Strategy Zoo / S0435
LongTermTrend_V0435
REJECTEDhybridllmReduced base exposure and added volatility-based scaling; tightened exit logic with price-based and drawdown exits; added volatility and breakout filters to entry; enabled regime gates to avoid downtrend/high-volatility/bubble periods. These changes aim to lower max drawdown and improve robustness while keeping trend/momentum entry signals. | rejected: stage1: sharpe -0.67 below screen
Fitness
—
Generation
20
Complexity
18
Created
2026-09-19
Lineage
Parents (1)
added entry filter: dist_sma_50 > -0.0774
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0435 [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 > 0.08) and ret_20d > 0.04 and cumret_252d > -0.1997 and dist_sma_50 > -0.12 and vol_pctile < 0.85 and breakout_20 > 0.0):
position = 0.6
if long and (ret_20d < -0.03 or close < sma_50 or drawdown < -0.12):
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-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 | ||||||