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 | +32.34% | Net profit | $323,360 | Gross profit | $566,365 | Gross loss | $459,392 | CAGR | +1.90% | Annualized return | +1.90% | Monthly average return | +0.15% | Median monthly return | -0.29% |
| Best month return | +10.53% | Worst month return | -7.37% | Rolling 1-month return | +19.48% | Log return CAGR | +50.54% | Compounded vs simple return difference | -25.66% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.34% | Average drawdown | +9.83% | Median drawdown | -8.21% | Drawdown duration (max) | 872.6 days | Average drawdown duration | 56.5 days | Ulcer index | 10.63 | Pain index | 8.28 | Pain ratio | 9.64 |
| Drawdown volatility | 3.33 | Worst peak-to-trough loss | +18.34% | % time in drawdown | +86.72% | Drawdown area | 1113.24 | Downside deviation | +15.26% | Semi-variance | 3.00 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.21 | Rolling 1-month Sharpe | 1.68 | Sortino ratio | 0.42 | Calmar ratio | 0.26 | Sterling ratio | 0.26 | Burke ratio | 0.89 | Return / volatility | 2.19 | Return / downside risk | 2.03 |
| Return / max drawdown | 2.01 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 30 | Win rate | +42.91% | Loss rate | +57.09% | Average win | +4.49% | Average loss | -2.81% | Win/Loss ratio | 1.93 | Expectancy | +0.23% | Profit factor | 1.63 |
| Payoff ratio | 1.93 | Best trade | +13.98% | Worst trade | -7.26% | Trade return standard deviation | +3.24% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.65% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.02 | Alpha vs benchmark % | +1.88% | Information ratio | -0.55 | 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 | +11.62% |
| Net profit | $116,199 |
| Gross profit | $345,146 |
| Gross loss | $225,911 |
| CAGR | +2.23% |
| Annualized return | +2.23% |
| Monthly average return | +0.20% |
| Median monthly return | -0.13% |
| Best month return | +1.29% |
| Worst month return | -2.66% |
| Rolling 1-month return | +5.53% |
| Log return CAGR | -3.17% |
| Compounded vs simple return difference | -12.89% |
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 | +546.49% | 1.16 | 2.72 | +28.79% | +53.33% | 30 | 4.56 | +27.16% |
| S&P/ASX 200 | Australia | -6.54% | -0.22 | -0.29 | +11.76% | +38.89% | 36 | 0.78 | +6.08% |
| Bovespa | Brazil | +19.92% | 0.48 | 0.73 | +11.06% | +50.00% | 24 | 1.87 | +7.55% |
| TSX Composite | Canada | +8.41% | 0.25 | 0.35 | +11.51% | +46.67% | 30 | 1.39 | +6.43% |
| Euro Stoxx 50 | Europe | +8.65% | 0.23 | 0.33 | +10.97% | +40.00% | 30 | 1.32 | +7.27% |
| Euronext 100 | Europe | +8.27% | 0.23 | 0.33 | +11.18% | +37.50% | 32 | 1.29 | +6.69% |
| CAC 40 | France | +11.62% | 0.32 | 0.46 | +13.41% | +42.86% | 28 | 1.40 | +6.70% |
| DAX | Germany | +31.84% | 0.72 | 1.15 | +8.72% | +44.83% | 29 | 2.30 | +7.36% |
| Hang Seng | Hong Kong | -12.44% | -0.24 | -0.34 | +24.03% | +32.00% | 25 | 0.77 | +11.50% |
| BSE Sensex | India | +0.96% | 0.03 | 0.04 | +18.61% | +37.93% | 29 | 1.06 | +6.90% |
| Nifty 50 | India | +7.69% | 0.22 | 0.30 | +17.58% | +39.29% | 28 | 1.29 | +6.95% |
| Nikkei 225 | Japan | +10.93% | 0.21 | 0.31 | +15.48% | +41.94% | 31 | 1.33 | +10.06% |
| KOSPI | South Korea | +50.65% | 0.62 | 0.95 | +19.24% | +51.85% | 27 | 2.69 | +12.98% |
| Swiss Market | Switzerland | +29.69% | 0.91 | 1.41 | +4.76% | +60.87% | 23 | 4.01 | +5.58% |
| Taiwan Weighted | Taiwan | +50.36% | 0.80 | 1.32 | +9.26% | +53.13% | 32 | 2.54 | +10.11% |
| FTSE 100 | UK | -5.36% | -0.20 | -0.27 | +13.83% | +36.36% | 33 | 0.80 | +5.41% |
| CBOE Volatility Index | US | -95.94% | -1.21 | -1.05 | +95.94% | +27.27% | 22 | 0.20 | +66.34% |
| Dow Jones Industrial Average | US | -5.81% | -0.19 | -0.27 | +10.65% | +41.18% | 34 | 0.82 | +6.25% |
| NASDAQ Composite | US | +21.71% | 0.39 | 0.59 | +14.87% | +38.71% | 31 | 1.62 | +9.89% |
| Russell 2000 | US | -13.67% | -0.29 | -0.39 | +24.32% | +43.33% | 30 | 0.70 | +10.27% |
| S&P 500 | US | +11.62% | 0.30 | 0.45 | +9.23% | +43.24% | 37 | 1.53 | +7.20% |