VOL-01 · Volatility

Volatility Breakout

Captures volatility expansion while cutting exposure on reversal bars.

VolatilityBreakout

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At a glance

Best onUSO 3Y Total Return Top5

Signal frequencyDaily

Typical holding periodDays to weeks

Asset classesCommodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 2 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 10 of 10 markets.
Best market by Sharpe ratio: SLV (Sharpe 0.78, CAGR 9.4%).
Weakest market: UNG (Sharpe -0.78, CAGR -21.4%).

Equity curve

Volatility Breakout Buy & hold · USO, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 62.6USO, 5 years

Return quality · 30%48

Drawdown control · 25%78

Consistency · 20%38

Robustness · 15%81

Significance · 10%91

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market13%

Ulcer index6.6%

Longest drawdown939 days

Daily VaR (95%)-0.34%

Probability Sharpe > 091%

Beta vs buy & hold0.14

Alpha (annual)+4.7%

Positive months38%

CAGR after 10 bp costs4.6%

Deflated Sharpe (luck-adjusted)20%

CAGR, 90% bootstrap range0.5% to 16.6%

Max drawdown, 90% bootstrap range-23.5% to -9.1%

How it held up in sell-offs (USO)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-1.3%	-41.8%
COVID crash (Feb–Mar 2020)	-12.2%	-56.4%
2022 bear market	+5.3%	+29.4%
Market above its 200-day average (annualized) · 48%	+5.2%	-3.0%
Market below its 200-day average (annualized) · 52%	+0.7%	-6.4%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
SLViShares Silver Trust	9.4%	15.2%	0.78	-15.1%	-57.8%	12.7%	81
USOUnited States Oil Fund	7.5%	20.2%	0.54	-12.9%	-36.2%	14.3%	63
DBCInvesco DB Commodity Index	3.3%	10.8%	0.46	-9.4%	-27.3%	7.8%	55
ETH-USDEthereum	7.1%	-15.1%	0.34	-36.6%	-79.0%	18.8%	81
DBAInvesco DB Agriculture	1.3%	8.8%	0.30	-5.4%	-15.9%	4.7%	43
SPYSPDR S&P 500	1.1%	11.6%	0.21	-10.1%	-24.5%	6.0%	30
GLDSPDR Gold Shares	1.1%	16.4%	0.20	-14.1%	-28.3%	8.9%	25
BTC-USDBitcoin	-1.2%	2.6%	0.02	-34.8%	-75.9%	14.9%	43
EURUSD=XEUR/USD	-0.7%	-0.7%	-0.23	-8.7%	-17.2%	2.8%	35
UNGUnited States Natural Gas	-21.4%	-30.7%	-0.78	-80.0%	-93.3%	26.4%	17

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

USO across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+12.1%	12.1%	0.70	0.55	-12.9%	8%	36
3 years	+29.3%	8.9%	0.69	0.49	-12.9%	7%	90
5 years	+43.9%	7.5%	0.54	0.28	-12.9%	7%	148
Full history	+59.9%	2.8%	0.28	0.14	-34.4%	7%	512

Rules

Entry

Go long when return > 1.5x ATR

Exit

Exit when return < 0

Indicators

ATR(20)
Close returns

Inputs

Breakout = 1.5x ATR
Lookback = 20

Position sizing

Reduce size in high vol

Risk controls

Stop trading after 10% drawdown

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Strong in macro shocks
Needs disciplined exits

Related strategies

COMBO-01 · SPY 5Y Sharpe 0.03Bollinger-Keltner Squeeze CS-02 · CS-UNIV 5Y Sharpe 0.97Low Volatility Rotation KC-01 · SPY 5Y Sharpe 0.67Keltner Channel Breakout MR-02 · SPY 5Y Sharpe 0.39Bollinger Band Reversion REG-14 · SPY 5Y Sharpe 0.46Volatility Regime Switch RP-01 · SPY 5Y Sharpe 0.66Volatility Target

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.