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 | +31.42% | Net profit | $314,233 | Gross profit | $912,905 | Gross loss | $619,483 | CAGR | +4.67% | Annualized return | +4.67% | Monthly average return | +0.49% | Median monthly return | +1.19% |
| Best month return | +4.93% | Worst month return | -2.50% | Rolling 1-month return | +11.17% | Log return CAGR | +11.63% | Compounded vs simple return difference | -27.24% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +26.36% | Average drawdown | +12.09% | Median drawdown | -3.12% | Drawdown duration (max) | 1229.0 days | Average drawdown duration | 19.1 days | Ulcer index | 13.62 | Pain index | 3.64 | Pain ratio | 8.45 |
| Drawdown volatility | 2.60 | Worst peak-to-trough loss | +26.36% | % time in drawdown | +83.19% | Drawdown area | 320.27 | Downside deviation | +15.28% | Semi-variance | 1.35 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.23 | Rolling 1-month Sharpe | 1.47 | Sortino ratio | 0.39 | Calmar ratio | 0.22 | Sterling ratio | 0.22 | Burke ratio | 0.74 | Return / volatility | 1.65 | Return / downside risk | 1.77 |
| Return / max drawdown | 1.46 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 44 | Win rate | +60.54% | Loss rate | +39.46% | Average win | +3.23% | Average loss | -3.58% | Win/Loss ratio | 0.90 | Expectancy | +0.63% | Profit factor | 1.46 |
| Payoff ratio | 0.90 | Best trade | +8.95% | Worst trade | -10.23% | Trade return standard deviation | +3.90% | Consecutive wins (max) | 6 | Consecutive losses (max) | 4 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.09% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.11 | Alpha vs benchmark % | +2.88% | Information ratio | -0.49 | 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 | +28.55% |
| Net profit | $285,531 |
| Gross profit | $698,959 |
| Gross loss | $428,504 |
| CAGR | +5.17% |
| Annualized return | +5.17% |
| Monthly average return | +0.46% |
| Median monthly return | +2.33% |
| Best month return | +6.25% |
| Worst month return | -2.75% |
| Rolling 1-month return | +6.82% |
| Log return CAGR | +17.29% |
| Compounded vs simple return difference | -22.09% |
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 | +212.59% | 0.84 | 1.67 | +18.84% | +65.91% | 44 | 3.22 | +24.56% |
| S&P/ASX 200 | Australia | -6.04% | -0.13 | -0.18 | +22.36% | +60.53% | 38 | 0.90 | +9.38% |
| Bovespa | Brazil | +12.69% | 0.20 | 0.31 | +18.98% | +58.54% | 41 | 1.28 | +11.72% |
| TSX Composite | Canada | +11.02% | 0.21 | 0.29 | +23.24% | +59.52% | 42 | 1.28 | +10.01% |
| Euro Stoxx 50 | Europe | +5.17% | 0.07 | 0.10 | +26.87% | +61.90% | 42 | 1.15 | +13.77% |
| Euronext 100 | Europe | +2.37% | 0.04 | 0.05 | +23.60% | +55.56% | 45 | 1.09 | +12.15% |
| CAC 40 | France | -9.67% | -0.16 | -0.21 | +29.60% | +56.82% | 44 | 0.82 | +12.74% |
| DAX | Germany | -0.51% | -0.01 | -0.01 | +26.61% | +53.66% | 41 | 1.03 | +13.16% |
| Hang Seng | Hong Kong | +30.80% | 0.31 | 0.47 | +26.70% | +61.22% | 49 | 1.55 | +17.28% |
| BSE Sensex | India | +46.29% | 0.83 | 1.37 | +11.67% | +68.89% | 45 | 2.26 | +9.02% |
| Nifty 50 | India | +48.27% | 0.83 | 1.36 | +11.74% | +70.45% | 44 | 2.25 | +9.32% |
| Nikkei 225 | Japan | +60.84% | 0.54 | 0.89 | +25.55% | +65.22% | 46 | 2.16 | +17.00% |
| KOSPI | South Korea | +28.16% | 0.34 | 0.51 | +35.00% | +53.49% | 43 | 1.48 | +14.66% |
| Swiss Market | Switzerland | -23.15% | -0.51 | -0.64 | +27.59% | +46.15% | 39 | 0.48 | +10.64% |
| Taiwan Weighted | Taiwan | +23.46% | 0.28 | 0.42 | +29.69% | +65.91% | 44 | 1.44 | +14.94% |
| FTSE 100 | UK | +12.31% | 0.23 | 0.31 | +16.05% | +58.70% | 46 | 1.40 | +10.12% |
| CBOE Volatility Index | US | +148.27% | 0.21 | 0.48 | +69.83% | +64.71% | 51 | 1.59 | +70.96% |
| Dow Jones Industrial Average | US | +13.50% | 0.22 | 0.33 | +21.04% | +60.47% | 43 | 1.30 | +11.18% |
| NASDAQ Composite | US | +35.81% | 0.36 | 0.57 | +25.62% | +66.67% | 48 | 1.52 | +16.48% |
| Russell 2000 | US | -20.84% | -0.29 | -0.40 | +46.32% | +53.33% | 45 | 0.79 | +16.23% |
| S&P 500 | US | +28.55% | 0.39 | 0.60 | +16.70% | +63.64% | 44 | 1.63 | +12.49% |