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 | +12.87% | Net profit | $128,742 | Gross profit | $406,789 | Gross loss | $312,732 | CAGR | +1.14% | Annualized return | +1.14% | Monthly average return | +0.14% | Median monthly return | +0.47% |
| Best month return | +7.94% | Worst month return | -7.47% | Rolling 1-month return | +16.11% | Log return CAGR | +18.24% | Compounded vs simple return difference | -12.56% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +17.52% | Average drawdown | +9.77% | Median drawdown | -9.22% | Drawdown duration (max) | 1023.9 days | Average drawdown duration | 61.7 days | Ulcer index | 10.34 | Pain index | 8.93 | Pain ratio | 4.08 |
| Drawdown volatility | 4.47 | Worst peak-to-trough loss | +17.52% | % time in drawdown | +90.71% | Drawdown area | 1124.77 | Downside deviation | +13.90% | Semi-variance | 2.86 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.08 | Rolling 1-month Sharpe | 1.56 | Sortino ratio | 0.05 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 0.40 | Return / volatility | 0.31 | Return / downside risk | 0.60 |
| Return / max drawdown | 1.52 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 26 | Win rate | +26.42% | Loss rate | +73.58% | Average win | +5.18% | Average loss | -1.59% | Win/Loss ratio | 3.17 | Expectancy | +0.42% | Profit factor | 1.48 |
| Payoff ratio | 3.17 | Best trade | +14.73% | Worst trade | -4.18% | Trade return standard deviation | +2.86% | Consecutive wins (max) | 2 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +9.74% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +2.26% | Information ratio | -0.72 | Treynor ratio | 0.05 | ||||||||
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 | +6.63% |
| Net profit | $66,347 |
| Gross profit | $284,433 |
| Gross loss | $211,434 |
| CAGR | +1.30% |
| Annualized return | +1.30% |
| Monthly average return | +0.13% |
| Median monthly return | +1.48% |
| Best month return | +4.60% |
| Worst month return | -5.70% |
| Rolling 1-month return | +7.93% |
| Log return CAGR | +4.13% |
| Compounded vs simple return difference | -5.02% |
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 | +238.86% | 1.09 | 2.35 | +15.13% | +35.48% | 31 | 4.61 | +20.23% |
| S&P/ASX 200 | Australia | -0.17% | -0.01 | -0.01 | +7.62% | +33.33% | 24 | 1.01 | +4.07% |
| Bovespa | Brazil | +14.78% | 0.41 | 0.64 | +11.42% | +25.00% | 24 | 1.66 | +6.73% |
| TSX Composite | Canada | +2.76% | 0.13 | 0.18 | +8.61% | +30.00% | 20 | 1.22 | +4.30% |
| Euro Stoxx 50 | Europe | -18.70% | -0.85 | -1.01 | +24.52% | +11.54% | 26 | 0.33 | +4.99% |
| Euronext 100 | Europe | -13.85% | -0.78 | -0.94 | +18.88% | +12.00% | 25 | 0.38 | +3.82% |
| CAC 40 | France | -11.80% | -0.59 | -0.74 | +14.86% | +17.39% | 23 | 0.53 | +4.20% |
| DAX | Germany | -21.46% | -1.19 | -1.31 | +24.71% | +18.52% | 27 | 0.17 | +4.10% |
| Hang Seng | Hong Kong | -11.62% | -0.27 | -0.37 | +22.22% | +23.08% | 26 | 0.72 | +9.55% |
| BSE Sensex | India | -5.19% | -0.24 | -0.31 | +12.08% | +18.52% | 27 | 0.79 | +4.63% |
| Nifty 50 | India | -4.53% | -0.19 | -0.25 | +10.61% | +27.59% | 29 | 0.79 | +5.02% |
| Nikkei 225 | Japan | +2.12% | 0.05 | 0.07 | +14.94% | +32.26% | 31 | 1.11 | +8.58% |
| KOSPI | South Korea | +125.30% | 1.51 | 3.11 | +7.70% | +44.44% | 18 | 8.45 | +10.17% |
| Swiss Market | Switzerland | -23.94% | -1.71 | -1.82 | +24.44% | +0.00% | 30 | 0.00 | +3.32% |
| Taiwan Weighted | Taiwan | +25.01% | 0.64 | 1.00 | +11.70% | +42.86% | 21 | 2.37 | +7.12% |
| FTSE 100 | UK | +0.03% | 0.00 | 0.00 | +14.08% | +20.00% | 30 | 1.05 | +4.40% |
| CBOE Volatility Index | US | -39.91% | -0.14 | -0.26 | +77.77% | +25.00% | 28 | 0.77 | +69.08% |
| Dow Jones Industrial Average | US | +10.06% | 0.31 | 0.47 | +8.49% | +40.00% | 25 | 1.56 | +6.22% |
| NASDAQ Composite | US | +9.70% | 0.21 | 0.31 | +10.44% | +38.46% | 26 | 1.48 | +8.57% |
| Russell 2000 | US | -13.73% | -0.33 | -0.44 | +18.72% | +20.00% | 35 | 0.65 | +9.12% |
| S&P 500 | US | +6.63% | 0.20 | 0.29 | +9.02% | +39.29% | 28 | 1.35 | +6.34% |