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 | +103.73% | Net profit | $1,037,332 | Gross profit | $816,202 | Gross loss | $580,566 | CAGR | +4.56% | Annualized return | +4.56% | Monthly average return | +0.35% | Median monthly return | -0.92% |
| Best month return | +6.61% | Worst month return | -8.96% | Rolling 1-month return | +13.16% | Log return CAGR | -1.36% | Compounded vs simple return difference | -106.20% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.43% | Average drawdown | +11.60% | Median drawdown | -9.37% | Drawdown duration (max) | 909.8 days | Average drawdown duration | 45.7 days | Ulcer index | 12.55 | Pain index | 9.71 | Pain ratio | 11.52 |
| Drawdown volatility | 5.26 | Worst peak-to-trough loss | +23.43% | % time in drawdown | +87.84% | Drawdown area | 892.24 | Downside deviation | +14.34% | Semi-variance | 3.88 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.26 | Rolling 1-month Sharpe | 1.29 | Sortino ratio | 0.51 | Calmar ratio | 0.26 | Sterling ratio | 0.26 | Burke ratio | 1.06 | Return / volatility | 4.12 | Return / downside risk | 4.89 |
| Return / max drawdown | 3.77 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 26 | Win rate | +41.56% | Loss rate | +58.44% | Average win | +7.54% | Average loss | -3.25% | Win/Loss ratio | 2.30 | Expectancy | +1.24% | Profit factor | 1.79 |
| Payoff ratio | 2.30 | Best trade | +24.31% | Worst trade | -9.44% | Trade return standard deviation | +4.48% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.29% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | +5.47% | Information ratio | -0.43 | Treynor ratio | 0.03 | ||||||||
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 | +28.19% |
| Net profit | $281,925 |
| Gross profit | $599,298 |
| Gross loss | $304,808 |
| CAGR | +5.11% |
| Annualized return | +5.11% |
| Monthly average return | +0.46% |
| Median monthly return | +0.16% |
| Best month return | +5.07% |
| Worst month return | -13.93% |
| Rolling 1-month return | +6.04% |
| Log return CAGR | -18.80% |
| Compounded vs simple return difference | -36.13% |
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 | +1943.04% | 1.37 | 4.22 | +31.27% | +59.09% | 22 | 8.26 | +33.04% |
| S&P/ASX 200 | Australia | +7.76% | 0.17 | 0.24 | +10.32% | +48.00% | 25 | 1.44 | +8.61% |
| Bovespa | Brazil | -5.66% | -0.11 | -0.15 | +25.88% | +31.03% | 29 | 0.96 | +10.79% |
| TSX Composite | Canada | +6.98% | 0.15 | 0.20 | +16.62% | +44.00% | 25 | 1.27 | +8.68% |
| Euro Stoxx 50 | Europe | +9.73% | 0.18 | 0.25 | +18.42% | +48.00% | 25 | 1.36 | +10.12% |
| Euronext 100 | Europe | +12.24% | 0.25 | 0.34 | +14.29% | +50.00% | 28 | 1.41 | +9.00% |
| CAC 40 | France | -1.14% | -0.02 | -0.03 | +12.91% | +44.44% | 27 | 1.01 | +9.22% |
| DAX | Germany | +10.71% | 0.19 | 0.27 | +16.97% | +41.38% | 29 | 1.37 | +10.27% |
| Hang Seng | Hong Kong | +10.58% | 0.13 | 0.20 | +24.49% | +29.17% | 24 | 1.27 | +15.66% |
| BSE Sensex | India | +22.26% | 0.43 | 0.64 | +14.59% | +34.62% | 26 | 1.60 | +9.33% |
| Nifty 50 | India | +29.94% | 0.54 | 0.81 | +14.68% | +37.50% | 24 | 1.94 | +9.58% |
| Nikkei 225 | Japan | +26.15% | 0.34 | 0.51 | +27.17% | +32.14% | 28 | 1.70 | +13.81% |
| KOSPI | South Korea | +69.17% | 0.65 | 1.03 | +19.24% | +48.15% | 27 | 2.83 | +15.69% |
| Swiss Market | Switzerland | +9.36% | 0.22 | 0.31 | +16.19% | +41.67% | 24 | 1.41 | +8.03% |
| Taiwan Weighted | Taiwan | +49.08% | 0.62 | 0.97 | +20.02% | +45.83% | 24 | 2.15 | +12.86% |
| FTSE 100 | UK | +10.15% | 0.24 | 0.33 | +12.39% | +42.86% | 28 | 1.35 | +7.93% |
| CBOE Volatility Index | US | -97.11% | -0.78 | -0.83 | +98.73% | +22.50% | 40 | 0.32 | +100.75% |
| Dow Jones Industrial Average | US | +7.39% | 0.15 | 0.21 | +18.40% | +41.67% | 24 | 1.29 | +9.38% |
| NASDAQ Composite | US | +27.08% | 0.34 | 0.50 | +28.95% | +44.00% | 25 | 1.58 | +13.92% |
| Russell 2000 | US | +2.51% | 0.03 | 0.05 | +29.18% | +36.67% | 30 | 1.11 | +14.80% |
| S&P 500 | US | +28.19% | 0.45 | 0.68 | +21.31% | +50.00% | 22 | 1.97 | +10.70% |