Strategy Zoo / S0713
MACDMomentum_V0713
ARCHIVEDhybridcrossoverentry = MACDMomentum_V0272 AND PriceMomentum_V0541
Fitness
0.6017
Generation
33
Complexity
27
Created
2026-09-25
Lineage
Parents (2)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0713 [hybrid]
if flat and (((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))) and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.9% | 71.8% | 19.4% | 27.4% |
| Total Return | 247.8% | 406.8% | 92.8% | 3399.1% |
| Sharpe | 0.72 | 1.53 | 0.87 | 0.97 |
| Sortino | 0.59 | 1.39 | 0.66 | 0.80 |
| Calmar | 0.51 | 2.52 | 0.70 | 0.82 |
| Volatility | 26.2% | 40.7% | 23.6% | 29.2% |
| Max DD | -33.4% | -28.5% | -27.5% | -33.4% |
| Win Rate | 55.3% | 55.6% | 50.0% | 54.2% |
| Avg Win | 13.6% | 24.4% | 13.2% | 16.6% |
| Avg Loss | -6.5% | -5.2% | -3.9% | -5.5% |
| Payoff | 2.09 | 4.68 | 3.43 | 2.99 |
| Expectancy | 4.6% | 11.2% | 4.7% | 6.4% |
| Profit Factor | 2.59 | 5.85 | 3.43 | 3.54 |
| Trades | 38 | 18 | 16 | 72 |
| Avg Holding Days | 13.6 | 13.0 | 12.7 | 13.3 |
| Turnover | 9.6 | 12.0 | 8.6 | 9.8 |
| Exposure | 24.1% | 28.6% | 20.0% | 24.0% |
Growth of $100
MACDMomentum_V0713 vs TSLA Buy & Hold
MACDMomentum_V0713 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 | 20.9% | 1.28 | -12.7% | 4 |
| 2017 | 23.6% | 1.39 | -7.6% | 6 |
| 2018 | -11.4% | -0.50 | -22.1% | 3 |
| 2019 | 16.1% | 0.68 | -22.2% | 3 |
| 2020 | 335.0% | 2.77 | -18.3% | 7 |
| 2021 | 17.5% | 0.70 | -21.0% | 6 |
| 2022 | -1.4% | 0.05 | -17.6% | 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 | 271 | 2.5% | 0.16 | 11% |
| hidden test | EXPENSIVE | 83 | 60.0% | 1.86 | 39% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 25.9% | 0.92 | 20% |
| hidden test | LOW VOLATILITY | 431 | 29.6% | 1.54 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -0.8% | -0.03 | 23% |
| hidden test | NORMAL | 804 | 10.0% | 0.49 | 17% |
| hidden test | SIDEWAYS | 293 | 2.8% | 0.16 | 17% |
| hidden test | UPTREND | 371 | 47.6% | 1.51 | 29% |
| train | DOWNTREND | 518 | 5.6% | 0.89 | 3% |
| train | EXPENSIVE | 311 | 17.7% | 0.58 | 40% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 36.4% | 0.98 | 27% |
| train | LOW VOLATILITY | 745 | 14.6% | 0.86 | 30% |
| train | MEDIUM VOLATILITY | 568 | 3.2% | 0.17 | 14% |
| train | NORMAL | 1,601 | 2.4% | 0.12 | 18% |
| train | SIDEWAYS | 592 | -8.8% | -0.40 | 22% |
| train | UPTREND | 902 | 44.9% | 1.30 | 37% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 67.3% | 1.90 | 32% |
| validation | EXTREME | 144 | 252.5% | 3.45 | 66% |
| validation | HIGH VOLATILITY | 258 | 72.7% | 1.33 | 29% |
| validation | LOW VOLATILITY | 183 | 13.9% | 0.89 | 15% |
| validation | MEDIUM VOLATILITY | 315 | 81.8% | 2.18 | 36% |
| validation | NORMAL | 474 | 3.0% | 0.12 | 16% |
| validation | SIDEWAYS | 206 | -6.8% | -0.28 | 21% |
| validation | UPTREND | 425 | 101.1% | 2.00 | 39% |
Trades (full period)
72 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-06 | 2026-05-21 | $398.73 | $417.85 | 6.95% | 12 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 8.35% | 16 | |
| 2025-08-29 | 2025-09-03 | $333.87 | $334.09 | -5.00% | 3 | |
| 2025-04-30 | 2025-06-03 | $282.16 | $344.27 | 17.11% | 24 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-05-15 | 2024-05-30 | $173.99 | $178.79 | -0.97% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-24 | 2023-06-27 | $182.90 | $250.21 | 29.50% | 23 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-19 | 2022-08-12 | $245.53 | $300.03 | 18.92% | 19 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.96% | 14 | |
| 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 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 22.49% | 18 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-07-01 | 2021-07-12 | $225.97 | $228.57 | -3.54% | 7 | |
| 2021-04-19 | 2021-04-29 | $238.21 | $225.67 | -6.33% | 9 | |
| 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 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-02 | 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 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 97.58% | 45 | |
| 2019-10-23 | 2019-11-21 | $16.98 | $23.66 | 37.54% | 22 | |
| 2019-09-13 | 2019-09-25 | $16.35 | $15.25 | -9.40% | 9 | |
| 2019-07-16 | 2019-07-26 | $16.83 | $15.20 | -9.92% | 9 | |
| 2018-10-29 | 2018-11-21 | $22.32 | $22.55 | 4.80% | 18 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-13 | 2018-06-26 | $22.99 | $22.80 | -3.04% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 10.86% | 17 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 19.13% | 29 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-09 | 2016-06-16 | $15.29 | $14.53 | -7.75% | 6 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 17.15% | 20 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-04-24 | 2015-05-22 | $14.56 | $16.52 | 12.14% | 21 | |
| 2014-11-17 | 2014-12-01 | $16.93 | $15.44 | -5.66% | 10 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-09 | 2014-07-07 | $13.69 | $14.84 | 9.90% | 20 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-01-17 | 2014-02-06 | $11.33 | $11.89 | 1.81% | 14 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -3.43% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 110.35% | 45 | |
| 2013-01-29 | 2013-02-14 | $2.53 | $2.55 | 0.90% | 13 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 6.11% | 22 | |
| 2012-07-16 | 2012-07-23 | $2.40 | $2.04 | -7.36% | 6 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-06 | 2012-02-29 | $2.12 | $2.23 | 8.32% | 17 |