LongTermTrend_V1483
REJECTEDhybridllmAdded regime gates to avoid clear downtrends/high-volatility/extreme bubble states; widened entry to include momentum breakout or clean 200-day trend with gentler slope; added short-term confirmation (ret_5d) and cap on distance to 20SMA and volatility percentile to avoid chasing extended/high-vol trades; replaced overly tight 20d exit with a practical 3% 20d drawdown stop or portfolio drawdown cutoff; introduced position scaling: full size on positive MACD histogram, reduced size when volatility percentile is high; lowered base position to 0.7 to reduce risk and overfitting. | rejected: stage1: sharpe -0.71 below screen
Lineage
removed entry condition: ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))
Strategy Logic (pseudocode)
# LongTermTrend_V1483 [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 > -0.001) or ret_20d > 0.06) and ret_5d > 0.01 and cumret_252d > 0.0 and dist_sma_20 < 0.15 and vol_pctile < 0.7):
position = 0.7
if long and (ret_20d < -0.03 or drawdown < -0.12):
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 | ||||||