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 | +273.61% | Net profit | $2,736,052 | Gross profit | $3,554,911 | Gross loss | $764,817 | CAGR | +6.42% | Annualized return | +6.42% | Monthly average return | +0.58% | Median monthly return | +0.88% |
| Best month return | +8.09% | Worst month return | -8.54% | Rolling 1-month return | +10.32% | Log return CAGR | +1.27% | Compounded vs simple return difference | -278.04% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.53% | Average drawdown | +15.34% | Median drawdown | -7.13% | Drawdown duration (max) | 1283.9 days | Average drawdown duration | 25.9 days | Ulcer index | 16.96 | Pain index | 8.21 | Pain ratio | 42.64 |
| Drawdown volatility | 5.92 | Worst peak-to-trough loss | +30.53% | % time in drawdown | +84.11% | Drawdown area | 730.10 | Downside deviation | +14.46% | Semi-variance | 3.14 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.07 | Rolling 1-month Sharpe | 1.40 | Sortino ratio | 0.26 | Calmar ratio | 0.18 | Sterling ratio | 0.18 | Burke ratio | 3.95 | Return / volatility | 6.36 | Return / downside risk | 10.01 |
| Return / max drawdown | 6.89 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 63 | Win rate | +42.37% | Loss rate | +57.63% | Average win | +277.93% | Average loss | -1.72% | Win/Loss ratio | 1.75 | Expectancy | +274.74% | Profit factor | 0.99 |
| Payoff ratio | 1.75 | Best trade | +287.28% | Worst trade | -7.33% | Trade return standard deviation | +5.25% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +18.99% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +9.08% | Information ratio | -0.55 | Treynor ratio | 0.01 | ||||||||
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 | +1.14% |
| Net profit | $11,431 |
| Gross profit | $979,769 |
| Gross loss | $914,430 |
| CAGR | +0.23% |
| Annualized return | +0.23% |
| Monthly average return | +0.10% |
| Median monthly return | +4.54% |
| Best month return | +6.26% |
| Worst month return | -11.77% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | -21.72% |
| Compounded vs simple return difference | -10.40% |
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 | +5709.11% | 1.24 | 4.86 | +40.49% | +100.00% | 1 | 0.00 | +43.82% |
| S&P/ASX 200 | Australia | -15.03% | -0.37 | -0.46 | +21.07% | +32.47% | 77 | 0.81 | +8.98% |
| Bovespa | Brazil | +6.09% | 0.10 | 0.14 | +23.36% | +28.38% | 74 | 1.11 | +12.00% |
| TSX Composite | Canada | +15.27% | 0.28 | 0.39 | +24.38% | +40.91% | 66 | 1.28 | +9.87% |
| Euro Stoxx 50 | Europe | -4.66% | -0.08 | -0.11 | +29.06% | +32.84% | 67 | 1.00 | +11.81% |
| Euronext 100 | Europe | +7.23% | 0.14 | 0.19 | +24.75% | +34.72% | 72 | 1.15 | +10.00% |
| CAC 40 | France | -20.93% | -0.42 | -0.52 | +30.68% | +29.33% | 75 | 0.80 | +11.28% |
| DAX | Germany | +0.08% | 0.00 | 0.00 | +23.95% | +33.33% | 72 | 1.06 | +12.10% |
| Hang Seng | Hong Kong | -11.19% | -0.14 | -0.21 | +44.24% | +35.48% | 62 | 0.96 | +16.91% |
| BSE Sensex | India | +2.33% | 0.05 | 0.07 | +15.22% | +35.82% | 67 | 1.07 | +9.47% |
| Nifty 50 | India | +19.57% | 0.35 | 0.52 | +16.65% | +35.82% | 67 | 1.36 | +10.13% |
| Nikkei 225 | Japan | +7.34% | 0.10 | 0.15 | +36.69% | +40.00% | 75 | 1.13 | +14.48% |
| KOSPI | South Korea | +47.79% | 0.47 | 0.72 | +34.83% | +38.03% | 71 | 1.67 | +16.48% |
| Swiss Market | Switzerland | +4.57% | 0.10 | 0.14 | +15.33% | +34.33% | 67 | 1.12 | +8.85% |
| Taiwan Weighted | Taiwan | -8.65% | -0.16 | -0.21 | +29.99% | +36.11% | 72 | 0.96 | +11.93% |
| FTSE 100 | UK | +21.06% | 0.48 | 0.70 | +9.15% | +45.61% | 57 | 1.54 | +7.87% |
| CBOE Volatility Index | US | +13.26% | 0.01 | 0.03 | +74.26% | +100.00% | 1 | 0.00 | +127.24% |
| Dow Jones Industrial Average | US | -9.73% | -0.19 | -0.25 | +28.24% | +45.31% | 64 | 0.90 | +10.73% |
| NASDAQ Composite | US | -9.87% | -0.13 | -0.17 | +44.96% | +33.33% | 69 | 0.99 | +16.15% |
| Russell 2000 | US | -29.10% | -0.43 | -0.56 | +44.06% | +36.05% | 86 | 0.80 | +16.51% |
| S&P 500 | US | +1.14% | 0.02 | 0.03 | +29.83% | +41.94% | 62 | 1.07 | +12.17% |