LongTermTrend_V1246
REJECTEDhybridllmReplaced raw price cross with sma_50>sma_200 golden-cross plus sma_200_slope for clearer trend filter; tightened momentum entry (ret_20d>0.08 and ret_5d>0.01) and added cumret_252d cutoff to avoid deteriorating long-term regimes; added a vol_pctile cap to avoid extreme volatility entries; changed regime gates to only trade in UPTREND and non-bubble (NORMAL) and avoid HIGH_VOL; improved exits by adding drawdown and RSI-based profit-taking; reduced base position to 0.7 and added volatility-based scaling (full size in LOW_VOL, reduced in HIGH_VOL) to lower drawdown and improve robustness. | rejected: fitness 0.044 below threshold
Lineage
restricted to bubble regimes ['EXPENSIVE', 'EXTREME']
Strategy Logic (pseudocode)
# LongTermTrend_V1246 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((sma_50 > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.08) and ret_5d > 0.01 and cumret_252d > -0.15 and vol_pctile < 0.9):
position = 0.7
if long and (ret_20d < -0.1003 or drawdown < -0.12 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.1% | -4.7% | — | — |
| Total Return | -22.0% | -13.4% | — | — |
| Sharpe | -0.25 | -0.43 | — | — |
| Sortino | -0.12 | -0.17 | — | — |
| Calmar | -0.09 | -0.18 | — | — |
| Volatility | 10.2% | 10.0% | — | — |
| Max DD | -33.0% | -26.1% | — | — |
| Win Rate | 37.0% | 44.8% | — | — |
| Avg Win | 2.8% | 2.2% | — | — |
| Avg Loss | -2.3% | -2.6% | — | — |
| Payoff | 1.24 | 0.86 | — | — |
| Expectancy | -0.4% | -0.4% | — | — |
| Profit Factor | 0.73 | 0.70 | — | — |
| Trades | 54 | 29 | — | — |
| Avg Holding Days | 5.1 | 2.5 | — | — |
| Turnover | 9.5 | 13.5 | — | — |
| Exposure | 7.7% | 4.0% | — | — |
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 | ||||||