MACDMomentum_V0899

REJECTEDhybrid

llmAdded conservative regime gates (require UPTREND, MEDIUM_VOLATILITY, NORMAL bubble) to reduce overfitting and avoid extreme regimes; simplified and strengthened entry logic into two clear paths (volume-backed 50-day breakout with moderate volatility OR MACD + price above 50-day + 50>200 trend) to focus on robust momentum; expanded exit to a safer OR combination (MACD turn, price dropping below 50-day, or a 10% drawdown) to limit large losses; reduced base position to 0.7 to lower risk exposure. | rejected: stage1: sharpe -0.51 below screen

Fitness

—

Generation

Complexity

Created

2026-09-30

Lineage

Parents (1)

MACDMomentum_V0726S0726 · gen 33ARCHIVEDllm

changed rel_volume threshold 1.5045 -> 1.3475

Children (0)

None

Strategy Logic (pseudocode)

# MACDMomentum_V0899  [hybrid]
if flat and ((breakout_50 == 1 and rel_volume > 1.3 and vol_pctile < 0.8) or (macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200)):
    position = 0.7
if long and (macd_hist < 0.0 or close < sma_50 or drawdown < -0.1):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
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Total Return	—	—	—	—
Sharpe	—	—	—	—
Sortino	—	—	—	—
Calmar	—	—	—	—
Volatility	—	—	—	—
Max DD	—	—	—	—
Win Rate	—	—	—	—
Avg Win	—	—	—	—
Avg Loss	—	—	—	—
Payoff	—	—	—	—
Expectancy	—	—	—	—
Profit Factor	—	—	—	—
Trades	—	—	—	—
Avg Holding Days	—	—	—	—
Turnover	—	—	—	—
Exposure	—	—	—	—

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
No walk-forward results

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
No regime results

Trades (full period)

0 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
No trades recorded