Strategy Zoo / S0012

Breakout52w_V0012

ARCHIVEDbreakout

seedseed strategy

Fitness

0.5263

Generation

Complexity

Created

2026-09-18

Lineage

Parents (0)

None — seed strategy

Children (3)

SMACross_50_200_V0023S0023 · gen 1ARCHIVEDcrossover

PriceMomentum_V0082S0082 · gen 4ARCHIVEDcrossover

Breakout52w_V0111S0111 · gen 5ARCHIVEDstructural

Strategy Logic (pseudocode)

# Breakout52w_V0012  [breakout]
if flat and breakout_252 == 1:
    position = 1.0
if long and dist_52w_high < -0.15:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.2%	61.2%	6.0%	19.9%
Total Return	168.3%	318.6%	23.8%	1331.6%
Sharpe	0.62	1.46	0.42	0.81
Sortino	0.46	1.16	0.24	0.59
Calmar	0.40	1.97	0.20	0.61
Volatility	24.9%	37.4%	17.5%	26.5%
Max DD	-32.6%	-31.1%	-30.5%	-32.6%
Win Rate	50.0%	83.3%	50.0%	62.5%
Avg Win	46.6%	39.0%	49.7%	45.3%
Avg Loss	-9.3%	-15.3%	-17.3%	-11.6%
Payoff	5.01	2.55	2.88	3.89
Expectancy	18.6%	29.9%	16.2%	23.9%
Profit Factor	5.01	10.00	2.88	6.49
Trades	8	6	2	16
Avg Holding Days	50.3	28.0	40.0	41.3
Turnover	2.1	4.0	1.1	2.2
Exposure	20.1%	21.4%	8.4%	17.4%

Growth of $100

Breakout52w_V0012 vs TSLA Buy & Hold

Breakout52w_V0012 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	0.0%	0.00	0.0%	0
2017	-3.3%	0.01	-32.0%	2
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	260.4%	2.54	-31.1%	4
2021	11.6%	0.51	-19.2%	2
2022	0.0%	0.00	0.0%	0

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	267	0.0%	0.00	0%
hidden test	EXPENSIVE	83	39.7%	1.16	19%
hidden test	EXTREME	48	161.4%	3.08	56%
hidden test	HIGH VOLATILITY	254	32.5%	1.19	15%
hidden test	LOW VOLATILITY	429	-2.3%	-0.18	8%
hidden test	MEDIUM VOLATILITY	248	-2.0%	-0.18	2%
hidden test	NORMAL	800	-5.3%	-0.65	4%
hidden test	SIDEWAYS	293	-5.4%	-0.69	4%
hidden test	UPTREND	371	22.5%	0.84	18%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	17.3%	0.47	57%
train	EXTREME	100	300.4%	4.31	73%
train	HIGH VOLATILITY	699	40.1%	1.22	17%
train	LOW VOLATILITY	745	7.1%	0.44	20%
train	MEDIUM VOLATILITY	568	-4.2%	-0.19	24%
train	NORMAL	1,601	-2.8%	-0.20	10%
train	SIDEWAYS	592	-2.1%	-0.86	1%
train	UPTREND	902	35.6%	0.96	44%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	78.3%	1.91	52%
validation	EXTREME	144	203.1%	2.97	51%
validation	HIGH VOLATILITY	258	54.4%	1.11	19%
validation	LOW VOLATILITY	183	2.1%	0.18	9%
validation	MEDIUM VOLATILITY	315	85.2%	2.35	31%
validation	NORMAL	474	2.6%	0.15	3%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	97.1%	1.95	38%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2026-02-05	$467.26	$397.21	-17.29%	34
2024-10-28	2025-01-02	$262.51	$379.28	49.72%	46
2021-10-22	2021-11-10	$303.23	$355.98	14.26%	14
2020-11-20	2021-02-23	$163.20	$232.95	42.82%	63
2020-08-17	2020-09-04	$122.38	$139.44	23.05%	15
2020-06-09	2020-08-12	$62.71	$103.65	44.39%	46
2020-02-20	2020-02-27	$59.96	$45.27	-15.28%	6
2019-12-17	2020-02-06	$25.27	$49.93	92.20%	35
2017-09-19	2017-10-26	$25.01	$21.74	-15.54%	28
2017-02-10	2017-07-07	$17.95	$20.88	14.49%	102
2014-08-12	2014-10-01	$17.33	$16.02	-6.60%	36
2014-02-11	2014-03-27	$13.11	$13.82	8.13%	32
2013-07-30	2013-10-29	$8.78	$10.96	20.73%	65
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-01-29	2013-06-04	$2.53	$6.32	142.98%	88
2012-02-21	2012-04-17	$2.30	$2.15	-7.96%	40