Strategy Zoo / S0130
MACDMomentum_V0130
ARCHIVEDhybridstructuralreplaced exit rule with: sma_200 > sma_50
Fitness
0.6243
Generation
6
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry = MACDMomentum_V0005 AND SMACross_50_200_V0006
Children (8)
Strategy Logic (pseudocode)
# MACDMomentum_V0130 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200):
position = 1.0
if long and sma_200 > sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.1% | 94.5% | -11.6% | 25.1% |
| Total Return | 459.2% | 636.3% | -36.5% | 2591.8% |
| Sharpe | 0.74 | 1.34 | -0.09 | 0.71 |
| Sortino | 0.83 | 1.72 | -0.10 | 0.82 |
| Calmar | 0.42 | 1.56 | -0.19 | 0.39 |
| Volatility | 39.5% | 66.0% | 41.8% | 46.7% |
| Max DD | -57.3% | -60.6% | -60.1% | -63.7% |
| Win Rate | 37.5% | 50.0% | 25.0% | 35.7% |
| Avg Win | 172.9% | 661.9% | 13.1% | 293.0% |
| Avg Loss | -12.8% | -3.4% | -17.1% | -13.2% |
| Payoff | 10.00 | 10.00 | 0.77 | 10.00 |
| Expectancy | 56.8% | 329.3% | -9.6% | 96.2% |
| Profit Factor | 8.08 | 10.00 | 0.26 | 10.00 |
| Trades | 8 | 2 | 4 | 14 |
| Avg Holding Days | 138.9 | 285.5 | 118.3 | 156.7 |
| Turnover | 2.1 | 1.3 | 2.2 | 1.9 |
| Exposure | 56.7% | 75.3% | 50.4% | 58.9% |
Growth of $100
MACDMomentum_V0130 vs TSLA Buy & Hold
MACDMomentum_V0130 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 | -12.5% | -0.64 | -19.3% | 2 |
| 2017 | 35.3% | 1.05 | -22.3% | 1 |
| 2018 | -27.4% | -1.07 | -40.6% | 1 |
| 2019 | 35.6% | 1.38 | -17.2% | 1 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 29.8% | 0.75 | -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 | 67.3% | 1.01 | 87% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 58.2% | 1.04 | 39% |
| hidden test | LOW VOLATILITY | 429 | -20.6% | -0.67 | 56% |
| hidden test | MEDIUM VOLATILITY | 248 | -38.0% | -0.93 | 52% |
| hidden test | NORMAL | 800 | -22.4% | -0.62 | 44% |
| hidden test | SIDEWAYS | 293 | -40.5% | -1.23 | 47% |
| hidden test | UPTREND | 371 | 44.0% | 0.90 | 74% |
| train | DOWNTREND | 518 | -34.2% | -1.63 | 13% |
| train | EXPENSIVE | 311 | 96.7% | 1.86 | 99% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 60.2% | 1.15 | 58% |
| train | LOW VOLATILITY | 745 | 15.0% | 0.57 | 57% |
| train | MEDIUM VOLATILITY | 568 | 9.9% | 0.28 | 55% |
| train | NORMAL | 1,601 | -8.0% | -0.25 | 46% |
| train | SIDEWAYS | 592 | 36.5% | 0.92 | 59% |
| train | UPTREND | 902 | 61.0% | 1.30 | 80% |
| 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 | 44.9% | 1.53 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 80.4% | 1.47 | 78% |
| validation | NORMAL | 474 | -0.2% | -0.00 | 61% |
| validation | SIDEWAYS | 206 | -14.5% | -0.26 | 74% |
| validation | UPTREND | 425 | 176.3% | 2.30 | 92% |
Trades (full period)
14 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-04-10 | $425.86 | $348.95 | -18.19% | 142 | |
| 2025-07-21 | 2025-08-06 | $328.49 | $319.91 | -6.54% | 13 | |
| 2024-08-20 | 2025-04-15 | $221.10 | $254.11 | 13.08% | 164 | |
| 2023-06-26 | 2024-02-02 | $241.05 | $187.91 | -26.55% | 154 | |
| 2021-08-31 | 2022-05-27 | $245.24 | $253.21 | -3.36% | 188 | |
| 2019-11-06 | 2021-07-12 | $21.77 | $228.57 | 933.44% | 422 | |
| 2018-12-11 | 2019-03-01 | $24.45 | $19.65 | -12.57% | 55 | |
| 2018-08-03 | 2018-09-12 | $23.21 | $19.37 | -20.22% | 28 | |
| 2017-02-01 | 2017-12-13 | $16.62 | $22.60 | 35.09% | 220 | |
| 2016-07-22 | 2016-10-06 | $14.82 | $13.40 | -5.65% | 54 | |
| 2016-06-08 | 2016-07-08 | $15.70 | $14.45 | -7.24% | 22 | |
| 2015-06-22 | 2015-11-17 | $17.32 | $14.27 | -18.53% | 105 | |
| 2013-01-23 | 2015-01-13 | $2.40 | $13.62 | 473.49% | 498 | |
| 2012-01-04 | 2012-07-09 | $1.85 | $2.10 | 10.14% | 129 |