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 | +10.51% | Net profit | $105,065 | Gross profit | $386,796 | Gross loss | $310,090 | CAGR | +0.84% | Annualized return | +0.84% | Monthly average return | +0.12% | Median monthly return | +0.87% |
| Best month return | +7.09% | Worst month return | -7.53% | Rolling 1-month return | +16.14% | Log return CAGR | +20.73% | Compounded vs simple return difference | -9.39% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.02% | Average drawdown | +9.76% | Median drawdown | -9.10% | Drawdown duration (max) | 1015.7 days | Average drawdown duration | 61.4 days | Ulcer index | 10.32 | Pain index | 8.82 | Pain ratio | 3.28 |
| Drawdown volatility | 4.40 | Worst peak-to-trough loss | +18.02% | % time in drawdown | +90.18% | Drawdown area | 1110.35 | Downside deviation | +14.43% | Semi-variance | 2.84 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.12 | Rolling 1-month Sharpe | 1.56 | Sortino ratio | -0.04 | Calmar ratio | 0.11 | Sterling ratio | 0.11 | Burke ratio | 0.33 | Return / volatility | -0.01 | Return / downside risk | 0.33 |
| Return / max drawdown | 0.93 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 26 | Win rate | +26.24% | Loss rate | +73.76% | Average win | +4.98% | Average loss | -1.59% | Win/Loss ratio | 2.99 | Expectancy | +0.33% | Profit factor | 1.35 |
| Payoff ratio | 2.99 | Best trade | +12.97% | Worst trade | -4.18% | Trade return standard deviation | +2.86% | Consecutive wins (max) | 2 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +9.83% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +1.99% | Information ratio | -0.66 | Treynor ratio | 0.06 | ||||||||
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 | +7.64% |
| Net profit | $76,380 |
| Gross profit | $278,465 |
| Gross loss | $196,323 |
| CAGR | +1.49% |
| Annualized return | +1.49% |
| Monthly average return | +0.14% |
| Median monthly return | +2.42% |
| Best month return | +7.23% |
| Worst month return | -5.96% |
| Rolling 1-month return | +7.94% |
| Log return CAGR | +20.56% |
| Compounded vs simple return difference | +0.06% |
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 | +10.05% | 0.28 | 0.42 | +11.42% | +25.00% | 24 | 1.47 | +6.91% |
| TSX Composite | Canada | +2.66% | 0.12 | 0.17 | +8.62% | +30.00% | 20 | 1.21 | +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 | -22.54% | -1.23 | -1.34 | +23.77% | +15.38% | 26 | 0.12 | +4.20% |
| Hang Seng | Hong Kong | -9.89% | -0.23 | -0.31 | +22.24% | +24.00% | 25 | 0.76 | +9.52% |
| BSE Sensex | India | -5.53% | -0.25 | -0.34 | +12.02% | +19.23% | 26 | 0.77 | +4.60% |
| Nifty 50 | India | -4.32% | -0.18 | -0.24 | +10.70% | +28.57% | 28 | 0.80 | +4.99% |
| Nikkei 225 | Japan | +7.10% | 0.17 | 0.25 | +14.83% | +34.48% | 29 | 1.28 | +8.40% |
| KOSPI | South Korea | +81.39% | 0.96 | 1.51 | +19.30% | +44.44% | 18 | 6.03 | +12.03% |
| Swiss Market | Switzerland | -23.94% | -1.71 | -1.81 | +24.44% | +0.00% | 30 | 0.00 | +3.31% |
| Taiwan Weighted | Taiwan | +23.58% | 0.62 | 0.97 | +11.59% | +40.00% | 20 | 2.32 | +6.94% |
| FTSE 100 | UK | -3.30% | -0.15 | -0.19 | +14.08% | +20.00% | 30 | 0.88 | +4.61% |
| CBOE Volatility Index | US | -39.91% | -0.14 | -0.26 | +77.77% | +25.00% | 28 | 0.77 | +69.08% |
| Dow Jones Industrial Average | US | +10.64% | 0.32 | 0.49 | +8.47% | +41.67% | 24 | 1.59 | +6.23% |
| NASDAQ Composite | US | +9.70% | 0.21 | 0.31 | +10.44% | +38.46% | 26 | 1.48 | +8.57% |
| Russell 2000 | US | -17.04% | -0.42 | -0.55 | +18.72% | +16.67% | 36 | 0.58 | +9.17% |
| S&P 500 | US | +7.64% | 0.24 | 0.34 | +9.02% | +38.46% | 26 | 1.42 | +6.19% |