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 | +77.29% | Net profit | $772,931 | Gross profit | $1,897,966 | Gross loss | $2,019,523 | CAGR | -2.49% | Annualized return | -2.49% | Monthly average return | -0.22% | Median monthly return | -1.00% |
| Best month return | +4.99% | Worst month return | -7.06% | Rolling 1-month return | +9.32% | Log return CAGR | -12.99% | Compounded vs simple return difference | -84.63% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +38.89% | Average drawdown | +23.01% | Median drawdown | -9.05% | Drawdown duration (max) | 1524.8 days | Average drawdown duration | 46.0 days | Ulcer index | 24.87 | Pain index | 8.95 | Pain ratio | 13.57 |
| Drawdown volatility | 4.75 | Worst peak-to-trough loss | +38.89% | % time in drawdown | +91.80% | Drawdown area | 844.17 | Downside deviation | +12.94% | Semi-variance | 1.42 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.44 | Rolling 1-month Sharpe | 0.83 | Sortino ratio | -0.40 | Calmar ratio | -0.03 | Sterling ratio | -0.03 | Burke ratio | 1.28 | Return / volatility | 1.25 | Return / downside risk | 2.18 |
| Return / max drawdown | 2.01 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 239 | Win rate | +33.78% | Loss rate | +66.22% | Average win | +2.18% | Average loss | -1.21% | Win/Loss ratio | 1.76 | Expectancy | -0.05% | Profit factor | 0.92 |
| Payoff ratio | 1.76 | Best trade | +13.07% | Worst trade | -5.98% | Trade return standard deviation | +4.54% | Consecutive wins (max) | 5 | Consecutive losses (max) | 12 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.17% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.06 | Alpha vs benchmark % | -2.38% | Information ratio | -0.90 | 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 | -29.14% |
| Net profit | -$291,385 |
| Gross profit | $1,200,408 |
| Gross loss | $1,517,708 |
| CAGR | -6.68% |
| Annualized return | -6.68% |
| Monthly average return | -0.55% |
| Median monthly return | +1.17% |
| Best month return | +2.80% |
| Worst month return | -5.65% |
| Rolling 1-month return | +4.14% |
| Log return CAGR | +1.67% |
| Compounded vs simple return difference | +29.80% |
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 | +2150.64% | 1.44 | 4.92 | +40.13% | +45.02% | 271 | 2.32 | +32.19% |
| S&P/ASX 200 | Australia | -30.75% | -0.92 | -1.10 | +33.94% | +35.74% | 235 | 0.71 | +8.27% |
| Bovespa | Brazil | -23.20% | -0.46 | -0.60 | +37.48% | +28.57% | 224 | 0.86 | +11.89% |
| TSX Composite | Canada | -16.90% | -0.44 | -0.58 | +20.91% | +35.66% | 244 | 0.86 | +8.50% |
| Euro Stoxx 50 | Europe | -39.43% | -0.93 | -1.13 | +45.30% | +29.46% | 241 | 0.73 | +11.33% |
| Euronext 100 | Europe | -36.49% | -0.96 | -1.18 | +44.41% | +29.96% | 247 | 0.72 | +9.71% |
| CAC 40 | France | -43.13% | -1.11 | -1.33 | +47.61% | +28.51% | 249 | 0.69 | +10.57% |
| DAX | Germany | -30.71% | -0.68 | -0.87 | +36.09% | +29.84% | 248 | 0.80 | +11.10% |
| Hang Seng | Hong Kong | -39.50% | -0.67 | -0.87 | +45.88% | +31.82% | 220 | 0.79 | +16.20% |
| BSE Sensex | India | +2.13% | 0.05 | 0.07 | +16.77% | +33.81% | 210 | 1.04 | +8.74% |
| Nifty 50 | India | +6.76% | 0.15 | 0.21 | +15.34% | +33.96% | 212 | 1.08 | +8.85% |
| Nikkei 225 | Japan | -0.12% | -0.00 | -0.00 | +26.40% | +37.78% | 225 | 1.03 | +13.59% |
| KOSPI | South Korea | +6.80% | 0.10 | 0.14 | +33.04% | +38.36% | 219 | 1.08 | +13.58% |
| Swiss Market | Switzerland | -21.96% | -0.63 | -0.83 | +34.50% | +31.49% | 235 | 0.81 | +8.18% |
| Taiwan Weighted | Taiwan | -1.41% | -0.02 | -0.03 | +35.03% | +36.65% | 221 | 1.02 | +12.50% |
| FTSE 100 | UK | -18.56% | -0.50 | -0.65 | +34.42% | +34.05% | 232 | 0.84 | +8.30% |
| CBOE Volatility Index | US | -91.50% | -0.53 | -0.72 | +95.17% | +31.50% | 327 | 0.86 | +94.60% |
| Dow Jones Industrial Average | US | -36.69% | -1.00 | -1.20 | +38.87% | +34.18% | 237 | 0.70 | +9.53% |
| NASDAQ Composite | US | -36.80% | -0.64 | -0.77 | +45.34% | +37.34% | 233 | 0.81 | +14.92% |
| Russell 2000 | US | -46.89% | -0.84 | -1.03 | +49.18% | +30.98% | 255 | 0.73 | +15.96% |
| S&P 500 | US | -29.14% | -0.65 | -0.79 | +40.95% | +34.80% | 227 | 0.79 | +10.99% |