Strategy Zoo / S0898
MACDMomentum_V0898
ARCHIVEDhybridllmReduced base exposure to 60% to lower drawdown risk; added volatility percentile filters to avoid entries in very high-vol regimes; added momentum_60 filter to favor sustained moves; tightened breakout branch rel_volume threshold and required sma_50>sma_200; enhanced exit to include price crossing below sma_50 and a daily stoploss (ret_1d<-6%); added regime gates: allow only UPTREND/SIDEWAYS, exclude HIGH_VOLATILITY and non-normal bubble states.
Fitness
0.1331
Generation
41
Complexity
18
Created
2026-09-30
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0898 [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 and momentum_60 > 0.0 and vol_pctile < 0.75) or (breakout_50 == 1 and rel_volume > 1.25 and sma_50 > sma_200 and vol_pctile < 0.9)):
position = 0.6
if long and (macd_hist < 0.0 or close < sma_50 or ret_1d < -0.06):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.4% | -0.4% | 0.4% | 0.2% |
| Total Return | 2.8% | -1.1% | 1.6% | 3.4% |
| Sharpe | 0.08 | 0.01 | 0.10 | 0.07 |
| Sortino | 0.04 | 0.01 | 0.06 | 0.04 |
| Calmar | 0.02 | -0.02 | 0.02 | 0.01 |
| Volatility | 9.4% | 10.0% | 11.9% | 10.2% |
| Max DD | -19.0% | -22.1% | -22.1% | -27.9% |
| Win Rate | 35.9% | 8.3% | 30.8% | 29.9% |
| Avg Win | 4.2% | 16.0% | 6.3% | 5.5% |
| Avg Loss | -2.2% | -1.4% | -2.5% | -2.1% |
| Payoff | 1.97 | 10.00 | 2.51 | 2.57 |
| Expectancy | 0.1% | 0.0% | 0.2% | 0.1% |
| Profit Factor | 1.10 | 1.02 | 1.12 | 1.10 |
| Trades | 39 | 12 | 26 | 77 |
| Avg Holding Days | 6.9 | 8.8 | 6.4 | 7.1 |
| Turnover | 5.9 | 4.8 | 8.4 | 6.3 |
| Exposure | 6.9% | 7.5% | 9.0% | 7.5% |
Growth of $100
MACDMomentum_V0898 vs TSLA Buy & Hold
MACDMomentum_V0898 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% | -0.49 | -7.2% | 4 |
| 2017 | 8.7% | 1.45 | -3.3% | 6 |
| 2018 | -6.6% | -1.19 | -7.2% | 4 |
| 2019 | 3.2% | 0.28 | -12.1% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 11.4% | 0.80 | -12.2% | 6 |
| 2022 | -11.2% | -1.29 | -13.7% | 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 | 274 | -0.9% | -0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 25.7% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -10.4% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 434 | 8.0% | 0.64 | 14% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.9% | 0.07 | 9% |
| hidden test | NORMAL | 807 | -1.3% | -0.11 | 10% |
| hidden test | SIDEWAYS | 293 | -25.4% | -1.93 | 15% |
| hidden test | UPTREND | 371 | 23.6% | 1.60 | 11% |
| train | DOWNTREND | 518 | -1.9% | -0.88 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.3% | 0.23 | 0% |
| train | LOW VOLATILITY | 745 | 7.7% | 0.89 | 14% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -1.09 | 5% |
| train | NORMAL | 1,601 | -0.4% | -0.04 | 8% |
| train | SIDEWAYS | 592 | -9.1% | -0.96 | 7% |
| train | UPTREND | 902 | 8.8% | 0.76 | 10% |
| 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 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.1% | 0.30 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 4.4% | 0.37 | 6% |
| validation | NORMAL | 474 | 0.2% | 0.02 | 12% |
| validation | SIDEWAYS | 206 | -8.7% | -1.04 | 7% |
| validation | UPTREND | 425 | 4.5% | 0.37 | 10% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -3.97% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -3.46% | 4 | |
| 2026-05-11 | 2026-05-21 | $445.00 | $417.85 | -1.59% | 9 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.72% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 7.51% | 6 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -3.95% | 5 | |
| 2025-08-19 | 2025-08-21 | $329.31 | $320.11 | -2.14% | 3 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -4.53% | 5 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 4.92% | 4 | |
| 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 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 20.27% | 18 | |
| 2023-12-19 | 2024-01-02 | $257.22 | $248.42 | -0.92% | 9 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -1.92% | 12 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -1.86% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -2.40% | 2 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -4.05% | 9 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.19% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -2.95% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 11.59% | 19 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -2.32% | 2 | |
| 2023-03-24 | 2023-04-04 | $190.41 | $192.58 | 0.78% | 8 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.20% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.37% | 4 | |
| 2022-08-09 | 2022-08-12 | $283.33 | $300.03 | -0.87% | 4 | |
| 2022-08-03 | 2022-08-08 | $307.40 | $290.42 | -2.55% | 4 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -3.71% | 10 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.17% | 5 | |
| 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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.16% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.04% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 9.65% | 8 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.18% | 11 | |
| 2019-07-23 | 2019-07-26 | $17.34 | $15.20 | -6.30% | 4 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.84% | 6 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.08% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -2.79% | 2 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.16% | 11 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -0.79% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 9.25% | 19 | |
| 2016-08-01 | 2016-08-09 | $15.33 | $15.27 | -2.32% | 7 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -0.88% | 3 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.18% | 9 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -2.72% | 4 | |
| 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 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 3.52% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.41% | 6 | |
| 2014-11-17 | 2014-11-24 | $16.93 | $16.45 | -3.82% | 6 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.71% | 3 | |
| 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 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -0.69% | 13 | |
| 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 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 3.97% | 28 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -3.16% | 4 | |
| 2012-07-19 | 2012-07-23 | $2.15 | $2.04 | -0.79% | 3 | |
| 2012-07-13 | 2012-07-18 | $2.28 | $2.14 | 1.19% | 4 | |
| 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 | |
| 2012-02-17 | 2012-02-29 | $2.33 | $2.23 | -0.75% | 8 |