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 | +78.94% | Net profit | $789,379 | Gross profit | $865,202 | Gross loss | $697,210 | CAGR | +3.33% | Annualized return | +3.33% | Monthly average return | +0.26% | Median monthly return | -0.87% |
| Best month return | +6.22% | Worst month return | -8.78% | Rolling 1-month return | +14.11% | Log return CAGR | +19.00% | Compounded vs simple return difference | -76.87% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.64% | Average drawdown | +11.88% | Median drawdown | -8.42% | Drawdown duration (max) | 949.1 days | Average drawdown duration | 33.1 days | Ulcer index | 12.96 | Pain index | 9.29 | Pain ratio | 13.35 |
| Drawdown volatility | 5.27 | Worst peak-to-trough loss | +24.64% | % time in drawdown | +87.32% | Drawdown area | 846.72 | Downside deviation | +14.58% | Semi-variance | 3.70 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.20 | Rolling 1-month Sharpe | 1.38 | Sortino ratio | 0.42 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 1.29 | Return / volatility | 3.23 | Return / downside risk | 3.69 |
| Return / max drawdown | 2.82 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 33 | Win rate | +44.24% | Loss rate | +55.76% | Average win | +5.90% | Average loss | -3.43% | Win/Loss ratio | 1.84 | Expectancy | +0.69% | Profit factor | 1.61 |
| Payoff ratio | 1.84 | Best trade | +19.97% | Worst trade | -9.72% | Trade return standard deviation | +4.65% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.13% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +3.62% | Information ratio | -0.49 | 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 | +12.44% |
| Net profit | $124,443 |
| Gross profit | $657,891 |
| Gross loss | $493,388 |
| CAGR | +2.38% |
| Annualized return | +2.38% |
| Monthly average return | +0.26% |
| Median monthly return | +0.35% |
| Best month return | +5.07% |
| Worst month return | -19.08% |
| Rolling 1-month return | +6.04% |
| Log return CAGR | -19.78% |
| Compounded vs simple return difference | -20.82% |
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 | +1482.42% | 1.29 | 3.74 | +32.22% | +60.00% | 30 | 7.42 | +32.76% |
| S&P/ASX 200 | Australia | -8.03% | -0.19 | -0.24 | +16.60% | +36.36% | 33 | 0.85 | +9.00% |
| Bovespa | Brazil | +0.46% | 0.01 | 0.01 | +20.15% | +40.00% | 30 | 1.09 | +10.40% |
| TSX Composite | Canada | +4.16% | 0.09 | 0.12 | +21.85% | +43.75% | 32 | 1.17 | +8.81% |
| Euro Stoxx 50 | Europe | +11.23% | 0.21 | 0.29 | +17.58% | +48.48% | 33 | 1.30 | +10.03% |
| Euronext 100 | Europe | +9.83% | 0.20 | 0.27 | +16.78% | +41.67% | 36 | 1.26 | +9.19% |
| CAC 40 | France | +16.40% | 0.32 | 0.45 | +15.10% | +53.13% | 32 | 1.51 | +9.24% |
| DAX | Germany | +31.33% | 0.52 | 0.76 | +17.37% | +53.13% | 32 | 1.81 | +10.13% |
| Hang Seng | Hong Kong | +1.40% | 0.02 | 0.03 | +26.04% | +33.33% | 36 | 1.09 | +15.81% |
| BSE Sensex | India | +6.06% | 0.13 | 0.18 | +17.90% | +34.38% | 32 | 1.19 | +9.25% |
| Nifty 50 | India | +16.22% | 0.31 | 0.45 | +13.99% | +37.50% | 32 | 1.41 | +9.57% |
| Nikkei 225 | Japan | +8.42% | 0.12 | 0.17 | +29.60% | +35.29% | 34 | 1.24 | +13.90% |
| KOSPI | South Korea | +55.18% | 0.55 | 0.85 | +26.79% | +45.45% | 33 | 2.10 | +15.68% |
| Swiss Market | Switzerland | +7.02% | 0.17 | 0.23 | +13.31% | +48.48% | 33 | 1.22 | +8.16% |
| Taiwan Weighted | Taiwan | +79.49% | 0.91 | 1.52 | +18.49% | +51.72% | 29 | 2.73 | +12.49% |
| FTSE 100 | UK | +8.52% | 0.20 | 0.28 | +15.60% | +52.63% | 38 | 1.27 | +7.89% |
| CBOE Volatility Index | US | -98.22% | -1.01 | -0.92 | +99.28% | +30.23% | 43 | 0.33 | +95.97% |
| Dow Jones Industrial Average | US | -0.34% | -0.01 | -0.01 | +19.95% | +42.42% | 33 | 1.06 | +9.60% |
| NASDAQ Composite | US | +16.34% | 0.21 | 0.30 | +29.17% | +46.88% | 32 | 1.31 | +14.17% |
| Russell 2000 | US | -2.62% | -0.03 | -0.05 | +27.26% | +44.12% | 34 | 1.02 | +15.46% |
| S&P 500 | US | +12.44% | 0.21 | 0.29 | +22.38% | +50.00% | 26 | 1.33 | +11.31% |