Strategy Zoo / S0113
VolumeBreakout_V0113
ARCHIVEDbreakoutstructuralswapped indicator rel_volume -> vol_chg
Fitness
0.6441
Generation
5
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (6)
Strategy Logic (pseudocode)
# VolumeBreakout_V0113 [breakout]
if flat and vol_chg > 1.1148:
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.9% | 100.9% | 15.1% | 29.1% |
| Total Return | 203.0% | 710.5% | 68.1% | 4151.3% |
| Sharpe | 0.58 | 1.68 | 0.62 | 0.88 |
| Sortino | 0.61 | 1.56 | 0.53 | 0.85 |
| Calmar | 0.27 | 2.48 | 0.57 | 0.52 |
| Volatility | 33.9% | 48.6% | 30.0% | 36.5% |
| Max DD | -55.7% | -40.7% | -26.6% | -55.7% |
| Win Rate | 37.4% | 72.7% | 66.7% | 43.9% |
| Avg Win | 13.9% | 38.3% | 10.4% | 18.5% |
| Avg Loss | -4.1% | -2.7% | -5.0% | -4.1% |
| Payoff | 3.39 | 10.00 | 2.06 | 4.50 |
| Expectancy | 2.6% | 27.1% | 5.2% | 5.8% |
| Profit Factor | 2.02 | 10.00 | 4.12 | 3.52 |
| Trades | 91 | 11 | 12 | 114 |
| Avg Holding Days | 9.7 | 31.7 | 19.2 | 13.3 |
| Turnover | 22.9 | 7.3 | 6.5 | 15.5 |
| Exposure | 41.8% | 44.7% | 23.4% | 37.8% |
Growth of $100
VolumeBreakout_V0113 vs TSLA Buy & Hold
VolumeBreakout_V0113 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 | -17.6% | -1.14 | -20.6% | 17 |
| 2017 | 12.8% | 0.60 | -16.0% | 9 |
| 2018 | -10.3% | -0.09 | -36.9% | 13 |
| 2019 | 8.7% | 0.49 | -22.0% | 13 |
| 2020 | 425.9% | 2.61 | -40.7% | 2 |
| 2021 | 42.3% | 1.11 | -21.5% | 6 |
| 2022 | 3.9% | 1.34 | -0.1% | 3 |
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 | 3.1% | 0.23 | 7% |
| hidden test | EXPENSIVE | 83 | 58.7% | 1.16 | 71% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 28.6% | 0.63 | 48% |
| hidden test | LOW VOLATILITY | 429 | 27.1% | 2.25 | 7% |
| hidden test | MEDIUM VOLATILITY | 248 | -6.6% | -0.21 | 27% |
| hidden test | NORMAL | 800 | 4.7% | 0.20 | 14% |
| hidden test | SIDEWAYS | 293 | 1.9% | 0.08 | 18% |
| hidden test | UPTREND | 371 | 42.7% | 1.04 | 40% |
| train | DOWNTREND | 518 | -24.0% | -1.11 | 10% |
| train | EXPENSIVE | 311 | 52.5% | 1.31 | 71% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 52.4% | 1.18 | 42% |
| train | LOW VOLATILITY | 745 | 25.5% | 1.07 | 47% |
| train | MEDIUM VOLATILITY | 568 | -28.8% | -0.97 | 36% |
| train | NORMAL | 1,601 | -11.7% | -0.43 | 32% |
| train | SIDEWAYS | 592 | 3.7% | 0.13 | 25% |
| train | UPTREND | 902 | 54.8% | 1.30 | 72% |
| validation | DOWNTREND | 125 | 7.2% | 1.79 | 2% |
| validation | EXPENSIVE | 138 | 51.1% | 0.89 | 75% |
| validation | EXTREME | 144 | 316.9% | 3.76 | 89% |
| validation | HIGH VOLATILITY | 258 | 103.9% | 1.54 | 46% |
| validation | LOW VOLATILITY | 183 | 50.3% | 2.15 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 81.6% | 2.02 | 42% |
| validation | NORMAL | 474 | 19.0% | 0.79 | 23% |
| validation | SIDEWAYS | 206 | 16.0% | 0.91 | 8% |
| validation | UPTREND | 425 | 135.3% | 2.13 | 75% |
Trades (full period)
latest 100 of 114
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-06 | 2026-07-08 | $419.77 | $394.06 | 2.20% | 3 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-06-06 | 2025-07-02 | $295.14 | $315.65 | 5.42% | 18 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2024-10-25 | 2025-01-30 | $269.19 | $400.28 | 49.08% | 65 | |
| 2024-06-18 | 2024-08-05 | $184.86 | $198.88 | 10.57% | 33 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2023-01-30 | 2023-04-06 | $166.66 | $185.06 | 4.07% | 48 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-04-27 | 2022-04-28 | $293.84 | $292.50 | 0.38% | 2 | |
| 2022-02-25 | 2022-02-28 | $269.96 | $290.14 | 0.94% | 2 | |
| 2021-07-28 | 2021-12-14 | $215.66 | $319.50 | 49.58% | 98 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-08 | 2021-03-09 | $187.67 | $224.53 | -6.04% | 2 | |
| 2021-02-26 | 2021-03-01 | $225.17 | $239.48 | -1.18% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 5.97% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-05-01 | 2020-10-29 | $46.75 | $136.94 | 159.09% | 127 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-09-27 | 2019-10-07 | $16.14 | $15.85 | -4.78% | 7 | |
| 2019-09-25 | 2019-09-26 | $15.25 | $16.17 | 2.26% | 2 | |
| 2019-09-06 | 2019-09-09 | $15.16 | $15.45 | -1.13% | 2 | |
| 2019-07-26 | 2019-08-13 | $15.20 | $15.67 | -0.12% | 13 | |
| 2019-06-07 | 2019-06-10 | $13.63 | $14.19 | -0.90% | 2 | |
| 2019-05-24 | 2019-05-28 | $12.71 | $12.58 | -2.68% | 2 | |
| 2019-05-22 | 2019-05-23 | $12.85 | $13.03 | -6.22% | 2 | |
| 2019-05-20 | 2019-05-21 | $13.69 | $13.67 | -2.88% | 2 | |
| 2019-04-26 | 2019-04-29 | $15.68 | $16.10 | -5.24% | 2 | |
| 2019-04-05 | 2019-04-08 | $18.33 | $18.21 | 2.48% | 2 | |
| 2019-03-06 | 2019-03-07 | $18.42 | $18.44 | -0.31% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-10-25 | 2018-12-21 | $20.99 | $21.32 | 9.11% | 40 | |
| 2018-10-03 | 2018-10-04 | $19.65 | $18.79 | -2.26% | 2 | |
| 2018-10-01 | 2018-10-02 | $20.71 | $20.07 | 17.13% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-05-03 | 2018-05-04 | $18.96 | $19.61 | -5.74% | 2 | |
| 2018-04-04 | 2018-04-05 | $19.13 | $20.38 | 7.05% | 2 | |
| 2018-04-02 | 2018-04-03 | $16.83 | $17.84 | -5.32% | 2 | |
| 2018-03-28 | 2018-03-29 | $17.19 | $17.74 | -7.86% | 2 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-12 | 2018-02-13 | $21.05 | $21.58 | 1.51% | 2 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -6.48% | 23 | |
| 2017-11-20 | 2017-11-21 | $20.58 | $21.19 | -2.20% | 2 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-12 | 2017-09-26 | $24.18 | $23.02 | -5.33% | 11 | |
| 2017-08-03 | 2017-08-21 | $23.14 | $22.52 | 6.41% | 13 | |
| 2017-07-11 | 2017-07-12 | $21.81 | $21.97 | 3.33% | 2 | |
| 2017-07-07 | 2017-07-10 | $20.88 | $21.07 | 1.22% | 2 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2017-03-15 | 2017-03-22 | $17.05 | $17.00 | -3.03% | 6 | |
| 2017-01-20 | 2017-03-09 | $16.32 | $16.33 | 1.07% | 34 | |
| 2016-11-11 | 2016-11-14 | $12.57 | $12.10 | 1.53% | 2 | |
| 2016-11-02 | 2016-11-03 | $12.53 | $12.49 | -1.65% | 2 | |
| 2016-10-28 | 2016-10-31 | $13.33 | $13.18 | -2.18% | 2 | |
| 2016-10-19 | 2016-10-20 | $13.57 | $13.27 | 2.04% | 2 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-09-02 | 2016-09-06 | $13.19 | $13.52 | -1.69% | 2 | |
| 2016-06-27 | 2016-06-28 | $13.24 | $13.45 | 2.59% | 2 | |
| 2016-06-23 | 2016-06-24 | $13.09 | $12.88 | -0.33% | 2 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.62% | 2 | |
| 2016-06-08 | 2016-06-10 | $15.70 | $14.59 | -1.48% | 3 | |
| 2016-05-23 | 2016-05-24 | $14.41 | $14.53 | -2.04% | 2 | |
| 2016-05-06 | 2016-05-09 | $14.33 | $13.93 | 1.41% | 2 | |
| 2016-04-04 | 2016-05-05 | $16.47 | $14.10 | -6.51% | 24 | |
| 2016-02-12 | 2016-02-16 | $10.07 | $10.34 | 0.18% | 2 | |
| 2016-02-08 | 2016-02-09 | $9.87 | $9.88 | -9.18% | 2 | |
| 2016-02-04 | 2016-02-05 | $11.69 | $10.84 | 0.87% | 2 | |
| 2016-01-05 | 2016-01-06 | $14.90 | $14.60 | -0.19% | 2 | |
| 2015-11-06 | 2015-11-09 | $15.49 | $15.02 | 0.05% | 2 | |
| 2015-11-04 | 2015-11-05 | $15.44 | $15.45 | 10.96% | 2 | |
| 2015-10-21 | 2015-10-22 | $14.01 | $14.11 | -1.58% | 2 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-08-10 | 2015-08-11 | $16.08 | $15.82 | -0.76% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2015-03-31 | 2015-04-01 | $12.58 | $12.51 | -1.14% | 2 | |
| 2015-02-12 | 2015-02-13 | $13.53 | $13.58 | -4.86% | 2 | |
| 2015-01-15 | 2015-01-16 | $12.79 | $12.87 | -0.63% | 2 | |
| 2015-01-07 | 2015-01-08 | $14.06 | $14.04 | -0.36% | 2 | |
| 2015-01-05 | 2015-01-06 | $14.01 | $14.09 | -4.40% | 2 | |
| 2014-12-08 | 2014-12-09 | $14.29 | $14.46 | -4.38% | 2 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-11-07 | 2014-11-10 | $16.01 | $16.13 | -0.62% | 2 | |
| 2014-10-28 | 2014-10-29 | $16.18 | $15.87 | 9.31% | 2 | |
| 2014-10-13 | 2014-10-14 | $14.97 | $15.14 | -5.39% | 2 | |
| 2014-06-17 | 2014-09-23 | $15.44 | $16.69 | 11.10% | 69 | |
| 2014-05-08 | 2014-05-09 | $11.91 | $12.15 | -11.49% | 2 | |
| 2014-01-15 | 2014-03-28 | $10.94 | $14.16 | 28.30% | 51 | |
| 2013-12-04 | 2013-12-05 | $9.26 | $9.37 | -4.17% | 2 | |
| 2013-11-11 | 2013-11-12 | $9.65 | $9.19 | 4.69% | 2 | |
| 2013-11-07 | 2013-11-08 | $9.32 | $9.20 | -7.73% | 2 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2013-03-18 | 2013-03-19 | $2.34 | $2.34 | -0.60% | 2 |