Strategy Zoo / S0830
Breakout20_V0830
ARCHIVEDhybridllmTightened entry to require MACD momentum and closer proximity to sma20; tightened vol_chg filter. Added regime gates to only trade in UPTREND and non-high volatility, normal bubble. Replaced single weak exit with a composite exit: larger 20d stop (-2%), momentum flip (macd_hist < 0), or significant drop below sma20. Lowered base position and added scaled sizing by volatility (bigger in low vol, smaller in high vol) to reduce drawdown and improve robustness.
Fitness
0.0952
Generation
38
Complexity
15
Created
2026-09-29
Lineage
Parents (1)
entry from Breakout20_V0374, exit from LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0830 [hybrid]
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 > -0.05 and macd_hist > 0.0 and vol_chg < 1.1):
position = 0.8
if long and (ret_20d < -0.02 or macd_hist < 0.0 or dist_sma_20 < -0.2):
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 *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.8% | -0.9% | 2.8% | 0.1% |
| Total Return | -6.5% | -2.7% | 10.9% | 0.9% |
| Sharpe | -0.13 | -0.04 | 0.35 | 0.05 |
| Sortino | -0.04 | -0.02 | 0.12 | 0.02 |
| Calmar | -0.07 | -0.04 | 0.17 | 0.00 |
| Volatility | 5.3% | 10.1% | 9.0% | 7.5% |
| Max DD | -11.9% | -23.8% | -17.1% | -23.8% |
| Win Rate | 33.3% | 11.1% | 55.6% | 33.3% |
| Avg Win | 3.9% | 21.6% | 4.6% | 5.8% |
| Avg Loss | -2.5% | -2.7% | -2.9% | -2.7% |
| Payoff | 1.55 | 7.92 | 1.60 | 2.19 |
| Expectancy | -0.4% | -0.0% | 1.3% | 0.2% |
| Profit Factor | 0.77 | 0.99 | 1.99 | 1.10 |
| Trades | 15 | 9 | 9 | 33 |
| Avg Holding Days | 7.0 | 7.8 | 6.2 | 7.0 |
| Turnover | 2.8 | 4.3 | 3.1 | 3.2 |
| Exposure | 3.5% | 5.9% | 3.6% | 4.0% |
Growth of $100
Breakout20_V0830 vs TSLA Buy & Hold
Breakout20_V0830 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% | -0.42 | -3.1% | 1 |
| 2017 | 11.0% | 2.28 | -0.7% | 2 |
| 2018 | -4.6% | -1.09 | -4.6% | 2 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 15.4% | 0.96 | -9.6% | 5 |
| 2022 | -15.7% | -2.52 | -15.7% | 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 | 273 | 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 | -9.7% | -1.09 | 1% |
| hidden test | LOW VOLATILITY | 433 | 11.2% | 1.01 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.4% | 0.77 | 2% |
| hidden test | NORMAL | 806 | 1.9% | 0.21 | 4% |
| hidden test | SIDEWAYS | 293 | -4.2% | -1.06 | 0% |
| hidden test | UPTREND | 371 | 11.4% | 0.82 | 9% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 2.5% | 1.21 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 0.0% | 0.00 | 0% |
| train | LOW VOLATILITY | 745 | 1.9% | 0.24 | 9% |
| train | MEDIUM VOLATILITY | 568 | -4.9% | -1.09 | 1% |
| train | NORMAL | 1,601 | -1.4% | -0.23 | 4% |
| train | SIDEWAYS | 592 | -3.2% | -1.07 | 0% |
| train | UPTREND | 902 | 0.5% | 0.07 | 8% |
| 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 | -6.6% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | -1.4% | -0.13 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 5.3% | 0.44 | 3% |
| validation | NORMAL | 474 | -0.6% | -0.05 | 9% |
| validation | SIDEWAYS | 206 | -8.8% | -1.61 | 1% |
| validation | UPTREND | 425 | 3.6% | 0.27 | 10% |
Trades (full period)
33 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -4.30% | 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 | |
| 2024-09-24 | 2024-09-27 | $254.27 | $260.46 | 0.84% | 4 | |
| 2024-09-16 | 2024-09-20 | $226.78 | $238.25 | 3.22% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.84% | 2 | |
| 2024-07-05 | 2024-07-12 | $251.52 | $248.23 | -1.22% | 6 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.29% | 2 | |
| 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 | 2022-08-19 | $306.56 | $296.67 | -1.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.82% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -6.05% | 5 | |
| 2021-10-13 | 2021-11-10 | $270.36 | $355.98 | 21.57% | 21 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -0.98% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.03% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.21% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -2.92% | 9 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -2.06% | 6 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -2.54% | 3 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 1.39% | 2 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 9.47% | 14 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.49% | 11 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.18% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -2.40% | 13 | |
| 2015-05-12 | 2015-05-22 | $16.32 | $16.52 | 1.89% | 9 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.36% | 2 | |
| 2014-08-05 | 2014-08-25 | $15.90 | $17.50 | 5.95% | 15 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -2.83% | 9 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.79% | 12 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -4.54% | 2 | |
| 2012-03-14 | 2012-03-16 | $2.35 | $2.35 | -2.58% | 3 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.23% | 2 |