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 | +93.02% | Net profit | $930,162 | Gross profit | $829,710 | Gross loss | $588,006 | CAGR | +4.60% | Annualized return | +4.60% | Monthly average return | +0.35% | Median monthly return | +0.09% |
| Best month return | +4.81% | Worst month return | -4.25% | Rolling 1-month return | +9.66% | Log return CAGR | +6.40% | Compounded vs simple return difference | -92.13% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.09% | Average drawdown | +12.07% | Median drawdown | -5.86% | Drawdown duration (max) | 1029.6 days | Average drawdown duration | 26.5 days | Ulcer index | 13.10 | Pain index | 5.89 | Pain ratio | 26.02 |
| Drawdown volatility | 2.98 | Worst peak-to-trough loss | +24.09% | % time in drawdown | +82.33% | Drawdown area | 536.49 | Downside deviation | +13.93% | Semi-variance | 1.74 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.31 | Rolling 1-month Sharpe | 1.60 | Sortino ratio | 0.57 | Calmar ratio | 0.28 | Sterling ratio | 0.28 | Burke ratio | 2.38 | Return / volatility | 4.03 | Return / downside risk | 4.76 |
| Return / max drawdown | 3.53 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 27 | Win rate | +42.22% | Loss rate | +57.78% | Average win | +7.47% | Average loss | -3.20% | Win/Loss ratio | 2.35 | Expectancy | +1.14% | Profit factor | 1.80 |
| Payoff ratio | 2.35 | Best trade | +23.64% | Worst trade | -9.42% | Trade return standard deviation | +4.38% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.06% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +1.63% | Information ratio | -0.49 | Treynor ratio | 0.02 | ||||||||
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 | +32.64% |
| Net profit | $326,396 |
| Gross profit | $633,432 |
| Gross loss | $304,808 |
| CAGR | +5.83% |
| Annualized return | +5.83% |
| Monthly average return | +0.52% |
| Median monthly return | +2.51% |
| Best month return | +3.81% |
| Worst month return | -0.39% |
| Rolling 1-month return | +7.46% |
| Log return CAGR | +22.55% |
| Compounded vs simple return difference | -24.32% |
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 | +1676.86% | 1.33 | 3.95 | +30.72% | +52.00% | 25 | 7.02 | +32.97% |
| S&P/ASX 200 | Australia | +13.34% | 0.29 | 0.40 | +10.33% | +53.85% | 26 | 1.70 | +8.60% |
| Bovespa | Brazil | +5.27% | 0.09 | 0.13 | +28.23% | +33.33% | 30 | 1.22 | +11.07% |
| TSX Composite | Canada | +9.90% | 0.22 | 0.29 | +16.62% | +45.83% | 24 | 1.36 | +8.53% |
| Euro Stoxx 50 | Europe | +15.80% | 0.29 | 0.40 | +18.40% | +50.00% | 26 | 1.53 | +10.08% |
| Euronext 100 | Europe | +20.20% | 0.39 | 0.55 | +14.28% | +51.72% | 29 | 1.63 | +9.08% |
| CAC 40 | France | +3.12% | 0.07 | 0.09 | +12.91% | +48.15% | 27 | 1.15 | +8.96% |
| DAX | Germany | +20.20% | 0.35 | 0.50 | +20.28% | +44.83% | 29 | 1.72 | +10.27% |
| Hang Seng | Hong Kong | +7.70% | 0.10 | 0.14 | +24.95% | +28.00% | 25 | 1.22 | +15.70% |
| BSE Sensex | India | +22.75% | 0.44 | 0.66 | +14.25% | +34.62% | 26 | 1.62 | +9.28% |
| Nifty 50 | India | +26.30% | 0.49 | 0.72 | +14.73% | +36.00% | 25 | 1.79 | +9.55% |
| Nikkei 225 | Japan | +30.22% | 0.39 | 0.61 | +27.27% | +31.03% | 29 | 1.72 | +13.45% |
| KOSPI | South Korea | +70.74% | 0.80 | 1.33 | +19.38% | +50.00% | 28 | 2.85 | +12.94% |
| Swiss Market | Switzerland | +12.96% | 0.31 | 0.44 | +16.19% | +45.83% | 24 | 1.61 | +7.79% |
| Taiwan Weighted | Taiwan | +40.74% | 0.54 | 0.83 | +20.94% | +44.00% | 25 | 1.96 | +12.54% |
| FTSE 100 | UK | +15.03% | 0.34 | 0.47 | +14.26% | +44.83% | 29 | 1.48 | +8.15% |
| CBOE Volatility Index | US | -97.50% | -0.85 | -0.87 | +98.73% | +22.50% | 40 | 0.28 | +98.67% |
| Dow Jones Industrial Average | US | +8.38% | 0.17 | 0.25 | +18.40% | +41.67% | 24 | 1.32 | +9.33% |
| NASDAQ Composite | US | +24.93% | 0.31 | 0.45 | +28.96% | +40.74% | 27 | 1.54 | +14.05% |
| Russell 2000 | US | -6.24% | -0.08 | -0.12 | +34.84% | +35.48% | 31 | 0.96 | +15.25% |
| S&P 500 | US | +32.64% | 0.50 | 0.76 | +21.29% | +52.17% | 23 | 2.08 | +10.96% |