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 | +100.49% | Net profit | $1,004,863 | Gross profit | $803,647 | Gross loss | $690,395 | CAGR | +2.50% | Annualized return | +2.50% | Monthly average return | +0.16% | Median monthly return | -3.65% |
| Best month return | +2.73% | Worst month return | -9.67% | Rolling 1-month return | +8.32% | Log return CAGR | -24.72% | Compounded vs simple return difference | -113.77% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.16% | Average drawdown | +15.99% | Median drawdown | -10.84% | Drawdown duration (max) | 1250.1 days | Average drawdown duration | 48.7 days | Ulcer index | 16.92 | Pain index | 11.25 | Pain ratio | 11.03 |
| Drawdown volatility | 6.24 | Worst peak-to-trough loss | +28.16% | % time in drawdown | +90.66% | Drawdown area | 1064.23 | Downside deviation | +14.36% | Semi-variance | 2.51 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.06 | Rolling 1-month Sharpe | 1.07 | Sortino ratio | 0.26 | Calmar ratio | 0.15 | Sterling ratio | 0.15 | Burke ratio | 1.01 | Return / volatility | 3.23 | Return / downside risk | 4.20 |
| Return / max drawdown | 3.15 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 47 | Win rate | +22.20% | Loss rate | +77.80% | Average win | +8.42% | Average loss | -1.74% | Win/Loss ratio | 5.04 | Expectancy | +0.76% | Profit factor | 1.67 |
| Payoff ratio | 5.04 | Best trade | +26.17% | Worst trade | -5.48% | Trade return standard deviation | +4.51% | Consecutive wins (max) | 2 | Consecutive losses (max) | 12 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.40% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.01 | Alpha vs benchmark % | +2.78% | Information ratio | -0.55 | 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 | +19.00% |
| Net profit | $190,031 |
| Gross profit | $631,325 |
| Gross loss | $416,480 |
| CAGR | +3.55% |
| Annualized return | +3.55% |
| Monthly average return | +0.34% |
| Median monthly return | +0.17% |
| Best month return | +3.34% |
| Worst month return | -6.22% |
| Rolling 1-month return | +5.75% |
| Log return CAGR | -24.52% |
| Compounded vs simple return difference | -29.56% |
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 | +2057.43% | 1.28 | 4.08 | +34.97% | +37.04% | 27 | 10.35 | +35.76% |
| S&P/ASX 200 | Australia | -18.46% | -0.49 | -0.62 | +25.92% | +15.09% | 53 | 0.59 | +8.39% |
| Bovespa | Brazil | +7.42% | 0.13 | 0.18 | +21.99% | +27.08% | 48 | 1.17 | +11.29% |
| TSX Composite | Canada | +13.08% | 0.27 | 0.37 | +18.65% | +23.26% | 43 | 1.44 | +9.13% |
| Euro Stoxx 50 | Europe | -21.29% | -0.47 | -0.59 | +25.11% | +17.19% | 64 | 0.65 | +10.49% |
| Euronext 100 | Europe | -19.91% | -0.48 | -0.60 | +25.23% | +20.00% | 60 | 0.65 | +9.31% |
| CAC 40 | France | -29.86% | -0.72 | -0.87 | +32.10% | +19.70% | 66 | 0.48 | +9.95% |
| DAX | Germany | +1.01% | 0.02 | 0.03 | +26.51% | +20.00% | 50 | 1.08 | +10.52% |
| Hang Seng | Hong Kong | -13.07% | -0.18 | -0.24 | +24.71% | +13.16% | 38 | 0.82 | +16.24% |
| BSE Sensex | India | +35.26% | 0.66 | 1.02 | +16.67% | +29.73% | 37 | 2.12 | +9.01% |
| Nifty 50 | India | +33.08% | 0.61 | 0.93 | +16.51% | +28.57% | 35 | 1.97 | +9.20% |
| Nikkei 225 | Japan | +0.16% | 0.00 | 0.00 | +32.81% | +12.50% | 56 | 1.14 | +13.98% |
| KOSPI | South Korea | +77.34% | 0.69 | 1.12 | +24.51% | +25.64% | 39 | 3.18 | +15.99% |
| Swiss Market | Switzerland | -0.07% | -0.00 | -0.00 | +15.29% | +26.19% | 42 | 1.02 | +7.97% |
| Taiwan Weighted | Taiwan | +57.33% | 0.71 | 1.11 | +25.25% | +30.00% | 40 | 2.18 | +12.57% |
| FTSE 100 | UK | -12.06% | -0.32 | -0.41 | +27.24% | +11.54% | 52 | 0.77 | +8.12% |
| CBOE Volatility Index | US | -98.49% | -1.03 | -0.95 | +98.91% | +13.43% | 67 | 0.23 | +98.38% |
| Dow Jones Industrial Average | US | +6.74% | 0.14 | 0.20 | +19.38% | +23.68% | 38 | 1.25 | +9.35% |
| NASDAQ Composite | US | +34.92% | 0.42 | 0.63 | +23.49% | +20.51% | 39 | 1.74 | +13.75% |
| Russell 2000 | US | -19.34% | -0.30 | -0.40 | +32.18% | +25.00% | 44 | 0.69 | +14.77% |
| S&P 500 | US | +19.00% | 0.33 | 0.48 | +23.97% | +26.83% | 41 | 1.52 | +10.29% |