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 | +48.16% | Net profit | $481,634 | Gross profit | $1,026,826 | Gross loss | $815,759 | CAGR | +3.43% | Annualized return | +3.43% | Monthly average return | +0.36% | Median monthly return | -0.53% |
| Best month return | +8.31% | Worst month return | -9.57% | Rolling 1-month return | +11.87% | Log return CAGR | -1.27% | Compounded vs simple return difference | -51.52% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.84% | Average drawdown | +9.83% | Median drawdown | -8.78% | Drawdown duration (max) | 785.0 days | Average drawdown duration | 39.6 days | Ulcer index | 10.83 | Pain index | 9.08 | Pain ratio | 6.98 |
| Drawdown volatility | 4.74 | Worst peak-to-trough loss | +22.84% | % time in drawdown | +86.89% | Drawdown area | 837.68 | Downside deviation | +13.84% | Semi-variance | 3.28 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.31 | Rolling 1-month Sharpe | 1.28 | Sortino ratio | 0.54 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 0.62 | Return / volatility | 2.93 | Return / downside risk | 3.09 |
| Return / max drawdown | 2.29 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 52 | Win rate | +37.31% | Loss rate | +62.69% | Average win | +5.42% | Average loss | -2.32% | Win/Loss ratio | 2.33 | Expectancy | +0.47% | Profit factor | 1.44 |
| Payoff ratio | 2.33 | Best trade | +19.08% | Worst trade | -7.25% | Trade return standard deviation | +4.47% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.61% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | +5.48% | Information ratio | -0.47 | 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 | +10.68% |
| Net profit | $106,773 |
| Gross profit | $740,761 |
| Gross loss | $609,234 |
| CAGR | +2.06% |
| Annualized return | +2.06% |
| Monthly average return | +0.21% |
| Median monthly return | -3.64% |
| Best month return | +4.92% |
| Worst month return | -8.61% |
| Rolling 1-month return | +6.03% |
| Log return CAGR | -21.99% |
| Compounded vs simple return difference | -20.06% |
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 | +811.68% | 1.34 | 3.63 | +27.29% | +46.81% | 47 | 4.36 | +26.83% |
| S&P/ASX 200 | Australia | -0.71% | -0.02 | -0.02 | +21.37% | +40.38% | 52 | 1.02 | +8.35% |
| Bovespa | Brazil | +3.53% | 0.07 | 0.09 | +19.13% | +40.82% | 49 | 1.12 | +10.63% |
| TSX Composite | Canada | +20.89% | 0.48 | 0.70 | +16.15% | +45.10% | 51 | 1.48 | +7.72% |
| Euro Stoxx 50 | Europe | +23.58% | 0.43 | 0.66 | +17.59% | +35.85% | 53 | 1.41 | +9.64% |
| Euronext 100 | Europe | +20.29% | 0.40 | 0.60 | +14.25% | +34.62% | 52 | 1.40 | +8.81% |
| CAC 40 | France | +16.86% | 0.32 | 0.48 | +15.97% | +39.58% | 48 | 1.33 | +9.36% |
| DAX | Germany | +42.32% | 0.72 | 1.16 | +14.56% | +42.00% | 50 | 1.83 | +9.36% |
| Hang Seng | Hong Kong | -10.88% | -0.15 | -0.22 | +36.93% | +29.09% | 55 | 0.95 | +16.37% |
| BSE Sensex | India | +22.94% | 0.52 | 0.78 | +11.07% | +38.78% | 49 | 1.47 | +7.94% |
| Nifty 50 | India | +8.51% | 0.21 | 0.29 | +19.39% | +35.19% | 54 | 1.19 | +7.93% |
| Nikkei 225 | Japan | +1.76% | 0.03 | 0.04 | +19.35% | +32.14% | 56 | 1.06 | +12.45% |
| KOSPI | South Korea | +47.89% | 0.62 | 0.98 | +23.37% | +36.96% | 46 | 1.78 | +12.49% |
| Swiss Market | Switzerland | +31.75% | 0.73 | 1.14 | +10.79% | +43.18% | 44 | 1.80 | +7.44% |
| Taiwan Weighted | Taiwan | +32.06% | 0.50 | 0.78 | +19.61% | +37.50% | 56 | 1.49 | +11.12% |
| FTSE 100 | UK | +15.31% | 0.39 | 0.56 | +12.10% | +41.07% | 56 | 1.33 | +7.24% |
| CBOE Volatility Index | US | -91.07% | -0.44 | -0.63 | +92.13% | +25.40% | 63 | 0.67 | +105.51% |
| Dow Jones Industrial Average | US | +6.17% | 0.13 | 0.19 | +16.80% | +35.71% | 56 | 1.17 | +9.06% |
| NASDAQ Composite | US | -2.49% | -0.04 | -0.05 | +29.25% | +33.33% | 54 | 1.04 | +14.08% |
| Russell 2000 | US | +0.35% | 0.00 | 0.01 | +25.76% | +31.37% | 51 | 1.07 | +14.88% |
| S&P 500 | US | +10.68% | 0.19 | 0.28 | +16.74% | +38.60% | 57 | 1.22 | +10.64% |