Strategy Zoo / S0031

SMACross_50_200_V0031

ARCHIVEDtrend_following

structuralreduce exposure to 41% during EXPENSIVE

Fitness

0.4652

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

SMACross_50_200_V0006S0006 · gen 0ARCHIVEDstructural

seed strategy

Children (1)

SMACross_50_200_V0112S0112 · gen 5ARCHIVEDstructural

Strategy Logic (pseudocode)

# SMACross_50_200_V0031  [trend_following]
if flat and sma_50 > sma_200:
    position = 1.0
if long and sma_50 < sma_200:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.9%	47.7%	-11.9%	14.8%
Total Return	273.1%	222.3%	-37.4%	661.6%
Sharpe	0.64	0.96	-0.12	0.54
Sortino	0.71	1.16	-0.13	0.60
Calmar	0.29	0.98	-0.23	0.23
Volatility	35.6%	58.8%	40.3%	42.5%
Max DD	-62.1%	-48.9%	-52.7%	-65.2%
Win Rate	37.5%	50.0%	50.0%	42.9%
Avg Win	128.4%	233.6%	2.4%	118.6%
Avg Loss	-12.8%	-3.4%	-22.7%	-14.1%
Payoff	10.00	10.00	0.11	8.40
Expectancy	40.1%	115.1%	-10.1%	42.7%
Profit Factor	6.01	10.00	0.11	6.30
Trades	8	2	4	14
Avg Holding Days	146.0	285.5	125.0	162.7
Turnover	4.9	6.1	4.4	5.0
Exposure	50.6%	64.5%	48.6%	52.9%

Growth of $100

SMACross_50_200_V0031 vs TSLA Buy & Hold

SMACross_50_200_V0031 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	19.4%	0.91	-18.0%	1
2018	-26.1%	-0.99	-39.5%	1
2019	28.4%	1.19	-17.2%	1
2020	282.8%	2.16	-48.5%	0
2021	23.4%	0.67	-34.9%	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	67.5%	1.30	41%
hidden test	EXTREME	48	90.1%	1.60	94%
hidden test	HIGH VOLATILITY	254	39.7%	0.71	41%
hidden test	LOW VOLATILITY	429	-23.1%	-0.76	54%
hidden test	MEDIUM VOLATILITY	248	-18.5%	-0.51	47%
hidden test	NORMAL	800	-17.9%	-0.48	47%
hidden test	SIDEWAYS	293	-31.7%	-0.99	47%
hidden test	UPTREND	371	34.5%	0.75	70%
train	DOWNTREND	518	-34.2%	-1.63	13%
train	EXPENSIVE	311	52.4%	1.63	44%
train	EXTREME	100	354.6%	5.10	96%
train	HIGH VOLATILITY	699	47.1%	1.01	47%
train	LOW VOLATILITY	745	8.1%	0.32	56%
train	MEDIUM VOLATILITY	568	12.0%	0.39	47%
train	NORMAL	1,601	-3.7%	-0.12	49%
train	SIDEWAYS	592	33.8%	0.90	55%
train	UPTREND	902	48.2%	1.19	69%
validation	DOWNTREND	125	-41.0%	-1.39	18%
validation	EXPENSIVE	138	-34.3%	-0.70	46%
validation	EXTREME	144	306.0%	3.64	96%
validation	HIGH VOLATILITY	258	98.7%	1.18	72%
validation	LOW VOLATILITY	183	44.3%	1.79	54%
validation	MEDIUM VOLATILITY	315	28.6%	0.60	64%
validation	NORMAL	474	6.8%	0.13	60%
validation	SIDEWAYS	206	-2.0%	-0.04	71%
validation	UPTREND	425	113.2%	1.67	75%

Trades (full period)

14 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2026-04-10	$425.86	$348.95	-18.81%	142
2025-07-02	2025-08-06	$315.65	$319.91	2.46%	25
2024-07-30	2025-04-15	$222.62	$254.11	2.41%	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	321.25%	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	19.33%	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	355.75%	518
2012-01-04	2012-07-09	$1.85	$2.10	10.14%	129