Strategy Zoo / S0214
VolumeBreakout_V0214
ARCHIVEDbreakoutparameterchanged rel_volume threshold 1.5045 -> 2.1129
Fitness
0.3956
Generation
10
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.6761 -> 1.5045
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0214 [breakout]
if flat and (breakout_50 == 1 and rel_volume > 2.1129):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.0% | 24.8% | 2.2% | 15.3% |
| Total Return | 274.1% | 94.5% | 8.4% | 711.6% |
| Sharpe | 0.78 | 0.82 | 0.21 | 0.68 |
| Sortino | 0.61 | 0.50 | 0.09 | 0.44 |
| Calmar | 0.53 | 0.73 | 0.09 | 0.45 |
| Volatility | 25.2% | 33.8% | 18.9% | 25.9% |
| Max DD | -34.1% | -33.8% | -23.7% | -34.1% |
| Win Rate | 50.0% | 66.7% | 50.0% | 53.3% |
| Avg Win | 61.7% | 43.8% | 20.9% | 59.8% |
| Avg Loss | -12.3% | -5.9% | -10.4% | -11.1% |
| Payoff | 5.03 | 7.43 | 2.01 | 5.40 |
| Expectancy | 24.7% | 27.2% | 5.3% | 26.7% |
| Profit Factor | 5.03 | 10.00 | 2.01 | 6.17 |
| Trades | 10 | 3 | 2 | 15 |
| Avg Holding Days | 47.2 | 48.3 | 38.5 | 49.4 |
| Turnover | 2.6 | 2.0 | 1.1 | 2.0 |
| Exposure | 25.2% | 18.8% | 8.1% | 19.6% |
Growth of $100
VolumeBreakout_V0214 vs TSLA Buy & Hold
VolumeBreakout_V0214 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 | 18.8% | 0.87 | -14.8% | 2 |
| 2018 | -22.5% | -1.33 | -33.1% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 103.7% | 1.70 | -33.8% | 1 |
| 2021 | -8.0% | -0.10 | -23.9% | 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 | -33.1% | -1.80 | 11% |
| hidden test | EXTREME | 48 | 178.7% | 2.91 | 92% |
| hidden test | HIGH VOLATILITY | 254 | -8.2% | -0.25 | 24% |
| hidden test | LOW VOLATILITY | 429 | 8.3% | 1.30 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | 9.0% | 0.66 | 4% |
| hidden test | NORMAL | 800 | -2.7% | -0.21 | 3% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 10.0% | 0.33 | 20% |
| train | DOWNTREND | 518 | -0.3% | -0.37 | 0% |
| train | EXPENSIVE | 311 | 5.2% | 0.16 | 50% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 37.6% | 1.11 | 26% |
| train | LOW VOLATILITY | 745 | 20.9% | 1.15 | 31% |
| train | MEDIUM VOLATILITY | 568 | -4.1% | -0.20 | 17% |
| train | NORMAL | 1,601 | -2.3% | -0.15 | 16% |
| train | SIDEWAYS | 592 | -3.5% | -0.39 | 2% |
| train | UPTREND | 902 | 46.3% | 1.26 | 55% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 100.6% | 2.52 | 49% |
| validation | EXTREME | 144 | 74.4% | 1.29 | 26% |
| validation | HIGH VOLATILITY | 258 | 11.6% | 0.27 | 14% |
| validation | LOW VOLATILITY | 183 | 1.3% | 0.11 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 56.7% | 1.69 | 29% |
| validation | NORMAL | 474 | -7.4% | -0.40 | 8% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 49.6% | 1.10 | 33% |
Trades (full period)
15 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2024-11-11 | 2025-01-30 | $350.00 | $400.28 | 20.90% | 54 | |
| 2024-07-03 | 2024-08-05 | $246.39 | $198.88 | -10.37% | 23 | |
| 2021-10-26 | 2021-12-14 | $339.48 | $319.50 | -5.89% | 35 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 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 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 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 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.05% | 64 | |
| 2014-06-18 | 2014-09-23 | $15.14 | $16.69 | 7.71% | 68 | |
| 2014-02-26 | 2014-03-28 | $16.87 | $14.16 | -16.57% | 23 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 |