Bollinger Bands

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	+52.09%	Net profit	$520,865	Gross profit	$555,493	Gross loss	$143,553	CAGR	+7.82%	Annualized return	+7.82%	Monthly average return	+0.72%	Median monthly return	+3.43%
Best month return	+11.30%	Worst month return	-7.42%	Rolling 1-month return	+21.90%	Log return CAGR	+58.97%	Compounded vs simple return difference	-30.93%
Risk & Drawdown
Maximum drawdown	+22.90%	Average drawdown	+6.97%	Median drawdown	-5.24%	Drawdown duration (max)	852.0 days	Average drawdown duration	28.8 days	Ulcer index	8.61	Pain index	6.23	Pain ratio	9.42
Drawdown volatility	4.40	Worst peak-to-trough loss	+22.90%	% time in drawdown	+84.00%	Drawdown area	610.65	Downside deviation	+14.82%	Semi-variance	1.87
Risk-Adjusted Ratios
Sharpe ratio	0.47	Rolling 1-month Sharpe	1.38	Sortino ratio	0.78	Calmar ratio	0.37	Sterling ratio	0.37	Burke ratio	0.79	Return / volatility	3.12	Return / downside risk	3.16
Return / max drawdown	2.33
Trade-Level Statistics
Total trades	12	Win rate	+77.41%	Loss rate	+22.59%	Average win	+6.81%	Average loss	-6.10%	Win/Loss ratio	1.61	Expectancy	+4.07%	Profit factor	6.57
Payoff ratio	1.61	Best trade	+14.23%	Worst trade	-9.85%	Trade return standard deviation	+3.96%	Consecutive wins (max)	7	Consecutive losses (max)	2
Distribution & Shape
Volatility (annualized)	+15.37%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	0.25	Alpha vs benchmark %	+5.21%	Information ratio	-0.40	Treynor ratio	0.03

Parameter optimization

Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.

Chart for symbol:

Metric	Value
Total return	+51.12%
Net profit	$511,179
Gross profit	$601,358
Gross loss	$162,097
CAGR	+8.64%
Annualized return	+8.64%
Monthly average return	+0.76%
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	-51.93%

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	+32.29%	0.55	0.82	+13.94%	+80.00%	15	4.26	+9.80%
Bovespa	Brazil	+6.82%	0.11	0.16	+22.32%	+58.33%	12	1.26	+11.62%
TSX Composite	Canada	+59.21%	0.82	1.31	+15.55%	+93.33%	15	5.75	+10.81%
Euro Stoxx 50	Europe	+43.61%	0.47	0.72	+20.32%	+84.62%	13	13.30	+14.84%
Euronext 100	Europe	+25.04%	0.32	0.47	+22.84%	+83.33%	12	3.98	+13.24%
CAC 40	France	+29.02%	0.36	0.55	+21.44%	+61.54%	13	3.37	+13.56%
DAX	Germany	+55.04%	0.60	0.95	+18.31%	+84.62%	13	5.93	+13.74%
Hang Seng	Hong Kong	+15.01%	0.15	0.24	+37.70%	+61.54%	13	1.63	+18.54%
BSE Sensex	India	+41.32%	0.78	1.26	+14.89%	+83.33%	12	14.18	+8.72%
Nifty 50	India	+54.62%	0.93	1.53	+15.17%	+75.00%	12	12.14	+9.16%
Nikkei 225	Japan	+40.10%	0.41	0.63	+19.15%	+75.00%	12	11.19	+16.22%
KOSPI	South Korea	+10.56%	0.14	0.20	+34.36%	+77.78%	9	1.52	+14.72%
Swiss Market	Switzerland	+25.35%	0.38	0.55	+19.60%	+91.67%	12	2.89	+11.66%
Taiwan Weighted	Taiwan	+52.92%	0.52	0.78	+26.56%	+71.43%	14	3.30	+16.27%
FTSE 100	UK	+35.27%	0.58	0.85	+11.77%	+81.82%	11	11.74	+10.06%
CBOE Volatility Index	US	+338.33%	0.49	1.78	+34.76%	+85.71%	7	12.26	+49.69%
Dow Jones Industrial Average	US	+38.89%	0.55	0.86	+19.61%	+73.33%	15	3.64	+11.63%
NASDAQ Composite	US	+6.02%	0.06	0.09	+37.26%	+62.50%	8	1.35	+18.87%
Russell 2000	US	+26.28%	0.26	0.40	+27.74%	+69.23%	13	1.88	+17.52%
S&P 500	US	+51.12%	0.56	0.89	+23.36%	+85.71%	14	3.71	+14.05%