3.50% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.02% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 2.06% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 0.74% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.17% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.22% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.14% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.54% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -1.28% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -8.67% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.16% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -2.78% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -1.94% | 2 | |
| 2025-02-25 | 2025-02-26 | $302.80 | $290.80 | -5.15% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.14% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.41% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.34% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -1.93% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -0.73% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -5.39% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -0.97% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -2.34% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.30% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.39% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.02% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 2.77% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.26% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.19% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 3.06% | 2 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 1.63% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -1.37% | 2 | |
| 2024-06-06 | 2024-06-07 | $177.94 | $177.48 | 0.89% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -0.64% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.36% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.31% | 2 |