Strategy Zoo / S0104
Breakout20_V0104
ARCHIVEDhybridcrossoverentry from Breakout20_V0040, exit from SMACross_20_100_V0043
Fitness
0.4548
Generation
5
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
entry = Breakout20_V0011 AND SMACross_50_200_V0020
entry from SMACross_20_100_V0007, exit from LongTermTrend_V0008
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0104 [hybrid]
if flat and (breakout_20 == 1 and sma_50 > sma_200):
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.7% | 64.3% | -6.8% | 17.4% |
| Total Return | 198.8% | 343.1% | -22.9% | 951.1% |
| Sharpe | 0.56 | 1.12 | -0.05 | 0.59 |
| Sortino | 0.57 | 1.32 | -0.05 | 0.62 |
| Calmar | 0.21 | 1.06 | -0.14 | 0.25 |
| Volatility | 35.2% | 61.0% | 33.4% | 41.4% |
| Max DD | -68.8% | -60.7% | -47.6% | -68.8% |
| Win Rate | 25.0% | 40.0% | 25.0% | 32.0% |
| Avg Win | 135.8% | 205.0% | 17.9% | 122.3% |
| Avg Loss | -8.8% | -7.2% | -12.8% | -8.8% |
| Payoff | 10.00 | 10.00 | 1.40 | 10.00 |
| Expectancy | 27.4% | 77.7% | -5.1% | 33.2% |
| Profit Factor | 5.17 | 10.00 | 0.47 | 6.57 |
| Trades | 16 | 5 | 4 | 25 |
| Avg Holding Days | 55.7 | 100.4 | 91.0 | 71.8 |
| Turnover | 4.1 | 3.3 | 2.2 | 3.4 |
| Exposure | 45.3% | 65.7% | 38.7% | 47.8% |
Growth of $100
Breakout20_V0104 vs TSLA Buy & Hold
Breakout20_V0104 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% | -1.78 | -14.4% | 3 |
| 2017 | 14.4% | 0.57 | -23.4% | 2 |
| 2018 | -28.4% | -1.58 | -33.9% | 2 |
| 2019 | 8.2% | 0.52 | -15.0% | 1 |
| 2020 | 412.2% | 2.37 | -60.7% | 1 |
| 2021 | 10.7% | 0.45 | -36.7% | 2 |
| 2022 | -34.1% | -1.12 | -34.0% | 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 | 267 | -8.8% | -1.55 | 1% |
| hidden test | EXPENSIVE | 83 | 67.3% | 1.01 | 87% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 68.9% | 1.71 | 25% |
| hidden test | LOW VOLATILITY | 429 | -9.7% | -0.37 | 44% |
| hidden test | MEDIUM VOLATILITY | 248 | -59.6% | -1.62 | 44% |
| hidden test | NORMAL | 800 | -19.9% | -0.81 | 30% |
| hidden test | SIDEWAYS | 293 | -39.9% | -1.51 | 37% |
| hidden test | UPTREND | 371 | 33.9% | 0.72 | 67% |
| train | DOWNTREND | 518 | -8.1% | -1.28 | 1% |
| train | EXPENSIVE | 311 | 93.9% | 1.81 | 98% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 42.8% | 0.95 | 40% |
| train | LOW VOLATILITY | 745 | 12.9% | 0.53 | 48% |
| train | MEDIUM VOLATILITY | 568 | 0.6% | 0.02 | 49% |
| train | NORMAL | 1,601 | -19.4% | -0.76 | 32% |
| train | SIDEWAYS | 592 | -4.6% | -0.15 | 33% |
| train | UPTREND | 902 | 51.8% | 1.13 | 79% |
| validation | DOWNTREND | 125 | -14.8% | -2.02 | 2% |
| validation | EXPENSIVE | 138 | 15.4% | 0.22 | 90% |
| validation | EXTREME | 144 | 383.8% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 108.0% | 1.29 | 67% |
| validation | LOW VOLATILITY | 183 | 22.1% | 0.84 | 55% |
| validation | MEDIUM VOLATILITY | 315 | 62.6% | 1.18 | 71% |
| validation | NORMAL | 474 | -12.1% | -0.27 | 48% |
| validation | SIDEWAYS | 206 | -41.0% | -0.86 | 55% |
| validation | UPTREND | 425 | 145.7% | 1.97 | 90% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-17 | 2026-03-16 | $425.86 | $395.56 | -7.40% | 124 | |
| 2024-09-06 | 2025-03-05 | $210.73 | $279.10 | 17.94% | 123 | |
| 2023-11-16 | 2024-01-12 | $233.59 | $218.89 | -6.62% | 39 | |
| 2023-07-05 | 2023-10-23 | $282.48 | $212.08 | -24.39% | 78 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2021-08-31 | 2022-02-23 | $245.24 | $254.68 | 12.17% | 122 | |
| 2021-06-24 | 2021-07-28 | $226.61 | $215.66 | -1.99% | 24 | |
| 2020-04-13 | 2021-05-14 | $43.40 | $196.58 | 397.92% | 276 | |
| 2019-11-08 | 2020-03-19 | $22.48 | $28.51 | 7.44% | 90 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -17.77% | 15 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-02-07 | 2017-11-03 | $17.17 | $20.41 | 15.86% | 189 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2015-11-06 | 2015-11-09 | $15.49 | $15.02 | 0.05% | 2 | |
| 2015-09-17 | 2015-10-09 | $17.47 | $14.71 | -13.72% | 17 | |
| 2015-06-18 | 2015-08-25 | $17.46 | $14.67 | -16.12% | 48 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2013-01-03 | 2014-10-28 | $2.32 | $16.18 | 525.63% | 459 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-01-27 | 2012-05-16 | $1.96 | $1.95 | 1.49% | 77 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |