Strategy Zoo / S0157
MACDMomentum_V0157
ARCHIVEDhybridstructuralremoved entry condition: (macd_hist > 0.0 and close > sma_50)
Fitness
0.4276
Generation
7
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
entry = MACDMomentum_V0005 AND SMACross_50_200_V0006
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0157 [hybrid]
if flat and sma_50 > sma_200:
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.0% | 79.4% | -19.6% | 6.9% |
| Total Return | 0.3% | 477.9% | -55.3% | 167.0% |
| Sharpe | 0.18 | 1.32 | -0.45 | 0.37 |
| Sortino | 0.20 | 1.66 | -0.46 | 0.41 |
| Calmar | 0.00 | 1.65 | -0.32 | 0.09 |
| Volatility | 35.4% | 55.9% | 34.8% | 40.4% |
| Max DD | -72.9% | -48.1% | -60.8% | -72.9% |
| Win Rate | 42.9% | 50.4% | 42.4% | 44.5% |
| Avg Win | 4.3% | 7.5% | 3.6% | 5.1% |
| Avg Loss | -2.8% | -4.0% | -3.4% | -3.2% |
| Payoff | 1.52 | 1.86 | 1.07 | 1.59 |
| Expectancy | 0.2% | 1.8% | -0.4% | 0.5% |
| Profit Factor | 1.14 | 1.88 | 0.79 | 1.27 |
| Trades | 319 | 141 | 151 | 611 |
| Avg Holding Days | 3.9 | 4.0 | 3.3 | 3.8 |
| Turnover | 80.0 | 94.0 | 81.7 | 83.3 |
| Exposure | 46.0% | 56.7% | 37.8% | 46.2% |
Growth of $100
MACDMomentum_V0157 vs TSLA Buy & Hold
MACDMomentum_V0157 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 | -14.7% | -0.75 | -16.7% | 29 |
| 2017 | 15.2% | 0.63 | -17.9% | 60 |
| 2018 | -16.9% | -0.71 | -34.8% | 16 |
| 2019 | -3.0% | -0.00 | -24.1% | 18 |
| 2020 | 439.0% | 2.55 | -48.1% | 57 |
| 2021 | 19.9% | 0.63 | -37.4% | 51 |
| 2022 | -21.8% | -0.60 | -33.3% | 32 |
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 | -59.3% | -1.87 | 15% |
| hidden test | EXPENSIVE | 83 | 4.6% | 0.09 | 60% |
| hidden test | EXTREME | 48 | 182.8% | 3.45 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -1.4% | -0.03 | 35% |
| hidden test | LOW VOLATILITY | 429 | -15.2% | -0.62 | 38% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.2% | -0.85 | 40% |
| hidden test | NORMAL | 800 | -29.7% | -0.94 | 34% |
| hidden test | SIDEWAYS | 293 | -19.3% | -0.75 | 36% |
| hidden test | UPTREND | 371 | 18.5% | 0.44 | 55% |
| train | DOWNTREND | 518 | -39.3% | -1.96 | 13% |
| train | EXPENSIVE | 311 | 51.4% | 1.12 | 75% |
| train | EXTREME | 100 | 357.7% | 5.00 | 85% |
| train | HIGH VOLATILITY | 699 | 33.1% | 0.70 | 49% |
| train | LOW VOLATILITY | 745 | -9.1% | -0.37 | 48% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.22 | 41% |
| train | NORMAL | 1,601 | -24.5% | -0.86 | 38% |
| train | SIDEWAYS | 592 | 10.2% | 0.30 | 50% |
| train | UPTREND | 902 | 29.8% | 0.70 | 62% |
| validation | DOWNTREND | 125 | 8.9% | 0.47 | 10% |
| validation | EXPENSIVE | 138 | 71.2% | 1.11 | 70% |
| validation | EXTREME | 144 | 335.7% | 4.08 | 82% |
| validation | HIGH VOLATILITY | 258 | 101.8% | 1.32 | 58% |
| validation | LOW VOLATILITY | 183 | 54.2% | 2.16 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 63.0% | 1.31 | 59% |
| validation | NORMAL | 474 | -4.5% | -0.11 | 45% |
| validation | SIDEWAYS | 206 | -4.3% | -0.09 | 61% |
| validation | UPTREND | 425 | 131.3% | 2.01 | 68% |
Trades (full period)
latest 100 of 611
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-31 | 2026-04-01 | $371.75 | $381.26 | 4.43% | 2 | |
| 2026-03-27 | 2026-03-30 | $361.83 | $355.28 | -2.96% | 2 | |
| 2026-03-25 | 2026-03-26 | $385.95 | $372.11 | 0.56% | 2 | |
| 2026-03-23 | 2026-03-24 | $380.85 | $383.03 | 3.30% | 2 | |
| 2026-03-17 | 2026-03-20 | $399.27 | $367.96 | -4.05% | 4 | |
| 2026-03-10 | 2026-03-16 | $399.24 | $395.56 | -2.07% | 5 | |
| 2026-03-05 | 2026-03-09 | $405.55 | $398.68 | -2.46% | 3 | |
| 2026-02-25 | 2026-03-04 | $417.40 | $405.94 | -4.33% | 6 | |
| 2026-02-11 | 2026-02-24 | $428.27 | $409.38 | -6.16% | 9 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-26 | 2026-01-27 | $435.20 | $430.90 | -3.28% | 2 | |
| 2026-01-22 | 2026-01-23 | $449.36 | $449.06 | 3.95% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.34% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 6.64% | 21 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.51% | 2 | |
| 2025-11-24 | 2025-11-25 | $417.78 | $419.40 | 6.62% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -2.37% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -2.07% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 3.54% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 4.11% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 2.08% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -1.28% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 2.26% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 1.18% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-17 | 2025-10-06 | $425.86 | $453.25 | 1.74% | 14 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-17 | 2025-08-01 | $319.41 | $302.63 | -4.36% | 12 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-09 | 2025-07-10 | $295.88 | $309.87 | -0.85% | 2 | |
| 2025-07-07 | 2025-07-08 | $293.94 | $297.81 | -6.98% | 2 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-03-20 | 2025-04-09 | $236.26 | $272.20 | -6.12% | 15 | |
| 2025-03-18 | 2025-03-19 | $225.31 | $235.86 | -5.53% | 2 | |
| 2025-03-14 | 2025-03-17 | $249.98 | $238.01 | 3.66% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-10 | 2025-03-11 | $222.15 | $230.58 | -15.61% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -5.80% | 2 | |
| 2025-03-04 | 2025-03-05 | $272.04 | $279.10 | -4.63% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-11 | 2025-02-12 | $328.50 | $336.51 | -6.53% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-02-05 | 2025-02-06 | $378.17 | $374.32 | -3.78% | 2 | |
| 2025-02-03 | 2025-02-04 | $383.68 | $392.21 | -5.37% | 2 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.86% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 7.83% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.05% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-03 | 2024-10-04 | $210.60 | $250.08 | 12.17% | 24 | |
| 2024-08-19 | 2024-08-30 | $222.72 | $214.11 | -4.74% | 10 | |
| 2024-08-15 | 2024-08-16 | $214.14 | $216.12 | 6.13% | 2 | |
| 2024-08-13 | 2024-08-14 | $207.83 | $201.38 | 5.03% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 |