Strategy Zoo / S0215
MACDMomentum_V0215
ARCHIVEDhybridparameterchanged ret_20d threshold -0.03 -> 0.0214
Fitness
0.6018
Generation
10
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry from MACDMomentum_V0130, exit from LongTermTrend_V0103
Children (1)
Strategy Logic (pseudocode)
# MACDMomentum_V0215 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200):
position = 1.0
if long and ret_20d < 0.0214:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.8% | 90.4% | -3.9% | 22.6% |
| Total Return | 222.0% | 590.4% | -13.5% | 1878.6% |
| Sharpe | 0.66 | 1.58 | -0.03 | 0.79 |
| Sortino | 0.57 | 1.55 | -0.02 | 0.67 |
| Calmar | 0.29 | 2.56 | -0.08 | 0.39 |
| Volatility | 28.1% | 47.9% | 25.0% | 32.6% |
| Max DD | -54.5% | -35.3% | -46.7% | -57.5% |
| Win Rate | 37.5% | 50.0% | 20.0% | 34.8% |
| Avg Win | 17.7% | 39.1% | 13.6% | 23.7% |
| Avg Loss | -4.1% | -5.7% | -3.3% | -4.1% |
| Payoff | 4.29 | 6.91 | 4.09 | 5.83 |
| Expectancy | 4.0% | 16.7% | 0.1% | 5.6% |
| Profit Factor | 2.57 | 6.91 | 1.02 | 3.12 |
| Trades | 48 | 16 | 25 | 89 |
| Avg Holding Days | 12.1 | 21.7 | 8.7 | 13.0 |
| Turnover | 12.1 | 10.7 | 13.5 | 12.1 |
| Exposure | 27.1% | 43.8% | 20.7% | 29.0% |
Growth of $100
MACDMomentum_V0215 vs TSLA Buy & Hold
MACDMomentum_V0215 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 | -5.3% | -0.63 | -8.7% | 2 |
| 2017 | -9.5% | -0.31 | -23.2% | 16 |
| 2018 | -17.0% | -1.01 | -23.4% | 2 |
| 2019 | 6.9% | 0.46 | -13.2% | 4 |
| 2020 | 453.4% | 2.74 | -33.7% | 6 |
| 2021 | 47.4% | 1.31 | -17.6% | 7 |
| 2022 | -18.8% | -0.88 | -24.6% | 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 | 24.5% | 0.52 | 52% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 34.6% | 1.06 | 19% |
| hidden test | LOW VOLATILITY | 429 | 6.9% | 0.40 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -50.5% | -1.86 | 23% |
| hidden test | NORMAL | 800 | -14.5% | -0.83 | 15% |
| hidden test | SIDEWAYS | 293 | -22.3% | -1.64 | 17% |
| hidden test | UPTREND | 371 | 15.5% | 0.41 | 38% |
| train | DOWNTREND | 518 | -4.8% | -1.12 | 1% |
| train | EXPENSIVE | 311 | 55.3% | 1.49 | 64% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 55.9% | 1.49 | 28% |
| train | LOW VOLATILITY | 745 | 13.6% | 0.67 | 31% |
| train | MEDIUM VOLATILITY | 568 | -21.0% | -0.92 | 21% |
| train | NORMAL | 1,601 | -11.2% | -0.59 | 16% |
| train | SIDEWAYS | 592 | 1.9% | 0.10 | 18% |
| train | UPTREND | 902 | 42.8% | 1.10 | 48% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 80.6% | 1.45 | 55% |
| validation | EXTREME | 144 | 307.9% | 3.77 | 90% |
| validation | HIGH VOLATILITY | 258 | 75.7% | 1.14 | 46% |
| validation | LOW VOLATILITY | 183 | 48.7% | 2.45 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 91.8% | 2.22 | 46% |
| validation | NORMAL | 474 | 4.1% | 0.16 | 27% |
| validation | SIDEWAYS | 206 | 1.6% | 0.06 | 27% |
| validation | UPTREND | 425 | 134.2% | 2.20 | 65% |
Trades (full period)
89 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-11 | 2026-01-05 | $446.89 | $451.67 | -3.16% | 16 | |
| 2025-12-08 | 2025-12-10 | $439.58 | $451.45 | -2.36% | 3 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-04 | 2025-11-13 | $444.26 | $401.99 | -8.25% | 8 | |
| 2025-09-17 | 2025-10-15 | $425.86 | $435.15 | 1.60% | 21 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2024-11-05 | 2025-01-08 | $251.44 | $394.94 | 62.08% | 44 | |
| 2024-10-30 | 2024-11-04 | $257.55 | $242.84 | -4.25% | 4 | |
| 2024-10-25 | 2024-10-29 | $269.19 | $259.52 | 0.58% | 3 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 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 | |
| 2023-12-15 | 2024-01-04 | $253.50 | $237.93 | -5.21% | 13 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 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 | |
| 2023-06-26 | 2023-07-21 | $241.05 | $260.02 | 2.24% | 19 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-09-14 | 2021-11-29 | $248.16 | $379.00 | 45.32% | 54 | |
| 2021-08-31 | 2021-09-13 | $245.24 | $247.67 | 0.53% | 9 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-19 | $153.77 | $143.61 | -1.76% | 4 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-06-03 | 2020-08-10 | $58.86 | $94.57 | 64.46% | 48 | |
| 2020-04-14 | 2020-05-29 | $47.33 | $55.67 | 23.55% | 33 | |
| 2019-12-16 | 2020-03-04 | $25.43 | $49.97 | 107.61% | 54 | |
| 2019-11-06 | 2019-11-25 | $21.77 | $22.42 | 4.78% | 14 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2019-01-16 | 2019-01-17 | $23.07 | $23.15 | 0.27% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 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 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.46% | 2 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 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 | |
| 2017-05-31 | 2017-07-05 | $22.73 | $21.81 | 5.02% | 25 | |
| 2017-05-15 | 2017-05-18 | $21.06 | $20.87 | -5.95% | 4 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 12.05% | 29 | |
| 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 | |
| 2017-02-01 | 2017-02-24 | $16.62 | $17.13 | 1.41% | 17 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-20 | $15.70 | $14.65 | -7.45% | 9 | |
| 2015-09-18 | 2015-09-29 | $17.37 | $16.44 | -5.39% | 8 | |
| 2015-09-16 | 2015-09-17 | $17.48 | $17.47 | 3.22% | 2 | |
| 2015-07-21 | 2015-07-23 | $17.78 | $17.81 | -5.29% | 3 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.31% | 2 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-07-31 | 2014-08-01 | $14.89 | $15.55 | -2.65% | 2 | |
| 2014-06-06 | 2014-07-16 | $13.88 | $14.48 | 5.92% | 28 | |
| 2014-05-30 | 2014-06-02 | $13.85 | $13.65 | -1.37% | 2 | |
| 2014-05-28 | 2014-05-29 | $14.02 | $14.02 | -0.82% | 2 | |
| 2014-01-15 | 2014-03-25 | $10.94 | $14.70 | 36.25% | 48 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 169.93% | 64 | |
| 2013-03-14 | 2013-03-15 | $2.46 | $2.35 | -5.66% | 2 | |
| 2013-03-12 | 2013-03-13 | $2.61 | $2.60 | -0.15% | 2 | |
| 2013-03-08 | 2013-03-11 | $2.56 | $2.61 | 0.43% | 2 | |
| 2013-01-23 | 2013-02-22 | $2.40 | $2.41 | -0.28% | 22 | |
| 2012-06-28 | 2012-07-19 | $2.09 | $2.15 | 0.39% | 15 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -0.92% | 7 | |
| 2012-03-28 | 2012-04-10 | $2.52 | $2.16 | -12.80% | 9 | |
| 2012-02-02 | 2012-03-20 | $2.02 | $2.33 | 18.02% | 33 | |
| 2012-01-31 | 2012-02-01 | $1.94 | $1.97 | -1.89% | 2 |