LongTermTrend_V1007
REJECTEDhybridllmAdded regime gates to avoid downtrends/high-bubble states; simplified and modularized entry to require either short-term trend (price>50sma + rising 50sma) or 20d momentum + avoid buying after big 1d drops; require above-average volume. Replaced single deep tail exit with adaptive exit: moderate 20d stop (-5%), 50sma breach, or portfolio drawdown guard. Added volatility-based position sizing (reduce size when vol_pctile>0.8, medium size for mid vol). Reduced base position to 0.8 to lower risk and improve walk-forward robustness. | rejected: stage1: sharpe -0.75 below screen
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Strategy Logic (pseudocode)
# LongTermTrend_V1007 [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_50 and sma_50_slope > 0.0) or ret_20d > 0.05) and ret_1d > -0.03 and rel_volume > 1.0):
position = 0.8
if long and (ret_20d < -0.05 or close < sma_50 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 |