Strategy Zoo / S0635
LongTermTrend_V0635
REJECTEDhybridllmAdded regime gating to only trade in uptrends and non-extreme volatility/bubble; tightened trend entry to require price above sma_200 with positive sma_200_slope and modest 20d momentum, added a volume-confirmed breakout branch with sma_50/200 confirmation or short-term momentum; improved exits to include MACD sign, a short-term loss cutoff (5d), and a max-drawdown stop; reduced base position to 0.8 to lower risk. | rejected: stage1: sharpe -0.93 below screen
Fitness
—
Generation
29
Complexity
22
Created
2026-09-24
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 2.0784
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0635 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_200 and sma_200_slope > 0.0 and ret_20d > 0.04 and dist_sma_50 > -0.05) or (breakout_50 == 1 and rel_volume > 1.5 and (close > sma_50 or macd_hist > 0.0) and (sma_50 > sma_200 or ret_5d > 0.02))):
position = 0.8
if long and (macd_hist < 0.0 or ret_5d < -0.06 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-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 | ||||||