BWX - SPDR Bloomberg International Treasury Bond ETF

Signal Pair Analysis

SLmean-RSI

Best Pair

11.9%

Best CAGR

63

Total Months

0.9%

Avg CAGR

BWX 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 BWX

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair SLmean RSI pos-neg 14 6.3 11.9 57.1 1.0 2.0 1.3 11.7 -8.9
pair RSI SLmean pos-neg 14 6.3 11.9 57.1 1.0 2.0 1.3 11.7 -8.9
pair LWTI RSIhist pos-neg 26 11.7 10.7 69.2 1.4 2.0 2.3 7.5 -4.7
pair RSIhist LWTI pos-neg 26 11.7 10.7 69.2 1.4 2.0 2.3 7.5 -4.7
pair LWTI RSmean neg-neg 1 0.5 10.3 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.5 10.3 100.0 0.0 0.0 0.0 - 0.0
pair MRmean LWTI pos-neg 18 8.1 10.2 61.1 1.4 3.3 3.6 7.3 -2.8
pair LWTI MRmean pos-neg 18 8.1 10.2 61.1 1.4 3.3 3.6 7.3 -2.8
pair MACD SLmean pos-neg 31 14.0 9.2 67.7 0.9 1.2 1.0 10.7 -8.9
pair SLmean MACD pos-neg 31 14.0 9.2 67.7 0.9 1.2 1.0 10.7 -8.9
pair SLmean RSIhist pos-neg 11 5.0 9.0 72.7 1.2 2.8 3.3 7.3 -2.8
pair RSIhist SLmean pos-neg 11 5.0 9.0 72.7 1.2 2.8 3.3 7.3 -2.8
pair MACDhist LWTI pos-neg 7 3.2 8.6 71.4 1.1 4.8 3.3 7.8 -2.6
pair LWTI MACDhist pos-neg 7 3.2 8.6 71.4 1.1 4.8 3.3 7.8 -2.6
pair RSI LWTI pos-neg 17 7.7 8.5 70.6 1.7 3.7 4.6 5.0 -1.9
pair LWTI RSI pos-neg 17 7.7 8.5 70.6 1.7 3.7 4.6 5.0 -1.9
pair RSI MRmean pos-neg 11 5.0 8.2 54.5 0.8 1.8 2.0 11.1 -4.1
pair MRmean RSI pos-neg 11 5.0 8.2 54.5 0.8 1.8 2.0 11.1 -4.1
pair SLmean LWTI pos-neg 21 9.5 8.1 61.9 1.0 1.6 1.1 8.1 -7.5
pair LWTI SLmean pos-neg 21 9.5 8.1 61.9 1.0 1.6 1.1 8.1 -7.5
pair MRmean MACD pos-neg 28 12.6 7.5 67.9 0.8 1.1 0.9 10.3 -8.3
pair MACD MRmean pos-neg 28 12.6 7.5 67.9 0.8 1.1 0.9 10.3 -8.3
pair MRmean RSIhist neg-pos 17 7.7 6.5 64.7 0.7 1.1 0.6 10.4 -10.6
pair RSIhist MRmean neg-pos 17 7.7 6.5 64.7 0.7 1.1 0.6 10.4 -10.6
pair RSIhist MACDhist pos-neg 22 9.9 6.2 68.2 0.7 1.1 0.7 8.8 -9.5
pair MACDhist RSIhist pos-neg 22 9.9 6.2 68.2 0.7 1.1 0.7 8.8 -9.5
pair MACDhist MRmean neg-pos 23 10.4 6.2 65.2 0.7 1.0 0.7 9.9 -9.4
pair MRmean MACDhist neg-pos 23 10.4 6.2 65.2 0.7 1.0 0.7 9.9 -9.4
pair MRmean SLmean neg-pos 10 4.5 5.6 60.0 0.6 0.8 0.8 9.8 -7.1
pair SLmean MRmean neg-pos 10 4.5 5.6 60.0 0.6 0.8 0.8 9.8 -7.1
pair LWTI MACD pos-neg 18 8.1 5.3 55.6 0.9 1.8 1.6 5.7 -3.4
pair MACD LWTI pos-neg 18 8.1 5.3 55.6 0.9 1.8 1.6 5.7 -3.4
pair MACD RSmean pos-neg 75 33.8 5.2 62.7 0.5 0.8 0.2 11.3 -23.8
pair RSmean MACD pos-neg 75 33.8 5.2 62.7 0.5 0.8 0.2 11.3 -23.8
pair RSIhist MACDhist neg-pos 39 17.6 5.2 64.1 0.6 0.7 0.7 9.0 -7.4
pair MACDhist RSIhist neg-pos 39 17.6 5.2 64.1 0.6 0.7 0.7 9.0 -7.4
pair MACD RSIhist neg-pos 42 18.9 5.1 64.3 0.5 0.8 0.4 10.2 -13.3
pair RSIhist MACD neg-pos 42 18.9 5.1 64.3 0.5 0.8 0.4 10.2 -13.3
pair MACD MACDhist neg-pos 31 14.0 5.0 61.3 0.5 1.1 0.6 10.1 -8.4
pair MACDhist MACD neg-pos 31 14.0 5.0 61.3 0.5 1.1 0.6 10.1 -8.4
pair RSI MACD neg-pos 26 11.7 4.9 69.2 0.6 0.7 0.4 9.5 -13.2
pair MACD RSI neg-pos 26 11.7 4.9 69.2 0.6 0.7 0.4 9.5 -13.2
pair MACDhist RSI neg-pos 26 11.7 4.6 61.5 0.5 1.1 0.6 9.6 -8.4
pair RSI MACDhist neg-pos 26 11.7 4.6 61.5 0.5 1.1 0.6 9.6 -8.4
pair LWTI MACD neg-pos 53 23.9 4.2 62.3 0.4 0.8 0.3 10.6 -13.7
pair MACD LWTI neg-pos 53 23.9 4.2 62.3 0.4 0.8 0.3 10.6 -13.7
pair RSI LWTI neg-pos 49 22.1 4.0 53.1 0.5 0.9 0.4 9.7 -10.1
pair LWTI RSI neg-pos 49 22.1 4.0 53.1 0.5 0.9 0.4 9.7 -10.1
pair RSI RSIhist neg-pos 25 11.3 3.9 56.0 0.4 0.8 0.3 10.5 -11.0
pair RSIhist RSI neg-pos 25 11.3 3.9 56.0 0.4 0.8 0.3 10.5 -11.0
pair RSmean RSI pos-neg 80 36.0 3.8 52.5 0.4 0.7 0.1 10.6 -26.7
pair RSI RSmean pos-neg 80 36.0 3.8 52.5 0.4 0.7 0.1 10.6 -26.7
pair MACDhist SLmean pos-neg 42 18.9 3.7 61.9 0.5 0.5 0.5 8.6 -7.6
pair SLmean MACDhist pos-neg 42 18.9 3.7 61.9 0.5 0.5 0.5 8.6 -7.6
pair MRmean RSmean neg-pos 85 38.3 3.4 56.5 0.4 0.6 0.1 10.1 -27.3
pair RSmean MRmean neg-pos 85 38.3 3.4 56.5 0.4 0.6 0.1 10.1 -27.3
pair MRmean LWTI neg-pos 66 29.7 3.0 54.5 0.4 0.7 0.2 9.2 -15.5
pair LWTI MRmean neg-pos 66 29.7 3.0 54.5 0.4 0.7 0.2 9.2 -15.5
pair MACDhist MRmean pos-neg 43 19.4 3.0 58.1 0.4 0.5 0.4 8.3 -8.1
pair MRmean MACDhist pos-neg 43 19.4 3.0 58.1 0.4 0.5 0.4 8.3 -8.1
single MACD MACD neg-neg 91 41.0 2.9 60.4 0.3 0.5 0.1 11.0 -23.8
pair RSIhist LWTI neg-pos 77 34.7 2.8 55.8 0.4 0.7 0.2 8.3 -13.7
pair LWTI RSIhist neg-pos 77 34.7 2.8 55.8 0.4 0.7 0.2 8.3 -13.7
pair MRmean MACD neg-pos 41 18.5 2.4 51.2 0.4 0.6 0.2 7.2 -13.2
pair SLmean RSIhist neg-pos 19 8.6 2.4 63.2 0.3 0.5 0.2 8.0 -11.9
pair MACD MRmean neg-pos 41 18.5 2.4 51.2 0.4 0.6 0.2 7.2 -13.2
single LWTI LWTI neg-neg 56 25.2 2.4 57.1 0.3 0.4 0.1 10.0 -26.4
pair RSIhist SLmean neg-pos 19 8.6 2.4 63.2 0.3 0.5 0.2 8.0 -11.9
pair RSmean LWTI pos-neg 55 24.8 2.2 56.4 0.3 0.4 0.1 10.1 -26.4
pair LWTI RSmean pos-neg 55 24.8 2.2 56.4 0.3 0.4 0.1 10.1 -26.4
pair RSI MACD pos-neg 23 10.4 2.2 39.1 0.4 1.0 0.3 6.7 -7.0
pair MACD RSI pos-neg 23 10.4 2.2 39.1 0.4 1.0 0.3 6.7 -7.0
pair RSI MRmean neg-pos 27 12.2 2.1 63.0 0.3 0.4 0.2 8.0 -10.4
pair MRmean RSI neg-pos 27 12.2 2.1 63.0 0.3 0.4 0.2 8.0 -10.4
pair MACDhist RSmean pos-neg 106 47.7 2.1 54.7 0.3 0.4 0.1 9.5 -27.0
pair RSmean MACDhist pos-neg 106 47.7 2.1 54.7 0.3 0.4 0.1 9.5 -27.0
single RSI RSI neg-neg 88 39.6 2.1 52.3 0.2 0.4 0.1 10.5 -26.7
pair RSI MACD neg-neg 65 29.3 2.0 56.9 0.2 0.4 0.1 11.6 -23.8
pair MACD RSI neg-neg 65 29.3 2.0 56.9 0.2 0.4 0.1 11.6 -23.8
pair MACD MACDhist neg-neg 60 27.0 1.8 60.0 0.2 0.3 0.1 11.5 -23.8
pair MACDhist MACD neg-neg 60 27.0 1.8 60.0 0.2 0.3 0.1 11.5 -23.8
pair RSmean MRmean pos-neg 4 1.8 1.7 75.0 0.2 0.0 0.0 7.4 0.0
pair RSIhist MRmean pos-neg 20 9.0 1.7 55.0 0.3 0.6 0.4 7.2 -4.6
pair MRmean RSIhist pos-neg 20 9.0 1.7 55.0 0.3 0.6 0.4 7.2 -4.6
pair MRmean RSmean pos-neg 4 1.8 1.7 75.0 0.2 0.0 0.0 7.4 0.0
pair MACDhist LWTI neg-neg 49 22.1 1.5 55.1 0.2 0.3 0.1 10.4 -26.4
single MRmean MRmean neg-neg 104 46.8 1.5 54.8 0.2 0.3 0.1 9.9 -29.6
pair LWTI MACDhist neg-neg 49 22.1 1.5 55.1 0.2 0.3 0.1 10.4 -26.4
pair RSmean SLmean neg-pos 98 44.1 1.4 53.1 0.2 0.3 0.1 9.3 -29.4
pair SLmean RSmean neg-pos 98 44.1 1.4 53.1 0.2 0.3 0.1 9.3 -29.4
pair RSI RSIhist neg-neg 63 28.4 1.4 50.8 0.2 0.3 0.1 10.6 -29.7
pair RSIhist RSI neg-neg 63 28.4 1.4 50.8 0.2 0.3 0.1 10.6 -29.7
pair MACDhist RSI pos-neg 62 27.9 1.2 59.7 0.2 0.2 0.1 7.5 -14.6
pair RSI MACDhist pos-neg 62 27.9 1.2 59.7 0.2 0.2 0.1 7.5 -14.6
pair RSIhist RSmean pos-neg 89 40.1 1.2 52.8 0.2 0.3 0.0 9.6 -33.2
pair RSmean RSIhist pos-neg 89 40.1 1.2 52.8 0.2 0.3 0.0 9.6 -33.2
single RSmean RSmean pos-pos 199 89.6 1.2 56.3 0.2 0.2 0.0 9.1 -29.9
single MACDhist MACDhist neg-neg 124 55.9 1.2 54.0 0.2 0.2 0.0 9.3 -29.3
pair RSI MRmean neg-neg 77 34.7 1.2 51.9 0.2 0.3 0.1 10.5 -26.7
pair MRmean RSI neg-neg 77 34.7 1.2 51.9 0.2 0.3 0.1 10.5 -26.7
pair MACDhist SLmean neg-pos 33 14.9 1.2 60.6 0.2 0.3 0.1 8.2 -10.1
pair SLmean MACDhist neg-pos 33 14.9 1.2 60.6 0.2 0.3 0.1 8.2 -10.1
pair RSIhist RSmean pos-pos 110 49.5 1.1 59.1 0.2 0.2 0.1 8.8 -11.0
pair RSmean RSIhist pos-pos 110 49.5 1.1 59.1 0.2 0.2 0.1 8.8 -11.0
pair RSI MACDhist neg-neg 62 27.9 1.1 48.4 0.1 0.2 0.0 10.9 -26.7
pair MACDhist RSI neg-neg 62 27.9 1.1 48.4 0.1 0.2 0.0 10.9 -26.7
pair MACD LWTI neg-neg 38 17.1 1.0 57.9 0.1 0.2 0.0 11.6 -23.8
pair LWTI MACD neg-neg 38 17.1 1.0 57.9 0.1 0.2 0.0 11.6 -23.8
pair RSIhist MACD neg-neg 49 22.1 1.0 57.1 0.1 0.2 0.0 11.7 -24.9
pair MACD RSIhist neg-neg 49 22.1 1.0 57.1 0.1 0.2 0.0 11.7 -24.9
pair SLmean RSmean pos-pos 101 45.5 1.0 59.4 0.1 0.2 0.1 9.0 -11.8
pair RSmean SLmean pos-pos 101 45.5 1.0 59.4 0.1 0.2 0.1 9.0 -11.8
pair MRmean SLmean neg-neg 94 42.3 1.0 54.3 0.1 0.2 0.0 9.9 -30.3
pair SLmean MRmean neg-neg 94 42.3 1.0 54.3 0.1 0.2 0.0 9.9 -30.3
pair MACDhist LWTI neg-pos 75 33.8 0.9 53.3 0.1 0.2 0.1 8.7 -15.0
pair LWTI MACDhist neg-pos 75 33.8 0.9 53.3 0.1 0.2 0.1 8.7 -15.0
pair MACD SLmean neg-pos 55 24.8 0.9 49.1 0.2 0.2 0.1 6.8 -13.9
pair SLmean MACD neg-pos 55 24.8 0.9 49.1 0.2 0.2 0.1 6.8 -13.9
pair MRmean MACD neg-neg 63 28.4 0.9 57.1 0.1 0.2 0.0 11.3 -23.8
pair MACD MRmean neg-neg 63 28.4 0.9 57.1 0.1 0.2 0.0 11.3 -23.8
pair LWTI RSmean pos-pos 144 64.9 0.8 56.2 0.1 0.2 0.0 8.7 -21.5
pair RSmean LWTI pos-pos 144 64.9 0.8 56.2 0.1 0.2 0.0 8.7 -21.5
pair SLmean LWTI neg-pos 80 36.0 0.8 52.5 0.1 0.2 0.1 8.4 -15.1
pair LWTI SLmean neg-pos 80 36.0 0.8 52.5 0.1 0.2 0.1 8.4 -15.1
single RSIhist RSIhist neg-neg 107 48.2 0.7 53.3 0.1 0.2 0.0 9.3 -34.2
single SLmean SLmean pos-pos 107 48.2 0.7 58.9 0.1 0.2 0.1 8.8 -13.9
pair MACD RSIhist pos-neg 58 26.1 0.6 50.0 0.1 0.2 0.0 6.8 -13.2
pair RSIhist MACD pos-neg 58 26.1 0.6 50.0 0.1 0.2 0.0 6.8 -13.2
pair MACD MACDhist pos-neg 64 28.8 0.6 48.4 0.1 0.2 0.1 6.8 -7.9
pair MACDhist MACD pos-neg 64 28.8 0.6 48.4 0.1 0.2 0.1 6.8 -7.9
pair benchmark___benchmark_ benchmark-benchmark 222 100.0 0.5 55.9 0.1 0.1 0.0 9.0 -32.2
pair benchmark___benchmark_ benchmark-benchmark 222 100.0 0.5 55.9 0.1 0.1 0.0 9.0 -32.2
pair MRmean RSIhist neg-neg 87 39.2 0.5 52.9 0.1 0.1 0.0 9.8 -34.0
pair RSIhist MRmean neg-neg 87 39.2 0.5 52.9 0.1 0.1 0.0 9.8 -34.0
pair RSI SLmean neg-neg 74 33.3 0.3 51.4 0.1 0.1 0.0 10.3 -27.2
pair SLmean RSI neg-neg 74 33.3 0.3 51.4 0.1 0.1 0.0 10.3 -27.2
single SLmean SLmean neg-neg 115 51.8 0.3 53.0 0.1 0.1 0.0 9.3 -31.1
pair MRmean SLmean pos-pos 97 43.7 0.2 58.8 0.1 0.1 0.0 8.8 -13.9
pair MACDhist MRmean neg-neg 81 36.5 0.2 51.9 0.1 0.1 0.0 9.9 -29.1
pair MRmean MACDhist neg-neg 81 36.5 0.2 51.9 0.1 0.1 0.0 9.9 -29.1
pair SLmean MRmean pos-pos 97 43.7 0.2 58.8 0.1 0.1 0.0 8.8 -13.9
single RSIhist RSIhist pos-pos 115 51.8 0.2 58.3 0.1 0.1 0.0 8.8 -13.9
pair RSmean MACDhist pos-pos 93 41.9 0.1 58.1 0.1 0.1 0.0 8.8 -14.2
pair MACDhist RSmean pos-pos 93 41.9 0.1 58.1 0.1 0.1 0.0 8.8 -14.2
pair SLmean RSI neg-pos 41 18.5 0.1 56.1 0.1 0.1 0.0 7.3 -12.8
pair RSI SLmean neg-pos 41 18.5 0.1 56.1 0.1 0.1 0.0 7.3 -12.8
pair SLmean MACDhist neg-neg 82 36.9 -0.1 50.0 0.0 0.1 -0.0 9.7 -28.4
pair MACDhist SLmean neg-neg 82 36.9 -0.1 50.0 0.0 0.1 -0.0 9.7 -28.4
pair RSI RSIhist pos-neg 44 19.8 -0.2 56.8 0.0 0.0 -0.0 7.3 -12.8
pair RSIhist SLmean neg-neg 96 43.2 -0.2 51.0 0.0 0.1 -0.0 9.5 -34.3
pair RSI LWTI neg-neg 39 17.6 -0.2 51.3 0.0 0.1 -0.0 11.6 -26.4
pair RSIhist RSI pos-neg 44 19.8 -0.2 56.8 0.0 0.0 -0.0 7.3 -12.8
single LWTI LWTI pos-pos 166 74.8 -0.2 55.4 0.0 0.0 -0.0 8.7 -23.6
pair LWTI RSI neg-neg 39 17.6 -0.2 51.3 0.0 0.1 -0.0 11.6 -26.4
pair SLmean RSIhist pos-pos 96 43.2 -0.2 57.3 0.0 0.0 -0.0 9.0 -12.4
pair RSIhist SLmean pos-pos 96 43.2 -0.2 57.3 0.0 0.0 -0.0 9.0 -12.4
pair SLmean RSIhist neg-neg 96 43.2 -0.2 51.0 0.0 0.1 -0.0 9.5 -34.3
pair SLmean MACD neg-neg 60 27.0 -0.3 56.7 0.0 0.1 -0.0 11.1 -24.1
pair MACD SLmean neg-neg 60 27.0 -0.3 56.7 0.0 0.1 -0.0 11.1 -24.1
single MRmean MRmean pos-pos 118 53.2 -0.4 56.8 -0.0 -0.0 -0.0 8.3 -14.2
single MACDhist MACDhist pos-pos 98 44.1 -0.4 58.2 -0.0 -0.0 -0.0 8.7 -19.0
pair RSmean MACD neg-pos 7 3.2 -0.5 57.1 -0.0 -0.1 -0.1 7.0 -3.3
pair MACD RSmean neg-pos 7 3.2 -0.5 57.1 -0.0 -0.1 -0.1 7.0 -3.3
pair RSI RSmean pos-pos 119 53.6 -0.5 58.8 -0.0 -0.0 -0.0 8.0 -12.0
pair RSmean MRmean pos-pos 114 51.4 -0.5 56.1 -0.0 -0.0 -0.0 8.4 -14.5
pair MRmean RSmean pos-pos 114 51.4 -0.5 56.1 -0.0 -0.0 -0.0 8.4 -14.5
pair RSmean RSI pos-pos 119 53.6 -0.5 58.8 -0.0 -0.0 -0.0 8.0 -12.0
single RSI RSI pos-pos 134 60.4 -0.6 58.2 -0.0 -0.0 -0.0 8.0 -14.6
pair RSIhist MACDhist neg-neg 85 38.3 -0.6 49.4 -0.0 -0.0 -0.0 9.5 -30.7
pair MACDhist RSIhist neg-neg 85 38.3 -0.6 49.4 -0.0 -0.0 -0.0 9.5 -30.7
pair MRmean RSIhist pos-pos 98 44.1 -0.8 57.1 -0.1 -0.1 -0.1 8.5 -13.3
pair RSIhist MRmean pos-pos 98 44.1 -0.8 57.1 -0.1 -0.1 -0.1 8.5 -13.3
pair RSI RSIhist pos-pos 90 40.5 -0.8 58.9 -0.1 -0.1 -0.1 8.3 -12.4
pair RSIhist RSI pos-pos 90 40.5 -0.8 58.9 -0.1 -0.1 -0.1 8.3 -12.4
pair SLmean RSI pos-pos 93 41.9 -0.9 59.1 -0.1 -0.1 -0.1 8.3 -12.4
pair RSI SLmean pos-pos 93 41.9 -0.9 59.1 -0.1 -0.1 -0.1 8.3 -12.4
pair SLmean LWTI neg-neg 35 15.8 -0.9 54.3 -0.0 -0.0 -0.0 11.1 -26.4
pair LWTI SLmean neg-neg 35 15.8 -0.9 54.3 -0.0 -0.0 -0.0 11.1 -26.4
pair RSmean RSI neg-pos 15 6.8 -0.9 53.3 -0.1 -0.1 -0.1 7.9 -9.7
pair RSI RSmean neg-pos 15 6.8 -0.9 53.3 -0.1 -0.1 -0.1 7.9 -9.7
pair SLmean LWTI pos-pos 86 38.7 -1.0 58.1 -0.1 -0.1 -0.1 9.0 -17.4
pair LWTI SLmean pos-pos 86 38.7 -1.0 58.1 -0.1 -0.1 -0.1 9.0 -17.4
pair MACDhist LWTI pos-pos 91 41.0 -1.0 57.1 -0.1 -0.1 -0.1 8.8 -22.8
pair LWTI MACDhist pos-pos 91 41.0 -1.0 57.1 -0.1 -0.1 -0.1 8.8 -22.8
single MACD MACD pos-pos 131 59.0 -1.1 52.7 -0.1 -0.2 -0.1 7.4 -22.0
pair LWTI MRmean neg-neg 38 17.1 -1.1 55.3 -0.1 -0.1 -0.0 11.1 -26.4
pair MRmean LWTI neg-neg 38 17.1 -1.1 55.3 -0.1 -0.1 -0.0 11.1 -26.4
pair SLmean MACDhist pos-pos 65 29.3 -1.2 56.9 -0.1 -0.1 -0.1 9.0 -11.9
pair MACD RSmean pos-pos 124 55.9 -1.2 52.4 -0.1 -0.2 -0.1 7.4 -22.0
pair RSmean MACD pos-pos 124 55.9 -1.2 52.4 -0.1 -0.2 -0.1 7.4 -22.0
pair MACDhist SLmean pos-pos 65 29.3 -1.2 56.9 -0.1 -0.1 -0.1 9.0 -11.9
pair MRmean RSI pos-pos 107 48.2 -1.2 57.0 -0.1 -0.1 -0.1 8.0 -14.7
pair RSI MRmean pos-pos 107 48.2 -1.2 57.0 -0.1 -0.1 -0.1 8.0 -14.7
pair RSIhist RSmean neg-neg 18 8.1 -1.5 55.6 -0.1 -0.2 -0.1 8.4 -13.7
pair RSmean RSIhist neg-neg 18 8.1 -1.5 55.6 -0.1 -0.2 -0.1 8.4 -13.7
pair LWTI RSI pos-pos 117 52.7 -1.8 56.4 -0.2 -0.2 -0.1 8.3 -23.0
pair RSI LWTI pos-pos 117 52.7 -1.8 56.4 -0.2 -0.2 -0.1 8.3 -23.0
pair MACD RSI pos-pos 108 48.6 -1.9 55.6 -0.2 -0.3 -0.1 7.6 -16.7
pair RSI MACD pos-pos 108 48.6 -1.9 55.6 -0.2 -0.3 -0.1 7.6 -16.7
pair MACD LWTI pos-pos 113 50.9 -2.1 52.2 -0.2 -0.3 -0.1 7.6 -25.9
pair MACDhist RSI pos-pos 72 32.4 -2.1 56.9 -0.2 -0.3 -0.1 8.4 -17.6
pair RSI MACDhist pos-pos 72 32.4 -2.1 56.9 -0.2 -0.3 -0.1 8.4 -17.6
pair LWTI MACD pos-pos 113 50.9 -2.1 52.2 -0.2 -0.3 -0.1 7.6 -25.9
pair LWTI MRmean pos-pos 100 45.0 -2.2 56.0 -0.2 -0.3 -0.1 8.4 -19.4
pair MRmean LWTI pos-pos 100 45.0 -2.2 56.0 -0.2 -0.3 -0.1 8.4 -19.4
pair MACDhist RSIhist pos-pos 76 34.2 -2.2 55.3 -0.2 -0.3 -0.1 8.7 -18.3
pair RSIhist MACDhist pos-pos 76 34.2 -2.2 55.3 -0.2 -0.3 -0.1 8.7 -18.3
pair MRmean MACDhist pos-pos 75 33.8 -2.3 56.0 -0.2 -0.4 -0.1 8.3 -16.5
pair MACDhist MRmean pos-pos 75 33.8 -2.3 56.0 -0.2 -0.4 -0.1 8.3 -16.5
pair RSIhist MACD pos-pos 73 32.9 -2.5 54.8 -0.3 -0.4 -0.1 7.9 -16.9
pair MACD RSIhist pos-pos 73 32.9 -2.5 54.8 -0.3 -0.4 -0.1 7.9 -16.9
pair SLmean MACD pos-pos 76 34.2 -2.6 55.3 -0.3 -0.4 -0.1 7.8 -17.8
pair LWTI RSIhist pos-pos 89 40.1 -2.6 55.1 -0.2 -0.4 -0.1 9.0 -24.6
pair RSIhist LWTI pos-pos 89 40.1 -2.6 55.1 -0.2 -0.4 -0.1 9.0 -24.6
pair MACD SLmean pos-pos 76 34.2 -2.6 55.3 -0.3 -0.4 -0.1 7.8 -17.8
pair MACD MRmean pos-pos 90 40.5 -2.7 53.3 -0.3 -0.5 -0.1 7.5 -19.0
pair MRmean MACD pos-pos 90 40.5 -2.7 53.3 -0.3 -0.5 -0.1 7.5 -19.0
pair MACDhist MACD pos-pos 67 30.2 -2.8 56.7 -0.3 -0.4 -0.1 8.0 -21.2
pair MACD MACDhist pos-pos 67 30.2 -2.8 56.7 -0.3 -0.4 -0.1 8.0 -21.2
pair MRmean SLmean pos-neg 21 9.5 -3.2 47.6 -0.5 -0.8 -0.5 5.7 -7.2
pair SLmean MRmean pos-neg 21 9.5 -3.2 47.6 -0.5 -0.8 -0.5 5.7 -7.2
pair RSmean SLmean pos-neg 6 2.7 -3.9 50.0 -0.5 -1.0 -1.2 7.1 -3.3
pair SLmean RSmean pos-neg 6 2.7 -3.9 50.0 -0.5 -1.0 -1.2 7.1 -3.3
pair RSIhist LWTI neg-neg 30 13.5 -4.3 46.7 -0.3 -0.5 -0.1 11.6 -28.4
pair LWTI RSIhist neg-neg 30 13.5 -4.3 46.7 -0.3 -0.5 -0.1 11.6 -28.4
pair MACDhist RSmean neg-neg 18 8.1 -4.5 50.0 -0.5 -0.8 -0.3 8.5 -16.2
pair RSmean MACDhist neg-neg 18 8.1 -4.5 50.0 -0.5 -0.8 -0.3 8.5 -16.2
single RSmean RSmean neg-neg 23 10.4 -5.4 52.2 -0.6 -1.1 -0.3 8.3 -20.0
pair RSmean SLmean neg-neg 17 7.7 -5.9 52.9 -0.6 -1.1 -0.3 8.9 -18.4
pair SLmean RSmean neg-neg 17 7.7 -5.9 52.9 -0.6 -1.1 -0.3 8.9 -18.4
pair LWTI RSmean neg-pos 22 9.9 -6.0 50.0 -0.7 -1.2 -0.3 8.5 -20.7
pair RSmean LWTI neg-pos 22 9.9 -6.0 50.0 -0.7 -1.2 -0.3 8.5 -20.7
pair RSmean MRmean neg-neg 19 8.6 -6.8 47.4 -0.8 -1.3 -0.3 8.6 -20.1
pair MRmean RSmean neg-neg 19 8.6 -6.8 47.4 -0.8 -1.3 -0.3 8.6 -20.1
pair MACD RSmean neg-neg 16 7.2 -7.4 50.0 -0.8 -1.4 -0.4 9.0 -18.5
pair RSmean MACD neg-neg 16 7.2 -7.4 50.0 -0.8 -1.4 -0.4 9.0 -18.5
pair RSmean MACDhist neg-pos 5 2.3 -8.5 60.0 -1.0 -2.2 -1.3 8.3 -6.3
pair MACDhist RSmean neg-pos 5 2.3 -8.5 60.0 -1.0 -2.2 -1.3 8.3 -6.3
pair RSmean RSI neg-neg 8 3.6 -13.2 50.0 -1.5 -3.0 -1.1 9.1 -12.3
pair RSI RSmean neg-neg 8 3.6 -13.2 50.0 -1.5 -3.0 -1.1 9.1 -12.3
pair RSmean RSIhist neg-pos 5 2.3 -18.1 40.0 -2.7 -6.9 -2.9 7.4 -6.3
pair RSIhist RSmean neg-pos 5 2.3 -18.1 40.0 -2.7 -6.9 -2.9 7.4 -6.3

All Contingency Tables for BWX

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 0.2% | Win 59%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 97M (44%)
CAGR -3.2% | Win 48%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.4
Vol 6% | MDD -7.2%
Months 21M (10%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 5.6% | Win 60%
Sharpe 0.60 | Sortino 0.84 | Calmar 0.8
Vol 10% | MDD -7.1%
Months 10M (4%)
CAGR 1.0% | Win 54%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.0
Vol 10% | MDD -30.3%
Months 94M (42%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
SLmean
only
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -0.5% | Win 56%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.0
Vol 8% | MDD -14.5%
Months 114M (51%)
CAGR 1.7% | Win 75%
Sharpe 0.25 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 4M (2%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 3.4% | Win 56%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 10% | MDD -27.3%
Months 85M (38%)
CAGR -6.8% | Win 47%
Sharpe -0.77 | Sortino -1.29 | Calmar -0.3
Vol 9% | MDD -20.1%
Months 19M (9%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
RSmean
only
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -2.7% | Win 53%
Sharpe -0.33 | Sortino -0.45 | Calmar -0.1
Vol 8% | MDD -19.0%
Months 90M (40%)
CAGR 7.5% | Win 68%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.9
Vol 10% | MDD -8.3%
Months 28M (13%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 2.4% | Win 51%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.2
Vol 7% | MDD -13.2%
Months 41M (18%)
CAGR 0.9% | Win 57%
Sharpe 0.13 | Sortino 0.22 | Calmar 0.0
Vol 11% | MDD -23.8%
Months 63M (28%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
MACD
only
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -1.2% | Win 57%
Sharpe -0.12 | Sortino -0.15 | Calmar -0.1
Vol 8% | MDD -14.7%
Months 107M (48%)
CAGR 8.2% | Win 55%
Sharpe 0.76 | Sortino 1.82 | Calmar 2.0
Vol 11% | MDD -4.1%
Months 11M (5%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 2.1% | Win 63%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.2
Vol 8% | MDD -10.4%
Months 27M (12%)
CAGR 1.2% | Win 52%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 10% | MDD -26.7%
Months 77M (35%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
RSI
only
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -2.3% | Win 56%
Sharpe -0.24 | Sortino -0.36 | Calmar -0.1
Vol 8% | MDD -16.5%
Months 75M (34%)
CAGR 3.0% | Win 58%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.4
Vol 8% | MDD -8.1%
Months 43M (19%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 6.2% | Win 65%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.7
Vol 10% | MDD -9.4%
Months 23M (10%)
CAGR 0.2% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 10% | MDD -29.1%
Months 81M (36%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
MACDhist
only
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -0.8% | Win 57%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 8% | MDD -13.3%
Months 98M (44%)
CAGR 1.7% | Win 55%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 7% | MDD -4.6%
Months 20M (9%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 6.5% | Win 65%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 10% | MDD -10.6%
Months 17M (8%)
CAGR 0.5% | Win 53%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 10% | MDD -34.0%
Months 87M (39%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -2.2% | Win 56%
Sharpe -0.22 | Sortino -0.31 | Calmar -0.1
Vol 8% | MDD -19.4%
Months 100M (45%)
CAGR 10.2% | Win 61%
Sharpe 1.36 | Sortino 3.26 | Calmar 3.6
Vol 7% | MDD -2.8%
Months 18M (8%)
CAGR -0.4% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 118M (53%)
MRmean
neg
CAGR 3.0% | Win 55%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.2
Vol 9% | MDD -15.5%
Months 66M (30%)
CAGR -1.1% | Win 55%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -26.4%
Months 38M (17%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 104M (47%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.0% | Win 59%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.1
Vol 9% | MDD -11.8%
Months 101M (46%)
CAGR -3.9% | Win 50%
Sharpe -0.52 | Sortino -1.02 | Calmar -1.2
Vol 7% | MDD -3.3%
Months 6M (3%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 1.4% | Win 53%
Sharpe 0.19 | Sortino 0.29 | Calmar 0.0
Vol 9% | MDD -29.4%
Months 98M (44%)
CAGR -5.9% | Win 53%
Sharpe -0.64 | Sortino -1.06 | Calmar -0.3
Vol 9% | MDD -18.4%
Months 17M (8%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
RSmean
only
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -2.6% | Win 55%
Sharpe -0.29 | Sortino -0.39 | Calmar -0.1
Vol 8% | MDD -17.8%
Months 76M (34%)
CAGR 9.2% | Win 68%
Sharpe 0.88 | Sortino 1.25 | Calmar 1.0
Vol 11% | MDD -8.9%
Months 31M (14%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 0.9% | Win 49%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.1
Vol 7% | MDD -13.9%
Months 55M (25%)
CAGR -0.3% | Win 57%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 11% | MDD -24.1%
Months 60M (27%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
MACD
only
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -0.9% | Win 59%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 8% | MDD -12.4%
Months 93M (42%)
CAGR 11.9% | Win 57%
Sharpe 1.02 | Sortino 1.99 | Calmar 1.3
Vol 12% | MDD -8.9%
Months 14M (6%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 0.1% | Win 56%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 7% | MDD -12.8%
Months 41M (18%)
CAGR 0.3% | Win 51%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 10% | MDD -27.2%
Months 74M (33%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
RSI
only
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -1.2% | Win 57%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 9% | MDD -11.9%
Months 65M (29%)
CAGR 3.7% | Win 62%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.5
Vol 9% | MDD -7.6%
Months 42M (19%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 1.2% | Win 61%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 8% | MDD -10.1%
Months 33M (15%)
CAGR -0.1% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 10% | MDD -28.4%
Months 82M (37%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
MACDhist
only
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -0.2% | Win 57%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -12.4%
Months 96M (43%)
CAGR 9.0% | Win 73%
Sharpe 1.22 | Sortino 2.75 | Calmar 3.3
Vol 7% | MDD -2.8%
Months 11M (5%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 2.4% | Win 63%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -11.9%
Months 19M (9%)
CAGR -0.2% | Win 51%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 10% | MDD -34.3%
Months 96M (43%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -1.0% | Win 58%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 9% | MDD -17.4%
Months 86M (39%)
CAGR 8.1% | Win 62%
Sharpe 1.00 | Sortino 1.55 | Calmar 1.1
Vol 8% | MDD -7.5%
Months 21M (10%)
CAGR 0.7% | Win 59%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 9% | MDD -13.9%
Months 107M (48%)
SLmean
neg
CAGR 0.8% | Win 52%
Sharpe 0.13 | Sortino 0.23 | Calmar 0.1
Vol 8% | MDD -15.1%
Months 80M (36%)
CAGR -0.9% | Win 54%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 11% | MDD -26.4%
Months 35M (16%)
CAGR 0.3% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 115M (52%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.2% | Win 52%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 124M (56%)
CAGR 5.2% | Win 63%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 11% | MDD -23.8%
Months 75M (34%)
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
RSmean
neg
CAGR -0.5% | Win 57%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 7% | MDD -3.3%
Months 7M (3%)
CAGR -7.4% | Win 50%
Sharpe -0.81 | Sortino -1.36 | Calmar -0.4
Vol 9% | MDD -18.5%
Months 16M (7%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
MACD
only
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -0.5% | Win 59%
Sharpe -0.03 | Sortino -0.03 | Calmar -0.0
Vol 8% | MDD -12.0%
Months 119M (54%)
CAGR 3.8% | Win 52%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.1
Vol 11% | MDD -26.7%
Months 80M (36%)
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
RSmean
neg
CAGR -0.9% | Win 53%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 8% | MDD -9.7%
Months 15M (7%)
CAGR -13.2% | Win 50%
Sharpe -1.50 | Sortino -2.95 | Calmar -1.1
Vol 9% | MDD -12.3%
Months 8M (4%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
RSI
only
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 0.1% | Win 58%
Sharpe 0.05 | Sortino 0.08 | Calmar 0.0
Vol 9% | MDD -14.2%
Months 93M (42%)
CAGR 2.1% | Win 55%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 10% | MDD -27.0%
Months 106M (48%)
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
RSmean
neg
CAGR -8.5% | Win 60%
Sharpe -1.03 | Sortino -2.18 | Calmar -1.3
Vol 8% | MDD -6.3%
Months 5M (2%)
CAGR -4.5% | Win 50%
Sharpe -0.49 | Sortino -0.82 | Calmar -0.3
Vol 8% | MDD -16.2%
Months 18M (8%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
MACDhist
only
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 1.1% | Win 59%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.1
Vol 9% | MDD -11.0%
Months 110M (50%)
CAGR 1.2% | Win 53%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 10% | MDD -33.2%
Months 89M (40%)
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
RSmean
neg
CAGR -18.1% | Win 40%
Sharpe -2.66 | Sortino -6.92 | Calmar -2.9
Vol 7% | MDD -6.3%
Months 5M (2%)
CAGR -1.5% | Win 56%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 8% | MDD -13.7%
Months 18M (8%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -21.5%
Months 144M (65%)
CAGR 2.2% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 55M (25%)
CAGR 1.2% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -29.9%
Months 199M (90%)
RSmean
neg
CAGR -6.0% | Win 50%
Sharpe -0.69 | Sortino -1.19 | Calmar -0.3
Vol 8% | MDD -20.7%
Months 22M (10%)
CAGR 10.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -5.4% | Win 52%
Sharpe -0.62 | Sortino -1.05 | Calmar -0.3
Vol 8% | MDD -20.0%
Months 23M (10%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -1.9% | Win 56%
Sharpe -0.21 | Sortino -0.28 | Calmar -0.1
Vol 8% | MDD -16.7%
Months 108M (49%)
CAGR 2.2% | Win 39%
Sharpe 0.36 | Sortino 0.99 | Calmar 0.3
Vol 7% | MDD -7.0%
Months 23M (10%)
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
MACD
neg
CAGR 4.9% | Win 69%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.4
Vol 10% | MDD -13.2%
Months 26M (12%)
CAGR 2.0% | Win 57%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.1
Vol 12% | MDD -23.8%
Months 65M (29%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
RSI
only
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -2.8% | Win 57%
Sharpe -0.31 | Sortino -0.41 | Calmar -0.1
Vol 8% | MDD -21.2%
Months 67M (30%)
CAGR 0.6% | Win 48%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.1
Vol 7% | MDD -7.9%
Months 64M (29%)
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
MACD
neg
CAGR 5.0% | Win 61%
Sharpe 0.53 | Sortino 1.15 | Calmar 0.6
Vol 10% | MDD -8.4%
Months 31M (14%)
CAGR 1.8% | Win 60%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.1
Vol 12% | MDD -23.8%
Months 60M (27%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
MACDhist
only
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR -2.5% | Win 55%
Sharpe -0.28 | Sortino -0.37 | Calmar -0.1
Vol 8% | MDD -16.9%
Months 73M (33%)
CAGR 0.6% | Win 50%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 7% | MDD -13.2%
Months 58M (26%)
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
MACD
neg
CAGR 5.1% | Win 64%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.4
Vol 10% | MDD -13.3%
Months 42M (19%)
CAGR 1.0% | Win 57%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.0
Vol 12% | MDD -24.9%
Months 49M (22%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -2.1% | Win 52%
Sharpe -0.24 | Sortino -0.34 | Calmar -0.1
Vol 8% | MDD -25.9%
Months 113M (51%)
CAGR 5.3% | Win 56%
Sharpe 0.93 | Sortino 1.79 | Calmar 1.6
Vol 6% | MDD -3.4%
Months 18M (8%)
CAGR -1.1% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 7% | MDD -22.0%
Months 131M (59%)
MACD
neg
CAGR 4.2% | Win 62%
Sharpe 0.44 | Sortino 0.80 | Calmar 0.3
Vol 11% | MDD -13.7%
Months 53M (24%)
CAGR 1.0% | Win 58%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.0
Vol 12% | MDD -23.8%
Months 38M (17%)
CAGR 2.9% | Win 60%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 11% | MDD -23.8%
Months 91M (41%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -2.1% | Win 57%
Sharpe -0.21 | Sortino -0.30 | Calmar -0.1
Vol 8% | MDD -17.6%
Months 72M (32%)
CAGR 1.2% | Win 60%
Sharpe 0.20 | Sortino 0.25 | Calmar 0.1
Vol 8% | MDD -14.6%
Months 62M (28%)
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
RSI
neg
CAGR 4.6% | Win 62%
Sharpe 0.51 | Sortino 1.11 | Calmar 0.5
Vol 10% | MDD -8.4%
Months 26M (12%)
CAGR 1.1% | Win 48%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.0
Vol 11% | MDD -26.7%
Months 62M (28%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
MACDhist
only
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -0.8% | Win 59%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 8% | MDD -12.4%
Months 90M (40%)
CAGR -0.2% | Win 57%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 7% | MDD -12.8%
Months 44M (20%)
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
RSI
neg
CAGR 3.9% | Win 56%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.3
Vol 10% | MDD -11.0%
Months 25M (11%)
CAGR 1.4% | Win 51%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 11% | MDD -29.7%
Months 63M (28%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -1.8% | Win 56%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.1
Vol 8% | MDD -23.0%
Months 117M (53%)
CAGR 8.5% | Win 71%
Sharpe 1.67 | Sortino 3.71 | Calmar 4.6
Vol 5% | MDD -1.9%
Months 17M (8%)
CAGR -0.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -14.6%
Months 134M (60%)
RSI
neg
CAGR 4.0% | Win 53%
Sharpe 0.45 | Sortino 0.95 | Calmar 0.4
Vol 10% | MDD -10.1%
Months 49M (22%)
CAGR -0.2% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 12% | MDD -26.4%
Months 39M (18%)
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -26.7%
Months 88M (40%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -2.2% | Win 55%
Sharpe -0.21 | Sortino -0.34 | Calmar -0.1
Vol 9% | MDD -18.3%
Months 76M (34%)
CAGR 6.2% | Win 68%
Sharpe 0.73 | Sortino 1.05 | Calmar 0.7
Vol 9% | MDD -9.5%
Months 22M (10%)
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
MACDhist
neg
CAGR 5.2% | Win 64%
Sharpe 0.60 | Sortino 0.70 | Calmar 0.7
Vol 9% | MDD -7.4%
Months 39M (18%)
CAGR -0.6% | Win 49%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -30.7%
Months 85M (38%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
RSIhist
only
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -1.0% | Win 57%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 9% | MDD -22.8%
Months 91M (41%)
CAGR 8.6% | Win 71%
Sharpe 1.09 | Sortino 4.77 | Calmar 3.3
Vol 8% | MDD -2.6%
Months 7M (3%)
CAGR -0.4% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -19.0%
Months 98M (44%)
MACDhist
neg
CAGR 0.9% | Win 53%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.0%
Months 75M (34%)
CAGR 1.5% | Win 55%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 49M (22%)
CAGR 1.2% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 9% | MDD -29.3%
Months 124M (56%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -2.6% | Win 55%
Sharpe -0.25 | Sortino -0.36 | Calmar -0.1
Vol 9% | MDD -24.6%
Months 89M (40%)
CAGR 10.7% | Win 69%
Sharpe 1.39 | Sortino 2.00 | Calmar 2.3
Vol 8% | MDD -4.7%
Months 26M (12%)
CAGR 0.2% | Win 58%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 115M (52%)
RSIhist
neg
CAGR 2.8% | Win 56%
Sharpe 0.37 | Sortino 0.66 | Calmar 0.2
Vol 8% | MDD -13.7%
Months 77M (35%)
CAGR -4.3% | Win 47%
Sharpe -0.32 | Sortino -0.46 | Calmar -0.2
Vol 12% | MDD -28.4%
Months 30M (14%)
CAGR 0.7% | Win 53%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 9% | MDD -34.2%
Months 107M (48%)
LWTI
only
CAGR -0.2% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -23.6%
Months 166M (75%)
CAGR 2.4% | Win 57%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -26.4%
Months 56M (25%)