Strategy Zoo / S0257
VolumeBreakout_V0257
ARCHIVEDhybridstructuralswapped indicator ret_20d -> cumret_252d; changed vol_chg threshold 1.1148 -> 1.6004
Fitness
0.5628
Generation
12
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
entry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0257 [hybrid]
if flat and (vol_chg > 1.6004 or ret_20d > 0.05):
position = 1.0
if long and cumret_252d < -0.0311:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.1% | 103.6% | 1.8% | 27.4% |
| Total Return | 276.8% | 743.4% | 6.8% | 3394.6% |
| Sharpe | 0.60 | 1.37 | 0.27 | 0.73 |
| Sortino | 0.75 | 1.93 | 0.34 | 0.93 |
| Calmar | 0.32 | 1.71 | 0.03 | 0.45 |
| Volatility | 41.8% | 69.3% | 47.1% | 49.9% |
| Max DD | -57.0% | -60.6% | -55.4% | -60.6% |
| Win Rate | 41.1% | 100.0% | 56.7% | 47.0% |
| Avg Win | 15.6% | 743.4% | 3.8% | 21.1% |
| Avg Loss | -3.3% | 0.0% | -4.4% | -3.6% |
| Payoff | 4.73 | 5.00 | 0.88 | 5.85 |
| Expectancy | 4.5% | 743.4% | 0.3% | 8.0% |
| Profit Factor | 3.30 | 5.00 | 1.15 | 5.20 |
| Trades | 107 | 1 | 60 | 168 |
| Avg Holding Days | 14.0 | 694.0 | 11.4 | 17.2 |
| Turnover | 26.9 | 0.7 | 32.5 | 22.9 |
| Exposure | 69.8% | 91.7% | 67.3% | 73.7% |
Growth of $100
VolumeBreakout_V0257 vs TSLA Buy & Hold
VolumeBreakout_V0257 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 | -19.1% | -0.87 | -28.0% | 27 |
| 2017 | 43.6% | 1.20 | -22.3% | 0 |
| 2018 | -16.3% | -0.31 | -39.3% | 22 |
| 2019 | -13.6% | -0.31 | -38.6% | 41 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 44.7% | 0.94 | -36.2% | 0 |
| 2022 | -39.6% | -0.62 | -47.7% | 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 | -3.7% | -0.07 | 53% |
| hidden test | EXPENSIVE | 83 | 69.0% | 1.17 | 99% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 40.3% | 0.62 | 68% |
| hidden test | LOW VOLATILITY | 429 | 35.4% | 1.06 | 66% |
| hidden test | MEDIUM VOLATILITY | 248 | -54.3% | -1.20 | 69% |
| hidden test | NORMAL | 800 | -3.3% | -0.07 | 62% |
| hidden test | SIDEWAYS | 293 | -45.6% | -1.12 | 66% |
| hidden test | UPTREND | 371 | 71.0% | 1.47 | 79% |
| train | DOWNTREND | 518 | -43.0% | -1.33 | 37% |
| train | EXPENSIVE | 311 | 92.8% | 1.79 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 44.2% | 0.83 | 59% |
| train | LOW VOLATILITY | 745 | 33.5% | 1.16 | 75% |
| train | MEDIUM VOLATILITY | 568 | -8.8% | -0.22 | 76% |
| train | NORMAL | 1,601 | -12.3% | -0.34 | 62% |
| train | SIDEWAYS | 592 | 20.1% | 0.50 | 68% |
| train | UPTREND | 902 | 67.9% | 1.44 | 89% |
| validation | DOWNTREND | 125 | 13.4% | 0.27 | 53% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 120.8% | 1.27 | 90% |
| validation | LOW VOLATILITY | 183 | 55.7% | 1.54 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 96.9% | 1.67 | 88% |
| validation | NORMAL | 474 | 10.5% | 0.18 | 87% |
| validation | SIDEWAYS | 206 | -37.6% | -0.61 | 99% |
| validation | UPTREND | 425 | 183.5% | 2.38 | 100% |
Trades (full period)
latest 100 of 168
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-17 | 2026-09-18 | $366.20 | $363.40 | 2.07% | 2 | |
| 2026-08-21 | 2026-09-16 | $362.86 | $358.08 | 3.12% | 18 | |
| 2024-10-25 | 2026-07-24 | $269.19 | $313.03 | 22.49% | 436 | |
| 2024-10-10 | 2024-10-11 | $238.77 | $217.80 | -1.14% | 2 | |
| 2024-10-08 | 2024-10-09 | $244.50 | $241.05 | 1.32% | 2 | |
| 2024-09-24 | 2024-10-07 | $254.27 | $240.83 | -0.17% | 10 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.54% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 4.37% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-10 | 2024-07-12 | $263.26 | $248.23 | -8.30% | 3 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-04-30 | 2024-05-23 | $183.28 | $173.74 | -7.37% | 18 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-06 | $199.40 | $176.54 | -6.03% | 8 | |
| 2023-11-17 | 2024-02-06 | $234.30 | $185.10 | -22.64% | 54 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-06-09 | 2023-08-01 | $244.40 | $261.07 | 13.64% | 36 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-03 | 2023-03-06 | $197.79 | $193.81 | 3.41% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2019-12-17 | 2022-10-04 | $25.27 | $249.44 | 851.17% | 705 | |
| 2019-12-09 | 2019-12-10 | $22.64 | $23.26 | 0.88% | 2 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-11-12 | 2019-11-27 | $23.33 | $22.09 | -4.88% | 12 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-11-06 | 2019-11-07 | $21.77 | $22.37 | 2.75% | 2 | |
| 2019-11-04 | 2019-11-05 | $21.16 | $21.15 | 1.13% | 2 | |
| 2019-10-31 | 2019-11-01 | $20.99 | $20.89 | -0.23% | 2 | |
| 2019-10-23 | 2019-10-30 | $16.98 | $21.00 | 23.48% | 6 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-10-15 | 2019-10-18 | $17.19 | $17.13 | 1.75% | 4 | |
| 2019-10-02 | 2019-10-03 | $16.21 | $15.54 | -0.84% | 2 | |
| 2019-09-30 | 2019-10-01 | $16.06 | $16.31 | -0.72% | 2 | |
| 2019-09-26 | 2019-09-27 | $16.17 | $16.14 | 5.85% | 2 | |
| 2019-09-24 | 2019-09-25 | $14.88 | $15.25 | -7.66% | 2 | |
| 2019-09-20 | 2019-09-23 | $16.04 | $16.08 | -2.62% | 2 | |
| 2019-09-18 | 2019-09-19 | $16.23 | $16.44 | -0.73% | 2 | |
| 2019-09-16 | 2019-09-17 | $16.19 | $16.32 | -1.17% | 2 | |
| 2019-09-12 | 2019-09-13 | $16.39 | $16.35 | -0.70% | 2 | |
| 2019-08-01 | 2019-08-02 | $15.59 | $15.62 | -3.41% | 2 | |
| 2019-07-30 | 2019-07-31 | $16.15 | $16.11 | 2.55% | 2 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-23 | 2019-07-24 | $17.34 | $17.66 | 1.55% | 2 | |
| 2019-07-19 | 2019-07-22 | $17.21 | $17.05 | 1.63% | 2 | |
| 2019-07-17 | 2019-07-18 | $16.99 | $16.90 | 0.78% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 3.23% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.33% | 2 | |
| 2019-07-09 | 2019-07-10 | $15.34 | $15.93 | -0.32% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-28 | 2019-07-01 | $14.90 | $15.14 | 0.08% | 2 | |
| 2019-06-26 | 2019-06-27 | $14.62 | $14.86 | -0.42% | 2 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-05-24 | 2019-05-28 | $12.71 | $12.58 | -2.68% | 2 | |
| 2019-04-26 | 2019-04-29 | $15.68 | $16.10 | -5.24% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 |