Strategy Zoo / S0554
MACDMomentum_V0554
ARCHIVEDmomentumstructuralreplaced exit rule with: sma_20 < close
Fitness
0.2106
Generation
25
Complexity
4
Created
2026-09-22
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0554 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and sma_20 < close:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.0% | 16.0% | 1.5% | 5.2% |
| Total Return | 26.9% | 56.2% | 5.8% | 109.5% |
| Sharpe | 0.24 | 0.60 | 0.19 | 0.32 |
| Sortino | 0.26 | 0.62 | 0.19 | 0.33 |
| Calmar | 0.06 | 0.42 | 0.04 | 0.10 |
| Volatility | 27.2% | 34.1% | 28.1% | 28.9% |
| Max DD | -52.7% | -38.3% | -39.9% | -52.7% |
| Win Rate | 48.7% | 53.8% | 52.1% | 50.7% |
| Avg Win | 2.4% | 3.4% | 2.8% | 2.7% |
| Avg Loss | -2.0% | -3.0% | -2.8% | -2.4% |
| Payoff | 1.18 | 1.12 | 0.99 | 1.12 |
| Expectancy | 0.1% | 0.4% | 0.1% | 0.2% |
| Profit Factor | 1.11 | 1.30 | 1.07 | 1.15 |
| Trades | 372 | 145 | 167 | 685 |
| Avg Holding Days | 2.5 | 2.4 | 2.5 | 2.5 |
| Turnover | 93.3 | 96.7 | 90.3 | 93.3 |
| Exposure | 27.6% | 25.9% | 26.1% | 26.9% |
Growth of $100
MACDMomentum_V0554 vs TSLA Buy & Hold
MACDMomentum_V0554 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 | 3.5% | 0.28 | -10.5% | 58 |
| 2018 | -32.8% | -0.95 | -40.7% | 41 |
| 2019 | 22.0% | 0.88 | -25.0% | 40 |
| 2020 | 90.4% | 1.67 | -18.7% | 67 |
| 2021 | -4.4% | -0.04 | -32.3% | 51 |
| 2022 | -14.5% | -0.41 | -30.1% | 27 |
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 | 16.5% | 0.80 | 17% |
| hidden test | EXPENSIVE | 83 | 103.7% | 2.54 | 25% |
| hidden test | EXTREME | 48 | 82.7% | 2.92 | 21% |
| hidden test | HIGH VOLATILITY | 254 | 7.4% | 0.21 | 23% |
| hidden test | LOW VOLATILITY | 429 | 15.0% | 0.73 | 26% |
| hidden test | MEDIUM VOLATILITY | 249 | -13.1% | -0.43 | 30% |
| hidden test | NORMAL | 801 | -9.4% | -0.36 | 26% |
| hidden test | SIDEWAYS | 293 | -31.3% | -1.09 | 34% |
| hidden test | UPTREND | 371 | 26.5% | 0.83 | 26% |
| train | DOWNTREND | 518 | -23.3% | -0.92 | 27% |
| train | EXPENSIVE | 311 | 26.0% | 1.18 | 28% |
| train | EXTREME | 100 | 165.5% | 2.98 | 36% |
| train | HIGH VOLATILITY | 699 | 13.4% | 0.36 | 28% |
| train | LOW VOLATILITY | 745 | -1.6% | -0.09 | 30% |
| train | MEDIUM VOLATILITY | 568 | 8.9% | 0.41 | 24% |
| train | NORMAL | 1,601 | -7.1% | -0.28 | 27% |
| train | SIDEWAYS | 592 | 9.4% | 0.42 | 27% |
| train | UPTREND | 902 | 21.9% | 0.71 | 28% |
| validation | DOWNTREND | 125 | 22.8% | 1.01 | 9% |
| validation | EXPENSIVE | 138 | 52.0% | 1.69 | 24% |
| validation | EXTREME | 144 | 78.2% | 1.48 | 33% |
| validation | HIGH VOLATILITY | 258 | 20.0% | 0.46 | 18% |
| validation | LOW VOLATILITY | 183 | 3.2% | 0.16 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 31.3% | 0.98 | 29% |
| validation | NORMAL | 474 | -6.0% | -0.22 | 24% |
| validation | SIDEWAYS | 206 | -0.2% | -0.01 | 33% |
| validation | UPTREND | 425 | 30.0% | 0.80 | 28% |
Trades (full period)
latest 100 of 685
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-21 | $364.27 | — | -0.73% | 2 | |
| 2026-09-15 | 2026-09-17 | $356.58 | $366.20 | -0.45% | 3 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-01 | 2026-06-30 | $415.88 | $420.60 | -5.69% | 21 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-29 | 2026-01-23 | $459.64 | $449.06 | -5.63% | 18 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-12 | 2025-12-15 | $458.96 | $475.31 | 2.50% | 2 | |
| 2025-12-10 | 2025-12-11 | $451.45 | $446.89 | 1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-06-25 | 2025-07-17 | $327.55 | $319.41 | -5.71% | 16 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-11-06 | 2024-11-07 | $288.53 | $296.91 | 14.54% | 2 | |
| 2024-11-04 | 2024-11-05 | $242.84 | $251.44 | -2.66% | 2 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 4.73% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 7.15% | 2 | |
| 2024-09-17 | 2024-09-18 | $227.87 | $227.20 | 0.28% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-06 | 2024-09-10 | $210.73 | $226.17 | -6.24% | 3 | |
| 2024-08-22 | 2024-08-26 | $210.66 | $213.21 | -1.52% | 3 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 |