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 | +312.15% | Net profit | $3,121,479 | Gross profit | $3,191,233 | Gross loss | $9,741 | CAGR | +14.87% | Annualized return | +14.87% | Monthly average return | +1.30% | Median monthly return | +2.77% |
| Best month return | +7.28% | Worst month return | -3.29% | Rolling 1-month return | +12.04% | Log return CAGR | +36.10% | Compounded vs simple return difference | -301.39% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.34% | Average drawdown | +10.45% | Median drawdown | -4.24% | Drawdown duration (max) | 787.6 days | Average drawdown duration | 16.1 days | Ulcer index | 12.12 | Pain index | 4.58 | Pain ratio | 64.00 |
| Drawdown volatility | 3.05 | Worst peak-to-trough loss | +28.34% | % time in drawdown | +78.08% | Drawdown area | 393.77 | Downside deviation | +15.31% | Semi-variance | 2.95 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.56 | Rolling 1-month Sharpe | 1.41 | Sortino ratio | 1.02 | Calmar ratio | 0.54 | Sterling ratio | 0.54 | Burke ratio | 5.79 | Return / volatility | 9.36 | Return / downside risk | 13.99 |
| Return / max drawdown | 8.79 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 1 | Win rate | +90.48% | Loss rate | +9.52% | Average win | +319.12% | Average loss | -0.97% | Win/Loss ratio | 0.00 | Expectancy | +318.15% | Profit factor | 0.00 |
| Payoff ratio | 0.00 | Best trade | +319.12% | Worst trade | -0.97% | Trade return standard deviation | +5.87% | Consecutive wins (max) | 1 | Consecutive losses (max) | 0 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +23.16% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.17 | Alpha vs benchmark % | +15.10% | Information ratio | -0.13 | 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 | +76.12% |
| Net profit | $761,159 |
| Gross profit | $762,806 |
| Gross loss | $0 |
| CAGR | +12.03% |
| Annualized return | +12.03% |
| Monthly average return | +1.03% |
| Median monthly return | +5.59% |
| Best month return | +6.53% |
| Worst month return | +0.64% |
| Rolling 1-month return | +7.95% |
| Log return CAGR | +56.27% |
| Compounded vs simple return difference | -56.74% |
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 | +5405.28% | 1.23 | 4.79 | +40.48% | +100.00% | 1 | 0.00 | +43.63% |
| S&P/ASX 200 | Australia | +36.28% | 0.48 | 0.70 | +15.59% | +100.00% | 1 | 0.00 | +12.42% |
| Bovespa | Brazil | +59.58% | 0.56 | 0.89 | +24.85% | +100.00% | 1 | 0.00 | +16.10% |
| TSX Composite | Canada | +81.09% | 0.89 | 1.42 | +17.29% | +100.00% | 1 | 0.00 | +12.62% |
| Euro Stoxx 50 | Europe | +60.18% | 0.53 | 0.83 | +25.47% | +100.00% | 1 | 0.00 | +16.92% |
| Euronext 100 | Europe | +56.70% | 0.56 | 0.86 | +20.66% | +100.00% | 1 | 0.00 | +14.96% |
| CAC 40 | France | +43.30% | 0.43 | 0.65 | +22.98% | +100.00% | 1 | 0.00 | +15.88% |
| DAX | Germany | +72.27% | 0.62 | 0.99 | +26.29% | +100.00% | 1 | 0.00 | +16.36% |
| Hang Seng | Hong Kong | -9.06% | -0.08 | -0.11 | +49.50% | +0.00% | 1 | 0.00 | +24.58% |
| BSE Sensex | India | +64.69% | 0.72 | 1.14 | +16.80% | +100.00% | 1 | 0.00 | +13.45% |
| Nifty 50 | India | +71.82% | 0.78 | 1.24 | +17.07% | +100.00% | 1 | 0.00 | +13.32% |
| Nikkei 225 | Japan | +95.28% | 0.61 | 1.02 | +25.96% | +100.00% | 1 | 0.00 | +21.03% |
| KOSPI | South Korea | +107.34% | 0.73 | 1.24 | +34.77% | +100.00% | 1 | 0.00 | +18.87% |
| Swiss Market | Switzerland | +25.56% | 0.34 | 0.50 | +22.25% | +100.00% | 1 | 0.00 | +12.96% |
| Taiwan Weighted | Taiwan | +119.61% | 0.77 | 1.29 | +31.56% | +100.00% | 1 | 0.00 | +19.28% |
| FTSE 100 | UK | +60.98% | 0.74 | 1.12 | +13.37% | +100.00% | 1 | 0.00 | +12.26% |
| CBOE Volatility Index | US | -11.25% | -0.01 | -0.03 | +74.26% | +0.00% | 1 | 0.00 | +125.98% |
| Dow Jones Industrial Average | US | +50.37% | 0.55 | 0.86 | +21.55% | +100.00% | 1 | 0.00 | +14.34% |
| NASDAQ Composite | US | +72.20% | 0.46 | 0.75 | +36.16% | +100.00% | 1 | 0.00 | +22.11% |
| Russell 2000 | US | +16.78% | 0.13 | 0.20 | +32.94% | +100.00% | 1 | 0.00 | +22.47% |
| S&P 500 | US | +76.12% | 0.64 | 1.03 | +25.40% | +100.00% | 1 | 0.00 | +16.74% |