Breakout20_V0393

ARCHIVEDbreakout

llmMade strategy regime-aware and added momentum confirmation and stronger risk exits: (1) require breakout_20 plus positive volume (rel_volume>1.2) and proximity to 20SMA; (2) add momentum confirmation (sma_50_slope>0 OR macd_hist>0) to reduce false breakouts; (3) broaden exits to include a fixed drawdown stop (8%) and a short-term loss (5d<-6%) in addition to close < sma_20; (4) add regime gates to allow only UPTREND/SIDEWAYS, avoid HIGH volatility and expensive bubble states; (5) lower base position to 0.7 and add volatility-based scaling (LOW=1.0, MED=0.6, HIGH=0.3) to reduce risk and improve walk-forward robustness.

Fitness

0.1794

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

Breakout20_V0324S0324 · gen 15ARCHIVEDllm

reduce exposure to 30% during HIGH_VOLATILITY; swapped indicator vol_chg -> rel_volume

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0393  [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 > -0.02 and rel_volume > 1.2 and (sma_50_slope > 0.0 or macd_hist > 0.0)):
    position = 0.7
if long and (close < sma_20 or drawdown > 0.08 or ret_5d < -0.06):
    position = 0.0  # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.4%	5.9%	2.7%	1.1%
Total Return	-10.7%	18.9%	10.3%	17.0%
Sharpe	-0.10	0.63	0.32	0.16
Sortino	-0.05	0.38	0.15	0.08
Calmar	-0.05	0.72	0.16	0.04
Volatility	9.6%	9.9%	9.9%	9.7%
Max DD	-29.6%	-8.3%	-16.4%	-29.6%
Win Rate	25.0%	28.6%	40.0%	29.3%
Avg Win	7.3%	12.8%	8.9%	8.7%
Avg Loss	-2.9%	-1.2%	-3.8%	-2.8%
Payoff	2.52	10.00	2.32	3.13
Expectancy	-0.3%	2.8%	1.3%	0.6%
Profit Factor	0.84	4.27	1.55	1.30
Trades	24	7	10	41
Avg Holding Days	12.3	15.9	8.4	12.0
Turnover	3.9	2.7	3.3	3.5
Exposure	8.5%	8.0%	5.0%	7.5%

Growth of $100

Breakout20_V0393 vs TSLA Buy & Hold

Breakout20_V0393 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	-8.2%	-1.47	-10.9%	3
2017	10.0%	1.65	-3.7%	2
2018	-2.2%	-0.45	-3.9%	2
2019	-6.0%	-0.29	-16.3%	3
2020	0.0%	0.00	0.0%	0
2021	16.7%	1.08	-7.3%	5
2022	1.9%	0.28	-8.3%	2

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	-0.9%	-1.02	0%
hidden test	EXPENSIVE	83	15.2%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-7.2%	-1.43	0%
hidden test	LOW VOLATILITY	429	9.6%	0.80	9%
hidden test	MEDIUM VOLATILITY	248	2.5%	0.27	3%
hidden test	NORMAL	800	2.1%	0.20	6%
hidden test	SIDEWAYS	293	-10.1%	-1.14	7%
hidden test	UPTREND	371	16.5%	1.23	7%
train	DOWNTREND	518	-1.3%	-1.12	0%
train	EXPENSIVE	311	1.2%	0.86	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.7%	0.18	0%
train	LOW VOLATILITY	745	5.7%	0.54	19%
train	MEDIUM VOLATILITY	568	-13.0%	-1.60	5%
train	NORMAL	1,601	-1.4%	-0.13	11%
train	SIDEWAYS	592	-14.1%	-1.30	9%
train	UPTREND	902	7.9%	0.70	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	-5.0%	-1.00	0%
validation	LOW VOLATILITY	183	14.4%	1.27	22%
validation	MEDIUM VOLATILITY	315	10.7%	0.90	6%
validation	NORMAL	474	10.0%	0.80	13%
validation	SIDEWAYS	206	6.1%	0.58	11%
validation	UPTREND	425	8.2%	0.74	9%

Trades (full period)

41 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-05-19	$433.45	$404.11	-5.66%	6
2026-04-20	2026-04-21	$392.50	$386.42	-0.93%	2
2025-12-15	2025-12-30	$475.31	$454.43	0.04%	11
2025-09-12	2025-09-15	$395.94	$410.04	5.01%	2
2024-09-06	2024-09-09	$210.73	$216.27	-3.63%	2
2024-06-18	2024-07-12	$184.86	$248.23	18.10%	17
2023-12-15	2024-01-04	$253.50	$237.93	-3.61%	13
2023-09-12	2023-09-22	$267.48	$244.88	-2.84%	9
2023-06-01	2023-06-27	$207.52	$250.21	12.48%	18
2023-04-03	2023-04-06	$194.77	$185.06	-6.33%	4
2022-08-02	2022-08-12	$300.59	$300.03	-1.50%	9
2022-03-21	2022-04-12	$307.05	$328.98	3.41%	17
2021-09-27	2021-11-10	$263.79	$355.98	22.13%	33
2021-09-01	2021-09-21	$244.70	$246.46	-0.63%	14
2021-08-02	2021-08-17	$236.56	$221.90	-0.20%	12
2021-06-24	2021-07-15	$226.61	$216.87	-0.41%	15
2021-04-14	2021-04-28	$244.08	$231.47	-3.24%	11
2019-10-15	2019-10-25	$17.19	$21.88	11.69%	9
2019-09-12	2019-09-25	$16.39	$15.25	-6.80%	10
2019-07-25	2019-07-26	$15.25	$15.20	-9.66%	2
2018-12-04	2018-12-18	$23.98	$22.47	-0.51%	10
2018-01-18	2018-02-06	$22.97	$22.26	-1.74%	14
2017-12-12	2017-12-26	$22.74	$21.15	-1.61%	10
2016-12-28	2017-01-25	$14.65	$16.96	10.82%	19
2016-10-04	2016-10-06	$14.09	$13.40	-1.86%	3
2016-06-08	2016-06-13	$15.70	$14.52	-4.22%	4
2016-04-05	2016-04-29	$17.03	$16.05	-0.35%	19
2015-12-31	2016-01-05	$16.00	$14.90	-4.44%	3
2015-09-22	2015-09-29	$17.40	$16.44	-3.58%	6
2015-07-21	2015-07-22	$17.78	$17.86	-2.39%	2
2015-04-28	2015-07-09	$15.37	$17.19	6.99%	51
2014-11-12	2014-11-24	$16.61	$16.45	-1.44%	9
2014-08-04	2014-09-16	$15.90	$17.38	6.17%	31
2014-06-17	2014-07-08	$15.44	$14.60	-0.68%	15
2012-11-06	2012-12-24	$2.08	$2.29	5.47%	34
2012-09-18	2012-09-21	$2.09	$2.00	-2.21%	4
2012-07-17	2012-07-19	$2.22	$2.15	-4.59%	3
2012-06-19	2012-06-25	$2.14	$2.21	2.53%	5
2012-03-27	2012-04-05	$2.53	$2.30	-2.34%	8
2012-03-13	2012-03-23	$2.41	$2.27	-3.27%	9
2012-02-15	2012-03-07	$2.24	$2.21	-0.23%	15