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 | +63.25% | Net profit | $632,531 | Gross profit | $1,021,643 | Gross loss | $834,287 | CAGR | +3.41% | Annualized return | +3.41% | Monthly average return | +0.29% | Median monthly return | -0.77% |
| Best month return | +5.22% | Worst month return | -5.99% | Rolling 1-month return | +10.16% | Log return CAGR | +2.26% | Compounded vs simple return difference | -63.85% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.60% | Average drawdown | +12.27% | Median drawdown | -5.81% | Drawdown duration (max) | 1109.1 days | Average drawdown duration | 44.9 days | Ulcer index | 13.29 | Pain index | 5.95 | Pain ratio | 24.00 |
| Drawdown volatility | 3.08 | Worst peak-to-trough loss | +24.60% | % time in drawdown | +86.95% | Drawdown area | 552.21 | Downside deviation | +13.62% | Semi-variance | 1.72 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.23 | Rolling 1-month Sharpe | 1.61 | Sortino ratio | 0.43 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 2.25 | Return / volatility | 2.88 | Return / downside risk | 3.38 |
| Return / max drawdown | 2.43 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 72 | Win rate | +35.94% | Loss rate | +64.06% | Average win | +3.92% | Average loss | -1.73% | Win/Loss ratio | 2.42 | Expectancy | +0.35% | Profit factor | 1.40 |
| Payoff ratio | 2.42 | Best trade | +18.15% | Worst trade | -6.56% | Trade return standard deviation | +4.27% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.11% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +1.63% | Information ratio | -0.55 | 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 | +23.33% |
| Net profit | $233,265 |
| Gross profit | $769,471 |
| Gross loss | $529,721 |
| CAGR | +4.30% |
| Annualized return | +4.30% |
| Monthly average return | +0.40% |
| Median monthly return | +0.73% |
| Best month return | +4.67% |
| Worst month return | -0.54% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +18.76% |
| Compounded vs simple return difference | -16.34% |
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 | +1145.74% | 1.25 | 3.40 | +31.87% | +48.48% | 66 | 4.52 | +31.78% |
| S&P/ASX 200 | Australia | +1.44% | 0.03 | 0.05 | +11.67% | +37.97% | 79 | 1.05 | +8.34% |
| Bovespa | Brazil | +17.98% | 0.29 | 0.43 | +17.77% | +36.76% | 68 | 1.29 | +11.29% |
| TSX Composite | Canada | +29.19% | 0.60 | 0.87 | +11.15% | +49.09% | 55 | 1.73 | +8.31% |
| Euro Stoxx 50 | Europe | +0.11% | 0.00 | 0.00 | +23.94% | +31.58% | 76 | 1.05 | +9.49% |
| Euronext 100 | Europe | +8.40% | 0.18 | 0.25 | +14.49% | +30.67% | 75 | 1.19 | +8.64% |
| CAC 40 | France | +12.50% | 0.24 | 0.34 | +17.80% | +34.29% | 70 | 1.26 | +9.55% |
| DAX | Germany | +25.85% | 0.46 | 0.69 | +22.01% | +36.36% | 77 | 1.47 | +9.70% |
| Hang Seng | Hong Kong | +5.69% | 0.07 | 0.11 | +31.09% | +39.13% | 69 | 1.14 | +15.99% |
| BSE Sensex | India | -0.44% | -0.01 | -0.01 | +18.92% | +21.92% | 73 | 1.04 | +9.04% |
| Nifty 50 | India | +1.41% | 0.03 | 0.04 | +20.73% | +26.39% | 72 | 1.08 | +9.22% |
| Nikkei 225 | Japan | -2.95% | -0.05 | -0.07 | +28.25% | +31.17% | 77 | 1.03 | +12.91% |
| KOSPI | South Korea | +62.34% | 0.75 | 1.24 | +22.89% | +39.71% | 68 | 1.98 | +12.65% |
| Swiss Market | Switzerland | +2.85% | 0.07 | 0.10 | +14.17% | +28.95% | 76 | 1.09 | +7.58% |
| Taiwan Weighted | Taiwan | +69.49% | 0.90 | 1.50 | +21.60% | +35.59% | 59 | 2.06 | +11.47% |
| FTSE 100 | UK | -8.22% | -0.22 | -0.29 | +26.44% | +36.71% | 79 | 0.86 | +7.72% |
| CBOE Volatility Index | US | -94.50% | -0.55 | -0.72 | +96.66% | +31.91% | 94 | 0.50 | +105.86% |
| Dow Jones Industrial Average | US | +5.83% | 0.13 | 0.18 | +18.62% | +36.36% | 66 | 1.15 | +9.02% |
| NASDAQ Composite | US | +44.13% | 0.52 | 0.80 | +18.20% | +49.18% | 61 | 1.68 | +13.62% |
| Russell 2000 | US | -21.86% | -0.33 | -0.44 | +34.52% | +30.12% | 83 | 0.76 | +15.33% |
| S&P 500 | US | +23.33% | 0.38 | 0.57 | +13.77% | +42.37% | 59 | 1.45 | +10.70% |