LongTermTrend_V0419
REJECTEDhybridllmAdded regime gates to block clear downtrends and extreme volatility/bubble states; tightened entry with an additional SMA-50 trend filter and momentum confirmation (MACD histogram or RSI) to reduce false entries; relaxed some ret/cumret thresholds to increase robustness and trade frequency; improved exits to include drawdown and negative MACD momentum as extra stop conditions; introduced volatility- and drawdown-based position scaling and reduced base position to 0.8 to lower risk and improve validation stability. | rejected: stage1: sharpe -0.58 below screen
Lineage
changed ret_20d threshold 0.05 -> 0.085
Strategy Logic (pseudocode)
# LongTermTrend_V0419 [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 > -0.0024) or ret_20d > 0.07) and ret_20d > 0.04 and cumret_252d > -0.3 and close > sma_50 and (macd_hist > 0.0 or rsi_14 > 50.0)):
position = 0.8
if long and (ret_20d < -0.03 or drawdown < -0.08 or macd_hist < -0.02):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
Walk-Forward Years
| 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)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||