Strategy Zoo / S0317
MACDMomentum_V0317
ARCHIVEDmomentumcrossoverlogic of MACDMomentum_V0005 with risk overlay of PriceMomentum_V0028
Fitness
0.5624
Generation
15
Complexity
5
Created
2026-09-18
Lineage
Parents (2)
seed strategy
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0317 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.6% | 66.5% | 21.4% | 26.9% |
| Total Return | 241.1% | 361.6% | 104.6% | 3217.9% |
| Sharpe | 0.70 | 1.46 | 0.84 | 0.93 |
| Sortino | 0.61 | 1.38 | 0.69 | 0.81 |
| Calmar | 0.36 | 1.90 | 0.73 | 0.58 |
| Volatility | 27.2% | 40.5% | 27.4% | 30.5% |
| Max DD | -46.4% | -35.0% | -29.3% | -46.4% |
| Win Rate | 43.1% | 39.1% | 50.0% | 44.0% |
| Avg Win | 13.2% | 27.9% | 10.9% | 15.9% |
| Avg Loss | -5.1% | -4.0% | -4.8% | -4.8% |
| Payoff | 2.60 | 6.95 | 2.30 | 3.33 |
| Expectancy | 2.8% | 8.5% | 3.1% | 4.3% |
| Profit Factor | 1.97 | 4.47 | 2.30 | 2.61 |
| Trades | 65 | 23 | 28 | 116 |
| Avg Holding Days | 8.8 | 11.0 | 8.8 | 9.3 |
| Turnover | 16.4 | 15.3 | 15.4 | 15.9 |
| Exposure | 25.7% | 30.3% | 23.6% | 26.1% |
Growth of $100
MACDMomentum_V0317 vs TSLA Buy & Hold
MACDMomentum_V0317 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 | 36.8% | 2.55 | -6.6% | 6 |
| 2017 | 7.5% | 0.45 | -22.4% | 11 |
| 2018 | -21.1% | -0.82 | -23.6% | 9 |
| 2019 | 35.3% | 1.44 | -13.1% | 6 |
| 2020 | 303.8% | 2.69 | -23.1% | 9 |
| 2021 | 38.4% | 1.28 | -16.8% | 6 |
| 2022 | -27.8% | -1.34 | -31.7% | 8 |
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 | 20.0% | 0.83 | 25% |
| hidden test | EXPENSIVE | 83 | 88.5% | 2.01 | 43% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 20.1% | 0.53 | 35% |
| hidden test | LOW VOLATILITY | 429 | 42.2% | 2.18 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -6.8% | -0.26 | 23% |
| hidden test | NORMAL | 800 | 10.1% | 0.43 | 21% |
| hidden test | SIDEWAYS | 293 | -12.5% | -0.84 | 5% |
| hidden test | UPTREND | 371 | 53.4% | 1.49 | 37% |
| train | DOWNTREND | 518 | 1.4% | 0.08 | 17% |
| train | EXPENSIVE | 311 | 21.4% | 0.67 | 44% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 28.7% | 0.76 | 26% |
| train | LOW VOLATILITY | 745 | 22.1% | 1.21 | 31% |
| train | MEDIUM VOLATILITY | 568 | 2.8% | 0.14 | 17% |
| train | NORMAL | 1,601 | 1.7% | 0.08 | 19% |
| train | SIDEWAYS | 592 | 11.1% | 0.80 | 4% |
| train | UPTREND | 902 | 34.3% | 0.93 | 45% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 51.8% | 1.42 | 36% |
| validation | EXTREME | 144 | 252.7% | 3.58 | 59% |
| validation | HIGH VOLATILITY | 258 | 79.1% | 1.45 | 27% |
| validation | LOW VOLATILITY | 183 | 17.2% | 0.88 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 67.0% | 1.87 | 32% |
| validation | NORMAL | 474 | 2.4% | 0.09 | 20% |
| validation | SIDEWAYS | 206 | -13.8% | -1.28 | 2% |
| validation | UPTREND | 425 | 101.1% | 1.94 | 49% |
Trades (full period)
latest 100 of 117
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.79 | — | -0.76% | 1 | OPEN |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 2.01% | 3 | |
| 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 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.21% | 8 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 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 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-22 | 2023-05-31 | $188.87 | $203.93 | 11.45% | 7 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-11 | 2022-08-02 | $234.34 | $300.59 | 18.30% | 17 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 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 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 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 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 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 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-10-11 | 2019-10-15 | $16.53 | $17.19 | 4.78% | 3 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.31% | 15 | |
| 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 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-24 | 2018-10-26 | $19.23 | $22.06 | 6.83% | 3 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-06-26 | $23.88 | $22.80 | -7.09% | 8 | |
| 2018-05-31 | 2018-06-12 | $18.98 | $22.85 | 13.61% | 9 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -6.19% | 5 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -3.18% | 3 | |
| 2017-12-26 | 2017-12-27 | $21.15 | $20.78 | -2.63% | 2 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 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 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 9.58% | 20 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-18 | 2015-12-29 | $15.36 | $15.81 | -2.10% | 7 | |
| 2015-12-03 | 2015-12-14 | $15.51 | $14.57 | -6.64% | 8 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 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 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 3.60% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-21 | 2015-04-28 | $13.96 | $15.37 | 12.58% | 6 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.34% | 10 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 |