Strategy Zoo / S0336

VolumeBreakout_V0336

ARCHIVEDhybrid

crossoverentry = VolumeBreakout_V0273 OR LongTermTrend_V0182

Fitness
0.6524
Generation
16
Complexity
24
Created
2026-09-18

Lineage

Parents (2)
LongTermTrend_V0182S0182 · gen 9ARCHIVEDcrossover

entry = LongTermTrend_V0165 AND PriceMomentum_V0003

VolumeBreakout_V0273S0273 · gen 13ARCHIVEDcrossover

entry = VolumeBreakout_V0245 OR LongTermTrend_V0253

Children (1)
PriceMomentum_V0408S0408 · gen 19ARCHIVEDcrossover

Strategy Logic (pseudocode)

# VolumeBreakout_V0336  [hybrid]
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)) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
    position = 1.0
if long and ret_20d < 0.0392:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR18.8%106.9%18.0%33.1%
Total Return296.5%785.9%84.3%6562.4%
Sharpe0.701.710.650.96
Sortino0.731.850.610.97
Calmar0.313.170.500.54
Volatility31.6%49.7%34.7%36.8%
Max DD-60.8%-33.7%-36.1%-60.8%
Win Rate37.5%51.7%31.4%38.9%
Avg Win13.9%23.3%14.8%17.0%
Avg Loss-3.9%-4.3%-3.5%-3.9%
Payoff3.575.394.184.40
Expectancy2.8%10.0%2.2%4.2%
Profit Factor2.145.771.922.80
Trades802935144
Avg Holding Days11.414.310.611.9
Turnover20.219.319.219.7
Exposure41.9%51.1%38.2%42.9%

Growth of $100

VolumeBreakout_V0336 vs TSLA Buy & Hold
VolumeBreakout_V0336 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
YearCAGRSharpeMax DDTrades
201619.3%1.09-18.6%7
201722.0%1.00-14.6%10
2018-42.1%-1.96-42.2%13
201913.0%0.54-29.4%8
2020550.7%2.96-33.7%8
202127.1%0.85-29.1%14
20222.8%0.24-19.9%7

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2675.6%0.1928%
hidden testEXPENSIVE8353.6%1.2655%
hidden testEXTREME48183.4%3.2663%
hidden testHIGH VOLATILITY25416.1%0.3542%
hidden testLOW VOLATILITY42955.9%2.2037%
hidden testMEDIUM VOLATILITY248-28.3%-0.8236%
hidden testNORMAL8009.7%0.3035%
hidden testSIDEWAYS293-7.6%-0.2637%
hidden testUPTREND37158.7%1.4346%
trainDOWNTREND518-4.5%-0.3117%
trainEXPENSIVE31151.4%1.4167%
trainEXTREME100403.3%5.4797%
trainHIGH VOLATILITY69946.1%1.0939%
trainLOW VOLATILITY74532.1%1.4151%
trainMEDIUM VOLATILITY568-20.3%-0.7834%
trainNORMAL1,601-7.3%-0.2934%
trainSIDEWAYS592-11.4%-0.4535%
trainUPTREND90259.5%1.4561%
validationDOWNTREND12552.8%2.5712%
validationEXPENSIVE13877.2%1.4457%
validationEXTREME144340.3%4.0992%
validationHIGH VOLATILITY258106.4%1.5850%
validationLOW VOLATILITY18317.6%0.7650%
validationMEDIUM VOLATILITY315106.8%2.4553%
validationNORMAL4749.9%0.3337%
validationSIDEWAYS206-12.6%-0.4238%
validationUPTREND425141.9%2.3069%

Trades (full period)

latest 100 of 145
EntryExitEntry PxExit PxReturnDays
2026-08-21—$362.86—5.31%20OPEN
2026-07-132026-07-14$394.76$396.18-3.38%2
2026-05-042026-06-08$392.51$408.95-0.15%25
2026-04-292026-04-30$372.80$381.63-1.06%2
2026-04-202026-04-22$392.50$387.51-3.74%3
2025-12-152026-01-05$475.31$451.67-4.74%14
2025-11-062025-11-07$445.91$429.52-3.69%2
2025-11-032025-11-04$468.37$444.262.38%2
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-09-122025-10-15$395.94$435.1516.16%24
2025-08-252025-09-10$346.60$347.791.84%12
2025-08-072025-08-18$322.27$335.163.12%8
2025-08-052025-08-06$308.72$319.91-0.37%2
2025-07-312025-08-01$308.27$302.63-3.57%2
2025-05-052025-06-06$280.26$295.14-1.07%24
2025-04-292025-05-02$292.03$287.21-2.07%4
2025-04-152025-04-17$254.11$241.37-4.47%3
2025-04-102025-04-14$252.40$252.35-7.50%3
2025-04-082025-04-09$221.86$272.20-5.09%2
2024-11-072025-01-08$296.91$394.9436.41%42
2024-10-282024-10-29$262.51$259.52-2.68%2
2024-09-202024-10-11$238.25$217.80-2.31%16
2024-09-042024-09-18$219.41$227.207.99%11
2024-06-272024-08-01$197.42$216.8617.94%25
2024-05-282024-05-29$176.75$176.19-1.59%2
2024-05-142024-05-24$177.55$179.240.88%9
2024-04-302024-05-08$183.28$174.72-8.56%7
2024-04-152024-04-16$161.48$157.11-5.79%2
2024-02-262024-03-05$199.40$180.74-2.19%7
2023-12-222023-12-29$252.54$248.48-0.72%5
2023-12-182023-12-21$252.08$254.50-2.70%4
2023-11-172023-12-14$234.30$251.052.24%19
2023-09-122023-09-26$267.48$244.12-9.90%11
2023-07-262023-07-28$264.35$266.44-3.80%3
2023-05-232023-07-21$185.77$260.0238.92%41
2023-01-252023-03-07$144.43$187.7134.42%29
2022-09-212022-09-22$300.80$288.59-2.77%2
2022-07-192022-08-29$245.53$284.8219.53%30
2022-07-142022-07-18$238.31$240.551.07%3
2022-06-222022-06-28$236.09$232.663.12%5
2022-03-222022-04-21$331.33$336.265.88%22
2022-01-122022-01-24$368.74$310.00-11.49%8
2022-01-042022-01-06$383.20$354.90-9.49%3
2021-10-082021-11-29$261.83$379.0036.05%36
2021-09-152021-10-06$251.94$260.924.64%16
2021-09-082021-09-13$251.29$247.67-2.41%4
2021-08-232021-08-27$235.43$237.312.87%5
2021-08-192021-08-20$224.49$226.75-2.45%2
2021-08-032021-08-18$236.58$229.66-6.38%12
2021-07-212021-07-23$218.43$214.46-1.90%3
2021-06-242021-07-20$226.61$220.17-1.77%18
2021-06-182021-06-23$207.77$218.860.95%4
2021-06-142021-06-16$205.90$201.62-1.92%3
2021-05-032021-05-04$228.30$224.53-3.66%2
2021-04-142021-04-30$244.08$236.48-11.37%13
2021-04-052021-04-08$230.35$227.931.19%4
2020-11-192021-02-09$166.42$283.1577.07%55
2020-10-222020-10-26$141.93$140.09-0.67%3
2020-10-162020-10-19$146.56$143.61-2.25%2
2020-10-072020-10-14$141.77$153.777.68%6
2020-08-142020-09-24$110.05$129.2617.09%29
2020-06-012020-08-10$59.87$94.5773.64%50
2020-05-282020-05-29$53.72$55.67-1.96%2
2020-04-142020-05-27$47.33$54.6825.56%31
2019-12-172020-03-04$25.27$49.9795.02%53
2019-11-292019-12-06$22.00$22.39-0.48%6
2019-10-152019-11-25$17.19$22.4229.35%30
2019-09-272019-10-04$16.14$15.43-4.12%6
2019-09-122019-09-25$16.39$15.25-9.85%10
2019-07-312019-08-02$16.11$15.62-3.66%3
2019-06-212019-07-29$14.79$15.723.63%26
2019-04-042019-04-05$17.85$18.33-8.43%2
2019-02-282019-03-01$21.33$19.651.43%2
2018-12-132018-12-18$25.12$22.47-5.15%4
2018-12-062018-12-10$24.20$24.34-0.68%3
2018-11-292018-11-30$22.74$23.37-2.12%2
2018-10-292018-11-26$22.32$23.07-1.73%20
2018-10-042018-10-05$18.79$17.46-4.60%2
2018-08-222018-08-30$21.44$20.21-5.44%7
2018-08-032018-08-20$23.21$20.56-12.77%12
2018-06-122018-07-06$22.85$20.59-7.09%18
2018-06-072018-06-08$21.07$21.18-1.27%2
2018-04-272018-05-04$19.61$19.61-0.56%6
2018-03-132018-03-15$22.79$21.71-5.65%3
2018-01-222018-02-07$23.44$23.00-4.78%13
2018-01-092018-01-11$22.25$22.53-0.68%3
2017-12-222017-12-26$21.68$21.15-2.15%2
2017-12-122017-12-21$22.74$22.11-0.18%8
2017-09-152017-09-22$25.32$23.41-3.15%6
2017-08-292017-09-01$23.16$23.692.76%4
2017-08-252017-08-28$23.20$23.04-1.58%2
2017-08-042017-08-22$23.79$22.76-2.85%13
2017-06-012017-07-05$22.69$21.813.20%24
2017-05-112017-05-18$21.54$20.87-6.06%6
2017-03-282017-05-04$18.50$19.7014.87%27
2016-12-142017-02-24$13.25$17.1328.93%49
2016-10-042016-10-06$14.09$13.40-2.65%3
2016-07-222016-08-09$14.82$15.272.36%13
2016-07-192016-07-20$15.02$15.22-0.64%2
2016-06-162016-06-17$14.53$14.36-0.09%2