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 | +44.01% | Net profit | $440,061 | Gross profit | $694,659 | Gross loss | $582,901 | CAGR | +2.02% | Annualized return | +2.02% | Monthly average return | +0.18% | Median monthly return | -0.37% |
| Best month return | +6.93% | Worst month return | -8.42% | Rolling 1-month return | +14.24% | Log return CAGR | +13.89% | Compounded vs simple return difference | -43.47% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.80% | Average drawdown | +12.11% | Median drawdown | -8.79% | Drawdown duration (max) | 1057.6 days | Average drawdown duration | 46.6 days | Ulcer index | 13.15 | Pain index | 9.02 | Pain ratio | 7.22 |
| Drawdown volatility | 4.99 | Worst peak-to-trough loss | +23.80% | % time in drawdown | +90.15% | Drawdown area | 841.72 | Downside deviation | +13.72% | Semi-variance | 3.40 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.18 | Rolling 1-month Sharpe | 1.35 | Sortino ratio | 0.37 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 0.64 | Return / volatility | 2.30 | Return / downside risk | 2.32 |
| Return / max drawdown | 1.73 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 38 | Win rate | +39.15% | Loss rate | +60.85% | Average win | +4.58% | Average loss | -2.35% | Win/Loss ratio | 2.05 | Expectancy | +0.40% | Profit factor | 1.48 |
| Payoff ratio | 2.05 | Best trade | +15.14% | Worst trade | -7.48% | Trade return standard deviation | +3.83% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.10% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +3.84% | Information ratio | -0.62 | Treynor ratio | 0.03 | ||||||||
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 | -5.17% |
| Net profit | -$51,745 |
| Gross profit | $368,011 |
| Gross loss | $408,064 |
| CAGR | -1.06% |
| Annualized return | -1.06% |
| Monthly average return | -0.06% |
| Median monthly return | -1.95% |
| Best month return | -0.44% |
| Worst month return | -2.81% |
| Rolling 1-month return | +4.25% |
| Log return CAGR | -21.18% |
| Compounded vs simple return difference | -3.84% |
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 | +821.63% | 1.19 | 2.98 | +35.31% | +56.76% | 37 | 5.01 | +30.30% |
| S&P/ASX 200 | Australia | -13.20% | -0.42 | -0.54 | +16.17% | +31.11% | 45 | 0.68 | +6.73% |
| Bovespa | Brazil | +11.63% | 0.25 | 0.36 | +23.73% | +36.36% | 33 | 1.34 | +8.89% |
| TSX Composite | Canada | +17.36% | 0.46 | 0.65 | +9.25% | +47.37% | 38 | 1.59 | +6.93% |
| Euro Stoxx 50 | Europe | +22.82% | 0.50 | 0.76 | +14.25% | +42.11% | 38 | 1.76 | +8.08% |
| Euronext 100 | Europe | +2.72% | 0.08 | 0.11 | +15.35% | +45.24% | 42 | 1.11 | +6.79% |
| CAC 40 | France | +17.13% | 0.42 | 0.62 | +12.02% | +42.42% | 33 | 1.63 | +7.25% |
| DAX | Germany | +25.40% | 0.53 | 0.81 | +15.16% | +43.24% | 37 | 1.75 | +8.20% |
| Hang Seng | Hong Kong | -15.63% | -0.27 | -0.38 | +29.25% | +25.00% | 36 | 0.74 | +13.28% |
| BSE Sensex | India | +4.75% | 0.12 | 0.17 | +21.61% | +36.11% | 36 | 1.16 | +7.61% |
| Nifty 50 | India | -0.68% | -0.02 | -0.02 | +26.54% | +32.35% | 34 | 1.04 | +7.41% |
| Nikkei 225 | Japan | +34.33% | 0.52 | 0.84 | +19.98% | +37.14% | 35 | 1.89 | +11.25% |
| KOSPI | South Korea | +64.57% | 0.85 | 1.46 | +16.97% | +45.45% | 33 | 2.42 | +11.43% |
| Swiss Market | Switzerland | +3.73% | 0.11 | 0.16 | +13.17% | +38.46% | 39 | 1.14 | +6.41% |
| Taiwan Weighted | Taiwan | +60.42% | 0.93 | 1.57 | +18.45% | +60.61% | 33 | 2.83 | +10.06% |
| FTSE 100 | UK | +4.99% | 0.17 | 0.24 | +18.18% | +42.11% | 38 | 1.24 | +5.72% |
| CBOE Volatility Index | US | -96.09% | -0.69 | -0.79 | +98.16% | +26.67% | 45 | 0.32 | +100.70% |
| Dow Jones Industrial Average | US | -1.96% | -0.05 | -0.08 | +12.17% | +40.48% | 42 | 0.98 | +7.27% |
| NASDAQ Composite | US | +0.72% | 0.01 | 0.02 | +30.22% | +30.77% | 39 | 1.07 | +11.69% |
| Russell 2000 | US | -35.35% | -0.78 | -0.98 | +39.69% | +26.67% | 45 | 0.41 | +11.63% |
| S&P 500 | US | -5.17% | -0.13 | -0.17 | +14.19% | +35.71% | 42 | 0.90 | +8.46% |