Strategy Zoo / S0499
MACDMomentum_V0499
ARCHIVEDhybridcrossoverentry from MACDMomentum_V0334, exit from PriceMomentum_V0451
Fitness
0.6507
Generation
23
Complexity
14
Created
2026-09-22
Lineage
Parents (2)
changed rel_volume threshold 1.5045 -> 1.0207
entry = PriceMomentum_V0264 OR LongTermTrend_V0208
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0499 [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 ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.7% | 96.4% | 14.8% | 34.9% |
| Total Return | 521.8% | 657.4% | 66.4% | 7966.7% |
| Sharpe | 0.83 | 1.56 | 0.55 | 0.95 |
| Sortino | 0.92 | 1.73 | 0.60 | 1.04 |
| Calmar | 0.43 | 2.86 | 0.41 | 0.58 |
| Volatility | 35.0% | 51.7% | 38.9% | 39.9% |
| Max DD | -59.7% | -33.7% | -36.4% | -59.7% |
| Win Rate | 34.0% | 40.0% | 24.1% | 31.9% |
| Avg Win | 23.3% | 60.3% | 24.9% | 35.9% |
| Avg Loss | -5.1% | -6.3% | -4.3% | -5.0% |
| Payoff | 4.58 | 9.59 | 5.82 | 7.20 |
| Expectancy | 4.6% | 20.4% | 2.8% | 8.1% |
| Profit Factor | 2.36 | 6.39 | 1.85 | 3.37 |
| Trades | 50 | 15 | 29 | 94 |
| Avg Holding Days | 21.0 | 29.1 | 16.6 | 21.8 |
| Turnover | 12.7 | 10.0 | 16.0 | 12.9 |
| Exposure | 53.5% | 55.8% | 49.9% | 53.1% |
Growth of $100
MACDMomentum_V0499 vs TSLA Buy & Hold
MACDMomentum_V0499 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 | 6.7% | 0.41 | -27.6% | 3 |
| 2017 | 10.2% | 0.49 | -29.0% | 11 |
| 2018 | -31.7% | -1.07 | -42.0% | 11 |
| 2019 | 50.7% | 1.31 | -20.5% | 4 |
| 2020 | 494.3% | 2.83 | -33.7% | 5 |
| 2021 | 42.2% | 1.13 | -29.0% | 5 |
| 2022 | -24.5% | -0.68 | -29.6% | 5 |
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 | 268 | 14.7% | 0.61 | 24% |
| hidden test | EXPENSIVE | 83 | 118.7% | 2.18 | 83% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 25.5% | 0.50 | 52% |
| hidden test | LOW VOLATILITY | 429 | 61.3% | 2.17 | 47% |
| hidden test | MEDIUM VOLATILITY | 249 | -51.8% | -1.27 | 53% |
| hidden test | NORMAL | 801 | 0.8% | 0.02 | 45% |
| hidden test | SIDEWAYS | 293 | -18.1% | -0.49 | 54% |
| hidden test | UPTREND | 371 | 57.3% | 1.20 | 65% |
| train | DOWNTREND | 518 | -7.7% | -0.41 | 24% |
| train | EXPENSIVE | 311 | 61.6% | 1.55 | 77% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 48.7% | 1.09 | 46% |
| train | LOW VOLATILITY | 745 | 43.9% | 1.66 | 64% |
| train | MEDIUM VOLATILITY | 568 | -15.1% | -0.49 | 49% |
| train | NORMAL | 1,601 | 0.6% | 0.02 | 46% |
| train | SIDEWAYS | 592 | -1.6% | -0.05 | 47% |
| train | UPTREND | 902 | 69.9% | 1.60 | 75% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 64.4% | 1.15 | 57% |
| validation | EXTREME | 144 | 324.6% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 85.6% | 1.26 | 48% |
| validation | LOW VOLATILITY | 183 | 21.1% | 0.79 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 111.7% | 2.38 | 59% |
| validation | NORMAL | 474 | 11.6% | 0.33 | 45% |
| validation | SIDEWAYS | 206 | -38.4% | -1.10 | 42% |
| validation | UPTREND | 425 | 151.8% | 2.41 | 76% |
Trades (full period)
95 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | — | $356.09 | — | -1.10% | 14 | OPEN |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-04 | 2026-06-08 | $392.51 | $408.95 | -0.15% | 25 | |
| 2026-04-16 | 2026-04-24 | $388.90 | $376.30 | -4.84% | 7 | |
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -3.28% | 23 | |
| 2025-08-08 | 2025-11-14 | $329.65 | $404.35 | 24.49% | 70 | |
| 2025-07-29 | 2025-08-04 | $321.20 | $309.26 | -7.24% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-13 | $285.88 | $325.31 | 11.76% | 34 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-17 | 2024-08-02 | $187.44 | $207.67 | 21.59% | 33 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-05-22 | 2023-08-02 | $188.87 | $254.11 | 44.64% | 50 | |
| 2023-03-30 | 2023-04-20 | $195.28 | $162.99 | -7.04% | 15 | |
| 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 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -9.20% | 8 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-07-11 | 2022-08-29 | $234.34 | $284.82 | 14.65% | 36 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-12-30 | 2022-01-24 | $356.78 | $310.00 | -13.27% | 17 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -2.20% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 81.90% | 58 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-09-11 | 2020-03-04 | $16.47 | $49.97 | 215.89% | 121 | |
| 2019-07-01 | 2019-08-12 | $15.14 | $15.27 | 4.96% | 30 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-16 | 2019-01-22 | $23.07 | $19.93 | -12.42% | 4 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.43% | 3 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-18 | $20.33 | $18.45 | -7.46% | 7 | |
| 2018-03-14 | 2018-03-19 | $21.78 | $20.90 | -6.19% | 4 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -4.59% | 6 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.60% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.10% | 2 | |
| 2017-09-12 | 2017-09-29 | $24.18 | $22.74 | -6.81% | 14 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.93% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-23 | 2017-05-24 | $16.99 | $20.68 | 18.92% | 44 | |
| 2017-03-17 | 2017-03-21 | $17.43 | $16.71 | -0.25% | 3 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 25.20% | 57 | |
| 2016-07-12 | 2016-08-23 | $14.98 | $14.99 | -1.02% | 31 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-11-27 | 2016-01-05 | $15.44 | $14.90 | -2.91% | 26 | |
| 2015-09-16 | 2015-10-02 | $17.48 | $16.50 | -5.58% | 13 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 24.33% | 79 | |
| 2015-02-04 | 2015-03-03 | $14.57 | $13.30 | -9.81% | 19 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.31% | 2 | |
| 2014-07-31 | 2014-09-16 | $14.89 | $17.38 | 10.67% | 33 | |
| 2014-06-06 | 2014-07-17 | $13.88 | $14.36 | 4.75% | 29 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-03-27 | 2013-06-26 | $2.54 | $7.05 | 169.93% | 64 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -3.80% | 6 | |
| 2013-01-23 | 2013-02-26 | $2.40 | $2.30 | -2.49% | 24 | |
| 2012-11-02 | 2013-01-11 | $1.93 | $2.19 | 14.40% | 48 | |
| 2012-09-17 | 2012-09-27 | $2.17 | $1.90 | -9.55% | 9 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -9.26% | 9 | |
| 2012-08-14 | 2012-08-15 | $1.96 | $1.96 | -5.81% | 2 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-01-31 | 2012-04-10 | $1.94 | $2.16 | 11.88% | 49 |