Strategy Zoo / S0912
MACDMomentum_V0912
REJECTEDhybridstructuralchanged macd_hist threshold 0.0 -> -0.6818; reduce exposure to 62% during MEDIUM_VOLATILITY | rejected: stage1: sharpe 0.63 below screen
Fitness
—
Generation
41
Complexity
15
Created
2026-09-30
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0912 [hybrid]
if flat and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.3475) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))):
position = 1.0
if long and macd_hist < -0.6818:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| 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 | ||||||