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 | +38.48% | Net profit | $384,813 | Gross profit | $1,202,783 | Gross loss | $1,073,065 | CAGR | +1.69% | Annualized return | +1.69% | Monthly average return | +0.20% | Median monthly return | +0.69% |
| Best month return | +5.38% | Worst month return | -2.97% | Rolling 1-month return | +8.84% | Log return CAGR | +5.88% | Compounded vs simple return difference | -36.96% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.57% | Average drawdown | +12.14% | Median drawdown | -3.43% | Drawdown duration (max) | 1162.4 days | Average drawdown duration | 23.0 days | Ulcer index | 13.37 | Pain index | 3.85 | Pain ratio | 13.27 |
| Drawdown volatility | 2.55 | Worst peak-to-trough loss | +24.57% | % time in drawdown | +84.52% | Drawdown area | 342.19 | Downside deviation | +14.09% | Semi-variance | 1.48 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.12 | Rolling 1-month Sharpe | 1.56 | Sortino ratio | 0.26 | Calmar ratio | 0.16 | Sterling ratio | 0.16 | Burke ratio | 1.14 | Return / volatility | 1.71 | Return / downside risk | 1.88 |
| Return / max drawdown | 1.94 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 78 | Win rate | +46.20% | Loss rate | +53.80% | Average win | +3.40% | Average loss | -2.47% | Win/Loss ratio | 1.38 | Expectancy | +0.19% | Profit factor | 1.20 |
| Payoff ratio | 1.38 | Best trade | +13.23% | Worst trade | -8.81% | Trade return standard deviation | +4.21% | Consecutive wins (max) | 5 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.97% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.04 | Alpha vs benchmark % | +0.85% | Information ratio | -0.60 | 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 | +0.85% |
| Net profit | $8,455 |
| Gross profit | $752,906 |
| Gross loss | $721,785 |
| CAGR | +0.17% |
| Annualized return | +0.17% |
| Monthly average return | +0.04% |
| Median monthly return | +1.66% |
| Best month return | +5.52% |
| Worst month return | -0.27% |
| Rolling 1-month return | +5.52% |
| Log return CAGR | +20.48% |
| Compounded vs simple return difference | +6.75% |
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 | +769.24% | 1.16 | 3.07 | +22.20% | +54.79% | 73 | 3.18 | +30.36% |
| S&P/ASX 200 | Australia | +1.46% | 0.03 | 0.05 | +12.50% | +41.77% | 79 | 1.05 | +8.29% |
| Bovespa | Brazil | +11.14% | 0.18 | 0.26 | +31.54% | +40.00% | 75 | 1.17 | +11.41% |
| TSX Composite | Canada | +0.88% | 0.02 | 0.03 | +20.40% | +53.75% | 80 | 1.05 | +7.38% |
| Euro Stoxx 50 | Europe | +5.44% | 0.10 | 0.14 | +17.29% | +48.68% | 76 | 1.10 | +10.36% |
| Euronext 100 | Europe | -0.77% | -0.02 | -0.02 | +18.73% | +48.05% | 77 | 1.02 | +8.95% |
| CAC 40 | France | +3.78% | 0.07 | 0.10 | +15.11% | +45.33% | 75 | 1.08 | +9.84% |
| DAX | Germany | +18.78% | 0.34 | 0.50 | +18.78% | +47.37% | 76 | 1.29 | +9.92% |
| Hang Seng | Hong Kong | +4.24% | 0.05 | 0.08 | +31.02% | +36.00% | 75 | 1.11 | +16.45% |
| BSE Sensex | India | +0.47% | 0.01 | 0.02 | +14.97% | +47.37% | 76 | 1.04 | +8.20% |
| Nifty 50 | India | +1.22% | 0.03 | 0.04 | +17.50% | +47.44% | 78 | 1.05 | +8.32% |
| Nikkei 225 | Japan | +20.79% | 0.25 | 0.37 | +20.10% | +43.84% | 73 | 1.25 | +15.11% |
| KOSPI | South Korea | +34.00% | 0.45 | 0.68 | +25.89% | +44.74% | 76 | 1.43 | +12.99% |
| Swiss Market | Switzerland | -0.44% | -0.01 | -0.02 | +20.53% | +41.77% | 79 | 1.02 | +7.92% |
| Taiwan Weighted | Taiwan | +44.61% | 0.64 | 1.02 | +17.28% | +50.63% | 79 | 1.53 | +11.48% |
| FTSE 100 | UK | +7.33% | 0.18 | 0.26 | +11.34% | +47.22% | 72 | 1.15 | +7.66% |
| CBOE Volatility Index | US | -95.02% | -0.59 | -0.72 | +97.27% | +39.53% | 86 | 0.70 | +104.07% |
| Dow Jones Industrial Average | US | -8.48% | -0.20 | -0.28 | +15.51% | +45.78% | 83 | 0.90 | +8.84% |
| NASDAQ Composite | US | -10.98% | -0.17 | -0.23 | +39.71% | +48.78% | 82 | 0.93 | +13.63% |
| Russell 2000 | US | -0.44% | -0.01 | -0.01 | +23.36% | +43.59% | 78 | 1.04 | +14.10% |
| S&P 500 | US | +0.85% | 0.02 | 0.02 | +24.96% | +53.75% | 80 | 1.04 | +10.09% |