Strategy Zoo / S0117
VolumeBreakout_V0117
ARCHIVEDbreakoutparameterchanged rel_volume threshold 1.5 -> 0.8847; changed rel_volume threshold 0.8847 -> 0.67
Fitness
0.4327
Generation
5
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0117 [breakout]
if flat and rel_volume > 0.67:
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.4% | 84.2% | 13.2% | 23.0% |
| Total Return | 104.8% | 525.1% | 58.1% | 1981.7% |
| Sharpe | 0.42 | 1.30 | 0.49 | 0.66 |
| Sortino | 0.59 | 1.86 | 0.75 | 0.95 |
| Calmar | 0.12 | 1.65 | 0.27 | 0.28 |
| Volatility | 42.4% | 61.8% | 50.3% | 48.9% |
| Max DD | -81.0% | -51.2% | -49.1% | -81.0% |
| Win Rate | 42.4% | 44.4% | 47.0% | 44.1% |
| Avg Win | 5.0% | 9.8% | 4.1% | 5.9% |
| Avg Loss | -2.6% | -3.4% | -2.8% | -2.8% |
| Payoff | 1.91 | 2.93 | 1.46 | 2.12 |
| Expectancy | 0.6% | 2.5% | 0.4% | 1.1% |
| Profit Factor | 1.40 | 2.34 | 1.29 | 1.68 |
| Trades | 406 | 142 | 215 | 764 |
| Avg Holding Days | 4.4 | 5.2 | 4.2 | 4.6 |
| Turnover | 101.8 | 95.0 | 116.7 | 104.2 |
| Exposure | 72.0% | 79.8% | 74.8% | 74.3% |
Growth of $100
VolumeBreakout_V0117 vs TSLA Buy & Hold
VolumeBreakout_V0117 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 | -16.1% | -0.42 | -38.6% | 71 |
| 2017 | 12.0% | 0.51 | -34.8% | 39 |
| 2018 | -29.5% | -0.53 | -33.2% | 55 |
| 2019 | -11.2% | -0.07 | -51.8% | 62 |
| 2020 | 811.0% | 3.13 | -39.0% | 17 |
| 2021 | 5.3% | 0.34 | -51.2% | 39 |
| 2022 | -37.7% | -0.69 | -50.0% | 85 |
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 | 52.2% | 1.03 | 60% |
| hidden test | EXPENSIVE | 83 | 145.2% | 2.11 | 93% |
| hidden test | EXTREME | 48 | 156.7% | 2.49 | 96% |
| hidden test | HIGH VOLATILITY | 254 | 99.1% | 1.42 | 77% |
| hidden test | LOW VOLATILITY | 429 | 31.2% | 0.90 | 73% |
| hidden test | MEDIUM VOLATILITY | 248 | -62.1% | -1.26 | 76% |
| hidden test | NORMAL | 800 | 4.5% | 0.09 | 72% |
| hidden test | SIDEWAYS | 293 | -58.8% | -1.40 | 77% |
| hidden test | UPTREND | 371 | 71.3% | 1.29 | 84% |
| train | DOWNTREND | 518 | -40.8% | -1.19 | 53% |
| train | EXPENSIVE | 311 | 56.2% | 1.25 | 87% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 21.9% | 0.40 | 67% |
| train | LOW VOLATILITY | 745 | 32.7% | 1.09 | 79% |
| train | MEDIUM VOLATILITY | 568 | -6.6% | -0.17 | 69% |
| train | NORMAL | 1,601 | -14.5% | -0.38 | 67% |
| train | SIDEWAYS | 592 | -8.0% | -0.20 | 65% |
| train | UPTREND | 902 | 68.4% | 1.43 | 88% |
| validation | DOWNTREND | 125 | 21.4% | 0.46 | 54% |
| validation | EXPENSIVE | 138 | 58.2% | 0.92 | 86% |
| validation | EXTREME | 144 | 372.7% | 4.19 | 99% |
| validation | HIGH VOLATILITY | 258 | 111.0% | 1.36 | 75% |
| validation | LOW VOLATILITY | 183 | 43.2% | 1.30 | 86% |
| validation | MEDIUM VOLATILITY | 315 | 76.4% | 1.37 | 80% |
| validation | NORMAL | 474 | -2.3% | -0.05 | 72% |
| validation | SIDEWAYS | 206 | -65.5% | -1.33 | 69% |
| validation | UPTREND | 425 | 168.1% | 2.40 | 93% |
Trades (full period)
latest 100 of 765
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | -1.39% | 8 | OPEN |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.91% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-08-19 | 2026-08-20 | $351.12 | $345.13 | 4.03% | 2 | |
| 2026-08-17 | 2026-08-18 | $339.30 | $336.87 | -1.07% | 2 | |
| 2026-08-13 | 2026-08-14 | $339.96 | $342.27 | 3.60% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-05 | 2026-08-06 | $321.55 | $319.53 | -1.97% | 2 | |
| 2026-08-03 | 2026-08-04 | $322.08 | $327.35 | 3.29% | 2 | |
| 2026-07-30 | 2026-07-31 | $308.85 | $311.21 | 3.33% | 2 | |
| 2026-07-28 | 2026-07-29 | $307.44 | $298.32 | -0.78% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-22 | 2026-07-23 | $374.01 | $319.69 | -1.50% | 2 | |
| 2026-07-20 | 2026-07-21 | $369.57 | $378.93 | -3.16% | 2 | |
| 2026-07-16 | 2026-07-17 | $391.06 | $380.84 | -1.06% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-09 | 2026-07-10 | $406.55 | $407.76 | 2.97% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-06-29 | 2026-07-06 | $411.84 | $419.77 | 3.42% | 5 | |
| 2026-06-25 | 2026-06-26 | $375.12 | $379.71 | -0.31% | 2 | |
| 2026-06-22 | 2026-06-24 | $405.05 | $375.53 | -4.90% | 3 | |
| 2026-06-11 | 2026-06-18 | $399.15 | $400.49 | 3.67% | 6 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-05-01 | 2026-06-08 | $390.82 | $408.95 | 2.25% | 26 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-27 | 2026-04-28 | $378.67 | $376.02 | 0.43% | 2 | |
| 2026-04-23 | 2026-04-24 | $373.72 | $376.30 | -3.75% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-04-15 | 2026-04-17 | $391.95 | $400.62 | 6.58% | 3 | |
| 2026-04-13 | 2026-04-14 | $352.42 | $364.20 | 0.79% | 2 | |
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-31 | 2026-04-01 | $371.75 | $381.26 | 4.43% | 2 | |
| 2026-03-27 | 2026-03-30 | $361.83 | $355.28 | -2.96% | 2 | |
| 2026-03-25 | 2026-03-26 | $385.95 | $372.11 | 0.56% | 2 | |
| 2026-03-23 | 2026-03-24 | $380.85 | $383.03 | 3.30% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -3.37% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.29% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-23 | 2026-01-27 | $449.06 | $430.90 | -3.34% | 3 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-12 | 2026-01-15 | $448.96 | $438.57 | -1.50% | 4 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-04 | 2026-01-05 | $454.53 | $451.67 | -2.14% | 21 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.41% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.64% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-08-25 | 2025-11-14 | $346.60 | $404.35 | 17.99% | 59 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-28 | 2025-07-30 | $325.59 | $319.04 | 1.43% | 3 | |
| 2025-07-18 | 2025-07-25 | $329.65 | $316.06 | -4.61% | 6 | |
| 2025-07-16 | 2025-07-17 | $321.67 | $319.41 | 3.30% | 2 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 4.52% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-06-09 | 2025-07-02 | $308.58 | $315.65 | 1.69% | 17 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -0.29% | 29 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-17 | 2025-04-21 | $241.37 | $227.50 | -0.27% | 2 | |
| 2025-04-11 | 2025-04-14 | $252.31 | $252.35 | -0.24% | 2 | |
| 2025-04-09 | 2025-04-10 | $272.20 | $252.40 | 22.47% | 2 | |
| 2025-04-07 | 2025-04-08 | $233.29 | $221.86 | -2.76% | 2 | |
| 2025-04-03 | 2025-04-04 | $267.28 | $239.43 | -5.67% | 2 | |
| 2025-04-01 | 2025-04-02 | $268.46 | $282.76 | 3.38% | 2 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-03-24 | 2025-03-25 | $278.39 | $288.14 | 11.72% | 2 | |
| 2025-03-20 | 2025-03-21 | $236.26 | $248.71 | -0.03% | 2 | |
| 2025-03-18 | 2025-03-19 | $225.31 | $235.86 | -5.53% | 2 | |
| 2025-03-14 | 2025-03-17 | $249.98 | $238.01 | 3.66% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-10 | 2025-03-11 | $222.15 | $230.58 | -15.61% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -5.80% | 2 |