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 | +70.89% | Net profit | $708,893 | Gross profit | $990,392 | Gross loss | $820,329 | CAGR | +3.32% | Annualized return | +3.32% | Monthly average return | +0.28% | Median monthly return | -1.52% |
| Best month return | +4.76% | Worst month return | -7.96% | Rolling 1-month return | +12.43% | Log return CAGR | -6.88% | Compounded vs simple return difference | -75.91% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.09% | Average drawdown | +11.74% | Median drawdown | -8.50% | Drawdown duration (max) | 1047.6 days | Average drawdown duration | 56.7 days | Ulcer index | 12.79 | Pain index | 8.86 | Pain ratio | 9.02 |
| Drawdown volatility | 5.05 | Worst peak-to-trough loss | +24.09% | % time in drawdown | +90.15% | Drawdown area | 832.29 | Downside deviation | +13.98% | Semi-variance | 2.64 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.19 | Rolling 1-month Sharpe | 1.31 | Sortino ratio | 0.38 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 0.82 | Return / volatility | 2.89 | Return / downside risk | 3.40 |
| Return / max drawdown | 2.50 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 70 | Win rate | +35.20% | Loss rate | +64.80% | Average win | +3.94% | Average loss | -1.72% | Win/Loss ratio | 2.47 | Expectancy | +0.33% | Profit factor | 1.38 |
| Payoff ratio | 2.47 | Best trade | +17.75% | Worst trade | -6.54% | Trade return standard deviation | +4.35% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.34% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +5.19% | Information ratio | -0.49 | 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 | +15.34% |
| Net profit | $153,366 |
| Gross profit | $713,588 |
| Gross loss | $541,393 |
| CAGR | +2.90% |
| Annualized return | +2.90% |
| Monthly average return | +0.28% |
| Median monthly return | -0.73% |
| Best month return | +3.00% |
| Worst month return | -4.52% |
| Rolling 1-month return | +3.44% |
| Log return CAGR | -5.59% |
| Compounded vs simple return difference | -17.59% |
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 | +1351.41% | 1.28 | 3.66 | +33.45% | +48.44% | 64 | 4.86 | +32.32% |
| S&P/ASX 200 | Australia | -2.39% | -0.06 | -0.08 | +11.70% | +37.66% | 77 | 0.97 | +8.35% |
| Bovespa | Brazil | +15.63% | 0.26 | 0.37 | +18.14% | +35.38% | 65 | 1.29 | +11.28% |
| TSX Composite | Canada | +27.79% | 0.57 | 0.82 | +11.13% | +46.30% | 54 | 1.69 | +8.37% |
| Euro Stoxx 50 | Europe | -5.14% | -0.11 | -0.15 | +22.27% | +28.95% | 76 | 0.97 | +9.41% |
| Euronext 100 | Europe | +1.72% | 0.04 | 0.05 | +14.30% | +28.38% | 74 | 1.06 | +8.65% |
| CAC 40 | France | +3.29% | 0.07 | 0.09 | +17.80% | +31.88% | 69 | 1.10 | +9.49% |
| DAX | Germany | +17.28% | 0.32 | 0.47 | +20.42% | +35.06% | 77 | 1.34 | +9.64% |
| Hang Seng | Hong Kong | +10.71% | 0.13 | 0.20 | +31.20% | +40.91% | 66 | 1.21 | +15.95% |
| BSE Sensex | India | +5.80% | 0.13 | 0.18 | +18.97% | +22.86% | 70 | 1.15 | +8.96% |
| Nifty 50 | India | +10.60% | 0.22 | 0.32 | +20.73% | +27.54% | 69 | 1.23 | +9.10% |
| Nikkei 225 | Japan | +0.12% | 0.00 | 0.00 | +27.57% | +32.88% | 73 | 1.08 | +12.98% |
| KOSPI | South Korea | +51.40% | 0.53 | 0.82 | +21.59% | +39.39% | 66 | 1.84 | +15.27% |
| Swiss Market | Switzerland | +1.90% | 0.05 | 0.07 | +14.17% | +28.95% | 76 | 1.07 | +7.76% |
| Taiwan Weighted | Taiwan | +62.40% | 0.79 | 1.29 | +21.60% | +32.14% | 56 | 1.98 | +12.10% |
| FTSE 100 | UK | -9.27% | -0.26 | -0.33 | +25.49% | +36.36% | 77 | 0.84 | +7.60% |
| CBOE Volatility Index | US | -94.70% | -0.54 | -0.71 | +96.66% | +32.63% | 95 | 0.50 | +107.68% |
| Dow Jones Industrial Average | US | +3.17% | 0.07 | 0.10 | +18.62% | +35.82% | 67 | 1.10 | +9.07% |
| NASDAQ Composite | US | +39.32% | 0.48 | 0.73 | +18.25% | +46.77% | 62 | 1.62 | +13.48% |
| Russell 2000 | US | -17.70% | -0.26 | -0.36 | +28.02% | +30.12% | 83 | 0.81 | +15.11% |
| S&P 500 | US | +15.34% | 0.27 | 0.39 | +13.78% | +40.68% | 59 | 1.32 | +10.53% |