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 25/03/2026 (365 day lookback):

Signals: 61 total, 61 filled, 0 unfilled
Total P&L: 885.00
Final capital: 1885.00
Total Trades: 61
Exits: 17 stop loss, 39 take profit, 5 signal
Total Wins: 40
Win Rate: 65.6%
Avg Win Size: 20.75
Avg Loss Size: -6.24
Profit Factor: 3.33
Avg Position Size: 2 units
Avg Trade Length: 10h 44m
Sharpe Ratio: 3.29
Sortino Ratio: 5.39
Max Drawdown: -3.7%
CAGR: 89.2%
Ann. Volatility: 13.7%
Performance By Direction:
  Long: 61 trades, 65.6% win rate, Avg P&L 14.51
Performance By Session:
  Overlap: 61 trades, 65.6% win rate, Avg P&L 14.51

Recent 14-Day Backtest

Trade History