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 | +80.89% | Net profit | $808,922 | Gross profit | $1,138,049 | Gross loss | $986,882 | CAGR | +2.81% | Annualized return | +2.81% | Monthly average return | +0.23% | Median monthly return | -2.00% |
| Best month return | +4.87% | Worst month return | -9.55% | Rolling 1-month return | +9.87% | Log return CAGR | -6.42% | Compounded vs simple return difference | -88.58% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.92% | Average drawdown | +13.27% | Median drawdown | -8.66% | Drawdown duration (max) | 1159.7 days | Average drawdown duration | 43.4 days | Ulcer index | 14.57 | Pain index | 9.36 | Pain ratio | 9.98 |
| Drawdown volatility | 5.34 | Worst peak-to-trough loss | +25.92% | % time in drawdown | +90.33% | Drawdown area | 875.20 | Downside deviation | +13.96% | Semi-variance | 2.80 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 0.98 | Sortino ratio | 0.35 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 0.89 | Return / volatility | 3.08 | Return / downside risk | 3.73 |
| Return / max drawdown | 2.57 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 59 | Win rate | +41.59% | Loss rate | +58.41% | Average win | +4.92% | Average loss | -2.72% | Win/Loss ratio | 1.70 | Expectancy | +0.31% | Profit factor | 1.28 |
| Payoff ratio | 1.70 | Best trade | +18.33% | Worst trade | -6.91% | Trade return standard deviation | +4.59% | Consecutive wins (max) | 4 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.28% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +3.44% | Information ratio | -0.53 | 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 | -4.95% |
| Net profit | -$49,518 |
| Gross profit | $729,168 |
| Gross loss | $755,171 |
| CAGR | -1.01% |
| Annualized return | -1.01% |
| Monthly average return | -0.04% |
| Median monthly return | -0.58% |
| Best month return | +2.16% |
| Worst month return | -13.36% |
| Rolling 1-month return | +2.33% |
| Log return CAGR | -26.24% |
| Compounded vs simple return difference | -6.43% |
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 | +1623.17% | 1.30 | 4.09 | +36.18% | +56.60% | 53 | 4.09 | +33.28% |
| S&P/ASX 200 | Australia | +5.95% | 0.13 | 0.18 | +15.04% | +46.30% | 54 | 1.15 | +8.63% |
| Bovespa | Brazil | -5.89% | -0.11 | -0.15 | +34.20% | +36.51% | 63 | 0.99 | +11.12% |
| TSX Composite | Canada | +16.35% | 0.37 | 0.53 | +14.45% | +49.21% | 63 | 1.30 | +8.15% |
| Euro Stoxx 50 | Europe | -3.32% | -0.06 | -0.09 | +21.26% | +37.10% | 62 | 1.01 | +10.48% |
| Euronext 100 | Europe | -6.37% | -0.14 | -0.18 | +17.88% | +35.00% | 60 | 0.96 | +9.61% |
| CAC 40 | France | +3.71% | 0.07 | 0.10 | +17.12% | +39.34% | 61 | 1.09 | +10.13% |
| DAX | Germany | +17.84% | 0.30 | 0.45 | +18.13% | +41.27% | 63 | 1.26 | +10.49% |
| Hang Seng | Hong Kong | -27.56% | -0.41 | -0.57 | +46.77% | +35.09% | 57 | 0.78 | +16.44% |
| BSE Sensex | India | +1.07% | 0.02 | 0.03 | +14.10% | +42.62% | 61 | 1.06 | +8.99% |
| Nifty 50 | India | +3.64% | 0.08 | 0.11 | +12.43% | +42.62% | 61 | 1.10 | +9.21% |
| Nikkei 225 | Japan | +29.66% | 0.38 | 0.58 | +18.67% | +49.02% | 51 | 1.42 | +13.82% |
| KOSPI | South Korea | +48.89% | 0.59 | 0.92 | +21.91% | +41.82% | 55 | 1.58 | +13.24% |
| Swiss Market | Switzerland | +17.70% | 0.40 | 0.61 | +22.77% | +40.68% | 59 | 1.31 | +7.96% |
| Taiwan Weighted | Taiwan | +58.79% | 0.76 | 1.23 | +25.40% | +50.00% | 54 | 1.77 | +12.04% |
| FTSE 100 | UK | +20.84% | 0.47 | 0.69 | +11.77% | +46.43% | 56 | 1.42 | +7.93% |
| CBOE Volatility Index | US | -96.89% | -0.76 | -0.86 | +97.44% | +20.97% | 62 | 0.50 | +100.68% |
| Dow Jones Industrial Average | US | -3.92% | -0.08 | -0.11 | +17.90% | +38.71% | 62 | 0.97 | +9.65% |
| NASDAQ Composite | US | -5.79% | -0.08 | -0.11 | +32.38% | +40.91% | 66 | 0.99 | +14.29% |
| Russell 2000 | US | +5.81% | 0.07 | 0.11 | +23.21% | +38.60% | 57 | 1.13 | +15.30% |
| S&P 500 | US | -4.95% | -0.10 | -0.13 | +25.43% | +44.62% | 65 | 0.97 | +10.52% |