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 | +69.37% | Net profit | $693,680 | Gross profit | $620,672 | Gross loss | $362,828 | CAGR | +4.75% | Annualized return | +4.75% | Monthly average return | +0.41% | Median monthly return | -1.01% |
| Best month return | +5.52% | Worst month return | -11.19% | Rolling 1-month return | +11.51% | Log return CAGR | -12.50% | Compounded vs simple return difference | -77.80% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.60% | Average drawdown | +12.66% | Median drawdown | -10.29% | Drawdown duration (max) | 1071.0 days | Average drawdown duration | 43.8 days | Ulcer index | 13.61 | Pain index | 10.57 | Pain ratio | 9.88 |
| Drawdown volatility | 6.00 | Worst peak-to-trough loss | +26.60% | % time in drawdown | +88.21% | Drawdown area | 988.18 | Downside deviation | +14.95% | Semi-variance | 2.75 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.30 | Rolling 1-month Sharpe | 1.23 | Sortino ratio | 0.53 | Calmar ratio | 0.27 | Sterling ratio | 0.27 | Burke ratio | 0.91 | Return / volatility | 3.36 | Return / downside risk | 3.65 |
| Return / max drawdown | 2.84 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 14 | Win rate | +49.44% | Loss rate | +50.56% | Average win | +8.65% | Average loss | -4.38% | Win/Loss ratio | 2.58 | Expectancy | +2.09% | Profit factor | 4.32 |
| Payoff ratio | 2.58 | Best trade | +22.91% | Worst trade | -10.06% | Trade return standard deviation | +4.40% | Consecutive wins (max) | 3 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.93% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +6.07% | Information ratio | -0.41 | Treynor ratio | 0.03 | ||||||||
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 | +8.54% |
| Net profit | $85,362 |
| Gross profit | $410,218 |
| Gross loss | $294,781 |
| CAGR | +1.66% |
| Annualized return | +1.66% |
| Monthly average return | +0.19% |
| Median monthly return | -0.70% |
| Best month return | +5.10% |
| Worst month return | -9.92% |
| Rolling 1-month return | +13.77% |
| Log return CAGR | -21.13% |
| Compounded vs simple return difference | -17.52% |
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 | +1151.81% | 1.31 | 3.60 | +29.17% | +76.92% | 13 | 51.36 | +30.40% |
| S&P/ASX 200 | Australia | -6.90% | -0.15 | -0.20 | +16.48% | +46.15% | 13 | 0.81 | +9.27% |
| Bovespa | Brazil | +16.73% | 0.25 | 0.36 | +19.55% | +50.00% | 16 | 1.68 | +12.39% |
| TSX Composite | Canada | +24.65% | 0.50 | 0.72 | +18.41% | +52.94% | 17 | 2.06 | +8.67% |
| Euro Stoxx 50 | Europe | +25.22% | 0.36 | 0.53 | +22.93% | +66.67% | 12 | 2.39 | +12.17% |
| Euronext 100 | Europe | +25.16% | 0.41 | 0.58 | +12.55% | +50.00% | 14 | 2.26 | +10.63% |
| CAC 40 | France | +8.77% | 0.15 | 0.21 | +20.78% | +57.14% | 14 | 1.47 | +11.05% |
| DAX | Germany | -9.31% | -0.18 | -0.23 | +34.72% | +37.50% | 16 | 0.84 | +11.01% |
| Hang Seng | Hong Kong | -24.49% | -0.36 | -0.50 | +41.06% | +26.67% | 15 | 0.73 | +16.16% |
| BSE Sensex | India | +50.40% | 0.75 | 1.18 | +20.04% | +58.33% | 12 | 3.30 | +10.66% |
| Nifty 50 | India | +42.38% | 0.64 | 0.97 | +17.20% | +50.00% | 14 | 2.94 | +10.80% |
| Nikkei 225 | Japan | +71.45% | 0.65 | 1.08 | +17.42% | +57.14% | 14 | 3.78 | +15.99% |
| KOSPI | South Korea | +51.72% | 0.56 | 0.88 | +23.00% | +50.00% | 12 | 3.21 | +14.52% |
| Swiss Market | Switzerland | +14.60% | 0.28 | 0.39 | +17.28% | +53.33% | 15 | 1.85 | +9.49% |
| Taiwan Weighted | Taiwan | +50.16% | 0.64 | 0.96 | +22.52% | +50.00% | 16 | 4.00 | +12.69% |
| FTSE 100 | UK | +14.87% | 0.28 | 0.39 | +18.07% | +50.00% | 14 | 1.92 | +9.62% |
| CBOE Volatility Index | US | -90.09% | -0.45 | -0.66 | +92.63% | +17.65% | 17 | 0.08 | +99.57% |
| Dow Jones Industrial Average | US | +20.66% | 0.37 | 0.55 | +26.42% | +46.15% | 13 | 2.29 | +9.98% |
| NASDAQ Composite | US | +7.76% | 0.11 | 0.15 | +37.05% | +42.86% | 14 | 1.27 | +14.07% |
| Russell 2000 | US | +2.64% | 0.03 | 0.05 | +29.80% | +53.33% | 15 | 1.17 | +15.34% |
| S&P 500 | US | +8.54% | 0.15 | 0.21 | +21.53% | +45.45% | 11 | 1.39 | +10.99% |