LongTermTrend_V1710

ARCHIVEDhybrid

llmStronger trend requirement and relaxed momentum thresholds: require sma_200_slope > 0 for trend leg; lower ret_20d entry threshold to 0.03 and reduce 1y cumret barrier to 0.02 to increase trade frequency. Added volatility and shorter-term momentum filters (vol_pctile < 0.8, sma_50_slope > 0) to avoid entry into high-volatility or weakening setups. Improved exits: multi-condition exit (20d loss < -3%, negative sma_50_slope, or price crossing below sma_50) to cut losses earlier. Added regime gates to prevent trading in high-volatility or bubble states and reduced base position to 0.8 for risk control.

Fitness

0.1508

Generation

Complexity

Created

2026-10-16

Lineage

Parents (1)

LongTermTrend_V1443S1443 · gen 66ELITEllm

changed sma_200_slope threshold -0.0024 -> -0.0041

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1710  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.085) and ret_20d > 0.03 and cumret_252d > 0.02 and vol_pctile < 0.8 and sma_50_slope > 0.0):
    position = 0.8
if long and (ret_20d < -0.03 or sma_50_slope < -0.0005 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.4%	0.9%	-2.7%	-0.7%
Total Return	-3.1%	2.6%	-9.7%	-10.3%
Sharpe	0.03	0.13	-0.14	0.01
Sortino	0.02	0.06	-0.06	0.01
Calmar	-0.01	0.02	-0.12	-0.02
Volatility	12.3%	15.8%	13.1%	13.3%
Max DD	-27.2%	-35.0%	-22.7%	-42.0%
Win Rate	42.1%	33.3%	42.9%	40.6%
Avg Win	5.8%	18.7%	7.7%	8.3%
Avg Loss	-4.2%	-6.9%	-7.6%	-5.5%
Payoff	1.38	2.70	1.01	1.50
Expectancy	0.0%	1.6%	-1.1%	0.1%
Profit Factor	1.00	1.35	0.76	1.02
Trades	19	6	7	32
Avg Holding Days	15.7	19.5	13.9	16.0
Turnover	3.8	3.2	3.0	3.5
Exposure	11.1%	11.7%	7.6%	10.3%

Growth of $100

LongTermTrend_V1710 vs TSLA Buy & Hold

LongTermTrend_V1710 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	1.5%	0.21	-10.1%	1
2017	9.8%	2.07	-0.9%	2
2018	-14.2%	-1.23	-14.9%	3
2019	5.9%	0.73	-5.9%	1
2020	0.0%	0.00	0.0%	0
2021	26.5%	1.20	-18.7%	3
2022	-19.0%	-1.16	-22.3%	3

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	34.2%	2.44	2%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-11.4%	-1.00	0%
hidden test	LOW VOLATILITY	445	3.4%	0.25	13%
hidden test	MEDIUM VOLATILITY	251	-1.5%	-0.11	5%
hidden test	NORMAL	819	-5.6%	-0.42	9%
hidden test	SIDEWAYS	300	-17.7%	-1.27	7%
hidden test	UPTREND	371	9.6%	0.58	14%
train	DOWNTREND	518	-0.3%	-0.79	0%
train	EXPENSIVE	311	7.0%	1.38	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-1.9%	-0.19	0%
train	LOW VOLATILITY	745	15.5%	1.08	23%
train	MEDIUM VOLATILITY	568	-16.8%	-1.42	8%
train	NORMAL	1,601	-0.9%	-0.07	14%
train	SIDEWAYS	592	-8.1%	-1.02	4%
train	UPTREND	902	6.3%	0.37	22%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-6.5%	-0.66	1%
validation	LOW VOLATILITY	183	22.3%	1.67	28%
validation	MEDIUM VOLATILITY	315	-2.5%	-0.12	11%
validation	NORMAL	474	3.4%	0.17	19%
validation	SIDEWAYS	206	-15.1%	-1.03	7%
validation	UPTREND	425	11.1%	0.60	18%

Trades (full period)

32 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-14	2026-06-08	$443.30	$408.95	-9.93%	17
2025-12-12	2026-01-05	$458.96	$451.67	-1.67%	15
2025-08-25	2025-09-15	$346.60	$410.04	12.89%	15
2025-06-02	2025-06-06	$342.69	$295.14	-14.50%	5
2025-05-22	2025-05-28	$341.04	$356.90	6.58%	4
2024-01-03	2024-01-10	$238.45	$233.94	-4.50%	6
2023-06-13	2023-08-02	$258.71	$254.11	3.73%	35
2022-08-02	2022-08-29	$300.59	$284.82	-2.53%	20
2022-04-05	2022-04-27	$363.75	$293.84	-19.20%	16
2022-01-12	2022-01-13	$368.74	$343.85	2.98%	2
2021-12-09	2021-12-10	$334.60	$339.01	-5.03%	2
2021-11-23	2021-12-01	$369.68	$365.00	-0.96%	6
2021-08-03	2021-11-10	$236.58	$355.98	34.50%	71
2019-11-22	2019-12-17	$22.20	$25.27	5.89%	17
2018-11-27	2018-12-19	$22.93	$22.20	-2.18%	16
2018-03-13	2018-03-15	$22.79	$21.71	-4.53%	3
2018-01-22	2018-02-09	$23.44	$20.69	-8.08%	15
2017-01-31	2017-02-03	$16.80	$16.76	0.14%	4
2017-01-06	2017-01-25	$15.27	$16.96	9.57%	13
2016-03-28	2016-05-04	$15.35	$14.84	1.54%	28
2015-12-30	2016-01-05	$15.87	$14.90	-4.79%	4
2015-08-06	2015-08-07	$16.41	$16.17	-7.26%	2
2015-04-29	2015-07-28	$15.50	$17.65	7.77%	63
2015-04-14	2015-04-21	$13.83	$13.96	-1.88%	6
2014-09-19	2014-09-23	$17.29	$16.69	-4.35%	3
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-23	2014-07-17	$15.81	$14.36	-4.44%	18
2013-03-26	2013-04-02	$2.52	$2.96	13.44%	5
2013-02-15	2013-02-22	$2.47	$2.41	-6.61%	5
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2012-11-28	2013-01-11	$2.22	$2.19	3.33%	31
2012-02-23	2012-04-10	$2.30	$2.16	-2.46%	33