I'm so glad you got him back. In the last couple of years of her life, Tinkerbelle was prone to wandering off. Luckily I live in a village of about 20 houses and the neighbours brought her back when I was at my wits end...I think she was a bit senile! But your heart feels like it will not beat properly the whole time, doesn't it?!
I think you really have to work on training, you might need some help with this as there has to be a safety net should he run again. But he must learn that he can't go through the door without you, no matter what is goiong on....he should always follow you. It's very hard for them, I know as Belle is 16 weeks and she is just desperate to meet anyone and anything out the front. She is one of the most silent yorkies I know, but she cries to get out there when the door is open. Still, we make her wait and give copious treats when she does good.
I feel bad that I don't have a magic answer, I wish there were one!
These critters take some braking to our whim!