Strategy Report: smart_breakout

Live Trading Summary

Performance by Version

Equity Curve

Monthly P&L

Backtest Results

Smart Breakout strategy based on volatility squeeze + impulse breakout.

Mechanism:
  1. Dual-engine squeeze detection:
           BB squeeze:    Bollinger Band width < its SMA * bb_squeeze_thresh
           ATR compress:  ATR < ATR SMA * atr_compress
         Both must agree → squeeze active.
  2. Track Donchian high/low during the squeeze.
  3. When squeeze releases (first bar no longer in squeeze, after min_squeeze_bars):
         a pending range box (high, low) is created.
  4. Breakout: close > range high + impulse candle → long entry.
                           no short entry at present
         Impulse: candle body > ATR * impulse_mult.
  5. Stop loss: opposite range boundary: ATR * sl_buffer, capped at ATR * max_sl_atr_mult from entry.
  6. Take profit: entry ± stop_loss_distance * rr_ratio.

BACKTEST RESULTS AS OF 24/06/2026 (365 day lookback):

Signals: 33 total, 33 filled, 0 unfilled
Total P&L: 1201.02
Final capital: 2201.02
Total Trades: 33
Exits: 10 stop loss, 14 take profit, 9 signal
Total Wins: 22
Win Rate: 66.7%
Avg Win Size: 51.11
Avg Loss Size: -14.72
Profit Factor: 3.47
Avg Position Size: 1.14 units
Avg Trade Length: 4d 5h 36m
Sharpe Ratio: 2.66
Sortino Ratio: 9.32
Calmar Ratio: 14.58
Max Drawdown: -8.6%
CAGR: 125.7%
Ann. Volatility: 32.5%
Performance By Direction:
  Long: 33 trades, 66.7% win rate, Avg P&L 36.39
Performance By Session:
  Asia: 10 trades, 70.0% win rate, Avg P&L 45.94
  London: 3 trades, 66.7% win rate, Avg P&L 18.36
  Overlap: 14 trades, 50.0% win rate, Avg P&L 16.98
  Us_Late: 6 trades, 100.0% win rate, Avg P&L 74.82

Performance By Year:
  2023: 23 trades, Return 25.0%, Sharpe 1.64, Sortino 3.99, Calmar 1.29
  2024: 38 trades, Return 53.2%, Sharpe 1.69, Sortino 4.44, Calmar 6.08
  2025: 37 trades, Return 178.1%, Sharpe 3.17, Sortino 11.22, Calmar 28.87
  2026: 15 trades, Return 24.3%, Sharpe 1.78, Sortino 5.42, Calmar 2.77

Recent 14-Day Backtest

Trade History