Strategy Zoo / S0654
MACDMomentum_V0654
ARCHIVEDmomentumllmAdded momentum_60 filter to entry to require broader-strength; strengthened exits to also leave on close < sma_50 or a 5-day loss >3%; added regime gates to trade only in UPTREND and low/medium volatility and NORMAL bubble; introduced volatility-based sizing (vol_pctile>0.6 -> 0.6, >0.8 -> 0.4) and reduced base_position to 0.9 to lower risk in uncertain regimes.
Fitness
0.1687
Generation
30
Complexity
11
Created
2026-09-24
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0654 [momentum]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (macd_hist > 0.0 and close > sma_50 and momentum_60 > 0.0):
position = 0.9
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.03):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | -0.4% | 3.9% | 1.7% |
| Total Return | 12.3% | -1.3% | 15.3% | 27.8% |
| Sharpe | 0.19 | 0.02 | 0.34 | 0.20 |
| Sortino | 0.09 | 0.01 | 0.13 | 0.09 |
| Calmar | 0.11 | -0.01 | 0.23 | 0.06 |
| Volatility | 9.9% | 12.2% | 14.0% | 11.6% |
| Max DD | -13.5% | -28.5% | -16.8% | -28.5% |
| Win Rate | 36.7% | 9.1% | 46.7% | 33.9% |
| Avg Win | 5.6% | 39.1% | 6.9% | 7.9% |
| Avg Loss | -2.5% | -3.3% | -3.9% | -3.0% |
| Payoff | 2.28 | 10.00 | 1.78 | 2.61 |
| Expectancy | 0.5% | 0.5% | 1.2% | 0.7% |
| Profit Factor | 1.32 | 1.17 | 1.56 | 1.34 |
| Trades | 30 | 11 | 15 | 56 |
| Avg Holding Days | 5.8 | 7.0 | 5.3 | 5.9 |
| Turnover | 6.8 | 6.6 | 7.3 | 6.9 |
| Exposure | 6.4% | 7.9% | 6.3% | 6.7% |
Growth of $100
MACDMomentum_V0654 vs TSLA Buy & Hold
MACDMomentum_V0654 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 | 0.1% | 0.04 | -6.2% | 3 |
| 2017 | 8.6% | 1.10 | -4.9% | 6 |
| 2018 | -7.1% | -1.20 | -7.0% | 2 |
| 2019 | 4.2% | 0.72 | -1.4% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 27.0% | 1.39 | -8.0% | 5 |
| 2022 | -22.3% | -2.40 | -22.2% | 5 |
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 | 270 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 19.3% | 1.69 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -15.6% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 430 | 10.7% | 0.81 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | 15.4% | 1.03 | 7% |
| hidden test | NORMAL | 803 | 3.6% | 0.25 | 7% |
| hidden test | SIDEWAYS | 293 | -18.4% | -1.79 | 2% |
| hidden test | UPTREND | 371 | 26.7% | 1.32 | 15% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 10.6% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.1% | 0.59 | 0% |
| train | LOW VOLATILITY | 745 | 6.4% | 0.57 | 14% |
| train | MEDIUM VOLATILITY | 568 | -7.7% | -0.79 | 4% |
| train | NORMAL | 1,601 | 0.4% | 0.04 | 8% |
| train | SIDEWAYS | 592 | -3.7% | -1.05 | 1% |
| train | UPTREND | 902 | 6.7% | 0.46 | 14% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -0.2% | -1.40 | 0% |
| validation | LOW VOLATILITY | 183 | -4.4% | -0.34 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 3.4% | 0.21 | 6% |
| validation | NORMAL | 474 | 0.5% | 0.03 | 13% |
| validation | SIDEWAYS | 206 | -16.8% | -1.90 | 1% |
| validation | UPTREND | 425 | 8.7% | 0.58 | 13% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.97% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.46% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.46% | 18 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 6.43% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.39% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.81% | 5 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.16% | 2 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 1.09% | 3 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 5.84% | 5 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.15% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -7.77% | 2 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 13.19% | 8 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.43% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.07% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 14.32% | 17 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.34% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -3.81% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.06% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.14% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -8.02% | 3 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -3.24% | 5 | |
| 2021-10-13 | 2021-11-09 | $270.36 | $341.17 | 39.08% | 20 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.10% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.16% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.26% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.30% | 9 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 5.62% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.39% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.29% | 6 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.86% | 3 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.17% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.19% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 5.26% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.90% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.68% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 10.70% | 14 | |
| 2016-08-01 | 2016-08-09 | $15.33 | $15.27 | -3.48% | 7 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.05% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.58% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.11% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.73% | 13 | |
| 2015-05-11 | 2015-05-22 | $15.97 | $16.52 | 3.24% | 10 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -1.90% | 3 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -1.07% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.37% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 10.73% | 18 | |
| 2014-06-23 | 2014-07-03 | $15.81 | $15.28 | -0.22% | 9 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 14.22% | 4 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -3.41% | 6 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.11% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.89% | 2 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 2.99% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.13% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.90% | 3 | |
| 2012-02-23 | 2012-02-28 | $2.30 | $2.25 | -1.75% | 4 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.39% | 2 |