Strategy Zoo / S0156

VolumeBreakout_V0156

ARCHIVEDbreakout

parameterchanged rel_volume threshold 1.5 -> 1.636

Fitness

0.5340

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0013S0013 · gen 0ARCHIVEDparameter

seed strategy

Children (1)

VolumeBreakout_V0181S0181 · gen 9ARCHIVEDcrossover

Strategy Logic (pseudocode)

# VolumeBreakout_V0156  [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.636):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.4%	56.4%	10.4%	24.0%
Total Return	313.0%	282.5%	44.4%	2248.0%
Sharpe	0.80	1.22	0.53	0.85
Sortino	0.67	0.97	0.34	0.64
Calmar	0.57	1.61	0.36	0.69
Volatility	26.5%	44.8%	24.5%	30.8%
Max DD	-33.9%	-35.0%	-29.0%	-35.0%
Win Rate	41.7%	100.0%	66.7%	57.9%
Avg Win	61.7%	40.1%	22.8%	52.3%
Avg Loss	-7.6%	0.0%	-1.2%	-6.8%
Payoff	8.14	5.00	10.00	7.72
Expectancy	21.3%	40.1%	14.8%	27.4%
Profit Factor	5.81	5.00	10.00	10.00
Trades	12	4	3	19
Avg Holding Days	44.4	63.0	44.3	50.8
Turnover	3.1	2.7	1.6	2.6
Exposure	28.2%	32.8%	14.0%	25.6%

Growth of $100

VolumeBreakout_V0156 vs TSLA Buy & Hold

VolumeBreakout_V0156 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	18.8%	0.87	-14.8%	2
2018	-22.5%	-1.33	-33.1%	2
2019	39.5%	2.02	-8.5%	0
2020	196.5%	1.93	-35.0%	2
2021	24.1%	0.78	-22.4%	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	-0.3%	-0.37	0%
train	EXPENSIVE	311	25.4%	0.74	54%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	42.7%	1.23	26%
train	LOW VOLATILITY	745	22.2%	1.08	38%
train	MEDIUM VOLATILITY	568	-6.5%	-0.31	17%
train	NORMAL	1,601	-4.3%	-0.26	19%
train	SIDEWAYS	592	-5.3%	-0.55	3%
train	UPTREND	902	50.9%	1.31	61%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	61.9%	1.09	72%
validation	EXTREME	144	198.3%	2.60	60%
validation	HIGH VOLATILITY	258	74.8%	1.17	38%
validation	LOW VOLATILITY	183	20.0%	1.22	23%
validation	MEDIUM VOLATILITY	315	58.6%	1.63	34%
validation	NORMAL	474	9.1%	0.42	13%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	97.5%	1.63	58%

Trades (full period)

19 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
2021-09-20	2021-12-14	$243.39	$319.50	26.99%	61
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-07-08	2020-10-29	$91.06	$136.94	45.77%	81
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
2018-06-07	2018-07-06	$21.07	$20.59	-3.43%	21
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