Strategy Zoo / S0302
VolumeBreakout_V0302
ARCHIVEDhybridstructuralremoved entry condition: vol_chg > 1.1148; added exit filter: dist_sma_200 < 0.1009
Fitness
0.5733
Generation
14
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
entry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0302 [hybrid]
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.03 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.0% | 89.9% | 5.7% | 25.6% |
| Total Return | 227.6% | 584.4% | 22.5% | 2729.0% |
| Sharpe | 0.63 | 1.54 | 0.33 | 0.81 |
| Sortino | 0.67 | 1.68 | 0.31 | 0.83 |
| Calmar | 0.26 | 2.66 | 0.14 | 0.41 |
| Volatility | 30.8% | 49.5% | 31.9% | 35.7% |
| Max DD | -61.8% | -33.7% | -40.8% | -61.8% |
| Win Rate | 43.4% | 50.9% | 52.9% | 47.4% |
| Avg Win | 5.1% | 13.3% | 3.4% | 6.3% |
| Avg Loss | -2.2% | -3.2% | -3.1% | -2.6% |
| Payoff | 2.35 | 4.11 | 1.10 | 2.48 |
| Expectancy | 1.0% | 5.2% | 0.3% | 1.7% |
| Profit Factor | 1.80 | 4.27 | 1.23 | 2.24 |
| Trades | 189 | 55 | 104 | 348 |
| Avg Holding Days | 4.8 | 7.7 | 4.0 | 5.2 |
| Turnover | 47.5 | 36.7 | 56.3 | 47.4 |
| Exposure | 38.4% | 48.9% | 33.4% | 39.3% |
Growth of $100
VolumeBreakout_V0302 vs TSLA Buy & Hold
VolumeBreakout_V0302 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 | -1.8% | -0.08 | -19.8% | 33 |
| 2017 | -0.2% | 0.12 | -25.9% | 14 |
| 2018 | -26.5% | -1.32 | -29.6% | 30 |
| 2019 | 0.5% | 0.15 | -31.0% | 30 |
| 2020 | 545.8% | 2.93 | -33.7% | 5 |
| 2021 | 33.1% | 0.97 | -27.9% | 30 |
| 2022 | -23.8% | -0.97 | -23.7% | 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 | 0.5% | 0.02 | 16% |
| hidden test | EXPENSIVE | 83 | 86.6% | 1.83 | 75% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 10.2% | 0.25 | 32% |
| hidden test | LOW VOLATILITY | 429 | 39.4% | 1.67 | 30% |
| hidden test | MEDIUM VOLATILITY | 248 | -38.8% | -1.11 | 41% |
| hidden test | NORMAL | 800 | -8.4% | -0.30 | 27% |
| hidden test | SIDEWAYS | 293 | -14.4% | -0.66 | 25% |
| hidden test | UPTREND | 371 | 37.7% | 0.88 | 53% |
| train | DOWNTREND | 518 | -2.7% | -0.25 | 9% |
| train | EXPENSIVE | 311 | 58.4% | 1.48 | 75% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 47.2% | 1.17 | 37% |
| train | LOW VOLATILITY | 745 | 24.3% | 1.08 | 45% |
| train | MEDIUM VOLATILITY | 568 | -20.9% | -0.79 | 32% |
| train | NORMAL | 1,601 | -12.0% | -0.53 | 28% |
| train | SIDEWAYS | 592 | -13.6% | -0.60 | 27% |
| train | UPTREND | 902 | 54.0% | 1.31 | 63% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | 56.4% | 1.02 | 63% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 104.5% | 1.55 | 50% |
| validation | LOW VOLATILITY | 183 | 19.8% | 0.91 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 86.2% | 2.00 | 54% |
| validation | NORMAL | 474 | -0.1% | -0.00 | 31% |
| validation | SIDEWAYS | 206 | -14.1% | -0.47 | 33% |
| validation | UPTREND | 425 | 140.2% | 2.26 | 69% |
Trades (full period)
latest 100 of 348
| 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 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 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 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 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 | |
| 2025-05-14 | 2025-06-05 | $347.68 | $284.70 | -0.80% | 16 | |
| 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 | |
| 2025-04-15 | 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 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-09-10 | 2024-10-14 | $226.17 | $219.16 | 0.51% | 25 | |
| 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 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -6.78% | 16 | |
| 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 | |
| 2024-04-15 | 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 | |
| 2023-12-22 | 2024-01-02 | $252.54 | $248.42 | -2.56% | 6 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 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 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-28 | 2023-11-30 | $246.72 | $240.08 | 3.21% | 3 | |
| 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 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-06-07 | 2023-08-02 | $224.57 | $254.11 | 17.73% | 39 | |
| 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 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 |