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 | +57.73% | Net profit | $577,340 | Gross profit | $517,742 | Gross loss | $122,626 | CAGR | +7.48% | Annualized return | +7.48% | Monthly average return | +0.67% | Median monthly return | +2.59% |
| Best month return | +10.23% | Worst month return | -6.03% | Rolling 1-month return | +15.62% | Log return CAGR | +123.05% | Compounded vs simple return difference | -39.75% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.12% | Average drawdown | +5.19% | Median drawdown | -6.65% | Drawdown duration (max) | 711.2 days | Average drawdown duration | 27.0 days | Ulcer index | 6.64 | Pain index | 7.17 | Pain ratio | 8.33 |
| Drawdown volatility | 4.56 | Worst peak-to-trough loss | +20.12% | % time in drawdown | +83.31% | Drawdown area | 616.76 | Downside deviation | +15.83% | Semi-variance | 2.12 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.40 | Rolling 1-month Sharpe | 1.42 | Sortino ratio | 0.69 | Calmar ratio | 0.38 | Sterling ratio | 0.38 | Burke ratio | 0.78 | Return / volatility | 2.87 | Return / downside risk | 2.72 |
| Return / max drawdown | 2.67 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 11 | Win rate | +75.76% | Loss rate | +24.24% | Average win | +6.47% | Average loss | -4.06% | Win/Loss ratio | 1.14 | Expectancy | +4.15% | Profit factor | 3.31 |
| Payoff ratio | 1.14 | Best trade | +12.90% | Worst trade | -6.80% | Trade return standard deviation | +3.97% | Consecutive wins (max) | 6 | Consecutive losses (max) | 1 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.15% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.21 | Alpha vs benchmark % | +5.65% | Information ratio | -0.38 | 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 | +34.25% |
| Net profit | $342,547 |
| Gross profit | $367,422 |
| Gross loss | $42,151 |
| CAGR | +6.09% |
| Annualized return | +6.09% |
| Monthly average return | +0.55% |
| Median monthly return | +4.46% |
| Best month return | +7.45% |
| Worst month return | -10.61% |
| Rolling 1-month return | +10.76% |
| Log return CAGR | +5.84% |
| Compounded vs simple return difference | -31.98% |
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 | +188.15% | 0.94 | 2.08 | +17.24% | +100.00% | 9 | 0.00 | +20.72% |
| S&P/ASX 200 | Australia | +36.27% | 0.64 | 0.97 | +13.46% | +75.00% | 16 | 4.59 | +9.33% |
| Bovespa | Brazil | +1.72% | 0.03 | 0.04 | +23.41% | +57.14% | 7 | 1.15 | +11.09% |
| TSX Composite | Canada | +30.39% | 0.56 | 0.86 | +13.49% | +76.92% | 13 | 4.71 | +9.25% |
| Euro Stoxx 50 | Europe | +40.11% | 0.49 | 0.77 | +20.47% | +83.33% | 12 | 4.05 | +13.33% |
| Euronext 100 | Europe | +44.81% | 0.57 | 0.89 | +16.14% | +84.62% | 13 | 8.11 | +12.19% |
| CAC 40 | France | +35.29% | 0.44 | 0.68 | +18.64% | +76.92% | 13 | 3.36 | +13.01% |
| DAX | Germany | +60.21% | 0.73 | 1.21 | +20.42% | +85.71% | 14 | 5.22 | +12.08% |
| Hang Seng | Hong Kong | +13.11% | 0.13 | 0.21 | +37.31% | +63.64% | 11 | 1.58 | +18.53% |
| BSE Sensex | India | +10.84% | 0.23 | 0.33 | +11.35% | +81.82% | 11 | 1.70 | +9.04% |
| Nifty 50 | India | +10.85% | 0.23 | 0.33 | +11.98% | +72.73% | 11 | 1.75 | +9.15% |
| Nikkei 225 | Japan | +33.93% | 0.37 | 0.56 | +19.21% | +80.00% | 10 | 12.28 | +15.80% |
| KOSPI | South Korea | +11.93% | 0.15 | 0.23 | +28.53% | +70.00% | 10 | 1.59 | +14.80% |
| Swiss Market | Switzerland | +11.98% | 0.22 | 0.31 | +15.76% | +66.67% | 12 | 1.80 | +10.23% |
| Taiwan Weighted | Taiwan | +11.79% | 0.16 | 0.22 | +25.77% | +72.73% | 11 | 1.53 | +14.62% |
| FTSE 100 | UK | +51.75% | 0.85 | 1.30 | +11.77% | +100.00% | 13 | 0.00 | +9.41% |
| CBOE Volatility Index | US | +528.08% | 0.51 | 1.80 | +33.02% | +100.00% | 7 | 0.00 | +56.01% |
| Dow Jones Industrial Average | US | +24.70% | 0.39 | 0.59 | +19.13% | +63.64% | 11 | 3.35 | +11.11% |
| NASDAQ Composite | US | +11.66% | 0.12 | 0.18 | +22.56% | +50.00% | 10 | 1.73 | +17.67% |
| Russell 2000 | US | +20.57% | 0.21 | 0.32 | +24.02% | +60.00% | 10 | 2.22 | +17.25% |
| S&P 500 | US | +34.25% | 0.42 | 0.66 | +18.85% | +70.00% | 10 | 8.72 | +13.55% |