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 | +64.14% | Net profit | $641,423 | Gross profit | $945,134 | Gross loss | $815,923 | CAGR | +2.62% | Annualized return | +2.62% | Monthly average return | +0.20% | Median monthly return | -0.06% |
| Best month return | +5.90% | Worst month return | -4.56% | Rolling 1-month return | +10.18% | Log return CAGR | +5.00% | Compounded vs simple return difference | -63.67% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.10% | Average drawdown | +13.13% | Median drawdown | -5.65% | Drawdown duration (max) | 1138.6 days | Average drawdown duration | 33.9 days | Ulcer index | 14.25 | Pain index | 5.86 | Pain ratio | 25.21 |
| Drawdown volatility | 3.01 | Worst peak-to-trough loss | +26.10% | % time in drawdown | +83.62% | Drawdown area | 536.05 | Downside deviation | +14.72% | Semi-variance | 2.12 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.15 | Rolling 1-month Sharpe | 1.60 | Sortino ratio | 0.34 | Calmar ratio | 0.19 | Sterling ratio | 0.19 | Burke ratio | 2.36 | Return / volatility | 2.66 | Return / downside risk | 3.20 |
| Return / max drawdown | 2.54 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 70 | Win rate | +37.23% | Loss rate | +62.77% | Average win | +3.67% | Average loss | -1.91% | Win/Loss ratio | 2.11 | Expectancy | +0.12% | Profit factor | 1.31 |
| Payoff ratio | 2.11 | Best trade | +16.41% | Worst trade | -7.48% | Trade return standard deviation | +4.09% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +14.76% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.06 | Alpha vs benchmark % | -1.33% | Information ratio | -0.60 | 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 | +17.61% |
| Net profit | $176,104 |
| Gross profit | $855,608 |
| Gross loss | $657,069 |
| CAGR | +3.31% |
| Annualized return | +3.31% |
| Monthly average return | +0.33% |
| Median monthly return | +1.50% |
| Best month return | +4.27% |
| Worst month return | -1.31% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +21.74% |
| Compounded vs simple return difference | -9.58% |
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 | +1274.58% | 1.28 | 3.65 | +29.34% | +46.38% | 69 | 4.42 | +31.94% |
| S&P/ASX 200 | Australia | -9.56% | -0.25 | -0.32 | +19.85% | +39.19% | 74 | 0.83 | +8.15% |
| Bovespa | Brazil | +14.53% | 0.24 | 0.35 | +21.08% | +36.23% | 69 | 1.21 | +11.33% |
| TSX Composite | Canada | +32.53% | 0.67 | 0.98 | +11.06% | +46.88% | 64 | 1.76 | +8.25% |
| Euro Stoxx 50 | Europe | +16.96% | 0.34 | 0.49 | +15.93% | +29.17% | 72 | 1.35 | +9.18% |
| Euronext 100 | Europe | +16.28% | 0.33 | 0.47 | +12.45% | +31.94% | 72 | 1.32 | +8.92% |
| CAC 40 | France | -8.41% | -0.18 | -0.24 | +19.29% | +32.89% | 76 | 0.92 | +9.76% |
| DAX | Germany | +6.47% | 0.13 | 0.18 | +21.54% | +32.00% | 75 | 1.15 | +9.45% |
| Hang Seng | Hong Kong | -11.45% | -0.15 | -0.22 | +37.97% | +31.88% | 69 | 0.97 | +16.67% |
| BSE Sensex | India | +5.79% | 0.13 | 0.18 | +23.37% | +38.24% | 68 | 1.15 | +8.71% |
| Nifty 50 | India | +0.87% | 0.02 | 0.03 | +23.53% | +32.89% | 76 | 1.05 | +8.42% |
| Nikkei 225 | Japan | +3.50% | 0.06 | 0.08 | +25.26% | +38.16% | 76 | 1.09 | +12.46% |
| KOSPI | South Korea | +47.55% | 0.67 | 1.10 | +23.34% | +46.38% | 69 | 1.89 | +11.44% |
| Swiss Market | Switzerland | +18.55% | 0.41 | 0.60 | +15.14% | +39.29% | 56 | 1.41 | +8.15% |
| Taiwan Weighted | Taiwan | +28.42% | 0.45 | 0.69 | +17.47% | +39.68% | 63 | 1.51 | +11.12% |
| FTSE 100 | UK | -8.92% | -0.24 | -0.31 | +27.00% | +36.71% | 79 | 0.85 | +7.80% |
| CBOE Volatility Index | US | -95.62% | -0.95 | -0.93 | +97.49% | +22.00% | 50 | 0.24 | +78.12% |
| Dow Jones Industrial Average | US | +0.41% | 0.01 | 0.01 | +19.11% | +38.71% | 62 | 1.06 | +9.51% |
| NASDAQ Composite | US | +7.79% | 0.10 | 0.14 | +33.93% | +43.84% | 73 | 1.15 | +14.44% |
| Russell 2000 | US | -10.91% | -0.16 | -0.22 | +33.85% | +36.36% | 88 | 0.92 | +14.84% |
| S&P 500 | US | +17.61% | 0.29 | 0.41 | +20.19% | +43.06% | 72 | 1.30 | +11.19% |