Strategy Zoo / S0091
VolumeBreakout_V0091
ARCHIVEDbreakoutstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.2956
Generation
4
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: rel_volume > 1.0808
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0091 [breakout]
require regime.bubble in ['EXTREME', 'NORMAL']
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 | 6.8% | 15.2% | -1.3% | 6.4% |
| Total Return | 69.3% | 52.9% | -4.6% | 147.0% |
| Sharpe | 0.38 | 0.55 | 0.09 | 0.35 |
| Sortino | 0.29 | 0.42 | 0.06 | 0.26 |
| Calmar | 0.14 | 0.33 | -0.03 | 0.13 |
| Volatility | 25.4% | 42.3% | 26.8% | 29.9% |
| Max DD | -49.4% | -46.4% | -40.9% | -50.0% |
| Win Rate | 27.3% | 40.0% | 41.7% | 34.1% |
| Avg Win | 36.6% | 23.2% | 12.2% | 24.9% |
| Avg Loss | -6.8% | -6.1% | -8.4% | -7.0% |
| Payoff | 5.42 | 3.79 | 1.46 | 3.55 |
| Expectancy | 5.1% | 5.6% | 0.2% | 3.9% |
| Profit Factor | 2.03 | 2.53 | 1.04 | 1.84 |
| Trades | 22 | 10 | 12 | 44 |
| Avg Holding Days | 24.0 | 26.5 | 17.8 | 22.9 |
| Turnover | 5.5 | 6.7 | 6.5 | 6.0 |
| Exposure | 25.1% | 33.7% | 21.6% | 26.0% |
Growth of $100
VolumeBreakout_V0091 vs TSLA Buy & Hold
VolumeBreakout_V0091 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 | 12.2% | 1.24 | -6.0% | 2 |
| 2018 | -39.1% | -1.75 | -40.1% | 5 |
| 2019 | 36.0% | 1.21 | -13.9% | 2 |
| 2020 | 53.5% | 1.00 | -37.8% | 6 |
| 2021 | 25.0% | 0.87 | -21.5% | 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 | 4.3% | 0.22 | 6% |
| hidden test | EXTREME | 48 | 39.9% | 0.87 | 44% |
| hidden test | HIGH VOLATILITY | 254 | -19.4% | -0.63 | 19% |
| hidden test | LOW VOLATILITY | 429 | 22.6% | 1.05 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -10.4% | -0.34 | 21% |
| hidden test | NORMAL | 800 | -0.1% | -0.00 | 22% |
| hidden test | SIDEWAYS | 293 | -4.9% | -0.18 | 26% |
| hidden test | UPTREND | 371 | 8.2% | 0.23 | 33% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | -12.3% | -0.76 | 3% |
| train | EXTREME | 100 | 246.6% | 3.66 | 83% |
| train | HIGH VOLATILITY | 699 | 9.0% | 0.26 | 22% |
| train | LOW VOLATILITY | 745 | 25.2% | 1.31 | 35% |
| train | MEDIUM VOLATILITY | 568 | -9.6% | -0.49 | 17% |
| train | NORMAL | 1,601 | -0.8% | -0.04 | 26% |
| train | SIDEWAYS | 592 | -16.5% | -0.84 | 16% |
| train | UPTREND | 902 | 33.7% | 0.99 | 45% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | -81.6% | -2.53 | 4% |
| validation | EXTREME | 144 | 173.0% | 2.29 | 73% |
| validation | HIGH VOLATILITY | 258 | 48.0% | 0.81 | 33% |
| validation | LOW VOLATILITY | 183 | 26.0% | 1.31 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 1.1% | 0.03 | 30% |
| validation | NORMAL | 474 | 8.1% | 0.29 | 30% |
| validation | SIDEWAYS | 206 | -31.8% | -1.67 | 15% |
| validation | UPTREND | 425 | 51.0% | 0.94 | 52% |
Trades (full period)
44 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 | 2025-09-15 | $349.60 | $410.04 | 12.36% | 13 | |
| 2025-05-12 | 2025-05-15 | $318.38 | $342.82 | 16.34% | 4 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 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 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-08-17 | 2020-09-09 | $122.38 | $122.09 | -0.17% | 17 | |
| 2020-07-01 | 2020-08-11 | $74.64 | $91.63 | 31.11% | 29 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-05-11 | 2020-05-29 | $54.09 | $55.67 | -1.86% | 14 | |
| 2020-01-22 | 2020-03-10 | $37.97 | $43.02 | 10.89% | 34 | |
| 2019-10-14 | 2019-12-17 | $17.13 | $25.27 | 53.60% | 46 | |
| 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 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2016-12-21 | 2017-01-25 | $13.85 | $16.96 | 21.70% | 23 | |
| 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 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-30 | 2013-08-08 | $8.78 | $10.23 | -0.49% | 8 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 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 |