Fitness
0.6276
Generation
15
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0329 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and breakout_50 == 1):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.6% | 84.0% | 16.0% | 28.1% |
| Total Return | 239.9% | 522.5% | 73.2% | 3673.4% |
| Sharpe | 0.70 | 1.68 | 0.67 | 0.96 |
| Sortino | 0.58 | 1.40 | 0.52 | 0.77 |
| Calmar | 0.38 | 2.48 | 0.52 | 0.64 |
| Volatility | 26.9% | 41.5% | 27.9% | 30.7% |
| Max DD | -43.9% | -33.8% | -30.9% | -43.9% |
| Win Rate | 43.3% | 55.6% | 41.7% | 45.1% |
| Avg Win | 21.2% | 51.5% | 21.8% | 29.5% |
| Avg Loss | -6.4% | -3.7% | -5.5% | -5.8% |
| Payoff | 3.31 | 10.00 | 3.94 | 5.08 |
| Expectancy | 5.6% | 27.0% | 5.9% | 10.1% |
| Profit Factor | 2.53 | 10.00 | 2.81 | 4.17 |
| Trades | 30 | 9 | 12 | 51 |
| Avg Holding Days | 19.0 | 28.8 | 17.6 | 20.7 |
| Turnover | 7.6 | 6.0 | 6.5 | 6.9 |
| Exposure | 27.5% | 33.1% | 21.4% | 27.1% |
Growth of $100
Breakout20_V0329 vs TSLA Buy & Hold
Breakout20_V0329 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 | 11.7% | 0.91 | -7.3% | 1 |
| 2017 | 12.9% | 0.70 | -15.5% | 5 |
| 2018 | -27.4% | -1.40 | -29.1% | 6 |
| 2019 | 37.8% | 1.27 | -13.7% | 2 |
| 2020 | 352.5% | 2.74 | -33.8% | 3 |
| 2021 | 39.0% | 1.26 | -16.8% | 4 |
| 2022 | -5.0% | -0.20 | -19.0% | 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 | 2.1% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 84.2% | 1.67 | 64% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 29.2% | 0.81 | 25% |
| hidden test | LOW VOLATILITY | 429 | 33.3% | 1.65 | 19% |
| hidden test | MEDIUM VOLATILITY | 248 | -17.1% | -0.57 | 22% |
| hidden test | NORMAL | 800 | 3.4% | 0.16 | 15% |
| hidden test | SIDEWAYS | 293 | -2.9% | -0.14 | 16% |
| hidden test | UPTREND | 371 | 47.9% | 1.19 | 40% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 44.7% | 1.31 | 50% |
| train | EXTREME | 100 | 300.0% | 4.23 | 78% |
| train | HIGH VOLATILITY | 699 | 35.1% | 0.96 | 26% |
| train | LOW VOLATILITY | 745 | 20.8% | 1.09 | 36% |
| train | MEDIUM VOLATILITY | 568 | -3.7% | -0.18 | 18% |
| train | NORMAL | 1,601 | -3.7% | -0.20 | 20% |
| train | SIDEWAYS | 592 | -4.6% | -0.26 | 13% |
| train | UPTREND | 902 | 46.2% | 1.24 | 52% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 49.1% | 1.02 | 44% |
| validation | EXTREME | 144 | 275.9% | 3.89 | 68% |
| validation | HIGH VOLATILITY | 258 | 55.8% | 1.02 | 26% |
| validation | LOW VOLATILITY | 183 | 32.5% | 1.76 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 102.4% | 2.65 | 39% |
| validation | NORMAL | 474 | 12.9% | 0.58 | 19% |
| validation | SIDEWAYS | 206 | -9.5% | -0.79 | 9% |
| validation | UPTREND | 425 | 122.9% | 2.27 | 53% |
Trades (full period)
51 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-02 | $445.00 | $423.74 | -3.10% | 16 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 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 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-05 | $318.38 | $284.70 | 11.11% | 18 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-26 | 2024-10-08 | $254.22 | $244.50 | -6.49% | 9 | |
| 2024-06-27 | 2024-07-25 | $197.42 | $220.25 | 9.77% | 20 | |
| 2023-12-28 | 2024-01-04 | $253.18 | $237.93 | -8.98% | 5 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -3.19% | 17 | |
| 2022-07-22 | 2022-08-23 | $272.24 | $296.45 | 6.49% | 23 | |
| 2022-03-29 | 2022-04-12 | $366.52 | $328.98 | -10.79% | 11 | |
| 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 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-05-11 | 2020-08-03 | $54.09 | $99.00 | 74.26% | 59 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 116.09% | 51 | |
| 2019-10-14 | 2019-11-25 | $17.13 | $22.42 | 34.09% | 31 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-10-30 | 2018-11-23 | $21.99 | $21.72 | 0.79% | 18 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-07-03 | $21.07 | $20.72 | 4.66% | 19 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -4.23% | 14 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 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 | |
| 2017-04-04 | 2017-05-05 | $20.25 | $20.56 | -1.22% | 23 | |
| 2016-12-21 | 2017-02-24 | $13.85 | $17.13 | 22.36% | 44 | |
| 2016-03-18 | 2016-04-29 | $15.52 | $16.05 | 9.21% | 30 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-04-23 | 2015-07-09 | $14.57 | $17.19 | 15.95% | 54 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-08 | $15.14 | $14.60 | -4.08% | 14 | |
| 2014-01-22 | 2014-03-17 | $11.90 | $15.60 | 30.47% | 38 | |
| 2013-07-30 | 2013-10-04 | $8.78 | $12.07 | 28.48% | 48 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 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 | |
| 2012-11-20 | 2012-12-24 | $2.20 | $2.29 | 3.07% | 24 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 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 | 2012-03-07 | $2.30 | $2.21 | -5.51% | 12 |