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 | +52.21% | Net profit | $522,067 | Gross profit | $1,194,882 | Gross loss | $1,083,772 | CAGR | +1.68% | Annualized return | +1.68% | Monthly average return | +0.18% | Median monthly return | -2.13% |
| Best month return | +3.80% | Worst month return | -6.13% | Rolling 1-month return | +7.12% | Log return CAGR | -4.79% | Compounded vs simple return difference | -56.79% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.32% | Average drawdown | +14.06% | Median drawdown | -7.30% | Drawdown duration (max) | 1256.5 days | Average drawdown duration | 48.7 days | Ulcer index | 15.27 | Pain index | 6.76 | Pain ratio | 14.89 |
| Drawdown volatility | 3.54 | Worst peak-to-trough loss | +25.32% | % time in drawdown | +90.76% | Drawdown area | 640.49 | Downside deviation | +13.58% | Semi-variance | 1.89 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.12 | Rolling 1-month Sharpe | 1.35 | Sortino ratio | 0.31 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 1.38 | Return / volatility | 2.30 | Return / downside risk | 2.64 |
| Return / max drawdown | 2.62 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 82 | Win rate | +34.27% | Loss rate | +65.73% | Average win | +4.50% | Average loss | -1.90% | Win/Loss ratio | 2.27 | Expectancy | +0.19% | Profit factor | 1.23 |
| Payoff ratio | 2.27 | Best trade | +17.04% | Worst trade | -6.12% | Trade return standard deviation | +4.45% | Consecutive wins (max) | 3 | Consecutive losses (max) | 8 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.49% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | -0.26% | Information ratio | -0.62 | 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 | -11.74% |
| Net profit | -$117,360 |
| Gross profit | $754,420 |
| Gross loss | $854,747 |
| CAGR | -2.47% |
| Annualized return | -2.47% |
| Monthly average return | -0.17% |
| Median monthly return | -1.21% |
| Best month return | +0.93% |
| Worst month return | -3.74% |
| Rolling 1-month return | +4.98% |
| Log return CAGR | -10.88% |
| Compounded vs simple return difference | +7.31% |
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 | +1046.98% | 1.22 | 3.46 | +23.13% | +45.83% | 72 | 3.24 | +31.63% |
| S&P/ASX 200 | Australia | -7.25% | -0.19 | -0.25 | +16.25% | +32.95% | 88 | 0.90 | +8.04% |
| Bovespa | Brazil | -15.75% | -0.33 | -0.43 | +34.66% | +28.24% | 85 | 0.91 | +10.60% |
| TSX Composite | Canada | +14.09% | 0.34 | 0.48 | +11.42% | +43.59% | 78 | 1.27 | +7.63% |
| Euro Stoxx 50 | Europe | -0.02% | -0.00 | -0.00 | +20.11% | +30.23% | 86 | 1.04 | +10.19% |
| Euronext 100 | Europe | -5.68% | -0.14 | -0.18 | +18.46% | +32.58% | 89 | 0.96 | +8.31% |
| CAC 40 | France | +20.46% | 0.38 | 0.57 | +15.08% | +40.74% | 81 | 1.29 | +9.40% |
| DAX | Germany | +22.51% | 0.40 | 0.61 | +14.02% | +36.71% | 79 | 1.33 | +9.72% |
| Hang Seng | Hong Kong | -10.18% | -0.14 | -0.21 | +38.49% | +29.63% | 81 | 0.97 | +15.70% |
| BSE Sensex | India | +11.87% | 0.27 | 0.39 | +15.14% | +35.06% | 77 | 1.21 | +8.26% |
| Nifty 50 | India | +21.50% | 0.48 | 0.69 | +14.76% | +35.90% | 78 | 1.38 | +8.10% |
| Nikkei 225 | Japan | +7.32% | 0.12 | 0.17 | +29.86% | +31.76% | 85 | 1.14 | +12.39% |
| KOSPI | South Korea | +38.60% | 0.55 | 0.86 | +21.47% | +30.99% | 71 | 1.50 | +11.83% |
| Swiss Market | Switzerland | +17.10% | 0.42 | 0.64 | +14.90% | +36.25% | 80 | 1.31 | +7.39% |
| Taiwan Weighted | Taiwan | +93.89% | 1.19 | 2.12 | +19.13% | +44.29% | 70 | 2.26 | +10.74% |
| FTSE 100 | UK | -1.13% | -0.03 | -0.04 | +16.69% | +30.49% | 82 | 1.01 | +7.11% |
| CBOE Volatility Index | US | -97.37% | -0.79 | -0.88 | +97.94% | +20.65% | 92 | 0.61 | +101.85% |
| Dow Jones Industrial Average | US | -14.12% | -0.35 | -0.46 | +25.99% | +30.43% | 92 | 0.84 | +8.93% |
| NASDAQ Composite | US | -6.41% | -0.10 | -0.13 | +31.05% | +37.65% | 85 | 0.98 | +13.66% |
| Russell 2000 | US | -28.33% | -0.49 | -0.65 | +34.96% | +27.06% | 85 | 0.74 | +14.09% |
| S&P 500 | US | -11.74% | -0.26 | -0.34 | +18.17% | +38.71% | 93 | 0.88 | +9.82% |