Strategy Zoo / S0067
DrawdownControl_V0067
ARCHIVEDdefensiveparameterchanged ret_60d threshold 0.0 -> 0.0584
Fitness
0.3564
Generation
3
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed dist_52w_high threshold -0.2 -> -0.3034
Children (0)
None
Strategy Logic (pseudocode)
# DrawdownControl_V0067 [defensive]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (ret_60d > 0.0584 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 | 0.0% | 57.7% | 5.8% | 11.6% |
| Total Return | 0.4% | 292.2% | 23.3% | 400.0% |
| Sharpe | 0.17 | 1.24 | 0.33 | 0.48 |
| Sortino | 0.17 | 1.50 | 0.38 | 0.52 |
| Calmar | 0.00 | 1.01 | 0.17 | 0.18 |
| Volatility | 33.4% | 44.5% | 34.2% | 36.1% |
| Max DD | -62.9% | -57.1% | -34.5% | -62.9% |
| Win Rate | 18.2% | 46.2% | 52.4% | 39.1% |
| Avg Win | 53.8% | 22.9% | 6.7% | 22.8% |
| Avg Loss | -8.2% | -4.8% | -4.1% | -6.1% |
| Payoff | 6.57 | 4.80 | 1.62 | 3.76 |
| Expectancy | 3.1% | 8.0% | 1.5% | 5.2% |
| Profit Factor | 1.46 | 4.11 | 1.78 | 2.42 |
| Trades | 22 | 26 | 21 | 69 |
| Avg Holding Days | 51.6 | 17.7 | 21.2 | 30.3 |
| Turnover | 8.0 | 17.6 | 11.4 | 10.8 |
| Exposure | 50.4% | 49.8% | 41.3% | 48.0% |
Growth of $100
DrawdownControl_V0067 vs TSLA Buy & Hold
DrawdownControl_V0067 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 | -33.4% | -1.78 | -40.9% | 8 |
| 2017 | 32.2% | 1.05 | -22.3% | 1 |
| 2018 | -20.4% | -0.60 | -26.2% | 2 |
| 2019 | 7.8% | 0.43 | -22.9% | 2 |
| 2020 | 476.1% | 3.32 | -22.5% | 6 |
| 2021 | 19.2% | 0.63 | -31.8% | 4 |
| 2022 | -51.9% | -3.00 | -51.8% | 16 |
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 | -5.3% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 127.2% | 2.12 | 74% |
| hidden test | EXTREME | 48 | 124.7% | 2.66 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 15.3% | 0.42 | 25% |
| hidden test | LOW VOLATILITY | 429 | 9.2% | 0.33 | 43% |
| hidden test | MEDIUM VOLATILITY | 248 | 11.2% | 0.27 | 55% |
| hidden test | NORMAL | 800 | -7.4% | -0.25 | 36% |
| hidden test | SIDEWAYS | 293 | -38.2% | -1.34 | 38% |
| hidden test | UPTREND | 371 | 62.7% | 1.32 | 73% |
| train | DOWNTREND | 518 | -25.4% | -1.58 | 2% |
| train | EXPENSIVE | 311 | 50.0% | 1.18 | 76% |
| train | EXTREME | 100 | 277.3% | 5.57 | 72% |
| train | HIGH VOLATILITY | 699 | 3.7% | 0.10 | 33% |
| train | LOW VOLATILITY | 745 | 19.5% | 0.73 | 64% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.29 | 54% |
| train | NORMAL | 1,601 | -19.9% | -0.67 | 44% |
| train | SIDEWAYS | 592 | -49.8% | -1.76 | 38% |
| train | UPTREND | 902 | 59.9% | 1.41 | 86% |
| 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 | 79.0% | 1.61 | 35% |
| validation | LOW VOLATILITY | 183 | 25.6% | 0.91 | 62% |
| validation | MEDIUM VOLATILITY | 315 | 53.4% | 1.11 | 55% |
| validation | NORMAL | 474 | -20.7% | -0.63 | 35% |
| validation | SIDEWAYS | 206 | -59.8% | -2.35 | 18% |
| validation | UPTREND | 425 | 127.5% | 2.27 | 80% |
Trades (full period)
69 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-07-23 | $433.45 | $319.69 | -16.61% | 50 | |
| 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 | |
| 2025-06-24 | 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 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 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 | |
| 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 | |
| 2022-08-04 | 2022-08-08 | $308.63 | $290.42 | -6.44% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-12-22 | 2022-01-26 | $336.29 | $312.47 | 9.22% | 24 | |
| 2021-08-03 | 2021-12-21 | $236.58 | $312.84 | 20.51% | 99 | |
| 2021-06-24 | 2021-07-07 | $226.61 | $214.88 | 0.26% | 9 | |
| 2021-03-10 | 2021-03-19 | $222.69 | $218.29 | -1.82% | 8 | |
| 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 | |
| 2018-11-13 | 2019-03-04 | $22.58 | $19.02 | -8.84% | 74 | |
| 2018-06-13 | 2018-09-06 | $22.99 | $18.73 | -5.34% | 60 | |
| 2018-01-24 | 2018-03-26 | $23.06 | $20.28 | -15.04% | 43 | |
| 2016-12-28 | 2017-11-03 | $14.65 | $20.41 | 30.57% | 216 | |
| 2016-09-21 | 2016-10-06 | $13.68 | $13.40 | 1.66% | 12 | |
| 2016-08-02 | 2016-09-06 | $15.15 | $13.52 | -14.19% | 25 | |
| 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 | |
| 2016-04-04 | 2016-05-06 | $16.47 | $14.33 | -11.14% | 25 | |
| 2015-04-28 | 2015-10-12 | $15.37 | $14.37 | -7.89% | 117 | |
| 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 | |
| 2014-06-23 | 2014-12-02 | $15.81 | $15.43 | 0.69% | 114 | |
| 2014-01-22 | 2014-05-09 | $11.90 | $12.15 | -0.94% | 76 | |
| 2012-11-06 | 2013-11-08 | $2.08 | $9.20 | 182.39% | 255 | |
| 2012-07-17 | 2012-07-27 | $2.22 | $1.97 | -21.94% | 9 | |
| 2012-02-21 | 2012-05-16 | $2.30 | $1.95 | -15.29% | 61 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |