Strategy
Data as of Sunday, Mar 22, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +272.60% | Net profit | $2,725,992 | Gross profit | $3,510,924 | Gross loss | $744,406 | CAGR | +6.13% | Annualized return | +6.13% | Monthly average return | +0.55% | Median monthly return | +0.34% |
| Best month return | +5.51% | Worst month return | -10.00% | Rolling 1-month return | +11.09% | Log return CAGR | +7.48% | Compounded vs simple return difference | -275.28% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +29.11% | Average drawdown | +14.67% | Median drawdown | -7.59% | Drawdown duration (max) | 1155.4 days | Average drawdown duration | 43.6 days | Ulcer index | 16.07 | Pain index | 8.68 | Pain ratio | 41.03 |
| Drawdown volatility | 5.95 | Worst peak-to-trough loss | +29.11% | % time in drawdown | +87.08% | Drawdown area | 788.38 | Downside deviation | +14.46% | Semi-variance | 3.50 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.03 | Rolling 1-month Sharpe | 1.29 | Sortino ratio | 0.22 | Calmar ratio | 0.18 | Sterling ratio | 0.18 | Burke ratio | 3.85 | Return / volatility | 6.22 | Return / downside risk | 9.80 |
| Return / max drawdown | 6.88 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 70 | Win rate | +39.93% | Loss rate | +60.07% | Average win | +278.09% | Average loss | -1.45% | Win/Loss ratio | 1.94 | Expectancy | +275.06% | Profit factor | 0.97 |
| Payoff ratio | 1.94 | Best trade | +287.67% | Worst trade | -7.74% | Trade return standard deviation | +5.22% | Consecutive wins (max) | 3 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +18.88% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +8.77% | Information ratio | -0.59 | 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 | -12.63% |
| Net profit | -$126,296 |
| Gross profit | $922,385 |
| Gross loss | $1,013,580 |
| CAGR | -2.67% |
| Annualized return | -2.67% |
| Monthly average return | -0.15% |
| Median monthly return | -0.46% |
| Best month return | +4.23% |
| Worst month return | -12.63% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | -25.47% |
| Compounded vs simple return difference | +1.62% |
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 | +5708.83% | 1.24 | 4.87 | +40.49% | +100.00% | 1 | 0.00 | +43.75% |
| S&P/ASX 200 | Australia | -25.75% | -0.68 | -0.82 | +27.48% | +26.09% | 92 | 0.64 | +9.00% |
| Bovespa | Brazil | -1.89% | -0.03 | -0.05 | +21.29% | +26.58% | 79 | 1.04 | +11.63% |
| TSX Composite | Canada | +26.59% | 0.47 | 0.66 | +15.55% | +42.86% | 70 | 1.45 | +9.87% |
| Euro Stoxx 50 | Europe | -12.02% | -0.23 | -0.30 | +22.47% | +28.57% | 84 | 0.91 | +11.22% |
| Euronext 100 | Europe | +3.07% | 0.06 | 0.08 | +24.61% | +40.00% | 80 | 1.08 | +9.71% |
| CAC 40 | France | -18.01% | -0.35 | -0.44 | +27.96% | +35.23% | 88 | 0.84 | +11.45% |
| DAX | Germany | -2.76% | -0.05 | -0.06 | +22.92% | +30.77% | 78 | 1.01 | +11.86% |
| Hang Seng | Hong Kong | +4.77% | 0.06 | 0.08 | +36.04% | +36.54% | 52 | 1.14 | +16.87% |
| BSE Sensex | India | +21.07% | 0.40 | 0.60 | +13.35% | +33.87% | 62 | 1.46 | +9.53% |
| Nifty 50 | India | +9.90% | 0.18 | 0.26 | +15.50% | +29.27% | 82 | 1.20 | +10.37% |
| Nikkei 225 | Japan | +0.68% | 0.01 | 0.01 | +29.88% | +36.78% | 87 | 1.06 | +14.43% |
| KOSPI | South Korea | +33.59% | 0.35 | 0.53 | +38.56% | +31.33% | 83 | 1.52 | +16.29% |
| Swiss Market | Switzerland | +21.90% | 0.45 | 0.66 | +11.68% | +39.68% | 63 | 1.48 | +8.64% |
| Taiwan Weighted | Taiwan | -12.92% | -0.24 | -0.31 | +30.41% | +32.91% | 79 | 0.91 | +12.09% |
| FTSE 100 | UK | +6.56% | 0.16 | 0.22 | +10.49% | +40.63% | 64 | 1.19 | +7.96% |
| CBOE Volatility Index | US | +37.21% | 0.03 | 0.09 | +74.26% | +100.00% | 1 | 0.00 | +126.82% |
| Dow Jones Industrial Average | US | -2.83% | -0.05 | -0.07 | +25.43% | +35.48% | 62 | 1.00 | +10.60% |
| NASDAQ Composite | US | -27.07% | -0.41 | -0.50 | +46.21% | +24.05% | 79 | 0.84 | +15.99% |
| Russell 2000 | US | -33.70% | -0.52 | -0.66 | +43.93% | +33.70% | 92 | 0.74 | +16.33% |
| S&P 500 | US | -12.63% | -0.23 | -0.29 | +32.77% | +34.15% | 82 | 0.91 | +12.06% |