Does filtering breakouts with ADX trend strength improve results?
Across 214 of 220 tickers between 2015-01-01 and 2024-12-31, average return was 2.15%, average max drawdown -8.04%.
A modest edge: +2.15% mean return across 214 tickers, with -8.04% average drawdown — directional, though execution costs would chew into it.
What we tested
We want to trade breakouts only when the market is actually trending, and skip breakouts that happen in a choppy, directionless tape. Enter long when the close makes a new 20 day high (the highest close of the prior 20 trading days) and the 14 period ADX is above 25 on the same bar. On the entry bar, measure the 14 period ATR and place a protective stop 2 ATR below the entry price. Size the position so that hitting that stop loses exactly 1 percent of account equity. Round down to a whole number of shares. Take profit at 3R, that is three times the distance between entry and stop, placed above the entry. If the 14 period ADX closes below 20 before either level is hit, exit at the next open (the trend has weakened). If the position has been held for 40 trading days without resolving, exit at the next open as well. Long only. One open position per ticker at a time. No leverage and no pyramiding.
- Window
- 2015-01-01 → 2024-12-31
- Universe
- 220 tickers
- Ranking metric
- return_pct

Overall results
Aggregated across 214 runsEqual-weighted mean of total return across symbols that completed. · 1 codegen refinement on pilot
Unweighted mean across successful runs.
214 completed · 6 failed
Mean of worst peak-to-trough per symbol.
Aggregate gross profit ÷ gross loss.
Summed over successful symbols.
Return distribution
How the 214 tickers split up across return_pct buckets. Reads left to right from worst to best.
- ≤ -10%9 (4.2%)
- -10% to -5%42 (19.6%)
- -5% to -1%35 (16.4%)
- −1% to +1%30 (14.0%)
- +1% to +5%36 (16.8%)
- +5% to +10%22 (10.3%)
- > +10%40 (18.7%)
By sector
Top and flop names per GICS sector, ranked by return_pct.
Communication Services
18 / 20 completed- META12.79%
- TTWO11.68%
- NFLX7.20%
- LYV6.22%
- CHTR5.78%
- GOOGL-7.35%
- GOOG-5.91%
- VZ-5.73%
- CMCSA-4.92%
- TMUS-2.30%
Consumer Discretionary
20 / 20 completed- TSLA40.89%
- CMG21.96%
- MCD18.19%
- HLT13.89%
- MAR13.83%
- GM-11.69%
- BKNG-11.13%
- NKE-5.84%
- ORLY-5.78%
- F-3.91%
Consumer Staples
20 / 20 completed- COST20.61%
- PM16.56%
- PG10.22%
- KR7.52%
- PEP5.10%
- CLX-7.80%
- KMB-7.71%
- STZ-6.34%
- SYY-5.42%
- CL-5.32%
Energy
17 / 20 completed- WMB19.42%
- VLO11.95%
- OXY10.79%
- FANG9.44%
- HAL3.12%
- MPC-8.76%
- COP-8.47%
- SLB-7.93%
- EOG-6.95%
- APA-2.95%
Financials
19 / 20 completed- MCO26.07%
- JPM15.53%
- BLK14.91%
- SCHW12.30%
- AXP12.28%
- TFC-10.11%
- USB-7.15%
- BAC-5.11%
- COF-1.78%
- WFC-1.64%
Health Care
20 / 20 completed- LLY29.88%
- ISRG17.80%
- BSX12.27%
- ABBV12.21%
- VRTX11.13%
- CVS-13.80%
- MRK-9.44%
- AMGN-6.22%
- BMY-5.94%
- ABT-5.86%
Industrials
20 / 20 completed- DE28.75%
- GE22.02%
- BA19.61%
- CAT17.16%
- ETN17.15%
- NSC-7.64%
- ITW-4.70%
- GD-3.39%
- CMI-1.94%
- FDX-1.18%
Information Technology
20 / 20 completed- NVDA48.88%
- MSFT20.92%
- AMD16.24%
- NOW14.35%
- CSCO12.78%
- AVGO-6.18%
- TXN-5.78%
- CRM-5.62%
- ADBE-5.26%
- QCOM-3.36%
Materials
20 / 20 completed- APD4.69%
- SHW3.74%
- FCX1.53%
- STLD0.39%
- EMN0.09%
- FMC-12.48%
- CTVA-12.07%
- NUE-11.54%
- LIN-10.43%
- MOS-8.91%
Real Estate
20 / 20 completed- PSA16.31%
- PLD7.68%
- WELL6.64%
- CBRE5.52%
- AMT4.06%
- UDR-13.66%
- SPG-7.62%
- AVB-6.17%
- ESS-4.91%
- O-4.36%
Utilities
20 / 20 completed- PPL7.30%
- XEL5.98%
- EXC4.66%
- PEG3.30%
- SO1.97%
- D-9.63%
- ES-7.70%
- EIX-7.26%
- AEE-6.55%
- CMS-6.29%
Disclaimer
Past performance does not predict future results. This is a backtest over a fixed historical window and it does not model execution costs, borrowing, taxes, or survivorship of the universe. Nothing here is investment advice.
Generated Jul 29, 2026 · slug adx-trend-breakout