Strategy Zoo / S0523
Breakout20_V0523
ARCHIVEDbreakoutllmAdded uptrend + normal-bubble regime gates; require moderate proximity to 20SMA, positive 50SMA slope, and moderate volatility (vol_pctile) alongside breakout; tightened base position to 0.6 and reduced exposure in medium/high volatility; improved exits with an 8% stop-loss and additional trend/MACD-based exit (close < SMA50 + negative macd_hist) to cut losers earlier and avoid regime-driven draws.
Fitness
0.4047
Generation
24
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_V0523 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.01 and vol_pctile < 0.8 and sma_50_slope > 0.0 and vol_chg < 1.2007):
position = 0.6
if long and (close < sma_20 or drawdown < -0.08 or (close < sma_50 and macd_hist < 0.0)):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.2
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 24.0% | -0.6% | 5.3% |
| Total Return | 12.5% | 90.5% | -2.2% | 113.3% |
| Sharpe | 0.22 | 1.88 | -0.04 | 0.62 |
| Sortino | 0.12 | 1.76 | -0.02 | 0.37 |
| Calmar | 0.08 | 2.63 | -0.04 | 0.28 |
| Volatility | 8.0% | 11.8% | 7.8% | 8.9% |
| Max DD | -19.0% | -9.1% | -14.6% | -19.0% |
| Win Rate | 38.2% | 46.2% | 52.8% | 44.4% |
| Avg Win | 2.0% | 6.8% | 1.5% | 3.2% |
| Avg Loss | -1.1% | -0.8% | -1.8% | -1.2% |
| Payoff | 1.79 | 8.25 | 0.85 | 2.59 |
| Expectancy | 0.1% | 2.7% | -0.0% | 0.7% |
| Profit Factor | 1.11 | 7.07 | 0.96 | 2.08 |
| Trades | 55 | 26 | 36 | 117 |
| Avg Holding Days | 5.9 | 6.6 | 2.6 | 5.2 |
| Turnover | 7.7 | 8.6 | 9.9 | 8.4 |
| Exposure | 6.2% | 7.0% | 3.1% | 5.6% |
Growth of $100
Breakout20_V0523 vs TSLA Buy & Hold
Breakout20_V0523 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 | 0.7% | 0.65 | -0.3% | 3 |
| 2017 | -2.6% | -0.22 | -9.3% | 13 |
| 2018 | -2.4% | -0.79 | -2.8% | 5 |
| 2019 | 11.0% | 1.72 | -2.3% | 5 |
| 2020 | 68.7% | 3.43 | -3.3% | 6 |
| 2021 | 14.9% | 1.16 | -7.6% | 14 |
| 2022 | -3.1% | -1.57 | -3.1% | 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 | -17.6% | -1.26 | 10% |
| hidden test | EXTREME | 48 | 25.8% | 1.57 | 7% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -1.67 | 1% |
| hidden test | LOW VOLATILITY | 429 | 15.5% | 1.87 | 5% |
| hidden test | MEDIUM VOLATILITY | 249 | -19.0% | -2.10 | 3% |
| hidden test | NORMAL | 801 | -0.1% | -0.01 | 2% |
| hidden test | SIDEWAYS | 293 | -6.3% | -1.38 | 2% |
| hidden test | UPTREND | 371 | 4.3% | 0.37 | 7% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 12.9% | 0.90 | 18% |
| train | EXTREME | 100 | 45.7% | 3.03 | 16% |
| train | HIGH VOLATILITY | 699 | 2.2% | 0.39 | 1% |
| train | LOW VOLATILITY | 745 | 4.9% | 0.51 | 12% |
| train | MEDIUM VOLATILITY | 568 | -2.8% | -0.34 | 5% |
| train | NORMAL | 1,601 | -3.1% | -0.62 | 3% |
| train | SIDEWAYS | 592 | -1.1% | -0.38 | 1% |
| train | UPTREND | 902 | 4.7% | 0.41 | 13% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 37.7% | 2.45 | 15% |
| validation | EXTREME | 144 | 66.1% | 4.05 | 10% |
| validation | HIGH VOLATILITY | 258 | 13.2% | 1.41 | 2% |
| validation | LOW VOLATILITY | 183 | 17.6% | 1.78 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 32.1% | 2.25 | 9% |
| validation | NORMAL | 474 | 4.3% | 0.52 | 4% |
| validation | SIDEWAYS | 206 | 2.6% | 1.22 | 0% |
| validation | UPTREND | 425 | 38.2% | 2.45 | 12% |
Trades (full period)
latest 100 of 117
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -2.77% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.39% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.06% | 11 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -2.15% | 2 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -4.33% | 5 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -1.67% | 3 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.05% | 4 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -2.75% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.03% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.39% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 1.57% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 0.76% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -0.67% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -0.88% | 2 | |
| 2024-12-06 | 2024-12-19 | $389.22 | $436.17 | 4.77% | 10 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -0.62% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -3.11% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -3.11% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.26% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 0.68% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 3.51% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.20% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -0.95% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.49% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.27% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.56% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 1.21% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 2.63% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 0.90% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 1.74% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 0.71% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -3.79% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 0.26% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -0.63% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.19% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.39% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.07% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.33% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -1.77% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -1.16% | 3 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 14.91% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.28% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.73% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.19% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -2.43% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.03% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -1.60% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.04% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.27% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -1.42% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.02% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 1.84% | 2 | |
| 2020-11-24 | 2021-02-01 | $185.13 | $279.94 | 17.11% | 46 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -1.04% | 2 | |
| 2020-08-17 | 2020-09-03 | $122.38 | $135.67 | 8.55% | 14 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 5.04% | 17 | |
| 2020-06-01 | 2020-06-15 | $59.87 | $66.06 | 8.17% | 11 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -0.18% | 2 | |
| 2019-12-13 | 2020-02-06 | $23.89 | $49.93 | 38.19% | 37 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -0.76% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.19% | 2 | |
| 2019-09-11 | 2019-09-12 | $16.47 | $16.39 | 1.69% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 0.97% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.70% | 2 | |
| 2018-12-04 | 2018-12-18 | $23.98 | $22.47 | -0.43% | 10 | |
| 2018-02-01 | 2018-02-02 | $23.28 | $22.92 | -0.98% | 2 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -0.78% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.09% | 2 | |
| 2018-01-18 | 2018-01-19 | $22.97 | $23.33 | -0.34% | 2 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -3.87% | 6 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | -0.05% | 11 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 1.42% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -2.05% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 2.09% | 29 | |
| 2017-02-09 | 2017-02-24 | $17.95 | $17.13 | -1.41% | 11 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.19% | 2 | |
| 2017-01-25 | 2017-01-26 | $16.96 | $16.83 | -0.15% | 2 | |
| 2017-01-23 | 2017-01-24 | $16.59 | $16.97 | 0.91% | 2 | |
| 2017-01-19 | 2017-01-20 | $16.25 | $16.32 | 1.24% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -0.67% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-12-28 | 2016-12-29 | $14.65 | $14.31 | -0.04% | 2 | |
| 2016-07-29 | 2016-08-01 | $15.65 | $15.33 | 0.97% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2015-12-31 | 2016-01-04 | $16.00 | $14.89 | 0.36% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.05% | 2 | |
| 2015-07-02 | 2015-07-09 | $18.67 | $17.19 | -3.24% | 5 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -1.38% | 5 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -0.74% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.22% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.19% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.28% | 2 | |
| 2015-05-18 | 2015-05-19 | $16.58 | $16.48 | -0.14% | 2 | |
| 2015-05-12 | 2015-05-13 | $16.32 | $16.21 | 1.19% | 2 | |
| 2015-05-06 | 2015-05-07 | $15.36 | $15.79 | -0.77% | 2 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -1.77% | 2 |