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 | +63.05% | Net profit | $630,517 | Gross profit | $536,426 | Gross loss | $445,587 | CAGR | +2.55% | Annualized return | +2.55% | Monthly average return | +0.13% | Median monthly return | -0.80% |
| Best month return | +3.52% | Worst month return | -6.50% | Rolling 1-month return | +7.39% | Log return CAGR | +6.45% | Compounded vs simple return difference | -64.08% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +18.75% | Average drawdown | +10.45% | Median drawdown | -7.18% | Drawdown duration (max) | 792.5 days | Average drawdown duration | 34.7 days | Ulcer index | 11.09 | Pain index | 7.10 | Pain ratio | 22.61 |
| Drawdown volatility | 2.81 | Worst peak-to-trough loss | +18.75% | % time in drawdown | +86.52% | Drawdown area | 670.91 | Downside deviation | +14.44% | Semi-variance | 2.04 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.18 | Rolling 1-month Sharpe | 1.38 | Sortino ratio | 0.46 | Calmar ratio | 0.32 | Sterling ratio | 0.32 | Burke ratio | 1.99 | Return / volatility | 3.11 | Return / downside risk | 3.13 |
| Return / max drawdown | 3.70 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 23 | Win rate | +40.07% | Loss rate | +59.93% | Average win | +5.67% | Average loss | -2.72% | Win/Loss ratio | 2.39 | Expectancy | +0.51% | Profit factor | 2.03 |
| Payoff ratio | 2.39 | Best trade | +15.13% | Worst trade | -5.89% | Trade return standard deviation | +3.26% | Consecutive wins (max) | 3 | Consecutive losses (max) | 5 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +11.78% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | -1.73% | Information ratio | -0.62 | 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 | +3.78% |
| Net profit | $37,767 |
| Gross profit | $305,827 |
| Gross loss | $259,114 |
| CAGR | +0.75% |
| Annualized return | +0.75% |
| Monthly average return | +0.08% |
| Median monthly return | +0.93% |
| Best month return | +2.02% |
| Worst month return | -1.20% |
| Rolling 1-month return | +3.73% |
| Log return CAGR | +0.07% |
| Compounded vs simple return difference | -3.75% |
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 | +1176.33% | 1.35 | 3.90 | +21.25% | +58.33% | 24 | 10.28 | +29.62% |
| S&P/ASX 200 | Australia | -15.29% | -0.59 | -0.74 | +19.11% | +25.00% | 28 | 0.46 | +5.68% |
| Bovespa | Brazil | +22.05% | 0.50 | 0.76 | +13.18% | +47.83% | 23 | 1.90 | +7.80% |
| TSX Composite | Canada | +10.25% | 0.32 | 0.44 | +9.68% | +44.44% | 27 | 1.53 | +6.04% |
| Euro Stoxx 50 | Europe | +5.79% | 0.16 | 0.22 | +10.85% | +34.78% | 23 | 1.24 | +6.88% |
| Euronext 100 | Europe | +7.61% | 0.24 | 0.33 | +7.06% | +52.38% | 21 | 1.40 | +6.03% |
| CAC 40 | France | +3.08% | 0.09 | 0.12 | +14.67% | +40.00% | 20 | 1.16 | +6.43% |
| DAX | Germany | +19.84% | 0.48 | 0.73 | +9.98% | +50.00% | 22 | 1.95 | +7.27% |
| Hang Seng | Hong Kong | -5.44% | -0.09 | -0.14 | +19.82% | +26.09% | 23 | 0.96 | +12.32% |
| BSE Sensex | India | +11.05% | 0.30 | 0.43 | +18.73% | +29.17% | 24 | 1.44 | +6.97% |
| Nifty 50 | India | +13.37% | 0.36 | 0.50 | +18.48% | +34.78% | 23 | 1.54 | +7.08% |
| Nikkei 225 | Japan | +33.69% | 0.55 | 0.90 | +15.17% | +52.38% | 21 | 2.23 | +10.46% |
| KOSPI | South Korea | +80.52% | 1.06 | 1.89 | +12.00% | +52.63% | 19 | 5.62 | +10.77% |
| Swiss Market | Switzerland | +0.96% | 0.04 | 0.05 | +10.05% | +41.67% | 24 | 1.07 | +5.51% |
| Taiwan Weighted | Taiwan | +65.71% | 1.09 | 1.92 | +9.72% | +68.18% | 22 | 4.46 | +9.14% |
| FTSE 100 | UK | -6.30% | -0.25 | -0.33 | +17.41% | +33.33% | 24 | 0.73 | +5.15% |
| CBOE Volatility Index | US | -98.44% | -1.60 | -1.18 | +98.44% | +11.54% | 26 | 0.11 | +71.18% |
| Dow Jones Industrial Average | US | -5.80% | -0.20 | -0.27 | +11.96% | +34.62% | 26 | 0.77 | +6.18% |
| NASDAQ Composite | US | +26.22% | 0.47 | 0.72 | +12.40% | +42.86% | 21 | 2.15 | +9.66% |
| Russell 2000 | US | -24.90% | -0.57 | -0.73 | +32.28% | +30.77% | 26 | 0.47 | +10.29% |
| S&P 500 | US | +3.78% | 0.11 | 0.15 | +11.51% | +30.77% | 26 | 1.18 | +6.99% |