Strategy Zoo / S0600
MACDMomentum_V0600
ARCHIVEDhybridstructuraladded entry filter: vol_chg < 1.2824; swapped indicator macd_hist -> roc_20
Fitness
0.6522
Generation
27
Complexity
16
Created
2026-09-23
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0600 [hybrid]
if flat and (((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((roc_20 > 23.9768 and close > sma_50) and sma_50 > sma_200))) and vol_chg < 1.2824):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.1% | 74.5% | 31.4% | 32.2% |
| Total Return | 302.9% | 431.3% | 174.7% | 5954.8% |
| Sharpe | 0.71 | 1.48 | 1.00 | 0.98 |
| Sortino | 0.70 | 1.55 | 1.07 | 0.99 |
| Calmar | 0.45 | 3.08 | 1.05 | 0.76 |
| Volatility | 31.2% | 44.2% | 32.6% | 34.6% |
| Max DD | -42.5% | -24.2% | -30.0% | -42.5% |
| Win Rate | 40.6% | 47.2% | 41.2% | 42.5% |
| Avg Win | 16.2% | 16.7% | 14.3% | 16.5% |
| Avg Loss | -5.5% | -3.7% | -3.9% | -4.7% |
| Payoff | 2.93 | 4.49 | 3.65 | 3.54 |
| Expectancy | 3.3% | 5.9% | 3.6% | 4.3% |
| Profit Factor | 2.00 | 4.02 | 2.55 | 2.62 |
| Trades | 64 | 36 | 34 | 134 |
| Avg Holding Days | 12.5 | 9.3 | 11.5 | 11.5 |
| Turnover | 16.2 | 24.0 | 18.6 | 18.3 |
| Exposure | 37.0% | 39.6% | 38.6% | 38.0% |
Growth of $100
MACDMomentum_V0600 vs TSLA Buy & Hold
MACDMomentum_V0600 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 | 16.8% | 1.08 | -12.9% | 5 |
| 2017 | 16.5% | 0.80 | -19.6% | 11 |
| 2018 | 0.1% | 0.14 | -21.6% | 8 |
| 2019 | 19.8% | 0.69 | -28.9% | 6 |
| 2020 | 284.2% | 2.46 | -24.2% | 15 |
| 2021 | 18.1% | 0.69 | -22.4% | 14 |
| 2022 | -0.9% | 0.10 | -17.6% | 7 |
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 | 19.6% | 0.81 | 26% |
| hidden test | EXPENSIVE | 83 | 78.4% | 1.73 | 49% |
| hidden test | EXTREME | 48 | 151.9% | 3.23 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 44.2% | 1.04 | 42% |
| hidden test | LOW VOLATILITY | 429 | 55.7% | 2.19 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.0% | -0.59 | 37% |
| hidden test | NORMAL | 802 | 20.7% | 0.69 | 37% |
| hidden test | SIDEWAYS | 293 | -0.1% | -0.00 | 46% |
| hidden test | UPTREND | 371 | 67.8% | 1.79 | 42% |
| train | DOWNTREND | 518 | -8.3% | -0.46 | 19% |
| train | EXPENSIVE | 311 | 40.5% | 1.21 | 50% |
| train | EXTREME | 100 | 286.1% | 4.10 | 73% |
| train | HIGH VOLATILITY | 699 | 44.2% | 1.05 | 36% |
| train | LOW VOLATILITY | 745 | 31.8% | 1.50 | 43% |
| train | MEDIUM VOLATILITY | 568 | -17.3% | -0.67 | 30% |
| train | NORMAL | 1,601 | 2.2% | 0.08 | 32% |
| train | SIDEWAYS | 592 | 12.9% | 0.47 | 39% |
| train | UPTREND | 902 | 45.9% | 1.19 | 47% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 77.1% | 1.95 | 41% |
| validation | EXTREME | 144 | 224.6% | 2.94 | 69% |
| validation | HIGH VOLATILITY | 258 | 66.4% | 1.13 | 33% |
| validation | LOW VOLATILITY | 183 | 17.8% | 0.81 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 92.1% | 2.30 | 43% |
| validation | NORMAL | 474 | 13.5% | 0.46 | 30% |
| validation | SIDEWAYS | 206 | -0.5% | -0.02 | 28% |
| validation | UPTREND | 425 | 105.8% | 1.95 | 53% |
Trades (full period)
latest 100 of 135
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 2.38% | 3 | 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 | -5.34% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 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 | |
| 2025-08-08 | 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 | 20.02% | 26 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-29 | 2024-11-29 | $259.52 | $345.16 | 26.56% | 23 | |
| 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 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 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 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 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 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 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 | |
| 2021-09-28 | 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 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-19 | 2020-09-08 | $125.24 | $110.07 | 10.62% | 14 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 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 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 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 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-07 | 2018-08-20 | $25.30 | $20.56 | -10.84% | 10 | |
| 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 | |
| 2018-01-10 | 2018-02-05 | $22.32 | $22.21 | 2.81% | 18 | |
| 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 | |
| 2017-09-13 | 2017-09-25 | $24.42 | $23.00 | -3.41% | 9 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 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 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-13 | 2017-02-22 | $18.71 | $18.23 | 2.83% | 7 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 25.53% | 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 | |
| 2016-04-08 | 2016-04-14 | $16.67 | $16.79 | -1.24% | 5 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 |