Strategy Zoo / S0369
MACDMomentum_V0369
ARCHIVEDhybridllmAdded momentum (ret_20d>0) and RSI filter to reduce low-quality entries; tightened exits by adding a hard loss cut (drawdown<-8%) and a trend-break exit (sma_50<sma_200); introduced regime gates to avoid trading in downtrend/high-volatility/extreme-bubble regimes; added volatility-based position sizing (scale up in low vol, reduce in high vol); lowered base position to reduce drawdown risk.
Fitness
0.3371
Generation
17
Complexity
23
Created
2026-09-18
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0369 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.0 and rsi_14 > 45.0 and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))):
position = 0.6
if long and (macd_hist < 0.0 or drawdown < -0.08 or sma_50 < sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.4% | 21.1% | -3.0% | 3.5% |
| Total Return | 3.1% | 77.7% | -10.8% | 66.3% |
| Sharpe | 0.09 | 1.48 | -0.26 | 0.38 |
| Sortino | 0.06 | 1.21 | -0.17 | 0.27 |
| Calmar | 0.02 | 1.96 | -0.15 | 0.17 |
| Volatility | 9.7% | 13.6% | 10.0% | 10.7% |
| Max DD | -19.3% | -10.8% | -20.0% | -20.8% |
| Win Rate | 43.5% | 54.4% | 44.0% | 45.9% |
| Avg Win | 1.7% | 2.9% | 1.6% | 2.1% |
| Avg Loss | -1.4% | -1.0% | -1.4% | -1.3% |
| Payoff | 1.27 | 2.85 | 1.09 | 1.56 |
| Expectancy | -0.0% | 1.1% | -0.1% | 0.2% |
| Profit Factor | 0.98 | 3.40 | 0.85 | 1.32 |
| Trades | 138 | 57 | 84 | 279 |
| Avg Holding Days | 2.8 | 3.0 | 2.2 | 2.7 |
| Turnover | 20.8 | 22.8 | 27.3 | 22.8 |
| Exposure | 7.9% | 9.0% | 6.5% | 7.8% |
Growth of $100
MACDMomentum_V0369 vs TSLA Buy & Hold
MACDMomentum_V0369 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 | -1.5% | -0.26 | -3.7% | 16 |
| 2017 | 11.3% | 1.10 | -6.3% | 24 |
| 2018 | -3.4% | -0.60 | -6.6% | 10 |
| 2019 | 7.7% | 0.94 | -5.5% | 12 |
| 2020 | 42.8% | 2.40 | -4.8% | 5 |
| 2021 | 24.4% | 1.40 | -10.7% | 36 |
| 2022 | -0.1% | 0.01 | -4.2% | 16 |
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 | -1.3% | -1.06 | 0% |
| hidden test | EXPENSIVE | 83 | -4.0% | -0.29 | 9% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.5% | -0.79 | 1% |
| hidden test | LOW VOLATILITY | 429 | 6.9% | 0.66 | 10% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.0% | -1.42 | 7% |
| hidden test | NORMAL | 800 | -2.6% | -0.27 | 7% |
| hidden test | SIDEWAYS | 293 | -2.4% | -0.24 | 9% |
| hidden test | UPTREND | 371 | -3.7% | -0.28 | 9% |
| train | DOWNTREND | 518 | -5.0% | -1.22 | 1% |
| train | EXPENSIVE | 311 | 26.1% | 1.78 | 16% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 5.6% | 0.66 | 1% |
| train | LOW VOLATILITY | 745 | 4.6% | 0.48 | 15% |
| train | MEDIUM VOLATILITY | 568 | -10.0% | -0.89 | 8% |
| train | NORMAL | 1,601 | -4.4% | -0.51 | 7% |
| train | SIDEWAYS | 592 | -4.7% | -0.55 | 8% |
| train | UPTREND | 902 | 7.8% | 0.63 | 12% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 69.0% | 3.35 | 19% |
| validation | EXTREME | 144 | 23.1% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 12.3% | 1.23 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 46.8% | 2.55 | 14% |
| validation | NORMAL | 474 | 4.9% | 0.42 | 9% |
| validation | SIDEWAYS | 206 | -2.6% | -0.36 | 7% |
| validation | UPTREND | 425 | 36.9% | 2.13 | 13% |
Trades (full period)
latest 100 of 279
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -2.86% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.12% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 1.83% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -1.86% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -1.68% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 2.29% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.34% | 2 | |
| 2025-12-11 | 2025-12-30 | $446.89 | $454.43 | 1.06% | 13 | |
| 2025-12-04 | 2025-12-09 | $454.53 | $445.17 | -1.07% | 4 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -0.67% | 5 | |
| 2025-09-24 | 2025-09-26 | $442.79 | $440.40 | -0.42% | 3 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.03% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.02% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -0.88% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.22% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.04% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.17% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.02% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.38% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 1.59% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.12% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.11% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.42% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -1.72% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.47% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -0.95% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.35% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.30% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.03% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -5.18% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.11% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.13% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 5.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.02% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 2.77% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.26% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.19% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 3.06% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.01% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 0.85% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 1.67% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.10% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.47% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.46% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.13% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 0.70% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 0.68% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.43% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -0.75% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.00% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.11% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 0.93% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.46% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.16% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -1.94% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -3.40% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 0.97% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-04-04 | 2023-04-05 | $192.58 | $185.52 | -0.79% | 2 | |
| 2023-03-31 | 2023-04-03 | $207.46 | $194.77 | 3.62% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -1.66% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.01% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.54% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 2.21% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.35% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.54% | 2 | |
| 2022-04-04 | 2022-04-06 | $381.82 | $348.59 | 0.31% | 3 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.02% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.30% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.31% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.19% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 0.92% | 2 |