DEMA Crossover

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	+54.43%	Net profit	$544,294	Gross profit	$923,350	Gross loss	$648,584	CAGR	+4.63%	Annualized return	+4.63%	Monthly average return	+0.45%	Median monthly return	+0.20%
Best month return	+5.49%	Worst month return	-5.52%	Rolling 1-month return	+10.69%	Log return CAGR	+10.03%	Compounded vs simple return difference	-51.95%
Risk & Drawdown
Maximum drawdown	+22.75%	Average drawdown	+10.13%	Median drawdown	-5.79%	Drawdown duration (max)	845.3 days	Average drawdown duration	25.8 days	Ulcer index	11.19	Pain index	5.81	Pain ratio	19.35
Drawdown volatility	3.07	Worst peak-to-trough loss	+22.75%	% time in drawdown	+82.00%	Drawdown area	526.70	Downside deviation	+13.77%	Semi-variance	1.70
Risk-Adjusted Ratios
Sharpe ratio	0.36	Rolling 1-month Sharpe	1.72	Sortino ratio	0.62	Calmar ratio	0.30	Sterling ratio	0.30	Burke ratio	1.77	Return / volatility	3.24	Return / downside risk	3.47
Return / max drawdown	2.65
Trade-Level Statistics
Total trades	39	Win rate	+39.81%	Loss rate	+60.19%	Average win	+5.87%	Average loss	-2.70%	Win/Loss ratio	2.31	Expectancy	+0.76%	Profit factor	1.59
Payoff ratio	2.31	Best trade	+18.49%	Worst trade	-7.45%	Trade return standard deviation	+4.27%	Consecutive wins (max)	4	Consecutive losses (max)	6
Distribution & Shape
Volatility (annualized)	+15.74%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	-0.04	Alpha vs benchmark %	+3.94%	Information ratio	-0.49	Treynor ratio	0.01

Parameter optimization

Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.

Chart for symbol:

Metric	Value
Total return	+15.94%
Net profit	$159,399
Gross profit	$675,819
Gross loss	$498,289
CAGR	+3.01%
Annualized return	+3.01%
Monthly average return	+0.30%
Median monthly return	+0.47%
Best month return	+4.67%
Worst month return	-2.15%
Rolling 1-month return	+7.47%
Log return CAGR	+15.52%
Compounded vs simple return difference	-10.11%

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	+853.86%	1.26	3.31	+26.65%	+56.76%	37	4.85	+28.90%
S&P/ASX 200	Australia	-8.82%	-0.22	-0.28	+24.74%	+39.53%	43	0.85	+8.39%
Bovespa	Brazil	+18.66%	0.31	0.46	+17.87%	+40.54%	37	1.40	+10.95%
TSX Composite	Canada	+33.14%	0.71	1.05	+9.99%	+55.56%	36	1.99	+7.82%
Euro Stoxx 50	Europe	+34.95%	0.64	0.98	+16.04%	+41.18%	34	1.80	+9.11%
Euronext 100	Europe	+17.47%	0.38	0.54	+17.38%	+33.33%	42	1.42	+8.24%
CAC 40	France	+35.79%	0.64	0.98	+13.83%	+40.00%	35	1.85	+9.13%
DAX	Germany	+43.02%	0.76	1.20	+12.50%	+41.03%	39	1.95	+8.96%
Hang Seng	Hong Kong	+11.42%	0.13	0.21	+29.77%	+32.43%	37	1.27	+16.55%
BSE Sensex	India	+17.63%	0.39	0.56	+11.21%	+31.43%	35	1.48	+8.42%
Nifty 50	India	+17.11%	0.37	0.53	+14.29%	+30.00%	40	1.40	+8.59%
Nikkei 225	Japan	-5.39%	-0.09	-0.13	+25.19%	+39.53%	43	0.97	+12.41%
KOSPI	South Korea	+54.57%	0.67	1.12	+24.38%	+40.54%	37	1.95	+12.69%
Swiss Market	Switzerland	+26.61%	0.64	1.00	+11.52%	+53.13%	32	1.95	+7.22%
Taiwan Weighted	Taiwan	+52.74%	0.78	1.26	+20.72%	+41.46%	41	1.85	+10.80%
FTSE 100	UK	+4.62%	0.13	0.18	+17.26%	+40.91%	44	1.16	+6.97%
CBOE Volatility Index	US	-80.01%	-0.26	-0.45	+91.16%	+35.71%	42	0.65	+107.02%
Dow Jones Industrial Average	US	+5.26%	0.12	0.17	+18.77%	+39.13%	46	1.15	+8.75%
NASDAQ Composite	US	-7.06%	-0.10	-0.14	+30.27%	+35.71%	42	0.99	+14.20%
Russell 2000	US	+1.50%	0.02	0.03	+27.23%	+31.71%	41	1.08	+15.41%
S&P 500	US	+15.94%	0.29	0.43	+17.04%	+36.36%	44	1.36	+9.99%