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 | +87.50% | Net profit | $875,027 | Gross profit | $1,259,030 | Gross loss | $986,810 | CAGR | +3.65% | Annualized return | +3.65% | Monthly average return | +0.42% | Median monthly return | -0.48% |
| Best month return | +3.88% | Worst month return | -6.10% | Rolling 1-month return | +11.14% | Log return CAGR | +7.54% | Compounded vs simple return difference | -86.30% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +31.41% | Average drawdown | +17.88% | Median drawdown | -5.20% | Drawdown duration (max) | 1296.0 days | Average drawdown duration | 30.7 days | Ulcer index | 19.12 | Pain index | 5.57 | Pain ratio | 21.99 |
| Drawdown volatility | 3.12 | Worst peak-to-trough loss | +31.41% | % time in drawdown | +84.71% | Drawdown area | 516.31 | Downside deviation | +13.73% | Semi-variance | 1.65 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.13 | Rolling 1-month Sharpe | 1.60 | Sortino ratio | 0.30 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 1.99 | Return / volatility | 3.08 | Return / downside risk | 4.08 |
| Return / max drawdown | 2.42 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 61 | Win rate | +29.05% | Loss rate | +70.95% | Average win | +7.11% | Average loss | -2.16% | Win/Loss ratio | 3.21 | Expectancy | +0.50% | Profit factor | 1.35 |
| Payoff ratio | 3.21 | Best trade | +28.41% | Worst trade | -6.59% | Trade return standard deviation | +5.48% | Consecutive wins (max) | 3 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.66% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.03 | Alpha vs benchmark % | +1.21% | 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 | +27.67% |
| Net profit | $276,738 |
| Gross profit | $1,014,857 |
| Gross loss | $708,429 |
| CAGR | +5.02% |
| Annualized return | +5.02% |
| Monthly average return | +0.49% |
| Median monthly return | +2.03% |
| Best month return | +6.22% |
| Worst month return | -2.53% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +27.03% |
| Compounded vs simple return difference | -17.82% |
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 | +1775.27% | 1.30 | 3.93 | +44.05% | +33.90% | 59 | 4.48 | +34.06% |
| S&P/ASX 200 | Australia | -4.42% | -0.10 | -0.13 | +24.65% | +33.33% | 60 | 0.95 | +9.32% |
| Bovespa | Brazil | -4.33% | -0.07 | -0.09 | +37.22% | +23.94% | 71 | 0.99 | +13.37% |
| TSX Composite | Canada | +51.38% | 0.84 | 1.26 | +9.76% | +41.86% | 43 | 2.35 | +9.54% |
| Euro Stoxx 50 | Europe | -18.83% | -0.34 | -0.43 | +27.95% | +25.00% | 68 | 0.82 | +12.51% |
| Euronext 100 | Europe | -13.84% | -0.27 | -0.35 | +28.69% | +28.36% | 67 | 0.84 | +10.87% |
| CAC 40 | France | -20.56% | -0.39 | -0.50 | +31.13% | +24.24% | 66 | 0.77 | +11.87% |
| DAX | Germany | +9.19% | 0.15 | 0.21 | +22.03% | +30.65% | 62 | 1.18 | +11.66% |
| Hang Seng | Hong Kong | -22.43% | -0.31 | -0.43 | +48.83% | +17.33% | 75 | 0.86 | +17.34% |
| BSE Sensex | India | +21.89% | 0.39 | 0.56 | +15.71% | +27.59% | 58 | 1.45 | +10.12% |
| Nifty 50 | India | +29.06% | 0.49 | 0.72 | +15.77% | +28.30% | 53 | 1.57 | +10.25% |
| Nikkei 225 | Japan | +5.52% | 0.07 | 0.11 | +35.54% | +29.23% | 65 | 1.14 | +14.70% |
| KOSPI | South Korea | +27.39% | 0.34 | 0.52 | +37.33% | +25.81% | 62 | 1.42 | +14.04% |
| Swiss Market | Switzerland | -6.60% | -0.15 | -0.21 | +27.73% | +24.07% | 54 | 0.91 | +8.99% |
| Taiwan Weighted | Taiwan | +64.64% | 0.76 | 1.22 | +19.55% | +31.37% | 51 | 1.92 | +12.88% |
| FTSE 100 | UK | +1.69% | 0.04 | 0.05 | +22.07% | +34.55% | 55 | 1.07 | +9.11% |
| CBOE Volatility Index | US | -80.09% | -0.28 | -0.49 | +91.88% | +24.68% | 77 | 0.99 | +103.29% |
| Dow Jones Industrial Average | US | +0.41% | 0.01 | 0.01 | +28.98% | +31.67% | 60 | 1.06 | +10.92% |
| NASDAQ Composite | US | +15.47% | 0.17 | 0.25 | +33.52% | +33.33% | 51 | 1.24 | +16.42% |
| Russell 2000 | US | -20.93% | -0.28 | -0.38 | +34.82% | +28.13% | 64 | 0.84 | +17.13% |
| S&P 500 | US | +27.67% | 0.38 | 0.56 | +22.49% | +32.69% | 52 | 1.43 | +12.48% |