Strategy Zoo / S0270
VolumeBreakout_V0270
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0246 AND VolumeBreakout_V0113
Fitness
0.5724
Generation
13
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
swapped indicator rel_volume -> vol_chg
entry from VolumeBreakout_V0074, exit from VolumeBreakout_V0185
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0270 [hybrid]
if flat and (breakout_50 == 1 and vol_chg > 1.1148):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.6% | 61.2% | 14.0% | 21.8% |
| Total Return | 158.1% | 319.0% | 62.2% | 1705.9% |
| Sharpe | 0.68 | 1.55 | 0.83 | 0.96 |
| Sortino | 0.47 | 1.04 | 0.39 | 0.59 |
| Calmar | 0.43 | 2.97 | 0.77 | 0.75 |
| Volatility | 20.3% | 34.6% | 17.7% | 23.4% |
| Max DD | -29.1% | -20.6% | -18.2% | -29.1% |
| Win Rate | 56.5% | 75.0% | 100.0% | 65.7% |
| Avg Win | 14.9% | 32.2% | 13.1% | 19.6% |
| Avg Loss | -5.7% | -7.3% | 0.0% | -6.0% |
| Payoff | 2.59 | 4.43 | 5.00 | 3.27 |
| Expectancy | 5.9% | 22.3% | 13.1% | 10.8% |
| Profit Factor | 3.37 | 10.00 | 5.00 | 6.26 |
| Trades | 23 | 8 | 4 | 35 |
| Avg Holding Days | 12.6 | 16.6 | 16.3 | 14.2 |
| Turnover | 5.9 | 5.3 | 2.2 | 4.8 |
| Exposure | 13.6% | 16.5% | 6.6% | 12.5% |
Growth of $100
VolumeBreakout_V0270 vs TSLA Buy & Hold
VolumeBreakout_V0270 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 | 2.9% | 0.43 | -6.6% | 1 |
| 2017 | 15.7% | 1.19 | -5.0% | 5 |
| 2018 | -13.5% | -0.73 | -29.1% | 3 |
| 2019 | 21.3% | 1.55 | -4.5% | 1 |
| 2020 | 202.2% | 2.34 | -20.6% | 6 |
| 2021 | 38.0% | 1.35 | -16.8% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 44.0% | 1.14 | 35% |
| hidden test | EXTREME | 48 | 126.8% | 2.89 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 13.3% | 0.51 | 13% |
| hidden test | LOW VOLATILITY | 429 | 15.4% | 1.83 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | 14.7% | 0.79 | 6% |
| hidden test | NORMAL | 800 | 4.8% | 0.50 | 2% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 36.7% | 1.31 | 16% |
| train | DOWNTREND | 518 | -0.6% | -0.63 | 1% |
| train | EXPENSIVE | 311 | 29.7% | 1.27 | 24% |
| train | EXTREME | 100 | 205.5% | 3.21 | 52% |
| train | HIGH VOLATILITY | 699 | 26.7% | 0.91 | 18% |
| train | LOW VOLATILITY | 745 | 3.9% | 0.31 | 16% |
| train | MEDIUM VOLATILITY | 568 | 11.1% | 0.78 | 5% |
| train | NORMAL | 1,601 | -1.2% | -0.10 | 9% |
| train | SIDEWAYS | 592 | 1.3% | 0.13 | 5% |
| train | UPTREND | 902 | 30.4% | 1.04 | 27% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 56.4% | 1.63 | 31% |
| validation | EXTREME | 144 | 192.6% | 2.96 | 47% |
| validation | HIGH VOLATILITY | 258 | 70.1% | 1.46 | 19% |
| validation | LOW VOLATILITY | 183 | 17.1% | 1.90 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 61.4% | 2.00 | 22% |
| validation | NORMAL | 474 | 10.6% | 0.67 | 3% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 95.4% | 2.08 | 29% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 4.62% | 15 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-10-28 | 2024-11-29 | $262.51 | $345.16 | 23.41% | 24 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2021-10-22 | 2021-11-11 | $303.23 | $354.50 | 19.22% | 15 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-21 | 2020-12-23 | $216.62 | $215.33 | -8.06% | 3 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-11 | 2020-06-25 | $64.86 | $65.73 | -6.46% | 11 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 97.58% | 45 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2018-10-30 | 2018-11-21 | $21.99 | $22.55 | 3.57% | 17 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2017-06-01 | 2017-06-27 | $22.69 | $24.16 | 10.48% | 19 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-01-20 | 2017-02-02 | $16.32 | $16.77 | 2.04% | 10 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-04-23 | 2015-05-22 | $14.57 | $16.52 | 11.71% | 22 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -1.24% | 13 | |
| 2014-02-12 | 2014-03-11 | $13.02 | $15.63 | 21.23% | 19 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-27 | 2013-09-10 | $11.13 | $11.09 | -2.34% | 10 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 110.35% | 45 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.87% | 2 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.89% | 18 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 |