Strategy Zoo / S0427
Breakout20_V0427
ARCHIVEDbreakoutstructuralreduce exposure to 66% during EXPENSIVE
Fitness
0.5691
Generation
19
Complexity
7
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_V0427 [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:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3
if regime.bubble == "EXPENSIVE": position *= 0.66Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 64.0% | 13.0% | 18.6% |
| Total Return | 72.3% | 340.7% | 57.1% | 1115.7% |
| Sharpe | 0.43 | 1.75 | 0.62 | 0.83 |
| Sortino | 0.34 | 1.84 | 0.52 | 0.71 |
| Calmar | 0.20 | 3.09 | 0.42 | 0.53 |
| Volatility | 20.8% | 30.9% | 24.3% | 24.1% |
| Max DD | -34.9% | -20.7% | -30.7% | -34.9% |
| Win Rate | 38.6% | 50.0% | 50.0% | 43.4% |
| Avg Win | 10.4% | 29.9% | 12.9% | 15.9% |
| Avg Loss | -4.3% | -3.8% | -6.2% | -4.6% |
| Payoff | 2.41 | 7.97 | 2.09 | 3.44 |
| Expectancy | 1.4% | 13.1% | 3.4% | 4.3% |
| Profit Factor | 1.52 | 7.97 | 2.09 | 2.64 |
| Trades | 44 | 14 | 18 | 76 |
| Avg Holding Days | 17.1 | 23.7 | 17.9 | 18.7 |
| Turnover | 10.9 | 10.3 | 10.7 | 10.7 |
| Exposure | 25.7% | 30.7% | 25.7% | 26.7% |
Growth of $100
Breakout20_V0427 vs TSLA Buy & Hold
Breakout20_V0427 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 | 19.0% | 1.17 | -12.9% | 3 |
| 2017 | 16.8% | 1.02 | -12.7% | 7 |
| 2018 | -13.2% | -1.26 | -14.8% | 6 |
| 2019 | 15.2% | 0.62 | -18.4% | 5 |
| 2020 | 216.4% | 3.36 | -16.2% | 4 |
| 2021 | 23.9% | 0.87 | -17.8% | 6 |
| 2022 | 9.4% | 0.48 | -20.7% | 4 |
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 | 9.9% | 0.75 | 11% |
| hidden test | EXPENSIVE | 83 | 38.7% | 1.40 | 31% |
| hidden test | EXTREME | 48 | 57.2% | 1.71 | 28% |
| hidden test | HIGH VOLATILITY | 254 | 8.2% | 0.44 | 10% |
| hidden test | LOW VOLATILITY | 429 | 46.4% | 1.91 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.7% | -1.10 | 28% |
| hidden test | NORMAL | 800 | 10.2% | 0.44 | 25% |
| hidden test | SIDEWAYS | 293 | -17.0% | -0.76 | 31% |
| hidden test | UPTREND | 371 | 44.4% | 1.44 | 32% |
| train | DOWNTREND | 518 | -0.9% | -0.08 | 11% |
| train | EXPENSIVE | 311 | 29.8% | 1.29 | 29% |
| train | EXTREME | 100 | 125.9% | 3.71 | 44% |
| train | HIGH VOLATILITY | 699 | 7.8% | 0.38 | 9% |
| train | LOW VOLATILITY | 745 | 24.1% | 1.22 | 42% |
| train | MEDIUM VOLATILITY | 568 | -9.4% | -0.42 | 24% |
| train | NORMAL | 1,601 | -2.4% | -0.12 | 24% |
| train | SIDEWAYS | 592 | -6.2% | -0.32 | 22% |
| train | UPTREND | 902 | 24.7% | 0.98 | 37% |
| validation | DOWNTREND | 125 | 34.4% | 1.58 | 11% |
| validation | EXPENSIVE | 138 | 13.7% | 0.47 | 30% |
| validation | EXTREME | 144 | 211.4% | 5.10 | 41% |
| validation | HIGH VOLATILITY | 258 | 32.5% | 1.13 | 13% |
| validation | LOW VOLATILITY | 183 | 23.1% | 1.10 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 90.0% | 2.45 | 39% |
| validation | NORMAL | 474 | 18.2% | 0.68 | 28% |
| validation | SIDEWAYS | 206 | 9.1% | 0.39 | 25% |
| validation | UPTREND | 425 | 81.8% | 2.28 | 39% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-04-20 | 2026-06-02 | $392.50 | $423.74 | 3.60% | 31 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -4.50% | 9 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 10.52% | 22 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -5.16% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-04-28 | 2025-06-05 | $285.88 | $284.70 | 8.58% | 28 | |
| 2024-11-08 | 2025-01-02 | $321.22 | $379.28 | 10.48% | 37 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 5.96% | 17 | |
| 2024-06-18 | 2024-07-25 | $184.86 | $220.25 | 24.49% | 26 | |
| 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 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -2.60% | 19 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-05-19 | 2023-07-21 | $180.14 | $260.02 | 48.33% | 43 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-01-24 | 2023-03-03 | $143.89 | $197.79 | 3.03% | 28 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-07-11 | 2022-08-23 | $234.34 | $296.45 | 14.30% | 32 | |
| 2022-03-21 | 2022-04-12 | $307.05 | $328.98 | 7.58% | 17 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -4.55% | 5 | |
| 2021-09-27 | 2021-11-15 | $263.79 | $337.80 | 32.33% | 36 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-06-24 | 2021-07-15 | $226.61 | $216.87 | -0.68% | 15 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2020-11-24 | 2021-02-01 | $185.13 | $279.94 | 26.13% | 46 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -5.82% | 5 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | 14.17% | 17 | |
| 2020-04-13 | 2020-08-03 | $43.40 | $99.00 | 67.54% | 79 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 69.04% | 51 | |
| 2019-10-14 | 2019-11-25 | $17.13 | $22.42 | 19.13% | 31 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-06-18 | 2019-07-26 | $14.98 | $15.20 | 3.24% | 28 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -3.95% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-10-30 | 2018-11-23 | $21.99 | $21.72 | 0.31% | 18 | |
| 2018-06-14 | 2018-07-03 | $23.85 | $20.72 | -0.80% | 14 | |
| 2018-05-10 | 2018-05-15 | $20.33 | $18.95 | -3.76% | 4 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -2.32% | 4 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -4.23% | 14 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -2.83% | 8 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.41% | 12 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 3.17% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -3.73% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 7.13% | 29 | |
| 2016-12-15 | 2017-02-24 | $13.17 | $17.13 | 28.56% | 48 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 1.80% | 21 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-03-04 | 2016-04-29 | $13.40 | $16.05 | 15.73% | 40 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -7.46% | 9 | |
| 2015-11-06 | 2015-11-11 | $15.49 | $14.61 | -2.06% | 4 | |
| 2015-09-17 | 2015-09-29 | $17.47 | $16.44 | -5.04% | 9 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-04-08 | 2015-07-09 | $13.84 | $17.19 | 25.19% | 65 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -7.27% | 8 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -6.33% | 10 | |
| 2014-01-17 | 2014-03-17 | $11.33 | $15.60 | 18.95% | 40 | |
| 2013-12-13 | 2014-01-10 | $9.84 | $9.71 | -0.20% | 19 | |
| 2013-07-30 | 2013-10-04 | $8.78 | $12.07 | 6.88% | 48 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-04-17 | 2013-06-12 | $3.03 | $6.52 | 26.54% | 40 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 0.57% | 18 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-11-14 | 2012-12-24 | $2.09 | $2.29 | 7.35% | 28 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.27% | 11 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -8.11% | 2 | |
| 2012-03-14 | 2012-03-23 | $2.35 | $2.27 | -4.88% | 8 | |
| 2012-01-27 | 2012-03-07 | $1.96 | $2.21 | 3.87% | 28 |