Index Breakout 2

A variant of the intraday futures breakout family that uses a different signal architecture from the standard index breakout model. Where the standard model defines its breakout levels from intraday volatility, this version constructs its entry conditions from a distinct set of market signals. Both operate on the same underlying instruments and share the same intraday-flat discipline: every trade is closed by the session close.

The core backtest runs from 2020 through May 2026 and produces a Sharpe of 1.81 with 105% CAGR and 20.8% max drawdown. Win rate is 37% with a profit factor of 3.38, meaning the wins are substantially larger than the losses. The combination of low win rate and high profit factor is characteristic of a breakout strategy that accepts many small stops in exchange for infrequent but large trending moves.

This is included as a separate entry from the standard intraday index breakout because the signal logic is architecturally different. The two strategies share instrument overlap but have low return correlation, making them candidates for ensemble combination rather than substitutes. Currently in live simulation, returning +7% so far.