Strategy Zoo / S0549
LongTermTrend_V0549
REJECTEDhybridllmAdded regime gates to avoid high-volatility/extreme-bubble regimes; relaxed and simplified trend thresholds (lower ret_20d and cumret_252d) to improve recall; added a volatility percentile filter to avoid entries in elevated vol; expanded breakout arm to include breakout_50 + rel_volume >1.3; enhanced exit to include multiple stop triggers (macd_hist <0 OR price < sma_50 OR drawdown >12% OR 20d loss <-5%); reduced base_position to 0.8 to lower risk. | rejected: stage1: sharpe -0.81 below screen
Fitness
—
Generation
25
Complexity
23
Created
2026-09-22
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0549 [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 or sma_200_slope > -0.001) and ret_20d > 0.03 and cumret_252d > 0.02 and vol_pctile < 0.75) or (macd_hist > 0.0 and (close > sma_50 or breakout_50 == 1) and rel_volume > 1.3 and vol_pctile < 0.9)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.12 or ret_20d < -0.05):
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 | ||||||