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 | +80.63% | Net profit | $806,325 | Gross profit | $927,965 | Gross loss | $792,465 | CAGR | +2.77% | Annualized return | +2.77% | Monthly average return | +0.22% | Median monthly return | -1.74% |
| Best month return | +7.69% | Worst month return | -9.37% | Rolling 1-month return | +13.33% | Log return CAGR | +4.23% | Compounded vs simple return difference | -82.46% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.91% | Average drawdown | +11.85% | Median drawdown | -8.77% | Drawdown duration (max) | 913.8 days | Average drawdown duration | 56.1 days | Ulcer index | 12.99 | Pain index | 9.12 | Pain ratio | 12.52 |
| Drawdown volatility | 4.93 | Worst peak-to-trough loss | +23.91% | % time in drawdown | +90.62% | Drawdown area | 861.04 | Downside deviation | +13.95% | Semi-variance | 3.68 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.17 | Rolling 1-month Sharpe | 1.35 | Sortino ratio | 0.36 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 1.18 | Return / volatility | 3.20 | Return / downside risk | 3.72 |
| Return / max drawdown | 3.05 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 58 | Win rate | +37.69% | Loss rate | +62.31% | Average win | +4.12% | Average loss | -2.02% | Win/Loss ratio | 2.21 | Expectancy | +0.37% | Profit factor | 1.46 |
| Payoff ratio | 2.21 | Best trade | +17.20% | Worst trade | -7.49% | Trade return standard deviation | +4.29% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.84% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +4.30% | Information ratio | -0.53 | 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 | -2.98% |
| Net profit | -$29,784 |
| Gross profit | $593,093 |
| Gross loss | $592,346 |
| CAGR | -0.60% |
| Annualized return | -0.60% |
| Monthly average return | -0.00% |
| Median monthly return | -0.60% |
| Best month return | +1.48% |
| Worst month return | -8.90% |
| Rolling 1-month return | +4.13% |
| Log return CAGR | -23.91% |
| Compounded vs simple return difference | -7.30% |
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 | +1636.12% | 1.36 | 4.03 | +30.05% | +53.06% | 49 | 6.96 | +32.01% |
| S&P/ASX 200 | Australia | -2.89% | -0.08 | -0.10 | +12.03% | +34.55% | 55 | 0.97 | +7.80% |
| Bovespa | Brazil | -7.84% | -0.15 | -0.20 | +29.60% | +35.19% | 54 | 0.91 | +10.96% |
| TSX Composite | Canada | +17.52% | 0.39 | 0.53 | +13.35% | +46.94% | 49 | 1.44 | +8.25% |
| Euro Stoxx 50 | Europe | +1.14% | 0.02 | 0.03 | +15.28% | +29.31% | 58 | 1.08 | +9.27% |
| Euronext 100 | Europe | +10.39% | 0.23 | 0.33 | +13.80% | +33.87% | 62 | 1.26 | +8.29% |
| CAC 40 | France | -12.32% | -0.26 | -0.34 | +18.36% | +35.00% | 60 | 0.84 | +10.10% |
| DAX | Germany | +10.43% | 0.21 | 0.30 | +18.24% | +40.00% | 65 | 1.24 | +9.28% |
| Hang Seng | Hong Kong | -10.79% | -0.15 | -0.22 | +38.31% | +31.88% | 69 | 0.92 | +15.79% |
| BSE Sensex | India | +10.54% | 0.23 | 0.33 | +18.93% | +35.19% | 54 | 1.26 | +8.71% |
| Nifty 50 | India | +19.30% | 0.41 | 0.59 | +21.56% | +35.19% | 54 | 1.43 | +8.68% |
| Nikkei 225 | Japan | +27.01% | 0.38 | 0.59 | +21.53% | +41.67% | 60 | 1.47 | +12.49% |
| KOSPI | South Korea | +20.54% | 0.32 | 0.46 | +20.42% | +33.93% | 56 | 1.38 | +11.89% |
| Swiss Market | Switzerland | +12.57% | 0.30 | 0.43 | +11.71% | +42.59% | 54 | 1.31 | +7.80% |
| Taiwan Weighted | Taiwan | +47.18% | 0.66 | 1.05 | +18.58% | +38.78% | 49 | 1.95 | +11.63% |
| FTSE 100 | UK | +20.01% | 0.50 | 0.72 | +9.77% | +42.00% | 50 | 1.67 | +7.18% |
| CBOE Volatility Index | US | -96.34% | -0.65 | -0.78 | +97.46% | +34.57% | 81 | 0.47 | +106.57% |
| Dow Jones Industrial Average | US | +0.10% | 0.00 | 0.00 | +20.60% | +37.50% | 64 | 1.05 | +8.82% |
| NASDAQ Composite | US | +24.12% | 0.33 | 0.50 | +23.78% | +41.51% | 53 | 1.42 | +12.62% |
| Russell 2000 | US | -30.54% | -0.52 | -0.68 | +32.79% | +27.94% | 68 | 0.64 | +14.45% |
| S&P 500 | US | -2.98% | -0.06 | -0.08 | +16.00% | +40.74% | 54 | 1.00 | +10.12% |