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 | +11.47% | Net profit | $114,681 | Gross profit | $1,299,892 | Gross loss | $1,258,468 | CAGR | -0.35% | Annualized return | -0.35% | Monthly average return | +0.14% | Median monthly return | -0.07% |
| Best month return | +5.71% | Worst month return | -3.47% | Rolling 1-month return | +10.42% | Log return CAGR | +9.15% | Compounded vs simple return difference | -9.11% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.56% | Average drawdown | +15.57% | Median drawdown | -3.30% | Drawdown duration (max) | 1498.7 days | Average drawdown duration | 46.2 days | Ulcer index | 17.18 | Pain index | 3.50 | Pain ratio | -0.81 |
| Drawdown volatility | 2.18 | Worst peak-to-trough loss | +30.56% | % time in drawdown | +92.48% | Drawdown area | 328.06 | Downside deviation | +13.90% | Semi-variance | 1.20 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.18 | Rolling 1-month Sharpe | 1.19 | Sortino ratio | -0.19 | Calmar ratio | 0.00 | Sterling ratio | 0.00 | Burke ratio | -0.08 | Return / volatility | -0.25 | Return / downside risk | -0.16 |
| Return / max drawdown | 0.54 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 221 | Win rate | +50.16% | Loss rate | +49.84% | Average win | +1.30% | Average loss | -1.28% | Win/Loss ratio | 0.91 | Expectancy | +0.03% | Profit factor | 0.93 |
| Payoff ratio | 0.91 | Best trade | +6.67% | Worst trade | -10.11% | Trade return standard deviation | +3.99% | Consecutive wins (max) | 7 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.37% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.08 | Alpha vs benchmark % | -0.46% | Information ratio | -0.76 | 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 | -22.58% |
| Net profit | -$225,792 |
| Gross profit | $762,208 |
| Gross loss | $1,000,374 |
| CAGR | -5.00% |
| Annualized return | -5.00% |
| Monthly average return | -0.34% |
| Median monthly return | +0.34% |
| Best month return | +1.72% |
| Worst month return | -2.36% |
| Rolling 1-month return | +4.76% |
| Log return CAGR | -2.27% |
| Compounded vs simple return difference | +21.68% |
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 | +409.92% | 1.03 | 2.44 | +21.64% | +62.70% | 244 | 2.05 | +27.25% |
| S&P/ASX 200 | Australia | -12.41% | -0.28 | -0.37 | +17.86% | +48.37% | 215 | 0.84 | +9.65% |
| Bovespa | Brazil | -22.20% | -0.38 | -0.50 | +30.65% | +53.04% | 181 | 0.80 | +13.78% |
| TSX Composite | Canada | -25.26% | -0.59 | -0.75 | +28.37% | +47.49% | 259 | 0.68 | +10.23% |
| Euro Stoxx 50 | Europe | -17.75% | -0.28 | -0.39 | +29.47% | +49.33% | 223 | 0.80 | +14.00% |
| Euronext 100 | Europe | -14.54% | -0.27 | -0.37 | +24.69% | +47.50% | 240 | 0.83 | +11.68% |
| CAC 40 | France | -17.60% | -0.30 | -0.41 | +28.70% | +50.23% | 221 | 0.82 | +12.78% |
| DAX | Germany | -7.26% | -0.12 | -0.17 | +22.83% | +49.17% | 242 | 0.93 | +12.68% |
| Hang Seng | Hong Kong | -44.14% | -0.62 | -0.77 | +54.75% | +50.58% | 172 | 0.70 | +20.24% |
| BSE Sensex | India | -3.45% | -0.07 | -0.10 | +17.45% | +48.42% | 221 | 0.97 | +10.20% |
| Nifty 50 | India | +1.67% | 0.03 | 0.04 | +17.51% | +47.75% | 222 | 1.04 | +10.63% |
| Nikkei 225 | Japan | -1.02% | -0.02 | -0.02 | +18.34% | +50.43% | 232 | 1.01 | +12.75% |
| KOSPI | South Korea | -22.13% | -0.37 | -0.48 | +41.71% | +52.36% | 212 | 0.80 | +14.12% |
| Swiss Market | Switzerland | -16.65% | -0.38 | -0.51 | +29.51% | +49.76% | 207 | 0.79 | +9.92% |
| Taiwan Weighted | Taiwan | -16.42% | -0.25 | -0.32 | +39.35% | +51.55% | 258 | 0.86 | +15.20% |
| FTSE 100 | UK | -10.43% | -0.22 | -0.29 | +23.04% | +44.75% | 219 | 0.86 | +10.22% |
| CBOE Volatility Index | US | +118.30% | 0.13 | 0.32 | +73.14% | +49.01% | 151 | 1.32 | +88.33% |
| Dow Jones Industrial Average | US | -12.92% | -0.25 | -0.35 | +22.99% | +48.25% | 228 | 0.84 | +11.23% |
| NASDAQ Composite | US | -21.34% | -0.27 | -0.37 | +37.12% | +51.23% | 244 | 0.84 | +17.98% |
| Russell 2000 | US | -0.95% | -0.01 | -0.02 | +33.37% | +53.57% | 196 | 1.02 | +18.03% |
| S&P 500 | US | -22.58% | -0.38 | -0.51 | +29.28% | +47.83% | 253 | 0.76 | +13.93% |