Strategy Zoo / S0146

VolumeBreakout_V0146

ARCHIVEDbreakout

structuralrestricted to trend regimes ['UPTREND', 'SIDEWAYS']

Fitness

0.5816

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0138S0138 · gen 6ARCHIVEDstructural

changed rel_volume threshold 1.6761 -> 1.5045

Children (4)

VolumeBreakout_V0163S0163 · gen 8ARCHIVEDcrossover

VolumeBreakout_V0185S0185 · gen 9ARCHIVEDcrossover

VolumeBreakout_V0199S0199 · gen 9ARCHIVEDstructural

VolumeBreakout_V0213S0213 · gen 10ARCHIVEDstructural

Strategy Logic (pseudocode)

# VolumeBreakout_V0146  [breakout]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (breakout_50 == 1 and rel_volume > 1.5045):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.5%	77.1%	10.4%	26.0%
Total Return	262.2%	455.1%	44.4%	2888.6%
Sharpe	0.74	1.46	0.53	0.89
Sortino	0.62	1.27	0.34	0.69
Calmar	0.42	1.94	0.36	0.62
Volatility	26.6%	46.7%	24.5%	31.4%
Max DD	-42.0%	-39.7%	-29.0%	-42.0%
Win Rate	38.5%	100.0%	66.7%	55.0%
Avg Win	61.7%	55.3%	22.8%	57.9%
Avg Loss	-8.2%	0.0%	-1.2%	-7.4%
Payoff	7.53	5.00	10.00	7.80
Expectancy	18.7%	55.3%	14.8%	28.5%
Profit Factor	4.71	5.00	10.00	9.54
Trades	13	4	3	20
Avg Holding Days	41.4	75.8	44.3	51.0
Turnover	3.4	2.7	1.6	2.7
Exposure	28.4%	39.6%	14.0%	27.1%

Growth of $100

VolumeBreakout_V0146 vs TSLA Buy & Hold

VolumeBreakout_V0146 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	8.2%	0.46	-22.3%	3
2018	-25.5%	-1.62	-33.1%	2
2019	39.5%	2.02	-8.5%	0
2020	301.6%	2.31	-39.7%	2
2021	32.8%	0.95	-24.3%	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	59.4%	1.17	71%
hidden test	EXTREME	48	179.2%	2.92	92%
hidden test	HIGH VOLATILITY	254	10.8%	0.29	28%
hidden test	LOW VOLATILITY	429	19.0%	2.10	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	32.4%	0.83	35%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	19.6%	0.56	56%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	41.2%	1.19	26%
train	LOW VOLATILITY	745	21.5%	1.04	38%
train	MEDIUM VOLATILITY	568	-9.6%	-0.45	18%
train	NORMAL	1,601	-5.2%	-0.31	18%
train	SIDEWAYS	592	-7.2%	-0.80	3%
train	UPTREND	902	48.4%	1.24	62%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	54.3%	0.95	74%
validation	EXTREME	144	262.6%	3.27	70%
validation	HIGH VOLATILITY	258	97.1%	1.47	39%
validation	LOW VOLATILITY	183	30.1%	1.48	42%
validation	MEDIUM VOLATILITY	315	66.4%	1.74	39%
validation	NORMAL	474	13.0%	0.57	20%
validation	SIDEWAYS	206	1.1%	1.00	1%
validation	UPTREND	425	120.6%	1.94	70%

Trades (full period)

20 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
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
2021-08-03	2021-12-14	$236.58	$319.50	35.91%	94
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-06-11	2020-10-29	$64.86	$136.94	97.64%	99
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
2018-06-12	2018-07-06	$22.85	$20.59	-7.09%	18
2017-09-15	2017-09-26	$25.32	$23.02	-8.83%	8
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
2013-01-25	2013-02-22	$2.47	$2.41	-5.14%	20
2012-12-04	2013-01-14	$2.26	$2.22	-5.13%	28
2012-03-13	2012-04-10	$2.41	$2.16	-8.13%	20