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 | +98.96% | Net profit | $989,625 | Gross profit | $704,805 | Gross loss | $359,654 | CAGR | +5.49% | Annualized return | +5.49% | Monthly average return | +0.47% | Median monthly return | -1.14% |
| Best month return | +4.11% | Worst month return | -9.67% | Rolling 1-month return | +11.32% | Log return CAGR | -6.10% | Compounded vs simple return difference | -105.19% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.82% | Average drawdown | +12.28% | Median drawdown | -9.03% | Drawdown duration (max) | 1028.9 days | Average drawdown duration | 40.0 days | Ulcer index | 13.47 | Pain index | 9.74 | Pain ratio | 16.65 |
| Drawdown volatility | 5.78 | Worst peak-to-trough loss | +26.82% | % time in drawdown | +88.35% | Drawdown area | 895.02 | Downside deviation | +14.84% | Semi-variance | 3.61 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.25 | Rolling 1-month Sharpe | 1.22 | Sortino ratio | 0.47 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.56 | Return / volatility | 3.65 | Return / downside risk | 4.51 |
| Return / max drawdown | 3.38 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 15 | Win rate | +48.79% | Loss rate | +51.21% | Average win | +9.81% | Average loss | -4.53% | Win/Loss ratio | 2.35 | Expectancy | +2.80% | Profit factor | 2.68 |
| Payoff ratio | 2.35 | Best trade | +31.01% | Worst trade | -11.48% | Trade return standard deviation | +4.50% | Consecutive wins (max) | 3 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.05% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.05 | Alpha vs benchmark % | +6.50% | Information ratio | -0.43 | Treynor ratio | 0.03 | ||||||||
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 | -3.34% |
| Net profit | -$33,355 |
| Gross profit | $532,165 |
| Gross loss | $511,972 |
| CAGR | -0.68% |
| Annualized return | -0.68% |
| Monthly average return | +0.01% |
| Median monthly return | -0.31% |
| Best month return | +2.11% |
| Worst month return | -7.41% |
| Rolling 1-month return | +5.76% |
| Log return CAGR | -41.46% |
| Compounded vs simple return difference | -15.81% |
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 | +1811.62% | 1.22 | 3.82 | +33.86% | +75.00% | 12 | 15.28 | +36.22% |
| S&P/ASX 200 | Australia | -13.31% | -0.32 | -0.42 | +25.26% | +42.86% | 14 | 0.57 | +8.96% |
| Bovespa | Brazil | +33.76% | 0.45 | 0.70 | +18.19% | +66.67% | 15 | 2.48 | +12.61% |
| TSX Composite | Canada | +30.48% | 0.62 | 0.92 | +13.06% | +50.00% | 20 | 2.58 | +8.35% |
| Euro Stoxx 50 | Europe | +13.54% | 0.20 | 0.29 | +23.95% | +56.25% | 16 | 1.76 | +12.37% |
| Euronext 100 | Europe | +32.11% | 0.52 | 0.75 | +12.35% | +60.00% | 15 | 5.49 | +10.30% |
| CAC 40 | France | -0.13% | -0.00 | -0.00 | +17.67% | +50.00% | 16 | 1.04 | +11.19% |
| DAX | Germany | +1.24% | 0.02 | 0.03 | +24.61% | +43.75% | 16 | 1.10 | +11.11% |
| Hang Seng | Hong Kong | -2.96% | -0.04 | -0.06 | +29.86% | +30.77% | 13 | 1.11 | +16.06% |
| BSE Sensex | India | +12.77% | 0.24 | 0.34 | +26.09% | +50.00% | 14 | 1.52 | +10.20% |
| Nifty 50 | India | +5.05% | 0.10 | 0.14 | +26.11% | +46.67% | 15 | 1.25 | +10.04% |
| Nikkei 225 | Japan | +33.26% | 0.35 | 0.51 | +29.82% | +46.67% | 15 | 2.06 | +16.35% |
| KOSPI | South Korea | +88.98% | 0.76 | 1.25 | +24.79% | +46.15% | 13 | 3.95 | +16.06% |
| Swiss Market | Switzerland | -2.66% | -0.06 | -0.08 | +22.19% | +43.75% | 16 | 0.94 | +9.23% |
| Taiwan Weighted | Taiwan | +86.96% | 0.95 | 1.55 | +18.53% | +41.67% | 12 | 7.96 | +12.75% |
| FTSE 100 | UK | +22.20% | 0.41 | 0.57 | +16.07% | +61.54% | 13 | 2.40 | +9.56% |
| CBOE Volatility Index | US | -79.11% | -0.30 | -0.47 | +93.87% | +25.00% | 16 | 0.26 | +95.84% |
| Dow Jones Industrial Average | US | +0.67% | 0.01 | 0.02 | +28.36% | +52.94% | 17 | 1.09 | +9.55% |
| NASDAQ Composite | US | +10.78% | 0.15 | 0.21 | +23.10% | +46.67% | 15 | 1.37 | +13.45% |
| Russell 2000 | US | -3.69% | -0.05 | -0.07 | +30.97% | +47.06% | 17 | 0.95 | +16.02% |
| S&P 500 | US | -3.34% | -0.06 | -0.08 | +24.52% | +41.18% | 17 | 1.04 | +11.80% |