Strategy Zoo / S1049
MACDMomentum_V1049
ARCHIVEDhybridllmAdded regime gates to avoid downtrend/high-bubble/high-volatility; tightened entry to require positive MACD, price > SMA50 and positive SMA50 slope (reduces choppy trades); kept breakout+rel_volume branch but relaxed vol threshold to 1.25; improved exit to also exit on price crossing below SMA50; added volatility-based position scaling (reduce size in high vol, full size in low vol with positive slope); lowered base position to 0.7 for risk control.
Fitness
0.1765
Generation
48
Complexity
14
Created
2026-10-02
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V1049 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((macd_hist > 0.0 and close > sma_50 and sma_50_slope > 0.0) or (breakout_50 == 1 and rel_volume > 1.25)):
position = 0.7
if long and (macd_hist < 0.0 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.2% | -0.0% | 4.8% | 2.4% |
| Total Return | 19.0% | -0.1% | 19.1% | 41.7% |
| Sharpe | 0.26 | 0.06 | 0.43 | 0.27 |
| Sortino | 0.13 | 0.03 | 0.21 | 0.13 |
| Calmar | 0.11 | -0.00 | 0.29 | 0.09 |
| Volatility | 10.5% | 11.4% | 12.7% | 11.3% |
| Max DD | -20.2% | -24.2% | -16.7% | -26.1% |
| Win Rate | 38.9% | 10.0% | 33.3% | 32.8% |
| Avg Win | 5.1% | 18.7% | 9.7% | 7.1% |
| Avg Loss | -2.3% | -1.9% | -3.0% | -2.4% |
| Payoff | 2.23 | 9.93 | 3.24 | 2.94 |
| Expectancy | 0.6% | 0.2% | 1.2% | 0.7% |
| Profit Factor | 1.42 | 1.10 | 1.62 | 1.44 |
| Trades | 36 | 10 | 18 | 64 |
| Avg Holding Days | 7.2 | 9.5 | 6.5 | 7.4 |
| Turnover | 6.3 | 4.7 | 6.8 | 6.1 |
| Exposure | 7.8% | 7.9% | 7.4% | 7.7% |
Growth of $100
MACDMomentum_V1049 vs TSLA Buy & Hold
MACDMomentum_V1049 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 | 2.0% | 0.32 | -6.0% | 3 |
| 2017 | 10.2% | 1.45 | -3.8% | 6 |
| 2018 | -7.2% | -1.08 | -8.4% | 4 |
| 2019 | 3.1% | 0.26 | -13.8% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.3% | 0.83 | -14.1% | 5 |
| 2022 | -11.8% | -1.15 | -14.6% | 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 | 276 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 30.0% | 2.44 | 2% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -12.1% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 436 | 17.0% | 1.29 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | 3.4% | 0.25 | 6% |
| hidden test | NORMAL | 809 | 3.3% | 0.25 | 8% |
| hidden test | SIDEWAYS | 293 | -14.6% | -1.15 | 9% |
| hidden test | UPTREND | 371 | 25.4% | 1.51 | 12% |
| train | DOWNTREND | 518 | -0.3% | -0.79 | 0% |
| train | EXPENSIVE | 311 | 8.2% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.7% | 0.23 | 1% |
| train | LOW VOLATILITY | 745 | 10.4% | 1.07 | 16% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.75 | 5% |
| train | NORMAL | 1,601 | 1.8% | 0.16 | 10% |
| train | SIDEWAYS | 592 | -6.2% | -0.62 | 7% |
| train | UPTREND | 902 | 10.3% | 0.77 | 12% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -8.3% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 3.6% | 0.33 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 6.3% | 0.46 | 8% |
| validation | NORMAL | 474 | 1.0% | 0.07 | 13% |
| validation | SIDEWAYS | 206 | -8.4% | -0.97 | 5% |
| validation | UPTREND | 425 | 5.2% | 0.37 | 12% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.63% | 3 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -4.03% | 4 | |
| 2026-05-14 | 2026-05-21 | $443.30 | $417.85 | -4.53% | 6 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 1.98% | 18 | |
| 2025-09-08 | 2025-09-15 | $346.40 | $410.04 | 8.78% | 6 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -2.32% | 7 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.08% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -5.29% | 5 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.90% | 2 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 5.75% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.49% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.02% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.05% | 2 | |
| 2024-06-17 | 2024-07-12 | $187.44 | $248.23 | 23.89% | 18 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.36% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.61% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 13.57% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -2.49% | 10 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -3.75% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.60% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.57% | 9 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -4.34% | 10 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.52% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 18.67% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.86% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.37% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 11.52% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.73% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -8.01% | 5 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.32% | 6 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.10% | 2 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -3.25% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.80% | 13 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.91% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -0.93% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.08% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.03% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.53% | 3 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 10.85% | 19 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.29% | 11 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 4.87% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.48% | 5 | |
| 2015-12-29 | 2016-01-05 | $15.81 | $14.90 | -1.77% | 5 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.98% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.08% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.26% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.22% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.11% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -1.65% | 6 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.83% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 8.31% | 18 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -0.83% | 13 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 11.07% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -5.53% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.08% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.47% | 2 | |
| 2012-11-12 | 2012-12-14 | $2.07 | $2.25 | 7.43% | 24 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.58% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.10% | 4 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -0.97% | 5 |