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 | +82.03% | Net profit | $820,270 | Gross profit | $954,053 | Gross loss | $845,271 | CAGR | +2.62% | Annualized return | +2.62% | Monthly average return | +0.17% | Median monthly return | -2.46% |
| Best month return | +3.47% | Worst month return | -9.11% | Rolling 1-month return | +12.70% | Log return CAGR | -7.74% | Compounded vs simple return difference | -89.65% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.48% | Average drawdown | +12.99% | Median drawdown | -9.38% | Drawdown duration (max) | 1042.3 days | Average drawdown duration | 50.4 days | Ulcer index | 14.12 | Pain index | 10.26 | Pain ratio | 12.30 |
| Drawdown volatility | 5.87 | Worst peak-to-trough loss | +25.48% | % time in drawdown | +90.43% | Drawdown area | 967.36 | Downside deviation | +14.06% | Semi-variance | 3.40 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.21 | Sortino ratio | 0.35 | Calmar ratio | 0.20 | Sterling ratio | 0.20 | Burke ratio | 1.15 | Return / volatility | 3.19 | Return / downside risk | 3.74 |
| Return / max drawdown | 3.10 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 61 | Win rate | +37.59% | Loss rate | +62.41% | Average win | +4.11% | Average loss | -2.00% | Win/Loss ratio | 2.18 | Expectancy | +0.36% | Profit factor | 1.45 |
| Payoff ratio | 2.18 | Best trade | +17.69% | Worst trade | -7.18% | Trade return standard deviation | +4.40% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.24% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +3.40% | Information ratio | -0.51 | 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 | +9.43% |
| Net profit | $94,340 |
| Gross profit | $678,244 |
| Gross loss | $548,436 |
| CAGR | +1.83% |
| Annualized return | +1.83% |
| Monthly average return | +0.20% |
| Median monthly return | +0.72% |
| Best month return | +1.45% |
| Worst month return | -13.25% |
| Rolling 1-month return | +4.54% |
| Log return CAGR | -29.40% |
| Compounded vs simple return difference | -22.34% |
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 | +1636.12% | 1.36 | 4.03 | +30.05% | +53.06% | 49 | 6.96 | +32.01% |
| S&P/ASX 200 | Australia | +6.87% | 0.16 | 0.22 | +10.54% | +39.66% | 58 | 1.21 | +8.39% |
| Bovespa | Brazil | +1.98% | 0.04 | 0.05 | +24.98% | +29.82% | 57 | 1.10 | +10.95% |
| TSX Composite | Canada | +23.58% | 0.49 | 0.68 | +12.64% | +48.00% | 50 | 1.61 | +8.52% |
| Euro Stoxx 50 | Europe | +6.21% | 0.12 | 0.18 | +16.37% | +35.00% | 60 | 1.16 | +9.58% |
| Euronext 100 | Europe | +4.94% | 0.11 | 0.15 | +19.51% | +32.26% | 62 | 1.13 | +8.84% |
| CAC 40 | France | +2.36% | 0.05 | 0.07 | +21.11% | +35.38% | 65 | 1.08 | +9.64% |
| DAX | Germany | +3.47% | 0.07 | 0.10 | +21.78% | +30.26% | 76 | 1.11 | +9.59% |
| Hang Seng | Hong Kong | -3.22% | -0.04 | -0.06 | +33.61% | +34.38% | 64 | 1.02 | +16.10% |
| BSE Sensex | India | +9.27% | 0.20 | 0.28 | +18.77% | +38.10% | 63 | 1.20 | +9.16% |
| Nifty 50 | India | +12.10% | 0.24 | 0.35 | +18.49% | +39.06% | 64 | 1.24 | +9.45% |
| Nikkei 225 | Japan | -10.34% | -0.17 | -0.23 | +30.31% | +34.29% | 70 | 0.93 | +13.47% |
| KOSPI | South Korea | +45.86% | 0.48 | 0.73 | +27.92% | +40.98% | 61 | 1.76 | +15.52% |
| Swiss Market | Switzerland | +11.48% | 0.27 | 0.39 | +10.75% | +41.07% | 56 | 1.30 | +7.95% |
| Taiwan Weighted | Taiwan | +63.21% | 0.78 | 1.28 | +14.94% | +41.82% | 55 | 1.95 | +12.31% |
| FTSE 100 | UK | -10.92% | -0.31 | -0.40 | +26.74% | +32.84% | 67 | 0.81 | +7.54% |
| CBOE Volatility Index | US | -98.65% | -0.97 | -0.93 | +99.04% | +29.21% | 89 | 0.36 | +104.52% |
| Dow Jones Industrial Average | US | +4.26% | 0.09 | 0.13 | +19.42% | +39.29% | 56 | 1.15 | +8.97% |
| NASDAQ Composite | US | +18.30% | 0.24 | 0.35 | +30.87% | +41.18% | 51 | 1.33 | +13.54% |
| Russell 2000 | US | -13.74% | -0.21 | -0.29 | +27.87% | +33.33% | 66 | 0.84 | +14.38% |
| S&P 500 | US | +9.43% | 0.17 | 0.24 | +19.38% | +40.43% | 47 | 1.24 | +10.68% |