Strategy Zoo / S0446
Breakout20_V0446
ARCHIVEDbreakoutstructuralremoved entry condition: breakout_20 == 1; removed entry condition: dist_sma_20 > -0.0187
Fitness
0.4937
Generation
20
Complexity
3
Created
2026-09-19
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0446 [breakout]
if flat and vol_chg < 1.2007:
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 | -0.2% | 89.6% | -2.5% | 13.3% |
| Total Return | -1.9% | 581.6% | -9.0% | 526.0% |
| Sharpe | 0.16 | 1.63 | 0.12 | 0.52 |
| Sortino | 0.20 | 2.59 | 0.17 | 0.71 |
| Calmar | -0.00 | 2.41 | -0.05 | 0.20 |
| Volatility | 33.3% | 45.6% | 37.9% | 37.3% |
| Max DD | -65.1% | -37.2% | -51.6% | -65.1% |
| Win Rate | 40.5% | 42.0% | 38.2% | 40.3% |
| Avg Win | 2.9% | 7.1% | 3.8% | 4.1% |
| Avg Loss | -1.9% | -2.3% | -2.2% | -2.0% |
| Payoff | 1.55 | 3.08 | 1.73 | 2.01 |
| Expectancy | 0.1% | 1.7% | 0.1% | 0.4% |
| Profit Factor | 1.05 | 2.23 | 1.07 | 1.35 |
| Trades | 454 | 169 | 233 | 857 |
| Avg Holding Days | 4.3 | 4.5 | 4.0 | 4.2 |
| Turnover | 91.2 | 87.1 | 105.2 | 93.9 |
| Exposure | 56.3% | 59.4% | 60.0% | 57.9% |
Growth of $100
Breakout20_V0446 vs TSLA Buy & Hold
Breakout20_V0446 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 | -20.5% | -0.68 | -41.8% | 64 |
| 2017 | 12.9% | 0.60 | -17.6% | 53 |
| 2018 | 10.7% | 0.49 | -23.7% | 65 |
| 2019 | 25.2% | 0.83 | -23.9% | 62 |
| 2020 | 496.7% | 4.02 | -21.0% | 32 |
| 2021 | 26.5% | 0.73 | -34.0% | 54 |
| 2022 | -23.7% | -0.50 | -37.2% | 83 |
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 | -5.9% | -0.17 | 50% |
| hidden test | EXPENSIVE | 83 | -3.8% | -0.09 | 66% |
| hidden test | EXTREME | 48 | 44.8% | 1.19 | 38% |
| hidden test | HIGH VOLATILITY | 254 | -3.4% | -0.11 | 24% |
| hidden test | LOW VOLATILITY | 429 | 41.0% | 1.14 | 74% |
| hidden test | MEDIUM VOLATILITY | 248 | -49.8% | -1.06 | 73% |
| hidden test | NORMAL | 800 | 3.1% | 0.08 | 61% |
| hidden test | SIDEWAYS | 293 | -35.6% | -0.98 | 69% |
| hidden test | UPTREND | 371 | 44.1% | 1.08 | 60% |
| train | DOWNTREND | 518 | -43.6% | -1.43 | 48% |
| train | EXPENSIVE | 311 | 38.6% | 1.03 | 58% |
| train | EXTREME | 100 | 156.0% | 4.46 | 50% |
| train | HIGH VOLATILITY | 699 | 4.5% | 0.13 | 25% |
| train | LOW VOLATILITY | 745 | 33.3% | 1.14 | 78% |
| train | MEDIUM VOLATILITY | 568 | -30.4% | -0.85 | 66% |
| train | NORMAL | 1,601 | -10.6% | -0.33 | 56% |
| train | SIDEWAYS | 592 | 1.1% | 0.04 | 52% |
| train | UPTREND | 902 | 36.2% | 0.99 | 64% |
| validation | DOWNTREND | 125 | -69.7% | -2.05 | 41% |
| validation | EXPENSIVE | 138 | 91.6% | 1.91 | 68% |
| validation | EXTREME | 144 | 257.3% | 5.44 | 46% |
| validation | HIGH VOLATILITY | 258 | 80.1% | 1.91 | 25% |
| validation | LOW VOLATILITY | 183 | 39.5% | 1.26 | 79% |
| validation | MEDIUM VOLATILITY | 315 | 89.6% | 1.64 | 76% |
| validation | NORMAL | 474 | 13.6% | 0.31 | 61% |
| validation | SIDEWAYS | 206 | 29.4% | 0.76 | 60% |
| validation | UPTREND | 425 | 138.3% | 2.71 | 65% |
Trades (full period)
latest 100 of 858
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-17 | — | $366.20 | — | 2.17% | 2 | OPEN |
| 2026-08-14 | 2026-09-16 | $342.27 | $358.08 | 3.61% | 23 | |
| 2026-08-12 | 2026-08-13 | $327.51 | $339.96 | -0.54% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.15% | 2 | |
| 2026-08-06 | 2026-08-07 | $319.53 | $328.58 | -0.25% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 0.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.17% | 2 | |
| 2026-07-29 | 2026-07-30 | $298.32 | $308.85 | -0.95% | 2 | |
| 2026-07-27 | 2026-07-28 | $309.22 | $307.44 | -0.42% | 2 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -14.71% | 2 | |
| 2026-07-21 | 2026-07-22 | $378.93 | $374.01 | 0.70% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -0.93% | 3 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -1.92% | 3 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-26 | 2026-06-29 | $379.71 | $411.84 | 1.02% | 2 | |
| 2026-06-24 | 2026-06-25 | $375.53 | $375.12 | -1.79% | 2 | |
| 2026-06-22 | 2026-06-23 | $405.05 | $381.61 | 0.94% | 2 | |
| 2026-06-17 | 2026-06-18 | $396.38 | $400.49 | -2.24% | 2 | |
| 2026-06-15 | 2026-06-16 | $411.15 | $404.66 | 0.96% | 2 | |
| 2026-06-11 | 2026-06-12 | $399.15 | $406.43 | 4.40% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-04-16 | 2026-06-02 | $388.90 | $423.74 | 5.89% | 33 | |
| 2026-04-14 | 2026-04-15 | $364.20 | $391.95 | 3.14% | 2 | |
| 2026-04-10 | 2026-04-13 | $348.95 | $352.42 | 0.76% | 2 | |
| 2026-04-08 | 2026-04-09 | $343.25 | $345.62 | -1.18% | 2 | |
| 2026-04-06 | 2026-04-07 | $352.82 | $346.65 | -2.35% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-30 | 2026-03-31 | $355.28 | $371.75 | -2.01% | 2 | |
| 2026-03-26 | 2026-03-27 | $372.11 | $361.83 | -3.78% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-20 | 2026-03-23 | $367.96 | $380.85 | -3.44% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-03-10 | 2026-03-11 | $399.24 | $407.82 | -0.06% | 2 | |
| 2026-03-06 | 2026-03-09 | $396.73 | $398.68 | -2.37% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 3.24% | 2 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-25 | 2026-02-27 | $417.40 | $402.51 | -0.39% | 3 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-11 | 2026-02-13 | $428.27 | $417.44 | -2.11% | 3 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-28 | 2026-01-29 | $431.46 | $416.56 | -0.07% | 2 | |
| 2026-01-22 | 2026-01-27 | $449.36 | $430.90 | 0.67% | 4 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-15 | 2026-01-16 | $438.57 | $437.50 | -0.34% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 7.54% | 22 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-11-13 | 2025-11-14 | $401.99 | $404.35 | -6.84% | 2 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-10-28 | 2025-11-10 | $460.55 | $445.23 | -5.25% | 10 | |
| 2025-10-20 | 2025-10-27 | $447.43 | $452.42 | -1.47% | 6 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-04 | 2025-10-13 | $338.53 | $435.90 | 23.52% | 28 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-06 | 2025-08-22 | $319.91 | $340.01 | 3.49% | 13 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-16 | 2025-07-25 | $321.67 | $316.06 | -1.96% | 8 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 4.52% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.09% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -1.66% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.26% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -1.90% | 3 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.05% | 2 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -1.22% | 2 | |
| 2025-06-13 | 2025-06-16 | $325.31 | $329.13 | 0.52% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.03% | 2 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 1.31% | 2 | |
| 2025-04-25 | 2025-06-05 | $284.95 | $284.70 | 8.50% | 29 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 1.55% | 2 | |
| 2025-04-21 | 2025-04-22 | $227.50 | $237.97 | -1.78% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -1.54% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.06% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -2.24% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -1.53% | 2 | |
| 2025-03-25 | 2025-04-07 | $288.14 | $233.29 | -4.23% | 10 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 1.52% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 1.34% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -1.50% | 2 |