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 | +122.78% | Net profit | $1,227,794 | Gross profit | $886,593 | Gross loss | $772,199 | CAGR | +3.13% | Annualized return | +3.13% | Monthly average return | +0.17% | Median monthly return | -1.42% |
| Best month return | +6.44% | Worst month return | -5.18% | Rolling 1-month return | +8.94% | Log return CAGR | +7.52% | Compounded vs simple return difference | -123.98% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.20% | Average drawdown | +13.83% | Median drawdown | -6.96% | Drawdown duration (max) | 1176.8 days | Average drawdown duration | 64.4 days | Ulcer index | 14.42 | Pain index | 6.89 | Pain ratio | 46.14 |
| Drawdown volatility | 2.75 | Worst peak-to-trough loss | +23.20% | % time in drawdown | +89.05% | Drawdown area | 657.45 | Downside deviation | +13.60% | Semi-variance | 2.13 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.11 | Rolling 1-month Sharpe | 1.51 | Sortino ratio | 0.37 | Calmar ratio | 0.32 | Sterling ratio | 0.32 | Burke ratio | 4.46 | Return / volatility | 4.33 | Return / downside risk | 5.34 |
| Return / max drawdown | 5.94 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 58 | Win rate | +28.92% | Loss rate | +71.08% | Average win | +5.38% | Average loss | -1.77% | Win/Loss ratio | 3.27 | Expectancy | +0.35% | Profit factor | 1.48 |
| Payoff ratio | 3.27 | Best trade | +17.37% | Worst trade | -6.39% | Trade return standard deviation | +3.98% | Consecutive wins (max) | 2 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.63% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | -1.18% | Information ratio | -0.62 | 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 | +12.44% |
| Net profit | $124,387 |
| Gross profit | $597,802 |
| Gross loss | $456,767 |
| CAGR | +2.38% |
| Annualized return | +2.38% |
| Monthly average return | +0.23% |
| Median monthly return | -0.03% |
| Best month return | +1.74% |
| Worst month return | -0.78% |
| Rolling 1-month return | +3.31% |
| Log return CAGR | +13.01% |
| Compounded vs simple return difference | -7.52% |
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 | +2502.78% | 1.45 | 5.05 | +23.52% | +41.67% | 48 | 6.69 | +33.03% |
| S&P/ASX 200 | Australia | -17.17% | -0.51 | -0.65 | +23.88% | +26.47% | 68 | 0.68 | +7.45% |
| Bovespa | Brazil | +20.57% | 0.37 | 0.55 | +20.70% | +28.30% | 53 | 1.41 | +9.98% |
| TSX Composite | Canada | +10.79% | 0.26 | 0.35 | +9.81% | +34.55% | 55 | 1.23 | +7.94% |
| Euro Stoxx 50 | Europe | -24.45% | -0.64 | -0.80 | +27.37% | +19.48% | 77 | 0.69 | +8.98% |
| Euronext 100 | Europe | -10.20% | -0.27 | -0.36 | +15.80% | +21.13% | 71 | 0.86 | +7.84% |
| CAC 40 | France | -19.57% | -0.51 | -0.64 | +23.99% | +22.39% | 67 | 0.72 | +8.58% |
| DAX | Germany | -5.87% | -0.14 | -0.18 | +22.79% | +21.92% | 73 | 0.96 | +8.85% |
| Hang Seng | Hong Kong | -8.77% | -0.13 | -0.20 | +27.53% | +19.23% | 52 | 0.97 | +14.06% |
| BSE Sensex | India | +35.82% | 0.74 | 1.16 | +8.27% | +35.42% | 48 | 1.98 | +8.13% |
| Nifty 50 | India | +39.92% | 0.79 | 1.23 | +8.37% | +34.78% | 46 | 2.20 | +8.32% |
| Nikkei 225 | Japan | +3.88% | 0.06 | 0.09 | +24.90% | +27.12% | 59 | 1.13 | +12.66% |
| KOSPI | South Korea | +57.50% | 0.74 | 1.24 | +17.32% | +31.91% | 47 | 2.14 | +11.99% |
| Swiss Market | Switzerland | +1.62% | 0.05 | 0.06 | +15.92% | +28.57% | 56 | 1.07 | +6.96% |
| Taiwan Weighted | Taiwan | +55.94% | 0.85 | 1.38 | +12.52% | +33.33% | 51 | 2.05 | +10.32% |
| FTSE 100 | UK | -16.20% | -0.52 | -0.67 | +28.99% | +21.79% | 78 | 0.70 | +6.91% |
| CBOE Volatility Index | US | -98.45% | -1.12 | -0.98 | +99.17% | +20.00% | 65 | 0.26 | +92.54% |
| Dow Jones Industrial Average | US | +10.48% | 0.24 | 0.35 | +14.05% | +42.31% | 52 | 1.32 | +8.20% |
| NASDAQ Composite | US | +46.26% | 0.60 | 0.95 | +13.09% | +34.62% | 52 | 1.93 | +12.11% |
| Russell 2000 | US | -18.92% | -0.33 | -0.44 | +28.88% | +25.86% | 58 | 0.75 | +13.12% |
| S&P 500 | US | +12.44% | 0.25 | 0.35 | +20.36% | +36.54% | 52 | 1.31 | +9.33% |