Strategy Zoo / S0504
Breakout20_V0504
ARCHIVEDbreakoutllmAdded trend/bubble regime gates to avoid downtrends and bubbles; strengthened entry with momentum (sma_50_slope, ret_20d) and volatility percentile filters; tightened vol_chg threshold; improved exits (add drawdown stop and macd_hist negative exit); introduced graded position sizing by volatility (low=1.0, med=0.7, high=0.3) and lowered base position to 0.8.
Fitness
0.4062
Generation
23
Complexity
14
Created
2026-09-22
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0504 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.02 and vol_chg < 1.0 and sma_50_slope > 0.0 and ret_20d > 0.0 and vol_pctile < 0.8):
position = 0.8
if long and (close < sma_20 or drawdown < -0.08 or macd_hist < 0.0):
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 *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.3% | 32.0% | 0.3% | 6.8% |
| Total Return | 10.9% | 130.1% | 1.1% | 164.1% |
| Sharpe | 0.18 | 1.74 | 0.08 | 0.62 |
| Sortino | 0.10 | 1.48 | 0.03 | 0.35 |
| Calmar | 0.07 | 2.23 | 0.02 | 0.35 |
| Volatility | 9.7% | 16.7% | 10.5% | 11.7% |
| Max DD | -19.8% | -14.4% | -16.6% | -19.8% |
| Win Rate | 39.3% | 51.7% | 58.8% | 47.6% |
| Avg Win | 3.2% | 7.3% | 2.0% | 3.9% |
| Avg Loss | -1.7% | -1.2% | -2.7% | -1.8% |
| Payoff | 1.91 | 6.18 | 0.75 | 2.18 |
| Expectancy | 0.2% | 3.2% | 0.1% | 0.9% |
| Profit Factor | 1.24 | 6.62 | 1.07 | 1.98 |
| Trades | 61 | 29 | 34 | 124 |
| Avg Holding Days | 4.6 | 5.4 | 2.6 | 4.3 |
| Turnover | 11.3 | 13.0 | 12.8 | 12.0 |
| Exposure | 6.6% | 9.0% | 3.9% | 6.5% |
Growth of $100
Breakout20_V0504 vs TSLA Buy & Hold
Breakout20_V0504 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 | 0.9% | 0.64 | -0.3% | 3 |
| 2017 | 13.9% | 1.24 | -7.3% | 14 |
| 2018 | -5.7% | -1.34 | -5.7% | 7 |
| 2019 | 1.8% | 0.40 | -3.0% | 5 |
| 2020 | 90.8% | 2.98 | -5.0% | 9 |
| 2021 | 24.6% | 1.34 | -9.6% | 14 |
| 2022 | -5.3% | -1.64 | -5.2% | 6 |
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 | 268 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -11.9% | -0.71 | 10% |
| hidden test | EXTREME | 48 | 41.6% | 1.85 | 10% |
| hidden test | HIGH VOLATILITY | 254 | -13.3% | -1.64 | 1% |
| hidden test | LOW VOLATILITY | 429 | 21.9% | 2.02 | 6% |
| hidden test | MEDIUM VOLATILITY | 249 | -21.0% | -1.79 | 4% |
| hidden test | NORMAL | 801 | -0.3% | -0.03 | 3% |
| hidden test | SIDEWAYS | 293 | -8.3% | -1.28 | 2% |
| hidden test | UPTREND | 371 | 8.7% | 0.55 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.9% | 0.46 | 18% |
| train | EXTREME | 100 | 74.3% | 3.48 | 23% |
| train | HIGH VOLATILITY | 699 | 4.7% | 0.50 | 2% |
| train | LOW VOLATILITY | 745 | 0.0% | 0.00 | 12% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.04 | 5% |
| train | NORMAL | 1,601 | -4.0% | -0.71 | 3% |
| train | SIDEWAYS | 592 | -1.4% | -0.35 | 2% |
| train | UPTREND | 902 | 4.9% | 0.35 | 14% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 44.2% | 2.08 | 19% |
| validation | EXTREME | 144 | 94.5% | 3.91 | 13% |
| validation | HIGH VOLATILITY | 258 | 22.7% | 1.43 | 4% |
| validation | LOW VOLATILITY | 183 | 15.4% | 1.50 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 42.5% | 2.11 | 12% |
| validation | NORMAL | 474 | 4.9% | 0.43 | 5% |
| validation | SIDEWAYS | 206 | 0.5% | 0.73 | 1% |
| validation | UPTREND | 425 | 51.6% | 2.33 | 16% |
Trades (full period)
latest 100 of 124
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.30% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.87% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -4.27% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.00% | 2 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.43% | 4 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -3.66% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.37% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.64% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.01% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.04% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.37% | 2 | |
| 2024-12-06 | 2024-12-19 | $389.22 | $436.17 | 7.72% | 10 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -0.96% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.84% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.97% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.05% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.42% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.75% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.62% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 3.50% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.20% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.32% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.94% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 0.52% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -1.26% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.61% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.11% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.51% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.76% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -2.32% | 3 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 20.07% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.37% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.26% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.15% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.03% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 10.94% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.35% | 4 | |
| 2020-11-24 | 2020-12-17 | $185.13 | $218.63 | 10.62% | 17 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -1.62% | 2 | |
| 2020-08-17 | 2020-09-03 | $122.38 | $135.67 | 14.28% | 14 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 8.87% | 17 | |
| 2020-06-09 | 2020-06-15 | $62.71 | $66.06 | 0.91% | 5 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 4.12% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -0.36% | 2 | |
| 2019-12-24 | 2020-02-06 | $28.35 | $49.93 | 39.69% | 30 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -1.18% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.29% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 2.63% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.29% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.93% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.06% | 6 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -0.90% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.08% | 2 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -1.30% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -1.21% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.13% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.53% | 2 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.41% | 6 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | 0.02% | 11 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 6.25% | 20 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.20% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.28% | 4 | |
| 2017-03-27 | 2017-04-21 | $18.01 | $20.37 | 7.89% | 19 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 4.52% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.25% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.20% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 1.21% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.65% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.89% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.63% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.24% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.06% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 1.29% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.33% | 2 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.48% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.18% | 2 | |
| 2015-07-02 | 2015-07-09 | $18.67 | $17.19 | -4.35% | 5 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.84% | 5 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.99% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.29% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.37% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.19% | 2 |