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 | +12.20% | Net profit | $121,998 | Gross profit | $1,325,517 | Gross loss | $1,288,639 | CAGR | -0.46% | Annualized return | -0.46% | Monthly average return | +0.07% | Median monthly return | +0.00% |
| Best month return | +7.78% | Worst month return | -6.73% | Rolling 1-month return | +15.64% | Log return CAGR | -0.65% | Compounded vs simple return difference | -15.29% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.49% | Average drawdown | +15.63% | Median drawdown | -5.62% | Drawdown duration (max) | 1501.5 days | Average drawdown duration | 35.9 days | Ulcer index | 17.18 | Pain index | 6.45 | Pain ratio | 2.41 |
| Drawdown volatility | 4.50 | Worst peak-to-trough loss | +30.49% | % time in drawdown | +89.44% | Drawdown area | 593.17 | Downside deviation | +13.90% | Semi-variance | 2.28 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.22 | Rolling 1-month Sharpe | 1.04 | Sortino ratio | -0.22 | Calmar ratio | -0.01 | Sterling ratio | -0.01 | Burke ratio | 0.26 | Return / volatility | -0.36 | Return / downside risk | -0.28 |
| Return / max drawdown | 0.46 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 221 | Win rate | +50.15% | Loss rate | +49.85% | Average win | +1.32% | Average loss | -1.29% | Win/Loss ratio | 0.89 | Expectancy | +0.03% | Profit factor | 0.92 |
| Payoff ratio | 0.89 | Best trade | +6.68% | Worst trade | -10.93% | Trade return standard deviation | +4.08% | Consecutive wins (max) | 7 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.37% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.12 | Alpha vs benchmark % | +0.23% | Information ratio | -0.81 | 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 | -24.59% |
| Net profit | -$245,902 |
| Gross profit | $756,476 |
| Gross loss | $1,020,292 |
| CAGR | -5.51% |
| Annualized return | -5.51% |
| Monthly average return | -0.42% |
| Median monthly return | -1.93% |
| Best month return | +0.19% |
| Worst month return | -4.72% |
| Rolling 1-month return | +1.24% |
| Log return CAGR | -30.25% |
| Compounded vs simple return difference | +11.27% |
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 | +409.00% | 1.04 | 2.47 | +22.40% | +62.81% | 242 | 2.05 | +26.89% |
| S&P/ASX 200 | Australia | -10.41% | -0.23 | -0.32 | +17.82% | +48.86% | 219 | 0.86 | +9.45% |
| Bovespa | Brazil | -20.68% | -0.36 | -0.48 | +30.12% | +53.01% | 183 | 0.81 | +13.18% |
| TSX Composite | Canada | -23.32% | -0.53 | -0.69 | +28.28% | +48.06% | 258 | 0.70 | +10.24% |
| Euro Stoxx 50 | Europe | -19.56% | -0.32 | -0.43 | +29.53% | +48.88% | 223 | 0.78 | +13.97% |
| Euronext 100 | Europe | -15.32% | -0.28 | -0.39 | +24.68% | +47.08% | 240 | 0.82 | +11.63% |
| CAC 40 | France | -20.88% | -0.37 | -0.49 | +28.73% | +49.09% | 220 | 0.78 | +12.81% |
| DAX | Germany | -14.69% | -0.25 | -0.34 | +22.77% | +49.17% | 240 | 0.85 | +12.89% |
| Hang Seng | Hong Kong | -44.93% | -0.64 | -0.79 | +53.18% | +50.87% | 173 | 0.70 | +20.25% |
| BSE Sensex | India | -10.97% | -0.24 | -0.32 | +17.59% | +48.20% | 222 | 0.88 | +10.05% |
| Nifty 50 | India | -7.88% | -0.16 | -0.21 | +17.45% | +47.75% | 222 | 0.92 | +10.66% |
| Nikkei 225 | Japan | +5.31% | 0.08 | 0.12 | +16.85% | +50.85% | 234 | 1.07 | +12.83% |
| KOSPI | South Korea | -13.73% | -0.21 | -0.28 | +41.72% | +53.70% | 216 | 0.90 | +14.55% |
| Swiss Market | Switzerland | -26.16% | -0.62 | -0.80 | +30.19% | +49.28% | 207 | 0.68 | +10.12% |
| Taiwan Weighted | Taiwan | -13.72% | -0.20 | -0.26 | +39.70% | +52.53% | 257 | 0.90 | +15.46% |
| FTSE 100 | UK | -15.29% | -0.33 | -0.43 | +23.96% | +44.14% | 222 | 0.80 | +10.22% |
| CBOE Volatility Index | US | +165.95% | 0.16 | 0.41 | +73.14% | +48.39% | 155 | 1.36 | +89.14% |
| Dow Jones Industrial Average | US | -18.02% | -0.36 | -0.50 | +22.49% | +48.21% | 224 | 0.78 | +11.17% |
| NASDAQ Composite | US | -21.23% | -0.27 | -0.37 | +37.10% | +51.03% | 243 | 0.84 | +17.77% |
| Russell 2000 | US | -2.68% | -0.03 | -0.04 | +33.37% | +53.33% | 195 | 1.01 | +17.70% |
| S&P 500 | US | -24.59% | -0.42 | -0.56 | +29.28% | +47.81% | 251 | 0.74 | +13.82% |