LongTermTrend_V1457

REJECTEDhybrid

llmSimplified and broadened entry (use SMA-50 regime + 20d momentum OR modest 20d return) to reduce overfitting; loosened long-term cumret floor. Added multi-condition exit: 20d stoploss, SMA-50 crossing below SMA-200, or low RSI to cut losses earlier. Added regime gates: require UPTREND, medium-volatility, normal bubble to avoid bad market regimes. Introduced volatility-based position scaling and reduced base position to lower drawdown risk. | rejected: stage1: sharpe -0.72 below screen

Fitness

—

Generation

Complexity

Created

2026-10-10

Lineage

Parents (1)

LongTermTrend_V0519S0519 · gen 24ARCHIVEDllm

entry from LongTermTrend_V0323, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# LongTermTrend_V1457  [hybrid]
if flat and (((close > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.04) and cumret_252d > -0.4):
    position = 0.6
if long and (ret_20d < -0.02 or sma_50 < sma_200 or rsi_14 < 40.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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Sharpe	—	—	—	—
Sortino	—	—	—	—
Calmar	—	—	—	—
Volatility	—	—	—	—
Max DD	—	—	—	—
Win Rate	—	—	—	—
Avg Win	—	—	—	—
Avg Loss	—	—	—	—
Payoff	—	—	—	—
Expectancy	—	—	—	—
Profit Factor	—	—	—	—
Trades	—	—	—	—
Avg Holding Days	—	—	—	—
Turnover	—	—	—	—
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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