GOVT - iShares U.S. Treasury Bond ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

12.1%

Best CAGR

48

Total Months

0.7%

Avg CAGR

GOVT 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 GOVT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 3 1.8 12.1 66.7 2.8 0.0 0.0 4.2 0.0
pair RSmean MACDhist neg-pos 3 1.8 12.1 66.7 2.8 0.0 0.0 4.2 0.0
pair RSI MRmean pos-neg 9 5.4 4.8 66.7 0.8 1.6 2.0 5.9 -2.4
pair MRmean RSI pos-neg 9 5.4 4.8 66.7 0.8 1.6 2.0 5.9 -2.4
pair MRmean SLmean neg-pos 8 4.8 3.9 75.0 1.0 0.7 1.7 4.0 -2.3
pair SLmean MRmean neg-pos 8 4.8 3.9 75.0 1.0 0.7 1.7 4.0 -2.3
pair MACDhist RSIhist pos-pos 60 35.7 3.9 51.7 0.9 1.7 1.2 4.6 -3.2
pair RSIhist MACDhist pos-pos 60 35.7 3.9 51.7 0.9 1.7 1.2 4.6 -3.2
pair RSI MRmean neg-pos 24 14.3 3.8 54.2 1.3 2.7 2.1 2.9 -1.8
pair MRmean RSI neg-pos 24 14.3 3.8 54.2 1.3 2.7 2.1 2.9 -1.8
pair RSmean RSIhist neg-neg 13 7.7 3.7 46.2 1.0 3.0 2.8 3.6 -1.3
pair RSIhist RSmean neg-neg 13 7.7 3.7 46.2 1.0 3.0 2.8 3.6 -1.3
pair RSIhist LWTI pos-pos 71 42.3 3.7 52.1 0.9 1.6 1.2 4.4 -3.2
pair LWTI RSIhist pos-pos 71 42.3 3.7 52.1 0.9 1.6 1.2 4.4 -3.2
pair SLmean RSI pos-neg 10 6.0 3.7 70.0 0.6 1.5 1.3 6.3 -2.9
pair RSI SLmean pos-neg 10 6.0 3.7 70.0 0.6 1.5 1.3 6.3 -2.9
pair SLmean RSIhist neg-pos 14 8.3 3.4 50.0 0.9 5.8 2.1 3.6 -1.6
pair RSIhist SLmean neg-pos 14 8.3 3.4 50.0 0.9 5.8 2.1 3.6 -1.6
pair RSI MACDhist pos-pos 67 39.9 3.3 50.7 0.8 1.4 0.7 4.4 -4.9
pair MACDhist RSI pos-pos 67 39.9 3.3 50.7 0.8 1.4 0.7 4.4 -4.9
pair MACDhist MACD pos-pos 63 37.5 3.3 50.8 0.8 1.4 0.7 4.4 -4.9
pair MACD MACDhist pos-pos 63 37.5 3.3 50.8 0.8 1.4 0.7 4.4 -4.9
pair MRmean MACDhist pos-pos 71 42.3 3.2 50.7 0.7 1.3 0.7 4.6 -4.9
pair MACDhist MRmean pos-pos 71 42.3 3.2 50.7 0.7 1.3 0.7 4.6 -4.9
pair SLmean MACDhist pos-pos 57 33.9 3.2 47.4 0.7 1.4 0.8 4.7 -4.0
pair MACDhist SLmean pos-pos 57 33.9 3.2 47.4 0.7 1.4 0.8 4.7 -4.0
pair RSIhist MACD pos-pos 61 36.3 3.1 50.8 0.8 1.3 0.4 4.2 -7.0
pair MACD RSIhist pos-pos 61 36.3 3.1 50.8 0.8 1.3 0.4 4.2 -7.0
pair RSI RSIhist neg-pos 17 10.1 3.1 52.9 0.6 1.1 1.0 5.6 -3.0
pair RSIhist RSI neg-pos 17 10.1 3.1 52.9 0.6 1.1 1.0 5.6 -3.0
pair SLmean RSI neg-pos 36 21.4 3.1 55.6 0.8 1.1 0.8 3.9 -3.7
pair RSI SLmean neg-pos 36 21.4 3.1 55.6 0.8 1.1 0.8 3.9 -3.7
pair LWTI MACDhist pos-pos 77 45.8 3.1 50.6 0.7 1.2 0.5 4.7 -6.5
pair MACDhist LWTI pos-pos 77 45.8 3.1 50.6 0.7 1.2 0.5 4.7 -6.5
pair RSmean RSIhist pos-pos 85 50.6 3.0 50.6 0.7 1.3 0.7 4.3 -4.3
pair RSIhist RSmean pos-pos 85 50.6 3.0 50.6 0.7 1.3 0.7 4.3 -4.3
pair LWTI MRmean pos-pos 86 51.2 3.0 52.3 0.7 1.2 0.5 4.5 -5.7
pair MRmean LWTI pos-pos 86 51.2 3.0 52.3 0.7 1.2 0.5 4.5 -5.7
pair SLmean MRmean pos-neg 19 11.3 2.9 63.2 0.7 0.9 0.9 4.5 -3.1
pair MRmean SLmean pos-neg 19 11.3 2.9 63.2 0.7 0.9 0.9 4.5 -3.1
single MACDhist MACDhist pos-pos 78 46.4 2.9 50.0 0.7 1.2 0.4 4.6 -7.2
pair LWTI RSmean neg-pos 16 9.5 2.9 43.8 0.8 2.7 1.2 3.4 -2.3
pair RSmean LWTI neg-pos 16 9.5 2.9 43.8 0.8 2.7 1.2 3.4 -2.3
pair LWTI SLmean pos-pos 68 40.5 2.8 48.5 0.7 1.2 0.7 4.5 -4.0
pair RSIhist MRmean pos-pos 77 45.8 2.8 51.9 0.7 1.1 0.5 4.4 -5.2
pair MRmean RSIhist pos-pos 77 45.8 2.8 51.9 0.7 1.1 0.5 4.4 -5.2
pair SLmean LWTI pos-pos 68 40.5 2.8 48.5 0.7 1.2 0.7 4.5 -4.0
pair LWTI MRmean neg-neg 35 20.8 2.7 60.0 0.6 0.8 0.4 4.7 -7.1
pair MRmean LWTI neg-neg 35 20.8 2.7 60.0 0.6 0.8 0.4 4.7 -7.1
pair RSmean MRmean neg-neg 14 8.3 2.6 42.9 0.8 2.4 1.3 3.6 -2.0
pair MACDhist RSmean pos-pos 75 44.6 2.6 49.3 0.6 1.0 0.4 4.7 -7.2
pair MRmean RSmean neg-neg 14 8.3 2.6 42.9 0.8 2.4 1.3 3.6 -2.0
pair RSmean MACDhist pos-pos 75 44.6 2.6 49.3 0.6 1.0 0.4 4.7 -7.2
pair LWTI MACD neg-pos 33 19.6 2.5 48.5 0.5 1.0 0.4 4.8 -6.3
pair LWTI RSI pos-pos 95 56.5 2.5 49.5 0.6 1.1 0.3 4.1 -7.6
pair RSI LWTI pos-pos 95 56.5 2.5 49.5 0.6 1.1 0.3 4.1 -7.6
single RSIhist RSIhist pos-pos 89 53.0 2.5 49.4 0.6 1.1 0.4 4.4 -6.8
pair MACD LWTI neg-pos 33 19.6 2.5 48.5 0.5 1.0 0.4 4.8 -6.3
pair RSIhist RSI pos-pos 72 42.9 2.4 48.6 0.6 1.0 0.4 4.1 -6.1
pair RSI RSIhist pos-pos 72 42.9 2.4 48.6 0.6 1.0 0.4 4.1 -6.1
pair SLmean RSmean neg-neg 15 8.9 2.3 40.0 0.7 2.1 1.0 3.5 -2.3
pair RSmean SLmean neg-neg 15 8.9 2.3 40.0 0.7 2.1 1.0 3.5 -2.3
pair RSIhist SLmean pos-pos 75 44.6 2.3 49.3 0.5 0.9 0.3 4.6 -7.4
pair SLmean RSIhist pos-pos 75 44.6 2.3 49.3 0.5 0.9 0.3 4.6 -7.4
pair MACD RSI pos-pos 92 54.8 2.3 50.0 0.6 0.9 0.2 4.2 -9.1
pair RSI MACD pos-pos 92 54.8 2.3 50.0 0.6 0.9 0.2 4.2 -9.1
pair MACDhist SLmean neg-pos 21 12.5 2.2 57.1 0.5 0.7 0.4 4.6 -5.0
pair SLmean MACDhist neg-pos 21 12.5 2.2 57.1 0.5 0.7 0.4 4.6 -5.0
pair RSmean MRmean pos-pos 94 56.0 2.1 50.0 0.5 0.9 0.3 4.4 -7.3
pair MRmean RSmean pos-pos 94 56.0 2.1 50.0 0.5 0.9 0.3 4.4 -7.3
pair RSI RSmean pos-pos 99 58.9 2.1 50.5 0.6 0.9 0.3 4.0 -6.1
pair RSmean RSI pos-pos 99 58.9 2.1 50.5 0.6 0.9 0.3 4.0 -6.1
pair SLmean RSmean pos-pos 84 50.0 2.0 48.8 0.5 0.9 0.3 4.3 -6.3
pair RSmean SLmean pos-pos 84 50.0 2.0 48.8 0.5 0.9 0.3 4.3 -6.3
pair MRmean MACD pos-neg 19 11.3 2.0 57.9 0.4 0.8 0.6 4.8 -3.4
pair MACD MRmean pos-neg 19 11.3 2.0 57.9 0.4 0.8 0.6 4.8 -3.4
single RSI RSI pos-pos 112 66.7 2.0 49.1 0.5 0.9 0.2 4.0 -8.2
pair LWTI SLmean neg-neg 28 16.7 1.9 53.6 0.4 0.6 0.3 4.9 -7.1
pair SLmean LWTI neg-neg 28 16.7 1.9 53.6 0.4 0.6 0.3 4.9 -7.1
pair RSIhist LWTI neg-neg 28 16.7 1.8 60.7 0.4 0.5 0.2 4.6 -7.1
single MRmean MRmean pos-pos 97 57.7 1.8 49.5 0.4 0.7 0.2 4.4 -9.4
pair LWTI RSIhist neg-neg 28 16.7 1.8 60.7 0.4 0.5 0.2 4.6 -7.1
single LWTI LWTI pos-pos 122 72.6 1.8 48.4 0.4 0.7 0.1 4.5 -15.4
pair MACD MRmean pos-pos 78 46.4 1.7 47.4 0.4 0.7 0.2 4.4 -10.7
pair SLmean MACD pos-pos 66 39.3 1.7 45.5 0.4 0.8 0.2 4.2 -9.2
pair MRmean MACD pos-pos 78 46.4 1.7 47.4 0.4 0.7 0.2 4.4 -10.7
pair LWTI RSmean pos-pos 106 63.1 1.7 49.1 0.4 0.6 0.1 4.7 -15.4
single SLmean SLmean pos-pos 86 51.2 1.7 48.8 0.4 0.7 0.2 4.4 -8.7
pair RSmean LWTI pos-pos 106 63.1 1.7 49.1 0.4 0.6 0.1 4.7 -15.4
pair MACD SLmean pos-pos 66 39.3 1.7 45.5 0.4 0.8 0.2 4.2 -9.2
pair MACD RSI neg-neg 43 25.6 1.6 51.2 0.3 0.6 0.2 5.6 -7.7
pair RSI MACD neg-neg 43 25.6 1.6 51.2 0.3 0.6 0.2 5.6 -7.7
pair MACD LWTI pos-pos 89 53.0 1.6 48.3 0.4 0.6 0.1 4.4 -14.0
pair LWTI MACD pos-pos 89 53.0 1.6 48.3 0.4 0.6 0.1 4.4 -14.0
pair RSmean MACD neg-neg 14 8.3 1.6 42.9 0.5 1.5 0.8 3.1 -2.0
pair MACD RSmean neg-neg 14 8.3 1.6 42.9 0.5 1.5 0.8 3.1 -2.0
pair SLmean MACD pos-neg 20 11.9 1.6 60.0 0.3 0.6 0.4 5.1 -3.9
pair MACD SLmean pos-neg 20 11.9 1.6 60.0 0.3 0.6 0.4 5.1 -3.9
pair RSmean MACD pos-pos 102 60.7 1.5 50.0 0.4 0.6 0.1 4.2 -12.5
pair MACD RSmean pos-pos 102 60.7 1.5 50.0 0.4 0.6 0.1 4.2 -12.5
pair RSI MRmean pos-pos 88 52.4 1.5 47.7 0.4 0.6 0.1 4.3 -9.8
pair MRmean RSI pos-pos 88 52.4 1.5 47.7 0.4 0.6 0.1 4.3 -9.8
pair SLmean MRmean pos-pos 78 46.4 1.5 46.2 0.4 0.7 0.2 4.4 -7.9
pair MRmean SLmean pos-pos 78 46.4 1.5 46.2 0.4 0.7 0.2 4.4 -7.9
pair SLmean RSI pos-pos 76 45.2 1.5 46.1 0.4 0.7 0.2 4.1 -8.3
pair RSI SLmean pos-pos 76 45.2 1.5 46.1 0.4 0.7 0.2 4.1 -8.3
pair RSIhist MACD neg-neg 35 20.8 1.5 51.4 0.3 0.5 0.2 5.0 -7.1
pair MACD RSIhist neg-neg 35 20.8 1.5 51.4 0.3 0.5 0.2 5.0 -7.1
pair MACD MACDhist neg-pos 15 8.9 1.5 46.7 0.3 0.6 0.4 5.6 -4.2
pair MACDhist MACD neg-pos 15 8.9 1.5 46.7 0.3 0.6 0.4 5.6 -4.2
pair benchmark___benchmark_ benchmark-benchmark 168 100.0 1.4 49.4 0.3 0.5 0.1 4.5 -18.4
pair benchmark___benchmark_ benchmark-benchmark 168 100.0 1.4 49.4 0.3 0.5 0.1 4.5 -18.4
single MACD MACD pos-pos 105 62.5 1.4 49.5 0.3 0.5 0.1 4.3 -14.7
single RSmean RSmean pos-pos 151 89.9 1.4 50.3 0.3 0.5 0.1 4.6 -16.3
pair MACD MACDhist neg-neg 48 28.6 1.3 50.0 0.3 0.5 0.2 4.7 -7.1
pair RSIhist RSI pos-neg 40 23.8 1.3 50.0 0.3 0.5 0.2 3.8 -6.0
pair MACDhist MACD neg-neg 48 28.6 1.3 50.0 0.3 0.5 0.2 4.7 -7.1
pair RSI RSIhist pos-neg 40 23.8 1.3 50.0 0.3 0.5 0.2 3.8 -6.0
pair RSmean MACD pos-neg 49 29.2 1.3 51.0 0.3 0.5 0.2 5.3 -7.7
pair MACD RSmean pos-neg 49 29.2 1.3 51.0 0.3 0.5 0.2 5.3 -7.7
single MACD MACD neg-neg 63 37.5 1.3 49.2 0.3 0.5 0.2 4.9 -7.7
pair MACD SLmean neg-neg 43 25.6 1.2 44.2 0.3 0.5 0.2 4.9 -7.1
pair RSmean RSI neg-neg 4 2.4 1.2 50.0 0.3 1.8 1.2 4.1 -1.1
pair RSI RSmean neg-neg 4 2.4 1.2 50.0 0.3 1.8 1.2 4.1 -1.1
pair SLmean MACD neg-neg 43 25.6 1.2 44.2 0.3 0.5 0.2 4.9 -7.1
pair MACD RSIhist neg-pos 28 16.7 1.1 46.4 0.3 0.5 0.4 4.8 -3.2
pair RSIhist MACD neg-pos 28 16.7 1.1 46.4 0.3 0.5 0.4 4.8 -3.2
pair MACDhist RSI neg-pos 11 6.5 1.0 45.5 0.2 0.4 0.2 6.2 -4.2
pair RSI MACDhist neg-pos 11 6.5 1.0 45.5 0.2 0.4 0.2 6.2 -4.2
single SLmean SLmean neg-neg 82 48.8 1.0 50.0 0.2 0.3 0.1 4.7 -14.0
pair MRmean MACD neg-neg 44 26.2 1.0 45.5 0.2 0.4 0.1 5.0 -7.1
pair MACD MRmean neg-neg 44 26.2 1.0 45.5 0.2 0.4 0.1 5.0 -7.1
pair LWTI RSmean pos-neg 45 26.8 0.9 53.3 0.2 0.3 0.1 4.3 -7.1
pair RSmean LWTI pos-neg 45 26.8 0.9 53.3 0.2 0.3 0.1 4.3 -7.1
pair LWTI RSI neg-neg 29 17.3 0.9 55.2 0.2 0.3 0.1 5.2 -7.1
pair RSI LWTI neg-neg 29 17.3 0.9 55.2 0.2 0.3 0.1 5.2 -7.1
pair RSIhist MRmean neg-neg 59 35.1 0.9 52.5 0.2 0.3 0.1 4.7 -12.7
pair MRmean RSIhist neg-neg 59 35.1 0.9 52.5 0.2 0.3 0.1 4.7 -12.7
pair MRmean MACDhist neg-neg 64 38.1 0.9 50.0 0.2 0.3 0.1 4.6 -12.7
pair MACDhist MRmean neg-neg 64 38.1 0.9 50.0 0.2 0.3 0.1 4.6 -12.7
pair SLmean RSmean neg-pos 67 39.9 0.8 52.2 0.2 0.2 0.1 4.9 -14.0
pair RSmean SLmean neg-pos 67 39.9 0.8 52.2 0.2 0.2 0.1 4.9 -14.0
pair SLmean MACD neg-pos 39 23.2 0.8 56.4 0.2 0.2 0.1 4.4 -8.1
pair MACD SLmean neg-pos 39 23.2 0.8 56.4 0.2 0.2 0.1 4.4 -8.1
single RSmean RSmean neg-neg 17 10.1 0.8 41.2 0.2 0.3 0.2 4.1 -4.9
single MRmean MRmean neg-neg 71 42.3 0.8 49.3 0.2 0.3 0.1 4.6 -12.7
pair MACD RSI neg-pos 20 11.9 0.7 45.0 0.2 0.4 0.2 3.2 -3.7
pair RSI MACD neg-pos 20 11.9 0.7 45.0 0.2 0.4 0.2 3.2 -3.7
pair MACDhist SLmean neg-neg 61 36.3 0.6 47.5 0.2 0.2 0.1 4.7 -14.0
pair SLmean MACDhist neg-neg 61 36.3 0.6 47.5 0.2 0.2 0.1 4.7 -14.0
pair LWTI SLmean neg-pos 54 32.1 0.6 48.1 0.1 0.2 0.0 4.6 -13.4
pair SLmean LWTI neg-pos 54 32.1 0.6 48.1 0.1 0.2 0.0 4.6 -13.4
pair RSIhist MRmean neg-pos 12 7.1 0.6 33.3 0.1 0.3 0.2 4.6 -3.1
pair MRmean RSIhist neg-pos 12 7.1 0.6 33.3 0.1 0.3 0.2 4.6 -3.1
pair RSI RSmean neg-pos 13 7.7 0.6 38.5 0.2 0.2 0.2 4.2 -3.8
pair RSmean RSI neg-pos 13 7.7 0.6 38.5 0.2 0.2 0.2 4.2 -3.8
pair MRmean MACDhist neg-pos 7 4.2 0.5 42.9 0.1 0.2 0.1 5.4 -4.2
pair MACDhist MRmean neg-pos 7 4.2 0.5 42.9 0.1 0.2 0.1 5.4 -4.2
pair MRmean SLmean neg-neg 63 37.5 0.5 46.0 0.1 0.2 0.0 4.7 -12.7
pair SLmean MRmean neg-neg 63 37.5 0.5 46.0 0.1 0.2 0.0 4.7 -12.7
pair MACD MRmean neg-pos 27 16.1 0.5 55.6 0.1 0.1 0.1 4.0 -6.8
pair MRmean MACD neg-pos 27 16.1 0.5 55.6 0.1 0.1 0.1 4.0 -6.8
pair SLmean RSIhist neg-neg 68 40.5 0.5 50.0 0.1 0.2 0.0 4.9 -14.0
pair RSIhist SLmean neg-neg 68 40.5 0.5 50.0 0.1 0.2 0.0 4.9 -14.0
pair MRmean RSmean neg-pos 57 33.9 0.4 50.9 0.1 0.1 0.0 4.9 -12.7
pair RSmean MRmean neg-pos 57 33.9 0.4 50.9 0.1 0.1 0.0 4.9 -12.7
pair MACD LWTI pos-neg 16 9.5 0.4 56.2 0.1 0.1 0.1 3.3 -2.9
pair LWTI MACD pos-neg 16 9.5 0.4 56.2 0.1 0.1 0.1 3.3 -2.9
pair LWTI MACDhist neg-neg 45 26.8 0.4 53.3 0.1 0.1 0.0 4.5 -9.1
pair MACDhist LWTI neg-neg 45 26.8 0.4 53.3 0.1 0.1 0.0 4.5 -9.1
pair RSmean MACDhist pos-neg 76 45.2 0.3 51.3 0.1 0.1 0.0 4.5 -13.7
pair MACDhist RSmean pos-neg 76 45.2 0.3 51.3 0.1 0.1 0.0 4.5 -13.7
single LWTI LWTI neg-neg 46 27.4 0.2 52.2 0.1 0.1 0.0 4.5 -9.1
single RSI RSI neg-neg 56 33.3 0.2 50.0 0.1 0.1 0.0 5.4 -13.3
pair MACDhist RSIhist neg-neg 61 36.3 0.2 50.8 0.1 0.1 0.0 4.6 -13.6
pair RSIhist MACDhist neg-neg 61 36.3 0.2 50.8 0.1 0.1 0.0 4.6 -13.6
pair RSI RSmean pos-neg 52 31.0 0.1 50.0 0.1 0.1 0.0 5.5 -13.3
pair RSmean RSI pos-neg 52 31.0 0.1 50.0 0.1 0.1 0.0 5.5 -13.3
pair RSI MACDhist pos-neg 45 26.8 0.1 46.7 0.0 0.1 0.0 3.4 -6.5
pair MACDhist RSI pos-neg 45 26.8 0.1 46.7 0.0 0.1 0.0 3.4 -6.5
single RSIhist RSIhist neg-neg 79 47.0 0.1 49.4 0.1 0.1 0.0 4.6 -14.8
pair RSI MACDhist neg-neg 45 26.8 0.0 51.1 0.0 0.0 0.0 5.2 -12.7
pair MACDhist RSI neg-neg 45 26.8 0.0 51.1 0.0 0.0 0.0 5.2 -12.7
single MACDhist MACDhist neg-neg 90 53.6 0.0 48.9 0.0 0.1 0.0 4.4 -16.0
pair LWTI MACD neg-neg 30 17.9 0.0 50.0 0.0 0.1 0.0 5.1 -7.1
pair MACD LWTI neg-neg 30 17.9 0.0 50.0 0.0 0.1 0.0 5.1 -7.1
pair MACDhist RSIhist pos-neg 18 10.7 -0.2 44.4 -0.0 -0.0 -0.0 5.0 -5.6
pair RSIhist MACDhist pos-neg 18 10.7 -0.2 44.4 -0.0 -0.0 -0.0 5.0 -5.6
pair LWTI MACDhist neg-pos 45 26.8 -0.3 44.4 -0.1 -0.1 -0.0 4.2 -9.9
pair MACDhist LWTI neg-pos 45 26.8 -0.3 44.4 -0.1 -0.1 -0.0 4.2 -9.9
pair MACDhist RSIhist neg-pos 29 17.3 -0.3 44.8 -0.1 -0.1 -0.1 4.0 -5.6
pair RSIhist MACDhist neg-pos 29 17.3 -0.3 44.8 -0.1 -0.1 -0.1 4.0 -5.6
pair LWTI RSI neg-pos 27 16.1 -0.5 44.4 -0.1 -0.1 -0.1 5.7 -10.7
pair RSI LWTI neg-pos 27 16.1 -0.5 44.4 -0.1 -0.1 -0.1 5.7 -10.7
pair SLmean RSI neg-neg 46 27.4 -0.5 45.7 -0.1 -0.1 -0.0 5.2 -12.7
pair RSI SLmean neg-neg 46 27.4 -0.5 45.7 -0.1 -0.1 -0.0 5.2 -12.7
pair RSmean RSIhist pos-neg 66 39.3 -0.6 50.0 -0.1 -0.1 -0.0 4.8 -14.8
pair RSIhist RSmean pos-neg 66 39.3 -0.6 50.0 -0.1 -0.1 -0.0 4.8 -14.8
pair RSI MRmean neg-neg 47 28.0 -0.7 46.8 -0.1 -0.1 -0.1 5.3 -12.7
pair MRmean RSI neg-neg 47 28.0 -0.7 46.8 -0.1 -0.1 -0.1 5.3 -12.7
pair RSIhist LWTI neg-pos 51 30.4 -0.8 43.1 -0.1 -0.2 -0.1 4.7 -14.5
pair LWTI RSIhist neg-pos 51 30.4 -0.8 43.1 -0.1 -0.2 -0.1 4.7 -14.5
pair RSIhist MACD pos-neg 44 26.2 -0.9 47.7 -0.2 -0.3 -0.1 4.3 -9.0
pair MACD RSIhist pos-neg 44 26.2 -0.9 47.7 -0.2 -0.3 -0.1 4.3 -9.0
pair LWTI MRmean neg-pos 36 21.4 -0.9 38.9 -0.2 -0.3 -0.1 4.6 -11.9
pair MRmean LWTI neg-pos 36 21.4 -0.9 38.9 -0.2 -0.3 -0.1 4.6 -11.9
pair RSI RSIhist neg-neg 39 23.2 -1.0 48.7 -0.2 -0.2 -0.1 5.3 -12.7
pair RSIhist RSI neg-neg 39 23.2 -1.0 48.7 -0.2 -0.2 -0.1 5.3 -12.7
pair LWTI RSI pos-neg 17 10.1 -1.0 47.1 -0.3 -0.3 -0.4 3.2 -2.9
pair RSI LWTI pos-neg 17 10.1 -1.0 47.1 -0.3 -0.3 -0.4 3.2 -2.9
pair SLmean MACDhist pos-neg 29 17.3 -1.2 51.7 -0.3 -0.4 -0.2 3.6 -6.2
pair MACDhist SLmean pos-neg 29 17.3 -1.2 51.7 -0.3 -0.4 -0.2 3.6 -6.2
pair MACDhist MACD pos-neg 42 25.0 -1.3 47.6 -0.3 -0.4 -0.1 3.9 -11.3
pair MACD MACDhist pos-neg 42 25.0 -1.3 47.6 -0.3 -0.4 -0.1 3.9 -11.3
pair MACDhist RSmean neg-neg 14 8.3 -1.5 35.7 -0.4 -0.6 -0.3 3.9 -4.6
pair RSmean MACDhist neg-neg 14 8.3 -1.5 35.7 -0.4 -0.6 -0.3 3.9 -4.6
pair MRmean MACDhist pos-neg 26 15.5 -2.0 46.2 -0.5 -0.8 -0.2 3.8 -8.2
pair MACDhist MRmean pos-neg 26 15.5 -2.0 46.2 -0.5 -0.8 -0.2 3.8 -8.2
pair RSIhist MRmean pos-neg 20 11.9 -2.1 40.0 -0.5 -0.7 -0.3 4.4 -5.9
pair MRmean RSIhist pos-neg 20 11.9 -2.1 40.0 -0.5 -0.7 -0.3 4.4 -5.9
pair RSIhist LWTI pos-neg 18 10.7 -2.3 38.9 -0.5 -0.8 -0.3 4.5 -6.4
pair LWTI RSIhist pos-neg 18 10.7 -2.3 38.9 -0.5 -0.8 -0.3 4.5 -6.4
pair RSIhist SLmean pos-neg 11 6.5 -2.4 45.5 -0.9 -1.5 -0.8 2.8 -2.9
pair SLmean RSIhist pos-neg 11 6.5 -2.4 45.5 -0.9 -1.5 -0.8 2.8 -2.9
pair LWTI SLmean pos-neg 18 10.7 -2.4 50.0 -0.6 -0.8 -0.4 3.8 -6.2
pair SLmean LWTI pos-neg 18 10.7 -2.4 50.0 -0.6 -0.8 -0.4 3.8 -6.2
pair RSmean MACD neg-pos 3 1.8 -3.0 33.3 -0.3 -0.5 -1.2 8.3 -2.6
pair MACD RSmean neg-pos 3 1.8 -3.0 33.3 -0.3 -0.5 -1.2 8.3 -2.6
pair MACD RSI pos-neg 13 7.7 -4.4 46.2 -0.9 -1.0 -0.7 4.6 -6.8
pair RSI MACD pos-neg 13 7.7 -4.4 46.2 -0.9 -1.0 -0.7 4.6 -6.8
pair MRmean RSmean pos-neg 3 1.8 -7.4 33.3 -1.2 -1.3 -2.8 6.3 -2.6
pair RSmean MRmean pos-neg 3 1.8 -7.4 33.3 -1.2 -1.3 -2.8 6.3 -2.6
pair LWTI MRmean pos-neg 11 6.5 -7.4 27.3 -2.5 -3.0 -1.1 3.0 -7.1
pair MRmean LWTI pos-neg 11 6.5 -7.4 27.3 -2.5 -3.0 -1.1 3.0 -7.1
pair RSmean RSIhist neg-pos 4 2.4 -8.2 25.0 -1.6 -2.0 -2.5 5.1 -3.2
pair RSIhist RSmean neg-pos 4 2.4 -8.2 25.0 -1.6 -2.0 -2.5 5.1 -3.2
pair LWTI MACDhist pos-neg 1 0.6 -9.4 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.6 -9.4 0.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 2 1.2 -9.6 50.0 -1.1 0.0 0.0 8.8 0.0
pair RSmean SLmean pos-neg 2 1.2 -9.6 50.0 -1.1 0.0 0.0 8.8 0.0
pair RSmean LWTI neg-neg 1 0.6 -27.3 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.6 -27.3 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for GOVT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 1.5% | Win 46%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.2
Vol 4% | MDD -7.9%
Months 78M (46%)
CAGR 2.9% | Win 63%
Sharpe 0.66 | Sortino 0.87 | Calmar 0.9
Vol 4% | MDD -3.1%
Months 19M (11%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 3.9% | Win 75%
Sharpe 0.96 | Sortino 0.73 | Calmar 1.7
Vol 4% | MDD -2.3%
Months 8M (5%)
CAGR 0.5% | Win 46%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 5% | MDD -12.7%
Months 63M (38%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
SLmean
only
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.1% | Win 50%
Sharpe 0.49 | Sortino 0.89 | Calmar 0.3
Vol 4% | MDD -7.3%
Months 94M (56%)
CAGR -7.4% | Win 33%
Sharpe -1.19 | Sortino -1.30 | Calmar -2.8
Vol 6% | MDD -2.6%
Months 3M (2%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 0.4% | Win 51%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 5% | MDD -12.7%
Months 57M (34%)
CAGR 2.6% | Win 43%
Sharpe 0.75 | Sortino 2.43 | Calmar 1.3
Vol 4% | MDD -2.0%
Months 14M (8%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
RSmean
only
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.7% | Win 47%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.2
Vol 4% | MDD -10.7%
Months 78M (46%)
CAGR 2.0% | Win 58%
Sharpe 0.44 | Sortino 0.85 | Calmar 0.6
Vol 5% | MDD -3.4%
Months 19M (11%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 0.5% | Win 56%
Sharpe 0.15 | Sortino 0.15 | Calmar 0.1
Vol 4% | MDD -6.8%
Months 27M (16%)
CAGR 1.0% | Win 46%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 5% | MDD -7.1%
Months 44M (26%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
MACD
only
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 1.5% | Win 48%
Sharpe 0.36 | Sortino 0.62 | Calmar 0.1
Vol 4% | MDD -9.8%
Months 88M (52%)
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 1.62 | Calmar 2.0
Vol 6% | MDD -2.4%
Months 9M (5%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 3.8% | Win 54%
Sharpe 1.31 | Sortino 2.66 | Calmar 2.2
Vol 3% | MDD -1.8%
Months 24M (14%)
CAGR -0.7% | Win 47%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 5% | MDD -12.7%
Months 47M (28%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
RSI
only
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 51%
Sharpe 0.70 | Sortino 1.26 | Calmar 0.6
Vol 5% | MDD -4.9%
Months 71M (42%)
CAGR -2.0% | Win 46%
Sharpe -0.51 | Sortino -0.76 | Calmar -0.2
Vol 4% | MDD -8.2%
Months 26M (16%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 0.5% | Win 43%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.1
Vol 5% | MDD -4.2%
Months 7M (4%)
CAGR 0.9% | Win 50%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 64M (38%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
MACDhist
only
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 52%
Sharpe 0.65 | Sortino 1.15 | Calmar 0.5
Vol 4% | MDD -5.2%
Months 77M (46%)
CAGR -2.1% | Win 40%
Sharpe -0.45 | Sortino -0.72 | Calmar -0.4
Vol 4% | MDD -5.9%
Months 20M (12%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR 0.6% | Win 33%
Sharpe 0.15 | Sortino 0.30 | Calmar 0.2
Vol 5% | MDD -3.1%
Months 12M (7%)
CAGR 0.9% | Win 52%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 59M (35%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.0% | Win 52%
Sharpe 0.69 | Sortino 1.20 | Calmar 0.5
Vol 4% | MDD -5.7%
Months 86M (51%)
CAGR -7.4% | Win 27%
Sharpe -2.54 | Sortino -2.96 | Calmar -1.0
Vol 3% | MDD -7.1%
Months 11M (6%)
CAGR 1.8% | Win 50%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 4% | MDD -9.4%
Months 97M (58%)
MRmean
neg
CAGR -0.9% | Win 39%
Sharpe -0.18 | Sortino -0.26 | Calmar -0.1
Vol 5% | MDD -11.9%
Months 36M (21%)
CAGR 2.7% | Win 60%
Sharpe 0.59 | Sortino 0.77 | Calmar 0.4
Vol 5% | MDD -7.1%
Months 35M (21%)
CAGR 0.8% | Win 49%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 71M (42%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.0% | Win 49%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.3
Vol 4% | MDD -6.3%
Months 84M (50%)
CAGR -9.6% | Win 50%
Sharpe -1.12 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 2M (1%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 0.8% | Win 52%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 67M (40%)
CAGR 2.3% | Win 40%
Sharpe 0.66 | Sortino 2.13 | Calmar 1.0
Vol 4% | MDD -2.3%
Months 15M (9%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
RSmean
only
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 1.7% | Win 46%
Sharpe 0.43 | Sortino 0.79 | Calmar 0.2
Vol 4% | MDD -9.2%
Months 66M (39%)
CAGR 1.6% | Win 60%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.4
Vol 5% | MDD -3.9%
Months 20M (12%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 0.8% | Win 56%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.1
Vol 4% | MDD -8.1%
Months 39M (23%)
CAGR 1.2% | Win 44%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.2
Vol 5% | MDD -7.1%
Months 43M (26%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
MACD
only
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 1.5% | Win 46%
Sharpe 0.37 | Sortino 0.68 | Calmar 0.2
Vol 4% | MDD -8.3%
Months 76M (45%)
CAGR 3.7% | Win 70%
Sharpe 0.60 | Sortino 1.49 | Calmar 1.3
Vol 6% | MDD -2.9%
Months 10M (6%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 3.1% | Win 56%
Sharpe 0.80 | Sortino 1.15 | Calmar 0.8
Vol 4% | MDD -3.7%
Months 36M (21%)
CAGR -0.5% | Win 46%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.0
Vol 5% | MDD -12.7%
Months 46M (27%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
RSI
only
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 47%
Sharpe 0.70 | Sortino 1.40 | Calmar 0.8
Vol 5% | MDD -4.0%
Months 57M (34%)
CAGR -1.2% | Win 52%
Sharpe -0.31 | Sortino -0.41 | Calmar -0.2
Vol 4% | MDD -6.2%
Months 29M (17%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 2.2% | Win 57%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.4
Vol 5% | MDD -5.0%
Months 21M (12%)
CAGR 0.6% | Win 48%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 5% | MDD -14.0%
Months 61M (36%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
MACDhist
only
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.3% | Win 49%
Sharpe 0.53 | Sortino 0.92 | Calmar 0.3
Vol 5% | MDD -7.4%
Months 75M (45%)
CAGR -2.4% | Win 46%
Sharpe -0.86 | Sortino -1.47 | Calmar -0.8
Vol 3% | MDD -2.9%
Months 11M (6%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 3.4% | Win 50%
Sharpe 0.94 | Sortino 5.76 | Calmar 2.1
Vol 4% | MDD -1.6%
Months 14M (8%)
CAGR 0.5% | Win 50%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 5% | MDD -14.0%
Months 68M (40%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 48%
Sharpe 0.65 | Sortino 1.25 | Calmar 0.7
Vol 4% | MDD -4.0%
Months 68M (40%)
CAGR -2.4% | Win 50%
Sharpe -0.62 | Sortino -0.78 | Calmar -0.4
Vol 4% | MDD -6.2%
Months 18M (11%)
CAGR 1.7% | Win 49%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 4% | MDD -8.7%
Months 86M (51%)
SLmean
neg
CAGR 0.6% | Win 48%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 5% | MDD -13.4%
Months 54M (32%)
CAGR 1.9% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.3
Vol 5% | MDD -7.1%
Months 28M (17%)
CAGR 1.0% | Win 50%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 5% | MDD -14.0%
Months 82M (49%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 1.5% | Win 50%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.1
Vol 4% | MDD -12.5%
Months 102M (61%)
CAGR 1.3% | Win 51%
Sharpe 0.26 | Sortino 0.45 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 49M (29%)
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
RSmean
neg
CAGR -3.0% | Win 33%
Sharpe -0.34 | Sortino -0.49 | Calmar -1.2
Vol 8% | MDD -2.6%
Months 3M (2%)
CAGR 1.6% | Win 43%
Sharpe 0.53 | Sortino 1.50 | Calmar 0.8
Vol 3% | MDD -2.0%
Months 14M (8%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
MACD
only
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.1% | Win 50%
Sharpe 0.55 | Sortino 0.95 | Calmar 0.4
Vol 4% | MDD -6.1%
Months 99M (59%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar 0.0
Vol 6% | MDD -13.3%
Months 52M (31%)
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
RSmean
neg
CAGR 0.6% | Win 38%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.2
Vol 4% | MDD -3.8%
Months 13M (8%)
CAGR 1.2% | Win 50%
Sharpe 0.32 | Sortino 1.75 | Calmar 1.2
Vol 4% | MDD -1.1%
Months 4M (2%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
RSI
only
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 49%
Sharpe 0.57 | Sortino 1.02 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 75M (45%)
CAGR 0.3% | Win 51%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 4% | MDD -13.7%
Months 76M (45%)
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
RSmean
neg
CAGR 12.1% | Win 67%
Sharpe 2.77 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (2%)
CAGR -1.5% | Win 36%
Sharpe -0.37 | Sortino -0.55 | Calmar -0.3
Vol 4% | MDD -4.6%
Months 14M (8%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
MACDhist
only
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.0% | Win 51%
Sharpe 0.71 | Sortino 1.34 | Calmar 0.7
Vol 4% | MDD -4.3%
Months 85M (51%)
CAGR -0.6% | Win 50%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.0
Vol 5% | MDD -14.8%
Months 66M (39%)
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
RSmean
neg
CAGR -8.2% | Win 25%
Sharpe -1.64 | Sortino -2.04 | Calmar -2.5
Vol 5% | MDD -3.2%
Months 4M (2%)
CAGR 3.7% | Win 46%
Sharpe 1.04 | Sortino 3.03 | Calmar 2.8
Vol 4% | MDD -1.3%
Months 13M (8%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 1.7% | Win 49%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 5% | MDD -15.4%
Months 106M (63%)
CAGR 0.9% | Win 53%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 4% | MDD -7.1%
Months 45M (27%)
CAGR 1.4% | Win 50%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 5% | MDD -16.3%
Months 151M (90%)
RSmean
neg
CAGR 2.9% | Win 44%
Sharpe 0.84 | Sortino 2.69 | Calmar 1.2
Vol 3% | MDD -2.3%
Months 16M (10%)
CAGR -27.3% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 0.8% | Win 41%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 4% | MDD -4.9%
Months 17M (10%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.3% | Win 50%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.2
Vol 4% | MDD -9.1%
Months 92M (55%)
CAGR -4.4% | Win 46%
Sharpe -0.95 | Sortino -0.96 | Calmar -0.7
Vol 5% | MDD -6.8%
Months 13M (8%)
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
MACD
neg
CAGR 0.7% | Win 45%
Sharpe 0.23 | Sortino 0.41 | Calmar 0.2
Vol 3% | MDD -3.7%
Months 20M (12%)
CAGR 1.6% | Win 51%
Sharpe 0.32 | Sortino 0.57 | Calmar 0.2
Vol 6% | MDD -7.7%
Months 43M (26%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
RSI
only
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.3% | Win 51%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.7
Vol 4% | MDD -4.9%
Months 63M (38%)
CAGR -1.3% | Win 48%
Sharpe -0.32 | Sortino -0.37 | Calmar -0.1
Vol 4% | MDD -11.3%
Months 42M (25%)
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
MACD
neg
CAGR 1.5% | Win 47%
Sharpe 0.30 | Sortino 0.56 | Calmar 0.4
Vol 6% | MDD -4.2%
Months 15M (9%)
CAGR 1.3% | Win 50%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.2
Vol 5% | MDD -7.1%
Months 48M (29%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
MACDhist
only
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 51%
Sharpe 0.75 | Sortino 1.31 | Calmar 0.4
Vol 4% | MDD -7.0%
Months 61M (36%)
CAGR -0.9% | Win 48%
Sharpe -0.20 | Sortino -0.26 | Calmar -0.1
Vol 4% | MDD -9.0%
Months 44M (26%)
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
MACD
neg
CAGR 1.1% | Win 46%
Sharpe 0.26 | Sortino 0.52 | Calmar 0.4
Vol 5% | MDD -3.2%
Months 28M (17%)
CAGR 1.5% | Win 51%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.2
Vol 5% | MDD -7.1%
Months 35M (21%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.6% | Win 48%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.1
Vol 4% | MDD -14.0%
Months 89M (53%)
CAGR 0.4% | Win 56%
Sharpe 0.15 | Sortino 0.15 | Calmar 0.1
Vol 3% | MDD -2.9%
Months 16M (10%)
CAGR 1.4% | Win 50%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 4% | MDD -14.7%
Months 105M (62%)
MACD
neg
CAGR 2.5% | Win 48%
Sharpe 0.54 | Sortino 1.03 | Calmar 0.4
Vol 5% | MDD -6.3%
Months 33M (20%)
CAGR 0.0% | Win 50%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 5% | MDD -7.1%
Months 30M (18%)
CAGR 1.3% | Win 49%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.7%
Months 63M (38%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.3% | Win 51%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.7
Vol 4% | MDD -4.9%
Months 67M (40%)
CAGR 0.1% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar 0.0
Vol 3% | MDD -6.5%
Months 45M (27%)
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
RSI
neg
CAGR 1.0% | Win 46%
Sharpe 0.19 | Sortino 0.38 | Calmar 0.2
Vol 6% | MDD -4.2%
Months 11M (6%)
CAGR 0.0% | Win 51%
Sharpe 0.03 | Sortino 0.04 | Calmar 0.0
Vol 5% | MDD -12.7%
Months 45M (27%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
MACDhist
only
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.04 | Calmar 0.4
Vol 4% | MDD -6.1%
Months 72M (43%)
CAGR 1.3% | Win 50%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.2
Vol 4% | MDD -6.0%
Months 40M (24%)
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
RSI
neg
CAGR 3.1% | Win 53%
Sharpe 0.57 | Sortino 1.12 | Calmar 1.0
Vol 6% | MDD -3.0%
Months 17M (10%)
CAGR -1.0% | Win 49%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.1
Vol 5% | MDD -12.7%
Months 39M (23%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.5% | Win 50%
Sharpe 0.62 | Sortino 1.11 | Calmar 0.3
Vol 4% | MDD -7.6%
Months 95M (56%)
CAGR -1.0% | Win 47%
Sharpe -0.30 | Sortino -0.35 | Calmar -0.4
Vol 3% | MDD -2.9%
Months 17M (10%)
CAGR 2.0% | Win 49%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.2
Vol 4% | MDD -8.2%
Months 112M (67%)
RSI
neg
CAGR -0.5% | Win 44%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 6% | MDD -10.7%
Months 27M (16%)
CAGR 0.9% | Win 55%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 5% | MDD -7.1%
Months 29M (17%)
CAGR 0.2% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.3%
Months 56M (33%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 52%
Sharpe 0.86 | Sortino 1.67 | Calmar 1.2
Vol 5% | MDD -3.2%
Months 60M (36%)
CAGR -0.2% | Win 44%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.0
Vol 5% | MDD -5.6%
Months 18M (11%)
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
MACDhist
neg
CAGR -0.3% | Win 45%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 4% | MDD -5.6%
Months 29M (17%)
CAGR 0.2% | Win 51%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 5% | MDD -13.6%
Months 61M (36%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
RSIhist
only
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.1% | Win 51%
Sharpe 0.68 | Sortino 1.20 | Calmar 0.5
Vol 5% | MDD -6.5%
Months 77M (46%)
CAGR -9.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 2.9% | Win 50%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 5% | MDD -7.2%
Months 78M (46%)
MACDhist
neg
CAGR -0.3% | Win 44%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.0
Vol 4% | MDD -9.9%
Months 45M (27%)
CAGR 0.4% | Win 53%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 45M (27%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -16.0%
Months 90M (54%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.7% | Win 52%
Sharpe 0.87 | Sortino 1.64 | Calmar 1.2
Vol 4% | MDD -3.2%
Months 71M (42%)
CAGR -2.3% | Win 39%
Sharpe -0.49 | Sortino -0.78 | Calmar -0.4
Vol 4% | MDD -6.4%
Months 18M (11%)
CAGR 2.5% | Win 49%
Sharpe 0.58 | Sortino 1.05 | Calmar 0.4
Vol 4% | MDD -6.8%
Months 89M (53%)
RSIhist
neg
CAGR -0.8% | Win 43%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 5% | MDD -14.5%
Months 51M (30%)
CAGR 1.8% | Win 61%
Sharpe 0.41 | Sortino 0.51 | Calmar 0.2
Vol 5% | MDD -7.1%
Months 28M (17%)
CAGR 0.1% | Win 49%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 5% | MDD -14.8%
Months 79M (47%)
LWTI
only
CAGR 1.8% | Win 48%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.1
Vol 4% | MDD -15.4%
Months 122M (73%)
CAGR 0.2% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 4% | MDD -9.1%
Months 46M (27%)