Strategy Zoo / S0856
MACDMomentum_V0856
ARCHIVEDhybridllmConsolidated entry rules to remove redundancy; added volatility-aware and breakout sizing rules (reduce exposure when vol_pctile>0.7; full size on high-volume 50-day breakouts; slight increase when sma_50>sma_200). Tightened exits to include price breach of sma_50 and a 5-day stop loss (ret_5d < -6%). Added regime gates to avoid DOWNTREND/HIGH_VOLATILITY/EXPENSIVE bubble environments. Lowered base position to 0.8 to reduce overall risk.
Fitness
0.1187
Generation
39
Complexity
17
Created
2026-09-29
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0856 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((macd_hist > 0.0 and close > sma_50) or (breakout_50 == 1 and rel_volume > 1.35) or (macd_hist > 0.0 and sma_50 > sma_200)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.7% | 0.7% | 1.4% | -0.4% |
| Total Return | -12.9% | 2.0% | 5.4% | -6.3% |
| Sharpe | -0.04 | 0.12 | 0.17 | 0.05 |
| Sortino | -0.03 | 0.08 | 0.12 | 0.03 |
| Calmar | -0.05 | 0.03 | 0.05 | -0.01 |
| Volatility | 14.7% | 16.0% | 17.2% | 15.6% |
| Max DD | -35.0% | -21.4% | -29.4% | -35.0% |
| Win Rate | 38.7% | 34.4% | 33.3% | 36.4% |
| Avg Win | 3.4% | 4.4% | 5.1% | 4.0% |
| Avg Loss | -2.2% | -2.0% | -2.2% | -2.2% |
| Payoff | 1.50 | 2.15 | 2.32 | 1.83 |
| Expectancy | -0.1% | 0.2% | 0.2% | 0.1% |
| Profit Factor | 0.95 | 1.13 | 1.16 | 1.04 |
| Trades | 93 | 32 | 51 | 176 |
| Avg Holding Days | 4.7 | 5.2 | 4.7 | 4.8 |
| Turnover | 18.6 | 17.1 | 21.9 | 19.2 |
| Exposure | 13.6% | 14.3% | 16.0% | 14.3% |
Growth of $100
MACDMomentum_V0856 vs TSLA Buy & Hold
MACDMomentum_V0856 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 | 3.5% | 0.39 | -5.7% | 18 |
| 2017 | 8.3% | 0.93 | -5.2% | 10 |
| 2018 | -5.5% | -0.68 | -9.7% | 3 |
| 2019 | -3.1% | -0.04 | -19.5% | 6 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.2% | 0.34 | -16.0% | 19 |
| 2022 | -3.0% | -0.11 | -16.6% | 12 |
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 | 273 | -3.7% | -1.68 | 1% |
| hidden test | EXPENSIVE | 83 | 34.2% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.62 | 2% |
| hidden test | LOW VOLATILITY | 433 | 10.0% | 0.56 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.2% | 0.12 | 17% |
| hidden test | NORMAL | 806 | -0.2% | -0.01 | 18% |
| hidden test | SIDEWAYS | 293 | -31.4% | -1.55 | 30% |
| hidden test | UPTREND | 371 | 34.8% | 1.72 | 16% |
| train | DOWNTREND | 518 | -8.2% | -1.51 | 1% |
| train | EXPENSIVE | 311 | 10.3% | 1.83 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.9% | 0.21 | 1% |
| train | LOW VOLATILITY | 745 | 11.0% | 0.83 | 25% |
| train | MEDIUM VOLATILITY | 568 | -20.3% | -1.17 | 15% |
| train | NORMAL | 1,601 | -2.8% | -0.17 | 17% |
| train | SIDEWAYS | 592 | -14.9% | -0.82 | 22% |
| train | UPTREND | 902 | 13.1% | 0.83 | 15% |
| validation | DOWNTREND | 125 | -2.3% | -2.15 | 1% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -9.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -2.9% | -0.18 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 14.1% | 0.71 | 15% |
| validation | NORMAL | 474 | 3.1% | 0.15 | 23% |
| validation | SIDEWAYS | 206 | -3.8% | -0.19 | 24% |
| validation | UPTREND | 425 | 5.9% | 0.37 | 13% |
Trades (full period)
latest 100 of 176
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.45% | 8 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.93% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.56% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2025-12-03 | 2025-12-30 | $446.74 | $454.43 | 5.56% | 19 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.17% | 2 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 10.06% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.54% | 9 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-28 | 2025-07-30 | $325.59 | $319.04 | 1.15% | 3 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.03% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 6.58% | 4 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.70% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -3.25% | 3 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -2.56% | 12 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.05% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -2.48% | 2 | |
| 2023-11-20 | 2023-11-21 | $235.60 | $241.20 | 0.28% | 2 | |
| 2023-11-15 | 2023-11-17 | $242.84 | $234.30 | -1.43% | 3 | |
| 2023-11-13 | 2023-11-14 | $223.71 | $237.41 | 3.21% | 2 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -4.53% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 0.90% | 2 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.03% | 8 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -5.39% | 9 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -3.94% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.08% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 10.49% | 16 | |
| 2022-03-17 | 2022-03-18 | $290.53 | $301.80 | 2.82% | 2 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.08% | 2 | |
| 2022-03-04 | 2022-03-07 | $279.43 | $268.19 | -0.26% | 2 | |
| 2022-03-02 | 2022-03-03 | $293.30 | $279.76 | 1.28% | 2 | |
| 2022-02-18 | 2022-02-22 | $285.66 | $273.84 | -1.93% | 2 | |
| 2022-02-16 | 2022-02-17 | $307.80 | $292.12 | -0.08% | 2 | |
| 2022-02-11 | 2022-02-14 | $286.67 | $291.92 | -4.10% | 2 | |
| 2022-02-09 | 2022-02-10 | $310.67 | $301.52 | 0.71% | 2 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -3.94% | 3 | |
| 2021-06-23 | 2021-07-12 | $218.86 | $228.57 | 4.13% | 13 | |
| 2021-06-21 | 2021-06-22 | $206.94 | $207.90 | -0.48% | 2 | |
| 2021-06-17 | 2021-06-18 | $205.53 | $207.77 | 1.39% | 2 | |
| 2021-06-15 | 2021-06-16 | $199.79 | $201.62 | -2.53% | 2 | |
| 2021-06-11 | 2021-06-14 | $203.30 | $205.90 | -0.19% | 2 | |
| 2021-06-09 | 2021-06-10 | $199.59 | $203.37 | -0.80% | 2 | |
| 2021-06-07 | 2021-06-08 | $201.71 | $201.20 | 0.65% | 2 | |
| 2021-06-03 | 2021-06-04 | $190.95 | $199.68 | -4.42% | 2 | |
| 2021-06-01 | 2021-06-02 | $207.97 | $201.71 | -0.33% | 2 | |
| 2021-05-27 | 2021-05-28 | $210.28 | $208.41 | 1.35% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -7.29% | 12 | |
| 2021-04-12 | 2021-04-13 | $233.99 | $254.11 | 2.79% | 2 | |
| 2021-04-08 | 2021-04-09 | $227.93 | $225.67 | 1.37% | 2 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -5.20% | 3 | |
| 2019-02-20 | 2019-02-21 | $20.17 | $19.42 | -0.97% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-11 | 2018-02-05 | $22.53 | $22.21 | 2.00% | 17 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.04% | 10 | |
| 2017-12-07 | 2017-12-08 | $20.75 | $21.01 | -0.68% | 2 | |
| 2017-12-05 | 2017-12-06 | $20.25 | $20.88 | -0.55% | 2 | |
| 2017-12-01 | 2017-12-04 | $20.44 | $20.35 | -0.76% | 2 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.06% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.46% | 3 |