Fitness
0.3411
Generation
14
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry = Breakout20_V0011 AND SMACross_50_200_V0020
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0305 [hybrid]
if flat and (breakout_20 == 1 and sma_50 > sma_200):
position = 1.0
if long and (close < sma_20 or drawdown > -0.6):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 32.3% | -9.6% | 4.1% |
| Total Return | 13.0% | 131.4% | -31.1% | 80.2% |
| Sharpe | 0.19 | 1.18 | -0.79 | 0.33 |
| Sortino | 0.09 | 0.91 | -0.28 | 0.18 |
| Calmar | 0.07 | 1.68 | -0.30 | 0.11 |
| Volatility | 12.0% | 26.6% | 11.9% | 16.1% |
| Max DD | -22.1% | -19.2% | -32.3% | -36.3% |
| Win Rate | 52.0% | 57.6% | 42.9% | 52.2% |
| Avg Win | 2.1% | 4.6% | 2.4% | 2.9% |
| Avg Loss | -2.0% | -2.9% | -3.5% | -2.5% |
| Payoff | 1.06 | 1.58 | 0.68 | 1.18 |
| Expectancy | 0.1% | 1.4% | -1.0% | 0.3% |
| Profit Factor | 1.15 | 2.15 | 0.51 | 1.28 |
| Trades | 127 | 66 | 35 | 228 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 31.8 | 44.0 | 18.9 | 31.1 |
| Exposure | 6.3% | 8.7% | 3.8% | 6.2% |
Growth of $100
Breakout20_V0305 vs TSLA Buy & Hold
Breakout20_V0305 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 | 1.1% | 0.44 | -1.4% | 4 |
| 2017 | 27.4% | 2.62 | -2.8% | 22 |
| 2018 | -7.4% | -1.78 | -7.4% | 6 |
| 2019 | -9.8% | -0.66 | -15.7% | 10 |
| 2020 | 102.5% | 1.86 | -19.2% | 38 |
| 2021 | 19.2% | 1.25 | -8.5% | 21 |
| 2022 | -7.4% | -1.11 | -7.4% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -50.7% | -2.80 | 12% |
| hidden test | EXTREME | 48 | 69.0% | 1.97 | 15% |
| hidden test | HIGH VOLATILITY | 254 | -2.7% | -0.19 | 3% |
| hidden test | LOW VOLATILITY | 429 | -4.5% | -0.51 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | -24.7% | -1.75 | 6% |
| hidden test | NORMAL | 800 | -9.8% | -1.29 | 2% |
| hidden test | SIDEWAYS | 293 | -14.0% | -2.11 | 3% |
| hidden test | UPTREND | 371 | -12.5% | -0.70 | 7% |
| train | DOWNTREND | 518 | -0.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 31.4% | 1.74 | 15% |
| train | EXTREME | 100 | 9.3% | 0.34 | 25% |
| train | HIGH VOLATILITY | 699 | 0.2% | 0.01 | 7% |
| train | LOW VOLATILITY | 745 | 11.3% | 1.41 | 6% |
| train | MEDIUM VOLATILITY | 568 | -7.0% | -0.72 | 5% |
| train | NORMAL | 1,601 | -3.8% | -0.45 | 3% |
| train | SIDEWAYS | 592 | 4.4% | 0.64 | 4% |
| train | UPTREND | 902 | 2.2% | 0.13 | 11% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 62.3% | 2.99 | 9% |
| validation | EXTREME | 144 | 103.6% | 1.92 | 20% |
| validation | HIGH VOLATILITY | 258 | 38.4% | 1.00 | 9% |
| validation | LOW VOLATILITY | 183 | 7.9% | 0.74 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 39.3% | 1.94 | 9% |
| validation | NORMAL | 474 | 0.5% | 0.05 | 5% |
| validation | SIDEWAYS | 206 | -5.1% | -0.72 | 4% |
| validation | UPTREND | 425 | 58.3% | 1.66 | 13% |
Trades (full period)
latest 100 of 228
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.35% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-20 | 2020-11-23 | $163.20 | $173.95 | -2.13% | 2 | |
| 2020-11-18 | 2020-11-19 | $162.21 | $166.42 | 9.99% | 2 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -2.89% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-27 | 2020-08-28 | $149.25 | $147.56 | 3.77% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-19 | 2020-08-20 | $125.24 | $133.46 | -0.65% | 2 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 10.99% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -4.74% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -3.13% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-04-30 | 2020-05-01 | $52.13 | $46.75 | -2.52% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.91% | 2 | |
| 2020-04-17 | 2020-04-20 | $50.26 | $49.76 | 0.96% | 2 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2020-04-13 | 2020-04-14 | $43.40 | $47.33 | 13.39% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2020-02-03 | 2020-02-04 | $52.00 | $59.14 | 19.68% | 2 | |
| 2020-01-30 | 2020-01-31 | $42.72 | $43.37 | 10.09% | 2 | |
| 2020-01-24 | 2020-01-27 | $37.65 | $37.20 | -1.49% | 2 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 |