Strategy Zoo / S0280
VolumeBreakout_V0280
ARCHIVEDbreakoutparameterchanged vol_chg threshold 1.1148 -> 1.5511
Fitness
0.5675
Generation
13
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
swapped indicator rel_volume -> vol_chg
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0280 [breakout]
if flat and vol_chg > 1.5511:
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.2% | 64.4% | 7.8% | 24.9% |
| Total Return | 333.9% | 344.6% | 31.9% | 2520.0% |
| Sharpe | 0.74 | 1.32 | 0.44 | 0.83 |
| Sortino | 0.74 | 1.05 | 0.26 | 0.70 |
| Calmar | 0.41 | 1.91 | 0.29 | 0.50 |
| Volatility | 31.7% | 45.6% | 22.7% | 33.2% |
| Max DD | -49.7% | -33.8% | -26.6% | -49.7% |
| Win Rate | 36.8% | 87.5% | 40.0% | 42.0% |
| Avg Win | 17.4% | 27.2% | 27.3% | 21.8% |
| Avg Loss | -3.8% | -1.0% | -5.6% | -3.9% |
| Payoff | 4.57 | 10.00 | 4.86 | 5.64 |
| Expectancy | 4.0% | 23.7% | 7.5% | 6.9% |
| Profit Factor | 2.66 | 10.00 | 3.24 | 4.08 |
| Trades | 68 | 8 | 5 | 81 |
| Avg Holding Days | 10.9 | 30.0 | 22.0 | 14.1 |
| Turnover | 17.2 | 5.3 | 2.7 | 11.0 |
| Exposure | 35.8% | 30.7% | 11.3% | 28.6% |
Growth of $100
VolumeBreakout_V0280 vs TSLA Buy & Hold
VolumeBreakout_V0280 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 | -22.9% | -1.64 | -23.9% | 12 |
| 2017 | 8.8% | 0.50 | -14.8% | 6 |
| 2018 | -14.3% | -0.25 | -34.2% | 11 |
| 2019 | 32.3% | 1.49 | -8.5% | 8 |
| 2020 | 281.3% | 2.26 | -33.8% | 2 |
| 2021 | 10.6% | 0.46 | -21.5% | 4 |
| 2022 | 1.3% | 1.15 | -0.1% | 2 |
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 | -2.2% | -1.02 | 0% |
| hidden test | EXPENSIVE | 83 | 31.7% | 0.87 | 22% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 18.2% | 0.45 | 35% |
| hidden test | LOW VOLATILITY | 429 | 8.3% | 1.30 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | 4.8% | 0.34 | 5% |
| hidden test | NORMAL | 800 | -2.4% | -0.15 | 5% |
| hidden test | SIDEWAYS | 293 | -0.5% | -0.10 | 1% |
| hidden test | UPTREND | 371 | 27.2% | 0.76 | 27% |
| train | DOWNTREND | 518 | -12.2% | -0.67 | 5% |
| train | EXPENSIVE | 311 | 37.4% | 0.99 | 54% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 56.8% | 1.36 | 37% |
| train | LOW VOLATILITY | 745 | 19.0% | 0.84 | 41% |
| train | MEDIUM VOLATILITY | 568 | -12.4% | -0.46 | 27% |
| train | NORMAL | 1,601 | -4.0% | -0.16 | 28% |
| train | SIDEWAYS | 592 | 5.5% | 0.23 | 19% |
| train | UPTREND | 902 | 55.3% | 1.35 | 64% |
| validation | DOWNTREND | 125 | 2.1% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 61.9% | 1.09 | 72% |
| validation | EXTREME | 144 | 244.6% | 3.10 | 63% |
| validation | HIGH VOLATILITY | 258 | 96.1% | 1.46 | 40% |
| validation | LOW VOLATILITY | 183 | -3.0% | -0.23 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 67.3% | 1.84 | 35% |
| validation | NORMAL | 474 | 3.6% | 0.17 | 9% |
| validation | SIDEWAYS | 206 | 0.3% | 0.62 | 0% |
| validation | UPTREND | 425 | 106.2% | 1.75 | 54% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2025-06-06 | 2025-07-02 | $295.14 | $315.65 | 5.42% | 18 | |
| 2025-02-26 | 2025-02-27 | $290.80 | $281.95 | -4.16% | 2 | |
| 2024-10-25 | 2025-01-30 | $269.19 | $400.28 | 49.08% | 65 | |
| 2024-07-03 | 2024-08-05 | $246.39 | $198.88 | -10.37% | 23 | |
| 2022-04-27 | 2022-04-28 | $293.84 | $292.50 | 0.38% | 2 | |
| 2022-02-25 | 2022-02-28 | $269.96 | $290.14 | 0.94% | 2 | |
| 2021-10-22 | 2021-12-14 | $303.23 | $319.50 | 7.89% | 37 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 5.97% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-07-01 | 2020-10-29 | $74.64 | $136.94 | 87.64% | 85 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-09-25 | 2019-09-26 | $15.25 | $16.17 | 2.26% | 2 | |
| 2019-07-26 | 2019-08-13 | $15.20 | $15.67 | -0.12% | 13 | |
| 2019-06-07 | 2019-06-10 | $13.63 | $14.19 | -0.90% | 2 | |
| 2019-05-23 | 2019-05-24 | $13.03 | $12.71 | 1.23% | 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 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-10-26 | 2018-12-21 | $22.06 | $21.32 | -0.03% | 39 | |
| 2018-10-03 | 2018-10-04 | $19.65 | $18.79 | -2.26% | 2 | |
| 2018-10-01 | 2018-10-02 | $20.71 | $20.07 | 17.13% | 2 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-05-04 | 2018-05-07 | $19.61 | $20.18 | 3.19% | 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 | |
| 2018-02-12 | 2018-02-13 | $21.05 | $21.58 | 1.51% | 2 | |
| 2018-01-09 | 2018-02-09 | $22.25 | $20.69 | -6.48% | 23 | |
| 2017-11-20 | 2017-11-21 | $20.58 | $21.19 | -2.20% | 2 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-08-03 | 2017-08-21 | $23.14 | $22.52 | 6.41% | 13 | |
| 2017-07-07 | 2017-07-10 | $20.88 | $21.07 | 1.22% | 2 | |
| 2017-05-05 | 2017-07-06 | $20.56 | $20.59 | 10.49% | 43 | |
| 2017-02-10 | 2017-03-09 | $17.95 | $16.33 | -8.48% | 19 | |
| 2016-11-02 | 2016-11-03 | $12.53 | $12.49 | -1.65% | 2 | |
| 2016-10-28 | 2016-10-31 | $13.33 | $13.18 | -2.18% | 2 | |
| 2016-10-20 | 2016-10-21 | $13.27 | $13.34 | -2.39% | 2 | |
| 2016-09-02 | 2016-09-06 | $13.19 | $13.52 | -1.69% | 2 | |
| 2016-06-23 | 2016-06-24 | $13.09 | $12.88 | -0.33% | 2 | |
| 2016-06-13 | 2016-06-14 | $14.52 | $14.33 | -0.62% | 2 | |
| 2016-05-23 | 2016-05-24 | $14.41 | $14.53 | -2.04% | 2 | |
| 2016-05-06 | 2016-05-09 | $14.33 | $13.93 | 1.41% | 2 | |
| 2016-04-04 | 2016-05-05 | $16.47 | $14.10 | -6.51% | 24 | |
| 2016-02-12 | 2016-02-16 | $10.07 | $10.34 | 0.18% | 2 | |
| 2016-02-08 | 2016-02-09 | $9.87 | $9.88 | -9.18% | 2 | |
| 2016-01-05 | 2016-01-06 | $14.90 | $14.60 | -0.19% | 2 | |
| 2015-11-05 | 2015-11-06 | $15.45 | $15.49 | -0.14% | 2 | |
| 2015-10-21 | 2015-10-22 | $14.01 | $14.11 | -1.58% | 2 | |
| 2015-08-07 | 2015-08-10 | $16.17 | $16.08 | -1.67% | 2 | |
| 2015-04-23 | 2015-07-28 | $14.57 | $17.65 | 15.07% | 67 | |
| 2015-03-31 | 2015-04-01 | $12.58 | $12.51 | -1.14% | 2 | |
| 2015-02-12 | 2015-02-13 | $13.53 | $13.58 | -4.86% | 2 | |
| 2015-01-15 | 2015-01-16 | $12.79 | $12.87 | -0.63% | 2 | |
| 2015-01-05 | 2015-01-06 | $14.01 | $14.09 | -4.40% | 2 | |
| 2014-12-08 | 2014-12-09 | $14.29 | $14.46 | -4.38% | 2 | |
| 2014-11-07 | 2014-11-10 | $16.01 | $16.13 | -0.62% | 2 | |
| 2014-10-28 | 2014-10-29 | $16.18 | $15.87 | 9.31% | 2 | |
| 2014-06-17 | 2014-09-23 | $15.44 | $16.69 | 11.10% | 69 | |
| 2014-05-09 | 2014-05-12 | $12.15 | $12.31 | 1.85% | 2 | |
| 2014-01-15 | 2014-03-28 | $10.94 | $14.16 | 28.30% | 51 | |
| 2013-11-11 | 2013-11-12 | $9.65 | $9.19 | 4.69% | 2 | |
| 2013-11-07 | 2013-11-08 | $9.32 | $9.20 | -7.73% | 2 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2013-03-18 | 2013-03-19 | $2.34 | $2.34 | -0.60% | 2 | |
| 2013-02-25 | 2013-02-26 | $2.29 | $2.30 | -4.99% | 2 | |
| 2013-02-12 | 2013-02-22 | $2.53 | $2.41 | -8.67% | 8 | |
| 2012-11-06 | 2013-01-14 | $2.08 | $2.22 | 4.27% | 47 | |
| 2012-09-26 | 2012-09-27 | $1.84 | $1.90 | -0.63% | 2 | |
| 2012-09-11 | 2012-09-12 | $1.85 | $1.89 | 1.37% | 2 | |
| 2012-08-27 | 2012-08-28 | $1.89 | $1.91 | -4.20% | 2 | |
| 2012-07-18 | 2012-07-24 | $2.14 | $1.99 | -8.25% | 5 | |
| 2012-06-21 | 2012-07-03 | $2.15 | $2.04 | -10.19% | 9 | |
| 2012-05-10 | 2012-05-11 | $2.20 | $2.15 | 9.44% | 2 | |
| 2012-05-08 | 2012-05-09 | $2.01 | $2.00 | -7.21% | 2 | |
| 2012-02-16 | 2012-04-10 | $2.28 | $2.16 | -1.53% | 37 | |
| 2012-01-17 | 2012-01-18 | $1.77 | $1.79 | 16.50% | 2 | |
| 2012-01-10 | 2012-01-11 | $1.84 | $1.88 | 1.16% | 2 |