Updated Jul 29, 2026Slight edge 220 tickers

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

Strategy

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.

Run spec
Window
2015-01-01 → 2024-12-31
Universe
220 tickers
Ranking metric
return_pct
Tenachine backtest interface: a strategy described in plain English, a ticker selector, date range pickers, and a Run Backtest button.
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Overall results

Aggregated across 214 runs
220 symbolsBatch
+2.15%
Mean return

Equal-weighted mean of total return across symbols that completed. · 1 codegen refinement on pilot

Avg win rate
37.0%

Unweighted mean across successful runs.

Coverage
214/220

214 completed · 6 failed

Avg max drawdown
-8.04%

Mean of worst peak-to-trough per symbol.

Avg risk / reward
1.12

Aggregate gross profit ÷ gross loss.

Total trades
6,553

Summed over successful symbols.

Return distribution

How the 214 tickers split up across return_pct buckets. Reads left to right from worst to best.

Worst-13.80%
Median0.66%
Best48.88%
  • ≤ -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
Top 5
  • META12.79%
  • TTWO11.68%
  • NFLX7.20%
  • LYV6.22%
  • CHTR5.78%
Flop 5
  • GOOGL-7.35%
  • GOOG-5.91%
  • VZ-5.73%
  • CMCSA-4.92%
  • TMUS-2.30%

Consumer Discretionary

20 / 20 completed
Top 5
  • TSLA40.89%
  • CMG21.96%
  • MCD18.19%
  • HLT13.89%
  • MAR13.83%
Flop 5
  • GM-11.69%
  • BKNG-11.13%
  • NKE-5.84%
  • ORLY-5.78%
  • F-3.91%

Consumer Staples

20 / 20 completed
Top 5
  • COST20.61%
  • PM16.56%
  • PG10.22%
  • KR7.52%
  • PEP5.10%
Flop 5
  • CLX-7.80%
  • KMB-7.71%
  • STZ-6.34%
  • SYY-5.42%
  • CL-5.32%

Energy

17 / 20 completed
Top 5
  • WMB19.42%
  • VLO11.95%
  • OXY10.79%
  • FANG9.44%
  • HAL3.12%
Flop 5
  • MPC-8.76%
  • COP-8.47%
  • SLB-7.93%
  • EOG-6.95%
  • APA-2.95%

Financials

19 / 20 completed
Top 5
  • MCO26.07%
  • JPM15.53%
  • BLK14.91%
  • SCHW12.30%
  • AXP12.28%
Flop 5
  • TFC-10.11%
  • USB-7.15%
  • BAC-5.11%
  • COF-1.78%
  • WFC-1.64%

Health Care

20 / 20 completed
Top 5
  • LLY29.88%
  • ISRG17.80%
  • BSX12.27%
  • ABBV12.21%
  • VRTX11.13%
Flop 5
  • CVS-13.80%
  • MRK-9.44%
  • AMGN-6.22%
  • BMY-5.94%
  • ABT-5.86%

Industrials

20 / 20 completed
Top 5
  • DE28.75%
  • GE22.02%
  • BA19.61%
  • CAT17.16%
  • ETN17.15%
Flop 5
  • NSC-7.64%
  • ITW-4.70%
  • GD-3.39%
  • CMI-1.94%
  • FDX-1.18%

Information Technology

20 / 20 completed
Top 5
  • NVDA48.88%
  • MSFT20.92%
  • AMD16.24%
  • NOW14.35%
  • CSCO12.78%
Flop 5
  • AVGO-6.18%
  • TXN-5.78%
  • CRM-5.62%
  • ADBE-5.26%
  • QCOM-3.36%

Materials

20 / 20 completed
Top 5
  • APD4.69%
  • SHW3.74%
  • FCX1.53%
  • STLD0.39%
  • EMN0.09%
Flop 5
  • FMC-12.48%
  • CTVA-12.07%
  • NUE-11.54%
  • LIN-10.43%
  • MOS-8.91%

Real Estate

20 / 20 completed
Top 5
  • PSA16.31%
  • PLD7.68%
  • WELL6.64%
  • CBRE5.52%
  • AMT4.06%
Flop 5
  • UDR-13.66%
  • SPG-7.62%
  • AVB-6.17%
  • ESS-4.91%
  • O-4.36%

Utilities

20 / 20 completed
Top 5
  • PPL7.30%
  • XEL5.98%
  • EXC4.66%
  • PEG3.30%
  • SO1.97%
Flop 5
  • 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.

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Generated Jul 29, 2026 · slug adx-trend-breakout