Strategy Zoo / S0251

SMACross_50_200_V0251

ARCHIVEDtrend_following

structuralrestricted to volatility regimes ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']

Fitness

0.4913

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

SMACross_50_200_V0161S0161 · gen 7ARCHIVEDstructural

added entry filter: breakout_252 == 1

Children (0)

None

Strategy Logic (pseudocode)

# SMACross_50_200_V0251  [trend_following]
require regime.volatility in ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (sma_50 > sma_200 and breakout_252 == 1):
    position = 1.0
if long and sma_50 < sma_200:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.2%	59.0%	13.9%	22.7%
Total Return	208.6%	301.6%	61.7%	1904.9%
Sharpe	0.83	1.07	1.02	0.81
Sortino	0.54	1.13	0.47	0.50
Calmar	0.66	0.97	1.25	0.37
Volatility	19.0%	59.9%	13.7%	31.3%
Max DD	-23.1%	-60.6%	-11.1%	-60.6%
Win Rate	70.0%	75.0%	100.0%	73.3%
Avg Win	25.0%	80.7%	61.7%	43.6%
Avg Loss	-7.3%	-31.1%	0.0%	-13.2%
Payoff	3.44	2.60	5.00	3.29
Expectancy	15.3%	52.8%	61.7%	28.4%
Profit Factor	8.03	7.79	5.00	9.06
Trades	10	4	1	15
Avg Holding Days	19.2	99.5	35.0	41.7
Turnover	2.5	2.7	0.5	2.0
Exposure	9.0%	52.1%	3.7%	16.5%

Growth of $100

SMACross_50_200_V0251 vs TSLA Buy & Hold

SMACross_50_200_V0251 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	0.0%	0.00	0.0%	0
2017	11.4%	0.93	-7.9%	4
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	381.6%	2.26	-60.6%	2
2021	19.7%	0.71	-26.8%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	40.1%	1.17	19%
hidden test	EXTREME	48	195.0%	5.19	33%
hidden test	HIGH VOLATILITY	254	39.6%	1.59	12%
hidden test	LOW VOLATILITY	429	2.5%	0.75	0%
hidden test	MEDIUM VOLATILITY	248	7.4%	1.08	1%
hidden test	NORMAL	800	0.3%	0.14	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	34.9%	1.61	9%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	24.1%	1.11	27%
train	EXTREME	100	314.4%	4.46	78%
train	HIGH VOLATILITY	699	44.4%	1.49	17%
train	LOW VOLATILITY	745	-2.1%	-0.91	1%
train	MEDIUM VOLATILITY	568	4.3%	0.31	10%
train	NORMAL	1,601	-4.4%	-0.78	1%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	35.3%	1.24	20%
validation	DOWNTREND	125	-32.4%	-1.15	14%
validation	EXPENSIVE	138	29.0%	0.42	75%
validation	EXTREME	144	356.0%	4.03	96%
validation	HIGH VOLATILITY	258	106.1%	1.19	72%
validation	LOW VOLATILITY	183	-6.8%	-2.14	2%
validation	MEDIUM VOLATILITY	315	71.6%	1.56	65%
validation	NORMAL	474	-13.9%	-0.32	32%
validation	SIDEWAYS	206	-22.1%	-0.46	36%
validation	UPTREND	425	134.8%	1.91	71%

Trades (full period)

15 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-10-28	2024-12-16	$262.51	$463.02	61.72%	35
2021-10-26	2022-05-27	$339.48	$253.21	-31.08%	149
2020-11-20	2021-02-10	$163.20	$268.27	69.80%	55
2020-06-11	2020-10-26	$64.86	$140.09	104.75%	96
2020-01-14	2020-06-03	$35.86	$58.86	67.63%	98
2017-09-19	2017-09-22	$25.01	$23.41	-5.00%	4
2017-06-14	2017-06-16	$25.38	$24.76	-0.36%	3
2017-05-11	2017-06-08	$21.54	$24.67	10.36%	20
2017-04-04	2017-05-03	$20.25	$20.73	6.61%	21
2014-02-21	2014-03-26	$13.97	$14.20	4.78%	24
2014-02-11	2014-02-18	$13.11	$13.58	0.65%	5
2013-07-30	2013-09-09	$8.78	$10.71	23.78%	29
2013-05-07	2013-07-11	$3.70	$8.37	105.07%	46
2013-04-02	2013-05-06	$2.96	$3.97	23.93%	25
2012-04-04	2012-04-25	$2.33	$2.19	-16.46%	15