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 | +95.22% | Net profit | $952,224 | Gross profit | $738,573 | Gross loss | $530,626 | CAGR | +4.00% | Annualized return | +4.00% | Monthly average return | +0.29% | Median monthly return | -0.07% |
| Best month return | +5.91% | Worst month return | -10.46% | Rolling 1-month return | +10.08% | Log return CAGR | -6.59% | Compounded vs simple return difference | -101.57% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.88% | Average drawdown | +14.52% | Median drawdown | -8.66% | Drawdown duration (max) | 1294.3 days | Average drawdown duration | 33.7 days | Ulcer index | 15.71 | Pain index | 9.31 | Pain ratio | 12.44 |
| Drawdown volatility | 5.38 | Worst peak-to-trough loss | +25.88% | % time in drawdown | +84.77% | Drawdown area | 856.25 | Downside deviation | +14.50% | Semi-variance | 3.14 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.22 | Rolling 1-month Sharpe | 1.26 | Sortino ratio | 0.47 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.10 | Return / volatility | 3.76 | Return / downside risk | 4.64 |
| Return / max drawdown | 3.35 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 22 | Win rate | +33.03% | Loss rate | +66.97% | Average win | +10.75% | Average loss | -3.10% | Win/Loss ratio | 3.89 | Expectancy | +1.53% | Profit factor | 2.13 |
| Payoff ratio | 3.89 | Best trade | +28.77% | Worst trade | -7.31% | Trade return standard deviation | +4.47% | Consecutive wins (max) | 2 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.71% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.02 | Alpha vs benchmark % | +4.46% | Information ratio | -0.45 | 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 | +46.86% |
| Net profit | $468,585 |
| Gross profit | $598,875 |
| Gross loss | $179,310 |
| CAGR | +8.02% |
| Annualized return | +8.02% |
| Monthly average return | +0.69% |
| Median monthly return | +2.87% |
| Best month return | +5.75% |
| Worst month return | +0.38% |
| Rolling 1-month return | +7.64% |
| Log return CAGR | +12.21% |
| Compounded vs simple return difference | -42.18% |
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 | +1748.34% | 1.29 | 3.80 | +34.04% | +50.00% | 18 | 9.69 | +34.28% |
| S&P/ASX 200 | Australia | +0.26% | 0.01 | 0.01 | +18.35% | +25.00% | 24 | 1.05 | +8.66% |
| Bovespa | Brazil | +27.39% | 0.42 | 0.63 | +17.36% | +39.13% | 23 | 1.79 | +11.41% |
| TSX Composite | Canada | +22.51% | 0.43 | 0.61 | +21.11% | +33.33% | 21 | 1.84 | +9.23% |
| Euro Stoxx 50 | Europe | -14.46% | -0.28 | -0.36 | +24.88% | +24.14% | 29 | 0.75 | +11.14% |
| Euronext 100 | Europe | -6.48% | -0.13 | -0.17 | +24.89% | +33.33% | 24 | 0.90 | +9.98% |
| CAC 40 | France | -16.08% | -0.34 | -0.42 | +26.63% | +37.93% | 29 | 0.66 | +10.34% |
| DAX | Germany | +5.45% | 0.09 | 0.12 | +23.71% | +34.78% | 23 | 1.22 | +11.32% |
| Hang Seng | Hong Kong | -19.76% | -0.28 | -0.37 | +27.99% | +21.74% | 23 | 0.63 | +16.33% |
| BSE Sensex | India | +33.88% | 0.62 | 0.95 | +13.78% | +50.00% | 18 | 2.32 | +9.36% |
| Nifty 50 | India | +38.00% | 0.65 | 0.98 | +13.81% | +42.11% | 19 | 2.30 | +9.82% |
| Nikkei 225 | Japan | +15.68% | 0.21 | 0.30 | +31.21% | +13.04% | 23 | 1.51 | +14.29% |
| KOSPI | South Korea | +96.46% | 0.81 | 1.34 | +20.55% | +35.29% | 17 | 6.63 | +16.03% |
| Swiss Market | Switzerland | +2.56% | 0.06 | 0.08 | +16.25% | +33.33% | 21 | 1.15 | +8.17% |
| Taiwan Weighted | Taiwan | +66.99% | 0.76 | 1.22 | +20.45% | +42.86% | 21 | 3.07 | +13.15% |
| FTSE 100 | UK | -2.63% | -0.06 | -0.08 | +25.74% | +20.83% | 24 | 1.00 | +8.77% |
| CBOE Volatility Index | US | -98.33% | -0.97 | -0.91 | +98.97% | +12.90% | 31 | 0.10 | +99.88% |
| Dow Jones Industrial Average | US | +12.63% | 0.25 | 0.36 | +12.73% | +42.11% | 19 | 1.64 | +9.43% |
| NASDAQ Composite | US | +46.96% | 0.54 | 0.84 | +25.82% | +36.84% | 19 | 2.27 | +13.70% |
| Russell 2000 | US | -6.54% | -0.09 | -0.13 | +29.68% | +23.81% | 21 | 0.93 | +14.88% |
| S&P 500 | US | +46.86% | 0.69 | 1.09 | +15.61% | +41.18% | 17 | 3.34 | +10.80% |