Z-Score Mean Reversion

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	+51.04%	Net profit	$510,360	Gross profit	$547,310	Gross loss	$143,236	CAGR	+7.65%	Annualized return	+7.65%	Monthly average return	+0.70%	Median monthly return	+0.96%
Best month return	+5.19%	Worst month return	-3.18%	Rolling 1-month return	+9.44%	Log return CAGR	+15.70%	Compounded vs simple return difference	-45.72%
Risk & Drawdown
Maximum drawdown	+22.90%	Average drawdown	+6.98%	Median drawdown	-3.38%	Drawdown duration (max)	851.4 days	Average drawdown duration	21.7 days	Ulcer index	8.60	Pain index	3.58	Pain ratio	19.02
Drawdown volatility	2.28	Worst peak-to-trough loss	+22.90%	% time in drawdown	+82.90%	Drawdown area	318.75	Downside deviation	+14.86%	Semi-variance	0.88
Risk-Adjusted Ratios
Sharpe ratio	0.45	Rolling 1-month Sharpe	1.46	Sortino ratio	0.76	Calmar ratio	0.36	Sterling ratio	0.36	Burke ratio	1.69	Return / volatility	3.02	Return / downside risk	3.04
Return / max drawdown	2.27
Trade-Level Statistics
Total trades	12	Win rate	+77.41%	Loss rate	+22.59%	Average win	+6.74%	Average loss	-6.08%	Win/Loss ratio	1.62	Expectancy	+4.01%	Profit factor	6.61
Payoff ratio	1.62	Best trade	+14.23%	Worst trade	-9.83%	Trade return standard deviation	+3.92%	Consecutive wins (max)	7	Consecutive losses (max)	2
Distribution & Shape
Volatility (annualized)	+15.38%
Benchmark (Beta, Alpha, IR)
Beta to benchmark	0.22	Alpha vs benchmark %	+4.10%	Information ratio	-0.33	Treynor ratio	0.02

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	+49.46%
Net profit	$494,606
Gross profit	$589,869
Gross loss	$162,097
CAGR	+8.40%
Annualized return	+8.40%
Monthly average return	+0.73%
Median monthly return	+2.61%
Best month return	+4.61%
Worst month return	+1.36%
Rolling 1-month return	+6.80%
Log return CAGR	+26.08%
Compounded vs simple return difference	-39.93%

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	+107.01%	0.77	1.42	+24.23%	+85.71%	7	18.79	+18.02%
S&P/ASX 200	Australia	+32.29%	0.55	0.82	+13.94%	+80.00%	15	4.26	+9.80%
Bovespa	Brazil	+6.82%	0.11	0.16	+22.32%	+58.33%	12	1.26	+11.62%
TSX Composite	Canada	+49.85%	0.73	1.13	+15.55%	+93.33%	15	5.13	+10.73%
Euro Stoxx 50	Europe	+43.61%	0.47	0.72	+20.32%	+84.62%	13	13.30	+14.84%
Euronext 100	Europe	+25.04%	0.32	0.47	+22.84%	+83.33%	12	3.98	+13.24%
CAC 40	France	+29.02%	0.36	0.55	+21.44%	+61.54%	13	3.37	+13.56%
DAX	Germany	+52.44%	0.58	0.91	+18.31%	+84.62%	13	5.74	+13.73%
Hang Seng	Hong Kong	+15.37%	0.15	0.24	+37.58%	+61.54%	13	1.65	+18.66%
BSE Sensex	India	+40.40%	0.75	1.19	+15.03%	+83.33%	12	16.39	+8.94%
Nifty 50	India	+54.37%	0.90	1.47	+15.19%	+75.00%	12	11.82	+9.39%
Nikkei 225	Japan	+40.10%	0.41	0.63	+19.15%	+75.00%	12	11.19	+16.22%
KOSPI	South Korea	+10.56%	0.14	0.20	+34.36%	+77.78%	9	1.52	+14.70%
Swiss Market	Switzerland	+21.90%	0.34	0.48	+19.60%	+91.67%	12	2.66	+11.65%
Taiwan Weighted	Taiwan	+52.92%	0.51	0.78	+26.56%	+71.43%	14	3.30	+16.25%
FTSE 100	UK	+35.27%	0.58	0.85	+11.77%	+81.82%	11	11.74	+10.06%
CBOE Volatility Index	US	+338.33%	0.49	1.78	+34.76%	+85.71%	7	12.26	+49.69%
Dow Jones Industrial Average	US	+38.89%	0.55	0.86	+19.61%	+73.33%	15	3.64	+11.63%
NASDAQ Composite	US	+4.73%	0.05	0.07	+37.26%	+62.50%	8	1.31	+18.83%
Russell 2000	US	+23.38%	0.23	0.36	+27.74%	+69.23%	13	1.81	+17.48%
S&P 500	US	+49.46%	0.55	0.86	+23.36%	+85.71%	14	3.64	+14.03%