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 | +103.73% | Net profit | $1,037,335 | Gross profit | $585,158 | Gross loss | $176,224 | CAGR | +8.04% | Annualized return | +8.04% | Monthly average return | +0.74% | Median monthly return | +4.99% |
| Best month return | +12.53% | Worst month return | -3.22% | Rolling 1-month return | +23.72% | Log return CAGR | +881.02% | Compounded vs simple return difference | -60.92% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.90% | Average drawdown | +6.37% | Median drawdown | -6.85% | Drawdown duration (max) | 745.1 days | Average drawdown duration | 28.2 days | Ulcer index | 7.54 | Pain index | 7.08 | Pain ratio | 11.46 |
| Drawdown volatility | 4.34 | Worst peak-to-trough loss | +20.90% | % time in drawdown | +84.44% | Drawdown area | 620.66 | Downside deviation | +16.10% | Semi-variance | 2.66 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.35 | Rolling 1-month Sharpe | 1.45 | Sortino ratio | 0.63 | Calmar ratio | 0.35 | Sterling ratio | 0.35 | Burke ratio | 1.08 | Return / volatility | 3.05 | Return / downside risk | 3.31 |
| Return / max drawdown | 2.98 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 14 | Win rate | +67.11% | Loss rate | +32.89% | Average win | +5.74% | Average loss | -4.48% | Win/Loss ratio | 1.60 | Expectancy | +2.89% | Profit factor | 5.51 |
| Payoff ratio | 1.60 | Best trade | +11.57% | Worst trade | -8.80% | Trade return standard deviation | +4.07% | Consecutive wins (max) | 5 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.93% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.11 | Alpha vs benchmark % | +7.98% | Information ratio | -0.42 | 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 | +19.26% |
| Net profit | $192,584 |
| Gross profit | $334,437 |
| Gross loss | $144,516 |
| CAGR | +3.60% |
| Annualized return | +3.60% |
| Monthly average return | +0.34% |
| Median monthly return | -2.82% |
| Best month return | -0.19% |
| Worst month return | -5.24% |
| Rolling 1-month return | +13.78% |
| Log return CAGR | -1.47% |
| Compounded vs simple return difference | -19.85% |
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 | +150.31% | 0.82 | 1.73 | +19.34% | +90.91% | 11 | 24.88 | +20.93% |
| S&P/ASX 200 | Australia | +30.84% | 0.58 | 0.89 | +11.68% | +62.50% | 16 | 3.87 | +8.90% |
| Bovespa | Brazil | +22.89% | 0.35 | 0.53 | +18.73% | +57.14% | 14 | 2.29 | +11.50% |
| TSX Composite | Canada | +56.08% | 1.00 | 1.73 | +8.78% | +81.25% | 16 | 18.54 | +8.53% |
| Euro Stoxx 50 | Europe | +52.02% | 0.74 | 1.30 | +17.02% | +76.92% | 13 | 6.97 | +10.81% |
| Euronext 100 | Europe | +14.56% | 0.26 | 0.39 | +14.59% | +50.00% | 10 | 2.55 | +10.11% |
| CAC 40 | France | +6.78% | 0.11 | 0.17 | +17.03% | +53.85% | 13 | 1.44 | +11.13% |
| DAX | Germany | +41.50% | 0.60 | 0.98 | +17.71% | +75.00% | 16 | 3.83 | +11.08% |
| Hang Seng | Hong Kong | +1.26% | 0.01 | 0.02 | +38.09% | +50.00% | 16 | 1.11 | +18.20% |
| BSE Sensex | India | -0.58% | -0.01 | -0.02 | +14.21% | +72.73% | 11 | 1.03 | +8.41% |
| Nifty 50 | India | -2.71% | -0.07 | -0.09 | +11.88% | +45.45% | 11 | 0.86 | +8.55% |
| Nikkei 225 | Japan | +68.85% | 0.66 | 1.06 | +19.48% | +85.71% | 14 | 14.17 | +15.52% |
| KOSPI | South Korea | -12.21% | -0.20 | -0.27 | +28.92% | +45.45% | 11 | 0.57 | +13.22% |
| Swiss Market | Switzerland | +8.92% | 0.17 | 0.24 | +17.74% | +52.94% | 17 | 1.43 | +10.13% |
| Taiwan Weighted | Taiwan | +31.92% | 0.39 | 0.58 | +22.14% | +76.47% | 17 | 2.73 | +14.09% |
| FTSE 100 | UK | +49.42% | 0.92 | 1.46 | +10.14% | +81.25% | 16 | 13.57 | +8.38% |
| CBOE Volatility Index | US | +1616.45% | 0.41 | 1.68 | +63.76% | +86.67% | 15 | 8.59 | +87.31% |
| Dow Jones Industrial Average | US | +20.10% | 0.33 | 0.50 | +13.84% | +73.33% | 15 | 2.71 | +10.81% |
| NASDAQ Composite | US | +7.31% | 0.08 | 0.12 | +25.97% | +58.33% | 12 | 1.35 | +16.79% |
| Russell 2000 | US | -4.56% | -0.05 | -0.08 | +29.38% | +66.67% | 12 | 1.00 | +17.21% |
| S&P 500 | US | +19.26% | 0.27 | 0.40 | +18.54% | +66.67% | 12 | 2.31 | +12.92% |