Strategy Zoo / S0729
Breakout20_V0729
ARCHIVEDhybridparameterchanged ret_20d threshold -0.006 -> 0.0757
Fitness
0.6227
Generation
33
Complexity
6
Created
2026-09-25
Lineage
Parents (1)
entry from Breakout20_V0374, exit from LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0729 [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 < 0.0757:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.6% | 84.1% | 5.2% | 20.8% |
| Total Return | 108.0% | 524.0% | 20.7% | 1512.9% |
| Sharpe | 0.56 | 1.93 | 0.33 | 0.88 |
| Sortino | 0.40 | 2.10 | 0.24 | 0.71 |
| Calmar | 0.29 | 2.95 | 0.15 | 0.60 |
| Volatility | 19.8% | 34.8% | 25.4% | 25.0% |
| Max DD | -33.2% | -28.5% | -34.8% | -34.8% |
| Win Rate | 39.0% | 46.4% | 34.5% | 39.6% |
| Avg Win | 6.9% | 22.1% | 11.4% | 11.8% |
| Avg Loss | -2.6% | -3.0% | -4.1% | -3.0% |
| Payoff | 2.68 | 7.28 | 2.80 | 3.94 |
| Expectancy | 1.1% | 8.6% | 1.3% | 2.9% |
| Profit Factor | 1.71 | 6.31 | 1.48 | 2.57 |
| Trades | 77 | 28 | 29 | 134 |
| Avg Holding Days | 8.1 | 11.6 | 9.6 | 9.2 |
| Turnover | 17.8 | 18.3 | 15.9 | 17.3 |
| Exposure | 21.7% | 31.2% | 21.9% | 23.7% |
Growth of $100
Breakout20_V0729 vs TSLA Buy & Hold
Breakout20_V0729 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 | 16.5% | 1.08 | -15.2% | 6 |
| 2017 | 58.6% | 2.56 | -6.9% | 9 |
| 2018 | -18.5% | -2.38 | -18.4% | 12 |
| 2019 | -0.9% | 0.08 | -14.4% | 9 |
| 2020 | 437.4% | 3.91 | -14.9% | 6 |
| 2021 | 22.5% | 0.81 | -20.3% | 15 |
| 2022 | -9.1% | -0.33 | -24.4% | 7 |
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 | 20.7% | 1.31 | 11% |
| hidden test | EXPENSIVE | 83 | 36.1% | 1.06 | 40% |
| hidden test | EXTREME | 48 | 92.6% | 2.51 | 35% |
| hidden test | HIGH VOLATILITY | 254 | -12.6% | -0.47 | 14% |
| hidden test | LOW VOLATILITY | 431 | 41.1% | 1.87 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.0% | -0.93 | 27% |
| hidden test | NORMAL | 804 | 0.4% | 0.02 | 19% |
| hidden test | SIDEWAYS | 293 | -41.8% | -1.78 | 19% |
| hidden test | UPTREND | 371 | 38.8% | 1.23 | 31% |
| train | DOWNTREND | 518 | 5.0% | 0.51 | 8% |
| train | EXPENSIVE | 311 | 38.6% | 1.37 | 38% |
| train | EXTREME | 100 | 159.2% | 4.32 | 53% |
| train | HIGH VOLATILITY | 699 | 6.9% | 0.33 | 12% |
| train | LOW VOLATILITY | 745 | 21.2% | 1.21 | 32% |
| train | MEDIUM VOLATILITY | 568 | 3.2% | 0.15 | 20% |
| train | NORMAL | 1,601 | -3.4% | -0.22 | 17% |
| train | SIDEWAYS | 592 | -2.5% | -0.15 | 15% |
| train | UPTREND | 902 | 23.7% | 0.94 | 34% |
| validation | DOWNTREND | 125 | -7.7% | -0.55 | 5% |
| validation | EXPENSIVE | 138 | 111.5% | 2.52 | 49% |
| validation | EXTREME | 144 | 243.4% | 4.99 | 49% |
| validation | HIGH VOLATILITY | 258 | 51.4% | 1.49 | 18% |
| validation | LOW VOLATILITY | 183 | 11.8% | 0.62 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 111.9% | 2.71 | 44% |
| validation | NORMAL | 474 | 0.5% | 0.02 | 21% |
| validation | SIDEWAYS | 206 | 7.6% | 0.40 | 19% |
| validation | UPTREND | 425 | 117.9% | 2.70 | 45% |
Trades (full period)
latest 100 of 135
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | — | $380.12 | — | 0.22% | 2 | OPEN |
| 2026-08-24 | 2026-09-14 | $348.95 | $358.97 | 0.51% | 15 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 2.34% | 7 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 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 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -5.16% | 6 | |
| 2025-08-12 | 2025-08-14 | $340.84 | $335.58 | -0.10% | 3 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -9.96% | 19 | |
| 2025-04-28 | 2025-05-01 | $285.88 | $280.52 | -0.46% | 4 | |
| 2024-11-08 | 2025-01-08 | $321.22 | $394.94 | 16.23% | 41 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -0.15% | 11 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-27 | 2024-07-31 | $197.42 | $232.07 | 18.99% | 24 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-02-29 | 2024-03-04 | $201.88 | $188.14 | 0.10% | 3 | |
| 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 | |
| 2023-11-29 | 2023-12-05 | $244.14 | $238.72 | -4.71% | 5 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-18 | 2023-07-20 | $293.34 | $262.90 | 0.10% | 3 | |
| 2023-05-19 | 2023-07-14 | $180.14 | $281.38 | 56.79% | 38 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-01-24 | 2023-03-03 | $143.89 | $197.79 | 7.37% | 28 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-07-28 | 2022-08-26 | $280.90 | $288.09 | 7.52% | 22 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2022-03-21 | 2022-03-22 | $307.05 | $331.33 | 1.54% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -3.95% | 3 | |
| 2021-10-15 | 2021-11-26 | $281.01 | $360.64 | 26.58% | 30 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 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 | |
| 2021-08-13 | 2021-08-17 | $239.06 | $221.90 | -5.19% | 3 | |
| 2021-08-04 | 2021-08-09 | $236.97 | $237.92 | -1.70% | 4 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 3.07% | 2 | |
| 2021-06-29 | 2021-07-08 | $226.92 | $217.60 | -6.59% | 7 | |
| 2021-06-24 | 2021-06-28 | $226.61 | $229.57 | 2.13% | 3 | |
| 2021-04-14 | 2021-04-16 | $244.08 | $246.59 | -3.28% | 3 | |
| 2020-11-18 | 2021-02-08 | $162.21 | $287.81 | 92.61% | 55 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -2.89% | 2 | |
| 2020-08-17 | 2020-09-23 | $122.38 | $126.79 | 24.81% | 27 | |
| 2020-06-01 | 2020-08-05 | $59.87 | $99.00 | 58.42% | 47 | |
| 2020-05-22 | 2020-05-27 | $54.46 | $54.68 | -0.51% | 3 | |
| 2020-04-13 | 2020-05-18 | $43.40 | $54.24 | 15.55% | 26 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 73.13% | 51 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-11-11 | 2019-11-25 | $23.01 | $22.42 | -4.32% | 11 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -2.11% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.52% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 4.70% | 2 | |
| 2019-06-18 | 2019-07-26 | $14.98 | $15.20 | 2.96% | 28 | |
| 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 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.24% | 2 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-11-01 | 2018-11-26 | $22.95 | $23.07 | -1.40% | 17 | |
| 2018-06-14 | 2018-07-05 | $23.85 | $20.61 | -4.04% | 15 | |
| 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -2.15% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.24% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.95% | 2 | |
| 2017-12-12 | 2017-12-19 | $22.74 | $22.07 | 2.83% | 6 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-09-14 | 2017-09-15 | $25.18 | $25.32 | 2.91% | 2 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | -0.04% | 11 | |
| 2017-06-06 | 2017-06-30 | $23.52 | $24.11 | 3.66% | 19 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 0.64% | 2 | |
| 2017-05-11 | 2017-05-15 | $21.54 | $21.06 | 0.06% | 3 | |
| 2017-03-27 | 2017-05-03 | $18.01 | $20.73 | 18.38% | 27 | |
| 2016-12-19 | 2017-02-23 | $13.52 | $17.07 | 34.80% | 45 | |
| 2016-12-14 | 2016-12-16 | $13.25 | $13.50 | -0.49% | 3 | |
| 2016-07-21 | 2016-08-02 | $14.70 | $15.15 | 2.64% | 9 | |
| 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 | 2016-06-13 | $15.29 | $14.52 | -7.29% | 3 | |
| 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 | 2015-11-10 | $15.02 | $14.43 | -1.32% | 2 | |
| 2015-09-22 | 2015-09-28 | $17.40 | $16.56 | -2.95% | 5 | |
| 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 |