Strategy Zoo / S0222
VolumeBreakout_V0222
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0185 AND SMACross_50_200_V0006
Fitness
0.6129
Generation
11
Complexity
13
Created
2026-09-18
Lineage
Parents (2)
seed strategy
entry = VolumeBreakout_V0146 OR MACDMomentum_V0101
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0222 [hybrid]
require regime.trend in ['UPTREND', 'SIDEWAYS']
if flat and (((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)) and sma_50 > sma_200):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.6% | 82.8% | 0.9% | 21.1% |
| Total Return | 157.3% | 510.5% | 3.3% | 1569.8% |
| Sharpe | 0.59 | 1.66 | 0.15 | 0.81 |
| Sortino | 0.47 | 1.59 | 0.10 | 0.66 |
| Calmar | 0.28 | 3.58 | 0.03 | 0.47 |
| Volatility | 25.7% | 41.4% | 22.0% | 28.9% |
| Max DD | -45.0% | -23.1% | -30.4% | -45.0% |
| Win Rate | 40.0% | 47.4% | 35.7% | 41.1% |
| Avg Win | 16.9% | 28.6% | 9.3% | 20.4% |
| Avg Loss | -5.2% | -3.3% | -4.3% | -4.5% |
| Payoff | 3.26 | 8.69 | 2.18 | 4.48 |
| Expectancy | 3.6% | 11.8% | 0.6% | 5.7% |
| Profit Factor | 2.17 | 7.82 | 1.21 | 3.13 |
| Trades | 40 | 19 | 14 | 73 |
| Avg Holding Days | 12.0 | 13.5 | 12.3 | 12.6 |
| Turnover | 10.1 | 12.7 | 7.6 | 9.9 |
| Exposure | 22.4% | 31.5% | 17.0% | 22.9% |
Growth of $100
VolumeBreakout_V0222 vs TSLA Buy & Hold
VolumeBreakout_V0222 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 | -4.3% | -0.51 | -8.7% | 2 |
| 2017 | 2.5% | 0.22 | -17.9% | 11 |
| 2018 | -17.0% | -1.01 | -23.4% | 2 |
| 2019 | 13.0% | 0.77 | -13.1% | 2 |
| 2020 | 339.6% | 2.74 | -23.1% | 9 |
| 2021 | 30.4% | 1.04 | -16.8% | 7 |
| 2022 | -6.9% | -0.30 | -17.6% | 3 |
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 | 29.4% | 0.74 | 36% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 25.6% | 0.90 | 16% |
| hidden test | LOW VOLATILITY | 429 | 6.9% | 0.44 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | -25.9% | -1.09 | 19% |
| hidden test | NORMAL | 800 | -6.9% | -0.41 | 14% |
| hidden test | SIDEWAYS | 293 | -14.5% | -0.75 | 20% |
| hidden test | UPTREND | 371 | 19.6% | 0.65 | 27% |
| train | DOWNTREND | 518 | -1.0% | -0.77 | 0% |
| train | EXPENSIVE | 311 | 38.4% | 1.15 | 50% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 34.2% | 0.95 | 24% |
| train | LOW VOLATILITY | 745 | 14.0% | 0.84 | 25% |
| train | MEDIUM VOLATILITY | 568 | -7.1% | -0.36 | 17% |
| train | NORMAL | 1,601 | -6.6% | -0.38 | 14% |
| train | SIDEWAYS | 592 | 3.7% | 0.22 | 17% |
| train | UPTREND | 902 | 31.7% | 0.89 | 38% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 70.4% | 1.82 | 37% |
| validation | EXTREME | 144 | 252.5% | 3.45 | 66% |
| validation | HIGH VOLATILITY | 258 | 86.0% | 1.54 | 30% |
| validation | LOW VOLATILITY | 183 | 34.2% | 1.91 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 74.7% | 2.02 | 34% |
| validation | NORMAL | 474 | 12.5% | 0.50 | 19% |
| validation | SIDEWAYS | 206 | 16.5% | 0.68 | 21% |
| validation | UPTREND | 425 | 114.3% | 2.18 | 46% |
Trades (full period)
73 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-17 | 2025-10-06 | $425.86 | $453.25 | 1.74% | 14 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 4.34% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -2.90% | 12 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-06-24 | 2021-07-12 | $226.61 | $228.57 | -0.14% | 12 | |
| 2021-04-14 | 2021-04-29 | $244.08 | $225.67 | -9.10% | 12 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 21.28% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 122.76% | 49 | |
| 2019-11-06 | 2019-11-21 | $21.77 | $23.66 | 10.81% | 12 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -12.56% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-10-12 | 2017-10-23 | $23.71 | $22.47 | -2.87% | 8 | |
| 2017-09-12 | 2017-09-25 | $24.18 | $23.00 | -3.66% | 10 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-07-25 | 2017-08-02 | $22.64 | $21.73 | -6.89% | 7 | |
| 2017-05-31 | 2017-06-27 | $22.73 | $24.16 | 12.43% | 20 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-17 | 2017-04-21 | $17.43 | $20.37 | 15.21% | 25 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-02-01 | 2017-02-02 | $16.62 | $16.77 | -1.27% | 2 | |
| 2016-07-22 | 2016-08-09 | $14.82 | $15.27 | 2.36% | 13 | |
| 2016-06-08 | 2016-06-16 | $15.70 | $14.53 | -6.49% | 7 | |
| 2015-09-16 | 2015-09-30 | $17.48 | $16.56 | -2.92% | 11 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2014-11-12 | 2014-12-01 | $16.61 | $15.44 | -2.81% | 13 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-07-31 | 2014-08-25 | $14.89 | $17.50 | 11.94% | 18 | |
| 2014-05-28 | 2014-07-07 | $14.02 | $14.84 | 8.14% | 28 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-01-15 | 2014-02-06 | $10.94 | $11.89 | 7.94% | 16 | |
| 2013-12-18 | 2014-01-10 | $9.87 | $9.71 | -3.43% | 16 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-03-27 | 2013-06-04 | $2.54 | $6.32 | 144.07% | 48 | |
| 2013-03-08 | 2013-03-18 | $2.56 | $2.34 | -7.87% | 7 | |
| 2013-01-23 | 2013-02-14 | $2.40 | $2.55 | 9.05% | 17 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-01-31 | 2012-02-29 | $1.94 | $2.23 | 14.11% | 21 |