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 | +60.13% | Net profit | $601,282 | Gross profit | $1,171,436 | Gross loss | $941,131 | CAGR | +4.00% | Annualized return | +4.00% | Monthly average return | +0.41% | Median monthly return | -0.20% |
| Best month return | +5.05% | Worst month return | -5.57% | Rolling 1-month return | +9.34% | Log return CAGR | +12.69% | Compounded vs simple return difference | -58.01% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.95% | Average drawdown | +10.44% | Median drawdown | -4.59% | Drawdown duration (max) | 865.2 days | Average drawdown duration | 39.6 days | Ulcer index | 11.82 | Pain index | 5.08 | Pain ratio | 21.29 |
| Drawdown volatility | 2.83 | Worst peak-to-trough loss | +22.95% | % time in drawdown | +84.48% | Drawdown area | 466.81 | Downside deviation | +13.99% | Semi-variance | 1.80 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.32 | Rolling 1-month Sharpe | 1.61 | Sortino ratio | 0.59 | Calmar ratio | 0.31 | Sterling ratio | 0.31 | Burke ratio | 1.96 | Return / volatility | 3.29 | Return / downside risk | 3.60 |
| Return / max drawdown | 2.82 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 65 | Win rate | +41.20% | Loss rate | +58.80% | Average win | +4.54% | Average loss | -2.30% | Win/Loss ratio | 1.94 | Expectancy | +0.41% | Profit factor | 1.41 |
| Payoff ratio | 1.94 | Best trade | +14.62% | Worst trade | -6.90% | Trade return standard deviation | +4.50% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.16% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +2.75% | Information ratio | -0.51 | 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 | +14.04% |
| Net profit | $140,372 |
| Gross profit | $776,976 |
| Gross loss | $613,679 |
| CAGR | +2.67% |
| Annualized return | +2.67% |
| Monthly average return | +0.26% |
| Median monthly return | +1.03% |
| Best month return | +4.91% |
| Worst month return | -2.71% |
| Rolling 1-month return | +5.39% |
| Log return CAGR | +29.26% |
| Compounded vs simple return difference | -3.43% |
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 | +1006.84% | 1.23 | 3.46 | +30.33% | +55.00% | 60 | 3.39 | +31.16% |
| S&P/ASX 200 | Australia | +16.22% | 0.37 | 0.52 | +9.28% | +41.94% | 62 | 1.37 | +8.05% |
| Bovespa | Brazil | +20.66% | 0.32 | 0.47 | +22.40% | +40.32% | 62 | 1.29 | +11.54% |
| TSX Composite | Canada | +22.39% | 0.50 | 0.74 | +12.35% | +46.15% | 65 | 1.43 | +7.89% |
| Euro Stoxx 50 | Europe | +22.41% | 0.38 | 0.59 | +14.09% | +44.07% | 59 | 1.35 | +10.40% |
| Euronext 100 | Europe | +35.42% | 0.66 | 1.06 | +12.19% | +42.42% | 66 | 1.69 | +8.76% |
| CAC 40 | France | +34.77% | 0.59 | 0.94 | +13.61% | +46.15% | 65 | 1.58 | +9.63% |
| DAX | Germany | +34.76% | 0.58 | 0.93 | +12.64% | +39.68% | 63 | 1.50 | +9.81% |
| Hang Seng | Hong Kong | -45.50% | -0.79 | -0.99 | +57.11% | +26.03% | 73 | 0.67 | +16.65% |
| BSE Sensex | India | +0.41% | 0.01 | 0.01 | +14.51% | +40.91% | 66 | 1.04 | +8.98% |
| Nifty 50 | India | +4.89% | 0.11 | 0.15 | +11.56% | +42.86% | 63 | 1.11 | +8.84% |
| Nikkei 225 | Japan | +26.46% | 0.37 | 0.56 | +15.79% | +40.91% | 66 | 1.39 | +12.62% |
| KOSPI | South Korea | +76.23% | 0.97 | 1.71 | +20.18% | +37.93% | 58 | 2.09 | +11.31% |
| Swiss Market | Switzerland | +33.69% | 0.73 | 1.16 | +9.64% | +45.45% | 55 | 1.66 | +7.81% |
| Taiwan Weighted | Taiwan | +31.62% | 0.50 | 0.75 | +25.07% | +42.42% | 66 | 1.41 | +11.11% |
| FTSE 100 | UK | +21.49% | 0.51 | 0.76 | +9.05% | +43.55% | 62 | 1.51 | +7.42% |
| CBOE Volatility Index | US | -91.01% | -0.42 | -0.62 | +94.81% | +25.64% | 78 | 0.67 | +107.77% |
| Dow Jones Industrial Average | US | -4.05% | -0.09 | -0.12 | +19.45% | +36.76% | 68 | 0.98 | +9.10% |
| NASDAQ Composite | US | +7.73% | 0.10 | 0.14 | +37.73% | +40.30% | 67 | 1.15 | +14.45% |
| Russell 2000 | US | -6.80% | -0.09 | -0.13 | +22.88% | +39.71% | 68 | 0.97 | +15.38% |
| S&P 500 | US | +14.04% | 0.24 | 0.35 | +17.32% | +46.97% | 66 | 1.27 | +10.64% |