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 | +65.69% | Net profit | $656,913 | Gross profit | $815,325 | Gross loss | $675,652 | CAGR | +2.70% | Annualized return | +2.70% | Monthly average return | +0.20% | Median monthly return | -1.58% |
| Best month return | +5.24% | Worst month return | -9.35% | Rolling 1-month return | +11.81% | Log return CAGR | -3.99% | Compounded vs simple return difference | -70.16% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.17% | Average drawdown | +12.57% | Median drawdown | -9.73% | Drawdown duration (max) | 1052.2 days | Average drawdown duration | 53.7 days | Ulcer index | 13.35 | Pain index | 9.83 | Pain ratio | 6.94 |
| Drawdown volatility | 4.84 | Worst peak-to-trough loss | +23.17% | % time in drawdown | +89.49% | Drawdown area | 919.14 | Downside deviation | +14.09% | Semi-variance | 3.14 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.17 | Rolling 1-month Sharpe | 1.19 | Sortino ratio | 0.37 | Calmar ratio | 0.20 | Sterling ratio | 0.20 | Burke ratio | 0.62 | Return / volatility | 2.77 | Return / downside risk | 3.24 |
| Return / max drawdown | 2.56 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 44 | Win rate | +26.58% | Loss rate | +73.42% | Average win | +7.33% | Average loss | -1.85% | Win/Loss ratio | 4.08 | Expectancy | +0.61% | Profit factor | 1.58 |
| Payoff ratio | 4.08 | Best trade | +24.41% | Worst trade | -5.08% | Trade return standard deviation | +4.33% | Consecutive wins (max) | 3 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.27% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +4.02% | Information ratio | -0.50 | Treynor ratio | 0.04 | ||||||||
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 | +41.92% |
| Net profit | $419,243 |
| Gross profit | $662,442 |
| Gross loss | $273,806 |
| CAGR | +7.28% |
| Annualized return | +7.28% |
| Monthly average return | +0.63% |
| Median monthly return | +0.79% |
| Best month return | +1.96% |
| Worst month return | -10.49% |
| Rolling 1-month return | +5.48% |
| Log return CAGR | -9.37% |
| Compounded vs simple return difference | -45.75% |
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 | +1235.47% | 1.27 | 3.51 | +30.08% | +33.33% | 33 | 7.28 | +31.85% |
| S&P/ASX 200 | Australia | -3.20% | -0.08 | -0.10 | +14.85% | +26.67% | 45 | 0.94 | +8.25% |
| Bovespa | Brazil | +18.56% | 0.32 | 0.47 | +14.53% | +26.32% | 38 | 1.44 | +10.57% |
| TSX Composite | Canada | +7.76% | 0.17 | 0.23 | +15.88% | +27.91% | 43 | 1.25 | +8.77% |
| Euro Stoxx 50 | Europe | -3.01% | -0.06 | -0.08 | +14.94% | +28.26% | 46 | 0.98 | +10.16% |
| Euronext 100 | Europe | -4.03% | -0.09 | -0.12 | +15.96% | +27.08% | 48 | 0.95 | +9.08% |
| CAC 40 | France | -13.14% | -0.30 | -0.38 | +20.51% | +28.26% | 46 | 0.73 | +9.40% |
| DAX | Germany | -2.41% | -0.05 | -0.06 | +19.22% | +21.15% | 52 | 1.00 | +10.26% |
| Hang Seng | Hong Kong | +8.54% | 0.11 | 0.16 | +27.33% | +27.91% | 43 | 1.22 | +15.36% |
| BSE Sensex | India | +22.30% | 0.45 | 0.67 | +13.75% | +21.57% | 51 | 1.56 | +9.00% |
| Nifty 50 | India | +22.50% | 0.45 | 0.66 | +13.68% | +21.74% | 46 | 1.58 | +9.07% |
| Nikkei 225 | Japan | +2.31% | 0.03 | 0.05 | +24.40% | +21.28% | 47 | 1.16 | +13.87% |
| KOSPI | South Korea | +63.27% | 0.61 | 0.97 | +23.49% | +29.55% | 44 | 2.41 | +15.65% |
| Swiss Market | Switzerland | +1.05% | 0.03 | 0.04 | +14.28% | +27.91% | 43 | 1.06 | +7.78% |
| Taiwan Weighted | Taiwan | +68.34% | 0.81 | 1.32 | +21.87% | +35.29% | 34 | 2.45 | +12.57% |
| FTSE 100 | UK | -5.02% | -0.14 | -0.18 | +19.73% | +19.61% | 51 | 0.90 | +7.54% |
| CBOE Volatility Index | US | -98.24% | -0.87 | -0.89 | +99.18% | +14.06% | 64 | 0.24 | +105.54% |
| Dow Jones Industrial Average | US | +10.62% | 0.23 | 0.32 | +13.01% | +29.73% | 37 | 1.42 | +8.85% |
| NASDAQ Composite | US | +21.76% | 0.29 | 0.42 | +28.89% | +23.26% | 43 | 1.44 | +13.41% |
| Russell 2000 | US | -15.81% | -0.24 | -0.34 | +27.55% | +24.44% | 45 | 0.74 | +14.37% |
| S&P 500 | US | +41.92% | 0.66 | 1.04 | +13.39% | +42.86% | 35 | 2.42 | +10.24% |