Fitness
0.3899
Generation
19
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
reduce exposure to 30% during HIGH_VOLATILITY; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0420 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and rel_volume < 1.5575):
position = 1.0
if long and (close < sma_20 or ret_20d > 0.0944):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.2% | 33.3% | 3.9% | 7.2% |
| Total Return | 1.6% | 136.9% | 15.4% | 177.7% |
| Sharpe | 0.08 | 1.68 | 0.32 | 0.55 |
| Sortino | 0.05 | 1.61 | 0.19 | 0.38 |
| Calmar | 0.01 | 2.14 | 0.18 | 0.23 |
| Volatility | 12.2% | 18.1% | 15.7% | 14.5% |
| Max DD | -31.4% | -15.6% | -21.6% | -31.4% |
| Win Rate | 49.0% | 67.2% | 62.7% | 56.0% |
| Avg Win | 2.1% | 3.5% | 2.4% | 2.5% |
| Avg Loss | -1.9% | -2.3% | -3.2% | -2.2% |
| Payoff | 1.10 | 1.51 | 0.75 | 1.14 |
| Expectancy | 0.1% | 1.6% | 0.3% | 0.4% |
| Profit Factor | 1.06 | 3.10 | 1.26 | 1.46 |
| Trades | 149 | 58 | 59 | 266 |
| Avg Holding Days | 2.7 | 2.6 | 2.8 | 2.7 |
| Turnover | 28.7 | 30.7 | 26.6 | 28.6 |
| Exposure | 10.0% | 10.4% | 10.3% | 10.1% |
Growth of $100
Breakout20_V0420 vs TSLA Buy & Hold
Breakout20_V0420 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 | 10.4% | 1.53 | -2.6% | 13 |
| 2017 | 14.8% | 1.27 | -8.4% | 24 |
| 2018 | -12.7% | -1.57 | -14.0% | 13 |
| 2019 | 6.5% | 0.51 | -14.2% | 19 |
| 2020 | 60.0% | 2.47 | -8.7% | 29 |
| 2021 | 47.5% | 2.24 | -4.1% | 16 |
| 2022 | -2.9% | -0.11 | -15.6% | 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 | 3.4% | 0.32 | 7% |
| hidden test | EXPENSIVE | 83 | -26.3% | -0.99 | 20% |
| hidden test | EXTREME | 48 | 63.0% | 3.28 | 6% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 1.05 | 3% |
| hidden test | LOW VOLATILITY | 429 | 25.2% | 1.56 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | -38.8% | -2.31 | 13% |
| hidden test | NORMAL | 800 | 4.9% | 0.35 | 10% |
| hidden test | SIDEWAYS | 293 | -11.9% | -0.72 | 13% |
| hidden test | UPTREND | 371 | 19.7% | 1.10 | 11% |
| train | DOWNTREND | 518 | -8.0% | -0.91 | 6% |
| train | EXPENSIVE | 311 | 34.0% | 1.90 | 13% |
| train | EXTREME | 100 | -7.8% | -0.53 | 14% |
| train | HIGH VOLATILITY | 699 | -1.7% | -0.15 | 4% |
| train | LOW VOLATILITY | 745 | 10.2% | 0.86 | 16% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -0.59 | 10% |
| train | NORMAL | 1,601 | -4.9% | -0.47 | 9% |
| train | SIDEWAYS | 592 | 3.5% | 0.35 | 9% |
| train | UPTREND | 902 | 4.4% | 0.29 | 13% |
| validation | DOWNTREND | 125 | 0.6% | 0.04 | 4% |
| validation | EXPENSIVE | 138 | 27.5% | 1.78 | 9% |
| validation | EXTREME | 144 | 83.3% | 3.44 | 9% |
| validation | HIGH VOLATILITY | 258 | 18.1% | 1.17 | 3% |
| validation | LOW VOLATILITY | 183 | 16.5% | 1.32 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 48.5% | 2.17 | 11% |
| validation | NORMAL | 474 | 15.1% | 0.92 | 11% |
| validation | SIDEWAYS | 206 | 10.4% | 0.84 | 7% |
| validation | UPTREND | 425 | 48.8% | 2.36 | 14% |
Trades (full period)
latest 100 of 266
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | 2026-05-05 | $392.50 | $389.37 | -2.22% | 12 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-12-08 | 2025-12-15 | $439.58 | $475.31 | 0.67% | 6 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -6.92% | 9 | |
| 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 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 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 | |
| 2025-04-28 | 2025-04-30 | $285.88 | $282.16 | 0.68% | 3 | |
| 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 | |
| 2024-09-16 | 2024-09-23 | $226.78 | $250.00 | 4.97% | 6 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-18 | 2024-06-27 | $184.86 | $197.42 | 4.55% | 7 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 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 | 2023-11-20 | $233.59 | $235.60 | -3.71% | 3 | |
| 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 | |
| 2023-05-19 | 2023-05-23 | $180.14 | $185.77 | 6.56% | 3 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 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 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-11 | 2022-07-14 | $234.34 | $238.31 | -6.42% | 4 | |
| 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 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-21 | 2022-03-23 | $307.05 | $333.04 | 9.57% | 3 | |
| 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 | |
| 2021-10-29 | 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 | |
| 2021-10-08 | 2021-10-18 | $261.83 | $290.04 | 6.01% | 7 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-08-31 | 2021-09-16 | $245.24 | $252.33 | 3.20% | 12 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-02 | 2021-08-05 | $236.56 | $238.21 | 3.25% | 4 | |
| 2021-06-29 | 2021-07-01 | $226.92 | $225.97 | -1.51% | 3 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-04-14 | 2021-04-19 | $244.08 | $238.21 | -3.15% | 4 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-08-27 | 2020-08-28 | $149.25 | $147.56 | 1.13% | 2 | |
| 2020-08-19 | 2020-08-20 | $125.24 | $133.46 | -0.20% | 2 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 3.30% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -1.42% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -0.94% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 3.17% | 2 |