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 | +81.92% | Net profit | $819,174 | Gross profit | $954,197 | Gross loss | $793,388 | CAGR | +3.22% | Annualized return | +3.22% | Monthly average return | +0.26% | Median monthly return | -0.90% |
| Best month return | +5.48% | Worst month return | -5.61% | Rolling 1-month return | +10.01% | Log return CAGR | +2.96% | Compounded vs simple return difference | -83.05% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.00% | Average drawdown | +11.96% | Median drawdown | -5.64% | Drawdown duration (max) | 945.8 days | Average drawdown duration | 44.4 days | Ulcer index | 13.03 | Pain index | 5.82 | Pain ratio | 29.09 |
| Drawdown volatility | 2.93 | Worst peak-to-trough loss | +24.00% | % time in drawdown | +87.24% | Drawdown area | 543.30 | Downside deviation | +13.74% | Semi-variance | 1.83 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.21 | Rolling 1-month Sharpe | 1.80 | Sortino ratio | 0.42 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 2.73 | Return / volatility | 3.38 | Return / downside risk | 3.93 |
| Return / max drawdown | 3.08 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 59 | Win rate | +38.65% | Loss rate | +61.35% | Average win | +4.05% | Average loss | -2.02% | Win/Loss ratio | 2.16 | Expectancy | +0.39% | Profit factor | 1.48 |
| Payoff ratio | 2.16 | Best trade | +17.30% | Worst trade | -7.46% | Trade return standard deviation | +4.26% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.71% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +1.25% | 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 | +1.96% |
| Net profit | $19,592 |
| Gross profit | $647,898 |
| Gross loss | $596,729 |
| CAGR | +0.39% |
| Annualized return | +0.39% |
| Monthly average return | +0.08% |
| Median monthly return | +1.12% |
| Best month return | +2.89% |
| Worst month return | -1.25% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +13.51% |
| Compounded vs simple return difference | +3.14% |
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 | +1609.88% | 1.33 | 3.92 | +30.82% | +53.85% | 52 | 6.40 | +32.57% |
| S&P/ASX 200 | Australia | +0.28% | 0.01 | 0.01 | +12.00% | +34.48% | 58 | 1.04 | +7.80% |
| Bovespa | Brazil | -5.08% | -0.10 | -0.13 | +30.39% | +36.36% | 55 | 0.98 | +10.84% |
| TSX Composite | Canada | +16.78% | 0.37 | 0.52 | +13.21% | +49.02% | 51 | 1.41 | +8.23% |
| Euro Stoxx 50 | Europe | +11.13% | 0.23 | 0.33 | +15.28% | +32.20% | 59 | 1.25 | +9.14% |
| Euronext 100 | Europe | +12.54% | 0.28 | 0.40 | +13.80% | +36.92% | 65 | 1.31 | +8.18% |
| CAC 40 | France | -9.76% | -0.21 | -0.27 | +18.36% | +36.67% | 60 | 0.88 | +9.90% |
| DAX | Germany | +17.48% | 0.34 | 0.49 | +18.23% | +40.91% | 66 | 1.36 | +9.30% |
| Hang Seng | Hong Kong | -10.79% | -0.15 | -0.22 | +38.31% | +31.88% | 69 | 0.92 | +15.77% |
| BSE Sensex | India | +7.99% | 0.18 | 0.26 | +18.82% | +34.55% | 55 | 1.20 | +8.63% |
| Nifty 50 | India | +17.99% | 0.37 | 0.53 | +21.71% | +36.36% | 55 | 1.41 | +8.92% |
| Nikkei 225 | Japan | +28.44% | 0.41 | 0.64 | +21.49% | +41.27% | 63 | 1.47 | +12.26% |
| KOSPI | South Korea | +31.28% | 0.48 | 0.73 | +22.30% | +35.71% | 56 | 1.55 | +11.38% |
| Swiss Market | Switzerland | +11.98% | 0.29 | 0.42 | +11.73% | +43.64% | 55 | 1.29 | +7.65% |
| Taiwan Weighted | Taiwan | +54.87% | 0.78 | 1.28 | +18.65% | +40.82% | 49 | 2.10 | +11.06% |
| FTSE 100 | UK | +22.71% | 0.56 | 0.82 | +9.78% | +43.14% | 51 | 1.75 | +7.18% |
| CBOE Volatility Index | US | -96.20% | -0.66 | -0.78 | +97.46% | +33.75% | 80 | 0.48 | +104.73% |
| Dow Jones Industrial Average | US | +1.40% | 0.03 | 0.04 | +20.60% | +37.50% | 64 | 1.07 | +8.78% |
| NASDAQ Composite | US | +26.30% | 0.36 | 0.53 | +23.68% | +42.86% | 56 | 1.44 | +12.73% |
| Russell 2000 | US | -30.91% | -0.53 | -0.69 | +31.48% | +27.94% | 68 | 0.63 | +14.49% |
| S&P 500 | US | +1.96% | 0.04 | 0.05 | +15.97% | +41.82% | 55 | 1.09 | +10.29% |