Strategy Zoo / S0708
Breakout20_V0708
ARCHIVEDbreakoutstructuraladded exit filter: cumret_252d > -0.4091
Fitness
0.2672
Generation
32
Complexity
6
Created
2026-09-25
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0942
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0708 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.0942):
position = 1.0
if long and (close < sma_20 or cumret_252d > -0.4091):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.9% | 20.3% | 6.1% | 4.9% |
| Total Return | -6.9% | 74.3% | 24.5% | 102.0% |
| Sharpe | -0.01 | 0.85 | 0.42 | 0.36 |
| Sortino | -0.01 | 0.55 | 0.23 | 0.20 |
| Calmar | -0.04 | 1.04 | 0.40 | 0.19 |
| Volatility | 12.0% | 25.6% | 17.7% | 17.1% |
| Max DD | -25.4% | -19.5% | -15.3% | -25.4% |
| Win Rate | 43.3% | 57.9% | 58.5% | 50.9% |
| Avg Win | 2.6% | 4.5% | 3.6% | 3.4% |
| Avg Loss | -2.0% | -3.5% | -3.8% | -2.7% |
| Payoff | 1.30 | 1.29 | 0.95 | 1.27 |
| Expectancy | -0.0% | 1.1% | 0.5% | 0.4% |
| Profit Factor | 0.99 | 1.77 | 1.33 | 1.32 |
| Trades | 104 | 57 | 53 | 214 |
| Avg Holding Days | 2.0 | 2.0 | 2.1 | 2.0 |
| Turnover | 26.1 | 38.0 | 28.6 | 29.1 |
| Exposure | 5.2% | 7.5% | 6.3% | 5.9% |
Growth of $100
Breakout20_V0708 vs TSLA Buy & Hold
Breakout20_V0708 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 | 4.1% | 0.63 | -3.5% | 9 |
| 2017 | 4.1% | 1.07 | -1.5% | 8 |
| 2018 | 9.7% | 1.09 | -3.3% | 11 |
| 2019 | -8.1% | -0.38 | -19.5% | 16 |
| 2020 | 71.1% | 1.55 | -19.5% | 34 |
| 2021 | 5.3% | 0.41 | -15.0% | 13 |
| 2022 | -3.5% | -0.22 | -8.0% | 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 | 271 | 8.3% | 0.45 | 5% |
| hidden test | EXPENSIVE | 83 | -25.6% | -1.35 | 14% |
| hidden test | EXTREME | 48 | 53.1% | 1.55 | 13% |
| hidden test | HIGH VOLATILITY | 254 | 16.2% | 0.65 | 9% |
| hidden test | LOW VOLATILITY | 431 | 16.6% | 1.59 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -17.2% | -0.92 | 8% |
| hidden test | NORMAL | 804 | 8.1% | 0.51 | 5% |
| hidden test | SIDEWAYS | 293 | -6.5% | -0.49 | 5% |
| hidden test | UPTREND | 371 | 17.9% | 0.89 | 8% |
| train | DOWNTREND | 518 | -1.8% | -0.49 | 2% |
| train | EXPENSIVE | 311 | 11.1% | 0.70 | 9% |
| train | EXTREME | 100 | 13.6% | 0.49 | 22% |
| train | HIGH VOLATILITY | 699 | 7.4% | 0.41 | 8% |
| train | LOW VOLATILITY | 745 | 0.4% | 0.08 | 5% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -1.23 | 2% |
| train | NORMAL | 1,601 | -3.2% | -0.34 | 3% |
| train | SIDEWAYS | 592 | -9.7% | -0.75 | 5% |
| train | UPTREND | 902 | 7.1% | 0.49 | 7% |
| validation | DOWNTREND | 125 | 4.1% | 1.35 | 2% |
| validation | EXPENSIVE | 138 | 47.7% | 2.28 | 9% |
| validation | EXTREME | 144 | 62.5% | 1.24 | 18% |
| validation | HIGH VOLATILITY | 258 | 32.2% | 0.87 | 8% |
| validation | LOW VOLATILITY | 183 | 1.9% | 0.26 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 24.6% | 1.21 | 9% |
| validation | NORMAL | 474 | 1.7% | 0.14 | 4% |
| validation | SIDEWAYS | 206 | -7.4% | -0.56 | 5% |
| validation | UPTREND | 425 | 41.0% | 1.25 | 10% |
Trades (full period)
latest 100 of 214
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 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 | -0.05% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 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 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 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 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -10.76% | 4 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-24 | 2023-01-31 | $143.89 | $173.22 | 15.71% | 6 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-24 | 2022-03-25 | $337.97 | $336.88 | 1.28% | 2 | |
| 2022-03-22 | 2022-03-23 | $331.33 | $333.04 | 7.70% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.35% | 2 | |
| 2021-06-25 | 2021-06-28 | $223.96 | $229.57 | -1.37% | 2 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 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 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-27 | 2020-08-28 | $149.25 | $147.56 | 3.77% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -4.74% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -3.13% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-06-02 | 2020-06-03 | $58.77 | $58.86 | -2.04% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-04-30 | 2020-05-01 | $52.13 | $46.75 | -2.52% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.91% | 2 | |
| 2020-04-17 | 2020-04-20 | $50.26 | $49.76 | 0.96% | 2 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 |