Strategy Zoo / S1690
LongTermTrend_V1690
ARCHIVEDhybridllmSimplified and broadened entry (sma_50 trend + modest 20d momentum + avoid near-52w highs) to increase activation; loosened ret_20d threshold (0.03) so validation triggers. Added multi-condition exit (short-term and medium-term losses, drawdown, RSI overbought) for better risk control. Added volatility-based position scaling (reduce size when vol_pctile high). Restrict trading to UPTREND and non-HIGH volatility regimes and exclude EXTREME bubble to avoid tail regimes.
Fitness
0.2061
Generation
78
Complexity
13
Created
2026-10-16
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.4102
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1690 [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_50 and sma_50_slope > 0.0 and ret_20d > 0.03 and dist_52w_high < 0.35):
position = 0.8
if long and (ret_5d < -0.05 or ret_20d < -0.08 or drawdown < -0.15 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.7% | 9.1% | -3.7% | 1.9% |
| Total Return | 14.6% | 29.8% | -13.1% | 32.1% |
| Sharpe | 0.19 | 0.58 | -0.19 | 0.20 |
| Sortino | 0.12 | 0.41 | -0.09 | 0.12 |
| Calmar | 0.05 | 0.26 | -0.12 | 0.04 |
| Volatility | 14.4% | 17.5% | 14.5% | 15.1% |
| Max DD | -31.5% | -35.0% | -30.1% | -49.2% |
| Win Rate | 47.9% | 53.1% | 53.3% | 51.2% |
| Avg Win | 3.8% | 3.9% | 2.2% | 3.4% |
| Avg Loss | -2.9% | -3.0% | -3.0% | -3.0% |
| Payoff | 1.30 | 1.32 | 0.72 | 1.14 |
| Expectancy | 0.3% | 0.7% | -0.3% | 0.3% |
| Profit Factor | 1.20 | 1.49 | 0.82 | 1.20 |
| Trades | 73 | 49 | 45 | 168 |
| Avg Holding Days | 5.8 | 3.7 | 3.0 | 4.4 |
| Turnover | 14.7 | 26.1 | 19.1 | 18.2 |
| Exposure | 14.0% | 13.9% | 7.4% | 12.3% |
Growth of $100
LongTermTrend_V1690 vs TSLA Buy & Hold
LongTermTrend_V1690 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 | -7.6% | -1.15 | -10.0% | 7 |
| 2017 | 8.3% | 0.58 | -11.4% | 25 |
| 2018 | -13.6% | -1.37 | -13.6% | 3 |
| 2019 | 10.2% | 1.16 | -6.2% | 8 |
| 2020 | 56.0% | 2.54 | -6.9% | 12 |
| 2021 | -5.4% | -0.14 | -23.2% | 28 |
| 2022 | -14.6% | -1.76 | -15.3% | 9 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 52.2% | 1.74 | 38% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -13.8% | -1.44 | 1% |
| hidden test | LOW VOLATILITY | 445 | 5.1% | 0.46 | 8% |
| hidden test | MEDIUM VOLATILITY | 251 | -5.3% | -0.24 | 13% |
| hidden test | NORMAL | 819 | -8.4% | -0.68 | 5% |
| hidden test | SIDEWAYS | 300 | -0.4% | -0.28 | 1% |
| hidden test | UPTREND | 371 | -6.6% | -0.28 | 19% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 31.3% | 1.39 | 28% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.3% | 0.49 | 1% |
| train | LOW VOLATILITY | 745 | 13.6% | 0.89 | 27% |
| train | MEDIUM VOLATILITY | 568 | -15.9% | -1.05 | 13% |
| train | NORMAL | 1,601 | -3.2% | -0.25 | 12% |
| train | SIDEWAYS | 592 | -6.3% | -1.15 | 1% |
| train | UPTREND | 902 | 10.2% | 0.49 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 65.8% | 2.47 | 37% |
| validation | EXTREME | 144 | 26.7% | 2.24 | 2% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 7.2% | 0.59 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 28.1% | 1.17 | 21% |
| validation | NORMAL | 474 | -11.0% | -0.72 | 11% |
| validation | SIDEWAYS | 206 | -7.0% | -1.17 | 0% |
| validation | UPTREND | 425 | 21.6% | 0.94 | 24% |
Trades (full period)
latest 100 of 168
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.30% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.23% | 2 | |
| 2025-12-12 | 2025-12-31 | $458.96 | $449.72 | 1.25% | 13 | |
| 2025-09-26 | 2025-11-10 | $440.40 | $445.23 | 1.26% | 32 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.43% | 3 | |
| 2025-09-18 | 2025-09-22 | $416.85 | $434.21 | -0.11% | 3 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 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 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -7.18% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.29% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.12% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 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 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.14% | 2 | |
| 2023-07-27 | 2023-07-28 | $255.71 | $266.44 | -2.77% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.28% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -7.94% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 0.84% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.49% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.56% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 5.35% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.23% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 2.88% | 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 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.10% | 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 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -5.46% | 2 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.74% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.08% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.74% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -5.13% | 8 | |
| 2021-11-08 | 2021-11-10 | $387.65 | $355.98 | -13.23% | 3 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 0.90% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -2.58% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.58% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.37% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 9.96% | 2 | |
| 2021-10-21 | 2021-10-22 | $298.00 | $303.23 | 2.44% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.70% | 2 | |
| 2021-09-22 | 2021-10-18 | $250.65 | $290.04 | 10.92% | 19 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -2.87% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.15% | 5 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.34% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 1.97% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.29% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.09% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -2.54% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.40% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.52% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-02-02 | 2021-02-11 | $290.93 | $270.55 | -3.46% | 8 | |
| 2021-01-20 | 2021-02-01 | $283.48 | $279.94 | -4.97% | 9 | |
| 2021-01-12 | 2021-01-19 | $283.15 | $281.52 | 1.34% | 5 | |
| 2020-12-10 | 2021-01-08 | $209.02 | $293.34 | 27.20% | 20 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 10.22% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.48% | 2 | |
| 2020-11-19 | 2020-11-25 | $166.42 | $191.33 | 11.05% | 5 | |
| 2020-10-26 | 2020-10-27 | $140.09 | $141.56 | -0.23% | 2 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.44% | 2 | |
| 2020-10-13 | 2020-10-21 | $148.88 | $140.88 | -3.83% | 7 | |
| 2020-06-25 | 2020-06-30 | $65.73 | $71.99 | 3.89% | 4 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 4.28% | 4 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 1.83% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.69% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.77% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.38% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 2.83% | 3 | |
| 2019-12-27 | 2019-12-30 | $28.69 | $27.65 | -0.26% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.99% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.15% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 2.83% | 2 | |
| 2019-12-02 | 2019-12-17 | $22.32 | $25.27 | 12.19% | 12 |