Strategy Zoo / S0397
Breakout20_V0397
ARCHIVEDbreakoutparameterchanged dist_sma_20 threshold -0.0187 -> 0.0942
Fitness
0.6882
Generation
18
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (9)
Strategy Logic (pseudocode)
# Breakout20_V0397 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.0942):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.1% | 87.9% | 24.5% | 33.7% |
| Total Return | 362.0% | 563.6% | 124.7% | 6990.8% |
| Sharpe | 0.85 | 1.63 | 0.86 | 1.06 |
| Sortino | 0.69 | 1.48 | 0.79 | 0.90 |
| Calmar | 0.55 | 2.60 | 0.73 | 0.88 |
| Volatility | 26.8% | 44.8% | 31.1% | 32.4% |
| Max DD | -38.2% | -33.8% | -33.7% | -38.2% |
| Win Rate | 58.3% | 60.0% | 42.9% | 54.2% |
| Avg Win | 19.8% | 53.9% | 24.1% | 29.5% |
| Avg Loss | -7.4% | -9.2% | -5.1% | -6.9% |
| Payoff | 2.66 | 5.88 | 4.73 | 4.29 |
| Expectancy | 8.4% | 28.7% | 7.4% | 12.8% |
| Profit Factor | 3.73 | 8.83 | 3.55 | 5.07 |
| Trades | 24 | 10 | 14 | 48 |
| Avg Holding Days | 24.3 | 27.1 | 20.6 | 24.0 |
| Turnover | 6.1 | 6.7 | 7.6 | 6.5 |
| Exposure | 28.2% | 34.5% | 29.4% | 29.8% |
Growth of $100
Breakout20_V0397 vs TSLA Buy & Hold
Breakout20_V0397 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 | 22.8% | 1.51 | -9.3% | 1 |
| 2017 | 17.0% | 0.96 | -10.8% | 3 |
| 2018 | -2.1% | 0.01 | -21.3% | 3 |
| 2019 | 11.2% | 0.56 | -22.2% | 3 |
| 2020 | 481.4% | 2.97 | -33.8% | 3 |
| 2021 | 13.8% | 0.58 | -21.5% | 4 |
| 2022 | -3.8% | -0.06 | -19.0% | 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 | 24.4% | 0.93 | 22% |
| hidden test | EXPENSIVE | 83 | 82.0% | 1.82 | 53% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 51.7% | 1.21 | 40% |
| hidden test | LOW VOLATILITY | 429 | 39.5% | 1.87 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -20.9% | -0.67 | 28% |
| hidden test | NORMAL | 800 | 12.9% | 0.47 | 25% |
| hidden test | SIDEWAYS | 293 | -1.9% | -0.08 | 25% |
| hidden test | UPTREND | 371 | 50.9% | 1.32 | 39% |
| train | DOWNTREND | 518 | 5.0% | 0.44 | 8% |
| train | EXPENSIVE | 311 | 51.3% | 1.52 | 49% |
| train | EXTREME | 100 | 300.0% | 4.23 | 78% |
| train | HIGH VOLATILITY | 699 | 42.1% | 1.13 | 31% |
| train | LOW VOLATILITY | 745 | 25.0% | 1.30 | 36% |
| train | MEDIUM VOLATILITY | 568 | -4.2% | -0.22 | 15% |
| train | NORMAL | 1,601 | -0.2% | -0.01 | 21% |
| train | SIDEWAYS | 592 | -5.7% | -0.28 | 19% |
| train | UPTREND | 902 | 51.6% | 1.46 | 46% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 49.1% | 1.02 | 44% |
| validation | EXTREME | 144 | 325.4% | 4.19 | 81% |
| validation | HIGH VOLATILITY | 258 | 68.4% | 1.13 | 35% |
| validation | LOW VOLATILITY | 183 | 15.7% | 0.94 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 110.4% | 2.72 | 44% |
| validation | NORMAL | 474 | 3.5% | 0.14 | 18% |
| validation | SIDEWAYS | 206 | 7.3% | 0.27 | 26% |
| validation | UPTREND | 425 | 121.0% | 2.16 | 47% |
Trades (full period)
48 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 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 | |
| 2025-09-15 | 2025-10-13 | $410.04 | $435.90 | 4.23% | 21 | |
| 2025-04-28 | 2025-06-05 | $285.88 | $284.70 | 16.30% | 28 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-20 | 2024-10-08 | $238.25 | $244.50 | -1.47% | 13 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -2.60% | 19 | |
| 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 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-01-24 | 2023-03-03 | $143.89 | $197.79 | 32.53% | 28 | |
| 2022-07-22 | 2022-08-23 | $272.24 | $296.45 | 6.49% | 23 | |
| 2022-03-22 | 2022-04-12 | $331.33 | $328.98 | 5.74% | 16 | |
| 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 | |
| 2021-06-25 | 2021-07-15 | $223.96 | $216.87 | -4.08% | 14 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-08-18 | 2020-09-09 | $125.81 | $122.09 | -10.23% | 16 | |
| 2020-04-13 | 2020-08-03 | $43.40 | $99.00 | 149.23% | 79 | |
| 2019-12-17 | 2020-02-27 | $25.27 | $45.27 | 103.73% | 49 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-06-18 | 2019-07-26 | $14.98 | $15.20 | 1.48% | 28 | |
| 2018-10-26 | 2018-11-23 | $22.06 | $21.72 | 7.20% | 20 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-03 | $21.07 | $20.72 | 4.66% | 19 | |
| 2017-06-08 | 2017-06-28 | $24.67 | $24.75 | 0.56% | 15 | |
| 2017-04-04 | 2017-05-05 | $20.25 | $20.56 | -1.22% | 23 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 16.38% | 40 | |
| 2016-03-04 | 2016-04-29 | $13.40 | $16.05 | 26.30% | 40 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 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 | |
| 2014-01-16 | 2014-03-17 | $11.40 | $15.60 | 40.45% | 41 | |
| 2013-12-13 | 2014-01-10 | $9.84 | $9.71 | -0.16% | 19 | |
| 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 | |
| 2013-01-29 | 2013-02-19 | $2.53 | $2.62 | -2.80% | 15 | |
| 2012-11-06 | 2012-12-24 | $2.08 | $2.29 | 7.72% | 34 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -15.17% | 7 | |
| 2012-07-17 | 2012-07-19 | $2.22 | $2.15 | -10.78% | 3 | |
| 2012-06-21 | 2012-07-03 | $2.15 | $2.04 | -10.19% | 9 | |
| 2012-02-06 | 2012-03-07 | $2.12 | $2.21 | 6.08% | 22 |