Strategy Zoo / S0099

Breakout20_V0099

ARCHIVEDbreakout

structuraladded entry filter: breakout_252 == 1

Fitness

0.5206

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

Breakout20_V0011S0011 · gen 0ARCHIVEDstructural

seed strategy

Children (2)

Breakout20_V0136S0136 · gen 6ARCHIVEDstructural

Breakout20_V0179S0179 · gen 8ARCHIVEDstructural

Strategy Logic (pseudocode)

# Breakout20_V0099  [breakout]
if flat and (breakout_20 == 1 and breakout_252 == 1):
    position = 1.0
if long and close < sma_20:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	10.8%	70.5%	9.6%	20.9%
Total Return	127.4%	396.1%	40.2%	1527.7%
Sharpe	0.58	1.56	0.64	0.88
Sortino	0.37	1.03	0.32	0.51
Calmar	0.44	2.01	0.45	0.60
Volatility	21.4%	39.1%	16.4%	25.1%
Max DD	-24.7%	-35.1%	-21.3%	-35.1%
Win Rate	28.6%	80.0%	50.0%	42.9%
Avg Win	42.1%	51.2%	49.7%	49.6%
Avg Loss	-5.0%	-0.2%	-6.4%	-4.7%
Payoff	8.35	10.00	7.81	10.00
Expectancy	8.4%	41.0%	21.7%	18.5%
Profit Factor	3.34	10.00	7.81	7.84
Trades	14	5	2	21
Avg Holding Days	19.1	31.8	27.5	23.5
Turnover	3.6	3.3	1.1	2.9
Exposure	13.1%	20.4%	5.7%	12.8%

Growth of $100

Breakout20_V0099 vs TSLA Buy & Hold

Breakout20_V0099 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	-13.6%	-0.73	-17.1%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	280.7%	2.49	-35.1%	3
2021	25.2%	0.95	-16.8%	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	4.6%	0.54	3%
hidden test	MEDIUM VOLATILITY	248	-2.0%	-0.18	2%
hidden test	NORMAL	800	-1.6%	-0.35	1%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	26.2%	1.01	14%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	13.9%	0.44	40%
train	EXTREME	100	300.0%	4.23	78%
train	HIGH VOLATILITY	699	31.7%	1.04	14%
train	LOW VOLATILITY	745	2.6%	0.20	16%
train	MEDIUM VOLATILITY	568	1.9%	0.12	8%
train	NORMAL	1,601	-5.7%	-0.76	4%
train	SIDEWAYS	592	-0.6%	-0.65	0%
train	UPTREND	902	28.3%	0.88	29%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	47.6%	0.99	43%
validation	EXTREME	144	245.7%	3.53	55%
validation	HIGH VOLATILITY	258	56.2%	1.03	22%
validation	LOW VOLATILITY	183	15.6%	1.71	4%
validation	MEDIUM VOLATILITY	315	91.5%	2.65	28%
validation	NORMAL	474	8.9%	0.55	3%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	108.6%	2.09	36%

Trades (full period)

21 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2025-12-30	$467.26	$454.43	-6.37%	9
2024-10-28	2025-01-02	$262.51	$379.28	49.72%	46
2021-10-22	2021-11-15	$303.23	$337.80	15.37%	17
2020-11-20	2021-02-01	$163.20	$279.94	58.62%	48
2020-08-17	2020-09-09	$122.38	$122.09	-0.17%	17
2020-06-09	2020-08-03	$62.71	$99.00	50.32%	39
2019-12-17	2020-02-27	$25.27	$45.27	103.73%	49
2017-09-19	2017-09-25	$25.01	$23.00	-8.99%	5
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
2017-04-04	2017-05-05	$20.25	$20.56	-1.22%	23
2017-02-10	2017-02-24	$17.95	$17.13	-5.10%	10
2014-08-12	2014-09-16	$17.33	$17.38	-2.30%	25
2014-02-11	2014-03-17	$13.11	$15.60	17.27%	24
2013-07-30	2013-10-04	$8.78	$12.07	28.48%	48
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-04-02	2013-06-12	$2.96	$6.52	114.62%	51
2013-01-29	2013-02-19	$2.53	$2.62	-2.80%	15
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
2012-02-21	2012-03-07	$2.30	$2.21	-5.51%	12