Strategy Zoo / S0207
MACDMomentum_V0207
ARCHIVEDmomentumstructuraladded exit filter: vol_20 > 0.739; changed vol_20 threshold 0.739 -> 0.4967
Fitness
0.3632
Generation
10
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0207 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and (macd_hist < 0.0 or vol_20 > 0.4967):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.1% | 35.5% | 9.0% | 11.4% |
| Total Return | 38.0% | 148.6% | 37.4% | 385.4% |
| Sharpe | 0.28 | 1.15 | 0.45 | 0.53 |
| Sortino | 0.24 | 1.20 | 0.41 | 0.48 |
| Calmar | 0.08 | 1.08 | 0.22 | 0.23 |
| Volatility | 26.0% | 30.4% | 27.9% | 27.5% |
| Max DD | -48.5% | -32.7% | -41.0% | -48.5% |
| Win Rate | 45.7% | 47.7% | 42.9% | 45.5% |
| Avg Win | 4.9% | 5.3% | 5.3% | 5.3% |
| Avg Loss | -3.6% | -2.8% | -3.1% | -3.3% |
| Payoff | 1.35 | 1.88 | 1.71 | 1.62 |
| Expectancy | 0.3% | 1.1% | 0.5% | 0.6% |
| Profit Factor | 1.14 | 1.71 | 1.28 | 1.35 |
| Trades | 164 | 109 | 105 | 378 |
| Avg Holding Days | 4.8 | 2.7 | 3.2 | 3.8 |
| Turnover | 41.2 | 72.7 | 57.1 | 51.6 |
| Exposure | 31.1% | 24.6% | 25.3% | 28.4% |
Growth of $100
MACDMomentum_V0207 vs TSLA Buy & Hold
MACDMomentum_V0207 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 | 23.6% | 1.34 | -12.2% | 6 |
| 2017 | 16.2% | 0.79 | -19.9% | 11 |
| 2018 | -10.2% | -0.30 | -19.3% | 25 |
| 2019 | 6.7% | 0.36 | -29.1% | 17 |
| 2020 | 137.1% | 2.37 | -18.3% | 60 |
| 2021 | 9.5% | 0.47 | -23.3% | 25 |
| 2022 | -4.6% | -0.13 | -20.8% | 24 |
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 | 10.9% | 0.55 | 15% |
| hidden test | EXPENSIVE | 83 | 121.7% | 2.85 | 34% |
| hidden test | EXTREME | 48 | 48.2% | 1.27 | 23% |
| hidden test | HIGH VOLATILITY | 254 | -5.4% | -0.16 | 20% |
| hidden test | LOW VOLATILITY | 429 | 45.5% | 1.82 | 33% |
| hidden test | MEDIUM VOLATILITY | 248 | -26.4% | -1.09 | 17% |
| hidden test | NORMAL | 800 | -1.0% | -0.04 | 25% |
| hidden test | SIDEWAYS | 293 | -18.6% | -0.73 | 32% |
| hidden test | UPTREND | 371 | 38.1% | 1.12 | 27% |
| train | DOWNTREND | 518 | -11.3% | -0.64 | 17% |
| train | EXPENSIVE | 311 | 17.4% | 0.60 | 43% |
| train | EXTREME | 100 | 111.9% | 2.94 | 44% |
| train | HIGH VOLATILITY | 699 | -5.7% | -0.18 | 22% |
| train | LOW VOLATILITY | 745 | 31.2% | 1.47 | 43% |
| train | MEDIUM VOLATILITY | 568 | -7.6% | -0.31 | 26% |
| train | NORMAL | 1,601 | -1.0% | -0.04 | 28% |
| train | SIDEWAYS | 592 | 5.8% | 0.24 | 31% |
| train | UPTREND | 902 | 19.3% | 0.62 | 39% |
| validation | DOWNTREND | 125 | 29.7% | 1.43 | 5% |
| validation | EXPENSIVE | 138 | 43.8% | 1.30 | 25% |
| validation | EXTREME | 144 | 121.0% | 2.77 | 35% |
| validation | HIGH VOLATILITY | 258 | 11.8% | 0.36 | 15% |
| validation | LOW VOLATILITY | 183 | 19.0% | 0.87 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 63.0% | 1.94 | 23% |
| validation | NORMAL | 474 | 6.1% | 0.26 | 22% |
| validation | SIDEWAYS | 206 | -1.4% | -0.08 | 17% |
| validation | UPTREND | 425 | 54.0% | 1.46 | 34% |
Trades (full period)
latest 100 of 379
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.40 | — | -0.86% | 1 | OPEN |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-01 | 2026-09-08 | $356.09 | $368.16 | -3.97% | 5 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 6.55% | 14 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 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 | |
| 2025-09-08 | 2025-10-03 | $346.40 | $429.83 | 24.02% | 20 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-25 | $332.56 | $316.06 | -8.26% | 3 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-29 | 2025-06-02 | $358.43 | $342.69 | -3.12% | 3 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-13 | 2024-12-19 | $436.23 | $436.17 | 5.06% | 5 | |
| 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 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 14.54% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.66% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 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 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 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 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-06-17 | 2024-07-03 | $187.44 | $246.39 | 29.66% | 12 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.96% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-08 | 2024-05-09 | $174.72 | $171.97 | -1.94% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-10-10 | 2023-10-17 | $263.62 | $254.85 | -2.41% | 6 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -5.26% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.31% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-04-04 | 2023-04-05 | $192.58 | $185.52 | -1.32% | 2 | |
| 2023-03-30 | 2023-04-03 | $195.28 | $194.77 | 6.79% | 3 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 |