Strategy Zoo / S0081
VolumeBreakout_V0081
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0044 OR LongTermTrend_V0065
Fitness
0.3752
Generation
4
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
changed rel_volume threshold 1.5 -> 1.0808
changed roc_20 threshold 1.7469 -> 11.3671
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0081 [hybrid]
if flat and ((breakout_50 == 1 and rel_volume > 1.0808) or (close > sma_200 and sma_200_slope > 0.0 and roc_20 > 11.3671)):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.4% | 29.1% | 9.9% | 16.3% |
| Total Return | 192.9% | 115.0% | 41.5% | 817.9% |
| Sharpe | 0.54 | 0.72 | 0.43 | 0.56 |
| Sortino | 0.59 | 0.90 | 0.47 | 0.62 |
| Calmar | 0.27 | 0.49 | 0.19 | 0.27 |
| Volatility | 38.5% | 61.7% | 39.8% | 44.5% |
| Max DD | -53.1% | -59.9% | -52.0% | -59.9% |
| Win Rate | 84.1% | 77.3% | 86.0% | 82.6% |
| Avg Win | 2.7% | 4.4% | 3.3% | 3.2% |
| Avg Loss | -7.7% | -8.1% | -12.5% | -8.5% |
| Payoff | 0.34 | 0.55 | 0.27 | 0.38 |
| Expectancy | 1.0% | 1.6% | 1.1% | 1.2% |
| Profit Factor | 1.82 | 1.87 | 1.65 | 1.80 |
| Trades | 132 | 66 | 43 | 241 |
| Avg Holding Days | 8.6 | 9.2 | 10.7 | 9.1 |
| Turnover | 33.2 | 44.0 | 23.3 | 32.8 |
| Exposure | 50.1% | 71.3% | 44.6% | 53.1% |
Growth of $100
VolumeBreakout_V0081 vs TSLA Buy & Hold
VolumeBreakout_V0081 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 | 8.6% | 0.94 | -6.7% | 4 |
| 2017 | -2.8% | 0.07 | -27.8% | 23 |
| 2018 | -28.3% | -0.61 | -39.3% | 10 |
| 2019 | 18.8% | 0.79 | -20.4% | 10 |
| 2020 | 251.4% | 2.01 | -59.9% | 37 |
| 2021 | -11.1% | 0.02 | -36.5% | 18 |
| 2022 | -39.7% | -0.76 | -49.3% | 9 |
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 | -4.5% | -0.10 | 29% |
| hidden test | EXPENSIVE | 83 | 102.7% | 1.84 | 66% |
| hidden test | EXTREME | 48 | 180.6% | 3.33 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 59.8% | 1.05 | 43% |
| hidden test | LOW VOLATILITY | 429 | 9.7% | 0.36 | 46% |
| hidden test | MEDIUM VOLATILITY | 248 | -13.4% | -0.36 | 44% |
| hidden test | NORMAL | 800 | -1.5% | -0.04 | 40% |
| hidden test | SIDEWAYS | 293 | -21.4% | -0.60 | 51% |
| hidden test | UPTREND | 371 | 63.3% | 1.58 | 51% |
| train | DOWNTREND | 518 | -20.0% | -0.68 | 22% |
| train | EXPENSIVE | 311 | 19.8% | 0.42 | 76% |
| train | EXTREME | 100 | 370.3% | 5.46 | 73% |
| train | HIGH VOLATILITY | 699 | 46.2% | 0.89 | 50% |
| train | LOW VOLATILITY | 745 | 11.4% | 0.46 | 50% |
| train | MEDIUM VOLATILITY | 568 | 1.7% | 0.05 | 50% |
| train | NORMAL | 1,601 | -0.9% | -0.03 | 44% |
| train | SIDEWAYS | 592 | 17.6% | 0.46 | 52% |
| train | UPTREND | 902 | 46.2% | 1.08 | 65% |
| validation | DOWNTREND | 125 | -23.4% | -0.53 | 42% |
| validation | EXPENSIVE | 138 | 13.5% | 0.19 | 73% |
| validation | EXTREME | 144 | 260.4% | 3.58 | 80% |
| validation | HIGH VOLATILITY | 258 | 80.8% | 0.93 | 81% |
| validation | LOW VOLATILITY | 183 | 18.2% | 0.64 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 30.2% | 0.60 | 69% |
| validation | NORMAL | 474 | -11.9% | -0.22 | 68% |
| validation | SIDEWAYS | 206 | -39.7% | -0.70 | 81% |
| validation | UPTREND | 425 | 105.4% | 1.55 | 75% |
Trades (full period)
latest 100 of 241
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-15 | 2026-07-02 | $422.24 | $393.45 | -4.26% | 33 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-17 | 2026-04-20 | $467.26 | $392.50 | -18.39% | 84 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-29 | 2025-09-12 | $333.87 | $395.94 | 6.38% | 10 | |
| 2025-05-29 | 2025-08-12 | $358.43 | $340.84 | -5.20% | 52 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2024-12-19 | 2025-04-28 | $436.17 | $285.88 | -35.39% | 87 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 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 | |
| 2024-10-07 | 2024-10-28 | $240.83 | $262.51 | 7.42% | 16 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-11-30 | 2023-12-15 | $240.08 | $253.50 | 2.62% | 12 | |
| 2023-11-22 | 2023-11-29 | $234.21 | $244.14 | 2.08% | 5 | |
| 2023-09-18 | 2023-11-16 | $265.28 | $233.59 | -11.68% | 44 | |
| 2023-09-12 | 2023-09-15 | $267.48 | $274.39 | 0.70% | 4 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2022-08-16 | 2022-09-20 | $306.56 | $308.73 | -0.28% | 25 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-06 | 2022-07-11 | $348.59 | $234.34 | -31.20% | 65 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-25 | 2022-03-29 | $336.88 | $366.52 | 7.47% | 3 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2022-01-05 | 2022-03-21 | $362.71 | $307.05 | -21.40% | 52 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -2.65% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-20 | 2021-09-27 | $243.39 | $263.79 | 1.75% | 6 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-07-01 | 2021-08-02 | $225.97 | $236.56 | 0.90% | 22 | |
| 2021-04-19 | 2021-06-24 | $238.21 | $226.61 | -11.43% | 48 | |
| 2021-01-27 | 2021-04-14 | $288.05 | $244.08 | -13.85% | 54 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-02 | 2020-10-15 | $149.12 | $149.63 | -3.09% | 31 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 2.01% | 5 | |
| 2020-05-12 | 2020-05-22 | $53.96 | $54.46 | 1.81% | 9 | |
| 2020-05-01 | 2020-05-11 | $46.75 | $54.09 | 4.58% | 7 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-20 | 2020-04-28 | $49.76 | $51.27 | 5.74% | 7 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-02-21 | 2020-04-13 | $60.07 | $43.40 | -36.42% | 36 |