Breakout20_V0392

ARCHIVEDbreakout

llmAdded confirmation filters: require either positive sma_50_slope or macd_hist and elevated rel_volume to reduce false breakouts. Introduced volatility-based emergency exit (vol_pctile>0.90) alongside existing sma_20 cross to cut large fast moves. Added regime gates to avoid entries in high-volatility or bubble/extreme states (allow only UPTREND/SIDEWAYS and LOW/MEDIUM volatility, bubble NORMAL). Reduced base position to 0.6 to lower drawdown and improve robustness.

Fitness

0.1194

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

Breakout20_V0320S0320 · gen 15ARCHIVEDllm

removed entry condition: vol_chg < 1.2007; changed dist_sma_20 threshold -0.0187 -> -0.1165

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0392  [breakout]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (breakout_20 == 1 and dist_sma_20 > -0.1165 and (sma_50_slope > 0.0 or macd_hist > 0.0) and rel_volume > 1.0):
    position = 0.6
if long and (close < sma_20 or vol_pctile > 0.9):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.7%	3.7%	2.7%	-0.1%
Total Return	-19.6%	11.4%	10.5%	-1.0%
Sharpe	-0.25	0.37	0.29	0.05
Sortino	-0.13	0.21	0.17	0.02
Calmar	-0.08	0.26	0.17	-0.00
Volatility	9.2%	11.5%	11.6%	10.3%
Max DD	-32.1%	-14.2%	-15.8%	-32.1%
Win Rate	31.0%	25.0%	40.0%	32.7%
Avg Win	4.9%	11.8%	7.2%	6.5%
Avg Loss	-3.1%	-1.8%	-3.3%	-3.0%
Payoff	1.55	6.52	2.18	2.20
Expectancy	-0.7%	1.6%	0.9%	0.1%
Profit Factor	0.70	2.17	1.45	1.07
Trades	29	8	15	52
Avg Holding Days	11.0	15.4	10.6	11.6
Turnover	4.4	3.2	4.9	4.3
Exposure	8.6%	9.1%	9.3%	8.9%

Growth of $100

Breakout20_V0392 vs TSLA Buy & Hold

Breakout20_V0392 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	-11.4%	-1.59	-11.5%	5
2017	10.8%	1.89	-3.3%	3
2018	-4.2%	-0.75	-5.4%	2
2019	-1.9%	-0.05	-14.5%	4
2020	0.0%	0.00	0.0%	0
2021	12.6%	0.81	-10.3%	5
2022	-1.0%	-0.03	-14.2%	3

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	267	-2.2%	-1.40	0%
hidden test	EXPENSIVE	83	13.0%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-6.3%	-0.77	1%
hidden test	LOW VOLATILITY	429	13.5%	1.08	15%
hidden test	MEDIUM VOLATILITY	248	-4.2%	-0.33	8%
hidden test	NORMAL	800	2.6%	0.21	11%
hidden test	SIDEWAYS	293	-7.5%	-0.64	16%
hidden test	UPTREND	371	15.9%	1.06	10%
train	DOWNTREND	518	-2.7%	-1.15	0%
train	EXPENSIVE	311	5.4%	1.36	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.9%	0.23	0%
train	LOW VOLATILITY	745	4.7%	0.49	18%
train	MEDIUM VOLATILITY	568	-16.6%	-1.71	7%
train	NORMAL	1,601	-3.9%	-0.39	11%
train	SIDEWAYS	592	-14.3%	-1.36	9%
train	UPTREND	902	5.8%	0.54	13%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-7.1%	-1.00	0%
validation	LOW VOLATILITY	183	3.2%	0.30	21%
validation	MEDIUM VOLATILITY	315	14.2%	0.97	9%
validation	NORMAL	474	6.8%	0.47	15%
validation	SIDEWAYS	206	4.5%	0.33	14%
validation	UPTREND	425	5.4%	0.45	10%

Trades (full period)

52 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-02	$428.35	$423.74	0.62%	17
2026-04-20	2026-04-21	$392.50	$386.42	-1.34%	2
2025-12-15	2025-12-30	$475.31	$454.43	0.06%	11
2025-09-12	2025-09-15	$395.94	$410.04	4.29%	2
2025-08-26	2025-09-03	$351.67	$334.09	-3.11%	6
2025-08-12	2025-08-21	$340.84	$320.11	-2.80%	8
2025-05-12	2025-05-13	$318.38	$334.07	3.93%	2
2024-09-24	2024-10-08	$254.27	$244.50	-2.26%	11
2024-09-06	2024-09-09	$210.73	$216.27	-5.18%	2
2024-06-18	2024-07-12	$184.86	$248.23	16.56%	17
2023-12-15	2024-01-04	$253.50	$237.93	-3.08%	13
2023-11-16	2023-12-13	$233.59	$239.29	-1.49%	19
2023-09-12	2023-09-22	$267.48	$244.88	-4.05%	9
2023-05-31	2023-07-21	$203.93	$260.02	17.83%	36
2023-04-03	2023-04-06	$194.77	$185.06	-6.54%	4
2022-09-20	2022-09-23	$308.73	$275.33	-4.12%	4
2022-08-02	2022-08-23	$300.59	$296.45	-1.47%	16
2022-03-21	2022-04-12	$307.05	$328.98	4.77%	17
2021-09-27	2021-11-10	$263.79	$355.98	18.78%	33
2021-08-31	2021-09-21	$245.24	$246.46	-0.14%	15
2021-08-02	2021-08-17	$236.56	$221.90	-0.16%	12
2021-06-24	2021-07-15	$226.61	$216.87	-0.33%	15
2021-04-14	2021-04-28	$244.08	$231.47	-4.63%	11
2019-12-13	2019-12-17	$23.89	$25.27	3.52%	3
2019-10-15	2019-10-25	$17.19	$21.88	9.89%	9
2019-09-12	2019-09-25	$16.39	$15.25	-5.95%	10
2019-07-25	2019-07-26	$15.25	$15.20	-8.28%	2
2018-12-04	2018-12-18	$23.98	$22.47	-1.76%	10
2018-01-18	2018-02-06	$22.97	$22.26	-2.51%	14
2017-12-12	2017-12-26	$22.74	$21.15	-0.76%	10
2017-03-27	2017-03-28	$18.01	$18.50	1.49%	2
2016-12-28	2017-01-25	$14.65	$16.96	9.25%	19
2016-10-04	2016-10-06	$14.09	$13.40	-1.59%	3
2016-07-26	2016-08-09	$15.30	$15.27	-1.11%	11
2016-06-08	2016-06-13	$15.70	$14.52	-3.62%	4
2016-04-05	2016-04-29	$17.03	$16.05	0.14%	19
2016-03-22	2016-03-24	$15.62	$15.18	-4.10%	3
2015-12-31	2016-01-05	$16.00	$14.90	-3.80%	3
2015-09-22	2015-09-29	$17.40	$16.44	-3.72%	6
2015-07-21	2015-07-22	$17.78	$17.86	-3.41%	2
2015-04-28	2015-07-09	$15.37	$17.19	6.01%	51
2014-11-12	2014-11-24	$16.61	$16.45	-2.07%	9
2014-08-04	2014-09-16	$15.90	$17.38	5.33%	31
2014-06-17	2014-07-08	$15.44	$14.60	-0.57%	15
2013-01-03	2013-01-09	$2.32	$2.24	-2.99%	5
2012-11-06	2012-12-24	$2.08	$2.29	4.70%	34
2012-09-18	2012-09-21	$2.09	$2.00	-3.16%	4
2012-07-17	2012-07-19	$2.22	$2.15	-6.53%	3
2012-06-19	2012-06-25	$2.14	$2.21	3.60%	5
2012-03-27	2012-04-05	$2.53	$2.30	-3.91%	8
2012-03-13	2012-03-23	$2.41	$2.27	-2.81%	9
2012-02-15	2012-03-07	$2.24	$2.21	-0.19%	15