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 | +97.21% | Net profit | $972,124 | Gross profit | $748,304 | Gross loss | $526,138 | CAGR | +4.27% | Annualized return | +4.27% | Monthly average return | +0.29% | Median monthly return | +0.53% |
| Best month return | +4.94% | Worst month return | -4.33% | Rolling 1-month return | +9.97% | Log return CAGR | +13.35% | Compounded vs simple return difference | -95.21% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.26% | Average drawdown | +14.93% | Median drawdown | -6.23% | Drawdown duration (max) | 1287.4 days | Average drawdown duration | 26.8 days | Ulcer index | 16.06 | Pain index | 5.97 | Pain ratio | 38.77 |
| Drawdown volatility | 2.96 | Worst peak-to-trough loss | +26.26% | % time in drawdown | +79.38% | Drawdown area | 553.40 | Downside deviation | +14.09% | Semi-variance | 2.07 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.27 | Rolling 1-month Sharpe | 1.66 | Sortino ratio | 0.54 | Calmar ratio | 0.27 | Sterling ratio | 0.27 | Burke ratio | 3.62 | Return / volatility | 4.06 | Return / downside risk | 5.01 |
| Return / max drawdown | 3.47 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 22 | Win rate | +33.82% | Loss rate | +66.18% | Average win | +10.70% | Average loss | -3.13% | Win/Loss ratio | 3.91 | Expectancy | +1.63% | Profit factor | 2.20 |
| Payoff ratio | 3.91 | Best trade | +28.84% | Worst trade | -7.46% | Trade return standard deviation | +4.35% | Consecutive wins (max) | 2 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.38% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +0.57% | Information ratio | -0.52 | 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 | +46.84% |
| Net profit | $468,383 |
| Gross profit | $599,469 |
| Gross loss | $179,807 |
| CAGR | +8.01% |
| Annualized return | +8.01% |
| Monthly average return | +0.68% |
| Median monthly return | +1.82% |
| Best month return | +3.81% |
| Worst month return | +1.19% |
| Rolling 1-month return | +7.46% |
| Log return CAGR | +32.34% |
| Compounded vs simple return difference | -35.20% |
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 | +1763.67% | 1.30 | 3.86 | +33.78% | +52.94% | 17 | 10.40 | +33.94% |
| S&P/ASX 200 | Australia | +2.32% | 0.05 | 0.07 | +18.38% | +29.17% | 24 | 1.13 | +8.42% |
| Bovespa | Brazil | +33.93% | 0.51 | 0.80 | +17.44% | +39.13% | 23 | 1.97 | +11.10% |
| TSX Composite | Canada | +24.54% | 0.47 | 0.67 | +21.13% | +33.33% | 21 | 1.89 | +9.09% |
| Euro Stoxx 50 | Europe | -9.22% | -0.18 | -0.23 | +24.88% | +24.14% | 29 | 0.87 | +10.90% |
| Euronext 100 | Europe | -4.18% | -0.09 | -0.11 | +24.88% | +32.00% | 25 | 0.96 | +9.81% |
| CAC 40 | France | -10.19% | -0.21 | -0.27 | +25.98% | +40.00% | 30 | 0.80 | +10.21% |
| DAX | Germany | +13.68% | 0.22 | 0.31 | +23.73% | +40.91% | 22 | 1.44 | +11.18% |
| Hang Seng | Hong Kong | -22.03% | -0.32 | -0.42 | +29.72% | +25.00% | 24 | 0.61 | +16.09% |
| BSE Sensex | India | +34.78% | 0.63 | 0.97 | +14.44% | +52.94% | 17 | 2.52 | +9.33% |
| Nifty 50 | India | +45.22% | 0.76 | 1.19 | +13.82% | +47.06% | 17 | 2.89 | +9.62% |
| Nikkei 225 | Japan | +20.90% | 0.28 | 0.42 | +31.21% | +13.04% | 23 | 1.63 | +13.75% |
| KOSPI | South Korea | +83.71% | 0.91 | 1.55 | +20.55% | +33.33% | 18 | 5.76 | +12.93% |
| Swiss Market | Switzerland | +11.11% | 0.26 | 0.37 | +16.32% | +35.00% | 20 | 1.54 | +8.05% |
| Taiwan Weighted | Taiwan | +57.00% | 0.71 | 1.11 | +20.41% | +39.13% | 23 | 2.58 | +12.51% |
| FTSE 100 | UK | -1.59% | -0.04 | -0.05 | +25.74% | +20.83% | 24 | 1.04 | +8.57% |
| CBOE Volatility Index | US | -98.39% | -0.99 | -0.93 | +99.10% | +13.33% | 30 | 0.06 | +99.40% |
| Dow Jones Industrial Average | US | +16.04% | 0.31 | 0.45 | +12.62% | +38.10% | 21 | 1.72 | +9.49% |
| NASDAQ Composite | US | +46.96% | 0.54 | 0.84 | +25.82% | +36.84% | 19 | 2.27 | +13.70% |
| Russell 2000 | US | -13.63% | -0.20 | -0.28 | +35.92% | +22.73% | 22 | 0.80 | +14.95% |
| S&P 500 | US | +46.84% | 0.68 | 1.08 | +15.60% | +41.18% | 17 | 3.33 | +10.85% |