Strategy Zoo / S0026
MACDMomentum_V0026
ARCHIVEDmomentumstructuraladded exit filter: sma_100 > sma_20; replaced exit rule with: vol_chg > 1.5735
Fitness
0.3241
Generation
1
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (1)
Strategy Logic (pseudocode)
# MACDMomentum_V0026 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and vol_chg > 1.5735:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.4% | 37.5% | 21.8% | 18.1% |
| Total Return | 137.1% | 159.7% | 107.1% | 1053.1% |
| Sharpe | 0.47 | 0.82 | 0.64 | 0.59 |
| Sortino | 0.55 | 1.06 | 0.97 | 0.73 |
| Calmar | 0.16 | 0.50 | 0.42 | 0.24 |
| Volatility | 37.1% | 65.0% | 52.2% | 48.0% |
| Max DD | -70.4% | -74.7% | -51.6% | -74.9% |
| Win Rate | 55.6% | 71.4% | 57.1% | 57.0% |
| Avg Win | 11.3% | 26.5% | 33.5% | 14.3% |
| Avg Loss | -9.7% | -13.4% | -6.7% | -9.8% |
| Payoff | 1.16 | 1.97 | 4.96 | 1.46 |
| Expectancy | 1.9% | 15.1% | 16.2% | 3.9% |
| Profit Factor | 1.45 | 4.93 | 6.62 | 1.93 |
| Trades | 72 | 14 | 7 | 93 |
| Avg Holding Days | 16.7 | 37.1 | 119.9 | 29.0 |
| Turnover | 18.2 | 9.7 | 4.1 | 12.7 |
| Exposure | 56.6% | 83.1% | 90.8% | 70.7% |
Growth of $100
MACDMomentum_V0026 vs TSLA Buy & Hold
MACDMomentum_V0026 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 | 1.3% | 0.16 | -28.0% | 5 |
| 2017 | -3.7% | 0.03 | -37.8% | 7 |
| 2018 | -32.7% | -0.82 | -46.1% | 10 |
| 2019 | 28.2% | 0.89 | -27.0% | 8 |
| 2020 | 486.5% | 2.47 | -60.6% | 8 |
| 2021 | 18.4% | 0.61 | -41.6% | 4 |
| 2022 | -68.6% | -1.87 | -72.0% | 2 |
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 | 54.5% | 1.13 | 76% |
| hidden test | EXPENSIVE | 83 | 115.7% | 1.66 | 98% |
| hidden test | EXTREME | 48 | 136.9% | 2.28 | 98% |
| hidden test | HIGH VOLATILITY | 254 | 89.4% | 1.38 | 72% |
| hidden test | LOW VOLATILITY | 429 | 32.0% | 0.78 | 98% |
| hidden test | MEDIUM VOLATILITY | 248 | -22.1% | -0.41 | 97% |
| hidden test | NORMAL | 800 | 18.5% | 0.37 | 90% |
| hidden test | SIDEWAYS | 293 | -35.9% | -0.72 | 98% |
| hidden test | UPTREND | 371 | 72.6% | 1.28 | 96% |
| train | DOWNTREND | 518 | -19.3% | -0.76 | 33% |
| train | EXPENSIVE | 311 | 71.5% | 1.66 | 78% |
| train | EXTREME | 100 | 300.5% | 4.47 | 87% |
| train | HIGH VOLATILITY | 699 | 38.1% | 0.82 | 48% |
| train | LOW VOLATILITY | 745 | 29.2% | 1.05 | 67% |
| train | MEDIUM VOLATILITY | 568 | -22.9% | -0.66 | 53% |
| train | NORMAL | 1,601 | -10.6% | -0.32 | 51% |
| train | SIDEWAYS | 592 | -4.1% | -0.12 | 50% |
| train | UPTREND | 902 | 53.0% | 1.21 | 75% |
| validation | DOWNTREND | 125 | -106.3% | -1.93 | 66% |
| validation | EXPENSIVE | 138 | 95.3% | 1.27 | 95% |
| validation | EXTREME | 144 | 318.4% | 3.67 | 96% |
| validation | HIGH VOLATILITY | 258 | 96.9% | 1.10 | 75% |
| validation | LOW VOLATILITY | 183 | 58.5% | 1.62 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 13.8% | 0.25 | 81% |
| validation | NORMAL | 474 | -40.0% | -0.77 | 76% |
| validation | SIDEWAYS | 206 | -49.8% | -0.94 | 80% |
| validation | UPTREND | 425 | 149.6% | 2.08 | 90% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | — | $356.09 | — | -1.34% | 13 | OPEN |
| 2025-06-25 | 2026-07-24 | $327.55 | $313.03 | -6.29% | 272 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -0.29% | 29 | |
| 2024-11-12 | 2025-02-26 | $328.49 | $290.80 | -13.66% | 71 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-28 | 2024-11-07 | $262.51 | $296.91 | 6.97% | 9 | |
| 2024-07-05 | 2024-10-25 | $251.52 | $269.19 | 5.51% | 80 | |
| 2022-07-11 | 2024-07-03 | $234.34 | $246.39 | -7.97% | 499 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-12-28 | 2022-02-25 | $362.82 | $269.96 | -26.95% | 42 | |
| 2021-10-29 | 2021-12-06 | $371.33 | $336.34 | -5.95% | 26 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-04-14 | 2021-10-26 | $244.08 | $339.48 | 34.17% | 137 | |
| 2020-12-22 | 2021-02-24 | $213.45 | $247.34 | 7.32% | 43 | |
| 2020-11-20 | 2020-12-21 | $163.20 | $216.62 | 38.92% | 21 | |
| 2020-08-18 | 2020-11-19 | $125.81 | $166.42 | 32.29% | 67 | |
| 2020-07-02 | 2020-08-13 | $80.58 | $108.07 | 38.60% | 30 | |
| 2020-02-07 | 2020-07-01 | $49.87 | $74.64 | 43.89% | 101 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2020-01-15 | 2020-02-04 | $34.57 | $59.14 | 44.71% | 14 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 8.82% | 3 | |
| 2019-12-16 | 2020-01-09 | $25.43 | $32.09 | 37.05% | 17 | |
| 2019-11-11 | 2019-11-25 | $23.01 | $22.42 | -1.41% | 11 | |
| 2019-10-30 | 2019-11-08 | $21.00 | $22.48 | 5.90% | 8 | |
| 2019-10-28 | 2019-10-29 | $21.85 | $21.08 | -0.33% | 2 | |
| 2019-10-02 | 2019-10-25 | $16.21 | $21.88 | 22.23% | 18 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-12-11 | 2019-01-22 | $24.45 | $19.93 | -17.39% | 28 | |
| 2018-10-31 | 2018-12-10 | $22.49 | $24.34 | 8.29% | 27 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-10-24 | 2018-10-26 | $19.23 | $22.06 | 6.83% | 3 | |
| 2018-08-09 | 2018-09-10 | $23.50 | $19.03 | -29.07% | 22 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-06-13 | 2018-07-03 | $22.99 | $20.72 | -2.44% | 15 | |
| 2018-05-10 | 2018-06-12 | $20.33 | $22.85 | 8.01% | 23 | |
| 2018-02-23 | 2018-03-28 | $23.47 | $17.19 | -19.51% | 24 | |
| 2018-01-10 | 2018-02-12 | $22.32 | $21.05 | -7.16% | 23 | |
| 2017-12-12 | 2018-01-09 | $22.74 | $22.25 | 2.08% | 19 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2017-07-25 | 2017-08-03 | $22.64 | $23.14 | -5.05% | 8 | |
| 2017-06-13 | 2017-07-07 | $25.06 | $20.88 | -14.15% | 18 | |
| 2017-05-15 | 2017-06-12 | $21.06 | $23.93 | 9.79% | 20 | |
| 2017-03-17 | 2017-05-05 | $17.43 | $20.56 | 12.52% | 35 | |
| 2017-02-13 | 2017-02-24 | $18.71 | $17.13 | -5.10% | 9 | |
| 2016-12-14 | 2017-02-10 | $13.25 | $17.95 | 35.59% | 40 | |
| 2016-07-12 | 2016-09-02 | $14.98 | $13.19 | -10.86% | 39 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-04-08 | 2016-05-05 | $16.67 | $14.10 | -13.64% | 20 | |
| 2016-04-05 | 2016-04-07 | $17.03 | $17.15 | 7.25% | 3 | |
| 2016-03-04 | 2016-04-04 | $13.40 | $16.47 | 21.14% | 21 | |
| 2015-11-27 | 2016-01-05 | $15.44 | $14.90 | -2.91% | 26 | |
| 2015-09-16 | 2015-10-21 | $17.48 | $14.01 | -16.15% | 26 | |
| 2015-04-29 | 2015-07-22 | $15.50 | $17.86 | 15.52% | 59 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2015-04-07 | 2015-04-23 | $13.55 | $14.57 | 7.83% | 13 | |
| 2015-02-23 | 2015-03-31 | $13.82 | $12.58 | -12.40% | 27 | |
| 2015-02-04 | 2015-02-12 | $14.57 | $13.53 | -2.74% | 7 | |
| 2014-11-12 | 2014-12-08 | $16.61 | $14.29 | -11.08% | 18 | |
| 2014-10-08 | 2014-10-28 | $17.29 | $16.18 | -14.77% | 15 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -8.66% | 7 | |
| 2014-08-05 | 2014-09-05 | $15.90 | $18.49 | 19.68% | 23 | |
| 2014-06-18 | 2014-08-04 | $15.14 | $15.90 | 0.49% | 33 | |
| 2014-05-28 | 2014-06-17 | $14.02 | $15.44 | 5.96% | 15 | |
| 2014-02-27 | 2014-05-09 | $16.84 | $12.15 | -29.55% | 51 | |
| 2014-02-24 | 2014-02-26 | $14.51 | $16.87 | 18.09% | 3 | |
| 2014-01-16 | 2014-02-21 | $11.40 | $13.97 | 27.68% | 25 | |
| 2013-12-18 | 2014-01-15 | $9.87 | $10.94 | 5.56% | 19 | |
| 2013-08-28 | 2013-10-04 | $11.10 | $12.07 | 3.56% | 27 | |
| 2013-08-09 | 2013-08-27 | $10.20 | $11.13 | 6.78% | 13 | |
| 2013-07-30 | 2013-08-08 | $8.78 | $10.23 | -0.49% | 8 | |
| 2013-05-31 | 2013-07-17 | $6.52 | $8.02 | 3.69% | 33 | |
| 2013-05-15 | 2013-05-30 | $5.66 | $7.00 | 25.45% | 11 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-05 | 2013-05-10 | $2.76 | $5.12 | 64.87% | 26 | |
| 2013-04-03 | 2013-04-04 | $2.74 | $2.80 | -7.50% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 15.80% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 | |
| 2013-02-13 | 2013-02-22 | $2.56 | $2.41 | -7.39% | 7 | |
| 2013-01-23 | 2013-02-12 | $2.40 | $2.53 | 8.96% | 15 | |
| 2012-12-04 | 2012-12-13 | $2.26 | $2.24 | 1.64% | 8 | |
| 2012-11-07 | 2012-12-03 | $2.10 | $2.31 | 8.36% | 18 | |
| 2012-11-02 | 2012-11-06 | $1.93 | $2.08 | 7.48% | 3 | |
| 2012-09-17 | 2012-09-26 | $2.17 | $1.84 | -9.16% | 8 | |
| 2012-07-19 | 2012-08-27 | $2.15 | $1.89 | -8.43% | 28 | |
| 2012-06-28 | 2012-07-18 | $2.09 | $2.14 | 4.14% | 14 | |
| 2012-06-26 | 2012-06-27 | $2.11 | $2.13 | -4.73% | 2 | |
| 2012-06-22 | 2012-06-25 | $2.25 | $2.21 | 4.77% | 2 | |
| 2012-06-19 | 2012-06-21 | $2.14 | $2.15 | 5.88% | 3 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-14 | 2012-03-27 | $2.35 | $2.53 | 3.42% | 10 | |
| 2012-02-17 | 2012-03-12 | $2.33 | $2.40 | 1.44% | 16 | |
| 2012-01-31 | 2012-02-16 | $1.94 | $2.28 | 13.40% | 13 |