Strategy Zoo / S0614
Breakout20_V0614
ARCHIVEDbreakoutllmLoosened dist_sma_20 threshold and added sma_50_slope filter to improve generalization; added stronger multi-part exit (sma_20 OR sma_50 cross OR 5d loss stop) to reduce large drawdowns; added regime gates to only trade in uptrends/normal-to-medium volatility and non-expensive bubble states; reduced base position and added volatility & drawdown position rules (scale down in high vol, scale up in low vol, shut off on large drawdown) to control risk and improve walk-forward robustness.
Fitness
0.1040
Generation
28
Complexity
11
Created
2026-09-23
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> 0.0942
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0614 [breakout]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (breakout_20 == 1 and dist_sma_20 > 0.06 and sma_50_slope > 0.0):
position = 0.8
if long and (close < sma_20 or close < sma_50 or ret_5d < -0.05):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.5% | -3.6% | 3.0% | -0.3% |
| Total Return | -4.3% | -10.4% | 11.4% | -4.4% |
| Sharpe | -0.04 | -0.25 | 0.31 | 0.02 |
| Sortino | -0.01 | -0.09 | 0.09 | 0.01 |
| Calmar | -0.04 | -0.11 | 0.21 | -0.01 |
| Volatility | 7.1% | 11.7% | 11.9% | 9.5% |
| Max DD | -13.8% | -31.8% | -14.3% | -31.8% |
| Win Rate | 40.0% | 16.7% | 57.1% | 39.1% |
| Avg Win | 4.9% | 17.0% | 7.7% | 7.5% |
| Avg Loss | -3.8% | -5.2% | -6.0% | -4.8% |
| Payoff | 1.29 | 3.29 | 1.29 | 1.58 |
| Expectancy | -0.3% | -1.5% | 1.8% | 0.0% |
| Profit Factor | 0.86 | 0.66 | 1.72 | 1.01 |
| Trades | 10 | 6 | 7 | 23 |
| Avg Holding Days | 14.7 | 7.2 | 8.6 | 10.9 |
| Turnover | 2.0 | 3.2 | 3.0 | 2.5 |
| Exposure | 5.4% | 3.9% | 4.5% | 4.9% |
Growth of $100
Breakout20_V0614 vs TSLA Buy & Hold
Breakout20_V0614 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 | 9.5% | 2.08 | -0.7% | 1 |
| 2018 | -6.2% | -1.41 | -6.2% | 1 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 13.6% | 0.80 | -13.6% | 2 |
| 2022 | -21.2% | -2.64 | -21.1% | 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 | 17.4% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -19.7% | -1.75 | 1% |
| hidden test | LOW VOLATILITY | 429 | 15.0% | 1.31 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | 7.9% | 0.60 | 4% |
| hidden test | NORMAL | 802 | 2.4% | 0.20 | 5% |
| hidden test | SIDEWAYS | 293 | -5.2% | -0.93 | 0% |
| hidden test | UPTREND | 371 | 13.3% | 0.73 | 11% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 1.4% | 0.86 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 2.1% | 0.21 | 12% |
| train | MEDIUM VOLATILITY | 568 | -3.8% | -0.53 | 3% |
| train | NORMAL | 1,601 | -0.6% | -0.08 | 7% |
| train | SIDEWAYS | 592 | -2.6% | -0.92 | 0% |
| train | UPTREND | 902 | 1.1% | 0.10 | 12% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -9.4% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -6.0% | -0.69 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 4.1% | 0.28 | 5% |
| validation | NORMAL | 474 | -4.7% | -0.32 | 6% |
| validation | SIDEWAYS | 206 | -12.9% | -1.80 | 1% |
| validation | UPTREND | 425 | 1.0% | 0.06 | 6% |
Trades (full period)
23 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 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 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 | |
| 2023-07-05 | 2023-07-21 | $282.48 | $260.02 | -4.92% | 13 | |
| 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 | 2022-04-11 | $363.75 | $325.31 | -8.58% | 5 | |
| 2021-10-18 | 2021-11-10 | $290.04 | $355.98 | 17.04% | 18 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -6.20% | 3 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 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 | |
| 2012-11-30 | 2012-12-14 | $2.25 | $2.25 | -0.32% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -5.25% | 8 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -3.74% | 9 |