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 | +6.85% | Net profit | $68,533 | Gross profit | $223,265 | Gross loss | $154,144 | CAGR | +1.24% | Annualized return | +1.24% | Monthly average return | +0.11% | Median monthly return | +1.28% |
| Best month return | +5.90% | Worst month return | -5.62% | Rolling 1-month return | +9.54% | Log return CAGR | +10.02% | Compounded vs simple return difference | +0.00% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +13.68% | Average drawdown | +4.98% | Median drawdown | -5.25% | Drawdown duration (max) | 1154.2 days | Average drawdown duration | 52.1 days | Ulcer index | 5.76 | Pain index | 5.05 | Pain ratio | 7.44 |
| Drawdown volatility | 3.24 | Worst peak-to-trough loss | +13.68% | % time in drawdown | +88.18% | Drawdown area | 769.76 | Downside deviation | +17.84% | Semi-variance | 1.50 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.18 | Rolling 1-month Sharpe | 1.67 | Sortino ratio | 0.35 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 0.28 | Return / volatility | 1.05 | Return / downside risk | 0.49 |
| Return / max drawdown | 0.90 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 18 | Win rate | +65.47% | Loss rate | +34.53% | Average win | +2.15% | Average loss | -2.62% | Win/Loss ratio | 0.82 | Expectancy | +0.45% | Profit factor | 1.64 |
| Payoff ratio | 0.82 | Best trade | +4.64% | Worst trade | -6.78% | Trade return standard deviation | +1.55% | Consecutive wins (max) | 5 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +7.02% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.05 | Alpha vs benchmark % | +0.84% | Information ratio | -0.66 | Treynor ratio | 0.02 | ||||||||
Compare variants: other parameter variations of the same base strategy.
| Metric | Linear Regression Reversion | Linear Regression Slope |
|---|---|---|
| Return & Growth | ||
| Total return | +6.85% | +89.48% |
| Net profit | $68,533 | $894,821 |
| Gross profit | $223,265 | $821,606 |
| Gross loss | $154,144 | $658,297 |
| CAGR | +1.24% | +3.45% |
| Annualized return | +1.24% | +3.45% |
| Monthly average return | +0.11% | +0.25% |
| Median monthly return | +1.28% | -0.72% |
| Best month return | +5.90% | +6.11% |
| Worst month return | -5.62% | -10.02% |
| Rolling 1-month return | +9.54% | +14.18% |
| Log return CAGR | +10.02% | +1.99% |
| Compounded vs simple return difference | +0.00% | -91.24% |
| Risk & Drawdown | ||
| Maximum drawdown | +13.68% | +24.26% |
| Average drawdown | +4.98% | +11.95% |
| Median drawdown | -5.25% | -9.05% |
| Drawdown duration (max) | 1154.2 days | 971.8 days |
| Average drawdown duration | 52.1 days | 34.6 days |
| Ulcer index | 5.76 | 12.89 |
| Pain index | 5.05 | 9.51 |
| Pain ratio | 7.44 | 8.67 |
| Drawdown volatility | 3.24 | 5.41 |
| Worst peak-to-trough loss | +13.68% | +24.26% |
| % time in drawdown | +88.18% | +87.03% |
| Drawdown area | 769.76 | 863.22 |
| Downside deviation | +17.84% | +14.58% |
| Semi-variance | 1.50 | 2.95 |
| Risk-Adjusted Ratios | ||
| Sharpe ratio | 0.18 | 0.20 |
| Rolling 1-month Sharpe | 1.67 | 1.43 |
| Sortino ratio | 0.35 | 0.42 |
| Calmar ratio | 0.17 | 0.22 |
| Sterling ratio | 0.17 | 0.22 |
| Burke ratio | 0.28 | 0.79 |
| Return / volatility | 1.05 | 3.49 |
| Return / downside risk | 0.49 | 4.09 |
| Return / max drawdown | 0.90 | 3.24 |
| Trade-Level Statistics | ||
| Total trades | 18 | 29 |
| Win rate | +65.47% | +40.89% |
| Loss rate | +34.53% | +59.11% |
| Average win | +2.15% | +6.84% |
| Average loss | -2.62% | -3.30% |
| Win/Loss ratio | 0.82 | 2.15 |
| Expectancy | +0.45% | +0.75% |
| Profit factor | 1.64 | 1.57 |
| Payoff ratio | 0.82 | 2.15 |
| Best trade | +4.64% | +20.17% |
| Worst trade | -6.78% | -9.90% |
| Trade return standard deviation | +1.55% | +4.54% |
| Consecutive wins (max) | 5 | 3 |
| Consecutive losses (max) | 3 | 6 |
| Distribution & Shape | ||
| Volatility (annualized) | +7.02% | +16.07% |
| Benchmark (Beta, Alpha, IR) | ||
| Beta to benchmark | 0.05 | 0.02 |
| Alpha vs benchmark % | +0.84% | +3.57% |
| Information ratio | -0.66 | -0.48 |
| Treynor ratio | 0.02 | 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 | +11.83% |
| Net profit | $118,327 |
| Gross profit | $271,391 |
| Gross loss | $153,194 |
| CAGR | +2.27% |
| Annualized return | +2.27% |
| Monthly average return | +0.20% |
| Median monthly return | +0.86% |
| Best month return | +7.53% |
| Worst month return | -5.90% |
| Rolling 1-month return | +14.68% |
| Log return CAGR | +16.95% |
| Compounded vs simple return difference | +0.00% |
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 | +16.43% | 0.57 | 1.23 | +6.89% | +100.00% | 5 | 0.00 | +5.47% |
| S&P/ASX 200 | Australia | +0.24% | 0.01 | 0.01 | +10.65% | +63.16% | 19 | 1.05 | +4.80% |
| Bovespa | Brazil | -8.35% | -0.43 | -0.55 | +12.98% | +55.56% | 9 | 0.38 | +4.12% |
| TSX Composite | Canada | +2.30% | 0.08 | 0.11 | +8.25% | +60.87% | 23 | 1.18 | +5.85% |
| Euro Stoxx 50 | Europe | +11.97% | 0.31 | 0.43 | +9.76% | +73.91% | 23 | 1.65 | +7.19% |
| Euronext 100 | Europe | +3.00% | 0.09 | 0.11 | +13.59% | +76.19% | 21 | 1.22 | +6.74% |
| CAC 40 | France | +7.17% | 0.23 | 0.32 | +8.91% | +72.73% | 22 | 1.60 | +5.98% |
| DAX | Germany | +8.75% | 0.20 | 0.30 | +13.77% | +72.73% | 22 | 1.60 | +8.17% |
| Hang Seng | Hong Kong | -3.82% | -0.13 | -0.17 | +21.81% | +52.94% | 17 | 0.88 | +6.16% |
| BSE Sensex | India | +16.30% | 0.73 | 1.37 | +5.32% | +64.71% | 17 | 3.20 | +4.17% |
| Nifty 50 | India | +22.81% | 0.86 | 1.59 | +5.16% | +68.42% | 19 | 3.60 | +4.76% |
| Nikkei 225 | Japan | +12.57% | 0.29 | 0.45 | +12.58% | +66.67% | 18 | 2.26 | +8.36% |
| KOSPI | South Korea | +28.18% | 0.56 | 1.00 | +10.55% | +70.00% | 20 | 2.75 | +8.95% |
| Swiss Market | Switzerland | -21.25% | -0.77 | -0.88 | +22.40% | +35.00% | 20 | 0.25 | +6.36% |
| Taiwan Weighted | Taiwan | -3.69% | -0.08 | -0.11 | +18.80% | +53.33% | 15 | 0.78 | +9.55% |
| FTSE 100 | UK | +5.72% | 0.19 | 0.24 | +11.02% | +71.43% | 21 | 1.40 | +5.94% |
| CBOE Volatility Index | US | -9.11% | -0.13 | -0.21 | +35.28% | +57.14% | 7 | 0.92 | +14.99% |
| Dow Jones Industrial Average | US | -5.15% | -0.17 | -0.25 | +16.28% | +50.00% | 20 | 0.77 | +6.21% |
| NASDAQ Composite | US | +24.01% | 0.45 | 0.81 | +15.81% | +75.00% | 20 | 2.70 | +9.45% |
| Russell 2000 | US | +24.01% | 0.61 | 1.12 | +13.22% | +71.43% | 14 | 4.42 | +6.89% |
| S&P 500 | US | +11.83% | 0.30 | 0.49 | +14.25% | +63.64% | 22 | 1.77 | +7.27% |