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 | +315.77% | Net profit | $3,157,734 | Gross profit | $3,186,443 | Gross loss | $5,692 | CAGR | +13.57% | Annualized return | +13.57% | Monthly average return | +1.17% | Median monthly return | +2.38% |
| Best month return | +8.41% | Worst month return | -4.60% | Rolling 1-month return | +13.28% | Log return CAGR | +32.80% | Compounded vs simple return difference | -307.01% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.35% | Average drawdown | +10.53% | Median drawdown | -5.07% | Drawdown duration (max) | 789.6 days | Average drawdown duration | 18.8 days | Ulcer index | 12.17 | Pain index | 5.30 | Pain ratio | 56.50 |
| Drawdown volatility | 3.26 | Worst peak-to-trough loss | +28.35% | % time in drawdown | +80.58% | Drawdown area | 458.53 | Downside deviation | +15.56% | Semi-variance | 3.57 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.45 | Rolling 1-month Sharpe | 1.41 | Sortino ratio | 0.84 | Calmar ratio | 0.47 | Sterling ratio | 0.47 | Burke ratio | 5.20 | Return / volatility | 8.80 | Return / downside risk | 13.28 |
| Return / max drawdown | 8.58 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 1 | Win rate | +95.24% | Loss rate | +4.76% | Average win | +318.64% | Average loss | -0.57% | Win/Loss ratio | 0.00 | Expectancy | +318.08% | Profit factor | 0.00 |
| Payoff ratio | 0.00 | Best trade | +318.64% | Worst trade | -0.57% | Trade return standard deviation | +5.95% | Consecutive wins (max) | 1 | Consecutive losses (max) | 0 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +23.41% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.17 | Alpha vs benchmark % | +14.19% | Information ratio | -0.18 | Treynor ratio | 0.02 | ||||||||
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 | +59.72% |
| Net profit | $597,199 |
| Gross profit | $597,813 |
| Gross loss | $0 |
| CAGR | +9.85% |
| Annualized return | +9.85% |
| Monthly average return | +0.88% |
| Median monthly return | +3.91% |
| Best month return | +6.19% |
| Worst month return | -2.18% |
| Rolling 1-month return | +8.04% |
| Log return CAGR | +25.06% |
| Compounded vs simple return difference | -50.44% |
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 | +5708.99% | 1.24 | 4.86 | +40.49% | +100.00% | 1 | 0.00 | +43.77% |
| S&P/ASX 200 | Australia | +21.53% | 0.30 | 0.43 | +15.65% | +100.00% | 1 | 0.00 | +12.60% |
| Bovespa | Brazil | +48.93% | 0.46 | 0.72 | +25.32% | +100.00% | 1 | 0.00 | +16.54% |
| TSX Composite | Canada | +65.53% | 0.74 | 1.15 | +17.56% | +100.00% | 1 | 0.00 | +12.93% |
| Euro Stoxx 50 | Europe | +41.10% | 0.39 | 0.59 | +25.43% | +100.00% | 1 | 0.00 | +17.11% |
| Euronext 100 | Europe | +42.12% | 0.44 | 0.65 | +20.65% | +100.00% | 1 | 0.00 | +15.09% |
| CAC 40 | France | +25.92% | 0.27 | 0.40 | +22.97% | +100.00% | 1 | 0.00 | +16.05% |
| DAX | Germany | +49.19% | 0.46 | 0.70 | +26.19% | +100.00% | 1 | 0.00 | +16.54% |
| Hang Seng | Hong Kong | -11.75% | -0.10 | -0.15 | +49.35% | +0.00% | 1 | 0.00 | +24.51% |
| BSE Sensex | India | +51.08% | 0.61 | 0.94 | +16.47% | +100.00% | 1 | 0.00 | +13.20% |
| Nifty 50 | India | +57.53% | 0.66 | 1.03 | +17.06% | +100.00% | 1 | 0.00 | +13.32% |
| Nikkei 225 | Japan | +83.97% | 0.55 | 0.90 | +25.91% | +100.00% | 1 | 0.00 | +21.25% |
| KOSPI | South Korea | +83.39% | 0.56 | 0.90 | +34.68% | +100.00% | 1 | 0.00 | +20.85% |
| Swiss Market | Switzerland | +11.69% | 0.17 | 0.23 | +22.17% | +100.00% | 1 | 0.00 | +13.09% |
| Taiwan Weighted | Taiwan | +98.96% | 0.67 | 1.09 | +31.52% | +100.00% | 1 | 0.00 | +19.65% |
| FTSE 100 | UK | +45.45% | 0.58 | 0.85 | +13.36% | +100.00% | 1 | 0.00 | +12.40% |
| CBOE Volatility Index | US | +42.00% | 0.03 | 0.10 | +74.26% | +100.00% | 1 | 0.00 | +126.94% |
| Dow Jones Industrial Average | US | +35.37% | 0.41 | 0.63 | +21.53% | +100.00% | 1 | 0.00 | +14.38% |
| NASDAQ Composite | US | +59.07% | 0.40 | 0.63 | +36.34% | +100.00% | 1 | 0.00 | +22.23% |
| Russell 2000 | US | +11.45% | 0.09 | 0.14 | +32.97% | +100.00% | 1 | 0.00 | +22.42% |
| S&P 500 | US | +59.72% | 0.53 | 0.84 | +25.42% | +100.00% | 1 | 0.00 | +16.77% |