Strategy Zoo / S0373
VolumeBreakout_V0373
ARCHIVEDhybridstructuraladded entry filter: volume_breakout == 1; changed ret_5d threshold 0.0029 -> 0.0677
Fitness
0.5129
Generation
17
Complexity
15
Created
2026-09-18
Lineage
Parents (1)
entry = VolumeBreakout_V0245 OR LongTermTrend_V0253
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0373 [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 > 0.0677) and ret_20d > 0.1208 and ret_20d > 0.0326)) and volume_breakout == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.5% | 45.5% | 4.8% | 20.6% |
| Total Return | 314.8% | 208.1% | 18.8% | 1463.9% |
| Sharpe | 0.83 | 1.29 | 0.33 | 0.85 |
| Sortino | 0.71 | 0.83 | 0.17 | 0.60 |
| Calmar | 0.67 | 1.67 | 0.23 | 0.71 |
| Volatility | 25.1% | 33.2% | 21.2% | 26.1% |
| Max DD | -29.1% | -27.2% | -21.0% | -29.1% |
| Win Rate | 53.8% | 75.0% | 66.7% | 60.0% |
| Avg Win | 28.9% | 49.8% | 13.3% | 37.8% |
| Avg Loss | -5.8% | -3.2% | -6.4% | -5.6% |
| Payoff | 4.95 | 10.00 | 2.08 | 6.78 |
| Expectancy | 12.9% | 36.6% | 6.7% | 20.5% |
| Profit Factor | 5.77 | 10.00 | 4.16 | 10.00 |
| Trades | 13 | 4 | 3 | 20 |
| Avg Holding Days | 35.8 | 36.3 | 36.7 | 38.4 |
| Turnover | 3.4 | 2.7 | 1.6 | 2.7 |
| Exposure | 24.8% | 18.7% | 11.5% | 20.2% |
Growth of $100
VolumeBreakout_V0373 vs TSLA Buy & Hold
VolumeBreakout_V0373 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 | -2.4% | -0.18 | -12.6% | 1 |
| 2017 | 11.1% | 0.67 | -12.7% | 2 |
| 2018 | -15.1% | -0.50 | -29.1% | 3 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 141.8% | 2.02 | -27.2% | 2 |
| 2021 | 22.7% | 0.87 | -17.6% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 4.7% | 0.12 | 61% |
| hidden test | EXTREME | 48 | 194.8% | 3.46 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -3.3% | -0.11 | 20% |
| hidden test | LOW VOLATILITY | 429 | 19.0% | 2.10 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.4% | -0.14 | 17% |
| hidden test | NORMAL | 800 | -4.1% | -0.32 | 3% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 17.4% | 0.52 | 29% |
| train | DOWNTREND | 518 | -0.3% | -0.37 | 0% |
| train | EXPENSIVE | 311 | 37.1% | 1.26 | 44% |
| train | EXTREME | 100 | 324.1% | 4.62 | 74% |
| train | HIGH VOLATILITY | 699 | 46.6% | 1.37 | 29% |
| train | LOW VOLATILITY | 745 | 20.6% | 1.17 | 28% |
| train | MEDIUM VOLATILITY | 568 | -10.5% | -0.52 | 16% |
| train | NORMAL | 1,601 | -1.2% | -0.07 | 18% |
| train | SIDEWAYS | 592 | -6.0% | -0.53 | 7% |
| train | UPTREND | 902 | 50.7% | 1.40 | 51% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 101.7% | 2.55 | 46% |
| validation | EXTREME | 144 | 105.5% | 1.78 | 36% |
| validation | HIGH VOLATILITY | 258 | 31.3% | 0.70 | 19% |
| validation | LOW VOLATILITY | 183 | 5.2% | 0.47 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 74.5% | 2.42 | 26% |
| validation | NORMAL | 474 | 6.9% | 0.46 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 76.5% | 1.73 | 33% |
Trades (full period)
20 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-11 | 2025-01-14 | $350.00 | $396.36 | 25.32% | 43 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-07-14 | 2020-08-10 | $101.12 | $94.57 | -3.16% | 20 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-04-04 | 2016-05-04 | $16.47 | $14.84 | -2.41% | 23 | |
| 2015-04-28 | 2015-07-28 | $15.37 | $17.65 | 9.05% | 64 | |
| 2014-06-17 | 2014-07-17 | $15.44 | $14.36 | -3.51% | 22 | |
| 2014-02-21 | 2014-03-26 | $13.97 | $14.20 | 4.78% | 24 | |
| 2013-07-18 | 2013-10-22 | $7.94 | $11.44 | 43.25% | 68 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-12 | 2013-02-26 | $2.53 | $2.30 | -10.70% | 10 | |
| 2012-02-16 | 2012-04-10 | $2.28 | $2.16 | -1.53% | 37 |