Strategy Zoo / S0325
SMACross_50_200_V0325
ARCHIVEDtrend_followingstructuraladded entry filter: roll_high_20 < roll_high_50
Fitness
0.5891
Generation
15
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# SMACross_50_200_V0325 [trend_following]
if flat and (sma_50 > sma_200 and roll_high_20 < roll_high_50):
position = 1.0
if long and sma_50 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.7% | 84.9% | -3.6% | 24.5% |
| Total Return | 348.9% | 531.6% | -12.5% | 2380.6% |
| Sharpe | 0.69 | 1.37 | 0.10 | 0.72 |
| Sortino | 0.74 | 1.76 | 0.11 | 0.81 |
| Calmar | 0.41 | 1.57 | -0.06 | 0.41 |
| Volatility | 37.6% | 56.6% | 39.8% | 42.7% |
| Max DD | -50.6% | -54.1% | -57.0% | -59.5% |
| Win Rate | 37.5% | 50.0% | 50.0% | 42.9% |
| Avg Win | 155.9% | 807.7% | 16.9% | 218.2% |
| Avg Loss | -9.9% | -30.4% | -19.4% | -14.9% |
| Payoff | 10.00 | 10.00 | 0.87 | 10.00 |
| Expectancy | 52.3% | 388.6% | -1.2% | 85.0% |
| Profit Factor | 9.42 | 10.00 | 0.87 | 10.00 |
| Trades | 8 | 2 | 4 | 14 |
| Avg Holding Days | 126.1 | 226.0 | 100.8 | 133.1 |
| Turnover | 2.0 | 1.3 | 2.2 | 1.9 |
| Exposure | 49.8% | 59.5% | 42.9% | 50.0% |
Growth of $100
SMACross_50_200_V0325 vs TSLA Buy & Hold
SMACross_50_200_V0325 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 | -8.6% | -0.33 | -19.3% | 2 |
| 2017 | 33.2% | 1.06 | -22.3% | 1 |
| 2018 | -20.3% | -1.00 | -30.6% | 1 |
| 2019 | -4.5% | -0.18 | -17.2% | 1 |
| 2020 | 867.2% | 3.51 | -33.7% | 0 |
| 2021 | -6.6% | 0.07 | -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 | -29.7% | -0.75 | 21% |
| hidden test | EXPENSIVE | 83 | 48.9% | 0.86 | 39% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 78.3% | 1.37 | 43% |
| hidden test | LOW VOLATILITY | 429 | -22.6% | -0.78 | 48% |
| hidden test | MEDIUM VOLATILITY | 248 | -25.7% | -0.76 | 34% |
| hidden test | NORMAL | 800 | -11.4% | -0.32 | 40% |
| hidden test | SIDEWAYS | 293 | -39.4% | -1.19 | 48% |
| hidden test | UPTREND | 371 | 62.8% | 1.41 | 55% |
| train | DOWNTREND | 518 | -34.2% | -1.63 | 13% |
| train | EXPENSIVE | 311 | 70.8% | 1.41 | 86% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 58.3% | 1.16 | 53% |
| train | LOW VOLATILITY | 745 | 0.9% | 0.04 | 48% |
| train | MEDIUM VOLATILITY | 568 | 18.3% | 0.55 | 49% |
| train | NORMAL | 1,601 | -7.4% | -0.24 | 40% |
| train | SIDEWAYS | 592 | 37.2% | 0.95 | 59% |
| train | UPTREND | 902 | 52.7% | 1.22 | 64% |
| validation | DOWNTREND | 125 | -41.0% | -1.39 | 18% |
| validation | EXPENSIVE | 138 | 117.4% | 1.73 | 88% |
| validation | EXTREME | 144 | 330.1% | 4.72 | 75% |
| validation | HIGH VOLATILITY | 258 | 163.7% | 2.15 | 64% |
| validation | LOW VOLATILITY | 183 | -0.5% | -0.02 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 51.8% | 1.03 | 68% |
| validation | NORMAL | 474 | -11.2% | -0.24 | 46% |
| validation | SIDEWAYS | 206 | 5.1% | 0.09 | 74% |
| validation | UPTREND | 425 | 147.1% | 2.33 | 65% |
Trades (full period)
14 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-03 | 2026-04-10 | $446.74 | $348.95 | -19.64% | 88 | |
| 2025-07-02 | 2025-08-06 | $315.65 | $319.91 | 2.46% | 25 | |
| 2024-08-08 | 2025-04-15 | $198.84 | $254.11 | 31.34% | 172 | |
| 2023-08-16 | 2024-02-02 | $225.60 | $187.91 | -19.09% | 118 | |
| 2021-12-06 | 2022-05-27 | $336.34 | $253.21 | -30.41% | 121 | |
| 2020-03-19 | 2021-07-12 | $28.51 | $228.57 | 807.67% | 331 | |
| 2019-01-15 | 2019-03-01 | $22.96 | $19.65 | -4.53% | 32 | |
| 2018-08-03 | 2018-09-12 | $23.21 | $19.37 | -20.22% | 28 | |
| 2017-03-16 | 2017-12-13 | $17.47 | $22.60 | 33.09% | 190 | |
| 2016-07-22 | 2016-10-06 | $14.82 | $13.40 | -5.65% | 54 | |
| 2016-05-05 | 2016-07-08 | $14.10 | $14.45 | -3.17% | 45 | |
| 2015-08-18 | 2015-11-17 | $17.38 | $14.27 | -16.12% | 65 | |
| 2013-03-11 | 2015-01-13 | $2.61 | $13.62 | 424.59% | 466 | |
| 2012-01-04 | 2012-07-09 | $1.85 | $2.10 | 10.14% | 129 |