Strategy Zoo / S0134

MACDMomentum_V0134

ARCHIVEDhybrid

structuralrestricted to bubble regimes ['EXTREME']

Fitness

0.3506

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0101S0101 · gen 5ARCHIVEDstructural

entry = MACDMomentum_V0005 AND SMACross_50_200_V0006

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0134  [hybrid]
require regime.bubble in ['EXTREME']
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	7.3%	33.7%	-0.1%	10.2%
Total Return	75.1%	139.1%	-0.3%	317.5%
Sharpe	0.52	1.06	0.03	0.60
Sortino	0.19	0.63	0.01	0.23
Calmar	0.24	1.23	-0.01	0.30
Volatility	15.8%	32.4%	8.5%	19.2%
Max DD	-29.8%	-27.5%	-12.3%	-34.5%
Win Rate	50.0%	71.4%	50.0%	58.8%
Avg Win	34.3%	23.2%	5.2%	22.9%
Avg Loss	-5.7%	-7.0%	-5.0%	-5.9%
Payoff	6.06	3.31	1.05	3.92
Expectancy	14.3%	14.6%	0.1%	11.1%
Profit Factor	6.06	8.28	1.05	5.60
Trades	6	7	4	17
Avg Holding Days	12.8	14.6	5.3	11.8
Turnover	1.5	4.7	2.2	2.3
Exposure	3.5%	12.6%	1.8%	4.9%

Growth of $100

MACDMomentum_V0134 vs TSLA Buy & Hold

MACDMomentum_V0134 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	0.0%	0.00	0.0%	0
2017	0.2%	0.08	-2.9%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	158.9%	2.00	-21.2%	6
2021	-8.0%	-1.01	-8.0%	1
2022	0.0%	0.00	0.0%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-13.4%	-1.86	4%
hidden test	EXTREME	48	28.7%	0.79	29%
hidden test	HIGH VOLATILITY	254	-11.0%	-1.25	4%
hidden test	LOW VOLATILITY	429	8.3%	1.30	1%
hidden test	MEDIUM VOLATILITY	248	-2.0%	-0.18	2%
hidden test	NORMAL	800	0.0%	0.00	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	0.7%	0.05	5%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-21.1%	-1.47	1%
train	EXTREME	100	230.6%	3.54	67%
train	HIGH VOLATILITY	699	15.5%	0.61	7%
train	LOW VOLATILITY	745	1.1%	0.34	2%
train	MEDIUM VOLATILITY	568	8.5%	0.97	2%
train	NORMAL	1,601	0.0%	0.00	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	18.3%	0.77	8%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-35.4%	-2.33	2%
validation	EXTREME	144	213.4%	2.97	64%
validation	HIGH VOLATILITY	258	99.2%	1.92	26%
validation	LOW VOLATILITY	183	9.2%	0.98	3%
validation	MEDIUM VOLATILITY	315	-4.6%	-0.28	7%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	0.29	5%
validation	UPTREND	425	58.4%	1.41	20%

Trades (full period)

17 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-12-09	2024-12-24	$389.79	$462.28	10.41%	12
2024-11-25	2024-11-26	$338.59	$338.23	-4.16%	2
2024-11-19	2024-11-22	$346.00	$352.56	0.07%	4
2024-11-12	2024-11-14	$328.49	$311.18	-5.84%	3
2021-01-11	2021-01-12	$270.40	$283.15	-8.01%	2
2020-12-08	2020-12-10	$216.63	$209.02	-6.00%	3
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-07-02	2020-07-27	$80.58	$102.64	26.32%	17
2020-06-03	2020-06-25	$58.86	$65.73	8.78%	17
2020-04-14	2020-05-14	$47.33	$53.56	21.28%	23
2020-01-22	2020-02-26	$37.97	$51.92	45.90%	25
2017-06-14	2017-06-27	$25.38	$24.16	0.21%	10
2013-08-23	2013-09-09	$10.79	$10.71	6.07%	11
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
2013-07-30	2013-08-08	$8.78	$10.23	-0.49%	8
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-04-19	2013-06-04	$3.19	$6.32	96.74%	32