ARGT - Global X MSCI Argentina ETF

Signal Pair Analysis

RSIhist-LWTI

Best Pair

104.2%

Best CAGR

52

Total Months

12.0%

Avg CAGR

ARGT 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 ARGT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist LWTI neg-neg 12 6.6 104.2 83.3 2.7 13.8 14.0 28.7 -7.4
pair LWTI RSIhist neg-neg 12 6.6 104.2 83.3 2.7 13.8 14.0 28.7 -7.4
pair MACDhist MRmean neg-pos 7 3.8 95.3 57.1 1.7 6.5 11.1 45.5 -8.6
pair MRmean MACDhist neg-pos 7 3.8 95.3 57.1 1.7 6.5 11.1 45.5 -8.6
pair LWTI SLmean neg-neg 16 8.8 77.5 81.2 2.4 9.0 10.4 26.3 -7.4
pair SLmean LWTI neg-neg 16 8.8 77.5 81.2 2.4 9.0 10.4 26.3 -7.4
pair LWTI MRmean neg-neg 20 11.0 66.1 70.0 2.1 6.9 8.8 26.3 -7.6
pair MRmean LWTI neg-neg 20 11.0 66.1 70.0 2.1 6.9 8.8 26.3 -7.6
pair SLmean RSI pos-neg 14 7.7 65.2 71.4 1.8 3.9 3.2 31.3 -20.2
pair RSI SLmean pos-neg 14 7.7 65.2 71.4 1.8 3.9 3.2 31.3 -20.2
pair LWTI RSI neg-neg 23 12.6 60.5 73.9 1.9 4.9 5.9 27.1 -10.2
pair RSI LWTI neg-neg 23 12.6 60.5 73.9 1.9 4.9 5.9 27.1 -10.2
pair MACD LWTI neg-neg 24 13.2 54.8 70.8 1.8 4.2 4.4 26.6 -12.4
pair LWTI MACD neg-neg 24 13.2 54.8 70.8 1.8 4.2 4.4 26.6 -12.4
pair LWTI MACDhist neg-neg 28 15.4 53.9 67.9 1.7 4.9 5.3 27.2 -10.2
pair MACDhist LWTI neg-neg 28 15.4 53.9 67.9 1.7 4.9 5.3 27.2 -10.2
pair RSIhist RSmean neg-pos 6 3.3 49.9 50.0 1.7 11.4 29.3 25.2 -1.7
pair RSmean RSIhist neg-pos 6 3.3 49.9 50.0 1.7 11.4 29.3 25.2 -1.7
pair MRmean MACD neg-pos 24 13.2 47.3 54.2 1.1 3.9 1.7 41.3 -28.2
pair MACD MRmean neg-pos 24 13.2 47.3 54.2 1.1 3.9 1.7 41.3 -28.2
pair MRmean SLmean neg-pos 8 4.4 45.3 50.0 1.6 6.2 5.1 24.8 -8.8
pair SLmean MRmean neg-pos 8 4.4 45.3 50.0 1.6 6.2 5.1 24.8 -8.8
pair RSmean LWTI pos-neg 27 14.8 45.3 70.4 1.5 4.1 3.6 27.3 -12.4
pair LWTI RSmean pos-neg 27 14.8 45.3 70.4 1.5 4.1 3.6 27.3 -12.4
single LWTI LWTI neg-neg 30 16.5 44.3 66.7 1.5 4.0 3.6 27.7 -12.4
pair RSmean SLmean pos-neg 7 3.8 44.0 42.9 1.7 47.9 18.2 22.8 -2.4
pair SLmean RSmean pos-neg 7 3.8 44.0 42.9 1.7 47.9 18.2 22.8 -2.4
pair MACD RSI pos-neg 14 7.7 42.7 64.3 1.4 3.8 4.0 27.8 -10.6
pair RSI MACD pos-neg 14 7.7 42.7 64.3 1.4 3.8 4.0 27.8 -10.6
pair RSI MRmean neg-pos 11 6.0 41.7 36.4 0.9 3.6 1.6 54.6 -26.3
pair MRmean RSI neg-pos 11 6.0 41.7 36.4 0.9 3.6 1.6 54.6 -26.3
pair MACDhist MACD neg-pos 13 7.1 40.8 76.9 1.3 1.9 4.3 29.5 -9.5
pair MACD MACDhist neg-pos 13 7.1 40.8 76.9 1.3 1.9 4.3 29.5 -9.5
pair MACD SLmean pos-neg 29 15.9 36.3 65.5 1.3 2.9 1.8 27.7 -20.2
pair SLmean MACD pos-neg 29 15.9 36.3 65.5 1.3 2.9 1.8 27.7 -20.2
pair MRmean RSmean neg-pos 49 26.9 36.2 59.2 1.0 1.7 1.0 40.8 -35.6
pair RSmean MRmean neg-pos 49 26.9 36.2 59.2 1.0 1.7 1.0 40.8 -35.6
pair RSmean LWTI neg-neg 3 1.6 35.3 33.3 0.9 3.8 6.9 37.6 -5.1
pair LWTI RSmean neg-neg 3 1.6 35.3 33.3 0.9 3.8 6.9 37.6 -5.1
pair MACDhist RSI neg-pos 8 4.4 33.6 62.5 0.9 2.3 3.9 36.7 -8.6
pair RSI MACDhist neg-pos 8 4.4 33.6 62.5 0.9 2.3 3.9 36.7 -8.6
pair SLmean RSIhist pos-neg 14 7.7 26.2 42.9 1.1 2.2 2.1 24.6 -12.2
pair RSIhist SLmean pos-neg 14 7.7 26.2 42.9 1.1 2.2 2.1 24.6 -12.2
pair RSI RSmean pos-neg 49 26.9 25.8 63.3 0.8 1.3 0.7 36.3 -35.6
pair RSmean RSI pos-neg 49 26.9 25.8 63.3 0.8 1.3 0.7 36.3 -35.6
pair MRmean RSmean pos-neg 7 3.8 24.9 42.9 0.9 1.9 2.3 27.8 -10.8
pair RSmean MRmean pos-neg 7 3.8 24.9 42.9 0.9 1.9 2.3 27.8 -10.8
pair RSIhist MRmean neg-neg 53 29.1 23.8 58.5 0.7 1.2 0.5 41.6 -46.4
pair MRmean RSIhist neg-neg 53 29.1 23.8 58.5 0.7 1.2 0.5 41.6 -46.4
pair RSmean RSIhist pos-neg 57 31.3 20.4 56.1 0.7 1.1 0.6 41.0 -33.3
pair RSIhist RSmean pos-neg 57 31.3 20.4 56.1 0.7 1.1 0.6 41.0 -33.3
pair MACDhist SLmean pos-neg 31 17.0 19.2 54.8 0.9 1.9 0.9 23.4 -20.2
pair SLmean MACDhist pos-neg 31 17.0 19.2 54.8 0.9 1.9 0.9 23.4 -20.2
single MRmean MRmean neg-neg 64 35.2 18.4 54.7 0.6 1.1 0.4 38.9 -48.2
pair LWTI SLmean pos-pos 98 53.8 17.5 62.2 0.8 1.0 0.5 25.6 -36.2
pair SLmean LWTI pos-pos 98 53.8 17.5 62.2 0.8 1.0 0.5 25.6 -36.2
single SLmean SLmean pos-pos 112 61.5 17.0 60.7 0.7 1.1 0.5 25.9 -31.4
pair MRmean MACD pos-neg 27 14.8 16.9 63.0 0.7 1.6 0.9 28.3 -19.1
pair MACD MRmean pos-neg 27 14.8 16.9 63.0 0.7 1.6 0.9 28.3 -19.1
pair MACDhist SLmean pos-pos 81 44.5 16.2 63.0 0.7 0.9 0.4 26.9 -42.5
pair SLmean MACDhist pos-pos 81 44.5 16.2 63.0 0.7 0.9 0.4 26.9 -42.5
pair RSIhist RSI neg-neg 44 24.2 16.1 61.4 0.6 0.8 0.4 37.5 -44.8
pair RSI RSIhist neg-neg 44 24.2 16.1 61.4 0.6 0.8 0.4 37.5 -44.8
pair MACD RSmean pos-neg 51 28.0 16.0 62.7 0.6 0.9 0.4 34.4 -38.2
pair RSmean MACD pos-neg 51 28.0 16.0 62.7 0.6 0.9 0.4 34.4 -38.2
pair SLmean RSIhist pos-pos 98 53.8 15.8 63.3 0.7 1.0 0.5 26.2 -33.5
pair RSIhist SLmean pos-pos 98 53.8 15.8 63.3 0.7 1.0 0.5 26.2 -33.5
pair RSmean SLmean pos-pos 105 57.7 15.4 61.9 0.7 1.0 0.4 26.1 -40.5
pair SLmean RSmean pos-pos 105 57.7 15.4 61.9 0.7 1.0 0.4 26.1 -40.5
pair MRmean SLmean pos-pos 104 57.1 15.1 61.5 0.7 0.9 0.4 26.0 -35.2
pair SLmean MRmean pos-pos 104 57.1 15.1 61.5 0.7 0.9 0.4 26.0 -35.2
pair MRmean SLmean neg-neg 56 30.8 15.0 55.4 0.5 0.9 0.3 40.7 -48.2
pair SLmean MRmean neg-neg 56 30.8 15.0 55.4 0.5 0.9 0.3 40.7 -48.2
pair MACD RSI neg-pos 17 9.3 14.6 58.8 0.7 1.6 0.9 23.0 -15.9
pair RSI MACD neg-pos 17 9.3 14.6 58.8 0.7 1.6 0.9 23.0 -15.9
pair RSIhist LWTI pos-neg 18 9.9 14.4 55.6 0.7 1.4 1.2 25.4 -12.4
pair LWTI RSIhist pos-neg 18 9.9 14.4 55.6 0.7 1.4 1.2 25.4 -12.4
pair MRmean RSI neg-neg 53 29.1 14.0 58.5 0.6 0.8 0.3 35.4 -46.6
single RSI RSI neg-neg 64 35.2 14.0 59.4 0.6 0.8 0.3 35.1 -46.6
pair RSI MRmean neg-neg 53 29.1 14.0 58.5 0.6 0.8 0.3 35.4 -46.6
pair SLmean LWTI pos-neg 14 7.7 13.9 50.0 0.6 1.4 1.1 28.4 -12.4
pair LWTI SLmean pos-neg 14 7.7 13.9 50.0 0.6 1.4 1.1 28.4 -12.4
pair MRmean RSI pos-neg 11 6.0 13.8 63.6 0.5 3.0 0.7 35.6 -19.1
pair RSI MRmean pos-neg 11 6.0 13.8 63.6 0.5 3.0 0.7 35.6 -19.1
pair MACD RSIhist neg-pos 36 19.8 13.7 58.3 0.6 1.3 0.8 26.8 -16.6
pair RSIhist MACD neg-pos 36 19.8 13.7 58.3 0.6 1.3 0.8 26.8 -16.6
pair LWTI MACDhist pos-pos 97 53.3 13.6 59.8 0.6 0.9 0.3 28.7 -45.9
pair MACDhist LWTI pos-pos 97 53.3 13.6 59.8 0.6 0.9 0.3 28.7 -45.9
pair MACD MACDhist pos-neg 29 15.9 13.5 55.2 0.5 1.0 0.5 35.6 -26.1
pair MACDhist MACD pos-neg 29 15.9 13.5 55.2 0.5 1.0 0.5 35.6 -26.1
pair RSmean MACDhist pos-pos 96 52.7 13.4 60.4 0.6 0.8 0.3 28.8 -51.0
pair MACDhist RSmean pos-pos 96 52.7 13.4 60.4 0.6 0.8 0.3 28.8 -51.0
single RSmean RSmean pos-pos 160 87.9 12.6 59.4 0.5 0.8 0.2 32.0 -62.4
pair RSIhist MRmean pos-pos 98 53.8 12.3 63.3 0.6 0.8 0.3 26.1 -35.2
pair MACDhist RSIhist pos-pos 79 43.4 12.3 63.3 0.6 0.7 0.3 26.6 -41.3
pair MRmean RSIhist pos-pos 98 53.8 12.3 63.3 0.6 0.8 0.3 26.1 -35.2
pair RSIhist MACDhist pos-pos 79 43.4 12.3 63.3 0.6 0.7 0.3 26.6 -41.3
single MACDhist MACDhist pos-pos 99 54.4 12.0 59.6 0.5 0.8 0.2 28.7 -51.0
pair MACDhist RSI neg-neg 56 30.8 11.4 58.9 0.5 0.7 0.2 35.2 -46.6
pair RSI MACDhist neg-neg 56 30.8 11.4 58.9 0.5 0.7 0.2 35.2 -46.6
pair RSI SLmean pos-pos 98 53.8 11.4 59.2 0.6 0.8 0.3 24.8 -43.7
pair SLmean RSI pos-pos 98 53.8 11.4 59.2 0.6 0.8 0.3 24.8 -43.7
pair MRmean MACDhist neg-neg 57 31.3 11.3 54.4 0.5 0.8 0.2 38.1 -48.2
pair MACDhist MRmean neg-neg 57 31.3 11.3 54.4 0.5 0.8 0.2 38.1 -48.2
pair RSmean MACDhist pos-neg 64 35.2 11.3 57.8 0.5 0.8 0.3 36.4 -38.2
pair MACDhist RSmean pos-neg 64 35.2 11.3 57.8 0.5 0.8 0.3 36.4 -38.2
pair RSmean MACD pos-pos 109 59.9 11.0 57.8 0.5 0.8 0.2 30.9 -59.7
pair MACD RSmean pos-pos 109 59.9 11.0 57.8 0.5 0.8 0.2 30.9 -59.7
pair SLmean MACD pos-pos 83 45.6 10.9 59.0 0.5 0.7 0.2 25.2 -43.7
pair MACD SLmean pos-pos 83 45.6 10.9 59.0 0.5 0.7 0.2 25.2 -43.7
pair MACDhist RSIhist pos-neg 20 11.0 10.9 45.0 0.5 1.0 0.3 36.4 -34.3
pair RSIhist MACDhist pos-neg 20 11.0 10.9 45.0 0.5 1.0 0.3 36.4 -34.3
pair MACD RSIhist pos-neg 42 23.1 10.7 47.6 0.4 0.9 0.2 37.9 -42.7
pair RSIhist MACD pos-neg 42 23.1 10.7 47.6 0.4 0.9 0.2 37.9 -42.7
pair RSI RSIhist pos-pos 89 48.9 10.6 61.8 0.5 0.7 0.3 24.8 -41.7
pair RSIhist RSI pos-pos 89 48.9 10.6 61.8 0.5 0.7 0.3 24.8 -41.7
single RSIhist RSIhist pos-pos 109 59.9 10.4 60.6 0.5 0.7 0.3 25.7 -40.2
pair RSI MACDhist pos-pos 91 50.0 10.3 59.3 0.5 0.7 0.2 28.0 -51.0
pair MACDhist RSI pos-pos 91 50.0 10.3 59.3 0.5 0.7 0.2 28.0 -51.0
pair RSIhist LWTI pos-pos 91 50.0 9.7 61.5 0.5 0.7 0.2 25.9 -43.8
pair LWTI RSIhist pos-pos 91 50.0 9.7 61.5 0.5 0.7 0.2 25.9 -43.8
pair LWTI MACD pos-pos 109 59.9 9.6 56.9 0.5 0.7 0.2 30.4 -60.7
pair MACD LWTI pos-pos 109 59.9 9.6 56.9 0.5 0.7 0.2 30.4 -60.7
pair RSI RSIhist neg-pos 20 11.0 9.5 55.0 0.4 1.0 0.5 29.9 -19.4
pair RSIhist RSI neg-pos 20 11.0 9.5 55.0 0.4 1.0 0.5 29.9 -19.4
single MACD MACD pos-pos 115 63.2 9.5 56.5 0.5 0.7 0.2 30.4 -59.0
pair benchmark___benchmark_ benchmark-benchmark 182 100.0 9.3 57.1 0.4 0.7 0.2 31.6 -55.9
pair benchmark___benchmark_ benchmark-benchmark 182 100.0 9.3 57.1 0.4 0.7 0.2 31.6 -55.9
pair RSIhist MACD pos-pos 73 40.1 8.9 61.6 0.5 0.6 0.2 25.3 -42.4
pair MACD RSIhist pos-pos 73 40.1 8.9 61.6 0.5 0.6 0.2 25.3 -42.4
single MACD MACD neg-neg 67 36.8 8.9 58.2 0.4 0.6 0.2 33.8 -48.2
pair LWTI MACD pos-neg 6 3.3 8.8 50.0 0.4 1.3 1.2 32.9 -7.6
pair LWTI MRmean pos-neg 10 5.5 8.8 60.0 0.4 1.2 0.7 29.9 -12.4
pair MRmean LWTI pos-neg 10 5.5 8.8 60.0 0.4 1.2 0.7 29.9 -12.4
pair MACD LWTI pos-neg 6 3.3 8.8 50.0 0.4 1.3 1.2 32.9 -7.6
pair RSIhist RSmean pos-pos 103 56.6 8.5 61.2 0.5 0.6 0.2 25.7 -47.7
pair RSmean RSIhist pos-pos 103 56.6 8.5 61.2 0.5 0.6 0.2 25.7 -47.7
pair MACDhist MACD pos-pos 86 47.3 8.2 57.0 0.4 0.6 0.2 28.6 -48.6
pair MACD MACDhist pos-pos 86 47.3 8.2 57.0 0.4 0.6 0.2 28.6 -48.6
single RSIhist RSIhist neg-neg 73 40.1 7.6 52.1 0.4 0.6 0.2 39.0 -48.0
pair RSmean SLmean neg-pos 55 30.2 7.4 54.5 0.4 0.7 0.2 41.2 -42.1
pair SLmean RSmean neg-pos 55 30.2 7.4 54.5 0.4 0.7 0.2 41.2 -42.1
pair MRmean MACDhist pos-pos 92 50.5 7.4 59.8 0.4 0.5 0.1 26.9 -51.0
pair MACDhist MRmean pos-pos 92 50.5 7.4 59.8 0.4 0.5 0.1 26.9 -51.0
pair RSmean RSI pos-pos 111 61.0 7.2 57.7 0.4 0.6 0.1 29.9 -70.7
pair RSI RSmean pos-pos 111 61.0 7.2 57.7 0.4 0.6 0.1 29.9 -70.7
pair LWTI RSI pos-pos 111 61.0 7.2 56.8 0.4 0.6 0.1 29.8 -64.0
pair RSI LWTI pos-pos 111 61.0 7.2 56.8 0.4 0.6 0.1 29.8 -64.0
pair RSI MACD neg-neg 50 27.5 7.0 58.0 0.4 0.6 0.1 37.0 -46.6
pair MACD RSI neg-neg 50 27.5 7.0 58.0 0.4 0.6 0.1 37.0 -46.6
pair RSmean LWTI pos-pos 133 73.1 6.9 57.1 0.4 0.6 0.1 32.7 -66.6
pair LWTI RSmean pos-pos 133 73.1 6.9 57.1 0.4 0.6 0.1 32.7 -66.6
single RSI RSI pos-pos 118 64.8 6.8 55.9 0.4 0.6 0.1 29.6 -66.2
pair RSIhist MACDhist neg-neg 53 29.1 6.4 54.7 0.3 0.6 0.1 40.2 -46.4
pair MACDhist RSIhist neg-neg 53 29.1 6.4 54.7 0.3 0.6 0.1 40.2 -46.4
single MACDhist MACDhist neg-neg 83 45.6 6.1 54.2 0.3 0.6 0.1 34.9 -48.2
pair MACD SLmean neg-pos 32 17.6 6.0 50.0 0.3 0.8 0.1 41.3 -43.2
pair SLmean MACD neg-pos 32 17.6 6.0 50.0 0.3 0.8 0.1 41.3 -43.2
pair MACDhist RSIhist neg-pos 30 16.5 5.6 53.3 0.3 0.8 0.4 23.4 -15.3
pair RSIhist MACDhist neg-pos 30 16.5 5.6 53.3 0.3 0.8 0.4 23.4 -15.3
pair RSI MACD pos-pos 101 55.5 5.6 55.4 0.3 0.5 0.1 30.7 -67.3
pair MACD RSI pos-pos 101 55.5 5.6 55.4 0.3 0.5 0.1 30.7 -67.3
single MRmean MRmean pos-pos 118 64.8 4.7 58.5 0.3 0.4 0.1 26.8 -40.9
pair LWTI MRmean pos-pos 108 59.3 4.3 58.3 0.3 0.4 0.1 26.7 -47.8
pair MRmean LWTI pos-pos 108 59.3 4.3 58.3 0.3 0.4 0.1 26.7 -47.8
pair MACD MRmean neg-neg 40 22.0 3.8 55.0 0.3 0.4 0.1 37.4 -48.2
pair MRmean MACD neg-neg 40 22.0 3.8 55.0 0.3 0.4 0.1 37.4 -48.2
pair MRmean RSI pos-pos 107 58.8 3.8 57.9 0.3 0.4 0.1 26.0 -55.0
pair RSI MRmean pos-pos 107 58.8 3.8 57.9 0.3 0.4 0.1 26.0 -55.0
pair SLmean RSIhist neg-neg 59 32.4 3.6 54.2 0.3 0.5 0.1 41.8 -48.3
pair RSIhist SLmean neg-neg 59 32.4 3.6 54.2 0.3 0.5 0.1 41.8 -48.3
pair RSIhist MACD neg-neg 31 17.0 3.6 58.1 0.3 0.4 0.1 41.0 -46.4
pair MACD RSIhist neg-neg 31 17.0 3.6 58.1 0.3 0.4 0.1 41.0 -46.4
pair MRmean RSmean pos-pos 111 61.0 3.5 59.5 0.3 0.4 0.1 26.9 -48.7
pair RSmean MRmean pos-pos 111 61.0 3.5 59.5 0.3 0.4 0.1 26.9 -48.7
single LWTI LWTI pos-pos 152 83.5 3.5 55.3 0.3 0.4 0.1 32.2 -66.5
pair RSI SLmean neg-neg 50 27.5 2.7 56.0 0.3 0.4 0.1 35.9 -46.6
pair SLmean RSI neg-neg 50 27.5 2.7 56.0 0.3 0.4 0.1 35.9 -46.6
pair MACD MACDhist neg-neg 54 29.7 2.4 53.7 0.2 0.4 0.1 34.8 -48.2
pair MACDhist MACD neg-neg 54 29.7 2.4 53.7 0.2 0.4 0.1 34.8 -48.2
pair LWTI RSI pos-neg 7 3.8 1.7 42.9 0.2 0.5 0.1 29.1 -12.4
pair RSI LWTI pos-neg 7 3.8 1.7 42.9 0.2 0.5 0.1 29.1 -12.4
pair LWTI MRmean neg-pos 44 24.2 1.5 47.7 0.2 0.4 0.0 43.1 -59.0
pair MRmean LWTI neg-pos 44 24.2 1.5 47.7 0.2 0.4 0.0 43.1 -59.0
pair MRmean MACD pos-pos 91 50.0 1.3 57.1 0.2 0.2 0.0 26.5 -56.5
pair MACD MRmean pos-pos 91 50.0 1.3 57.1 0.2 0.2 0.0 26.5 -56.5
pair RSmean RSI neg-pos 7 3.8 1.2 28.6 0.1 0.3 0.1 26.8 -10.8
pair RSI RSmean neg-pos 7 3.8 1.2 28.6 0.1 0.3 0.1 26.8 -10.8
pair SLmean MACDhist neg-neg 52 28.6 -1.0 53.8 0.2 0.3 -0.0 40.4 -48.2
pair MACDhist SLmean neg-neg 52 28.6 -1.0 53.8 0.2 0.3 -0.0 40.4 -48.2
single SLmean SLmean neg-neg 70 38.5 -2.0 51.4 0.1 0.2 -0.0 39.1 -61.2
pair RSI RSIhist pos-neg 29 15.9 -4.0 37.9 0.1 0.2 -0.1 41.5 -57.0
pair RSIhist RSI pos-neg 29 15.9 -4.0 37.9 0.1 0.2 -0.1 41.5 -57.0
pair MACDhist RSI pos-neg 27 14.8 -4.1 44.4 0.0 0.1 -0.1 34.8 -42.0
pair RSI MACDhist pos-neg 27 14.8 -4.1 44.4 0.0 0.1 -0.1 34.8 -42.0
pair MACDhist MRmean pos-neg 26 14.3 -4.4 53.8 -0.0 -0.1 -0.2 27.1 -25.8
pair MRmean MACDhist pos-neg 26 14.3 -4.4 53.8 -0.0 -0.1 -0.2 27.1 -25.8
pair MACDhist SLmean neg-pos 18 9.9 -4.8 44.4 0.0 0.1 -0.2 36.1 -28.1
pair RSIhist MRmean neg-pos 11 6.0 -4.8 36.4 -0.1 -0.3 -0.2 21.7 -19.8
pair MRmean RSIhist neg-pos 11 6.0 -4.8 36.4 -0.1 -0.3 -0.2 21.7 -19.8
pair SLmean MACDhist neg-pos 18 9.9 -4.8 44.4 0.0 0.1 -0.2 36.1 -28.1
pair LWTI RSIhist neg-pos 61 33.5 -5.1 45.9 0.1 0.1 -0.1 39.9 -70.7
pair RSIhist LWTI neg-pos 61 33.5 -5.1 45.9 0.1 0.1 -0.1 39.9 -70.7
pair RSI LWTI neg-pos 41 22.5 -5.9 51.2 0.0 0.1 -0.1 38.2 -52.1
pair LWTI RSI neg-pos 41 22.5 -5.9 51.2 0.0 0.1 -0.1 38.2 -52.1
pair SLmean MACD neg-neg 38 20.9 -8.2 52.6 -0.0 -0.1 -0.2 37.6 -48.2
pair MACD SLmean neg-neg 38 20.9 -8.2 52.6 -0.0 -0.1 -0.2 37.6 -48.2
pair MACDhist RSmean neg-neg 19 10.4 -9.7 42.1 -0.2 -0.3 -0.3 29.7 -35.4
pair RSmean MACDhist neg-neg 19 10.4 -9.7 42.1 -0.2 -0.3 -0.3 29.7 -35.4
pair LWTI MACD neg-pos 43 23.6 -10.5 51.2 -0.1 -0.2 -0.2 36.4 -53.5
pair MACD LWTI neg-pos 43 23.6 -10.5 51.2 -0.1 -0.2 -0.2 36.4 -53.5
pair MACD RSmean neg-neg 16 8.8 -10.9 43.8 -0.2 -0.3 -0.3 32.4 -35.4
pair RSmean MACD neg-neg 16 8.8 -10.9 43.8 -0.2 -0.3 -0.3 32.4 -35.4
single RSmean RSmean neg-neg 22 12.1 -11.9 40.9 -0.3 -0.4 -0.3 28.5 -35.4
pair LWTI MACDhist neg-pos 55 30.2 -12.2 47.3 -0.2 -0.3 -0.2 37.4 -71.0
pair MACDhist LWTI neg-pos 55 30.2 -12.2 47.3 -0.2 -0.3 -0.2 37.4 -71.0
pair RSI SLmean neg-pos 20 11.0 -12.8 40.0 -0.1 -0.2 -0.2 47.2 -51.5
pair SLmean RSI neg-pos 20 11.0 -12.8 40.0 -0.1 -0.2 -0.2 47.2 -51.5
pair RSmean MACD neg-pos 6 3.3 -14.5 33.3 -0.9 -1.1 -1.6 15.8 -9.2
pair MACD RSmean neg-pos 6 3.3 -14.5 33.3 -0.9 -1.1 -1.6 15.8 -9.2
pair RSmean RSI neg-neg 15 8.2 -17.4 46.7 -0.5 -0.6 -0.5 30.0 -33.5
pair RSI RSmean neg-neg 15 8.2 -17.4 46.7 -0.5 -0.6 -0.5 30.0 -33.5
pair LWTI RSmean neg-pos 19 10.4 -17.7 42.1 -0.6 -0.7 -0.5 27.5 -35.4
pair RSmean LWTI neg-pos 19 10.4 -17.7 42.1 -0.6 -0.7 -0.5 27.5 -35.4
pair LWTI SLmean neg-pos 54 29.7 -17.8 42.6 -0.3 -0.5 -0.2 41.1 -78.6
pair SLmean LWTI neg-pos 54 29.7 -17.8 42.6 -0.3 -0.5 -0.2 41.1 -78.6
pair RSmean MACDhist neg-pos 3 1.6 -24.7 33.3 -1.1 -1.4 -2.7 23.6 -9.2
pair MACDhist RSmean neg-pos 3 1.6 -24.7 33.3 -1.1 -1.4 -2.7 23.6 -9.2
pair RSmean MRmean neg-neg 15 8.2 -25.1 40.0 -0.9 -1.1 -0.7 28.5 -35.4
pair MRmean RSmean neg-neg 15 8.2 -25.1 40.0 -0.9 -1.1 -0.7 28.5 -35.4
pair RSIhist MRmean pos-neg 20 11.0 -25.8 35.0 -0.9 -1.2 -0.6 28.8 -41.8
pair MRmean RSIhist pos-neg 20 11.0 -25.8 35.0 -0.9 -1.2 -0.6 28.8 -41.8
pair RSIhist SLmean neg-pos 11 6.0 -27.4 36.4 -1.7 -2.4 -1.1 17.3 -25.8
pair SLmean RSIhist neg-pos 11 6.0 -27.4 36.4 -1.7 -2.4 -1.1 17.3 -25.8
pair RSIhist RSmean neg-neg 16 8.8 -27.8 37.5 -1.0 -1.3 -0.8 28.3 -36.6
pair RSmean RSIhist neg-neg 16 8.8 -27.8 37.5 -1.0 -1.3 -0.8 28.3 -36.6
pair RSmean SLmean neg-neg 15 8.2 -29.9 40.0 -1.1 -1.5 -0.8 29.2 -38.3
pair SLmean RSmean neg-neg 15 8.2 -29.9 40.0 -1.1 -1.5 -0.8 29.2 -38.3
pair LWTI MACDhist pos-neg 2 1.1 -41.5 50.0 -2.0 0.0 0.0 25.8 0.0
pair MACDhist LWTI pos-neg 2 1.1 -41.5 50.0 -2.0 0.0 0.0 25.8 0.0
pair SLmean MRmean pos-neg 14 7.7 -48.2 35.7 -2.4 -3.1 -0.9 25.3 -50.5
pair MRmean SLmean pos-neg 14 7.7 -48.2 35.7 -2.4 -3.1 -0.9 25.3 -50.5

All Contingency Tables for ARGT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 15.1% | Win 62%
Sharpe 0.68 | Sortino 0.93 | Calmar 0.4
Vol 26% | MDD -35.2%
Months 104M (57%)
CAGR -48.2% | Win 36%
Sharpe -2.41 | Sortino -3.11 | Calmar -1.0
Vol 25% | MDD -50.5%
Months 14M (8%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 45.3% | Win 50%
Sharpe 1.64 | Sortino 6.20 | Calmar 5.1
Vol 25% | MDD -8.8%
Months 8M (4%)
CAGR 15.0% | Win 55%
Sharpe 0.54 | Sortino 0.95 | Calmar 0.3
Vol 41% | MDD -48.2%
Months 56M (31%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
SLmean
only
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.5% | Win 60%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -48.7%
Months 111M (61%)
CAGR 24.9% | Win 43%
Sharpe 0.92 | Sortino 1.89 | Calmar 2.3
Vol 28% | MDD -10.8%
Months 7M (4%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 36.2% | Win 59%
Sharpe 0.96 | Sortino 1.69 | Calmar 1.0
Vol 41% | MDD -35.6%
Months 49M (27%)
CAGR -25.1% | Win 40%
Sharpe -0.86 | Sortino -1.14 | Calmar -0.7
Vol 28% | MDD -35.4%
Months 15M (8%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
RSmean
only
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.3% | Win 57%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -56.5%
Months 91M (50%)
CAGR 16.9% | Win 63%
Sharpe 0.69 | Sortino 1.59 | Calmar 0.9
Vol 28% | MDD -19.1%
Months 27M (15%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 47.3% | Win 54%
Sharpe 1.13 | Sortino 3.89 | Calmar 1.7
Vol 41% | MDD -28.2%
Months 24M (13%)
CAGR 3.8% | Win 55%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 37% | MDD -48.2%
Months 40M (22%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
MACD
only
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 58%
Sharpe 0.28 | Sortino 0.36 | Calmar 0.1
Vol 26% | MDD -55.0%
Months 107M (59%)
CAGR 13.8% | Win 64%
Sharpe 0.52 | Sortino 3.04 | Calmar 0.7
Vol 36% | MDD -19.1%
Months 11M (6%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 41.7% | Win 36%
Sharpe 0.86 | Sortino 3.64 | Calmar 1.6
Vol 55% | MDD -26.3%
Months 11M (6%)
CAGR 14.0% | Win 58%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 53M (29%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
RSI
only
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 60%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 27% | MDD -51.0%
Months 92M (50%)
CAGR -4.4% | Win 54%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.2
Vol 27% | MDD -25.8%
Months 26M (14%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 95.3% | Win 57%
Sharpe 1.69 | Sortino 6.45 | Calmar 11.1
Vol 46% | MDD -8.6%
Months 7M (4%)
CAGR 11.3% | Win 54%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 38% | MDD -48.2%
Months 57M (31%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
MACDhist
only
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 63%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 26% | MDD -35.2%
Months 98M (54%)
CAGR -25.8% | Win 35%
Sharpe -0.88 | Sortino -1.22 | Calmar -0.6
Vol 29% | MDD -41.8%
Months 20M (11%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR -4.8% | Win 36%
Sharpe -0.13 | Sortino -0.28 | Calmar -0.2
Vol 22% | MDD -19.8%
Months 11M (6%)
CAGR 23.8% | Win 58%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.5
Vol 42% | MDD -46.4%
Months 53M (29%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 58%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -47.8%
Months 108M (59%)
CAGR 8.8% | Win 60%
Sharpe 0.41 | Sortino 1.17 | Calmar 0.7
Vol 30% | MDD -12.4%
Months 10M (6%)
CAGR 4.7% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 118M (65%)
MRmean
neg
CAGR 1.5% | Win 48%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.0
Vol 43% | MDD -59.0%
Months 44M (24%)
CAGR 66.1% | Win 70%
Sharpe 2.09 | Sortino 6.86 | Calmar 8.8
Vol 26% | MDD -7.6%
Months 20M (11%)
CAGR 18.4% | Win 55%
Sharpe 0.62 | Sortino 1.08 | Calmar 0.4
Vol 39% | MDD -48.2%
Months 64M (35%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 15.4% | Win 62%
Sharpe 0.68 | Sortino 0.96 | Calmar 0.4
Vol 26% | MDD -40.5%
Months 105M (58%)
CAGR 44.0% | Win 43%
Sharpe 1.71 | Sortino 47.85 | Calmar 18.2
Vol 23% | MDD -2.4%
Months 7M (4%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR 7.4% | Win 55%
Sharpe 0.37 | Sortino 0.67 | Calmar 0.2
Vol 41% | MDD -42.1%
Months 55M (30%)
CAGR -29.9% | Win 40%
Sharpe -1.06 | Sortino -1.51 | Calmar -0.8
Vol 29% | MDD -38.3%
Months 15M (8%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
RSmean
only
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 59%
Sharpe 0.54 | Sortino 0.69 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 83M (46%)
CAGR 36.3% | Win 66%
Sharpe 1.26 | Sortino 2.88 | Calmar 1.8
Vol 28% | MDD -20.2%
Months 29M (16%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR 6.0% | Win 50%
Sharpe 0.33 | Sortino 0.77 | Calmar 0.1
Vol 41% | MDD -43.2%
Months 32M (18%)
CAGR -8.2% | Win 53%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.2
Vol 38% | MDD -48.2%
Months 38M (21%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
MACD
only
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 59%
Sharpe 0.56 | Sortino 0.75 | Calmar 0.3
Vol 25% | MDD -43.7%
Months 98M (54%)
CAGR 65.2% | Win 71%
Sharpe 1.78 | Sortino 3.94 | Calmar 3.2
Vol 31% | MDD -20.2%
Months 14M (8%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR -12.8% | Win 40%
Sharpe -0.09 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -51.5%
Months 20M (11%)
CAGR 2.7% | Win 56%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 36% | MDD -46.6%
Months 50M (28%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
RSI
only
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 16.2% | Win 63%
Sharpe 0.70 | Sortino 0.90 | Calmar 0.4
Vol 27% | MDD -42.5%
Months 81M (44%)
CAGR 19.2% | Win 55%
Sharpe 0.87 | Sortino 1.95 | Calmar 1.0
Vol 23% | MDD -20.2%
Months 31M (17%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR -4.8% | Win 44%
Sharpe 0.02 | Sortino 0.05 | Calmar -0.2
Vol 36% | MDD -28.1%
Months 18M (10%)
CAGR -1.0% | Win 54%
Sharpe 0.17 | Sortino 0.29 | Calmar -0.0
Vol 40% | MDD -48.2%
Months 52M (29%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
MACDhist
only
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.8% | Win 63%
Sharpe 0.69 | Sortino 0.96 | Calmar 0.5
Vol 26% | MDD -33.5%
Months 98M (54%)
CAGR 26.2% | Win 43%
Sharpe 1.07 | Sortino 2.18 | Calmar 2.1
Vol 25% | MDD -12.2%
Months 14M (8%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR -27.4% | Win 36%
Sharpe -1.74 | Sortino -2.35 | Calmar -1.1
Vol 17% | MDD -25.8%
Months 11M (6%)
CAGR 3.6% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 42% | MDD -48.3%
Months 59M (32%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 17.5% | Win 62%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -36.2%
Months 98M (54%)
CAGR 13.9% | Win 50%
Sharpe 0.59 | Sortino 1.40 | Calmar 1.1
Vol 28% | MDD -12.4%
Months 14M (8%)
CAGR 17.0% | Win 61%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 112M (62%)
SLmean
neg
CAGR -17.8% | Win 43%
Sharpe -0.28 | Sortino -0.49 | Calmar -0.2
Vol 41% | MDD -78.6%
Months 54M (30%)
CAGR 77.5% | Win 81%
Sharpe 2.35 | Sortino 8.98 | Calmar 10.4
Vol 26% | MDD -7.4%
Months 16M (9%)
CAGR -2.0% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 70M (38%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 58%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 109M (60%)
CAGR 16.0% | Win 63%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.4
Vol 34% | MDD -38.2%
Months 51M (28%)
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
RSmean
neg
CAGR -14.5% | Win 33%
Sharpe -0.91 | Sortino -1.06 | Calmar -1.6
Vol 16% | MDD -9.2%
Months 6M (3%)
CAGR -10.9% | Win 44%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.3
Vol 32% | MDD -35.4%
Months 16M (9%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
MACD
only
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 58%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -70.7%
Months 111M (61%)
CAGR 25.8% | Win 63%
Sharpe 0.82 | Sortino 1.28 | Calmar 0.7
Vol 36% | MDD -35.6%
Months 49M (27%)
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
RSmean
neg
CAGR 1.2% | Win 29%
Sharpe 0.15 | Sortino 0.35 | Calmar 0.1
Vol 27% | MDD -10.8%
Months 7M (4%)
CAGR -17.4% | Win 47%
Sharpe -0.48 | Sortino -0.64 | Calmar -0.5
Vol 30% | MDD -33.5%
Months 15M (8%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
RSI
only
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 29% | MDD -51.0%
Months 96M (53%)
CAGR 11.3% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.3
Vol 36% | MDD -38.2%
Months 64M (35%)
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
RSmean
neg
CAGR -24.7% | Win 33%
Sharpe -1.11 | Sortino -1.42 | Calmar -2.7
Vol 24% | MDD -9.2%
Months 3M (2%)
CAGR -9.7% | Win 42%
Sharpe -0.20 | Sortino -0.28 | Calmar -0.3
Vol 30% | MDD -35.4%
Months 19M (10%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
MACDhist
only
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.2
Vol 26% | MDD -47.7%
Months 103M (57%)
CAGR 20.4% | Win 56%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.6
Vol 41% | MDD -33.3%
Months 57M (31%)
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
RSmean
neg
CAGR 49.9% | Win 50%
Sharpe 1.73 | Sortino 11.43 | Calmar 29.3
Vol 25% | MDD -1.7%
Months 6M (3%)
CAGR -27.8% | Win 38%
Sharpe -1.00 | Sortino -1.33 | Calmar -0.8
Vol 28% | MDD -36.6%
Months 16M (9%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 57%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 33% | MDD -66.6%
Months 133M (73%)
CAGR 45.3% | Win 70%
Sharpe 1.52 | Sortino 4.07 | Calmar 3.6
Vol 27% | MDD -12.4%
Months 27M (15%)
CAGR 12.6% | Win 59%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 160M (88%)
RSmean
neg
CAGR -17.7% | Win 42%
Sharpe -0.56 | Sortino -0.74 | Calmar -0.5
Vol 28% | MDD -35.4%
Months 19M (10%)
CAGR 35.3% | Win 33%
Sharpe 0.93 | Sortino 3.79 | Calmar 6.9
Vol 38% | MDD -5.1%
Months 3M (2%)
CAGR -11.9% | Win 41%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 28% | MDD -35.4%
Months 22M (12%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 55%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 31% | MDD -67.3%
Months 101M (56%)
CAGR 42.7% | Win 64%
Sharpe 1.42 | Sortino 3.76 | Calmar 4.0
Vol 28% | MDD -10.6%
Months 14M (8%)
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
MACD
neg
CAGR 14.6% | Win 59%
Sharpe 0.70 | Sortino 1.65 | Calmar 0.9
Vol 23% | MDD -15.9%
Months 17M (9%)
CAGR 7.0% | Win 58%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.2
Vol 37% | MDD -46.6%
Months 50M (28%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
RSI
only
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.2% | Win 57%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 29% | MDD -48.6%
Months 86M (47%)
CAGR 13.5% | Win 55%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.5
Vol 36% | MDD -26.1%
Months 29M (16%)
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
MACD
neg
CAGR 40.8% | Win 77%
Sharpe 1.31 | Sortino 1.91 | Calmar 4.3
Vol 30% | MDD -9.5%
Months 13M (7%)
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.37 | Calmar 0.0
Vol 35% | MDD -48.2%
Months 54M (30%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
MACDhist
only
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.2
Vol 25% | MDD -42.4%
Months 73M (40%)
CAGR 10.7% | Win 48%
Sharpe 0.44 | Sortino 0.95 | Calmar 0.3
Vol 38% | MDD -42.7%
Months 42M (23%)
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
MACD
neg
CAGR 13.7% | Win 58%
Sharpe 0.61 | Sortino 1.33 | Calmar 0.8
Vol 27% | MDD -16.6%
Months 36M (20%)
CAGR 3.6% | Win 58%
Sharpe 0.29 | Sortino 0.42 | Calmar 0.1
Vol 41% | MDD -46.4%
Months 31M (17%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 57%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 30% | MDD -60.7%
Months 109M (60%)
CAGR 8.8% | Win 50%
Sharpe 0.38 | Sortino 1.32 | Calmar 1.2
Vol 33% | MDD -7.6%
Months 6M (3%)
CAGR 9.5% | Win 56%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -59.0%
Months 115M (63%)
MACD
neg
CAGR -10.5% | Win 51%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.2
Vol 36% | MDD -53.5%
Months 43M (24%)
CAGR 54.8% | Win 71%
Sharpe 1.80 | Sortino 4.23 | Calmar 4.4
Vol 27% | MDD -12.4%
Months 24M (13%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (37%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.3% | Win 59%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -51.0%
Months 91M (50%)
CAGR -4.1% | Win 44%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -42.0%
Months 27M (15%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
RSI
neg
CAGR 33.6% | Win 62%
Sharpe 0.95 | Sortino 2.29 | Calmar 3.9
Vol 37% | MDD -8.6%
Months 8M (4%)
CAGR 11.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 35% | MDD -46.6%
Months 56M (31%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
MACDhist
only
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.6% | Win 62%
Sharpe 0.54 | Sortino 0.69 | Calmar 0.3
Vol 25% | MDD -41.7%
Months 89M (49%)
CAGR -4.0% | Win 38%
Sharpe 0.09 | Sortino 0.19 | Calmar -0.1
Vol 42% | MDD -57.0%
Months 29M (16%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
RSI
neg
CAGR 9.5% | Win 55%
Sharpe 0.44 | Sortino 1.01 | Calmar 0.5
Vol 30% | MDD -19.4%
Months 20M (11%)
CAGR 16.1% | Win 61%
Sharpe 0.59 | Sortino 0.84 | Calmar 0.4
Vol 38% | MDD -44.8%
Months 44M (24%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 57%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -64.0%
Months 111M (61%)
CAGR 1.7% | Win 43%
Sharpe 0.18 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -12.4%
Months 7M (4%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -66.2%
Months 118M (65%)
RSI
neg
CAGR -5.9% | Win 51%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 38% | MDD -52.1%
Months 41M (22%)
CAGR 60.5% | Win 74%
Sharpe 1.91 | Sortino 4.88 | Calmar 5.9
Vol 27% | MDD -10.2%
Months 23M (13%)
CAGR 14.0% | Win 59%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 35% | MDD -46.6%
Months 64M (35%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.3% | Win 63%
Sharpe 0.57 | Sortino 0.73 | Calmar 0.3
Vol 27% | MDD -41.3%
Months 79M (43%)
CAGR 10.9% | Win 45%
Sharpe 0.45 | Sortino 1.03 | Calmar 0.3
Vol 36% | MDD -34.3%
Months 20M (11%)
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
MACDhist
neg
CAGR 5.6% | Win 53%
Sharpe 0.35 | Sortino 0.79 | Calmar 0.4
Vol 23% | MDD -15.3%
Months 30M (16%)
CAGR 6.4% | Win 55%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 40% | MDD -46.4%
Months 53M (29%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
RSIhist
only
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.6% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.3
Vol 29% | MDD -45.9%
Months 97M (53%)
CAGR -41.5% | Win 50%
Sharpe -1.97 | Sortino 0.00 | Calmar 0.0
Vol 26% | MDD 0.0%
Months 2M (1%)
CAGR 12.0% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 29% | MDD -51.0%
Months 99M (54%)
MACDhist
neg
CAGR -12.2% | Win 47%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 37% | MDD -71.0%
Months 55M (30%)
CAGR 53.9% | Win 68%
Sharpe 1.74 | Sortino 4.90 | Calmar 5.3
Vol 27% | MDD -10.2%
Months 28M (15%)
CAGR 6.1% | Win 54%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -48.2%
Months 83M (46%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.7% | Win 62%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.2
Vol 26% | MDD -43.8%
Months 91M (50%)
CAGR 14.4% | Win 56%
Sharpe 0.65 | Sortino 1.45 | Calmar 1.2
Vol 25% | MDD -12.4%
Months 18M (10%)
CAGR 10.4% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -40.2%
Months 109M (60%)
RSIhist
neg
CAGR -5.1% | Win 46%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -70.7%
Months 61M (34%)
CAGR 104.2% | Win 83%
Sharpe 2.69 | Sortino 13.79 | Calmar 14.0
Vol 29% | MDD -7.4%
Months 12M (7%)
CAGR 7.6% | Win 52%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 39% | MDD -48.0%
Months 73M (40%)
LWTI
only
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 32% | MDD -66.5%
Months 152M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)