Strategy Zoo / S0552
Breakout20_V0552
ARCHIVEDbreakoutllmAdd trend and bubble gates; require volume confirmation (volume_breakout or rel_volume>1.2) and MACD histogram>0 for entry; tighten dist_sma_20 and vol_chg thresholds; replace single sma exit with multi-exit (sma20 cross OR negative macd_hist OR price < sma20 by -10% OR RSI>75); reduce base position and add volatility-scaled position rules (safer sizing in medium/high vol). Aimed to improve regime filtering, entry quality, and drawdown control.
Fitness
0.2761
Generation
25
Complexity
16
Created
2026-09-22
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_V0552 [breakout]
if flat and (breakout_20 == 1 and (volume_breakout == 1 or rel_volume > 1.2) and dist_sma_20 > -0.08 and macd_hist > 0.0 and vol_chg < 1.1):
position = 0.8
if long and (close < sma_20 or macd_hist < 0.0 or dist_sma_20 < -0.1 or rsi_14 > 75.0):
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 | 3.7% | 8.4% | 9.7% | 6.1% |
| Total Return | 33.9% | 27.4% | 40.7% | 140.0% |
| Sharpe | 0.38 | 0.72 | 0.80 | 0.56 |
| Sortino | 0.20 | 0.56 | 0.51 | 0.34 |
| Calmar | 0.16 | 0.58 | 1.08 | 0.27 |
| Volatility | 11.4% | 12.3% | 12.6% | 11.9% |
| Max DD | -22.9% | -14.4% | -9.0% | -22.9% |
| Win Rate | 50.0% | 48.1% | 65.0% | 52.8% |
| Avg Win | 4.3% | 3.6% | 4.4% | 4.1% |
| Avg Loss | -2.7% | -1.5% | -2.8% | -2.3% |
| Payoff | 1.59 | 2.44 | 1.54 | 1.78 |
| Expectancy | 0.8% | 1.0% | 1.8% | 1.1% |
| Profit Factor | 1.59 | 2.26 | 2.85 | 1.99 |
| Trades | 42 | 27 | 20 | 89 |
| Avg Holding Days | 7.0 | 6.1 | 7.0 | 6.7 |
| Turnover | 7.6 | 9.7 | 7.4 | 8.0 |
| Exposure | 8.2% | 10.6% | 8.4% | 8.7% |
Growth of $100
Breakout20_V0552 vs TSLA Buy & Hold
Breakout20_V0552 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 | 1.6% | 0.29 | -6.1% | 2 |
| 2017 | 3.1% | 0.37 | -10.6% | 12 |
| 2018 | -3.6% | -0.80 | -5.4% | 3 |
| 2019 | 5.7% | 0.38 | -18.6% | 5 |
| 2020 | 34.2% | 2.19 | -3.5% | 16 |
| 2021 | -10.6% | -0.92 | -10.6% | 8 |
| 2022 | 6.1% | 0.58 | -8.5% | 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 | 268 | 6.3% | 0.58 | 8% |
| hidden test | EXPENSIVE | 83 | 48.4% | 3.11 | 7% |
| hidden test | EXTREME | 48 | 9.1% | 1.32 | 3% |
| hidden test | HIGH VOLATILITY | 254 | 4.7% | 0.69 | 2% |
| hidden test | LOW VOLATILITY | 429 | 24.0% | 1.74 | 11% |
| hidden test | MEDIUM VOLATILITY | 249 | -8.7% | -0.59 | 11% |
| hidden test | NORMAL | 801 | 6.1% | 0.49 | 9% |
| hidden test | SIDEWAYS | 293 | -2.5% | -0.22 | 10% |
| hidden test | UPTREND | 371 | 22.6% | 1.58 | 7% |
| train | DOWNTREND | 518 | 7.5% | 1.36 | 4% |
| train | EXPENSIVE | 311 | 20.7% | 1.62 | 10% |
| train | EXTREME | 100 | 38.8% | 2.42 | 16% |
| train | HIGH VOLATILITY | 699 | 8.1% | 0.61 | 2% |
| train | LOW VOLATILITY | 745 | 10.7% | 1.04 | 16% |
| train | MEDIUM VOLATILITY | 568 | -8.8% | -0.85 | 6% |
| train | NORMAL | 1,601 | -1.0% | -0.10 | 7% |
| train | SIDEWAYS | 592 | -12.2% | -1.01 | 8% |
| train | UPTREND | 902 | 13.3% | 0.99 | 11% |
| validation | DOWNTREND | 125 | 10.5% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 27.9% | 1.93 | 8% |
| validation | EXTREME | 144 | 23.2% | 1.66 | 8% |
| validation | HIGH VOLATILITY | 258 | 2.2% | 0.28 | 3% |
| validation | LOW VOLATILITY | 183 | 2.6% | 0.23 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 17.9% | 1.16 | 11% |
| validation | NORMAL | 474 | -1.1% | -0.10 | 12% |
| validation | SIDEWAYS | 206 | 9.5% | 0.72 | 14% |
| validation | UPTREND | 425 | 8.0% | 0.61 | 11% |
Trades (full period)
89 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.58% | 17 | |
| 2026-04-20 | 2026-05-21 | $392.50 | $417.85 | 4.85% | 24 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 8.73% | 3 | |
| 2025-05-14 | 2025-06-03 | $347.68 | $344.27 | 0.81% | 14 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 2.75% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -0.99% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 2.24% | 2 | |
| 2024-09-20 | 2024-10-04 | $238.25 | $250.08 | -0.13% | 11 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -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 | |
| 2024-06-27 | 2024-07-03 | $197.42 | $246.39 | 13.91% | 5 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.94% | 11 | |
| 2023-09-12 | 2023-09-22 | $267.48 | $244.88 | -3.79% | 9 | |
| 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 | |
| 2023-05-30 | 2023-06-05 | $201.16 | $217.61 | 8.38% | 5 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -7.58% | 4 | |
| 2023-01-27 | 2023-02-09 | $177.90 | $207.32 | 6.76% | 10 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 3.14% | 16 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 7.38% | 16 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -4.25% | 5 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -1.81% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.70% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-09-01 | 2021-09-21 | $244.70 | $246.46 | -0.74% | 14 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.24% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.08% | 12 | |
| 2021-04-14 | 2021-04-28 | $244.08 | $231.47 | -4.32% | 11 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -2.13% | 10 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 0.60% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.03% | 2 | |
| 2020-11-18 | 2020-11-25 | $162.21 | $191.33 | 13.83% | 6 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -1.36% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -0.37% | 2 | |
| 2020-08-24 | 2020-08-25 | $134.28 | $134.89 | -0.54% | 2 | |
| 2020-08-19 | 2020-08-21 | $125.24 | $136.67 | 1.65% | 3 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -0.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 3.72% | 2 | |
| 2020-06-09 | 2020-06-11 | $62.71 | $64.86 | 6.17% | 3 | |
| 2020-04-15 | 2020-05-14 | $48.66 | $53.56 | 3.53% | 22 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 0.37% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.15% | 2 | |
| 2020-01-15 | 2020-01-16 | $34.57 | $34.23 | -2.13% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 3.77% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.38% | 2 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 0.99% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.28% | 3 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 13.30% | 9 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -7.80% | 10 | |
| 2019-07-05 | 2019-07-26 | $15.54 | $15.20 | -2.02% | 16 | |
| 2018-06-19 | 2018-06-26 | $23.50 | $22.80 | -2.96% | 6 | |
| 2018-06-15 | 2018-06-18 | $23.88 | $24.72 | -0.02% | 2 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.62% | 13 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.56% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -5.11% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.25% | 12 | |
| 2017-06-14 | 2017-06-27 | $25.38 | $24.16 | 0.22% | 10 | |
| 2017-05-31 | 2017-06-09 | $22.73 | $23.82 | 5.86% | 8 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.80% | 3 | |
| 2017-04-05 | 2017-04-11 | $19.67 | $20.58 | 0.76% | 5 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 6.31% | 6 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.05% | 2 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.67% | 2 | |
| 2017-01-17 | 2017-01-19 | $15.71 | $16.25 | 0.05% | 3 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.55% | 3 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 7.89% | 10 | |
| 2016-06-09 | 2016-06-13 | $15.29 | $14.52 | -5.85% | 3 | |
| 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 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.92% | 11 | |
| 2015-05-06 | 2015-05-13 | $15.36 | $16.21 | 3.87% | 6 | |
| 2015-04-07 | 2015-04-28 | $13.55 | $15.37 | 10.94% | 16 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.37% | 13 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -2.83% | 9 | |
| 2014-02-27 | 2014-02-28 | $16.84 | $16.32 | -0.11% | 2 | |
| 2014-02-11 | 2014-02-26 | $13.11 | $16.87 | 13.67% | 11 | |
| 2013-08-26 | 2013-09-10 | $10.95 | $11.09 | -2.30% | 11 | |
| 2013-07-02 | 2013-07-15 | $7.85 | $8.48 | 7.37% | 9 | |
| 2013-05-28 | 2013-05-29 | $7.36 | $6.98 | 3.76% | 2 | |
| 2013-05-17 | 2013-05-20 | $6.10 | $6.00 | -0.28% | 2 | |
| 2013-05-07 | 2013-05-10 | $3.70 | $5.12 | 2.85% | 4 | |
| 2013-02-07 | 2013-02-14 | $2.63 | $2.55 | -1.62% | 6 | |
| 2013-01-24 | 2013-01-29 | $2.47 | $2.53 | 4.33% | 4 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-07-17 | 2012-07-19 | $2.22 | $2.15 | -6.11% | 3 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.76% | 11 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.39% | 10 |