Strategy Zoo / S0276
VolumeBreakout_V0276
ARCHIVEDhybridparameterchanged ret_20d threshold -0.03 -> 0.0782; changed ret_20d threshold 0.0782 -> 0.1605
Fitness
0.5100
Generation
13
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
entry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0276 [hybrid]
if flat and (vol_chg > 1.1148 or ret_20d > 0.05):
position = 1.0
if long and ret_20d < 0.1605:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.2% | 82.6% | 18.8% | 20.4% |
| Total Return | 28.5% | 509.2% | 88.8% | 1421.0% |
| Sharpe | 0.25 | 1.51 | 0.69 | 0.70 |
| Sortino | 0.28 | 1.61 | 0.62 | 0.73 |
| Calmar | 0.05 | 2.45 | 0.63 | 0.32 |
| Volatility | 31.3% | 47.1% | 32.7% | 35.5% |
| Max DD | -64.6% | -33.7% | -29.9% | -64.6% |
| Win Rate | 43.2% | 55.4% | 47.8% | 46.2% |
| Avg Win | 3.5% | 5.7% | 4.6% | 4.2% |
| Avg Loss | -2.3% | -2.2% | -2.7% | -2.3% |
| Payoff | 1.55 | 2.55 | 1.69 | 1.80 |
| Expectancy | 0.2% | 2.2% | 0.8% | 0.7% |
| Profit Factor | 1.18 | 3.18 | 1.54 | 1.55 |
| Trades | 370 | 101 | 113 | 584 |
| Avg Holding Days | 2.8 | 4.1 | 3.5 | 3.2 |
| Turnover | 92.8 | 67.3 | 61.2 | 79.6 |
| Exposure | 32.8% | 41.7% | 30.5% | 34.1% |
Growth of $100
VolumeBreakout_V0276 vs TSLA Buy & Hold
VolumeBreakout_V0276 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 | -5.4% | -0.19 | -27.2% | 38 |
| 2017 | 1.4% | 0.17 | -18.0% | 50 |
| 2018 | 2.7% | 0.24 | -21.8% | 36 |
| 2019 | -38.9% | -1.69 | -48.0% | 44 |
| 2020 | 371.5% | 2.57 | -33.7% | 26 |
| 2021 | 16.5% | 0.62 | -31.3% | 53 |
| 2022 | 6.5% | 0.38 | -14.8% | 22 |
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 | 24.1% | 0.88 | 20% |
| hidden test | EXPENSIVE | 83 | 68.3% | 1.69 | 54% |
| hidden test | EXTREME | 48 | 148.9% | 2.71 | 58% |
| hidden test | HIGH VOLATILITY | 254 | 40.4% | 0.88 | 38% |
| hidden test | LOW VOLATILITY | 429 | 53.4% | 2.34 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -49.1% | -1.60 | 29% |
| hidden test | NORMAL | 800 | 10.2% | 0.34 | 26% |
| hidden test | SIDEWAYS | 293 | -6.4% | -0.23 | 28% |
| hidden test | UPTREND | 371 | 44.3% | 1.13 | 40% |
| train | DOWNTREND | 518 | -18.3% | -0.79 | 17% |
| train | EXPENSIVE | 311 | 19.9% | 0.58 | 50% |
| train | EXTREME | 100 | 335.1% | 4.64 | 86% |
| train | HIGH VOLATILITY | 699 | 42.2% | 0.98 | 36% |
| train | LOW VOLATILITY | 745 | 3.0% | 0.16 | 35% |
| train | MEDIUM VOLATILITY | 568 | -27.8% | -1.01 | 27% |
| train | NORMAL | 1,601 | -14.8% | -0.58 | 26% |
| train | SIDEWAYS | 592 | 4.3% | 0.15 | 27% |
| train | UPTREND | 902 | 25.4% | 0.69 | 46% |
| validation | DOWNTREND | 125 | 27.5% | 2.13 | 8% |
| validation | EXPENSIVE | 138 | 58.9% | 1.11 | 52% |
| validation | EXTREME | 144 | 284.8% | 3.56 | 81% |
| validation | HIGH VOLATILITY | 258 | 96.1% | 1.49 | 43% |
| validation | LOW VOLATILITY | 183 | 9.7% | 0.54 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 86.9% | 2.08 | 48% |
| validation | NORMAL | 474 | 10.2% | 0.38 | 27% |
| validation | SIDEWAYS | 206 | -7.5% | -0.27 | 27% |
| validation | UPTREND | 425 | 122.5% | 2.07 | 59% |
Trades (full period)
latest 100 of 584
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-06 | 2026-07-07 | $419.77 | $402.90 | 6.48% | 2 | |
| 2026-06-04 | 2026-06-05 | $418.45 | $391.00 | -1.44% | 2 | |
| 2026-06-02 | 2026-06-03 | $423.74 | $423.70 | 1.69% | 2 | |
| 2026-05-28 | 2026-06-01 | $442.10 | $415.88 | -1.24% | 3 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-06 | 2026-05-14 | $398.73 | $443.30 | 14.13% | 7 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-29 | 2025-12-30 | $459.64 | $454.43 | -3.47% | 2 | |
| 2025-12-15 | 2025-12-26 | $475.31 | $475.19 | 5.55% | 9 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.23% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-05-05 | 2025-05-09 | $280.26 | $298.26 | -1.03% | 5 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-02-28 | 2025-03-03 | $292.98 | $284.65 | 3.71% | 2 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-12 | 2025-01-02 | $418.10 | $379.28 | -5.12% | 14 | |
| 2024-11-07 | 2024-12-11 | $296.91 | $424.77 | 38.70% | 24 | |
| 2024-10-29 | 2024-10-30 | $259.52 | $257.55 | -1.34% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-24 | 2024-10-03 | $254.27 | $240.66 | -0.59% | 8 | |
| 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 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-01 | 2024-07-25 | $209.86 | $220.25 | 8.94% | 18 | |
| 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 | |
| 2024-05-16 | 2024-05-23 | $174.84 | $173.74 | 3.31% | 6 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 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 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-11-28 | 2023-12-04 | $246.72 | $235.58 | 0.97% | 5 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-25 | 2023-09-26 | $246.99 | $244.12 | 0.66% | 2 | |
| 2023-09-21 | 2023-09-22 | $255.70 | $244.88 | -2.82% | 2 | |
| 2023-09-14 | 2023-09-20 | $276.04 | $262.59 | -1.96% | 5 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 |