Strategy Zoo / S0406
Breakout20_V0406
ARCHIVEDhybridcrossoverentry from Breakout20_V0397, exit from PriceMomentum_V0361
Fitness
0.6553
Generation
19
Complexity
6
Created
2026-09-18
Lineage
Parents (2)
entry from PriceMomentum_V0225, exit from PriceMomentum_V0227
changed dist_sma_20 threshold -0.0187 -> 0.0942
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0406 [hybrid]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.0942):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 32.3% | 92.9% | 6.6% | 35.6% |
| Total Return | 834.9% | 618.3% | 26.8% | 8668.0% |
| Sharpe | 0.98 | 1.50 | 0.36 | 0.95 |
| Sortino | 1.05 | 1.71 | 0.46 | 1.07 |
| Calmar | 0.67 | 1.97 | 0.13 | 0.58 |
| Volatility | 34.8% | 53.2% | 42.1% | 41.1% |
| Max DD | -48.4% | -47.1% | -50.5% | -61.0% |
| Win Rate | 46.2% | 50.0% | 50.0% | 48.4% |
| Avg Win | 86.7% | 108.6% | 24.5% | 80.4% |
| Avg Loss | -10.8% | -14.8% | -15.2% | -13.2% |
| Payoff | 8.00 | 7.31 | 1.61 | 6.09 |
| Expectancy | 34.2% | 46.9% | 4.6% | 32.1% |
| Profit Factor | 6.86 | 7.31 | 1.61 | 5.71 |
| Trades | 13 | 8 | 10 | 31 |
| Avg Holding Days | 69.9 | 57.3 | 60.0 | 66.0 |
| Turnover | 3.4 | 5.3 | 5.7 | 4.3 |
| Exposure | 48.4% | 59.5% | 65.4% | 55.0% |
Growth of $100
Breakout20_V0406 vs TSLA Buy & Hold
Breakout20_V0406 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 | 10.3% | 0.71 | -18.5% | 1 |
| 2017 | 42.2% | 1.47 | -19.5% | 1 |
| 2018 | -19.2% | -0.50 | -38.1% | 2 |
| 2019 | 59.2% | 1.53 | -25.3% | 2 |
| 2020 | 811.2% | 3.34 | -33.7% | 2 |
| 2021 | 17.6% | 0.61 | -38.3% | 3 |
| 2022 | -35.9% | -1.14 | -35.8% | 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 | 17.2% | 0.59 | 31% |
| hidden test | EXPENSIVE | 83 | 108.6% | 2.00 | 82% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 48.4% | 0.94 | 57% |
| hidden test | LOW VOLATILITY | 429 | 33.2% | 0.99 | 71% |
| hidden test | MEDIUM VOLATILITY | 248 | -49.6% | -1.11 | 65% |
| hidden test | NORMAL | 800 | -4.8% | -0.12 | 62% |
| hidden test | SIDEWAYS | 293 | -49.7% | -1.21 | 77% |
| hidden test | UPTREND | 371 | 65.2% | 1.30 | 81% |
| train | DOWNTREND | 518 | 3.3% | 0.22 | 13% |
| train | EXPENSIVE | 311 | 80.3% | 1.90 | 71% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 55.7% | 1.20 | 48% |
| train | LOW VOLATILITY | 745 | 42.6% | 1.82 | 51% |
| train | MEDIUM VOLATILITY | 568 | -4.1% | -0.14 | 45% |
| train | NORMAL | 1,601 | 1.1% | 0.04 | 41% |
| train | SIDEWAYS | 592 | -15.1% | -0.54 | 32% |
| train | UPTREND | 902 | 83.8% | 1.85 | 80% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 63.6% | 1.16 | 60% |
| validation | EXTREME | 144 | 402.7% | 4.67 | 96% |
| validation | HIGH VOLATILITY | 258 | 132.6% | 1.89 | 51% |
| validation | LOW VOLATILITY | 183 | 40.9% | 1.41 | 73% |
| validation | MEDIUM VOLATILITY | 315 | 59.4% | 1.24 | 59% |
| validation | NORMAL | 474 | -13.4% | -0.38 | 48% |
| validation | SIDEWAYS | 206 | -56.5% | -1.48 | 52% |
| validation | UPTREND | 425 | 164.0% | 2.53 | 79% |
Trades (full period)
32 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 19 | OPEN |
| 2026-05-11 | 2026-06-26 | $445.00 | $379.71 | -12.60% | 33 | |
| 2025-04-28 | 2026-04-09 | $285.88 | $345.62 | 20.22% | 239 | |
| 2024-10-28 | 2025-01-28 | $262.51 | $398.09 | 47.24% | 62 | |
| 2024-09-20 | 2024-10-23 | $238.25 | $213.65 | -10.82% | 24 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2023-11-16 | 2024-01-18 | $233.59 | $211.88 | -11.42% | 42 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-23 | 2023-08-14 | $185.77 | $239.76 | 28.22% | 57 | |
| 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 | |
| 2022-07-22 | 2022-10-06 | $272.24 | $238.13 | -11.55% | 54 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -23.61% | 16 | |
| 2021-06-25 | 2021-12-06 | $223.96 | $336.34 | 49.00% | 114 | |
| 2021-04-14 | 2021-05-12 | $244.08 | $196.63 | -19.20% | 21 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-04-13 | 2020-09-30 | $43.40 | $143.00 | 264.99% | 120 | |
| 2019-09-12 | 2020-03-05 | $16.39 | $48.30 | 202.71% | 121 | |
| 2019-06-18 | 2019-08-15 | $14.98 | $14.38 | -2.60% | 42 | |
| 2018-10-26 | 2019-01-04 | $22.06 | $21.18 | -4.79% | 47 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-06-07 | 2018-07-30 | $21.07 | $19.34 | -7.17% | 37 | |
| 2016-12-28 | 2017-07-07 | $14.65 | $20.88 | 40.40% | 132 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-04-28 | 2015-08-26 | $15.37 | $14.99 | -5.17% | 85 | |
| 2014-06-18 | 2014-10-01 | $15.14 | $16.02 | 4.54% | 74 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 415.98% | 247 | |
| 2012-09-18 | 2012-10-16 | $2.09 | $1.87 | -16.18% | 21 | |
| 2012-06-21 | 2012-08-02 | $2.15 | $1.74 | -22.45% | 30 | |
| 2012-02-06 | 2012-04-25 | $2.12 | $2.19 | 1.95% | 56 |