Fitness
0.5460
Generation
16
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0354 [breakout]
if flat and breakout_20 == 1:
position = 1.0
if long and (close < sma_20 or sma_10 < sma_100):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.3% | 76.4% | 0.7% | 21.8% |
| Total Return | 210.9% | 448.7% | 2.4% | 1699.1% |
| Sharpe | 0.63 | 1.49 | 0.18 | 0.75 |
| Sortino | 0.58 | 1.39 | 0.15 | 0.68 |
| Calmar | 0.26 | 1.62 | 0.01 | 0.37 |
| Volatility | 29.0% | 44.8% | 31.3% | 33.4% |
| Max DD | -58.8% | -47.1% | -44.5% | -58.8% |
| Win Rate | 34.4% | 41.7% | 37.5% | 36.4% |
| Avg Win | 10.9% | 31.5% | 10.4% | 15.1% |
| Avg Loss | -3.0% | -4.5% | -5.2% | -3.8% |
| Payoff | 3.61 | 7.06 | 1.99 | 3.98 |
| Expectancy | 1.8% | 10.5% | 0.6% | 3.1% |
| Profit Factor | 1.90 | 5.04 | 1.19 | 2.27 |
| Trades | 90 | 24 | 40 | 154 |
| Avg Holding Days | 8.2 | 12.7 | 7.6 | 8.8 |
| Turnover | 22.7 | 16.0 | 21.7 | 21.0 |
| Exposure | 32.8% | 37.0% | 28.2% | 32.5% |
Growth of $100
Breakout20_V0354 vs TSLA Buy & Hold
Breakout20_V0354 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 | -4.1% | -0.19 | -20.1% | 15 |
| 2017 | 30.4% | 1.28 | -14.1% | 8 |
| 2018 | -28.9% | -1.30 | -28.9% | 14 |
| 2019 | -0.2% | 0.16 | -35.9% | 12 |
| 2020 | 495.2% | 2.96 | -39.6% | 5 |
| 2021 | 40.3% | 1.27 | -16.8% | 7 |
| 2022 | -37.1% | -2.46 | -37.0% | 12 |
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 | -17.1% | -0.90 | 8% |
| hidden test | EXPENSIVE | 83 | 58.0% | 1.19 | 59% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 0.34 | 28% |
| hidden test | LOW VOLATILITY | 429 | 31.8% | 1.34 | 29% |
| hidden test | MEDIUM VOLATILITY | 248 | -48.7% | -1.55 | 28% |
| hidden test | NORMAL | 800 | -9.2% | -0.34 | 23% |
| hidden test | SIDEWAYS | 293 | -30.1% | -1.23 | 27% |
| hidden test | UPTREND | 371 | 50.0% | 1.21 | 44% |
| train | DOWNTREND | 518 | -12.2% | -1.39 | 5% |
| train | EXPENSIVE | 311 | 55.7% | 1.57 | 57% |
| train | EXTREME | 100 | 327.1% | 4.54 | 81% |
| train | HIGH VOLATILITY | 699 | 28.9% | 0.74 | 31% |
| train | LOW VOLATILITY | 745 | 21.4% | 1.04 | 43% |
| train | MEDIUM VOLATILITY | 568 | 1.3% | 0.06 | 22% |
| train | NORMAL | 1,601 | -8.2% | -0.38 | 25% |
| train | SIDEWAYS | 592 | -8.5% | -0.41 | 21% |
| train | UPTREND | 902 | 53.5% | 1.36 | 56% |
| validation | DOWNTREND | 125 | -9.6% | -0.96 | 2% |
| validation | EXPENSIVE | 138 | 51.3% | 1.01 | 48% |
| validation | EXTREME | 144 | 328.8% | 4.21 | 81% |
| validation | HIGH VOLATILITY | 258 | 63.7% | 1.04 | 36% |
| validation | LOW VOLATILITY | 183 | 30.2% | 1.50 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 90.6% | 2.32 | 39% |
| validation | NORMAL | 474 | -8.3% | -0.37 | 20% |
| validation | SIDEWAYS | 206 | -2.5% | -0.11 | 15% |
| validation | UPTREND | 425 | 122.8% | 2.14 | 58% |
Trades (full period)
latest 100 of 154
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-14 | 2026-06-02 | $443.30 | $423.74 | -6.79% | 13 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 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 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -5.16% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-05-28 | 2025-06-05 | $356.90 | $284.70 | -8.68% | 7 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 4.37% | 17 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-18 | 2024-07-25 | $184.86 | $220.25 | 15.00% | 26 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2023-12-15 | 2024-01-04 | $253.50 | $237.93 | -5.21% | 13 | |
| 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 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-05-23 | 2023-07-21 | $185.77 | $260.02 | 38.92% | 41 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-02-10 | 2023-03-03 | $196.89 | $197.79 | -8.11% | 15 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2023-01-26 | 2023-01-27 | $160.27 | $177.90 | 10.76% | 2 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.10% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-03 | 2022-08-23 | $307.40 | $296.45 | -3.74% | 15 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -14.97% | 6 | |
| 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 | 2022-01-10 | $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 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 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 | |
| 2020-11-18 | 2021-02-01 | $162.21 | $279.94 | 79.35% | 50 | |
| 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 | |
| 2020-04-15 | 2020-08-03 | $48.66 | $99.00 | 101.15% | 77 | |
| 2020-04-13 | 2020-04-14 | $43.40 | $47.33 | 13.39% | 2 | |
| 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 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 3.23% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.33% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 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 | |
| 2018-11-05 | 2018-11-23 | $22.76 | $21.72 | -2.57% | 14 | |
| 2018-11-01 | 2018-11-02 | $22.95 | $23.09 | 1.86% | 2 | |
| 2018-10-30 | 2018-10-31 | $21.99 | $22.49 | -1.68% | 2 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-10-02 | 2018-10-03 | $20.07 | $19.65 | -3.31% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-14 | 2018-07-03 | $23.85 | $20.72 | -3.01% | 14 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-10 | 2018-05-11 | $20.33 | $20.07 | -0.80% | 2 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -5.02% | 12 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.95% | 2 | |
| 2017-12-18 | 2017-12-19 | $22.59 | $22.07 | -1.53% | 2 | |
| 2017-12-12 | 2017-12-13 | $22.74 | $22.60 | 3.48% | 2 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 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 | |
| 2016-12-27 | 2017-02-24 | $14.64 | $17.13 | 19.76% | 41 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.72% | 2 | |
| 2016-12-19 | 2016-12-20 | $13.52 | $13.92 | -0.08% | 2 |