Strategy Zoo / S0601
MACDMomentum_V0601
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> -1.6766
Fitness
0.4305
Generation
27
Complexity
14
Created
2026-09-23
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.0207
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0601 [hybrid]
if flat and ((macd_hist > -1.6766 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.0207) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.2% | 67.2% | 18.1% | 20.5% |
| Total Return | 74.4% | 367.2% | 85.0% | 1451.2% |
| Sharpe | 0.37 | 1.33 | 0.66 | 0.69 |
| Sortino | 0.43 | 1.46 | 0.72 | 0.77 |
| Calmar | 0.11 | 1.68 | 0.41 | 0.31 |
| Volatility | 34.1% | 46.7% | 33.8% | 37.0% |
| Max DD | -67.0% | -39.9% | -44.6% | -67.0% |
| Win Rate | 40.5% | 49.3% | 37.3% | 41.6% |
| Avg Win | 5.8% | 9.8% | 9.6% | 7.5% |
| Avg Loss | -3.0% | -3.6% | -3.4% | -3.2% |
| Payoff | 1.94 | 2.70 | 2.78 | 2.35 |
| Expectancy | 0.6% | 3.0% | 1.4% | 1.3% |
| Profit Factor | 1.32 | 2.63 | 1.66 | 1.68 |
| Trades | 237 | 69 | 59 | 365 |
| Avg Holding Days | 5.0 | 5.9 | 7.6 | 5.6 |
| Turnover | 59.5 | 46.0 | 32.1 | 49.8 |
| Exposure | 47.3% | 44.8% | 41.9% | 45.5% |
Growth of $100
MACDMomentum_V0601 vs TSLA Buy & Hold
MACDMomentum_V0601 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 | 5.8% | 0.40 | -25.1% | 19 |
| 2017 | -4.1% | -0.02 | -30.7% | 40 |
| 2018 | -28.0% | -0.88 | -37.3% | 27 |
| 2019 | 7.0% | 0.37 | -31.1% | 22 |
| 2020 | 200.7% | 1.96 | -39.9% | 38 |
| 2021 | 35.8% | 1.11 | -23.7% | 23 |
| 2022 | 0.3% | 0.15 | -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 | 83.4% | 1.78 | 54% |
| hidden test | EXTREME | 48 | 170.3% | 3.70 | 44% |
| hidden test | HIGH VOLATILITY | 254 | 35.6% | 0.83 | 45% |
| hidden test | LOW VOLATILITY | 429 | 48.4% | 1.83 | 41% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.2% | -1.05 | 40% |
| hidden test | NORMAL | 802 | 7.1% | 0.23 | 41% |
| hidden test | SIDEWAYS | 293 | -7.6% | -0.23 | 51% |
| hidden test | UPTREND | 371 | 47.8% | 1.20 | 46% |
| train | DOWNTREND | 518 | -10.6% | -0.57 | 21% |
| train | EXPENSIVE | 311 | 27.7% | 0.71 | 67% |
| train | EXTREME | 100 | 357.7% | 5.00 | 85% |
| train | HIGH VOLATILITY | 699 | 35.6% | 0.80 | 43% |
| train | LOW VOLATILITY | 745 | 23.7% | 0.96 | 55% |
| train | MEDIUM VOLATILITY | 568 | -30.1% | -1.00 | 42% |
| train | NORMAL | 1,601 | -11.8% | -0.41 | 41% |
| train | SIDEWAYS | 592 | -3.9% | -0.13 | 44% |
| train | UPTREND | 902 | 36.9% | 0.87 | 65% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 25.0% | 0.57 | 50% |
| validation | EXTREME | 144 | 231.1% | 2.85 | 77% |
| validation | HIGH VOLATILITY | 258 | 37.5% | 0.60 | 37% |
| validation | LOW VOLATILITY | 183 | 34.3% | 1.45 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 98.7% | 2.39 | 47% |
| validation | NORMAL | 474 | 21.8% | 0.72 | 34% |
| validation | SIDEWAYS | 206 | -2.7% | -0.09 | 32% |
| validation | UPTREND | 425 | 101.3% | 1.75 | 61% |
Trades (full period)
latest 100 of 366
| 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 | |
| 2026-06-30 | 2026-07-15 | $420.60 | $394.46 | -3.99% | 11 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 3.54% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 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 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 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 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 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 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 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 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.72% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -2.28% | 2 | |
| 2024-06-06 | 2024-06-07 | $177.94 | $177.48 | 1.48% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -1.06% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 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 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 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 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.89% | 10 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 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 | |
| 2021-12-27 | 2022-01-12 | $364.65 | $368.74 | -0.44% | 13 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 23 | |
| 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 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 2.36% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-20 | 2021-08-23 | $226.75 | $235.43 | 0.81% | 2 | |
| 2021-08-18 | 2021-08-19 | $229.66 | $224.49 | 3.29% | 2 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 | |
| 2021-07-28 | 2021-07-29 | $215.66 | $225.78 | 0.14% | 2 | |
| 2021-07-26 | 2021-07-27 | $219.21 | $214.93 | 2.01% | 2 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -1.12% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 2.01% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 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 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 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 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 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 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -6.52% | 4 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-27 | 2020-10-28 | $141.56 | $135.34 | 0.85% | 2 | |
| 2020-10-23 | 2020-10-26 | $140.21 | $140.09 | -1.41% | 2 | |
| 2020-10-21 | 2020-10-22 | $140.88 | $141.93 | -0.03% | 2 |