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 | +155.13% | Net profit | $1,551,296 | Gross profit | $723,221 | Gross loss | $346,789 | CAGR | +7.85% | Annualized return | +7.85% | Monthly average return | +0.68% | Median monthly return | +2.14% |
| Best month return | +9.77% | Worst month return | -3.70% | Rolling 1-month return | +12.38% | Log return CAGR | +19.83% | Compounded vs simple return difference | -149.34% | ||||||
| Risk & Drawdown | |||||||||||||||
| Maximum drawdown | +22.24% | Average drawdown | +8.02% | Median drawdown | -3.64% | Drawdown duration (max) | 1015.8 days | Average drawdown duration | 19.8 days | Ulcer index | 9.56 | Pain index | 3.85 | Pain ratio | 15.28 |
| Drawdown volatility | 2.66 | Worst peak-to-trough loss | +22.24% | % time in drawdown | +85.19% | Drawdown area | 336.99 | Downside deviation | +16.49% | Semi-variance | 1.51 | ||||
| Risk-Adjusted Ratios | |||||||||||||||
| Sharpe ratio | 0.23 | Rolling 1-month Sharpe | 1.42 | Sortino ratio | 0.43 | Calmar ratio | 0.29 | Sterling ratio | 0.29 | Burke ratio | 1.38 | Return / volatility | 2.91 | Return / downside risk | 3.87 |
| Return / max drawdown | 4.30 | ||||||||||||||
| Trade-Level Statistics | |||||||||||||||
| Total trades | 32 | Win rate | +64.63% | Loss rate | +35.37% | Average win | +3.38% | Average loss | -3.14% | Win/Loss ratio | 0.96 | Expectancy | +1.17% | Profit factor | 1.92 |
| Payoff ratio | 0.96 | Best trade | +7.99% | Worst trade | -8.89% | Trade return standard deviation | +3.78% | Consecutive wins (max) | 6 | Consecutive losses (max) | 3 | ||||
| Distribution & Shape | |||||||||||||||
| Volatility (annualized) | +16.60% | ||||||||||||||
| Benchmark (Beta, Alpha, IR) | |||||||||||||||
| Beta to benchmark | 0.09 | Alpha vs benchmark % | +6.42% | Information ratio | -0.43 | 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 | +18.36% |
| Net profit | $183,629 |
| Gross profit | $451,304 |
| Gross loss | $267,258 |
| CAGR | +3.44% |
| Annualized return | +3.44% |
| Monthly average return | +0.31% |
| Median monthly return | +0.59% |
| Best month return | +6.93% |
| Worst month return | -2.08% |
| Rolling 1-month return | +6.93% |
| Log return CAGR | +9.30% |
| Compounded vs simple return difference | -14.81% |
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 | +128.31% | 0.66 | 1.26 | +26.93% | +76.92% | 26 | 5.21 | +23.43% |
| S&P/ASX 200 | Australia | -0.92% | -0.02 | -0.03 | +16.11% | +55.17% | 29 | 0.99 | +9.05% |
| Bovespa | Brazil | +8.14% | 0.13 | 0.20 | +20.86% | +63.33% | 30 | 1.25 | +11.62% |
| TSX Composite | Canada | +17.99% | 0.35 | 0.51 | +18.05% | +67.74% | 31 | 1.80 | +9.36% |
| Euro Stoxx 50 | Europe | +11.15% | 0.15 | 0.22 | +21.73% | +67.74% | 31 | 1.40 | +13.87% |
| Euronext 100 | Europe | +22.28% | 0.32 | 0.47 | +14.48% | +64.71% | 34 | 2.00 | +12.02% |
| CAC 40 | France | +19.55% | 0.28 | 0.41 | +16.44% | +69.70% | 33 | 1.70 | +12.48% |
| DAX | Germany | +18.83% | 0.25 | 0.37 | +20.53% | +69.70% | 33 | 1.81 | +13.33% |
| Hang Seng | Hong Kong | -15.31% | -0.18 | -0.25 | +38.50% | +51.43% | 35 | 0.77 | +18.56% |
| BSE Sensex | India | +8.04% | 0.17 | 0.24 | +12.37% | +62.07% | 29 | 1.39 | +9.25% |
| Nifty 50 | India | +28.00% | 0.52 | 0.80 | +10.26% | +60.61% | 33 | 2.32 | +9.38% |
| Nikkei 225 | Japan | +49.06% | 0.50 | 0.78 | +22.39% | +67.65% | 34 | 3.07 | +15.77% |
| KOSPI | South Korea | +3.83% | 0.06 | 0.08 | +31.53% | +56.25% | 32 | 1.14 | +13.43% |
| Swiss Market | Switzerland | -7.22% | -0.15 | -0.20 | +24.46% | +56.67% | 30 | 0.79 | +10.30% |
| Taiwan Weighted | Taiwan | -1.36% | -0.02 | -0.03 | +27.35% | +65.52% | 29 | 1.03 | +15.09% |
| FTSE 100 | UK | +18.76% | 0.35 | 0.49 | +11.97% | +73.33% | 30 | 2.36 | +9.67% |
| CBOE Volatility Index | US | +2858.78% | 0.49 | 2.05 | +41.17% | +70.59% | 34 | 4.54 | +84.52% |
| Dow Jones Industrial Average | US | +16.10% | 0.27 | 0.40 | +13.77% | +68.75% | 32 | 1.73 | +10.96% |
| NASDAQ Composite | US | +35.58% | 0.34 | 0.53 | +25.31% | +64.71% | 34 | 1.84 | +17.36% |
| Russell 2000 | US | +19.76% | 0.22 | 0.33 | +30.82% | +55.88% | 34 | 1.43 | +16.32% |
| S&P 500 | US | +18.36% | 0.26 | 0.39 | +21.96% | +68.75% | 32 | 1.69 | +12.77% |