GDXJ - VanEck Junior Gold Miners ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

89.9%

Best CAGR

55

Total Months

5.7%

Avg CAGR

GDXJ 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 GDXJ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 10 5.1 89.9 70.0 3.0 7.0 12.5 22.4 -7.2
pair RSmean RSIhist neg-pos 10 5.1 89.9 70.0 3.0 7.0 12.5 22.4 -7.2
pair RSmean SLmean pos-neg 6 3.1 85.2 66.7 3.1 61.0 96.2 20.6 -0.9
pair SLmean RSmean pos-neg 6 3.1 85.2 66.7 3.1 61.0 96.2 20.6 -0.9
pair RSmean RSI neg-pos 12 6.2 65.8 66.7 2.4 5.6 30.4 22.7 -2.2
pair RSI RSmean neg-pos 12 6.2 65.8 66.7 2.4 5.6 30.4 22.7 -2.2
pair MACD RSmean neg-pos 4 2.1 58.5 50.0 1.7 6.0 44.3 30.3 -1.3
pair RSmean MACD neg-pos 4 2.1 58.5 50.0 1.7 6.0 44.3 30.3 -1.3
pair RSmean MACDhist neg-neg 15 7.7 46.0 66.7 1.5 2.4 3.3 28.8 -13.9
pair MACDhist RSmean neg-neg 15 7.7 46.0 66.7 1.5 2.4 3.3 28.8 -13.9
pair RSI MACD pos-neg 19 9.7 37.0 47.4 0.9 3.0 1.9 47.5 -19.2
pair MACD RSI pos-neg 19 9.7 37.0 47.4 0.9 3.0 1.9 47.5 -19.2
pair RSmean LWTI neg-pos 18 9.2 36.4 61.1 1.2 2.3 2.2 30.7 -16.3
pair LWTI RSmean neg-pos 18 9.2 36.4 61.1 1.2 2.3 2.2 30.7 -16.3
pair RSmean MRmean pos-neg 8 4.1 35.9 62.5 1.3 1.8 3.2 26.1 -11.2
pair MRmean RSmean pos-neg 8 4.1 35.9 62.5 1.3 1.8 3.2 26.1 -11.2
pair MACD MRmean pos-pos 53 27.2 30.2 50.9 0.9 2.3 0.9 37.2 -32.1
pair MRmean MACD pos-pos 53 27.2 30.2 50.9 0.9 2.3 0.9 37.2 -32.1
pair MACD LWTI pos-pos 57 29.2 28.9 49.1 0.8 1.9 0.7 42.2 -44.4
pair LWTI MACD pos-pos 57 29.2 28.9 49.1 0.8 1.9 0.7 42.2 -44.4
pair SLmean MACD pos-pos 46 23.6 26.7 47.8 0.8 2.2 0.8 36.6 -35.8
pair MACD SLmean pos-pos 46 23.6 26.7 47.8 0.8 2.2 0.8 36.6 -35.8
pair SLmean MACDhist pos-pos 59 30.3 25.3 49.2 0.7 1.8 0.5 41.0 -49.2
pair MACDhist SLmean pos-pos 59 30.3 25.3 49.2 0.7 1.8 0.5 41.0 -49.2
single RSmean RSmean neg-neg 23 11.8 25.3 56.5 0.9 1.9 1.6 28.8 -16.3
pair MRmean MACDhist pos-pos 67 34.4 23.9 49.3 0.7 1.7 0.5 41.0 -49.1
pair MACDhist MRmean pos-pos 67 34.4 23.9 49.3 0.7 1.7 0.5 41.0 -49.1
pair MACD RSIhist pos-pos 45 23.1 22.6 48.9 0.7 1.8 0.6 37.3 -41.1
pair RSIhist MACD pos-pos 45 23.1 22.6 48.9 0.7 1.8 0.6 37.3 -41.1
pair MACD MACDhist pos-pos 54 27.7 22.5 50.0 0.7 1.6 0.5 37.3 -42.8
pair MACDhist MACD pos-pos 54 27.7 22.5 50.0 0.7 1.6 0.5 37.3 -42.8
pair RSmean MRmean neg-neg 15 7.7 20.0 53.3 0.7 1.8 1.3 30.9 -15.5
pair MRmean RSmean neg-neg 15 7.7 20.0 53.3 0.7 1.8 1.3 30.9 -15.5
pair MACD RSmean neg-neg 19 9.7 19.2 57.9 0.8 1.5 1.2 29.1 -16.3
pair RSmean MACD neg-neg 19 9.7 19.2 57.9 0.8 1.5 1.2 29.1 -16.3
single MACD MACD pos-pos 77 39.5 18.3 46.8 0.6 1.5 0.3 39.7 -53.2
pair RSIhist LWTI pos-pos 62 31.8 18.1 51.6 0.6 1.3 0.3 39.1 -55.5
pair LWTI RSIhist pos-pos 62 31.8 18.1 51.6 0.6 1.3 0.3 39.1 -55.5
pair RSI MACDhist pos-pos 61 31.3 16.9 49.2 0.6 1.3 0.3 38.9 -59.8
pair MACDhist RSI pos-pos 61 31.3 16.9 49.2 0.6 1.3 0.3 38.9 -59.8
pair MACD RSmean pos-pos 73 37.4 16.4 46.6 0.6 1.4 0.3 40.3 -50.2
pair RSmean MACD pos-pos 73 37.4 16.4 46.6 0.6 1.4 0.3 40.3 -50.2
pair SLmean MRmean pos-neg 14 7.2 15.8 57.1 0.6 1.3 0.7 36.4 -22.4
pair MRmean SLmean pos-neg 14 7.2 15.8 57.1 0.6 1.3 0.7 36.4 -22.4
pair MACDhist LWTI pos-neg 27 13.8 15.5 51.9 0.5 1.3 0.5 45.2 -29.0
pair LWTI MACDhist pos-neg 27 13.8 15.5 51.9 0.5 1.3 0.5 45.2 -29.0
pair RSIhist RSI pos-pos 68 34.9 15.2 50.0 0.6 1.3 0.2 37.4 -61.6
pair RSI RSIhist pos-pos 68 34.9 15.2 50.0 0.6 1.3 0.2 37.4 -61.6
pair RSmean MACDhist pos-pos 91 46.7 14.9 50.5 0.5 1.1 0.3 42.9 -52.2
pair MACDhist RSmean pos-pos 91 46.7 14.9 50.5 0.5 1.1 0.3 42.9 -52.2
pair LWTI MRmean pos-pos 71 36.4 14.2 52.1 0.5 1.1 0.3 40.3 -53.4
pair MRmean LWTI pos-pos 71 36.4 14.2 52.1 0.5 1.1 0.3 40.3 -53.4
pair MACDhist RSIhist pos-pos 68 34.9 13.6 47.1 0.5 1.1 0.3 42.0 -53.3
pair RSIhist MACDhist pos-pos 68 34.9 13.6 47.1 0.5 1.1 0.3 42.0 -53.3
single MACDhist MACDhist pos-pos 99 50.8 13.0 49.5 0.5 1.0 0.2 41.8 -54.9
pair MACD RSI pos-pos 58 29.7 12.8 46.6 0.5 1.1 0.2 37.2 -54.3
pair RSI MACD pos-pos 58 29.7 12.8 46.6 0.5 1.1 0.2 37.2 -54.3
pair MACD RSIhist pos-neg 32 16.4 12.6 43.8 0.5 1.1 0.5 43.5 -27.6
pair RSI RSIhist neg-neg 80 41.0 12.6 52.5 0.5 0.9 0.2 44.0 -68.0
pair RSIhist RSI neg-neg 80 41.0 12.6 52.5 0.5 0.9 0.2 44.0 -68.0
pair RSIhist MACD pos-neg 32 16.4 12.6 43.8 0.5 1.1 0.5 43.5 -27.6
pair LWTI SLmean pos-pos 59 30.3 12.5 50.8 0.5 1.0 0.2 40.9 -58.7
pair SLmean LWTI pos-pos 59 30.3 12.5 50.8 0.5 1.0 0.2 40.9 -58.7
pair LWTI RSI pos-pos 77 39.5 12.4 51.9 0.5 0.9 0.2 38.9 -62.9
pair RSI LWTI pos-pos 77 39.5 12.4 51.9 0.5 0.9 0.2 38.9 -62.9
pair RSI MRmean pos-neg 17 8.7 12.3 47.1 0.5 0.9 0.4 45.1 -28.9
pair MRmean RSI pos-neg 17 8.7 12.3 47.1 0.5 0.9 0.4 45.1 -28.9
pair LWTI MACDhist pos-pos 72 36.9 12.1 48.6 0.5 0.9 0.3 40.8 -43.6
pair MACDhist LWTI pos-pos 72 36.9 12.1 48.6 0.5 0.9 0.3 40.8 -43.6
pair MACDhist RSIhist pos-neg 31 15.9 11.8 54.8 0.5 0.7 0.4 42.1 -33.1
pair RSIhist MACDhist pos-neg 31 15.9 11.8 54.8 0.5 0.7 0.4 42.1 -33.1
single LWTI LWTI pos-pos 110 56.4 11.7 51.8 0.5 0.9 0.2 42.0 -70.5
pair RSIhist MRmean pos-pos 77 39.5 11.6 48.1 0.5 1.0 0.2 39.2 -54.8
pair MRmean RSIhist pos-pos 77 39.5 11.6 48.1 0.5 1.0 0.2 39.2 -54.8
pair LWTI MACDhist neg-pos 38 19.5 10.8 57.9 0.4 0.9 0.2 44.8 -46.8
pair MACDhist LWTI neg-pos 38 19.5 10.8 57.9 0.4 0.9 0.2 44.8 -46.8
pair LWTI SLmean neg-pos 51 26.2 10.7 52.9 0.4 0.8 0.2 43.7 -42.5
pair SLmean LWTI neg-pos 51 26.2 10.7 52.9 0.4 0.8 0.2 43.7 -42.5
single MRmean MRmean pos-pos 93 47.7 10.2 49.5 0.4 0.9 0.2 39.3 -55.8
pair RSI LWTI neg-pos 33 16.9 9.9 51.5 0.4 0.8 0.2 49.2 -51.5
pair LWTI RSI neg-pos 33 16.9 9.9 51.5 0.4 0.8 0.2 49.2 -51.5
pair RSI MRmean pos-pos 76 39.0 9.8 50.0 0.4 0.9 0.2 38.2 -61.5
pair MRmean RSI pos-pos 76 39.0 9.8 50.0 0.4 0.9 0.2 38.2 -61.5
pair RSIhist SLmean pos-pos 76 39.0 9.6 47.4 0.4 0.9 0.2 39.6 -58.7
pair SLmean RSIhist pos-pos 76 39.0 9.6 47.4 0.4 0.9 0.2 39.6 -58.7
pair SLmean MRmean pos-pos 79 40.5 9.3 48.1 0.4 0.8 0.2 40.0 -58.5
pair MRmean SLmean pos-pos 79 40.5 9.3 48.1 0.4 0.8 0.2 40.0 -58.5
pair SLmean RSmean neg-neg 17 8.7 9.1 52.9 0.4 1.0 0.4 30.7 -23.8
pair RSmean SLmean neg-neg 17 8.7 9.1 52.9 0.4 1.0 0.4 30.7 -23.8
pair MACD MACDhist pos-neg 23 11.8 9.0 39.1 0.4 1.2 0.3 45.7 -29.9
pair MACDhist MACD pos-neg 23 11.8 9.0 39.1 0.4 1.2 0.3 45.7 -29.9
pair RSmean MRmean pos-pos 85 43.6 8.1 48.2 0.4 0.8 0.1 40.4 -61.4
pair MRmean RSmean pos-pos 85 43.6 8.1 48.2 0.4 0.8 0.1 40.4 -61.4
pair SLmean MACDhist neg-neg 71 36.4 7.9 50.7 0.4 0.7 0.1 41.9 -65.7
pair RSI SLmean pos-pos 67 34.4 7.9 47.8 0.4 0.8 0.1 38.7 -64.6
pair MACDhist SLmean neg-neg 71 36.4 7.9 50.7 0.4 0.7 0.1 41.9 -65.7
pair SLmean RSI pos-pos 67 34.4 7.9 47.8 0.4 0.8 0.1 38.7 -64.6
pair SLmean RSIhist neg-neg 93 47.7 7.5 51.6 0.4 0.7 0.1 42.6 -72.0
pair RSIhist SLmean neg-neg 93 47.7 7.5 51.6 0.4 0.7 0.1 42.6 -72.0
pair RSmean LWTI pos-pos 92 47.2 7.4 50.0 0.4 0.7 0.1 44.0 -72.5
pair LWTI RSmean pos-pos 92 47.2 7.4 50.0 0.4 0.7 0.1 44.0 -72.5
pair MACDhist RSI neg-pos 38 19.5 7.2 50.0 0.4 0.7 0.1 46.6 -54.9
pair RSI MACDhist neg-pos 38 19.5 7.2 50.0 0.4 0.7 0.1 46.6 -54.9
pair MRmean LWTI neg-pos 39 20.0 7.1 51.3 0.4 0.7 0.1 45.5 -47.4
pair LWTI MRmean neg-pos 39 20.0 7.1 51.3 0.4 0.7 0.1 45.5 -47.4
pair SLmean MACD neg-pos 31 15.9 6.9 45.2 0.3 0.8 0.2 44.4 -31.8
pair MACD SLmean neg-pos 31 15.9 6.9 45.2 0.3 0.8 0.2 44.4 -31.8
pair RSmean RSIhist pos-neg 88 45.1 6.2 51.1 0.3 0.6 0.1 44.3 -74.9
pair RSIhist RSmean pos-neg 88 45.1 6.2 51.1 0.3 0.6 0.1 44.3 -74.9
pair RSI SLmean neg-neg 89 45.6 5.8 50.6 0.3 0.6 0.1 44.1 -68.4
pair SLmean RSI neg-neg 89 45.6 5.8 50.6 0.3 0.6 0.1 44.1 -68.4
pair RSI RSmean pos-neg 95 48.7 5.6 49.5 0.3 0.6 0.1 45.5 -81.1
pair RSmean RSI pos-neg 95 48.7 5.6 49.5 0.3 0.6 0.1 45.5 -81.1
single SLmean SLmean pos-pos 84 43.1 5.3 46.4 0.3 0.7 0.1 40.0 -66.8
single RSI RSI pos-pos 89 45.6 4.9 48.3 0.3 0.6 0.1 37.4 -75.1
single RSIhist RSIhist pos-pos 94 48.2 4.8 46.8 0.3 0.7 0.1 39.7 -72.7
pair benchmark___benchmark_ benchmark-benchmark 195 100.0 4.5 48.7 0.3 0.6 0.1 41.2 -87.3
pair benchmark___benchmark_ benchmark-benchmark 195 100.0 4.5 48.7 0.3 0.6 0.1 41.2 -87.3
pair RSIhist LWTI neg-neg 53 27.2 4.3 49.1 0.3 0.5 0.1 40.0 -63.2
pair LWTI RSIhist neg-neg 53 27.2 4.3 49.1 0.3 0.5 0.1 40.0 -63.2
pair MRmean RSIhist neg-neg 85 43.6 4.2 49.4 0.3 0.5 0.1 43.3 -68.0
pair RSIhist MRmean neg-neg 85 43.6 4.2 49.4 0.3 0.5 0.1 43.3 -68.0
single RSIhist RSIhist neg-neg 101 51.8 4.1 50.5 0.3 0.5 0.1 42.7 -74.9
single RSI RSI neg-neg 106 54.4 4.1 49.1 0.3 0.6 0.1 44.3 -82.3
pair RSIhist LWTI neg-pos 48 24.6 3.9 52.1 0.3 0.6 0.1 45.9 -50.2
pair LWTI RSIhist neg-pos 48 24.6 3.9 52.1 0.3 0.6 0.1 45.9 -50.2
pair RSIhist MRmean pos-neg 16 8.2 3.9 56.2 0.3 0.5 0.1 41.0 -32.4
pair MRmean RSIhist pos-neg 16 8.2 3.9 56.2 0.3 0.5 0.1 41.0 -32.4
single SLmean SLmean neg-neg 111 56.9 3.8 50.5 0.3 0.5 0.1 42.2 -68.4
pair RSmean SLmean neg-pos 94 48.2 2.9 50.0 0.3 0.5 0.0 44.1 -66.4
pair SLmean RSmean neg-pos 94 48.2 2.9 50.0 0.3 0.5 0.0 44.1 -66.4
pair SLmean MACD neg-neg 80 41.0 2.7 52.5 0.3 0.5 0.0 41.6 -68.0
pair MACD SLmean neg-neg 80 41.0 2.7 52.5 0.3 0.5 0.0 41.6 -68.0
pair RSI MRmean neg-neg 89 45.6 2.6 49.4 0.3 0.5 0.0 44.3 -74.4
pair MRmean RSI neg-neg 89 45.6 2.6 49.4 0.3 0.5 0.0 44.3 -74.4
pair MACDhist MACD neg-pos 45 23.1 2.6 48.9 0.3 0.5 0.1 47.0 -54.9
pair MACD MACDhist neg-pos 45 23.1 2.6 48.9 0.3 0.5 0.1 47.0 -54.9
pair RSI MACDhist neg-neg 68 34.9 2.5 48.5 0.3 0.5 0.0 43.2 -71.1
pair MACDhist RSI neg-neg 68 34.9 2.5 48.5 0.3 0.5 0.0 43.2 -71.1
pair MRmean MACDhist neg-neg 70 35.9 2.4 47.1 0.3 0.5 0.0 42.9 -67.4
pair MACDhist MRmean neg-neg 70 35.9 2.4 47.1 0.3 0.5 0.0 42.9 -67.4
pair MRmean SLmean neg-neg 97 49.7 2.2 49.5 0.3 0.5 0.0 43.1 -68.4
pair SLmean MRmean neg-neg 97 49.7 2.2 49.5 0.3 0.5 0.0 43.1 -68.4
single RSmean RSmean pos-pos 172 88.2 1.9 47.7 0.2 0.5 0.0 42.6 -86.5
pair RSI LWTI neg-neg 73 37.4 1.6 47.9 0.2 0.4 0.0 42.2 -72.1
pair LWTI RSI neg-neg 73 37.4 1.6 47.9 0.2 0.4 0.0 42.2 -72.1
pair MACDhist RSIhist neg-neg 70 35.9 0.9 48.6 0.2 0.4 0.0 43.2 -69.3
pair RSIhist MACDhist neg-neg 70 35.9 0.9 48.6 0.2 0.4 0.0 43.2 -69.3
pair RSmean SLmean pos-pos 78 40.0 0.8 44.9 0.2 0.5 0.0 41.0 -74.5
pair SLmean RSmean pos-pos 78 40.0 0.8 44.9 0.2 0.5 0.0 41.0 -74.5
pair MRmean MACD neg-neg 78 40.0 0.6 51.3 0.2 0.4 0.0 42.6 -74.1
pair MACD MRmean neg-neg 78 40.0 0.6 51.3 0.2 0.4 0.0 42.6 -74.1
pair MACD RSIhist neg-neg 69 35.4 0.4 53.6 0.2 0.3 0.0 42.6 -73.4
pair RSIhist MACD neg-neg 69 35.4 0.4 53.6 0.2 0.3 0.0 42.6 -73.4
single MRmean MRmean neg-neg 102 52.3 -0.6 48.0 0.2 0.3 -0.0 43.0 -74.4
pair LWTI SLmean neg-neg 60 30.8 -1.6 48.3 0.2 0.3 -0.0 41.2 -65.7
pair SLmean LWTI neg-neg 60 30.8 -1.6 48.3 0.2 0.3 -0.0 41.2 -65.7
pair MRmean LWTI pos-neg 22 11.3 -1.7 40.9 0.1 0.3 -0.1 36.4 -20.8
pair LWTI MRmean pos-neg 22 11.3 -1.7 40.9 0.1 0.3 -0.1 36.4 -20.8
pair RSI MACD neg-neg 87 44.6 -1.9 49.4 0.2 0.3 -0.0 43.6 -82.0
pair MACD RSI neg-neg 87 44.6 -1.9 49.4 0.2 0.3 -0.0 43.6 -82.0
pair RSmean RSIhist pos-pos 84 43.1 -2.3 44.0 0.1 0.3 -0.0 40.9 -77.7
pair RSIhist RSmean pos-pos 84 43.1 -2.3 44.0 0.1 0.3 -0.0 40.9 -77.7
pair RSI RSmean pos-pos 77 39.5 -2.4 45.5 0.1 0.3 -0.0 39.0 -80.9
pair RSmean RSI pos-pos 77 39.5 -2.4 45.5 0.1 0.3 -0.0 39.0 -80.9
pair MACDhist SLmean neg-pos 40 20.5 -2.9 50.0 0.1 0.2 -0.1 43.2 -40.8
pair SLmean MACDhist neg-pos 40 20.5 -2.9 50.0 0.1 0.2 -0.1 43.2 -40.8
pair MACD LWTI neg-neg 65 33.3 -3.2 46.2 0.1 0.2 -0.1 42.7 -68.5
pair LWTI MACD neg-neg 65 33.3 -3.2 46.2 0.1 0.2 -0.1 42.7 -68.5
pair RSmean MRmean neg-pos 87 44.6 -3.7 47.1 0.1 0.2 -0.1 44.8 -72.8
pair MRmean RSmean neg-pos 87 44.6 -3.7 47.1 0.1 0.2 -0.1 44.8 -72.8
single MACD MACD neg-neg 118 60.5 -3.7 50.0 0.1 0.2 -0.0 42.1 -86.6
single MACDhist MACDhist neg-neg 96 49.2 -3.7 47.9 0.1 0.2 -0.1 40.6 -79.8
pair SLmean RSI neg-pos 22 11.3 -3.8 50.0 0.1 0.1 -0.1 33.9 -40.2
pair RSI SLmean neg-pos 22 11.3 -3.8 50.0 0.1 0.1 -0.1 33.9 -40.2
pair RSmean LWTI pos-neg 80 41.0 -4.0 45.0 0.1 0.2 -0.1 41.1 -72.8
pair LWTI RSmean pos-neg 80 41.0 -4.0 45.0 0.1 0.2 -0.1 41.1 -72.8
pair MRmean MACD neg-pos 24 12.3 -4.2 37.5 0.1 0.2 -0.1 45.1 -31.0
pair MACD MRmean neg-pos 24 12.3 -4.2 37.5 0.1 0.2 -0.1 45.1 -31.0
single LWTI LWTI neg-neg 85 43.6 -4.2 44.7 0.1 0.2 -0.1 40.1 -73.7
pair MACD LWTI neg-pos 53 27.2 -4.3 54.7 0.1 0.2 -0.1 41.8 -64.7
pair LWTI MACD neg-pos 53 27.2 -4.3 54.7 0.1 0.2 -0.1 41.8 -64.7
pair RSI SLmean pos-neg 17 8.7 -4.4 41.2 0.1 0.2 -0.1 46.2 -50.7
pair SLmean RSI pos-neg 17 8.7 -4.4 41.2 0.1 0.2 -0.1 46.2 -50.7
pair MRmean LWTI neg-neg 63 32.3 -5.0 46.0 0.1 0.1 -0.1 41.6 -67.9
pair LWTI MRmean neg-neg 63 32.3 -5.0 46.0 0.1 0.1 -0.1 41.6 -67.9
pair RSmean MACDhist neg-pos 8 4.1 -5.9 37.5 -0.1 -0.2 -0.4 28.5 -16.3
pair MACDhist RSmean neg-pos 8 4.1 -5.9 37.5 -0.1 -0.2 -0.4 28.5 -16.3
pair MRmean MACDhist neg-pos 32 16.4 -6.6 50.0 0.1 0.1 -0.1 43.6 -43.3
pair MACDhist MRmean neg-pos 32 16.4 -6.6 50.0 0.1 0.1 -0.1 43.6 -43.3
pair MACD LWTI pos-neg 20 10.3 -7.2 40.0 -0.1 -0.2 -0.2 31.1 -29.5
pair LWTI MACD pos-neg 20 10.3 -7.2 40.0 -0.1 -0.2 -0.2 31.1 -29.5
pair MACD MACDhist neg-neg 73 37.4 -7.4 50.7 0.0 0.0 -0.1 39.1 -79.9
pair MACDhist MACD neg-neg 73 37.4 -7.4 50.7 0.0 0.0 -0.1 39.1 -79.9
pair RSmean MACD pos-neg 99 50.8 -7.6 48.5 0.0 0.1 -0.1 44.2 -85.7
pair MACD RSmean pos-neg 99 50.8 -7.6 48.5 0.0 0.1 -0.1 44.2 -85.7
pair RSmean RSI neg-neg 11 5.6 -7.7 45.5 -0.1 -0.2 -0.3 33.1 -23.8
pair RSI RSmean neg-neg 11 5.6 -7.7 45.5 -0.1 -0.2 -0.3 33.1 -23.8
pair RSmean LWTI neg-neg 5 2.6 -7.8 40.0 -0.3 -0.8 -1.3 20.1 -6.0
pair LWTI RSmean neg-neg 5 2.6 -7.8 40.0 -0.3 -0.8 -1.3 20.1 -6.0
pair MACD RSI neg-pos 31 15.9 -8.5 51.6 -0.0 -0.1 -0.2 38.2 -49.5
pair RSI MACD neg-pos 31 15.9 -8.5 51.6 -0.0 -0.1 -0.2 38.2 -49.5
pair RSIhist RSmean neg-neg 13 6.7 -9.0 46.2 -0.2 -0.4 -0.5 30.5 -19.0
pair RSmean RSIhist neg-neg 13 6.7 -9.0 46.2 -0.2 -0.4 -0.5 30.5 -19.0
pair RSIhist MACD neg-pos 49 25.1 -9.2 44.9 -0.0 -0.1 -0.1 41.8 -65.3
pair MACD RSIhist neg-pos 49 25.1 -9.2 44.9 -0.0 -0.1 -0.1 41.8 -65.3
pair LWTI SLmean pos-neg 25 12.8 -10.0 36.0 -0.1 -0.2 -0.3 38.1 -36.4
pair SLmean LWTI pos-neg 25 12.8 -10.0 36.0 -0.1 -0.2 -0.3 38.1 -36.4
pair RSmean MACDhist pos-neg 81 41.5 -10.9 44.4 -0.1 -0.1 -0.1 42.2 -79.7
pair MACDhist RSmean pos-neg 81 41.5 -10.9 44.4 -0.1 -0.1 -0.1 42.2 -79.7
pair MACD MRmean pos-neg 40 20.5 -11.6 47.5 -0.1 -0.2 -0.2 41.6 -53.1
pair MRmean MACD pos-neg 40 20.5 -11.6 47.5 -0.1 -0.2 -0.2 41.6 -53.1
pair MACDhist LWTI neg-neg 58 29.7 -12.2 41.4 -0.2 -0.3 -0.2 37.6 -72.8
pair LWTI MACDhist neg-neg 58 29.7 -12.2 41.4 -0.2 -0.3 -0.2 37.6 -72.8
pair RSIhist SLmean neg-pos 18 9.2 -13.0 44.4 -0.1 -0.3 -0.2 40.8 -55.4
pair SLmean RSIhist neg-pos 18 9.2 -13.0 44.4 -0.1 -0.3 -0.2 40.8 -55.4
pair MACDhist RSIhist neg-pos 26 13.3 -15.1 46.2 -0.3 -0.6 -0.3 32.6 -50.4
pair RSIhist MACDhist neg-pos 26 13.3 -15.1 46.2 -0.3 -0.6 -0.3 32.6 -50.4
pair SLmean MACD pos-neg 38 19.5 -15.9 44.7 -0.2 -0.3 -0.2 43.5 -63.1
pair MACD SLmean pos-neg 38 19.5 -15.9 44.7 -0.2 -0.3 -0.2 43.5 -63.1
pair RSIhist LWTI pos-neg 32 16.4 -16.7 37.5 -0.3 -0.6 -0.4 40.7 -44.9
pair LWTI RSIhist pos-neg 32 16.4 -16.7 37.5 -0.3 -0.6 -0.4 40.7 -44.9
pair RSI MACDhist pos-neg 28 14.4 -17.2 46.4 -0.4 -0.6 -0.3 33.4 -52.4
pair MACDhist RSI pos-neg 28 14.4 -17.2 46.4 -0.4 -0.6 -0.3 33.4 -52.4
pair RSIhist RSI neg-pos 26 13.3 -18.1 38.5 -0.2 -0.5 -0.3 45.2 -57.9
pair RSI RSIhist neg-pos 26 13.3 -18.1 38.5 -0.2 -0.5 -0.3 45.2 -57.9
pair MRmean MACDhist pos-neg 26 13.3 -18.3 50.0 -0.4 -0.6 -0.4 33.5 -45.2
pair MACDhist MRmean pos-neg 26 13.3 -18.3 50.0 -0.4 -0.6 -0.4 33.5 -45.2
pair MRmean RSI neg-pos 13 6.7 -19.8 38.5 -0.5 -0.7 -0.5 32.3 -39.8
pair RSI MRmean neg-pos 13 6.7 -19.8 38.5 -0.5 -0.7 -0.5 32.3 -39.8
pair RSIhist MRmean neg-pos 17 8.7 -21.1 41.2 -0.4 -0.8 -0.5 42.0 -46.9
pair MRmean RSIhist neg-pos 17 8.7 -21.1 41.2 -0.4 -0.8 -0.5 42.0 -46.9
pair RSIhist RSI pos-neg 21 10.8 -22.7 42.9 -0.5 -0.7 -0.4 36.8 -51.3
pair RSI RSIhist pos-neg 21 10.8 -22.7 42.9 -0.5 -0.7 -0.4 36.8 -51.3
pair RSIhist SLmean pos-neg 8 4.1 -28.0 37.5 -0.5 -0.7 -0.9 45.3 -31.8
pair SLmean RSIhist pos-neg 8 4.1 -28.0 37.5 -0.5 -0.7 -0.9 45.3 -31.8
pair SLmean MACDhist pos-neg 25 12.8 -30.2 40.0 -0.8 -1.2 -0.5 35.5 -55.6
pair MACDhist SLmean pos-neg 25 12.8 -30.2 40.0 -0.8 -1.2 -0.5 35.5 -55.6
pair LWTI RSI pos-neg 12 6.2 -32.9 25.0 -1.7 -2.8 -1.0 22.2 -33.6
pair RSI LWTI pos-neg 12 6.2 -32.9 25.0 -1.7 -2.8 -1.0 22.2 -33.6
pair SLmean MRmean neg-pos 5 2.6 -41.7 20.0 -1.2 -2.0 -1.4 40.0 -30.0
pair MRmean SLmean neg-pos 5 2.6 -41.7 20.0 -1.2 -2.0 -1.4 40.0 -30.0

All Contingency Tables for GDXJ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 48%
Sharpe 0.41 | Sortino 0.84 | Calmar 0.2
Vol 40% | MDD -58.5%
Months 79M (40%)
CAGR 15.8% | Win 57%
Sharpe 0.57 | Sortino 1.32 | Calmar 0.7
Vol 36% | MDD -22.4%
Months 14M (7%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -41.7% | Win 20%
Sharpe -1.16 | Sortino -2.02 | Calmar -1.4
Vol 40% | MDD -30.0%
Months 5M (3%)
CAGR 2.2% | Win 50%
Sharpe 0.26 | Sortino 0.47 | Calmar 0.0
Vol 43% | MDD -68.4%
Months 97M (50%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
SLmean
only
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.1% | Win 48%
Sharpe 0.39 | Sortino 0.82 | Calmar 0.1
Vol 40% | MDD -61.4%
Months 85M (44%)
CAGR 35.9% | Win 62%
Sharpe 1.30 | Sortino 1.82 | Calmar 3.2
Vol 26% | MDD -11.2%
Months 8M (4%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -3.7% | Win 47%
Sharpe 0.13 | Sortino 0.24 | Calmar -0.1
Vol 45% | MDD -72.8%
Months 87M (45%)
CAGR 20.0% | Win 53%
Sharpe 0.74 | Sortino 1.82 | Calmar 1.3
Vol 31% | MDD -15.5%
Months 15M (8%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
RSmean
only
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 30.2% | Win 51%
Sharpe 0.89 | Sortino 2.28 | Calmar 0.9
Vol 37% | MDD -32.1%
Months 53M (27%)
CAGR -11.6% | Win 48%
Sharpe -0.10 | Sortino -0.18 | Calmar -0.2
Vol 42% | MDD -53.1%
Months 40M (20%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -4.2% | Win 38%
Sharpe 0.10 | Sortino 0.23 | Calmar -0.1
Vol 45% | MDD -31.0%
Months 24M (12%)
CAGR 0.6% | Win 51%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.0
Vol 43% | MDD -74.1%
Months 78M (40%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
MACD
only
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 50%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 38% | MDD -61.5%
Months 76M (39%)
CAGR 12.3% | Win 47%
Sharpe 0.45 | Sortino 0.93 | Calmar 0.4
Vol 45% | MDD -28.9%
Months 17M (9%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -19.8% | Win 38%
Sharpe -0.52 | Sortino -0.73 | Calmar -0.5
Vol 32% | MDD -39.8%
Months 13M (7%)
CAGR 2.6% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.0
Vol 44% | MDD -74.4%
Months 89M (46%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
RSI
only
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 23.9% | Win 49%
Sharpe 0.72 | Sortino 1.74 | Calmar 0.5
Vol 41% | MDD -49.1%
Months 67M (34%)
CAGR -18.3% | Win 50%
Sharpe -0.43 | Sortino -0.60 | Calmar -0.4
Vol 34% | MDD -45.2%
Months 26M (13%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -6.6% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.2
Vol 44% | MDD -43.3%
Months 32M (16%)
CAGR 2.4% | Win 47%
Sharpe 0.26 | Sortino 0.50 | Calmar 0.0
Vol 43% | MDD -67.4%
Months 70M (36%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
MACDhist
only
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 48%
Sharpe 0.47 | Sortino 1.02 | Calmar 0.2
Vol 39% | MDD -54.8%
Months 77M (40%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 41% | MDD -32.4%
Months 16M (8%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR -21.1% | Win 41%
Sharpe -0.36 | Sortino -0.79 | Calmar -0.5
Vol 42% | MDD -46.9%
Months 17M (9%)
CAGR 4.2% | Win 49%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -68.0%
Months 85M (44%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 14.2% | Win 52%
Sharpe 0.53 | Sortino 1.06 | Calmar 0.3
Vol 40% | MDD -53.4%
Months 71M (36%)
CAGR -1.7% | Win 41%
Sharpe 0.11 | Sortino 0.28 | Calmar -0.1
Vol 36% | MDD -20.8%
Months 22M (11%)
CAGR 10.2% | Win 50%
Sharpe 0.44 | Sortino 0.90 | Calmar 0.2
Vol 39% | MDD -55.8%
Months 93M (48%)
MRmean
neg
CAGR 7.1% | Win 51%
Sharpe 0.37 | Sortino 0.66 | Calmar 0.2
Vol 46% | MDD -47.4%
Months 39M (20%)
CAGR -5.0% | Win 46%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.1
Vol 42% | MDD -67.9%
Months 63M (32%)
CAGR -0.6% | Win 48%
Sharpe 0.20 | Sortino 0.35 | Calmar -0.0
Vol 43% | MDD -74.4%
Months 102M (52%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 0.8% | Win 45%
Sharpe 0.21 | Sortino 0.45 | Calmar 0.0
Vol 41% | MDD -74.5%
Months 78M (40%)
CAGR 85.2% | Win 67%
Sharpe 3.15 | Sortino 61.04 | Calmar 96.2
Vol 21% | MDD -0.9%
Months 6M (3%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR 2.9% | Win 50%
Sharpe 0.28 | Sortino 0.50 | Calmar 0.0
Vol 44% | MDD -66.4%
Months 94M (48%)
CAGR 9.1% | Win 53%
Sharpe 0.43 | Sortino 1.04 | Calmar 0.4
Vol 31% | MDD -23.8%
Months 17M (9%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
RSmean
only
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 26.7% | Win 48%
Sharpe 0.82 | Sortino 2.19 | Calmar 0.7
Vol 37% | MDD -35.8%
Months 46M (24%)
CAGR -15.9% | Win 45%
Sharpe -0.19 | Sortino -0.35 | Calmar -0.3
Vol 44% | MDD -63.1%
Months 38M (20%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR 6.9% | Win 45%
Sharpe 0.35 | Sortino 0.82 | Calmar 0.2
Vol 44% | MDD -31.8%
Months 31M (16%)
CAGR 2.7% | Win 52%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.0
Vol 42% | MDD -68.0%
Months 80M (41%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
MACD
only
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 48%
Sharpe 0.38 | Sortino 0.79 | Calmar 0.1
Vol 39% | MDD -64.6%
Months 67M (34%)
CAGR -4.4% | Win 41%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 46% | MDD -50.7%
Months 17M (9%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR -3.8% | Win 50%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.1
Vol 34% | MDD -40.2%
Months 22M (11%)
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.1
Vol 44% | MDD -68.4%
Months 89M (46%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
RSI
only
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 25.3% | Win 49%
Sharpe 0.74 | Sortino 1.83 | Calmar 0.5
Vol 41% | MDD -49.2%
Months 59M (30%)
CAGR -30.2% | Win 40%
Sharpe -0.82 | Sortino -1.21 | Calmar -0.5
Vol 36% | MDD -55.6%
Months 25M (13%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR -2.9% | Win 50%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.1
Vol 43% | MDD -40.8%
Months 40M (20%)
CAGR 7.9% | Win 51%
Sharpe 0.38 | Sortino 0.73 | Calmar 0.1
Vol 42% | MDD -65.7%
Months 71M (36%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
MACDhist
only
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.6% | Win 47%
Sharpe 0.42 | Sortino 0.91 | Calmar 0.2
Vol 40% | MDD -58.7%
Months 76M (39%)
CAGR -28.0% | Win 38%
Sharpe -0.51 | Sortino -0.74 | Calmar -0.9
Vol 45% | MDD -31.8%
Months 8M (4%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR -13.0% | Win 44%
Sharpe -0.15 | Sortino -0.32 | Calmar -0.2
Vol 41% | MDD -55.4%
Months 18M (9%)
CAGR 7.5% | Win 52%
Sharpe 0.38 | Sortino 0.67 | Calmar 0.1
Vol 43% | MDD -72.0%
Months 93M (48%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.5% | Win 51%
Sharpe 0.49 | Sortino 0.96 | Calmar 0.2
Vol 41% | MDD -58.7%
Months 59M (30%)
CAGR -10.0% | Win 36%
Sharpe -0.11 | Sortino -0.24 | Calmar -0.3
Vol 38% | MDD -36.4%
Months 25M (13%)
CAGR 5.3% | Win 46%
Sharpe 0.32 | Sortino 0.65 | Calmar 0.1
Vol 40% | MDD -66.8%
Months 84M (43%)
SLmean
neg
CAGR 10.7% | Win 53%
Sharpe 0.44 | Sortino 0.83 | Calmar 0.3
Vol 44% | MDD -42.5%
Months 51M (26%)
CAGR -1.6% | Win 48%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 41% | MDD -65.7%
Months 60M (31%)
CAGR 3.8% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -68.4%
Months 111M (57%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 16.4% | Win 47%
Sharpe 0.57 | Sortino 1.40 | Calmar 0.3
Vol 40% | MDD -50.2%
Months 73M (37%)
CAGR -7.6% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 44% | MDD -85.7%
Months 99M (51%)
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
RSmean
neg
CAGR 58.5% | Win 50%
Sharpe 1.66 | Sortino 5.96 | Calmar 44.3
Vol 30% | MDD -1.3%
Months 4M (2%)
CAGR 19.2% | Win 58%
Sharpe 0.75 | Sortino 1.50 | Calmar 1.2
Vol 29% | MDD -16.3%
Months 19M (10%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
MACD
only
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -2.4% | Win 46%
Sharpe 0.13 | Sortino 0.26 | Calmar -0.0
Vol 39% | MDD -80.9%
Months 77M (40%)
CAGR 5.6% | Win 50%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 46% | MDD -81.1%
Months 95M (49%)
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
RSmean
neg
CAGR 65.8% | Win 67%
Sharpe 2.37 | Sortino 5.56 | Calmar 30.4
Vol 23% | MDD -2.2%
Months 12M (6%)
CAGR -7.7% | Win 46%
Sharpe -0.09 | Sortino -0.24 | Calmar -0.3
Vol 33% | MDD -23.8%
Months 11M (6%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
RSI
only
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.9% | Win 50%
Sharpe 0.53 | Sortino 1.06 | Calmar 0.3
Vol 43% | MDD -52.2%
Months 91M (47%)
CAGR -10.9% | Win 44%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.1
Vol 42% | MDD -79.7%
Months 81M (42%)
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
RSmean
neg
CAGR -5.9% | Win 38%
Sharpe -0.09 | Sortino -0.22 | Calmar -0.4
Vol 28% | MDD -16.3%
Months 8M (4%)
CAGR 46.0% | Win 67%
Sharpe 1.47 | Sortino 2.44 | Calmar 3.3
Vol 29% | MDD -13.9%
Months 15M (8%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
MACDhist
only
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -2.3% | Win 44%
Sharpe 0.14 | Sortino 0.30 | Calmar -0.0
Vol 41% | MDD -77.7%
Months 84M (43%)
CAGR 6.2% | Win 51%
Sharpe 0.35 | Sortino 0.60 | Calmar 0.1
Vol 44% | MDD -74.9%
Months 88M (45%)
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
RSmean
neg
CAGR 89.9% | Win 70%
Sharpe 3.04 | Sortino 6.99 | Calmar 12.5
Vol 22% | MDD -7.2%
Months 10M (5%)
CAGR -9.0% | Win 46%
Sharpe -0.17 | Sortino -0.38 | Calmar -0.5
Vol 30% | MDD -19.0%
Months 13M (7%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 50%
Sharpe 0.38 | Sortino 0.73 | Calmar 0.1
Vol 44% | MDD -72.5%
Months 92M (47%)
CAGR -4.0% | Win 45%
Sharpe 0.10 | Sortino 0.18 | Calmar -0.1
Vol 41% | MDD -72.8%
Months 80M (41%)
CAGR 1.9% | Win 48%
Sharpe 0.25 | Sortino 0.48 | Calmar 0.0
Vol 43% | MDD -86.5%
Months 172M (88%)
RSmean
neg
CAGR 36.4% | Win 61%
Sharpe 1.17 | Sortino 2.29 | Calmar 2.2
Vol 31% | MDD -16.3%
Months 18M (9%)
CAGR -7.8% | Win 40%
Sharpe -0.32 | Sortino -0.78 | Calmar -1.3
Vol 20% | MDD -6.0%
Months 5M (3%)
CAGR 25.3% | Win 56%
Sharpe 0.93 | Sortino 1.91 | Calmar 1.6
Vol 29% | MDD -16.3%
Months 23M (12%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 12.8% | Win 47%
Sharpe 0.50 | Sortino 1.10 | Calmar 0.2
Vol 37% | MDD -54.3%
Months 58M (30%)
CAGR 37.0% | Win 47%
Sharpe 0.87 | Sortino 2.97 | Calmar 1.9
Vol 48% | MDD -19.2%
Months 19M (10%)
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
MACD
neg
CAGR -8.5% | Win 52%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.2
Vol 38% | MDD -49.5%
Months 31M (16%)
CAGR -1.9% | Win 49%
Sharpe 0.17 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -82.0%
Months 87M (45%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
RSI
only
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 22.5% | Win 50%
Sharpe 0.73 | Sortino 1.58 | Calmar 0.5
Vol 37% | MDD -42.8%
Months 54M (28%)
CAGR 9.0% | Win 39%
Sharpe 0.38 | Sortino 1.19 | Calmar 0.3
Vol 46% | MDD -29.9%
Months 23M (12%)
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
MACD
neg
CAGR 2.6% | Win 49%
Sharpe 0.27 | Sortino 0.53 | Calmar 0.0
Vol 47% | MDD -54.9%
Months 45M (23%)
CAGR -7.4% | Win 51%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 39% | MDD -79.9%
Months 73M (37%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
MACDhist
only
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 22.6% | Win 49%
Sharpe 0.73 | Sortino 1.80 | Calmar 0.6
Vol 37% | MDD -41.1%
Months 45M (23%)
CAGR 12.6% | Win 44%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 44% | MDD -27.6%
Months 32M (16%)
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
MACD
neg
CAGR -9.2% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 42% | MDD -65.3%
Months 49M (25%)
CAGR 0.4% | Win 54%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 43% | MDD -73.4%
Months 69M (35%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 28.9% | Win 49%
Sharpe 0.80 | Sortino 1.93 | Calmar 0.7
Vol 42% | MDD -44.4%
Months 57M (29%)
CAGR -7.2% | Win 40%
Sharpe -0.10 | Sortino -0.23 | Calmar -0.2
Vol 31% | MDD -29.5%
Months 20M (10%)
CAGR 18.3% | Win 47%
Sharpe 0.61 | Sortino 1.50 | Calmar 0.3
Vol 40% | MDD -53.2%
Months 77M (40%)
MACD
neg
CAGR -4.3% | Win 55%
Sharpe 0.10 | Sortino 0.18 | Calmar -0.1
Vol 42% | MDD -64.7%
Months 53M (27%)
CAGR -3.2% | Win 46%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.0
Vol 43% | MDD -68.5%
Months 65M (33%)
CAGR -3.7% | Win 50%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 42% | MDD -86.6%
Months 118M (60%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.9% | Win 49%
Sharpe 0.59 | Sortino 1.28 | Calmar 0.3
Vol 39% | MDD -59.8%
Months 61M (31%)
CAGR -17.2% | Win 46%
Sharpe -0.39 | Sortino -0.60 | Calmar -0.3
Vol 33% | MDD -52.4%
Months 28M (14%)
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
RSI
neg
CAGR 7.2% | Win 50%
Sharpe 0.36 | Sortino 0.67 | Calmar 0.1
Vol 47% | MDD -54.9%
Months 38M (20%)
CAGR 2.5% | Win 48%
Sharpe 0.26 | Sortino 0.49 | Calmar 0.0
Vol 43% | MDD -71.1%
Months 68M (35%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
MACDhist
only
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.2% | Win 50%
Sharpe 0.56 | Sortino 1.27 | Calmar 0.2
Vol 37% | MDD -61.6%
Months 68M (35%)
CAGR -22.7% | Win 43%
Sharpe -0.51 | Sortino -0.73 | Calmar -0.4
Vol 37% | MDD -51.3%
Months 21M (11%)
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
RSI
neg
CAGR -18.1% | Win 38%
Sharpe -0.23 | Sortino -0.47 | Calmar -0.3
Vol 45% | MDD -57.9%
Months 26M (13%)
CAGR 12.6% | Win 52%
Sharpe 0.48 | Sortino 0.87 | Calmar 0.2
Vol 44% | MDD -68.0%
Months 80M (41%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 12.4% | Win 52%
Sharpe 0.49 | Sortino 0.95 | Calmar 0.2
Vol 39% | MDD -62.9%
Months 77M (40%)
CAGR -32.9% | Win 25%
Sharpe -1.66 | Sortino -2.78 | Calmar -1.0
Vol 22% | MDD -33.6%
Months 12M (6%)
CAGR 4.9% | Win 48%
Sharpe 0.31 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -75.1%
Months 89M (46%)
RSI
neg
CAGR 9.9% | Win 52%
Sharpe 0.42 | Sortino 0.82 | Calmar 0.2
Vol 49% | MDD -51.5%
Months 33M (17%)
CAGR 1.6% | Win 48%
Sharpe 0.24 | Sortino 0.44 | Calmar 0.0
Vol 42% | MDD -72.1%
Months 73M (37%)
CAGR 4.1% | Win 49%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.1
Vol 44% | MDD -82.3%
Months 106M (54%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.6% | Win 47%
Sharpe 0.50 | Sortino 1.15 | Calmar 0.3
Vol 42% | MDD -53.3%
Months 68M (35%)
CAGR 11.8% | Win 55%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.4
Vol 42% | MDD -33.1%
Months 31M (16%)
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
MACDhist
neg
CAGR -15.1% | Win 46%
Sharpe -0.34 | Sortino -0.57 | Calmar -0.3
Vol 33% | MDD -50.4%
Months 26M (13%)
CAGR 0.9% | Win 49%
Sharpe 0.23 | Sortino 0.41 | Calmar 0.0
Vol 43% | MDD -69.3%
Months 70M (36%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
RSIhist
only
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.1% | Win 49%
Sharpe 0.48 | Sortino 0.91 | Calmar 0.3
Vol 41% | MDD -43.6%
Months 72M (37%)
CAGR 15.5% | Win 52%
Sharpe 0.52 | Sortino 1.27 | Calmar 0.5
Vol 45% | MDD -29.0%
Months 27M (14%)
CAGR 13.0% | Win 50%
Sharpe 0.49 | Sortino 0.99 | Calmar 0.2
Vol 42% | MDD -54.9%
Months 99M (51%)
MACDhist
neg
CAGR 10.8% | Win 58%
Sharpe 0.44 | Sortino 0.91 | Calmar 0.2
Vol 45% | MDD -46.8%
Months 38M (20%)
CAGR -12.2% | Win 41%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 38% | MDD -72.8%
Months 58M (30%)
CAGR -3.7% | Win 48%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 41% | MDD -79.8%
Months 96M (49%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 18.1% | Win 52%
Sharpe 0.61 | Sortino 1.32 | Calmar 0.3
Vol 39% | MDD -55.5%
Months 62M (32%)
CAGR -16.7% | Win 38%
Sharpe -0.26 | Sortino -0.56 | Calmar -0.4
Vol 41% | MDD -44.9%
Months 32M (16%)
CAGR 4.8% | Win 47%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -72.7%
Months 94M (48%)
RSIhist
neg
CAGR 3.9% | Win 52%
Sharpe 0.30 | Sortino 0.55 | Calmar 0.1
Vol 46% | MDD -50.2%
Months 48M (25%)
CAGR 4.3% | Win 49%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.1
Vol 40% | MDD -63.2%
Months 53M (27%)
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.1
Vol 43% | MDD -74.9%
Months 101M (52%)
LWTI
only
CAGR 11.7% | Win 52%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.2
Vol 42% | MDD -70.5%
Months 110M (56%)
CAGR -4.2% | Win 45%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.1
Vol 40% | MDD -73.7%
Months 85M (44%)