VWMA Crossover

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	+71.76%	Net profit	$717,554	Gross profit	$870,605	Gross loss	$692,572	CAGR	+3.44%	Annualized return	+3.44%	Monthly average return	+0.27%	Median monthly return	+0.31%
Best month return	+4.98%	Worst month return	-4.13%	Rolling 1-month return	+10.56%	Log return CAGR	+15.53%	Compounded vs simple return difference	-67.80%
Risk & Drawdown
Maximum drawdown	+24.95%	Average drawdown	+12.00%	Median drawdown	-5.38%	Drawdown duration (max)	960.6 days	Average drawdown duration	24.9 days	Ulcer index	13.07	Pain index	5.30	Pain ratio	25.25
Drawdown volatility	2.63	Worst peak-to-trough loss	+24.95%	% time in drawdown	+82.67%	Drawdown area	473.94	Downside deviation	+14.15%	Semi-variance	1.76
Risk-Adjusted Ratios
Sharpe ratio	0.24	Rolling 1-month Sharpe	1.79	Sortino ratio	0.48	Calmar ratio	0.21	Sterling ratio	0.21	Burke ratio	2.35	Return / volatility	3.26	Return / downside risk	3.71
Return / max drawdown	2.54
Trade-Level Statistics
Total trades	34	Win rate	+44.70%	Loss rate	+55.30%	Average win	+5.80%	Average loss	-3.35%	Win/Loss ratio	1.89	Expectancy	+0.68%	Profit factor	1.64
Payoff ratio	1.89	Best trade	+19.22%	Worst trade	-9.72%	Trade return standard deviation	+4.52%	Consecutive wins (max)	4	Consecutive losses (max)	5
Distribution & Shape
Volatility (annualized)	+15.81%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	0.01	Alpha vs benchmark %	-0.16%	Information ratio	-0.55	Treynor ratio	0.01

Parameter optimization

Optimization data not available for this strategy. Run npm run pipeline or npm run pipeline:test to generate parameter grid results.

Chart for symbol:

Metric	Value
Total return	+16.06%
Net profit	$160,616
Gross profit	$690,677
Gross loss	$493,388
CAGR	+3.03%
Annualized return	+3.03%
Monthly average return	+0.31%
Median monthly return	+2.18%
Best month return	+5.21%
Worst month return	-1.91%
Rolling 1-month return	+7.47%
Log return CAGR	+27.92%
Compounded vs simple return difference	-5.90%

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	+1284.59%	1.27	3.53	+34.24%	+56.25%	32	7.17	+32.19%
S&P/ASX 200	Australia	-2.77%	-0.06	-0.08	+16.67%	+38.24%	34	0.97	+8.99%
Bovespa	Brazil	+7.61%	0.14	0.20	+20.78%	+41.94%	31	1.22	+10.60%
TSX Composite	Canada	+5.80%	0.13	0.17	+21.96%	+43.75%	32	1.22	+8.71%
Euro Stoxx 50	Europe	+15.61%	0.29	0.41	+17.58%	+48.48%	33	1.42	+9.72%
Euronext 100	Europe	+13.15%	0.27	0.37	+16.78%	+44.44%	36	1.35	+8.97%
CAC 40	France	+21.43%	0.42	0.61	+15.10%	+56.25%	32	1.72	+8.98%
DAX	Germany	+35.63%	0.59	0.89	+17.37%	+54.84%	31	1.96	+9.87%
Hang Seng	Hong Kong	-0.45%	-0.01	-0.01	+27.49%	+32.43%	37	1.07	+15.76%
BSE Sensex	India	+6.54%	0.14	0.20	+17.53%	+34.38%	32	1.20	+9.20%
Nifty 50	India	+16.91%	0.33	0.47	+13.91%	+39.39%	33	1.42	+9.55%
Nikkei 225	Japan	+11.73%	0.17	0.24	+29.40%	+33.33%	36	1.28	+13.57%
KOSPI	South Korea	+66.08%	0.76	1.26	+26.78%	+47.06%	34	2.23	+12.94%
Swiss Market	Switzerland	+11.36%	0.27	0.39	+13.31%	+48.48%	33	1.36	+7.92%
Taiwan Weighted	Taiwan	+74.57%	0.89	1.46	+18.48%	+50.00%	30	2.56	+12.22%
FTSE 100	UK	+11.46%	0.27	0.38	+15.59%	+53.85%	39	1.34	+7.91%
CBOE Volatility Index	US	-98.46%	-1.10	-0.96	+99.28%	+30.23%	43	0.29	+93.78%
Dow Jones Industrial Average	US	-0.44%	-0.01	-0.01	+19.95%	+42.42%	33	1.06	+9.55%
NASDAQ Composite	US	+15.15%	0.19	0.27	+29.24%	+47.06%	34	1.29	+14.38%
Russell 2000	US	-4.68%	-0.06	-0.09	+30.04%	+44.12%	34	0.99	+15.61%
S&P 500	US	+16.06%	0.25	0.36	+22.40%	+51.85%	27	1.40	+11.55%