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 | -1.97% | Net profit | -$19,691 | Gross profit | $733,537 | Gross loss | $728,810 | CAGR | -0.67% | Annualized return | -0.67% | Monthly average return | +0.01% | Median monthly return | -1.68% |
| Best month return | +3.02% | Worst month return | -11.47% | Rolling 1-month return | +7.10% | Log return CAGR | -22.36% | Compounded vs simple return difference | -9.14% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.16% | Average drawdown | +13.38% | Median drawdown | -8.44% | Drawdown duration (max) | 1265.7 days | Average drawdown duration | 45.7 days | Ulcer index | 14.25 | Pain index | 9.70 | Pain ratio | 0.95 |
| Drawdown volatility | 7.08 | Worst peak-to-trough loss | +25.16% | % time in drawdown | +80.15% | Drawdown area | 804.53 | Downside deviation | +10.63% | Semi-variance | 1.36 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.08 | Rolling 1-month Sharpe | 1.31 | Sortino ratio | -0.08 | Calmar ratio | 0.00 | Sterling ratio | 0.00 | Burke ratio | 0.09 | Return / volatility | -0.21 | Return / downside risk | -0.21 |
| Return / max drawdown | 0.08 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 59 | Win rate | +37.80% | Loss rate | +62.20% | Average win | +3.39% | Average loss | -1.97% | Win/Loss ratio | 1.74 | Expectancy | +0.02% | Profit factor | 1.06 |
| Payoff ratio | 1.74 | Best trade | +15.81% | Worst trade | -8.69% | Trade return standard deviation | +3.52% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.06% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.22 | Alpha vs benchmark % | -2.85% | Information ratio | -0.80 | Treynor ratio | 0.00 | ||||||||
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 | -23.53% |
| Net profit | -$235,277 |
| Gross profit | $833,439 |
| Gross loss | $1,026,857 |
| CAGR | -5.24% |
| Annualized return | -5.24% |
| Monthly average return | -0.34% |
| Median monthly return | +1.60% |
| Best month return | +3.59% |
| Worst month return | -16.28% |
| Rolling 1-month return | +5.22% |
| Log return CAGR | -33.42% |
| Compounded vs simple return difference | +8.62% |
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 | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| S&P/ASX 200 | Australia | -4.88% | -0.11 | -0.14 | +15.03% | +40.74% | 54 | 0.93 | +9.10% |
| Bovespa | Brazil | -0.49% | -0.01 | -0.01 | +21.28% | +34.38% | 64 | 1.07 | +11.34% |
| TSX Composite | Canada | +51.57% | 0.77 | 1.18 | +12.68% | +49.02% | 51 | 2.32 | +10.33% |
| Euro Stoxx 50 | Europe | -10.17% | -0.19 | -0.24 | +35.14% | +31.67% | 60 | 0.91 | +11.54% |
| Euronext 100 | Europe | -19.90% | -0.46 | -0.56 | +29.08% | +33.80% | 71 | 0.75 | +9.69% |
| CAC 40 | France | -17.31% | -0.34 | -0.43 | +31.67% | +43.75% | 64 | 0.82 | +11.14% |
| DAX | Germany | -15.56% | -0.28 | -0.36 | +32.40% | +44.12% | 68 | 0.86 | +12.14% |
| Hang Seng | Hong Kong | -15.06% | -0.20 | -0.28 | +41.39% | +33.96% | 53 | 0.90 | +16.88% |
| BSE Sensex | India | +6.74% | 0.13 | 0.18 | +17.96% | +36.84% | 57 | 1.17 | +10.04% |
| Nifty 50 | India | +11.73% | 0.21 | 0.30 | +20.06% | +32.76% | 58 | 1.27 | +10.54% |
| Nikkei 225 | Japan | +9.10% | 0.12 | 0.17 | +33.22% | +38.10% | 63 | 1.19 | +14.80% |
| KOSPI | South Korea | +50.89% | 0.47 | 0.72 | +32.19% | +44.26% | 61 | 1.82 | +17.01% |
| Swiss Market | Switzerland | -3.65% | -0.08 | -0.11 | +16.32% | +34.62% | 52 | 0.96 | +9.01% |
| Taiwan Weighted | Taiwan | +11.47% | 0.17 | 0.24 | +22.43% | +46.43% | 56 | 1.21 | +12.81% |
| FTSE 100 | UK | -16.30% | -0.43 | -0.54 | +25.29% | +32.20% | 59 | 0.71 | +8.30% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -17.01% | -0.34 | -0.44 | +25.46% | +43.64% | 55 | 0.76 | +11.11% |
| NASDAQ Composite | US | -22.71% | -0.31 | -0.39 | +43.55% | +28.30% | 53 | 0.90 | +16.94% |
| Russell 2000 | US | -16.27% | -0.21 | -0.30 | +36.66% | +40.54% | 74 | 0.85 | +16.84% |
| S&P 500 | US | -23.53% | -0.43 | -0.53 | +36.60% | +29.09% | 55 | 0.81 | +12.80% |