Strategy Zoo / S0154

MACDMomentum_V0154

ARCHIVEDhybrid

structuraladded entry filter: sma_100 > roll_low_20

Fitness

0.5058

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0130S0130 · gen 6ARCHIVEDstructural

replaced exit rule with: sma_200 > sma_50

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0154  [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and sma_100 > roll_low_20):
    position = 1.0
if long and sma_200 > sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.0%	70.5%	-11.3%	18.1%
Total Return	251.0%	395.5%	-35.7%	1051.1%
Sharpe	0.62	1.16	-0.08	0.60
Sortino	0.65	1.40	-0.10	0.65
Calmar	0.26	1.16	-0.19	0.26
Volatility	35.1%	63.6%	41.5%	43.9%
Max DD	-65.6%	-60.6%	-59.6%	-69.1%
Win Rate	25.0%	50.0%	25.0%	28.6%
Avg Win	218.8%	661.9%	13.1%	315.6%
Avg Loss	-9.5%	-35.0%	-16.7%	-14.2%
Payoff	10.00	10.00	0.78	10.00
Expectancy	47.6%	313.5%	-9.3%	80.0%
Profit Factor	7.70	10.00	0.26	8.89
Trades	8	2	4	14
Avg Holding Days	106.0	243.5	116.8	130.8
Turnover	2.1	1.3	2.2	1.9
Exposure	43.1%	64.2%	49.7%	49.1%

Growth of $100

MACDMomentum_V0154 vs TSLA Buy & Hold

MACDMomentum_V0154 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	-0.6%	0.08	-22.3%	1
2018	-20.3%	-1.00	-30.6%	1
2019	7.6%	0.45	-17.2%	1
2020	712.5%	2.80	-60.6%	0
2021	-12.7%	-0.11	-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	-21.3%	-0.69	56%
hidden test	MEDIUM VOLATILITY	248	-36.0%	-0.90	50%
hidden test	NORMAL	800	-22.2%	-0.62	43%
hidden test	SIDEWAYS	293	-36.5%	-1.14	47%
hidden test	UPTREND	371	41.4%	0.85	73%
train	DOWNTREND	518	-24.8%	-1.54	13%
train	EXPENSIVE	311	60.8%	1.28	67%
train	EXTREME	100	406.9%	5.57	88%
train	HIGH VOLATILITY	699	45.6%	0.99	43%
train	LOW VOLATILITY	745	4.3%	0.18	46%
train	MEDIUM VOLATILITY	568	15.4%	0.49	39%
train	NORMAL	1,601	-9.9%	-0.36	36%
train	SIDEWAYS	592	24.9%	0.69	53%
train	UPTREND	902	46.5%	1.12	54%
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	130.0%	1.43	77%
validation	LOW VOLATILITY	183	14.3%	0.52	43%
validation	MEDIUM VOLATILITY	315	61.7%	1.24	66%
validation	NORMAL	474	-23.9%	-0.51	43%
validation	SIDEWAYS	206	-14.5%	-0.26	74%
validation	UPTREND	425	149.9%	2.05	73%

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
2025-07-29	2025-08-06	$321.20	$319.91	-5.37%	7
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
2021-12-30	2022-05-27	$356.78	$253.21	-34.97%	104
2019-11-20	2021-07-12	$23.48	$228.57	811.80%	412
2019-01-11	2019-03-01	$23.15	$19.65	-7.46%	34
2018-08-03	2018-09-12	$23.21	$19.37	-20.22%	28
2017-07-25	2017-12-13	$22.64	$22.60	-0.63%	100
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
2015-09-16	2015-11-17	$17.48	$14.27	-15.65%	45
2013-03-27	2015-01-13	$2.54	$13.62	433.04%	454
2012-01-31	2012-07-09	$1.94	$2.10	4.59%	111