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 | +113.35% | Net profit | $1,133,492 | Gross profit | $1,119,886 | Gross loss | $978,358 | CAGR | +2.93% | Annualized return | +2.93% | Monthly average return | +0.23% | Median monthly return | -1.98% |
| Best month return | +5.09% | Worst month return | -9.24% | Rolling 1-month return | +9.70% | Log return CAGR | -15.30% | Compounded vs simple return difference | -122.06% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.47% | Average drawdown | +16.07% | Median drawdown | -9.15% | Drawdown duration (max) | 1322.0 days | Average drawdown duration | 50.9 days | Ulcer index | 17.34 | Pain index | 9.68 | Pain ratio | 14.53 |
| Drawdown volatility | 5.53 | Worst peak-to-trough loss | +28.47% | % time in drawdown | +89.63% | Drawdown area | 914.43 | Downside deviation | +13.68% | Semi-variance | 2.87 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.09 | Rolling 1-month Sharpe | 1.01 | Sortino ratio | 0.28 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 1.34 | Return / volatility | 3.59 | Return / downside risk | 4.92 |
| Return / max drawdown | 3.82 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 85 | Win rate | +26.13% | Loss rate | +73.87% | Average win | +5.41% | Average loss | -1.47% | Win/Loss ratio | 3.59 | Expectancy | +0.33% | Profit factor | 1.34 |
| Payoff ratio | 3.59 | Best trade | +20.45% | Worst trade | -4.99% | Trade return standard deviation | +4.75% | Consecutive wins (max) | 3 | Consecutive losses (max) | 11 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.38% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +4.75% | Information ratio | -0.55 | Treynor ratio | 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 | -1.52% |
| Net profit | -$15,230 |
| Gross profit | $787,509 |
| Gross loss | $767,937 |
| CAGR | -0.31% |
| Annualized return | -0.31% |
| Monthly average return | -0.00% |
| Median monthly return | +0.95% |
| Best month return | +5.58% |
| Worst month return | -2.16% |
| Rolling 1-month return | +5.58% |
| Log return CAGR | +4.71% |
| Compounded vs simple return difference | +3.37% |
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 | +2343.93% | 1.28 | 4.24 | +34.69% | +32.26% | 62 | 5.56 | +36.56% |
| S&P/ASX 200 | Australia | -16.32% | -0.42 | -0.54 | +26.66% | +26.80% | 97 | 0.76 | +8.59% |
| Bovespa | Brazil | +9.16% | 0.15 | 0.21 | +22.72% | +25.00% | 84 | 1.15 | +12.01% |
| TSX Composite | Canada | +22.73% | 0.46 | 0.65 | +10.17% | +32.88% | 73 | 1.48 | +8.80% |
| Euro Stoxx 50 | Europe | -14.40% | -0.31 | -0.41 | +27.48% | +22.22% | 90 | 0.86 | +10.14% |
| Euronext 100 | Europe | -11.33% | -0.25 | -0.33 | +23.25% | +22.73% | 88 | 0.89 | +9.45% |
| CAC 40 | France | -25.78% | -0.63 | -0.79 | +31.39% | +19.59% | 97 | 0.70 | +9.63% |
| DAX | Germany | +15.34% | 0.26 | 0.39 | +22.44% | +25.81% | 93 | 1.25 | +10.63% |
| Hang Seng | Hong Kong | -19.48% | -0.27 | -0.39 | +36.69% | +18.89% | 90 | 0.88 | +16.61% |
| BSE Sensex | India | +20.85% | 0.42 | 0.61 | +13.54% | +29.87% | 77 | 1.43 | +9.09% |
| Nifty 50 | India | +28.84% | 0.54 | 0.80 | +11.01% | +32.86% | 70 | 1.55 | +9.25% |
| Nikkei 225 | Japan | +12.91% | 0.17 | 0.25 | +28.20% | +22.62% | 84 | 1.22 | +14.29% |
| KOSPI | South Korea | +34.76% | 0.38 | 0.56 | +26.14% | +20.48% | 83 | 1.48 | +15.54% |
| Swiss Market | Switzerland | +9.81% | 0.23 | 0.32 | +14.46% | +27.85% | 79 | 1.21 | +8.19% |
| Taiwan Weighted | Taiwan | +98.13% | 1.05 | 1.78 | +13.84% | +36.51% | 63 | 2.42 | +12.55% |
| FTSE 100 | UK | +4.67% | 0.11 | 0.16 | +18.25% | +25.29% | 87 | 1.11 | +8.03% |
| CBOE Volatility Index | US | -96.45% | -0.57 | -0.73 | +97.83% | +17.12% | 111 | 0.40 | +115.03% |
| Dow Jones Industrial Average | US | -1.38% | -0.03 | -0.04 | +22.33% | +33.75% | 80 | 1.02 | +9.67% |
| NASDAQ Composite | US | +6.41% | 0.08 | 0.12 | +37.50% | +27.85% | 79 | 1.13 | +14.70% |
| Russell 2000 | US | -40.55% | -0.71 | -0.90 | +48.90% | +20.19% | 104 | 0.62 | +15.43% |
| S&P 500 | US | -1.52% | -0.03 | -0.04 | +30.40% | +28.24% | 85 | 1.03 | +10.81% |