Breakout20_V0577

ARCHIVEDbreakout

llmAdded trend and volume filters: require sma_50_slope>0 and volume_breakout to bias entries to healthy uptrends; loosened dist_sma_20 threshold to 0.08 for more timely entries; avoid extreme volatility via vol_pctile<0.7 and gate to LOW/MEDIUM volatility regimes; improved exits by adding a sma_50-based exit (close below/price below sma_50) to cut deeper weakness earlier; reduced base_position to 0.8 to lower drawdown risk.

Fitness

0.4124

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

Breakout20_V0397S0397 · gen 18ARCHIVEDllm

changed dist_sma_20 threshold -0.0187 -> 0.0942

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0577  [breakout]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (breakout_20 == 1 and dist_sma_20 > 0.08 and sma_50_slope > 0.0 and volume_breakout == 1 and vol_pctile < 0.7):
    position = 0.8
if long and (close < sma_20 or dist_sma_50 < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.2%	26.9%	1.8%	7.4%
Total Return	28.3%	104.4%	7.0%	187.2%
Sharpe	0.50	1.47	0.28	0.77
Sortino	0.15	0.74	0.06	0.26
Calmar	0.41	1.98	0.23	0.55
Volatility	6.6%	17.2%	7.6%	10.0%
Max DD	-7.8%	-13.6%	-8.1%	-13.6%
Win Rate	75.0%	66.7%	100.0%	77.8%
Avg Win	8.1%	43.1%	3.4%	18.8%
Avg Loss	-5.2%	-0.0%	0.0%	-2.6%
Payoff	1.55	10.00	5.00	7.13
Expectancy	4.8%	28.7%	3.4%	14.0%
Profit Factor	4.65	10.00	5.00	10.00
Trades	4	3	2	9
Avg Holding Days	16.5	27.0	14.0	20.7
Turnover	0.9	1.6	0.9	1.0
Exposure	2.9%	8.3%	2.2%	3.8%

Growth of $100

Breakout20_V0577 vs TSLA Buy & Hold

Breakout20_V0577 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	0.1%	0.05	-5.5%	1
2017	10.1%	1.09	-7.2%	1
2018	0.0%	0.00	0.0%	0
2019	7.6%	1.31	-3.0%	0
2020	85.4%	2.88	-6.3%	1
2021	7.0%	0.45	-13.6%	2
2022	0.0%	0.00	0.0%	0

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	269	0.0%	0.00	0%
hidden test	EXPENSIVE	83	12.6%	0.62	19%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-6.8%	-1.01	0%
hidden test	LOW VOLATILITY	429	7.4%	1.49	2%
hidden test	MEDIUM VOLATILITY	250	2.2%	0.19	4%
hidden test	NORMAL	802	1.2%	0.23	1%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	5.3%	0.44	6%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	20.4%	1.49	8%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	4.0%	0.60	0%
train	LOW VOLATILITY	745	6.8%	1.20	5%
train	MEDIUM VOLATILITY	568	-2.0%	-0.27	3%
train	NORMAL	1,601	0.2%	0.05	2%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	7.4%	0.75	6%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	78.8%	2.60	32%
validation	EXTREME	144	55.7%	3.08	6%
validation	HIGH VOLATILITY	258	-1.5%	-0.12	1%
validation	LOW VOLATILITY	183	11.8%	1.68	3%
validation	MEDIUM VOLATILITY	315	55.1%	2.36	18%
validation	NORMAL	474	0.5%	0.05	2%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	45.0%	1.97	15%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-10-13	$410.04	$435.90	3.54%	21
2024-07-03	2024-07-12	$246.39	$248.23	3.32%	7
2021-10-26	2021-11-10	$339.48	$355.98	-0.02%	12
2020-11-19	2021-02-01	$166.42	$279.94	48.50%	49
2019-12-17	2020-01-31	$25.27	$43.37	51.65%	31
2017-01-05	2017-02-24	$15.12	$17.13	10.04%	35
2016-04-05	2016-04-29	$17.03	$16.05	0.13%	19
2014-02-21	2014-02-26	$13.97	$16.87	14.23%	4
2012-03-27	2012-04-05	$2.53	$2.30	-5.25%	8