Strategy Zoo / S0536
Breakout20_V0536
ARCHIVEDhybridparameterchanged ret_20d threshold 0.0392 -> -0.0183
Fitness
0.6539
Generation
24
Complexity
2
Created
2026-09-22
Lineage
Parents (1)
entry from Breakout20_V0011, exit from PriceMomentum_V0387
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0536 [hybrid]
if flat and breakout_20 == 1:
position = 1.0
if long and ret_20d < -0.0183:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.4% | 109.2% | 14.8% | 33.4% |
| Total Return | 339.9% | 815.3% | 66.8% | 6813.8% |
| Sharpe | 0.72 | 1.70 | 0.55 | 0.93 |
| Sortino | 0.76 | 1.83 | 0.59 | 0.99 |
| Calmar | 0.30 | 2.92 | 0.32 | 0.50 |
| Volatility | 33.8% | 51.3% | 37.9% | 39.0% |
| Max DD | -67.6% | -37.4% | -45.9% | -67.6% |
| Win Rate | 35.1% | 46.2% | 33.3% | 36.8% |
| Avg Win | 27.7% | 68.0% | 27.9% | 43.1% |
| Avg Loss | -7.5% | -8.5% | -7.3% | -7.6% |
| Payoff | 3.67 | 8.04 | 3.80 | 5.65 |
| Expectancy | 4.8% | 26.8% | 4.4% | 11.0% |
| Profit Factor | 1.99 | 6.89 | 1.90 | 3.28 |
| Trades | 37 | 13 | 18 | 68 |
| Avg Holding Days | 26.1 | 31.7 | 23.7 | 27.7 |
| Turnover | 9.4 | 8.7 | 10.0 | 9.3 |
| Exposure | 50.0% | 52.8% | 46.0% | 49.6% |
Growth of $100
Breakout20_V0536 vs TSLA Buy & Hold
Breakout20_V0536 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% | 0.20 | -30.3% | 4 |
| 2017 | 10.7% | 0.51 | -25.8% | 6 |
| 2018 | -43.6% | -1.72 | -48.1% | 7 |
| 2019 | 46.1% | 1.21 | -22.6% | 3 |
| 2020 | 642.8% | 3.08 | -33.7% | 4 |
| 2021 | 69.3% | 1.64 | -18.5% | 4 |
| 2022 | -30.3% | -1.03 | -32.7% | 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 | 268 | 15.1% | 0.53 | 28% |
| hidden test | EXPENSIVE | 83 | 108.6% | 2.00 | 82% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 56.1% | 1.11 | 50% |
| hidden test | LOW VOLATILITY | 429 | 38.3% | 1.40 | 43% |
| hidden test | MEDIUM VOLATILITY | 249 | -44.6% | -1.17 | 48% |
| hidden test | NORMAL | 801 | 1.5% | 0.04 | 41% |
| hidden test | SIDEWAYS | 293 | -30.4% | -0.95 | 44% |
| hidden test | UPTREND | 371 | 65.8% | 1.40 | 60% |
| train | DOWNTREND | 518 | -14.9% | -0.79 | 25% |
| train | EXPENSIVE | 311 | 65.0% | 1.64 | 77% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 37.5% | 0.87 | 43% |
| train | LOW VOLATILITY | 745 | 36.2% | 1.43 | 61% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -0.27 | 43% |
| train | NORMAL | 1,601 | -7.7% | -0.28 | 42% |
| train | SIDEWAYS | 592 | -8.3% | -0.30 | 42% |
| train | UPTREND | 902 | 67.9% | 1.59 | 70% |
| validation | DOWNTREND | 125 | 5.1% | 0.31 | 6% |
| validation | EXPENSIVE | 138 | 75.0% | 1.36 | 54% |
| validation | EXTREME | 144 | 368.0% | 4.34 | 93% |
| validation | HIGH VOLATILITY | 258 | 96.9% | 1.41 | 48% |
| validation | LOW VOLATILITY | 183 | 41.8% | 1.71 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 105.1% | 2.30 | 55% |
| validation | NORMAL | 474 | 5.1% | 0.16 | 40% |
| validation | SIDEWAYS | 206 | -19.6% | -0.59 | 39% |
| validation | UPTREND | 425 | 162.7% | 2.57 | 73% |
Trades (full period)
69 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 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-08-26 | 2025-11-14 | $351.67 | $404.35 | 15.75% | 58 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -4.65% | 8 | |
| 2025-04-28 | 2025-06-12 | $285.88 | $319.11 | 14.33% | 33 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 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 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 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 | |
| 2021-06-24 | 2021-07-26 | $226.61 | $219.21 | -2.20% | 22 | |
| 2021-04-14 | 2021-05-05 | $244.08 | $223.65 | -11.82% | 16 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 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 | 2019-08-08 | $14.98 | $15.89 | 3.52% | 37 | |
| 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 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.83% | 6 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -9.38% | 17 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-14 | 2017-09-28 | $25.18 | $22.64 | -7.08% | 11 | |
| 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 | 2017-02-28 | $13.25 | $16.67 | 24.02% | 51 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-12 | 2016-08-18 | $14.98 | $14.90 | -0.88% | 28 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-12-02 | 2016-01-05 | $15.47 | $14.90 | -6.00% | 23 | |
| 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 | |
| 2015-04-07 | 2015-07-28 | $13.55 | $17.65 | 24.33% | 79 | |
| 2015-02-04 | 2015-03-03 | $14.57 | $13.30 | -9.81% | 19 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-17 | 2014-07-16 | $15.44 | $14.48 | -2.43% | 21 | |
| 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 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2013-01-10 | $2.08 | $2.24 | 6.58% | 45 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -7.93% | 5 | |
| 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 |