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 | +40.19% | Net profit | $401,865 | Gross profit | $573,021 | Gross loss | $540,695 | CAGR | +1.10% | Annualized return | +1.10% | Monthly average return | +0.02% | Median monthly return | -0.41% |
| Best month return | +4.77% | Worst month return | -7.56% | Rolling 1-month return | +7.37% | Log return CAGR | +2.63% | Compounded vs simple return difference | -43.59% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.57% | Average drawdown | +12.63% | Median drawdown | -6.39% | Drawdown duration (max) | 1222.3 days | Average drawdown duration | 46.1 days | Ulcer index | 13.36 | Pain index | 6.48 | Pain ratio | 14.48 |
| Drawdown volatility | 3.70 | Worst peak-to-trough loss | +22.57% | % time in drawdown | +87.29% | Drawdown area | 610.55 | Downside deviation | +14.10% | Semi-variance | 1.73 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.08 | Rolling 1-month Sharpe | 1.36 | Sortino ratio | 0.26 | Calmar ratio | 0.13 | Sterling ratio | 0.13 | Burke ratio | 1.34 | Return / volatility | 1.90 | Return / downside risk | 1.93 |
| Return / max drawdown | 1.60 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 26 | Win rate | +39.54% | Loss rate | +60.46% | Average win | +5.51% | Average loss | -3.13% | Win/Loss ratio | 2.10 | Expectancy | +0.30% | Profit factor | 1.57 |
| Payoff ratio | 2.10 | Best trade | +15.98% | Worst trade | -7.88% | Trade return standard deviation | +3.52% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +13.10% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.01 | Alpha vs benchmark % | -2.50% | Information ratio | -0.64 | Treynor ratio | 0.00 | ||||||||
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 | +18.43% |
| Net profit | $184,335 |
| Gross profit | $427,884 |
| Gross loss | $238,466 |
| CAGR | +3.45% |
| Annualized return | +3.45% |
| Monthly average return | +0.31% |
| Median monthly return | +0.79% |
| Best month return | +2.80% |
| Worst month return | -0.71% |
| Rolling 1-month return | +4.45% |
| Log return CAGR | +13.11% |
| Compounded vs simple return difference | -13.48% |
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 | +788.21% | 1.20 | 2.91 | +30.69% | +58.33% | 24 | 7.37 | +29.67% |
| S&P/ASX 200 | Australia | -7.01% | -0.21 | -0.27 | +14.25% | +32.14% | 28 | 0.78 | +7.07% |
| Bovespa | Brazil | +8.21% | 0.18 | 0.25 | +18.91% | +47.83% | 23 | 1.31 | +8.82% |
| TSX Composite | Canada | +5.43% | 0.15 | 0.20 | +21.05% | +40.00% | 25 | 1.24 | +7.18% |
| Euro Stoxx 50 | Europe | +1.36% | 0.03 | 0.04 | +14.32% | +33.33% | 27 | 1.08 | +8.17% |
| Euronext 100 | Europe | -4.63% | -0.13 | -0.17 | +13.16% | +40.00% | 30 | 0.89 | +7.16% |
| CAC 40 | France | +3.08% | 0.08 | 0.11 | +11.74% | +40.91% | 22 | 1.17 | +7.55% |
| DAX | Germany | -2.17% | -0.05 | -0.07 | +21.35% | +42.31% | 26 | 0.99 | +8.59% |
| Hang Seng | Hong Kong | +1.22% | 0.02 | 0.03 | +18.52% | +36.00% | 25 | 1.11 | +13.13% |
| BSE Sensex | India | +6.39% | 0.15 | 0.22 | +14.96% | +44.00% | 25 | 1.26 | +8.22% |
| Nifty 50 | India | +12.60% | 0.28 | 0.40 | +14.82% | +37.04% | 27 | 1.40 | +8.65% |
| Nikkei 225 | Japan | +6.78% | 0.12 | 0.18 | +28.10% | +25.00% | 28 | 1.22 | +11.23% |
| KOSPI | South Korea | +60.67% | 0.82 | 1.38 | +21.73% | +42.86% | 21 | 3.18 | +11.32% |
| Swiss Market | Switzerland | -4.37% | -0.14 | -0.18 | +18.96% | +31.82% | 22 | 0.89 | +6.63% |
| Taiwan Weighted | Taiwan | +56.41% | 0.84 | 1.34 | +15.53% | +54.17% | 24 | 3.11 | +10.49% |
| FTSE 100 | UK | -2.44% | -0.07 | -0.10 | +19.47% | +46.88% | 32 | 0.96 | +6.63% |
| CBOE Volatility Index | US | -99.00% | -1.75 | -1.21 | +99.20% | +23.33% | 30 | 0.11 | +74.79% |
| Dow Jones Industrial Average | US | -1.93% | -0.05 | -0.07 | +13.52% | +37.04% | 27 | 0.98 | +7.62% |
| NASDAQ Composite | US | +15.93% | 0.26 | 0.37 | +19.68% | +42.31% | 26 | 1.48 | +11.23% |
| Russell 2000 | US | -19.27% | -0.36 | -0.48 | +29.11% | +36.00% | 25 | 0.62 | +12.18% |
| S&P 500 | US | +18.43% | 0.38 | 0.55 | +14.86% | +39.13% | 23 | 1.79 | +8.70% |