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 | +282.60% | Net profit | $2,825,975 | Gross profit | $703,445 | Gross loss | $224,272 | CAGR | +10.57% | Annualized return | +10.57% | Monthly average return | +0.83% | Median monthly return | +1.44% |
| Best month return | +11.65% | Worst month return | -5.06% | Rolling 1-month return | +16.41% | Log return CAGR | +93.98% | Compounded vs simple return difference | -270.20% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.68% | Average drawdown | +6.17% | Median drawdown | -6.18% | Drawdown duration (max) | 736.2 days | Average drawdown duration | 22.1 days | Ulcer index | 7.61 | Pain index | 6.68 | Pain ratio | 22.71 |
| Drawdown volatility | 4.39 | Worst peak-to-trough loss | +20.68% | % time in drawdown | +85.76% | Drawdown area | 582.76 | Downside deviation | +15.62% | Semi-variance | 2.31 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.38 | Rolling 1-month Sharpe | 1.08 | Sortino ratio | 0.75 | Calmar ratio | 0.43 | Sterling ratio | 0.43 | Burke ratio | 2.05 | Return / volatility | 5.96 | Return / downside risk | 8.04 |
| Return / max drawdown | 7.53 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +73.01% | Loss rate | +26.99% | Average win | +3.78% | Average loss | -3.72% | Win/Loss ratio | 1.12 | Expectancy | +1.98% | Profit factor | 3.78 |
| Payoff ratio | 1.12 | Best trade | +10.57% | Worst trade | -7.86% | Trade return standard deviation | +3.73% | Consecutive wins (max) | 7 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.81% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.19 | Alpha vs benchmark % | +7.52% | Information ratio | -0.45 | 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 | +17.03% |
| Net profit | $170,287 |
| Gross profit | $371,351 |
| Gross loss | $203,067 |
| CAGR | +3.21% |
| Annualized return | +3.21% |
| Monthly average return | +0.30% |
| Median monthly return | +1.57% |
| Best month return | +9.03% |
| Worst month return | -9.78% |
| Rolling 1-month return | +12.94% |
| Log return CAGR | -19.04% |
| Compounded vs simple return difference | -25.07% |
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 | +148.79% | 0.82 | 1.71 | +19.06% | +88.24% | 17 | 12.49 | +20.64% |
| S&P/ASX 200 | Australia | +16.56% | 0.31 | 0.45 | +13.69% | +58.33% | 24 | 1.86 | +9.55% |
| Bovespa | Brazil | +21.89% | 0.33 | 0.50 | +15.27% | +69.23% | 26 | 1.76 | +11.94% |
| TSX Composite | Canada | +44.04% | 0.77 | 1.24 | +11.73% | +70.83% | 24 | 5.21 | +9.21% |
| Euro Stoxx 50 | Europe | +36.23% | 0.43 | 0.67 | +17.43% | +76.00% | 25 | 3.11 | +13.80% |
| Euronext 100 | Europe | +28.34% | 0.39 | 0.58 | +17.53% | +65.38% | 26 | 2.69 | +12.10% |
| CAC 40 | France | +22.31% | 0.30 | 0.44 | +17.47% | +68.00% | 25 | 2.11 | +12.93% |
| DAX | Germany | +46.11% | 0.56 | 0.88 | +17.85% | +79.31% | 29 | 3.75 | +12.90% |
| Hang Seng | Hong Kong | -8.53% | -0.10 | -0.13 | +42.25% | +66.67% | 24 | 0.88 | +19.10% |
| BSE Sensex | India | +47.64% | 0.83 | 1.33 | +10.99% | +76.92% | 26 | 9.23 | +9.24% |
| Nifty 50 | India | +31.83% | 0.59 | 0.92 | +10.67% | +72.73% | 22 | 3.93 | +9.20% |
| Nikkei 225 | Japan | +35.09% | 0.36 | 0.54 | +21.82% | +78.26% | 23 | 2.96 | +16.69% |
| KOSPI | South Korea | -6.31% | -0.10 | -0.13 | +29.59% | +66.67% | 21 | 0.88 | +14.12% |
| Swiss Market | Switzerland | +1.99% | 0.04 | 0.05 | +21.78% | +58.33% | 24 | 1.11 | +10.62% |
| Taiwan Weighted | Taiwan | +15.23% | 0.19 | 0.27 | +25.76% | +77.27% | 22 | 1.51 | +15.16% |
| FTSE 100 | UK | +29.96% | 0.52 | 0.75 | +11.80% | +78.26% | 23 | 4.31 | +9.83% |
| CBOE Volatility Index | US | +5347.66% | 0.74 | 4.26 | +44.12% | +85.19% | 27 | 14.89 | +66.74% |
| Dow Jones Industrial Average | US | +11.64% | 0.19 | 0.28 | +18.72% | +68.18% | 22 | 1.61 | +11.30% |
| NASDAQ Composite | US | +29.42% | 0.29 | 0.45 | +23.13% | +78.26% | 23 | 1.85 | +17.10% |
| Russell 2000 | US | +17.61% | 0.19 | 0.29 | +26.20% | +69.23% | 26 | 1.43 | +16.76% |
| S&P 500 | US | +17.03% | 0.24 | 0.35 | +17.40% | +81.82% | 22 | 1.83 | +13.13% |