Strategy Zoo / S0213
VolumeBreakout_V0213
ARCHIVEDbreakoutstructuralrestricted to trend regimes ['UPTREND']
Fitness
0.5572
Generation
10
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['UPTREND', 'SIDEWAYS']
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0213 [breakout]
require regime.trend in ['UPTREND']
if flat and (breakout_50 == 1 and rel_volume > 1.5045):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.8% | 73.1% | 10.4% | 24.5% |
| Total Return | 223.2% | 418.7% | 44.4% | 2391.5% |
| Sharpe | 0.70 | 1.42 | 0.53 | 0.86 |
| Sortino | 0.54 | 1.18 | 0.34 | 0.63 |
| Calmar | 0.40 | 1.84 | 0.36 | 0.62 |
| Volatility | 25.5% | 46.4% | 24.5% | 30.8% |
| Max DD | -39.4% | -39.7% | -29.0% | -39.7% |
| Win Rate | 33.3% | 100.0% | 66.7% | 52.6% |
| Avg Win | 73.0% | 53.0% | 22.8% | 61.1% |
| Avg Loss | -7.6% | 0.0% | -1.2% | -6.9% |
| Payoff | 9.54 | 5.00 | 10.00 | 8.81 |
| Expectancy | 19.2% | 53.0% | 14.8% | 28.9% |
| Profit Factor | 4.77 | 5.00 | 10.00 | 9.79 |
| Trades | 12 | 4 | 3 | 19 |
| Avg Holding Days | 35.7 | 67.5 | 44.3 | 46.2 |
| Turnover | 3.1 | 2.7 | 1.6 | 2.6 |
| Exposure | 23.0% | 35.2% | 14.0% | 23.2% |
Growth of $100
VolumeBreakout_V0213 vs TSLA Buy & Hold
VolumeBreakout_V0213 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 | -10.1% | -0.95 | -16.2% | 1 |
| 2017 | 6.2% | 0.37 | -23.8% | 3 |
| 2018 | -19.7% | -1.92 | -19.7% | 1 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 301.6% | 2.31 | -39.7% | 2 |
| 2021 | 24.1% | 0.78 | -22.4% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 19.0% | 2.10 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | 4.5% | 0.17 | 18% |
| hidden test | NORMAL | 800 | -1.9% | -0.13 | 3% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 32.4% | 0.83 | 35% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 18.0% | 0.52 | 56% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 43.6% | 1.29 | 24% |
| train | LOW VOLATILITY | 745 | 15.4% | 0.84 | 26% |
| train | MEDIUM VOLATILITY | 568 | -10.5% | -0.49 | 18% |
| train | NORMAL | 1,601 | -7.0% | -0.49 | 12% |
| train | SIDEWAYS | 592 | -5.8% | -0.89 | 0% |
| train | UPTREND | 902 | 43.7% | 1.16 | 51% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| 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 | 20.0% | 1.22 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 66.4% | 1.74 | 39% |
| validation | NORMAL | 474 | 9.1% | 0.42 | 13% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 116.8% | 1.89 | 63% |
Trades (full period)
19 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 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 | |
| 2021-09-20 | 2021-12-14 | $243.39 | $319.50 | 26.99% | 61 | |
| 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 | |
| 2017-09-19 | 2017-09-26 | $25.01 | $23.02 | -10.57% | 6 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2017-01-05 | 2017-03-09 | $15.12 | $16.33 | 8.54% | 44 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2015-06-18 | 2015-07-28 | $17.46 | $17.65 | -3.04% | 28 | |
| 2014-08-07 | 2014-09-23 | $16.83 | $16.69 | 0.24% | 33 | |
| 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 | |
| 2013-01-25 | 2013-02-22 | $2.47 | $2.41 | -5.14% | 20 | |
| 2012-12-04 | 2012-12-14 | $2.26 | $2.25 | -3.11% | 9 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -8.13% | 20 |