Breakout20_V0659
REJECTEDbreakoutllm1) Added trend gate = UPTREND and bubble gate = NORMAL to avoid buying in bad regimes. 2) Tightened dist_sma_20 threshold (>-0.05) and vol_chg (<1.0) and required elevated rel_volume (>1.0) to improve quality of breakouts. 3) Replaced single sma-cross exit with an OR exit: sma_20 cross OR fast 5-day loss OR absolute drawdown >6% to cut losses sooner. 4) Reduced base_position to 0.6 and added volatility scaling (1.0/0.6/0.33 for low/med/high) to lower risk and drawdowns while keeping exposure in favorable regimes. | rejected: stage1: sharpe -0.53 below screen
Lineage
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Strategy Logic (pseudocode)
# Breakout20_V0659 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.05 and vol_chg < 1.0 and rel_volume > 1.0):
position = 0.6
if long and (close < sma_20 or drawdown < -0.06 or ret_5d < -0.05):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.6
if regime.volatility == "HIGH_VOLATILITY": position *= 0.33Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
Walk-Forward Years
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| No walk-forward results | ||||
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 |
|---|---|---|---|---|---|
| No regime results | |||||
Trades (full period)
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||