Strategy Zoo / S0059
DefensiveTrend_V0059
ARCHIVEDhybridcrossoverentry = DefensiveTrend_V0039 OR SMACross_20_100_V0027
Fitness
0.2742
Generation
3
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
added exit filter: close < roll_high_50; replaced exit rule with: breakout_20 == 1
entry = DefensiveTrend_V0017 AND SMACross_50_200_V0024
Children (0)
None
Strategy Logic (pseudocode)
# DefensiveTrend_V0059 [hybrid]
if flat and (((close > sma_200 and vol_pctile < 0.7) and sma_50 > sma_200) or sma_20 > sma_100):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.5% | 6.3% | 4.8% | 9.0% |
| Total Return | 156.9% | 20.0% | 19.0% | 254.6% |
| Sharpe | 0.51 | 0.38 | 0.32 | 0.41 |
| Sortino | 0.60 | 0.54 | 0.42 | 0.52 |
| Calmar | 0.27 | 0.09 | 0.10 | 0.12 |
| Volatility | 34.9% | 52.0% | 42.0% | 40.7% |
| Max DD | -46.0% | -71.5% | -47.6% | -75.8% |
| Win Rate | 81.5% | 84.5% | 82.8% | 82.1% |
| Avg Win | 2.6% | 3.7% | 3.2% | 2.9% |
| Avg Loss | -7.1% | -8.5% | -12.0% | -9.4% |
| Payoff | 0.36 | 0.43 | 0.27 | 0.31 |
| Expectancy | 0.8% | 1.8% | 0.6% | 0.7% |
| Profit Factor | 1.60 | 2.35 | 1.29 | 1.44 |
| Trades | 151 | 71 | 58 | 280 |
| Avg Holding Days | 10.0 | 9.3 | 13.2 | 10.7 |
| Turnover | 36.1 | 46.8 | 30.9 | 36.9 |
| Exposure | 55.7% | 71.6% | 66.1% | 61.6% |
Growth of $100
DefensiveTrend_V0059 vs TSLA Buy & Hold
DefensiveTrend_V0059 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 | -12.5% | -0.46 | -30.7% | 7 |
| 2017 | 3.1% | 0.25 | -27.1% | 28 |
| 2018 | -10.9% | -0.18 | -23.9% | 11 |
| 2019 | 40.3% | 1.25 | -16.9% | 16 |
| 2020 | 205.7% | 2.42 | -35.4% | 36 |
| 2021 | 4.0% | 0.32 | -36.5% | 25 |
| 2022 | -67.0% | -1.88 | -68.8% | 8 |
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 | 15.5% | 0.44 | 42% |
| hidden test | EXPENSIVE | 83 | 100.6% | 1.78 | 69% |
| hidden test | EXTREME | 48 | 56.8% | 1.75 | 52% |
| hidden test | HIGH VOLATILITY | 254 | 31.5% | 0.70 | 39% |
| hidden test | LOW VOLATILITY | 429 | 11.3% | 0.33 | 74% |
| hidden test | MEDIUM VOLATILITY | 248 | -1.2% | -0.02 | 81% |
| hidden test | NORMAL | 800 | 1.8% | 0.05 | 67% |
| hidden test | SIDEWAYS | 293 | -48.3% | -1.10 | 78% |
| hidden test | UPTREND | 371 | 60.9% | 1.37 | 74% |
| train | DOWNTREND | 518 | -27.6% | -1.08 | 24% |
| train | EXPENSIVE | 311 | 24.1% | 0.58 | 65% |
| train | EXTREME | 100 | 223.0% | 5.46 | 49% |
| train | HIGH VOLATILITY | 699 | 20.8% | 0.53 | 36% |
| train | LOW VOLATILITY | 745 | 10.1% | 0.36 | 68% |
| train | MEDIUM VOLATILITY | 568 | 24.5% | 0.66 | 64% |
| train | NORMAL | 1,601 | 3.9% | 0.12 | 54% |
| train | SIDEWAYS | 592 | 16.9% | 0.49 | 56% |
| train | UPTREND | 902 | 44.7% | 1.13 | 73% |
| validation | DOWNTREND | 125 | -155.2% | -3.12 | 64% |
| validation | EXPENSIVE | 138 | 20.0% | 0.38 | 77% |
| validation | EXTREME | 144 | 199.1% | 4.16 | 49% |
| validation | HIGH VOLATILITY | 258 | 49.9% | 0.87 | 48% |
| validation | LOW VOLATILITY | 183 | 36.2% | 1.05 | 87% |
| validation | MEDIUM VOLATILITY | 315 | -15.1% | -0.27 | 81% |
| validation | NORMAL | 474 | -35.2% | -0.67 | 77% |
| validation | SIDEWAYS | 206 | -24.9% | -0.50 | 80% |
| validation | UPTREND | 425 | 92.4% | 1.73 | 69% |
Trades (full period)
latest 100 of 280
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-06 | 2026-08-24 | $419.77 | $348.95 | -10.93% | 36 | |
| 2026-05-22 | 2026-07-02 | $426.01 | $393.45 | 1.58% | 28 | |
| 2025-12-18 | 2026-04-20 | $483.37 | $392.50 | -14.43% | 83 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 4.20% | 5 | |
| 2025-11-05 | 2025-12-08 | $462.07 | $439.58 | 2.22% | 23 | |
| 2025-10-30 | 2025-11-04 | $440.10 | $444.26 | 1.28% | 4 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-27 | 2025-09-12 | $349.60 | $395.94 | 4.66% | 12 | |
| 2025-08-13 | 2025-08-26 | $339.38 | $351.67 | 1.49% | 10 | |
| 2025-05-28 | 2025-08-12 | $356.90 | $340.84 | -8.01% | 53 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -32.99% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.34% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.57% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.83% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 2.63% | 5 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.43% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 3.99% | 2 | |
| 2024-10-29 | 2024-11-07 | $259.52 | $296.91 | 5.02% | 8 | |
| 2024-10-01 | 2024-10-28 | $258.02 | $262.51 | 1.02% | 20 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-17 | 2024-09-20 | $227.87 | $238.25 | 7.34% | 4 | |
| 2024-09-09 | 2024-09-16 | $216.27 | $226.78 | 4.47% | 6 | |
| 2024-07-11 | 2024-09-06 | $241.03 | $210.73 | -5.09% | 41 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-20 | 2024-06-27 | $181.57 | $197.42 | 6.01% | 6 | |
| 2023-12-29 | 2024-02-29 | $248.48 | $201.88 | -20.36% | 42 | |
| 2023-12-21 | 2023-12-28 | $254.50 | $253.18 | 5.58% | 5 | |
| 2023-12-18 | 2023-12-20 | $252.08 | $247.14 | 1.26% | 3 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-17 | 2023-11-29 | $234.30 | $244.14 | 5.41% | 8 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-13 | 2023-09-15 | $271.30 | $274.39 | 3.00% | 3 | |
| 2023-07-19 | 2023-09-12 | $291.26 | $267.48 | -6.92% | 39 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-04-04 | 2023-05-19 | $192.58 | $180.14 | -9.36% | 33 | |
| 2023-02-21 | 2023-04-03 | $197.37 | $194.77 | -0.36% | 30 | |
| 2022-09-21 | 2023-01-24 | $300.80 | $143.89 | -56.93% | 86 | |
| 2022-08-17 | 2022-09-20 | $304.00 | $308.73 | 0.62% | 24 | |
| 2022-08-12 | 2022-08-16 | $300.03 | $306.56 | 7.71% | 3 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -22.25% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -18.91% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -8.44% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-13 | 2021-09-16 | $247.67 | $252.33 | 2.45% | 4 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-01 | 2021-09-08 | $244.70 | $251.29 | 2.13% | 5 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-09 | 2021-08-13 | $237.92 | $239.06 | 3.11% | 5 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-06-30 | 2021-08-02 | $226.57 | $236.56 | 0.74% | 23 | |
| 2021-06-25 | 2021-06-29 | $223.96 | $226.92 | 1.11% | 3 | |
| 2021-04-15 | 2021-06-24 | $246.28 | $226.61 | -10.51% | 50 | |
| 2021-01-27 | 2021-04-14 | $288.05 | $244.08 | -13.52% | 54 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-16 | 2020-11-18 | $146.56 | $162.21 | -1.82% | 24 |