Strategy Zoo / S0587
LongTermTrend_V0587
REJECTEDhybridllmAdded regime gates to avoid DOWNTREND/HIGH volatility and bubble states; simplified and restructured entry into two clear branches (long-term trend vs breakout/momentum); added a volatility filter on entry (vol_20 < 0.06); enhanced exit to include close < sma_50 and a hard drawdown stop (drawdown < -15%); reduced base position to 0.8 and added scaled down exposure for HIGH and MEDIUM volatility to limit drawdowns and turnover. | rejected: stage1: never enters a position
Fitness
—
Generation
27
Complexity
28
Created
2026-09-23
Lineage
Parents (1)
logic of LongTermTrend_V0452 with risk overlay of Breakout20_V0374
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0587 [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 and sma_200_slope > -0.0024 and ret_20d > 0.05 and cumret_252d > -0.1997) or ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.4) or (macd_hist > 0.0 and sma_50 > sma_200 and close > sma_50))) and vol_20 < 0.06):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.15):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.25
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6Backtest 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 | ||||||