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 | +82.40% | Net profit | $823,992 | Gross profit | $847,510 | Gross loss | $767,395 | CAGR | +2.10% | Annualized return | +2.10% | Monthly average return | +0.11% | Median monthly return | -1.87% |
| Best month return | +4.91% | Worst month return | -9.76% | Rolling 1-month return | +11.43% | Log return CAGR | -1.90% | Compounded vs simple return difference | -88.41% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.00% | Average drawdown | +13.09% | Median drawdown | -9.62% | Drawdown duration (max) | 1154.3 days | Average drawdown duration | 53.6 days | Ulcer index | 13.74 | Pain index | 9.78 | Pain ratio | 19.60 |
| Drawdown volatility | 4.75 | Worst peak-to-trough loss | +23.00% | % time in drawdown | +90.52% | Drawdown area | 933.13 | Downside deviation | +13.88% | Semi-variance | 2.78 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.07 | Rolling 1-month Sharpe | 1.18 | Sortino ratio | 0.27 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.93 | Return / volatility | 2.96 | Return / downside risk | 3.58 |
| Return / max drawdown | 4.04 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 57 | Win rate | +28.28% | Loss rate | +71.72% | Average win | +5.35% | Average loss | -1.77% | Win/Loss ratio | 3.25 | Expectancy | +0.28% | Profit factor | 1.39 |
| Payoff ratio | 3.25 | Best trade | +16.79% | Worst trade | -6.40% | Trade return standard deviation | +4.07% | Consecutive wins (max) | 2 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.72% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +2.40% | Information ratio | -0.56 | 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 | +12.37% |
| Net profit | $123,748 |
| Gross profit | $597,802 |
| Gross loss | $457,098 |
| CAGR | +2.37% |
| Annualized return | +2.37% |
| Monthly average return | +0.23% |
| Median monthly return | -1.41% |
| Best month return | +5.26% |
| Worst month return | -7.04% |
| Rolling 1-month return | +5.81% |
| Log return CAGR | -27.25% |
| Compounded vs simple return difference | -24.23% |
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 | +1704.47% | 1.36 | 4.33 | +23.48% | +39.58% | 48 | 5.88 | +32.34% |
| S&P/ASX 200 | Australia | -16.10% | -0.48 | -0.61 | +23.56% | +27.27% | 66 | 0.68 | +7.40% |
| Bovespa | Brazil | +12.10% | 0.23 | 0.33 | +20.70% | +26.92% | 52 | 1.24 | +9.96% |
| TSX Composite | Canada | +8.71% | 0.21 | 0.28 | +9.79% | +35.85% | 53 | 1.24 | +7.99% |
| Euro Stoxx 50 | Europe | -20.98% | -0.54 | -0.68 | +24.91% | +17.81% | 73 | 0.73 | +8.95% |
| Euronext 100 | Europe | -9.30% | -0.24 | -0.32 | +15.07% | +20.59% | 68 | 0.86 | +7.90% |
| CAC 40 | France | -21.56% | -0.56 | -0.69 | +24.40% | +21.54% | 65 | 0.68 | +8.68% |
| DAX | Germany | -2.93% | -0.07 | -0.09 | +20.36% | +21.43% | 70 | 1.00 | +8.90% |
| Hang Seng | Hong Kong | -10.56% | -0.16 | -0.24 | +27.53% | +18.87% | 53 | 0.94 | +14.08% |
| BSE Sensex | India | +28.54% | 0.63 | 0.95 | +8.27% | +33.33% | 48 | 1.83 | +7.99% |
| Nifty 50 | India | +29.66% | 0.63 | 0.95 | +9.76% | +31.91% | 47 | 1.88 | +8.17% |
| Nikkei 225 | Japan | +6.60% | 0.10 | 0.15 | +24.53% | +27.59% | 58 | 1.17 | +12.72% |
| KOSPI | South Korea | +43.62% | 0.52 | 0.76 | +21.81% | +31.91% | 47 | 1.91 | +13.88% |
| Swiss Market | Switzerland | -3.59% | -0.10 | -0.14 | +15.93% | +27.78% | 54 | 0.93 | +7.08% |
| Taiwan Weighted | Taiwan | +45.11% | 0.69 | 1.07 | +14.23% | +30.19% | 53 | 1.82 | +10.80% |
| FTSE 100 | UK | -12.24% | -0.38 | -0.49 | +27.05% | +22.97% | 74 | 0.77 | +6.96% |
| CBOE Volatility Index | US | -98.39% | -1.10 | -0.98 | +98.69% | +20.00% | 65 | 0.28 | +92.78% |
| Dow Jones Industrial Average | US | +7.68% | 0.18 | 0.26 | +11.69% | +40.38% | 52 | 1.24 | +8.14% |
| NASDAQ Composite | US | +47.12% | 0.61 | 0.97 | +13.11% | +35.29% | 51 | 1.97 | +12.09% |
| Russell 2000 | US | -19.94% | -0.35 | -0.47 | +27.84% | +25.42% | 59 | 0.74 | +13.09% |
| S&P 500 | US | +12.37% | 0.25 | 0.35 | +20.36% | +37.25% | 51 | 1.31 | +9.28% |