Strategy Zoo / S0051

MACDMomentum_V0051

ARCHIVEDmomentum

parameterchanged vol_chg threshold 1.5735 -> 1.8311

Fitness

0.3393

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0026S0026 · gen 1ARCHIVEDparameter

added exit filter: sma_100 > sma_20; replaced exit rule with: vol_chg > 1.5735

Children (1)

MACDMomentum_V0068S0068 · gen 3ARCHIVEDstructural

Strategy Logic (pseudocode)

# MACDMomentum_V0051  [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
    position = 1.0
if long and vol_chg > 1.8311:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	12.4%	44.5%	19.9%	19.4%
Total Return	154.3%	202.0%	95.3%	1256.1%
Sharpe	0.49	0.88	0.60	0.60
Sortino	0.59	1.22	0.94	0.78
Calmar	0.18	0.61	0.37	0.26
Volatility	38.5%	69.0%	56.5%	50.9%
Max DD	-70.5%	-73.4%	-53.8%	-73.6%
Win Rate	56.7%	100.0%	66.7%	60.0%
Avg Win	12.0%	37.5%	33.5%	15.9%
Avg Loss	-10.5%	0.0%	-12.6%	-11.4%
Payoff	1.14	5.00	2.67	1.39
Expectancy	2.2%	37.5%	18.1%	5.0%
Profit Factor	1.49	5.00	5.33	2.09
Trades	67	7	6	80
Avg Holding Days	18.7	60.6	146.7	35.8
Turnover	16.9	5.0	3.5	11.0
Exposure	59.4%	94.3%	95.3%	75.6%

Growth of $100

MACDMomentum_V0051 vs TSLA Buy & Hold

MACDMomentum_V0051 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	-13.5%	-0.52	-38.5%	5
2017	2.8%	0.24	-33.7%	6
2018	-29.0%	-0.56	-42.8%	8
2019	28.2%	0.89	-27.0%	8
2020	539.0%	2.57	-60.6%	5
2021	29.6%	0.80	-41.6%	2
2022	-69.4%	-1.48	-72.7%	0

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	59.1%	0.95	90%
hidden test	EXPENSIVE	83	115.7%	1.66	98%
hidden test	EXTREME	48	136.9%	2.28	98%
hidden test	HIGH VOLATILITY	254	103.5%	1.35	87%
hidden test	LOW VOLATILITY	429	32.0%	0.78	98%
hidden test	MEDIUM VOLATILITY	248	-33.9%	-0.62	99%
hidden test	NORMAL	800	19.3%	0.35	95%
hidden test	SIDEWAYS	293	-37.9%	-0.75	100%
hidden test	UPTREND	371	72.6%	1.28	96%
train	DOWNTREND	518	-15.6%	-0.59	35%
train	EXPENSIVE	311	76.9%	1.78	78%
train	EXTREME	100	301.8%	4.49	88%
train	HIGH VOLATILITY	699	36.8%	0.76	52%
train	LOW VOLATILITY	745	32.5%	1.15	69%
train	MEDIUM VOLATILITY	568	-20.6%	-0.57	56%
train	NORMAL	1,601	-9.9%	-0.29	54%
train	SIDEWAYS	592	-11.4%	-0.32	56%
train	UPTREND	902	58.9%	1.30	75%
validation	DOWNTREND	125	-107.7%	-1.57	100%
validation	EXPENSIVE	138	100.2%	1.34	96%
validation	EXTREME	144	329.0%	3.79	97%
validation	HIGH VOLATILITY	258	71.6%	0.76	91%
validation	LOW VOLATILITY	183	58.5%	1.62	99%
validation	MEDIUM VOLATILITY	315	53.1%	0.90	95%
validation	NORMAL	474	-32.2%	-0.54	93%
validation	SIDEWAYS	206	-50.5%	-0.86	90%
validation	UPTREND	425	164.2%	2.25	95%

Trades (full period)

81 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
2024-11-12	2025-06-06	$328.49	$295.14	-18.83%	141
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
2021-10-28	2024-07-03	$359.01	$246.39	-33.28%	673
2021-04-14	2021-10-27	$244.08	$345.95	33.32%	138
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
2020-02-05	2020-08-13	$48.98	$108.07	74.88%	133
2020-01-10	2020-02-04	$31.88	$59.14	61.72%	17
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
2018-10-29	2018-12-10	$22.32	$24.34	7.97%	29
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
2018-08-06	2018-08-08	$22.80	$24.69	8.80%	3
2018-06-14	2018-08-03	$23.85	$23.21	1.18%	36
2018-05-10	2018-06-13	$20.33	$22.99	11.48%	24
2018-02-23	2018-03-28	$23.47	$17.19	-19.51%	24
2017-12-12	2018-02-12	$22.74	$21.05	-5.81%	42
2017-07-25	2017-11-03	$22.64	$20.41	-12.81%	73
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	2016-06-23	$15.70	$13.09	-15.52%	12
2016-04-08	2016-05-06	$16.67	$14.33	-17.92%	21
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	2014-11-07	$17.29	$16.01	-7.26%	23
2014-09-09	2014-09-16	$18.57	$17.38	-10.19%	6
2014-08-05	2014-09-08	$15.90	$18.81	16.06%	24
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
2013-05-15	2013-07-17	$5.66	$8.02	30.75%	44
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
2012-07-19	2012-09-26	$2.15	$1.84	-14.14%	49
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	2012-03-13	$2.33	$2.41	5.15%	17
2012-01-31	2012-02-16	$1.94	$2.28	13.40%	13