Strategy Zoo / S0158
VolumeBreakout_V0158
REJECTEDbreakoutstructuralrestricted to volatility regimes ['HIGH_VOLATILITY']; restricted to trend regimes ['SIDEWAYS'] | rejected: stage2: fewer than 3 trades in train
Fitness
—
Generation
7
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.6761
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0158 [breakout]
require regime.trend in ['SIDEWAYS']
require regime.volatility in ['HIGH_VOLATILITY']
if flat and (breakout_50 == 1 and rel_volume > 1.6761):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.9% | — | — | — |
| Total Return | 7.5% | — | — | — |
| Sharpe | 0.53 | — | — | — |
| Sortino | 0.00 | — | — | — |
| Calmar | 9.10 | — | — | — |
| Volatility | 1.7% | — | — | — |
| Max DD | -0.1% | — | — | — |
| Win Rate | 100.0% | — | — | — |
| Avg Win | 7.5% | — | — | — |
| Avg Loss | 0.0% | — | — | — |
| Payoff | 5.00 | — | — | — |
| Expectancy | 7.5% | — | — | — |
| Profit Factor | 5.00 | — | — | — |
| Trades | 1 | — | — | — |
| Avg Holding Days | 4.0 | — | — | — |
| Turnover | 0.3 | — | — | — |
| Exposure | 0.1% | — | — | — |
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| No walk-forward results | ||||
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 |
|---|---|---|---|---|---|
| No regime results | |||||
Trades (full period)
0 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||