Strategy Zoo / S0835
Breakout20_V0835
ARCHIVEDhybridllmAdded regime gates to only trade in uptrends and non-bubble conditions to reduce false breakouts; tightened entry: require stronger proximity to SMA20, volume confirmation, and positive MACD histogram for momentum; replaced weak single stop with a multi-condition exit (larger stop-loss, momentum flip, or fall below SMA20) to cut losers earlier; introduced volatility-scaled sizing (full in low vol, reduced in medium, small in high) and lowered base position to reduce drawdown and turnover.
Fitness
0.4587
Generation
38
Complexity
12
Created
2026-09-29
Lineage
Parents (1)
entry from Breakout20_V0374, exit from LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# Breakout20_V0835 [hybrid]
if flat and (breakout_20 == 1 and dist_sma_20 > -0.03 and rel_volume > 1.0 and macd_hist > 0.0):
position = 0.7
if long and (ret_20d < -0.03 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 *= 0.25Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.9% | 32.1% | 10.3% | 10.9% |
| Total Return | 35.9% | 130.5% | 43.8% | 359.7% |
| Sharpe | 0.37 | 1.73 | 0.74 | 0.80 |
| Sortino | 0.27 | 1.81 | 0.62 | 0.66 |
| Calmar | 0.14 | 2.75 | 0.58 | 0.40 |
| Volatility | 12.7% | 16.9% | 14.7% | 14.2% |
| Max DD | -27.3% | -11.7% | -17.7% | -27.3% |
| Win Rate | 39.1% | 50.0% | 50.0% | 44.0% |
| Avg Win | 6.7% | 12.1% | 7.2% | 8.5% |
| Avg Loss | -3.1% | -1.7% | -3.1% | -2.9% |
| Payoff | 2.13 | 6.92 | 2.37 | 2.96 |
| Expectancy | 0.7% | 5.2% | 2.1% | 2.1% |
| Profit Factor | 1.37 | 6.92 | 2.37 | 2.33 |
| Trades | 46 | 18 | 20 | 84 |
| Avg Holding Days | 13.3 | 15.2 | 14.8 | 14.2 |
| Turnover | 7.5 | 7.1 | 7.1 | 7.3 |
| Exposure | 14.2% | 15.2% | 14.1% | 14.4% |
Growth of $100
Breakout20_V0835 vs TSLA Buy & Hold
Breakout20_V0835 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 | -7.1% | -0.77 | -12.9% | 5 |
| 2017 | 13.3% | 1.19 | -9.7% | 8 |
| 2018 | -4.9% | -0.77 | -6.8% | 6 |
| 2019 | 14.3% | 0.82 | -15.8% | 3 |
| 2020 | 92.4% | 3.29 | -4.4% | 7 |
| 2021 | 10.7% | 0.70 | -8.4% | 7 |
| 2022 | 7.9% | 0.65 | -8.5% | 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 | 4.2% | 0.40 | 9% |
| hidden test | EXPENSIVE | 83 | 38.1% | 1.88 | 21% |
| hidden test | EXTREME | 48 | 32.8% | 1.59 | 12% |
| hidden test | HIGH VOLATILITY | 254 | 9.0% | 0.88 | 7% |
| hidden test | LOW VOLATILITY | 433 | 28.7% | 1.79 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | -18.1% | -1.12 | 13% |
| hidden test | NORMAL | 806 | 6.7% | 0.50 | 14% |
| hidden test | SIDEWAYS | 293 | -4.9% | -0.38 | 18% |
| hidden test | UPTREND | 371 | 28.3% | 1.54 | 15% |
| train | DOWNTREND | 518 | -3.3% | -0.44 | 6% |
| train | EXPENSIVE | 311 | 15.5% | 1.00 | 19% |
| train | EXTREME | 100 | 60.5% | 3.43 | 21% |
| train | HIGH VOLATILITY | 699 | 5.3% | 0.40 | 5% |
| train | LOW VOLATILITY | 745 | 14.4% | 1.14 | 26% |
| train | MEDIUM VOLATILITY | 568 | -8.9% | -0.74 | 10% |
| train | NORMAL | 1,601 | -0.9% | -0.08 | 13% |
| train | SIDEWAYS | 592 | -9.0% | -0.75 | 13% |
| train | UPTREND | 902 | 18.1% | 1.20 | 19% |
| validation | DOWNTREND | 125 | 21.0% | 1.65 | 6% |
| validation | EXPENSIVE | 138 | 39.7% | 2.03 | 16% |
| validation | EXTREME | 144 | 77.7% | 3.79 | 16% |
| validation | HIGH VOLATILITY | 258 | 18.1% | 1.27 | 6% |
| validation | LOW VOLATILITY | 183 | 13.5% | 1.08 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 47.5% | 2.29 | 18% |
| validation | NORMAL | 474 | 11.5% | 0.78 | 15% |
| validation | SIDEWAYS | 206 | 3.5% | 0.30 | 13% |
| validation | UPTREND | 425 | 44.2% | 2.22 | 19% |
Trades (full period)
84 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.14% | 18 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 0.88% | 10 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -3.42% | 5 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | 0.04% | 11 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -3.74% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 10.59% | 17 | |
| 2025-08-26 | 2025-09-03 | $351.67 | $334.09 | -3.62% | 6 | |
| 2025-08-12 | 2025-08-22 | $340.84 | $340.01 | -4.06% | 9 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 5.43% | 26 | |
| 2024-12-10 | 2024-12-24 | $400.99 | $462.28 | 3.62% | 11 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 4.15% | 24 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 0.17% | 21 | |
| 2024-06-18 | 2024-07-22 | $184.86 | $251.51 | 18.33% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -1.54% | 21 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -0.80% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -0.29% | 20 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -5.32% | 10 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 22.78% | 25 | |
| 2023-04-03 | 2023-04-06 | $194.77 | $185.06 | -6.65% | 4 | |
| 2023-01-24 | 2023-02-23 | $143.89 | $202.07 | 6.37% | 22 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -4.80% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 8.67% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 6.47% | 16 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -2.05% | 7 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 19.67% | 22 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -0.90% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.18% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.20% | 12 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.06% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -4.47% | 12 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -1.85% | 10 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.17% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 18.82% | 21 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 8.55% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 7.10% | 17 | |
| 2020-06-09 | 2020-06-25 | $62.71 | $65.73 | 2.24% | 13 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 3.86% | 23 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 44.88% | 48 | |
| 2019-10-14 | 2019-11-21 | $17.13 | $23.66 | 17.03% | 29 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -6.83% | 10 | |
| 2019-07-05 | 2019-07-26 | $15.54 | $15.20 | -1.68% | 16 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -1.80% | 6 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 1.77% | 19 | |
| 2018-10-02 | 2018-10-08 | $20.07 | $16.70 | -2.92% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -2.19% | 12 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 0.78% | 14 | |
| 2018-01-18 | 2018-02-05 | $22.97 | $22.21 | -0.53% | 13 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.11% | 11 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -4.47% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -0.76% | 13 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 5.41% | 20 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -2.45% | 3 | |
| 2017-03-27 | 2017-04-21 | $18.01 | $20.37 | 6.79% | 19 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.02% | 8 | |
| 2016-12-14 | 2017-02-02 | $13.25 | $16.77 | 16.81% | 34 | |
| 2016-10-04 | 2016-10-11 | $14.09 | $13.34 | -4.32% | 6 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.29% | 11 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -4.45% | 7 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 1.45% | 8 | |
| 2016-03-22 | 2016-04-01 | $15.62 | $15.84 | -3.27% | 8 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -4.44% | 3 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -4.25% | 7 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -2.79% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -3.41% | 11 | |
| 2015-04-07 | 2015-05-22 | $13.55 | $16.52 | 14.20% | 34 | |
| 2015-02-04 | 2015-02-18 | $14.57 | $13.63 | -4.64% | 10 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -1.68% | 13 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 2.65% | 9 | |
| 2014-08-04 | 2014-08-25 | $15.90 | $17.50 | 6.86% | 16 | |
| 2014-06-17 | 2014-07-07 | $15.44 | $14.84 | 1.36% | 14 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 11.28% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 1.44% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -3.94% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | -1.71% | 12 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -1.69% | 5 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -2.44% | 11 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 17.67% | 45 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 4.62% | 16 | |
| 2012-11-06 | 2012-12-14 | $2.08 | $2.25 | 4.61% | 28 | |
| 2012-09-18 | 2012-09-26 | $2.09 | $1.84 | -7.59% | 7 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -5.18% | 4 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -0.20% | 11 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -3.87% | 7 | |
| 2012-01-27 | 2012-02-29 | $1.96 | $2.23 | 3.73% | 23 |