RealTest Strategies / RealTest Modern Breakout Strategy

RealTest Modern Breakout Strategy

A RealTest breakout strategy that buys S&P 500 stocks breaking to new highs inside an uptrend, then rides them with a trailing stop and cuts the ones that fail. It keeps the rules few and lets the winners do the work. Tested on survivorship-free Norgate data with commissions modeled, and trading live since February 2023.

Beating SPY
$100k grows to $10.3M. SPY only $659k
Live Market Performing
Performs in live market conditions since 2023-02-03
Premium

Portfolio Growth

+1,733%

10,240.8%

SPY 558.6%

Sharpe Ratio

+115%

1.13

SPY 0.52

Max Drawdown

+53%

-23.5%

SPY -50.2%

RealTest Modern Breakout Strategy equity curve vs SPY benchmark $100k$300k$1.0M$3.0M$10.0M '03'05'07'09'11'13'15'17'19'21'23'25
Strategy SPY ETF

Strategy Overview

Why the breakout works

A stock breaking to a new high inside an uptrend is a stock where buyers are willing to pay more than anyone has before. That usually means demand is overwhelming supply, and moves like that tend to continue as more buyers step in and larger holders build positions. The strategy buys that break, stays with it while the trend holds, and steps aside when it does not, so the winners get room to run while the losers are cut early.

How it was tested

The backtest runs on S&P 500 stocks including names later removed from the index, so survivorship bias does not inflate the results. Interactive Brokers commissions and a limit-order buffer are included, so the equity curve is after real costs. The strategy uses very few parameters and leans on price action rather than a stack of indicators, which keeps the risk of curve-fitting low. It was checked with walk-forward analysis, shown on this page.

How it fits your trading

This is a patient strategy that trades only when a real breakout lines up, so it spends time in cash between moves and does not force trades. It has been running live since early 2023, which is a longer real-money record than most systems offer. Because it makes its money in trending markets, it balances well against a mean-reversion strategy that does better in choppy ones.

What You Get

RealTest by MHP Trading logo
RealTest Strategy Code (.rts)
Complete RealTest (.rts) strategy code. Import, backtest, and modify.
Trading strategy rules plain text document
Plain Text Rules
Full strategy logic in plain text. Clear rules for implementation on any trading platform.

Advanced Backtest Insights

Stress Test Analysis

Crisis PeriodDatesPortfolioSPY
Dotcom Crash 2000-03-10 → 2002-10-09 -0.7% -37.7%
2008 Financial Crisis 2007-10-09 → 2009-03-09 -3.9% -50.2%
COVID-19 Crash 2020-02-19 → 2020-03-23 -16.1% -28.8%
2022 Bear Market 2022-01-03 → 2022-10-12 -12.3% -21.3%
2025 Tariffs Crash 2025-02-19 → 2025-04-08 -16.7% -16.3%

Monthly Returns

YearJanFebMarAprMayJunJulAugSepOctNovDecTotalMaxDD
20010.00.00.00.00.00.00.00.00.00.00.00.00.0%-0.0%
20021.5-1.1-1.10.00.00.00.00.00.00.00.00.0-0.7%-2.3%
20030.00.00.06.726.5-0.97.98.41.614.05.4-0.490.2%-14.7%
200417.6-2.2-3.9-11.512.04.5-11.82.12.66.912.75.935.1%-18.7%
20057.95.0-5.2-8.15.3-1.26.47.68.06.211.11.452.0%-15.3%
20063.0-2.0-2.72.6-7.32.1-0.53.31.36.4-1.33.37.7%-16.5%
20074.9-0.67.18.6-0.6-0.8-4.7-1.90.9-0.20.20.313.1%-11.9%
2008-2.2-1.7-0.00.00.00.00.00.00.00.00.00.0-3.9%-4.4%
20090.00.00.00.00.00.23.85.54.5-4.49.52.122.5%-6.6%
2010-2.82.86.80.5-11.2-2.10.1-0.04.22.63.25.28.4%-16.8%
20110.15.80.81.70.3-1.5-2.4-7.70.0-0.2-0.80.0-4.4%-14.4%
20120.60.51.5-4.4-7.16.01.08.33.11.84.8-3.212.5%-15.0%
20135.711.35.04.85.6-4.710.03.65.57.87.51.183.3%-9.4%
20146.76.8-9.9-5.92.41.9-3.02.8-0.0-0.45.10.96.2%-17.6%
20153.88.1-0.20.30.73.06.6-9.0-0.80.4-0.80.912.7%-11.7%
2016-1.4-0.53.80.2-1.61.24.3-1.30.90.04.73.013.8%-4.9%
20174.2-1.67.8-0.912.4-1.34.91.57.09.4-1.0-2.346.5%-11.7%
201819.12.4-1.0-2.313.3-0.5-3.68.20.8-9.4-0.70.025.6%-14.7%
20190.02.0-2.22.5-5.64.2-0.7-5.71.40.93.75.04.9%-11.3%
2020-2.1-3.9-0.54.01.3-1.610.110.8-3.5-4.114.9-1.723.8%-17.6%
20210.18.14.02.51.52.44.54.3-2.67.92.90.041.4%-9.5%
2022-3.9-1.6-3.1-0.23.7-6.5-1.20.00.00.00.00.0-12.4%-13.0%
20230.0-4.212.03.75.211.63.6-0.2-5.6-2.77.34.138.6%-10.5%
20249.519.55.7-6.112.27.0-1.54.94.83.24.7-2.777.5%-15.0%
20252.5-2.8-8.9-3.30.81.3-2.1-1.83.6-0.71.71.0-8.9%-20.2%
20265.21.2-10.56.4-4.3-0.3-0.3-3.6%-12.7%
Avg3.12.00.20.12.50.91.21.71.51.83.81.022.4%-12.2%
MetricPortfolioSPY
Sortino Ratio1.010.5
MAR Ratio0.88-
Net Profit$10.2M$559k
Expectancy20.52-
Trades1771
Win Rate62.15%-
Max Exposure99.74%100.0%
Best Year90.2%27.3%
Worst Year-12.4%-33.4%

Statistical Edge Verification

Science, governed by mathematics

Live Market Performance
Performs in real market conditions since 2023-02-03
Verified
Statistical Validation
Validated across In-Sample & Out-of-Sample data
Passed
Walk Forward Analysis
Tests robustness across unseen data
Passed
Monte Carlo Stress Test
Resilient against 1,000+ sequence risk simulations
Passed
RealTest trading software logo

Quick start guide

From download to first backtest in 1 minutes

1
You download the .rts file
Click Download
2
You open it in RealTest
File → Open → Select file
3
You import symbols
Click Import
4
You run the backtest
Click Test
OrderClerk automated trading execution interface

Daily Live Trading

For RealTest automated execution

1
Open OrderClerk
Click 'Connect to IB'
2
Import signals
Click 'Import' in RealTest
3
Generate orders
Click 'Orders' in RealTest
4
Execute trades
Click 'Place Orders'

Total daily time: ~5 minutes

Get OrderClerk automation course →

Strategy Details

Style
Breakout
Universe
S&P 500 Current & Past Stocks
Timeframe
Daily
Side
Long
Entry execution
Limit Order
Exit execution
Market On Open

Model assumptions

Included in Backtest

Commission$0.005 / Share
Limit Price Buffer0.1% Past Limit

SPY Buy & Hold Benchmark

Does not include any transaction fees, slippage, or management costs.

Portfolio Builder & Simulator

Visualize your diversification edge

Instantly simulate how this strategy improves your existing portfolio. Check correlations, optimize allocations, and verify the smoothed equity curve before you deploy.

Generate Correlation Matrix
Optimize Capital Allocation
Simulate Combined Metrics
Visual Performance Comparison
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Strategy Code Preview

RealTest full source code included in download

RealTest Modern Breakout Strategy RealTest code structure

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Demo Strategy

$0one-time

Free RealTest demo mean reversion strategy.

  • RealTest .rts file
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RealTest Modern Breakout Strategy

$899one-time

Full strategy code and rules.

  • 10,240.8% Portfolio Growth
  • In-Sample / Out-of-Sample Validated
  • Survivor-Bias Free
  • Outperforms SPY Benchmark
  • Fully Customizable Source Code
  • Download Once, Use Forever

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