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 | +144.44% | Net profit | $1,444,389 | Gross profit | $1,065,084 | Gross loss | $926,040 | CAGR | +3.61% | Annualized return | +3.61% | Monthly average return | +0.22% | Median monthly return | -1.98% |
| Best month return | +5.09% | Worst month return | -9.09% | Rolling 1-month return | +11.08% | Log return CAGR | -3.73% | Compounded vs simple return difference | -149.39% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.20% | Average drawdown | +13.71% | Median drawdown | -9.60% | Drawdown duration (max) | 1122.9 days | Average drawdown duration | 60.1 days | Ulcer index | 14.60 | Pain index | 9.62 | Pain ratio | 18.42 |
| Drawdown volatility | 4.97 | Worst peak-to-trough loss | +24.20% | % time in drawdown | +89.86% | Drawdown area | 911.81 | Downside deviation | +13.76% | Semi-variance | 2.78 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.19 | Sortino ratio | 0.41 | Calmar ratio | 0.33 | Sterling ratio | 0.33 | Burke ratio | 1.76 | Return / volatility | 5.00 | Return / downside risk | 6.42 |
| Return / max drawdown | 6.74 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 72 | Win rate | +27.02% | Loss rate | +72.98% | Average win | +5.57% | Average loss | -1.62% | Win/Loss ratio | 3.56 | Expectancy | +0.35% | Profit factor | 1.42 |
| Payoff ratio | 3.56 | Best trade | +19.26% | Worst trade | -4.88% | Trade return standard deviation | +4.48% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.24% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +4.08% | Information ratio | -0.51 | 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 | +4.38% |
| Net profit | $43,823 |
| Gross profit | $705,669 |
| Gross loss | $632,130 |
| CAGR | +0.86% |
| Annualized return | +0.86% |
| Monthly average return | +0.12% |
| Median monthly return | -0.94% |
| Best month return | +3.64% |
| Worst month return | -8.38% |
| Rolling 1-month return | +6.51% |
| Log return CAGR | -12.72% |
| Compounded vs simple return difference | -9.64% |
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 | +2944.55% | 1.46 | 5.27 | +23.81% | +36.67% | 60 | 5.94 | +33.71% |
| S&P/ASX 200 | Australia | -12.27% | -0.32 | -0.42 | +21.21% | +26.25% | 80 | 0.81 | +8.23% |
| Bovespa | Brazil | +6.68% | 0.12 | 0.16 | +26.18% | +25.33% | 75 | 1.16 | +11.19% |
| TSX Composite | Canada | +25.05% | 0.51 | 0.74 | +9.88% | +34.43% | 61 | 1.54 | +8.53% |
| Euro Stoxx 50 | Europe | -17.34% | -0.40 | -0.52 | +24.82% | +18.39% | 87 | 0.82 | +9.68% |
| Euronext 100 | Europe | -0.29% | -0.01 | -0.01 | +15.80% | +20.51% | 78 | 1.03 | +8.55% |
| CAC 40 | France | -12.68% | -0.29 | -0.37 | +19.89% | +20.78% | 77 | 0.85 | +9.42% |
| DAX | Germany | +8.70% | 0.17 | 0.25 | +16.56% | +24.39% | 82 | 1.17 | +9.57% |
| Hang Seng | Hong Kong | -22.27% | -0.33 | -0.47 | +35.32% | +17.72% | 79 | 0.85 | +15.98% |
| BSE Sensex | India | +45.47% | 0.83 | 1.32 | +8.29% | +32.76% | 58 | 2.02 | +8.85% |
| Nifty 50 | India | +41.05% | 0.76 | 1.18 | +8.33% | +35.59% | 59 | 1.95 | +8.92% |
| Nikkei 225 | Japan | +9.71% | 0.14 | 0.21 | +23.66% | +27.40% | 73 | 1.17 | +13.42% |
| KOSPI | South Korea | +29.36% | 0.35 | 0.51 | +25.54% | +25.76% | 66 | 1.48 | +14.48% |
| Swiss Market | Switzerland | +9.94% | 0.24 | 0.34 | +13.16% | +24.29% | 70 | 1.22 | +7.90% |
| Taiwan Weighted | Taiwan | +58.63% | 0.77 | 1.22 | +15.45% | +33.33% | 60 | 1.84 | +11.88% |
| FTSE 100 | UK | -6.69% | -0.18 | -0.24 | +24.61% | +24.14% | 87 | 0.91 | +7.57% |
| CBOE Volatility Index | US | -98.34% | -0.89 | -0.90 | +98.87% | +17.53% | 97 | 0.34 | +105.83% |
| Dow Jones Industrial Average | US | +6.17% | 0.13 | 0.19 | +15.75% | +35.94% | 64 | 1.15 | +8.99% |
| NASDAQ Composite | US | +43.11% | 0.52 | 0.80 | +20.74% | +31.67% | 60 | 1.66 | +13.33% |
| Russell 2000 | US | -29.70% | -0.50 | -0.66 | +39.15% | +22.89% | 83 | 0.71 | +14.68% |
| S&P 500 | US | +4.38% | 0.08 | 0.11 | +21.09% | +31.75% | 63 | 1.12 | +10.43% |