Strategy Zoo / S0806
LongTermTrend_V0806
REJECTEDhybridllmSimplified and diversified entry signals (trend, breakout, momentum); added regime gates to avoid extreme bubble/high-vol regimes; improved exits combining MACD, short-term weakness, and extreme volatility; introduced volatility- and breakout-based position scaling and reduced base size to lower drawdown and improve robustness. | rejected: fitness 0.041 below threshold
Fitness
0.0414
Generation
37
Complexity
20
Created
2026-09-26
Lineage
Parents (1)
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0806 [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 and close > sma_50 and sma_200_slope > -0.001) or (breakout_20 == 1 and rel_volume > 1.4 and macd_hist > 0.0) or (roc_20 > 0.04 and ret_20d > 0.03)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.06 or vol_pctile > 0.9):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.3% | -3.8% | — | — |
| Total Return | -23.8% | -10.9% | — | — |
| Sharpe | -0.14 | -0.14 | — | — |
| Sortino | -0.10 | -0.10 | — | — |
| Calmar | -0.07 | -0.14 | — | — |
| Volatility | 15.5% | 16.9% | — | — |
| Max DD | -49.0% | -26.3% | — | — |
| Win Rate | 38.9% | 39.1% | — | — |
| Avg Win | 2.7% | 3.0% | — | — |
| Avg Loss | -1.9% | -2.2% | — | — |
| Payoff | 1.40 | 1.37 | — | — |
| Expectancy | -0.1% | -0.2% | — | — |
| Profit Factor | 0.89 | 0.88 | — | — |
| Trades | 144 | 46 | — | — |
| Avg Holding Days | 3.7 | 4.3 | — | — |
| Turnover | 28.9 | 24.5 | — | — |
| Exposure | 15.7% | 16.0% | — | — |
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 | ||||||