Strategy Zoo / S0338

Breakout20_V0338

ARCHIVEDhybrid

crossoverentry = Breakout20_V0308 AND PriceMomentum_V0314

Fitness

0.5652

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

Breakout20_V0308S0308 · gen 14ARCHIVEDcrossover

added entry filter: vol_chg < 1.2007

PriceMomentum_V0314S0314 · gen 15ARCHIVEDcrossover

entry = PriceMomentum_V0267 AND LongTermTrend_V0182

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0338  [hybrid]
if flat and ((breakout_20 == 1 and dist_sma_20 > -0.0187 and vol_chg < 1.2007) and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
    position = 1.0
if long and close < sma_20:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	14.8%	74.9%	16.1%	25.7%
Total Return	200.6%	434.9%	73.9%	2777.7%
Sharpe	0.67	1.51	0.71	0.91
Sortino	0.53	1.26	0.50	0.71
Calmar	0.53	2.22	0.58	0.76
Volatility	25.2%	43.3%	26.1%	30.0%
Max DD	-28.1%	-33.8%	-28.0%	-33.8%
Win Rate	39.3%	55.6%	50.0%	44.9%
Avg Win	22.1%	55.4%	15.5%	28.1%
Avg Loss	-4.9%	-8.2%	-4.2%	-5.2%
Payoff	4.55	6.74	3.66	5.38
Expectancy	5.7%	27.1%	5.6%	9.7%
Profit Factor	2.94	8.42	3.66	4.38
Trades	28	9	12	49
Avg Holding Days	19.3	27.1	18.0	20.6
Turnover	7.1	6.0	6.5	6.7
Exposure	25.7%	31.1%	21.9%	25.9%

Growth of $100

Breakout20_V0338 vs TSLA Buy & Hold

Breakout20_V0338 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	17.5%	1.07	-15.7%	3
2017	19.0%	1.01	-11.7%	4
2018	-3.0%	-0.16	-11.4%	2
2019	-11.5%	-0.64	-15.9%	2
2020	364.6%	2.68	-33.8%	3
2021	24.0%	0.90	-16.8%	3
2022	-10.9%	-0.44	-20.3%	3

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	-3.4%	-0.25	9%
hidden test	EXPENSIVE	83	51.8%	1.44	45%
hidden test	EXTREME	48	161.4%	3.08	56%
hidden test	HIGH VOLATILITY	254	6.5%	0.21	20%
hidden test	LOW VOLATILITY	429	41.5%	2.04	22%
hidden test	MEDIUM VOLATILITY	248	-9.5%	-0.33	25%
hidden test	NORMAL	800	6.3%	0.29	18%
hidden test	SIDEWAYS	293	13.1%	0.80	16%
hidden test	UPTREND	371	38.2%	1.04	36%
train	DOWNTREND	518	5.7%	0.91	3%
train	EXPENSIVE	311	26.4%	0.81	48%
train	EXTREME	100	300.0%	4.23	78%
train	HIGH VOLATILITY	699	33.6%	0.99	24%
train	LOW VOLATILITY	745	13.9%	0.75	35%
train	MEDIUM VOLATILITY	568	0.2%	0.01	15%
train	NORMAL	1,601	-2.6%	-0.16	18%
train	SIDEWAYS	592	-8.9%	-0.48	16%
train	UPTREND	902	40.3%	1.18	45%
validation	DOWNTREND	125	18.7%	1.38	5%
validation	EXPENSIVE	138	35.9%	0.76	42%
validation	EXTREME	144	296.7%	3.91	80%
validation	HIGH VOLATILITY	258	52.3%	0.89	34%
validation	LOW VOLATILITY	183	16.2%	1.08	12%
validation	MEDIUM VOLATILITY	315	104.4%	2.69	39%
validation	NORMAL	474	3.5%	0.16	13%
validation	SIDEWAYS	206	11.8%	0.52	15%
validation	UPTREND	425	104.9%	1.91	47%

Trades (full period)

49 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	2026-09-16	$348.95	$358.08	-1.93%	17
2026-05-08	2026-06-02	$428.35	$423.74	0.80%	17
2025-12-15	2025-12-30	$475.31	$454.43	-0.05%	11
2025-09-15	2025-10-13	$410.04	$435.90	4.23%	21
2025-04-30	2025-06-05	$282.16	$284.70	13.47%	26
2024-11-08	2025-01-02	$321.22	$379.28	35.75%	37
2024-09-24	2024-10-08	$254.27	$244.50	-3.86%	11
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
2023-11-29	2023-12-13	$244.14	$239.29	-4.13%	11
2023-09-12	2023-09-22	$267.48	$244.88	-6.72%	9
2023-05-30	2023-07-21	$201.16	$260.02	35.83%	37
2022-07-22	2022-08-23	$272.24	$296.45	6.49%	23
2022-03-23	2022-04-12	$333.04	$328.98	-2.01%	15
2022-01-04	2022-01-10	$383.20	$352.71	-14.58%	5
2021-10-19	2021-11-15	$288.09	$337.80	18.53%	20
2021-09-16	2021-09-21	$252.33	$246.46	-3.59%	4
2020-11-24	2021-02-01	$185.13	$279.94	51.77%	46
2020-08-19	2020-09-09	$125.24	$122.09	-12.68%	15
2020-04-14	2020-08-03	$47.33	$99.00	119.37%	78
2019-12-24	2020-02-27	$28.35	$45.27	85.40%	44
2019-11-11	2019-11-25	$23.01	$22.42	-1.41%	11
2019-07-16	2019-07-26	$16.83	$15.20	-9.92%	9
2018-11-01	2018-11-23	$22.95	$21.72	0.06%	16
2018-06-14	2018-07-03	$23.85	$20.72	-3.01%	14
2017-08-04	2017-08-21	$23.79	$22.52	-0.09%	12
2017-06-06	2017-06-28	$23.52	$24.75	4.13%	17
2017-04-05	2017-05-05	$19.67	$20.56	-2.91%	22
2016-12-21	2017-02-24	$13.85	$17.13	22.36%	44
2016-07-26	2016-08-09	$15.30	$15.27	-1.87%	11
2016-06-09	2016-06-13	$15.29	$14.52	-7.29%	3
2016-03-04	2016-04-29	$13.40	$16.05	26.30%	40
2015-09-22	2015-09-29	$17.40	$16.44	-6.16%	6
2015-04-30	2015-07-09	$15.07	$17.19	9.46%	49
2014-11-17	2014-11-24	$16.93	$16.45	-6.34%	6
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-24	2014-07-08	$15.50	$14.60	-6.33%	10
2014-01-22	2014-03-17	$11.90	$15.60	30.47%	38
2013-12-18	2014-01-10	$9.87	$9.71	-3.43%	16
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
2013-04-17	2013-06-12	$3.03	$6.52	106.80%	40
2013-01-29	2013-02-19	$2.53	$2.62	-2.80%	15
2012-11-14	2012-12-24	$2.09	$2.29	7.35%	28
2012-07-16	2012-07-19	$2.40	$2.15	-6.31%	4
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11
2012-04-04	2012-04-05	$2.33	$2.30	-8.11%	2
2012-03-14	2012-03-23	$2.35	$2.27	-4.88%	8
2012-02-06	2012-03-07	$2.12	$2.21	6.08%	22