Fitness
0.5660
Generation
25
Complexity
7
Created
2026-09-22
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0558 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and vol_chg < 1.2007 and breakout_50 == 1):
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 | 7.0% | 73.3% | 7.1% | 18.4% |
| Total Return | 72.1% | 420.7% | 28.7% | 1086.8% |
| Sharpe | 0.44 | 1.95 | 0.42 | 0.85 |
| Sortino | 0.29 | 1.86 | 0.28 | 0.62 |
| Calmar | 0.21 | 2.51 | 0.30 | 0.56 |
| Volatility | 19.7% | 30.6% | 21.7% | 22.9% |
| Max DD | -32.9% | -29.2% | -23.9% | -32.9% |
| Win Rate | 42.9% | 66.7% | 41.7% | 46.9% |
| Avg Win | 11.7% | 36.7% | 15.0% | 20.3% |
| Avg Loss | -5.4% | -4.9% | -6.0% | -5.5% |
| Payoff | 2.17 | 7.54 | 2.49 | 3.69 |
| Expectancy | 1.9% | 22.8% | 2.7% | 6.6% |
| Profit Factor | 1.63 | 10.00 | 1.78 | 3.26 |
| Trades | 28 | 9 | 12 | 49 |
| Avg Holding Days | 18.6 | 28.4 | 16.8 | 20.2 |
| Turnover | 7.0 | 6.5 | 6.9 | 6.8 |
| Exposure | 19.7% | 26.6% | 16.3% | 20.3% |
Growth of $100
Breakout20_V0558 vs TSLA Buy & Hold
Breakout20_V0558 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 | 11.7% | 0.91 | -7.3% | 1 |
| 2017 | 9.0% | 0.55 | -17.6% | 5 |
| 2018 | -9.9% | -0.97 | -11.6% | 5 |
| 2019 | 22.4% | 0.91 | -13.7% | 2 |
| 2020 | 281.2% | 3.57 | -11.1% | 3 |
| 2021 | 38.2% | 1.25 | -16.8% | 4 |
| 2022 | -5.0% | -0.20 | -19.0% | 2 |
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 | 0.6% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 37.0% | 1.01 | 45% |
| hidden test | EXTREME | 48 | 69.1% | 2.03 | 29% |
| hidden test | HIGH VOLATILITY | 254 | 1.5% | 0.11 | 7% |
| hidden test | LOW VOLATILITY | 429 | 33.3% | 1.65 | 19% |
| hidden test | MEDIUM VOLATILITY | 249 | -24.6% | -0.85 | 21% |
| hidden test | NORMAL | 801 | 2.7% | 0.15 | 13% |
| hidden test | SIDEWAYS | 293 | -11.4% | -0.77 | 13% |
| hidden test | UPTREND | 371 | 31.6% | 0.99 | 31% |
| train | DOWNTREND | 518 | -1.4% | -0.36 | 1% |
| train | EXPENSIVE | 311 | 31.2% | 1.06 | 37% |
| train | EXTREME | 100 | 109.2% | 3.48 | 42% |
| train | HIGH VOLATILITY | 699 | 10.1% | 0.49 | 7% |
| train | LOW VOLATILITY | 745 | 20.4% | 1.11 | 33% |
| train | MEDIUM VOLATILITY | 568 | -8.3% | -0.41 | 17% |
| train | NORMAL | 1,601 | -1.9% | -0.12 | 15% |
| train | SIDEWAYS | 592 | -5.4% | -0.37 | 9% |
| train | UPTREND | 902 | 23.8% | 0.89 | 37% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 62.9% | 1.63 | 42% |
| validation | EXTREME | 144 | 211.8% | 4.96 | 38% |
| validation | HIGH VOLATILITY | 258 | 33.5% | 1.25 | 9% |
| validation | LOW VOLATILITY | 183 | 32.5% | 1.76 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 96.8% | 2.54 | 37% |
| validation | NORMAL | 474 | 12.5% | 0.57 | 19% |
| validation | SIDEWAYS | 206 | -6.4% | -0.54 | 8% |
| validation | UPTREND | 425 | 103.7% | 2.65 | 42% |
Trades (full period)
49 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-02 | $445.00 | $423.74 | -3.10% | 16 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 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 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-05 | $318.38 | $284.70 | 3.90% | 18 | |
| 2024-11-08 | 2025-01-02 | $321.22 | $379.28 | 13.82% | 37 | |
| 2024-09-26 | 2024-10-08 | $254.22 | $244.50 | -6.49% | 9 | |
| 2024-06-27 | 2024-07-25 | $197.42 | $220.25 | 18.83% | 20 | |
| 2023-12-28 | 2024-01-04 | $253.18 | $237.93 | -8.98% | 5 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -6.55% | 17 | |
| 2022-07-22 | 2022-08-23 | $272.24 | $296.45 | 6.49% | 23 | |
| 2022-03-29 | 2022-04-12 | $366.52 | $328.98 | -10.79% | 11 | |
| 2021-09-27 | 2021-11-15 | $263.79 | $337.80 | 32.33% | 36 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2020-11-24 | 2021-02-01 | $185.13 | $279.94 | 51.77% | 46 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | 14.17% | 17 | |
| 2020-05-11 | 2020-08-03 | $54.09 | $99.00 | 55.90% | 59 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 90.65% | 51 | |
| 2019-10-14 | 2019-11-25 | $17.13 | $22.42 | 19.13% | 31 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-11-01 | 2018-11-23 | $22.95 | $21.72 | 0.09% | 16 | |
| 2018-06-14 | 2018-07-03 | $23.85 | $20.72 | -0.80% | 14 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -2.32% | 4 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -4.23% | 14 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 6.87% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -5.63% | 6 | |
| 2017-04-05 | 2017-05-05 | $19.67 | $20.56 | -4.08% | 22 | |
| 2016-12-21 | 2017-02-24 | $13.85 | $17.13 | 22.36% | 44 | |
| 2016-03-18 | 2016-04-29 | $15.52 | $16.05 | 9.21% | 30 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-04-30 | 2015-07-09 | $15.07 | $17.19 | 9.46% | 49 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -6.33% | 10 | |
| 2014-01-22 | 2014-03-17 | $11.90 | $15.60 | 28.11% | 38 | |
| 2013-07-30 | 2013-10-04 | $8.78 | $12.07 | 10.92% | 48 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-17 | 2013-06-12 | $3.03 | $6.52 | 26.93% | 40 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.69% | 18 | |
| 2012-11-21 | 2012-12-24 | $2.16 | $2.29 | 2.82% | 23 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -8.11% | 2 | |
| 2012-03-14 | 2012-03-23 | $2.35 | $2.27 | -4.88% | 8 | |
| 2012-02-21 | 2012-03-07 | $2.30 | $2.21 | -5.51% | 12 |