Strategy Zoo / S1707
LongTermTrend_V1707
REJECTEDhybridllmSimplified and regularized entries (trend cross + slope OR high-volume 50-day breakout with momentum OR close above SMA50 with positive MACD); added robust multi-condition exit (MACD flip OR >5% below SMA50 OR portfolio drawdown >8%) to cut losses earlier; added regime gates to restrict trading to up/sideways trend, low/medium volatility, and normal bubble states to reduce overtrading in bad regimes; reduced base position from 1.0 to 0.6 to lower max drawdown and improve robustness. | rejected: fitness -0.012 below threshold
Fitness
-0.0116
Generation
79
Complexity
20
Created
2026-10-16
Lineage
Parents (1)
changed sma_200_slope threshold -0.0003 -> -0.002
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V1707 [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) or (breakout_50 == 1 and rel_volume > 1.5 and macd_hist > 0.0 and ret_20d > 0.03) or (close > sma_50 and macd_hist > 0.0 and dist_sma_50 > -0.05)):
position = 0.6
if long and (macd_hist < 0.0 or dist_sma_50 < -0.05 or drawdown < -0.08):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -7.3% | -2.8% | — | — |
| Total Return | -45.6% | -8.1% | — | — |
| Sharpe | -0.59 | -0.10 | — | — |
| Sortino | -0.41 | -0.09 | — | — |
| Calmar | -0.15 | -0.14 | — | — |
| Volatility | 11.8% | 15.7% | — | — |
| Max DD | -48.0% | -19.9% | — | — |
| Win Rate | 40.7% | 43.8% | — | — |
| Avg Win | 1.3% | 1.8% | — | — |
| Avg Loss | -1.2% | -1.5% | — | — |
| Payoff | 1.04 | 1.22 | — | — |
| Expectancy | -0.2% | -0.0% | — | — |
| Profit Factor | 0.72 | 0.95 | — | — |
| Trades | 275 | 121 | — | — |
| Avg Holding Days | 2.3 | 2.1 | — | — |
| Turnover | 41.3 | 48.4 | — | — |
| Exposure | 10.3% | 11.0% | — | — |
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 | ||||||