HYG - iShares iBoxx $ High Yield Corporate Bond ETF

Signal Pair Analysis

MRmean-RSI

Best Pair

52.0%

Best CAGR

66

Total Months

5.4%

Avg CAGR

HYG 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 HYG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean RSI pos-neg 4 1.8 52.0 100.0 13.5 0.0 0.0 3.2 0.0
pair RSI MRmean pos-neg 4 1.8 52.0 100.0 13.5 0.0 0.0 3.2 0.0
pair RSI MACDhist neg-pos 2 0.9 48.0 100.0 5.2 0.0 0.0 7.6 0.0
pair MACDhist RSI neg-pos 2 0.9 48.0 100.0 5.2 0.0 0.0 7.6 0.0
pair MACDhist MACD neg-pos 4 1.8 26.5 100.0 3.4 0.0 0.0 7.1 0.0
pair MACD MACDhist neg-pos 4 1.8 26.5 100.0 3.4 0.0 0.0 7.1 0.0
pair RSIhist LWTI neg-neg 14 6.2 25.6 64.3 1.1 3.2 3.0 24.3 -8.6
pair LWTI RSIhist neg-neg 14 6.2 25.6 64.3 1.1 3.2 3.0 24.3 -8.6
pair MRmean MACDhist neg-pos 1 0.4 23.6 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MRmean neg-pos 1 0.4 23.6 100.0 0.0 0.0 0.0 - 0.0
pair LWTI SLmean neg-neg 15 6.6 20.0 66.7 0.8 1.9 2.1 25.1 -9.7
pair SLmean LWTI neg-neg 15 6.6 20.0 66.7 0.8 1.9 2.1 25.1 -9.7
pair MACD LWTI neg-neg 23 10.2 19.3 65.2 1.0 1.8 1.8 19.7 -10.6
pair LWTI MACD neg-neg 23 10.2 19.3 65.2 1.0 1.8 1.8 19.7 -10.6
pair MRmean LWTI pos-neg 11 4.9 17.1 72.7 1.8 13.9 5.9 9.2 -2.9
pair LWTI MRmean pos-neg 11 4.9 17.1 72.7 1.8 13.9 5.9 9.2 -2.9
pair RSI LWTI neg-neg 21 9.3 15.2 61.9 0.8 1.5 1.4 21.8 -10.6
pair LWTI RSI neg-neg 21 9.3 15.2 61.9 0.8 1.5 1.4 21.8 -10.6
pair MRmean MACD pos-neg 16 7.1 14.7 62.5 1.4 3.5 4.0 10.4 -3.7
pair MACD MRmean pos-neg 16 7.1 14.7 62.5 1.4 3.5 4.0 10.4 -3.7
pair LWTI RSmean pos-neg 29 12.8 13.2 62.1 0.7 1.4 1.2 19.1 -10.6
pair LWTI MACDhist neg-neg 29 12.8 13.2 62.1 0.7 1.4 1.2 19.1 -10.6
single LWTI LWTI neg-neg 29 12.8 13.2 62.1 0.7 1.4 1.2 19.1 -10.6
pair MACDhist LWTI neg-neg 29 12.8 13.2 62.1 0.7 1.4 1.2 19.1 -10.6
pair RSmean LWTI pos-neg 29 12.8 13.2 62.1 0.7 1.4 1.2 19.1 -10.6
pair LWTI MRmean neg-neg 18 8.0 10.9 55.6 0.6 1.2 1.0 23.5 -10.6
pair MRmean LWTI neg-neg 18 8.0 10.9 55.6 0.6 1.2 1.0 23.5 -10.6
pair RSIhist RSI neg-neg 31 13.7 10.1 64.5 0.6 0.9 0.4 20.6 -27.2
pair RSI RSIhist neg-neg 31 13.7 10.1 64.5 0.6 0.9 0.4 20.6 -27.2
pair MACD RSmean neg-pos 5 2.2 9.1 40.0 1.1 10.7 6.3 7.9 -1.4
pair RSmean MACD neg-pos 5 2.2 9.1 40.0 1.1 10.7 6.3 7.9 -1.4
pair RSmean RSI neg-neg 9 4.0 9.0 66.7 0.9 1.7 2.3 9.7 -3.9
pair RSI RSmean neg-neg 9 4.0 9.0 66.7 0.9 1.7 2.3 9.7 -3.9
pair MRmean MACDhist pos-neg 56 24.8 8.9 66.1 1.2 2.7 1.6 7.3 -5.5
pair MACDhist MRmean pos-neg 56 24.8 8.9 66.1 1.2 2.7 1.6 7.3 -5.5
pair MACD RSI neg-neg 30 13.3 8.8 66.7 0.5 0.7 0.3 20.7 -27.2
pair RSI MACD neg-neg 30 13.3 8.8 66.7 0.5 0.7 0.3 20.7 -27.2
pair RSI SLmean neg-neg 33 14.6 8.6 66.7 0.5 0.8 0.3 20.7 -27.2
pair SLmean RSI neg-neg 33 14.6 8.6 66.7 0.5 0.8 0.3 20.7 -27.2
pair RSI LWTI pos-neg 8 3.5 8.3 62.5 0.8 7.2 2.9 9.9 -2.9
pair LWTI RSI pos-neg 8 3.5 8.3 62.5 0.8 7.2 2.9 9.9 -2.9
pair MACD SLmean pos-neg 17 7.5 7.9 52.9 0.8 2.3 1.7 9.9 -4.6
single RSI RSI neg-neg 39 17.3 7.9 64.1 0.5 0.7 0.3 19.5 -27.2
pair SLmean MACD pos-neg 17 7.5 7.9 52.9 0.8 2.3 1.7 9.9 -4.6
pair RSmean RSI pos-neg 30 13.3 7.6 63.3 0.4 0.7 0.4 21.7 -17.7
pair RSI RSmean pos-neg 30 13.3 7.6 63.3 0.4 0.7 0.4 21.7 -17.7
pair RSmean MACD pos-neg 33 14.6 7.2 60.6 0.4 0.6 0.2 20.1 -29.2
pair MACD RSmean pos-neg 33 14.6 7.2 60.6 0.4 0.6 0.2 20.1 -29.2
pair MACD RSIhist neg-neg 27 11.9 7.1 59.3 0.4 0.7 0.3 20.6 -27.2
pair RSIhist MACD neg-neg 27 11.9 7.1 59.3 0.4 0.7 0.3 20.6 -27.2
pair RSIhist MRmean pos-neg 33 14.6 6.9 72.7 0.7 0.7 0.7 10.1 -10.0
pair MRmean RSIhist pos-neg 33 14.6 6.9 72.7 0.7 0.7 0.7 10.1 -10.0
pair RSIhist MACDhist neg-neg 74 32.7 6.8 58.1 0.5 0.8 0.2 14.7 -27.2
pair MACDhist RSIhist neg-neg 74 32.7 6.8 58.1 0.5 0.8 0.2 14.7 -27.2
pair MACD MACDhist pos-neg 68 30.1 6.6 58.8 0.7 1.3 0.5 9.2 -13.8
pair MACDhist MACD pos-neg 68 30.1 6.6 58.8 0.7 1.3 0.5 9.2 -13.8
pair SLmean LWTI pos-neg 14 6.2 6.4 57.1 0.7 1.6 0.7 10.0 -8.7
pair LWTI SLmean pos-neg 14 6.2 6.4 57.1 0.7 1.6 0.7 10.0 -8.7
pair SLmean MACDhist neg-neg 60 26.5 6.4 58.3 0.5 0.7 0.2 16.5 -27.2
pair MACDhist SLmean neg-neg 60 26.5 6.4 58.3 0.5 0.7 0.2 16.5 -27.2
pair RSmean RSIhist pos-neg 66 29.2 6.1 60.6 0.5 0.6 0.3 16.2 -17.7
pair RSIhist RSmean pos-neg 66 29.2 6.1 60.6 0.5 0.6 0.3 16.2 -17.7
pair MACDhist RSI neg-neg 37 16.4 6.1 62.2 0.4 0.6 0.2 19.8 -27.2
pair RSI MACDhist neg-neg 37 16.4 6.1 62.2 0.4 0.6 0.2 19.8 -27.2
pair SLmean MRmean pos-pos 152 67.3 5.9 69.1 1.0 1.6 0.8 5.7 -7.7
pair MRmean SLmean pos-pos 152 67.3 5.9 69.1 1.0 1.6 0.8 5.7 -7.7
pair RSmean MACDhist pos-neg 92 40.7 5.9 58.7 0.5 0.7 0.2 14.1 -29.2
pair MACDhist RSmean pos-neg 92 40.7 5.9 58.7 0.5 0.7 0.2 14.1 -29.2
pair RSmean MRmean pos-pos 168 74.3 5.9 69.6 0.9 1.0 0.5 6.7 -12.4
pair MRmean RSmean pos-pos 168 74.3 5.9 69.6 0.9 1.0 0.5 6.7 -12.4
pair MACDhist SLmean pos-pos 107 47.3 5.8 72.9 1.2 1.5 1.0 4.8 -5.9
pair SLmean MACDhist pos-pos 107 47.3 5.8 72.9 1.2 1.5 1.0 4.8 -5.9
single MRmean MRmean pos-pos 170 75.2 5.8 69.4 0.9 1.0 0.5 6.7 -12.4
single RSIhist RSIhist neg-neg 84 37.2 5.6 58.3 0.4 0.6 0.2 14.8 -27.2
pair RSIhist MRmean pos-pos 137 60.6 5.6 68.6 1.0 1.5 0.7 5.6 -7.5
pair MRmean RSIhist pos-pos 137 60.6 5.6 68.6 1.0 1.5 0.7 5.6 -7.5
pair SLmean RSIhist neg-neg 65 28.8 5.6 56.9 0.4 0.6 0.2 16.3 -27.2
pair RSIhist SLmean neg-neg 65 28.8 5.6 56.9 0.4 0.6 0.2 16.3 -27.2
pair SLmean RSmean pos-pos 155 68.6 5.4 67.7 0.9 1.4 0.4 6.1 -13.1
pair RSmean SLmean pos-pos 155 68.6 5.4 67.7 0.9 1.4 0.4 6.1 -13.1
pair RSIhist SLmean pos-neg 19 8.4 5.4 63.2 0.7 1.3 1.1 8.7 -5.1
pair SLmean RSIhist pos-neg 19 8.4 5.4 63.2 0.7 1.3 1.1 8.7 -5.1
pair MACDhist RSIhist pos-pos 105 46.5 5.3 72.4 1.1 1.4 0.9 4.6 -5.9
single MACDhist MACDhist neg-neg 111 49.1 5.3 56.8 0.5 0.7 0.2 13.3 -30.2
pair RSIhist MACDhist pos-pos 105 46.5 5.3 72.4 1.1 1.4 0.9 4.6 -5.9
pair LWTI MACD pos-pos 173 76.5 5.3 66.5 0.8 1.0 0.5 7.0 -11.6
pair RSI SLmean pos-pos 152 67.3 5.3 67.8 0.9 1.5 0.5 5.8 -10.0
pair SLmean RSI pos-pos 152 67.3 5.3 67.8 0.9 1.5 0.5 5.8 -10.0
pair MACD LWTI pos-pos 173 76.5 5.3 66.5 0.8 1.0 0.5 7.0 -11.6
pair SLmean RSIhist pos-pos 139 61.5 5.2 67.6 0.9 1.5 0.6 5.6 -9.1
single SLmean SLmean pos-pos 158 69.9 5.2 67.1 0.9 1.4 0.4 6.0 -13.1
single MACD MACD neg-neg 47 20.8 5.2 57.4 0.4 0.5 0.2 17.4 -30.2
pair RSIhist SLmean pos-pos 139 61.5 5.2 67.6 0.9 1.5 0.6 5.6 -9.1
pair LWTI MRmean pos-pos 159 70.4 5.1 69.2 0.8 0.9 0.4 6.5 -12.4
pair SLmean LWTI pos-pos 144 63.7 5.1 68.1 0.9 1.4 0.5 5.6 -10.0
pair LWTI SLmean pos-pos 144 63.7 5.1 68.1 0.9 1.4 0.5 5.6 -10.0
single RSmean RSmean pos-pos 207 91.6 5.1 65.7 0.5 0.6 0.2 10.5 -29.2
pair MRmean LWTI pos-pos 159 70.4 5.1 69.2 0.8 0.9 0.4 6.5 -12.4
pair SLmean MRmean pos-neg 18 8.0 5.1 72.2 0.5 0.4 0.5 12.2 -10.0
pair MRmean SLmean pos-neg 18 8.0 5.1 72.2 0.5 0.4 0.5 12.2 -10.0
pair MACDhist RSI pos-neg 74 32.7 5.0 54.1 0.6 1.4 0.4 8.4 -11.4
pair RSI MACDhist pos-neg 74 32.7 5.0 54.1 0.6 1.4 0.4 8.4 -11.4
pair MACD MRmean pos-pos 154 68.1 4.9 70.1 0.8 0.8 0.4 6.2 -12.4
pair MRmean MACD pos-pos 154 68.1 4.9 70.1 0.8 0.8 0.4 6.2 -12.4
pair SLmean MACD pos-pos 141 62.4 4.9 68.8 0.9 1.3 0.5 5.4 -10.0
pair MACD SLmean pos-pos 141 62.4 4.9 68.8 0.9 1.3 0.5 5.4 -10.0
pair benchmark___benchmark_ benchmark-benchmark 226 100.0 4.9 64.2 0.5 0.6 0.2 10.3 -30.2
pair benchmark___benchmark_ benchmark-benchmark 226 100.0 4.9 64.2 0.5 0.6 0.2 10.3 -30.2
pair MACD RSI pos-neg 9 4.0 4.9 55.6 0.4 0.7 0.7 15.6 -7.1
pair RSI MACD pos-neg 9 4.0 4.9 55.6 0.4 0.7 0.7 15.6 -7.1
pair RSIhist MACD pos-pos 122 54.0 4.9 69.7 1.0 1.3 0.8 4.8 -6.0
pair MACD RSIhist pos-pos 122 54.0 4.9 69.7 1.0 1.3 0.8 4.8 -6.0
pair RSI MRmean pos-pos 166 73.5 4.9 68.7 0.8 0.9 0.4 6.5 -12.4
pair MRmean RSI pos-pos 166 73.5 4.9 68.7 0.8 0.9 0.4 6.5 -12.4
pair RSI RSIhist pos-pos 134 59.3 4.8 67.9 0.9 1.3 0.6 5.5 -7.5
pair RSIhist RSI pos-pos 134 59.3 4.8 67.9 0.9 1.3 0.6 5.5 -7.5
single MACD MACD pos-pos 179 79.2 4.8 65.9 0.7 0.8 0.3 7.5 -14.3
pair MACD RSI pos-pos 170 75.2 4.8 66.5 0.7 0.9 0.4 6.9 -12.1
pair MACD RSIhist pos-neg 57 25.2 4.8 57.9 0.5 0.7 0.4 11.3 -11.4
pair RSIhist MACD pos-neg 57 25.2 4.8 57.9 0.5 0.7 0.4 11.3 -11.4
pair RSI MACD pos-pos 170 75.2 4.8 66.5 0.7 0.9 0.4 6.9 -12.1
pair LWTI RSIhist pos-pos 127 56.2 4.7 68.5 0.9 1.3 0.8 5.1 -5.6
pair RSIhist LWTI pos-pos 127 56.2 4.7 68.5 0.9 1.3 0.8 5.1 -5.6
pair RSI RSmean pos-pos 177 78.3 4.7 66.1 0.7 0.9 0.4 7.1 -12.6
pair MACD RSmean pos-pos 174 77.0 4.7 66.7 0.7 0.8 0.3 7.5 -14.3
pair RSmean MACD pos-pos 174 77.0 4.7 66.7 0.7 0.8 0.3 7.5 -14.3
pair RSIhist MRmean neg-neg 51 22.6 4.7 49.0 0.3 0.6 0.2 17.3 -27.2
pair MRmean RSIhist neg-neg 51 22.6 4.7 49.0 0.3 0.6 0.2 17.3 -27.2
pair RSmean RSI pos-pos 177 78.3 4.7 66.1 0.7 0.9 0.4 7.1 -12.6
pair RSmean RSIhist pos-pos 141 62.4 4.6 68.1 0.8 0.8 0.3 6.3 -13.9
pair RSIhist RSmean pos-pos 141 62.4 4.6 68.1 0.8 0.8 0.3 6.3 -13.9
single RSIhist RSIhist pos-pos 142 62.8 4.5 67.6 0.7 0.8 0.3 6.3 -13.9
pair LWTI MACDhist pos-pos 115 50.9 4.5 71.3 0.7 0.7 0.4 6.3 -11.6
pair MACDhist LWTI pos-pos 115 50.9 4.5 71.3 0.7 0.7 0.4 6.3 -11.6
pair MACDhist RSmean pos-pos 115 50.9 4.5 71.3 0.7 0.7 0.4 6.3 -11.6
pair RSmean MACDhist pos-pos 115 50.9 4.5 71.3 0.7 0.7 0.4 6.3 -11.6
single MACDhist MACDhist pos-pos 115 50.9 4.5 71.3 0.7 0.7 0.4 6.3 -11.6
pair MACD SLmean neg-pos 38 16.8 4.5 55.3 0.4 0.6 0.4 12.6 -12.0
pair SLmean MACD neg-pos 38 16.8 4.5 55.3 0.4 0.6 0.4 12.6 -12.0
pair MACDhist MRmean pos-pos 114 50.4 4.4 71.1 0.7 0.7 0.4 6.4 -11.6
pair MRmean MACDhist pos-pos 114 50.4 4.4 71.1 0.7 0.7 0.4 6.4 -11.6
pair MRmean MACD neg-pos 25 11.1 4.3 40.0 0.4 0.8 0.4 13.2 -11.4
pair SLmean RSmean neg-pos 52 23.0 4.3 59.6 0.3 0.5 0.2 18.3 -17.7
pair RSmean SLmean neg-pos 52 23.0 4.3 59.6 0.3 0.5 0.2 18.3 -17.7
pair MACD MRmean neg-pos 25 11.1 4.3 40.0 0.4 0.8 0.4 13.2 -11.4
single RSI RSI pos-pos 187 82.7 4.3 64.2 0.6 0.8 0.3 7.1 -12.6
pair MACDhist SLmean pos-neg 51 22.6 4.1 54.9 0.5 1.2 0.4 8.1 -11.1
pair SLmean MACDhist pos-neg 51 22.6 4.1 54.9 0.5 1.2 0.4 8.1 -11.1
single SLmean SLmean neg-neg 68 30.1 4.1 57.4 0.3 0.5 0.1 16.5 -27.2
pair RSI SLmean pos-neg 6 2.7 4.1 50.0 0.4 0.8 0.7 11.1 -6.0
pair LWTI RSI pos-pos 179 79.2 4.1 64.2 0.6 0.8 0.3 7.0 -12.1
pair RSI LWTI pos-pos 179 79.2 4.1 64.2 0.6 0.8 0.3 7.0 -12.1
pair SLmean RSI pos-neg 6 2.7 4.1 50.0 0.4 0.8 0.7 11.1 -6.0
pair MACDhist RSI pos-pos 113 50.0 3.9 70.8 0.6 0.6 0.3 6.2 -11.6
pair RSI MACDhist pos-pos 113 50.0 3.9 70.8 0.6 0.6 0.3 6.2 -11.6
pair SLmean MRmean neg-neg 50 22.1 3.8 52.0 0.3 0.5 0.1 17.9 -27.2
pair MRmean RSI neg-neg 35 15.5 3.8 60.0 0.3 0.4 0.1 20.2 -27.2
pair RSI MRmean neg-neg 35 15.5 3.8 60.0 0.3 0.4 0.1 20.2 -27.2
pair MRmean SLmean neg-neg 50 22.1 3.8 52.0 0.3 0.5 0.1 17.9 -27.2
pair MACD MACDhist pos-pos 111 49.1 3.8 70.3 0.6 0.6 0.3 6.3 -11.6
pair MACDhist MACD pos-pos 111 49.1 3.8 70.3 0.6 0.6 0.3 6.3 -11.6
pair LWTI RSmean pos-pos 178 78.8 3.8 66.3 0.5 0.5 0.2 8.3 -23.8
pair RSmean LWTI pos-pos 178 78.8 3.8 66.3 0.5 0.5 0.2 8.3 -23.8
single LWTI LWTI pos-pos 197 87.2 3.7 64.5 0.5 0.5 0.1 8.3 -24.9
pair MACD SLmean neg-neg 30 13.3 3.7 60.0 0.3 0.4 0.1 20.7 -27.2
pair SLmean MACD neg-neg 30 13.3 3.7 60.0 0.3 0.4 0.1 20.7 -27.2
pair RSmean RSIhist neg-neg 18 8.0 3.6 50.0 0.5 0.9 0.5 8.5 -6.9
pair RSIhist RSmean neg-neg 18 8.0 3.6 50.0 0.5 0.9 0.5 8.5 -6.9
pair SLmean RSmean neg-neg 16 7.1 3.5 50.0 0.4 0.8 0.5 9.0 -6.9
pair RSmean SLmean neg-neg 16 7.1 3.5 50.0 0.4 0.8 0.5 9.0 -6.9
pair MACD MACDhist neg-neg 43 19.0 3.4 53.5 0.3 0.4 0.1 18.1 -30.2
pair MACDhist MACD neg-neg 43 19.0 3.4 53.5 0.3 0.4 0.1 18.1 -30.2
pair RSI RSIhist pos-neg 53 23.5 3.0 54.7 0.3 0.5 0.3 10.3 -10.6
pair RSIhist RSI pos-neg 53 23.5 3.0 54.7 0.3 0.5 0.3 10.3 -10.6
pair MRmean RSmean neg-neg 17 7.5 2.9 47.1 0.4 0.7 0.4 8.8 -6.9
pair RSmean MRmean neg-neg 17 7.5 2.9 47.1 0.4 0.7 0.4 8.8 -6.9
pair RSIhist LWTI pos-neg 15 6.6 2.8 60.0 0.3 0.3 0.3 12.8 -9.7
pair LWTI RSIhist pos-neg 15 6.6 2.8 60.0 0.3 0.3 0.3 12.8 -9.7
pair RSmean MACDhist neg-neg 19 8.4 2.7 47.4 0.4 0.7 0.4 8.4 -6.9
pair MACDhist RSmean neg-neg 19 8.4 2.7 47.4 0.4 0.7 0.4 8.4 -6.9
single RSmean RSmean neg-neg 19 8.4 2.7 47.4 0.4 0.7 0.4 8.4 -6.9
pair RSmean LWTI neg-pos 19 8.4 2.7 47.4 0.4 0.7 0.4 8.4 -6.9
pair LWTI MACDhist neg-pos 82 36.3 2.7 54.9 0.3 0.4 0.1 10.5 -24.9
pair MACDhist LWTI neg-pos 82 36.3 2.7 54.9 0.3 0.4 0.1 10.5 -24.9
pair LWTI RSmean neg-pos 19 8.4 2.7 47.4 0.4 0.7 0.4 8.4 -6.9
pair RSIhist MACD neg-pos 20 8.8 2.6 55.0 0.3 0.3 0.2 12.3 -13.9
pair MACD RSIhist neg-pos 20 8.8 2.6 55.0 0.3 0.3 0.2 12.3 -13.9
pair RSIhist MACDhist neg-pos 37 16.4 2.4 54.1 0.3 0.4 0.2 9.8 -13.9
pair MACDhist RSIhist neg-pos 37 16.4 2.4 54.1 0.3 0.4 0.2 9.8 -13.9
single MRmean MRmean neg-neg 56 24.8 2.2 48.2 0.2 0.3 0.1 17.3 -27.2
pair MACDhist MRmean neg-neg 55 24.3 1.9 47.3 0.2 0.3 0.1 17.4 -27.2
pair MRmean MACDhist neg-neg 55 24.3 1.9 47.3 0.2 0.3 0.1 17.4 -27.2
pair RSIhist LWTI neg-pos 70 31.0 1.9 57.1 0.2 0.3 0.1 12.1 -21.7
pair LWTI RSIhist neg-pos 70 31.0 1.9 57.1 0.2 0.3 0.1 12.1 -21.7
pair MRmean RSmean neg-pos 39 17.3 1.9 48.7 0.2 0.3 0.1 20.0 -17.7
pair RSmean MRmean neg-pos 39 17.3 1.9 48.7 0.2 0.3 0.1 20.0 -17.7
pair MRmean RSmean pos-neg 2 0.9 1.5 50.0 0.3 0.0 0.0 5.3 0.0
pair RSmean MRmean pos-neg 2 0.9 1.5 50.0 0.3 0.0 0.0 5.3 0.0
pair MRmean MACD neg-neg 31 13.7 0.6 54.8 0.1 0.2 0.0 20.2 -27.2
pair MACD MRmean neg-neg 31 13.7 0.6 54.8 0.1 0.2 0.0 20.2 -27.2
pair MACD RSmean neg-neg 14 6.2 0.6 50.0 0.1 0.2 0.1 8.7 -6.9
pair RSmean MACD neg-neg 14 6.2 0.6 50.0 0.1 0.2 0.1 8.7 -6.9
pair SLmean RSI neg-pos 35 15.5 0.1 48.6 0.1 0.1 0.0 11.3 -14.6
pair RSI SLmean neg-pos 35 15.5 0.1 48.6 0.1 0.1 0.0 11.3 -14.6
pair RSI LWTI neg-pos 18 8.0 0.0 66.7 0.1 0.1 0.0 16.6 -21.6
pair LWTI RSI neg-pos 18 8.0 0.0 66.7 0.1 0.1 0.0 16.6 -21.6
pair SLmean LWTI neg-pos 53 23.5 0.0 54.7 0.1 0.1 0.0 13.2 -25.0
pair LWTI SLmean neg-pos 53 23.5 0.0 54.7 0.1 0.1 0.0 13.2 -25.0
pair RSI RSIhist neg-pos 8 3.5 -0.1 62.5 0.1 0.1 -0.0 15.2 -9.7
pair RSIhist RSI neg-pos 8 3.5 -0.1 62.5 0.1 0.1 -0.0 15.2 -9.7
pair MRmean RSI neg-pos 21 9.3 -0.4 28.6 0.0 0.1 -0.0 11.0 -9.7
pair RSI MRmean neg-pos 21 9.3 -0.4 28.6 0.0 0.1 -0.0 11.0 -9.7
pair RSI MACD neg-pos 17 7.5 -1.0 41.2 -0.1 -0.1 -0.1 9.5 -7.1
pair MACD RSI neg-pos 17 7.5 -1.0 41.2 -0.1 -0.1 -0.1 9.5 -7.1
pair RSmean SLmean pos-neg 3 1.3 -1.3 33.3 -0.3 -1.4 -2.3 4.0 -0.6
pair SLmean RSmean pos-neg 3 1.3 -1.3 33.3 -0.3 -1.4 -2.3 4.0 -0.6
pair MRmean LWTI neg-pos 38 16.8 -1.7 44.7 -0.1 -0.1 -0.1 13.6 -21.7
pair LWTI MRmean neg-pos 38 16.8 -1.7 44.7 -0.1 -0.1 -0.1 13.6 -21.7
pair RSmean RSI neg-pos 10 4.4 -2.6 30.0 -0.3 -0.7 -0.8 7.1 -3.0
pair RSI RSmean neg-pos 10 4.4 -2.6 30.0 -0.3 -0.7 -0.8 7.1 -3.0
pair MACDhist RSIhist pos-neg 10 4.4 -3.4 60.0 -0.1 -0.2 -0.2 16.2 -14.5
pair RSIhist MACDhist pos-neg 10 4.4 -3.4 60.0 -0.1 -0.2 -0.2 16.2 -14.5
pair MACD LWTI neg-pos 24 10.6 -6.8 50.0 -0.4 -0.5 -0.3 14.4 -24.9
pair LWTI MACD neg-pos 24 10.6 -6.8 50.0 -0.4 -0.5 -0.3 14.4 -24.9
pair MACD LWTI pos-neg 6 2.7 -7.3 50.0 -0.4 -0.7 -1.0 16.9 -7.1
pair LWTI MACD pos-neg 6 2.7 -7.3 50.0 -0.4 -0.7 -1.0 16.9 -7.1
pair MRmean SLmean neg-pos 6 2.7 -10.2 16.7 -0.9 -2.0 -1.7 11.0 -6.0
pair SLmean MRmean neg-pos 6 2.7 -10.2 16.7 -0.9 -2.0 -1.7 11.0 -6.0
pair RSmean RSIhist neg-pos 1 0.4 -10.8 0.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-pos 1 0.4 -10.8 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist SLmean neg-pos 8 3.5 -11.3 50.0 -0.6 -0.8 -0.8 16.8 -13.6
pair SLmean MACDhist neg-pos 8 3.5 -11.3 50.0 -0.6 -0.8 -0.8 16.8 -13.6
pair RSIhist MRmean neg-pos 5 2.2 -20.0 40.0 -1.3 -1.2 -1.8 16.5 -11.3
pair MRmean RSIhist neg-pos 5 2.2 -20.0 40.0 -1.3 -1.2 -1.8 16.5 -11.3
pair RSIhist SLmean neg-pos 3 1.3 -22.9 66.7 -1.0 0.0 0.0 23.2 0.0
pair SLmean RSIhist neg-pos 3 1.3 -22.9 66.7 -1.0 0.0 0.0 23.2 0.0

All Contingency Tables for HYG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 69%
Sharpe 1.03 | Sortino 1.65 | Calmar 0.8
Vol 6% | MDD -7.7%
Months 152M (67%)
CAGR 5.1% | Win 72%
Sharpe 0.47 | Sortino 0.41 | Calmar 0.5
Vol 12% | MDD -10.0%
Months 18M (8%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR -10.2% | Win 17%
Sharpe -0.93 | Sortino -2.00 | Calmar -1.7
Vol 11% | MDD -6.0%
Months 6M (3%)
CAGR 3.8% | Win 52%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -27.2%
Months 50M (22%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
SLmean
only
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 70%
Sharpe 0.89 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 168M (74%)
CAGR 1.5% | Win 50%
Sharpe 0.30 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR 1.9% | Win 49%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -17.7%
Months 39M (17%)
CAGR 2.9% | Win 47%
Sharpe 0.36 | Sortino 0.73 | Calmar 0.4
Vol 9% | MDD -6.9%
Months 17M (8%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
RSmean
only
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.9% | Win 70%
Sharpe 0.81 | Sortino 0.84 | Calmar 0.4
Vol 6% | MDD -12.4%
Months 154M (68%)
CAGR 14.7% | Win 62%
Sharpe 1.38 | Sortino 3.53 | Calmar 4.0
Vol 10% | MDD -3.7%
Months 16M (7%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR 4.3% | Win 40%
Sharpe 0.38 | Sortino 0.80 | Calmar 0.4
Vol 13% | MDD -11.4%
Months 25M (11%)
CAGR 0.6% | Win 55%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -27.2%
Months 31M (14%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
MACD
only
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.9% | Win 69%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 6% | MDD -12.4%
Months 166M (74%)
CAGR 52.0% | Win 100%
Sharpe 13.50 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 4M (2%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR -0.4% | Win 29%
Sharpe 0.02 | Sortino 0.05 | Calmar -0.0
Vol 11% | MDD -9.7%
Months 21M (9%)
CAGR 3.8% | Win 60%
Sharpe 0.28 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -27.2%
Months 35M (16%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
RSI
only
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.4% | Win 71%
Sharpe 0.70 | Sortino 0.66 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 114M (50%)
CAGR 8.9% | Win 66%
Sharpe 1.21 | Sortino 2.66 | Calmar 1.6
Vol 7% | MDD -5.5%
Months 56M (25%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR 23.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 1.9% | Win 47%
Sharpe 0.19 | Sortino 0.30 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 55M (24%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
MACDhist
only
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.6% | Win 69%
Sharpe 0.99 | Sortino 1.52 | Calmar 0.7
Vol 6% | MDD -7.5%
Months 137M (61%)
CAGR 6.9% | Win 73%
Sharpe 0.72 | Sortino 0.68 | Calmar 0.7
Vol 10% | MDD -10.0%
Months 33M (15%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR -20.0% | Win 40%
Sharpe -1.27 | Sortino -1.25 | Calmar -1.8
Vol 16% | MDD -11.3%
Months 5M (2%)
CAGR 4.7% | Win 49%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -27.2%
Months 51M (23%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 69%
Sharpe 0.80 | Sortino 0.87 | Calmar 0.4
Vol 6% | MDD -12.4%
Months 159M (70%)
CAGR 17.1% | Win 73%
Sharpe 1.78 | Sortino 13.94 | Calmar 5.9
Vol 9% | MDD -2.9%
Months 11M (5%)
CAGR 5.8% | Win 69%
Sharpe 0.88 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -12.4%
Months 170M (75%)
MRmean
neg
CAGR -1.7% | Win 45%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 14% | MDD -21.7%
Months 38M (17%)
CAGR 10.9% | Win 56%
Sharpe 0.55 | Sortino 1.19 | Calmar 1.0
Vol 24% | MDD -10.6%
Months 18M (8%)
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 17% | MDD -27.2%
Months 56M (25%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 5.4% | Win 68%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 155M (69%)
CAGR -1.3% | Win 33%
Sharpe -0.32 | Sortino -1.42 | Calmar -2.3
Vol 4% | MDD -0.6%
Months 3M (1%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR 4.3% | Win 60%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.2
Vol 18% | MDD -17.7%
Months 52M (23%)
CAGR 3.5% | Win 50%
Sharpe 0.43 | Sortino 0.85 | Calmar 0.5
Vol 9% | MDD -6.9%
Months 16M (7%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
RSmean
only
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.9% | Win 69%
Sharpe 0.92 | Sortino 1.29 | Calmar 0.5
Vol 5% | MDD -10.0%
Months 141M (62%)
CAGR 7.9% | Win 53%
Sharpe 0.81 | Sortino 2.30 | Calmar 1.7
Vol 10% | MDD -4.6%
Months 17M (8%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR 4.5% | Win 55%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.4
Vol 13% | MDD -12.0%
Months 38M (17%)
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -27.2%
Months 30M (13%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
MACD
only
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.3% | Win 68%
Sharpe 0.92 | Sortino 1.49 | Calmar 0.5
Vol 6% | MDD -10.0%
Months 152M (67%)
CAGR 4.1% | Win 50%
Sharpe 0.41 | Sortino 0.75 | Calmar 0.7
Vol 11% | MDD -6.0%
Months 6M (3%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR 0.1% | Win 49%
Sharpe 0.06 | Sortino 0.08 | Calmar 0.0
Vol 11% | MDD -14.6%
Months 35M (16%)
CAGR 8.6% | Win 67%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.3
Vol 21% | MDD -27.2%
Months 33M (15%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
RSI
only
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 5.8% | Win 73%
Sharpe 1.20 | Sortino 1.53 | Calmar 1.0
Vol 5% | MDD -5.9%
Months 107M (47%)
CAGR 4.1% | Win 55%
Sharpe 0.54 | Sortino 1.18 | Calmar 0.4
Vol 8% | MDD -11.1%
Months 51M (23%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR -11.3% | Win 50%
Sharpe -0.64 | Sortino -0.75 | Calmar -0.8
Vol 17% | MDD -13.6%
Months 8M (4%)
CAGR 6.4% | Win 58%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 60M (26%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
MACDhist
only
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.2% | Win 68%
Sharpe 0.94 | Sortino 1.46 | Calmar 0.6
Vol 6% | MDD -9.1%
Months 139M (62%)
CAGR 5.4% | Win 63%
Sharpe 0.65 | Sortino 1.33 | Calmar 1.1
Vol 9% | MDD -5.1%
Months 19M (8%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR -22.9% | Win 67%
Sharpe -1.03 | Sortino 0.00 | Calmar 0.0
Vol 23% | MDD 0.0%
Months 3M (1%)
CAGR 5.6% | Win 57%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 65M (29%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 68%
Sharpe 0.93 | Sortino 1.41 | Calmar 0.5
Vol 6% | MDD -10.0%
Months 144M (64%)
CAGR 6.4% | Win 57%
Sharpe 0.67 | Sortino 1.63 | Calmar 0.7
Vol 10% | MDD -8.7%
Months 14M (6%)
CAGR 5.2% | Win 67%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.4
Vol 6% | MDD -13.1%
Months 158M (70%)
SLmean
neg
CAGR 0.0% | Win 55%
Sharpe 0.07 | Sortino 0.08 | Calmar 0.0
Vol 13% | MDD -25.0%
Months 53M (24%)
CAGR 20.0% | Win 67%
Sharpe 0.84 | Sortino 1.93 | Calmar 2.1
Vol 25% | MDD -9.7%
Months 15M (7%)
CAGR 4.1% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 16% | MDD -27.2%
Months 68M (30%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.7% | Win 67%
Sharpe 0.66 | Sortino 0.79 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 174M (77%)
CAGR 7.2% | Win 61%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 20% | MDD -29.2%
Months 33M (15%)
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
RSmean
neg
CAGR 9.1% | Win 40%
Sharpe 1.14 | Sortino 10.74 | Calmar 6.3
Vol 8% | MDD -1.4%
Months 5M (2%)
CAGR 0.6% | Win 50%
Sharpe 0.10 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -6.9%
Months 14M (6%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
MACD
only
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.7% | Win 66%
Sharpe 0.68 | Sortino 0.87 | Calmar 0.4
Vol 7% | MDD -12.6%
Months 177M (78%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.4
Vol 22% | MDD -17.7%
Months 30M (13%)
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
RSmean
neg
CAGR -2.6% | Win 30%
Sharpe -0.33 | Sortino -0.66 | Calmar -0.8
Vol 7% | MDD -3.0%
Months 10M (4%)
CAGR 9.0% | Win 67%
Sharpe 0.93 | Sortino 1.72 | Calmar 2.3
Vol 10% | MDD -3.9%
Months 9M (4%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
RSI
only
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.9% | Win 59%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.2
Vol 14% | MDD -29.2%
Months 92M (41%)
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
RSmean
neg		-
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
MACDhist
only
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 4.6% | Win 68%
Sharpe 0.75 | Sortino 0.84 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 141M (62%)
CAGR 6.1% | Win 61%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.3
Vol 16% | MDD -17.7%
Months 66M (29%)
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
RSmean
neg
CAGR -10.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 3.6% | Win 50%
Sharpe 0.45 | Sortino 0.87 | Calmar 0.5
Vol 8% | MDD -6.9%
Months 18M (8%)
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 66%
Sharpe 0.50 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -23.8%
Months 178M (79%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
CAGR 5.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -29.2%
Months 207M (92%)
RSmean
neg
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
-
CAGR 2.7% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.4
Vol 8% | MDD -6.9%
Months 19M (8%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.8% | Win 66%
Sharpe 0.72 | Sortino 0.88 | Calmar 0.4
Vol 7% | MDD -12.1%
Months 170M (75%)
CAGR 4.9% | Win 56%
Sharpe 0.38 | Sortino 0.68 | Calmar 0.7
Vol 16% | MDD -7.1%
Months 9M (4%)
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
MACD
neg
CAGR -1.0% | Win 41%
Sharpe -0.06 | Sortino -0.15 | Calmar -0.1
Vol 10% | MDD -7.1%
Months 17M (8%)
CAGR 8.8% | Win 67%
Sharpe 0.51 | Sortino 0.73 | Calmar 0.3
Vol 21% | MDD -27.2%
Months 30M (13%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
RSI
only
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 70%
Sharpe 0.63 | Sortino 0.58 | Calmar 0.3
Vol 6% | MDD -11.6%
Months 111M (49%)
CAGR 6.6% | Win 59%
Sharpe 0.74 | Sortino 1.31 | Calmar 0.5
Vol 9% | MDD -13.8%
Months 68M (30%)
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
MACD
neg
CAGR 26.5% | Win 100%
Sharpe 3.38 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 4M (2%)
CAGR 3.4% | Win 54%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -30.2%
Months 43M (19%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
MACDhist
only
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.9% | Win 70%
Sharpe 1.02 | Sortino 1.34 | Calmar 0.8
Vol 5% | MDD -6.0%
Months 122M (54%)
CAGR 4.8% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.4
Vol 11% | MDD -11.4%
Months 57M (25%)
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
MACD
neg
CAGR 2.6% | Win 55%
Sharpe 0.27 | Sortino 0.33 | Calmar 0.2
Vol 12% | MDD -13.9%
Months 20M (9%)
CAGR 7.1% | Win 59%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -27.2%
Months 27M (12%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.3% | Win 66%
Sharpe 0.77 | Sortino 0.97 | Calmar 0.5
Vol 7% | MDD -11.6%
Months 173M (76%)
CAGR -7.3% | Win 50%
Sharpe -0.37 | Sortino -0.67 | Calmar -1.0
Vol 17% | MDD -7.1%
Months 6M (3%)
CAGR 4.8% | Win 66%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.3
Vol 8% | MDD -14.3%
Months 179M (79%)
MACD
neg
CAGR -6.8% | Win 50%
Sharpe -0.42 | Sortino -0.45 | Calmar -0.3
Vol 14% | MDD -24.9%
Months 24M (11%)
CAGR 19.3% | Win 65%
Sharpe 0.99 | Sortino 1.76 | Calmar 1.8
Vol 20% | MDD -10.6%
Months 23M (10%)
CAGR 5.2% | Win 57%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -30.2%
Months 47M (21%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.9% | Win 71%
Sharpe 0.64 | Sortino 0.59 | Calmar 0.3
Vol 6% | MDD -11.6%
Months 113M (50%)
CAGR 5.0% | Win 54%
Sharpe 0.62 | Sortino 1.43 | Calmar 0.4
Vol 8% | MDD -11.4%
Months 74M (33%)
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
RSI
neg
CAGR 48.0% | Win 100%
Sharpe 5.25 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 2M (1%)
CAGR 6.1% | Win 62%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 20% | MDD -27.2%
Months 37M (16%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
MACDhist
only
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.8% | Win 68%
Sharpe 0.89 | Sortino 1.32 | Calmar 0.6
Vol 6% | MDD -7.5%
Months 134M (59%)
CAGR 3.0% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.3
Vol 10% | MDD -10.6%
Months 53M (24%)
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
RSI
neg
CAGR -0.1% | Win 62%
Sharpe 0.06 | Sortino 0.06 | Calmar -0.0
Vol 15% | MDD -9.7%
Months 8M (4%)
CAGR 10.1% | Win 64%
Sharpe 0.57 | Sortino 0.93 | Calmar 0.4
Vol 21% | MDD -27.2%
Months 31M (14%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 4.1% | Win 64%
Sharpe 0.61 | Sortino 0.78 | Calmar 0.3
Vol 7% | MDD -12.1%
Months 179M (79%)
CAGR 8.3% | Win 62%
Sharpe 0.85 | Sortino 7.18 | Calmar 2.9
Vol 10% | MDD -2.9%
Months 8M (4%)
CAGR 4.3% | Win 64%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.3
Vol 7% | MDD -12.6%
Months 187M (83%)
RSI
neg
CAGR 0.0% | Win 67%
Sharpe 0.08 | Sortino 0.08 | Calmar 0.0
Vol 17% | MDD -21.6%
Months 18M (8%)
CAGR 15.2% | Win 62%
Sharpe 0.75 | Sortino 1.51 | Calmar 1.4
Vol 22% | MDD -10.6%
Months 21M (9%)
CAGR 7.9% | Win 64%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -27.2%
Months 39M (17%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 5.3% | Win 72%
Sharpe 1.15 | Sortino 1.40 | Calmar 0.9
Vol 5% | MDD -5.9%
Months 105M (46%)
CAGR -3.4% | Win 60%
Sharpe -0.14 | Sortino -0.16 | Calmar -0.2
Vol 16% | MDD -14.5%
Months 10M (4%)
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
MACDhist
neg
CAGR 2.4% | Win 54%
Sharpe 0.29 | Sortino 0.37 | Calmar 0.2
Vol 10% | MDD -13.9%
Months 37M (16%)
CAGR 6.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.3
Vol 15% | MDD -27.2%
Months 74M (33%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
RSIhist
only
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
-
CAGR 4.5% | Win 71%
Sharpe 0.73 | Sortino 0.68 | Calmar 0.4
Vol 6% | MDD -11.6%
Months 115M (51%)
MACDhist
neg
CAGR 2.7% | Win 55%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 10% | MDD -24.9%
Months 82M (36%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
CAGR 5.3% | Win 57%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -30.2%
Months 111M (49%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.7% | Win 68%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.8
Vol 5% | MDD -5.6%
Months 127M (56%)
CAGR 2.8% | Win 60%
Sharpe 0.28 | Sortino 0.30 | Calmar 0.3
Vol 13% | MDD -9.7%
Months 15M (7%)
CAGR 4.5% | Win 68%
Sharpe 0.73 | Sortino 0.83 | Calmar 0.3
Vol 6% | MDD -13.9%
Months 142M (63%)
RSIhist
neg
CAGR 1.9% | Win 57%
Sharpe 0.22 | Sortino 0.26 | Calmar 0.1
Vol 12% | MDD -21.7%
Months 70M (31%)
CAGR 25.6% | Win 64%
Sharpe 1.06 | Sortino 3.16 | Calmar 3.0
Vol 24% | MDD -8.6%
Months 14M (6%)
CAGR 5.6% | Win 58%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 84M (37%)
LWTI
only
CAGR 3.7% | Win 64%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.1
Vol 8% | MDD -24.9%
Months 197M (87%)
CAGR 13.2% | Win 62%
Sharpe 0.74 | Sortino 1.38 | Calmar 1.2
Vol 19% | MDD -10.6%
Months 29M (13%)