Strategy Zoo / S0456
Breakout20_V0456
ARCHIVEDbreakoutllmAdded trend and momentum filters to entry (ret_5d>0, sma_50_slope>0) and a volatility cap (vol_pctile<0.85) to reduce false breakouts; kept breakout_20 and dist_sma_20 guard. Strengthened exits by adding a sma_50 cross and an intraday stop (ret_1d < -4.5%) to limit large drawdowns. Added regime gates to require UPTREND, LOW_VOLATILITY and NORMAL bubble. Reduced base_position to 0.6 to lower risk/position sizing.
Fitness
0.4509
Generation
21
Complexity
10
Created
2026-09-19
Lineage
Parents (1)
added entry filter: dist_sma_20 > -0.0187
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0456 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.0187 and ret_5d > 0.0 and sma_50_slope > 0.0 and vol_pctile < 0.85):
position = 0.6
if long and (close < sma_20 or close < sma_50 or ret_1d < -0.045):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.9% | 40.9% | 4.7% | 11.5% |
| Total Return | 46.2% | 180.0% | 18.6% | 394.1% |
| Sharpe | 0.45 | 1.76 | 0.43 | 0.82 |
| Sortino | 0.30 | 1.51 | 0.23 | 0.57 |
| Calmar | 0.22 | 2.04 | 0.33 | 0.42 |
| Volatility | 12.3% | 20.7% | 12.5% | 14.5% |
| Max DD | -22.1% | -20.1% | -14.5% | -27.1% |
| Win Rate | 50.0% | 41.2% | 35.3% | 43.5% |
| Avg Win | 5.5% | 21.6% | 9.9% | 11.3% |
| Avg Loss | -3.2% | -3.1% | -3.4% | -3.2% |
| Payoff | 1.74 | 6.99 | 2.87 | 3.48 |
| Expectancy | 1.2% | 7.1% | 1.3% | 3.1% |
| Profit Factor | 1.74 | 4.89 | 1.56 | 2.68 |
| Trades | 28 | 17 | 17 | 62 |
| Avg Holding Days | 16.3 | 10.6 | 8.0 | 12.7 |
| Turnover | 4.3 | 6.8 | 5.5 | 5.1 |
| Exposure | 13.1% | 13.0% | 7.7% | 11.7% |
Growth of $100
Breakout20_V0456 vs TSLA Buy & Hold
Breakout20_V0456 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 | -2.6% | -0.42 | -6.7% | 2 |
| 2017 | 14.1% | 1.06 | -8.8% | 6 |
| 2018 | -4.2% | -0.75 | -5.4% | 2 |
| 2019 | 15.7% | 0.91 | -12.1% | 3 |
| 2020 | 158.8% | 3.22 | -11.8% | 7 |
| 2021 | 27.8% | 1.66 | -10.9% | 5 |
| 2022 | -17.4% | -2.54 | -17.3% | 5 |
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 | 20.6% | 1.16 | 17% |
| hidden test | EXTREME | 48 | 57.8% | 2.91 | 11% |
| hidden test | HIGH VOLATILITY | 254 | -12.5% | -1.12 | 2% |
| hidden test | LOW VOLATILITY | 429 | 26.3% | 2.45 | 9% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.5% | -0.78 | 11% |
| hidden test | NORMAL | 800 | 0.7% | 0.06 | 7% |
| hidden test | SIDEWAYS | 293 | -14.4% | -1.63 | 6% |
| hidden test | UPTREND | 371 | 24.9% | 1.38 | 15% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 24.0% | 1.23 | 30% |
| train | EXTREME | 100 | 44.6% | 2.51 | 23% |
| train | HIGH VOLATILITY | 699 | 6.6% | 0.48 | 7% |
| train | LOW VOLATILITY | 745 | 12.2% | 1.08 | 21% |
| train | MEDIUM VOLATILITY | 568 | -4.6% | -0.40 | 10% |
| train | NORMAL | 1,601 | -0.5% | -0.05 | 9% |
| train | SIDEWAYS | 592 | -6.5% | -0.79 | 5% |
| train | UPTREND | 902 | 16.6% | 0.97 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 18.8% | 0.90 | 17% |
| validation | EXTREME | 144 | 162.1% | 4.34 | 22% |
| validation | HIGH VOLATILITY | 258 | 53.8% | 2.06 | 7% |
| validation | LOW VOLATILITY | 183 | 16.5% | 1.39 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 33.8% | 1.71 | 13% |
| validation | NORMAL | 474 | 3.4% | 0.32 | 9% |
| validation | SIDEWAYS | 206 | -6.5% | -1.06 | 2% |
| validation | UPTREND | 425 | 68.0% | 2.50 | 22% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.61% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -3.22% | 3 | |
| 2025-12-08 | 2025-12-18 | $439.58 | $483.37 | 1.57% | 9 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.21% | 2 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -2.78% | 3 | |
| 2025-09-12 | 2025-10-03 | $395.94 | $429.83 | 10.67% | 16 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -3.11% | 6 | |
| 2025-05-19 | 2025-06-05 | $342.09 | $284.70 | -3.12% | 13 | |
| 2024-12-06 | 2024-12-19 | $389.22 | $436.17 | 11.22% | 10 | |
| 2024-09-16 | 2024-10-08 | $226.78 | $244.50 | 2.78% | 17 | |
| 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 | |
| 2023-07-05 | 2023-07-21 | $282.48 | $260.02 | -3.63% | 13 | |
| 2023-05-31 | 2023-06-22 | $203.93 | $264.61 | 16.55% | 16 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2023-02-15 | 2023-02-17 | $214.24 | $208.31 | -2.15% | 3 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -3.14% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.12% | 4 | |
| 2022-08-16 | 2022-08-23 | $306.56 | $296.45 | -3.92% | 6 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -1.90% | 5 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.96% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -5.75% | 3 | |
| 2021-09-27 | 2021-11-09 | $263.79 | $341.17 | 27.99% | 32 | |
| 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 | |
| 2021-01-26 | 2021-02-01 | $294.36 | $279.94 | -6.13% | 5 | |
| 2021-01-04 | 2021-01-12 | $243.26 | $283.15 | 8.85% | 7 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -0.58% | 3 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 14.10% | 15 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -5.30% | 5 | |
| 2020-08-17 | 2020-09-02 | $122.38 | $149.12 | 24.83% | 13 | |
| 2020-07-01 | 2020-07-22 | $74.64 | $106.16 | 25.66% | 15 | |
| 2020-05-22 | 2020-06-12 | $54.46 | $62.35 | 10.37% | 15 | |
| 2019-12-13 | 2020-02-06 | $23.89 | $49.93 | 55.69% | 37 | |
| 2019-10-16 | 2019-11-25 | $17.32 | $22.42 | 17.07% | 29 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -3.18% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -6.85% | 5 | |
| 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 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -4.69% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.01% | 12 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 4.79% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -3.66% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 7.28% | 29 | |
| 2016-12-28 | 2017-02-24 | $14.65 | $17.13 | 9.74% | 40 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.11% | 11 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | 0.14% | 19 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -3.80% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.41% | 2 | |
| 2015-04-30 | 2015-07-09 | $15.07 | $17.19 | 5.76% | 49 | |
| 2014-08-04 | 2014-09-16 | $15.90 | $17.38 | 5.33% | 31 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -3.80% | 10 | |
| 2014-02-21 | 2014-03-17 | $13.97 | $15.60 | 6.07% | 17 | |
| 2014-01-24 | 2014-02-20 | $11.64 | $14.00 | 4.05% | 19 | |
| 2013-08-23 | 2013-10-03 | $10.79 | $11.55 | 8.93% | 29 | |
| 2013-06-27 | 2013-07-17 | $7.28 | $8.02 | 2.22% | 14 | |
| 2013-04-30 | 2013-05-08 | $3.60 | $3.72 | 0.66% | 7 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 1.67% | 18 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -2.99% | 5 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 3.73% | 22 | |
| 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 |