Strategy Zoo / S0024
SMACross_50_200_V0024
ARCHIVEDtrend_followingstructuralrestricted to trend regimes ['SIDEWAYS']
Fitness
0.1745
Generation
1
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (1)
Strategy Logic (pseudocode)
# SMACross_50_200_V0024 [trend_following]
require regime.trend in ['SIDEWAYS']
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 | -1.2% | 9.9% | -14.5% | -2.7% |
| Total Return | -9.4% | 32.7% | -44.0% | -32.6% |
| Sharpe | 0.05 | 0.46 | -0.79 | -0.00 |
| Sortino | 0.03 | 0.35 | -0.42 | -0.00 |
| Calmar | -0.03 | 0.24 | -0.29 | -0.04 |
| Volatility | 21.9% | 30.0% | 17.8% | 22.9% |
| Max DD | -48.0% | -40.9% | -50.2% | -64.6% |
| Win Rate | 48.5% | 56.3% | 15.4% | 43.5% |
| Avg Win | 7.3% | 13.8% | 9.9% | 9.7% |
| Avg Loss | -6.5% | -11.0% | -6.5% | -7.4% |
| Payoff | 1.12 | 1.25 | 1.53 | 1.30 |
| Expectancy | 0.2% | 2.9% | -4.0% | 0.0% |
| Profit Factor | 1.06 | 1.61 | 0.28 | 1.01 |
| Trades | 33 | 16 | 13 | 62 |
| Avg Holding Days | 11.6 | 10.5 | 11.8 | 11.4 |
| Turnover | 8.3 | 10.7 | 7.0 | 8.4 |
| Exposure | 17.4% | 20.1% | 15.0% | 17.4% |
Growth of $100
SMACross_50_200_V0024 vs TSLA Buy & Hold
SMACross_50_200_V0024 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 | -12.4% | -0.68 | -22.6% | 5 |
| 2017 | -3.6% | -0.18 | -13.4% | 6 |
| 2018 | -2.6% | -0.16 | -12.3% | 3 |
| 2019 | 6.8% | 0.65 | -9.4% | 1 |
| 2020 | 86.3% | 2.06 | -12.6% | 5 |
| 2021 | -9.0% | -0.25 | -28.0% | 4 |
| 2022 | -21.9% | -0.64 | -27.7% | 7 |
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 | -17.4% | -2.10 | 3% |
| hidden test | EXPENSIVE | 83 | -6.8% | -1.74 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.9% | -0.27 | 1% |
| hidden test | LOW VOLATILITY | 429 | -21.3% | -1.07 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -14.1% | -0.66 | 14% |
| hidden test | NORMAL | 800 | -15.7% | -0.82 | 17% |
| hidden test | SIDEWAYS | 293 | -30.2% | -1.00 | 43% |
| hidden test | UPTREND | 371 | 1.1% | 0.23 | 1% |
| train | DOWNTREND | 518 | -33.6% | -1.98 | 4% |
| train | EXPENSIVE | 311 | 46.2% | 1.83 | 16% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.7% | 0.19 | 21% |
| train | LOW VOLATILITY | 745 | -8.0% | -0.55 | 16% |
| train | MEDIUM VOLATILITY | 568 | 7.5% | 0.40 | 15% |
| train | NORMAL | 1,601 | -7.5% | -0.35 | 19% |
| train | SIDEWAYS | 592 | 23.2% | 0.64 | 54% |
| train | UPTREND | 902 | 6.6% | 1.00 | 1% |
| validation | DOWNTREND | 125 | -47.1% | -3.37 | 6% |
| validation | EXPENSIVE | 138 | 67.6% | 2.62 | 7% |
| validation | EXTREME | 144 | 25.9% | 0.97 | 8% |
| validation | HIGH VOLATILITY | 258 | 22.7% | 0.58 | 17% |
| validation | LOW VOLATILITY | 183 | -2.7% | -0.16 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 16.3% | 0.60 | 22% |
| validation | NORMAL | 474 | -5.4% | -0.17 | 27% |
| validation | SIDEWAYS | 206 | 12.1% | 0.25 | 67% |
| validation | UPTREND | 425 | 32.6% | 1.62 | 2% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-02-18 | 2026-03-16 | $411.32 | $395.56 | -4.92% | 19 | |
| 2026-01-13 | 2026-02-02 | $447.20 | $421.81 | -4.32% | 14 | |
| 2025-08-01 | 2025-08-06 | $302.63 | $319.91 | -0.06% | 4 | |
| 2025-07-25 | 2025-07-29 | $316.06 | $321.20 | 6.44% | 3 | |
| 2025-07-09 | 2025-07-10 | $295.88 | $309.87 | -0.85% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-02-24 | 2025-03-05 | $330.53 | $279.10 | -19.63% | 8 | |
| 2024-09-27 | 2024-10-03 | $260.46 | $240.66 | -2.24% | 5 | |
| 2024-01-12 | 2024-02-02 | $218.89 | $187.91 | -17.05% | 15 | |
| 2023-11-03 | 2024-01-03 | $219.96 | $238.45 | 13.46% | 41 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-09-05 | 2023-10-23 | $256.49 | $212.08 | -13.65% | 35 | |
| 2022-05-18 | 2022-05-23 | $236.60 | $224.97 | -13.01% | 4 | |
| 2022-05-06 | 2022-05-13 | $288.55 | $256.53 | -16.80% | 6 | |
| 2022-04-27 | 2022-05-04 | $293.84 | $317.54 | 3.54% | 6 | |
| 2022-03-16 | 2022-04-05 | $280.08 | $363.75 | 42.56% | 15 | |
| 2022-03-10 | 2022-03-14 | $279.43 | $255.46 | -7.59% | 3 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2022-01-20 | 2022-02-23 | $332.09 | $254.68 | -17.65% | 24 | |
| 2021-06-11 | 2021-07-12 | $203.30 | $228.57 | 7.46% | 21 | |
| 2021-05-24 | 2021-06-10 | $202.15 | $203.37 | 2.88% | 13 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2021-03-17 | 2021-05-14 | $233.94 | $196.58 | -15.71% | 42 | |
| 2020-11-13 | 2020-11-19 | $136.17 | $166.42 | 17.95% | 5 | |
| 2020-04-30 | 2020-05-15 | $52.13 | $53.28 | 0.15% | 12 | |
| 2020-04-09 | 2020-04-14 | $38.20 | $47.33 | 18.37% | 3 | |
| 2020-04-02 | 2020-04-08 | $30.30 | $36.59 | 13.03% | 5 | |
| 2020-03-19 | 2020-03-20 | $28.51 | $28.50 | 18.17% | 2 | |
| 2019-01-23 | 2019-03-01 | $19.17 | $19.65 | 6.79% | 27 | |
| 2018-12-26 | 2018-12-27 | $21.74 | $21.08 | 10.18% | 2 | |
| 2018-08-28 | 2018-09-06 | $20.79 | $18.73 | -12.25% | 7 | |
| 2018-08-20 | 2018-08-21 | $20.56 | $21.46 | 0.76% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 3.48% | 2 | |
| 2017-12-07 | 2017-12-08 | $20.75 | $21.01 | -0.84% | 2 | |
| 2017-11-13 | 2017-12-06 | $21.03 | $20.88 | 0.04% | 17 | |
| 2017-11-06 | 2017-11-07 | $20.19 | $20.40 | -1.28% | 2 | |
| 2017-10-25 | 2017-11-03 | $21.72 | $20.41 | -11.47% | 8 | |
| 2017-08-24 | 2017-09-18 | $23.53 | $25.67 | 7.45% | 17 | |
| 2016-08-30 | 2016-10-06 | $14.09 | $13.40 | -3.33% | 27 | |
| 2016-07-22 | 2016-07-26 | $14.82 | $15.30 | 4.11% | 3 | |
| 2016-07-06 | 2016-07-08 | $14.30 | $14.45 | 0.71% | 3 | |
| 2016-06-09 | 2016-06-27 | $15.29 | $13.24 | -18.16% | 13 | |
| 2016-06-02 | 2016-06-08 | $14.60 | $15.70 | 5.61% | 5 | |
| 2015-11-16 | 2015-11-17 | $14.29 | $14.27 | 3.23% | 2 | |
| 2015-11-03 | 2015-11-11 | $13.89 | $14.61 | 1.06% | 7 | |
| 2015-10-20 | 2015-10-21 | $14.20 | $14.01 | -6.80% | 2 | |
| 2015-08-18 | 2015-10-12 | $17.38 | $14.37 | -13.62% | 39 | |
| 2015-01-08 | 2015-01-13 | $14.04 | $13.62 | -4.33% | 4 | |
| 2014-12-19 | 2015-01-05 | $14.62 | $14.01 | 0.28% | 10 | |
| 2014-12-10 | 2014-12-11 | $13.99 | $13.93 | -3.45% | 2 | |
| 2014-10-22 | 2014-12-02 | $15.41 | $15.43 | -1.77% | 29 | |
| 2014-05-08 | 2014-06-23 | $11.91 | $15.81 | 13.78% | 32 | |
| 2013-11-12 | 2014-01-24 | $9.19 | $11.64 | 25.17% | 50 | |
| 2012-06-18 | 2012-07-09 | $2.12 | $2.10 | 3.41% | 15 | |
| 2012-06-14 | 2012-06-15 | $1.96 | $1.99 | -1.48% | 2 | |
| 2012-06-11 | 2012-06-12 | $1.94 | $1.98 | -3.39% | 2 | |
| 2012-05-22 | 2012-06-04 | $2.05 | $1.86 | -2.34% | 9 | |
| 2012-05-04 | 2012-05-16 | $2.12 | $1.95 | -9.52% | 9 | |
| 2012-02-22 | 2012-02-23 | $2.28 | $2.30 | -1.01% | 2 | |
| 2012-01-18 | 2012-02-21 | $1.79 | $2.30 | 31.20% | 24 | |
| 2012-01-06 | 2012-01-17 | $1.79 | $1.77 | -16.13% | 7 |