ARGT - Global X MSCI Argentina ETF

Signal Pair Analysis

RSIhist-LWTI

Best Pair

104.2%

Best CAGR

53

Total Months

11.9%

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 6.5 104.2 83.3 2.7 13.8 14.0 28.6 -7.4
pair LWTI RSIhist neg-neg 12 6.5 104.2 83.3 2.7 13.8 14.0 28.6 -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 8.6 77.5 81.2 2.4 9.0 10.4 26.3 -7.4
pair SLmean LWTI neg-neg 16 8.6 77.5 81.2 2.4 9.0 10.4 26.3 -7.4
pair LWTI MRmean neg-neg 20 10.8 66.1 70.0 2.1 6.9 8.8 26.3 -7.6
pair MRmean LWTI neg-neg 20 10.8 66.1 70.0 2.1 6.9 8.8 26.3 -7.6
pair SLmean RSI pos-neg 14 7.6 65.2 71.4 1.8 3.9 3.2 31.3 -20.2
pair RSI SLmean pos-neg 14 7.6 65.2 71.4 1.8 3.9 3.2 31.3 -20.2
pair LWTI RSI neg-neg 23 12.4 60.5 73.9 1.9 4.9 5.9 27.1 -10.2
pair RSI LWTI neg-neg 23 12.4 60.5 73.9 1.9 4.9 5.9 27.1 -10.2
pair MACD LWTI neg-neg 24 13.0 54.8 70.8 1.8 4.2 4.4 26.6 -12.4
pair LWTI MACD neg-neg 24 13.0 54.8 70.8 1.8 4.2 4.4 26.6 -12.4
pair LWTI MACDhist neg-neg 28 15.1 53.9 67.9 1.7 4.9 5.3 27.2 -10.2
pair MACDhist LWTI neg-neg 28 15.1 53.9 67.9 1.7 4.9 5.3 27.2 -10.2
pair RSIhist RSmean neg-pos 6 3.2 49.9 50.0 1.7 11.5 29.3 25.2 -1.7
pair RSmean RSIhist neg-pos 6 3.2 49.9 50.0 1.7 11.5 29.3 25.2 -1.7
pair MRmean MACD neg-pos 24 13.0 47.3 54.2 1.1 3.9 1.7 41.3 -28.2
pair MACD MRmean neg-pos 24 13.0 47.3 54.2 1.1 3.9 1.7 41.3 -28.2
pair MRmean SLmean neg-pos 8 4.3 45.3 50.0 1.6 6.2 5.1 24.8 -8.8
pair SLmean MRmean neg-pos 8 4.3 45.3 50.0 1.6 6.2 5.1 24.8 -8.8
pair RSmean LWTI pos-neg 27 14.6 45.3 70.4 1.5 4.1 3.6 27.3 -12.4
pair LWTI RSmean pos-neg 27 14.6 45.3 70.4 1.5 4.1 3.6 27.3 -12.4
single LWTI LWTI neg-neg 30 16.2 44.3 66.7 1.5 4.0 3.6 27.7 -12.4
pair MACD RSI pos-neg 14 7.6 42.7 64.3 1.4 3.8 4.0 27.8 -10.6
pair RSI MACD pos-neg 14 7.6 42.7 64.3 1.4 3.8 4.0 27.8 -10.6
pair RSI MRmean neg-pos 11 5.9 41.7 36.4 0.9 3.6 1.6 54.6 -26.3
pair MRmean RSI neg-pos 11 5.9 41.7 36.4 0.9 3.6 1.6 54.6 -26.3
pair MACDhist MACD neg-pos 13 7.0 40.8 76.9 1.3 1.9 4.3 29.5 -9.5
pair MACD MACDhist neg-pos 13 7.0 40.8 76.9 1.3 1.9 4.3 29.5 -9.5
pair MACD SLmean pos-neg 29 15.7 36.3 65.5 1.3 2.9 1.8 27.7 -20.2
pair SLmean MACD pos-neg 29 15.7 36.3 65.5 1.3 2.9 1.8 27.7 -20.2
pair MRmean RSmean neg-pos 49 26.5 36.2 59.2 1.0 1.7 1.0 40.8 -35.6
pair RSmean MRmean neg-pos 49 26.5 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 RSmean SLmean pos-neg 8 4.3 34.7 37.5 1.5 45.0 9.1 21.9 -3.8
pair SLmean RSmean pos-neg 8 4.3 34.7 37.5 1.5 45.0 9.1 21.9 -3.8
pair MACDhist RSI neg-pos 8 4.3 33.6 62.5 0.9 2.3 3.9 36.7 -8.6
pair RSI MACDhist neg-pos 8 4.3 33.6 62.5 0.9 2.3 3.9 36.7 -8.6
pair RSI RSmean pos-neg 49 26.5 25.8 63.3 0.8 1.3 0.7 36.3 -35.6
pair RSmean RSI pos-neg 49 26.5 25.8 63.3 0.8 1.3 0.7 36.3 -35.6
pair RSIhist MRmean neg-neg 53 28.6 23.8 58.5 0.7 1.2 0.5 41.6 -46.4
pair MRmean RSIhist neg-neg 53 28.6 23.8 58.5 0.7 1.2 0.5 41.6 -46.4
pair MRmean RSmean pos-neg 9 4.9 23.2 44.4 1.0 1.9 2.2 24.6 -10.8
pair RSmean MRmean pos-neg 9 4.9 23.2 44.4 1.0 1.9 2.2 24.6 -10.8
pair SLmean RSIhist pos-neg 15 8.1 22.8 40.0 1.0 2.0 1.9 23.9 -12.2
pair RSIhist SLmean pos-neg 15 8.1 22.8 40.0 1.0 2.0 1.9 23.9 -12.2
pair RSmean RSIhist pos-neg 57 30.8 20.4 56.1 0.7 1.1 0.6 41.0 -33.3
pair RSIhist RSmean pos-neg 57 30.8 20.4 56.1 0.7 1.1 0.6 41.0 -33.3
single MRmean MRmean neg-neg 64 34.6 18.4 54.7 0.6 1.1 0.4 38.9 -48.2
pair MRmean MACD pos-neg 27 14.6 16.9 63.0 0.7 1.6 0.9 28.3 -19.1
pair MACD MRmean pos-neg 27 14.6 16.9 63.0 0.7 1.6 0.9 28.3 -19.1
pair SLmean MACDhist pos-pos 81 43.8 16.2 63.0 0.7 0.9 0.4 26.9 -42.5
pair MACDhist SLmean pos-pos 81 43.8 16.2 63.0 0.7 0.9 0.4 26.9 -42.5
pair RSIhist RSI neg-neg 44 23.8 16.1 61.4 0.6 0.8 0.4 37.5 -44.8
pair RSI RSIhist neg-neg 44 23.8 16.1 61.4 0.6 0.8 0.4 37.5 -44.8
pair LWTI SLmean pos-pos 100 54.1 16.0 61.0 0.7 1.0 0.4 25.5 -36.2
pair SLmean LWTI pos-pos 100 54.1 16.0 61.0 0.7 1.0 0.4 25.5 -36.2
pair MACD RSmean pos-neg 51 27.6 16.0 62.7 0.6 0.9 0.4 34.4 -38.2
pair RSmean MACD pos-neg 51 27.6 16.0 62.7 0.6 0.9 0.4 34.4 -38.2
single SLmean SLmean pos-pos 114 61.6 15.7 59.6 0.7 1.0 0.5 25.8 -31.4
pair SLmean MRmean neg-neg 56 30.3 15.0 55.4 0.5 0.9 0.3 40.6 -48.2
pair MRmean SLmean neg-neg 56 30.3 15.0 55.4 0.5 0.9 0.3 40.6 -48.2
pair SLmean RSIhist pos-pos 99 53.5 14.7 62.6 0.7 0.9 0.4 26.2 -33.5
pair RSIhist SLmean pos-pos 99 53.5 14.7 62.6 0.7 0.9 0.4 26.2 -33.5
pair SLmean MACDhist pos-neg 33 17.8 14.6 51.5 0.7 1.6 0.7 23.2 -20.2
pair MACD RSI neg-pos 17 9.2 14.6 58.8 0.7 1.6 0.9 23.0 -15.9
pair RSI MACD neg-pos 17 9.2 14.6 58.8 0.7 1.6 0.9 23.0 -15.9
pair MACDhist SLmean pos-neg 33 17.8 14.6 51.5 0.7 1.6 0.7 23.2 -20.2
pair RSIhist LWTI pos-neg 18 9.7 14.4 55.6 0.7 1.4 1.2 25.4 -12.4
pair RSmean SLmean pos-pos 106 57.3 14.4 61.3 0.7 0.9 0.4 26.1 -40.5
pair SLmean RSmean pos-pos 106 57.3 14.4 61.3 0.7 0.9 0.4 26.1 -40.5
pair LWTI RSIhist pos-neg 18 9.7 14.4 55.6 0.7 1.4 1.2 25.4 -12.4
pair MRmean RSI neg-neg 53 28.6 14.0 58.5 0.6 0.8 0.3 35.4 -46.6
single RSI RSI neg-neg 64 34.6 14.0 59.4 0.6 0.8 0.3 35.1 -46.6
pair RSI MRmean neg-neg 53 28.6 14.0 58.5 0.6 0.8 0.3 35.4 -46.6
pair SLmean LWTI pos-neg 14 7.6 13.8 50.0 0.6 1.4 1.1 28.4 -12.4
pair LWTI SLmean pos-neg 14 7.6 13.8 50.0 0.6 1.4 1.1 28.4 -12.4
pair SLmean MRmean pos-pos 106 57.3 13.8 60.4 0.6 0.9 0.4 25.9 -35.2
pair MRmean SLmean pos-pos 106 57.3 13.8 60.4 0.6 0.9 0.4 25.9 -35.2
pair MACD RSIhist neg-pos 36 19.5 13.7 58.3 0.6 1.3 0.8 26.8 -16.6
pair RSIhist MACD neg-pos 36 19.5 13.7 58.3 0.6 1.3 0.8 26.8 -16.6
pair MRmean RSI pos-neg 11 5.9 13.7 63.6 0.5 3.0 0.7 35.6 -19.1
pair RSI MRmean pos-neg 11 5.9 13.7 63.6 0.5 3.0 0.7 35.6 -19.1
pair LWTI MACDhist pos-pos 97 52.4 13.6 59.8 0.6 0.9 0.3 28.7 -45.9
pair MACDhist LWTI pos-pos 97 52.4 13.6 59.8 0.6 0.9 0.3 28.7 -45.9
pair RSmean MACDhist pos-pos 96 51.9 13.4 60.4 0.6 0.8 0.3 28.8 -51.0
pair MACDhist RSmean pos-pos 96 51.9 13.4 60.4 0.6 0.8 0.3 28.8 -51.0
pair MACDhist RSIhist pos-pos 79 42.7 12.3 63.3 0.6 0.7 0.3 26.6 -41.3
pair RSIhist MACDhist pos-pos 79 42.7 12.3 63.3 0.6 0.7 0.3 26.6 -41.3
single RSmean RSmean pos-pos 161 87.0 12.0 59.0 0.5 0.8 0.2 31.9 -62.4
single MACDhist MACDhist pos-pos 99 53.5 12.0 59.6 0.5 0.8 0.2 28.7 -51.0
pair MACDhist RSI neg-neg 56 30.3 11.4 58.9 0.5 0.7 0.2 35.2 -46.6
pair RSI MACDhist neg-neg 56 30.3 11.4 58.9 0.5 0.7 0.2 35.2 -46.6
pair RSIhist MRmean pos-pos 99 53.5 11.3 62.6 0.5 0.8 0.3 26.1 -35.2
pair MRmean RSIhist pos-pos 99 53.5 11.3 62.6 0.5 0.8 0.3 26.1 -35.2
pair MRmean MACDhist neg-neg 57 30.8 11.3 54.4 0.5 0.8 0.2 38.1 -48.2
pair MACDhist MRmean neg-neg 57 30.8 11.3 54.4 0.5 0.8 0.2 38.1 -48.2
pair MACD RSIhist pos-neg 44 23.8 11.0 47.7 0.5 0.9 0.3 37.1 -42.7
pair RSIhist MACD pos-neg 44 23.8 11.0 47.7 0.5 0.9 0.3 37.1 -42.7
pair MACDhist RSIhist pos-neg 20 10.8 10.9 45.0 0.5 1.0 0.3 36.4 -34.3
pair RSIhist MACDhist pos-neg 20 10.8 10.9 45.0 0.5 1.0 0.3 36.4 -34.3
pair MACD MACDhist pos-neg 32 17.3 10.6 53.1 0.5 0.9 0.4 34.3 -26.1
pair MACDhist MACD pos-neg 32 17.3 10.6 53.1 0.5 0.9 0.4 34.3 -26.1
pair MACDhist RSI pos-pos 91 49.2 10.3 59.3 0.5 0.7 0.2 28.0 -51.0
pair RSI MACDhist pos-pos 91 49.2 10.3 59.3 0.5 0.7 0.2 28.0 -51.0
pair RSmean MACD pos-pos 110 59.5 10.2 57.3 0.5 0.7 0.2 30.9 -59.7
pair MACD RSmean pos-pos 110 59.5 10.2 57.3 0.5 0.7 0.2 30.9 -59.7
pair RSI SLmean pos-pos 100 54.1 10.1 58.0 0.5 0.7 0.2 24.7 -43.7
pair SLmean RSI pos-pos 100 54.1 10.1 58.0 0.5 0.7 0.2 24.7 -43.7
pair RSmean MACDhist pos-neg 65 35.1 9.8 56.9 0.4 0.7 0.3 36.3 -38.2
pair MACDhist RSmean pos-neg 65 35.1 9.8 56.9 0.4 0.7 0.3 36.3 -38.2
single RSIhist RSIhist pos-pos 110 59.5 9.6 60.0 0.5 0.7 0.2 25.7 -40.2
pair RSIhist RSI pos-pos 90 48.6 9.6 61.1 0.5 0.7 0.2 24.8 -41.7
pair RSI RSIhist pos-pos 90 48.6 9.6 61.1 0.5 0.7 0.2 24.8 -41.7
pair RSI RSIhist neg-pos 20 10.8 9.5 55.0 0.4 1.0 0.5 29.9 -19.4
pair RSIhist RSI neg-pos 20 10.8 9.5 55.0 0.4 1.0 0.5 29.9 -19.4
pair SLmean MACD pos-pos 85 45.9 9.5 57.6 0.5 0.6 0.2 25.1 -43.7
pair MACD SLmean pos-pos 85 45.9 9.5 57.6 0.5 0.6 0.2 25.1 -43.7
pair benchmark___benchmark_ benchmark-benchmark 185 100.0 8.9 56.8 0.4 0.7 0.2 31.4 -55.9
single MACD MACD neg-neg 67 36.2 8.9 58.2 0.4 0.6 0.2 33.8 -48.2
pair LWTI MACD pos-pos 112 60.5 8.9 56.2 0.4 0.7 0.1 30.1 -60.7
single MACD MACD pos-pos 118 63.8 8.9 55.9 0.4 0.7 0.1 30.1 -59.0
pair MACD LWTI pos-pos 112 60.5 8.9 56.2 0.4 0.7 0.1 30.1 -60.7
pair benchmark___benchmark_ benchmark-benchmark 185 100.0 8.9 56.8 0.4 0.7 0.2 31.4 -55.9
pair MACD LWTI pos-neg 6 3.2 8.8 50.0 0.4 1.3 1.2 32.9 -7.6
pair LWTI MACD pos-neg 6 3.2 8.8 50.0 0.4 1.3 1.2 32.9 -7.6
pair MRmean LWTI pos-neg 10 5.4 8.8 60.0 0.4 1.2 0.7 29.9 -12.4
pair LWTI MRmean pos-neg 10 5.4 8.8 60.0 0.4 1.2 0.7 29.9 -12.4
pair RSIhist LWTI pos-pos 92 49.7 8.6 60.9 0.5 0.6 0.2 25.9 -43.8
pair LWTI RSIhist pos-pos 92 49.7 8.6 60.9 0.5 0.6 0.2 25.9 -43.8
pair MACDhist MACD pos-pos 86 46.5 8.2 57.0 0.4 0.6 0.2 28.6 -48.6
pair MACD MACDhist pos-pos 86 46.5 8.2 57.0 0.4 0.6 0.2 28.6 -48.6
single RSIhist RSIhist neg-neg 75 40.5 7.9 52.0 0.4 0.7 0.2 38.5 -48.0
pair RSmean RSIhist pos-pos 104 56.2 7.6 60.6 0.4 0.6 0.2 25.7 -47.7
pair RSIhist RSmean pos-pos 104 56.2 7.6 60.6 0.4 0.6 0.2 25.7 -47.7
pair MACD RSIhist pos-pos 74 40.0 7.6 60.8 0.4 0.5 0.2 25.3 -42.4
pair RSIhist MACD pos-pos 74 40.0 7.6 60.8 0.4 0.5 0.2 25.3 -42.4
pair MACD SLmean neg-pos 33 17.8 7.4 51.5 0.4 0.8 0.2 40.7 -43.2
pair SLmean MACD neg-pos 33 17.8 7.4 51.5 0.4 0.8 0.2 40.7 -43.2
pair MRmean MACDhist pos-pos 92 49.7 7.4 59.8 0.4 0.5 0.1 26.9 -51.0
pair MACDhist MRmean pos-pos 92 49.7 7.4 59.8 0.4 0.5 0.1 26.9 -51.0
pair RSmean SLmean neg-pos 55 29.7 7.4 54.5 0.4 0.7 0.2 41.2 -42.1
pair SLmean RSmean neg-pos 55 29.7 7.4 54.5 0.4 0.7 0.2 41.2 -42.1
pair RSI MACD neg-neg 50 27.0 7.0 58.0 0.4 0.6 0.1 37.0 -46.6
pair MACD RSI neg-neg 50 27.0 7.0 58.0 0.4 0.6 0.1 37.0 -46.6
pair RSIhist MACDhist neg-neg 55 29.7 6.8 54.5 0.4 0.6 0.1 39.5 -46.4
pair MACDhist RSIhist neg-neg 55 29.7 6.8 54.5 0.4 0.6 0.1 39.5 -46.4
pair RSI LWTI pos-pos 114 61.6 6.6 56.1 0.4 0.6 0.1 29.5 -64.0
pair LWTI RSI pos-pos 114 61.6 6.6 56.1 0.4 0.6 0.1 29.5 -64.0
pair RSmean RSI pos-pos 112 60.5 6.4 57.1 0.3 0.6 0.1 29.8 -70.7
pair RSI RSmean pos-pos 112 60.5 6.4 57.1 0.3 0.6 0.1 29.8 -70.7
single RSI RSI pos-pos 121 65.4 6.3 55.4 0.3 0.6 0.1 29.4 -66.2
pair LWTI RSmean pos-pos 134 72.4 6.2 56.7 0.3 0.5 0.1 32.7 -66.6
pair RSmean LWTI pos-pos 134 72.4 6.2 56.7 0.3 0.5 0.1 32.7 -66.6
single MACDhist MACDhist neg-neg 86 46.5 5.4 53.5 0.3 0.5 0.1 34.4 -48.2
pair RSI MACD pos-pos 104 56.2 5.0 54.8 0.3 0.5 0.1 30.4 -67.3
pair MACD RSI pos-pos 104 56.2 5.0 54.8 0.3 0.5 0.1 30.4 -67.3
pair RSmean RSI neg-pos 9 4.9 4.6 33.3 0.3 0.6 0.4 23.7 -10.8
pair RSI RSmean neg-pos 9 4.9 4.6 33.3 0.3 0.6 0.4 23.7 -10.8
pair RSIhist SLmean neg-neg 60 32.4 4.4 55.0 0.3 0.5 0.1 41.4 -48.3
pair SLmean RSIhist neg-neg 60 32.4 4.4 55.0 0.3 0.5 0.1 41.4 -48.3
single MRmean MRmean pos-pos 121 65.4 4.2 57.9 0.3 0.4 0.1 26.6 -40.9
pair MACD MRmean neg-neg 40 21.6 3.8 55.0 0.3 0.4 0.1 37.4 -48.2
pair MRmean MACD neg-neg 40 21.6 3.8 55.0 0.3 0.4 0.1 37.4 -48.2
pair LWTI MRmean pos-pos 111 60.0 3.8 57.7 0.3 0.4 0.1 26.5 -47.8
pair MRmean LWTI pos-pos 111 60.0 3.8 57.7 0.3 0.4 0.1 26.5 -47.8
pair RSIhist MACD neg-neg 31 16.8 3.6 58.1 0.3 0.4 0.1 41.0 -46.4
pair MACD RSIhist neg-neg 31 16.8 3.6 58.1 0.3 0.4 0.1 41.0 -46.4
pair MRmean RSI pos-pos 110 59.5 3.3 57.3 0.3 0.3 0.1 25.7 -55.0
pair RSI MRmean pos-pos 110 59.5 3.3 57.3 0.3 0.3 0.1 25.7 -55.0
single LWTI LWTI pos-pos 155 83.8 3.1 54.8 0.3 0.4 0.1 31.9 -66.5
pair MACDhist RSIhist neg-pos 31 16.8 2.8 51.6 0.2 0.6 0.2 23.4 -15.3
pair RSIhist MACDhist neg-pos 31 16.8 2.8 51.6 0.2 0.6 0.2 23.4 -15.3
pair RSmean MRmean pos-pos 112 60.5 2.8 58.9 0.2 0.3 0.1 26.8 -48.7
pair MRmean RSmean pos-pos 112 60.5 2.8 58.9 0.2 0.3 0.1 26.8 -48.7
pair RSI SLmean neg-neg 50 27.0 2.7 56.0 0.3 0.4 0.1 35.8 -46.6
pair SLmean RSI neg-neg 50 27.0 2.7 56.0 0.3 0.4 0.1 35.8 -46.6
pair MACD MACDhist neg-neg 54 29.2 2.4 53.7 0.2 0.4 0.1 34.8 -48.2
pair MACDhist MACD neg-neg 54 29.2 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 23.8 1.5 47.7 0.2 0.4 0.0 43.1 -59.0
pair MRmean LWTI neg-pos 44 23.8 1.5 47.7 0.2 0.4 0.0 43.1 -59.0
pair MRmean MACD pos-pos 94 50.8 0.8 56.4 0.2 0.2 0.0 26.2 -56.5
pair MACD MRmean pos-pos 94 50.8 0.8 56.4 0.2 0.2 0.0 26.2 -56.5
pair SLmean MACDhist neg-neg 53 28.6 -0.0 54.7 0.2 0.3 -0.0 40.1 -48.2
pair MACDhist SLmean neg-neg 53 28.6 -0.0 54.7 0.2 0.3 -0.0 40.1 -48.2
single SLmean SLmean neg-neg 71 38.4 -1.3 52.1 0.2 0.3 -0.0 38.9 -61.2
pair RSI RSIhist pos-neg 31 16.8 -2.8 38.7 0.1 0.2 -0.1 40.2 -57.0
pair RSIhist RSI pos-neg 31 16.8 -2.8 38.7 0.1 0.2 -0.1 40.2 -57.0
pair LWTI RSIhist neg-pos 63 34.1 -4.5 46.0 0.1 0.1 -0.1 39.3 -70.7
pair RSIhist LWTI neg-pos 63 34.1 -4.5 46.0 0.1 0.1 -0.1 39.3 -70.7
pair MACDhist SLmean neg-pos 18 9.7 -4.8 44.4 0.0 0.1 -0.2 36.1 -28.1
pair SLmean MACDhist neg-pos 18 9.7 -4.8 44.4 0.0 0.1 -0.2 36.1 -28.1
pair MRmean RSIhist neg-pos 11 5.9 -4.8 36.4 -0.1 -0.3 -0.2 21.7 -19.8
pair RSIhist MRmean neg-pos 11 5.9 -4.8 36.4 -0.1 -0.3 -0.2 21.7 -19.8
pair MACDhist RSI pos-neg 30 16.2 -5.1 43.3 -0.0 -0.0 -0.1 33.4 -42.0
pair RSI MACDhist pos-neg 30 16.2 -5.1 43.3 -0.0 -0.0 -0.1 33.4 -42.0
pair MACDhist MRmean pos-neg 29 15.7 -5.4 51.7 -0.1 -0.1 -0.2 26.0 -25.8
pair MRmean MACDhist pos-neg 29 15.7 -5.4 51.7 -0.1 -0.1 -0.2 26.0 -25.8
pair RSI LWTI neg-pos 41 22.2 -5.9 51.2 0.0 0.1 -0.1 38.2 -52.1
pair LWTI RSI neg-pos 41 22.2 -5.9 51.2 0.0 0.1 -0.1 38.2 -52.1
pair RSmean MACD neg-pos 8 4.3 -7.4 37.5 -0.5 -0.6 -0.8 14.9 -9.2
pair RSmean MACDhist neg-neg 21 11.4 -7.4 42.9 -0.1 -0.2 -0.2 28.4 -35.4
pair MACDhist RSmean neg-neg 21 11.4 -7.4 42.9 -0.1 -0.2 -0.2 28.4 -35.4
pair MACD RSmean neg-pos 8 4.3 -7.4 37.5 -0.5 -0.6 -0.8 14.9 -9.2
pair SLmean MACD neg-neg 38 20.5 -8.2 52.6 -0.0 -0.1 -0.2 37.6 -48.2
pair MACD SLmean neg-neg 38 20.5 -8.2 52.6 -0.0 -0.1 -0.2 37.6 -48.2
single RSmean RSmean neg-neg 24 13.0 -9.7 41.7 -0.2 -0.3 -0.3 27.4 -35.4
pair RSI SLmean neg-pos 21 11.4 -10.2 42.9 -0.0 -0.1 -0.2 46.2 -51.5
pair SLmean RSI neg-pos 21 11.4 -10.2 42.9 -0.0 -0.1 -0.2 46.2 -51.5
pair MACD LWTI neg-pos 43 23.2 -10.5 51.2 -0.1 -0.2 -0.2 36.4 -53.5
pair LWTI MACD neg-pos 43 23.2 -10.5 51.2 -0.1 -0.2 -0.2 36.4 -53.5
pair MACD RSmean neg-neg 16 8.6 -10.9 43.8 -0.2 -0.3 -0.3 32.4 -35.4
pair RSmean MACD neg-neg 16 8.6 -10.9 43.8 -0.2 -0.3 -0.3 32.4 -35.4
pair LWTI MACDhist neg-pos 58 31.4 -12.3 46.6 -0.2 -0.3 -0.2 36.6 -71.0
pair MACDhist LWTI neg-pos 58 31.4 -12.3 46.6 -0.2 -0.3 -0.2 36.6 -71.0
pair LWTI RSmean neg-pos 21 11.4 -14.8 42.9 -0.5 -0.6 -0.4 26.5 -35.4
pair RSmean LWTI neg-pos 21 11.4 -14.8 42.9 -0.5 -0.6 -0.4 26.5 -35.4
pair LWTI SLmean neg-pos 55 29.7 -16.8 43.6 -0.2 -0.5 -0.2 40.8 -78.6
pair SLmean LWTI neg-pos 55 29.7 -16.8 43.6 -0.2 -0.5 -0.2 40.8 -78.6
pair RSmean RSI neg-neg 15 8.1 -17.4 46.7 -0.5 -0.6 -0.5 30.0 -33.5
pair RSI RSmean neg-neg 15 8.1 -17.4 46.7 -0.5 -0.6 -0.5 30.0 -33.5
pair RSIhist MRmean pos-neg 22 11.9 -22.6 36.4 -0.8 -1.0 -0.5 27.7 -41.8
pair MRmean RSIhist pos-neg 22 11.9 -22.6 36.4 -0.8 -1.0 -0.5 27.7 -41.8
pair RSIhist RSmean neg-neg 18 9.7 -23.8 38.9 -0.9 -1.1 -0.7 27.1 -36.6
pair RSmean RSIhist neg-neg 18 9.7 -23.8 38.9 -0.9 -1.1 -0.7 27.1 -36.6
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 8.1 -25.1 40.0 -0.9 -1.1 -0.7 28.5 -35.4
pair MRmean RSmean neg-neg 15 8.1 -25.1 40.0 -0.9 -1.1 -0.7 28.5 -35.4
pair RSmean SLmean neg-neg 16 8.6 -26.1 43.8 -0.9 -1.3 -0.7 28.8 -38.3
pair SLmean RSmean neg-neg 16 8.6 -26.1 43.8 -0.9 -1.3 -0.7 28.8 -38.3
pair RSIhist SLmean neg-pos 11 5.9 -27.4 36.4 -1.7 -2.4 -1.1 17.3 -25.8
pair SLmean RSIhist neg-pos 11 5.9 -27.4 36.4 -1.7 -2.4 -1.1 17.3 -25.8
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 15 8.1 -44.1 40.0 -2.1 -2.7 -0.9 25.7 -50.5
pair MRmean SLmean pos-neg 15 8.1 -44.1 40.0 -2.1 -2.7 -0.9 25.7 -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 13.8% | Win 60%
Sharpe 0.63 | Sortino 0.88 | Calmar 0.4
Vol 26% | MDD -35.2%
Months 106M (57%)
CAGR -44.1% | Win 40%
Sharpe -2.08 | Sortino -2.73 | Calmar -0.9
Vol 26% | MDD -50.5%
Months 15M (8%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (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 (30%)
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 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (62%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 59%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.1
Vol 27% | MDD -48.7%
Months 112M (60%)
CAGR 23.2% | Win 44%
Sharpe 0.96 | Sortino 1.95 | Calmar 2.2
Vol 25% | MDD -10.8%
Months 9M (5%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (65%)
MRmean
neg
CAGR 36.2% | Win 59%
Sharpe 0.96 | Sortino 1.69 | Calmar 1.0
Vol 41% | MDD -35.6%
Months 49M (26%)
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 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 0.8% | Win 56%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.0
Vol 26% | MDD -56.5%
Months 94M (51%)
CAGR 16.9% | Win 63%
Sharpe 0.69 | Sortino 1.59 | Calmar 0.9
Vol 28% | MDD -19.1%
Months 27M (15%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (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 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (36%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.3% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -55.0%
Months 110M (60%)
CAGR 13.7% | Win 64%
Sharpe 0.52 | Sortino 3.04 | Calmar 0.7
Vol 36% | MDD -19.1%
Months 11M (6%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (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 0.80 | 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 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 -5.4% | Win 52%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.2
Vol 26% | MDD -25.8%
Months 29M (16%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (65%)
MRmean
neg
CAGR 95.3% | Win 57%
Sharpe 1.69 | Sortino 6.46 | 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 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 63%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -35.2%
Months 99M (54%)
CAGR -22.6% | Win 36%
Sharpe -0.78 | Sortino -1.04 | Calmar -0.5
Vol 28% | MDD -41.8%
Months 22M (12%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (65%)
MRmean
neg
CAGR -4.8% | Win 36%
Sharpe -0.13 | Sortino -0.27 | Calmar -0.2
Vol 22% | MDD -19.8%
Months 11M (6%)
CAGR 23.8% | Win 58%
Sharpe 0.72 | Sortino 1.24 | 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 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 58%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -47.8%
Months 111M (60%)
CAGR 8.8% | Win 60%
Sharpe 0.41 | Sortino 1.17 | Calmar 0.7
Vol 30% | MDD -12.4%
Months 10M (5%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -40.9%
Months 121M (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 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 14.4% | Win 61%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 26% | MDD -40.5%
Months 106M (57%)
CAGR 34.7% | Win 38%
Sharpe 1.46 | Sortino 45.02 | Calmar 9.1
Vol 22% | MDD -3.8%
Months 8M (4%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (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 -26.1% | Win 44%
Sharpe -0.89 | Sortino -1.26 | Calmar -0.7
Vol 29% | MDD -38.3%
Months 16M (9%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
RSmean
only
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 58%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 85M (46%)
CAGR 36.3% | Win 66%
Sharpe 1.26 | Sortino 2.88 | Calmar 1.8
Vol 28% | MDD -20.2%
Months 29M (16%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (62%)
SLmean
neg
CAGR 7.4% | Win 52%
Sharpe 0.36 | Sortino 0.84 | Calmar 0.2
Vol 41% | MDD -43.2%
Months 33M (18%)
CAGR -8.2% | Win 53%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.2
Vol 38% | MDD -48.2%
Months 38M (20%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
MACD
only
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (36%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 58%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 100M (54%)
CAGR 65.2% | Win 71%
Sharpe 1.78 | Sortino 3.94 | Calmar 3.2
Vol 31% | MDD -20.2%
Months 14M (8%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (62%)
SLmean
neg
CAGR -10.2% | Win 43%
Sharpe -0.03 | Sortino -0.07 | Calmar -0.2
Vol 46% | MDD -51.5%
Months 21M (11%)
CAGR 2.7% | Win 56%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 36% | MDD -46.6%
Months 50M (27%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
RSI
only
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 14.6% | Win 52%
Sharpe 0.70 | Sortino 1.60 | Calmar 0.7
Vol 23% | MDD -20.2%
Months 33M (18%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (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 -0.0% | Win 55%
Sharpe 0.20 | Sortino 0.32 | Calmar -0.0
Vol 40% | MDD -48.2%
Months 53M (29%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (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 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.7% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 26% | MDD -33.5%
Months 99M (54%)
CAGR 22.8% | Win 40%
Sharpe 0.98 | Sortino 2.05 | Calmar 1.9
Vol 24% | MDD -12.2%
Months 15M (8%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (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 4.4% | Win 55%
Sharpe 0.31 | Sortino 0.54 | Calmar 0.1
Vol 41% | MDD -48.3%
Months 60M (32%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
RSIhist
only
CAGR 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 16.0% | Win 61%
Sharpe 0.71 | Sortino 0.97 | Calmar 0.4
Vol 26% | MDD -36.2%
Months 100M (54%)
CAGR 13.8% | Win 50%
Sharpe 0.59 | Sortino 1.40 | Calmar 1.1
Vol 28% | MDD -12.4%
Months 14M (8%)
CAGR 15.7% | Win 60%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 26% | MDD -31.4%
Months 114M (62%)
SLmean
neg
CAGR -16.8% | Win 44%
Sharpe -0.25 | Sortino -0.45 | Calmar -0.2
Vol 41% | MDD -78.6%
Months 55M (30%)
CAGR 77.5% | Win 81%
Sharpe 2.35 | Sortino 8.97 | Calmar 10.4
Vol 26% | MDD -7.4%
Months 16M (9%)
CAGR -1.3% | Win 52%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 39% | MDD -61.2%
Months 71M (38%)
LWTI
only
CAGR 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 10.2% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 110M (60%)
CAGR 16.0% | Win 63%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.4
Vol 34% | MDD -38.2%
Months 51M (28%)
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
RSmean
neg
CAGR -7.4% | Win 38%
Sharpe -0.45 | Sortino -0.55 | Calmar -0.8
Vol 15% | MDD -9.2%
Months 8M (4%)
CAGR -10.9% | Win 44%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.3
Vol 32% | MDD -35.4%
Months 16M (9%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
MACD
only
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (36%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.4% | Win 57%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -70.7%
Months 112M (60%)
CAGR 25.8% | Win 63%
Sharpe 0.82 | Sortino 1.28 | Calmar 0.7
Vol 36% | MDD -35.6%
Months 49M (26%)
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
RSmean
neg
CAGR 4.6% | Win 33%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.4
Vol 24% | MDD -10.8%
Months 9M (5%)
CAGR -17.4% | Win 47%
Sharpe -0.48 | Sortino -0.64 | Calmar -0.5
Vol 30% | MDD -33.5%
Months 15M (8%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
RSI
only
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 (52%)
CAGR 9.8% | Win 57%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.3
Vol 36% | MDD -38.2%
Months 65M (35%)
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
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 -7.4% | Win 43%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.2
Vol 28% | MDD -35.4%
Months 21M (11%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
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 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 61%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -47.7%
Months 104M (56%)
CAGR 20.4% | Win 56%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.6
Vol 41% | MDD -33.3%
Months 57M (31%)
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
RSmean
neg
CAGR 49.9% | Win 50%
Sharpe 1.73 | Sortino 11.46 | Calmar 29.3
Vol 25% | MDD -1.7%
Months 6M (3%)
CAGR -23.8% | Win 39%
Sharpe -0.86 | Sortino -1.11 | Calmar -0.6
Vol 27% | MDD -36.6%
Months 18M (10%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
RSIhist
only
CAGR 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 57%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 33% | MDD -66.6%
Months 134M (72%)
CAGR 45.3% | Win 70%
Sharpe 1.52 | Sortino 4.07 | Calmar 3.6
Vol 27% | MDD -12.4%
Months 27M (15%)
CAGR 12.0% | Win 59%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 32% | MDD -62.4%
Months 161M (87%)
RSmean
neg
CAGR -14.8% | Win 43%
Sharpe -0.47 | Sortino -0.60 | Calmar -0.4
Vol 26% | MDD -35.4%
Months 21M (11%)
CAGR 35.3% | Win 33%
Sharpe 0.93 | Sortino 3.79 | Calmar 6.9
Vol 38% | MDD -5.1%
Months 3M (2%)
CAGR -9.7% | Win 42%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.3
Vol 27% | MDD -35.4%
Months 24M (13%)
LWTI
only
CAGR 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 5.0% | Win 55%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -67.3%
Months 104M (56%)
CAGR 42.7% | Win 64%
Sharpe 1.42 | Sortino 3.76 | Calmar 4.0
Vol 28% | MDD -10.6%
Months 14M (8%)
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
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 (27%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (36%)
RSI
only
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 (46%)
CAGR 10.6% | Win 53%
Sharpe 0.45 | Sortino 0.86 | Calmar 0.4
Vol 34% | MDD -26.1%
Months 32M (17%)
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
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 (29%)
CAGR 8.9% | Win 58%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 34% | MDD -48.2%
Months 67M (36%)
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 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.6% | Win 61%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 25% | MDD -42.4%
Months 74M (40%)
CAGR 11.0% | Win 48%
Sharpe 0.45 | Sortino 0.95 | Calmar 0.3
Vol 37% | MDD -42.7%
Months 44M (24%)
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
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 (36%)
RSIhist
only
CAGR 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 30% | MDD -60.7%
Months 112M (60%)
CAGR 8.8% | Win 50%
Sharpe 0.38 | Sortino 1.32 | Calmar 1.2
Vol 33% | MDD -7.6%
Months 6M (3%)
CAGR 8.9% | Win 56%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.1
Vol 30% | MDD -59.0%
Months 118M (64%)
MACD
neg
CAGR -10.5% | Win 51%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.2
Vol 36% | MDD -53.5%
Months 43M (23%)
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 (36%)
LWTI
only
CAGR 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 (49%)
CAGR -5.1% | Win 43%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 33% | MDD -42.0%
Months 30M (16%)
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 (30%)
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 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.6% | Win 61%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -41.7%
Months 90M (49%)
CAGR -2.8% | Win 39%
Sharpe 0.11 | Sortino 0.24 | Calmar -0.0
Vol 40% | MDD -57.0%
Months 31M (17%)
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -64.0%
Months 114M (62%)
CAGR 1.7% | Win 43%
Sharpe 0.18 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -12.4%
Months 7M (4%)
CAGR 6.3% | Win 55%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -66.2%
Months 121M (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 (12%)
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 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 2.8% | Win 52%
Sharpe 0.23 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -15.3%
Months 31M (17%)
CAGR 6.8% | Win 55%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.1
Vol 40% | MDD -46.4%
Months 55M (30%)
CAGR 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
RSIhist
only
CAGR 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (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 (52%)
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 -12.3% | Win 47%
Sharpe -0.17 | Sortino -0.28 | Calmar -0.2
Vol 37% | MDD -71.0%
Months 58M (31%)
CAGR 53.9% | Win 68%
Sharpe 1.74 | Sortino 4.90 | Calmar 5.3
Vol 27% | MDD -10.2%
Months 28M (15%)
CAGR 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -48.2%
Months 86M (46%)
LWTI
only
CAGR 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (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 8.6% | Win 61%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -43.8%
Months 92M (50%)
CAGR 14.4% | Win 56%
Sharpe 0.65 | Sortino 1.45 | Calmar 1.2
Vol 25% | MDD -12.4%
Months 18M (10%)
CAGR 9.6% | Win 60%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -40.2%
Months 110M (60%)
RSIhist
neg
CAGR -4.5% | Win 46%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -70.7%
Months 63M (34%)
CAGR 104.2% | Win 83%
Sharpe 2.69 | Sortino 13.79 | Calmar 14.0
Vol 29% | MDD -7.4%
Months 12M (6%)
CAGR 7.9% | Win 52%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 38% | MDD -48.0%
Months 75M (40%)
LWTI
only
CAGR 3.1% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.0
Vol 32% | MDD -66.5%
Months 155M (84%)
CAGR 44.3% | Win 67%
Sharpe 1.47 | Sortino 3.95 | Calmar 3.6
Vol 28% | MDD -12.4%
Months 30M (16%)