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 | +81.66% | Net profit | $816,587 | Gross profit | $829,484 | Gross loss | $682,588 | CAGR | +3.19% | Annualized return | +3.19% | Monthly average return | +0.21% | Median monthly return | -0.31% |
| Best month return | +4.76% | Worst month return | -5.12% | Rolling 1-month return | +8.96% | Log return CAGR | +3.74% | Compounded vs simple return difference | -82.38% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.37% | Average drawdown | +12.68% | Median drawdown | -6.41% | Drawdown duration (max) | 1091.7 days | Average drawdown duration | 45.0 days | Ulcer index | 13.44 | Pain index | 6.07 | Pain ratio | 24.44 |
| Drawdown volatility | 2.80 | Worst peak-to-trough loss | +23.37% | % time in drawdown | +86.95% | Drawdown area | 572.06 | Downside deviation | +13.64% | Semi-variance | 1.76 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.21 | Rolling 1-month Sharpe | 1.52 | Sortino ratio | 0.44 | Calmar ratio | 0.22 | Sterling ratio | 0.22 | Burke ratio | 2.26 | Return / volatility | 3.39 | Return / downside risk | 4.11 |
| Return / max drawdown | 3.08 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 45 | Win rate | +27.03% | Loss rate | +72.97% | Average win | +7.22% | Average loss | -1.86% | Win/Loss ratio | 4.05 | Expectancy | +0.62% | Profit factor | 1.60 |
| Payoff ratio | 4.05 | Best trade | +23.40% | Worst trade | -5.06% | Trade return standard deviation | +4.23% | Consecutive wins (max) | 3 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.95% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +0.18% | Information ratio | -0.56 | Treynor ratio | 0.01 | ||||||||
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 | +42.97% |
| Net profit | $429,724 |
| Gross profit | $662,442 |
| Gross loss | $266,446 |
| CAGR | +7.44% |
| Annualized return | +7.44% |
| Monthly average return | +0.64% |
| Median monthly return | +0.40% |
| Best month return | +3.06% |
| Worst month return | -2.21% |
| Rolling 1-month return | +4.45% |
| Log return CAGR | +16.19% |
| Compounded vs simple return difference | -36.90% |
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 | +1545.89% | 1.32 | 3.82 | +30.78% | +34.29% | 35 | 7.21 | +32.50% |
| S&P/ASX 200 | Australia | -0.62% | -0.01 | -0.02 | +14.84% | +28.26% | 46 | 1.01 | +8.31% |
| Bovespa | Brazil | +22.94% | 0.39 | 0.59 | +14.53% | +26.32% | 38 | 1.54 | +10.35% |
| TSX Composite | Canada | +10.62% | 0.23 | 0.32 | +15.88% | +28.57% | 42 | 1.27 | +8.63% |
| Euro Stoxx 50 | Europe | -0.57% | -0.01 | -0.02 | +14.96% | +27.66% | 47 | 1.03 | +9.97% |
| Euronext 100 | Europe | -0.77% | -0.02 | -0.02 | +15.96% | +27.66% | 47 | 1.02 | +8.88% |
| CAC 40 | France | -10.61% | -0.24 | -0.32 | +19.11% | +30.43% | 46 | 0.78 | +9.18% |
| DAX | Germany | -1.14% | -0.02 | -0.03 | +20.68% | +21.15% | 52 | 1.02 | +10.22% |
| Hang Seng | Hong Kong | +6.85% | 0.09 | 0.13 | +27.47% | +26.67% | 45 | 1.20 | +15.38% |
| BSE Sensex | India | +20.43% | 0.41 | 0.61 | +13.73% | +21.57% | 51 | 1.51 | +9.07% |
| Nifty 50 | India | +29.81% | 0.56 | 0.84 | +13.61% | +23.91% | 46 | 1.74 | +9.24% |
| Nikkei 225 | Japan | +9.89% | 0.14 | 0.21 | +26.88% | +21.28% | 47 | 1.28 | +13.42% |
| KOSPI | South Korea | +56.46% | 0.70 | 1.16 | +23.49% | +29.55% | 44 | 2.27 | +12.46% |
| Swiss Market | Switzerland | +2.80% | 0.07 | 0.10 | +14.28% | +30.23% | 43 | 1.12 | +7.56% |
| Taiwan Weighted | Taiwan | +65.26% | 0.84 | 1.37 | +21.87% | +35.29% | 34 | 2.39 | +11.72% |
| FTSE 100 | UK | -3.94% | -0.11 | -0.15 | +19.73% | +19.61% | 51 | 0.93 | +7.29% |
| CBOE Volatility Index | US | -98.70% | -1.00 | -0.94 | +99.18% | +13.85% | 65 | 0.19 | +103.65% |
| Dow Jones Industrial Average | US | +13.37% | 0.28 | 0.41 | +13.01% | +30.56% | 36 | 1.54 | +8.80% |
| NASDAQ Composite | US | +20.54% | 0.27 | 0.39 | +28.84% | +22.73% | 44 | 1.42 | +13.63% |
| Russell 2000 | US | -16.64% | -0.26 | -0.36 | +28.51% | +23.91% | 46 | 0.72 | +14.45% |
| S&P 500 | US | +42.97% | 0.67 | 1.06 | +13.39% | +44.12% | 34 | 2.49 | +10.24% |