Strategy Zoo / S0062
DefensiveTrend_V0062
ARCHIVEDhybridcrossoverentry = DefensiveTrend_V0039 AND LongTermTrend_V0034
Fitness
0.3465
Generation
3
Complexity
13
Created
2026-09-18
Lineage
Parents (2)
reduce exposure to 34% during EXTREME
entry = DefensiveTrend_V0017 AND SMACross_50_200_V0024
Children (0)
None
Strategy Logic (pseudocode)
# DefensiveTrend_V0062 [hybrid]
if flat and (((close > sma_200 and vol_pctile < 0.7) and sma_50 > sma_200) and (close > sma_200 and sma_200_slope > 0.0)):
position = 1.0
if long and (close < sma_200 or drawdown < -0.35):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.5Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.9% | 50.8% | -13.5% | 7.8% |
| Total Return | 46.5% | 243.1% | -41.5% | 202.4% |
| Sharpe | 0.31 | 1.13 | -0.49 | 0.39 |
| Sortino | 0.27 | 1.43 | -0.40 | 0.38 |
| Calmar | 0.09 | 0.99 | -0.26 | 0.11 |
| Volatility | 29.8% | 45.6% | 23.9% | 32.4% |
| Max DD | -55.9% | -51.1% | -52.6% | -69.3% |
| Win Rate | 21.4% | 41.7% | 39.3% | 36.8% |
| Avg Win | 52.5% | 50.7% | 2.5% | 15.7% |
| Avg Loss | -7.8% | -5.1% | -2.9% | -4.2% |
| Payoff | 6.72 | 9.96 | 0.86 | 3.75 |
| Expectancy | 5.1% | 18.2% | -0.8% | 3.1% |
| Profit Factor | 1.83 | 7.11 | 0.56 | 2.18 |
| Trades | 14 | 12 | 61 | 87 |
| Avg Holding Days | 60.6 | 39.8 | 5.0 | 19.1 |
| Turnover | 6.3 | 10.7 | 33.0 | 13.8 |
| Exposure | 37.5% | 53.7% | 24.9% | 37.7% |
Growth of $100
DefensiveTrend_V0062 vs TSLA Buy & Hold
DefensiveTrend_V0062 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 | -4.5% | -1.50 | -4.7% | 1 |
| 2017 | 3.9% | 0.28 | -23.4% | 2 |
| 2018 | -15.0% | -1.57 | -19.0% | 1 |
| 2019 | 17.8% | 1.36 | -7.4% | 0 |
| 2020 | 418.2% | 3.35 | -22.8% | 1 |
| 2021 | -16.3% | -0.16 | -51.1% | 6 |
| 2022 | -33.3% | -1.14 | -33.2% | 5 |
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 | -8.2% | -1.82 | 1% |
| hidden test | EXPENSIVE | 83 | -40.5% | -0.98 | 64% |
| hidden test | EXTREME | 48 | 42.0% | 1.04 | 50% |
| hidden test | HIGH VOLATILITY | 254 | -5.6% | -0.57 | 5% |
| hidden test | LOW VOLATILITY | 429 | 3.9% | 0.18 | 32% |
| hidden test | MEDIUM VOLATILITY | 248 | -44.9% | -1.29 | 33% |
| hidden test | NORMAL | 800 | -11.9% | -0.60 | 19% |
| hidden test | SIDEWAYS | 293 | -26.5% | -1.13 | 25% |
| hidden test | UPTREND | 371 | -2.4% | -0.08 | 41% |
| train | DOWNTREND | 518 | -16.9% | -1.14 | 1% |
| train | EXPENSIVE | 311 | 57.9% | 1.32 | 73% |
| train | EXTREME | 100 | 242.6% | 5.47 | 66% |
| train | HIGH VOLATILITY | 699 | 10.8% | 0.34 | 17% |
| train | LOW VOLATILITY | 745 | 13.7% | 0.57 | 47% |
| train | MEDIUM VOLATILITY | 568 | 1.5% | 0.04 | 50% |
| train | NORMAL | 1,601 | -14.8% | -0.60 | 29% |
| train | SIDEWAYS | 592 | -7.4% | -0.29 | 26% |
| train | UPTREND | 902 | 35.2% | 0.93 | 66% |
| validation | DOWNTREND | 125 | -20.2% | -2.54 | 3% |
| validation | EXPENSIVE | 138 | 82.9% | 1.58 | 80% |
| validation | EXTREME | 144 | 260.0% | 4.74 | 53% |
| validation | HIGH VOLATILITY | 258 | 55.2% | 1.21 | 25% |
| validation | LOW VOLATILITY | 183 | 17.3% | 0.60 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 68.2% | 1.29 | 72% |
| validation | NORMAL | 474 | -21.1% | -0.54 | 46% |
| validation | SIDEWAYS | 206 | -37.9% | -0.98 | 50% |
| validation | UPTREND | 425 | 115.8% | 2.14 | 70% |
Trades (full period)
87 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2025-09-17 | 2026-03-16 | $425.86 | $395.56 | -7.40% | 124 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 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 | |
| 2025-03-03 | 2025-03-04 | $284.65 | $272.04 | -1.52% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -3.24% | 2 | |
| 2024-12-10 | 2025-02-26 | $400.99 | $290.80 | -20.22% | 52 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.63% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2024-01-04 | 2024-01-05 | $237.93 | $237.49 | -0.42% | 2 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.22% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.41% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.78% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.35% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-10-20 | 2023-10-23 | $211.99 | $212.08 | -3.89% | 2 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-10-04 | 2023-10-05 | $261.16 | $260.05 | 5.73% | 2 | |
| 2023-10-02 | 2023-10-03 | $251.60 | $246.53 | 0.35% | 2 | |
| 2023-09-28 | 2023-09-29 | $246.38 | $250.22 | 2.24% | 2 | |
| 2023-09-26 | 2023-09-27 | $244.12 | $240.50 | -1.36% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-11 | 2023-09-19 | $273.58 | $266.50 | 6.55% | 7 | |
| 2023-09-07 | 2023-09-08 | $251.49 | $248.50 | -0.37% | 2 | |
| 2023-09-05 | 2023-09-06 | $256.49 | $251.92 | 4.48% | 2 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.26% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 7.48% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.58% | 2 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2021-08-31 | 2022-02-23 | $245.24 | $254.68 | 14.47% | 122 | |
| 2021-06-18 | 2021-07-28 | $207.77 | $215.66 | 4.36% | 28 | |
| 2021-06-11 | 2021-06-16 | $203.30 | $201.62 | -1.96% | 4 | |
| 2021-05-25 | 2021-06-04 | $201.56 | $199.68 | -5.73% | 8 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2021-04-08 | 2021-05-14 | $227.93 | $196.58 | -14.97% | 27 | |
| 2020-05-22 | 2021-03-09 | $54.46 | $224.53 | 192.36% | 200 | |
| 2019-11-22 | 2020-03-13 | $22.20 | $36.44 | 72.39% | 76 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -14.96% | 15 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-02-10 | 2017-11-03 | $17.95 | $20.41 | 5.33% | 186 | |
| 2016-08-12 | 2016-08-30 | $15.04 | $14.09 | -4.51% | 13 | |
| 2015-09-22 | 2015-10-09 | $17.40 | $14.71 | -14.36% | 14 | |
| 2015-06-10 | 2015-08-25 | $16.71 | $14.67 | -10.65% | 54 | |
| 2014-10-29 | 2014-12-02 | $15.87 | $15.43 | -4.78% | 24 | |
| 2014-01-03 | 2014-10-28 | $9.97 | $16.18 | 37.49% | 207 | |
| 2012-12-21 | 2013-11-19 | $2.27 | $8.41 | 114.68% | 230 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -2.02% | 13 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -1.55% | 11 | |
| 2012-02-15 | 2012-05-16 | $2.24 | $1.95 | -10.50% | 64 | |
| 2012-01-11 | 2012-01-17 | $1.88 | $1.77 | -17.65% | 4 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |