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 | +89.48% | Net profit | $894,821 | Gross profit | $821,606 | Gross loss | $658,297 | CAGR | +3.45% | Annualized return | +3.45% | Monthly average return | +0.25% | Median monthly return | -0.72% |
| Best month return | +6.11% | Worst month return | -10.02% | Rolling 1-month return | +14.18% | Log return CAGR | +1.99% | Compounded vs simple return difference | -91.24% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.26% | Average drawdown | +11.95% | Median drawdown | -9.05% | Drawdown duration (max) | 971.8 days | Average drawdown duration | 34.6 days | Ulcer index | 12.89 | Pain index | 9.51 | Pain ratio | 8.67 |
| Drawdown volatility | 5.41 | Worst peak-to-trough loss | +24.26% | % time in drawdown | +87.03% | Drawdown area | 863.22 | Downside deviation | +14.58% | Semi-variance | 2.95 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.20 | Rolling 1-month Sharpe | 1.43 | Sortino ratio | 0.42 | Calmar ratio | 0.22 | Sterling ratio | 0.22 | Burke ratio | 0.79 | Return / volatility | 3.49 | Return / downside risk | 4.09 |
| Return / max drawdown | 3.24 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 29 | Win rate | +40.89% | Loss rate | +59.11% | Average win | +6.84% | Average loss | -3.30% | Win/Loss ratio | 2.15 | Expectancy | +0.75% | Profit factor | 1.57 |
| Payoff ratio | 2.15 | Best trade | +20.17% | Worst trade | -9.90% | Trade return standard deviation | +4.54% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.07% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.02 | Alpha vs benchmark % | +3.57% | Information ratio | -0.48 | Treynor ratio | 0.03 | ||||||||
Compare variants: other parameter variations of the same base strategy.
| Metric | Linear Regression Slope | Linear Regression Reversion |
|---|---|---|
| Return & Growth | ||
| Total return | +89.48% | +6.85% |
| Net profit | $894,821 | $68,533 |
| Gross profit | $821,606 | $223,265 |
| Gross loss | $658,297 | $154,144 |
| CAGR | +3.45% | +1.24% |
| Annualized return | +3.45% | +1.24% |
| Monthly average return | +0.25% | +0.11% |
| Median monthly return | -0.72% | +1.28% |
| Best month return | +6.11% | +5.90% |
| Worst month return | -10.02% | -5.62% |
| Rolling 1-month return | +14.18% | +9.54% |
| Log return CAGR | +1.99% | +10.02% |
| Compounded vs simple return difference | -91.24% | +0.00% |
| Risk & Drawdown | ||
| Maximum drawdown | +24.26% | +13.68% |
| Average drawdown | +11.95% | +4.98% |
| Median drawdown | -9.05% | -5.25% |
| Drawdown duration (max) | 971.8 days | 1154.2 days |
| Average drawdown duration | 34.6 days | 52.1 days |
| Ulcer index | 12.89 | 5.76 |
| Pain index | 9.51 | 5.05 |
| Pain ratio | 8.67 | 7.44 |
| Drawdown volatility | 5.41 | 3.24 |
| Worst peak-to-trough loss | +24.26% | +13.68% |
| % time in drawdown | +87.03% | +88.18% |
| Drawdown area | 863.22 | 769.76 |
| Downside deviation | +14.58% | +17.84% |
| Semi-variance | 2.95 | 1.50 |
| Risk-Adjusted Ratios | ||
| Sharpe ratio | 0.20 | 0.18 |
| Rolling 1-month Sharpe | 1.43 | 1.67 |
| Sortino ratio | 0.42 | 0.35 |
| Calmar ratio | 0.22 | 0.17 |
| Sterling ratio | 0.22 | 0.17 |
| Burke ratio | 0.79 | 0.28 |
| Return / volatility | 3.49 | 1.05 |
| Return / downside risk | 4.09 | 0.49 |
| Return / max drawdown | 3.24 | 0.90 |
| Trade-Level Statistics | ||
| Total trades | 29 | 18 |
| Win rate | +40.89% | +65.47% |
| Loss rate | +59.11% | +34.53% |
| Average win | +6.84% | +2.15% |
| Average loss | -3.30% | -2.62% |
| Win/Loss ratio | 2.15 | 0.82 |
| Expectancy | +0.75% | +0.45% |
| Profit factor | 1.57 | 1.64 |
| Payoff ratio | 2.15 | 0.82 |
| Best trade | +20.17% | +4.64% |
| Worst trade | -9.90% | -6.78% |
| Trade return standard deviation | +4.54% | +1.55% |
| Consecutive wins (max) | 3 | 5 |
| Consecutive losses (max) | 6 | 3 |
| Distribution & Shape | ||
| Volatility (annualized) | +16.07% | +7.02% |
| Benchmark (Beta, Alpha, IR) | ||
| Beta to benchmark | 0.02 | 0.05 |
| Alpha vs benchmark % | +3.57% | +0.84% |
| Information ratio | -0.48 | -0.66 |
| Treynor ratio | 0.03 | 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 | +19.75% |
| Net profit | $197,489 |
| Gross profit | $630,749 |
| Gross loss | $402,812 |
| CAGR | +3.68% |
| Annualized return | +3.68% |
| Monthly average return | +0.35% |
| Median monthly return | +1.24% |
| Best month return | +4.43% |
| Worst month return | -16.60% |
| Rolling 1-month return | +5.75% |
| Log return CAGR | -14.91% |
| Compounded vs simple return difference | -25.96% |
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 | +1704.50% | 1.32 | 3.95 | +31.13% | +51.72% | 29 | 6.33 | +33.14% |
| S&P/ASX 200 | Australia | -2.51% | -0.06 | -0.08 | +16.56% | +34.48% | 29 | 0.97 | +8.87% |
| Bovespa | Brazil | +5.58% | 0.10 | 0.15 | +20.83% | +40.74% | 27 | 1.16 | +10.50% |
| TSX Composite | Canada | +15.26% | 0.32 | 0.44 | +15.22% | +48.15% | 27 | 1.46 | +8.79% |
| Euro Stoxx 50 | Europe | +7.43% | 0.14 | 0.19 | +17.30% | +50.00% | 28 | 1.25 | +9.89% |
| Euronext 100 | Europe | +2.62% | 0.06 | 0.08 | +18.27% | +40.63% | 32 | 1.10 | +8.89% |
| CAC 40 | France | +3.19% | 0.07 | 0.09 | +15.81% | +46.67% | 30 | 1.13 | +9.34% |
| DAX | Germany | +18.98% | 0.34 | 0.49 | +15.02% | +46.67% | 30 | 1.55 | +9.98% |
| Hang Seng | Hong Kong | +1.82% | 0.02 | 0.04 | +27.82% | +31.03% | 29 | 1.13 | +15.47% |
| BSE Sensex | India | +12.30% | 0.25 | 0.37 | +16.41% | +35.71% | 28 | 1.32 | +9.17% |
| Nifty 50 | India | +15.98% | 0.32 | 0.46 | +15.52% | +30.00% | 30 | 1.44 | +9.42% |
| Nikkei 225 | Japan | +10.80% | 0.15 | 0.22 | +28.86% | +32.26% | 31 | 1.28 | +13.69% |
| KOSPI | South Korea | +71.36% | 0.67 | 1.07 | +19.21% | +41.38% | 29 | 2.67 | +15.63% |
| Swiss Market | Switzerland | +7.38% | 0.18 | 0.24 | +17.82% | +48.15% | 27 | 1.28 | +8.07% |
| Taiwan Weighted | Taiwan | +65.68% | 0.79 | 1.28 | +20.47% | +48.15% | 27 | 2.48 | +12.60% |
| FTSE 100 | UK | +0.51% | 0.01 | 0.02 | +15.51% | +37.50% | 32 | 1.06 | +8.22% |
| CBOE Volatility Index | US | -98.68% | -1.12 | -0.96 | +99.45% | +21.43% | 42 | 0.28 | +96.03% |
| Dow Jones Industrial Average | US | -0.94% | -0.02 | -0.03 | +20.57% | +44.44% | 27 | 1.06 | +9.66% |
| NASDAQ Composite | US | +17.26% | 0.22 | 0.32 | +30.21% | +42.86% | 28 | 1.37 | +13.94% |
| Russell 2000 | US | +0.85% | 0.01 | 0.02 | +27.23% | +46.67% | 30 | 1.08 | +15.13% |
| S&P 500 | US | +19.75% | 0.32 | 0.47 | +20.15% | +40.00% | 25 | 1.57 | +10.94% |