MACDMomentum_V0370

ARCHIVEDhybrid

llm1) Added regime gates: allow only UPTREND/SIDEWAYS and avoid HIGH_VOLATILITY/EXTREME bubble to reduce drawdowns. 2) Tightened entry: require momentum (macd_hist>0 & price>sma50) to also have sma50>sma200 OR a true breakout with elevated volume; added vol_pctile<0.8 gate to avoid entries in very high-volatility regimes. 3) Improved exits: keep macd_hist<0 but add price crossing below sma50 and a hard drawdown stop (12%). 4) Added position sizing rules: full size on high-volume breakouts (rel_volume>1.5), de-risk to 0.4 in very high vol; reduced base position to 0.6. Aim: better regime awareness, clearer breakout sizing, and stronger exits to improve validation robustness.

Fitness

0.3886

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

MACDMomentum_V0272S0272 · gen 13ARCHIVEDllm

entry = MACDMomentum_V0005 OR VolumeBreakout_V0185

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0370  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (((macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200) or (breakout_50 == 1 and rel_volume > 1.2)) and vol_pctile < 0.8):
    position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.12):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.6%	21.1%	-0.4%	6.1%
Total Return	33.1%	77.8%	-1.5%	137.1%
Sharpe	0.38	1.37	0.02	0.55
Sortino	0.25	1.09	0.01	0.37
Calmar	0.19	1.73	-0.02	0.26
Volatility	11.1%	14.8%	11.0%	12.0%
Max DD	-19.6%	-12.2%	-23.1%	-23.1%
Win Rate	37.7%	44.4%	30.0%	37.4%
Avg Win	4.8%	10.2%	6.0%	6.7%
Avg Loss	-2.2%	-1.8%	-2.5%	-2.2%
Payoff	2.21	5.73	2.38	3.04
Expectancy	0.5%	3.5%	0.0%	1.1%
Profit Factor	1.34	4.58	1.02	1.82
Trades	53	18	20	91
Avg Holding Days	7.1	9.4	7.4	7.8
Turnover	8.0	7.2	6.5	7.4
Exposure	10.0%	12.1%	8.2%	10.0%

Growth of $100

MACDMomentum_V0370 vs TSLA Buy & Hold

MACDMomentum_V0370 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	0.6%	0.14	-4.0%	3
2017	13.8%	1.21	-7.6%	14
2018	-4.4%	-0.85	-5.5%	4
2019	10.6%	0.76	-9.1%	2
2020	40.2%	2.24	-5.3%	6
2021	20.1%	1.14	-12.2%	9
2022	5.6%	0.57	-9.1%	2

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	19.4%	1.28	12%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-5.9%	-0.69	1%
hidden test	LOW VOLATILITY	429	7.6%	0.67	12%
hidden test	MEDIUM VOLATILITY	248	-6.5%	-0.52	9%
hidden test	NORMAL	800	-1.8%	-0.17	8%
hidden test	SIDEWAYS	293	-21.2%	-2.22	11%
hidden test	UPTREND	371	17.2%	1.13	12%
train	DOWNTREND	518	-0.6%	-0.77	0%
train	EXPENSIVE	311	29.2%	1.97	17%
train	EXTREME	100	7.0%	1.55	1%
train	HIGH VOLATILITY	699	8.6%	0.73	1%
train	LOW VOLATILITY	745	11.9%	1.12	19%
train	MEDIUM VOLATILITY	568	-11.2%	-1.03	10%
train	NORMAL	1,601	-0.8%	-0.08	9%
train	SIDEWAYS	592	-9.1%	-0.89	9%
train	UPTREND	902	15.7%	1.10	16%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	65.7%	3.13	20%
validation	EXTREME	144	23.1%	2.28	1%
validation	HIGH VOLATILITY	258	-7.1%	-1.00	0%
validation	LOW VOLATILITY	183	14.1%	1.39	19%
validation	MEDIUM VOLATILITY	315	46.3%	2.26	18%
validation	NORMAL	474	6.2%	0.45	13%
validation	SIDEWAYS	206	4.1%	0.34	12%
validation	UPTREND	425	34.1%	1.91	16%

Trades (full period)

91 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-05-21	$433.45	$417.85	-3.84%	8
2025-12-04	2025-12-30	$454.53	$454.43	1.72%	18
2025-11-04	2025-11-05	$444.26	$462.07	-3.21%	2
2025-09-12	2025-10-06	$395.94	$453.25	9.73%	17
2025-07-29	2025-07-30	$321.20	$319.04	-0.93%	2
2025-07-21	2025-07-25	$328.49	$316.06	-4.53%	5
2024-09-23	2024-10-04	$250.00	$250.08	0.56%	10
2024-09-16	2024-09-20	$226.78	$238.25	3.45%	5
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-06-27	2024-07-12	$197.42	$248.23	13.31%	11
2023-12-15	2024-01-02	$253.50	$248.42	-0.67%	11
2023-11-29	2023-12-14	$244.14	$251.05	-1.92%	12
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	2023-10-17	$260.53	$254.85	-1.52%	8
2023-09-12	2023-09-22	$267.48	$244.88	-4.05%	9
2023-09-06	2023-09-07	$251.92	$251.49	-1.19%	2
2023-08-30	2023-09-05	$256.90	$256.49	-2.95%	4
2023-07-06	2023-07-07	$276.54	$274.43	-1.38%	2
2023-06-05	2023-06-27	$217.61	$250.21	7.51%	16
2022-08-02	2022-08-12	$300.59	$300.03	-2.19%	9
2022-03-21	2022-04-11	$307.05	$325.31	7.90%	16
2021-12-28	2022-01-03	$362.82	$399.93	-2.17%	5
2021-10-13	2021-11-10	$270.36	$355.98	15.97%	21
2021-10-08	2021-10-11	$261.83	$263.98	-0.73%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.54%	9
2021-08-31	2021-09-21	$245.24	$246.46	-0.14%	15
2021-08-03	2021-08-17	$236.58	$221.90	-2.08%	11
2021-06-24	2021-07-12	$226.61	$228.57	-0.04%	12
2021-04-14	2021-04-29	$244.08	$225.67	-5.47%	12
2021-01-12	2021-01-25	$283.15	$293.60	2.52%	9
2021-01-05	2021-01-11	$245.04	$270.40	11.92%	5
2020-12-18	2020-12-23	$231.67	$215.33	-1.45%	4
2020-12-10	2020-12-17	$209.02	$218.63	1.74%	6
2020-11-18	2020-12-08	$162.21	$216.63	25.43%	14
2020-11-09	2020-11-10	$140.42	$136.79	-1.33%	2
2020-10-14	2020-10-20	$153.77	$140.65	-2.23%	5
2019-12-16	2020-01-22	$25.43	$37.97	29.23%	25
2019-10-15	2019-10-25	$17.19	$21.88	9.89%	9
2019-07-25	2019-07-26	$15.25	$15.20	-8.28%	2
2018-12-11	2018-12-18	$24.45	$22.47	-2.84%	6
2018-12-07	2018-12-10	$23.86	$24.34	-0.96%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.08%	2
2018-01-18	2018-02-05	$22.97	$22.21	-0.67%	13
2017-12-12	2017-12-26	$22.74	$21.15	-0.76%	10
2017-10-18	2017-10-20	$23.98	$23.01	-0.78%	3
2017-10-12	2017-10-17	$23.71	$23.72	-0.79%	4
2017-09-12	2017-09-25	$24.18	$23.00	-2.16%	10
2017-08-15	2017-08-18	$24.16	$23.16	-2.08%	4
2017-08-04	2017-08-07	$23.79	$23.68	1.58%	2
2017-06-05	2017-06-14	$23.15	$25.38	6.18%	8
2017-05-15	2017-05-16	$21.06	$21.13	-1.77%	2
2017-05-02	2017-05-04	$21.26	$19.70	-2.32%	3
2017-04-20	2017-04-21	$20.17	$20.37	-0.71%	2
2017-03-24	2017-04-04	$17.54	$20.25	9.94%	8
2017-03-20	2017-03-22	$17.46	$17.00	-2.60%	3
2017-02-10	2017-02-22	$17.95	$18.23	1.74%	8
2016-12-28	2017-02-02	$14.65	$16.77	7.86%	25
2016-07-22	2016-08-09	$14.82	$15.27	1.45%	13
2016-06-08	2016-06-10	$15.70	$14.59	-0.88%	3
2016-04-05	2016-04-14	$17.03	$16.79	1.76%	8
2015-12-31	2016-01-05	$16.00	$14.90	-3.80%	3
2015-09-21	2015-09-29	$17.61	$16.44	-2.92%	7
2015-07-21	2015-07-22	$17.78	$17.86	-3.41%	2
2015-06-22	2015-07-09	$17.32	$17.19	-1.76%	13
2015-06-18	2015-06-19	$17.46	$17.50	0.22%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.19%	2
2015-04-28	2015-05-22	$15.37	$16.52	3.52%	19
2014-11-25	2014-12-01	$16.54	$15.44	-0.65%	4
2014-11-12	2014-11-24	$16.61	$16.45	-2.07%	9
2014-10-08	2014-10-10	$17.29	$15.79	-0.71%	3
2014-09-02	2014-09-12	$18.94	$18.61	2.28%	9
2014-07-31	2014-08-25	$14.89	$17.50	7.10%	18
2014-06-16	2014-07-07	$14.97	$14.84	6.53%	15
2014-06-12	2014-06-13	$13.57	$13.76	-0.40%	2
2014-06-06	2014-06-11	$13.88	$13.63	-1.45%	4
2014-05-28	2014-06-03	$14.02	$13.66	-2.07%	5
2014-02-13	2014-02-26	$13.31	$16.87	15.66%	9
2014-01-03	2014-01-10	$9.97	$9.71	-1.13%	6
2013-09-20	2013-10-04	$12.23	$12.07	-1.58%	11
2013-09-09	2013-09-10	$10.71	$11.09	-2.37%	2
2013-03-27	2013-04-02	$2.54	$2.96	9.49%	4
2013-03-08	2013-03-18	$2.56	$2.34	-4.74%	7
2013-01-23	2013-02-14	$2.40	$2.55	5.39%	17
2012-11-20	2012-12-14	$2.20	$2.25	1.20%	18
2012-07-17	2012-07-23	$2.22	$2.04	-7.16%	5
2012-06-27	2012-07-03	$2.13	$2.04	-2.42%	5
2012-06-19	2012-06-25	$2.14	$2.21	3.60%	5
2012-03-27	2012-04-05	$2.53	$2.30	-3.91%	8
2012-03-13	2012-03-16	$2.41	$2.35	-1.80%	4
2012-02-15	2012-02-29	$2.24	$2.23	1.06%	10