BNDX - Vanguard Total International Bond Index Fund ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

23.5%

Best CAGR

44

Total Months

1.9%

Avg CAGR

BNDX 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 BNDX

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 3 1.9 23.5 100.0 4.1 0.0 0.0 5.2 0.0
pair RSmean MACDhist neg-pos 3 1.9 23.5 100.0 4.1 0.0 0.0 5.2 0.0
pair MACDhist MRmean neg-pos 4 2.6 17.3 75.0 2.8 0.0 116.2 5.7 -0.1
pair MRmean MACDhist neg-pos 4 2.6 17.3 75.0 2.8 0.0 116.2 5.7 -0.1
pair RSmean MRmean pos-neg 2 1.3 15.6 50.0 1.5 0.0 0.0 9.7 0.0
pair MRmean RSmean pos-neg 2 1.3 15.6 50.0 1.5 0.0 0.0 9.7 0.0
pair RSIhist RSmean neg-pos 4 2.6 15.2 100.0 3.0 0.0 0.0 4.7 0.0
pair RSmean RSIhist neg-pos 4 2.6 15.2 100.0 3.0 0.0 0.0 4.7 0.0
pair SLmean RSIhist neg-pos 4 2.6 13.3 100.0 3.5 0.0 0.0 3.5 0.0
pair RSIhist SLmean neg-pos 4 2.6 13.3 100.0 3.5 0.0 0.0 3.5 0.0
pair RSmean SLmean pos-neg 3 1.9 11.1 66.7 1.5 0.0 0.0 7.2 0.0
pair SLmean RSmean pos-neg 3 1.9 11.1 66.7 1.5 0.0 0.0 7.2 0.0
pair MACDhist SLmean neg-pos 9 5.8 9.8 77.8 2.0 3.5 65.9 4.7 -0.1
pair SLmean MACDhist neg-pos 9 5.8 9.8 77.8 2.0 3.5 65.9 4.7 -0.1
pair RSmean MACD neg-neg 14 9.1 7.9 78.6 2.5 7.9 13.9 3.1 -0.6
pair MACD RSmean neg-neg 14 9.1 7.9 78.6 2.5 7.9 13.9 3.1 -0.6
pair RSmean LWTI neg-pos 17 11.0 7.2 76.5 2.0 3.3 5.2 3.5 -1.4
pair LWTI RSmean neg-pos 17 11.0 7.2 76.5 2.0 3.3 5.2 3.5 -1.4
pair RSIhist MACDhist pos-neg 14 9.1 7.2 64.3 1.6 4.7 8.0 4.4 -0.9
pair MACDhist RSIhist pos-neg 14 9.1 7.2 64.3 1.6 4.7 8.0 4.4 -0.9
pair SLmean MACD neg-neg 26 16.9 6.7 65.4 1.3 2.0 2.2 5.1 -3.0
pair MACD SLmean neg-neg 26 16.9 6.7 65.4 1.3 2.0 2.2 5.1 -3.0
pair RSmean RSI neg-pos 16 10.4 6.7 68.8 1.7 3.5 3.1 3.8 -2.1
pair RSI RSmean neg-pos 16 10.4 6.7 68.8 1.7 3.5 3.1 3.8 -2.1
single RSmean RSmean neg-neg 18 11.7 6.2 72.2 1.7 3.3 2.9 3.5 -2.1
pair RSI MRmean neg-pos 25 16.2 5.7 68.0 2.2 3.5 4.1 2.5 -1.4
pair MRmean RSI neg-pos 25 16.2 5.7 68.0 2.2 3.5 4.1 2.5 -1.4
pair SLmean RSmean neg-neg 15 9.7 5.3 73.3 1.9 2.5 3.8 2.7 -1.4
pair RSmean SLmean neg-neg 15 9.7 5.3 73.3 1.9 2.5 3.8 2.7 -1.4
pair RSmean MRmean neg-neg 16 10.4 5.1 75.0 1.9 2.4 3.7 2.6 -1.4
pair MRmean RSmean neg-neg 16 10.4 5.1 75.0 1.9 2.4 3.7 2.6 -1.4
pair MACD RSI neg-pos 30 19.5 4.9 63.3 1.4 2.9 1.7 3.4 -2.9
pair RSI MACD neg-pos 30 19.5 4.9 63.3 1.4 2.9 1.7 3.4 -2.9
pair MACD LWTI neg-pos 35 22.7 4.8 62.9 1.2 2.5 1.5 3.8 -3.3
pair LWTI MACD neg-pos 35 22.7 4.8 62.9 1.2 2.5 1.5 3.8 -3.3
pair MRmean LWTI neg-pos 29 18.8 4.7 65.5 1.3 1.8 1.0 3.6 -4.8
pair LWTI MRmean neg-pos 29 18.8 4.7 65.5 1.3 1.8 1.0 3.6 -4.8
pair MRmean SLmean neg-neg 39 25.3 4.4 61.5 0.9 1.2 0.5 5.0 -9.8
pair SLmean MRmean neg-neg 39 25.3 4.4 61.5 0.9 1.2 0.5 5.0 -9.8
pair MACDhist LWTI pos-pos 59 38.3 4.2 64.4 1.0 1.7 1.4 4.2 -3.1
pair LWTI MACDhist pos-pos 59 38.3 4.2 64.4 1.0 1.7 1.4 4.2 -3.1
pair MACD MACDhist pos-pos 49 31.8 4.1 67.3 1.1 1.6 1.4 3.8 -2.9
pair MACDhist RSI pos-pos 55 35.7 4.1 65.5 1.0 1.7 1.4 4.0 -2.9
pair RSI MACDhist pos-pos 55 35.7 4.1 65.5 1.0 1.7 1.4 4.0 -2.9
pair MACDhist MACD pos-pos 49 31.8 4.1 67.3 1.1 1.6 1.4 3.8 -2.9
single MACDhist MACDhist pos-pos 61 39.6 4.0 63.9 1.0 1.6 1.3 4.2 -3.2
pair RSIhist RSI pos-pos 72 46.8 3.8 63.9 1.1 1.7 0.8 3.5 -4.5
pair RSI RSIhist pos-pos 72 46.8 3.8 63.9 1.1 1.7 0.8 3.5 -4.5
pair RSIhist RSmean neg-neg 14 9.1 3.8 64.3 1.3 2.0 1.8 3.0 -2.1
pair RSmean RSIhist neg-neg 14 9.1 3.8 64.3 1.3 2.0 1.8 3.0 -2.1
pair LWTI RSI pos-pos 128 83.1 3.7 64.8 1.1 1.8 1.1 3.2 -3.5
pair RSI LWTI pos-pos 128 83.1 3.7 64.8 1.1 1.8 1.1 3.2 -3.5
pair RSI SLmean pos-pos 92 59.7 3.7 63.0 1.1 1.8 1.0 3.4 -3.6
pair SLmean RSI pos-pos 92 59.7 3.7 63.0 1.1 1.8 1.0 3.4 -3.6
pair MACD MACDhist neg-pos 12 7.8 3.6 50.0 0.7 1.6 1.9 5.5 -1.9
single RSI RSI pos-pos 131 85.1 3.6 64.1 1.1 1.8 1.0 3.2 -3.6
pair MACDhist MACD neg-pos 12 7.8 3.6 50.0 0.7 1.6 1.9 5.5 -1.9
pair MACD MRmean neg-neg 27 17.5 3.5 63.0 0.6 0.8 0.6 6.1 -6.4
pair LWTI SLmean neg-neg 11 7.1 3.5 54.5 0.5 0.9 0.7 7.7 -5.3
pair MRmean MACD neg-neg 27 17.5 3.5 63.0 0.6 0.8 0.6 6.1 -6.4
pair LWTI SLmean pos-pos 93 60.4 3.5 63.4 1.0 1.6 0.8 3.4 -4.3
pair SLmean LWTI pos-pos 93 60.4 3.5 63.4 1.0 1.6 0.8 3.4 -4.3
pair SLmean LWTI neg-neg 11 7.1 3.5 54.5 0.5 0.9 0.7 7.7 -5.3
pair LWTI RSIhist pos-pos 74 48.1 3.4 63.5 1.0 1.5 0.6 3.6 -5.9
pair SLmean RSI neg-pos 39 25.3 3.4 66.7 1.1 1.6 1.8 2.9 -1.9
pair RSI SLmean neg-pos 39 25.3 3.4 66.7 1.1 1.6 1.8 2.9 -1.9
pair RSIhist LWTI pos-pos 74 48.1 3.4 63.5 1.0 1.5 0.6 3.6 -5.9
pair MRmean SLmean pos-pos 97 63.0 3.3 62.9 1.0 1.5 0.7 3.4 -5.0
single LWTI LWTI pos-pos 135 87.7 3.3 63.7 1.0 1.5 0.4 3.5 -8.4
pair SLmean MRmean pos-pos 97 63.0 3.3 62.9 1.0 1.5 0.7 3.4 -5.0
pair RSIhist MACD neg-neg 23 14.9 3.3 56.5 0.6 0.8 0.5 6.0 -6.4
pair MACD RSIhist neg-neg 23 14.9 3.3 56.5 0.6 0.8 0.5 6.0 -6.4
pair RSIhist RSI pos-neg 59 38.3 3.3 64.4 1.2 1.9 1.3 2.8 -2.6
pair RSI RSIhist pos-neg 59 38.3 3.3 64.4 1.2 1.9 1.3 2.8 -2.6
pair MACD RSI pos-pos 101 65.6 3.2 64.4 1.0 1.5 0.9 3.2 -3.6
pair RSI MACD pos-pos 101 65.6 3.2 64.4 1.0 1.5 0.9 3.2 -3.6
pair RSI MACDhist pos-neg 76 49.4 3.2 63.2 1.2 2.0 0.9 2.5 -3.6
pair MACDhist RSI pos-neg 76 49.4 3.2 63.2 1.2 2.0 0.9 2.5 -3.6
pair MACDhist RSI neg-pos 6 3.9 3.2 50.0 0.6 1.0 1.7 5.9 -1.9
pair RSI MACDhist neg-pos 6 3.9 3.2 50.0 0.6 1.0 1.7 5.9 -1.9
pair LWTI RSIhist neg-pos 61 39.6 3.2 63.9 1.0 1.5 0.5 3.3 -6.0
pair RSIhist LWTI neg-pos 61 39.6 3.2 63.9 1.0 1.5 0.5 3.3 -6.0
pair MRmean MACDhist pos-pos 57 37.0 3.2 63.2 0.8 1.3 0.6 4.0 -5.1
pair MACDhist MRmean pos-pos 57 37.0 3.2 63.2 0.8 1.3 0.6 4.0 -5.1
pair SLmean MACD pos-pos 77 50.0 3.2 63.6 1.0 1.5 0.9 3.2 -3.6
pair MACD SLmean pos-pos 77 50.0 3.2 63.6 1.0 1.5 0.9 3.2 -3.6
pair RSIhist MACDhist pos-pos 47 30.5 3.1 63.8 0.8 1.2 0.6 4.1 -5.4
single SLmean SLmean neg-neg 53 34.4 3.1 62.3 0.7 1.0 0.3 4.7 -9.8
pair SLmean MACDhist pos-pos 52 33.8 3.1 61.5 0.8 1.2 0.6 4.0 -4.9
pair RSI RSmean pos-pos 115 74.7 3.1 63.5 1.0 1.5 1.0 3.1 -3.0
pair RSIhist MACD pos-pos 54 35.1 3.1 63.0 0.9 1.3 0.7 3.5 -4.5
pair MACD RSIhist pos-pos 54 35.1 3.1 63.0 0.9 1.3 0.7 3.5 -4.5
pair MACDhist RSIhist pos-pos 47 30.5 3.1 63.8 0.8 1.2 0.6 4.1 -5.4
pair RSmean RSI pos-pos 115 74.7 3.1 63.5 1.0 1.5 1.0 3.1 -3.0
pair MACDhist RSmean neg-neg 15 9.7 3.1 66.7 1.2 1.7 1.5 2.5 -2.1
pair RSmean MACDhist neg-neg 15 9.7 3.1 66.7 1.2 1.7 1.5 2.5 -2.1
pair RSmean MACDhist pos-pos 58 37.7 3.1 62.1 0.8 1.3 0.6 4.0 -5.2
pair MACDhist RSmean pos-pos 58 37.7 3.1 62.1 0.8 1.3 0.6 4.0 -5.2
pair MRmean RSIhist pos-pos 75 48.7 3.1 62.7 0.9 1.4 0.5 3.6 -5.9
pair RSIhist MRmean pos-pos 75 48.7 3.1 62.7 0.9 1.4 0.5 3.6 -5.9
pair MRmean RSI pos-pos 106 68.8 3.1 63.2 0.9 1.5 0.7 3.4 -4.5
pair RSI MRmean pos-pos 106 68.8 3.1 63.2 0.9 1.5 0.7 3.4 -4.5
pair MACDhist SLmean pos-pos 52 33.8 3.1 61.5 0.8 1.2 0.6 4.0 -4.9
pair RSI RSmean neg-neg 2 1.3 2.9 100.0 19.2 0.0 0.0 0.2 0.0
single RSIhist RSIhist pos-pos 81 52.6 2.9 63.0 0.8 1.1 0.3 3.8 -8.5
pair RSmean RSI neg-neg 2 1.3 2.9 100.0 19.2 0.0 0.0 0.2 0.0
pair MRmean LWTI pos-pos 106 68.8 2.9 63.2 0.9 1.4 0.5 3.4 -5.4
pair LWTI MRmean pos-pos 106 68.8 2.9 63.2 0.9 1.4 0.5 3.4 -5.4
pair MRmean MACD pos-pos 88 57.1 2.9 64.8 0.9 1.4 0.7 3.2 -4.5
pair MACD MRmean pos-pos 88 57.1 2.9 64.8 0.9 1.4 0.7 3.2 -4.5
pair SLmean LWTI neg-pos 42 27.3 2.9 64.3 0.8 1.2 0.6 3.6 -4.9
pair LWTI SLmean neg-pos 42 27.3 2.9 64.3 0.8 1.2 0.6 3.6 -4.9
pair LWTI RSmean pos-pos 118 76.6 2.8 61.9 0.8 1.2 0.4 3.4 -7.3
pair RSmean LWTI pos-pos 118 76.6 2.8 61.9 0.8 1.2 0.4 3.4 -7.3
single MACD MACD neg-neg 50 32.5 2.8 60.0 0.6 0.8 0.4 5.1 -7.2
single MRmean MRmean pos-pos 111 72.1 2.8 63.1 0.8 1.3 0.5 3.4 -5.9
pair MACD LWTI pos-pos 100 64.9 2.8 64.0 0.8 1.2 0.4 3.3 -6.8
pair LWTI MACD pos-pos 100 64.9 2.8 64.0 0.8 1.2 0.4 3.3 -6.8
pair MACDhist LWTI neg-pos 76 49.4 2.7 63.2 1.0 1.3 0.4 2.7 -6.8
pair LWTI MACDhist neg-pos 76 49.4 2.7 63.2 1.0 1.3 0.4 2.7 -6.8
pair MACDhist RSIhist neg-pos 34 22.1 2.6 61.8 0.8 1.0 0.5 3.3 -5.2
pair RSIhist MACDhist neg-pos 34 22.1 2.6 61.8 0.8 1.0 0.5 3.3 -5.2
pair MACD MACDhist neg-neg 38 24.7 2.6 63.2 0.5 0.7 0.4 5.1 -7.2
pair MACDhist MACD neg-neg 38 24.7 2.6 63.2 0.5 0.7 0.4 5.1 -7.2
pair RSIhist MACD neg-pos 27 17.5 2.5 63.0 0.6 0.9 0.5 4.4 -5.2
pair MACD RSIhist neg-pos 27 17.5 2.5 63.0 0.6 0.9 0.5 4.4 -5.2
pair benchmark___benchmark_ benchmark-benchmark 154 100.0 2.5 61.7 0.6 0.8 0.2 4.1 -14.9
pair benchmark___benchmark_ benchmark-benchmark 154 100.0 2.5 61.7 0.6 0.8 0.2 4.1 -14.9
pair RSmean MRmean pos-pos 109 70.8 2.5 63.3 0.8 1.2 0.4 3.2 -6.6
pair MRmean RSmean pos-pos 109 70.8 2.5 63.3 0.8 1.2 0.4 3.2 -6.6
pair RSIhist SLmean pos-pos 77 50.0 2.4 61.0 0.6 0.9 0.2 3.8 -9.7
pair SLmean RSIhist pos-pos 77 50.0 2.4 61.0 0.6 0.9 0.2 3.8 -9.7
pair MACD RSmean pos-pos 100 64.9 2.4 63.0 0.7 0.9 0.3 3.4 -7.8
pair RSmean MACD pos-pos 100 64.9 2.4 63.0 0.7 0.9 0.3 3.4 -7.8
pair SLmean RSIhist neg-neg 49 31.8 2.3 59.2 0.5 0.7 0.2 4.7 -9.8
pair RSIhist SLmean neg-neg 49 31.8 2.3 59.2 0.5 0.7 0.2 4.7 -9.8
pair MRmean MACDhist pos-neg 54 35.1 2.3 63.0 0.9 1.5 0.5 2.6 -4.5
pair MACDhist MRmean pos-neg 54 35.1 2.3 63.0 0.9 1.5 0.5 2.6 -4.5
pair RSmean RSIhist pos-pos 77 50.0 2.3 61.0 0.6 0.9 0.3 3.7 -8.9
pair RSIhist RSmean pos-pos 77 50.0 2.3 61.0 0.6 0.9 0.3 3.7 -8.9
single MACD MACD pos-pos 104 67.5 2.3 62.5 0.7 0.9 0.2 3.5 -9.8
pair RSmean SLmean neg-pos 38 24.7 2.2 57.9 0.4 0.7 0.3 5.3 -8.6
pair SLmean RSmean neg-pos 38 24.7 2.2 57.9 0.4 0.7 0.3 5.3 -8.6
single SLmean SLmean pos-pos 101 65.6 2.2 61.4 0.6 0.8 0.2 3.7 -12.1
pair MRmean RSIhist neg-neg 37 24.0 2.2 56.8 0.4 0.6 0.2 5.5 -12.9
pair RSIhist MRmean neg-neg 37 24.0 2.2 56.8 0.4 0.6 0.2 5.5 -12.9
pair SLmean RSI neg-neg 14 9.1 2.2 50.0 0.3 0.7 0.3 7.9 -8.6
pair RSI SLmean neg-neg 14 9.1 2.2 50.0 0.3 0.7 0.3 7.9 -8.6
single RSIhist RSIhist neg-neg 73 47.4 2.1 60.3 0.5 0.6 0.1 4.4 -14.0
pair MRmean RSIhist pos-neg 36 23.4 2.0 63.9 0.7 1.2 0.6 2.9 -3.4
pair MACD MRmean pos-neg 23 14.9 2.0 56.5 0.5 1.0 0.5 3.9 -4.4
pair MRmean MACD pos-neg 23 14.9 2.0 56.5 0.5 1.0 0.5 3.9 -4.4
pair RSIhist MRmean pos-neg 36 23.4 2.0 63.9 0.7 1.2 0.6 2.9 -3.4
single RSmean RSmean pos-pos 136 88.3 2.0 60.3 0.5 0.7 0.1 4.1 -13.0
pair RSmean SLmean pos-pos 98 63.6 1.9 61.2 0.6 0.7 0.1 3.6 -12.9
pair SLmean RSmean pos-pos 98 63.6 1.9 61.2 0.6 0.7 0.1 3.6 -12.9
single MRmean MRmean neg-neg 43 27.9 1.8 58.1 0.3 0.5 0.1 5.6 -12.9
pair SLmean MACDhist neg-neg 44 28.6 1.7 59.1 0.4 0.6 0.2 4.6 -9.8
pair MACDhist SLmean neg-neg 44 28.6 1.7 59.1 0.4 0.6 0.2 4.6 -9.8
pair RSIhist RSmean pos-neg 59 38.3 1.6 59.3 0.4 0.5 0.1 4.7 -12.1
pair RSIhist SLmean pos-neg 24 15.6 1.6 62.5 0.5 0.5 0.3 3.7 -5.4
pair SLmean RSIhist pos-neg 24 15.6 1.6 62.5 0.5 0.5 0.3 3.7 -5.4
pair RSmean RSIhist pos-neg 59 38.3 1.6 59.3 0.4 0.5 0.1 4.7 -12.1
single MACDhist MACDhist neg-neg 93 60.4 1.5 60.2 0.4 0.5 0.1 4.0 -14.9
pair RSIhist MACD pos-neg 50 32.5 1.5 62.0 0.5 0.6 0.2 3.5 -8.8
pair MACD RSIhist pos-neg 50 32.5 1.5 62.0 0.5 0.6 0.2 3.5 -8.8
pair SLmean MACDhist pos-neg 49 31.8 1.3 61.2 0.4 0.4 0.1 3.4 -10.3
pair MACDhist SLmean pos-neg 49 31.8 1.3 61.2 0.4 0.4 0.1 3.4 -10.3
pair RSmean MACDhist pos-neg 78 50.6 1.2 59.0 0.3 0.4 0.1 4.2 -13.0
pair MACDhist RSmean pos-neg 78 50.6 1.2 59.0 0.3 0.4 0.1 4.2 -13.0
pair RSmean MACD pos-neg 36 23.4 1.0 52.8 0.2 0.3 0.1 5.7 -7.2
pair MACD RSmean pos-neg 36 23.4 1.0 52.8 0.2 0.3 0.1 5.7 -7.2
pair RSIhist MACDhist neg-neg 59 38.3 0.9 59.3 0.2 0.3 0.1 4.4 -14.0
pair MACDhist RSIhist neg-neg 59 38.3 0.9 59.3 0.2 0.3 0.1 4.4 -14.0
pair RSmean MACD neg-pos 4 2.6 0.7 50.0 0.2 0.5 0.3 5.0 -2.1
pair MACD RSmean neg-pos 4 2.6 0.7 50.0 0.2 0.5 0.3 5.0 -2.1
pair MACDhist MACD pos-neg 55 35.7 0.7 58.2 0.2 0.3 0.1 3.1 -9.8
pair MACD MACDhist pos-neg 55 35.7 0.7 58.2 0.2 0.3 0.1 3.1 -9.8
pair MACDhist MRmean neg-neg 39 25.3 0.3 56.4 0.1 0.1 0.0 5.4 -12.9
pair MRmean MACDhist neg-neg 39 25.3 0.3 56.4 0.1 0.1 0.0 5.4 -12.9
pair MRmean RSmean neg-pos 27 17.5 -0.1 48.1 0.0 0.0 -0.0 6.7 -11.7
pair RSmean MRmean neg-pos 27 17.5 -0.1 48.1 0.0 0.0 -0.0 6.7 -11.7
pair RSI MACD neg-neg 20 13.0 -0.1 55.0 0.0 0.0 -0.0 7.0 -6.4
pair MACD RSI neg-neg 20 13.0 -0.1 55.0 0.0 0.0 -0.0 7.0 -6.4
pair SLmean MACD neg-pos 27 17.5 -0.3 59.3 -0.1 -0.1 -0.0 4.1 -7.6
pair MACD SLmean neg-pos 27 17.5 -0.3 59.3 -0.1 -0.1 -0.0 4.1 -7.6
pair RSIhist MRmean neg-pos 6 3.9 -0.4 66.7 -0.0 -0.1 -0.1 6.4 -4.2
pair MRmean RSIhist neg-pos 6 3.9 -0.4 66.7 -0.0 -0.1 -0.1 6.4 -4.2
pair RSI LWTI pos-neg 3 1.9 -0.6 33.3 -0.2 -0.7 -0.8 3.3 -0.7
pair LWTI RSI pos-neg 3 1.9 -0.6 33.3 -0.2 -0.7 -0.8 3.3 -0.7
pair LWTI MACDhist pos-neg 2 1.3 -0.7 50.0 -2.2 0.0 -5.7 0.3 -0.1
pair MACDhist LWTI pos-neg 2 1.3 -0.7 50.0 -2.2 0.0 -5.7 0.3 -0.1
pair SLmean MRmean pos-neg 14 9.1 -0.7 64.3 -0.2 -0.4 -0.2 3.3 -3.1
pair MRmean SLmean pos-neg 14 9.1 -0.7 64.3 -0.2 -0.4 -0.2 3.3 -3.1
pair MACD MRmean neg-pos 16 10.4 -1.1 50.0 -0.2 -0.3 -0.1 4.6 -7.6
pair MRmean MACD neg-pos 16 10.4 -1.1 50.0 -0.2 -0.3 -0.1 4.6 -7.6
pair SLmean MACD pos-neg 24 15.6 -1.1 54.2 -0.2 -0.3 -0.1 5.0 -9.8
pair MACD SLmean pos-neg 24 15.6 -1.1 54.2 -0.2 -0.3 -0.1 5.0 -9.8
pair LWTI MRmean pos-neg 5 3.2 -1.2 60.0 -0.9 -0.8 -9.7 1.3 -0.1
pair MRmean LWTI pos-neg 5 3.2 -1.2 60.0 -0.9 -0.8 -9.7 1.3 -0.1
pair LWTI MACD neg-neg 15 9.7 -1.7 53.3 -0.2 -0.3 -0.3 7.4 -6.4
pair MACD LWTI neg-neg 15 9.7 -1.7 53.3 -0.2 -0.3 -0.3 7.4 -6.4
pair RSIhist LWTI pos-neg 7 4.5 -2.6 57.1 -0.4 -0.6 -1.7 5.7 -1.5
pair LWTI RSIhist pos-neg 7 4.5 -2.6 57.1 -0.4 -0.6 -1.7 5.7 -1.5
pair RSI LWTI neg-pos 7 4.5 -2.7 42.9 -0.4 -0.8 -0.5 6.5 -5.1
pair LWTI RSI neg-pos 7 4.5 -2.7 42.9 -0.4 -0.8 -0.5 6.5 -5.1
pair LWTI RSmean pos-neg 18 11.7 -3.0 50.0 -0.4 -0.6 -0.3 7.2 -8.5
pair RSmean LWTI pos-neg 18 11.7 -3.0 50.0 -0.4 -0.6 -0.3 7.2 -8.5
pair RSIhist RSI neg-neg 14 9.1 -3.1 42.9 -0.3 -0.7 -0.3 8.2 -11.7
pair RSI RSIhist neg-neg 14 9.1 -3.1 42.9 -0.3 -0.7 -0.3 8.2 -11.7
single LWTI LWTI neg-neg 19 12.3 -3.3 47.4 -0.5 -0.7 -0.4 7.0 -9.2
pair MRmean RSI neg-neg 18 11.7 -3.4 44.4 -0.4 -0.8 -0.3 7.9 -11.7
pair RSI MRmean neg-neg 18 11.7 -3.4 44.4 -0.4 -0.8 -0.3 7.9 -11.7
single RSI RSI neg-neg 23 14.9 -3.5 47.8 -0.5 -0.8 -0.3 7.1 -11.7
pair MRmean RSI pos-neg 5 3.2 -3.6 60.0 -1.3 -0.9 -1.9 2.8 -1.9
pair RSI MRmean pos-neg 5 3.2 -3.6 60.0 -1.3 -0.9 -1.9 2.8 -1.9
pair MACDhist LWTI neg-neg 17 11.0 -3.6 47.1 -0.5 -0.8 -0.4 7.4 -9.2
pair LWTI MACDhist neg-neg 17 11.0 -3.6 47.1 -0.5 -0.8 -0.4 7.4 -9.2
pair LWTI RSIhist neg-neg 12 7.8 -3.7 41.7 -0.4 -0.8 -0.4 7.9 -9.2
pair RSIhist LWTI neg-neg 12 7.8 -3.7 41.7 -0.4 -0.8 -0.4 7.9 -9.2
pair RSI LWTI neg-neg 16 10.4 -3.8 50.0 -0.5 -0.8 -0.6 7.5 -6.4
pair LWTI RSI neg-neg 16 10.4 -3.8 50.0 -0.5 -0.8 -0.6 7.5 -6.4
pair RSIhist RSI neg-pos 9 5.8 -4.0 55.6 -0.8 -1.1 -2.3 5.3 -1.7
pair RSI RSIhist neg-pos 9 5.8 -4.0 55.6 -0.8 -1.1 -2.3 5.3 -1.7
pair MRmean LWTI neg-neg 14 9.1 -4.0 42.9 -0.5 -0.9 -0.5 8.2 -8.5
pair LWTI MRmean neg-neg 14 9.1 -4.0 42.9 -0.5 -0.9 -0.5 8.2 -8.5
pair RSI RSmean pos-neg 21 13.6 -4.0 42.9 -0.5 -1.0 -0.4 7.4 -10.6
pair RSmean RSI pos-neg 21 13.6 -4.0 42.9 -0.5 -1.0 -0.4 7.4 -10.6
pair MACDhist RSI neg-neg 17 11.0 -5.7 47.1 -0.7 -1.7 -0.5 7.5 -11.7
pair RSI MACDhist neg-neg 17 11.0 -5.7 47.1 -0.7 -1.7 -0.5 7.5 -11.7
pair RSmean LWTI neg-neg 1 0.6 -8.6 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.6 -8.6 0.0 0.0 0.0 0.0 - 0.0
pair MACD LWTI pos-neg 4 2.6 -9.1 25.0 -1.6 -1.9 -2.5 5.8 -3.7
pair LWTI MACD pos-neg 4 2.6 -9.1 25.0 -1.6 -1.9 -2.5 5.8 -3.7
pair RSI SLmean pos-neg 9 5.8 -11.7 44.4 -2.4 -2.7 -2.1 5.0 -5.5
pair SLmean RSI pos-neg 9 5.8 -11.7 44.4 -2.4 -2.7 -2.1 5.0 -5.5
pair LWTI SLmean pos-neg 8 5.2 -12.0 37.5 -2.5 -2.5 -1.6 5.0 -7.7
pair SLmean LWTI pos-neg 8 5.2 -12.0 37.5 -2.5 -2.5 -1.6 5.0 -7.7
pair SLmean MRmean neg-pos 4 2.6 -20.8 25.0 -4.0 -6.2 -4.9 5.7 -4.2
pair MRmean SLmean neg-pos 4 2.6 -20.8 25.0 -4.0 -6.2 -4.9 5.7 -4.2
pair MACD RSI pos-neg 3 1.9 -23.1 0.0 -8.6 -8.6 -4.5 3.0 -5.2
pair RSI MACD pos-neg 3 1.9 -23.1 0.0 -8.6 -8.6 -4.5 3.0 -5.2

All Contingency Tables for BNDX

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.3% | Win 63%
Sharpe 0.98 | Sortino 1.54 | Calmar 0.6
Vol 3% | MDD -5.0%
Months 97M (63%)
CAGR -0.7% | Win 64%
Sharpe -0.20 | Sortino -0.44 | Calmar -0.2
Vol 3% | MDD -3.1%
Months 14M (9%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR -20.8% | Win 25%
Sharpe -3.99 | Sortino -6.25 | Calmar -4.9
Vol 6% | MDD -4.2%
Months 4M (3%)
CAGR 4.4% | Win 62%
Sharpe 0.89 | Sortino 1.23 | Calmar 0.5
Vol 5% | MDD -9.8%
Months 39M (25%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
SLmean
only
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 63%
Sharpe 0.79 | Sortino 1.19 | Calmar 0.4
Vol 3% | MDD -6.6%
Months 109M (71%)
CAGR 15.6% | Win 50%
Sharpe 1.53 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 2M (1%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR -0.1% | Win 48%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 7% | MDD -11.7%
Months 27M (18%)
CAGR 5.1% | Win 75%
Sharpe 1.91 | Sortino 2.39 | Calmar 3.7
Vol 3% | MDD -1.4%
Months 16M (10%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
RSmean
only
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 65%
Sharpe 0.92 | Sortino 1.36 | Calmar 0.7
Vol 3% | MDD -4.5%
Months 88M (57%)
CAGR 2.0% | Win 56%
Sharpe 0.54 | Sortino 1.03 | Calmar 0.5
Vol 4% | MDD -4.4%
Months 23M (15%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR -1.1% | Win 50%
Sharpe -0.22 | Sortino -0.26 | Calmar -0.1
Vol 5% | MDD -7.6%
Months 16M (10%)
CAGR 3.5% | Win 63%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.6
Vol 6% | MDD -6.4%
Months 27M (18%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
MACD
only
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 63%
Sharpe 0.92 | Sortino 1.49 | Calmar 0.7
Vol 3% | MDD -4.5%
Months 106M (69%)
CAGR -3.6% | Win 60%
Sharpe -1.28 | Sortino -0.92 | Calmar -1.9
Vol 3% | MDD -1.9%
Months 5M (3%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR 5.7% | Win 68%
Sharpe 2.21 | Sortino 3.47 | Calmar 4.1
Vol 2% | MDD -1.4%
Months 25M (16%)
CAGR -3.4% | Win 44%
Sharpe -0.40 | Sortino -0.82 | Calmar -0.3
Vol 8% | MDD -11.7%
Months 18M (12%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
RSI
only
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 63%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.1%
Months 57M (37%)
CAGR 2.3% | Win 63%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.5
Vol 3% | MDD -4.5%
Months 54M (35%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR 17.3% | Win 75%
Sharpe 2.83 | Sortino 0.00 | Calmar 116.2
Vol 6% | MDD -0.1%
Months 4M (3%)
CAGR 0.3% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar 0.0
Vol 5% | MDD -12.9%
Months 39M (25%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
MACDhist
only
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 63%
Sharpe 0.89 | Sortino 1.37 | Calmar 0.5
Vol 4% | MDD -5.9%
Months 75M (49%)
CAGR 2.0% | Win 64%
Sharpe 0.67 | Sortino 1.18 | Calmar 0.6
Vol 3% | MDD -3.4%
Months 36M (23%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR -0.4% | Win 67%
Sharpe -0.04 | Sortino -0.09 | Calmar -0.1
Vol 6% | MDD -4.2%
Months 6M (4%)
CAGR 2.2% | Win 57%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 37M (24%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 63%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.5
Vol 3% | MDD -5.4%
Months 106M (69%)
CAGR -1.2% | Win 60%
Sharpe -0.94 | Sortino -0.82 | Calmar -9.7
Vol 1% | MDD -0.1%
Months 5M (3%)
CAGR 2.8% | Win 63%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 3% | MDD -5.9%
Months 111M (72%)
MRmean
neg
CAGR 4.7% | Win 66%
Sharpe 1.28 | Sortino 1.76 | Calmar 1.0
Vol 4% | MDD -4.8%
Months 29M (19%)
CAGR -4.0% | Win 43%
Sharpe -0.46 | Sortino -0.94 | Calmar -0.5
Vol 8% | MDD -8.5%
Months 14M (9%)
CAGR 1.8% | Win 58%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 6% | MDD -12.9%
Months 43M (28%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.9% | Win 61%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.1
Vol 4% | MDD -12.9%
Months 98M (64%)
CAGR 11.1% | Win 67%
Sharpe 1.50 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 3M (2%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR 2.2% | Win 58%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.3
Vol 5% | MDD -8.6%
Months 38M (25%)
CAGR 5.3% | Win 73%
Sharpe 1.91 | Sortino 2.47 | Calmar 3.8
Vol 3% | MDD -1.4%
Months 15M (10%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
RSmean
only
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 64%
Sharpe 1.01 | Sortino 1.51 | Calmar 0.9
Vol 3% | MDD -3.6%
Months 77M (50%)
CAGR -1.1% | Win 54%
Sharpe -0.20 | Sortino -0.26 | Calmar -0.1
Vol 5% | MDD -9.8%
Months 24M (16%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR -0.3% | Win 59%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.0
Vol 4% | MDD -7.6%
Months 27M (18%)
CAGR 6.7% | Win 65%
Sharpe 1.29 | Sortino 2.03 | Calmar 2.2
Vol 5% | MDD -3.0%
Months 26M (17%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
MACD
only
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.7% | Win 63%
Sharpe 1.09 | Sortino 1.77 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 92M (60%)
CAGR -11.7% | Win 44%
Sharpe -2.44 | Sortino -2.68 | Calmar -2.1
Vol 5% | MDD -5.5%
Months 9M (6%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR 3.4% | Win 67%
Sharpe 1.14 | Sortino 1.63 | Calmar 1.8
Vol 3% | MDD -1.9%
Months 39M (25%)
CAGR 2.2% | Win 50%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.3
Vol 8% | MDD -8.6%
Months 14M (9%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
RSI
only
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 62%
Sharpe 0.77 | Sortino 1.22 | Calmar 0.6
Vol 4% | MDD -4.9%
Months 52M (34%)
CAGR 1.3% | Win 61%
Sharpe 0.39 | Sortino 0.41 | Calmar 0.1
Vol 3% | MDD -10.3%
Months 49M (32%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR 9.8% | Win 78%
Sharpe 2.01 | Sortino 3.54 | Calmar 65.9
Vol 5% | MDD -0.1%
Months 9M (6%)
CAGR 1.7% | Win 59%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.2
Vol 5% | MDD -9.8%
Months 44M (29%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
MACDhist
only
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.4% | Win 61%
Sharpe 0.64 | Sortino 0.92 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 77M (50%)
CAGR 1.6% | Win 62%
Sharpe 0.45 | Sortino 0.45 | Calmar 0.3
Vol 4% | MDD -5.4%
Months 24M (16%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR 13.3% | Win 100%
Sharpe 3.55 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (3%)
CAGR 2.3% | Win 59%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.2
Vol 5% | MDD -9.8%
Months 49M (32%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.5% | Win 63%
Sharpe 1.03 | Sortino 1.62 | Calmar 0.8
Vol 3% | MDD -4.3%
Months 93M (60%)
CAGR -12.0% | Win 38%
Sharpe -2.50 | Sortino -2.54 | Calmar -1.6
Vol 5% | MDD -7.7%
Months 8M (5%)
CAGR 2.2% | Win 61%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.2
Vol 4% | MDD -12.1%
Months 101M (66%)
SLmean
neg
CAGR 2.9% | Win 64%
Sharpe 0.81 | Sortino 1.20 | Calmar 0.6
Vol 4% | MDD -4.9%
Months 42M (27%)
CAGR 3.5% | Win 55%
Sharpe 0.49 | Sortino 0.90 | Calmar 0.7
Vol 8% | MDD -5.3%
Months 11M (7%)
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -9.8%
Months 53M (34%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.4% | Win 63%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 3% | MDD -7.8%
Months 100M (65%)
CAGR 1.0% | Win 53%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 6% | MDD -7.2%
Months 36M (23%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
RSmean
neg
CAGR 0.7% | Win 50%
Sharpe 0.16 | Sortino 0.53 | Calmar 0.3
Vol 5% | MDD -2.1%
Months 4M (3%)
CAGR 7.9% | Win 79%
Sharpe 2.46 | Sortino 7.93 | Calmar 13.9
Vol 3% | MDD -0.6%
Months 14M (9%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
MACD
only
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.1% | Win 64%
Sharpe 1.00 | Sortino 1.51 | Calmar 1.0
Vol 3% | MDD -3.0%
Months 115M (75%)
CAGR -4.0% | Win 43%
Sharpe -0.52 | Sortino -0.98 | Calmar -0.4
Vol 7% | MDD -10.6%
Months 21M (14%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
RSmean
neg
CAGR 6.7% | Win 69%
Sharpe 1.74 | Sortino 3.52 | Calmar 3.1
Vol 4% | MDD -2.1%
Months 16M (10%)
CAGR 2.9% | Win 100%
Sharpe 19.21 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 2M (1%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
RSI
only
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.1% | Win 62%
Sharpe 0.79 | Sortino 1.26 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 58M (38%)
CAGR 1.2% | Win 59%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 4% | MDD -13.0%
Months 78M (51%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
RSmean
neg
CAGR 23.5% | Win 100%
Sharpe 4.08 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 3M (2%)
CAGR 3.1% | Win 67%
Sharpe 1.22 | Sortino 1.66 | Calmar 1.5
Vol 2% | MDD -2.1%
Months 15M (10%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
MACDhist
only
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.3% | Win 61%
Sharpe 0.63 | Sortino 0.88 | Calmar 0.3
Vol 4% | MDD -8.9%
Months 77M (50%)
CAGR 1.6% | Win 59%
Sharpe 0.37 | Sortino 0.50 | Calmar 0.1
Vol 5% | MDD -12.1%
Months 59M (38%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
RSmean
neg
CAGR 15.2% | Win 100%
Sharpe 3.02 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (3%)
CAGR 3.8% | Win 64%
Sharpe 1.26 | Sortino 2.03 | Calmar 1.8
Vol 3% | MDD -2.1%
Months 14M (9%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 62%
Sharpe 0.81 | Sortino 1.24 | Calmar 0.4
Vol 3% | MDD -7.3%
Months 118M (77%)
CAGR -3.0% | Win 50%
Sharpe -0.39 | Sortino -0.64 | Calmar -0.4
Vol 7% | MDD -8.5%
Months 18M (12%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -13.0%
Months 136M (88%)
RSmean
neg
CAGR 7.2% | Win 76%
Sharpe 2.02 | Sortino 3.33 | Calmar 5.2
Vol 4% | MDD -1.4%
Months 17M (11%)
CAGR -8.6% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 6.2% | Win 72%
Sharpe 1.73 | Sortino 3.30 | Calmar 2.9
Vol 4% | MDD -2.1%
Months 18M (12%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.2% | Win 64%
Sharpe 1.00 | Sortino 1.48 | Calmar 0.9
Vol 3% | MDD -3.6%
Months 101M (66%)
CAGR -23.1% | Win 0%
Sharpe -8.57 | Sortino -8.57 | Calmar -4.5
Vol 3% | MDD -5.2%
Months 3M (2%)
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
MACD
neg
CAGR 4.9% | Win 63%
Sharpe 1.42 | Sortino 2.88 | Calmar 1.7
Vol 3% | MDD -2.9%
Months 30M (20%)
CAGR -0.1% | Win 55%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 7% | MDD -6.4%
Months 20M (13%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
RSI
only
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.1% | Win 67%
Sharpe 1.08 | Sortino 1.57 | Calmar 1.4
Vol 4% | MDD -2.9%
Months 49M (32%)
CAGR 0.7% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 3% | MDD -9.8%
Months 55M (36%)
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
MACD
neg
CAGR 3.6% | Win 50%
Sharpe 0.67 | Sortino 1.61 | Calmar 1.9
Vol 6% | MDD -1.9%
Months 12M (8%)
CAGR 2.6% | Win 63%
Sharpe 0.53 | Sortino 0.67 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 38M (25%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
MACDhist
only
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 63%
Sharpe 0.89 | Sortino 1.26 | Calmar 0.7
Vol 4% | MDD -4.5%
Months 54M (35%)
CAGR 1.5% | Win 62%
Sharpe 0.45 | Sortino 0.56 | Calmar 0.2
Vol 4% | MDD -8.8%
Months 50M (32%)
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
MACD
neg
CAGR 2.5% | Win 63%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.5
Vol 4% | MDD -5.2%
Months 27M (18%)
CAGR 3.3% | Win 56%
Sharpe 0.57 | Sortino 0.79 | Calmar 0.5
Vol 6% | MDD -6.4%
Months 23M (15%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.8% | Win 64%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.4
Vol 3% | MDD -6.8%
Months 100M (65%)
CAGR -9.1% | Win 25%
Sharpe -1.62 | Sortino -1.94 | Calmar -2.4
Vol 6% | MDD -3.7%
Months 4M (3%)
CAGR 2.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.2
Vol 4% | MDD -9.8%
Months 104M (68%)
MACD
neg
CAGR 4.8% | Win 63%
Sharpe 1.25 | Sortino 2.46 | Calmar 1.5
Vol 4% | MDD -3.3%
Months 35M (23%)
CAGR -1.7% | Win 53%
Sharpe -0.20 | Sortino -0.33 | Calmar -0.3
Vol 7% | MDD -6.4%
Months 15M (10%)
CAGR 2.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 50M (32%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.1% | Win 66%
Sharpe 1.03 | Sortino 1.68 | Calmar 1.4
Vol 4% | MDD -2.9%
Months 55M (36%)
CAGR 3.2% | Win 63%
Sharpe 1.24 | Sortino 2.00 | Calmar 0.9
Vol 2% | MDD -3.6%
Months 76M (49%)
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
RSI
neg
CAGR 3.2% | Win 50%
Sharpe 0.55 | Sortino 1.01 | Calmar 1.7
Vol 6% | MDD -1.9%
Months 6M (4%)
CAGR -5.7% | Win 47%
Sharpe -0.74 | Sortino -1.68 | Calmar -0.5
Vol 8% | MDD -11.7%
Months 17M (11%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
MACDhist
only
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.8% | Win 64%
Sharpe 1.07 | Sortino 1.67 | Calmar 0.8
Vol 4% | MDD -4.5%
Months 72M (47%)
CAGR 3.3% | Win 64%
Sharpe 1.16 | Sortino 1.87 | Calmar 1.3
Vol 3% | MDD -2.6%
Months 59M (38%)
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
RSI
neg
CAGR -4.0% | Win 56%
Sharpe -0.76 | Sortino -1.07 | Calmar -2.3
Vol 5% | MDD -1.7%
Months 9M (6%)
CAGR -3.1% | Win 43%
Sharpe -0.34 | Sortino -0.67 | Calmar -0.3
Vol 8% | MDD -11.7%
Months 14M (9%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 65%
Sharpe 1.13 | Sortino 1.76 | Calmar 1.0
Vol 3% | MDD -3.5%
Months 128M (83%)
CAGR -0.6% | Win 33%
Sharpe -0.16 | Sortino -0.70 | Calmar -0.8
Vol 3% | MDD -0.7%
Months 3M (2%)
CAGR 3.6% | Win 64%
Sharpe 1.10 | Sortino 1.75 | Calmar 1.0
Vol 3% | MDD -3.6%
Months 131M (85%)
RSI
neg
CAGR -2.7% | Win 43%
Sharpe -0.39 | Sortino -0.81 | Calmar -0.5
Vol 6% | MDD -5.1%
Months 7M (4%)
CAGR -3.8% | Win 50%
Sharpe -0.48 | Sortino -0.85 | Calmar -0.6
Vol 8% | MDD -6.4%
Months 16M (10%)
CAGR -3.5% | Win 48%
Sharpe -0.46 | Sortino -0.83 | Calmar -0.3
Vol 7% | MDD -11.7%
Months 23M (15%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.1% | Win 64%
Sharpe 0.76 | Sortino 1.16 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 47M (30%)
CAGR 7.2% | Win 64%
Sharpe 1.62 | Sortino 4.73 | Calmar 8.0
Vol 4% | MDD -0.9%
Months 14M (9%)
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
MACDhist
neg
CAGR 2.6% | Win 62%
Sharpe 0.78 | Sortino 1.02 | Calmar 0.5
Vol 3% | MDD -5.2%
Months 34M (22%)
CAGR 0.9% | Win 59%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 59M (38%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
RSIhist
only
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.2% | Win 64%
Sharpe 0.99 | Sortino 1.69 | Calmar 1.4
Vol 4% | MDD -3.1%
Months 59M (38%)
CAGR -0.7% | Win 50%
Sharpe -2.20 | Sortino 0.00 | Calmar -5.7
Vol 0% | MDD -0.1%
Months 2M (1%)
CAGR 4.0% | Win 64%
Sharpe 0.97 | Sortino 1.62 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 61M (40%)
MACDhist
neg
CAGR 2.7% | Win 63%
Sharpe 0.97 | Sortino 1.34 | Calmar 0.4
Vol 3% | MDD -6.8%
Months 76M (49%)
CAGR -3.6% | Win 47%
Sharpe -0.46 | Sortino -0.84 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 17M (11%)
CAGR 1.5% | Win 60%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 4% | MDD -14.9%
Months 93M (60%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.4% | Win 64%
Sharpe 0.96 | Sortino 1.47 | Calmar 0.6
Vol 4% | MDD -5.9%
Months 74M (48%)
CAGR -2.6% | Win 57%
Sharpe -0.44 | Sortino -0.55 | Calmar -1.7
Vol 6% | MDD -1.5%
Months 7M (4%)
CAGR 2.9% | Win 63%
Sharpe 0.77 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -8.5%
Months 81M (53%)
RSIhist
neg
CAGR 3.2% | Win 64%
Sharpe 0.97 | Sortino 1.49 | Calmar 0.5
Vol 3% | MDD -6.0%
Months 61M (40%)
CAGR -3.7% | Win 42%
Sharpe -0.44 | Sortino -0.77 | Calmar -0.4
Vol 8% | MDD -9.2%
Months 12M (8%)
CAGR 2.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 73M (47%)
LWTI
only
CAGR 3.3% | Win 64%
Sharpe 0.96 | Sortino 1.49 | Calmar 0.4
Vol 4% | MDD -8.4%
Months 135M (88%)
CAGR -3.3% | Win 47%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 7% | MDD -9.2%
Months 19M (12%)