Strategy Zoo / S0112

SMACross_50_200_V0112

ARCHIVEDtrend_following

structuralreduce exposure to 51% during EXPENSIVE

Fitness

0.4961

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

SMACross_50_200_V0031S0031 · gen 1ARCHIVEDstructural

reduce exposure to 41% during EXPENSIVE

Children (1)

LongTermTrend_V0127S0127 · gen 6ARCHIVEDcrossover

Strategy Logic (pseudocode)

# SMACross_50_200_V0112  [trend_following]
if flat and sma_50 > sma_200:
    position = 1.0
if long and sma_50 < sma_200:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.51

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.1%	55.2%	-11.6%	16.8%
Total Return	304.3%	273.8%	-36.6%	872.8%
Sharpe	0.66	1.03	-0.10	0.57
Sortino	0.74	1.27	-0.12	0.65
Calmar	0.31	1.09	-0.22	0.26
Volatility	36.1%	59.7%	40.6%	43.0%
Max DD	-61.3%	-50.7%	-53.2%	-65.2%
Win Rate	37.5%	50.0%	50.0%	42.9%
Avg Win	136.8%	286.8%	3.0%	135.2%
Avg Loss	-12.8%	-3.4%	-22.6%	-14.1%
Payoff	10.00	10.00	0.13	9.60
Expectancy	43.3%	141.7%	-9.8%	49.9%
Profit Factor	6.40	10.00	0.13	7.20
Trades	8	2	4	14
Avg Holding Days	146.0	285.5	125.0	162.7
Turnover	4.4	5.3	4.0	4.4
Exposure	52.1%	66.3%	49.4%	54.3%

Growth of $100

SMACross_50_200_V0112 vs TSLA Buy & Hold

SMACross_50_200_V0112 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	-15.9%	-0.69	-21.5%	2
2017	22.2%	0.96	-18.6%	1
2018	-26.1%	-0.99	-39.5%	1
2019	29.6%	1.23	-17.2%	1
2020	337.9%	2.31	-50.7%	0
2021	24.6%	0.68	-35.0%	1
2022	-41.3%	-0.98	-47.7%	1

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	-29.7%	-0.75	21%
hidden test	EXPENSIVE	83	67.5%	1.26	48%
hidden test	EXTREME	48	106.1%	1.86	95%
hidden test	HIGH VOLATILITY	254	43.1%	0.77	42%
hidden test	LOW VOLATILITY	429	-22.6%	-0.75	55%
hidden test	MEDIUM VOLATILITY	248	-20.9%	-0.56	49%
hidden test	NORMAL	800	-18.3%	-0.49	47%
hidden test	SIDEWAYS	293	-33.0%	-1.03	47%
hidden test	UPTREND	371	36.8%	0.79	72%
train	DOWNTREND	518	-34.2%	-1.63	13%
train	EXPENSIVE	311	59.9%	1.72	53%
train	EXTREME	100	365.0%	5.22	97%
train	HIGH VOLATILITY	699	49.3%	1.04	49%
train	LOW VOLATILITY	745	9.0%	0.35	57%
train	MEDIUM VOLATILITY	568	12.2%	0.39	49%
train	NORMAL	1,601	-4.4%	-0.13	49%
train	SIDEWAYS	592	34.2%	0.90	55%
train	UPTREND	902	50.6%	1.23	72%
validation	DOWNTREND	125	-41.0%	-1.39	18%
validation	EXPENSIVE	138	-14.2%	-0.27	55%
validation	EXTREME	144	319.2%	3.77	97%
validation	HIGH VOLATILITY	258	103.8%	1.23	74%
validation	LOW VOLATILITY	183	44.4%	1.76	56%
validation	MEDIUM VOLATILITY	315	37.3%	0.77	67%
validation	NORMAL	474	5.6%	0.11	60%
validation	SIDEWAYS	206	-4.1%	-0.08	71%
validation	UPTREND	425	123.9%	1.80	78%

Trades (full period)

14 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2026-04-10	$425.86	$348.95	-18.62%	142
2025-07-02	2025-08-06	$315.65	$319.91	2.46%	25
2024-07-30	2025-04-15	$222.62	$254.11	3.56%	179
2023-06-26	2024-02-02	$241.05	$187.91	-26.55%	154
2021-08-31	2022-05-27	$245.24	$253.21	-3.36%	188
2019-11-06	2021-07-12	$21.77	$228.57	394.47%	422
2018-12-04	2019-03-01	$23.98	$19.65	-10.95%	59
2018-08-03	2018-09-12	$23.21	$19.37	-20.22%	28
2017-02-01	2017-12-13	$16.62	$22.60	22.11%	220
2016-07-22	2016-10-06	$14.82	$13.40	-5.65%	54
2016-05-03	2016-07-08	$15.49	$14.45	-10.88%	47
2015-06-10	2015-11-17	$16.71	$14.27	-16.45%	113
2012-12-21	2015-01-13	$2.27	$13.62	378.19%	518
2012-01-04	2012-07-09	$1.85	$2.10	10.14%	129