Strategy Zoo / S1036
MACDMomentum_V1036
ARCHIVEDmomentumstructuralreduce exposure to 32% during MEDIUM_VOLATILITY
Fitness
0.5761
Generation
47
Complexity
5
Created
2026-10-02
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V1036 [momentum]
if flat and (macd_hist > 0.0 and close > sma_50):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.32Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.9% | 48.5% | 30.1% | 28.7% |
| Total Return | 354.3% | 227.6% | 166.9% | 3989.7% |
| Sharpe | 0.81 | 1.32 | 1.05 | 0.99 |
| Sortino | 0.82 | 1.25 | 1.07 | 0.99 |
| Calmar | 0.49 | 2.30 | 1.08 | 0.68 |
| Volatility | 28.1% | 34.4% | 29.0% | 29.7% |
| Max DD | -42.2% | -21.1% | -27.9% | -42.2% |
| Win Rate | 45.0% | 41.7% | 40.7% | 43.2% |
| Avg Win | 14.0% | 18.4% | 16.3% | 16.1% |
| Avg Loss | -4.7% | -2.8% | -3.8% | -4.1% |
| Payoff | 2.95 | 6.51 | 4.26 | 3.95 |
| Expectancy | 3.7% | 6.0% | 4.4% | 4.6% |
| Profit Factor | 2.42 | 4.65 | 2.93 | 3.01 |
| Trades | 60 | 24 | 27 | 111 |
| Avg Holding Days | 13.4 | 12.9 | 14.2 | 13.6 |
| Turnover | 17.7 | 15.1 | 17.4 | 17.0 |
| Exposure | 31.5% | 26.0% | 31.6% | 30.4% |
Growth of $100
MACDMomentum_V1036 vs TSLA Buy & Hold
MACDMomentum_V1036 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 | 14.3% | 1.00 | -9.3% | 5 |
| 2017 | 1.3% | 0.16 | -22.2% | 11 |
| 2018 | 1.3% | 0.18 | -23.3% | 8 |
| 2019 | 19.2% | 0.69 | -27.1% | 6 |
| 2020 | 181.3% | 2.23 | -21.1% | 9 |
| 2021 | 23.1% | 1.13 | -12.2% | 9 |
| 2022 | -9.7% | -0.48 | -17.6% | 6 |
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 | 276 | 16.1% | 0.69 | 23% |
| hidden test | EXPENSIVE | 83 | 96.3% | 2.18 | 44% |
| hidden test | EXTREME | 48 | 109.9% | 2.74 | 28% |
| hidden test | HIGH VOLATILITY | 254 | 49.2% | 1.29 | 39% |
| hidden test | LOW VOLATILITY | 436 | 49.6% | 2.00 | 35% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.0% | -0.90 | 17% |
| hidden test | NORMAL | 809 | 19.0% | 0.73 | 31% |
| hidden test | SIDEWAYS | 293 | 5.7% | 0.21 | 39% |
| hidden test | UPTREND | 371 | 60.7% | 1.82 | 32% |
| train | DOWNTREND | 518 | -4.2% | -0.29 | 14% |
| train | EXPENSIVE | 311 | 25.4% | 0.98 | 44% |
| train | EXTREME | 100 | 284.7% | 4.25 | 60% |
| train | HIGH VOLATILITY | 699 | 44.8% | 1.15 | 35% |
| train | LOW VOLATILITY | 745 | 30.7% | 1.46 | 41% |
| train | MEDIUM VOLATILITY | 568 | -14.6% | -0.78 | 15% |
| train | NORMAL | 1,601 | 5.9% | 0.25 | 27% |
| train | SIDEWAYS | 592 | 11.0% | 0.44 | 30% |
| train | UPTREND | 902 | 46.0% | 1.31 | 42% |
| validation | DOWNTREND | 125 | 26.1% | 1.74 | 5% |
| validation | EXPENSIVE | 138 | 41.8% | 2.04 | 16% |
| validation | EXTREME | 144 | 174.6% | 2.61 | 55% |
| validation | HIGH VOLATILITY | 258 | 57.1% | 1.13 | 29% |
| validation | LOW VOLATILITY | 183 | 20.1% | 0.92 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 50.4% | 2.32 | 15% |
| validation | NORMAL | 474 | 7.1% | 0.36 | 20% |
| validation | SIDEWAYS | 206 | -5.2% | -0.25 | 18% |
| validation | UPTREND | 425 | 75.5% | 1.77 | 36% |
Trades (full period)
latest 100 of 111
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -4.81% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -3.60% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -1.80% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 9.32% | 26 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.49% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 19.54% | 21 | |
| 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 | -7.72% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 18.72% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 7.25% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 5.90% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 30.41% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -9.39% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | 0.99% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -1.77% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -0.74% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -0.89% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 25.09% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -0.73% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 11.97% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 4.24% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -8.64% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.66% | 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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -2.92% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 5.06% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -0.74% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 12.04% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -1.18% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 0.51% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 19.99% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 13.79% | 17 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 94.64% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 39.49% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -1.59% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -8.12% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 1.86% | 19 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -8.98% | 3 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | 0.20% | 6 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 17.90% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 7.08% | 19 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -3.21% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -1.49% | 2 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 0.23% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -5.39% | 11 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -3.07% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -4.14% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.62% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 4.38% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -0.94% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.04% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 7.52% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 23.63% | 34 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.17% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.82% | 9 | |
| 2016-03-04 | 2016-04-01 | $13.40 | $15.84 | 9.11% | 20 | |
| 2015-12-18 | 2016-01-06 | $15.36 | $14.60 | -4.05% | 12 | |
| 2015-11-27 | 2015-12-14 | $15.44 | $14.57 | -3.48% | 12 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.09% | 11 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -1.82% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-23 | 2015-02-25 | $13.82 | $13.58 | -6.18% | 3 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -6.60% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -1.97% | 13 | |
| 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 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 9.80% | 28 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 1.48% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -3.33% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 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 | 0.50% | 11 |