Strategy Zoo / S0571
MACDMomentum_V0571
ARCHIVEDmomentumllmAdded a 20-day return filter to entry to ensure momentum confirmation; strengthened exit by adding price cross under sma_50 and a drawdown stop (drawdown > 15%); added regime gates to avoid downtrends and high-volatility regimes and to avoid extreme bubble states; introduced volatility-based position sizing (smaller size in high vol, medium size in medium vol) to reduce risk and drawdown.
Fitness
0.3855
Generation
26
Complexity
11
Created
2026-09-23
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0571 [momentum]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (macd_hist > 0.0 and close > sma_50 and ret_20d > 0.0):
position = 1.0
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.15):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.2% | 30.4% | 0.6% | 8.3% |
| Total Return | 38.8% | 121.5% | 2.1% | 223.1% |
| Sharpe | 0.31 | 1.18 | 0.13 | 0.48 |
| Sortino | 0.21 | 0.98 | 0.09 | 0.34 |
| Calmar | 0.11 | 1.49 | 0.02 | 0.23 |
| Volatility | 19.4% | 25.1% | 21.6% | 21.3% |
| Max DD | -36.6% | -20.4% | -35.6% | -36.6% |
| Win Rate | 38.5% | 35.0% | 28.6% | 35.0% |
| Avg Win | 8.4% | 19.9% | 11.7% | 12.2% |
| Avg Loss | -4.2% | -3.2% | -4.0% | -4.0% |
| Payoff | 1.97 | 6.20 | 2.92 | 3.06 |
| Expectancy | 0.6% | 4.9% | 0.5% | 1.7% |
| Profit Factor | 1.23 | 3.34 | 1.17 | 1.65 |
| Trades | 52 | 20 | 28 | 100 |
| Avg Holding Days | 7.7 | 9.2 | 7.4 | 8.0 |
| Turnover | 13.2 | 13.3 | 15.1 | 13.6 |
| Exposure | 17.9% | 21.6% | 19.1% | 19.0% |
Growth of $100
MACDMomentum_V0571 vs TSLA Buy & Hold
MACDMomentum_V0571 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 | 0.8% | 0.12 | -7.1% | 5 |
| 2017 | 28.1% | 1.48 | -10.1% | 11 |
| 2018 | -7.0% | -0.68 | -12.0% | 3 |
| 2019 | 4.4% | 0.29 | -24.2% | 4 |
| 2020 | 71.6% | 2.22 | -8.0% | 5 |
| 2021 | 28.3% | 0.99 | -19.8% | 10 |
| 2022 | 0.6% | 0.12 | -20.4% | 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 | -3.6% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 44.4% | 1.56 | 27% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.8% | -0.63 | 2% |
| hidden test | LOW VOLATILITY | 429 | 27.2% | 1.21 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.8% | -1.04 | 20% |
| hidden test | NORMAL | 802 | -1.2% | -0.06 | 19% |
| hidden test | SIDEWAYS | 293 | -34.4% | -1.45 | 31% |
| hidden test | UPTREND | 371 | 37.1% | 1.38 | 23% |
| train | DOWNTREND | 518 | -8.1% | -1.21 | 1% |
| train | EXPENSIVE | 311 | 46.1% | 1.88 | 28% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 12.7% | 0.64 | 2% |
| train | LOW VOLATILITY | 745 | 19.8% | 1.10 | 33% |
| train | MEDIUM VOLATILITY | 568 | -20.4% | -0.98 | 18% |
| train | NORMAL | 1,601 | -2.2% | -0.12 | 17% |
| train | SIDEWAYS | 592 | -13.0% | -0.65 | 23% |
| train | UPTREND | 902 | 26.5% | 1.13 | 25% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 107.6% | 3.10 | 33% |
| validation | EXTREME | 144 | 38.4% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | -11.9% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 13.1% | 0.67 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 73.2% | 2.15 | 30% |
| validation | NORMAL | 474 | 4.3% | 0.18 | 24% |
| validation | SIDEWAYS | 206 | -5.5% | -0.25 | 22% |
| validation | UPTREND | 425 | 55.4% | 1.86 | 28% |
Trades (full period)
100 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -2.28% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 35.14% | 18 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.98% | 2 | |
| 2023-08-31 | 2023-09-05 | $258.08 | $256.49 | -4.82% | 3 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-03-31 | 2023-04-06 | $207.46 | $185.06 | -5.18% | 5 | |
| 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 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -3.77% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -3.59% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 26.78% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 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 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 4.17% | 9 | |
| 2021-01-05 | 2021-01-11 | $245.04 | $270.40 | 20.35% | 5 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.82% | 6 | |
| 2020-11-18 | 2020-12-08 | $162.21 | $216.63 | 45.05% | 14 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2019-12-16 | 2020-01-22 | $25.43 | $37.97 | 52.39% | 25 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 16.39% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.47% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.46% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-05 | 2017-06-14 | $23.15 | $25.38 | 10.40% | 8 | |
| 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 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-03-27 | 2017-04-04 | $18.01 | $20.25 | 13.21% | 7 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 13.31% | 25 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.69% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -6.00% | 4 | |
| 2015-09-21 | 2015-09-29 | $17.61 | $16.44 | -4.87% | 7 | |
| 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 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 5.86% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.35% | 6 | |
| 2014-11-25 | 2014-12-01 | $16.54 | $15.44 | -1.09% | 4 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 9.86% | 16 | |
| 2014-06-16 | 2014-07-07 | $14.97 | $14.84 | 10.85% | 15 | |
| 2014-06-12 | 2014-06-13 | $13.57 | $13.76 | -0.66% | 2 | |
| 2014-06-06 | 2014-06-11 | $13.88 | $13.63 | -2.42% | 4 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 26.72% | 9 | |
| 2014-01-03 | 2014-01-10 | $9.97 | $9.71 | -1.91% | 6 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.95% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 15.80% | 4 | |
| 2013-03-13 | 2013-03-18 | $2.60 | $2.34 | -9.97% | 4 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 6.48% | 28 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-07-13 | 2012-07-23 | $2.28 | $2.04 | -2.97% | 7 | |
| 2012-06-28 | 2012-07-03 | $2.09 | $2.04 | -5.07% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 5.91% | 5 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -3.22% | 3 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.73% | 10 |