Strategy Zoo / S0859
MACDMomentum_V0859
ARCHIVEDhybridllmAdded regime gates to avoid entries in downtrends, high volatility, or bubble states; tightened entry by requiring either breakout_50 or sma_50>sma_200 (trend confirmation) in addition to existing momentum/breakout signals; improved exit to include sma_50 crossing below sma_200 (faster structural exit) as well as macd_hist < 0; lowered base_position to 0.6 and added position scaling rules: full size in low vol or breakouts, reduce to 0.3 in high vol or rapid vol spikes — aims to reduce drawdown and improve walk-forward robustness.
Fitness
0.2117
Generation
39
Complexity
22
Created
2026-09-29
Lineage
Parents (1)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0859 [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 > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)) and (sma_50 > sma_200 or breakout_50 == 1)):
position = 0.6
if long and (macd_hist < 0.0 or sma_50 < sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.6% | 7.0% | 3.0% | 2.5% |
| Total Return | 4.6% | 22.5% | 11.7% | 43.2% |
| Sharpe | 0.11 | 0.66 | 0.35 | 0.31 |
| Sortino | 0.06 | 0.37 | 0.20 | 0.17 |
| Calmar | 0.03 | 0.57 | 0.27 | 0.11 |
| Volatility | 7.7% | 11.2% | 10.0% | 9.1% |
| Max DD | -20.6% | -12.2% | -11.3% | -22.7% |
| Win Rate | 49.1% | 42.9% | 59.3% | 51.0% |
| Avg Win | 2.0% | 5.1% | 2.1% | 2.4% |
| Avg Loss | -1.7% | -1.1% | -2.0% | -1.6% |
| Payoff | 1.17 | 4.81 | 1.07 | 1.45 |
| Expectancy | 0.1% | 1.6% | 0.4% | 0.4% |
| Profit Factor | 1.13 | 3.60 | 1.55 | 1.51 |
| Trades | 57 | 14 | 27 | 98 |
| Avg Holding Days | 4.4 | 7.4 | 5.1 | 5.0 |
| Turnover | 8.6 | 5.6 | 8.7 | 8.0 |
| Exposure | 5.8% | 7.1% | 7.1% | 6.4% |
Growth of $100
MACDMomentum_V0859 vs TSLA Buy & Hold
MACDMomentum_V0859 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 | -1.4% | -0.21 | -6.5% | 6 |
| 2017 | 3.2% | 0.63 | -3.3% | 10 |
| 2018 | -5.5% | -1.35 | -5.4% | 5 |
| 2019 | 4.5% | 1.12 | -0.7% | 5 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 5.0% | 0.40 | -12.2% | 9 |
| 2022 | 7.9% | 0.90 | -6.4% | 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 | 273 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 13.0% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 3.1% | 0.39 | 1% |
| hidden test | LOW VOLATILITY | 433 | 6.7% | 0.68 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.6% | -0.14 | 9% |
| hidden test | NORMAL | 806 | 2.7% | 0.26 | 8% |
| hidden test | SIDEWAYS | 293 | -4.0% | -0.32 | 13% |
| hidden test | UPTREND | 371 | 11.9% | 1.05 | 8% |
| train | DOWNTREND | 518 | -0.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 6.6% | 1.63 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.9% | 0.63 | 0% |
| train | LOW VOLATILITY | 745 | 5.5% | 0.67 | 11% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -1.04 | 6% |
| train | NORMAL | 1,601 | -0.2% | -0.02 | 7% |
| train | SIDEWAYS | 592 | 1.1% | 0.14 | 7% |
| train | UPTREND | 902 | 1.2% | 0.13 | 8% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 0.8% | 0.07 | 0% |
| validation | LOW VOLATILITY | 183 | 7.3% | 0.99 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 12.8% | 0.97 | 8% |
| validation | NORMAL | 474 | 11.8% | 0.83 | 11% |
| validation | SIDEWAYS | 206 | 7.5% | 0.71 | 10% |
| validation | UPTREND | 425 | 9.5% | 0.73 | 8% |
Trades (full period)
98 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 2.21% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.47% | 2 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -3.93% | 10 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.93% | 2 | |
| 2024-09-23 | 2024-10-04 | $250.00 | $250.08 | 0.56% | 10 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.45% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.18% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.67% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -0.92% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -1.52% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -2.79% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.12% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.55% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.90% | 16 | |
| 2021-12-28 | 2022-01-04 | $362.82 | $383.20 | 5.78% | 6 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 15.97% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.77% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.14% | 15 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.11% | 2 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -5.47% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.39% | 2 | |
| 2019-10-15 | 2019-10-16 | $17.19 | $17.32 | 0.10% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 0.97% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.70% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -0.98% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -1.29% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.14% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.57% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 2.09% | 2 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -1.72% | 8 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-23 | $17.46 | $16.99 | -1.59% | 4 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -0.76% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 0.91% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.24% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.67% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 1.45% | 13 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -3.90% | 7 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -1.98% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 1.94% | 2 | |
| 2016-03-21 | 2016-03-22 | $15.89 | $15.62 | 1.32% | 2 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.36% | 2 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -3.34% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -1.76% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.14% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.19% | 2 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.17% | 2 | |
| 2015-05-06 | 2015-05-07 | $15.36 | $15.79 | -0.77% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -1.77% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.40% | 2 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -1.65% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -5.37% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.28% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 7.10% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 4.99% | 28 | |
| 2014-01-07 | 2014-01-08 | $9.96 | $10.09 | 0.84% | 2 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 9.49% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -4.74% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.26% | 2 | |
| 2012-12-12 | 2012-12-13 | $2.35 | $2.24 | -0.15% | 2 | |
| 2012-12-03 | 2012-12-04 | $2.31 | $2.26 | 1.30% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 0.71% | 2 | |
| 2012-11-20 | 2012-11-21 | $2.20 | $2.16 | 0.03% | 2 | |
| 2012-07-16 | 2012-07-17 | $2.40 | $2.22 | 2.87% | 2 | |
| 2012-06-27 | 2012-07-03 | $2.13 | $2.04 | -2.42% | 5 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.60% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.91% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -1.80% | 4 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.06% | 10 |