Strategy Zoo / S0068
MACDMomentum_V0068
ARCHIVEDmomentumstructuralreduce exposure to 56% during EXPENSIVE; removed entry condition: close > sma_50
Fitness
0.3010
Generation
3
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed vol_chg threshold 1.5735 -> 1.8311
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0068 [momentum]
if flat and macd_hist > 0.0:
position = 1.0
if long and vol_chg > 1.8311:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.57Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.3% | 21.5% | 24.5% | 15.1% |
| Total Return | 118.3% | 79.4% | 124.9% | 686.3% |
| Sharpe | 0.44 | 0.63 | 0.67 | 0.53 |
| Sortino | 0.56 | 0.85 | 1.04 | 0.71 |
| Calmar | 0.14 | 0.29 | 0.48 | 0.20 |
| Volatility | 41.5% | 64.3% | 55.3% | 50.6% |
| Max DD | -74.6% | -73.4% | -51.6% | -74.6% |
| Win Rate | 52.5% | 85.7% | 66.7% | 54.8% |
| Avg Win | 12.0% | 34.3% | 33.9% | 14.7% |
| Avg Loss | -9.5% | -4.3% | -12.1% | -10.0% |
| Payoff | 1.27 | 8.06 | 2.81 | 1.46 |
| Expectancy | 1.8% | 28.8% | 18.6% | 3.5% |
| Profit Factor | 1.41 | 10.00 | 5.61 | 1.78 |
| Trades | 80 | 7 | 6 | 93 |
| Avg Holding Days | 19.8 | 63.6 | 146.7 | 34.6 |
| Turnover | 20.9 | 7.3 | 5.1 | 14.0 |
| Exposure | 70.1% | 89.4% | 93.3% | 79.9% |
Growth of $100
MACDMomentum_V0068 vs TSLA Buy & Hold
MACDMomentum_V0068 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 | 10.6% | 0.49 | -38.5% | 7 |
| 2017 | 9.7% | 0.50 | -24.4% | 7 |
| 2018 | -40.4% | -0.74 | -56.2% | 10 |
| 2019 | -5.3% | 0.08 | -48.9% | 11 |
| 2020 | 263.8% | 2.08 | -52.0% | 5 |
| 2021 | 37.5% | 0.93 | -32.8% | 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 | 70.4% | 1.11 | 96% |
| hidden test | EXPENSIVE | 83 | 118.6% | 2.04 | 61% |
| hidden test | EXTREME | 48 | 88.4% | 1.56 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 102.6% | 1.36 | 87% |
| hidden test | LOW VOLATILITY | 429 | 31.5% | 0.76 | 98% |
| hidden test | MEDIUM VOLATILITY | 248 | -20.3% | -0.40 | 92% |
| hidden test | NORMAL | 800 | 25.5% | 0.46 | 97% |
| hidden test | SIDEWAYS | 293 | -31.9% | -0.64 | 99% |
| hidden test | UPTREND | 371 | 67.6% | 1.27 | 87% |
| train | DOWNTREND | 518 | -37.4% | -0.91 | 72% |
| train | EXPENSIVE | 311 | 64.4% | 1.88 | 49% |
| train | EXTREME | 100 | 284.9% | 4.28 | 86% |
| train | HIGH VOLATILITY | 699 | 30.2% | 0.55 | 69% |
| train | LOW VOLATILITY | 745 | 29.1% | 1.01 | 76% |
| train | MEDIUM VOLATILITY | 568 | -10.4% | -0.29 | 63% |
| train | NORMAL | 1,601 | -7.3% | -0.18 | 73% |
| train | SIDEWAYS | 592 | 11.4% | 0.27 | 74% |
| train | UPTREND | 902 | 54.9% | 1.32 | 67% |
| validation | DOWNTREND | 125 | -107.7% | -1.57 | 100% |
| validation | EXPENSIVE | 138 | 3.5% | 0.06 | 59% |
| validation | EXTREME | 144 | 272.3% | 3.31 | 95% |
| validation | HIGH VOLATILITY | 258 | 50.2% | 0.57 | 91% |
| validation | LOW VOLATILITY | 183 | 56.8% | 1.71 | 92% |
| validation | MEDIUM VOLATILITY | 315 | 22.4% | 0.41 | 86% |
| validation | NORMAL | 474 | -19.6% | -0.33 | 97% |
| validation | SIDEWAYS | 206 | -30.4% | -0.53 | 97% |
| validation | UPTREND | 425 | 117.9% | 1.80 | 82% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-10 | — | $330.88 | — | 10.49% | 29 | OPEN |
| 2025-06-25 | 2026-07-24 | $327.55 | $313.03 | -9.23% | 272 | |
| 2024-11-12 | 2025-06-06 | $328.49 | $295.14 | -14.89% | 141 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 4.55% | 2 | |
| 2024-10-28 | 2024-11-07 | $262.51 | $296.91 | 11.85% | 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 | |
| 2021-03-15 | 2021-10-27 | $235.98 | $345.95 | 50.91% | 159 | |
| 2020-12-22 | 2021-02-24 | $213.45 | $247.34 | -4.26% | 43 | |
| 2020-11-20 | 2020-12-21 | $163.20 | $216.62 | 17.88% | 21 | |
| 2020-08-18 | 2020-11-19 | $125.81 | $166.42 | 4.53% | 67 | |
| 2020-02-05 | 2020-08-13 | $48.98 | $108.07 | 71.17% | 133 | |
| 2020-01-10 | 2020-02-04 | $31.88 | $59.14 | 53.34% | 17 | |
| 2019-12-16 | 2020-01-09 | $25.43 | $32.09 | 23.00% | 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 | |
| 2019-09-03 | 2019-09-25 | $15.00 | $15.25 | -1.26% | 17 | |
| 2019-06-06 | 2019-07-26 | $13.73 | $15.20 | 16.17% | 36 | |
| 2019-05-07 | 2019-05-24 | $16.47 | $12.71 | -23.59% | 14 | |
| 2019-04-08 | 2019-04-26 | $18.21 | $15.68 | -10.12% | 14 | |
| 2019-03-15 | 2019-04-05 | $18.36 | $18.33 | -7.84% | 16 | |
| 2019-02-05 | 2019-03-04 | $21.42 | $19.02 | -5.97% | 19 | |
| 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 | |
| 2018-10-02 | 2018-10-26 | $20.07 | $22.06 | 1.13% | 19 | |
| 2018-09-18 | 2018-10-01 | $19.00 | $20.71 | -10.38% | 10 | |
| 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 | |
| 2018-05-07 | 2018-06-13 | $20.18 | $22.99 | 16.32% | 27 | |
| 2018-04-09 | 2018-05-04 | $19.31 | $19.61 | -5.15% | 20 | |
| 2018-02-23 | 2018-03-28 | $23.47 | $17.19 | -19.51% | 24 | |
| 2017-11-21 | 2018-02-12 | $21.19 | $21.05 | 0.35% | 56 | |
| 2017-11-16 | 2017-11-20 | $20.83 | $20.58 | 1.00% | 3 | |
| 2017-07-25 | 2017-11-03 | $22.64 | $20.41 | -11.59% | 73 | |
| 2017-06-13 | 2017-07-07 | $25.06 | $20.88 | -9.89% | 18 | |
| 2017-05-15 | 2017-06-12 | $21.06 | $23.93 | 5.58% | 20 | |
| 2017-03-17 | 2017-05-05 | $17.43 | $20.56 | 8.99% | 35 | |
| 2017-02-13 | 2017-02-24 | $18.71 | $17.13 | -2.84% | 9 | |
| 2016-11-23 | 2017-02-10 | $12.88 | $17.95 | 37.34% | 54 | |
| 2016-10-21 | 2016-11-02 | $13.34 | $12.53 | -4.36% | 9 | |
| 2016-09-20 | 2016-10-20 | $13.64 | $13.27 | -1.55% | 23 | |
| 2016-07-05 | 2016-09-02 | $14.27 | $13.19 | -7.45% | 44 | |
| 2016-05-24 | 2016-06-23 | $14.53 | $13.09 | -9.23% | 22 | |
| 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 | |
| 2016-02-19 | 2016-04-04 | $11.11 | $16.47 | 42.18% | 31 | |
| 2015-11-06 | 2016-01-05 | $15.49 | $14.90 | -3.80% | 40 | |
| 2015-11-03 | 2015-11-05 | $13.89 | $15.45 | 8.13% | 3 | |
| 2015-08-20 | 2015-10-21 | $16.15 | $14.01 | -16.71% | 44 | |
| 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 | |
| 2015-02-13 | 2015-03-31 | $13.58 | $12.58 | -6.25% | 32 | |
| 2015-01-26 | 2015-02-12 | $13.77 | $13.53 | 5.51% | 14 | |
| 2015-01-06 | 2015-01-15 | $14.09 | $12.79 | -8.46% | 8 | |
| 2014-12-23 | 2015-01-05 | $14.73 | $14.01 | -1.68% | 8 | |
| 2014-11-10 | 2014-12-08 | $16.13 | $14.29 | -7.05% | 20 | |
| 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 | |
| 2014-05-21 | 2014-06-17 | $13.30 | $15.44 | 14.78% | 19 | |
| 2014-02-27 | 2014-05-09 | $16.84 | $12.15 | -22.50% | 51 | |
| 2014-02-24 | 2014-02-26 | $14.51 | $16.87 | 10.19% | 3 | |
| 2014-01-16 | 2014-02-21 | $11.40 | $13.97 | 15.33% | 25 | |
| 2013-12-02 | 2014-01-15 | $8.28 | $10.94 | 27.16% | 31 | |
| 2013-08-28 | 2013-10-04 | $11.10 | $12.07 | 2.11% | 27 | |
| 2013-08-09 | 2013-08-27 | $10.20 | $11.13 | 1.40% | 13 | |
| 2013-07-30 | 2013-08-08 | $8.78 | $10.23 | -0.49% | 8 | |
| 2013-05-15 | 2013-07-17 | $5.66 | $8.02 | 30.14% | 44 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-05 | 2013-05-10 | $2.76 | $5.12 | 56.87% | 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 | -7.28% | 7 | |
| 2013-01-23 | 2013-02-12 | $2.40 | $2.53 | 6.01% | 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 | |
| 2012-05-24 | 2012-06-21 | $2.02 | $2.15 | 8.68% | 20 | |
| 2012-05-01 | 2012-05-09 | $2.25 | $2.00 | -9.05% | 7 | |
| 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 | |
| 2012-01-23 | 2012-02-16 | $1.78 | $2.28 | 26.06% | 19 | |
| 2012-01-12 | 2012-01-17 | $1.88 | $1.77 | -19.43% | 3 |