Strategy Zoo / S0991
MACDMomentum_V0991
ARCHIVEDhybridllmReplaced price-vs-SMA cross with dist_sma_50 check; lowered rel_volume threshold to 1.2; added explicit regime gates to avoid high-volatility and extreme-bubble environments; tightened exit logic to include negative 50-SMA slope and a drawdown stop (-12%); reduced base position to 0.8 to limit max drawdown risk.
Fitness
0.3115
Generation
45
Complexity
17
Created
2026-10-01
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V0991 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((macd_hist > 0.0 and dist_sma_50 > 0.0) or (breakout_50 == 1 and rel_volume > 1.2) or (macd_hist > 0.0 and sma_50 > sma_200)):
position = 0.8
if long and (macd_hist < 0.0 or sma_50_slope < 0.0 or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.1% | 26.5% | -7.9% | 2.9% |
| Total Return | -0.5% | 102.3% | -26.3% | 51.8% |
| Sharpe | 0.07 | 1.26 | -0.50 | 0.26 |
| Sortino | 0.05 | 1.20 | -0.37 | 0.21 |
| Calmar | -0.00 | 1.69 | -0.29 | 0.08 |
| Volatility | 14.1% | 20.2% | 14.4% | 15.6% |
| Max DD | -33.9% | -15.6% | -26.8% | -38.3% |
| Win Rate | 43.0% | 47.4% | 42.7% | 43.8% |
| Avg Win | 2.1% | 4.0% | 2.0% | 2.6% |
| Avg Loss | -1.7% | -1.6% | -1.9% | -1.7% |
| Payoff | 1.29 | 2.58 | 1.04 | 1.54 |
| Expectancy | -0.0% | 1.1% | -0.2% | 0.2% |
| Profit Factor | 0.97 | 2.32 | 0.77 | 1.20 |
| Trades | 179 | 76 | 110 | 365 |
| Avg Holding Days | 2.9 | 2.9 | 2.3 | 2.7 |
| Turnover | 36.0 | 40.5 | 47.2 | 39.7 |
| Exposure | 13.7% | 15.4% | 12.0% | 13.6% |
Growth of $100
MACDMomentum_V0991 vs TSLA Buy & Hold
MACDMomentum_V0991 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 | -7.0% | -0.76 | -10.0% | 28 |
| 2017 | 4.8% | 0.40 | -12.3% | 30 |
| 2018 | -9.4% | -1.25 | -11.6% | 8 |
| 2019 | 18.0% | 1.89 | -3.0% | 13 |
| 2020 | 56.0% | 2.24 | -7.1% | 6 |
| 2021 | 30.1% | 1.24 | -15.4% | 44 |
| 2022 | -10.1% | -0.92 | -10.8% | 25 |
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 | 275 | -2.6% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | -2.7% | -0.14 | 15% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.9% | -0.22 | 1% |
| hidden test | LOW VOLATILITY | 434 | 0.3% | 0.02 | 17% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.4% | -1.40 | 14% |
| hidden test | NORMAL | 808 | -8.0% | -0.57 | 12% |
| hidden test | SIDEWAYS | 293 | -24.5% | -1.46 | 20% |
| hidden test | UPTREND | 371 | 3.1% | 0.18 | 14% |
| train | DOWNTREND | 518 | -5.3% | -1.58 | 1% |
| train | EXPENSIVE | 311 | 35.1% | 1.79 | 21% |
| train | EXTREME | 100 | 9.3% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 7.3% | 0.62 | 1% |
| train | LOW VOLATILITY | 745 | 5.4% | 0.41 | 25% |
| train | MEDIUM VOLATILITY | 568 | -12.8% | -0.73 | 15% |
| train | NORMAL | 1,601 | -6.3% | -0.48 | 13% |
| train | SIDEWAYS | 592 | -5.6% | -0.40 | 15% |
| train | UPTREND | 902 | 8.8% | 0.50 | 20% |
| validation | DOWNTREND | 125 | -2.3% | -2.15 | 1% |
| validation | EXPENSIVE | 138 | 87.6% | 3.13 | 27% |
| validation | EXTREME | 144 | 30.7% | 2.28 | 2% |
| validation | HIGH VOLATILITY | 258 | 1.0% | 0.07 | 1% |
| validation | LOW VOLATILITY | 183 | 7.7% | 0.49 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 55.9% | 2.17 | 22% |
| validation | NORMAL | 474 | 5.8% | 0.31 | 16% |
| validation | SIDEWAYS | 206 | -11.2% | -0.81 | 16% |
| validation | UPTREND | 425 | 51.4% | 2.06 | 20% |
Trades (full period)
latest 100 of 365
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.73% | 2 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.61% | 4 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.31% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -4.29% | 3 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.78% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.59% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -0.93% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.56% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -1.90% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -1.85% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -2.49% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.08% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.46% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.25% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 5.37% | 21 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-09-22 | 2025-10-06 | $434.21 | $453.25 | 0.63% | 11 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.03% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.17% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -2.96% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.63% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.39% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.56% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.36% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.11% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.86% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 2.66% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.05% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.44% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.72% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -2.83% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.48% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.56% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.30% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.96% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 5.23% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.26% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 1.80% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.70% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 3.78% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.40% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.38% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 3.76% | 2 | |
| 2024-09-03 | 2024-09-04 | $210.60 | $219.41 | -1.47% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -6.91% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.81% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.50% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 7.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 3.69% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.35% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.58% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 4.07% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.41% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.13% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.22% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.47% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.07% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.24% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.06% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.25% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.49% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 3.44% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.26% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 1.74% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.08% | 2 | |
| 2023-11-15 | 2023-11-16 | $242.84 | $233.59 | 1.67% | 2 | |
| 2023-11-13 | 2023-11-14 | $223.71 | $237.41 | 3.21% | 2 | |
| 2023-11-09 | 2023-11-10 | $209.98 | $214.65 | -4.53% | 2 | |
| 2023-11-07 | 2023-11-08 | $222.18 | $222.11 | 0.90% | 2 | |
| 2023-10-16 | 2023-10-17 | $253.92 | $254.85 | 0.73% | 2 | |
| 2023-10-12 | 2023-10-13 | $258.87 | $251.12 | -1.41% | 2 | |
| 2023-10-10 | 2023-10-11 | $263.62 | $262.99 | 1.06% | 2 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.01% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -3.54% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.33% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -2.81% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.24% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -1.94% | 2 | |
| 2023-09-08 | 2023-09-11 | $248.50 | $273.58 | -1.11% | 2 | |
| 2023-09-06 | 2023-09-07 | $251.92 | $251.49 | -1.58% | 2 | |
| 2023-09-01 | 2023-09-05 | $245.01 | $256.49 | -4.21% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.25% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.08% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -2.58% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -4.53% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.29% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 |