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 | +68.86% | Net profit | $688,562 | Gross profit | $719,994 | Gross loss | $534,758 | CAGR | +3.02% | Annualized return | +3.02% | Monthly average return | +0.29% | Median monthly return | -2.54% |
| Best month return | +8.21% | Worst month return | -10.55% | Rolling 1-month return | +12.11% | Log return CAGR | -11.23% | Compounded vs simple return difference | -75.82% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.49% | Average drawdown | +14.09% | Median drawdown | -11.21% | Drawdown duration (max) | 1166.6 days | Average drawdown duration | 38.1 days | Ulcer index | 14.91 | Pain index | 10.81 | Pain ratio | 6.49 |
| Drawdown volatility | 5.63 | Worst peak-to-trough loss | +24.49% | % time in drawdown | +89.58% | Drawdown area | 1007.50 | Downside deviation | +14.52% | Semi-variance | 3.63 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.12 | Rolling 1-month Sharpe | 1.16 | Sortino ratio | 0.30 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 0.60 | Return / volatility | 2.55 | Return / downside risk | 3.11 |
| Return / max drawdown | 2.68 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +41.72% | Loss rate | +58.28% | Average win | +7.28% | Average loss | -3.57% | Win/Loss ratio | 2.20 | Expectancy | +0.91% | Profit factor | 1.66 |
| Payoff ratio | 2.20 | Best trade | +22.30% | Worst trade | -8.54% | Trade return standard deviation | +4.56% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.19% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +4.62% | Information ratio | -0.51 | 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 | +22.96% |
| Net profit | $229,633 |
| Gross profit | $493,849 |
| Gross loss | $255,884 |
| CAGR | +4.23% |
| Annualized return | +4.23% |
| Monthly average return | +0.39% |
| Median monthly return | -1.46% |
| Best month return | +4.54% |
| Worst month return | -8.84% |
| Rolling 1-month return | +6.04% |
| Log return CAGR | -14.30% |
| Compounded vs simple return difference | -28.90% |
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 | +1326.04% | 1.23 | 3.47 | +29.85% | +40.00% | 25 | 6.14 | +33.57% |
| S&P/ASX 200 | Australia | -1.92% | -0.05 | -0.06 | +16.29% | +30.77% | 26 | 0.96 | +8.10% |
| Bovespa | Brazil | -5.55% | -0.11 | -0.15 | +26.29% | +37.50% | 24 | 0.97 | +10.94% |
| TSX Composite | Canada | +10.41% | 0.23 | 0.32 | +21.85% | +38.10% | 21 | 1.49 | +8.38% |
| Euro Stoxx 50 | Europe | -15.78% | -0.34 | -0.43 | +23.14% | +37.04% | 27 | 0.67 | +10.18% |
| Euronext 100 | Europe | -8.22% | -0.19 | -0.24 | +19.83% | +42.86% | 28 | 0.83 | +9.01% |
| CAC 40 | France | -11.64% | -0.26 | -0.33 | +18.61% | +42.31% | 26 | 0.72 | +9.48% |
| DAX | Germany | -24.46% | -0.55 | -0.68 | +26.01% | +34.48% | 29 | 0.57 | +10.26% |
| Hang Seng | Hong Kong | -2.89% | -0.04 | -0.05 | +24.40% | +35.00% | 20 | 1.04 | +16.34% |
| BSE Sensex | India | +6.41% | 0.14 | 0.20 | +19.08% | +36.00% | 25 | 1.24 | +8.84% |
| Nifty 50 | India | +18.63% | 0.38 | 0.53 | +16.35% | +47.62% | 21 | 1.68 | +9.11% |
| Nikkei 225 | Japan | +16.12% | 0.22 | 0.33 | +25.76% | +36.00% | 25 | 1.45 | +13.59% |
| KOSPI | South Korea | +94.88% | 0.82 | 1.37 | +19.22% | +45.83% | 24 | 4.87 | +15.59% |
| Swiss Market | Switzerland | -10.74% | -0.30 | -0.39 | +21.48% | +30.77% | 26 | 0.69 | +7.69% |
| Taiwan Weighted | Taiwan | +48.72% | 0.65 | 1.03 | +15.36% | +59.09% | 22 | 2.44 | +12.17% |
| FTSE 100 | UK | +0.49% | 0.01 | 0.02 | +15.22% | +42.31% | 26 | 1.06 | +7.63% |
| CBOE Volatility Index | US | -93.89% | -0.55 | -0.69 | +97.19% | +34.48% | 29 | 0.42 | +102.00% |
| Dow Jones Industrial Average | US | +2.34% | 0.05 | 0.07 | +15.12% | +37.50% | 24 | 1.14 | +8.82% |
| NASDAQ Composite | US | +65.05% | 0.72 | 1.16 | +16.00% | +58.82% | 17 | 3.18 | +13.21% |
| Russell 2000 | US | +9.03% | 0.12 | 0.17 | +27.05% | +54.17% | 24 | 1.30 | +14.81% |
| S&P 500 | US | +22.96% | 0.39 | 0.58 | +20.18% | +55.56% | 18 | 1.93 | +10.37% |