EXI - iShares Global Industrials ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

131.5%

Best CAGR

67

Total Months

13.2%

Avg CAGR

EXI 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 EXI

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 MACDhist neg-pos 1 0.4 131.5 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 131.5 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSIhist neg-pos 7 3.0 55.4 71.4 2.8 5.6 13.2 16.6 -4.2
pair RSIhist RSI neg-pos 7 3.0 55.4 71.4 2.8 5.6 13.2 16.6 -4.2
pair MRmean MACDhist neg-pos 5 2.1 51.8 60.0 1.4 2.2 4.0 35.1 -12.9
pair MACDhist MRmean neg-pos 5 2.1 51.8 60.0 1.4 2.2 4.0 35.1 -12.9
pair MACDhist LWTI pos-neg 4 1.7 48.5 50.0 1.4 11.1 7.2 31.4 -6.7
pair LWTI MACDhist pos-neg 4 1.7 48.5 50.0 1.4 11.1 7.2 31.4 -6.7
pair SLmean RSI pos-neg 11 4.7 48.0 72.7 2.4 5.6 9.9 17.4 -4.8
pair RSI SLmean pos-neg 11 4.7 48.0 72.7 2.4 5.6 9.9 17.4 -4.8
pair MRmean SLmean neg-pos 10 4.3 47.4 80.0 2.5 4.1 9.8 16.1 -4.8
pair SLmean MRmean neg-pos 10 4.3 47.4 80.0 2.5 4.1 9.8 16.1 -4.8
pair MACDhist RSI neg-pos 6 2.6 40.5 66.7 1.2 2.3 3.7 31.3 -11.0
pair RSI MACDhist neg-pos 6 2.6 40.5 66.7 1.2 2.3 3.7 31.3 -11.0
pair RSmean RSI neg-neg 1 0.4 39.2 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 0.4 39.2 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-neg 14 6.0 37.9 92.9 4.5 0.0 2211.5 7.3 -0.0
pair RSmean RSIhist neg-neg 14 6.0 37.9 92.9 4.5 0.0 2211.5 7.3 -0.0
pair SLmean LWTI pos-neg 19 8.2 36.4 57.9 1.7 6.3 7.5 19.8 -4.8
pair LWTI SLmean pos-neg 19 8.2 36.4 57.9 1.7 6.3 7.5 19.8 -4.8
pair SLmean RSmean neg-neg 14 6.0 36.3 85.7 4.1 12.0 33.2 7.8 -1.1
pair RSmean SLmean neg-neg 14 6.0 36.3 85.7 4.1 12.0 33.2 7.8 -1.1
pair RSmean MRmean neg-neg 15 6.4 33.8 86.7 3.8 11.3 30.9 7.8 -1.1
pair MRmean RSmean neg-neg 15 6.4 33.8 86.7 3.8 11.3 30.9 7.8 -1.1
pair RSI LWTI neg-pos 20 8.6 32.1 75.0 1.1 1.4 1.8 27.7 -17.9
pair LWTI RSI neg-pos 20 8.6 32.1 75.0 1.1 1.4 1.8 27.7 -17.9
pair MACD RSmean neg-neg 12 5.2 29.7 83.3 4.0 10.0 27.1 6.6 -1.1
pair RSmean MACD neg-neg 12 5.2 29.7 83.3 4.0 10.0 27.1 6.6 -1.1
pair RSI MRmean pos-neg 5 2.1 27.6 60.0 1.6 3.1 6.5 15.5 -4.2
pair MRmean RSI pos-neg 5 2.1 27.6 60.0 1.6 3.1 6.5 15.5 -4.2
pair LWTI RSmean neg-pos 19 8.2 27.4 73.7 2.5 7.2 8.5 9.8 -3.2
pair RSmean LWTI neg-pos 19 8.2 27.4 73.7 2.5 7.2 8.5 9.8 -3.2
single RSmean RSmean neg-neg 19 8.2 27.4 73.7 2.5 7.2 8.5 9.8 -3.2
pair RSIhist LWTI pos-neg 18 7.7 27.2 55.6 1.3 3.1 2.6 20.4 -10.3
pair LWTI RSIhist pos-neg 18 7.7 27.2 55.6 1.3 3.1 2.6 20.4 -10.3
pair RSmean RSI neg-pos 18 7.7 26.7 72.2 2.4 7.0 8.3 10.1 -3.2
pair RSI RSmean neg-pos 18 7.7 26.7 72.2 2.4 7.0 8.3 10.1 -3.2
pair MRmean LWTI pos-neg 15 6.4 26.2 53.3 1.3 5.7 6.2 18.6 -4.2
pair LWTI MRmean pos-neg 15 6.4 26.2 53.3 1.3 5.7 6.2 18.6 -4.2
pair SLmean MACDhist neg-pos 19 8.2 24.3 63.2 1.1 1.9 1.3 22.0 -18.6
pair MACDhist SLmean neg-pos 19 8.2 24.3 63.2 1.1 1.9 1.3 22.0 -18.6
pair RSIhist MACD neg-pos 16 6.9 24.0 62.5 1.2 1.8 1.5 20.1 -16.2
pair MACD RSIhist neg-pos 16 6.9 24.0 62.5 1.2 1.8 1.5 20.1 -16.2
pair MACD LWTI pos-neg 19 8.2 24.0 57.9 1.0 2.0 1.6 23.5 -14.6
pair LWTI MACD pos-neg 19 8.2 24.0 57.9 1.0 2.0 1.6 23.5 -14.6
pair RSmean MACD neg-pos 7 3.0 23.5 57.1 1.5 6.5 7.3 14.4 -3.2
pair MACD RSmean neg-pos 7 3.0 23.5 57.1 1.5 6.5 7.3 14.4 -3.2
pair MACDhist RSmean neg-neg 18 7.7 23.2 72.2 2.4 6.2 7.2 9.1 -3.2
pair RSmean MACDhist neg-neg 18 7.7 23.2 72.2 2.4 6.2 7.2 9.1 -3.2
pair MACD RSI pos-neg 21 9.0 23.0 66.7 0.8 1.2 1.2 29.7 -19.0
pair RSI MACD pos-neg 21 9.0 23.0 66.7 0.8 1.2 1.2 29.7 -19.0
pair MRmean LWTI neg-pos 49 21.0 22.4 73.5 1.1 1.2 1.2 20.6 -17.9
pair LWTI MRmean neg-pos 49 21.0 22.4 73.5 1.1 1.2 1.2 20.6 -17.9
pair MACDhist MACD neg-pos 13 5.6 19.6 61.5 0.9 1.9 1.4 23.9 -14.4
pair MACD MACDhist neg-pos 13 5.6 19.6 61.5 0.9 1.9 1.4 23.9 -14.4
pair RSIhist MRmean neg-pos 4 1.7 19.4 50.0 0.7 1.2 2.4 27.9 -8.2
pair MRmean RSIhist neg-pos 4 1.7 19.4 50.0 0.7 1.2 2.4 27.9 -8.2
pair RSI LWTI pos-neg 12 5.2 17.2 50.0 0.8 1.9 1.7 21.9 -10.3
pair LWTI RSI pos-neg 12 5.2 17.2 50.0 0.8 1.9 1.7 21.9 -10.3
pair SLmean LWTI neg-pos 62 26.6 15.3 67.7 0.8 1.1 0.8 20.5 -18.6
pair LWTI SLmean neg-pos 62 26.6 15.3 67.7 0.8 1.1 0.8 20.5 -18.6
pair MACDhist RSIhist pos-pos 102 43.8 15.0 70.6 1.1 1.8 0.9 14.0 -16.2
pair RSIhist MACDhist pos-pos 102 43.8 15.0 70.6 1.1 1.8 0.9 14.0 -16.2
pair MACD SLmean pos-neg 21 9.0 14.8 66.7 0.8 1.2 0.9 20.4 -16.2
pair RSIhist RSmean pos-pos 125 53.6 14.8 68.8 1.1 1.7 0.9 14.1 -16.2
pair RSmean RSIhist pos-pos 125 53.6 14.8 68.8 1.1 1.7 0.9 14.1 -16.2
pair SLmean MACD pos-neg 21 9.0 14.8 66.7 0.8 1.2 0.9 20.4 -16.2
pair SLmean RSIhist pos-pos 126 54.1 14.5 67.5 1.1 1.8 0.8 13.7 -18.6
pair RSIhist SLmean pos-pos 126 54.1 14.5 67.5 1.1 1.8 0.8 13.7 -18.6
single RSIhist RSIhist pos-pos 130 55.8 14.3 66.9 1.0 1.7 0.8 14.1 -18.6
pair MRmean RSIhist pos-pos 126 54.1 14.2 67.5 1.0 1.7 0.8 13.6 -18.6
pair RSIhist MRmean pos-pos 126 54.1 14.2 67.5 1.0 1.7 0.8 13.6 -18.6
single MACDhist MACDhist pos-pos 125 53.6 13.9 67.2 0.9 1.6 0.5 15.5 -26.0
single RSI RSI neg-neg 44 18.9 13.8 63.6 0.6 0.8 0.3 31.0 -50.5
pair RSI MRmean neg-pos 31 13.3 13.7 71.0 0.9 1.1 1.2 15.0 -11.2
pair MRmean RSI neg-pos 31 13.3 13.7 71.0 0.9 1.1 1.2 15.0 -11.2
pair MACD MRmean neg-pos 38 16.3 13.4 63.2 0.6 0.9 0.5 25.4 -25.7
pair MRmean MACD neg-pos 38 16.3 13.4 63.2 0.6 0.9 0.5 25.4 -25.7
pair RSmean RSI pos-neg 43 18.5 13.3 62.8 0.6 0.8 0.3 31.4 -50.5
pair RSI RSmean pos-neg 43 18.5 13.3 62.8 0.6 0.8 0.3 31.4 -50.5
pair MACDhist RSmean pos-pos 124 53.2 13.3 66.9 0.9 1.5 0.5 15.4 -26.0
pair RSmean MACDhist pos-pos 124 53.2 13.3 66.9 0.9 1.5 0.5 15.4 -26.0
pair MACDhist MACD pos-pos 112 48.1 13.3 67.9 0.9 1.6 0.5 14.3 -26.0
pair MACD MACDhist pos-pos 112 48.1 13.3 67.9 0.9 1.6 0.5 14.3 -26.0
pair SLmean MACD neg-pos 49 21.0 13.1 65.3 0.7 0.9 0.7 23.3 -17.9
pair MACD SLmean neg-pos 49 21.0 13.1 65.3 0.7 0.9 0.7 23.3 -17.9
pair RSIhist MACD pos-pos 114 48.9 13.0 67.5 1.0 1.7 0.6 13.1 -21.2
pair MACD RSIhist pos-pos 114 48.9 13.0 67.5 1.0 1.7 0.6 13.1 -21.2
pair MACDhist LWTI pos-pos 121 51.9 12.9 67.8 0.9 1.4 0.5 14.8 -26.0
pair LWTI MACDhist pos-pos 121 51.9 12.9 67.8 0.9 1.4 0.5 14.8 -26.0
single MRmean MRmean neg-neg 70 30.0 12.9 67.1 0.6 0.8 0.2 26.1 -50.5
pair RSI MACDhist pos-pos 119 51.1 12.7 67.2 0.9 1.6 0.6 14.4 -19.9
pair MACDhist RSI pos-pos 119 51.1 12.7 67.2 0.9 1.6 0.6 14.4 -19.9
pair MRmean RSIhist neg-neg 66 28.3 12.5 68.2 0.6 0.7 0.2 26.3 -50.5
pair MRmean MACDhist pos-pos 120 51.5 12.5 67.5 0.9 1.6 0.6 14.3 -19.9
pair MACDhist MRmean pos-pos 120 51.5 12.5 67.5 0.9 1.6 0.6 14.3 -19.9
pair RSIhist MRmean neg-neg 66 28.3 12.5 68.2 0.6 0.7 0.2 26.3 -50.5
pair RSIhist LWTI pos-pos 112 48.1 12.4 68.8 1.0 1.4 0.7 12.8 -18.8
pair LWTI RSIhist pos-pos 112 48.1 12.4 68.8 1.0 1.4 0.7 12.8 -18.8
pair RSIhist RSI pos-pos 123 52.8 12.3 66.7 0.9 1.4 0.7 13.8 -18.6
pair RSI RSIhist pos-pos 123 52.8 12.3 66.7 0.9 1.4 0.7 13.8 -18.6
pair MRmean MACD neg-neg 32 13.7 12.2 71.9 0.6 0.6 0.2 27.4 -50.5
pair RSI MRmean neg-neg 39 16.7 12.2 64.1 0.5 0.8 0.2 32.6 -50.5
pair MRmean RSI neg-neg 39 16.7 12.2 64.1 0.5 0.8 0.2 32.6 -50.5
pair MACD MRmean neg-neg 32 13.7 12.2 71.9 0.6 0.6 0.2 27.4 -50.5
pair LWTI MACD neg-pos 34 14.6 12.1 70.6 0.7 1.0 0.7 17.7 -17.6
pair MACDhist SLmean pos-pos 106 45.5 12.1 67.9 0.9 1.5 0.6 14.1 -21.0
pair MACD LWTI neg-pos 34 14.6 12.1 70.6 0.7 1.0 0.7 17.7 -17.6
pair SLmean MACDhist pos-pos 106 45.5 12.1 67.9 0.9 1.5 0.6 14.1 -21.0
pair RSIhist MACDhist neg-pos 28 12.0 11.7 53.6 0.8 1.4 1.1 14.4 -10.8
pair MACDhist RSIhist neg-pos 28 12.0 11.7 53.6 0.8 1.4 1.1 14.4 -10.8
pair SLmean RSmean pos-pos 149 63.9 10.7 64.4 0.8 1.2 0.6 14.4 -19.2
pair RSmean SLmean pos-pos 149 63.9 10.7 64.4 0.8 1.2 0.6 14.4 -19.2
single MACD MACD pos-pos 182 78.1 10.7 63.7 0.7 1.0 0.4 16.5 -27.0
single SLmean SLmean pos-pos 154 66.1 10.5 63.6 0.8 1.2 0.5 14.3 -21.8
pair MACDhist MRmean neg-neg 65 27.9 10.3 67.7 0.5 0.6 0.2 25.5 -50.5
pair MRmean MACDhist neg-neg 65 27.9 10.3 67.7 0.5 0.6 0.2 25.5 -50.5
pair RSmean MACD pos-pos 175 75.1 10.2 64.0 0.7 0.9 0.3 16.6 -29.6
pair MACD RSmean pos-pos 175 75.1 10.2 64.0 0.7 0.9 0.3 16.6 -29.6
pair RSI MACDhist neg-neg 38 16.3 10.1 63.2 0.5 0.6 0.2 31.3 -50.5
pair MACDhist RSI neg-neg 38 16.3 10.1 63.2 0.5 0.6 0.2 31.3 -50.5
pair MRmean MACD pos-pos 144 61.8 10.0 63.9 0.8 1.2 0.3 13.3 -28.8
pair MACD MRmean pos-pos 144 61.8 10.0 63.9 0.8 1.2 0.3 13.3 -28.8
pair SLmean MACD pos-pos 133 57.1 9.8 63.2 0.8 1.3 0.4 13.2 -24.4
pair MACD SLmean pos-pos 133 57.1 9.8 63.2 0.8 1.3 0.4 13.2 -24.4
single LWTI LWTI pos-pos 197 84.5 9.7 65.5 0.7 0.9 0.4 15.8 -27.0
pair SLmean RSIhist neg-pos 4 1.7 9.5 50.0 0.5 0.7 1.2 25.5 -8.2
pair RSIhist SLmean neg-pos 4 1.7 9.5 50.0 0.5 0.7 1.2 25.5 -8.2
pair MACD RSI pos-pos 161 69.1 9.2 63.4 0.7 1.1 0.4 13.9 -22.7
pair RSI MACD pos-pos 161 69.1 9.2 63.4 0.7 1.1 0.4 13.9 -22.7
pair LWTI MACD pos-pos 163 70.0 9.2 64.4 0.7 0.9 0.3 15.5 -27.0
pair MACD LWTI pos-pos 163 70.0 9.2 64.4 0.7 0.9 0.3 15.5 -27.0
pair benchmark___benchmark_ benchmark-benchmark 233 100.0 9.1 63.5 0.6 0.7 0.1 18.7 -59.2
pair benchmark___benchmark_ benchmark-benchmark 233 100.0 9.1 63.5 0.6 0.7 0.1 18.7 -59.2
pair MACDhist RSIhist pos-neg 23 9.9 9.0 52.2 0.5 1.0 0.4 21.0 -20.6
pair RSIhist MACDhist pos-neg 23 9.9 9.0 52.2 0.5 1.0 0.4 21.0 -20.6
pair MRmean SLmean pos-pos 144 61.8 8.3 62.5 0.6 1.0 0.3 14.1 -25.3
pair SLmean MRmean pos-pos 144 61.8 8.3 62.5 0.6 1.0 0.3 14.1 -25.3
pair RSI SLmean neg-pos 46 19.7 8.1 65.2 0.6 0.8 0.3 16.2 -25.7
pair SLmean RSI neg-pos 46 19.7 8.1 65.2 0.6 0.8 0.3 16.2 -25.7
single RSI RSI pos-pos 189 81.1 8.0 63.5 0.6 0.9 0.3 14.4 -29.3
pair RSI SLmean pos-pos 143 61.4 8.0 62.9 0.6 0.9 0.4 13.9 -21.8
pair LWTI RSmean pos-pos 178 76.4 8.0 64.6 0.6 0.8 0.3 16.3 -29.6
pair RSmean LWTI pos-pos 178 76.4 8.0 64.6 0.6 0.8 0.3 16.3 -29.6
pair SLmean RSI pos-pos 143 61.4 8.0 62.9 0.6 0.9 0.4 13.9 -21.8
pair SLmean MRmean neg-neg 60 25.8 7.9 65.0 0.4 0.5 0.2 27.4 -50.5
pair MRmean SLmean neg-neg 60 25.8 7.9 65.0 0.4 0.5 0.2 27.4 -50.5
pair MRmean RSmean neg-pos 55 23.6 7.7 61.8 0.4 0.6 0.1 29.2 -50.5
pair RSmean MRmean neg-pos 55 23.6 7.7 61.8 0.4 0.6 0.1 29.2 -50.5
single RSmean RSmean pos-pos 214 91.8 7.6 62.6 0.5 0.6 0.1 19.2 -59.2
pair MRmean RSmean pos-pos 159 68.2 7.6 62.9 0.6 0.9 0.3 14.4 -24.4
pair RSmean MRmean pos-pos 159 68.2 7.6 62.9 0.6 0.9 0.3 14.4 -24.4
pair RSI LWTI pos-pos 177 76.0 7.5 64.4 0.6 0.8 0.3 13.9 -26.1
pair LWTI RSI pos-pos 177 76.0 7.5 64.4 0.6 0.8 0.3 13.9 -26.1
single MRmean MRmean pos-pos 163 70.0 7.5 62.0 0.6 0.9 0.3 14.4 -26.5
pair RSIhist RSI neg-neg 37 15.9 7.3 62.2 0.4 0.6 0.1 33.0 -50.5
pair SLmean LWTI pos-pos 135 57.9 7.3 64.4 0.6 0.8 0.3 13.2 -21.8
pair LWTI SLmean pos-pos 135 57.9 7.3 64.4 0.6 0.8 0.3 13.2 -21.8
pair RSI RSIhist neg-neg 37 15.9 7.3 62.2 0.4 0.6 0.1 33.0 -50.5
pair MACDhist SLmean pos-neg 48 20.6 7.0 54.2 0.5 0.7 0.5 15.0 -15.7
pair MRmean RSI pos-pos 158 67.8 7.0 62.0 0.5 0.8 0.2 14.3 -30.5
pair RSI MRmean pos-pos 158 67.8 7.0 62.0 0.5 0.8 0.2 14.3 -30.5
pair SLmean MACDhist pos-neg 48 20.6 7.0 54.2 0.5 0.7 0.5 15.0 -15.7
pair MACD RSIhist pos-neg 68 29.2 6.9 57.4 0.4 0.6 0.3 21.0 -26.4
pair RSIhist MACD pos-neg 68 29.2 6.9 57.4 0.4 0.6 0.3 21.0 -26.4
pair MACD MACDhist pos-neg 70 30.0 6.7 57.1 0.4 0.6 0.3 19.5 -24.5
pair MACDhist MACD pos-neg 70 30.0 6.7 57.1 0.4 0.6 0.3 19.5 -24.5
single SLmean SLmean neg-neg 79 33.9 6.5 63.3 0.4 0.5 0.1 25.2 -53.4
pair LWTI RSIhist neg-pos 85 36.5 6.4 61.2 0.4 0.6 0.3 19.2 -24.2
pair RSIhist LWTI neg-pos 85 36.5 6.4 61.2 0.4 0.6 0.3 19.2 -24.2
pair SLmean RSIhist neg-neg 75 32.2 6.3 64.0 0.4 0.5 0.1 25.3 -53.4
pair RSIhist SLmean neg-neg 75 32.2 6.3 64.0 0.4 0.5 0.1 25.3 -53.4
pair RSI RSmean pos-pos 171 73.4 6.2 62.6 0.5 0.7 0.2 14.8 -29.3
pair RSmean RSI pos-pos 171 73.4 6.2 62.6 0.5 0.7 0.2 14.8 -29.3
pair MACD RSI neg-neg 23 9.9 6.1 60.9 0.3 0.4 0.1 32.8 -50.5
pair RSI MACD neg-neg 23 9.9 6.1 60.9 0.3 0.4 0.1 32.8 -50.5
single LWTI LWTI neg-neg 36 15.5 5.8 52.8 0.3 0.5 0.1 30.0 -50.1
pair RSmean MRmean pos-neg 4 1.7 5.8 25.0 0.4 1.9 1.8 15.7 -3.2
pair LWTI MRmean pos-pos 148 63.5 5.8 62.8 0.5 0.7 0.2 13.8 -26.7
pair MRmean LWTI pos-pos 148 63.5 5.8 62.8 0.5 0.7 0.2 13.8 -26.7
pair MRmean RSmean pos-neg 4 1.7 5.8 25.0 0.4 1.9 1.8 15.7 -3.2
pair RSmean LWTI pos-neg 36 15.5 5.8 52.8 0.3 0.5 0.1 30.0 -50.1
pair LWTI RSmean pos-neg 36 15.5 5.8 52.8 0.3 0.5 0.1 30.0 -50.1
pair RSmean SLmean pos-neg 5 2.1 5.3 40.0 0.4 1.7 1.1 13.6 -5.0
pair SLmean RSmean pos-neg 5 2.1 5.3 40.0 0.4 1.7 1.1 13.6 -5.0
pair LWTI MACDhist neg-pos 76 32.6 4.9 61.8 0.4 0.4 0.3 17.4 -18.0
pair MACDhist LWTI neg-pos 76 32.6 4.9 61.8 0.4 0.4 0.3 17.4 -18.0
pair SLmean RSI neg-neg 33 14.2 4.3 60.6 0.3 0.4 0.1 34.3 -50.5
pair RSI SLmean neg-neg 33 14.2 4.3 60.6 0.3 0.4 0.1 34.3 -50.5
single MACDhist MACDhist neg-neg 108 46.4 3.8 59.3 0.3 0.3 0.1 21.8 -59.2
single MACD MACD neg-neg 51 21.9 3.6 62.7 0.3 0.3 0.1 25.2 -59.2
single RSIhist RSIhist neg-neg 103 44.2 2.9 59.2 0.2 0.3 0.1 23.2 -59.2
pair SLmean MRmean pos-neg 19 8.2 2.0 57.9 0.2 0.3 0.1 16.9 -19.8
pair MRmean SLmean pos-neg 19 8.2 2.0 57.9 0.2 0.3 0.1 16.9 -19.8
pair RSmean RSIhist neg-pos 5 2.1 1.9 20.0 0.2 0.9 0.4 13.8 -5.0
pair RSIhist RSmean neg-pos 5 2.1 1.9 20.0 0.2 0.9 0.4 13.8 -5.0
pair MACD RSI neg-pos 28 12.0 1.7 64.3 0.2 0.2 0.1 17.2 -26.1
pair RSI MACD neg-pos 28 12.0 1.7 64.3 0.2 0.2 0.1 17.2 -26.1
pair SLmean MACDhist neg-neg 60 25.8 1.4 63.3 0.2 0.2 0.0 26.1 -53.4
pair MACDhist SLmean neg-neg 60 25.8 1.4 63.3 0.2 0.2 0.0 26.1 -53.4
pair MACDhist LWTI neg-neg 32 13.7 1.4 53.1 0.2 0.3 0.0 30.2 -50.1
pair LWTI MACDhist neg-neg 32 13.7 1.4 53.1 0.2 0.3 0.0 30.2 -50.1
pair RSIhist MACDhist neg-neg 80 34.3 1.2 61.2 0.2 0.2 0.0 23.9 -59.2
pair MACDhist RSIhist neg-neg 80 34.3 1.2 61.2 0.2 0.2 0.0 23.9 -59.2
pair RSmean SLmean neg-pos 65 27.9 0.9 58.5 0.2 0.2 0.0 27.4 -52.1
pair SLmean RSmean neg-pos 65 27.9 0.9 58.5 0.2 0.2 0.0 27.4 -52.1
pair RSI MACDhist pos-neg 70 30.0 0.6 57.1 0.1 0.1 0.0 14.4 -32.2
pair MACDhist RSI pos-neg 70 30.0 0.6 57.1 0.1 0.1 0.0 14.4 -32.2
pair RSI LWTI neg-neg 24 10.3 0.6 54.2 0.2 0.3 0.0 33.7 -50.1
pair LWTI RSI neg-neg 24 10.3 0.6 54.2 0.2 0.3 0.0 33.7 -50.1
pair RSIhist RSI pos-neg 66 28.3 0.5 57.6 0.1 0.1 0.0 15.4 -42.9
pair RSI RSIhist pos-neg 66 28.3 0.5 57.6 0.1 0.1 0.0 15.4 -42.9
pair RSmean MACDhist pos-neg 90 38.6 0.3 56.7 0.1 0.2 0.0 23.5 -59.2
pair MACDhist RSmean pos-neg 90 38.6 0.3 56.7 0.1 0.2 0.0 23.5 -59.2
pair MACD MACDhist neg-neg 38 16.3 -1.3 63.2 0.1 0.1 -0.0 25.7 -59.2
pair MACDhist MACD neg-neg 38 16.3 -1.3 63.2 0.1 0.1 -0.0 25.7 -59.2
pair RSmean RSIhist pos-neg 89 38.2 -1.7 53.9 0.1 0.1 -0.0 24.6 -59.2
pair RSIhist RSmean pos-neg 89 38.2 -1.7 53.9 0.1 0.1 -0.0 24.6 -59.2
pair RSmean MACD pos-neg 39 16.7 -3.3 56.4 0.0 0.0 -0.1 28.4 -59.2
pair MACD RSmean pos-neg 39 16.7 -3.3 56.4 0.0 0.0 -0.1 28.4 -59.2
pair SLmean MACD neg-neg 30 12.9 -3.5 60.0 0.0 0.0 -0.1 28.2 -53.4
pair MACD SLmean neg-neg 30 12.9 -3.5 60.0 0.0 0.0 -0.1 28.2 -53.4
pair MACD RSIhist neg-neg 35 15.0 -4.5 62.9 -0.0 -0.0 -0.1 27.1 -59.2
pair RSIhist MACD neg-neg 35 15.0 -4.5 62.9 -0.0 -0.0 -0.1 27.1 -59.2
pair MRmean MACDhist pos-neg 43 18.5 -5.3 46.5 -0.3 -0.4 -0.2 14.1 -30.7
pair MACDhist MRmean pos-neg 43 18.5 -5.3 46.5 -0.3 -0.4 -0.2 14.1 -30.7
pair RSIhist SLmean pos-neg 28 12.0 -5.7 46.4 -0.3 -0.4 -0.2 16.1 -29.3
pair SLmean RSIhist pos-neg 28 12.0 -5.7 46.4 -0.3 -0.4 -0.2 16.1 -29.3
pair LWTI MRmean neg-neg 21 9.0 -6.7 52.4 -0.0 -0.0 -0.1 36.2 -50.1
pair MRmean LWTI neg-neg 21 9.0 -6.7 52.4 -0.0 -0.0 -0.1 36.2 -50.1
pair MACD MRmean pos-neg 19 8.2 -9.3 47.4 -0.4 -0.6 -0.4 20.9 -24.4
pair MRmean MACD pos-neg 19 8.2 -9.3 47.4 -0.4 -0.6 -0.4 20.9 -24.4
pair LWTI MACD neg-neg 17 7.3 -11.4 47.1 -0.2 -0.2 -0.2 36.2 -50.1
pair MACD LWTI neg-neg 17 7.3 -11.4 47.1 -0.2 -0.2 -0.2 36.2 -50.1
pair LWTI RSIhist neg-neg 18 7.7 -12.0 50.0 -0.2 -0.2 -0.2 37.3 -50.1
pair RSIhist LWTI neg-neg 18 7.7 -12.0 50.0 -0.2 -0.2 -0.2 37.3 -50.1
pair RSIhist MRmean pos-neg 37 15.9 -12.2 43.2 -0.8 -1.0 -0.3 15.5 -44.7
pair MRmean RSIhist pos-neg 37 15.9 -12.2 43.2 -0.8 -1.0 -0.3 15.5 -44.7
pair LWTI SLmean neg-neg 17 7.3 -20.4 47.1 -0.4 -0.7 -0.4 37.7 -50.1
pair SLmean LWTI neg-neg 17 7.3 -20.4 47.1 -0.4 -0.7 -0.4 37.7 -50.1

All Contingency Tables for EXI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 62%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.3
Vol 14% | MDD -25.3%
Months 144M (62%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.1
Vol 17% | MDD -19.8%
Months 19M (8%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 47.4% | Win 80%
Sharpe 2.53 | Sortino 4.13 | Calmar 9.8
Vol 16% | MDD -4.8%
Months 10M (4%)
CAGR 7.9% | Win 65%
Sharpe 0.42 | Sortino 0.54 | Calmar 0.2
Vol 27% | MDD -50.5%
Months 60M (26%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
SLmean
only
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 63%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -24.4%
Months 159M (68%)
CAGR 5.8% | Win 25%
Sharpe 0.42 | Sortino 1.94 | Calmar 1.8
Vol 16% | MDD -3.2%
Months 4M (2%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 7.7% | Win 62%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.2
Vol 29% | MDD -50.5%
Months 55M (24%)
CAGR 33.8% | Win 87%
Sharpe 3.82 | Sortino 11.27 | Calmar 30.9
Vol 8% | MDD -1.1%
Months 15M (6%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
RSmean
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.0% | Win 64%
Sharpe 0.79 | Sortino 1.25 | Calmar 0.3
Vol 13% | MDD -28.8%
Months 144M (62%)
CAGR -9.3% | Win 47%
Sharpe -0.36 | Sortino -0.64 | Calmar -0.4
Vol 21% | MDD -24.4%
Months 19M (8%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 13.4% | Win 63%
Sharpe 0.62 | Sortino 0.95 | Calmar 0.5
Vol 25% | MDD -25.7%
Months 38M (16%)
CAGR 12.2% | Win 72%
Sharpe 0.56 | Sortino 0.57 | Calmar 0.2
Vol 27% | MDD -50.5%
Months 32M (14%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
MACD
only
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 62%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -30.5%
Months 158M (68%)
CAGR 27.6% | Win 60%
Sharpe 1.65 | Sortino 3.12 | Calmar 6.5
Vol 16% | MDD -4.2%
Months 5M (2%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 13.7% | Win 71%
Sharpe 0.93 | Sortino 1.15 | Calmar 1.2
Vol 15% | MDD -11.2%
Months 31M (13%)
CAGR 12.2% | Win 64%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 33% | MDD -50.5%
Months 39M (17%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
RSI
only
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 68%
Sharpe 0.90 | Sortino 1.56 | Calmar 0.6
Vol 14% | MDD -19.9%
Months 120M (52%)
CAGR -5.3% | Win 46%
Sharpe -0.31 | Sortino -0.39 | Calmar -0.2
Vol 14% | MDD -30.7%
Months 43M (18%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 51.8% | Win 60%
Sharpe 1.35 | Sortino 2.19 | Calmar 4.0
Vol 35% | MDD -12.9%
Months 5M (2%)
CAGR 10.3% | Win 68%
Sharpe 0.52 | Sortino 0.62 | Calmar 0.2
Vol 26% | MDD -50.5%
Months 65M (28%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
MACDhist
only
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 14.2% | Win 68%
Sharpe 1.04 | Sortino 1.71 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 126M (54%)
CAGR -12.2% | Win 43%
Sharpe -0.76 | Sortino -1.04 | Calmar -0.3
Vol 16% | MDD -44.7%
Months 37M (16%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 19.4% | Win 50%
Sharpe 0.74 | Sortino 1.20 | Calmar 2.4
Vol 28% | MDD -8.2%
Months 4M (2%)
CAGR 12.5% | Win 68%
Sharpe 0.58 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -50.5%
Months 66M (28%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 63%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 14% | MDD -26.7%
Months 148M (64%)
CAGR 26.2% | Win 53%
Sharpe 1.34 | Sortino 5.71 | Calmar 6.2
Vol 19% | MDD -4.2%
Months 15M (6%)
CAGR 7.5% | Win 62%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.5%
Months 163M (70%)
MRmean
neg
CAGR 22.4% | Win 74%
Sharpe 1.10 | Sortino 1.22 | Calmar 1.3
Vol 21% | MDD -17.9%
Months 49M (21%)
CAGR -6.7% | Win 52%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 36% | MDD -50.1%
Months 21M (9%)
CAGR 12.9% | Win 67%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 70M (30%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.19 | Calmar 0.6
Vol 14% | MDD -19.2%
Months 149M (64%)
CAGR 5.3% | Win 40%
Sharpe 0.43 | Sortino 1.74 | Calmar 1.1
Vol 14% | MDD -5.0%
Months 5M (2%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 0.9% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 27% | MDD -52.1%
Months 65M (28%)
CAGR 36.3% | Win 86%
Sharpe 4.07 | Sortino 11.99 | Calmar 33.2
Vol 8% | MDD -1.1%
Months 14M (6%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
RSmean
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.8% | Win 63%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.4
Vol 13% | MDD -24.4%
Months 133M (57%)
CAGR 14.8% | Win 67%
Sharpe 0.78 | Sortino 1.19 | Calmar 0.9
Vol 20% | MDD -16.2%
Months 21M (9%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 13.1% | Win 65%
Sharpe 0.65 | Sortino 0.95 | Calmar 0.7
Vol 23% | MDD -17.9%
Months 49M (21%)
CAGR -3.5% | Win 60%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 28% | MDD -53.4%
Months 30M (13%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
MACD
only
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 63%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 143M (61%)
CAGR 48.0% | Win 73%
Sharpe 2.37 | Sortino 5.57 | Calmar 9.9
Vol 17% | MDD -4.8%
Months 11M (5%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 8.1% | Win 65%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.3
Vol 16% | MDD -25.7%
Months 46M (20%)
CAGR 4.3% | Win 61%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 34% | MDD -50.5%
Months 33M (14%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
RSI
only
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 68%
Sharpe 0.89 | Sortino 1.53 | Calmar 0.6
Vol 14% | MDD -21.0%
Months 106M (46%)
CAGR 7.0% | Win 54%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.4
Vol 15% | MDD -15.7%
Months 48M (21%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 24.3% | Win 63%
Sharpe 1.10 | Sortino 1.88 | Calmar 1.3
Vol 22% | MDD -18.6%
Months 19M (8%)
CAGR 1.4% | Win 63%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 60M (26%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
MACDhist
only
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.5% | Win 68%
Sharpe 1.06 | Sortino 1.75 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 126M (54%)
CAGR -5.7% | Win 46%
Sharpe -0.28 | Sortino -0.39 | Calmar -0.2
Vol 16% | MDD -29.3%
Months 28M (12%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 9.5% | Win 50%
Sharpe 0.45 | Sortino 0.67 | Calmar 1.2
Vol 26% | MDD -8.2%
Months 4M (2%)
CAGR 6.3% | Win 64%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 75M (32%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 64%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.3
Vol 13% | MDD -21.8%
Months 135M (58%)
CAGR 36.4% | Win 58%
Sharpe 1.68 | Sortino 6.33 | Calmar 7.5
Vol 20% | MDD -4.8%
Months 19M (8%)
CAGR 10.5% | Win 64%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 154M (66%)
SLmean
neg
CAGR 15.3% | Win 68%
Sharpe 0.80 | Sortino 1.06 | Calmar 0.8
Vol 20% | MDD -18.6%
Months 62M (27%)
CAGR -20.4% | Win 47%
Sharpe -0.41 | Sortino -0.69 | Calmar -0.4
Vol 38% | MDD -50.1%
Months 17M (7%)
CAGR 6.5% | Win 63%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -53.4%
Months 79M (34%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 64%
Sharpe 0.67 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -29.6%
Months 175M (75%)
CAGR -3.3% | Win 56%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 28% | MDD -59.2%
Months 39M (17%)
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
RSmean
neg
CAGR 23.5% | Win 57%
Sharpe 1.54 | Sortino 6.54 | Calmar 7.3
Vol 14% | MDD -3.2%
Months 7M (3%)
CAGR 29.7% | Win 83%
Sharpe 3.99 | Sortino 10.03 | Calmar 27.1
Vol 7% | MDD -1.1%
Months 12M (5%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
MACD
only
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -29.3%
Months 171M (73%)
CAGR 13.3% | Win 63%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 43M (18%)
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
RSmean
neg
CAGR 26.7% | Win 72%
Sharpe 2.42 | Sortino 7.03 | Calmar 8.3
Vol 10% | MDD -3.2%
Months 18M (8%)
CAGR 39.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
RSI
only
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.3% | Win 67%
Sharpe 0.89 | Sortino 1.51 | Calmar 0.5
Vol 15% | MDD -26.0%
Months 124M (53%)
CAGR 0.3% | Win 57%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 24% | MDD -59.2%
Months 90M (39%)
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
RSmean
neg
CAGR 131.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 23.2% | Win 72%
Sharpe 2.37 | Sortino 6.17 | Calmar 7.2
Vol 9% | MDD -3.2%
Months 18M (8%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
MACDhist
only
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 14.8% | Win 69%
Sharpe 1.05 | Sortino 1.70 | Calmar 0.9
Vol 14% | MDD -16.2%
Months 125M (54%)
CAGR -1.7% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 25% | MDD -59.2%
Months 89M (38%)
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
RSmean
neg
CAGR 1.9% | Win 20%
Sharpe 0.19 | Sortino 0.89 | Calmar 0.4
Vol 14% | MDD -5.0%
Months 5M (2%)
CAGR 37.9% | Win 93%
Sharpe 4.51 | Sortino 0.00 | Calmar 2211.5
Vol 7% | MDD -0.0%
Months 14M (6%)
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.0% | Win 65%
Sharpe 0.56 | Sortino 0.75 | Calmar 0.3
Vol 16% | MDD -29.6%
Months 178M (76%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.1
Vol 19% | MDD -59.2%
Months 214M (92%)
RSmean
neg
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
-
CAGR 27.4% | Win 74%
Sharpe 2.54 | Sortino 7.17 | Calmar 8.5
Vol 10% | MDD -3.2%
Months 19M (8%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.2% | Win 63%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.4
Vol 14% | MDD -22.7%
Months 161M (69%)
CAGR 23.0% | Win 67%
Sharpe 0.85 | Sortino 1.25 | Calmar 1.2
Vol 30% | MDD -19.0%
Months 21M (9%)
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
MACD
neg
CAGR 1.7% | Win 64%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.1
Vol 17% | MDD -26.1%
Months 28M (12%)
CAGR 6.1% | Win 61%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 33% | MDD -50.5%
Months 23M (10%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
RSI
only
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 13.3% | Win 68%
Sharpe 0.94 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.0%
Months 112M (48%)
CAGR 6.7% | Win 57%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.3
Vol 20% | MDD -24.5%
Months 70M (30%)
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
MACD
neg
CAGR 19.6% | Win 62%
Sharpe 0.86 | Sortino 1.92 | Calmar 1.4
Vol 24% | MDD -14.4%
Months 13M (6%)
CAGR -1.3% | Win 63%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 26% | MDD -59.2%
Months 38M (16%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
MACDhist
only
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 13.0% | Win 68%
Sharpe 1.00 | Sortino 1.68 | Calmar 0.6
Vol 13% | MDD -21.2%
Months 114M (49%)
CAGR 6.9% | Win 57%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.3
Vol 21% | MDD -26.4%
Months 68M (29%)
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
MACD
neg
CAGR 24.0% | Win 62%
Sharpe 1.17 | Sortino 1.84 | Calmar 1.5
Vol 20% | MDD -16.2%
Months 16M (7%)
CAGR -4.5% | Win 63%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 27% | MDD -59.2%
Months 35M (15%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.2% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -27.0%
Months 163M (70%)
CAGR 24.0% | Win 58%
Sharpe 1.03 | Sortino 2.05 | Calmar 1.6
Vol 24% | MDD -14.6%
Months 19M (8%)
CAGR 10.7% | Win 64%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 182M (78%)
MACD
neg
CAGR 12.1% | Win 71%
Sharpe 0.73 | Sortino 0.98 | Calmar 0.7
Vol 18% | MDD -17.6%
Months 34M (15%)
CAGR -11.4% | Win 47%
Sharpe -0.16 | Sortino -0.22 | Calmar -0.2
Vol 36% | MDD -50.1%
Months 17M (7%)
CAGR 3.6% | Win 63%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -59.2%
Months 51M (22%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.7% | Win 67%
Sharpe 0.91 | Sortino 1.57 | Calmar 0.6
Vol 14% | MDD -19.9%
Months 119M (51%)
CAGR 0.6% | Win 57%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 14% | MDD -32.2%
Months 70M (30%)
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
RSI
neg
CAGR 40.5% | Win 67%
Sharpe 1.23 | Sortino 2.33 | Calmar 3.7
Vol 31% | MDD -11.0%
Months 6M (3%)
CAGR 10.1% | Win 63%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -50.5%
Months 38M (16%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
MACDhist
only
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.3% | Win 67%
Sharpe 0.91 | Sortino 1.45 | Calmar 0.7
Vol 14% | MDD -18.6%
Months 123M (53%)
CAGR 0.5% | Win 58%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -42.9%
Months 66M (28%)
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
RSI
neg
CAGR 55.4% | Win 71%
Sharpe 2.77 | Sortino 5.61 | Calmar 13.1
Vol 17% | MDD -4.2%
Months 7M (3%)
CAGR 7.3% | Win 62%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 33% | MDD -50.5%
Months 37M (16%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.5% | Win 64%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.3
Vol 14% | MDD -26.1%
Months 177M (76%)
CAGR 17.2% | Win 50%
Sharpe 0.82 | Sortino 1.94 | Calmar 1.7
Vol 22% | MDD -10.3%
Months 12M (5%)
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -29.3%
Months 189M (81%)
RSI
neg
CAGR 32.1% | Win 75%
Sharpe 1.15 | Sortino 1.35 | Calmar 1.8
Vol 28% | MDD -17.9%
Months 20M (9%)
CAGR 0.6% | Win 54%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 34% | MDD -50.1%
Months 24M (10%)
CAGR 13.8% | Win 64%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 31% | MDD -50.5%
Months 44M (19%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.0% | Win 71%
Sharpe 1.07 | Sortino 1.80 | Calmar 0.9
Vol 14% | MDD -16.2%
Months 102M (44%)
CAGR 9.0% | Win 52%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.4
Vol 21% | MDD -20.6%
Months 23M (10%)
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
MACDhist
neg
CAGR 11.7% | Win 54%
Sharpe 0.84 | Sortino 1.39 | Calmar 1.1
Vol 14% | MDD -10.8%
Months 28M (12%)
CAGR 1.2% | Win 61%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.0
Vol 24% | MDD -59.2%
Months 80M (34%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
RSIhist
only
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.9% | Win 68%
Sharpe 0.90 | Sortino 1.44 | Calmar 0.5
Vol 15% | MDD -26.0%
Months 121M (52%)
CAGR 48.5% | Win 50%
Sharpe 1.39 | Sortino 11.10 | Calmar 7.2
Vol 31% | MDD -6.7%
Months 4M (2%)
CAGR 13.9% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 16% | MDD -26.0%
Months 125M (54%)
MACDhist
neg
CAGR 4.9% | Win 62%
Sharpe 0.36 | Sortino 0.42 | Calmar 0.3
Vol 17% | MDD -18.0%
Months 76M (33%)
CAGR 1.4% | Win 53%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -50.1%
Months 32M (14%)
CAGR 3.8% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 22% | MDD -59.2%
Months 108M (46%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.4% | Win 69%
Sharpe 0.98 | Sortino 1.44 | Calmar 0.7
Vol 13% | MDD -18.8%
Months 112M (48%)
CAGR 27.2% | Win 56%
Sharpe 1.28 | Sortino 3.09 | Calmar 2.6
Vol 20% | MDD -10.3%
Months 18M (8%)
CAGR 14.3% | Win 67%
Sharpe 1.02 | Sortino 1.68 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 130M (56%)
RSIhist
neg
CAGR 6.4% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.3
Vol 19% | MDD -24.2%
Months 85M (36%)
CAGR -12.0% | Win 50%
Sharpe -0.16 | Sortino -0.25 | Calmar -0.2
Vol 37% | MDD -50.1%
Months 18M (8%)
CAGR 2.9% | Win 59%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.0
Vol 23% | MDD -59.2%
Months 103M (44%)
LWTI
only
CAGR 9.7% | Win 66%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 16% | MDD -27.0%
Months 197M (84%)
CAGR 5.8% | Win 53%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -50.1%
Months 36M (16%)