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 | +59.25% | Net profit | $592,539 | Gross profit | $905,513 | Gross loss | $829,074 | CAGR | +1.63% | Annualized return | +1.63% | Monthly average return | +0.12% | Median monthly return | -1.39% |
| Best month return | +3.59% | Worst month return | -9.15% | Rolling 1-month return | +12.34% | Log return CAGR | -7.78% | Compounded vs simple return difference | -65.54% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.78% | Average drawdown | +12.73% | Median drawdown | -9.91% | Drawdown duration (max) | 1115.3 days | Average drawdown duration | 55.5 days | Ulcer index | 13.88 | Pain index | 10.32 | Pain ratio | 7.33 |
| Drawdown volatility | 5.64 | Worst peak-to-trough loss | +25.78% | % time in drawdown | +88.59% | Drawdown area | 960.40 | Downside deviation | +15.14% | Semi-variance | 3.29 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.06 | Rolling 1-month Sharpe | 1.30 | Sortino ratio | 0.20 | Calmar ratio | 0.14 | Sterling ratio | 0.14 | Burke ratio | 0.67 | Return / volatility | 2.17 | Return / downside risk | 2.65 |
| Return / max drawdown | 2.30 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 70 | Win rate | +36.05% | Loss rate | +63.95% | Average win | +3.61% | Average loss | -1.91% | Win/Loss ratio | 2.10 | Expectancy | +0.05% | Profit factor | 1.25 |
| Payoff ratio | 2.10 | Best trade | +15.81% | Worst trade | -7.46% | Trade return standard deviation | +4.18% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.94% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.08 | Alpha vs benchmark % | +1.02% | Information ratio | -0.59 | Treynor ratio | 0.01 | ||||||||
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 | +8.63% |
| Net profit | $86,297 |
| Gross profit | $800,060 |
| Gross loss | $681,530 |
| CAGR | +1.67% |
| Annualized return | +1.67% |
| Monthly average return | +0.19% |
| Median monthly return | +0.77% |
| Best month return | +2.36% |
| Worst month return | -14.15% |
| Rolling 1-month return | +4.81% |
| Log return CAGR | -10.91% |
| Compounded vs simple return difference | -13.11% |
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 | +1274.54% | 1.29 | 3.68 | +29.25% | +46.27% | 67 | 4.73 | +31.68% |
| S&P/ASX 200 | Australia | -14.75% | -0.40 | -0.51 | +19.88% | +38.36% | 73 | 0.73 | +8.11% |
| Bovespa | Brazil | +12.50% | 0.21 | 0.30 | +21.29% | +34.85% | 66 | 1.19 | +11.24% |
| TSX Composite | Canada | +28.07% | 0.58 | 0.84 | +11.07% | +45.31% | 64 | 1.63 | +8.34% |
| Euro Stoxx 50 | Europe | +11.61% | 0.24 | 0.34 | +14.18% | +27.78% | 72 | 1.26 | +9.10% |
| Euronext 100 | Europe | +8.89% | 0.18 | 0.26 | +12.45% | +29.58% | 71 | 1.19 | +8.98% |
| CAC 40 | France | -13.45% | -0.29 | -0.37 | +22.87% | +32.05% | 78 | 0.86 | +9.99% |
| DAX | Germany | -6.08% | -0.13 | -0.18 | +19.70% | +29.49% | 78 | 0.97 | +9.56% |
| Hang Seng | Hong Kong | -16.08% | -0.22 | -0.31 | +37.97% | +30.99% | 71 | 0.93 | +16.75% |
| BSE Sensex | India | -0.35% | -0.01 | -0.01 | +23.37% | +36.62% | 71 | 1.02 | +8.96% |
| Nifty 50 | India | -1.14% | -0.03 | -0.04 | +23.53% | +32.05% | 78 | 1.01 | +8.47% |
| Nikkei 225 | Japan | +0.76% | 0.01 | 0.02 | +25.31% | +38.89% | 72 | 1.07 | +12.64% |
| KOSPI | South Korea | +34.70% | 0.43 | 0.62 | +24.17% | +43.28% | 67 | 1.67 | +13.85% |
| Swiss Market | Switzerland | +16.54% | 0.36 | 0.52 | +15.14% | +39.29% | 56 | 1.37 | +8.35% |
| Taiwan Weighted | Taiwan | +22.99% | 0.36 | 0.54 | +17.63% | +37.70% | 61 | 1.43 | +11.72% |
| FTSE 100 | UK | -9.98% | -0.28 | -0.36 | +26.06% | +36.36% | 77 | 0.83 | +7.67% |
| CBOE Volatility Index | US | -96.23% | -1.01 | -0.96 | +97.49% | +22.00% | 50 | 0.19 | +78.46% |
| Dow Jones Industrial Average | US | -2.13% | -0.05 | -0.06 | +19.11% | +36.51% | 63 | 1.02 | +9.56% |
| NASDAQ Composite | US | -2.90% | -0.04 | -0.05 | +34.02% | +42.47% | 73 | 1.04 | +14.41% |
| Russell 2000 | US | -11.81% | -0.17 | -0.24 | +26.69% | +35.56% | 90 | 0.91 | +14.72% |
| S&P 500 | US | +8.63% | 0.15 | 0.21 | +20.17% | +41.67% | 72 | 1.17 | +11.12% |