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 | +113.84% | Net profit | $1,138,378 | Gross profit | $1,150,012 | Gross loss | $993,280 | CAGR | +3.25% | Annualized return | +3.25% | Monthly average return | +0.25% | Median monthly return | -2.14% |
| Best month return | +6.71% | Worst month return | -8.23% | Rolling 1-month return | +11.22% | Log return CAGR | -5.94% | Compounded vs simple return difference | -118.71% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.86% | Average drawdown | +13.01% | Median drawdown | -9.48% | Drawdown duration (max) | 1221.8 days | Average drawdown duration | 43.7 days | Ulcer index | 13.95 | Pain index | 9.48 | Pain ratio | 15.76 |
| Drawdown volatility | 4.68 | Worst peak-to-trough loss | +24.86% | % time in drawdown | +91.80% | Drawdown area | 894.27 | Downside deviation | +13.66% | Semi-variance | 3.10 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.11 | Rolling 1-month Sharpe | 1.16 | Sortino ratio | 0.33 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.51 | Return / volatility | 4.10 | Return / downside risk | 5.06 |
| Return / max drawdown | 5.19 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 85 | Win rate | +32.62% | Loss rate | +67.38% | Average win | +4.14% | Average loss | -1.68% | Win/Loss ratio | 2.65 | Expectancy | +0.27% | Profit factor | 1.36 |
| Payoff ratio | 2.65 | Best trade | +18.27% | Worst trade | -5.92% | Trade return standard deviation | +4.56% | Consecutive wins (max) | 3 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.30% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +4.67% | Information ratio | -0.53 | Treynor ratio | 0.01 | ||||||||
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 | +14.18% |
| Net profit | $141,780 |
| Gross profit | $832,298 |
| Gross loss | $664,713 |
| CAGR | +2.70% |
| Annualized return | +2.70% |
| Monthly average return | +0.27% |
| Median monthly return | +0.33% |
| Best month return | +4.85% |
| Worst month return | -6.63% |
| Rolling 1-month return | +8.11% |
| Log return CAGR | -8.68% |
| Compounded vs simple return difference | -17.72% |
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 | +2347.19% | 1.49 | 4.96 | +23.85% | +44.29% | 70 | 5.80 | +31.63% |
| S&P/ASX 200 | Australia | -14.37% | -0.38 | -0.50 | +17.74% | +39.13% | 92 | 0.78 | +8.15% |
| Bovespa | Brazil | +10.02% | 0.16 | 0.24 | +25.10% | +35.29% | 85 | 1.16 | +11.58% |
| TSX Composite | Canada | +17.40% | 0.38 | 0.55 | +14.75% | +34.15% | 82 | 1.33 | +8.34% |
| Euro Stoxx 50 | Europe | -23.09% | -0.53 | -0.67 | +28.74% | +23.53% | 102 | 0.80 | +10.24% |
| Euronext 100 | Europe | -11.03% | -0.26 | -0.34 | +19.49% | +22.58% | 93 | 0.91 | +9.09% |
| CAC 40 | France | -8.05% | -0.17 | -0.23 | +17.96% | +31.46% | 89 | 0.94 | +9.80% |
| DAX | Germany | +20.00% | 0.35 | 0.53 | +15.37% | +31.82% | 88 | 1.30 | +9.99% |
| Hang Seng | Hong Kong | -35.91% | -0.60 | -0.81 | +36.78% | +26.32% | 95 | 0.66 | +15.80% |
| BSE Sensex | India | +19.12% | 0.40 | 0.58 | +16.02% | +37.14% | 70 | 1.40 | +8.75% |
| Nifty 50 | India | +27.02% | 0.53 | 0.78 | +13.72% | +37.50% | 64 | 1.56 | +8.90% |
| Nikkei 225 | Japan | -1.11% | -0.02 | -0.02 | +29.11% | +31.18% | 93 | 1.05 | +13.54% |
| KOSPI | South Korea | +41.34% | 0.48 | 0.71 | +24.96% | +28.24% | 85 | 1.59 | +14.41% |
| Swiss Market | Switzerland | -0.59% | -0.01 | -0.02 | +14.85% | +25.00% | 84 | 1.02 | +8.00% |
| Taiwan Weighted | Taiwan | +92.59% | 1.09 | 1.92 | +13.06% | +39.19% | 74 | 2.50 | +11.59% |
| FTSE 100 | UK | -9.38% | -0.27 | -0.35 | +19.83% | +28.05% | 82 | 0.86 | +7.44% |
| CBOE Volatility Index | US | -94.20% | -0.52 | -0.69 | +96.47% | +31.58% | 95 | 0.57 | +107.18% |
| Dow Jones Industrial Average | US | +1.57% | 0.03 | 0.05 | +18.45% | +38.37% | 86 | 1.06 | +9.14% |
| NASDAQ Composite | US | +20.81% | 0.27 | 0.39 | +28.03% | +32.93% | 82 | 1.28 | +13.89% |
| Russell 2000 | US | -22.93% | -0.36 | -0.50 | +31.18% | +32.67% | 101 | 0.82 | +14.75% |
| S&P 500 | US | +14.18% | 0.26 | 0.37 | +16.65% | +34.67% | 75 | 1.25 | +10.09% |