Strategy Zoo / S0423
Breakout20_V0423
ARCHIVEDbreakoutstructuralswapped indicator vol_chg -> rel_volume
Fitness
0.4311
Generation
19
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0423 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and rel_volume < 0.8272):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.2% | 37.0% | -2.9% | 9.9% |
| Total Return | 74.0% | 156.9% | -10.2% | 301.5% |
| Sharpe | 0.48 | 1.36 | -0.09 | 0.59 |
| Sortino | 0.29 | 1.05 | -0.05 | 0.36 |
| Calmar | 0.25 | 1.57 | -0.12 | 0.30 |
| Volatility | 17.7% | 25.4% | 16.4% | 19.3% |
| Max DD | -28.8% | -23.5% | -24.6% | -33.2% |
| Win Rate | 52.2% | 57.1% | 50.0% | 52.6% |
| Avg Win | 9.1% | 35.0% | 4.7% | 13.4% |
| Avg Loss | -4.1% | -6.2% | -7.0% | -5.1% |
| Payoff | 2.23 | 5.63 | 0.67 | 2.63 |
| Expectancy | 2.8% | 17.4% | -1.1% | 4.7% |
| Profit Factor | 2.43 | 7.51 | 0.67 | 2.93 |
| Trades | 23 | 7 | 8 | 38 |
| Avg Holding Days | 19.8 | 26.4 | 14.0 | 19.8 |
| Turnover | 5.4 | 4.2 | 5.1 | 5.1 |
| Exposure | 16.3% | 17.0% | 9.3% | 14.7% |
Growth of $100
Breakout20_V0423 vs TSLA Buy & Hold
Breakout20_V0423 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 | 17.6% | 1.24 | -7.5% | 2 |
| 2017 | 4.4% | 0.36 | -13.8% | 3 |
| 2018 | -2.2% | -0.80 | -2.8% | 2 |
| 2019 | 7.2% | 0.39 | -19.8% | 4 |
| 2020 | 99.9% | 2.36 | -12.3% | 3 |
| 2021 | 32.1% | 1.12 | -16.8% | 3 |
| 2022 | -6.3% | -0.55 | -8.3% | 1 |
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 | -7.6% | -1.05 | 1% |
| hidden test | EXPENSIVE | 83 | -25.6% | -0.86 | 25% |
| hidden test | EXTREME | 48 | 42.7% | 1.30 | 24% |
| hidden test | HIGH VOLATILITY | 254 | 13.3% | 1.17 | 4% |
| hidden test | LOW VOLATILITY | 429 | 12.8% | 0.99 | 7% |
| hidden test | MEDIUM VOLATILITY | 248 | -41.5% | -1.72 | 18% |
| hidden test | NORMAL | 800 | -1.7% | -0.14 | 7% |
| hidden test | SIDEWAYS | 293 | 8.1% | 1.08 | 3% |
| hidden test | UPTREND | 371 | -4.8% | -0.20 | 20% |
| train | DOWNTREND | 518 | 7.3% | 0.81 | 7% |
| train | EXPENSIVE | 311 | 2.5% | 0.11 | 23% |
| train | EXTREME | 100 | 108.0% | 3.20 | 33% |
| train | HIGH VOLATILITY | 699 | 5.0% | 0.26 | 7% |
| train | LOW VOLATILITY | 745 | 12.7% | 0.72 | 29% |
| train | MEDIUM VOLATILITY | 568 | 7.3% | 0.46 | 11% |
| train | NORMAL | 1,601 | 3.5% | 0.23 | 14% |
| train | SIDEWAYS | 592 | 1.7% | 0.12 | 11% |
| train | UPTREND | 902 | 13.7% | 0.59 | 25% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -0.4% | -0.01 | 30% |
| validation | EXTREME | 144 | 153.7% | 4.28 | 32% |
| validation | HIGH VOLATILITY | 258 | 20.2% | 0.98 | 9% |
| validation | LOW VOLATILITY | 183 | 11.2% | 0.79 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 60.1% | 1.82 | 26% |
| validation | NORMAL | 474 | 8.7% | 0.47 | 8% |
| validation | SIDEWAYS | 206 | -6.9% | -0.56 | 5% |
| validation | UPTREND | 425 | 65.0% | 1.99 | 28% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-10-30 | 2025-11-10 | $440.10 | $445.23 | -7.12% | 8 | |
| 2025-10-01 | 2025-10-13 | $459.46 | $435.90 | -7.21% | 9 | |
| 2025-04-30 | 2025-06-05 | $282.16 | $284.70 | 4.62% | 26 | |
| 2024-12-03 | 2025-01-02 | $351.42 | $379.28 | 7.34% | 21 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 5.96% | 17 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2023-07-05 | 2023-07-21 | $282.48 | $260.02 | -6.23% | 13 | |
| 2022-08-05 | 2022-08-23 | $288.17 | $296.45 | -6.26% | 13 | |
| 2021-10-14 | 2021-11-15 | $272.77 | $337.80 | 26.34% | 23 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2020-12-07 | 2021-02-01 | $213.92 | $279.94 | 32.21% | 38 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-04-13 | 2020-08-03 | $43.40 | $99.00 | 74.90% | 79 | |
| 2020-02-03 | 2020-02-27 | $52.00 | $45.27 | 6.68% | 18 | |
| 2019-10-16 | 2019-11-25 | $17.32 | $22.42 | 14.51% | 29 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-06-20 | 2019-07-26 | $14.64 | $15.20 | 3.04% | 26 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -3.95% | 2 | |
| 2018-11-01 | 2018-11-23 | $22.95 | $21.72 | 0.09% | 16 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -2.32% | 4 | |
| 2017-06-26 | 2017-06-28 | $25.17 | $24.75 | -5.69% | 3 | |
| 2017-04-03 | 2017-05-05 | $19.90 | $20.56 | 3.28% | 24 | |
| 2017-01-19 | 2017-02-24 | $16.25 | $17.13 | 7.18% | 26 | |
| 2016-07-19 | 2016-08-09 | $15.02 | $15.27 | 1.59% | 16 | |
| 2016-03-04 | 2016-04-29 | $13.40 | $16.05 | 15.73% | 40 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -2.13% | 3 | |
| 2015-04-08 | 2015-07-09 | $13.84 | $17.19 | 25.19% | 65 | |
| 2015-02-05 | 2015-02-13 | $14.73 | $13.58 | -7.35% | 7 | |
| 2014-08-15 | 2014-09-16 | $17.47 | $17.38 | -3.07% | 22 | |
| 2014-07-01 | 2014-07-08 | $15.98 | $14.60 | -7.43% | 5 | |
| 2014-03-05 | 2014-03-17 | $16.84 | $15.60 | -2.92% | 9 | |
| 2013-12-17 | 2014-01-10 | $10.16 | $9.71 | -1.39% | 17 | |
| 2013-08-02 | 2013-10-04 | $9.20 | $12.07 | 10.68% | 45 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-04-26 | 2013-06-12 | $3.41 | $6.52 | 21.95% | 33 | |
| 2013-02-04 | 2013-02-19 | $2.52 | $2.62 | -3.48% | 11 | |
| 2012-01-30 | 2012-03-07 | $1.97 | $2.21 | 3.45% | 27 |