GDX - VanEck Gold Miners ETF

Signal Pair Analysis

SLmean-LWTI

Best Pair

45.0%

Best CAGR

68

Total Months

5.6%

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 20.1 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair SLmean LWTI neg-neg 48 20.1 45.0 64.6 1.1 2.1 1.0 42.9 -44.9
pair LWTI RSI neg-neg 61 25.5 42.6 63.9 1.1 2.2 0.8 41.4 -53.9
pair RSI LWTI neg-neg 61 25.5 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 18.4 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair LWTI RSIhist neg-neg 44 18.4 37.3 61.4 1.0 1.8 0.9 40.1 -43.5
pair RSI MRmean pos-neg 17 7.1 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair MRmean RSI pos-neg 17 7.1 32.5 52.9 0.8 1.7 1.3 46.6 -25.6
pair RSIhist MACD neg-neg 61 25.5 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSIhist neg-neg 61 25.5 28.9 63.9 0.8 1.4 0.5 41.0 -54.7
pair MACD RSI neg-neg 77 32.2 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair RSI MACD neg-neg 77 32.2 28.4 62.3 0.8 1.5 0.4 42.9 -70.3
pair SLmean MACD neg-neg 70 29.3 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair MACD SLmean neg-neg 70 29.3 27.4 60.0 0.8 1.4 0.5 41.9 -54.7
pair LWTI MRmean neg-neg 54 22.6 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MRmean LWTI neg-neg 54 22.6 27.1 61.1 0.8 1.6 0.5 39.3 -53.1
pair MACDhist MRmean neg-pos 29 12.1 26.8 62.1 0.7 1.4 0.8 48.9 -33.7
pair MRmean MACDhist neg-pos 29 12.1 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 35.1 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair SLmean RSI neg-neg 84 35.1 25.9 65.5 0.7 1.2 0.5 44.7 -56.1
pair MACDhist RSI neg-pos 33 13.8 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSI MACDhist neg-pos 33 13.8 25.6 60.6 0.7 1.3 0.5 49.7 -48.2
pair RSIhist RSI neg-neg 79 33.1 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair RSI RSIhist neg-neg 79 33.1 23.4 64.6 0.7 1.0 0.4 43.3 -56.1
pair MACD LWTI neg-neg 63 26.4 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACD neg-neg 63 26.4 22.6 57.1 0.7 1.5 0.4 42.5 -59.2
pair LWTI MACDhist neg-neg 48 20.1 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair MACDhist LWTI neg-neg 48 20.1 22.3 56.2 0.7 1.6 0.5 40.0 -50.0
pair RSmean LWTI pos-neg 73 30.5 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
pair LWTI RSmean pos-neg 73 30.5 21.8 57.5 0.7 1.5 0.4 40.5 -60.3
single LWTI LWTI neg-neg 76 31.8 21.4 56.6 0.7 1.4 0.4 39.9 -59.2
pair MACDhist LWTI pos-neg 28 11.7 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
pair LWTI MACDhist pos-neg 28 11.7 19.8 57.1 0.6 1.1 0.6 40.6 -35.4
single RSI RSI neg-neg 102 42.7 19.8 61.8 0.6 1.0 0.3 43.4 -70.3
pair MACD MRmean neg-neg 73 30.5 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MRmean MACD neg-neg 73 30.5 19.5 58.9 0.6 1.1 0.3 39.5 -60.5
pair MACD RSmean pos-neg 93 38.9 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean MACD pos-neg 93 38.9 19.1 58.1 0.6 1.3 0.3 41.6 -68.3
pair RSmean RSI pos-neg 88 36.8 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair RSI RSmean pos-neg 88 36.8 18.8 61.4 0.6 1.0 0.3 45.0 -64.2
pair MACD MACDhist neg-pos 39 16.3 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MACDhist MACD neg-pos 39 16.3 17.5 59.0 0.6 1.1 0.4 44.6 -48.2
pair MRmean RSI neg-neg 85 35.6 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair RSI MRmean neg-neg 85 35.6 17.4 63.5 0.6 0.9 0.3 43.0 -60.5
pair MACDhist RSI neg-neg 69 28.9 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair RSI MACDhist neg-neg 69 28.9 17.1 62.3 0.6 0.9 0.3 40.4 -56.4
pair LWTI MACD pos-neg 13 5.4 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair MACD LWTI pos-neg 13 5.4 15.6 53.8 0.7 1.4 0.7 25.2 -23.3
pair MACDhist SLmean neg-pos 47 19.7 15.5 57.4 0.5 1.1 0.5 42.2 -33.7
pair SLmean MACDhist neg-pos 47 19.7 15.5 57.4 0.5 1.1 0.5 42.2 -33.7
pair RSIhist RSmean neg-pos 10 4.2 15.0 50.0 0.8 1.5 2.2 20.6 -6.7
pair RSmean RSIhist 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 47.3 14.8 55.8 0.5 1.1 0.2 39.7 -73.7
pair MACDhist MACD neg-neg 74 31.0 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACD MACDhist neg-neg 74 31.0 13.4 54.1 0.5 1.0 0.2 37.2 -62.8
pair MACDhist RSIhist pos-pos 88 36.8 13.2 55.7 0.5 1.1 0.2 37.5 -59.8
pair RSIhist MACDhist pos-pos 88 36.8 13.2 55.7 0.5 1.1 0.2 37.5 -59.8
pair MACDhist RSmean pos-pos 119 49.8 12.7 54.6 0.5 1.1 0.3 38.3 -45.4
pair SLmean RSmean neg-neg 21 8.8 12.7 52.4 0.6 0.7 0.7 28.9 -19.4
pair RSmean SLmean neg-neg 21 8.8 12.7 52.4 0.6 0.7 0.7 28.9 -19.4
pair RSmean MACDhist pos-pos 119 49.8 12.7 54.6 0.5 1.1 0.3 38.3 -45.4
single MACDhist MACDhist pos-pos 128 53.6 12.7 55.5 0.5 1.0 0.2 37.9 -50.6
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 3.3 11.9 75.0 0.5 0.7 0.8 29.2 -14.6
pair MRmean RSmean pos-neg 8 3.3 11.9 75.0 0.5 0.7 0.8 29.2 -14.6
pair MACDhist RSIhist pos-neg 40 16.7 11.6 55.0 0.5 0.8 0.4 39.3 -31.2
pair RSIhist MACDhist pos-neg 40 16.7 11.6 55.0 0.5 0.8 0.4 39.3 -31.2
pair SLmean MACDhist pos-pos 81 33.9 11.1 54.3 0.5 1.0 0.2 35.4 -51.3
pair MACDhist SLmean pos-pos 81 33.9 11.1 54.3 0.5 1.0 0.2 35.4 -51.3
pair LWTI MACDhist pos-pos 100 41.8 10.8 55.0 0.5 0.9 0.2 37.3 -50.0
pair MACDhist LWTI pos-pos 100 41.8 10.8 55.0 0.5 0.9 0.2 37.3 -50.0
pair MACD MACDhist pos-pos 89 37.2 10.6 53.9 0.5 1.0 0.2 34.8 -50.6
pair MACDhist MACD pos-pos 89 37.2 10.6 53.9 0.5 1.0 0.2 34.8 -50.6
pair MRmean RSIhist neg-pos 16 6.7 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair RSIhist MRmean neg-pos 16 6.7 10.3 43.8 0.4 1.0 0.3 41.3 -37.8
pair MRmean SLmean neg-neg 100 41.8 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair SLmean MRmean neg-neg 100 41.8 9.9 59.0 0.4 0.7 0.2 41.1 -60.8
pair RSIhist SLmean neg-neg 108 45.2 9.8 59.3 0.4 0.7 0.2 40.3 -60.8
pair SLmean RSIhist neg-neg 108 45.2 9.8 59.3 0.4 0.7 0.2 40.3 -60.8
single SLmean SLmean neg-neg 124 51.9 9.5 57.3 0.4 0.7 0.2 40.2 -60.8
single RSmean RSmean neg-neg 30 12.6 9.0 56.7 0.4 0.6 0.3 28.4 -29.5
pair MRmean MACDhist pos-pos 99 41.4 8.9 53.5 0.4 0.8 0.2 34.2 -48.5
pair MACDhist MRmean pos-pos 99 41.4 8.9 53.5 0.4 0.8 0.2 34.2 -48.5
pair SLmean RSmean neg-pos 103 43.1 8.8 58.3 0.4 0.7 0.1 42.2 -61.6
pair RSmean SLmean neg-pos 103 43.1 8.8 58.3 0.4 0.7 0.1 42.2 -61.6
pair RSmean LWTI neg-pos 27 11.3 8.6 59.3 0.4 0.5 0.3 28.9 -24.5
pair LWTI RSmean neg-pos 27 11.3 8.6 59.3 0.4 0.5 0.3 28.9 -24.5
pair MACDhist RSI pos-pos 95 39.7 8.5 53.7 0.4 0.8 0.1 33.0 -57.5
pair RSI MACDhist pos-pos 95 39.7 8.5 53.7 0.4 0.8 0.1 33.0 -57.5
pair RSI RSIhist neg-pos 23 9.6 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair RSIhist RSI neg-pos 23 9.6 8.4 52.2 0.4 0.9 0.2 44.7 -53.3
pair MRmean LWTI pos-neg 22 9.2 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair LWTI MRmean pos-neg 22 9.2 8.3 45.5 0.4 0.9 0.3 42.1 -25.7
pair MRmean RSIhist pos-neg 28 11.7 8.1 46.4 0.4 0.8 0.3 36.5 -28.8
pair RSIhist MRmean pos-neg 28 11.7 8.1 46.4 0.4 0.8 0.3 36.5 -28.8
pair MRmean RSmean neg-neg 22 9.2 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair RSmean MRmean neg-neg 22 9.2 7.9 50.0 0.4 0.5 0.3 28.8 -24.8
pair MRmean SLmean pos-neg 24 10.0 7.7 50.0 0.4 0.9 0.3 37.1 -25.7
pair SLmean MRmean pos-neg 24 10.0 7.7 50.0 0.4 0.9 0.3 37.1 -25.7
pair RSIhist SLmean neg-pos 16 6.7 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
pair SLmean RSIhist neg-pos 16 6.7 7.5 43.8 0.3 0.8 0.3 41.0 -22.9
pair RSmean MACDhist neg-neg 21 8.8 7.5 52.4 0.4 0.6 0.5 26.8 -14.6
pair MACDhist RSmean neg-neg 21 8.8 7.5 52.4 0.4 0.6 0.5 26.8 -14.6
pair RSmean RSIhist pos-neg 100 41.8 7.1 56.0 0.4 0.6 0.1 40.7 -61.5
pair RSIhist RSmean pos-neg 100 41.8 7.1 56.0 0.4 0.6 0.1 40.7 -61.5
single MRmean MRmean neg-neg 108 45.2 7.1 57.4 0.4 0.6 0.1 40.3 -61.7
pair MRmean RSmean neg-pos 86 36.0 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
pair RSmean MRmean neg-pos 86 36.0 6.9 59.3 0.4 0.6 0.1 42.8 -58.1
single RSIhist RSIhist neg-neg 120 50.2 6.9 56.7 0.4 0.6 0.1 39.3 -63.9
pair MACD MRmean pos-neg 40 16.7 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
pair MRmean MACD pos-neg 40 16.7 6.6 50.0 0.3 0.8 0.2 40.6 -39.4
pair MRmean RSIhist neg-neg 92 38.5 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair RSIhist MRmean neg-neg 92 38.5 6.6 59.8 0.4 0.6 0.1 40.3 -60.8
pair RSIhist RSmean neg-neg 20 8.4 6.1 60.0 0.3 0.4 0.2 32.1 -24.5
pair RSmean RSIhist neg-neg 20 8.4 6.1 60.0 0.3 0.4 0.2 32.1 -24.5
pair MACDhist SLmean neg-neg 77 32.2 5.9 57.1 0.3 0.5 0.1 39.2 -60.8
pair SLmean MACDhist neg-neg 77 32.2 5.9 57.1 0.3 0.5 0.1 39.2 -60.8
pair MACD RSIhist pos-pos 67 28.0 5.7 55.2 0.3 0.7 0.1 33.8 -58.7
pair RSIhist MACD pos-pos 67 28.0 5.7 55.2 0.3 0.7 0.1 33.8 -58.7
pair MACD LWTI neg-pos 50 20.9 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair LWTI MACD neg-pos 50 20.9 5.6 54.0 0.3 0.6 0.1 36.2 -51.6
pair benchmark___benchmark_ benchmark-benchmark 239 100.0 5.1 54.0 0.3 0.6 0.1 37.5 -77.5
pair benchmark___benchmark_ benchmark-benchmark 239 100.0 5.1 54.0 0.3 0.6 0.1 37.5 -77.5
pair RSIhist MACDhist neg-neg 80 33.5 4.7 57.5 0.3 0.5 0.1 39.5 -63.9
pair MACDhist RSIhist neg-neg 80 33.5 4.7 57.5 0.3 0.5 0.1 39.5 -63.9
single RSmean RSmean pos-pos 209 87.4 4.5 53.6 0.3 0.6 0.1 38.6 -73.5
pair LWTI SLmean pos-pos 87 36.4 4.4 52.9 0.3 0.6 0.1 35.0 -65.7
pair SLmean LWTI pos-pos 87 36.4 4.4 52.9 0.3 0.6 0.1 35.0 -65.7
pair RSIhist LWTI pos-pos 87 36.4 3.5 51.7 0.3 0.5 0.1 34.3 -63.4
pair LWTI RSIhist pos-pos 87 36.4 3.5 51.7 0.3 0.5 0.1 34.3 -63.4
single MRmean MRmean pos-pos 131 54.8 3.4 51.1 0.3 0.6 0.1 35.1 -57.6
single RSIhist RSIhist pos-pos 119 49.8 3.2 51.3 0.3 0.6 0.1 35.7 -64.6
pair MRmean RSmean pos-pos 123 51.5 2.9 49.6 0.2 0.5 0.1 35.6 -55.8
pair RSmean MRmean pos-pos 123 51.5 2.9 49.6 0.2 0.5 0.1 35.6 -55.8
pair MACD SLmean pos-pos 72 30.1 2.7 51.4 0.2 0.5 0.0 33.7 -64.9
pair SLmean MACD pos-pos 72 30.1 2.7 51.4 0.2 0.5 0.0 33.7 -64.9
pair SLmean RSIhist pos-pos 103 43.1 2.6 52.4 0.2 0.5 0.0 35.0 -60.8
pair RSIhist SLmean pos-pos 103 43.1 2.6 52.4 0.2 0.5 0.0 35.0 -60.8
pair SLmean MRmean pos-pos 107 44.8 2.5 51.4 0.2 0.5 0.0 34.9 -60.8
pair LWTI MRmean pos-pos 109 45.6 2.5 52.3 0.2 0.5 0.0 33.8 -63.4
pair MRmean LWTI pos-pos 109 45.6 2.5 52.3 0.2 0.5 0.0 33.8 -63.4
pair MRmean SLmean pos-pos 107 44.8 2.5 51.4 0.2 0.5 0.0 34.9 -60.8
pair LWTI RSIhist pos-neg 32 13.4 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair RSIhist LWTI pos-neg 32 13.4 2.4 50.0 0.2 0.6 0.1 39.8 -47.7
pair RSmean RSIhist pos-pos 109 45.6 2.2 51.4 0.2 0.5 0.0 36.8 -66.7
pair RSIhist RSmean pos-pos 109 45.6 2.2 51.4 0.2 0.5 0.0 36.8 -66.7
pair RSIhist MRmean pos-pos 103 43.1 2.2 52.4 0.2 0.5 0.0 34.9 -62.1
pair MRmean RSIhist pos-pos 103 43.1 2.2 52.4 0.2 0.5 0.0 34.9 -62.1
pair MACD MRmean pos-pos 91 38.1 2.1 51.6 0.2 0.4 0.0 32.7 -62.8
pair MRmean MACD pos-pos 91 38.1 2.1 51.6 0.2 0.4 0.0 32.7 -62.8
pair RSI RSIhist pos-pos 96 40.2 2.0 51.0 0.2 0.5 0.0 33.4 -61.0
pair RSIhist RSI pos-pos 96 40.2 2.0 51.0 0.2 0.5 0.0 33.4 -61.0
pair SLmean RSI pos-pos 97 40.6 1.5 51.5 0.2 0.5 0.0 34.0 -66.8
pair RSI SLmean pos-pos 97 40.6 1.5 51.5 0.2 0.5 0.0 34.0 -66.8
pair MRmean MACDhist neg-neg 79 33.1 0.7 55.7 0.2 0.3 0.0 36.7 -60.9
pair MACDhist MRmean neg-neg 79 33.1 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 SLmean RSmean pos-pos 106 44.4 0.5 49.1 0.2 0.4 0.0 34.9 -67.5
pair RSmean SLmean pos-pos 106 44.4 0.5 49.1 0.2 0.4 0.0 34.9 -67.5
single SLmean SLmean pos-pos 115 48.1 0.5 50.4 0.2 0.4 0.0 34.4 -66.9
pair RSI LWTI pos-pos 122 51.0 0.3 50.8 0.2 0.3 0.0 32.6 -64.2
pair LWTI RSI pos-pos 122 51.0 0.3 50.8 0.2 0.3 0.0 32.6 -64.2
pair RSIhist MACD neg-pos 52 21.8 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
pair MACD RSIhist neg-pos 52 21.8 0.1 46.2 0.2 0.4 0.0 38.2 -61.4
pair RSI MRmean pos-pos 114 47.7 -0.3 50.9 0.1 0.3 -0.0 33.2 -66.8
pair MRmean RSI pos-pos 114 47.7 -0.3 50.9 0.1 0.3 -0.0 33.2 -66.8
single LWTI LWTI pos-pos 163 68.2 -1.8 52.8 0.1 0.2 -0.0 36.2 -83.5
single MACD MACD pos-pos 126 52.7 -2.9 52.4 0.1 0.2 -0.0 35.3 -69.9
pair RSI MACD pos-pos 101 42.3 -2.9 50.5 0.1 0.1 -0.0 32.6 -75.2
pair MACD RSI pos-pos 101 42.3 -2.9 50.5 0.1 0.1 -0.0 32.6 -75.2
single MACDhist MACDhist neg-neg 111 46.4 -3.1 52.3 0.1 0.2 -0.0 37.0 -72.2
pair MACD SLmean pos-neg 43 18.0 -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 SLmean MACD pos-neg 43 18.0 -3.1 48.8 0.1 0.2 -0.1 35.8 -55.7
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 neg-neg 20 8.4 -3.2 45.0 0.0 0.0 -0.1 29.6 -24.8
pair LWTI RSmean pos-pos 136 56.9 -3.7 51.5 0.1 0.1 -0.0 37.6 -84.3
pair RSmean LWTI pos-pos 136 56.9 -3.7 51.5 0.1 0.1 -0.0 37.6 -84.3
pair RSmean RSI neg-pos 16 6.7 -4.2 50.0 -0.1 -0.1 -0.3 24.1 -14.6
pair RSI RSmean neg-pos 16 6.7 -4.2 50.0 -0.1 -0.1 -0.3 24.1 -14.6
single RSI RSI pos-pos 137 57.3 -4.7 48.2 0.0 0.0 -0.1 32.1 -77.3
pair RSI SLmean pos-neg 18 7.5 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
pair SLmean RSI pos-neg 18 7.5 -4.8 44.4 0.0 0.1 -0.1 37.2 -42.7
pair RSmean RSI pos-pos 121 50.6 -4.8 47.9 0.0 0.0 -0.1 33.1 -80.5
pair RSI RSmean pos-pos 121 50.6 -4.8 47.9 0.0 0.0 -0.1 33.1 -80.5
pair LWTI MACD pos-pos 113 47.3 -4.9 52.2 0.0 0.1 -0.1 36.3 -74.3
pair MACD LWTI pos-pos 113 47.3 -4.9 52.2 0.0 0.1 -0.1 36.3 -74.3
pair RSmean MACDhist pos-neg 90 37.7 -5.4 52.2 0.1 0.1 -0.1 39.1 -71.8
pair MACDhist RSmean pos-neg 90 37.7 -5.4 52.2 0.1 0.1 -0.1 39.1 -71.8
pair MACD RSmean pos-pos 116 48.5 -5.8 50.0 0.0 0.0 -0.1 35.9 -77.0
pair RSmean MACD pos-pos 116 48.5 -5.8 50.0 0.0 0.0 -0.1 35.9 -77.0
pair RSIhist LWTI neg-pos 76 31.8 -7.5 53.9 -0.0 -0.0 -0.1 38.5 -68.2
pair LWTI RSIhist neg-pos 76 31.8 -7.5 53.9 -0.0 -0.0 -0.1 38.5 -68.2
pair LWTI RSI neg-pos 41 17.2 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair RSI LWTI neg-pos 41 17.2 -7.5 58.5 0.1 0.1 -0.1 45.8 -72.1
pair LWTI SLmean neg-pos 76 31.8 -8.3 52.6 -0.0 -0.1 -0.1 37.7 -68.2
pair SLmean LWTI neg-pos 76 31.8 -8.3 52.6 -0.0 -0.1 -0.1 37.7 -68.2
pair MACD RSI neg-pos 36 15.1 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair RSI MACD neg-pos 36 15.1 -9.7 41.7 -0.2 -0.3 -0.3 31.1 -35.4
pair LWTI MRmean neg-pos 54 22.6 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair MRmean LWTI neg-pos 54 22.6 -9.8 53.7 -0.0 -0.1 -0.1 40.9 -70.0
pair SLmean MACD neg-pos 54 22.6 -10.0 53.7 -0.1 -0.1 -0.2 37.5 -51.0
pair MACD SLmean neg-pos 54 22.6 -10.0 53.7 -0.1 -0.1 -0.2 37.5 -51.0
pair LWTI SLmean pos-neg 28 11.7 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair SLmean LWTI pos-neg 28 11.7 -10.5 42.9 -0.2 -0.4 -0.2 32.7 -43.2
pair MRmean MACDhist pos-neg 32 13.4 -11.8 43.8 -0.1 -0.3 -0.3 38.1 -36.2
pair MACDhist MRmean pos-neg 32 13.4 -11.8 43.8 -0.1 -0.3 -0.3 38.1 -36.2
pair RSIhist MACD pos-neg 59 24.7 -11.9 49.2 -0.1 -0.2 -0.2 37.0 -52.2
pair MACD RSIhist pos-neg 59 24.7 -11.9 49.2 -0.1 -0.2 -0.2 37.0 -52.2
pair MACD MRmean neg-pos 35 14.6 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair MRmean MACD neg-pos 35 14.6 -14.8 54.3 -0.2 -0.2 -0.3 41.7 -46.4
pair RSIhist SLmean pos-neg 12 5.0 -15.6 33.3 -0.4 -0.8 -0.7 29.1 -22.0
pair SLmean RSIhist pos-neg 12 5.0 -15.6 33.3 -0.4 -0.8 -0.7 29.1 -22.0
pair RSI SLmean neg-pos 40 16.7 -18.3 40.0 -0.6 -1.0 -0.4 26.6 -47.6
pair SLmean RSI neg-pos 40 16.7 -18.3 40.0 -0.6 -1.0 -0.4 26.6 -47.6
pair LWTI MACDhist neg-pos 63 26.4 -18.8 49.2 -0.4 -0.6 -0.2 33.9 -83.1
pair MACDhist LWTI neg-pos 63 26.4 -18.8 49.2 -0.4 -0.6 -0.2 33.9 -83.1
pair RSIhist RSI pos-neg 41 17.2 -18.8 41.5 -0.6 -1.1 -0.3 28.6 -57.4
pair RSI RSIhist pos-neg 41 17.2 -18.8 41.5 -0.6 -1.1 -0.3 28.6 -57.4
pair MACDhist RSIhist neg-pos 31 13.0 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair RSIhist MACDhist neg-pos 31 13.0 -20.6 38.7 -0.7 -1.1 -0.4 29.0 -48.1
pair SLmean MACDhist pos-neg 34 14.2 -20.8 41.2 -0.6 -1.1 -0.4 31.1 -54.0
pair MACDhist SLmean pos-neg 34 14.2 -20.8 41.2 -0.6 -1.1 -0.4 31.1 -54.0
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 MRmean RSI neg-pos 23 9.6 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair RSI MRmean neg-pos 23 9.6 -23.8 34.8 -0.9 -1.4 -0.6 25.7 -41.1
pair RSI MACDhist pos-neg 42 17.6 -29.0 35.7 -1.1 -1.8 -0.4 28.4 -66.2
pair MACDhist RSI pos-neg 42 17.6 -29.0 35.7 -1.1 -1.8 -0.4 28.4 -66.2
pair MACDhist MACD pos-neg 37 15.5 -29.2 48.6 -0.8 -1.0 -0.5 35.4 -61.4
pair MACD MACDhist pos-neg 37 15.5 -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 2.5% | Win 51%
Sharpe 0.24 | Sortino 0.48 | Calmar 0.0
Vol 35% | MDD -60.8%
Months 107M (45%)
CAGR 7.7% | Win 50%
Sharpe 0.37 | Sortino 0.92 | Calmar 0.3
Vol 37% | MDD -25.7%
Months 24M (10%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (45%)
SLmean
only
CAGR 0.5% | Win 50%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 50%
Sharpe 0.25 | Sortino 0.53 | Calmar 0.1
Vol 36% | MDD -55.8%
Months 123M (52%)
CAGR 11.9% | Win 75%
Sharpe 0.52 | Sortino 0.69 | Calmar 0.8
Vol 29% | MDD -14.6%
Months 8M (3%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (45%)
RSmean
only
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 2.1% | Win 52%
Sharpe 0.22 | Sortino 0.44 | Calmar 0.0
Vol 33% | MDD -62.8%
Months 91M (38%)
CAGR 6.6% | Win 50%
Sharpe 0.34 | Sortino 0.78 | Calmar 0.2
Vol 41% | MDD -39.4%
Months 40M (17%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (30%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (45%)
MACD
only
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (47%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -0.3% | Win 51%
Sharpe 0.15 | Sortino 0.32 | Calmar -0.0
Vol 33% | MDD -66.8%
Months 114M (48%)
CAGR 32.5% | Win 53%
Sharpe 0.81 | Sortino 1.68 | Calmar 1.3
Vol 47% | MDD -25.6%
Months 17M (7%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (45%)
RSI
only
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 8.9% | Win 54%
Sharpe 0.41 | Sortino 0.84 | Calmar 0.2
Vol 34% | MDD -48.5%
Months 99M (41%)
CAGR -11.8% | Win 44%
Sharpe -0.15 | Sortino -0.34 | Calmar -0.3
Vol 38% | MDD -36.2%
Months 32M (13%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (45%)
MACDhist
only
CAGR 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (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 (43%)
CAGR 8.1% | Win 46%
Sharpe 0.38 | Sortino 0.84 | Calmar 0.3
Vol 36% | MDD -28.8%
Months 28M (12%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (38%)
CAGR 7.1% | Win 57%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.1
Vol 40% | MDD -61.7%
Months 108M (45%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 52%
Sharpe 0.24 | Sortino 0.48 | Calmar 0.0
Vol 34% | MDD -63.4%
Months 109M (46%)
CAGR 8.3% | Win 46%
Sharpe 0.37 | Sortino 0.93 | Calmar 0.3
Vol 42% | MDD -25.7%
Months 22M (9%)
CAGR 3.4% | Win 51%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -57.6%
Months 131M (55%)
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 (45%)
LWTI
only
CAGR -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 0.5% | Win 49%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 35% | MDD -67.5%
Months 106M (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 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
SLmean
neg
CAGR 8.8% | Win 58%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.1
Vol 42% | MDD -61.6%
Months 103M (43%)
CAGR 12.7% | Win 52%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.7
Vol 29% | MDD -19.4%
Months 21M (9%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
RSmean
only
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 2.7% | Win 51%
Sharpe 0.24 | Sortino 0.50 | Calmar 0.0
Vol 34% | MDD -64.9%
Months 72M (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 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
SLmean
neg
CAGR -10.0% | Win 54%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.2
Vol 38% | MDD -51.0%
Months 54M (23%)
CAGR 27.4% | Win 60%
Sharpe 0.78 | Sortino 1.43 | Calmar 0.5
Vol 42% | MDD -54.7%
Months 70M (29%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
MACD
only
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (47%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 1.5% | Win 52%
Sharpe 0.21 | Sortino 0.45 | Calmar 0.0
Vol 34% | MDD -66.8%
Months 97M (41%)
CAGR -4.8% | Win 44%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 37% | MDD -42.7%
Months 18M (8%)
CAGR 0.5% | Win 50%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
SLmean
neg
CAGR -18.3% | Win 40%
Sharpe -0.62 | Sortino -1.01 | Calmar -0.4
Vol 27% | MDD -47.6%
Months 40M (17%)
CAGR 25.9% | Win 66%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.5
Vol 45% | MDD -56.1%
Months 84M (35%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
RSI
only
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 11.1% | Win 54%
Sharpe 0.47 | Sortino 0.97 | Calmar 0.2
Vol 35% | MDD -51.3%
Months 81M (34%)
CAGR -20.8% | Win 41%
Sharpe -0.59 | Sortino -1.15 | Calmar -0.4
Vol 31% | MDD -54.0%
Months 34M (14%)
CAGR 0.5% | Win 50%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
SLmean
neg
CAGR 15.5% | Win 57%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.5
Vol 42% | MDD -33.7%
Months 47M (20%)
CAGR 5.9% | Win 57%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 39% | MDD -60.8%
Months 77M (32%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
MACDhist
only
CAGR 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (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 (43%)
CAGR -15.6% | Win 33%
Sharpe -0.44 | Sortino -0.78 | Calmar -0.7
Vol 29% | MDD -22.0%
Months 12M (5%)
CAGR 0.5% | Win 50%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (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 9.8% | Win 59%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 108M (45%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.4% | Win 53%
Sharpe 0.29 | Sortino 0.59 | Calmar 0.1
Vol 35% | MDD -65.7%
Months 87M (36%)
CAGR -10.5% | Win 43%
Sharpe -0.19 | Sortino -0.42 | Calmar -0.2
Vol 33% | MDD -43.2%
Months 28M (12%)
CAGR 0.5% | Win 50%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -66.9%
Months 115M (48%)
SLmean
neg
CAGR -8.3% | Win 53%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 38% | MDD -68.2%
Months 76M (32%)
CAGR 45.0% | Win 65%
Sharpe 1.08 | Sortino 2.09 | Calmar 1.0
Vol 43% | MDD -44.9%
Months 48M (20%)
CAGR 9.5% | Win 57%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.2
Vol 40% | MDD -60.8%
Months 124M (52%)
LWTI
only
CAGR -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 -5.8% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 36% | MDD -77.0%
Months 116M (48%)
CAGR 19.1% | Win 58%
Sharpe 0.62 | Sortino 1.31 | Calmar 0.3
Vol 42% | MDD -68.3%
Months 93M (39%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (47%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -4.8% | Win 48%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.1
Vol 33% | MDD -80.5%
Months 121M (51%)
CAGR 18.8% | Win 61%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.3
Vol 45% | MDD -64.2%
Months 88M (37%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 12.7% | Win 55%
Sharpe 0.49 | Sortino 1.05 | Calmar 0.3
Vol 38% | MDD -45.4%
Months 119M (50%)
CAGR -5.4% | Win 52%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.1
Vol 39% | MDD -71.8%
Months 90M (38%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (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 (46%)
CAGR 7.1% | Win 56%
Sharpe 0.37 | Sortino 0.63 | Calmar 0.1
Vol 41% | MDD -61.5%
Months 100M (42%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -3.7% | Win 52%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 38% | MDD -84.3%
Months 136M (57%)
CAGR 21.8% | Win 57%
Sharpe 0.68 | Sortino 1.47 | Calmar 0.4
Vol 40% | MDD -60.3%
Months 73M (30%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 39% | MDD -73.5%
Months 209M (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 -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 -2.9% | Win 50%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 33% | MDD -75.2%
Months 101M (42%)
CAGR -3.1% | Win 60%
Sharpe 0.16 | Sortino 0.19 | Calmar -0.1
Vol 45% | MDD -39.8%
Months 25M (10%)
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
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 (47%)
RSI
only
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 10.6% | Win 54%
Sharpe 0.46 | Sortino 0.98 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 89M (37%)
CAGR -29.2% | Win 49%
Sharpe -0.77 | Sortino -0.98 | Calmar -0.5
Vol 35% | MDD -61.4%
Months 37M (16%)
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
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 (47%)
MACDhist
only
CAGR 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (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 (28%)
CAGR -11.9% | Win 49%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.2
Vol 37% | MDD -52.2%
Months 59M (25%)
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
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 (47%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -4.9% | Win 52%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 36% | MDD -74.3%
Months 113M (47%)
CAGR 15.6% | Win 54%
Sharpe 0.69 | Sortino 1.38 | Calmar 0.7
Vol 25% | MDD -23.3%
Months 13M (5%)
CAGR -2.9% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 126M (53%)
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 (26%)
CAGR 14.8% | Win 56%
Sharpe 0.54 | Sortino 1.05 | Calmar 0.2
Vol 40% | MDD -73.7%
Months 113M (47%)
LWTI
only
CAGR -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 8.5% | Win 54%
Sharpe 0.41 | Sortino 0.85 | Calmar 0.1
Vol 33% | MDD -57.5%
Months 95M (40%)
CAGR -29.0% | Win 36%
Sharpe -1.05 | Sortino -1.79 | Calmar -0.4
Vol 28% | MDD -66.2%
Months 42M (18%)
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
CAGR -3.1% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -72.2%
Months 111M (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 (40%)
CAGR -18.8% | Win 42%
Sharpe -0.58 | Sortino -1.07 | Calmar -0.3
Vol 29% | MDD -57.4%
Months 41M (17%)
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 0.3% | Win 51%
Sharpe 0.17 | Sortino 0.34 | Calmar 0.0
Vol 33% | MDD -64.2%
Months 122M (51%)
CAGR -37.0% | Win 27%
Sharpe -1.62 | Sortino -2.60 | Calmar -1.0
Vol 26% | MDD -36.9%
Months 15M (6%)
CAGR -4.7% | Win 48%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -77.3%
Months 137M (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 -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 13.2% | Win 56%
Sharpe 0.51 | Sortino 1.11 | Calmar 0.2
Vol 38% | MDD -59.8%
Months 88M (37%)
CAGR 11.6% | Win 55%
Sharpe 0.46 | Sortino 0.82 | Calmar 0.4
Vol 39% | MDD -31.2%
Months 40M (17%)
CAGR 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (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 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 (46%)
RSIhist
only
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -64.6%
Months 119M (50%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.8% | Win 55%
Sharpe 0.45 | Sortino 0.95 | Calmar 0.2
Vol 37% | MDD -50.0%
Months 100M (42%)
CAGR 19.8% | Win 57%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.6
Vol 41% | MDD -35.4%
Months 28M (12%)
CAGR 12.7% | Win 56%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -50.6%
Months 128M (54%)
MACDhist
neg
CAGR -18.8% | Win 49%
Sharpe -0.43 | Sortino -0.57 | Calmar -0.2
Vol 34% | MDD -83.1%
Months 63M (26%)
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 (46%)
LWTI
only
CAGR -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (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 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 (50%)
RSIhist
neg
CAGR -7.5% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 38% | MDD -68.2%
Months 76M (32%)
CAGR 37.3% | Win 61%
Sharpe 0.99 | Sortino 1.83 | Calmar 0.9
Vol 40% | MDD -43.5%
Months 44M (18%)
CAGR 6.9% | Win 57%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -63.9%
Months 120M (50%)
LWTI
only
CAGR -1.8% | Win 53%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -83.5%
Months 163M (68%)
CAGR 21.4% | Win 57%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 40% | MDD -59.2%
Months 76M (32%)