Strategy Zoo / S0111
Breakout52w_V0111
ARCHIVEDbreakoutstructuraladded exit filter: roll_low_50 < close; reduce exposure to 38% during HIGH_VOLATILITY
Fitness
0.3555
Generation
5
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# Breakout52w_V0111 [breakout]
if flat and breakout_252 == 1:
position = 1.0
if long and (dist_52w_high < -0.15 or roll_low_50 < close):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.38Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.9% | 24.5% | -0.1% | 5.1% |
| Total Return | 7.3% | 93.1% | -0.3% | 106.4% |
| Sharpe | 0.15 | 1.60 | 0.02 | 0.57 |
| Sortino | 0.06 | 1.17 | 0.00 | 0.24 |
| Calmar | 0.05 | 1.84 | -0.01 | 0.30 |
| Volatility | 7.8% | 14.3% | 7.0% | 9.3% |
| Max DD | -17.1% | -13.3% | -13.0% | -17.1% |
| Win Rate | 49.2% | 67.6% | 45.5% | 54.9% |
| Avg Win | 1.8% | 3.7% | 3.4% | 2.7% |
| Avg Loss | -1.4% | -2.0% | -2.8% | -1.7% |
| Payoff | 1.24 | 1.85 | 1.24 | 1.56 |
| Expectancy | 0.1% | 1.9% | 0.1% | 0.7% |
| Profit Factor | 1.20 | 3.85 | 1.04 | 1.90 |
| Trades | 65 | 37 | 11 | 113 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 12.4 | 19.3 | 3.6 | 11.6 |
| Exposure | 2.5% | 3.8% | 0.7% | 2.3% |
Growth of $100
Breakout52w_V0111 vs TSLA Buy & Hold
Breakout52w_V0111 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 | 3.6% | 0.69 | -2.9% | 13 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 6.1% | 1.35 | -0.9% | 4 |
| 2020 | 48.0% | 1.96 | -13.3% | 28 |
| 2021 | 26.2% | 1.94 | -0.9% | 8 |
| 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 | -4.8% | -1.29 | 1% |
| hidden test | EXTREME | 48 | 36.6% | 1.28 | 9% |
| hidden test | HIGH VOLATILITY | 254 | 2.2% | 0.53 | 1% |
| hidden test | LOW VOLATILITY | 429 | 0.7% | 0.11 | 0% |
| hidden test | MEDIUM VOLATILITY | 248 | -2.8% | -0.27 | 1% |
| hidden test | NORMAL | 800 | -1.5% | -0.57 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 0.4% | 0.04 | 2% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 15.6% | 1.03 | 8% |
| train | EXTREME | 100 | -6.2% | -0.40 | 14% |
| train | HIGH VOLATILITY | 699 | 3.2% | 0.32 | 2% |
| train | LOW VOLATILITY | 745 | 4.7% | 0.82 | 4% |
| train | MEDIUM VOLATILITY | 568 | -6.0% | -0.84 | 2% |
| train | NORMAL | 1,601 | -1.2% | -0.29 | 1% |
| train | SIDEWAYS | 592 | -0.6% | -0.65 | 0% |
| train | UPTREND | 902 | 3.0% | 0.26 | 5% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 49.3% | 3.21 | 8% |
| validation | EXTREME | 144 | 49.1% | 1.87 | 9% |
| validation | HIGH VOLATILITY | 258 | 19.3% | 1.18 | 2% |
| validation | LOW VOLATILITY | 183 | 9.7% | 1.50 | 2% |
| validation | MEDIUM VOLATILITY | 315 | 33.6% | 2.14 | 6% |
| validation | NORMAL | 474 | 7.3% | 1.06 | 1% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 40.8% | 2.15 | 7% |
Trades (full period)
latest 100 of 113
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.02% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 1.15% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -0.68% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.58% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.33% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.03% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -1.02% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-20 | 2020-11-23 | $163.20 | $173.95 | -2.13% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -1.85% | 2 | |
| 2020-08-27 | 2020-08-28 | $149.25 | $147.56 | 1.43% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 0.84% | 2 | |
| 2020-08-19 | 2020-08-20 | $125.24 | $133.46 | -0.25% | 2 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 4.18% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -1.80% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -1.19% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 4.02% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -0.73% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 5.04% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -0.82% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -6.60% | 2 | |
| 2020-02-03 | 2020-02-04 | $52.00 | $59.14 | 7.48% | 2 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 10.09% | 2 | |
| 2020-01-24 | 2020-01-27 | $37.65 | $37.20 | -1.49% | 2 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2017-09-19 | 2017-09-20 | $25.01 | $24.93 | -2.77% | 2 | |
| 2017-06-23 | 2017-06-26 | $25.56 | $25.17 | 0.02% | 2 | |
| 2017-06-14 | 2017-06-15 | $25.38 | $25.02 | 1.05% | 2 | |
| 2017-06-08 | 2017-06-09 | $24.67 | $23.82 | 2.67% | 2 | |
| 2017-06-06 | 2017-06-07 | $23.52 | $23.98 | 1.39% | 2 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 0.59% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.32% | 2 | |
| 2017-05-01 | 2017-05-02 | $21.52 | $21.26 | 2.59% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -0.52% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 0.58% | 2 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -3.22% | 2 | |
| 2014-09-02 | 2014-09-03 | $18.94 | $18.75 | 5.14% | 2 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.51% | 2 | |
| 2014-08-18 | 2014-08-19 | $17.33 | $17.12 | -0.99% | 2 | |
| 2014-08-14 | 2014-08-15 | $17.43 | $17.47 | 0.21% | 2 | |
| 2014-08-12 | 2014-08-13 | $17.33 | $17.35 | 0.05% | 2 | |
| 2014-03-05 | 2014-03-06 | $16.84 | $16.86 | -0.40% | 2 | |
| 2014-02-27 | 2014-02-28 | $16.84 | $16.32 | -0.14% | 2 | |
| 2014-02-25 | 2014-02-26 | $16.53 | $16.87 | 13.73% | 2 | |
| 2014-02-21 | 2014-02-24 | $13.97 | $14.51 | -0.38% | 2 | |
| 2014-02-19 | 2014-02-20 | $12.91 | $14.00 | -5.13% | 2 | |
| 2014-02-14 | 2014-02-18 | $13.22 | $13.58 | -0.90% | 2 | |
| 2014-02-11 | 2014-02-12 | $13.11 | $13.02 | -0.06% | 2 | |
| 2013-09-30 | 2013-10-01 | $12.89 | $12.87 | 1.09% | 2 | |
| 2013-09-26 | 2013-09-27 | $12.58 | $12.73 | 1.63% | 2 | |
| 2013-09-20 | 2013-09-23 | $12.23 | $12.07 | 2.87% | 2 | |
| 2013-09-05 | 2013-09-06 | $11.33 | $11.13 | -0.23% | 2 | |
| 2013-09-03 | 2013-09-04 | $11.26 | $11.37 | -0.09% | 2 | |
| 2013-08-27 | 2013-08-28 | $11.13 | $11.10 | 0.57% | 2 | |
| 2013-08-23 | 2013-08-26 | $10.79 | $10.95 | 1.07% | 2 | |
| 2013-08-09 | 2013-08-12 | $10.20 | $9.83 | -0.19% | 2 | |
| 2013-08-06 | 2013-08-07 | $9.48 | $8.95 | -0.74% | 2 | |
| 2013-08-02 | 2013-08-05 | $9.20 | $9.65 | 0.61% | 2 | |
| 2013-07-30 | 2013-07-31 | $8.78 | $8.95 | -0.89% | 2 | |
| 2013-07-12 | 2013-07-15 | $8.66 | $8.48 | 3.21% | 2 | |
| 2013-07-10 | 2013-07-11 | $8.15 | $8.37 | -1.15% | 2 | |
| 2013-07-08 | 2013-07-09 | $8.11 | $8.23 | 1.06% | 2 | |
| 2013-07-02 | 2013-07-03 | $7.85 | $7.68 | 0.35% | 2 | |
| 2013-05-29 | 2013-05-30 | $6.98 | $7.00 | -2.04% | 2 | |
| 2013-05-24 | 2013-05-28 | $6.47 | $7.36 | 1.71% | 2 | |
| 2013-05-17 | 2013-05-20 | $6.10 | $6.00 | -0.38% | 2 | |
| 2013-05-14 | 2013-05-15 | $5.55 | $5.66 | -2.05% | 2 | |
| 2013-05-10 | 2013-05-13 | $5.12 | $5.85 | 3.95% | 2 | |
| 2013-05-07 | 2013-05-08 | $3.70 | $3.72 | -6.90% | 2 |