Strategy Zoo / S0453
Breakout20_V0453
ARCHIVEDhybridcrossoverentry = Breakout20_V0191 OR PriceMomentum_V0298
Fitness
0.6241
Generation
21
Complexity
15
Created
2026-09-19
Lineage
Parents (2)
added entry filter: dist_sma_20 > -0.0187
changed ret_20d threshold 0.05 -> 0.0923
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0453 [hybrid]
if flat and ((breakout_20 == 1 and dist_sma_20 > -0.0187) or (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997))):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.4% | 118.5% | 16.8% | 34.6% |
| Total Return | 310.7% | 943.2% | 77.7% | 7740.1% |
| Sharpe | 0.68 | 1.75 | 0.59 | 0.94 |
| Sortino | 0.75 | 1.98 | 0.64 | 1.03 |
| Calmar | 0.29 | 3.36 | 0.39 | 0.51 |
| Volatility | 35.3% | 52.5% | 38.8% | 40.3% |
| Max DD | -67.7% | -35.3% | -43.0% | -67.7% |
| Win Rate | 34.1% | 60.0% | 35.3% | 39.7% |
| Avg Win | 28.6% | 46.3% | 29.3% | 39.2% |
| Avg Loss | -7.5% | -9.8% | -8.0% | -8.0% |
| Payoff | 3.79 | 4.72 | 3.65 | 4.91 |
| Expectancy | 4.8% | 23.9% | 5.2% | 10.8% |
| Profit Factor | 1.97 | 7.07 | 1.99 | 3.24 |
| Trades | 41 | 15 | 17 | 73 |
| Avg Holding Days | 25.6 | 30.5 | 26.4 | 27.8 |
| Turnover | 10.4 | 10.0 | 9.5 | 10.0 |
| Exposure | 53.9% | 58.5% | 48.3% | 53.5% |
Growth of $100
Breakout20_V0453 vs TSLA Buy & Hold
Breakout20_V0453 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 | -2.1% | 0.02 | -33.2% | 4 |
| 2017 | 11.3% | 0.53 | -26.1% | 5 |
| 2018 | -44.5% | -1.62 | -52.8% | 9 |
| 2019 | 47.1% | 1.23 | -22.6% | 3 |
| 2020 | 707.9% | 3.19 | -33.7% | 5 |
| 2021 | 62.0% | 1.45 | -24.8% | 5 |
| 2022 | -23.7% | -0.64 | -30.4% | 5 |
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 | 0.5% | 0.02 | 31% |
| hidden test | EXPENSIVE | 83 | 108.6% | 2.00 | 82% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 36.5% | 0.70 | 53% |
| hidden test | LOW VOLATILITY | 429 | 51.3% | 1.80 | 46% |
| hidden test | MEDIUM VOLATILITY | 248 | -39.3% | -1.02 | 48% |
| hidden test | NORMAL | 800 | 3.9% | 0.11 | 44% |
| hidden test | SIDEWAYS | 293 | -11.8% | -0.35 | 47% |
| hidden test | UPTREND | 371 | 66.9% | 1.41 | 61% |
| train | DOWNTREND | 518 | -19.4% | -0.93 | 29% |
| train | EXPENSIVE | 311 | 65.0% | 1.64 | 77% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 36.2% | 0.79 | 48% |
| train | LOW VOLATILITY | 745 | 37.3% | 1.44 | 64% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -0.29 | 48% |
| train | NORMAL | 1,601 | -8.1% | -0.27 | 47% |
| train | SIDEWAYS | 592 | -8.3% | -0.28 | 47% |
| train | UPTREND | 902 | 69.8% | 1.59 | 73% |
| validation | DOWNTREND | 125 | 34.3% | 1.43 | 14% |
| validation | EXPENSIVE | 138 | 75.0% | 1.32 | 64% |
| validation | EXTREME | 144 | 371.2% | 4.38 | 94% |
| validation | HIGH VOLATILITY | 258 | 106.2% | 1.53 | 52% |
| validation | LOW VOLATILITY | 183 | 30.9% | 1.12 | 64% |
| validation | MEDIUM VOLATILITY | 315 | 115.8% | 2.46 | 60% |
| validation | NORMAL | 474 | 12.1% | 0.35 | 46% |
| validation | SIDEWAYS | 206 | -21.3% | -0.59 | 48% |
| validation | UPTREND | 425 | 163.8% | 2.57 | 77% |
Trades (full period)
74 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.82% | 19 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -5.04% | 21 | |
| 2025-08-11 | 2025-11-14 | $339.03 | $404.35 | 21.70% | 69 | |
| 2025-04-28 | 2025-06-13 | $285.88 | $325.31 | 11.76% | 34 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -0.93% | 28 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 15.46% | 32 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -12.80% | 6 | |
| 2023-11-16 | 2024-01-10 | $233.59 | $233.94 | -3.44% | 37 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 47.30% | 51 | |
| 2023-04-03 | 2023-04-20 | $194.77 | $162.99 | -13.13% | 13 | |
| 2023-01-24 | 2023-03-08 | $143.89 | $182.00 | 30.32% | 31 | |
| 2022-09-20 | 2022-09-26 | $308.73 | $276.01 | -11.09% | 5 | |
| 2022-07-11 | 2022-08-29 | $234.34 | $284.82 | 14.65% | 36 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-21 | 2022-04-27 | $307.05 | $293.84 | -3.39% | 27 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 66.26% | 86 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2020-11-18 | 2021-02-11 | $162.21 | $270.55 | 81.90% | 58 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 153.05% | 84 | |
| 2019-09-11 | 2020-03-04 | $16.47 | $49.97 | 215.89% | 121 | |
| 2019-06-18 | 2019-08-12 | $14.98 | $15.27 | 4.23% | 39 | |
| 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 | |
| 2018-10-26 | 2018-12-19 | $22.06 | $22.20 | 6.83% | 37 | |
| 2018-10-02 | 2018-10-09 | $20.07 | $17.52 | -19.52% | 6 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-05-10 | 2018-05-18 | $20.33 | $18.45 | -7.46% | 7 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-09-14 | 2017-09-29 | $25.18 | $22.74 | -7.45% | 12 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 15.24% | 42 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 25.20% | 57 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-12 | 2016-08-23 | $14.98 | $14.99 | -1.02% | 31 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-11-30 | 2016-01-05 | $15.35 | $14.90 | -3.73% | 25 | |
| 2015-11-06 | 2015-11-13 | $15.49 | $13.81 | -8.31% | 6 | |
| 2015-09-17 | 2015-10-02 | $17.47 | $16.50 | -8.71% | 12 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 24.33% | 79 | |
| 2015-02-04 | 2015-03-03 | $14.57 | $13.30 | -9.81% | 19 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 62.94% | 82 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -15.54% | 8 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -9.26% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-01-27 | 2012-04-10 | $1.96 | $2.16 | 14.32% | 51 |