LongTermTrend_V1410
REJECTEDhybridllm1) Simplified and strengthened entry: require either price > sma_200 with a modestly positive sma_200_slope, or strong 20-day return, or a 20-day breakout; added filters for 252-day cumulative return, rsi (avoid overbought) and vol_pctile (avoid very high vol). 2) Improved exit: exit on 20-day drawdown <-10% OR price crossing below sma_50 for faster risk removal. 3) Added regime gates to only trade in UPTREND/SIDEWAYS and non-high volatility, and avoid bubble regimes. 4) Added position sizing rules to scale down exposure when short-term volatility is elevated or the price is far above the 20-day sma. | rejected: fitness -0.022 below threshold
Lineage
Parents (1)
changed ret_20d threshold 0.1 -> 0.0257
Strategy Logic (pseudocode)
# LongTermTrend_V1410 [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 > -0.0005) or ret_20d > 0.05 or breakout_20 > 0.0) and cumret_252d > -0.2 and rsi_14 < 75.0 and vol_pctile < 0.85):
position = 1.0
if long and (ret_20d < -0.1 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|
| CAGR | -6.6% | -12.3% | — | — |
| Total Return | -42.2% | -32.6% | — | — |
| Sharpe | -0.17 | -0.36 | — | — |
| Sortino | -0.12 | -0.28 | — | — |
| Calmar | -0.12 | -0.28 | — | — |
| Volatility | 23.7% | 26.8% | — | — |
| Max DD | -55.1% | -44.3% | — | — |
| Win Rate | 38.1% | 38.3% | — | — |
| Avg Win | 4.1% | 5.4% | — | — |
| Avg Loss | -3.1% | -4.2% | — | — |
| Payoff | 1.35 | 1.30 | — | — |
| Expectancy | -0.3% | -0.5% | — | — |
| Profit Factor | 0.83 | 0.81 | — | — |
| Trades | 118 | 47 | — | — |
| Avg Holding Days | 5.7 | 5.7 | — | — |
| Turnover | 29.6 | 31.3 | — | — |
| Exposure | 27.8% | 29.1% | — | — |
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 |