Strategy Zoo / S0905
MACDMomentum_V0905
ARCHIVEDmomentumstructuralchanged macd_hist threshold 0.0 -> -2.0461; reduce exposure to 41% during HIGH_VOLATILITY
Fitness
0.5480
Generation
41
Complexity
5
Created
2026-09-30
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0905 [momentum]
if flat and (macd_hist > -2.0461 and close > sma_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.1% | 84.9% | 3.5% | 15.2% |
| Total Return | 8.8% | 531.7% | 13.8% | 704.9% |
| Sharpe | 0.18 | 1.90 | 0.26 | 0.62 |
| Sortino | 0.18 | 2.42 | 0.27 | 0.68 |
| Calmar | 0.02 | 3.57 | 0.10 | 0.25 |
| Volatility | 27.5% | 35.6% | 28.8% | 29.7% |
| Max DD | -60.9% | -23.7% | -37.1% | -60.9% |
| Win Rate | 40.5% | 55.4% | 32.9% | 42.0% |
| Avg Win | 4.1% | 7.1% | 7.1% | 5.5% |
| Avg Loss | -2.6% | -2.2% | -2.8% | -2.6% |
| Payoff | 1.61 | 3.21 | 2.51 | 2.15 |
| Expectancy | 0.1% | 3.0% | 0.4% | 0.8% |
| Profit Factor | 1.10 | 3.99 | 1.23 | 1.56 |
| Trades | 237 | 74 | 70 | 381 |
| Avg Holding Days | 5.0 | 5.7 | 6.8 | 5.5 |
| Turnover | 52.3 | 40.3 | 34.4 | 45.2 |
| Exposure | 38.3% | 37.8% | 35.8% | 37.6% |
Growth of $100
MACDMomentum_V0905 vs TSLA Buy & Hold
MACDMomentum_V0905 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 | -0.6% | 0.05 | -24.2% | 19 |
| 2017 | -0.6% | 0.10 | -26.8% | 40 |
| 2018 | -19.5% | -0.95 | -24.1% | 27 |
| 2019 | 8.6% | 0.42 | -23.0% | 22 |
| 2020 | 274.4% | 3.22 | -14.1% | 43 |
| 2021 | 32.5% | 1.04 | -23.7% | 23 |
| 2022 | 11.8% | 0.57 | -16.7% | 7 |
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 | 5.7% | 0.35 | 19% |
| hidden test | EXPENSIVE | 83 | 28.1% | 0.79 | 43% |
| hidden test | EXTREME | 48 | 78.8% | 2.28 | 29% |
| hidden test | HIGH VOLATILITY | 254 | 4.5% | 0.19 | 20% |
| hidden test | LOW VOLATILITY | 434 | 48.3% | 1.83 | 42% |
| hidden test | MEDIUM VOLATILITY | 250 | -59.9% | -1.67 | 40% |
| hidden test | NORMAL | 807 | 1.3% | 0.05 | 35% |
| hidden test | SIDEWAYS | 293 | -22.6% | -0.74 | 48% |
| hidden test | UPTREND | 371 | 32.9% | 0.97 | 38% |
| train | DOWNTREND | 518 | -10.8% | -0.63 | 18% |
| train | EXPENSIVE | 311 | 19.6% | 0.57 | 51% |
| train | EXTREME | 100 | 190.6% | 4.96 | 51% |
| train | HIGH VOLATILITY | 699 | 12.6% | 0.43 | 20% |
| train | LOW VOLATILITY | 745 | 23.7% | 0.97 | 55% |
| train | MEDIUM VOLATILITY | 568 | -29.5% | -1.01 | 40% |
| train | NORMAL | 1,601 | -9.7% | -0.39 | 35% |
| train | SIDEWAYS | 592 | -5.1% | -0.20 | 35% |
| train | UPTREND | 902 | 20.3% | 0.61 | 52% |
| validation | DOWNTREND | 125 | 34.7% | 1.59 | 11% |
| validation | EXPENSIVE | 138 | 58.0% | 1.45 | 49% |
| validation | EXTREME | 144 | 215.0% | 4.53 | 46% |
| validation | HIGH VOLATILITY | 258 | 56.9% | 1.63 | 18% |
| validation | LOW VOLATILITY | 183 | 34.3% | 1.45 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 96.0% | 2.32 | 46% |
| validation | NORMAL | 474 | 25.8% | 0.89 | 32% |
| validation | SIDEWAYS | 206 | -5.6% | -0.23 | 29% |
| validation | UPTREND | 425 | 112.9% | 2.64 | 50% |
Trades (full period)
latest 100 of 381
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-06-30 | 2026-07-15 | $420.60 | $394.46 | -4.19% | 11 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 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 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -2.27% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.35% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -2.59% | 3 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 10.51% | 26 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.66% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -0.95% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -0.80% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 9.43% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 11.21% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 0.20% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -3.09% | 9 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.30% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.92% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.79% | 24 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.72% | 2 | |
| 2024-06-10 | 2024-06-11 | $173.79 | $170.66 | -2.28% | 2 | |
| 2024-06-06 | 2024-06-07 | $177.94 | $177.48 | 1.48% | 2 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -1.06% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -4.06% | 22 | |
| 2024-01-05 | 2024-01-08 | $237.49 | $240.45 | -0.38% | 2 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -1.13% | 2 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 10.12% | 19 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.89% | 10 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 13.17% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.85% | 2 | |
| 2021-12-27 | 2022-01-12 | $364.65 | $368.74 | 6.94% | 13 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 31.28% | 23 | |
| 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 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 2.36% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-20 | 2021-08-23 | $226.75 | $235.43 | 0.81% | 2 | |
| 2021-08-18 | 2021-08-19 | $229.66 | $224.49 | 3.29% | 2 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 | |
| 2021-07-28 | 2021-07-29 | $215.66 | $225.78 | 0.14% | 2 | |
| 2021-07-26 | 2021-07-27 | $219.21 | $214.93 | 2.01% | 2 | |
| 2021-07-22 | 2021-07-23 | $216.42 | $214.46 | -1.12% | 2 | |
| 2021-07-20 | 2021-07-21 | $220.17 | $218.43 | 2.01% | 2 | |
| 2021-07-16 | 2021-07-19 | $214.74 | $215.41 | -1.18% | 2 | |
| 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 | |
| 2021-05-03 | 2021-05-04 | $228.30 | $224.53 | -3.66% | 2 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 |