Strategy Zoo / S0217
MACDMomentum_V0217
ARCHIVEDhybridstructuraladded exit filter: momentum_60 < 0.0199
Fitness
0.5449
Generation
10
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
entry = MACDMomentum_V0005 AND SMACross_50_200_V0006
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0217 [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 < 0.0 or momentum_60 < 0.0199):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.0% | 74.7% | -2.2% | 17.6% |
| Total Return | 114.8% | 433.2% | -8.1% | 984.0% |
| Sharpe | 0.51 | 1.59 | -0.00 | 0.72 |
| Sortino | 0.39 | 1.54 | -0.00 | 0.57 |
| Calmar | 0.25 | 2.52 | -0.06 | 0.30 |
| Volatility | 24.9% | 40.1% | 21.0% | 27.9% |
| Max DD | -40.9% | -29.6% | -40.1% | -57.8% |
| Win Rate | 45.6% | 47.4% | 41.4% | 45.2% |
| Avg Win | 7.8% | 14.7% | 4.8% | 9.7% |
| Avg Loss | -3.6% | -2.7% | -3.5% | -3.3% |
| Payoff | 2.19 | 5.53 | 1.35 | 2.91 |
| Expectancy | 1.6% | 5.5% | -0.1% | 2.6% |
| Profit Factor | 1.83 | 4.98 | 0.96 | 2.40 |
| Trades | 79 | 38 | 29 | 146 |
| Avg Holding Days | 5.7 | 6.7 | 5.7 | 6.1 |
| Turnover | 19.9 | 25.3 | 15.7 | 19.9 |
| Exposure | 19.2% | 28.8% | 14.7% | 20.1% |
Growth of $100
MACDMomentum_V0217 vs TSLA Buy & Hold
MACDMomentum_V0217 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 | -8.8% | -1.35 | -10.0% | 5 |
| 2017 | 10.0% | 0.58 | -14.8% | 15 |
| 2018 | -17.0% | -1.01 | -23.4% | 2 |
| 2019 | 13.0% | 0.77 | -13.1% | 2 |
| 2020 | 384.3% | 2.94 | -23.1% | 13 |
| 2021 | 30.2% | 1.06 | -16.8% | 16 |
| 2022 | -26.1% | -2.23 | -26.0% | 9 |
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 | 3.2% | 0.22 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | -32.1% | -1.51 | 17% |
| hidden test | NORMAL | 800 | -10.8% | -0.71 | 11% |
| hidden test | SIDEWAYS | 293 | -28.0% | -1.81 | 13% |
| hidden test | UPTREND | 371 | 21.9% | 0.72 | 27% |
| train | DOWNTREND | 518 | -0.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 28.1% | 0.87 | 45% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 26.2% | 0.74 | 22% |
| train | LOW VOLATILITY | 745 | 11.3% | 0.70 | 21% |
| train | MEDIUM VOLATILITY | 568 | -2.5% | -0.13 | 13% |
| train | NORMAL | 1,601 | -7.6% | -0.47 | 11% |
| train | SIDEWAYS | 592 | -3.3% | -0.26 | 8% |
| train | UPTREND | 902 | 30.3% | 0.85 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 70.4% | 1.82 | 37% |
| validation | EXTREME | 144 | 268.5% | 3.75 | 63% |
| validation | HIGH VOLATILITY | 258 | 95.0% | 1.73 | 28% |
| validation | LOW VOLATILITY | 183 | 31.9% | 1.83 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 56.6% | 1.63 | 31% |
| validation | NORMAL | 474 | -0.5% | -0.02 | 16% |
| validation | SIDEWAYS | 206 | 6.7% | 0.44 | 12% |
| validation | UPTREND | 425 | 110.1% | 2.11 | 45% |
Trades (full period)
latest 100 of 146
| 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 | 2024-10-03 | $210.73 | $240.66 | 7.96% | 20 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2023-12-22 | 2024-01-02 | $252.54 | $248.42 | -2.56% | 6 | |
| 2023-12-19 | 2023-12-21 | $257.22 | $254.50 | -2.15% | 3 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 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 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.91% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.76% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.32% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-09-20 | 2023-09-25 | $262.59 | $246.99 | -8.30% | 4 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-12 | 2023-09-15 | $267.48 | $274.39 | 0.70% | 4 | |
| 2023-08-30 | 2023-09-08 | $256.90 | $248.50 | -2.41% | 7 | |
| 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 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -8.89% | 3 | |
| 2022-04-01 | 2022-04-04 | $361.53 | $381.82 | 0.45% | 2 | |
| 2022-03-29 | 2022-03-31 | $366.52 | $359.20 | -0.00% | 3 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 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 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-07-08 | 2021-07-09 | $217.60 | $218.98 | 1.06% | 2 | |
| 2021-07-06 | 2021-07-07 | $219.86 | $214.88 | -3.04% | 2 | |
| 2021-07-01 | 2021-07-02 | $225.97 | $226.30 | -0.46% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.35% | 2 | |
| 2021-06-24 | 2021-06-28 | $226.61 | $229.57 | 2.13% | 3 | |
| 2021-04-28 | 2021-04-29 | $231.47 | $225.67 | -1.67% | 2 | |
| 2021-04-26 | 2021-04-27 | $246.07 | $234.91 | 1.01% | 2 | |
| 2021-04-22 | 2021-04-23 | $239.90 | $243.13 | -3.48% | 2 | |
| 2021-04-20 | 2021-04-21 | $239.66 | $248.04 | 0.41% | 2 | |
| 2021-04-16 | 2021-04-19 | $246.59 | $238.21 | -0.07% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 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 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 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 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-05-13 | 2020-05-14 | $52.73 | $53.56 | -2.48% | 2 | |
| 2020-05-08 | 2020-05-12 | $54.63 | $53.96 | 3.80% | 3 | |
| 2020-05-06 | 2020-05-07 | $52.17 | $52.00 | 1.67% | 2 | |
| 2020-05-04 | 2020-05-05 | $50.75 | $51.21 | 8.33% | 2 | |
| 2020-04-14 | 2020-05-01 | $47.33 | $46.75 | 19.88% | 14 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-11-06 | 2019-11-21 | $21.77 | $23.66 | 10.81% | 12 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 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 | 2017-12-13 | $22.74 | $22.60 | 3.48% | 2 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-22 | 2017-09-25 | $23.41 | $23.00 | -4.40% | 2 | |
| 2017-09-20 | 2017-09-21 | $24.93 | $24.43 | -0.52% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-09-14 | 2017-09-15 | $25.18 | $25.32 | 2.91% | 2 | |
| 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 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.27% | 2 | |
| 2016-08-01 | 2016-08-09 | $15.33 | $15.27 | -3.87% | 7 | |
| 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 | |
| 2015-09-28 | 2015-09-29 | $16.56 | $16.44 | -3.50% | 2 | |
| 2015-09-24 | 2015-09-25 | $17.54 | $17.13 | 0.59% | 2 | |
| 2015-09-22 | 2015-09-23 | $17.40 | $17.40 | -1.43% | 2 | |
| 2015-09-18 | 2015-09-21 | $17.37 | $17.61 | -0.75% | 2 | |
| 2015-09-16 | 2015-09-17 | $17.48 | $17.47 | 3.22% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 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 |