Strategy Zoo / S0500
Breakout20_V0500
ARCHIVEDhybridcrossoverlogic of Breakout20_V0474 with risk overlay of PriceMomentum_V0264
Fitness
0.6073
Generation
23
Complexity
3
Created
2026-09-22
Lineage
Parents (2)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
entry from Breakout20_V0011, exit from PriceMomentum_V0387
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0500 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and breakout_20 == 1:
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.2% | 83.3% | 19.0% | 29.2% |
| Total Return | 255.1% | 515.6% | 90.1% | 4177.9% |
| Sharpe | 0.72 | 1.53 | 0.73 | 0.94 |
| Sortino | 0.60 | 1.40 | 0.50 | 0.76 |
| Calmar | 0.28 | 2.07 | 0.43 | 0.48 |
| Volatility | 27.1% | 46.7% | 29.7% | 32.7% |
| Max DD | -61.2% | -40.3% | -43.9% | -61.2% |
| Win Rate | 36.2% | 47.4% | 44.4% | 40.5% |
| Avg Win | 19.2% | 34.5% | 18.9% | 23.8% |
| Avg Loss | -4.5% | -6.0% | -6.4% | -5.2% |
| Payoff | 4.23 | 5.73 | 2.93 | 4.57 |
| Expectancy | 4.0% | 13.2% | 4.8% | 6.5% |
| Profit Factor | 2.40 | 5.16 | 2.35 | 3.11 |
| Trades | 47 | 19 | 18 | 84 |
| Avg Holding Days | 12.5 | 15.6 | 11.5 | 13.1 |
| Turnover | 11.9 | 12.7 | 10.0 | 11.5 |
| Exposure | 27.4% | 36.6% | 22.4% | 28.1% |
Growth of $100
Breakout20_V0500 vs TSLA Buy & Hold
Breakout20_V0500 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 | 30.2% | 2.12 | -7.9% | 5 |
| 2017 | 22.6% | 1.06 | -14.1% | 6 |
| 2018 | -41.8% | -2.35 | -41.7% | 10 |
| 2019 | 13.8% | 0.66 | -22.6% | 6 |
| 2020 | 472.7% | 2.82 | -33.7% | 6 |
| 2021 | 51.7% | 1.47 | -17.6% | 6 |
| 2022 | -32.1% | -1.91 | -32.0% | 7 |
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 | 268 | 26.2% | 1.03 | 19% |
| hidden test | EXPENSIVE | 83 | 21.7% | 0.55 | 47% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 15.2% | 0.36 | 31% |
| hidden test | LOW VOLATILITY | 429 | 42.0% | 2.04 | 18% |
| hidden test | MEDIUM VOLATILITY | 249 | -6.2% | -0.23 | 22% |
| hidden test | NORMAL | 801 | 12.1% | 0.47 | 17% |
| hidden test | SIDEWAYS | 293 | -13.9% | -0.89 | 2% |
| hidden test | UPTREND | 371 | 46.9% | 1.19 | 41% |
| train | DOWNTREND | 518 | 7.4% | 0.65 | 10% |
| train | EXPENSIVE | 311 | 32.7% | 0.96 | 56% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 32.5% | 0.88 | 28% |
| train | LOW VOLATILITY | 745 | 20.1% | 1.06 | 33% |
| train | MEDIUM VOLATILITY | 568 | 2.6% | 0.12 | 19% |
| train | NORMAL | 1,601 | -7.3% | -0.41 | 17% |
| train | SIDEWAYS | 592 | -5.1% | -0.50 | 2% |
| train | UPTREND | 902 | 42.5% | 1.10 | 54% |
| validation | DOWNTREND | 125 | 5.1% | 0.31 | 6% |
| validation | EXPENSIVE | 138 | 63.3% | 1.18 | 52% |
| validation | EXTREME | 144 | 329.0% | 4.07 | 80% |
| validation | HIGH VOLATILITY | 258 | 87.6% | 1.34 | 38% |
| validation | LOW VOLATILITY | 183 | 25.7% | 1.36 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 84.9% | 2.16 | 40% |
| validation | NORMAL | 474 | -4.4% | -0.18 | 19% |
| validation | SIDEWAYS | 206 | -6.3% | -0.70 | 2% |
| validation | UPTREND | 425 | 128.7% | 2.11 | 63% |
Trades (full period)
85 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-09-20 | 2022-09-22 | $308.73 | $288.59 | -2.87% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-16 | 2021-10-06 | $252.33 | $260.92 | 3.07% | 15 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-22 | 2020-05-27 | $54.46 | $54.68 | -1.25% | 3 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 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 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-12-04 | 2018-12-10 | $23.98 | $24.34 | -0.34% | 4 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-02 | 2018-10-05 | $20.07 | $17.46 | -9.48% | 4 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-10 | 2018-05-11 | $20.33 | $20.07 | -0.80% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -2.00% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-05-31 | 2017-07-05 | $22.73 | $21.81 | 5.02% | 25 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-27 | 2017-05-04 | $18.01 | $19.70 | 17.95% | 28 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | -0.04% | 12 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-05-12 | 2015-06-11 | $16.32 | $16.76 | 4.47% | 22 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-02-06 | 2015-02-09 | $14.49 | $14.50 | -1.84% | 2 | |
| 2015-02-04 | 2015-02-05 | $14.57 | $14.73 | -0.11% | 2 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -7.62% | 16 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 21.06% | 42 | |
| 2013-06-27 | 2013-10-04 | $7.28 | $12.07 | 63.61% | 70 | |
| 2013-04-17 | 2013-06-26 | $3.03 | $7.05 | 124.16% | 50 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.87% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-03-13 | 2012-03-19 | $2.41 | $2.33 | -2.11% | 5 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |