Strategy Zoo / S0202
Breakout20_V0202
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.2620
Generation
9
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
entry from Breakout20_V0040, exit from PriceMomentum_V0054
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0202 [hybrid]
require regime.bubble in ['EXTREME', 'NORMAL']
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 | -0.3% | 28.8% | -10.0% | 2.4% |
| Total Return | -2.5% | 113.5% | -32.3% | 40.9% |
| Sharpe | 0.10 | 0.80 | -0.47 | 0.22 |
| Sortino | 0.07 | 0.66 | -0.26 | 0.15 |
| Calmar | -0.00 | 0.53 | -0.27 | 0.03 |
| Volatility | 24.0% | 43.9% | 18.8% | 28.2% |
| Max DD | -69.5% | -54.0% | -36.9% | -69.5% |
| Win Rate | 32.0% | 41.7% | 12.5% | 31.1% |
| Avg Win | 20.6% | 33.0% | 6.0% | 24.0% |
| Avg Loss | -7.1% | -8.4% | -6.2% | -7.2% |
| Payoff | 2.92 | 3.92 | 0.97 | 3.35 |
| Expectancy | 1.8% | 8.8% | -4.7% | 2.5% |
| Profit Factor | 1.37 | 2.80 | 0.14 | 1.51 |
| Trades | 25 | 12 | 8 | 45 |
| Avg Holding Days | 17.9 | 23.3 | 18.3 | 19.4 |
| Turnover | 6.3 | 8.0 | 4.3 | 6.1 |
| Exposure | 21.0% | 35.4% | 14.8% | 22.4% |
Growth of $100
Breakout20_V0202 vs TSLA Buy & Hold
Breakout20_V0202 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 | -7.2% | -0.75 | -11.1% | 2 |
| 2018 | -20.4% | -0.89 | -27.8% | 3 |
| 2019 | -1.5% | 0.01 | -15.0% | 2 |
| 2020 | 142.3% | 1.70 | -37.8% | 6 |
| 2021 | 15.8% | 0.62 | -26.1% | 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 | -29.8% | -2.34 | 4% |
| hidden test | EXTREME | 48 | 39.9% | 0.87 | 44% |
| hidden test | HIGH VOLATILITY | 254 | -6.7% | -0.33 | 9% |
| hidden test | LOW VOLATILITY | 429 | 3.0% | 0.18 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.3% | -1.47 | 16% |
| hidden test | NORMAL | 800 | -9.5% | -0.58 | 14% |
| hidden test | SIDEWAYS | 293 | -8.2% | -0.62 | 16% |
| hidden test | UPTREND | 371 | -15.6% | -0.57 | 25% |
| train | DOWNTREND | 518 | -11.0% | -1.53 | 4% |
| train | EXPENSIVE | 311 | -12.1% | -0.74 | 3% |
| train | EXTREME | 100 | 273.7% | 3.98 | 86% |
| train | HIGH VOLATILITY | 699 | 5.8% | 0.18 | 17% |
| train | LOW VOLATILITY | 745 | 5.2% | 0.29 | 28% |
| train | MEDIUM VOLATILITY | 568 | -4.9% | -0.25 | 17% |
| train | NORMAL | 1,601 | -11.6% | -0.61 | 20% |
| train | SIDEWAYS | 592 | -12.4% | -0.65 | 19% |
| train | UPTREND | 902 | 20.1% | 0.63 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -77.3% | -2.40 | 4% |
| validation | EXTREME | 144 | 251.9% | 3.20 | 83% |
| validation | HIGH VOLATILITY | 258 | 74.0% | 1.16 | 43% |
| validation | LOW VOLATILITY | 183 | 34.8% | 1.93 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 3.1% | 0.09 | 29% |
| validation | NORMAL | 474 | 1.7% | 0.06 | 30% |
| validation | SIDEWAYS | 206 | -23.0% | -0.73 | 32% |
| validation | UPTREND | 425 | 73.3% | 1.35 | 48% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -5.04% | 21 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 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 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-07-01 | 2020-08-10 | $74.64 | $94.57 | 34.27% | 28 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-04-14 | 2020-05-29 | $47.33 | $55.67 | 23.55% | 33 | |
| 2020-01-22 | 2020-03-04 | $37.97 | $49.97 | 35.97% | 30 | |
| 2019-11-08 | 2019-12-17 | $22.48 | $25.27 | 13.47% | 27 | |
| 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 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 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 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 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 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 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 |