Strategy Zoo / S0133

VolumeBreakout_V0133

ARCHIVEDbreakout

structuralrestricted to bubble regimes ['EXPENSIVE']

Fitness

0.3976

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0074S0074 · gen 3ARCHIVEDstructural

removed entry condition: rel_volume > 1.0808

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0133  [breakout]
require regime.bubble in ['EXPENSIVE']
if flat and breakout_50 == 1:
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.9%	25.9%	2.2%	7.8%
Total Return	35.2%	99.6%	8.3%	200.8%
Sharpe	0.36	1.48	0.23	0.62
Sortino	0.17	0.87	0.12	0.32
Calmar	0.13	2.37	0.22	0.27
Volatility	12.6%	16.5%	13.1%	13.6%
Max DD	-29.1%	-10.9%	-10.0%	-29.1%
Win Rate	44.4%	75.0%	40.0%	50.0%
Avg Win	11.6%	30.8%	14.8%	20.5%
Avg Loss	-4.3%	-10.8%	-6.2%	-5.7%
Payoff	2.70	2.86	2.38	3.63
Expectancy	2.8%	20.4%	2.2%	7.4%
Profit Factor	2.16	8.57	1.59	3.63
Trades	9	4	5	18
Avg Holding Days	18.4	14.8	13.0	16.7
Turnover	2.4	2.7	2.7	2.5
Exposure	8.3%	7.3%	6.4%	7.7%

Growth of $100

VolumeBreakout_V0133 vs TSLA Buy & Hold

VolumeBreakout_V0133 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	0.0%	0.00	0.0%	0
2017	4.3%	0.31	-18.4%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	79.1%	2.66	-7.9%	2
2021	7.4%	0.51	-10.9%	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	39.9%	1.00	66%
hidden test	EXTREME	48	46.5%	2.27	2%
hidden test	HIGH VOLATILITY	254	7.9%	0.59	4%
hidden test	LOW VOLATILITY	429	11.0%	1.69	3%
hidden test	MEDIUM VOLATILITY	248	-15.8%	-0.80	15%
hidden test	NORMAL	800	-3.4%	-1.15	1%
hidden test	SIDEWAYS	293	-1.0%	-0.31	1%
hidden test	UPTREND	371	8.3%	0.40	15%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	33.1%	1.06	51%
train	EXTREME	100	19.8%	2.17	2%
train	HIGH VOLATILITY	699	11.3%	0.81	8%
train	LOW VOLATILITY	745	5.8%	0.63	8%
train	MEDIUM VOLATILITY	568	-5.3%	-0.36	10%
train	NORMAL	1,601	-1.9%	-0.83	0%
train	SIDEWAYS	592	1.7%	0.82	0%
train	UPTREND	902	9.1%	0.48	18%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	96.0%	2.82	37%
validation	EXTREME	144	38.4%	2.28	2%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	2.2%	0.19	7%
validation	MEDIUM VOLATILITY	315	57.2%	2.40	13%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	43.3%	1.98	13%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-05-15	2025-05-22	$342.82	$341.04	-3.95%	6
2024-11-07	2024-11-12	$296.91	$328.49	21.07%	4
2024-10-28	2024-11-05	$262.51	$251.44	-9.97%	7
2021-01-26	2021-02-19	$294.36	$260.43	-10.78%	18
2020-12-18	2021-01-11	$231.67	$270.40	33.91%	15
2020-11-19	2020-12-08	$166.42	$216.63	31.62%	13
2019-12-17	2020-01-22	$25.27	$37.97	43.15%	24
2017-09-14	2017-09-26	$25.18	$23.02	-5.99%	9
2017-04-11	2017-06-14	$20.58	$25.38	20.10%	45
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2017-02-07	2017-02-28	$17.17	$16.67	-4.67%	15
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-22	2014-03-28	$11.90	$14.16	17.11%	47
2013-09-20	2013-10-24	$12.23	$11.54	-7.72%	25
2013-04-17	2013-04-19	$3.03	$3.19	2.82%	3
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14