LongTermTrend_V0368

REJECTEDhybrid

llmSimplified and de-overfit entry: require price above SMA50 + positive SMA50 slope, plus momentum/breakout or MACD confirmation; added volatility filter (vol_pctile < 0.7). Stronger, multi-condition exits: exit on 20d loss, negative MACD histogram, or large drawdown (-12%). Added regime gates to only trade in UPTREND and non-high-volatility and non-EXTREME bubble states. Reduced base position to 0.6 to limit drawdown and improve robustness. | rejected: fitness 0.041 below threshold

Fitness

0.0413

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongTermTrend_V0287S0287 · gen 13ARCHIVEDllm

removed entry condition: cumret_252d > -0.1997

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0368  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_50 and sma_50_slope > 0.0) and (breakout_20 > 0.0 or ret_20d > 0.03 or macd_hist > 0.0) and vol_pctile < 0.7):
    position = 0.6
if long and (drawdown < -0.12 or macd_hist < 0.0 or ret_20d < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.6%	-4.2%	—	—
Total Return	-18.9%	-12.1%	—	—
Sharpe	-0.31	-0.40	—	—
Sortino	-0.15	-0.19	—	—
Calmar	-0.10	-0.15	—	—
Volatility	7.6%	9.5%	—	—
Max DD	-24.9%	-28.7%	—	—
Win Rate	41.5%	35.9%	—	—
Avg Win	1.3%	1.9%	—	—
Avg Loss	-1.2%	-1.5%	—	—
Payoff	1.01	1.27	—	—
Expectancy	-0.2%	-0.3%	—	—
Profit Factor	0.72	0.71	—	—
Trades	94	39	—	—
Avg Holding Days	2.8	2.6	—	—
Turnover	14.1	15.6	—	—
Exposure	5.2%	5.1%	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
No walk-forward results

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
No regime results

Trades (full period)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded