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 | -3.44% | Net profit | -$34,436 | Gross profit | $705,127 | Gross loss | $712,658 | CAGR | -0.91% | Annualized return | -0.91% | Monthly average return | -0.01% | Median monthly return | -1.76% |
| Best month return | +3.63% | Worst month return | -10.48% | Rolling 1-month return | +6.49% | Log return CAGR | -21.11% | Compounded vs simple return difference | -7.41% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.09% | Average drawdown | +13.54% | Median drawdown | -7.17% | Drawdown duration (max) | 1196.6 days | Average drawdown duration | 41.3 days | Ulcer index | 14.57 | Pain index | 9.07 | Pain ratio | 0.26 |
| Drawdown volatility | 7.19 | Worst peak-to-trough loss | +26.09% | % time in drawdown | +78.93% | Drawdown area | 739.04 | Downside deviation | +10.59% | Semi-variance | 1.21 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.09 | Rolling 1-month Sharpe | 1.18 | Sortino ratio | -0.10 | Calmar ratio | -0.02 | Sterling ratio | -0.02 | Burke ratio | 0.03 | Return / volatility | -0.31 | Return / downside risk | -0.32 |
| Return / max drawdown | -0.05 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 58 | Win rate | +38.30% | Loss rate | +61.70% | Average win | +3.38% | Average loss | -2.02% | Win/Loss ratio | 1.69 | Expectancy | -0.01% | Profit factor | 1.02 |
| Payoff ratio | 1.69 | Best trade | +15.26% | Worst trade | -9.17% | Trade return standard deviation | +3.49% | Consecutive wins (max) | 4 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.10% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.22 | Alpha vs benchmark % | -3.15% | Information ratio | -0.82 | Treynor ratio | 0.00 | ||||||||
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 | -21.05% |
| Net profit | -$210,526 |
| Gross profit | $786,227 |
| Gross loss | $955,309 |
| CAGR | -4.63% |
| Annualized return | -4.63% |
| Monthly average return | -0.29% |
| Median monthly return | -1.74% |
| Best month return | +3.29% |
| Worst month return | -14.70% |
| Rolling 1-month return | +5.52% |
| Log return CAGR | -49.64% |
| Compounded vs simple return difference | -2.78% |
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 | -4.07% | -0.09 | -0.12 | +14.07% | +40.00% | 65 | 0.94 | +9.12% |
| Bovespa | Brazil | -2.66% | -0.05 | -0.07 | +20.74% | +33.85% | 65 | 1.05 | +11.23% |
| TSX Composite | Canada | +32.40% | 0.52 | 0.76 | +20.79% | +48.00% | 50 | 1.70 | +10.44% |
| Euro Stoxx 50 | Europe | -13.74% | -0.26 | -0.33 | +33.62% | +34.43% | 61 | 0.83 | +11.43% |
| Euronext 100 | Europe | -8.66% | -0.18 | -0.23 | +30.56% | +41.43% | 70 | 0.90 | +10.11% |
| CAC 40 | France | -16.19% | -0.31 | -0.40 | +29.69% | +39.06% | 64 | 0.82 | +11.26% |
| DAX | Germany | -14.51% | -0.25 | -0.32 | +28.76% | +38.10% | 63 | 0.85 | +12.58% |
| Hang Seng | Hong Kong | -19.54% | -0.27 | -0.37 | +44.75% | +33.33% | 45 | 0.84 | +16.81% |
| BSE Sensex | India | +22.61% | 0.42 | 0.63 | +14.07% | +35.85% | 53 | 1.53 | +9.74% |
| Nifty 50 | India | +2.81% | 0.05 | 0.07 | +21.05% | +32.20% | 59 | 1.10 | +10.47% |
| Nikkei 225 | Japan | +15.15% | 0.19 | 0.28 | +31.50% | +44.26% | 61 | 1.31 | +14.79% |
| KOSPI | South Korea | +32.51% | 0.33 | 0.48 | +40.35% | +30.91% | 55 | 1.56 | +17.00% |
| Swiss Market | Switzerland | -4.28% | -0.10 | -0.13 | +16.27% | +40.82% | 49 | 0.93 | +8.87% |
| Taiwan Weighted | Taiwan | +10.17% | 0.16 | 0.22 | +23.23% | +45.45% | 55 | 1.21 | +12.62% |
| FTSE 100 | UK | -19.56% | -0.56 | -0.68 | +30.14% | +42.86% | 56 | 0.60 | +7.95% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -20.63% | -0.43 | -0.54 | +28.09% | +41.30% | 46 | 0.71 | +11.10% |
| NASDAQ Composite | US | -16.58% | -0.21 | -0.27 | +46.41% | +33.33% | 51 | 0.95 | +17.24% |
| Russell 2000 | US | -26.48% | -0.37 | -0.49 | +35.13% | +41.56% | 77 | 0.75 | +17.29% |
| S&P 500 | US | -21.05% | -0.37 | -0.46 | +38.71% | +30.91% | 55 | 0.82 | +13.12% |