Strategy Zoo / S0293
VolumeBreakout_V0293
ARCHIVEDhybridcrossoverentry from VolumeBreakout_V0205, exit from SMACross_50_200_V0006
Fitness
0.4889
Generation
14
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
seed strategy
entry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0293 [hybrid]
if flat and (vol_chg > 1.1148 or ret_20d > 0.05):
position = 1.0
if long and sma_50 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.4% | 82.6% | 4.0% | 24.3% |
| Total Return | 236.4% | 508.8% | 15.8% | 2341.6% |
| Sharpe | 0.57 | 1.24 | 0.31 | 0.69 |
| Sortino | 0.73 | 1.65 | 0.41 | 0.88 |
| Calmar | 0.23 | 1.36 | 0.08 | 0.35 |
| Volatility | 42.7% | 66.5% | 46.6% | 49.4% |
| Max DD | -70.3% | -60.6% | -53.8% | -70.3% |
| Win Rate | 43.6% | 36.4% | 60.6% | 48.3% |
| Avg Win | 8.0% | 57.0% | 2.8% | 11.1% |
| Avg Loss | -2.5% | -2.1% | -3.6% | -2.7% |
| Payoff | 3.20 | 10.00 | 0.77 | 4.09 |
| Expectancy | 2.1% | 19.4% | 0.3% | 3.9% |
| Profit Factor | 2.48 | 10.00 | 1.18 | 3.81 |
| Trades | 204 | 33 | 109 | 346 |
| Avg Holding Days | 7.6 | 19.0 | 6.4 | 8.4 |
| Turnover | 51.2 | 22.0 | 59.0 | 47.1 |
| Exposure | 69.2% | 78.7% | 62.9% | 69.6% |
Growth of $100
VolumeBreakout_V0293 vs TSLA Buy & Hold
VolumeBreakout_V0293 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 | -9.9% | -0.28 | -24.7% | 37 |
| 2017 | 34.7% | 1.03 | -22.3% | 14 |
| 2018 | -24.0% | -0.53 | -33.1% | 40 |
| 2019 | -19.6% | -0.45 | -50.1% | 43 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 14.0% | 0.51 | -36.2% | 13 |
| 2022 | -44.7% | -1.07 | -47.7% | 20 |
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 | -19.9% | -0.44 | 36% |
| hidden test | EXPENSIVE | 83 | 137.8% | 1.99 | 95% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 75.3% | 1.18 | 58% |
| hidden test | LOW VOLATILITY | 429 | 3.1% | 0.09 | 68% |
| hidden test | MEDIUM VOLATILITY | 248 | -27.4% | -0.63 | 59% |
| hidden test | NORMAL | 800 | -8.3% | -0.20 | 57% |
| hidden test | SIDEWAYS | 293 | -29.6% | -0.80 | 60% |
| hidden test | UPTREND | 371 | 74.5% | 1.39 | 85% |
| train | DOWNTREND | 518 | -53.6% | -1.80 | 28% |
| train | EXPENSIVE | 311 | 97.7% | 1.88 | 99% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 52.7% | 0.93 | 67% |
| train | LOW VOLATILITY | 745 | 16.4% | 0.56 | 74% |
| train | MEDIUM VOLATILITY | 568 | -0.5% | -0.01 | 66% |
| train | NORMAL | 1,601 | -14.5% | -0.39 | 61% |
| train | SIDEWAYS | 592 | 22.9% | 0.53 | 71% |
| train | UPTREND | 902 | 69.8% | 1.45 | 92% |
| validation | DOWNTREND | 125 | -27.4% | -0.88 | 25% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 135.2% | 1.46 | 81% |
| validation | LOW VOLATILITY | 183 | 22.2% | 0.72 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 74.0% | 1.33 | 82% |
| validation | NORMAL | 474 | -9.9% | -0.19 | 66% |
| validation | SIDEWAYS | 206 | -33.4% | -0.58 | 80% |
| validation | UPTREND | 425 | 170.7% | 2.22 | 94% |
Trades (full period)
latest 100 of 346
| 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 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 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 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 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 | |
| 2025-09-16 | 2026-04-10 | $421.62 | $348.95 | -15.88% | 143 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2025-07-25 | 2025-08-06 | $316.06 | $319.91 | 0.92% | 9 | |
| 2025-06-06 | 2025-06-09 | $295.14 | $308.58 | 3.46% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 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 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-07-30 | 2025-04-15 | $222.62 | $254.11 | 8.50% | 179 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -12.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 4.94% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.09% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.35% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 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 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 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 | |
| 2023-06-26 | 2024-02-02 | $241.05 | $187.91 | -26.55% | 154 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-03 | 2023-03-06 | $197.79 | $193.81 | 3.41% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 |