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 | +25.53% | Net profit | $255,326 | Gross profit | $376,805 | Gross loss | $144,706 | CAGR | +4.53% | Annualized return | +4.53% | Monthly average return | +0.39% | Median monthly return | +4.09% |
| Best month return | +10.44% | Worst month return | -4.19% | Rolling 1-month return | +15.06% | Log return CAGR | +54.71% | Compounded vs simple return difference | -5.58% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +14.16% | Average drawdown | +3.09% | Median drawdown | -4.00% | Drawdown duration (max) | 643.8 days | Average drawdown duration | 18.2 days | Ulcer index | 4.07 | Pain index | 4.40 | Pain ratio | 8.52 |
| Drawdown volatility | 2.98 | Worst peak-to-trough loss | +14.16% | % time in drawdown | +80.18% | Drawdown area | 426.24 | Downside deviation | +17.13% | Semi-variance | 2.08 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.44 | Rolling 1-month Sharpe | 1.51 | Sortino ratio | 0.72 | Calmar ratio | 0.36 | Sterling ratio | 0.36 | Burke ratio | 0.71 | Return / volatility | 2.62 | Return / downside risk | 1.57 |
| Return / max drawdown | 2.04 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 23 | Win rate | +74.59% | Loss rate | +25.41% | Average win | +2.45% | Average loss | -3.07% | Win/Loss ratio | 0.95 | Expectancy | +1.09% | Profit factor | 3.26 |
| Payoff ratio | 0.95 | Best trade | +5.33% | Worst trade | -6.17% | Trade return standard deviation | +2.10% | Consecutive wins (max) | 7 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +10.14% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.11 | Alpha vs benchmark % | +3.33% | Information ratio | -0.53 | Treynor ratio | 0.06 | ||||||||
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 | +43.78% |
| Net profit | $437,837 |
| Gross profit | $442,273 |
| Gross loss | $70,998 |
| CAGR | +7.56% |
| Annualized return | +7.56% |
| Monthly average return | +0.64% |
| Median monthly return | +6.28% |
| Best month return | +7.67% |
| Worst month return | +5.66% |
| Rolling 1-month return | +13.70% |
| Log return CAGR | +111.42% |
| Compounded vs simple return difference | -9.19% |
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 | +54.73% | 0.73 | 1.49 | +11.30% | +90.00% | 10 | 8.98 | +11.85% |
| S&P/ASX 200 | Australia | +3.77% | 0.10 | 0.15 | +10.93% | +61.54% | 26 | 1.26 | +7.09% |
| Bovespa | Brazil | +7.64% | 0.23 | 0.33 | +15.07% | +73.68% | 19 | 1.52 | +6.54% |
| TSX Composite | Canada | +32.08% | 0.76 | 1.26 | +9.09% | +74.07% | 27 | 3.78 | +7.16% |
| Euro Stoxx 50 | Europe | +29.00% | 0.51 | 0.80 | +13.10% | +76.19% | 21 | 3.26 | +9.68% |
| Euronext 100 | Europe | +37.09% | 0.66 | 1.02 | +11.57% | +84.62% | 26 | 5.21 | +9.16% |
| CAC 40 | France | +37.58% | 0.64 | 1.02 | +13.84% | +77.78% | 27 | 3.03 | +9.53% |
| DAX | Germany | +50.11% | 0.78 | 1.30 | +11.90% | +82.76% | 29 | 5.02 | +9.82% |
| Hang Seng | Hong Kong | +50.11% | 0.63 | 1.07 | +22.03% | +78.57% | 28 | 4.01 | +12.72% |
| BSE Sensex | India | +12.79% | 0.38 | 0.58 | +8.79% | +71.43% | 21 | 2.36 | +6.45% |
| Nifty 50 | India | +13.80% | 0.39 | 0.61 | +9.45% | +70.00% | 20 | 2.49 | +6.60% |
| Nikkei 225 | Japan | +31.14% | 0.41 | 0.62 | +20.40% | +88.00% | 25 | 3.26 | +13.31% |
| KOSPI | South Korea | +11.78% | 0.22 | 0.30 | +15.34% | +70.83% | 24 | 1.53 | +10.30% |
| Swiss Market | Switzerland | -0.60% | -0.01 | -0.02 | +14.12% | +58.33% | 24 | 1.00 | +8.50% |
| Taiwan Weighted | Taiwan | +4.29% | 0.06 | 0.09 | +19.50% | +67.86% | 28 | 1.19 | +13.31% |
| FTSE 100 | UK | +31.27% | 0.69 | 1.03 | +9.53% | +84.62% | 26 | 5.01 | +7.67% |
| CBOE Volatility Index | US | +2.41% | 0.02 | 0.04 | +30.41% | +71.43% | 7 | 1.23 | +20.72% |
| Dow Jones Industrial Average | US | +21.41% | 0.45 | 0.74 | +11.70% | +70.83% | 24 | 3.05 | +8.43% |
| NASDAQ Composite | US | +23.49% | 0.33 | 0.52 | +12.16% | +72.73% | 22 | 2.48 | +12.67% |
| Russell 2000 | US | +38.50% | 0.54 | 0.88 | +16.38% | +64.29% | 28 | 2.61 | +11.76% |
| S&P 500 | US | +43.78% | 0.73 | 1.24 | +10.73% | +76.92% | 26 | 6.23 | +9.67% |