Strategy Zoo / S0919
MACDMomentum_V0919
ARCHIVEDmomentumllmAdded trend gate to only trade in UPTREND and restricted high-volatility regimes; strengthened entry with RSI < 75 and positive sma_50_slope to avoid overbought/weak trends; broadened exit to include cross below SMA50 and 5-day drawdown (< -7%) for quicker loss cuts; reduced base position to 0.8 and added position scaling rules to cut size in high vol (vol_pctile>0.8) and when very close to 52w highs to reduce risk/bubble exposure.
Fitness
0.3686
Generation
42
Complexity
10
Created
2026-09-30
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0919 [momentum]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (macd_hist > 0.0 and close > sma_50 and rsi_14 < 75.0 and sma_50_slope > 0.0):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or ret_5d < -0.07):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 24.4% | 3.3% | 9.6% |
| Total Return | 72.2% | 92.6% | 12.8% | 282.7% |
| Sharpe | 0.52 | 1.15 | 0.28 | 0.63 |
| Sortino | 0.31 | 0.89 | 0.16 | 0.39 |
| Calmar | 0.24 | 0.81 | 0.13 | 0.30 |
| Volatility | 15.3% | 21.0% | 15.7% | 16.7% |
| Max DD | -29.9% | -30.1% | -25.5% | -32.1% |
| Win Rate | 38.1% | 33.3% | 30.0% | 35.0% |
| Avg Win | 8.5% | 17.8% | 11.7% | 11.9% |
| Avg Loss | -3.2% | -2.5% | -3.6% | -3.2% |
| Payoff | 2.62 | 7.19 | 3.21 | 3.77 |
| Expectancy | 1.2% | 4.3% | 1.0% | 2.1% |
| Profit Factor | 1.61 | 3.59 | 1.38 | 2.03 |
| Trades | 42 | 18 | 20 | 80 |
| Avg Holding Days | 8.2 | 9.7 | 7.1 | 8.4 |
| Turnover | 8.5 | 9.6 | 8.6 | 8.7 |
| Exposure | 12.4% | 16.5% | 10.4% | 12.8% |
Growth of $100
MACDMomentum_V0919 vs TSLA Buy & Hold
MACDMomentum_V0919 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 | 4.1% | 0.57 | -5.3% | 3 |
| 2017 | 16.1% | 1.16 | -10.8% | 13 |
| 2018 | -8.3% | -1.09 | -9.7% | 3 |
| 2019 | 11.0% | 0.60 | -16.0% | 3 |
| 2020 | 78.0% | 2.35 | -7.1% | 7 |
| 2021 | 29.6% | 1.26 | -16.0% | 6 |
| 2022 | -16.7% | -1.61 | -16.7% | 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 | 274 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 35.6% | 1.56 | 21% |
| hidden test | EXTREME | 48 | -19.2% | -2.92 | 3% |
| hidden test | HIGH VOLATILITY | 254 | -16.7% | -1.28 | 2% |
| hidden test | LOW VOLATILITY | 434 | 27.6% | 1.75 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -14.3% | -0.81 | 11% |
| hidden test | NORMAL | 807 | 2.7% | 0.18 | 10% |
| hidden test | SIDEWAYS | 293 | -17.1% | -1.18 | 11% |
| hidden test | UPTREND | 371 | 24.7% | 1.16 | 18% |
| train | DOWNTREND | 518 | 2.2% | 0.74 | 1% |
| train | EXPENSIVE | 311 | 23.2% | 1.07 | 19% |
| train | EXTREME | 100 | 33.5% | 1.79 | 19% |
| train | HIGH VOLATILITY | 699 | 2.6% | 0.15 | 1% |
| train | LOW VOLATILITY | 745 | 20.9% | 1.54 | 24% |
| train | MEDIUM VOLATILITY | 568 | -2.3% | -0.15 | 10% |
| train | NORMAL | 1,601 | 3.4% | 0.25 | 11% |
| train | SIDEWAYS | 592 | -3.8% | -0.33 | 8% |
| train | UPTREND | 902 | 19.0% | 0.92 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 45.4% | 1.57 | 28% |
| validation | EXTREME | 144 | 85.8% | 3.41 | 15% |
| validation | HIGH VOLATILITY | 258 | 4.5% | 0.32 | 1% |
| validation | LOW VOLATILITY | 183 | 21.0% | 1.29 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 41.8% | 1.53 | 23% |
| validation | NORMAL | 474 | -1.0% | -0.06 | 14% |
| validation | SIDEWAYS | 206 | -8.9% | -0.91 | 4% |
| validation | UPTREND | 425 | 47.0% | 1.74 | 27% |
Trades (full period)
80 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -5.30% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 2.44% | 2 | |
| 2026-05-14 | 2026-05-19 | $443.30 | $404.11 | -6.52% | 4 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 17.65% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.65% | 7 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2025-05-19 | 2025-06-03 | $342.09 | $344.27 | -1.77% | 11 | |
| 2024-12-19 | 2024-12-23 | $436.17 | $430.60 | -3.63% | 3 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 27.57% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 15.56% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.88% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -4.29% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.83% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 12.64% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.99% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 21.91% | 20 | |
| 2020-11-09 | 2020-11-10 | $140.42 | $136.79 | -1.78% | 2 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -2.98% | 5 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 6.20% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 7.16% | 17 | |
| 2019-12-16 | 2020-01-31 | $25.43 | $43.37 | 59.48% | 32 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 12.82% | 8 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.29% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.72% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.06% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.22% | 6 | |
| 2017-08-15 | 2017-08-18 | $24.16 | $23.16 | -2.77% | 4 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.10% | 2 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 8.65% | 17 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.36% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.09% | 3 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -0.95% | 2 | |
| 2017-03-24 | 2017-04-04 | $17.54 | $20.25 | 13.40% | 8 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.46% | 3 | |
| 2017-02-17 | 2017-02-22 | $18.15 | $18.23 | 2.34% | 3 | |
| 2016-12-30 | 2017-02-02 | $14.25 | $16.77 | 12.55% | 23 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 5.55% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.55% | 5 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -2.04% | 5 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-04-14 | 2015-05-22 | $13.83 | $16.52 | 13.35% | 29 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.95% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.24% | 10 | |
| 2014-02-13 | 2014-02-26 | $13.31 | $16.87 | 21.13% | 9 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -4.52% | 10 | |
| 2013-09-09 | 2013-09-10 | $10.71 | $11.09 | -3.16% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -5.52% | 11 | |
| 2013-05-01 | 2013-05-08 | $3.55 | $3.72 | 2.19% | 6 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -6.31% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 7.21% | 17 | |
| 2012-11-12 | 2012-12-14 | $2.07 | $2.25 | 8.50% | 24 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -6.33% | 7 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.11% | 5 |