Strategy Zoo / S0142
VolumeBreakout_V0142
ARCHIVEDbreakoutstructuraladded exit filter: volume_breakout == 1
Fitness
0.5138
Generation
6
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0142 [breakout]
if flat and rel_volume > 1.5:
position = 1.0
if long and (close < sma_50 or volume_breakout == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.9% | 83.4% | 6.7% | 20.1% |
| Total Return | 83.1% | 516.7% | 27.1% | 1376.4% |
| Sharpe | 0.40 | 1.47 | 0.37 | 0.69 |
| Sortino | 0.39 | 1.49 | 0.31 | 0.65 |
| Calmar | 0.13 | 2.26 | 0.21 | 0.34 |
| Volatility | 31.0% | 49.4% | 30.4% | 35.4% |
| Max DD | -59.5% | -36.9% | -32.7% | -59.5% |
| Win Rate | 46.3% | 53.3% | 60.0% | 49.5% |
| Avg Win | 6.7% | 22.4% | 6.4% | 9.4% |
| Avg Loss | -4.4% | -6.8% | -6.3% | -4.9% |
| Payoff | 1.52 | 3.31 | 1.03 | 1.89 |
| Expectancy | 0.7% | 8.8% | 1.3% | 2.1% |
| Profit Factor | 1.31 | 3.78 | 1.54 | 1.85 |
| Trades | 134 | 30 | 25 | 190 |
| Avg Holding Days | 6.6 | 13.5 | 10.2 | 8.2 |
| Turnover | 33.7 | 20.3 | 13.5 | 25.9 |
| Exposure | 37.5% | 49.6% | 24.6% | 36.8% |
Growth of $100
VolumeBreakout_V0142 vs TSLA Buy & Hold
VolumeBreakout_V0142 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 | -23.7% | -1.49 | -29.9% | 20 |
| 2017 | -5.9% | -0.12 | -28.3% | 14 |
| 2018 | -14.8% | -0.30 | -29.5% | 20 |
| 2019 | 7.6% | 0.42 | -23.4% | 19 |
| 2020 | 437.5% | 2.62 | -36.2% | 8 |
| 2021 | 36.0% | 1.12 | -21.5% | 6 |
| 2022 | -16.3% | -0.61 | -24.1% | 16 |
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 | -2.4% | -0.13 | 10% |
| hidden test | EXPENSIVE | 83 | 76.3% | 1.50 | 73% |
| hidden test | EXTREME | 48 | 131.1% | 2.25 | 90% |
| hidden test | HIGH VOLATILITY | 254 | 7.5% | 0.17 | 48% |
| hidden test | LOW VOLATILITY | 429 | 29.3% | 2.07 | 8% |
| hidden test | MEDIUM VOLATILITY | 248 | -16.8% | -0.53 | 29% |
| hidden test | NORMAL | 800 | -2.9% | -0.12 | 16% |
| hidden test | SIDEWAYS | 293 | 4.8% | 0.20 | 18% |
| hidden test | UPTREND | 371 | 25.8% | 0.64 | 40% |
| train | DOWNTREND | 518 | -12.4% | -0.52 | 15% |
| train | EXPENSIVE | 311 | 0.9% | 0.03 | 59% |
| train | EXTREME | 100 | 348.7% | 5.04 | 88% |
| train | HIGH VOLATILITY | 699 | 30.8% | 0.76 | 31% |
| train | LOW VOLATILITY | 745 | 29.5% | 1.34 | 48% |
| train | MEDIUM VOLATILITY | 568 | -33.1% | -1.24 | 32% |
| train | NORMAL | 1,601 | -6.5% | -0.26 | 30% |
| train | SIDEWAYS | 592 | -6.0% | -0.26 | 21% |
| train | UPTREND | 902 | 38.5% | 1.01 | 61% |
| validation | DOWNTREND | 125 | 30.5% | 1.45 | 13% |
| validation | EXPENSIVE | 138 | 52.8% | 1.01 | 46% |
| validation | EXTREME | 144 | 295.5% | 3.48 | 95% |
| validation | HIGH VOLATILITY | 258 | 108.0% | 1.57 | 53% |
| validation | LOW VOLATILITY | 183 | 30.4% | 1.14 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 68.9% | 1.74 | 39% |
| validation | NORMAL | 474 | 11.2% | 0.38 | 37% |
| validation | SIDEWAYS | 206 | -23.8% | -0.82 | 32% |
| validation | UPTREND | 425 | 132.3% | 2.15 | 69% |
Trades (full period)
latest 100 of 190
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 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 | |
| 2025-04-03 | 2025-04-04 | $267.28 | $239.43 | -5.67% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2024-11-12 | 2025-01-30 | $328.49 | $400.28 | 10.94% | 53 | |
| 2024-10-25 | 2024-11-11 | $269.19 | $350.00 | 23.08% | 12 | |
| 2024-10-14 | 2024-10-15 | $219.16 | $219.57 | 0.42% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-05 | 2024-08-05 | $251.52 | $198.88 | -15.88% | 22 | |
| 2024-06-14 | 2024-07-03 | $178.01 | $246.39 | 26.48% | 13 | |
| 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 | |
| 2024-04-08 | 2024-04-09 | $172.98 | $176.88 | 4.70% | 2 | |
| 2024-01-26 | 2024-01-29 | $183.25 | $190.93 | 0.14% | 2 | |
| 2023-04-21 | 2023-04-24 | $165.08 | $162.55 | 1.08% | 2 | |
| 2023-01-30 | 2023-04-06 | $166.66 | $185.06 | 4.07% | 48 | |
| 2023-01-04 | 2023-01-05 | $113.64 | $110.34 | 4.92% | 2 | |
| 2022-12-30 | 2023-01-03 | $123.18 | $108.10 | 0.92% | 2 | |
| 2022-12-28 | 2022-12-29 | $112.71 | $121.82 | 3.11% | 2 | |
| 2022-12-23 | 2022-12-27 | $123.15 | $109.10 | -1.95% | 2 | |
| 2022-12-14 | 2022-12-15 | $156.80 | $157.67 | -2.78% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-11-09 | 2022-11-10 | $177.59 | $190.72 | -7.36% | 2 | |
| 2022-10-21 | 2022-10-24 | $214.44 | $211.25 | 3.25% | 2 | |
| 2022-10-04 | 2022-10-05 | $249.44 | $240.81 | 2.70% | 2 | |
| 2022-09-19 | 2022-09-26 | $309.07 | $276.01 | -9.42% | 6 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-05-23 | 2022-05-24 | $224.97 | $209.39 | 1.46% | 2 | |
| 2022-05-13 | 2022-05-16 | $256.53 | $241.46 | 5.51% | 2 | |
| 2022-04-29 | 2022-05-02 | $290.25 | $300.98 | -0.97% | 2 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -13.29% | 4 | |
| 2022-02-25 | 2022-02-28 | $269.96 | $290.14 | 0.94% | 2 | |
| 2022-01-28 | 2022-01-31 | $282.12 | $312.24 | 1.88% | 2 | |
| 2022-01-25 | 2022-01-26 | $306.13 | $312.47 | -1.45% | 2 | |
| 2021-11-03 | 2021-12-14 | $404.62 | $319.50 | -17.70% | 29 | |
| 2021-10-27 | 2021-11-02 | $345.95 | $390.67 | 18.44% | 5 | |
| 2021-06-25 | 2021-10-26 | $223.96 | $339.48 | 50.45% | 86 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -2.39% | 2 | |
| 2020-11-20 | 2020-12-21 | $163.20 | $216.62 | 38.92% | 21 | |
| 2020-11-18 | 2020-11-19 | $162.21 | $166.42 | 9.99% | 2 | |
| 2020-07-15 | 2020-10-29 | $103.07 | $136.94 | 33.58% | 76 | |
| 2020-04-15 | 2020-07-14 | $48.66 | $101.12 | 110.47% | 63 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-02-05 | 2020-03-10 | $48.98 | $43.02 | -31.61% | 24 | |
| 2020-01-10 | 2020-02-04 | $31.88 | $59.14 | 61.72% | 17 | |
| 2019-12-23 | 2020-01-09 | $27.95 | $32.09 | 21.10% | 12 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-10-29 | 2019-12-17 | $21.08 | $25.27 | 16.18% | 35 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-26 | 2019-10-04 | $16.17 | $15.43 | 1.70% | 7 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-09-03 | 2019-09-04 | $15.00 | $14.71 | -0.47% | 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 | |
| 2019-05-21 | 2019-05-22 | $13.67 | $12.85 | -0.34% | 2 | |
| 2019-05-03 | 2019-05-06 | $17.00 | $17.02 | 4.27% | 2 | |
| 2019-04-30 | 2019-05-01 | $15.91 | $15.60 | -1.35% | 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 | |
| 2019-03-05 | 2019-03-06 | $18.44 | $18.42 | -3.29% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2019-02-01 | 2019-02-04 | $20.81 | $20.86 | 1.49% | 2 | |
| 2019-01-24 | 2019-01-25 | $19.43 | $19.80 | 1.16% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-12-10 | 2018-12-21 | $24.34 | $21.32 | -12.07% | 10 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-10-08 | 2018-10-09 | $16.70 | $17.52 | -4.54% | 2 | |
| 2018-10-01 | 2018-10-02 | $20.71 | $20.07 | 17.13% | 2 | |
| 2018-09-19 | 2018-09-20 | $19.93 | $19.89 | 4.73% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-09 | 2018-08-20 | $23.50 | $20.56 | -17.68% | 8 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-07-03 | 2018-07-06 | $20.72 | $20.59 | -7.92% | 3 | |
| 2018-06-07 | 2018-06-13 | $21.07 | $22.99 | 7.07% | 5 | |
| 2018-05-04 | 2018-05-07 | $19.61 | $20.18 | 3.19% | 2 | |
| 2018-04-06 | 2018-04-09 | $19.95 | $19.31 | -2.30% | 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 | |
| 2018-01-05 | 2018-01-08 | $21.11 | $22.43 | 0.42% | 2 | |
| 2017-11-20 | 2017-11-21 | $20.58 | $21.19 | -2.20% | 2 | |
| 2017-11-02 | 2017-11-03 | $19.95 | $20.41 | -6.99% | 2 | |
| 2017-10-26 | 2017-10-27 | $21.74 | $21.39 | -0.10% | 2 | |
| 2017-10-04 | 2017-10-10 | $23.67 | $23.71 | -1.69% | 5 | |
| 2017-09-12 | 2017-09-26 | $24.18 | $23.02 | -5.33% | 11 |