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 | +7.42% | Net profit | $74,202 | Gross profit | $219,768 | Gross loss | $144,630 | CAGR | +1.36% | Annualized return | +1.36% | Monthly average return | +0.12% | Median monthly return | +1.43% |
| Best month return | +6.08% | Worst month return | -4.65% | Rolling 1-month return | +9.03% | Log return CAGR | +14.64% | Compounded vs simple return difference | -2.96% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +13.65% | Average drawdown | +4.95% | Median drawdown | -5.65% | Drawdown duration (max) | 1139.4 days | Average drawdown duration | 25.9 days | Ulcer index | 5.70 | Pain index | 5.37 | Pain ratio | 5.55 |
| Drawdown volatility | 3.18 | Worst peak-to-trough loss | +13.65% | % time in drawdown | +84.81% | Drawdown area | 443.32 | Downside deviation | +17.79% | Semi-variance | 1.38 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.21 | Rolling 1-month Sharpe | 1.49 | Sortino ratio | 0.39 | Calmar ratio | 0.17 | Sterling ratio | 0.17 | Burke ratio | 0.34 | Return / volatility | 1.20 | Return / downside risk | 0.53 |
| Return / max drawdown | 0.93 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 17 | Win rate | +66.51% | Loss rate | +33.49% | Average win | +2.14% | Average loss | -2.65% | Win/Loss ratio | 0.80 | Expectancy | +0.48% | Profit factor | 1.72 |
| Payoff ratio | 0.80 | Best trade | +4.41% | Worst trade | -6.73% | Trade return standard deviation | +1.51% | Consecutive wins (max) | 5 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +6.82% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.05 | Alpha vs benchmark % | +0.73% | Information ratio | -0.57 | Treynor ratio | 0.03 | ||||||||
Compare variants: other parameter variations of the same base strategy.
| Metric | Linear Regression Reversion | Linear Regression Slope |
|---|---|---|
| Return & Growth | ||
| Total return | +7.42% | +88.84% |
| Net profit | $74,202 | $888,416 |
| Gross profit | $219,768 | $829,646 |
| Gross loss | $144,630 | $655,360 |
| CAGR | +1.36% | +3.74% |
| Annualized return | +1.36% | +3.74% |
| Monthly average return | +0.12% | +0.26% |
| Median monthly return | +1.43% | +1.13% |
| Best month return | +6.08% | +4.95% |
| Worst month return | -4.65% | -4.85% |
| Rolling 1-month return | +9.03% | +10.44% |
| Log return CAGR | +14.64% | +12.95% |
| Compounded vs simple return difference | -2.96% | -86.19% |
| Risk & Drawdown | ||
| Maximum drawdown | +13.65% | +24.28% |
| Average drawdown | +4.95% | +11.98% |
| Median drawdown | -5.65% | -5.74% |
| Drawdown duration (max) | 1139.4 days | 982.0 days |
| Average drawdown duration | 25.9 days | 28.4 days |
| Ulcer index | 5.70 | 12.91 |
| Pain index | 5.37 | 5.63 |
| Pain ratio | 5.55 | 29.15 |
| Drawdown volatility | 3.18 | 2.70 |
| Worst peak-to-trough loss | +13.65% | +24.28% |
| % time in drawdown | +84.81% | +82.38% |
| Drawdown area | 443.32 | 509.43 |
| Downside deviation | +17.79% | +14.14% |
| Semi-variance | 1.38 | 1.74 |
| Risk-Adjusted Ratios | ||
| Sharpe ratio | 0.21 | 0.24 |
| Rolling 1-month Sharpe | 1.49 | 1.82 |
| Sortino ratio | 0.39 | 0.49 |
| Calmar ratio | 0.17 | 0.24 |
| Sterling ratio | 0.17 | 0.24 |
| Burke ratio | 0.34 | 2.68 |
| Return / volatility | 1.20 | 3.68 |
| Return / downside risk | 0.53 | 4.34 |
| Return / max drawdown | 0.93 | 3.22 |
| Trade-Level Statistics | ||
| Total trades | 17 | 30 |
| Win rate | +66.51% | +41.66% |
| Loss rate | +33.49% | +58.34% |
| Average win | +2.14% | +6.70% |
| Average loss | -2.65% | -3.26% |
| Win/Loss ratio | 0.80 | 2.16 |
| Expectancy | +0.48% | +0.77% |
| Profit factor | 1.72 | 1.62 |
| Payoff ratio | 0.80 | 2.16 |
| Best trade | +4.41% | +19.26% |
| Worst trade | -6.73% | -9.90% |
| Trade return standard deviation | +1.51% | +4.45% |
| Consecutive wins (max) | 5 | 3 |
| Consecutive losses (max) | 3 | 6 |
| Distribution & Shape | ||
| Volatility (annualized) | +6.82% | +15.77% |
| Benchmark (Beta, Alpha, IR) | ||
| Beta to benchmark | 0.05 | 0.00 |
| Alpha vs benchmark % | +0.73% | -0.43% |
| Information ratio | -0.57 | -0.55 |
| Treynor ratio | 0.03 | 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 | +11.83% |
| Net profit | $118,327 |
| Gross profit | $271,391 |
| Gross loss | $153,194 |
| CAGR | +2.27% |
| Annualized return | +2.27% |
| Monthly average return | +0.20% |
| Median monthly return | +2.44% |
| Best month return | +8.44% |
| Worst month return | -6.56% |
| Rolling 1-month return | +10.30% |
| Log return CAGR | +5.05% |
| Compounded vs simple return difference | -9.88% |
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 | +16.43% | 0.57 | 1.23 | +6.89% | +100.00% | 5 | 0.00 | +5.47% |
| S&P/ASX 200 | Australia | +3.77% | 0.16 | 0.23 | +10.65% | +66.67% | 18 | 1.38 | +4.53% |
| Bovespa | Brazil | -8.55% | -0.46 | -0.59 | +12.98% | +50.00% | 8 | 0.36 | +3.94% |
| TSX Composite | Canada | +2.30% | 0.08 | 0.11 | +8.25% | +60.87% | 23 | 1.18 | +5.85% |
| Euro Stoxx 50 | Europe | +15.05% | 0.41 | 0.57 | +9.76% | +77.27% | 22 | 1.93 | +6.80% |
| Euronext 100 | Europe | +3.18% | 0.09 | 0.12 | +13.59% | +80.00% | 20 | 1.23 | +6.62% |
| CAC 40 | France | +9.65% | 0.31 | 0.44 | +8.91% | +76.19% | 21 | 1.96 | +5.83% |
| DAX | Germany | +11.98% | 0.28 | 0.43 | +13.77% | +76.19% | 21 | 1.99 | +7.86% |
| Hang Seng | Hong Kong | -3.82% | -0.13 | -0.17 | +21.81% | +52.94% | 17 | 0.88 | +6.15% |
| BSE Sensex | India | +16.30% | 0.73 | 1.37 | +5.32% | +64.71% | 17 | 3.20 | +4.17% |
| Nifty 50 | India | +22.81% | 0.86 | 1.59 | +5.16% | +68.42% | 19 | 3.60 | +4.76% |
| Nikkei 225 | Japan | +11.23% | 0.28 | 0.44 | +12.58% | +64.71% | 17 | 2.14 | +7.86% |
| KOSPI | South Korea | +16.01% | 0.44 | 0.70 | +10.55% | +68.42% | 19 | 2.05 | +6.82% |
| Swiss Market | Switzerland | -17.20% | -0.62 | -0.72 | +21.80% | +40.00% | 20 | 0.33 | +6.28% |
| Taiwan Weighted | Taiwan | -3.69% | -0.08 | -0.11 | +18.80% | +53.33% | 15 | 0.78 | +9.54% |
| FTSE 100 | UK | +5.59% | 0.18 | 0.24 | +11.02% | +70.00% | 20 | 1.39 | +5.88% |
| CBOE Volatility Index | US | -9.11% | -0.13 | -0.21 | +35.28% | +57.14% | 7 | 0.92 | +14.99% |
| Dow Jones Industrial Average | US | -1.24% | -0.04 | -0.06 | +16.28% | +52.63% | 19 | 0.95 | +6.04% |
| NASDAQ Composite | US | +24.01% | 0.45 | 0.81 | +15.81% | +75.00% | 20 | 2.70 | +9.45% |
| Russell 2000 | US | +29.29% | 0.71 | 1.32 | +13.21% | +78.57% | 14 | 5.35 | +7.07% |
| S&P 500 | US | +11.83% | 0.30 | 0.49 | +14.25% | +63.64% | 22 | 1.77 | +7.27% |