AIQ - Global X Artificial Intelligence & Technology ETF

Signal Pair Analysis

MRmean-RSmean

Best Pair

187.3%

Best CAGR

28

Total Months

21.5%

Avg CAGR

AIQ 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 AIQ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean RSmean pos-neg 1 1.1 187.3 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MRmean pos-neg 1 1.1 187.3 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 1 1.1 187.3 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 1 1.1 187.3 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MACD neg-pos 1 1.1 128.3 100.0 0.0 0.0 0.0 - 0.0
pair MACD MACDhist neg-pos 1 1.1 128.3 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist SLmean neg-pos 5 5.3 124.8 80.0 2.7 0.0 44.8 31.9 -2.8
pair SLmean MACDhist neg-pos 5 5.3 124.8 80.0 2.7 0.0 44.8 31.9 -2.8
pair SLmean MRmean pos-neg 7 7.4 78.9 71.4 1.9 4.2 8.7 34.0 -9.1
pair MRmean SLmean pos-neg 7 7.4 78.9 71.4 1.9 4.2 8.7 34.0 -9.1
pair RSIhist RSI neg-pos 2 2.1 54.9 50.0 1.8 0.0 0.0 25.3 0.0
pair RSI RSIhist neg-pos 2 2.1 54.9 50.0 1.8 0.0 0.0 25.3 0.0
pair LWTI RSIhist pos-neg 4 4.2 49.3 50.0 1.8 9.8 16.0 23.2 -3.1
pair RSIhist LWTI pos-neg 4 4.2 49.3 50.0 1.8 9.8 16.0 23.2 -3.1
pair RSI LWTI pos-neg 2 2.1 44.0 50.0 1.3 0.0 0.0 31.2 0.0
pair LWTI RSI pos-neg 2 2.1 44.0 50.0 1.3 0.0 0.0 31.2 0.0
pair RSmean RSIhist neg-pos 5 5.3 41.7 80.0 1.4 0.0 4.3 26.6 -9.7
pair RSIhist RSmean neg-pos 5 5.3 41.7 80.0 1.4 0.0 4.3 26.6 -9.7
pair RSIhist MRmean neg-pos 5 5.3 41.2 80.0 1.4 0.0 4.2 26.5 -9.7
pair MRmean RSIhist neg-pos 5 5.3 41.2 80.0 1.4 0.0 4.2 26.5 -9.7
pair MACDhist RSIhist neg-pos 26 27.4 39.6 69.2 1.9 3.3 4.1 18.9 -9.7
pair RSIhist MACDhist neg-pos 26 27.4 39.6 69.2 1.9 3.3 4.1 18.9 -9.7
pair RSI LWTI neg-pos 8 8.4 39.2 62.5 1.4 2.3 4.4 27.2 -9.0
pair LWTI RSI neg-pos 8 8.4 39.2 62.5 1.4 2.3 4.4 27.2 -9.0
pair MACD RSI neg-neg 14 14.7 38.1 64.3 1.2 2.2 3.4 29.4 -11.3
pair RSI MACD neg-neg 14 14.7 38.1 64.3 1.2 2.2 3.4 29.4 -11.3
pair MACDhist SLmean pos-neg 22 23.2 36.4 63.6 1.7 3.9 4.3 19.3 -8.5
pair SLmean MACDhist pos-neg 22 23.2 36.4 63.6 1.7 3.9 4.3 19.3 -8.5
pair MRmean MACDhist pos-neg 23 24.2 34.9 65.2 1.6 3.1 2.2 19.4 -15.5
pair MACDhist MRmean pos-neg 23 24.2 34.9 65.2 1.6 3.1 2.2 19.4 -15.5
pair MACD RSIhist neg-pos 19 20.0 34.2 68.4 1.6 2.6 3.5 19.4 -9.7
pair RSIhist MACD neg-pos 19 20.0 34.2 68.4 1.6 2.6 3.5 19.4 -9.7
pair SLmean RSIhist pos-pos 55 57.9 30.5 63.6 1.7 4.0 3.3 16.5 -9.2
pair RSIhist SLmean pos-pos 55 57.9 30.5 63.6 1.7 4.0 3.3 16.5 -9.2
pair LWTI MACD neg-neg 9 9.5 29.4 55.6 1.0 1.9 4.0 30.4 -7.3
pair MACD LWTI neg-neg 9 9.5 29.4 55.6 1.0 1.9 4.0 30.4 -7.3
single RSIhist RSIhist pos-pos 61 64.2 28.4 63.9 1.6 3.2 2.4 17.0 -11.7
pair SLmean MACD pos-neg 15 15.8 28.3 60.0 1.4 2.8 3.3 20.0 -8.5
pair MACD SLmean pos-neg 15 15.8 28.3 60.0 1.4 2.8 3.3 20.0 -8.5
pair SLmean RSI neg-neg 15 15.8 27.9 60.0 1.0 1.9 1.6 29.3 -17.4
pair RSI SLmean neg-neg 15 15.8 27.9 60.0 1.0 1.9 1.6 29.3 -17.4
pair RSI RSIhist pos-pos 59 62.1 27.5 64.4 1.5 3.1 2.4 16.9 -11.7
pair RSIhist RSI pos-pos 59 62.1 27.5 64.4 1.5 3.1 2.4 16.9 -11.7
pair MRmean RSIhist pos-pos 56 58.9 27.3 62.5 1.6 3.8 2.3 16.2 -11.7
pair RSIhist MRmean pos-pos 56 58.9 27.3 62.5 1.6 3.8 2.3 16.2 -11.7
pair RSIhist RSmean pos-pos 56 58.9 27.2 62.5 1.6 3.8 2.3 16.2 -11.7
pair RSmean RSIhist pos-pos 56 58.9 27.2 62.5 1.6 3.8 2.3 16.2 -11.7
pair MACD RSmean pos-neg 21 22.1 27.1 61.9 1.1 2.1 1.8 25.4 -15.5
pair RSmean MACD pos-neg 21 22.1 27.1 61.9 1.1 2.1 1.8 25.4 -15.5
pair RSIhist LWTI pos-pos 57 60.0 27.0 64.9 1.5 2.9 2.3 16.7 -11.7
pair LWTI RSIhist pos-pos 57 60.0 27.0 64.9 1.5 2.9 2.3 16.7 -11.7
pair MACD MRmean pos-pos 52 54.7 26.5 61.5 1.3 2.8 1.7 19.9 -15.4
pair MRmean MACD pos-pos 52 54.7 26.5 61.5 1.3 2.8 1.7 19.9 -15.4
pair RSIhist MACD pos-pos 42 44.2 25.8 61.9 1.5 3.7 2.2 16.0 -11.7
pair MACD RSIhist pos-pos 42 44.2 25.8 61.9 1.5 3.7 2.2 16.0 -11.7
pair MRmean RSI pos-pos 66 69.5 25.7 62.1 1.3 2.6 1.7 19.8 -15.5
pair RSI MRmean pos-pos 66 69.5 25.7 62.1 1.3 2.6 1.7 19.8 -15.5
pair LWTI MRmean pos-pos 64 67.4 25.2 62.5 1.2 2.5 1.6 19.7 -15.5
pair MRmean RSI neg-neg 17 17.9 25.2 58.8 0.9 1.9 1.4 29.2 -17.4
pair RSI MRmean neg-neg 17 17.9 25.2 58.8 0.9 1.9 1.4 29.2 -17.4
pair MRmean LWTI pos-pos 64 67.4 25.2 62.5 1.2 2.5 1.6 19.7 -15.5
single MRmean MRmean pos-pos 67 70.5 25.0 61.2 1.2 2.6 1.6 19.7 -15.5
pair MRmean MACD neg-neg 20 21.1 24.8 70.0 0.9 1.8 1.4 29.2 -18.4
pair MACD MRmean neg-neg 20 21.1 24.8 70.0 0.9 1.8 1.4 29.2 -18.4
pair RSmean RSI neg-neg 6 6.3 24.4 66.7 1.0 1.1 2.7 25.3 -9.0
pair RSI RSmean neg-neg 6 6.3 24.4 66.7 1.0 1.1 2.7 25.3 -9.0
pair RSmean MRmean pos-pos 66 69.5 23.4 60.6 1.2 2.4 1.5 19.6 -15.5
pair MRmean RSmean pos-pos 66 69.5 23.4 60.6 1.2 2.4 1.5 19.6 -15.5
single MACD MACD neg-neg 35 36.8 22.7 65.7 0.9 1.6 1.2 25.2 -18.4
single RSI RSI neg-neg 18 18.9 22.6 55.6 0.8 1.7 1.3 28.5 -17.4
pair MACDhist RSI neg-neg 18 18.9 22.6 55.6 0.8 1.7 1.3 28.5 -17.4
pair RSI MACDhist neg-neg 18 18.9 22.6 55.6 0.8 1.7 1.3 28.5 -17.4
pair RSmean SLmean neg-pos 20 21.1 22.5 60.0 0.8 1.8 0.7 33.0 -33.2
pair SLmean RSmean neg-pos 20 21.1 22.5 60.0 0.8 1.8 0.7 33.0 -33.2
pair RSI RSmean pos-neg 12 12.6 21.7 50.0 0.8 1.8 1.2 31.0 -17.4
pair RSmean RSI pos-neg 12 12.6 21.7 50.0 0.8 1.8 1.2 31.0 -17.4
pair LWTI MRmean pos-neg 3 3.2 20.9 33.3 0.9 4.8 6.8 23.9 -3.1
pair MRmean LWTI pos-neg 3 3.2 20.9 33.3 0.9 4.8 6.8 23.9 -3.1
pair RSIhist MACDhist pos-pos 35 36.8 20.6 60.0 1.3 2.9 1.8 15.4 -11.7
pair MACDhist RSIhist pos-pos 35 36.8 20.6 60.0 1.3 2.9 1.8 15.4 -11.7
pair RSI SLmean pos-pos 59 62.1 20.6 61.0 1.2 2.2 1.3 17.4 -16.2
pair SLmean RSI pos-pos 59 62.1 20.6 61.0 1.2 2.2 1.3 17.4 -16.2
pair MACD MACDhist neg-neg 34 35.8 20.5 64.7 0.9 1.5 1.1 25.4 -18.4
pair MACDhist MACD neg-neg 34 35.8 20.5 64.7 0.9 1.5 1.1 25.4 -18.4
pair LWTI MACD neg-pos 26 27.4 20.5 69.2 0.9 1.4 1.1 23.9 -18.4
pair MACD LWTI neg-pos 26 27.4 20.5 69.2 0.9 1.4 1.1 23.9 -18.4
pair MACDhist MRmean pos-pos 44 46.3 20.1 59.1 1.0 2.1 1.7 20.0 -12.0
pair MRmean MACDhist pos-pos 44 46.3 20.1 59.1 1.0 2.1 1.7 20.0 -12.0
pair RSI MACDhist pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair MACDhist RSI pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair LWTI MACDhist pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair RSmean MACDhist pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair MACDhist LWTI pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
single MACDhist MACDhist pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair MACDhist RSmean pos-pos 45 47.4 20.0 60.0 1.0 2.1 1.7 19.7 -12.0
pair MRmean MACD pos-neg 15 15.8 19.9 60.0 1.0 1.8 1.3 19.7 -15.5
pair SLmean MRmean pos-pos 60 63.2 19.9 60.0 1.1 2.2 1.1 17.3 -17.3
pair MRmean SLmean pos-pos 60 63.2 19.9 60.0 1.1 2.2 1.1 17.3 -17.3
pair MACD MRmean pos-neg 15 15.8 19.9 60.0 1.0 1.8 1.3 19.7 -15.5
pair SLmean LWTI pos-pos 57 60.0 19.8 61.4 1.1 2.1 1.5 17.2 -13.5
pair LWTI SLmean pos-pos 57 60.0 19.8 61.4 1.1 2.1 1.5 17.2 -13.5
pair LWTI RSmean pos-pos 69 72.6 19.4 60.9 1.0 1.7 0.7 21.0 -28.6
single SLmean SLmean pos-pos 62 65.3 19.4 59.7 1.1 2.1 0.9 17.8 -20.9
pair RSmean LWTI pos-pos 69 72.6 19.4 60.9 1.0 1.7 0.7 21.0 -28.6
pair MACD RSI pos-pos 56 58.9 19.2 60.7 0.9 1.7 0.6 20.9 -31.6
pair RSI MACD pos-pos 56 58.9 19.2 60.7 0.9 1.7 0.6 20.9 -31.6
pair RSI RSIhist neg-neg 16 16.8 19.0 56.2 0.7 1.6 1.1 29.5 -17.4
pair RSIhist RSI neg-neg 16 16.8 19.0 56.2 0.7 1.6 1.1 29.5 -17.4
single LWTI LWTI pos-pos 83 87.4 18.9 62.7 0.9 1.5 0.7 21.7 -28.6
single RSmean RSmean pos-pos 81 85.3 18.9 59.3 0.9 1.7 0.5 22.2 -39.6
pair SLmean MACD neg-neg 20 21.1 18.7 70.0 0.7 1.4 1.0 29.1 -18.4
pair MACD SLmean neg-neg 20 21.1 18.7 70.0 0.7 1.4 1.0 29.1 -18.4
pair benchmark___benchmark_ benchmark-benchmark 95 100.0 18.5 61.1 0.9 1.5 0.5 22.6 -39.6
pair benchmark___benchmark_ benchmark-benchmark 95 100.0 18.5 61.1 0.9 1.5 0.5 22.6 -39.6
pair RSI RSmean pos-pos 69 72.6 18.4 60.9 0.9 1.6 0.6 20.6 -29.2
pair RSmean RSI pos-pos 69 72.6 18.4 60.9 0.9 1.6 0.6 20.6 -29.2
pair MACD MACDhist pos-pos 44 46.3 18.3 59.1 0.9 2.0 1.2 19.7 -15.4
pair MACDhist MACD pos-pos 44 46.3 18.3 59.1 0.9 2.0 1.2 19.7 -15.4
pair MACD LWTI pos-pos 57 60.0 18.2 59.6 0.9 1.6 0.6 20.8 -33.2
pair LWTI MACD pos-pos 57 60.0 18.2 59.6 0.9 1.6 0.6 20.8 -33.2
pair MACDhist RSIhist pos-neg 10 10.5 18.2 60.0 0.7 1.6 1.6 31.8 -11.0
pair RSIhist MACDhist pos-neg 10 10.5 18.2 60.0 0.7 1.6 1.6 31.8 -11.0
pair RSIhist SLmean neg-neg 27 28.4 18.2 63.0 0.7 1.4 0.6 31.7 -33.2
pair SLmean RSIhist neg-neg 27 28.4 18.2 63.0 0.7 1.4 0.6 31.7 -33.2
pair SLmean RSmean pos-pos 61 64.2 17.7 59.0 1.0 1.9 0.8 17.6 -20.9
pair RSmean SLmean pos-pos 61 64.2 17.7 59.0 1.0 1.9 0.8 17.6 -20.9
pair LWTI MACDhist neg-pos 38 40.0 17.6 65.8 0.8 1.2 0.8 24.0 -21.1
pair MACDhist LWTI neg-pos 38 40.0 17.6 65.8 0.8 1.2 0.8 24.0 -21.1
single RSI RSI pos-pos 77 81.1 17.6 62.3 0.9 1.4 0.6 21.2 -29.2
pair MACDhist RSmean pos-neg 36 37.9 17.4 58.3 0.8 1.4 0.5 25.2 -33.2
pair RSmean MACDhist pos-neg 36 37.9 17.4 58.3 0.8 1.4 0.5 25.2 -33.2
pair MACDhist MRmean neg-pos 1 1.1 17.4 100.0 0.0 0.0 0.0 - 0.0
pair MRmean MACDhist neg-pos 1 1.1 17.4 100.0 0.0 0.0 0.0 - 0.0
single MACDhist MACDhist neg-neg 50 52.6 17.1 62.0 0.8 1.3 0.5 25.1 -33.2
pair LWTI SLmean neg-pos 26 27.4 17.0 65.4 0.7 1.2 0.7 29.7 -23.3
pair SLmean LWTI neg-pos 26 27.4 17.0 65.4 0.7 1.2 0.7 29.7 -23.3
pair LWTI RSI pos-pos 75 78.9 16.9 62.7 0.8 1.4 0.6 21.2 -26.9
pair RSI LWTI pos-pos 75 78.9 16.9 62.7 0.8 1.4 0.6 21.2 -26.9
single SLmean SLmean neg-neg 33 34.7 16.8 63.6 0.7 1.4 0.5 30.0 -33.2
pair SLmean MACD pos-pos 47 49.5 16.7 59.6 1.0 1.8 1.0 17.2 -16.8
pair MACD SLmean pos-pos 47 49.5 16.7 59.6 1.0 1.8 1.0 17.2 -16.8
pair RSmean MACD neg-neg 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair MACD RSmean neg-neg 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
single RSmean RSmean neg-neg 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair LWTI RSmean neg-pos 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair RSmean LWTI neg-pos 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair RSmean MACDhist neg-neg 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair MACDhist RSmean neg-neg 14 14.7 16.3 71.4 0.7 1.0 0.9 25.8 -18.4
pair LWTI SLmean neg-neg 7 7.4 16.1 57.1 0.6 1.6 1.1 33.5 -14.8
pair SLmean LWTI neg-neg 7 7.4 16.1 57.1 0.6 1.6 1.1 33.5 -14.8
pair MACD RSmean pos-pos 60 63.2 16.1 58.3 0.8 1.5 0.4 21.1 -36.4
pair RSmean MACD pos-pos 60 63.2 16.1 58.3 0.8 1.5 0.4 21.1 -36.4
single MACD MACD pos-pos 60 63.2 16.1 58.3 0.8 1.5 0.4 21.1 -36.4
pair LWTI MACDhist neg-neg 12 12.6 15.6 50.0 0.6 1.4 1.1 29.4 -14.8
pair MACDhist LWTI neg-neg 12 12.6 15.6 50.0 0.6 1.4 1.1 29.4 -14.8
pair RSmean LWTI pos-neg 12 12.6 15.6 50.0 0.6 1.4 1.1 29.4 -14.8
pair LWTI RSmean pos-neg 12 12.6 15.6 50.0 0.6 1.4 1.1 29.4 -14.8
single LWTI LWTI neg-neg 12 12.6 15.6 50.0 0.6 1.4 1.1 29.4 -14.8
pair SLmean LWTI pos-neg 5 5.3 15.0 40.0 0.6 1.6 4.8 26.2 -3.1
pair LWTI SLmean pos-neg 5 5.3 15.0 40.0 0.6 1.6 4.8 26.2 -3.1
pair MACDhist RSI pos-neg 32 33.7 14.2 65.6 0.7 1.0 0.7 23.4 -21.7
pair RSI MACDhist pos-neg 32 33.7 14.2 65.6 0.7 1.0 0.7 23.4 -21.7
pair SLmean MACD neg-pos 13 13.7 14.0 53.8 0.6 1.2 0.5 32.5 -27.5
pair MACD SLmean neg-pos 13 13.7 14.0 53.8 0.6 1.2 0.5 32.5 -27.5
pair RSIhist MRmean pos-neg 11 11.6 13.9 54.5 0.5 1.4 1.5 33.4 -9.5
pair MRmean RSIhist pos-neg 11 11.6 13.9 54.5 0.5 1.4 1.5 33.4 -9.5
pair LWTI MRmean neg-neg 9 9.5 13.9 55.6 0.6 1.7 0.9 32.3 -14.8
pair MRmean LWTI neg-neg 9 9.5 13.9 55.6 0.6 1.7 0.9 32.3 -14.8
pair MACD RSI neg-pos 21 22.1 13.4 66.7 0.7 1.0 0.9 22.4 -15.5
pair RSI MACD neg-pos 21 22.1 13.4 66.7 0.7 1.0 0.9 22.4 -15.5
pair MACDhist SLmean pos-pos 40 42.1 11.0 57.5 0.7 1.2 0.8 16.7 -13.5
pair SLmean MACDhist pos-pos 40 42.1 11.0 57.5 0.7 1.2 0.8 16.7 -13.5
pair LWTI RSI neg-neg 10 10.5 10.7 50.0 0.5 1.1 0.7 30.6 -14.8
pair RSI LWTI neg-neg 10 10.5 10.7 50.0 0.5 1.1 0.7 30.6 -14.8
pair SLmean RSIhist neg-pos 6 6.3 10.7 66.7 0.6 0.7 1.1 22.4 -9.7
pair RSIhist SLmean neg-pos 6 6.3 10.7 66.7 0.6 0.7 1.1 22.4 -9.7
pair RSmean RSI neg-pos 8 8.4 10.6 75.0 0.5 2.3 0.8 27.8 -13.5
pair RSI RSmean neg-pos 8 8.4 10.6 75.0 0.5 2.3 0.8 27.8 -13.5
pair MACD MACDhist pos-neg 16 16.8 10.3 56.2 0.5 0.8 0.4 25.1 -27.5
pair MACDhist MACD pos-neg 16 16.8 10.3 56.2 0.5 0.8 0.4 25.1 -27.5
pair MACD RSIhist neg-neg 16 16.8 10.3 62.5 0.5 1.0 0.6 31.3 -18.4
pair RSIhist MACD neg-neg 16 16.8 10.3 62.5 0.5 1.0 0.6 31.3 -18.4
pair SLmean RSmean neg-neg 13 13.7 8.5 69.2 0.4 0.6 0.5 25.6 -18.4
pair RSmean SLmean neg-neg 13 13.7 8.5 69.2 0.4 0.6 0.5 25.6 -18.4
pair RSmean MRmean neg-neg 13 13.7 8.5 69.2 0.4 0.6 0.5 25.6 -18.4
pair MRmean RSmean neg-neg 13 13.7 8.5 69.2 0.4 0.6 0.5 25.6 -18.4
pair SLmean RSI neg-pos 18 18.9 8.3 66.7 0.4 0.9 0.3 31.2 -29.0
pair RSI SLmean neg-pos 18 18.9 8.3 66.7 0.4 0.9 0.3 31.2 -29.0
pair SLmean MRmean neg-pos 2 2.1 6.6 50.0 0.3 0.0 0.0 39.9 0.0
pair MRmean SLmean neg-pos 2 2.1 6.6 50.0 0.3 0.0 0.0 39.9 0.0
single MRmean MRmean neg-neg 28 29.5 4.3 60.7 0.3 0.6 0.1 28.5 -33.2
pair RSmean RSIhist neg-neg 9 9.5 4.2 66.7 0.3 0.3 0.2 26.4 -18.4
pair RSIhist RSmean neg-neg 9 9.5 4.2 66.7 0.3 0.3 0.2 26.4 -18.4
pair SLmean MRmean neg-neg 26 27.4 4.1 61.5 0.3 0.5 0.1 28.5 -33.2
pair MRmean SLmean neg-neg 26 27.4 4.1 61.5 0.3 0.5 0.1 28.5 -33.2
pair MACDhist SLmean neg-neg 28 29.5 3.9 60.7 0.3 0.5 0.1 28.8 -33.2
pair SLmean MACDhist neg-neg 28 29.5 3.9 60.7 0.3 0.5 0.1 28.8 -33.2
pair MACDhist MRmean neg-neg 27 28.4 3.8 59.3 0.3 0.5 0.1 29.1 -33.2
pair MRmean MACDhist neg-neg 27 28.4 3.8 59.3 0.3 0.5 0.1 29.1 -33.2
pair RSIhist LWTI neg-pos 26 27.4 2.9 57.7 0.2 0.5 0.1 30.0 -28.6
pair LWTI RSIhist neg-pos 26 27.4 2.9 57.7 0.2 0.5 0.1 30.0 -28.6
single RSIhist RSIhist neg-neg 34 35.8 2.7 55.9 0.2 0.5 0.1 30.2 -39.6
pair RSmean RSIhist pos-neg 25 26.3 2.1 52.0 0.2 0.5 0.1 31.9 -39.6
pair RSIhist RSmean pos-neg 25 26.3 2.1 52.0 0.2 0.5 0.1 31.9 -39.6
pair LWTI RSIhist neg-neg 8 8.4 1.8 50.0 0.2 0.6 0.1 32.9 -14.8
pair RSIhist LWTI neg-neg 8 8.4 1.8 50.0 0.2 0.6 0.1 32.9 -14.8
pair MRmean RSmean neg-pos 15 15.8 0.8 53.3 0.2 0.4 0.0 31.7 -33.2
pair RSmean MRmean neg-pos 15 15.8 0.8 53.3 0.2 0.4 0.0 31.7 -33.2
pair LWTI MRmean neg-pos 19 20.0 0.0 63.2 0.1 0.2 0.0 27.4 -21.1
pair MRmean LWTI neg-pos 19 20.0 0.0 63.2 0.1 0.2 0.0 27.4 -21.1
pair SLmean RSI pos-neg 3 3.2 -1.0 33.3 0.1 0.1 -0.8 28.5 -1.3
pair RSI SLmean pos-neg 3 3.2 -1.0 33.3 0.1 0.1 -0.8 28.5 -1.3
pair RSIhist MRmean neg-neg 23 24.2 -2.3 56.5 0.1 0.1 -0.1 29.2 -33.2
pair MRmean RSIhist neg-neg 23 24.2 -2.3 56.5 0.1 0.1 -0.1 29.2 -33.2
pair MACDhist RSIhist neg-neg 24 25.3 -3.2 54.2 0.0 0.1 -0.1 30.0 -33.2
pair RSIhist MACDhist neg-neg 24 25.3 -3.2 54.2 0.0 0.1 -0.1 30.0 -33.2
pair MACD RSIhist pos-neg 18 18.9 -3.7 50.0 0.0 0.0 -0.1 29.9 -34.4
pair RSIhist MACD pos-neg 18 18.9 -3.7 50.0 0.0 0.0 -0.1 29.9 -34.4
pair RSIhist RSI pos-neg 18 18.9 -10.0 55.6 -0.2 -0.4 -0.3 31.1 -38.7
pair RSI RSIhist pos-neg 18 18.9 -10.0 55.6 -0.2 -0.4 -0.3 31.1 -38.7
pair RSI MRmean pos-neg 1 1.1 -14.7 0.0 0.0 0.0 0.0 - 0.0
pair MRmean RSI pos-neg 1 1.1 -14.7 0.0 0.0 0.0 0.0 - 0.0
pair LWTI MACD pos-neg 3 3.2 -17.4 33.3 -0.6 -1.6 -4.4 29.2 -4.0
pair MACD LWTI pos-neg 3 3.2 -17.4 33.3 -0.6 -1.6 -4.4 29.2 -4.0
pair RSI MACD pos-neg 4 4.2 -19.4 25.0 -0.8 -1.9 -2.4 23.9 -8.1
pair MACD RSI pos-neg 4 4.2 -19.4 25.0 -0.8 -1.9 -2.4 23.9 -8.1
pair RSI MRmean neg-pos 11 11.6 -21.3 63.6 -0.8 -2.0 -0.9 26.6 -24.8
pair MRmean RSI neg-pos 11 11.6 -21.3 63.6 -0.8 -2.0 -0.9 26.6 -24.8
pair MACD MRmean neg-pos 8 8.4 -33.4 37.5 -1.6 -2.5 -1.5 23.3 -22.7
pair MRmean MACD neg-pos 8 8.4 -33.4 37.5 -1.6 -2.5 -1.5 23.3 -22.7
pair RSIhist SLmean pos-neg 7 7.4 -40.4 28.6 -3.1 -4.1 -1.5 15.8 -26.3
pair SLmean RSIhist pos-neg 7 7.4 -40.4 28.6 -3.1 -4.1 -1.5 15.8 -26.3

All Contingency Tables for AIQ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 19.9% | Win 60%
Sharpe 1.14 | Sortino 2.18 | Calmar 1.1
Vol 17% | MDD -17.3%
Months 60M (63%)
CAGR 78.9% | Win 71%
Sharpe 1.89 | Sortino 4.17 | Calmar 8.7
Vol 34% | MDD -9.1%
Months 7M (7%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR 6.6% | Win 50%
Sharpe 0.26 | Sortino 0.00 | Calmar 0.0
Vol 40% | MDD 0.0%
Months 2M (2%)
CAGR 4.1% | Win 62%
Sharpe 0.28 | Sortino 0.52 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 26M (27%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
SLmean
only
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 23.4% | Win 61%
Sharpe 1.18 | Sortino 2.43 | Calmar 1.5
Vol 20% | MDD -15.5%
Months 66M (70%)
CAGR 187.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR 0.8% | Win 53%
Sharpe 0.17 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -33.2%
Months 15M (16%)
CAGR 8.5% | Win 69%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.5
Vol 26% | MDD -18.4%
Months 13M (14%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
RSmean
only
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 26.5% | Win 62%
Sharpe 1.29 | Sortino 2.80 | Calmar 1.7
Vol 20% | MDD -15.4%
Months 52M (55%)
CAGR 19.9% | Win 60%
Sharpe 1.02 | Sortino 1.77 | Calmar 1.3
Vol 20% | MDD -15.5%
Months 15M (16%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR -33.4% | Win 38%
Sharpe -1.61 | Sortino -2.45 | Calmar -1.5
Vol 23% | MDD -22.7%
Months 8M (8%)
CAGR 24.8% | Win 70%
Sharpe 0.91 | Sortino 1.77 | Calmar 1.4
Vol 29% | MDD -18.4%
Months 20M (21%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
MACD
only
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 25.7% | Win 62%
Sharpe 1.26 | Sortino 2.61 | Calmar 1.7
Vol 20% | MDD -15.5%
Months 66M (70%)
CAGR -14.7% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR -21.3% | Win 64%
Sharpe -0.77 | Sortino -1.97 | Calmar -0.9
Vol 27% | MDD -24.8%
Months 11M (12%)
CAGR 25.2% | Win 59%
Sharpe 0.91 | Sortino 1.95 | Calmar 1.4
Vol 29% | MDD -17.4%
Months 17M (18%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
RSI
only
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 20.1% | Win 59%
Sharpe 1.02 | Sortino 2.14 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 44M (46%)
CAGR 34.9% | Win 65%
Sharpe 1.65 | Sortino 3.15 | Calmar 2.3
Vol 19% | MDD -15.5%
Months 23M (24%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR 17.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 3.8% | Win 59%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 29% | MDD -33.2%
Months 27M (28%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
MACDhist
only
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 27.3% | Win 62%
Sharpe 1.58 | Sortino 3.76 | Calmar 2.3
Vol 16% | MDD -11.7%
Months 56M (59%)
CAGR 13.9% | Win 55%
Sharpe 0.54 | Sortino 1.41 | Calmar 1.5
Vol 33% | MDD -9.5%
Months 11M (12%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR 41.2% | Win 80%
Sharpe 1.43 | Sortino 0.00 | Calmar 4.2
Vol 26% | MDD -9.7%
Months 5M (5%)
CAGR -2.3% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.1
Vol 29% | MDD -33.2%
Months 23M (24%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 25.2% | Win 62%
Sharpe 1.25 | Sortino 2.51 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 64M (67%)
CAGR 20.9% | Win 33%
Sharpe 0.88 | Sortino 4.83 | Calmar 6.8
Vol 24% | MDD -3.1%
Months 3M (3%)
CAGR 25.0% | Win 61%
Sharpe 1.24 | Sortino 2.56 | Calmar 1.6
Vol 20% | MDD -15.5%
Months 67M (70%)
MRmean
neg
CAGR 0.0% | Win 63%
Sharpe 0.13 | Sortino 0.21 | Calmar 0.0
Vol 27% | MDD -21.1%
Months 19M (20%)
CAGR 13.9% | Win 56%
Sharpe 0.55 | Sortino 1.72 | Calmar 0.9
Vol 32% | MDD -14.8%
Months 9M (10%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -33.2%
Months 28M (30%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 17.7% | Win 59%
Sharpe 1.02 | Sortino 1.94 | Calmar 0.8
Vol 18% | MDD -20.9%
Months 61M (64%)
CAGR 187.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 22.5% | Win 60%
Sharpe 0.77 | Sortino 1.80 | Calmar 0.7
Vol 33% | MDD -33.2%
Months 20M (21%)
CAGR 8.5% | Win 69%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.5
Vol 26% | MDD -18.4%
Months 13M (14%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
RSmean
only
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 16.7% | Win 60%
Sharpe 0.99 | Sortino 1.81 | Calmar 1.0
Vol 17% | MDD -16.8%
Months 47M (50%)
CAGR 28.3% | Win 60%
Sharpe 1.35 | Sortino 2.81 | Calmar 3.3
Vol 20% | MDD -8.5%
Months 15M (16%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 14.0% | Win 54%
Sharpe 0.55 | Sortino 1.19 | Calmar 0.5
Vol 32% | MDD -27.5%
Months 13M (14%)
CAGR 18.7% | Win 70%
Sharpe 0.73 | Sortino 1.43 | Calmar 1.0
Vol 29% | MDD -18.4%
Months 20M (21%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
MACD
only
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 20.6% | Win 61%
Sharpe 1.17 | Sortino 2.23 | Calmar 1.3
Vol 17% | MDD -16.2%
Months 59M (62%)
CAGR -1.0% | Win 33%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.8
Vol 28% | MDD -1.3%
Months 3M (3%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 8.3% | Win 67%
Sharpe 0.40 | Sortino 0.93 | Calmar 0.3
Vol 31% | MDD -29.0%
Months 18M (19%)
CAGR 27.9% | Win 60%
Sharpe 0.98 | Sortino 1.94 | Calmar 1.6
Vol 29% | MDD -17.4%
Months 15M (16%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
RSI
only
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 57%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.8
Vol 17% | MDD -13.5%
Months 40M (42%)
CAGR 36.4% | Win 64%
Sharpe 1.72 | Sortino 3.85 | Calmar 4.3
Vol 19% | MDD -8.5%
Months 22M (23%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 124.8% | Win 80%
Sharpe 2.74 | Sortino 0.00 | Calmar 44.8
Vol 32% | MDD -2.8%
Months 5M (5%)
CAGR 3.9% | Win 61%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 29% | MDD -33.2%
Months 28M (30%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
MACDhist
only
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 30.5% | Win 64%
Sharpe 1.71 | Sortino 4.03 | Calmar 3.3
Vol 16% | MDD -9.2%
Months 55M (58%)
CAGR -40.4% | Win 29%
Sharpe -3.14 | Sortino -4.12 | Calmar -1.5
Vol 16% | MDD -26.3%
Months 7M (7%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 10.7% | Win 67%
Sharpe 0.55 | Sortino 0.72 | Calmar 1.1
Vol 22% | MDD -9.7%
Months 6M (6%)
CAGR 18.2% | Win 63%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 32% | MDD -33.2%
Months 27M (28%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 19.8% | Win 61%
Sharpe 1.14 | Sortino 2.11 | Calmar 1.5
Vol 17% | MDD -13.5%
Months 57M (60%)
CAGR 15.0% | Win 40%
Sharpe 0.64 | Sortino 1.58 | Calmar 4.8
Vol 26% | MDD -3.1%
Months 5M (5%)
CAGR 19.4% | Win 60%
Sharpe 1.09 | Sortino 2.10 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 62M (65%)
SLmean
neg
CAGR 17.0% | Win 65%
Sharpe 0.67 | Sortino 1.24 | Calmar 0.7
Vol 30% | MDD -23.3%
Months 26M (27%)
CAGR 16.1% | Win 57%
Sharpe 0.59 | Sortino 1.57 | Calmar 1.1
Vol 34% | MDD -14.8%
Months 7M (7%)
CAGR 16.8% | Win 64%
Sharpe 0.67 | Sortino 1.35 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 33M (35%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
CAGR 27.1% | Win 62%
Sharpe 1.07 | Sortino 2.07 | Calmar 1.8
Vol 25% | MDD -15.5%
Months 21M (22%)
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
RSmean
neg		-
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
MACD
only
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 18.4% | Win 61%
Sharpe 0.93 | Sortino 1.65 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 69M (73%)
CAGR 21.7% | Win 50%
Sharpe 0.78 | Sortino 1.83 | Calmar 1.2
Vol 31% | MDD -17.4%
Months 12M (13%)
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
RSmean
neg
CAGR 10.6% | Win 75%
Sharpe 0.49 | Sortino 2.31 | Calmar 0.8
Vol 28% | MDD -13.5%
Months 8M (8%)
CAGR 24.4% | Win 67%
Sharpe 0.97 | Sortino 1.14 | Calmar 2.7
Vol 25% | MDD -9.0%
Months 6M (6%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
RSI
only
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.4% | Win 58%
Sharpe 0.76 | Sortino 1.41 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 36M (38%)
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
RSmean
neg		-
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
MACDhist
only
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 27.2% | Win 62%
Sharpe 1.58 | Sortino 3.75 | Calmar 2.3
Vol 16% | MDD -11.7%
Months 56M (59%)
CAGR 2.1% | Win 52%
Sharpe 0.21 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -39.6%
Months 25M (26%)
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
RSmean
neg
CAGR 41.7% | Win 80%
Sharpe 1.44 | Sortino 0.00 | Calmar 4.3
Vol 27% | MDD -9.7%
Months 5M (5%)
CAGR 4.2% | Win 67%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.2
Vol 26% | MDD -18.4%
Months 9M (10%)
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 19.4% | Win 61%
Sharpe 0.96 | Sortino 1.72 | Calmar 0.7
Vol 21% | MDD -28.6%
Months 69M (73%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
CAGR 18.9% | Win 59%
Sharpe 0.89 | Sortino 1.67 | Calmar 0.5
Vol 22% | MDD -39.6%
Months 81M (85%)
RSmean
neg
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
-
CAGR 16.3% | Win 71%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.9
Vol 26% | MDD -18.4%
Months 14M (15%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 19.2% | Win 61%
Sharpe 0.94 | Sortino 1.67 | Calmar 0.6
Vol 21% | MDD -31.6%
Months 56M (59%)
CAGR -19.4% | Win 25%
Sharpe -0.81 | Sortino -1.87 | Calmar -2.4
Vol 24% | MDD -8.1%
Months 4M (4%)
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
MACD
neg
CAGR 13.4% | Win 67%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.9
Vol 22% | MDD -15.5%
Months 21M (22%)
CAGR 38.1% | Win 64%
Sharpe 1.25 | Sortino 2.19 | Calmar 3.4
Vol 29% | MDD -11.3%
Months 14M (15%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
RSI
only
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 18.3% | Win 59%
Sharpe 0.95 | Sortino 1.98 | Calmar 1.2
Vol 20% | MDD -15.4%
Months 44M (46%)
CAGR 10.3% | Win 56%
Sharpe 0.51 | Sortino 0.85 | Calmar 0.4
Vol 25% | MDD -27.5%
Months 16M (17%)
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
MACD
neg
CAGR 128.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 20.5% | Win 65%
Sharpe 0.86 | Sortino 1.49 | Calmar 1.1
Vol 25% | MDD -18.4%
Months 34M (36%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
MACDhist
only
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 25.8% | Win 62%
Sharpe 1.53 | Sortino 3.73 | Calmar 2.2
Vol 16% | MDD -11.7%
Months 42M (44%)
CAGR -3.7% | Win 50%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.1
Vol 30% | MDD -34.4%
Months 18M (19%)
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
MACD
neg
CAGR 34.2% | Win 68%
Sharpe 1.63 | Sortino 2.62 | Calmar 3.5
Vol 19% | MDD -9.7%
Months 19M (20%)
CAGR 10.3% | Win 62%
Sharpe 0.46 | Sortino 0.97 | Calmar 0.6
Vol 31% | MDD -18.4%
Months 16M (17%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 18.2% | Win 60%
Sharpe 0.91 | Sortino 1.63 | Calmar 0.5
Vol 21% | MDD -33.2%
Months 57M (60%)
CAGR -17.4% | Win 33%
Sharpe -0.56 | Sortino -1.60 | Calmar -4.4
Vol 29% | MDD -4.0%
Months 3M (3%)
CAGR 16.1% | Win 58%
Sharpe 0.81 | Sortino 1.50 | Calmar 0.4
Vol 21% | MDD -36.4%
Months 60M (63%)
MACD
neg
CAGR 20.5% | Win 69%
Sharpe 0.90 | Sortino 1.40 | Calmar 1.1
Vol 24% | MDD -18.4%
Months 26M (27%)
CAGR 29.4% | Win 56%
Sharpe 0.99 | Sortino 1.95 | Calmar 4.0
Vol 30% | MDD -7.3%
Months 9M (10%)
CAGR 22.7% | Win 66%
Sharpe 0.94 | Sortino 1.61 | Calmar 1.2
Vol 25% | MDD -18.4%
Months 35M (37%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 14.2% | Win 66%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.7
Vol 23% | MDD -21.7%
Months 32M (34%)
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
RSI
neg		-
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
MACDhist
only
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 27.5% | Win 64%
Sharpe 1.54 | Sortino 3.07 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 59M (62%)
CAGR -10.0% | Win 56%
Sharpe -0.19 | Sortino -0.42 | Calmar -0.3
Vol 31% | MDD -38.7%
Months 18M (19%)
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
RSI
neg
CAGR 54.9% | Win 50%
Sharpe 1.82 | Sortino 0.00 | Calmar 0.0
Vol 25% | MDD 0.0%
Months 2M (2%)
CAGR 19.0% | Win 56%
Sharpe 0.73 | Sortino 1.57 | Calmar 1.1
Vol 30% | MDD -17.4%
Months 16M (17%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 16.9% | Win 63%
Sharpe 0.85 | Sortino 1.39 | Calmar 0.6
Vol 21% | MDD -26.9%
Months 75M (79%)
CAGR 44.0% | Win 50%
Sharpe 1.26 | Sortino 0.00 | Calmar 0.0
Vol 31% | MDD 0.0%
Months 2M (2%)
CAGR 17.6% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.6
Vol 21% | MDD -29.2%
Months 77M (81%)
RSI
neg
CAGR 39.2% | Win 62%
Sharpe 1.35 | Sortino 2.31 | Calmar 4.4
Vol 27% | MDD -9.0%
Months 8M (8%)
CAGR 10.7% | Win 50%
Sharpe 0.47 | Sortino 1.08 | Calmar 0.7
Vol 31% | MDD -14.8%
Months 10M (10%)
CAGR 22.6% | Win 56%
Sharpe 0.85 | Sortino 1.74 | Calmar 1.3
Vol 28% | MDD -17.4%
Months 18M (19%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 20.6% | Win 60%
Sharpe 1.30 | Sortino 2.89 | Calmar 1.8
Vol 15% | MDD -11.7%
Months 35M (37%)
CAGR 18.2% | Win 60%
Sharpe 0.67 | Sortino 1.55 | Calmar 1.6
Vol 32% | MDD -11.0%
Months 10M (10%)
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
MACDhist
neg
CAGR 39.6% | Win 69%
Sharpe 1.88 | Sortino 3.30 | Calmar 4.1
Vol 19% | MDD -9.7%
Months 26M (27%)
CAGR -3.2% | Win 54%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 30% | MDD -33.2%
Months 24M (25%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
RSIhist
only
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
-
CAGR 20.0% | Win 60%
Sharpe 1.03 | Sortino 2.13 | Calmar 1.7
Vol 20% | MDD -12.0%
Months 45M (47%)
MACDhist
neg
CAGR 17.6% | Win 66%
Sharpe 0.80 | Sortino 1.22 | Calmar 0.8
Vol 24% | MDD -21.1%
Months 38M (40%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
CAGR 17.1% | Win 62%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 25% | MDD -33.2%
Months 50M (53%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 27.0% | Win 65%
Sharpe 1.53 | Sortino 2.94 | Calmar 2.3
Vol 17% | MDD -11.7%
Months 57M (60%)
CAGR 49.3% | Win 50%
Sharpe 1.84 | Sortino 9.83 | Calmar 16.0
Vol 23% | MDD -3.1%
Months 4M (4%)
CAGR 28.4% | Win 64%
Sharpe 1.57 | Sortino 3.18 | Calmar 2.4
Vol 17% | MDD -11.7%
Months 61M (64%)
RSIhist
neg
CAGR 2.9% | Win 58%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -28.6%
Months 26M (27%)
CAGR 1.8% | Win 50%
Sharpe 0.20 | Sortino 0.62 | Calmar 0.1
Vol 33% | MDD -14.8%
Months 8M (8%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 30% | MDD -39.6%
Months 34M (36%)
LWTI
only
CAGR 18.9% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 22% | MDD -28.6%
Months 83M (87%)
CAGR 15.6% | Win 50%
Sharpe 0.63 | Sortino 1.45 | Calmar 1.1
Vol 29% | MDD -14.8%
Months 12M (13%)