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 | +260.50% | Net profit | $2,604,963 | Gross profit | $681,211 | Gross loss | $24,614 | CAGR | +12.82% | Annualized return | +12.82% | Monthly average return | +1.13% | Median monthly return | +2.58% |
| Best month return | +6.12% | Worst month return | -2.69% | Rolling 1-month return | +13.75% | Log return CAGR | +31.37% | Compounded vs simple return difference | -253.52% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.34% | Average drawdown | +10.54% | Median drawdown | -5.27% | Drawdown duration (max) | 805.8 days | Average drawdown duration | 20.4 days | Ulcer index | 12.13 | Pain index | 5.56 | Pain ratio | 45.64 |
| Drawdown volatility | 3.57 | Worst peak-to-trough loss | +28.34% | % time in drawdown | +81.90% | Drawdown area | 484.16 | Downside deviation | +15.50% | Semi-variance | 3.56 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.44 | Rolling 1-month Sharpe | 1.36 | Sortino ratio | 0.83 | Calmar ratio | 0.45 | Sterling ratio | 0.45 | Burke ratio | 4.49 | Return / volatility | 7.88 | Return / downside risk | 11.72 |
| Return / max drawdown | 7.28 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 3 | Win rate | +91.75% | Loss rate | +8.25% | Average win | +27.61% | Average loss | -2.35% | Win/Loss ratio | 1.60 | Expectancy | +22.29% | Profit factor | 8.46 |
| Payoff ratio | 1.60 | Best trade | +39.92% | Worst trade | -2.41% | Trade return standard deviation | +5.85% | Consecutive wins (max) | 3 | Consecutive losses (max) | 0 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +23.15% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.16 | Alpha vs benchmark % | +13.69% | Information ratio | -0.19 | 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 | +56.63% |
| Net profit | $566,311 |
| Gross profit | $516,423 |
| Gross loss | $0 |
| CAGR | +9.42% |
| Annualized return | +9.42% |
| Monthly average return | +0.84% |
| Median monthly return | +3.21% |
| Best month return | +4.24% |
| Worst month return | +0.86% |
| Rolling 1-month return | +8.04% |
| Log return CAGR | +6.60% |
| Compounded vs simple return difference | -54.06% |
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 | +4585.09% | 1.30 | 4.94 | +39.75% | +91.67% | 12 | 147.66 | +40.66% |
| S&P/ASX 200 | Australia | +17.72% | 0.25 | 0.36 | +15.64% | +100.00% | 3 | 0.00 | +12.51% |
| Bovespa | Brazil | +48.64% | 0.47 | 0.73 | +25.02% | +60.00% | 5 | 10.89 | +16.40% |
| TSX Composite | Canada | +64.20% | 0.74 | 1.15 | +17.43% | +100.00% | 3 | 0.00 | +12.75% |
| Euro Stoxx 50 | Europe | +43.02% | 0.40 | 0.61 | +25.45% | +100.00% | 2 | 0.00 | +17.06% |
| Euronext 100 | Europe | +41.91% | 0.44 | 0.65 | +20.66% | +100.00% | 1 | 0.00 | +15.04% |
| CAC 40 | France | +23.14% | 0.25 | 0.36 | +22.91% | +100.00% | 2 | 0.00 | +15.94% |
| DAX | Germany | +51.98% | 0.48 | 0.74 | +26.32% | +100.00% | 5 | 0.00 | +16.45% |
| Hang Seng | Hong Kong | -10.56% | -0.09 | -0.14 | +49.95% | +50.00% | 2 | 0.85 | +24.28% |
| BSE Sensex | India | +47.21% | 0.58 | 0.90 | +16.58% | +100.00% | 2 | 0.00 | +12.96% |
| Nifty 50 | India | +52.77% | 0.63 | 0.97 | +17.06% | +100.00% | 2 | 0.00 | +13.18% |
| Nikkei 225 | Japan | +87.64% | 0.56 | 0.93 | +26.26% | +100.00% | 3 | 0.00 | +21.33% |
| KOSPI | South Korea | +77.95% | 0.54 | 0.87 | +34.75% | +100.00% | 3 | 0.00 | +20.57% |
| Swiss Market | Switzerland | +10.48% | 0.15 | 0.21 | +22.20% | +75.00% | 4 | 9.20 | +13.01% |
| Taiwan Weighted | Taiwan | +96.31% | 0.67 | 1.08 | +31.24% | +50.00% | 2 | 8.99 | +19.41% |
| FTSE 100 | UK | +42.40% | 0.55 | 0.81 | +13.37% | +100.00% | 1 | 0.00 | +12.33% |
| CBOE Volatility Index | US | +31.14% | 0.03 | 0.08 | +74.26% | +100.00% | 1 | 0.00 | +126.70% |
| Dow Jones Industrial Average | US | +31.98% | 0.38 | 0.57 | +21.74% | +100.00% | 2 | 0.00 | +14.35% |
| NASDAQ Composite | US | +61.47% | 0.41 | 0.65 | +36.28% | +100.00% | 2 | 0.00 | +22.11% |
| Russell 2000 | US | +9.31% | 0.08 | 0.12 | +32.94% | +100.00% | 1 | 0.00 | +22.31% |
| S&P 500 | US | +56.63% | 0.51 | 0.81 | +25.40% | +100.00% | 2 | 0.00 | +16.69% |