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 | +103.80% | Net profit | $1,037,951 | Gross profit | $1,105,222 | Gross loss | $912,186 | CAGR | +3.77% | Annualized return | +3.77% | Monthly average return | +0.28% | Median monthly return | -1.46% |
| Best month return | +7.30% | Worst month return | -5.71% | Rolling 1-month return | +10.42% | Log return CAGR | -1.35% | Compounded vs simple return difference | -106.31% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.66% | Average drawdown | +14.34% | Median drawdown | -6.45% | Drawdown duration (max) | 1214.1 days | Average drawdown duration | 35.9 days | Ulcer index | 15.30 | Pain index | 6.40 | Pain ratio | 26.55 |
| Drawdown volatility | 3.17 | Worst peak-to-trough loss | +25.66% | % time in drawdown | +86.95% | Drawdown area | 597.58 | Downside deviation | +13.59% | Semi-variance | 2.21 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.19 | Rolling 1-month Sharpe | 1.51 | Sortino ratio | 0.42 | Calmar ratio | 0.26 | Sterling ratio | 0.26 | Burke ratio | 2.42 | Return / volatility | 3.94 | Return / downside risk | 4.90 |
| Return / max drawdown | 4.12 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 71 | Win rate | +28.06% | Loss rate | +71.94% | Average win | +5.69% | Average loss | -1.69% | Win/Loss ratio | 3.42 | Expectancy | +0.38% | Profit factor | 1.39 |
| Payoff ratio | 3.42 | Best trade | +22.74% | Worst trade | -5.13% | Trade return standard deviation | +4.44% | Consecutive wins (max) | 3 | Consecutive losses (max) | 10 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.95% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.00 | Alpha vs benchmark % | +0.04% | Information ratio | -0.59 | 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 | +8.52% |
| Net profit | $85,169 |
| Gross profit | $849,782 |
| Gross loss | $719,899 |
| CAGR | +1.65% |
| Annualized return | +1.65% |
| Monthly average return | +0.20% |
| Median monthly return | +0.75% |
| Best month return | +5.13% |
| Worst month return | -1.83% |
| Rolling 1-month return | +7.48% |
| Log return CAGR | +18.76% |
| Compounded vs simple return difference | -1.53% |
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 | +2047.00% | 1.38 | 4.38 | +29.11% | +35.00% | 60 | 5.15 | +33.06% |
| S&P/ASX 200 | Australia | -5.52% | -0.13 | -0.18 | +19.61% | +27.03% | 74 | 0.94 | +8.41% |
| Bovespa | Brazil | +18.49% | 0.30 | 0.45 | +18.65% | +25.00% | 72 | 1.31 | +11.13% |
| TSX Composite | Canada | +19.99% | 0.42 | 0.59 | +12.71% | +32.31% | 65 | 1.37 | +8.62% |
| Euro Stoxx 50 | Europe | -3.50% | -0.07 | -0.10 | +21.45% | +23.75% | 80 | 1.00 | +9.97% |
| Euronext 100 | Europe | +1.43% | 0.03 | 0.04 | +18.85% | +26.25% | 80 | 1.06 | +8.80% |
| CAC 40 | France | -7.88% | -0.17 | -0.23 | +21.67% | +22.97% | 74 | 0.92 | +9.64% |
| DAX | Germany | +11.57% | 0.22 | 0.31 | +17.34% | +26.58% | 79 | 1.21 | +9.81% |
| Hang Seng | Hong Kong | -9.84% | -0.13 | -0.20 | +34.28% | +20.29% | 69 | 0.98 | +15.81% |
| BSE Sensex | India | +29.25% | 0.57 | 0.87 | +10.18% | +27.69% | 65 | 1.61 | +8.90% |
| Nifty 50 | India | +35.11% | 0.65 | 0.99 | +9.40% | +31.15% | 61 | 1.70 | +9.11% |
| Nikkei 225 | Japan | +8.49% | 0.12 | 0.18 | +28.16% | +28.57% | 77 | 1.16 | +13.59% |
| KOSPI | South Korea | +48.10% | 0.59 | 0.96 | +27.03% | +26.47% | 68 | 1.70 | +13.05% |
| Swiss Market | Switzerland | +3.87% | 0.10 | 0.14 | +16.71% | +26.76% | 71 | 1.10 | +7.82% |
| Taiwan Weighted | Taiwan | +78.42% | 0.94 | 1.57 | +14.61% | +34.55% | 55 | 2.17 | +11.94% |
| FTSE 100 | UK | -7.64% | -0.20 | -0.27 | +26.32% | +28.24% | 85 | 0.90 | +8.04% |
| CBOE Volatility Index | US | -95.85% | -0.71 | -0.84 | +96.66% | +20.45% | 88 | 0.47 | +97.65% |
| Dow Jones Industrial Average | US | +13.41% | 0.27 | 0.39 | +19.57% | +40.68% | 59 | 1.30 | +9.31% |
| NASDAQ Composite | US | +18.78% | 0.24 | 0.35 | +30.66% | +31.25% | 64 | 1.28 | +14.06% |
| Russell 2000 | US | -32.48% | -0.54 | -0.72 | +43.05% | +22.62% | 84 | 0.69 | +15.03% |
| S&P 500 | US | +8.52% | 0.14 | 0.20 | +22.83% | +31.75% | 63 | 1.18 | +11.18% |