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 | +25.30% | Net profit | $252,957 | Gross profit | $782,123 | Gross loss | $581,142 | CAGR | +2.82% | Annualized return | +2.82% | Monthly average return | +0.32% | Median monthly return | +1.18% |
| Best month return | +10.24% | Worst month return | -6.74% | Rolling 1-month return | +19.73% | Log return CAGR | +46.88% | Compounded vs simple return difference | -13.10% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.19% | Average drawdown | +8.92% | Median drawdown | -6.85% | Drawdown duration (max) | 673.4 days | Average drawdown duration | 29.4 days | Ulcer index | 10.08 | Pain index | 7.03 | Pain ratio | 7.57 |
| Drawdown volatility | 4.44 | Worst peak-to-trough loss | +23.19% | % time in drawdown | +85.10% | Drawdown area | 631.32 | Downside deviation | +14.40% | Semi-variance | 3.64 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.29 | Rolling 1-month Sharpe | 1.87 | Sortino ratio | 0.46 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 0.73 | Return / volatility | 2.06 | Return / downside risk | 1.94 |
| Return / max drawdown | 1.27 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 31 | Win rate | +45.16% | Loss rate | +54.84% | Average win | +5.56% | Average loss | -3.24% | Win/Loss ratio | 1.79 | Expectancy | +0.71% | Profit factor | 1.53 |
| Payoff ratio | 1.79 | Best trade | +17.34% | Worst trade | -10.23% | Trade return standard deviation | +4.14% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.27% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | +5.18% | Information ratio | -0.49 | 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 | +4.93% |
| Net profit | $49,319 |
| Gross profit | $634,073 |
| Gross loss | $544,171 |
| CAGR | +0.97% |
| Annualized return | +0.97% |
| Monthly average return | +0.13% |
| Median monthly return | +0.71% |
| Best month return | +12.81% |
| Worst month return | -17.58% |
| Rolling 1-month return | +17.41% |
| Log return CAGR | -2.42% |
| Compounded vs simple return difference | -5.90% |
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 | +327.19% | 1.03 | 2.14 | +35.99% | +63.33% | 30 | 4.24 | +24.91% |
| S&P/ASX 200 | Australia | -1.95% | -0.05 | -0.06 | +20.55% | +38.24% | 34 | 1.01 | +8.17% |
| Bovespa | Brazil | +10.28% | 0.19 | 0.27 | +20.38% | +45.16% | 31 | 1.30 | +10.53% |
| TSX Composite | Canada | +9.02% | 0.22 | 0.30 | +15.86% | +53.13% | 32 | 1.29 | +7.84% |
| Euro Stoxx 50 | Europe | +30.33% | 0.55 | 0.83 | +15.90% | +44.83% | 29 | 1.72 | +9.34% |
| Euronext 100 | Europe | +35.33% | 0.73 | 1.09 | +12.77% | +46.67% | 30 | 1.95 | +7.94% |
| CAC 40 | France | +22.92% | 0.43 | 0.61 | +15.80% | +46.43% | 28 | 1.68 | +9.28% |
| DAX | Germany | +33.42% | 0.64 | 0.97 | +16.57% | +55.17% | 29 | 1.87 | +8.65% |
| Hang Seng | Hong Kong | +7.25% | 0.09 | 0.14 | +26.11% | +44.83% | 29 | 1.21 | +16.06% |
| BSE Sensex | India | +19.46% | 0.43 | 0.63 | +15.85% | +40.00% | 25 | 1.69 | +8.29% |
| Nifty 50 | India | +13.40% | 0.30 | 0.43 | +16.75% | +37.04% | 27 | 1.40 | +8.42% |
| Nikkei 225 | Japan | +9.52% | 0.15 | 0.22 | +19.57% | +41.94% | 31 | 1.26 | +12.26% |
| KOSPI | South Korea | +30.09% | 0.36 | 0.53 | +27.98% | +40.63% | 32 | 1.60 | +14.66% |
| Swiss Market | Switzerland | +12.31% | 0.32 | 0.45 | +16.06% | +44.44% | 27 | 1.41 | +7.30% |
| Taiwan Weighted | Taiwan | +50.68% | 0.77 | 1.27 | +13.10% | +43.33% | 30 | 2.11 | +10.59% |
| FTSE 100 | UK | +13.93% | 0.38 | 0.54 | +12.14% | +48.39% | 31 | 1.57 | +6.84% |
| CBOE Volatility Index | US | -79.44% | -0.28 | -0.46 | +89.20% | +32.43% | 37 | 0.58 | +101.35% |
| Dow Jones Industrial Average | US | +0.99% | 0.02 | 0.03 | +20.09% | +47.06% | 34 | 1.10 | +8.95% |
| NASDAQ Composite | US | -11.21% | -0.17 | -0.23 | +24.14% | +41.03% | 39 | 0.93 | +14.12% |
| Russell 2000 | US | -7.24% | -0.10 | -0.14 | +31.87% | +35.29% | 34 | 0.96 | +14.91% |
| S&P 500 | US | +4.93% | 0.09 | 0.13 | +20.25% | +58.97% | 39 | 1.17 | +10.33% |