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 | +46.71% | Net profit | $467,090 | Gross profit | $538,064 | Gross loss | $165,789 | CAGR | +6.95% | Annualized return | +6.95% | Monthly average return | +0.64% | Median monthly return | +3.23% |
| Best month return | +10.51% | Worst month return | -6.61% | Rolling 1-month return | +22.00% | Log return CAGR | +56.47% | Compounded vs simple return difference | -26.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.89% | Average drawdown | +6.96% | Median drawdown | -5.37% | Drawdown duration (max) | 853.1 days | Average drawdown duration | 29.9 days | Ulcer index | 8.64 | Pain index | 6.28 | Pain ratio | 8.28 |
| Drawdown volatility | 4.34 | Worst peak-to-trough loss | +22.89% | % time in drawdown | +84.85% | Drawdown area | 619.37 | Downside deviation | +14.85% | Semi-variance | 1.89 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.39 | Rolling 1-month Sharpe | 1.39 | Sortino ratio | 0.66 | Calmar ratio | 0.32 | Sterling ratio | 0.32 | Burke ratio | 0.70 | Return / volatility | 2.61 | Return / downside risk | 2.62 |
| Return / max drawdown | 2.02 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 12 | Win rate | +73.70% | Loss rate | +26.30% | Average win | +6.79% | Average loss | -5.70% | Win/Loss ratio | 1.41 | Expectancy | +3.71% | Profit factor | 4.99 |
| Payoff ratio | 1.41 | Best trade | +14.08% | Worst trade | -10.71% | Trade return standard deviation | +3.99% | Consecutive wins (max) | 7 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.45% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.25 | Alpha vs benchmark % | +4.69% | Information ratio | -0.37 | 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 | +44.53% |
| Net profit | $445,328 |
| Gross profit | $559,345 |
| Gross loss | $165,732 |
| CAGR | +7.67% |
| Annualized return | +7.67% |
| Monthly average return | +0.68% |
| Median monthly return | +3.92% |
| Best month return | +6.02% |
| Worst month return | -8.09% |
| Rolling 1-month return | +8.91% |
| Log return CAGR | -2.04% |
| Compounded vs simple return difference | -45.35% |
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 | +107.01% | 0.77 | 1.42 | +24.23% | +85.71% | 7 | 18.79 | +18.02% |
| S&P/ASX 200 | Australia | +30.48% | 0.52 | 0.77 | +13.94% | +75.00% | 16 | 3.69 | +9.86% |
| Bovespa | Brazil | +7.09% | 0.12 | 0.17 | +22.32% | +61.54% | 13 | 1.27 | +11.69% |
| TSX Composite | Canada | +47.05% | 0.68 | 1.05 | +15.55% | +86.67% | 15 | 4.79 | +10.97% |
| Euro Stoxx 50 | Europe | +39.41% | 0.43 | 0.65 | +20.32% | +78.57% | 14 | 6.75 | +14.98% |
| Euronext 100 | Europe | +24.08% | 0.31 | 0.45 | +22.84% | +76.92% | 13 | 3.62 | +13.30% |
| CAC 40 | France | +24.06% | 0.30 | 0.46 | +21.44% | +57.14% | 14 | 2.52 | +13.65% |
| DAX | Germany | +48.55% | 0.54 | 0.84 | +18.31% | +78.57% | 14 | 4.10 | +13.92% |
| Hang Seng | Hong Kong | +13.61% | 0.14 | 0.21 | +37.70% | +57.14% | 14 | 1.56 | +18.66% |
| BSE Sensex | India | +22.04% | 0.45 | 0.68 | +14.74% | +81.82% | 11 | 2.82 | +8.78% |
| Nifty 50 | India | +26.08% | 0.50 | 0.77 | +15.13% | +72.73% | 11 | 2.81 | +9.13% |
| Nikkei 225 | Japan | +46.35% | 0.46 | 0.72 | +19.15% | +76.92% | 13 | 12.52 | +16.34% |
| KOSPI | South Korea | +10.56% | 0.14 | 0.20 | +34.36% | +77.78% | 9 | 1.52 | +14.72% |
| Swiss Market | Switzerland | +12.28% | 0.19 | 0.27 | +19.60% | +83.33% | 12 | 1.76 | +11.89% |
| Taiwan Weighted | Taiwan | +52.92% | 0.52 | 0.78 | +26.56% | +71.43% | 14 | 3.30 | +16.27% |
| FTSE 100 | UK | +33.19% | 0.55 | 0.80 | +11.77% | +81.82% | 11 | 11.74 | +10.09% |
| CBOE Volatility Index | US | +338.33% | 0.49 | 1.78 | +34.76% | +85.71% | 7 | 12.26 | +49.69% |
| Dow Jones Industrial Average | US | +33.21% | 0.48 | 0.74 | +19.61% | +68.75% | 16 | 2.76 | +11.70% |
| NASDAQ Composite | US | +2.40% | 0.02 | 0.04 | +37.26% | +50.00% | 8 | 1.22 | +18.95% |
| Russell 2000 | US | +17.67% | 0.18 | 0.27 | +27.74% | +61.54% | 13 | 1.60 | +17.68% |
| S&P 500 | US | +44.53% | 0.50 | 0.78 | +23.36% | +78.57% | 14 | 3.38 | +14.13% |