Strategy Zoo / S1711
LongTermTrend_V1711
ARCHIVEDhybridllmSimplified and strengthened trend entry (require price above sma_50 or 20-day breakout with positive sma_50 slope), loosened long-term drawdown limit, retained long-term 200slope guard. Added regime gating: only trade in UPTREND and non-HIGH volatility to improve robustness across validation. Improved exit rules: multi-condition exit (short-term drawdown, price crossing below sma_50, or negative 50slope) for earlier risk control. Reduced base position to 0.7 to lower drawdown risk.
Fitness
0.3056
Generation
79
Complexity
15
Created
2026-10-16
Lineage
Parents (1)
added entry filter: sma_50_slope > -0.005
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1711 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (((close > sma_50 and sma_50_slope > 0.0) or breakout_20 > 0.0) and ret_20d > 0.03 and cumret_252d > -0.25 and sma_200_slope > -0.001):
position = 0.7
if long and (ret_20d < -0.08 or close < sma_50 or sma_50_slope < -0.003):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.0% | 28.3% | -6.3% | 4.2% |
| Total Return | 8.5% | 111.2% | -21.6% | 83.4% |
| Sharpe | 0.14 | 1.22 | -0.38 | 0.33 |
| Sortino | 0.10 | 1.04 | -0.19 | 0.22 |
| Calmar | 0.03 | 0.71 | -0.23 | 0.08 |
| Volatility | 14.8% | 22.5% | 14.2% | 16.5% |
| Max DD | -35.4% | -39.9% | -27.6% | -55.0% |
| Win Rate | 38.7% | 46.2% | 41.7% | 41.1% |
| Avg Win | 5.3% | 23.2% | 3.2% | 10.4% |
| Avg Loss | -3.3% | -6.4% | -5.5% | -4.4% |
| Payoff | 1.61 | 3.60 | 0.58 | 2.34 |
| Expectancy | 0.0% | 7.2% | -1.9% | 1.6% |
| Profit Factor | 1.02 | 3.09 | 0.42 | 1.63 |
| Trades | 31 | 13 | 12 | 56 |
| Avg Holding Days | 15.0 | 17.8 | 11.0 | 15.3 |
| Turnover | 5.5 | 6.1 | 4.5 | 5.3 |
| Exposure | 16.0% | 20.3% | 8.8% | 15.1% |
Growth of $100
LongTermTrend_V1711 vs TSLA Buy & Hold
LongTermTrend_V1711 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 | -6.5% | -0.83 | -11.1% | 3 |
| 2017 | 0.2% | 0.10 | -19.0% | 10 |
| 2018 | -16.0% | -1.73 | -15.9% | 3 |
| 2019 | 12.3% | 1.36 | -5.2% | 0 |
| 2020 | 141.3% | 3.42 | -8.6% | 5 |
| 2021 | 11.0% | 0.55 | -21.7% | 5 |
| 2022 | -23.4% | -1.98 | -23.3% | 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 | 54.3% | 1.95 | 39% |
| hidden test | EXTREME | 48 | 20.7% | 0.93 | 12% |
| hidden test | HIGH VOLATILITY | 254 | -13.3% | -1.03 | 1% |
| hidden test | LOW VOLATILITY | 445 | 11.4% | 1.10 | 9% |
| hidden test | MEDIUM VOLATILITY | 251 | -27.3% | -1.37 | 17% |
| hidden test | NORMAL | 819 | -13.0% | -1.16 | 6% |
| hidden test | SIDEWAYS | 300 | -9.4% | -1.02 | 1% |
| hidden test | UPTREND | 371 | -6.3% | -0.30 | 22% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 17.5% | 0.75 | 30% |
| train | EXTREME | 100 | 36.8% | 1.83 | 20% |
| train | HIGH VOLATILITY | 699 | -3.6% | -0.26 | 2% |
| train | LOW VOLATILITY | 745 | 17.9% | 1.20 | 30% |
| train | MEDIUM VOLATILITY | 568 | -11.6% | -0.74 | 15% |
| train | NORMAL | 1,601 | -3.0% | -0.26 | 13% |
| train | SIDEWAYS | 592 | -6.0% | -1.20 | 1% |
| train | UPTREND | 902 | 8.6% | 0.40 | 35% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 51.9% | 1.76 | 43% |
| validation | EXTREME | 144 | 128.9% | 4.70 | 17% |
| validation | HIGH VOLATILITY | 258 | 16.8% | 1.08 | 1% |
| validation | LOW VOLATILITY | 183 | 19.3% | 1.25 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 40.9% | 1.38 | 30% |
| validation | NORMAL | 474 | -10.5% | -0.60 | 15% |
| validation | SIDEWAYS | 206 | -17.3% | -1.59 | 1% |
| validation | UPTREND | 425 | 57.2% | 1.98 | 35% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.14% | 2 | |
| 2025-12-12 | 2026-01-05 | $458.96 | $451.67 | -1.43% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 6.65% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.79% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -10.52% | 11 | |
| 2024-12-11 | 2024-12-23 | $424.77 | $430.60 | 3.54% | 9 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -8.95% | 8 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 1.04% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -3.94% | 6 | |
| 2023-07-05 | 2023-08-03 | $282.48 | $259.32 | -6.47% | 22 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.01% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.78% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.93% | 16 | |
| 2021-12-09 | 2021-12-14 | $334.60 | $319.50 | -6.88% | 4 | |
| 2021-11-23 | 2021-12-03 | $369.68 | $338.32 | -4.48% | 8 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 30.22% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -3.11% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 31.91% | 64 | |
| 2020-10-13 | 2020-10-29 | $148.88 | $136.94 | -5.89% | 13 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 8.65% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 4.35% | 2 | |
| 2020-05-28 | 2020-07-06 | $53.72 | $91.44 | 31.62% | 27 | |
| 2019-11-22 | 2020-01-31 | $22.20 | $43.37 | 51.82% | 47 | |
| 2018-11-27 | 2018-12-21 | $22.93 | $21.32 | -6.31% | 18 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -6.18% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.34% | 4 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -2.51% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -6.61% | 7 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.42% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.84% | 2 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -2.62% | 23 | |
| 2017-05-12 | 2017-05-19 | $21.65 | $20.72 | -2.30% | 6 | |
| 2017-04-24 | 2017-05-10 | $20.54 | $21.68 | 3.51% | 13 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.83% | 2 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 7.13% | 6 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 5.88% | 37 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -3.18% | 25 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.82% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -4.23% | 22 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.35% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 4.88% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.48% | 3 | |
| 2014-06-23 | 2014-09-23 | $15.81 | $16.69 | 6.39% | 65 | |
| 2014-03-20 | 2014-03-26 | $15.66 | $14.20 | -4.73% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 18.38% | 9 | |
| 2013-09-09 | 2013-10-24 | $10.71 | $11.54 | -0.88% | 34 | |
| 2013-06-28 | 2013-07-17 | $7.16 | $8.02 | 0.12% | 13 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.72% | 7 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 11.75% | 5 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -1.59% | 21 | |
| 2012-12-18 | 2013-01-14 | $2.31 | $2.22 | -3.14% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.36% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -2.06% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.08% | 2 |