AGG - iShares Core US Aggregate Bond ETF

Signal Pair Analysis

SLmean-RSmean

Best Pair

31.1%

Best CAGR

77

Total Months

2.5%

Avg CAGR

AGG Signal Pair Performance Heatmaps

CAGR by signal pairs and conditions for this ETF

Condition: pos-pos

Condition: pos-neg

Condition: neg-pos

Condition: neg-neg

Signal Pairs for AGG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean SLmean pos-neg 2 0.7 31.1 100.0 4.0 0.0 0.0 6.9 0.0
pair SLmean RSmean pos-neg 2 0.7 31.1 100.0 4.0 0.0 0.0 6.9 0.0
pair RSmean MACDhist neg-pos 2 0.7 31.1 100.0 4.0 0.0 0.0 6.9 0.0
pair MACDhist RSmean neg-pos 2 0.7 31.1 100.0 4.0 0.0 0.0 6.9 0.0
pair RSmean RSIhist neg-pos 5 1.9 19.9 100.0 4.2 0.0 0.0 4.4 0.0
pair RSIhist RSmean neg-pos 5 1.9 19.9 100.0 4.2 0.0 0.0 4.4 0.0
pair MRmean RSmean pos-neg 3 1.1 18.9 66.7 2.5 0.0 0.0 7.0 0.0
pair RSmean MRmean pos-neg 3 1.1 18.9 66.7 2.5 0.0 0.0 7.0 0.0
pair RSmean RSI neg-neg 8 3.0 9.7 75.0 2.0 6.8 25.7 4.7 -0.4
pair RSI RSmean neg-neg 8 3.0 9.7 75.0 2.0 6.8 25.7 4.7 -0.4
pair RSI MRmean pos-neg 6 2.2 9.3 66.7 1.6 4.8 6.2 5.7 -1.5
pair MRmean RSI pos-neg 6 2.2 9.3 66.7 1.6 4.8 6.2 5.7 -1.5
pair RSIhist SLmean neg-pos 11 4.1 8.9 63.6 1.5 2.2 2.5 5.6 -3.6
pair SLmean RSIhist neg-pos 11 4.1 8.9 63.6 1.5 2.2 2.5 5.6 -3.6
pair MACD RSmean neg-neg 14 5.2 6.8 78.6 1.4 1.5 2.1 4.9 -3.2
pair RSmean MACD neg-neg 14 5.2 6.8 78.6 1.4 1.5 2.1 4.9 -3.2
pair MACD SLmean neg-neg 30 11.2 4.8 60.0 0.7 1.2 0.9 6.8 -5.4
pair SLmean MACD neg-neg 30 11.2 4.8 60.0 0.7 1.2 0.9 6.8 -5.4
pair MACDhist SLmean pos-pos 121 45.0 4.8 62.8 1.3 2.0 0.9 3.7 -5.2
pair SLmean MACDhist pos-pos 121 45.0 4.8 62.8 1.3 2.0 0.9 3.7 -5.2
pair MACDhist RSIhist pos-pos 110 40.9 4.7 61.8 1.2 1.8 1.1 3.8 -4.4
pair RSIhist MACDhist pos-pos 110 40.9 4.7 61.8 1.2 1.8 1.1 3.8 -4.4
pair RSIhist MACD pos-pos 125 46.5 4.6 61.6 1.4 2.1 1.4 3.3 -3.3
pair MACD RSIhist pos-pos 125 46.5 4.6 61.6 1.4 2.1 1.4 3.3 -3.3
pair SLmean LWTI pos-pos 166 61.7 4.6 60.8 1.2 2.1 1.1 3.9 -4.2
pair LWTI SLmean pos-pos 166 61.7 4.6 60.8 1.2 2.1 1.1 3.9 -4.2
pair MACD SLmean pos-pos 157 58.4 4.6 60.5 1.2 2.3 0.9 3.7 -5.0
pair SLmean MACD pos-pos 157 58.4 4.6 60.5 1.2 2.3 0.9 3.7 -5.0
pair MACDhist MRmean pos-pos 134 49.8 4.5 61.2 1.2 1.8 0.9 3.7 -5.0
pair MRmean MACDhist pos-pos 134 49.8 4.5 61.2 1.2 1.8 0.9 3.7 -5.0
pair MRmean LWTI pos-pos 186 69.1 4.3 59.7 1.1 1.9 1.0 3.9 -4.1
pair LWTI MRmean pos-pos 186 69.1 4.3 59.7 1.1 1.9 1.0 3.9 -4.1
pair MACDhist MACD pos-pos 126 46.8 4.3 61.9 1.2 1.9 0.9 3.5 -5.0
pair MACD MACDhist pos-pos 126 46.8 4.3 61.9 1.2 1.9 0.9 3.5 -5.0
pair RSIhist LWTI pos-pos 143 53.2 4.3 60.8 1.2 1.8 1.0 3.7 -4.2
pair LWTI RSIhist pos-pos 143 53.2 4.3 60.8 1.2 1.8 1.0 3.7 -4.2
pair MRmean MACD pos-pos 173 64.3 4.3 59.5 1.1 2.0 1.0 3.7 -4.2
pair MACD MRmean pos-pos 173 64.3 4.3 59.5 1.1 2.0 1.0 3.7 -4.2
pair SLmean MRmean pos-pos 173 64.3 4.3 59.5 1.1 2.0 1.0 3.9 -4.2
pair MRmean SLmean pos-pos 173 64.3 4.3 59.5 1.1 2.0 1.0 3.9 -4.2
pair MRmean RSIhist pos-pos 146 54.3 4.2 60.3 1.2 1.9 1.3 3.6 -3.3
pair RSIhist MRmean pos-pos 146 54.3 4.2 60.3 1.2 1.9 1.3 3.6 -3.3
pair RSIhist RSI pos-pos 142 52.8 4.2 60.6 1.2 1.9 0.8 3.5 -5.0
pair RSI RSIhist pos-pos 142 52.8 4.2 60.6 1.2 1.9 0.8 3.5 -5.0
pair RSI MACDhist pos-pos 131 48.7 4.1 61.1 1.1 1.7 0.8 3.6 -5.0
pair MACDhist RSI pos-pos 131 48.7 4.1 61.1 1.1 1.7 0.8 3.6 -5.0
pair RSI SLmean pos-pos 172 63.9 4.1 59.3 1.1 2.0 0.7 3.8 -6.1
pair SLmean RSI pos-pos 172 63.9 4.1 59.3 1.1 2.0 0.7 3.8 -6.1
single RSIhist RSIhist pos-pos 156 58.0 4.1 59.6 1.1 1.7 0.9 3.8 -4.7
pair LWTI MACDhist pos-pos 139 51.7 4.1 60.4 1.1 1.6 0.7 3.8 -5.6
pair MACDhist LWTI pos-pos 139 51.7 4.1 60.4 1.1 1.6 0.7 3.8 -5.6
single MRmean MRmean pos-pos 196 72.9 4.0 58.7 1.0 1.8 1.1 3.8 -3.6
pair RSIhist SLmean pos-neg 35 13.0 4.0 57.1 0.8 1.5 1.0 5.2 -4.1
pair SLmean RSIhist pos-neg 35 13.0 4.0 57.1 0.8 1.5 1.0 5.2 -4.1
single MACDhist MACDhist pos-pos 140 52.0 4.0 60.0 1.1 1.6 0.7 3.8 -6.0
pair RSmean RSI pos-pos 226 84.0 3.9 59.7 1.1 1.8 0.7 3.7 -5.9
pair RSIhist RSI neg-pos 14 5.2 3.9 50.0 0.6 1.1 0.8 6.8 -4.7
pair MACD RSI pos-pos 211 78.4 3.9 59.7 1.1 1.8 0.7 3.7 -5.7
pair RSI RSmean pos-pos 226 84.0 3.9 59.7 1.1 1.8 0.7 3.7 -5.9
pair RSI MACD pos-pos 211 78.4 3.9 59.7 1.1 1.8 0.7 3.7 -5.7
pair RSI RSIhist neg-pos 14 5.2 3.9 50.0 0.6 1.1 0.8 6.8 -4.7
pair LWTI RSmean pos-pos 221 82.2 3.8 59.7 0.9 1.6 0.4 4.0 -9.7
pair RSIhist SLmean pos-pos 145 53.9 3.8 59.3 1.0 1.6 0.8 3.7 -5.0
pair SLmean RSIhist pos-pos 145 53.9 3.8 59.3 1.0 1.6 0.8 3.7 -5.0
pair MRmean RSmean pos-pos 193 71.7 3.8 58.5 1.0 1.7 0.6 3.8 -6.5
pair RSmean MRmean pos-pos 193 71.7 3.8 58.5 1.0 1.7 0.6 3.8 -6.5
pair RSI MRmean pos-pos 190 70.6 3.8 58.4 1.0 1.8 0.6 3.8 -6.4
pair MRmean RSI pos-pos 190 70.6 3.8 58.4 1.0 1.8 0.6 3.8 -6.4
pair RSmean LWTI pos-pos 221 82.2 3.8 59.7 0.9 1.6 0.4 4.0 -9.7
single SLmean SLmean pos-pos 180 66.9 3.8 58.9 1.0 1.6 0.4 4.0 -9.0
pair MACD RSmean pos-pos 213 79.2 3.7 60.1 1.0 1.4 0.3 3.8 -11.0
pair LWTI RSI pos-pos 220 81.8 3.7 60.5 1.0 1.6 0.5 3.9 -7.2
pair RSIhist RSmean pos-pos 151 56.1 3.7 58.3 1.0 1.5 0.5 3.8 -7.7
pair RSmean RSIhist pos-pos 151 56.1 3.7 58.3 1.0 1.5 0.5 3.8 -7.7
pair RSmean MACDhist pos-pos 138 51.3 3.7 59.4 1.0 1.4 0.4 3.7 -9.0
pair MACDhist RSmean pos-pos 138 51.3 3.7 59.4 1.0 1.4 0.4 3.7 -9.0
pair MACD LWTI pos-pos 199 74.0 3.7 60.3 1.0 1.6 0.4 3.8 -8.8
pair LWTI MACD pos-pos 199 74.0 3.7 60.3 1.0 1.6 0.4 3.8 -8.8
single LWTI LWTI pos-pos 238 88.5 3.7 60.1 0.9 1.5 0.3 4.1 -11.5
pair RSI LWTI pos-pos 220 81.8 3.7 60.5 1.0 1.6 0.5 3.9 -7.2
pair RSmean MACD pos-pos 213 79.2 3.7 60.1 1.0 1.4 0.3 3.8 -11.0
single RSI RSI pos-pos 235 87.4 3.6 59.6 1.0 1.6 0.5 3.8 -7.8
pair RSmean SLmean pos-pos 178 66.2 3.6 58.4 0.9 1.5 0.3 3.9 -11.9
pair SLmean RSmean pos-pos 178 66.2 3.6 58.4 0.9 1.5 0.3 3.9 -11.9
pair LWTI MACD neg-pos 39 14.5 3.5 59.0 0.7 1.2 0.5 5.3 -6.6
pair MACD LWTI neg-pos 39 14.5 3.5 59.0 0.7 1.2 0.5 5.3 -6.6
pair RSI LWTI neg-pos 18 6.7 3.4 55.6 0.5 1.0 0.4 6.5 -8.5
single MACD MACD pos-pos 216 80.3 3.4 59.3 0.9 1.3 0.3 3.9 -12.8
pair LWTI RSI neg-pos 18 6.7 3.4 55.6 0.5 1.0 0.4 6.5 -8.5
pair RSIhist MRmean pos-neg 50 18.6 3.3 54.0 0.7 1.5 0.7 4.6 -4.8
pair MRmean RSIhist pos-neg 50 18.6 3.3 54.0 0.7 1.5 0.7 4.6 -4.8
pair benchmark___benchmark_ benchmark-benchmark 269 100.0 3.2 58.4 0.7 1.1 0.2 4.4 -17.1
pair MACDhist LWTI neg-pos 99 36.8 3.2 59.6 0.7 1.3 0.5 4.5 -7.1
pair LWTI MACDhist neg-pos 99 36.8 3.2 59.6 0.7 1.3 0.5 4.5 -7.1
single RSmean RSmean pos-pos 252 93.7 3.2 57.9 0.7 1.1 0.2 4.4 -15.4
pair benchmark___benchmark_ benchmark-benchmark 269 100.0 3.2 58.4 0.7 1.1 0.2 4.4 -17.1
pair MRmean MACDhist pos-neg 62 23.0 3.0 53.2 0.8 1.8 1.0 4.1 -3.1
pair MACDhist MRmean pos-neg 62 23.0 3.0 53.2 0.8 1.8 1.0 4.1 -3.1
pair RSI MACDhist pos-neg 104 38.7 3.0 57.7 0.8 1.4 0.7 4.0 -4.1
pair MACDhist RSI pos-neg 104 38.7 3.0 57.7 0.8 1.4 0.7 4.0 -4.1
pair LWTI RSIhist neg-pos 95 35.3 2.8 58.9 0.6 1.0 0.3 4.7 -8.3
pair RSIhist LWTI neg-pos 95 35.3 2.8 58.9 0.6 1.0 0.3 4.7 -8.3
pair RSIhist RSI pos-neg 93 34.6 2.8 58.1 0.7 1.1 0.7 4.3 -4.0
pair RSI RSIhist pos-neg 93 34.6 2.8 58.1 0.7 1.1 0.7 4.3 -4.0
pair RSmean LWTI neg-pos 17 6.3 2.8 64.7 0.6 0.8 0.8 5.2 -3.7
pair LWTI RSmean neg-pos 17 6.3 2.8 64.7 0.6 0.8 0.8 5.2 -3.7
pair RSI MRmean neg-pos 45 16.7 2.8 64.4 0.7 1.0 1.0 3.9 -2.8
single RSmean RSmean neg-neg 17 6.3 2.8 64.7 0.6 0.8 0.8 5.2 -3.7
pair MRmean RSI neg-pos 45 16.7 2.8 64.4 0.7 1.0 1.0 3.9 -2.8
pair MACD RSI neg-neg 29 10.8 2.7 51.7 0.4 0.7 0.3 7.5 -8.2
pair RSI MACD neg-neg 29 10.8 2.7 51.7 0.4 0.7 0.3 7.5 -8.2
pair MACDhist RSIhist neg-pos 46 17.1 2.7 54.3 0.7 1.2 1.0 3.9 -2.9
pair RSIhist MACDhist neg-pos 46 17.1 2.7 54.3 0.7 1.2 1.0 3.9 -2.9
pair RSmean MACDhist pos-neg 114 42.4 2.6 56.1 0.5 0.8 0.2 5.1 -14.8
pair MACDhist RSmean pos-neg 114 42.4 2.6 56.1 0.5 0.8 0.2 5.1 -14.8
pair MACDhist SLmean neg-neg 70 26.0 2.6 61.4 0.5 0.7 0.2 5.4 -13.7
pair SLmean MACDhist neg-neg 70 26.0 2.6 61.4 0.5 0.7 0.2 5.4 -13.7
pair RSIhist RSmean pos-neg 101 37.5 2.5 57.4 0.5 0.8 0.2 5.2 -15.1
pair MACDhist RSI neg-pos 9 3.3 2.5 44.4 0.4 0.7 0.5 6.4 -4.7
pair RSI MACDhist neg-pos 9 3.3 2.5 44.4 0.4 0.7 0.5 6.4 -4.7
pair RSmean RSIhist pos-neg 101 37.5 2.5 57.4 0.5 0.8 0.2 5.2 -15.1
pair SLmean LWTI neg-neg 17 6.3 2.5 52.9 0.4 0.5 0.3 7.7 -7.4
pair MRmean RSIhist neg-pos 10 3.7 2.5 50.0 0.4 0.7 0.8 7.0 -3.3
pair RSIhist MRmean neg-pos 10 3.7 2.5 50.0 0.4 0.7 0.8 7.0 -3.3
pair LWTI SLmean neg-neg 17 6.3 2.5 52.9 0.4 0.5 0.3 7.7 -7.4
pair MACDhist MACD neg-neg 39 14.5 2.5 59.0 0.4 0.7 0.3 6.3 -8.5
pair MACD MACDhist neg-neg 39 14.5 2.5 59.0 0.4 0.7 0.3 6.3 -8.5
pair MACD RSIhist neg-pos 31 11.5 2.4 51.6 0.5 0.8 0.5 5.5 -4.7
pair RSIhist MACD neg-pos 31 11.5 2.4 51.6 0.5 0.8 0.5 5.5 -4.7
pair RSI SLmean neg-pos 63 23.4 2.3 60.3 0.6 0.8 0.7 3.9 -3.3
pair SLmean RSI neg-pos 63 23.4 2.3 60.3 0.6 0.8 0.7 3.9 -3.3
single MACDhist MACDhist neg-neg 129 48.0 2.3 56.6 0.5 0.7 0.1 5.0 -16.5
pair LWTI RSI pos-neg 15 5.6 2.3 46.7 0.8 2.0 1.8 2.8 -1.3
pair RSI LWTI pos-neg 15 5.6 2.3 46.7 0.8 2.0 1.8 2.8 -1.3
pair SLmean RSmean neg-pos 74 27.5 2.3 56.8 0.5 0.7 0.2 5.4 -12.0
pair RSmean SLmean neg-pos 74 27.5 2.3 56.8 0.5 0.7 0.2 5.4 -12.0
pair MACDhist MACD pos-neg 90 33.5 2.2 55.6 0.5 0.8 0.2 4.4 -10.5
pair MRmean MACD pos-neg 23 8.6 2.2 52.2 0.5 1.0 0.7 4.8 -3.2
single MACD MACD neg-neg 53 19.7 2.2 54.7 0.4 0.6 0.2 6.3 -8.5
pair MACD MACDhist pos-neg 90 33.5 2.2 55.6 0.5 0.8 0.2 4.4 -10.5
pair MACD MRmean pos-neg 23 8.6 2.2 52.2 0.5 1.0 0.7 4.8 -3.2
pair LWTI RSIhist pos-neg 13 4.8 2.1 46.2 0.4 0.7 0.8 5.4 -2.7
pair RSIhist LWTI pos-neg 13 4.8 2.1 46.2 0.4 0.7 0.8 5.4 -2.7
pair MRmean MACD neg-neg 30 11.2 2.1 56.7 0.3 0.6 0.3 7.3 -8.2
pair MACD MRmean neg-neg 30 11.2 2.1 56.7 0.3 0.6 0.3 7.3 -8.2
pair MACDhist RSIhist neg-neg 83 30.9 2.0 57.8 0.4 0.6 0.1 5.6 -16.3
pair RSIhist MACDhist neg-neg 83 30.9 2.0 57.8 0.4 0.6 0.1 5.6 -16.3
pair SLmean MRmean pos-neg 23 8.6 1.9 52.2 0.5 0.8 0.7 3.7 -2.8
pair MRmean SLmean pos-neg 23 8.6 1.9 52.2 0.5 0.8 0.7 3.7 -2.8
pair RSIhist MACD neg-neg 22 8.2 1.9 59.1 0.3 0.5 0.2 7.4 -8.2
pair RSIhist MACD pos-neg 91 33.8 1.9 56.0 0.4 0.7 0.2 4.5 -10.9
pair MACD RSIhist pos-neg 91 33.8 1.9 56.0 0.4 0.7 0.2 4.5 -10.9
pair MACD RSIhist neg-neg 22 8.2 1.9 59.1 0.3 0.5 0.2 7.4 -8.2
single SLmean SLmean neg-neg 89 33.1 1.9 57.3 0.4 0.5 0.1 5.2 -13.7
single RSIhist RSIhist neg-neg 113 42.0 1.9 56.6 0.4 0.6 0.1 5.2 -16.8
pair MACDhist SLmean pos-neg 59 21.9 1.8 50.8 0.4 0.8 0.2 4.6 -8.0
pair SLmean MRmean neg-neg 66 24.5 1.8 59.1 0.3 0.5 0.1 5.7 -13.1
pair MRmean SLmean neg-neg 66 24.5 1.8 59.1 0.3 0.5 0.1 5.7 -13.1
pair SLmean MACDhist pos-neg 59 21.9 1.8 50.8 0.4 0.8 0.2 4.6 -8.0
pair SLmean LWTI neg-pos 72 26.8 1.7 58.3 0.4 0.6 0.1 4.5 -11.5
pair LWTI SLmean neg-pos 72 26.8 1.7 58.3 0.4 0.6 0.1 4.5 -11.5
pair LWTI MRmean neg-pos 52 19.3 1.6 61.5 0.4 0.5 0.1 4.8 -10.6
pair MRmean LWTI neg-pos 52 19.3 1.6 61.5 0.4 0.5 0.1 4.8 -10.6
pair MACDhist MRmean neg-neg 67 24.9 1.6 59.7 0.3 0.4 0.1 5.8 -15.8
pair MRmean MACDhist neg-neg 67 24.9 1.6 59.7 0.3 0.4 0.1 5.8 -15.8
pair RSIhist MACDhist pos-neg 30 11.2 1.5 53.3 0.4 0.6 0.3 3.8 -5.7
pair MACDhist RSIhist pos-neg 30 11.2 1.5 53.3 0.4 0.6 0.3 3.8 -5.7
pair RSI MACD neg-pos 24 8.9 1.4 58.3 0.3 0.5 0.2 4.6 -5.9
pair MACD RSI neg-pos 24 8.9 1.4 58.3 0.3 0.5 0.2 4.6 -5.9
pair MRmean RSmean neg-pos 59 21.9 1.3 55.9 0.2 0.3 0.1 6.0 -14.1
pair MACDhist MACD neg-pos 14 5.2 1.3 42.9 0.2 0.4 0.3 6.4 -4.7
pair MACD MACDhist neg-pos 14 5.2 1.3 42.9 0.2 0.4 0.3 6.4 -4.7
pair RSmean MRmean neg-pos 59 21.9 1.3 55.9 0.2 0.3 0.1 6.0 -14.1
single MRmean MRmean neg-neg 73 27.1 1.0 57.5 0.2 0.3 0.1 5.7 -15.8
pair RSI SLmean neg-neg 26 9.7 0.9 50.0 0.1 0.2 0.1 7.7 -11.0
pair SLmean RSI neg-neg 26 9.7 0.9 50.0 0.1 0.2 0.1 7.7 -11.0
pair SLmean RSIhist neg-neg 78 29.0 0.9 56.4 0.2 0.3 0.1 5.1 -13.7
pair RSIhist SLmean neg-neg 78 29.0 0.9 56.4 0.2 0.3 0.1 5.1 -13.7
pair MRmean RSIhist neg-neg 63 23.4 0.7 58.7 0.2 0.2 0.1 5.6 -15.8
pair RSIhist MRmean neg-neg 63 23.4 0.7 58.7 0.2 0.2 0.1 5.6 -15.8
pair MACD RSmean pos-neg 39 14.5 0.5 46.2 0.1 0.2 0.1 6.7 -8.5
pair RSmean MACD pos-neg 39 14.5 0.5 46.2 0.1 0.2 0.1 6.7 -8.5
pair MACD SLmean neg-pos 59 21.9 0.4 55.9 0.1 0.1 0.0 4.2 -10.4
pair SLmean MACD neg-pos 59 21.9 0.4 55.9 0.1 0.1 0.0 4.2 -10.4
pair MRmean MACD neg-pos 43 16.0 0.2 58.1 0.1 0.1 0.0 4.4 -9.8
pair MACD MRmean neg-pos 43 16.0 0.2 58.1 0.1 0.1 0.0 4.4 -9.8
single RSI RSI neg-neg 34 12.6 0.0 50.0 0.0 0.1 0.0 7.5 -13.8
pair LWTI MACD pos-neg 17 6.3 -0.2 47.1 -0.0 -0.0 -0.1 4.3 -4.4
pair MACD LWTI pos-neg 17 6.3 -0.2 47.1 -0.0 -0.0 -0.1 4.3 -4.4
pair RSmean MRmean neg-neg 14 5.2 -0.4 64.3 -0.1 -0.1 -0.1 4.6 -3.5
pair MRmean RSmean neg-neg 14 5.2 -0.4 64.3 -0.1 -0.1 -0.1 4.6 -3.5
pair RSmean MACDhist neg-neg 15 5.6 -0.5 60.0 -0.1 -0.1 -0.1 4.4 -3.7
pair RSmean SLmean neg-neg 15 5.6 -0.5 60.0 -0.1 -0.1 -0.1 4.4 -3.7
pair SLmean RSmean neg-neg 15 5.6 -0.5 60.0 -0.1 -0.1 -0.1 4.4 -3.7
pair MACDhist RSmean neg-neg 15 5.6 -0.5 60.0 -0.1 -0.1 -0.1 4.4 -3.7
pair MRmean LWTI neg-neg 21 7.8 -0.6 47.6 -0.0 -0.1 -0.1 7.8 -10.2
pair LWTI MRmean neg-neg 21 7.8 -0.6 47.6 -0.0 -0.1 -0.1 7.8 -10.2
pair LWTI MACDhist neg-neg 30 11.2 -0.7 46.7 -0.1 -0.1 -0.1 6.6 -10.8
pair MACDhist LWTI neg-neg 30 11.2 -0.7 46.7 -0.1 -0.1 -0.1 6.6 -10.8
pair RSI MACDhist neg-neg 25 9.3 -0.8 52.0 -0.1 -0.1 -0.1 8.0 -13.8
pair MACDhist RSI neg-neg 25 9.3 -0.8 52.0 -0.1 -0.1 -0.1 8.0 -13.8
single LWTI LWTI neg-neg 31 11.5 -0.8 45.2 -0.1 -0.1 -0.1 6.5 -10.8
pair LWTI RSmean pos-neg 31 11.5 -0.8 45.2 -0.1 -0.1 -0.1 6.5 -10.8
pair RSmean LWTI pos-neg 31 11.5 -0.8 45.2 -0.1 -0.1 -0.1 6.5 -10.8
pair MACDhist SLmean neg-pos 19 7.1 -0.9 42.1 -0.2 -0.2 -0.1 4.4 -8.1
pair SLmean MACDhist neg-pos 19 7.1 -0.9 42.1 -0.2 -0.2 -0.1 4.4 -8.1
pair SLmean MACD pos-neg 23 8.6 -1.2 47.8 -0.2 -0.3 -0.1 5.6 -8.8
pair MACD SLmean pos-neg 23 8.6 -1.2 47.8 -0.2 -0.3 -0.1 5.6 -8.8
pair LWTI MRmean pos-neg 10 3.7 -1.2 40.0 -0.5 -0.8 -0.5 2.3 -2.5
pair MRmean LWTI pos-neg 10 3.7 -1.2 40.0 -0.5 -0.8 -0.5 2.3 -2.5
pair LWTI MACD neg-neg 14 5.2 -1.5 42.9 -0.1 -0.3 -0.2 8.6 -8.2
pair MACD LWTI neg-neg 14 5.2 -1.5 42.9 -0.1 -0.3 -0.2 8.6 -8.2
pair RSI MRmean neg-neg 28 10.4 -1.9 46.4 -0.2 -0.4 -0.1 7.9 -13.8
pair MRmean RSI neg-neg 28 10.4 -1.9 46.4 -0.2 -0.4 -0.1 7.9 -13.8
pair RSI RSIhist neg-neg 20 7.4 -2.6 50.0 -0.3 -0.5 -0.2 8.1 -13.8
pair RSIhist RSI neg-neg 20 7.4 -2.6 50.0 -0.3 -0.5 -0.2 8.1 -13.8
pair RSI SLmean pos-neg 8 3.0 -2.7 50.0 -0.3 -0.7 -0.7 7.6 -4.1
pair SLmean RSI pos-neg 8 3.0 -2.7 50.0 -0.3 -0.7 -0.7 7.6 -4.1
pair RSmean RSI pos-neg 26 9.7 -2.8 42.3 -0.3 -0.6 -0.2 8.1 -13.8
pair RSI RSmean pos-neg 26 9.7 -2.8 42.3 -0.3 -0.6 -0.2 8.1 -13.8
pair LWTI RSIhist neg-neg 18 6.7 -2.9 44.4 -0.4 -0.5 -0.3 7.3 -10.8
pair RSIhist LWTI neg-neg 18 6.7 -2.9 44.4 -0.4 -0.5 -0.3 7.3 -10.8
pair RSmean RSI neg-pos 9 3.3 -3.0 55.6 -0.5 -0.8 -0.7 5.3 -4.4
pair RSI RSmean neg-pos 9 3.3 -3.0 55.6 -0.5 -0.8 -0.7 5.3 -4.4
pair RSI LWTI neg-neg 16 5.9 -3.6 43.8 -0.4 -0.7 -0.3 8.7 -10.2
pair LWTI RSI neg-neg 16 5.9 -3.6 43.8 -0.4 -0.7 -0.3 8.7 -10.2
pair RSmean RSIhist neg-neg 12 4.5 -3.6 50.0 -0.8 -1.0 -0.6 4.4 -6.1
pair RSIhist RSmean neg-neg 12 4.5 -3.6 50.0 -0.8 -1.0 -0.6 4.4 -6.1
pair LWTI MACDhist pos-neg 1 0.4 -4.3 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.4 -4.3 0.0 0.0 0.0 0.0 - 0.0
pair LWTI SLmean pos-neg 14 5.2 -4.7 35.7 -1.0 -1.2 -0.6 4.6 -7.8
pair SLmean LWTI pos-neg 14 5.2 -4.7 35.7 -1.0 -1.2 -0.6 4.6 -7.8
pair MACDhist MRmean neg-pos 6 2.2 -5.2 33.3 -1.0 -1.3 -1.1 5.3 -4.7
pair MRmean MACDhist neg-pos 6 2.2 -5.2 33.3 -1.0 -1.3 -1.1 5.3 -4.7
pair MRmean SLmean neg-pos 7 2.6 -6.7 42.9 -1.1 -1.4 -1.0 6.3 -6.4
pair SLmean MRmean neg-pos 7 2.6 -6.7 42.9 -1.1 -1.4 -1.0 6.3 -6.4
pair MACD RSmean neg-pos 3 1.1 -14.1 0.0 -4.6 -4.6 -6.4 3.3 -2.2
pair RSmean MACD neg-pos 3 1.1 -14.1 0.0 -4.6 -4.6 -6.4 3.3 -2.2
pair MACD RSI pos-neg 5 1.9 -14.4 40.0 -2.1 -3.3 -1.9 7.1 -7.6
pair RSI MACD pos-neg 5 1.9 -14.4 40.0 -2.1 -3.3 -1.9 7.1 -7.6

All Contingency Tables for AGG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 60%
Sharpe 1.11 | Sortino 2.02 | Calmar 1.0
Vol 4% | MDD -4.2%
Months 173M (64%)
CAGR 1.9% | Win 52%
Sharpe 0.54 | Sortino 0.76 | Calmar 0.7
Vol 4% | MDD -2.8%
Months 23M (9%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR -6.7% | Win 43%
Sharpe -1.07 | Sortino -1.43 | Calmar -1.0
Vol 6% | MDD -6.4%
Months 7M (3%)
CAGR 1.8% | Win 59%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 6% | MDD -13.1%
Months 66M (24%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
SLmean
only
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 58%
Sharpe 1.01 | Sortino 1.74 | Calmar 0.6
Vol 4% | MDD -6.5%
Months 193M (72%)
CAGR 18.9% | Win 67%
Sharpe 2.52 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 3M (1%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR 1.3% | Win 56%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 6% | MDD -14.1%
Months 59M (22%)
CAGR -0.4% | Win 64%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 5% | MDD -3.5%
Months 14M (5%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
RSmean
only
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 60%
Sharpe 1.14 | Sortino 1.99 | Calmar 1.0
Vol 4% | MDD -4.2%
Months 173M (64%)
CAGR 2.2% | Win 52%
Sharpe 0.47 | Sortino 1.02 | Calmar 0.7
Vol 5% | MDD -3.2%
Months 23M (9%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR 0.2% | Win 58%
Sharpe 0.06 | Sortino 0.07 | Calmar 0.0
Vol 4% | MDD -9.8%
Months 43M (16%)
CAGR 2.1% | Win 57%
Sharpe 0.33 | Sortino 0.56 | Calmar 0.3
Vol 7% | MDD -8.2%
Months 30M (11%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
MACD
only
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 58%
Sharpe 1.02 | Sortino 1.75 | Calmar 0.6
Vol 4% | MDD -6.4%
Months 190M (71%)
CAGR 9.3% | Win 67%
Sharpe 1.59 | Sortino 4.79 | Calmar 6.2
Vol 6% | MDD -1.5%
Months 6M (2%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR 2.8% | Win 64%
Sharpe 0.72 | Sortino 0.96 | Calmar 1.0
Vol 4% | MDD -2.8%
Months 45M (17%)
CAGR -1.9% | Win 46%
Sharpe -0.20 | Sortino -0.36 | Calmar -0.1
Vol 8% | MDD -13.8%
Months 28M (10%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
RSI
only
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 61%
Sharpe 1.19 | Sortino 1.83 | Calmar 0.9
Vol 4% | MDD -5.0%
Months 134M (50%)
CAGR 3.0% | Win 53%
Sharpe 0.75 | Sortino 1.80 | Calmar 1.0
Vol 4% | MDD -3.1%
Months 62M (23%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR -5.2% | Win 33%
Sharpe -1.00 | Sortino -1.34 | Calmar -1.1
Vol 5% | MDD -4.7%
Months 6M (2%)
CAGR 1.6% | Win 60%
Sharpe 0.29 | Sortino 0.42 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 67M (25%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
MACDhist
only
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 4.2% | Win 60%
Sharpe 1.19 | Sortino 1.93 | Calmar 1.3
Vol 4% | MDD -3.3%
Months 146M (54%)
CAGR 3.3% | Win 54%
Sharpe 0.73 | Sortino 1.53 | Calmar 0.7
Vol 5% | MDD -4.8%
Months 50M (19%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR 2.5% | Win 50%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.8
Vol 7% | MDD -3.3%
Months 10M (4%)
CAGR 0.7% | Win 59%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 63M (23%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 60%
Sharpe 1.10 | Sortino 1.92 | Calmar 1.0
Vol 4% | MDD -4.1%
Months 186M (69%)
CAGR -1.2% | Win 40%
Sharpe -0.51 | Sortino -0.78 | Calmar -0.5
Vol 2% | MDD -2.5%
Months 10M (4%)
CAGR 4.0% | Win 59%
Sharpe 1.04 | Sortino 1.84 | Calmar 1.1
Vol 4% | MDD -3.6%
Months 196M (73%)
MRmean
neg
CAGR 1.6% | Win 62%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.2
Vol 5% | MDD -10.6%
Months 52M (19%)
CAGR -0.6% | Win 48%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 8% | MDD -10.2%
Months 21M (8%)
CAGR 1.0% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 6% | MDD -15.8%
Months 73M (27%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.6% | Win 58%
Sharpe 0.91 | Sortino 1.48 | Calmar 0.3
Vol 4% | MDD -11.9%
Months 178M (66%)
CAGR 31.1% | Win 100%
Sharpe 3.99 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR 2.3% | Win 57%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 5% | MDD -12.0%
Months 74M (28%)
CAGR -0.5% | Win 60%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 4% | MDD -3.7%
Months 15M (6%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
RSmean
only
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 60%
Sharpe 1.24 | Sortino 2.28 | Calmar 0.9
Vol 4% | MDD -5.0%
Months 157M (58%)
CAGR -1.2% | Win 48%
Sharpe -0.20 | Sortino -0.34 | Calmar -0.1
Vol 6% | MDD -8.8%
Months 23M (9%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR 0.4% | Win 56%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 4% | MDD -10.4%
Months 59M (22%)
CAGR 4.8% | Win 60%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.9
Vol 7% | MDD -5.4%
Months 30M (11%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
MACD
only
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.1% | Win 59%
Sharpe 1.10 | Sortino 1.97 | Calmar 0.7
Vol 4% | MDD -6.1%
Months 172M (64%)
CAGR -2.7% | Win 50%
Sharpe -0.33 | Sortino -0.67 | Calmar -0.7
Vol 8% | MDD -4.1%
Months 8M (3%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR 2.3% | Win 60%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.7
Vol 4% | MDD -3.3%
Months 63M (23%)
CAGR 0.9% | Win 50%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.1
Vol 8% | MDD -11.0%
Months 26M (10%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
RSI
only
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.8% | Win 63%
Sharpe 1.29 | Sortino 2.03 | Calmar 0.9
Vol 4% | MDD -5.2%
Months 121M (45%)
CAGR 1.8% | Win 51%
Sharpe 0.42 | Sortino 0.75 | Calmar 0.2
Vol 5% | MDD -8.0%
Months 59M (22%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR -0.9% | Win 42%
Sharpe -0.19 | Sortino -0.25 | Calmar -0.1
Vol 4% | MDD -8.1%
Months 19M (7%)
CAGR 2.6% | Win 61%
Sharpe 0.50 | Sortino 0.71 | Calmar 0.2
Vol 5% | MDD -13.7%
Months 70M (26%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
MACDhist
only
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 59%
Sharpe 1.03 | Sortino 1.60 | Calmar 0.7
Vol 4% | MDD -5.0%
Months 145M (54%)
CAGR 4.0% | Win 57%
Sharpe 0.78 | Sortino 1.49 | Calmar 1.0
Vol 5% | MDD -4.1%
Months 35M (13%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR 8.9% | Win 64%
Sharpe 1.54 | Sortino 2.18 | Calmar 2.5
Vol 6% | MDD -3.6%
Months 11M (4%)
CAGR 0.9% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 78M (29%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 61%
Sharpe 1.17 | Sortino 2.12 | Calmar 1.1
Vol 4% | MDD -4.2%
Months 166M (62%)
CAGR -4.7% | Win 36%
Sharpe -1.02 | Sortino -1.25 | Calmar -0.6
Vol 5% | MDD -7.8%
Months 14M (5%)
CAGR 3.8% | Win 59%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 180M (67%)
SLmean
neg
CAGR 1.7% | Win 58%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 4% | MDD -11.5%
Months 72M (27%)
CAGR 2.5% | Win 53%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.3
Vol 8% | MDD -7.4%
Months 17M (6%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 5% | MDD -13.7%
Months 89M (33%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 60%
Sharpe 0.97 | Sortino 1.45 | Calmar 0.3
Vol 4% | MDD -11.0%
Months 213M (79%)
CAGR 0.5% | Win 46%
Sharpe 0.11 | Sortino 0.20 | Calmar 0.1
Vol 7% | MDD -8.5%
Months 39M (14%)
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
RSmean
neg
CAGR -14.1% | Win 0%
Sharpe -4.60 | Sortino -4.60 | Calmar -6.4
Vol 3% | MDD -2.2%
Months 3M (1%)
CAGR 6.8% | Win 79%
Sharpe 1.36 | Sortino 1.52 | Calmar 2.1
Vol 5% | MDD -3.2%
Months 14M (5%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
MACD
only
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 60%
Sharpe 1.05 | Sortino 1.79 | Calmar 0.7
Vol 4% | MDD -5.9%
Months 226M (84%)
CAGR -2.8% | Win 42%
Sharpe -0.31 | Sortino -0.57 | Calmar -0.2
Vol 8% | MDD -13.8%
Months 26M (10%)
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
RSmean
neg
CAGR -3.0% | Win 56%
Sharpe -0.54 | Sortino -0.76 | Calmar -0.7
Vol 5% | MDD -4.4%
Months 9M (3%)
CAGR 9.7% | Win 75%
Sharpe 1.98 | Sortino 6.83 | Calmar 25.7
Vol 5% | MDD -0.4%
Months 8M (3%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
RSI
only
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 59%
Sharpe 0.99 | Sortino 1.44 | Calmar 0.4
Vol 4% | MDD -9.0%
Months 138M (51%)
CAGR 2.6% | Win 56%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 5% | MDD -14.8%
Months 114M (42%)
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
RSmean
neg
CAGR 31.1% | Win 100%
Sharpe 3.99 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR -0.5% | Win 60%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 4% | MDD -3.7%
Months 15M (6%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
MACDhist
only
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 58%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.5
Vol 4% | MDD -7.7%
Months 151M (56%)
CAGR 2.5% | Win 57%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.2
Vol 5% | MDD -15.1%
Months 101M (38%)
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
RSmean
neg
CAGR 19.9% | Win 100%
Sharpe 4.15 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR -3.6% | Win 50%
Sharpe -0.81 | Sortino -1.02 | Calmar -0.6
Vol 4% | MDD -6.1%
Months 12M (4%)
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 60%
Sharpe 0.94 | Sortino 1.55 | Calmar 0.4
Vol 4% | MDD -9.7%
Months 221M (82%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
CAGR 3.2% | Win 58%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.2
Vol 4% | MDD -15.4%
Months 252M (94%)
RSmean
neg
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
-
CAGR 2.8% | Win 65%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.8
Vol 5% | MDD -3.7%
Months 17M (6%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 60%
Sharpe 1.05 | Sortino 1.77 | Calmar 0.7
Vol 4% | MDD -5.7%
Months 211M (78%)
CAGR -14.4% | Win 40%
Sharpe -2.15 | Sortino -3.27 | Calmar -1.9
Vol 7% | MDD -7.6%
Months 5M (2%)
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
MACD
neg
CAGR 1.4% | Win 58%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 5% | MDD -5.9%
Months 24M (9%)
CAGR 2.7% | Win 52%
Sharpe 0.40 | Sortino 0.72 | Calmar 0.3
Vol 8% | MDD -8.2%
Months 29M (11%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
RSI
only
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.3% | Win 62%
Sharpe 1.24 | Sortino 1.88 | Calmar 0.9
Vol 4% | MDD -5.0%
Months 126M (47%)
CAGR 2.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 4% | MDD -10.5%
Months 90M (34%)
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
MACD
neg
CAGR 1.3% | Win 43%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.3
Vol 6% | MDD -4.7%
Months 14M (5%)
CAGR 2.5% | Win 59%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 39M (14%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
MACDhist
only
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.6% | Win 62%
Sharpe 1.37 | Sortino 2.15 | Calmar 1.4
Vol 3% | MDD -3.3%
Months 125M (46%)
CAGR 1.9% | Win 56%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 4% | MDD -10.9%
Months 91M (34%)
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
MACD
neg
CAGR 2.4% | Win 52%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.5
Vol 6% | MDD -4.7%
Months 31M (12%)
CAGR 1.9% | Win 59%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.2
Vol 7% | MDD -8.2%
Months 22M (8%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.7% | Win 60%
Sharpe 0.98 | Sortino 1.56 | Calmar 0.4
Vol 4% | MDD -8.8%
Months 199M (74%)
CAGR -0.2% | Win 47%
Sharpe -0.03 | Sortino -0.03 | Calmar -0.0
Vol 4% | MDD -4.4%
Months 17M (6%)
CAGR 3.4% | Win 59%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.3
Vol 4% | MDD -12.8%
Months 216M (80%)
MACD
neg
CAGR 3.5% | Win 59%
Sharpe 0.68 | Sortino 1.21 | Calmar 0.5
Vol 5% | MDD -6.6%
Months 39M (14%)
CAGR -1.5% | Win 43%
Sharpe -0.14 | Sortino -0.27 | Calmar -0.2
Vol 9% | MDD -8.2%
Months 14M (5%)
CAGR 2.2% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 53M (20%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.1% | Win 61%
Sharpe 1.14 | Sortino 1.69 | Calmar 0.8
Vol 4% | MDD -5.0%
Months 131M (49%)
CAGR 3.0% | Win 58%
Sharpe 0.76 | Sortino 1.35 | Calmar 0.7
Vol 4% | MDD -4.1%
Months 104M (39%)
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
RSI
neg
CAGR 2.5% | Win 44%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.5
Vol 6% | MDD -4.7%
Months 9M (3%)
CAGR -0.8% | Win 52%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.1
Vol 8% | MDD -13.8%
Months 25M (9%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
MACDhist
only
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.2% | Win 61%
Sharpe 1.20 | Sortino 1.87 | Calmar 0.8
Vol 4% | MDD -5.0%
Months 142M (53%)
CAGR 2.8% | Win 58%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.7
Vol 4% | MDD -4.0%
Months 93M (35%)
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
RSI
neg
CAGR 3.9% | Win 50%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 7% | MDD -4.7%
Months 14M (5%)
CAGR -2.6% | Win 50%
Sharpe -0.28 | Sortino -0.51 | Calmar -0.2
Vol 8% | MDD -13.8%
Months 20M (7%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 60%
Sharpe 0.97 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.2%
Months 220M (82%)
CAGR 2.3% | Win 47%
Sharpe 0.81 | Sortino 1.97 | Calmar 1.8
Vol 3% | MDD -1.3%
Months 15M (6%)
CAGR 3.6% | Win 60%
Sharpe 0.96 | Sortino 1.55 | Calmar 0.5
Vol 4% | MDD -7.8%
Months 235M (87%)
RSI
neg
CAGR 3.4% | Win 56%
Sharpe 0.54 | Sortino 1.01 | Calmar 0.4
Vol 6% | MDD -8.5%
Months 18M (7%)
CAGR -3.6% | Win 44%
Sharpe -0.39 | Sortino -0.71 | Calmar -0.4
Vol 9% | MDD -10.2%
Months 16M (6%)
CAGR 0.0% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 8% | MDD -13.8%
Months 34M (13%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 4.7% | Win 62%
Sharpe 1.23 | Sortino 1.83 | Calmar 1.1
Vol 4% | MDD -4.4%
Months 110M (41%)
CAGR 1.5% | Win 53%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.3
Vol 4% | MDD -5.7%
Months 30M (11%)
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
MACDhist
neg
CAGR 2.7% | Win 54%
Sharpe 0.72 | Sortino 1.22 | Calmar 1.0
Vol 4% | MDD -2.9%
Months 46M (17%)
CAGR 2.0% | Win 58%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 6% | MDD -16.3%
Months 83M (31%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
RSIhist
only
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.1% | Win 60%
Sharpe 1.07 | Sortino 1.59 | Calmar 0.7
Vol 4% | MDD -5.6%
Months 139M (52%)
CAGR -4.3% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 4.0% | Win 60%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.7
Vol 4% | MDD -6.0%
Months 140M (52%)
MACDhist
neg
CAGR 3.2% | Win 60%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 4% | MDD -7.1%
Months 99M (37%)
CAGR -0.7% | Win 47%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 7% | MDD -10.8%
Months 30M (11%)
CAGR 2.3% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 5% | MDD -16.5%
Months 129M (48%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.3% | Win 61%
Sharpe 1.17 | Sortino 1.81 | Calmar 1.0
Vol 4% | MDD -4.2%
Months 143M (53%)
CAGR 2.1% | Win 46%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.8
Vol 5% | MDD -2.7%
Months 13M (5%)
CAGR 4.1% | Win 60%
Sharpe 1.08 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.7%
Months 156M (58%)
RSIhist
neg
CAGR 2.8% | Win 59%
Sharpe 0.61 | Sortino 1.03 | Calmar 0.3
Vol 5% | MDD -8.3%
Months 95M (35%)
CAGR -2.9% | Win 44%
Sharpe -0.36 | Sortino -0.51 | Calmar -0.3
Vol 7% | MDD -10.8%
Months 18M (7%)
CAGR 1.9% | Win 57%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 5% | MDD -16.8%
Months 113M (42%)
LWTI
only
CAGR 3.7% | Win 60%
Sharpe 0.91 | Sortino 1.46 | Calmar 0.3
Vol 4% | MDD -11.5%
Months 238M (88%)
CAGR -0.8% | Win 45%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 6% | MDD -10.8%
Months 31M (12%)