Breakout20_V0510

ARCHIVEDhybrid

llmAdded trend and volume filters to entry (require positive 50-day slope and above-average volume) to reduce false breakouts; introduced multi-condition exits (kept original ret_20d check, added stop-loss on drawdown, short-term negative momentum and 5-day drop) to limit large drawdowns; added regime gates to restrict to uptrends and non-high-volatility, non-bubble regimes for better generalization; added volatility-based position sizing (scale down in medium/high vol) and a safety rule to avoid positions if 50-day slope is negative.

Fitness

0.1558

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

Breakout20_V0474S0474 · gen 22ARCHIVEDllm

entry from Breakout20_V0011, exit from PriceMomentum_V0387

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0510  [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (breakout_20 == 1 and sma_50_slope > 0.0 and rel_volume > 1.0):
    position = 1.0
if long and (ret_20d < 0.0392 or drawdown < -0.07 or ret_5d < -0.035 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-2.2%	7.7%	5.1%	1.6%
Total Return	-16.0%	24.8%	20.1%	25.8%
Sharpe	-0.29	0.72	0.50	0.22
Sortino	-0.08	0.28	0.13	0.07
Calmar	-0.11	0.73	0.31	0.07
Volatility	6.7%	11.1%	11.1%	9.0%
Max DD	-19.5%	-10.5%	-16.6%	-22.5%
Win Rate	41.4%	50.0%	69.2%	50.0%
Avg Win	2.4%	9.1%	4.3%	4.1%
Avg Loss	-2.6%	-2.3%	-4.6%	-2.9%
Payoff	0.91	3.88	0.94	1.44
Expectancy	-0.5%	3.4%	1.6%	0.6%
Profit Factor	0.64	3.88	2.11	1.44
Trades	29	8	13	50
Avg Holding Days	3.2	3.8	2.7	3.2
Turnover	7.3	5.3	7.0	6.8
Exposure	3.2%	2.9%	2.4%	2.9%

Growth of $100

Breakout20_V0510 vs TSLA Buy & Hold

Breakout20_V0510 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	-0.6%	-0.10	-3.8%	3
2017	4.2%	1.13	-1.2%	6
2018	-7.7%	-1.18	-7.7%	4
2019	-0.6%	-1.19	-0.6%	1
2020	0.0%	0.00	0.0%	0
2021	31.6%	1.57	-5.5%	6
2022	-5.2%	-1.09	-5.2%	2

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	21.7%	1.72	1%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-17.2%	-1.43	1%
hidden test	LOW VOLATILITY	429	13.2%	1.25	4%
hidden test	MEDIUM VOLATILITY	249	15.6%	1.42	1%
hidden test	NORMAL	801	4.2%	0.38	3%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	14.0%	0.80	6%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	3.6%	1.19	1%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.0%	0.00	0%
train	LOW VOLATILITY	745	0.2%	0.02	7%
train	MEDIUM VOLATILITY	568	-7.2%	-0.82	2%
train	NORMAL	1,601	-3.2%	-0.43	4%
train	SIDEWAYS	592	-0.0%	-0.65	0%
train	UPTREND	902	-4.3%	-0.43	7%
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	-0.1%	-0.99	0%
validation	LOW VOLATILITY	183	4.0%	0.57	5%
validation	MEDIUM VOLATILITY	315	16.9%	1.03	4%
validation	NORMAL	474	12.7%	0.91	5%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	14.2%	0.96	5%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-15	2025-12-30	$475.31	$454.43	-0.05%	11
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2024-07-11	2024-07-12	$241.03	$248.23	-8.64%	2
2024-07-09	2024-07-10	$262.33	$263.26	3.51%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.88%	2
2024-07-02	2024-07-03	$231.26	$246.39	9.99%	2
2023-06-20	2023-06-21	$274.45	$259.46	5.13%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.94%	2
2023-06-12	2023-06-13	$249.83	$258.71	2.02%	2
2023-06-08	2023-06-09	$234.86	$244.40	4.38%	2
2023-06-06	2023-06-07	$221.31	$224.57	1.50%	2
2023-06-02	2023-06-05	$213.97	$217.61	2.91%	2
2022-09-20	2022-09-21	$308.73	$300.80	-0.31%	2
2022-04-05	2022-04-06	$363.75	$348.59	-4.93%	2
2021-10-19	2021-11-09	$288.09	$341.17	33.39%	16
2021-10-13	2021-10-14	$270.36	$272.77	0.46%	2
2021-09-27	2021-09-28	$263.79	$259.19	1.99%	2
2021-09-20	2021-09-21	$243.39	$246.46	-4.06%	2
2021-09-08	2021-09-09	$251.29	$251.62	-0.07%	2
2021-08-31	2021-09-01	$245.24	$244.70	0.46%	2
2019-12-13	2019-12-16	$23.89	$25.43	-0.56%	2
2018-12-11	2018-12-18	$24.45	$22.47	-4.77%	6
2018-12-07	2018-12-10	$23.86	$24.34	-1.60%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.14%	2
2018-02-01	2018-02-02	$23.28	$22.92	-1.63%	2
2017-03-27	2017-03-28	$18.01	$18.50	2.48%	2
2017-01-24	2017-01-25	$16.97	$16.96	2.08%	2
2017-01-20	2017-01-23	$16.32	$16.59	0.20%	2
2017-01-17	2017-01-18	$15.71	$15.89	-1.11%	2
2017-01-09	2017-01-10	$15.42	$15.32	0.79%	2
2017-01-05	2017-01-06	$15.12	$15.27	-0.31%	2
2016-07-26	2016-07-27	$15.30	$15.23	-0.42%	2
2016-04-07	2016-04-08	$17.15	$16.67	-3.29%	2
2016-04-05	2016-04-06	$17.03	$17.69	3.23%	2
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-07-06	2015-07-09	$18.65	$17.19	-9.13%	4
2015-06-24	2015-06-25	$17.68	$17.92	-1.13%	2
2015-06-18	2015-06-19	$17.46	$17.50	0.37%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.31%	2
2015-05-12	2015-05-13	$16.32	$16.21	1.99%	2
2014-09-02	2014-09-12	$18.94	$18.61	3.73%	9
2014-08-04	2014-08-25	$15.90	$17.50	9.86%	16
2014-06-24	2014-06-25	$15.50	$15.79	-2.19%	2
2013-01-03	2013-01-04	$2.32	$2.29	-1.87%	2
2012-12-12	2012-12-13	$2.35	$2.24	-0.26%	2
2012-12-03	2012-12-04	$2.31	$2.26	2.16%	2
2012-11-29	2012-11-30	$2.25	$2.25	1.18%	2
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8
2012-03-13	2012-03-16	$2.41	$2.35	-3.00%	4