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 | +39.65% | Net profit | $396,473 | Gross profit | $761,288 | Gross loss | $581,728 | CAGR | +2.84% | Annualized return | +2.84% | Monthly average return | +0.27% | Median monthly return | -0.98% |
| Best month return | +7.51% | Worst month return | -8.52% | Rolling 1-month return | +11.56% | Log return CAGR | +10.59% | Compounded vs simple return difference | -39.52% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.49% | Average drawdown | +10.96% | Median drawdown | -8.51% | Drawdown duration (max) | 893.9 days | Average drawdown duration | 34.1 days | Ulcer index | 12.21 | Pain index | 8.71 | Pain ratio | 8.58 |
| Drawdown volatility | 4.78 | Worst peak-to-trough loss | +24.49% | % time in drawdown | +86.61% | Drawdown area | 801.86 | Downside deviation | +14.20% | Semi-variance | 3.53 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.26 | Rolling 1-month Sharpe | 1.17 | Sortino ratio | 0.45 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 0.79 | Return / volatility | 2.37 | Return / downside risk | 2.42 |
| Return / max drawdown | 1.55 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 30 | Win rate | +41.33% | Loss rate | +58.67% | Average win | +6.29% | Average loss | -3.16% | Win/Loss ratio | 2.07 | Expectancy | +0.69% | Profit factor | 1.54 |
| Payoff ratio | 2.07 | Best trade | +17.69% | Worst trade | -9.18% | Trade return standard deviation | +4.24% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.69% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +4.89% | Information ratio | -0.47 | 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 | +21.13% |
| Net profit | $211,282 |
| Gross profit | $587,418 |
| Gross loss | $366,769 |
| CAGR | +3.92% |
| Annualized return | +3.92% |
| Monthly average return | +0.36% |
| Median monthly return | -0.05% |
| Best month return | +3.31% |
| Worst month return | -7.36% |
| Rolling 1-month return | +7.84% |
| Log return CAGR | -18.39% |
| Compounded vs simple return difference | -28.87% |
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 | +647.93% | 1.18 | 2.84 | +37.38% | +57.69% | 26 | 5.30 | +28.32% |
| S&P/ASX 200 | Australia | +3.27% | 0.08 | 0.11 | +14.39% | +40.00% | 35 | 1.14 | +8.01% |
| Bovespa | Brazil | +35.79% | 0.54 | 0.83 | +15.52% | +48.15% | 27 | 1.89 | +11.15% |
| TSX Composite | Canada | +11.48% | 0.26 | 0.36 | +13.51% | +61.29% | 31 | 1.37 | +8.15% |
| Euro Stoxx 50 | Europe | +23.75% | 0.43 | 0.64 | +15.67% | +48.28% | 29 | 1.59 | +9.65% |
| Euronext 100 | Europe | +17.19% | 0.36 | 0.50 | +13.61% | +46.67% | 30 | 1.50 | +8.59% |
| CAC 40 | France | +19.35% | 0.36 | 0.51 | +16.10% | +44.44% | 27 | 1.62 | +9.57% |
| DAX | Germany | +14.16% | 0.28 | 0.39 | +21.51% | +44.83% | 29 | 1.41 | +9.32% |
| Hang Seng | Hong Kong | -5.94% | -0.08 | -0.11 | +32.24% | +33.33% | 30 | 1.02 | +16.53% |
| BSE Sensex | India | +24.31% | 0.51 | 0.77 | +12.50% | +33.33% | 30 | 1.68 | +8.47% |
| Nifty 50 | India | +12.65% | 0.27 | 0.38 | +15.17% | +34.38% | 32 | 1.33 | +8.88% |
| Nikkei 225 | Japan | +6.45% | 0.10 | 0.14 | +30.53% | +37.14% | 35 | 1.18 | +12.95% |
| KOSPI | South Korea | +20.17% | 0.24 | 0.35 | +33.49% | +33.33% | 33 | 1.43 | +15.42% |
| Swiss Market | Switzerland | +12.61% | 0.32 | 0.47 | +14.06% | +44.83% | 29 | 1.52 | +7.29% |
| Taiwan Weighted | Taiwan | +52.58% | 0.71 | 1.15 | +22.38% | +48.28% | 29 | 2.04 | +11.72% |
| FTSE 100 | UK | -2.23% | -0.06 | -0.09 | +17.86% | +39.39% | 33 | 0.96 | +7.10% |
| CBOE Volatility Index | US | -93.98% | -0.56 | -0.70 | +97.35% | +22.58% | 31 | 0.29 | +101.62% |
| Dow Jones Industrial Average | US | +3.97% | 0.09 | 0.13 | +20.45% | +38.71% | 31 | 1.15 | +8.69% |
| NASDAQ Composite | US | +10.70% | 0.15 | 0.22 | +23.59% | +35.48% | 31 | 1.27 | +13.36% |
| Russell 2000 | US | -2.73% | -0.04 | -0.05 | +28.98% | +31.03% | 29 | 1.03 | +14.77% |
| S&P 500 | US | +21.13% | 0.38 | 0.58 | +17.89% | +44.83% | 29 | 1.60 | +9.87% |