Strategy Zoo / S0145
MACDMomentum_V0145
ARCHIVEDhybridcrossoverentry from MACDMomentum_V0130, exit from LongTermTrend_V0103
Fitness
0.5910
Generation
7
Complexity
6
Created
2026-09-18
Lineage
Parents (2)
entry = LongTermTrend_V0085 OR PriceMomentum_V0003
replaced exit rule with: sma_200 > sma_50
Children (3)
Strategy Logic (pseudocode)
# MACDMomentum_V0145 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 92.6% | -3.8% | 24.0% |
| Total Return | 270.0% | 614.2% | -13.4% | 2256.3% |
| Sharpe | 0.69 | 1.56 | -0.01 | 0.79 |
| Sortino | 0.64 | 1.59 | -0.01 | 0.73 |
| Calmar | 0.31 | 2.74 | -0.09 | 0.42 |
| Volatility | 30.0% | 50.0% | 27.4% | 34.5% |
| Max DD | -57.6% | -33.7% | -41.9% | -57.6% |
| Win Rate | 36.4% | 41.7% | 17.6% | 32.3% |
| Avg Win | 25.3% | 67.5% | 18.9% | 37.9% |
| Avg Loss | -5.1% | -6.2% | -4.2% | -5.0% |
| Payoff | 4.94 | 10.00 | 4.53 | 7.63 |
| Expectancy | 5.9% | 24.5% | -0.1% | 8.9% |
| Profit Factor | 2.82 | 7.81 | 0.97 | 3.63 |
| Trades | 33 | 12 | 17 | 62 |
| Avg Holding Days | 20.9 | 30.8 | 15.0 | 21.9 |
| Turnover | 8.4 | 8.0 | 9.2 | 8.4 |
| Exposure | 34.6% | 47.4% | 25.6% | 35.0% |
Growth of $100
MACDMomentum_V0145 vs TSLA Buy & Hold
MACDMomentum_V0145 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 | -14.8% | -1.11 | -16.6% | 2 |
| 2017 | -5.2% | -0.07 | -29.0% | 11 |
| 2018 | -21.8% | -0.98 | -29.1% | 3 |
| 2019 | 15.9% | 0.87 | -13.1% | 2 |
| 2020 | 494.3% | 2.83 | -33.7% | 5 |
| 2021 | 33.7% | 0.99 | -26.8% | 5 |
| 2022 | -24.2% | -0.96 | -24.2% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 50.2% | 1.00 | 70% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 33.7% | 1.03 | 21% |
| hidden test | LOW VOLATILITY | 429 | 7.7% | 0.41 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -48.4% | -1.46 | 33% |
| hidden test | NORMAL | 800 | -17.1% | -0.84 | 18% |
| hidden test | SIDEWAYS | 293 | -21.8% | -1.14 | 20% |
| hidden test | UPTREND | 371 | 16.8% | 0.42 | 49% |
| train | DOWNTREND | 518 | -4.8% | -0.93 | 2% |
| train | EXPENSIVE | 311 | 60.2% | 1.52 | 76% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 50.9% | 1.29 | 32% |
| train | LOW VOLATILITY | 745 | 23.7% | 1.08 | 39% |
| train | MEDIUM VOLATILITY | 568 | -20.1% | -0.80 | 32% |
| train | NORMAL | 1,601 | -9.3% | -0.43 | 23% |
| train | SIDEWAYS | 592 | -4.9% | -0.22 | 26% |
| train | UPTREND | 902 | 52.4% | 1.28 | 59% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 64.4% | 1.15 | 57% |
| validation | EXTREME | 144 | 324.6% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 92.6% | 1.37 | 47% |
| validation | LOW VOLATILITY | 183 | 37.0% | 1.75 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 89.9% | 2.02 | 51% |
| validation | NORMAL | 474 | 7.1% | 0.23 | 31% |
| validation | SIDEWAYS | 206 | -23.0% | -0.73 | 32% |
| validation | UPTREND | 425 | 149.9% | 2.39 | 69% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -3.28% | 23 | |
| 2025-09-17 | 2025-11-14 | $425.86 | $404.35 | -4.85% | 43 | |
| 2025-07-29 | 2025-08-04 | $321.20 | $309.26 | -7.24% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-06-26 | 2023-08-02 | $241.05 | $254.11 | 1.53% | 27 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-12-30 | 2022-01-24 | $356.78 | $310.00 | -13.27% | 17 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-08-31 | 2021-12-01 | $245.24 | $365.00 | 56.31% | 65 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -2.20% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 81.90% | 58 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-11-06 | 2020-03-04 | $21.77 | $49.97 | 134.55% | 81 | |
| 2019-01-16 | 2019-01-22 | $23.07 | $19.93 | -12.42% | 4 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -7.88% | 7 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.60% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.10% | 2 | |
| 2017-09-12 | 2017-09-29 | $24.18 | $22.74 | -6.81% | 14 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.93% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-23 | 2017-05-24 | $16.99 | $20.68 | 18.92% | 44 | |
| 2017-03-17 | 2017-03-21 | $17.43 | $16.71 | -0.25% | 3 | |
| 2017-02-01 | 2017-03-08 | $16.62 | $16.46 | -1.52% | 25 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.90% | 23 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2015-09-16 | 2015-10-02 | $17.48 | $16.50 | -5.58% | 13 | |
| 2015-06-22 | 2015-07-28 | $17.32 | $17.65 | -3.81% | 26 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.31% | 2 | |
| 2014-07-31 | 2014-09-16 | $14.89 | $17.38 | 10.67% | 33 | |
| 2014-06-06 | 2014-07-17 | $13.88 | $14.36 | 4.75% | 29 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 169.93% | 64 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -3.80% | 6 | |
| 2013-01-23 | 2013-02-26 | $2.40 | $2.30 | -2.49% | 24 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-01-31 | 2012-04-10 | $1.94 | $2.16 | 11.88% | 49 |