Strategy Zoo / S0533

MACDMomentum_V0533

ARCHIVEDhybrid

structuraladded entry filter: dist_52w_high > -0.0249

Fitness

0.4778

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

MACDMomentum_V0272S0272 · gen 13ARCHIVEDstructural

entry = MACDMomentum_V0005 OR VolumeBreakout_V0185

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0533  [hybrid]
if flat and (((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))) and dist_52w_high > -0.0249):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	6.5%	61.4%	4.7%	15.7%
Total Return	65.1%	320.4%	18.6%	747.7%
Sharpe	0.40	1.52	0.37	0.73
Sortino	0.24	1.09	0.17	0.44
Calmar	0.20	2.38	0.26	0.46
Volatility	21.3%	35.4%	15.5%	23.8%
Max DD	-32.5%	-25.8%	-18.1%	-34.0%
Win Rate	43.5%	77.8%	40.0%	51.4%
Avg Win	16.9%	27.5%	19.0%	23.0%
Avg Loss	-6.9%	-7.0%	-5.5%	-6.7%
Payoff	2.44	3.92	3.43	3.43
Expectancy	3.4%	19.8%	4.3%	8.5%
Profit Factor	1.88	10.00	2.28	3.62
Trades	23	9	5	37
Avg Holding Days	10.7	16.1	10.8	12.4
Turnover	5.9	6.0	2.7	5.0
Exposure	11.6%	18.0%	5.3%	11.4%

Growth of $100

MACDMomentum_V0533 vs TSLA Buy & Hold

MACDMomentum_V0533 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	0.0%	0.00	0.0%	0
2017	9.0%	0.61	-9.7%	6
2018	-26.0%	-2.36	-25.9%	2
2019	16.6%	1.66	-3.8%	0
2020	233.2%	2.49	-18.3%	6
2021	41.8%	1.44	-16.8%	2
2022	-11.5%	-1.38	-14.5%	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	22.5%	0.63	20%
hidden test	EXTREME	48	126.8%	2.89	35%
hidden test	HIGH VOLATILITY	254	25.6%	1.06	11%
hidden test	LOW VOLATILITY	429	6.3%	0.72	3%
hidden test	MEDIUM VOLATILITY	249	-15.4%	-1.18	4%
hidden test	NORMAL	801	-3.2%	-0.56	2%
hidden test	SIDEWAYS	293	-0.9%	-0.67	1%
hidden test	UPTREND	371	15.2%	0.62	13%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	20.8%	0.70	32%
train	EXTREME	100	288.1%	4.19	70%
train	HIGH VOLATILITY	699	21.0%	0.68	13%
train	LOW VOLATILITY	745	3.5%	0.29	13%
train	MEDIUM VOLATILITY	568	-0.5%	-0.03	8%
train	NORMAL	1,601	-11.4%	-1.24	4%
train	SIDEWAYS	592	-4.4%	-0.74	0%
train	UPTREND	902	21.7%	0.69	26%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	67.3%	1.90	32%
validation	EXTREME	144	200.2%	3.04	48%
validation	HIGH VOLATILITY	258	57.9%	1.19	21%
validation	LOW VOLATILITY	183	19.4%	1.96	6%
validation	MEDIUM VOLATILITY	315	71.1%	2.22	23%
validation	NORMAL	474	5.8%	0.34	5%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	96.1%	2.04	32%

Trades (full period)

37 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-16	2025-12-30	$489.88	$454.43	-3.49%	10
2025-11-04	2025-11-05	$444.26	$462.07	-5.34%	2
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
2024-09-30	2024-10-04	$261.63	$250.08	-7.79%	5
2022-01-04	2022-01-12	$383.20	$368.74	-11.46%	7
2021-10-19	2021-11-11	$288.09	$354.50	22.49%	18
2021-01-05	2021-01-25	$245.04	$293.60	15.78%	14
2020-12-18	2020-12-23	$231.67	$215.33	-2.56%	4
2020-11-19	2020-12-17	$166.42	$218.63	27.72%	20
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-07-02	2020-07-27	$80.58	$102.64	26.32%	17
2020-06-09	2020-06-25	$62.71	$65.73	0.95%	13
2019-12-16	2020-02-26	$25.43	$51.92	122.76%	49
2018-12-14	2018-12-18	$24.38	$22.47	-7.72%	3
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2017-09-15	2017-09-25	$25.32	$23.00	-7.22%	7
2017-05-31	2017-06-27	$22.73	$24.16	12.43%	20
2017-05-15	2017-05-16	$21.06	$21.13	-2.95%	2
2017-05-02	2017-05-04	$21.26	$19.70	-3.85%	3
2017-03-29	2017-04-21	$18.49	$20.37	8.81%	17
2017-02-10	2017-02-22	$17.95	$18.23	2.84%	8
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-07-06	2015-07-09	$18.65	$17.19	-9.13%	4
2014-09-02	2014-09-12	$18.94	$18.61	3.73%	9
2014-08-07	2014-08-25	$16.83	$17.50	2.95%	13
2014-02-11	2014-03-11	$13.11	$15.63	21.27%	20
2013-09-23	2013-10-04	$12.07	$12.07	-5.69%	10
2013-08-23	2013-09-10	$10.79	$11.09	2.09%	12
2013-07-30	2013-08-15	$8.78	$9.31	3.31%	13
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-04-02	2013-06-04	$2.96	$6.32	110.35%	45
2013-03-12	2013-03-18	$2.61	$2.34	-9.92%	5
2013-01-29	2013-02-14	$2.53	$2.55	0.90%	13
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8
2012-03-13	2012-03-16	$2.41	$2.35	-3.00%	4
2012-02-17	2012-02-29	$2.33	$2.23	-1.28%	8