Strategy Zoo / S0151
VolumeBreakout_V0151
ARCHIVEDhybridstructuralremoved entry condition: (breakout_50 == 1 and rel_volume > 1.6761); added entry filter: close < sma_50
Fitness
0.3122
Generation
7
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
entry = VolumeBreakout_V0025 AND PriceMomentum_V0080
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0151 [hybrid]
if flat and ((ret_20d > 0.05 or (breakout_20 == 1 and sma_50 > sma_200)) and close < sma_50):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.3% | 53.2% | 2.5% | 7.8% |
| Total Return | -23.3% | 259.3% | 9.4% | 201.5% |
| Sharpe | -0.27 | 1.36 | 0.23 | 0.48 |
| Sortino | -0.08 | 0.94 | 0.11 | 0.23 |
| Calmar | -0.10 | 1.58 | 0.07 | 0.21 |
| Volatility | 10.2% | 36.1% | 16.1% | 19.7% |
| Max DD | -33.7% | -33.7% | -36.7% | -36.7% |
| Win Rate | 42.4% | 58.3% | 44.4% | 45.8% |
| Avg Win | 1.0% | 37.8% | 5.2% | 10.3% |
| Avg Loss | -2.1% | -1.8% | -3.0% | -2.4% |
| Payoff | 0.49 | 10.00 | 1.74 | 4.31 |
| Expectancy | -0.8% | 21.3% | 0.6% | 3.4% |
| Profit Factor | 0.36 | 10.00 | 1.39 | 3.65 |
| Trades | 33 | 12 | 27 | 72 |
| Avg Holding Days | 4.3 | 13.7 | 4.4 | 5.9 |
| Turnover | 8.3 | 8.0 | 14.6 | 9.8 |
| Exposure | 5.5% | 20.1% | 10.0% | 9.6% |
Growth of $100
VolumeBreakout_V0151 vs TSLA Buy & Hold
VolumeBreakout_V0151 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 | -6.1% | -1.27 | -6.1% | 3 |
| 2017 | -3.4% | -0.28 | -10.5% | 2 |
| 2018 | -1.7% | -0.26 | -6.2% | 5 |
| 2019 | -14.3% | -0.56 | -18.7% | 8 |
| 2020 | 251.9% | 2.37 | -33.7% | 1 |
| 2021 | 3.2% | 0.59 | -3.3% | 5 |
| 2022 | -1.5% | -0.12 | -9.4% | 6 |
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 | -5.9% | -0.31 | 9% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -9.4% | -1.02 | 2% |
| hidden test | LOW VOLATILITY | 429 | 24.9% | 1.38 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.5% | -1.10 | 7% |
| hidden test | NORMAL | 800 | 4.3% | 0.25 | 12% |
| hidden test | SIDEWAYS | 293 | -8.1% | -0.84 | 7% |
| hidden test | UPTREND | 371 | 20.0% | 1.12 | 13% |
| train | DOWNTREND | 518 | -2.7% | -0.23 | 7% |
| train | EXPENSIVE | 311 | 6.1% | 0.52 | 10% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -6.3% | -0.52 | 5% |
| train | LOW VOLATILITY | 745 | 1.8% | 0.28 | 5% |
| train | MEDIUM VOLATILITY | 568 | -4.6% | -0.40 | 7% |
| train | NORMAL | 1,601 | -4.7% | -0.46 | 5% |
| train | SIDEWAYS | 592 | -1.9% | -0.13 | 11% |
| train | UPTREND | 902 | -3.4% | -1.00 | 1% |
| validation | DOWNTREND | 125 | 8.2% | 1.29 | 2% |
| validation | EXPENSIVE | 138 | -49.5% | -1.22 | 25% |
| validation | EXTREME | 144 | 301.5% | 4.37 | 73% |
| validation | HIGH VOLATILITY | 258 | 126.6% | 2.21 | 40% |
| validation | LOW VOLATILITY | 183 | 3.4% | 0.30 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 12.3% | 0.67 | 12% |
| validation | NORMAL | 474 | 1.1% | 0.15 | 3% |
| validation | SIDEWAYS | 206 | 8.6% | 0.47 | 8% |
| validation | UPTREND | 425 | 80.8% | 1.75 | 31% |
Trades (full period)
72 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.91% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-09-09 | 2024-09-10 | $216.27 | $226.17 | 2.43% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-21 | 2023-11-24 | $241.20 | $235.45 | -0.79% | 3 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-05-19 | 2023-08-08 | $180.14 | $249.70 | 41.87% | 55 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-01-20 | 2022-01-21 | $332.09 | $314.63 | -0.14% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2021-06-22 | 2021-06-23 | $207.90 | $218.86 | 0.26% | 2 | |
| 2021-06-18 | 2021-06-21 | $207.77 | $206.94 | 0.89% | 2 | |
| 2021-06-14 | 2021-06-15 | $205.90 | $199.79 | 1.08% | 2 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2021-04-05 | 2021-04-06 | $230.35 | $230.54 | 4.22% | 2 | |
| 2020-04-13 | 2020-10-29 | $43.40 | $136.94 | 253.63% | 141 | |
| 2019-09-26 | 2019-10-07 | $16.17 | $15.85 | 1.00% | 8 | |
| 2019-06-28 | 2019-08-13 | $14.90 | $15.67 | 2.56% | 32 | |
| 2019-06-26 | 2019-06-27 | $14.62 | $14.86 | -0.42% | 2 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2017-08-29 | 2017-09-26 | $23.16 | $23.02 | -0.39% | 20 | |
| 2017-08-21 | 2017-08-22 | $22.52 | $22.76 | -2.96% | 2 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-06-16 | 2016-06-17 | $14.53 | $14.36 | -0.09% | 2 | |
| 2016-06-10 | 2016-06-13 | $14.59 | $14.52 | -4.80% | 2 | |
| 2015-12-15 | 2015-12-16 | $14.74 | $15.63 | 0.95% | 2 | |
| 2015-11-23 | 2015-11-24 | $14.52 | $14.55 | -1.23% | 2 | |
| 2015-11-19 | 2015-11-20 | $14.79 | $14.67 | 0.13% | 2 | |
| 2015-11-06 | 2015-11-09 | $15.49 | $15.02 | 0.05% | 2 | |
| 2015-02-18 | 2015-02-19 | $13.63 | $14.11 | -0.15% | 2 | |
| 2015-02-13 | 2015-02-17 | $13.58 | $13.62 | 0.24% | 2 | |
| 2014-11-11 | 2014-11-24 | $16.74 | $16.45 | 0.15% | 10 | |
| 2014-06-11 | 2014-06-13 | $13.63 | $13.76 | 0.40% | 3 | |
| 2013-12-24 | 2014-01-14 | $10.09 | $10.75 | -3.12% | 14 | |
| 2013-12-20 | 2013-12-23 | $9.55 | $9.57 | 1.59% | 2 | |
| 2013-12-17 | 2013-12-19 | $10.16 | $9.38 | -0.17% | 3 | |
| 2013-12-13 | 2013-12-16 | $9.84 | $9.86 | -0.08% | 2 | |
| 2012-08-30 | 2012-08-31 | $1.89 | $1.90 | -0.20% | 2 | |
| 2012-07-03 | 2012-07-05 | $2.04 | $2.08 | 0.65% | 2 | |
| 2012-01-27 | 2012-01-30 | $1.96 | $1.97 | 1.15% | 2 |