Strategy Zoo / S0149
VolumeBreakout_V0149
ARCHIVEDbreakoutstructuralreduce exposure to 55% during EXTREME; reduce exposure to 55% during EXPENSIVE
Fitness
0.4001
Generation
7
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.0808
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0149 [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.0808):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.55
if regime.bubble == "EXPENSIVE": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.8% | 37.3% | 10.2% | 15.1% |
| Total Return | 110.6% | 158.7% | 43.0% | 691.8% |
| Sharpe | 0.52 | 1.12 | 0.51 | 0.67 |
| Sortino | 0.43 | 1.04 | 0.35 | 0.54 |
| Calmar | 0.19 | 0.93 | 0.32 | 0.30 |
| Volatility | 23.3% | 33.1% | 25.4% | 26.1% |
| Max DD | -50.5% | -40.1% | -32.1% | -50.5% |
| Win Rate | 33.3% | 66.7% | 57.1% | 45.2% |
| Avg Win | 27.9% | 35.3% | 16.3% | 32.4% |
| Avg Loss | -8.0% | -10.3% | -7.2% | -8.1% |
| Payoff | 3.49 | 3.42 | 2.28 | 3.99 |
| Expectancy | 4.0% | 20.1% | 6.3% | 10.2% |
| Profit Factor | 1.74 | 6.84 | 3.04 | 3.28 |
| Trades | 18 | 6 | 7 | 31 |
| Avg Holding Days | 38.1 | 60.5 | 33.4 | 43.2 |
| Turnover | 4.8 | 3.4 | 4.5 | 4.4 |
| Exposure | 29.2% | 34.7% | 19.0% | 27.8% |
Growth of $100
VolumeBreakout_V0149 vs TSLA Buy & Hold
VolumeBreakout_V0149 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 | -4.7% | -0.27 | -16.8% | 1 |
| 2017 | 16.4% | 1.12 | -12.8% | 3 |
| 2018 | -34.0% | -1.47 | -37.1% | 4 |
| 2019 | 39.6% | 1.29 | -14.0% | 1 |
| 2020 | 146.7% | 2.47 | -21.4% | 2 |
| 2021 | 28.9% | 0.93 | -21.5% | 2 |
| 2022 | -20.6% | -0.84 | -27.3% | 2 |
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 | 104.1% | 2.62 | 47% |
| hidden test | EXTREME | 48 | 98.6% | 2.92 | 50% |
| hidden test | HIGH VOLATILITY | 254 | 4.9% | 0.14 | 21% |
| hidden test | LOW VOLATILITY | 429 | 22.6% | 1.25 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | 4.4% | 0.17 | 19% |
| hidden test | NORMAL | 800 | -1.7% | -0.07 | 14% |
| hidden test | SIDEWAYS | 293 | -9.9% | -0.51 | 9% |
| hidden test | UPTREND | 371 | 40.2% | 1.11 | 41% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 25.8% | 1.20 | 36% |
| train | EXTREME | 100 | 228.8% | 5.63 | 55% |
| train | HIGH VOLATILITY | 699 | 20.9% | 0.75 | 24% |
| train | LOW VOLATILITY | 745 | 28.4% | 1.40 | 40% |
| train | MEDIUM VOLATILITY | 568 | -20.4% | -1.00 | 21% |
| train | NORMAL | 1,601 | -4.2% | -0.19 | 26% |
| train | SIDEWAYS | 592 | -20.2% | -1.05 | 15% |
| train | UPTREND | 902 | 41.2% | 1.34 | 55% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 29.9% | 0.95 | 41% |
| validation | EXTREME | 144 | 157.8% | 3.52 | 41% |
| validation | HIGH VOLATILITY | 258 | 52.9% | 1.39 | 23% |
| validation | LOW VOLATILITY | 183 | 19.5% | 1.00 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 34.6% | 0.99 | 38% |
| validation | NORMAL | 474 | 2.7% | 0.09 | 31% |
| validation | SIDEWAYS | 206 | -27.4% | -1.45 | 13% |
| validation | UPTREND | 425 | 73.9% | 1.79 | 54% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 5.21% | 46 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -1.17% | 19 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 33.59% | 64 | |
| 2024-06-27 | 2024-08-05 | $197.42 | $198.88 | 5.54% | 27 | |
| 2023-06-02 | 2023-08-08 | $213.97 | $249.70 | 20.93% | 46 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-03-29 | 2022-04-27 | $366.52 | $293.84 | -19.89% | 21 | |
| 2021-08-03 | 2021-12-14 | $236.58 | $319.50 | 35.91% | 94 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 19.21% | 64 | |
| 2020-06-02 | 2020-10-29 | $58.77 | $136.94 | 62.26% | 106 | |
| 2019-10-14 | 2020-03-10 | $17.13 | $43.02 | 103.45% | 102 | |
| 2019-07-25 | 2019-08-13 | $15.25 | $15.67 | -13.73% | 14 | |
| 2018-10-30 | 2018-12-21 | $21.99 | $21.32 | -6.00% | 37 | |
| 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 | |
| 2018-01-18 | 2018-02-09 | $22.97 | $20.69 | -9.38% | 17 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -4.92% | 8 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 6.01% | 65 | |
| 2016-12-21 | 2017-03-09 | $13.85 | $16.33 | 19.95% | 53 | |
| 2016-03-22 | 2016-05-05 | $15.62 | $14.10 | -6.80% | 32 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2014-06-18 | 2014-09-23 | $15.14 | $16.69 | 7.71% | 68 | |
| 2014-01-22 | 2014-03-28 | $11.90 | $14.16 | 9.81% | 47 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 108.90% | 145 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -5.18% | 21 | |
| 2012-11-20 | 2013-01-14 | $2.20 | $2.22 | -0.23% | 37 | |
| 2012-07-17 | 2012-07-24 | $2.22 | $1.99 | -14.92% | 6 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -5.40% | 35 |