Strategy Zoo / S0199
VolumeBreakout_V0199
ARCHIVEDbreakoutstructuralswapped indicator rel_volume -> vol_chg
Fitness
0.5888
Generation
9
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['UPTREND', 'SIDEWAYS']
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0199 [breakout]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (breakout_50 == 1 and vol_chg > 0.2904):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.0% | 79.1% | 8.1% | 25.4% |
| Total Return | 251.4% | 474.8% | 33.3% | 2670.8% |
| Sharpe | 0.70 | 1.46 | 0.41 | 0.84 |
| Sortino | 0.62 | 1.36 | 0.31 | 0.72 |
| Calmar | 0.37 | 2.18 | 0.20 | 0.56 |
| Volatility | 28.2% | 47.8% | 29.8% | 33.5% |
| Max DD | -45.5% | -36.3% | -39.5% | -45.5% |
| Win Rate | 35.3% | 80.0% | 57.1% | 48.3% |
| Avg Win | 54.9% | 62.3% | 19.0% | 51.1% |
| Avg Loss | -7.9% | -9.3% | -11.8% | -8.8% |
| Payoff | 6.96 | 6.71 | 1.61 | 5.84 |
| Expectancy | 14.3% | 48.0% | 5.8% | 20.1% |
| Profit Factor | 3.80 | 10.00 | 2.15 | 5.45 |
| Trades | 17 | 5 | 7 | 29 |
| Avg Holding Days | 36.7 | 67.0 | 33.0 | 42.7 |
| Turnover | 4.4 | 3.3 | 3.8 | 4.0 |
| Exposure | 32.5% | 43.7% | 24.1% | 32.7% |
Growth of $100
VolumeBreakout_V0199 vs TSLA Buy & Hold
VolumeBreakout_V0199 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 | -16.5% | -1.41 | -18.5% | 2 |
| 2017 | 13.3% | 0.64 | -22.3% | 3 |
| 2018 | -30.0% | -1.44 | -37.1% | 3 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 358.1% | 2.47 | -36.3% | 2 |
| 2021 | 32.8% | 0.95 | -24.3% | 2 |
| 2022 | -9.3% | -0.74 | -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 | 107.9% | 1.99 | 82% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | -0.9% | -0.02 | 29% |
| hidden test | LOW VOLATILITY | 429 | 29.5% | 1.52 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.4% | -0.14 | 27% |
| hidden test | NORMAL | 800 | -7.7% | -0.35 | 14% |
| hidden test | SIDEWAYS | 293 | -20.3% | -1.14 | 9% |
| hidden test | UPTREND | 371 | 46.7% | 1.05 | 54% |
| train | DOWNTREND | 518 | -2.4% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 34.5% | 0.92 | 63% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 43.8% | 1.22 | 31% |
| train | LOW VOLATILITY | 745 | 25.5% | 1.21 | 41% |
| train | MEDIUM VOLATILITY | 568 | -17.8% | -0.70 | 24% |
| train | NORMAL | 1,601 | -8.0% | -0.43 | 22% |
| train | SIDEWAYS | 592 | -16.1% | -1.17 | 8% |
| train | UPTREND | 902 | 55.7% | 1.38 | 67% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 54.3% | 0.95 | 74% |
| validation | EXTREME | 144 | 287.0% | 3.52 | 75% |
| validation | HIGH VOLATILITY | 258 | 97.1% | 1.47 | 39% |
| validation | LOW VOLATILITY | 183 | 20.6% | 0.87 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 75.8% | 1.89 | 43% |
| validation | NORMAL | 474 | 8.2% | 0.33 | 25% |
| validation | SIDEWAYS | 206 | -11.6% | -0.89 | 10% |
| validation | UPTREND | 425 | 129.7% | 2.06 | 73% |
Trades (full period)
29 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-05-14 | 2025-06-06 | $347.68 | $295.14 | -14.95% | 17 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 44.25% | 64 | |
| 2024-06-27 | 2024-08-05 | $197.42 | $198.88 | 5.54% | 27 | |
| 2023-06-05 | 2023-08-08 | $217.61 | $249.70 | 17.28% | 45 | |
| 2022-08-02 | 2022-09-06 | $300.59 | $274.42 | -9.29% | 25 | |
| 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 | |
| 2020-06-02 | 2020-10-29 | $58.77 | $136.94 | 125.59% | 106 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2018-10-30 | 2018-12-21 | $21.99 | $21.32 | -6.00% | 37 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 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 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.05% | 64 | |
| 2014-06-18 | 2014-09-23 | $15.14 | $16.69 | 7.71% | 68 | |
| 2014-01-22 | 2014-03-28 | $11.90 | $14.16 | 17.11% | 47 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2013-01-25 | 2013-02-22 | $2.47 | $2.41 | -5.14% | 20 | |
| 2012-11-20 | 2013-01-14 | $2.20 | $2.22 | -0.23% | 37 | |
| 2012-07-16 | 2012-07-24 | $2.40 | $1.99 | -10.66% | 7 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -8.13% | 20 |