Strategy Zoo / S0445
Breakout20_V0445
ARCHIVEDbreakoutstructuraladded exit filter: dist_sma_200 < 0.1009
Fitness
0.5848
Generation
20
Complexity
6
Created
2026-09-19
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0445 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187):
position = 1.0
if long and (close < sma_20 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.4% | 86.8% | 2.6% | 22.1% |
| Total Return | 154.0% | 551.7% | 10.1% | 1776.2% |
| Sharpe | 0.57 | 1.61 | 0.23 | 0.78 |
| Sortino | 0.51 | 1.49 | 0.18 | 0.68 |
| Calmar | 0.23 | 2.19 | 0.06 | 0.41 |
| Volatility | 26.6% | 45.2% | 29.2% | 31.9% |
| Max DD | -53.4% | -39.6% | -46.2% | -53.4% |
| Win Rate | 36.8% | 34.5% | 44.7% | 38.4% |
| Avg Win | 7.1% | 35.5% | 6.3% | 11.3% |
| Avg Loss | -2.3% | -3.1% | -4.1% | -2.8% |
| Payoff | 3.11 | 10.00 | 1.53 | 3.97 |
| Expectancy | 1.2% | 10.2% | 0.5% | 2.6% |
| Profit Factor | 1.81 | 5.93 | 1.24 | 2.47 |
| Trades | 114 | 29 | 47 | 190 |
| Avg Holding Days | 5.7 | 10.2 | 5.6 | 6.4 |
| Turnover | 28.7 | 19.3 | 25.4 | 25.9 |
| Exposure | 27.2% | 35.3% | 23.1% | 27.8% |
Growth of $100
Breakout20_V0445 vs TSLA Buy & Hold
Breakout20_V0445 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 | 1.2% | 0.17 | -9.8% | 19 |
| 2017 | 17.9% | 0.86 | -14.1% | 11 |
| 2018 | -22.6% | -1.58 | -23.7% | 18 |
| 2019 | 5.6% | 0.35 | -25.3% | 16 |
| 2020 | 550.2% | 3.08 | -39.6% | 4 |
| 2021 | 27.0% | 0.93 | -21.1% | 14 |
| 2022 | -24.4% | -1.42 | -24.3% | 11 |
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 | -19.5% | -1.07 | 6% |
| hidden test | EXPENSIVE | 83 | 83.9% | 1.67 | 64% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 14.2% | 0.36 | 25% |
| hidden test | LOW VOLATILITY | 429 | 31.0% | 1.48 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -42.4% | -1.45 | 27% |
| hidden test | NORMAL | 800 | -10.4% | -0.44 | 17% |
| hidden test | SIDEWAYS | 293 | -18.4% | -1.09 | 13% |
| hidden test | UPTREND | 371 | 45.8% | 1.12 | 43% |
| train | DOWNTREND | 518 | -9.7% | -1.21 | 5% |
| train | EXPENSIVE | 311 | 70.5% | 1.94 | 62% |
| train | EXTREME | 100 | 327.1% | 4.54 | 81% |
| train | HIGH VOLATILITY | 699 | 33.3% | 0.93 | 29% |
| train | LOW VOLATILITY | 745 | 5.6% | 0.30 | 32% |
| train | MEDIUM VOLATILITY | 568 | 5.4% | 0.25 | 18% |
| train | NORMAL | 1,601 | -15.1% | -0.90 | 17% |
| train | SIDEWAYS | 592 | -1.0% | -0.06 | 17% |
| train | UPTREND | 902 | 40.1% | 1.09 | 47% |
| validation | DOWNTREND | 125 | -9.6% | -0.96 | 2% |
| validation | EXPENSIVE | 138 | 51.3% | 1.01 | 48% |
| validation | EXTREME | 144 | 345.0% | 4.38 | 82% |
| validation | HIGH VOLATILITY | 258 | 72.7% | 1.18 | 36% |
| validation | LOW VOLATILITY | 183 | 37.2% | 2.12 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 93.3% | 2.33 | 41% |
| validation | NORMAL | 474 | -3.8% | -0.16 | 18% |
| validation | SIDEWAYS | 206 | 8.6% | 0.36 | 17% |
| validation | UPTREND | 425 | 127.9% | 2.22 | 54% |
Trades (full period)
latest 100 of 190
| 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 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -6.92% | 9 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 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 | |
| 2025-05-14 | 2025-06-05 | $347.68 | $284.70 | -0.80% | 16 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 4.37% | 17 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -6.78% | 16 | |
| 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 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 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 | 2024-01-02 | $253.18 | $248.42 | -5.15% | 3 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.75% | 5 | |
| 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 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-06-07 | 2023-07-21 | $224.57 | $260.02 | 18.56% | 31 | |
| 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 | 2.18% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2023-01-26 | 2023-01-27 | $160.27 | $177.90 | 10.76% | 2 | |
| 2023-01-24 | 2023-01-25 | $143.89 | $144.43 | -0.10% | 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 | |
| 2022-03-23 | 2022-04-12 | $333.04 | $328.98 | -2.01% | 15 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-09-27 | 2021-11-15 | $263.79 | $337.80 | 33.19% | 36 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -2.37% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.35% | 2 | |
| 2021-06-24 | 2021-06-25 | $226.61 | $223.96 | 3.34% | 2 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2020-11-18 | 2021-02-01 | $162.21 | $279.94 | 79.35% | 50 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-04-13 | 2020-08-03 | $43.40 | $99.00 | 149.23% | 79 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 116.09% | 51 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -2.11% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.52% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 4.70% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 3.23% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.33% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-11-19 | 2018-11-23 | $23.56 | $21.72 | -4.74% | 4 | |
| 2018-11-08 | 2018-11-13 | $23.43 | $22.58 | -5.04% | 4 | |
| 2018-11-01 | 2018-11-06 | $22.95 | $22.74 | 1.01% | 4 | |
| 2018-10-30 | 2018-10-31 | $21.99 | $22.49 | -1.68% | 2 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-10-02 | 2018-10-03 | $20.07 | $19.65 | -3.31% | 2 | |
| 2018-08-08 | 2018-08-15 | $24.69 | $22.58 | -8.60% | 6 |