Strategy Zoo / S0692
Breakout20_V0692
ARCHIVEDhybridcrossoverentry from Breakout20_V0374, exit from LongTermTrend_V0519
Fitness
0.6993
Generation
32
Complexity
6
Created
2026-09-25
Lineage
Parents (2)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
entry from LongTermTrend_V0323, exit from PriceMomentum_V0449
Children (8)
Strategy Logic (pseudocode)
# Breakout20_V0692 [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 < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.4% | 101.7% | 1.8% | 24.4% |
| Total Return | 173.5% | 721.1% | 6.9% | 2371.1% |
| Sharpe | 0.61 | 2.08 | 0.21 | 0.88 |
| Sortino | 0.56 | 2.57 | 0.18 | 0.86 |
| Calmar | 0.29 | 4.18 | 0.05 | 0.53 |
| Volatility | 26.1% | 37.1% | 29.8% | 29.6% |
| Max DD | -45.9% | -24.4% | -36.1% | -45.9% |
| Win Rate | 41.7% | 53.8% | 26.3% | 39.7% |
| Avg Win | 13.6% | 47.2% | 22.6% | 27.4% |
| Avg Loss | -5.7% | -6.5% | -6.6% | -6.1% |
| Payoff | 2.38 | 7.21 | 3.43 | 4.46 |
| Expectancy | 2.3% | 22.4% | 1.1% | 7.2% |
| Profit Factor | 1.70 | 8.42 | 1.22 | 2.94 |
| Trades | 36 | 13 | 19 | 68 |
| Avg Holding Days | 24.6 | 31.2 | 19.6 | 25.3 |
| Turnover | 9.7 | 9.5 | 11.1 | 10.0 |
| Exposure | 37.3% | 42.3% | 34.5% | 37.7% |
Growth of $100
Breakout20_V0692 vs TSLA Buy & Hold
Breakout20_V0692 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 | 3.3% | 0.26 | -24.8% | 3 |
| 2017 | 9.3% | 0.48 | -25.5% | 6 |
| 2018 | -14.0% | -0.97 | -18.3% | 5 |
| 2019 | 41.0% | 1.22 | -18.3% | 4 |
| 2020 | 431.0% | 3.83 | -15.4% | 4 |
| 2021 | 61.6% | 1.54 | -18.2% | 4 |
| 2022 | -8.2% | -0.21 | -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 | 271 | 7.1% | 0.38 | 16% |
| hidden test | EXPENSIVE | 83 | 59.0% | 1.48 | 59% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | 2.9% | 0.10 | 17% |
| hidden test | LOW VOLATILITY | 431 | 45.6% | 1.71 | 40% |
| hidden test | MEDIUM VOLATILITY | 250 | -58.0% | -1.62 | 43% |
| hidden test | NORMAL | 804 | -4.3% | -0.15 | 32% |
| hidden test | SIDEWAYS | 293 | -42.3% | -1.50 | 38% |
| hidden test | UPTREND | 371 | 44.0% | 1.20 | 45% |
| train | DOWNTREND | 518 | -0.2% | -0.01 | 18% |
| train | EXPENSIVE | 311 | 39.8% | 1.16 | 55% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 13.0% | 0.50 | 16% |
| train | LOW VOLATILITY | 745 | 36.7% | 1.53 | 56% |
| train | MEDIUM VOLATILITY | 568 | -7.4% | -0.25 | 40% |
| train | NORMAL | 1,601 | -0.3% | -0.01 | 33% |
| train | SIDEWAYS | 592 | -10.8% | -0.49 | 28% |
| train | UPTREND | 902 | 42.9% | 1.32 | 54% |
| validation | DOWNTREND | 125 | 5.1% | 0.31 | 6% |
| validation | EXPENSIVE | 138 | 95.4% | 2.12 | 52% |
| validation | EXTREME | 144 | 259.6% | 5.28 | 53% |
| validation | HIGH VOLATILITY | 258 | 52.1% | 1.47 | 21% |
| validation | LOW VOLATILITY | 183 | 43.0% | 1.76 | 55% |
| validation | MEDIUM VOLATILITY | 315 | 117.2% | 2.68 | 52% |
| validation | NORMAL | 474 | 16.2% | 0.57 | 36% |
| validation | SIDEWAYS | 206 | 1.9% | 0.07 | 33% |
| validation | UPTREND | 425 | 134.6% | 2.99 | 57% |
Trades (full period)
69 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.65% | 23 | OPEN |
| 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 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -6.69% | 12 | |
| 2025-08-26 | 2025-10-23 | $351.67 | $448.98 | 26.40% | 42 | |
| 2025-08-12 | 2025-08-20 | $340.84 | $323.90 | -3.06% | 7 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | -4.69% | 23 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -0.70% | 5 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 16.28% | 43 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 17.81% | 26 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -12.80% | 6 | |
| 2023-11-16 | 2024-01-08 | $233.59 | $240.45 | -2.40% | 35 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-19 | 2023-07-24 | $180.14 | $269.06 | 46.70% | 44 | |
| 2023-04-03 | 2023-04-13 | $194.77 | $185.90 | -13.16% | 8 | |
| 2023-01-24 | 2023-03-08 | $143.89 | $182.00 | 5.58% | 31 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 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 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 54.62% | 86 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 19.52% | 28 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 86.91% | 84 | |
| 2019-10-14 | 2020-03-04 | $17.13 | $49.97 | 152.76% | 98 | |
| 2019-09-11 | 2019-10-10 | $16.47 | $16.32 | 3.61% | 22 | |
| 2019-06-18 | 2019-08-06 | $14.98 | $15.38 | 2.91% | 35 | |
| 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 | |
| 2018-11-01 | 2018-12-19 | $22.95 | $22.20 | 1.88% | 33 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-05-10 | 2018-05-16 | $20.33 | $19.10 | -6.53% | 5 | |
| 2018-02-27 | 2018-03-01 | $23.40 | $22.06 | -1.74% | 3 | |
| 2018-01-18 | 2018-02-07 | $22.97 | $23.00 | -3.99% | 15 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-14 | 2017-09-26 | $25.18 | $23.02 | -5.99% | 9 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -3.39% | 26 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 14.29% | 42 | |
| 2016-12-14 | 2017-02-28 | $13.25 | $16.67 | 24.02% | 51 | |
| 2016-07-12 | 2016-08-17 | $14.98 | $14.88 | 0.44% | 27 | |
| 2016-06-09 | 2016-06-23 | $15.29 | $13.09 | -16.67% | 11 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 14.54% | 42 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -2.57% | 19 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -2.91% | 3 | |
| 2015-09-17 | 2015-09-30 | $17.47 | $16.56 | -5.79% | 10 | |
| 2015-04-07 | 2015-07-27 | $13.55 | $16.87 | 30.42% | 78 | |
| 2015-02-04 | 2015-02-25 | $14.57 | $13.58 | -6.71% | 15 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.93% | 14 | |
| 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 | 2014-03-26 | $11.90 | $14.20 | 21.07% | 45 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 27.35% | 82 | |
| 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 | 2012-12-31 | $2.09 | $2.26 | 4.88% | 32 | |
| 2012-09-18 | 2012-09-24 | $2.09 | $2.04 | -7.93% | 5 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-01-27 | 2012-04-10 | $1.96 | $2.16 | 5.58% | 51 |