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 | +40.90% | Net profit | $409,045 | Gross profit | $822,593 | Gross loss | $575,149 | CAGR | +3.96% | Annualized return | +3.96% | Monthly average return | +0.40% | Median monthly return | +1.63% |
| Best month return | +4.79% | Worst month return | -3.87% | Rolling 1-month return | +10.30% | Log return CAGR | +19.27% | Compounded vs simple return difference | -34.71% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.24% | Average drawdown | +9.55% | Median drawdown | -4.18% | Drawdown duration (max) | 779.1 days | Average drawdown duration | 22.4 days | Ulcer index | 10.82 | Pain index | 4.37 | Pain ratio | 22.00 |
| Drawdown volatility | 2.32 | Worst peak-to-trough loss | +23.24% | % time in drawdown | +78.57% | Drawdown area | 387.28 | Downside deviation | +13.96% | Semi-variance | 1.65 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.36 | Rolling 1-month Sharpe | 1.86 | Sortino ratio | 0.61 | Calmar ratio | 0.27 | Sterling ratio | 0.27 | Burke ratio | 2.06 | Return / volatility | 2.94 | Return / downside risk | 3.03 |
| Return / max drawdown | 1.91 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 31 | Win rate | +45.69% | Loss rate | +54.31% | Average win | +6.04% | Average loss | -3.36% | Win/Loss ratio | 1.86 | Expectancy | +0.92% | Profit factor | 1.69 |
| Payoff ratio | 1.86 | Best trade | +18.27% | Worst trade | -9.59% | Trade return standard deviation | +4.21% | Consecutive wins (max) | 4 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.50% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | +3.24% | Information ratio | -0.50 | 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 | +10.87% |
| Net profit | $108,662 |
| Gross profit | $655,633 |
| Gross loss | $515,440 |
| CAGR | +2.09% |
| Annualized return | +2.09% |
| Monthly average return | +0.23% |
| Median monthly return | +0.98% |
| Best month return | +3.81% |
| Worst month return | -1.59% |
| Rolling 1-month return | +7.46% |
| Log return CAGR | +19.41% |
| Compounded vs simple return difference | -3.65% |
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 | +561.93% | 1.16 | 2.74 | +40.58% | +65.38% | 26 | 4.93 | +27.41% |
| S&P/ASX 200 | Australia | +1.40% | 0.03 | 0.04 | +21.11% | +40.00% | 35 | 1.09 | +8.35% |
| Bovespa | Brazil | +20.34% | 0.33 | 0.49 | +23.08% | +40.63% | 32 | 1.40 | +11.20% |
| TSX Composite | Canada | +14.54% | 0.34 | 0.47 | +14.29% | +55.17% | 29 | 1.43 | +7.81% |
| Euro Stoxx 50 | Europe | +50.36% | 0.85 | 1.35 | +14.46% | +51.72% | 29 | 2.33 | +9.24% |
| Euronext 100 | Europe | +40.70% | 0.80 | 1.22 | +13.05% | +50.00% | 30 | 2.23 | +8.09% |
| CAC 40 | France | +34.93% | 0.62 | 0.92 | +14.14% | +46.43% | 28 | 2.04 | +9.27% |
| DAX | Germany | +53.12% | 0.94 | 1.52 | +13.40% | +56.67% | 30 | 2.42 | +8.59% |
| Hang Seng | Hong Kong | -1.49% | -0.02 | -0.03 | +33.58% | +36.67% | 30 | 1.07 | +16.26% |
| BSE Sensex | India | +13.33% | 0.29 | 0.42 | +15.69% | +33.33% | 30 | 1.37 | +8.68% |
| Nifty 50 | India | +13.60% | 0.29 | 0.41 | +14.35% | +37.50% | 32 | 1.36 | +8.86% |
| Nikkei 225 | Japan | +0.99% | 0.02 | 0.02 | +20.04% | +42.42% | 33 | 1.09 | +12.25% |
| KOSPI | South Korea | +54.95% | 0.69 | 1.14 | +22.18% | +48.15% | 27 | 2.09 | +12.46% |
| Swiss Market | Switzerland | +25.38% | 0.64 | 0.97 | +12.05% | +50.00% | 28 | 1.98 | +7.00% |
| Taiwan Weighted | Taiwan | +61.54% | 0.87 | 1.48 | +11.97% | +55.56% | 27 | 2.51 | +10.81% |
| FTSE 100 | UK | +12.13% | 0.33 | 0.47 | +11.68% | +44.12% | 34 | 1.49 | +6.89% |
| CBOE Volatility Index | US | -83.53% | -0.32 | -0.51 | +93.14% | +28.13% | 32 | 0.53 | +102.86% |
| Dow Jones Industrial Average | US | -3.64% | -0.08 | -0.11 | +17.55% | +41.18% | 34 | 0.99 | +9.27% |
| NASDAQ Composite | US | -6.50% | -0.09 | -0.13 | +28.96% | +41.18% | 34 | 1.00 | +14.35% |
| Russell 2000 | US | -15.94% | -0.23 | -0.31 | +34.04% | +45.16% | 31 | 0.83 | +15.47% |
| S&P 500 | US | +10.87% | 0.20 | 0.28 | +18.75% | +50.00% | 34 | 1.27 | +10.45% |