Strategy Zoo / S0292

VolumeBreakout_V0292

ARCHIVEDhybrid

crossoverentry = VolumeBreakout_V0113 OR PriceMomentum_V0267

Fitness

0.6181

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

VolumeBreakout_V0113S0113 · gen 5ARCHIVEDcrossover

swapped indicator rel_volume -> vol_chg

PriceMomentum_V0267S0267 · gen 12ARCHIVEDcrossover

changed ret_20d threshold 0.05 -> 0.1146

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0292  [hybrid]
if flat and (vol_chg > 1.1148 or ret_20d > 0.1146):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.0%	116.3%	26.0%	37.9%
Total Return	357.7%	912.1%	135.1%	11113.1%
Sharpe	0.67	1.70	0.76	0.95
Sortino	0.88	2.04	0.88	1.18
Calmar	0.36	2.70	0.71	0.65
Volatility	41.1%	53.8%	41.8%	44.2%
Max DD	-58.5%	-43.1%	-36.9%	-58.5%
Win Rate	40.7%	43.8%	53.3%	43.5%
Avg Win	23.7%	63.9%	23.0%	35.2%
Avg Loss	-7.7%	-6.3%	-9.4%	-7.7%
Payoff	3.09	10.00	2.44	4.60
Expectancy	5.1%	24.4%	7.9%	11.0%
Profit Factor	2.13	7.93	2.79	3.55
Trades	54	16	15	85
Avg Holding Days	26.1	30.8	33.7	29.3
Turnover	13.7	10.7	8.4	11.6
Exposure	71.5%	63.1%	54.8%	65.6%

Growth of $100

VolumeBreakout_V0292 vs TSLA Buy & Hold

VolumeBreakout_V0292 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	-23.8%	-0.79	-43.2%	11
2017	33.9%	1.03	-26.1%	3
2018	-0.7%	0.21	-25.6%	8
2019	24.3%	0.77	-33.7%	8
2020	842.7%	3.35	-33.7%	2
2021	36.6%	0.97	-32.4%	8
2022	-24.8%	-0.70	-34.9%	6

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	28.6%	0.81	28%
hidden test	EXPENSIVE	83	118.7%	2.18	83%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	65.3%	1.12	61%
hidden test	LOW VOLATILITY	429	57.7%	1.94	51%
hidden test	MEDIUM VOLATILITY	248	-47.2%	-1.20	54%
hidden test	NORMAL	800	12.1%	0.31	51%
hidden test	SIDEWAYS	293	-10.9%	-0.30	61%
hidden test	UPTREND	371	68.0%	1.38	70%
train	DOWNTREND	518	-20.8%	-0.63	54%
train	EXPENSIVE	311	88.9%	2.00	83%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	61.0%	1.16	62%
train	LOW VOLATILITY	745	27.2%	0.93	79%
train	MEDIUM VOLATILITY	568	-13.9%	-0.36	73%
train	NORMAL	1,601	-8.9%	-0.24	67%
train	SIDEWAYS	592	-1.7%	-0.04	64%
train	UPTREND	902	74.0%	1.63	87%
validation	DOWNTREND	125	31.1%	1.32	16%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	122.2%	1.76	55%
validation	LOW VOLATILITY	183	36.2%	1.26	69%
validation	MEDIUM VOLATILITY	315	98.9%	1.96	66%
validation	NORMAL	474	3.1%	0.09	48%
validation	SIDEWAYS	206	-12.6%	-0.34	48%
validation	UPTREND	425	160.1%	2.45	84%

Trades (full period)

86 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.15%	19	OPEN
2026-07-06	2026-07-24	$419.77	$313.03	-18.90%	15
2026-05-06	2026-06-10	$398.73	$381.59	1.68%	25
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-07-25	2025-11-21	$316.06	$391.09	29.20%	85
2025-04-30	2025-07-02	$282.16	$315.65	2.76%	44
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
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
2024-10-25	2025-01-17	$269.19	$426.50	58.56%	57
2024-09-06	2024-10-22	$210.73	$217.97	-5.12%	33
2024-04-25	2024-08-02	$170.18	$207.67	33.50%	69
2023-11-27	2024-01-17	$236.08	$215.55	-6.79%	35
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-23	2023-08-03	$185.77	$259.32	34.27%	50
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
2022-11-11	2022-11-15	$195.97	$194.42	-0.08%	3
2022-07-19	2022-09-01	$245.53	$277.16	14.35%	33
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-03-23	2022-04-27	$333.04	$293.84	-12.00%	25
2022-02-25	2022-03-08	$269.96	$274.80	0.28%	8
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-12-06	2021-12-07	$336.34	$350.58	-0.79%	2
2021-07-01	2021-12-03	$225.97	$338.32	59.25%	109
2021-04-06	2021-05-11	$230.54	$205.73	-9.16%	26
2021-03-10	2021-03-11	$222.69	$233.20	-1.02%	2
2021-03-08	2021-03-09	$187.67	$224.53	-6.04%	2
2021-02-26	2021-03-01	$225.17	$239.48	-1.18%	2
2021-02-24	2021-02-25	$247.34	$227.41	5.97%	2
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-06	2020-03-05	$15.16	$48.30	225.81%	125
2019-06-21	2019-08-15	$14.79	$14.38	-0.20%	39
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
2019-05-22	2019-05-23	$12.85	$13.03	-6.22%	2
2019-05-20	2019-05-21	$13.69	$13.67	-2.88%	2
2019-04-05	2019-04-29	$18.33	$16.10	-12.36%	16
2019-03-04	2019-03-06	$19.02	$18.42	-6.38%	3
2019-01-22	2019-01-24	$19.93	$19.43	-5.04%	3
2018-10-25	2019-01-03	$20.99	$20.02	7.29%	47
2018-10-01	2018-10-09	$20.71	$17.52	-5.54%	7
2018-09-10	2018-09-11	$19.03	$18.63	8.25%	2
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-05-01	2018-07-16	$19.99	$20.67	8.28%	53
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
2017-11-20	2018-03-23	$20.58	$20.10	-2.09%	85
2017-08-03	2017-11-03	$23.14	$20.41	-8.35%	66
2017-07-11	2017-07-13	$21.81	$21.56	4.06%	3
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-09-06	2016-09-07	$13.52	$13.45	2.35%	2
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-27	2016-06-28	$13.24	$13.45	2.59%	2
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
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
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
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
2016-02-04	2016-02-05	$11.69	$10.84	0.87%	2
2015-11-04	2016-01-19	$15.44	$13.65	-1.80%	51
2015-10-21	2015-10-22	$14.01	$14.11	-1.58%	2
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-03-31	2015-08-12	$12.58	$15.88	24.31%	94
2015-02-12	2015-03-09	$13.53	$12.73	-9.08%	17
2015-01-05	2015-01-21	$14.01	$13.10	-12.66%	12
2014-11-07	2014-12-09	$16.01	$14.46	-11.31%	22
2014-10-28	2014-11-06	$16.18	$16.08	4.00%	8
2014-10-13	2014-10-14	$14.97	$15.14	-5.39%	2
2014-06-09	2014-10-01	$13.69	$16.02	16.34%	81
2014-05-08	2014-05-09	$11.91	$12.15	-11.49%	2
2014-03-28	2014-03-31	$14.16	$13.90	2.23%	2
2013-12-18	2014-03-26	$9.87	$14.20	44.30%	67
2013-12-04	2013-12-05	$9.26	$9.37	-4.17%	2
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
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-05-08	2012-05-17	$2.01	$1.90	-10.32%	8
2012-01-17	2012-04-25	$1.77	$2.19	39.36%	70
2012-01-10	2012-01-11	$1.84	$1.88	1.16%	2