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 | +274.44% | Net profit | $2,744,437 | Gross profit | $739,125 | Gross loss | $20,669 | CAGR | +13.96% | Annualized return | +13.96% | Monthly average return | +1.20% | Median monthly return | +1.24% |
| Best month return | +6.76% | Worst month return | -2.25% | Rolling 1-month return | +10.69% | Log return CAGR | +23.95% | Compounded vs simple return difference | -266.96% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +28.31% | Average drawdown | +10.43% | Median drawdown | -3.12% | Drawdown duration (max) | 802.8 days | Average drawdown duration | 18.1 days | Ulcer index | 12.04 | Pain index | 3.29 | Pain ratio | 104.49 |
| Drawdown volatility | 2.04 | Worst peak-to-trough loss | +28.31% | % time in drawdown | +77.81% | Drawdown area | 289.76 | Downside deviation | +15.21% | Semi-variance | 1.44 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.53 | Rolling 1-month Sharpe | 1.69 | Sortino ratio | 0.97 | Calmar ratio | 0.51 | Sterling ratio | 0.51 | Burke ratio | 9.82 | Return / volatility | 8.71 | Return / downside risk | 12.87 |
| Return / max drawdown | 7.85 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 3 | Win rate | +93.89% | Loss rate | +6.11% | Average win | +29.85% | Average loss | -2.07% | Win/Loss ratio | 4.26 | Expectancy | +24.86% | Profit factor | 39.94 |
| Payoff ratio | 4.26 | Best trade | +41.84% | Worst trade | -2.07% | Trade return standard deviation | +5.67% | Consecutive wins (max) | 3 | Consecutive losses (max) | 0 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +22.83% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.10 | Alpha vs benchmark % | +9.26% | Information ratio | -0.22 | Treynor ratio | 0.02 | ||||||||
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 | +70.95% |
| Net profit | $709,524 |
| Gross profit | $627,159 |
| Gross loss | $0 |
| CAGR | +11.36% |
| Annualized return | +11.36% |
| Monthly average return | +0.99% |
| Median monthly return | +2.24% |
| Best month return | +5.22% |
| Worst month return | +0.50% |
| Rolling 1-month return | +6.37% |
| Log return CAGR | +35.46% |
| Compounded vs simple return difference | -58.29% |
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 | +4721.17% | 1.32 | 5.05 | +39.73% | +91.67% | 12 | 812.06 | +40.33% |
| S&P/ASX 200 | Australia | +28.34% | 0.39 | 0.57 | +15.58% | +100.00% | 3 | 0.00 | +12.34% |
| Bovespa | Brazil | +55.32% | 0.52 | 0.83 | +24.86% | +80.00% | 5 | 14.83 | +16.15% |
| TSX Composite | Canada | +71.43% | 0.82 | 1.28 | +17.30% | +100.00% | 3 | 0.00 | +12.52% |
| Euro Stoxx 50 | Europe | +55.33% | 0.50 | 0.77 | +25.47% | +100.00% | 2 | 0.00 | +16.87% |
| Euronext 100 | Europe | +51.23% | 0.52 | 0.79 | +20.65% | +100.00% | 1 | 0.00 | +14.92% |
| CAC 40 | France | +37.26% | 0.38 | 0.57 | +22.92% | +100.00% | 2 | 0.00 | +15.81% |
| DAX | Germany | +66.79% | 0.59 | 0.93 | +26.14% | +100.00% | 5 | 0.00 | +16.22% |
| Hang Seng | Hong Kong | -6.55% | -0.06 | -0.08 | +49.81% | +50.00% | 2 | 1.04 | +24.08% |
| BSE Sensex | India | +62.07% | 0.72 | 1.13 | +16.73% | +100.00% | 2 | 0.00 | +13.05% |
| Nifty 50 | India | +69.89% | 0.77 | 1.23 | +17.23% | +100.00% | 2 | 0.00 | +13.19% |
| Nikkei 225 | Japan | +88.63% | 0.58 | 0.97 | +26.09% | +100.00% | 3 | 0.00 | +20.86% |
| KOSPI | South Korea | +76.85% | 0.60 | 0.97 | +34.78% | +100.00% | 3 | 0.00 | +18.32% |
| Swiss Market | Switzerland | +19.07% | 0.27 | 0.38 | +22.12% | +100.00% | 4 | 0.00 | +12.85% |
| Taiwan Weighted | Taiwan | +99.32% | 0.70 | 1.13 | +31.26% | +50.00% | 2 | 10.88 | +18.97% |
| FTSE 100 | UK | +53.94% | 0.67 | 1.01 | +13.42% | +100.00% | 1 | 0.00 | +12.26% |
| CBOE Volatility Index | US | +0.19% | 0.00 | 0.00 | +74.26% | +100.00% | 1 | 0.00 | +125.47% |
| Dow Jones Industrial Average | US | +45.88% | 0.50 | 0.79 | +21.86% | +100.00% | 2 | 0.00 | +14.38% |
| NASDAQ Composite | US | +75.32% | 0.48 | 0.78 | +35.96% | +100.00% | 2 | 0.00 | +21.90% |
| Russell 2000 | US | +20.90% | 0.17 | 0.25 | +32.94% | +100.00% | 1 | 0.00 | +22.29% |
| S&P 500 | US | +70.95% | 0.61 | 0.98 | +25.38% | +100.00% | 2 | 0.00 | +16.66% |