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 | +22.82% | Net profit | $228,182 | Gross profit | $368,611 | Gross loss | $156,017 | CAGR | +4.12% | Annualized return | +4.12% | Monthly average return | +0.36% | Median monthly return | +2.92% |
| Best month return | +8.52% | Worst month return | -4.22% | Rolling 1-month return | +13.26% | Log return CAGR | +44.05% | Compounded vs simple return difference | -8.09% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +14.90% | Average drawdown | +3.05% | Median drawdown | -4.20% | Drawdown duration (max) | 633.7 days | Average drawdown duration | 20.7 days | Ulcer index | 3.99 | Pain index | 4.59 | Pain ratio | 8.51 |
| Drawdown volatility | 3.11 | Worst peak-to-trough loss | +14.90% | % time in drawdown | +81.78% | Drawdown area | 452.66 | Downside deviation | +16.87% | Semi-variance | 1.99 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.39 | Rolling 1-month Sharpe | 1.42 | Sortino ratio | 0.61 | Calmar ratio | 0.33 | Sterling ratio | 0.33 | Burke ratio | 0.70 | Return / volatility | 2.27 | Return / downside risk | 1.48 |
| Return / max drawdown | 1.83 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 23 | Win rate | +74.25% | Loss rate | +25.75% | Average win | +2.44% | Average loss | -2.81% | Win/Loss ratio | 1.11 | Expectancy | +1.02% | Profit factor | 3.98 |
| Payoff ratio | 1.11 | Best trade | +5.33% | Worst trade | -6.36% | Trade return standard deviation | +2.15% | Consecutive wins (max) | 8 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.05% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.14 | Alpha vs benchmark % | +2.85% | Information ratio | -0.48 | Treynor ratio | 0.04 | ||||||||
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 | +37.88% |
| Net profit | $378,773 |
| Gross profit | $436,906 |
| Gross loss | $107,307 |
| CAGR | +6.66% |
| Annualized return | +6.66% |
| Monthly average return | +0.55% |
| Median monthly return | +7.66% |
| Best month return | +8.67% |
| Worst month return | -5.96% |
| Rolling 1-month return | +11.88% |
| Log return CAGR | +75.43% |
| 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 | +25.05% | 0.53 | 0.99 | +11.05% | +83.33% | 6 | 23.02 | +8.47% |
| S&P/ASX 200 | Australia | +14.88% | 0.36 | 0.52 | +10.51% | +68.00% | 25 | 1.96 | +7.65% |
| Bovespa | Brazil | +26.67% | 0.53 | 0.82 | +10.04% | +74.07% | 27 | 2.46 | +8.81% |
| TSX Composite | Canada | +25.76% | 0.59 | 0.95 | +12.22% | +76.00% | 25 | 2.93 | +7.57% |
| Euro Stoxx 50 | Europe | +43.73% | 0.61 | 0.99 | +13.09% | +79.31% | 29 | 4.55 | +11.40% |
| Euronext 100 | Europe | +39.49% | 0.61 | 0.95 | +10.62% | +76.67% | 30 | 5.17 | +10.30% |
| CAC 40 | France | +21.92% | 0.35 | 0.53 | +14.06% | +73.08% | 26 | 2.16 | +10.76% |
| DAX | Germany | +32.44% | 0.48 | 0.75 | +14.21% | +79.31% | 29 | 3.13 | +11.20% |
| Hang Seng | Hong Kong | +17.21% | 0.22 | 0.34 | +30.97% | +64.00% | 25 | 1.59 | +14.77% |
| BSE Sensex | India | +11.67% | 0.34 | 0.50 | +11.17% | +77.78% | 18 | 2.08 | +6.62% |
| Nifty 50 | India | +19.01% | 0.53 | 0.82 | +7.89% | +78.95% | 19 | 2.96 | +6.62% |
| Nikkei 225 | Japan | +50.81% | 0.59 | 0.95 | +19.43% | +87.50% | 24 | 8.90 | +13.62% |
| KOSPI | South Korea | +29.73% | 0.46 | 0.69 | +16.26% | +69.23% | 26 | 2.49 | +11.27% |
| Swiss Market | Switzerland | +0.71% | 0.02 | 0.02 | +14.18% | +55.17% | 29 | 1.06 | +9.31% |
| Taiwan Weighted | Taiwan | -1.07% | -0.02 | -0.02 | +23.74% | +76.19% | 21 | 1.03 | +13.73% |
| FTSE 100 | UK | +32.69% | 0.72 | 1.09 | +9.55% | +78.26% | 23 | 6.88 | +7.65% |
| CBOE Volatility Index | US | +3.46% | 0.03 | 0.04 | +30.41% | +62.50% | 8 | 1.24 | +24.71% |
| Dow Jones Industrial Average | US | +5.94% | 0.12 | 0.18 | +11.28% | +69.57% | 23 | 1.32 | +9.65% |
| NASDAQ Composite | US | +10.08% | 0.13 | 0.20 | +18.94% | +71.43% | 21 | 1.54 | +14.16% |
| Russell 2000 | US | +31.13% | 0.41 | 0.66 | +12.44% | +70.83% | 24 | 3.13 | +12.73% |
| S&P 500 | US | +37.88% | 0.56 | 0.92 | +10.89% | +88.00% | 25 | 4.07 | +11.09% |