Strategy Zoo / S0241

VolumeBreakout_V0241

ARCHIVEDbreakout

structuralreplaced exit rule with: ret_1d < -0.0523; added entry filter: dist_sma_50 > 0.1396

Fitness

0.4592

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0074S0074 · gen 3ARCHIVEDstructural

removed entry condition: rel_volume > 1.0808

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0241  [breakout]
if flat and (breakout_50 == 1 and dist_sma_50 > 0.1396):
    position = 1.0
if long and ret_1d < -0.0523:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	8.1%	58.6%	11.4%	18.0%
Total Return	85.6%	298.6%	49.3%	1036.7%
Sharpe	0.43	1.38	0.55	0.72
Sortino	0.33	1.19	0.34	0.54
Calmar	0.16	1.50	0.38	0.35
Volatility	25.7%	38.9%	25.9%	29.0%
Max DD	-51.9%	-39.0%	-30.4%	-51.9%
Win Rate	47.6%	58.3%	60.0%	53.5%
Avg Win	15.6%	34.3%	14.9%	22.6%
Avg Loss	-8.0%	-10.5%	-9.7%	-9.0%
Payoff	1.94	3.26	1.54	2.51
Expectancy	3.2%	15.6%	5.1%	7.9%
Profit Factor	1.76	4.57	2.31	2.89
Trades	21	12	10	43
Avg Holding Days	29.0	18.1	17.0	23.5
Turnover	5.4	8.0	5.4	5.9
Exposure	29.8%	27.1%	17.2%	26.1%

Growth of $100

VolumeBreakout_V0241 vs TSLA Buy & Hold

VolumeBreakout_V0241 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	-13.3%	-0.57	-26.0%	1
2017	23.2%	1.05	-14.8%	2
2018	-36.3%	-1.91	-41.0%	4
2019	14.0%	0.72	-13.7%	2
2020	339.7%	2.98	-27.6%	6
2021	18.8%	0.75	-17.1%	3
2022	-26.7%	-1.06	-30.0%	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	2.1%	0.97	0%
hidden test	EXPENSIVE	83	112.5%	2.24	75%
hidden test	EXTREME	48	148.2%	3.46	31%
hidden test	HIGH VOLATILITY	254	26.4%	0.82	14%
hidden test	LOW VOLATILITY	429	33.2%	2.12	14%
hidden test	MEDIUM VOLATILITY	248	-31.2%	-0.97	27%
hidden test	NORMAL	800	-4.0%	-0.20	10%
hidden test	SIDEWAYS	293	-9.8%	-0.44	12%
hidden test	UPTREND	371	41.9%	1.17	33%
train	DOWNTREND	518	-2.4%	-0.70	0%
train	EXPENSIVE	311	43.0%	1.19	56%
train	EXTREME	100	213.9%	3.96	69%
train	HIGH VOLATILITY	699	5.2%	0.17	24%
train	LOW VOLATILITY	745	29.3%	1.31	43%
train	MEDIUM VOLATILITY	568	-5.7%	-0.26	20%
train	NORMAL	1,601	-7.8%	-0.40	22%
train	SIDEWAYS	592	-22.8%	-1.33	9%
train	UPTREND	902	41.0%	1.15	60%
validation	DOWNTREND	125	18.7%	1.38	5%
validation	EXPENSIVE	138	43.6%	1.17	33%
validation	EXTREME	144	255.4%	3.83	56%
validation	HIGH VOLATILITY	258	64.0%	1.37	18%
validation	LOW VOLATILITY	183	11.6%	0.55	26%
validation	MEDIUM VOLATILITY	315	69.4%	1.74	36%
validation	NORMAL	474	-4.9%	-0.20	17%
validation	SIDEWAYS	206	-48.2%	-2.28	16%
validation	UPTREND	425	113.1%	2.31	39%

Trades (full period)

43 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-12	2026-06-08	$433.45	$408.95	-12.31%	19
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
2025-05-12	2025-06-06	$318.38	$295.14	-4.73%	19
2024-11-25	2024-12-19	$338.59	$436.17	24.58%	18
2024-10-28	2024-11-13	$262.51	$330.24	21.78%	13
2024-09-26	2024-10-14	$254.22	$219.16	-15.43%	13
2024-07-02	2024-07-12	$231.26	$248.23	14.63%	8
2023-07-05	2023-07-21	$282.48	$260.02	-6.23%	13
2023-06-02	2023-06-22	$213.97	$264.61	24.78%	14
2023-02-08	2023-02-17	$201.29	$208.31	2.45%	8
2022-08-16	2022-09-30	$306.56	$265.25	-13.46%	33
2022-07-22	2022-08-08	$272.24	$290.42	5.85%	12
2022-03-29	2022-04-27	$366.52	$293.84	-19.89%	21
2021-10-19	2021-11-10	$288.09	$355.98	17.39%	17
2021-01-26	2021-02-11	$294.36	$270.55	-8.81%	13
2021-01-04	2021-01-12	$243.26	$283.15	14.73%	7
2020-12-18	2020-12-22	$231.67	$213.45	-1.11%	3
2020-11-19	2020-12-10	$166.42	$209.02	23.97%	15
2020-08-17	2020-09-03	$122.38	$135.67	35.25%	14
2020-05-11	2020-07-27	$54.09	$102.64	72.58%	54
2020-02-20	2020-02-25	$59.96	$53.33	-9.30%	4
2019-12-13	2020-02-06	$23.89	$49.93	103.86%	37
2019-10-25	2019-11-25	$21.88	$22.42	10.92%	22
2019-07-22	2019-07-26	$17.05	$15.20	-11.55%	5
2018-11-19	2018-12-21	$23.56	$21.32	-11.17%	23
2018-10-30	2018-11-13	$21.99	$22.58	-1.27%	11
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-13	2018-07-05	$22.99	$20.61	-9.49%	16
2017-04-04	2017-07-06	$20.25	$20.59	9.35%	65
2017-01-05	2017-02-24	$15.12	$17.13	12.55%	35
2016-03-18	2016-06-23	$15.52	$13.09	-13.30%	68
2015-04-28	2015-07-22	$15.37	$17.86	14.98%	60
2014-06-24	2014-09-16	$15.50	$17.38	6.80%	59
2014-01-22	2014-04-07	$11.90	$13.83	19.88%	53
2013-08-09	2013-10-03	$10.20	$11.55	17.66%	39
2013-07-30	2013-08-08	$8.78	$10.23	-0.49%	8
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-05-10	2013-06-03	$5.12	$6.17	40.60%	16
2013-04-17	2013-05-08	$3.03	$3.72	21.52%	16
2013-04-02	2013-04-04	$2.96	$2.80	-6.63%	3
2012-12-04	2013-02-22	$2.26	$2.41	1.35%	55
2012-07-17	2012-07-18	$2.22	$2.14	-7.45%	2
2012-02-21	2012-04-05	$2.30	$2.30	-0.12%	33