Strategy Zoo / S1648
LongTermTrend_V1648
REJECTEDhybridllmReduced base position to 0.6 to limit drawdowns; added regime gates (avoid high volatility and bubble states) to reduce bad-period trading; strengthened trend filter by requiring sma_200_slope>0 and macd_hist>0; added a breakout alternative (breakout_20 + momentum + rising vol) to capture acceleration; improved exits to include a 20-day stop (-2%), a sma_50 breakdown, and a daily spike down stop; added volatility-based position sizing (scale down in high vol, full size in low vol). | rejected: stage1: sharpe -0.59 below screen
Fitness
—
Generation
76
Complexity
17
Created
2026-10-15
Lineage
Parents (1)
entry from LongTermTrend_V1383, exit from PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1648 [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 > 0.0 and ret_20d > 0.05 and macd_hist > 0.0) or (breakout_20 > 0.0 and ret_20d > 0.15 and vol_chg > 0.0)):
position = 0.6
if long and (ret_20d < -0.02 or close < sma_50 or ret_1d < -0.06):
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 | ||||||