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 | +87.04% | Net profit | $870,364 | Gross profit | $1,236,321 | Gross loss | $1,002,258 | CAGR | +2.85% | Annualized return | +2.85% | Monthly average return | +0.36% | Median monthly return | -1.93% |
| Best month return | +5.33% | Worst month return | -9.72% | Rolling 1-month return | +9.58% | Log return CAGR | -18.05% | Compounded vs simple return difference | -98.42% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +31.16% | Average drawdown | +17.85% | Median drawdown | -10.27% | Drawdown duration (max) | 1307.4 days | Average drawdown duration | 46.8 days | Ulcer index | 19.01 | Pain index | 10.47 | Pain ratio | 11.69 |
| Drawdown volatility | 5.96 | Worst peak-to-trough loss | +31.16% | % time in drawdown | +88.50% | Drawdown area | 978.69 | Downside deviation | +14.05% | Semi-variance | 2.19 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.05 | Rolling 1-month Sharpe | 1.14 | Sortino ratio | 0.20 | Calmar ratio | 0.13 | Sterling ratio | 0.13 | Burke ratio | 1.08 | Return / volatility | 2.82 | Return / downside risk | 3.71 |
| Return / max drawdown | 2.33 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 61 | Win rate | +27.95% | Loss rate | +72.05% | Average win | +7.11% | Average loss | -2.17% | Win/Loss ratio | 3.18 | Expectancy | +0.44% | Profit factor | 1.30 |
| Payoff ratio | 3.18 | Best trade | +28.12% | Worst trade | -6.59% | Trade return standard deviation | +5.56% | Consecutive wins (max) | 3 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.84% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.06 | Alpha vs benchmark % | +4.02% | Information ratio | -0.58 | 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 | +16.58% |
| Net profit | $165,786 |
| Gross profit | $979,203 |
| Gross loss | $764,214 |
| CAGR | +3.13% |
| Annualized return | +3.13% |
| Monthly average return | +0.34% |
| Median monthly return | +2.14% |
| Best month return | +3.60% |
| Worst month return | -3.10% |
| Rolling 1-month return | +5.91% |
| Log return CAGR | -7.44% |
| Compounded vs simple return difference | -19.60% |
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 | +1873.05% | 1.32 | 4.01 | +44.43% | +36.84% | 57 | 4.79 | +33.90% |
| S&P/ASX 200 | Australia | -9.31% | -0.21 | -0.27 | +24.64% | +31.67% | 60 | 0.86 | +9.34% |
| Bovespa | Brazil | -14.34% | -0.24 | -0.32 | +37.60% | +23.61% | 72 | 0.89 | +13.18% |
| TSX Composite | Canada | +50.96% | 0.82 | 1.24 | +9.79% | +44.19% | 43 | 2.37 | +9.62% |
| Euro Stoxx 50 | Europe | -24.38% | -0.45 | -0.57 | +27.77% | +22.39% | 67 | 0.75 | +12.63% |
| Euronext 100 | Europe | -17.84% | -0.36 | -0.45 | +28.69% | +25.76% | 66 | 0.78 | +10.94% |
| CAC 40 | France | -25.30% | -0.49 | -0.62 | +31.07% | +22.73% | 66 | 0.70 | +11.93% |
| DAX | Germany | -0.02% | -0.00 | -0.00 | +22.07% | +27.42% | 62 | 1.05 | +11.78% |
| Hang Seng | Hong Kong | -29.33% | -0.42 | -0.58 | +48.78% | +16.46% | 79 | 0.79 | +17.37% |
| BSE Sensex | India | +26.29% | 0.47 | 0.70 | +15.63% | +28.07% | 57 | 1.56 | +9.83% |
| Nifty 50 | India | +33.35% | 0.57 | 0.85 | +15.76% | +29.41% | 51 | 1.66 | +9.97% |
| Nikkei 225 | Japan | +0.05% | 0.00 | 0.00 | +32.17% | +28.36% | 67 | 1.07 | +15.02% |
| KOSPI | South Korea | +13.16% | 0.16 | 0.22 | +37.30% | +23.44% | 64 | 1.24 | +15.85% |
| Swiss Market | Switzerland | -8.83% | -0.21 | -0.28 | +27.77% | +24.07% | 54 | 0.87 | +9.04% |
| Taiwan Weighted | Taiwan | +42.20% | 0.53 | 0.80 | +19.44% | +28.30% | 53 | 1.58 | +13.36% |
| FTSE 100 | UK | -1.80% | -0.04 | -0.05 | +22.08% | +32.14% | 56 | 0.99 | +9.14% |
| CBOE Volatility Index | US | -75.77% | -0.23 | -0.43 | +91.88% | +25.33% | 75 | 1.03 | +105.05% |
| Dow Jones Industrial Average | US | -5.19% | -0.10 | -0.13 | +28.94% | +30.00% | 60 | 0.97 | +10.88% |
| NASDAQ Composite | US | +3.73% | 0.04 | 0.06 | +33.54% | +29.63% | 54 | 1.12 | +16.37% |
| Russell 2000 | US | -19.51% | -0.26 | -0.36 | +32.40% | +26.98% | 63 | 0.85 | +16.98% |
| S&P 500 | US | +16.58% | 0.24 | 0.35 | +22.50% | +30.19% | 53 | 1.28 | +12.47% |