Strategy Zoo / S0479
MACDMomentum_V0479
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> 0.5043
Fitness
0.4090
Generation
22
Complexity
14
Created
2026-09-19
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.0207
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0479 [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))):
position = 1.0
if long and macd_hist < 0.5043:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.0% | 54.1% | 23.5% | 16.7% |
| Total Return | 17.6% | 266.0% | 118.3% | 864.3% |
| Sharpe | 0.20 | 1.26 | 0.83 | 0.66 |
| Sortino | 0.19 | 1.26 | 0.85 | 0.65 |
| Calmar | 0.05 | 2.14 | 0.67 | 0.42 |
| Volatility | 23.2% | 40.9% | 31.6% | 29.8% |
| Max DD | -39.9% | -25.3% | -35.1% | -39.9% |
| Win Rate | 49.1% | 47.4% | 39.5% | 48.2% |
| Avg Win | 2.3% | 7.9% | 12.3% | 3.6% |
| Avg Loss | -2.1% | -2.2% | -3.6% | -2.2% |
| Payoff | 1.13 | 3.69 | 3.38 | 1.65 |
| Expectancy | 0.1% | 2.6% | 2.7% | 0.6% |
| Profit Factor | 1.09 | 3.32 | 2.20 | 1.53 |
| Trades | 379 | 57 | 38 | 475 |
| Avg Holding Days | 2.0 | 5.3 | 9.6 | 3.0 |
| Turnover | 94.9 | 38.0 | 20.8 | 64.8 |
| Exposure | 19.3% | 32.5% | 35.1% | 26.0% |
Growth of $100
MACDMomentum_V0479 vs TSLA Buy & Hold
MACDMomentum_V0479 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 | 18.9% | 1.59 | -4.1% | 31 |
| 2017 | -5.9% | -0.33 | -12.3% | 60 |
| 2018 | -15.1% | -0.56 | -18.1% | 42 |
| 2019 | 4.2% | 0.30 | -20.2% | 39 |
| 2020 | 161.8% | 1.98 | -19.6% | 33 |
| 2021 | 26.0% | 0.92 | -19.8% | 16 |
| 2022 | -2.8% | 0.02 | -18.1% | 8 |
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 | 5.4% | 0.24 | 24% |
| hidden test | EXPENSIVE | 83 | 97.6% | 2.17 | 49% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 30.4% | 0.74 | 38% |
| hidden test | LOW VOLATILITY | 429 | 47.9% | 1.93 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -16.1% | -0.52 | 33% |
| hidden test | NORMAL | 800 | 12.6% | 0.44 | 34% |
| hidden test | SIDEWAYS | 293 | -0.5% | -0.02 | 42% |
| hidden test | UPTREND | 371 | 61.9% | 1.69 | 38% |
| train | DOWNTREND | 518 | -11.3% | -0.74 | 9% |
| train | EXPENSIVE | 311 | 9.0% | 0.43 | 26% |
| train | EXTREME | 100 | 165.5% | 2.98 | 36% |
| train | HIGH VOLATILITY | 699 | 10.2% | 0.32 | 18% |
| train | LOW VOLATILITY | 745 | 1.0% | 0.06 | 22% |
| train | MEDIUM VOLATILITY | 568 | 2.6% | 0.14 | 16% |
| train | NORMAL | 1,601 | -6.2% | -0.31 | 17% |
| train | SIDEWAYS | 592 | 6.2% | 0.34 | 20% |
| train | UPTREND | 902 | 12.8% | 0.44 | 25% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 54.8% | 1.54 | 31% |
| validation | EXTREME | 144 | 171.7% | 2.48 | 53% |
| validation | HIGH VOLATILITY | 258 | 47.6% | 0.89 | 26% |
| validation | LOW VOLATILITY | 183 | 9.3% | 0.47 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 79.2% | 2.10 | 37% |
| validation | NORMAL | 474 | 14.0% | 0.49 | 27% |
| validation | SIDEWAYS | 206 | -14.1% | -0.57 | 24% |
| validation | UPTREND | 425 | 87.7% | 1.75 | 43% |
Trades (full period)
latest 100 of 476
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | — | — | -0.10% | 1 | OPEN |
| 2026-09-01 | 2026-09-16 | $356.09 | $358.08 | -3.29% | 11 | |
| 2026-07-01 | 2026-07-14 | $425.30 | $396.18 | -6.33% | 9 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-20 | $388.90 | $417.26 | 2.90% | 25 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.31% | 10 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 2025-07-21 | 2025-07-28 | $328.49 | $325.59 | -4.31% | 6 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-29 | $221.10 | $206.28 | -7.80% | 8 | |
| 2024-06-17 | 2024-07-19 | $187.44 | $239.20 | 39.74% | 23 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-24 | $180.11 | $179.24 | -7.08% | 3 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-04-30 | 2024-05-13 | $183.28 | $171.89 | -13.36% | 10 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-11-16 | 2023-12-12 | $233.59 | $237.01 | -1.48% | 18 | |
| 2023-10-10 | 2023-10-16 | $263.62 | $253.92 | -3.48% | 5 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -4.50% | 6 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-22 | $177.90 | $200.86 | 22.91% | 18 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-07-11 | 2022-08-11 | $234.34 | $286.63 | 17.14% | 24 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-11 | $362.82 | $354.80 | -3.47% | 11 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 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 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.08% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.06% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-08-31 | 2021-09-14 | $245.24 | $248.16 | 1.45% | 10 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -2.70% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-06-24 | 2021-07-08 | $226.61 | $217.60 | -2.01% | 10 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-22 | $245.04 | $282.21 | 15.56% | 13 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-19 | 2020-10-20 | $143.61 | $140.65 | -2.21% | 2 | |
| 2020-10-14 | 2020-10-16 | $153.77 | $146.56 | 0.30% | 3 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-06 | 2020-07-24 | $91.44 | $94.47 | 24.95% | 15 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-24 | 2020-06-25 | $64.06 | $65.73 | -4.28% | 2 | |
| 2020-06-22 | 2020-06-23 | $66.29 | $66.79 | -0.86% | 2 | |
| 2020-06-18 | 2020-06-19 | $66.93 | $66.73 | 1.03% | 2 | |
| 2020-06-16 | 2020-06-17 | $65.48 | $66.12 | -1.08% | 2 | |
| 2020-06-10 | 2020-06-15 | $68.34 | $66.06 | -0.76% | 4 | |
| 2020-06-08 | 2020-06-09 | $63.33 | $62.71 | 7.05% | 2 | |
| 2020-06-04 | 2020-06-05 | $57.63 | $59.04 | -2.30% | 2 | |
| 2020-06-02 | 2020-06-03 | $58.77 | $58.86 | -2.04% | 2 | |
| 2020-05-13 | 2020-05-14 | $52.73 | $53.56 | -2.48% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-05-07 | 2020-05-08 | $52.00 | $54.63 | -0.52% | 2 | |
| 2020-05-05 | 2020-05-06 | $51.21 | $52.17 | 0.72% | 2 | |
| 2020-04-14 | 2020-05-04 | $47.33 | $50.75 | 7.53% | 15 | |
| 2020-02-19 | 2020-02-25 | $61.16 | $53.33 | -3.05% | 5 | |
| 2020-02-14 | 2020-02-18 | $53.34 | $57.23 | -0.69% | 2 | |
| 2020-02-03 | 2020-02-13 | $52.00 | $53.60 | 17.73% | 9 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 10.09% | 2 | |
| 2020-01-28 | 2020-01-29 | $37.79 | $38.73 | 1.39% | 2 | |
| 2020-01-24 | 2020-01-27 | $37.65 | $37.20 | -1.49% | 2 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-17 | 2020-01-21 | $34.03 | $36.48 | -0.78% | 2 | |
| 2020-01-14 | 2020-01-16 | $35.86 | $34.23 | -1.41% | 3 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2020-01-02 | 2020-01-03 | $28.68 | $29.53 | 2.65% | 2 | |
| 2019-12-30 | 2019-12-31 | $27.65 | $27.89 | -3.84% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 |