Breakout20_V0480

ARCHIVEDbreakout

llmAdded trend and bubble regime gates to avoid entries in non-upmarkets or bubbly conditions; tightened entry to require 50-day slope > 0 and moderate volatility (vol_pctile < 0.85) to reduce false breakouts; relaxed dist_sma_20 threshold to capture earlier breakouts; improved exits by adding a short-term momentum stop (ret_5d < -3%) in addition to sma_20 cross; position sizing rules scale down in high volatility and after drawdowns to reduce risk; base position reduced to 0.8 to lower portfolio drawdown.

Fitness

0.4741

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_V0480  [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.06 and sma_50_slope > 0.0 and vol_pctile < 0.85):
    position = 0.8
if long and (close < sma_20 or ret_5d < -0.03):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	11.9%	42.4%	0.9%	14.7%
Total Return	145.8%	189.0%	3.2%	650.4%
Sharpe	0.70	1.37	0.14	0.77
Sortino	0.49	1.18	0.07	0.53
Calmar	0.34	1.34	0.04	0.38
Volatility	18.6%	28.7%	16.5%	20.6%
Max DD	-34.6%	-31.7%	-20.4%	-39.2%
Win Rate	52.2%	46.7%	33.3%	45.3%
Avg Win	12.4%	26.3%	12.6%	17.2%
Avg Loss	-4.3%	-6.3%	-5.4%	-5.2%
Payoff	2.84	4.20	2.35	3.28
Expectancy	4.4%	8.9%	0.6%	4.9%
Profit Factor	3.10	3.67	1.18	2.72
Trades	23	15	15	53
Avg Holding Days	16.8	11.5	8.6	13.2
Turnover	4.7	8.0	6.5	5.8
Exposure	14.9%	16.7%	9.8%	14.0%

Growth of $100

Breakout20_V0480 vs TSLA Buy & Hold

Breakout20_V0480 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	0.1%	0.04	-5.5%	1
2017	21.0%	1.27	-12.5%	5
2018	-9.4%	-1.42	-10.8%	2
2019	5.3%	0.34	-19.2%	3
2020	206.6%	2.80	-20.9%	6
2021	27.7%	1.32	-15.1%	4
2022	-28.6%	-3.04	-28.5%	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	36.8%	1.70	22%
hidden test	EXTREME	48	58.8%	2.14	18%
hidden test	HIGH VOLATILITY	254	-17.8%	-1.08	6%
hidden test	LOW VOLATILITY	429	24.0%	1.65	12%
hidden test	MEDIUM VOLATILITY	248	-14.8%	-0.76	11%
hidden test	NORMAL	800	-4.7%	-0.32	8%
hidden test	SIDEWAYS	293	-23.8%	-1.77	7%
hidden test	UPTREND	371	24.4%	1.05	19%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	25.2%	1.02	32%
train	EXTREME	100	168.5%	3.25	44%
train	HIGH VOLATILITY	699	22.3%	0.88	9%
train	LOW VOLATILITY	745	16.5%	1.23	25%
train	MEDIUM VOLATILITY	568	-3.2%	-0.23	9%
train	NORMAL	1,601	0.8%	0.07	10%
train	SIDEWAYS	592	-7.9%	-0.79	6%
train	UPTREND	902	34.1%	1.29	29%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	46.4%	1.54	30%
validation	EXTREME	144	177.8%	3.39	34%
validation	HIGH VOLATILITY	258	53.3%	1.45	13%
validation	LOW VOLATILITY	183	8.9%	0.65	14%
validation	MEDIUM VOLATILITY	315	45.8%	1.66	21%
validation	NORMAL	474	-4.7%	-0.34	7%
validation	SIDEWAYS	206	-11.9%	-1.54	3%
validation	UPTREND	425	75.8%	2.01	28%

Trades (full period)

53 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-6.15%	2
2026-05-14	2026-05-19	$443.30	$404.11	-6.52%	4
2025-12-08	2025-12-30	$439.58	$454.43	0.73%	16
2025-09-12	2025-10-09	$395.94	$435.54	14.92%	20
2025-08-26	2025-09-03	$351.67	$334.09	-4.14%	6
2025-05-28	2025-06-04	$356.90	$332.05	-4.27%	6
2025-05-19	2025-05-22	$342.09	$341.04	-3.67%	4
2024-12-06	2024-12-23	$389.22	$430.60	11.04%	12
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-06-27	2024-07-18	$197.42	$249.23	20.81%	15
2023-07-18	2023-07-21	$293.34	$260.02	-7.71%	4
2023-07-05	2023-07-12	$282.48	$271.99	-3.03%	6
2023-05-31	2023-06-27	$203.93	$250.21	15.56%	19
2023-04-03	2023-04-06	$194.77	$185.06	-8.66%	4
2023-02-10	2023-02-23	$196.89	$202.07	-2.53%	9
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
2022-08-02	2022-08-08	$300.59	$290.42	-2.57%	5
2022-04-05	2022-04-07	$363.75	$352.42	-7.15%	3
2022-01-04	2022-01-10	$383.20	$352.71	-11.80%	5
2021-10-18	2021-11-09	$290.04	$341.17	29.46%	17
2021-08-03	2021-08-17	$236.58	$221.90	-2.79%	11
2021-01-26	2021-02-01	$294.36	$279.94	-8.12%	5
2021-01-04	2021-01-19	$243.26	$281.52	13.47%	11
2020-11-19	2020-12-29	$166.42	$222.00	28.40%	27
2020-10-15	2020-10-21	$149.63	$140.88	-7.02%	5
2020-08-17	2020-09-04	$122.38	$139.44	18.53%	15
2020-07-01	2020-07-27	$74.64	$102.64	24.62%	18
2020-06-02	2020-06-18	$58.77	$66.93	8.27%	13
2019-12-17	2020-02-12	$25.27	$51.15	77.67%	39
2019-10-16	2019-11-04	$17.32	$21.16	17.00%	14
2019-09-12	2019-09-25	$16.39	$15.25	-7.91%	10
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2018-12-14	2018-12-18	$24.38	$22.47	-6.20%	3
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	2017-04-19	$18.50	$20.37	8.71%	16
2016-12-28	2017-02-24	$14.65	$17.13	13.05%	40
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2015-04-30	2015-07-09	$15.07	$17.19	7.63%	49
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-24	2014-07-03	$15.50	$15.28	-2.77%	8
2014-01-24	2014-03-11	$11.64	$15.63	24.82%	32
2013-09-20	2013-10-04	$12.23	$12.07	-2.17%	11
2013-08-23	2013-09-10	$10.79	$11.09	1.70%	12
2013-06-28	2013-07-17	$7.16	$8.02	-0.01%	13
2013-04-30	2013-06-04	$3.60	$6.32	53.17%	25
2013-01-25	2013-02-15	$2.47	$2.47	2.62%	16
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	2012-03-21	$2.41	$2.34	-2.49%	7