Strategy Zoo / S0702
Breakout20_V0702
ARCHIVEDbreakoutstructuralremoved entry condition: breakout_20 == 1
Fitness
0.4498
Generation
32
Complexity
5
Created
2026-09-25
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0702 [breakout]
if flat and (dist_sma_20 > -0.0187 and vol_chg < 1.2007):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.3% | 77.3% | 15.2% | 15.9% |
| Total Return | -9.6% | 457.6% | 68.8% | 775.7% |
| Sharpe | 0.11 | 1.66 | 0.60 | 0.62 |
| Sortino | 0.11 | 2.23 | 0.71 | 0.69 |
| Calmar | -0.02 | 2.07 | 0.50 | 0.27 |
| Volatility | 30.2% | 39.1% | 31.8% | 32.6% |
| Max DD | -58.1% | -37.4% | -30.5% | -58.1% |
| Win Rate | 25.1% | 30.6% | 19.5% | 24.8% |
| Avg Win | 7.2% | 18.5% | 12.8% | 11.4% |
| Avg Loss | -2.3% | -2.6% | -2.0% | -2.3% |
| Payoff | 3.10 | 7.21 | 6.54 | 5.01 |
| Expectancy | 0.1% | 3.9% | 0.9% | 1.1% |
| Profit Factor | 1.04 | 3.19 | 1.58 | 1.66 |
| Trades | 187 | 62 | 77 | 326 |
| Avg Holding Days | 7.4 | 8.5 | 7.9 | 7.8 |
| Turnover | 40.7 | 34.3 | 35.4 | 38.0 |
| Exposure | 45.7% | 47.9% | 45.9% | 46.2% |
Growth of $100
Breakout20_V0702 vs TSLA Buy & Hold
Breakout20_V0702 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 | 6.0% | 0.39 | -25.9% | 23 |
| 2017 | 1.3% | 0.18 | -27.6% | 28 |
| 2018 | -19.6% | -1.00 | -26.2% | 27 |
| 2019 | 9.3% | 0.43 | -27.5% | 21 |
| 2020 | 337.3% | 3.62 | -25.4% | 13 |
| 2021 | 44.3% | 1.17 | -28.5% | 23 |
| 2022 | -25.3% | -0.73 | -33.6% | 26 |
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 | 13.4% | 0.53 | 35% |
| hidden test | EXPENSIVE | 83 | 36.5% | 0.94 | 58% |
| hidden test | EXTREME | 48 | 61.0% | 1.78 | 33% |
| hidden test | HIGH VOLATILITY | 254 | 0.9% | 0.04 | 19% |
| hidden test | LOW VOLATILITY | 431 | 47.8% | 1.56 | 55% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.7% | -0.30 | 57% |
| hidden test | NORMAL | 804 | 14.9% | 0.48 | 45% |
| hidden test | SIDEWAYS | 293 | -13.9% | -0.44 | 54% |
| hidden test | UPTREND | 371 | 49.4% | 1.38 | 48% |
| train | DOWNTREND | 518 | -36.0% | -1.35 | 32% |
| train | EXPENSIVE | 311 | 25.4% | 0.73 | 52% |
| train | EXTREME | 100 | 156.0% | 4.46 | 50% |
| train | HIGH VOLATILITY | 699 | -2.0% | -0.06 | 20% |
| train | LOW VOLATILITY | 745 | 32.6% | 1.21 | 66% |
| train | MEDIUM VOLATILITY | 568 | -28.5% | -0.89 | 51% |
| train | NORMAL | 1,601 | -10.5% | -0.37 | 44% |
| train | SIDEWAYS | 592 | 4.4% | 0.17 | 42% |
| train | UPTREND | 902 | 25.2% | 0.74 | 56% |
| validation | DOWNTREND | 125 | 12.1% | 0.46 | 21% |
| validation | EXPENSIVE | 138 | 64.0% | 1.44 | 60% |
| validation | EXTREME | 144 | 235.8% | 5.38 | 44% |
| validation | HIGH VOLATILITY | 258 | 32.0% | 0.94 | 19% |
| validation | LOW VOLATILITY | 183 | 40.8% | 1.47 | 67% |
| validation | MEDIUM VOLATILITY | 315 | 105.7% | 2.22 | 60% |
| validation | NORMAL | 474 | 13.2% | 0.37 | 46% |
| validation | SIDEWAYS | 206 | -8.7% | -0.27 | 45% |
| validation | UPTREND | 425 | 116.0% | 2.61 | 57% |
Trades (full period)
latest 100 of 327
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-17 | — | $366.20 | — | 6.05% | 6 | OPEN |
| 2026-08-14 | 2026-09-16 | $342.27 | $358.08 | 3.61% | 23 | |
| 2026-08-12 | 2026-08-13 | $327.51 | $339.96 | -0.54% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -0.93% | 3 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -1.92% | 3 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-04-15 | 2026-06-02 | $391.95 | $423.74 | 13.97% | 34 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-12 | 2026-03-13 | $395.01 | $391.20 | -3.34% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 2026-02-25 | 2026-02-27 | $417.40 | $402.51 | -0.39% | 3 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-11 | 2026-02-13 | $428.27 | $417.44 | -2.11% | 3 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-23 | 2026-01-27 | $449.06 | $430.90 | -3.34% | 3 | |
| 2025-11-28 | 2025-12-30 | $430.17 | $454.43 | 7.54% | 22 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-10-28 | 2025-11-10 | $460.55 | $445.23 | -5.25% | 10 | |
| 2025-10-20 | 2025-10-27 | $447.43 | $452.42 | -1.47% | 6 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-04 | 2025-10-13 | $338.53 | $435.90 | 23.52% | 28 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -5.28% | 7 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.09% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.26% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -1.90% | 3 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -1.22% | 2 | |
| 2025-04-24 | 2025-06-05 | $259.51 | $284.70 | 9.63% | 30 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -1.54% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.06% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -2.24% | 2 | |
| 2025-03-25 | 2025-04-07 | $288.14 | $233.29 | -4.23% | 10 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.48% | 2 | |
| 2025-01-21 | 2025-01-23 | $424.07 | $412.38 | -0.86% | 3 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -1.07% | 2 | |
| 2024-10-30 | 2025-01-02 | $257.55 | $379.28 | 18.80% | 44 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-09-10 | 2024-10-08 | $226.17 | $244.50 | 8.00% | 21 | |
| 2024-09-03 | 2024-09-09 | $210.60 | $216.27 | -1.78% | 5 | |
| 2024-08-29 | 2024-08-30 | $206.28 | $214.11 | 0.02% | 2 | |
| 2024-08-26 | 2024-08-28 | $213.21 | $205.75 | -1.58% | 3 | |
| 2024-08-16 | 2024-08-23 | $216.12 | $220.32 | -0.50% | 6 | |
| 2024-06-13 | 2024-07-25 | $182.47 | $220.25 | 31.63% | 29 | |
| 2024-06-07 | 2024-06-11 | $177.48 | $170.66 | -2.53% | 3 | |
| 2024-06-05 | 2024-06-06 | $175.00 | $177.94 | -0.07% | 2 | |
| 2024-05-30 | 2024-06-04 | $178.79 | $174.77 | -0.14% | 4 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -0.48% | 2 | |
| 2024-04-25 | 2024-05-24 | $170.18 | $179.24 | 2.45% | 22 | |
| 2024-04-09 | 2024-04-15 | $176.88 | $161.48 | -1.31% | 5 | |
| 2024-04-05 | 2024-04-08 | $164.90 | $172.98 | -3.83% | 2 | |
| 2024-04-02 | 2024-04-03 | $166.63 | $168.38 | -5.10% | 2 | |
| 2024-03-27 | 2024-04-01 | $179.83 | $175.22 | -1.25% | 3 | |
| 2024-02-16 | 2024-03-05 | $199.95 | $180.74 | -6.33% | 12 | |
| 2023-12-14 | 2024-01-04 | $251.05 | $237.93 | -0.55% | 14 | |
| 2023-11-13 | 2023-12-13 | $223.71 | $239.29 | 10.20% | 22 | |
| 2023-11-08 | 2023-11-09 | $222.11 | $209.98 | -0.23% | 2 | |
| 2023-10-17 | 2023-10-19 | $254.85 | $220.11 | -4.62% | 3 | |
| 2023-10-05 | 2023-10-16 | $260.05 | $253.92 | -4.04% | 8 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-07-25 | 2023-07-26 | $265.28 | $264.35 | -1.60% | 2 | |
| 2023-05-11 | 2023-07-21 | $172.08 | $260.02 | 55.68% | 49 | |
| 2023-05-08 | 2023-05-10 | $171.79 | $168.54 | -0.73% | 3 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.66% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-22 | 2023-04-06 | $191.15 | $185.06 | -6.29% | 12 | |
| 2023-03-06 | 2023-03-07 | $193.81 | $187.71 | -2.21% | 2 | |
| 2023-01-18 | 2023-03-03 | $128.78 | $197.79 | 5.92% | 32 | |
| 2022-12-01 | 2022-12-06 | $194.70 | $179.82 | -1.95% | 4 | |
| 2022-11-04 | 2022-11-07 | $207.47 | $197.08 | -3.84% | 2 | |
| 2022-10-31 | 2022-11-03 | $227.54 | $215.31 | -5.83% | 4 | |
| 2022-10-27 | 2022-10-28 | $225.09 | $228.52 | 0.00% | 2 | |
| 2022-09-29 | 2022-09-30 | $268.21 | $265.25 | -7.00% | 2 | |
| 2022-09-09 | 2022-09-23 | $299.68 | $275.33 | -0.43% | 11 | |
| 2022-08-24 | 2022-08-26 | $297.10 | $288.09 | -0.33% | 3 | |
| 2022-07-06 | 2022-08-23 | $231.73 | $296.45 | 22.98% | 35 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -0.57% | 6 | |
| 2022-06-16 | 2022-06-17 | $213.10 | $216.76 | -2.62% | 2 | |
| 2022-06-09 | 2022-06-13 | $239.71 | $215.74 | -1.26% | 3 | |
| 2022-06-07 | 2022-06-08 | $238.89 | $241.87 | 0.02% | 2 | |
| 2022-06-02 | 2022-06-06 | $258.33 | $238.28 | -1.46% | 3 | |
| 2022-05-31 | 2022-06-01 | $252.75 | $246.79 | -0.11% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -8.52% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-03-17 | 2022-04-12 | $290.53 | $328.98 | 15.92% | 19 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-03 | 2022-03-04 | $279.76 | $279.43 | -4.81% | 2 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-02-16 | 2022-02-18 | $307.80 | $285.66 | -5.19% | 3 |