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 | +64.89% | Net profit | $648,879 | Gross profit | $550,146 | Gross loss | $496,737 | CAGR | +2.07% | Annualized return | +2.07% | Monthly average return | +0.07% | Median monthly return | -0.69% |
| Best month return | +7.05% | Worst month return | -7.59% | Rolling 1-month return | +16.34% | Log return CAGR | +27.71% | Compounded vs simple return difference | -61.74% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +19.16% | Average drawdown | +10.54% | Median drawdown | -8.99% | Drawdown duration (max) | 877.0 days | Average drawdown duration | 41.9 days | Ulcer index | 11.17 | Pain index | 8.72 | Pain ratio | 17.45 |
| Drawdown volatility | 3.28 | Worst peak-to-trough loss | +19.16% | % time in drawdown | +87.88% | Drawdown area | 834.95 | Downside deviation | +14.58% | Semi-variance | 3.83 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.14 | Rolling 1-month Sharpe | 1.40 | Sortino ratio | 0.40 | Calmar ratio | 0.27 | Sterling ratio | 0.27 | Burke ratio | 1.66 | Return / volatility | 3.00 | Return / downside risk | 3.02 |
| Return / max drawdown | 3.58 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +40.68% | Loss rate | +59.32% | Average win | +5.58% | Average loss | -2.91% | Win/Loss ratio | 2.10 | Expectancy | +0.32% | Profit factor | 1.74 |
| Payoff ratio | 2.10 | Best trade | +13.90% | Worst trade | -6.69% | Trade return standard deviation | +3.41% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +12.21% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +1.45% | Information ratio | -0.55 | 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 | -2.81% |
| Net profit | -$28,068 |
| Gross profit | $285,401 |
| Gross loss | $303,555 |
| CAGR | -0.57% |
| Annualized return | -0.57% |
| Monthly average return | -0.03% |
| Median monthly return | -1.78% |
| Best month return | +0.94% |
| Worst month return | -5.03% |
| Rolling 1-month return | +3.57% |
| Log return CAGR | -16.54% |
| Compounded vs simple return difference | -4.12% |
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 | +1261.49% | 1.39 | 4.05 | +21.40% | +56.00% | 25 | 8.17 | +29.42% |
| S&P/ASX 200 | Australia | -10.31% | -0.38 | -0.49 | +16.82% | +32.14% | 28 | 0.63 | +5.78% |
| Bovespa | Brazil | +15.59% | 0.36 | 0.53 | +17.65% | +47.83% | 23 | 1.58 | +8.04% |
| TSX Composite | Canada | +16.47% | 0.46 | 0.67 | +8.31% | +53.85% | 26 | 1.86 | +6.51% |
| Euro Stoxx 50 | Europe | +1.48% | 0.04 | 0.06 | +11.10% | +36.00% | 25 | 1.09 | +6.92% |
| Euronext 100 | Europe | -4.16% | -0.13 | -0.18 | +9.32% | +44.00% | 25 | 0.90 | +6.26% |
| CAC 40 | France | -3.58% | -0.11 | -0.14 | +19.62% | +31.82% | 22 | 0.91 | +6.55% |
| DAX | Germany | +15.90% | 0.42 | 0.62 | +8.70% | +43.48% | 23 | 1.65 | +6.85% |
| Hang Seng | Hong Kong | -8.05% | -0.14 | -0.21 | +21.70% | +26.09% | 23 | 0.92 | +12.16% |
| BSE Sensex | India | +18.37% | 0.50 | 0.73 | +16.66% | +39.13% | 23 | 1.73 | +6.74% |
| Nifty 50 | India | +12.83% | 0.34 | 0.49 | +15.34% | +37.50% | 24 | 1.51 | +7.15% |
| Nikkei 225 | Japan | +27.03% | 0.45 | 0.71 | +17.74% | +48.00% | 25 | 1.77 | +10.66% |
| KOSPI | South Korea | +59.52% | 0.72 | 1.08 | +19.30% | +50.00% | 20 | 3.55 | +12.77% |
| Swiss Market | Switzerland | +9.26% | 0.31 | 0.44 | +6.64% | +52.38% | 21 | 1.64 | +5.69% |
| Taiwan Weighted | Taiwan | +52.80% | 0.89 | 1.49 | +11.03% | +58.33% | 24 | 3.02 | +9.50% |
| FTSE 100 | UK | -4.87% | -0.19 | -0.25 | +15.15% | +37.50% | 24 | 0.79 | +5.17% |
| CBOE Volatility Index | US | -99.24% | -1.86 | -1.21 | +99.24% | +7.41% | 27 | 0.06 | +76.40% |
| Dow Jones Industrial Average | US | -4.48% | -0.14 | -0.20 | +10.36% | +40.00% | 25 | 0.80 | +6.37% |
| NASDAQ Composite | US | +31.54% | 0.55 | 0.86 | +11.05% | +50.00% | 22 | 2.46 | +9.64% |
| Russell 2000 | US | -22.14% | -0.49 | -0.63 | +33.33% | +30.77% | 26 | 0.56 | +10.56% |
| S&P 500 | US | -2.81% | -0.08 | -0.11 | +11.93% | +32.14% | 28 | 0.94 | +7.33% |