LongTermTrend_V0482

REJECTEDhybrid

llmRemoved duplicate ret_20d condition; added a volatility guard (vol_pctile < 0.9) to avoid extreme-volume regimes; restricted trading to UPTREND and non-bubble regimes via regime gates; improved exit logic to include close < sma_50 and a hard drawdown stop (-12%) to limit large losses; reduced base_position to 0.8 to lower risk/exposure. | rejected: stage1: sharpe -0.79 below screen

Fitness

—

Generation

Complexity

Created

2026-09-19

Lineage

Parents (1)

LongTermTrend_V0323S0323 · gen 15ARCHIVEDllm

changed ret_20d threshold 0.05 -> 0.1

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0482  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and vol_pctile < 0.9):
    position = 0.8
if long and (ret_20d < 0.0392 or close < sma_50 or drawdown < -0.12):
    position = 0.0  # exit to cash

Backtest 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