Strategy Zoo / S0174
MACDMomentum_V0174
ARCHIVEDhybridstructuraladded entry filter: roc_20 > 1.7469; replaced exit rule with: breakout_20 == 1
Fitness
0.4209
Generation
8
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
entry from MACDMomentum_V0130, exit from LongTermTrend_V0103
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0174 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and roc_20 > 1.7469):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.9% | 40.8% | 5.6% | 20.2% |
| Total Return | 325.4% | 178.9% | 22.3% | 1393.6% |
| Sharpe | 0.68 | 0.88 | 0.33 | 0.64 |
| Sortino | 0.71 | 1.02 | 0.37 | 0.68 |
| Calmar | 0.38 | 0.68 | 0.11 | 0.34 |
| Volatility | 36.3% | 58.8% | 40.0% | 42.8% |
| Max DD | -52.2% | -59.9% | -52.0% | -59.9% |
| Win Rate | 82.8% | 84.4% | 83.8% | 83.4% |
| Avg Win | 3.2% | 4.5% | 3.9% | 3.7% |
| Avg Loss | -6.9% | -11.1% | -14.2% | -9.2% |
| Payoff | 0.46 | 0.40 | 0.28 | 0.40 |
| Expectancy | 1.5% | 2.1% | 1.0% | 1.5% |
| Profit Factor | 2.23 | 2.18 | 1.42 | 2.01 |
| Trades | 116 | 64 | 37 | 217 |
| Avg Holding Days | 8.6 | 8.6 | 12.4 | 9.3 |
| Turnover | 29.2 | 42.7 | 20.0 | 29.6 |
| Exposure | 44.1% | 64.0% | 45.4% | 48.5% |
Growth of $100
MACDMomentum_V0174 vs TSLA Buy & Hold
MACDMomentum_V0174 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 | -4.1% | -0.29 | -17.3% | 4 |
| 2017 | -5.6% | -0.01 | -27.8% | 20 |
| 2018 | -15.2% | -0.29 | -30.6% | 4 |
| 2019 | 34.3% | 2.16 | -4.0% | 9 |
| 2020 | 244.6% | 1.97 | -59.9% | 37 |
| 2021 | 7.5% | 0.38 | -27.0% | 19 |
| 2022 | -34.0% | -0.59 | -44.7% | 6 |
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 | 5.4% | 0.12 | 33% |
| hidden test | EXPENSIVE | 83 | 101.0% | 1.59 | 70% |
| hidden test | EXTREME | 48 | 89.7% | 1.70 | 81% |
| hidden test | HIGH VOLATILITY | 254 | 58.9% | 1.06 | 36% |
| hidden test | LOW VOLATILITY | 429 | -3.9% | -0.14 | 49% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.8% | -0.10 | 49% |
| hidden test | NORMAL | 800 | -0.4% | -0.01 | 41% |
| hidden test | SIDEWAYS | 293 | -25.3% | -0.79 | 44% |
| hidden test | UPTREND | 371 | 49.4% | 1.17 | 56% |
| train | DOWNTREND | 518 | -20.8% | -0.79 | 14% |
| train | EXPENSIVE | 311 | 47.3% | 0.97 | 82% |
| train | EXTREME | 100 | 370.3% | 5.46 | 73% |
| train | HIGH VOLATILITY | 699 | 62.5% | 1.29 | 42% |
| train | LOW VOLATILITY | 745 | 1.7% | 0.07 | 47% |
| train | MEDIUM VOLATILITY | 568 | 8.1% | 0.26 | 43% |
| train | NORMAL | 1,601 | -1.4% | -0.05 | 35% |
| train | SIDEWAYS | 592 | 28.3% | 0.84 | 42% |
| train | UPTREND | 902 | 48.3% | 1.14 | 63% |
| validation | DOWNTREND | 125 | -23.3% | -0.53 | 41% |
| validation | EXPENSIVE | 138 | 38.6% | 0.54 | 77% |
| validation | EXTREME | 144 | 256.9% | 3.54 | 77% |
| validation | HIGH VOLATILITY | 258 | 58.0% | 0.70 | 73% |
| validation | LOW VOLATILITY | 183 | 39.8% | 1.43 | 55% |
| validation | MEDIUM VOLATILITY | 315 | 53.3% | 1.14 | 62% |
| validation | NORMAL | 474 | -7.0% | -0.14 | 56% |
| validation | SIDEWAYS | 206 | -23.7% | -0.44 | 68% |
| validation | UPTREND | 425 | 110.2% | 1.71 | 69% |
Trades (full period)
latest 100 of 217
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-18 | 2026-04-20 | $483.37 | $392.50 | -14.43% | 83 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-09 | 2025-12-15 | $445.17 | $475.31 | 4.20% | 5 | |
| 2025-11-04 | 2025-12-08 | $444.26 | $439.58 | -3.05% | 24 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-07-21 | 2025-08-12 | $328.49 | $340.84 | 2.64% | 17 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -35.39% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-31 | 2024-11-07 | $249.85 | $296.91 | 11.80% | 6 | |
| 2024-10-01 | 2024-10-28 | $258.02 | $262.51 | 2.68% | 20 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-17 | 2024-09-20 | $227.87 | $238.25 | 7.34% | 4 | |
| 2024-09-11 | 2024-09-16 | $228.13 | $226.78 | 1.62% | 4 | |
| 2024-08-22 | 2024-09-06 | $210.66 | $210.73 | 2.88% | 11 | |
| 2023-12-29 | 2024-02-29 | $248.48 | $201.88 | -20.36% | 42 | |
| 2023-12-21 | 2023-12-28 | $254.50 | $253.18 | 5.58% | 5 | |
| 2023-12-18 | 2023-12-20 | $252.08 | $247.14 | 1.26% | 3 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-22 | 2023-11-29 | $234.21 | $244.14 | 2.08% | 5 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-13 | 2023-09-15 | $271.30 | $274.39 | 3.00% | 3 | |
| 2023-09-06 | 2023-09-12 | $251.92 | $267.48 | 6.45% | 5 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-26 | 2023-07-05 | $241.05 | $282.48 | 8.82% | 7 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -31.20% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-28 | 2022-03-29 | $363.95 | $366.52 | 7.83% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -21.40% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -2.65% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-13 | 2021-09-16 | $247.67 | $252.33 | 2.45% | 4 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-02 | 2021-09-08 | $244.13 | $251.29 | 2.36% | 4 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-06-30 | 2021-08-02 | $226.57 | $236.56 | 0.74% | 23 | |
| 2021-06-25 | 2021-06-29 | $223.96 | $226.92 | 1.11% | 3 | |
| 2021-04-14 | 2021-06-24 | $244.08 | $226.61 | -14.05% | 51 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-16 | 2020-11-18 | $146.56 | $162.21 | -1.82% | 24 | |
| 2020-09-02 | 2020-10-15 | $149.12 | $149.63 | -3.09% | 31 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-03 | 2020-06-09 | $58.86 | $62.71 | 7.54% | 5 | |
| 2020-05-12 | 2020-05-22 | $53.96 | $54.46 | 1.81% | 9 | |
| 2020-05-01 | 2020-05-11 | $46.75 | $54.09 | 4.58% | 7 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-20 | 2020-04-28 | $49.76 | $51.27 | 5.74% | 7 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-02-21 | 2020-04-13 | $60.07 | $43.40 | -36.42% | 36 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.52% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 |