Breakout20_V0464

ARCHIVEDbreakout

llmAdded momentum confirmation (macd_hist>0 and ret_5d>0), relaxed dist_sma_20 threshold, loosened vol_chg filter to allow more validation signals, added volatility spike exit (vol_chg>3) to limit large moves, added regime gates to avoid downtrends/high-bubble, and scale down position in high realized volatility (vol_20>0.05) to reduce drawdowns.

Fitness

0.1176

Generation

Complexity

Created

2026-09-19

Lineage

Parents (1)

Breakout20_V0308S0308 · gen 14ARCHIVEDllm

added entry filter: vol_chg < 1.2007

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0464  [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 macd_hist > 0.0 and ret_5d > 0.0 and dist_sma_20 > -0.05 and vol_chg < 2.0):
    position = 1.0
if long and (close < sma_20 or vol_chg > 3.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-5.5%	4.7%	3.4%	-1.3%
Total Return	-36.5%	14.7%	13.1%	-17.6%
Sharpe	-0.31	0.33	0.27	0.01
Sortino	-0.15	0.19	0.16	0.01
Calmar	-0.12	0.20	0.13	-0.03
Volatility	14.9%	19.2%	20.2%	17.3%
Max DD	-47.9%	-22.8%	-25.4%	-47.9%
Win Rate	27.6%	25.0%	41.2%	31.5%
Avg Win	8.4%	18.3%	11.4%	10.8%
Avg Loss	-5.0%	-3.1%	-5.8%	-4.9%
Payoff	1.67	5.93	1.98	2.20
Expectancy	-1.3%	2.3%	1.3%	0.0%
Profit Factor	0.63	1.98	1.39	1.01
Trades	29	8	17	54
Avg Holding Days	9.9	15.3	10.1	10.8
Turnover	7.3	5.3	9.2	7.4
Exposure	12.9%	15.1%	16.5%	14.2%

Growth of $100

Breakout20_V0464 vs TSLA Buy & Hold

Breakout20_V0464 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	-19.4%	-1.71	-21.2%	5
2017	18.5%	1.89	-5.4%	3
2018	-8.8%	-0.99	-10.6%	2
2019	-2.6%	0.01	-19.6%	3
2020	0.0%	0.00	0.0%	0
2021	17.5%	0.73	-16.9%	5
2022	-2.4%	-0.03	-22.8%	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	-3.7%	-1.40	1%
hidden test	EXPENSIVE	83	21.7%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-10.9%	-0.63	2%
hidden test	LOW VOLATILITY	429	23.1%	1.09	27%
hidden test	MEDIUM VOLATILITY	248	-8.6%	-0.40	14%
hidden test	NORMAL	800	4.0%	0.19	19%
hidden test	SIDEWAYS	293	-19.0%	-0.92	27%
hidden test	UPTREND	371	31.1%	1.19	19%
train	DOWNTREND	518	-4.4%	-1.15	1%
train	EXPENSIVE	311	3.8%	1.22	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.4%	0.10	0%
train	LOW VOLATILITY	745	5.8%	0.38	26%
train	MEDIUM VOLATILITY	568	-25.5%	-1.58	11%
train	NORMAL	1,601	-6.5%	-0.39	16%
train	SIDEWAYS	592	-19.0%	-1.09	15%
train	UPTREND	902	4.8%	0.29	18%
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	-11.8%	-1.00	0%
validation	LOW VOLATILITY	183	2.3%	0.13	35%
validation	MEDIUM VOLATILITY	315	23.6%	0.97	16%
validation	NORMAL	474	10.2%	0.42	24%
validation	SIDEWAYS	206	7.5%	0.33	23%
validation	UPTREND	425	7.7%	0.38	16%

Trades (full period)

54 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-7.68%	2
2026-05-08	2026-06-02	$428.35	$423.74	0.80%	17
2026-04-20	2026-04-21	$392.50	$386.42	-2.22%	2
2025-12-08	2025-12-30	$439.58	$454.43	0.81%	16
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2025-08-26	2025-09-03	$351.67	$334.09	-5.16%	6
2025-08-12	2025-08-21	$340.84	$320.11	-4.65%	8
2025-05-12	2025-05-13	$318.38	$334.07	6.54%	2
2024-09-24	2024-10-08	$254.27	$244.50	-3.86%	11
2024-09-16	2024-09-20	$226.78	$238.25	5.71%	5
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-06-18	2024-07-12	$184.86	$248.23	28.33%	17
2023-12-15	2024-01-04	$253.50	$237.93	-5.21%	13
2023-11-16	2023-12-13	$233.59	$239.29	-2.60%	19
2023-09-12	2023-09-22	$267.48	$244.88	-6.72%	9
2023-05-31	2023-07-21	$203.93	$260.02	30.43%	36
2023-04-03	2023-04-06	$194.77	$185.06	-10.76%	4
2022-09-20	2022-09-23	$308.73	$275.33	-6.81%	4
2022-08-02	2022-08-23	$300.59	$296.45	-2.67%	16
2022-03-21	2022-04-12	$307.05	$328.98	7.58%	17
2021-09-28	2021-11-10	$259.19	$355.98	29.07%	32
2021-08-31	2021-09-21	$245.24	$246.46	-0.30%	15
2021-08-02	2021-08-17	$236.56	$221.90	-0.35%	12
2021-06-24	2021-07-15	$226.61	$216.87	-0.68%	15
2021-04-14	2021-04-28	$244.08	$231.47	-7.74%	11
2019-10-15	2019-10-25	$17.19	$21.88	16.39%	9
2019-09-11	2019-09-25	$16.47	$15.25	-5.42%	11
2019-07-22	2019-07-26	$17.05	$15.20	-11.55%	5
2018-12-11	2018-12-18	$24.45	$22.47	-4.77%	6
2018-01-18	2018-02-06	$22.97	$22.26	-4.23%	14
2017-12-12	2017-12-26	$22.74	$21.15	-1.32%	10
2017-03-27	2017-03-28	$18.01	$18.50	2.48%	2
2016-12-28	2017-01-25	$14.65	$16.96	15.75%	19
2016-10-04	2016-10-06	$14.09	$13.40	-2.65%	3
2016-07-26	2016-08-09	$15.30	$15.27	-1.87%	11
2016-06-08	2016-06-13	$15.70	$14.52	-6.02%	4
2016-04-06	2016-04-29	$17.69	$16.05	-3.23%	18
2016-03-21	2016-03-24	$15.89	$15.18	-4.55%	4
2015-12-31	2016-01-05	$16.00	$14.90	-6.35%	3
2015-09-22	2015-09-29	$17.40	$16.44	-6.16%	6
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-04-30	2015-07-09	$15.07	$17.19	9.46%	49
2014-11-12	2014-11-24	$16.61	$16.45	-3.50%	9
2014-08-05	2014-09-16	$15.90	$17.38	6.22%	30
2014-06-24	2014-07-08	$15.50	$14.60	-6.33%	10
2012-12-12	2012-12-24	$2.35	$2.29	-3.82%	9
2012-11-08	2012-12-04	$2.09	$2.26	9.55%	18
2012-09-18	2012-09-21	$2.09	$2.00	-5.23%	4
2012-07-16	2012-07-19	$2.40	$2.15	-6.31%	4
2012-06-19	2012-06-21	$2.14	$2.15	5.88%	3
2012-04-04	2012-04-05	$2.33	$2.30	-8.11%	2
2012-03-14	2012-03-23	$2.35	$2.27	-4.88%	8
2012-02-17	2012-03-07	$2.33	$2.21	-3.32%	13
2012-02-15	2012-02-16	$2.24	$2.28	1.10%	2