Strategy Zoo / S0043
SMACross_20_100_V0043
ARCHIVEDtrend_followingcrossoverentry from SMACross_20_100_V0007, exit from LongTermTrend_V0008
Fitness
0.5124
Generation
2
Complexity
2
Created
2026-09-18
Lineage
Parents (2)
seed strategy
seed strategy
Children (1)
Strategy Logic (pseudocode)
# SMACross_20_100_V0043 [trend_following]
if flat and sma_20 > sma_100:
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.8% | 76.9% | -5.7% | 21.9% |
| Total Return | 296.8% | 453.8% | -19.5% | 1721.7% |
| Sharpe | 0.64 | 1.22 | 0.07 | 0.66 |
| Sortino | 0.70 | 1.51 | 0.08 | 0.76 |
| Calmar | 0.28 | 1.27 | -0.09 | 0.32 |
| Volatility | 38.4% | 62.8% | 41.7% | 45.2% |
| Max DD | -67.9% | -60.7% | -63.0% | -67.9% |
| Win Rate | 42.5% | 44.0% | 48.6% | 45.6% |
| Avg Win | 17.8% | 55.7% | 3.4% | 17.2% |
| Avg Loss | -3.5% | -4.1% | -3.5% | -3.4% |
| Payoff | 5.12 | 10.00 | 0.97 | 5.01 |
| Expectancy | 5.6% | 22.2% | -0.2% | 6.0% |
| Profit Factor | 3.79 | 10.00 | 0.92 | 4.20 |
| Trades | 87 | 25 | 70 | 182 |
| Avg Holding Days | 13.1 | 22.5 | 8.5 | 12.9 |
| Turnover | 21.9 | 16.7 | 37.9 | 24.8 |
| Exposure | 54.9% | 71.0% | 56.4% | 58.6% |
Growth of $100
SMACross_20_100_V0043 vs TSLA Buy & Hold
SMACross_20_100_V0043 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 | -15.3% | -0.77 | -26.9% | 20 |
| 2017 | 37.8% | 1.13 | -22.3% | 1 |
| 2018 | -48.7% | -1.97 | -52.7% | 31 |
| 2019 | 49.9% | 1.43 | -25.2% | 25 |
| 2020 | 585.4% | 2.65 | -60.7% | 1 |
| 2021 | 26.2% | 0.70 | -36.2% | 2 |
| 2022 | -46.1% | -1.73 | -46.8% | 22 |
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 | -4.9% | -0.53 | 5% |
| hidden test | EXPENSIVE | 83 | 105.3% | 1.54 | 93% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 0.27 | 46% |
| hidden test | LOW VOLATILITY | 429 | 23.3% | 0.75 | 56% |
| hidden test | MEDIUM VOLATILITY | 248 | -44.3% | -0.97 | 67% |
| hidden test | NORMAL | 800 | -18.8% | -0.52 | 50% |
| hidden test | SIDEWAYS | 293 | -71.1% | -1.94 | 53% |
| hidden test | UPTREND | 371 | 66.6% | 1.17 | 96% |
| train | DOWNTREND | 518 | -10.0% | -0.62 | 3% |
| train | EXPENSIVE | 311 | 98.1% | 1.89 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 24.8% | 0.49 | 52% |
| train | LOW VOLATILITY | 745 | 38.1% | 1.49 | 59% |
| train | MEDIUM VOLATILITY | 568 | 6.4% | 0.19 | 54% |
| train | NORMAL | 1,601 | -14.2% | -0.46 | 43% |
| train | SIDEWAYS | 592 | -29.7% | -0.90 | 37% |
| train | UPTREND | 902 | 80.0% | 1.63 | 97% |
| validation | DOWNTREND | 125 | -15.2% | -2.08 | 3% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 131.0% | 1.50 | 73% |
| validation | LOW VOLATILITY | 183 | 33.7% | 1.13 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 57.5% | 1.11 | 70% |
| validation | NORMAL | 474 | -18.7% | -0.41 | 54% |
| validation | SIDEWAYS | 206 | -56.9% | -1.14 | 57% |
| validation | UPTREND | 425 | 168.7% | 2.23 | 98% |
Trades (full period)
latest 100 of 182
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-21 | 2026-07-22 | $378.93 | $374.01 | 2.33% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-09 | 2026-07-10 | $406.55 | $407.76 | 2.97% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-26 | 2026-06-29 | $379.71 | $411.84 | 1.02% | 2 | |
| 2026-06-24 | 2026-06-25 | $375.53 | $375.12 | -1.79% | 2 | |
| 2026-06-22 | 2026-06-23 | $405.05 | $381.61 | 0.94% | 2 | |
| 2026-06-17 | 2026-06-18 | $396.38 | $400.49 | -2.24% | 2 | |
| 2026-06-15 | 2026-06-16 | $411.15 | $404.66 | 0.96% | 2 | |
| 2026-06-11 | 2026-06-12 | $399.15 | $406.43 | 4.40% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-05-22 | 2026-06-08 | $426.01 | $408.95 | -6.61% | 11 | |
| 2025-09-04 | 2026-03-16 | $338.53 | $395.56 | 16.86% | 133 | |
| 2025-08-22 | 2025-09-03 | $340.01 | $334.09 | 2.69% | 8 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-08-01 | 2025-08-04 | $302.63 | $309.26 | -2.03% | 2 | |
| 2025-07-28 | 2025-07-31 | $325.59 | $308.27 | 0.74% | 4 | |
| 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 | |
| 2025-07-03 | 2025-07-08 | $315.35 | $297.81 | -7.06% | 3 | |
| 2025-06-09 | 2025-07-02 | $308.58 | $315.65 | 1.69% | 17 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2024-08-16 | 2025-03-05 | $216.12 | $279.10 | 26.79% | 137 | |
| 2024-08-13 | 2024-08-15 | $207.83 | $214.14 | 1.77% | 3 | |
| 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 | |
| 2024-07-02 | 2024-08-06 | $231.26 | $200.64 | -5.41% | 25 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-01-18 | 2024-01-19 | $211.88 | $212.19 | -1.90% | 2 | |
| 2024-01-16 | 2024-01-17 | $219.91 | $215.55 | 0.27% | 2 | |
| 2023-12-20 | 2024-01-12 | $247.14 | $218.89 | -11.84% | 16 | |
| 2023-06-01 | 2023-10-23 | $207.52 | $212.08 | 3.75% | 100 | |
| 2023-05-09 | 2023-05-10 | $169.15 | $168.54 | -1.74% | 2 | |
| 2023-05-05 | 2023-05-08 | $170.06 | $171.79 | 5.29% | 2 | |
| 2023-05-03 | 2023-05-04 | $160.61 | $161.20 | -0.01% | 2 | |
| 2023-05-01 | 2023-05-02 | $161.83 | $160.31 | -1.71% | 2 | |
| 2023-04-27 | 2023-04-28 | $160.19 | $164.31 | 3.98% | 2 | |
| 2023-04-25 | 2023-04-26 | $160.67 | $153.75 | -1.36% | 2 | |
| 2023-04-21 | 2023-04-24 | $165.08 | $162.55 | 1.08% | 2 | |
| 2023-04-19 | 2023-04-20 | $180.59 | $162.99 | -2.22% | 2 | |
| 2023-04-17 | 2023-04-18 | $187.04 | $184.31 | 0.90% | 2 | |
| 2023-04-13 | 2023-04-14 | $185.90 | $185.00 | 2.77% | 2 | |
| 2023-04-11 | 2023-04-12 | $186.79 | $180.54 | 1.03% | 2 | |
| 2023-04-06 | 2023-04-10 | $185.06 | $184.51 | -0.45% | 2 | |
| 2023-04-04 | 2023-04-05 | $192.58 | $185.52 | -1.32% | 2 | |
| 2023-03-31 | 2023-04-03 | $207.46 | $194.77 | 6.03% | 2 | |
| 2023-03-29 | 2023-03-30 | $193.88 | $195.28 | 2.28% | 2 | |
| 2023-03-27 | 2023-03-28 | $191.81 | $189.19 | 0.53% | 2 | |
| 2023-03-23 | 2023-03-24 | $192.22 | $190.41 | 0.36% | 2 | |
| 2023-03-21 | 2023-03-22 | $197.58 | $191.15 | 7.61% | 2 | |
| 2023-03-17 | 2023-03-20 | $180.13 | $183.25 | -2.37% | 2 | |
| 2023-03-15 | 2023-03-16 | $180.45 | $184.13 | -1.73% | 2 | |
| 2023-03-13 | 2023-03-14 | $174.48 | $183.26 | 0.40% | 2 | |
| 2023-03-09 | 2023-03-10 | $172.92 | $173.44 | -5.18% | 2 | |
| 2023-03-07 | 2023-03-08 | $187.71 | $182.00 | -3.34% | 2 | |
| 2023-03-03 | 2023-03-06 | $197.79 | $193.81 | 3.41% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2022-10-12 | 2022-10-13 | $217.24 | $221.72 | 0.14% | 2 | |
| 2022-10-10 | 2022-10-11 | $222.96 | $216.50 | -0.25% | 2 | |
| 2022-10-06 | 2022-10-07 | $238.13 | $223.07 | -1.31% | 2 | |
| 2022-10-04 | 2022-10-05 | $249.44 | $240.81 | 2.70% | 2 | |
| 2022-09-30 | 2022-10-03 | $265.25 | $242.40 | -1.30% | 2 | |
| 2022-09-28 | 2022-09-29 | $287.81 | $268.21 | 1.52% | 2 | |
| 2022-09-26 | 2022-09-27 | $276.01 | $282.94 | 0.05% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-09 | 2022-09-14 | $299.68 | $302.61 | 0.79% | 4 | |
| 2022-09-07 | 2022-09-08 | $283.70 | $289.26 | 3.18% | 2 | |
| 2022-09-02 | 2022-09-06 | $270.21 | $274.42 | -2.71% | 2 | |
| 2022-08-31 | 2022-09-01 | $275.61 | $277.16 | -0.95% | 2 | |
| 2022-08-29 | 2022-08-30 | $284.82 | $277.70 | -1.33% | 2 | |
| 2022-08-25 | 2022-08-26 | $296.07 | $288.09 | -0.55% | 2 | |
| 2022-08-23 | 2022-08-24 | $296.45 | $297.10 | 2.05% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-05-02 | 2022-05-03 | $300.98 | $303.08 | 3.49% | 2 | |
| 2022-04-28 | 2022-04-29 | $292.50 | $290.25 | -0.65% | 2 | |
| 2022-04-08 | 2022-04-27 | $341.83 | $293.84 | -17.27% | 13 | |
| 2021-07-29 | 2022-02-23 | $225.78 | $254.68 | 26.73% | 145 | |
| 2021-07-16 | 2021-07-28 | $214.74 | $215.66 | -1.09% | 9 | |
| 2020-03-20 | 2021-05-14 | $28.50 | $196.58 | 567.09% | 291 | |
| 2019-10-23 | 2020-03-19 | $16.98 | $28.51 | 41.05% | 102 | |
| 2019-10-15 | 2019-10-22 | $17.19 | $17.04 | -1.54% | 6 | |
| 2019-10-11 | 2019-10-14 | $16.53 | $17.13 | 1.09% | 2 | |
| 2019-10-09 | 2019-10-10 | $16.30 | $16.32 | 1.66% | 2 | |
| 2019-10-07 | 2019-10-08 | $15.85 | $16.00 | 2.52% | 2 | |
| 2019-10-03 | 2019-10-04 | $15.54 | $15.43 | -4.35% | 2 |