Strategy Zoo / S0237
MACDMomentum_V0237
ARCHIVEDhybridstructuralrestricted to trend regimes ['UPTREND', 'DOWNTREND']; added entry filter: rsi_14 > 65.6927
Fitness
0.4569
Generation
11
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
replaced exit rule with: sma_200 > sma_50
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0237 [hybrid]
require regime.trend in ['UPTREND', 'DOWNTREND']
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and rsi_14 > 65.6927):
position = 1.0
if long and sma_200 > sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.2% | 45.4% | 6.6% | 20.9% |
| Total Return | 305.8% | 207.5% | 26.5% | 1525.4% |
| Sharpe | 0.73 | 0.95 | 0.37 | 0.70 |
| Sortino | 0.64 | 0.94 | 0.32 | 0.61 |
| Calmar | 0.39 | 0.73 | 0.19 | 0.34 |
| Volatility | 30.5% | 55.7% | 26.1% | 36.2% |
| Max DD | -48.8% | -62.0% | -34.8% | -62.0% |
| Win Rate | 36.4% | 66.7% | 50.0% | 52.4% |
| Avg Win | 88.5% | 54.1% | 15.8% | 56.0% |
| Avg Loss | -9.5% | -19.9% | -2.5% | -9.5% |
| Payoff | 9.34 | 2.71 | 6.39 | 5.89 |
| Expectancy | 26.1% | 29.4% | 6.6% | 24.8% |
| Profit Factor | 5.33 | 5.43 | 6.39 | 6.48 |
| Trades | 11 | 6 | 4 | 21 |
| Avg Holding Days | 58.9 | 61.8 | 53.8 | 60.6 |
| Turnover | 2.9 | 4.0 | 2.2 | 2.9 |
| Exposure | 33.5% | 48.3% | 22.7% | 33.8% |
Growth of $100
MACDMomentum_V0237 vs TSLA Buy & Hold
MACDMomentum_V0237 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 24.0% | 0.86 | -19.5% | 2 |
| 2018 | -37.3% | -2.87 | -37.2% | 2 |
| 2019 | 31.7% | 2.05 | -8.5% | 0 |
| 2020 | 216.9% | 1.84 | -62.0% | 3 |
| 2021 | 29.8% | 0.79 | -36.2% | 1 |
| 2022 | -36.9% | -2.07 | -36.8% | 2 |
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 | -3.4% | -0.06 | 83% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 32.3% | 1.04 | 21% |
| hidden test | LOW VOLATILITY | 429 | 12.8% | 0.68 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -18.6% | -0.60 | 29% |
| hidden test | NORMAL | 800 | 0.6% | 0.04 | 12% |
| hidden test | SIDEWAYS | 293 | -8.9% | -1.37 | 1% |
| hidden test | UPTREND | 371 | 31.5% | 0.77 | 56% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 48.0% | 1.05 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 40.9% | 1.05 | 31% |
| train | LOW VOLATILITY | 745 | 24.3% | 1.16 | 34% |
| train | MEDIUM VOLATILITY | 568 | -3.8% | -0.13 | 36% |
| train | NORMAL | 1,601 | -7.5% | -0.38 | 20% |
| train | SIDEWAYS | 592 | -5.5% | -0.55 | 2% |
| train | UPTREND | 902 | 52.9% | 1.18 | 74% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -8.0% | -0.12 | 85% |
| validation | EXTREME | 144 | 321.1% | 3.80 | 83% |
| validation | HIGH VOLATILITY | 258 | 78.3% | 1.00 | 53% |
| validation | LOW VOLATILITY | 183 | 36.8% | 1.62 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 41.7% | 0.91 | 52% |
| validation | NORMAL | 474 | -10.7% | -0.29 | 27% |
| validation | SIDEWAYS | 206 | -41.2% | -1.75 | 3% |
| validation | UPTREND | 425 | 114.2% | 1.58 | 84% |
Trades (full period)
21 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-01-13 | $425.86 | $447.20 | 6.27% | 82 | |
| 2024-10-28 | 2025-02-24 | $262.51 | $330.53 | 25.23% | 80 | |
| 2024-09-25 | 2024-09-27 | $257.02 | $260.46 | -0.22% | 3 | |
| 2023-06-26 | 2023-09-05 | $241.05 | $256.49 | -4.71% | 50 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-09-08 | 2022-01-20 | $251.29 | $332.09 | 31.97% | 94 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 38.82% | 80 | |
| 2020-06-03 | 2020-11-13 | $58.86 | $136.17 | 133.07% | 116 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-11-06 | 2020-03-19 | $21.77 | $28.51 | 13.65% | 92 | |
| 2018-12-14 | 2018-12-26 | $24.38 | $21.74 | -21.76% | 8 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-02-01 | 2017-08-24 | $16.62 | $23.53 | 39.75% | 143 | |
| 2015-06-22 | 2015-08-18 | $17.32 | $17.38 | -3.06% | 41 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 2.30% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 10.71% | 73 | |
| 2013-01-24 | 2013-11-12 | $2.47 | $9.19 | 301.15% | 204 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | -5.33% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |