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 | +295.06% | Net profit | $2,950,583 | Gross profit | $3,065,161 | Gross loss | $44,953 | CAGR | +9.04% | Annualized return | +9.04% | Monthly average return | +0.76% | Median monthly return | +0.64% |
| Best month return | +7.49% | Worst month return | -6.29% | Rolling 1-month return | +14.43% | Log return CAGR | +9.92% | Compounded vs simple return difference | -293.13% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +20.83% | Average drawdown | +6.86% | Median drawdown | -5.79% | Drawdown duration (max) | 806.6 days | Average drawdown duration | 33.2 days | Ulcer index | 7.55 | Pain index | 6.19 | Pain ratio | 77.23 |
| Drawdown volatility | 3.53 | Worst peak-to-trough loss | +20.83% | % time in drawdown | +87.94% | Drawdown area | 572.38 | Downside deviation | +15.89% | Semi-variance | 1.87 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.42 | Rolling 1-month Sharpe | 1.48 | Sortino ratio | 0.83 | Calmar ratio | 0.39 | Sterling ratio | 0.39 | Burke ratio | 7.28 | Return / volatility | 8.47 | Return / downside risk | 11.49 |
| Return / max drawdown | 8.16 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 3 | Win rate | +78.02% | Loss rate | +21.98% | Average win | +296.31% | Average loss | -4.50% | Win/Loss ratio | 0.94 | Expectancy | +291.87% | Profit factor | 2.29 |
| Payoff ratio | 0.94 | Best trade | +299.85% | Worst trade | -4.50% | Trade return standard deviation | +4.29% | Consecutive wins (max) | 2 | Consecutive losses (max) | 1 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.78% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.11 | Alpha vs benchmark % | +7.65% | Information ratio | -0.46 | 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 | +23.41% |
| Net profit | $234,069 |
| Gross profit | $234,658 |
| Gross loss | $0 |
| CAGR | +4.31% |
| Annualized return | +4.31% |
| Monthly average return | +0.38% |
| Median monthly return | +3.67% |
| Best month return | +7.04% |
| Worst month return | -2.73% |
| Rolling 1-month return | +10.59% |
| Log return CAGR | +26.01% |
| Compounded vs simple return difference | -13.90% |
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 | +5885.05% | 1.25 | 4.95 | +40.47% | +100.00% | 1 | 0.00 | +43.54% |
| S&P/ASX 200 | Australia | +11.19% | 0.40 | 0.59 | +9.46% | +100.00% | 3 | 0.00 | +5.29% |
| Bovespa | Brazil | +26.70% | 0.48 | 0.72 | +16.43% | +83.33% | 6 | 4.46 | +9.73% |
| TSX Composite | Canada | +1.51% | 0.04 | 0.06 | +17.38% | +66.67% | 3 | 1.33 | +7.00% |
| Euro Stoxx 50 | Europe | +19.12% | 0.34 | 0.52 | +23.43% | +66.67% | 3 | 3.42 | +10.19% |
| Euronext 100 | Europe | +17.20% | 0.39 | 0.62 | +13.17% | +100.00% | 2 | 0.00 | +7.92% |
| CAC 40 | France | +27.21% | 0.58 | 1.02 | +14.60% | +100.00% | 3 | 0.00 | +7.99% |
| DAX | Germany | +31.15% | 0.55 | 0.96 | +19.02% | +100.00% | 3 | 0.00 | +9.48% |
| Hang Seng | Hong Kong | +30.64% | 0.28 | 0.46 | +34.45% | +66.67% | 3 | 7.06 | +18.97% |
| BSE Sensex | India | +18.49% | 0.63 | 1.03 | +7.73% | +80.00% | 5 | 10.82 | +5.39% |
| Nifty 50 | India | +26.59% | 0.96 | 1.67 | +8.19% | +100.00% | 4 | 0.00 | +4.88% |
| Nikkei 225 | Japan | +1.62% | 0.02 | 0.03 | +22.24% | +50.00% | 2 | 1.53 | +13.14% |
| KOSPI | South Korea | +9.81% | 0.13 | 0.18 | +22.18% | +50.00% | 2 | 2.08 | +14.68% |
| Swiss Market | Switzerland | +10.25% | 0.24 | 0.36 | +10.92% | +75.00% | 4 | 6.02 | +8.23% |
| Taiwan Weighted | Taiwan | +15.96% | 0.52 | 0.81 | +8.79% | +100.00% | 3 | 0.00 | +5.77% |
| FTSE 100 | UK | +12.76% | 0.91 | 1.66 | +3.67% | +100.00% | 3 | 0.00 | +2.61% |
| CBOE Volatility Index | US | -18.42% | -0.02 | -0.06 | +74.26% | +0.00% | 1 | 0.00 | +125.98% |
| Dow Jones Industrial Average | US | +23.42% | 0.48 | 0.72 | +16.40% | +83.33% | 6 | 5.84 | +8.58% |
| NASDAQ Composite | US | -1.62% | -0.02 | -0.03 | +32.06% | +50.00% | 2 | 1.13 | +16.57% |
| Russell 2000 | US | +24.18% | 0.23 | 0.35 | +32.41% | +66.67% | 3 | 4.49 | +18.52% |
| S&P 500 | US | +23.41% | 0.52 | 0.87 | +10.26% | +100.00% | 1 | 0.00 | +8.01% |