Strategy Zoo / S0760

Breakout20_V0760

ARCHIVEDhybrid

crossoverlogic of Breakout20_V0692 with risk overlay of PriceMomentum_V0564

Fitness

0.5598

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

PriceMomentum_V0564S0564 · gen 26ARCHIVEDcrossover

entry from PriceMomentum_V0557, exit from PriceMomentum_V0361

Breakout20_V0692S0692 · gen 32ARCHIVEDcrossover

entry from Breakout20_V0374, exit from LongTermTrend_V0519

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0760  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
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 == "MEDIUM_VOLATILITY": position *= 0.55

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.0%	60.0%	24.2%	28.6%
Total Return	327.6%	309.5%	124.0%	3938.0%
Sharpe	0.85	1.34	0.93	0.99
Sortino	0.74	1.18	0.68	0.81
Calmar	0.37	1.71	0.76	0.53
Volatility	25.0%	41.5%	27.4%	29.7%
Max DD	-54.4%	-35.0%	-32.1%	-54.4%
Win Rate	41.9%	46.7%	53.8%	45.8%
Avg Win	21.9%	34.4%	20.2%	26.3%
Avg Loss	-5.1%	-6.6%	-7.1%	-5.8%
Payoff	4.32	5.20	2.86	4.52
Expectancy	6.2%	12.5%	7.6%	8.9%
Profit Factor	3.12	4.55	3.34	3.81
Trades	31	15	13	59
Avg Holding Days	18.8	21.1	17.0	19.6
Turnover	9.6	10.3	8.7	9.4
Exposure	26.7%	32.3%	21.4%	26.5%

Growth of $100

Breakout20_V0760 vs TSLA Buy & Hold

Breakout20_V0760 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	23.5%	2.22	-5.1%	3
2017	2.4%	0.22	-19.3%	5
2018	-27.1%	-2.20	-27.0%	6
2019	13.8%	0.69	-22.6%	4
2020	268.9%	2.33	-33.8%	5
2021	65.7%	2.20	-10.3%	3
2022	-34.7%	-2.55	-34.6%	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	272	28.5%	1.18	17%
hidden test	EXPENSIVE	83	23.5%	0.64	47%
hidden test	EXTREME	48	172.7%	3.20	62%
hidden test	HIGH VOLATILITY	254	40.0%	1.05	28%
hidden test	LOW VOLATILITY	432	40.2%	1.93	19%
hidden test	MEDIUM VOLATILITY	250	-14.7%	-0.61	18%
hidden test	NORMAL	805	16.9%	0.71	16%
hidden test	SIDEWAYS	293	-5.0%	-0.52	1%
hidden test	UPTREND	371	47.3%	1.27	41%
train	DOWNTREND	518	7.2%	0.61	11%
train	EXPENSIVE	311	24.3%	0.79	55%
train	EXTREME	100	389.8%	5.44	91%
train	HIGH VOLATILITY	699	36.5%	1.11	24%
train	LOW VOLATILITY	745	27.2%	1.31	38%
train	MEDIUM VOLATILITY	568	-5.4%	-0.31	14%
train	NORMAL	1,601	-2.4%	-0.15	17%
train	SIDEWAYS	592	-5.0%	-0.74	2%
train	UPTREND	902	46.5%	1.30	52%
validation	DOWNTREND	125	2.8%	0.31	3%
validation	EXPENSIVE	138	25.0%	0.57	32%
validation	EXTREME	144	264.2%	3.49	72%
validation	HIGH VOLATILITY	258	68.6%	1.09	40%
validation	LOW VOLATILITY	183	34.5%	1.69	36%
validation	MEDIUM VOLATILITY	315	57.3%	2.23	24%
validation	NORMAL	474	1.2%	0.06	20%
validation	SIDEWAYS	206	-10.6%	-1.20	3%
validation	UPTREND	425	103.2%	1.89	55%

Trades (full period)

60 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.88%	24	OPEN
2026-07-02	2026-07-06	$393.45	$419.77	-4.23%	2
2025-12-08	2026-01-05	$439.58	$451.67	-3.92%	19
2025-10-29	2025-11-13	$461.51	$401.99	-5.96%	12
2025-09-12	2025-10-23	$395.94	$448.98	16.12%	30
2025-05-28	2025-06-06	$356.90	$295.14	-13.72%	8
2025-04-28	2025-05-02	$285.88	$287.21	-1.75%	5
2024-11-08	2025-01-13	$321.22	$403.31	30.21%	43
2024-09-06	2024-09-27	$210.73	$260.46	8.66%	16
2024-07-02	2024-08-02	$231.26	$207.67	1.32%	23
2024-02-29	2024-03-07	$201.88	$178.65	-12.80%	6
2023-06-02	2023-07-24	$213.97	$269.06	27.66%	35
2023-05-19	2023-05-31	$180.14	$203.93	13.50%	8
2023-01-24	2023-02-10	$143.89	$196.89	43.93%	14
2022-09-20	2022-09-23	$308.73	$275.33	-6.81%	4
2022-08-16	2022-08-22	$306.56	$289.91	-3.37%	5
2022-08-05	2022-08-08	$288.17	$290.42	-3.75%	2
2022-07-22	2022-08-02	$272.24	$300.59	5.07%	8
2022-07-11	2022-07-12	$234.34	$233.07	-3.71%	2
2022-04-05	2022-04-21	$363.75	$336.26	-8.31%	12
2022-01-04	2022-01-20	$383.20	$332.09	-18.67%	12
2021-08-31	2021-12-01	$245.24	$365.00	57.71%	65
2021-08-05	2021-08-23	$238.21	$235.43	-4.50%	13
2020-11-24	2021-02-09	$185.13	$283.15	32.96%	52
2020-10-15	2020-10-20	$149.63	$140.65	-3.78%	4
2020-08-17	2020-09-24	$122.38	$129.26	6.06%	28
2020-05-22	2020-08-10	$54.46	$94.57	57.71%	55
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-11-11	2020-03-04	$23.01	$49.97	102.03%	78
2019-10-14	2019-10-15	$17.13	$17.19	1.90%	2
2019-06-18	2019-07-22	$14.98	$17.05	13.28%	24
2019-04-04	2019-04-05	$17.85	$18.33	-8.43%	2
2019-01-18	2019-01-22	$20.15	$19.93	-13.16%	2
2018-12-04	2018-12-19	$23.98	$22.20	-2.27%	11
2018-11-19	2018-11-20	$23.56	$23.17	-0.44%	2
2018-06-15	2018-07-05	$23.88	$20.61	-13.27%	14
2018-05-10	2018-05-16	$20.33	$19.10	-5.12%	5
2018-02-27	2018-03-01	$23.40	$22.06	-4.21%	3
2018-02-01	2018-02-06	$23.28	$22.26	-4.82%	4
2017-09-18	2017-09-26	$25.67	$23.02	-7.13%	7
2017-08-04	2017-08-22	$23.79	$22.76	-2.69%	13
2017-05-31	2017-07-06	$22.73	$20.59	-2.77%	26
2017-03-27	2017-05-24	$18.01	$20.68	5.76%	42
2017-01-05	2017-02-28	$15.12	$16.67	10.19%	37
2016-12-14	2016-12-28	$13.25	$14.65	9.61%	10
2016-07-26	2016-08-17	$15.30	$14.88	-2.98%	17
2016-03-04	2016-03-21	$13.40	$15.89	16.17%	12
2015-05-12	2015-07-27	$16.32	$16.87	13.75%	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	11.22%	43
2013-06-27	2013-10-22	$7.28	$11.44	60.29%	82
2013-04-17	2013-06-26	$3.03	$7.05	131.76%	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	-2.41%	19
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2