Strategy Zoo / S0168
Breakout20_V0168
ARCHIVEDbreakoutstructuraladded exit filter: sma_100 > sma_20; replaced exit rule with: vol_chg > 1.5735
Fitness
0.2941
Generation
8
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0168 [breakout]
if flat and breakout_20 == 1:
position = 1.0
if long and vol_chg > 1.5735:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.4% | 22.7% | 22.4% | 16.7% |
| Total Return | 173.8% | 84.7% | 110.9% | 864.6% |
| Sharpe | 0.54 | 0.64 | 0.65 | 0.56 |
| Sortino | 0.58 | 0.82 | 0.98 | 0.67 |
| Calmar | 0.24 | 0.29 | 0.43 | 0.22 |
| Volatility | 33.1% | 64.2% | 51.5% | 46.0% |
| Max DD | -56.7% | -76.9% | -51.6% | -77.2% |
| Win Rate | 55.0% | 61.5% | 57.1% | 55.0% |
| Avg Win | 11.2% | 28.9% | 33.5% | 14.7% |
| Avg Loss | -8.6% | -11.5% | -6.6% | -8.8% |
| Payoff | 1.31 | 2.51 | 5.06 | 1.66 |
| Expectancy | 2.3% | 13.4% | 16.3% | 4.1% |
| Profit Factor | 1.60 | 4.01 | 6.75 | 2.03 |
| Trades | 60 | 13 | 7 | 80 |
| Avg Holding Days | 17.0 | 38.3 | 115.1 | 30.7 |
| Turnover | 15.2 | 9.0 | 4.1 | 11.0 |
| Exposure | 48.2% | 80.3% | 87.9% | 64.8% |
Growth of $100
Breakout20_V0168 vs TSLA Buy & Hold
Breakout20_V0168 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 | 11.5% | 0.68 | -25.0% | 5 |
| 2017 | -3.7% | 0.02 | -35.6% | 6 |
| 2018 | -18.1% | -0.39 | -38.9% | 9 |
| 2019 | 18.3% | 0.66 | -23.6% | 7 |
| 2020 | 349.3% | 2.17 | -67.5% | 8 |
| 2021 | 25.1% | 0.74 | -41.6% | 3 |
| 2022 | -68.6% | -1.87 | -72.0% | 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 | 52.1% | 1.07 | 77% |
| hidden test | EXPENSIVE | 83 | 115.7% | 1.66 | 98% |
| hidden test | EXTREME | 48 | 136.9% | 2.28 | 98% |
| hidden test | HIGH VOLATILITY | 254 | 96.7% | 1.51 | 69% |
| hidden test | LOW VOLATILITY | 429 | 25.4% | 0.61 | 98% |
| hidden test | MEDIUM VOLATILITY | 248 | -17.8% | -0.34 | 90% |
| hidden test | NORMAL | 800 | 18.6% | 0.38 | 86% |
| hidden test | SIDEWAYS | 293 | -34.9% | -0.71 | 95% |
| hidden test | UPTREND | 371 | 73.8% | 1.33 | 90% |
| train | DOWNTREND | 518 | -9.6% | -0.43 | 28% |
| train | EXPENSIVE | 311 | 62.6% | 1.49 | 75% |
| train | EXTREME | 100 | 262.3% | 4.23 | 66% |
| train | HIGH VOLATILITY | 699 | 33.7% | 0.81 | 39% |
| train | LOW VOLATILITY | 745 | 27.2% | 1.10 | 62% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.43 | 41% |
| train | NORMAL | 1,601 | -5.9% | -0.21 | 42% |
| train | SIDEWAYS | 592 | -14.2% | -0.48 | 41% |
| train | UPTREND | 902 | 55.0% | 1.38 | 64% |
| validation | DOWNTREND | 125 | -106.3% | -1.93 | 66% |
| validation | EXPENSIVE | 138 | 68.2% | 0.93 | 89% |
| validation | EXTREME | 144 | 296.2% | 3.41 | 90% |
| validation | HIGH VOLATILITY | 258 | 71.2% | 0.82 | 71% |
| validation | LOW VOLATILITY | 183 | 59.5% | 1.65 | 98% |
| validation | MEDIUM VOLATILITY | 315 | 5.8% | 0.11 | 77% |
| validation | NORMAL | 474 | -44.2% | -0.86 | 75% |
| validation | SIDEWAYS | 206 | -49.8% | -0.94 | 80% |
| validation | UPTREND | 425 | 128.5% | 1.81 | 85% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.04% | 19 | OPEN |
| 2025-08-12 | 2026-07-24 | $340.84 | $313.03 | -5.89% | 239 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -0.29% | 29 | |
| 2024-11-12 | 2025-02-26 | $328.49 | $290.80 | -13.66% | 71 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-28 | 2024-11-07 | $262.51 | $296.91 | 6.97% | 9 | |
| 2024-07-05 | 2024-10-25 | $251.52 | $269.19 | 5.51% | 80 | |
| 2022-07-11 | 2024-07-03 | $234.34 | $246.39 | -7.97% | 499 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2022-01-04 | 2022-02-25 | $383.20 | $269.96 | -33.39% | 37 | |
| 2021-10-28 | 2021-12-06 | $359.01 | $336.34 | -2.40% | 27 | |
| 2021-04-14 | 2021-10-26 | $244.08 | $339.48 | 34.17% | 137 | |
| 2021-01-04 | 2021-02-24 | $243.26 | $247.34 | -1.16% | 36 | |
| 2020-11-20 | 2020-12-21 | $163.20 | $216.62 | 38.92% | 21 | |
| 2020-08-19 | 2020-11-19 | $125.24 | $166.42 | 28.68% | 66 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 10.99% | 2 | |
| 2020-07-02 | 2020-08-13 | $80.58 | $108.07 | 38.60% | 30 | |
| 2020-02-20 | 2020-07-01 | $59.96 | $74.64 | 17.46% | 93 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2020-01-14 | 2020-02-04 | $35.86 | $59.14 | 48.32% | 15 | |
| 2019-12-13 | 2020-01-09 | $23.89 | $32.09 | 36.55% | 18 | |
| 2019-11-08 | 2019-11-25 | $22.48 | $22.42 | -0.94% | 12 | |
| 2019-10-28 | 2019-10-29 | $21.85 | $21.08 | -0.33% | 2 | |
| 2019-10-14 | 2019-10-25 | $17.13 | $21.88 | 20.65% | 10 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-06-18 | 2019-07-26 | $14.98 | $15.20 | 1.48% | 28 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-12-11 | 2019-01-22 | $24.45 | $19.93 | -17.39% | 28 | |
| 2018-10-30 | 2018-12-10 | $21.99 | $24.34 | 6.69% | 28 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-10-02 | 2018-10-03 | $20.07 | $19.65 | -3.31% | 2 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-06-13 | 2018-07-03 | $22.99 | $20.72 | -2.44% | 15 | |
| 2018-05-10 | 2018-06-12 | $20.33 | $22.85 | 8.01% | 23 | |
| 2018-02-27 | 2018-03-28 | $23.40 | $17.19 | -22.05% | 22 | |
| 2018-01-18 | 2018-02-12 | $22.97 | $21.05 | -10.76% | 18 | |
| 2017-12-12 | 2018-01-09 | $22.74 | $22.25 | 2.08% | 19 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2017-06-14 | 2017-07-07 | $25.38 | $20.88 | -18.02% | 17 | |
| 2017-05-11 | 2017-06-12 | $21.54 | $23.93 | 9.65% | 22 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 12.05% | 29 | |
| 2017-02-13 | 2017-02-24 | $18.71 | $17.13 | -5.10% | 9 | |
| 2016-12-14 | 2017-02-10 | $13.25 | $17.95 | 35.59% | 40 | |
| 2016-10-04 | 2016-10-20 | $14.09 | $13.27 | -4.94% | 13 | |
| 2016-07-12 | 2016-09-02 | $14.98 | $13.19 | -10.86% | 39 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-04-05 | 2016-04-07 | $17.03 | $17.15 | 7.25% | 3 | |
| 2016-03-04 | 2016-04-04 | $13.40 | $16.47 | 21.14% | 21 | |
| 2015-11-06 | 2016-01-05 | $15.49 | $14.90 | -3.80% | 40 | |
| 2015-09-17 | 2015-10-21 | $17.47 | $14.01 | -18.93% | 25 | |
| 2015-04-28 | 2015-07-22 | $15.37 | $17.86 | 14.98% | 60 | |
| 2015-04-07 | 2015-04-23 | $13.55 | $14.57 | 7.83% | 13 | |
| 2015-02-04 | 2015-02-12 | $14.57 | $13.53 | -2.74% | 7 | |
| 2014-11-12 | 2014-12-08 | $16.61 | $14.29 | -11.08% | 18 | |
| 2014-08-05 | 2014-09-05 | $15.90 | $18.49 | 19.68% | 23 | |
| 2014-06-24 | 2014-08-04 | $15.50 | $15.90 | -1.86% | 29 | |
| 2014-06-17 | 2014-06-18 | $15.44 | $15.14 | 2.94% | 2 | |
| 2014-02-27 | 2014-05-09 | $16.84 | $12.15 | -29.55% | 51 | |
| 2014-02-25 | 2014-02-26 | $16.53 | $16.87 | 13.73% | 2 | |
| 2014-01-16 | 2014-02-21 | $11.40 | $13.97 | 27.68% | 25 | |
| 2013-12-13 | 2014-01-15 | $9.84 | $10.94 | 9.14% | 22 | |
| 2013-08-28 | 2013-10-04 | $11.10 | $12.07 | 3.56% | 27 | |
| 2013-08-09 | 2013-08-27 | $10.20 | $11.13 | 6.78% | 13 | |
| 2013-07-30 | 2013-08-08 | $8.78 | $10.23 | -0.49% | 8 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-05-17 | 2013-05-30 | $6.10 | $7.00 | 13.19% | 9 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-17 | 2013-05-10 | $3.03 | $5.12 | 51.92% | 18 | |
| 2013-04-02 | 2013-04-03 | $2.96 | $2.74 | 0.73% | 2 | |
| 2013-01-03 | 2013-02-12 | $2.32 | $2.53 | 8.43% | 28 | |
| 2012-12-04 | 2012-12-13 | $2.26 | $2.24 | 1.64% | 8 | |
| 2012-11-08 | 2012-12-03 | $2.09 | $2.31 | 7.01% | 17 | |
| 2012-11-06 | 2012-11-07 | $2.08 | $2.10 | -1.31% | 2 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -15.17% | 7 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-06-25 | 2012-06-27 | $2.21 | $2.13 | -6.64% | 3 | |
| 2012-06-19 | 2012-06-21 | $2.14 | $2.15 | 5.88% | 3 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -7.93% | 7 | |
| 2012-03-13 | 2012-03-27 | $2.41 | $2.53 | 3.65% | 11 | |
| 2012-02-17 | 2012-03-12 | $2.33 | $2.40 | 1.44% | 16 | |
| 2012-01-27 | 2012-02-16 | $1.96 | $2.28 | 15.87% | 15 |