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 | +27.42% | Net profit | $274,201 | Gross profit | $548,746 | Gross loss | $532,290 | CAGR | +0.42% | Annualized return | +0.42% | Monthly average return | -0.00% | Median monthly return | -3.33% |
| Best month return | +5.88% | Worst month return | -9.82% | Rolling 1-month return | +10.26% | Log return CAGR | -9.94% | Compounded vs simple return difference | -35.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.67% | Average drawdown | +12.63% | Median drawdown | -11.50% | Drawdown duration (max) | 1193.8 days | Average drawdown duration | 51.5 days | Ulcer index | 13.36 | Pain index | 10.56 | Pain ratio | 4.65 |
| Drawdown volatility | 5.18 | Worst peak-to-trough loss | +22.67% | % time in drawdown | +90.71% | Drawdown area | 992.55 | Downside deviation | +14.60% | Semi-variance | 2.94 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.03 | Rolling 1-month Sharpe | 1.23 | Sortino ratio | 0.15 | Calmar ratio | 0.10 | Sterling ratio | 0.10 | Burke ratio | 0.43 | Return / volatility | 1.25 | Return / downside risk | 1.26 |
| Return / max drawdown | 1.16 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 25 | Win rate | +38.58% | Loss rate | +61.42% | Average win | +5.56% | Average loss | -3.14% | Win/Loss ratio | 2.07 | Expectancy | +0.22% | Profit factor | 1.49 |
| Payoff ratio | 2.07 | Best trade | +16.16% | Worst trade | -7.80% | Trade return standard deviation | +3.63% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +13.38% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.01 | Alpha vs benchmark % | +0.53% | Information ratio | -0.60 | 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 | +20.52% |
| Net profit | $205,159 |
| Gross profit | $426,070 |
| Gross loss | $219,587 |
| CAGR | +3.82% |
| Annualized return | +3.82% |
| Monthly average return | +0.33% |
| Median monthly return | -1.76% |
| Best month return | +5.00% |
| Worst month return | -5.54% |
| Rolling 1-month return | +5.75% |
| Log return CAGR | -15.96% |
| Compounded vs simple return difference | -27.18% |
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 | +555.90% | 1.10 | 2.49 | +30.02% | +54.17% | 24 | 5.84 | +28.62% |
| S&P/ASX 200 | Australia | -7.89% | -0.23 | -0.30 | +14.23% | +29.63% | 27 | 0.73 | +7.18% |
| Bovespa | Brazil | -1.18% | -0.03 | -0.04 | +19.03% | +42.86% | 21 | 1.05 | +8.70% |
| TSX Composite | Canada | +0.23% | 0.01 | 0.01 | +21.16% | +36.00% | 25 | 1.09 | +7.22% |
| Euro Stoxx 50 | Europe | -1.77% | -0.04 | -0.06 | +14.32% | +30.77% | 26 | 0.99 | +8.35% |
| Euronext 100 | Europe | -7.48% | -0.21 | -0.27 | +13.16% | +37.93% | 29 | 0.80 | +7.21% |
| CAC 40 | France | -4.43% | -0.12 | -0.15 | +14.14% | +40.91% | 22 | 0.86 | +7.65% |
| DAX | Germany | -6.30% | -0.15 | -0.19 | +21.46% | +38.46% | 26 | 0.90 | +8.76% |
| Hang Seng | Hong Kong | +1.22% | 0.02 | 0.03 | +18.52% | +36.00% | 25 | 1.11 | +13.15% |
| BSE Sensex | India | +3.42% | 0.08 | 0.12 | +15.27% | +44.00% | 25 | 1.18 | +8.08% |
| Nifty 50 | India | +6.58% | 0.15 | 0.21 | +14.88% | +33.33% | 27 | 1.24 | +8.60% |
| Nikkei 225 | Japan | -0.80% | -0.01 | -0.02 | +28.10% | +25.00% | 28 | 1.08 | +11.75% |
| KOSPI | South Korea | +62.54% | 0.65 | 1.04 | +21.73% | +45.00% | 20 | 3.39 | +14.47% |
| Swiss Market | Switzerland | -12.72% | -0.40 | -0.51 | +18.92% | +31.82% | 22 | 0.61 | +6.85% |
| Taiwan Weighted | Taiwan | +67.52% | 0.92 | 1.51 | +15.50% | +56.52% | 23 | 4.19 | +11.03% |
| FTSE 100 | UK | -3.63% | -0.11 | -0.14 | +19.47% | +46.67% | 30 | 0.92 | +6.72% |
| CBOE Volatility Index | US | -98.53% | -1.47 | -1.12 | +99.13% | +24.14% | 29 | 0.16 | +77.26% |
| Dow Jones Industrial Average | US | -3.26% | -0.09 | -0.12 | +13.42% | +36.00% | 25 | 0.93 | +7.47% |
| NASDAQ Composite | US | +19.68% | 0.32 | 0.45 | +19.69% | +44.00% | 25 | 1.61 | +11.19% |
| Russell 2000 | US | -13.78% | -0.25 | -0.34 | +29.10% | +36.00% | 25 | 0.70 | +12.10% |
| S&P 500 | US | +20.52% | 0.43 | 0.62 | +14.86% | +40.91% | 22 | 1.94 | +8.58% |