Strategy Zoo / S0516
MACDMomentum_V0516
ARCHIVEDhybridstructuralreduce exposure to 41% during EXPENSIVE
Fitness
0.5638
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_V0516 [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 < 0.0:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 59.9% | 27.1% | 26.3% |
| Total Return | 206.1% | 309.0% | 143.1% | 2980.7% |
| Sharpe | 0.63 | 1.36 | 0.94 | 0.89 |
| Sortino | 0.59 | 1.33 | 0.96 | 0.86 |
| Calmar | 0.37 | 2.64 | 0.82 | 0.65 |
| Volatility | 28.9% | 40.4% | 30.6% | 32.0% |
| Max DD | -40.4% | -22.7% | -33.1% | -40.4% |
| Win Rate | 39.4% | 48.0% | 38.5% | 41.0% |
| Avg Win | 14.2% | 17.3% | 17.4% | 16.0% |
| Avg Loss | -4.8% | -2.9% | -4.1% | -4.3% |
| Payoff | 2.93 | 5.91 | 4.29 | 3.72 |
| Expectancy | 2.7% | 6.8% | 4.2% | 4.0% |
| Profit Factor | 1.90 | 5.46 | 2.68 | 2.59 |
| Trades | 66 | 25 | 26 | 117 |
| Avg Holding Days | 12.4 | 12.6 | 14.4 | 13.0 |
| Turnover | 16.1 | 15.1 | 15.6 | 15.8 |
| Exposure | 33.3% | 34.3% | 35.1% | 34.0% |
Growth of $100
MACDMomentum_V0516 vs TSLA Buy & Hold
MACDMomentum_V0516 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 | 26.5% | 1.47 | -12.2% | 5 |
| 2017 | 14.3% | 1.00 | -13.0% | 12 |
| 2018 | -4.3% | -0.01 | -23.3% | 10 |
| 2019 | 13.0% | 0.53 | -28.9% | 6 |
| 2020 | 230.0% | 2.41 | -19.0% | 9 |
| 2021 | 10.5% | 0.49 | -19.9% | 10 |
| 2022 | -1.8% | 0.07 | -17.6% | 6 |
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 | 16.8% | 0.70 | 26% |
| hidden test | EXPENSIVE | 83 | 90.8% | 2.60 | 25% |
| hidden test | EXTREME | 48 | 68.9% | 1.83 | 32% |
| hidden test | HIGH VOLATILITY | 254 | 30.0% | 0.77 | 37% |
| hidden test | LOW VOLATILITY | 429 | 47.9% | 1.93 | 35% |
| hidden test | MEDIUM VOLATILITY | 249 | -5.8% | -0.19 | 33% |
| hidden test | NORMAL | 801 | 19.8% | 0.67 | 36% |
| hidden test | SIDEWAYS | 293 | 0.4% | 0.01 | 45% |
| hidden test | UPTREND | 371 | 59.6% | 1.77 | 34% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 15.0% | 0.73 | 24% |
| train | EXTREME | 100 | 254.2% | 3.88 | 68% |
| train | HIGH VOLATILITY | 699 | 34.7% | 0.89 | 31% |
| train | LOW VOLATILITY | 745 | 29.3% | 1.48 | 40% |
| train | MEDIUM VOLATILITY | 568 | -16.8% | -0.69 | 28% |
| train | NORMAL | 1,601 | 4.0% | 0.15 | 33% |
| train | SIDEWAYS | 592 | 13.0% | 0.48 | 37% |
| train | UPTREND | 902 | 36.7% | 1.06 | 39% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 8.0% | 0.38 | 17% |
| validation | EXTREME | 144 | 232.7% | 3.23 | 66% |
| validation | HIGH VOLATILITY | 258 | 79.1% | 1.40 | 31% |
| validation | LOW VOLATILITY | 183 | 13.9% | 0.68 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 59.1% | 1.81 | 34% |
| validation | NORMAL | 474 | 14.7% | 0.50 | 30% |
| validation | SIDEWAYS | 206 | -0.5% | -0.02 | 28% |
| validation | UPTREND | 425 | 87.4% | 1.79 | 44% |
Trades (full period)
latest 100 of 118
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | -0.63% | 2 | 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 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -2.19% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 16.67% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 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 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 25.92% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 15.42% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 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 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 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 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 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 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 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 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.02% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 1.28% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.96% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 11.38% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -1.96% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -1.52% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-13 | 2020-02-26 | $23.89 | $51.92 | 79.78% | 50 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 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 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 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 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 13.92% | 19 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -1.47% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.13% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -2.86% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 5.12% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -1.21% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -1.59% | 3 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.55% | 2 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 8.60% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 1.20% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 26.56% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 | |
| 2015-12-18 | 2016-01-06 | $15.36 | $14.60 | -4.46% | 12 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -5.68% | 12 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.81% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 8.14% | 28 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 8.66% | 20 |