Breakout20_V0460

ARCHIVEDbreakout

llmAdded trend and volatility regime gates; tightened entry into confirmed uptrends by requiring positive sma_50_slope and looser dist_sma_20 threshold (0.06) to avoid overfitting; filtered out high vol and overbought entries (vol_pctile < 70, rsi_14 < 70); improved exits by adding rapid-loss stop (ret_1d < -5%) and overbought exit (rsi_14 > 80); reduced base_position to 0.8 to lower risk/turnover.

Fitness

0.3312

Generation

Complexity

Created

2026-09-19

Lineage

Parents (1)

Breakout20_V0397S0397 · gen 18ARCHIVEDllm

changed dist_sma_20 threshold -0.0187 -> 0.0942

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0460  [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.06 and sma_50_slope > 0.0 and vol_pctile < 70.0 and rsi_14 < 70.0):
    position = 0.8
if long and (close < sma_20 or ret_1d < -0.05 or rsi_14 > 80.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	6.5%	17.7%	13.0%	10.3%
Total Return	64.9%	63.2%	57.1%	322.9%
Sharpe	0.49	1.09	0.95	0.73
Sortino	0.31	0.74	0.47	0.45
Calmar	0.15	0.86	0.90	0.24
Volatility	15.2%	16.1%	13.8%	15.0%
Max DD	-43.6%	-20.6%	-14.4%	-43.6%
Win Rate	41.7%	45.5%	55.6%	45.5%
Avg Win	12.7%	17.3%	14.9%	14.4%
Avg Loss	-4.6%	-4.8%	-5.6%	-4.8%
Payoff	2.74	3.59	2.68	2.98
Expectancy	2.6%	5.2%	5.8%	3.9%
Profit Factor	1.96	2.99	3.35	2.48
Trades	24	11	9	44
Avg Holding Days	14.3	6.8	7.3	11.0
Turnover	4.8	5.9	3.9	4.8
Exposure	12.6%	6.8%	4.9%	9.5%

Growth of $100

Breakout20_V0460 vs TSLA Buy & Hold

Breakout20_V0460 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	0.0%	0.00	0.0%	0
2017	4.7%	0.40	-12.5%	4
2018	-29.1%	-1.83	-30.1%	7
2019	11.8%	0.72	-9.2%	2
2020	80.3%	2.45	-7.1%	6
2021	6.2%	0.77	-4.1%	2
2022	-17.3%	-2.62	-17.2%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	74.1%	2.62	15%
hidden test	EXTREME	48	163.4%	6.12	20%
hidden test	HIGH VOLATILITY	254	17.5%	0.87	7%
hidden test	LOW VOLATILITY	429	13.0%	1.27	5%
hidden test	MEDIUM VOLATILITY	248	9.0%	0.81	2%
hidden test	NORMAL	800	-2.2%	-0.23	3%
hidden test	SIDEWAYS	293	-12.6%	-1.60	2%
hidden test	UPTREND	371	43.0%	2.09	10%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	17.8%	0.78	23%
train	EXTREME	100	116.7%	4.51	40%
train	HIGH VOLATILITY	699	8.4%	0.44	11%
train	LOW VOLATILITY	745	9.6%	0.85	17%
train	MEDIUM VOLATILITY	568	3.3%	0.23	9%
train	NORMAL	1,601	-1.5%	-0.12	9%
train	SIDEWAYS	592	-10.2%	-1.13	6%
train	UPTREND	902	23.2%	1.08	24%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	28.4%	1.34	13%
validation	EXTREME	144	102.6%	3.68	12%
validation	HIGH VOLATILITY	258	33.3%	1.84	4%
validation	LOW VOLATILITY	183	-11.3%	-1.04	10%
validation	MEDIUM VOLATILITY	315	21.5%	1.28	8%
validation	NORMAL	474	-11.4%	-1.83	3%
validation	SIDEWAYS	206	-8.5%	-1.89	2%
validation	UPTREND	425	35.4%	1.67	11%

Trades (full period)

44 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-6.15%	2
2025-12-08	2025-12-30	$439.58	$454.43	0.73%	16
2025-09-12	2025-09-18	$395.94	$416.85	12.08%	5
2025-08-26	2025-09-03	$351.67	$334.09	-4.14%	6
2024-11-25	2024-12-17	$338.59	$479.86	24.34%	16
2024-10-28	2024-11-12	$262.51	$328.49	23.53%	12
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-06-27	2024-07-03	$197.42	$246.39	13.91%	5
2023-04-03	2023-04-04	$194.77	$192.58	-5.05%	2
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-23	$306.56	$296.45	-5.20%	6
2022-01-04	2022-01-06	$383.20	$354.90	-7.63%	3
2021-08-03	2021-08-17	$236.58	$221.90	-2.79%	11
2021-01-04	2021-01-08	$243.26	$293.34	12.22%	5
2020-12-18	2020-12-22	$231.67	$213.45	-0.83%	3
2020-11-19	2020-12-10	$166.42	$209.02	18.99%	15
2020-10-15	2020-10-21	$149.63	$140.88	-7.02%	5
2020-08-17	2020-08-28	$122.38	$147.56	27.63%	10
2020-07-01	2020-07-07	$74.64	$92.66	21.12%	4
2020-06-02	2020-06-12	$58.77	$62.35	6.57%	9
2019-10-16	2019-10-28	$17.32	$21.85	21.39%	9
2019-09-12	2019-09-25	$16.39	$15.25	-7.91%	10
2018-12-14	2018-12-18	$24.38	$22.47	-6.20%	3
2018-11-19	2018-11-23	$23.56	$21.72	-3.80%	4
2018-11-08	2018-11-13	$23.43	$22.58	-4.03%	4
2018-08-03	2018-08-20	$23.21	$20.56	-10.18%	12
2018-06-12	2018-07-03	$22.85	$20.72	0.65%	16
2018-02-27	2018-03-02	$23.40	$22.34	-6.11%	4
2018-01-18	2018-02-06	$22.97	$22.26	-3.37%	14
2017-09-18	2017-09-25	$25.67	$23.00	-6.22%	6
2017-08-07	2017-08-21	$23.68	$22.52	-2.26%	11
2017-05-31	2017-06-28	$22.73	$24.75	6.36%	21
2017-03-28	2017-05-05	$18.50	$20.56	7.37%	28
2015-05-06	2015-07-09	$15.36	$17.19	7.43%	45
2014-08-05	2014-09-03	$15.90	$18.75	14.91%	21
2014-06-30	2014-07-08	$16.00	$14.60	-5.66%	6
2014-01-31	2014-02-26	$12.09	$16.87	27.77%	18
2013-08-23	2013-10-03	$10.79	$11.55	11.94%	29
2013-07-30	2013-08-08	$8.78	$10.23	-0.34%	8
2013-06-28	2013-07-17	$7.16	$8.02	-0.01%	13
2013-04-17	2013-05-07	$3.03	$3.70	23.73%	15
2012-11-14	2012-12-24	$2.09	$2.29	5.91%	28
2012-03-27	2012-04-05	$2.53	$2.30	-5.25%	8
2012-03-13	2012-03-23	$2.41	$2.27	-3.74%	9