Fitness
0.6016
Generation
31
Complexity
6
Created
2026-09-24
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0684 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and (macd_hist < 0.0 or ret_20d < -0.025):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 74.4% | 20.3% | 28.6% |
| Total Return | 270.3% | 430.4% | 98.7% | 3917.5% |
| Sharpe | 0.69 | 1.52 | 0.74 | 0.91 |
| Sortino | 0.67 | 1.56 | 0.76 | 0.91 |
| Calmar | 0.35 | 2.39 | 0.55 | 0.56 |
| Volatility | 30.4% | 42.4% | 31.7% | 33.5% |
| Max DD | -51.2% | -31.1% | -37.2% | -51.2% |
| Win Rate | 37.8% | 37.0% | 34.2% | 36.7% |
| Avg Win | 14.6% | 27.2% | 14.3% | 17.7% |
| Avg Loss | -4.6% | -3.5% | -3.9% | -4.2% |
| Payoff | 3.21 | 7.80 | 3.63 | 4.25 |
| Expectancy | 2.7% | 7.9% | 2.3% | 3.9% |
| Profit Factor | 1.95 | 4.59 | 1.89 | 2.46 |
| Trades | 74 | 27 | 38 | 139 |
| Avg Holding Days | 10.6 | 11.4 | 9.4 | 10.5 |
| Turnover | 18.7 | 18.0 | 20.8 | 19.0 |
| Exposure | 35.7% | 37.3% | 34.8% | 35.8% |
Growth of $100
MACDMomentum_V0684 vs TSLA Buy & Hold
MACDMomentum_V0684 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 | 26.7% | 1.48 | -12.2% | 4 |
| 2017 | 19.9% | 0.95 | -15.4% | 16 |
| 2018 | -22.5% | -0.90 | -29.7% | 12 |
| 2019 | 24.5% | 0.81 | -26.5% | 7 |
| 2020 | 351.2% | 2.79 | -21.1% | 9 |
| 2021 | 23.6% | 0.84 | -19.6% | 10 |
| 2022 | -5.4% | -0.08 | -17.6% | 7 |
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 | 16.0% | 0.67 | 24% |
| hidden test | EXPENSIVE | 83 | 97.9% | 2.17 | 49% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 27.4% | 0.67 | 38% |
| hidden test | LOW VOLATILITY | 430 | 50.7% | 2.01 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.3% | -0.89 | 32% |
| hidden test | NORMAL | 803 | 9.6% | 0.33 | 33% |
| hidden test | SIDEWAYS | 293 | -12.1% | -0.39 | 41% |
| hidden test | UPTREND | 371 | 57.0% | 1.56 | 37% |
| train | DOWNTREND | 518 | -14.4% | -0.88 | 18% |
| train | EXPENSIVE | 311 | 42.2% | 1.27 | 50% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 36.4% | 0.89 | 34% |
| train | LOW VOLATILITY | 745 | 30.1% | 1.43 | 42% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.40 | 29% |
| train | NORMAL | 1,601 | 0.1% | 0.00 | 31% |
| train | SIDEWAYS | 592 | 9.8% | 0.36 | 37% |
| train | UPTREND | 902 | 48.5% | 1.28 | 45% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 75.2% | 1.95 | 36% |
| validation | EXTREME | 144 | 252.5% | 3.45 | 66% |
| validation | HIGH VOLATILITY | 258 | 65.6% | 1.19 | 30% |
| validation | LOW VOLATILITY | 183 | 15.3% | 0.71 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 92.1% | 2.32 | 41% |
| validation | NORMAL | 474 | 4.2% | 0.15 | 29% |
| validation | SIDEWAYS | 206 | -0.5% | -0.02 | 28% |
| validation | UPTREND | 425 | 104.2% | 2.02 | 49% |
Trades (full period)
latest 100 of 140
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 3.36% | 4 | OPEN |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-04 | 2026-05-21 | $392.51 | $417.85 | 6.55% | 14 | |
| 2026-04-16 | 2026-04-24 | $388.90 | $376.30 | -4.84% | 7 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.31% | 10 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 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 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-06-24 | 2024-07-22 | $182.58 | $251.51 | 30.44% | 20 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 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 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-06 | 2023-10-10 | $260.53 | $263.62 | -0.35% | 3 | |
| 2023-09-06 | 2023-09-25 | $251.92 | $246.99 | -4.72% | 14 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-30 | 2023-04-06 | $195.28 | $185.06 | -4.50% | 6 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 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 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-12-30 | 2022-01-03 | $356.78 | $399.93 | -2.90% | 3 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 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 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 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 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 43.63% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-16 | 2019-01-22 | $23.07 | $19.93 | -12.42% | 4 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 10.15% | 19 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 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 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.43% | 3 | |
| 2018-05-31 | 2018-06-01 | $18.98 | $19.45 | -2.59% | 2 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -4.59% | 6 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-10-18 | 2017-10-19 | $23.98 | $23.45 | 0.90% | 2 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -1.60% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.10% | 2 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-27 | 2017-07-28 | $22.30 | $22.34 | -2.93% | 2 | |
| 2017-07-25 | 2017-07-26 | $22.64 | $22.92 | -1.05% | 2 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-23 | 2017-04-21 | $16.99 | $20.37 | 18.39% | 21 | |
| 2017-03-21 | 2017-03-22 | $16.71 | $17.00 | -4.49% | 2 | |
| 2017-03-17 | 2017-03-20 | $17.43 | $17.46 | -0.41% | 2 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 |