Strategy Zoo / S0459
Breakout20_V0459
ARCHIVEDbreakoutllmAdded regime gates to avoid downtrends and very high volatility; required positive sma_50_slope to ensure momentum; loosened dist_sma_20 threshold for better generalization; added 1-day stop-loss and secondary exit at sma_50 to cut losses/weak breakouts; position sizing reduced when volatility or near-52w-high to limit risk.
Fitness
0.3118
Generation
21
Complexity
11
Created
2026-09-19
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0942
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0459 [breakout]
require regime.trend in ['UPTREND', 'SIDEWAYS']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (breakout_20 == 1 and dist_sma_20 > 0.06 and sma_50_slope > 0.0):
position = 1.0
if long and (close < sma_20 or ret_1d < -0.035 or close < sma_50):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.5% | 18.3% | 4.1% | 7.7% |
| Total Return | 53.7% | 65.4% | 16.0% | 195.1% |
| Sharpe | 0.43 | 0.96 | 0.32 | 0.52 |
| Sortino | 0.22 | 0.64 | 0.13 | 0.27 |
| Calmar | 0.15 | 0.75 | 0.17 | 0.21 |
| Volatility | 15.4% | 19.4% | 17.0% | 16.7% |
| Max DD | -37.0% | -24.3% | -23.9% | -37.0% |
| Win Rate | 52.4% | 33.3% | 33.3% | 42.2% |
| Avg Win | 10.2% | 27.6% | 17.1% | 15.3% |
| Avg Loss | -5.9% | -5.6% | -5.7% | -5.7% |
| Payoff | 1.72 | 4.93 | 3.02 | 2.67 |
| Expectancy | 2.5% | 5.5% | 1.9% | 3.1% |
| Profit Factor | 1.89 | 2.46 | 1.51 | 1.95 |
| Trades | 21 | 12 | 12 | 45 |
| Avg Holding Days | 13.5 | 7.2 | 7.6 | 10.2 |
| Turnover | 5.3 | 8.0 | 6.5 | 6.1 |
| Exposure | 13.1% | 9.8% | 8.5% | 11.2% |
Growth of $100
Breakout20_V0459 vs TSLA Buy & Hold
Breakout20_V0459 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 | -2.7% | -0.26 | -9.3% | 1 |
| 2017 | 36.1% | 2.06 | -8.9% | 4 |
| 2018 | -11.7% | -1.42 | -13.3% | 2 |
| 2019 | 0.3% | 0.14 | -23.6% | 4 |
| 2020 | 38.6% | 1.63 | -12.1% | 4 |
| 2021 | 43.8% | 1.68 | -13.4% | 4 |
| 2022 | -19.9% | -2.09 | -19.8% | 4 |
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 | 49.9% | 1.93 | 22% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -24.8% | -1.76 | 1% |
| hidden test | LOW VOLATILITY | 429 | 33.0% | 2.12 | 12% |
| hidden test | MEDIUM VOLATILITY | 248 | -11.2% | -0.52 | 10% |
| hidden test | NORMAL | 800 | 1.2% | 0.07 | 8% |
| hidden test | SIDEWAYS | 293 | -19.9% | -1.81 | 4% |
| hidden test | UPTREND | 371 | 29.5% | 1.18 | 18% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 38.0% | 1.81 | 21% |
| train | EXTREME | 100 | 11.6% | 1.55 | 1% |
| train | HIGH VOLATILITY | 699 | 9.0% | 0.55 | 1% |
| train | LOW VOLATILITY | 745 | 19.1% | 1.19 | 28% |
| train | MEDIUM VOLATILITY | 568 | -12.9% | -1.00 | 9% |
| train | NORMAL | 1,601 | 0.1% | 0.01 | 12% |
| train | SIDEWAYS | 592 | -10.2% | -0.81 | 7% |
| train | UPTREND | 902 | 21.3% | 1.04 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 59.0% | 1.89 | 24% |
| validation | EXTREME | 144 | 26.0% | 1.86 | 1% |
| validation | HIGH VOLATILITY | 258 | -0.1% | -0.99 | 0% |
| validation | LOW VOLATILITY | 183 | 0.4% | 0.03 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 44.5% | 1.59 | 15% |
| validation | NORMAL | 474 | 4.6% | 0.29 | 8% |
| validation | SIDEWAYS | 206 | -14.8% | -1.54 | 3% |
| validation | UPTREND | 425 | 40.3% | 1.62 | 16% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -5.36% | 3 | |
| 2025-12-08 | 2025-12-18 | $439.58 | $483.37 | 2.49% | 9 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.82% | 4 | |
| 2025-09-12 | 2025-09-26 | $395.94 | $440.40 | 14.58% | 11 | |
| 2025-08-26 | 2025-09-02 | $351.67 | $329.36 | -3.86% | 5 | |
| 2025-05-19 | 2025-06-05 | $342.09 | $284.70 | -5.32% | 13 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 22.50% | 11 | |
| 2023-07-05 | 2023-07-21 | $282.48 | $260.02 | -6.23% | 13 | |
| 2023-05-31 | 2023-06-22 | $203.93 | $264.61 | 28.73% | 16 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-23 | $306.56 | $296.45 | -6.46% | 6 | |
| 2022-08-02 | 2022-08-08 | $300.59 | $290.42 | -3.26% | 5 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2021-10-18 | 2021-11-09 | $290.04 | $341.17 | 37.68% | 17 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-01-26 | 2021-02-01 | $294.36 | $279.94 | -10.09% | 5 | |
| 2021-01-04 | 2021-01-11 | $243.26 | $270.40 | 24.46% | 6 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 | |
| 2020-10-15 | 2020-10-21 | $149.63 | $140.88 | -8.72% | 5 | |
| 2020-01-06 | 2020-01-16 | $30.10 | $34.23 | 16.81% | 9 | |
| 2019-12-17 | 2019-12-31 | $25.27 | $27.89 | 8.48% | 10 | |
| 2019-10-16 | 2019-10-25 | $17.32 | $21.88 | 15.97% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -4.23% | 14 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-06-06 | 2017-06-14 | $23.52 | $25.38 | 8.03% | 7 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 10.26% | 6 | |
| 2016-12-28 | 2017-02-17 | $14.65 | $18.15 | 22.27% | 36 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | 0.09% | 19 | |
| 2015-04-30 | 2015-07-08 | $15.07 | $17.00 | 15.01% | 48 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-24 | 2014-07-03 | $15.50 | $15.28 | -3.48% | 8 | |
| 2014-02-21 | 2014-02-26 | $13.97 | $16.87 | 17.88% | 4 | |
| 2014-02-14 | 2014-02-20 | $13.22 | $14.00 | -3.20% | 4 | |
| 2013-09-20 | 2013-10-03 | $12.23 | $11.55 | 1.50% | 10 | |
| 2013-01-25 | 2013-02-19 | $2.47 | $2.62 | -0.07% | 17 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 6.11% | 22 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -4.66% | 9 |