Strategy Zoo / S0035

VolumeBreakout_V0035

ARCHIVEDbreakout

structuralreplaced exit rule with: breakout_252 == 1

Fitness

0.2573

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0013S0013 · gen 0ARCHIVEDstructural

seed strategy

Children (1)

VolumeBreakout_V0056S0056 · gen 2ARCHIVEDstructural

Strategy Logic (pseudocode)

# VolumeBreakout_V0035  [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.5):
    position = 1.0
if long and breakout_252 == 1:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.8%	-2.8%	32.5%	14.6%
Total Return	223.0%	-8.2%	182.8%	636.5%
Sharpe	0.61	0.05	0.80	0.55
Sortino	0.59	0.03	1.12	0.57
Calmar	0.30	-0.04	0.60	0.22
Volatility	33.5%	29.1%	52.2%	38.4%
Max DD	-52.8%	-64.7%	-53.9%	-65.1%
Win Rate	95.5%	93.8%	100.0%	92.9%
Avg Win	6.0%	5.0%	40.5%	5.5%
Avg Loss	-0.1%	-0.1%	0.0%	-0.4%
Payoff	10.00	10.00	5.00	10.00
Expectancy	5.7%	4.7%	40.5%	5.1%
Profit Factor	10.00	10.00	5.00	10.00
Trades	22	16	4	42
Avg Holding Days	45.5	7.1	177.8	46.1
Turnover	5.5	11.0	2.2	5.7
Exposure	48.6%	27.8%	75.9%	51.3%

Growth of $100

VolumeBreakout_V0035 vs TSLA Buy & Hold

VolumeBreakout_V0035 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	-4.4%	0.07	-35.8%	0
2017	31.5%	3.13	-2.1%	6
2018	4.1%	0.32	-34.0%	0
2019	29.9%	0.78	-48.5%	3
2020	59.0%	1.92	-8.9%	12
2021	27.4%	1.77	-7.8%	3
2022	-54.9%	-1.75	-64.7%	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	77.7%	1.34	71%
hidden test	EXPENSIVE	83	103.4%	1.69	82%
hidden test	EXTREME	48	-16.4%	-0.31	65%
hidden test	HIGH VOLATILITY	254	127.9%	1.77	78%
hidden test	LOW VOLATILITY	429	32.1%	0.89	72%
hidden test	MEDIUM VOLATILITY	248	-30.3%	-0.59	81%
hidden test	NORMAL	800	38.7%	0.76	76%
hidden test	SIDEWAYS	293	-18.2%	-0.41	72%
hidden test	UPTREND	371	62.9%	1.19	82%
train	DOWNTREND	518	-7.3%	-0.18	59%
train	EXPENSIVE	311	33.5%	2.92	10%
train	EXTREME	100	47.8%	1.81	10%
train	HIGH VOLATILITY	699	36.2%	0.78	51%
train	LOW VOLATILITY	745	27.8%	1.27	52%
train	MEDIUM VOLATILITY	568	-9.1%	-0.35	42%
train	NORMAL	1,601	16.0%	0.44	59%
train	SIDEWAYS	592	7.6%	0.23	50%
train	UPTREND	902	44.4%	1.53	42%
validation	DOWNTREND	125	-102.4%	-2.06	52%
validation	EXPENSIVE	138	15.9%	0.98	11%
validation	EXTREME	144	71.7%	2.37	15%
validation	HIGH VOLATILITY	258	35.4%	1.12	13%
validation	LOW VOLATILITY	183	35.2%	1.58	48%
validation	MEDIUM VOLATILITY	315	-46.2%	-1.53	28%
validation	NORMAL	474	-24.2%	-0.77	37%
validation	SIDEWAYS	206	-35.2%	-1.67	18%
validation	UPTREND	425	49.6%	2.13	25%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-12-18	2025-12-17	$440.13	$467.26	1.87%	250
2024-11-11	2024-11-12	$350.00	$328.49	8.75%	2
2024-11-07	2024-11-08	$296.91	$321.22	2.70%	2
2022-07-22	2024-10-28	$272.24	$262.51	-1.12%	571
2021-11-02	2021-11-04	$390.67	$409.97	0.23%	3
2021-10-26	2021-10-28	$339.48	$359.01	1.07%	3
2021-08-03	2021-10-22	$236.58	$303.23	25.72%	58
2020-12-21	2021-01-04	$216.62	$243.26	1.33%	9
2020-11-19	2020-11-20	$166.42	$163.20	2.39%	2
2020-08-28	2020-09-01	$147.56	$158.35	11.07%	3
2020-08-21	2020-08-24	$136.67	$134.28	2.20%	2
2020-08-18	2020-08-19	$125.81	$125.24	2.60%	2
2020-07-13	2020-07-16	$99.80	$100.04	-0.12%	4
2020-07-07	2020-07-08	$92.66	$91.06	1.13%	2
2020-06-11	2020-07-01	$64.86	$74.64	5.13%	15
2020-02-04	2020-02-05	$59.14	$48.98	13.51%	2
2020-01-23	2020-01-24	$38.15	$37.65	0.26%	2
2020-01-14	2020-01-15	$35.86	$34.57	2.29%	2
2020-01-08	2020-01-09	$32.81	$32.09	4.72%	2
2020-01-06	2020-01-07	$30.10	$31.27	1.72%	2
2019-12-23	2019-12-24	$27.95	$28.35	3.16%	2
2019-12-19	2019-12-20	$26.94	$27.04	2.57%	2
2018-06-07	2019-12-17	$21.07	$25.27	19.17%	386
2017-09-15	2017-09-19	$25.32	$25.01	1.75%	3
2017-06-14	2017-06-15	$25.38	$25.02	1.05%	2
2017-06-07	2017-06-08	$23.98	$24.67	1.73%	2
2017-04-04	2017-04-05	$20.25	$19.67	1.53%	2
2017-02-14	2017-02-15	$18.73	$18.65	-0.06%	2
2015-04-23	2017-02-10	$14.57	$17.95	22.43%	456
2014-09-03	2014-09-05	$18.75	$18.49	0.47%	3
2014-06-18	2014-08-12	$15.14	$17.33	11.71%	39
2014-02-26	2014-02-27	$16.87	$16.84	1.81%	2
2014-02-21	2014-02-25	$13.97	$16.53	3.45%	3
2013-08-27	2013-08-28	$11.13	$11.10	1.50%	2
2013-08-09	2013-08-23	$10.20	$10.79	2.15%	11
2013-05-14	2013-05-17	$5.55	$6.10	4.85%	4
2013-05-10	2013-05-13	$5.12	$5.85	10.39%	2
2013-04-02	2013-04-03	$2.96	$2.74	0.73%	2
2012-12-04	2013-01-29	$2.26	$2.53	9.63%	38
2012-03-27	2012-03-28	$2.53	$2.52	1.24%	2
2012-03-13	2012-03-14	$2.41	$2.35	0.02%	2
2012-01-04	2012-02-21	$1.85	$2.30	24.29%	33