Strategy Zoo / S0933
MACDMomentum_V0933
ARCHIVEDhybridstructuralchanged macd_hist threshold 0.0 -> 0.6212; restricted to trend regimes ['UPTREND']
Fitness
0.5152
Generation
42
Complexity
15
Created
2026-09-30
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0933 [hybrid]
require regime.trend in ['UPTREND']
if flat and ((macd_hist > 0.6212 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 < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.7% | 62.9% | 11.6% | 21.5% |
| Total Return | 160.4% | 332.3% | 50.5% | 1644.2% |
| Sharpe | 0.60 | 1.43 | 0.58 | 0.83 |
| Sortino | 0.45 | 1.30 | 0.37 | 0.63 |
| Calmar | 0.30 | 1.66 | 0.50 | 0.51 |
| Volatility | 24.8% | 39.5% | 23.6% | 28.2% |
| Max DD | -42.1% | -37.9% | -23.3% | -42.1% |
| Win Rate | 41.0% | 40.0% | 44.4% | 41.6% |
| Avg Win | 16.1% | 29.7% | 12.4% | 19.7% |
| Avg Loss | -4.9% | -4.1% | -4.9% | -4.7% |
| Payoff | 3.32 | 7.17 | 2.51 | 4.22 |
| Expectancy | 3.8% | 9.4% | 2.8% | 5.5% |
| Profit Factor | 2.31 | 4.78 | 2.01 | 3.00 |
| Trades | 39 | 20 | 18 | 77 |
| Avg Holding Days | 10.7 | 11.5 | 9.0 | 10.7 |
| Turnover | 9.9 | 13.3 | 9.7 | 10.5 |
| Exposure | 19.4% | 27.8% | 15.4% | 20.1% |
Growth of $100
MACDMomentum_V0933 vs TSLA Buy & Hold
MACDMomentum_V0933 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 | 2.1% | 0.29 | -6.6% | 3 |
| 2017 | 10.4% | 0.59 | -20.3% | 10 |
| 2018 | -17.0% | -1.01 | -23.4% | 2 |
| 2019 | 19.6% | 0.97 | -13.1% | 2 |
| 2020 | 318.7% | 2.75 | -23.1% | 9 |
| 2021 | 38.4% | 1.28 | -16.8% | 6 |
| 2022 | -34.8% | -2.69 | -34.7% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 88.5% | 2.01 | 43% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 4.8% | 0.15 | 19% |
| hidden test | LOW VOLATILITY | 434 | 29.4% | 1.73 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.3% | -0.18 | 16% |
| hidden test | NORMAL | 807 | -0.7% | -0.04 | 11% |
| hidden test | SIDEWAYS | 293 | -27.1% | -2.19 | 2% |
| hidden test | UPTREND | 371 | 56.1% | 1.57 | 37% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.9% | 0.74 | 44% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 27.9% | 0.79 | 21% |
| train | LOW VOLATILITY | 745 | 14.6% | 0.95 | 24% |
| train | MEDIUM VOLATILITY | 568 | -0.5% | -0.03 | 11% |
| train | NORMAL | 1,601 | -3.8% | -0.24 | 11% |
| train | SIDEWAYS | 592 | -6.0% | -0.90 | 1% |
| train | UPTREND | 902 | 37.3% | 1.02 | 43% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 51.8% | 1.42 | 36% |
| validation | EXTREME | 144 | 259.1% | 3.67 | 60% |
| validation | HIGH VOLATILITY | 258 | 86.2% | 1.59 | 26% |
| validation | LOW VOLATILITY | 183 | 22.6% | 1.20 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 51.8% | 1.53 | 28% |
| validation | NORMAL | 474 | -3.7% | -0.16 | 16% |
| validation | SIDEWAYS | 206 | -8.6% | -0.87 | 1% |
| validation | UPTREND | 425 | 104.6% | 2.01 | 49% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.57% | 5 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.21% | 8 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 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 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 9.58% | 20 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-06-23 | 2014-07-07 | $15.81 | $14.84 | -0.34% | 10 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-01-24 | 2014-02-06 | $11.64 | $11.89 | -4.10% | 10 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 144.07% | 48 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.39% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |