Strategy Zoo / S0236

VolumeBreakout_V0236

ARCHIVEDbreakout

parameterchanged rel_volume threshold 1.5045 -> 1.868; changed rel_volume threshold 1.868 -> 2.4197

Fitness

0.3250

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0138S0138 · gen 6ARCHIVEDparameter

changed rel_volume threshold 1.6761 -> 1.5045

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0236  [breakout]
if flat and (breakout_50 == 1 and rel_volume > 2.4197):
    position = 1.0
if long and close < sma_50:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	16.7%	10.8%	-2.9%	10.5%
Total Return	243.0%	36.2%	-10.4%	331.0%
Sharpe	0.75	0.48	-0.20	0.53
Sortino	0.55	0.26	-0.04	0.31
Calmar	0.45	0.28	-0.14	0.25
Volatility	24.6%	32.0%	11.5%	23.9%
Max DD	-36.8%	-39.1%	-21.2%	-42.7%
Win Rate	44.4%	66.7%	0.0%	46.2%
Avg Win	74.8%	21.8%	0.0%	67.4%
Avg Loss	-12.3%	-5.9%	-10.4%	-11.1%
Payoff	6.11	3.70	0.00	6.08
Expectancy	26.4%	12.6%	-10.4%	25.1%
Profit Factor	4.88	7.40	0.00	5.21
Trades	9	3	1	13
Avg Holding Days	45.3	41.3	23.0	46.3
Turnover	2.4	2.0	0.5	1.8
Exposure	22.1%	16.0%	2.4%	15.9%

Growth of $100

VolumeBreakout_V0236 vs TSLA Buy & Hold

VolumeBreakout_V0236 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	42.8%	1.02	-39.1%	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	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-21.4%	-1.04	7%
hidden test	LOW VOLATILITY	429	0.0%	0.00	0%
hidden test	MEDIUM VOLATILITY	248	13.4%	1.72	2%
hidden test	NORMAL	800	-2.7%	-0.21	3%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	-5.7%	-0.32	6%
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	14.8%	0.89	23%
train	MEDIUM VOLATILITY	568	-0.6%	-0.03	16%
train	NORMAL	1,601	-3.9%	-0.28	12%
train	SIDEWAYS	592	-4.4%	-0.51	1%
train	UPTREND	902	44.1%	1.22	48%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	47.5%	1.47	36%
validation	EXTREME	144	59.7%	1.05	24%
validation	HIGH VOLATILITY	258	11.6%	0.27	14%
validation	LOW VOLATILITY	183	1.3%	0.11	8%
validation	MEDIUM VOLATILITY	315	26.7%	0.92	23%
validation	NORMAL	474	-7.4%	-0.40	8%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	27.4%	0.64	28%

Trades (full period)

13 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
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
2020-12-21	2021-02-23	$216.62	$232.95	2.59%	43
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
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