Strategy Zoo / S0610
MACDMomentum_V0610
ARCHIVEDhybridstructuraladded entry filter: vol_chg > -0.113; changed macd_hist threshold 0.0 -> -1.6584
Fitness
0.6451
Generation
28
Complexity
16
Created
2026-09-23
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0610 [hybrid]
if flat and (((macd_hist > -1.6584 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))) and vol_chg > -0.113):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.2% | 89.3% | 25.0% | 29.8% |
| Total Return | 188.7% | 578.3% | 128.2% | 4501.9% |
| Sharpe | 0.57 | 1.65 | 0.84 | 0.91 |
| Sortino | 0.61 | 1.89 | 0.88 | 0.99 |
| Calmar | 0.32 | 3.27 | 0.62 | 0.68 |
| Volatility | 32.6% | 44.5% | 33.1% | 35.5% |
| Max DD | -43.9% | -27.3% | -40.2% | -43.9% |
| Win Rate | 41.8% | 47.1% | 41.9% | 42.9% |
| Avg Win | 7.3% | 13.5% | 11.0% | 9.6% |
| Avg Loss | -3.4% | -3.1% | -3.8% | -3.4% |
| Payoff | 2.18 | 4.37 | 2.88 | 2.83 |
| Expectancy | 1.1% | 4.7% | 2.4% | 2.2% |
| Profit Factor | 1.57 | 3.88 | 2.07 | 2.12 |
| Trades | 165 | 51 | 43 | 259 |
| Avg Holding Days | 6.1 | 7.2 | 9.6 | 6.9 |
| Turnover | 41.5 | 34.0 | 23.5 | 35.3 |
| Exposure | 42.0% | 41.9% | 39.8% | 41.5% |
Growth of $100
MACDMomentum_V0610 vs TSLA Buy & Hold
MACDMomentum_V0610 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 | 13.4% | 0.80 | -18.5% | 13 |
| 2017 | 24.2% | 0.98 | -21.8% | 31 |
| 2018 | -14.3% | -0.35 | -28.2% | 19 |
| 2019 | 31.0% | 0.99 | -19.4% | 13 |
| 2020 | 339.1% | 2.66 | -27.3% | 26 |
| 2021 | 31.0% | 1.01 | -23.7% | 19 |
| 2022 | -0.2% | 0.12 | -17.6% | 6 |
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 | 15.1% | 0.63 | 26% |
| hidden test | EXPENSIVE | 83 | 99.9% | 2.18 | 53% |
| hidden test | EXTREME | 48 | 154.8% | 3.42 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 44.0% | 1.04 | 42% |
| hidden test | LOW VOLATILITY | 429 | 47.4% | 1.85 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.6% | -0.67 | 38% |
| hidden test | NORMAL | 802 | 12.7% | 0.41 | 39% |
| hidden test | SIDEWAYS | 293 | -2.3% | -0.07 | 49% |
| hidden test | UPTREND | 371 | 60.6% | 1.56 | 43% |
| train | DOWNTREND | 518 | -4.4% | -0.26 | 17% |
| train | EXPENSIVE | 311 | 49.1% | 1.31 | 60% |
| train | EXTREME | 100 | 305.5% | 4.43 | 76% |
| train | HIGH VOLATILITY | 699 | 44.6% | 1.05 | 36% |
| train | LOW VOLATILITY | 745 | 30.8% | 1.32 | 50% |
| train | MEDIUM VOLATILITY | 568 | -29.7% | -1.03 | 38% |
| train | NORMAL | 1,601 | -5.4% | -0.20 | 36% |
| train | SIDEWAYS | 592 | 0.3% | 0.01 | 41% |
| train | UPTREND | 902 | 43.6% | 1.08 | 57% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 46.3% | 1.18 | 43% |
| validation | EXTREME | 144 | 277.8% | 3.63 | 74% |
| validation | HIGH VOLATILITY | 258 | 84.4% | 1.45 | 35% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.36 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 89.2% | 2.18 | 44% |
| validation | NORMAL | 474 | 19.5% | 0.65 | 32% |
| validation | SIDEWAYS | 206 | -1.8% | -0.07 | 30% |
| validation | UPTREND | 425 | 121.1% | 2.22 | 56% |
Trades (full period)
latest 100 of 260
| 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 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 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 | |
| 2025-11-07 | 2025-11-10 | $429.52 | $445.23 | -3.87% | 2 | |
| 2025-11-05 | 2025-11-06 | $462.07 | $445.91 | 3.81% | 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 | |
| 2025-08-11 | 2025-08-22 | $339.03 | $340.01 | -3.09% | 10 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 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 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.72% | 2 | |
| 2024-06-07 | 2024-06-10 | $177.48 | $173.79 | -0.46% | 2 | |
| 2024-06-05 | 2024-06-06 | $175.00 | $177.94 | -0.07% | 2 | |
| 2024-06-03 | 2024-06-04 | $176.29 | $174.77 | -1.20% | 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 | |
| 2023-10-05 | 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 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-05-23 | 2023-06-27 | $185.77 | $250.21 | 27.37% | 24 | |
| 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 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.89% | 10 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 14.07% | 25 | |
| 2022-03-21 | 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 | |
| 2021-10-13 | 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 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-27 | 2021-08-30 | $237.31 | $243.64 | 1.33% | 2 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 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 | |
| 2021-07-16 | 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 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-21 | 2020-12-23 | $216.62 | $215.33 | -8.06% | 3 | |
| 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 | |
| 2020-10-23 | 2020-10-26 | $140.21 | $140.09 | -1.41% | 2 | |
| 2020-10-21 | 2020-10-22 | $140.88 | $141.93 | -0.03% | 2 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 26.47% | 16 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 4.06% | 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 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2020-03-05 | 2020-03-06 | $48.30 | $46.90 | -3.53% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2019-12-13 | 2020-02-26 | $23.89 | $51.92 | 121.95% | 50 | |
| 2019-12-11 | 2019-12-12 | $23.51 | $23.98 | 0.91% | 2 | |
| 2019-12-09 | 2019-12-10 | $22.64 | $23.26 | 0.88% | 2 | |
| 2019-11-26 | 2019-11-27 | $21.93 | $22.09 | -2.40% | 2 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-10 | 2019-11-21 | $16.32 | $23.66 | 43.75% | 31 |