Strategy Zoo / S0020
SMACross_50_200_V0020
ARCHIVEDhybridcrossoverentry from SMACross_50_200_V0006, exit from Breakout20_V0011
Fitness
0.4844
Generation
1
Complexity
2
Created
2026-09-18
Lineage
Parents (2)
seed strategy
seed strategy
Children (1)
Strategy Logic (pseudocode)
# SMACross_50_200_V0020 [hybrid]
if flat and sma_50 > sma_200:
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 92.6% | -23.4% | 8.5% |
| Total Return | 20.7% | 615.0% | -62.7% | 231.2% |
| Sharpe | 0.24 | 1.44 | -0.59 | 0.40 |
| Sortino | 0.27 | 1.88 | -0.60 | 0.46 |
| Calmar | 0.03 | 1.90 | -0.33 | 0.11 |
| Volatility | 35.0% | 56.9% | 34.9% | 40.5% |
| Max DD | -76.4% | -48.7% | -72.0% | -78.6% |
| Win Rate | 38.5% | 39.7% | 34.5% | 37.7% |
| Avg Win | 4.9% | 12.8% | 3.9% | 6.6% |
| Avg Loss | -2.5% | -3.3% | -2.9% | -2.8% |
| Payoff | 1.98 | 3.84 | 1.35 | 2.40 |
| Expectancy | 0.4% | 3.1% | -0.5% | 0.8% |
| Profit Factor | 1.24 | 2.53 | 0.71 | 1.45 |
| Trades | 286 | 116 | 142 | 544 |
| Avg Holding Days | 4.2 | 4.9 | 3.5 | 4.2 |
| Turnover | 71.8 | 77.3 | 76.9 | 74.1 |
| Exposure | 46.6% | 60.6% | 38.2% | 47.4% |
Growth of $100
SMACross_50_200_V0020 vs TSLA Buy & Hold
SMACross_50_200_V0020 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 | -30.2% | -1.64 | -30.2% | 34 |
| 2017 | 9.7% | 0.46 | -19.1% | 54 |
| 2018 | -14.1% | -0.56 | -32.6% | 14 |
| 2019 | 0.9% | 0.16 | -24.3% | 20 |
| 2020 | 887.7% | 3.29 | -37.4% | 32 |
| 2021 | -9.7% | -0.02 | -48.7% | 47 |
| 2022 | -32.6% | -0.99 | -40.1% | 37 |
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 | -57.0% | -1.93 | 12% |
| hidden test | EXPENSIVE | 83 | -27.4% | -0.54 | 71% |
| hidden test | EXTREME | 48 | 113.4% | 1.90 | 79% |
| hidden test | HIGH VOLATILITY | 254 | -4.0% | -0.09 | 34% |
| hidden test | LOW VOLATILITY | 429 | -10.0% | -0.41 | 38% |
| hidden test | MEDIUM VOLATILITY | 248 | -55.8% | -1.48 | 42% |
| hidden test | NORMAL | 800 | -27.9% | -0.91 | 32% |
| hidden test | SIDEWAYS | 293 | -22.3% | -0.90 | 34% |
| hidden test | UPTREND | 371 | 6.9% | 0.16 | 61% |
| train | DOWNTREND | 518 | -44.4% | -2.36 | 9% |
| train | EXPENSIVE | 311 | 67.3% | 1.46 | 84% |
| train | EXTREME | 100 | 374.1% | 5.15 | 97% |
| train | HIGH VOLATILITY | 699 | 32.0% | 0.69 | 47% |
| train | LOW VOLATILITY | 745 | 4.1% | 0.17 | 50% |
| train | MEDIUM VOLATILITY | 568 | -14.9% | -0.49 | 41% |
| train | NORMAL | 1,601 | -25.8% | -0.94 | 36% |
| train | SIDEWAYS | 592 | 7.9% | 0.26 | 45% |
| train | UPTREND | 902 | 39.1% | 0.89 | 69% |
| validation | DOWNTREND | 125 | -61.4% | -2.63 | 10% |
| validation | EXPENSIVE | 138 | 74.3% | 1.20 | 80% |
| validation | EXTREME | 144 | 374.9% | 4.37 | 94% |
| validation | HIGH VOLATILITY | 258 | 110.6% | 1.44 | 62% |
| validation | LOW VOLATILITY | 183 | 32.2% | 1.21 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 86.7% | 1.71 | 63% |
| validation | NORMAL | 474 | -5.2% | -0.13 | 45% |
| validation | SIDEWAYS | 206 | 28.2% | 0.65 | 55% |
| validation | UPTREND | 425 | 149.8% | 2.19 | 78% |
Trades (full period)
latest 100 of 544
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-04-08 | 2026-04-09 | $343.25 | $345.62 | -1.18% | 2 | |
| 2026-04-06 | 2026-04-07 | $352.82 | $346.65 | -2.35% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-30 | 2026-03-31 | $355.28 | $371.75 | -2.01% | 2 | |
| 2026-03-26 | 2026-03-27 | $372.11 | $361.83 | -3.78% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-20 | 2026-03-23 | $367.96 | $380.85 | -3.44% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.06% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 3.24% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-25 | 2026-02-27 | $417.40 | $402.51 | -0.39% | 3 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-11 | 2026-02-13 | $428.27 | $417.44 | -2.11% | 3 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-22 | 2026-01-27 | $449.36 | $430.90 | 0.67% | 4 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.34% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 7.54% | 22 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -6.84% | 2 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-10-28 | 2025-11-10 | $460.55 | $445.23 | -5.25% | 10 | |
| 2025-10-20 | 2025-10-27 | $447.43 | $452.42 | -1.47% | 6 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-17 | 2025-10-13 | $425.86 | $435.90 | -2.12% | 19 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -5.28% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-09 | 2025-07-10 | $295.88 | $309.87 | -0.85% | 2 | |
| 2025-07-07 | 2025-07-08 | $293.94 | $297.81 | -6.98% | 2 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.18% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-03-24 | 2025-04-07 | $278.39 | $233.29 | -3.91% | 11 | |
| 2025-03-20 | 2025-03-21 | $236.26 | $248.71 | -0.03% | 2 | |
| 2025-03-18 | 2025-03-19 | $225.31 | $235.86 | -5.53% | 2 | |
| 2025-03-14 | 2025-03-17 | $249.98 | $238.01 | 3.66% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-10 | 2025-03-11 | $222.15 | $230.58 | -15.61% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -5.80% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -4.63% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -6.53% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.78% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -5.37% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-21 | 2025-01-23 | $424.07 | $412.38 | -2.87% | 3 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2025-01-10 | 2025-01-13 | $394.74 | $403.31 | -0.25% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-10-25 | 2025-01-02 | $269.19 | $379.28 | 54.73% | 47 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-09-10 | 2024-10-08 | $226.17 | $244.50 | 11.14% | 21 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.78% | 5 | |
| 2024-08-29 | 2024-08-30 | $206.28 | $214.11 | 0.06% | 2 | |
| 2024-08-26 | 2024-08-28 | $213.21 | $205.75 | -5.24% | 3 | |
| 2024-08-19 | 2024-08-23 | $222.72 | $220.32 | -2.72% | 5 | |
| 2024-08-15 | 2024-08-16 | $214.14 | $216.12 | 6.13% | 2 | |
| 2024-08-13 | 2024-08-14 | $207.83 | $201.38 | 5.03% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 | |
| 2024-08-07 | 2024-08-08 | $191.76 | $198.84 | -4.62% | 2 | |
| 2024-08-05 | 2024-08-06 | $198.88 | $200.64 | -4.43% | 2 | |
| 2024-08-01 | 2024-08-02 | $216.86 | $207.67 | -6.75% | 2 |