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 | +52.20% | Net profit | $522,028 | Gross profit | $590,047 | Gross loss | $166,052 | CAGR | +7.07% | Annualized return | +7.07% | Monthly average return | +0.73% | Median monthly return | +2.25% |
| Best month return | +7.33% | Worst month return | -3.72% | Rolling 1-month return | +14.24% | Log return CAGR | +21.75% | Compounded vs simple return difference | -45.43% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +19.87% | Average drawdown | +6.77% | Median drawdown | -5.06% | Drawdown duration (max) | 756.9 days | Average drawdown duration | 23.4 days | Ulcer index | 7.73 | Pain index | 5.16 | Pain ratio | 16.29 |
| Drawdown volatility | 3.26 | Worst peak-to-trough loss | +19.87% | % time in drawdown | +82.95% | Drawdown area | 457.16 | Downside deviation | +16.47% | Semi-variance | 1.74 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.47 | Rolling 1-month Sharpe | 1.51 | Sortino ratio | 0.83 | Calmar ratio | 0.44 | Sterling ratio | 0.44 | Burke ratio | 1.50 | Return / volatility | 3.45 | Return / downside risk | 2.91 |
| Return / max drawdown | 3.04 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 14 | Win rate | +71.80% | Loss rate | +28.20% | Average win | +8.80% | Average loss | -4.36% | Win/Loss ratio | 2.04 | Expectancy | +4.39% | Profit factor | 9.76 |
| Payoff ratio | 2.04 | Best trade | +21.03% | Worst trade | -7.05% | Trade return standard deviation | +4.05% | Consecutive wins (max) | 5 | Consecutive losses (max) | 2 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.88% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.05 | Alpha vs benchmark % | +9.16% | Information ratio | -0.36 | Treynor ratio | 0.03 | ||||||||
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 | +21.99% |
| Net profit | $219,900 |
| Gross profit | $363,324 |
| Gross loss | $150,503 |
| CAGR | +4.07% |
| Annualized return | +4.07% |
| Monthly average return | +0.36% |
| Median monthly return | +4.86% |
| Best month return | +8.41% |
| Worst month return | -2.62% |
| Rolling 1-month return | +12.22% |
| Log return CAGR | +23.01% |
| Compounded vs simple return difference | -13.51% |
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 | +410.54% | 1.28 | 3.21 | +18.92% | +86.67% | 15 | 39.17 | +22.02% |
| S&P/ASX 200 | Australia | +5.18% | 0.13 | 0.18 | +11.31% | +53.85% | 13 | 1.42 | +7.74% |
| Bovespa | Brazil | -3.25% | -0.06 | -0.08 | +23.05% | +50.00% | 14 | 1.01 | +11.42% |
| TSX Composite | Canada | +25.60% | 0.53 | 0.79 | +12.62% | +78.57% | 14 | 5.39 | +8.50% |
| Euro Stoxx 50 | Europe | +35.43% | 0.52 | 0.87 | +16.97% | +75.00% | 12 | 4.50 | +11.33% |
| Euronext 100 | Europe | +74.05% | 1.17 | 2.24 | +10.16% | +81.25% | 16 | 32.13 | +8.84% |
| CAC 40 | France | +34.19% | 0.49 | 0.79 | +16.29% | +80.00% | 15 | 4.09 | +11.44% |
| DAX | Germany | +16.40% | 0.28 | 0.43 | +17.80% | +69.23% | 13 | 2.03 | +10.57% |
| Hang Seng | Hong Kong | -23.02% | -0.29 | -0.39 | +40.06% | +40.00% | 15 | 0.56 | +18.75% |
| BSE Sensex | India | +36.97% | 1.00 | 1.75 | +7.21% | +85.71% | 14 | 15.77 | +6.25% |
| Nifty 50 | India | +21.58% | 0.61 | 0.98 | +8.37% | +72.73% | 11 | 4.55 | +6.43% |
| Nikkei 225 | Japan | +59.81% | 0.62 | 0.98 | +19.21% | +81.25% | 16 | 11.80 | +14.90% |
| KOSPI | South Korea | +6.21% | 0.10 | 0.14 | +22.86% | +56.25% | 16 | 1.32 | +12.63% |
| Swiss Market | Switzerland | +38.47% | 0.67 | 1.03 | +13.95% | +77.78% | 18 | 4.60 | +9.46% |
| Taiwan Weighted | Taiwan | +9.53% | 0.14 | 0.20 | +23.89% | +57.14% | 14 | 1.48 | +13.26% |
| FTSE 100 | UK | +47.24% | 0.98 | 1.55 | +11.74% | +93.33% | 15 | 56.19 | +7.54% |
| CBOE Volatility Index | US | +198.95% | 0.11 | 0.37 | +66.89% | +60.00% | 5 | 5.77 | +120.67% |
| Dow Jones Industrial Average | US | +44.51% | 0.77 | 1.34 | +11.19% | +86.67% | 15 | 7.62 | +9.20% |
| NASDAQ Composite | US | +23.81% | 0.25 | 0.39 | +28.05% | +76.47% | 17 | 1.81 | +16.40% |
| Russell 2000 | US | +12.06% | 0.14 | 0.21 | +20.36% | +62.50% | 16 | 1.43 | +15.92% |
| S&P 500 | US | +21.99% | 0.35 | 0.54 | +16.45% | +83.33% | 12 | 2.41 | +11.15% |