Fitness
0.6232
Generation
13
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
replaced exit rule with: sma_200 > sma_50
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0286 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200 and vol_chg > 0.6384):
position = 1.0
if long and sma_200 > sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.2% | 92.1% | -9.0% | 25.8% |
| Total Return | 465.9% | 608.6% | -29.4% | 2815.7% |
| Sharpe | 0.76 | 1.32 | -0.07 | 0.73 |
| Sortino | 0.84 | 1.69 | -0.07 | 0.81 |
| Calmar | 0.45 | 1.52 | -0.16 | 0.43 |
| Volatility | 38.3% | 66.0% | 37.1% | 45.1% |
| Max DD | -54.5% | -60.6% | -57.3% | -60.6% |
| Win Rate | 42.9% | 50.0% | 33.3% | 41.7% |
| Avg Win | 170.0% | 661.9% | 9.4% | 279.3% |
| Avg Loss | -12.9% | -7.0% | -19.6% | -14.0% |
| Payoff | 10.00 | 10.00 | 0.48 | 10.00 |
| Expectancy | 65.5% | 327.5% | -10.0% | 108.2% |
| Profit Factor | 9.88 | 10.00 | 0.24 | 10.00 |
| Trades | 7 | 2 | 3 | 12 |
| Avg Holding Days | 149.9 | 279.0 | 112.0 | 165.0 |
| Turnover | 1.9 | 1.3 | 1.6 | 1.6 |
| Exposure | 53.6% | 73.5% | 35.8% | 53.2% |
Growth of $100
MACDMomentum_V0286 vs TSLA Buy & Hold
MACDMomentum_V0286 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 | -12.5% | -0.64 | -19.3% | 2 |
| 2017 | 26.5% | 0.86 | -22.3% | 1 |
| 2018 | -20.3% | -1.00 | -30.6% | 1 |
| 2019 | 24.5% | 1.71 | -8.5% | 0 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 24.9% | 0.68 | -36.2% | 1 |
| 2022 | -41.3% | -0.98 | -47.7% | 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 | -21.3% | -0.55 | 18% |
| hidden test | EXPENSIVE | 83 | 67.3% | 1.01 | 87% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 65.7% | 1.19 | 36% |
| hidden test | LOW VOLATILITY | 429 | -15.4% | -0.65 | 37% |
| hidden test | MEDIUM VOLATILITY | 248 | -50.7% | -1.57 | 34% |
| hidden test | NORMAL | 800 | -21.2% | -0.71 | 27% |
| hidden test | SIDEWAYS | 293 | -37.4% | -1.67 | 27% |
| hidden test | UPTREND | 371 | 38.2% | 0.86 | 56% |
| train | DOWNTREND | 518 | -34.2% | -1.63 | 13% |
| train | EXPENSIVE | 311 | 90.3% | 1.74 | 97% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 59.9% | 1.20 | 53% |
| train | LOW VOLATILITY | 745 | 11.4% | 0.44 | 55% |
| train | MEDIUM VOLATILITY | 568 | 14.0% | 0.40 | 54% |
| train | NORMAL | 1,601 | -7.1% | -0.23 | 42% |
| train | SIDEWAYS | 592 | 37.1% | 0.96 | 54% |
| train | UPTREND | 902 | 59.8% | 1.33 | 76% |
| validation | DOWNTREND | 125 | -41.0% | -1.39 | 18% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 128.9% | 1.40 | 80% |
| validation | LOW VOLATILITY | 183 | 39.5% | 1.36 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 80.4% | 1.47 | 78% |
| validation | NORMAL | 474 | -2.3% | -0.04 | 58% |
| validation | SIDEWAYS | 206 | -14.5% | -0.26 | 74% |
| validation | UPTREND | 425 | 174.0% | 2.27 | 89% |
Trades (full period)
12 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-04-10 | $425.86 | $348.95 | -18.19% | 142 | |
| 2024-09-06 | 2025-04-15 | $210.73 | $254.11 | 9.41% | 152 | |
| 2023-12-04 | 2024-02-02 | $235.58 | $187.91 | -21.08% | 42 | |
| 2021-09-20 | 2022-05-27 | $243.39 | $253.21 | -7.01% | 175 | |
| 2019-11-08 | 2021-07-12 | $22.48 | $228.57 | 876.99% | 420 | |
| 2018-08-03 | 2018-09-12 | $23.21 | $19.37 | -20.22% | 28 | |
| 2017-02-10 | 2017-12-13 | $17.95 | $22.60 | 26.43% | 213 | |
| 2016-07-22 | 2016-10-06 | $14.82 | $13.40 | -5.65% | 54 | |
| 2016-06-08 | 2016-07-08 | $15.70 | $14.45 | -7.24% | 22 | |
| 2015-06-22 | 2015-11-17 | $17.32 | $14.27 | -18.53% | 105 | |
| 2013-01-23 | 2015-01-13 | $2.40 | $13.62 | 473.49% | 498 | |
| 2012-01-04 | 2012-07-09 | $1.85 | $2.10 | 10.14% | 129 |