Strategy Zoo / S0290

SMACross_50_200_V0290

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.0988 -> 0.1378

Fitness

0.6241

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

SMACross_50_200_V0266S0266 · gen 12ARCHIVEDparameter

changed ret_20d threshold 0.05 -> 0.0988

Children (0)

None

Strategy Logic (pseudocode)

# SMACross_50_200_V0290  [hybrid]
if flat and ((sma_50 > sma_200 and breakout_252 == 1) and (ret_20d > 0.1378 or breakout_50 == 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	26.4%	81.9%	-10.7%	25.0%
Total Return	550.0%	502.0%	-34.1%	2553.3%
Sharpe	0.86	1.24	-0.23	0.74
Sortino	0.88	1.57	-0.18	0.74
Calmar	0.70	1.35	-0.17	0.40
Volatility	33.8%	65.9%	30.2%	41.7%
Max DD	-37.7%	-60.6%	-63.2%	-63.2%
Win Rate	66.7%	50.0%	0.0%	42.9%
Avg Win	228.5%	661.9%	0.0%	405.5%
Avg Loss	-11.6%	-21.0%	-18.0%	-17.1%
Payoff	10.00	10.00	0.00	10.00
Expectancy	148.5%	320.5%	-18.0%	164.0%
Profit Factor	10.00	10.00	0.00	10.00
Trades	3	2	2	7
Avg Holding Days	268.0	267.0	97.0	220.4
Turnover	0.9	1.3	1.1	1.0
Exposure	40.3%	70.4%	20.6%	41.5%

Growth of $100

SMACross_50_200_V0290 vs TSLA Buy & Hold

SMACross_50_200_V0290 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	26.5%	0.86	-22.3%	1
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	712.5%	2.80	-60.6%	0
2021	6.1%	0.37	-36.2%	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	-22.0%	-0.57	17%
hidden test	EXPENSIVE	83	-28.1%	-0.67	36%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	33.0%	0.67	33%
hidden test	LOW VOLATILITY	429	-12.6%	-0.73	20%
hidden test	MEDIUM VOLATILITY	248	-37.6%	-1.84	9%
hidden test	NORMAL	800	-16.1%	-0.64	14%
hidden test	SIDEWAYS	293	-23.3%	-1.46	14%
hidden test	UPTREND	371	17.1%	0.54	28%
train	DOWNTREND	518	-22.3%	-2.05	7%
train	EXPENSIVE	311	78.6%	1.53	95%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	59.3%	1.38	38%
train	LOW VOLATILITY	745	6.8%	0.31	38%
train	MEDIUM VOLATILITY	568	21.0%	0.63	47%
train	NORMAL	1,601	-4.7%	-0.20	26%
train	SIDEWAYS	592	34.4%	1.10	33%
train	UPTREND	902	55.0%	1.28	64%
validation	DOWNTREND	125	-41.0%	-1.39	18%
validation	EXPENSIVE	138	84.2%	1.10	99%
validation	EXTREME	144	384.0%	4.30	100%
validation	HIGH VOLATILITY	258	128.9%	1.40	80%
validation	LOW VOLATILITY	183	16.6%	0.61	43%
validation	MEDIUM VOLATILITY	315	80.4%	1.47	78%
validation	NORMAL	474	-11.2%	-0.22	53%
validation	SIDEWAYS	206	-14.5%	-0.26	74%
validation	UPTREND	425	164.1%	2.15	84%

Trades (full period)

7 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2026-04-10	$467.26	$348.95	-29.59%	78
2024-10-28	2025-04-15	$262.51	$254.11	-6.45%	116
2021-10-22	2022-05-27	$303.23	$253.21	-20.99%	151
2019-12-17	2021-07-12	$25.27	$228.57	759.28%	394
2017-02-10	2017-12-13	$17.95	$22.60	26.43%	213
2013-01-29	2015-01-13	$2.53	$13.62	430.65%	494
2012-02-21	2012-07-09	$2.30	$2.10	-11.56%	97