Strategy Zoo / S1073
MACDMomentum_V1073
ARCHIVEDhybridllmAdded regime gates to avoid trading in bubbles and extreme volatility; tightened and simplified entries into two robust cases (breakout with volume OR confirmed momentum + golden cross + slope); improved exits to include MACD sign, stop on cross under SMA50, and a drawdown stop; added volatility-based position sizing (scale down in high vol) and lowered base position to reduce risk.
Fitness
0.1465
Generation
49
Complexity
16
Created
2026-10-02
Lineage
Parents (1)
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# MACDMomentum_V1073 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and ((breakout_50 == 1 and rel_volume > 1.2) or (macd_hist > 0.0 and close > sma_50 and sma_50 > sma_200 and sma_50_slope > 0.0)):
position = 0.8
if long and (macd_hist < 0.0 or close < sma_50 or drawdown > 0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.0% | 1.7% | 3.7% | 1.3% |
| Total Return | 0.3% | 5.1% | 14.5% | 20.8% |
| Sharpe | 0.06 | 0.20 | 0.36 | 0.17 |
| Sortino | 0.03 | 0.08 | 0.14 | 0.07 |
| Calmar | 0.00 | 0.07 | 0.20 | 0.06 |
| Volatility | 11.7% | 12.5% | 12.3% | 12.0% |
| Max DD | -22.7% | -23.3% | -18.2% | -23.3% |
| Win Rate | 38.2% | 25.0% | 45.5% | 37.7% |
| Avg Win | 5.5% | 11.0% | 8.1% | 6.7% |
| Avg Loss | -3.1% | -2.5% | -4.0% | -3.2% |
| Payoff | 1.75 | 4.47 | 2.02 | 2.11 |
| Expectancy | 0.2% | 0.9% | 1.5% | 0.5% |
| Profit Factor | 1.08 | 1.49 | 1.68 | 1.28 |
| Trades | 34 | 8 | 11 | 53 |
| Avg Holding Days | 6.8 | 10.3 | 6.6 | 7.3 |
| Turnover | 6.8 | 4.3 | 4.7 | 5.8 |
| Exposure | 7.8% | 7.8% | 5.3% | 7.2% |
Growth of $100
MACDMomentum_V1073 vs TSLA Buy & Hold
MACDMomentum_V1073 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 | -1.4% | -0.17 | -6.9% | 2 |
| 2017 | 11.2% | 1.39 | -4.5% | 6 |
| 2018 | -5.8% | -0.85 | -7.3% | 4 |
| 2019 | 5.7% | 0.39 | -12.1% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 14.1% | 0.79 | -16.0% | 5 |
| 2022 | -7.8% | -0.74 | -12.0% | 2 |
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 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.69 | 1% |
| hidden test | LOW VOLATILITY | 436 | 11.3% | 0.90 | 8% |
| hidden test | MEDIUM VOLATILITY | 250 | 4.7% | 0.37 | 4% |
| hidden test | NORMAL | 809 | 3.3% | 0.26 | 6% |
| hidden test | SIDEWAYS | 293 | -9.6% | -1.16 | 3% |
| hidden test | UPTREND | 371 | 18.7% | 1.04 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.4% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.4% | 0.33 | 0% |
| train | LOW VOLATILITY | 745 | 9.4% | 0.88 | 16% |
| train | MEDIUM VOLATILITY | 568 | -15.2% | -1.43 | 6% |
| train | NORMAL | 1,601 | -0.9% | -0.07 | 10% |
| train | SIDEWAYS | 592 | -13.3% | -1.29 | 5% |
| train | UPTREND | 902 | 10.3% | 0.67 | 14% |
| 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 | -9.5% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 9.2% | 0.94 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 8.3% | 0.53 | 8% |
| validation | NORMAL | 474 | 3.9% | 0.25 | 12% |
| validation | SIDEWAYS | 206 | -4.6% | -0.57 | 5% |
| validation | UPTREND | 425 | 6.6% | 0.42 | 12% |
Trades (full period)
53 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-05-21 | $433.45 | $417.85 | -5.13% | 8 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.22% | 18 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.24% | 2 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -6.05% | 5 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.84% | 2 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 4.58% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -6.91% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 17.87% | 11 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.84% | 2 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 9.98% | 16 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -2.97% | 9 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -4.98% | 10 | |
| 2021-12-28 | 2022-01-03 | $362.82 | $399.93 | -2.88% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.37% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.71% | 9 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -2.79% | 11 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 4.99% | 2 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.15% | 9 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -11.04% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -3.81% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.28% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.11% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.92% | 13 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -1.04% | 3 | |
| 2017-10-12 | 2017-10-17 | $23.71 | $23.72 | -1.06% | 4 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 4.67% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -3.46% | 3 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.01% | 2 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.46% | 19 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.32% | 8 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -4.55% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.25% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 4.69% | 19 | |
| 2014-10-08 | 2014-10-10 | $17.29 | $15.79 | -0.95% | 3 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.01% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 9.51% | 18 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -0.96% | 13 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 12.65% | 4 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -6.31% | 7 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.10% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.68% | 2 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.56% | 18 | |
| 2012-07-17 | 2012-07-23 | $2.22 | $2.04 | -9.49% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -2.40% | 4 | |
| 2012-02-21 | 2012-02-29 | $2.30 | $2.23 | -2.81% | 7 |