DIA - SPDR Dow Jones Industrial Average ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

138.7%

Best CAGR

98

Total Months

13.9%

Avg CAGR

DIA 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 DIA

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 RSI neg-neg 3 0.9 138.7 100.0 9.4 0.0 0.0 9.6 0.0
pair RSI RSmean neg-neg 3 0.9 138.7 100.0 9.4 0.0 0.0 9.6 0.0
pair MACDhist RSI neg-pos 3 0.9 74.2 100.0 4.0 0.0 0.0 14.2 0.0
pair RSI MACDhist neg-pos 3 0.9 74.2 100.0 4.0 0.0 0.0 14.2 0.0
pair MACDhist MRmean neg-pos 1 0.3 60.5 100.0 0.0 0.0 0.0 - 0.0
pair MRmean MACDhist neg-pos 1 0.3 60.5 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSI pos-neg 8 2.4 48.2 87.5 4.0 0.0 0.0 10.1 0.0
pair RSI MRmean pos-neg 8 2.4 48.2 87.5 4.0 0.0 0.0 10.1 0.0
pair RSmean MACDhist neg-pos 1 0.3 46.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.3 46.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 4 1.2 43.5 100.0 3.6 0.0 0.0 10.1 0.0
pair LWTI MACDhist pos-neg 4 1.2 43.5 100.0 3.6 0.0 0.0 10.1 0.0
pair RSI SLmean pos-neg 14 4.1 40.8 85.7 2.8 2.7 7.0 12.7 -5.8
pair SLmean RSI pos-neg 14 4.1 40.8 85.7 2.8 2.7 7.0 12.7 -5.8
pair RSI RSIhist neg-pos 12 3.5 33.8 83.3 2.3 2.3 5.8 13.1 -5.8
pair RSIhist RSI neg-pos 12 3.5 33.8 83.3 2.3 2.3 5.8 13.1 -5.8
pair RSI LWTI neg-pos 16 4.7 28.8 68.8 1.1 1.8 1.0 26.2 -28.7
pair LWTI RSI neg-pos 16 4.7 28.8 68.8 1.1 1.8 1.0 26.2 -28.7
pair SLmean LWTI pos-neg 20 5.9 28.4 75.0 2.0 3.2 4.9 13.2 -5.8
pair LWTI SLmean pos-neg 20 5.9 28.4 75.0 2.0 3.2 4.9 13.2 -5.8
pair MACD MACDhist neg-pos 12 3.5 26.5 83.3 2.4 4.5 7.8 10.3 -3.4
pair MACDhist MACD neg-pos 12 3.5 26.5 83.3 2.4 4.5 7.8 10.3 -3.4
pair SLmean MACD pos-neg 36 10.6 25.4 72.2 1.8 3.4 4.3 12.9 -5.8
pair MACD SLmean pos-neg 36 10.6 25.4 72.2 1.8 3.4 4.3 12.9 -5.8
pair SLmean MRmean neg-pos 10 2.9 25.0 70.0 1.5 2.5 4.3 15.4 -5.8
pair MRmean SLmean neg-pos 10 2.9 25.0 70.0 1.5 2.5 4.3 15.4 -5.8
pair LWTI MRmean pos-neg 15 4.4 24.2 73.3 2.0 3.0 5.9 11.1 -4.1
pair MRmean LWTI pos-neg 15 4.4 24.2 73.3 2.0 3.0 5.9 11.1 -4.1
pair MACD LWTI neg-neg 28 8.3 24.0 67.9 1.3 1.8 1.0 18.5 -23.2
pair LWTI MACD neg-neg 28 8.3 24.0 67.9 1.3 1.8 1.0 18.5 -23.2
pair RSIhist MRmean neg-pos 6 1.8 21.5 66.7 1.2 1.6 3.7 16.8 -5.8
pair MRmean RSIhist neg-pos 6 1.8 21.5 66.7 1.2 1.6 3.7 16.8 -5.8
pair RSI MACD pos-neg 15 4.4 21.4 66.7 0.8 1.3 0.7 28.5 -29.4
pair MACD RSI pos-neg 15 4.4 21.4 66.7 0.8 1.3 0.7 28.5 -29.4
pair MACD RSIhist neg-pos 30 8.8 20.9 70.0 1.5 3.0 1.8 13.3 -11.6
pair RSIhist MACD neg-pos 30 8.8 20.9 70.0 1.5 3.0 1.8 13.3 -11.6
pair LWTI RSIhist pos-neg 17 5.0 20.9 70.6 1.5 2.4 2.2 13.4 -9.6
pair RSIhist LWTI pos-neg 17 5.0 20.9 70.6 1.5 2.4 2.2 13.4 -9.6
pair MACD MRmean pos-neg 31 9.1 20.5 71.0 1.5 2.5 1.7 13.1 -12.1
pair MRmean MACD pos-neg 31 9.1 20.5 71.0 1.5 2.5 1.7 13.1 -12.1
single RSI RSI neg-neg 46 13.6 20.4 65.2 0.9 1.4 0.5 23.5 -40.9
pair RSI MACD neg-neg 31 9.1 19.9 64.5 1.0 1.4 0.8 21.2 -23.8
pair MACD RSI neg-neg 31 9.1 19.9 64.5 1.0 1.4 0.8 21.2 -23.8
pair RSmean MACD neg-neg 13 3.8 19.3 76.9 0.9 0.7 1.1 21.2 -17.2
pair MACD RSmean neg-neg 13 3.8 19.3 76.9 0.9 0.7 1.1 21.2 -17.2
pair RSmean SLmean neg-neg 18 5.3 17.5 61.1 0.9 1.0 1.0 21.0 -17.2
pair SLmean RSmean neg-neg 18 5.3 17.5 61.1 0.9 1.0 1.0 21.0 -17.2
pair MACDhist RSI neg-neg 43 12.7 17.3 62.8 0.8 1.2 0.4 24.0 -40.9
pair RSI MACDhist neg-neg 43 12.7 17.3 62.8 0.8 1.2 0.4 24.0 -40.9
pair RSI LWTI neg-neg 30 8.8 16.1 63.3 0.8 1.1 0.4 22.3 -37.5
pair MRmean SLmean pos-neg 36 10.6 16.1 58.3 1.1 2.1 1.5 14.8 -10.6
pair LWTI RSI neg-neg 30 8.8 16.1 63.3 0.8 1.1 0.4 22.3 -37.5
pair SLmean MRmean pos-neg 36 10.6 16.1 58.3 1.1 2.1 1.5 14.8 -10.6
pair RSI RSIhist neg-neg 34 10.0 16.0 58.8 0.7 1.1 0.4 26.3 -41.5
pair RSIhist RSI neg-neg 34 10.0 16.0 58.8 0.7 1.1 0.4 26.3 -41.5
pair RSIhist MACDhist pos-neg 41 12.1 15.6 65.9 1.2 2.4 1.6 12.4 -9.6
pair MACDhist RSIhist pos-neg 41 12.1 15.6 65.9 1.2 2.4 1.6 12.4 -9.6
pair MACD SLmean neg-pos 75 22.1 15.4 62.7 0.8 1.2 0.4 19.9 -35.5
pair SLmean MACD neg-pos 75 22.1 15.4 62.7 0.8 1.2 0.4 19.9 -35.5
pair RSI MRmean neg-neg 38 11.2 15.2 60.5 0.7 1.1 0.3 25.4 -44.4
pair MRmean RSI neg-neg 38 11.2 15.2 60.5 0.7 1.1 0.3 25.4 -44.4
pair SLmean LWTI neg-pos 85 25.1 15.1 63.5 0.8 1.1 0.4 19.5 -35.8
pair LWTI SLmean neg-pos 85 25.1 15.1 63.5 0.8 1.1 0.4 19.5 -35.8
pair MACDhist SLmean neg-pos 25 7.4 15.0 60.0 1.1 2.3 1.3 14.2 -11.7
pair SLmean MACDhist neg-pos 25 7.4 15.0 60.0 1.1 2.3 1.3 14.2 -11.7
pair RSI RSmean pos-neg 43 12.7 14.7 62.8 0.7 1.1 0.4 23.6 -40.9
pair RSmean RSI pos-neg 43 12.7 14.7 62.8 0.7 1.1 0.4 23.6 -40.9
single MACD MACD neg-neg 65 19.2 14.2 64.6 0.8 1.1 0.6 18.5 -23.2
pair MRmean LWTI neg-pos 54 15.9 13.9 66.7 0.7 0.9 0.4 21.6 -33.1
pair LWTI MRmean neg-pos 54 15.9 13.9 66.7 0.7 0.9 0.4 21.6 -33.1
pair RSIhist RSmean neg-neg 25 7.4 13.6 64.0 0.8 0.9 0.8 18.6 -17.2
pair RSmean RSIhist neg-neg 25 7.4 13.6 64.0 0.8 0.9 0.8 18.6 -17.2
pair MACD RSmean pos-neg 52 15.3 12.9 61.5 0.8 1.1 0.6 18.0 -23.2
pair RSmean MACD pos-neg 52 15.3 12.9 61.5 0.8 1.1 0.6 18.0 -23.2
pair MRmean MACD neg-pos 44 13.0 12.7 65.9 0.6 1.0 0.4 23.2 -33.6
pair MACD MRmean neg-pos 44 13.0 12.7 65.9 0.6 1.0 0.4 23.2 -33.6
pair RSmean MRmean neg-neg 16 4.7 12.4 68.8 0.7 0.7 0.7 20.0 -17.2
pair MRmean RSmean neg-neg 16 4.7 12.4 68.8 0.7 0.7 0.7 20.0 -17.2
pair RSI SLmean neg-neg 32 9.4 12.4 56.2 0.6 0.9 0.3 26.9 -45.0
pair SLmean RSI neg-neg 32 9.4 12.4 56.2 0.6 0.9 0.3 26.9 -45.0
pair RSmean LWTI pos-neg 39 11.5 11.7 61.5 0.6 0.9 0.3 21.0 -37.5
pair LWTI RSmean pos-neg 39 11.5 11.7 61.5 0.6 0.9 0.3 21.0 -37.5
single LWTI LWTI neg-neg 39 11.5 11.7 61.5 0.6 0.9 0.3 21.0 -37.5
single RSmean RSmean neg-neg 32 9.4 11.7 65.6 0.7 0.9 0.7 16.9 -17.2
pair LWTI RSmean neg-pos 32 9.4 11.7 65.6 0.7 0.9 0.7 16.9 -17.2
pair RSmean LWTI neg-pos 32 9.4 11.7 65.6 0.7 0.9 0.7 16.9 -17.2
pair LWTI RSIhist neg-pos 136 40.1 11.6 64.0 0.7 1.0 0.3 17.0 -34.6
pair RSIhist LWTI neg-pos 136 40.1 11.6 64.0 0.7 1.0 0.3 17.0 -34.6
pair MACD MACDhist neg-neg 53 15.6 11.5 60.4 0.7 0.9 0.5 19.9 -23.8
pair MACDhist MACD neg-neg 53 15.6 11.5 60.4 0.7 0.9 0.5 19.9 -23.8
pair SLmean RSIhist neg-neg 104 30.7 11.4 60.6 0.6 0.9 0.2 21.0 -47.9
single SLmean SLmean neg-neg 104 30.7 11.4 60.6 0.6 0.9 0.2 21.0 -47.9
pair RSIhist SLmean neg-neg 104 30.7 11.4 60.6 0.6 0.9 0.2 21.0 -47.9
pair RSIhist MACD pos-neg 123 36.3 11.3 63.4 0.7 1.0 0.4 17.2 -31.2
pair MACD RSIhist pos-neg 123 36.3 11.3 63.4 0.7 1.0 0.4 17.2 -31.2
pair MRmean RSIhist pos-neg 86 25.4 11.2 62.8 0.9 1.5 0.7 13.0 -17.4
pair RSIhist MRmean pos-neg 86 25.4 11.2 62.8 0.9 1.5 0.7 13.0 -17.4
pair MRmean RSmean pos-neg 16 4.7 11.0 62.5 0.8 1.9 1.1 13.8 -9.9
pair SLmean RSI neg-pos 72 21.2 11.0 62.5 0.7 0.9 0.6 17.9 -18.2
pair RSI SLmean neg-pos 72 21.2 11.0 62.5 0.7 0.9 0.6 17.9 -18.2
pair RSmean MRmean pos-neg 16 4.7 11.0 62.5 0.8 1.9 1.1 13.8 -9.9
single MRmean MRmean neg-neg 78 23.0 10.9 62.8 0.6 0.8 0.2 22.7 -46.4
single RSIhist RSIhist neg-neg 158 46.6 10.7 62.7 0.7 0.9 0.2 18.3 -45.3
pair MACDhist RSmean neg-neg 31 9.1 10.7 64.5 0.7 0.8 0.6 17.1 -17.2
pair RSmean MACDhist neg-neg 31 9.1 10.7 64.5 0.7 0.8 0.6 17.1 -17.2
pair MRmean RSmean neg-pos 62 18.3 10.6 61.3 0.6 0.9 0.2 23.5 -45.1
pair RSmean MRmean neg-pos 62 18.3 10.6 61.3 0.6 0.9 0.2 23.5 -45.1
pair MACDhist MRmean neg-neg 77 22.7 10.4 62.3 0.6 0.8 0.2 22.8 -46.4
pair MRmean MACDhist neg-neg 77 22.7 10.4 62.3 0.6 0.8 0.2 22.8 -46.4
pair SLmean MACDhist neg-neg 79 23.3 10.3 60.8 0.6 0.8 0.2 22.8 -45.6
pair MACDhist SLmean neg-neg 79 23.3 10.3 60.8 0.6 0.8 0.2 22.8 -45.6
pair RSmean RSIhist pos-neg 133 39.2 10.2 62.4 0.6 0.9 0.2 18.3 -45.3
pair RSIhist RSmean pos-neg 133 39.2 10.2 62.4 0.6 0.9 0.2 18.3 -45.3
pair SLmean RSmean neg-pos 86 25.4 10.2 60.5 0.6 0.8 0.2 21.1 -45.3
pair RSmean SLmean neg-pos 86 25.4 10.2 60.5 0.6 0.8 0.2 21.1 -45.3
pair RSIhist MRmean neg-neg 72 21.2 10.1 62.5 0.5 0.8 0.2 23.2 -45.0
pair MRmean RSIhist neg-neg 72 21.2 10.1 62.5 0.5 0.8 0.2 23.2 -45.0
single MACDhist MACDhist pos-pos 180 53.1 9.8 66.1 0.9 1.5 0.6 11.1 -15.6
pair MACDhist RSmean pos-pos 179 52.8 9.6 65.9 0.9 1.5 0.6 11.2 -15.6
pair RSmean MACDhist pos-pos 179 52.8 9.6 65.9 0.9 1.5 0.6 11.2 -15.6
pair MRmean MACDhist pos-pos 179 52.8 9.6 65.9 0.9 1.5 0.6 11.1 -15.6
pair MACDhist MRmean pos-pos 179 52.8 9.6 65.9 0.9 1.5 0.6 11.1 -15.6
pair RSIhist SLmean pos-neg 54 15.9 9.4 66.7 0.8 1.2 0.5 11.8 -18.6
pair SLmean RSIhist pos-neg 54 15.9 9.4 66.7 0.8 1.2 0.5 11.8 -18.6
pair RSIhist RSI pos-neg 124 36.6 9.3 63.7 0.7 0.9 0.4 15.5 -22.3
pair RSI RSIhist pos-neg 124 36.6 9.3 63.7 0.7 0.9 0.4 15.5 -22.3
pair RSI MACD neg-pos 34 10.0 9.2 64.7 0.6 0.7 0.5 15.8 -17.2
pair MACD RSI neg-pos 34 10.0 9.2 64.7 0.6 0.7 0.5 15.8 -17.2
pair RSIhist MACDhist neg-neg 117 34.5 9.1 61.5 0.5 0.8 0.2 20.0 -44.6
pair MACDhist RSIhist neg-neg 117 34.5 9.1 61.5 0.5 0.8 0.2 20.0 -44.6
pair LWTI MACDhist pos-pos 176 51.9 9.1 65.3 0.8 1.4 0.6 11.1 -15.6
pair MACDhist LWTI pos-pos 176 51.9 9.1 65.3 0.8 1.4 0.6 11.1 -15.6
pair RSI MACDhist pos-pos 177 52.2 9.0 65.5 0.8 1.4 0.6 11.0 -16.1
pair MACDhist RSI pos-pos 177 52.2 9.0 65.5 0.8 1.4 0.6 11.0 -16.1
pair benchmark___benchmark_ benchmark-benchmark 339 100.0 9.0 63.4 0.7 0.9 0.2 15.0 -47.0
pair benchmark___benchmark_ benchmark-benchmark 339 100.0 9.0 63.4 0.7 0.9 0.2 15.0 -47.0
pair MACDhist SLmean pos-pos 155 45.7 9.0 67.1 0.9 1.4 0.5 10.6 -17.2
pair SLmean MACDhist pos-pos 155 45.7 9.0 67.1 0.9 1.4 0.5 10.6 -17.2
pair MRmean SLmean neg-neg 68 20.1 9.0 61.8 0.5 0.7 0.2 23.7 -48.3
pair SLmean MRmean neg-neg 68 20.1 9.0 61.8 0.5 0.7 0.2 23.7 -48.3
pair MACD LWTI pos-pos 263 77.6 8.8 63.9 0.7 1.1 0.3 13.4 -25.9
pair LWTI MACD pos-pos 263 77.6 8.8 63.9 0.7 1.1 0.3 13.4 -25.9
pair MRmean MACD neg-neg 34 10.0 8.7 58.8 0.5 0.7 0.3 22.5 -28.3
pair MACD MRmean neg-neg 34 10.0 8.7 58.8 0.5 0.7 0.3 22.5 -28.3
pair MACD RSIhist neg-neg 35 10.3 8.7 60.0 0.5 0.6 0.4 22.1 -23.9
pair RSIhist MACD neg-neg 35 10.3 8.7 60.0 0.5 0.6 0.4 22.1 -23.9
single RSmean RSmean pos-pos 307 90.6 8.7 63.2 0.6 0.9 0.2 14.8 -47.0
pair MACD MACDhist pos-pos 168 49.6 8.7 64.9 0.8 1.3 0.5 11.2 -18.5
pair MACDhist MACD pos-pos 168 49.6 8.7 64.9 0.8 1.3 0.5 11.2 -18.5
single LWTI LWTI pos-pos 300 88.5 8.6 63.7 0.7 0.9 0.2 14.1 -37.5
pair LWTI MACDhist neg-neg 35 10.3 8.6 57.1 0.5 0.7 0.2 21.8 -37.5
pair MACDhist LWTI neg-neg 35 10.3 8.6 57.1 0.5 0.7 0.2 21.8 -37.5
single MRmean MRmean pos-pos 261 77.0 8.4 63.6 0.7 1.3 0.3 11.8 -27.1
pair RSmean LWTI pos-pos 268 79.1 8.3 63.4 0.7 1.0 0.3 13.8 -29.9
pair LWTI RSmean pos-pos 268 79.1 8.3 63.4 0.7 1.0 0.3 13.8 -29.9
pair MACDhist RSIhist pos-pos 139 41.0 8.2 66.2 0.8 1.2 0.4 10.8 -19.0
pair MRmean RSmean pos-pos 245 72.3 8.2 63.7 0.7 1.2 0.4 11.7 -19.1
pair RSmean MRmean pos-pos 245 72.3 8.2 63.7 0.7 1.2 0.4 11.7 -19.1
pair RSIhist MACDhist pos-pos 139 41.0 8.2 66.2 0.8 1.2 0.4 10.8 -19.0
pair RSmean SLmean pos-pos 221 65.2 8.1 64.3 0.7 1.2 0.4 11.6 -19.6
pair SLmean RSmean pos-pos 221 65.2 8.1 64.3 0.7 1.2 0.4 11.6 -19.6
single MACDhist MACDhist neg-neg 159 46.9 8.0 60.4 0.5 0.7 0.2 18.5 -48.0
single SLmean SLmean pos-pos 235 69.3 7.9 64.7 0.7 1.2 0.4 11.5 -20.2
pair MACDhist LWTI neg-pos 124 36.6 7.9 61.3 0.5 0.7 0.2 17.5 -37.8
pair LWTI MACDhist neg-pos 124 36.6 7.9 61.3 0.5 0.7 0.2 17.5 -37.8
pair MACD RSmean pos-pos 255 75.2 7.8 63.5 0.6 0.9 0.2 14.2 -38.4
pair RSmean MACD pos-pos 255 75.2 7.8 63.5 0.6 0.9 0.2 14.2 -38.4
single MACD MACD pos-pos 274 80.8 7.8 63.1 0.6 0.9 0.2 14.1 -38.4
pair RSI RSmean pos-pos 264 77.9 7.7 63.3 0.6 1.0 0.3 12.9 -24.9
pair RSmean RSI pos-pos 264 77.9 7.7 63.3 0.6 1.0 0.3 12.9 -24.9
pair LWTI RSI pos-pos 284 83.8 7.6 63.4 0.6 0.9 0.3 13.1 -23.6
pair RSI LWTI pos-pos 284 83.8 7.6 63.4 0.6 0.9 0.3 13.1 -23.6
pair RSmean RSIhist pos-pos 174 51.3 7.6 63.8 0.7 1.2 0.4 11.5 -19.5
pair RSIhist RSmean pos-pos 174 51.3 7.6 63.8 0.7 1.2 0.4 11.5 -19.5
pair LWTI MRmean pos-pos 246 72.6 7.5 63.0 0.7 1.1 0.3 11.9 -26.5
pair MRmean LWTI pos-pos 246 72.6 7.5 63.0 0.7 1.1 0.3 11.9 -26.5
single RSIhist RSIhist pos-pos 181 53.4 7.5 64.1 0.7 1.2 0.3 11.4 -22.0
pair SLmean RSIhist pos-pos 181 53.4 7.5 64.1 0.7 1.2 0.3 11.4 -22.0
pair RSIhist SLmean pos-pos 181 53.4 7.5 64.1 0.7 1.2 0.3 11.4 -22.0
pair MACDhist RSmean pos-neg 128 37.8 7.4 59.4 0.5 0.7 0.2 18.9 -44.2
pair RSmean MACDhist pos-neg 128 37.8 7.4 59.4 0.5 0.7 0.2 18.9 -44.2
pair LWTI MACD neg-pos 37 10.9 7.3 62.2 0.5 0.6 0.3 18.6 -26.9
pair MRmean RSI pos-pos 253 74.6 7.3 62.8 0.7 1.1 0.3 11.8 -27.0
pair RSI MRmean pos-pos 253 74.6 7.3 62.8 0.7 1.1 0.3 11.8 -27.0
pair MACD LWTI neg-pos 37 10.9 7.3 62.2 0.5 0.6 0.3 18.6 -26.9
single RSI RSI pos-pos 293 86.4 7.3 63.1 0.6 0.9 0.3 13.2 -24.9
pair SLmean MRmean pos-pos 225 66.4 7.2 64.4 0.7 1.1 0.3 11.3 -20.7
pair MRmean SLmean pos-pos 225 66.4 7.2 64.4 0.7 1.1 0.3 11.3 -20.7
pair RSI MRmean neg-pos 40 11.8 7.1 65.0 0.4 0.5 0.2 20.1 -28.8
pair MRmean RSI neg-pos 40 11.8 7.1 65.0 0.4 0.5 0.2 20.1 -28.8
pair RSI MACD pos-pos 259 76.4 7.0 62.9 0.6 0.9 0.2 12.8 -28.8
pair MACD RSI pos-pos 259 76.4 7.0 62.9 0.6 0.9 0.2 12.8 -28.8
pair RSIhist MRmean pos-pos 175 51.6 7.0 64.0 0.7 1.1 0.3 11.2 -22.0
pair MRmean RSIhist pos-pos 175 51.6 7.0 64.0 0.7 1.1 0.3 11.2 -22.0
pair MACD MRmean pos-pos 230 67.8 6.8 62.6 0.6 1.1 0.3 11.6 -19.6
pair MRmean MACD pos-pos 230 67.8 6.8 62.6 0.6 1.1 0.3 11.6 -19.6
pair MACD RSmean neg-pos 19 5.6 6.8 57.9 0.6 1.3 0.6 13.7 -11.8
pair RSmean MACD neg-pos 19 5.6 6.8 57.9 0.6 1.3 0.6 13.7 -11.8
pair MACDhist MACD pos-neg 106 31.3 6.3 60.4 0.4 0.7 0.2 17.8 -39.9
pair MACD MACDhist pos-neg 106 31.3 6.3 60.4 0.4 0.7 0.2 17.8 -39.9
pair LWTI SLmean pos-pos 215 63.4 6.2 63.7 0.6 1.0 0.3 11.2 -23.7
pair SLmean LWTI pos-pos 215 63.4 6.2 63.7 0.6 1.0 0.3 11.2 -23.7
pair LWTI RSIhist pos-pos 164 48.4 6.2 63.4 0.6 1.0 0.3 11.2 -18.7
pair RSIhist LWTI pos-pos 164 48.4 6.2 63.4 0.6 1.0 0.3 11.2 -18.7
pair RSI SLmean pos-pos 221 65.2 6.1 63.3 0.6 1.0 0.3 11.3 -20.2
pair SLmean RSI pos-pos 221 65.2 6.1 63.3 0.6 1.0 0.3 11.3 -20.2
pair MACDhist MRmean pos-neg 82 24.2 5.8 58.5 0.5 0.9 0.2 13.3 -27.1
pair MRmean MACDhist pos-neg 82 24.2 5.8 58.5 0.5 0.9 0.2 13.3 -27.1
pair MACDhist SLmean pos-neg 80 23.6 5.8 60.0 0.5 0.9 0.3 13.1 -17.7
pair SLmean MACDhist pos-neg 80 23.6 5.8 60.0 0.5 0.9 0.3 13.1 -17.7
pair RSI RSIhist pos-pos 169 49.9 5.8 62.7 0.6 1.0 0.3 11.2 -22.0
pair RSIhist RSI pos-pos 169 49.9 5.8 62.7 0.6 1.0 0.3 11.2 -22.0
pair MACDhist RSIhist neg-pos 42 12.4 5.2 57.1 0.4 1.0 0.2 13.6 -20.7
pair RSIhist MACDhist neg-pos 42 12.4 5.2 57.1 0.4 1.0 0.2 13.6 -20.7
pair LWTI RSIhist neg-neg 22 6.5 5.1 54.5 0.3 0.5 0.1 25.6 -37.5
pair RSIhist LWTI neg-neg 22 6.5 5.1 54.5 0.3 0.5 0.1 25.6 -37.5
pair SLmean MACD pos-pos 199 58.7 5.0 63.3 0.5 0.8 0.2 11.1 -20.2
pair MACD SLmean pos-pos 199 58.7 5.0 63.3 0.5 0.8 0.2 11.1 -20.2
pair RSIhist RSmean neg-pos 7 2.1 5.0 71.4 0.6 8.6 1.5 9.8 -3.4
pair RSmean RSIhist neg-pos 7 2.1 5.0 71.4 0.6 8.6 1.5 9.8 -3.4
pair MACD RSIhist pos-pos 151 44.5 5.0 62.9 0.5 0.8 0.2 10.9 -22.0
pair RSIhist MACD pos-pos 151 44.5 5.0 62.9 0.5 0.8 0.2 10.9 -22.0
pair RSI MACDhist pos-neg 116 34.2 4.8 59.5 0.4 0.5 0.2 16.0 -21.7
pair MACDhist RSI pos-neg 116 34.2 4.8 59.5 0.4 0.5 0.2 16.0 -21.7
pair MRmean LWTI neg-neg 24 7.1 4.6 54.2 0.3 0.5 0.1 25.4 -38.5
pair LWTI MRmean neg-neg 24 7.1 4.6 54.2 0.3 0.5 0.1 25.4 -38.5
pair RSmean SLmean pos-neg 14 4.1 4.6 71.4 0.5 2.4 0.6 9.8 -7.3
pair SLmean RSmean pos-neg 14 4.1 4.6 71.4 0.5 2.4 0.6 9.8 -7.3
pair RSmean RSI neg-pos 29 8.6 3.3 62.1 0.3 0.3 0.2 15.8 -19.5
pair RSI RSmean neg-pos 29 8.6 3.3 62.1 0.3 0.3 0.2 15.8 -19.5
pair MACD SLmean neg-neg 29 8.6 1.7 55.2 0.2 0.3 0.1 23.6 -28.5
pair SLmean MACD neg-neg 29 8.6 1.7 55.2 0.2 0.3 0.1 23.6 -28.5
pair LWTI RSI pos-neg 9 2.7 -1.7 55.6 -0.0 -0.1 -0.2 16.2 -8.7
pair RSI LWTI pos-neg 9 2.7 -1.7 55.6 -0.0 -0.1 -0.2 16.2 -8.7
pair LWTI SLmean neg-neg 19 5.6 -3.6 47.4 -0.0 -0.0 -0.1 26.8 -37.5
pair SLmean LWTI neg-neg 19 5.6 -3.6 47.4 -0.0 -0.0 -0.1 26.8 -37.5
pair MACD LWTI pos-neg 11 3.2 -14.3 45.5 -0.5 -0.8 -0.6 25.9 -25.7
pair LWTI MACD pos-neg 11 3.2 -14.3 45.5 -0.5 -0.8 -0.6 25.9 -25.7

All Contingency Tables for DIA

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.2% | Win 64%
Sharpe 0.67 | Sortino 1.12 | Calmar 0.3
Vol 11% | MDD -20.7%
Months 225M (66%)
CAGR 16.1% | Win 58%
Sharpe 1.08 | Sortino 2.07 | Calmar 1.5
Vol 15% | MDD -10.6%
Months 36M (11%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 25.0% | Win 70%
Sharpe 1.53 | Sortino 2.55 | Calmar 4.3
Vol 15% | MDD -5.8%
Months 10M (3%)
CAGR 9.0% | Win 62%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 24% | MDD -48.3%
Months 68M (20%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
SLmean
only
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 64%
Sharpe 0.73 | Sortino 1.23 | Calmar 0.4
Vol 12% | MDD -19.1%
Months 245M (72%)
CAGR 11.0% | Win 62%
Sharpe 0.82 | Sortino 1.95 | Calmar 1.1
Vol 14% | MDD -9.9%
Months 16M (5%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.86 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 62M (18%)
CAGR 12.4% | Win 69%
Sharpe 0.68 | Sortino 0.68 | Calmar 0.7
Vol 20% | MDD -17.2%
Months 16M (5%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
RSmean
only
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 63%
Sharpe 0.63 | Sortino 1.06 | Calmar 0.3
Vol 12% | MDD -19.6%
Months 230M (68%)
CAGR 20.5% | Win 71%
Sharpe 1.50 | Sortino 2.53 | Calmar 1.7
Vol 13% | MDD -12.1%
Months 31M (9%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 12.7% | Win 66%
Sharpe 0.64 | Sortino 0.99 | Calmar 0.4
Vol 23% | MDD -33.6%
Months 44M (13%)
CAGR 8.7% | Win 59%
Sharpe 0.48 | Sortino 0.65 | Calmar 0.3
Vol 22% | MDD -28.3%
Months 34M (10%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
MACD
only
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 63%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.3
Vol 12% | MDD -27.0%
Months 253M (75%)
CAGR 48.2% | Win 88%
Sharpe 4.02 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 8M (2%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 7.1% | Win 65%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.2
Vol 20% | MDD -28.8%
Months 40M (12%)
CAGR 15.2% | Win 60%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -44.4%
Months 38M (11%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
RSI
only
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 66%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 179M (53%)
CAGR 5.8% | Win 58%
Sharpe 0.49 | Sortino 0.87 | Calmar 0.2
Vol 13% | MDD -27.1%
Months 82M (24%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 60.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 10.4% | Win 62%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 77M (23%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
MACDhist
only
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 64%
Sharpe 0.66 | Sortino 1.14 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 175M (52%)
CAGR 11.2% | Win 63%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.6
Vol 13% | MDD -17.4%
Months 86M (25%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 21.5% | Win 67%
Sharpe 1.24 | Sortino 1.60 | Calmar 3.7
Vol 17% | MDD -5.8%
Months 6M (2%)
CAGR 10.1% | Win 62%
Sharpe 0.53 | Sortino 0.79 | Calmar 0.2
Vol 23% | MDD -45.0%
Months 72M (21%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 63%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.3
Vol 12% | MDD -26.5%
Months 246M (73%)
CAGR 24.2% | Win 73%
Sharpe 2.03 | Sortino 3.00 | Calmar 5.9
Vol 11% | MDD -4.1%
Months 15M (4%)
CAGR 8.4% | Win 64%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -27.1%
Months 261M (77%)
MRmean
neg
CAGR 13.9% | Win 67%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.4
Vol 22% | MDD -33.1%
Months 54M (16%)
CAGR 4.6% | Win 54%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -38.5%
Months 24M (7%)
CAGR 10.9% | Win 63%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.2
Vol 23% | MDD -46.4%
Months 78M (23%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 64%
Sharpe 0.73 | Sortino 1.22 | Calmar 0.4
Vol 12% | MDD -19.6%
Months 221M (65%)
CAGR 4.6% | Win 71%
Sharpe 0.51 | Sortino 2.41 | Calmar 0.6
Vol 10% | MDD -7.3%
Months 14M (4%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg
CAGR 10.2% | Win 60%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -45.3%
Months 86M (25%)
CAGR 17.5% | Win 61%
Sharpe 0.88 | Sortino 1.01 | Calmar 1.0
Vol 21% | MDD -17.2%
Months 18M (5%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
RSmean
only
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.0% | Win 63%
Sharpe 0.50 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -20.2%
Months 199M (59%)
CAGR 25.4% | Win 72%
Sharpe 1.84 | Sortino 3.44 | Calmar 4.4
Vol 13% | MDD -5.8%
Months 36M (11%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg
CAGR 15.4% | Win 63%
Sharpe 0.82 | Sortino 1.19 | Calmar 0.4
Vol 20% | MDD -35.5%
Months 75M (22%)
CAGR 1.7% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 24% | MDD -28.5%
Months 29M (9%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
MACD
only
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.1% | Win 63%
Sharpe 0.58 | Sortino 0.97 | Calmar 0.3
Vol 11% | MDD -20.2%
Months 221M (65%)
CAGR 40.8% | Win 86%
Sharpe 2.80 | Sortino 2.73 | Calmar 7.0
Vol 13% | MDD -5.8%
Months 14M (4%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg
CAGR 11.0% | Win 62%
Sharpe 0.68 | Sortino 0.88 | Calmar 0.6
Vol 18% | MDD -18.2%
Months 72M (21%)
CAGR 12.4% | Win 56%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.3
Vol 27% | MDD -45.0%
Months 32M (9%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
RSI
only
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 67%
Sharpe 0.87 | Sortino 1.37 | Calmar 0.5
Vol 11% | MDD -17.2%
Months 155M (46%)
CAGR 5.8% | Win 60%
Sharpe 0.50 | Sortino 0.94 | Calmar 0.3
Vol 13% | MDD -17.7%
Months 80M (24%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg
CAGR 15.0% | Win 60%
Sharpe 1.06 | Sortino 2.31 | Calmar 1.3
Vol 14% | MDD -11.7%
Months 25M (7%)
CAGR 10.3% | Win 61%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.2
Vol 23% | MDD -45.6%
Months 79M (23%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
MACDhist
only
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 9.4% | Win 67%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.5
Vol 12% | MDD -18.6%
Months 54M (16%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg		-
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 64%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.3
Vol 11% | MDD -23.7%
Months 215M (63%)
CAGR 28.4% | Win 75%
Sharpe 1.98 | Sortino 3.17 | Calmar 4.9
Vol 13% | MDD -5.8%
Months 20M (6%)
CAGR 7.9% | Win 65%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -20.2%
Months 235M (69%)
SLmean
neg
CAGR 15.1% | Win 64%
Sharpe 0.82 | Sortino 1.11 | Calmar 0.4
Vol 20% | MDD -35.8%
Months 85M (25%)
CAGR -3.6% | Win 47%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 27% | MDD -37.5%
Months 19M (6%)
CAGR 11.4% | Win 61%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -47.9%
Months 104M (31%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 255M (75%)
CAGR 12.9% | Win 62%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 52M (15%)
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
RSmean
neg
CAGR 6.8% | Win 58%
Sharpe 0.55 | Sortino 1.30 | Calmar 0.6
Vol 14% | MDD -11.8%
Months 19M (6%)
CAGR 19.3% | Win 77%
Sharpe 0.94 | Sortino 0.74 | Calmar 1.1
Vol 21% | MDD -17.2%
Months 13M (4%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
MACD
only
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 63%
Sharpe 0.64 | Sortino 0.98 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 264M (78%)
CAGR 14.7% | Win 63%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 24% | MDD -40.9%
Months 43M (13%)
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
RSmean
neg
CAGR 3.3% | Win 62%
Sharpe 0.28 | Sortino 0.32 | Calmar 0.2
Vol 16% | MDD -19.5%
Months 29M (9%)
CAGR 138.7% | Win 100%
Sharpe 9.45 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 3M (1%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
RSI
only
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.6% | Win 66%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 179M (53%)
CAGR 7.4% | Win 59%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -44.2%
Months 128M (38%)
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
RSmean
neg
CAGR 46.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 10.7% | Win 64%
Sharpe 0.68 | Sortino 0.82 | Calmar 0.6
Vol 17% | MDD -17.2%
Months 31M (9%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
MACDhist
only
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.4
Vol 12% | MDD -19.5%
Months 174M (51%)
CAGR 10.2% | Win 62%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 133M (39%)
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
RSmean
neg
CAGR 5.0% | Win 71%
Sharpe 0.55 | Sortino 8.55 | Calmar 1.5
Vol 10% | MDD -3.4%
Months 7M (2%)
CAGR 13.6% | Win 64%
Sharpe 0.78 | Sortino 0.92 | Calmar 0.8
Vol 19% | MDD -17.2%
Months 25M (7%)
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 63%
Sharpe 0.65 | Sortino 0.96 | Calmar 0.3
Vol 14% | MDD -29.9%
Months 268M (79%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
CAGR 8.7% | Win 63%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -47.0%
Months 307M (91%)
RSmean
neg
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
-
CAGR 11.7% | Win 66%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 32M (9%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.0% | Win 63%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.2
Vol 13% | MDD -28.8%
Months 259M (76%)
CAGR 21.4% | Win 67%
Sharpe 0.82 | Sortino 1.29 | Calmar 0.7
Vol 28% | MDD -29.4%
Months 15M (4%)
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
MACD
neg
CAGR 9.2% | Win 65%
Sharpe 0.64 | Sortino 0.71 | Calmar 0.5
Vol 16% | MDD -17.2%
Months 34M (10%)
CAGR 19.9% | Win 64%
Sharpe 0.96 | Sortino 1.42 | Calmar 0.8
Vol 21% | MDD -23.8%
Months 31M (9%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
RSI
only
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.7% | Win 65%
Sharpe 0.81 | Sortino 1.34 | Calmar 0.5
Vol 11% | MDD -18.5%
Months 168M (50%)
CAGR 6.3% | Win 60%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -39.9%
Months 106M (31%)
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
MACD
neg
CAGR 26.5% | Win 83%
Sharpe 2.35 | Sortino 4.45 | Calmar 7.8
Vol 10% | MDD -3.4%
Months 12M (4%)
CAGR 11.5% | Win 60%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.5
Vol 20% | MDD -23.8%
Months 53M (16%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
MACDhist
only
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 63%
Sharpe 0.50 | Sortino 0.82 | Calmar 0.2
Vol 11% | MDD -22.0%
Months 151M (44%)
CAGR 11.3% | Win 63%
Sharpe 0.71 | Sortino 1.03 | Calmar 0.4
Vol 17% | MDD -31.2%
Months 123M (36%)
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
MACD
neg
CAGR 20.9% | Win 70%
Sharpe 1.51 | Sortino 3.01 | Calmar 1.8
Vol 13% | MDD -11.6%
Months 30M (9%)
CAGR 8.7% | Win 60%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.4
Vol 22% | MDD -23.9%
Months 35M (10%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.8% | Win 64%
Sharpe 0.70 | Sortino 1.07 | Calmar 0.3
Vol 13% | MDD -25.9%
Months 263M (78%)
CAGR -14.3% | Win 46%
Sharpe -0.47 | Sortino -0.77 | Calmar -0.6
Vol 26% | MDD -25.7%
Months 11M (3%)
CAGR 7.8% | Win 63%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 274M (81%)
MACD
neg
CAGR 7.3% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 19% | MDD -26.9%
Months 37M (11%)
CAGR 24.0% | Win 68%
Sharpe 1.26 | Sortino 1.75 | Calmar 1.0
Vol 18% | MDD -23.2%
Months 28M (8%)
CAGR 14.2% | Win 65%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 65M (19%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.0% | Win 66%
Sharpe 0.84 | Sortino 1.39 | Calmar 0.6
Vol 11% | MDD -16.1%
Months 177M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.2
Vol 16% | MDD -21.7%
Months 116M (34%)
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
RSI
neg
CAGR 74.2% | Win 100%
Sharpe 4.05 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 3M (1%)
CAGR 17.3% | Win 63%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.4
Vol 24% | MDD -40.9%
Months 43M (13%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
MACDhist
only
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.8% | Win 63%
Sharpe 0.56 | Sortino 0.96 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 169M (50%)
CAGR 9.3% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.4
Vol 16% | MDD -22.3%
Months 124M (37%)
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
RSI
neg
CAGR 33.8% | Win 83%
Sharpe 2.31 | Sortino 2.33 | Calmar 5.8
Vol 13% | MDD -5.8%
Months 12M (4%)
CAGR 16.0% | Win 59%
Sharpe 0.69 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -41.5%
Months 34M (10%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.6% | Win 63%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 13% | MDD -23.6%
Months 284M (84%)
CAGR -1.7% | Win 56%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.2
Vol 16% | MDD -8.7%
Months 9M (3%)
CAGR 7.3% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 13% | MDD -24.9%
Months 293M (86%)
RSI
neg
CAGR 28.8% | Win 69%
Sharpe 1.10 | Sortino 1.79 | Calmar 1.0
Vol 26% | MDD -28.7%
Months 16M (5%)
CAGR 16.1% | Win 63%
Sharpe 0.78 | Sortino 1.12 | Calmar 0.4
Vol 22% | MDD -37.5%
Months 30M (9%)
CAGR 20.4% | Win 65%
Sharpe 0.91 | Sortino 1.37 | Calmar 0.5
Vol 24% | MDD -40.9%
Months 46M (14%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.2% | Win 66%
Sharpe 0.79 | Sortino 1.24 | Calmar 0.4
Vol 11% | MDD -19.0%
Months 139M (41%)
CAGR 15.6% | Win 66%
Sharpe 1.23 | Sortino 2.43 | Calmar 1.6
Vol 12% | MDD -9.6%
Months 41M (12%)
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
MACDhist
neg
CAGR 5.2% | Win 57%
Sharpe 0.44 | Sortino 0.96 | Calmar 0.2
Vol 14% | MDD -20.7%
Months 42M (12%)
CAGR 9.1% | Win 62%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -44.6%
Months 117M (34%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
RSIhist
only
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.1% | Win 65%
Sharpe 0.84 | Sortino 1.41 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 176M (52%)
CAGR 43.5% | Win 100%
Sharpe 3.65 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 4M (1%)
CAGR 9.8% | Win 66%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.6
Vol 11% | MDD -15.6%
Months 180M (53%)
MACDhist
neg
CAGR 7.9% | Win 61%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -37.8%
Months 124M (37%)
CAGR 8.6% | Win 57%
Sharpe 0.48 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -37.5%
Months 35M (10%)
CAGR 8.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -48.0%
Months 159M (47%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 6.2% | Win 63%
Sharpe 0.59 | Sortino 1.01 | Calmar 0.3
Vol 11% | MDD -18.7%
Months 164M (48%)
CAGR 20.9% | Win 71%
Sharpe 1.49 | Sortino 2.42 | Calmar 2.2
Vol 13% | MDD -9.6%
Months 17M (5%)
CAGR 7.5% | Win 64%
Sharpe 0.69 | Sortino 1.19 | Calmar 0.3
Vol 11% | MDD -22.0%
Months 181M (53%)
RSIhist
neg
CAGR 11.6% | Win 64%
Sharpe 0.74 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -34.6%
Months 136M (40%)
CAGR 5.1% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 26% | MDD -37.5%
Months 22M (6%)
CAGR 10.7% | Win 63%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.2
Vol 18% | MDD -45.3%
Months 158M (47%)
LWTI
only
CAGR 8.6% | Win 64%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -37.5%
Months 300M (88%)
CAGR 11.7% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -37.5%
Months 39M (12%)