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 | +103.27% | Net profit | $1,032,653 | Gross profit | $1,205,920 | Gross loss | $1,046,966 | CAGR | +3.34% | Annualized return | +3.34% | Monthly average return | +0.27% | Median monthly return | -2.42% |
| Best month return | +7.52% | Worst month return | -9.44% | Rolling 1-month return | +10.95% | Log return CAGR | -13.38% | Compounded vs simple return difference | -110.87% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.23% | Average drawdown | +13.43% | Median drawdown | -9.80% | Drawdown duration (max) | 1193.4 days | Average drawdown duration | 62.2 days | Ulcer index | 14.50 | Pain index | 10.04 | Pain ratio | 11.36 |
| Drawdown volatility | 5.11 | Worst peak-to-trough loss | +25.23% | % time in drawdown | +90.95% | Drawdown area | 950.61 | Downside deviation | +13.66% | Semi-variance | 2.77 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.16 | Rolling 1-month Sharpe | 1.11 | Sortino ratio | 0.39 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.04 | Return / volatility | 3.82 | Return / downside risk | 4.89 |
| Return / max drawdown | 4.32 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 89 | Win rate | +29.31% | Loss rate | +70.69% | Average win | +4.69% | Average loss | -1.58% | Win/Loss ratio | 3.00 | Expectancy | +0.25% | Profit factor | 1.30 |
| Payoff ratio | 3.00 | Best trade | +17.43% | Worst trade | -5.10% | Trade return standard deviation | +4.51% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.33% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +4.70% | Information ratio | -0.52 | 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 | +0.40% |
| Net profit | $4,032 |
| Gross profit | $744,977 |
| Gross loss | $719,392 |
| CAGR | +0.08% |
| Annualized return | +0.08% |
| Monthly average return | +0.04% |
| Median monthly return | +0.92% |
| Best month return | +4.27% |
| Worst month return | -2.91% |
| Rolling 1-month return | +5.07% |
| Log return CAGR | -1.58% |
| Compounded vs simple return difference | -1.03% |
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 | +2098.83% | 1.40 | 4.69 | +27.02% | +37.97% | 79 | 4.29 | +32.99% |
| S&P/ASX 200 | Australia | -5.39% | -0.13 | -0.18 | +16.84% | +29.89% | 87 | 0.94 | +8.26% |
| Bovespa | Brazil | +6.56% | 0.11 | 0.16 | +23.00% | +27.59% | 87 | 1.12 | +11.24% |
| TSX Composite | Canada | +22.95% | 0.47 | 0.68 | +10.45% | +34.15% | 82 | 1.39 | +8.55% |
| Euro Stoxx 50 | Europe | -1.88% | -0.04 | -0.05 | +19.95% | +23.16% | 95 | 1.03 | +10.35% |
| Euronext 100 | Europe | +2.83% | 0.06 | 0.09 | +18.30% | +26.37% | 91 | 1.08 | +8.84% |
| CAC 40 | France | +2.18% | 0.04 | 0.06 | +14.40% | +26.74% | 86 | 1.07 | +9.48% |
| DAX | Germany | +8.71% | 0.16 | 0.24 | +20.58% | +24.24% | 99 | 1.14 | +10.04% |
| Hang Seng | Hong Kong | -29.45% | -0.46 | -0.63 | +44.51% | +23.40% | 94 | 0.76 | +15.96% |
| BSE Sensex | India | +22.02% | 0.46 | 0.68 | +13.65% | +33.33% | 84 | 1.39 | +8.62% |
| Nifty 50 | India | +22.84% | 0.47 | 0.69 | +14.40% | +34.18% | 79 | 1.39 | +8.66% |
| Nikkei 225 | Japan | +19.27% | 0.26 | 0.40 | +25.74% | +31.82% | 88 | 1.27 | +13.51% |
| KOSPI | South Korea | +19.83% | 0.26 | 0.36 | +22.99% | +26.51% | 83 | 1.29 | +14.18% |
| Swiss Market | Switzerland | +9.76% | 0.23 | 0.33 | +15.84% | +23.26% | 86 | 1.18 | +8.07% |
| Taiwan Weighted | Taiwan | +99.81% | 1.17 | 2.08 | +13.46% | +42.25% | 71 | 2.56 | +11.39% |
| FTSE 100 | UK | +0.58% | 0.02 | 0.02 | +19.55% | +27.78% | 90 | 1.04 | +7.66% |
| CBOE Volatility Index | US | -94.70% | -0.55 | -0.72 | +96.38% | +21.10% | 109 | 0.56 | +107.22% |
| Dow Jones Industrial Average | US | -0.56% | -0.01 | -0.02 | +18.15% | +27.91% | 86 | 1.04 | +9.17% |
| NASDAQ Composite | US | -11.67% | -0.18 | -0.24 | +33.07% | +32.99% | 97 | 0.93 | +13.72% |
| Russell 2000 | US | -24.35% | -0.39 | -0.53 | +38.07% | +25.25% | 99 | 0.79 | +14.87% |
| S&P 500 | US | +0.40% | 0.01 | 0.01 | +23.58% | +35.63% | 87 | 1.04 | +10.12% |