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 | +77.61% | Net profit | $776,119 | Gross profit | $849,244 | Gross loss | $694,541 | CAGR | +3.08% | Annualized return | +3.08% | Monthly average return | +0.24% | Median monthly return | -0.99% |
| Best month return | +6.56% | Worst month return | -8.62% | Rolling 1-month return | +13.61% | Log return CAGR | +17.72% | Compounded vs simple return difference | -76.14% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.91% | Average drawdown | +12.34% | Median drawdown | -8.56% | Drawdown duration (max) | 1036.9 days | Average drawdown duration | 35.3 days | Ulcer index | 13.38 | Pain index | 9.44 | Pain ratio | 13.28 |
| Drawdown volatility | 5.24 | Worst peak-to-trough loss | +24.91% | % time in drawdown | +87.79% | Drawdown area | 867.27 | Downside deviation | +14.62% | Semi-variance | 3.69 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.18 | Rolling 1-month Sharpe | 1.40 | Sortino ratio | 0.39 | Calmar ratio | 0.20 | Sterling ratio | 0.20 | Burke ratio | 1.28 | Return / volatility | 3.12 | Return / downside risk | 3.58 |
| Return / max drawdown | 2.78 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 33 | Win rate | +43.73% | Loss rate | +56.27% | Average win | +5.83% | Average loss | -3.39% | Win/Loss ratio | 1.85 | Expectancy | +0.65% | Profit factor | 1.58 |
| Payoff ratio | 1.85 | Best trade | +19.84% | Worst trade | -9.89% | Trade return standard deviation | +4.63% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.14% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +3.40% | Information ratio | -0.50 | 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 | +16.31% |
| Net profit | $163,077 |
| Gross profit | $644,436 |
| Gross loss | $445,642 |
| CAGR | +3.08% |
| Annualized return | +3.08% |
| Monthly average return | +0.31% |
| Median monthly return | +0.79% |
| Best month return | +5.07% |
| Worst month return | -16.04% |
| Rolling 1-month return | +6.04% |
| Log return CAGR | -15.63% |
| Compounded vs simple return difference | -22.83% |
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 | +1482.42% | 1.29 | 3.74 | +32.22% | +60.00% | 30 | 7.42 | +32.76% |
| S&P/ASX 200 | Australia | -4.80% | -0.11 | -0.14 | +16.53% | +36.36% | 33 | 0.92 | +9.02% |
| Bovespa | Brazil | -1.32% | -0.02 | -0.03 | +22.16% | +38.71% | 31 | 1.06 | +10.77% |
| TSX Composite | Canada | +5.07% | 0.11 | 0.15 | +21.90% | +46.67% | 30 | 1.19 | +8.80% |
| Euro Stoxx 50 | Europe | +11.81% | 0.22 | 0.30 | +17.60% | +44.12% | 34 | 1.32 | +10.04% |
| Euronext 100 | Europe | +8.83% | 0.18 | 0.25 | +14.79% | +44.74% | 38 | 1.24 | +9.01% |
| CAC 40 | France | +1.37% | 0.03 | 0.04 | +16.06% | +40.63% | 32 | 1.08 | +9.27% |
| DAX | Germany | +28.22% | 0.47 | 0.69 | +15.21% | +60.00% | 30 | 1.77 | +10.20% |
| Hang Seng | Hong Kong | -9.25% | -0.13 | -0.19 | +31.57% | +32.35% | 34 | 0.94 | +15.45% |
| BSE Sensex | India | +13.20% | 0.27 | 0.38 | +14.94% | +36.36% | 33 | 1.36 | +9.35% |
| Nifty 50 | India | +15.93% | 0.31 | 0.45 | +14.79% | +33.33% | 33 | 1.40 | +9.60% |
| Nikkei 225 | Japan | +16.02% | 0.22 | 0.32 | +29.43% | +38.89% | 36 | 1.34 | +13.94% |
| KOSPI | South Korea | +54.17% | 0.54 | 0.84 | +27.81% | +46.88% | 32 | 2.04 | +15.72% |
| Swiss Market | Switzerland | +9.52% | 0.22 | 0.31 | +11.63% | +44.83% | 29 | 1.32 | +8.17% |
| Taiwan Weighted | Taiwan | +77.92% | 0.90 | 1.50 | +18.35% | +51.72% | 29 | 2.77 | +12.48% |
| FTSE 100 | UK | +6.97% | 0.17 | 0.23 | +15.72% | +55.26% | 38 | 1.22 | +7.91% |
| CBOE Volatility Index | US | -98.22% | -1.01 | -0.92 | +99.28% | +30.23% | 43 | 0.33 | +95.97% |
| Dow Jones Industrial Average | US | -5.32% | -0.12 | -0.15 | +20.54% | +43.75% | 32 | 0.95 | +9.55% |
| NASDAQ Composite | US | +4.37% | 0.06 | 0.08 | +32.94% | +45.45% | 33 | 1.15 | +14.30% |
| Russell 2000 | US | -3.35% | -0.04 | -0.06 | +29.47% | +40.00% | 35 | 1.01 | +15.38% |
| S&P 500 | US | +16.31% | 0.26 | 0.37 | +20.28% | +48.15% | 27 | 1.45 | +11.28% |