Strategy Zoo / S0462
MACDMomentum_V0462
ARCHIVEDmomentumstructuralrestricted to bubble regimes ['NORMAL']; added exit filter: breakout_50 == 1
Fitness
0.1792
Generation
21
Complexity
7
Created
2026-09-19
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0462 [momentum]
require regime.bubble in ['NORMAL']
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and (macd_hist < 0.0 or breakout_50 == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.2% | 2.7% | 8.8% | 3.4% |
| Total Return | 10.2% | 8.2% | 36.6% | 62.9% |
| Sharpe | 0.17 | 0.23 | 0.44 | 0.26 |
| Sortino | 0.12 | 0.15 | 0.40 | 0.20 |
| Calmar | 0.03 | 0.12 | 0.28 | 0.09 |
| Volatility | 22.6% | 21.7% | 27.5% | 23.7% |
| Max DD | -37.6% | -21.8% | -31.2% | -37.6% |
| Win Rate | 61.2% | 57.1% | 52.1% | 58.3% |
| Avg Win | 3.8% | 3.6% | 6.4% | 4.3% |
| Avg Loss | -5.3% | -3.9% | -5.1% | -5.0% |
| Payoff | 0.72 | 0.92 | 1.26 | 0.87 |
| Expectancy | 0.3% | 0.4% | 0.9% | 0.4% |
| Profit Factor | 1.13 | 1.23 | 1.37 | 1.21 |
| Trades | 116 | 35 | 48 | 199 |
| Avg Holding Days | 5.0 | 4.4 | 6.6 | 5.3 |
| Turnover | 29.1 | 23.3 | 26.3 | 27.2 |
| Exposure | 22.9% | 15.6% | 28.9% | 22.9% |
Growth of $100
MACDMomentum_V0462 vs TSLA Buy & Hold
MACDMomentum_V0462 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 | 23.1% | 1.41 | -9.6% | 12 |
| 2017 | 7.7% | 0.70 | -7.7% | 11 |
| 2018 | -4.2% | -0.02 | -24.2% | 25 |
| 2019 | -4.4% | 0.02 | -29.8% | 16 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | -7.7% | -0.21 | -16.9% | 22 |
| 2022 | 3.2% | 0.25 | -17.6% | 13 |
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 | 15.1% | 0.63 | 25% |
| hidden test | EXPENSIVE | 83 | 64.6% | 2.29 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 22.7% | 0.63 | 29% |
| hidden test | LOW VOLATILITY | 429 | 14.8% | 0.69 | 30% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.2% | -0.12 | 27% |
| hidden test | NORMAL | 800 | 7.5% | 0.26 | 33% |
| hidden test | SIDEWAYS | 293 | -7.8% | -0.26 | 41% |
| hidden test | UPTREND | 371 | 25.8% | 0.93 | 22% |
| train | DOWNTREND | 518 | -7.7% | -0.43 | 18% |
| train | EXPENSIVE | 311 | 16.3% | 2.12 | 3% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.9% | 0.21 | 17% |
| train | LOW VOLATILITY | 745 | 25.4% | 1.39 | 29% |
| train | MEDIUM VOLATILITY | 568 | -27.3% | -1.31 | 21% |
| train | NORMAL | 1,601 | 1.5% | 0.06 | 28% |
| train | SIDEWAYS | 592 | 6.1% | 0.24 | 32% |
| train | UPTREND | 902 | 8.8% | 0.39 | 20% |
| validation | DOWNTREND | 125 | 30.7% | 1.41 | 10% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -20.2% | -0.90 | 4% |
| validation | LOW VOLATILITY | 183 | -2.4% | -0.15 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 29.8% | 1.25 | 17% |
| validation | NORMAL | 474 | 7.9% | 0.29 | 25% |
| validation | SIDEWAYS | 206 | -1.9% | -0.09 | 20% |
| validation | UPTREND | 425 | 0.7% | 0.03 | 15% |
Trades (full period)
latest 100 of 200
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | — | — | -0.10% | 1 | OPEN |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-15 | 2026-05-21 | $422.24 | $417.85 | -6.07% | 5 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-04-16 | 2026-05-11 | $388.90 | $445.00 | 9.07% | 18 | |
| 2025-12-17 | 2025-12-30 | $467.26 | $454.43 | -6.37% | 9 | |
| 2025-12-04 | 2025-12-16 | $454.53 | $489.88 | 6.18% | 9 | |
| 2025-09-08 | 2025-09-12 | $346.40 | $395.94 | 4.91% | 5 | |
| 2025-08-28 | 2025-09-03 | $345.98 | $334.09 | -5.98% | 4 | |
| 2025-08-25 | 2025-08-27 | $346.60 | $349.60 | 3.22% | 3 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2024-11-05 | 2024-11-07 | $251.44 | $296.91 | 18.58% | 3 | |
| 2024-10-01 | 2024-10-04 | $258.02 | $250.08 | -8.20% | 4 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-06 | 2024-09-26 | $210.73 | $254.22 | 11.43% | 15 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-11 | 2024-07-22 | $241.03 | $251.51 | -9.33% | 8 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-17 | 2024-06-27 | $187.44 | $197.42 | 10.10% | 8 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-29 | 2024-01-02 | $248.48 | $248.42 | -2.05% | 2 | |
| 2023-12-15 | 2023-12-28 | $253.50 | $253.18 | 3.93% | 9 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-21 | 2023-06-27 | $259.46 | $250.21 | -12.35% | 5 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-22 | 2023-06-02 | $188.87 | $213.97 | 14.97% | 9 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-02-16 | 2023-02-23 | $202.04 | $202.07 | -6.44% | 5 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 6.06% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-01-27 | 2023-02-08 | $177.90 | $201.29 | 22.57% | 9 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-08 | 2022-08-12 | $290.42 | $300.03 | -0.73% | 5 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-11 | 2022-07-22 | $234.34 | $272.24 | 8.13% | 10 | |
| 2022-04-06 | 2022-04-11 | $348.59 | $325.31 | -6.22% | 4 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-21 | 2022-03-29 | $307.05 | $366.52 | 20.35% | 7 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-11-05 | 2021-11-11 | $407.36 | $354.50 | -13.34% | 5 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-13 | 2021-09-16 | $247.67 | $252.33 | 2.45% | 4 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.07% | 2 | |
| 2021-09-02 | 2021-09-08 | $244.13 | $251.29 | 2.36% | 4 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-16 | 2021-08-17 | $228.72 | $221.90 | -4.52% | 2 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 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 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 6.24% | 2 | |
| 2019-11-19 | 2019-11-20 | $23.97 | $23.48 | 2.52% | 2 | |
| 2019-11-13 | 2019-11-18 | $23.07 | $23.33 | 0.44% | 4 | |
| 2019-11-11 | 2019-11-12 | $23.01 | $23.33 | 2.16% | 2 | |
| 2019-10-28 | 2019-11-08 | $21.85 | $22.48 | 2.05% | 10 | |
| 2019-10-21 | 2019-10-25 | $16.90 | $21.88 | 16.39% | 5 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.65% | 2 | |
| 2019-10-15 | 2019-10-16 | $17.19 | $17.32 | 0.16% | 2 | |
| 2019-10-11 | 2019-10-14 | $16.53 | $17.13 | 1.09% | 2 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-23 | 2019-07-24 | $17.34 | $17.66 | 1.55% | 2 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.31% | 15 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -10.98% | 3 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 |