Strategy Zoo / S0409
VolumeBreakout_V0409
ARCHIVEDhybridcrossoverentry = VolumeBreakout_V0246 AND PriceMomentum_V0332
Fitness
0.6418
Generation
19
Complexity
6
Created
2026-09-18
Lineage
Parents (2)
entry from VolumeBreakout_V0074, exit from VolumeBreakout_V0185
swapped indicator vol_chg -> rel_volume; removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# VolumeBreakout_V0409 [hybrid]
if flat and (breakout_50 == 1 and (rel_volume > 2.5844 or ret_20d > 0.05)):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.8% | 77.5% | 19.0% | 27.5% |
| Total Return | 222.3% | 459.4% | 90.4% | 3433.7% |
| Sharpe | 0.71 | 1.71 | 0.91 | 1.02 |
| Sortino | 0.54 | 1.47 | 0.60 | 0.78 |
| Calmar | 0.40 | 3.43 | 1.10 | 0.70 |
| Volatility | 24.9% | 37.6% | 21.7% | 27.3% |
| Max DD | -39.5% | -22.6% | -17.2% | -39.5% |
| Win Rate | 48.8% | 57.9% | 56.3% | 52.6% |
| Avg Win | 12.2% | 21.6% | 11.1% | 15.1% |
| Avg Loss | -4.3% | -3.0% | -4.0% | -4.0% |
| Payoff | 2.81 | 7.12 | 2.81 | 3.78 |
| Expectancy | 3.7% | 11.2% | 4.5% | 6.0% |
| Profit Factor | 2.69 | 9.80 | 3.61 | 4.19 |
| Trades | 43 | 19 | 16 | 78 |
| Avg Holding Days | 10.7 | 11.4 | 9.3 | 10.7 |
| Turnover | 10.9 | 12.7 | 8.7 | 10.6 |
| Exposure | 21.2% | 26.1% | 14.3% | 20.5% |
Growth of $100
VolumeBreakout_V0409 vs TSLA Buy & Hold
VolumeBreakout_V0409 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 | 6.5% | 0.63 | -6.6% | 2 |
| 2017 | 20.4% | 1.22 | -9.3% | 9 |
| 2018 | -21.2% | -1.14 | -30.6% | 6 |
| 2019 | 32.5% | 1.19 | -14.9% | 2 |
| 2020 | 291.2% | 2.72 | -18.3% | 9 |
| 2021 | 42.6% | 1.39 | -16.8% | 7 |
| 2022 | -3.6% | -0.15 | -14.9% | 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 | 2.1% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 82.3% | 2.38 | 40% |
| hidden test | EXTREME | 48 | 133.3% | 2.99 | 40% |
| hidden test | HIGH VOLATILITY | 254 | 23.3% | 0.88 | 16% |
| hidden test | LOW VOLATILITY | 429 | 25.0% | 1.37 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.1% | 0.33 | 13% |
| hidden test | NORMAL | 800 | 6.5% | 0.37 | 10% |
| hidden test | SIDEWAYS | 293 | 1.7% | 0.09 | 12% |
| hidden test | UPTREND | 371 | 46.8% | 1.54 | 26% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 24.1% | 0.79 | 38% |
| train | EXTREME | 100 | 288.1% | 4.19 | 70% |
| train | HIGH VOLATILITY | 699 | 31.3% | 0.88 | 22% |
| train | LOW VOLATILITY | 745 | 17.9% | 1.15 | 27% |
| train | MEDIUM VOLATILITY | 568 | 0.5% | 0.03 | 12% |
| train | NORMAL | 1,601 | -0.5% | -0.03 | 15% |
| train | SIDEWAYS | 592 | -3.3% | -0.21 | 11% |
| train | UPTREND | 902 | 42.8% | 1.23 | 39% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 73.7% | 2.07 | 33% |
| validation | EXTREME | 144 | 230.0% | 3.38 | 53% |
| validation | HIGH VOLATILITY | 258 | 76.0% | 1.55 | 21% |
| validation | LOW VOLATILITY | 183 | 19.9% | 1.34 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 80.6% | 2.25 | 32% |
| validation | NORMAL | 474 | 11.3% | 0.54 | 16% |
| validation | SIDEWAYS | 206 | -10.0% | -0.96 | 7% |
| validation | UPTREND | 425 | 113.8% | 2.33 | 41% |
Trades (full period)
78 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-05-21 | $445.00 | $417.85 | -2.78% | 9 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-03 | $318.38 | $344.27 | 14.67% | 16 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 10.41% | 12 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2023-12-28 | 2024-01-02 | $253.18 | $248.42 | -5.15% | 3 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-02-08 | 2023-02-23 | $201.29 | $202.07 | 1.86% | 11 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-22 | 2022-08-12 | $272.24 | $300.03 | 5.28% | 16 | |
| 2022-03-29 | 2022-04-11 | $366.52 | $325.31 | -6.26% | 10 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.28% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-04 | 2021-08-17 | $236.97 | $221.90 | -3.51% | 10 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-04 | 2021-01-25 | $243.26 | $293.60 | 19.74% | 15 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 26.47% | 16 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-09 | 2020-06-25 | $62.71 | $65.73 | 0.95% | 13 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-11 | 2020-05-14 | $54.09 | $53.56 | -3.67% | 4 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 109.25% | 48 | |
| 2019-10-15 | 2019-11-21 | $17.19 | $23.66 | 36.80% | 28 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-10-30 | 2018-11-21 | $21.99 | $22.55 | 3.57% | 17 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-06-26 | $21.07 | $22.80 | 4.02% | 14 | |
| 2018-01-22 | 2018-02-05 | $23.44 | $22.21 | -1.99% | 11 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-06-01 | 2017-06-27 | $22.69 | $24.16 | 10.48% | 19 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.17% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2016-12-21 | 2017-02-02 | $13.85 | $16.77 | 19.13% | 29 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2016-03-18 | 2016-04-01 | $15.52 | $15.84 | 1.30% | 10 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-29 | 2015-06-01 | $16.72 | $16.63 | -0.46% | 2 | |
| 2015-04-23 | 2015-05-22 | $14.57 | $16.52 | 11.71% | 22 | |
| 2014-09-02 | 2014-09-12 | $18.94 | $18.61 | 3.73% | 9 | |
| 2014-08-28 | 2014-08-29 | $17.59 | $17.98 | 0.03% | 2 | |
| 2014-08-26 | 2014-08-27 | $17.45 | $17.55 | -0.51% | 2 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-18 | 2014-07-07 | $15.14 | $14.84 | -1.24% | 13 | |
| 2014-02-10 | 2014-03-11 | $13.10 | $15.63 | 27.79% | 21 | |
| 2014-01-22 | 2014-02-06 | $11.90 | $11.89 | -1.48% | 12 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-23 | 2013-09-10 | $10.79 | $11.09 | 2.09% | 12 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-02 | 2013-06-04 | $2.96 | $6.32 | 110.35% | 45 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 6.59% | 16 | |
| 2012-11-20 | 2012-12-14 | $2.20 | $2.25 | 1.89% | 18 | |
| 2012-07-16 | 2012-07-23 | $2.40 | $2.04 | -7.36% | 6 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-21 | 2012-02-29 | $2.30 | $2.23 | -3.51% | 7 |