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 | +41.19% | Net profit | $411,943 | Gross profit | $947,412 | Gross loss | $673,015 | CAGR | +4.50% | Annualized return | +4.50% | Monthly average return | +0.47% | Median monthly return | +0.71% |
| Best month return | +5.69% | Worst month return | -3.52% | Rolling 1-month return | +11.34% | Log return CAGR | +11.61% | Compounded vs simple return difference | -37.71% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.74% | Average drawdown | +8.33% | Median drawdown | -4.31% | Drawdown duration (max) | 1045.9 days | Average drawdown duration | 34.6 days | Ulcer index | 9.60 | Pain index | 4.24 | Pain ratio | 6.11 |
| Drawdown volatility | 2.61 | Worst peak-to-trough loss | +22.74% | % time in drawdown | +88.52% | Drawdown area | 383.88 | Downside deviation | +15.78% | Semi-variance | 1.36 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.17 | Rolling 1-month Sharpe | 1.38 | Sortino ratio | 0.30 | Calmar ratio | 0.18 | Sterling ratio | 0.18 | Burke ratio | 0.55 | Return / volatility | 1.31 | Return / downside risk | 1.39 |
| Return / max drawdown | 1.31 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 68 | Win rate | +52.30% | Loss rate | +47.70% | Average win | +2.53% | Average loss | -2.01% | Win/Loss ratio | 1.18 | Expectancy | +0.37% | Profit factor | 1.31 |
| Payoff ratio | 1.18 | Best trade | +14.52% | Worst trade | -9.37% | Trade return standard deviation | +3.80% | Consecutive wins (max) | 6 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.31% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.05 | Alpha vs benchmark % | +4.57% | 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 | -7.39% |
| Net profit | -$73,895 |
| Gross profit | $475,614 |
| Gross loss | $523,610 |
| CAGR | -1.53% |
| Annualized return | -1.53% |
| Monthly average return | -0.09% |
| Median monthly return | +2.18% |
| Best month return | +4.38% |
| Worst month return | -2.33% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +27.54% |
| Compounded vs simple return difference | +17.42% |
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 | +140.24% | 0.70 | 1.43 | +28.66% | +64.29% | 56 | 2.21 | +23.32% |
| S&P/ASX 200 | Australia | +8.71% | 0.20 | 0.29 | +8.53% | +50.00% | 74 | 1.27 | +8.20% |
| Bovespa | Brazil | +7.54% | 0.13 | 0.18 | +18.69% | +50.00% | 72 | 1.12 | +11.49% |
| TSX Composite | Canada | +18.31% | 0.39 | 0.58 | +11.36% | +58.18% | 55 | 1.55 | +8.45% |
| Euro Stoxx 50 | Europe | +7.18% | 0.11 | 0.16 | +17.82% | +50.68% | 73 | 1.16 | +13.08% |
| Euronext 100 | Europe | +26.78% | 0.40 | 0.62 | +13.39% | +54.41% | 68 | 1.59 | +11.22% |
| CAC 40 | France | +5.78% | 0.09 | 0.13 | +21.47% | +52.31% | 65 | 1.14 | +12.36% |
| DAX | Germany | +40.63% | 0.53 | 0.85 | +17.33% | +54.05% | 74 | 1.76 | +12.32% |
| Hang Seng | Hong Kong | -23.43% | -0.29 | -0.39 | +44.51% | +39.13% | 69 | 0.74 | +19.30% |
| BSE Sensex | India | +5.07% | 0.12 | 0.17 | +15.08% | +45.59% | 68 | 1.15 | +8.69% |
| Nifty 50 | India | +12.09% | 0.26 | 0.38 | +14.02% | +52.86% | 70 | 1.34 | +8.85% |
| Nikkei 225 | Japan | +30.18% | 0.33 | 0.49 | +19.21% | +50.70% | 71 | 1.59 | +16.00% |
| KOSPI | South Korea | -1.39% | -0.02 | -0.03 | +31.03% | +51.47% | 68 | 1.02 | +13.14% |
| Swiss Market | Switzerland | +5.92% | 0.11 | 0.16 | +19.73% | +48.61% | 72 | 1.14 | +10.05% |
| Taiwan Weighted | Taiwan | +20.38% | 0.27 | 0.38 | +28.45% | +62.96% | 54 | 1.49 | +14.05% |
| FTSE 100 | UK | +8.20% | 0.18 | 0.25 | +12.23% | +54.67% | 75 | 1.21 | +8.71% |
| CBOE Volatility Index | US | +564.94% | 0.28 | 0.95 | +51.98% | +49.44% | 89 | 1.99 | +90.50% |
| Dow Jones Industrial Average | US | +5.59% | 0.11 | 0.16 | +16.95% | +55.74% | 61 | 1.19 | +9.68% |
| NASDAQ Composite | US | -9.13% | -0.12 | -0.17 | +33.05% | +50.00% | 62 | 0.93 | +15.46% |
| Russell 2000 | US | -1.13% | -0.01 | -0.02 | +27.68% | +50.60% | 83 | 1.03 | +16.14% |
| S&P 500 | US | -7.39% | -0.13 | -0.18 | +26.43% | +52.54% | 59 | 0.91 | +11.48% |