Strategy Zoo / S0961
LongTermTrend_V0961
REJECTEDhybridllmAdded regime gates to avoid trading in downtrend/high-bubble regimes; simplified and regularized entry into three clear paths (long-term trend, short-term momentum, volume breakouts) with slightly looser trend thresholds to improve robustness; strengthened exits by adding SMA and max-drawdown stop to limit large losses; introduced volatility-based position scaling and reduced base position to lower risk and drawdown. | rejected: fitness 0.026 below threshold
Fitness
0.0262
Generation
44
Complexity
19
Created
2026-10-01
Lineage
Parents (1)
changed cumret_252d threshold 0.2888 -> -0.1176
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0961 [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 > -0.0003 and ret_20d > 0.03 and dist_sma_50 > -0.12) or (macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.5)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -7.3% | -0.4% | — | — |
| Total Return | -45.4% | -1.2% | — | — |
| Sharpe | -0.56 | 0.04 | — | — |
| Sortino | -0.35 | 0.02 | — | — |
| Calmar | -0.14 | -0.02 | — | — |
| Volatility | 12.2% | 13.9% | — | — |
| Max DD | -51.4% | -25.4% | — | — |
| Win Rate | 39.3% | 53.3% | — | — |
| Avg Win | 1.7% | 1.5% | — | — |
| Avg Loss | -1.6% | -1.6% | — | — |
| Payoff | 1.05 | 0.90 | — | — |
| Expectancy | -0.3% | 0.0% | — | — |
| Profit Factor | 0.68 | 1.03 | — | — |
| Trades | 178 | 75 | — | — |
| Avg Holding Days | 2.4 | 2.2 | — | — |
| Turnover | 35.7 | 40.0 | — | — |
| Exposure | 9.9% | 9.8% | — | — |
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 | ||||||