Strategy Zoo / S0296
VolumeBreakout_V0296
ARCHIVEDhybridcrossoverlogic of VolumeBreakout_V0273 with risk overlay of PriceMomentum_V0233
Fitness
0.6254
Generation
14
Complexity
15
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold -0.03 -> -0.1003
entry = VolumeBreakout_V0245 OR LongTermTrend_V0253
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0296 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
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 cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.1% | 74.5% | 24.9% | 33.5% |
| Total Return | 461.7% | 431.3% | 127.2% | 6879.0% |
| Sharpe | 0.96 | 1.51 | 0.88 | 1.08 |
| Sortino | 0.89 | 1.32 | 0.73 | 0.93 |
| Calmar | 0.57 | 2.21 | 0.73 | 0.79 |
| Volatility | 26.1% | 43.1% | 30.7% | 31.4% |
| Max DD | -42.4% | -33.8% | -34.0% | -42.4% |
| Win Rate | 53.6% | 53.8% | 66.7% | 57.1% |
| Avg Win | 18.6% | 38.1% | 14.5% | 23.8% |
| Avg Loss | -5.4% | -7.8% | -8.1% | -6.6% |
| Payoff | 3.42 | 4.92 | 1.80 | 3.63 |
| Expectancy | 7.4% | 17.0% | 7.0% | 10.8% |
| Profit Factor | 3.95 | 5.74 | 3.60 | 4.84 |
| Trades | 28 | 13 | 15 | 56 |
| Avg Holding Days | 21.8 | 23.8 | 17.3 | 21.9 |
| Turnover | 8.3 | 9.7 | 10.0 | 8.9 |
| Exposure | 29.4% | 33.4% | 25.5% | 29.3% |
Growth of $100
VolumeBreakout_V0296 vs TSLA Buy & Hold
VolumeBreakout_V0296 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 | 13.4% | 1.11 | -13.7% | 5 |
| 2017 | -5.5% | -0.16 | -23.5% | 5 |
| 2018 | -24.6% | -1.22 | -27.3% | 5 |
| 2019 | 62.5% | 2.66 | -8.5% | 1 |
| 2020 | 336.9% | 2.58 | -33.8% | 5 |
| 2021 | 60.2% | 1.97 | -12.5% | 2 |
| 2022 | -26.4% | -1.27 | -32.5% | 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 | 27.5% | 1.07 | 18% |
| hidden test | EXPENSIVE | 83 | 65.5% | 1.38 | 63% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 44.8% | 1.02 | 37% |
| hidden test | LOW VOLATILITY | 429 | 35.7% | 1.82 | 19% |
| hidden test | MEDIUM VOLATILITY | 248 | -6.7% | -0.23 | 25% |
| hidden test | NORMAL | 800 | 13.2% | 0.51 | 19% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.08 | 3% |
| hidden test | UPTREND | 371 | 47.0% | 1.12 | 49% |
| train | DOWNTREND | 518 | 12.5% | 1.45 | 7% |
| train | EXPENSIVE | 311 | 29.2% | 0.89 | 58% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 46.7% | 1.34 | 30% |
| train | LOW VOLATILITY | 745 | 30.0% | 1.43 | 40% |
| train | MEDIUM VOLATILITY | 568 | -8.4% | -0.47 | 16% |
| train | NORMAL | 1,601 | 2.1% | 0.12 | 20% |
| train | SIDEWAYS | 592 | -2.3% | -0.22 | 2% |
| train | UPTREND | 902 | 49.9% | 1.33 | 60% |
| validation | DOWNTREND | 125 | 34.3% | 1.78 | 8% |
| validation | EXPENSIVE | 138 | 44.9% | 0.95 | 44% |
| validation | EXTREME | 144 | 269.6% | 3.56 | 75% |
| validation | HIGH VOLATILITY | 258 | 71.1% | 1.13 | 43% |
| validation | LOW VOLATILITY | 183 | 36.8% | 2.06 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 76.3% | 2.39 | 32% |
| validation | NORMAL | 474 | 8.7% | 0.38 | 17% |
| validation | SIDEWAYS | 206 | -18.0% | -1.48 | 2% |
| validation | UPTREND | 425 | 114.2% | 2.05 | 56% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.71% | 19 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.00% | 45 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 47.55% | 53 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.89% | 8 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 27.37% | 42 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 52.23% | 54 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 4.77% | 10 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | -2.34% | 27 | |
| 2020-05-20 | 2020-08-10 | $54.37 | $94.57 | 66.62% | 57 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-09-19 | 2017-09-29 | $25.01 | $22.74 | -9.60% | 9 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -1.30% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 10.59% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 50.16% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 138.25% | 61 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 1.10% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |