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 | +68.01% | Net profit | $680,150 | Gross profit | $565,737 | Gross loss | $466,728 | CAGR | +2.77% | Annualized return | +2.77% | Monthly average return | +0.14% | Median monthly return | -1.55% |
| Best month return | +3.36% | Worst month return | -5.82% | Rolling 1-month return | +7.06% | Log return CAGR | +1.43% | Compounded vs simple return difference | -70.76% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.52% | Average drawdown | +10.45% | Median drawdown | -7.25% | Drawdown duration (max) | 871.4 days | Average drawdown duration | 37.4 days | Ulcer index | 10.99 | Pain index | 7.05 | Pain ratio | 24.98 |
| Drawdown volatility | 3.06 | Worst peak-to-trough loss | +18.52% | % time in drawdown | +86.86% | Drawdown area | 669.14 | Downside deviation | +14.10% | Semi-variance | 2.02 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.23 | Rolling 1-month Sharpe | 1.37 | Sortino ratio | 0.53 | Calmar ratio | 0.35 | Sterling ratio | 0.35 | Burke ratio | 2.22 | Return / volatility | 3.47 | Return / downside risk | 3.49 |
| Return / max drawdown | 4.00 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 24 | Win rate | +43.02% | Loss rate | +56.98% | Average win | +5.39% | Average loss | -2.88% | Win/Loss ratio | 2.10 | Expectancy | +0.48% | Profit factor | 1.89 |
| Payoff ratio | 2.10 | Best trade | +14.41% | Worst trade | -6.60% | Trade return standard deviation | +3.31% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +12.03% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | -1.45% | 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 | -1.43% |
| Net profit | -$14,305 |
| Gross profit | $299,431 |
| Gross loss | $303,555 |
| CAGR | -0.29% |
| Annualized return | -0.29% |
| Monthly average return | -0.00% |
| Median monthly return | +0.61% |
| Best month return | +2.35% |
| Worst month return | -4.14% |
| Rolling 1-month return | +3.98% |
| Log return CAGR | -8.08% |
| Compounded vs simple return difference | -1.82% |
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 | +1261.49% | 1.39 | 4.05 | +21.40% | +56.00% | 25 | 8.17 | +29.42% |
| S&P/ASX 200 | Australia | -7.08% | -0.26 | -0.34 | +16.80% | +37.04% | 27 | 0.73 | +5.72% |
| Bovespa | Brazil | +17.63% | 0.41 | 0.61 | +17.51% | +45.83% | 24 | 1.60 | +7.92% |
| TSX Composite | Canada | +20.38% | 0.57 | 0.84 | +7.71% | +57.69% | 26 | 2.24 | +6.40% |
| Euro Stoxx 50 | Europe | +9.26% | 0.25 | 0.35 | +11.11% | +41.67% | 24 | 1.33 | +6.99% |
| Euronext 100 | Europe | +2.17% | 0.07 | 0.09 | +9.32% | +50.00% | 24 | 1.11 | +6.17% |
| CAC 40 | France | +5.36% | 0.16 | 0.21 | +15.39% | +38.10% | 21 | 1.26 | +6.45% |
| DAX | Germany | +18.37% | 0.47 | 0.70 | +8.71% | +45.83% | 24 | 1.75 | +7.01% |
| Hang Seng | Hong Kong | -8.05% | -0.14 | -0.21 | +21.70% | +26.09% | 23 | 0.92 | +12.14% |
| BSE Sensex | India | +18.37% | 0.50 | 0.73 | +16.66% | +39.13% | 23 | 1.73 | +6.74% |
| Nifty 50 | India | +12.83% | 0.34 | 0.49 | +15.34% | +37.50% | 24 | 1.51 | +7.15% |
| Nikkei 225 | Japan | +28.49% | 0.48 | 0.77 | +17.74% | +48.00% | 25 | 1.80 | +10.48% |
| KOSPI | South Korea | +76.24% | 1.03 | 1.83 | +10.25% | +55.00% | 20 | 4.42 | +10.69% |
| Swiss Market | Switzerland | +11.86% | 0.40 | 0.59 | +6.66% | +52.38% | 21 | 1.96 | +5.55% |
| Taiwan Weighted | Taiwan | +57.82% | 0.99 | 1.72 | +11.02% | +62.50% | 24 | 3.42 | +9.11% |
| FTSE 100 | UK | -5.25% | -0.21 | -0.28 | +15.83% | +40.00% | 25 | 0.77 | +5.04% |
| CBOE Volatility Index | US | -98.84% | -1.65 | -1.17 | +99.13% | +11.54% | 26 | 0.07 | +75.32% |
| Dow Jones Industrial Average | US | -1.24% | -0.04 | -0.05 | +10.39% | +44.00% | 25 | 0.96 | +6.53% |
| NASDAQ Composite | US | +32.07% | 0.55 | 0.86 | +11.06% | +52.17% | 23 | 2.48 | +9.77% |
| Russell 2000 | US | -22.14% | -0.49 | -0.63 | +33.33% | +30.77% | 26 | 0.56 | +10.56% |
| S&P 500 | US | -1.43% | -0.04 | -0.05 | +11.94% | +32.14% | 28 | 0.99 | +7.38% |