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 | +28.75% | Net profit | $287,547 | Gross profit | $793,441 | Gross loss | $557,700 | CAGR | +3.53% | Annualized return | +3.53% | Monthly average return | +0.38% | Median monthly return | +0.85% |
| Best month return | +6.15% | Worst month return | -4.01% | Rolling 1-month return | +9.91% | Log return CAGR | +1.33% | Compounded vs simple return difference | -28.88% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.12% | Average drawdown | +8.81% | Median drawdown | -4.19% | Drawdown duration (max) | 661.5 days | Average drawdown duration | 24.5 days | Ulcer index | 9.97 | Pain index | 4.49 | Pain ratio | 12.58 |
| Drawdown volatility | 2.93 | Worst peak-to-trough loss | +23.12% | % time in drawdown | +81.57% | Drawdown area | 391.16 | Downside deviation | +13.97% | Semi-variance | 2.09 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.36 | Rolling 1-month Sharpe | 1.80 | Sortino ratio | 0.58 | Calmar ratio | 0.23 | Sterling ratio | 0.23 | Burke ratio | 1.13 | Return / volatility | 2.50 | Return / downside risk | 2.42 |
| Return / max drawdown | 1.49 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 31 | Win rate | +46.21% | Loss rate | +53.79% | Average win | +5.63% | Average loss | -3.19% | Win/Loss ratio | 1.84 | Expectancy | +0.83% | Profit factor | 1.63 |
| Payoff ratio | 1.84 | Best trade | +17.32% | Worst trade | -10.23% | Trade return standard deviation | +4.10% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.01% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +3.52% | Information ratio | -0.49 | 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 | +5.05% |
| Net profit | $50,477 |
| Gross profit | $635,201 |
| Gross loss | $544,171 |
| CAGR | +0.99% |
| Annualized return | +0.99% |
| Monthly average return | +0.13% |
| Median monthly return | -0.17% |
| Best month return | +4.08% |
| Worst month return | -6.61% |
| Rolling 1-month return | +5.02% |
| Log return CAGR | -6.87% |
| Compounded vs simple return difference | -7.80% |
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 | +317.17% | 1.01 | 2.10 | +35.99% | +62.07% | 29 | 4.18 | +24.90% |
| S&P/ASX 200 | Australia | -0.83% | -0.02 | -0.03 | +20.55% | +39.39% | 33 | 1.04 | +8.08% |
| Bovespa | Brazil | +16.17% | 0.28 | 0.41 | +20.35% | +46.88% | 32 | 1.35 | +10.72% |
| TSX Composite | Canada | +14.41% | 0.34 | 0.47 | +15.81% | +56.25% | 32 | 1.43 | +7.76% |
| Euro Stoxx 50 | Europe | +38.24% | 0.68 | 1.05 | +15.90% | +48.28% | 29 | 1.97 | +9.19% |
| Euronext 100 | Europe | +40.39% | 0.83 | 1.28 | +12.77% | +48.28% | 29 | 2.19 | +7.76% |
| CAC 40 | France | +25.51% | 0.48 | 0.70 | +15.80% | +46.43% | 28 | 1.78 | +9.05% |
| DAX | Germany | +39.71% | 0.76 | 1.19 | +16.58% | +55.17% | 29 | 2.11 | +8.42% |
| Hang Seng | Hong Kong | +5.36% | 0.07 | 0.10 | +26.13% | +43.33% | 30 | 1.17 | +16.10% |
| BSE Sensex | India | +21.33% | 0.47 | 0.70 | +15.85% | +40.00% | 25 | 1.78 | +8.22% |
| Nifty 50 | India | +22.68% | 0.48 | 0.70 | +15.47% | +39.29% | 28 | 1.65 | +8.57% |
| Nikkei 225 | Japan | +13.82% | 0.22 | 0.32 | +19.49% | +40.63% | 32 | 1.35 | +12.16% |
| KOSPI | South Korea | +32.93% | 0.46 | 0.73 | +27.98% | +41.94% | 31 | 1.66 | +12.20% |
| Swiss Market | Switzerland | +17.28% | 0.44 | 0.64 | +16.07% | +46.43% | 28 | 1.55 | +7.16% |
| Taiwan Weighted | Taiwan | +64.52% | 0.94 | 1.62 | +13.01% | +46.67% | 30 | 2.51 | +10.42% |
| FTSE 100 | UK | +13.80% | 0.39 | 0.56 | +12.14% | +48.39% | 31 | 1.57 | +6.60% |
| CBOE Volatility Index | US | -76.20% | -0.26 | -0.43 | +89.20% | +31.43% | 35 | 0.62 | +99.61% |
| Dow Jones Industrial Average | US | +4.39% | 0.10 | 0.13 | +20.00% | +51.61% | 31 | 1.16 | +8.91% |
| NASDAQ Composite | US | -2.80% | -0.04 | -0.06 | +24.20% | +44.74% | 38 | 1.05 | +14.14% |
| Russell 2000 | US | -9.07% | -0.13 | -0.18 | +31.87% | +35.29% | 34 | 0.93 | +14.89% |
| S&P 500 | US | +5.05% | 0.09 | 0.13 | +20.27% | +57.89% | 38 | 1.17 | +10.32% |