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 | +2.61% | Net profit | $26,132 | Gross profit | $182,761 | Gross loss | $155,334 | CAGR | +0.40% | Annualized return | +0.40% | Monthly average return | +0.04% | Median monthly return | +0.23% |
| Best month return | +5.27% | Worst month return | -4.14% | Rolling 1-month return | +8.77% | Log return CAGR | +5.37% | Compounded vs simple return difference | -1.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +10.65% | Average drawdown | +5.76% | Median drawdown | -4.77% | Drawdown duration (max) | 934.6 days | Average drawdown duration | 63.4 days | Ulcer index | 5.94 | Pain index | 4.92 | Pain ratio | 1.38 |
| Drawdown volatility | 2.73 | Worst peak-to-trough loss | +10.65% | % time in drawdown | +85.75% | Drawdown area | 619.87 | Downside deviation | +8.98% | Semi-variance | 0.51 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.03 | Rolling 1-month Sharpe | 1.63 | Sortino ratio | 0.02 | Calmar ratio | 0.06 | Sterling ratio | 0.06 | Burke ratio | 0.12 | Return / volatility | 0.00 | Return / downside risk | 0.10 |
| Return / max drawdown | 0.37 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 13 | Win rate | +35.35% | Loss rate | +64.65% | Average win | +3.61% | Average loss | -1.84% | Win/Loss ratio | 1.98 | Expectancy | +0.19% | Profit factor | 1.34 |
| Payoff ratio | 1.98 | Best trade | +8.25% | Worst trade | -3.04% | Trade return standard deviation | +1.61% | Consecutive wins (max) | 2 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +5.09% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.04 | Alpha vs benchmark % | -0.06% | Information ratio | -0.74 | 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 | +0.03% |
| Net profit | $323 |
| Gross profit | $226,275 |
| Gross loss | $213,631 |
| CAGR | +0.01% |
| Annualized return | +0.01% |
| Monthly average return | +0.02% |
| Median monthly return | +0.91% |
| Best month return | +8.03% |
| Worst month return | -7.23% |
| Rolling 1-month return | +9.77% |
| Log return CAGR | +9.58% |
| Compounded vs simple return difference | +3.67% |
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 | +35.14% | 0.65 | 1.15 | +8.46% | +54.55% | 11 | 4.60 | +9.25% |
| S&P/ASX 200 | Australia | -2.54% | -0.12 | -0.17 | +10.50% | +33.33% | 9 | 0.81 | +4.15% |
| Bovespa | Brazil | -11.31% | -0.56 | -0.70 | +16.98% | +28.57% | 14 | 0.43 | +4.35% |
| TSX Composite | Canada | +1.93% | 0.08 | 0.10 | +12.15% | +35.29% | 17 | 1.16 | +4.94% |
| Euro Stoxx 50 | Europe | -1.22% | -0.05 | -0.07 | +6.95% | +33.33% | 12 | 0.90 | +4.60% |
| Euronext 100 | Europe | -7.56% | -0.36 | -0.46 | +8.94% | +30.77% | 13 | 0.53 | +4.29% |
| CAC 40 | France | -11.57% | -0.50 | -0.58 | +11.66% | +38.46% | 13 | 0.35 | +4.93% |
| DAX | Germany | -2.53% | -0.10 | -0.13 | +8.53% | +40.00% | 15 | 0.84 | +5.11% |
| Hang Seng | Hong Kong | -1.03% | -0.05 | -0.07 | +10.35% | +25.00% | 8 | 0.95 | +4.61% |
| BSE Sensex | India | +10.58% | 0.41 | 0.59 | +7.47% | +50.00% | 12 | 1.95 | +4.99% |
| Nifty 50 | India | +12.90% | 0.46 | 0.67 | +11.07% | +50.00% | 14 | 1.87 | +5.31% |
| Nikkei 225 | Japan | -2.39% | -0.09 | -0.13 | +15.08% | +23.08% | 13 | 0.93 | +5.55% |
| KOSPI | South Korea | +35.32% | 0.78 | 1.24 | +11.17% | +46.67% | 15 | 3.80 | +7.70% |
| Swiss Market | Switzerland | -5.43% | -0.26 | -0.33 | +5.87% | +38.46% | 13 | 0.54 | +4.37% |
| Taiwan Weighted | Taiwan | +26.31% | 0.69 | 1.11 | +10.10% | +57.14% | 14 | 3.15 | +6.86% |
| FTSE 100 | UK | -14.50% | -1.05 | -1.27 | +14.86% | +0.00% | 11 | 0.00 | +3.02% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -6.47% | -0.30 | -0.40 | +10.38% | +15.38% | 13 | 0.63 | +4.43% |
| NASDAQ Composite | US | +14.71% | 0.38 | 0.56 | +10.19% | +47.06% | 17 | 1.86 | +7.19% |
| Russell 2000 | US | -15.49% | -0.64 | -0.81 | +20.93% | +26.67% | 15 | 0.39 | +5.36% |
| S&P 500 | US | +0.03% | 0.00 | 0.00 | +11.90% | +33.33% | 15 | 1.06 | +5.80% |