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 | +70.33% | Net profit | $703,281 | Gross profit | $855,667 | Gross loss | $691,729 | CAGR | +3.17% | Annualized return | +3.17% | Monthly average return | +0.25% | Median monthly return | +0.35% |
| Best month return | +5.11% | Worst month return | -4.17% | Rolling 1-month return | +10.62% | Log return CAGR | +14.57% | Compounded vs simple return difference | -66.79% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.26% | Average drawdown | +12.45% | Median drawdown | -5.37% | Drawdown duration (max) | 1044.7 days | Average drawdown duration | 25.4 days | Ulcer index | 13.49 | Pain index | 5.37 | Pain ratio | 25.43 |
| Drawdown volatility | 2.70 | Worst peak-to-trough loss | +25.26% | % time in drawdown | +83.00% | Drawdown area | 481.15 | Downside deviation | +14.20% | Semi-variance | 1.77 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.22 | Rolling 1-month Sharpe | 1.80 | Sortino ratio | 0.45 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 2.36 | Return / volatility | 3.14 | Return / downside risk | 3.59 |
| Return / max drawdown | 2.50 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 34 | Win rate | +43.79% | Loss rate | +56.21% | Average win | +5.79% | Average loss | -3.31% | Win/Loss ratio | 1.93 | Expectancy | +0.64% | Profit factor | 1.62 |
| Payoff ratio | 1.93 | Best trade | +19.19% | Worst trade | -9.89% | Trade return standard deviation | +4.50% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.82% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.01 | Alpha vs benchmark % | -0.37% | Information ratio | -0.56 | 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 | +20.04% |
| Net profit | $200,423 |
| Gross profit | $677,222 |
| Gross loss | $445,642 |
| CAGR | +3.73% |
| Annualized return | +3.73% |
| Monthly average return | +0.36% |
| Median monthly return | +2.18% |
| Best month return | +5.21% |
| Worst month return | -1.91% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +27.92% |
| Compounded vs simple return difference | -9.88% |
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 | +1284.59% | 1.27 | 3.53 | +34.24% | +56.25% | 32 | 7.17 | +32.19% |
| S&P/ASX 200 | Australia | -0.44% | -0.01 | -0.01 | +16.57% | +38.24% | 34 | 1.04 | +9.00% |
| Bovespa | Brazil | +7.12% | 0.13 | 0.18 | +22.98% | +40.63% | 32 | 1.21 | +10.99% |
| TSX Composite | Canada | +7.68% | 0.17 | 0.23 | +21.97% | +46.67% | 30 | 1.26 | +8.71% |
| Euro Stoxx 50 | Europe | +16.22% | 0.30 | 0.43 | +17.60% | +44.12% | 34 | 1.45 | +9.74% |
| Euronext 100 | Europe | +12.51% | 0.26 | 0.36 | +14.79% | +47.37% | 38 | 1.34 | +8.79% |
| CAC 40 | France | +5.74% | 0.12 | 0.17 | +16.06% | +40.63% | 32 | 1.21 | +9.01% |
| DAX | Germany | +32.36% | 0.54 | 0.81 | +15.21% | +62.07% | 29 | 1.93 | +9.94% |
| Hang Seng | Hong Kong | -10.37% | -0.14 | -0.21 | +33.02% | +31.43% | 35 | 0.92 | +15.59% |
| BSE Sensex | India | +13.65% | 0.28 | 0.40 | +14.60% | +36.36% | 33 | 1.37 | +9.30% |
| Nifty 50 | India | +14.27% | 0.28 | 0.40 | +14.89% | +32.35% | 34 | 1.36 | +9.56% |
| Nikkei 225 | Japan | +22.18% | 0.30 | 0.45 | +29.39% | +36.84% | 38 | 1.42 | +13.64% |
| KOSPI | South Korea | +63.37% | 0.74 | 1.21 | +27.82% | +48.48% | 33 | 2.16 | +12.95% |
| Swiss Market | Switzerland | +13.96% | 0.33 | 0.47 | +11.63% | +44.83% | 29 | 1.49 | +7.92% |
| Taiwan Weighted | Taiwan | +72.96% | 0.88 | 1.43 | +18.31% | +50.00% | 30 | 2.60 | +12.19% |
| FTSE 100 | UK | +9.93% | 0.24 | 0.33 | +15.68% | +56.41% | 39 | 1.29 | +7.93% |
| CBOE Volatility Index | US | -98.46% | -1.10 | -0.96 | +99.28% | +30.23% | 43 | 0.29 | +93.78% |
| Dow Jones Industrial Average | US | -5.41% | -0.12 | -0.16 | +20.54% | +43.75% | 32 | 0.95 | +9.50% |
| NASDAQ Composite | US | +1.44% | 0.02 | 0.03 | +32.88% | +42.86% | 35 | 1.11 | +14.46% |
| Russell 2000 | US | -6.45% | -0.09 | -0.12 | +32.63% | +40.00% | 35 | 0.96 | +15.55% |
| S&P 500 | US | +20.04% | 0.31 | 0.44 | +20.29% | +50.00% | 28 | 1.52 | +11.51% |