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 | +36.81% | Net profit | $368,108 | Gross profit | $809,569 | Gross loss | $584,574 | CAGR | +3.45% | Annualized return | +3.45% | Monthly average return | +0.36% | Median monthly return | +0.07% |
| Best month return | +6.15% | Worst month return | -6.87% | Rolling 1-month return | +14.40% | Log return CAGR | +28.02% | Compounded vs simple return difference | -29.42% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.35% | Average drawdown | +9.46% | Median drawdown | -7.13% | Drawdown duration (max) | 766.7 days | Average drawdown duration | 32.5 days | Ulcer index | 10.83 | Pain index | 7.57 | Pain ratio | 10.26 |
| Drawdown volatility | 4.53 | Worst peak-to-trough loss | +23.35% | % time in drawdown | +84.96% | Drawdown area | 678.91 | Downside deviation | +14.45% | Semi-variance | 3.59 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.31 | Rolling 1-month Sharpe | 1.48 | Sortino ratio | 0.51 | Calmar ratio | 0.23 | Sterling ratio | 0.23 | Burke ratio | 0.97 | Return / volatility | 2.49 | Return / downside risk | 2.45 |
| Return / max drawdown | 1.62 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 31 | Win rate | +45.53% | Loss rate | +54.47% | Average win | +5.82% | Average loss | -3.43% | Win/Loss ratio | 1.77 | Expectancy | +0.82% | Profit factor | 1.58 |
| Payoff ratio | 1.77 | Best trade | +17.95% | Worst trade | -9.83% | Trade return standard deviation | +4.28% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.77% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +5.83% | Information ratio | -0.47 | 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 | +10.92% |
| Net profit | $109,195 |
| Gross profit | $659,124 |
| Gross loss | $517,264 |
| CAGR | +2.10% |
| Annualized return | +2.10% |
| Monthly average return | +0.22% |
| Median monthly return | -0.98% |
| Best month return | +5.42% |
| Worst month return | -8.20% |
| Rolling 1-month return | +13.74% |
| Log return CAGR | -5.50% |
| Compounded vs simple return difference | -13.14% |
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 | +542.21% | 1.13 | 2.64 | +42.26% | +66.67% | 27 | 4.96 | +27.84% |
| S&P/ASX 200 | Australia | -4.37% | -0.11 | -0.14 | +21.08% | +37.14% | 35 | 0.94 | +8.35% |
| Bovespa | Brazil | +17.50% | 0.29 | 0.43 | +23.49% | +40.63% | 32 | 1.39 | +10.98% |
| TSX Composite | Canada | +10.55% | 0.25 | 0.34 | +14.31% | +53.33% | 30 | 1.32 | +7.90% |
| Euro Stoxx 50 | Europe | +38.52% | 0.67 | 1.02 | +14.46% | +50.00% | 30 | 1.92 | +9.44% |
| Euronext 100 | Europe | +37.78% | 0.73 | 1.10 | +13.05% | +48.39% | 31 | 2.06 | +8.32% |
| CAC 40 | France | +25.56% | 0.46 | 0.66 | +14.14% | +46.43% | 28 | 1.73 | +9.48% |
| DAX | Germany | +40.84% | 0.74 | 1.15 | +13.39% | +58.06% | 31 | 2.01 | +8.77% |
| Hang Seng | Hong Kong | +2.38% | 0.03 | 0.04 | +31.87% | +40.00% | 30 | 1.12 | +16.34% |
| BSE Sensex | India | +19.05% | 0.41 | 0.60 | +15.58% | +35.71% | 28 | 1.55 | +8.51% |
| Nifty 50 | India | +16.37% | 0.34 | 0.50 | +16.45% | +38.71% | 31 | 1.43 | +8.82% |
| Nikkei 225 | Japan | +0.89% | 0.01 | 0.02 | +20.07% | +42.42% | 33 | 1.08 | +12.44% |
| KOSPI | South Korea | +47.10% | 0.51 | 0.79 | +22.16% | +46.43% | 28 | 1.90 | +14.80% |
| Swiss Market | Switzerland | +19.78% | 0.50 | 0.74 | +12.07% | +48.15% | 27 | 1.74 | +7.13% |
| Taiwan Weighted | Taiwan | +45.11% | 0.66 | 1.05 | +12.29% | +53.57% | 28 | 1.94 | +11.28% |
| FTSE 100 | UK | +13.77% | 0.36 | 0.52 | +11.68% | +45.45% | 33 | 1.57 | +7.07% |
| CBOE Volatility Index | US | -83.19% | -0.30 | -0.49 | +92.82% | +31.25% | 32 | 0.53 | +104.68% |
| Dow Jones Industrial Average | US | -5.80% | -0.13 | -0.18 | +17.45% | +40.00% | 35 | 0.94 | +9.21% |
| NASDAQ Composite | US | -12.88% | -0.20 | -0.26 | +28.99% | +37.14% | 35 | 0.91 | +14.23% |
| Russell 2000 | US | -9.06% | -0.13 | -0.18 | +34.05% | +46.67% | 30 | 0.93 | +15.23% |
| S&P 500 | US | +10.92% | 0.20 | 0.28 | +18.79% | +50.00% | 34 | 1.27 | +10.39% |