Fitness
0.4946
Generation
0
Complexity
2
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (5)
Strategy Logic (pseudocode)
# SMACross_20_100_V0007 [trend_following]
if flat and sma_20 > sma_100:
position = 1.0
if long and sma_20 < sma_100:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.1% | 57.8% | 4.2% | 25.0% |
| Total Return | 462.3% | 292.9% | 16.5% | 2551.0% |
| Sharpe | 0.76 | 1.05 | 0.31 | 0.72 |
| Sortino | 0.83 | 1.23 | 0.39 | 0.81 |
| Calmar | 0.45 | 0.95 | 0.08 | 0.37 |
| Volatility | 37.5% | 62.0% | 43.6% | 45.1% |
| Max DD | -53.9% | -60.6% | -53.6% | -67.0% |
| Win Rate | 46.2% | 60.0% | 42.9% | 48.0% |
| Avg Win | 61.9% | 121.4% | 27.1% | 74.9% |
| Avg Loss | -11.7% | -20.5% | -12.1% | -13.2% |
| Payoff | 5.27 | 5.91 | 2.23 | 5.66 |
| Expectancy | 22.2% | 64.6% | 4.7% | 29.1% |
| Profit Factor | 4.52 | 8.86 | 1.68 | 5.23 |
| Trades | 13 | 5 | 7 | 25 |
| Avg Holding Days | 80.0 | 101.8 | 80.7 | 87.6 |
| Turnover | 3.4 | 3.3 | 3.8 | 3.4 |
| Exposure | 54.7% | 66.7% | 59.9% | 58.5% |
Growth of $100
SMACross_20_100_V0007 vs TSLA Buy & Hold
SMACross_20_100_V0007 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 | -15.2% | -0.69 | -28.8% | 2 |
| 2017 | 65.8% | 1.75 | -19.5% | 1 |
| 2018 | -37.8% | -0.97 | -46.9% | 2 |
| 2019 | 59.2% | 1.52 | -24.1% | 2 |
| 2020 | 389.8% | 2.26 | -60.6% | 1 |
| 2021 | 39.9% | 0.93 | -36.2% | 1 |
| 2022 | -51.7% | -1.92 | -52.6% | 3 |
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 | 5.6% | 0.57 | 7% |
| hidden test | EXPENSIVE | 83 | 105.3% | 1.54 | 93% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 35.5% | 0.66 | 51% |
| hidden test | LOW VOLATILITY | 429 | 36.9% | 1.20 | 53% |
| hidden test | MEDIUM VOLATILITY | 248 | -49.1% | -0.97 | 80% |
| hidden test | NORMAL | 800 | -6.2% | -0.16 | 54% |
| hidden test | SIDEWAYS | 293 | -83.4% | -2.01 | 62% |
| hidden test | UPTREND | 371 | 96.0% | 1.67 | 96% |
| train | DOWNTREND | 518 | -2.3% | -0.20 | 5% |
| train | EXPENSIVE | 311 | 57.9% | 1.25 | 90% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 31.9% | 0.65 | 52% |
| train | LOW VOLATILITY | 745 | 37.8% | 1.53 | 57% |
| train | MEDIUM VOLATILITY | 568 | 12.3% | 0.36 | 54% |
| train | NORMAL | 1,601 | -1.3% | -0.04 | 45% |
| train | SIDEWAYS | 592 | -35.5% | -1.25 | 33% |
| train | UPTREND | 902 | 88.3% | 1.76 | 97% |
| validation | DOWNTREND | 125 | -14.0% | -1.36 | 4% |
| validation | EXPENSIVE | 138 | 40.5% | 0.54 | 96% |
| validation | EXTREME | 144 | 333.5% | 3.82 | 97% |
| validation | HIGH VOLATILITY | 258 | 87.3% | 1.01 | 67% |
| validation | LOW VOLATILITY | 183 | 47.9% | 1.57 | 74% |
| validation | MEDIUM VOLATILITY | 315 | 56.2% | 1.12 | 62% |
| validation | NORMAL | 474 | -9.7% | -0.21 | 49% |
| validation | SIDEWAYS | 206 | -91.9% | -2.05 | 42% |
| validation | UPTREND | 425 | 164.0% | 2.16 | 97% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-22 | 2026-07-22 | $426.01 | $374.01 | -9.49% | 41 | |
| 2025-05-28 | 2026-02-02 | $356.90 | $421.81 | 18.37% | 172 | |
| 2024-06-24 | 2025-03-04 | $182.58 | $272.04 | 55.23% | 174 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2023-12-20 | 2024-01-19 | $247.14 | $212.19 | -17.80% | 20 | |
| 2023-06-01 | 2023-10-20 | $207.52 | $211.99 | 7.72% | 99 | |
| 2023-02-21 | 2023-05-11 | $197.37 | $172.08 | -19.26% | 57 | |
| 2022-08-12 | 2022-10-14 | $300.03 | $204.99 | -22.80% | 45 | |
| 2022-04-08 | 2022-05-09 | $341.83 | $262.37 | -18.29% | 21 | |
| 2021-07-16 | 2022-02-07 | $214.74 | $302.45 | 41.63% | 143 | |
| 2020-04-20 | 2021-03-25 | $49.76 | $213.46 | 317.17% | 236 | |
| 2019-09-17 | 2020-04-03 | $16.32 | $32.00 | 86.80% | 139 | |
| 2019-07-31 | 2019-08-19 | $16.11 | $15.12 | -9.39% | 14 | |
| 2018-11-12 | 2019-02-07 | $22.09 | $20.50 | -9.68% | 59 | |
| 2018-06-20 | 2018-09-11 | $24.15 | $18.63 | -19.18% | 58 | |
| 2018-01-29 | 2018-03-28 | $23.30 | $17.19 | -18.73% | 42 | |
| 2017-01-04 | 2017-10-19 | $15.13 | $23.45 | 65.42% | 201 | |
| 2016-08-10 | 2016-08-30 | $15.04 | $14.09 | -6.25% | 15 | |
| 2016-03-24 | 2016-06-29 | $15.18 | $14.01 | -9.52% | 68 | |
| 2015-04-29 | 2015-08-28 | $15.50 | $16.57 | 5.22% | 86 | |
| 2014-06-20 | 2014-10-24 | $15.31 | $15.68 | 3.09% | 89 | |
| 2014-01-28 | 2014-05-21 | $11.89 | $13.30 | 14.92% | 80 | |
| 2012-11-20 | 2013-11-20 | $2.20 | $8.07 | 282.25% | 253 | |
| 2012-02-14 | 2012-05-18 | $2.21 | $1.84 | -9.45% | 67 | |
| 2012-01-04 | 2012-01-13 | $1.85 | $1.52 | 0.40% | 8 |