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 | +317.83% | Net profit | $3,178,328 | Gross profit | $763,407 | Gross loss | $380,415 | CAGR | +8.58% | Annualized return | +8.58% | Monthly average return | +0.68% | Median monthly return | +1.89% |
| Best month return | +8.30% | Worst month return | -5.52% | Rolling 1-month return | +15.88% | Log return CAGR | +279.31% | Compounded vs simple return difference | -300.18% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.10% | Average drawdown | +7.96% | Median drawdown | -7.54% | Drawdown duration (max) | 1020.8 days | Average drawdown duration | 30.2 days | Ulcer index | 9.47 | Pain index | 7.65 | Pain ratio | 21.09 |
| Drawdown volatility | 4.82 | Worst peak-to-trough loss | +22.10% | % time in drawdown | +88.40% | Drawdown area | 685.15 | Downside deviation | +16.62% | Semi-variance | 2.70 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.17 | Rolling 1-month Sharpe | 0.91 | Sortino ratio | 0.36 | Calmar ratio | 0.28 | Sterling ratio | 0.28 | Burke ratio | 2.04 | Return / volatility | 4.47 | Return / downside risk | 6.80 |
| Return / max drawdown | 8.12 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 32 | Win rate | +63.18% | Loss rate | +36.82% | Average win | +3.55% | Average loss | -3.28% | Win/Loss ratio | 0.93 | Expectancy | +1.17% | Profit factor | 1.77 |
| Payoff ratio | 0.93 | Best trade | +8.94% | Worst trade | -9.69% | Trade return standard deviation | +3.90% | Consecutive wins (max) | 6 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.80% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.13 | Alpha vs benchmark % | +7.11% | Information ratio | -0.50 | 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 | +15.79% |
| Net profit | $157,925 |
| Gross profit | $451,304 |
| Gross loss | $289,050 |
| CAGR | +2.99% |
| Annualized return | +2.99% |
| Monthly average return | +0.28% |
| Median monthly return | -3.57% |
| Best month return | +5.03% |
| Worst month return | -10.82% |
| Rolling 1-month return | +5.74% |
| Log return CAGR | -29.29% |
| Compounded vs simple return difference | -28.64% |
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 | +118.16% | 0.61 | 1.19 | +22.03% | +75.00% | 24 | 5.66 | +23.88% |
| S&P/ASX 200 | Australia | -5.59% | -0.12 | -0.17 | +16.11% | +53.33% | 30 | 0.85 | +9.22% |
| Bovespa | Brazil | +7.87% | 0.13 | 0.19 | +20.86% | +61.29% | 31 | 1.24 | +11.69% |
| TSX Composite | Canada | +15.29% | 0.30 | 0.43 | +18.05% | +65.63% | 32 | 1.63 | +9.43% |
| Euro Stoxx 50 | Europe | +4.04% | 0.06 | 0.08 | +21.73% | +65.63% | 32 | 1.15 | +14.12% |
| Euronext 100 | Europe | +20.08% | 0.29 | 0.42 | +14.48% | +62.86% | 35 | 1.84 | +12.12% |
| CAC 40 | France | +14.97% | 0.21 | 0.31 | +16.44% | +67.65% | 34 | 1.49 | +12.59% |
| DAX | Germany | +9.97% | 0.14 | 0.20 | +20.53% | +67.65% | 34 | 1.37 | +13.61% |
| Hang Seng | Hong Kong | -19.63% | -0.24 | -0.33 | +38.54% | +50.00% | 34 | 0.71 | +18.59% |
| BSE Sensex | India | +0.03% | 0.00 | 0.00 | +13.59% | +62.07% | 29 | 1.06 | +9.31% |
| Nifty 50 | India | +14.17% | 0.28 | 0.41 | +11.32% | +59.38% | 32 | 1.51 | +9.51% |
| Nikkei 225 | Japan | +38.32% | 0.40 | 0.61 | +22.22% | +64.71% | 34 | 2.53 | +16.12% |
| KOSPI | South Korea | +14.74% | 0.19 | 0.28 | +31.52% | +56.25% | 32 | 1.40 | +14.83% |
| Swiss Market | Switzerland | -13.93% | -0.29 | -0.38 | +24.46% | +54.84% | 31 | 0.64 | +10.44% |
| Taiwan Weighted | Taiwan | -1.36% | -0.02 | -0.03 | +27.35% | +65.52% | 29 | 1.03 | +15.11% |
| FTSE 100 | UK | +13.78% | 0.26 | 0.36 | +11.97% | +70.97% | 31 | 1.78 | +9.82% |
| CBOE Volatility Index | US | +6379.40% | 0.56 | 2.80 | +41.17% | +71.43% | 35 | 5.43 | +84.81% |
| Dow Jones Industrial Average | US | +9.48% | 0.16 | 0.24 | +13.77% | +66.67% | 33 | 1.36 | +11.08% |
| NASDAQ Composite | US | +30.25% | 0.30 | 0.45 | +25.28% | +64.71% | 34 | 1.75 | +17.29% |
| Russell 2000 | US | +8.66% | 0.10 | 0.15 | +30.82% | +54.55% | 33 | 1.21 | +16.36% |
| S&P 500 | US | +15.79% | 0.23 | 0.33 | +21.96% | +66.67% | 33 | 1.56 | +12.82% |