Strategy Zoo / S0119

VolumeBreakout_V0119

ARCHIVEDbreakout

structuraladded entry filter: ret_5d > 0.1323

Fitness

0.3831

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0025S0025 · gen 1ARCHIVEDstructural

changed rel_volume threshold 1.5 -> 1.6761

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0119  [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.6761 and ret_5d > 0.1323):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.9%	36.6%	9.4%	17.3%
Total Return	183.4%	155.1%	39.4%	937.4%
Sharpe	0.68	0.94	0.49	0.70
Sortino	0.45	0.70	0.32	0.45
Calmar	0.26	0.89	0.32	0.32
Volatility	22.9%	43.5%	24.5%	28.7%
Max DD	-53.8%	-41.2%	-29.0%	-53.8%
Win Rate	33.3%	75.0%	33.3%	46.2%
Avg Win	140.7%	39.6%	44.3%	84.3%
Avg Loss	-15.6%	-5.9%	-1.7%	-10.3%
Payoff	9.00	6.72	10.00	8.22
Expectancy	36.5%	28.2%	13.6%	33.4%
Profit Factor	4.50	10.00	10.00	7.04
Trades	6	4	3	13
Avg Holding Days	47.2	55.8	44.0	52.7
Turnover	1.6	2.7	1.6	1.8
Exposure	16.1%	29.0%	13.9%	18.2%

Growth of $100

VolumeBreakout_V0119 vs TSLA Buy & Hold

VolumeBreakout_V0119 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	-16.3%	-1.88	-16.3%	1
2017	0.0%	0.00	0.0%	0
2018	-27.8%	-1.84	-33.1%	2
2019	39.5%	2.02	-8.5%	0
2020	166.9%	1.79	-41.2%	2
2021	-8.0%	-0.10	-23.9%	2
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	48.6%	0.97	70%
hidden test	EXTREME	48	179.2%	2.92	92%
hidden test	HIGH VOLATILITY	254	10.8%	0.29	28%
hidden test	LOW VOLATILITY	429	16.9%	1.96	3%
hidden test	MEDIUM VOLATILITY	248	4.5%	0.17	18%
hidden test	NORMAL	800	-1.9%	-0.13	3%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	30.0%	0.77	35%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-7.1%	-0.28	27%
train	EXTREME	100	406.9%	5.57	88%
train	HIGH VOLATILITY	699	33.2%	1.02	21%
train	LOW VOLATILITY	745	9.1%	0.59	16%
train	MEDIUM VOLATILITY	568	2.5%	0.16	10%
train	NORMAL	1,601	-4.4%	-0.35	9%
train	SIDEWAYS	592	-7.7%	-1.01	1%
train	UPTREND	902	39.8%	1.19	35%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	61.9%	1.09	72%
validation	EXTREME	144	178.9%	2.38	58%
validation	HIGH VOLATILITY	258	63.9%	1.01	37%
validation	LOW VOLATILITY	183	-5.2%	-0.41	10%
validation	MEDIUM VOLATILITY	315	48.4%	1.41	34%
validation	NORMAL	474	-7.4%	-0.40	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	72.4%	1.25	52%

Trades (full period)

13 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-16	2025-11-14	$421.62	$404.35	-2.16%	44
2024-10-28	2025-01-30	$262.51	$400.28	44.25%	64
2024-07-02	2024-08-05	$231.26	$198.88	-1.23%	24
2021-10-26	2021-12-14	$339.48	$319.50	-5.89%	35
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-07-13	2020-10-29	$99.80	$136.94	31.16%	78
2019-10-25	2020-03-10	$21.88	$43.02	102.50%	93
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-13	2018-07-06	$22.99	$20.59	-9.99%	17
2016-04-07	2016-05-05	$17.15	$14.10	-16.32%	21
2014-06-18	2014-09-23	$15.14	$16.69	7.71%	68
2014-02-26	2014-03-28	$16.87	$14.16	-16.57%	23
2013-04-02	2013-10-24	$2.96	$11.54	273.71%	145