Strategy Zoo / S0426
MACDMomentum_V0426
ARCHIVEDhybridstructuralremoved entry condition: (macd_hist > 0.0 and close > sma_50); removed entry condition: ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)
Fitness
0.5525
Generation
19
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.0207
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0426 [hybrid]
if flat and (breakout_50 == 1 and rel_volume > 1.0207):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.5% | 64.7% | 24.3% | 23.7% |
| Total Return | 122.1% | 346.9% | 123.4% | 2182.4% |
| Sharpe | 0.53 | 1.55 | 1.07 | 0.92 |
| Sortino | 0.39 | 1.26 | 0.71 | 0.68 |
| Calmar | 0.25 | 2.86 | 1.34 | 0.57 |
| Volatility | 24.3% | 36.5% | 22.6% | 26.9% |
| Max DD | -41.5% | -22.6% | -18.2% | -41.5% |
| Win Rate | 41.5% | 64.3% | 66.7% | 50.0% |
| Avg Win | 14.5% | 22.6% | 17.0% | 18.4% |
| Avg Loss | -5.3% | -3.3% | -4.4% | -4.9% |
| Payoff | 2.74 | 6.79 | 3.86 | 3.75 |
| Expectancy | 2.9% | 13.3% | 9.9% | 6.7% |
| Profit Factor | 1.94 | 10.00 | 7.72 | 3.75 |
| Trades | 41 | 14 | 9 | 64 |
| Avg Holding Days | 10.8 | 14.8 | 14.3 | 12.4 |
| Turnover | 10.4 | 9.3 | 4.9 | 8.7 |
| Exposure | 20.5% | 25.5% | 12.9% | 19.7% |
Growth of $100
MACDMomentum_V0426 vs TSLA Buy & Hold
MACDMomentum_V0426 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 | 1.0% | 0.15 | -6.9% | 3 |
| 2017 | 18.0% | 1.12 | -8.9% | 7 |
| 2018 | -22.3% | -1.20 | -32.1% | 7 |
| 2019 | 42.0% | 1.41 | -13.8% | 2 |
| 2020 | 265.3% | 2.64 | -18.3% | 6 |
| 2021 | 23.3% | 0.93 | -16.8% | 6 |
| 2022 | -1.3% | -0.00 | -14.9% | 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 | 103.7% | 2.38 | 47% |
| hidden test | EXTREME | 48 | 126.0% | 2.87 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 24.8% | 0.81 | 17% |
| hidden test | LOW VOLATILITY | 429 | 29.3% | 1.67 | 12% |
| hidden test | MEDIUM VOLATILITY | 248 | 15.0% | 0.72 | 10% |
| hidden test | NORMAL | 800 | 9.9% | 0.59 | 8% |
| hidden test | SIDEWAYS | 293 | 5.5% | 0.33 | 8% |
| hidden test | UPTREND | 371 | 56.6% | 1.74 | 26% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 27.9% | 0.93 | 37% |
| train | EXTREME | 100 | 230.2% | 3.55 | 62% |
| train | HIGH VOLATILITY | 699 | 23.7% | 0.70 | 21% |
| train | LOW VOLATILITY | 745 | 16.7% | 1.06 | 26% |
| train | MEDIUM VOLATILITY | 568 | -5.5% | -0.30 | 13% |
| train | NORMAL | 1,601 | -3.6% | -0.21 | 15% |
| train | SIDEWAYS | 592 | -9.5% | -0.58 | 11% |
| train | UPTREND | 902 | 36.1% | 1.08 | 37% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 46.4% | 1.38 | 30% |
| validation | EXTREME | 144 | 203.3% | 3.08 | 51% |
| validation | HIGH VOLATILITY | 258 | 70.1% | 1.46 | 19% |
| validation | LOW VOLATILITY | 183 | 34.7% | 1.95 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 58.0% | 1.72 | 30% |
| validation | NORMAL | 474 | 14.8% | 0.70 | 16% |
| validation | SIDEWAYS | 206 | -5.6% | -0.55 | 6% |
| validation | UPTREND | 425 | 97.6% | 2.06 | 41% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -6.42% | 8 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2024-12-10 | 2024-12-24 | $400.99 | $462.28 | 10.25% | 11 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 23.41% | 24 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -3.31% | 9 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 5.28% | 16 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -6.26% | 10 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -3.99% | 10 | |
| 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 | |
| 2020-08-18 | 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 | |
| 2019-12-13 | 2020-02-26 | $23.89 | $51.92 | 121.95% | 50 | |
| 2019-10-14 | 2019-11-21 | $17.13 | $23.66 | 41.81% | 29 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-10-30 | 2018-11-21 | $21.99 | $22.55 | 3.57% | 17 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -1.18% | 13 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -7.22% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 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 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 19.13% | 29 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2016-03-22 | 2016-04-01 | $15.62 | $15.84 | -3.78% | 8 | |
| 2015-12-31 | 2016-01-06 | $16.00 | $14.60 | -6.34% | 4 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -4.94% | 11 | |
| 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 | |
| 2015-04-23 | 2015-05-22 | $14.57 | $16.52 | 11.71% | 22 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -1.24% | 13 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-01-22 | 2014-02-06 | $11.90 | $11.89 | -1.48% | 12 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-26 | 2013-09-10 | $10.95 | $11.09 | -0.90% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 110.35% | 45 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 6.59% | 16 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.87% | 2 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.89% | 18 | |
| 2012-07-17 | 2012-07-23 | $2.22 | $2.04 | -11.78% | 5 | |
| 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 | |
| 2012-02-21 | 2012-02-29 | $2.30 | $2.23 | -3.51% | 7 |