Strategy Zoo / S0166
SMACross_50_200_V0166
ARCHIVEDhybridcrossoverentry from SMACross_50_200_V0006, exit from PriceMomentum_V0121
Fitness
0.5433
Generation
8
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
seed strategy
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (1)
Strategy Logic (pseudocode)
# SMACross_50_200_V0166 [hybrid]
if flat and sma_50 > sma_200:
position = 1.0
if long and (ret_20d < -0.03 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.2% | 107.3% | -10.4% | 16.9% |
| Total Return | 61.3% | 790.4% | -33.4% | 884.2% |
| Sharpe | 0.35 | 1.50 | -0.14 | 0.58 |
| Sortino | 0.39 | 1.85 | -0.15 | 0.66 |
| Calmar | 0.08 | 2.07 | -0.19 | 0.21 |
| Volatility | 36.6% | 60.8% | 35.1% | 42.4% |
| Max DD | -81.5% | -51.8% | -54.7% | -81.5% |
| Win Rate | 41.8% | 47.4% | 41.5% | 42.9% |
| Avg Win | 5.7% | 13.1% | 3.9% | 7.2% |
| Avg Loss | -3.0% | -4.5% | -3.0% | -3.3% |
| Payoff | 1.88 | 2.89 | 1.30 | 2.20 |
| Expectancy | 0.6% | 3.8% | -0.1% | 1.2% |
| Profit Factor | 1.35 | 2.60 | 0.92 | 1.65 |
| Trades | 232 | 95 | 123 | 450 |
| Avg Holding Days | 5.3 | 6.1 | 4.3 | 5.3 |
| Turnover | 58.2 | 63.3 | 66.6 | 61.3 |
| Exposure | 51.1% | 64.3% | 43.8% | 52.0% |
Growth of $100
SMACross_50_200_V0166 vs TSLA Buy & Hold
SMACross_50_200_V0166 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 | -35.5% | -2.21 | -35.5% | 32 |
| 2017 | -15.5% | -0.38 | -43.0% | 38 |
| 2018 | -31.0% | -1.27 | -37.4% | 9 |
| 2019 | 14.6% | 0.69 | -19.9% | 14 |
| 2020 | 516.8% | 2.59 | -51.8% | 24 |
| 2021 | 103.2% | 1.73 | -21.5% | 40 |
| 2022 | -40.2% | -1.17 | -44.1% | 31 |
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 | -36.2% | -1.71 | 14% |
| hidden test | EXPENSIVE | 83 | 74.3% | 1.38 | 81% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 11.6% | 0.28 | 36% |
| hidden test | LOW VOLATILITY | 429 | 10.0% | 0.36 | 47% |
| hidden test | MEDIUM VOLATILITY | 248 | -47.5% | -1.24 | 46% |
| hidden test | NORMAL | 800 | -25.4% | -0.85 | 37% |
| hidden test | SIDEWAYS | 293 | -41.0% | -1.47 | 41% |
| hidden test | UPTREND | 371 | 46.2% | 1.00 | 67% |
| train | DOWNTREND | 518 | -35.5% | -1.83 | 11% |
| train | EXPENSIVE | 311 | 74.5% | 1.57 | 88% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 29.7% | 0.62 | 47% |
| train | LOW VOLATILITY | 745 | 14.0% | 0.54 | 56% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.32 | 49% |
| train | NORMAL | 1,601 | -24.1% | -0.82 | 41% |
| train | SIDEWAYS | 592 | 2.7% | 0.08 | 50% |
| train | UPTREND | 902 | 46.8% | 1.04 | 75% |
| validation | DOWNTREND | 125 | -51.8% | -2.14 | 9% |
| validation | EXPENSIVE | 138 | 62.5% | 0.85 | 84% |
| validation | EXTREME | 144 | 385.4% | 4.51 | 97% |
| validation | HIGH VOLATILITY | 258 | 107.3% | 1.26 | 67% |
| validation | LOW VOLATILITY | 183 | 57.1% | 2.02 | 59% |
| validation | MEDIUM VOLATILITY | 315 | 98.5% | 1.96 | 65% |
| validation | NORMAL | 474 | 10.5% | 0.24 | 49% |
| validation | SIDEWAYS | 206 | 12.0% | 0.24 | 60% |
| validation | UPTREND | 425 | 172.1% | 2.40 | 83% |
Trades (full period)
latest 100 of 450
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-04-08 | 2026-04-09 | $343.25 | $345.62 | -1.18% | 2 | |
| 2026-04-06 | 2026-04-07 | $352.82 | $346.65 | -2.35% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-30 | 2026-03-31 | $355.28 | $371.75 | -2.01% | 2 | |
| 2026-03-26 | 2026-03-27 | $372.11 | $361.83 | -3.78% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-20 | 2026-03-23 | $367.96 | $380.85 | -3.44% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 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 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 1.60% | 6 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 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 | |
| 2025-08-05 | 2025-11-14 | $308.72 | $404.35 | 29.72% | 73 | |
| 2025-07-28 | 2025-08-04 | $325.59 | $309.26 | -4.44% | 6 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 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 | |
| 2025-07-07 | 2025-07-10 | $293.94 | $309.87 | -6.37% | 4 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.86% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.19% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 5.06% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 4.48% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-13 | 2025-03-14 | $240.68 | $249.98 | -3.18% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 2 | |
| 2025-03-07 | 2025-03-10 | $262.67 | $222.15 | -0.50% | 2 | |
| 2025-03-05 | 2025-03-06 | $279.10 | $263.45 | 2.39% | 2 | |
| 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 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 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 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -2.25% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 4.20% | 3 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 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 | |
| 2024-08-30 | 2024-10-14 | $214.11 | $219.16 | 5.38% | 31 | |
| 2024-08-28 | 2024-08-29 | $205.75 | $206.28 | -1.85% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-21 | 2024-08-23 | $223.27 | $220.32 | -4.91% | 3 | |
| 2024-08-19 | 2024-08-20 | $222.72 | $221.10 | 2.85% | 2 | |
| 2024-08-15 | 2024-08-16 | $214.14 | $216.12 | 6.13% | 2 | |
| 2024-08-13 | 2024-08-14 | $207.83 | $201.38 | 5.03% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 | |
| 2024-08-07 | 2024-08-08 | $191.76 | $198.84 | -4.62% | 2 | |
| 2024-08-05 | 2024-08-06 | $198.88 | $200.64 | -4.43% | 2 | |
| 2024-07-30 | 2024-08-02 | $222.62 | $207.67 | -6.76% | 4 | |
| 2024-02-01 | 2024-02-02 | $188.86 | $187.91 | 0.64% | 2 | |
| 2024-01-30 | 2024-01-31 | $191.59 | $187.29 | 0.15% | 2 | |
| 2024-01-26 | 2024-01-29 | $183.25 | $190.93 | 0.14% | 2 | |
| 2024-01-24 | 2024-01-25 | $207.83 | $182.63 | -0.83% | 2 | |
| 2024-01-22 | 2024-01-23 | $208.80 | $209.14 | -1.80% | 2 | |
| 2024-01-18 | 2024-01-19 | $211.88 | $212.19 | -1.90% | 2 | |
| 2024-01-16 | 2024-01-17 | $219.91 | $215.55 | 0.27% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-11-14 | 2023-11-15 | $237.41 | $242.84 | 5.92% | 2 | |
| 2023-11-10 | 2023-11-13 | $214.65 | $223.71 | 2.02% | 2 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-11-02 | 2023-11-03 | $218.51 | $219.96 | 6.04% | 2 |