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 | +74.24% | Net profit | $742,359 | Gross profit | $652,200 | Gross loss | $350,656 | CAGR | +5.60% | Annualized return | +5.60% | Monthly average return | +0.48% | Median monthly return | -0.46% |
| Best month return | +4.62% | Worst month return | -5.58% | Rolling 1-month return | +7.96% | Log return CAGR | +14.59% | Compounded vs simple return difference | -72.19% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.58% | Average drawdown | +12.62% | Median drawdown | -7.09% | Drawdown duration (max) | 1063.0 days | Average drawdown duration | 30.8 days | Ulcer index | 13.52 | Pain index | 6.32 | Pain ratio | 33.42 |
| Drawdown volatility | 3.49 | Worst peak-to-trough loss | +26.58% | % time in drawdown | +81.57% | Drawdown area | 589.60 | Downside deviation | +14.41% | Semi-variance | 1.41 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.39 | Rolling 1-month Sharpe | 1.62 | Sortino ratio | 0.67 | Calmar ratio | 0.31 | Sterling ratio | 0.31 | Burke ratio | 3.14 | Return / volatility | 3.90 | Return / downside risk | 4.25 |
| Return / max drawdown | 3.09 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 14 | Win rate | +52.01% | Loss rate | +47.99% | Average win | +8.87% | Average loss | -4.42% | Win/Loss ratio | 2.64 | Expectancy | +2.35% | Profit factor | 4.61 |
| Payoff ratio | 2.64 | Best trade | +23.99% | Worst trade | -9.85% | Trade return standard deviation | +4.25% | Consecutive wins (max) | 3 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.54% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | +3.39% | Information ratio | -0.43 | Treynor ratio | 0.02 | ||||||||
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 | +8.54% |
| Net profit | $85,362 |
| Gross profit | $410,218 |
| Gross loss | $294,781 |
| CAGR | +1.66% |
| Annualized return | +1.66% |
| Monthly average return | +0.19% |
| Median monthly return | -4.55% |
| Best month return | +5.40% |
| Worst month return | -8.97% |
| Rolling 1-month return | +5.40% |
| Log return CAGR | -33.38% |
| Compounded vs simple return difference | -23.29% |
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 | +1151.81% | 1.31 | 3.60 | +29.17% | +76.92% | 13 | 51.36 | +30.40% |
| S&P/ASX 200 | Australia | -2.33% | -0.05 | -0.07 | +16.48% | +53.85% | 13 | 0.97 | +9.01% |
| Bovespa | Brazil | +21.22% | 0.31 | 0.47 | +19.55% | +50.00% | 16 | 1.85 | +12.11% |
| TSX Composite | Canada | +37.67% | 0.72 | 1.08 | +18.50% | +58.82% | 17 | 2.56 | +8.59% |
| Euro Stoxx 50 | Europe | +41.48% | 0.57 | 0.86 | +22.91% | +75.00% | 12 | 3.47 | +11.82% |
| Euronext 100 | Europe | +36.50% | 0.57 | 0.84 | +12.56% | +57.14% | 14 | 2.95 | +10.41% |
| CAC 40 | France | +23.32% | 0.37 | 0.54 | +20.74% | +64.29% | 14 | 2.34 | +10.87% |
| DAX | Germany | +6.19% | 0.10 | 0.14 | +34.79% | +50.00% | 16 | 1.26 | +11.42% |
| Hang Seng | Hong Kong | -21.40% | -0.32 | -0.44 | +41.06% | +26.67% | 15 | 0.77 | +15.88% |
| BSE Sensex | India | +50.40% | 0.75 | 1.18 | +20.04% | +58.33% | 12 | 3.30 | +10.66% |
| Nifty 50 | India | +42.38% | 0.64 | 0.97 | +17.20% | +50.00% | 14 | 2.94 | +10.80% |
| Nikkei 225 | Japan | +76.73% | 0.71 | 1.20 | +17.42% | +57.14% | 14 | 3.92 | +15.43% |
| KOSPI | South Korea | +45.39% | 0.67 | 1.09 | +23.00% | +50.00% | 12 | 2.96 | +11.01% |
| Swiss Market | Switzerland | +27.45% | 0.52 | 0.74 | +17.22% | +66.67% | 15 | 3.73 | +9.18% |
| Taiwan Weighted | Taiwan | +47.46% | 0.63 | 0.94 | +22.52% | +47.06% | 17 | 3.83 | +12.18% |
| FTSE 100 | UK | +21.10% | 0.40 | 0.56 | +18.08% | +50.00% | 14 | 2.26 | +9.38% |
| CBOE Volatility Index | US | -90.28% | -0.47 | -0.67 | +92.05% | +12.50% | 16 | 0.07 | +97.97% |
| Dow Jones Industrial Average | US | +22.22% | 0.40 | 0.59 | +26.42% | +46.15% | 13 | 2.38 | +9.95% |
| NASDAQ Composite | US | +7.76% | 0.11 | 0.15 | +37.05% | +42.86% | 14 | 1.27 | +14.07% |
| Russell 2000 | US | +5.37% | 0.07 | 0.10 | +29.80% | +53.33% | 15 | 1.26 | +15.18% |
| S&P 500 | US | +8.54% | 0.15 | 0.21 | +21.53% | +45.45% | 11 | 1.39 | +10.99% |