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 | +98.46% | Net profit | $984,602 | Gross profit | $1,223,251 | Gross loss | $1,047,721 | CAGR | +3.59% | Annualized return | +3.59% | Monthly average return | +0.29% | Median monthly return | -1.42% |
| Best month return | +4.45% | Worst month return | -5.44% | Rolling 1-month return | +10.22% | Log return CAGR | -2.80% | Compounded vs simple return difference | -101.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.53% | Average drawdown | +13.73% | Median drawdown | -6.56% | Drawdown duration (max) | 1206.1 days | Average drawdown duration | 43.6 days | Ulcer index | 14.81 | Pain index | 6.51 | Pain ratio | 28.86 |
| Drawdown volatility | 3.44 | Worst peak-to-trough loss | +25.53% | % time in drawdown | +88.95% | Drawdown area | 605.96 | Downside deviation | +13.39% | Semi-variance | 1.79 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.20 | Rolling 1-month Sharpe | 1.48 | Sortino ratio | 0.44 | Calmar ratio | 0.26 | Sterling ratio | 0.26 | Burke ratio | 2.69 | Return / volatility | 3.84 | Return / downside risk | 4.92 |
| Return / max drawdown | 4.16 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 90 | Win rate | +29.85% | Loss rate | +70.15% | Average win | +4.68% | Average loss | -1.58% | Win/Loss ratio | 2.97 | Expectancy | +0.26% | Profit factor | 1.32 |
| Payoff ratio | 2.97 | Best trade | +17.57% | Worst trade | -5.09% | Trade return standard deviation | +4.43% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.18% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +0.73% | 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 | +6.79% |
| Net profit | $67,887 |
| Gross profit | $792,296 |
| Gross loss | $703,394 |
| CAGR | +1.33% |
| Annualized return | +1.33% |
| Monthly average return | +0.14% |
| Median monthly return | +1.53% |
| Best month return | +3.92% |
| Worst month return | -0.52% |
| Rolling 1-month return | +6.37% |
| Log return CAGR | +24.09% |
| Compounded vs simple return difference | +2.06% |
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 | +1945.64% | 1.37 | 4.51 | +27.10% | +36.71% | 79 | 4.19 | +32.94% |
| S&P/ASX 200 | Australia | -3.49% | -0.09 | -0.12 | +16.87% | +30.00% | 90 | 0.97 | +8.25% |
| Bovespa | Brazil | +14.03% | 0.23 | 0.33 | +22.12% | +28.09% | 89 | 1.17 | +11.46% |
| TSX Composite | Canada | +23.45% | 0.49 | 0.71 | +10.45% | +34.15% | 82 | 1.36 | +8.47% |
| Euro Stoxx 50 | Europe | +3.78% | 0.07 | 0.10 | +19.97% | +25.26% | 95 | 1.09 | +10.36% |
| Euronext 100 | Europe | +5.20% | 0.11 | 0.16 | +18.55% | +27.96% | 93 | 1.10 | +8.88% |
| CAC 40 | France | +3.77% | 0.08 | 0.11 | +14.41% | +27.59% | 87 | 1.09 | +9.47% |
| DAX | Germany | +14.92% | 0.27 | 0.40 | +22.44% | +26.00% | 100 | 1.21 | +10.04% |
| Hang Seng | Hong Kong | -29.52% | -0.46 | -0.63 | +46.12% | +23.40% | 94 | 0.76 | +15.91% |
| BSE Sensex | India | +15.30% | 0.32 | 0.47 | +13.00% | +32.18% | 87 | 1.24 | +8.81% |
| Nifty 50 | India | +15.41% | 0.32 | 0.46 | +13.54% | +32.93% | 82 | 1.27 | +8.85% |
| Nikkei 225 | Japan | +14.21% | 0.20 | 0.30 | +27.15% | +31.11% | 90 | 1.20 | +13.43% |
| KOSPI | South Korea | +37.19% | 0.51 | 0.80 | +22.98% | +28.57% | 84 | 1.48 | +12.38% |
| Swiss Market | Switzerland | +10.77% | 0.26 | 0.38 | +15.84% | +24.42% | 86 | 1.20 | +7.90% |
| Taiwan Weighted | Taiwan | +113.87% | 1.31 | 2.41 | +13.46% | +43.66% | 71 | 2.74 | +11.11% |
| FTSE 100 | UK | -0.92% | -0.02 | -0.03 | +20.37% | +27.37% | 95 | 1.01 | +7.63% |
| CBOE Volatility Index | US | -95.09% | -0.58 | -0.75 | +95.75% | +20.56% | 107 | 0.55 | +105.54% |
| Dow Jones Industrial Average | US | +3.52% | 0.07 | 0.10 | +18.24% | +29.07% | 86 | 1.10 | +9.27% |
| NASDAQ Composite | US | -9.66% | -0.15 | -0.20 | +33.09% | +33.67% | 98 | 0.96 | +13.87% |
| Russell 2000 | US | -21.50% | -0.33 | -0.45 | +41.13% | +26.26% | 99 | 0.81 | +15.00% |
| S&P 500 | US | +6.79% | 0.13 | 0.17 | +23.60% | +37.93% | 87 | 1.13 | +10.26% |