LongTermTrend_V1335
REJECTEDhybridllmAdded regime gates to only trade in UPTREND / MEDIUM volatility and non-bubble markets to reduce overfitting; replaced sma_200 gate with a simpler sma_50 + positive sma_50_slope regime to capture more actionable intermediate trend signals; lowered ret_20d threshold to 3% and added RSI and 1-day return filters to avoid buying after spikes/dips; expanded exit logic to include macd_hist negative, drawdown limit and a clearer short-term momentum stop (ret_20d <-1%); introduced volatility-based position scaling (reduce size in high vol, full size in low vol) and reduced base_position from 1.0 to 0.6 to limit drawdown and improve robustness. | rejected: stage1: sharpe -0.77 below screen
Lineage
entry from LongTermTrend_V0909, exit from PriceMomentum_V0690
Strategy Logic (pseudocode)
# LongTermTrend_V1335 [hybrid]
if flat and ((close > sma_50 and sma_50_slope > 0.0) and ret_20d > 0.03 and rsi_14 < 70.0 and ret_1d > -0.04 and cumret_252d > -0.5):
position = 0.6
if long and (ret_20d < -0.01 or macd_hist < 0.0 or drawdown < -0.15 or rsi_14 > 80.0):
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 | 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 | ||||||