Strategy Zoo / S0410

MACDMomentum_V0410

ARCHIVEDhybrid

crossoverentry = MACDMomentum_V0334 AND PriceMomentum_V0361

Fitness

0.5742

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

MACDMomentum_V0334S0334 · gen 15ARCHIVEDcrossover

changed rel_volume threshold 1.5045 -> 1.0207

PriceMomentum_V0361S0361 · gen 17ARCHIVEDcrossover

entry from PriceMomentum_V0225, exit from PriceMomentum_V0227

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0410  [hybrid]
if flat and (((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.0207) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))) and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997))):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.7%	73.4%	22.0%	28.8%
Total Return	268.3%	421.1%	108.5%	4019.4%
Sharpe	0.71	1.53	0.90	0.97
Sortino	0.66	1.51	0.79	0.90
Calmar	0.40	2.57	0.62	0.64
Volatility	28.9%	41.6%	25.6%	31.2%
Max DD	-44.8%	-28.5%	-35.7%	-44.8%
Win Rate	42.9%	50.0%	44.4%	44.9%
Avg Win	15.4%	22.1%	15.9%	17.8%
Avg Loss	-5.3%	-4.7%	-4.1%	-4.9%
Payoff	2.91	4.71	3.90	3.62
Expectancy	3.6%	8.7%	4.8%	5.3%
Profit Factor	2.18	4.71	3.12	2.95
Trades	56	24	18	98
Avg Holding Days	12.5	11.8	14.6	12.8
Turnover	14.2	16.0	9.7	13.4
Exposure	32.4%	34.4%	26.3%	31.3%

Growth of $100

MACDMomentum_V0410 vs TSLA Buy & Hold

MACDMomentum_V0410 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	25.7%	1.45	-12.8%	5
2017	15.7%	0.83	-17.9%	10
2018	-11.7%	-0.42	-22.1%	7
2019	15.7%	0.65	-27.1%	4
2020	324.1%	2.72	-19.7%	8
2021	23.1%	0.83	-22.7%	10
2022	-0.8%	0.09	-17.6%	6

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	-7.6%	-0.40	21%
hidden test	EXPENSIVE	83	82.6%	2.39	40%
hidden test	EXTREME	48	126.8%	2.89	35%
hidden test	HIGH VOLATILITY	254	19.6%	0.66	24%
hidden test	LOW VOLATILITY	429	42.3%	1.86	28%
hidden test	MEDIUM VOLATILITY	248	-6.4%	-0.25	25%
hidden test	NORMAL	800	10.8%	0.47	24%
hidden test	SIDEWAYS	293	3.3%	0.17	27%
hidden test	UPTREND	371	60.9%	1.86	30%
train	DOWNTREND	518	-8.0%	-0.61	12%
train	EXPENSIVE	311	32.5%	1.00	47%
train	EXTREME	100	288.1%	4.19	70%
train	HIGH VOLATILITY	699	44.9%	1.14	30%
train	LOW VOLATILITY	745	22.5%	1.16	40%
train	MEDIUM VOLATILITY	568	-12.5%	-0.54	26%
train	NORMAL	1,601	1.3%	0.06	27%
train	SIDEWAYS	592	-4.1%	-0.17	35%
train	UPTREND	902	52.8%	1.44	42%
validation	DOWNTREND	125	44.2%	2.27	7%
validation	EXPENSIVE	138	59.6%	1.67	34%
validation	EXTREME	144	255.8%	3.48	67%
validation	HIGH VOLATILITY	258	72.8%	1.34	29%
validation	LOW VOLATILITY	183	13.1%	0.64	35%
validation	MEDIUM VOLATILITY	315	85.3%	2.22	38%
validation	NORMAL	474	6.3%	0.24	24%
validation	SIDEWAYS	206	-1.4%	-0.05	26%
validation	UPTREND	425	100.8%	1.97	47%

Trades (full period)

98 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-09-01	2026-09-17	$356.09	$366.20	-2.88%	12
2026-05-28	2026-06-02	$442.10	$423.74	-5.75%	4
2026-04-20	2026-05-21	$392.50	$417.85	3.94%	24
2025-12-15	2025-12-30	$475.31	$454.43	-0.05%	11
2025-09-08	2025-10-06	$346.40	$453.25	22.27%	21
2025-08-25	2025-09-03	$346.60	$334.09	-3.32%	7
2025-08-11	2025-08-22	$339.03	$340.01	-3.09%	10
2025-04-29	2025-06-03	$292.03	$344.27	19.63%	25
2024-12-09	2024-12-24	$389.79	$462.28	10.41%	12
2024-11-07	2024-11-29	$296.91	$345.16	15.15%	16
2024-09-06	2024-10-04	$210.73	$250.08	4.34%	21
2024-06-27	2024-07-22	$197.42	$251.51	21.57%	17
2024-04-30	2024-05-30	$183.28	$178.79	-9.39%	22
2023-12-18	2024-01-02	$252.08	$248.42	-2.18%	10
2023-11-22	2023-12-14	$234.21	$251.05	-0.99%	16
2023-09-12	2023-09-25	$267.48	$246.99	-10.67%	10
2023-07-06	2023-07-07	$276.54	$274.43	-2.30%	2
2023-05-24	2023-06-27	$182.90	$250.21	29.50%	23
2022-09-21	2022-09-23	$300.80	$275.33	-6.71%	3
2022-08-16	2022-08-19	$306.56	$296.67	-2.28%	4
2022-07-19	2022-08-12	$245.53	$300.03	18.92%	19
2022-03-22	2022-04-11	$331.33	$325.31	11.11%	15
2022-01-13	2022-01-14	$343.85	$349.87	-6.94%	2
2022-01-04	2022-01-12	$383.20	$368.74	-11.46%	7
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
2021-09-27	2021-10-07	$263.79	$264.54	0.88%	9
2021-09-08	2021-09-21	$251.29	$246.46	-3.22%	10
2021-08-04	2021-08-17	$236.97	$221.90	-3.51%	10
2021-07-13	2021-07-15	$222.85	$216.87	-4.91%	3
2021-06-24	2021-07-12	$226.61	$228.57	-0.14%	12
2021-04-14	2021-04-29	$244.08	$225.67	-9.10%	12
2021-01-26	2021-01-27	$294.36	$288.05	0.06%	2
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
2020-10-16	2020-10-20	$146.56	$140.65	-4.21%	3
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-07-01	2020-07-27	$74.64	$102.64	30.97%	18
2020-06-02	2020-06-25	$58.77	$65.73	6.77%	18
2020-04-14	2020-05-14	$47.33	$53.56	21.28%	23
2019-12-17	2020-02-26	$25.27	$51.92	109.25%	48
2019-10-15	2019-11-21	$17.19	$23.66	36.80%	28
2019-10-02	2019-10-04	$16.21	$15.43	-4.96%	3
2019-09-12	2019-09-25	$16.39	$15.25	-9.85%	10
2019-07-16	2019-07-26	$16.83	$15.20	-9.92%	9
2018-12-13	2018-12-18	$25.12	$22.47	-5.15%	4
2018-12-06	2018-12-07	$24.20	$23.86	0.73%	2
2018-10-29	2018-11-21	$22.32	$22.55	4.80%	18
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-07	2018-06-26	$21.07	$22.80	4.02%	14
2018-03-14	2018-03-15	$21.78	$21.71	-4.64%	2
2018-01-09	2018-02-05	$22.25	$22.21	1.98%	19
2017-12-12	2017-12-27	$22.74	$20.78	-3.72%	11
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
2017-06-01	2017-06-27	$22.69	$24.16	10.48%	19
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
2017-04-26	2017-04-27	$20.68	$20.58	-1.35%	2
2017-03-28	2017-04-21	$18.50	$20.37	11.73%	18
2017-02-10	2017-02-22	$17.95	$18.23	2.84%	8
2016-12-14	2017-02-02	$13.25	$16.77	25.53%	34
2016-07-19	2016-08-09	$15.02	$15.27	-0.24%	16
2016-06-08	2016-06-16	$15.70	$14.53	-6.49%	7
2016-04-04	2016-04-14	$16.47	$16.79	6.92%	9
2016-03-04	2016-04-01	$13.40	$15.84	17.15%	20
2015-12-18	2016-01-06	$15.36	$14.60	-4.46%	12
2015-11-27	2015-12-14	$15.44	$14.57	-5.68%	12
2015-09-21	2015-09-30	$17.61	$16.56	-5.55%	8
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
2015-06-18	2015-06-19	$17.46	$17.50	0.37%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.31%	2
2015-04-08	2015-05-22	$13.84	$16.52	20.61%	33
2015-02-23	2015-02-25	$13.82	$13.58	-6.18%	3
2015-02-10	2015-02-18	$14.42	$13.63	-6.23%	6
2014-11-12	2014-12-01	$16.61	$15.44	-2.81%	13
2014-09-02	2014-09-12	$18.94	$18.61	3.73%	9
2014-08-05	2014-08-25	$15.90	$17.50	7.44%	15
2014-05-28	2014-07-07	$14.02	$14.84	8.14%	28
2014-02-11	2014-03-11	$13.11	$15.63	21.27%	20
2014-01-15	2014-02-06	$10.94	$11.89	7.94%	16
2013-12-18	2014-01-10	$9.87	$9.71	-3.43%	16
2013-09-20	2013-10-04	$12.23	$12.07	-2.78%	11
2013-08-23	2013-09-10	$10.79	$11.09	2.09%	12
2013-07-30	2013-08-15	$8.78	$9.31	3.31%	13
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-03-27	2013-06-04	$2.54	$6.32	144.07%	48
2013-01-24	2013-02-14	$2.47	$2.55	6.59%	16
2012-11-06	2012-12-14	$2.08	$2.25	6.48%	28
2012-09-18	2012-09-26	$2.09	$1.84	-15.17%	7
2012-08-24	2012-08-29	$1.97	$1.89	-6.83%	4
2012-07-13	2012-07-23	$2.28	$2.04	-2.97%	7
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8
2012-03-13	2012-03-16	$2.41	$2.35	-3.00%	4
2012-02-02	2012-02-29	$2.02	$2.23	14.07%	19