Strategy Zoo / S0136

Breakout20_V0136

ARCHIVEDbreakout

structuraladded entry filter: volume_breakout == 1

Fitness

0.4068

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

Breakout20_V0099S0099 · gen 4ARCHIVEDstructural

added entry filter: breakout_252 == 1

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0136  [breakout]
if flat and (breakout_20 == 1 and breakout_252 == 1 and volume_breakout == 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	13.2%	27.5%	6.3%	14.4%
Total Return	168.3%	107.1%	25.5%	618.0%
Sharpe	0.77	1.04	0.54	0.80
Sortino	0.43	0.48	0.19	0.36
Calmar	0.59	1.25	0.40	0.64
Volatility	18.0%	26.8%	12.8%	19.1%
Max DD	-22.4%	-21.9%	-15.9%	-22.4%
Win Rate	60.0%	100.0%	100.0%	77.8%
Avg Win	45.7%	31.7%	25.5%	40.1%
Avg Loss	-3.9%	0.0%	0.0%	-3.9%
Payoff	10.00	5.00	5.00	10.00
Expectancy	25.9%	31.7%	25.5%	30.3%
Profit Factor	10.00	5.00	5.00	10.00
Trades	5	3	1	9
Avg Holding Days	27.8	27.0	36.0	29.7
Turnover	1.4	2.0	0.5	1.2
Exposure	7.2%	10.3%	3.8%	7.0%

Growth of $100

Breakout20_V0136 vs TSLA Buy & Hold

Breakout20_V0136 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	-1.2%	-0.07	-8.6%	1
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	82.8%	1.74	-21.9%	1
2021	9.2%	0.48	-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	-15.0%	-0.99	10%
hidden test	EXTREME	48	160.8%	3.07	56%
hidden test	HIGH VOLATILITY	254	13.4%	0.66	11%
hidden test	LOW VOLATILITY	429	8.3%	1.30	1%
hidden test	MEDIUM VOLATILITY	248	-2.0%	-0.18	2%
hidden test	NORMAL	800	0.0%	0.00	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	17.5%	0.86	9%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	31.2%	1.34	25%
train	EXTREME	100	226.0%	3.45	51%
train	HIGH VOLATILITY	699	31.2%	1.14	13%
train	LOW VOLATILITY	745	3.8%	0.45	5%
train	MEDIUM VOLATILITY	568	5.9%	0.51	3%
train	NORMAL	1,601	-2.7%	-0.53	1%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	31.0%	1.15	16%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	45.5%	1.53	27%
validation	EXTREME	144	98.4%	2.03	19%
validation	HIGH VOLATILITY	258	23.5%	0.64	9%
validation	LOW VOLATILITY	183	14.8%	1.68	3%
validation	MEDIUM VOLATILITY	315	38.9%	1.63	16%
validation	NORMAL	474	1.2%	0.09	3%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	49.5%	1.39	18%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-11-11	2025-01-02	$350.00	$379.28	25.48%	36
2021-10-26	2021-11-15	$339.48	$337.80	0.63%	15
2020-12-21	2021-02-01	$216.62	$279.94	13.94%	28
2019-12-17	2020-02-27	$25.27	$45.27	103.73%	49
2017-04-04	2017-05-05	$20.25	$20.56	-1.22%	23
2014-02-21	2014-03-17	$13.97	$15.60	9.78%	17
2013-08-09	2013-10-04	$10.20	$12.07	12.69%	40
2013-04-02	2013-06-12	$2.96	$6.52	114.62%	51
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8