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 | -13.71% | Net profit | -$137,065 | Gross profit | $0 | Gross loss | $259,020 | CAGR | -4.27% | Annualized return | -4.27% | Monthly average return | -0.38% | Median monthly return | -2.85% |
| Best month return | +0.94% | Worst month return | -7.08% | Rolling 1-month return | +2.94% | Log return CAGR | -30.57% | Compounded vs simple return difference | +0.41% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +15.64% | Average drawdown | +9.69% | Median drawdown | -9.72% | Drawdown duration (max) | 313.9 days | Average drawdown duration | 66.0 days | Ulcer index | 6.36 | Pain index | 9.50 | Pain ratio | -1.68 |
| Drawdown volatility | 4.13 | Worst peak-to-trough loss | +15.64% | % time in drawdown | +75.74% | Drawdown area | 1085.99 | Downside deviation | +18.44% | Semi-variance | 3.56 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.66 | Rolling 1-month Sharpe | 0.75 | Sortino ratio | -0.73 | Calmar ratio | -0.18 | Sterling ratio | -0.19 | Burke ratio | -0.19 | Return / volatility | -2.76 | Return / downside risk | -0.91 |
| Return / max drawdown | -0.81 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 8 | Win rate | +0.00% | Loss rate | +100.00% | Average win | +0.00% | Average loss | -2.39% | Win/Loss ratio | 0.00 | Expectancy | -2.39% | Profit factor | 0.00 |
| Payoff ratio | 0.00 | Best trade | +0.00% | Worst trade | -5.42% | Trade return standard deviation | +1.59% | Consecutive wins (max) | 0 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +5.81% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.07 | Alpha vs benchmark % | -3.46% | Information ratio | -0.88 | Treynor ratio | -0.80 | ||||||||
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 | -8.39% |
| Net profit | -$83,911 |
| Gross profit | $0 |
| Gross loss | $87,178 |
| CAGR | -1.74% |
| Annualized return | -1.74% |
| Monthly average return | -0.14% |
| Median monthly return | -1.95% |
| Best month return | +0.90% |
| Worst month return | -3.50% |
| Rolling 1-month return | +1.33% |
| Log return CAGR | -21.55% |
| Compounded vs simple return difference | +0.00% |
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 | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| S&P/ASX 200 | Australia | -13.78% | -0.94 | -1.08 | +14.84% | +0.00% | 13 | 0.00 | +3.19% |
| Bovespa | Brazil | -4.07% | -0.28 | -0.34 | +7.58% | +0.00% | 3 | 0.00 | +3.00% |
| TSX Composite | Canada | -8.41% | -0.65 | -0.70 | +8.91% | +0.00% | 5 | 0.00 | +2.72% |
| Euro Stoxx 50 | Europe | -4.39% | -0.31 | -0.37 | +8.15% | +0.00% | 2 | 0.00 | +2.92% |
| Euronext 100 | Europe | -6.27% | -0.57 | -0.64 | +7.68% | +0.00% | 6 | 0.00 | +2.26% |
| CAC 40 | France | -14.82% | -1.03 | -1.13 | +15.19% | +0.00% | 16 | 0.00 | +3.10% |
| DAX | Germany | -15.71% | -1.01 | -1.12 | +15.71% | +0.00% | 15 | 0.00 | +3.39% |
| Hang Seng | Hong Kong | -27.50% | -1.02 | -1.18 | +29.82% | +0.00% | 14 | 0.00 | +6.66% |
| BSE Sensex | India | -11.50% | -0.56 | -0.72 | +13.20% | +0.00% | 10 | 0.00 | +4.53% |
| Nifty 50 | India | -14.12% | -0.79 | -0.99 | +16.89% | +0.00% | 14 | 0.00 | +3.99% |
| Nikkei 225 | Japan | -9.57% | -0.58 | -0.63 | +13.16% | +0.00% | 4 | 0.00 | +3.61% |
| KOSPI | South Korea | -14.96% | -0.50 | -0.51 | +21.57% | +0.00% | 2 | 0.00 | +6.83% |
| Swiss Market | Switzerland | -5.61% | -0.50 | -0.55 | +7.14% | +0.00% | 4 | 0.00 | +2.36% |
| Taiwan Weighted | Taiwan | -5.21% | -0.37 | -0.44 | +9.43% | +0.00% | 3 | 0.00 | +2.98% |
| FTSE 100 | UK | -4.38% | -0.42 | -0.50 | +8.01% | +0.00% | 4 | 0.00 | +2.13% |
| CBOE Volatility Index | US | -96.40% | -1.57 | -1.22 | +96.76% | +0.00% | 25 | 0.00 | +55.52% |
| Dow Jones Industrial Average | US | -4.95% | -0.40 | -0.51 | +4.95% | +0.00% | 4 | 0.00 | +2.58% |
| NASDAQ Composite | US | -13.69% | -0.72 | -0.83 | +13.69% | +0.00% | 10 | 0.00 | +4.17% |
| Russell 2000 | US | -4.09% | -0.23 | -0.31 | +7.21% | +0.00% | 2 | 0.00 | +3.59% |
| S&P 500 | US | -8.39% | -0.74 | -0.83 | +8.51% | +0.00% | 6 | 0.00 | +2.39% |