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 | +54.78% | Net profit | $547,800 | Gross profit | $904,838 | Gross loss | $642,002 | CAGR | +4.45% | Annualized return | +4.45% | Monthly average return | +0.43% | Median monthly return | -2.04% |
| Best month return | +8.89% | Worst month return | -7.49% | Rolling 1-month return | +14.07% | Log return CAGR | +19.87% | Compounded vs simple return difference | -50.67% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.32% | Average drawdown | +9.62% | Median drawdown | -8.05% | Drawdown duration (max) | 806.1 days | Average drawdown duration | 29.0 days | Ulcer index | 10.79 | Pain index | 8.31 | Pain ratio | 9.57 |
| Drawdown volatility | 4.68 | Worst peak-to-trough loss | +22.32% | % time in drawdown | +86.66% | Drawdown area | 760.28 | Downside deviation | +14.12% | Semi-variance | 3.72 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.33 | Rolling 1-month Sharpe | 1.24 | Sortino ratio | 0.56 | Calmar ratio | 0.29 | Sterling ratio | 0.29 | Burke ratio | 0.86 | Return / volatility | 3.08 | Return / downside risk | 3.22 |
| Return / max drawdown | 2.66 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 39 | Win rate | +39.47% | Loss rate | +60.53% | Average win | +5.74% | Average loss | -2.70% | Win/Loss ratio | 2.30 | Expectancy | +0.73% | Profit factor | 1.57 |
| Payoff ratio | 2.30 | Best trade | +17.86% | Worst trade | -7.45% | Trade return standard deviation | +4.32% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.91% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +7.04% | Information ratio | -0.44 | 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 | +14.92% |
| Net profit | $149,232 |
| Gross profit | $667,375 |
| Gross loss | $499,084 |
| CAGR | +2.83% |
| Annualized return | +2.83% |
| Monthly average return | +0.29% |
| Median monthly return | -2.39% |
| Best month return | +6.02% |
| Worst month return | -8.32% |
| Rolling 1-month return | +11.88% |
| Log return CAGR | +2.17% |
| Compounded vs simple return difference | -14.07% |
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 | +898.10% | 1.30 | 3.44 | +26.03% | +59.46% | 37 | 5.21 | +28.55% |
| S&P/ASX 200 | Australia | -10.48% | -0.26 | -0.34 | +24.80% | +38.64% | 44 | 0.82 | +8.44% |
| Bovespa | Brazil | +20.46% | 0.34 | 0.50 | +16.91% | +39.47% | 38 | 1.42 | +10.84% |
| TSX Composite | Canada | +29.01% | 0.63 | 0.90 | +10.03% | +51.35% | 37 | 1.80 | +7.96% |
| Euro Stoxx 50 | Europe | +26.81% | 0.51 | 0.76 | +16.05% | +40.00% | 35 | 1.61 | +9.16% |
| Euronext 100 | Europe | +7.25% | 0.16 | 0.22 | +17.37% | +31.82% | 44 | 1.19 | +8.45% |
| CAC 40 | France | +30.38% | 0.55 | 0.81 | +13.83% | +39.39% | 33 | 1.78 | +9.27% |
| DAX | Germany | +31.76% | 0.59 | 0.90 | +12.55% | +40.00% | 40 | 1.72 | +8.93% |
| Hang Seng | Hong Kong | +10.39% | 0.12 | 0.19 | +29.73% | +29.73% | 37 | 1.26 | +16.47% |
| BSE Sensex | India | +21.35% | 0.46 | 0.67 | +11.15% | +32.35% | 34 | 1.59 | +8.41% |
| Nifty 50 | India | +17.53% | 0.38 | 0.54 | +14.45% | +31.58% | 38 | 1.43 | +8.58% |
| Nikkei 225 | Japan | -4.16% | -0.07 | -0.10 | +25.31% | +38.10% | 42 | 0.98 | +12.49% |
| KOSPI | South Korea | +47.87% | 0.53 | 0.80 | +21.85% | +42.86% | 35 | 1.90 | +14.42% |
| Swiss Market | Switzerland | +25.04% | 0.60 | 0.91 | +11.52% | +50.00% | 30 | 1.90 | +7.33% |
| Taiwan Weighted | Taiwan | +54.17% | 0.78 | 1.27 | +20.69% | +41.46% | 41 | 1.94 | +11.04% |
| FTSE 100 | UK | +5.40% | 0.15 | 0.20 | +17.26% | +40.91% | 44 | 1.18 | +7.12% |
| CBOE Volatility Index | US | -79.21% | -0.25 | -0.43 | +90.19% | +39.53% | 43 | 0.65 | +108.73% |
| Dow Jones Industrial Average | US | +2.98% | 0.07 | 0.10 | +19.54% | +39.13% | 46 | 1.11 | +8.64% |
| NASDAQ Composite | US | -8.05% | -0.12 | -0.17 | +30.12% | +33.33% | 42 | 0.97 | +14.02% |
| Russell 2000 | US | +8.86% | 0.11 | 0.17 | +22.19% | +33.33% | 39 | 1.21 | +15.24% |
| S&P 500 | US | +14.92% | 0.28 | 0.41 | +17.05% | +36.36% | 44 | 1.34 | +9.92% |