Strategy Zoo / S0171
VolumeBreakout_V0171
ARCHIVEDbreakoutstructuralreplaced exit rule with: sma_20 < roll_high_50
Fitness
0.2188
Generation
8
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
swapped indicator rel_volume -> vol_chg
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0171 [breakout]
if flat and vol_chg > 1.1148:
position = 1.0
if long and sma_20 < roll_high_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.8% | 4.4% | 7.3% | 4.3% |
| Total Return | 25.1% | 13.8% | 29.7% | 84.7% |
| Sharpe | 0.23 | 0.38 | 0.72 | 0.32 |
| Sortino | 0.17 | 0.14 | 0.27 | 0.19 |
| Calmar | 0.06 | 0.26 | 0.80 | 0.10 |
| Volatility | 21.4% | 13.7% | 10.5% | 17.8% |
| Max DD | -44.3% | -17.1% | -9.1% | -44.3% |
| Win Rate | 44.8% | 63.0% | 63.2% | 49.0% |
| Avg Win | 3.8% | 3.1% | 4.1% | 3.7% |
| Avg Loss | -2.6% | -3.7% | -3.1% | -2.8% |
| Payoff | 1.45 | 0.84 | 1.34 | 1.35 |
| Expectancy | 0.3% | 0.6% | 1.5% | 0.4% |
| Profit Factor | 1.18 | 1.43 | 2.29 | 1.30 |
| Trades | 154 | 27 | 19 | 200 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 38.6 | 18.0 | 10.3 | 27.3 |
| Exposure | 7.7% | 3.6% | 2.0% | 5.4% |
Growth of $100
VolumeBreakout_V0171 vs TSLA Buy & Hold
VolumeBreakout_V0171 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 | -12.8% | -0.92 | -14.7% | 18 |
| 2017 | 7.3% | 0.70 | -6.0% | 17 |
| 2018 | 7.0% | 0.38 | -22.9% | 18 |
| 2019 | -12.7% | -0.87 | -20.3% | 19 |
| 2020 | 7.9% | 0.46 | -17.1% | 14 |
| 2021 | 1.5% | 0.20 | -8.2% | 10 |
| 2022 | 3.9% | 1.34 | -0.1% | 3 |
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 | -9.2% | -0.94 | 1% |
| hidden test | EXPENSIVE | 83 | 22.7% | 2.49 | 6% |
| hidden test | EXTREME | 48 | 45.7% | 2.25 | 4% |
| hidden test | HIGH VOLATILITY | 254 | 17.5% | 1.07 | 5% |
| hidden test | LOW VOLATILITY | 429 | 0.6% | 0.26 | 0% |
| hidden test | MEDIUM VOLATILITY | 248 | 9.5% | 0.82 | 2% |
| hidden test | NORMAL | 800 | 3.7% | 0.38 | 2% |
| hidden test | SIDEWAYS | 293 | 4.2% | 0.59 | 2% |
| hidden test | UPTREND | 371 | 22.4% | 1.72 | 3% |
| train | DOWNTREND | 518 | -16.6% | -0.84 | 7% |
| train | EXPENSIVE | 311 | 3.8% | 0.27 | 8% |
| train | EXTREME | 100 | 154.8% | 2.93 | 9% |
| train | HIGH VOLATILITY | 699 | 24.4% | 0.78 | 9% |
| train | LOW VOLATILITY | 745 | -4.3% | -0.42 | 6% |
| train | MEDIUM VOLATILITY | 568 | -6.8% | -0.41 | 8% |
| train | NORMAL | 1,601 | -4.1% | -0.22 | 7% |
| train | SIDEWAYS | 592 | 1.5% | 0.07 | 8% |
| train | UPTREND | 902 | 19.7% | 0.90 | 8% |
| validation | DOWNTREND | 125 | 7.2% | 1.79 | 2% |
| validation | EXPENSIVE | 138 | -7.1% | -0.67 | 4% |
| validation | EXTREME | 144 | 25.1% | 0.94 | 7% |
| validation | HIGH VOLATILITY | 258 | 11.6% | 0.64 | 3% |
| validation | LOW VOLATILITY | 183 | -0.8% | -0.25 | 2% |
| validation | MEDIUM VOLATILITY | 315 | 3.6% | 0.27 | 5% |
| validation | NORMAL | 474 | 2.8% | 0.38 | 3% |
| validation | SIDEWAYS | 206 | -12.3% | -1.07 | 1% |
| validation | UPTREND | 425 | 13.2% | 0.81 | 5% |
Trades (full period)
latest 100 of 200
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-06 | 2026-07-07 | $419.77 | $402.90 | 6.48% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 3.46% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-04-27 | 2022-04-28 | $293.84 | $292.50 | 0.38% | 2 | |
| 2022-02-25 | 2022-02-28 | $269.96 | $290.14 | 0.94% | 2 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.79% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-07-28 | 2021-07-29 | $215.66 | $225.78 | 0.14% | 2 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-08 | 2021-03-09 | $187.67 | $224.53 | -6.04% | 2 | |
| 2021-02-26 | 2021-03-01 | $225.17 | $239.48 | -1.18% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 5.97% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 4.06% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-15 | 2020-06-16 | $66.06 | $65.48 | 5.74% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-05-01 | 2020-05-04 | $46.75 | $50.75 | -10.49% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-06 | 2020-02-07 | $49.93 | $49.87 | 1.74% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-09 | 2020-01-10 | $32.09 | $31.88 | -2.39% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2019-12-09 | 2019-12-10 | $22.64 | $23.26 | 0.88% | 2 | |
| 2019-11-25 | 2019-11-26 | $22.42 | $21.93 | 0.79% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-25 | 2019-09-26 | $15.25 | $16.17 | 2.26% | 2 | |
| 2019-09-06 | 2019-09-09 | $15.16 | $15.45 | -1.13% | 2 | |
| 2019-07-26 | 2019-07-29 | $15.20 | $15.72 | -0.54% | 2 | |
| 2019-06-07 | 2019-06-10 | $13.63 | $14.19 | -0.90% | 2 | |
| 2019-05-24 | 2019-05-28 | $12.71 | $12.58 | -2.68% | 2 | |
| 2019-05-22 | 2019-05-23 | $12.85 | $13.03 | -6.22% | 2 | |
| 2019-05-20 | 2019-05-21 | $13.69 | $13.67 | -2.88% | 2 | |
| 2019-04-26 | 2019-04-29 | $15.68 | $16.10 | -5.24% | 2 | |
| 2019-04-05 | 2019-04-08 | $18.33 | $18.21 | 2.48% | 2 | |
| 2019-03-06 | 2019-03-07 | $18.42 | $18.44 | -0.31% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-12-10 | 2018-12-11 | $24.34 | $24.45 | 1.80% | 2 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-10-25 | 2018-10-26 | $20.99 | $22.06 | 8.93% | 2 | |
| 2018-10-03 | 2018-10-04 | $19.65 | $18.79 | -2.26% | 2 | |
| 2018-10-01 | 2018-10-02 | $20.71 | $20.07 | 17.13% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-03 | 2018-05-04 | $18.96 | $19.61 | -5.74% | 2 | |
| 2018-04-04 | 2018-04-05 | $19.13 | $20.38 | 7.05% | 2 | |
| 2018-04-02 | 2018-04-03 | $16.83 | $17.84 | -5.32% | 2 | |
| 2018-03-28 | 2018-03-29 | $17.19 | $17.74 | -7.86% | 2 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.26% | 2 | |
| 2018-02-09 | 2018-02-12 | $20.69 | $21.05 | -1.72% | 2 | |
| 2018-01-09 | 2018-01-10 | $22.25 | $22.32 | -1.01% | 2 | |
| 2017-11-20 | 2017-11-21 | $20.58 | $21.19 | -2.20% | 2 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-12 | 2017-09-13 | $24.18 | $24.42 | -0.46% | 2 | |
| 2017-08-03 | 2017-08-04 | $23.14 | $23.79 | 6.30% | 2 | |
| 2017-07-11 | 2017-07-12 | $21.81 | $21.97 | 3.33% | 2 | |
| 2017-07-06 | 2017-07-07 | $20.59 | $20.88 | -5.78% | 2 | |
| 2017-06-12 | 2017-06-13 | $23.93 | $25.06 | 0.27% | 2 | |
| 2017-06-01 | 2017-06-02 | $22.69 | $22.66 | -0.39% | 2 | |
| 2017-05-05 | 2017-05-08 | $20.56 | $20.48 | 4.16% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.04% | 2 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -1.08% | 2 | |
| 2017-02-24 | 2017-02-27 | $17.13 | $16.42 | 0.19% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 |