Strategy Zoo / S0163
VolumeBreakout_V0163
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0146 OR MACDMomentum_V0005
Fitness
0.5378
Generation
8
Complexity
9
Created
2026-09-18
Lineage
Parents (2)
seed strategy
restricted to trend regimes ['UPTREND', 'SIDEWAYS']
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0163 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and ((breakout_50 == 1 and rel_volume > 1.5045) or (macd_hist > 0.0 and close > sma_50)):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.8% | 72.7% | 17.2% | 24.5% |
| Total Return | 161.0% | 414.7% | 79.9% | 2387.9% |
| Sharpe | 0.55 | 1.50 | 0.69 | 0.83 |
| Sortino | 0.50 | 1.53 | 0.64 | 0.79 |
| Calmar | 0.24 | 3.14 | 0.73 | 0.46 |
| Volatility | 29.3% | 42.2% | 29.3% | 32.4% |
| Max DD | -53.4% | -23.1% | -23.7% | -53.4% |
| Win Rate | 40.7% | 37.5% | 34.6% | 38.5% |
| Avg Win | 14.1% | 28.6% | 15.2% | 18.3% |
| Avg Loss | -5.2% | -3.3% | -3.7% | -4.4% |
| Payoff | 2.70 | 8.65 | 4.10 | 4.15 |
| Expectancy | 2.6% | 8.7% | 2.8% | 4.4% |
| Profit Factor | 1.85 | 5.19 | 2.17 | 2.60 |
| Trades | 59 | 24 | 26 | 109 |
| Avg Holding Days | 11.8 | 12.3 | 11.6 | 12.0 |
| Turnover | 14.9 | 16.0 | 14.1 | 14.9 |
| Exposure | 32.3% | 35.7% | 29.5% | 32.3% |
Growth of $100
VolumeBreakout_V0163 vs TSLA Buy & Hold
VolumeBreakout_V0163 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 | -6.4% | -0.40 | -12.5% | 6 |
| 2017 | 19.1% | 0.91 | -17.9% | 11 |
| 2018 | -14.5% | -0.54 | -22.5% | 7 |
| 2019 | 7.3% | 0.38 | -34.1% | 5 |
| 2020 | 339.6% | 2.74 | -23.1% | 9 |
| 2021 | 23.6% | 0.84 | -19.6% | 9 |
| 2022 | -17.2% | -0.75 | -20.4% | 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 | -3.7% | -1.40 | 1% |
| hidden test | EXPENSIVE | 83 | 97.9% | 2.17 | 49% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 20.7% | 0.57 | 26% |
| hidden test | LOW VOLATILITY | 429 | 40.5% | 1.70 | 32% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.5% | -0.52 | 29% |
| hidden test | NORMAL | 800 | 5.7% | 0.22 | 27% |
| hidden test | SIDEWAYS | 293 | -15.9% | -0.52 | 43% |
| hidden test | UPTREND | 371 | 65.8% | 1.77 | 39% |
| train | DOWNTREND | 518 | -8.6% | -1.25 | 1% |
| train | EXPENSIVE | 311 | 39.8% | 1.19 | 51% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 36.6% | 0.91 | 32% |
| train | LOW VOLATILITY | 745 | 23.1% | 1.21 | 38% |
| train | MEDIUM VOLATILITY | 568 | -17.8% | -0.73 | 25% |
| train | NORMAL | 1,601 | -5.3% | -0.23 | 26% |
| train | SIDEWAYS | 592 | -7.8% | -0.31 | 36% |
| train | UPTREND | 902 | 46.3% | 1.20 | 47% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 70.4% | 1.82 | 37% |
| validation | EXTREME | 144 | 252.5% | 3.45 | 66% |
| validation | HIGH VOLATILITY | 258 | 86.0% | 1.54 | 30% |
| validation | LOW VOLATILITY | 183 | 19.3% | 0.88 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 70.5% | 1.86 | 37% |
| validation | NORMAL | 474 | 3.9% | 0.14 | 26% |
| validation | SIDEWAYS | 206 | -0.6% | -0.02 | 27% |
| validation | UPTREND | 425 | 113.1% | 2.14 | 50% |
Trades (full period)
latest 100 of 109
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -5.99% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-05-08 | 2026-05-21 | $428.35 | $417.85 | 1.13% | 10 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-31 | 2023-06-27 | $203.93 | $250.21 | 19.59% | 19 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-02-10 | 2023-02-23 | $196.89 | $202.07 | -3.31% | 9 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-02 | 2022-08-12 | $300.59 | $300.03 | -3.77% | 9 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-02 | 2021-08-17 | $236.56 | $221.90 | -0.35% | 12 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 36.80% | 28 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-10-26 | 2018-11-21 | $22.06 | $22.55 | 10.15% | 19 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-06-26 | $22.85 | $22.80 | 0.08% | 11 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -3.89% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 1.98% | 19 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2016-12-28 | 2017-02-02 | $14.65 | $16.77 | 13.31% | 25 | |
| 2016-07-12 | 2016-08-09 | $14.98 | $15.27 | 0.41% | 21 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2016-04-04 | 2016-04-14 | $16.47 | $16.79 | 6.92% | 9 | |
| 2016-03-28 | 2016-04-01 | $15.35 | $15.84 | 0.69% | 5 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-29 | 2016-01-06 | $15.81 | $14.60 | -2.60% | 6 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -2.39% | 2 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-04-28 | 2015-05-22 | $15.37 | $16.52 | 5.86% | 19 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.35% | 6 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.81% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 8.14% | 28 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -3.43% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 144.07% | 48 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 |