AMLP - Alerian MLP ETF

Signal Pair Analysis

MRmean-SLmean

Best Pair

57.0%

Best CAGR

54

Total Months

6.2%

Avg CAGR

AMLP 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 AMLP

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 SLmean pos-neg 12 6.5 57.0 75.0 2.7 12.6 13.5 17.5 -4.2
pair SLmean MRmean pos-neg 12 6.5 57.0 75.0 2.7 12.6 13.5 17.5 -4.2
pair MACD RSmean neg-pos 3 1.6 45.4 66.7 2.8 0.0 33.9 14.0 -1.3
pair RSmean MACD neg-pos 3 1.6 45.4 66.7 2.8 0.0 33.9 14.0 -1.3
pair SLmean MRmean neg-pos 4 2.2 42.4 75.0 1.8 0.0 7.5 20.8 -5.6
pair MRmean SLmean neg-pos 4 2.2 42.4 75.0 1.8 0.0 7.5 20.8 -5.6
pair MACDhist LWTI pos-neg 5 2.7 31.8 60.0 1.7 3.8 8.8 17.1 -3.6
pair LWTI MACDhist pos-neg 5 2.7 31.8 60.0 1.7 3.8 8.8 17.1 -3.6
pair SLmean RSI neg-pos 33 17.7 28.6 66.7 1.7 4.7 2.8 15.4 -10.1
pair RSI SLmean neg-pos 33 17.7 28.6 66.7 1.7 4.7 2.8 15.4 -10.1
pair LWTI SLmean pos-neg 15 8.1 28.5 73.3 1.6 1.9 2.9 16.8 -9.7
pair SLmean LWTI pos-neg 15 8.1 28.5 73.3 1.6 1.9 2.9 16.8 -9.7
pair RSIhist MRmean pos-neg 32 17.2 25.8 65.6 1.6 5.1 2.8 15.7 -9.1
pair MRmean RSIhist pos-neg 32 17.2 25.8 65.6 1.6 5.1 2.8 15.7 -9.1
pair RSIhist MRmean neg-pos 4 2.2 24.3 75.0 1.0 0.0 3.0 24.3 -8.0
pair MRmean RSIhist neg-pos 4 2.2 24.3 75.0 1.0 0.0 3.0 24.3 -8.0
pair RSI SLmean pos-neg 20 10.8 22.3 75.0 1.4 1.8 2.3 15.7 -9.7
pair SLmean RSI pos-neg 20 10.8 22.3 75.0 1.4 1.8 2.3 15.7 -9.7
pair MACD SLmean neg-pos 22 11.8 22.2 59.1 1.0 1.6 0.8 21.9 -26.4
pair SLmean MACD neg-pos 22 11.8 22.2 59.1 1.0 1.6 0.8 21.9 -26.4
pair RSI RSIhist pos-neg 53 28.5 21.3 64.2 1.4 3.8 1.5 14.7 -14.6
pair RSIhist RSI pos-neg 53 28.5 21.3 64.2 1.4 3.8 1.5 14.7 -14.6
pair RSI RSIhist neg-pos 20 10.8 19.0 75.0 1.1 1.4 1.9 16.3 -9.7
pair RSIhist RSI neg-pos 20 10.8 19.0 75.0 1.1 1.4 1.9 16.3 -9.7
pair RSmean SLmean neg-neg 15 8.1 18.8 73.3 2.1 4.1 4.9 8.4 -3.8
pair SLmean RSmean neg-neg 15 8.1 18.8 73.3 2.1 4.1 4.9 8.4 -3.8
pair RSI RSmean neg-neg 3 1.6 18.7 100.0 3.0 0.0 0.0 5.7 0.0
pair RSmean RSI neg-neg 3 1.6 18.7 100.0 3.0 0.0 0.0 5.7 0.0
pair MRmean RSI pos-neg 16 8.6 17.7 75.0 1.2 1.3 1.3 14.8 -13.5
pair RSI MRmean pos-neg 16 8.6 17.7 75.0 1.2 1.3 1.3 14.8 -13.5
pair MACD RSIhist pos-neg 35 18.8 17.7 54.3 0.9 1.7 0.6 19.5 -30.1
pair RSIhist MACD pos-neg 35 18.8 17.7 54.3 0.9 1.7 0.6 19.5 -30.1
pair RSmean MRmean pos-neg 4 2.2 16.5 50.0 1.3 5.7 10.7 12.0 -1.5
pair MRmean RSmean pos-neg 4 2.2 16.5 50.0 1.3 5.7 10.7 12.0 -1.5
pair RSmean RSIhist neg-neg 16 8.6 16.3 68.8 1.8 4.2 4.3 8.5 -3.8
pair RSIhist RSmean neg-neg 16 8.6 16.3 68.8 1.8 4.2 4.3 8.5 -3.8
pair MACDhist RSmean neg-neg 16 8.6 16.3 68.8 1.8 4.2 4.2 8.5 -3.8
pair RSmean MACDhist neg-neg 16 8.6 16.3 68.8 1.8 4.2 4.2 8.5 -3.8
pair LWTI RSIhist pos-neg 15 8.1 15.4 66.7 0.8 1.2 1.2 18.8 -13.0
pair RSIhist LWTI pos-neg 15 8.1 15.4 66.7 0.8 1.2 1.2 18.8 -13.0
pair RSIhist MACDhist pos-neg 25 13.4 15.0 56.0 0.8 1.7 0.5 20.3 -28.0
pair MACDhist RSIhist pos-neg 25 13.4 15.0 56.0 0.8 1.7 0.5 20.3 -28.0
pair MRmean RSI neg-pos 21 11.3 14.8 61.9 1.1 2.3 2.4 13.4 -6.1
pair RSI MRmean neg-pos 21 11.3 14.8 61.9 1.1 2.3 2.4 13.4 -6.1
pair LWTI MRmean pos-neg 12 6.5 14.7 66.7 0.9 1.1 1.0 17.1 -15.1
pair MRmean LWTI pos-neg 12 6.5 14.7 66.7 0.9 1.1 1.0 17.1 -15.1
single RSmean RSmean neg-neg 18 9.7 14.6 66.7 1.7 3.8 3.8 8.1 -3.8
pair RSmean LWTI neg-pos 18 9.7 14.6 66.7 1.7 3.8 3.8 8.1 -3.8
pair LWTI RSmean neg-pos 18 9.7 14.6 66.7 1.7 3.8 3.8 8.1 -3.8
pair MACDhist MACD pos-pos 62 33.3 14.1 59.7 0.8 1.3 1.0 17.4 -14.5
pair MACD MACDhist pos-pos 62 33.3 14.1 59.7 0.8 1.3 1.0 17.4 -14.5
pair MACD RSI pos-pos 87 46.8 14.0 58.6 0.9 1.4 0.9 16.1 -15.3
pair MACD LWTI pos-pos 87 46.8 14.0 58.6 0.9 1.4 0.9 16.1 -15.3
pair RSI MACD pos-pos 87 46.8 14.0 58.6 0.9 1.4 0.9 16.1 -15.3
pair MRmean RSmean neg-neg 14 7.5 14.0 71.4 1.9 3.1 3.7 7.2 -3.8
pair RSmean MRmean neg-neg 14 7.5 14.0 71.4 1.9 3.1 3.7 7.2 -3.8
pair LWTI MACD pos-pos 87 46.8 14.0 58.6 0.9 1.4 0.9 16.1 -15.3
pair RSmean RSI neg-pos 15 8.1 13.8 60.0 1.6 3.6 3.4 8.6 -4.0
pair MACD MRmean pos-pos 79 42.5 13.8 59.5 0.9 1.3 0.8 15.8 -18.0
pair RSI RSmean neg-pos 15 8.1 13.8 60.0 1.6 3.6 3.4 8.6 -4.0
pair MRmean MACD pos-pos 79 42.5 13.8 59.5 0.9 1.3 0.8 15.8 -18.0
pair RSIhist SLmean pos-neg 23 12.4 13.0 60.9 0.9 2.1 2.3 14.7 -5.6
pair SLmean RSIhist pos-neg 23 12.4 13.0 60.9 0.9 2.1 2.3 14.7 -5.6
pair SLmean LWTI neg-pos 48 25.8 12.7 60.4 0.7 1.1 0.4 19.0 -29.6
pair LWTI SLmean neg-pos 48 25.8 12.7 60.4 0.7 1.1 0.4 19.0 -29.6
pair MACDhist MRmean pos-neg 37 19.9 12.5 67.6 1.0 1.4 1.1 12.3 -11.9
pair MRmean MACDhist pos-neg 37 19.9 12.5 67.6 1.0 1.4 1.1 12.3 -11.9
pair RSIhist MACDhist neg-pos 23 12.4 12.1 69.6 0.8 1.0 1.2 14.9 -9.7
pair MACDhist RSIhist neg-pos 23 12.4 12.1 69.6 0.8 1.0 1.2 14.9 -9.7
pair MACDhist RSI pos-neg 49 26.3 11.9 63.3 1.1 2.1 1.4 10.7 -8.8
pair RSI MACDhist pos-neg 49 26.3 11.9 63.3 1.1 2.1 1.4 10.7 -8.8
pair RSIhist SLmean neg-pos 3 1.6 11.6 66.7 0.5 0.0 1.5 28.8 -8.0
pair SLmean RSIhist neg-pos 3 1.6 11.6 66.7 0.5 0.0 1.5 28.8 -8.0
pair MACDhist SLmean neg-pos 18 9.7 11.3 55.6 0.6 1.2 0.5 21.2 -22.6
pair SLmean MACDhist neg-pos 18 9.7 11.3 55.6 0.6 1.2 0.5 21.2 -22.6
single MRmean MRmean pos-pos 123 66.1 10.6 59.3 0.7 1.1 0.4 15.1 -25.3
single MACD MACD pos-pos 90 48.4 10.5 56.7 0.7 1.0 0.3 16.9 -30.6
pair LWTI RSI pos-pos 128 68.8 10.4 57.8 0.7 1.2 0.3 14.9 -29.4
pair RSI LWTI pos-pos 128 68.8 10.4 57.8 0.7 1.2 0.3 14.9 -29.4
single RSI RSI pos-pos 128 68.8 10.4 57.8 0.7 1.2 0.3 14.9 -29.4
pair MRmean RSmean pos-pos 119 64.0 10.4 59.7 0.7 1.1 0.4 15.3 -25.5
pair RSmean MRmean pos-pos 119 64.0 10.4 59.7 0.7 1.1 0.4 15.3 -25.5
pair SLmean MACDhist pos-neg 36 19.4 10.3 66.7 0.8 1.1 0.8 12.8 -12.7
pair MACDhist SLmean pos-neg 36 19.4 10.3 66.7 0.8 1.1 0.8 12.8 -12.7
pair LWTI RSIhist neg-pos 68 36.6 10.2 58.8 0.6 1.0 0.3 17.6 -38.9
pair RSIhist LWTI neg-pos 68 36.6 10.2 58.8 0.6 1.0 0.3 17.6 -38.9
pair MRmean LWTI pos-pos 111 59.7 10.2 58.6 0.7 1.1 0.6 15.0 -18.6
pair LWTI MRmean pos-pos 111 59.7 10.2 58.6 0.7 1.1 0.6 15.0 -18.6
pair RSmean RSI pos-pos 113 60.8 10.0 57.5 0.7 1.1 0.3 15.6 -29.3
pair RSI RSmean pos-pos 113 60.8 10.0 57.5 0.7 1.1 0.3 15.6 -29.3
pair MACDhist MRmean pos-pos 86 46.2 9.8 55.8 0.7 1.0 0.5 16.3 -19.6
pair MRmean MACDhist pos-pos 86 46.2 9.8 55.8 0.7 1.0 0.5 16.3 -19.6
pair MRmean RSI pos-pos 107 57.5 9.6 57.0 0.7 1.0 0.4 15.2 -24.8
pair RSI MRmean pos-pos 107 57.5 9.6 57.0 0.7 1.0 0.4 15.2 -24.8
pair MACDhist RSI pos-pos 79 42.5 9.5 54.4 0.6 1.0 0.4 17.1 -23.2
pair RSI MACDhist pos-pos 79 42.5 9.5 54.4 0.6 1.0 0.4 17.1 -23.2
pair RSmean MACD pos-pos 87 46.8 9.4 56.3 0.6 0.9 0.3 17.0 -30.6
pair MACD RSmean pos-pos 87 46.8 9.4 56.3 0.6 0.9 0.3 17.0 -30.6
pair MACDhist LWTI neg-pos 56 30.1 9.3 62.5 0.7 0.9 0.5 14.8 -19.6
pair LWTI MACDhist neg-pos 56 30.1 9.3 62.5 0.7 0.9 0.5 14.8 -19.6
pair MACD RSmean neg-neg 15 8.1 9.3 66.7 1.5 2.2 2.4 6.1 -3.8
pair RSmean MACD neg-neg 15 8.1 9.3 66.7 1.5 2.2 2.4 6.1 -3.8
pair MACD SLmean pos-neg 47 25.3 8.5 61.7 0.6 0.9 0.4 14.6 -22.0
pair SLmean MACD pos-neg 47 25.3 8.5 61.7 0.6 0.9 0.4 14.6 -22.0
pair SLmean RSmean pos-pos 112 60.2 7.9 58.9 0.6 0.8 0.3 14.9 -26.6
pair RSmean SLmean pos-pos 112 60.2 7.9 58.9 0.6 0.8 0.3 14.9 -26.6
single SLmean SLmean pos-pos 115 61.8 7.6 58.3 0.6 0.8 0.3 14.7 -26.6
pair RSmean MACDhist pos-pos 95 51.1 7.4 54.7 0.5 0.8 0.2 16.9 -36.0
pair MACDhist RSmean pos-pos 95 51.1 7.4 54.7 0.5 0.8 0.2 16.9 -36.0
single LWTI LWTI pos-pos 148 79.6 7.3 57.4 0.5 0.8 0.2 16.0 -43.6
single MACDhist MACDhist pos-pos 97 52.2 7.2 54.6 0.5 0.8 0.2 16.7 -35.7
pair MACD SLmean pos-pos 68 36.6 6.9 55.9 0.5 0.7 0.3 14.9 -26.6
pair MACD RSIhist neg-pos 40 21.5 6.9 57.5 0.5 0.8 0.3 15.6 -21.7
pair RSIhist MACD neg-pos 40 21.5 6.9 57.5 0.5 0.8 0.3 15.6 -21.7
pair SLmean MACD pos-pos 68 36.6 6.9 55.9 0.5 0.7 0.3 14.9 -26.6
pair RSIhist RSmean pos-pos 93 50.0 6.5 58.1 0.5 0.7 0.3 15.3 -25.5
pair SLmean MRmean pos-pos 111 59.7 6.5 57.7 0.5 0.7 0.2 14.5 -26.6
pair MRmean SLmean pos-pos 111 59.7 6.5 57.7 0.5 0.7 0.2 14.5 -26.6
pair RSmean RSIhist pos-pos 93 50.0 6.5 58.1 0.5 0.7 0.3 15.3 -25.5
pair MACDhist SLmean pos-pos 79 42.5 6.4 54.4 0.5 0.7 0.2 15.6 -26.6
pair SLmean MACDhist pos-pos 79 42.5 6.4 54.4 0.5 0.7 0.2 15.6 -26.6
single RSIhist RSIhist pos-pos 95 51.1 6.4 57.9 0.5 0.7 0.2 15.2 -25.5
pair RSmean LWTI pos-pos 130 69.9 6.3 56.2 0.5 0.7 0.1 16.8 -44.0
pair LWTI RSmean pos-pos 130 69.9 6.3 56.2 0.5 0.7 0.1 16.8 -44.0
pair RSIhist SLmean pos-pos 92 49.5 6.3 57.6 0.5 0.6 0.2 14.8 -25.5
pair SLmean RSIhist pos-pos 92 49.5 6.3 57.6 0.5 0.6 0.2 14.8 -25.5
pair RSIhist MACD pos-pos 55 29.6 6.1 58.2 0.5 0.6 0.2 15.0 -25.5
pair MACD RSIhist pos-pos 55 29.6 6.1 58.2 0.5 0.6 0.2 15.0 -25.5
pair LWTI MACDhist pos-pos 92 49.5 6.0 54.3 0.4 0.7 0.2 16.7 -34.2
pair MACDhist LWTI pos-pos 92 49.5 6.0 54.3 0.4 0.7 0.2 16.7 -34.2
pair MRmean RSIhist pos-pos 91 48.9 5.7 57.1 0.5 0.6 0.2 14.8 -25.5
pair RSIhist MRmean pos-pos 91 48.9 5.7 57.1 0.5 0.6 0.2 14.8 -25.5
pair MACD LWTI neg-neg 35 18.8 5.6 62.9 0.4 0.4 0.1 48.6 -48.5
pair LWTI MACD neg-neg 35 18.8 5.6 62.9 0.4 0.4 0.1 48.6 -48.5
pair benchmark___benchmark_ benchmark-benchmark 186 100.0 5.5 57.5 0.3 0.4 0.1 25.5 -72.8
pair benchmark___benchmark_ benchmark-benchmark 186 100.0 5.5 57.5 0.3 0.4 0.1 25.5 -72.8
pair MRmean MACD pos-neg 44 23.7 5.1 59.1 0.4 0.6 0.2 13.9 -24.9
pair MACD MRmean pos-neg 44 23.7 5.1 59.1 0.4 0.6 0.2 13.9 -24.9
pair LWTI RSIhist pos-pos 80 43.0 4.8 56.2 0.4 0.5 0.2 14.5 -25.5
pair RSIhist LWTI pos-pos 80 43.0 4.8 56.2 0.4 0.5 0.2 14.5 -25.5
pair MACDhist RSIhist pos-pos 72 38.7 4.7 54.2 0.4 0.5 0.2 15.3 -25.5
pair RSIhist MACDhist pos-pos 72 38.7 4.7 54.2 0.4 0.5 0.2 15.3 -25.5
pair LWTI SLmean pos-pos 100 53.8 4.7 56.0 0.4 0.6 0.2 14.3 -26.6
pair SLmean LWTI pos-pos 100 53.8 4.7 56.0 0.4 0.6 0.2 14.3 -26.6
pair RSI SLmean pos-pos 95 51.1 4.7 54.7 0.4 0.6 0.2 14.5 -26.6
pair SLmean RSI pos-pos 95 51.1 4.7 54.7 0.4 0.6 0.2 14.5 -26.6
single RSIhist RSIhist neg-neg 91 48.9 4.5 57.1 0.3 0.4 0.1 33.2 -71.7
single RSmean RSmean pos-pos 168 90.3 4.5 56.5 0.3 0.4 0.1 26.8 -73.0
pair MACDhist MACD neg-neg 61 32.8 3.9 65.6 0.3 0.3 0.1 38.1 -58.6
pair MACD MACDhist neg-neg 61 32.8 3.9 65.6 0.3 0.3 0.1 38.1 -58.6
single MACDhist MACDhist neg-neg 89 47.8 3.6 60.7 0.3 0.3 0.1 32.7 -58.6
pair RSIhist RSI pos-pos 75 40.3 3.3 53.3 0.3 0.4 0.1 14.8 -25.5
pair RSI RSIhist pos-pos 75 40.3 3.3 53.3 0.3 0.4 0.1 14.8 -25.5
pair MACD RSI neg-pos 41 22.0 3.3 56.1 0.3 0.5 0.2 11.9 -19.8
pair RSI MACD neg-pos 41 22.0 3.3 56.1 0.3 0.5 0.2 11.9 -19.8
pair MACD MACDhist pos-neg 28 15.1 2.8 50.0 0.3 0.3 0.1 15.6 -25.3
pair MACDhist MACD pos-neg 28 15.1 2.8 50.0 0.3 0.3 0.1 15.6 -25.3
single SLmean SLmean neg-neg 71 38.2 2.1 56.3 0.2 0.3 0.0 37.0 -66.5
pair RSIhist RSmean pos-neg 75 40.3 2.1 54.7 0.2 0.3 0.0 36.4 -71.8
pair RSmean RSIhist pos-neg 75 40.3 2.1 54.7 0.2 0.3 0.0 36.4 -71.8
pair MACDhist RSmean neg-pos 2 1.1 2.1 50.0 1.1 0.0 0.0 1.8 0.0
pair RSmean MACDhist neg-pos 2 1.1 2.1 50.0 1.1 0.0 0.0 1.8 0.0
pair RSIhist SLmean neg-neg 68 36.6 1.7 55.9 0.2 0.3 0.0 37.5 -70.1
pair SLmean RSIhist neg-neg 68 36.6 1.7 55.9 0.2 0.3 0.0 37.5 -70.1
pair RSmean RSIhist neg-pos 2 1.1 1.5 50.0 0.9 0.0 7.3 1.6 -0.2
pair RSIhist RSmean neg-pos 2 1.1 1.5 50.0 0.9 0.0 7.3 1.6 -0.2
single MACD MACD neg-neg 96 51.6 1.0 58.3 0.2 0.2 0.0 31.7 -66.0
pair RSmean MACDhist pos-neg 73 39.2 1.0 58.9 0.2 0.2 0.0 35.9 -58.6
pair MACDhist RSmean pos-neg 73 39.2 1.0 58.9 0.2 0.2 0.0 35.9 -58.6
pair MACDhist RSIhist neg-neg 66 35.5 0.7 57.6 0.2 0.2 0.0 37.0 -60.6
pair RSIhist MACDhist neg-neg 66 35.5 0.7 57.6 0.2 0.2 0.0 37.0 -60.6
pair RSmean MACD pos-neg 81 43.5 -0.5 56.8 0.2 0.2 -0.0 34.4 -66.2
pair MACD RSmean pos-neg 81 43.5 -0.5 56.8 0.2 0.2 -0.0 34.4 -66.2
pair RSI MACD neg-neg 55 29.6 -0.7 60.0 0.2 0.2 -0.0 40.7 -60.5
pair MACD RSI neg-neg 55 29.6 -0.7 60.0 0.2 0.2 -0.0 40.7 -60.5
pair SLmean MACDhist neg-neg 53 28.5 -0.8 56.6 0.2 0.2 -0.0 41.2 -56.3
pair MACDhist SLmean neg-neg 53 28.5 -0.8 56.6 0.2 0.2 -0.0 41.2 -56.3
pair MRmean LWTI neg-pos 37 19.9 -0.9 54.1 0.0 0.1 -0.0 18.6 -30.7
pair LWTI MRmean neg-pos 37 19.9 -0.9 54.1 0.0 0.1 -0.0 18.6 -30.7
single LWTI LWTI neg-neg 38 20.4 -1.3 57.9 0.2 0.3 -0.0 47.4 -51.3
pair RSI LWTI neg-neg 38 20.4 -1.3 57.9 0.2 0.3 -0.0 47.4 -51.3
pair LWTI RSI neg-neg 38 20.4 -1.3 57.9 0.2 0.3 -0.0 47.4 -51.3
pair RSmean LWTI pos-neg 38 20.4 -1.3 57.9 0.2 0.3 -0.0 47.4 -51.3
pair LWTI RSmean pos-neg 38 20.4 -1.3 57.9 0.2 0.3 -0.0 47.4 -51.3
pair LWTI MACD neg-pos 61 32.8 -1.6 55.7 -0.0 -0.0 -0.0 15.5 -39.0
pair MACD LWTI neg-pos 61 32.8 -1.6 55.7 -0.0 -0.0 -0.0 15.5 -39.0
pair RSmean SLmean neg-pos 56 30.1 -1.9 51.8 0.2 0.2 -0.0 41.5 -66.7
pair SLmean RSmean neg-pos 56 30.1 -1.9 51.8 0.2 0.2 -0.0 41.5 -66.7
pair MACDhist RSI neg-pos 18 9.7 -2.2 55.6 -0.1 -0.1 -0.1 15.0 -18.0
pair RSI MACDhist neg-pos 18 9.7 -2.2 55.6 -0.1 -0.1 -0.1 15.0 -18.0
pair MACD MRmean neg-neg 52 28.0 -2.4 57.7 0.2 0.2 -0.0 41.3 -60.5
pair MRmean MACD neg-neg 52 28.0 -2.4 57.7 0.2 0.2 -0.0 41.3 -60.5
pair MRmean MACDhist neg-neg 52 28.0 -2.4 55.8 0.2 0.2 -0.0 41.6 -58.6
pair MACDhist MRmean neg-neg 52 28.0 -2.4 55.8 0.2 0.2 -0.0 41.6 -58.6
pair RSIhist MACD neg-neg 56 30.1 -3.1 58.9 0.1 0.1 -0.1 39.5 -62.8
pair MACD RSIhist neg-neg 56 30.1 -3.1 58.9 0.1 0.1 -0.1 39.5 -62.8
single MRmean MRmean neg-neg 63 33.9 -3.9 54.0 0.1 0.1 -0.1 38.6 -63.6
pair MACDhist MACD neg-pos 35 18.8 -3.9 45.7 -0.2 -0.3 -0.1 15.0 -34.2
pair MACD MACDhist neg-pos 35 18.8 -3.9 45.7 -0.2 -0.3 -0.1 15.0 -34.2
pair SLmean RSmean pos-neg 3 1.6 -4.3 33.3 -1.4 -1.6 -2.8 3.1 -1.5
pair RSmean SLmean pos-neg 3 1.6 -4.3 33.3 -1.4 -1.6 -2.8 3.1 -1.5
single RSI RSI neg-neg 58 31.2 -4.7 56.9 0.1 0.1 -0.1 40.2 -61.5
pair MACDhist LWTI neg-neg 33 17.7 -5.5 57.6 0.1 0.2 -0.1 50.6 -49.9
pair LWTI MACDhist neg-neg 33 17.7 -5.5 57.6 0.1 0.2 -0.1 50.6 -49.9
pair RSIhist MRmean neg-neg 59 31.7 -5.5 52.5 0.1 0.1 -0.1 39.5 -68.8
pair MRmean RSIhist neg-neg 59 31.7 -5.5 52.5 0.1 0.1 -0.1 39.5 -68.8
pair MACD SLmean neg-neg 49 26.3 -5.8 55.1 0.1 0.1 -0.1 42.2 -58.3
pair SLmean MACD neg-neg 49 26.3 -5.8 55.1 0.1 0.1 -0.1 42.2 -58.3
pair RSI MACDhist neg-neg 40 21.5 -5.8 57.5 0.1 0.2 -0.1 47.6 -58.6
pair MACDhist RSI neg-neg 40 21.5 -5.8 57.5 0.1 0.2 -0.1 47.6 -58.6
pair RSmean RSI pos-neg 55 29.6 -5.8 54.5 0.1 0.1 -0.1 41.3 -61.5
pair RSI RSmean pos-neg 55 29.6 -5.8 54.5 0.1 0.1 -0.1 41.3 -61.5
pair MRmean SLmean neg-neg 59 31.7 -6.4 52.5 0.0 0.1 -0.1 39.6 -65.1
pair SLmean MRmean neg-neg 59 31.7 -6.4 52.5 0.0 0.1 -0.1 39.6 -65.1
pair MRmean LWTI neg-neg 26 14.0 -7.9 53.8 0.1 0.2 -0.2 56.6 -48.4
pair LWTI MRmean neg-neg 26 14.0 -7.9 53.8 0.1 0.2 -0.2 56.6 -48.4
pair MRmean RSmean neg-pos 49 26.3 -8.5 49.0 0.0 0.0 -0.1 43.7 -63.8
pair RSmean MRmean neg-pos 49 26.3 -8.5 49.0 0.0 0.0 -0.1 43.7 -63.8
pair MRmean MACDhist neg-pos 11 5.9 -10.7 45.5 -0.5 -0.9 -0.5 19.8 -22.5
pair MACDhist MRmean neg-pos 11 5.9 -10.7 45.5 -0.5 -0.9 -0.5 19.8 -22.5
pair MACD MRmean neg-pos 11 5.9 -10.8 36.4 -0.4 -0.6 -0.5 23.2 -23.0
pair MRmean MACD neg-pos 11 5.9 -10.8 36.4 -0.4 -0.6 -0.5 23.2 -23.0
pair LWTI RSI neg-pos 20 10.8 -10.8 55.0 -0.4 -0.6 -0.5 21.3 -24.0
pair RSI LWTI neg-pos 20 10.8 -10.8 55.0 -0.4 -0.6 -0.5 21.3 -24.0
pair LWTI RSIhist neg-neg 23 12.4 -10.9 52.2 0.1 0.1 -0.2 59.6 -53.2
pair RSIhist LWTI neg-neg 23 12.4 -10.9 52.2 0.1 0.1 -0.2 59.6 -53.2
pair MRmean RSI neg-neg 42 22.6 -12.1 50.0 -0.0 -0.0 -0.2 46.5 -61.2
pair RSI MRmean neg-neg 42 22.6 -12.1 50.0 -0.0 -0.0 -0.2 46.5 -61.2
pair RSI RSIhist neg-neg 38 20.4 -15.2 47.4 -0.1 -0.1 -0.2 48.4 -66.8
pair RSIhist RSI neg-neg 38 20.4 -15.2 47.4 -0.1 -0.1 -0.2 48.4 -66.8
pair SLmean RSI neg-neg 38 20.4 -16.4 47.4 -0.1 -0.1 -0.3 48.4 -62.8
pair RSI SLmean neg-neg 38 20.4 -16.4 47.4 -0.1 -0.1 -0.3 48.4 -62.8
pair SLmean LWTI neg-neg 23 12.4 -16.9 47.8 0.0 0.0 -0.3 59.8 -52.0
pair LWTI SLmean neg-neg 23 12.4 -16.9 47.8 0.0 0.0 -0.3 59.8 -52.0
pair MACD LWTI pos-neg 3 1.6 -55.1 0.0 -3.4 -3.4 -3.2 22.6 -17.3
pair LWTI MACD pos-neg 3 1.6 -55.1 0.0 -3.4 -3.4 -3.2 22.6 -17.3
pair MACD RSI pos-neg 3 1.6 -55.1 0.0 -3.4 -3.4 -3.2 22.6 -17.3
pair RSI MACD pos-neg 3 1.6 -55.1 0.0 -3.4 -3.4 -3.2 22.6 -17.3

All Contingency Tables for AMLP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 58%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -26.6%
Months 111M (60%)
CAGR 57.0% | Win 75%
Sharpe 2.71 | Sortino 12.57 | Calmar 13.5
Vol 18% | MDD -4.2%
Months 12M (6%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR 42.4% | Win 75%
Sharpe 1.80 | Sortino 0.00 | Calmar 7.5
Vol 21% | MDD -5.6%
Months 4M (2%)
CAGR -6.4% | Win 52%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 40% | MDD -65.1%
Months 59M (32%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
SLmean
only
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 60%
Sharpe 0.73 | Sortino 1.08 | Calmar 0.4
Vol 15% | MDD -25.5%
Months 119M (64%)
CAGR 16.5% | Win 50%
Sharpe 1.33 | Sortino 5.69 | Calmar 10.7
Vol 12% | MDD -1.5%
Months 4M (2%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR -8.5% | Win 49%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 44% | MDD -63.8%
Months 49M (26%)
CAGR 14.0% | Win 71%
Sharpe 1.87 | Sortino 3.13 | Calmar 3.7
Vol 7% | MDD -3.8%
Months 14M (8%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
RSmean
only
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 60%
Sharpe 0.90 | Sortino 1.34 | Calmar 0.8
Vol 16% | MDD -18.0%
Months 79M (42%)
CAGR 5.1% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 14% | MDD -24.9%
Months 44M (24%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR -10.8% | Win 36%
Sharpe -0.38 | Sortino -0.57 | Calmar -0.5
Vol 23% | MDD -23.0%
Months 11M (6%)
CAGR -2.4% | Win 58%
Sharpe 0.16 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -60.5%
Months 52M (28%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
MACD
only
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 57%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 15% | MDD -24.8%
Months 107M (58%)
CAGR 17.7% | Win 75%
Sharpe 1.18 | Sortino 1.26 | Calmar 1.3
Vol 15% | MDD -13.5%
Months 16M (9%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR 14.8% | Win 62%
Sharpe 1.09 | Sortino 2.26 | Calmar 2.4
Vol 13% | MDD -6.1%
Months 21M (11%)
CAGR -12.1% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.2
Vol 46% | MDD -61.2%
Months 42M (23%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
RSI
only
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 56%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.5
Vol 16% | MDD -19.6%
Months 86M (46%)
CAGR 12.5% | Win 68%
Sharpe 1.02 | Sortino 1.41 | Calmar 1.0
Vol 12% | MDD -11.9%
Months 37M (20%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR -10.7% | Win 46%
Sharpe -0.48 | Sortino -0.86 | Calmar -0.5
Vol 20% | MDD -22.5%
Months 11M (6%)
CAGR -2.4% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -58.6%
Months 52M (28%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
MACDhist
only
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 57%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 15% | MDD -25.5%
Months 91M (49%)
CAGR 25.8% | Win 66%
Sharpe 1.55 | Sortino 5.14 | Calmar 2.8
Vol 16% | MDD -9.1%
Months 32M (17%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR 24.3% | Win 75%
Sharpe 0.99 | Sortino 0.00 | Calmar 3.0
Vol 24% | MDD -8.0%
Months 4M (2%)
CAGR -5.5% | Win 52%
Sharpe 0.07 | Sortino 0.08 | Calmar -0.1
Vol 40% | MDD -68.8%
Months 59M (32%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 59%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.5
Vol 15% | MDD -18.6%
Months 111M (60%)
CAGR 14.7% | Win 67%
Sharpe 0.89 | Sortino 1.10 | Calmar 1.0
Vol 17% | MDD -15.1%
Months 12M (6%)
CAGR 10.6% | Win 59%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -25.3%
Months 123M (66%)
MRmean
neg
CAGR -0.9% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 19% | MDD -30.7%
Months 37M (20%)
CAGR -7.9% | Win 54%
Sharpe 0.15 | Sortino 0.19 | Calmar -0.2
Vol 57% | MDD -48.4%
Months 26M (14%)
CAGR -3.9% | Win 54%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -63.6%
Months 63M (34%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 59%
Sharpe 0.59 | Sortino 0.83 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 112M (60%)
CAGR -4.3% | Win 33%
Sharpe -1.40 | Sortino -1.57 | Calmar -2.8
Vol 3% | MDD -1.5%
Months 3M (2%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR -1.9% | Win 52%
Sharpe 0.17 | Sortino 0.22 | Calmar -0.0
Vol 42% | MDD -66.7%
Months 56M (30%)
CAGR 18.8% | Win 73%
Sharpe 2.11 | Sortino 4.11 | Calmar 4.9
Vol 8% | MDD -3.8%
Months 15M (8%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
RSmean
only
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 56%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 68M (37%)
CAGR 8.5% | Win 62%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.4
Vol 15% | MDD -22.0%
Months 47M (25%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR 22.2% | Win 59%
Sharpe 1.03 | Sortino 1.61 | Calmar 0.8
Vol 22% | MDD -26.4%
Months 22M (12%)
CAGR -5.8% | Win 55%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.1
Vol 42% | MDD -58.3%
Months 49M (26%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
MACD
only
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.7% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.2
Vol 14% | MDD -26.6%
Months 95M (51%)
CAGR 22.3% | Win 75%
Sharpe 1.36 | Sortino 1.75 | Calmar 2.3
Vol 16% | MDD -9.7%
Months 20M (11%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR 28.6% | Win 67%
Sharpe 1.72 | Sortino 4.66 | Calmar 2.8
Vol 15% | MDD -10.1%
Months 33M (18%)
CAGR -16.4% | Win 47%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.3
Vol 48% | MDD -62.8%
Months 38M (20%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
RSI
only
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 6.4% | Win 54%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.2
Vol 16% | MDD -26.6%
Months 79M (42%)
CAGR 10.3% | Win 67%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.8
Vol 13% | MDD -12.7%
Months 36M (19%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR 11.3% | Win 56%
Sharpe 0.60 | Sortino 1.25 | Calmar 0.5
Vol 21% | MDD -22.6%
Months 18M (10%)
CAGR -0.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar -0.0
Vol 41% | MDD -56.3%
Months 53M (28%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
MACDhist
only
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 6.3% | Win 58%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -25.5%
Months 92M (50%)
CAGR 13.0% | Win 61%
Sharpe 0.90 | Sortino 2.13 | Calmar 2.3
Vol 15% | MDD -5.6%
Months 23M (12%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR 11.6% | Win 67%
Sharpe 0.48 | Sortino 0.00 | Calmar 1.5
Vol 29% | MDD -8.0%
Months 3M (2%)
CAGR 1.7% | Win 56%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.0
Vol 38% | MDD -70.1%
Months 68M (37%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.7% | Win 56%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 14% | MDD -26.6%
Months 100M (54%)
CAGR 28.5% | Win 73%
Sharpe 1.59 | Sortino 1.93 | Calmar 2.9
Vol 17% | MDD -9.7%
Months 15M (8%)
CAGR 7.6% | Win 58%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 15% | MDD -26.6%
Months 115M (62%)
SLmean
neg
CAGR 12.7% | Win 60%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.4
Vol 19% | MDD -29.6%
Months 48M (26%)
CAGR -16.9% | Win 48%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.3
Vol 60% | MDD -52.0%
Months 23M (12%)
CAGR 2.1% | Win 56%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -66.5%
Months 71M (38%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 56%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 87M (47%)
CAGR -0.5% | Win 57%
Sharpe 0.17 | Sortino 0.20 | Calmar -0.0
Vol 34% | MDD -66.2%
Months 81M (44%)
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
RSmean
neg
CAGR 45.4% | Win 67%
Sharpe 2.75 | Sortino 0.00 | Calmar 33.9
Vol 14% | MDD -1.3%
Months 3M (2%)
CAGR 9.3% | Win 67%
Sharpe 1.48 | Sortino 2.19 | Calmar 2.4
Vol 6% | MDD -3.8%
Months 15M (8%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
MACD
only
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 10.0% | Win 57%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -29.3%
Months 113M (61%)
CAGR -5.8% | Win 55%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.1
Vol 41% | MDD -61.5%
Months 55M (30%)
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
RSmean
neg
CAGR 13.8% | Win 60%
Sharpe 1.55 | Sortino 3.58 | Calmar 3.4
Vol 9% | MDD -4.0%
Months 15M (8%)
CAGR 18.7% | Win 100%
Sharpe 3.05 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 3M (2%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
RSI
only
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 55%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.2
Vol 17% | MDD -36.0%
Months 95M (51%)
CAGR 1.0% | Win 59%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 36% | MDD -58.6%
Months 73M (39%)
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
RSmean
neg
CAGR 2.1% | Win 50%
Sharpe 1.14 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 16.3% | Win 69%
Sharpe 1.83 | Sortino 4.16 | Calmar 4.3
Vol 8% | MDD -3.8%
Months 16M (9%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
MACDhist
only
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.5% | Win 58%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 93M (50%)
CAGR 2.1% | Win 55%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -71.8%
Months 75M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
RSmean
neg
CAGR 1.5% | Win 50%
Sharpe 0.93 | Sortino 0.00 | Calmar 7.3
Vol 2% | MDD -0.2%
Months 2M (1%)
CAGR 16.3% | Win 69%
Sharpe 1.84 | Sortino 4.18 | Calmar 4.3
Vol 8% | MDD -3.8%
Months 16M (9%)
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 56%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.1
Vol 17% | MDD -44.0%
Months 130M (70%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
CAGR 4.5% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -73.0%
Months 168M (90%)
RSmean
neg
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
-
CAGR 14.6% | Win 67%
Sharpe 1.74 | Sortino 3.77 | Calmar 3.8
Vol 8% | MDD -3.8%
Months 18M (10%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 14.0% | Win 59%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 16% | MDD -15.3%
Months 87M (47%)
CAGR -55.1% | Win 0%
Sharpe -3.35 | Sortino -3.35 | Calmar -3.2
Vol 23% | MDD -17.3%
Months 3M (2%)
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
MACD
neg
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.2
Vol 12% | MDD -19.8%
Months 41M (22%)
CAGR -0.7% | Win 60%
Sharpe 0.20 | Sortino 0.23 | Calmar -0.0
Vol 41% | MDD -60.5%
Months 55M (30%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
RSI
only
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 14.1% | Win 60%
Sharpe 0.85 | Sortino 1.27 | Calmar 1.0
Vol 17% | MDD -14.5%
Months 62M (33%)
CAGR 2.8% | Win 50%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 16% | MDD -25.3%
Months 28M (15%)
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
MACD
neg
CAGR -3.9% | Win 46%
Sharpe -0.19 | Sortino -0.30 | Calmar -0.1
Vol 15% | MDD -34.2%
Months 35M (19%)
CAGR 3.9% | Win 66%
Sharpe 0.30 | Sortino 0.32 | Calmar 0.1
Vol 38% | MDD -58.6%
Months 61M (33%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
MACDhist
only
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 58%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.2
Vol 15% | MDD -25.5%
Months 55M (30%)
CAGR 17.7% | Win 54%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.6
Vol 20% | MDD -30.1%
Months 35M (19%)
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
MACD
neg
CAGR 6.9% | Win 57%
Sharpe 0.51 | Sortino 0.75 | Calmar 0.3
Vol 16% | MDD -21.7%
Months 40M (22%)
CAGR -3.1% | Win 59%
Sharpe 0.13 | Sortino 0.15 | Calmar -0.0
Vol 40% | MDD -62.8%
Months 56M (30%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 14.0% | Win 59%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 16% | MDD -15.3%
Months 87M (47%)
CAGR -55.1% | Win 0%
Sharpe -3.35 | Sortino -3.35 | Calmar -3.2
Vol 23% | MDD -17.3%
Months 3M (2%)
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 17% | MDD -30.6%
Months 90M (48%)
MACD
neg
CAGR -1.6% | Win 56%
Sharpe -0.03 | Sortino -0.03 | Calmar -0.0
Vol 16% | MDD -39.0%
Months 61M (33%)
CAGR 5.6% | Win 63%
Sharpe 0.37 | Sortino 0.42 | Calmar 0.1
Vol 49% | MDD -48.5%
Months 35M (19%)
CAGR 1.0% | Win 58%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -66.0%
Months 96M (52%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.5% | Win 54%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -23.2%
Months 79M (42%)
CAGR 11.9% | Win 63%
Sharpe 1.10 | Sortino 2.11 | Calmar 1.4
Vol 11% | MDD -8.8%
Months 49M (26%)
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
RSI
neg
CAGR -2.2% | Win 56%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 15% | MDD -18.0%
Months 18M (10%)
CAGR -5.8% | Win 57%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.1
Vol 48% | MDD -58.6%
Months 40M (22%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
MACDhist
only
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.3% | Win 53%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.1
Vol 15% | MDD -25.5%
Months 75M (40%)
CAGR 21.3% | Win 64%
Sharpe 1.39 | Sortino 3.81 | Calmar 1.5
Vol 15% | MDD -14.6%
Months 53M (28%)
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
RSI
neg
CAGR 19.0% | Win 75%
Sharpe 1.15 | Sortino 1.40 | Calmar 1.9
Vol 16% | MDD -9.7%
Months 20M (11%)
CAGR -15.2% | Win 47%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.2
Vol 48% | MDD -66.8%
Months 38M (20%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
-
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.4
Vol 15% | MDD -29.4%
Months 128M (69%)
RSI
neg
CAGR -10.8% | Win 55%
Sharpe -0.43 | Sortino -0.62 | Calmar -0.5
Vol 21% | MDD -24.0%
Months 20M (11%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
CAGR -4.7% | Win 57%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -61.5%
Months 58M (31%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 4.7% | Win 54%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.2
Vol 15% | MDD -25.5%
Months 72M (39%)
CAGR 15.0% | Win 56%
Sharpe 0.79 | Sortino 1.74 | Calmar 0.5
Vol 20% | MDD -28.0%
Months 25M (13%)
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
MACDhist
neg
CAGR 12.1% | Win 70%
Sharpe 0.85 | Sortino 0.99 | Calmar 1.2
Vol 15% | MDD -9.7%
Months 23M (12%)
CAGR 0.7% | Win 58%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 37% | MDD -60.6%
Months 66M (36%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
RSIhist
only
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.0% | Win 54%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 17% | MDD -34.2%
Months 92M (50%)
CAGR 31.8% | Win 60%
Sharpe 1.70 | Sortino 3.78 | Calmar 8.8
Vol 17% | MDD -3.6%
Months 5M (3%)
CAGR 7.2% | Win 55%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -35.7%
Months 97M (52%)
MACDhist
neg
CAGR 9.3% | Win 62%
Sharpe 0.68 | Sortino 0.88 | Calmar 0.5
Vol 15% | MDD -19.6%
Months 56M (30%)
CAGR -5.5% | Win 58%
Sharpe 0.15 | Sortino 0.19 | Calmar -0.1
Vol 51% | MDD -49.9%
Months 33M (18%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 33% | MDD -58.6%
Months 89M (48%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.8% | Win 56%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 14% | MDD -25.5%
Months 80M (43%)
CAGR 15.4% | Win 67%
Sharpe 0.85 | Sortino 1.20 | Calmar 1.2
Vol 19% | MDD -13.0%
Months 15M (8%)
CAGR 6.4% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 15% | MDD -25.5%
Months 95M (51%)
RSIhist
neg
CAGR 10.2% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.3
Vol 18% | MDD -38.9%
Months 68M (37%)
CAGR -10.9% | Win 52%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.2
Vol 60% | MDD -53.2%
Months 23M (12%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 33% | MDD -71.7%
Months 91M (49%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.6%
Months 148M (80%)
CAGR -1.3% | Win 58%
Sharpe 0.22 | Sortino 0.27 | Calmar -0.0
Vol 47% | MDD -51.3%
Months 38M (20%)