Strategy
Data as of Monday, Feb 16, 2026
| Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value | Metric | Value |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return & Growth | |||||||||||||||
| Total return | +269.65% | Net profit | $2,696,541 | Gross profit | $3,498,623 | Gross loss | $749,847 | CAGR | +6.62% | Annualized return | +6.62% | Monthly average return | +0.60% | Median monthly return | -0.25% |
| Best month return | +5.51% | Worst month return | -5.22% | Rolling 1-month return | +10.64% | Log return CAGR | +6.84% | Compounded vs simple return difference | -267.71% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.64% | Average drawdown | +15.51% | Median drawdown | -4.72% | Drawdown duration (max) | 1284.0 days | Average drawdown duration | 38.4 days | Ulcer index | 17.17 | Pain index | 4.90 | Pain ratio | 70.42 |
| Drawdown volatility | 2.62 | Worst peak-to-trough loss | +30.64% | % time in drawdown | +87.00% | Drawdown area | 452.60 | Downside deviation | +14.12% | Semi-variance | 1.79 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.12 | Rolling 1-month Sharpe | 1.59 | Sortino ratio | 0.34 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 6.51 | Return / volatility | 6.55 | Return / downside risk | 10.18 |
| Return / max drawdown | 6.90 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 63 | Win rate | +37.62% | Loss rate | +62.38% | Average win | +271.99% | Average loss | -2.03% | Win/Loss ratio | 1.82 | Expectancy | +268.45% | Profit factor | 1.03 |
| Payoff ratio | 1.82 | Best trade | +281.18% | Worst trade | -7.61% | Trade return standard deviation | +5.11% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +18.79% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.08 | Alpha vs benchmark % | +5.27% | Information ratio | -0.59 | Treynor ratio | 0.00 | ||||||||
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 | -1.46% |
| Net profit | -$14,599 |
| Gross profit | $978,854 |
| Gross loss | $940,500 |
| CAGR | -0.29% |
| Annualized return | -0.29% |
| Monthly average return | +0.11% |
| Median monthly return | +1.22% |
| Best month return | +5.23% |
| Worst month return | -6.76% |
| Rolling 1-month return | +6.37% |
| Log return CAGR | +2.96% |
| Compounded vs simple return difference | +2.61% |
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 | +5598.54% | 1.24 | 4.84 | +40.49% | +100.00% | 1 | 0.00 | +43.69% |
| S&P/ASX 200 | Australia | -8.73% | -0.21 | -0.27 | +21.07% | +33.33% | 75 | 0.89 | +8.78% |
| Bovespa | Brazil | +12.73% | 0.20 | 0.29 | +23.72% | +28.77% | 73 | 1.20 | +12.06% |
| TSX Composite | Canada | +16.66% | 0.31 | 0.43 | +24.38% | +41.54% | 65 | 1.30 | +9.78% |
| Euro Stoxx 50 | Europe | +0.09% | 0.00 | 0.00 | +29.06% | +32.84% | 67 | 1.06 | +11.74% |
| Euronext 100 | Europe | +13.78% | 0.25 | 0.35 | +24.76% | +34.29% | 70 | 1.25 | +9.87% |
| CAC 40 | France | -17.62% | -0.35 | -0.44 | +29.38% | +30.26% | 76 | 0.84 | +11.14% |
| DAX | Germany | +20.02% | 0.30 | 0.43 | +21.67% | +34.78% | 69 | 1.30 | +11.97% |
| Hang Seng | Hong Kong | -15.37% | -0.21 | -0.29 | +45.94% | +33.33% | 63 | 0.91 | +16.73% |
| BSE Sensex | India | +7.50% | 0.16 | 0.23 | +14.88% | +35.29% | 68 | 1.18 | +9.25% |
| Nifty 50 | India | +26.84% | 0.47 | 0.71 | +16.68% | +37.50% | 64 | 1.51 | +10.05% |
| Nikkei 225 | Japan | +9.31% | 0.13 | 0.19 | +36.71% | +39.19% | 74 | 1.15 | +14.32% |
| KOSPI | South Korea | +31.87% | 0.41 | 0.63 | +35.89% | +36.49% | 74 | 1.45 | +13.56% |
| Swiss Market | Switzerland | +14.52% | 0.31 | 0.45 | +15.43% | +37.50% | 64 | 1.29 | +8.58% |
| Taiwan Weighted | Taiwan | -10.47% | -0.20 | -0.26 | +30.20% | +35.14% | 74 | 0.94 | +11.58% |
| FTSE 100 | UK | +24.20% | 0.55 | 0.83 | +8.99% | +47.37% | 57 | 1.64 | +7.66% |
| CBOE Volatility Index | US | -7.61% | -0.01 | -0.02 | +74.26% | +0.00% | 1 | 0.00 | +127.57% |
| Dow Jones Industrial Average | US | -3.90% | -0.07 | -0.10 | +28.09% | +45.31% | 64 | 0.97 | +10.78% |
| NASDAQ Composite | US | -15.69% | -0.21 | -0.27 | +45.09% | +33.33% | 69 | 0.95 | +16.39% |
| Russell 2000 | US | -32.48% | -0.48 | -0.62 | +47.04% | +33.71% | 89 | 0.77 | +16.86% |
| S&P 500 | US | -1.46% | -0.02 | -0.03 | +29.79% | +40.00% | 65 | 1.04 | +12.19% |