Strategy Zoo / S0037
DrawdownControl_V0037
ARCHIVEDdefensiveparameterchanged dist_52w_high threshold -0.2 -> -0.3034
Fitness
0.3608
Generation
1
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (2)
Strategy Logic (pseudocode)
# DrawdownControl_V0037 [defensive]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (ret_60d > 0.0 and dist_52w_high > -0.3034):
position = 1.0
if long and dist_52w_high < -0.25:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.6Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.8% | 57.8% | 1.2% | 10.8% |
| Total Return | 6.9% | 293.1% | 4.4% | 351.6% |
| Sharpe | 0.19 | 1.24 | 0.21 | 0.46 |
| Sortino | 0.20 | 1.50 | 0.24 | 0.51 |
| Calmar | 0.01 | 1.00 | 0.03 | 0.16 |
| Volatility | 33.8% | 45.1% | 35.9% | 36.9% |
| Max DD | -64.0% | -57.9% | -44.9% | -69.3% |
| Win Rate | 10.7% | 45.5% | 43.3% | 34.1% |
| Avg Win | 71.4% | 19.2% | 6.1% | 20.5% |
| Avg Loss | -5.7% | -4.4% | -3.7% | -4.8% |
| Payoff | 10.00 | 4.35 | 1.64 | 4.30 |
| Expectancy | 2.5% | 6.3% | 0.5% | 3.8% |
| Profit Factor | 1.50 | 3.63 | 1.25 | 2.22 |
| Trades | 28 | 33 | 30 | 91 |
| Avg Holding Days | 42.5 | 14.6 | 16.8 | 24.4 |
| Turnover | 9.3 | 22.0 | 16.2 | 13.6 |
| Exposure | 52.3% | 51.4% | 46.7% | 50.7% |
Growth of $100
DrawdownControl_V0037 vs TSLA Buy & Hold
DrawdownControl_V0037 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 | -37.4% | -1.95 | -42.3% | 10 |
| 2017 | 32.2% | 1.05 | -22.3% | 1 |
| 2018 | -15.5% | -0.40 | -22.3% | 2 |
| 2019 | 7.8% | 0.43 | -22.9% | 2 |
| 2020 | 476.1% | 3.32 | -22.5% | 6 |
| 2021 | 21.9% | 0.68 | -30.4% | 8 |
| 2022 | -52.8% | -2.79 | -52.7% | 19 |
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 | -5.4% | -1.42 | 1% |
| hidden test | EXPENSIVE | 83 | 138.1% | 2.27 | 78% |
| hidden test | EXTREME | 48 | 124.7% | 2.66 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 15.3% | 0.42 | 25% |
| hidden test | LOW VOLATILITY | 429 | -7.6% | -0.24 | 54% |
| hidden test | MEDIUM VOLATILITY | 248 | 25.7% | 0.61 | 57% |
| hidden test | NORMAL | 800 | -13.0% | -0.42 | 42% |
| hidden test | SIDEWAYS | 293 | -48.2% | -1.42 | 52% |
| hidden test | UPTREND | 371 | 60.8% | 1.27 | 75% |
| train | DOWNTREND | 518 | -28.6% | -1.74 | 2% |
| train | EXPENSIVE | 311 | 47.6% | 1.12 | 76% |
| train | EXTREME | 100 | 277.3% | 5.57 | 72% |
| train | HIGH VOLATILITY | 699 | 5.0% | 0.13 | 35% |
| train | LOW VOLATILITY | 745 | 22.3% | 0.83 | 66% |
| train | MEDIUM VOLATILITY | 568 | -12.2% | -0.34 | 55% |
| train | NORMAL | 1,601 | -18.3% | -0.61 | 46% |
| train | SIDEWAYS | 592 | -44.4% | -1.50 | 43% |
| train | UPTREND | 902 | 60.2% | 1.42 | 87% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 75.9% | 1.43 | 81% |
| validation | EXTREME | 144 | 286.4% | 4.62 | 69% |
| validation | HIGH VOLATILITY | 258 | 71.2% | 1.43 | 36% |
| validation | LOW VOLATILITY | 183 | 33.6% | 1.17 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 55.9% | 1.15 | 57% |
| validation | NORMAL | 474 | -20.2% | -0.59 | 38% |
| validation | SIDEWAYS | 206 | -60.8% | -2.17 | 23% |
| validation | UPTREND | 425 | 128.6% | 2.28 | 81% |
Trades (full period)
91 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-07-23 | $445.00 | $319.69 | -13.36% | 51 | |
| 2025-09-11 | 2026-03-16 | $368.81 | $395.56 | 12.26% | 128 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -1.53% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-27 | 2025-05-29 | $362.89 | $358.43 | 4.97% | 3 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 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 | |
| 2024-08-30 | 2025-02-11 | $214.11 | $328.50 | 44.81% | 112 | |
| 2024-08-16 | 2024-08-29 | $216.12 | $206.28 | -2.39% | 10 | |
| 2024-08-13 | 2024-08-15 | $207.83 | $214.14 | 1.10% | 3 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.23% | 2 | |
| 2024-08-07 | 2024-08-08 | $191.76 | $198.84 | -2.77% | 2 | |
| 2024-07-02 | 2024-08-06 | $231.26 | $200.64 | 2.64% | 25 | |
| 2024-01-25 | 2024-01-26 | $182.63 | $183.25 | -12.31% | 2 | |
| 2024-01-22 | 2024-01-23 | $208.80 | $209.14 | -1.80% | 2 | |
| 2023-11-14 | 2024-01-16 | $237.41 | $219.91 | -2.34% | 42 | |
| 2023-08-28 | 2023-10-23 | $238.82 | $212.08 | -11.33% | 40 | |
| 2023-08-22 | 2023-08-25 | $233.19 | $238.59 | -0.73% | 4 | |
| 2023-08-18 | 2023-08-21 | $215.49 | $231.28 | -1.90% | 2 | |
| 2023-06-08 | 2023-08-17 | $234.86 | $219.22 | 0.26% | 49 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -7.00% | 2 | |
| 2022-09-23 | 2022-09-26 | $275.33 | $276.01 | -4.79% | 2 | |
| 2022-09-19 | 2022-09-22 | $309.07 | $288.59 | -1.04% | 4 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.18% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-09-09 | 2022-09-12 | $299.68 | $304.42 | 3.40% | 2 | |
| 2022-08-26 | 2022-08-29 | $288.09 | $284.82 | -2.89% | 2 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-15 | 2022-08-17 | $309.32 | $304.00 | 1.98% | 3 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -8.52% | 2 | |
| 2022-05-03 | 2022-05-04 | $303.08 | $317.54 | 0.50% | 2 | |
| 2022-03-29 | 2022-04-27 | $366.52 | $293.84 | -19.89% | 21 | |
| 2021-12-22 | 2022-01-26 | $336.29 | $312.47 | 9.22% | 24 | |
| 2021-07-30 | 2021-12-21 | $229.07 | $312.84 | 26.27% | 101 | |
| 2021-06-25 | 2021-07-07 | $223.96 | $214.88 | -3.17% | 8 | |
| 2021-06-23 | 2021-06-24 | $218.86 | $226.61 | 5.06% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.41% | 2 | |
| 2021-03-22 | 2021-03-24 | $223.33 | $210.09 | 0.55% | 3 | |
| 2021-03-10 | 2021-03-19 | $222.69 | $218.29 | -1.82% | 8 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2020-09-14 | 2021-03-04 | $139.87 | $207.15 | 64.39% | 119 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 0.71% | 2 | |
| 2020-04-23 | 2020-09-09 | $47.04 | $122.09 | 114.18% | 97 | |
| 2020-04-14 | 2020-04-22 | $47.33 | $48.81 | 3.34% | 7 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.15% | 2 | |
| 2020-03-02 | 2020-03-10 | $49.57 | $43.02 | -5.20% | 7 | |
| 2019-10-25 | 2020-02-28 | $21.88 | $44.53 | 109.99% | 86 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2018-10-26 | 2019-03-04 | $22.06 | $19.02 | -5.92% | 86 | |
| 2018-06-12 | 2018-09-06 | $22.85 | $18.73 | -3.51% | 61 | |
| 2018-01-22 | 2018-03-26 | $23.44 | $20.28 | -14.37% | 45 | |
| 2016-12-28 | 2017-11-03 | $14.65 | $20.41 | 30.57% | 216 | |
| 2016-09-19 | 2016-10-06 | $13.76 | $13.40 | 1.29% | 14 | |
| 2016-08-01 | 2016-09-06 | $15.33 | $13.52 | -15.93% | 26 | |
| 2016-05-19 | 2016-06-23 | $14.35 | $13.09 | -7.06% | 25 | |
| 2016-05-17 | 2016-05-18 | $13.64 | $14.08 | -1.94% | 2 | |
| 2016-05-13 | 2016-05-16 | $13.84 | $13.89 | -0.04% | 2 | |
| 2016-05-11 | 2016-05-12 | $13.93 | $13.82 | -0.07% | 2 | |
| 2016-05-09 | 2016-05-10 | $13.93 | $13.91 | -2.99% | 2 | |
| 2016-04-01 | 2016-05-06 | $15.84 | $14.33 | -8.12% | 26 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2016-01-08 | 2016-01-11 | $14.07 | $13.86 | -2.35% | 2 | |
| 2015-04-28 | 2015-10-12 | $15.37 | $14.37 | -7.89% | 117 | |
| 2015-04-20 | 2015-04-21 | $13.68 | $13.96 | -0.93% | 2 | |
| 2015-04-16 | 2015-04-17 | $13.78 | $13.79 | -0.74% | 2 | |
| 2015-04-14 | 2015-04-15 | $13.83 | $13.86 | -1.30% | 2 | |
| 2014-06-18 | 2014-12-02 | $15.14 | $15.43 | -0.21% | 117 | |
| 2014-01-22 | 2014-05-09 | $11.90 | $12.15 | -0.94% | 76 | |
| 2013-11-12 | 2013-11-13 | $9.19 | $9.25 | -2.98% | 2 | |
| 2012-11-06 | 2013-11-08 | $2.08 | $9.20 | 182.39% | 255 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-08-24 | 2012-08-28 | $1.97 | $1.91 | -4.86% | 3 | |
| 2012-07-13 | 2012-07-27 | $2.28 | $1.97 | -14.14% | 11 | |
| 2012-01-31 | 2012-05-16 | $1.94 | $1.95 | -4.23% | 75 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |