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 | +55.54% | Net profit | $555,386 | Gross profit | $1,040,549 | Gross loss | $769,303 | CAGR | +4.59% | Annualized return | +4.59% | Monthly average return | +0.46% | Median monthly return | -0.04% |
| Best month return | +6.25% | Worst month return | -4.91% | Rolling 1-month return | +10.68% | Log return CAGR | +14.49% | Compounded vs simple return difference | -51.28% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.98% | Average drawdown | +9.80% | Median drawdown | -5.25% | Drawdown duration (max) | 733.2 days | Average drawdown duration | 30.0 days | Ulcer index | 10.92 | Pain index | 5.55 | Pain ratio | 22.87 |
| Drawdown volatility | 3.04 | Worst peak-to-trough loss | +22.98% | % time in drawdown | +80.90% | Drawdown area | 499.06 | Downside deviation | +13.77% | Semi-variance | 1.64 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.38 | Rolling 1-month Sharpe | 1.75 | Sortino ratio | 0.66 | Calmar ratio | 0.29 | Sterling ratio | 0.29 | Burke ratio | 2.05 | Return / volatility | 3.43 | Return / downside risk | 3.67 |
| Return / max drawdown | 2.51 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 50 | Win rate | +40.08% | Loss rate | +59.92% | Average win | +5.34% | Average loss | -2.48% | Win/Loss ratio | 2.18 | Expectancy | +0.61% | Profit factor | 1.52 |
| Payoff ratio | 2.18 | Best trade | +16.56% | Worst trade | -7.26% | Trade return standard deviation | +4.38% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.77% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +3.50% | 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 | +12.11% |
| Net profit | $121,091 |
| Gross profit | $719,519 |
| Gross loss | $576,338 |
| CAGR | +2.32% |
| Annualized return | +2.32% |
| Monthly average return | +0.24% |
| Median monthly return | +1.24% |
| Best month return | +5.79% |
| Worst month return | -3.01% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +23.98% |
| Compounded vs simple return difference | -3.30% |
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 | +855.86% | 1.28 | 3.34 | +31.28% | +53.49% | 43 | 4.32 | +28.64% |
| S&P/ASX 200 | Australia | +2.51% | 0.06 | 0.08 | +24.21% | +39.13% | 46 | 1.10 | +8.26% |
| Bovespa | Brazil | +28.82% | 0.44 | 0.66 | +16.66% | +43.75% | 48 | 1.47 | +11.29% |
| TSX Composite | Canada | +27.60% | 0.63 | 0.94 | +11.37% | +49.02% | 51 | 1.64 | +7.52% |
| Euro Stoxx 50 | Europe | +36.51% | 0.63 | 0.99 | +18.21% | +38.30% | 47 | 1.66 | +9.57% |
| Euronext 100 | Europe | +33.82% | 0.66 | 1.00 | +15.30% | +42.00% | 50 | 1.70 | +8.44% |
| CAC 40 | France | +21.74% | 0.41 | 0.61 | +14.94% | +46.94% | 49 | 1.40 | +9.27% |
| DAX | Germany | +41.48% | 0.71 | 1.16 | +15.91% | +45.10% | 51 | 1.71 | +9.28% |
| Hang Seng | Hong Kong | -19.49% | -0.27 | -0.39 | +36.48% | +30.19% | 53 | 0.84 | +16.46% |
| BSE Sensex | India | +13.95% | 0.32 | 0.45 | +11.68% | +31.91% | 47 | 1.32 | +8.30% |
| Nifty 50 | India | +11.11% | 0.25 | 0.35 | +13.97% | +31.25% | 48 | 1.25 | +8.51% |
| Nikkei 225 | Japan | +9.57% | 0.15 | 0.21 | +18.76% | +40.00% | 50 | 1.19 | +12.66% |
| KOSPI | South Korea | +61.70% | 0.76 | 1.30 | +21.09% | +40.91% | 44 | 1.99 | +12.30% |
| Swiss Market | Switzerland | +38.60% | 0.88 | 1.42 | +10.91% | +51.22% | 41 | 2.03 | +7.23% |
| Taiwan Weighted | Taiwan | +64.20% | 0.89 | 1.48 | +17.71% | +39.62% | 53 | 1.95 | +10.94% |
| FTSE 100 | UK | +15.49% | 0.39 | 0.56 | +14.46% | +42.11% | 57 | 1.34 | +7.29% |
| CBOE Volatility Index | US | -85.15% | -0.32 | -0.51 | +93.51% | +29.09% | 55 | 0.69 | +106.69% |
| Dow Jones Industrial Average | US | -1.75% | -0.04 | -0.05 | +18.34% | +33.33% | 57 | 1.02 | +9.05% |
| NASDAQ Composite | US | +7.52% | 0.10 | 0.15 | +25.92% | +38.46% | 52 | 1.15 | +13.93% |
| Russell 2000 | US | -9.88% | -0.14 | -0.20 | +33.15% | +32.65% | 49 | 0.93 | +15.28% |
| S&P 500 | US | +12.11% | 0.22 | 0.32 | +18.81% | +43.10% | 58 | 1.25 | +10.33% |