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 | +87.36% | Net profit | $873,570 | Gross profit | $962,210 | Gross loss | $677,305 | CAGR | +5.20% | Annualized return | +5.20% | Monthly average return | +0.46% | Median monthly return | -0.22% |
| Best month return | +5.36% | Worst month return | -5.44% | Rolling 1-month return | +8.24% | Log return CAGR | +6.03% | Compounded vs simple return difference | -87.24% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.03% | Average drawdown | +12.07% | Median drawdown | -5.87% | Drawdown duration (max) | 1030.9 days | Average drawdown duration | 31.9 days | Ulcer index | 13.01 | Pain index | 5.89 | Pain ratio | 24.80 |
| Drawdown volatility | 2.69 | Worst peak-to-trough loss | +24.03% | % time in drawdown | +82.52% | Drawdown area | 544.69 | Downside deviation | +13.77% | Semi-variance | 1.93 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.33 | Rolling 1-month Sharpe | 1.61 | Sortino ratio | 0.61 | Calmar ratio | 0.34 | Sterling ratio | 0.34 | Burke ratio | 2.14 | Return / volatility | 4.04 | Return / downside risk | 4.91 |
| Return / max drawdown | 4.17 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 32 | Win rate | +40.50% | Loss rate | +59.50% | Average win | +6.87% | Average loss | -2.97% | Win/Loss ratio | 2.38 | Expectancy | +1.01% | Profit factor | 1.70 |
| Payoff ratio | 2.38 | Best trade | +23.35% | Worst trade | -6.63% | Trade return standard deviation | +4.63% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.69% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +2.93% | Information ratio | -0.48 | 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 | +49.95% |
| Net profit | $499,480 |
| Gross profit | $766,605 |
| Gross loss | $301,278 |
| CAGR | +8.47% |
| Annualized return | +8.47% |
| Monthly average return | +0.72% |
| Median monthly return | +1.06% |
| Best month return | +4.67% |
| Worst month return | -1.57% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +19.81% |
| Compounded vs simple return difference | -42.59% |
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 | +1502.88% | 1.34 | 3.99 | +23.56% | +51.11% | 45 | 4.98 | +31.80% |
| S&P/ASX 200 | Australia | -1.50% | -0.03 | -0.04 | +17.83% | +42.31% | 26 | 1.00 | +9.02% |
| Bovespa | Brazil | +22.60% | 0.36 | 0.54 | +18.29% | +46.88% | 32 | 1.53 | +11.22% |
| TSX Composite | Canada | +24.12% | 0.48 | 0.69 | +14.67% | +52.00% | 25 | 1.83 | +8.85% |
| Euro Stoxx 50 | Europe | +7.41% | 0.13 | 0.18 | +21.50% | +36.67% | 30 | 1.21 | +10.72% |
| Euronext 100 | Europe | +14.41% | 0.26 | 0.37 | +16.96% | +37.04% | 27 | 1.42 | +9.84% |
| CAC 40 | France | +11.18% | 0.21 | 0.29 | +16.72% | +43.33% | 30 | 1.29 | +10.02% |
| DAX | Germany | +26.23% | 0.43 | 0.63 | +20.23% | +39.29% | 28 | 1.70 | +10.43% |
| Hang Seng | Hong Kong | -14.76% | -0.20 | -0.30 | +34.94% | +25.64% | 39 | 0.90 | +16.19% |
| BSE Sensex | India | +9.55% | 0.20 | 0.27 | +18.81% | +35.71% | 28 | 1.27 | +9.38% |
| Nifty 50 | India | +14.33% | 0.27 | 0.39 | +18.27% | +37.04% | 27 | 1.36 | +9.79% |
| Nikkei 225 | Japan | +22.29% | 0.30 | 0.45 | +23.61% | +37.14% | 35 | 1.44 | +13.65% |
| KOSPI | South Korea | +65.78% | 0.75 | 1.26 | +23.58% | +41.94% | 31 | 2.28 | +13.11% |
| Swiss Market | Switzerland | +12.74% | 0.29 | 0.41 | +14.64% | +48.00% | 25 | 1.59 | +8.36% |
| Taiwan Weighted | Taiwan | +89.09% | 1.04 | 1.77 | +18.41% | +57.69% | 26 | 2.79 | +11.90% |
| FTSE 100 | UK | +5.37% | 0.13 | 0.17 | +20.02% | +29.17% | 24 | 1.23 | +8.25% |
| CBOE Volatility Index | US | -91.77% | -0.43 | -0.63 | +94.44% | +30.99% | 71 | 0.58 | +108.58% |
| Dow Jones Industrial Average | US | +31.70% | 0.55 | 0.84 | +13.63% | +47.83% | 23 | 2.08 | +9.78% |
| NASDAQ Composite | US | +61.56% | 0.65 | 1.04 | +18.52% | +37.50% | 32 | 1.99 | +14.14% |
| Russell 2000 | US | -28.67% | -0.48 | -0.64 | +40.92% | +33.33% | 45 | 0.66 | +14.41% |
| S&P 500 | US | +49.95% | 0.71 | 1.10 | +15.09% | +40.00% | 25 | 2.54 | +10.95% |