Strategy Zoo / S0204
SMACross_50_200_V0204
ARCHIVEDhybridcrossoverentry = SMACross_50_200_V0183 AND PriceMomentum_V0092
Fitness
0.5044
Generation
10
Complexity
5
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold -0.03 -> -0.1003
logic of SMACross_50_200_V0006 with risk overlay of PriceMomentum_V0180
Children (0)
None
Strategy Logic (pseudocode)
# SMACross_50_200_V0204 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (sma_50 > sma_200 and ret_20d > 0.05):
position = 1.0
if long and sma_50 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.2% | 54.4% | 12.8% | 25.3% |
| Total Return | 362.8% | 268.0% | 56.0% | 2634.5% |
| Sharpe | 0.77 | 1.06 | 0.52 | 0.78 |
| Sortino | 0.72 | 1.06 | 0.54 | 0.72 |
| Calmar | 0.50 | 0.90 | 0.39 | 0.42 |
| Volatility | 31.0% | 56.1% | 34.1% | 38.2% |
| Max DD | -42.4% | -60.7% | -33.2% | -60.7% |
| Win Rate | 35.7% | 66.7% | 66.7% | 53.8% |
| Avg Win | 74.7% | 62.3% | 14.7% | 49.7% |
| Avg Loss | -6.8% | -19.9% | -4.1% | -7.7% |
| Payoff | 10.00 | 3.13 | 3.55 | 6.42 |
| Expectancy | 22.3% | 34.9% | 8.4% | 23.2% |
| Profit Factor | 6.13 | 6.26 | 7.11 | 7.49 |
| Trades | 14 | 6 | 6 | 26 |
| Avg Holding Days | 51.4 | 64.0 | 46.7 | 54.7 |
| Turnover | 3.6 | 4.0 | 3.2 | 3.5 |
| Exposure | 36.9% | 50.0% | 29.4% | 37.7% |
Growth of $100
SMACross_50_200_V0204 vs TSLA Buy & Hold
SMACross_50_200_V0204 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 | -5.5% | -0.96 | -8.4% | 2 |
| 2017 | 24.0% | 0.86 | -19.5% | 2 |
| 2018 | -29.3% | -1.65 | -34.8% | 3 |
| 2019 | 31.7% | 2.05 | -8.5% | 0 |
| 2020 | 279.0% | 2.05 | -60.7% | 3 |
| 2021 | 29.8% | 0.79 | -36.2% | 1 |
| 2022 | -36.9% | -2.07 | -36.8% | 2 |
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 | 9.7% | 0.41 | 2% |
| hidden test | EXPENSIVE | 83 | 73.6% | 1.10 | 86% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 64.8% | 1.30 | 35% |
| hidden test | LOW VOLATILITY | 429 | 10.4% | 0.53 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -18.0% | -0.53 | 36% |
| hidden test | NORMAL | 800 | 1.8% | 0.07 | 19% |
| hidden test | SIDEWAYS | 293 | -12.0% | -1.65 | 2% |
| hidden test | UPTREND | 371 | 46.8% | 0.94 | 71% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 49.9% | 1.09 | 83% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 43.7% | 1.11 | 32% |
| train | LOW VOLATILITY | 745 | 24.9% | 1.14 | 42% |
| train | MEDIUM VOLATILITY | 568 | -1.7% | -0.06 | 37% |
| train | NORMAL | 1,601 | -5.6% | -0.27 | 24% |
| train | SIDEWAYS | 592 | -6.4% | -0.63 | 2% |
| train | UPTREND | 902 | 57.6% | 1.27 | 81% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -11.2% | -0.17 | 86% |
| validation | EXTREME | 144 | 357.0% | 4.17 | 92% |
| validation | HIGH VOLATILITY | 258 | 88.7% | 1.12 | 55% |
| validation | LOW VOLATILITY | 183 | 34.4% | 1.51 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 49.5% | 1.06 | 53% |
| validation | NORMAL | 474 | -10.7% | -0.29 | 27% |
| validation | SIDEWAYS | 206 | -41.2% | -1.75 | 3% |
| validation | UPTREND | 425 | 125.4% | 1.72 | 88% |
Trades (full period)
26 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-01-13 | $425.86 | $447.20 | 6.27% | 82 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-04-08 | 2025-04-15 | $221.86 | $254.11 | 7.95% | 6 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 35.38% | 97 | |
| 2024-07-30 | 2024-09-27 | $222.62 | $260.46 | 9.31% | 43 | |
| 2023-06-26 | 2023-09-05 | $241.05 | $256.49 | -4.71% | 50 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-09-08 | 2022-01-20 | $251.29 | $332.09 | 31.97% | 94 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 38.82% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-11-06 | 2020-03-19 | $21.77 | $28.51 | 13.65% | 92 | |
| 2018-12-06 | 2018-12-26 | $24.20 | $21.74 | -18.04% | 14 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-02-01 | 2017-08-24 | $16.62 | $23.53 | 39.75% | 143 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2015-06-10 | 2015-08-18 | $16.71 | $17.38 | -0.60% | 49 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 2.30% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 10.71% | 73 | |
| 2012-12-21 | 2013-11-12 | $2.27 | $9.19 | 319.43% | 225 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | -5.33% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |