Strategy Zoo / S0259
VolumeBreakout_V0259
ARCHIVEDbreakoutstructuraladded exit filter: sma_200 > roll_low_20
Fitness
0.5793
Generation
12
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0259 [breakout]
if flat and rel_volume > 1.5:
position = 1.0
if long and (close < sma_50 or sma_200 > roll_low_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.9% | 93.2% | 9.8% | 26.0% |
| Total Return | 182.3% | 621.6% | 41.5% | 2863.4% |
| Sharpe | 0.57 | 1.58 | 0.54 | 0.85 |
| Sortino | 0.55 | 1.47 | 0.33 | 0.73 |
| Calmar | 0.24 | 2.37 | 0.33 | 0.44 |
| Volatility | 30.5% | 49.5% | 21.5% | 33.5% |
| Max DD | -58.8% | -39.3% | -29.7% | -58.8% |
| Win Rate | 35.6% | 57.1% | 57.1% | 42.3% |
| Avg Win | 10.0% | 20.0% | 6.2% | 11.6% |
| Avg Loss | -2.7% | -2.9% | -4.4% | -2.9% |
| Payoff | 3.71 | 6.95 | 1.41 | 4.02 |
| Expectancy | 1.8% | 10.2% | 1.7% | 3.3% |
| Profit Factor | 2.05 | 9.27 | 1.88 | 2.95 |
| Trades | 132 | 28 | 28 | 189 |
| Avg Holding Days | 5.5 | 12.5 | 4.3 | 6.5 |
| Turnover | 33.2 | 19.0 | 15.2 | 25.8 |
| Exposure | 30.8% | 42.6% | 9.8% | 27.9% |
Growth of $100
VolumeBreakout_V0259 vs TSLA Buy & Hold
VolumeBreakout_V0259 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 | -24.6% | -2.01 | -25.0% | 23 |
| 2017 | -8.0% | -0.19 | -27.1% | 11 |
| 2018 | -4.2% | -0.02 | -17.9% | 24 |
| 2019 | 24.6% | 1.34 | -9.2% | 21 |
| 2020 | 493.0% | 2.76 | -39.3% | 4 |
| 2021 | 23.2% | 0.76 | -22.9% | 8 |
| 2022 | -5.3% | -0.23 | -14.2% | 16 |
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 | -14.7% | -0.94 | 5% |
| hidden test | EXPENSIVE | 83 | 48.7% | 1.31 | 24% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 23.8% | 0.67 | 26% |
| hidden test | LOW VOLATILITY | 429 | 7.2% | 0.80 | 2% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.0% | 0.39 | 6% |
| hidden test | NORMAL | 800 | -2.2% | -0.17 | 3% |
| hidden test | SIDEWAYS | 293 | 0.2% | 0.03 | 2% |
| hidden test | UPTREND | 371 | 39.7% | 1.29 | 20% |
| train | DOWNTREND | 518 | -12.1% | -0.59 | 9% |
| train | EXPENSIVE | 311 | 34.3% | 0.83 | 70% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 51.3% | 1.23 | 31% |
| train | LOW VOLATILITY | 745 | 14.2% | 0.70 | 35% |
| train | MEDIUM VOLATILITY | 568 | -19.6% | -0.80 | 25% |
| train | NORMAL | 1,601 | -10.6% | -0.49 | 19% |
| train | SIDEWAYS | 592 | 8.7% | 0.50 | 10% |
| train | UPTREND | 902 | 40.4% | 1.00 | 57% |
| validation | DOWNTREND | 125 | 11.8% | 0.73 | 9% |
| validation | EXPENSIVE | 138 | 69.6% | 1.18 | 75% |
| validation | EXTREME | 144 | 321.5% | 3.81 | 90% |
| validation | HIGH VOLATILITY | 258 | 114.9% | 1.68 | 50% |
| validation | LOW VOLATILITY | 183 | 27.2% | 1.41 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 77.7% | 1.81 | 45% |
| validation | NORMAL | 474 | 6.8% | 0.26 | 19% |
| validation | SIDEWAYS | 206 | -11.5% | -0.53 | 8% |
| validation | UPTREND | 425 | 141.2% | 2.23 | 69% |
Trades (full period)
latest 100 of 189
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 3.46% | 2 | |
| 2025-04-03 | 2025-04-04 | $267.28 | $239.43 | -5.67% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2024-10-25 | 2025-01-30 | $269.19 | $400.28 | 49.08% | 65 | |
| 2024-10-14 | 2024-10-15 | $219.16 | $219.57 | 0.42% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 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 | |
| 2024-06-14 | 2024-06-17 | $178.01 | $187.44 | -2.64% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-08 | 2024-04-09 | $172.98 | $176.88 | 4.70% | 2 | |
| 2024-01-26 | 2024-01-29 | $183.25 | $190.93 | 0.14% | 2 | |
| 2023-04-21 | 2023-04-24 | $165.08 | $162.55 | 1.08% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2023-01-04 | 2023-01-05 | $113.64 | $110.34 | 4.92% | 2 | |
| 2022-12-30 | 2023-01-03 | $123.18 | $108.10 | 0.92% | 2 | |
| 2022-12-28 | 2022-12-29 | $112.71 | $121.82 | 3.11% | 2 | |
| 2022-12-23 | 2022-12-27 | $123.15 | $109.10 | -1.95% | 2 | |
| 2022-12-14 | 2022-12-15 | $156.80 | $157.67 | -2.78% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-11-09 | 2022-11-10 | $177.59 | $190.72 | -7.36% | 2 | |
| 2022-10-21 | 2022-10-24 | $214.44 | $211.25 | 3.25% | 2 | |
| 2022-10-04 | 2022-10-05 | $249.44 | $240.81 | 2.70% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.68% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-05-23 | 2022-05-24 | $224.97 | $209.39 | 1.46% | 2 | |
| 2022-05-13 | 2022-05-16 | $256.53 | $241.46 | 5.51% | 2 | |
| 2022-04-29 | 2022-05-02 | $290.25 | $300.98 | -0.97% | 2 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -13.29% | 4 | |
| 2022-02-25 | 2022-02-28 | $269.96 | $290.14 | 0.94% | 2 | |
| 2022-01-28 | 2022-01-31 | $282.12 | $312.24 | 1.88% | 2 | |
| 2022-01-25 | 2022-01-26 | $306.13 | $312.47 | -1.45% | 2 | |
| 2021-09-20 | 2021-12-14 | $243.39 | $319.50 | 26.99% | 61 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-07-28 | 2021-07-29 | $215.66 | $225.78 | 0.14% | 2 | |
| 2021-06-25 | 2021-06-28 | $223.96 | $229.57 | -1.37% | 2 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 5.97% | 2 | |
| 2020-11-18 | 2021-02-23 | $162.21 | $232.95 | 61.49% | 65 | |
| 2020-05-01 | 2020-10-29 | $46.75 | $136.94 | 159.09% | 127 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2019-11-25 | 2020-03-10 | $22.42 | $43.02 | 82.20% | 72 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-04 | 2019-10-07 | $15.43 | $15.85 | -0.89% | 2 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-25 | 2019-09-26 | $15.25 | $16.17 | 2.26% | 2 | |
| 2019-09-12 | 2019-09-13 | $16.39 | $16.35 | -0.70% | 2 | |
| 2019-09-03 | 2019-09-04 | $15.00 | $14.71 | -0.47% | 2 | |
| 2019-07-26 | 2019-07-29 | $15.20 | $15.72 | -0.54% | 2 | |
| 2019-06-07 | 2019-06-10 | $13.63 | $14.19 | -0.90% | 2 | |
| 2019-05-24 | 2019-05-28 | $12.71 | $12.58 | -2.68% | 2 | |
| 2019-05-21 | 2019-05-22 | $13.67 | $12.85 | -0.34% | 2 | |
| 2019-05-03 | 2019-05-06 | $17.00 | $17.02 | 4.27% | 2 | |
| 2019-04-30 | 2019-05-01 | $15.91 | $15.60 | -1.35% | 2 | |
| 2019-04-26 | 2019-04-29 | $15.68 | $16.10 | -5.24% | 2 | |
| 2019-04-05 | 2019-04-08 | $18.33 | $18.21 | 2.48% | 2 | |
| 2019-03-06 | 2019-03-07 | $18.42 | $18.44 | -0.31% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 | |
| 2019-02-28 | 2019-03-01 | $21.33 | $19.65 | 1.43% | 2 | |
| 2019-02-01 | 2019-02-04 | $20.81 | $20.86 | 1.49% | 2 | |
| 2019-01-24 | 2019-01-25 | $19.43 | $19.80 | 1.16% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-12-10 | 2018-12-21 | $24.34 | $21.32 | -12.07% | 10 | |
| 2018-10-26 | 2018-10-29 | $22.06 | $22.32 | 4.89% | 2 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-10-08 | 2018-10-09 | $16.70 | $17.52 | -4.54% | 2 | |
| 2018-10-01 | 2018-10-02 | $20.71 | $20.07 | 17.13% | 2 | |
| 2018-09-19 | 2018-09-20 | $19.93 | $19.89 | 4.73% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-20 | 2018-08-21 | $20.56 | $21.46 | 0.76% | 2 | |
| 2018-08-10 | 2018-08-13 | $23.70 | $23.76 | 0.66% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-06 | 2018-07-09 | $20.59 | $21.23 | -0.28% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 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 | |
| 2018-05-04 | 2018-05-07 | $19.61 | $20.18 | 3.19% | 2 | |
| 2018-04-06 | 2018-04-09 | $19.95 | $19.31 | -2.30% | 2 | |
| 2018-04-04 | 2018-04-05 | $19.13 | $20.38 | 7.05% | 2 | |
| 2018-04-02 | 2018-04-03 | $16.83 | $17.84 | -5.32% | 2 | |
| 2018-03-28 | 2018-03-29 | $17.19 | $17.74 | -7.86% | 2 | |
| 2018-03-13 | 2018-03-14 | $22.79 | $21.78 | -1.26% | 2 | |
| 2018-02-09 | 2018-02-12 | $20.69 | $21.05 | -1.72% | 2 |