Strategy Zoo / S0179

Breakout20_V0179

ARCHIVEDbreakout

structuralrestricted to volatility regimes ['LOW_VOLATILITY']

Fitness

0.3542

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_V0179  [breakout]
require regime.volatility in ['LOW_VOLATILITY']
if flat and (breakout_20 == 1 and breakout_252 == 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	-2.9%	14.5%	-1.6%	0.9%
Total Return	-21.2%	50.0%	-5.7%	14.8%
Sharpe	-0.32	1.23	-0.20	0.15
Sortino	-0.09	1.07	-0.03	0.04
Calmar	-0.10	5.09	-0.11	0.03
Volatility	8.1%	11.5%	6.8%	8.7%
Max DD	-28.6%	-2.8%	-14.2%	-28.6%
Win Rate	18.2%	100.0%	50.0%	37.5%
Avg Win	1.3%	14.6%	0.7%	10.4%
Avg Loss	-3.8%	0.0%	-6.4%	-4.1%
Payoff	0.33	5.00	0.11	2.55
Expectancy	-2.9%	14.6%	-2.8%	1.4%
Profit Factor	0.07	5.00	0.11	1.53
Trades	11	3	2	16
Avg Holding Days	9.2	4.7	6.5	8.7
Turnover	2.9	2.0	1.1	2.2
Exposure	5.0%	1.5%	1.2%	3.3%

Growth of $100

Breakout20_V0179 vs TSLA Buy & Hold

Breakout20_V0179 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	-11.1%	-1.02	-14.7%	3
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	31.0%	1.85	-2.8%	2
2021	14.4%	1.11	-0.1%	1
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	0.0%	0.00	0%
hidden test	EXTREME	48	6.8%	0.27	6%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	429	2.0%	0.26	2%
hidden test	MEDIUM VOLATILITY	248	-8.5%	-1.02	0%
hidden test	NORMAL	800	-2.0%	-0.49	1%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	-3.4%	-0.32	3%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	0.6%	0.04	14%
train	EXTREME	100	-10.7%	-1.16	5%
train	HIGH VOLATILITY	699	-0.0%	-0.60	0%
train	LOW VOLATILITY	745	0.3%	0.03	12%
train	MEDIUM VOLATILITY	568	-9.7%	-1.28	1%
train	NORMAL	1,601	-2.8%	-0.47	3%
train	SIDEWAYS	592	-0.6%	-0.65	0%
train	UPTREND	902	-5.5%	-0.45	11%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	37.3%	2.25	5%
validation	EXTREME	144	13.6%	1.14	1%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	15.6%	1.71	4%
validation	MEDIUM VOLATILITY	315	24.9%	1.52	1%
validation	NORMAL	474	7.6%	0.81	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	25.1%	1.65	3%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-17	2025-12-30	$467.26	$454.43	-6.37%	9
2024-12-16	2024-12-19	$463.02	$436.17	0.70%	4
2021-10-22	2021-10-26	$303.23	$339.48	14.41%	3
2020-06-09	2020-06-11	$62.71	$64.86	7.69%	3
2019-12-17	2020-01-14	$25.27	$35.86	37.30%	19
2017-06-23	2017-06-28	$25.56	$24.75	-5.48%	4
2017-06-08	2017-06-12	$24.67	$23.93	-0.84%	3
2017-02-10	2017-02-24	$17.95	$17.13	-5.10%	10
2014-08-12	2014-09-16	$17.33	$17.38	-2.30%	25
2014-02-19	2014-02-20	$12.91	$14.00	-5.13%	2
2013-09-20	2013-10-04	$12.23	$12.07	-2.78%	11
2013-07-12	2013-07-16	$8.66	$7.27	1.11%	3
2013-01-29	2013-02-19	$2.53	$2.62	-2.80%	15
2012-03-27	2012-04-04	$2.53	$2.33	1.43%	7
2012-03-13	2012-03-23	$2.41	$2.27	-4.66%	9
2012-02-21	2012-03-07	$2.30	$2.21	-5.51%	12