Strategy Zoo / S0664
MACDMomentum_V0664
ARCHIVEDmomentumstructuralswapped indicator macd_hist -> rsi_14
Fitness
0.5557
Generation
30
Complexity
4
Created
2026-09-24
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0664 [momentum]
if flat and (rsi_14 > 61.1288 and close > sma_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.8% | 77.0% | 19.7% | 24.6% |
| Total Return | 127.0% | 454.2% | 94.7% | 2421.6% |
| Sharpe | 0.50 | 1.59 | 0.79 | 0.85 |
| Sortino | 0.46 | 1.59 | 0.67 | 0.79 |
| Calmar | 0.25 | 3.12 | 0.54 | 0.58 |
| Volatility | 28.5% | 41.3% | 27.6% | 31.4% |
| Max DD | -42.4% | -24.7% | -36.5% | -42.4% |
| Win Rate | 43.3% | 59.4% | 50.0% | 48.0% |
| Avg Win | 9.3% | 13.6% | 10.5% | 11.1% |
| Avg Loss | -4.5% | -3.6% | -4.9% | -4.5% |
| Payoff | 2.04 | 3.77 | 2.14 | 2.50 |
| Expectancy | 1.4% | 6.6% | 2.8% | 3.0% |
| Profit Factor | 1.56 | 5.51 | 2.14 | 2.31 |
| Trades | 90 | 32 | 30 | 152 |
| Avg Holding Days | 8.0 | 9.6 | 8.2 | 8.4 |
| Turnover | 22.7 | 21.3 | 16.2 | 20.7 |
| Exposure | 31.8% | 36.5% | 23.0% | 30.6% |
Growth of $100
MACDMomentum_V0664 vs TSLA Buy & Hold
MACDMomentum_V0664 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 | 13.6% | 0.86 | -17.2% | 8 |
| 2017 | 7.3% | 0.45 | -21.8% | 16 |
| 2018 | -11.9% | -0.42 | -21.7% | 7 |
| 2019 | 31.7% | 1.07 | -23.3% | 5 |
| 2020 | 356.4% | 2.83 | -18.3% | 14 |
| 2021 | 27.6% | 0.94 | -22.5% | 13 |
| 2022 | -8.6% | -0.31 | -14.9% | 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 | 17.6% | 0.89 | 12% |
| hidden test | EXPENSIVE | 83 | 99.7% | 2.23 | 49% |
| hidden test | EXTREME | 48 | 170.3% | 3.70 | 44% |
| hidden test | HIGH VOLATILITY | 254 | 47.0% | 1.28 | 31% |
| hidden test | LOW VOLATILITY | 430 | 32.0% | 1.58 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.6% | -0.78 | 21% |
| hidden test | NORMAL | 803 | 4.8% | 0.20 | 19% |
| hidden test | SIDEWAYS | 293 | -19.0% | -0.89 | 22% |
| hidden test | UPTREND | 371 | 56.9% | 1.60 | 32% |
| train | DOWNTREND | 518 | -3.6% | -0.28 | 10% |
| train | EXPENSIVE | 311 | 32.3% | 0.97 | 48% |
| train | EXTREME | 100 | 305.7% | 4.36 | 78% |
| train | HIGH VOLATILITY | 699 | 38.6% | 1.01 | 29% |
| train | LOW VOLATILITY | 745 | 19.8% | 0.96 | 41% |
| train | MEDIUM VOLATILITY | 568 | -22.9% | -1.00 | 23% |
| train | NORMAL | 1,601 | -7.5% | -0.34 | 26% |
| train | SIDEWAYS | 592 | -14.9% | -0.68 | 26% |
| train | UPTREND | 902 | 43.6% | 1.16 | 48% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 70.8% | 1.94 | 36% |
| validation | EXTREME | 144 | 254.1% | 3.45 | 69% |
| validation | HIGH VOLATILITY | 258 | 66.7% | 1.24 | 30% |
| validation | LOW VOLATILITY | 183 | 27.6% | 1.26 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 86.5% | 2.26 | 39% |
| validation | NORMAL | 474 | 6.7% | 0.26 | 27% |
| validation | SIDEWAYS | 206 | -12.3% | -0.47 | 27% |
| validation | UPTREND | 425 | 117.0% | 2.28 | 51% |
Trades (full period)
latest 100 of 152
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 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 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-13 | 2025-06-03 | $334.07 | $344.27 | 7.43% | 15 | |
| 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 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -1.54% | 11 | |
| 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 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 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 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-05-23 | 2023-06-27 | $185.77 | $250.21 | 27.37% | 24 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 5.28% | 16 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.96% | 14 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 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 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 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 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 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 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.09% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 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 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-04-15 | 2020-05-14 | $48.66 | $53.56 | 11.20% | 22 | |
| 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 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 36.80% | 28 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-07-05 | 2019-07-26 | $15.54 | $15.20 | -2.78% | 16 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 10.15% | 19 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2018-02-27 | 2018-03-06 | $23.40 | $21.88 | -6.92% | 6 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -1.18% | 13 | |
| 2017-12-13 | 2017-12-27 | $22.60 | $20.78 | -7.15% | 10 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -7.22% | 7 | |
| 2017-08-09 | 2017-08-22 | $24.24 | $22.76 | -7.68% | 10 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-12 | 2017-05-16 | $21.65 | $21.13 | -2.43% | 3 | |
| 2017-05-10 | 2017-05-11 | $21.68 | $21.54 | 1.03% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.56% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-03-28 | 2017-04-21 | $18.50 | $20.37 | 11.73% | 18 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.29% | 2 | |
| 2016-12-19 | 2017-02-02 | $13.52 | $16.77 | 22.84% | 31 | |
| 2016-07-21 | 2016-08-09 | $14.70 | $15.27 | -1.16% | 14 | |
| 2016-06-09 | 2016-06-16 | $15.29 | $14.53 | -7.75% | 6 | |
| 2016-04-25 | 2016-04-26 | $16.79 | $16.92 | -0.96% | 2 | |
| 2016-04-19 | 2016-04-20 | $16.49 | $16.66 | -2.76% | 2 | |
| 2016-04-15 | 2016-04-18 | $16.97 | $16.93 | 0.85% | 2 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-07 | 2016-04-01 | $13.69 | $15.84 | 14.06% | 19 | |
| 2016-01-04 | 2016-01-06 | $14.89 | $14.60 | -7.10% | 3 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -8.69% | 9 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 |