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 | +102.95% | Net profit | $1,029,507 | Gross profit | $719,128 | Gross loss | $345,131 | CAGR | +6.14% | Annualized return | +6.14% | Monthly average return | +0.52% | Median monthly return | +0.27% |
| Best month return | +5.41% | Worst month return | -3.65% | Rolling 1-month return | +9.02% | Log return CAGR | +18.63% | Compounded vs simple return difference | -98.73% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.88% | Average drawdown | +12.27% | Median drawdown | -4.73% | Drawdown duration (max) | 1009.3 days | Average drawdown duration | 23.3 days | Ulcer index | 13.39 | Pain index | 4.88 | Pain ratio | 35.62 |
| Drawdown volatility | 2.66 | Worst peak-to-trough loss | +26.88% | % time in drawdown | +81.29% | Drawdown area | 441.00 | Downside deviation | +14.45% | Semi-variance | 1.79 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.32 | Rolling 1-month Sharpe | 1.68 | Sortino ratio | 0.59 | Calmar ratio | 0.29 | Sterling ratio | 0.29 | Burke ratio | 3.23 | Return / volatility | 4.12 | Return / downside risk | 5.04 |
| Return / max drawdown | 3.58 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 15 | Win rate | +51.32% | Loss rate | +48.68% | Average win | +9.39% | Average loss | -4.57% | Win/Loss ratio | 2.29 | Expectancy | +2.96% | Profit factor | 2.90 |
| Payoff ratio | 2.29 | Best trade | +30.42% | Worst trade | -11.28% | Trade return standard deviation | +4.37% | Consecutive wins (max) | 3 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.69% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.01 | Alpha vs benchmark % | +2.60% | Information ratio | -0.50 | 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 | -0.04% |
| Net profit | -$353 |
| Gross profit | $544,148 |
| Gross loss | $490,410 |
| CAGR | -0.01% |
| Annualized return | -0.01% |
| Monthly average return | +0.06% |
| Median monthly return | +0.41% |
| Best month return | +3.76% |
| Worst month return | -4.99% |
| Rolling 1-month return | +4.45% |
| Log return CAGR | +11.19% |
| Compounded vs simple return difference | +4.29% |
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 | +1811.62% | 1.22 | 3.82 | +33.86% | +75.00% | 12 | 15.28 | +36.22% |
| S&P/ASX 200 | Australia | -13.15% | -0.32 | -0.42 | +25.26% | +42.86% | 14 | 0.57 | +8.87% |
| Bovespa | Brazil | +42.77% | 0.54 | 0.85 | +19.48% | +73.33% | 15 | 3.05 | +12.80% |
| TSX Composite | Canada | +33.41% | 0.68 | 1.01 | +13.07% | +50.00% | 20 | 2.70 | +8.29% |
| Euro Stoxx 50 | Europe | +27.04% | 0.39 | 0.57 | +23.96% | +62.50% | 16 | 2.46 | +12.05% |
| Euronext 100 | Europe | +41.33% | 0.65 | 0.97 | +12.35% | +60.00% | 15 | 6.62 | +10.08% |
| CAC 40 | France | +12.80% | 0.21 | 0.30 | +17.66% | +62.50% | 16 | 1.58 | +11.02% |
| DAX | Germany | +13.08% | 0.21 | 0.30 | +24.58% | +53.33% | 15 | 1.64 | +11.24% |
| Hang Seng | Hong Kong | -1.08% | -0.01 | -0.02 | +29.86% | +38.46% | 13 | 1.14 | +15.92% |
| BSE Sensex | India | +13.29% | 0.25 | 0.36 | +26.09% | +50.00% | 14 | 1.54 | +10.16% |
| Nifty 50 | India | +8.01% | 0.16 | 0.22 | +26.11% | +46.67% | 15 | 1.36 | +9.93% |
| Nikkei 225 | Japan | +34.78% | 0.37 | 0.54 | +29.82% | +46.67% | 15 | 2.10 | +16.23% |
| KOSPI | South Korea | +81.08% | 0.88 | 1.51 | +24.79% | +46.15% | 13 | 3.70 | +12.97% |
| Swiss Market | Switzerland | +10.85% | 0.23 | 0.31 | +22.18% | +43.75% | 16 | 1.67 | +9.10% |
| Taiwan Weighted | Taiwan | +89.39% | 1.02 | 1.66 | +18.58% | +46.15% | 13 | 7.97 | +12.13% |
| FTSE 100 | UK | +26.29% | 0.49 | 0.70 | +16.07% | +61.54% | 13 | 2.64 | +9.26% |
| CBOE Volatility Index | US | -81.92% | -0.35 | -0.52 | +93.87% | +25.00% | 16 | 0.16 | +93.65% |
| Dow Jones Industrial Average | US | +2.57% | 0.05 | 0.08 | +28.36% | +52.94% | 17 | 1.19 | +9.49% |
| NASDAQ Composite | US | +10.78% | 0.15 | 0.21 | +23.10% | +46.67% | 15 | 1.37 | +13.45% |
| Russell 2000 | US | -0.93% | -0.01 | -0.02 | +30.97% | +47.06% | 17 | 1.03 | +15.87% |
| S&P 500 | US | -0.04% | -0.00 | -0.00 | +24.52% | +47.06% | 17 | 1.11 | +11.68% |