Strategy Zoo / S0255

VolumeBreakout_V0255

ARCHIVEDhybrid

structuraladded entry filter: sma_100 > close

Fitness

0.1637

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0185S0185 · gen 9ARCHIVEDstructural

entry = VolumeBreakout_V0146 OR MACDMomentum_V0101

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0255  [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_100 > close):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.4%	3.5%	-0.5%	0.8%
Total Return	3.6%	11.0%	-1.7%	13.1%
Sharpe	0.10	0.42	-0.09	0.15
Sortino	0.03	0.16	-0.02	0.05
Calmar	0.03	0.34	-0.10	0.05
Volatility	7.1%	9.2%	4.2%	7.0%
Max DD	-17.1%	-10.6%	-4.5%	-17.1%
Win Rate	40.0%	33.3%	0.0%	33.3%
Avg Win	6.9%	13.0%	0.0%	8.9%
Avg Loss	-3.2%	-0.9%	-1.7%	-2.2%
Payoff	2.19	10.00	0.00	4.15
Expectancy	0.9%	3.7%	-1.7%	1.5%
Profit Factor	1.46	7.23	0.00	2.08
Trades	5	3	1	9
Avg Holding Days	13.8	10.0	20.0	13.2
Turnover	1.3	2.0	0.5	1.2
Exposure	3.2%	3.6%	2.0%	3.0%

Growth of $100

VolumeBreakout_V0255 vs TSLA Buy & Hold

VolumeBreakout_V0255 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	2.4%	0.45	-3.8%	1
2017	-1.3%	-0.23	-5.4%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	-1.8%	-0.26	-6.4%	2
2022	13.1%	0.90	-10.6%	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	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	429	-0.8%	-0.13	4%
hidden test	MEDIUM VOLATILITY	248	0.0%	0.00	0%
hidden test	NORMAL	800	-0.4%	-0.09	2%
hidden test	SIDEWAYS	293	-1.2%	-0.15	6%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	-1.0%	-0.73	0%
train	EXPENSIVE	311	5.0%	0.69	4%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.7%	0.11	2%
train	LOW VOLATILITY	745	3.3%	0.41	6%
train	MEDIUM VOLATILITY	568	-2.8%	-0.41	2%
train	NORMAL	1,601	-0.1%	-0.01	3%
train	SIDEWAYS	592	2.1%	0.18	7%
train	UPTREND	902	0.7%	0.16	2%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	0.1%	0.01	6%
validation	MEDIUM VOLATILITY	315	9.3%	0.70	5%
validation	NORMAL	474	6.2%	0.53	6%
validation	SIDEWAYS	206	20.8%	1.42	11%
validation	UPTREND	425	-3.1%	-0.45	1%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2023-11-16	2023-12-14	$233.59	$251.05	-1.66%	20
2022-03-21	2022-04-11	$307.05	$325.31	13.04%	16
2021-06-24	2021-07-12	$226.61	$228.57	-0.14%	12
2021-04-28	2021-04-29	$231.47	$225.67	-1.67%	2
2017-12-12	2017-12-26	$22.74	$21.15	-1.32%	10
2016-07-22	2016-08-09	$14.82	$15.27	2.36%	13
2014-06-10	2014-07-07	$13.49	$14.84	11.44%	19
2013-12-18	2014-01-10	$9.87	$9.71	-3.43%	16
2012-06-19	2012-07-03	$2.14	$2.04	-4.71%	11