MACDMomentum_V0655

REJECTEDmomentum

llmAdded regime gates to trade only in UPTREND and non-HIGH volatility, excluded bubble regimes; tightened entries with RSI <70 and vol_pctile <0.8 and allowed either SMA50 crossover or 20-day breakout to reduce false entries; expanded exit to include SMA50 breakdown or RSI>75 for faster exits; reduced base position to 0.6 to lower drawdown/turnover. | rejected: fitness 0.048 below threshold

Fitness

0.0482

Generation

Complexity

Created

2026-09-24

Lineage

Parents (1)

MACDMomentum_V0005S0005 · gen 0ARCHIVEDllm

seed strategy

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0655  [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 or breakout_20 > 0.0) and rsi_14 < 70.0 and vol_pctile < 0.8):
    position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or rsi_14 > 75.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-0.1%	-4.6%	—	—
Total Return	-0.5%	-13.2%	—	—
Sharpe	0.02	-1.06	—	—
Sortino	0.01	-0.34	—	—
Calmar	-0.00	-0.33	—	—
Volatility	6.2%	4.4%	—	—
Max DD	-14.0%	-14.0%	—	—
Win Rate	38.5%	10.0%	—	—
Avg Win	2.9%	2.6%	—	—
Avg Loss	-1.8%	-1.8%	—	—
Payoff	1.64	1.44	—	—
Expectancy	0.0%	-1.4%	—	—
Profit Factor	1.03	0.16	—	—
Trades	26	10	—	—
Avg Holding Days	5.5	6.0	—	—
Turnover	3.9	4.0	—	—
Exposure	3.5%	4.0%	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
No walk-forward results

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
No regime results

Trades (full period)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded