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 | +82.60% | Net profit | $825,976 | Gross profit | $977,829 | Gross loss | $857,081 | CAGR | +2.88% | Annualized return | +2.88% | Monthly average return | +0.18% | Median monthly return | -1.08% |
| Best month return | +7.36% | Worst month return | -5.47% | Rolling 1-month return | +9.85% | Log return CAGR | +1.00% | Compounded vs simple return difference | -84.35% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +25.84% | Average drawdown | +13.23% | Median drawdown | -5.89% | Drawdown duration (max) | 1038.2 days | Average drawdown duration | 37.1 days | Ulcer index | 14.35 | Pain index | 5.92 | Pain ratio | 28.78 |
| Drawdown volatility | 3.21 | Worst peak-to-trough loss | +25.84% | % time in drawdown | +87.33% | Drawdown area | 549.38 | Downside deviation | +13.74% | Semi-variance | 1.87 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.18 | Rolling 1-month Sharpe | 1.66 | Sortino ratio | 0.40 | Calmar ratio | 0.21 | Sterling ratio | 0.21 | Burke ratio | 2.69 | Return / volatility | 3.33 | Return / downside risk | 3.94 |
| Return / max drawdown | 3.08 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 62 | Win rate | +38.07% | Loss rate | +61.93% | Average win | +4.08% | Average loss | -2.01% | Win/Loss ratio | 2.16 | Expectancy | +0.35% | Profit factor | 1.46 |
| Payoff ratio | 2.16 | Best trade | +18.14% | Worst trade | -7.18% | Trade return standard deviation | +4.32% | Consecutive wins (max) | 4 | Consecutive losses (max) | 7 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.06% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | -0.02 | Alpha vs benchmark % | -0.25% | Information ratio | -0.57 | 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 | +14.03% |
| Net profit | $140,253 |
| Gross profit | $707,614 |
| Gross loss | $536,764 |
| CAGR | +2.67% |
| Annualized return | +2.67% |
| Monthly average return | +0.27% |
| Median monthly return | -0.62% |
| Best month return | +4.67% |
| Worst month return | -1.57% |
| Rolling 1-month return | +7.47% |
| Log return CAGR | +15.68% |
| Compounded vs simple return difference | -8.14% |
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 | +1609.88% | 1.33 | 3.92 | +30.82% | +53.85% | 52 | 6.40 | +32.57% |
| S&P/ASX 200 | Australia | +8.48% | 0.19 | 0.26 | +10.53% | +39.34% | 61 | 1.24 | +8.44% |
| Bovespa | Brazil | +1.96% | 0.04 | 0.05 | +25.35% | +30.00% | 60 | 1.10 | +11.05% |
| TSX Composite | Canada | +25.78% | 0.53 | 0.75 | +12.64% | +50.00% | 50 | 1.67 | +8.44% |
| Euro Stoxx 50 | Europe | +10.97% | 0.21 | 0.30 | +17.41% | +37.70% | 61 | 1.24 | +9.65% |
| Euronext 100 | Europe | +12.04% | 0.25 | 0.35 | +19.52% | +34.92% | 63 | 1.25 | +8.90% |
| CAC 40 | France | +4.52% | 0.09 | 0.13 | +21.11% | +36.92% | 65 | 1.12 | +9.41% |
| DAX | Germany | +11.61% | 0.22 | 0.32 | +22.57% | +31.58% | 76 | 1.23 | +9.65% |
| Hang Seng | Hong Kong | -5.08% | -0.07 | -0.10 | +34.04% | +32.31% | 65 | 0.99 | +16.11% |
| BSE Sensex | India | +4.41% | 0.09 | 0.13 | +18.45% | +36.51% | 63 | 1.12 | +9.25% |
| Nifty 50 | India | +3.93% | 0.08 | 0.11 | +17.67% | +37.50% | 64 | 1.11 | +9.59% |
| Nikkei 225 | Japan | -6.53% | -0.10 | -0.15 | +31.23% | +34.25% | 73 | 0.98 | +13.35% |
| KOSPI | South Korea | +55.30% | 0.67 | 1.09 | +29.64% | +40.32% | 62 | 1.88 | +12.94% |
| Swiss Market | Switzerland | +13.40% | 0.32 | 0.47 | +10.75% | +42.86% | 56 | 1.35 | +7.74% |
| Taiwan Weighted | Taiwan | +65.89% | 0.85 | 1.41 | +14.91% | +42.11% | 57 | 1.98 | +11.69% |
| FTSE 100 | UK | -7.69% | -0.21 | -0.28 | +28.02% | +33.33% | 69 | 0.88 | +7.65% |
| CBOE Volatility Index | US | -98.75% | -1.03 | -0.96 | +99.04% | +28.41% | 88 | 0.35 | +102.56% |
| Dow Jones Industrial Average | US | +6.14% | 0.13 | 0.19 | +19.42% | +40.00% | 55 | 1.20 | +8.92% |
| NASDAQ Composite | US | +17.54% | 0.23 | 0.33 | +30.87% | +40.74% | 54 | 1.31 | +13.77% |
| Russell 2000 | US | -13.25% | -0.20 | -0.27 | +29.29% | +34.33% | 67 | 0.85 | +14.60% |
| S&P 500 | US | +14.03% | 0.24 | 0.34 | +19.37% | +42.55% | 47 | 1.32 | +10.92% |