Strategy Zoo / S1714
LongTermTrend_V1714
ARCHIVEDhybridllmMade strategy regime-aware (only in UPTREND & NORMAL bubble), relaxed long-term momentum thresholds (lowered cumret and ret_20d minima) to increase robustness, added mid-term momentum/structure filters (rsi_14 >45 and close > sma_50) and a volatility gate (vol_pctile <0.8) to avoid high-VOL entries. Improved exits: multi-condition exit (5d quick loss, break below sma_50, or negative macd_hist) to cut drawdowns earlier. Added volatility-based position sizing (scale up in low vol, reduce in high vol) and reduced base position to 0.8 for risk control.
Fitness
0.4577
Generation
79
Complexity
15
Created
2026-10-16
Lineage
Parents (1)
changed sma_200_slope threshold -0.0024 -> -0.0041
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1714 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0041) or ret_20d > 0.05) and ret_20d > 0.03 and cumret_252d > 0.02 and rsi_14 > 45.0 and vol_pctile < 0.8 and close > sma_50):
position = 0.8
if long and (ret_5d < -0.03 or close < sma_50 or macd_hist < 0.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.3% | 56.5% | -4.8% | 9.7% |
| Total Return | 20.0% | 283.6% | -16.8% | 292.2% |
| Sharpe | 0.21 | 1.57 | -0.22 | 0.52 |
| Sortino | 0.19 | 1.79 | -0.15 | 0.48 |
| Calmar | 0.07 | 2.34 | -0.18 | 0.30 |
| Volatility | 20.5% | 31.8% | 16.4% | 22.4% |
| Max DD | -31.1% | -24.2% | -25.9% | -32.3% |
| Win Rate | 36.2% | 54.5% | 35.3% | 41.4% |
| Avg Win | 4.4% | 6.0% | 4.0% | 5.1% |
| Avg Loss | -2.2% | -2.5% | -2.6% | -2.3% |
| Payoff | 2.05 | 2.41 | 1.54 | 2.20 |
| Expectancy | 0.2% | 2.1% | -0.3% | 0.7% |
| Profit Factor | 1.17 | 2.90 | 0.84 | 1.55 |
| Trades | 138 | 77 | 51 | 266 |
| Avg Holding Days | 4.8 | 4.6 | 4.2 | 4.7 |
| Turnover | 27.8 | 41.1 | 21.6 | 28.8 |
| Exposure | 21.2% | 29.4% | 13.9% | 21.0% |
Growth of $100
LongTermTrend_V1714 vs TSLA Buy & Hold
LongTermTrend_V1714 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 | 10.5% | 1.01 | -9.3% | 9 |
| 2017 | 7.0% | 0.48 | -13.6% | 26 |
| 2018 | -13.8% | -1.17 | -17.2% | 10 |
| 2019 | 2.2% | 0.32 | -5.6% | 1 |
| 2020 | 214.7% | 2.82 | -14.9% | 26 |
| 2021 | 26.3% | 1.05 | -24.2% | 35 |
| 2022 | -3.9% | -0.09 | -15.5% | 15 |
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 | -10.7% | -1.74 | 3% |
| hidden test | EXPENSIVE | 83 | 27.4% | 1.07 | 33% |
| hidden test | EXTREME | 48 | 53.1% | 1.63 | 23% |
| hidden test | HIGH VOLATILITY | 254 | 15.9% | 1.27 | 3% |
| hidden test | LOW VOLATILITY | 445 | 10.5% | 0.65 | 19% |
| hidden test | MEDIUM VOLATILITY | 251 | -48.0% | -2.45 | 15% |
| hidden test | NORMAL | 819 | -10.0% | -0.74 | 11% |
| hidden test | SIDEWAYS | 300 | -5.6% | -0.38 | 19% |
| hidden test | UPTREND | 371 | 3.6% | 0.16 | 18% |
| train | DOWNTREND | 518 | -4.8% | -0.64 | 5% |
| train | EXPENSIVE | 311 | 19.8% | 0.75 | 41% |
| train | EXTREME | 100 | 156.2% | 3.10 | 42% |
| train | HIGH VOLATILITY | 699 | 16.0% | 0.63 | 12% |
| train | LOW VOLATILITY | 745 | 5.3% | 0.32 | 30% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -0.61 | 21% |
| train | NORMAL | 1,601 | -8.1% | -0.54 | 16% |
| train | SIDEWAYS | 592 | -3.2% | -0.20 | 17% |
| train | UPTREND | 902 | 14.6% | 0.53 | 33% |
| validation | DOWNTREND | 125 | 35.4% | 2.27 | 6% |
| validation | EXPENSIVE | 138 | 58.7% | 1.79 | 37% |
| validation | EXTREME | 144 | 173.1% | 3.32 | 39% |
| validation | HIGH VOLATILITY | 258 | 46.4% | 1.27 | 16% |
| validation | LOW VOLATILITY | 183 | 19.1% | 0.98 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 70.4% | 2.10 | 35% |
| validation | NORMAL | 474 | 9.8% | 0.45 | 24% |
| validation | SIDEWAYS | 206 | -21.8% | -1.24 | 19% |
| validation | UPTREND | 425 | 88.8% | 2.24 | 41% |
Trades (full period)
latest 100 of 266
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | 2026-09-16 | $367.81 | $358.08 | -2.68% | 6 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -5.40% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.17% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.26% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.05% | 2 | |
| 2026-05-04 | 2026-05-19 | $392.51 | $404.11 | 3.82% | 12 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.00% | 3 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.23% | 2 | |
| 2025-12-12 | 2025-12-30 | $458.96 | $454.43 | 2.18% | 12 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 2.76% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.96% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.29% | 3 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.88% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -0.82% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.32% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 4.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.73% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.72% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 0.90% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.23% | 8 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 4.38% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.00% | 2 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -4.62% | 5 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-12 | 2025-05-22 | $318.38 | $341.04 | 9.56% | 9 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -2.76% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -4.12% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 5.72% | 2 | |
| 2024-12-06 | 2024-12-23 | $389.22 | $430.60 | 11.04% | 12 | |
| 2024-09-25 | 2024-10-03 | $257.02 | $240.66 | -1.79% | 7 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -3.37% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-12-07 | 2023-12-14 | $242.64 | $251.05 | -0.18% | 6 | |
| 2023-11-29 | 2023-12-06 | $244.14 | $239.37 | -2.75% | 6 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -3.23% | 8 | |
| 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 | |
| 2023-06-13 | 2023-06-27 | $258.71 | $250.21 | -2.88% | 10 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.08% | 10 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.31% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.01% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -1.98% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.61% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.26% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.11% | 2 | |
| 2022-07-19 | 2022-08-08 | $245.53 | $290.42 | 15.58% | 15 | |
| 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -2.56% | 2 | |
| 2022-03-21 | 2022-04-07 | $307.05 | $352.42 | 12.22% | 14 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -5.55% | 2 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -9.22% | 4 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -5.03% | 2 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.34% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.23% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.38% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.10% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -2.42% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 3.31% | 2 | |
| 2021-10-12 | 2021-11-09 | $268.57 | $341.17 | 36.12% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.04% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.20% | 2 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 1.07% | 2 | |
| 2021-08-25 | 2021-08-26 | $237.07 | $233.72 | 0.15% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 2.90% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -1.96% | 2 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -0.90% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 1.61% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -0.94% | 2 | |
| 2021-07-12 | 2021-07-15 | $228.57 | $216.87 | -0.57% | 4 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 0.85% | 2 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.23% | 9 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -2.92% | 2 | |
| 2021-04-22 | 2021-04-29 | $239.90 | $225.67 | -5.51% | 6 | |
| 2021-04-14 | 2021-04-21 | $244.08 | $248.04 | -4.71% | 6 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -4.36% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.05% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.82% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 4.50% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.82% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.05% | 2 | |
| 2021-01-20 | 2021-01-25 | $283.48 | $293.60 | 0.04% | 4 |