LongTermTrend_V1069
REJECTEDhybridllm1) Simplified and de-duplicated entry logic into two clear branches: long-term trend/momentum and breakout+momentum. 2) Added regime gates: only trade in UPTREND, LOW/MEDIUM volatility, and NORMAL bubble to reduce false entries in adverse regimes. 3) Replaced single macd exit with a composite exit: exit on negative macd_hist OR short-term deterioration (ret_5d < -8%) OR deep drawdown (-12%) to improve risk control. 4) Introduced volatility-based position sizing (vol_pctile tiers: low=1.0, mid=0.7, high=0.4) to reduce exposure when volatility is elevated. | rejected: fitness 0.047 below threshold
Lineage
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Strategy Logic (pseudocode)
# LongTermTrend_V1069 [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 > -0.0024 and ret_20d > 0.05 and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) and ((breakout_50 == 1 and rel_volume > 1.5) or (sma_50 > sma_200 and ret_20d > 0.085)))):
position = 1.0
if long and (macd_hist < 0.0 or ret_5d < -0.08 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.7% | -3.5% | — | — |
| Total Return | -26.2% | -10.2% | — | — |
| Sharpe | -0.28 | -0.16 | — | — |
| Sortino | -0.12 | -0.07 | — | — |
| Calmar | -0.11 | -0.09 | — | — |
| Volatility | 11.3% | 15.3% | — | — |
| Max DD | -33.2% | -37.8% | — | — |
| Win Rate | 38.5% | 40.0% | — | — |
| Avg Win | 2.2% | 3.5% | — | — |
| Avg Loss | -2.1% | -2.6% | — | — |
| Payoff | 1.09 | 1.31 | — | — |
| Expectancy | -0.4% | -0.2% | — | — |
| Profit Factor | 0.68 | 0.87 | — | — |
| Trades | 65 | 30 | — | — |
| Avg Holding Days | 3.0 | 2.9 | — | — |
| Turnover | 16.3 | 20.0 | — | — |
| Exposure | 6.6% | 7.4% | — | — |
Walk-Forward Years
| 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)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||