Strategy Zoo / S1582
LongTermTrend_V1582
REJECTEDhybridllmRemoved duplicate 20d-return checks; tightened entry to require price above 50- and 200-day SMAs + positive 200-day slope; added moderate momentum filter (ret_20d>3%) and volatility/value gates (vol_pctile<0.7, dist_52w_high<0.6); restricted regime to UPTREND & not-high-volatility & NORMAL bubble; improved exits (20d loss, break below sma_50, or drawdown stop); reduced base position to 0.8 to lower risk. | rejected: stage1: sharpe -0.62 below screen
Fitness
—
Generation
73
Complexity
15
Created
2026-10-14
Lineage
Parents (1)
changed ret_20d threshold 0.1 -> 0.0257
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1582 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((close > sma_50 and close > sma_200) and sma_200_slope > 0.0 and ret_20d > 0.03 and vol_pctile < 0.7 and dist_52w_high < 0.6):
position = 0.8
if long and (ret_20d < -0.08 or close < sma_50 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-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 | ||||||