MACDMomentum_V0438

ARCHIVEDhybrid

llmAdded regime gates to avoid entries in high-volatility and bubble extremes; expanded entry set with a stronger breakout_20 leg and tightened rel_volume thresholds to ensure meaningful volume; required sma_50 > sma_200 as trend confirmation for momentum entries; improved exits to include hard stop on short-term losses (ret_5d < -3%) and a run-up drawdown cutoff (drawdown > 12%) in addition to macd_hist < 0; reduced base position to 0.8 to lower risk/exposure.

Fitness

0.2328

Generation

Complexity

Created

2026-09-19

Lineage

Parents (1)

MACDMomentum_V0272S0272 · gen 13ARCHIVEDllm

entry = MACDMomentum_V0005 OR VolumeBreakout_V0185

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0438  [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_50 == 1 and rel_volume > 1.2) or (macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200) or (breakout_20 == 1 and rel_volume > 1.8)):
    position = 0.8
if long and (macd_hist < 0.0 or drawdown > 0.12 or ret_5d < -0.03):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.0%	10.7%	0.5%	2.2%
Total Return	-0.0%	35.5%	1.7%	37.8%
Sharpe	0.06	0.77	0.10	0.23
Sortino	0.04	0.52	0.05	0.13
Calmar	-0.00	0.89	0.02	0.07
Volatility	13.1%	14.4%	13.7%	13.5%
Max DD	-31.7%	-11.9%	-25.4%	-31.7%
Win Rate	43.5%	46.2%	31.6%	41.0%
Avg Win	4.7%	9.3%	7.3%	6.0%
Avg Loss	-3.3%	-2.8%	-3.0%	-3.2%
Payoff	1.39	3.37	2.44	1.91
Expectancy	0.1%	2.8%	0.3%	0.6%
Profit Factor	1.07	2.89	1.12	1.33
Trades	46	13	19	78
Avg Holding Days	6.8	8.2	6.8	7.1
Turnover	9.2	6.9	8.2	8.5
Exposure	10.7%	9.9%	9.5%	10.2%

Growth of $100

MACDMomentum_V0438 vs TSLA Buy & Hold

MACDMomentum_V0438 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	-6.3%	-0.69	-11.5%	4
2017	11.3%	1.21	-4.4%	6
2018	-5.8%	-0.85	-7.3%	4
2019	5.7%	0.39	-12.1%	3
2020	0.0%	0.00	0.0%	0
2021	14.9%	0.85	-11.9%	9
2022	6.6%	0.55	-11.8%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	17.4%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-7.8%	-0.69	1%
hidden test	LOW VOLATILITY	429	2.8%	0.20	14%
hidden test	MEDIUM VOLATILITY	248	8.4%	0.56	10%
hidden test	NORMAL	800	-0.2%	-0.01	11%
hidden test	SIDEWAYS	293	-24.5%	-1.90	15%
hidden test	UPTREND	371	22.9%	1.25	12%
train	DOWNTREND	518	-1.6%	-1.20	0%
train	EXPENSIVE	311	10.3%	1.83	2%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	7.5%	0.56	1%
train	LOW VOLATILITY	745	13.0%	1.02	21%
train	MEDIUM VOLATILITY	568	-23.3%	-1.77	10%
train	NORMAL	1,601	-0.9%	-0.07	13%
train	SIDEWAYS	592	-12.5%	-0.88	14%
train	UPTREND	902	11.0%	0.70	14%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	10.4%	0.97	0%
validation	LOW VOLATILITY	183	10.8%	0.97	22%
validation	MEDIUM VOLATILITY	315	11.9%	0.65	11%
validation	NORMAL	474	17.8%	0.98	16%
validation	SIDEWAYS	206	3.6%	0.24	13%
validation	UPTREND	425	18.1%	1.12	11%

Trades (full period)

78 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-05-19	$433.45	$404.11	-6.46%	6
2025-12-04	2025-12-30	$454.53	$454.43	2.22%	18
2025-09-12	2025-09-15	$395.94	$410.04	5.72%	2
2025-07-29	2025-07-30	$321.20	$319.04	-1.24%	2
2025-07-21	2025-07-25	$328.49	$316.06	-6.05%	5
2024-09-23	2024-10-03	$250.00	$240.66	3.48%	9
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-06-27	2024-07-12	$197.42	$248.23	17.87%	11
2023-12-15	2024-01-02	$253.50	$248.42	-0.94%	11
2023-12-07	2023-12-14	$242.64	$251.05	-0.18%	6
2023-11-29	2023-12-06	$244.14	$239.37	-2.75%	6
2023-11-16	2023-11-24	$233.59	$235.45	-2.99%	6
2023-10-06	2023-10-16	$260.53	$253.92	-2.90%	7
2023-09-20	2023-09-21	$262.59	$255.70	-1.33%	2
2023-09-12	2023-09-19	$267.48	$266.50	-2.57%	6
2023-08-30	2023-09-11	$256.90	$273.58	-2.82%	8
2023-07-06	2023-07-07	$276.54	$274.43	-1.84%	2
2023-06-05	2023-06-27	$217.61	$250.21	9.98%	16
2022-08-02	2022-08-08	$300.59	$290.42	-2.57%	5
2022-04-08	2022-04-11	$341.83	$325.31	-2.56%	2
2022-03-21	2022-04-07	$307.05	$352.42	12.22%	14
2021-12-28	2022-01-04	$362.82	$383.20	7.63%	6
2021-10-13	2021-11-09	$270.36	$341.17	34.25%	20
2021-10-08	2021-10-11	$261.83	$263.98	-0.98%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.71%	9
2021-08-31	2021-09-21	$245.24	$246.46	-0.21%	15
2021-08-03	2021-08-17	$236.58	$221.90	-2.79%	11
2021-07-08	2021-07-09	$217.60	$218.98	0.85%	2
2021-06-24	2021-07-07	$226.61	$214.88	0.23%	9
2021-04-22	2021-04-29	$239.90	$225.67	-5.51%	6
2021-04-14	2021-04-21	$244.08	$248.04	-4.71%	6
2019-12-16	2019-12-17	$25.43	$25.27	4.99%	2
2019-10-15	2019-10-25	$17.19	$21.88	13.15%	9
2019-07-25	2019-07-26	$15.25	$15.20	-11.04%	2
2018-12-11	2018-12-18	$24.45	$22.47	-3.81%	6
2018-12-07	2018-12-10	$23.86	$24.34	-1.28%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.11%	2
2018-01-18	2018-02-05	$22.97	$22.21	-0.92%	13
2017-12-12	2017-12-26	$22.74	$21.15	-1.04%	10
2017-10-12	2017-10-23	$23.71	$22.47	-2.29%	8
2017-03-24	2017-03-28	$17.54	$18.50	4.67%	3
2017-03-20	2017-03-23	$17.46	$16.99	-2.13%	4
2017-02-01	2017-02-02	$16.62	$16.77	-1.01%	2
2016-12-28	2017-01-25	$14.65	$16.96	12.46%	19
2016-10-04	2016-10-06	$14.09	$13.40	-2.12%	3
2016-07-22	2016-08-09	$14.82	$15.27	1.91%	13
2016-06-08	2016-06-15	$15.70	$14.51	-6.15%	6
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2015-12-31	2016-01-05	$16.00	$14.90	-5.08%	3
2015-09-21	2015-09-29	$17.61	$16.44	-3.90%	7
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.40%	13
2015-06-18	2015-06-19	$17.46	$17.50	0.29%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.25%	2
2015-04-28	2015-05-22	$15.37	$16.52	4.69%	19
2014-11-28	2014-12-01	$16.30	$15.44	-1.42%	2
2014-11-25	2014-11-26	$16.54	$16.56	0.28%	2
2014-11-12	2014-11-24	$16.61	$16.45	-2.78%	9
2014-10-08	2014-10-13	$17.29	$14.97	-7.15%	4
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-07-31	2014-08-25	$14.89	$17.50	9.51%	18
2014-06-06	2014-07-03	$13.88	$15.28	8.56%	20
2014-05-28	2014-06-04	$14.02	$13.60	-2.66%	6
2014-01-07	2014-01-08	$9.96	$10.09	1.12%	2
2013-03-27	2013-04-02	$2.54	$2.96	12.65%	4
2013-03-08	2013-03-15	$2.56	$2.35	-3.03%	6
2013-02-12	2013-02-14	$2.53	$2.55	-0.10%	3
2013-01-23	2013-01-24	$2.40	$2.47	1.68%	2
2012-11-06	2012-12-14	$2.08	$2.25	5.24%	28
2012-09-18	2012-09-21	$2.09	$2.00	-4.20%	4
2012-07-17	2012-07-23	$2.22	$2.04	-9.49%	5
2012-06-29	2012-07-02	$2.09	$2.03	-0.47%	2
2012-06-27	2012-06-28	$2.13	$2.09	0.73%	2
2012-06-19	2012-06-25	$2.14	$2.21	4.76%	5
2012-03-27	2012-04-05	$2.53	$2.30	-5.25%	8
2012-03-13	2012-03-16	$2.41	$2.35	-2.40%	4
2012-02-15	2012-02-28	$2.24	$2.25	0.94%	9