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 | +106.97% | Net profit | $1,069,706 | Gross profit | $741,726 | Gross loss | $510,774 | CAGR | +3.39% | Annualized return | +3.39% | Monthly average return | +0.23% | Median monthly return | +0.59% |
| Best month return | +5.02% | Worst month return | -4.70% | Rolling 1-month return | +8.56% | Log return CAGR | +10.91% | Compounded vs simple return difference | -105.38% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +27.36% | Average drawdown | +15.74% | Median drawdown | -5.20% | Drawdown duration (max) | 1312.1 days | Average drawdown duration | 34.3 days | Ulcer index | 16.71 | Pain index | 5.30 | Pain ratio | 35.43 |
| Drawdown volatility | 2.44 | Worst peak-to-trough loss | +27.36% | % time in drawdown | +81.86% | Drawdown area | 492.21 | Downside deviation | +13.92% | Semi-variance | 1.41 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.48 | Sortino ratio | 0.38 | Calmar ratio | 0.18 | Sterling ratio | 0.18 | Burke ratio | 3.33 | Return / volatility | 3.63 | Return / downside risk | 4.74 |
| Return / max drawdown | 2.98 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 17 | Win rate | +44.26% | Loss rate | +55.74% | Average win | +11.51% | Average loss | -4.84% | Win/Loss ratio | 2.29 | Expectancy | +2.09% | Profit factor | 1.91 |
| Payoff ratio | 2.29 | Best trade | +31.70% | Worst trade | -9.09% | Trade return standard deviation | +4.38% | Consecutive wins (max) | 3 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.19% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | -0.30% | 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 | +38.22% |
| Net profit | $382,232 |
| Gross profit | $540,200 |
| Gross loss | $184,738 |
| CAGR | +6.71% |
| Annualized return | +6.71% |
| Monthly average return | +0.58% |
| Median monthly return | +2.58% |
| Best month return | +4.19% |
| Worst month return | -1.95% |
| Rolling 1-month return | +4.44% |
| Log return CAGR | +10.87% |
| Compounded vs simple return difference | -34.09% |
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 | +2109.42% | 1.24 | 4.00 | +42.16% | +46.15% | 13 | 9.66 | +36.84% |
| S&P/ASX 200 | Australia | +0.12% | 0.00 | 0.00 | +17.04% | +47.06% | 17 | 1.05 | +8.16% |
| Bovespa | Brazil | +34.89% | 0.53 | 0.82 | +19.34% | +58.82% | 17 | 2.32 | +11.05% |
| TSX Composite | Canada | +10.73% | 0.23 | 0.32 | +20.18% | +36.84% | 19 | 1.48 | +8.69% |
| Euro Stoxx 50 | Europe | -22.31% | -0.50 | -0.62 | +31.44% | +36.36% | 22 | 0.59 | +10.26% |
| Euronext 100 | Europe | +3.05% | 0.06 | 0.09 | +15.86% | +38.89% | 18 | 1.15 | +9.15% |
| CAC 40 | France | -19.81% | -0.45 | -0.56 | +30.12% | +42.11% | 19 | 0.52 | +9.74% |
| DAX | Germany | -19.91% | -0.43 | -0.54 | +31.24% | +31.82% | 22 | 0.62 | +10.32% |
| Hang Seng | Hong Kong | -18.03% | -0.27 | -0.37 | +36.71% | +35.29% | 17 | 0.78 | +15.54% |
| BSE Sensex | India | +10.85% | 0.22 | 0.31 | +19.30% | +53.33% | 15 | 1.42 | +9.57% |
| Nifty 50 | India | +19.78% | 0.36 | 0.52 | +16.90% | +64.29% | 14 | 1.81 | +9.92% |
| Nikkei 225 | Japan | +32.92% | 0.40 | 0.63 | +31.36% | +25.00% | 16 | 2.04 | +14.04% |
| KOSPI | South Korea | +71.96% | 0.86 | 1.45 | +23.30% | +42.86% | 14 | 4.02 | +12.23% |
| Swiss Market | Switzerland | -2.99% | -0.08 | -0.11 | +17.83% | +47.37% | 19 | 0.91 | +7.81% |
| Taiwan Weighted | Taiwan | +46.57% | 0.64 | 1.01 | +17.44% | +52.94% | 17 | 2.54 | +11.78% |
| FTSE 100 | UK | -0.05% | -0.00 | -0.00 | +25.15% | +35.29% | 17 | 1.08 | +7.82% |
| CBOE Volatility Index | US | -98.29% | -0.98 | -0.88 | +98.72% | +15.79% | 19 | 0.07 | +99.02% |
| Dow Jones Industrial Average | US | +8.35% | 0.18 | 0.26 | +13.83% | +44.44% | 18 | 1.47 | +8.63% |
| NASDAQ Composite | US | +53.05% | 0.60 | 0.94 | +22.15% | +64.29% | 14 | 3.02 | +13.63% |
| Russell 2000 | US | -12.13% | -0.17 | -0.24 | +29.68% | +43.75% | 16 | 0.73 | +15.08% |
| S&P 500 | US | +38.22% | 0.59 | 0.91 | +14.80% | +66.67% | 15 | 2.92 | +10.62% |