GDX - VanEck Gold Miners ETF

Signal Pair Analysis

SLmean-LWTI

Best Pair

45.0%

Best CAGR

67

Total Months

6.6%

Avg CAGR

GDX 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 GDX

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI SLmean neg-neg 48 20.3 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair SLmean LWTI neg-neg 48 20.3 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair LWTI RSI neg-neg 61 25.7 42.6 63.9 1.1 2.2 0.8 41.4 -53.9
pair RSI LWTI neg-neg 61 25.7 42.6 63.9 1.1 2.2 0.8 41.4 -53.9
pair MACD RSmean neg-pos 10 4.2 38.1 80.0 1.4 1.0 2.6 26.2 -14.6
pair RSmean MACD neg-pos 10 4.2 38.1 80.0 1.4 1.0 2.6 26.2 -14.6
pair RSIhist LWTI neg-neg 44 18.6 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair LWTI RSIhist neg-neg 44 18.6 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair RSI MRmean pos-neg 17 7.2 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair MRmean RSI pos-neg 17 7.2 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair RSIhist MACD neg-neg 61 25.7 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSIhist neg-neg 61 25.7 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSI neg-neg 77 32.5 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair RSI MACD neg-neg 77 32.5 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair SLmean MACD neg-neg 70 29.5 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair MACD SLmean neg-neg 70 29.5 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair LWTI MRmean neg-neg 54 22.8 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MRmean LWTI neg-neg 54 22.8 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MACDhist MRmean neg-pos 29 12.2 26.8 62.1 0.7 1.4 0.8 48.9 -33.7
pair MRmean MACDhist neg-pos 29 12.2 26.8 62.1 0.7 1.4 0.8 48.9 -33.7
pair RSI RSmean neg-neg 14 5.9 26.3 64.3 0.9 1.1 1.1 33.0 -24.8
pair RSmean RSI neg-neg 14 5.9 26.3 64.3 0.9 1.1 1.1 33.0 -24.8
pair RSI SLmean neg-neg 84 35.4 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair SLmean RSI neg-neg 84 35.4 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair MACDhist RSI neg-pos 33 13.9 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSI MACDhist neg-pos 33 13.9 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSIhist RSI neg-neg 79 33.3 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair RSI RSIhist neg-neg 79 33.3 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair MACD LWTI neg-neg 63 26.6 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACD neg-neg 63 26.6 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACDhist neg-neg 48 20.3 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair MACDhist LWTI neg-neg 48 20.3 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair RSmean LWTI pos-neg 73 30.8 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
pair LWTI RSmean pos-neg 73 30.8 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
single LWTI LWTI neg-neg 76 32.1 21.4 56.6 0.7 1.4 0.4 39.9 -59.2
pair MACDhist LWTI pos-neg 28 11.8 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
pair LWTI MACDhist pos-neg 28 11.8 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
single RSI RSI neg-neg 102 43.0 19.8 61.8 0.6 1.0 0.3 43.4 -70.3
pair MACD MRmean neg-neg 73 30.8 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MRmean MACD neg-neg 73 30.8 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MACD RSmean pos-neg 93 39.2 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean MACD pos-neg 93 39.2 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean RSI pos-neg 88 37.1 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair RSI RSmean pos-neg 88 37.1 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair MACD MACDhist neg-pos 39 16.5 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MACDhist MACD neg-pos 39 16.5 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MRmean RSI neg-neg 85 35.9 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair RSI MRmean neg-neg 85 35.9 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair MACDhist SLmean neg-pos 46 19.4 17.1 58.7 0.6 1.1 0.5 42.6 -33.7
pair SLmean MACDhist neg-pos 46 19.4 17.1 58.7 0.6 1.1 0.5 42.6 -33.7
pair MACDhist RSIhist pos-pos 87 36.7 17.1 56.3 0.6 1.4 0.3 36.8 -59.8
pair RSIhist MACDhist pos-pos 87 36.7 17.1 56.3 0.6 1.4 0.3 36.8 -59.8
pair MACDhist RSI neg-neg 69 29.1 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair RSI MACDhist neg-neg 69 29.1 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair RSmean MACDhist pos-pos 117 49.4 16.1 55.6 0.6 1.3 0.3 37.9 -45.4
pair MACDhist RSmean pos-pos 117 49.4 16.1 55.6 0.6 1.3 0.3 37.9 -45.4
single MACDhist MACDhist pos-pos 126 53.2 15.9 56.3 0.6 1.2 0.3 37.5 -50.6
pair MACD LWTI pos-neg 13 5.5 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair LWTI MACD pos-neg 13 5.5 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair SLmean MACDhist pos-pos 80 33.8 15.2 55.0 0.6 1.3 0.3 34.6 -51.3
pair MACDhist SLmean pos-pos 80 33.8 15.2 55.0 0.6 1.3 0.3 34.6 -51.3
pair MACD MACDhist pos-pos 87 36.7 15.1 55.2 0.6 1.4 0.3 34.1 -50.6
pair MACDhist MACD pos-pos 87 36.7 15.1 55.2 0.6 1.4 0.3 34.1 -50.6
pair RSmean RSIhist neg-pos 10 4.2 15.0 50.0 0.8 1.5 2.2 20.6 -6.7
pair RSIhist RSmean neg-pos 10 4.2 15.0 50.0 0.8 1.5 2.2 20.6 -6.7
single MACD MACD neg-neg 113 47.7 14.8 55.8 0.5 1.1 0.2 39.7 -73.7
pair LWTI MACDhist pos-pos 98 41.4 14.8 56.1 0.6 1.2 0.3 36.8 -50.0
pair MACDhist LWTI pos-pos 98 41.4 14.8 56.1 0.6 1.2 0.3 36.8 -50.0
pair MACDhist MACD neg-neg 74 31.2 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACD MACDhist neg-neg 74 31.2 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACDhist RSIhist pos-neg 39 16.5 13.2 56.4 0.5 0.9 0.4 39.7 -31.2
pair RSIhist MACDhist pos-neg 39 16.5 13.2 56.4 0.5 0.9 0.4 39.7 -31.2
pair MRmean MACDhist pos-pos 97 40.9 12.8 54.6 0.5 1.1 0.3 33.6 -48.5
pair MACDhist MRmean pos-pos 97 40.9 12.8 54.6 0.5 1.1 0.3 33.6 -48.5
pair SLmean RSmean neg-neg 21 8.9 12.7 52.4 0.6 0.7 0.7 28.9 -19.4
pair RSmean SLmean neg-neg 21 8.9 12.7 52.4 0.6 0.7 0.7 28.9 -19.4
pair MACDhist RSI pos-pos 93 39.2 12.6 54.8 0.5 1.2 0.2 32.4 -57.5
pair RSI MACDhist pos-pos 93 39.2 12.6 54.8 0.5 1.2 0.2 32.4 -57.5
pair MACDhist RSmean neg-pos 9 3.8 12.5 66.7 0.5 0.5 0.6 33.6 -19.4
pair RSmean MACDhist neg-pos 9 3.8 12.5 66.7 0.5 0.5 0.6 33.6 -19.4
pair LWTI RSmean neg-neg 3 1.3 11.9 33.3 0.5 0.9 270.1 29.6 -0.0
pair RSmean LWTI neg-neg 3 1.3 11.9 33.3 0.5 0.9 270.1 29.6 -0.0
pair RSmean MRmean pos-neg 8 3.4 11.9 75.0 0.5 0.7 0.8 29.2 -14.6
pair MRmean RSmean pos-neg 8 3.4 11.9 75.0 0.5 0.7 0.8 29.2 -14.6
pair RSIhist MACD pos-pos 66 27.8 10.4 56.1 0.5 1.1 0.2 32.8 -58.7
pair MACD RSIhist pos-pos 66 27.8 10.4 56.1 0.5 1.1 0.2 32.8 -58.7
pair RSIhist SLmean neg-neg 107 45.1 10.3 59.8 0.4 0.7 0.2 40.4 -60.8
pair SLmean RSIhist neg-neg 107 45.1 10.3 59.8 0.4 0.7 0.2 40.4 -60.8
pair MRmean RSIhist neg-pos 16 6.8 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair RSIhist MRmean neg-pos 16 6.8 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair MRmean RSIhist pos-neg 27 11.4 10.3 48.1 0.4 0.9 0.4 37.0 -28.8
pair RSIhist MRmean pos-neg 27 11.4 10.3 48.1 0.4 0.9 0.4 37.0 -28.8
pair SLmean MRmean pos-neg 23 9.7 10.2 52.2 0.4 1.1 0.5 37.7 -22.8
pair MRmean SLmean pos-neg 23 9.7 10.2 52.2 0.4 1.1 0.5 37.7 -22.8
single SLmean SLmean neg-neg 123 51.9 10.0 57.7 0.4 0.7 0.2 40.3 -60.8
pair SLmean MRmean neg-neg 100 42.2 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair MRmean SLmean neg-neg 100 42.2 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair SLmean RSmean neg-pos 102 43.0 9.4 58.8 0.4 0.8 0.1 42.4 -61.6
pair RSmean SLmean neg-pos 102 43.0 9.4 58.8 0.4 0.8 0.1 42.4 -61.6
single RSmean RSmean neg-neg 30 12.7 9.0 56.7 0.4 0.6 0.3 28.4 -29.5
pair RSmean LWTI neg-pos 27 11.4 8.6 59.3 0.4 0.5 0.3 28.9 -24.5
pair LWTI RSmean neg-pos 27 11.4 8.6 59.3 0.4 0.5 0.3 28.9 -24.5
pair RSI RSIhist neg-pos 23 9.7 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair RSIhist RSI neg-pos 23 9.7 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair MRmean LWTI pos-neg 22 9.3 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair LWTI MRmean pos-neg 22 9.3 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair LWTI SLmean pos-pos 86 36.3 7.9 53.5 0.4 0.8 0.1 34.2 -65.7
pair SLmean LWTI pos-pos 86 36.3 7.9 53.5 0.4 0.8 0.1 34.2 -65.7
pair MRmean RSmean neg-neg 22 9.3 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair RSmean MRmean neg-neg 22 9.3 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair RSmean RSIhist pos-neg 99 41.8 7.7 56.6 0.4 0.7 0.1 40.9 -61.5
pair RSIhist RSmean pos-neg 99 41.8 7.7 56.6 0.4 0.7 0.1 40.9 -61.5
pair RSIhist SLmean neg-pos 16 6.8 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
pair SLmean RSIhist neg-pos 16 6.8 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
pair MACDhist RSmean neg-neg 21 8.9 7.5 52.4 0.4 0.6 0.5 26.8 -14.6
pair RSmean MACDhist neg-neg 21 8.9 7.5 52.4 0.4 0.6 0.5 26.8 -14.6
single RSIhist RSIhist neg-neg 119 50.2 7.4 57.1 0.4 0.6 0.1 39.4 -63.9
single MRmean MRmean neg-neg 108 45.6 7.1 57.4 0.4 0.6 0.1 40.3 -61.7
pair LWTI RSIhist pos-pos 86 36.3 7.0 52.3 0.4 0.8 0.1 33.5 -63.4
pair RSIhist LWTI pos-pos 86 36.3 7.0 52.3 0.4 0.8 0.1 33.5 -63.4
pair SLmean MACD pos-pos 71 30.0 6.9 52.1 0.4 0.8 0.1 32.8 -64.9
pair MACD SLmean pos-pos 71 30.0 6.9 52.1 0.4 0.8 0.1 32.8 -64.9
pair MRmean RSmean neg-pos 86 36.3 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
pair RSmean MRmean neg-pos 86 36.3 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 6.6 54.4 0.3 0.7 0.1 37.3 -77.5
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 6.6 54.4 0.3 0.7 0.1 37.3 -77.5
pair MRmean RSIhist neg-neg 92 38.8 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair RSIhist MRmean neg-neg 92 38.8 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair MACD MRmean pos-neg 40 16.9 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
pair MRmean MACD pos-neg 40 16.9 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
single RSmean RSmean pos-pos 207 87.3 6.2 54.1 0.3 0.7 0.1 38.5 -73.5
pair RSmean RSIhist neg-neg 20 8.4 6.1 60.0 0.3 0.4 0.2 32.1 -24.5
pair RSIhist RSmean neg-neg 20 8.4 6.1 60.0 0.3 0.4 0.2 32.1 -24.5
single MRmean MRmean pos-pos 129 54.4 6.1 51.9 0.3 0.7 0.1 34.8 -57.6
pair MRmean MACD pos-pos 89 37.6 5.9 52.8 0.3 0.7 0.1 32.0 -62.8
pair MACD MRmean pos-pos 89 37.6 5.9 52.8 0.3 0.7 0.1 32.0 -62.8
pair SLmean MACDhist neg-neg 77 32.5 5.9 57.1 0.3 0.5 0.1 39.2 -60.8
pair MACDhist SLmean neg-neg 77 32.5 5.9 57.1 0.3 0.5 0.1 39.2 -60.8
pair LWTI MRmean pos-pos 107 45.1 5.7 53.3 0.3 0.7 0.1 33.3 -63.4
pair MRmean LWTI pos-pos 107 45.1 5.7 53.3 0.3 0.7 0.1 33.3 -63.4
single RSIhist RSIhist pos-pos 118 49.8 5.7 51.7 0.3 0.7 0.1 35.1 -64.6
pair MRmean RSmean pos-pos 121 51.1 5.7 50.4 0.3 0.7 0.1 35.2 -55.8
pair RSmean MRmean pos-pos 121 51.1 5.7 50.4 0.3 0.7 0.1 35.2 -55.8
pair LWTI MACD neg-pos 50 21.1 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair MACD LWTI neg-pos 50 21.1 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair SLmean RSIhist pos-pos 102 43.0 5.4 52.9 0.3 0.7 0.1 34.4 -60.8
pair RSIhist SLmean pos-pos 102 43.0 5.4 52.9 0.3 0.7 0.1 34.4 -60.8
pair SLmean MRmean pos-pos 106 44.7 5.2 51.9 0.3 0.7 0.1 34.3 -60.8
pair MRmean SLmean pos-pos 106 44.7 5.2 51.9 0.3 0.7 0.1 34.3 -60.8
pair RSI RSIhist pos-pos 95 40.1 5.1 51.6 0.3 0.7 0.1 32.7 -61.0
pair RSIhist RSI pos-pos 95 40.1 5.1 51.6 0.3 0.7 0.1 32.7 -61.0
pair RSIhist MRmean pos-pos 102 43.0 5.0 52.9 0.3 0.7 0.1 34.3 -62.1
pair MRmean RSIhist pos-pos 102 43.0 5.0 52.9 0.3 0.7 0.1 34.3 -62.1
pair RSmean RSIhist pos-pos 108 45.6 4.9 51.9 0.3 0.7 0.1 36.3 -66.7
pair RSIhist RSmean pos-pos 108 45.6 4.9 51.9 0.3 0.7 0.1 36.3 -66.7
pair MACDhist RSIhist neg-neg 80 33.8 4.7 57.5 0.3 0.5 0.1 39.5 -63.9
pair RSIhist MACDhist neg-neg 80 33.8 4.7 57.5 0.3 0.5 0.1 39.5 -63.9
pair SLmean RSI pos-pos 96 40.5 4.6 52.1 0.3 0.7 0.1 33.3 -66.8
pair RSI SLmean pos-pos 96 40.5 4.6 52.1 0.3 0.7 0.1 33.3 -66.8
pair RSmean SLmean pos-pos 105 44.3 3.2 49.5 0.3 0.6 0.1 34.3 -67.5
pair SLmean RSmean pos-pos 105 44.3 3.2 49.5 0.3 0.6 0.1 34.3 -67.5
single SLmean SLmean pos-pos 114 48.1 3.0 50.9 0.2 0.6 0.0 33.8 -66.9
pair RSI LWTI pos-pos 120 50.6 3.0 51.7 0.2 0.5 0.1 32.1 -64.2
pair LWTI RSI pos-pos 120 50.6 3.0 51.7 0.2 0.5 0.1 32.1 -64.2
pair RSI MRmean pos-pos 112 47.3 2.6 51.8 0.2 0.5 0.0 32.7 -66.8
pair MRmean RSI pos-pos 112 47.3 2.6 51.8 0.2 0.5 0.0 32.7 -66.8
pair RSIhist LWTI pos-neg 32 13.5 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair LWTI RSIhist pos-neg 32 13.5 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair MACDhist MRmean neg-neg 79 33.3 0.7 55.7 0.2 0.3 0.0 36.7 -60.9
pair MRmean MACDhist neg-neg 79 33.3 0.7 55.7 0.2 0.3 0.0 36.7 -60.9
pair SLmean RSmean pos-neg 9 3.8 0.7 66.7 0.2 0.3 0.0 28.8 -20.3
pair RSmean SLmean pos-neg 9 3.8 0.7 66.7 0.2 0.3 0.0 28.8 -20.3
pair RSI MACD pos-pos 99 41.8 0.3 51.5 0.2 0.4 0.0 32.1 -75.2
pair MACD RSI pos-pos 99 41.8 0.3 51.5 0.2 0.4 0.0 32.1 -75.2
single LWTI LWTI pos-pos 161 67.9 0.2 53.4 0.2 0.3 0.0 35.9 -83.5
pair MACD RSIhist neg-pos 52 21.9 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
pair RSIhist MACD neg-pos 52 21.9 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
single MACD MACD pos-pos 124 52.3 -0.4 53.2 0.2 0.3 -0.0 34.9 -69.9
pair RSmean LWTI pos-pos 134 56.5 -1.4 52.2 0.1 0.3 -0.0 37.3 -84.3
pair LWTI RSmean pos-pos 134 56.5 -1.4 52.2 0.1 0.3 -0.0 37.3 -84.3
pair LWTI MACD pos-pos 111 46.8 -2.1 53.2 0.1 0.2 -0.0 36.0 -74.3
pair MACD LWTI pos-pos 111 46.8 -2.1 53.2 0.1 0.2 -0.0 36.0 -74.3
pair RSmean RSI pos-pos 119 50.2 -2.2 48.7 0.1 0.2 -0.0 32.7 -80.5
pair RSI RSmean pos-pos 119 50.2 -2.2 48.7 0.1 0.2 -0.0 32.7 -80.5
single RSI RSI pos-pos 135 57.0 -2.5 48.9 0.1 0.2 -0.0 31.7 -77.3
single MACDhist MACDhist neg-neg 111 46.8 -3.1 52.3 0.1 0.2 -0.0 37.0 -72.2
pair SLmean MACD pos-neg 43 18.1 -3.1 48.8 0.1 0.2 -0.1 35.8 -55.7
pair MACD SLmean pos-neg 43 18.1 -3.1 48.8 0.1 0.2 -0.1 35.8 -55.7
pair MACD RSI pos-neg 25 10.5 -3.1 60.0 0.2 0.2 -0.1 45.3 -39.8
pair RSI MACD pos-neg 25 10.5 -3.1 60.0 0.2 0.2 -0.1 45.3 -39.8
pair MACD RSmean neg-neg 20 8.4 -3.2 45.0 0.0 0.0 -0.1 29.6 -24.8
pair RSmean MACD neg-neg 20 8.4 -3.2 45.0 0.0 0.0 -0.1 29.6 -24.8
pair MACD RSmean pos-pos 114 48.1 -3.2 50.9 0.1 0.1 -0.0 35.6 -77.0
pair RSmean MACD pos-pos 114 48.1 -3.2 50.9 0.1 0.1 -0.0 35.6 -77.0
pair RSI RSmean neg-pos 16 6.8 -4.2 50.0 -0.1 -0.1 -0.3 24.1 -14.6
pair RSmean RSI neg-pos 16 6.8 -4.2 50.0 -0.1 -0.1 -0.3 24.1 -14.6
pair RSI SLmean pos-neg 18 7.6 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
pair SLmean RSI pos-neg 18 7.6 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
pair RSmean MACDhist pos-neg 90 38.0 -5.4 52.2 0.1 0.1 -0.1 39.1 -71.8
pair MACDhist RSmean pos-neg 90 38.0 -5.4 52.2 0.1 0.1 -0.1 39.1 -71.8
pair RSIhist LWTI neg-pos 75 31.6 -7.0 54.7 0.0 0.0 -0.1 38.7 -68.2
pair LWTI RSIhist neg-pos 75 31.6 -7.0 54.7 0.0 0.0 -0.1 38.7 -68.2
pair LWTI RSI neg-pos 41 17.3 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair RSI LWTI neg-pos 41 17.3 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair LWTI SLmean neg-pos 75 31.6 -7.9 53.3 -0.0 -0.0 -0.1 37.9 -68.2
pair SLmean LWTI neg-pos 75 31.6 -7.9 53.3 -0.0 -0.0 -0.1 37.9 -68.2
pair SLmean MACD neg-pos 53 22.4 -9.4 54.7 -0.1 -0.1 -0.2 37.8 -51.0
pair MACD SLmean neg-pos 53 22.4 -9.4 54.7 -0.1 -0.1 -0.2 37.8 -51.0
pair MACD RSI neg-pos 36 15.2 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair RSI MACD neg-pos 36 15.2 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair LWTI MRmean neg-pos 54 22.8 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair MRmean LWTI neg-pos 54 22.8 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair LWTI SLmean pos-neg 28 11.8 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair SLmean LWTI pos-neg 28 11.8 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair RSIhist MACD pos-neg 58 24.5 -11.4 50.0 -0.1 -0.2 -0.2 37.3 -52.2
pair MACD RSIhist pos-neg 58 24.5 -11.4 50.0 -0.1 -0.2 -0.2 37.3 -52.2
pair MRmean MACDhist pos-neg 32 13.5 -11.8 43.8 -0.1 -0.3 -0.3 38.1 -36.2
pair MACDhist MRmean pos-neg 32 13.5 -11.8 43.8 -0.1 -0.3 -0.3 38.1 -36.2
pair MACD MRmean neg-pos 35 14.8 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair MRmean MACD neg-pos 35 14.8 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair RSIhist SLmean pos-neg 12 5.1 -15.6 33.3 -0.4 -0.8 -0.7 29.1 -22.0
pair SLmean RSIhist pos-neg 12 5.1 -15.6 33.3 -0.4 -0.8 -0.7 29.1 -22.0
pair RSI SLmean neg-pos 39 16.5 -17.8 41.0 -0.6 -0.9 -0.4 27.0 -47.6
pair SLmean RSI neg-pos 39 16.5 -17.8 41.0 -0.6 -0.9 -0.4 27.0 -47.6
pair RSIhist RSI pos-neg 40 16.9 -18.3 42.5 -0.6 -1.0 -0.3 28.9 -57.4
pair RSI RSIhist pos-neg 40 16.9 -18.3 42.5 -0.6 -1.0 -0.3 28.9 -57.4
pair LWTI MACDhist neg-pos 63 26.6 -18.8 49.2 -0.4 -0.6 -0.2 33.9 -83.1
pair MACDhist LWTI neg-pos 63 26.6 -18.8 49.2 -0.4 -0.6 -0.2 33.9 -83.1
pair MACDhist RSIhist neg-pos 31 13.1 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair RSIhist MACDhist neg-pos 31 13.1 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair SLmean MACDhist pos-neg 34 14.3 -20.8 41.2 -0.6 -1.1 -0.4 31.1 -54.0
pair MACDhist SLmean pos-neg 34 14.3 -20.8 41.2 -0.6 -1.1 -0.4 31.1 -54.0
pair SLmean MRmean neg-pos 8 3.4 -22.4 37.5 -0.8 -5.1 -0.9 27.7 -25.4
pair MRmean SLmean neg-pos 8 3.4 -22.4 37.5 -0.8 -5.1 -0.9 27.7 -25.4
pair MRmean RSI neg-pos 23 9.7 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair RSI MRmean neg-pos 23 9.7 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair RSI MACDhist pos-neg 42 17.7 -29.0 35.7 -1.1 -1.8 -0.4 28.4 -66.2
pair MACDhist RSI pos-neg 42 17.7 -29.0 35.7 -1.1 -1.8 -0.4 28.4 -66.2
pair MACDhist MACD pos-neg 37 15.6 -29.2 48.6 -0.8 -1.0 -0.5 35.4 -61.4
pair MACD MACDhist pos-neg 37 15.6 -29.2 48.6 -0.8 -1.0 -0.5 35.4 -61.4
pair LWTI RSI pos-neg 15 6.3 -37.0 26.7 -1.6 -2.6 -1.0 26.0 -36.9
pair RSI LWTI pos-neg 15 6.3 -37.0 26.7 -1.6 -2.6 -1.0 26.0 -36.9

All Contingency Tables for GDX

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 52%
Sharpe 0.31 | Sortino 0.67 | Calmar 0.1
Vol 34% | MDD -60.8%
Months 106M (45%)
CAGR 10.2% | Win 52%
Sharpe 0.43 | Sortino 1.08 | Calmar 0.4
Vol 38% | MDD -22.8%
Months 23M (10%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR -22.4% | Win 38%
Sharpe -0.79 | Sortino -5.07 | Calmar -0.9
Vol 28% | MDD -25.4%
Months 8M (3%)
CAGR 9.9% | Win 59%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 41% | MDD -60.8%
Months 100M (42%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
SLmean
only
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 50%
Sharpe 0.33 | Sortino 0.73 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 121M (51%)
CAGR 11.9% | Win 75%
Sharpe 0.52 | Sortino 0.69 | Calmar 0.8
Vol 29% | MDD -14.6%
Months 8M (3%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR 6.9% | Win 59%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.1
Vol 43% | MDD -58.1%
Months 86M (36%)
CAGR 7.9% | Win 50%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.3
Vol 29% | MDD -24.8%
Months 22M (9%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
RSmean
only
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 53%
Sharpe 0.33 | Sortino 0.71 | Calmar 0.1
Vol 32% | MDD -62.8%
Months 89M (38%)
CAGR 6.6% | Win 50%
Sharpe 0.34 | Sortino 0.78 | Calmar 0.2
Vol 41% | MDD -39.4%
Months 40M (17%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR -14.8% | Win 54%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.3
Vol 42% | MDD -46.4%
Months 35M (15%)
CAGR 19.5% | Win 59%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.3
Vol 40% | MDD -60.5%
Months 73M (31%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
MACD
only
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 2.6% | Win 52%
Sharpe 0.24 | Sortino 0.52 | Calmar 0.0
Vol 33% | MDD -66.8%
Months 112M (47%)
CAGR 32.5% | Win 53%
Sharpe 0.81 | Sortino 1.68 | Calmar 1.3
Vol 47% | MDD -25.6%
Months 17M (7%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR -23.8% | Win 35%
Sharpe -0.92 | Sortino -1.43 | Calmar -0.6
Vol 26% | MDD -41.1%
Months 23M (10%)
CAGR 17.4% | Win 64%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.3
Vol 43% | MDD -60.5%
Months 85M (36%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
RSI
only
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.8% | Win 55%
Sharpe 0.52 | Sortino 1.13 | Calmar 0.3
Vol 34% | MDD -48.5%
Months 97M (41%)
CAGR -11.8% | Win 44%
Sharpe -0.15 | Sortino -0.34 | Calmar -0.3
Vol 38% | MDD -36.2%
Months 32M (14%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR 26.8% | Win 62%
Sharpe 0.71 | Sortino 1.41 | Calmar 0.8
Vol 49% | MDD -33.7%
Months 29M (12%)
CAGR 0.7% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 37% | MDD -60.9%
Months 79M (33%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
MACDhist
only
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.0% | Win 53%
Sharpe 0.31 | Sortino 0.68 | Calmar 0.1
Vol 34% | MDD -62.1%
Months 102M (43%)
CAGR 10.3% | Win 48%
Sharpe 0.43 | Sortino 0.95 | Calmar 0.4
Vol 37% | MDD -28.8%
Months 27M (11%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR 10.3% | Win 44%
Sharpe 0.41 | Sortino 1.02 | Calmar 0.3
Vol 41% | MDD -37.8%
Months 16M (7%)
CAGR 6.6% | Win 60%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 92M (39%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 53%
Sharpe 0.33 | Sortino 0.69 | Calmar 0.1
Vol 33% | MDD -63.4%
Months 107M (45%)
CAGR 8.3% | Win 46%
Sharpe 0.37 | Sortino 0.93 | Calmar 0.3
Vol 42% | MDD -25.7%
Months 22M (9%)
CAGR 6.1% | Win 52%
Sharpe 0.34 | Sortino 0.74 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 129M (54%)
MRmean
neg
CAGR -9.8% | Win 54%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 41% | MDD -70.0%
Months 54M (23%)
CAGR 27.1% | Win 61%
Sharpe 0.80 | Sortino 1.59 | Calmar 0.5
Vol 39% | MDD -53.1%
Months 54M (23%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (46%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 50%
Sharpe 0.26 | Sortino 0.57 | Calmar 0.0
Vol 34% | MDD -67.5%
Months 105M (44%)
CAGR 0.7% | Win 67%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -20.3%
Months 9M (4%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR 9.4% | Win 59%
Sharpe 0.42 | Sortino 0.75 | Calmar 0.2
Vol 42% | MDD -61.6%
Months 102M (43%)
CAGR 12.7% | Win 52%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.7
Vol 29% | MDD -19.4%
Months 21M (9%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
RSmean
only
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 52%
Sharpe 0.36 | Sortino 0.81 | Calmar 0.1
Vol 33% | MDD -64.9%
Months 71M (30%)
CAGR -3.1% | Win 49%
Sharpe 0.08 | Sortino 0.17 | Calmar -0.1
Vol 36% | MDD -55.7%
Months 43M (18%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR -9.4% | Win 55%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.2
Vol 38% | MDD -51.0%
Months 53M (22%)
CAGR 27.4% | Win 60%
Sharpe 0.78 | Sortino 1.43 | Calmar 0.5
Vol 42% | MDD -54.7%
Months 70M (30%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
MACD
only
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 52%
Sharpe 0.29 | Sortino 0.68 | Calmar 0.1
Vol 33% | MDD -66.8%
Months 96M (40%)
CAGR -4.8% | Win 44%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 37% | MDD -42.7%
Months 18M (8%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR -17.8% | Win 41%
Sharpe -0.59 | Sortino -0.95 | Calmar -0.4
Vol 27% | MDD -47.6%
Months 39M (16%)
CAGR 25.9% | Win 66%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.5
Vol 45% | MDD -56.1%
Months 84M (35%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
RSI
only
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 15.2% | Win 55%
Sharpe 0.57 | Sortino 1.30 | Calmar 0.3
Vol 35% | MDD -51.3%
Months 80M (34%)
CAGR -20.8% | Win 41%
Sharpe -0.59 | Sortino -1.15 | Calmar -0.4
Vol 31% | MDD -54.0%
Months 34M (14%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR 17.1% | Win 59%
Sharpe 0.57 | Sortino 1.10 | Calmar 0.5
Vol 43% | MDD -33.7%
Months 46M (19%)
CAGR 5.9% | Win 57%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 39% | MDD -60.8%
Months 77M (32%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
MACDhist
only
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.4% | Win 53%
Sharpe 0.32 | Sortino 0.72 | Calmar 0.1
Vol 34% | MDD -60.8%
Months 102M (43%)
CAGR -15.6% | Win 33%
Sharpe -0.44 | Sortino -0.78 | Calmar -0.7
Vol 29% | MDD -22.0%
Months 12M (5%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR 7.5% | Win 44%
Sharpe 0.35 | Sortino 0.78 | Calmar 0.3
Vol 41% | MDD -22.9%
Months 16M (7%)
CAGR 10.3% | Win 60%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 107M (45%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 54%
Sharpe 0.39 | Sortino 0.83 | Calmar 0.1
Vol 34% | MDD -65.7%
Months 86M (36%)
CAGR -10.5% | Win 43%
Sharpe -0.19 | Sortino -0.42 | Calmar -0.2
Vol 33% | MDD -43.2%
Months 28M (12%)
CAGR 3.0% | Win 51%
Sharpe 0.25 | Sortino 0.55 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 114M (48%)
SLmean
neg
CAGR -7.9% | Win 53%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 38% | MDD -68.2%
Months 75M (32%)
CAGR 45.0% | Win 65%
Sharpe 1.08 | Sortino 2.09 | Calmar 1.0
Vol 43% | MDD -44.9%
Months 48M (20%)
CAGR 10.0% | Win 58%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 123M (52%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -3.2% | Win 51%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 36% | MDD -77.0%
Months 114M (48%)
CAGR 19.1% | Win 58%
Sharpe 0.62 | Sortino 1.31 | Calmar 0.3
Vol 42% | MDD -68.3%
Months 93M (39%)
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
RSmean
neg
CAGR 38.1% | Win 80%
Sharpe 1.37 | Sortino 1.01 | Calmar 2.6
Vol 26% | MDD -14.6%
Months 10M (4%)
CAGR -3.2% | Win 45%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 30% | MDD -24.8%
Months 20M (8%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
MACD
only
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -2.2% | Win 49%
Sharpe 0.09 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -80.5%
Months 119M (50%)
CAGR 18.8% | Win 61%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.3
Vol 45% | MDD -64.2%
Months 88M (37%)
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
RSmean
neg
CAGR -4.2% | Win 50%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.3
Vol 24% | MDD -14.6%
Months 16M (7%)
CAGR 26.3% | Win 64%
Sharpe 0.87 | Sortino 1.05 | Calmar 1.1
Vol 33% | MDD -24.8%
Months 14M (6%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
RSI
only
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 16.1% | Win 56%
Sharpe 0.57 | Sortino 1.28 | Calmar 0.4
Vol 38% | MDD -45.4%
Months 117M (49%)
CAGR -5.4% | Win 52%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.1
Vol 39% | MDD -71.8%
Months 90M (38%)
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
RSmean
neg
CAGR 12.5% | Win 67%
Sharpe 0.51 | Sortino 0.50 | Calmar 0.6
Vol 34% | MDD -19.4%
Months 9M (4%)
CAGR 7.5% | Win 52%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.5
Vol 27% | MDD -14.6%
Months 21M (9%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
MACDhist
only
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 4.9% | Win 52%
Sharpe 0.30 | Sortino 0.71 | Calmar 0.1
Vol 36% | MDD -66.7%
Months 108M (46%)
CAGR 7.7% | Win 57%
Sharpe 0.38 | Sortino 0.65 | Calmar 0.1
Vol 41% | MDD -61.5%
Months 99M (42%)
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
RSmean
neg
CAGR 15.0% | Win 50%
Sharpe 0.77 | Sortino 1.50 | Calmar 2.2
Vol 21% | MDD -6.7%
Months 10M (4%)
CAGR 6.1% | Win 60%
Sharpe 0.34 | Sortino 0.43 | Calmar 0.2
Vol 32% | MDD -24.5%
Months 20M (8%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -1.4% | Win 52%
Sharpe 0.15 | Sortino 0.27 | Calmar -0.0
Vol 37% | MDD -84.3%
Months 134M (56%)
CAGR 21.8% | Win 57%
Sharpe 0.68 | Sortino 1.47 | Calmar 0.4
Vol 40% | MDD -60.3%
Months 73M (31%)
CAGR 6.2% | Win 54%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -73.5%
Months 207M (87%)
RSmean
neg
CAGR 8.6% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.4
Vol 29% | MDD -24.5%
Months 27M (11%)
CAGR 11.9% | Win 33%
Sharpe 0.48 | Sortino 0.87 | Calmar 270.1
Vol 30% | MDD -0.0%
Months 3M (1%)
CAGR 9.0% | Win 57%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 28% | MDD -29.5%
Months 30M (13%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 0.3% | Win 52%
Sharpe 0.17 | Sortino 0.36 | Calmar 0.0
Vol 32% | MDD -75.2%
Months 99M (42%)
CAGR -3.1% | Win 60%
Sharpe 0.16 | Sortino 0.19 | Calmar -0.1
Vol 45% | MDD -39.8%
Months 25M (10%)
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
MACD
neg
CAGR -9.7% | Win 42%
Sharpe -0.18 | Sortino -0.34 | Calmar -0.3
Vol 31% | MDD -35.4%
Months 36M (15%)
CAGR 28.4% | Win 62%
Sharpe 0.79 | Sortino 1.53 | Calmar 0.4
Vol 43% | MDD -70.3%
Months 77M (32%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
RSI
only
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 15.1% | Win 55%
Sharpe 0.57 | Sortino 1.35 | Calmar 0.3
Vol 34% | MDD -50.6%
Months 87M (37%)
CAGR -29.2% | Win 49%
Sharpe -0.77 | Sortino -0.98 | Calmar -0.5
Vol 35% | MDD -61.4%
Months 37M (16%)
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
MACD
neg
CAGR 17.5% | Win 59%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.4
Vol 45% | MDD -48.2%
Months 39M (16%)
CAGR 13.4% | Win 54%
Sharpe 0.52 | Sortino 1.03 | Calmar 0.2
Vol 37% | MDD -62.8%
Months 74M (31%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
MACDhist
only
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.4% | Win 56%
Sharpe 0.46 | Sortino 1.07 | Calmar 0.2
Vol 33% | MDD -58.7%
Months 66M (28%)
CAGR -11.4% | Win 50%
Sharpe -0.13 | Sortino -0.20 | Calmar -0.2
Vol 37% | MDD -52.2%
Months 58M (24%)
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
MACD
neg
CAGR 0.1% | Win 46%
Sharpe 0.18 | Sortino 0.39 | Calmar 0.0
Vol 38% | MDD -61.4%
Months 52M (22%)
CAGR 28.9% | Win 64%
Sharpe 0.82 | Sortino 1.45 | Calmar 0.5
Vol 41% | MDD -54.7%
Months 61M (26%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -2.1% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 36% | MDD -74.3%
Months 111M (47%)
CAGR 15.6% | Win 54%
Sharpe 0.69 | Sortino 1.38 | Calmar 0.7
Vol 25% | MDD -23.3%
Months 13M (6%)
CAGR -0.4% | Win 53%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 124M (52%)
MACD
neg
CAGR 5.6% | Win 54%
Sharpe 0.33 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -51.6%
Months 50M (21%)
CAGR 22.6% | Win 57%
Sharpe 0.68 | Sortino 1.49 | Calmar 0.4
Vol 42% | MDD -59.2%
Months 63M (27%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (48%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.6% | Win 55%
Sharpe 0.52 | Sortino 1.19 | Calmar 0.2
Vol 32% | MDD -57.5%
Months 93M (39%)
CAGR -29.0% | Win 36%
Sharpe -1.05 | Sortino -1.79 | Calmar -0.4
Vol 28% | MDD -66.2%
Months 42M (18%)
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
RSI
neg
CAGR 25.6% | Win 61%
Sharpe 0.69 | Sortino 1.31 | Calmar 0.5
Vol 50% | MDD -48.2%
Months 33M (14%)
CAGR 17.1% | Win 62%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 40% | MDD -56.4%
Months 69M (29%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
MACDhist
only
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.1% | Win 52%
Sharpe 0.31 | Sortino 0.67 | Calmar 0.1
Vol 33% | MDD -61.0%
Months 95M (40%)
CAGR -18.3% | Win 42%
Sharpe -0.55 | Sortino -1.02 | Calmar -0.3
Vol 29% | MDD -57.4%
Months 40M (17%)
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
RSI
neg
CAGR 8.4% | Win 52%
Sharpe 0.38 | Sortino 0.89 | Calmar 0.2
Vol 45% | MDD -53.3%
Months 23M (10%)
CAGR 23.4% | Win 65%
Sharpe 0.70 | Sortino 1.04 | Calmar 0.4
Vol 43% | MDD -56.1%
Months 79M (33%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.53 | Calmar 0.0
Vol 32% | MDD -64.2%
Months 120M (51%)
CAGR -37.0% | Win 27%
Sharpe -1.62 | Sortino -2.60 | Calmar -1.0
Vol 26% | MDD -36.9%
Months 15M (6%)
CAGR -2.5% | Win 49%
Sharpe 0.08 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -77.3%
Months 135M (57%)
RSI
neg
CAGR -7.5% | Win 58%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.1
Vol 46% | MDD -72.1%
Months 41M (17%)
CAGR 42.6% | Win 64%
Sharpe 1.06 | Sortino 2.18 | Calmar 0.8
Vol 41% | MDD -53.9%
Months 61M (26%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (43%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 17.1% | Win 56%
Sharpe 0.60 | Sortino 1.42 | Calmar 0.3
Vol 37% | MDD -59.8%
Months 87M (37%)
CAGR 13.2% | Win 56%
Sharpe 0.50 | Sortino 0.88 | Calmar 0.4
Vol 40% | MDD -31.2%
Months 39M (16%)
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
MACDhist
neg
CAGR -20.6% | Win 39%
Sharpe -0.65 | Sortino -1.13 | Calmar -0.4
Vol 29% | MDD -48.1%
Months 31M (13%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 80M (34%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
RSIhist
only
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.8% | Win 56%
Sharpe 0.55 | Sortino 1.22 | Calmar 0.3
Vol 37% | MDD -50.0%
Months 98M (41%)
CAGR 19.8% | Win 57%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.6
Vol 41% | MDD -35.4%
Months 28M (12%)
CAGR 15.9% | Win 56%
Sharpe 0.57 | Sortino 1.20 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 126M (53%)
MACDhist
neg
CAGR -18.8% | Win 49%
Sharpe -0.43 | Sortino -0.57 | Calmar -0.2
Vol 34% | MDD -83.1%
Months 63M (27%)
CAGR 22.3% | Win 56%
Sharpe 0.69 | Sortino 1.65 | Calmar 0.4
Vol 40% | MDD -50.0%
Months 48M (20%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (47%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.0% | Win 52%
Sharpe 0.36 | Sortino 0.76 | Calmar 0.1
Vol 34% | MDD -63.4%
Months 86M (36%)
CAGR 2.4% | Win 50%
Sharpe 0.24 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -47.7%
Months 32M (14%)
CAGR 5.7% | Win 52%
Sharpe 0.33 | Sortino 0.72 | Calmar 0.1
Vol 35% | MDD -64.6%
Months 118M (50%)
RSIhist
neg
CAGR -7.0% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 39% | MDD -68.2%
Months 75M (32%)
CAGR 37.3% | Win 61%
Sharpe 0.99 | Sortino 1.83 | Calmar 0.9
Vol 40% | MDD -43.5%
Months 44M (19%)
CAGR 7.4% | Win 57%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 119M (50%)
LWTI
only
CAGR 0.2% | Win 53%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -83.5%
Months 161M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)