LongTermTrend_V1312

REJECTEDhybrid

llm1) Added long-term regime gate requiring UPTREND (sma_200_slope > 0) to reduce overfitting to down markets. 2) Simplified and tightened entry: require price above sma_50, mild MACD filter, and one of breakout (breakout_20 + rel_volume >1.2), 20d momentum (ret_20d >4%), or fresh short/medium moving average confirmation (close>sma_20 and sma_50>sma_200). 3) Added protective multi-condition exit: exit on negative MACD, a 12% drawdown, or price dropping below sma_20 to cut losses earlier. 4) Introduced volatility-aware sizing: reduce to 0.4 position when vol_pctile>0.75, full size when vol_pctile<0.30; base position lowered to 0.7. 5) Tightened cumret_252d filter (> -0.2) to avoid entering deep bear phases. Overall goal: more robust regime gating, explicit risk controls, and volatility scaling to improve walk-forward stability. | rejected: stage1: sharpe -0.59 below screen

Fitness

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Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

LongTermTrend_V0886S0886 · gen 40ARCHIVEDllm

changed cumret_252d threshold -0.1997 -> -0.4599

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1312  [hybrid]
if flat and (sma_200_slope > 0.0 and close > sma_50 and macd_hist > -0.5 and cumret_252d > -0.2 and ((breakout_20 == 1 and rel_volume > 1.2) or ret_20d > 0.04 or (close > sma_20 and sma_50 > sma_200))):
    position = 0.7
if long and (macd_hist < 0.0 or drawdown < -0.12 or close < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

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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