Strategy Zoo / S0242
VolumeBreakout_V0242
ARCHIVEDbreakoutstructuraladded exit filter: ema_20 < roll_high_20
Fitness
0.1712
Generation
11
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed rel_volume threshold 1.6761 -> 1.5045
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0242 [breakout]
if flat and (breakout_50 == 1 and rel_volume > 1.5045):
position = 1.0
if long and (close < sma_50 or ema_20 < roll_high_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.5% | 0.8% | 4.9% | 2.2% |
| Total Return | 12.2% | 2.4% | 19.3% | 37.1% |
| Sharpe | 0.26 | 0.12 | 0.58 | 0.30 |
| Sortino | 0.11 | 0.05 | 0.12 | 0.10 |
| Calmar | 0.13 | 0.04 | 0.57 | 0.12 |
| Volatility | 6.4% | 11.4% | 8.9% | 8.3% |
| Max DD | -11.1% | -18.3% | -8.6% | -18.3% |
| Win Rate | 43.9% | 50.0% | 75.0% | 49.3% |
| Avg Win | 2.4% | 3.3% | 5.0% | 3.1% |
| Avg Loss | -1.3% | -2.9% | -5.6% | -2.0% |
| Payoff | 1.83 | 1.13 | 0.90 | 1.54 |
| Expectancy | 0.3% | 0.2% | 2.4% | 0.5% |
| Profit Factor | 1.43 | 1.13 | 2.71 | 1.50 |
| Trades | 41 | 22 | 8 | 71 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 10.3 | 14.7 | 4.3 | 9.7 |
| Exposure | 2.0% | 2.9% | 0.9% | 1.9% |
Growth of $100
VolumeBreakout_V0242 vs TSLA Buy & Hold
VolumeBreakout_V0242 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 | -0.2% | -0.01 | -3.4% | 2 |
| 2017 | 1.5% | 0.40 | -2.9% | 9 |
| 2018 | -1.0% | -0.21 | -2.7% | 3 |
| 2019 | 14.6% | 1.37 | -1.0% | 4 |
| 2020 | 8.0% | 0.50 | -13.0% | 14 |
| 2021 | -5.2% | -0.76 | -6.1% | 7 |
| 2022 | -0.0% | -0.02 | -0.1% | 1 |
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 | 10.3% | 1.14 | 4% |
| hidden test | EXTREME | 48 | 1.5% | 0.05 | 4% |
| hidden test | HIGH VOLATILITY | 254 | 8.7% | 0.91 | 1% |
| hidden test | LOW VOLATILITY | 429 | 2.0% | 0.74 | 0% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.0% | 0.51 | 2% |
| hidden test | NORMAL | 800 | 4.8% | 0.79 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 12.9% | 0.92 | 2% |
| train | DOWNTREND | 518 | -0.9% | -1.02 | 0% |
| train | EXPENSIVE | 311 | 5.2% | 0.96 | 4% |
| train | EXTREME | 100 | 15.2% | 0.80 | 6% |
| train | HIGH VOLATILITY | 699 | 6.3% | 0.66 | 2% |
| train | LOW VOLATILITY | 745 | -0.9% | -0.23 | 3% |
| train | MEDIUM VOLATILITY | 568 | -0.7% | -0.20 | 1% |
| train | NORMAL | 1,601 | 0.1% | 0.02 | 1% |
| train | SIDEWAYS | 592 | 0.3% | 0.13 | 0% |
| train | UPTREND | 902 | 4.0% | 0.42 | 4% |
| validation | DOWNTREND | 125 | -0.0% | -0.03 | 1% |
| validation | EXPENSIVE | 138 | 8.1% | 0.66 | 4% |
| validation | EXTREME | 144 | 8.7% | 0.40 | 6% |
| validation | HIGH VOLATILITY | 258 | 11.0% | 0.73 | 2% |
| validation | LOW VOLATILITY | 183 | 2.6% | 0.32 | 3% |
| validation | MEDIUM VOLATILITY | 315 | -7.1% | -0.76 | 3% |
| validation | NORMAL | 474 | -2.7% | -0.55 | 2% |
| validation | SIDEWAYS | 206 | -0.1% | -1.11 | 0% |
| validation | UPTREND | 425 | 2.6% | 0.17 | 5% |
Trades (full period)
71 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -3.28% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-09-20 | $25.01 | $24.93 | -2.77% | 2 | |
| 2017-09-15 | 2017-09-18 | $25.32 | $25.67 | 0.37% | 2 | |
| 2017-06-14 | 2017-06-15 | $25.38 | $25.02 | 1.05% | 2 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -3.29% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 3.23% | 2 | |
| 2015-07-06 | 2015-07-07 | $18.65 | $17.86 | -0.31% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-05-08 | 2015-05-11 | $15.77 | $15.97 | -0.28% | 2 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2015-04-23 | 2015-04-24 | $14.57 | $14.56 | -0.58% | 2 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -3.22% | 2 | |
| 2014-09-03 | 2014-09-04 | $18.75 | $19.07 | -1.23% | 2 | |
| 2014-08-07 | 2014-08-08 | $16.83 | $16.54 | 1.19% | 2 | |
| 2014-06-18 | 2014-06-19 | $15.14 | $15.19 | -2.16% | 2 | |
| 2014-02-26 | 2014-02-27 | $16.87 | $16.84 | 1.81% | 2 | |
| 2014-02-21 | 2014-02-24 | $13.97 | $14.51 | -0.38% | 2 | |
| 2013-08-27 | 2013-08-28 | $11.13 | $11.10 | 1.50% | 2 | |
| 2013-08-09 | 2013-08-12 | $10.20 | $9.83 | -0.51% | 2 | |
| 2013-05-17 | 2013-05-20 | $6.10 | $6.00 | -1.01% | 2 | |
| 2013-05-14 | 2013-05-15 | $5.55 | $5.66 | -5.39% | 2 | |
| 2013-05-10 | 2013-05-13 | $5.12 | $5.85 | 10.39% | 2 | |
| 2013-04-02 | 2013-04-03 | $2.96 | $2.74 | 0.73% | 2 | |
| 2013-01-29 | 2013-01-30 | $2.53 | $2.50 | -0.41% | 2 | |
| 2013-01-25 | 2013-01-28 | $2.47 | $2.54 | -0.23% | 2 | |
| 2012-12-12 | 2012-12-13 | $2.35 | $2.24 | -0.26% | 2 | |
| 2012-12-04 | 2012-12-05 | $2.26 | $2.25 | -2.28% | 2 | |
| 2012-03-27 | 2012-03-28 | $2.53 | $2.52 | 1.24% | 2 | |
| 2012-03-13 | 2012-03-14 | $2.41 | $2.35 | 0.02% | 2 |