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 | +28.26% | Net profit | $282,635 | Gross profit | $915,659 | Gross loss | $661,538 | CAGR | +3.95% | Annualized return | +3.95% | Monthly average return | +0.44% | Median monthly return | -1.14% |
| Best month return | +5.80% | Worst month return | -10.18% | Rolling 1-month return | +12.41% | Log return CAGR | -16.02% | Compounded vs simple return difference | -36.10% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.58% | Average drawdown | +12.17% | Median drawdown | -9.18% | Drawdown duration (max) | 1243.6 days | Average drawdown duration | 28.7 days | Ulcer index | 13.68 | Pain index | 9.58 | Pain ratio | 3.20 |
| Drawdown volatility | 6.58 | Worst peak-to-trough loss | +26.58% | % time in drawdown | +89.20% | Drawdown area | 875.80 | Downside deviation | +15.41% | Semi-variance | 2.22 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.20 | Sortino ratio | 0.28 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 0.28 | Return / volatility | 1.23 | Return / downside risk | 1.35 |
| Return / max drawdown | 1.19 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 44 | Win rate | +59.29% | Loss rate | +40.71% | Average win | +3.29% | Average loss | -3.73% | Win/Loss ratio | 0.87 | Expectancy | +0.54% | Profit factor | 1.33 |
| Payoff ratio | 0.87 | Best trade | +9.43% | Worst trade | -10.60% | Trade return standard deviation | +4.04% | Consecutive wins (max) | 6 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.27% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.15 | Alpha vs benchmark % | +3.73% | Information ratio | -0.53 | 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 | +22.90% |
| Net profit | $229,004 |
| Gross profit | $696,361 |
| Gross loss | $470,445 |
| CAGR | +4.22% |
| Annualized return | +4.22% |
| Monthly average return | +0.39% |
| Median monthly return | +2.64% |
| Best month return | +6.14% |
| Worst month return | -5.08% |
| Rolling 1-month return | +12.09% |
| Log return CAGR | +10.26% |
| Compounded vs simple return difference | -18.95% |
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 | +202.75% | 0.84 | 1.67 | +18.16% | +66.67% | 42 | 2.93 | +24.00% |
| S&P/ASX 200 | Australia | -10.40% | -0.23 | -0.30 | +22.37% | +58.97% | 39 | 0.82 | +9.59% |
| Bovespa | Brazil | +9.22% | 0.15 | 0.21 | +18.86% | +56.10% | 41 | 1.20 | +12.12% |
| TSX Composite | Canada | +7.50% | 0.14 | 0.20 | +23.26% | +59.52% | 42 | 1.20 | +10.11% |
| Euro Stoxx 50 | Europe | -3.94% | -0.06 | -0.08 | +26.91% | +59.52% | 42 | 0.96 | +13.99% |
| Euronext 100 | Europe | -5.73% | -0.09 | -0.13 | +23.59% | +53.33% | 45 | 0.89 | +12.30% |
| CAC 40 | France | -18.74% | -0.32 | -0.42 | +29.59% | +54.55% | 44 | 0.66 | +12.90% |
| DAX | Germany | -11.11% | -0.18 | -0.24 | +26.70% | +51.22% | 41 | 0.82 | +13.39% |
| Hang Seng | Hong Kong | +25.03% | 0.25 | 0.38 | +26.79% | +58.33% | 48 | 1.45 | +17.50% |
| BSE Sensex | India | +26.09% | 0.50 | 0.76 | +12.29% | +66.67% | 45 | 1.62 | +9.33% |
| Nifty 50 | India | +28.91% | 0.52 | 0.80 | +13.20% | +68.18% | 44 | 1.64 | +9.66% |
| Nikkei 225 | Japan | +57.11% | 0.51 | 0.83 | +24.87% | +63.04% | 46 | 2.05 | +17.19% |
| KOSPI | South Korea | +59.90% | 0.57 | 0.95 | +34.94% | +54.55% | 44 | 1.88 | +16.12% |
| Swiss Market | Switzerland | -29.47% | -0.67 | -0.82 | +31.46% | +47.50% | 40 | 0.43 | +10.79% |
| Taiwan Weighted | Taiwan | +40.39% | 0.44 | 0.68 | +29.59% | +66.67% | 45 | 1.69 | +15.22% |
| FTSE 100 | UK | +5.87% | 0.11 | 0.15 | +16.03% | +56.52% | 46 | 1.19 | +10.21% |
| CBOE Volatility Index | US | +173.65% | 0.23 | 0.54 | +69.83% | +64.71% | 51 | 1.63 | +70.58% |
| Dow Jones Industrial Average | US | +5.04% | 0.09 | 0.13 | +21.09% | +58.14% | 43 | 1.12 | +11.31% |
| NASDAQ Composite | US | +34.51% | 0.35 | 0.55 | +25.65% | +66.67% | 48 | 1.51 | +16.48% |
| Russell 2000 | US | -25.96% | -0.38 | -0.50 | +46.29% | +51.11% | 45 | 0.72 | +16.33% |
| S&P 500 | US | +22.90% | 0.32 | 0.49 | +16.70% | +63.04% | 46 | 1.48 | +12.59% |