VolumeBreakout_V0366

ARCHIVEDhybrid

llm1) Replaced overfit 20d-return gating with two practical breakout entries: (a) robust 50-day breakout + elevated rel_volume but restrained by vol_pctile to avoid noisy/high-vol regimes; (b) 20-day breakout with trend/momentum confirmation (close>200sma or positive 50sma slope) + positive macd_hist and rsi<70. 2) Improved exits: add momentum/overbought exit (rsi>75) and trend-failure exit (close < sma_50) alongside original 20d stop. 3) Added volatility and bubble regime gates to avoid high-volatility and extreme-bubble environments. 4) Reduced base_position to 0.8 to lower portfolio stress and drawdown risk.

Fitness

0.2180

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

VolumeBreakout_V0273S0273 · gen 13ARCHIVEDllm

entry = VolumeBreakout_V0245 OR LongTermTrend_V0253

Children (0)

None

Strategy Logic (pseudocode)

# VolumeBreakout_V0366  [hybrid]
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and ((breakout_50 == 1 and rel_volume > 1.2 and vol_pctile < 0.75) or (breakout_20 == 1 and (close > sma_200 or sma_50_slope > 0.0) and macd_hist > 0.0 and rsi_14 < 70.0)):
    position = 0.8
if long and (ret_20d < -0.03 or rsi_14 > 75.0 or close < sma_50):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.2%	13.0%	-6.2%	0.2%
Total Return	-9.3%	44.2%	-20.9%	3.3%
Sharpe	-0.00	0.77	-0.33	0.09
Sortino	-0.00	0.56	-0.21	0.06
Calmar	-0.03	0.57	-0.24	0.01
Volatility	15.4%	18.0%	15.5%	16.0%
Max DD	-39.6%	-22.8%	-25.8%	-39.6%
Win Rate	48.8%	55.6%	42.9%	48.8%
Avg Win	4.8%	7.4%	5.9%	5.7%
Avg Loss	-4.6%	-3.9%	-5.9%	-4.9%
Payoff	1.04	1.88	1.00	1.17
Expectancy	-0.0%	2.4%	-0.9%	0.3%
Profit Factor	0.99	2.36	0.75	1.12
Trades	43	18	21	82
Avg Holding Days	9.3	10.6	8.0	9.3
Turnover	8.6	9.6	9.1	8.9
Exposure	14.3%	18.3%	12.5%	14.7%

Growth of $100

VolumeBreakout_V0366 vs TSLA Buy & Hold

VolumeBreakout_V0366 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	-11.4%	-1.39	-13.7%	5
2017	11.4%	0.92	-11.2%	12
2018	-12.1%	-1.13	-13.4%	2
2019	-0.3%	0.08	-15.8%	6
2020	30.8%	1.86	-6.3%	6
2021	14.9%	0.93	-13.0%	9
2022	-6.8%	-0.22	-22.8%	3

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	-4.1%	-1.70	1%
hidden test	EXPENSIVE	83	11.7%	0.68	8%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-1.9%	-0.16	1%
hidden test	LOW VOLATILITY	429	9.5%	0.61	20%
hidden test	MEDIUM VOLATILITY	248	-33.9%	-1.88	12%
hidden test	NORMAL	800	-7.2%	-0.46	14%
hidden test	SIDEWAYS	293	-18.0%	-1.03	23%
hidden test	UPTREND	371	4.2%	0.22	13%
train	DOWNTREND	518	-6.3%	-1.03	1%
train	EXPENSIVE	311	36.8%	2.17	12%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	5.2%	0.35	1%
train	LOW VOLATILITY	745	12.8%	0.85	27%
train	MEDIUM VOLATILITY	568	-23.3%	-1.43	14%
train	NORMAL	1,601	-7.2%	-0.46	16%
train	SIDEWAYS	592	-12.5%	-0.82	12%
train	UPTREND	902	11.7%	0.62	23%
validation	DOWNTREND	125	15.0%	1.38	4%
validation	EXPENSIVE	138	73.0%	3.28	14%
validation	EXTREME	144	-0.1%	-1.32	0%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	10.5%	0.61	39%
validation	MEDIUM VOLATILITY	315	27.0%	1.10	21%
validation	NORMAL	474	0.8%	0.04	25%
validation	SIDEWAYS	206	-15.3%	-0.70	25%
validation	UPTREND	425	27.6%	1.57	19%

Trades (full period)

82 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-07-02	2026-07-06	$393.45	$419.77	-6.15%	2
2026-05-08	2026-06-08	$428.35	$408.95	-4.08%	21
2026-04-20	2026-04-22	$392.50	$387.51	-3.00%	3
2025-12-08	2026-01-05	$439.58	$451.67	-3.06%	19
2025-11-04	2025-11-14	$444.26	$404.35	-11.56%	9
2025-08-26	2025-09-16	$351.67	$421.62	14.33%	15
2025-08-12	2025-08-22	$340.84	$340.01	-4.63%	9
2025-05-12	2025-05-13	$318.38	$334.07	5.23%	2
2024-09-24	2024-10-14	$254.27	$219.16	-10.47%	15
2024-09-16	2024-09-20	$226.78	$238.25	4.58%	5
2024-09-06	2024-09-09	$210.73	$216.27	-6.91%	2
2024-07-09	2024-07-10	$262.33	$263.26	2.81%	2
2024-07-05	2024-07-08	$251.52	$252.94	1.50%	2
2024-06-18	2024-07-03	$184.86	$246.39	18.26%	11
2023-11-29	2024-01-10	$244.14	$233.94	-3.90%	29
2023-11-16	2023-11-17	$233.59	$234.30	-3.20%	2
2023-09-12	2023-09-22	$267.48	$244.88	-5.39%	9
2023-06-12	2023-06-13	$249.83	$258.71	1.62%	2
2023-06-08	2023-06-09	$234.86	$244.40	3.50%	2
2023-06-05	2023-06-06	$217.61	$221.31	1.20%	2
2023-04-03	2023-04-06	$194.77	$185.06	-8.66%	4
2022-09-20	2022-09-26	$308.73	$276.01	-8.95%	5
2022-07-22	2022-08-29	$272.24	$284.82	4.81%	27
2022-03-21	2022-04-27	$307.05	$293.84	-2.35%	27
2021-11-02	2021-11-03	$390.67	$404.62	-2.58%	2
2021-10-28	2021-10-29	$359.01	$371.33	2.86%	2
2021-10-26	2021-10-27	$339.48	$345.95	-0.66%	2
2021-10-22	2021-10-25	$303.23	$341.62	1.24%	2
2021-10-19	2021-10-20	$288.09	$288.60	-0.70%	2
2021-08-02	2021-10-18	$236.56	$290.04	17.73%	55
2021-06-24	2021-07-26	$226.61	$219.21	-1.71%	22
2021-04-14	2021-04-30	$244.08	$236.48	-9.14%	13
2020-12-18	2021-01-08	$231.67	$293.34	19.09%	14
2020-11-27	2020-11-30	$195.25	$189.20	1.48%	2
2020-11-18	2020-11-25	$162.21	$191.33	20.12%	6
2020-10-15	2020-10-20	$149.63	$140.65	-5.46%	4
2020-01-14	2020-01-15	$35.86	$34.57	1.83%	2
2020-01-08	2020-01-09	$32.81	$32.09	3.77%	2
2020-01-06	2020-01-07	$30.10	$31.27	1.38%	2
2019-12-24	2019-12-26	$28.35	$28.73	0.99%	2
2019-12-20	2019-12-23	$27.04	$27.95	0.15%	2
2019-12-17	2019-12-19	$25.27	$26.94	2.28%	3
2019-10-15	2019-10-25	$17.19	$21.88	13.15%	9
2019-09-11	2019-09-25	$16.47	$15.25	-4.29%	11
2019-07-25	2019-07-26	$15.25	$15.20	-11.04%	2
2018-12-04	2018-12-19	$23.98	$22.20	-4.93%	11
2018-01-18	2018-02-09	$22.97	$20.69	-7.48%	17
2017-12-12	2017-12-27	$22.74	$20.78	-2.96%	11
2017-09-14	2017-09-26	$25.18	$23.02	-4.78%	9
2017-08-04	2017-08-07	$23.79	$23.68	2.10%	2
2017-06-06	2017-06-09	$23.52	$23.82	5.04%	4
2017-05-02	2017-05-10	$21.26	$21.68	-0.49%	7
2017-03-27	2017-04-04	$18.01	$20.25	10.49%	7
2017-02-14	2017-02-15	$18.73	$18.65	-0.05%	2
2017-02-10	2017-02-13	$17.95	$18.71	-0.15%	2
2017-01-24	2017-01-25	$16.97	$16.96	1.67%	2
2017-01-20	2017-01-23	$16.32	$16.59	0.16%	2
2017-01-17	2017-01-19	$15.71	$16.25	0.05%	3
2017-01-05	2017-01-09	$15.12	$15.42	0.55%	3
2016-12-28	2016-12-29	$14.65	$14.31	-0.08%	2
2016-07-26	2016-08-23	$15.30	$14.99	-2.61%	21
2016-06-08	2016-06-10	$15.70	$14.59	-1.18%	3
2016-04-07	2016-05-04	$17.15	$14.84	-10.20%	20
2016-04-05	2016-04-06	$17.03	$17.69	2.58%	2
2015-12-31	2016-01-05	$16.00	$14.90	-5.08%	3
2015-09-22	2015-09-29	$17.40	$16.44	-4.94%	6
2015-06-09	2015-07-28	$17.07	$17.65	-1.05%	35
2015-05-06	2015-05-13	$15.36	$16.21	3.87%	6
2015-04-23	2015-04-28	$14.57	$15.37	4.25%	4
2014-11-12	2014-11-24	$16.61	$16.45	-2.78%	9
2014-09-05	2014-09-16	$18.49	$17.38	-9.18%	8
2014-08-04	2014-09-03	$15.90	$18.75	16.99%	22
2014-06-17	2014-07-17	$15.44	$14.36	-2.74%	22
2014-02-19	2014-02-26	$12.91	$16.87	17.11%	6
2013-09-20	2013-09-27	$12.23	$12.73	4.64%	6
2013-02-07	2013-02-22	$2.63	$2.41	-8.32%	11
2013-01-24	2013-01-29	$2.47	$2.53	4.33%	4
2012-11-06	2013-01-11	$2.08	$2.19	5.08%	46
2012-09-18	2012-09-26	$2.09	$1.84	-12.24%	7
2012-07-16	2012-07-20	$2.40	$2.12	-4.73%	5
2012-06-19	2012-06-25	$2.14	$2.21	4.76%	5
2012-02-15	2012-04-10	$2.24	$2.16	0.02%	38