Breakout20_V0609

ARCHIVEDhybrid

llmAdded trend and volatility gates; require breakout + positive short-term momentum (dist_sma_20 > 0 and sma_50_slope > 0) for entries; stronger, multi-condition exits (20d stop-loss, falling sma_50_slope, or negative MACD histogram); reduced base position to 0.8 and added position scaling: full size on high relative volume breakouts and reduced size in high volatility. Aims to reduce drawdown/overfitting and improve robustness.

Fitness

0.4681

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

Breakout20_V0474S0474 · gen 22ARCHIVEDllm

entry from Breakout20_V0011, exit from PriceMomentum_V0387

Children (0)

None

Strategy Logic (pseudocode)

# Breakout20_V0609  [hybrid]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.0 and sma_50_slope > 0.0):
    position = 0.8
if long and (ret_20d < -0.08 or sma_50_slope < 0.0 or macd_hist < 0.0):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	11.9%	47.7%	12.8%	18.8%
Total Return	144.9%	222.0%	56.0%	1159.0%
Sharpe	0.64	1.44	0.70	0.87
Sortino	0.49	1.26	0.49	0.67
Calmar	0.26	1.44	0.68	0.41
Volatility	20.8%	30.1%	19.9%	22.8%
Max DD	-46.1%	-33.2%	-18.6%	-46.1%
Win Rate	40.8%	47.6%	52.6%	44.9%
Avg Win	10.3%	18.2%	8.6%	12.5%
Avg Loss	-3.3%	-3.5%	-3.8%	-3.4%
Payoff	3.15	5.26	2.23	3.65
Expectancy	2.3%	6.9%	2.7%	3.7%
Profit Factor	2.17	4.78	2.48	2.98
Trades	49	21	19	89
Avg Holding Days	9.9	10.6	9.5	10.1
Turnover	9.9	11.2	8.2	9.7
Exposure	17.8%	21.3%	13.8%	17.5%

Growth of $100

Breakout20_V0609 vs TSLA Buy & Hold

Breakout20_V0609 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%	-0.19	-6.9%	3
2017	27.6%	1.65	-11.9%	10
2018	-20.3%	-1.19	-21.9%	8
2019	12.8%	0.60	-23.4%	4
2020	197.2%	2.66	-17.8%	9
2021	40.5%	1.60	-13.5%	7
2022	-25.4%	-2.37	-25.3%	5

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	58.2%	1.65	37%
hidden test	EXTREME	48	106.6%	2.99	32%
hidden test	HIGH VOLATILITY	254	12.7%	0.47	17%
hidden test	LOW VOLATILITY	429	27.1%	1.80	13%
hidden test	MEDIUM VOLATILITY	250	-7.4%	-0.40	12%
hidden test	NORMAL	802	3.8%	0.24	10%
hidden test	SIDEWAYS	293	-23.1%	-1.52	11%
hidden test	UPTREND	371	53.4%	1.88	26%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	29.5%	1.14	35%
train	EXTREME	100	236.8%	4.30	57%
train	HIGH VOLATILITY	699	21.0%	0.70	18%
train	LOW VOLATILITY	745	16.1%	1.24	23%
train	MEDIUM VOLATILITY	568	0.3%	0.02	10%
train	NORMAL	1,601	-3.8%	-0.26	12%
train	SIDEWAYS	592	-11.0%	-0.88	8%
train	UPTREND	902	37.0%	1.26	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	48.8%	1.69	28%
validation	EXTREME	144	189.2%	3.48	41%
validation	HIGH VOLATILITY	258	54.0%	1.35	17%
validation	LOW VOLATILITY	183	15.2%	1.14	23%
validation	MEDIUM VOLATILITY	315	51.2%	1.84	24%
validation	NORMAL	474	-2.4%	-0.14	13%
validation	SIDEWAYS	206	-4.8%	-0.53	4%
validation	UPTREND	425	79.6%	2.01	36%

Trades (full period)

89 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-15	$393.45	$394.46	-5.56%	9
2026-05-14	2026-05-21	$443.30	$417.85	-5.18%	6
2025-12-08	2025-12-30	$439.58	$454.43	0.73%	16
2025-11-04	2025-11-05	$444.26	$462.07	-4.27%	2
2025-10-29	2025-10-30	$461.51	$440.10	0.01%	2
2025-09-12	2025-10-06	$395.94	$453.25	13.02%	17
2025-08-26	2025-09-03	$351.67	$334.09	-4.14%	6
2025-05-19	2025-06-03	$342.09	$344.27	-1.77%	11
2024-12-09	2024-12-24	$389.79	$462.28	8.42%	12
2024-12-05	2024-12-06	$369.49	$389.22	2.42%	2
2024-12-03	2024-12-04	$351.42	$357.93	-1.43%	2
2024-10-28	2024-11-29	$262.51	$345.16	18.82%	24
2024-09-06	2024-09-20	$210.73	$238.25	4.71%	11
2024-06-18	2024-07-22	$184.86	$251.51	21.67%	23
2023-07-18	2023-07-19	$293.34	$291.26	0.65%	2
2023-07-05	2023-07-07	$282.48	$274.43	-1.09%	3
2023-05-31	2023-06-27	$203.93	$250.21	15.56%	19
2023-04-03	2023-04-06	$194.77	$185.06	-8.66%	4
2023-02-10	2023-02-23	$196.89	$202.07	-2.53%	9
2022-09-20	2022-09-23	$308.73	$275.33	-5.47%	4
2022-08-16	2022-08-19	$306.56	$296.67	-1.83%	4
2022-08-02	2022-08-12	$300.59	$300.03	-2.97%	9
2022-04-05	2022-04-11	$363.75	$325.31	-8.58%	5
2022-01-04	2022-01-12	$383.20	$368.74	-9.23%	7
2021-10-13	2021-11-11	$270.36	$354.50	25.59%	22
2021-10-08	2021-10-11	$261.83	$263.98	-0.98%	2
2021-09-27	2021-10-07	$263.79	$264.54	0.71%	9
2021-08-31	2021-09-21	$245.24	$246.46	-0.21%	15
2021-08-02	2021-08-17	$236.56	$221.90	-0.24%	12
2021-01-26	2021-01-27	$294.36	$288.05	0.05%	2
2021-01-04	2021-01-25	$243.26	$293.60	15.72%	15
2020-12-18	2020-12-23	$231.67	$215.33	-1.99%	4
2020-11-19	2020-12-17	$166.42	$218.63	21.91%	20
2020-10-15	2020-10-20	$149.63	$140.65	-5.46%	4
2020-08-17	2020-09-08	$122.38	$110.07	21.16%	16
2020-07-01	2020-07-27	$74.64	$102.64	24.62%	18
2020-06-09	2020-06-25	$62.71	$65.73	0.90%	13
2020-06-01	2020-06-02	$59.87	$58.77	5.88%	2
2020-05-22	2020-05-26	$54.46	$54.59	-1.20%	2
2019-12-13	2020-02-26	$23.89	$51.92	91.50%	50
2019-10-16	2019-11-21	$17.32	$23.66	28.53%	27
2019-09-11	2019-09-25	$16.47	$15.25	-4.29%	11
2019-07-22	2019-07-26	$17.05	$15.20	-9.19%	5
2019-01-18	2019-01-22	$20.15	$19.93	-10.53%	2
2018-12-11	2018-12-18	$24.45	$22.47	-3.81%	6
2018-12-07	2018-12-10	$23.86	$24.34	-1.28%	2
2018-12-04	2018-12-06	$23.98	$24.20	0.11%	2
2018-11-08	2018-11-21	$23.43	$22.55	-0.27%	10
2018-08-03	2018-08-20	$23.21	$20.56	-10.18%	12
2018-06-12	2018-06-26	$22.85	$22.80	0.14%	11
2018-02-27	2018-03-06	$23.40	$21.88	-5.56%	6
2018-01-18	2018-02-05	$22.97	$22.21	-0.92%	13
2017-09-18	2017-09-25	$25.67	$23.00	-6.22%	6
2017-08-04	2017-08-22	$23.79	$22.76	-2.25%	13
2017-05-31	2017-06-27	$22.73	$24.16	9.88%	20
2017-05-11	2017-05-12	$21.54	$21.65	-0.68%	2
2017-05-01	2017-05-04	$21.52	$19.70	-0.92%	4
2017-04-26	2017-04-27	$20.68	$20.58	-1.08%	2
2017-03-27	2017-04-21	$18.01	$20.37	11.72%	19
2017-02-09	2017-02-22	$17.95	$18.23	4.52%	9
2017-02-07	2017-02-08	$17.17	$17.47	-0.25%	2
2016-12-28	2017-02-02	$14.65	$16.77	10.56%	25
2016-07-26	2016-08-09	$15.30	$15.27	-1.49%	11
2016-04-05	2016-04-14	$17.03	$16.79	2.32%	8
2015-12-31	2016-01-06	$16.00	$14.60	-5.07%	4
2015-07-21	2015-07-22	$17.78	$17.86	-4.55%	2
2015-06-22	2015-07-09	$17.32	$17.19	-2.40%	13
2015-06-18	2015-06-19	$17.46	$17.50	0.29%	2
2015-06-09	2015-06-10	$17.07	$16.71	-0.25%	2
2015-05-29	2015-06-01	$16.72	$16.63	-0.37%	2
2015-04-30	2015-05-22	$15.07	$16.52	4.37%	17
2014-09-02	2014-09-12	$18.94	$18.61	3.01%	9
2014-08-28	2014-08-29	$17.59	$17.98	0.03%	2
2014-08-26	2014-08-27	$17.45	$17.55	-0.41%	2
2014-08-04	2014-08-25	$15.90	$17.50	7.86%	16
2014-06-24	2014-07-07	$15.50	$14.84	-2.83%	9
2014-02-10	2014-03-11	$13.10	$15.63	22.02%	21
2014-01-24	2014-02-06	$11.64	$11.89	-3.23%	10
2013-09-20	2013-10-04	$12.23	$12.07	-2.17%	11
2013-08-23	2013-09-10	$10.79	$11.09	1.70%	12
2013-07-30	2013-08-15	$8.78	$9.31	2.87%	13
2013-07-02	2013-07-17	$7.85	$8.02	-5.52%	11
2013-06-27	2013-06-28	$7.28	$7.16	2.51%	2
2013-04-02	2013-06-04	$2.96	$6.32	83.52%	45
2013-01-24	2013-02-14	$2.47	$2.55	5.28%	16
2013-01-03	2013-01-04	$2.32	$2.29	-1.49%	2
2012-11-14	2012-12-14	$2.09	$2.25	4.93%	22
2012-03-27	2012-04-05	$2.53	$2.30	-5.25%	8
2012-03-13	2012-03-16	$2.41	$2.35	-2.40%	4