Strategy Zoo / S0712
MACDMomentum_V0712
ARCHIVEDhybridcrossoverentry = MACDMomentum_V0334 OR PriceMomentum_V0449
Fitness
0.6255
Generation
33
Complexity
16
Created
2026-09-25
Lineage
Parents (2)
changed rel_volume threshold 1.5045 -> 1.0207
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0712 [hybrid]
if flat and (((macd_hist > 0.0 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))) or ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.5% | 123.5% | 12.9% | 32.3% |
| Total Return | 239.3% | 1017.0% | 56.9% | 6021.7% |
| Sharpe | 0.61 | 1.83 | 0.50 | 0.90 |
| Sortino | 0.67 | 2.07 | 0.56 | 1.00 |
| Calmar | 0.23 | 3.66 | 0.29 | 0.45 |
| Volatility | 35.2% | 51.1% | 40.0% | 40.1% |
| Max DD | -71.5% | -33.7% | -44.5% | -71.5% |
| Win Rate | 31.0% | 47.6% | 30.2% | 33.3% |
| Avg Win | 18.9% | 41.9% | 16.5% | 26.2% |
| Avg Loss | -4.8% | -5.9% | -4.8% | -4.9% |
| Payoff | 3.95 | 7.08 | 3.44 | 5.32 |
| Expectancy | 2.6% | 16.9% | 1.6% | 5.5% |
| Profit Factor | 1.77 | 6.43 | 1.49 | 2.66 |
| Trades | 71 | 21 | 43 | 135 |
| Avg Holding Days | 15.2 | 21.7 | 11.5 | 15.5 |
| Turnover | 17.9 | 14.0 | 23.4 | 18.4 |
| Exposure | 53.0% | 57.4% | 50.9% | 53.4% |
Growth of $100
MACDMomentum_V0712 vs TSLA Buy & Hold
MACDMomentum_V0712 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 | 2.2% | 0.21 | -30.2% | 4 |
| 2017 | 2.4% | 0.22 | -30.1% | 14 |
| 2018 | -43.4% | -1.72 | -49.7% | 15 |
| 2019 | 34.2% | 0.97 | -28.8% | 7 |
| 2020 | 572.4% | 2.97 | -33.7% | 7 |
| 2021 | 86.5% | 1.87 | -17.6% | 7 |
| 2022 | -14.6% | -0.36 | -22.7% | 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 | 271 | 9.3% | 0.29 | 36% |
| hidden test | EXPENSIVE | 83 | 94.1% | 1.78 | 76% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 11.7% | 0.22 | 54% |
| hidden test | LOW VOLATILITY | 431 | 68.7% | 2.32 | 49% |
| hidden test | MEDIUM VOLATILITY | 250 | -55.0% | -1.37 | 51% |
| hidden test | NORMAL | 804 | 2.7% | 0.07 | 47% |
| hidden test | SIDEWAYS | 293 | -23.1% | -0.62 | 52% |
| hidden test | UPTREND | 371 | 62.2% | 1.33 | 61% |
| train | DOWNTREND | 518 | -27.1% | -1.23 | 29% |
| train | EXPENSIVE | 311 | 61.7% | 1.56 | 77% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 32.8% | 0.72 | 47% |
| train | LOW VOLATILITY | 745 | 38.0% | 1.49 | 62% |
| train | MEDIUM VOLATILITY | 568 | -14.4% | -0.46 | 48% |
| train | NORMAL | 1,601 | -10.3% | -0.35 | 46% |
| train | SIDEWAYS | 592 | -4.1% | -0.14 | 45% |
| train | UPTREND | 902 | 65.9% | 1.50 | 72% |
| validation | DOWNTREND | 125 | 29.9% | 1.25 | 14% |
| validation | EXPENSIVE | 138 | 77.1% | 1.38 | 62% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 92.5% | 1.36 | 52% |
| validation | LOW VOLATILITY | 183 | 42.2% | 1.57 | 65% |
| validation | MEDIUM VOLATILITY | 315 | 124.2% | 2.75 | 57% |
| validation | NORMAL | 474 | 21.2% | 0.65 | 45% |
| validation | SIDEWAYS | 206 | 5.5% | 0.17 | 44% |
| validation | UPTREND | 425 | 154.9% | 2.47 | 76% |
Trades (full period)
latest 100 of 136
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 10.03% | 24 | OPEN |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 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 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-05 | 2025-08-20 | $308.72 | $323.90 | 6.27% | 12 | |
| 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 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-10-25 | 2025-01-13 | $269.19 | $403.31 | 51.25% | 53 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | 3.22% | 29 | |
| 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 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-17 | 2024-06-21 | $187.44 | $183.01 | 1.80% | 4 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-11-16 | 2024-01-08 | $233.59 | $240.45 | -2.40% | 35 | |
| 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 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-05-19 | 2023-07-24 | $180.14 | $269.06 | 46.70% | 44 | |
| 2023-03-30 | 2023-04-13 | $195.28 | $185.90 | -7.07% | 10 | |
| 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 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 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 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-11 | 2020-03-04 | $16.53 | $49.97 | 204.01% | 99 | |
| 2019-09-11 | 2019-10-10 | $16.47 | $16.32 | 3.61% | 22 | |
| 2019-06-18 | 2019-08-06 | $14.98 | $15.38 | 1.26% | 35 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2019-01-16 | 2019-01-17 | $23.07 | $23.15 | 0.27% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-22 | 2018-08-31 | $21.44 | $20.11 | -6.01% | 8 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 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 | 2018-05-16 | $20.33 | $19.10 | -7.57% | 5 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-03-05 | 2018-03-06 | $22.22 | $21.88 | -0.73% | 2 | |
| 2018-02-23 | 2018-03-01 | $23.47 | $22.06 | -1.09% | 5 | |
| 2018-01-16 | 2018-02-07 | $22.67 | $23.00 | -0.87% | 17 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 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 | 2017-09-26 | $24.18 | $23.02 | -5.33% | 11 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 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 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-23 | 2017-05-24 | $16.99 | $20.68 | 18.92% | 44 | |
| 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 |