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 | +65.41% | Net profit | $654,121 | Gross profit | $1,064,326 | Gross loss | $791,482 | CAGR | +4.61% | Annualized return | +4.61% | Monthly average return | +0.45% | Median monthly return | +0.39% |
| Best month return | +5.11% | Worst month return | -4.20% | Rolling 1-month return | +10.93% | Log return CAGR | +11.33% | Compounded vs simple return difference | -62.50% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +23.08% | Average drawdown | +9.78% | Median drawdown | -4.84% | Drawdown duration (max) | 797.9 days | Average drawdown duration | 35.0 days | Ulcer index | 10.85 | Pain index | 5.07 | Pain ratio | 24.27 |
| Drawdown volatility | 2.98 | Worst peak-to-trough loss | +23.08% | % time in drawdown | +82.19% | Drawdown area | 456.50 | Downside deviation | +13.68% | Semi-variance | 1.75 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.36 | Rolling 1-month Sharpe | 1.78 | Sortino ratio | 0.64 | Calmar ratio | 0.28 | Sterling ratio | 0.28 | Burke ratio | 2.11 | Return / volatility | 3.69 | Return / downside risk | 3.97 |
| Return / max drawdown | 2.83 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 52 | Win rate | +37.95% | Loss rate | +62.05% | Average win | +5.44% | Average loss | -2.29% | Win/Loss ratio | 2.36 | Expectancy | +0.58% | Profit factor | 1.51 |
| Payoff ratio | 2.36 | Best trade | +19.08% | Worst trade | -6.79% | Trade return standard deviation | +4.44% | Consecutive wins (max) | 3 | Consecutive losses (max) | 6 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +15.67% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.03 | Alpha vs benchmark % | +3.41% | 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 | +13.07% |
| Net profit | $130,661 |
| Gross profit | $740,761 |
| Gross loss | $587,683 |
| CAGR | +2.49% |
| Annualized return | +2.49% |
| Monthly average return | +0.25% |
| Median monthly return | +0.91% |
| Best month return | +4.08% |
| Worst month return | -1.12% |
| Rolling 1-month return | +7.29% |
| Log return CAGR | +3.81% |
| Compounded vs simple return difference | -11.59% |
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 | +1117.36% | 1.44 | 4.12 | +29.41% | +47.92% | 48 | 4.80 | +27.61% |
| S&P/ASX 200 | Australia | +0.15% | 0.00 | 0.00 | +21.35% | +40.38% | 52 | 1.04 | +8.27% |
| Bovespa | Brazil | +5.73% | 0.10 | 0.14 | +20.61% | +41.18% | 51 | 1.17 | +10.83% |
| TSX Composite | Canada | +20.11% | 0.47 | 0.68 | +16.18% | +42.31% | 52 | 1.44 | +7.69% |
| Euro Stoxx 50 | Europe | +26.33% | 0.48 | 0.74 | +17.58% | +36.54% | 52 | 1.46 | +9.54% |
| Euronext 100 | Europe | +35.49% | 0.66 | 1.02 | +14.26% | +37.25% | 51 | 1.71 | +8.78% |
| CAC 40 | France | +19.04% | 0.36 | 0.53 | +15.97% | +42.00% | 50 | 1.36 | +9.42% |
| DAX | Germany | +44.69% | 0.76 | 1.25 | +14.46% | +42.55% | 47 | 1.91 | +9.21% |
| Hang Seng | Hong Kong | -15.61% | -0.21 | -0.31 | +38.14% | +28.57% | 56 | 0.90 | +16.35% |
| BSE Sensex | India | +26.14% | 0.57 | 0.86 | +11.31% | +38.78% | 49 | 1.56 | +8.13% |
| Nifty 50 | India | +14.77% | 0.34 | 0.49 | +18.71% | +36.54% | 52 | 1.31 | +8.05% |
| Nikkei 225 | Japan | -2.97% | -0.05 | -0.07 | +19.40% | +32.76% | 58 | 1.01 | +12.56% |
| KOSPI | South Korea | +53.91% | 0.71 | 1.17 | +23.35% | +40.00% | 45 | 1.87 | +11.90% |
| Swiss Market | Switzerland | +34.35% | 0.79 | 1.27 | +10.78% | +43.18% | 44 | 1.88 | +7.34% |
| Taiwan Weighted | Taiwan | +42.13% | 0.64 | 1.02 | +19.65% | +39.29% | 56 | 1.63 | +10.92% |
| FTSE 100 | UK | +14.07% | 0.36 | 0.52 | +12.13% | +41.07% | 56 | 1.31 | +7.16% |
| CBOE Volatility Index | US | -84.53% | -0.32 | -0.52 | +91.37% | +27.87% | 61 | 0.75 | +105.60% |
| Dow Jones Industrial Average | US | +4.51% | 0.10 | 0.14 | +17.69% | +33.90% | 59 | 1.12 | +9.12% |
| NASDAQ Composite | US | +3.66% | 0.05 | 0.07 | +29.23% | +34.62% | 52 | 1.11 | +14.79% |
| Russell 2000 | US | +1.26% | 0.02 | 0.02 | +26.43% | +30.91% | 55 | 1.08 | +15.11% |
| S&P 500 | US | +13.07% | 0.23 | 0.34 | +16.73% | +39.29% | 56 | 1.26 | +10.62% |