CWB - State Street SPDR Bloomberg Convertible Sec ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

76.4%

Best CAGR

61

Total Months

14.6%

Avg CAGR

CWB 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 CWB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean LWTI neg-neg 1 0.5 76.4 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.5 76.4 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSI neg-pos 7 3.3 70.4 85.7 3.1 0.0 16.7 17.9 -4.2
pair RSI LWTI neg-pos 7 3.3 70.4 85.7 3.1 0.0 16.7 17.9 -4.2
pair RSmean RSIhist neg-pos 3 1.4 70.3 100.0 7.0 0.0 0.0 7.8 0.0
pair RSIhist RSmean neg-pos 3 1.4 70.3 100.0 7.0 0.0 0.0 7.8 0.0
pair RSmean RSI neg-neg 2 1.0 64.4 100.0 17.0 0.0 0.0 3.0 0.0
pair RSI RSmean neg-neg 2 1.0 64.4 100.0 17.0 0.0 0.0 3.0 0.0
pair MACD RSmean neg-neg 13 6.2 40.4 84.6 4.0 7.4 13.8 8.7 -2.9
pair RSmean MACD neg-neg 13 6.2 40.4 84.6 4.0 7.4 13.8 8.7 -2.9
pair RSmean SLmean pos-neg 6 2.9 40.2 83.3 3.8 0.0 0.0 9.1 0.0
pair SLmean RSmean pos-neg 6 2.9 40.2 83.3 3.8 0.0 0.0 9.1 0.0
pair RSmean MRmean pos-neg 6 2.9 40.2 83.3 3.8 0.0 0.0 9.1 0.0
pair MRmean RSmean pos-neg 6 2.9 40.2 83.3 3.8 0.0 0.0 9.1 0.0
pair RSmean MACDhist neg-neg 17 8.1 39.1 82.4 3.8 6.7 13.3 8.9 -2.9
pair MACDhist RSmean neg-neg 17 8.1 39.1 82.4 3.8 6.7 13.3 8.9 -2.9
single RSmean RSmean neg-neg 18 8.6 38.5 83.3 3.9 6.6 13.1 8.7 -2.9
pair MRmean RSmean neg-neg 12 5.7 37.7 83.3 3.7 7.0 12.8 8.8 -2.9
pair SLmean RSmean neg-neg 12 5.7 37.7 83.3 3.7 7.0 12.8 8.8 -2.9
pair RSmean SLmean neg-neg 12 5.7 37.7 83.3 3.7 7.0 12.8 8.8 -2.9
pair RSmean MRmean neg-neg 12 5.7 37.7 83.3 3.7 7.0 12.8 8.8 -2.9
pair RSmean LWTI neg-pos 17 8.1 36.6 82.4 3.6 6.3 12.5 8.8 -2.9
pair LWTI RSmean neg-pos 17 8.1 36.6 82.4 3.6 6.3 12.5 8.8 -2.9
pair RSmean RSI neg-pos 16 7.6 35.6 81.2 3.5 6.2 12.1 9.0 -2.9
pair RSI RSmean neg-pos 16 7.6 35.6 81.2 3.5 6.2 12.1 9.0 -2.9
pair MACD MRmean neg-neg 18 8.6 34.7 83.3 3.2 8.5 11.8 9.5 -2.9
pair MRmean MACD neg-neg 18 8.6 34.7 83.3 3.2 8.5 11.8 9.5 -2.9
pair RSmean MACD neg-pos 5 2.4 33.9 80.0 3.1 0.0 0.0 9.5 0.0
pair MACD RSmean neg-pos 5 2.4 33.9 80.0 3.1 0.0 0.0 9.5 0.0
pair RSmean RSIhist neg-neg 15 7.1 32.9 80.0 3.4 5.8 11.2 8.6 -2.9
pair RSIhist RSmean neg-neg 15 7.1 32.9 80.0 3.4 5.8 11.2 8.6 -2.9
pair RSI MRmean neg-neg 18 8.6 30.6 77.8 1.7 4.0 3.0 16.8 -10.1
pair MRmean RSI neg-neg 18 8.6 30.6 77.8 1.7 4.0 3.0 16.8 -10.1
pair MACD RSI pos-neg 11 5.2 29.6 72.7 1.4 4.2 2.9 20.3 -10.1
pair RSI MACD pos-neg 11 5.2 29.6 72.7 1.4 4.2 2.9 20.3 -10.1
pair MACDhist RSmean neg-pos 1 0.5 29.5 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.5 29.5 100.0 0.0 0.0 0.0 - 0.0
pair MACD SLmean neg-neg 21 10.0 28.2 76.2 2.4 6.1 6.7 10.8 -4.2
pair SLmean MACD neg-neg 21 10.0 28.2 76.2 2.4 6.1 6.7 10.8 -4.2
pair MACDhist RSI neg-neg 21 10.0 26.9 71.4 1.6 3.3 2.6 16.2 -10.1
pair RSI MACDhist neg-neg 21 10.0 26.9 71.4 1.6 3.3 2.6 16.2 -10.1
pair RSIhist RSI neg-neg 18 8.6 26.6 72.2 1.4 4.1 2.6 17.6 -10.1
pair RSI RSIhist neg-neg 18 8.6 26.6 72.2 1.4 4.1 2.6 17.6 -10.1
pair SLmean RSI neg-neg 19 9.0 25.3 73.7 1.4 3.9 2.5 17.2 -10.1
pair RSI SLmean neg-neg 19 9.0 25.3 73.7 1.4 3.9 2.5 17.2 -10.1
pair RSIhist MACD neg-neg 26 12.4 24.7 73.1 2.0 3.2 3.0 11.7 -8.1
pair MACD RSIhist neg-neg 26 12.4 24.7 73.1 2.0 3.2 3.0 11.7 -8.1
pair MACD MACDhist neg-neg 35 16.7 23.5 77.1 2.2 3.4 2.9 10.1 -8.1
pair MACDhist MACD neg-neg 35 16.7 23.5 77.1 2.2 3.4 2.9 10.1 -8.1
single RSI RSI neg-neg 22 10.5 22.6 68.2 1.3 3.1 2.2 16.5 -10.1
pair RSIhist SLmean neg-pos 2 1.0 21.7 100.0 2.9 0.0 0.0 6.8 0.0
pair SLmean RSIhist neg-pos 2 1.0 21.7 100.0 2.9 0.0 0.0 6.8 0.0
pair MACD LWTI neg-pos 31 14.8 20.8 74.2 1.8 3.0 2.2 11.2 -9.4
pair LWTI MACD neg-pos 31 14.8 20.8 74.2 1.8 3.0 2.2 11.2 -9.4
pair MACD RSI neg-pos 28 13.3 20.8 75.0 1.8 2.9 2.5 10.7 -8.1
pair RSI MACD neg-pos 28 13.3 20.8 75.0 1.8 2.9 2.5 10.7 -8.1
single MACD MACD neg-neg 39 18.6 19.4 71.8 1.7 3.2 2.1 11.0 -9.4
pair RSI RSmean pos-neg 20 9.5 19.1 65.0 1.1 2.6 1.9 17.1 -10.1
pair RSmean RSI pos-neg 20 9.5 19.1 65.0 1.1 2.6 1.9 17.1 -10.1
pair LWTI MRmean neg-pos 35 16.7 17.0 68.6 1.1 2.0 1.2 15.4 -14.2
pair MRmean LWTI neg-pos 35 16.7 17.0 68.6 1.1 2.0 1.2 15.4 -14.2
pair RSIhist SLmean pos-neg 37 17.6 16.5 67.6 1.4 1.9 2.5 11.4 -6.6
pair SLmean RSIhist pos-neg 37 17.6 16.5 67.6 1.4 1.9 2.5 11.4 -6.6
pair MACD RSI neg-neg 11 5.2 16.0 63.6 1.3 3.5 3.8 12.2 -4.2
pair MRmean SLmean neg-neg 45 21.4 16.0 68.9 1.0 2.0 0.7 15.6 -22.9
pair SLmean MRmean neg-neg 45 21.4 16.0 68.9 1.0 2.0 0.7 15.6 -22.9
pair RSI MACD neg-neg 11 5.2 16.0 63.6 1.3 3.5 3.8 12.2 -4.2
pair RSIhist MRmean neg-neg 47 22.4 15.4 68.1 1.0 1.9 0.7 15.4 -22.9
pair MRmean RSIhist neg-neg 47 22.4 15.4 68.1 1.0 1.9 0.7 15.4 -22.9
single MRmean MRmean neg-neg 48 22.9 15.1 68.8 1.0 1.9 0.7 15.2 -22.9
pair MACDhist MRmean neg-neg 48 22.9 15.1 68.8 1.0 1.9 0.7 15.2 -22.9
pair MRmean MACDhist neg-neg 48 22.9 15.1 68.8 1.0 1.9 0.7 15.2 -22.9
pair MACD LWTI neg-neg 8 3.8 14.2 62.5 1.3 5.8 5.2 10.8 -2.7
pair LWTI MACD neg-neg 8 3.8 14.2 62.5 1.3 5.8 5.2 10.8 -2.7
pair RSIhist MACDhist pos-pos 88 41.9 14.1 65.9 1.3 3.0 1.3 10.9 -11.0
pair MACDhist RSIhist pos-pos 88 41.9 14.1 65.9 1.3 3.0 1.3 10.9 -11.0
pair RSI LWTI pos-neg 9 4.3 14.0 77.8 1.2 1.9 2.0 11.7 -6.9
pair LWTI RSI pos-neg 9 4.3 14.0 77.8 1.2 1.9 2.0 11.7 -6.9
pair SLmean MACD pos-pos 129 61.4 14.0 67.4 1.3 2.4 1.6 10.8 -8.7
pair MACD SLmean pos-pos 129 61.4 14.0 67.4 1.3 2.4 1.6 10.8 -8.7
pair SLmean MACDhist pos-pos 102 48.6 13.9 64.7 1.2 2.5 1.2 11.4 -11.6
pair MACDhist SLmean pos-pos 102 48.6 13.9 64.7 1.2 2.5 1.2 11.4 -11.6
pair SLmean MRmean pos-pos 144 68.6 13.8 67.4 1.2 2.3 1.5 10.9 -9.4
pair MRmean SLmean pos-pos 144 68.6 13.8 67.4 1.2 2.3 1.5 10.9 -9.4
pair RSI SLmean pos-pos 144 68.6 13.7 68.1 1.2 2.3 1.5 10.8 -9.1
pair SLmean RSI pos-pos 144 68.6 13.7 68.1 1.2 2.3 1.5 10.8 -9.1
pair SLmean LWTI pos-neg 10 4.8 13.5 70.0 1.5 11.2 4.5 8.6 -3.0
pair LWTI SLmean pos-neg 10 4.8 13.5 70.0 1.5 11.2 4.5 8.6 -3.0
pair SLmean LWTI pos-pos 137 65.2 13.5 67.2 1.2 2.2 1.5 11.0 -9.1
pair LWTI SLmean pos-pos 137 65.2 13.5 67.2 1.2 2.2 1.5 11.0 -9.1
single SLmean SLmean pos-pos 147 70.0 13.5 67.3 1.2 2.3 1.4 10.8 -9.4
pair MACD RSIhist pos-pos 99 47.1 13.1 67.7 1.2 2.6 1.6 10.8 -8.0
pair RSIhist MACD pos-pos 99 47.1 13.1 67.7 1.2 2.6 1.6 10.8 -8.0
pair LWTI RSIhist pos-pos 102 48.6 13.1 67.6 1.2 2.6 1.6 10.8 -8.4
pair RSIhist LWTI pos-pos 102 48.6 13.1 67.6 1.2 2.6 1.6 10.8 -8.4
pair RSIhist RSI pos-pos 108 51.4 13.0 68.5 1.2 2.7 1.5 10.6 -8.4
pair RSI RSIhist pos-pos 108 51.4 13.0 68.5 1.2 2.7 1.5 10.6 -8.4
pair MRmean RSIhist pos-pos 111 52.9 12.8 67.6 1.2 2.7 1.5 10.6 -8.7
pair RSIhist MRmean pos-pos 111 52.9 12.8 67.6 1.2 2.7 1.5 10.6 -8.7
single RSIhist RSIhist pos-pos 112 53.3 12.7 67.9 1.2 2.7 1.5 10.6 -8.5
pair MACDhist SLmean pos-neg 45 21.4 12.7 73.3 1.3 1.8 2.3 9.4 -5.4
pair SLmean MACDhist pos-neg 45 21.4 12.7 73.3 1.3 1.8 2.3 9.4 -5.4
pair SLmean RSIhist pos-pos 110 52.4 12.6 67.3 1.2 2.6 1.4 10.6 -8.7
pair RSIhist SLmean pos-pos 110 52.4 12.6 67.3 1.2 2.6 1.4 10.6 -8.7
pair RSmean SLmean pos-pos 141 67.1 12.5 66.7 1.1 2.1 1.1 10.8 -11.8
pair SLmean RSmean pos-pos 141 67.1 12.5 66.7 1.1 2.1 1.1 10.8 -11.8
pair MACD MACDhist pos-pos 107 51.0 11.9 66.4 1.0 1.4 0.6 12.2 -18.7
pair MACDhist MACD pos-pos 107 51.0 11.9 66.4 1.0 1.4 0.6 12.2 -18.7
pair RSIhist MACDhist neg-neg 75 35.7 11.9 62.7 0.9 1.4 0.5 13.9 -23.1
pair MACDhist RSIhist neg-neg 75 35.7 11.9 62.7 0.9 1.4 0.5 13.9 -23.1
pair LWTI MACDhist neg-pos 75 35.7 11.7 65.3 0.9 1.4 0.8 12.9 -15.6
pair MACDhist LWTI neg-pos 75 35.7 11.7 65.3 0.9 1.4 0.8 12.9 -15.6
pair MACDhist RSI pos-pos 110 52.4 11.6 65.5 1.0 1.4 0.6 12.2 -18.7
pair RSI MACDhist pos-pos 110 52.4 11.6 65.5 1.0 1.4 0.6 12.2 -18.7
pair RSmean RSIhist pos-pos 109 51.9 11.4 67.0 1.1 2.4 1.1 10.5 -10.9
pair RSIhist RSmean pos-pos 109 51.9 11.4 67.0 1.1 2.4 1.1 10.5 -10.9
single LWTI LWTI pos-pos 186 88.6 11.3 65.1 0.9 1.4 0.5 12.5 -23.8
pair MACDhist LWTI pos-pos 111 52.9 11.0 64.9 0.9 1.3 0.6 12.3 -18.7
single MACDhist MACDhist pos-pos 111 52.9 11.0 64.9 0.9 1.3 0.6 12.3 -18.7
pair LWTI MACDhist pos-pos 111 52.9 11.0 64.9 0.9 1.3 0.6 12.3 -18.7
pair MRmean MACDhist pos-pos 111 52.9 11.0 64.9 0.9 1.3 0.6 12.3 -18.7
pair MACDhist MRmean pos-pos 111 52.9 11.0 64.9 0.9 1.3 0.6 12.3 -18.7
pair benchmark___benchmark_ benchmark-benchmark 210 100.0 10.9 65.2 0.9 1.4 0.4 12.6 -26.5
pair benchmark___benchmark_ benchmark-benchmark 210 100.0 10.9 65.2 0.9 1.4 0.4 12.6 -26.5
single MACDhist MACDhist neg-neg 99 47.1 10.9 65.7 0.9 1.4 0.5 12.9 -23.1
pair MACDhist RSmean pos-pos 110 52.4 10.8 64.5 0.9 1.3 0.6 12.3 -18.7
pair RSmean MACDhist pos-pos 110 52.4 10.8 64.5 0.9 1.3 0.6 12.3 -18.7
pair MRmean LWTI neg-neg 13 6.2 10.3 69.2 0.7 1.6 1.0 15.3 -10.1
pair LWTI MRmean neg-neg 13 6.2 10.3 69.2 0.7 1.6 1.0 15.3 -10.1
pair RSI MRmean pos-pos 158 75.2 10.2 65.2 0.9 1.3 0.6 11.7 -16.1
pair MRmean RSI pos-pos 158 75.2 10.2 65.2 0.9 1.3 0.6 11.7 -16.1
pair MACD RSmean pos-neg 26 12.4 10.2 65.4 0.9 1.7 1.1 11.4 -9.4
pair RSmean MACD pos-neg 26 12.4 10.2 65.4 0.9 1.7 1.1 11.4 -9.4
pair SLmean MACD pos-neg 18 8.6 10.0 66.7 0.9 1.4 1.9 11.0 -5.4
pair MACD SLmean pos-neg 18 8.6 10.0 66.7 0.9 1.4 1.9 11.0 -5.4
pair MRmean MACD pos-pos 141 67.1 10.0 64.5 0.9 1.3 0.6 11.7 -16.1
pair LWTI MRmean pos-pos 151 71.9 10.0 64.2 0.9 1.3 0.6 11.8 -16.1
pair MRmean LWTI pos-pos 151 71.9 10.0 64.2 0.9 1.3 0.6 11.8 -16.1
pair MACD MRmean pos-pos 141 67.1 10.0 64.5 0.9 1.3 0.6 11.7 -16.1
single RSI RSI pos-pos 188 89.5 9.7 64.9 0.8 1.2 0.5 12.0 -20.4
single MRmean MRmean pos-pos 162 77.1 9.7 64.2 0.9 1.3 0.6 11.7 -16.1
pair MACD RSIhist neg-pos 13 6.2 9.5 69.2 1.0 3.8 1.8 9.3 -5.4
pair MACD LWTI pos-pos 155 73.8 9.5 63.2 0.8 1.1 0.5 12.8 -20.0
pair LWTI MACD pos-pos 155 73.8 9.5 63.2 0.8 1.1 0.5 12.8 -20.0
pair RSIhist MACD neg-pos 13 6.2 9.5 69.2 1.0 3.8 1.8 9.3 -5.4
pair MACDhist SLmean neg-neg 54 25.7 9.4 59.3 0.7 1.2 0.4 15.3 -23.1
pair LWTI RSI pos-pos 179 85.2 9.4 64.2 0.8 1.2 0.5 12.1 -20.4
pair RSI LWTI pos-pos 179 85.2 9.4 64.2 0.8 1.2 0.5 12.1 -20.4
pair SLmean MACDhist neg-neg 54 25.7 9.4 59.3 0.7 1.2 0.4 15.3 -23.1
pair RSIhist LWTI pos-neg 10 4.8 9.2 70.0 1.1 7.8 3.4 8.1 -2.7
pair LWTI RSIhist pos-neg 10 4.8 9.2 70.0 1.1 7.8 3.4 8.1 -2.7
single MACD MACD pos-pos 171 81.4 9.1 63.7 0.7 1.1 0.3 12.9 -26.5
pair LWTI RSIhist neg-pos 84 40.0 9.1 61.9 0.7 0.9 0.4 14.4 -21.7
pair RSIhist LWTI neg-pos 84 40.0 9.1 61.9 0.7 0.9 0.4 14.4 -21.7
single RSIhist RSIhist neg-neg 98 46.7 9.0 62.2 0.7 0.9 0.3 14.5 -26.5
pair RSmean LWTI pos-pos 169 80.5 9.0 63.3 0.7 1.1 0.4 12.7 -23.8
pair LWTI RSmean pos-pos 169 80.5 9.0 63.3 0.7 1.1 0.4 12.7 -23.8
pair RSmean MRmean pos-pos 156 74.3 8.7 63.5 0.8 1.1 0.5 11.7 -16.3
pair MRmean RSmean pos-pos 156 74.3 8.7 63.5 0.8 1.1 0.5 11.7 -16.3
single RSmean RSmean pos-pos 192 91.4 8.7 63.5 0.7 1.1 0.3 12.7 -26.5
single LWTI LWTI neg-neg 24 11.4 8.4 66.7 0.7 1.2 0.8 13.0 -10.1
pair LWTI MACDhist neg-neg 24 11.4 8.4 66.7 0.7 1.2 0.8 13.0 -10.1
pair MRmean RSmean neg-pos 36 17.1 8.4 63.9 0.6 1.2 0.4 16.6 -22.9
pair RSmean MRmean neg-pos 36 17.1 8.4 63.9 0.6 1.2 0.4 16.6 -22.9
pair MACD RSmean pos-pos 166 79.0 8.4 63.3 0.7 1.0 0.3 12.9 -26.5
pair RSmean MACD pos-pos 166 79.0 8.4 63.3 0.7 1.0 0.3 12.9 -26.5
pair MACDhist LWTI neg-neg 24 11.4 8.4 66.7 0.7 1.2 0.8 13.0 -10.1
pair RSI MACD pos-pos 160 76.2 7.8 63.1 0.7 1.0 0.4 12.2 -20.0
pair MACD RSI pos-pos 160 76.2 7.8 63.1 0.7 1.0 0.4 12.2 -20.0
pair RSIhist LWTI neg-neg 14 6.7 7.8 64.3 0.6 1.4 0.8 16.0 -10.1
pair LWTI RSIhist neg-neg 14 6.7 7.8 64.3 0.6 1.4 0.8 16.0 -10.1
pair MACDhist RSIhist neg-pos 24 11.4 7.7 75.0 0.9 1.5 1.4 9.1 -5.4
pair MRmean MACD pos-neg 21 10.0 7.7 61.9 0.7 1.2 0.8 11.5 -9.4
pair MACD MRmean pos-neg 21 10.0 7.7 61.9 0.7 1.2 0.8 11.5 -9.4
pair RSIhist MACDhist neg-pos 24 11.4 7.7 75.0 0.9 1.5 1.4 9.1 -5.4
pair RSmean RSI pos-pos 172 81.9 7.5 63.4 0.7 0.9 0.4 12.1 -20.4
pair RSI RSmean pos-pos 172 81.9 7.5 63.4 0.7 0.9 0.4 12.1 -20.4
pair RSI SLmean pos-neg 3 1.4 7.1 33.3 0.6 13.7 5.1 12.7 -1.4
pair SLmean RSI pos-neg 3 1.4 7.1 33.3 0.6 13.7 5.1 12.7 -1.4
pair MRmean MACDhist pos-neg 51 24.3 7.0 62.7 0.7 1.1 0.5 10.3 -14.3
pair MACDhist MRmean pos-neg 51 24.3 7.0 62.7 0.7 1.1 0.5 10.3 -14.3
pair RSI MACDhist pos-neg 78 37.1 6.9 64.1 0.6 0.9 0.4 11.8 -17.9
pair MACDhist RSI pos-neg 78 37.1 6.9 64.1 0.6 0.9 0.4 11.8 -17.9
pair MRmean RSI neg-pos 30 14.3 6.7 63.3 0.5 0.9 0.4 14.0 -18.6
pair RSI MRmean neg-pos 30 14.3 6.7 63.3 0.5 0.9 0.4 14.0 -18.6
pair MRmean LWTI pos-neg 11 5.2 6.2 63.6 0.6 1.1 0.9 10.3 -6.9
pair LWTI MRmean pos-neg 11 5.2 6.2 63.6 0.6 1.1 0.9 10.3 -6.9
pair RSmean LWTI pos-neg 23 11.0 6.1 65.2 0.5 0.9 0.6 12.9 -10.1
pair LWTI RSmean pos-neg 23 11.0 6.1 65.2 0.5 0.9 0.6 12.9 -10.1
pair RSI RSIhist neg-pos 4 1.9 6.1 50.0 0.6 11.7 4.4 10.4 -1.4
pair RSIhist RSI neg-pos 4 1.9 6.1 50.0 0.6 11.7 4.4 10.4 -1.4
pair MACDhist RSmean pos-neg 82 39.0 5.8 62.2 0.5 0.8 0.2 13.2 -23.1
pair RSmean MACDhist pos-neg 82 39.0 5.8 62.2 0.5 0.8 0.2 13.2 -23.1
pair LWTI MACD pos-neg 16 7.6 5.6 68.8 0.5 0.9 0.6 14.3 -10.1
pair MACD LWTI pos-neg 16 7.6 5.6 68.8 0.5 0.9 0.6 14.3 -10.1
pair RSI RSIhist pos-neg 80 38.1 5.3 60.0 0.5 0.6 0.3 13.7 -18.2
pair RSIhist RSI pos-neg 80 38.1 5.3 60.0 0.5 0.6 0.3 13.7 -18.2
pair RSI LWTI neg-neg 15 7.1 5.2 60.0 0.4 0.8 0.5 14.1 -10.1
pair SLmean LWTI neg-pos 49 23.3 5.2 59.2 0.4 0.6 0.3 16.2 -18.4
pair LWTI SLmean neg-pos 49 23.3 5.2 59.2 0.4 0.6 0.3 16.2 -18.4
pair LWTI RSI neg-neg 15 7.1 5.2 60.0 0.4 0.8 0.5 14.1 -10.1
single SLmean SLmean neg-neg 63 30.0 5.1 60.3 0.4 0.6 0.2 15.9 -23.1
pair RSmean RSIhist pos-neg 83 39.5 5.1 59.0 0.4 0.6 0.2 15.2 -26.5
pair RSIhist RSmean pos-neg 83 39.5 5.1 59.0 0.4 0.6 0.2 15.2 -26.5
pair LWTI SLmean neg-neg 14 6.7 4.9 64.3 0.4 1.0 0.5 15.7 -10.1
pair SLmean LWTI neg-neg 14 6.7 4.9 64.3 0.4 1.0 0.5 15.7 -10.1
pair MACD MRmean neg-pos 30 14.3 4.8 60.0 0.3 0.8 0.2 17.4 -22.9
pair MRmean MACD neg-pos 30 14.3 4.8 60.0 0.3 0.8 0.2 17.4 -22.9
pair SLmean RSIhist neg-neg 61 29.0 4.6 59.0 0.4 0.6 0.2 16.2 -23.1
pair RSIhist SLmean neg-neg 61 29.0 4.6 59.0 0.4 0.6 0.2 16.2 -23.1
pair MACD MACDhist pos-neg 64 30.5 4.5 59.4 0.4 0.7 0.2 14.0 -23.1
pair MACDhist MACD pos-neg 64 30.5 4.5 59.4 0.4 0.7 0.2 14.0 -23.1
pair RSIhist MACD pos-neg 72 34.3 3.8 58.3 0.3 0.5 0.1 15.3 -26.5
pair MACD RSIhist pos-neg 72 34.3 3.8 58.3 0.3 0.5 0.1 15.3 -26.5
pair MRmean RSIhist pos-neg 51 24.3 3.3 56.9 0.3 0.4 0.3 13.7 -13.1
pair RSIhist MRmean pos-neg 51 24.3 3.3 56.9 0.3 0.4 0.3 13.7 -13.1
pair MRmean RSIhist neg-pos 1 0.5 3.2 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist MRmean neg-pos 1 0.5 3.2 100.0 0.0 0.0 0.0 - 0.0
pair SLmean MRmean neg-pos 3 1.4 2.3 66.7 0.3 0.0 0.0 9.3 0.0
pair MRmean SLmean neg-pos 3 1.4 2.3 66.7 0.3 0.0 0.0 9.3 0.0
pair MACDhist RSIhist pos-neg 23 11.0 -0.2 60.9 0.1 0.1 -0.0 16.5 -19.5
pair RSIhist MACDhist pos-neg 23 11.0 -0.2 60.9 0.1 0.1 -0.0 16.5 -19.5
pair RSmean SLmean neg-pos 51 24.3 -1.3 54.9 0.0 0.0 -0.1 16.7 -23.1
pair SLmean RSmean neg-pos 51 24.3 -1.3 54.9 0.0 0.0 -0.1 16.7 -23.1
pair SLmean RSI neg-pos 44 21.0 -2.5 54.5 -0.1 -0.1 -0.1 15.0 -33.9
pair RSI SLmean neg-pos 44 21.0 -2.5 54.5 -0.1 -0.1 -0.1 15.0 -33.9
pair MACD SLmean neg-pos 42 20.0 -4.8 52.4 -0.2 -0.3 -0.2 17.4 -23.1
pair SLmean MACD neg-pos 42 20.0 -4.8 52.4 -0.2 -0.3 -0.2 17.4 -23.1
pair RSI MRmean pos-neg 4 1.9 -7.5 25.0 -0.5 -1.3 -1.8 13.3 -4.2
pair MRmean RSI pos-neg 4 1.9 -7.5 25.0 -0.5 -1.3 -1.8 13.3 -4.2
pair MACD MACDhist neg-pos 4 1.9 -11.3 25.0 -0.7 -3.6 -1.7 16.2 -6.7
pair MACDhist MACD neg-pos 4 1.9 -11.3 25.0 -0.7 -3.6 -1.7 16.2 -6.7
pair MACDhist SLmean neg-pos 9 4.3 -17.3 66.7 -0.9 -1.1 -1.2 18.9 -14.1
pair SLmean MACDhist neg-pos 9 4.3 -17.3 66.7 -0.9 -1.1 -1.2 18.9 -14.1
pair MRmean SLmean pos-neg 18 8.6 -17.8 38.9 -1.2 -1.4 -0.6 14.9 -28.1
pair SLmean MRmean pos-neg 18 8.6 -17.8 38.9 -1.2 -1.4 -0.6 14.9 -28.1
pair MACDhist RSI neg-pos 1 0.5 -40.4 0.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 1 0.5 -40.4 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for CWB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 13.8% | Win 67%
Sharpe 1.25 | Sortino 2.31 | Calmar 1.5
Vol 11% | MDD -9.4%
Months 144M (69%)
CAGR -17.8% | Win 39%
Sharpe -1.23 | Sortino -1.44 | Calmar -0.6
Vol 15% | MDD -28.1%
Months 18M (9%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 2.3% | Win 67%
Sharpe 0.27 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 3M (1%)
CAGR 16.0% | Win 69%
Sharpe 1.04 | Sortino 1.96 | Calmar 0.7
Vol 16% | MDD -22.9%
Months 45M (21%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
SLmean
only
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 8.7% | Win 64%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.5
Vol 12% | MDD -16.3%
Months 156M (74%)
CAGR 40.2% | Win 83%
Sharpe 3.78 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 6M (3%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 8.4% | Win 64%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.4
Vol 17% | MDD -22.9%
Months 36M (17%)
CAGR 37.7% | Win 83%
Sharpe 3.71 | Sortino 6.97 | Calmar 12.8
Vol 9% | MDD -2.9%
Months 12M (6%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
RSmean
only
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 10.0% | Win 64%
Sharpe 0.88 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 141M (67%)
CAGR 7.7% | Win 62%
Sharpe 0.70 | Sortino 1.22 | Calmar 0.8
Vol 12% | MDD -9.4%
Months 21M (10%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 4.8% | Win 60%
Sharpe 0.35 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -22.9%
Months 30M (14%)
CAGR 34.7% | Win 83%
Sharpe 3.22 | Sortino 8.47 | Calmar 11.8
Vol 10% | MDD -2.9%
Months 18M (9%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
MACD
only
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 10.2% | Win 65%
Sharpe 0.90 | Sortino 1.30 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 158M (75%)
CAGR -7.5% | Win 25%
Sharpe -0.54 | Sortino -1.31 | Calmar -1.8
Vol 13% | MDD -4.2%
Months 4M (2%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 6.7% | Win 63%
Sharpe 0.54 | Sortino 0.87 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 30M (14%)
CAGR 30.6% | Win 78%
Sharpe 1.68 | Sortino 4.01 | Calmar 3.0
Vol 17% | MDD -10.1%
Months 18M (9%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
RSI
only
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 7.0% | Win 63%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.5
Vol 10% | MDD -14.3%
Months 51M (24%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
-
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
MACDhist
only
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 12.8% | Win 68%
Sharpe 1.19 | Sortino 2.70 | Calmar 1.5
Vol 11% | MDD -8.7%
Months 111M (53%)
CAGR 3.3% | Win 57%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.3
Vol 14% | MDD -13.1%
Months 51M (24%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 3.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 15.4% | Win 68%
Sharpe 1.01 | Sortino 1.94 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 47M (22%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 10.0% | Win 64%
Sharpe 0.87 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 151M (72%)
CAGR 6.2% | Win 64%
Sharpe 0.63 | Sortino 1.13 | Calmar 0.9
Vol 10% | MDD -6.9%
Months 11M (5%)
CAGR 9.7% | Win 64%
Sharpe 0.86 | Sortino 1.27 | Calmar 0.6
Vol 12% | MDD -16.1%
Months 162M (77%)
MRmean
neg
CAGR 17.0% | Win 69%
Sharpe 1.10 | Sortino 1.97 | Calmar 1.2
Vol 15% | MDD -14.2%
Months 35M (17%)
CAGR 10.3% | Win 69%
Sharpe 0.71 | Sortino 1.55 | Calmar 1.0
Vol 15% | MDD -10.1%
Months 13M (6%)
CAGR 15.1% | Win 69%
Sharpe 1.00 | Sortino 1.90 | Calmar 0.7
Vol 15% | MDD -22.9%
Months 48M (23%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 12.5% | Win 67%
Sharpe 1.15 | Sortino 2.15 | Calmar 1.1
Vol 11% | MDD -11.8%
Months 141M (67%)
CAGR 40.2% | Win 83%
Sharpe 3.78 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 6M (3%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR -1.3% | Win 55%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 17% | MDD -23.1%
Months 51M (24%)
CAGR 37.7% | Win 83%
Sharpe 3.71 | Sortino 6.97 | Calmar 12.8
Vol 9% | MDD -2.9%
Months 12M (6%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
RSmean
only
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 14.0% | Win 67%
Sharpe 1.27 | Sortino 2.44 | Calmar 1.6
Vol 11% | MDD -8.7%
Months 129M (61%)
CAGR 10.0% | Win 67%
Sharpe 0.92 | Sortino 1.38 | Calmar 1.9
Vol 11% | MDD -5.4%
Months 18M (9%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR -4.8% | Win 52%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.2
Vol 17% | MDD -23.1%
Months 42M (20%)
CAGR 28.2% | Win 76%
Sharpe 2.37 | Sortino 6.07 | Calmar 6.7
Vol 11% | MDD -4.2%
Months 21M (10%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
MACD
only
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 13.7% | Win 68%
Sharpe 1.24 | Sortino 2.27 | Calmar 1.5
Vol 11% | MDD -9.1%
Months 144M (69%)
CAGR 7.1% | Win 33%
Sharpe 0.58 | Sortino 13.69 | Calmar 5.1
Vol 13% | MDD -1.4%
Months 3M (1%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR -2.5% | Win 55%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 15% | MDD -33.9%
Months 44M (21%)
CAGR 25.3% | Win 74%
Sharpe 1.41 | Sortino 3.94 | Calmar 2.5
Vol 17% | MDD -10.1%
Months 19M (9%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
RSI
only
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 13.9% | Win 65%
Sharpe 1.20 | Sortino 2.50 | Calmar 1.2
Vol 11% | MDD -11.6%
Months 102M (49%)
CAGR 12.7% | Win 73%
Sharpe 1.32 | Sortino 1.78 | Calmar 2.3
Vol 9% | MDD -5.4%
Months 45M (21%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR -17.3% | Win 67%
Sharpe -0.91 | Sortino -1.06 | Calmar -1.2
Vol 19% | MDD -14.1%
Months 9M (4%)
CAGR 9.4% | Win 59%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 15% | MDD -23.1%
Months 54M (26%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
MACDhist
only
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 12.6% | Win 67%
Sharpe 1.17 | Sortino 2.65 | Calmar 1.4
Vol 11% | MDD -8.7%
Months 110M (52%)
CAGR 16.5% | Win 68%
Sharpe 1.40 | Sortino 1.85 | Calmar 2.5
Vol 11% | MDD -6.6%
Months 37M (18%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR 21.7% | Win 100%
Sharpe 2.91 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 4.6% | Win 59%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 61M (29%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 13.5% | Win 67%
Sharpe 1.22 | Sortino 2.23 | Calmar 1.5
Vol 11% | MDD -9.1%
Months 137M (65%)
CAGR 13.5% | Win 70%
Sharpe 1.52 | Sortino 11.17 | Calmar 4.5
Vol 9% | MDD -3.0%
Months 10M (5%)
CAGR 13.5% | Win 67%
Sharpe 1.23 | Sortino 2.29 | Calmar 1.4
Vol 11% | MDD -9.4%
Months 147M (70%)
SLmean
neg
CAGR 5.2% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.3
Vol 16% | MDD -18.4%
Months 49M (23%)
CAGR 4.9% | Win 64%
Sharpe 0.38 | Sortino 0.96 | Calmar 0.5
Vol 16% | MDD -10.1%
Months 14M (7%)
CAGR 5.1% | Win 60%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -23.1%
Months 63M (30%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 8.4% | Win 63%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 166M (79%)
CAGR 10.2% | Win 65%
Sharpe 0.91 | Sortino 1.67 | Calmar 1.1
Vol 11% | MDD -9.4%
Months 26M (12%)
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
RSmean
neg
CAGR 33.9% | Win 80%
Sharpe 3.14 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 5M (2%)
CAGR 40.4% | Win 85%
Sharpe 3.99 | Sortino 7.38 | Calmar 13.7
Vol 9% | MDD -2.9%
Months 13M (6%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
MACD
only
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 7.5% | Win 63%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 12% | MDD -20.4%
Months 172M (82%)
CAGR 19.1% | Win 65%
Sharpe 1.11 | Sortino 2.65 | Calmar 1.9
Vol 17% | MDD -10.1%
Months 20M (10%)
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
RSmean
neg
CAGR 35.6% | Win 81%
Sharpe 3.47 | Sortino 6.17 | Calmar 12.1
Vol 9% | MDD -2.9%
Months 16M (8%)
CAGR 64.4% | Win 100%
Sharpe 16.97 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 2M (1%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
RSI
only
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 10.8% | Win 64%
Sharpe 0.90 | Sortino 1.32 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 110M (52%)
CAGR 5.8% | Win 62%
Sharpe 0.49 | Sortino 0.81 | Calmar 0.3
Vol 13% | MDD -23.1%
Months 82M (39%)
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
RSmean
neg
CAGR 29.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 39.1% | Win 82%
Sharpe 3.79 | Sortino 6.69 | Calmar 13.3
Vol 9% | MDD -2.9%
Months 17M (8%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
MACDhist
only
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 11.4% | Win 67%
Sharpe 1.09 | Sortino 2.43 | Calmar 1.0
Vol 10% | MDD -10.9%
Months 109M (52%)
CAGR 5.1% | Win 59%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.2
Vol 15% | MDD -26.5%
Months 83M (40%)
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
RSmean
neg
CAGR 70.3% | Win 100%
Sharpe 7.02 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 3M (1%)
CAGR 32.9% | Win 80%
Sharpe 3.41 | Sortino 5.76 | Calmar 11.2
Vol 9% | MDD -2.9%
Months 15M (7%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 9.0% | Win 63%
Sharpe 0.74 | Sortino 1.12 | Calmar 0.4
Vol 13% | MDD -23.8%
Months 169M (80%)
CAGR 6.1% | Win 65%
Sharpe 0.52 | Sortino 0.95 | Calmar 0.6
Vol 13% | MDD -10.1%
Months 23M (11%)
CAGR 8.7% | Win 64%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 192M (91%)
RSmean
neg
CAGR 36.6% | Win 82%
Sharpe 3.65 | Sortino 6.32 | Calmar 12.5
Vol 9% | MDD -2.9%
Months 17M (8%)
CAGR 76.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 38.5% | Win 83%
Sharpe 3.85 | Sortino 6.60 | Calmar 13.1
Vol 9% | MDD -2.9%
Months 18M (9%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 7.8% | Win 63%
Sharpe 0.68 | Sortino 0.97 | Calmar 0.4
Vol 12% | MDD -20.0%
Months 160M (76%)
CAGR 29.6% | Win 73%
Sharpe 1.38 | Sortino 4.17 | Calmar 2.9
Vol 20% | MDD -10.1%
Months 11M (5%)
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
MACD
neg
CAGR 20.8% | Win 75%
Sharpe 1.83 | Sortino 2.87 | Calmar 2.6
Vol 11% | MDD -8.1%
Months 28M (13%)
CAGR 16.0% | Win 64%
Sharpe 1.28 | Sortino 3.48 | Calmar 3.8
Vol 12% | MDD -4.2%
Months 11M (5%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
RSI
only
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 11.9% | Win 66%
Sharpe 0.99 | Sortino 1.39 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 107M (51%)
CAGR 4.5% | Win 59%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 14% | MDD -23.1%
Months 64M (30%)
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
MACD
neg
CAGR -11.3% | Win 25%
Sharpe -0.68 | Sortino -3.63 | Calmar -1.7
Vol 16% | MDD -6.7%
Months 4M (2%)
CAGR 23.5% | Win 77%
Sharpe 2.16 | Sortino 3.35 | Calmar 2.9
Vol 10% | MDD -8.1%
Months 35M (17%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
MACDhist
only
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 13.1% | Win 68%
Sharpe 1.21 | Sortino 2.63 | Calmar 1.6
Vol 11% | MDD -8.0%
Months 99M (47%)
CAGR 3.8% | Win 58%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 15% | MDD -26.5%
Months 72M (34%)
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
MACD
neg
CAGR 9.5% | Win 69%
Sharpe 1.02 | Sortino 3.82 | Calmar 1.8
Vol 9% | MDD -5.4%
Months 13M (6%)
CAGR 24.7% | Win 73%
Sharpe 1.96 | Sortino 3.21 | Calmar 3.0
Vol 12% | MDD -8.1%
Months 26M (12%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 9.5% | Win 63%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.5
Vol 13% | MDD -20.0%
Months 155M (74%)
CAGR 5.6% | Win 69%
Sharpe 0.45 | Sortino 0.95 | Calmar 0.6
Vol 14% | MDD -10.1%
Months 16M (8%)
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.3
Vol 13% | MDD -26.5%
Months 171M (81%)
MACD
neg
CAGR 20.8% | Win 74%
Sharpe 1.76 | Sortino 2.97 | Calmar 2.2
Vol 11% | MDD -9.4%
Months 31M (15%)
CAGR 14.2% | Win 62%
Sharpe 1.28 | Sortino 5.81 | Calmar 5.2
Vol 11% | MDD -2.7%
Months 8M (4%)
CAGR 19.4% | Win 72%
Sharpe 1.68 | Sortino 3.17 | Calmar 2.1
Vol 11% | MDD -9.4%
Months 39M (19%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 11.6% | Win 66%
Sharpe 0.96 | Sortino 1.40 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 110M (52%)
CAGR 6.9% | Win 64%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.4
Vol 12% | MDD -17.9%
Months 78M (37%)
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
RSI
neg
CAGR -40.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 26.9% | Win 71%
Sharpe 1.56 | Sortino 3.26 | Calmar 2.7
Vol 16% | MDD -10.1%
Months 21M (10%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
MACDhist
only
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 13.0% | Win 68%
Sharpe 1.21 | Sortino 2.67 | Calmar 1.5
Vol 11% | MDD -8.4%
Months 108M (51%)
CAGR 5.3% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -18.2%
Months 80M (38%)
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
RSI
neg
CAGR 6.1% | Win 50%
Sharpe 0.61 | Sortino 11.71 | Calmar 4.4
Vol 10% | MDD -1.4%
Months 4M (2%)
CAGR 26.6% | Win 72%
Sharpe 1.44 | Sortino 4.13 | Calmar 2.6
Vol 18% | MDD -10.1%
Months 18M (9%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 9.4% | Win 64%
Sharpe 0.81 | Sortino 1.17 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 179M (85%)
CAGR 14.0% | Win 78%
Sharpe 1.18 | Sortino 1.94 | Calmar 2.0
Vol 12% | MDD -6.9%
Months 9M (4%)
CAGR 9.7% | Win 65%
Sharpe 0.83 | Sortino 1.20 | Calmar 0.5
Vol 12% | MDD -20.4%
Months 188M (90%)
RSI
neg
CAGR 70.4% | Win 86%
Sharpe 3.12 | Sortino 0.00 | Calmar 16.7
Vol 18% | MDD -4.2%
Months 7M (3%)
CAGR 5.2% | Win 60%
Sharpe 0.42 | Sortino 0.77 | Calmar 0.5
Vol 14% | MDD -10.1%
Months 15M (7%)
CAGR 22.6% | Win 68%
Sharpe 1.33 | Sortino 3.06 | Calmar 2.2
Vol 16% | MDD -10.1%
Months 22M (10%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 14.1% | Win 66%
Sharpe 1.27 | Sortino 3.01 | Calmar 1.3
Vol 11% | MDD -11.0%
Months 88M (42%)
CAGR -0.2% | Win 61%
Sharpe 0.07 | Sortino 0.08 | Calmar -0.0
Vol 16% | MDD -19.5%
Months 23M (11%)
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
MACDhist
neg
CAGR 7.7% | Win 75%
Sharpe 0.86 | Sortino 1.53 | Calmar 1.4
Vol 9% | MDD -5.4%
Months 24M (11%)
CAGR 11.9% | Win 63%
Sharpe 0.88 | Sortino 1.44 | Calmar 0.5
Vol 14% | MDD -23.1%
Months 75M (36%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
RSIhist
only
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
-
CAGR 11.0% | Win 65%
Sharpe 0.91 | Sortino 1.34 | Calmar 0.6
Vol 12% | MDD -18.7%
Months 111M (53%)
MACDhist
neg
CAGR 11.7% | Win 65%
Sharpe 0.92 | Sortino 1.44 | Calmar 0.8
Vol 13% | MDD -15.6%
Months 75M (36%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
CAGR 10.9% | Win 66%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -23.1%
Months 99M (47%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 13.1% | Win 68%
Sharpe 1.20 | Sortino 2.65 | Calmar 1.6
Vol 11% | MDD -8.4%
Months 102M (49%)
CAGR 9.2% | Win 70%
Sharpe 1.13 | Sortino 7.76 | Calmar 3.4
Vol 8% | MDD -2.7%
Months 10M (5%)
CAGR 12.7% | Win 68%
Sharpe 1.19 | Sortino 2.68 | Calmar 1.5
Vol 11% | MDD -8.5%
Months 112M (53%)
RSIhist
neg
CAGR 9.1% | Win 62%
Sharpe 0.68 | Sortino 0.93 | Calmar 0.4
Vol 14% | MDD -21.7%
Months 84M (40%)
CAGR 7.8% | Win 64%
Sharpe 0.55 | Sortino 1.43 | Calmar 0.8
Vol 16% | MDD -10.1%
Months 14M (7%)
CAGR 9.0% | Win 62%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 98M (47%)
LWTI
only
CAGR 11.3% | Win 65%
Sharpe 0.92 | Sortino 1.38 | Calmar 0.5
Vol 12% | MDD -23.8%
Months 186M (89%)
CAGR 8.4% | Win 67%
Sharpe 0.68 | Sortino 1.25 | Calmar 0.8
Vol 13% | MDD -10.1%
Months 24M (11%)