Strategy Zoo / S0107
VolumeBreakout_V0107
ARCHIVEDbreakoutstructuralswapped indicator rel_volume -> vol_chg; restricted to trend regimes ['SIDEWAYS']
Fitness
0.1443
Generation
5
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.6761
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0107 [breakout]
require regime.trend in ['SIDEWAYS']
if flat and (breakout_50 == 1 and vol_chg > 0.9802):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.1% | 0.0% | 0.0% | 0.6% |
| Total Return | 9.5% | 0.0% | 0.0% | 9.5% |
| Sharpe | 0.35 | 0.00 | 0.00 | 0.26 |
| Sortino | 0.05 | 0.00 | 0.00 | 0.03 |
| Calmar | 0.20 | 0.00 | 0.00 | 0.11 |
| Volatility | 3.4% | 0.0% | 0.0% | 2.5% |
| Max DD | -5.7% | 0.0% | 0.0% | -5.7% |
| Win Rate | 33.3% | 0.0% | 0.0% | 33.3% |
| Avg Win | 6.6% | 0.0% | 0.0% | 6.6% |
| Avg Loss | -0.9% | 0.0% | 0.0% | -0.9% |
| Payoff | 7.27 | 0.00 | 0.00 | 7.27 |
| Expectancy | 1.6% | 0.0% | 0.0% | 1.6% |
| Profit Factor | 3.64 | 0.00 | 0.00 | 3.64 |
| Trades | 6 | 0 | 0 | 6 |
| Avg Holding Days | 5.0 | 0.0 | 0.0 | 5.0 |
| Turnover | 1.5 | 0.0 | 0.0 | 0.8 |
| Exposure | 1.2% | 0.0% | 0.0% | 0.6% |
Growth of $100
VolumeBreakout_V0107 vs TSLA Buy & Hold
VolumeBreakout_V0107 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 0.0% | 0.00 | 0.0% | 0 |
| 2018 | 13.6% | 1.42 | -5.7% | 2 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 0.0% | 0.00 | 0% |
| hidden test | LOW VOLATILITY | 429 | 0.0% | 0.00 | 0% |
| hidden test | MEDIUM VOLATILITY | 248 | 0.0% | 0.00 | 0% |
| hidden test | NORMAL | 800 | 0.0% | 0.00 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 0.0% | 0.00 | 0% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 0.0% | 0.00 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 4.7% | 0.85 | 2% |
| train | LOW VOLATILITY | 745 | -1.2% | -0.74 | 1% |
| train | MEDIUM VOLATILITY | 568 | 0.0% | 0.00 | 0% |
| train | NORMAL | 1,601 | 1.5% | 0.39 | 1% |
| train | SIDEWAYS | 592 | 2.6% | 0.47 | 3% |
| train | UPTREND | 902 | 0.9% | 0.39 | 1% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 0.0% | 0.00 | 0% |
| validation | LOW VOLATILITY | 183 | 0.0% | 0.00 | 0% |
| validation | MEDIUM VOLATILITY | 315 | 0.0% | 0.00 | 0% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 0.0% | 0.00 | 0% |
Trades (full period)
6 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2018-10-30 | 2018-11-19 | $21.99 | $23.56 | 5.60% | 15 | |
| 2018-06-12 | 2018-06-15 | $22.85 | $23.88 | 7.50% | 4 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.28% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2014-06-18 | 2014-06-23 | $15.14 | $15.81 | -1.10% | 4 | |
| 2012-11-20 | 2012-11-23 | $2.20 | $2.14 | -1.56% | 3 |