Strategy Zoo / S0695
Breakout20_V0695
ARCHIVEDbreakoutllmAdded short-term trend filter (sma_10>sma_50) to reduce false breakouts; added protective exits: fixed stop (drawdown<-8%) and exit on extreme volatility (vol_pctile>0.9) while keeping sma_20 crossover exit; restricted to UPTREND regime and avoided bubble-expensive regime; implemented volatility-based sizing (LOW=1.0, MED=0.7, HIGH=0.35) and lowered base position to 0.8.
Fitness
0.4736
Generation
32
Complexity
12
Created
2026-09-25
Lineage
Parents (1)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0695 [breakout]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.12 and vol_chg < 1.2 and sma_10 > sma_50):
position = 0.8
if long and (close < sma_20 or drawdown < -0.08 or vol_pctile > 0.9):
position = 0.0 # exit to cash
if regime.volatility == "LOW_VOLATILITY": position *= 1.0
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.7
if regime.volatility == "HIGH_VOLATILITY": position *= 0.35Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.4% | 40.9% | 3.2% | 9.6% |
| Total Return | 20.4% | 179.5% | 12.3% | 287.0% |
| Sharpe | 0.26 | 1.98 | 0.34 | 0.76 |
| Sortino | 0.16 | 1.92 | 0.17 | 0.52 |
| Calmar | 0.10 | 2.90 | 0.23 | 0.41 |
| Volatility | 11.8% | 18.1% | 11.1% | 13.2% |
| Max DD | -23.5% | -14.1% | -13.6% | -23.5% |
| Win Rate | 37.0% | 38.2% | 59.3% | 43.9% |
| Avg Win | 2.2% | 10.9% | 1.8% | 3.8% |
| Avg Loss | -1.1% | -1.1% | -2.0% | -1.3% |
| Payoff | 1.94 | 10.00 | 0.89 | 2.85 |
| Expectancy | 0.1% | 3.5% | 0.2% | 0.9% |
| Profit Factor | 1.14 | 6.31 | 1.30 | 2.23 |
| Trades | 92 | 34 | 54 | 180 |
| Avg Holding Days | 4.4 | 5.6 | 2.4 | 4.1 |
| Turnover | 14.3 | 14.7 | 18.7 | 15.4 |
| Exposure | 10.1% | 11.3% | 5.3% | 9.2% |
Growth of $100
Breakout20_V0695 vs TSLA Buy & Hold
Breakout20_V0695 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 | 1.5% | 0.40 | -2.1% | 12 |
| 2017 | 0.2% | 0.08 | -10.2% | 12 |
| 2018 | -3.8% | -0.75 | -4.3% | 12 |
| 2019 | 13.9% | 1.53 | -3.0% | 14 |
| 2020 | 140.8% | 3.71 | -5.0% | 10 |
| 2021 | 19.3% | 1.06 | -11.8% | 15 |
| 2022 | -5.0% | -1.00 | -5.3% | 9 |
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 | 271 | 2.2% | 1.64 | 1% |
| hidden test | EXPENSIVE | 83 | -19.8% | -1.00 | 14% |
| hidden test | EXTREME | 48 | 37.1% | 1.65 | 11% |
| hidden test | HIGH VOLATILITY | 254 | 2.7% | 0.38 | 2% |
| hidden test | LOW VOLATILITY | 431 | 21.1% | 1.77 | 7% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.2% | -2.01 | 5% |
| hidden test | NORMAL | 804 | 4.2% | 0.49 | 4% |
| hidden test | SIDEWAYS | 293 | -6.0% | -0.68 | 5% |
| hidden test | UPTREND | 371 | 12.6% | 0.80 | 9% |
| train | DOWNTREND | 518 | 0.4% | 0.16 | 1% |
| train | EXPENSIVE | 311 | 20.3% | 0.99 | 26% |
| train | EXTREME | 100 | 74.6% | 3.24 | 26% |
| train | HIGH VOLATILITY | 699 | 3.9% | 0.41 | 3% |
| train | LOW VOLATILITY | 745 | 5.7% | 0.43 | 18% |
| train | MEDIUM VOLATILITY | 568 | -1.6% | -0.13 | 8% |
| train | NORMAL | 1,601 | -4.8% | -0.63 | 6% |
| train | SIDEWAYS | 592 | -1.4% | -0.24 | 3% |
| train | UPTREND | 902 | 7.4% | 0.44 | 20% |
| validation | DOWNTREND | 125 | 2.3% | 1.35 | 1% |
| validation | EXPENSIVE | 138 | 71.6% | 2.93 | 25% |
| validation | EXTREME | 144 | 104.1% | 4.09 | 17% |
| validation | HIGH VOLATILITY | 258 | 25.1% | 1.61 | 4% |
| validation | LOW VOLATILITY | 183 | 21.8% | 1.64 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 52.9% | 2.41 | 16% |
| validation | NORMAL | 474 | 4.8% | 0.40 | 6% |
| validation | SIDEWAYS | 206 | -2.6% | -0.48 | 2% |
| validation | UPTREND | 425 | 64.4% | 2.72 | 19% |
Trades (full period)
latest 100 of 180
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-23 | 2026-09-24 | $380.12 | — | 0.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.51% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.23% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.05% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.02% | 11 | |
| 2025-11-04 | 2025-11-10 | $444.26 | $445.23 | -6.02% | 5 | |
| 2025-10-29 | 2025-10-31 | $461.51 | $456.56 | -2.59% | 3 | |
| 2025-09-30 | 2025-10-03 | $444.72 | $429.83 | -1.43% | 4 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -3.66% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.37% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -1.85% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.10% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 5.72% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.01% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.50% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.04% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -1.37% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 1.08% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 3.66% | 2 | |
| 2024-12-09 | 2024-12-19 | $389.79 | $436.17 | 6.48% | 9 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 0.85% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -0.50% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.17% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 2.24% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.14% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.72% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 0.84% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -0.71% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -4.84% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.97% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.05% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 4.68% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.27% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.26% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -2.69% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -3.29% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.62% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.00% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.45% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.42% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 4.11% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.68% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.09% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.02% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.20% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.25% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.15% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -5.05% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 0.61% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -1.46% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 0.58% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 0.65% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 1.00% | 2 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.25% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.61% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 1.16% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.09% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.13% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -2.76% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.28% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 20.07% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.37% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.59% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -3.25% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.04% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.13% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.06% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.37% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.72% | 2 | |
| 2021-08-06 | 2021-08-09 | $233.03 | $237.92 | -1.90% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-08-02 | 2021-08-03 | $236.56 | $236.58 | 2.45% | 2 | |
| 2021-06-29 | 2021-06-30 | $226.92 | $226.57 | -1.08% | 2 | |
| 2020-11-18 | 2021-02-01 | $162.21 | $279.94 | 40.10% | 50 | |
| 2020-10-15 | 2020-10-16 | $149.63 | $146.56 | -1.62% | 2 | |
| 2020-08-17 | 2020-09-03 | $122.38 | $135.67 | 14.88% | 14 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 9.62% | 17 | |
| 2020-06-01 | 2020-06-15 | $59.87 | $66.06 | 10.56% | 11 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -0.42% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -0.33% | 2 | |
| 2020-04-30 | 2020-05-01 | $52.13 | $46.75 | -0.71% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -1.09% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -0.61% | 2 | |
| 2019-12-13 | 2020-02-04 | $23.89 | $59.14 | 60.84% | 35 | |
| 2019-11-20 | 2019-11-21 | $23.48 | $23.66 | -0.62% | 2 | |
| 2019-11-18 | 2019-11-19 | $23.33 | $23.97 | -0.23% | 2 | |
| 2019-11-13 | 2019-11-14 | $23.07 | $23.29 | -0.36% | 2 | |
| 2019-11-11 | 2019-11-12 | $23.01 | $23.33 | 0.60% | 2 | |
| 2019-10-18 | 2019-10-21 | $17.13 | $16.90 | -1.18% | 2 | |
| 2019-10-16 | 2019-10-17 | $17.32 | $17.46 | 0.29% | 2 | |
| 2019-10-14 | 2019-10-15 | $17.13 | $17.19 | 1.94% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.29% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -0.93% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.57% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 2.59% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.27% | 2 |