LongTermTrend_V0551

REJECTEDhybrid

llmAdded trend regime gate (only UPTREND or SIDEWAYS) and restricted high-volatility/bubble regimes; entry now requires simple trend confirmation (sma cross) plus momentum (ret_20d or macd_hist), and avoids entries very close to 52w highs and during extreme volatility; improved exits: softer fixed 20d stop (-12%), plus momentum-based exit (macd_hist < 0 with short-term weakness) and drawdown cap; reduced base position to 0.8 and added volatility-based position scaling (larger size in low vol, smaller in high vol) to reduce drawdown and improve robustness. | rejected: stage1: never enters a position

Fitness

—

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

LongTermTrend_V0470S0470 · gen 21ARCHIVEDllm

removed entry condition: cumret_252d > -0.1997; changed ret_20d threshold -0.03 -> -0.1474

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V0551  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((sma_50 > sma_200 or sma_20 > sma_50) and (ret_20d > 0.03 or macd_hist > 0.0) and vol_pctile < 0.85 and dist_52w_high > 0.02):
    position = 0.8
if long and (ret_20d < -0.12 or (macd_hist < 0.0 and ret_5d < -0.02) or drawdown < -0.15):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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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