Strategy Zoo / S0097
SMACross_20_100_V0097
ARCHIVEDhybridstructuraladded entry filter: breakout_20 == 1; changed macd_hist threshold 0.0 -> 0.7714
Fitness
0.4116
Generation
4
Complexity
4
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_V0097 [hybrid]
if flat and (sma_20 > sma_100 and breakout_20 == 1):
position = 1.0
if long and macd_hist < 0.7714:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 51.8% | 15.3% | 14.4% |
| Total Return | 21.1% | 250.1% | 69.1% | 617.0% |
| Sharpe | 0.26 | 1.34 | 0.72 | 0.72 |
| Sortino | 0.13 | 1.02 | 0.50 | 0.45 |
| Calmar | 0.11 | 1.59 | 0.70 | 0.38 |
| Volatility | 12.3% | 35.9% | 23.8% | 22.1% |
| Max DD | -22.9% | -32.6% | -21.7% | -37.5% |
| Win Rate | 50.0% | 52.9% | 55.0% | 51.1% |
| Avg Win | 2.2% | 10.9% | 9.7% | 4.8% |
| Avg Loss | -1.8% | -3.1% | -4.8% | -2.3% |
| Payoff | 1.22 | 3.53 | 2.00 | 2.04 |
| Expectancy | 0.2% | 4.3% | 3.1% | 1.3% |
| Profit Factor | 1.22 | 3.97 | 2.44 | 2.13 |
| Trades | 128 | 34 | 20 | 182 |
| Avg Holding Days | 2.0 | 5.2 | 8.9 | 3.4 |
| Turnover | 32.1 | 22.7 | 10.8 | 24.8 |
| Exposure | 6.4% | 18.8% | 17.1% | 11.6% |
Growth of $100
SMACross_20_100_V0097 vs TSLA Buy & Hold
SMACross_20_100_V0097 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 | 1.0% | 0.23 | -3.4% | 3 |
| 2017 | 26.4% | 2.59 | -2.8% | 27 |
| 2018 | -11.2% | -2.38 | -11.1% | 9 |
| 2019 | 0.3% | 0.11 | -13.2% | 14 |
| 2020 | 196.9% | 2.28 | -22.9% | 20 |
| 2021 | 40.2% | 1.34 | -16.9% | 10 |
| 2022 | -18.9% | -2.09 | -18.9% | 3 |
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 | -1.6% | -0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 61.8% | 1.47 | 41% |
| hidden test | EXTREME | 48 | 133.3% | 2.99 | 40% |
| hidden test | HIGH VOLATILITY | 254 | 24.0% | 0.77 | 18% |
| hidden test | LOW VOLATILITY | 429 | 31.5% | 1.71 | 16% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.2% | -0.65 | 18% |
| hidden test | NORMAL | 800 | 5.4% | 0.29 | 13% |
| hidden test | SIDEWAYS | 293 | -30.3% | -2.10 | 13% |
| hidden test | UPTREND | 371 | 67.8% | 1.93 | 32% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 33.2% | 1.93 | 13% |
| train | EXTREME | 100 | 9.3% | 0.34 | 25% |
| train | HIGH VOLATILITY | 699 | 2.6% | 0.16 | 6% |
| train | LOW VOLATILITY | 745 | 10.6% | 1.26 | 8% |
| train | MEDIUM VOLATILITY | 568 | -6.0% | -0.62 | 5% |
| train | NORMAL | 1,601 | -3.1% | -0.33 | 4% |
| train | SIDEWAYS | 592 | 1.8% | 0.48 | 2% |
| train | UPTREND | 902 | 5.8% | 0.32 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 83.0% | 2.43 | 25% |
| validation | EXTREME | 144 | 169.9% | 2.55 | 40% |
| validation | HIGH VOLATILITY | 258 | 49.2% | 0.98 | 20% |
| validation | LOW VOLATILITY | 183 | 9.1% | 0.60 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 69.9% | 2.31 | 17% |
| validation | NORMAL | 474 | 0.9% | 0.05 | 11% |
| validation | SIDEWAYS | 206 | -13.2% | -0.96 | 3% |
| validation | UPTREND | 425 | 92.0% | 1.97 | 32% |
Trades (full period)
latest 100 of 182
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-14 | $393.45 | $396.18 | -7.37% | 8 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-08-26 | 2025-09-02 | $351.67 | $329.36 | -3.86% | 5 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -4.65% | 8 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-10-28 | 2024-11-27 | $262.51 | $332.89 | 25.39% | 23 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-06-27 | 2024-07-19 | $197.42 | $239.20 | 26.67% | 16 | |
| 2023-12-20 | 2023-12-29 | $247.14 | $248.48 | -1.77% | 7 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-01 | 2023-06-27 | $207.52 | $250.21 | 17.97% | 18 | |
| 2023-04-03 | 2023-04-05 | $194.77 | $185.52 | -7.36% | 3 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-01-04 | 2022-01-11 | $383.20 | $354.80 | -11.99% | 6 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-08-31 | 2021-09-13 | $245.24 | $247.67 | 0.53% | 9 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-06 | 2021-01-21 | $251.99 | $281.66 | 15.46% | 11 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-11-18 | 2020-12-16 | $162.21 | $207.59 | 43.12% | 20 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -2.89% | 2 | |
| 2020-08-17 | 2020-09-04 | $122.38 | $139.44 | 23.05% | 15 | |
| 2020-07-06 | 2020-07-23 | $91.44 | $100.87 | 31.50% | 14 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-04-20 | 2020-05-04 | $49.76 | $50.75 | -7.16% | 11 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-03 | 2020-02-12 | $52.00 | $51.15 | 18.81% | 8 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 10.09% | 2 | |
| 2020-01-24 | 2020-01-27 | $37.65 | $37.20 | -1.49% | 2 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-11-20 | 2019-11-21 | $23.48 | $23.66 | -2.23% | 2 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.82% | 2 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 1.20% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -2.11% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.52% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.24% | 2 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -2.00% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.63% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-09-14 | 2017-09-15 | $25.18 | $25.32 | 2.91% | 2 | |
| 2017-08-09 | 2017-08-10 | $24.24 | $23.69 | -0.66% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-23 | 2017-06-26 | $25.56 | $25.17 | 0.02% | 2 | |
| 2017-06-14 | 2017-06-15 | $25.38 | $25.02 | 1.05% | 2 | |
| 2017-06-08 | 2017-06-09 | $24.67 | $23.82 | 2.67% | 2 | |
| 2017-06-06 | 2017-06-07 | $23.52 | $23.98 | 1.39% | 2 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 1.56% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-01 | 2017-05-02 | $21.52 | $21.26 | 2.59% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -1.38% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-03-31 | 2017-04-03 | $18.55 | $19.90 | -0.06% | 2 | |
| 2017-03-29 | 2017-03-30 | $18.49 | $18.53 | -0.23% | 2 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.63% | 2 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 4.02% | 2 | |
| 2017-02-09 | 2017-02-10 | $17.95 | $17.95 | 2.51% | 2 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.25% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.51% | 2 |