Strategy Zoo / S0501
MACDMomentum_V0501
ARCHIVEDhybridllmAdded regime gates to focus entries in UPTREND and non-extreme volatility/bubble; simplified and consolidated entry into two robust paths (volume breakout OR momentum-with-trend using MACD + price over SMA50 + SMA50>SMA200); strengthened breakout volume threshold; improved exit to include price crossing below SMA50 and extreme volatility spikes (vol_pctile>0.95) in addition to MACD flip; implemented volatility-based position sizing (full size in low vol, reduced size in high vol) and lower base position to limit drawdown.
Fitness
0.3526
Generation
23
Complexity
15
Created
2026-09-22
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.0207
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0501 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((breakout_50 == 1 and rel_volume > 1.05) or (macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200)):
position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or vol_pctile > 0.95):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.9% | 17.1% | 3.2% | 6.4% |
| Total Return | 35.7% | 60.5% | 12.2% | 148.8% |
| Sharpe | 0.48 | 1.31 | 0.36 | 0.67 |
| Sortino | 0.29 | 0.85 | 0.16 | 0.38 |
| Calmar | 0.33 | 0.95 | 0.23 | 0.36 |
| Volatility | 8.7% | 12.6% | 9.9% | 10.0% |
| Max DD | -11.8% | -17.9% | -13.6% | -17.9% |
| Win Rate | 39.0% | 53.3% | 42.9% | 42.9% |
| Avg Win | 4.4% | 8.3% | 6.2% | 6.2% |
| Avg Loss | -1.8% | -2.1% | -3.0% | -2.1% |
| Payoff | 2.43 | 4.01 | 2.08 | 2.99 |
| Expectancy | 0.6% | 3.5% | 1.0% | 1.5% |
| Profit Factor | 1.55 | 4.58 | 1.56 | 2.24 |
| Trades | 41 | 15 | 14 | 70 |
| Avg Holding Days | 6.3 | 7.7 | 6.7 | 6.9 |
| Turnover | 6.2 | 6.0 | 4.5 | 5.7 |
| Exposure | 6.8% | 8.0% | 5.2% | 6.6% |
Growth of $100
MACDMomentum_V0501 vs TSLA Buy & Hold
MACDMomentum_V0501 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 | 1.3% | 0.29 | -4.0% | 3 |
| 2017 | 7.8% | 0.78 | -8.2% | 14 |
| 2018 | -3.7% | -0.96 | -4.6% | 3 |
| 2019 | 9.5% | 1.61 | -2.3% | 0 |
| 2020 | 32.1% | 2.00 | -5.3% | 6 |
| 2021 | 29.9% | 1.73 | -12.2% | 7 |
| 2022 | -6.5% | -1.55 | -6.5% | 1 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 17.0% | 1.11 | 14% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -5.9% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 429 | 13.6% | 1.43 | 7% |
| hidden test | MEDIUM VOLATILITY | 249 | -4.0% | -0.33 | 6% |
| hidden test | NORMAL | 801 | 2.4% | 0.26 | 5% |
| hidden test | SIDEWAYS | 293 | -7.6% | -1.40 | 1% |
| hidden test | UPTREND | 371 | 15.0% | 1.00 | 12% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 25.3% | 1.72 | 16% |
| train | EXTREME | 100 | 7.0% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 6.7% | 0.80 | 1% |
| train | LOW VOLATILITY | 745 | 8.2% | 0.90 | 14% |
| train | MEDIUM VOLATILITY | 568 | -4.0% | -0.46 | 5% |
| train | NORMAL | 1,601 | -0.1% | -0.01 | 5% |
| train | SIDEWAYS | 592 | -1.3% | -0.65 | 0% |
| train | UPTREND | 902 | 10.2% | 0.79 | 15% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 54.6% | 2.80 | 20% |
| validation | EXTREME | 144 | 23.1% | 2.28 | 1% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 16.8% | 2.05 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 35.8% | 2.07 | 12% |
| validation | NORMAL | 474 | 3.5% | 0.33 | 6% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 29.5% | 1.75 | 14% |
Trades (full period)
70 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 9.73% | 17 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 2025-05-28 | 2025-06-03 | $356.90 | $344.27 | -3.48% | 5 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 3.88% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 8.84% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 9.52% | 17 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.48% | 5 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.17% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 15.97% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.54% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 2.52% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 11.92% | 5 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.45% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 1.74% | 6 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 18.20% | 13 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.33% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.23% | 5 | |
| 2019-12-13 | 2020-01-22 | $23.89 | $37.97 | 28.95% | 26 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -0.96% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.08% | 2 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -0.79% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -4.69% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.08% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.58% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 6.18% | 8 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.77% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.32% | 3 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.81% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.71% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 9.94% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 1.74% | 8 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 5.69% | 20 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.11% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.76% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-05-12 | 2015-05-22 | $16.32 | $16.52 | 1.42% | 9 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.71% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 7.10% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.16% | 10 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 15.66% | 9 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -1.58% | 11 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -2.37% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 9.49% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -4.74% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 5.39% | 17 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.12% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -1.80% | 4 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -0.83% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |