Strategy Zoo / S0072

VolContraction_V0072

ARCHIVEDvolatility

structuralrestricted to trend regimes ['UPTREND']

Fitness

0.3315

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolContraction_V0016S0016 · gen 0ARCHIVEDstructural

seed strategy

Children (0)

None

Strategy Logic (pseudocode)

# VolContraction_V0072  [volatility]
require regime.trend in ['UPTREND']
if flat and (vol_pctile < 0.35 and ret_20d > 0.0):
    position = 1.0
if long and vol_pctile > 0.8:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.5%	36.4%	3.0%	8.4%
Total Return	12.8%	153.6%	11.7%	228.9%
Sharpe	0.19	1.02	0.24	0.42
Sortino	0.15	1.05	0.18	0.35
Calmar	0.03	0.82	0.09	0.16
Volatility	26.2%	36.7%	27.7%	29.0%
Max DD	-52.9%	-44.3%	-34.6%	-52.9%
Win Rate	40.0%	30.0%	55.6%	41.0%
Avg Win	13.4%	60.7%	11.6%	24.1%
Avg Loss	-7.9%	-6.4%	-10.0%	-7.8%
Payoff	1.71	9.54	1.17	3.11
Expectancy	0.7%	13.8%	2.0%	5.3%
Profit Factor	1.14	4.09	1.46	2.16
Trades	20	10	9	39
Avg Holding Days	31.9	22.4	23.7	28.3
Turnover	5.1	6.7	4.9	5.3
Exposure	32.0%	28.3%	21.9%	28.7%

Growth of $100

VolContraction_V0072 vs TSLA Buy & Hold

VolContraction_V0072 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	-16.6%	-1.40	-19.3%	3
2017	24.8%	0.94	-26.1%	2
2018	-31.3%	-2.42	-31.2%	3
2019	17.8%	1.36	-7.4%	0
2020	182.4%	2.68	-20.6%	3
2021	13.0%	0.49	-33.8%	2
2022	-30.4%	-2.24	-30.3%	5

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	125.0%	2.24	58%
hidden test	EXTREME	48	-35.2%	-0.98	23%
hidden test	HIGH VOLATILITY	254	-14.8%	-0.48	7%
hidden test	LOW VOLATILITY	429	22.6%	1.02	27%
hidden test	MEDIUM VOLATILITY	248	1.5%	0.05	29%
hidden test	NORMAL	800	-3.0%	-0.13	18%
hidden test	SIDEWAYS	293	-19.1%	-1.33	2%
hidden test	UPTREND	371	32.1%	0.76	53%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	33.3%	0.82	61%
train	EXTREME	100	87.2%	1.95	19%
train	HIGH VOLATILITY	699	-0.5%	-0.02	10%
train	LOW VOLATILITY	745	26.9%	1.16	51%
train	MEDIUM VOLATILITY	568	-17.4%	-0.63	35%
train	NORMAL	1,601	-5.8%	-0.28	27%
train	SIDEWAYS	592	-14.7%	-1.44	3%
train	UPTREND	902	20.6%	0.54	70%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	10.7%	0.41	24%
validation	EXTREME	144	176.3%	3.55	31%
validation	HIGH VOLATILITY	258	69.5%	1.57	16%
validation	LOW VOLATILITY	183	29.7%	1.13	51%
validation	MEDIUM VOLATILITY	315	15.9%	0.45	26%
validation	NORMAL	474	3.2%	0.09	29%
validation	SIDEWAYS	206	-25.9%	-2.40	3%
validation	UPTREND	425	79.3%	1.64	49%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2025-09-12	2026-01-13	$395.94	$447.20	21.50%	85
2025-09-04	2025-09-05	$338.53	$350.84	1.13%	2
2025-05-27	2025-06-06	$362.89	$295.14	-16.26%	9
2024-12-16	2025-01-03	$463.02	$410.44	-13.22%	13
2024-10-07	2024-10-25	$240.83	$269.19	3.95%	15
2024-07-02	2024-07-22	$231.26	$251.51	13.76%	14
2024-01-03	2024-01-12	$238.45	$218.89	-8.72%	8
2023-06-02	2023-09-05	$213.97	$256.49	17.83%	65
2022-09-19	2022-09-23	$309.07	$275.33	-5.05%	5
2022-09-12	2022-09-14	$304.42	$302.61	-2.71%	3
2022-08-19	2022-08-22	$296.67	$289.91	-2.25%	2
2022-08-05	2022-08-08	$288.17	$290.42	-6.82%	2
2021-08-24	2022-01-20	$236.16	$332.09	40.69%	104
2021-08-05	2021-08-23	$238.21	$235.43	-4.50%	13
2021-02-10	2021-03-10	$268.27	$222.69	-20.87%	20
2020-10-26	2020-11-13	$140.09	$136.17	-2.30%	15
2020-06-03	2020-07-27	$58.86	$102.64	60.42%	38
2019-11-22	2020-02-04	$22.20	$59.14	119.37%	49
2018-12-13	2018-12-26	$25.12	$21.74	-19.58%	9
2018-02-08	2018-02-09	$21.02	$20.69	-8.82%	2
2018-02-01	2018-02-06	$23.28	$22.26	-6.17%	4
2017-09-22	2017-10-25	$23.41	$21.72	-8.14%	24
2017-01-05	2017-07-07	$15.12	$20.88	35.78%	127
2016-07-26	2016-08-30	$15.30	$14.09	-6.63%	26
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-22	2016-06-02	$16.92	$14.60	-11.75%	29
2015-05-11	2015-08-18	$15.97	$17.38	7.55%	70
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2014-06-23	2014-10-22	$15.81	$15.41	2.30%	86
2014-02-13	2014-05-08	$13.31	$11.91	2.88%	59
2013-09-09	2013-11-07	$10.71	$9.32	-9.65%	44
2013-07-11	2013-07-17	$8.37	$8.02	-10.99%	5
2013-05-06	2013-05-10	$3.97	$5.12	26.98%	5
2012-12-18	2013-04-02	$2.31	$2.96	27.45%	71
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-05-04	$2.30	$2.12	-5.33%	51
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2
2012-01-04	2012-01-06	$1.85	$1.79	-3.61%	3