Strategy Zoo / S0607
Breakout20_V0607
ARCHIVEDhybridstructuralreplaced exit rule with: breakout_50 == 1
Fitness
0.2641
Generation
28
Complexity
2
Created
2026-09-23
Lineage
Parents (1)
entry from Breakout20_V0011, exit from PriceMomentum_V0387
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0607 [hybrid]
if flat and breakout_20 == 1:
position = 1.0
if long and breakout_50 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.7% | 6.9% | 34.8% | 16.7% |
| Total Return | 198.5% | 22.3% | 201.7% | 867.8% |
| Sharpe | 0.54 | 0.41 | 0.92 | 0.57 |
| Sortino | 0.69 | 0.53 | 1.13 | 0.71 |
| Calmar | 0.28 | 0.11 | 0.89 | 0.26 |
| Volatility | 41.4% | 58.8% | 42.2% | 45.8% |
| Max DD | -52.9% | -65.2% | -39.0% | -65.5% |
| Win Rate | 85.5% | 86.3% | 80.5% | 84.2% |
| Avg Win | 2.9% | 3.7% | 5.3% | 3.1% |
| Avg Loss | -8.8% | -6.1% | -3.3% | -7.7% |
| Payoff | 0.33 | 0.61 | 1.59 | 0.41 |
| Expectancy | 1.2% | 2.4% | 3.6% | 1.4% |
| Profit Factor | 1.94 | 3.86 | 6.56 | 2.15 |
| Trades | 110 | 51 | 41 | 202 |
| Avg Holding Days | 14.1 | 9.5 | 13.9 | 13.4 |
| Turnover | 27.6 | 34.3 | 22.4 | 27.6 |
| Exposure | 71.4% | 70.4% | 62.6% | 69.0% |
Growth of $100
Breakout20_V0607 vs TSLA Buy & Hold
Breakout20_V0607 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 | -16.4% | -0.30 | -35.8% | 5 |
| 2017 | 16.2% | 0.72 | -22.4% | 19 |
| 2018 | 32.0% | 0.90 | -29.5% | 15 |
| 2019 | 2.2% | 0.25 | -48.5% | 13 |
| 2020 | 186.1% | 1.86 | -60.7% | 25 |
| 2021 | -14.2% | -0.05 | -36.5% | 18 |
| 2022 | -56.5% | -1.32 | -64.8% | 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 | 269 | 61.3% | 1.26 | 78% |
| hidden test | EXPENSIVE | 83 | 76.4% | 1.68 | 53% |
| hidden test | EXTREME | 48 | 94.3% | 3.22 | 25% |
| hidden test | HIGH VOLATILITY | 254 | 91.6% | 1.58 | 67% |
| hidden test | LOW VOLATILITY | 429 | 32.1% | 0.96 | 67% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.6% | -0.10 | 51% |
| hidden test | NORMAL | 802 | 31.5% | 0.74 | 66% |
| hidden test | SIDEWAYS | 293 | -8.3% | -0.23 | 62% |
| hidden test | UPTREND | 371 | 59.4% | 1.44 | 52% |
| train | DOWNTREND | 518 | -22.6% | -0.49 | 94% |
| train | EXPENSIVE | 311 | 69.1% | 1.64 | 65% |
| train | EXTREME | 100 | 202.8% | 3.52 | 36% |
| train | HIGH VOLATILITY | 699 | 61.6% | 1.16 | 64% |
| train | LOW VOLATILITY | 745 | 22.5% | 0.77 | 73% |
| train | MEDIUM VOLATILITY | 568 | -26.7% | -0.69 | 78% |
| train | NORMAL | 1,601 | 1.8% | 0.05 | 75% |
| train | SIDEWAYS | 592 | 48.7% | 1.13 | 78% |
| train | UPTREND | 902 | 30.5% | 0.83 | 54% |
| validation | DOWNTREND | 125 | -130.5% | -2.33 | 70% |
| validation | EXPENSIVE | 138 | 35.2% | 0.56 | 72% |
| validation | EXTREME | 144 | 192.1% | 2.92 | 53% |
| validation | HIGH VOLATILITY | 258 | 88.5% | 1.15 | 56% |
| validation | LOW VOLATILITY | 183 | 29.2% | 0.88 | 76% |
| validation | MEDIUM VOLATILITY | 315 | -32.0% | -0.60 | 79% |
| validation | NORMAL | 474 | -30.5% | -0.55 | 75% |
| validation | SIDEWAYS | 206 | 5.4% | 0.10 | 87% |
| validation | UPTREND | 425 | 78.3% | 1.28 | 63% |
Trades (full period)
latest 100 of 203
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | — | $393.45 | — | -11.85% | 57 | OPEN |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2025-12-17 | 2026-05-11 | $467.26 | $445.00 | -12.74% | 99 | |
| 2025-12-08 | 2025-12-16 | $439.58 | $489.88 | 4.25% | 7 | |
| 2025-10-30 | 2025-11-04 | $440.10 | $444.26 | 1.28% | 4 | |
| 2025-10-02 | 2025-10-29 | $436.00 | $461.51 | 0.03% | 20 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-18 | 2025-09-22 | $416.85 | $434.21 | -0.15% | 3 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-05-28 | 2025-08-27 | $356.90 | $349.60 | -3.29% | 64 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-03 | 2024-12-05 | $351.42 | $369.49 | 0.03% | 3 | |
| 2024-11-12 | 2024-11-25 | $328.49 | $338.59 | 0.52% | 10 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-28 | 2024-11-07 | $262.51 | $296.91 | 6.97% | 9 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-07-11 | 2024-09-26 | $241.03 | $254.22 | -2.57% | 55 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-02-29 | 2024-06-27 | $201.88 | $197.42 | -3.00% | 83 | |
| 2023-09-12 | 2023-12-28 | $267.48 | $253.18 | -4.63% | 76 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-04-03 | 2023-06-02 | $194.77 | $213.97 | -0.18% | 43 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2022-08-16 | 2023-02-08 | $306.56 | $201.29 | -36.50% | 122 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-11 | 2022-07-22 | $234.34 | $272.24 | 8.13% | 10 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2021-11-05 | 2022-03-29 | $407.36 | $366.52 | -11.40% | 99 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-26 | 2021-10-28 | $339.48 | $359.01 | 1.07% | 3 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-08 | 2021-10-13 | $261.83 | $270.36 | 1.32% | 4 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-01-27 | 2021-08-03 | $288.05 | $236.58 | -19.80% | 131 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-20 | 2020-11-24 | $163.20 | $185.13 | 4.31% | 3 | |
| 2020-10-15 | 2020-11-19 | $149.63 | $166.42 | 5.28% | 26 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-19 | 2020-08-21 | $125.24 | $136.67 | 5.87% | 3 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 10.99% | 2 | |
| 2020-07-16 | 2020-07-21 | $100.04 | $104.56 | 6.06% | 4 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-11 | 2020-07-01 | $64.86 | $74.64 | 5.13% | 15 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-22 | 2020-06-01 | $54.46 | $59.87 | 0.69% | 6 | |
| 2020-02-20 | 2020-05-11 | $59.96 | $54.09 | -10.86% | 57 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-24 | 2020-01-30 | $37.65 | $42.72 | 1.33% | 5 | |
| 2020-01-22 | 2020-01-23 | $37.97 | $38.15 | 3.88% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 5.85% | 3 | |
| 2019-11-18 | 2019-11-20 | $23.33 | $23.48 | 1.88% | 3 | |
| 2019-11-12 | 2019-11-13 | $23.33 | $23.07 | 1.20% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 |