Strategy Zoo / S0754

MACDMomentum_V0754

ARCHIVEDhybrid

structuraladded entry filter: ret_1d > 0.0542

Fitness

0.5358

Generation

Complexity

Created

2026-09-25

Lineage

Parents (1)

MACDMomentum_V0334S0334 · gen 15ARCHIVEDstructural

changed rel_volume threshold 1.5045 -> 1.0207

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0754  [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))) and ret_1d > 0.0542):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.5%	63.3%	17.6%	23.6%
Total Return	174.6%	335.1%	82.2%	2141.3%
Sharpe	0.67	1.44	0.74	0.90
Sortino	0.46	1.23	0.65	0.69
Calmar	0.42	2.40	0.56	0.73
Volatility	22.5%	39.4%	26.5%	27.8%
Max DD	-32.1%	-26.3%	-31.1%	-32.1%
Win Rate	54.5%	76.9%	50.0%	59.2%
Avg Win	17.1%	21.5%	15.7%	19.1%
Avg Loss	-6.8%	-9.5%	-5.5%	-6.8%
Payoff	2.52	2.25	2.85	2.83
Expectancy	6.2%	14.3%	5.1%	8.5%
Profit Factor	3.03	7.51	2.85	4.10
Trades	22	13	14	49
Avg Holding Days	15.8	16.0	15.5	16.0
Turnover	5.6	8.7	7.5	6.7
Exposure	16.7%	25.8%	21.7%	19.8%

Growth of $100

MACDMomentum_V0754 vs TSLA Buy & Hold

MACDMomentum_V0754 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	0.0%	0.00	0.0%	0
2017	-5.4%	-0.41	-11.0%	3
2018	9.1%	0.48	-23.3%	4
2019	28.5%	1.88	-4.5%	1
2020	360.3%	2.84	-18.3%	7
2021	-2.1%	0.03	-16.8%	3
2022	-4.0%	-0.11	-14.9%	3

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	12.1%	0.53	23%
hidden test	EXPENSIVE	83	113.9%	2.59	48%
hidden test	EXTREME	48	79.8%	1.91	29%
hidden test	HIGH VOLATILITY	254	45.0%	1.20	34%
hidden test	LOW VOLATILITY	431	23.1%	1.52	11%
hidden test	MEDIUM VOLATILITY	250	-12.1%	-0.42	27%
hidden test	NORMAL	804	6.3%	0.28	19%
hidden test	SIDEWAYS	293	1.8%	0.07	22%
hidden test	UPTREND	371	39.2%	1.31	21%
train	DOWNTREND	518	-2.2%	-0.26	3%
train	EXPENSIVE	311	13.3%	0.48	31%
train	EXTREME	100	225.0%	3.49	53%
train	HIGH VOLATILITY	699	30.7%	0.91	24%
train	LOW VOLATILITY	745	12.6%	1.02	15%
train	MEDIUM VOLATILITY	568	-0.8%	-0.06	10%
train	NORMAL	1,601	2.4%	0.16	12%
train	SIDEWAYS	592	12.6%	0.75	16%
train	UPTREND	902	26.7%	0.89	25%
validation	DOWNTREND	125	18.7%	1.38	5%
validation	EXPENSIVE	138	54.2%	1.53	30%
validation	EXTREME	144	255.6%	3.48	67%
validation	HIGH VOLATILITY	258	79.6%	1.47	29%
validation	LOW VOLATILITY	183	21.5%	1.65	7%
validation	MEDIUM VOLATILITY	315	58.3%	1.66	34%
validation	NORMAL	474	-3.1%	-0.15	12%
validation	SIDEWAYS	206	0.1%	0.01	18%
validation	UPTREND	425	95.2%	1.94	36%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-09-01	2026-09-17	$356.09	$366.20	-2.88%	12
2026-07-07	2026-07-15	$402.90	$394.46	-5.81%	7
2026-04-16	2026-05-21	$388.90	$417.85	6.24%	26
2025-09-12	2025-10-06	$395.94	$453.25	16.32%	17
2025-08-25	2025-09-03	$346.60	$334.09	-3.32%	7
2025-04-28	2025-06-03	$285.88	$344.27	20.02%	26
2024-12-12	2024-12-24	$418.10	$462.28	1.17%	9
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
2024-07-02	2024-07-22	$231.26	$251.51	13.76%	14
2024-04-30	2024-05-30	$183.28	$178.79	-9.39%	22
2023-08-30	2023-09-25	$256.90	$246.99	-4.97%	18
2023-04-03	2023-04-06	$194.77	$185.06	-10.76%	4
2023-01-27	2023-02-23	$177.90	$202.07	25.09%	19
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
2021-10-26	2021-11-11	$339.48	$354.50	4.00%	13
2021-04-14	2021-04-29	$244.08	$225.67	-9.10%	12
2021-01-08	2021-01-25	$293.34	$293.60	3.55%	11
2020-12-21	2020-12-23	$216.62	$215.33	-8.06%	3
2020-11-18	2020-12-17	$162.21	$218.63	40.75%	21
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-07-01	2020-07-27	$74.64	$102.64	30.97%	18
2020-06-02	2020-06-25	$58.77	$65.73	6.77%	18
2020-04-14	2020-05-14	$47.33	$53.56	21.28%	23
2019-12-17	2020-02-26	$25.27	$51.92	109.25%	48
2019-10-25	2019-11-21	$21.88	$23.66	17.31%	20
2018-10-24	2018-11-21	$19.23	$22.55	17.90%	21
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
2018-01-09	2018-02-05	$22.25	$22.21	1.98%	19
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
2017-04-04	2017-04-21	$20.25	$20.37	1.14%	13
2015-04-07	2015-05-22	$13.55	$16.52	20.69%	34
2014-06-17	2014-07-07	$15.44	$14.84	1.86%	14
2014-02-21	2014-03-11	$13.97	$15.63	13.52%	13
2014-01-15	2014-02-06	$10.94	$11.89	7.94%	16
2013-12-26	2014-01-10	$10.37	$9.71	-2.75%	11
2013-09-20	2013-10-04	$12.23	$12.07	-2.78%	11
2013-08-23	2013-09-10	$10.79	$11.09	2.09%	12
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
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
2012-11-06	2012-12-14	$2.08	$2.25	6.48%	28
2012-09-18	2012-09-26	$2.09	$1.84	-15.17%	7
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8