Strategy Zoo / S0010
SnapbackFromSMA_V0010
OVERFITmean_reversionseedseed strategy | rejected: train sharpe 0.86 vs validation -0.00
Fitness
0.3074
Generation
0
Complexity
2
Created
2026-09-18
Lineage
Parents (0)
None — seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# SnapbackFromSMA_V0010 [mean_reversion]
if flat and dist_sma_20 < -0.1:
position = 1.0
if long and dist_sma_20 > 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.9% | -8.6% | — | — |
| Total Return | 271.2% | -23.5% | — | — |
| Sharpe | 0.86 | -0.00 | — | — |
| Sortino | 0.55 | -0.00 | — | — |
| Calmar | 0.59 | -0.17 | — | — |
| Volatility | 21.9% | 41.9% | — | — |
| Max DD | -30.3% | -51.8% | — | — |
| Win Rate | 83.3% | 50.0% | — | — |
| Avg Win | 8.4% | 10.9% | — | — |
| Avg Loss | -6.8% | -9.1% | — | — |
| Payoff | 1.24 | 1.20 | — | — |
| Expectancy | 5.9% | 0.9% | — | — |
| Profit Factor | 6.20 | 1.20 | — | — |
| Trades | 24 | 10 | — | — |
| Avg Holding Days | 12.5 | 15.8 | — | — |
| Turnover | 6.0 | 7.0 | — | — |
| Exposure | 13.8% | 21.2% | — | — |
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 | ||||||