Strategy Zoo / S0089
SMACross_20_100_V0089
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> 1.8352
Fitness
0.0935
Generation
4
Complexity
2
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_V0089 [hybrid]
if flat and sma_20 > sma_100:
position = 1.0
if long and macd_hist < 1.8352:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -5.3% | -3.4% | 5.7% | -2.1% |
| Total Return | -35.4% | -9.8% | 22.6% | -26.7% |
| Sharpe | -0.06 | 0.17 | 0.33 | 0.11 |
| Sortino | -0.06 | 0.19 | 0.39 | 0.12 |
| Calmar | -0.08 | -0.06 | 0.10 | -0.03 |
| Volatility | 28.1% | 48.4% | 35.6% | 35.0% |
| Max DD | -67.8% | -56.2% | -59.5% | -72.6% |
| Win Rate | 48.8% | 48.4% | 45.0% | 47.9% |
| Avg Win | 2.2% | 3.8% | 3.8% | 2.9% |
| Avg Loss | -2.2% | -3.4% | -2.7% | -2.6% |
| Payoff | 1.03 | 1.13 | 1.40 | 1.14 |
| Expectancy | -0.0% | 0.1% | 0.2% | 0.1% |
| Profit Factor | 0.98 | 1.06 | 1.15 | 1.05 |
| Trades | 553 | 217 | 218 | 989 |
| Avg Holding Days | 2.0 | 2.3 | 2.6 | 2.2 |
| Turnover | 138.5 | 144.7 | 118.0 | 134.8 |
| Exposure | 27.5% | 38.1% | 36.8% | 32.0% |
Growth of $100
SMACross_20_100_V0089 vs TSLA Buy & Hold
SMACross_20_100_V0089 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 | -10.5% | -0.62 | -20.0% | 41 |
| 2017 | -9.0% | -0.27 | -23.8% | 100 |
| 2018 | -37.5% | -1.45 | -39.9% | 66 |
| 2019 | 12.9% | 0.72 | -12.7% | 56 |
| 2020 | 40.6% | 0.85 | -51.2% | 103 |
| 2021 | 7.5% | 0.38 | -27.1% | 71 |
| 2022 | -49.4% | -2.87 | -50.1% | 42 |
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 | 3.7% | 0.51 | 4% |
| hidden test | EXPENSIVE | 83 | 117.9% | 1.94 | 64% |
| hidden test | EXTREME | 48 | 84.5% | 1.52 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -18.9% | -0.42 | 31% |
| hidden test | LOW VOLATILITY | 429 | 48.2% | 1.92 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.8% | -0.49 | 48% |
| hidden test | NORMAL | 800 | -3.6% | -0.12 | 32% |
| hidden test | SIDEWAYS | 293 | -48.0% | -1.44 | 37% |
| hidden test | UPTREND | 371 | 64.6% | 1.37 | 61% |
| train | DOWNTREND | 518 | -1.3% | -0.14 | 3% |
| train | EXPENSIVE | 311 | -16.7% | -0.48 | 45% |
| train | EXTREME | 100 | 196.9% | 3.31 | 49% |
| train | HIGH VOLATILITY | 699 | -3.0% | -0.08 | 27% |
| train | LOW VOLATILITY | 745 | 3.4% | 0.19 | 29% |
| train | MEDIUM VOLATILITY | 568 | -6.4% | -0.25 | 27% |
| train | NORMAL | 1,601 | -11.1% | -0.48 | 23% |
| train | SIDEWAYS | 592 | -26.2% | -1.14 | 17% |
| train | UPTREND | 902 | 14.4% | 0.39 | 49% |
| validation | DOWNTREND | 125 | -15.6% | -1.50 | 2% |
| validation | EXPENSIVE | 138 | -55.7% | -0.88 | 55% |
| validation | EXTREME | 144 | 185.3% | 2.83 | 56% |
| validation | HIGH VOLATILITY | 258 | -11.5% | -0.17 | 38% |
| validation | LOW VOLATILITY | 183 | -3.2% | -0.14 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 31.3% | 0.82 | 38% |
| validation | NORMAL | 474 | -26.8% | -0.76 | 28% |
| validation | SIDEWAYS | 206 | -81.0% | -2.40 | 22% |
| validation | UPTREND | 425 | 58.7% | 0.98 | 56% |
Trades (full period)
latest 100 of 989
| 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 | |
| 2026-07-14 | 2026-07-15 | $396.18 | $394.46 | 0.16% | 2 | |
| 2026-07-10 | 2026-07-13 | $407.76 | $394.76 | 0.10% | 2 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-29 | 2026-06-30 | $411.84 | $420.60 | 8.25% | 2 | |
| 2026-06-25 | 2026-06-26 | $375.12 | $379.71 | -0.31% | 2 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-18 | 2026-06-22 | $400.49 | $405.05 | 0.84% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.62% | 2 | |
| 2026-06-10 | 2026-06-11 | $381.59 | $399.15 | -4.00% | 2 | |
| 2026-06-08 | 2026-06-09 | $408.95 | $396.68 | 4.39% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-27 | 2026-05-28 | $440.36 | $442.10 | 1.36% | 2 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -1.19% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.99% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2026-01-02 | 2026-01-05 | $438.07 | $451.67 | -2.79% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-02 | 2025-12-29 | $429.24 | $459.64 | 10.25% | 19 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.64% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -6.84% | 2 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-11-07 | 2025-11-10 | $429.52 | $445.23 | -3.87% | 2 | |
| 2025-11-05 | 2025-11-06 | $462.07 | $445.91 | 3.81% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -5.26% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-09-12 | 2025-10-03 | $395.94 | $429.83 | 17.99% | 16 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-26 | 2025-08-29 | $351.67 | $333.87 | -0.38% | 4 | |
| 2025-08-22 | 2025-08-25 | $340.01 | $346.60 | 6.01% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-11 | 2025-08-19 | $339.03 | $329.31 | 1.47% | 7 | |
| 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 | |
| 2025-07-30 | 2025-07-31 | $319.04 | $308.27 | -0.87% | 2 | |
| 2025-07-28 | 2025-07-29 | $325.59 | $321.20 | 2.81% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 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 | |
| 2025-07-07 | 2025-07-08 | $293.94 | $297.81 | -6.98% | 2 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-06-30 | 2025-07-01 | $317.66 | $300.71 | -2.04% | 2 | |
| 2025-06-26 | 2025-06-27 | $325.78 | $323.63 | -0.74% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.17% | 2 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -4.08% | 2 | |
| 2025-06-13 | 2025-06-16 | $325.31 | $329.13 | 1.74% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.10% | 2 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 4.35% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2025-03-03 | 2025-03-04 | $284.65 | $272.04 | -3.04% | 2 | |
| 2025-02-27 | 2025-02-28 | $281.95 | $292.98 | -3.24% | 2 | |
| 2025-02-25 | 2025-02-26 | $302.80 | $290.80 | -8.58% | 2 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-04 | 2025-02-05 | $392.21 | $378.17 | 2.02% | 2 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-29 | 2025-01-30 | $389.10 | $400.28 | -2.46% | 2 | |
| 2025-01-27 | 2025-01-28 | $397.15 | $398.09 | -2.52% | 2 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 |