Strategy Zoo / S0284

MACDMomentum_V0284

ARCHIVEDhybrid

structuraladded entry filter: dist_52w_high < -0.0952

Fitness

0.2122

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0101S0101 · gen 5ARCHIVEDstructural

entry = MACDMomentum_V0005 AND SMACross_50_200_V0006

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0284  [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and dist_52w_high < -0.0952):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.2%	14.2%	2.1%	3.4%
Total Return	1.9%	49.0%	7.8%	63.7%
Sharpe	0.08	0.64	0.20	0.28
Sortino	0.04	0.46	0.12	0.16
Calmar	0.01	0.69	0.07	0.09
Volatility	12.1%	26.0%	19.6%	17.7%
Max DD	-31.1%	-20.5%	-29.1%	-36.2%
Win Rate	40.0%	33.3%	36.4%	36.6%
Avg Win	9.2%	17.6%	11.2%	12.5%
Avg Loss	-5.4%	-3.7%	-4.4%	-4.5%
Payoff	1.70	4.74	2.55	2.79
Expectancy	0.4%	3.4%	1.3%	1.7%
Profit Factor	1.13	2.37	1.45	1.61
Trades	15	15	11	41
Avg Holding Days	13.1	10.0	12.1	11.7
Turnover	3.8	10.0	6.0	5.6
Exposure	9.0%	17.9%	13.1%	11.9%

Growth of $100

MACDMomentum_V0284 vs TSLA Buy & Hold

MACDMomentum_V0284 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	-4.3%	-0.51	-8.7%	2
2017	-10.4%	-1.41	-10.6%	2
2018	-12.5%	-0.77	-19.6%	1
2019	10.8%	1.70	-2.1%	1
2020	58.4%	1.45	-17.5%	6
2021	-11.3%	-0.84	-11.8%	6
2022	-6.9%	-0.30	-17.6%	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	59.2%	1.58	28%
hidden test	EXTREME	48	80.3%	2.66	15%
hidden test	HIGH VOLATILITY	254	35.6%	1.29	12%
hidden test	LOW VOLATILITY	429	-3.2%	-0.27	12%
hidden test	MEDIUM VOLATILITY	248	-16.1%	-0.79	16%
hidden test	NORMAL	800	-6.4%	-0.41	12%
hidden test	SIDEWAYS	293	-14.5%	-0.75	20%
hidden test	UPTREND	371	21.3%	0.82	17%
train	DOWNTREND	518	-2.2%	-1.03	0%
train	EXPENSIVE	311	6.0%	0.46	11%
train	EXTREME	100	-13.8%	-1.62	1%
train	HIGH VOLATILITY	699	2.2%	0.14	9%
train	LOW VOLATILITY	745	6.9%	0.64	11%
train	MEDIUM VOLATILITY	568	-8.4%	-0.94	6%
train	NORMAL	1,601	0.9%	0.07	9%
train	SIDEWAYS	592	2.1%	0.13	17%
train	UPTREND	902	2.0%	0.17	9%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	35.0%	1.31	17%
validation	EXTREME	144	58.7%	1.45	27%
validation	HIGH VOLATILITY	258	23.0%	0.67	17%
validation	LOW VOLATILITY	183	-6.6%	-0.64	19%
validation	MEDIUM VOLATILITY	315	24.9%	1.02	18%
validation	NORMAL	474	-1.6%	-0.08	15%
validation	SIDEWAYS	206	16.5%	0.68	21%
validation	UPTREND	425	21.5%	0.71	22%

Trades (full period)

41 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
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
2024-12-23	2024-12-24	$430.60	$462.28	2.06%	2
2024-11-05	2024-11-29	$251.44	$345.16	36.81%	18
2024-09-06	2024-10-04	$210.73	$250.08	4.34%	21
2024-08-20	2024-08-30	$221.10	$214.11	-7.57%	9
2023-12-15	2024-01-02	$253.50	$248.42	-1.22%	11
2023-11-16	2023-12-14	$233.59	$251.05	-1.66%	20
2023-10-06	2023-10-17	$260.53	$254.85	-2.55%	8
2023-08-30	2023-09-25	$256.90	$246.99	-4.97%	18
2023-06-26	2023-06-27	$241.05	$250.21	-6.25%	2
2022-03-21	2022-04-11	$307.05	$325.31	13.04%	16
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
2021-11-10	2021-11-11	$355.98	$354.50	4.14%	2
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
2021-06-24	2021-07-12	$226.61	$228.57	-0.14%	12
2021-04-14	2021-04-29	$244.08	$225.67	-9.10%	12
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
2020-09-03	2020-09-08	$135.67	$110.07	-6.69%	3
2020-04-14	2020-05-14	$47.33	$53.56	21.28%	23
2020-02-06	2020-02-26	$49.93	$51.92	8.66%	14
2019-11-06	2019-11-21	$21.77	$23.66	10.81%	12
2018-08-06	2018-08-20	$22.80	$20.56	-12.43%	11
2017-12-12	2017-12-27	$22.74	$20.78	-3.72%	11
2017-07-25	2017-08-02	$22.64	$21.73	-6.89%	7
2016-07-22	2016-08-09	$14.82	$15.27	2.36%	13
2016-06-08	2016-06-16	$15.70	$14.53	-6.49%	7
2015-09-16	2015-09-30	$17.48	$16.56	-2.92%	11
2014-11-12	2014-12-01	$16.61	$15.44	-2.81%	13
2014-07-31	2014-08-25	$14.89	$17.50	11.94%	18
2014-05-28	2014-07-07	$14.02	$14.84	8.14%	28
2014-01-15	2014-02-06	$10.94	$11.89	7.94%	16
2013-12-18	2014-01-10	$9.87	$9.71	-3.43%	16
2013-06-03	2013-06-04	$6.17	$6.32	-5.48%	2
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11
2012-01-31	2012-02-29	$1.94	$2.23	14.11%	21