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 | +41.32% | Net profit | $413,236 | Gross profit | $772,739 | Gross loss | $587,966 | CAGR | +3.02% | Annualized return | +3.02% | Monthly average return | +0.28% | Median monthly return | -0.11% |
| Best month return | +4.33% | Worst month return | -3.78% | Rolling 1-month return | +10.64% | Log return CAGR | +9.50% | Compounded vs simple return difference | -38.93% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +24.69% | Average drawdown | +11.28% | Median drawdown | -5.27% | Drawdown duration (max) | 965.9 days | Average drawdown duration | 29.6 days | Ulcer index | 12.41 | Pain index | 5.53 | Pain ratio | 14.78 |
| Drawdown volatility | 2.68 | Worst peak-to-trough loss | +24.69% | % time in drawdown | +82.29% | Drawdown area | 500.51 | Downside deviation | +13.71% | Semi-variance | 1.67 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.29 | Rolling 1-month Sharpe | 1.55 | Sortino ratio | 0.50 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 1.36 | Return / volatility | 2.61 | Return / downside risk | 2.73 |
| Return / max drawdown | 1.70 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 30 | Win rate | +41.07% | Loss rate | +58.93% | Average win | +6.27% | Average loss | -3.15% | Win/Loss ratio | 2.12 | Expectancy | +0.71% | Profit factor | 1.57 |
| Payoff ratio | 2.12 | Best trade | +16.77% | Worst trade | -9.18% | Trade return standard deviation | +4.14% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.37% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +1.90% | 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 | +20.19% |
| Net profit | $201,916 |
| Gross profit | $584,455 |
| Gross loss | $371,752 |
| CAGR | +3.76% |
| Annualized return | +3.76% |
| Monthly average return | +0.35% |
| Median monthly return | -0.64% |
| Best month return | +3.81% |
| Worst month return | -1.88% |
| Rolling 1-month return | +7.46% |
| Log return CAGR | +7.89% |
| Compounded vs simple return difference | -17.17% |
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 | +649.88% | 1.20 | 2.92 | +35.94% | +55.56% | 27 | 4.93 | +27.92% |
| S&P/ASX 200 | Australia | +4.16% | 0.10 | 0.14 | +14.40% | +40.00% | 35 | 1.17 | +7.90% |
| Bovespa | Brazil | +44.62% | 0.65 | 1.03 | +15.40% | +46.15% | 26 | 2.07 | +11.05% |
| TSX Composite | Canada | +11.85% | 0.28 | 0.38 | +13.56% | +58.06% | 31 | 1.38 | +8.06% |
| Euro Stoxx 50 | Europe | +32.27% | 0.58 | 0.89 | +15.67% | +46.43% | 28 | 1.87 | +9.36% |
| Euronext 100 | Europe | +20.07% | 0.42 | 0.60 | +13.61% | +46.67% | 30 | 1.59 | +8.39% |
| CAC 40 | France | +28.37% | 0.51 | 0.75 | +16.09% | +48.15% | 27 | 1.96 | +9.34% |
| DAX | Germany | +24.45% | 0.47 | 0.69 | +21.47% | +42.86% | 28 | 1.71 | +9.03% |
| Hang Seng | Hong Kong | -5.90% | -0.07 | -0.11 | +32.26% | +33.33% | 30 | 1.02 | +16.61% |
| BSE Sensex | India | +24.49% | 0.52 | 0.78 | +12.45% | +34.48% | 29 | 1.70 | +8.48% |
| Nifty 50 | India | +11.43% | 0.25 | 0.35 | +15.18% | +33.33% | 33 | 1.30 | +8.83% |
| Nikkei 225 | Japan | +2.12% | 0.03 | 0.05 | +30.64% | +36.11% | 36 | 1.12 | +12.80% |
| KOSPI | South Korea | +29.26% | 0.40 | 0.62 | +32.39% | +37.50% | 32 | 1.59 | +12.80% |
| Swiss Market | Switzerland | +13.54% | 0.35 | 0.52 | +14.04% | +43.33% | 30 | 1.56 | +7.19% |
| Taiwan Weighted | Taiwan | +53.26% | 0.74 | 1.21 | +22.39% | +48.28% | 29 | 2.05 | +11.34% |
| FTSE 100 | UK | -1.68% | -0.05 | -0.07 | +17.86% | +39.39% | 33 | 0.98 | +6.93% |
| CBOE Volatility Index | US | -94.68% | -0.61 | -0.73 | +97.49% | +25.00% | 32 | 0.24 | +99.69% |
| Dow Jones Industrial Average | US | +1.08% | 0.02 | 0.03 | +21.87% | +35.48% | 31 | 1.08 | +8.70% |
| NASDAQ Composite | US | +9.83% | 0.14 | 0.20 | +23.68% | +37.50% | 32 | 1.25 | +13.43% |
| Russell 2000 | US | -10.82% | -0.15 | -0.22 | +33.74% | +30.00% | 30 | 0.91 | +14.98% |
| S&P 500 | US | +20.19% | 0.36 | 0.55 | +18.30% | +44.83% | 29 | 1.57 | +9.95% |