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 | +25.96% | Net profit | $259,552 | Gross profit | $372,725 | Gross loss | $135,224 | CAGR | +4.65% | Annualized return | +4.65% | Monthly average return | +0.40% | Median monthly return | +1.44% |
| Best month return | +5.46% | Worst month return | -2.82% | Rolling 1-month return | +10.31% | Log return CAGR | +18.72% | Compounded vs simple return difference | -19.67% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +14.54% | Average drawdown | +3.06% | Median drawdown | -3.48% | Drawdown duration (max) | 622.5 days | Average drawdown duration | 18.2 days | Ulcer index | 3.96 | Pain index | 3.86 | Pain ratio | 9.74 |
| Drawdown volatility | 2.61 | Worst peak-to-trough loss | +14.54% | % time in drawdown | +85.40% | Drawdown area | 340.63 | Downside deviation | +16.88% | Semi-variance | 1.33 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.46 | Rolling 1-month Sharpe | 1.21 | Sortino ratio | 0.74 | Calmar ratio | 0.42 | Sterling ratio | 0.42 | Burke ratio | 0.82 | Return / volatility | 2.71 | Return / downside risk | 1.77 |
| Return / max drawdown | 2.33 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 22 | Win rate | +76.28% | Loss rate | +23.72% | Average win | +2.46% | Average loss | -2.64% | Win/Loss ratio | 1.33 | Expectancy | +1.15% | Profit factor | 5.57 |
| Payoff ratio | 1.33 | Best trade | +5.33% | Worst trade | -5.63% | Trade return standard deviation | +2.08% | Consecutive wins (max) | 8 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +10.95% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.12 | Alpha vs benchmark % | +2.67% | Information ratio | -0.40 | Treynor ratio | 0.04 | ||||||||
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 | +40.93% |
| Net profit | $409,323 |
| Gross profit | $436,906 |
| Gross loss | $85,516 |
| CAGR | +7.13% |
| Annualized return | +7.13% |
| Monthly average return | +0.59% |
| Median monthly return | +1.66% |
| Best month return | +4.30% |
| Worst month return | -5.14% |
| Rolling 1-month return | +9.55% |
| Log return CAGR | +17.15% |
| Compounded vs simple return difference | -34.52% |
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 | +25.05% | 0.53 | 0.99 | +11.05% | +83.33% | 6 | 23.02 | +8.47% |
| S&P/ASX 200 | Australia | +16.48% | 0.39 | 0.58 | +10.51% | +70.83% | 24 | 2.16 | +7.57% |
| Bovespa | Brazil | +26.28% | 0.53 | 0.82 | +10.04% | +73.08% | 26 | 2.45 | +8.67% |
| TSX Composite | Canada | +26.01% | 0.60 | 0.96 | +12.22% | +79.17% | 24 | 2.97 | +7.57% |
| Euro Stoxx 50 | Europe | +48.07% | 0.67 | 1.09 | +13.09% | +82.14% | 28 | 6.32 | +11.22% |
| Euronext 100 | Europe | +40.57% | 0.63 | 0.98 | +10.62% | +79.31% | 29 | 5.71 | +10.22% |
| CAC 40 | France | +26.79% | 0.43 | 0.65 | +14.06% | +76.00% | 25 | 2.76 | +10.64% |
| DAX | Germany | +38.23% | 0.56 | 0.90 | +14.21% | +82.14% | 28 | 4.52 | +10.98% |
| Hang Seng | Hong Kong | +22.46% | 0.27 | 0.43 | +31.16% | +68.00% | 25 | 1.76 | +14.71% |
| BSE Sensex | India | +28.63% | 0.80 | 1.35 | +5.76% | +84.21% | 19 | 11.64 | +6.28% |
| Nifty 50 | India | +36.03% | 0.95 | 1.66 | +5.51% | +85.00% | 20 | 20.86 | +6.40% |
| Nikkei 225 | Japan | +44.32% | 0.54 | 0.84 | +19.43% | +86.96% | 23 | 8.05 | +13.47% |
| KOSPI | South Korea | +29.73% | 0.46 | 0.69 | +16.26% | +69.23% | 26 | 2.49 | +11.25% |
| Swiss Market | Switzerland | +6.00% | 0.13 | 0.17 | +14.18% | +57.14% | 28 | 1.34 | +9.20% |
| Taiwan Weighted | Taiwan | -1.07% | -0.02 | -0.02 | +23.74% | +76.19% | 21 | 1.03 | +13.72% |
| FTSE 100 | UK | +34.76% | 0.76 | 1.16 | +9.55% | +78.26% | 23 | 6.88 | +7.61% |
| CBOE Volatility Index | US | +3.46% | 0.03 | 0.04 | +30.41% | +62.50% | 8 | 1.24 | +24.71% |
| Dow Jones Industrial Average | US | +10.60% | 0.21 | 0.31 | +11.28% | +72.73% | 22 | 1.64 | +9.57% |
| NASDAQ Composite | US | +8.73% | 0.12 | 0.18 | +18.94% | +70.00% | 20 | 1.47 | +14.09% |
| Russell 2000 | US | +33.00% | 0.44 | 0.71 | +12.44% | +73.91% | 23 | 3.51 | +12.65% |
| S&P 500 | US | +40.93% | 0.60 | 0.99 | +10.89% | +91.67% | 24 | 5.11 | +11.03% |