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 | +60.28% | Net profit | $602,766 | Gross profit | $1,174,468 | Gross loss | $932,370 | CAGR | +4.11% | Annualized return | +4.11% | Monthly average return | +0.41% | Median monthly return | +0.59% |
| Best month return | +10.92% | Worst month return | -6.44% | Rolling 1-month return | +15.35% | Log return CAGR | +43.14% | Compounded vs simple return difference | -51.68% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.71% | Average drawdown | +10.38% | Median drawdown | -7.06% | Drawdown duration (max) | 854.8 days | Average drawdown duration | 36.0 days | Ulcer index | 11.75 | Pain index | 7.31 | Pain ratio | 14.15 |
| Drawdown volatility | 4.40 | Worst peak-to-trough loss | +22.71% | % time in drawdown | +85.53% | Drawdown area | 639.86 | Downside deviation | +14.17% | Semi-variance | 3.01 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.31 | Rolling 1-month Sharpe | 1.42 | Sortino ratio | 0.57 | Calmar ratio | 0.30 | Sterling ratio | 0.30 | Burke ratio | 1.36 | Return / volatility | 3.23 | Return / downside risk | 3.48 |
| Return / max drawdown | 2.78 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 65 | Win rate | +40.68% | Loss rate | +59.32% | Average win | +4.57% | Average loss | -2.28% | Win/Loss ratio | 1.97 | Expectancy | +0.42% | Profit factor | 1.40 |
| Payoff ratio | 1.97 | Best trade | +14.62% | Worst trade | -6.91% | Trade return standard deviation | +4.56% | Consecutive wins (max) | 4 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.25% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +6.33% | Information ratio | -0.45 | 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 | +9.64% |
| Net profit | $96,441 |
| Gross profit | $761,906 |
| Gross loss | $638,702 |
| CAGR | +1.86% |
| Annualized return | +1.86% |
| Monthly average return | +0.20% |
| Median monthly return | -0.32% |
| Best month return | +6.68% |
| Worst month return | -5.59% |
| Rolling 1-month return | +7.21% |
| Log return CAGR | +0.61% |
| Compounded vs simple return difference | -9.40% |
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 | +1020.08% | 1.24 | 3.50 | +30.44% | +55.74% | 61 | 3.34 | +31.00% |
| S&P/ASX 200 | Australia | +16.59% | 0.37 | 0.54 | +9.28% | +41.27% | 63 | 1.39 | +8.05% |
| Bovespa | Brazil | +23.45% | 0.36 | 0.53 | +23.35% | +40.98% | 61 | 1.35 | +11.39% |
| TSX Composite | Canada | +30.90% | 0.66 | 0.99 | +12.45% | +48.39% | 62 | 1.65 | +7.98% |
| Euro Stoxx 50 | Europe | +13.96% | 0.25 | 0.37 | +14.10% | +41.67% | 60 | 1.23 | +10.45% |
| Euronext 100 | Europe | +29.03% | 0.55 | 0.87 | +12.20% | +39.39% | 66 | 1.56 | +8.83% |
| CAC 40 | France | +33.07% | 0.56 | 0.89 | +13.61% | +45.31% | 64 | 1.55 | +9.68% |
| DAX | Germany | +21.25% | 0.38 | 0.57 | +12.68% | +36.92% | 65 | 1.31 | +9.85% |
| Hang Seng | Hong Kong | -44.30% | -0.76 | -0.96 | +56.45% | +25.68% | 74 | 0.68 | +16.61% |
| BSE Sensex | India | -2.00% | -0.05 | -0.06 | +14.29% | +38.81% | 67 | 1.02 | +8.97% |
| Nifty 50 | India | +6.53% | 0.14 | 0.20 | +11.50% | +41.27% | 63 | 1.13 | +8.90% |
| Nikkei 225 | Japan | +23.72% | 0.34 | 0.51 | +15.84% | +40.30% | 67 | 1.34 | +12.60% |
| KOSPI | South Korea | +84.29% | 0.97 | 1.67 | +19.47% | +39.66% | 58 | 2.13 | +12.14% |
| Swiss Market | Switzerland | +30.83% | 0.68 | 1.07 | +9.63% | +42.86% | 56 | 1.58 | +7.77% |
| Taiwan Weighted | Taiwan | +29.11% | 0.45 | 0.68 | +24.97% | +42.42% | 66 | 1.41 | +11.34% |
| FTSE 100 | UK | +23.34% | 0.54 | 0.80 | +9.04% | +42.62% | 61 | 1.54 | +7.58% |
| CBOE Volatility Index | US | -87.51% | -0.34 | -0.55 | +95.05% | +25.97% | 77 | 0.71 | +108.79% |
| Dow Jones Industrial Average | US | +3.15% | 0.07 | 0.10 | +16.47% | +42.19% | 64 | 1.08 | +9.02% |
| NASDAQ Composite | US | +7.02% | 0.09 | 0.13 | +37.62% | +40.30% | 67 | 1.14 | +14.42% |
| Russell 2000 | US | -6.35% | -0.09 | -0.12 | +21.13% | +37.68% | 69 | 0.98 | +15.20% |
| S&P 500 | US | +9.64% | 0.17 | 0.24 | +17.30% | +44.78% | 67 | 1.19 | +10.62% |