Strategy Zoo / S0622
MACDMomentum_V0622
ARCHIVEDhybridstructuralswapped indicator macd_hist -> momentum_60
Fitness
0.5597
Generation
28
Complexity
14
Created
2026-09-23
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.0207
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0622 [hybrid]
if flat and ((momentum_60 > 0.3171 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 | 14.7% | 82.6% | 9.5% | 24.9% |
| Total Return | 199.2% | 508.8% | 39.9% | 2523.8% |
| Sharpe | 0.61 | 1.51 | 0.45 | 0.82 |
| Sortino | 0.58 | 1.73 | 0.39 | 0.80 |
| Calmar | 0.29 | 2.92 | 0.27 | 0.50 |
| Volatility | 29.9% | 47.2% | 30.7% | 34.4% |
| Max DD | -50.1% | -28.3% | -35.5% | -50.1% |
| Win Rate | 44.9% | 51.3% | 43.3% | 46.5% |
| Avg Win | 8.4% | 9.1% | 6.3% | 8.5% |
| Avg Loss | -3.9% | -3.5% | -3.4% | -3.6% |
| Payoff | 2.16 | 2.61 | 1.86 | 2.33 |
| Expectancy | 1.6% | 3.0% | 0.8% | 2.0% |
| Profit Factor | 1.76 | 2.75 | 1.42 | 2.03 |
| Trades | 107 | 78 | 60 | 245 |
| Avg Holding Days | 7.0 | 5.3 | 5.6 | 6.2 |
| Turnover | 26.9 | 52.0 | 32.4 | 33.4 |
| Exposure | 32.7% | 43.9% | 29.6% | 34.2% |
Growth of $100
MACDMomentum_V0622 vs TSLA Buy & Hold
MACDMomentum_V0622 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 | -11.9% | -0.83 | -19.3% | 9 |
| 2017 | 8.0% | 0.45 | -19.9% | 18 |
| 2018 | -12.5% | -0.48 | -23.6% | 8 |
| 2019 | 13.9% | 0.57 | -25.1% | 10 |
| 2020 | 441.8% | 2.84 | -24.2% | 40 |
| 2021 | 1.4% | 0.22 | -27.9% | 29 |
| 2022 | -3.1% | -0.01 | -17.6% | 8 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 30.3% | 0.61 | 64% |
| hidden test | EXTREME | 48 | 201.6% | 3.96 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 17.3% | 0.44 | 30% |
| hidden test | LOW VOLATILITY | 429 | 34.0% | 1.59 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -24.5% | -0.72 | 34% |
| hidden test | NORMAL | 802 | 0.8% | 0.03 | 24% |
| hidden test | SIDEWAYS | 293 | -17.2% | -0.55 | 32% |
| hidden test | UPTREND | 371 | 48.2% | 1.20 | 49% |
| train | DOWNTREND | 518 | -4.2% | -0.93 | 2% |
| train | EXPENSIVE | 311 | 31.6% | 0.85 | 59% |
| train | EXTREME | 100 | 351.8% | 4.92 | 84% |
| train | HIGH VOLATILITY | 699 | 47.0% | 1.16 | 33% |
| train | LOW VOLATILITY | 745 | 21.7% | 1.07 | 38% |
| train | MEDIUM VOLATILITY | 568 | -22.3% | -0.90 | 26% |
| train | NORMAL | 1,601 | -5.4% | -0.24 | 24% |
| train | SIDEWAYS | 592 | -1.1% | -0.05 | 28% |
| train | UPTREND | 902 | 43.5% | 1.07 | 54% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 75.1% | 1.61 | 57% |
| validation | EXTREME | 144 | 285.9% | 3.58 | 78% |
| validation | HIGH VOLATILITY | 258 | 114.7% | 1.82 | 40% |
| validation | LOW VOLATILITY | 183 | 16.9% | 0.77 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 67.2% | 1.58 | 47% |
| validation | NORMAL | 474 | 4.9% | 0.16 | 30% |
| validation | SIDEWAYS | 206 | 3.6% | 0.14 | 26% |
| validation | UPTREND | 425 | 119.4% | 2.01 | 64% |
Trades (full period)
latest 100 of 245
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -6.42% | 8 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 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 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-12 | 2025-06-13 | $319.11 | $325.31 | -2.44% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.86% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 7.83% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.05% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 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 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 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 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 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 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.58% | 2 | |
| 2023-07-28 | 2023-07-31 | $266.44 | $267.43 | 3.99% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-24 | 2023-07-25 | $269.06 | $265.28 | 3.27% | 2 | |
| 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 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-03-23 | 2023-04-06 | $192.22 | $185.06 | -3.14% | 11 | |
| 2023-03-21 | 2023-03-22 | $197.58 | $191.15 | 7.61% | 2 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -3.31% | 9 | |
| 2022-09-14 | 2022-09-23 | $302.61 | $275.33 | -1.41% | 8 | |
| 2022-09-09 | 2022-09-12 | $299.68 | $304.42 | 3.40% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 5.28% | 16 | |
| 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 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-12-07 | 2021-12-08 | $350.58 | $356.32 | 4.03% | 2 | |
| 2021-12-03 | 2021-12-06 | $338.32 | $336.34 | -6.61% | 2 | |
| 2021-12-01 | 2021-12-02 | $365.00 | $361.53 | -4.54% | 2 | |
| 2021-11-29 | 2021-11-30 | $379.00 | $381.59 | 4.88% | 2 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.43% | 2 | |
| 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 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 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 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 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 | |
| 2021-02-22 | 2021-02-23 | $238.17 | $232.95 | -8.74% | 2 | |
| 2021-02-18 | 2021-02-19 | $262.46 | $260.43 | -1.55% | 2 | |
| 2021-02-16 | 2021-02-17 | $265.41 | $266.05 | -2.64% | 2 | |
| 2021-02-11 | 2021-02-12 | $270.55 | $272.04 | 0.65% | 2 | |
| 2021-02-09 | 2021-02-10 | $283.15 | $268.27 | -1.82% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 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 |