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 | +50.18% | Net profit | $501,826 | Gross profit | $947,952 | Gross loss | $689,275 | CAGR | +4.30% | Annualized return | +4.30% | Monthly average return | +0.45% | Median monthly return | +2.03% |
| Best month return | +11.68% | Worst month return | -6.87% | Rolling 1-month return | +17.71% | Log return CAGR | +66.34% | Compounded vs simple return difference | -40.44% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.56% | Average drawdown | +8.34% | Median drawdown | -5.97% | Drawdown duration (max) | 1036.5 days | Average drawdown duration | 44.4 days | Ulcer index | 9.57 | Pain index | 6.38 | Pain ratio | 5.08 |
| Drawdown volatility | 4.07 | Worst peak-to-trough loss | +22.56% | % time in drawdown | +89.91% | Drawdown area | 577.58 | Downside deviation | +15.84% | Semi-variance | 2.53 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.12 | Rolling 1-month Sharpe | 1.19 | Sortino ratio | 0.23 | Calmar ratio | 0.15 | Sterling ratio | 0.15 | Burke ratio | 0.47 | Return / volatility | 1.15 | Return / downside risk | 1.29 |
| Return / max drawdown | 1.36 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 69 | Win rate | +51.62% | Loss rate | +48.38% | Average win | +2.54% | Average loss | -2.03% | Win/Loss ratio | 1.15 | Expectancy | +0.34% | Profit factor | 1.25 |
| Payoff ratio | 1.15 | Best trade | +14.52% | Worst trade | -9.66% | Trade return standard deviation | +3.84% | Consecutive wins (max) | 6 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.38% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.08 | Alpha vs benchmark % | +5.21% | Information ratio | -0.57 | 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 | -10.71% |
| Net profit | -$107,084 |
| Gross profit | $475,614 |
| Gross loss | $559,745 |
| CAGR | -2.25% |
| Annualized return | -2.25% |
| Monthly average return | -0.15% |
| Median monthly return | -2.03% |
| Best month return | +4.39% |
| Worst month return | -6.07% |
| Rolling 1-month return | +13.71% |
| Log return CAGR | -20.58% |
| Compounded vs simple return difference | +1.97% |
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 | +129.37% | 0.65 | 1.32 | +29.71% | +62.26% | 53 | 2.15 | +23.89% |
| S&P/ASX 200 | Australia | +6.12% | 0.14 | 0.20 | +8.51% | +50.68% | 73 | 1.19 | +8.26% |
| Bovespa | Brazil | +5.48% | 0.09 | 0.13 | +17.18% | +50.70% | 71 | 1.11 | +11.56% |
| TSX Composite | Canada | +20.55% | 0.43 | 0.64 | +11.36% | +59.65% | 57 | 1.58 | +8.55% |
| Euro Stoxx 50 | Europe | +5.06% | 0.07 | 0.11 | +17.82% | +50.00% | 74 | 1.12 | +13.19% |
| Euronext 100 | Europe | +23.11% | 0.35 | 0.54 | +13.39% | +53.62% | 69 | 1.49 | +11.26% |
| CAC 40 | France | +1.97% | 0.03 | 0.04 | +21.47% | +51.52% | 66 | 1.07 | +12.40% |
| DAX | Germany | +37.25% | 0.49 | 0.77 | +17.33% | +53.25% | 77 | 1.67 | +12.46% |
| Hang Seng | Hong Kong | -28.43% | -0.36 | -0.49 | +44.71% | +36.76% | 68 | 0.69 | +19.38% |
| BSE Sensex | India | -3.15% | -0.08 | -0.11 | +12.58% | +44.12% | 68 | 0.95 | +8.61% |
| Nifty 50 | India | +3.39% | 0.08 | 0.11 | +12.92% | +51.47% | 68 | 1.11 | +8.71% |
| Nikkei 225 | Japan | +28.68% | 0.31 | 0.47 | +19.39% | +51.43% | 70 | 1.57 | +16.03% |
| KOSPI | South Korea | -1.30% | -0.02 | -0.03 | +30.98% | +51.47% | 68 | 1.02 | +13.17% |
| Swiss Market | Switzerland | +1.36% | 0.03 | 0.04 | +19.73% | +49.32% | 73 | 1.05 | +10.14% |
| Taiwan Weighted | Taiwan | +20.07% | 0.26 | 0.37 | +28.31% | +62.26% | 53 | 1.48 | +14.04% |
| FTSE 100 | UK | +6.58% | 0.14 | 0.20 | +12.17% | +54.67% | 75 | 1.17 | +8.79% |
| CBOE Volatility Index | US | +829.65% | 0.32 | 1.17 | +51.98% | +51.11% | 90 | 2.15 | +90.52% |
| Dow Jones Industrial Average | US | +0.18% | 0.00 | 0.01 | +16.95% | +53.13% | 64 | 1.03 | +9.76% |
| NASDAQ Composite | US | -16.25% | -0.23 | -0.30 | +33.13% | +45.16% | 62 | 0.82 | +15.54% |
| Russell 2000 | US | -5.16% | -0.07 | -0.10 | +27.70% | +50.60% | 83 | 0.99 | +16.10% |
| S&P 500 | US | -10.71% | -0.20 | -0.26 | +26.43% | +50.82% | 61 | 0.85 | +11.57% |