Strategy Zoo / S0090
DrawdownControl_V0090
ARCHIVEDdefensivestructuraladded exit filter: sma_20 < sma_10; reduce exposure to 40% during EXTREME
Fitness
0.1032
Generation
4
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
changed dist_52w_high threshold -0.2 -> -0.3034
Children (0)
None
Strategy Logic (pseudocode)
# DrawdownControl_V0090 [defensive]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (ret_60d > 0.0 and dist_52w_high > -0.3034):
position = 1.0
if long and (dist_52w_high < -0.25 or sma_20 < sma_10):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.6
if regime.bubble == "EXTREME": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -11.2% | 11.2% | 1.3% | -3.7% |
| Total Return | -61.1% | 37.7% | 4.7% | -42.4% |
| Sharpe | -0.31 | 0.50 | 0.18 | 0.00 |
| Sortino | -0.29 | 0.55 | 0.20 | 0.00 |
| Calmar | -0.14 | 0.22 | 0.03 | -0.05 |
| Volatility | 26.6% | 30.3% | 27.9% | 27.7% |
| Max DD | -77.9% | -51.8% | -44.3% | -78.8% |
| Win Rate | 49.4% | 56.1% | 51.9% | 51.7% |
| Avg Win | 2.0% | 2.4% | 2.8% | 2.3% |
| Avg Loss | -2.3% | -2.5% | -2.8% | -2.5% |
| Payoff | 0.87 | 0.96 | 1.00 | 0.93 |
| Expectancy | -0.2% | 0.2% | 0.1% | -0.0% |
| Profit Factor | 0.85 | 1.22 | 1.08 | 1.00 |
| Trades | 391 | 189 | 154 | 735 |
| Avg Holding Days | 2.9 | 2.4 | 2.9 | 2.8 |
| Turnover | 81.0 | 93.0 | 71.4 | 81.2 |
| Exposure | 30.8% | 27.4% | 27.1% | 29.2% |
Growth of $100
DrawdownControl_V0090 vs TSLA Buy & Hold
DrawdownControl_V0090 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 | -33.0% | -2.42 | -34.5% | 31 |
| 2017 | 1.4% | 0.18 | -14.9% | 75 |
| 2018 | -21.7% | -0.75 | -28.7% | 43 |
| 2019 | -15.6% | -0.71 | -28.7% | 24 |
| 2020 | 128.1% | 2.81 | -10.0% | 97 |
| 2021 | 3.9% | 0.28 | -31.9% | 62 |
| 2022 | -44.0% | -2.43 | -45.1% | 28 |
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 | -1.9% | -1.49 | 1% |
| hidden test | EXPENSIVE | 83 | 108.7% | 2.04 | 49% |
| hidden test | EXTREME | 48 | 40.9% | 2.89 | 19% |
| hidden test | HIGH VOLATILITY | 254 | 11.8% | 0.38 | 13% |
| hidden test | LOW VOLATILITY | 429 | -15.3% | -0.66 | 31% |
| hidden test | MEDIUM VOLATILITY | 248 | 33.4% | 1.05 | 35% |
| hidden test | NORMAL | 800 | -7.8% | -0.32 | 25% |
| hidden test | SIDEWAYS | 293 | -42.7% | -1.65 | 29% |
| hidden test | UPTREND | 371 | 47.8% | 1.27 | 45% |
| train | DOWNTREND | 518 | -17.2% | -1.16 | 1% |
| train | EXPENSIVE | 311 | 8.7% | 0.26 | 46% |
| train | EXTREME | 100 | 78.2% | 3.80 | 17% |
| train | HIGH VOLATILITY | 699 | -10.1% | -0.33 | 20% |
| train | LOW VOLATILITY | 745 | 0.9% | 0.05 | 38% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -0.62 | 35% |
| train | NORMAL | 1,601 | -16.9% | -0.67 | 29% |
| train | SIDEWAYS | 592 | -38.7% | -1.68 | 23% |
| train | UPTREND | 902 | 16.9% | 0.51 | 53% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 50.4% | 1.46 | 45% |
| validation | EXTREME | 144 | 122.7% | 4.01 | 18% |
| validation | HIGH VOLATILITY | 258 | 36.9% | 1.59 | 13% |
| validation | LOW VOLATILITY | 183 | 20.4% | 0.89 | 39% |
| validation | MEDIUM VOLATILITY | 315 | -5.6% | -0.15 | 32% |
| validation | NORMAL | 474 | -27.7% | -0.97 | 25% |
| validation | SIDEWAYS | 206 | -72.6% | -3.02 | 16% |
| validation | UPTREND | 425 | 62.3% | 1.71 | 41% |
Trades (full period)
latest 100 of 735
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-22 | 2026-07-23 | $374.01 | $319.69 | -0.90% | 2 | |
| 2026-07-14 | 2026-07-15 | $396.18 | $394.46 | 0.16% | 2 | |
| 2026-07-10 | 2026-07-13 | $407.76 | $394.76 | 0.06% | 2 | |
| 2026-06-09 | 2026-07-09 | $396.68 | $406.55 | -3.82% | 21 | |
| 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 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-01-08 | 2026-03-16 | $435.80 | $395.56 | -9.50% | 46 | |
| 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 | |
| 2025-12-29 | 2025-12-30 | $459.64 | $454.43 | -3.47% | 2 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-12 | 2025-12-15 | $458.96 | $475.31 | 2.50% | 2 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-14 | 2025-12-05 | $404.35 | $455.00 | 12.84% | 15 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 3.54% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-15 | 2025-10-28 | $435.15 | $460.55 | 5.19% | 10 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 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 | |
| 2025-09-11 | 2025-09-12 | $368.81 | $395.94 | 5.84% | 2 | |
| 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 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -1.53% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-04 | 2025-02-11 | $392.21 | $328.50 | -7.96% | 6 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.35% | 2 | |
| 2025-01-29 | 2025-01-30 | $389.10 | $400.28 | -0.59% | 2 | |
| 2025-01-06 | 2025-01-28 | $411.05 | $398.09 | -0.73% | 15 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -1.51% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -0.84% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -0.47% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 0.50% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -0.44% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 1.37% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 1.65% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 2.29% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.01% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 0.73% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -0.43% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 2.09% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.18% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 2.16% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -0.32% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 3.25% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -3.58% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -1.52% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 4.79% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 8.73% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -1.60% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -1.91% | 2 | |
| 2024-10-18 | 2024-10-30 | $220.70 | $257.55 | 17.45% | 9 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 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 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.40% | 2 | |
| 2024-09-09 | 2024-09-10 | $216.27 | $226.17 | 1.46% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.84% | 2 | |
| 2024-08-29 | 2024-08-30 | $206.28 | $214.11 | 0.03% | 2 | |
| 2024-08-27 | 2024-08-28 | $209.21 | $205.75 | -1.24% | 2 |