Strategy Zoo / S0481
LongTermTrend_V0481
REJECTEDhybridllmAdded regime gates to avoid downtrends, high volatility and bubble states; reduced base_position to 0.7 to lower drawdown exposure; strengthened entry to require either clean 200-day trend with positive MACD momentum or a high-volume 20-day breakout; tightened cumret and distance-from-50-SMA filters and prevent entries when RSI is extremely high; improved exits to also leave on weakening MACD or larger short-term deterioration vs SMA50. | rejected: stage1: sharpe -0.50 below screen
Fitness
—
Generation
22
Complexity
21
Created
2026-09-19
Lineage
Parents (1)
added entry filter: dist_sma_50 > -0.0774
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0481 [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 > -0.001 and macd_hist > 0.0 and ret_20d > 0.02) or (breakout_20 == 1 and rel_volume > 1.3 and ret_5d > 0.02)) and cumret_252d > -0.15 and dist_sma_50 > -0.12 and rsi_14 < 80.0):
position = 0.7
if long and (ret_20d < -0.03 or macd_hist < 0.0 or dist_sma_50 < -0.08):
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 | ||||||