Strategy Zoo / S0613
Breakout20_V0613
ARCHIVEDbreakoutllmRequire confirmed uptrend regime and medium volatility; tighten entry to be above SMA20, limit breakout during strong recent vol spikes, avoid overbought (RSI<70) and require positive MACD histogram; improved exits: exit on close below SMA20 OR big 1d loss OR MACD histogram turning negative to cut momentum losses earlier.
Fitness
0.2143
Generation
28
Complexity
11
Created
2026-09-23
Lineage
Parents (1)
logic of Breakout20_V0308 with risk overlay of Breakout20_V0324
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0613 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > 0.002 and vol_chg < 1.0 and rsi_14 < 70.0 and macd_hist > 0.0):
position = 1.0
if long and (close < sma_20 or ret_1d < -0.03 or macd_hist < 0.0):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.3Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.7% | 6.2% | 4.7% | 2.8% |
| Total Return | 6.1% | 19.9% | 18.7% | 51.0% |
| Sharpe | 0.13 | 0.43 | 0.33 | 0.25 |
| Sortino | 0.08 | 0.28 | 0.20 | 0.15 |
| Calmar | 0.02 | 0.26 | 0.17 | 0.08 |
| Volatility | 16.5% | 17.6% | 19.5% | 17.5% |
| Max DD | -36.4% | -24.3% | -27.8% | -36.4% |
| Win Rate | 29.2% | 20.0% | 33.3% | 28.4% |
| Avg Win | 8.8% | 19.0% | 12.5% | 11.6% |
| Avg Loss | -3.1% | -2.9% | -4.5% | -3.4% |
| Payoff | 2.83 | 6.51 | 2.79 | 3.37 |
| Expectancy | 0.4% | 1.5% | 1.2% | 0.8% |
| Profit Factor | 1.16 | 1.63 | 1.39 | 1.34 |
| Trades | 48 | 20 | 27 | 95 |
| Avg Holding Days | 9.3 | 6.3 | 6.2 | 7.8 |
| Turnover | 10.1 | 11.0 | 13.8 | 11.2 |
| Exposure | 15.7% | 12.9% | 13.5% | 14.6% |
Growth of $100
Breakout20_V0613 vs TSLA Buy & Hold
Breakout20_V0613 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 | 9.0% | 0.89 | -9.6% | 3 |
| 2017 | 25.6% | 1.53 | -12.3% | 6 |
| 2018 | -12.6% | -1.41 | -14.3% | 6 |
| 2019 | 1.8% | 0.20 | -18.4% | 6 |
| 2020 | -8.2% | -0.68 | -15.7% | 6 |
| 2021 | 30.4% | 1.38 | -10.6% | 7 |
| 2022 | 0.3% | 0.11 | -19.6% | 7 |
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 | -6.3% | -0.48 | 7% |
| hidden test | EXPENSIVE | 83 | 39.3% | 1.54 | 21% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -3.0% | -0.17 | 4% |
| hidden test | LOW VOLATILITY | 429 | 16.4% | 0.84 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | -0.7% | -0.04 | 15% |
| hidden test | NORMAL | 802 | 3.5% | 0.18 | 14% |
| hidden test | SIDEWAYS | 293 | -19.0% | -1.08 | 18% |
| hidden test | UPTREND | 371 | 36.0% | 1.49 | 14% |
| train | DOWNTREND | 518 | -2.0% | -0.17 | 10% |
| train | EXPENSIVE | 311 | 15.1% | 1.03 | 18% |
| train | EXTREME | 100 | 28.6% | 1.47 | 13% |
| train | HIGH VOLATILITY | 699 | -1.6% | -0.10 | 5% |
| train | LOW VOLATILITY | 745 | 17.2% | 1.15 | 27% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.72 | 13% |
| train | NORMAL | 1,601 | -2.1% | -0.12 | 15% |
| train | SIDEWAYS | 592 | -6.0% | -0.33 | 18% |
| train | UPTREND | 902 | 9.8% | 0.55 | 18% |
| validation | DOWNTREND | 125 | -7.7% | -0.55 | 5% |
| validation | EXPENSIVE | 138 | -14.0% | -1.08 | 4% |
| validation | EXTREME | 144 | -0.5% | -0.05 | 3% |
| validation | HIGH VOLATILITY | 258 | -8.1% | -0.87 | 2% |
| validation | LOW VOLATILITY | 183 | -1.6% | -0.11 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 25.8% | 1.11 | 12% |
| validation | NORMAL | 474 | 16.3% | 0.79 | 19% |
| validation | SIDEWAYS | 206 | 2.3% | 0.13 | 14% |
| validation | UPTREND | 425 | 14.6% | 0.80 | 15% |
Trades (full period)
95 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 2.34% | 7 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2025-12-18 | $475.31 | $483.37 | 1.61% | 4 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-12 | 2025-09-26 | $395.94 | $440.40 | 14.58% | 11 | |
| 2025-08-26 | 2025-09-02 | $351.67 | $329.36 | -3.86% | 5 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -5.77% | 9 | |
| 2025-05-12 | 2025-06-02 | $318.38 | $342.69 | 8.40% | 15 | |
| 2025-04-29 | 2025-05-01 | $292.03 | $280.52 | -0.43% | 3 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.25% | 2 | |
| 2024-09-16 | 2024-10-03 | $226.78 | $240.66 | 9.56% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-27 | 2024-07-12 | $197.42 | $248.23 | 22.50% | 11 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-15 | 2023-12-21 | $253.50 | $254.50 | -1.75% | 5 | |
| 2023-11-29 | 2023-12-13 | $244.14 | $239.29 | -4.13% | 11 | |
| 2023-11-16 | 2023-11-17 | $233.59 | $234.30 | -4.01% | 2 | |
| 2023-09-12 | 2023-09-19 | $267.48 | $266.50 | -3.23% | 6 | |
| 2023-05-19 | 2023-06-22 | $180.14 | $264.61 | 46.39% | 23 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-02-02 | 2023-02-13 | $188.27 | $194.64 | 2.49% | 8 | |
| 2023-01-24 | 2023-01-31 | $143.89 | $173.22 | 4.76% | 6 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-28 | 2022-08-08 | $280.90 | $290.42 | 4.65% | 8 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-07-11 | 2022-07-12 | $234.34 | $233.07 | -6.74% | 2 | |
| 2022-03-21 | 2022-04-06 | $307.05 | $348.59 | 20.29% | 13 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -1.31% | 2 | |
| 2021-10-13 | 2021-11-03 | $270.36 | $404.62 | 45.17% | 16 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-03 | 2021-08-17 | $236.58 | $221.90 | -3.50% | 11 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-15 | $244.08 | $246.28 | -4.14% | 2 | |
| 2020-12-18 | 2020-12-22 | $231.67 | $213.45 | -1.11% | 3 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-05-11 | 2020-05-14 | $54.09 | $53.56 | -1.11% | 4 | |
| 2020-04-30 | 2020-05-04 | $52.13 | $50.75 | -3.83% | 3 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -1.17% | 2 | |
| 2020-04-13 | 2020-04-22 | $43.40 | $48.81 | 5.88% | 8 | |
| 2019-10-14 | 2019-10-30 | $17.13 | $21.00 | 22.74% | 13 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.52% | 18 | |
| 2019-06-18 | 2019-06-21 | $14.98 | $14.79 | -0.78% | 4 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -3.95% | 2 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-11-19 | 2018-11-21 | $23.56 | $22.55 | -0.64% | 3 | |
| 2018-11-01 | 2018-11-13 | $22.95 | $22.58 | -0.55% | 9 | |
| 2018-05-10 | 2018-05-15 | $20.33 | $18.95 | -3.76% | 4 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -2.32% | 4 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -1.18% | 13 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-09-14 | 2017-09-25 | $25.18 | $23.00 | -4.32% | 8 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | -0.28% | 11 | |
| 2017-05-31 | 2017-06-12 | $22.73 | $23.93 | 5.38% | 9 | |
| 2017-03-27 | 2017-04-13 | $18.01 | $20.27 | 13.07% | 14 | |
| 2016-12-15 | 2017-02-02 | $13.17 | $16.77 | 25.19% | 33 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-07-12 | 2016-07-22 | $14.98 | $14.82 | -0.61% | 9 | |
| 2016-03-04 | 2016-03-24 | $13.40 | $15.18 | 3.99% | 15 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-12-02 | 2015-12-14 | $15.47 | $14.57 | -7.46% | 9 | |
| 2015-11-09 | 2015-11-10 | $15.02 | $14.43 | -0.97% | 2 | |
| 2015-09-17 | 2015-09-29 | $17.47 | $16.44 | -5.04% | 9 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-02 | 2015-07-08 | $18.67 | $17.00 | -0.67% | 4 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 20.69% | 34 | |
| 2015-02-04 | 2015-02-13 | $14.57 | $13.58 | -7.27% | 8 | |
| 2014-11-14 | 2014-11-20 | $17.25 | $16.58 | -1.77% | 5 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 7.44% | 15 | |
| 2014-06-30 | 2014-07-03 | $16.00 | $15.28 | -4.22% | 4 | |
| 2014-02-11 | 2014-02-20 | $13.11 | $14.00 | -1.24% | 7 | |
| 2014-01-31 | 2014-02-06 | $12.09 | $11.89 | -1.45% | 5 | |
| 2014-01-22 | 2014-01-27 | $11.90 | $11.31 | -0.39% | 4 | |
| 2013-12-27 | 2014-01-10 | $10.07 | $9.71 | -2.93% | 10 | |
| 2013-12-13 | 2013-12-20 | $9.84 | $9.55 | -1.41% | 6 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | -2.16% | 12 | |
| 2013-07-30 | 2013-08-08 | $8.78 | $10.23 | -0.07% | 8 | |
| 2013-04-17 | 2013-05-08 | $3.03 | $3.72 | 6.75% | 16 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 6.59% | 16 | |
| 2012-11-14 | 2012-12-14 | $2.09 | $2.25 | 6.11% | 22 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -8.11% | 2 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -3.22% | 3 | |
| 2012-02-15 | 2012-02-29 | $2.24 | $2.23 | 1.73% | 10 | |
| 2012-01-27 | 2012-02-13 | $1.96 | $2.10 | 2.18% | 12 |