Strategy Zoo / S0189
VolumeBreakout_V0189
ARCHIVEDbreakoutparameterchanged rel_volume threshold 1.0808 -> 1.3829
Fitness
0.6094
Generation
9
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.5 -> 1.0808
Children (1)
Strategy Logic (pseudocode)
# VolumeBreakout_V0189 [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.3829):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.4% | 76.6% | 8.8% | 26.6% |
| Total Return | 311.8% | 450.9% | 36.4% | 3085.1% |
| Sharpe | 0.79 | 1.43 | 0.45 | 0.89 |
| Sortino | 0.67 | 1.33 | 0.33 | 0.73 |
| Calmar | 0.49 | 1.93 | 0.30 | 0.67 |
| Volatility | 26.9% | 47.6% | 26.9% | 32.3% |
| Max DD | -39.7% | -39.7% | -29.0% | -39.7% |
| Win Rate | 35.7% | 80.0% | 60.0% | 50.0% |
| Avg Win | 63.6% | 55.3% | 16.1% | 54.1% |
| Avg Loss | -6.8% | -0.7% | -4.6% | -6.0% |
| Payoff | 9.29 | 10.00 | 3.48 | 9.06 |
| Expectancy | 18.3% | 44.1% | 7.8% | 24.1% |
| Profit Factor | 5.16 | 10.00 | 5.22 | 9.06 |
| Trades | 14 | 5 | 5 | 24 |
| Avg Holding Days | 39.7 | 67.0 | 37.2 | 46.8 |
| Turnover | 3.6 | 3.3 | 2.7 | 3.3 |
| Exposure | 29.2% | 43.7% | 19.4% | 29.7% |
Growth of $100
VolumeBreakout_V0189 vs TSLA Buy & Hold
VolumeBreakout_V0189 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 | -12.5% | -1.18 | -18.5% | 1 |
| 2017 | 13.3% | 0.64 | -22.3% | 3 |
| 2018 | -22.5% | -1.33 | -33.1% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 301.6% | 2.31 | -39.7% | 2 |
| 2021 | 32.8% | 0.95 | -24.3% | 2 |
| 2022 | -0.8% | 0.03 | -12.7% | 1 |
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 | 16.8% | 1.07 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | 5.0% | 0.17 | 22% |
| hidden test | NORMAL | 800 | -2.9% | -0.16 | 10% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 30.1% | 0.71 | 49% |
| train | DOWNTREND | 518 | -0.6% | -0.63 | 1% |
| train | EXPENSIVE | 311 | 21.8% | 0.62 | 57% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 42.7% | 1.23 | 26% |
| train | LOW VOLATILITY | 745 | 27.1% | 1.28 | 40% |
| train | MEDIUM VOLATILITY | 568 | -12.7% | -0.58 | 19% |
| train | NORMAL | 1,601 | -3.5% | -0.20 | 19% |
| train | SIDEWAYS | 592 | -5.9% | -0.52 | 4% |
| train | UPTREND | 902 | 51.7% | 1.32 | 62% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 54.3% | 0.95 | 74% |
| validation | EXTREME | 144 | 262.6% | 3.27 | 70% |
| validation | HIGH VOLATILITY | 258 | 97.1% | 1.47 | 39% |
| validation | LOW VOLATILITY | 183 | 14.0% | 0.65 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 76.1% | 1.89 | 45% |
| validation | NORMAL | 474 | 13.2% | 0.52 | 27% |
| validation | SIDEWAYS | 206 | -11.4% | -0.88 | 11% |
| validation | UPTREND | 425 | 121.4% | 1.95 | 71% |
Trades (full period)
24 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 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 | |
| 2023-06-12 | 2023-08-08 | $249.83 | $249.70 | 2.68% | 40 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2021-08-03 | 2021-12-14 | $236.58 | $319.50 | 35.91% | 94 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-06-11 | 2020-10-29 | $64.86 | $136.94 | 97.64% | 99 | |
| 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 | |
| 2017-09-15 | 2017-09-26 | $25.32 | $23.02 | -8.83% | 8 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2016-12-28 | 2017-03-09 | $14.65 | $16.33 | 12.23% | 49 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 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 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-29 | 2013-01-14 | $2.25 | $2.22 | -1.16% | 31 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -8.13% | 20 |