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 | +91.60% | Net profit | $916,035 | Gross profit | $918,082 | Gross loss | $681,224 | CAGR | +4.74% | Annualized return | +4.74% | Monthly average return | +0.38% | Median monthly return | -1.28% |
| Best month return | +9.79% | Worst month return | -7.06% | Rolling 1-month return | +16.76% | Log return CAGR | +16.49% | Compounded vs simple return difference | -87.88% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.35% | Average drawdown | +10.54% | Median drawdown | -8.09% | Drawdown duration (max) | 851.3 days | Average drawdown duration | 35.4 days | Ulcer index | 11.63 | Pain index | 8.22 | Pain ratio | 12.91 |
| Drawdown volatility | 4.44 | Worst peak-to-trough loss | +23.35% | % time in drawdown | +86.89% | Drawdown area | 750.43 | Downside deviation | +14.15% | Semi-variance | 3.77 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.33 | Rolling 1-month Sharpe | 1.52 | Sortino ratio | 0.60 | Calmar ratio | 0.30 | Sterling ratio | 0.30 | Burke ratio | 1.20 | Return / volatility | 4.13 | Return / downside risk | 4.69 |
| Return / max drawdown | 3.62 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 36 | Win rate | +42.47% | Loss rate | +57.53% | Average win | +6.03% | Average loss | -3.00% | Win/Loss ratio | 2.12 | Expectancy | +0.82% | Profit factor | 1.76 |
| Payoff ratio | 2.12 | Best trade | +20.50% | Worst trade | -7.46% | Trade return standard deviation | +4.59% | Consecutive wins (max) | 4 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.38% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | +5.79% | Information ratio | -0.40 | 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 | +45.02% |
| Net profit | $450,158 |
| Gross profit | $793,683 |
| Gross loss | $380,448 |
| CAGR | +7.74% |
| Annualized return | +7.74% |
| Monthly average return | +0.67% |
| Median monthly return | +1.54% |
| Best month return | +4.98% |
| Worst month return | -12.43% |
| Rolling 1-month return | +6.81% |
| Log return CAGR | +12.57% |
| Compounded vs simple return difference | -40.20% |
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 | +1609.89% | 1.35 | 3.98 | +29.80% | +65.63% | 32 | 7.82 | +32.12% |
| S&P/ASX 200 | Australia | +10.97% | 0.24 | 0.33 | +12.21% | +47.06% | 34 | 1.38 | +8.57% |
| Bovespa | Brazil | +16.06% | 0.27 | 0.39 | +22.34% | +37.14% | 35 | 1.36 | +11.08% |
| TSX Composite | Canada | +25.74% | 0.51 | 0.72 | +10.13% | +45.45% | 33 | 1.76 | +8.77% |
| Euro Stoxx 50 | Europe | +7.36% | 0.14 | 0.20 | +17.69% | +37.50% | 40 | 1.18 | +9.96% |
| Euronext 100 | Europe | +9.13% | 0.19 | 0.27 | +14.09% | +42.50% | 40 | 1.23 | +8.84% |
| CAC 40 | France | +1.13% | 0.02 | 0.03 | +16.87% | +35.14% | 37 | 1.07 | +9.51% |
| DAX | Germany | +37.09% | 0.61 | 0.94 | +15.70% | +47.06% | 34 | 1.99 | +9.84% |
| Hang Seng | Hong Kong | +4.33% | 0.05 | 0.08 | +30.36% | +34.29% | 35 | 1.16 | +16.15% |
| BSE Sensex | India | +18.34% | 0.36 | 0.53 | +15.35% | +36.36% | 33 | 1.49 | +9.34% |
| Nifty 50 | India | +17.01% | 0.33 | 0.48 | +15.38% | +35.29% | 34 | 1.45 | +9.52% |
| Nikkei 225 | Japan | +22.88% | 0.31 | 0.47 | +26.56% | +38.46% | 39 | 1.44 | +13.41% |
| KOSPI | South Korea | +50.08% | 0.52 | 0.79 | +23.68% | +38.89% | 36 | 1.93 | +15.37% |
| Swiss Market | Switzerland | +12.57% | 0.30 | 0.43 | +13.49% | +38.89% | 36 | 1.37 | +7.86% |
| Taiwan Weighted | Taiwan | +66.49% | 0.82 | 1.34 | +25.09% | +48.48% | 33 | 2.26 | +12.18% |
| FTSE 100 | UK | +2.08% | 0.05 | 0.07 | +18.57% | +43.90% | 41 | 1.09 | +7.56% |
| CBOE Volatility Index | US | -97.89% | -0.81 | -0.87 | +99.18% | +25.00% | 44 | 0.35 | +105.57% |
| Dow Jones Industrial Average | US | +26.28% | 0.49 | 0.74 | +16.05% | +58.33% | 36 | 1.81 | +9.26% |
| NASDAQ Composite | US | +39.37% | 0.47 | 0.72 | +22.85% | +45.45% | 33 | 1.65 | +13.54% |
| Russell 2000 | US | -0.25% | -0.00 | -0.01 | +29.39% | +41.03% | 39 | 1.05 | +14.94% |
| S&P 500 | US | +45.02% | 0.67 | 1.05 | +15.48% | +50.00% | 30 | 2.09 | +10.66% |