Strategy Zoo / S0100
VolumeBreakout_V0100
ARCHIVEDbreakoutstructuralreplaced exit rule with: ret_1d < -0.0601
Fitness
0.4940
Generation
4
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0100 [breakout]
if flat and rel_volume > 1.5:
position = 1.0
if long and ret_1d < -0.0601:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 27.5% | 43.2% | 45.0% | 33.9% |
| Total Return | 594.5% | 193.8% | 294.6% | 7167.6% |
| Sharpe | 0.77 | 0.98 | 1.19 | 0.89 |
| Sortino | 1.03 | 1.00 | 1.34 | 1.08 |
| Calmar | 0.50 | 0.65 | 2.01 | 0.47 |
| Volatility | 44.0% | 48.8% | 36.7% | 43.5% |
| Max DD | -54.8% | -66.6% | -22.4% | -71.9% |
| Win Rate | 50.0% | 41.7% | 58.3% | 48.0% |
| Avg Win | 22.5% | 26.9% | 27.0% | 25.2% |
| Avg Loss | -8.7% | -8.5% | -6.4% | -8.2% |
| Payoff | 2.60 | 3.15 | 4.21 | 3.07 |
| Expectancy | 6.9% | 6.2% | 13.1% | 7.8% |
| Profit Factor | 2.60 | 2.25 | 5.89 | 2.83 |
| Trades | 38 | 24 | 12 | 75 |
| Avg Holding Days | 44.6 | 14.7 | 28.1 | 32.0 |
| Turnover | 9.6 | 16.3 | 6.8 | 10.3 |
| Exposure | 82.8% | 43.8% | 39.2% | 63.9% |
Growth of $100
VolumeBreakout_V0100 vs TSLA Buy & Hold
VolumeBreakout_V0100 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 | 19.3% | 0.67 | -31.7% | 3 |
| 2017 | 49.3% | 1.34 | -25.2% | 3 |
| 2018 | -11.5% | 0.01 | -33.5% | 7 |
| 2019 | 33.3% | 0.89 | -37.5% | 7 |
| 2020 | 320.1% | 2.67 | -29.7% | 9 |
| 2021 | 50.2% | 1.27 | -16.9% | 3 |
| 2022 | -53.8% | -1.50 | -66.6% | 12 |
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 | 43.5% | 1.01 | 60% |
| hidden test | EXPENSIVE | 83 | 194.5% | 3.08 | 73% |
| hidden test | EXTREME | 48 | -29.7% | -0.94 | 6% |
| hidden test | HIGH VOLATILITY | 254 | 78.8% | 1.55 | 38% |
| hidden test | LOW VOLATILITY | 429 | 62.2% | 2.34 | 40% |
| hidden test | MEDIUM VOLATILITY | 248 | -24.1% | -0.70 | 39% |
| hidden test | NORMAL | 800 | 32.5% | 0.99 | 38% |
| hidden test | SIDEWAYS | 293 | 17.5% | 0.77 | 27% |
| hidden test | UPTREND | 371 | 64.7% | 1.60 | 34% |
| train | DOWNTREND | 518 | -16.5% | -0.38 | 85% |
| train | EXPENSIVE | 311 | 92.9% | 2.01 | 95% |
| train | EXTREME | 100 | 303.5% | 4.41 | 61% |
| train | HIGH VOLATILITY | 699 | 59.5% | 1.06 | 77% |
| train | LOW VOLATILITY | 745 | 35.4% | 1.11 | 93% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.01 | 76% |
| train | NORMAL | 1,601 | 5.6% | 0.14 | 82% |
| train | SIDEWAYS | 592 | 23.6% | 0.55 | 82% |
| train | UPTREND | 902 | 69.6% | 1.55 | 82% |
| validation | DOWNTREND | 125 | -119.0% | -2.89 | 38% |
| validation | EXPENSIVE | 138 | 77.0% | 1.78 | 28% |
| validation | EXTREME | 144 | 205.1% | 2.97 | 52% |
| validation | HIGH VOLATILITY | 258 | 66.4% | 1.02 | 35% |
| validation | LOW VOLATILITY | 183 | 49.7% | 2.13 | 54% |
| validation | MEDIUM VOLATILITY | 315 | 31.1% | 0.70 | 45% |
| validation | NORMAL | 474 | -8.7% | -0.21 | 46% |
| validation | SIDEWAYS | 206 | -31.7% | -0.80 | 36% |
| validation | UPTREND | 425 | 135.2% | 2.51 | 49% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-24 | — | $313.03 | — | 13.56% | 40 | OPEN |
| 2026-04-16 | 2026-06-08 | $388.90 | $408.95 | -0.44% | 37 | |
| 2025-07-25 | 2025-11-14 | $316.06 | $404.35 | 31.41% | 80 | |
| 2025-06-06 | 2025-07-08 | $295.14 | $297.81 | 3.04% | 21 | |
| 2025-03-11 | 2025-04-07 | $230.58 | $233.29 | 7.57% | 20 | |
| 2025-02-12 | 2025-02-26 | $336.51 | $290.80 | -8.01% | 10 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-10-14 | 2024-11-13 | $219.16 | $330.24 | 50.52% | 23 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-04-08 | 2024-07-12 | $172.98 | $248.23 | 45.88% | 67 | |
| 2024-01-26 | 2024-03-05 | $183.25 | $180.74 | 2.81% | 27 | |
| 2023-04-21 | 2023-06-27 | $165.08 | $250.21 | 47.60% | 46 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-12-29 | 2023-01-04 | $121.82 | $113.64 | -4.27% | 4 | |
| 2022-12-23 | 2022-12-28 | $123.15 | $112.71 | -13.14% | 3 | |
| 2022-12-14 | 2022-12-21 | $156.80 | $137.57 | -14.56% | 6 | |
| 2022-11-11 | 2022-11-22 | $195.97 | $169.91 | -12.15% | 8 | |
| 2022-10-21 | 2022-11-10 | $214.44 | $190.72 | -14.49% | 15 | |
| 2022-10-04 | 2022-10-10 | $249.44 | $222.96 | -8.16% | 5 | |
| 2022-09-19 | 2022-09-30 | $309.07 | $265.25 | -11.76% | 10 | |
| 2022-07-22 | 2022-08-08 | $272.24 | $290.42 | 5.85% | 12 | |
| 2022-05-23 | 2022-05-25 | $224.97 | $219.60 | -5.57% | 3 | |
| 2022-05-13 | 2022-05-19 | $256.53 | $236.47 | -2.69% | 5 | |
| 2022-04-29 | 2022-05-06 | $290.25 | $288.55 | -0.68% | 6 | |
| 2022-02-25 | 2022-04-27 | $269.96 | $293.84 | 9.23% | 43 | |
| 2022-01-25 | 2022-01-28 | $306.13 | $282.12 | -11.03% | 4 | |
| 2021-06-25 | 2021-11-10 | $223.96 | $355.98 | 50.25% | 97 | |
| 2021-03-05 | 2021-03-19 | $199.32 | $218.29 | 4.89% | 11 | |
| 2021-02-23 | 2021-02-26 | $232.95 | $225.17 | -4.71% | 4 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-11-18 | 2020-12-10 | $162.21 | $209.02 | 36.62% | 16 | |
| 2020-08-13 | 2020-09-04 | $108.07 | $139.44 | 30.63% | 17 | |
| 2020-06-11 | 2020-07-27 | $64.86 | $102.64 | 37.95% | 32 | |
| 2020-05-01 | 2020-05-04 | $46.75 | $50.75 | -10.49% | 2 | |
| 2020-04-15 | 2020-04-22 | $48.66 | $48.81 | -3.45% | 6 | |
| 2020-03-20 | 2020-04-02 | $28.50 | $30.30 | 12.38% | 10 | |
| 2020-02-07 | 2020-02-25 | $49.87 | $53.33 | 11.10% | 12 | |
| 2019-12-17 | 2020-02-06 | $25.27 | $49.93 | 92.20% | 35 | |
| 2019-09-26 | 2019-11-25 | $16.17 | $22.42 | 45.34% | 43 | |
| 2019-09-03 | 2019-09-25 | $15.00 | $15.25 | -1.26% | 17 | |
| 2019-05-24 | 2019-07-26 | $12.71 | $15.20 | 16.81% | 44 | |
| 2019-05-21 | 2019-05-23 | $13.67 | $13.03 | -6.34% | 3 | |
| 2019-04-26 | 2019-05-20 | $15.68 | $13.69 | -14.96% | 17 | |
| 2019-03-05 | 2019-04-05 | $18.44 | $18.33 | -6.35% | 24 | |
| 2019-01-22 | 2019-03-04 | $19.93 | $19.02 | -2.67% | 29 | |
| 2018-10-24 | 2018-12-26 | $19.23 | $21.74 | 0.22% | 43 | |
| 2018-10-02 | 2018-10-08 | $20.07 | $16.70 | -15.86% | 5 | |
| 2018-09-10 | 2018-10-01 | $19.03 | $20.71 | 0.39% | 16 | |
| 2018-07-06 | 2018-08-20 | $20.59 | $20.56 | -1.38% | 32 | |
| 2018-03-29 | 2018-07-05 | $17.74 | $20.61 | 20.35% | 68 | |
| 2018-02-12 | 2018-03-28 | $21.05 | $17.19 | -10.24% | 32 | |
| 2017-11-20 | 2018-02-09 | $20.58 | $20.69 | -0.14% | 56 | |
| 2017-07-07 | 2017-11-03 | $20.88 | $20.41 | -3.29% | 85 | |
| 2017-02-28 | 2017-07-06 | $16.67 | $20.59 | 32.58% | 90 | |
| 2016-06-24 | 2017-02-24 | $12.88 | $17.13 | 30.08% | 169 | |
| 2016-02-09 | 2016-06-23 | $9.88 | $13.09 | 32.62% | 95 | |
| 2016-02-04 | 2016-02-08 | $11.69 | $9.87 | -6.46% | 3 | |
| 2016-01-15 | 2016-02-03 | $13.67 | $11.57 | -11.53% | 13 | |
| 2015-11-04 | 2016-01-05 | $15.44 | $14.90 | 7.02% | 42 | |
| 2015-08-18 | 2015-10-21 | $17.38 | $14.01 | -16.62% | 46 | |
| 2014-10-13 | 2015-08-07 | $14.97 | $16.17 | 3.68% | 207 | |
| 2014-06-17 | 2014-09-16 | $15.44 | $17.38 | 12.80% | 64 | |
| 2013-12-04 | 2014-05-09 | $9.26 | $12.15 | 23.17% | 108 | |
| 2013-11-08 | 2013-11-19 | $9.20 | $8.41 | -13.19% | 8 | |
| 2013-10-04 | 2013-11-07 | $12.07 | $9.32 | -12.95% | 25 | |
| 2013-07-17 | 2013-10-03 | $8.02 | $11.55 | 65.62% | 56 | |
| 2013-05-09 | 2013-06-03 | $4.63 | $6.17 | 74.91% | 17 | |
| 2013-05-01 | 2013-05-08 | $3.55 | $3.72 | 2.61% | 6 | |
| 2013-04-02 | 2013-04-04 | $2.96 | $2.80 | -6.63% | 3 | |
| 2012-10-01 | 2013-02-22 | $1.94 | $2.41 | 19.84% | 98 | |
| 2012-09-11 | 2012-09-26 | $1.85 | $1.84 | 0.86% | 12 | |
| 2012-07-19 | 2012-07-31 | $2.15 | $1.83 | -15.10% | 9 | |
| 2012-05-23 | 2012-07-18 | $2.07 | $2.14 | 8.06% | 39 | |
| 2012-05-09 | 2012-05-15 | $2.00 | $1.96 | -0.63% | 5 | |
| 2012-01-18 | 2012-04-05 | $1.79 | $2.30 | 31.32% | 56 | |
| 2012-01-04 | 2012-01-17 | $1.85 | $1.77 | -19.00% | 9 |