Strategy
Data as of Friday, Mar 6, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +304.05% | Net profit | $3,040,469 | Gross profit | $3,115,615 | Gross loss | $5,157 | CAGR | +14.41% | Annualized return | +14.41% | Monthly average return | +1.23% | Median monthly return | +2.90% |
| Best month return | +8.88% | Worst month return | -2.93% | Rolling 1-month return | +11.87% | Log return CAGR | +45.39% | Compounded vs simple return difference | -290.79% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.36% | Average drawdown | +10.48% | Median drawdown | -4.82% | Drawdown duration (max) | 788.2 days | Average drawdown duration | 17.5 days | Ulcer index | 12.14 | Pain index | 4.98 | Pain ratio | 62.24 |
| Drawdown volatility | 3.06 | Worst peak-to-trough loss | +28.36% | % time in drawdown | +77.79% | Drawdown area | 427.99 | Downside deviation | +15.50% | Semi-variance | 2.97 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.52 | Rolling 1-month Sharpe | 1.43 | Sortino ratio | 0.95 | Calmar ratio | 0.52 | Sterling ratio | 0.52 | Burke ratio | 5.94 | Return / volatility | 8.95 | Return / downside risk | 13.38 |
| Return / max drawdown | 8.49 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 1 | Win rate | +95.24% | Loss rate | +4.76% | Average win | +311.56% | Average loss | -0.52% | Win/Loss ratio | 0.00 | Expectancy | +311.05% | Profit factor | 0.00 |
| Payoff ratio | 0.00 | Best trade | +311.56% | Worst trade | -0.52% | Trade return standard deviation | +5.87% | Consecutive wins (max) | 1 | Consecutive losses (max) | 0 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +23.29% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.17 | Alpha vs benchmark % | +14.69% | Information ratio | -0.19 | 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 | +72.39% |
| Net profit | $723,913 |
| Gross profit | $725,648 |
| Gross loss | $0 |
| CAGR | +11.56% |
| Annualized return | +11.56% |
| Monthly average return | +1.01% |
| Median monthly return | +4.97% |
| Best month return | +5.58% |
| Worst month return | -1.35% |
| Rolling 1-month return | +8.03% |
| Log return CAGR | +49.10% |
| Compounded vs simple return difference | -55.21% |
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 | +5314.90% | 1.23 | 4.76 | +40.47% | +100.00% | 1 | 0.00 | +43.62% |
| S&P/ASX 200 | Australia | +30.66% | 0.41 | 0.60 | +15.63% | +100.00% | 1 | 0.00 | +12.50% |
| Bovespa | Brazil | +57.05% | 0.55 | 0.87 | +24.42% | +100.00% | 1 | 0.00 | +15.84% |
| TSX Composite | Canada | +80.77% | 0.88 | 1.40 | +17.41% | +100.00% | 1 | 0.00 | +12.74% |
| Euro Stoxx 50 | Europe | +52.74% | 0.47 | 0.73 | +25.45% | +100.00% | 1 | 0.00 | +17.03% |
| Euronext 100 | Europe | +51.30% | 0.52 | 0.78 | +20.65% | +100.00% | 1 | 0.00 | +15.04% |
| CAC 40 | France | +36.76% | 0.37 | 0.55 | +22.95% | +100.00% | 1 | 0.00 | +15.97% |
| DAX | Germany | +64.91% | 0.57 | 0.89 | +26.29% | +100.00% | 1 | 0.00 | +16.49% |
| Hang Seng | Hong Kong | -10.74% | -0.09 | -0.13 | +49.81% | +0.00% | 1 | 0.00 | +24.81% |
| BSE Sensex | India | +59.96% | 0.69 | 1.08 | +16.59% | +100.00% | 1 | 0.00 | +13.28% |
| Nifty 50 | India | +67.55% | 0.75 | 1.18 | +17.06% | +100.00% | 1 | 0.00 | +13.31% |
| Nikkei 225 | Japan | +88.46% | 0.57 | 0.94 | +26.13% | +100.00% | 1 | 0.00 | +21.27% |
| KOSPI | South Korea | +83.12% | 0.57 | 0.91 | +34.74% | +100.00% | 1 | 0.00 | +20.37% |
| Swiss Market | Switzerland | +21.49% | 0.29 | 0.42 | +22.34% | +100.00% | 1 | 0.00 | +13.11% |
| Taiwan Weighted | Taiwan | +105.63% | 0.71 | 1.16 | +31.51% | +100.00% | 1 | 0.00 | +19.40% |
| FTSE 100 | UK | +57.75% | 0.70 | 1.06 | +13.39% | +100.00% | 1 | 0.00 | +12.35% |
| CBOE Volatility Index | US | +11.92% | 0.01 | 0.03 | +74.26% | +100.00% | 1 | 0.00 | +126.08% |
| Dow Jones Industrial Average | US | +46.75% | 0.51 | 0.80 | +21.81% | +100.00% | 1 | 0.00 | +14.52% |
| NASDAQ Composite | US | +73.21% | 0.46 | 0.75 | +36.38% | +100.00% | 1 | 0.00 | +22.26% |
| Russell 2000 | US | +18.39% | 0.15 | 0.22 | +32.94% | +100.00% | 1 | 0.00 | +22.40% |
| S&P 500 | US | +72.39% | 0.62 | 0.99 | +25.40% | +100.00% | 1 | 0.00 | +16.73% |