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 | +40.98% | Net profit | $409,849 | Gross profit | $689,022 | Gross loss | $584,063 | CAGR | +1.69% | Annualized return | +1.69% | Monthly average return | +0.17% | Median monthly return | -0.46% |
| Best month return | +7.08% | Worst month return | -8.54% | Rolling 1-month return | +13.98% | Log return CAGR | +13.66% | Compounded vs simple return difference | -40.45% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.80% | Average drawdown | +12.15% | Median drawdown | -8.74% | Drawdown duration (max) | 1051.8 days | Average drawdown duration | 47.4 days | Ulcer index | 13.19 | Pain index | 8.86 | Pain ratio | 6.83 |
| Drawdown volatility | 4.89 | Worst peak-to-trough loss | +23.80% | % time in drawdown | +89.96% | Drawdown area | 819.63 | Downside deviation | +14.21% | Semi-variance | 2.82 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.13 | Rolling 1-month Sharpe | 1.39 | Sortino ratio | 0.27 | Calmar ratio | 0.14 | Sterling ratio | 0.14 | Burke ratio | 0.60 | Return / volatility | 1.92 | Return / downside risk | 1.92 |
| Return / max drawdown | 1.54 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 38 | Win rate | +38.08% | Loss rate | +61.92% | Average win | +4.69% | Average loss | -2.34% | Win/Loss ratio | 2.05 | Expectancy | +0.36% | Profit factor | 1.39 |
| Payoff ratio | 2.05 | Best trade | +16.04% | Worst trade | -7.54% | Trade return standard deviation | +3.87% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.33% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +3.79% | Information ratio | -0.56 | 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 | -6.99% |
| Net profit | -$69,921 |
| Gross profit | $361,136 |
| Gross loss | $421,168 |
| CAGR | -1.44% |
| Annualized return | -1.44% |
| Monthly average return | -0.09% |
| Median monthly return | -3.18% |
| Best month return | +0.66% |
| Worst month return | -5.81% |
| Rolling 1-month return | +3.80% |
| Log return CAGR | -20.66% |
| Compounded vs simple return difference | -1.78% |
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 | +819.97% | 1.19 | 2.98 | +35.31% | +55.26% | 38 | 5.00 | +30.30% |
| S&P/ASX 200 | Australia | -13.29% | -0.43 | -0.55 | +16.17% | +30.23% | 43 | 0.67 | +6.68% |
| Bovespa | Brazil | +11.05% | 0.23 | 0.33 | +23.18% | +36.36% | 33 | 1.27 | +9.10% |
| TSX Composite | Canada | +16.66% | 0.43 | 0.61 | +9.27% | +46.15% | 39 | 1.53 | +7.02% |
| Euro Stoxx 50 | Europe | +22.55% | 0.50 | 0.76 | +14.26% | +40.54% | 37 | 1.75 | +8.00% |
| Euronext 100 | Europe | -3.02% | -0.09 | -0.12 | +15.35% | +42.86% | 42 | 0.95 | +6.86% |
| CAC 40 | France | +9.12% | 0.23 | 0.32 | +12.00% | +39.39% | 33 | 1.33 | +7.39% |
| DAX | Germany | +26.56% | 0.56 | 0.85 | +15.19% | +42.86% | 35 | 1.80 | +8.14% |
| 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 | +28.89% | 0.45 | 0.70 | +19.98% | +37.14% | 35 | 1.77 | +11.35% |
| KOSPI | South Korea | +43.59% | 0.52 | 0.79 | +19.22% | +42.42% | 33 | 2.01 | +13.77% |
| Swiss Market | Switzerland | +1.56% | 0.05 | 0.06 | +13.15% | +37.84% | 37 | 1.07 | +6.55% |
| Taiwan Weighted | Taiwan | +45.14% | 0.71 | 1.13 | +16.86% | +56.25% | 32 | 2.39 | +10.43% |
| FTSE 100 | UK | +0.32% | 0.01 | 0.01 | +18.17% | +42.11% | 38 | 1.04 | +5.87% |
| CBOE Volatility Index | US | -94.63% | -0.58 | -0.73 | +98.16% | +26.67% | 45 | 0.42 | +102.39% |
| Dow Jones Industrial Average | US | -2.46% | -0.07 | -0.10 | +12.01% | +40.48% | 42 | 0.96 | +7.22% |
| NASDAQ Composite | US | +0.71% | 0.01 | 0.02 | +30.22% | +28.95% | 38 | 1.07 | +11.63% |
| Russell 2000 | US | -33.49% | -0.73 | -0.93 | +39.72% | +27.27% | 44 | 0.42 | +11.59% |
| S&P 500 | US | -6.99% | -0.17 | -0.23 | +14.16% | +33.33% | 42 | 0.86 | +8.39% |