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 | +36.10% | Net profit | $360,984 | Gross profit | $1,485,055 | Gross loss | $1,399,109 | CAGR | +0.79% | Annualized return | +0.79% | Monthly average return | +0.14% | Median monthly return | -1.47% |
| Best month return | +4.42% | Worst month return | -8.04% | Rolling 1-month return | +11.44% | Log return CAGR | -4.78% | Compounded vs simple return difference | -42.09% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.89% | Average drawdown | +16.46% | Median drawdown | -7.78% | Drawdown duration (max) | 1344.4 days | Average drawdown duration | 74.2 days | Ulcer index | 17.94 | Pain index | 8.50 | Pain ratio | 7.12 |
| Drawdown volatility | 4.83 | Worst peak-to-trough loss | +30.89% | % time in drawdown | +92.88% | Drawdown area | 810.14 | Downside deviation | +13.75% | Semi-variance | 1.82 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.15 | Rolling 1-month Sharpe | 0.95 | Sortino ratio | -0.08 | Calmar ratio | 0.03 | Sterling ratio | 0.03 | Burke ratio | 0.63 | Return / volatility | 0.73 | Return / downside risk | 0.98 |
| Return / max drawdown | 0.81 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 149 | Win rate | +35.34% | Loss rate | +64.66% | Average win | +2.82% | Average loss | -1.47% | Win/Loss ratio | 1.82 | Expectancy | +0.07% | Profit factor | 1.02 |
| Payoff ratio | 1.82 | Best trade | +14.59% | Worst trade | -5.92% | Trade return standard deviation | +4.28% | Consecutive wins (max) | 4 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.99% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.04 | Alpha vs benchmark % | +2.28% | Information ratio | -0.73 | Treynor ratio | 0.00 | ||||||||
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 | -21.34% |
| Net profit | -$213,406 |
| Gross profit | $993,627 |
| Gross loss | $1,204,832 |
| CAGR | -4.70% |
| Annualized return | -4.70% |
| Monthly average return | -0.36% |
| Median monthly return | -0.21% |
| Best month return | +1.03% |
| Worst month return | -7.37% |
| Rolling 1-month return | +5.09% |
| Log return CAGR | -14.61% |
| Compounded vs simple return difference | +15.26% |
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 | +943.25% | 1.23 | 3.42 | +49.43% | +45.59% | 136 | 2.36 | +30.46% |
| S&P/ASX 200 | Australia | -39.40% | -1.28 | -1.51 | +39.70% | +29.48% | 173 | 0.57 | +8.16% |
| Bovespa | Brazil | -5.00% | -0.09 | -0.12 | +28.90% | +29.93% | 147 | 0.98 | +11.69% |
| TSX Composite | Canada | +1.59% | 0.04 | 0.05 | +14.95% | +33.56% | 149 | 1.04 | +8.76% |
| Euro Stoxx 50 | Europe | -24.98% | -0.54 | -0.71 | +36.79% | +32.68% | 153 | 0.79 | +10.95% |
| Euronext 100 | Europe | -10.58% | -0.24 | -0.34 | +25.29% | +35.48% | 155 | 0.91 | +9.17% |
| CAC 40 | France | -14.40% | -0.31 | -0.43 | +23.23% | +31.79% | 151 | 0.87 | +9.93% |
| DAX | Germany | -26.25% | -0.57 | -0.74 | +32.17% | +31.06% | 161 | 0.80 | +10.82% |
| Hang Seng | Hong Kong | -27.11% | -0.40 | -0.55 | +39.47% | +32.64% | 144 | 0.85 | +16.59% |
| BSE Sensex | India | +11.65% | 0.25 | 0.36 | +10.90% | +36.62% | 142 | 1.15 | +9.01% |
| Nifty 50 | India | +15.36% | 0.32 | 0.46 | +10.39% | +39.01% | 141 | 1.19 | +9.03% |
| Nikkei 225 | Japan | +35.76% | 0.46 | 0.72 | +16.37% | +41.67% | 132 | 1.35 | +13.26% |
| KOSPI | South Korea | +11.01% | 0.16 | 0.23 | +33.47% | +34.72% | 144 | 1.12 | +13.27% |
| Swiss Market | Switzerland | -9.23% | -0.23 | -0.33 | +25.31% | +32.41% | 145 | 0.92 | +8.39% |
| Taiwan Weighted | Taiwan | +20.93% | 0.34 | 0.51 | +24.08% | +40.58% | 138 | 1.22 | +11.19% |
| FTSE 100 | UK | -1.80% | -0.05 | -0.06 | +21.42% | +41.26% | 143 | 1.00 | +7.84% |
| CBOE Volatility Index | US | -15.58% | -0.03 | -0.06 | +82.96% | +34.01% | 147 | 1.12 | +97.20% |
| Dow Jones Industrial Average | US | -22.19% | -0.54 | -0.69 | +24.38% | +33.33% | 156 | 0.80 | +9.55% |
| NASDAQ Composite | US | -18.06% | -0.28 | -0.36 | +32.13% | +38.96% | 154 | 0.91 | +14.52% |
| Russell 2000 | US | -45.57% | -0.85 | -1.03 | +46.34% | +31.65% | 158 | 0.66 | +15.16% |
| S&P 500 | US | -21.34% | -0.46 | -0.57 | +30.93% | +35.76% | 151 | 0.82 | +10.80% |