Strategy Zoo / S0198
VolumeBreakout_V0198
ARCHIVEDbreakoutstructuraladded exit filter: close > sma_200; swapped indicator rel_volume -> vol_chg
Fitness
0.0722
Generation
9
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0198 [breakout]
if flat and vol_chg > 0.0106:
position = 1.0
if long and (close < sma_50 or close > sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.9% | -4.1% | 0.3% | -2.4% |
| Total Return | -21.1% | -11.8% | 1.0% | -29.8% |
| Sharpe | 0.06 | 0.10 | 0.20 | 0.11 |
| Sortino | 0.07 | 0.11 | 0.24 | 0.12 |
| Calmar | -0.05 | -0.06 | 0.01 | -0.03 |
| Volatility | 32.0% | 40.2% | 38.9% | 35.6% |
| Max DD | -64.7% | -63.8% | -46.9% | -68.5% |
| Win Rate | 48.6% | 48.6% | 44.4% | 47.6% |
| Avg Win | 2.6% | 3.6% | 3.7% | 3.1% |
| Avg Loss | -2.4% | -3.3% | -2.7% | -2.7% |
| Payoff | 1.08 | 1.09 | 1.34 | 1.14 |
| Expectancy | 0.0% | 0.1% | 0.1% | 0.1% |
| Profit Factor | 1.03 | 1.03 | 1.07 | 1.04 |
| Trades | 551 | 214 | 241 | 1,006 |
| Avg Holding Days | 2.2 | 2.1 | 2.4 | 2.2 |
| Turnover | 138.0 | 142.7 | 130.7 | 137.1 |
| Exposure | 33.4% | 31.1% | 37.4% | 34.0% |
Growth of $100
VolumeBreakout_V0198 vs TSLA Buy & Hold
VolumeBreakout_V0198 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 | -28.0% | -1.26 | -36.5% | 69 |
| 2017 | -15.7% | -0.74 | -23.8% | 79 |
| 2018 | -22.1% | -0.51 | -36.4% | 67 |
| 2019 | -3.8% | 0.02 | -23.6% | 59 |
| 2020 | 46.7% | 1.05 | -35.4% | 69 |
| 2021 | 12.4% | 0.51 | -20.6% | 70 |
| 2022 | -48.4% | -1.56 | -52.0% | 74 |
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 | 37.0% | 0.88 | 42% |
| hidden test | EXPENSIVE | 83 | 101.1% | 2.11 | 30% |
| hidden test | EXTREME | 48 | 6.6% | 0.17 | 27% |
| hidden test | HIGH VOLATILITY | 254 | 88.3% | 1.63 | 40% |
| hidden test | LOW VOLATILITY | 429 | -17.2% | -0.60 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -31.9% | -0.90 | 39% |
| hidden test | NORMAL | 800 | -2.0% | -0.05 | 39% |
| hidden test | SIDEWAYS | 293 | -48.2% | -1.20 | 45% |
| hidden test | UPTREND | 371 | 30.7% | 0.87 | 28% |
| train | DOWNTREND | 518 | -21.9% | -0.75 | 39% |
| train | EXPENSIVE | 311 | 1.8% | 0.06 | 30% |
| train | EXTREME | 100 | 148.1% | 2.63 | 27% |
| train | HIGH VOLATILITY | 699 | 2.4% | 0.06 | 32% |
| train | LOW VOLATILITY | 745 | 9.5% | 0.44 | 34% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -0.28 | 35% |
| train | NORMAL | 1,601 | -7.0% | -0.23 | 34% |
| train | SIDEWAYS | 592 | 12.2% | 0.37 | 36% |
| train | UPTREND | 902 | 9.1% | 0.28 | 29% |
| validation | DOWNTREND | 125 | -113.7% | -2.48 | 37% |
| validation | EXPENSIVE | 138 | -20.5% | -0.46 | 28% |
| validation | EXTREME | 144 | 77.1% | 1.82 | 27% |
| validation | HIGH VOLATILITY | 258 | 6.4% | 0.12 | 31% |
| validation | LOW VOLATILITY | 183 | -18.0% | -0.87 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 14.4% | 0.43 | 31% |
| validation | NORMAL | 474 | -11.3% | -0.30 | 33% |
| validation | SIDEWAYS | 206 | 19.0% | 0.77 | 31% |
| validation | UPTREND | 425 | 31.1% | 0.70 | 29% |
Trades (full period)
latest 100 of 1007
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.40 | — | -0.86% | 1 | OPEN |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-08-19 | 2026-08-20 | $351.12 | $345.13 | 4.03% | 2 | |
| 2026-08-17 | 2026-08-18 | $339.30 | $336.87 | -1.07% | 2 | |
| 2026-08-13 | 2026-08-14 | $339.96 | $342.27 | 3.60% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-07-30 | 2026-07-31 | $308.85 | $311.21 | 3.33% | 2 | |
| 2026-07-28 | 2026-07-29 | $307.44 | $298.32 | -0.78% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-21 | 2026-07-22 | $378.93 | $374.01 | 2.33% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-06-30 | 2026-07-01 | $420.60 | $425.30 | 1.93% | 2 | |
| 2026-06-22 | 2026-06-24 | $405.05 | $375.53 | -4.90% | 3 | |
| 2026-06-11 | 2026-06-18 | $399.15 | $400.49 | 3.67% | 6 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-28 | 2026-04-29 | $376.02 | $372.80 | -0.90% | 2 | |
| 2026-04-24 | 2026-04-27 | $376.30 | $378.67 | 0.49% | 2 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2026-04-10 | 2026-04-13 | $348.95 | $352.42 | 0.76% | 2 | |
| 2026-04-08 | 2026-04-09 | $343.25 | $345.62 | -1.18% | 2 | |
| 2026-04-06 | 2026-04-07 | $352.82 | $346.65 | -2.35% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-26 | 2026-03-27 | $372.11 | $361.83 | -3.78% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-20 | 2026-03-23 | $367.96 | $380.85 | -3.44% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.29% | 2 | |
| 2026-03-04 | 2026-03-05 | $405.94 | $405.55 | 3.24% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-24 | 2026-02-25 | $409.38 | $417.40 | 2.19% | 2 | |
| 2026-02-18 | 2026-02-19 | $411.32 | $411.71 | -0.03% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.52% | 2 | |
| 2026-02-05 | 2026-02-06 | $397.21 | $411.11 | -2.37% | 2 | |
| 2026-02-03 | 2026-02-04 | $421.96 | $406.01 | -0.16% | 2 | |
| 2026-01-30 | 2026-02-02 | $430.41 | $421.81 | 3.12% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-20 | 2025-11-21 | $395.23 | $391.09 | -2.37% | 2 | |
| 2025-11-18 | 2025-11-19 | $401.25 | $403.99 | -2.07% | 2 | |
| 2025-11-14 | 2025-11-17 | $404.35 | $408.92 | 0.39% | 2 | |
| 2025-11-07 | 2025-11-10 | $429.52 | $445.23 | -3.87% | 2 | |
| 2025-11-05 | 2025-11-06 | $462.07 | $445.91 | 3.81% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-27 | 2025-10-28 | $452.42 | $460.55 | 4.11% | 2 | |
| 2025-10-23 | 2025-10-24 | $448.98 | $433.72 | 2.08% | 2 | |
| 2025-10-17 | 2025-10-20 | $439.31 | $447.43 | 2.26% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-07-02 | 2025-07-03 | $315.65 | $315.35 | 4.76% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-23 | 2025-06-24 | $348.68 | $340.47 | 8.02% | 2 | |
| 2025-06-11 | 2025-06-12 | $326.43 | $319.11 | -0.10% | 2 | |
| 2025-06-09 | 2025-06-10 | $308.58 | $326.09 | 4.35% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-02 | 2025-05-12 | $287.21 | $318.38 | 6.11% | 7 | |
| 2025-04-28 | 2025-04-30 | $285.88 | $282.16 | 2.28% | 3 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-11 | 2025-04-14 | $252.31 | $252.35 | -0.24% | 2 | |
| 2025-04-09 | 2025-04-10 | $272.20 | $252.40 | 22.47% | 2 |