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 | +52.97% | Net profit | $529,716 | Gross profit | $1,014,794 | Gross loss | $775,808 | CAGR | +4.06% | Annualized return | +4.06% | Monthly average return | +0.40% | Median monthly return | -0.73% |
| Best month return | +7.36% | Worst month return | -8.49% | Rolling 1-month return | +13.19% | Log return CAGR | +11.21% | Compounded vs simple return difference | -51.35% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.58% | Average drawdown | +9.45% | Median drawdown | -7.92% | Drawdown duration (max) | 711.6 days | Average drawdown duration | 34.2 days | Ulcer index | 10.63 | Pain index | 8.45 | Pain ratio | 7.90 |
| Drawdown volatility | 4.81 | Worst peak-to-trough loss | +22.58% | % time in drawdown | +85.53% | Drawdown area | 759.96 | Downside deviation | +14.09% | Semi-variance | 3.64 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.34 | Rolling 1-month Sharpe | 1.47 | Sortino ratio | 0.58 | Calmar ratio | 0.27 | Sterling ratio | 0.27 | Burke ratio | 0.70 | Return / volatility | 3.16 | Return / downside risk | 3.29 |
| Return / max drawdown | 2.36 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 50 | Win rate | +39.40% | Loss rate | +60.60% | Average win | +5.29% | Average loss | -2.45% | Win/Loss ratio | 2.18 | Expectancy | +0.55% | Profit factor | 1.48 |
| Payoff ratio | 2.18 | Best trade | +16.56% | Worst trade | -7.38% | Trade return standard deviation | +4.43% | Consecutive wins (max) | 3 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.93% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +6.38% | Information ratio | -0.44 | 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 | +7.54% |
| Net profit | $75,427 |
| Gross profit | $697,684 |
| Gross loss | $596,963 |
| CAGR | +1.47% |
| Annualized return | +1.47% |
| Monthly average return | +0.17% |
| Median monthly return | -2.14% |
| Best month return | +5.60% |
| Worst month return | -10.67% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +1.52% |
| Compounded vs simple return difference | -6.94% |
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 | +854.06% | 1.28 | 3.36 | +31.27% | +53.49% | 43 | 4.39 | +28.49% |
| S&P/ASX 200 | Australia | +3.64% | 0.09 | 0.11 | +24.18% | +40.00% | 45 | 1.12 | +8.30% |
| Bovespa | Brazil | +25.48% | 0.40 | 0.60 | +16.63% | +42.86% | 49 | 1.39 | +11.16% |
| TSX Composite | Canada | +25.63% | 0.59 | 0.86 | +11.18% | +50.00% | 52 | 1.58 | +7.61% |
| Euro Stoxx 50 | Europe | +33.63% | 0.58 | 0.91 | +18.22% | +37.50% | 48 | 1.61 | +9.64% |
| Euronext 100 | Europe | +25.94% | 0.52 | 0.76 | +15.30% | +42.00% | 50 | 1.53 | +8.58% |
| CAC 40 | France | +20.32% | 0.38 | 0.56 | +14.92% | +44.68% | 47 | 1.38 | +9.40% |
| DAX | Germany | +31.21% | 0.56 | 0.88 | +15.88% | +41.51% | 53 | 1.55 | +9.25% |
| Hang Seng | Hong Kong | -18.79% | -0.26 | -0.38 | +35.13% | +30.19% | 53 | 0.85 | +16.46% |
| BSE Sensex | India | +11.77% | 0.27 | 0.39 | +12.75% | +31.25% | 48 | 1.27 | +8.25% |
| Nifty 50 | India | +12.48% | 0.28 | 0.39 | +14.09% | +31.91% | 47 | 1.29 | +8.41% |
| Nikkei 225 | Japan | +12.34% | 0.19 | 0.27 | +18.60% | +38.78% | 49 | 1.23 | +12.69% |
| KOSPI | South Korea | +49.96% | 0.57 | 0.86 | +20.84% | +40.91% | 44 | 1.77 | +14.09% |
| Swiss Market | Switzerland | +34.58% | 0.79 | 1.24 | +10.93% | +48.78% | 41 | 1.92 | +7.34% |
| Taiwan Weighted | Taiwan | +60.70% | 0.84 | 1.39 | +17.70% | +39.62% | 53 | 1.95 | +11.12% |
| FTSE 100 | UK | +16.59% | 0.41 | 0.58 | +14.30% | +41.07% | 56 | 1.36 | +7.41% |
| CBOE Volatility Index | US | -88.79% | -0.37 | -0.56 | +93.51% | +26.79% | 56 | 0.62 | +108.20% |
| Dow Jones Industrial Average | US | -0.63% | -0.01 | -0.02 | +17.14% | +33.93% | 56 | 1.03 | +8.90% |
| NASDAQ Composite | US | -1.04% | -0.02 | -0.02 | +25.88% | +36.36% | 55 | 1.05 | +13.80% |
| Russell 2000 | US | -4.21% | -0.06 | -0.08 | +26.89% | +33.33% | 48 | 1.00 | +15.10% |
| S&P 500 | US | +7.54% | 0.14 | 0.20 | +18.82% | +42.37% | 59 | 1.17 | +10.28% |