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 | +4.39% | Net profit | $43,883 | Gross profit | $652,907 | Gross loss | $579,561 | CAGR | +0.60% | Annualized return | +0.60% | Monthly average return | +0.10% | Median monthly return | -0.48% |
| Best month return | +3.06% | Worst month return | -6.80% | Rolling 1-month return | +7.56% | Log return CAGR | -14.86% | Compounded vs simple return difference | -11.57% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.25% | Average drawdown | +12.89% | Median drawdown | -5.59% | Drawdown duration (max) | 1238.6 days | Average drawdown duration | 34.3 days | Ulcer index | 14.01 | Pain index | 7.20 | Pain ratio | 1.20 |
| Drawdown volatility | 5.57 | Worst peak-to-trough loss | +24.25% | % time in drawdown | +76.85% | Drawdown area | 582.61 | Downside deviation | +9.78% | Semi-variance | 1.01 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.04 | Rolling 1-month Sharpe | 1.28 | Sortino ratio | 0.07 | Calmar ratio | 0.03 | Sterling ratio | 0.03 | Burke ratio | 0.10 | Return / volatility | 0.36 | Return / downside risk | 0.42 |
| Return / max drawdown | 0.22 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 47 | Win rate | +34.87% | Loss rate | +65.13% | Average win | +4.11% | Average loss | -1.89% | Win/Loss ratio | 2.18 | Expectancy | +0.20% | Profit factor | 1.17 |
| Payoff ratio | 2.18 | Best trade | +17.35% | Worst trade | -6.76% | Trade return standard deviation | +3.29% | Consecutive wins (max) | 4 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +10.74% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.19 | Alpha vs benchmark % | -1.21% | Information ratio | -0.68 | Treynor ratio | 0.01 | ||||||||
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 | +35.76% |
| Net profit | $357,612 |
| Gross profit | $764,095 |
| Gross loss | $405,311 |
| CAGR | +6.33% |
| Annualized return | +6.33% |
| Monthly average return | +0.57% |
| Median monthly return | +2.16% |
| Best month return | +5.75% |
| Worst month return | -8.01% |
| Rolling 1-month return | +7.65% |
| Log return CAGR | -7.51% |
| Compounded vs simple return difference | -38.81% |
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 | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| S&P/ASX 200 | Australia | -4.39% | -0.09 | -0.12 | +22.22% | +32.00% | 50 | 0.96 | +9.82% |
| Bovespa | Brazil | -0.93% | -0.02 | -0.02 | +23.48% | +33.33% | 45 | 1.08 | +11.60% |
| TSX Composite | Canada | +16.87% | 0.32 | 0.45 | +24.48% | +42.86% | 42 | 1.47 | +9.51% |
| Euro Stoxx 50 | Europe | -18.97% | -0.39 | -0.48 | +29.19% | +39.29% | 56 | 0.71 | +11.08% |
| Euronext 100 | Europe | -1.53% | -0.03 | -0.04 | +18.35% | +34.88% | 43 | 0.99 | +10.25% |
| CAC 40 | France | -21.79% | -0.48 | -0.59 | +30.72% | +29.63% | 54 | 0.62 | +10.19% |
| DAX | Germany | -5.14% | -0.09 | -0.12 | +25.86% | +31.37% | 51 | 0.95 | +11.32% |
| Hang Seng | Hong Kong | -28.82% | -0.42 | -0.54 | +34.56% | +30.19% | 53 | 0.67 | +17.05% |
| BSE Sensex | India | +16.78% | 0.31 | 0.44 | +20.50% | +39.13% | 46 | 1.38 | +9.98% |
| Nifty 50 | India | +30.24% | 0.50 | 0.72 | +20.42% | +35.90% | 39 | 1.69 | +10.51% |
| Nikkei 225 | Japan | +2.71% | 0.04 | 0.05 | +35.36% | +35.48% | 62 | 1.11 | +14.68% |
| KOSPI | South Korea | +53.54% | 0.51 | 0.80 | +31.44% | +31.25% | 48 | 2.13 | +16.38% |
| Swiss Market | Switzerland | -4.41% | -0.11 | -0.15 | +19.73% | +30.00% | 50 | 0.93 | +8.07% |
| Taiwan Weighted | Taiwan | +23.30% | 0.29 | 0.41 | +31.95% | +37.78% | 45 | 1.44 | +14.84% |
| FTSE 100 | UK | -3.38% | -0.08 | -0.10 | +25.95% | +38.10% | 42 | 0.95 | +8.94% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | -4.50% | -0.10 | -0.14 | +23.51% | +36.96% | 46 | 0.95 | +9.28% |
| NASDAQ Composite | US | +26.02% | 0.30 | 0.44 | +30.85% | +33.33% | 36 | 1.48 | +15.08% |
| Russell 2000 | US | -19.21% | -0.28 | -0.39 | +38.44% | +32.73% | 55 | 0.74 | +15.34% |
| S&P 500 | US | +35.76% | 0.51 | 0.78 | +22.23% | +38.24% | 34 | 1.89 | +11.65% |