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 | +73.82% | Net profit | $738,219 | Gross profit | $1,890,346 | Gross loss | $2,020,391 | CAGR | -2.68% | Annualized return | -2.68% | Monthly average return | -0.19% | Median monthly return | -1.27% |
| Best month return | +3.02% | Worst month return | -5.97% | Rolling 1-month return | +7.15% | Log return CAGR | -9.82% | Compounded vs simple return difference | -79.32% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +39.15% | Average drawdown | +23.49% | Median drawdown | -6.99% | Drawdown duration (max) | 1545.5 days | Average drawdown duration | 74.7 days | Ulcer index | 25.35 | Pain index | 6.78 | Pain ratio | 24.92 |
| Drawdown volatility | 3.09 | Worst peak-to-trough loss | +39.15% | % time in drawdown | +94.05% | Drawdown area | 649.79 | Downside deviation | +12.88% | Semi-variance | 1.30 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.44 | Rolling 1-month Sharpe | 1.30 | Sortino ratio | -0.39 | Calmar ratio | -0.03 | Sterling ratio | -0.03 | Burke ratio | 2.36 | Return / volatility | 1.15 | Return / downside risk | 2.08 |
| Return / max drawdown | 1.94 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 239 | Win rate | +33.88% | Loss rate | +66.12% | Average win | +2.18% | Average loss | -1.21% | Win/Loss ratio | 1.75 | Expectancy | -0.05% | Profit factor | 0.92 |
| Payoff ratio | 1.75 | Best trade | +13.07% | Worst trade | -5.85% | Trade return standard deviation | +4.48% | Consecutive wins (max) | 5 | Consecutive losses (max) | 12 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.08% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.02 | Alpha vs benchmark % | -5.22% | Information ratio | -0.91 | Treynor ratio | -0.02 | ||||||||
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 | -29.45% |
| Net profit | -$294,525 |
| Gross profit | $1,208,000 |
| Gross loss | $1,529,108 |
| CAGR | -6.76% |
| Annualized return | -6.76% |
| Monthly average return | -0.50% |
| Median monthly return | -0.68% |
| Best month return | +1.73% |
| Worst month return | -2.41% |
| Rolling 1-month return | +4.73% |
| Log return CAGR | -5.81% |
| Compounded vs simple return difference | +27.13% |
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 | +2081.82% | 1.43 | 4.85 | +40.40% | +44.32% | 273 | 2.28 | +32.28% |
| S&P/ASX 200 | Australia | -32.22% | -0.97 | -1.16 | +35.39% | +35.29% | 238 | 0.70 | +8.31% |
| Bovespa | Brazil | -23.73% | -0.47 | -0.61 | +38.57% | +29.15% | 223 | 0.86 | +11.94% |
| TSX Composite | Canada | -13.96% | -0.36 | -0.48 | +21.95% | +35.51% | 245 | 0.87 | +8.47% |
| Euro Stoxx 50 | Europe | -39.59% | -0.94 | -1.14 | +45.29% | +29.34% | 242 | 0.73 | +11.30% |
| Euronext 100 | Europe | -36.02% | -0.94 | -1.16 | +44.41% | +29.67% | 246 | 0.72 | +9.71% |
| CAC 40 | France | -41.46% | -1.05 | -1.27 | +47.64% | +28.23% | 248 | 0.70 | +10.55% |
| DAX | Germany | -27.42% | -0.59 | -0.78 | +35.90% | +30.77% | 247 | 0.82 | +11.00% |
| Hang Seng | Hong Kong | -37.22% | -0.61 | -0.81 | +48.65% | +32.11% | 218 | 0.80 | +16.23% |
| BSE Sensex | India | +5.36% | 0.12 | 0.17 | +13.22% | +34.45% | 209 | 1.07 | +8.79% |
| Nifty 50 | India | +10.99% | 0.24 | 0.34 | +11.32% | +34.76% | 210 | 1.12 | +8.88% |
| Nikkei 225 | Japan | -3.96% | -0.06 | -0.09 | +29.10% | +37.33% | 225 | 1.01 | +13.48% |
| KOSPI | South Korea | +0.86% | 0.01 | 0.02 | +33.06% | +38.01% | 221 | 1.04 | +12.38% |
| Swiss Market | Switzerland | -20.25% | -0.57 | -0.77 | +34.53% | +32.20% | 236 | 0.82 | +8.15% |
| Taiwan Weighted | Taiwan | -14.41% | -0.26 | -0.34 | +35.03% | +36.16% | 224 | 0.93 | +12.33% |
| FTSE 100 | UK | -21.89% | -0.61 | -0.77 | +35.76% | +33.91% | 233 | 0.81 | +8.33% |
| CBOE Volatility Index | US | -93.42% | -0.61 | -0.78 | +95.34% | +31.19% | 327 | 0.84 | +93.71% |
| Dow Jones Industrial Average | US | -31.04% | -0.81 | -0.99 | +37.10% | +34.75% | 236 | 0.75 | +9.58% |
| NASDAQ Composite | US | -37.61% | -0.65 | -0.78 | +47.08% | +37.93% | 232 | 0.80 | +15.10% |
| Russell 2000 | US | -45.12% | -0.79 | -0.97 | +51.39% | +31.50% | 254 | 0.75 | +16.14% |
| S&P 500 | US | -29.45% | -0.65 | -0.79 | +40.93% | +34.96% | 226 | 0.79 | +11.06% |