Strategy Zoo / S0074
VolumeBreakout_V0074
ARCHIVEDbreakoutstructuralremoved entry condition: rel_volume > 1.0808
Fitness
0.6092
Generation
3
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.0808
Children (7)
Strategy Logic (pseudocode)
# VolumeBreakout_V0074 [breakout]
if flat and breakout_50 == 1:
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.8% | 76.7% | 5.0% | 26.3% |
| Total Return | 352.8% | 452.1% | 19.7% | 2980.0% |
| Sharpe | 0.77 | 1.40 | 0.31 | 0.83 |
| Sortino | 0.72 | 1.38 | 0.28 | 0.76 |
| Calmar | 0.37 | 1.91 | 0.12 | 0.46 |
| Volatility | 30.2% | 49.5% | 33.5% | 35.8% |
| Max DD | -56.8% | -40.1% | -39.9% | -56.8% |
| Win Rate | 31.6% | 66.7% | 40.0% | 40.0% |
| Avg Win | 56.8% | 67.7% | 21.2% | 57.2% |
| Avg Loss | -7.0% | -10.3% | -8.9% | -7.8% |
| Payoff | 8.15 | 6.56 | 2.39 | 7.30 |
| Expectancy | 13.2% | 41.7% | 3.1% | 18.2% |
| Profit Factor | 3.76 | 10.00 | 1.59 | 4.86 |
| Trades | 19 | 6 | 10 | 35 |
| Avg Holding Days | 36.6 | 63.0 | 30.9 | 41.1 |
| Turnover | 4.9 | 4.0 | 5.4 | 4.8 |
| Exposure | 36.4% | 49.2% | 32.1% | 38.0% |
Growth of $100
VolumeBreakout_V0074 vs TSLA Buy & Hold
VolumeBreakout_V0074 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 | 0.3% | 0.09 | -16.8% | 1 |
| 2017 | 16.8% | 0.77 | -19.9% | 3 |
| 2018 | -39.1% | -1.75 | -40.1% | 5 |
| 2019 | 49.2% | 1.50 | -13.9% | 1 |
| 2020 | 401.9% | 2.58 | -36.2% | 2 |
| 2021 | 32.8% | 0.95 | -24.3% | 2 |
| 2022 | -20.6% | -0.84 | -27.3% | 2 |
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 | 2.1% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 108.6% | 2.00 | 82% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 11.6% | 0.27 | 35% |
| hidden test | LOW VOLATILITY | 429 | 33.4% | 1.49 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -30.3% | -0.80 | 38% |
| hidden test | NORMAL | 800 | -9.8% | -0.35 | 23% |
| hidden test | SIDEWAYS | 293 | -18.0% | -0.61 | 28% |
| hidden test | UPTREND | 371 | 39.0% | 0.85 | 58% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 39.3% | 1.04 | 64% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 40.9% | 1.04 | 34% |
| train | LOW VOLATILITY | 745 | 34.7% | 1.55 | 46% |
| train | MEDIUM VOLATILITY | 568 | -13.0% | -0.50 | 28% |
| train | NORMAL | 1,601 | -4.2% | -0.19 | 27% |
| train | SIDEWAYS | 592 | -14.8% | -0.75 | 16% |
| train | UPTREND | 902 | 63.1% | 1.51 | 70% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 51.1% | 0.89 | 75% |
| validation | EXTREME | 144 | 306.8% | 3.73 | 85% |
| validation | HIGH VOLATILITY | 258 | 96.8% | 1.47 | 43% |
| validation | LOW VOLATILITY | 183 | 20.8% | 0.88 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 74.9% | 1.67 | 53% |
| validation | NORMAL | 474 | 2.4% | 0.08 | 31% |
| validation | SIDEWAYS | 206 | -31.8% | -1.67 | 15% |
| validation | UPTREND | 425 | 133.1% | 2.08 | 79% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-08-27 | 2025-11-14 | $349.60 | $404.35 | 14.08% | 57 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 44.25% | 64 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-06-27 | 2024-08-05 | $197.42 | $198.88 | 5.54% | 27 | |
| 2023-12-28 | 2024-01-10 | $253.18 | $233.94 | -10.31% | 9 | |
| 2023-06-02 | 2023-08-08 | $213.97 | $249.70 | 20.93% | 46 | |
| 2023-02-08 | 2023-04-06 | $201.29 | $185.06 | -5.92% | 41 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-03-29 | 2022-04-27 | $366.52 | $293.84 | -19.89% | 21 | |
| 2021-08-03 | 2021-12-14 | $236.58 | $319.50 | 35.91% | 94 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-05-11 | 2020-10-29 | $54.09 | $136.94 | 147.25% | 121 | |
| 2019-10-14 | 2020-03-10 | $17.13 | $43.02 | 144.79% | 102 | |
| 2019-07-22 | 2019-08-13 | $17.05 | $15.67 | -11.48% | 17 | |
| 2018-10-30 | 2018-12-21 | $21.99 | $21.32 | -6.00% | 37 | |
| 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 | |
| 2018-02-27 | 2018-03-02 | $23.40 | $22.34 | -7.60% | 4 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -9.38% | 17 | |
| 2017-09-14 | 2017-09-26 | $25.18 | $23.02 | -5.99% | 9 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2016-12-21 | 2017-03-09 | $13.85 | $16.33 | 18.00% | 53 | |
| 2016-03-18 | 2016-05-05 | $15.52 | $14.10 | -1.88% | 34 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2014-06-18 | 2014-09-23 | $15.14 | $16.69 | 7.71% | 68 | |
| 2014-01-22 | 2014-03-28 | $11.90 | $14.16 | 17.11% | 47 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-20 | 2013-01-14 | $2.20 | $2.22 | -0.23% | 37 | |
| 2012-07-16 | 2012-07-24 | $2.40 | $1.99 | -10.66% | 7 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -5.40% | 35 |