Strategy Zoo / S1203

LongTermTrend_V1203

REJECTEDhybrid

llmAdded regime gates to avoid high-volatility and bubble extremes; simplified and broadened entry to include 200-day trend OR recent breakout/20d momentum, with filters on 1d drawdown, 252d cumulative drawdown and RSI<70 to avoid overbought. Made exit more robust: 20d loss threshold relaxed to -8% plus exits on price dropping below sma_50 or extreme RSI>85. Reduced base position to 0.6 for risk control. | rejected: fitness 0.047 below threshold

Fitness
0.0467
Generation
55
Complexity
17
Created
2026-10-06

Lineage

Parents (1)
LongTermTrend_V0909S0909 · gen 41ARCHIVEDllm

swapped indicator ret_20d -> ret_1d

Children (0)
None

Strategy Logic (pseudocode)

# LongTermTrend_V1203  [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 > 0.0) or ret_20d > 0.08 or breakout_20 == 1) and ret_1d > -0.05 and cumret_252d > -0.3 and rsi_14 < 70.0):
    position = 0.6
if long and (ret_20d < -0.08 or close < sma_50 or rsi_14 > 85.0):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR-1.8%-7.4%——
Total Return-13.8%-20.7%——
Sharpe-0.06-0.42——
Sortino-0.04-0.32——
Calmar-0.06-0.31——
Volatility14.0%15.4%——
Max DD-33.2%-23.9%——
Win Rate43.8%37.0%——
Avg Win2.5%3.6%——
Avg Loss-2.0%-2.7%——
Payoff1.201.33——
Expectancy-0.1%-0.4%——
Profit Factor0.930.78——
Trades11246——
Avg Holding Days5.85.4——
Turnover16.818.4——
Exposure16.1%16.0%——

Walk-Forward Years

year-by-year stability matters more than any single year
YearCAGRSharpeMax DDTrades
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

PeriodRegimeDaysAnn. ReturnSharpeExposure
No regime results

Trades (full period)

0 trades
EntryExitEntry PxExit PxReturnDays
No trades recorded