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 | +261.12% | Net profit | $2,611,158 | Gross profit | $695,889 | Gross loss | $255,603 | CAGR | +9.70% | Annualized return | +9.70% | Monthly average return | +0.76% | Median monthly return | +2.33% |
| Best month return | +11.02% | Worst month return | -6.32% | Rolling 1-month return | +17.20% | Log return CAGR | +128.46% | Compounded vs simple return difference | -246.79% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.68% | Average drawdown | +6.19% | Median drawdown | -6.48% | Drawdown duration (max) | 740.6 days | Average drawdown duration | 23.5 days | Ulcer index | 7.64 | Pain index | 6.84 | Pain ratio | 18.79 |
| Drawdown volatility | 4.36 | Worst peak-to-trough loss | +20.68% | % time in drawdown | +86.28% | Drawdown area | 601.17 | Downside deviation | +15.65% | Semi-variance | 1.97 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.31 | Rolling 1-month Sharpe | 1.08 | Sortino ratio | 0.65 | Calmar ratio | 0.38 | Sterling ratio | 0.38 | Burke ratio | 1.77 | Return / volatility | 5.34 | Return / downside risk | 7.25 |
| Return / max drawdown | 6.87 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +70.79% | Loss rate | +29.21% | Average win | +3.81% | Average loss | -3.88% | Win/Loss ratio | 0.99 | Expectancy | +1.83% | Profit factor | 3.13 |
| Payoff ratio | 0.99 | Best trade | +10.57% | Worst trade | -8.41% | Trade return standard deviation | +3.77% | Consecutive wins (max) | 7 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.90% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.19 | Alpha vs benchmark % | +6.94% | Information ratio | -0.42 | 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 | +11.92% |
| Net profit | $119,237 |
| Gross profit | $369,556 |
| Gross loss | $245,161 |
| CAGR | +2.29% |
| Annualized return | +2.29% |
| Monthly average return | +0.22% |
| 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 | -19.96% |
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 | +11.71% | 0.22 | 0.32 | +13.69% | +56.00% | 25 | 1.52 | +9.70% |
| Bovespa | Brazil | +21.56% | 0.32 | 0.49 | +15.27% | +66.67% | 27 | 1.74 | +12.02% |
| TSX Composite | Canada | +40.73% | 0.71 | 1.14 | +11.73% | +68.00% | 25 | 4.15 | +9.28% |
| Euro Stoxx 50 | Europe | +32.25% | 0.39 | 0.60 | +17.43% | +73.08% | 26 | 2.60 | +13.95% |
| Euronext 100 | Europe | +26.04% | 0.36 | 0.54 | +17.53% | +62.96% | 27 | 2.41 | +12.19% |
| CAC 40 | France | +17.63% | 0.24 | 0.35 | +17.47% | +65.38% | 26 | 1.76 | +13.02% |
| DAX | Germany | +40.03% | 0.49 | 0.76 | +17.85% | +76.67% | 30 | 2.90 | +13.08% |
| Hang Seng | Hong Kong | -13.05% | -0.15 | -0.21 | +42.28% | +62.50% | 24 | 0.78 | +19.18% |
| BSE Sensex | India | +36.51% | 0.65 | 1.00 | +10.99% | +74.07% | 27 | 3.39 | +9.49% |
| Nifty 50 | India | +17.22% | 0.34 | 0.49 | +10.71% | +68.18% | 22 | 1.91 | +9.42% |
| Nikkei 225 | Japan | +37.22% | 0.37 | 0.56 | +21.82% | +79.17% | 24 | 3.06 | +16.98% |
| KOSPI | South Korea | -6.31% | -0.10 | -0.13 | +29.59% | +66.67% | 21 | 0.88 | +14.12% |
| Swiss Market | Switzerland | -4.58% | -0.09 | -0.12 | +21.78% | +56.00% | 25 | 0.90 | +10.74% |
| Taiwan Weighted | Taiwan | +15.23% | 0.19 | 0.27 | +25.76% | +77.27% | 22 | 1.51 | +15.16% |
| FTSE 100 | UK | +26.92% | 0.47 | 0.67 | +11.80% | +75.00% | 24 | 3.34 | +9.94% |
| CBOE Volatility Index | US | +4983.12% | 0.74 | 4.22 | +44.12% | +84.62% | 26 | 14.68 | +66.22% |
| Dow Jones Industrial Average | US | +5.88% | 0.10 | 0.14 | +18.72% | +65.22% | 23 | 1.26 | +11.38% |
| NASDAQ Composite | US | +25.01% | 0.25 | 0.39 | +23.13% | +78.26% | 23 | 1.68 | +17.19% |
| Russell 2000 | US | +9.60% | 0.11 | 0.16 | +26.20% | +65.38% | 26 | 1.26 | +16.93% |
| S&P 500 | US | +11.92% | 0.17 | 0.25 | +17.40% | +77.27% | 22 | 1.51 | +13.21% |