Strategy Zoo / S0385

Breakout20_V0385

ARCHIVEDhybrid

crossoverentry = Breakout20_V0308 OR PriceMomentum_V0314

Fitness

0.5826

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_V0385  [hybrid]
if flat and ((breakout_20 == 1 and dist_sma_20 > -0.0187 and vol_chg < 1.2007) or (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 ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.1%	116.4%	1.7%	29.6%
Total Return	303.6%	913.4%	6.5%	4386.2%
Sharpe	0.65	1.68	0.25	0.82
Sortino	0.78	2.03	0.27	0.96
Calmar	0.28	2.56	0.03	0.43
Volatility	37.7%	54.8%	41.1%	42.6%
Max DD	-68.7%	-45.5%	-51.6%	-68.7%
Win Rate	37.5%	50.0%	40.0%	40.8%
Avg Win	50.4%	97.1%	25.0%	61.7%
Avg Loss	-12.6%	-12.1%	-12.5%	-12.5%
Payoff	3.99	8.04	2.01	4.94
Expectancy	11.0%	42.5%	2.5%	17.8%
Profit Factor	2.39	8.04	1.34	3.40
Trades	24	10	15	49
Avg Holding Days	51.8	49.7	34.8	47.8
Turnover	6.1	6.7	8.4	6.7
Exposure	64.5%	64.4%	56.5%	62.5%

Growth of $100

Breakout20_V0385 vs TSLA Buy & Hold

Breakout20_V0385 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	-17.0%	-0.66	-38.1%	4
2017	15.7%	0.61	-34.5%	2
2018	-9.4%	-0.06	-33.7%	3
2019	14.8%	0.55	-38.7%	3
2020	970.5%	3.48	-33.7%	2
2021	46.3%	1.15	-28.1%	3
2022	-38.2%	-1.18	-38.1%	5

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	0.7%	0.02	32%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	34.7%	0.65	54%
hidden test	LOW VOLATILITY	429	40.8%	1.28	59%
hidden test	MEDIUM VOLATILITY	248	-67.9%	-1.67	56%
hidden test	NORMAL	800	-9.8%	-0.25	54%
hidden test	SIDEWAYS	293	-44.5%	-1.14	65%
hidden test	UPTREND	371	60.3%	1.27	68%
train	DOWNTREND	518	-6.0%	-0.25	37%
train	EXPENSIVE	311	87.1%	2.02	82%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	51.4%	1.07	58%
train	LOW VOLATILITY	745	28.0%	1.03	70%
train	MEDIUM VOLATILITY	568	-13.3%	-0.39	66%
train	NORMAL	1,601	-12.2%	-0.38	59%
train	SIDEWAYS	592	-19.2%	-0.57	56%
train	UPTREND	902	70.7%	1.56	86%
validation	DOWNTREND	125	29.7%	1.22	17%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	402.7%	4.67	96%
validation	HIGH VOLATILITY	258	127.0%	1.79	55%
validation	LOW VOLATILITY	183	31.6%	1.03	76%
validation	MEDIUM VOLATILITY	315	99.0%	1.96	65%
validation	NORMAL	474	-3.3%	-0.09	50%
validation	SIDEWAYS	206	-26.8%	-0.67	53%
validation	UPTREND	425	168.3%	2.56	84%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.28%	19	OPEN
2026-07-02	2026-07-24	$393.45	$313.03	-24.99%	16
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-08	2026-01-16	$439.58	$437.50	-3.81%	28
2025-08-12	2025-11-21	$340.84	$391.09	16.34%	73
2025-04-28	2025-07-02	$285.88	$315.65	5.32%	46
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2024-09-06	2024-10-22	$210.73	$217.97	-5.12%	33
2024-05-15	2024-08-02	$173.99	$207.67	21.89%	55
2024-02-29	2024-03-15	$201.88	$163.57	-19.73%	12
2023-11-16	2024-01-17	$233.59	$215.55	-9.63%	41
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-19	2023-08-03	$180.14	$259.32	43.37%	52
2023-04-03	2023-04-21	$194.77	$165.08	-21.60%	14
2023-01-24	2023-03-10	$143.89	$173.44	20.05%	33
2022-09-20	2022-10-04	$308.73	$249.44	-21.73%	11
2022-07-11	2022-09-01	$234.34	$277.16	9.68%	39
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-24	2021-12-03	$226.61	$338.32	64.87%	114
2021-04-06	2021-05-11	$230.54	$205.73	-9.16%	26
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-13	2020-09-30	$43.40	$143.00	264.99%	120
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-06-18	2019-08-15	$14.98	$14.38	-2.60%	42
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-01-18	2019-01-24	$20.15	$19.43	-17.37%	4
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-05-01	2018-07-16	$19.99	$20.67	8.28%	53
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-12-14	2017-07-07	$13.25	$20.88	55.55%	141
2016-07-12	2016-09-02	$14.98	$13.19	-10.86%	39
2016-06-09	2016-06-24	$15.29	$12.88	-16.78%	12
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-19	$15.02	$13.65	-11.96%	48
2015-09-17	2015-10-12	$17.47	$14.37	-16.02%	18
2015-04-07	2015-08-12	$13.55	$15.88	16.64%	90
2015-02-04	2015-03-09	$14.57	$12.73	-11.39%	23
2014-11-12	2014-12-09	$16.61	$14.46	-14.80%	19
2014-06-09	2014-10-01	$13.69	$16.02	16.34%	81
2013-12-13	2014-03-26	$9.84	$14.20	49.18%	70
2013-04-02	2013-10-24	$2.96	$11.54	273.71%	145
2012-11-14	2013-03-20	$2.09	$2.40	10.75%	86
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-01-27	2012-04-25	$1.96	$2.19	9.73%	62