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 | +59.76% | Net profit | $597,590 | Gross profit | $510,507 | Gross loss | $101,673 | CAGR | +7.81% | Annualized return | +7.81% | Monthly average return | +0.70% | Median monthly return | +2.04% |
| Best month return | +9.09% | Worst month return | -3.30% | Rolling 1-month return | +12.34% | Log return CAGR | +27.72% | Compounded vs simple return difference | -51.09% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.10% | Average drawdown | +5.24% | Median drawdown | -4.00% | Drawdown duration (max) | 705.4 days | Average drawdown duration | 24.5 days | Ulcer index | 6.62 | Pain index | 4.21 | Pain ratio | 15.63 |
| Drawdown volatility | 2.89 | Worst peak-to-trough loss | +20.10% | % time in drawdown | +81.62% | Drawdown area | 363.69 | Downside deviation | +15.82% | Semi-variance | 1.06 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.44 | Rolling 1-month Sharpe | 1.53 | Sortino ratio | 0.75 | Calmar ratio | 0.40 | Sterling ratio | 0.40 | Burke ratio | 1.34 | Return / volatility | 3.12 | Return / downside risk | 2.90 |
| Return / max drawdown | 2.83 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 11 | Win rate | +78.69% | Loss rate | +21.31% | Average win | +6.50% | Average loss | -4.05% | Win/Loss ratio | 1.11 | Expectancy | +4.45% | Profit factor | 4.04 |
| Payoff ratio | 1.11 | Best trade | +12.63% | Worst trade | -6.40% | Trade return standard deviation | +3.91% | Consecutive wins (max) | 5 | Consecutive losses (max) | 1 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.00% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.18 | Alpha vs benchmark % | +4.84% | Information ratio | -0.34 | 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 | +28.60% |
| Net profit | $286,040 |
| Gross profit | $306,257 |
| Gross loss | $42,151 |
| CAGR | +5.18% |
| Annualized return | +5.18% |
| Monthly average return | +0.48% |
| Median monthly return | +0.13% |
| Best month return | +6.04% |
| Worst month return | -5.49% |
| Rolling 1-month return | +8.89% |
| Log return CAGR | +13.80% |
| Compounded vs simple return difference | -23.39% |
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 | +184.15% | 0.95 | 2.13 | +17.24% | +100.00% | 8 | 0.00 | +20.23% |
| S&P/ASX 200 | Australia | +38.17% | 0.67 | 1.02 | +13.46% | +80.00% | 15 | 5.43 | +9.26% |
| Bovespa | Brazil | +1.72% | 0.03 | 0.04 | +23.41% | +57.14% | 7 | 1.15 | +11.09% |
| TSX Composite | Canada | +30.65% | 0.56 | 0.86 | +13.49% | +83.33% | 12 | 4.84 | +9.25% |
| Euro Stoxx 50 | Europe | +44.33% | 0.54 | 0.85 | +20.47% | +90.91% | 11 | 5.41 | +13.17% |
| Euronext 100 | Europe | +47.45% | 0.61 | 0.94 | +16.14% | +91.67% | 12 | 12.20 | +12.09% |
| CAC 40 | France | +40.69% | 0.50 | 0.78 | +18.64% | +83.33% | 12 | 4.69 | +12.91% |
| DAX | Germany | +67.19% | 0.81 | 1.36 | +20.42% | +92.31% | 13 | 8.13 | +11.88% |
| Hang Seng | Hong Kong | +12.23% | 0.13 | 0.20 | +37.31% | +60.00% | 10 | 1.55 | +18.41% |
| BSE Sensex | India | +22.62% | 0.47 | 0.71 | +10.97% | +81.82% | 11 | 4.02 | +8.64% |
| Nifty 50 | India | +22.69% | 0.47 | 0.71 | +11.98% | +81.82% | 11 | 4.23 | +8.71% |
| Nikkei 225 | Japan | +28.83% | 0.32 | 0.48 | +19.10% | +77.78% | 9 | 10.73 | +15.87% |
| KOSPI | South Korea | -0.85% | -0.01 | -0.02 | +28.53% | +66.67% | 9 | 1.11 | +13.35% |
| Swiss Market | Switzerland | +17.87% | 0.32 | 0.46 | +15.76% | +72.73% | 11 | 2.67 | +10.13% |
| Taiwan Weighted | Taiwan | +11.79% | 0.16 | 0.22 | +25.77% | +72.73% | 11 | 1.53 | +14.61% |
| FTSE 100 | UK | +54.13% | 0.88 | 1.36 | +11.77% | +100.00% | 13 | 0.00 | +9.38% |
| CBOE Volatility Index | US | +528.08% | 0.51 | 1.80 | +33.02% | +100.00% | 7 | 0.00 | +56.01% |
| Dow Jones Industrial Average | US | +28.95% | 0.45 | 0.69 | +19.13% | +70.00% | 10 | 5.03 | +11.05% |
| NASDAQ Composite | US | +24.98% | 0.24 | 0.37 | +22.56% | +63.64% | 11 | 2.62 | +17.77% |
| Russell 2000 | US | +20.68% | 0.21 | 0.32 | +24.00% | +60.00% | 10 | 2.22 | +17.63% |
| S&P 500 | US | +28.60% | 0.36 | 0.56 | +18.88% | +66.67% | 9 | 7.27 | +13.45% |