LongTermTrend_V1475
REJECTEDhybridllmRemoved redundant ret_20d duplication; added clearer trend gate (price > sma200 with positive slope OR recent 20d momentum OR price > sma50); added cumulative-year performance floor; added RSI and volume confirmation to avoid buying overbought or on weak volume; gated out high volatility and bubble regimes (only UPTREND + LOW/MED volatility + NORMAL bubble); tightened and diversified exits (smaller 20d stop, sma50 breakdown, MACD bearish confirmation); added position scaling by vol_pctile to reduce size in high-volatility regimes; slightly reduced base position to 0.9. | rejected: stage1: sharpe -0.63 below screen
Lineage
changed sma_200_slope threshold 0.0 -> -0.0012
Strategy Logic (pseudocode)
# LongTermTrend_V1475 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.08 or close > sma_50) and cumret_252d > -0.15) and rsi_14 < 72.0 and (volume_breakout > 0.0 or rel_volume > 1.2) and vol_pctile < 0.85):
position = 0.9
if long and (ret_20d < -0.08 or close < sma_50 or (macd_hist < 0.0 and macd < macd_signal)):
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 | ||||||