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 | +106.93% | Net profit | $1,069,309 | Gross profit | $1,084,350 | Gross loss | $912,995 | CAGR | +3.37% | Annualized return | +3.37% | Monthly average return | +0.25% | Median monthly return | -1.06% |
| Best month return | +3.81% | Worst month return | -9.83% | Rolling 1-month return | +9.73% | Log return CAGR | -6.89% | Compounded vs simple return difference | -113.77% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.33% | Average drawdown | +14.05% | Median drawdown | -9.73% | Drawdown duration (max) | 1199.7 days | Average drawdown duration | 55.8 days | Ulcer index | 15.03 | Pain index | 10.21 | Pain ratio | 14.20 |
| Drawdown volatility | 5.39 | Worst peak-to-trough loss | +25.33% | % time in drawdown | +89.34% | Drawdown area | 962.77 | Downside deviation | +13.90% | Semi-variance | 2.32 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.16 | Sortino ratio | 0.35 | Calmar ratio | 0.24 | Sterling ratio | 0.24 | Burke ratio | 1.35 | Return / volatility | 3.86 | Return / downside risk | 4.72 |
| Return / max drawdown | 4.09 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 71 | Win rate | +27.44% | Loss rate | +72.56% | Average win | +5.68% | Average loss | -1.68% | Win/Loss ratio | 3.46 | Expectancy | +0.37% | Profit factor | 1.38 |
| Payoff ratio | 3.46 | Best trade | +22.13% | Worst trade | -5.01% | Trade return standard deviation | +4.53% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.12% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +3.85% | Information ratio | -0.52 | 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 | +2.36% |
| Net profit | $23,600 |
| Gross profit | $806,182 |
| Gross loss | $735,896 |
| CAGR | +0.47% |
| Annualized return | +0.47% |
| Monthly average return | +0.10% |
| Median monthly return | +0.78% |
| Best month return | +1.49% |
| Worst month return | -13.44% |
| Rolling 1-month return | +2.79% |
| Log return CAGR | -37.21% |
| Compounded vs simple return difference | -19.22% |
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 | +2175.58% | 1.42 | 4.50 | +30.08% | +36.21% | 58 | 5.63 | +32.77% |
| S&P/ASX 200 | Australia | -6.46% | -0.16 | -0.21 | +19.62% | +27.78% | 72 | 0.92 | +8.44% |
| Bovespa | Brazil | +13.95% | 0.23 | 0.34 | +19.26% | +23.94% | 71 | 1.24 | +11.19% |
| TSX Composite | Canada | +16.66% | 0.35 | 0.49 | +12.66% | +31.82% | 66 | 1.35 | +8.69% |
| Euro Stoxx 50 | Europe | -7.45% | -0.16 | -0.21 | +21.18% | +21.25% | 80 | 0.94 | +9.97% |
| Euronext 100 | Europe | -4.01% | -0.09 | -0.12 | +18.85% | +23.75% | 80 | 0.97 | +8.87% |
| CAC 40 | France | -10.04% | -0.22 | -0.29 | +21.65% | +22.97% | 74 | 0.89 | +9.61% |
| DAX | Germany | +5.17% | 0.10 | 0.14 | +16.78% | +25.32% | 79 | 1.12 | +9.79% |
| Hang Seng | Hong Kong | -7.79% | -0.11 | -0.16 | +34.30% | +20.59% | 68 | 1.01 | +15.78% |
| BSE Sensex | India | +31.49% | 0.61 | 0.94 | +10.13% | +27.69% | 65 | 1.63 | +8.91% |
| Nifty 50 | India | +44.84% | 0.81 | 1.28 | +8.81% | +32.20% | 59 | 1.98 | +8.96% |
| Nikkei 225 | Japan | +6.81% | 0.10 | 0.14 | +25.93% | +28.00% | 75 | 1.14 | +13.77% |
| KOSPI | South Korea | +28.97% | 0.34 | 0.49 | +27.04% | +25.00% | 68 | 1.46 | +14.82% |
| Swiss Market | Switzerland | +1.99% | 0.05 | 0.07 | +16.65% | +24.29% | 70 | 1.07 | +7.91% |
| Taiwan Weighted | Taiwan | +60.28% | 0.75 | 1.18 | +14.67% | +32.14% | 56 | 1.89 | +12.40% |
| FTSE 100 | UK | -8.38% | -0.22 | -0.29 | +26.30% | +28.57% | 84 | 0.89 | +8.04% |
| CBOE Volatility Index | US | -95.96% | -0.69 | -0.83 | +97.09% | +21.11% | 90 | 0.49 | +99.51% |
| Dow Jones Industrial Average | US | +6.39% | 0.13 | 0.19 | +19.46% | +37.70% | 61 | 1.17 | +9.24% |
| NASDAQ Composite | US | +20.99% | 0.27 | 0.39 | +30.62% | +32.79% | 61 | 1.33 | +13.85% |
| Russell 2000 | US | -29.82% | -0.49 | -0.66 | +38.02% | +22.35% | 85 | 0.71 | +14.91% |
| S&P 500 | US | +2.36% | 0.04 | 0.06 | +22.85% | +30.77% | 65 | 1.10 | +11.08% |