Strategy Zoo / S0568
MACDMomentum_V0568
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high volatility/expensive-bubble periods; tightened entry to two clear momentum/breakout branches (macd_hist+price above SMA50 OR breakout with rel_volume and SMA50>200); improved exits by adding hard drawdown cut (12%) and a combined technical failure (price < SMA50 with macd_hist < macd_signal); introduced volatility-based position sizing (full size in low vol + positive SMA50 slope and trend confirmation, reduced size in high vol); lowered base position to moderate risk.
Fitness
0.1603
Generation
26
Complexity
17
Created
2026-09-23
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0568 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.4 and sma_50 > sma_200)):
position = 0.7
if long and (macd_hist < 0.0 or drawdown > 0.12 or (close < sma_50 and macd_hist < macd_signal)):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.5% | 4.1% | 7.8% | 2.5% |
| Total Return | -3.5% | 12.8% | 32.1% | 43.8% |
| Sharpe | 0.02 | 0.35 | 0.57 | 0.25 |
| Sortino | 0.01 | 0.22 | 0.40 | 0.16 |
| Calmar | -0.01 | 0.28 | 0.54 | 0.08 |
| Volatility | 12.3% | 14.2% | 15.1% | 13.5% |
| Max DD | -31.0% | -14.6% | -14.5% | -31.0% |
| Win Rate | 40.4% | 23.1% | 37.5% | 36.9% |
| Avg Win | 4.5% | 11.5% | 7.1% | 6.0% |
| Avg Loss | -3.0% | -2.0% | -2.1% | -2.6% |
| Payoff | 1.49 | 5.78 | 3.38 | 2.31 |
| Expectancy | 0.0% | 1.1% | 1.4% | 0.6% |
| Profit Factor | 1.01 | 1.73 | 2.03 | 1.35 |
| Trades | 47 | 13 | 24 | 84 |
| Avg Holding Days | 7.5 | 9.9 | 8.3 | 8.1 |
| Turnover | 8.2 | 6.1 | 9.1 | 8.0 |
| Exposure | 10.6% | 10.7% | 13.2% | 11.3% |
Growth of $100
MACDMomentum_V0568 vs TSLA Buy & Hold
MACDMomentum_V0568 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 | -2.9% | -0.27 | -8.1% | 5 |
| 2017 | 9.0% | 1.12 | -3.8% | 6 |
| 2018 | -4.8% | -0.68 | -8.5% | 3 |
| 2019 | -2.7% | -0.06 | -17.3% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 2.4% | 0.22 | -14.1% | 8 |
| 2022 | 0.8% | 0.12 | -14.6% | 4 |
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 | 269 | -2.5% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 30.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.6% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 429 | 15.8% | 1.02 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | 12.9% | 0.75 | 13% |
| hidden test | NORMAL | 802 | 7.0% | 0.44 | 15% |
| hidden test | SIDEWAYS | 293 | -6.5% | -0.35 | 25% |
| hidden test | UPTREND | 371 | 28.7% | 1.66 | 13% |
| train | DOWNTREND | 518 | -5.6% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 9.0% | 1.83 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.9% | 0.33 | 1% |
| train | LOW VOLATILITY | 745 | 11.7% | 1.04 | 20% |
| train | MEDIUM VOLATILITY | 568 | -19.2% | -1.39 | 11% |
| train | NORMAL | 1,601 | -1.4% | -0.10 | 13% |
| train | SIDEWAYS | 592 | -9.0% | -0.64 | 16% |
| train | UPTREND | 902 | 9.8% | 0.71 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 0.9% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | -1.2% | -0.10 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 12.0% | 0.73 | 11% |
| validation | NORMAL | 474 | 8.0% | 0.45 | 17% |
| validation | SIDEWAYS | 206 | -3.9% | -0.25 | 15% |
| validation | UPTREND | 425 | 10.8% | 0.69 | 12% |
Trades (full period)
84 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.03% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.88% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.56% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 8.78% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.34% | 9 | |
| 2025-07-21 | 2025-07-31 | $328.49 | $308.27 | -2.30% | 9 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 4.58% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.63% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 23.89% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.36% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.10% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.78% | 8 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.36% | 17 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.61% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.49% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.75% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 9.20% | 16 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 6.71% | 6 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 18.67% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.45% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -6.38% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.37% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.52% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.73% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -5.63% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.25% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 1.76% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -0.90% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.01% | 8 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.08% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.53% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.68% | 13 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -4.55% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.87% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.48% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -3.18% | 4 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.77% | 5 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -3.41% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.08% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.26% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.11% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.65% | 6 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -0.76% | 4 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -2.43% | 9 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -6.26% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 8.31% | 18 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 7.61% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.47% | 2 | |
| 2014-05-28 | 2014-06-11 | $14.02 | $13.63 | -3.21% | 11 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 0.98% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -5.53% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.47% | 2 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 4.61% | 28 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.68% | 4 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -1.97% | 7 | |
| 2012-06-27 | 2012-07-03 | $2.13 | $2.04 | -2.82% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 4.18% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.10% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.23% | 10 |