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 | +3.73% | Net profit | $37,276 | Gross profit | $874,990 | Gross loss | $831,315 | CAGR | +0.29% | Annualized return | +0.29% | Monthly average return | +0.07% | Median monthly return | -2.89% |
| Best month return | +3.25% | Worst month return | -7.84% | Rolling 1-month return | +6.23% | Log return CAGR | -20.03% | Compounded vs simple return difference | -13.77% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.30% | Average drawdown | +10.76% | Median drawdown | -10.17% | Drawdown duration (max) | 1068.5 days | Average drawdown duration | 53.3 days | Ulcer index | 11.86 | Pain index | 9.80 | Pain ratio | 1.26 |
| Drawdown volatility | 6.20 | Worst peak-to-trough loss | +22.30% | % time in drawdown | +83.12% | Drawdown area | 843.51 | Downside deviation | +9.38% | Semi-variance | 1.06 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.02 | Rolling 1-month Sharpe | 1.07 | Sortino ratio | 0.09 | Calmar ratio | 0.06 | Sterling ratio | 0.07 | Burke ratio | 0.11 | Return / volatility | 0.43 | Return / downside risk | 0.50 |
| Return / max drawdown | 0.42 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 96 | Win rate | +36.98% | Loss rate | +63.02% | Average win | +2.52% | Average loss | -1.35% | Win/Loss ratio | 1.88 | Expectancy | +0.07% | Profit factor | 1.11 |
| Payoff ratio | 1.88 | Best trade | +11.73% | Worst trade | -6.40% | Trade return standard deviation | +2.99% | Consecutive wins (max) | 4 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +9.58% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.16 | Alpha vs benchmark % | -1.34% | Information ratio | -0.74 | Treynor ratio | 0.01 | ||||||||
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 | -2.43% |
| Net profit | -$24,264 |
| Gross profit | $799,148 |
| Gross loss | $795,476 |
| CAGR | -0.49% |
| Annualized return | -0.49% |
| Monthly average return | +0.00% |
| Median monthly return | -4.40% |
| Best month return | +3.97% |
| Worst month return | -9.69% |
| Rolling 1-month return | +5.52% |
| Log return CAGR | -40.34% |
| Compounded vs simple return difference | -16.10% |
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 | -8.59% | -0.23 | -0.31 | +18.17% | +32.32% | 99 | 0.91 | +7.73% |
| Bovespa | Brazil | -16.21% | -0.33 | -0.43 | +38.00% | +30.53% | 95 | 0.87 | +11.11% |
| TSX Composite | Canada | +2.44% | 0.06 | 0.09 | +16.34% | +39.62% | 106 | 1.06 | +7.59% |
| Euro Stoxx 50 | Europe | -0.82% | -0.02 | -0.02 | +21.15% | +38.55% | 83 | 1.03 | +9.71% |
| Euronext 100 | Europe | +5.93% | 0.13 | 0.18 | +20.06% | +37.36% | 91 | 1.12 | +8.88% |
| CAC 40 | France | +6.94% | 0.14 | 0.20 | +19.69% | +37.36% | 91 | 1.13 | +9.17% |
| DAX | Germany | +25.06% | 0.44 | 0.66 | +22.72% | +40.48% | 84 | 1.38 | +9.80% |
| Hang Seng | Hong Kong | +49.24% | 0.45 | 0.77 | +29.35% | +44.94% | 89 | 1.49 | +17.34% |
| BSE Sensex | India | +17.23% | 0.35 | 0.51 | +13.82% | +38.82% | 85 | 1.31 | +9.15% |
| Nifty 50 | India | +21.51% | 0.43 | 0.64 | +15.05% | +35.71% | 70 | 1.40 | +8.95% |
| Nikkei 225 | Japan | -7.72% | -0.13 | -0.19 | +29.92% | +35.59% | 118 | 0.97 | +12.51% |
| KOSPI | South Korea | +14.63% | 0.19 | 0.26 | +30.82% | +33.67% | 98 | 1.20 | +14.87% |
| Swiss Market | Switzerland | +14.33% | 0.37 | 0.56 | +12.91% | +37.21% | 86 | 1.31 | +7.18% |
| Taiwan Weighted | Taiwan | +63.09% | 0.87 | 1.50 | +15.07% | +43.75% | 96 | 1.92 | +11.09% |
| FTSE 100 | UK | -3.36% | -0.10 | -0.13 | +17.96% | +42.71% | 96 | 0.97 | +6.95% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -23.71% | -0.62 | -0.78 | +24.44% | +38.78% | 98 | 0.69 | +8.94% |
| NASDAQ Composite | US | -25.87% | -0.42 | -0.54 | +40.21% | +28.83% | 111 | 0.82 | +14.57% |
| Russell 2000 | US | -53.43% | -1.07 | -1.26 | +55.25% | +26.56% | 128 | 0.57 | +15.33% |
| S&P 500 | US | -2.43% | -0.05 | -0.07 | +27.38% | +39.78% | 93 | 1.00 | +10.21% |