Strategy Zoo / S0025

VolumeBreakout_V0025

ARCHIVEDbreakout

parameterchanged rel_volume threshold 1.5 -> 1.6761

Fitness

0.5139

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0013S0013 · gen 0ARCHIVEDparameter

seed strategy

Children (7)

LongTermTrend_V0042S0042 · gen 2ARCHIVEDcrossover

VolumeBreakout_V0084S0084 · gen 4ARCHIVEDcrossover

VolumeBreakout_V0107S0107 · gen 5ARCHIVEDstructural

VolumeBreakout_V0119S0119 · gen 5ARCHIVEDstructural

VolumeBreakout_V0126S0126 · gen 6ARCHIVEDcrossover

VolumeBreakout_V0138S0138 · gen 6ARCHIVEDparameter

VolumeBreakout_V0158S0158 · gen 7REJECTEDstructural

Strategy Logic (pseudocode)

# VolumeBreakout_V0025  [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.6761):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.2%	51.0%	10.4%	23.5%
Total Return	335.3%	244.2%	44.4%	2127.0%
Sharpe	0.83	1.15	0.53	0.85
Sortino	0.69	0.90	0.34	0.62
Calmar	0.60	1.24	0.36	0.57
Volatility	26.2%	44.3%	24.5%	30.4%
Max DD	-33.9%	-41.2%	-29.0%	-41.2%
Win Rate	45.5%	100.0%	66.7%	61.1%
Avg Win	61.7%	36.4%	22.8%	51.0%
Avg Loss	-8.0%	0.0%	-1.2%	-7.0%
Payoff	7.73	5.00	10.00	7.27
Expectancy	23.7%	36.4%	14.8%	28.4%
Profit Factor	6.44	5.00	10.00	10.00
Trades	11	4	3	18
Avg Holding Days	46.6	62.3	44.3	52.3
Turnover	2.9	2.7	1.6	2.5
Exposure	27.2%	32.4%	14.0%	25.0%

Growth of $100

VolumeBreakout_V0025 vs TSLA Buy & Hold

VolumeBreakout_V0025 TSLA Buy & HoldIn-sampleValidationHidden test

Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.

Walk-Forward Years

year-by-year stability matters more than any single year

Year	CAGR	Sharpe	Max DD	Trades
2016	-10.1%	-0.95	-16.2%	1
2017	18.8%	0.87	-14.8%	2
2018	-22.5%	-1.33	-33.1%	2
2019	39.5%	2.02	-8.5%	0
2020	166.9%	1.79	-41.2%	2
2021	24.1%	0.78	-22.4%	2
2022	0.0%	0.00	0.0%	0

A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.

Regime Performance

Period	Regime	Days	Ann. Return	Sharpe	Exposure
hidden test	DOWNTREND	267	0.0%	0.00	0%
hidden test	EXPENSIVE	83	59.4%	1.17	71%
hidden test	EXTREME	48	179.2%	2.92	92%
hidden test	HIGH VOLATILITY	254	10.8%	0.29	28%
hidden test	LOW VOLATILITY	429	19.0%	2.10	3%
hidden test	MEDIUM VOLATILITY	248	4.5%	0.17	18%
hidden test	NORMAL	800	-1.9%	-0.13	3%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	32.4%	0.83	35%
train	DOWNTREND	518	-0.3%	-0.37	0%
train	EXPENSIVE	311	19.4%	0.57	50%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	42.7%	1.23	26%
train	LOW VOLATILITY	745	20.7%	1.04	36%
train	MEDIUM VOLATILITY	568	-2.5%	-0.12	17%
train	NORMAL	1,601	-2.4%	-0.15	18%
train	SIDEWAYS	592	-5.3%	-0.55	3%
train	UPTREND	902	52.2%	1.37	59%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	61.9%	1.09	72%
validation	EXTREME	144	178.9%	2.38	58%
validation	HIGH VOLATILITY	258	63.9%	1.01	37%
validation	LOW VOLATILITY	183	20.0%	1.22	23%
validation	MEDIUM VOLATILITY	315	58.6%	1.63	34%
validation	NORMAL	474	9.1%	0.42	13%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	90.9%	1.54	58%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
2024-10-28	2025-01-30	$262.51	$400.28	44.25%	64
2024-07-02	2024-08-05	$231.26	$198.88	-1.23%	24
2021-09-20	2021-12-14	$243.39	$319.50	26.99%	61
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-07-13	2020-10-29	$99.80	$136.94	31.16%	78
2019-10-25	2020-03-10	$21.88	$43.02	102.50%	93
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-07	2018-07-06	$21.07	$20.59	-3.43%	21
2017-04-04	2017-07-06	$20.25	$20.59	9.35%	65
2017-01-05	2017-03-09	$15.12	$16.33	8.54%	44
2016-04-05	2016-05-05	$17.03	$14.10	-10.07%	23
2015-04-28	2015-07-28	$15.37	$17.65	9.05%	64
2014-06-18	2014-09-23	$15.14	$16.69	7.71%	68
2014-02-21	2014-03-28	$13.97	$14.16	-1.46%	26
2013-04-02	2013-10-24	$2.96	$11.54	273.71%	145
2012-12-04	2013-01-14	$2.26	$2.22	-5.13%	28
2012-03-13	2012-04-10	$2.41	$2.16	-8.13%	20