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 | +59.88% | Net profit | $598,786 | Gross profit | $521,742 | Gross loss | $470,127 | CAGR | +1.89% | Annualized return | +1.89% | Monthly average return | +0.07% | Median monthly return | -1.28% |
| Best month return | +5.86% | Worst month return | -7.97% | Rolling 1-month return | +16.19% | Log return CAGR | +26.89% | Compounded vs simple return difference | -56.79% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +19.58% | Average drawdown | +10.60% | Median drawdown | -8.39% | Drawdown duration (max) | 822.8 days | Average drawdown duration | 38.4 days | Ulcer index | 11.36 | Pain index | 8.35 | Pain ratio | 14.48 |
| Drawdown volatility | 3.05 | Worst peak-to-trough loss | +19.58% | % time in drawdown | +88.97% | Drawdown area | 797.86 | Downside deviation | +14.95% | Semi-variance | 4.25 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.09 | Rolling 1-month Sharpe | 1.35 | Sortino ratio | 0.32 | Calmar ratio | 0.25 | Sterling ratio | 0.25 | Burke ratio | 1.41 | Return / volatility | 2.62 | Return / downside risk | 2.68 |
| Return / max drawdown | 3.32 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +37.99% | Loss rate | +62.01% | Average win | +5.67% | Average loss | -2.74% | Win/Loss ratio | 2.39 | Expectancy | +0.37% | Profit factor | 1.87 |
| Payoff ratio | 2.39 | Best trade | +14.54% | Worst trade | -5.99% | Trade return standard deviation | +3.38% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.98% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +1.31% | Information ratio | -0.57 | 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 | +2.51% |
| Net profit | $25,096 |
| Gross profit | $293,487 |
| Gross loss | $259,114 |
| CAGR | +0.50% |
| Annualized return | +0.50% |
| Monthly average return | +0.06% |
| Median monthly return | -1.22% |
| Best month return | +2.26% |
| Worst month return | -4.76% |
| Rolling 1-month return | +2.79% |
| Log return CAGR | -7.23% |
| Compounded vs simple return difference | -5.45% |
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 | +1176.33% | 1.35 | 3.90 | +21.25% | +58.33% | 24 | 10.28 | +29.62% |
| S&P/ASX 200 | Australia | -18.67% | -0.73 | -0.89 | +21.21% | +20.69% | 29 | 0.39 | +5.77% |
| Bovespa | Brazil | +19.26% | 0.44 | 0.65 | +13.18% | +47.83% | 23 | 1.80 | +8.00% |
| TSX Composite | Canada | +4.78% | 0.15 | 0.20 | +9.76% | +39.29% | 28 | 1.23 | +6.17% |
| Euro Stoxx 50 | Europe | -1.49% | -0.04 | -0.06 | +13.03% | +28.00% | 25 | 1.00 | +6.82% |
| Euronext 100 | Europe | +0.29% | 0.01 | 0.01 | +10.61% | +45.45% | 22 | 1.05 | +6.16% |
| CAC 40 | France | -1.74% | -0.05 | -0.07 | +16.04% | +38.10% | 21 | 0.97 | +6.44% |
| DAX | Germany | +13.08% | 0.33 | 0.49 | +9.92% | +45.45% | 22 | 1.65 | +7.17% |
| Hang Seng | Hong Kong | -5.44% | -0.09 | -0.14 | +19.82% | +26.09% | 23 | 0.96 | +12.33% |
| BSE Sensex | India | +11.52% | 0.31 | 0.44 | +18.89% | +29.17% | 24 | 1.47 | +6.99% |
| Nifty 50 | India | +13.37% | 0.36 | 0.50 | +18.48% | +34.78% | 23 | 1.54 | +7.08% |
| Nikkei 225 | Japan | +32.17% | 0.52 | 0.84 | +15.17% | +52.38% | 21 | 2.18 | +10.65% |
| KOSPI | South Korea | +64.89% | 0.76 | 1.16 | +19.32% | +47.37% | 19 | 4.64 | +12.84% |
| Swiss Market | Switzerland | -1.42% | -0.05 | -0.07 | +10.43% | +41.67% | 24 | 0.96 | +5.65% |
| Taiwan Weighted | Taiwan | +61.81% | 0.99 | 1.70 | +9.71% | +63.64% | 22 | 4.10 | +9.54% |
| FTSE 100 | UK | -6.35% | -0.24 | -0.31 | +17.42% | +33.33% | 24 | 0.74 | +5.39% |
| CBOE Volatility Index | US | -98.82% | -1.74 | -1.21 | +98.82% | +11.11% | 27 | 0.10 | +71.96% |
| Dow Jones Industrial Average | US | -8.54% | -0.30 | -0.41 | +11.95% | +30.77% | 26 | 0.66 | +6.06% |
| NASDAQ Composite | US | +24.81% | 0.45 | 0.68 | +12.41% | +42.86% | 21 | 2.04 | +9.65% |
| Russell 2000 | US | -24.90% | -0.57 | -0.73 | +32.28% | +30.77% | 26 | 0.47 | +10.29% |
| S&P 500 | US | +2.51% | 0.07 | 0.10 | +11.55% | +30.77% | 26 | 1.13 | +6.98% |