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 | +23.20% | Net profit | $231,978 | Gross profit | $382,126 | Gross loss | $168,176 | CAGR | +4.13% | Annualized return | +4.13% | Monthly average return | +0.36% | Median monthly return | +3.95% |
| Best month return | +10.03% | Worst month return | -3.86% | Rolling 1-month return | +14.92% | Log return CAGR | +53.68% | Compounded vs simple return difference | -3.63% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +14.16% | Average drawdown | +3.09% | Median drawdown | -4.02% | Drawdown duration (max) | 650.1 days | Average drawdown duration | 18.1 days | Ulcer index | 4.09 | Pain index | 4.42 | Pain ratio | 7.59 |
| Drawdown volatility | 2.97 | Worst peak-to-trough loss | +14.16% | % time in drawdown | +80.14% | Drawdown area | 428.40 | Downside deviation | +17.16% | Semi-variance | 1.90 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.38 | Rolling 1-month Sharpe | 1.50 | Sortino ratio | 0.62 | Calmar ratio | 0.32 | Sterling ratio | 0.32 | Burke ratio | 0.63 | Return / volatility | 2.27 | Return / downside risk | 1.38 |
| Return / max drawdown | 1.81 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +72.82% | Loss rate | +27.18% | Average win | +2.47% | Average loss | -3.21% | Win/Loss ratio | 0.89 | Expectancy | +1.00% | Profit factor | 2.84 |
| Payoff ratio | 0.89 | Best trade | +5.82% | Worst trade | -6.45% | Trade return standard deviation | +2.18% | Consecutive wins (max) | 7 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +10.35% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.12 | Alpha vs benchmark % | +3.09% | Information ratio | -0.47 | Treynor ratio | 0.07 | ||||||||
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 | +41.47% |
| Net profit | $414,701 |
| Gross profit | $442,273 |
| Gross loss | $70,998 |
| CAGR | +7.21% |
| Annualized return | +7.21% |
| Monthly average return | +0.60% |
| 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 | -6.88% |
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 | -0.57% | -0.02 | -0.02 | +10.93% | +59.26% | 27 | 1.00 | +7.30% |
| Bovespa | Brazil | +7.36% | 0.21 | 0.31 | +15.07% | +70.00% | 20 | 1.50 | +6.67% |
| TSX Composite | Canada | +29.07% | 0.69 | 1.13 | +9.09% | +71.43% | 28 | 3.09 | +7.25% |
| Euro Stoxx 50 | Europe | +25.22% | 0.44 | 0.69 | +13.10% | +72.73% | 22 | 2.61 | +9.89% |
| Euronext 100 | Europe | +34.63% | 0.61 | 0.95 | +11.57% | +81.48% | 27 | 4.22 | +9.29% |
| CAC 40 | France | +32.31% | 0.55 | 0.87 | +13.84% | +75.00% | 28 | 2.45 | +9.66% |
| DAX | Germany | +43.83% | 0.69 | 1.12 | +11.90% | +80.00% | 30 | 3.58 | +10.07% |
| Hang Seng | Hong Kong | +53.46% | 0.65 | 1.12 | +22.03% | +79.31% | 29 | 4.17 | +12.82% |
| BSE Sensex | India | +4.13% | 0.12 | 0.17 | +8.79% | +68.18% | 22 | 1.31 | +6.91% |
| Nifty 50 | India | +5.20% | 0.15 | 0.21 | +9.45% | +66.67% | 21 | 1.35 | +7.04% |
| Nikkei 225 | Japan | +28.92% | 0.37 | 0.56 | +20.48% | +88.00% | 25 | 3.12 | +13.61% |
| KOSPI | South Korea | +29.75% | 0.43 | 0.68 | +15.34% | +72.00% | 25 | 2.23 | +12.04% |
| Swiss Market | Switzerland | -7.79% | -0.19 | -0.25 | +14.12% | +56.00% | 25 | 0.73 | +8.68% |
| Taiwan Weighted | Taiwan | +4.29% | 0.06 | 0.09 | +19.50% | +67.86% | 28 | 1.19 | +13.31% |
| FTSE 100 | UK | +28.20% | 0.62 | 0.92 | +9.53% | +81.48% | 27 | 3.74 | +7.81% |
| CBOE Volatility Index | US | +2.41% | 0.02 | 0.04 | +30.41% | +71.43% | 7 | 1.23 | +20.72% |
| Dow Jones Industrial Average | US | +17.48% | 0.37 | 0.60 | +11.70% | +68.00% | 25 | 2.28 | +8.51% |
| NASDAQ Composite | US | +23.49% | 0.33 | 0.52 | +12.16% | +72.73% | 22 | 2.48 | +12.67% |
| Russell 2000 | US | +29.55% | 0.43 | 0.69 | +16.38% | +60.71% | 28 | 2.20 | +11.66% |
| S&P 500 | US | +41.47% | 0.69 | 1.18 | +10.73% | +76.92% | 26 | 6.23 | +9.69% |