Strategy Zoo / S0786
MACDMomentum_V0786
ARCHIVEDmomentumllmAdded trend regime gate (UPTREND) and disallowed HIGH volatility; added RSI filter to avoid extreme overbought entries; broadened exits to include price crossing below sma_20 and high RSI to reduce drawdowns; added position scaling rules to cut size when vol_pctile > 0.8 or when price is very near 52w high (reduce chance of buying tops). Aim: improve robustness and reduce overfitting/large drawdowns.
Fitness
0.3398
Generation
36
Complexity
10
Created
2026-09-26
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0786 [momentum]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (macd_hist > 0.0 and close > sma_50 and rsi_14 < 80.0):
position = 1.0
if long and (macd_hist < 0.0 or close < sma_20 or rsi_14 > 75.0):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.1% | 18.4% | 4.7% | 8.9% |
| Total Return | 73.0% | 65.8% | 18.5% | 249.2% |
| Sharpe | 0.43 | 0.82 | 0.32 | 0.49 |
| Sortino | 0.31 | 0.64 | 0.25 | 0.37 |
| Calmar | 0.23 | 0.72 | 0.21 | 0.29 |
| Volatility | 21.4% | 24.1% | 22.3% | 22.2% |
| Max DD | -30.4% | -25.7% | -22.1% | -30.4% |
| Win Rate | 48.7% | 42.9% | 41.9% | 46.3% |
| Avg Win | 6.5% | 9.3% | 7.2% | 7.2% |
| Avg Loss | -4.3% | -3.2% | -4.0% | -4.0% |
| Payoff | 1.51 | 2.87 | 1.83 | 1.79 |
| Expectancy | 1.0% | 2.1% | 0.7% | 1.2% |
| Profit Factor | 1.43 | 2.15 | 1.32 | 1.54 |
| Trades | 76 | 28 | 31 | 136 |
| Avg Holding Days | 6.5 | 6.4 | 7.7 | 6.7 |
| Turnover | 19.2 | 18.7 | 17.0 | 18.6 |
| Exposure | 20.9% | 20.0% | 22.8% | 21.2% |
Growth of $100
MACDMomentum_V0786 vs TSLA Buy & Hold
MACDMomentum_V0786 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 | 6.9% | 0.54 | -10.1% | 7 |
| 2017 | 16.7% | 0.98 | -16.2% | 20 |
| 2018 | 1.7% | 0.19 | -7.9% | 4 |
| 2019 | 14.4% | 0.61 | -22.4% | 7 |
| 2020 | 44.3% | 1.76 | -8.8% | 10 |
| 2021 | -12.7% | -0.51 | -25.7% | 12 |
| 2022 | 16.0% | 0.73 | -16.6% | 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 | 272 | 4.3% | 0.31 | 13% |
| hidden test | EXPENSIVE | 83 | 47.4% | 1.79 | 22% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -2.3% | -0.15 | 2% |
| hidden test | LOW VOLATILITY | 432 | 32.1% | 1.40 | 33% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.8% | -1.00 | 27% |
| hidden test | NORMAL | 805 | 3.3% | 0.15 | 24% |
| hidden test | SIDEWAYS | 293 | -8.5% | -0.31 | 38% |
| hidden test | UPTREND | 371 | 21.4% | 0.93 | 18% |
| train | DOWNTREND | 518 | -6.5% | -0.41 | 13% |
| train | EXPENSIVE | 311 | 42.2% | 1.83 | 21% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 14.0% | 0.66 | 2% |
| train | LOW VOLATILITY | 745 | 25.9% | 1.31 | 36% |
| train | MEDIUM VOLATILITY | 568 | -18.9% | -0.80 | 24% |
| train | NORMAL | 1,601 | 2.6% | 0.12 | 22% |
| train | SIDEWAYS | 592 | 2.3% | 0.10 | 25% |
| train | UPTREND | 902 | 22.6% | 0.97 | 23% |
| validation | DOWNTREND | 125 | 30.6% | 1.41 | 8% |
| validation | EXPENSIVE | 138 | 74.5% | 2.48 | 28% |
| validation | EXTREME | 144 | 24.5% | 1.84 | 1% |
| validation | HIGH VOLATILITY | 258 | -5.4% | -0.28 | 1% |
| validation | LOW VOLATILITY | 183 | -13.0% | -0.77 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 59.3% | 1.95 | 27% |
| validation | NORMAL | 474 | 2.3% | 0.09 | 23% |
| validation | SIDEWAYS | 206 | -3.6% | -0.16 | 22% |
| validation | UPTREND | 425 | 27.8% | 1.08 | 23% |
Trades (full period)
latest 100 of 137
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $364.27 | — | 3.10% | 6 | OPEN |
| 2026-09-01 | 2026-09-16 | $356.09 | $358.08 | -3.29% | 11 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-26 | 2025-10-06 | $440.40 | $453.25 | 1.32% | 7 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-08 | 2025-09-16 | $346.40 | $421.62 | 16.64% | 7 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -2.28% | 11 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.81% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 5.71% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-17 | 2024-07-03 | $187.44 | $246.39 | 29.66% | 12 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -2.60% | 19 | |
| 2023-10-06 | 2023-10-16 | $260.53 | $253.92 | -3.63% | 7 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-22 | 2023-06-27 | $264.61 | $250.21 | -7.28% | 4 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-05-22 | 2023-06-05 | $188.87 | $217.61 | 18.55% | 10 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 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 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 9.46% | 6 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -12.18% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 2021-10-13 | 2021-10-18 | $270.36 | $290.04 | 4.42% | 4 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2021-01-12 | 2021-01-25 | $283.15 | $293.60 | 4.17% | 9 | |
| 2021-01-05 | 2021-01-08 | $245.04 | $293.34 | 11.60% | 4 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-12-10 | 2020-12-17 | $209.02 | $218.63 | 2.82% | 6 | |
| 2020-12-01 | 2020-12-08 | $194.92 | $216.63 | 12.84% | 6 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 25.52% | 6 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -2.22% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 5.32% | 4 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-31 | 2020-01-03 | $27.89 | $29.53 | 3.55% | 3 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 3.53% | 2 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 6.24% | 2 | |
| 2019-10-11 | 2019-10-25 | $16.53 | $21.88 | 22.21% | 11 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-06-04 | 2018-06-07 | $19.78 | $21.07 | 9.27% | 4 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.47% | 17 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-10-18 | 2017-10-23 | $23.98 | $22.47 | -3.19% | 4 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.33% | 4 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -3.46% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-12 | 2017-06-14 | $23.93 | $25.38 | 5.00% | 3 | |
| 2017-06-05 | 2017-06-09 | $23.15 | $23.82 | 8.66% | 5 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 16.94% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -4.33% | 3 | |
| 2017-02-17 | 2017-02-22 | $18.15 | $18.23 | 2.93% | 3 | |
| 2017-01-31 | 2017-02-01 | $16.80 | $16.62 | 0.32% | 2 | |
| 2017-01-27 | 2017-01-30 | $16.86 | $16.71 | -0.03% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.98% | 2 | |
| 2017-01-10 | 2017-01-17 | $15.32 | $15.71 | 2.59% | 5 | |
| 2016-12-29 | 2017-01-09 | $14.31 | $15.42 | 4.01% | 7 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-04-07 | 2016-04-14 | $17.15 | $16.79 | -4.30% | 6 | |
| 2016-04-04 | 2016-04-06 | $16.47 | $17.69 | 7.31% | 3 | |
| 2016-03-22 | 2016-04-01 | $15.62 | $15.84 | -3.78% | 8 | |
| 2016-03-17 | 2016-03-21 | $15.09 | $15.89 | 4.66% | 3 | |
| 2015-12-18 | 2016-01-05 | $15.36 | $14.90 | -4.47% | 11 |