Strategy Zoo / S0210

SMACross_50_200_V0210

ARCHIVEDtrend_following

structuralreduce exposure to 65% during MEDIUM_VOLATILITY

Fitness

0.5913

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

SMACross_50_200_V0006S0006 · gen 0ARCHIVEDstructural

seed strategy

Children (0)

None

Strategy Logic (pseudocode)

# SMACross_50_200_V0210  [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.volatility == "MEDIUM_VOLATILITY": position *= 0.65

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.0%	75.8%	-12.4%	22.8%
Total Return	495.5%	443.3%	-38.6%	1945.8%
Sharpe	0.79	1.26	-0.13	0.69
Sortino	0.93	1.51	-0.15	0.80
Calmar	0.44	1.25	-0.22	0.37
Volatility	36.7%	58.7%	40.3%	43.0%
Max DD	-57.5%	-60.6%	-56.5%	-61.0%
Win Rate	37.5%	100.0%	25.0%	42.9%
Avg Win	176.0%	211.5%	9.5%	190.9%
Avg Loss	-11.4%	0.0%	-16.9%	-13.5%
Payoff	10.00	5.00	0.56	10.00
Expectancy	58.9%	211.5%	-10.3%	74.1%
Profit Factor	9.25	5.00	0.19	10.00
Trades	8	2	4	14
Avg Holding Days	146.0	285.5	125.0	162.7
Turnover	6.7	5.3	6.1	6.2
Exposure	54.0%	63.9%	48.1%	54.5%

Growth of $100

SMACross_50_200_V0210 vs TSLA Buy & Hold

SMACross_50_200_V0210 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	-16.5%	-0.74	-22.0%	2
2017	21.7%	0.82	-19.1%	1
2018	-21.9%	-0.82	-36.1%	1
2019	35.6%	1.38	-17.2%	1
2020	455.3%	2.46	-60.6%	0
2021	36.1%	0.95	-31.4%	1
2022	-36.0%	-1.07	-43.0%	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	-27.3%	-0.70	21%
hidden test	EXPENSIVE	83	54.7%	0.89	72%
hidden test	EXTREME	48	174.3%	2.89	93%
hidden test	HIGH VOLATILITY	254	62.1%	1.08	45%
hidden test	LOW VOLATILITY	429	-22.6%	-0.74	55%
hidden test	MEDIUM VOLATILITY	248	-44.1%	-1.32	39%
hidden test	NORMAL	800	-22.2%	-0.62	43%
hidden test	SIDEWAYS	293	-37.8%	-1.27	44%
hidden test	UPTREND	371	36.4%	0.77	71%
train	DOWNTREND	518	-32.3%	-1.57	13%
train	EXPENSIVE	311	86.9%	1.90	89%
train	EXTREME	100	399.4%	5.55	93%
train	HIGH VOLATILITY	699	62.8%	1.26	57%
train	LOW VOLATILITY	745	14.1%	0.51	62%
train	MEDIUM VOLATILITY	568	6.9%	0.25	40%
train	NORMAL	1,601	-5.4%	-0.18	45%
train	SIDEWAYS	592	31.4%	0.85	54%
train	UPTREND	902	62.6%	1.45	78%
validation	DOWNTREND	125	-25.9%	-0.96	16%
validation	EXPENSIVE	138	60.4%	0.86	81%
validation	EXTREME	144	320.1%	3.79	92%
validation	HIGH VOLATILITY	258	111.8%	1.28	79%
validation	LOW VOLATILITY	183	47.0%	1.61	62%
validation	MEDIUM VOLATILITY	315	58.1%	1.49	53%
validation	NORMAL	474	2.8%	0.06	50%
validation	SIDEWAYS	206	-13.6%	-0.27	63%
validation	UPTREND	425	145.4%	2.12	78%

Trades (full period)

14 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2026-04-10	$425.86	$348.95	-21.91%	142
2025-07-02	2025-08-06	$315.65	$319.91	-2.29%	25
2024-07-30	2025-04-15	$222.62	$254.11	9.45%	179
2023-06-26	2024-02-02	$241.05	$187.91	-26.45%	154
2021-08-31	2022-05-27	$245.24	$253.21	4.82%	188
2019-11-06	2021-07-12	$21.77	$228.57	602.93%	422
2018-12-04	2019-03-01	$23.98	$19.65	-5.94%	59
2018-08-03	2018-09-12	$23.21	$19.37	-20.22%	28
2017-02-01	2017-12-13	$16.62	$22.60	21.63%	220
2016-07-22	2016-10-06	$14.82	$13.40	-5.65%	54
2016-05-03	2016-07-08	$15.49	$14.45	-11.48%	47
2015-06-10	2015-11-17	$16.71	$14.27	-13.81%	113
2012-12-21	2015-01-13	$2.27	$13.62	489.81%	518
2012-01-04	2012-07-09	$1.85	$2.10	16.63%	129