Strategy Zoo / S0164
Breakout20_V0164
ARCHIVEDhybridcrossoverentry from Breakout20_V0040, exit from PriceMomentum_V0054
Fitness
0.6189
Generation
8
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
entry = Breakout20_V0011 AND SMACross_50_200_V0020
reduce exposure to 68% during MEDIUM_VOLATILITY
Children (1)
Strategy Logic (pseudocode)
# Breakout20_V0164 [hybrid]
if flat and (breakout_20 == 1 and sma_50 > sma_200):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.1% | 101.2% | 0.2% | 23.0% |
| Total Return | 148.6% | 714.6% | 0.6% | 1997.9% |
| Sharpe | 0.53 | 1.64 | 0.13 | 0.78 |
| Sortino | 0.48 | 1.67 | 0.10 | 0.70 |
| Calmar | 0.18 | 3.00 | 0.00 | 0.34 |
| Volatility | 29.4% | 50.3% | 25.3% | 33.9% |
| Max DD | -67.5% | -33.7% | -35.9% | -67.5% |
| Win Rate | 26.9% | 50.0% | 14.3% | 30.2% |
| Avg Win | 38.8% | 75.8% | 49.5% | 57.6% |
| Avg Loss | -6.6% | -10.3% | -6.3% | -7.2% |
| Payoff | 5.84 | 7.36 | 7.81 | 8.01 |
| Expectancy | 5.6% | 32.8% | 1.6% | 12.4% |
| Profit Factor | 2.15 | 7.36 | 1.30 | 3.47 |
| Trades | 26 | 10 | 7 | 43 |
| Avg Holding Days | 25.9 | 36.4 | 30.7 | 30.0 |
| Turnover | 6.6 | 6.7 | 3.8 | 5.9 |
| Exposure | 33.9% | 46.8% | 22.3% | 33.7% |
Growth of $100
Breakout20_V0164 vs TSLA Buy & Hold
Breakout20_V0164 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 | -25.0% | -1.96 | -26.0% | 3 |
| 2017 | -6.3% | -0.12 | -26.1% | 5 |
| 2018 | -20.4% | -0.89 | -27.8% | 3 |
| 2019 | 8.2% | 0.52 | -15.0% | 1 |
| 2020 | 642.8% | 3.08 | -33.7% | 4 |
| 2021 | 38.6% | 1.09 | -26.8% | 4 |
| 2022 | -24.2% | -0.96 | -24.2% | 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 | 40.0% | 0.80 | 69% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 40.5% | 1.27 | 20% |
| hidden test | LOW VOLATILITY | 429 | 9.9% | 0.58 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -46.1% | -1.58 | 29% |
| hidden test | NORMAL | 800 | -12.0% | -0.70 | 15% |
| hidden test | SIDEWAYS | 293 | -8.2% | -0.62 | 16% |
| hidden test | UPTREND | 371 | 14.9% | 0.39 | 44% |
| train | DOWNTREND | 518 | -11.0% | -1.53 | 4% |
| train | EXPENSIVE | 311 | 60.9% | 1.54 | 74% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 41.8% | 1.09 | 33% |
| train | LOW VOLATILITY | 745 | 12.9% | 0.61 | 38% |
| train | MEDIUM VOLATILITY | 568 | -13.0% | -0.50 | 30% |
| train | NORMAL | 1,601 | -17.6% | -0.88 | 22% |
| train | SIDEWAYS | 592 | -8.6% | -0.41 | 25% |
| train | UPTREND | 902 | 46.9% | 1.17 | 57% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 62.5% | 1.12 | 56% |
| validation | EXTREME | 144 | 368.0% | 4.34 | 93% |
| validation | HIGH VOLATILITY | 258 | 103.5% | 1.51 | 48% |
| validation | LOW VOLATILITY | 183 | 40.0% | 1.90 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 90.2% | 2.03 | 50% |
| validation | NORMAL | 474 | 1.7% | 0.06 | 30% |
| validation | SIDEWAYS | 206 | -23.0% | -0.73 | 32% |
| validation | UPTREND | 425 | 158.0% | 2.51 | 68% |
Trades (full period)
43 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -5.04% | 21 | |
| 2025-09-17 | 2025-11-14 | $425.86 | $404.35 | -4.85% | 43 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-05 | 2023-08-02 | $282.48 | $254.11 | -6.89% | 21 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-31 | 2021-12-01 | $245.24 | $365.00 | 56.31% | 65 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -2.20% | 22 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 81.90% | 58 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 153.05% | 84 | |
| 2019-11-08 | 2020-03-04 | $22.48 | $49.97 | 121.74% | 79 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -6.17% | 11 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-09-14 | 2017-09-29 | $25.18 | $22.74 | -7.45% | 12 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 15.24% | 42 | |
| 2017-02-07 | 2017-03-08 | $17.17 | $16.46 | -3.75% | 21 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2015-11-06 | 2015-11-13 | $15.49 | $13.81 | -8.31% | 6 | |
| 2015-09-17 | 2015-10-02 | $17.47 | $16.50 | -8.71% | 12 | |
| 2015-06-18 | 2015-07-28 | $17.46 | $17.65 | -3.04% | 28 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-17 | 2014-07-17 | $15.44 | $14.36 | -3.51% | 22 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 62.94% | 82 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2013-01-03 | 2013-01-11 | $2.32 | $2.19 | -5.37% | 7 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-01-27 | 2012-04-10 | $1.96 | $2.16 | 14.32% | 51 |