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 | +73.72% | Net profit | $737,249 | Gross profit | $746,048 | Gross loss | $527,801 | CAGR | +3.76% | Annualized return | +3.76% | Monthly average return | +0.34% | Median monthly return | -2.44% |
| Best month return | +8.65% | Worst month return | -11.47% | Rolling 1-month return | +12.25% | Log return CAGR | -9.93% | Compounded vs simple return difference | -80.38% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.19% | Average drawdown | +14.04% | Median drawdown | -10.88% | Drawdown duration (max) | 1157.5 days | Average drawdown duration | 38.5 days | Ulcer index | 14.80 | Pain index | 10.58 | Pain ratio | 8.18 |
| Drawdown volatility | 5.67 | Worst peak-to-trough loss | +24.19% | % time in drawdown | +88.68% | Drawdown area | 990.44 | Downside deviation | +13.99% | Semi-variance | 3.62 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.22 | Rolling 1-month Sharpe | 1.17 | Sortino ratio | 0.45 | Calmar ratio | 0.24 | Sterling ratio | 0.24 | Burke ratio | 0.74 | Return / volatility | 3.13 | Return / downside risk | 3.75 |
| Return / max drawdown | 2.96 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +42.70% | Loss rate | +57.30% | Average win | +7.23% | Average loss | -3.53% | Win/Loss ratio | 2.30 | Expectancy | +1.01% | Profit factor | 1.80 |
| Payoff ratio | 2.30 | Best trade | +22.92% | Worst trade | -8.54% | Trade return standard deviation | +4.52% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.87% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | +5.07% | Information ratio | -0.54 | 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 | +1327.13% | 1.23 | 3.46 | +29.83% | +42.31% | 26 | 6.19 | +33.47% |
| S&P/ASX 200 | Australia | +4.65% | 0.11 | 0.16 | +16.29% | +34.62% | 26 | 1.20 | +7.92% |
| Bovespa | Brazil | -0.29% | -0.01 | -0.01 | +26.29% | +37.50% | 24 | 1.09 | +10.76% |
| TSX Composite | Canada | +15.77% | 0.35 | 0.49 | +21.85% | +42.86% | 21 | 1.73 | +8.24% |
| Euro Stoxx 50 | Europe | -10.09% | -0.22 | -0.27 | +23.14% | +37.04% | 27 | 0.81 | +9.99% |
| Euronext 100 | Europe | -3.68% | -0.08 | -0.11 | +19.83% | +42.86% | 28 | 0.95 | +8.88% |
| CAC 40 | France | -5.38% | -0.12 | -0.15 | +18.61% | +46.15% | 26 | 0.88 | +9.28% |
| DAX | Germany | -19.82% | -0.44 | -0.55 | +23.63% | +34.48% | 29 | 0.64 | +10.09% |
| Hang Seng | Hong Kong | -3.70% | -0.05 | -0.06 | +24.40% | +33.33% | 21 | 1.01 | +16.42% |
| BSE Sensex | India | +15.21% | 0.31 | 0.45 | +16.94% | +38.46% | 26 | 1.47 | +9.14% |
| Nifty 50 | India | +28.63% | 0.53 | 0.78 | +15.98% | +50.00% | 22 | 2.05 | +9.40% |
| Nikkei 225 | Japan | +26.18% | 0.36 | 0.56 | +25.56% | +34.62% | 26 | 1.63 | +13.07% |
| KOSPI | South Korea | +113.25% | 1.13 | 2.10 | +18.00% | +45.83% | 24 | 5.54 | +12.69% |
| Swiss Market | Switzerland | -5.18% | -0.14 | -0.19 | +21.48% | +34.62% | 26 | 0.86 | +7.46% |
| Taiwan Weighted | Taiwan | +56.30% | 0.77 | 1.26 | +15.36% | +59.09% | 22 | 2.63 | +11.44% |
| FTSE 100 | UK | +6.33% | 0.16 | 0.22 | +15.22% | +42.31% | 26 | 1.24 | +7.44% |
| CBOE Volatility Index | US | -95.27% | -0.64 | -0.74 | +97.19% | +34.48% | 29 | 0.33 | +100.24% |
| Dow Jones Industrial Average | US | +3.53% | 0.08 | 0.11 | +15.12% | +37.50% | 24 | 1.19 | +8.81% |
| NASDAQ Composite | US | +65.05% | 0.72 | 1.16 | +16.00% | +58.82% | 17 | 3.18 | +13.21% |
| Russell 2000 | US | +6.66% | 0.09 | 0.13 | +27.03% | +54.17% | 24 | 1.23 | +14.87% |
| S&P 500 | US | +22.96% | 0.39 | 0.58 | +20.18% | +55.56% | 18 | 1.93 | +10.37% |