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 | +1.96% | Net profit | $19,627 | Gross profit | $811,327 | Gross loss | $789,182 | CAGR | -0.10% | Annualized return | -0.10% | Monthly average return | +0.03% | Median monthly return | -1.14% |
| Best month return | +3.20% | Worst month return | -7.99% | Rolling 1-month return | +6.36% | Log return CAGR | -15.88% | Compounded vs simple return difference | -9.78% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.56% | Average drawdown | +12.42% | Median drawdown | -6.76% | Drawdown duration (max) | 1235.5 days | Average drawdown duration | 42.4 days | Ulcer index | 13.54 | Pain index | 7.72 | Pain ratio | 2.06 |
| Drawdown volatility | 5.59 | Worst peak-to-trough loss | +23.56% | % time in drawdown | +80.81% | Drawdown area | 646.82 | Downside deviation | +9.20% | Semi-variance | 0.75 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.03 | Rolling 1-month Sharpe | 1.18 | Sortino ratio | 0.02 | Calmar ratio | 0.04 | Sterling ratio | 0.05 | Burke ratio | 0.18 | Return / volatility | 0.21 | Return / downside risk | 0.26 |
| Return / max drawdown | 0.34 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 90 | Win rate | +27.90% | Loss rate | +72.10% | Average win | +3.30% | Average loss | -1.19% | Win/Loss ratio | 2.78 | Expectancy | +0.05% | Profit factor | 1.11 |
| Payoff ratio | 2.78 | Best trade | +14.14% | Worst trade | -5.52% | Trade return standard deviation | +3.08% | Consecutive wins (max) | 3 | Consecutive losses (max) | 12 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +9.85% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.16 | Alpha vs benchmark % | -1.68% | Information ratio | -0.75 | 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 | -16.80% |
| Net profit | -$167,976 |
| Gross profit | $736,710 |
| Gross loss | $889,414 |
| CAGR | -3.62% |
| Annualized return | -3.62% |
| Monthly average return | -0.26% |
| Median monthly return | +0.14% |
| Best month return | +2.06% |
| Worst month return | -16.18% |
| Rolling 1-month return | +9.48% |
| Log return CAGR | -50.46% |
| Compounded vs simple return difference | -7.53% |
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 | -29.07% | -0.76 | -0.90 | +35.51% | +24.21% | 95 | 0.63 | +9.33% |
| Bovespa | Brazil | -6.28% | -0.12 | -0.16 | +28.53% | +25.00% | 92 | 0.97 | +10.97% |
| TSX Composite | Canada | -2.10% | -0.05 | -0.06 | +27.32% | +28.57% | 91 | 1.01 | +9.17% |
| Euro Stoxx 50 | Europe | -9.46% | -0.20 | -0.27 | +19.11% | +21.88% | 96 | 0.93 | +10.05% |
| Euronext 100 | Europe | -9.05% | -0.20 | -0.27 | +18.85% | +26.53% | 98 | 0.91 | +9.21% |
| CAC 40 | France | +7.87% | 0.16 | 0.22 | +18.90% | +28.57% | 84 | 1.15 | +9.48% |
| DAX | Germany | -1.40% | -0.03 | -0.04 | +28.23% | +24.47% | 94 | 1.02 | +9.70% |
| Hang Seng | Hong Kong | -17.75% | -0.27 | -0.37 | +37.95% | +24.71% | 85 | 0.86 | +15.16% |
| BSE Sensex | India | +19.64% | 0.41 | 0.62 | +12.77% | +31.08% | 74 | 1.38 | +8.76% |
| Nifty 50 | India | +32.13% | 0.62 | 0.95 | +12.31% | +28.57% | 70 | 1.65 | +8.85% |
| Nikkei 225 | Japan | -22.44% | -0.40 | -0.52 | +30.12% | +28.95% | 114 | 0.83 | +13.52% |
| KOSPI | South Korea | +35.39% | 0.37 | 0.56 | +35.12% | +28.24% | 85 | 1.50 | +16.38% |
| Swiss Market | Switzerland | +6.20% | 0.15 | 0.22 | +21.22% | +29.87% | 77 | 1.15 | +7.89% |
| Taiwan Weighted | Taiwan | +98.43% | 1.08 | 1.88 | +19.02% | +45.21% | 73 | 2.65 | +12.29% |
| FTSE 100 | UK | +8.35% | 0.20 | 0.28 | +13.08% | +33.71% | 89 | 1.21 | +7.96% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -18.87% | -0.45 | -0.58 | +26.12% | +24.44% | 90 | 0.74 | +9.42% |
| NASDAQ Composite | US | +6.58% | 0.09 | 0.13 | +26.12% | +27.66% | 94 | 1.13 | +13.90% |
| Russell 2000 | US | -40.17% | -0.74 | -0.94 | +47.41% | +21.43% | 112 | 0.59 | +14.64% |
| S&P 500 | US | -16.80% | -0.37 | -0.46 | +37.18% | +27.00% | 100 | 0.83 | +10.11% |