Strategy Zoo / S0752
Breakout20_V0752
ARCHIVEDhybridstructuralchanged dist_sma_20 threshold -0.121 -> -0.1724; restricted to trend regimes ['DOWNTREND', 'UPTREND']
Fitness
0.5524
Generation
34
Complexity
7
Created
2026-09-25
Lineage
Parents (1)
entry from Breakout20_V0374, exit from LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0752 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (breakout_20 == 1 and dist_sma_20 > -0.1724 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 | 11.3% | 69.6% | 12.9% | 22.0% |
| Total Return | 135.0% | 387.8% | 56.6% | 1748.5% |
| Sharpe | 0.62 | 1.73 | 0.61 | 0.91 |
| Sortino | 0.45 | 1.82 | 0.40 | 0.72 |
| Calmar | 0.22 | 1.70 | 0.34 | 0.44 |
| Volatility | 21.0% | 33.9% | 25.1% | 25.2% |
| Max DD | -50.4% | -41.0% | -37.7% | -50.4% |
| Win Rate | 41.9% | 46.7% | 53.8% | 45.8% |
| Avg Win | 13.3% | 38.4% | 15.2% | 21.7% |
| Avg Loss | -4.8% | -7.0% | -8.9% | -6.1% |
| Payoff | 2.75 | 5.47 | 1.70 | 3.53 |
| Expectancy | 2.8% | 14.2% | 4.1% | 6.6% |
| Profit Factor | 1.99 | 4.79 | 1.99 | 2.98 |
| Trades | 31 | 15 | 13 | 59 |
| Avg Holding Days | 18.8 | 21.1 | 17.0 | 19.6 |
| Turnover | 8.2 | 10.4 | 7.3 | 8.3 |
| Exposure | 24.0% | 31.8% | 20.2% | 24.6% |
Growth of $100
Breakout20_V0752 vs TSLA Buy & Hold
Breakout20_V0752 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 | 18.3% | 2.03 | -5.2% | 3 |
| 2017 | 6.6% | 0.39 | -24.1% | 5 |
| 2018 | -23.8% | -2.51 | -23.7% | 6 |
| 2019 | 25.3% | 1.30 | -14.4% | 4 |
| 2020 | 318.7% | 3.45 | -15.4% | 5 |
| 2021 | 63.9% | 1.71 | -18.2% | 3 |
| 2022 | -31.8% | -1.86 | -31.7% | 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 | 13.8% | 0.75 | 15% |
| hidden test | EXPENSIVE | 83 | 36.9% | 0.98 | 54% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -10.7% | -0.41 | 14% |
| hidden test | LOW VOLATILITY | 431 | 43.1% | 2.04 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -6.3% | -0.21 | 28% |
| hidden test | NORMAL | 804 | 8.4% | 0.37 | 16% |
| hidden test | SIDEWAYS | 293 | -15.4% | -0.99 | 2% |
| hidden test | UPTREND | 371 | 40.6% | 1.20 | 39% |
| train | DOWNTREND | 518 | 5.0% | 0.43 | 11% |
| train | EXPENSIVE | 311 | 31.6% | 0.93 | 51% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 10.7% | 0.52 | 11% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.30 | 39% |
| train | MEDIUM VOLATILITY | 568 | -2.8% | -0.13 | 20% |
| train | NORMAL | 1,601 | -2.6% | -0.18 | 17% |
| train | SIDEWAYS | 592 | -2.4% | -0.40 | 2% |
| train | UPTREND | 902 | 27.5% | 0.93 | 46% |
| validation | DOWNTREND | 125 | 5.1% | 0.31 | 6% |
| validation | EXPENSIVE | 138 | 63.6% | 1.52 | 49% |
| validation | EXTREME | 144 | 246.5% | 5.11 | 48% |
| validation | HIGH VOLATILITY | 258 | 44.7% | 1.30 | 18% |
| validation | LOW VOLATILITY | 183 | 33.2% | 1.62 | 37% |
| validation | MEDIUM VOLATILITY | 315 | 84.5% | 2.16 | 40% |
| validation | NORMAL | 474 | -0.0% | -0.00 | 22% |
| validation | SIDEWAYS | 206 | -14.7% | -1.57 | 3% |
| validation | UPTREND | 425 | 109.7% | 2.52 | 53% |
Trades (full period)
60 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 | |
| 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 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 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 | 2024-09-27 | $210.73 | $260.46 | 5.85% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 10.25% | 23 | |
| 2024-02-29 | 2024-03-07 | $201.88 | $178.65 | -12.80% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 16.57% | 14 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -5.26% | 12 | |
| 2021-08-31 | 2021-12-01 | $245.24 | $365.00 | 45.37% | 65 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 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 | |
| 2020-05-22 | 2020-08-10 | $54.46 | $94.57 | 59.31% | 55 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 9.22% | 13 | |
| 2019-11-11 | 2020-03-04 | $23.01 | $49.97 | 99.17% | 78 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 3.46% | 2 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 16.17% | 24 | |
| 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 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -6.17% | 11 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.18% | 2 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -5.50% | 14 | |
| 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 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 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 10.25% | 12 | |
| 2015-05-12 | 2015-07-27 | $16.32 | $16.87 | 10.60% | 53 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-02-04 | 2015-02-25 | $14.57 | $13.58 | -6.71% | 15 | |
| 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 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 19.73% | 43 | |
| 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 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-14 | 2012-04-10 | $2.35 | $2.16 | -8.33% | 19 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |