Strategy Zoo / S0109
VolumeBreakout_V0109
ARCHIVEDbreakoutstructuraladded entry filter: vol_20 < 0.6073
Fitness
0.4315
Generation
5
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.0808
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0109 [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.0808 and vol_20 < 0.6073):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.5% | 38.5% | 0.9% | 16.6% |
| Total Return | 237.9% | 165.5% | 3.3% | 854.2% |
| Sharpe | 0.67 | 0.93 | 0.17 | 0.63 |
| Sortino | 0.59 | 0.84 | 0.11 | 0.51 |
| Calmar | 0.34 | 0.90 | 0.02 | 0.34 |
| Volatility | 28.6% | 47.2% | 27.1% | 33.0% |
| Max DD | -48.7% | -43.0% | -36.2% | -48.7% |
| Win Rate | 35.3% | 50.0% | 42.9% | 40.0% |
| Avg Win | 41.8% | 67.5% | 11.8% | 49.3% |
| Avg Loss | -7.6% | -14.5% | -7.1% | -8.6% |
| Payoff | 5.48 | 4.67 | 1.67 | 5.72 |
| Expectancy | 9.8% | 26.5% | 1.0% | 14.6% |
| Profit Factor | 2.99 | 4.67 | 1.25 | 3.81 |
| Trades | 17 | 6 | 7 | 30 |
| Avg Holding Days | 36.1 | 54.0 | 29.0 | 39.9 |
| Turnover | 4.4 | 4.0 | 3.8 | 4.1 |
| Exposure | 32.4% | 42.1% | 21.1% | 31.5% |
Growth of $100
VolumeBreakout_V0109 vs TSLA Buy & Hold
VolumeBreakout_V0109 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 | -4.7% | -0.27 | -16.8% | 1 |
| 2017 | 13.3% | 0.64 | -22.3% | 3 |
| 2018 | -23.2% | -1.21 | -26.9% | 3 |
| 2019 | 45.4% | 1.41 | -14.0% | 1 |
| 2020 | 216.7% | 2.01 | -36.3% | 2 |
| 2021 | 10.1% | 0.45 | -24.3% | 2 |
| 2022 | -24.3% | -1.08 | -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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 68.2% | 1.61 | 63% |
| hidden test | EXTREME | 48 | 28.8% | 0.56 | 65% |
| hidden test | HIGH VOLATILITY | 254 | -28.9% | -0.89 | 18% |
| hidden test | LOW VOLATILITY | 429 | 31.4% | 1.60 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -7.4% | -0.23 | 26% |
| hidden test | NORMAL | 800 | -3.5% | -0.15 | 14% |
| hidden test | SIDEWAYS | 293 | -10.3% | -0.53 | 9% |
| hidden test | UPTREND | 371 | 19.6% | 0.50 | 46% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 15.1% | 0.43 | 55% |
| train | EXTREME | 100 | 366.7% | 5.02 | 92% |
| train | HIGH VOLATILITY | 699 | 41.0% | 1.12 | 25% |
| train | LOW VOLATILITY | 745 | 32.4% | 1.46 | 45% |
| train | MEDIUM VOLATILITY | 568 | -24.6% | -1.00 | 25% |
| train | NORMAL | 1,601 | -1.6% | -0.08 | 24% |
| train | SIDEWAYS | 592 | -14.9% | -0.86 | 12% |
| train | UPTREND | 902 | 53.9% | 1.34 | 64% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | -29.4% | -0.60 | 51% |
| validation | EXTREME | 144 | 258.5% | 3.20 | 73% |
| validation | HIGH VOLATILITY | 258 | 97.1% | 1.47 | 39% |
| validation | LOW VOLATILITY | 183 | 20.6% | 0.87 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 13.3% | 0.35 | 39% |
| validation | NORMAL | 474 | -0.3% | -0.01 | 30% |
| validation | SIDEWAYS | 206 | -26.4% | -1.41 | 11% |
| validation | UPTREND | 425 | 85.0% | 1.39 | 68% |
Trades (full period)
30 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-12-11 | 2025-01-30 | $424.77 | $400.28 | -3.15% | 33 | |
| 2024-06-27 | 2024-08-05 | $197.42 | $198.88 | 5.54% | 27 | |
| 2023-06-02 | 2023-08-08 | $213.97 | $249.70 | 20.93% | 46 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-08-03 | 2021-12-14 | $236.58 | $319.50 | 35.91% | 94 | |
| 2021-01-11 | 2021-02-23 | $270.40 | $232.95 | -18.98% | 30 | |
| 2020-06-02 | 2020-10-29 | $58.77 | $136.94 | 125.59% | 106 | |
| 2019-10-14 | 2020-03-10 | $17.13 | $43.02 | 144.79% | 102 | |
| 2019-07-25 | 2019-08-13 | $15.25 | $15.67 | -13.73% | 14 | |
| 2018-12-04 | 2018-12-21 | $23.98 | $21.32 | -12.20% | 13 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -9.38% | 17 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -8.83% | 8 | |
| 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 | |
| 2016-03-22 | 2016-05-05 | $15.62 | $14.10 | -6.80% | 32 | |
| 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 | |
| 2014-02-19 | 2014-03-28 | $12.91 | $14.16 | 1.57% | 28 | |
| 2013-04-30 | 2013-10-24 | $3.60 | $11.54 | 198.81% | 125 | |
| 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 | |
| 2012-07-17 | 2012-07-24 | $2.22 | $1.99 | -14.92% | 6 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -5.40% | 35 |