Strategy Zoo / S0780

MACDMomentum_V0780

ARCHIVEDhybrid

crossoverentry = MACDMomentum_V0334 OR PriceMomentum_V0644

Fitness

0.6074

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

MACDMomentum_V0334S0334 · gen 15ARCHIVEDcrossover

changed rel_volume threshold 1.5045 -> 1.0207

PriceMomentum_V0644S0644 · gen 29ARCHIVEDcrossover

changed ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0780  [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 > 0.1096):
    position = 1.0
if long and ret_20d < -0.0991:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.2%	109.5%	12.5%	33.3%
Total Return	364.9%	819.2%	55.1%	6723.4%
Sharpe	0.69	1.62	0.49	0.88
Sortino	0.85	1.97	0.58	1.06
Calmar	0.32	2.79	0.30	0.50
Volatility	38.6%	54.8%	43.1%	43.5%
Max DD	-66.1%	-39.3%	-42.1%	-66.1%
Win Rate	33.3%	50.0%	43.8%	39.3%
Avg Win	51.9%	83.6%	22.4%	56.2%
Avg Loss	-9.9%	-10.3%	-9.6%	-9.9%
Payoff	5.24	8.08	2.33	5.69
Expectancy	10.7%	36.6%	4.4%	16.1%
Profit Factor	2.62	8.08	1.82	3.68
Trades	30	10	16	56
Avg Holding Days	42.2	50.3	35.7	43.2
Turnover	7.6	6.7	8.9	7.7
Exposure	65.3%	65.2%	61.9%	64.4%

Growth of $100

MACDMomentum_V0780 vs TSLA Buy & Hold

MACDMomentum_V0780 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	2.0%	0.25	-27.1%	3
2019	23.2%	0.74	-34.7%	4
2020	772.6%	3.25	-33.7%	2
2021	41.2%	1.06	-28.1%	3
2022	-37.3%	-1.12	-37.2%	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	272	17.4%	0.54	34%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	28.9%	0.51	63%
hidden test	LOW VOLATILITY	432	61.8%	1.96	60%
hidden test	MEDIUM VOLATILITY	250	-57.1%	-1.31	64%
hidden test	NORMAL	805	-0.3%	-0.01	59%
hidden test	SIDEWAYS	293	-31.4%	-0.74	72%
hidden test	UPTREND	371	65.3%	1.31	75%
train	DOWNTREND	518	-9.3%	-0.39	34%
train	EXPENSIVE	311	78.5%	1.81	82%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	55.9%	1.14	57%
train	LOW VOLATILITY	745	33.6%	1.20	72%
train	MEDIUM VOLATILITY	568	-18.7%	-0.53	67%
train	NORMAL	1,601	-7.8%	-0.23	60%
train	SIDEWAYS	592	-8.0%	-0.23	59%
train	UPTREND	902	69.9%	1.51	87%
validation	DOWNTREND	125	29.7%	1.22	17%
validation	EXPENSIVE	138	81.7%	1.36	80%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	119.2%	1.69	54%
validation	LOW VOLATILITY	183	33.9%	1.08	79%
validation	MEDIUM VOLATILITY	315	96.2%	1.90	66%
validation	NORMAL	474	3.0%	0.08	52%
validation	SIDEWAYS	206	-31.8%	-0.79	54%
validation	UPTREND	425	165.0%	2.51	85%

Trades (full period)

57 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.05%	24	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
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
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
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
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
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
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
2021-04-06	2021-05-11	$230.54	$205.73	-9.16%	26
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-25	$47.33	$135.78	197.29%	116
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-06-21	2019-08-15	$14.79	$14.38	-0.20%	39
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
2018-05-01	2018-07-16	$19.99	$20.67	8.28%	53
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