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 | -0.69% | Net profit | -$6,944 | CAGR | -0.15% | Annualized return | -0.15% | Monthly average return | +0.01% | Median monthly return | -0.08% | Best month return | +0.91% | Worst month return | -1.54% |
| Rolling 1-month return | +3.86% | Log return CAGR | -1.28% | Compounded vs simple return difference | +0.00% | ||||||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +2.75% | Average drawdown | +2.33% | Drawdown duration (max) | 87.3 days | Ulcer index | 1.50 | Worst peak-to-trough loss | +2.75% | % time in drawdown | +6.57% | Drawdown area | 120.70 | Downside deviation | +4.10% |
| Risk-Adjusted Ratios | |||||||||||||||
| Calmar ratio | -0.01 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Trade return standard deviation | +0.47% | ||||||||||||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +2.43% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +0.50% | Information ratio | -0.74 | Treynor ratio | -0.00 | ||||||||
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 | +0.00% |
| Net profit | $0 |
| CAGR | +0.00% |
| Annualized return | +0.00% |
| Monthly average return | +0.00% |
| Median monthly return | +0.00% |
| Best month return | +0.00% |
| Worst month return | +0.00% |
| Rolling 1-month return | +0.00% |
| Log return CAGR | +0.00% |
| 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 | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| S&P/ASX 200 | Australia | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Bovespa | Brazil | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| TSX Composite | Canada | -12.46% | -0.62 | -0.77 | +12.83% | +0.00% | 1 | 0.00 | +4.33% |
| Euro Stoxx 50 | Europe | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Euronext 100 | Europe | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| CAC 40 | France | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| DAX | Germany | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Hang Seng | Hong Kong | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| BSE Sensex | India | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Nifty 50 | India | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Nikkei 225 | Japan | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| KOSPI | South Korea | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Swiss Market | Switzerland | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Taiwan Weighted | Taiwan | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| FTSE 100 | UK | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| CBOE Volatility Index | US | -2.12% | -0.01 | -0.02 | +44.86% | +0.00% | 1 | 0.00 | +46.79% |
| Dow Jones Industrial Average | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| NASDAQ Composite | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Russell 2000 | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| S&P 500 | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |