Strategy Zoo / S0040

Breakout20_V0040

ARCHIVEDhybrid

crossoverentry = Breakout20_V0011 AND SMACross_50_200_V0020

Fitness

0.6276

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

Breakout20_V0011S0011 · gen 0ARCHIVEDcrossover

seed strategy

SMACross_50_200_V0020S0020 · gen 1ARCHIVEDcrossover

entry from SMACross_50_200_V0006, exit from Breakout20_V0011

Children (6)

PriceMomentum_V0080S0080 · gen 4ARCHIVEDcrossover

Breakout20_V0104S0104 · gen 5ARCHIVEDcrossover

LongTermTrend_V0105S0105 · gen 5ARCHIVEDcrossover

Breakout20_V0164S0164 · gen 8ARCHIVEDcrossover

SMACross_50_200_V0271S0271 · gen 13ARCHIVEDcrossover

Breakout20_V0305S0305 · gen 14ARCHIVEDstructural

Strategy Logic (pseudocode)

# Breakout20_V0040  [hybrid]
if flat and (breakout_20 == 1 and sma_50 > sma_200):
    position = 1.0
if long and close < sma_20:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	11.9%	101.9%	1.6%	23.4%
Total Return	144.7%	722.7%	5.9%	2094.8%
Sharpe	0.56	1.78	0.18	0.85
Sortino	0.45	1.64	0.12	0.67
Calmar	0.22	2.57	0.05	0.43
Volatility	25.9%	45.2%	22.3%	30.2%
Max DD	-54.8%	-39.6%	-33.7%	-54.8%
Win Rate	28.1%	45.5%	30.0%	32.1%
Avg Win	26.0%	70.0%	18.3%	39.7%
Avg Loss	-4.6%	-5.4%	-5.5%	-4.9%
Payoff	5.71	10.00	3.33	8.14
Expectancy	4.0%	28.9%	1.6%	9.4%
Profit Factor	2.24	10.00	1.43	3.85
Trades	32	11	10	53
Avg Holding Days	15.4	26.2	16.3	18.1
Turnover	8.1	7.3	5.4	7.2
Exposure	23.5%	36.6%	16.4%	24.4%

Growth of $100

Breakout20_V0040 vs TSLA Buy & Hold

Breakout20_V0040 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	-13.4%	-1.77	-14.5%	3
2017	3.6%	0.27	-14.7%	7
2018	-15.5%	-0.89	-22.0%	2
2019	-0.1%	0.09	-14.4%	2
2020	550.2%	3.08	-39.6%	4
2021	32.0%	1.04	-18.8%	5
2022	-8.1%	-0.40	-14.9%	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	267	0.0%	0.00	0%
hidden test	EXPENSIVE	83	16.0%	0.35	51%
hidden test	EXTREME	48	161.4%	3.08	56%
hidden test	HIGH VOLATILITY	254	31.2%	1.06	15%
hidden test	LOW VOLATILITY	429	16.4%	1.07	16%
hidden test	MEDIUM VOLATILITY	248	-45.2%	-1.90	19%
hidden test	NORMAL	800	-6.7%	-0.47	11%
hidden test	SIDEWAYS	293	-8.2%	-0.71	14%
hidden test	UPTREND	371	16.6%	0.49	30%
train	DOWNTREND	518	-6.6%	-1.50	1%
train	EXPENSIVE	311	66.4%	1.83	59%
train	EXTREME	100	327.1%	4.54	81%
train	HIGH VOLATILITY	699	36.3%	1.03	25%
train	LOW VOLATILITY	745	5.2%	0.29	27%
train	MEDIUM VOLATILITY	568	-0.2%	-0.01	17%
train	NORMAL	1,601	-15.1%	-0.97	13%
train	SIDEWAYS	592	-0.3%	-0.02	14%
train	UPTREND	902	36.3%	1.00	43%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	51.3%	1.01	48%
validation	EXTREME	144	345.0%	4.38	82%
validation	HIGH VOLATILITY	258	79.3%	1.29	36%
validation	LOW VOLATILITY	183	43.3%	2.25	33%
validation	MEDIUM VOLATILITY	315	103.0%	2.58	40%
validation	NORMAL	474	8.6%	0.37	20%
validation	SIDEWAYS	206	17.8%	0.71	22%
validation	UPTREND	425	134.5%	2.34	55%

Trades (full period)

53 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-08	2025-12-30	$439.58	$454.43	0.81%	16
2025-10-29	2025-11-10	$461.51	$445.23	-6.92%	9
2025-09-17	2025-10-13	$425.86	$435.90	-2.12%	19
2024-10-28	2025-01-02	$262.51	$379.28	49.72%	46
2024-09-16	2024-10-08	$226.78	$244.50	4.37%	17
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2023-12-15	2024-01-04	$253.50	$237.93	-5.21%	13
2023-11-16	2023-12-13	$233.59	$239.29	-2.60%	19
2023-09-12	2023-09-22	$267.48	$244.88	-6.72%	9
2023-07-05	2023-07-21	$282.48	$260.02	-6.23%	13
2022-03-21	2022-04-12	$307.05	$328.98	7.58%	17
2022-01-04	2022-01-10	$383.20	$352.71	-14.58%	5
2021-09-27	2021-11-15	$263.79	$337.80	33.19%	36
2021-08-31	2021-09-21	$245.24	$246.46	-0.30%	15
2021-06-24	2021-07-15	$226.61	$216.87	-0.68%	15
2021-04-14	2021-04-28	$244.08	$231.47	-7.74%	11
2020-11-18	2021-02-01	$162.21	$279.94	79.35%	50
2020-10-15	2020-10-21	$149.63	$140.88	-8.72%	5
2020-08-17	2020-09-09	$122.38	$122.09	-0.17%	17
2020-04-13	2020-08-03	$43.40	$99.00	149.23%	79
2019-12-13	2020-02-27	$23.89	$45.27	116.09%	51
2019-11-08	2019-11-25	$22.48	$22.42	-0.94%	12
2019-01-18	2019-01-22	$20.15	$19.93	-13.16%	2
2018-12-04	2018-12-18	$23.98	$22.47	-3.00%	10
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2017-12-12	2017-12-27	$22.74	$20.78	-3.72%	11
2017-09-14	2017-09-25	$25.18	$23.00	-4.32%	8
2017-08-04	2017-08-21	$23.79	$22.52	-0.09%	12
2017-05-31	2017-06-28	$22.73	$24.75	7.92%	21
2017-05-11	2017-05-18	$21.54	$20.87	-6.06%	6
2017-03-27	2017-05-05	$18.01	$20.56	12.05%	29
2017-02-07	2017-02-24	$17.17	$17.13	-0.89%	13
2016-10-04	2016-10-07	$14.09	$13.11	-6.13%	4
2016-07-26	2016-08-09	$15.30	$15.27	-1.87%	11
2016-06-08	2016-06-13	$15.70	$14.52	-6.02%	4
2015-11-06	2015-11-11	$15.49	$14.61	-6.77%	4
2015-09-17	2015-09-29	$17.47	$16.44	-5.46%	9
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-06-18	2015-07-09	$17.46	$17.19	-2.29%	15
2014-11-12	2014-11-24	$16.61	$16.45	-3.50%	9
2014-08-04	2014-09-16	$15.90	$17.38	8.61%	31
2014-06-17	2014-07-08	$15.44	$14.60	-1.06%	15
2014-01-15	2014-03-17	$10.94	$15.60	42.94%	42
2013-12-13	2014-01-10	$9.84	$9.71	-0.16%	19
2013-07-30	2013-10-04	$8.78	$12.07	28.48%	48
2013-06-27	2013-07-17	$7.28	$8.02	2.95%	14
2013-04-02	2013-06-12	$2.96	$6.52	114.62%	51
2013-01-24	2013-02-19	$2.47	$2.62	2.69%	18
2013-01-03	2013-01-09	$2.32	$2.24	-4.94%	5
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8
2012-03-13	2012-03-23	$2.41	$2.27	-4.66%	9
2012-01-27	2012-03-07	$1.96	$2.21	14.18%	28