Strategy Zoo / S0759

MACDMomentum_V0759

ARCHIVEDhybrid

crossoverentry from MACDMomentum_V0726, exit from PriceMomentum_V0541

Fitness

0.6052

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

PriceMomentum_V0541S0541 · gen 25ARCHIVEDcrossover

logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386

MACDMomentum_V0726S0726 · gen 33ARCHIVEDcrossover

changed rel_volume threshold 1.5045 -> 1.3475

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0759  [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.3475) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.3%	105.3%	10.9%	31.7%
Total Return	337.6%	764.9%	47.0%	5626.3%
Sharpe	0.67	1.59	0.46	0.85
Sortino	0.82	1.90	0.53	1.02
Calmar	0.30	2.84	0.26	0.47
Volatility	38.5%	54.4%	42.3%	43.2%
Max DD	-68.1%	-37.1%	-42.1%	-68.1%
Win Rate	33.3%	55.6%	46.7%	40.7%
Avg Win	51.4%	85.9%	20.6%	56.0%
Avg Loss	-10.0%	-14.2%	-10.0%	-10.5%
Payoff	5.15	6.05	2.07	5.33
Expectancy	10.5%	41.4%	4.3%	16.6%
Profit Factor	2.58	7.57	1.81	3.66
Trades	30	9	15	54
Avg Holding Days	41.7	54.2	37.6	44.1
Turnover	7.6	6.0	8.3	7.4
Exposure	64.6%	63.4%	60.6%	63.4%

Growth of $100

MACDMomentum_V0759 vs TSLA Buy & Hold

MACDMomentum_V0759 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	-15.8%	-0.60	-37.2%	4
2017	7.4%	0.38	-39.2%	4
2018	-2.4%	0.13	-27.1%	3
2019	21.0%	0.69	-35.8%	4
2020	774.1%	3.25	-33.7%	2
2021	28.0%	0.83	-34.8%	3
2022	-35.0%	-1.04	-34.9%	4

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	272	11.3%	0.40	29%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	24.0%	0.43	61%
hidden test	LOW VOLATILITY	432	60.8%	1.97	59%
hidden test	MEDIUM VOLATILITY	250	-57.1%	-1.31	64%
hidden test	NORMAL	805	-2.3%	-0.06	57%
hidden test	SIDEWAYS	293	-31.4%	-0.74	72%
hidden test	UPTREND	371	65.3%	1.31	75%
train	DOWNTREND	518	-12.4%	-0.54	32%
train	EXPENSIVE	311	78.5%	1.81	82%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	54.3%	1.11	56%
train	LOW VOLATILITY	745	33.6%	1.20	72%
train	MEDIUM VOLATILITY	568	-19.5%	-0.55	66%
train	NORMAL	1,601	-8.8%	-0.26	59%
train	SIDEWAYS	592	-8.0%	-0.23	59%
train	UPTREND	902	69.9%	1.51	87%
validation	DOWNTREND	125	36.4%	1.66	12%
validation	EXPENSIVE	138	82.2%	1.36	79%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	125.6%	1.78	52%
validation	LOW VOLATILITY	183	33.9%	1.08	79%
validation	MEDIUM VOLATILITY	315	85.6%	1.72	64%
validation	NORMAL	474	-0.7%	-0.02	49%
validation	SIDEWAYS	206	-44.4%	-1.14	51%
validation	UPTREND	425	165.1%	2.51	84%

Trades (full period)

55 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-09-01	—	$356.09	—	2.61%	18	OPEN
2026-07-01	2026-07-24	$425.30	$313.03	-24.14%	17
2026-04-16	2026-06-10	$388.90	$381.59	1.00%	39
2025-12-04	2026-01-16	$454.53	$437.50	-2.02%	30
2025-07-21	2025-11-21	$328.49	$391.09	19.65%	89
2025-04-28	2025-07-02	$285.88	$315.65	5.32%	46
2024-10-25	2025-01-17	$269.19	$426.50	58.56%	57
2024-09-06	2024-10-22	$210.73	$217.97	-5.12%	33
2024-08-22	2024-08-29	$210.66	$206.28	-8.04%	6
2024-08-20	2024-08-21	$221.10	$223.27	-0.93%	2
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
2023-11-16	2024-01-17	$233.59	$215.55	-9.63%	41
2023-08-30	2023-10-20	$256.90	$211.99	-14.59%	37
2023-05-22	2023-08-03	$188.87	$259.32	40.79%	51
2023-03-24	2023-04-21	$190.41	$165.08	-15.38%	20
2023-01-27	2023-03-10	$177.90	$173.44	7.69%	30
2022-09-13	2022-10-04	$292.13	$249.44	-20.54%	16
2022-07-11	2022-09-01	$234.34	$277.16	9.68%	39
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-01-25	$362.82	$306.13	-15.16%	20
2021-06-24	2021-12-03	$226.61	$338.32	64.87%	114
2021-04-14	2021-05-11	$244.08	$205.73	-17.65%	20
2020-10-14	2021-02-23	$153.77	$232.95	59.65%	90
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-07-01	2019-08-15	$15.14	$14.38	-1.91%	33
2019-03-01	2019-03-06	$19.65	$18.42	-13.73%	4
2019-01-16	2019-01-24	$23.07	$19.43	-16.67%	6
2019-01-11	2019-01-15	$23.15	$22.96	-3.26%	3
2018-10-24	2019-01-03	$19.23	$20.02	5.22%	48
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-05-10	2018-07-16	$20.33	$20.67	3.71%	46
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2017-07-27	2017-08-01	$22.30	$21.30	-6.12%	4
2017-07-25	2017-07-26	$22.64	$22.92	-1.05%	2
2016-12-14	2017-07-07	$13.25	$20.88	55.55%	141
2016-07-12	2016-09-02	$14.98	$13.19	-10.86%	39
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-27	2016-01-19	$15.44	$13.65	-10.91%	35
2015-09-16	2015-10-12	$17.48	$14.37	-13.14%	19
2015-04-07	2015-08-12	$13.55	$15.88	16.64%	90
2015-02-04	2015-03-09	$14.57	$12.73	-11.39%	23
2014-11-12	2014-12-09	$16.61	$14.46	-14.80%	19
2014-10-08	2014-10-13	$17.29	$14.97	-8.91%	4
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-18	2014-03-26	$9.87	$14.20	44.30%	67
2013-03-27	2013-10-24	$2.54	$11.54	333.63%	148
2012-11-02	2013-03-20	$1.93	$2.40	19.69%	94
2012-09-17	2012-10-16	$2.17	$1.87	-10.24%	22
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-08-14	2012-08-15	$1.96	$1.96	-5.81%	2
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-01-31	2012-04-25	$1.94	$2.19	7.39%	60