Strategy Zoo / S0781

MACDMomentum_V0781

ARCHIVEDhybrid

crossoverentry from MACDMomentum_V0334, exit from PriceMomentum_V0564

Fitness

0.5882

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

MACDMomentum_V0334S0334 · gen 15ARCHIVEDcrossover

changed rel_volume threshold 1.5045 -> 1.0207

PriceMomentum_V0564S0564 · gen 26ARCHIVEDcrossover

entry from PriceMomentum_V0557, exit from PriceMomentum_V0361

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0781  [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))):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.6%	105.1%	7.7%	30.8%
Total Return	345.1%	762.3%	31.5%	5095.7%
Sharpe	0.67	1.59	0.39	0.83
Sortino	0.86	1.91	0.50	1.04
Calmar	0.29	2.76	0.15	0.44
Volatility	39.7%	54.7%	44.5%	44.4%
Max DD	-70.6%	-38.0%	-51.2%	-70.6%
Win Rate	36.4%	50.0%	45.5%	41.5%
Avg Win	73.6%	102.3%	24.3%	74.3%
Avg Loss	-12.7%	-10.7%	-12.1%	-12.2%
Payoff	5.79	9.52	2.01	6.08
Expectancy	18.7%	45.8%	4.5%	23.6%
Profit Factor	3.31	9.52	1.68	4.31
Trades	22	8	11	41
Avg Holding Days	61.3	62.4	60.8	63.3
Turnover	5.6	5.3	6.2	5.6
Exposure	69.8%	64.9%	72.2%	69.5%

Growth of $100

MACDMomentum_V0781 vs TSLA Buy & Hold

MACDMomentum_V0781 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%	-0.85	-39.2%	4
2017	17.2%	0.64	-33.7%	2
2018	-15.4%	-0.21	-35.3%	3
2019	34.4%	0.95	-28.3%	3
2020	774.1%	3.25	-33.7%	2
2021	17.6%	0.61	-36.1%	3
2022	-29.4%	-0.78	-31.5%	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	272	-3.1%	-0.10	35%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	22.0%	0.39	65%
hidden test	LOW VOLATILITY	432	43.5%	1.27	74%
hidden test	MEDIUM VOLATILITY	250	-32.8%	-0.69	77%
hidden test	NORMAL	805	-3.4%	-0.08	70%
hidden test	SIDEWAYS	293	-43.2%	-0.97	86%
hidden test	UPTREND	371	80.1%	1.53	88%
train	DOWNTREND	518	-15.7%	-0.61	39%
train	EXPENSIVE	311	82.4%	1.86	85%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	47.0%	0.93	63%
train	LOW VOLATILITY	745	38.6%	1.31	78%
train	MEDIUM VOLATILITY	568	-14.6%	-0.40	68%
train	NORMAL	1,601	-8.7%	-0.25	65%
train	SIDEWAYS	592	-10.7%	-0.29	67%
train	UPTREND	902	75.1%	1.60	90%
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	45.5%	1.42	83%
validation	MEDIUM VOLATILITY	315	79.0%	1.57	65%
validation	NORMAL	474	-0.6%	-0.02	52%
validation	SIDEWAYS	206	-42.6%	-1.08	55%
validation	UPTREND	425	164.4%	2.49	85%

Trades (full period)

42 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	2026-06-26	$388.90	$379.71	-4.49%	50
2025-04-28	2026-04-09	$285.88	$345.62	20.22%	239
2024-10-25	2025-01-28	$269.19	$398.09	52.17%	63
2024-08-20	2024-10-23	$221.10	$213.65	-2.33%	46
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2023-11-16	2024-01-18	$233.59	$211.88	-11.42%	42
2023-08-30	2023-10-20	$256.90	$211.99	-14.59%	37
2023-05-22	2023-08-14	$188.87	$239.76	34.44%	58
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
2022-07-11	2022-10-06	$234.34	$238.13	-4.17%	63
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2021-12-28	2022-01-26	$362.82	$312.47	-16.21%	21
2021-06-24	2021-12-06	$226.61	$336.34	54.28%	115
2021-04-14	2021-05-12	$244.08	$196.63	-19.20%	21
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
2019-01-11	2019-03-07	$23.15	$18.44	-20.08%	38
2018-10-24	2019-01-04	$19.23	$21.18	1.91%	49
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-05-10	2018-07-30	$20.33	$19.34	-3.35%	56
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-07-25	2017-11-03	$22.64	$20.41	-12.81%	73
2016-12-14	2017-07-07	$13.25	$20.88	55.55%	141
2016-07-12	2016-09-06	$14.98	$13.52	-12.19%	40
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-27	2016-01-21	$15.44	$13.33	-13.65%	37
2015-09-16	2015-10-13	$17.48	$14.62	-15.15%	20
2015-02-04	2015-08-26	$14.57	$14.99	0.56%	142
2014-11-12	2014-12-11	$16.61	$13.93	-16.59%	21
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	2014-03-27	$9.87	$13.82	39.40%	68
2012-11-02	2013-10-29	$1.93	$10.96	455.67%	249
2012-08-14	2012-10-16	$1.96	$1.87	-12.50%	45
2012-06-19	2012-08-02	$2.14	$1.74	-17.72%	32
2012-01-31	2012-04-25	$1.94	$2.19	7.39%	60