Strategy Zoo / S0129

VolumeBreakout_V0129

ARCHIVEDhybrid

parameterchanged rel_volume threshold 1.6761 -> 2.0354

Fitness

0.4095

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0084S0084 · gen 4ARCHIVEDparameter

entry = VolumeBreakout_V0025 AND PriceMomentum_V0060

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0129  [hybrid]
if flat and ((breakout_50 == 1 and rel_volume > 2.0354) and (ret_20d > -0.0698 or sma_200_slope > 0.0)):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.5%	24.8%	2.6%	16.8%
Total Return	341.8%	94.5%	9.8%	871.3%
Sharpe	0.85	0.82	0.23	0.71
Sortino	0.67	0.50	0.13	0.48
Calmar	0.60	0.73	0.11	0.49
Volatility	25.7%	33.8%	22.0%	26.8%
Max DD	-33.9%	-33.8%	-23.7%	-34.0%
Win Rate	50.0%	66.7%	66.7%	56.3%
Avg Win	61.7%	43.8%	11.1%	53.3%
Avg Loss	-9.2%	-5.9%	-10.4%	-8.9%
Payoff	6.68	7.43	1.07	5.97
Expectancy	26.2%	27.2%	4.0%	26.1%
Profit Factor	6.68	10.00	2.14	7.68
Trades	10	3	3	16
Avg Holding Days	47.5	48.3	40.7	49.3
Turnover	2.6	2.0	1.6	2.2
Exposure	25.4%	18.8%	12.8%	20.9%

Growth of $100

VolumeBreakout_V0129 vs TSLA Buy & Hold

VolumeBreakout_V0129 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	-10.1%	-0.95	-16.2%	1
2017	18.8%	0.87	-14.8%	2
2018	-22.5%	-1.33	-33.1%	2
2019	39.5%	2.02	-8.5%	0
2020	103.7%	1.70	-33.8%	1
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	4.7%	0.12	61%
hidden test	EXTREME	48	178.7%	2.91	92%
hidden test	HIGH VOLATILITY	254	-8.2%	-0.25	24%
hidden test	LOW VOLATILITY	429	19.0%	2.10	3%
hidden test	MEDIUM VOLATILITY	248	-5.8%	-0.24	17%
hidden test	NORMAL	800	-5.4%	-0.42	3%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	12.5%	0.36	32%
train	DOWNTREND	518	-0.3%	-0.37	0%
train	EXPENSIVE	311	19.4%	0.57	50%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	42.7%	1.23	26%
train	LOW VOLATILITY	745	20.9%	1.15	31%
train	MEDIUM VOLATILITY	568	-2.5%	-0.12	17%
train	NORMAL	1,601	-2.3%	-0.15	16%
train	SIDEWAYS	592	-3.5%	-0.39	2%
train	UPTREND	902	51.2%	1.36	55%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	100.6%	2.52	49%
validation	EXTREME	144	74.4%	1.29	26%
validation	HIGH VOLATILITY	258	11.6%	0.27	14%
validation	LOW VOLATILITY	183	1.3%	0.11	8%
validation	MEDIUM VOLATILITY	315	56.7%	1.69	29%
validation	NORMAL	474	-7.4%	-0.40	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	49.6%	1.10	33%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
2024-11-11	2025-01-30	$350.00	$400.28	20.90%	54
2024-07-03	2024-08-05	$246.39	$198.88	-10.37%	23
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
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
2018-06-07	2018-07-06	$21.07	$20.59	-3.43%	21
2017-04-04	2017-07-06	$20.25	$20.59	9.35%	65
2017-01-05	2017-03-09	$15.12	$16.33	8.54%	44
2016-04-05	2016-05-05	$17.03	$14.10	-10.07%	23
2015-04-28	2015-07-28	$15.37	$17.65	9.05%	64
2014-06-18	2014-09-23	$15.14	$16.69	7.71%	68
2014-02-21	2014-03-28	$13.97	$14.16	-1.46%	26
2013-04-02	2013-10-24	$2.96	$11.54	273.71%	145
2012-03-27	2012-04-10	$2.53	$2.16	-11.54%	10