BOTZ - Global X Robotics and Artificial Intelligence ETF

Signal Pair Analysis

MRmean-MACDhist

Best Pair

102.1%

Best CAGR

33

Total Months

13.7%

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 3 2.6 102.1 66.7 1.5 0.0 9.1 54.3 -11.3
pair MACDhist MRmean neg-pos 3 2.6 102.1 66.7 1.5 0.0 9.1 54.3 -11.3
pair RSmean RSIhist neg-pos 5 4.3 75.5 100.0 11.3 0.0 0.0 5.1 0.0
pair RSIhist RSmean neg-pos 5 4.3 75.5 100.0 11.3 0.0 0.0 5.1 0.0
pair RSmean MACDhist neg-pos 1 0.9 68.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.9 68.1 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSI neg-pos 15 12.9 52.2 93.3 2.3 0.0 4.6 19.0 -11.3
pair RSI MRmean neg-pos 15 12.9 52.2 93.3 2.3 0.0 4.6 19.0 -11.3
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 RSI RSmean neg-pos 11 9.5 48.3 90.9 5.2 0.0 65.2 7.7 -0.7
pair RSmean RSI neg-pos 11 9.5 48.3 90.9 5.2 0.0 65.2 7.7 -0.7
pair MRmean MACD neg-neg 22 19.0 46.9 77.3 1.8 2.5 2.4 23.8 -19.7
pair MACD MRmean neg-neg 22 19.0 46.9 77.3 1.8 2.5 2.4 23.8 -19.7
pair LWTI RSmean neg-pos 16 13.8 44.2 81.2 3.6 14.4 59.7 10.6 -0.7
pair RSmean LWTI neg-pos 16 13.8 44.2 81.2 3.6 14.4 59.7 10.6 -0.7
pair MRmean SLmean neg-pos 5 4.3 43.5 80.0 2.5 0.0 10.6 15.2 -4.1
pair SLmean MRmean neg-pos 5 4.3 43.5 80.0 2.5 0.0 10.6 15.2 -4.1
pair RSIhist MRmean neg-pos 5 4.3 43.0 80.0 2.5 0.0 10.5 14.8 -4.1
pair MRmean RSIhist neg-pos 5 4.3 43.0 80.0 2.5 0.0 10.5 14.8 -4.1
pair RSIhist RSI neg-pos 4 3.4 42.5 50.0 1.6 5.1 38.9 23.5 -1.1
pair RSI RSIhist neg-pos 4 3.4 42.5 50.0 1.6 5.1 38.9 23.5 -1.1
pair SLmean RSI pos-neg 5 4.3 42.0 60.0 1.8 5.0 8.2 20.3 -5.2
pair RSI SLmean pos-neg 5 4.3 42.0 60.0 1.8 5.0 8.2 20.3 -5.2
pair RSI MACD neg-neg 16 13.8 40.0 56.2 1.3 2.5 2.0 30.5 -19.7
pair MACD RSI neg-neg 16 13.8 40.0 56.2 1.3 2.5 2.0 30.5 -19.7
pair MACD LWTI neg-neg 11 9.5 37.9 54.5 1.2 2.3 1.9 31.5 -19.7
pair LWTI MACD neg-neg 11 9.5 37.9 54.5 1.2 2.3 1.9 31.5 -19.7
pair MACD RSmean neg-neg 13 11.2 37.4 76.9 2.9 12.5 50.5 11.1 -0.7
pair RSmean MACD neg-neg 13 11.2 37.4 76.9 2.9 12.5 50.5 11.1 -0.7
pair LWTI MRmean neg-pos 27 23.3 37.3 74.1 1.4 1.5 1.9 24.2 -19.7
pair MRmean LWTI neg-pos 27 23.3 37.3 74.1 1.4 1.5 1.9 24.2 -19.7
pair RSmean SLmean pos-neg 3 2.6 34.2 66.7 3.1 0.0 0.0 9.8 0.0
pair SLmean RSmean pos-neg 3 2.6 34.2 66.7 3.1 0.0 0.0 9.8 0.0
pair SLmean RSIhist pos-neg 7 6.0 31.1 57.1 1.7 4.3 6.0 16.7 -5.2
pair RSIhist SLmean pos-neg 7 6.0 31.1 57.1 1.7 4.3 6.0 16.7 -5.2
pair RSmean MRmean neg-pos 28 24.1 28.4 60.7 0.9 1.4 1.0 32.3 -28.6
pair MRmean RSmean neg-pos 28 24.1 28.4 60.7 0.9 1.4 1.0 32.3 -28.6
single MRmean MRmean neg-neg 43 37.1 27.8 67.4 1.0 1.3 0.7 28.1 -39.0
pair MACDhist RSIhist neg-pos 21 18.1 27.5 66.7 1.2 1.9 1.2 22.4 -23.1
pair RSIhist MACDhist neg-pos 21 18.1 27.5 66.7 1.2 1.9 1.2 22.4 -23.1
pair RSmean MRmean neg-neg 15 12.9 26.6 80.0 1.3 0.9 1.8 19.0 -14.6
pair MRmean RSmean neg-neg 15 12.9 26.6 80.0 1.3 0.9 1.8 19.0 -14.6
single RSmean RSmean neg-neg 17 14.7 26.3 76.5 1.4 1.1 1.8 18.1 -14.6
pair RSI MRmean pos-neg 4 3.4 26.3 50.0 0.9 1.6 3.3 28.5 -7.9
pair MRmean RSI pos-neg 4 3.4 26.3 50.0 0.9 1.6 3.3 28.5 -7.9
pair RSIhist MRmean neg-neg 38 32.8 25.9 65.8 0.9 1.2 0.7 29.5 -39.0
pair MRmean RSIhist neg-neg 38 32.8 25.9 65.8 0.9 1.2 0.7 29.5 -39.0
pair MRmean SLmean neg-neg 38 32.8 25.8 65.8 0.9 1.2 0.7 29.5 -39.0
pair SLmean MRmean neg-neg 38 32.8 25.8 65.8 0.9 1.2 0.7 29.5 -39.0
pair SLmean RSIhist neg-pos 4 3.4 25.3 75.0 1.1 0.0 3.4 22.7 -7.5
pair RSIhist SLmean neg-pos 4 3.4 25.3 75.0 1.1 0.0 3.4 22.7 -7.5
pair RSIhist MACD neg-pos 19 16.4 25.1 63.2 1.2 2.3 1.6 21.2 -15.2
pair MACD RSIhist neg-pos 19 16.4 25.1 63.2 1.2 2.3 1.6 21.2 -15.2
pair SLmean RSmean neg-neg 14 12.1 24.6 78.6 1.2 0.9 1.7 19.7 -14.6
pair RSmean SLmean neg-neg 14 12.1 24.6 78.6 1.2 0.9 1.7 19.7 -14.6
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 MACDhist neg-neg 16 13.8 24.0 75.0 1.3 1.0 1.6 18.5 -14.6
pair MACDhist RSmean neg-neg 16 13.8 24.0 75.0 1.3 1.0 1.6 18.5 -14.6
pair RSmean RSI pos-neg 26 22.4 23.8 53.8 0.8 1.3 0.8 32.1 -28.6
pair RSI RSmean pos-neg 26 22.4 23.8 53.8 0.8 1.3 0.8 32.1 -28.6
pair MRmean MACDhist neg-neg 40 34.5 23.5 67.5 0.9 1.1 0.6 26.1 -39.0
pair MACDhist MRmean neg-neg 40 34.5 23.5 67.5 0.9 1.1 0.6 26.1 -39.0
pair MACDhist MACD neg-neg 36 31.0 20.1 61.1 0.9 1.4 0.6 23.1 -33.7
pair MACD MACDhist neg-neg 36 31.0 20.1 61.1 0.9 1.4 0.6 23.1 -33.7
pair RSIhist LWTI pos-pos 58 50.0 20.1 65.5 1.1 1.6 1.3 18.6 -15.2
pair LWTI RSIhist pos-pos 58 50.0 20.1 65.5 1.1 1.6 1.3 18.6 -15.2
pair MACD SLmean neg-neg 26 22.4 19.7 69.2 0.8 1.4 0.8 26.8 -23.9
pair SLmean MACD neg-neg 26 22.4 19.7 69.2 0.8 1.4 0.8 26.8 -23.9
pair MACDhist LWTI neg-pos 40 34.5 19.7 67.5 1.0 1.1 0.8 21.2 -25.5
pair LWTI MACDhist neg-pos 40 34.5 19.7 67.5 1.0 1.1 0.8 21.2 -25.5
pair MACDhist SLmean pos-neg 24 20.7 19.4 58.3 0.9 1.6 0.9 21.7 -21.1
pair SLmean MACDhist pos-neg 24 20.7 19.4 58.3 0.9 1.6 0.9 21.7 -21.1
pair SLmean LWTI pos-pos 59 50.9 19.4 62.7 1.1 1.6 1.3 18.3 -14.9
pair LWTI SLmean pos-pos 59 50.9 19.4 62.7 1.1 1.6 1.3 18.3 -14.9
pair RSI LWTI neg-neg 18 15.5 18.6 55.6 0.7 1.2 0.7 33.1 -27.2
pair LWTI RSI neg-neg 18 15.5 18.6 55.6 0.7 1.2 0.7 33.1 -27.2
pair RSIhist LWTI neg-neg 15 12.9 18.0 60.0 0.6 1.5 0.7 35.1 -27.2
pair LWTI RSIhist neg-neg 15 12.9 18.0 60.0 0.6 1.5 0.7 35.1 -27.2
single MACD MACD neg-neg 44 37.9 17.7 61.4 0.8 1.4 0.5 24.2 -33.7
single RSI RSI neg-neg 32 27.6 17.6 53.1 0.7 1.0 0.5 31.2 -39.0
pair SLmean MACD pos-pos 50 43.1 17.3 64.0 0.9 1.2 1.0 19.0 -17.4
pair MACD SLmean pos-pos 50 43.1 17.3 64.0 0.9 1.2 1.0 19.0 -17.4
pair LWTI RSmean pos-neg 21 18.1 16.6 52.4 0.7 1.2 0.8 30.9 -21.7
single SLmean SLmean pos-pos 68 58.6 16.6 60.3 0.9 1.4 0.8 19.2 -21.1
pair RSmean LWTI pos-neg 21 18.1 16.6 52.4 0.7 1.2 0.8 30.9 -21.7
pair RSI MRmean neg-neg 28 24.1 16.4 53.6 0.6 0.9 0.4 32.0 -39.0
pair MRmean RSI neg-neg 28 24.1 16.4 53.6 0.6 0.9 0.4 32.0 -39.0
pair LWTI RSI neg-pos 14 12.1 16.2 50.0 0.7 0.8 0.6 29.7 -26.0
pair RSI LWTI neg-pos 14 12.1 16.2 50.0 0.7 0.8 0.6 29.7 -26.0
pair RSmean SLmean pos-pos 65 56.0 15.9 60.0 0.8 1.3 0.7 19.6 -22.4
pair SLmean RSmean pos-pos 65 56.0 15.9 60.0 0.8 1.3 0.7 19.6 -22.4
pair MACDhist RSI neg-neg 30 25.9 15.7 53.3 0.6 0.9 0.4 30.2 -39.0
single RSIhist RSIhist pos-pos 65 56.0 15.7 61.5 0.8 1.2 0.7 19.6 -23.1
pair RSI MACDhist neg-neg 30 25.9 15.7 53.3 0.6 0.9 0.4 30.2 -39.0
pair SLmean MACDhist pos-pos 44 37.9 15.1 61.4 0.9 1.2 1.0 18.0 -14.9
pair MACDhist SLmean pos-pos 44 37.9 15.1 61.4 0.9 1.2 1.0 18.0 -14.9
pair RSIhist SLmean pos-pos 61 52.6 15.1 60.7 0.8 1.2 0.7 19.6 -23.1
pair SLmean RSIhist pos-pos 61 52.6 15.1 60.7 0.8 1.2 0.7 19.6 -23.1
pair RSI SLmean pos-pos 63 54.3 14.8 60.3 0.8 1.2 0.6 19.2 -23.3
pair SLmean RSI pos-pos 63 54.3 14.8 60.3 0.8 1.2 0.6 19.2 -23.3
pair MACD SLmean pos-neg 18 15.5 14.8 50.0 0.8 1.7 0.8 20.5 -17.8
pair SLmean MACD pos-neg 18 15.5 14.8 50.0 0.8 1.7 0.8 20.5 -17.8
pair MRmean SLmean pos-pos 63 54.3 14.7 58.7 0.8 1.2 0.5 19.5 -30.1
pair SLmean MRmean pos-pos 63 54.3 14.7 58.7 0.8 1.2 0.5 19.5 -30.1
single MACDhist MACDhist neg-neg 62 53.4 14.7 61.3 0.7 0.9 0.4 25.5 -39.0
pair RSIhist RSI neg-neg 28 24.1 14.4 53.6 0.6 0.8 0.4 32.4 -39.0
pair RSI RSIhist neg-neg 28 24.1 14.4 53.6 0.6 0.8 0.4 32.4 -39.0
pair RSI RSIhist pos-pos 61 52.6 14.1 62.3 0.8 1.1 0.6 19.5 -23.1
pair RSIhist RSI pos-pos 61 52.6 14.1 62.3 0.8 1.1 0.6 19.5 -23.1
pair MACDhist RSI pos-neg 32 27.6 13.8 68.8 0.7 0.9 0.4 20.7 -34.1
pair RSI MACDhist pos-neg 32 27.6 13.8 68.8 0.7 0.9 0.4 20.7 -34.1
pair MRmean RSIhist pos-pos 60 51.7 13.6 60.0 0.7 1.1 0.6 20.0 -24.9
pair RSIhist MRmean pos-pos 60 51.7 13.6 60.0 0.7 1.1 0.6 20.0 -24.9
pair RSI SLmean neg-neg 27 23.3 13.5 51.9 0.6 0.8 0.3 33.0 -39.0
pair SLmean RSI neg-neg 27 23.3 13.5 51.9 0.6 0.8 0.3 33.0 -39.0
pair MRmean LWTI neg-neg 16 13.8 13.2 56.2 0.5 1.1 0.5 34.3 -27.2
pair LWTI MRmean neg-neg 16 13.8 13.2 56.2 0.5 1.1 0.5 34.3 -27.2
pair LWTI MACD pos-pos 61 52.6 12.3 60.7 0.6 0.7 0.3 23.0 -36.9
pair RSIhist MACD neg-neg 25 21.6 12.3 60.0 0.6 0.9 0.4 26.6 -28.8
pair MACD RSIhist neg-neg 25 21.6 12.3 60.0 0.6 0.9 0.4 26.6 -28.8
pair MACD LWTI pos-pos 61 52.6 12.3 60.7 0.6 0.7 0.3 23.0 -36.9
single LWTI LWTI pos-pos 94 81.0 12.1 61.7 0.6 0.8 0.3 22.4 -47.1
pair MACD RSIhist pos-pos 46 39.7 12.0 60.9 0.7 0.9 0.8 19.1 -14.9
pair RSIhist MACD pos-pos 46 39.7 12.0 60.9 0.7 0.9 0.8 19.1 -14.9
pair MACDhist SLmean neg-neg 38 32.8 11.9 63.2 0.5 0.7 0.3 28.0 -39.0
pair SLmean MACDhist neg-neg 38 32.8 11.9 63.2 0.5 0.7 0.3 28.0 -39.0
pair RSmean MACDhist pos-neg 46 39.7 11.7 56.5 0.5 0.8 0.3 27.7 -35.4
pair MACDhist RSmean pos-neg 46 39.7 11.7 56.5 0.5 0.8 0.3 27.7 -35.4
pair RSmean RSIhist pos-pos 60 51.7 11.7 58.3 0.7 1.0 0.5 20.1 -24.9
pair RSIhist RSmean pos-pos 60 51.7 11.7 58.3 0.7 1.0 0.5 20.1 -24.9
pair LWTI MACD neg-pos 33 28.4 11.6 63.6 0.6 0.9 0.3 21.5 -37.7
pair MACD LWTI neg-pos 33 28.4 11.6 63.6 0.6 0.9 0.3 21.5 -37.7
pair LWTI RSI pos-pos 80 69.0 11.4 63.8 0.6 0.8 0.3 21.1 -32.4
pair RSI LWTI pos-pos 80 69.0 11.4 63.8 0.6 0.8 0.3 21.1 -32.4
pair benchmark___benchmark_ benchmark-benchmark 116 100.0 11.0 59.5 0.6 0.8 0.2 24.4 -51.9
pair benchmark___benchmark_ benchmark-benchmark 116 100.0 11.0 59.5 0.6 0.8 0.2 24.4 -51.9
pair SLmean LWTI neg-neg 13 11.2 10.7 53.8 0.5 1.1 0.4 37.5 -27.2
pair LWTI SLmean neg-neg 13 11.2 10.7 53.8 0.5 1.1 0.4 37.5 -27.2
pair MRmean MACD neg-pos 21 18.1 10.4 57.1 0.5 0.6 0.3 32.2 -39.1
pair MACD MRmean neg-pos 21 18.1 10.4 57.1 0.5 0.6 0.3 32.2 -39.1
pair MACDhist RSIhist pos-pos 44 37.9 10.4 59.1 0.6 0.9 0.7 18.3 -15.2
pair RSIhist MACDhist pos-pos 44 37.9 10.4 59.1 0.6 0.9 0.7 18.3 -15.2
pair MACD RSmean pos-neg 31 26.7 10.3 54.8 0.5 1.0 0.3 27.9 -33.2
pair RSmean MACD pos-neg 31 26.7 10.3 54.8 0.5 1.0 0.3 27.9 -33.2
pair RSIhist RSmean neg-neg 12 10.3 10.1 66.7 0.6 0.5 0.7 20.2 -14.6
pair RSmean RSIhist neg-neg 12 10.3 10.1 66.7 0.6 0.5 0.7 20.2 -14.6
pair MACD RSI pos-pos 56 48.3 9.6 60.7 0.5 0.7 0.4 22.5 -25.0
pair RSI MACD pos-pos 56 48.3 9.6 60.7 0.5 0.7 0.4 22.5 -25.0
pair MACDhist RSIhist neg-neg 41 35.3 8.7 58.5 0.4 0.6 0.2 27.2 -39.0
pair RSIhist MACDhist neg-neg 41 35.3 8.7 58.5 0.4 0.6 0.2 27.2 -39.0
single RSI RSI pos-pos 84 72.4 8.5 61.9 0.5 0.6 0.2 21.5 -40.2
single RSmean RSmean pos-pos 99 85.3 8.5 56.6 0.5 0.7 0.2 25.4 -43.7
pair MACD MACDhist pos-neg 26 22.4 7.7 61.5 0.4 0.5 0.2 29.0 -31.4
pair MACDhist MACD pos-neg 26 22.4 7.7 61.5 0.4 0.5 0.2 29.0 -31.4
pair MACD RSmean pos-pos 68 58.6 7.7 57.4 0.4 0.5 0.2 24.4 -36.9
pair RSmean MACD pos-pos 68 58.6 7.7 57.4 0.4 0.5 0.2 24.4 -36.9
pair MACDhist MACD neg-pos 8 6.9 7.6 62.5 0.4 8.6 0.3 30.2 -21.9
pair MACD MACDhist neg-pos 8 6.9 7.6 62.5 0.4 8.6 0.3 30.2 -21.9
single MACD MACD pos-pos 72 62.1 7.0 58.3 0.4 0.5 0.1 24.7 -46.1
pair MACDhist LWTI pos-pos 54 46.6 6.8 57.4 0.4 0.6 0.2 23.3 -34.1
pair LWTI MACDhist pos-pos 54 46.6 6.8 57.4 0.4 0.6 0.2 23.3 -34.1
single MACDhist MACDhist pos-pos 54 46.6 6.8 57.4 0.4 0.6 0.2 23.3 -34.1
pair MACDhist MACD pos-pos 46 39.7 6.6 56.5 0.4 0.5 0.3 22.3 -21.8
pair MACD MACDhist pos-pos 46 39.7 6.6 56.5 0.4 0.5 0.3 22.3 -21.8
pair RSI MACD neg-pos 28 24.1 6.5 64.3 0.4 0.6 0.2 19.6 -33.9
pair MACD RSI neg-pos 28 24.1 6.5 64.3 0.4 0.6 0.2 19.6 -33.9
pair LWTI RSmean pos-pos 78 67.2 6.4 57.7 0.4 0.5 0.1 23.9 -47.1
pair RSmean LWTI pos-pos 78 67.2 6.4 57.7 0.4 0.5 0.1 23.9 -47.1
pair MACDhist LWTI neg-neg 22 19.0 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
pair LWTI MACDhist neg-neg 22 19.0 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
single LWTI LWTI neg-neg 22 19.0 6.3 50.0 0.3 0.6 0.2 32.5 -33.1
pair RSmean MACDhist pos-pos 53 45.7 5.9 56.6 0.4 0.5 0.2 23.5 -34.1
pair MACDhist RSmean pos-pos 53 45.7 5.9 56.6 0.4 0.5 0.2 23.5 -34.1
pair MRmean MACD pos-pos 51 44.0 5.7 58.8 0.4 0.5 0.3 21.3 -21.2
pair MACD MRmean pos-pos 51 44.0 5.7 58.8 0.4 0.5 0.3 21.3 -21.2
pair MACDhist RSI pos-pos 52 44.8 5.4 57.7 0.3 0.5 0.2 22.2 -28.4
pair RSI MACDhist pos-pos 52 44.8 5.4 57.7 0.3 0.5 0.2 22.2 -28.4
single RSIhist RSIhist neg-neg 51 44.0 5.2 56.9 0.3 0.5 0.1 29.7 -49.9
pair RSmean RSIhist pos-neg 39 33.6 3.8 53.8 0.3 0.4 0.1 32.2 -41.4
pair RSIhist RSmean pos-neg 39 33.6 3.8 53.8 0.3 0.4 0.1 32.2 -41.4
pair RSI RSmean pos-pos 73 62.9 3.6 57.5 0.3 0.4 0.1 22.6 -41.9
pair RSmean RSI pos-pos 73 62.9 3.6 57.5 0.3 0.4 0.1 22.6 -41.9
single SLmean SLmean neg-neg 48 41.4 3.4 58.3 0.3 0.4 0.1 30.5 -50.9
pair MRmean LWTI pos-pos 67 57.8 3.3 56.7 0.3 0.3 0.1 21.3 -37.8
pair LWTI MRmean pos-pos 67 57.8 3.3 56.7 0.3 0.3 0.1 21.3 -37.8
pair MACDhist MRmean pos-pos 51 44.0 2.8 56.9 0.2 0.3 0.1 20.7 -34.1
pair MRmean MACDhist pos-pos 51 44.0 2.8 56.9 0.2 0.3 0.1 20.7 -34.1
single MRmean MRmean pos-pos 73 62.9 2.1 54.8 0.2 0.3 0.0 21.8 -48.6
pair RSIhist SLmean neg-neg 44 37.9 1.6 56.8 0.2 0.3 0.0 31.3 -50.9
pair SLmean RSIhist neg-neg 44 37.9 1.6 56.8 0.2 0.3 0.0 31.3 -50.9
pair MRmean RSmean pos-pos 71 61.2 1.5 54.9 0.2 0.2 0.0 22.0 -48.3
pair RSmean MRmean pos-pos 71 61.2 1.5 54.9 0.2 0.2 0.0 22.0 -48.3
pair MRmean RSI pos-pos 69 59.5 0.9 55.1 0.1 0.2 0.0 21.5 -48.6
pair RSI MRmean pos-pos 69 59.5 0.9 55.1 0.1 0.2 0.0 21.5 -48.6
pair LWTI SLmean neg-pos 35 30.2 0.8 60.0 0.2 0.2 0.0 28.0 -48.6
pair SLmean LWTI neg-pos 35 30.2 0.8 60.0 0.2 0.2 0.0 28.0 -48.6
pair MRmean MACDhist pos-neg 22 19.0 0.4 50.0 0.1 0.2 0.0 24.6 -41.2
pair MACDhist MRmean pos-neg 22 19.0 0.4 50.0 0.1 0.2 0.0 24.6 -41.2
pair RSIhist LWTI neg-pos 36 31.0 0.3 55.6 0.1 0.2 0.0 27.5 -43.8
pair LWTI RSIhist neg-pos 36 31.0 0.3 55.6 0.1 0.2 0.0 27.5 -43.8
pair LWTI SLmean pos-neg 9 7.8 0.1 44.4 0.1 0.2 0.0 25.4 -21.6
pair SLmean LWTI pos-neg 9 7.8 0.1 44.4 0.1 0.2 0.0 25.4 -21.6
pair RSIhist MACD pos-neg 26 22.4 -1.2 53.8 0.1 0.2 -0.0 32.8 -48.2
pair MACD RSIhist pos-neg 26 22.4 -1.2 53.8 0.1 0.2 -0.0 32.8 -48.2
pair MACD RSI pos-neg 16 13.8 -1.3 50.0 0.1 0.1 -0.0 32.0 -31.4
pair RSI MACD pos-neg 16 13.8 -1.3 50.0 0.1 0.1 -0.0 32.0 -31.4
pair MACD RSmean neg-pos 4 3.4 -4.1 75.0 0.0 0.0 -0.3 34.0 -14.6
pair RSmean MACD neg-pos 4 3.4 -4.1 75.0 0.0 0.0 -0.3 34.0 -14.6
pair RSmean SLmean neg-pos 34 29.3 -4.3 50.0 0.0 0.1 -0.1 34.0 -46.0
pair SLmean RSmean neg-pos 34 29.3 -4.3 50.0 0.0 0.1 -0.1 34.0 -46.0
pair RSIhist RSI pos-neg 23 19.8 -4.9 60.9 -0.1 -0.1 -0.1 26.3 -37.5
pair RSI RSIhist pos-neg 23 19.8 -4.9 60.9 -0.1 -0.1 -0.1 26.3 -37.5
pair MACD MRmean pos-neg 22 19.0 -5.7 45.5 -0.1 -0.2 -0.2 23.3 -31.8
pair MRmean MACD pos-neg 22 19.0 -5.7 45.5 -0.1 -0.2 -0.2 23.3 -31.8
pair RSI RSmean neg-neg 6 5.2 -6.0 50.0 -0.1 -0.1 -0.4 28.4 -14.6
pair RSmean RSI neg-neg 6 5.2 -6.0 50.0 -0.1 -0.1 -0.4 28.4 -14.6
pair MACDhist RSIhist pos-neg 10 8.6 -7.9 50.0 -0.0 -0.0 -0.3 39.9 -24.4
pair RSIhist MACDhist pos-neg 10 8.6 -7.9 50.0 -0.0 -0.0 -0.3 39.9 -24.4
pair SLmean RSI neg-pos 21 18.1 -8.3 66.7 -0.2 -0.3 -0.2 27.3 -46.5
pair RSI SLmean neg-pos 21 18.1 -8.3 66.7 -0.2 -0.3 -0.2 27.3 -46.5
pair LWTI MRmean pos-neg 6 5.2 -10.3 33.3 -0.2 -0.4 -1.6 29.1 -6.5
pair MRmean LWTI pos-neg 6 5.2 -10.3 33.3 -0.2 -0.4 -1.6 29.1 -6.5
pair MACD SLmean neg-pos 22 19.0 -13.1 45.5 -0.2 -0.3 -0.3 34.5 -48.2
pair SLmean MACD neg-pos 22 19.0 -13.1 45.5 -0.2 -0.3 -0.3 34.5 -48.2
pair RSIhist LWTI pos-neg 7 6.0 -15.2 28.6 -0.5 -0.8 -1.5 27.0 -10.3
pair LWTI RSIhist pos-neg 7 6.0 -15.2 28.6 -0.5 -0.8 -1.5 27.0 -10.3
pair MACD LWTI pos-neg 11 9.5 -18.1 45.5 -0.4 -0.9 -0.7 33.2 -24.8
pair LWTI MACD pos-neg 11 9.5 -18.1 45.5 -0.4 -0.9 -0.7 33.2 -24.8
pair MACDhist SLmean neg-pos 10 8.6 -23.4 40.0 -0.5 -1.0 -0.8 39.4 -30.1
pair SLmean MACDhist neg-pos 10 8.6 -23.4 40.0 -0.5 -1.0 -0.8 39.4 -30.1
pair LWTI RSI pos-neg 4 3.4 -35.3 25.0 -1.4 -2.2 -1.8 28.3 -19.3
pair RSI LWTI pos-neg 4 3.4 -35.3 25.0 -1.4 -2.2 -1.8 28.3 -19.3
pair RSIhist MRmean pos-neg 13 11.2 -37.7 30.8 -1.7 -2.1 -0.9 25.2 -43.2
pair MRmean RSIhist pos-neg 13 11.2 -37.7 30.8 -1.7 -2.1 -0.9 25.2 -43.2
pair SLmean MRmean pos-neg 10 8.6 -51.0 30.0 -2.6 -3.5 -1.0 25.1 -48.9
pair MRmean SLmean pos-neg 10 8.6 -51.0 30.0 -2.6 -3.5 -1.0 25.1 -48.9
pair LWTI RSmean neg-neg 1 0.9 -85.0 0.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.9 -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 14.7% | Win 59%
Sharpe 0.80 | Sortino 1.20 | Calmar 0.5
Vol 20% | MDD -30.1%
Months 63M (54%)
CAGR -51.0% | Win 30%
Sharpe -2.64 | Sortino -3.48 | Calmar -1.0
Vol 25% | MDD -48.9%
Months 10M (9%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
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 25.8% | Win 66%
Sharpe 0.93 | Sortino 1.23 | Calmar 0.7
Vol 30% | MDD -39.0%
Months 38M (33%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
SLmean
only
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 1.5% | Win 55%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 22% | MDD -48.3%
Months 71M (61%)
CAGR 24.0% | Win 50%
Sharpe 1.75 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 2M (2%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
MRmean
neg
CAGR 28.4% | Win 61%
Sharpe 0.94 | Sortino 1.42 | Calmar 1.0
Vol 32% | MDD -28.6%
Months 28M (24%)
CAGR 26.6% | Win 80%
Sharpe 1.34 | Sortino 0.95 | Calmar 1.8
Vol 19% | MDD -14.6%
Months 15M (13%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
RSmean
only
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.45 | Calmar 0.3
Vol 21% | MDD -21.2%
Months 51M (44%)
CAGR -5.7% | Win 46%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.2
Vol 23% | MDD -31.8%
Months 22M (19%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
MRmean
neg
CAGR 10.4% | Win 57%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 32% | MDD -39.1%
Months 21M (18%)
CAGR 46.9% | Win 77%
Sharpe 1.75 | Sortino 2.48 | Calmar 2.4
Vol 24% | MDD -19.7%
Months 22M (19%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 0.9% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 69M (60%)
CAGR 26.3% | Win 50%
Sharpe 0.93 | Sortino 1.60 | Calmar 3.3
Vol 28% | MDD -7.9%
Months 4M (3%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
MRmean
neg
CAGR 52.2% | Win 93%
Sharpe 2.33 | Sortino 0.00 | Calmar 4.6
Vol 19% | MDD -11.3%
Months 15M (13%)
CAGR 16.4% | Win 54%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.4
Vol 32% | MDD -39.0%
Months 28M (24%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
RSI
only
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 21% | MDD -34.1%
Months 51M (44%)
CAGR 0.4% | Win 50%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.0
Vol 25% | MDD -41.2%
Months 22M (19%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
MRmean
neg
CAGR 102.1% | Win 67%
Sharpe 1.51 | Sortino 0.00 | Calmar 9.1
Vol 54% | MDD -11.3%
Months 3M (3%)
CAGR 23.5% | Win 68%
Sharpe 0.95 | Sortino 1.11 | Calmar 0.6
Vol 26% | MDD -39.0%
Months 40M (34%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
MACDhist
only
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.6% | Win 60%
Sharpe 0.74 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -24.9%
Months 60M (52%)
CAGR -37.7% | Win 31%
Sharpe -1.72 | Sortino -2.11 | Calmar -0.9
Vol 25% | MDD -43.2%
Months 13M (11%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
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 25.9% | Win 66%
Sharpe 0.93 | Sortino 1.23 | Calmar 0.7
Vol 30% | MDD -39.0%
Months 38M (33%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.3% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -37.8%
Months 67M (58%)
CAGR -10.3% | Win 33%
Sharpe -0.25 | Sortino -0.40 | Calmar -1.6
Vol 29% | MDD -6.5%
Months 6M (5%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -48.6%
Months 73M (63%)
MRmean
neg
CAGR 37.3% | Win 74%
Sharpe 1.44 | Sortino 1.46 | Calmar 1.9
Vol 24% | MDD -19.7%
Months 27M (23%)
CAGR 13.2% | Win 56%
Sharpe 0.53 | Sortino 1.11 | Calmar 0.5
Vol 34% | MDD -27.2%
Months 16M (14%)
CAGR 27.8% | Win 67%
Sharpe 1.02 | Sortino 1.32 | Calmar 0.7
Vol 28% | MDD -39.0%
Months 43M (37%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 15.9% | Win 60%
Sharpe 0.85 | Sortino 1.29 | Calmar 0.7
Vol 20% | MDD -22.4%
Months 65M (56%)
CAGR 34.2% | Win 67%
Sharpe 3.07 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 3M (3%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
SLmean
neg
CAGR -4.3% | Win 50%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 34% | MDD -46.0%
Months 34M (29%)
CAGR 24.6% | Win 79%
Sharpe 1.23 | Sortino 0.89 | Calmar 1.7
Vol 20% | MDD -14.6%
Months 14M (12%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
RSmean
only
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 17.3% | Win 64%
Sharpe 0.94 | Sortino 1.24 | Calmar 1.0
Vol 19% | MDD -17.4%
Months 50M (43%)
CAGR 14.8% | Win 50%
Sharpe 0.77 | Sortino 1.67 | Calmar 0.8
Vol 20% | MDD -17.8%
Months 18M (16%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
SLmean
neg
CAGR -13.1% | Win 46%
Sharpe -0.23 | Sortino -0.33 | Calmar -0.3
Vol 34% | MDD -48.2%
Months 22M (19%)
CAGR 19.7% | Win 69%
Sharpe 0.81 | Sortino 1.35 | Calmar 0.8
Vol 27% | MDD -23.9%
Months 26M (22%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 14.8% | Win 60%
Sharpe 0.82 | Sortino 1.19 | Calmar 0.6
Vol 19% | MDD -23.3%
Months 63M (54%)
CAGR 42.0% | Win 60%
Sharpe 1.83 | Sortino 5.04 | Calmar 8.2
Vol 20% | MDD -5.2%
Months 5M (4%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
SLmean
neg
CAGR -8.3% | Win 67%
Sharpe -0.18 | Sortino -0.26 | Calmar -0.2
Vol 27% | MDD -46.5%
Months 21M (18%)
CAGR 13.5% | Win 52%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.3
Vol 33% | MDD -39.0%
Months 27M (23%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
RSI
only
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 15.1% | Win 61%
Sharpe 0.88 | Sortino 1.19 | Calmar 1.0
Vol 18% | MDD -14.9%
Months 44M (38%)
CAGR 19.4% | Win 58%
Sharpe 0.93 | Sortino 1.58 | Calmar 0.9
Vol 22% | MDD -21.1%
Months 24M (21%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
SLmean
neg
CAGR -23.4% | Win 40%
Sharpe -0.49 | Sortino -1.02 | Calmar -0.8
Vol 39% | MDD -30.1%
Months 10M (9%)
CAGR 11.9% | Win 63%
Sharpe 0.54 | Sortino 0.68 | Calmar 0.3
Vol 28% | MDD -39.0%
Months 38M (33%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
MACDhist
only
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.1% | Win 61%
Sharpe 0.82 | Sortino 1.20 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 61M (53%)
CAGR 31.1% | Win 57%
Sharpe 1.71 | Sortino 4.26 | Calmar 6.0
Vol 17% | MDD -5.2%
Months 7M (6%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
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 1.6% | Win 57%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -50.9%
Months 44M (38%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 19.4% | Win 63%
Sharpe 1.06 | Sortino 1.58 | Calmar 1.3
Vol 18% | MDD -14.9%
Months 59M (51%)
CAGR 0.1% | Win 44%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 25% | MDD -21.6%
Months 9M (8%)
CAGR 16.6% | Win 60%
Sharpe 0.90 | Sortino 1.35 | Calmar 0.8
Vol 19% | MDD -21.1%
Months 68M (59%)
SLmean
neg
CAGR 0.8% | Win 60%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.0
Vol 28% | MDD -48.6%
Months 35M (30%)
CAGR 10.7% | Win 54%
Sharpe 0.45 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -27.2%
Months 13M (11%)
CAGR 3.4% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 48M (41%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.2
Vol 24% | MDD -36.9%
Months 68M (59%)
CAGR 10.3% | Win 55%
Sharpe 0.49 | Sortino 0.98 | Calmar 0.3
Vol 28% | MDD -33.2%
Months 31M (27%)
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
RSmean
neg
CAGR -4.1% | Win 75%
Sharpe 0.01 | Sortino 0.00 | Calmar -0.3
Vol 34% | MDD -14.6%
Months 4M (3%)
CAGR 37.4% | Win 77%
Sharpe 2.94 | Sortino 12.53 | Calmar 50.5
Vol 11% | MDD -0.7%
Months 13M (11%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 23% | MDD -41.9%
Months 73M (63%)
CAGR 23.8% | Win 54%
Sharpe 0.83 | Sortino 1.28 | Calmar 0.8
Vol 32% | MDD -28.6%
Months 26M (22%)
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
RSmean
neg
CAGR 48.3% | Win 91%
Sharpe 5.21 | Sortino 0.00 | Calmar 65.2
Vol 8% | MDD -0.7%
Months 11M (10%)
CAGR -6.0% | Win 50%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.4
Vol 28% | MDD -14.6%
Months 6M (5%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
RSI
only
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.9% | Win 57%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 24% | MDD -34.1%
Months 53M (46%)
CAGR 11.7% | Win 56%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.3
Vol 28% | MDD -35.4%
Months 46M (40%)
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (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 24.0% | Win 75%
Sharpe 1.26 | Sortino 0.99 | Calmar 1.6
Vol 18% | MDD -14.6%
Months 16M (14%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
MACDhist
only
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.7% | Win 58%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.5
Vol 20% | MDD -24.9%
Months 60M (52%)
CAGR 3.8% | Win 54%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 32% | MDD -41.4%
Months 39M (34%)
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
RSmean
neg
CAGR 75.5% | Win 100%
Sharpe 11.35 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 5M (4%)
CAGR 10.1% | Win 67%
Sharpe 0.57 | Sortino 0.49 | Calmar 0.7
Vol 20% | MDD -14.6%
Months 12M (10%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.4% | Win 58%
Sharpe 0.38 | Sortino 0.51 | Calmar 0.1
Vol 24% | MDD -47.1%
Months 78M (67%)
CAGR 16.6% | Win 52%
Sharpe 0.65 | Sortino 1.21 | Calmar 0.8
Vol 31% | MDD -21.7%
Months 21M (18%)
CAGR 8.5% | Win 57%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 25% | MDD -43.7%
Months 99M (85%)
RSmean
neg
CAGR 44.2% | Win 81%
Sharpe 3.57 | Sortino 14.41 | Calmar 59.7
Vol 11% | MDD -0.7%
Months 16M (14%)
CAGR -85.0% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 26.3% | Win 76%
Sharpe 1.39 | Sortino 1.07 | Calmar 1.8
Vol 18% | MDD -14.6%
Months 17M (15%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 61%
Sharpe 0.52 | Sortino 0.66 | Calmar 0.4
Vol 22% | MDD -25.0%
Months 56M (48%)
CAGR -1.3% | Win 50%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -31.4%
Months 16M (14%)
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
MACD
neg
CAGR 6.5% | Win 64%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.2
Vol 20% | MDD -33.9%
Months 28M (24%)
CAGR 40.0% | Win 56%
Sharpe 1.26 | Sortino 2.49 | Calmar 2.0
Vol 30% | MDD -19.7%
Months 16M (14%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
RSI
only
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 56%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.3
Vol 22% | MDD -21.8%
Months 46M (40%)
CAGR 7.7% | Win 62%
Sharpe 0.40 | Sortino 0.49 | Calmar 0.2
Vol 29% | MDD -31.4%
Months 26M (22%)
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
MACD
neg
CAGR 7.6% | Win 62%
Sharpe 0.37 | Sortino 8.60 | 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 (31%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
MACDhist
only
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 12.0% | Win 61%
Sharpe 0.69 | Sortino 0.91 | Calmar 0.8
Vol 19% | MDD -14.9%
Months 46M (40%)
CAGR -1.2% | Win 54%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 33% | MDD -48.2%
Months 26M (22%)
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
MACD
neg
CAGR 25.1% | Win 63%
Sharpe 1.17 | Sortino 2.28 | Calmar 1.7
Vol 21% | MDD -15.2%
Months 19M (16%)
CAGR 12.3% | Win 60%
Sharpe 0.57 | Sortino 0.91 | Calmar 0.4
Vol 27% | MDD -28.8%
Months 25M (22%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 12.3% | Win 61%
Sharpe 0.62 | Sortino 0.74 | Calmar 0.3
Vol 23% | MDD -36.9%
Months 61M (53%)
CAGR -18.1% | Win 46%
Sharpe -0.44 | Sortino -0.86 | Calmar -0.7
Vol 33% | MDD -24.8%
Months 11M (10%)
CAGR 7.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.2
Vol 25% | MDD -46.1%
Months 72M (62%)
MACD
neg
CAGR 11.6% | Win 64%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.3
Vol 22% | MDD -37.7%
Months 33M (28%)
CAGR 37.9% | Win 55%
Sharpe 1.18 | Sortino 2.31 | Calmar 1.9
Vol 32% | MDD -19.7%
Months 11M (10%)
CAGR 17.7% | Win 61%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.5
Vol 24% | MDD -33.7%
Months 44M (38%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.4% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.2
Vol 22% | MDD -28.4%
Months 52M (45%)
CAGR 13.8% | Win 69%
Sharpe 0.73 | Sortino 0.95 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 32M (28%)
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
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 (26%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
MACDhist
only
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 14.1% | Win 62%
Sharpe 0.78 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -23.1%
Months 61M (53%)
CAGR -4.9% | Win 61%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 26% | MDD -37.5%
Months 23M (20%)
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
RSI
neg
CAGR 42.5% | Win 50%
Sharpe 1.61 | Sortino 5.14 | Calmar 38.9
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 (24%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 64%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.4
Vol 21% | MDD -32.4%
Months 80M (69%)
CAGR -35.3% | Win 25%
Sharpe -1.40 | Sortino -2.17 | Calmar -1.8
Vol 28% | MDD -19.3%
Months 4M (3%)
CAGR 8.5% | Win 62%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 84M (72%)
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 (16%)
CAGR 17.6% | Win 53%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.5
Vol 31% | MDD -39.0%
Months 32M (28%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.4% | Win 59%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.7
Vol 18% | MDD -15.2%
Months 44M (38%)
CAGR -7.9% | Win 50%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.3
Vol 40% | MDD -24.4%
Months 10M (9%)
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
MACDhist
neg
CAGR 27.5% | Win 67%
Sharpe 1.21 | Sortino 1.89 | Calmar 1.2
Vol 22% | MDD -23.1%
Months 21M (18%)
CAGR 8.7% | Win 58%
Sharpe 0.44 | Sortino 0.57 | Calmar 0.2
Vol 27% | MDD -39.0%
Months 41M (35%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
RSIhist
only
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
-
CAGR 6.8% | Win 57%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.1%
Months 54M (47%)
MACDhist
neg
CAGR 19.7% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 0.8
Vol 21% | MDD -25.5%
Months 40M (34%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
CAGR 14.7% | Win 61%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 26% | MDD -39.0%
Months 62M (53%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 20.1% | Win 66%
Sharpe 1.08 | Sortino 1.55 | Calmar 1.3
Vol 19% | MDD -15.2%
Months 58M (50%)
CAGR -15.2% | Win 29%
Sharpe -0.49 | Sortino -0.85 | Calmar -1.5
Vol 27% | MDD -10.3%
Months 7M (6%)
CAGR 15.7% | Win 62%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.7
Vol 20% | MDD -23.1%
Months 65M (56%)
RSIhist
neg
CAGR 0.3% | Win 56%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 28% | MDD -43.8%
Months 36M (31%)
CAGR 18.0% | Win 60%
Sharpe 0.64 | Sortino 1.51 | Calmar 0.7
Vol 35% | MDD -27.2%
Months 15M (13%)
CAGR 5.2% | Win 57%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 30% | MDD -49.9%
Months 51M (44%)
LWTI
only
CAGR 12.1% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.3
Vol 22% | MDD -47.1%
Months 94M (81%)
CAGR 6.3% | Win 50%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -33.1%
Months 22M (19%)