Strategy Zoo / S0238

MACDMomentum_V0238

ARCHIVEDhybrid

structuralreplaced exit rule with: roc_20 < -24.9632; added entry filter: breakout_50 == 1

Fitness

0.4811

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0215S0215 · gen 10ARCHIVEDstructural

changed ret_20d threshold -0.03 -> 0.0214

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0238  [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and breakout_50 == 1):
    position = 1.0
if long and roc_20 < -24.9632:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.7%	73.1%	-15.8%	15.1%
Total Return	179.6%	418.4%	-47.0%	691.0%
Sharpe	0.51	1.26	-0.27	0.54
Sortino	0.66	1.38	-0.31	0.64
Calmar	0.19	1.78	-0.28	0.21
Volatility	43.6%	55.7%	37.7%	45.1%
Max DD	-72.3%	-41.1%	-55.9%	-72.3%
Win Rate	50.0%	100.0%	33.3%	60.0%
Avg Win	196.9%	109.3%	12.9%	128.6%
Avg Loss	-31.9%	0.0%	-31.4%	-31.6%
Payoff	6.18	5.00	0.41	4.07
Expectancy	82.5%	109.3%	-16.6%	64.5%
Profit Factor	6.18	5.00	0.21	6.10
Trades	4	3	3	10
Avg Holding Days	373.8	144.0	154.7	242.8
Turnover	1.1	2.0	1.6	1.4
Exposure	75.9%	56.7%	49.5%	65.4%

Growth of $100

MACDMomentum_V0238 vs TSLA Buy & Hold

MACDMomentum_V0238 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	-33.9%	-2.33	-33.9%	1
2017	15.6%	0.59	-22.3%	0
2018	-20.5%	-0.27	-40.3%	1
2019	-22.8%	-0.60	-45.7%	1
2020	455.5%	2.65	-41.1%	1
2021	29.0%	0.83	-26.8%	1
2022	-39.1%	-1.02	-38.9%	1

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	-29.5%	-1.34	18%
hidden test	EXPENSIVE	83	67.3%	1.01	87%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	35.1%	0.82	27%
hidden test	LOW VOLATILITY	429	-16.3%	-0.51	60%
hidden test	MEDIUM VOLATILITY	248	-45.9%	-1.10	54%
hidden test	NORMAL	800	-29.9%	-0.97	43%
hidden test	SIDEWAYS	293	-46.1%	-1.25	59%
hidden test	UPTREND	371	32.2%	0.70	64%
train	DOWNTREND	518	-66.3%	-1.68	65%
train	EXPENSIVE	311	48.3%	1.04	87%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	35.3%	0.63	74%
train	LOW VOLATILITY	745	43.8%	1.45	75%
train	MEDIUM VOLATILITY	568	-21.9%	-0.53	80%
train	NORMAL	1,601	-7.3%	-0.18	72%
train	SIDEWAYS	592	28.3%	0.72	68%
train	UPTREND	902	69.3%	1.44	87%
validation	DOWNTREND	125	-31.7%	-1.82	7%
validation	EXPENSIVE	138	65.7%	1.03	86%
validation	EXTREME	144	314.8%	3.81	86%
validation	HIGH VOLATILITY	258	59.6%	0.81	53%
validation	LOW VOLATILITY	183	37.4%	1.63	40%
validation	MEDIUM VOLATILITY	315	98.4%	1.89	70%
validation	NORMAL	474	-2.4%	-0.06	39%
validation	SIDEWAYS	206	-7.8%	-0.20	29%
validation	UPTREND	425	138.4%	2.02	85%

Trades (full period)

10 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2026-07-29	$425.86	$298.32	-27.23%	217
2024-09-26	2025-02-27	$254.22	$281.95	12.92%	105
2023-07-06	2024-01-26	$276.54	$183.25	-35.48%	142
2021-08-31	2022-05-12	$245.24	$242.67	0.22%	177
2020-05-11	2021-03-04	$54.09	$207.15	297.77%	206
2019-11-08	2020-03-13	$22.48	$36.44	66.73%	86
2018-12-11	2019-05-23	$24.45	$13.03	-47.32%	113
2017-02-10	2018-09-06	$17.95	$18.73	4.08%	396
2014-01-22	2016-02-09	$11.90	$9.88	-16.41%	517
2012-01-04	2013-11-13	$1.85	$9.25	389.75%	469