Fitness
0.3726
Generation
18
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0398 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and vol_chg < 1.2007):
position = 1.0
if long and (close < sma_20 or vol_60 < 0.9813):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.3% | 35.2% | -10.8% | 3.5% |
| Total Return | 2.8% | 146.9% | -34.4% | 66.4% |
| Sharpe | 0.08 | 1.59 | -0.61 | 0.31 |
| Sortino | 0.05 | 1.55 | -0.31 | 0.20 |
| Calmar | 0.02 | 2.09 | -0.23 | 0.08 |
| Volatility | 10.3% | 20.2% | 16.4% | 14.5% |
| Max DD | -22.7% | -16.8% | -46.2% | -46.2% |
| Win Rate | 43.6% | 54.7% | 50.0% | 47.4% |
| Avg Win | 1.6% | 4.5% | 2.3% | 2.5% |
| Avg Loss | -1.2% | -1.9% | -3.3% | -1.8% |
| Payoff | 1.37 | 2.34 | 0.70 | 1.37 |
| Expectancy | 0.0% | 1.6% | -0.5% | 0.2% |
| Profit Factor | 1.06 | 2.82 | 0.70 | 1.24 |
| Trades | 172 | 64 | 76 | 312 |
| Avg Holding Days | 2.0 | 2.6 | 2.0 | 2.1 |
| Turnover | 33.3 | 37.5 | 35.1 | 34.6 |
| Exposure | 6.6% | 10.0% | 7.0% | 7.4% |
Growth of $100
Breakout20_V0398 vs TSLA Buy & Hold
Breakout20_V0398 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 | 0.4% | 0.10 | -4.6% | 17 |
| 2017 | 28.7% | 2.69 | -1.7% | 28 |
| 2018 | -7.3% | -1.59 | -7.3% | 16 |
| 2019 | -5.8% | -0.41 | -15.3% | 24 |
| 2020 | 137.0% | 3.32 | -4.3% | 25 |
| 2021 | 18.2% | 1.01 | -9.5% | 24 |
| 2022 | -15.0% | -1.37 | -15.4% | 14 |
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 | -18.0% | -1.57 | 4% |
| hidden test | EXPENSIVE | 83 | -23.9% | -1.08 | 14% |
| hidden test | EXTREME | 48 | 18.5% | 0.67 | 8% |
| hidden test | HIGH VOLATILITY | 254 | -12.0% | -0.73 | 3% |
| hidden test | LOW VOLATILITY | 429 | 6.5% | 0.41 | 8% |
| hidden test | MEDIUM VOLATILITY | 248 | -36.7% | -2.12 | 8% |
| hidden test | NORMAL | 800 | -10.3% | -0.70 | 6% |
| hidden test | SIDEWAYS | 293 | -18.2% | -1.25 | 7% |
| hidden test | UPTREND | 371 | 2.1% | 0.10 | 9% |
| train | DOWNTREND | 518 | -5.0% | -0.74 | 3% |
| train | EXPENSIVE | 311 | 27.6% | 1.74 | 10% |
| train | EXTREME | 100 | -1.8% | -0.13 | 12% |
| train | HIGH VOLATILITY | 699 | -1.3% | -0.12 | 3% |
| train | LOW VOLATILITY | 745 | 3.5% | 0.43 | 10% |
| train | MEDIUM VOLATILITY | 568 | 0.1% | 0.01 | 6% |
| train | NORMAL | 1,601 | -4.2% | -0.49 | 6% |
| train | SIDEWAYS | 592 | 4.4% | 0.52 | 6% |
| train | UPTREND | 902 | 1.9% | 0.15 | 9% |
| validation | DOWNTREND | 125 | -9.6% | -0.96 | 2% |
| validation | EXPENSIVE | 138 | 51.8% | 2.44 | 9% |
| validation | EXTREME | 144 | 132.1% | 4.22 | 20% |
| validation | HIGH VOLATILITY | 258 | 30.3% | 1.66 | 6% |
| validation | LOW VOLATILITY | 183 | 13.3% | 0.89 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 44.5% | 1.85 | 11% |
| validation | NORMAL | 474 | -4.0% | -0.28 | 7% |
| validation | SIDEWAYS | 206 | -1.1% | -0.09 | 7% |
| validation | UPTREND | 425 | 60.5% | 2.42 | 14% |
Trades (full period)
latest 100 of 312
| 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 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 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 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.26% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 1.16% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -1.07% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.04% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.02% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 0.91% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -0.54% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.25% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 2.40% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -0.76% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 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 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 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 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 0.66% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -1.57% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 0.62% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 0.69% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 1.07% | 2 | |
| 2023-01-26 | 2023-01-27 | $160.27 | $177.90 | 3.23% | 2 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.03% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 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 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 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 | 2022-01-05 | $383.20 | $362.71 | -1.31% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 |