Strategy Zoo / S0647
Breakout20_V0647
ARCHIVEDhybridcrossoverentry from Breakout20_V0374, exit from LongTermTrend_V0323
Fitness
0.6825
Generation
30
Complexity
6
Created
2026-09-24
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.1
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0647 [hybrid]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.5% | 91.1% | 3.6% | 21.8% |
| Total Return | 121.5% | 597.4% | 14.0% | 1712.3% |
| Sharpe | 0.55 | 1.97 | 0.27 | 0.86 |
| Sortino | 0.45 | 2.30 | 0.21 | 0.76 |
| Calmar | 0.29 | 3.65 | 0.09 | 0.55 |
| Volatility | 22.8% | 36.2% | 27.7% | 27.3% |
| Max DD | -36.6% | -24.9% | -39.8% | -39.8% |
| Win Rate | 35.2% | 55.6% | 26.9% | 36.7% |
| Avg Win | 11.1% | 29.3% | 16.3% | 17.7% |
| Avg Loss | -3.3% | -4.7% | -4.4% | -3.8% |
| Payoff | 3.36 | 6.28 | 3.67 | 4.63 |
| Expectancy | 1.8% | 14.2% | 1.1% | 4.1% |
| Profit Factor | 1.82 | 7.85 | 1.35 | 2.69 |
| Trades | 54 | 18 | 26 | 98 |
| Avg Holding Days | 13.7 | 20.6 | 13.2 | 14.9 |
| Turnover | 12.6 | 12.0 | 14.6 | 12.9 |
| Exposure | 27.8% | 37.7% | 28.6% | 30.1% |
Growth of $100
Breakout20_V0647 vs TSLA Buy & Hold
Breakout20_V0647 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 | 15.6% | 1.00 | -16.7% | 5 |
| 2017 | 31.0% | 1.39 | -10.0% | 7 |
| 2018 | -16.5% | -1.59 | -16.6% | 8 |
| 2019 | 11.4% | 0.51 | -18.5% | 6 |
| 2020 | 431.1% | 3.84 | -14.9% | 5 |
| 2021 | 27.1% | 0.88 | -22.2% | 8 |
| 2022 | -0.8% | 0.09 | -24.4% | 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 | 270 | 14.7% | 0.82 | 14% |
| hidden test | EXPENSIVE | 83 | 47.9% | 1.36 | 43% |
| hidden test | EXTREME | 48 | 92.6% | 2.51 | 35% |
| hidden test | HIGH VOLATILITY | 254 | -7.5% | -0.28 | 15% |
| hidden test | LOW VOLATILITY | 430 | 41.1% | 1.64 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -35.4% | -1.09 | 33% |
| hidden test | NORMAL | 803 | -1.9% | -0.07 | 27% |
| hidden test | SIDEWAYS | 293 | -40.3% | -1.51 | 32% |
| hidden test | UPTREND | 371 | 39.7% | 1.18 | 36% |
| train | DOWNTREND | 518 | 6.4% | 0.63 | 8% |
| train | EXPENSIVE | 311 | 36.8% | 1.20 | 46% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 17.7% | 0.74 | 14% |
| train | LOW VOLATILITY | 745 | 25.8% | 1.26 | 42% |
| train | MEDIUM VOLATILITY | 568 | -11.2% | -0.46 | 26% |
| train | NORMAL | 1,601 | -4.0% | -0.21 | 22% |
| train | SIDEWAYS | 592 | -12.0% | -0.66 | 20% |
| train | UPTREND | 902 | 32.3% | 1.09 | 44% |
| validation | DOWNTREND | 125 | 5.1% | 0.31 | 6% |
| validation | EXPENSIVE | 138 | 102.3% | 2.28 | 51% |
| validation | EXTREME | 144 | 252.8% | 5.15 | 52% |
| validation | HIGH VOLATILITY | 258 | 53.5% | 1.53 | 20% |
| validation | LOW VOLATILITY | 183 | 24.5% | 1.11 | 43% |
| validation | MEDIUM VOLATILITY | 315 | 113.0% | 2.63 | 49% |
| validation | NORMAL | 474 | 7.1% | 0.26 | 30% |
| validation | SIDEWAYS | 206 | 7.7% | 0.32 | 29% |
| validation | UPTREND | 425 | 121.5% | 2.75 | 51% |
Trades (full period)
99 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | — | — | — | -0.10% | 1 | OPEN |
| 2026-08-24 | 2026-09-22 | $348.95 | $378.90 | 3.22% | 21 | |
| 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 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 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 | |
| 2025-08-26 | 2025-09-10 | $351.67 | $347.79 | -0.09% | 11 | |
| 2025-08-12 | 2025-08-18 | $340.84 | $335.16 | -2.69% | 5 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -9.96% | 19 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -0.70% | 5 | |
| 2024-11-08 | 2025-01-08 | $321.22 | $394.94 | 16.23% | 41 | |
| 2024-09-20 | 2024-10-11 | $238.25 | $217.80 | -0.93% | 16 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -6.33% | 9 | |
| 2024-06-27 | 2024-08-01 | $197.42 | $216.86 | 21.07% | 25 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.75% | 5 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -9.90% | 11 | |
| 2023-05-19 | 2023-07-21 | $180.14 | $260.02 | 48.33% | 43 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-01-24 | 2023-03-07 | $143.89 | $187.71 | 9.01% | 30 | |
| 2022-09-20 | 2022-09-22 | $308.73 | $288.59 | -2.87% | 3 | |
| 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 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -3.95% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 26.53% | 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 | |
| 2021-08-02 | 2021-08-18 | $236.56 | $229.66 | -3.32% | 13 | |
| 2021-06-24 | 2021-07-20 | $226.61 | $220.17 | -1.77% | 18 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 19.52% | 28 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 56.92% | 50 | |
| 2020-04-13 | 2020-05-27 | $43.40 | $54.68 | 16.72% | 32 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 81.36% | 53 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-10-14 | 2019-11-25 | $17.13 | $22.42 | 21.42% | 31 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-06-18 | 2019-07-29 | $14.98 | $15.72 | 2.82% | 29 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -5.40% | 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 | |
| 2018-11-01 | 2018-11-26 | $22.95 | $23.07 | -1.40% | 17 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-05-10 | 2018-05-11 | $20.33 | $20.07 | -0.33% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -0.82% | 2 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.95% | 2 | |
| 2017-12-12 | 2017-12-21 | $22.74 | $22.11 | -0.18% | 8 | |
| 2017-09-14 | 2017-09-22 | $25.18 | $23.41 | -0.13% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-05-31 | 2017-07-05 | $22.73 | $21.81 | 4.16% | 25 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -5.70% | 6 | |
| 2017-03-27 | 2017-05-04 | $18.01 | $19.70 | 15.46% | 28 | |
| 2016-12-14 | 2017-02-24 | $13.25 | $17.13 | 28.93% | 49 | |
| 2016-07-21 | 2016-08-09 | $14.70 | $15.27 | 0.92% | 14 | |
| 2016-07-19 | 2016-07-20 | $15.02 | $15.22 | -0.26% | 2 | |
| 2016-07-12 | 2016-07-13 | $14.98 | $14.84 | -0.11% | 2 | |
| 2016-06-09 | 2016-06-15 | $15.29 | $14.51 | -8.91% | 5 | |
| 2016-03-04 | 2016-04-20 | $13.40 | $16.66 | 17.18% | 33 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.61% | 2 | |
| 2015-12-02 | 2015-12-04 | $15.47 | $15.36 | -0.85% | 3 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -2.91% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-09-17 | 2015-09-18 | $17.47 | $17.37 | -0.11% | 2 | |
| 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 | |
| 2015-04-30 | 2015-06-11 | $15.07 | $16.76 | 7.63% | 30 | |
| 2015-04-07 | 2015-04-17 | $13.55 | $13.79 | 1.57% | 9 | |
| 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 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -7.62% | 16 | |
| 2014-01-22 | 2014-03-25 | $11.90 | $14.70 | 20.92% | 44 | |
| 2013-12-13 | 2014-01-03 | $9.84 | $9.97 | 0.76% | 14 | |
| 2013-06-27 | 2013-10-04 | $7.28 | $12.07 | 27.87% | 70 | |
| 2013-04-17 | 2013-06-26 | $3.03 | $7.05 | 42.35% | 50 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-14 | 2012-12-28 | $2.09 | $2.21 | 6.37% | 31 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-04-04 | 2012-04-10 | $2.33 | $2.16 | -12.97% | 4 | |
| 2012-03-14 | 2012-03-19 | $2.35 | $2.33 | -2.33% | 4 | |
| 2012-02-02 | 2012-03-09 | $2.02 | $2.32 | 4.38% | 26 | |
| 2012-01-31 | 2012-02-01 | $1.94 | $1.97 | -0.78% | 2 | |
| 2012-01-27 | 2012-01-30 | $1.96 | $1.97 | 0.47% | 2 |