Strategy
Data as of Sunday, Mar 1, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +263.71% | Net profit | $2,637,138 | Gross profit | $3,483,016 | Gross loss | $708,603 | CAGR | +7.12% | Annualized return | +7.12% | Monthly average return | +0.64% | Median monthly return | +1.40% |
| Best month return | +6.98% | Worst month return | -8.90% | Rolling 1-month return | +11.06% | Log return CAGR | +10.52% | Compounded vs simple return difference | -264.76% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.98% | Average drawdown | +14.56% | Median drawdown | -7.58% | Drawdown duration (max) | 1149.6 days | Average drawdown duration | 33.4 days | Ulcer index | 15.97 | Pain index | 8.14 | Pain ratio | 43.05 |
| Drawdown volatility | 5.42 | Worst peak-to-trough loss | +28.98% | % time in drawdown | +85.71% | Drawdown area | 737.68 | Downside deviation | +14.03% | Semi-variance | 3.17 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.16 | Rolling 1-month Sharpe | 1.26 | Sortino ratio | 0.40 | Calmar ratio | 0.24 | Sterling ratio | 0.24 | Burke ratio | 3.96 | Return / volatility | 6.64 | Return / downside risk | 10.10 |
| Return / max drawdown | 6.86 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 69 | Win rate | +36.17% | Loss rate | +63.83% | Average win | +271.46% | Average loss | -1.65% | Win/Loss ratio | 2.05 | Expectancy | +268.21% | Profit factor | 1.08 |
| Payoff ratio | 2.05 | Best trade | +282.44% | Worst trade | -7.90% | Trade return standard deviation | +5.16% | Consecutive wins (max) | 3 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +18.58% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +9.74% | Information ratio | -0.58 | Treynor ratio | 0.01 | ||||||||
Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.
| Metric | Value |
|---|---|
| Total return | -6.41% |
| Net profit | -$64,132 |
| Gross profit | $964,904 |
| Gross loss | $986,355 |
| CAGR | -1.32% |
| Annualized return | -1.32% |
| Monthly average return | -0.03% |
| Median monthly return | +2.81% |
| Best month return | +5.83% |
| Worst month return | -11.58% |
| Rolling 1-month return | +7.16% |
| Log return CAGR | -17.04% |
| Compounded vs simple return difference | -0.73% |
Performance metrics for each index symbol tested with this strategy.
| Index | Country | Return % | Sharpe | Sortino | Max DD % | Win Rate % | Trades | Profit Factor | Volatility % |
|---|---|---|---|---|---|---|---|---|---|
| Merval | Argentina | +5407.27% | 1.24 | 4.81 | +40.46% | +100.00% | 1 | 0.00 | +43.45% |
| S&P/ASX 200 | Australia | -18.69% | -0.48 | -0.60 | +26.07% | +28.57% | 91 | 0.73 | +8.79% |
| Bovespa | Brazil | +7.52% | 0.13 | 0.18 | +21.17% | +28.21% | 78 | 1.19 | +11.51% |
| TSX Composite | Canada | +36.87% | 0.62 | 0.90 | +15.66% | +42.86% | 70 | 1.59 | +9.76% |
| Euro Stoxx 50 | Europe | -5.46% | -0.10 | -0.13 | +22.48% | +31.33% | 83 | 0.98 | +11.23% |
| Euronext 100 | Europe | +12.75% | 0.24 | 0.33 | +24.60% | +42.50% | 80 | 1.23 | +9.61% |
| CAC 40 | France | -8.36% | -0.15 | -0.20 | +27.92% | +36.05% | 86 | 0.95 | +11.36% |
| DAX | Germany | +7.03% | 0.11 | 0.16 | +22.80% | +32.47% | 77 | 1.15 | +11.65% |
| Hang Seng | Hong Kong | +2.49% | 0.03 | 0.04 | +36.06% | +34.62% | 52 | 1.11 | +16.81% |
| BSE Sensex | India | +23.30% | 0.44 | 0.68 | +13.08% | +33.33% | 63 | 1.49 | +9.45% |
| Nifty 50 | India | +17.51% | 0.31 | 0.45 | +14.55% | +32.50% | 80 | 1.33 | +10.27% |
| Nikkei 225 | Japan | +10.70% | 0.15 | 0.22 | +29.88% | +36.90% | 84 | 1.18 | +14.00% |
| KOSPI | South Korea | +50.78% | 0.60 | 0.97 | +38.56% | +32.14% | 84 | 1.73 | +13.56% |
| Swiss Market | Switzerland | +34.57% | 0.69 | 1.05 | +11.69% | +40.98% | 61 | 1.79 | +8.41% |
| Taiwan Weighted | Taiwan | +0.66% | 0.01 | 0.02 | +30.52% | +34.62% | 78 | 1.09 | +11.87% |
| FTSE 100 | UK | +17.53% | 0.41 | 0.59 | +10.78% | +42.19% | 64 | 1.46 | +7.78% |
| CBOE Volatility Index | US | -5.19% | -0.01 | -0.01 | +74.26% | +0.00% | 1 | 0.00 | +125.68% |
| Dow Jones Industrial Average | US | +3.24% | 0.06 | 0.08 | +25.12% | +36.51% | 63 | 1.10 | +10.50% |
| NASDAQ Composite | US | -21.22% | -0.30 | -0.38 | +46.13% | +24.05% | 79 | 0.89 | +16.06% |
| Russell 2000 | US | -28.92% | -0.43 | -0.56 | +43.92% | +34.41% | 93 | 0.78 | +16.28% |
| S&P 500 | US | -6.41% | -0.11 | -0.14 | +32.80% | +35.37% | 82 | 0.98 | +12.06% |