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 | +55.10% | Net profit | $550,989 | Gross profit | $599,459 | Gross loss | $176,800 | CAGR | +6.98% | Annualized return | +6.98% | Monthly average return | +0.72% | Median monthly return | +3.54% |
| Best month return | +11.96% | Worst month return | -5.70% | Rolling 1-month return | +20.09% | Log return CAGR | +180.61% | Compounded vs simple return difference | -30.63% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.22% | Average drawdown | +6.84% | Median drawdown | -7.26% | Drawdown duration (max) | 765.4 days | Average drawdown duration | 28.0 days | Ulcer index | 7.80 | Pain index | 7.37 | Pain ratio | 12.19 |
| Drawdown volatility | 3.89 | Worst peak-to-trough loss | +20.22% | % time in drawdown | +83.88% | Drawdown area | 663.16 | Downside deviation | +16.55% | Semi-variance | 3.59 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.41 | Rolling 1-month Sharpe | 1.54 | Sortino ratio | 0.73 | Calmar ratio | 0.39 | Sterling ratio | 0.39 | Burke ratio | 1.23 | Return / volatility | 3.15 | Return / downside risk | 2.74 |
| Return / max drawdown | 2.83 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 15 | Win rate | +69.32% | Loss rate | +30.68% | Average win | +9.10% | Average loss | -4.19% | Win/Loss ratio | 1.90 | Expectancy | +4.53% | Profit factor | 6.98 |
| Payoff ratio | 1.90 | Best trade | +21.03% | Worst trade | -7.76% | Trade return standard deviation | +4.09% | Consecutive wins (max) | 5 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.02% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +10.66% | Information ratio | -0.38 | 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 | +20.03% |
| Net profit | $200,282 |
| Gross profit | $363,324 |
| Gross loss | $150,503 |
| CAGR | +3.73% |
| Annualized return | +3.73% |
| Monthly average return | +0.33% |
| Median monthly return | +4.83% |
| Best month return | +9.95% |
| Worst month return | -3.24% |
| Rolling 1-month return | +18.65% |
| Log return CAGR | +50.02% |
| Compounded vs simple return difference | -2.57% |
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 | +427.17% | 1.30 | 3.28 | +18.92% | +87.50% | 16 | 40.30 | +22.07% |
| S&P/ASX 200 | Australia | +3.73% | 0.09 | 0.13 | +11.31% | +50.00% | 14 | 1.29 | +7.82% |
| Bovespa | Brazil | -3.23% | -0.06 | -0.08 | +23.05% | +53.33% | 15 | 1.01 | +11.42% |
| TSX Composite | Canada | +23.38% | 0.48 | 0.72 | +12.62% | +78.57% | 14 | 5.39 | +8.54% |
| Euro Stoxx 50 | Europe | +35.43% | 0.52 | 0.87 | +16.97% | +75.00% | 12 | 4.50 | +11.33% |
| Euronext 100 | Europe | +74.05% | 1.17 | 2.24 | +10.16% | +81.25% | 16 | 32.13 | +8.84% |
| CAC 40 | France | +30.82% | 0.44 | 0.71 | +16.29% | +75.00% | 16 | 3.27 | +11.52% |
| DAX | Germany | +13.38% | 0.23 | 0.35 | +17.80% | +64.29% | 14 | 1.74 | +10.72% |
| Hang Seng | Hong Kong | -25.42% | -0.33 | -0.44 | +39.94% | +40.00% | 15 | 0.50 | +18.69% |
| BSE Sensex | India | +23.52% | 0.62 | 0.97 | +11.61% | +78.57% | 14 | 2.93 | +6.81% |
| Nifty 50 | India | +9.98% | 0.27 | 0.40 | +11.28% | +63.64% | 11 | 1.73 | +6.99% |
| Nikkei 225 | Japan | +59.81% | 0.62 | 0.98 | +19.21% | +81.25% | 16 | 11.80 | +14.90% |
| KOSPI | South Korea | +0.67% | 0.01 | 0.02 | +22.86% | +53.33% | 15 | 1.08 | +12.55% |
| Swiss Market | Switzerland | +33.68% | 0.59 | 0.90 | +13.95% | +73.68% | 19 | 3.36 | +9.54% |
| Taiwan Weighted | Taiwan | +9.53% | 0.14 | 0.20 | +23.89% | +57.14% | 14 | 1.48 | +13.28% |
| FTSE 100 | UK | +44.29% | 0.92 | 1.43 | +11.74% | +87.50% | 16 | 14.76 | +7.68% |
| CBOE Volatility Index | US | +302.41% | 0.13 | 0.48 | +66.89% | +60.00% | 5 | 8.39 | +121.77% |
| Dow Jones Industrial Average | US | +41.45% | 0.73 | 1.25 | +11.19% | +81.25% | 16 | 5.55 | +9.23% |
| NASDAQ Composite | US | +20.94% | 0.22 | 0.34 | +28.05% | +72.22% | 18 | 1.68 | +16.54% |
| Russell 2000 | US | +11.45% | 0.13 | 0.20 | +20.36% | +58.82% | 17 | 1.40 | +15.94% |
| S&P 500 | US | +20.03% | 0.32 | 0.50 | +16.45% | +83.33% | 12 | 2.41 | +11.18% |