GDX - VanEck Gold Miners ETF

Signal Pair Analysis

SLmean-LWTI

Best Pair

45.0%

Best CAGR

70

Total Months

4.5%

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 19.6 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair SLmean LWTI neg-neg 48 19.6 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair LWTI RSI neg-neg 61 24.9 42.6 63.9 1.1 2.2 0.8 41.4 -53.9
pair RSI LWTI neg-neg 61 24.9 42.6 63.9 1.1 2.2 0.8 41.4 -53.9
pair RSIhist LWTI neg-neg 44 18.0 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair LWTI RSIhist neg-neg 44 18.0 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair RSI MRmean pos-neg 17 6.9 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair MRmean RSI pos-neg 17 6.9 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair RSIhist MACD neg-neg 61 24.9 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSIhist neg-neg 61 24.9 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSI neg-neg 77 31.4 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair RSI MACD neg-neg 77 31.4 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair SLmean MACD neg-neg 70 28.6 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair MACD SLmean neg-neg 70 28.6 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair LWTI MRmean neg-neg 54 22.0 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MRmean LWTI neg-neg 54 22.0 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MACDhist MRmean neg-pos 29 11.8 26.8 62.1 0.7 1.4 0.8 48.9 -33.7
pair MRmean MACDhist neg-pos 29 11.8 26.8 62.1 0.7 1.4 0.8 48.9 -33.7
pair RSI RSmean neg-neg 14 5.7 26.3 64.3 0.9 1.1 1.1 33.0 -24.8
pair RSmean RSI neg-neg 14 5.7 26.3 64.3 0.9 1.1 1.1 33.0 -24.8
pair RSI SLmean neg-neg 84 34.3 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair SLmean RSI neg-neg 84 34.3 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair MACDhist RSI neg-pos 33 13.5 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSI MACDhist neg-pos 33 13.5 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSIhist RSI neg-neg 79 32.2 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair RSI RSIhist neg-neg 79 32.2 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair MACD LWTI neg-neg 63 25.7 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACD neg-neg 63 25.7 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACDhist neg-neg 48 19.6 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair MACDhist LWTI neg-neg 48 19.6 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair RSmean LWTI pos-neg 73 29.8 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
pair LWTI RSmean pos-neg 73 29.8 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
single LWTI LWTI neg-neg 76 31.0 21.4 56.6 0.7 1.4 0.4 39.9 -59.2
pair LWTI MACDhist pos-neg 28 11.4 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
pair MACDhist LWTI pos-neg 28 11.4 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
single RSI RSI neg-neg 102 41.6 19.8 61.8 0.6 1.0 0.3 43.4 -70.3
pair MACD MRmean neg-neg 73 29.8 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MRmean MACD neg-neg 73 29.8 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MACD RSmean pos-neg 93 38.0 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean MACD pos-neg 93 38.0 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean RSI pos-neg 88 35.9 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair RSI RSmean pos-neg 88 35.9 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair MACD MACDhist neg-pos 39 15.9 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MACDhist MACD neg-pos 39 15.9 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MRmean RSI neg-neg 85 34.7 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair RSI MRmean neg-neg 85 34.7 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair MACDhist RSI neg-neg 69 28.2 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair RSI MACDhist neg-neg 69 28.2 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair MACD RSmean neg-pos 11 4.5 16.4 72.7 0.7 0.7 1.1 29.5 -14.6
pair RSmean MACD neg-pos 11 4.5 16.4 72.7 0.7 0.7 1.1 29.5 -14.6
pair LWTI MACD pos-neg 13 5.3 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair MACD LWTI pos-neg 13 5.3 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair RSIhist RSmean neg-pos 10 4.1 15.0 50.0 0.8 1.5 2.2 20.6 -6.7
pair RSmean RSIhist neg-pos 10 4.1 15.0 50.0 0.8 1.5 2.2 20.6 -6.7
single MACD MACD neg-neg 113 46.1 14.8 55.8 0.5 1.1 0.2 39.7 -73.7
pair MACDhist MACD neg-neg 74 30.2 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACD MACDhist neg-neg 74 30.2 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACDhist RSIhist pos-pos 88 35.9 13.2 55.7 0.5 1.1 0.2 37.5 -59.8
pair RSIhist MACDhist pos-pos 88 35.9 13.2 55.7 0.5 1.1 0.2 37.5 -59.8
pair RSmean MACDhist neg-pos 9 3.7 12.5 66.7 0.5 0.5 0.6 33.6 -19.4
pair MACDhist RSmean neg-pos 9 3.7 12.5 66.7 0.5 0.5 0.6 33.6 -19.4
pair RSmean LWTI neg-neg 3 1.2 11.9 33.3 0.5 0.9 270.1 29.6 -0.0
pair LWTI RSmean neg-neg 3 1.2 11.9 33.3 0.5 0.9 270.1 29.6 -0.0
pair SLmean MACDhist pos-pos 82 33.5 11.2 54.9 0.5 1.0 0.2 35.2 -51.3
pair MACDhist SLmean pos-pos 82 33.5 11.2 54.9 0.5 1.0 0.2 35.2 -51.3
single MACDhist MACDhist pos-pos 131 53.5 10.6 55.0 0.5 0.9 0.2 37.8 -50.6
pair RSmean MACDhist pos-pos 122 49.8 10.5 54.1 0.4 0.9 0.2 38.3 -45.4
pair MACDhist RSmean pos-pos 122 49.8 10.5 54.1 0.4 0.9 0.2 38.3 -45.4
pair MRmean RSIhist neg-pos 16 6.5 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair RSIhist MRmean neg-pos 16 6.5 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair SLmean MRmean neg-neg 100 40.8 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair MRmean SLmean neg-neg 100 40.8 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair RSmean SLmean neg-pos 106 43.3 9.8 57.5 0.4 0.8 0.2 43.4 -61.6
pair SLmean RSmean neg-pos 106 43.3 9.8 57.5 0.4 0.8 0.2 43.4 -61.6
pair MACDhist SLmean neg-pos 49 20.0 9.7 55.1 0.4 0.8 0.3 42.3 -36.0
pair SLmean MACDhist neg-pos 49 20.0 9.7 55.1 0.4 0.8 0.3 42.3 -36.0
pair RSIhist SLmean neg-neg 112 45.7 9.0 58.0 0.4 0.7 0.1 41.5 -60.8
pair SLmean RSIhist neg-neg 112 45.7 9.0 58.0 0.4 0.7 0.1 41.5 -60.8
single SLmean SLmean neg-neg 128 52.2 8.8 56.2 0.4 0.7 0.1 41.3 -60.8
pair RSIhist RSI neg-pos 23 9.4 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair RSI RSIhist neg-pos 23 9.4 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair MRmean LWTI pos-neg 22 9.0 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair SLmean MACDhist neg-neg 79 32.2 8.3 57.0 0.4 0.6 0.1 41.0 -60.8
pair MACDhist SLmean neg-neg 79 32.2 8.3 57.0 0.4 0.6 0.1 41.0 -60.8
pair LWTI MRmean pos-neg 22 9.0 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair MACDhist LWTI pos-pos 103 42.0 8.2 54.4 0.4 0.8 0.2 37.2 -50.0
pair LWTI MACDhist pos-pos 103 42.0 8.2 54.4 0.4 0.8 0.2 37.2 -50.0
pair RSmean MRmean neg-neg 22 9.0 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair MRmean RSmean neg-neg 22 9.0 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair MACDhist MACD pos-pos 92 37.6 7.8 53.3 0.4 0.8 0.1 34.8 -50.6
pair MACD MACDhist pos-pos 92 37.6 7.8 53.3 0.4 0.8 0.1 34.8 -50.6
pair SLmean RSIhist neg-pos 16 6.5 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
pair RSIhist SLmean neg-pos 16 6.5 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
single MRmean MRmean neg-neg 108 44.1 7.1 57.4 0.4 0.6 0.1 40.3 -61.7
pair RSmean MRmean neg-pos 86 35.1 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
pair MRmean RSmean neg-pos 86 35.1 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
pair RSIhist RSmean pos-neg 105 42.9 6.7 55.2 0.4 0.6 0.1 41.8 -61.5
pair RSmean RSIhist pos-neg 105 42.9 6.7 55.2 0.4 0.6 0.1 41.8 -61.5
pair MACD MRmean pos-neg 40 16.3 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
pair MRmean MACD pos-neg 40 16.3 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
pair MRmean RSIhist neg-neg 92 37.6 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair RSIhist MRmean neg-neg 92 37.6 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair MACDhist MRmean pos-pos 102 41.6 6.4 52.9 0.3 0.7 0.1 34.2 -48.5
pair MRmean MACDhist pos-pos 102 41.6 6.4 52.9 0.3 0.7 0.1 34.2 -48.5
pair RSI MACDhist pos-pos 98 40.0 5.9 53.1 0.3 0.7 0.1 33.1 -57.5
pair MACDhist RSI pos-pos 98 40.0 5.9 53.1 0.3 0.7 0.1 33.1 -57.5
pair RSIhist MACD pos-pos 67 27.3 5.7 55.2 0.3 0.7 0.1 33.8 -58.7
pair MACD RSIhist pos-pos 67 27.3 5.7 55.2 0.3 0.7 0.1 33.8 -58.7
pair MACD LWTI neg-pos 50 20.4 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair LWTI MACD neg-pos 50 20.4 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair MACDhist RSIhist pos-neg 43 17.6 5.4 53.5 0.3 0.6 0.1 39.0 -36.2
pair RSIhist MACDhist pos-neg 43 17.6 5.4 53.5 0.3 0.6 0.1 39.0 -36.2
single RSIhist RSIhist neg-neg 126 51.4 5.2 55.6 0.3 0.6 0.1 40.3 -63.9
pair MACDhist RSIhist neg-neg 83 33.9 5.1 56.6 0.3 0.6 0.1 41.2 -63.9
pair RSIhist MACDhist neg-neg 83 33.9 5.1 56.6 0.3 0.6 0.1 41.2 -63.9
pair MRmean SLmean pos-neg 28 11.4 5.0 46.4 0.3 0.8 0.1 42.8 -38.5
pair SLmean MRmean pos-neg 28 11.4 5.0 46.4 0.3 0.8 0.1 42.8 -38.5
single RSmean RSmean pos-pos 214 87.3 4.4 53.3 0.3 0.6 0.1 39.2 -73.5
pair RSmean SLmean neg-neg 22 9.0 4.4 50.0 0.3 0.4 0.2 29.9 -24.1
pair SLmean RSmean neg-neg 22 9.0 4.4 50.0 0.3 0.4 0.2 29.9 -24.1
pair benchmark___benchmark_ benchmark-benchmark 245 100.0 4.2 53.5 0.3 0.6 0.1 38.1 -77.5
pair benchmark___benchmark_ benchmark-benchmark 245 100.0 4.2 53.5 0.3 0.6 0.1 38.1 -77.5
pair LWTI RSIhist pos-pos 87 35.5 3.5 51.7 0.3 0.5 0.1 34.3 -63.4
pair RSIhist LWTI pos-pos 87 35.5 3.5 51.7 0.3 0.5 0.1 34.3 -63.4
single RSmean RSmean neg-neg 31 12.7 3.3 54.8 0.3 0.3 0.1 29.1 -29.5
single RSIhist RSIhist pos-pos 119 48.6 3.2 51.3 0.3 0.6 0.1 35.7 -64.6
pair SLmean LWTI pos-pos 89 36.3 2.8 52.8 0.2 0.5 0.0 34.9 -65.7
pair LWTI SLmean pos-pos 89 36.3 2.8 52.8 0.2 0.5 0.0 34.9 -65.7
pair MRmean RSmean pos-pos 128 52.2 2.7 49.2 0.2 0.5 0.1 36.8 -55.8
pair RSmean MRmean pos-pos 128 52.2 2.7 49.2 0.2 0.5 0.1 36.8 -55.8
pair SLmean RSIhist pos-pos 103 42.0 2.6 52.4 0.2 0.5 0.0 35.0 -60.8
pair RSIhist SLmean pos-pos 103 42.0 2.6 52.4 0.2 0.5 0.0 35.0 -60.8
pair LWTI RSmean neg-pos 28 11.4 2.4 57.1 0.2 0.3 0.1 29.6 -26.0
pair RSmean LWTI neg-pos 28 11.4 2.4 57.1 0.2 0.3 0.1 29.6 -26.0
pair RSIhist LWTI pos-neg 32 13.1 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair LWTI RSIhist pos-neg 32 13.1 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair RSIhist MRmean pos-pos 103 42.0 2.2 52.4 0.2 0.5 0.0 34.9 -62.1
pair MRmean RSIhist pos-pos 103 42.0 2.2 52.4 0.2 0.5 0.0 34.9 -62.1
pair RSIhist RSmean pos-pos 109 44.5 2.2 51.4 0.2 0.5 0.0 36.8 -66.7
pair RSmean RSIhist pos-pos 109 44.5 2.2 51.4 0.2 0.5 0.0 36.8 -66.7
pair RSIhist RSI pos-pos 96 39.2 2.0 51.0 0.2 0.5 0.0 33.4 -61.0
pair RSI RSIhist pos-pos 96 39.2 2.0 51.0 0.2 0.5 0.0 33.4 -61.0
single MRmean MRmean pos-pos 137 55.9 2.0 50.4 0.2 0.5 0.0 36.4 -57.6
pair MRmean RSIhist pos-neg 34 13.9 1.6 44.1 0.2 0.5 0.0 40.9 -38.6
pair RSIhist MRmean pos-neg 34 13.9 1.6 44.1 0.2 0.5 0.0 40.9 -38.6
pair SLmean MRmean pos-pos 109 44.5 1.3 51.4 0.2 0.4 0.0 34.7 -60.8
pair MRmean SLmean pos-pos 109 44.5 1.3 51.4 0.2 0.4 0.0 34.7 -60.8
pair SLmean MACD pos-pos 74 30.2 1.0 51.4 0.2 0.4 0.0 33.6 -64.9
pair MACD SLmean pos-pos 74 30.2 1.0 51.4 0.2 0.4 0.0 33.6 -64.9
pair MRmean LWTI pos-pos 115 46.9 0.9 51.3 0.2 0.4 0.0 35.4 -63.4
pair LWTI MRmean pos-pos 115 46.9 0.9 51.3 0.2 0.4 0.0 35.4 -63.4
pair MRmean MACDhist neg-neg 79 32.2 0.7 55.7 0.2 0.3 0.0 36.7 -60.9
pair RSmean SLmean pos-neg 9 3.7 0.7 66.7 0.2 0.3 0.0 28.8 -20.3
pair SLmean RSmean pos-neg 9 3.7 0.7 66.7 0.2 0.3 0.0 28.8 -20.3
pair MACDhist MRmean neg-neg 79 32.2 0.7 55.7 0.2 0.3 0.0 36.7 -60.9
pair SLmean RSI pos-pos 99 40.4 0.3 51.5 0.2 0.4 0.0 33.9 -66.8
pair RSI SLmean pos-pos 99 40.4 0.3 51.5 0.2 0.4 0.0 33.9 -66.8
pair MACD MRmean pos-pos 97 39.6 0.2 50.5 0.2 0.4 0.0 34.7 -62.8
pair MRmean MACD pos-pos 97 39.6 0.2 50.5 0.2 0.4 0.0 34.7 -62.8
pair MACD RSIhist neg-pos 52 21.2 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
pair RSIhist MACD neg-pos 52 21.2 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
pair RSmean MACDhist neg-neg 22 9.0 -0.2 50.0 0.1 0.2 -0.0 27.9 -20.7
pair MACDhist RSmean neg-neg 22 9.0 -0.2 50.0 0.1 0.2 -0.0 27.9 -20.7
single SLmean SLmean pos-pos 117 47.8 -0.5 50.4 0.1 0.3 -0.0 34.3 -66.9
pair RSmean SLmean pos-pos 108 44.1 -0.6 49.1 0.1 0.3 -0.0 34.8 -67.5
pair SLmean RSmean pos-pos 108 44.1 -0.6 49.1 0.1 0.3 -0.0 34.8 -67.5
pair RSI LWTI pos-pos 128 52.2 -1.0 50.0 0.1 0.3 -0.0 34.1 -64.2
pair LWTI RSI pos-pos 128 52.2 -1.0 50.0 0.1 0.3 -0.0 34.1 -64.2
pair RSI MRmean pos-pos 120 49.0 -1.7 50.0 0.1 0.3 -0.0 34.7 -66.8
pair MRmean RSI pos-pos 120 49.0 -1.7 50.0 0.1 0.3 -0.0 34.7 -66.8
pair RSIhist RSmean neg-neg 21 8.6 -1.8 57.1 0.1 0.1 -0.1 32.8 -28.8
pair RSmean RSIhist neg-neg 21 8.6 -1.8 57.1 0.1 0.1 -0.1 32.8 -28.8
single LWTI LWTI pos-pos 169 69.0 -2.6 52.1 0.1 0.2 -0.0 37.1 -83.5
single MACDhist MACDhist neg-neg 114 46.5 -2.6 51.8 0.1 0.2 -0.0 38.4 -72.2
pair MACD RSI pos-neg 25 10.2 -3.1 60.0 0.2 0.2 -0.1 45.3 -39.8
pair RSI MACD pos-neg 25 10.2 -3.1 60.0 0.2 0.2 -0.1 45.3 -39.8
pair SLmean MACD pos-neg 43 17.6 -3.1 48.8 0.1 0.2 -0.1 35.8 -55.7
pair MACD SLmean pos-neg 43 17.6 -3.1 48.8 0.1 0.2 -0.1 35.8 -55.7
pair MACD RSmean neg-neg 20 8.2 -3.2 45.0 0.0 0.0 -0.1 29.6 -24.8
pair RSmean MACD neg-neg 20 8.2 -3.2 45.0 0.0 0.0 -0.1 29.6 -24.8
pair RSmean MACDhist pos-neg 92 37.6 -3.2 52.2 0.1 0.2 -0.0 40.6 -71.8
pair MACDhist RSmean pos-neg 92 37.6 -3.2 52.2 0.1 0.2 -0.0 40.6 -71.8
pair RSmean LWTI pos-pos 141 57.6 -3.6 51.1 0.1 0.2 -0.0 38.5 -84.3
pair LWTI RSmean pos-pos 141 57.6 -3.6 51.1 0.1 0.2 -0.0 38.5 -84.3
single MACD MACD pos-pos 132 53.9 -4.0 51.5 0.1 0.1 -0.1 36.5 -69.9
pair MACD RSI pos-pos 107 43.7 -4.2 49.5 0.0 0.1 -0.1 34.4 -75.2
pair RSI MACD pos-pos 107 43.7 -4.2 49.5 0.0 0.1 -0.1 34.4 -75.2
pair RSI RSmean pos-pos 126 51.4 -4.6 47.6 0.0 0.1 -0.1 34.5 -80.5
pair RSmean RSI pos-pos 126 51.4 -4.6 47.6 0.0 0.1 -0.1 34.5 -80.5
pair SLmean RSI pos-neg 18 7.3 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
pair RSI SLmean pos-neg 18 7.3 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
single RSI RSI pos-pos 143 58.4 -5.6 47.6 -0.0 -0.0 -0.1 33.5 -77.3
pair MACD RSmean pos-pos 121 49.4 -5.7 49.6 0.0 0.1 -0.1 37.2 -77.0
pair RSmean MACD pos-pos 121 49.4 -5.7 49.6 0.0 0.1 -0.1 37.2 -77.0
pair LWTI MACD pos-pos 119 48.6 -5.9 51.3 0.0 0.0 -0.1 37.6 -74.3
pair MACD LWTI pos-pos 119 48.6 -5.9 51.3 0.0 0.0 -0.1 37.6 -74.3
pair MRmean RSmean pos-neg 9 3.7 -7.1 66.7 -0.1 -0.2 -0.5 31.5 -14.6
pair RSmean MRmean pos-neg 9 3.7 -7.1 66.7 -0.1 -0.2 -0.5 31.5 -14.6
pair LWTI RSI neg-pos 41 16.7 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair RSI LWTI neg-pos 41 16.7 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair LWTI SLmean neg-pos 80 32.7 -8.4 51.2 -0.0 -0.0 -0.1 39.7 -68.2
pair SLmean LWTI neg-pos 80 32.7 -8.4 51.2 -0.0 -0.0 -0.1 39.7 -68.2
pair RSIhist LWTI neg-pos 82 33.5 -8.8 52.4 -0.0 -0.1 -0.1 40.1 -68.2
pair LWTI RSIhist neg-pos 82 33.5 -8.8 52.4 -0.0 -0.1 -0.1 40.1 -68.2
pair MRmean MACDhist pos-neg 35 14.3 -9.6 42.9 -0.0 -0.1 -0.3 42.4 -36.2
pair MACDhist MRmean pos-neg 35 14.3 -9.6 42.9 -0.0 -0.1 -0.3 42.4 -36.2
pair MACD RSI neg-pos 36 14.7 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair RSI MACD neg-pos 36 14.7 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair LWTI MRmean neg-pos 54 22.0 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair MRmean LWTI neg-pos 54 22.0 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair SLmean MACD neg-pos 58 23.7 -10.0 51.7 -0.1 -0.1 -0.2 40.2 -51.0
pair MACD SLmean neg-pos 58 23.7 -10.0 51.7 -0.1 -0.1 -0.2 40.2 -51.0
pair LWTI SLmean pos-neg 28 11.4 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair SLmean LWTI pos-neg 28 11.4 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair RSI RSmean neg-pos 17 6.9 -12.4 47.1 -0.4 -0.5 -0.8 25.5 -14.6
pair RSmean RSI neg-pos 17 6.9 -12.4 47.1 -0.4 -0.5 -0.8 25.5 -14.6
pair RSIhist MACD pos-neg 65 26.5 -13.0 47.7 -0.2 -0.3 -0.2 39.2 -52.2
pair MACD RSIhist pos-neg 65 26.5 -13.0 47.7 -0.2 -0.3 -0.2 39.2 -52.2
pair MACD MRmean neg-pos 35 14.3 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair MRmean MACD neg-pos 35 14.3 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair LWTI MACDhist neg-pos 66 26.9 -17.4 48.5 -0.3 -0.5 -0.2 36.8 -83.1
pair MACDhist LWTI neg-pos 66 26.9 -17.4 48.5 -0.3 -0.5 -0.2 36.8 -83.1
pair RSI SLmean neg-pos 44 18.0 -17.6 38.6 -0.4 -0.8 -0.3 32.6 -52.0
pair SLmean RSI neg-pos 44 18.0 -17.6 38.6 -0.4 -0.8 -0.3 32.6 -52.0
pair RSIhist RSI pos-neg 47 19.2 -19.5 40.4 -0.5 -1.0 -0.3 33.6 -60.5
pair RSI RSIhist pos-neg 47 19.2 -19.5 40.4 -0.5 -1.0 -0.3 33.6 -60.5
pair MACDhist RSIhist neg-pos 31 12.7 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair RSIhist MACDhist neg-pos 31 12.7 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair RSIhist SLmean pos-neg 14 5.7 -20.7 35.7 -0.7 -1.2 -0.7 28.4 -28.8
pair SLmean RSIhist pos-neg 14 5.7 -20.7 35.7 -0.7 -1.2 -0.7 28.4 -28.8
pair SLmean MRmean neg-pos 8 3.3 -22.4 37.5 -0.8 -5.1 -0.9 27.7 -25.4
pair MRmean SLmean neg-pos 8 3.3 -22.4 37.5 -0.8 -5.1 -0.9 27.7 -25.4
pair SLmean MACDhist pos-neg 35 14.3 -23.3 40.0 -0.7 -1.4 -0.4 31.1 -59.0
pair MACDhist SLmean pos-neg 35 14.3 -23.3 40.0 -0.7 -1.4 -0.4 31.1 -59.0
pair MRmean RSI neg-pos 23 9.4 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair RSI MRmean neg-pos 23 9.4 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair MACDhist MACD pos-neg 40 16.3 -26.4 47.5 -0.6 -0.8 -0.4 39.8 -61.4
pair MACD MACDhist pos-neg 40 16.3 -26.4 47.5 -0.6 -0.8 -0.4 39.8 -61.4
pair RSI MACDhist pos-neg 45 18.4 -26.6 35.6 -0.8 -1.5 -0.4 33.7 -66.2
pair MACDhist RSI pos-neg 45 18.4 -26.6 35.6 -0.8 -1.5 -0.4 33.7 -66.2
pair LWTI RSI pos-neg 15 6.1 -37.0 26.7 -1.6 -2.6 -1.0 26.0 -36.9
pair RSI LWTI pos-neg 15 6.1 -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 1.3% | Win 51%
Sharpe 0.20 | Sortino 0.41 | Calmar 0.0
Vol 35% | MDD -60.8%
Months 109M (44%)
CAGR 5.0% | Win 46%
Sharpe 0.30 | Sortino 0.78 | Calmar 0.1
Vol 43% | MDD -38.5%
Months 28M (11%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
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 (41%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
SLmean
only
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.7% | Win 49%
Sharpe 0.25 | Sortino 0.54 | Calmar 0.0
Vol 37% | MDD -55.8%
Months 128M (52%)
CAGR -7.1% | Win 67%
Sharpe -0.09 | Sortino -0.18 | Calmar -0.5
Vol 32% | MDD -14.6%
Months 9M (4%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
MRmean
neg
CAGR 6.9% | Win 59%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.1
Vol 43% | MDD -58.1%
Months 86M (35%)
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 (44%)
RSmean
only
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (87%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 0.2% | Win 50%
Sharpe 0.17 | Sortino 0.36 | Calmar 0.0
Vol 35% | MDD -62.8%
Months 97M (40%)
CAGR 6.6% | Win 50%
Sharpe 0.34 | Sortino 0.78 | Calmar 0.2
Vol 41% | MDD -39.4%
Months 40M (16%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
MRmean
neg
CAGR -14.8% | Win 54%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.3
Vol 42% | MDD -46.4%
Months 35M (14%)
CAGR 19.5% | Win 59%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.3
Vol 40% | MDD -60.5%
Months 73M (30%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
MACD
only
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -1.7% | Win 50%
Sharpe 0.12 | Sortino 0.26 | Calmar -0.0
Vol 35% | MDD -66.8%
Months 120M (49%)
CAGR 32.5% | Win 53%
Sharpe 0.81 | Sortino 1.68 | Calmar 1.3
Vol 47% | MDD -25.6%
Months 17M (7%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
MRmean
neg
CAGR -23.8% | Win 35%
Sharpe -0.92 | Sortino -1.43 | Calmar -0.6
Vol 26% | MDD -41.1%
Months 23M (9%)
CAGR 17.4% | Win 64%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.3
Vol 43% | MDD -60.5%
Months 85M (35%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
RSI
only
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.69 | Calmar 0.1
Vol 34% | MDD -48.5%
Months 102M (42%)
CAGR -9.6% | Win 43%
Sharpe -0.04 | Sortino -0.12 | Calmar -0.3
Vol 42% | MDD -36.2%
Months 35M (14%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
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 (32%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
MACDhist
only
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.2% | Win 52%
Sharpe 0.23 | Sortino 0.48 | Calmar 0.0
Vol 35% | MDD -62.1%
Months 103M (42%)
CAGR 1.6% | Win 44%
Sharpe 0.23 | Sortino 0.52 | Calmar 0.0
Vol 41% | MDD -38.6%
Months 34M (14%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
MRmean
neg
CAGR 10.3% | Win 44%
Sharpe 0.41 | Sortino 1.02 | Calmar 0.3
Vol 41% | MDD -37.8%
Months 16M (6%)
CAGR 6.6% | Win 60%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 92M (38%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 0.9% | Win 51%
Sharpe 0.20 | Sortino 0.41 | Calmar 0.0
Vol 35% | MDD -63.4%
Months 115M (47%)
CAGR 8.3% | Win 46%
Sharpe 0.37 | Sortino 0.93 | Calmar 0.3
Vol 42% | MDD -25.7%
Months 22M (9%)
CAGR 2.0% | Win 50%
Sharpe 0.23 | Sortino 0.49 | Calmar 0.0
Vol 36% | MDD -57.6%
Months 137M (56%)
MRmean
neg
CAGR -9.8% | Win 54%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 41% | MDD -70.0%
Months 54M (22%)
CAGR 27.1% | Win 61%
Sharpe 0.80 | Sortino 1.59 | Calmar 0.5
Vol 39% | MDD -53.1%
Months 54M (22%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (44%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -0.6% | Win 49%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -67.5%
Months 108M (44%)
CAGR 0.7% | Win 67%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -20.3%
Months 9M (4%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR 9.8% | Win 57%
Sharpe 0.42 | Sortino 0.78 | Calmar 0.2
Vol 43% | MDD -61.6%
Months 106M (43%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.2
Vol 30% | MDD -24.1%
Months 22M (9%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
RSmean
only
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (87%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 1.0% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 34% | MDD -64.9%
Months 74M (30%)
CAGR -3.1% | Win 49%
Sharpe 0.08 | Sortino 0.17 | Calmar -0.1
Vol 36% | MDD -55.7%
Months 43M (18%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR -10.0% | Win 52%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.2
Vol 40% | MDD -51.0%
Months 58M (24%)
CAGR 27.4% | Win 60%
Sharpe 0.78 | Sortino 1.43 | Calmar 0.5
Vol 42% | MDD -54.7%
Months 70M (29%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
MACD
only
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 0.3% | Win 52%
Sharpe 0.17 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -66.8%
Months 99M (40%)
CAGR -4.8% | Win 44%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 37% | MDD -42.7%
Months 18M (7%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR -17.6% | Win 39%
Sharpe -0.43 | Sortino -0.82 | Calmar -0.3
Vol 33% | MDD -52.0%
Months 44M (18%)
CAGR 25.9% | Win 66%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.5
Vol 45% | MDD -56.1%
Months 84M (34%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
RSI
only
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 55%
Sharpe 0.47 | Sortino 0.97 | Calmar 0.2
Vol 35% | MDD -51.3%
Months 82M (34%)
CAGR -23.3% | Win 40%
Sharpe -0.69 | Sortino -1.37 | Calmar -0.4
Vol 31% | MDD -59.0%
Months 35M (14%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR 9.7% | Win 55%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.3
Vol 42% | MDD -36.0%
Months 49M (20%)
CAGR 8.3% | Win 57%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 79M (32%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
MACDhist
only
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.6% | Win 52%
Sharpe 0.24 | Sortino 0.51 | Calmar 0.0
Vol 35% | MDD -60.8%
Months 103M (42%)
CAGR -20.7% | Win 36%
Sharpe -0.68 | Sortino -1.16 | Calmar -0.7
Vol 28% | MDD -28.8%
Months 14M (6%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR 7.5% | Win 44%
Sharpe 0.35 | Sortino 0.78 | Calmar 0.3
Vol 41% | MDD -22.9%
Months 16M (6%)
CAGR 9.0% | Win 58%
Sharpe 0.41 | Sortino 0.69 | Calmar 0.1
Vol 42% | MDD -60.8%
Months 112M (46%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 53%
Sharpe 0.25 | Sortino 0.51 | Calmar 0.0
Vol 35% | MDD -65.7%
Months 89M (36%)
CAGR -10.5% | Win 43%
Sharpe -0.19 | Sortino -0.42 | Calmar -0.2
Vol 33% | MDD -43.2%
Months 28M (11%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.31 | Calmar -0.0
Vol 34% | MDD -66.9%
Months 117M (48%)
SLmean
neg
CAGR -8.4% | Win 51%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 40% | MDD -68.2%
Months 80M (33%)
CAGR 45.0% | Win 65%
Sharpe 1.08 | Sortino 2.09 | Calmar 1.0
Vol 43% | MDD -44.9%
Months 48M (20%)
CAGR 8.8% | Win 56%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.1
Vol 41% | MDD -60.8%
Months 128M (52%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -5.7% | Win 50%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 37% | MDD -77.0%
Months 121M (49%)
CAGR 19.1% | Win 58%
Sharpe 0.62 | Sortino 1.31 | Calmar 0.3
Vol 42% | MDD -68.3%
Months 93M (38%)
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (87%)
RSmean
neg
CAGR 16.4% | Win 73%
Sharpe 0.66 | Sortino 0.71 | Calmar 1.1
Vol 30% | MDD -14.6%
Months 11M (4%)
CAGR -3.2% | Win 45%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 30% | MDD -24.8%
Months 20M (8%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
MACD
only
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -4.6% | Win 48%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.1
Vol 34% | MDD -80.5%
Months 126M (51%)
CAGR 18.8% | Win 61%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.3
Vol 45% | MDD -64.2%
Months 88M (36%)
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (87%)
RSmean
neg
CAGR -12.4% | Win 47%
Sharpe -0.40 | Sortino -0.51 | Calmar -0.8
Vol 26% | MDD -14.6%
Months 17M (7%)
CAGR 26.3% | Win 64%
Sharpe 0.87 | Sortino 1.05 | Calmar 1.1
Vol 33% | MDD -24.8%
Months 14M (6%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
RSI
only
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.5% | Win 54%
Sharpe 0.44 | Sortino 0.93 | Calmar 0.2
Vol 38% | MDD -45.4%
Months 122M (50%)
CAGR -3.2% | Win 52%
Sharpe 0.12 | Sortino 0.22 | Calmar -0.0
Vol 41% | MDD -71.8%
Months 92M (38%)
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (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 -0.2% | Win 50%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 28% | MDD -20.7%
Months 22M (9%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
MACDhist
only
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.52 | Calmar 0.0
Vol 37% | MDD -66.7%
Months 109M (44%)
CAGR 6.7% | Win 55%
Sharpe 0.36 | Sortino 0.63 | Calmar 0.1
Vol 42% | MDD -61.5%
Months 105M (43%)
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (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 -1.8% | Win 57%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 33% | MDD -28.8%
Months 21M (9%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -3.6% | Win 51%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 38% | MDD -84.3%
Months 141M (58%)
CAGR 21.8% | Win 57%
Sharpe 0.68 | Sortino 1.47 | Calmar 0.4
Vol 40% | MDD -60.3%
Months 73M (30%)
CAGR 4.4% | Win 53%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 214M (87%)
RSmean
neg
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 30% | MDD -26.0%
Months 28M (11%)
CAGR 11.9% | Win 33%
Sharpe 0.48 | Sortino 0.87 | Calmar 270.1
Vol 30% | MDD -0.0%
Months 3M (1%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -29.5%
Months 31M (13%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -4.2% | Win 50%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 34% | MDD -75.2%
Months 107M (44%)
CAGR -3.1% | Win 60%
Sharpe 0.16 | Sortino 0.19 | Calmar -0.1
Vol 45% | MDD -39.8%
Months 25M (10%)
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
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 (31%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
RSI
only
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 53%
Sharpe 0.38 | Sortino 0.79 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 92M (38%)
CAGR -26.4% | Win 48%
Sharpe -0.56 | Sortino -0.84 | Calmar -0.4
Vol 40% | MDD -61.4%
Months 40M (16%)
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
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 (30%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
MACDhist
only
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.7% | Win 55%
Sharpe 0.33 | Sortino 0.69 | Calmar 0.1
Vol 34% | MDD -58.7%
Months 67M (27%)
CAGR -13.0% | Win 48%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 39% | MDD -52.2%
Months 65M (26%)
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
MACD
neg
CAGR 0.1% | Win 46%
Sharpe 0.18 | Sortino 0.39 | Calmar 0.0
Vol 38% | MDD -61.4%
Months 52M (21%)
CAGR 28.9% | Win 64%
Sharpe 0.82 | Sortino 1.45 | Calmar 0.5
Vol 41% | MDD -54.7%
Months 61M (25%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -5.9% | Win 51%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 38% | MDD -74.3%
Months 119M (49%)
CAGR 15.6% | Win 54%
Sharpe 0.69 | Sortino 1.38 | Calmar 0.7
Vol 25% | MDD -23.3%
Months 13M (5%)
CAGR -4.0% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.9%
Months 132M (54%)
MACD
neg
CAGR 5.6% | Win 54%
Sharpe 0.33 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -51.6%
Months 50M (20%)
CAGR 22.6% | Win 57%
Sharpe 0.68 | Sortino 1.49 | Calmar 0.4
Vol 42% | MDD -59.2%
Months 63M (26%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (46%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.68 | Calmar 0.1
Vol 33% | MDD -57.5%
Months 98M (40%)
CAGR -26.6% | Win 36%
Sharpe -0.75 | Sortino -1.53 | Calmar -0.4
Vol 34% | MDD -66.2%
Months 45M (18%)
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
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 (28%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
MACDhist
only
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.0% | Win 51%
Sharpe 0.22 | Sortino 0.45 | Calmar 0.0
Vol 33% | MDD -61.0%
Months 96M (39%)
CAGR -19.5% | Win 40%
Sharpe -0.48 | Sortino -0.99 | Calmar -0.3
Vol 34% | MDD -60.5%
Months 47M (19%)
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
RSI
neg
CAGR 8.4% | Win 52%
Sharpe 0.38 | Sortino 0.89 | Calmar 0.2
Vol 45% | MDD -53.3%
Months 23M (9%)
CAGR 23.4% | Win 65%
Sharpe 0.70 | Sortino 1.04 | Calmar 0.4
Vol 43% | MDD -56.1%
Months 79M (32%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -1.0% | Win 50%
Sharpe 0.14 | Sortino 0.28 | Calmar -0.0
Vol 34% | MDD -64.2%
Months 128M (52%)
CAGR -37.0% | Win 27%
Sharpe -1.62 | Sortino -2.60 | Calmar -1.0
Vol 26% | MDD -36.9%
Months 15M (6%)
CAGR -5.6% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -77.3%
Months 143M (58%)
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 (25%)
CAGR 19.8% | Win 62%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 43% | MDD -70.3%
Months 102M (42%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.2% | Win 56%
Sharpe 0.51 | Sortino 1.11 | Calmar 0.2
Vol 38% | MDD -59.8%
Months 88M (36%)
CAGR 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 39% | MDD -36.2%
Months 43M (18%)
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
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 5.1% | Win 57%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 41% | MDD -63.9%
Months 83M (34%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.2% | Win 54%
Sharpe 0.39 | Sortino 0.80 | Calmar 0.2
Vol 37% | MDD -50.0%
Months 103M (42%)
CAGR 19.8% | Win 57%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.6
Vol 41% | MDD -35.4%
Months 28M (11%)
CAGR 10.6% | Win 55%
Sharpe 0.45 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -50.6%
Months 131M (54%)
MACDhist
neg
CAGR -17.4% | Win 48%
Sharpe -0.33 | Sortino -0.48 | Calmar -0.2
Vol 37% | MDD -83.1%
Months 66M (27%)
CAGR 22.3% | Win 56%
Sharpe 0.69 | Sortino 1.65 | Calmar 0.4
Vol 40% | MDD -50.0%
Months 48M (20%)
CAGR -2.6% | Win 52%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -72.2%
Months 114M (46%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.5% | Win 52%
Sharpe 0.27 | Sortino 0.53 | Calmar 0.1
Vol 34% | MDD -63.4%
Months 87M (36%)
CAGR 2.4% | Win 50%
Sharpe 0.24 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -47.7%
Months 32M (13%)
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (49%)
RSIhist
neg
CAGR -8.8% | Win 52%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 40% | MDD -68.2%
Months 82M (34%)
CAGR 37.3% | Win 61%
Sharpe 0.99 | Sortino 1.83 | Calmar 0.9
Vol 40% | MDD -43.5%
Months 44M (18%)
CAGR 5.2% | Win 56%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 126M (51%)
LWTI
only
CAGR -2.6% | Win 52%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 37% | MDD -83.5%
Months 169M (69%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (31%)