Fitness
0.5065
Generation
46
Complexity
14
Created
2026-10-01
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V1004 [hybrid]
if flat and ((rsi_14 > 41.5281 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 | 7.2% | 87.8% | 12.4% | 21.9% |
| Total Return | 74.4% | 562.6% | 54.4% | 1736.9% |
| Sharpe | 0.37 | 1.54 | 0.50 | 0.71 |
| Sortino | 0.43 | 1.90 | 0.59 | 0.83 |
| Calmar | 0.11 | 2.75 | 0.29 | 0.33 |
| Volatility | 34.1% | 48.7% | 36.3% | 38.1% |
| Max DD | -67.0% | -31.9% | -42.8% | -67.0% |
| Win Rate | 40.5% | 54.6% | 41.4% | 44.0% |
| Avg Win | 5.8% | 7.0% | 5.9% | 6.4% |
| Avg Loss | -3.0% | -3.4% | -3.1% | -3.1% |
| Payoff | 1.94 | 2.03 | 1.89 | 2.04 |
| Expectancy | 0.6% | 2.3% | 0.6% | 1.1% |
| Profit Factor | 1.32 | 2.45 | 1.34 | 1.60 |
| Trades | 237 | 108 | 116 | 461 |
| Avg Holding Days | 5.0 | 4.5 | 4.9 | 4.9 |
| Turnover | 59.5 | 72.0 | 62.5 | 62.7 |
| Exposure | 47.3% | 50.0% | 48.1% | 48.1% |
Growth of $100
MACDMomentum_V1004 vs TSLA Buy & Hold
MACDMomentum_V1004 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 | 5.8% | 0.40 | -25.1% | 19 |
| 2017 | -4.1% | -0.02 | -30.7% | 40 |
| 2018 | -28.0% | -0.88 | -37.3% | 27 |
| 2019 | 7.0% | 0.37 | -31.1% | 22 |
| 2020 | 479.0% | 2.93 | -24.2% | 46 |
| 2021 | 8.2% | 0.40 | -31.9% | 42 |
| 2022 | -7.5% | -0.12 | -23.1% | 19 |
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 | 14.6% | 0.60 | 28% |
| hidden test | EXPENSIVE | 83 | 113.5% | 2.27 | 65% |
| hidden test | EXTREME | 48 | 201.6% | 3.96 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 43.1% | 0.94 | 52% |
| hidden test | LOW VOLATILITY | 434 | 42.0% | 1.56 | 45% |
| hidden test | MEDIUM VOLATILITY | 251 | -48.1% | -1.22 | 50% |
| hidden test | NORMAL | 808 | -2.5% | -0.07 | 45% |
| hidden test | SIDEWAYS | 293 | -27.3% | -0.78 | 56% |
| hidden test | UPTREND | 371 | 56.8% | 1.30 | 57% |
| train | DOWNTREND | 518 | -10.6% | -0.57 | 21% |
| train | EXPENSIVE | 311 | 27.7% | 0.71 | 67% |
| train | EXTREME | 100 | 357.7% | 5.00 | 85% |
| train | HIGH VOLATILITY | 699 | 35.6% | 0.80 | 43% |
| train | LOW VOLATILITY | 745 | 23.7% | 0.96 | 55% |
| train | MEDIUM VOLATILITY | 568 | -30.1% | -1.00 | 42% |
| train | NORMAL | 1,601 | -11.8% | -0.41 | 41% |
| train | SIDEWAYS | 592 | -3.9% | -0.13 | 44% |
| train | UPTREND | 902 | 36.9% | 0.87 | 65% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 71.7% | 1.54 | 57% |
| validation | EXTREME | 144 | 301.3% | 3.75 | 81% |
| validation | HIGH VOLATILITY | 258 | 99.0% | 1.55 | 42% |
| validation | LOW VOLATILITY | 183 | 26.6% | 1.06 | 57% |
| validation | MEDIUM VOLATILITY | 315 | 82.9% | 1.86 | 52% |
| validation | NORMAL | 474 | 6.8% | 0.20 | 39% |
| validation | SIDEWAYS | 206 | -15.8% | -0.52 | 35% |
| validation | UPTREND | 425 | 130.0% | 2.17 | 68% |
Trades (full period)
latest 100 of 462
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-30 | — | — | — | -0.10% | 1 | OPEN |
| 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 | -3.99% | 11 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-06-12 | 2026-06-15 | $406.43 | $411.15 | 1.62% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 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 | |
| 2026-01-14 | 2026-01-15 | $439.20 | $438.57 | -1.99% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 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 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-31 | 2025-11-03 | $456.56 | $468.37 | 3.54% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 4.11% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 2.08% | 2 | |
| 2025-10-21 | 2025-10-22 | $442.60 | $438.97 | -1.28% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 2.26% | 2 | |
| 2025-10-15 | 2025-10-16 | $435.15 | $428.75 | 1.18% | 2 | |
| 2025-10-13 | 2025-10-14 | $435.90 | $429.24 | 5.21% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 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 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.17% | 2 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -4.08% | 2 | |
| 2025-06-13 | 2025-06-16 | $325.31 | $329.13 | 1.74% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.10% | 2 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 4.35% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 20.02% | 26 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-17 | 2025-01-21 | $426.50 | $424.07 | 2.86% | 2 | |
| 2025-01-15 | 2025-01-16 | $428.22 | $413.82 | 7.83% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2025-01-08 | 2025-01-10 | $394.94 | $394.74 | -0.05% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-11 | 2024-10-14 | $217.80 | $219.16 | -8.97% | 2 | |
| 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 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-02 | 2024-08-05 | $207.67 | $198.88 | -4.43% | 2 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 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 | -9.39% | 22 | |
| 2024-01-09 | 2024-01-10 | $234.96 | $233.94 | -2.48% | 2 | |
| 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 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-08-01 | 2023-08-02 | $261.07 | $254.11 | -2.58% | 2 | |
| 2023-07-28 | 2023-07-31 | $266.44 | $267.43 | 3.99% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-24 | 2023-07-25 | $269.06 | $265.28 | 3.27% | 2 | |
| 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 |