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 | +44.37% | Net profit | $443,735 | Gross profit | $1,496,789 | Gross loss | $1,363,720 | CAGR | +1.65% | Annualized return | +1.65% | Monthly average return | +0.21% | Median monthly return | -0.89% |
| Best month return | +4.37% | Worst month return | -4.29% | Rolling 1-month return | +7.01% | Log return CAGR | +1.60% | Compounded vs simple return difference | -45.20% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +30.75% | Average drawdown | +16.32% | Median drawdown | -5.05% | Drawdown duration (max) | 1327.9 days | Average drawdown duration | 42.0 days | Ulcer index | 17.81 | Pain index | 5.18 | Pain ratio | 17.60 |
| Drawdown volatility | 2.74 | Worst peak-to-trough loss | +30.75% | % time in drawdown | +90.24% | Drawdown area | 480.86 | Downside deviation | +13.61% | Semi-variance | 1.42 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | -0.06 | Rolling 1-month Sharpe | 1.23 | Sortino ratio | 0.04 | Calmar ratio | 0.07 | Sterling ratio | 0.07 | Burke ratio | 1.64 | Return / volatility | 1.28 | Return / downside risk | 1.62 |
| Return / max drawdown | 1.14 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 147 | Win rate | +36.13% | Loss rate | +63.87% | Average win | +2.82% | Average loss | -1.46% | Win/Loss ratio | 1.84 | Expectancy | +0.11% | Profit factor | 1.07 |
| Payoff ratio | 1.84 | Best trade | +14.59% | Worst trade | -5.91% | Trade return standard deviation | +4.21% | Consecutive wins (max) | 4 | Consecutive losses (max) | 9 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.85% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.01 | Alpha vs benchmark % | +0.52% | Information ratio | -0.69 | 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 | -13.28% |
| Net profit | -$132,797 |
| Gross profit | $1,030,197 |
| Gross loss | $1,142,948 |
| CAGR | -2.82% |
| Annualized return | -2.82% |
| Monthly average return | -0.20% |
| Median monthly return | +0.71% |
| Best month return | +1.68% |
| Worst month return | +0.37% |
| Rolling 1-month return | +2.74% |
| Log return CAGR | +14.57% |
| Compounded vs simple return difference | +18.77% |
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 | +1047.79% | 1.28 | 3.66 | +46.40% | +46.27% | 134 | 2.46 | +30.36% |
| S&P/ASX 200 | Australia | -38.15% | -1.23 | -1.45 | +38.38% | +29.31% | 174 | 0.59 | +8.17% |
| Bovespa | Brazil | -4.06% | -0.07 | -0.10 | +29.33% | +30.82% | 146 | 1.00 | +11.68% |
| TSX Composite | Canada | +4.52% | 0.10 | 0.14 | +14.88% | +33.56% | 149 | 1.05 | +8.68% |
| Euro Stoxx 50 | Europe | -18.29% | -0.38 | -0.51 | +36.82% | +33.33% | 153 | 0.86 | +10.91% |
| Euronext 100 | Europe | -4.70% | -0.10 | -0.15 | +25.39% | +36.13% | 155 | 0.97 | +9.15% |
| CAC 40 | France | -7.02% | -0.14 | -0.21 | +23.40% | +32.67% | 150 | 0.95 | +9.91% |
| DAX | Germany | -17.95% | -0.37 | -0.50 | +32.32% | +32.50% | 160 | 0.87 | +10.68% |
| Hang Seng | Hong Kong | -22.84% | -0.33 | -0.45 | +40.73% | +34.27% | 143 | 0.88 | +16.56% |
| BSE Sensex | India | +15.49% | 0.32 | 0.48 | +11.26% | +37.59% | 141 | 1.21 | +8.97% |
| Nifty 50 | India | +20.75% | 0.41 | 0.61 | +10.39% | +39.86% | 138 | 1.27 | +9.09% |
| Nikkei 225 | Japan | +41.75% | 0.52 | 0.82 | +16.34% | +42.42% | 132 | 1.41 | +13.27% |
| KOSPI | South Korea | +6.81% | 0.11 | 0.16 | +33.48% | +35.17% | 145 | 1.09 | +12.26% |
| Swiss Market | Switzerland | -8.33% | -0.21 | -0.30 | +25.33% | +31.97% | 147 | 0.93 | +8.30% |
| Taiwan Weighted | Taiwan | +22.00% | 0.37 | 0.54 | +24.08% | +41.30% | 138 | 1.23 | +10.92% |
| FTSE 100 | UK | +3.29% | 0.08 | 0.12 | +21.42% | +41.84% | 141 | 1.07 | +7.75% |
| CBOE Volatility Index | US | -32.91% | -0.07 | -0.14 | +82.96% | +33.79% | 145 | 1.09 | +96.21% |
| Dow Jones Industrial Average | US | -14.45% | -0.34 | -0.44 | +23.74% | +34.87% | 152 | 0.87 | +9.44% |
| NASDAQ Composite | US | -7.21% | -0.10 | -0.14 | +32.19% | +40.40% | 151 | 0.99 | +14.60% |
| Russell 2000 | US | -41.36% | -0.74 | -0.91 | +46.02% | +33.33% | 153 | 0.69 | +15.14% |
| S&P 500 | US | -13.28% | -0.27 | -0.34 | +30.96% | +37.41% | 147 | 0.90 | +10.77% |