Strategy Zoo / S0326
MACDMomentum_V0326
ARCHIVEDmomentumstructuralchanged macd_hist threshold 0.0 -> 0.6143; added entry filter: breakout_50 == 1
Fitness
0.4065
Generation
15
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0326 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50 and breakout_50 == 1):
position = 1.0
if long and macd_hist < 0.6143:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.9% | 47.5% | 18.3% | 13.5% |
| Total Return | 7.5% | 221.2% | 86.0% | 541.9% |
| Sharpe | 0.13 | 1.32 | 0.84 | 0.71 |
| Sortino | 0.08 | 0.97 | 0.60 | 0.45 |
| Calmar | 0.06 | 1.84 | 0.90 | 0.52 |
| Volatility | 11.5% | 33.8% | 23.2% | 21.0% |
| Max DD | -14.5% | -25.8% | -20.4% | -25.8% |
| Win Rate | 46.1% | 51.9% | 50.0% | 47.3% |
| Avg Win | 2.2% | 12.0% | 15.4% | 5.1% |
| Avg Loss | -1.7% | -2.6% | -5.0% | -2.1% |
| Payoff | 1.29 | 4.54 | 3.05 | 2.39 |
| Expectancy | 0.1% | 4.9% | 5.2% | 1.3% |
| Profit Factor | 1.10 | 4.89 | 3.05 | 2.15 |
| Trades | 128 | 27 | 14 | 169 |
| Avg Holding Days | 2.0 | 6.3 | 10.6 | 3.4 |
| Turnover | 32.1 | 18.0 | 7.6 | 23.0 |
| Exposure | 6.4% | 19.0% | 14.5% | 11.0% |
Growth of $100
MACDMomentum_V0326 vs TSLA Buy & Hold
MACDMomentum_V0326 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 | -0.1% | 0.02 | -4.1% | 7 |
| 2017 | 12.5% | 1.90 | -2.9% | 18 |
| 2018 | -4.8% | -0.53 | -7.5% | 17 |
| 2019 | 16.6% | 1.38 | -4.0% | 14 |
| 2020 | 142.3% | 2.06 | -24.1% | 15 |
| 2021 | 31.8% | 1.12 | -16.9% | 9 |
| 2022 | 0.2% | 0.09 | -14.9% | 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 | 2.1% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 87.5% | 1.96 | 48% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 32.3% | 1.06 | 18% |
| hidden test | LOW VOLATILITY | 429 | 22.6% | 1.25 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | 0.7% | 0.03 | 13% |
| hidden test | NORMAL | 800 | 5.9% | 0.34 | 10% |
| hidden test | SIDEWAYS | 293 | -2.6% | -0.15 | 12% |
| hidden test | UPTREND | 371 | 49.4% | 1.49 | 27% |
| train | DOWNTREND | 518 | -1.3% | -1.31 | 1% |
| train | EXPENSIVE | 311 | 14.0% | 0.90 | 11% |
| train | EXTREME | 100 | 1.4% | 0.05 | 24% |
| train | HIGH VOLATILITY | 699 | 6.7% | 0.44 | 6% |
| train | LOW VOLATILITY | 745 | 0.4% | 0.05 | 8% |
| train | MEDIUM VOLATILITY | 568 | -3.3% | -0.32 | 4% |
| train | NORMAL | 1,601 | -0.9% | -0.10 | 4% |
| train | SIDEWAYS | 592 | 2.5% | 0.36 | 4% |
| train | UPTREND | 902 | 2.5% | 0.16 | 11% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 63.9% | 2.07 | 23% |
| validation | EXTREME | 144 | 142.1% | 2.35 | 32% |
| validation | HIGH VOLATILITY | 258 | 60.0% | 1.33 | 14% |
| validation | LOW VOLATILITY | 183 | 10.1% | 0.76 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 51.8% | 1.65 | 23% |
| validation | NORMAL | 474 | 9.2% | 0.45 | 14% |
| validation | SIDEWAYS | 206 | -3.8% | -0.39 | 6% |
| validation | UPTREND | 425 | 75.5% | 1.72 | 29% |
Trades (full period)
latest 100 of 169
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-05-20 | $445.00 | $417.26 | -5.84% | 8 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 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 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 23.41% | 24 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-07-19 | $197.42 | $239.20 | 26.67% | 16 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -5.15% | 3 | |
| 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 | |
| 2023-02-08 | 2023-02-22 | $201.29 | $200.86 | 0.09% | 10 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-07-22 | 2022-08-11 | $272.24 | $286.63 | 8.12% | 15 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -6.26% | 10 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-08-31 | 2021-09-14 | $245.24 | $248.16 | 1.45% | 10 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-01-05 | 2021-01-22 | $245.04 | $282.21 | 15.56% | 13 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-11-19 | 2020-12-16 | $166.42 | $207.59 | 29.87% | 19 | |
| 2020-08-18 | 2020-09-04 | $125.81 | $139.44 | 10.64% | 14 | |
| 2020-07-02 | 2020-07-24 | $80.58 | $94.47 | 34.88% | 16 | |
| 2020-06-11 | 2020-06-15 | $64.86 | $66.06 | -8.94% | 3 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-03 | 2020-02-12 | $52.00 | $51.15 | 18.81% | 8 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 10.09% | 2 | |
| 2020-01-24 | 2020-01-27 | $37.65 | $37.20 | -1.49% | 2 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-11-20 | 2019-11-21 | $23.48 | $23.66 | -2.23% | 2 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.82% | 2 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 1.20% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -2.11% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.52% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.24% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-11-08 | 2018-11-09 | $23.43 | $23.37 | 0.73% | 2 | |
| 2018-11-05 | 2018-11-06 | $22.76 | $22.74 | -1.64% | 2 | |
| 2018-11-01 | 2018-11-02 | $22.95 | $23.09 | 1.86% | 2 | |
| 2018-10-30 | 2018-10-31 | $21.99 | $22.49 | -1.68% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-06-18 | 2018-06-19 | $24.72 | $23.50 | 3.33% | 2 | |
| 2018-06-14 | 2018-06-15 | $23.85 | $23.88 | 3.55% | 2 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -2.00% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.63% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -2.15% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.24% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.95% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-09-14 | 2017-09-15 | $25.18 | $25.32 | 2.91% | 2 | |
| 2017-06-23 | 2017-06-26 | $25.56 | $25.17 | 0.02% | 2 | |
| 2017-06-14 | 2017-06-15 | $25.38 | $25.02 | 1.05% | 2 | |
| 2017-06-08 | 2017-06-09 | $24.67 | $23.82 | 2.67% | 2 | |
| 2017-06-06 | 2017-06-07 | $23.52 | $23.98 | 1.39% | 2 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 1.56% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -1.38% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.25% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.51% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 2.06% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -1.11% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.79% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-12-29 | 2016-12-30 | $14.31 | $14.25 | -2.50% | 2 | |
| 2016-12-27 | 2016-12-28 | $14.64 | $14.65 | 2.70% | 2 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.72% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -3.29% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 3.23% | 2 | |
| 2016-03-22 | 2016-03-23 | $15.62 | $14.84 | -1.91% | 2 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 2.61% | 2 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.61% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-02 | 2015-07-06 | $18.67 | $18.65 | 3.83% | 2 |