EART - Global X Disruptive Materials ETF

Signal Pair Analysis

MACD-RSIhist

Best Pair

86.0%

Best CAGR

17

Total Months

-1.8%

Avg CAGR

EART 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 EART

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist MACD pos-pos 7 12.3 86.0 85.7 1.7 0.0 4.6 43.1 -18.6
pair MACD RSIhist pos-pos 7 12.3 86.0 85.7 1.7 0.0 4.6 43.1 -18.6
pair RSI RSIhist pos-pos 10 17.5 79.1 80.0 1.6 3.4 4.3 41.9 -18.6
pair RSIhist RSI pos-pos 10 17.5 79.1 80.0 1.6 3.4 4.3 41.9 -18.6
pair RSIhist MACDhist pos-pos 13 22.8 65.8 69.2 1.5 2.2 3.5 38.1 -18.6
pair MACDhist RSIhist pos-pos 13 22.8 65.8 69.2 1.5 2.2 3.5 38.1 -18.6
pair SLmean MRmean pos-neg 4 7.0 56.2 50.0 1.5 3.6 8.9 32.7 -6.3
pair MRmean SLmean pos-neg 4 7.0 56.2 50.0 1.5 3.6 8.9 32.7 -6.3
pair MACD MACDhist neg-pos 10 17.5 38.2 60.0 1.3 2.5 3.7 26.8 -10.3
pair MACDhist MACD neg-pos 10 17.5 38.2 60.0 1.3 2.5 3.7 26.8 -10.3
pair RSI MRmean pos-pos 16 28.1 37.4 68.8 1.0 2.6 1.5 40.1 -25.5
pair MRmean RSI pos-pos 16 28.1 37.4 68.8 1.0 2.6 1.5 40.1 -25.5
pair RSI RSmean pos-pos 16 28.1 37.4 68.8 1.0 2.6 1.5 40.1 -25.5
pair RSmean RSI pos-pos 16 28.1 37.4 68.8 1.0 2.6 1.5 40.1 -25.5
pair MACDhist RSmean pos-pos 22 38.6 35.9 63.6 1.1 1.8 1.4 35.0 -25.5
pair RSmean MACDhist pos-pos 22 38.6 35.9 63.6 1.1 1.8 1.4 35.0 -25.5
pair SLmean MACDhist pos-pos 15 26.3 33.0 66.7 0.9 1.8 1.0 39.6 -34.5
pair MACDhist SLmean pos-pos 15 26.3 33.0 66.7 0.9 1.8 1.0 39.6 -34.5
pair RSmean MACD pos-pos 13 22.8 31.9 69.2 0.9 2.0 1.2 40.2 -25.5
pair MACD RSmean pos-pos 13 22.8 31.9 69.2 0.9 2.0 1.2 40.2 -25.5
pair MACD MRmean pos-pos 13 22.8 31.9 69.2 0.9 2.0 1.2 40.2 -25.5
pair MRmean MACD pos-pos 13 22.8 31.9 69.2 0.9 2.0 1.2 40.2 -25.5
pair MACDhist RSI pos-pos 16 28.1 31.8 68.8 0.9 2.2 0.9 41.6 -35.1
pair RSI MACDhist pos-pos 16 28.1 31.8 68.8 0.9 2.2 0.9 41.6 -35.1
pair MRmean MACDhist pos-pos 18 31.6 30.6 61.1 0.9 1.6 1.2 37.9 -25.5
pair MACDhist MRmean pos-pos 18 31.6 30.6 61.1 0.9 1.6 1.2 37.9 -25.5
pair RSIhist LWTI pos-pos 16 28.1 28.3 62.5 0.8 1.5 1.2 38.8 -22.7
pair LWTI RSIhist pos-pos 16 28.1 28.3 62.5 0.8 1.5 1.2 38.8 -22.7
pair RSI SLmean pos-pos 13 22.8 28.1 69.2 0.8 2.3 0.8 41.8 -34.5
pair SLmean RSI pos-pos 13 22.8 28.1 69.2 0.8 2.3 0.8 41.8 -34.5
pair MRmean RSIhist pos-pos 15 26.3 26.6 66.7 0.8 1.5 1.4 38.5 -19.1
pair RSIhist MRmean pos-pos 15 26.3 26.6 66.7 0.8 1.5 1.4 38.5 -19.1
pair MACDhist LWTI pos-pos 24 42.1 22.4 62.5 0.7 1.3 0.6 35.9 -35.1
pair LWTI MACDhist pos-pos 24 42.1 22.4 62.5 0.7 1.3 0.6 35.9 -35.1
single MACDhist MACDhist pos-pos 24 42.1 22.4 62.5 0.7 1.3 0.6 35.9 -35.1
pair LWTI RSIhist neg-neg 9 15.8 21.5 55.6 0.8 1.6 1.8 30.2 -12.1
pair RSIhist LWTI neg-neg 9 15.8 21.5 55.6 0.8 1.6 1.8 30.2 -12.1
pair LWTI MRmean pos-pos 20 35.1 20.0 60.0 0.7 1.3 0.8 37.3 -25.5
pair MRmean LWTI pos-pos 20 35.1 20.0 60.0 0.7 1.3 0.8 37.3 -25.5
pair SLmean MACD pos-pos 10 17.5 18.9 70.0 0.6 1.6 0.6 42.4 -34.5
pair MACD SLmean pos-pos 10 17.5 18.9 70.0 0.6 1.6 0.6 42.4 -34.5
pair SLmean RSmean neg-pos 20 35.1 18.8 50.0 0.8 1.8 1.1 25.7 -17.6
pair RSmean SLmean neg-pos 20 35.1 18.8 50.0 0.8 1.8 1.1 25.7 -17.6
pair RSmean MRmean pos-neg 1 1.8 17.4 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 1 1.8 17.4 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean pos-neg 1 1.8 17.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 1 1.8 17.4 100.0 0.0 0.0 0.0 - 0.0
pair LWTI SLmean neg-neg 10 17.5 15.9 50.0 0.6 1.3 1.3 28.9 -12.1
pair SLmean LWTI neg-neg 10 17.5 15.9 50.0 0.6 1.3 1.3 28.9 -12.1
pair RSIhist RSI neg-neg 27 47.4 15.3 55.6 0.6 1.3 0.6 29.1 -24.0
pair RSmean RSI neg-neg 13 22.8 15.3 61.5 0.6 1.2 0.6 33.3 -24.0
pair RSI RSIhist neg-neg 27 47.4 15.3 55.6 0.6 1.3 0.6 29.1 -24.0
pair RSI RSmean neg-neg 13 22.8 15.3 61.5 0.6 1.2 0.6 33.3 -24.0
pair SLmean RSIhist pos-pos 19 33.3 13.6 63.2 0.5 1.2 0.4 38.8 -32.2
pair RSIhist SLmean pos-pos 19 33.3 13.6 63.2 0.5 1.2 0.4 38.8 -32.2
single MRmean MRmean pos-pos 22 38.6 13.1 59.1 0.5 1.0 0.5 36.5 -25.5
pair RSmean MRmean pos-pos 21 36.8 12.9 57.1 0.5 1.0 0.5 37.4 -25.5
pair MRmean RSmean pos-pos 21 36.8 12.9 57.1 0.5 1.0 0.5 37.4 -25.5
pair MACD RSI pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair RSI MACD pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair MACD LWTI pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair LWTI MACD pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair MACDhist MACD pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair MACD MACDhist pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
single MACD MACD pos-pos 14 24.6 12.3 64.3 0.5 1.2 0.3 42.1 -35.1
pair RSmean LWTI pos-pos 28 49.1 12.2 53.6 0.5 1.0 0.4 34.0 -27.5
pair LWTI RSmean pos-pos 28 49.1 12.2 53.6 0.5 1.0 0.4 34.0 -27.5
pair SLmean RSI neg-neg 29 50.9 11.9 51.7 0.5 1.1 0.5 28.3 -24.0
pair RSI SLmean neg-neg 29 50.9 11.9 51.7 0.5 1.1 0.5 28.3 -24.0
pair RSIhist RSmean pos-pos 19 33.3 10.8 57.9 0.5 0.9 0.3 38.9 -34.8
pair RSmean RSIhist pos-pos 19 33.3 10.8 57.9 0.5 0.9 0.3 38.9 -34.8
pair LWTI SLmean pos-pos 18 31.6 9.9 61.1 0.4 1.0 0.3 39.1 -34.5
pair SLmean LWTI pos-pos 18 31.6 9.9 61.1 0.4 1.0 0.3 39.1 -34.5
single RSIhist RSIhist pos-pos 21 36.8 9.2 57.1 0.4 0.8 0.3 37.0 -35.4
single RSmean RSmean pos-pos 41 71.9 7.9 53.7 0.4 0.8 0.2 32.8 -33.0
pair RSI MRmean neg-neg 32 56.1 7.2 53.1 0.4 0.8 0.2 30.2 -34.8
pair MRmean RSI neg-neg 32 56.1 7.2 53.1 0.4 0.8 0.2 30.2 -34.8
pair SLmean MACDhist neg-pos 9 15.8 6.6 55.6 0.3 0.5 0.4 30.3 -15.2
pair MACDhist SLmean neg-pos 9 15.8 6.6 55.6 0.3 0.5 0.4 30.3 -15.2
pair MACD RSIhist neg-neg 29 50.9 6.1 51.7 0.3 0.6 0.2 30.3 -33.3
pair RSIhist MACD neg-neg 29 50.9 6.1 51.7 0.3 0.6 0.2 30.3 -33.3
pair MACDhist RSI neg-pos 8 14.0 5.6 50.0 0.3 0.5 0.5 21.8 -10.3
pair RSI MACDhist neg-pos 8 14.0 5.6 50.0 0.3 0.5 0.5 21.8 -10.3
pair RSIhist RSmean pos-neg 22 38.6 5.3 50.0 0.3 0.7 0.3 27.2 -17.6
pair MRmean SLmean pos-pos 18 31.6 5.3 61.1 0.3 0.7 0.1 37.8 -34.5
pair SLmean MRmean pos-pos 18 31.6 5.3 61.1 0.3 0.7 0.1 37.8 -34.5
pair RSmean RSIhist pos-neg 22 38.6 5.3 50.0 0.3 0.7 0.3 27.2 -17.6
pair LWTI RSI pos-pos 19 33.3 5.2 57.9 0.3 0.7 0.1 42.1 -35.1
pair RSI LWTI pos-pos 19 33.3 5.2 57.9 0.3 0.7 0.1 42.1 -35.1
single RSI RSI pos-pos 19 33.3 5.2 57.9 0.3 0.7 0.1 42.1 -35.1
pair RSIhist SLmean neg-neg 33 57.9 4.9 51.5 0.3 0.5 0.1 31.9 -33.3
pair SLmean RSIhist neg-neg 33 57.9 4.9 51.5 0.3 0.5 0.1 31.9 -33.3
pair MRmean LWTI neg-neg 12 21.1 4.6 50.0 0.3 0.5 0.3 30.8 -16.3
pair LWTI MRmean neg-neg 12 21.1 4.6 50.0 0.3 0.5 0.3 30.8 -16.3
pair MACD SLmean neg-neg 31 54.4 3.7 48.4 0.3 0.5 0.1 29.4 -33.3
pair SLmean MACD neg-neg 31 54.4 3.7 48.4 0.3 0.5 0.1 29.4 -33.3
pair MACDhist RSIhist neg-neg 25 43.9 2.9 48.0 0.2 0.5 0.1 32.5 -33.3
pair RSIhist MACDhist neg-neg 25 43.9 2.9 48.0 0.2 0.5 0.1 32.5 -33.3
single LWTI LWTI pos-pos 43 75.4 2.9 53.5 0.2 0.5 0.1 34.9 -43.3
single SLmean SLmean neg-neg 35 61.4 2.9 48.6 0.2 0.4 0.1 31.0 -33.3
pair RSmean MRmean neg-pos 20 35.1 2.8 50.0 0.2 0.4 0.1 28.0 -30.3
pair MRmean RSmean neg-pos 20 35.1 2.8 50.0 0.2 0.4 0.1 28.0 -30.3
pair SLmean MACDhist neg-neg 26 45.6 1.7 46.2 0.2 0.4 0.1 31.9 -33.3
pair MACDhist SLmean neg-neg 26 45.6 1.7 46.2 0.2 0.4 0.1 31.9 -33.3
pair benchmark___benchmark_ benchmark-benchmark 57 100.0 1.5 52.6 0.2 0.4 0.0 33.5 -48.7
pair benchmark___benchmark_ benchmark-benchmark 57 100.0 1.5 52.6 0.2 0.4 0.0 33.5 -48.7
pair RSI LWTI neg-pos 24 42.1 1.1 50.0 0.2 0.3 0.0 29.0 -28.0
pair LWTI RSI neg-pos 24 42.1 1.1 50.0 0.2 0.3 0.0 29.0 -28.0
pair MACDhist MRmean neg-pos 6 10.5 0.9 66.7 0.2 0.2 0.1 31.2 -15.2
pair MRmean MACDhist neg-pos 6 10.5 0.9 66.7 0.2 0.2 0.1 31.2 -15.2
pair MRmean MACD neg-neg 34 59.6 0.3 50.0 0.2 0.3 0.0 31.0 -42.8
pair MACD MRmean neg-neg 34 59.6 0.3 50.0 0.2 0.3 0.0 31.0 -42.8
pair RSI MACD neg-neg 38 66.7 -0.4 50.0 0.1 0.2 -0.0 28.9 -34.8
single RSI RSI neg-neg 38 66.7 -0.4 50.0 0.1 0.2 -0.0 28.9 -34.8
pair MACD RSI neg-neg 38 66.7 -0.4 50.0 0.1 0.2 -0.0 28.9 -34.8
pair MRmean RSIhist neg-neg 29 50.9 -0.7 51.7 0.1 0.2 -0.0 32.0 -33.3
pair RSIhist MRmean neg-neg 29 50.9 -0.7 51.7 0.1 0.2 -0.0 32.0 -33.3
single SLmean SLmean pos-pos 22 38.6 -0.8 59.1 0.2 0.4 -0.0 37.9 -34.5
pair LWTI RSmean pos-neg 13 22.8 -1.0 53.8 0.1 0.2 -0.1 31.0 -16.3
pair RSmean LWTI pos-neg 13 22.8 -1.0 53.8 0.1 0.2 -0.1 31.0 -16.3
pair LWTI MACD neg-pos 29 50.9 -1.4 48.3 0.1 0.2 -0.0 31.6 -43.3
pair MACD LWTI neg-pos 29 50.9 -1.4 48.3 0.1 0.2 -0.0 31.6 -43.3
pair RSmean SLmean pos-pos 21 36.8 -1.6 57.1 0.1 0.4 -0.1 38.8 -34.5
pair SLmean RSmean pos-pos 21 36.8 -1.6 57.1 0.1 0.4 -0.1 38.8 -34.5
pair RSmean MACD pos-neg 28 49.1 -1.8 46.4 0.1 0.1 -0.1 29.0 -33.0
pair MACD RSmean pos-neg 28 49.1 -1.8 46.4 0.1 0.1 -0.1 29.0 -33.0
single MACD MACD neg-neg 43 75.4 -1.8 48.8 0.1 0.2 -0.0 30.7 -48.7
pair MACD RSmean neg-neg 15 26.3 -1.9 53.3 0.1 0.2 -0.1 34.7 -33.3
pair RSmean MACD neg-neg 15 26.3 -1.9 53.3 0.1 0.2 -0.1 34.7 -33.3
pair LWTI SLmean neg-pos 25 43.9 -1.9 48.0 0.1 0.2 -0.1 32.4 -33.3
pair MACDhist RSI neg-neg 30 52.6 -1.9 50.0 0.1 0.2 -0.1 30.9 -34.8
pair RSI MACDhist neg-neg 30 52.6 -1.9 50.0 0.1 0.2 -0.1 30.9 -34.8
pair SLmean LWTI neg-pos 25 43.9 -1.9 48.0 0.1 0.2 -0.1 32.4 -33.3
pair SLmean MRmean neg-neg 31 54.4 -2.5 48.4 0.1 0.1 -0.1 31.0 -33.3
pair MRmean SLmean neg-neg 31 54.4 -2.5 48.4 0.1 0.1 -0.1 31.0 -33.3
pair MACDhist RSmean neg-neg 14 24.6 -2.6 50.0 0.1 0.2 -0.1 36.1 -33.3
pair RSmean MACDhist neg-neg 14 24.6 -2.6 50.0 0.1 0.2 -0.1 36.1 -33.3
pair LWTI MACD neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
pair LWTI MACDhist neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
pair LWTI RSI neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
pair RSI LWTI neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
pair MACDhist LWTI neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
single LWTI LWTI neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
single RSIhist RSIhist neg-neg 36 63.2 -2.8 50.0 0.1 0.1 -0.1 31.8 -33.3
pair SLmean MACD neg-pos 4 7.0 -2.8 50.0 0.1 0.3 -0.2 47.6 -15.2
pair MACD SLmean neg-pos 4 7.0 -2.8 50.0 0.1 0.3 -0.2 47.6 -15.2
pair MACD LWTI neg-neg 14 24.6 -2.8 50.0 0.0 0.1 -0.2 29.9 -16.3
single MRmean MRmean neg-neg 35 61.4 -5.2 48.6 -0.0 -0.0 -0.1 31.9 -42.8
pair RSmean RSIhist neg-pos 2 3.5 -5.6 50.0 -0.6 0.0 0.0 8.8 0.0
pair RSIhist RSmean neg-pos 2 3.5 -5.6 50.0 -0.6 0.0 0.0 8.8 0.0
pair MRmean MACDhist neg-neg 29 50.9 -6.5 44.8 -0.1 -0.1 -0.1 32.6 -42.8
pair MACDhist MRmean neg-neg 29 50.9 -6.5 44.8 -0.1 -0.1 -0.1 32.6 -42.8
pair RSI RSmean pos-neg 25 43.9 -7.6 44.0 -0.2 -0.3 -0.2 26.8 -30.3
pair RSmean RSI pos-neg 25 43.9 -7.6 44.0 -0.2 -0.3 -0.2 26.8 -30.3
pair MRmean MACD pos-neg 9 15.8 -9.4 44.4 -0.2 -0.3 -0.5 31.3 -19.6
pair MACD MRmean pos-neg 9 15.8 -9.4 44.4 -0.2 -0.3 -0.5 31.3 -19.6
pair RSIhist LWTI neg-pos 27 47.4 -9.7 48.1 -0.2 -0.3 -0.3 32.6 -33.3
pair LWTI RSIhist neg-pos 27 47.4 -9.7 48.1 -0.2 -0.3 -0.3 32.6 -33.3
pair MRmean LWTI neg-pos 23 40.4 -10.0 47.8 -0.2 -0.3 -0.3 33.1 -33.3
pair LWTI MRmean neg-pos 23 40.4 -10.0 47.8 -0.2 -0.3 -0.3 33.1 -33.3
pair MRmean RSIhist pos-neg 7 12.3 -11.1 42.9 -0.2 -0.5 -0.7 33.0 -15.7
pair RSIhist MRmean pos-neg 7 12.3 -11.1 42.9 -0.2 -0.5 -0.7 33.0 -15.7
single MACDhist MACDhist neg-neg 33 57.9 -11.5 45.5 -0.2 -0.4 -0.2 31.6 -48.7
pair MACD MACDhist neg-neg 33 57.9 -11.5 45.5 -0.2 -0.4 -0.2 31.6 -48.7
pair MACDhist MACD neg-neg 33 57.9 -11.5 45.5 -0.2 -0.4 -0.2 31.6 -48.7
pair MACD RSI neg-pos 5 8.8 -12.2 40.0 -0.1 -0.1 -0.5 46.4 -25.0
pair RSI MACD neg-pos 5 8.8 -12.2 40.0 -0.1 -0.1 -0.5 46.4 -25.0
pair RSmean LWTI neg-pos 15 26.3 -12.5 53.3 -0.2 -0.3 -0.4 37.4 -33.3
pair LWTI RSmean neg-pos 15 26.3 -12.5 53.3 -0.2 -0.3 -0.4 37.4 -33.3
single RSmean RSmean neg-neg 16 28.1 -13.2 50.0 -0.2 -0.4 -0.4 36.2 -33.3
pair RSIhist RSmean neg-neg 14 24.6 -14.3 50.0 -0.2 -0.4 -0.4 38.8 -33.3
pair RSmean RSIhist neg-neg 14 24.6 -14.3 50.0 -0.2 -0.4 -0.4 38.8 -33.3
pair RSIhist MACDhist pos-neg 11 19.3 -14.5 54.5 -0.3 -0.6 -0.5 31.3 -26.6
pair MACDhist RSIhist pos-neg 11 19.3 -14.5 54.5 -0.3 -0.6 -0.5 31.3 -26.6
pair MACD SLmean pos-neg 12 21.1 -14.7 50.0 -0.3 -0.8 -0.5 34.9 -32.2
pair SLmean MACD pos-neg 12 21.1 -14.7 50.0 -0.3 -0.8 -0.5 34.9 -32.2
pair RSmean MRmean neg-neg 15 26.3 -15.0 46.7 -0.3 -0.5 -0.5 37.4 -33.3
pair MRmean RSmean neg-neg 15 26.3 -15.0 46.7 -0.3 -0.5 -0.5 37.4 -33.3
pair SLmean RSmean neg-neg 15 26.3 -15.0 46.7 -0.3 -0.5 -0.5 37.4 -33.3
pair RSmean SLmean neg-neg 15 26.3 -15.0 46.7 -0.3 -0.5 -0.5 37.4 -33.3
pair RSIhist MACD neg-pos 14 24.6 -16.4 42.9 -0.4 -0.8 -0.5 32.2 -35.4
pair MACD RSIhist neg-pos 14 24.6 -16.4 42.9 -0.4 -0.8 -0.5 32.2 -35.4
pair LWTI MACDhist neg-pos 19 33.3 -17.4 42.1 -0.4 -0.8 -0.5 33.5 -36.3
pair MACDhist LWTI neg-pos 19 33.3 -17.4 42.1 -0.4 -0.8 -0.5 33.5 -36.3
pair MACDhist RSmean pos-neg 19 33.3 -17.5 42.1 -0.5 -1.1 -0.5 28.7 -33.0
pair RSmean MACDhist pos-neg 19 33.3 -17.5 42.1 -0.5 -1.1 -0.5 28.7 -33.0
pair RSmean LWTI neg-neg 1 1.8 -24.0 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 1.8 -24.0 0.0 0.0 0.0 0.0 - 0.0
pair SLmean MRmean neg-pos 4 7.0 -24.2 50.0 -0.5 -3.8 -1.8 43.0 -13.4
pair MRmean SLmean neg-pos 4 7.0 -24.2 50.0 -0.5 -3.8 -1.8 43.0 -13.4
pair MRmean RSIhist neg-pos 6 10.5 -24.6 33.3 -0.7 -1.2 -1.8 33.4 -13.4
pair RSIhist MRmean neg-pos 6 10.5 -24.6 33.3 -0.7 -1.2 -1.8 33.4 -13.4
pair RSIhist SLmean neg-pos 2 3.5 -25.4 0.0 -40.5 -40.5 -9.9 0.7 -2.6
pair SLmean RSIhist neg-pos 2 3.5 -25.4 0.0 -40.5 -40.5 -9.9 0.7 -2.6
pair RSI RSIhist neg-pos 11 19.3 -30.4 36.4 -1.2 -1.9 -1.1 27.0 -27.2
pair RSIhist RSI neg-pos 11 19.3 -30.4 36.4 -1.2 -1.9 -1.1 27.0 -27.2
pair SLmean RSI neg-pos 6 10.5 -31.3 33.3 -0.7 -1.1 -1.8 43.8 -17.1
pair RSI SLmean neg-pos 6 10.5 -31.3 33.3 -0.7 -1.1 -1.8 43.8 -17.1
pair SLmean RSI pos-neg 9 15.8 -31.5 44.4 -1.1 -2.2 -1.3 30.1 -23.6
pair RSI SLmean pos-neg 9 15.8 -31.5 44.4 -1.1 -2.2 -1.3 30.1 -23.6
pair RSIhist MACD pos-neg 7 12.3 -32.2 42.9 -0.8 -2.5 -1.2 38.2 -26.6
pair MACD RSIhist pos-neg 7 12.3 -32.2 42.9 -0.8 -2.5 -1.2 38.2 -26.6
pair RSI MRmean pos-neg 6 10.5 -32.7 33.3 -2.0 -2.2 -1.7 18.4 -19.6
pair MRmean RSI pos-neg 6 10.5 -32.7 33.3 -2.0 -2.2 -1.7 18.4 -19.6
pair RSIhist LWTI pos-neg 5 8.8 -34.9 40.0 -1.4 -2.0 -3.0 28.5 -11.5
pair LWTI RSIhist pos-neg 5 8.8 -34.9 40.0 -1.4 -2.0 -3.0 28.5 -11.5
pair MRmean LWTI pos-neg 2 3.5 -37.3 50.0 -1.6 0.0 -4.0 28.2 -9.4
pair LWTI MRmean pos-neg 2 3.5 -37.3 50.0 -1.6 0.0 -4.0 28.2 -9.4
pair SLmean LWTI pos-neg 4 7.0 -37.4 50.0 -1.3 -4.2 -4.0 32.9 -9.4
pair LWTI SLmean pos-neg 4 7.0 -37.4 50.0 -1.3 -4.2 -4.0 32.9 -9.4
pair MACDhist MRmean pos-neg 4 7.0 -40.7 50.0 -2.1 -20.7 -4.3 23.3 -9.4
pair MRmean MACDhist pos-neg 4 7.0 -40.7 50.0 -2.1 -20.7 -4.3 23.3 -9.4
pair RSI RSIhist pos-neg 9 15.8 -41.7 33.3 -1.3 -2.2 -1.2 36.9 -33.3
pair RSIhist RSI pos-neg 9 15.8 -41.7 33.3 -1.3 -2.2 -1.2 36.9 -33.3
pair RSIhist MACDhist neg-pos 8 14.0 -44.6 37.5 -2.1 -3.7 -1.7 26.0 -25.8
pair MACDhist RSIhist neg-pos 8 14.0 -44.6 37.5 -2.1 -3.7 -1.7 26.0 -25.8
pair MACDhist SLmean pos-neg 7 12.3 -47.1 42.9 -2.1 -9.9 -2.0 27.8 -24.1
pair SLmean MACDhist pos-neg 7 12.3 -47.1 42.9 -2.1 -9.9 -2.0 27.8 -24.1
pair RSIhist SLmean pos-neg 3 5.3 -58.1 33.3 -4.0 -66.2 -3.0 20.7 -19.6
pair SLmean RSIhist pos-neg 3 5.3 -58.1 33.3 -4.0 -66.2 -3.0 20.7 -19.6
pair MACDhist RSmean neg-pos 2 3.5 -61.3 50.0 -2.2 0.0 -4.0 39.0 -15.2
pair RSmean MACDhist neg-pos 2 3.5 -61.3 50.0 -2.2 0.0 -4.0 39.0 -15.2
pair MACDhist RSI pos-neg 3 5.3 -68.4 0.0 -3.8 -3.8 -2.7 28.5 -25.0
pair RSI MACDhist pos-neg 3 5.3 -68.4 0.0 -3.8 -3.8 -2.7 28.5 -25.0
pair RSI RSmean neg-pos 3 5.3 -74.7 0.0 -4.0 -4.0 -2.6 31.5 -29.0
pair RSmean RSI neg-pos 3 5.3 -74.7 0.0 -4.0 -4.0 -2.6 31.5 -29.0
pair RSI MRmean neg-pos 3 5.3 -74.7 0.0 -4.0 -4.0 -2.6 31.5 -29.0
pair MRmean RSI neg-pos 3 5.3 -74.7 0.0 -4.0 -4.0 -2.6 31.5 -29.0
pair MACD MRmean neg-pos 1 1.8 -86.2 0.0 0.0 0.0 0.0 - 0.0
pair MRmean MACD neg-pos 1 1.8 -86.2 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACD neg-pos 1 1.8 -86.2 0.0 0.0 0.0 0.0 - 0.0
pair MACD RSmean neg-pos 1 1.8 -86.2 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for EART

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 61%
Sharpe 0.32 | Sortino 0.72 | Calmar 0.2
Vol 38% | MDD -34.5%
Months 18M (32%)
CAGR 56.2% | Win 50%
Sharpe 1.51 | Sortino 3.58 | Calmar 8.9
Vol 33% | MDD -6.3%
Months 4M (7%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR -24.2% | Win 50%
Sharpe -0.47 | Sortino -3.79 | Calmar -1.8
Vol 43% | MDD -13.4%
Months 4M (7%)
CAGR -2.5% | Win 48%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 31% | MDD -33.3%
Months 31M (54%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
SLmean
only
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.9% | Win 57%
Sharpe 0.50 | Sortino 1.03 | Calmar 0.5
Vol 37% | MDD -25.5%
Months 21M (37%)
CAGR 17.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (2%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR 2.8% | Win 50%
Sharpe 0.23 | Sortino 0.43 | Calmar 0.1
Vol 28% | MDD -30.3%
Months 20M (35%)
CAGR -15.0% | Win 47%
Sharpe -0.26 | Sortino -0.45 | Calmar -0.5
Vol 37% | MDD -33.3%
Months 15M (26%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
RSmean
only
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 31.9% | Win 69%
Sharpe 0.89 | Sortino 1.99 | Calmar 1.3
Vol 40% | MDD -25.5%
Months 13M (23%)
CAGR -9.4% | Win 44%
Sharpe -0.18 | Sortino -0.34 | Calmar -0.5
Vol 31% | MDD -19.6%
Months 9M (16%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR -86.2% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (2%)
CAGR 0.3% | Win 50%
Sharpe 0.16 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -42.8%
Months 34M (60%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
MACD
only
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 37.4% | Win 69%
Sharpe 0.99 | Sortino 2.56 | Calmar 1.5
Vol 40% | MDD -25.5%
Months 16M (28%)
CAGR -32.7% | Win 33%
Sharpe -2.03 | Sortino -2.23 | Calmar -1.7
Vol 18% | MDD -19.6%
Months 6M (10%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR -74.7% | Win 0%
Sharpe -4.01 | Sortino -4.01 | Calmar -2.6
Vol 32% | MDD -29.0%
Months 3M (5%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -34.8%
Months 32M (56%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
RSI
only
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 30.6% | Win 61%
Sharpe 0.89 | Sortino 1.62 | Calmar 1.2
Vol 38% | MDD -25.5%
Months 18M (32%)
CAGR -40.7% | Win 50%
Sharpe -2.10 | Sortino -20.66 | Calmar -4.3
Vol 23% | MDD -9.4%
Months 4M (7%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR 0.9% | Win 67%
Sharpe 0.16 | Sortino 0.17 | Calmar 0.1
Vol 31% | MDD -15.2%
Months 6M (10%)
CAGR -6.5% | Win 45%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.2
Vol 33% | MDD -42.8%
Months 29M (51%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
MACDhist
only
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 26.6% | Win 67%
Sharpe 0.80 | Sortino 1.52 | Calmar 1.4
Vol 38% | MDD -19.1%
Months 15M (26%)
CAGR -11.1% | Win 43%
Sharpe -0.21 | Sortino -0.45 | Calmar -0.7
Vol 33% | MDD -15.7%
Months 7M (12%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR -24.6% | Win 33%
Sharpe -0.69 | Sortino -1.16 | Calmar -1.8
Vol 33% | MDD -13.4%
Months 6M (10%)
CAGR -0.7% | Win 52%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.0
Vol 32% | MDD -33.3%
Months 29M (51%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 20.0% | Win 60%
Sharpe 0.67 | Sortino 1.28 | Calmar 0.8
Vol 37% | MDD -25.5%
Months 20M (35%)
CAGR -37.3% | Win 50%
Sharpe -1.55 | Sortino 0.00 | Calmar -4.0
Vol 28% | MDD -9.4%
Months 2M (4%)
CAGR 13.1% | Win 59%
Sharpe 0.51 | Sortino 1.03 | Calmar 0.5
Vol 36% | MDD -25.5%
Months 22M (39%)
MRmean
neg
CAGR -10.0% | Win 48%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.3
Vol 33% | MDD -33.3%
Months 23M (40%)
CAGR 4.6% | Win 50%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.3
Vol 31% | MDD -16.3%
Months 12M (21%)
CAGR -5.2% | Win 49%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -42.8%
Months 35M (61%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -1.6% | Win 57%
Sharpe 0.14 | Sortino 0.38 | Calmar -0.0
Vol 39% | MDD -34.5%
Months 21M (37%)
CAGR 17.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (2%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR 18.8% | Win 50%
Sharpe 0.79 | Sortino 1.81 | Calmar 1.1
Vol 26% | MDD -17.6%
Months 20M (35%)
CAGR -15.0% | Win 47%
Sharpe -0.26 | Sortino -0.45 | Calmar -0.5
Vol 37% | MDD -33.3%
Months 15M (26%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
RSmean
only
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 18.9% | Win 70%
Sharpe 0.61 | Sortino 1.55 | Calmar 0.5
Vol 42% | MDD -34.5%
Months 10M (18%)
CAGR -14.7% | Win 50%
Sharpe -0.29 | Sortino -0.77 | Calmar -0.5
Vol 35% | MDD -32.2%
Months 12M (21%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR -2.8% | Win 50%
Sharpe 0.12 | Sortino 0.26 | Calmar -0.2
Vol 48% | MDD -15.2%
Months 4M (7%)
CAGR 3.7% | Win 48%
Sharpe 0.26 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -33.3%
Months 31M (54%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
MACD
only
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 28.1% | Win 69%
Sharpe 0.79 | Sortino 2.32 | Calmar 0.8
Vol 42% | MDD -34.5%
Months 13M (23%)
CAGR -31.5% | Win 44%
Sharpe -1.10 | Sortino -2.23 | Calmar -1.3
Vol 30% | MDD -23.6%
Months 9M (16%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR -31.3% | Win 33%
Sharpe -0.66 | Sortino -1.08 | Calmar -1.8
Vol 44% | MDD -17.1%
Months 6M (10%)
CAGR 11.9% | Win 52%
Sharpe 0.53 | Sortino 1.10 | Calmar 0.5
Vol 28% | MDD -24.0%
Months 29M (51%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
RSI
only
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 33.0% | Win 67%
Sharpe 0.92 | Sortino 1.79 | Calmar 1.0
Vol 40% | MDD -34.5%
Months 15M (26%)
CAGR -47.1% | Win 43%
Sharpe -2.10 | Sortino -9.89 | Calmar -2.0
Vol 28% | MDD -24.1%
Months 7M (12%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR 6.6% | Win 56%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.4
Vol 30% | MDD -15.2%
Months 9M (16%)
CAGR 1.7% | Win 46%
Sharpe 0.20 | Sortino 0.38 | Calmar 0.1
Vol 32% | MDD -33.3%
Months 26M (46%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
MACDhist
only
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.6% | Win 63%
Sharpe 0.52 | Sortino 1.17 | Calmar 0.4
Vol 39% | MDD -32.2%
Months 19M (33%)
CAGR -58.1% | Win 33%
Sharpe -3.98 | Sortino -66.15 | Calmar -3.0
Vol 21% | MDD -19.6%
Months 3M (5%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR -25.4% | Win 0%
Sharpe -40.47 | Sortino -40.47 | Calmar -9.9
Vol 1% | MDD -2.6%
Months 2M (4%)
CAGR 4.9% | Win 52%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 32% | MDD -33.3%
Months 33M (58%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 61%
Sharpe 0.43 | Sortino 1.01 | Calmar 0.3
Vol 39% | MDD -34.5%
Months 18M (32%)
CAGR -37.4% | Win 50%
Sharpe -1.27 | Sortino -4.25 | Calmar -4.0
Vol 33% | MDD -9.4%
Months 4M (7%)
CAGR -0.8% | Win 59%
Sharpe 0.16 | Sortino 0.41 | Calmar -0.0
Vol 38% | MDD -34.5%
Months 22M (39%)
SLmean
neg
CAGR -1.9% | Win 48%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 25M (44%)
CAGR 15.9% | Win 50%
Sharpe 0.64 | Sortino 1.32 | Calmar 1.3
Vol 29% | MDD -12.1%
Months 10M (18%)
CAGR 2.9% | Win 49%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -33.3%
Months 35M (61%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 31.9% | Win 69%
Sharpe 0.89 | Sortino 1.99 | Calmar 1.3
Vol 40% | MDD -25.5%
Months 13M (23%)
CAGR -1.8% | Win 46%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 29% | MDD -33.0%
Months 28M (49%)
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
RSmean
neg
CAGR -86.2% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (2%)
CAGR -1.9% | Win 53%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.1
Vol 35% | MDD -33.3%
Months 15M (26%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
MACD
only
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 37.4% | Win 69%
Sharpe 0.99 | Sortino 2.56 | Calmar 1.5
Vol 40% | MDD -25.5%
Months 16M (28%)
CAGR -7.6% | Win 44%
Sharpe -0.17 | Sortino -0.30 | Calmar -0.3
Vol 27% | MDD -30.3%
Months 25M (44%)
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
RSmean
neg
CAGR -74.7% | Win 0%
Sharpe -4.01 | Sortino -4.01 | Calmar -2.6
Vol 32% | MDD -29.0%
Months 3M (5%)
CAGR 15.3% | Win 62%
Sharpe 0.58 | Sortino 1.20 | Calmar 0.6
Vol 33% | MDD -24.0%
Months 13M (23%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
RSI
only
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 35.9% | Win 64%
Sharpe 1.05 | Sortino 1.80 | Calmar 1.4
Vol 35% | MDD -25.5%
Months 22M (39%)
CAGR -17.5% | Win 42%
Sharpe -0.53 | Sortino -1.05 | Calmar -0.5
Vol 29% | MDD -33.0%
Months 19M (33%)
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
RSmean
neg
CAGR -61.3% | Win 50%
Sharpe -2.24 | Sortino 0.00 | Calmar -4.0
Vol 39% | MDD -15.2%
Months 2M (4%)
CAGR -2.6% | Win 50%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 36% | MDD -33.3%
Months 14M (25%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
MACDhist
only
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 58%
Sharpe 0.45 | Sortino 0.94 | Calmar 0.3
Vol 39% | MDD -34.8%
Months 19M (33%)
CAGR 5.3% | Win 50%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.3
Vol 27% | MDD -17.6%
Months 22M (39%)
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
RSmean
neg
CAGR -5.6% | Win 50%
Sharpe -0.62 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 2M (4%)
CAGR -14.3% | Win 50%
Sharpe -0.22 | Sortino -0.39 | Calmar -0.4
Vol 39% | MDD -33.3%
Months 14M (25%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 54%
Sharpe 0.50 | Sortino 0.96 | Calmar 0.4
Vol 34% | MDD -27.5%
Months 28M (49%)
CAGR -1.0% | Win 54%
Sharpe 0.11 | Sortino 0.22 | Calmar -0.1
Vol 31% | MDD -16.3%
Months 13M (23%)
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -33.0%
Months 41M (72%)
RSmean
neg
CAGR -12.5% | Win 53%
Sharpe -0.18 | Sortino -0.31 | Calmar -0.4
Vol 37% | MDD -33.3%
Months 15M (26%)
CAGR -24.0% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (2%)
CAGR -13.2% | Win 50%
Sharpe -0.22 | Sortino -0.37 | Calmar -0.4
Vol 36% | MDD -33.3%
Months 16M (28%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
-
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
MACD
neg
CAGR -12.2% | Win 40%
Sharpe -0.09 | Sortino -0.15 | Calmar -0.5
Vol 46% | MDD -25.0%
Months 5M (9%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
RSI
only
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
-
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
MACD
neg
CAGR 38.2% | Win 60%
Sharpe 1.34 | Sortino 2.47 | Calmar 3.7
Vol 27% | MDD -10.3%
Months 10M (18%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
MACDhist
only
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 86.0% | Win 86%
Sharpe 1.67 | Sortino 0.00 | Calmar 4.6
Vol 43% | MDD -18.6%
Months 7M (12%)
CAGR -32.2% | Win 43%
Sharpe -0.84 | Sortino -2.53 | Calmar -1.2
Vol 38% | MDD -26.6%
Months 7M (12%)
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
MACD
neg
CAGR -16.4% | Win 43%
Sharpe -0.40 | Sortino -0.81 | Calmar -0.5
Vol 32% | MDD -35.4%
Months 14M (25%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -33.3%
Months 29M (51%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
-
CAGR 12.3% | Win 64%
Sharpe 0.47 | Sortino 1.20 | Calmar 0.3
Vol 42% | MDD -35.1%
Months 14M (25%)
MACD
neg
CAGR -1.4% | Win 48%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 32% | MDD -43.3%
Months 29M (51%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
CAGR -1.8% | Win 49%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -48.7%
Months 43M (75%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 31.8% | Win 69%
Sharpe 0.87 | Sortino 2.18 | Calmar 0.9
Vol 42% | MDD -35.1%
Months 16M (28%)
CAGR -68.4% | Win 0%
Sharpe -3.75 | Sortino -3.75 | Calmar -2.7
Vol 28% | MDD -25.0%
Months 3M (5%)
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
RSI
neg
CAGR 5.6% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.5
Vol 22% | MDD -10.3%
Months 8M (14%)
CAGR -1.9% | Win 50%
Sharpe 0.09 | Sortino 0.18 | Calmar -0.1
Vol 31% | MDD -34.8%
Months 30M (53%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
MACDhist
only
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 79.1% | Win 80%
Sharpe 1.62 | Sortino 3.37 | Calmar 4.3
Vol 42% | MDD -18.6%
Months 10M (18%)
CAGR -41.7% | Win 33%
Sharpe -1.26 | Sortino -2.25 | Calmar -1.3
Vol 37% | MDD -33.3%
Months 9M (16%)
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
RSI
neg
CAGR -30.4% | Win 36%
Sharpe -1.20 | Sortino -1.93 | Calmar -1.1
Vol 27% | MDD -27.2%
Months 11M (19%)
CAGR 15.3% | Win 56%
Sharpe 0.63 | Sortino 1.29 | Calmar 0.6
Vol 29% | MDD -24.0%
Months 27M (47%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
-
CAGR 5.2% | Win 58%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.1
Vol 42% | MDD -35.1%
Months 19M (33%)
RSI
neg
CAGR 1.1% | Win 50%
Sharpe 0.17 | Sortino 0.34 | Calmar 0.0
Vol 29% | MDD -28.0%
Months 24M (42%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
CAGR -0.4% | Win 50%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -34.8%
Months 38M (67%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 65.8% | Win 69%
Sharpe 1.53 | Sortino 2.18 | Calmar 3.5
Vol 38% | MDD -18.6%
Months 13M (23%)
CAGR -14.5% | Win 55%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.5
Vol 31% | MDD -26.6%
Months 11M (19%)
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
MACDhist
neg
CAGR -44.6% | Win 38%
Sharpe -2.10 | Sortino -3.74 | Calmar -1.7
Vol 26% | MDD -25.8%
Months 8M (14%)
CAGR 2.9% | Win 48%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -33.3%
Months 25M (44%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
RSIhist
only
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
-
CAGR 22.4% | Win 62%
Sharpe 0.74 | Sortino 1.26 | Calmar 0.6
Vol 36% | MDD -35.1%
Months 24M (42%)
MACDhist
neg
CAGR -17.4% | Win 42%
Sharpe -0.41 | Sortino -0.77 | Calmar -0.5
Vol 34% | MDD -36.3%
Months 19M (33%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
CAGR -11.5% | Win 46%
Sharpe -0.23 | Sortino -0.44 | Calmar -0.2
Vol 32% | MDD -48.7%
Months 33M (58%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 28.3% | Win 62%
Sharpe 0.83 | Sortino 1.52 | Calmar 1.2
Vol 39% | MDD -22.7%
Months 16M (28%)
CAGR -34.9% | Win 40%
Sharpe -1.36 | Sortino -1.99 | Calmar -3.0
Vol 28% | MDD -11.5%
Months 5M (9%)
CAGR 9.2% | Win 57%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 37% | MDD -35.4%
Months 21M (37%)
RSIhist
neg
CAGR -9.7% | Win 48%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.3
Vol 33% | MDD -33.3%
Months 27M (47%)
CAGR 21.5% | Win 56%
Sharpe 0.78 | Sortino 1.60 | Calmar 1.8
Vol 30% | MDD -12.1%
Months 9M (16%)
CAGR -2.8% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 32% | MDD -33.3%
Months 36M (63%)
LWTI
only
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -43.3%
Months 43M (75%)
CAGR -2.8% | Win 50%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.2
Vol 30% | MDD -16.3%
Months 14M (25%)