Strategy Zoo / S0245

VolumeBreakout_V0245

ARCHIVEDhybrid

crossoverentry from VolumeBreakout_V0189, exit from LongTermTrend_V0219

Fitness

0.6519

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

VolumeBreakout_V0189S0189 · gen 9ARCHIVEDcrossover

changed rel_volume threshold 1.0808 -> 1.3829

LongTermTrend_V0219S0219 · gen 10ARCHIVEDcrossover

swapped indicator cumret_252d -> ret_20d

Children (3)

LongTermTrend_V0268S0268 · gen 13ARCHIVEDcrossover

VolumeBreakout_V0273S0273 · gen 13ARCHIVEDcrossover

VolumeBreakout_V0279S0279 · gen 13ARCHIVEDstructural

Strategy Logic (pseudocode)

# VolumeBreakout_V0245  [hybrid]
if flat and (breakout_50 == 1 and rel_volume > 1.3829):
    position = 1.0
if long and ret_20d < -0.03:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.7%	92.3%	11.9%	27.5%
Total Return	220.4%	611.1%	51.4%	3452.7%
Sharpe	0.68	1.71	0.56	0.94
Sortino	0.57	1.42	0.38	0.73
Calmar	0.38	2.74	0.46	0.67
Volatility	26.4%	43.9%	26.4%	30.8%
Max DD	-41.1%	-33.7%	-25.8%	-41.1%
Win Rate	47.1%	100.0%	80.0%	64.3%
Avg Win	27.0%	41.6%	15.1%	33.4%
Avg Loss	-7.8%	0.0%	-9.1%	-7.9%
Payoff	3.47	5.00	1.67	4.22
Expectancy	8.6%	41.6%	10.3%	18.7%
Profit Factor	3.08	5.00	6.67	7.60
Trades	17	6	5	28
Avg Holding Days	31.5	46.7	34.4	37.0
Turnover	4.4	4.0	2.7	3.8
Exposure	28.1%	36.2%	17.9%	27.2%

Growth of $100

VolumeBreakout_V0245 vs TSLA Buy & Hold

VolumeBreakout_V0245 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	-8.7%	-0.86	-15.0%	1
2017	-0.2%	0.11	-23.5%	4
2018	-23.1%	-1.30	-33.6%	2
2019	39.5%	2.02	-8.5%	0
2020	264.5%	2.29	-33.7%	3
2021	77.2%	1.87	-17.6%	2
2022	5.8%	0.45	-8.2%	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	59.4%	1.17	71%
hidden test	EXTREME	48	195.3%	3.47	69%
hidden test	HIGH VOLATILITY	254	15.7%	0.44	24%
hidden test	LOW VOLATILITY	429	18.3%	1.16	13%
hidden test	MEDIUM VOLATILITY	248	7.4%	0.25	21%
hidden test	NORMAL	800	-0.8%	-0.04	9%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	36.9%	0.88	45%
train	DOWNTREND	518	-0.6%	-0.63	1%
train	EXPENSIVE	311	20.9%	0.61	54%
train	EXTREME	100	378.9%	5.20	95%
train	HIGH VOLATILITY	699	38.4%	1.10	27%
train	LOW VOLATILITY	745	26.4%	1.29	37%
train	MEDIUM VOLATILITY	568	-18.1%	-0.87	17%
train	NORMAL	1,601	-5.1%	-0.30	19%
train	SIDEWAYS	592	-8.6%	-0.74	5%
train	UPTREND	902	46.1%	1.21	59%
validation	DOWNTREND	125	18.7%	1.38	5%
validation	EXPENSIVE	138	59.8%	1.11	52%
validation	EXTREME	144	235.1%	3.16	64%
validation	HIGH VOLATILITY	258	72.4%	1.19	31%
validation	LOW VOLATILITY	183	33.1%	1.66	40%
validation	MEDIUM VOLATILITY	315	101.7%	2.74	38%
validation	NORMAL	474	30.9%	1.35	23%
validation	SIDEWAYS	206	-3.7%	-0.30	8%
validation	UPTREND	425	129.8%	2.27	59%

Trades (full period)

28 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-16	2026-01-07	$489.88	$431.41	-9.09%	15
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
2024-10-28	2025-01-14	$262.51	$396.36	49.52%	53
2024-07-02	2024-08-02	$231.26	$207.67	3.14%	23
2023-06-12	2023-08-02	$249.83	$254.11	6.61%	36
2022-07-22	2022-08-29	$272.24	$284.82	5.82%	27
2021-08-03	2021-12-01	$236.58	$365.00	60.99%	85
2020-11-19	2021-02-11	$166.42	$270.55	65.06%	57
2020-08-18	2020-09-24	$125.81	$129.26	3.40%	27
2020-06-11	2020-08-10	$64.86	$94.57	41.43%	42
2019-10-25	2020-03-04	$21.88	$49.97	148.29%	89
2018-08-08	2018-08-31	$24.69	$20.11	-20.30%	18
2018-06-07	2018-07-06	$21.07	$20.59	-3.43%	21
2017-09-15	2017-09-29	$25.32	$22.74	-10.25%	11
2017-06-01	2017-07-06	$22.69	$20.59	-4.27%	25
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2016-12-28	2017-03-08	$14.65	$16.46	13.01%	48
2016-04-05	2016-05-04	$17.03	$14.84	-6.12%	22
2015-12-31	2016-01-05	$16.00	$14.90	-6.35%	3
2015-04-23	2015-07-28	$14.57	$17.65	15.07%	67
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-18	2014-07-17	$15.14	$14.36	-6.45%	21
2014-02-21	2014-03-26	$13.97	$14.20	4.78%	24
2013-07-03	2013-10-22	$7.68	$11.44	46.20%	78
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2013-01-24	2013-02-26	$2.47	$2.30	-4.69%	23
2012-11-29	2013-01-11	$2.25	$2.19	0.70%	30
2012-03-13	2012-04-10	$2.41	$2.16	-8.13%	20