Strategy Zoo / S0439
MACDMomentum_V0439
ARCHIVEDhybridllmAdded regime gating to allow trades only in uptrends, non-bubble market and exclude high volatility (set to MEDIUM_VOLATILITY). Simplified/solidified entries: keep MACD+price-above-50 and a stronger breakout arm requiring rel_volume>1.4 plus 50>200. Expanded exits to include trend reversal (50<200) and price falling below sma_50 in addition to macd_hist<0. Reduced base_position to 0.8 to lower risk and turnover.
Fitness
0.5820
Generation
20
Complexity
12
Created
2026-09-19
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0439 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.4 and sma_50 > sma_200)):
position = 0.8
if long and (macd_hist < 0.0 or sma_50 < sma_200 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.6% | 64.1% | -2.4% | 18.1% |
| Total Return | 177.6% | 341.7% | -8.5% | 1048.6% |
| Sharpe | 0.68 | 1.64 | -0.00 | 0.79 |
| Sortino | 0.67 | 1.67 | -0.00 | 0.77 |
| Calmar | 0.42 | 2.51 | -0.06 | 0.43 |
| Volatility | 22.3% | 33.5% | 21.9% | 24.9% |
| Max DD | -32.6% | -25.6% | -42.1% | -42.1% |
| Win Rate | 46.6% | 48.8% | 48.6% | 47.5% |
| Avg Win | 3.6% | 11.2% | 2.8% | 4.4% |
| Avg Loss | -1.9% | -2.5% | -2.7% | -2.2% |
| Payoff | 1.89 | 4.40 | 1.05 | 2.01 |
| Expectancy | 0.7% | 4.2% | -0.0% | 0.9% |
| Profit Factor | 1.65 | 4.20 | 0.99 | 1.81 |
| Trades | 204 | 43 | 111 | 358 |
| Avg Holding Days | 3.7 | 7.0 | 3.1 | 4.0 |
| Turnover | 41.0 | 22.9 | 48.3 | 39.1 |
| Exposure | 22.7% | 27.2% | 19.8% | 22.9% |
Growth of $100
MACDMomentum_V0439 vs TSLA Buy & Hold
MACDMomentum_V0439 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 | 17.1% | 1.63 | -5.1% | 26 |
| 2017 | 9.6% | 0.65 | -10.4% | 27 |
| 2018 | -8.5% | -0.38 | -17.3% | 36 |
| 2019 | 18.8% | 1.01 | -18.3% | 28 |
| 2020 | 253.7% | 2.85 | -17.1% | 9 |
| 2021 | 19.1% | 0.83 | -16.0% | 14 |
| 2022 | 4.5% | 0.32 | -14.3% | 19 |
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 | 9.2% | 0.61 | 10% |
| hidden test | EXPENSIVE | 83 | 79.9% | 2.27 | 36% |
| hidden test | EXTREME | 48 | 101.4% | 2.89 | 28% |
| hidden test | HIGH VOLATILITY | 254 | 10.0% | 0.34 | 21% |
| hidden test | LOW VOLATILITY | 429 | 9.9% | 0.59 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.4% | -1.33 | 18% |
| hidden test | NORMAL | 800 | -14.4% | -0.77 | 18% |
| hidden test | SIDEWAYS | 293 | -32.7% | -1.71 | 22% |
| hidden test | UPTREND | 371 | 19.1% | 0.70 | 25% |
| train | DOWNTREND | 518 | -9.1% | -0.74 | 7% |
| train | EXPENSIVE | 311 | 32.3% | 1.23 | 38% |
| train | EXTREME | 100 | 230.5% | 4.19 | 56% |
| train | HIGH VOLATILITY | 699 | 26.8% | 0.88 | 23% |
| train | LOW VOLATILITY | 745 | 12.5% | 0.82 | 27% |
| train | MEDIUM VOLATILITY | 568 | 4.6% | 0.26 | 18% |
| train | NORMAL | 1,601 | -1.5% | -0.09 | 18% |
| train | SIDEWAYS | 592 | 9.3% | 0.57 | 20% |
| train | UPTREND | 902 | 33.0% | 1.14 | 33% |
| validation | DOWNTREND | 125 | 23.8% | 1.43 | 4% |
| validation | EXPENSIVE | 138 | 60.1% | 1.95 | 29% |
| validation | EXTREME | 144 | 207.2% | 3.53 | 53% |
| validation | HIGH VOLATILITY | 258 | 53.3% | 1.22 | 23% |
| validation | LOW VOLATILITY | 183 | 15.0% | 0.91 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 79.8% | 2.57 | 30% |
| validation | NORMAL | 474 | 7.4% | 0.35 | 19% |
| validation | SIDEWAYS | 206 | 14.2% | 0.69 | 19% |
| validation | UPTREND | 425 | 84.1% | 2.04 | 38% |
Trades (full period)
latest 100 of 359
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | — | — | -0.08% | 1 | OPEN |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.69% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.25% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.24% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -4.89% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -2.74% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -3.37% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -3.81% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.16% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -2.48% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 1.76% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.19% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.78% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 3.78% | 15 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.47% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 0.95% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.05% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.27% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 1.67% | 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 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.19% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.18% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 5.39% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.37% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.24% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.51% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.10% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.33% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.56% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 1.75% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -2.86% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.10% | 2 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 8.42% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 22.00% | 25 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 5.03% | 18 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -2.74% | 2 | |
| 2024-08-20 | 2024-08-23 | $221.10 | $220.32 | -4.48% | 4 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -3.38% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -2.67% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.26% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.35% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.58% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 4.07% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.37% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -2.94% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.29% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.23% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 2.47% | 2 | |
| 2024-05-08 | 2024-05-09 | $174.72 | $171.97 | -1.55% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.42% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.15% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -4.60% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -3.20% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-23 | 2023-06-27 | $256.60 | $250.21 | -7.30% | 3 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 3.61% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.39% | 2 | |
| 2023-05-22 | 2023-05-23 | $188.87 | $185.77 | 3.71% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.09% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 |