Strategy Zoo / S0412
Breakout20_V0412
ARCHIVEDbreakoutllmAdded trend and bubble regime gates to avoid trades in down/bubble environments; tightened/expanded entry with RSI and 50-day slope to confirm momentum and avoid overbought breakouts; widened dist_sma_20 threshold slightly for more signals; improved exits with a multi-condition rule (sma cross OR 5-day stop-loss OR drawdown limit) to cut losses earlier; introduced graded volatility-based sizing (reduce size in high vol) and lowered base position to be more conservative.
Fitness
0.4768
Generation
19
Complexity
12
Created
2026-09-18
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0412 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.15 and rsi_14 < 70.0 and sma_50_slope > 0.0):
position = 0.8
if long and (close < sma_20 or ret_5d < -0.05 or drawdown > 0.12):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.8
if regime.volatility == "HIGH_VOLATILITY": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.7% | 47.7% | 5.0% | 13.8% |
| Total Return | 68.4% | 222.1% | 19.7% | 564.2% |
| Sharpe | 0.52 | 2.00 | 0.42 | 0.89 |
| Sortino | 0.37 | 1.93 | 0.23 | 0.65 |
| Calmar | 0.22 | 2.00 | 0.32 | 0.43 |
| Volatility | 14.4% | 20.6% | 13.9% | 15.8% |
| Max DD | -30.7% | -23.8% | -15.8% | -31.7% |
| Win Rate | 43.3% | 45.5% | 45.5% | 44.2% |
| Avg Win | 7.9% | 32.5% | 10.6% | 14.8% |
| Avg Loss | -3.2% | -3.5% | -5.0% | -3.6% |
| Payoff | 2.48 | 9.16 | 2.10 | 4.06 |
| Expectancy | 1.6% | 12.8% | 2.1% | 4.5% |
| Profit Factor | 1.89 | 7.63 | 1.75 | 3.22 |
| Trades | 30 | 11 | 11 | 52 |
| Avg Holding Days | 15.4 | 18.9 | 12.4 | 15.7 |
| Turnover | 5.7 | 5.4 | 4.5 | 5.3 |
| Exposure | 13.6% | 16.3% | 8.2% | 12.8% |
Growth of $100
Breakout20_V0412 vs TSLA Buy & Hold
Breakout20_V0412 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 | -1.5% | -0.42 | -3.1% | 1 |
| 2017 | -0.7% | -0.00 | -12.3% | 5 |
| 2018 | -7.3% | -0.83 | -8.9% | 6 |
| 2019 | 16.6% | 0.89 | -10.0% | 3 |
| 2020 | 170.9% | 3.63 | -11.5% | 4 |
| 2021 | 35.4% | 1.63 | -11.0% | 4 |
| 2022 | -14.5% | -2.96 | -14.4% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 13.4% | 0.52 | 31% |
| hidden test | EXTREME | 48 | 71.9% | 2.78 | 21% |
| hidden test | HIGH VOLATILITY | 254 | -4.1% | -0.33 | 5% |
| hidden test | LOW VOLATILITY | 429 | 21.4% | 1.82 | 8% |
| hidden test | MEDIUM VOLATILITY | 248 | -11.0% | -0.61 | 11% |
| hidden test | NORMAL | 800 | 1.1% | 0.10 | 5% |
| hidden test | SIDEWAYS | 293 | -10.7% | -1.20 | 5% |
| hidden test | UPTREND | 371 | 23.1% | 1.12 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.1% | 1.11 | 25% |
| train | EXTREME | 100 | 120.8% | 4.20 | 35% |
| train | HIGH VOLATILITY | 699 | 14.1% | 0.90 | 7% |
| train | LOW VOLATILITY | 745 | 9.9% | 0.71 | 23% |
| train | MEDIUM VOLATILITY | 568 | -3.6% | -0.26 | 9% |
| train | NORMAL | 1,601 | -2.5% | -0.23 | 10% |
| train | SIDEWAYS | 592 | -5.0% | -0.64 | 5% |
| train | UPTREND | 902 | 20.1% | 0.98 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 55.9% | 2.20 | 26% |
| validation | EXTREME | 144 | 147.7% | 4.74 | 25% |
| validation | HIGH VOLATILITY | 258 | 24.8% | 1.27 | 6% |
| validation | LOW VOLATILITY | 183 | 22.4% | 1.43 | 27% |
| validation | MEDIUM VOLATILITY | 315 | 65.3% | 2.76 | 18% |
| validation | NORMAL | 474 | 4.4% | 0.33 | 11% |
| validation | SIDEWAYS | 206 | -5.3% | -1.00 | 2% |
| validation | UPTREND | 425 | 75.7% | 2.80 | 28% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.92% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -5.21% | 9 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 9.76% | 22 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -4.14% | 6 | |
| 2024-11-07 | 2024-12-24 | $296.91 | $462.28 | 16.12% | 33 | |
| 2024-10-28 | 2024-11-04 | $262.51 | $242.84 | -2.51% | 6 | |
| 2024-09-16 | 2024-10-04 | $226.78 | $250.08 | 3.58% | 15 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.53% | 2 | |
| 2024-06-18 | 2024-07-18 | $184.86 | $249.23 | 22.86% | 21 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.94% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-16 | 2022-08-23 | $306.56 | $296.45 | -4.87% | 6 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -4.85% | 5 | |
| 2021-09-27 | 2021-11-10 | $263.79 | $355.98 | 25.46% | 33 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2020-11-19 | 2021-01-19 | $166.42 | $281.52 | 41.21% | 40 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -5.65% | 5 | |
| 2020-08-17 | 2020-09-04 | $122.38 | $139.44 | 13.72% | 15 | |
| 2020-05-22 | 2020-07-27 | $54.46 | $102.64 | 38.99% | 45 | |
| 2019-12-13 | 2020-02-12 | $23.89 | $51.15 | 65.30% | 41 | |
| 2019-10-16 | 2019-11-25 | $17.32 | $22.42 | 13.46% | 29 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -4.94% | 11 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -4.21% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -1.48% | 10 | |
| 2018-11-08 | 2018-11-23 | $23.43 | $21.72 | -0.93% | 11 | |
| 2018-08-03 | 2018-08-15 | $23.21 | $22.58 | -0.07% | 9 | |
| 2018-06-12 | 2018-06-25 | $22.85 | $22.20 | 0.20% | 10 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -2.47% | 4 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -2.68% | 14 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.68% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.29% | 12 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 3.85% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -3.70% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 5.55% | 29 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.64% | 2 | |
| 2015-05-06 | 2015-07-09 | $15.36 | $17.19 | 7.43% | 45 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 7.00% | 31 | |
| 2014-06-30 | 2014-07-08 | $16.00 | $14.60 | -5.66% | 6 | |
| 2014-01-31 | 2014-03-12 | $12.09 | $16.10 | 16.76% | 28 | |
| 2013-08-23 | 2013-10-04 | $10.79 | $12.07 | 5.04% | 30 | |
| 2013-07-30 | 2013-08-16 | $8.78 | $9.47 | 1.44% | 14 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.94% | 14 | |
| 2013-04-17 | 2013-06-05 | $3.03 | $6.36 | 30.44% | 35 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.18% | 18 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -3.97% | 5 | |
| 2012-11-14 | 2012-12-24 | $2.09 | $2.29 | 5.91% | 28 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -3.97% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -3.74% | 9 |