Strategy Zoo / S0194
VolumeBreakout_V0194
ARCHIVEDbreakoutparameterchanged vol_chg threshold 1.1148 -> 0.5386
Fitness
0.4757
Generation
9
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
swapped indicator rel_volume -> vol_chg
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0194 [breakout]
if flat and vol_chg > 0.5386:
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.3% | 75.1% | 20.6% | 27.2% |
| Total Return | 211.3% | 436.8% | 99.6% | 3334.1% |
| Sharpe | 0.57 | 1.28 | 0.67 | 0.78 |
| Sortino | 0.65 | 1.47 | 0.72 | 0.87 |
| Calmar | 0.26 | 1.44 | 0.52 | 0.46 |
| Volatility | 37.0% | 55.8% | 39.0% | 42.0% |
| Max DD | -59.6% | -52.1% | -39.5% | -59.6% |
| Win Rate | 41.1% | 42.9% | 51.5% | 42.9% |
| Avg Win | 9.5% | 25.7% | 10.8% | 12.8% |
| Avg Loss | -3.5% | -5.1% | -5.1% | -4.0% |
| Payoff | 2.69 | 5.00 | 2.12 | 3.23 |
| Expectancy | 1.8% | 8.1% | 3.1% | 3.2% |
| Profit Factor | 1.88 | 3.75 | 2.25 | 2.42 |
| Trades | 163 | 35 | 33 | 231 |
| Avg Holding Days | 7.1 | 14.3 | 13.1 | 9.3 |
| Turnover | 41.0 | 23.3 | 17.9 | 31.5 |
| Exposure | 51.9% | 61.6% | 42.7% | 51.6% |
Growth of $100
VolumeBreakout_V0194 vs TSLA Buy & Hold
VolumeBreakout_V0194 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 | -18.9% | -0.90 | -27.0% | 29 |
| 2017 | 29.9% | 1.07 | -17.1% | 12 |
| 2018 | -13.9% | -0.20 | -37.1% | 23 |
| 2019 | -8.3% | -0.13 | -34.9% | 24 |
| 2020 | 457.3% | 2.58 | -46.1% | 6 |
| 2021 | 38.2% | 0.93 | -28.4% | 12 |
| 2022 | -33.2% | -1.18 | -41.8% | 17 |
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 | 3.5% | 0.18 | 15% |
| hidden test | EXPENSIVE | 83 | 192.1% | 2.91 | 86% |
| hidden test | EXTREME | 48 | 156.7% | 2.49 | 96% |
| hidden test | HIGH VOLATILITY | 254 | 36.8% | 0.68 | 54% |
| hidden test | LOW VOLATILITY | 429 | 54.6% | 2.17 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -33.6% | -0.84 | 44% |
| hidden test | NORMAL | 800 | 1.2% | 0.04 | 35% |
| hidden test | SIDEWAYS | 293 | 3.5% | 0.11 | 38% |
| hidden test | UPTREND | 371 | 60.6% | 1.16 | 67% |
| train | DOWNTREND | 518 | -22.6% | -0.88 | 22% |
| train | EXPENSIVE | 311 | 42.3% | 1.00 | 75% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 45.8% | 0.97 | 46% |
| train | LOW VOLATILITY | 745 | 30.6% | 1.15 | 64% |
| train | MEDIUM VOLATILITY | 568 | -22.3% | -0.66 | 44% |
| train | NORMAL | 1,601 | -7.9% | -0.25 | 45% |
| train | SIDEWAYS | 592 | -6.0% | -0.19 | 36% |
| train | UPTREND | 902 | 63.7% | 1.43 | 80% |
| validation | DOWNTREND | 125 | -7.3% | -0.32 | 11% |
| validation | EXPENSIVE | 138 | 78.1% | 1.30 | 77% |
| validation | EXTREME | 144 | 336.2% | 3.87 | 97% |
| validation | HIGH VOLATILITY | 258 | 114.8% | 1.52 | 56% |
| validation | LOW VOLATILITY | 183 | 11.9% | 0.42 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 70.9% | 1.48 | 62% |
| validation | NORMAL | 474 | -10.7% | -0.27 | 46% |
| validation | SIDEWAYS | 206 | -39.7% | -1.04 | 44% |
| validation | UPTREND | 425 | 148.7% | 2.19 | 85% |
Trades (full period)
latest 100 of 231
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-06 | 2026-07-08 | $419.77 | $394.06 | 2.20% | 3 | |
| 2026-06-10 | 2026-06-11 | $381.59 | $399.15 | -4.00% | 2 | |
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-09-08 | 2025-11-14 | $346.40 | $404.35 | 14.35% | 50 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-04-28 | 2025-06-06 | $285.88 | $295.14 | -0.29% | 29 | |
| 2025-04-24 | 2025-04-25 | $259.51 | $284.95 | 3.29% | 2 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 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 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-01-31 | 2025-02-04 | $404.60 | $392.21 | -4.34% | 3 | |
| 2024-10-24 | 2025-01-30 | $260.48 | $400.28 | 81.79% | 66 | |
| 2024-09-23 | 2024-10-14 | $250.00 | $219.16 | -8.76% | 16 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-06-13 | 2024-08-05 | $182.47 | $198.88 | 16.90% | 36 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-08 | 2024-04-09 | $172.98 | $176.88 | 4.70% | 2 | |
| 2024-04-03 | 2024-04-04 | $168.38 | $171.11 | 0.85% | 2 | |
| 2024-01-26 | 2024-01-29 | $183.25 | $190.93 | 0.14% | 2 | |
| 2023-12-04 | 2024-01-10 | $235.58 | $233.94 | -1.82% | 26 | |
| 2023-10-24 | 2023-10-25 | $216.52 | $212.42 | 1.89% | 2 | |
| 2023-05-24 | 2023-08-08 | $182.90 | $249.70 | 35.08% | 52 | |
| 2023-04-21 | 2023-04-24 | $165.08 | $162.55 | 1.08% | 2 | |
| 2023-01-30 | 2023-04-06 | $166.66 | $185.06 | 4.07% | 48 | |
| 2022-12-23 | 2022-12-27 | $123.15 | $109.10 | -1.95% | 2 | |
| 2022-12-14 | 2022-12-15 | $156.80 | $157.67 | -2.78% | 2 | |
| 2022-11-25 | 2022-11-28 | $182.86 | $182.92 | -0.39% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-11-09 | 2022-11-10 | $177.59 | $190.72 | -7.36% | 2 | |
| 2022-10-06 | 2022-10-07 | $238.13 | $223.07 | -1.31% | 2 | |
| 2022-10-04 | 2022-10-05 | $249.44 | $240.81 | 2.70% | 2 | |
| 2022-09-19 | 2022-09-26 | $309.07 | $276.01 | -9.42% | 6 | |
| 2022-07-22 | 2022-09-06 | $272.24 | $274.42 | -0.75% | 32 | |
| 2022-06-16 | 2022-06-17 | $213.10 | $216.76 | -8.73% | 2 | |
| 2022-05-23 | 2022-05-24 | $224.97 | $209.39 | 1.46% | 2 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2022-02-24 | 2022-02-25 | $266.92 | $269.96 | 4.60% | 2 | |
| 2022-01-28 | 2022-01-31 | $282.12 | $312.24 | 1.88% | 2 | |
| 2022-01-25 | 2022-01-26 | $306.13 | $312.47 | -1.45% | 2 | |
| 2022-01-10 | 2022-01-11 | $352.71 | $354.80 | 2.83% | 2 | |
| 2022-01-05 | 2022-01-07 | $362.71 | $342.32 | -7.57% | 3 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -3.70% | 2 | |
| 2021-12-16 | 2021-12-17 | $308.97 | $310.86 | -5.22% | 2 | |
| 2021-06-25 | 2021-12-14 | $223.96 | $319.50 | 41.87% | 120 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2021-05-12 | 2021-05-13 | $196.63 | $190.56 | -4.62% | 2 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 4.52% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 19.42% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 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 | |
| 2020-11-18 | 2021-02-23 | $162.21 | $232.95 | 61.49% | 65 | |
| 2020-04-15 | 2020-10-29 | $48.66 | $136.94 | 185.41% | 139 | |
| 2020-04-06 | 2020-04-07 | $34.42 | $36.36 | 7.34% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-03-18 | 2020-03-19 | $24.08 | $28.51 | -16.22% | 2 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-09-26 | 2019-10-07 | $16.17 | $15.85 | 1.00% | 8 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-09-06 | 2019-09-09 | $15.16 | $15.45 | -1.13% | 2 | |
| 2019-08-26 | 2019-08-27 | $14.33 | $14.27 | 1.50% | 2 | |
| 2019-08-15 | 2019-08-16 | $14.38 | $14.66 | -2.01% | 2 | |
| 2019-07-05 | 2019-08-13 | $15.54 | $15.67 | -2.70% | 28 | |
| 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 | |
| 2019-04-23 | 2019-04-24 | $17.59 | $17.24 | 0.24% | 2 | |
| 2019-04-05 | 2019-04-08 | $18.33 | $18.21 | 2.48% | 2 | |
| 2019-03-20 | 2019-03-21 | $18.24 | $18.27 | 2.09% | 2 | |
| 2019-03-18 | 2019-03-19 | $17.97 | $17.83 | -2.35% | 2 | |
| 2019-03-05 | 2019-03-06 | $18.44 | $18.42 | -3.29% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2019-02-26 | 2019-02-27 | $19.86 | $20.98 | -0.50% | 2 | |
| 2019-02-22 | 2019-02-25 | $19.65 | $19.92 | 0.99% | 2 | |
| 2019-02-01 | 2019-02-04 | $20.81 | $20.86 | 1.49% | 2 | |
| 2019-01-28 | 2019-01-29 | $19.76 | $19.83 | -0.42% | 2 | |
| 2019-01-24 | 2019-01-25 | $19.43 | $19.80 | 1.16% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2019-01-03 | 2019-01-04 | $20.02 | $21.18 | -3.34% | 2 | |
| 2018-10-26 | 2018-12-21 | $22.06 | $21.32 | -0.03% | 39 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-10-11 | 2018-10-12 | $16.82 | $17.25 | -2.01% | 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 | |
| 2018-09-19 | 2018-09-20 | $19.93 | $19.89 | 4.73% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-21 | 2018-08-22 | $21.46 | $21.44 | 4.16% | 2 |