EDV - Vanguard Extended Duration Treasury Index Fd ETF

Signal Pair Analysis

RSI-LWTI

Best Pair

39.8%

Best CAGR

64

Total Months

1.9%

Avg CAGR

EDV 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 EDV

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI LWTI pos-neg 20 9.0 39.8 60.0 1.5 6.7 6.1 24.2 -6.5
pair LWTI RSI pos-neg 20 9.0 39.8 60.0 1.5 6.7 6.1 24.2 -6.5
pair LWTI MACD pos-neg 29 13.0 28.9 55.2 1.3 5.0 4.6 21.0 -6.3
pair MACD LWTI pos-neg 29 13.0 28.9 55.2 1.3 5.0 4.6 21.0 -6.3
pair SLmean RSIhist pos-neg 16 7.2 28.2 62.5 1.6 4.8 3.7 16.7 -7.6
pair RSIhist SLmean pos-neg 16 7.2 28.2 62.5 1.6 4.8 3.7 16.7 -7.6
pair SLmean RSIhist neg-pos 14 6.3 22.9 64.3 0.7 0.9 1.0 37.2 -22.6
pair RSIhist SLmean neg-pos 14 6.3 22.9 64.3 0.7 0.9 1.0 37.2 -22.6
pair LWTI MACDhist neg-neg 56 25.1 17.2 57.1 0.9 1.8 0.8 20.4 -23.0
pair MACDhist LWTI neg-neg 56 25.1 17.2 57.1 0.9 1.8 0.8 20.4 -23.0
pair RSIhist LWTI neg-neg 36 16.1 16.8 55.6 0.8 1.5 0.7 20.9 -22.6
pair LWTI RSIhist neg-neg 36 16.1 16.8 55.6 0.8 1.5 0.7 20.9 -22.6
pair MRmean LWTI pos-neg 23 10.3 16.6 47.8 0.8 3.5 0.8 23.7 -20.1
pair LWTI MRmean pos-neg 23 10.3 16.6 47.8 0.8 3.5 0.8 23.7 -20.1
pair SLmean LWTI pos-neg 33 14.8 16.3 51.5 0.8 2.2 0.8 23.0 -20.7
pair LWTI SLmean pos-neg 33 14.8 16.3 51.5 0.8 2.2 0.8 23.0 -20.7
pair RSmean MACDhist neg-neg 16 7.2 15.6 50.0 0.6 0.9 0.7 35.6 -22.6
pair MACDhist RSmean neg-neg 16 7.2 15.6 50.0 0.6 0.9 0.7 35.6 -22.6
single LWTI LWTI neg-neg 71 31.8 14.8 53.5 0.8 1.6 0.6 21.4 -26.6
pair LWTI RSmean pos-neg 71 31.8 14.8 53.5 0.8 1.6 0.6 21.4 -26.6
pair RSmean LWTI pos-neg 71 31.8 14.8 53.5 0.8 1.6 0.6 21.4 -26.6
pair RSIhist MRmean neg-pos 19 8.5 14.5 57.9 0.6 0.8 0.6 34.5 -24.8
pair MRmean RSIhist neg-pos 19 8.5 14.5 57.9 0.6 0.8 0.6 34.5 -24.8
pair MRmean LWTI neg-neg 48 21.5 13.9 56.2 0.7 1.3 0.6 20.5 -23.0
pair LWTI MRmean neg-neg 48 21.5 13.9 56.2 0.7 1.3 0.6 20.5 -23.0
pair SLmean LWTI neg-neg 38 17.0 13.6 55.3 0.7 1.3 0.6 20.3 -22.6
pair LWTI SLmean neg-neg 38 17.0 13.6 55.3 0.7 1.3 0.6 20.3 -22.6
pair RSIhist LWTI pos-neg 35 15.7 12.8 51.4 0.6 1.8 0.7 22.3 -18.4
pair LWTI RSIhist pos-neg 35 15.7 12.8 51.4 0.6 1.8 0.7 22.3 -18.4
pair MRmean SLmean neg-pos 11 4.9 11.2 54.5 0.6 1.0 1.0 21.5 -10.7
pair SLmean MRmean neg-pos 11 4.9 11.2 54.5 0.6 1.0 1.0 21.5 -10.7
pair SLmean RSmean neg-neg 17 7.6 11.0 47.1 0.5 0.8 0.5 34.9 -24.7
pair RSmean SLmean neg-neg 17 7.6 11.0 47.1 0.5 0.8 0.5 34.9 -24.7
pair RSmean MRmean neg-neg 17 7.6 10.4 47.1 0.5 0.7 0.4 35.0 -25.3
pair MRmean RSmean neg-neg 17 7.6 10.4 47.1 0.5 0.7 0.4 35.0 -25.3
pair MACD MACDhist pos-pos 62 27.8 10.0 48.4 0.5 1.3 0.4 22.6 -26.1
pair MACDhist RSI pos-pos 62 27.8 10.0 48.4 0.5 1.3 0.4 22.6 -26.1
pair MACDhist MACD pos-pos 62 27.8 10.0 48.4 0.5 1.3 0.4 22.6 -26.1
pair RSI MACDhist pos-pos 62 27.8 10.0 48.4 0.5 1.3 0.4 22.6 -26.1
pair SLmean MACD pos-pos 79 35.4 9.2 45.6 0.5 1.3 0.5 21.6 -18.6
pair MACD SLmean pos-pos 79 35.4 9.2 45.6 0.5 1.3 0.5 21.6 -18.6
pair MACD RSIhist pos-pos 69 30.9 8.4 44.9 0.5 1.2 0.4 22.3 -22.4
pair RSIhist MACD pos-pos 69 30.9 8.4 44.9 0.5 1.2 0.4 22.3 -22.4
pair SLmean MACDhist neg-pos 32 14.3 7.6 56.2 0.5 0.8 0.5 16.5 -16.6
pair MACDhist SLmean neg-pos 32 14.3 7.6 56.2 0.5 0.8 0.5 16.5 -16.6
pair RSIhist RSI pos-pos 79 35.4 7.3 45.6 0.4 0.8 0.2 26.4 -36.6
pair RSI RSIhist pos-pos 79 35.4 7.3 45.6 0.4 0.8 0.2 26.4 -36.6
pair MRmean RSI neg-pos 23 10.3 7.2 47.8 0.4 0.6 0.2 31.5 -32.3
pair RSI MRmean neg-pos 23 10.3 7.2 47.8 0.4 0.6 0.2 31.5 -32.3
pair RSmean MACDhist pos-pos 90 40.4 6.9 50.0 0.4 0.9 0.3 20.5 -26.1
pair MACDhist RSmean pos-pos 90 40.4 6.9 50.0 0.4 0.9 0.3 20.5 -26.1
pair MACD RSIhist neg-neg 54 24.2 6.8 53.7 0.4 0.7 0.2 20.7 -40.1
pair RSIhist MACD neg-neg 54 24.2 6.8 53.7 0.4 0.7 0.2 20.7 -40.1
pair RSIhist MACDhist pos-neg 32 14.3 6.6 50.0 0.4 0.8 0.4 18.7 -16.2
pair MACDhist RSIhist pos-neg 32 14.3 6.6 50.0 0.4 0.8 0.4 18.7 -16.2
pair MRmean MACDhist neg-pos 25 11.2 6.5 56.0 0.5 0.8 0.5 15.1 -12.4
pair MACDhist MRmean neg-pos 25 11.2 6.5 56.0 0.5 0.8 0.5 15.1 -12.4
pair MRmean MACD neg-neg 67 30.0 6.4 53.7 0.4 0.6 0.1 25.7 -42.3
pair MACD MRmean neg-neg 67 30.0 6.4 53.7 0.4 0.6 0.1 25.7 -42.3
pair LWTI RSI neg-neg 51 22.9 6.3 51.0 0.4 0.8 0.2 20.0 -26.3
pair LWTI MACDhist pos-neg 15 6.7 6.3 40.0 0.3 0.9 0.3 25.7 -18.1
pair RSI LWTI neg-neg 51 22.9 6.3 51.0 0.4 0.8 0.2 20.0 -26.3
pair MACD SLmean neg-neg 62 27.8 6.3 53.2 0.4 0.6 0.1 25.4 -42.8
pair SLmean MACD neg-neg 62 27.8 6.3 53.2 0.4 0.6 0.1 25.4 -42.8
pair RSI SLmean pos-pos 85 38.1 6.3 45.9 0.4 0.9 0.3 21.9 -20.6
pair SLmean RSI pos-pos 85 38.1 6.3 45.9 0.4 0.9 0.3 21.9 -20.6
pair MACDhist LWTI pos-neg 15 6.7 6.3 40.0 0.3 0.9 0.3 25.7 -18.1
pair LWTI MACD neg-neg 42 18.8 6.0 52.4 0.4 0.8 0.2 21.7 -26.3
pair MACD LWTI neg-neg 42 18.8 6.0 52.4 0.4 0.8 0.2 21.7 -26.3
pair RSIhist RSI neg-neg 76 34.1 5.4 52.6 0.4 0.6 0.1 18.5 -45.3
pair RSI RSIhist neg-neg 76 34.1 5.4 52.6 0.4 0.6 0.1 18.5 -45.3
pair SLmean RSmean pos-pos 104 46.6 5.3 48.1 0.3 0.8 0.1 21.5 -34.9
pair RSmean SLmean pos-pos 104 46.6 5.3 48.1 0.3 0.8 0.1 21.5 -34.9
pair SLmean MACDhist pos-neg 45 20.2 5.1 51.1 0.3 0.6 0.3 20.2 -14.9
pair MACDhist SLmean pos-neg 45 20.2 5.1 51.1 0.3 0.6 0.3 20.2 -14.9
single MRmean MRmean neg-neg 111 49.8 4.9 52.3 0.3 0.5 0.1 21.7 -47.3
pair MACDhist MACD neg-neg 58 26.0 4.7 55.2 0.3 0.5 0.1 27.7 -42.0
pair MACD MACDhist neg-neg 58 26.0 4.7 55.2 0.3 0.5 0.1 27.7 -42.0
pair RSI MACDhist neg-neg 70 31.4 4.6 54.3 0.3 0.5 0.1 19.4 -47.1
pair MACDhist RSI neg-neg 70 31.4 4.6 54.3 0.3 0.5 0.1 19.4 -47.1
pair MACD RSI pos-pos 104 46.6 4.5 44.2 0.3 0.7 0.1 21.0 -29.5
pair RSI MACD pos-pos 104 46.6 4.5 44.2 0.3 0.7 0.1 21.0 -29.5
pair MACDhist MRmean neg-neg 86 38.6 4.5 51.2 0.3 0.5 0.1 23.4 -44.7
pair MRmean MACDhist neg-neg 86 38.6 4.5 51.2 0.3 0.5 0.1 23.4 -44.7
pair MACD MRmean pos-pos 88 39.5 4.4 43.2 0.3 0.7 0.1 21.8 -38.0
pair MRmean MACD pos-pos 88 39.5 4.4 43.2 0.3 0.7 0.1 21.8 -38.0
pair MRmean SLmean neg-neg 100 44.8 4.3 52.0 0.3 0.5 0.1 21.8 -45.5
pair SLmean MRmean neg-neg 100 44.8 4.3 52.0 0.3 0.5 0.1 21.8 -45.5
pair RSI MRmean neg-neg 88 39.5 4.3 53.4 0.3 0.5 0.1 18.5 -47.3
pair MRmean RSI neg-neg 88 39.5 4.3 53.4 0.3 0.5 0.1 18.5 -47.3
pair MRmean RSmean neg-pos 94 42.2 4.0 53.2 0.3 0.5 0.1 18.6 -47.3
pair RSmean MRmean neg-pos 94 42.2 4.0 53.2 0.3 0.5 0.1 18.6 -47.3
pair MACD RSmean pos-pos 128 57.4 3.9 45.3 0.3 0.6 0.1 19.7 -26.7
pair RSmean MACD pos-pos 128 57.4 3.9 45.3 0.3 0.6 0.1 19.7 -26.7
pair RSmean RSI pos-pos 111 49.8 3.9 45.9 0.3 0.6 0.1 21.2 -27.8
pair RSI RSmean pos-pos 111 49.8 3.9 45.9 0.3 0.6 0.1 21.2 -27.8
single RSI RSI pos-pos 120 53.8 3.8 45.0 0.3 0.5 0.1 23.8 -38.6
single MACD MACD pos-pos 132 59.2 3.8 45.5 0.3 0.6 0.1 19.5 -26.7
single MACDhist MACDhist pos-pos 95 42.6 3.5 47.4 0.3 0.6 0.1 20.5 -28.9
pair RSI SLmean neg-neg 80 35.9 3.3 52.5 0.3 0.4 0.1 17.9 -43.8
pair SLmean RSI neg-neg 80 35.9 3.3 52.5 0.3 0.4 0.1 17.9 -43.8
pair MRmean RSIhist neg-neg 92 41.3 3.1 51.1 0.3 0.4 0.1 18.2 -45.3
pair RSIhist MRmean neg-neg 92 41.3 3.1 51.1 0.3 0.4 0.1 18.2 -45.3
pair RSI MRmean pos-pos 97 43.5 3.0 44.3 0.2 0.5 0.1 21.8 -37.9
pair MACDhist LWTI pos-pos 80 35.9 3.0 48.8 0.2 0.5 0.1 19.5 -26.1
pair RSmean RSIhist pos-neg 103 46.2 3.0 50.5 0.2 0.4 0.1 18.7 -49.0
pair LWTI MACDhist pos-pos 80 35.9 3.0 48.8 0.2 0.5 0.1 19.5 -26.1
pair RSIhist RSmean pos-neg 103 46.2 3.0 50.5 0.2 0.4 0.1 18.7 -49.0
pair MRmean RSI pos-pos 97 43.5 3.0 44.3 0.2 0.5 0.1 21.8 -37.9
single SLmean SLmean pos-pos 108 48.4 2.9 46.3 0.2 0.5 0.1 21.4 -44.8
pair MRmean MACD neg-pos 44 19.7 2.7 50.0 0.3 0.4 0.2 13.9 -16.0
pair MACD MRmean neg-pos 44 19.7 2.7 50.0 0.3 0.4 0.2 13.9 -16.0
pair RSI RSmean neg-pos 9 4.0 2.7 33.3 0.3 0.5 0.1 47.6 -28.9
single RSmean RSmean pos-pos 202 90.6 2.7 49.0 0.2 0.4 0.1 20.0 -59.1
pair RSmean RSI neg-pos 9 4.0 2.7 33.3 0.3 0.5 0.1 47.6 -28.9
single RSIhist RSIhist neg-neg 117 52.5 2.5 49.6 0.2 0.4 0.1 18.2 -49.0
pair RSmean RSIhist pos-pos 99 44.4 2.5 47.5 0.2 0.5 0.1 21.3 -30.6
pair RSIhist RSmean pos-pos 99 44.4 2.5 47.5 0.2 0.5 0.1 21.3 -30.6
pair MRmean MACDhist pos-pos 70 31.4 2.4 44.3 0.2 0.5 0.1 22.2 -38.8
pair MACDhist MRmean pos-pos 70 31.4 2.4 44.3 0.2 0.5 0.1 22.2 -38.8
pair benchmark___benchmark_ benchmark-benchmark 223 100.0 2.2 48.0 0.2 0.4 0.0 21.4 -59.1
pair benchmark___benchmark_ benchmark-benchmark 223 100.0 2.2 48.0 0.2 0.4 0.0 21.4 -59.1
pair SLmean MRmean pos-pos 97 43.5 2.0 45.4 0.2 0.5 0.0 21.5 -45.2
pair MRmean SLmean pos-pos 97 43.5 2.0 45.4 0.2 0.5 0.0 21.5 -45.2
pair MACDhist RSIhist neg-pos 43 19.3 1.9 46.5 0.2 0.4 0.1 28.6 -36.6
single RSIhist RSIhist pos-pos 106 47.5 1.9 46.2 0.2 0.4 0.1 24.4 -41.1
pair RSIhist MACDhist pos-pos 63 28.3 1.9 46.0 0.2 0.5 0.1 21.4 -38.4
pair MACDhist RSIhist pos-pos 63 28.3 1.9 46.0 0.2 0.5 0.1 21.4 -38.4
pair RSIhist MACDhist neg-pos 43 19.3 1.9 46.5 0.2 0.4 0.1 28.6 -36.6
single SLmean SLmean neg-neg 115 51.6 1.6 49.6 0.2 0.3 0.0 21.4 -51.5
pair MRmean RSmean pos-pos 108 48.4 1.6 45.4 0.2 0.4 0.0 21.2 -39.2
pair RSmean MRmean pos-pos 108 48.4 1.6 45.4 0.2 0.4 0.0 21.2 -39.2
pair SLmean MACDhist pos-pos 63 28.3 1.5 42.9 0.2 0.4 0.0 22.3 -46.1
pair MACDhist SLmean pos-pos 63 28.3 1.5 42.9 0.2 0.4 0.0 22.3 -46.1
pair MACD RSI pos-neg 28 12.6 1.3 50.0 0.2 0.2 0.1 12.5 -10.6
pair RSI MACD pos-neg 28 12.6 1.3 50.0 0.2 0.2 0.1 12.5 -10.6
pair RSmean RSI pos-neg 91 40.8 1.3 52.7 0.2 0.3 0.0 18.5 -49.5
pair RSI RSmean pos-neg 91 40.8 1.3 52.7 0.2 0.3 0.0 18.5 -49.5
single MACDhist MACDhist neg-neg 128 57.4 1.3 48.4 0.2 0.3 0.0 22.1 -52.7
pair MACDhist RSIhist neg-neg 85 38.1 1.0 49.4 0.1 0.2 0.0 18.1 -44.3
pair RSIhist MACDhist neg-neg 85 38.1 1.0 49.4 0.1 0.2 0.0 18.1 -44.3
pair RSmean MACD neg-pos 4 1.8 0.8 50.0 0.1 0.5 0.3 7.8 -2.2
pair MACD RSmean neg-pos 4 1.8 0.8 50.0 0.1 0.5 0.3 7.8 -2.2
pair MACD RSmean pos-neg 74 33.2 0.7 55.4 0.1 0.2 0.0 20.5 -44.7
pair RSmean MACD pos-neg 74 33.2 0.7 55.4 0.1 0.2 0.0 20.5 -44.7
single RSI RSI neg-neg 103 46.2 0.5 51.5 0.1 0.2 0.0 18.2 -49.5
pair RSIhist MRmean pos-neg 25 11.2 0.5 44.0 0.1 0.2 0.0 18.7 -28.0
pair MRmean RSIhist pos-neg 25 11.2 0.5 44.0 0.1 0.2 0.0 18.7 -28.0
pair MACD RSI neg-neg 75 33.6 0.2 52.0 0.1 0.2 0.0 20.0 -44.7
pair RSI MACD neg-neg 75 33.6 0.2 52.0 0.1 0.2 0.0 20.0 -44.7
pair SLmean RSmean neg-pos 98 43.9 0.0 50.0 0.1 0.1 0.0 18.3 -50.5
pair RSmean SLmean neg-pos 98 43.9 0.0 50.0 0.1 0.1 0.0 18.3 -50.5
single MACD MACD neg-neg 91 40.8 0.0 51.6 0.1 0.2 0.0 24.0 -44.7
single MRmean MRmean pos-pos 112 50.2 -0.4 43.8 0.1 0.2 -0.0 21.1 -48.4
pair MACDhist SLmean neg-neg 83 37.2 -0.6 47.0 0.1 0.1 -0.0 23.1 -48.1
pair SLmean MACDhist neg-neg 83 37.2 -0.6 47.0 0.1 0.1 -0.0 23.1 -48.1
pair RSIhist MRmean pos-pos 87 39.0 -0.6 43.7 0.1 0.2 -0.0 21.8 -42.9
pair MRmean RSIhist pos-pos 87 39.0 -0.6 43.7 0.1 0.2 -0.0 21.8 -42.9
pair RSmean MACDhist pos-neg 112 50.2 -0.6 48.2 0.1 0.1 -0.0 19.5 -52.7
pair MACDhist RSmean pos-neg 112 50.2 -0.6 48.2 0.1 0.1 -0.0 19.5 -52.7
pair RSmean RSIhist neg-neg 14 6.3 -0.7 42.9 0.0 0.0 -0.1 14.3 -8.5
pair RSIhist RSmean neg-neg 14 6.3 -0.7 42.9 0.0 0.0 -0.1 14.3 -8.5
pair MACD RSI neg-pos 16 7.2 -0.8 50.0 0.2 0.3 -0.0 38.3 -34.3
pair RSI MACD neg-pos 16 7.2 -0.8 50.0 0.2 0.3 -0.0 38.3 -34.3
pair RSIhist SLmean pos-pos 92 41.3 -0.9 43.5 0.1 0.1 -0.0 22.0 -43.9
pair SLmean RSIhist pos-pos 92 41.3 -0.9 43.5 0.1 0.1 -0.0 22.0 -43.9
pair RSIhist MACD pos-neg 63 28.3 -1.0 46.0 0.0 0.0 -0.0 15.8 -25.4
pair MACD RSIhist pos-neg 63 28.3 -1.0 46.0 0.0 0.0 -0.0 15.8 -25.4
pair SLmean RSIhist neg-neg 101 45.3 -1.0 47.5 0.0 0.1 -0.0 18.3 -49.4
pair RSIhist SLmean neg-neg 101 45.3 -1.0 47.5 0.0 0.1 -0.0 18.3 -49.4
pair MACDhist MACD pos-neg 70 31.4 -1.4 42.9 -0.0 -0.0 -0.1 16.2 -24.7
pair MACD MACDhist pos-neg 70 31.4 -1.4 42.9 -0.0 -0.0 -0.1 16.2 -24.7
pair MRmean LWTI neg-pos 63 28.3 -1.5 49.2 0.0 0.1 -0.0 22.6 -49.1
pair LWTI MRmean neg-pos 63 28.3 -1.5 49.2 0.0 0.1 -0.0 22.6 -49.1
pair RSI SLmean neg-pos 35 15.7 -2.1 42.9 0.1 0.1 -0.1 28.2 -34.6
pair SLmean RSI neg-pos 35 15.7 -2.1 42.9 0.1 0.1 -0.1 28.2 -34.6
single RSmean RSmean neg-neg 21 9.4 -2.2 38.1 0.1 0.1 -0.1 32.5 -37.6
pair LWTI RSI pos-pos 100 44.8 -2.2 42.0 0.0 0.0 -0.0 23.4 -50.7
pair RSmean LWTI neg-pos 21 9.4 -2.2 38.1 0.1 0.1 -0.1 32.5 -37.6
pair LWTI RSmean neg-pos 21 9.4 -2.2 38.1 0.1 0.1 -0.1 32.5 -37.6
pair RSI LWTI pos-pos 100 44.8 -2.2 42.0 0.0 0.0 -0.0 23.4 -50.7
pair MACD LWTI pos-pos 103 46.2 -2.3 42.7 -0.0 -0.1 -0.1 18.7 -34.1
pair LWTI MACD pos-pos 103 46.2 -2.3 42.7 -0.0 -0.1 -0.1 18.7 -34.1
pair SLmean LWTI pos-pos 75 33.6 -2.4 44.0 -0.0 -0.0 -0.1 20.6 -33.7
pair LWTI SLmean pos-pos 75 33.6 -2.4 44.0 -0.0 -0.0 -0.1 20.6 -33.7
pair MACDhist RSI pos-neg 58 26.0 -2.5 41.4 0.0 0.0 -0.1 25.1 -38.4
pair RSI MACDhist pos-neg 58 26.0 -2.5 41.4 0.0 0.0 -0.1 25.1 -38.4
pair RSI RSIhist pos-neg 41 18.4 -2.6 43.9 -0.1 -0.1 -0.1 17.7 -20.6
pair RSIhist RSI pos-neg 41 18.4 -2.6 43.9 -0.1 -0.1 -0.1 17.7 -20.6
pair MACD RSmean neg-neg 17 7.6 -2.9 35.3 0.1 0.2 -0.1 36.1 -37.7
pair RSmean MACD neg-neg 17 7.6 -2.9 35.3 0.1 0.2 -0.1 36.1 -37.7
pair RSIhist LWTI pos-pos 71 31.8 -3.0 43.7 0.0 0.0 -0.1 25.5 -50.5
pair LWTI RSIhist pos-pos 71 31.8 -3.0 43.7 0.0 0.0 -0.1 25.5 -50.5
single LWTI LWTI pos-pos 152 68.2 -3.1 45.4 -0.1 -0.1 -0.1 21.2 -57.5
pair LWTI RSmean pos-pos 131 58.7 -3.3 46.6 -0.1 -0.1 -0.1 19.0 -53.4
pair RSmean LWTI pos-pos 131 58.7 -3.3 46.6 -0.1 -0.1 -0.1 19.0 -53.4
pair RSIhist LWTI neg-pos 81 36.3 -3.3 46.9 -0.1 -0.2 -0.1 16.7 -50.9
pair LWTI RSIhist neg-pos 81 36.3 -3.3 46.9 -0.1 -0.2 -0.1 16.7 -50.9
pair SLmean MACD neg-pos 53 23.8 -3.7 45.3 -0.2 -0.3 -0.2 15.6 -21.7
pair MACD SLmean neg-pos 53 23.8 -3.7 45.3 -0.2 -0.3 -0.2 15.6 -21.7
pair SLmean LWTI neg-pos 77 34.5 -3.8 46.8 -0.1 -0.1 -0.1 21.9 -58.4
pair LWTI SLmean neg-pos 77 34.5 -3.8 46.8 -0.1 -0.1 -0.1 21.9 -58.4
pair LWTI MRmean pos-pos 89 39.9 -4.3 42.7 -0.1 -0.2 -0.1 20.3 -39.1
pair MRmean LWTI pos-pos 89 39.9 -4.3 42.7 -0.1 -0.2 -0.1 20.3 -39.1
pair MRmean MACDhist pos-neg 42 18.8 -4.8 42.9 -0.2 -0.3 -0.2 19.3 -23.0
pair MACDhist MRmean pos-neg 42 18.8 -4.8 42.9 -0.2 -0.3 -0.2 19.3 -23.0
pair LWTI RSI neg-pos 52 23.3 -4.9 51.9 -0.2 -0.3 -0.1 16.2 -42.0
pair RSI LWTI neg-pos 52 23.3 -4.9 51.9 -0.2 -0.3 -0.1 16.2 -42.0
pair MACD LWTI neg-pos 49 22.0 -4.9 51.0 -0.1 -0.1 -0.1 25.9 -48.1
pair LWTI MACD neg-pos 49 22.0 -4.9 51.0 -0.1 -0.1 -0.1 25.9 -48.1
pair RSIhist RSmean neg-pos 7 3.1 -5.0 28.6 0.1 0.3 -0.1 55.4 -34.8
pair RSmean RSIhist neg-pos 7 3.1 -5.0 28.6 0.1 0.3 -0.1 55.4 -34.8
pair RSI RSmean neg-neg 12 5.4 -5.7 41.7 -0.3 -0.7 -0.4 16.1 -15.6
pair RSmean RSI neg-neg 12 5.4 -5.7 41.7 -0.3 -0.7 -0.4 16.1 -15.6
pair MACDhist MACD neg-pos 33 14.8 -7.8 45.5 -0.5 -0.7 -0.4 15.4 -18.0
pair MACD MACDhist neg-pos 33 14.8 -7.8 45.5 -0.5 -0.7 -0.4 15.4 -18.0
pair RSI MACDhist neg-pos 33 14.8 -7.8 45.5 -0.5 -0.7 -0.4 15.4 -19.4
pair MACDhist RSI neg-pos 33 14.8 -7.8 45.5 -0.5 -0.7 -0.4 15.4 -19.4
pair RSI SLmean pos-neg 23 10.3 -8.6 47.8 -0.4 -0.7 -0.2 19.3 -34.5
pair SLmean RSI pos-neg 23 10.3 -8.6 47.8 -0.4 -0.7 -0.2 19.3 -34.5
pair RSIhist MACD neg-pos 37 16.6 -9.1 48.6 -0.2 -0.3 -0.2 28.1 -49.9
pair MACD RSIhist neg-pos 37 16.6 -9.1 48.6 -0.2 -0.3 -0.2 28.1 -49.9
pair LWTI MACDhist neg-pos 72 32.3 -9.5 41.7 -0.3 -0.5 -0.1 22.9 -64.4
pair MACDhist LWTI neg-pos 72 32.3 -9.5 41.7 -0.3 -0.5 -0.1 22.9 -64.4
pair RSIhist RSI neg-pos 27 12.1 -12.2 48.1 -0.7 -1.2 -0.4 16.9 -29.7
pair RSI RSIhist neg-pos 27 12.1 -12.2 48.1 -0.7 -1.2 -0.4 16.9 -29.7
pair SLmean MACD pos-neg 29 13.0 -12.2 48.3 -0.5 -1.0 -0.3 20.4 -38.4
pair MACD SLmean pos-neg 29 13.0 -12.2 48.3 -0.5 -1.0 -0.3 20.4 -38.4
pair SLmean MRmean pos-neg 15 6.7 -14.6 33.3 -0.8 -1.3 -0.6 18.4 -24.4
pair MRmean SLmean pos-neg 15 6.7 -14.6 33.3 -0.8 -1.3 -0.6 18.4 -24.4
pair MACD MRmean pos-neg 24 10.8 -15.9 45.8 -0.9 -1.4 -0.5 17.7 -33.7
pair MRmean MACD pos-neg 24 10.8 -15.9 45.8 -0.9 -1.4 -0.5 17.7 -33.7
pair MRmean RSI pos-neg 15 6.7 -19.5 40.0 -1.4 -2.2 -0.7 15.0 -29.5
pair RSI MRmean pos-neg 15 6.7 -19.5 40.0 -1.4 -2.2 -0.7 15.0 -29.5
pair MRmean RSmean pos-neg 4 1.8 -41.5 0.0 -5.3 -5.3 -2.7 9.9 -15.1
pair RSmean MRmean pos-neg 4 1.8 -41.5 0.0 -5.3 -5.3 -2.7 9.9 -15.1
pair MACDhist RSmean neg-pos 5 2.2 -42.7 0.0 -6.5 -6.5 -2.3 8.4 -18.7
pair RSmean MACDhist neg-pos 5 2.2 -42.7 0.0 -6.5 -6.5 -2.3 8.4 -18.7
pair SLmean RSmean pos-neg 4 1.8 -42.9 0.0 -6.0 -6.0 -2.8 9.0 -15.1
pair RSmean SLmean pos-neg 4 1.8 -42.9 0.0 -6.0 -6.0 -2.8 9.0 -15.1

All Contingency Tables for EDV

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 2.0% | Win 45%
Sharpe 0.20 | Sortino 0.45 | Calmar 0.0
Vol 22% | MDD -45.2%
Months 97M (44%)
CAGR -14.6% | Win 33%
Sharpe -0.77 | Sortino -1.27 | Calmar -0.6
Vol 18% | MDD -24.4%
Months 15M (7%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 11.2% | Win 55%
Sharpe 0.59 | Sortino 1.00 | Calmar 1.0
Vol 22% | MDD -10.7%
Months 11M (5%)
CAGR 4.3% | Win 52%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 22% | MDD -45.5%
Months 100M (45%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
SLmean
only
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 1.6% | Win 45%
Sharpe 0.18 | Sortino 0.39 | Calmar 0.0
Vol 21% | MDD -39.2%
Months 108M (48%)
CAGR -41.5% | Win 0%
Sharpe -5.28 | Sortino -5.28 | Calmar -2.7
Vol 10% | MDD -15.1%
Months 4M (2%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 4.0% | Win 53%
Sharpe 0.30 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -47.3%
Months 94M (42%)
CAGR 10.4% | Win 47%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.4
Vol 35% | MDD -25.3%
Months 17M (8%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
RSmean
only
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.4% | Win 43%
Sharpe 0.30 | Sortino 0.73 | Calmar 0.1
Vol 22% | MDD -38.0%
Months 88M (40%)
CAGR -15.9% | Win 46%
Sharpe -0.88 | Sortino -1.40 | Calmar -0.5
Vol 18% | MDD -33.7%
Months 24M (11%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 2.7% | Win 50%
Sharpe 0.26 | Sortino 0.43 | Calmar 0.2
Vol 14% | MDD -16.0%
Months 44M (20%)
CAGR 6.4% | Win 54%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -42.3%
Months 67M (30%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
MACD
only
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.0% | Win 44%
Sharpe 0.24 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -37.9%
Months 97M (44%)
CAGR -19.5% | Win 40%
Sharpe -1.36 | Sortino -2.19 | Calmar -0.7
Vol 15% | MDD -29.5%
Months 15M (7%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 7.2% | Win 48%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.2
Vol 32% | MDD -32.3%
Months 23M (10%)
CAGR 4.3% | Win 53%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 18% | MDD -47.3%
Months 88M (40%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
RSI
only
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.4% | Win 44%
Sharpe 0.21 | Sortino 0.51 | Calmar 0.1
Vol 22% | MDD -38.8%
Months 70M (31%)
CAGR -4.8% | Win 43%
Sharpe -0.16 | Sortino -0.31 | Calmar -0.2
Vol 19% | MDD -23.0%
Months 42M (19%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 6.5% | Win 56%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.5
Vol 15% | MDD -12.4%
Months 25M (11%)
CAGR 4.5% | Win 51%
Sharpe 0.30 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.7%
Months 86M (39%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
MACDhist
only
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -0.6% | Win 44%
Sharpe 0.08 | Sortino 0.17 | Calmar -0.0
Vol 22% | MDD -42.9%
Months 87M (39%)
CAGR 0.5% | Win 44%
Sharpe 0.12 | Sortino 0.22 | Calmar 0.0
Vol 19% | MDD -28.0%
Months 25M (11%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR 14.5% | Win 58%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.6
Vol 34% | MDD -24.8%
Months 19M (8%)
CAGR 3.1% | Win 51%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -45.3%
Months 92M (41%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -4.3% | Win 43%
Sharpe -0.12 | Sortino -0.24 | Calmar -0.1
Vol 20% | MDD -39.1%
Months 89M (40%)
CAGR 16.6% | Win 48%
Sharpe 0.76 | Sortino 3.46 | Calmar 0.8
Vol 24% | MDD -20.1%
Months 23M (10%)
CAGR -0.4% | Win 44%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -48.4%
Months 112M (50%)
MRmean
neg
CAGR -1.5% | Win 49%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.0
Vol 23% | MDD -49.1%
Months 63M (28%)
CAGR 13.9% | Win 56%
Sharpe 0.74 | Sortino 1.29 | Calmar 0.6
Vol 20% | MDD -23.0%
Months 48M (22%)
CAGR 4.9% | Win 52%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -47.3%
Months 111M (50%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 5.3% | Win 48%
Sharpe 0.34 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -34.9%
Months 104M (47%)
CAGR -42.9% | Win 0%
Sharpe -6.04 | Sortino -6.04 | Calmar -2.8
Vol 9% | MDD -15.1%
Months 4M (2%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR 0.0% | Win 50%
Sharpe 0.09 | Sortino 0.15 | Calmar 0.0
Vol 18% | MDD -50.5%
Months 98M (44%)
CAGR 11.0% | Win 47%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.4
Vol 35% | MDD -24.7%
Months 17M (8%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
RSmean
only
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.2% | Win 46%
Sharpe 0.51 | Sortino 1.31 | Calmar 0.5
Vol 22% | MDD -18.6%
Months 79M (35%)
CAGR -12.2% | Win 48%
Sharpe -0.54 | Sortino -1.01 | Calmar -0.3
Vol 20% | MDD -38.4%
Months 29M (13%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR -3.7% | Win 45%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.2
Vol 16% | MDD -21.7%
Months 53M (24%)
CAGR 6.3% | Win 53%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 25% | MDD -42.8%
Months 62M (28%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
MACD
only
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.3% | Win 46%
Sharpe 0.38 | Sortino 0.90 | Calmar 0.3
Vol 22% | MDD -20.6%
Months 85M (38%)
CAGR -8.6% | Win 48%
Sharpe -0.37 | Sortino -0.73 | Calmar -0.3
Vol 19% | MDD -34.5%
Months 23M (10%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR -2.1% | Win 43%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 28% | MDD -34.6%
Months 35M (16%)
CAGR 3.3% | Win 52%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 80M (36%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
RSI
only
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 1.5% | Win 43%
Sharpe 0.17 | Sortino 0.43 | Calmar 0.0
Vol 22% | MDD -46.1%
Months 63M (28%)
CAGR 5.1% | Win 51%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.3
Vol 20% | MDD -14.9%
Months 45M (20%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR 7.6% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.5
Vol 16% | MDD -16.6%
Months 32M (14%)
CAGR -0.6% | Win 47%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 23% | MDD -48.1%
Months 83M (37%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
MACDhist
only
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -0.9% | Win 44%
Sharpe 0.06 | Sortino 0.14 | Calmar -0.0
Vol 22% | MDD -43.9%
Months 92M (41%)
CAGR 28.2% | Win 62%
Sharpe 1.58 | Sortino 4.75 | Calmar 3.7
Vol 17% | MDD -7.6%
Months 16M (7%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR 22.9% | Win 64%
Sharpe 0.73 | Sortino 0.95 | Calmar 1.0
Vol 37% | MDD -22.6%
Months 14M (6%)
CAGR -1.0% | Win 48%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.0
Vol 18% | MDD -49.4%
Months 101M (45%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -2.4% | Win 44%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 21% | MDD -33.7%
Months 75M (34%)
CAGR 16.3% | Win 52%
Sharpe 0.76 | Sortino 2.16 | Calmar 0.8
Vol 23% | MDD -20.7%
Months 33M (15%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -44.8%
Months 108M (48%)
SLmean
neg
CAGR -3.8% | Win 47%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 22% | MDD -58.4%
Months 77M (34%)
CAGR 13.6% | Win 55%
Sharpe 0.73 | Sortino 1.27 | Calmar 0.6
Vol 20% | MDD -22.6%
Months 38M (17%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -51.5%
Months 115M (52%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 45%
Sharpe 0.29 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 128M (57%)
CAGR 0.7% | Win 55%
Sharpe 0.14 | Sortino 0.22 | Calmar 0.0
Vol 20% | MDD -44.7%
Months 74M (33%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
RSmean
neg
CAGR 0.8% | Win 50%
Sharpe 0.13 | Sortino 0.53 | Calmar 0.4
Vol 8% | MDD -2.2%
Months 4M (2%)
CAGR -2.9% | Win 35%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 36% | MDD -37.7%
Months 17M (8%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
MACD
only
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 46%
Sharpe 0.28 | Sortino 0.62 | Calmar 0.1
Vol 21% | MDD -27.8%
Months 111M (50%)
CAGR 1.3% | Win 53%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 91M (41%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
RSmean
neg
CAGR 2.7% | Win 33%
Sharpe 0.26 | Sortino 0.47 | Calmar 0.1
Vol 48% | MDD -28.9%
Months 9M (4%)
CAGR -5.7% | Win 42%
Sharpe -0.29 | Sortino -0.71 | Calmar -0.4
Vol 16% | MDD -15.6%
Months 12M (5%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
RSI
only
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 50%
Sharpe 0.43 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -26.1%
Months 90M (40%)
CAGR -0.6% | Win 48%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -52.7%
Months 112M (50%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
RSmean
neg
CAGR -42.7% | Win 0%
Sharpe -6.45 | Sortino -6.45 | Calmar -2.3
Vol 8% | MDD -18.7%
Months 5M (2%)
CAGR 15.6% | Win 50%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.7
Vol 36% | MDD -22.6%
Months 16M (7%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
MACDhist
only
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 48%
Sharpe 0.22 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -30.6%
Months 99M (44%)
CAGR 3.0% | Win 50%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -49.0%
Months 103M (46%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
RSmean
neg
CAGR -5.0% | Win 29%
Sharpe 0.14 | Sortino 0.28 | Calmar -0.1
Vol 55% | MDD -34.8%
Months 7M (3%)
CAGR -0.7% | Win 43%
Sharpe 0.01 | Sortino 0.04 | Calmar -0.1
Vol 14% | MDD -8.5%
Months 14M (6%)
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -3.3% | Win 47%
Sharpe -0.08 | Sortino -0.15 | Calmar -0.1
Vol 19% | MDD -53.4%
Months 131M (59%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 20% | MDD -59.1%
Months 202M (91%)
RSmean
neg
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
-
CAGR -2.2% | Win 38%
Sharpe 0.08 | Sortino 0.15 | Calmar -0.1
Vol 32% | MDD -37.6%
Months 21M (9%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 44%
Sharpe 0.31 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -29.5%
Months 104M (47%)
CAGR 1.3% | Win 50%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 12% | MDD -10.6%
Months 28M (13%)
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
MACD
neg
CAGR -0.8% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -34.3%
Months 16M (7%)
CAGR 0.2% | Win 52%
Sharpe 0.11 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -44.7%
Months 75M (34%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
RSI
only
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 48%
Sharpe 0.53 | Sortino 1.33 | Calmar 0.4
Vol 23% | MDD -26.1%
Months 62M (28%)
CAGR -1.4% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 16% | MDD -24.7%
Months 70M (31%)
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
MACD
neg
CAGR -7.8% | Win 46%
Sharpe -0.45 | Sortino -0.69 | Calmar -0.4
Vol 15% | MDD -18.0%
Months 33M (15%)
CAGR 4.7% | Win 55%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 28% | MDD -42.0%
Months 58M (26%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
MACDhist
only
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.4% | Win 45%
Sharpe 0.47 | Sortino 1.22 | Calmar 0.4
Vol 22% | MDD -22.4%
Months 69M (31%)
CAGR -1.0% | Win 46%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.0
Vol 16% | MDD -25.4%
Months 63M (28%)
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
MACD
neg
CAGR -9.1% | Win 49%
Sharpe -0.20 | Sortino -0.34 | Calmar -0.2
Vol 28% | MDD -49.9%
Months 37M (17%)
CAGR 6.8% | Win 54%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 21% | MDD -40.1%
Months 54M (24%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -2.3% | Win 43%
Sharpe -0.03 | Sortino -0.07 | Calmar -0.1
Vol 19% | MDD -34.1%
Months 103M (46%)
CAGR 28.9% | Win 55%
Sharpe 1.32 | Sortino 5.01 | Calmar 4.6
Vol 21% | MDD -6.3%
Months 29M (13%)
CAGR 3.8% | Win 46%
Sharpe 0.29 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -26.7%
Months 132M (59%)
MACD
neg
CAGR -4.9% | Win 51%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -48.1%
Months 49M (22%)
CAGR 6.0% | Win 52%
Sharpe 0.37 | Sortino 0.75 | Calmar 0.2
Vol 22% | MDD -26.3%
Months 42M (19%)
CAGR 0.0% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 24% | MDD -44.7%
Months 91M (41%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.0% | Win 48%
Sharpe 0.53 | Sortino 1.34 | Calmar 0.4
Vol 23% | MDD -26.1%
Months 62M (28%)
CAGR -2.5% | Win 41%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 25% | MDD -38.4%
Months 58M (26%)
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
RSI
neg
CAGR -7.8% | Win 46%
Sharpe -0.45 | Sortino -0.69 | Calmar -0.4
Vol 15% | MDD -19.4%
Months 33M (15%)
CAGR 4.6% | Win 54%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 19% | MDD -47.1%
Months 70M (31%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
MACDhist
only
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.3% | Win 46%
Sharpe 0.39 | Sortino 0.78 | Calmar 0.2
Vol 26% | MDD -36.6%
Months 79M (35%)
CAGR -2.6% | Win 44%
Sharpe -0.06 | Sortino -0.12 | Calmar -0.1
Vol 18% | MDD -20.6%
Months 41M (18%)
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
RSI
neg
CAGR -12.2% | Win 48%
Sharpe -0.68 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -29.7%
Months 27M (12%)
CAGR 5.4% | Win 53%
Sharpe 0.38 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -45.3%
Months 76M (34%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -2.2% | Win 42%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 23% | MDD -50.7%
Months 100M (45%)
CAGR 39.8% | Win 60%
Sharpe 1.51 | Sortino 6.73 | Calmar 6.1
Vol 24% | MDD -6.5%
Months 20M (9%)
CAGR 3.8% | Win 45%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -38.6%
Months 120M (54%)
RSI
neg
CAGR -4.9% | Win 52%
Sharpe -0.23 | Sortino -0.32 | Calmar -0.1
Vol 16% | MDD -42.0%
Months 52M (23%)
CAGR 6.3% | Win 51%
Sharpe 0.40 | Sortino 0.75 | Calmar 0.2
Vol 20% | MDD -26.3%
Months 51M (23%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -49.5%
Months 103M (46%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 1.9% | Win 46%
Sharpe 0.19 | Sortino 0.46 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 63M (28%)
CAGR 6.6% | Win 50%
Sharpe 0.43 | Sortino 0.80 | Calmar 0.4
Vol 19% | MDD -16.2%
Months 32M (14%)
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
MACDhist
neg
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.36 | Calmar 0.1
Vol 29% | MDD -36.6%
Months 43M (19%)
CAGR 1.0% | Win 49%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.0
Vol 18% | MDD -44.3%
Months 85M (38%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
RSIhist
only
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.0% | Win 49%
Sharpe 0.24 | Sortino 0.52 | Calmar 0.1
Vol 20% | MDD -26.1%
Months 80M (36%)
CAGR 6.3% | Win 40%
Sharpe 0.35 | Sortino 0.92 | Calmar 0.3
Vol 26% | MDD -18.1%
Months 15M (7%)
CAGR 3.5% | Win 47%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -28.9%
Months 95M (43%)
MACDhist
neg
CAGR -9.5% | Win 42%
Sharpe -0.32 | Sortino -0.51 | Calmar -0.1
Vol 23% | MDD -64.4%
Months 72M (32%)
CAGR 17.2% | Win 57%
Sharpe 0.88 | Sortino 1.75 | Calmar 0.7
Vol 20% | MDD -23.0%
Months 56M (25%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -52.7%
Months 128M (57%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -3.0% | Win 44%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 26% | MDD -50.5%
Months 71M (32%)
CAGR 12.8% | Win 51%
Sharpe 0.64 | Sortino 1.81 | Calmar 0.7
Vol 22% | MDD -18.4%
Months 35M (16%)
CAGR 1.9% | Win 46%
Sharpe 0.20 | Sortino 0.39 | Calmar 0.0
Vol 24% | MDD -41.1%
Months 106M (48%)
RSIhist
neg
CAGR -3.3% | Win 47%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.1
Vol 17% | MDD -50.9%
Months 81M (36%)
CAGR 16.8% | Win 56%
Sharpe 0.85 | Sortino 1.48 | Calmar 0.7
Vol 21% | MDD -22.6%
Months 36M (16%)
CAGR 2.5% | Win 50%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 117M (52%)
LWTI
only
CAGR -3.1% | Win 45%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 21% | MDD -57.5%
Months 152M (68%)
CAGR 14.8% | Win 54%
Sharpe 0.75 | Sortino 1.60 | Calmar 0.6
Vol 21% | MDD -26.6%
Months 71M (32%)