LongTermTrend_V0527

REJECTEDhybrid

llmRemoved duplicate ret_20d check; added a secondary entry path requiring positive short-term momentum plus being above the 50-day SMA to reduce false signals. Relaxed long-term cumret floor to -0.5 and added a volatility filter (vol_pctile < 0.85) to avoid extreme regimes. Improved exits to include a tighter 20-day drawdown/time-based stop (ret_20d < 0.02), a drawdown stop (drawdown < -12%) and an overbought RS I condition (rsi_14 > 70). Added regime gates: require UPTREND, medium volatility, normal bubble. Lowered base position to 0.8 to reduce risk/overfitting. | rejected: stage1: sharpe -0.68 below screen

Fitness

—

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

LongTermTrend_V0278S0278 · gen 13ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.6

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0527  [hybrid]
if flat and (((close > sma_200 and sma_200_slope > 0.0) or (ret_20d > 0.04 and dist_sma_50 > 0.0)) and cumret_252d > -0.5 and vol_pctile < 0.85):
    position = 0.8
if long and (ret_20d < 0.02 or drawdown < -0.12 or rsi_14 > 70.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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Avg Loss	—	—	—	—
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Expectancy	—	—	—	—
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Trades	—	—	—	—
Avg Holding Days	—	—	—	—
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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