Strategy Zoo / S0205
VolumeBreakout_V0205
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Fitness
0.6439
Generation
10
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
seed strategy
swapped indicator rel_volume -> vol_chg
Children (6)
Strategy Logic (pseudocode)
# VolumeBreakout_V0205 [hybrid]
if flat and (vol_chg > 1.1148 or ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.6% | 110.2% | 27.6% | 37.3% |
| Total Return | 344.8% | 828.2% | 146.3% | 10369.6% |
| Sharpe | 0.68 | 1.69 | 0.82 | 0.97 |
| Sortino | 0.80 | 1.91 | 0.91 | 1.11 |
| Calmar | 0.32 | 3.27 | 0.69 | 0.58 |
| Volatility | 38.2% | 51.9% | 39.5% | 41.7% |
| Max DD | -64.2% | -33.7% | -40.2% | -64.2% |
| Win Rate | 37.4% | 56.5% | 44.0% | 41.7% |
| Avg Win | 14.3% | 30.2% | 18.6% | 20.9% |
| Avg Loss | -4.8% | -7.0% | -6.1% | -5.3% |
| Payoff | 2.97 | 4.29 | 3.03 | 3.93 |
| Expectancy | 2.3% | 14.0% | 4.7% | 5.6% |
| Profit Factor | 1.77 | 5.58 | 2.38 | 2.81 |
| Trades | 91 | 23 | 25 | 139 |
| Avg Holding Days | 12.8 | 20.4 | 19.0 | 15.7 |
| Turnover | 22.9 | 15.3 | 13.8 | 19.0 |
| Exposure | 57.0% | 59.0% | 50.5% | 55.8% |
Growth of $100
VolumeBreakout_V0205 vs TSLA Buy & Hold
VolumeBreakout_V0205 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 | -22.8% | -0.91 | -43.3% | 15 |
| 2017 | 18.0% | 0.73 | -17.3% | 11 |
| 2018 | -14.5% | -0.19 | -35.0% | 12 |
| 2019 | 17.5% | 0.62 | -37.4% | 12 |
| 2020 | 573.3% | 2.99 | -33.7% | 5 |
| 2021 | 51.8% | 1.26 | -26.8% | 11 |
| 2022 | -12.9% | -0.24 | -25.1% | 7 |
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 | 6.6% | 0.20 | 37% |
| hidden test | EXPENSIVE | 83 | 118.7% | 2.18 | 83% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 48.5% | 0.92 | 55% |
| hidden test | LOW VOLATILITY | 429 | 63.8% | 2.21 | 47% |
| hidden test | MEDIUM VOLATILITY | 248 | -39.2% | -0.99 | 52% |
| hidden test | NORMAL | 800 | 13.4% | 0.37 | 46% |
| hidden test | SIDEWAYS | 293 | -0.8% | -0.02 | 49% |
| hidden test | UPTREND | 371 | 76.6% | 1.61 | 62% |
| train | DOWNTREND | 518 | -33.4% | -1.15 | 36% |
| train | EXPENSIVE | 311 | 68.9% | 1.68 | 79% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 55.1% | 1.11 | 50% |
| train | LOW VOLATILITY | 745 | 32.1% | 1.18 | 67% |
| train | MEDIUM VOLATILITY | 568 | -18.3% | -0.54 | 52% |
| train | NORMAL | 1,601 | -6.1% | -0.18 | 50% |
| train | SIDEWAYS | 592 | 4.3% | 0.12 | 49% |
| train | UPTREND | 902 | 74.0% | 1.68 | 74% |
| validation | DOWNTREND | 125 | 50.8% | 2.29 | 15% |
| validation | EXPENSIVE | 138 | 56.4% | 1.02 | 63% |
| validation | EXTREME | 144 | 354.9% | 4.26 | 94% |
| validation | HIGH VOLATILITY | 258 | 104.8% | 1.54 | 53% |
| validation | LOW VOLATILITY | 183 | 26.7% | 0.97 | 63% |
| validation | MEDIUM VOLATILITY | 315 | 109.4% | 2.31 | 62% |
| validation | NORMAL | 474 | 15.8% | 0.45 | 47% |
| validation | SIDEWAYS | 206 | -19.0% | -0.52 | 48% |
| validation | UPTREND | 425 | 150.4% | 2.39 | 77% |
Trades (full period)
latest 100 of 140
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-13 | 2026-07-16 | $394.76 | $391.06 | -3.46% | 4 | |
| 2026-07-06 | 2026-07-09 | $419.77 | $406.55 | -0.04% | 4 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-05 | 2025-11-14 | $308.72 | $404.35 | 29.72% | 73 | |
| 2025-07-25 | 2025-08-04 | $316.06 | $309.26 | -1.07% | 7 | |
| 2025-04-29 | 2025-06-13 | $292.03 | $325.31 | 11.40% | 33 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 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 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | 3.22% | 29 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 15.46% | 32 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 47.30% | 51 | |
| 2023-04-10 | 2023-04-20 | $184.51 | $162.99 | -2.61% | 9 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-02-25 | 2022-03-02 | $269.96 | $293.30 | 7.73% | 4 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.79% | 2 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-07-28 | 2021-07-29 | $215.66 | $225.78 | 0.14% | 2 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 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 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-09-12 | 2020-03-04 | $16.39 | $49.97 | 201.10% | 120 | |
| 2019-09-06 | 2019-09-09 | $15.16 | $15.45 | -1.13% | 2 | |
| 2019-06-18 | 2019-08-12 | $14.98 | $15.27 | 4.23% | 39 | |
| 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 | |
| 2019-04-08 | 2019-04-09 | $18.21 | $18.15 | -0.84% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 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 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-10-25 | 2018-12-19 | $20.99 | $22.20 | 16.60% | 38 | |
| 2018-10-01 | 2018-10-09 | $20.71 | $17.52 | -5.54% | 7 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 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 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-12 | 2018-02-13 | $21.05 | $21.58 | 1.51% | 2 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 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 | 2017-09-29 | $24.18 | $22.74 | -6.81% | 14 | |
| 2017-08-03 | 2017-09-07 | $23.14 | $23.37 | 5.51% | 25 | |
| 2017-07-11 | 2017-07-12 | $21.81 | $21.97 | 3.33% | 2 | |
| 2017-07-07 | 2017-07-10 | $20.88 | $21.07 | 1.22% | 2 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 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 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 25.20% | 57 | |
| 2016-11-11 | 2016-11-14 | $12.57 | $12.10 | 1.53% | 2 | |
| 2016-11-02 | 2016-11-03 | $12.53 | $12.49 | -1.65% | 2 | |
| 2016-10-28 | 2016-11-01 | $13.33 | $12.72 | -3.27% | 3 | |
| 2016-10-19 | 2016-10-21 | $13.57 | $13.34 | -0.20% | 3 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-09-02 | 2016-09-06 | $13.19 | $13.52 | -1.69% | 2 | |
| 2016-07-19 | 2016-08-23 | $15.02 | $14.99 | -1.66% | 26 | |
| 2016-06-24 | 2016-06-27 | $12.88 | $13.24 | -1.85% | 2 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-05-23 | 2016-05-24 | $14.41 | $14.53 | -2.04% | 2 | |
| 2016-05-05 | 2016-05-06 | $14.10 | $14.33 | -5.15% | 2 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2016-02-12 | 2016-02-16 | $10.07 | $10.34 | 0.18% | 2 | |
| 2016-02-08 | 2016-02-09 | $9.87 | $9.88 | -9.18% | 2 | |
| 2016-02-04 | 2016-02-05 | $11.69 | $10.84 | 0.87% | 2 | |
| 2015-11-19 | 2016-01-05 | $14.79 | $14.90 | 0.86% | 31 |