Strategy Zoo / S0273
VolumeBreakout_V0273
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0245 OR LongTermTrend_V0253
Fitness
0.6515
Generation
13
Complexity
13
Created
2026-09-18
Lineage
Parents (2)
entry from VolumeBreakout_V0189, exit from LongTermTrend_V0219
changed ret_20d threshold 0.05 -> 0.1208
Children (4)
Strategy Logic (pseudocode)
# VolumeBreakout_V0273 [hybrid]
if flat and ((breakout_50 == 1 and rel_volume > 1.3829) or (((close > sma_200 and sma_200_slope > -0.0022) or ret_5d > 0.0029) and ret_20d > 0.1208 and ret_20d > 0.0326)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.5% | 91.5% | 27.6% | 37.7% |
| Total Return | 514.8% | 602.8% | 145.9% | 10837.5% |
| Sharpe | 0.87 | 1.55 | 0.85 | 1.04 |
| Sortino | 0.88 | 1.64 | 0.84 | 1.04 |
| Calmar | 0.64 | 2.51 | 0.88 | 0.94 |
| Volatility | 31.8% | 50.3% | 36.6% | 37.5% |
| Max DD | -40.0% | -36.5% | -31.2% | -40.0% |
| Win Rate | 55.6% | 53.8% | 61.5% | 56.6% |
| Avg Win | 19.4% | 49.8% | 18.4% | 30.6% |
| Avg Loss | -7.7% | -9.6% | -7.0% | -8.0% |
| Payoff | 2.52 | 5.19 | 2.64 | 3.81 |
| Expectancy | 7.3% | 22.4% | 8.6% | 13.8% |
| Profit Factor | 3.15 | 6.05 | 4.23 | 4.96 |
| Trades | 27 | 13 | 13 | 53 |
| Avg Holding Days | 30.6 | 32.0 | 28.0 | 31.7 |
| Turnover | 6.9 | 8.7 | 7.3 | 7.3 |
| Exposure | 43.4% | 53.3% | 39.7% | 44.5% |
Growth of $100
VolumeBreakout_V0273 vs TSLA Buy & Hold
VolumeBreakout_V0273 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 | 1.8% | 0.19 | -27.1% | 3 |
| 2017 | -1.1% | 0.08 | -24.2% | 5 |
| 2018 | -18.0% | -0.61 | -29.1% | 4 |
| 2019 | 82.0% | 1.99 | -19.4% | 1 |
| 2020 | 495.0% | 2.85 | -33.7% | 4 |
| 2021 | 38.9% | 1.08 | -33.1% | 5 |
| 2022 | -18.5% | -0.51 | -31.8% | 4 |
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 | 28.3% | 1.09 | 19% |
| hidden test | EXPENSIVE | 83 | 108.6% | 2.00 | 82% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 58.0% | 1.16 | 45% |
| hidden test | LOW VOLATILITY | 429 | 49.0% | 1.96 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.6% | -0.74 | 44% |
| hidden test | NORMAL | 800 | 13.1% | 0.40 | 34% |
| hidden test | SIDEWAYS | 293 | -1.6% | -0.05 | 33% |
| hidden test | UPTREND | 371 | 58.8% | 1.26 | 60% |
| train | DOWNTREND | 518 | 12.1% | 1.03 | 10% |
| train | EXPENSIVE | 311 | 43.0% | 1.12 | 72% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 51.1% | 1.25 | 40% |
| train | LOW VOLATILITY | 745 | 35.9% | 1.48 | 53% |
| train | MEDIUM VOLATILITY | 568 | -11.6% | -0.42 | 35% |
| train | NORMAL | 1,601 | 2.7% | 0.11 | 34% |
| train | SIDEWAYS | 592 | -11.8% | -0.45 | 32% |
| train | UPTREND | 902 | 62.6% | 1.50 | 70% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 63.9% | 1.17 | 59% |
| validation | EXTREME | 144 | 324.6% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 82.9% | 1.24 | 50% |
| validation | LOW VOLATILITY | 183 | 33.4% | 1.40 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 99.1% | 2.17 | 57% |
| validation | NORMAL | 474 | 6.7% | 0.21 | 40% |
| validation | SIDEWAYS | 206 | -41.9% | -1.31 | 37% |
| validation | UPTREND | 425 | 146.1% | 2.36 | 74% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.04% | 19 | OPEN |
| 2026-05-06 | 2026-06-08 | $398.73 | $408.95 | 0.22% | 23 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-29 | 2025-11-14 | $333.87 | $404.35 | 15.95% | 55 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | 9.05% | 32 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.89% | 8 | |
| 2023-11-27 | 2024-01-10 | $236.08 | $233.94 | -0.41% | 31 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-23 | 2023-08-02 | $185.77 | $254.11 | 37.95% | 49 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-03 | 2021-12-01 | $236.58 | $365.00 | 60.99% | 85 | |
| 2021-07-01 | 2021-07-26 | $225.97 | $219.21 | -5.53% | 17 | |
| 2021-04-19 | 2021-05-11 | $238.21 | $205.73 | -15.14% | 17 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -2.23% | 5 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-09-16 | 2020-03-04 | $16.19 | $49.97 | 203.43% | 118 | |
| 2019-06-21 | 2019-08-12 | $14.79 | $15.27 | 6.79% | 36 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-09-15 | 2017-09-29 | $25.32 | $22.74 | -10.25% | 11 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 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 | |
| 2016-12-21 | 2017-03-08 | $13.85 | $16.46 | 18.82% | 52 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.90% | 23 | |
| 2016-06-09 | 2016-06-23 | $15.29 | $13.09 | -16.67% | 11 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-12-31 | 2016-01-05 | $16.00 | $14.90 | -6.35% | 3 | |
| 2015-09-22 | 2015-10-02 | $17.40 | $16.50 | -9.39% | 9 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2014-11-17 | 2014-12-02 | $16.93 | $15.43 | -10.63% | 11 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-01-17 | 2014-03-26 | $11.33 | $14.20 | 28.68% | 47 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 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 | |
| 2012-11-14 | 2013-01-11 | $2.09 | $2.19 | 5.86% | 40 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-06 | 2012-04-10 | $2.12 | $2.16 | 6.21% | 45 |