Strategy Zoo / S0301
Breakout20_V0301
ARCHIVEDbreakoutstructuralrestricted to trend regimes ['DOWNTREND', 'UPTREND']
Fitness
0.5703
Generation
14
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0301 [breakout]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.1% | 73.0% | 26.8% | 29.7% |
| Total Return | 252.2% | 418.2% | 140.8% | 4424.0% |
| Sharpe | 0.72 | 1.48 | 0.94 | 0.98 |
| Sortino | 0.61 | 1.31 | 0.74 | 0.81 |
| Calmar | 0.29 | 1.68 | 0.86 | 0.50 |
| Volatility | 26.6% | 43.5% | 30.0% | 31.6% |
| Max DD | -59.7% | -43.4% | -31.4% | -59.7% |
| Win Rate | 48.8% | 40.0% | 56.3% | 48.6% |
| Avg Win | 14.1% | 48.4% | 18.2% | 21.8% |
| Avg Loss | -5.8% | -6.7% | -7.4% | -6.3% |
| Payoff | 2.41 | 7.21 | 2.47 | 3.45 |
| Expectancy | 3.9% | 15.3% | 7.0% | 7.4% |
| Profit Factor | 2.30 | 4.81 | 3.17 | 3.27 |
| Trades | 43 | 15 | 16 | 74 |
| Avg Holding Days | 13.5 | 18.1 | 14.9 | 14.9 |
| Turnover | 10.9 | 10.0 | 8.7 | 10.1 |
| Exposure | 27.2% | 33.9% | 23.8% | 27.8% |
Growth of $100
Breakout20_V0301 vs TSLA Buy & Hold
Breakout20_V0301 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 | 30.4% | 2.07 | -7.8% | 5 |
| 2017 | 17.9% | 0.87 | -14.6% | 6 |
| 2018 | -39.2% | -2.14 | -39.1% | 9 |
| 2019 | 21.4% | 0.91 | -22.6% | 5 |
| 2020 | 401.8% | 2.81 | -39.6% | 5 |
| 2021 | 38.8% | 1.25 | -16.8% | 4 |
| 2022 | -28.7% | -1.48 | -32.6% | 6 |
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 | 24.1% | 0.88 | 24% |
| hidden test | EXPENSIVE | 83 | 53.7% | 1.11 | 57% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 32.7% | 0.78 | 35% |
| hidden test | LOW VOLATILITY | 429 | 49.0% | 2.37 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.1% | -0.42 | 22% |
| hidden test | NORMAL | 800 | 17.6% | 0.69 | 19% |
| hidden test | SIDEWAYS | 293 | 2.3% | 0.24 | 2% |
| hidden test | UPTREND | 371 | 51.8% | 1.28 | 41% |
| train | DOWNTREND | 518 | 2.9% | 0.24 | 12% |
| train | EXPENSIVE | 311 | 50.1% | 1.43 | 54% |
| train | EXTREME | 100 | 327.1% | 4.54 | 81% |
| train | HIGH VOLATILITY | 699 | 27.3% | 0.75 | 27% |
| train | LOW VOLATILITY | 745 | 18.6% | 0.98 | 35% |
| train | MEDIUM VOLATILITY | 568 | 10.1% | 0.50 | 18% |
| train | NORMAL | 1,601 | -6.0% | -0.34 | 19% |
| train | SIDEWAYS | 592 | -1.7% | -0.17 | 3% |
| train | UPTREND | 902 | 42.3% | 1.12 | 52% |
| validation | DOWNTREND | 125 | 36.4% | 1.66 | 12% |
| validation | EXPENSIVE | 138 | 32.6% | 0.67 | 47% |
| validation | EXTREME | 144 | 312.9% | 4.20 | 70% |
| validation | HIGH VOLATILITY | 258 | 54.4% | 0.93 | 30% |
| validation | LOW VOLATILITY | 183 | 27.0% | 1.41 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 94.1% | 2.41 | 38% |
| validation | NORMAL | 474 | -2.0% | -0.09 | 19% |
| validation | SIDEWAYS | 206 | -11.3% | -1.12 | 2% |
| validation | UPTREND | 425 | 109.1% | 1.94 | 56% |
Trades (full period)
74 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -6.92% | 9 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-05-28 | 2025-06-05 | $356.90 | $284.70 | -8.68% | 7 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-16 | 2024-09-27 | $226.78 | $260.46 | 10.17% | 10 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-11 | 2022-08-02 | $234.34 | $300.59 | 18.30% | 17 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -14.97% | 6 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-09-27 | 2021-11-15 | $263.79 | $337.80 | 33.19% | 36 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-05-22 | 2020-08-03 | $54.46 | $99.00 | 72.53% | 50 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 116.09% | 51 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-02 | 2018-10-05 | $20.07 | $17.46 | -9.48% | 4 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-03 | $23.88 | $20.72 | -6.52% | 13 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-05-10 | 2018-05-15 | $20.33 | $18.95 | -5.04% | 4 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 7.92% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 12.05% | 29 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | 0.09% | 19 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-05-12 | 2015-07-09 | $16.32 | $17.19 | 6.25% | 41 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -7.27% | 8 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -6.33% | 10 | |
| 2014-01-24 | 2014-03-17 | $11.64 | $15.60 | 27.00% | 36 | |
| 2013-07-30 | 2013-10-04 | $8.78 | $12.07 | 28.48% | 48 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-04-02 | 2013-06-12 | $2.96 | $6.52 | 114.62% | 51 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.69% | 18 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -4.66% | 9 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |