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 | +35.89% | Net profit | $358,900 | Gross profit | $1,197,881 | Gross loss | $1,085,774 | CAGR | +1.27% | Annualized return | +1.27% | Monthly average return | +0.18% | Median monthly return | -0.78% |
| Best month return | +5.47% | Worst month return | -9.00% | Rolling 1-month return | +12.13% | Log return CAGR | -4.63% | Compounded vs simple return difference | -41.17% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.57% | Average drawdown | +12.29% | Median drawdown | -8.18% | Drawdown duration (max) | 1171.9 days | Average drawdown duration | 33.9 days | Ulcer index | 13.47 | Pain index | 8.48 | Pain ratio | 4.53 |
| Drawdown volatility | 5.62 | Worst peak-to-trough loss | +24.57% | % time in drawdown | +89.25% | Drawdown area | 777.37 | Downside deviation | +14.39% | Semi-variance | 3.23 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.07 | Rolling 1-month Sharpe | 1.24 | Sortino ratio | 0.18 | Calmar ratio | 0.13 | Sterling ratio | 0.13 | Burke ratio | 0.40 | Return / volatility | 1.42 | Return / downside risk | 1.61 |
| Return / max drawdown | 1.82 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 78 | Win rate | +45.76% | Loss rate | +54.24% | Average win | +3.39% | Average loss | -2.48% | Win/Loss ratio | 1.36 | Expectancy | +0.17% | Profit factor | 1.17 |
| Payoff ratio | 1.36 | Best trade | +13.23% | Worst trade | -8.88% | Trade return standard deviation | +4.25% | Consecutive wins (max) | 5 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.20% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +3.37% | Information ratio | -0.58 | 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 | -4.40% |
| Net profit | -$43,987 |
| Gross profit | $701,452 |
| Gross loss | $725,238 |
| CAGR | -0.90% |
| Annualized return | -0.90% |
| Monthly average return | -0.05% |
| Median monthly return | +0.04% |
| Best month return | +2.58% |
| Worst month return | -9.12% |
| Rolling 1-month return | +8.63% |
| Log return CAGR | -35.09% |
| Compounded vs simple return difference | -11.36% |
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 | +766.90% | 1.15 | 3.07 | +21.81% | +55.41% | 74 | 3.17 | +30.54% |
| S&P/ASX 200 | Australia | -3.12% | -0.08 | -0.10 | +12.49% | +40.51% | 79 | 0.98 | +8.37% |
| Bovespa | Brazil | +6.69% | 0.11 | 0.16 | +31.30% | +40.26% | 77 | 1.11 | +11.44% |
| TSX Composite | Canada | +4.04% | 0.10 | 0.14 | +20.23% | +54.43% | 79 | 1.10 | +7.53% |
| Euro Stoxx 50 | Europe | -3.93% | -0.08 | -0.10 | +17.30% | +46.75% | 77 | 0.99 | +10.59% |
| Euronext 100 | Europe | -8.45% | -0.19 | -0.25 | +18.73% | +46.15% | 78 | 0.93 | +9.10% |
| CAC 40 | France | -5.62% | -0.11 | -0.16 | +16.97% | +43.42% | 76 | 0.96 | +9.99% |
| DAX | Germany | +15.94% | 0.29 | 0.42 | +18.75% | +46.05% | 76 | 1.25 | +10.04% |
| Hang Seng | Hong Kong | +6.29% | 0.08 | 0.11 | +31.10% | +37.84% | 74 | 1.13 | +16.47% |
| BSE Sensex | India | +5.01% | 0.12 | 0.18 | +14.90% | +47.37% | 76 | 1.10 | +7.99% |
| Nifty 50 | India | +3.51% | 0.09 | 0.12 | +17.55% | +47.44% | 78 | 1.08 | +8.10% |
| Nikkei 225 | Japan | +15.03% | 0.18 | 0.26 | +20.31% | +43.24% | 74 | 1.19 | +15.34% |
| KOSPI | South Korea | +37.21% | 0.40 | 0.60 | +24.80% | +46.05% | 76 | 1.46 | +15.58% |
| Swiss Market | Switzerland | -3.96% | -0.10 | -0.14 | +20.53% | +41.25% | 80 | 0.97 | +8.05% |
| Taiwan Weighted | Taiwan | +36.68% | 0.53 | 0.83 | +17.18% | +49.37% | 79 | 1.47 | +11.84% |
| FTSE 100 | UK | +1.56% | 0.04 | 0.05 | +11.29% | +45.21% | 73 | 1.05 | +7.80% |
| CBOE Volatility Index | US | -94.29% | -0.55 | -0.70 | +97.28% | +39.53% | 86 | 0.71 | +104.89% |
| Dow Jones Industrial Average | US | -10.34% | -0.25 | -0.34 | +15.29% | +45.68% | 81 | 0.87 | +8.76% |
| NASDAQ Composite | US | -11.64% | -0.18 | -0.24 | +39.82% | +49.40% | 83 | 0.92 | +13.63% |
| Russell 2000 | US | +0.59% | 0.01 | 0.01 | +23.36% | +43.04% | 79 | 1.05 | +14.11% |
| S&P 500 | US | -4.40% | -0.09 | -0.12 | +24.96% | +52.50% | 80 | 0.97 | +10.06% |