WMA 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	+89.42%	Net profit	$894,173	Gross profit	$922,198	Gross loss	$686,422	CAGR	+4.86%	Annualized return	+4.86%	Monthly average return	+0.38%	Median monthly return	+0.04%
Best month return	+4.82%	Worst month return	-4.58%	Rolling 1-month return	+9.91%	Log return CAGR	+11.30%	Compounded vs simple return difference	-87.41%
Risk & Drawdown
Maximum drawdown	+23.37%	Average drawdown	+10.64%	Median drawdown	-5.61%	Drawdown duration (max)	863.6 days	Average drawdown duration	29.1 days	Ulcer index	11.68	Pain index	5.50	Pain ratio	32.33
Drawdown volatility	2.88	Worst peak-to-trough loss	+23.37%	% time in drawdown	+82.48%	Drawdown area	500.67	Downside deviation	+13.76%	Semi-variance	1.65
Risk-Adjusted Ratios
Sharpe ratio	0.36	Rolling 1-month Sharpe	1.73	Sortino ratio	0.66	Calmar ratio	0.31	Sterling ratio	0.31	Burke ratio	3.04	Return / volatility	4.22	Return / downside risk	4.83
Return / max drawdown	3.63
Trade-Level Statistics
Total trades	36	Win rate	+42.44%	Loss rate	+57.56%	Average win	+6.01%	Average loss	-2.98%	Win/Loss ratio	2.17	Expectancy	+0.81%	Profit factor	1.75
Payoff ratio	2.17	Best trade	+19.91%	Worst trade	-7.45%	Trade return standard deviation	+4.50%	Consecutive wins (max)	4	Consecutive losses (max)	6
Distribution & Shape
Volatility (annualized)	+16.12%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	-0.02	Alpha vs benchmark %	+1.83%	Information ratio	-0.47	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	+46.63%
Net profit	$466,259
Gross profit	$793,683
Gross loss	$369,408
CAGR	+7.98%
Annualized return	+7.98%
Monthly average return	+0.69%
Median monthly return	+2.18%
Best month return	+2.81%
Worst month return	+1.55%
Rolling 1-month return	+5.40%
Log return CAGR	+32.58%
Compounded vs simple return difference	-34.91%

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	+1531.27%	1.32	3.85	+29.43%	+62.50%	32	6.98	+32.52%
S&P/ASX 200	Australia	+13.31%	0.29	0.40	+12.22%	+45.95%	37	1.44	+8.61%
Bovespa	Brazil	+20.44%	0.34	0.50	+22.34%	+37.14%	35	1.45	+10.86%
TSX Composite	Canada	+28.29%	0.56	0.80	+10.08%	+45.45%	33	1.77	+8.66%
Euro Stoxx 50	Europe	+11.81%	0.23	0.32	+17.69%	+40.00%	40	1.26	+9.71%
Euronext 100	Europe	+10.11%	0.22	0.30	+14.09%	+45.00%	40	1.25	+8.65%
CAC 40	France	+11.18%	0.21	0.30	+16.88%	+39.47%	38	1.29	+9.61%
DAX	Germany	+43.13%	0.71	1.12	+15.70%	+47.06%	34	2.27	+9.60%
Hang Seng	Hong Kong	+2.67%	0.03	0.05	+31.35%	+33.33%	36	1.13	+16.23%
BSE Sensex	India	+18.08%	0.36	0.52	+15.31%	+36.36%	33	1.48	+9.31%
Nifty 50	India	+12.62%	0.25	0.35	+15.34%	+31.43%	35	1.33	+9.65%
Nikkei 225	Japan	+17.37%	0.24	0.37	+26.50%	+36.59%	41	1.33	+13.22%
KOSPI	South Korea	+56.84%	0.69	1.13	+23.68%	+39.47%	38	2.01	+12.79%
Swiss Market	Switzerland	+14.51%	0.35	0.51	+13.49%	+38.89%	36	1.44	+7.64%
Taiwan Weighted	Taiwan	+67.99%	0.88	1.45	+25.09%	+48.48%	33	2.28	+11.57%
FTSE 100	UK	+5.92%	0.15	0.21	+18.54%	+45.24%	42	1.18	+7.62%
CBOE Volatility Index	US	-98.17%	-0.88	-0.90	+99.18%	+25.00%	44	0.30	+103.59%
Dow Jones Industrial Average	US	+27.89%	0.52	0.79	+16.05%	+58.33%	36	1.88	+9.23%
NASDAQ Composite	US	+35.10%	0.42	0.64	+22.77%	+42.86%	35	1.56	+13.82%
Russell 2000	US	+0.78%	0.01	0.02	+29.48%	+41.03%	39	1.07	+14.95%
S&P 500	US	+46.63%	0.69	1.08	+15.48%	+51.72%	29	2.15	+10.65%