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 | +148.07% | Net profit | $1,480,740 | Gross profit | $1,088,581 | Gross loss | $920,844 | CAGR | +4.16% | Annualized return | +4.16% | Monthly average return | +0.26% | Median monthly return | -1.00% |
| Best month return | +4.37% | Worst month return | -4.73% | Rolling 1-month return | +9.52% | Log return CAGR | +5.08% | Compounded vs simple return difference | -149.22% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.39% | Average drawdown | +13.81% | Median drawdown | -6.13% | Drawdown duration (max) | 1118.4 days | Average drawdown duration | 51.6 days | Ulcer index | 14.65 | Pain index | 6.06 | Pain ratio | 51.61 |
| Drawdown volatility | 3.08 | Worst peak-to-trough loss | +24.39% | % time in drawdown | +88.19% | Drawdown area | 570.39 | Downside deviation | +13.44% | Semi-variance | 1.75 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.20 | Rolling 1-month Sharpe | 1.71 | Sortino ratio | 0.49 | Calmar ratio | 0.36 | Sterling ratio | 0.36 | Burke ratio | 4.98 | Return / volatility | 5.30 | Return / downside risk | 6.82 |
| Return / max drawdown | 6.91 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 73 | Win rate | +27.66% | Loss rate | +72.34% | Average win | +5.66% | Average loss | -1.62% | Win/Loss ratio | 3.58 | Expectancy | +0.40% | Profit factor | 1.46 |
| Payoff ratio | 3.58 | Best trade | +19.83% | Worst trade | -4.93% | Trade return standard deviation | +4.39% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.04% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +0.10% | Information ratio | -0.58 | 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 | +11.90% |
| Net profit | $119,012 |
| Gross profit | $765,656 |
| Gross loss | $620,458 |
| CAGR | +2.28% |
| Annualized return | +2.28% |
| Monthly average return | +0.24% |
| Median monthly return | +0.65% |
| Best month return | +6.99% |
| Worst month return | -0.72% |
| Rolling 1-month return | +6.99% |
| Log return CAGR | +22.57% |
| Compounded vs simple return difference | -3.58% |
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 | +2955.80% | 1.46 | 5.27 | +23.83% | +35.59% | 59 | 6.03 | +33.79% |
| S&P/ASX 200 | Australia | -11.04% | -0.28 | -0.38 | +21.56% | +26.51% | 83 | 0.84 | +8.27% |
| Bovespa | Brazil | +16.69% | 0.27 | 0.39 | +25.57% | +26.32% | 76 | 1.25 | +11.42% |
| TSX Composite | Canada | +27.46% | 0.56 | 0.82 | +9.88% | +36.07% | 61 | 1.55 | +8.44% |
| Euro Stoxx 50 | Europe | -17.00% | -0.40 | -0.51 | +24.82% | +19.54% | 87 | 0.82 | +9.56% |
| Euronext 100 | Europe | +1.66% | 0.04 | 0.05 | +15.80% | +21.79% | 78 | 1.06 | +8.36% |
| CAC 40 | France | -10.15% | -0.23 | -0.31 | +19.89% | +22.08% | 77 | 0.89 | +9.20% |
| DAX | Germany | +9.64% | 0.19 | 0.28 | +16.56% | +24.39% | 82 | 1.18 | +9.44% |
| Hang Seng | Hong Kong | -24.69% | -0.37 | -0.52 | +35.38% | +17.07% | 82 | 0.82 | +16.01% |
| BSE Sensex | India | +47.60% | 0.87 | 1.38 | +8.37% | +33.33% | 57 | 2.08 | +8.82% |
| Nifty 50 | India | +35.63% | 0.66 | 1.00 | +8.40% | +35.00% | 60 | 1.76 | +9.07% |
| Nikkei 225 | Japan | +8.26% | 0.12 | 0.18 | +26.14% | +26.67% | 75 | 1.16 | +13.38% |
| KOSPI | South Korea | +47.92% | 0.61 | 0.98 | +25.52% | +27.27% | 66 | 1.72 | +12.72% |
| Swiss Market | Switzerland | +10.97% | 0.27 | 0.39 | +13.16% | +25.71% | 70 | 1.24 | +7.72% |
| Taiwan Weighted | Taiwan | +76.19% | 0.97 | 1.62 | +15.53% | +35.59% | 59 | 2.15 | +11.43% |
| FTSE 100 | UK | -5.63% | -0.15 | -0.21 | +24.82% | +24.72% | 89 | 0.93 | +7.53% |
| CBOE Volatility Index | US | -98.21% | -0.89 | -0.90 | +98.87% | +16.84% | 95 | 0.36 | +104.06% |
| Dow Jones Industrial Average | US | +9.59% | 0.20 | 0.29 | +15.75% | +37.10% | 62 | 1.23 | +8.94% |
| NASDAQ Composite | US | +46.60% | 0.55 | 0.85 | +20.78% | +32.79% | 61 | 1.68 | +13.50% |
| Russell 2000 | US | -29.62% | -0.49 | -0.66 | +40.42% | +23.17% | 82 | 0.71 | +14.68% |
| S&P 500 | US | +11.90% | 0.21 | 0.29 | +21.08% | +33.33% | 63 | 1.23 | +10.58% |