LongTermTrend_V0503
REJECTEDhybridllmSimplified and tightened entry (prefer price>50SMA with positive 50SMA slope or stronger 20d returns) and added volume/breakout confirmation; tightened long-term drawdown filter; added regime gates to avoid entries in downtrends, high-volatility, or bubble states; improved exits (MACD histogram negative OR price crossing below 50SMA OR individual drawdown stop); position sizing rules to cut exposure in high volatility or low relative volume and increase in low volatility; lowered base position from 1.0→0.8 to reduce tail risk. | rejected: stage1: sharpe -0.70 below screen
Lineage
entry from LongTermTrend_V0323, exit from MACDMomentum_V0334
Strategy Logic (pseudocode)
# LongTermTrend_V0503 [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_50 and sma_50_slope > 0.0) or ret_20d > 0.06) and cumret_252d > -0.15 and (rel_volume > 1.2 or breakout_20 > 0.0)):
position = 0.8
if long and (macd_hist < 0.0 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 | 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 | ||||||