BCI - abrdn Bloomberg All Commodity Strategy K-1 Free ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

81.4%

Best CAGR

33

Total Months

8.2%

Avg CAGR

BCI 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 BCI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 1 0.9 81.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.9 81.4 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 2 1.7 67.7 100.0 21.5 0.0 0.0 2.5 0.0
pair LWTI MACDhist pos-neg 2 1.7 67.7 100.0 21.5 0.0 0.0 2.5 0.0
pair MACDhist RSI neg-pos 1 0.9 58.3 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 1 0.9 58.3 100.0 0.0 0.0 0.0 - 0.0
pair SLmean MACDhist neg-pos 6 5.2 42.3 83.3 4.2 0.0 172.2 8.6 -0.2
pair MACDhist SLmean neg-pos 6 5.2 42.3 83.3 4.2 0.0 172.2 8.6 -0.2
pair RSIhist MACDhist pos-neg 10 8.7 33.8 70.0 1.8 2.0 4.0 16.8 -8.4
pair MACDhist RSIhist pos-neg 10 8.7 33.8 70.0 1.8 2.0 4.0 16.8 -8.4
pair RSI MACD pos-neg 7 6.1 33.1 71.4 2.9 9.7 23.0 10.1 -1.4
pair MACD RSI pos-neg 7 6.1 33.1 71.4 2.9 9.7 23.0 10.1 -1.4
pair MACD MACDhist neg-pos 5 4.3 24.4 80.0 1.2 0.0 0.0 19.0 0.0
pair MACDhist MACD neg-pos 5 4.3 24.4 80.0 1.2 0.0 0.0 19.0 0.0
pair SLmean MRmean pos-neg 8 7.0 21.7 62.5 1.9 6.0 20.6 10.6 -1.1
pair MRmean SLmean pos-neg 8 7.0 21.7 62.5 1.9 6.0 20.6 10.6 -1.1
pair MACDhist MRmean pos-pos 45 39.1 21.7 68.9 1.2 1.6 1.4 17.4 -16.0
pair MACDhist RSmean pos-pos 46 40.0 21.7 69.6 1.2 1.6 1.4 17.3 -15.1
single MACDhist MACDhist pos-pos 46 40.0 21.7 69.6 1.2 1.6 1.4 17.3 -15.1
pair RSmean MACDhist pos-pos 46 40.0 21.7 69.6 1.2 1.6 1.4 17.3 -15.1
pair MRmean MACDhist pos-pos 45 39.1 21.7 68.9 1.2 1.6 1.4 17.4 -16.0
pair MACD MACDhist pos-pos 41 35.7 21.3 68.3 1.2 1.6 1.4 17.3 -15.1
pair MACDhist MACD pos-pos 41 35.7 21.3 68.3 1.2 1.6 1.4 17.3 -15.1
pair LWTI MACD neg-neg 20 17.4 21.1 65.0 1.8 4.0 4.9 10.8 -4.3
pair MACD LWTI neg-neg 20 17.4 21.1 65.0 1.8 4.0 4.9 10.8 -4.3
pair RSI MACDhist pos-pos 45 39.1 20.9 68.9 1.2 1.6 1.4 17.4 -15.1
pair MACDhist RSI pos-pos 45 39.1 20.9 68.9 1.2 1.6 1.4 17.4 -15.1
pair LWTI RSI neg-neg 23 20.0 20.8 65.2 1.8 4.3 4.9 10.9 -4.3
pair RSI LWTI neg-neg 23 20.0 20.8 65.2 1.8 4.3 4.9 10.9 -4.3
pair MRmean MACDhist neg-pos 1 0.9 20.3 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MRmean neg-pos 1 0.9 20.3 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist pos-pos 44 38.3 19.9 68.2 1.1 1.5 1.3 17.5 -15.1
pair MACDhist LWTI pos-pos 44 38.3 19.9 68.2 1.1 1.5 1.3 17.5 -15.1
pair MACDhist SLmean pos-pos 40 34.8 18.8 67.5 1.0 1.4 1.0 18.2 -19.3
pair SLmean MACDhist pos-pos 40 34.8 18.8 67.5 1.0 1.4 1.0 18.2 -19.3
pair RSIhist MACDhist pos-pos 36 31.3 18.5 69.4 1.1 1.4 1.5 17.5 -12.0
pair MACDhist RSIhist pos-pos 36 31.3 18.5 69.4 1.1 1.4 1.5 17.5 -12.0
pair MRmean RSIhist pos-neg 13 11.3 17.4 53.8 1.1 1.7 1.5 16.2 -11.6
pair RSIhist MRmean pos-neg 13 11.3 17.4 53.8 1.1 1.7 1.5 16.2 -11.6
pair LWTI MACD pos-pos 57 49.6 16.1 63.2 1.0 1.4 0.9 15.6 -18.1
pair MACD LWTI pos-pos 57 49.6 16.1 63.2 1.0 1.4 0.9 15.6 -18.1
pair MRmean MACD pos-pos 53 46.1 15.1 62.3 1.0 1.4 0.7 15.8 -21.1
pair MACD MRmean pos-pos 53 46.1 15.1 62.3 1.0 1.4 0.7 15.8 -21.1
pair SLmean LWTI neg-neg 19 16.5 14.1 57.9 1.2 2.1 2.1 11.9 -6.6
pair LWTI SLmean neg-neg 19 16.5 14.1 57.9 1.2 2.1 2.1 11.9 -6.6
pair MRmean LWTI pos-pos 57 49.6 14.0 63.2 0.9 1.3 0.7 16.1 -19.9
pair MRmean RSmean pos-pos 63 54.8 14.0 63.5 0.9 1.3 0.7 15.6 -20.0
pair LWTI MRmean pos-pos 57 49.6 14.0 63.2 0.9 1.3 0.7 16.1 -19.9
pair RSmean MRmean pos-pos 63 54.8 14.0 63.5 0.9 1.3 0.7 15.6 -20.0
pair RSI MRmean pos-pos 61 53.0 13.8 62.3 0.9 1.3 0.7 15.7 -21.1
pair MRmean RSI pos-pos 61 53.0 13.8 62.3 0.9 1.3 0.7 15.7 -21.1
pair SLmean MACD neg-pos 21 18.3 13.6 57.1 1.1 1.8 1.1 11.8 -12.1
pair MACD SLmean neg-pos 21 18.3 13.6 57.1 1.1 1.8 1.1 11.8 -12.1
single MRmean MRmean pos-pos 64 55.7 13.5 62.5 0.9 1.3 0.6 15.5 -21.1
pair RSIhist MACD pos-pos 41 35.7 13.3 63.4 0.9 1.2 0.9 15.8 -14.3
pair MACD RSIhist pos-pos 41 35.7 13.3 63.4 0.9 1.2 0.9 15.8 -14.3
pair RSmean RSIhist pos-pos 53 46.1 13.1 64.2 0.9 1.3 0.9 15.5 -13.9
pair RSIhist RSmean pos-pos 53 46.1 13.1 64.2 0.9 1.3 0.9 15.5 -13.9
pair RSmean MACD pos-pos 67 58.3 13.0 59.7 0.9 1.3 0.6 15.2 -23.5
pair MACD RSmean pos-pos 67 58.3 13.0 59.7 0.9 1.3 0.6 15.2 -23.5
pair SLmean RSIhist pos-pos 53 46.1 12.8 62.3 0.8 1.2 0.9 15.6 -14.3
pair RSIhist SLmean pos-pos 53 46.1 12.8 62.3 0.8 1.2 0.9 15.6 -14.3
pair MRmean RSIhist pos-pos 51 44.3 12.5 64.7 0.8 1.2 0.9 15.5 -14.3
pair RSIhist MRmean pos-pos 51 44.3 12.5 64.7 0.8 1.2 0.9 15.5 -14.3
single MACD MACD pos-pos 68 59.1 12.5 58.8 0.9 1.3 0.5 15.1 -23.5
pair MRmean SLmean pos-pos 56 48.7 12.4 62.5 0.8 1.2 0.5 16.2 -23.3
pair SLmean MRmean pos-pos 56 48.7 12.4 62.5 0.8 1.2 0.5 16.2 -23.3
pair LWTI RSI pos-pos 66 57.4 12.3 60.6 0.8 1.2 0.6 15.4 -20.0
pair RSI LWTI pos-pos 66 57.4 12.3 60.6 0.8 1.2 0.6 15.4 -20.0
pair MACD SLmean pos-pos 47 40.9 12.0 59.6 0.8 1.1 0.5 16.5 -25.1
pair SLmean MACD pos-pos 47 40.9 12.0 59.6 0.8 1.1 0.5 16.5 -25.1
pair SLmean LWTI pos-pos 50 43.5 11.9 62.0 0.8 1.1 0.5 16.8 -22.2
pair RSIhist RSI pos-pos 51 44.3 11.9 62.7 0.8 1.1 0.8 15.4 -14.3
pair RSI RSIhist pos-pos 51 44.3 11.9 62.7 0.8 1.1 0.8 15.4 -14.3
pair LWTI SLmean pos-pos 50 43.5 11.9 62.0 0.8 1.1 0.5 16.8 -22.2
pair LWTI RSIhist pos-pos 48 41.7 11.8 64.6 0.8 1.1 0.9 15.7 -12.7
pair MRmean LWTI neg-neg 24 20.9 11.8 54.2 1.0 2.0 1.8 11.9 -6.6
pair LWTI MRmean neg-neg 24 20.9 11.8 54.2 1.0 2.0 1.8 11.9 -6.6
pair SLmean RSI pos-pos 54 47.0 11.8 61.1 0.8 1.1 0.5 16.4 -25.1
pair RSIhist LWTI pos-pos 48 41.7 11.8 64.6 0.8 1.1 0.9 15.7 -12.7
pair RSI SLmean pos-pos 54 47.0 11.8 61.1 0.8 1.1 0.5 16.4 -25.1
single RSIhist RSIhist pos-pos 57 49.6 11.7 61.4 0.8 1.2 0.8 15.1 -14.3
pair SLmean RSmean pos-pos 61 53.0 11.4 60.7 0.8 1.2 0.5 15.9 -24.1
pair RSmean SLmean pos-pos 61 53.0 11.4 60.7 0.8 1.2 0.5 15.9 -24.1
pair RSIhist MACD pos-neg 27 23.5 11.3 51.9 0.8 1.4 0.7 14.2 -17.5
pair MACD RSIhist pos-neg 27 23.5 11.3 51.9 0.8 1.4 0.7 14.2 -17.5
pair RSIhist LWTI neg-neg 22 19.1 11.3 59.1 1.0 1.8 1.7 11.4 -6.6
pair LWTI RSIhist neg-neg 22 19.1 11.3 59.1 1.0 1.8 1.7 11.4 -6.6
single LWTI LWTI neg-neg 31 27.0 11.3 54.8 1.0 2.1 1.5 11.4 -7.4
pair LWTI RSIhist pos-neg 9 7.8 11.2 44.4 0.9 2.8 3.3 12.1 -3.3
pair RSIhist LWTI pos-neg 9 7.8 11.2 44.4 0.9 2.8 3.3 12.1 -3.3
single SLmean SLmean pos-pos 62 53.9 10.9 59.7 0.7 1.1 0.4 15.8 -25.1
pair RSI RSIhist neg-pos 6 5.2 10.5 50.0 0.8 2.4 3.1 13.5 -3.3
pair RSIhist RSI neg-pos 6 5.2 10.5 50.0 0.8 2.4 3.1 13.5 -3.3
pair RSI MACD pos-pos 61 53.0 10.4 57.4 0.7 1.1 0.3 15.5 -30.0
pair MACD RSI pos-pos 61 53.0 10.4 57.4 0.7 1.1 0.3 15.5 -30.0
pair RSmean RSI pos-pos 68 59.1 10.2 58.8 0.7 1.1 0.3 15.6 -29.1
pair RSI RSmean pos-pos 68 59.1 10.2 58.8 0.7 1.1 0.3 15.6 -29.1
pair MRmean LWTI pos-neg 7 6.1 9.6 57.1 1.0 2.0 5.3 10.0 -1.8
pair LWTI MRmean pos-neg 7 6.1 9.6 57.1 1.0 2.0 5.3 10.0 -1.8
pair RSmean LWTI pos-neg 30 26.1 9.5 53.3 0.9 1.8 1.3 11.3 -7.4
pair LWTI RSmean pos-neg 30 26.1 9.5 53.3 0.9 1.8 1.3 11.3 -7.4
single RSI RSI pos-pos 74 64.3 9.3 56.8 0.7 1.0 0.3 15.0 -30.0
single RSmean RSmean pos-pos 100 87.0 8.6 57.0 0.6 0.9 0.3 15.0 -30.7
pair MRmean RSI pos-neg 3 2.6 8.4 66.7 0.7 0.0 0.0 12.8 0.0
pair RSI MRmean pos-neg 3 2.6 8.4 66.7 0.7 0.0 0.0 12.8 0.0
pair LWTI MACDhist neg-neg 29 25.2 8.2 51.7 0.8 1.6 1.0 11.3 -8.3
pair MACDhist LWTI neg-neg 29 25.2 8.2 51.7 0.8 1.6 1.0 11.3 -8.3
pair LWTI RSmean pos-pos 70 60.9 8.2 58.6 0.6 0.8 0.3 16.4 -31.9
pair RSmean LWTI pos-pos 70 60.9 8.2 58.6 0.6 0.8 0.3 16.4 -31.9
pair MACD RSIhist neg-pos 16 13.9 7.8 56.2 0.6 1.0 0.6 13.5 -13.9
pair RSIhist MACD neg-pos 16 13.9 7.8 56.2 0.6 1.0 0.6 13.5 -13.9
pair benchmark___benchmark_ benchmark-benchmark 115 100.0 7.6 54.8 0.6 0.8 0.2 14.3 -30.5
pair benchmark___benchmark_ benchmark-benchmark 115 100.0 7.6 54.8 0.6 0.8 0.2 14.3 -30.5
pair MACD SLmean pos-neg 15 13.0 7.6 60.0 0.6 1.1 0.5 13.9 -15.1
pair SLmean MACD pos-neg 15 13.0 7.6 60.0 0.6 1.1 0.5 13.9 -15.1
pair SLmean LWTI pos-neg 12 10.4 7.0 50.0 0.7 1.9 1.8 10.9 -3.8
pair LWTI SLmean pos-neg 12 10.4 7.0 50.0 0.7 1.9 1.8 10.9 -3.8
single LWTI LWTI pos-pos 84 73.0 6.3 54.8 0.5 0.7 0.2 15.3 -35.1
pair MRmean MACD pos-neg 11 9.6 6.0 63.6 0.5 0.8 0.4 14.6 -15.7
pair MACD MRmean pos-neg 11 9.6 6.0 63.6 0.5 0.8 0.4 14.6 -15.7
pair RSI SLmean pos-neg 8 7.0 5.5 50.0 0.5 1.6 1.6 12.0 -3.4
pair SLmean RSI pos-neg 8 7.0 5.5 50.0 0.5 1.6 1.6 12.0 -3.4
pair RSI RSmean pos-neg 32 27.8 5.4 53.1 0.5 0.6 0.3 13.8 -20.6
pair RSmean RSI pos-neg 32 27.8 5.4 53.1 0.5 0.6 0.3 13.8 -20.6
pair RSIhist MRmean neg-pos 6 5.2 4.9 33.3 0.5 1.7 0.8 11.9 -5.9
pair MRmean RSIhist neg-pos 6 5.2 4.9 33.3 0.5 1.7 0.8 11.9 -5.9
pair MACD RSI neg-pos 13 11.3 4.7 53.8 0.4 0.6 0.4 12.9 -12.8
pair RSI MACD neg-pos 13 11.3 4.7 53.8 0.4 0.6 0.4 12.9 -12.8
single RSI RSI neg-neg 41 35.7 4.5 51.2 0.4 0.5 0.2 12.9 -20.4
pair SLmean RSmean neg-pos 39 33.9 4.4 51.3 0.4 0.5 0.3 13.5 -16.6
pair RSmean SLmean neg-pos 39 33.9 4.4 51.3 0.4 0.5 0.3 13.5 -16.6
pair RSIhist SLmean neg-neg 49 42.6 4.3 49.0 0.4 0.5 0.2 12.8 -18.2
pair SLmean RSIhist neg-neg 49 42.6 4.3 49.0 0.4 0.5 0.2 12.8 -18.2
pair SLmean RSI neg-neg 33 28.7 4.2 51.5 0.4 0.5 0.2 13.3 -18.2
pair RSI SLmean neg-neg 33 28.7 4.2 51.5 0.4 0.5 0.2 13.3 -18.2
pair RSI MRmean neg-neg 38 33.0 4.2 50.0 0.4 0.5 0.2 13.1 -20.4
pair MRmean RSI neg-neg 38 33.0 4.2 50.0 0.4 0.5 0.2 13.1 -20.4
pair RSIhist RSI pos-neg 23 20.0 4.0 43.5 0.3 0.6 0.2 14.4 -21.5
pair RSI RSIhist pos-neg 23 20.0 4.0 43.5 0.3 0.6 0.2 14.4 -21.5
pair MRmean MACD neg-pos 15 13.0 3.8 46.7 0.3 0.6 0.3 12.4 -11.3
pair MACD MRmean neg-pos 15 13.0 3.8 46.7 0.3 0.6 0.3 12.4 -11.3
single SLmean SLmean neg-neg 53 46.1 3.8 49.1 0.4 0.5 0.2 12.4 -20.3
single RSIhist RSIhist neg-neg 58 50.4 3.7 48.3 0.3 0.5 0.2 13.5 -19.3
pair RSmean RSIhist pos-neg 47 40.9 3.7 48.9 0.3 0.5 0.2 14.4 -17.8
pair RSIhist RSmean pos-neg 47 40.9 3.7 48.9 0.3 0.5 0.2 14.4 -17.8
pair RSI RSIhist neg-neg 35 30.4 3.5 51.4 0.3 0.4 0.2 13.0 -18.2
pair RSIhist RSI neg-neg 35 30.4 3.5 51.4 0.3 0.4 0.2 13.0 -18.2
pair RSmean RSIhist neg-neg 11 9.6 3.5 45.5 0.4 0.7 0.8 9.3 -4.6
pair RSIhist RSmean neg-neg 11 9.6 3.5 45.5 0.4 0.7 0.8 9.3 -4.6
pair MACDhist RSI neg-neg 40 34.8 3.4 50.0 0.3 0.4 0.2 13.0 -20.4
pair RSI MACDhist neg-neg 40 34.8 3.4 50.0 0.3 0.4 0.2 13.0 -20.4
pair SLmean RSI neg-pos 20 17.4 3.1 45.0 0.3 0.5 0.2 10.9 -14.6
pair RSI SLmean neg-pos 20 17.4 3.1 45.0 0.3 0.5 0.2 10.9 -14.6
pair MRmean RSmean neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair RSmean MRmean neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair MACD RSmean neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair RSmean MACD neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair RSmean SLmean neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair SLmean RSmean neg-neg 14 12.2 2.2 42.9 0.3 0.5 0.5 8.6 -4.6
pair RSmean RSI neg-neg 9 7.8 1.3 44.4 0.2 0.3 0.3 9.8 -4.6
pair RSI RSmean neg-neg 9 7.8 1.3 44.4 0.2 0.3 0.3 9.8 -4.6
single RSmean RSmean neg-neg 15 13.0 1.0 40.0 0.2 0.3 0.2 8.4 -5.9
pair MACDhist RSmean neg-neg 15 13.0 1.0 40.0 0.2 0.3 0.2 8.4 -5.9
pair RSmean MACDhist neg-neg 15 13.0 1.0 40.0 0.2 0.3 0.2 8.4 -5.9
pair MACDhist RSIhist neg-pos 21 18.3 1.0 47.6 0.1 0.3 0.1 9.2 -6.9
pair RSIhist MACDhist neg-pos 21 18.3 1.0 47.6 0.1 0.3 0.1 9.2 -6.9
pair SLmean MRmean neg-neg 45 39.1 0.9 46.7 0.1 0.2 0.1 12.6 -18.5
pair MRmean SLmean neg-neg 45 39.1 0.9 46.7 0.1 0.2 0.1 12.6 -18.5
single MACD MACD neg-neg 47 40.9 0.8 48.9 0.1 0.2 0.0 12.9 -30.5
pair RSIhist SLmean pos-neg 9 7.8 0.6 44.4 0.1 0.2 0.1 17.8 -12.6
pair SLmean RSIhist pos-neg 9 7.8 0.6 44.4 0.1 0.2 0.1 17.8 -12.6
single MRmean MRmean neg-neg 51 44.3 0.6 45.1 0.1 0.1 0.0 12.4 -22.4
pair RSI RSmean neg-pos 6 5.2 0.6 33.3 0.1 0.3 0.1 6.8 -3.9
pair RSmean RSI neg-pos 6 5.2 0.6 33.3 0.1 0.3 0.1 6.8 -3.9
pair RSmean MACD pos-neg 33 28.7 0.3 51.5 0.1 0.1 0.0 14.5 -30.7
pair MACD RSmean pos-neg 33 28.7 0.3 51.5 0.1 0.1 0.0 14.5 -30.7
pair MACD MACDhist pos-neg 27 23.5 0.3 44.4 0.1 0.1 0.0 10.4 -14.4
pair MACDhist MACD pos-neg 27 23.5 0.3 44.4 0.1 0.1 0.0 10.4 -14.4
pair MACDhist MRmean neg-neg 50 43.5 0.2 44.0 0.1 0.1 0.0 12.5 -22.4
pair MRmean MACDhist neg-neg 50 43.5 0.2 44.0 0.1 0.1 0.0 12.5 -22.4
pair RSmean MRmean neg-pos 37 32.2 -0.0 45.9 0.1 0.1 -0.0 13.7 -20.6
pair MRmean RSmean neg-pos 37 32.2 -0.0 45.9 0.1 0.1 -0.0 13.7 -20.6
pair RSIhist MRmean neg-neg 45 39.1 0.0 46.7 0.1 0.1 0.0 12.6 -18.2
pair MRmean RSIhist neg-neg 45 39.1 0.0 46.7 0.1 0.1 0.0 12.6 -18.2
pair MACDhist SLmean neg-neg 47 40.9 -0.3 44.7 0.0 0.1 -0.0 12.3 -20.3
pair SLmean MACDhist neg-neg 47 40.9 -0.3 44.7 0.0 0.1 -0.0 12.3 -20.3
pair MACD RSI neg-neg 34 29.6 -0.6 47.1 0.0 0.0 -0.0 13.1 -20.4
pair RSI MACD neg-neg 34 29.6 -0.6 47.1 0.0 0.0 -0.0 13.1 -20.4
pair LWTI RSIhist neg-pos 36 31.3 -0.7 41.7 0.0 0.0 -0.0 14.7 -27.2
pair RSIhist LWTI neg-pos 36 31.3 -0.7 41.7 0.0 0.0 -0.0 14.7 -27.2
pair MRmean MACD neg-neg 36 31.3 -0.7 44.4 0.0 0.0 -0.0 12.6 -22.4
pair MACD MRmean neg-neg 36 31.3 -0.7 44.4 0.0 0.0 -0.0 12.6 -22.4
single MACDhist MACDhist neg-neg 69 60.0 -0.9 44.9 -0.0 -0.0 -0.0 11.4 -24.9
pair RSmean MACDhist pos-neg 54 47.0 -1.4 46.3 -0.1 -0.1 -0.1 12.2 -25.0
pair MACDhist RSmean pos-neg 54 47.0 -1.4 46.3 -0.1 -0.1 -0.1 12.2 -25.0
pair SLmean LWTI neg-pos 34 29.6 -1.5 44.1 -0.1 -0.1 -0.1 12.5 -27.4
pair LWTI SLmean neg-pos 34 29.6 -1.5 44.1 -0.1 -0.1 -0.1 12.5 -27.4
pair SLmean RSIhist neg-pos 4 3.5 -1.5 50.0 -0.2 -0.4 -0.6 6.0 -2.6
pair RSIhist SLmean neg-pos 4 3.5 -1.5 50.0 -0.2 -0.4 -0.6 6.0 -2.6
pair MACD MACDhist neg-neg 42 36.5 -1.6 45.2 -0.1 -0.1 -0.1 12.1 -24.9
pair MACDhist MACD neg-neg 42 36.5 -1.6 45.2 -0.1 -0.1 -0.1 12.1 -24.9
pair RSIhist MACDhist neg-neg 48 41.7 -1.7 43.8 -0.1 -0.1 -0.1 12.3 -19.4
pair MACDhist RSIhist neg-neg 48 41.7 -1.7 43.8 -0.1 -0.1 -0.1 12.3 -19.4
pair MRmean SLmean neg-pos 6 5.2 -1.8 33.3 -0.1 -0.4 -0.5 12.3 -3.4
pair SLmean MRmean neg-pos 6 5.2 -1.8 33.3 -0.1 -0.4 -0.5 12.3 -3.4
pair SLmean MACDhist pos-neg 22 19.1 -2.1 45.5 -0.2 -0.5 -0.2 9.3 -12.1
pair MACDhist SLmean pos-neg 22 19.1 -2.1 45.5 -0.2 -0.5 -0.2 9.3 -12.1
pair SLmean MACD neg-neg 32 27.8 -2.2 43.8 -0.1 -0.1 -0.1 12.6 -20.3
pair MACD SLmean neg-neg 32 27.8 -2.2 43.8 -0.1 -0.1 -0.1 12.6 -20.3
pair MACD RSIhist neg-neg 31 27.0 -2.5 45.2 -0.1 -0.2 -0.1 12.7 -19.3
pair RSIhist MACD neg-neg 31 27.0 -2.5 45.2 -0.1 -0.2 -0.1 12.7 -19.3
pair LWTI RSmean neg-pos 14 12.2 -3.1 35.7 -0.4 -0.6 -0.4 7.2 -8.4
pair RSmean LWTI neg-pos 14 12.2 -3.1 35.7 -0.4 -0.6 -0.4 7.2 -8.4
pair MRmean MACDhist pos-neg 19 16.5 -3.7 47.4 -0.4 -0.9 -0.3 7.9 -13.9
pair MACDhist MRmean pos-neg 19 16.5 -3.7 47.4 -0.4 -0.9 -0.3 7.9 -13.9
pair MACD LWTI pos-neg 11 9.6 -4.5 36.4 -0.3 -0.7 -0.6 11.5 -7.4
pair LWTI MACD pos-neg 11 9.6 -4.5 36.4 -0.3 -0.7 -0.6 11.5 -7.4
pair RSmean RSIhist neg-pos 4 3.5 -5.6 25.0 -0.9 -2.4 -1.4 6.3 -3.9
pair RSIhist RSmean neg-pos 4 3.5 -5.6 25.0 -0.9 -2.4 -1.4 6.3 -3.9
pair RSI MACDhist pos-neg 29 25.2 -6.5 37.9 -0.7 -1.1 -0.3 8.7 -23.5
pair MACDhist RSI pos-neg 29 25.2 -6.5 37.9 -0.7 -1.1 -0.3 8.7 -23.5
pair LWTI MACDhist neg-pos 40 34.8 -7.0 40.0 -0.6 -0.7 -0.2 11.3 -33.3
pair MACDhist LWTI neg-pos 40 34.8 -7.0 40.0 -0.6 -0.7 -0.2 11.3 -33.3
pair MRmean LWTI neg-pos 27 23.5 -8.4 37.0 -0.6 -0.7 -0.3 12.4 -27.5
pair LWTI MRmean neg-pos 27 23.5 -8.4 37.0 -0.6 -0.7 -0.3 12.4 -27.5
pair RSI MRmean neg-pos 13 11.3 -9.2 30.8 -0.9 -1.3 -0.6 9.9 -15.8
pair MRmean RSI neg-pos 13 11.3 -9.2 30.8 -0.9 -1.3 -0.6 9.9 -15.8
pair MACD LWTI neg-pos 27 23.5 -11.9 37.0 -0.9 -1.0 -0.3 13.2 -35.1
pair LWTI MACD neg-pos 27 23.5 -11.9 37.0 -0.9 -1.0 -0.3 13.2 -35.1
pair LWTI RSI pos-neg 8 7.0 -12.2 25.0 -1.2 -1.8 -1.0 10.6 -12.6
pair RSI LWTI pos-neg 8 7.0 -12.2 25.0 -1.2 -1.8 -1.0 10.6 -12.6
pair LWTI RSI neg-pos 18 15.7 -13.2 33.3 -1.0 -1.0 -0.5 13.7 -25.7
pair RSI LWTI neg-pos 18 15.7 -13.2 33.3 -1.0 -1.0 -0.5 13.7 -25.7
pair MACD RSmean neg-pos 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACD neg-pos 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean pos-neg 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MRmean pos-neg 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 1 0.9 -14.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for BCI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 12.4% | Win 62%
Sharpe 0.81 | Sortino 1.18 | Calmar 0.5
Vol 16% | MDD -23.3%
Months 56M (49%)
CAGR 21.7% | Win 62%
Sharpe 1.92 | Sortino 5.95 | Calmar 20.6
Vol 11% | MDD -1.1%
Months 8M (7%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR -1.8% | Win 33%
Sharpe -0.10 | Sortino -0.44 | Calmar -0.5
Vol 12% | MDD -3.4%
Months 6M (5%)
CAGR 0.9% | Win 47%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.1
Vol 13% | MDD -18.5%
Months 45M (39%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
SLmean
only
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 14.0% | Win 64%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.7
Vol 16% | MDD -20.0%
Months 63M (55%)
CAGR -14.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR -0.0% | Win 46%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 14% | MDD -20.6%
Months 37M (32%)
CAGR 2.2% | Win 43%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.5
Vol 9% | MDD -4.6%
Months 14M (12%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
RSmean
only
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 15.1% | Win 62%
Sharpe 0.97 | Sortino 1.38 | Calmar 0.7
Vol 16% | MDD -21.1%
Months 53M (46%)
CAGR 6.0% | Win 64%
Sharpe 0.47 | Sortino 0.85 | Calmar 0.4
Vol 15% | MDD -15.7%
Months 11M (10%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR 3.8% | Win 47%
Sharpe 0.35 | Sortino 0.59 | Calmar 0.3
Vol 12% | MDD -11.3%
Months 15M (13%)
CAGR -0.7% | Win 44%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 13% | MDD -22.4%
Months 36M (31%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
MACD
only
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 13.8% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.7
Vol 16% | MDD -21.1%
Months 61M (53%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (3%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR -9.2% | Win 31%
Sharpe -0.92 | Sortino -1.30 | Calmar -0.6
Vol 10% | MDD -15.8%
Months 13M (11%)
CAGR 4.2% | Win 50%
Sharpe 0.38 | Sortino 0.48 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 38M (33%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
RSI
only
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 21.7% | Win 69%
Sharpe 1.22 | Sortino 1.62 | Calmar 1.4
Vol 17% | MDD -16.0%
Months 45M (39%)
CAGR -3.7% | Win 47%
Sharpe -0.44 | Sortino -0.88 | Calmar -0.3
Vol 8% | MDD -13.9%
Months 19M (16%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR 20.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 0.2% | Win 44%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 50M (44%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
MACDhist
only
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 12.5% | Win 65%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.9
Vol 16% | MDD -14.3%
Months 51M (44%)
CAGR 17.4% | Win 54%
Sharpe 1.07 | Sortino 1.70 | Calmar 1.5
Vol 16% | MDD -11.6%
Months 13M (11%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR 4.9% | Win 33%
Sharpe 0.45 | Sortino 1.68 | Calmar 0.8
Vol 12% | MDD -5.9%
Months 6M (5%)
CAGR 0.0% | Win 47%
Sharpe 0.07 | Sortino 0.08 | Calmar 0.0
Vol 13% | MDD -18.2%
Months 45M (39%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 14.0% | Win 63%
Sharpe 0.90 | Sortino 1.29 | Calmar 0.7
Vol 16% | MDD -19.9%
Months 57M (50%)
CAGR 9.6% | Win 57%
Sharpe 0.96 | Sortino 1.97 | Calmar 5.3
Vol 10% | MDD -1.8%
Months 7M (6%)
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -21.1%
Months 64M (56%)
MRmean
neg
CAGR -8.4% | Win 37%
Sharpe -0.64 | Sortino -0.71 | Calmar -0.3
Vol 12% | MDD -27.5%
Months 27M (24%)
CAGR 11.8% | Win 54%
Sharpe 0.99 | Sortino 2.05 | Calmar 1.8
Vol 12% | MDD -6.6%
Months 24M (21%)
CAGR 0.6% | Win 45%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -22.4%
Months 51M (44%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 11.4% | Win 61%
Sharpe 0.76 | Sortino 1.16 | Calmar 0.5
Vol 16% | MDD -24.1%
Months 61M (53%)
CAGR -14.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR 4.4% | Win 51%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.3
Vol 14% | MDD -16.6%
Months 39M (34%)
CAGR 2.2% | Win 43%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.5
Vol 9% | MDD -4.6%
Months 14M (12%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
RSmean
only
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 12.0% | Win 60%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.5
Vol 16% | MDD -25.1%
Months 47M (41%)
CAGR 7.6% | Win 60%
Sharpe 0.59 | Sortino 1.05 | Calmar 0.5
Vol 14% | MDD -15.1%
Months 15M (13%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR 13.6% | Win 57%
Sharpe 1.14 | Sortino 1.80 | Calmar 1.1
Vol 12% | MDD -12.1%
Months 21M (18%)
CAGR -2.2% | Win 44%
Sharpe -0.11 | Sortino -0.13 | Calmar -0.1
Vol 13% | MDD -20.3%
Months 32M (28%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
MACD
only
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 11.8% | Win 61%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -25.1%
Months 54M (47%)
CAGR 5.5% | Win 50%
Sharpe 0.50 | Sortino 1.65 | Calmar 1.6
Vol 12% | MDD -3.4%
Months 8M (7%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR 3.1% | Win 45%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.2
Vol 11% | MDD -14.6%
Months 20M (17%)
CAGR 4.2% | Win 52%
Sharpe 0.38 | Sortino 0.45 | Calmar 0.2
Vol 13% | MDD -18.2%
Months 33M (29%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
RSI
only
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 18.8% | Win 68%
Sharpe 1.04 | Sortino 1.44 | Calmar 1.0
Vol 18% | MDD -19.3%
Months 40M (35%)
CAGR -2.1% | Win 46%
Sharpe -0.18 | Sortino -0.47 | Calmar -0.2
Vol 9% | MDD -12.1%
Months 22M (19%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR 42.3% | Win 83%
Sharpe 4.19 | Sortino 0.00 | Calmar 172.2
Vol 9% | MDD -0.2%
Months 6M (5%)
CAGR -0.3% | Win 45%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 12% | MDD -20.3%
Months 47M (41%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
MACDhist
only
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 12.8% | Win 62%
Sharpe 0.85 | Sortino 1.25 | Calmar 0.9
Vol 16% | MDD -14.3%
Months 53M (46%)
CAGR 0.6% | Win 44%
Sharpe 0.11 | Sortino 0.20 | Calmar 0.0
Vol 18% | MDD -12.6%
Months 9M (8%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR -1.5% | Win 50%
Sharpe -0.24 | Sortino -0.43 | Calmar -0.6
Vol 6% | MDD -2.6%
Months 4M (4%)
CAGR 4.3% | Win 49%
Sharpe 0.39 | Sortino 0.50 | Calmar 0.2
Vol 13% | MDD -18.2%
Months 49M (43%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 11.9% | Win 62%
Sharpe 0.75 | Sortino 1.13 | Calmar 0.5
Vol 17% | MDD -22.2%
Months 50M (44%)
CAGR 7.0% | Win 50%
Sharpe 0.67 | Sortino 1.94 | Calmar 1.8
Vol 11% | MDD -3.8%
Months 12M (10%)
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -25.1%
Months 62M (54%)
SLmean
neg
CAGR -1.5% | Win 44%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 12% | MDD -27.4%
Months 34M (30%)
CAGR 14.1% | Win 58%
Sharpe 1.17 | Sortino 2.09 | Calmar 2.1
Vol 12% | MDD -6.6%
Months 19M (16%)
CAGR 3.8% | Win 49%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 12% | MDD -20.3%
Months 53M (46%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 13.0% | Win 60%
Sharpe 0.88 | Sortino 1.30 | Calmar 0.6
Vol 15% | MDD -23.5%
Months 67M (58%)
CAGR 0.3% | Win 52%
Sharpe 0.09 | Sortino 0.12 | Calmar 0.0
Vol 14% | MDD -30.7%
Months 33M (29%)
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
RSmean
neg
CAGR -14.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 2.2% | Win 43%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.5
Vol 9% | MDD -4.6%
Months 14M (12%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
MACD
only
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 10.2% | Win 59%
Sharpe 0.70 | Sortino 1.05 | Calmar 0.3
Vol 16% | MDD -29.1%
Months 68M (59%)
CAGR 5.4% | Win 53%
Sharpe 0.45 | Sortino 0.56 | Calmar 0.3
Vol 14% | MDD -20.6%
Months 32M (28%)
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
RSmean
neg
CAGR 0.6% | Win 33%
Sharpe 0.11 | Sortino 0.35 | Calmar 0.1
Vol 7% | MDD -3.9%
Months 6M (5%)
CAGR 1.3% | Win 44%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.3
Vol 10% | MDD -4.6%
Months 9M (8%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
RSI
only
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -1.4% | Win 46%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 12% | MDD -25.0%
Months 54M (47%)
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
RSmean
neg
-
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
MACDhist
only
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 13.1% | Win 64%
Sharpe 0.88 | Sortino 1.26 | Calmar 0.9
Vol 16% | MDD -13.9%
Months 53M (46%)
CAGR 3.7% | Win 49%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.2
Vol 14% | MDD -17.8%
Months 47M (41%)
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
RSmean
neg
CAGR -5.6% | Win 25%
Sharpe -0.89 | Sortino -2.39 | Calmar -1.4
Vol 6% | MDD -3.9%
Months 4M (4%)
CAGR 3.5% | Win 46%
Sharpe 0.41 | Sortino 0.65 | Calmar 0.8
Vol 9% | MDD -4.6%
Months 11M (10%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 8.2% | Win 59%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -31.9%
Months 70M (61%)
CAGR 9.5% | Win 53%
Sharpe 0.86 | Sortino 1.78 | Calmar 1.3
Vol 11% | MDD -7.4%
Months 30M (26%)
CAGR 8.6% | Win 57%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 100M (87%)
RSmean
neg
CAGR -3.1% | Win 36%
Sharpe -0.41 | Sortino -0.61 | Calmar -0.4
Vol 7% | MDD -8.4%
Months 14M (12%)
CAGR 81.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 1.0% | Win 40%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.2
Vol 8% | MDD -5.9%
Months 15M (13%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 10.4% | Win 57%
Sharpe 0.71 | Sortino 1.07 | Calmar 0.3
Vol 16% | MDD -30.0%
Months 61M (53%)
CAGR 33.1% | Win 71%
Sharpe 2.89 | Sortino 9.71 | Calmar 23.0
Vol 10% | MDD -1.4%
Months 7M (6%)
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
MACD
neg
CAGR 4.7% | Win 54%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.4
Vol 13% | MDD -12.8%
Months 13M (11%)
CAGR -0.6% | Win 47%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 13% | MDD -20.4%
Months 34M (30%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
RSI
only
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 21.3% | Win 68%
Sharpe 1.21 | Sortino 1.59 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 41M (36%)
CAGR 0.3% | Win 44%
Sharpe 0.08 | Sortino 0.15 | Calmar 0.0
Vol 10% | MDD -14.4%
Months 27M (24%)
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
MACD
neg
CAGR 24.4% | Win 80%
Sharpe 1.23 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 5M (4%)
CAGR -1.6% | Win 45%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 12% | MDD -24.9%
Months 42M (36%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
MACDhist
only
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 13.3% | Win 63%
Sharpe 0.87 | Sortino 1.20 | Calmar 0.9
Vol 16% | MDD -14.3%
Months 41M (36%)
CAGR 11.3% | Win 52%
Sharpe 0.82 | Sortino 1.35 | Calmar 0.6
Vol 14% | MDD -17.5%
Months 27M (24%)
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
MACD
neg
CAGR 7.8% | Win 56%
Sharpe 0.62 | Sortino 1.04 | Calmar 0.6
Vol 14% | MDD -13.9%
Months 16M (14%)
CAGR -2.5% | Win 45%
Sharpe -0.14 | Sortino -0.16 | Calmar -0.1
Vol 13% | MDD -19.3%
Months 31M (27%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 16.1% | Win 63%
Sharpe 1.04 | Sortino 1.45 | Calmar 0.9
Vol 16% | MDD -18.1%
Months 57M (50%)
CAGR -4.5% | Win 36%
Sharpe -0.35 | Sortino -0.65 | Calmar -0.6
Vol 12% | MDD -7.4%
Months 11M (10%)
CAGR 12.5% | Win 59%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.5
Vol 15% | MDD -23.5%
Months 68M (59%)
MACD
neg
CAGR -11.9% | Win 37%
Sharpe -0.89 | Sortino -1.03 | Calmar -0.3
Vol 13% | MDD -35.1%
Months 27M (24%)
CAGR 21.1% | Win 65%
Sharpe 1.83 | Sortino 4.05 | Calmar 4.9
Vol 11% | MDD -4.3%
Months 20M (17%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 13% | MDD -30.5%
Months 47M (41%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 20.9% | Win 69%
Sharpe 1.19 | Sortino 1.57 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 45M (39%)
CAGR -6.5% | Win 38%
Sharpe -0.72 | Sortino -1.14 | Calmar -0.3
Vol 9% | MDD -23.5%
Months 29M (25%)
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
RSI
neg
CAGR 58.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 3.4% | Win 50%
Sharpe 0.32 | Sortino 0.41 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 40M (35%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
MACDhist
only
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 11.9% | Win 63%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 51M (44%)
CAGR 4.0% | Win 44%
Sharpe 0.34 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -21.5%
Months 23M (20%)
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
RSI
neg
CAGR 10.5% | Win 50%
Sharpe 0.80 | Sortino 2.42 | Calmar 3.1
Vol 14% | MDD -3.3%
Months 6M (5%)
CAGR 3.5% | Win 51%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.2
Vol 13% | MDD -18.2%
Months 35M (30%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 12.3% | Win 61%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.6
Vol 15% | MDD -20.0%
Months 66M (57%)
CAGR -12.2% | Win 25%
Sharpe -1.17 | Sortino -1.83 | Calmar -1.0
Vol 11% | MDD -12.6%
Months 8M (7%)
CAGR 9.3% | Win 57%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -30.0%
Months 74M (64%)
RSI
neg
CAGR -13.2% | Win 33%
Sharpe -0.96 | Sortino -1.04 | Calmar -0.5
Vol 14% | MDD -25.7%
Months 18M (16%)
CAGR 20.8% | Win 65%
Sharpe 1.81 | Sortino 4.31 | Calmar 4.9
Vol 11% | MDD -4.3%
Months 23M (20%)
CAGR 4.5% | Win 51%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 13% | MDD -20.4%
Months 41M (36%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 18.5% | Win 69%
Sharpe 1.06 | Sortino 1.42 | Calmar 1.5
Vol 18% | MDD -12.0%
Months 36M (31%)
CAGR 33.8% | Win 70%
Sharpe 1.83 | Sortino 1.99 | Calmar 4.0
Vol 17% | MDD -8.4%
Months 10M (9%)
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
MACDhist
neg
CAGR 1.0% | Win 48%
Sharpe 0.15 | Sortino 0.34 | Calmar 0.1
Vol 9% | MDD -6.9%
Months 21M (18%)
CAGR -1.7% | Win 44%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 12% | MDD -19.4%
Months 48M (42%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
RSIhist
only
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 19.9% | Win 68%
Sharpe 1.13 | Sortino 1.50 | Calmar 1.3
Vol 18% | MDD -15.1%
Months 44M (38%)
CAGR 67.7% | Win 100%
Sharpe 21.53 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (2%)
CAGR 21.7% | Win 70%
Sharpe 1.23 | Sortino 1.61 | Calmar 1.4
Vol 17% | MDD -15.1%
Months 46M (40%)
MACDhist
neg
CAGR -7.0% | Win 40%
Sharpe -0.58 | Sortino -0.69 | Calmar -0.2
Vol 11% | MDD -33.3%
Months 40M (35%)
CAGR 8.2% | Win 52%
Sharpe 0.75 | Sortino 1.56 | Calmar 1.0
Vol 11% | MDD -8.3%
Months 29M (25%)
CAGR -0.9% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 11% | MDD -24.9%
Months 69M (60%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 11.8% | Win 65%
Sharpe 0.79 | Sortino 1.11 | Calmar 0.9
Vol 16% | MDD -12.7%
Months 48M (42%)
CAGR 11.2% | Win 44%
Sharpe 0.93 | Sortino 2.78 | Calmar 3.3
Vol 12% | MDD -3.3%
Months 9M (8%)
CAGR 11.7% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.8
Vol 15% | MDD -14.3%
Months 57M (50%)
RSIhist
neg
CAGR -0.7% | Win 42%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 15% | MDD -27.2%
Months 36M (31%)
CAGR 11.3% | Win 59%
Sharpe 1.00 | Sortino 1.82 | Calmar 1.7
Vol 11% | MDD -6.6%
Months 22M (19%)
CAGR 3.7% | Win 48%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 14% | MDD -19.3%
Months 58M (50%)
LWTI
only
CAGR 6.3% | Win 55%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 84M (73%)
CAGR 11.3% | Win 55%
Sharpe 1.00 | Sortino 2.09 | Calmar 1.5
Vol 11% | MDD -7.4%
Months 31M (27%)