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 | +8.98% | Net profit | $89,841 | Gross profit | $751,801 | Gross loss | $639,682 | CAGR | +1.46% | Annualized return | +1.46% | Monthly average return | +0.17% | Median monthly return | -0.75% |
| Best month return | +3.53% | Worst month return | -6.49% | Rolling 1-month return | +9.37% | Log return CAGR | +2.65% | Compounded vs simple return difference | -8.85% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.66% | Average drawdown | +8.92% | Median drawdown | -6.35% | Drawdown duration (max) | 1010.9 days | Average drawdown duration | 42.6 days | Ulcer index | 9.88 | Pain index | 6.68 | Pain ratio | 3.30 |
| Drawdown volatility | 4.11 | Worst peak-to-trough loss | +18.66% | % time in drawdown | +80.10% | Drawdown area | 554.98 | Downside deviation | +8.92% | Semi-variance | 0.66 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.13 | Rolling 1-month Sharpe | 1.38 | Sortino ratio | 0.22 | Calmar ratio | 0.11 | Sterling ratio | 0.12 | Burke ratio | 0.30 | Return / volatility | 0.91 | Return / downside risk | 0.96 |
| Return / max drawdown | 0.71 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 65 | Win rate | +27.91% | Loss rate | +72.09% | Average win | +4.23% | Average loss | -1.34% | Win/Loss ratio | 3.14 | Expectancy | +0.20% | Profit factor | 1.23 |
| Payoff ratio | 3.14 | Best trade | +14.78% | Worst trade | -4.10% | Trade return standard deviation | +3.07% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +9.49% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.15 | Alpha vs benchmark % | -0.06% | Information ratio | -0.65 | 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 | +2.70% |
| Net profit | $27,011 |
| Gross profit | $684,757 |
| Gross loss | $631,527 |
| CAGR | +0.54% |
| Annualized return | +0.54% |
| Monthly average return | +0.10% |
| Median monthly return | -1.08% |
| Best month return | +1.77% |
| Worst month return | -9.58% |
| Rolling 1-month return | +5.85% |
| Log return CAGR | -3.70% |
| Compounded vs simple return difference | -4.18% |
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 | -18.66% | -0.51 | -0.65 | +25.73% | +23.38% | 77 | 0.71 | +8.27% |
| Bovespa | Brazil | +21.45% | 0.33 | 0.50 | +17.66% | +23.53% | 68 | 1.33 | +11.50% |
| TSX Composite | Canada | +7.99% | 0.18 | 0.25 | +13.59% | +30.30% | 66 | 1.18 | +8.38% |
| Euro Stoxx 50 | Europe | +6.09% | 0.13 | 0.18 | +19.32% | +21.88% | 64 | 1.15 | +9.23% |
| Euronext 100 | Europe | +0.52% | 0.01 | 0.02 | +17.87% | +24.29% | 70 | 1.05 | +8.11% |
| CAC 40 | France | -3.75% | -0.08 | -0.11 | +22.13% | +30.16% | 63 | 0.98 | +9.09% |
| DAX | Germany | +20.87% | 0.40 | 0.60 | +17.39% | +27.87% | 61 | 1.44 | +9.15% |
| Hang Seng | Hong Kong | -23.56% | -0.35 | -0.49 | +41.24% | +21.13% | 71 | 0.84 | +16.13% |
| BSE Sensex | India | -1.72% | -0.04 | -0.06 | +19.24% | +27.42% | 62 | 1.02 | +8.58% |
| Nifty 50 | India | +32.13% | 0.64 | 0.97 | +8.82% | +33.96% | 53 | 1.79 | +8.64% |
| Nikkei 225 | Japan | +21.06% | 0.29 | 0.44 | +21.42% | +33.87% | 62 | 1.32 | +13.32% |
| KOSPI | South Korea | +40.46% | 0.46 | 0.67 | +25.02% | +28.33% | 60 | 1.66 | +14.70% |
| Swiss Market | Switzerland | -1.38% | -0.04 | -0.05 | +20.09% | +25.00% | 68 | 1.01 | +7.53% |
| Taiwan Weighted | Taiwan | +85.49% | 1.05 | 1.79 | +16.66% | +36.73% | 49 | 2.67 | +11.44% |
| FTSE 100 | UK | +3.57% | 0.10 | 0.14 | +14.14% | +28.57% | 63 | 1.11 | +7.17% |
| CBOE Volatility Index | US | +0.00% | - | - | +0.00% | - | - | - | +0.00% |
| Dow Jones Industrial Average | US | +1.01% | 0.02 | 0.03 | +15.85% | +30.99% | 71 | 1.05 | +8.81% |
| NASDAQ Composite | US | +11.41% | 0.15 | 0.22 | +25.84% | +27.14% | 70 | 1.20 | +13.84% |
| Russell 2000 | US | -17.04% | -0.26 | -0.36 | +31.66% | +24.36% | 78 | 0.84 | +14.83% |
| S&P 500 | US | +2.70% | 0.05 | 0.07 | +18.24% | +31.34% | 67 | 1.08 | +10.65% |