Strategy Zoo / S0195
MACDMomentum_V0195
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> 1.0705; changed macd_hist threshold 1.0705 -> 0.1351
Fitness
0.5167
Generation
9
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry = MACDMomentum_V0005 AND SMACross_50_200_V0006
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0195 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200):
position = 1.0
if long and macd_hist < 0.1351:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.6% | 76.1% | 0.2% | 14.2% |
| Total Return | 23.1% | 446.1% | 0.9% | 598.5% |
| Sharpe | 0.23 | 1.60 | 0.12 | 0.63 |
| Sortino | 0.17 | 1.50 | 0.08 | 0.50 |
| Calmar | 0.07 | 3.52 | 0.01 | 0.36 |
| Volatility | 20.3% | 40.4% | 22.0% | 26.1% |
| Max DD | -39.6% | -21.6% | -32.0% | -39.7% |
| Win Rate | 44.4% | 42.3% | 35.7% | 43.6% |
| Avg Win | 3.2% | 21.8% | 9.3% | 6.1% |
| Avg Loss | -2.3% | -2.7% | -4.5% | -2.5% |
| Payoff | 1.40 | 8.20 | 2.06 | 2.42 |
| Expectancy | 0.2% | 7.7% | 0.4% | 1.2% |
| Profit Factor | 1.12 | 6.01 | 1.15 | 1.87 |
| Trades | 162 | 26 | 14 | 202 |
| Avg Holding Days | 2.7 | 9.7 | 12.1 | 4.3 |
| Turnover | 40.7 | 17.3 | 7.6 | 27.5 |
| Exposure | 14.2% | 29.8% | 16.6% | 18.0% |
Growth of $100
MACDMomentum_V0195 vs TSLA Buy & Hold
MACDMomentum_V0195 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 | -8.5% | -1.44 | -9.6% | 7 |
| 2017 | 3.1% | 0.26 | -8.9% | 27 |
| 2018 | -14.1% | -0.83 | -20.8% | 5 |
| 2019 | 9.2% | 0.59 | -13.1% | 5 |
| 2020 | 297.7% | 2.65 | -21.1% | 16 |
| 2021 | 29.0% | 1.00 | -16.8% | 7 |
| 2022 | -6.9% | -0.30 | -17.6% | 3 |
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 | 29.4% | 0.74 | 36% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 25.6% | 0.90 | 16% |
| hidden test | LOW VOLATILITY | 429 | 5.7% | 0.37 | 16% |
| hidden test | MEDIUM VOLATILITY | 248 | -26.1% | -1.10 | 19% |
| hidden test | NORMAL | 800 | -7.6% | -0.45 | 14% |
| hidden test | SIDEWAYS | 293 | -16.2% | -0.84 | 19% |
| hidden test | UPTREND | 371 | 19.4% | 0.64 | 27% |
| train | DOWNTREND | 518 | -0.1% | -0.99 | 0% |
| train | EXPENSIVE | 311 | 26.2% | 1.17 | 33% |
| train | EXTREME | 100 | 125.3% | 2.27 | 41% |
| train | HIGH VOLATILITY | 699 | 5.2% | 0.18 | 16% |
| train | LOW VOLATILITY | 745 | 9.3% | 0.69 | 15% |
| train | MEDIUM VOLATILITY | 568 | -2.2% | -0.15 | 11% |
| train | NORMAL | 1,601 | -7.1% | -0.47 | 9% |
| train | SIDEWAYS | 592 | -6.7% | -0.48 | 11% |
| train | UPTREND | 902 | 14.7% | 0.52 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 74.6% | 1.93 | 36% |
| validation | EXTREME | 144 | 228.4% | 3.24 | 60% |
| validation | HIGH VOLATILITY | 258 | 78.8% | 1.45 | 28% |
| validation | LOW VOLATILITY | 183 | 25.4% | 1.64 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 75.8% | 2.05 | 33% |
| validation | NORMAL | 474 | 12.0% | 0.48 | 19% |
| validation | SIDEWAYS | 206 | 6.8% | 0.29 | 19% |
| validation | UPTREND | 425 | 111.7% | 2.18 | 44% |
Trades (full period)
latest 100 of 202
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-17 | 2025-10-06 | $425.86 | $453.25 | 1.74% | 14 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-29 | $221.10 | $206.28 | -7.80% | 8 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -2.60% | 19 | |
| 2023-10-06 | 2023-10-16 | $260.53 | $253.92 | -3.63% | 7 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-06 | $259.19 | $260.92 | -1.56% | 7 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-06-24 | 2021-07-09 | $226.61 | $218.98 | -0.77% | 11 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-05 | 2021-01-22 | $245.04 | $282.21 | 15.56% | 13 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 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 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-02 | 2020-07-24 | $80.58 | $94.47 | 34.88% | 16 | |
| 2020-06-24 | 2020-06-25 | $64.06 | $65.73 | -4.28% | 2 | |
| 2020-06-09 | 2020-06-23 | $62.71 | $66.79 | 4.46% | 11 | |
| 2020-06-05 | 2020-06-08 | $59.04 | $63.33 | 2.26% | 2 | |
| 2020-06-03 | 2020-06-04 | $58.86 | $57.63 | -0.04% | 2 | |
| 2020-05-13 | 2020-05-14 | $52.73 | $53.56 | -2.48% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-05-07 | 2020-05-08 | $52.00 | $54.63 | -0.52% | 2 | |
| 2020-04-14 | 2020-05-06 | $47.33 | $52.17 | 17.79% | 17 | |
| 2020-01-31 | 2020-02-25 | $43.37 | $53.33 | 29.86% | 17 | |
| 2019-12-18 | 2020-01-30 | $26.21 | $42.72 | 53.00% | 29 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 6.24% | 2 | |
| 2019-11-20 | 2019-11-21 | $23.48 | $23.66 | -2.23% | 2 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.82% | 2 | |
| 2019-11-06 | 2019-11-15 | $21.77 | $23.48 | 9.91% | 8 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-17 | 2018-12-18 | $23.23 | $22.47 | -4.92% | 2 | |
| 2018-12-13 | 2018-12-14 | $25.12 | $24.38 | 2.58% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.24% | 2 | |
| 2018-08-17 | 2018-08-20 | $20.37 | $20.56 | -9.12% | 2 | |
| 2018-08-03 | 2018-08-16 | $23.21 | $22.36 | -3.30% | 10 | |
| 2017-12-12 | 2017-12-22 | $22.74 | $21.68 | 0.64% | 9 | |
| 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 | |
| 2017-09-14 | 2017-09-22 | $25.18 | $23.41 | -0.13% | 7 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.46% | 2 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | 1.19% | 11 | |
| 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 | |
| 2017-06-23 | 2017-06-26 | $25.56 | $25.17 | 0.02% | 2 | |
| 2017-06-21 | 2017-06-22 | $25.09 | $25.51 | 0.92% | 2 | |
| 2017-06-02 | 2017-06-20 | $22.66 | $24.82 | 8.43% | 13 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 1.56% | 2 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-04-18 | 2017-04-19 | $20.02 | $20.37 | -0.59% | 2 | |
| 2017-03-29 | 2017-04-17 | $18.49 | $20.10 | 9.35% | 13 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 2017-03-23 | 2017-03-24 | $16.99 | $17.54 | -0.29% | 2 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -4.49% | 2 | |
| 2017-03-17 | 2017-03-20 | $17.43 | $17.46 | -0.41% | 2 | |
| 2017-02-21 | 2017-02-22 | $18.49 | $18.23 | 1.69% | 2 | |
| 2017-02-16 | 2017-02-17 | $17.93 | $18.15 | -4.06% | 2 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.27% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.45% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.82% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -2.23% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.73% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-07-22 | 2016-07-25 | $14.82 | $15.33 | 0.60% | 2 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2015-09-25 | 2015-09-28 | $17.13 | $16.56 | -2.56% | 2 | |
| 2015-09-16 | 2015-09-24 | $17.48 | $17.54 | 2.75% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-07 | 2015-07-08 | $17.86 | $17.00 | -4.43% | 2 | |
| 2015-07-02 | 2015-07-06 | $18.67 | $18.65 | 3.83% | 2 | |
| 2015-06-30 | 2015-07-01 | $17.88 | $17.94 | 2.18% | 2 | |
| 2015-06-26 | 2015-06-29 | $17.81 | $17.47 | -0.83% | 2 | |
| 2015-06-24 | 2015-06-25 | $17.68 | $17.92 | -1.13% | 2 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -1.24% | 2 | |
| 2014-11-28 | 2014-12-01 | $16.30 | $15.44 | -1.78% | 2 | |
| 2014-11-25 | 2014-11-26 | $16.54 | $16.56 | 0.35% | 2 | |
| 2014-11-21 | 2014-11-24 | $16.19 | $16.45 | -2.58% | 2 | |
| 2014-11-12 | 2014-11-20 | $16.61 | $16.58 | -1.53% | 7 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.31% | 2 | |
| 2014-09-10 | 2014-09-11 | $18.74 | $18.69 | 0.74% | 2 | |
| 2014-09-08 | 2014-09-09 | $18.81 | $18.57 | 1.50% | 2 |