Strategy Zoo / S0209
SMACross_50_200_V0209
ARCHIVEDhybridstructuralreduce exposure to 56% during EXPENSIVE
Fitness
0.4878
Generation
10
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
logic of SMACross_50_200_V0006 with risk overlay of PriceMomentum_V0180
Children (0)
None
Strategy Logic (pseudocode)
# SMACross_50_200_V0209 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
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 *= 0.57Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.6% | 49.4% | 1.0% | 20.1% |
| Total Return | 317.1% | 233.6% | 3.7% | 1367.6% |
| Sharpe | 0.75 | 1.02 | 0.21 | 0.67 |
| Sortino | 0.74 | 1.05 | 0.21 | 0.65 |
| Calmar | 0.52 | 0.95 | 0.02 | 0.39 |
| Volatility | 29.7% | 53.5% | 36.9% | 37.5% |
| Max DD | -38.0% | -52.1% | -41.7% | -52.1% |
| Win Rate | 51.5% | 82.4% | 53.3% | 61.5% |
| Avg Win | 20.5% | 14.2% | 6.7% | 15.5% |
| Avg Loss | -5.7% | -11.8% | -6.4% | -6.5% |
| Payoff | 3.62 | 1.21 | 1.05 | 2.38 |
| Expectancy | 7.8% | 9.6% | 0.6% | 7.0% |
| Profit Factor | 3.85 | 5.63 | 1.20 | 3.81 |
| Trades | 33 | 17 | 15 | 65 |
| Avg Holding Days | 25.5 | 25.5 | 24.7 | 25.9 |
| Turnover | 9.7 | 13.1 | 9.5 | 10.3 |
| Exposure | 36.6% | 47.9% | 35.0% | 38.5% |
Growth of $100
SMACross_50_200_V0209 vs TSLA Buy & Hold
SMACross_50_200_V0209 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 | -5.4% | -0.35 | -15.4% | 4 |
| 2017 | 29.8% | 1.35 | -13.8% | 6 |
| 2018 | -25.0% | -1.08 | -34.3% | 4 |
| 2019 | 21.8% | 1.06 | -14.0% | 1 |
| 2020 | 196.7% | 1.85 | -52.1% | 5 |
| 2021 | 31.9% | 0.84 | -35.1% | 4 |
| 2022 | -26.8% | -0.84 | -34.9% | 8 |
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 | -13.6% | -0.35 | 18% |
| hidden test | EXPENSIVE | 83 | 71.0% | 1.29 | 52% |
| hidden test | EXTREME | 48 | 115.8% | 2.01 | 96% |
| hidden test | HIGH VOLATILITY | 254 | 46.7% | 0.84 | 41% |
| hidden test | LOW VOLATILITY | 429 | -2.5% | -0.11 | 31% |
| hidden test | MEDIUM VOLATILITY | 248 | -14.9% | -0.47 | 36% |
| hidden test | NORMAL | 800 | -5.4% | -0.17 | 30% |
| hidden test | SIDEWAYS | 293 | -9.3% | -0.74 | 4% |
| hidden test | UPTREND | 371 | 36.3% | 0.77 | 71% |
| train | DOWNTREND | 518 | -2.6% | -0.21 | 9% |
| train | EXPENSIVE | 311 | 25.5% | 0.87 | 49% |
| train | EXTREME | 100 | 371.2% | 5.29 | 97% |
| train | HIGH VOLATILITY | 699 | 43.2% | 1.11 | 31% |
| train | LOW VOLATILITY | 745 | 15.2% | 0.71 | 42% |
| train | MEDIUM VOLATILITY | 568 | 5.7% | 0.22 | 36% |
| train | NORMAL | 1,601 | -0.2% | -0.01 | 30% |
| train | SIDEWAYS | 592 | 9.0% | 0.55 | 5% |
| train | UPTREND | 902 | 45.2% | 1.09 | 73% |
| validation | DOWNTREND | 125 | 3.3% | 0.13 | 12% |
| validation | EXPENSIVE | 138 | -48.9% | -0.93 | 56% |
| validation | EXTREME | 144 | 310.5% | 3.77 | 89% |
| validation | HIGH VOLATILITY | 258 | 89.7% | 1.16 | 59% |
| validation | LOW VOLATILITY | 183 | 44.8% | 2.33 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 31.3% | 0.74 | 46% |
| validation | NORMAL | 474 | 6.8% | 0.17 | 33% |
| validation | SIDEWAYS | 206 | -17.6% | -0.71 | 7% |
| validation | UPTREND | 425 | 104.4% | 1.54 | 78% |
Trades (full period)
65 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-03-19 | 2026-04-10 | $380.30 | $348.95 | -12.19% | 16 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-17 | 2026-01-13 | $425.86 | $447.20 | 5.83% | 82 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-10 | 2025-07-25 | $309.87 | $316.06 | 2.98% | 12 | |
| 2025-07-02 | 2025-07-09 | $315.65 | $295.88 | -1.16% | 5 | |
| 2025-03-27 | 2025-04-15 | $273.13 | $254.11 | -7.43% | 14 | |
| 2025-03-05 | 2025-03-26 | $279.10 | $272.06 | 5.71% | 16 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 24.05% | 97 | |
| 2024-07-30 | 2024-09-27 | $222.62 | $260.46 | 9.31% | 43 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-10-26 | 2023-11-03 | $205.76 | $219.96 | 2.66% | 7 | |
| 2023-10-23 | 2023-10-25 | $212.08 | $212.42 | 1.93% | 3 | |
| 2023-06-26 | 2023-09-05 | $241.05 | $256.49 | -4.71% | 50 | |
| 2022-05-23 | 2022-05-27 | $224.97 | $253.21 | 6.39% | 5 | |
| 2022-05-13 | 2022-05-18 | $256.53 | $236.60 | 4.41% | 4 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-03-14 | 2022-03-16 | $255.46 | $280.08 | 0.62% | 3 | |
| 2022-03-07 | 2022-03-10 | $268.19 | $279.43 | 2.26% | 4 | |
| 2022-02-23 | 2022-03-01 | $254.68 | $288.12 | 5.73% | 5 | |
| 2021-08-31 | 2022-01-20 | $245.24 | $332.09 | 35.95% | 99 | |
| 2021-06-10 | 2021-06-11 | $203.37 | $203.30 | 1.69% | 2 | |
| 2021-05-18 | 2021-05-24 | $192.62 | $202.15 | 0.50% | 5 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 6.95% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 100.92% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.24% | 2 | |
| 2020-03-20 | 2020-04-02 | $28.50 | $30.30 | 8.00% | 10 | |
| 2019-11-06 | 2020-03-19 | $21.77 | $28.51 | 18.94% | 92 | |
| 2018-12-27 | 2019-01-23 | $21.08 | $19.17 | -8.52% | 18 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -17.77% | 15 | |
| 2018-09-06 | 2018-09-12 | $18.73 | $19.37 | -0.66% | 5 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-12-08 | 2017-12-12 | $21.01 | $22.74 | 5.47% | 3 | |
| 2017-12-06 | 2017-12-07 | $20.88 | $20.75 | 2.94% | 2 | |
| 2017-11-07 | 2017-11-13 | $20.40 | $21.03 | -0.13% | 5 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -6.25% | 28 | |
| 2017-02-01 | 2017-08-24 | $16.62 | $23.53 | 24.97% | 143 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-27 | 2016-07-06 | $13.24 | $14.30 | 10.57% | 7 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-05-03 | 2016-06-02 | $15.49 | $14.60 | -9.38% | 22 | |
| 2015-11-11 | 2015-11-16 | $14.61 | $14.29 | -4.49% | 4 | |
| 2015-10-21 | 2015-11-03 | $14.01 | $13.89 | 0.15% | 10 | |
| 2015-10-12 | 2015-10-20 | $14.37 | $14.20 | 3.15% | 7 | |
| 2015-06-10 | 2015-08-18 | $16.71 | $17.38 | -0.60% | 49 | |
| 2015-01-05 | 2015-01-08 | $14.01 | $14.04 | -4.01% | 4 | |
| 2014-12-11 | 2014-12-19 | $13.93 | $14.62 | 3.80% | 7 | |
| 2014-12-02 | 2014-12-10 | $15.43 | $13.99 | -6.55% | 7 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 2.30% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 6.15% | 73 | |
| 2012-12-21 | 2013-11-12 | $2.27 | $9.19 | 256.05% | 225 | |
| 2012-06-15 | 2012-06-18 | $1.99 | $2.12 | 1.57% | 2 | |
| 2012-06-12 | 2012-06-14 | $1.98 | $1.96 | 2.03% | 3 | |
| 2012-06-04 | 2012-06-11 | $1.86 | $1.94 | 6.64% | 6 | |
| 2012-05-16 | 2012-05-22 | $1.95 | $2.05 | -2.44% | 5 | |
| 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 | |
| 2012-01-17 | 2012-01-18 | $1.77 | $1.79 | 16.50% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |