LongTermTrend_V1605
REJECTEDhybridllmAdded trend-alignment (close>50sma + positive 50/200 slopes), relaxed and simplified momentum gate (ret_20d>3% or 20d breakout), loosened lookback cumulative-return guard, avoided entries very close to 52w highs. Introduced regime gates to forbid high volatility & bubble extremes. Improved exits: harsher 20d loss, breach of 50sma, and drawdown stop. Added position scaling: cut size in high vol (vol_pctile>0.8 -> 0.4) and full size when longer-term momentum strong. Reduced base position to 0.7 to lower exposure and improve robustness. | rejected: stage1: never enters a position
Lineage
changed ret_1d threshold -0.0578 -> -0.0437
Strategy Logic (pseudocode)
# LongTermTrend_V1605 [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 sma_50_slope > 0.0 and sma_200_slope > 0.0) and (ret_20d > 0.03 or breakout_20 > 0.0) and ret_1d > -0.05 and cumret_252d > -0.6 and dist_52w_high > 0.02):
position = 0.7
if long and (ret_20d < -0.02 or close < sma_50 or drawdown < -0.15):
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 | ||||||