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 | +88.84% | Net profit | $888,416 | Gross profit | $829,646 | Gross loss | $655,360 | CAGR | +3.74% | Annualized return | +3.74% | Monthly average return | +0.26% | Median monthly return | +1.13% |
| Best month return | +4.95% | Worst month return | -4.85% | Rolling 1-month return | +10.44% | Log return CAGR | +12.95% | Compounded vs simple return difference | -86.19% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.28% | Average drawdown | +11.98% | Median drawdown | -5.74% | Drawdown duration (max) | 982.0 days | Average drawdown duration | 28.4 days | Ulcer index | 12.91 | Pain index | 5.63 | Pain ratio | 29.15 |
| Drawdown volatility | 2.70 | Worst peak-to-trough loss | +24.28% | % time in drawdown | +82.38% | Drawdown area | 509.43 | Downside deviation | +14.14% | Semi-variance | 1.74 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.24 | Rolling 1-month Sharpe | 1.82 | Sortino ratio | 0.49 | Calmar ratio | 0.24 | Sterling ratio | 0.24 | Burke ratio | 2.68 | Return / volatility | 3.68 | Return / downside risk | 4.34 |
| Return / max drawdown | 3.22 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 30 | Win rate | +41.66% | Loss rate | +58.34% | Average win | +6.70% | Average loss | -3.26% | Win/Loss ratio | 2.16 | Expectancy | +0.77% | Profit factor | 1.62 |
| Payoff ratio | 2.16 | Best trade | +19.26% | Worst trade | -9.90% | Trade return standard deviation | +4.45% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.77% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | -0.43% | Information ratio | -0.55 | Treynor ratio | 0.01 | ||||||||
Compare variants: other parameter variations of the same base strategy.
| Metric | Linear Regression Slope | Linear Regression Reversion |
|---|---|---|
| Return & Growth | ||
| Total return | +88.84% | +7.42% |
| Net profit | $888,416 | $74,202 |
| Gross profit | $829,646 | $219,768 |
| Gross loss | $655,360 | $144,630 |
| CAGR | +3.74% | +1.36% |
| Annualized return | +3.74% | +1.36% |
| Monthly average return | +0.26% | +0.12% |
| Median monthly return | +1.13% | +1.43% |
| Best month return | +4.95% | +6.08% |
| Worst month return | -4.85% | -4.65% |
| Rolling 1-month return | +10.44% | +9.03% |
| Log return CAGR | +12.95% | +14.64% |
| Compounded vs simple return difference | -86.19% | -2.96% |
| Risk & Drawdown | ||
| Maximum drawdown | +24.28% | +13.65% |
| Average drawdown | +11.98% | +4.95% |
| Median drawdown | -5.74% | -5.65% |
| Drawdown duration (max) | 982.0 days | 1139.4 days |
| Average drawdown duration | 28.4 days | 25.9 days |
| Ulcer index | 12.91 | 5.70 |
| Pain index | 5.63 | 5.37 |
| Pain ratio | 29.15 | 5.55 |
| Drawdown volatility | 2.70 | 3.18 |
| Worst peak-to-trough loss | +24.28% | +13.65% |
| % time in drawdown | +82.38% | +84.81% |
| Drawdown area | 509.43 | 443.32 |
| Downside deviation | +14.14% | +17.79% |
| Semi-variance | 1.74 | 1.38 |
| Risk-Adjusted Ratios | ||
| Sharpe ratio | 0.24 | 0.21 |
| Rolling 1-month Sharpe | 1.82 | 1.49 |
| Sortino ratio | 0.49 | 0.39 |
| Calmar ratio | 0.24 | 0.17 |
| Sterling ratio | 0.24 | 0.17 |
| Burke ratio | 2.68 | 0.34 |
| Return / volatility | 3.68 | 1.20 |
| Return / downside risk | 4.34 | 0.53 |
| Return / max drawdown | 3.22 | 0.93 |
| Trade-Level Statistics | ||
| Total trades | 30 | 17 |
| Win rate | +41.66% | +66.51% |
| Loss rate | +58.34% | +33.49% |
| Average win | +6.70% | +2.14% |
| Average loss | -3.26% | -2.65% |
| Win/Loss ratio | 2.16 | 0.80 |
| Expectancy | +0.77% | +0.48% |
| Profit factor | 1.62 | 1.72 |
| Payoff ratio | 2.16 | 0.80 |
| Best trade | +19.26% | +4.41% |
| Worst trade | -9.90% | -6.73% |
| Trade return standard deviation | +4.45% | +1.51% |
| Consecutive wins (max) | 3 | 5 |
| Consecutive losses (max) | 6 | 3 |
| Distribution & Shape | ||
| Volatility (annualized) | +15.77% | +6.82% |
| Benchmark (Beta, Alpha, IR) | ||
| Beta to benchmark | 0.00 | 0.05 |
| Alpha vs benchmark % | -0.43% | +0.73% |
| Information ratio | -0.55 | -0.57 |
| Treynor ratio | 0.01 | 0.03 |
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 | +22.48% |
| Net profit | $224,806 |
| Gross profit | $654,042 |
| Gross loss | $402,812 |
| CAGR | +4.15% |
| Annualized return | +4.15% |
| Monthly average return | +0.39% |
| Median monthly return | +2.53% |
| Best month return | +5.13% |
| Worst month return | -2.68% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +25.47% |
| Compounded vs simple return difference | -13.16% |
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 | +1643.38% | 1.30 | 3.86 | +32.03% | +50.00% | 30 | 6.16 | +33.49% |
| S&P/ASX 200 | Australia | +3.01% | 0.07 | 0.09 | +16.54% | +36.67% | 30 | 1.14 | +8.86% |
| Bovespa | Brazil | +19.53% | 0.32 | 0.47 | +22.58% | +42.86% | 28 | 1.46 | +10.87% |
| TSX Composite | Canada | +18.46% | 0.39 | 0.53 | +15.22% | +50.00% | 26 | 1.57 | +8.64% |
| Euro Stoxx 50 | Europe | +10.00% | 0.20 | 0.27 | +17.30% | +50.00% | 28 | 1.33 | +9.61% |
| Euronext 100 | Europe | +5.72% | 0.13 | 0.17 | +18.27% | +43.75% | 32 | 1.18 | +8.67% |
| CAC 40 | France | +6.96% | 0.14 | 0.20 | +15.81% | +46.67% | 30 | 1.24 | +9.09% |
| DAX | Germany | +22.88% | 0.41 | 0.60 | +15.02% | +48.28% | 29 | 1.70 | +9.71% |
| Hang Seng | Hong Kong | -0.09% | -0.00 | -0.00 | +27.83% | +30.00% | 30 | 1.09 | +15.54% |
| BSE Sensex | India | +12.76% | 0.27 | 0.38 | +16.07% | +35.71% | 28 | 1.34 | +9.12% |
| Nifty 50 | India | +15.87% | 0.31 | 0.46 | +15.52% | +30.00% | 30 | 1.43 | +9.37% |
| Nikkei 225 | Japan | +12.16% | 0.17 | 0.26 | +29.03% | +32.35% | 34 | 1.28 | +13.44% |
| KOSPI | South Korea | +79.10% | 0.88 | 1.49 | +17.33% | +43.33% | 30 | 2.79 | +12.82% |
| Swiss Market | Switzerland | +10.94% | 0.26 | 0.37 | +17.82% | +48.15% | 27 | 1.43 | +7.83% |
| Taiwan Weighted | Taiwan | +63.13% | 0.79 | 1.28 | +20.42% | +50.00% | 28 | 2.42 | +12.13% |
| FTSE 100 | UK | +0.42% | 0.01 | 0.01 | +15.51% | +37.50% | 32 | 1.05 | +7.96% |
| CBOE Volatility Index | US | -98.86% | -1.22 | -0.99 | +99.45% | +21.43% | 42 | 0.23 | +93.84% |
| Dow Jones Industrial Average | US | +0.00% | 0.00 | 0.00 | +20.57% | +44.44% | 27 | 1.08 | +9.61% |
| NASDAQ Composite | US | +18.16% | 0.23 | 0.33 | +30.26% | +44.83% | 29 | 1.39 | +14.14% |
| Russell 2000 | US | -0.33% | -0.00 | -0.01 | +27.23% | +46.67% | 30 | 1.06 | +15.24% |
| S&P 500 | US | +22.48% | 0.36 | 0.52 | +20.15% | +42.31% | 26 | 1.62 | +11.17% |