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 | +102.51% | Net profit | $1,025,075 | Gross profit | $724,172 | Gross loss | $531,629 | CAGR | +2.59% | Annualized return | +2.59% | Monthly average return | +0.18% | Median monthly return | -1.82% |
| Best month return | +6.59% | Worst month return | -11.42% | Rolling 1-month return | +10.71% | Log return CAGR | -15.67% | Compounded vs simple return difference | -112.42% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +27.21% | Average drawdown | +15.72% | Median drawdown | -10.11% | Drawdown duration (max) | 1323.3 days | Average drawdown duration | 57.6 days | Ulcer index | 16.73 | Pain index | 10.74 | Pain ratio | 11.52 |
| Drawdown volatility | 5.92 | Worst peak-to-trough loss | +27.21% | % time in drawdown | +90.05% | Drawdown area | 1016.34 | Downside deviation | +14.43% | Semi-variance | 3.56 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.05 | Rolling 1-month Sharpe | 1.25 | Sortino ratio | 0.24 | Calmar ratio | 0.14 | Sterling ratio | 0.14 | Burke ratio | 1.04 | Return / volatility | 3.12 | Return / downside risk | 4.17 |
| Return / max drawdown | 2.76 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 17 | Win rate | +41.03% | Loss rate | +58.97% | Average win | +11.89% | Average loss | -4.89% | Win/Loss ratio | 2.35 | Expectancy | +1.87% | Profit factor | 1.73 |
| Payoff ratio | 2.35 | Best trade | +30.95% | Worst trade | -9.22% | Trade return standard deviation | +4.51% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.55% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +3.34% | Information ratio | -0.55 | 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 | +28.06% |
| Net profit | $280,592 |
| Gross profit | $531,471 |
| Gross loss | $251,111 |
| CAGR | +5.09% |
| Annualized return | +5.09% |
| Monthly average return | +0.45% |
| Median monthly return | +0.21% |
| Best month return | +1.28% |
| Worst month return | -6.61% |
| Rolling 1-month return | +6.10% |
| Log return CAGR | -15.38% |
| Compounded vs simple return difference | -34.47% |
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 | +2109.42% | 1.24 | 4.00 | +42.16% | +46.15% | 13 | 9.66 | +36.84% |
| S&P/ASX 200 | Australia | -7.34% | -0.18 | -0.24 | +17.06% | +41.18% | 17 | 0.73 | +8.29% |
| Bovespa | Brazil | +26.18% | 0.41 | 0.62 | +19.35% | +58.82% | 17 | 1.96 | +11.26% |
| TSX Composite | Canada | +7.35% | 0.16 | 0.22 | +20.22% | +36.84% | 19 | 1.36 | +8.84% |
| Euro Stoxx 50 | Europe | -26.34% | -0.61 | -0.73 | +30.91% | +28.57% | 21 | 0.49 | +10.35% |
| Euronext 100 | Europe | -2.92% | -0.06 | -0.08 | +15.86% | +33.33% | 18 | 0.96 | +9.18% |
| CAC 40 | France | -26.82% | -0.64 | -0.77 | +30.14% | +40.00% | 20 | 0.38 | +9.79% |
| DAX | Germany | -25.01% | -0.56 | -0.69 | +28.78% | +27.27% | 22 | 0.55 | +10.37% |
| Hang Seng | Hong Kong | -19.55% | -0.29 | -0.40 | +36.71% | +29.41% | 17 | 0.75 | +15.68% |
| BSE Sensex | India | +10.85% | 0.22 | 0.31 | +19.30% | +53.33% | 15 | 1.42 | +9.57% |
| Nifty 50 | India | +19.78% | 0.36 | 0.52 | +16.90% | +64.29% | 14 | 1.81 | +9.92% |
| Nikkei 225 | Japan | +23.24% | 0.29 | 0.44 | +31.36% | +25.00% | 16 | 1.76 | +14.49% |
| KOSPI | South Korea | +73.42% | 0.69 | 1.11 | +23.31% | +35.71% | 14 | 4.08 | +15.46% |
| Swiss Market | Switzerland | -5.82% | -0.15 | -0.20 | +17.77% | +42.11% | 19 | 0.82 | +7.90% |
| Taiwan Weighted | Taiwan | +39.93% | 0.54 | 0.83 | +17.45% | +52.94% | 17 | 2.16 | +12.49% |
| FTSE 100 | UK | -6.84% | -0.18 | -0.23 | +25.14% | +29.41% | 17 | 0.85 | +8.03% |
| CBOE Volatility Index | US | -98.03% | -0.90 | -0.85 | +98.72% | +15.79% | 19 | 0.12 | +101.10% |
| Dow Jones Industrial Average | US | -0.09% | -0.00 | -0.00 | +13.68% | +33.33% | 18 | 1.05 | +8.61% |
| NASDAQ Composite | US | +48.34% | 0.56 | 0.87 | +22.17% | +64.29% | 14 | 2.68 | +13.56% |
| Russell 2000 | US | -15.17% | -0.22 | -0.30 | +29.68% | +43.75% | 16 | 0.64 | +15.23% |
| S&P 500 | US | +28.06% | 0.45 | 0.69 | +14.78% | +60.00% | 15 | 2.12 | +10.64% |