Strategy Zoo / S0486
Breakout20_V0486
ARCHIVEDbreakoutllmAdded trend and bubble regime gates to avoid entries in clear downtrends and expensive bubbles; tightened breakout distance threshold and reduced allowed volume spikes; required short-term trend or moderate RSI as an additional filter; improved exits with RSI and larger negative distance stop to cut losses earlier; implemented volatility-scaled sizing (larger in low vol, smaller in high vol) and reduced base position to lower drawdown exposure.
Fitness
0.1594
Generation
22
Complexity
17
Created
2026-09-19
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0486 [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 dist_sma_20 > -0.08 and vol_chg < 1.1 and (sma_50_slope > 0.0 or rsi_14 > 48.0)):
position = 0.8
if long and (close < sma_20 or dist_sma_20 < -0.15 or rsi_14 < 40.0):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.1% | 4.6% | 3.6% | 1.2% |
| Total Return | -8.2% | 14.6% | 13.8% | 19.7% |
| Sharpe | -0.04 | 0.42 | 0.31 | 0.16 |
| Sortino | -0.02 | 0.26 | 0.19 | 0.09 |
| Calmar | -0.04 | 0.30 | 0.22 | 0.04 |
| Volatility | 11.1% | 12.6% | 14.6% | 12.4% |
| Max DD | -30.0% | -15.7% | -16.4% | -30.0% |
| Win Rate | 33.3% | 25.0% | 41.2% | 34.7% |
| Avg Win | 6.7% | 15.0% | 8.0% | 8.2% |
| Avg Loss | -3.7% | -2.2% | -3.8% | -3.4% |
| Payoff | 1.84 | 6.82 | 2.11 | 2.40 |
| Expectancy | -0.2% | 2.1% | 1.1% | 0.6% |
| Profit Factor | 0.92 | 2.27 | 1.48 | 1.27 |
| Trades | 24 | 8 | 17 | 49 |
| Avg Holding Days | 11.0 | 15.4 | 9.7 | 11.3 |
| Turnover | 4.5 | 3.9 | 6.7 | 4.9 |
| Exposure | 9.0% | 10.6% | 11.7% | 10.0% |
Growth of $100
Breakout20_V0486 vs TSLA Buy & Hold
Breakout20_V0486 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 | -13.1% | -1.91 | -14.2% | 3 |
| 2017 | 13.3% | 1.83 | -4.2% | 3 |
| 2018 | -3.4% | -0.55 | -5.1% | 2 |
| 2019 | 2.0% | 0.20 | -16.3% | 4 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 18.9% | 1.03 | -9.6% | 5 |
| 2022 | -3.7% | -0.27 | -15.7% | 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 | -2.4% | -1.41 | 1% |
| hidden test | EXPENSIVE | 83 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -6.1% | -0.63 | 1% |
| hidden test | LOW VOLATILITY | 429 | 16.2% | 0.99 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.6% | -0.30 | 8% |
| hidden test | NORMAL | 800 | 3.5% | 0.23 | 14% |
| hidden test | SIDEWAYS | 293 | -15.2% | -1.07 | 19% |
| hidden test | UPTREND | 371 | 25.2% | 1.31 | 14% |
| train | DOWNTREND | 518 | -2.7% | -0.92 | 0% |
| train | EXPENSIVE | 311 | 6.7% | 1.31 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 2.1% | 0.19 | 0% |
| train | LOW VOLATILITY | 745 | 8.9% | 0.73 | 21% |
| train | MEDIUM VOLATILITY | 568 | -15.8% | -1.60 | 4% |
| train | NORMAL | 1,601 | -1.9% | -0.15 | 11% |
| train | SIDEWAYS | 592 | -11.4% | -0.91 | 9% |
| train | UPTREND | 902 | 8.0% | 0.62 | 14% |
| 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 | -6.6% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 4.4% | 0.31 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 15.6% | 1.04 | 9% |
| validation | NORMAL | 474 | 8.5% | 0.54 | 17% |
| validation | SIDEWAYS | 206 | 2.5% | 0.17 | 15% |
| validation | UPTREND | 425 | 8.3% | 0.61 | 12% |
Trades (full period)
49 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.30% | 2 | |
| 2026-05-08 | 2026-06-02 | $428.35 | $423.74 | 0.73% | 17 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -1.25% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.73% | 16 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -4.14% | 6 | |
| 2025-08-12 | 2025-08-21 | $340.84 | $320.11 | -3.73% | 8 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-09-24 | 2024-10-08 | $254.27 | $244.50 | -3.03% | 11 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.22% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 16.78% | 11 | |
| 2023-12-15 | 2024-01-04 | $253.50 | $237.93 | -4.14% | 13 | |
| 2023-11-16 | 2023-12-13 | $233.59 | $239.29 | -1.11% | 19 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.79% | 9 | |
| 2023-05-31 | 2023-07-21 | $203.93 | $260.02 | 25.11% | 36 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.58% | 4 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -5.47% | 4 | |
| 2022-08-02 | 2022-08-23 | $300.59 | $296.45 | -2.44% | 16 | |
| 2022-03-21 | 2022-04-12 | $307.05 | $328.98 | 4.47% | 17 | |
| 2021-09-27 | 2021-11-10 | $263.79 | $355.98 | 25.50% | 33 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-15 | $226.61 | $216.87 | -0.49% | 15 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -4.32% | 11 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 4.69% | 3 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.30% | 9 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.26% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -9.19% | 5 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -1.04% | 10 | |
| 2018-01-18 | 2018-02-06 | $22.97 | $22.26 | -2.34% | 14 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.65% | 10 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.39% | 2 | |
| 2016-12-28 | 2017-01-25 | $14.65 | $16.96 | 12.44% | 19 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2016-06-09 | 2016-06-13 | $15.29 | $14.52 | -5.85% | 3 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.18% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -5.08% | 3 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.18% | 2 | |
| 2015-04-30 | 2015-07-09 | $15.07 | $17.19 | 7.63% | 49 | |
| 2014-11-14 | 2014-11-24 | $17.25 | $16.45 | -2.07% | 7 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 5.11% | 30 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -5.07% | 10 | |
| 2012-11-14 | 2012-12-24 | $2.09 | $2.29 | 5.91% | 28 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -3.48% | 4 | |
| 2012-06-19 | 2012-06-25 | $2.14 | $2.21 | 3.36% | 5 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -4.54% | 2 | |
| 2012-03-14 | 2012-03-23 | $2.35 | $2.27 | -3.91% | 8 | |
| 2012-02-15 | 2012-03-07 | $2.24 | $2.21 | -0.28% | 15 |