Fitness
0.6290
Generation
0
Complexity
2
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (12)
Strategy Logic (pseudocode)
# SMACross_50_200_V0006 [trend_following]
if flat and sma_50 > sma_200:
position = 1.0
if long and sma_50 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.5% | 94.5% | -10.3% | 25.8% |
| Total Return | 473.5% | 636.3% | -33.2% | 2804.3% |
| Sharpe | 0.75 | 1.34 | -0.04 | 0.72 |
| Sortino | 0.86 | 1.72 | -0.05 | 0.84 |
| Calmar | 0.43 | 1.56 | -0.18 | 0.40 |
| Volatility | 39.9% | 66.0% | 42.9% | 47.1% |
| Max DD | -57.1% | -60.6% | -56.2% | -65.2% |
| Win Rate | 37.5% | 50.0% | 50.0% | 42.9% |
| Avg Win | 177.1% | 661.9% | 5.5% | 246.0% |
| Avg Loss | -12.8% | -3.4% | -22.4% | -14.0% |
| Payoff | 10.00 | 10.00 | 0.25 | 10.00 |
| Expectancy | 58.4% | 329.3% | -8.4% | 97.4% |
| Profit Factor | 8.28 | 10.00 | 0.25 | 10.00 |
| Trades | 8 | 2 | 4 | 14 |
| Avg Holding Days | 146.0 | 285.5 | 125.0 | 162.7 |
| Turnover | 2.1 | 1.3 | 2.2 | 1.9 |
| Exposure | 59.5% | 75.3% | 53.3% | 61.2% |
Growth of $100
SMACross_50_200_V0006 vs TSLA Buy & Hold
SMACross_50_200_V0006 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -15.9% | -0.69 | -21.5% | 2 |
| 2017 | 35.3% | 1.05 | -22.3% | 1 |
| 2018 | -26.1% | -0.99 | -39.5% | 1 |
| 2019 | 35.6% | 1.38 | -17.2% | 1 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 29.8% | 0.75 | -36.2% | 1 |
| 2022 | -41.3% | -0.98 | -47.7% | 1 |
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 |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 267 | -29.7% | -0.75 | 21% |
| hidden test | EXPENSIVE | 83 | 67.3% | 1.01 | 87% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 60.1% | 1.03 | 45% |
| hidden test | LOW VOLATILITY | 429 | -20.6% | -0.67 | 56% |
| hidden test | MEDIUM VOLATILITY | 248 | -32.9% | -0.78 | 56% |
| hidden test | NORMAL | 800 | -20.2% | -0.53 | 47% |
| hidden test | SIDEWAYS | 293 | -39.4% | -1.19 | 48% |
| hidden test | UPTREND | 371 | 47.8% | 0.93 | 81% |
| train | DOWNTREND | 518 | -34.2% | -1.63 | 13% |
| train | EXPENSIVE | 311 | 96.8% | 1.86 | 99% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 60.2% | 1.15 | 58% |
| train | LOW VOLATILITY | 745 | 13.7% | 0.50 | 63% |
| train | MEDIUM VOLATILITY | 568 | 13.3% | 0.37 | 57% |
| train | NORMAL | 1,601 | -7.4% | -0.22 | 49% |
| train | SIDEWAYS | 592 | 36.1% | 0.91 | 60% |
| train | UPTREND | 902 | 62.3% | 1.32 | 86% |
| validation | DOWNTREND | 125 | -41.0% | -1.39 | 18% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 128.9% | 1.40 | 80% |
| validation | LOW VOLATILITY | 183 | 44.9% | 1.53 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 80.4% | 1.47 | 78% |
| validation | NORMAL | 474 | -0.2% | -0.00 | 61% |
| validation | SIDEWAYS | 206 | -14.5% | -0.26 | 74% |
| validation | UPTREND | 425 | 176.3% | 2.30 | 92% |
Trades (full period)
14 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-04-10 | $425.86 | $348.95 | -18.19% | 142 | |
| 2025-07-02 | 2025-08-06 | $315.65 | $319.91 | 2.46% | 25 | |
| 2024-07-30 | 2025-04-15 | $222.62 | $254.11 | 8.50% | 179 | |
| 2023-06-26 | 2024-02-02 | $241.05 | $187.91 | -26.55% | 154 | |
| 2021-08-31 | 2022-05-27 | $245.24 | $253.21 | -3.36% | 188 | |
| 2019-11-06 | 2021-07-12 | $21.77 | $228.57 | 933.44% | 422 | |
| 2018-12-04 | 2019-03-01 | $23.98 | $19.65 | -10.95% | 59 | |
| 2018-08-03 | 2018-09-12 | $23.21 | $19.37 | -20.22% | 28 | |
| 2017-02-01 | 2017-12-13 | $16.62 | $22.60 | 35.09% | 220 | |
| 2016-07-22 | 2016-10-06 | $14.82 | $13.40 | -5.65% | 54 | |
| 2016-05-03 | 2016-07-08 | $15.49 | $14.45 | -10.88% | 47 | |
| 2015-06-10 | 2015-11-17 | $16.71 | $14.27 | -16.45% | 113 | |
| 2012-12-21 | 2015-01-13 | $2.27 | $13.62 | 486.13% | 518 | |
| 2012-01-04 | 2012-07-09 | $1.85 | $2.10 | 10.14% | 129 |