Fitness
0.5307
Generation
30
Complexity
8
Created
2026-09-24
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0657 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007):
position = 1.0
if long and (close < sma_20 or breakout_50 == 1):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.7% | 51.0% | 2.6% | 14.8% |
| Total Return | 94.6% | 244.2% | 9.9% | 657.8% |
| Sharpe | 0.56 | 1.70 | 0.23 | 0.77 |
| Sortino | 0.43 | 1.71 | 0.16 | 0.61 |
| Calmar | 0.34 | 2.34 | 0.07 | 0.42 |
| Volatility | 17.5% | 26.3% | 21.8% | 20.7% |
| Max DD | -25.5% | -21.8% | -34.8% | -34.8% |
| Win Rate | 77.0% | 80.0% | 67.3% | 75.5% |
| Avg Win | 2.5% | 4.4% | 3.8% | 3.3% |
| Avg Loss | -5.4% | -5.4% | -6.6% | -5.8% |
| Payoff | 0.48 | 0.81 | 0.57 | 0.57 |
| Expectancy | 0.7% | 2.5% | 0.4% | 1.1% |
| Profit Factor | 1.59 | 3.25 | 1.18 | 1.76 |
| Trades | 113 | 55 | 52 | 220 |
| Avg Holding Days | 4.5 | 3.9 | 5.1 | 4.5 |
| Turnover | 25.0 | 33.9 | 25.5 | 26.9 |
| Exposure | 16.6% | 17.8% | 19.8% | 17.6% |
Growth of $100
Breakout20_V0657 vs TSLA Buy & Hold
Breakout20_V0657 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 | 8.3% | 0.81 | -8.2% | 6 |
| 2017 | 20.9% | 1.20 | -9.2% | 21 |
| 2018 | -5.7% | -0.73 | -12.8% | 13 |
| 2019 | 15.3% | 0.66 | -14.4% | 14 |
| 2020 | 155.9% | 3.17 | -8.8% | 24 |
| 2021 | 10.0% | 0.50 | -16.9% | 20 |
| 2022 | 18.1% | 0.89 | -12.9% | 10 |
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 | 11.3% | 0.61 | 18% |
| hidden test | EXPENSIVE | 83 | -17.5% | -0.59 | 29% |
| hidden test | EXTREME | 48 | -0.4% | -0.01 | 18% |
| hidden test | HIGH VOLATILITY | 254 | -4.9% | -0.24 | 10% |
| hidden test | LOW VOLATILITY | 430 | 34.8% | 1.71 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.5% | -1.45 | 23% |
| hidden test | NORMAL | 803 | 7.6% | 0.37 | 19% |
| hidden test | SIDEWAYS | 293 | -2.8% | -0.16 | 21% |
| hidden test | UPTREND | 371 | 6.3% | 0.24 | 20% |
| train | DOWNTREND | 518 | -4.5% | -0.33 | 12% |
| train | EXPENSIVE | 311 | 45.4% | 2.18 | 21% |
| train | EXTREME | 100 | 99.6% | 3.84 | 21% |
| train | HIGH VOLATILITY | 699 | 15.3% | 0.83 | 7% |
| train | LOW VOLATILITY | 745 | 14.8% | 0.96 | 25% |
| train | MEDIUM VOLATILITY | 568 | -3.4% | -0.18 | 16% |
| train | NORMAL | 1,601 | -2.7% | -0.17 | 16% |
| train | SIDEWAYS | 592 | -2.4% | -0.16 | 18% |
| train | UPTREND | 902 | 26.2% | 1.27 | 18% |
| validation | DOWNTREND | 125 | 29.1% | 1.35 | 9% |
| validation | EXPENSIVE | 138 | 38.0% | 1.75 | 13% |
| validation | EXTREME | 144 | 160.8% | 4.37 | 21% |
| validation | HIGH VOLATILITY | 258 | 40.7% | 1.43 | 9% |
| validation | LOW VOLATILITY | 183 | 17.0% | 0.93 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 63.7% | 2.26 | 20% |
| validation | NORMAL | 474 | 11.2% | 0.48 | 18% |
| validation | SIDEWAYS | 206 | 9.7% | 0.46 | 20% |
| validation | UPTREND | 425 | 66.1% | 2.23 | 19% |
Trades (full period)
latest 100 of 221
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | — | — | — | -0.10% | 1 | OPEN |
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-04-20 | 2026-05-11 | $392.50 | $445.00 | 6.71% | 16 | |
| 2025-12-17 | 2025-12-30 | $467.26 | $454.43 | -6.37% | 9 | |
| 2025-12-08 | 2025-12-16 | $439.58 | $489.88 | 4.25% | 7 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -8.48% | 5 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-02 | 2025-10-13 | $436.00 | $435.90 | -10.19% | 8 | |
| 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 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.26% | 2 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-05-28 | 2025-06-05 | $356.90 | $284.70 | -8.68% | 7 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.20% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 1.94% | 2 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 1.88% | 11 | |
| 2024-12-18 | 2025-01-02 | $440.13 | $379.28 | -13.81% | 10 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.02% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 1.24% | 2 | |
| 2024-11-25 | 2024-12-03 | $338.59 | $351.42 | 0.49% | 6 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 3.27% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-16 | 2024-09-26 | $226.78 | $254.22 | 12.82% | 9 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-11 | 2024-07-25 | $241.03 | $220.25 | -12.40% | 11 | |
| 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 | |
| 2024-06-18 | 2024-06-27 | $184.86 | $197.42 | 4.55% | 7 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-12-15 | 2023-12-28 | $253.50 | $253.18 | 3.93% | 9 | |
| 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 | |
| 2023-07-18 | 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 | |
| 2023-05-19 | 2023-06-02 | $180.14 | $213.97 | 17.08% | 10 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 0.90% | 2 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 1.15% | 2 | |
| 2023-01-24 | 2023-02-08 | $143.89 | $201.29 | 14.09% | 12 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-23 | $306.56 | $296.45 | -6.46% | 6 | |
| 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 | 7.28% | 10 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-21 | 2022-03-29 | $307.05 | $366.52 | 20.35% | 7 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -6.18% | 5 | |
| 2021-11-05 | 2021-11-15 | $407.36 | $337.80 | -16.59% | 7 | |
| 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 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 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 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 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 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-18 | 2020-11-19 | $162.21 | $166.42 | 9.99% | 2 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.83% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 5.64% | 4 | |
| 2020-08-19 | 2020-08-21 | $125.24 | $136.67 | 2.42% | 3 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 4.51% | 2 | |
| 2020-07-16 | 2020-07-21 | $100.04 | $104.56 | 2.55% | 4 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 4.34% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-22 | 2020-06-01 | $54.46 | $59.87 | 1.33% | 6 |