Strategy Zoo / S0071
SMACross_20_100_V0071
ARCHIVEDhybridstructuralreduce exposure to 38% during EXPENSIVE
Fitness
0.2762
Generation
3
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
entry from SMACross_20_100_V0007, exit from MACDMomentum_V0005
Children (0)
None
Strategy Logic (pseudocode)
# SMACross_20_100_V0071 [hybrid]
if flat and sma_20 > sma_100:
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.38Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.1% | 43.3% | 7.2% | 7.7% |
| Total Return | -22.5% | 194.5% | 29.3% | 198.5% |
| Sharpe | 0.04 | 1.02 | 0.37 | 0.39 |
| Sortino | 0.04 | 1.19 | 0.42 | 0.42 |
| Calmar | -0.04 | 1.20 | 0.21 | 0.10 |
| Volatility | 30.1% | 45.4% | 33.2% | 34.6% |
| Max DD | -75.9% | -36.1% | -34.9% | -75.9% |
| Win Rate | 43.5% | 51.7% | 43.5% | 45.4% |
| Avg Win | 3.4% | 4.7% | 4.0% | 3.9% |
| Avg Loss | -2.4% | -2.9% | -2.6% | -2.5% |
| Payoff | 1.41 | 1.62 | 1.55 | 1.55 |
| Expectancy | 0.1% | 1.0% | 0.3% | 0.4% |
| Profit Factor | 1.09 | 1.74 | 1.20 | 1.29 |
| Trades | 324 | 143 | 170 | 637 |
| Avg Holding Days | 3.5 | 3.6 | 3.4 | 3.5 |
| Turnover | 70.8 | 80.9 | 86.0 | 76.7 |
| Exposure | 34.2% | 41.4% | 39.8% | 37.1% |
Growth of $100
SMACross_20_100_V0071 vs TSLA Buy & Hold
SMACross_20_100_V0071 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 | -16.2% | -1.05 | -27.1% | 27 |
| 2017 | 25.6% | 1.55 | -11.1% | 51 |
| 2018 | -48.5% | -2.13 | -57.4% | 48 |
| 2019 | 10.8% | 0.47 | -32.0% | 29 |
| 2020 | 263.8% | 2.30 | -33.5% | 57 |
| 2021 | 4.0% | 0.29 | -32.9% | 49 |
| 2022 | -31.9% | -1.90 | -32.8% | 36 |
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 | 9.3% | 0.82 | 8% |
| hidden test | EXPENSIVE | 83 | 30.2% | 0.85 | 30% |
| hidden test | EXTREME | 48 | 111.4% | 2.34 | 61% |
| hidden test | HIGH VOLATILITY | 254 | 12.0% | 0.33 | 32% |
| hidden test | LOW VOLATILITY | 429 | 39.1% | 1.46 | 39% |
| hidden test | MEDIUM VOLATILITY | 248 | -33.2% | -0.84 | 49% |
| hidden test | NORMAL | 800 | 4.7% | 0.15 | 40% |
| hidden test | SIDEWAYS | 293 | -60.7% | -1.90 | 45% |
| hidden test | UPTREND | 371 | 72.5% | 1.69 | 59% |
| train | DOWNTREND | 518 | -10.4% | -0.67 | 3% |
| train | EXPENSIVE | 311 | 6.3% | 0.29 | 28% |
| train | EXTREME | 100 | 311.2% | 4.58 | 82% |
| train | HIGH VOLATILITY | 699 | -5.9% | -0.14 | 31% |
| train | LOW VOLATILITY | 745 | 8.5% | 0.42 | 39% |
| train | MEDIUM VOLATILITY | 568 | 0.6% | 0.03 | 31% |
| train | NORMAL | 1,601 | -19.0% | -0.70 | 33% |
| train | SIDEWAYS | 592 | -41.0% | -1.78 | 26% |
| train | UPTREND | 902 | 35.8% | 0.92 | 58% |
| validation | DOWNTREND | 125 | -0.4% | -0.88 | 2% |
| validation | EXPENSIVE | 138 | -12.4% | -0.35 | 30% |
| validation | EXTREME | 144 | 292.2% | 3.68 | 80% |
| validation | HIGH VOLATILITY | 258 | 80.4% | 1.21 | 48% |
| validation | LOW VOLATILITY | 183 | 33.3% | 1.57 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 25.8% | 0.78 | 33% |
| validation | NORMAL | 474 | -11.4% | -0.37 | 33% |
| validation | SIDEWAYS | 206 | -19.2% | -0.70 | 27% |
| validation | UPTREND | 425 | 91.7% | 1.60 | 60% |
Trades (full period)
latest 100 of 637
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-20 | 2026-07-21 | $369.57 | $378.93 | -3.16% | 2 | |
| 2026-07-16 | 2026-07-17 | $391.06 | $380.84 | -1.06% | 2 | |
| 2026-06-30 | 2026-07-15 | $420.60 | $394.46 | -3.99% | 11 | |
| 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 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -3.28% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 3.95% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.34% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 6.64% | 21 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.51% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 6.62% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -2.37% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -2.07% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -0.86% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 1.31% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -1.40% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -2.03% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 1.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.00% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 1.56% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 0.79% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -0.49% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 0.86% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 0.45% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 1.98% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.35% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -1.77% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 16.38% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-08-06 | 2025-08-07 | $319.91 | $322.27 | 3.42% | 2 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-16 | 2025-08-01 | $321.67 | $302.63 | -1.00% | 13 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 4.52% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-23 | 2025-06-24 | $348.68 | $340.47 | 8.02% | 2 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -2.44% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 3.46% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -2.99% | 5 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -0.89% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -0.72% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.26% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 2.12% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -2.48% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -1.36% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.78% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -5.37% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.86% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 7.83% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.05% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.24% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 14.81% | 25 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 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 |