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 | +114.27% | Net profit | $1,142,683 | Gross profit | $1,131,971 | Gross loss | $1,004,353 | CAGR | +2.83% | Annualized return | +2.83% | Monthly average return | +0.22% | Median monthly return | -1.32% |
| Best month return | +4.65% | Worst month return | -6.46% | Rolling 1-month return | +8.08% | Log return CAGR | -1.20% | Compounded vs simple return difference | -117.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.96% | Average drawdown | +16.57% | Median drawdown | -6.74% | Drawdown duration (max) | 1313.5 days | Average drawdown duration | 46.5 days | Ulcer index | 17.83 | Pain index | 6.55 | Pain ratio | 23.20 |
| Drawdown volatility | 3.12 | Worst peak-to-trough loss | +28.96% | % time in drawdown | +89.14% | Drawdown area | 621.64 | Downside deviation | +13.41% | Semi-variance | 1.88 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.10 | Rolling 1-month Sharpe | 1.54 | Sortino ratio | 0.31 | Calmar ratio | 0.22 | Sterling ratio | 0.22 | Burke ratio | 2.05 | Return / volatility | 3.69 | Return / downside risk | 5.09 |
| Return / max drawdown | 3.88 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 86 | Win rate | +26.14% | Loss rate | +73.86% | Average win | +5.51% | Average loss | -1.48% | Win/Loss ratio | 3.66 | Expectancy | +0.32% | Profit factor | 1.35 |
| Payoff ratio | 3.66 | Best trade | +21.39% | Worst trade | -4.97% | Trade return standard deviation | +4.65% | Consecutive wins (max) | 3 | Consecutive losses (max) | 11 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +17.20% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.06 | Alpha vs benchmark % | +0.17% | Information ratio | -0.64 | Treynor ratio | -0.00 | ||||||||
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 | -3.42% |
| Net profit | -$34,192 |
| Gross profit | $789,041 |
| Gross loss | $788,466 |
| CAGR | -0.70% |
| Annualized return | -0.70% |
| Monthly average return | +0.03% |
| Median monthly return | +0.44% |
| Best month return | +4.29% |
| Worst month return | -0.85% |
| Rolling 1-month return | +6.99% |
| Log return CAGR | +8.19% |
| Compounded vs simple return difference | +6.56% |
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 | +2351.21% | 1.28 | 4.24 | +34.75% | +31.15% | 61 | 5.60 | +36.67% |
| S&P/ASX 200 | Australia | -17.95% | -0.47 | -0.61 | +26.58% | +26.26% | 99 | 0.73 | +8.52% |
| Bovespa | Brazil | +5.43% | 0.09 | 0.13 | +24.31% | +24.71% | 85 | 1.16 | +11.74% |
| TSX Composite | Canada | +23.77% | 0.48 | 0.69 | +10.12% | +32.89% | 76 | 1.43 | +8.75% |
| Euro Stoxx 50 | Europe | -11.60% | -0.24 | -0.32 | +29.01% | +23.91% | 92 | 0.90 | +10.21% |
| Euronext 100 | Europe | -4.69% | -0.10 | -0.13 | +23.84% | +24.72% | 89 | 0.98 | +9.44% |
| CAC 40 | France | -23.37% | -0.55 | -0.69 | +31.41% | +20.00% | 100 | 0.74 | +9.78% |
| DAX | Germany | +18.13% | 0.31 | 0.46 | +22.55% | +26.60% | 94 | 1.28 | +10.59% |
| Hang Seng | Hong Kong | -17.53% | -0.24 | -0.35 | +36.69% | +19.10% | 89 | 0.90 | +16.66% |
| BSE Sensex | India | +22.14% | 0.44 | 0.65 | +13.28% | +29.87% | 77 | 1.42 | +9.11% |
| Nifty 50 | India | +22.11% | 0.42 | 0.61 | +14.32% | +32.39% | 71 | 1.42 | +9.41% |
| Nikkei 225 | Japan | +10.14% | 0.14 | 0.20 | +29.84% | +22.35% | 85 | 1.19 | +14.16% |
| KOSPI | South Korea | +44.79% | 0.55 | 0.90 | +26.15% | +19.05% | 84 | 1.62 | +13.29% |
| Swiss Market | Switzerland | +11.46% | 0.27 | 0.38 | +14.42% | +30.38% | 79 | 1.24 | +8.13% |
| Taiwan Weighted | Taiwan | +98.78% | 1.09 | 1.88 | +11.87% | +35.38% | 65 | 2.41 | +12.10% |
| FTSE 100 | UK | +3.41% | 0.08 | 0.12 | +18.26% | +24.44% | 90 | 1.09 | +7.85% |
| CBOE Volatility Index | US | -97.74% | -0.70 | -0.80 | +98.36% | +15.93% | 113 | 0.36 | +113.91% |
| Dow Jones Industrial Average | US | +3.99% | 0.08 | 0.11 | +21.37% | +33.75% | 80 | 1.10 | +9.78% |
| NASDAQ Composite | US | +4.19% | 0.06 | 0.08 | +37.41% | +27.50% | 80 | 1.11 | +14.78% |
| Russell 2000 | US | -43.59% | -0.78 | -0.97 | +53.19% | +19.44% | 108 | 0.59 | +15.48% |
| S&P 500 | US | -3.42% | -0.06 | -0.09 | +30.40% | +29.07% | 86 | 1.00 | +10.91% |