Breakout20_V0594

ARCHIVEDbreakout

llmAdded momentum and overbought filters to entries (macd_hist>0, rsi_14<75) and relaxed dist_sma_20 threshold to 0.06 to capture more breakouts with confirmation; added protective exit for large single-day drops (ret_1d < -6%) in addition to sma_20 cross; introduced regime gates to only trade in uptrends and non-high-volatility regimes; reduced base position to 0.8 to lower drawdown exposure.

Fitness

0.1878

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_V0594  [breakout]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (breakout_20 == 1 and dist_sma_20 > 0.06 and macd_hist > 0.0 and rsi_14 < 75.0):
    position = 0.8
if long and (close < sma_20 or ret_1d < -0.06):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	2.8%	-0.6%	2.1%	1.9%
Total Return	25.0%	-1.7%	7.9%	32.7%
Sharpe	0.33	0.01	0.22	0.23
Sortino	0.15	0.00	0.09	0.10
Calmar	0.22	-0.02	0.11	0.07
Volatility	10.1%	11.5%	13.6%	11.3%
Max DD	-12.9%	-27.3%	-18.4%	-27.3%
Win Rate	47.1%	22.2%	55.6%	42.9%
Avg Win	6.9%	20.4%	7.2%	8.8%
Avg Loss	-3.2%	-5.3%	-6.4%	-4.6%
Payoff	2.13	3.84	1.12	1.91
Expectancy	1.5%	0.4%	1.1%	1.1%
Profit Factor	1.90	1.10	1.40	1.43
Trades	17	9	9	35
Avg Holding Days	12.6	5.8	10.0	10.2
Turnover	3.4	4.8	3.9	3.8
Exposure	7.9%	4.6%	6.9%	7.0%

Growth of $100

Breakout20_V0594 vs TSLA Buy & Hold

Breakout20_V0594 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	1.1%	0.19	-5.5%	2
2017	18.9%	1.38	-7.2%	4
2018	-6.2%	-1.41	-6.2%	1
2019	0.0%	0.00	0.0%	0
2020	15.0%	1.07	-7.0%	3
2021	12.7%	1.21	-4.1%	2
2022	-24.2%	-2.83	-24.2%	4

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	27.2%	1.20	22%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-19.8%	-1.76	1%
hidden test	LOW VOLATILITY	429	22.7%	1.82	10%
hidden test	MEDIUM VOLATILITY	250	-7.6%	-0.45	9%
hidden test	NORMAL	802	0.7%	0.05	6%
hidden test	SIDEWAYS	293	-6.1%	-1.07	1%
hidden test	UPTREND	371	12.3%	0.59	17%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	25.5%	1.44	16%
train	EXTREME	100	9.3%	1.55	1%
train	HIGH VOLATILITY	699	6.1%	0.80	0%
train	LOW VOLATILITY	745	5.9%	0.52	17%
train	MEDIUM VOLATILITY	568	-3.6%	-0.33	5%
train	NORMAL	1,601	-1.4%	-0.18	7%
train	SIDEWAYS	592	-2.7%	-0.90	1%
train	UPTREND	902	9.1%	0.62	17%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	33.6%	1.73	12%
validation	EXTREME	144	20.8%	1.86	1%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	-14.4%	-1.98	6%
validation	MEDIUM VOLATILITY	315	8.6%	0.51	8%
validation	NORMAL	474	-16.0%	-2.04	4%
validation	SIDEWAYS	206	-12.9%	-1.80	1%
validation	UPTREND	425	6.4%	0.44	8%

Trades (full period)

35 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-6.15%	2
2025-12-08	2025-12-30	$439.58	$454.43	0.73%	16
2025-09-12	2025-10-13	$395.94	$435.90	9.63%	22
2025-05-28	2025-06-05	$356.90	$284.70	-6.99%	7
2024-09-24	2024-09-27	$254.27	$260.46	1.19%	4
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-02	2024-07-12	$231.26	$248.23	11.75%	8
2023-07-06	2023-07-21	$276.54	$260.02	-5.64%	12
2023-06-02	2023-06-27	$213.97	$250.21	12.72%	17
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-22	$306.56	$289.91	-3.44%	5
2022-08-05	2022-08-08	$288.17	$290.42	-5.46%	2
2022-04-05	2022-04-12	$363.75	$328.98	-12.12%	6
2021-08-05	2021-08-17	$238.21	$221.90	-2.92%	9
2021-01-05	2021-01-11	$245.04	$270.40	16.09%	5
2020-12-18	2020-12-22	$231.67	$213.45	-0.83%	3
2020-11-19	2020-12-08	$166.42	$216.63	24.77%	13
2020-10-15	2020-10-21	$149.63	$140.88	-7.02%	5
2018-12-14	2018-12-18	$24.38	$22.47	-6.20%	3
2017-09-18	2017-09-25	$25.67	$23.00	-6.22%	6
2017-06-06	2017-06-14	$23.52	$25.38	6.41%	7
2017-03-28	2017-04-04	$18.50	$20.25	8.17%	6
2017-01-05	2017-02-24	$15.12	$17.13	10.04%	35
2016-06-08	2016-06-09	$15.70	$15.29	0.93%	2
2016-04-05	2016-04-29	$17.03	$16.05	0.13%	19
2015-05-12	2015-07-09	$16.32	$17.19	5.07%	41
2015-04-30	2015-05-01	$15.07	$15.07	-2.36%	2
2014-08-05	2014-09-16	$15.90	$17.38	5.11%	30
2014-06-24	2014-07-08	$15.50	$14.60	-5.07%	10
2014-02-14	2014-02-26	$13.22	$16.87	19.03%	8
2013-09-23	2013-10-03	$12.07	$11.55	-1.18%	9
2013-01-25	2013-02-19	$2.47	$2.62	-0.02%	17
2012-11-30	2012-12-14	$2.25	$2.25	-0.32%	11
2012-03-28	2012-04-05	$2.52	$2.30	-6.33%	7
2012-02-21	2012-02-22	$2.30	$2.28	-1.23%	2