BOTZ - Global X Robotics and Artificial Intelligence ETF

Signal Pair Analysis

MRmean-MACDhist

Best Pair

79.3%

Best CAGR

34

Total Months

10.8%

Avg CAGR

BOTZ 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 BOTZ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean MACDhist neg-pos 4 3.3 79.3 75.0 1.5 0.0 7.0 45.2 -11.3
pair MACDhist MRmean neg-pos 4 3.3 79.3 75.0 1.5 0.0 7.0 45.2 -11.3
pair RSmean RSIhist neg-pos 5 4.1 75.5 100.0 11.3 0.0 0.0 5.1 0.0
pair RSIhist RSmean neg-pos 5 4.1 75.5 100.0 11.3 0.0 0.0 5.1 0.0
pair RSmean MACDhist neg-pos 1 0.8 68.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.8 68.1 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 2 1.7 49.4 50.0 0.8 0.0 0.0 58.7 0.0
pair MACDhist RSI neg-pos 2 1.7 49.4 50.0 0.8 0.0 0.0 58.7 0.0
pair MRmean MACD neg-neg 22 18.2 46.9 77.3 1.8 2.5 2.4 23.8 -19.7
pair MACD MRmean neg-neg 22 18.2 46.9 77.3 1.8 2.5 2.4 23.8 -19.7
pair MRmean SLmean neg-pos 5 4.1 43.5 80.0 2.5 0.0 10.6 15.2 -4.1
pair SLmean MRmean neg-pos 5 4.1 43.5 80.0 2.5 0.0 10.6 15.2 -4.1
pair RSIhist MRmean neg-pos 5 4.1 43.0 80.0 2.5 0.0 10.5 14.8 -4.1
pair MRmean RSIhist neg-pos 5 4.1 43.0 80.0 2.5 0.0 10.5 14.8 -4.1
pair RSIhist RSI neg-pos 4 3.3 42.4 50.0 1.6 5.1 38.7 23.5 -1.1
pair RSI RSIhist neg-pos 4 3.3 42.4 50.0 1.6 5.1 38.7 23.5 -1.1
pair SLmean RSI pos-neg 5 4.1 42.0 60.0 1.8 5.0 8.2 20.4 -5.2
pair RSI SLmean pos-neg 5 4.1 42.0 60.0 1.8 5.0 8.2 20.4 -5.2
pair RSI MACD neg-neg 16 13.2 40.0 56.2 1.3 2.5 2.0 30.5 -19.7
pair MACD RSI neg-neg 16 13.2 40.0 56.2 1.3 2.5 2.0 30.5 -19.7
pair MACD LWTI neg-neg 11 9.1 37.9 54.5 1.2 2.3 1.9 31.5 -19.7
pair LWTI MACD neg-neg 11 9.1 37.9 54.5 1.2 2.3 1.9 31.5 -19.7
pair MACD RSmean neg-neg 13 10.7 37.4 76.9 2.9 12.5 50.8 11.1 -0.7
pair RSmean MACD neg-neg 13 10.7 37.4 76.9 2.9 12.5 50.8 11.1 -0.7
pair RSmean SLmean pos-neg 3 2.5 34.2 66.7 3.1 0.0 0.0 9.8 0.0
pair SLmean RSmean pos-neg 3 2.5 34.2 66.7 3.1 0.0 0.0 9.8 0.0
pair MRmean RSI neg-pos 18 14.9 33.7 83.3 1.5 1.9 3.0 20.3 -11.3
pair RSI MRmean neg-pos 18 14.9 33.7 83.3 1.5 1.9 3.0 20.3 -11.3
pair LWTI RSmean neg-pos 17 14.0 32.5 76.5 2.1 2.2 3.8 14.2 -8.5
pair RSmean LWTI neg-pos 17 14.0 32.5 76.5 2.1 2.2 3.8 14.2 -8.5
pair RSI RSmean neg-pos 12 9.9 31.2 83.3 2.0 1.5 3.7 14.0 -8.5
pair RSmean RSI neg-pos 12 9.9 31.2 83.3 2.0 1.5 3.7 14.0 -8.5
pair LWTI MRmean neg-pos 30 24.8 28.3 70.0 1.2 1.3 1.4 24.2 -19.7
pair MRmean LWTI neg-pos 30 24.8 28.3 70.0 1.2 1.3 1.4 24.2 -19.7
pair MACDhist RSIhist neg-pos 21 17.4 27.5 66.7 1.2 1.9 1.2 22.4 -23.1
pair RSIhist MACDhist neg-pos 21 17.4 27.5 66.7 1.2 1.9 1.2 22.4 -23.1
pair RSI MRmean pos-neg 4 3.3 26.3 50.0 0.9 1.6 3.3 28.5 -7.9
pair MRmean RSI pos-neg 4 3.3 26.3 50.0 0.9 1.6 3.3 28.5 -7.9
pair RSmean MRmean neg-pos 30 24.8 26.3 60.0 0.9 1.3 0.9 31.3 -28.5
pair MRmean RSmean neg-pos 30 24.8 26.3 60.0 0.9 1.3 0.9 31.3 -28.5
pair RSIhist SLmean neg-pos 4 3.3 25.3 75.0 1.1 0.0 3.4 22.7 -7.5
pair SLmean RSIhist neg-pos 4 3.3 25.3 75.0 1.1 0.0 3.4 22.7 -7.5
pair RSIhist MACD neg-pos 19 15.7 25.1 63.2 1.2 2.3 1.6 21.2 -15.2
pair MACD RSIhist neg-pos 19 15.7 25.1 63.2 1.2 2.3 1.6 21.2 -15.2
pair RSmean MRmean pos-neg 2 1.7 24.0 50.0 1.8 0.0 0.0 12.6 0.0
pair MRmean RSmean pos-neg 2 1.7 24.0 50.0 1.8 0.0 0.0 12.6 0.0
pair RSmean RSI pos-neg 26 21.5 23.8 53.8 0.8 1.3 0.8 32.1 -28.5
pair RSI RSmean pos-neg 26 21.5 23.8 53.8 0.8 1.3 0.8 32.1 -28.5
single MRmean MRmean neg-neg 46 38.0 22.9 65.2 0.9 1.2 0.6 27.8 -39.0
pair SLmean MRmean neg-neg 41 33.9 20.6 63.4 0.8 1.1 0.5 29.1 -39.0
pair RSIhist MRmean neg-neg 41 33.9 20.6 63.4 0.8 1.1 0.5 29.1 -39.0
pair MRmean SLmean neg-neg 41 33.9 20.6 63.4 0.8 1.1 0.5 29.1 -39.0
pair MRmean RSIhist neg-neg 41 33.9 20.6 63.4 0.8 1.1 0.5 29.1 -39.0
pair MACD MACDhist neg-neg 36 29.8 20.1 61.1 0.9 1.4 0.6 23.1 -33.7
pair MACDhist MACD neg-neg 36 29.8 20.1 61.1 0.9 1.4 0.6 23.1 -33.7
pair MACD SLmean neg-neg 26 21.5 19.7 69.2 0.8 1.4 0.8 26.8 -23.9
pair SLmean MACD neg-neg 26 21.5 19.7 69.2 0.8 1.4 0.8 26.8 -23.9
pair MACDhist SLmean pos-neg 24 19.8 19.4 58.3 0.9 1.6 0.9 21.7 -21.1
pair SLmean MACDhist pos-neg 24 19.8 19.4 58.3 0.9 1.6 0.9 21.7 -21.1
pair RSI LWTI neg-neg 18 14.9 18.6 55.6 0.7 1.2 0.7 33.2 -27.2
pair LWTI RSI neg-neg 18 14.9 18.6 55.6 0.7 1.2 0.7 33.2 -27.2
pair MRmean MACDhist neg-neg 42 34.7 18.5 64.3 0.8 1.0 0.5 26.1 -39.0
pair MACDhist MRmean neg-neg 42 34.7 18.5 64.3 0.8 1.0 0.5 26.1 -39.0
pair LWTI RSIhist pos-pos 59 48.8 18.4 64.4 1.0 1.5 1.1 18.7 -16.0
pair RSIhist LWTI pos-pos 59 48.8 18.4 64.4 1.0 1.5 1.1 18.7 -16.0
pair LWTI RSIhist neg-neg 15 12.4 18.0 60.0 0.6 1.5 0.7 35.1 -27.2
pair RSIhist LWTI neg-neg 15 12.4 18.0 60.0 0.6 1.5 0.7 35.1 -27.2
single MACD MACD neg-neg 44 36.4 17.7 61.4 0.8 1.4 0.5 24.2 -33.7
single RSI RSI neg-neg 32 26.4 17.6 53.1 0.7 1.0 0.5 31.2 -39.0
single RSmean RSmean neg-neg 18 14.9 17.4 72.2 0.9 0.8 0.9 19.6 -18.5
pair MRmean RSmean neg-neg 16 13.2 16.6 75.0 0.8 0.8 0.8 20.6 -21.9
pair RSmean MRmean neg-neg 16 13.2 16.6 75.0 0.8 0.8 0.8 20.6 -21.9
pair LWTI RSmean pos-neg 21 17.4 16.6 52.4 0.7 1.2 0.8 30.9 -21.7
pair RSmean LWTI pos-neg 21 17.4 16.6 52.4 0.7 1.2 0.8 30.9 -21.7
pair RSI MRmean neg-neg 28 23.1 16.4 53.6 0.6 0.9 0.4 32.0 -39.0
pair MRmean RSI neg-neg 28 23.1 16.4 53.6 0.6 0.9 0.4 32.0 -39.0
pair LWTI RSI neg-pos 14 11.6 16.2 50.0 0.7 0.8 0.6 29.7 -26.0
pair RSI LWTI neg-pos 14 11.6 16.2 50.0 0.7 0.8 0.6 29.7 -26.0
pair MACDhist RSI neg-neg 30 24.8 15.7 53.3 0.6 0.9 0.4 30.3 -39.0
pair RSI MACDhist neg-neg 30 24.8 15.7 53.3 0.6 0.9 0.4 30.3 -39.0
pair SLmean LWTI pos-pos 61 50.4 15.7 60.7 0.9 1.4 0.7 18.7 -22.0
pair LWTI SLmean pos-pos 61 50.4 15.7 60.7 0.9 1.4 0.7 18.7 -22.0
pair MACDhist LWTI neg-pos 42 34.7 15.1 64.3 0.8 0.9 0.6 21.5 -25.5
pair LWTI MACDhist neg-pos 42 34.7 15.1 64.3 0.8 0.9 0.6 21.5 -25.5
pair RSmean MACDhist neg-neg 17 14.0 15.0 70.6 0.8 0.8 0.7 20.0 -21.9
pair MACDhist RSmean neg-neg 17 14.0 15.0 70.6 0.8 0.8 0.7 20.0 -21.9
pair MACD SLmean pos-neg 18 14.9 14.8 50.0 0.8 1.7 0.8 20.5 -17.8
pair SLmean MACD pos-neg 18 14.9 14.8 50.0 0.8 1.7 0.8 20.5 -17.8
pair RSIhist RSI neg-neg 28 23.1 14.4 53.6 0.6 0.8 0.4 32.4 -39.0
pair RSI RSIhist neg-neg 28 23.1 14.4 53.6 0.6 0.8 0.4 32.4 -39.0
pair SLmean RSmean neg-neg 15 12.4 14.3 73.3 0.7 0.7 0.7 21.2 -21.9
pair RSmean SLmean neg-neg 15 12.4 14.3 73.3 0.7 0.7 0.7 21.2 -21.9
single RSIhist RSIhist pos-pos 66 54.5 14.2 60.6 0.8 1.2 0.6 19.7 -23.1
pair SLmean RSIhist pos-pos 62 51.2 13.6 59.7 0.8 1.1 0.6 19.7 -23.1
pair RSIhist SLmean pos-pos 62 51.2 13.6 59.7 0.8 1.1 0.6 19.7 -23.1
single SLmean SLmean pos-pos 70 57.9 13.5 58.6 0.8 1.2 0.6 19.5 -22.0
pair SLmean RSI neg-neg 27 22.3 13.5 51.9 0.6 0.8 0.3 33.0 -39.0
pair RSI SLmean neg-neg 27 22.3 13.5 51.9 0.6 0.8 0.3 33.0 -39.0
pair SLmean RSIhist pos-neg 8 6.6 13.3 50.0 0.7 1.4 1.9 19.4 -7.2
pair RSIhist SLmean pos-neg 8 6.6 13.3 50.0 0.7 1.4 1.9 19.4 -7.2
pair LWTI MRmean neg-neg 16 13.2 13.2 56.2 0.5 1.1 0.5 34.3 -27.2
pair MRmean LWTI neg-neg 16 13.2 13.2 56.2 0.5 1.1 0.5 34.3 -27.2
pair SLmean MACD pos-pos 52 43.0 13.1 61.5 0.7 1.0 0.6 19.3 -22.0
pair MACD SLmean pos-pos 52 43.0 13.1 61.5 0.7 1.0 0.6 19.3 -22.0
pair SLmean RSmean pos-pos 67 55.4 12.7 58.2 0.7 1.1 0.5 19.8 -25.3
pair RSmean SLmean pos-pos 67 55.4 12.7 58.2 0.7 1.1 0.5 19.8 -25.3
pair RSI RSIhist pos-pos 62 51.2 12.6 61.3 0.7 1.0 0.6 19.6 -23.1
pair RSIhist RSI pos-pos 62 51.2 12.6 61.3 0.7 1.0 0.6 19.6 -23.1
pair MACD RSIhist neg-neg 25 20.7 12.4 60.0 0.6 0.9 0.4 26.6 -28.8
pair RSIhist MACD neg-neg 25 20.7 12.4 60.0 0.6 0.9 0.4 26.6 -28.8
pair MRmean RSIhist pos-pos 61 50.4 12.2 59.0 0.7 1.0 0.5 20.0 -24.9
pair RSIhist MRmean pos-pos 61 50.4 12.2 59.0 0.7 1.0 0.5 20.0 -24.9
single MACDhist MACDhist neg-neg 64 52.9 12.0 59.4 0.6 0.8 0.3 25.5 -39.0
pair SLmean RSI pos-pos 65 53.7 11.6 58.5 0.7 1.0 0.5 19.5 -23.3
pair MACD LWTI neg-pos 33 27.3 11.6 63.6 0.6 0.9 0.3 21.5 -37.7
pair LWTI MACD neg-pos 33 27.3 11.6 63.6 0.6 0.9 0.3 21.5 -37.7
pair RSI SLmean pos-pos 65 53.7 11.6 58.5 0.7 1.0 0.5 19.5 -23.3
pair MRmean SLmean pos-pos 65 53.7 11.5 56.9 0.7 1.0 0.4 19.8 -30.1
pair SLmean MRmean pos-pos 65 53.7 11.5 56.9 0.7 1.0 0.4 19.8 -30.1
pair MACDhist RSmean pos-neg 47 38.8 10.9 55.3 0.5 0.8 0.3 27.5 -35.4
pair RSmean MACDhist pos-neg 47 38.8 10.9 55.3 0.5 0.8 0.3 27.5 -35.4
pair SLmean LWTI neg-neg 13 10.7 10.7 53.8 0.5 1.1 0.4 37.5 -27.2
pair LWTI SLmean neg-neg 13 10.7 10.7 53.8 0.5 1.1 0.4 37.5 -27.2
pair SLmean MACDhist pos-pos 46 38.0 10.6 58.7 0.6 0.9 0.5 18.4 -22.0
pair MACDhist SLmean pos-pos 46 38.0 10.6 58.7 0.6 0.9 0.5 18.4 -22.0
pair RSmean MACD pos-neg 31 25.6 10.3 54.8 0.5 1.0 0.3 27.9 -33.2
pair MACD RSmean pos-neg 31 25.6 10.3 54.8 0.5 1.0 0.3 27.9 -33.2
pair RSmean RSIhist pos-pos 61 50.4 10.3 57.4 0.6 0.9 0.4 20.1 -24.9
pair RSIhist RSmean pos-pos 61 50.4 10.3 57.4 0.6 0.9 0.4 20.1 -24.9
pair MACD RSIhist pos-pos 47 38.8 10.1 59.6 0.6 0.8 0.6 19.2 -16.0
pair RSIhist MACD pos-pos 47 38.8 10.1 59.6 0.6 0.8 0.6 19.2 -16.0
pair MACDhist RSI pos-neg 34 28.1 8.8 64.7 0.5 0.7 0.3 20.9 -34.0
pair RSI MACDhist pos-neg 34 28.1 8.8 64.7 0.5 0.7 0.3 20.9 -34.0
single LWTI LWTI pos-pos 99 81.8 8.5 59.6 0.5 0.6 0.2 22.4 -47.1
pair MACDhist RSIhist pos-pos 45 37.2 8.5 57.8 0.5 0.8 0.5 18.3 -16.0
pair RSIhist MACDhist pos-pos 45 37.2 8.5 57.8 0.5 0.8 0.5 18.3 -16.0
pair benchmark___benchmark_ benchmark-benchmark 121 100.0 8.1 57.9 0.4 0.6 0.2 24.4 -51.9
pair benchmark___benchmark_ benchmark-benchmark 121 100.0 8.1 57.9 0.4 0.6 0.2 24.4 -51.9
pair SLmean MACDhist neg-neg 40 33.1 7.7 60.0 0.4 0.5 0.2 27.8 -39.0
pair MACDhist SLmean neg-neg 40 33.1 7.7 60.0 0.4 0.5 0.2 27.8 -39.0
pair MACD MACDhist neg-pos 8 6.6 7.6 62.5 0.4 8.6 0.3 30.2 -21.9
pair MACDhist MACD neg-pos 8 6.6 7.6 62.5 0.4 8.6 0.3 30.2 -21.9
pair LWTI RSI pos-pos 85 70.2 7.3 61.2 0.4 0.6 0.2 21.1 -32.4
pair RSI LWTI pos-pos 85 70.2 7.3 61.2 0.4 0.6 0.2 21.1 -32.4
pair LWTI MACD pos-pos 66 54.5 7.0 57.6 0.4 0.5 0.2 22.9 -36.9
pair MACD LWTI pos-pos 66 54.5 7.0 57.6 0.4 0.5 0.2 22.9 -36.9
pair MACD RSI neg-pos 28 23.1 6.5 64.3 0.4 0.6 0.2 19.6 -33.9
pair RSI MACD neg-pos 28 23.1 6.5 64.3 0.4 0.6 0.2 19.6 -33.9
single RSmean RSmean pos-pos 103 85.1 6.5 55.3 0.4 0.6 0.1 25.2 -43.7
single LWTI LWTI neg-neg 22 18.2 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
pair MACDhist LWTI neg-neg 22 18.2 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
pair LWTI MACDhist neg-neg 22 18.2 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
pair RSIhist MACDhist neg-neg 43 35.5 5.0 55.8 0.3 0.4 0.1 27.0 -39.0
pair MACDhist RSIhist neg-neg 43 35.5 5.0 55.8 0.3 0.4 0.1 27.0 -39.0
pair MACD RSmean pos-pos 72 59.5 5.0 55.6 0.3 0.4 0.1 24.1 -36.9
pair RSmean MACD pos-pos 72 59.5 5.0 55.6 0.3 0.4 0.1 24.1 -36.9
single RSI RSI pos-pos 89 73.6 4.9 59.6 0.3 0.5 0.1 21.5 -40.2
pair MACD MRmean neg-pos 24 19.8 4.3 54.2 0.3 0.4 0.1 30.9 -39.1
pair MRmean MACD neg-pos 24 19.8 4.3 54.2 0.3 0.4 0.1 30.9 -39.1
pair MACD RSI pos-pos 61 50.4 4.1 57.4 0.3 0.4 0.2 22.5 -25.0
pair RSI MACD pos-pos 61 50.4 4.1 57.4 0.3 0.4 0.2 22.5 -25.0
pair LWTI RSmean pos-pos 82 67.8 4.1 56.1 0.3 0.4 0.1 23.6 -47.1
pair RSmean LWTI pos-pos 82 67.8 4.1 56.1 0.3 0.4 0.1 23.6 -47.1
pair MACDhist LWTI pos-pos 57 47.1 3.9 56.1 0.3 0.4 0.1 23.1 -34.1
pair LWTI MACDhist pos-pos 57 47.1 3.9 56.1 0.3 0.4 0.1 23.1 -34.1
single MACDhist MACDhist pos-pos 57 47.1 3.9 56.1 0.3 0.4 0.1 23.1 -34.1
pair MACDhist MACD pos-pos 49 40.5 3.4 55.1 0.3 0.3 0.1 22.2 -21.8
pair MACD MACDhist pos-pos 49 40.5 3.4 55.1 0.3 0.3 0.1 22.2 -21.8
single MACD MACD pos-pos 77 63.6 3.0 55.8 0.2 0.3 0.1 24.5 -46.1
pair RSmean MACDhist pos-pos 56 46.3 3.0 55.4 0.2 0.3 0.1 23.3 -34.1
pair MACDhist RSmean pos-pos 56 46.3 3.0 55.4 0.2 0.3 0.1 23.3 -34.1
pair MACDhist RSI pos-pos 55 45.5 2.6 56.4 0.2 0.3 0.1 22.0 -28.4
pair RSI MACDhist pos-pos 55 45.5 2.6 56.4 0.2 0.3 0.1 22.0 -28.4
pair MRmean MACD pos-pos 53 43.8 2.4 56.6 0.2 0.3 0.1 21.4 -22.0
pair MACD MRmean pos-pos 53 43.8 2.4 56.6 0.2 0.3 0.1 21.4 -22.0
pair MACD MACDhist pos-neg 28 23.1 2.3 57.1 0.2 0.3 0.1 28.6 -31.4
pair MACDhist MACD pos-neg 28 23.1 2.3 57.1 0.2 0.3 0.1 28.6 -31.4
pair RSIhist RSmean pos-neg 42 34.7 1.3 52.4 0.2 0.3 0.0 31.4 -41.4
pair RSmean RSIhist pos-neg 42 34.7 1.3 52.4 0.2 0.3 0.0 31.4 -41.4
pair RSmean RSI pos-pos 77 63.6 1.3 55.8 0.2 0.2 0.0 22.4 -41.9
pair RSI RSmean pos-pos 77 63.6 1.3 55.8 0.2 0.2 0.0 22.4 -41.9
single RSIhist RSIhist neg-neg 55 45.5 1.2 54.5 0.2 0.3 0.0 29.1 -49.9
single SLmean SLmean neg-neg 51 42.1 1.0 56.9 0.2 0.3 0.0 29.9 -50.9
pair MRmean LWTI pos-pos 69 57.0 0.9 55.1 0.1 0.2 0.0 21.3 -37.8
pair LWTI MRmean pos-pos 69 57.0 0.9 55.1 0.1 0.2 0.0 21.3 -37.8
pair RSIhist RSmean neg-neg 13 10.7 0.6 61.5 0.1 0.1 0.0 21.4 -21.9
pair RSmean RSIhist neg-neg 13 10.7 0.6 61.5 0.1 0.1 0.0 21.4 -21.9
pair MACDhist MRmean pos-neg 22 18.2 0.4 50.0 0.1 0.2 0.0 24.6 -41.2
pair MRmean MACDhist pos-neg 22 18.2 0.4 50.0 0.1 0.2 0.0 24.6 -41.2
pair SLmean LWTI pos-neg 9 7.4 0.1 44.4 0.1 0.2 0.0 25.4 -21.6
pair LWTI SLmean pos-neg 9 7.4 0.1 44.4 0.1 0.2 0.0 25.4 -21.6
single MRmean MRmean pos-pos 75 62.0 -0.1 53.3 0.1 0.1 -0.0 21.8 -48.6
pair MRmean MACDhist pos-pos 53 43.8 -0.3 54.7 0.1 0.1 -0.0 20.8 -34.1
pair MACDhist MRmean pos-pos 53 43.8 -0.3 54.7 0.1 0.1 -0.0 20.8 -34.1
pair MRmean RSmean pos-pos 73 60.3 -0.6 53.4 0.1 0.1 -0.0 22.1 -48.2
pair RSmean MRmean pos-pos 73 60.3 -0.6 53.4 0.1 0.1 -0.0 22.1 -48.2
pair SLmean RSIhist neg-neg 47 38.8 -0.8 55.3 0.1 0.2 -0.0 30.6 -50.9
pair RSIhist SLmean neg-neg 47 38.8 -0.8 55.3 0.1 0.2 -0.0 30.6 -50.9
pair MACD RSI pos-neg 16 13.2 -1.3 50.0 0.1 0.1 -0.0 32.0 -31.4
pair RSI MACD pos-neg 16 13.2 -1.3 50.0 0.1 0.1 -0.0 32.0 -31.4
pair MRmean RSI pos-pos 71 58.7 -1.4 53.5 0.0 0.1 -0.0 21.6 -48.6
pair RSI MRmean pos-pos 71 58.7 -1.4 53.5 0.0 0.1 -0.0 21.6 -48.6
pair SLmean LWTI neg-pos 38 31.4 -2.1 57.9 0.1 0.1 -0.0 27.4 -48.6
pair LWTI SLmean neg-pos 38 31.4 -2.1 57.9 0.1 0.1 -0.0 27.4 -48.6
pair RSmean SLmean neg-pos 36 29.8 -4.0 50.0 0.0 0.1 -0.1 33.1 -46.0
pair SLmean RSmean neg-pos 36 29.8 -4.0 50.0 0.0 0.1 -0.1 33.1 -46.0
pair RSIhist LWTI neg-pos 40 33.1 -4.5 52.5 -0.0 -0.1 -0.1 26.8 -43.8
pair LWTI RSIhist neg-pos 40 33.1 -4.5 52.5 -0.0 -0.1 -0.1 26.8 -43.8
pair MACD MRmean pos-neg 22 18.2 -5.7 45.5 -0.1 -0.2 -0.2 23.3 -31.8
pair MRmean MACD pos-neg 22 18.2 -5.7 45.5 -0.1 -0.2 -0.2 23.3 -31.8
pair RSI RSmean neg-neg 6 5.0 -6.0 50.0 -0.1 -0.1 -0.4 28.4 -14.6
pair RSmean RSI neg-neg 6 5.0 -6.0 50.0 -0.1 -0.1 -0.4 28.4 -14.6
pair RSIhist MACD pos-neg 30 24.8 -7.3 50.0 -0.1 -0.1 -0.1 31.3 -48.2
pair MACD RSIhist pos-neg 30 24.8 -7.3 50.0 -0.1 -0.1 -0.1 31.3 -48.2
pair LWTI MRmean pos-neg 6 5.0 -10.3 33.3 -0.2 -0.4 -1.6 29.1 -6.5
pair MRmean LWTI pos-neg 6 5.0 -10.3 33.3 -0.2 -0.4 -1.6 29.1 -6.5
pair RSIhist RSI pos-neg 27 22.3 -10.9 55.6 -0.3 -0.4 -0.3 25.3 -37.4
pair RSI RSIhist pos-neg 27 22.3 -10.9 55.6 -0.3 -0.4 -0.3 25.3 -37.4
pair SLmean RSI neg-pos 24 19.8 -11.3 62.5 -0.3 -0.5 -0.2 26.1 -46.5
pair RSI SLmean neg-pos 24 19.8 -11.3 62.5 -0.3 -0.5 -0.2 26.1 -46.5
pair MACDhist RSIhist pos-neg 12 9.9 -11.6 50.0 -0.2 -0.3 -0.5 36.9 -24.4
pair RSIhist MACDhist pos-neg 12 9.9 -11.6 50.0 -0.2 -0.3 -0.5 36.9 -24.4
pair RSIhist LWTI pos-neg 7 5.8 -15.2 28.6 -0.5 -0.8 -1.5 27.0 -10.3
pair LWTI RSIhist pos-neg 7 5.8 -15.2 28.6 -0.5 -0.8 -1.5 27.0 -10.3
pair MACD SLmean neg-pos 25 20.7 -15.3 44.0 -0.3 -0.5 -0.3 32.8 -48.2
pair SLmean MACD neg-pos 25 20.7 -15.3 44.0 -0.3 -0.5 -0.3 32.8 -48.2
pair MACD LWTI pos-neg 11 9.1 -18.1 45.5 -0.4 -0.9 -0.7 33.2 -24.8
pair LWTI MACD pos-neg 11 9.1 -18.1 45.5 -0.4 -0.9 -0.7 33.2 -24.8
pair MACDhist SLmean neg-pos 11 9.1 -19.8 45.5 -0.4 -0.8 -0.7 37.6 -30.1
pair SLmean MACDhist neg-pos 11 9.1 -19.8 45.5 -0.4 -0.8 -0.7 37.6 -30.1
pair MACD RSmean neg-pos 5 4.1 -22.0 60.0 -0.6 -1.4 -1.2 32.3 -18.5
pair RSmean MACD neg-pos 5 4.1 -22.0 60.0 -0.6 -1.4 -1.2 32.3 -18.5
pair LWTI RSI pos-neg 4 3.3 -35.3 25.0 -1.4 -2.2 -1.8 28.3 -19.3
pair RSI LWTI pos-neg 4 3.3 -35.3 25.0 -1.4 -2.2 -1.8 28.3 -19.3
pair RSIhist MRmean pos-neg 14 11.6 -39.5 28.6 -1.9 -2.4 -0.9 24.5 -43.4
pair MRmean RSIhist pos-neg 14 11.6 -39.5 28.6 -1.9 -2.4 -0.9 24.5 -43.4
pair SLmean MRmean pos-neg 10 8.3 -51.0 30.0 -2.6 -3.5 -1.0 25.1 -48.9
pair MRmean SLmean pos-neg 10 8.3 -51.0 30.0 -2.6 -3.5 -1.0 25.1 -48.9
pair LWTI RSmean neg-neg 1 0.8 -85.0 0.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.8 -85.0 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for BOTZ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 11.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.4
Vol 20% | MDD -30.1%
Months 65M (54%)
CAGR -51.0% | Win 30%
Sharpe -2.64 | Sortino -3.48 | Calmar -1.0
Vol 25% | MDD -48.9%
Months 10M (8%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 43.5% | Win 80%
Sharpe 2.48 | Sortino 0.00 | Calmar 10.6
Vol 15% | MDD -4.1%
Months 5M (4%)
CAGR 20.6% | Win 63%
Sharpe 0.79 | Sortino 1.08 | Calmar 0.5
Vol 29% | MDD -39.0%
Months 41M (34%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
SLmean
only
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR -0.6% | Win 53%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 22% | MDD -48.2%
Months 73M (60%)
CAGR 24.0% | Win 50%
Sharpe 1.75 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 2M (2%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 26.3% | Win 60%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.9
Vol 31% | MDD -28.5%
Months 30M (25%)
CAGR 16.6% | Win 75%
Sharpe 0.85 | Sortino 0.78 | Calmar 0.8
Vol 21% | MDD -21.9%
Months 16M (13%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
RSmean
only
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 2.4% | Win 57%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 21% | MDD -22.0%
Months 53M (44%)
CAGR -5.7% | Win 46%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.2
Vol 23% | MDD -31.8%
Months 22M (18%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 4.3% | Win 54%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.1
Vol 31% | MDD -39.1%
Months 24M (20%)
CAGR 46.9% | Win 77%
Sharpe 1.75 | Sortino 2.48 | Calmar 2.4
Vol 24% | MDD -19.7%
Months 22M (18%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
MACD
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR -1.4% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 71M (59%)
CAGR 26.3% | Win 50%
Sharpe 0.93 | Sortino 1.60 | Calmar 3.3
Vol 28% | MDD -7.9%
Months 4M (3%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 33.7% | Win 83%
Sharpe 1.54 | Sortino 1.87 | Calmar 3.0
Vol 20% | MDD -11.3%
Months 18M (15%)
CAGR 16.4% | Win 54%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.4
Vol 32% | MDD -39.0%
Months 28M (23%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
RSI
only
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 21% | MDD -34.1%
Months 53M (44%)
CAGR 0.4% | Win 50%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.0
Vol 25% | MDD -41.2%
Months 22M (18%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 79.3% | Win 75%
Sharpe 1.49 | Sortino 0.00 | Calmar 7.0
Vol 45% | MDD -11.3%
Months 4M (3%)
CAGR 18.5% | Win 64%
Sharpe 0.79 | Sortino 0.98 | Calmar 0.5
Vol 26% | MDD -39.0%
Months 42M (35%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
MACDhist
only
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 12.2% | Win 59%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.5
Vol 20% | MDD -24.9%
Months 61M (50%)
CAGR -39.5% | Win 29%
Sharpe -1.90 | Sortino -2.39 | Calmar -0.9
Vol 24% | MDD -43.4%
Months 14M (12%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 43.0% | Win 80%
Sharpe 2.51 | Sortino 0.00 | Calmar 10.5
Vol 15% | MDD -4.1%
Months 5M (4%)
CAGR 20.6% | Win 63%
Sharpe 0.79 | Sortino 1.08 | Calmar 0.5
Vol 29% | MDD -39.0%
Months 41M (34%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 0.9% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -37.8%
Months 69M (57%)
CAGR -10.3% | Win 33%
Sharpe -0.25 | Sortino -0.40 | Calmar -1.6
Vol 29% | MDD -6.5%
Months 6M (5%)
CAGR -0.1% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 22% | MDD -48.6%
Months 75M (62%)
MRmean
neg
CAGR 28.3% | Win 70%
Sharpe 1.16 | Sortino 1.30 | Calmar 1.4
Vol 24% | MDD -19.7%
Months 30M (25%)
CAGR 13.2% | Win 56%
Sharpe 0.53 | Sortino 1.11 | Calmar 0.5
Vol 34% | MDD -27.2%
Months 16M (13%)
CAGR 22.9% | Win 65%
Sharpe 0.88 | Sortino 1.19 | Calmar 0.6
Vol 28% | MDD -39.0%
Months 46M (38%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 12.7% | Win 58%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.5
Vol 20% | MDD -25.3%
Months 67M (55%)
CAGR 34.2% | Win 67%
Sharpe 3.08 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 3M (2%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR -4.0% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -46.0%
Months 36M (30%)
CAGR 14.3% | Win 73%
Sharpe 0.74 | Sortino 0.69 | Calmar 0.7
Vol 21% | MDD -21.9%
Months 15M (12%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
RSmean
only
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 13.1% | Win 62%
Sharpe 0.74 | Sortino 1.02 | Calmar 0.6
Vol 19% | MDD -22.0%
Months 52M (43%)
CAGR 14.8% | Win 50%
Sharpe 0.77 | Sortino 1.67 | Calmar 0.8
Vol 20% | MDD -17.8%
Months 18M (15%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR -15.3% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.3
Vol 33% | MDD -48.2%
Months 25M (21%)
CAGR 19.7% | Win 69%
Sharpe 0.81 | Sortino 1.35 | Calmar 0.8
Vol 27% | MDD -23.9%
Months 26M (22%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
MACD
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 11.6% | Win 58%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.5
Vol 20% | MDD -23.3%
Months 65M (54%)
CAGR 42.0% | Win 60%
Sharpe 1.83 | Sortino 5.04 | Calmar 8.1
Vol 20% | MDD -5.2%
Months 5M (4%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR -11.3% | Win 62%
Sharpe -0.33 | Sortino -0.46 | Calmar -0.2
Vol 26% | MDD -46.5%
Months 24M (20%)
CAGR 13.5% | Win 52%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.3
Vol 33% | MDD -39.0%
Months 27M (22%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
RSI
only
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 10.6% | Win 59%
Sharpe 0.64 | Sortino 0.92 | Calmar 0.5
Vol 18% | MDD -22.0%
Months 46M (38%)
CAGR 19.4% | Win 58%
Sharpe 0.93 | Sortino 1.58 | Calmar 0.9
Vol 22% | MDD -21.1%
Months 24M (20%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR -19.8% | Win 46%
Sharpe -0.41 | Sortino -0.82 | Calmar -0.7
Vol 38% | MDD -30.1%
Months 11M (9%)
CAGR 7.7% | Win 60%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.2
Vol 28% | MDD -39.0%
Months 40M (33%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
MACDhist
only
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 13.6% | Win 60%
Sharpe 0.75 | Sortino 1.12 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 62M (51%)
CAGR 13.3% | Win 50%
Sharpe 0.73 | Sortino 1.43 | Calmar 1.9
Vol 19% | MDD -7.2%
Months 8M (7%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR 25.3% | Win 75%
Sharpe 1.09 | Sortino 0.00 | Calmar 3.4
Vol 23% | MDD -7.5%
Months 4M (3%)
CAGR -0.8% | Win 55%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -50.9%
Months 47M (39%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 15.7% | Win 61%
Sharpe 0.88 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -22.0%
Months 61M (50%)
CAGR 0.1% | Win 44%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 25% | MDD -21.6%
Months 9M (7%)
CAGR 13.5% | Win 59%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.6
Vol 20% | MDD -22.0%
Months 70M (58%)
SLmean
neg
CAGR -2.1% | Win 58%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -48.6%
Months 38M (31%)
CAGR 10.7% | Win 54%
Sharpe 0.45 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -27.2%
Months 13M (11%)
CAGR 1.0% | Win 57%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.9%
Months 51M (42%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 5.0% | Win 56%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 24% | MDD -36.9%
Months 72M (60%)
CAGR 10.3% | Win 55%
Sharpe 0.49 | Sortino 0.98 | Calmar 0.3
Vol 28% | MDD -33.2%
Months 31M (26%)
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
RSmean
neg
CAGR -22.0% | Win 60%
Sharpe -0.62 | Sortino -1.36 | Calmar -1.2
Vol 32% | MDD -18.5%
Months 5M (4%)
CAGR 37.4% | Win 77%
Sharpe 2.94 | Sortino 12.51 | Calmar 50.8
Vol 11% | MDD -0.7%
Months 13M (11%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
MACD
only
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 1.3% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 22% | MDD -41.9%
Months 77M (64%)
CAGR 23.8% | Win 54%
Sharpe 0.83 | Sortino 1.28 | Calmar 0.8
Vol 32% | MDD -28.5%
Months 26M (22%)
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
RSmean
neg
CAGR 31.2% | Win 83%
Sharpe 2.03 | Sortino 1.49 | Calmar 3.7
Vol 14% | MDD -8.5%
Months 12M (10%)
CAGR -6.0% | Win 50%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.4
Vol 28% | MDD -14.6%
Months 6M (5%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
RSI
only
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 3.0% | Win 55%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 56M (46%)
CAGR 10.9% | Win 55%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.3
Vol 28% | MDD -35.4%
Months 47M (39%)
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
RSmean
neg
CAGR 68.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 15.0% | Win 71%
Sharpe 0.80 | Sortino 0.75 | Calmar 0.7
Vol 20% | MDD -21.9%
Months 17M (14%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
MACDhist
only
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 10.3% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.4
Vol 20% | MDD -24.9%
Months 61M (50%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.0
Vol 31% | MDD -41.4%
Months 42M (35%)
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
RSmean
neg
CAGR 75.5% | Win 100%
Sharpe 11.34 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 5M (4%)
CAGR 0.6% | Win 62%
Sharpe 0.13 | Sortino 0.13 | Calmar 0.0
Vol 21% | MDD -21.9%
Months 13M (11%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 24% | MDD -47.1%
Months 82M (68%)
CAGR 16.6% | Win 52%
Sharpe 0.65 | Sortino 1.21 | Calmar 0.8
Vol 31% | MDD -21.7%
Months 21M (17%)
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -43.7%
Months 103M (85%)
RSmean
neg
CAGR 32.5% | Win 76%
Sharpe 2.08 | Sortino 2.23 | Calmar 3.8
Vol 14% | MDD -8.5%
Months 17M (14%)
CAGR -85.0% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 17.4% | Win 72%
Sharpe 0.92 | Sortino 0.84 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 18M (15%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 4.1% | Win 57%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.2
Vol 22% | MDD -25.0%
Months 61M (50%)
CAGR -1.3% | Win 50%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -31.4%
Months 16M (13%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
MACD
neg
CAGR 6.5% | Win 64%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.2
Vol 20% | MDD -33.9%
Months 28M (23%)
CAGR 40.0% | Win 56%
Sharpe 1.26 | Sortino 2.49 | Calmar 2.0
Vol 30% | MDD -19.7%
Months 16M (13%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
RSI
only
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 3.4% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.2
Vol 22% | MDD -21.8%
Months 49M (40%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 29% | MDD -31.4%
Months 28M (23%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
MACD
neg
CAGR 7.6% | Win 62%
Sharpe 0.37 | Sortino 8.59 | Calmar 0.3
Vol 30% | MDD -21.9%
Months 8M (7%)
CAGR 20.1% | Win 61%
Sharpe 0.91 | Sortino 1.40 | Calmar 0.6
Vol 23% | MDD -33.7%
Months 36M (30%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
MACDhist
only
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 10.1% | Win 60%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.6
Vol 19% | MDD -16.0%
Months 47M (39%)
CAGR -7.3% | Win 50%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.2
Vol 31% | MDD -48.2%
Months 30M (25%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
MACD
neg
CAGR 25.1% | Win 63%
Sharpe 1.17 | Sortino 2.27 | Calmar 1.7
Vol 21% | MDD -15.2%
Months 19M (16%)
CAGR 12.4% | Win 60%
Sharpe 0.57 | Sortino 0.91 | Calmar 0.4
Vol 27% | MDD -28.8%
Months 25M (21%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 7.0% | Win 58%
Sharpe 0.41 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -36.9%
Months 66M (54%)
CAGR -18.1% | Win 46%
Sharpe -0.44 | Sortino -0.86 | Calmar -0.7
Vol 33% | MDD -24.8%
Months 11M (9%)
CAGR 3.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -46.1%
Months 77M (64%)
MACD
neg
CAGR 11.6% | Win 64%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.3
Vol 22% | MDD -37.7%
Months 33M (27%)
CAGR 37.9% | Win 55%
Sharpe 1.18 | Sortino 2.31 | Calmar 1.9
Vol 32% | MDD -19.7%
Months 11M (9%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (36%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 2.6% | Win 56%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -28.4%
Months 55M (46%)
CAGR 8.8% | Win 65%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.3
Vol 21% | MDD -34.0%
Months 34M (28%)
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
RSI
neg
CAGR 49.4% | Win 50%
Sharpe 0.84 | Sortino 0.00 | Calmar 0.0
Vol 59% | MDD 0.0%
Months 2M (2%)
CAGR 15.7% | Win 53%
Sharpe 0.63 | Sortino 0.88 | Calmar 0.4
Vol 30% | MDD -39.0%
Months 30M (25%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
MACDhist
only
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 12.6% | Win 61%
Sharpe 0.71 | Sortino 1.03 | Calmar 0.5
Vol 20% | MDD -23.1%
Months 62M (51%)
CAGR -10.9% | Win 56%
Sharpe -0.33 | Sortino -0.44 | Calmar -0.3
Vol 25% | MDD -37.4%
Months 27M (22%)
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
RSI
neg
CAGR 42.4% | Win 50%
Sharpe 1.61 | Sortino 5.14 | Calmar 38.7
Vol 24% | MDD -1.1%
Months 4M (3%)
CAGR 14.4% | Win 54%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.4
Vol 32% | MDD -39.0%
Months 28M (23%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 21% | MDD -32.4%
Months 85M (70%)
CAGR -35.3% | Win 25%
Sharpe -1.40 | Sortino -2.17 | Calmar -1.8
Vol 28% | MDD -19.3%
Months 4M (3%)
CAGR 4.9% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 22% | MDD -40.2%
Months 89M (74%)
RSI
neg
CAGR 16.2% | Win 50%
Sharpe 0.65 | Sortino 0.85 | Calmar 0.6
Vol 30% | MDD -26.0%
Months 14M (12%)
CAGR 18.6% | Win 56%
Sharpe 0.68 | Sortino 1.21 | Calmar 0.7
Vol 33% | MDD -27.2%
Months 18M (15%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (26%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 58%
Sharpe 0.54 | Sortino 0.76 | Calmar 0.5
Vol 18% | MDD -16.0%
Months 45M (37%)
CAGR -11.6% | Win 50%
Sharpe -0.16 | Sortino -0.32 | Calmar -0.5
Vol 37% | MDD -24.4%
Months 12M (10%)
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
MACDhist
neg
CAGR 27.5% | Win 67%
Sharpe 1.21 | Sortino 1.89 | Calmar 1.2
Vol 22% | MDD -23.1%
Months 21M (17%)
CAGR 5.0% | Win 56%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 27% | MDD -39.0%
Months 43M (36%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
RSIhist
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
-
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.1%
Months 57M (47%)
MACDhist
neg
CAGR 15.1% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.6
Vol 22% | MDD -25.5%
Months 42M (35%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 26% | MDD -39.0%
Months 64M (53%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 18.4% | Win 64%
Sharpe 1.00 | Sortino 1.47 | Calmar 1.2
Vol 19% | MDD -16.0%
Months 59M (49%)
CAGR -15.2% | Win 29%
Sharpe -0.49 | Sortino -0.85 | Calmar -1.5
Vol 27% | MDD -10.3%
Months 7M (6%)
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.17 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 66M (54%)
RSIhist
neg
CAGR -4.5% | Win 52%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 27% | MDD -43.8%
Months 40M (33%)
CAGR 18.0% | Win 60%
Sharpe 0.64 | Sortino 1.51 | Calmar 0.7
Vol 35% | MDD -27.2%
Months 15M (12%)
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -49.9%
Months 55M (46%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -47.1%
Months 99M (82%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (18%)