Strategy Zoo / S0608
Breakout20_V0608
ARCHIVEDbreakoutstructuralswapped indicator dist_sma_20 -> dist_sma_200
Fitness
0.5931
Generation
28
Complexity
4
Created
2026-09-23
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0942
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0608 [breakout]
if flat and (breakout_20 == 1 and dist_sma_200 > -0.0073):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.1% | 93.0% | 15.0% | 28.8% |
| Total Return | 230.1% | 619.1% | 67.7% | 3999.3% |
| Sharpe | 0.65 | 1.66 | 0.63 | 0.92 |
| Sortino | 0.62 | 1.62 | 0.53 | 0.85 |
| Calmar | 0.34 | 2.35 | 0.47 | 0.61 |
| Volatility | 29.2% | 45.9% | 29.1% | 33.3% |
| Max DD | -47.3% | -39.6% | -31.9% | -47.3% |
| Win Rate | 40.5% | 35.7% | 50.0% | 41.7% |
| Avg Win | 18.6% | 70.0% | 14.6% | 27.3% |
| Avg Loss | -5.9% | -5.0% | -6.1% | -5.7% |
| Payoff | 3.15 | 10.00 | 2.40 | 4.75 |
| Expectancy | 4.0% | 21.8% | 4.3% | 8.0% |
| Profit Factor | 2.14 | 7.74 | 2.40 | 3.39 |
| Trades | 42 | 14 | 16 | 72 |
| Avg Holding Days | 17.3 | 22.7 | 17.5 | 18.6 |
| Turnover | 10.6 | 9.3 | 8.6 | 9.8 |
| Exposure | 34.5% | 40.2% | 28.3% | 34.2% |
Growth of $100
Breakout20_V0608 vs TSLA Buy & Hold
Breakout20_V0608 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 | -5.8% | -0.30 | -17.4% | 4 |
| 2017 | 23.2% | 1.02 | -14.7% | 7 |
| 2018 | -19.3% | -0.77 | -23.8% | 6 |
| 2019 | 30.5% | 1.10 | -14.4% | 2 |
| 2020 | 550.2% | 3.08 | -39.6% | 4 |
| 2021 | 31.6% | 1.01 | -18.8% | 6 |
| 2022 | -19.5% | -0.92 | -25.3% | 4 |
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 | -4.2% | -0.48 | 8% |
| hidden test | EXPENSIVE | 83 | 84.2% | 1.67 | 64% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 17.1% | 0.47 | 24% |
| hidden test | LOW VOLATILITY | 429 | 39.8% | 1.77 | 31% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.8% | -0.59 | 29% |
| hidden test | NORMAL | 802 | 2.8% | 0.12 | 23% |
| hidden test | SIDEWAYS | 293 | -1.3% | -0.06 | 27% |
| hidden test | UPTREND | 371 | 49.8% | 1.20 | 44% |
| train | DOWNTREND | 518 | -18.8% | -1.89 | 3% |
| train | EXPENSIVE | 311 | 70.5% | 1.94 | 62% |
| train | EXTREME | 100 | 327.1% | 4.54 | 81% |
| train | HIGH VOLATILITY | 699 | 43.6% | 1.11 | 34% |
| train | LOW VOLATILITY | 745 | 20.5% | 0.99 | 42% |
| train | MEDIUM VOLATILITY | 568 | -12.7% | -0.53 | 26% |
| train | NORMAL | 1,601 | -10.1% | -0.47 | 26% |
| train | SIDEWAYS | 592 | -1.8% | -0.09 | 29% |
| train | UPTREND | 902 | 54.6% | 1.39 | 56% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 51.3% | 1.01 | 48% |
| validation | EXTREME | 144 | 345.0% | 4.38 | 82% |
| validation | HIGH VOLATILITY | 258 | 79.3% | 1.29 | 36% |
| validation | LOW VOLATILITY | 183 | 27.0% | 1.23 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 102.4% | 2.50 | 43% |
| validation | NORMAL | 474 | 1.9% | 0.08 | 25% |
| validation | SIDEWAYS | 206 | 8.4% | 0.30 | 27% |
| validation | UPTREND | 425 | 131.6% | 2.28 | 58% |
Trades (full period)
72 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-04-20 | 2026-06-02 | $392.50 | $423.74 | 3.60% | 31 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 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 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -5.16% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-04-30 | 2025-06-05 | $282.16 | $284.70 | 13.47% | 26 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 4.37% | 17 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2023-12-15 | 2024-01-04 | $253.50 | $237.93 | -5.21% | 13 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -2.60% | 19 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -6.72% | 9 | |
| 2023-05-31 | 2023-07-21 | $203.93 | $260.02 | 30.43% | 36 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-04 | 2022-08-23 | $308.63 | $296.45 | -5.88% | 14 | |
| 2022-03-21 | 2022-04-12 | $307.05 | $328.98 | 7.58% | 17 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-09-27 | 2021-11-15 | $263.79 | $337.80 | 33.19% | 36 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-06-24 | 2021-07-15 | $226.61 | $216.87 | -0.68% | 15 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -7.74% | 11 | |
| 2020-11-18 | 2021-02-01 | $162.21 | $279.94 | 79.35% | 50 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-04-13 | 2020-08-03 | $43.40 | $99.00 | 149.23% | 79 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 116.09% | 51 | |
| 2019-10-15 | 2019-11-25 | $17.19 | $22.42 | 29.35% | 30 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -3.00% | 10 | |
| 2018-10-26 | 2018-11-23 | $22.06 | $21.72 | 7.20% | 20 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-03 | $22.85 | $20.72 | 0.70% | 16 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -4.23% | 14 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 7.92% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 12.05% | 29 | |
| 2016-12-27 | 2017-02-24 | $14.64 | $17.13 | 19.76% | 41 | |
| 2016-10-04 | 2016-10-07 | $14.09 | $13.11 | -6.13% | 4 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-13 | $15.70 | $14.52 | -6.02% | 4 | |
| 2016-03-21 | 2016-04-29 | $15.89 | $16.05 | 6.22% | 29 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -8.69% | 9 | |
| 2015-11-06 | 2015-11-11 | $15.49 | $14.61 | -6.77% | 4 | |
| 2015-09-17 | 2015-09-29 | $17.47 | $16.44 | -5.46% | 9 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 8.61% | 31 | |
| 2014-06-17 | 2014-07-08 | $15.44 | $14.60 | -1.06% | 15 | |
| 2014-01-15 | 2014-03-17 | $10.94 | $15.60 | 42.94% | 42 | |
| 2013-12-13 | 2014-01-10 | $9.84 | $9.71 | -0.16% | 19 | |
| 2013-07-30 | 2013-10-04 | $8.78 | $12.07 | 28.48% | 48 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.95% | 14 | |
| 2013-04-02 | 2013-06-12 | $2.96 | $6.52 | 114.62% | 51 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.69% | 18 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-11-06 | 2012-12-24 | $2.08 | $2.29 | 7.72% | 34 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -15.17% | 7 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -4.66% | 9 | |
| 2012-01-27 | 2012-03-07 | $1.96 | $2.21 | 14.18% | 28 |