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 | +35.43% | Net profit | $354,259 | Gross profit | $578,936 | Gross loss | $447,648 | CAGR | +2.43% | Annualized return | +2.43% | Monthly average return | +0.19% | Median monthly return | +0.08% |
| Best month return | +4.75% | Worst month return | -7.03% | Rolling 1-month return | +8.54% | Log return CAGR | +1.01% | Compounded vs simple return difference | -38.18% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.25% | Average drawdown | +9.79% | Median drawdown | -7.15% | Drawdown duration (max) | 877.6 days | Average drawdown duration | 45.1 days | Ulcer index | 10.50 | Pain index | 7.21 | Pain ratio | 14.10 |
| Drawdown volatility | 2.95 | Worst peak-to-trough loss | +18.25% | % time in drawdown | +85.90% | Drawdown area | 680.04 | Downside deviation | +14.69% | Semi-variance | 2.02 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.29 | Rolling 1-month Sharpe | 1.43 | Sortino ratio | 0.56 | Calmar ratio | 0.32 | Sterling ratio | 0.32 | Burke ratio | 1.24 | Return / volatility | 2.68 | Return / downside risk | 2.54 |
| Return / max drawdown | 2.35 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 29 | Win rate | +43.92% | Loss rate | +56.08% | Average win | +4.54% | Average loss | -2.77% | Win/Loss ratio | 2.01 | Expectancy | +0.32% | Profit factor | 1.80 |
| Payoff ratio | 2.01 | Best trade | +14.05% | Worst trade | -7.21% | Trade return standard deviation | +3.19% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.44% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.00 | Alpha vs benchmark % | -0.56% | Information ratio | -0.57 | 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 | +14.60% |
| Net profit | $146,039 |
| Gross profit | $371,867 |
| Gross loss | $225,911 |
| CAGR | +2.77% |
| Annualized return | +2.77% |
| Monthly average return | +0.24% |
| Median monthly return | +0.36% |
| Best month return | +3.55% |
| Worst month return | -2.58% |
| Rolling 1-month return | +4.50% |
| Log return CAGR | +9.80% |
| Compounded vs simple return difference | -10.86% |
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 | +546.49% | 1.16 | 2.72 | +28.79% | +53.33% | 30 | 4.56 | +27.16% |
| S&P/ASX 200 | Australia | -3.07% | -0.10 | -0.14 | +11.76% | +40.00% | 35 | 0.89 | +6.02% |
| Bovespa | Brazil | +21.36% | 0.52 | 0.81 | +11.06% | +50.00% | 24 | 1.92 | +7.32% |
| TSX Composite | Canada | +9.20% | 0.28 | 0.39 | +12.34% | +46.67% | 30 | 1.44 | +6.31% |
| Euro Stoxx 50 | Europe | +16.50% | 0.42 | 0.62 | +10.97% | +44.83% | 29 | 1.62 | +7.25% |
| Euronext 100 | Europe | +17.09% | 0.46 | 0.69 | +9.64% | +38.71% | 31 | 1.62 | +6.57% |
| CAC 40 | France | +12.79% | 0.35 | 0.51 | +13.43% | +41.38% | 29 | 1.43 | +6.63% |
| DAX | Germany | +38.35% | 0.83 | 1.35 | +8.78% | +44.83% | 29 | 2.53 | +7.45% |
| Hang Seng | Hong Kong | -12.44% | -0.24 | -0.34 | +24.03% | +32.00% | 25 | 0.77 | +11.49% |
| BSE Sensex | India | +0.96% | 0.03 | 0.04 | +18.61% | +37.93% | 29 | 1.06 | +6.90% |
| Nifty 50 | India | +7.69% | 0.22 | 0.30 | +17.58% | +39.29% | 28 | 1.29 | +6.95% |
| Nikkei 225 | Japan | +16.32% | 0.31 | 0.48 | +15.48% | +45.16% | 31 | 1.51 | +9.73% |
| KOSPI | South Korea | +53.13% | 0.83 | 1.36 | +17.75% | +50.00% | 26 | 2.87 | +10.13% |
| Swiss Market | Switzerland | +35.05% | 1.08 | 1.75 | +4.76% | +65.22% | 23 | 5.18 | +5.47% |
| Taiwan Weighted | Taiwan | +65.66% | 1.04 | 1.84 | +9.24% | +58.06% | 31 | 3.26 | +9.55% |
| FTSE 100 | UK | -5.43% | -0.22 | -0.29 | +14.13% | +36.36% | 33 | 0.80 | +5.21% |
| CBOE Volatility Index | US | -95.94% | -1.21 | -1.05 | +95.94% | +27.27% | 22 | 0.20 | +66.34% |
| Dow Jones Industrial Average | US | -3.34% | -0.11 | -0.15 | +10.66% | +41.18% | 34 | 0.90 | +6.39% |
| NASDAQ Composite | US | +22.65% | 0.40 | 0.62 | +14.87% | +41.94% | 31 | 1.65 | +9.91% |
| Russell 2000 | US | -13.67% | -0.29 | -0.39 | +24.32% | +43.33% | 30 | 0.70 | +10.27% |
| S&P 500 | US | +14.60% | 0.37 | 0.56 | +9.22% | +44.74% | 38 | 1.65 | +7.25% |