IBB - iShares Biotechnology ETF

Signal Pair Analysis

MRmean-RSI

Best Pair

67.6%

Best CAGR

86

Total Months

7.5%

Avg CAGR

IBB 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 IBB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MRmean pos-neg 10 3.3 67.6 80.0 2.4 13.8 10.8 23.1 -6.2
pair MRmean RSI pos-neg 10 3.3 67.6 80.0 2.4 13.8 10.8 23.1 -6.2
pair LWTI RSmean neg-neg 3 1.0 63.8 66.7 2.1 0.0 0.0 25.3 0.0
pair RSmean LWTI neg-neg 3 1.0 63.8 66.7 2.1 0.0 0.0 25.3 0.0
pair MACDhist RSI neg-pos 12 4.0 56.0 66.7 2.4 6.4 11.5 19.2 -4.9
pair RSI MACDhist neg-pos 12 4.0 56.0 66.7 2.4 6.4 11.5 19.2 -4.9
pair SLmean RSI pos-neg 19 6.3 44.3 63.2 1.5 3.0 4.1 27.1 -10.8
pair RSI SLmean pos-neg 19 6.3 44.3 63.2 1.5 3.0 4.1 27.1 -10.8
pair MACDhist MRmean neg-pos 17 5.7 35.6 58.8 1.7 4.3 3.9 19.3 -9.1
pair MRmean MACDhist neg-pos 17 5.7 35.6 58.8 1.7 4.3 3.9 19.3 -9.1
pair LWTI RSI neg-neg 41 13.7 30.3 65.9 1.2 2.1 2.1 24.1 -14.4
pair RSI LWTI neg-neg 41 13.7 30.3 65.9 1.2 2.1 2.1 24.1 -14.4
pair RSmean RSI pos-neg 91 30.3 24.5 62.6 1.1 1.7 0.6 23.3 -40.0
pair RSI RSmean pos-neg 91 30.3 24.5 62.6 1.1 1.7 0.6 23.3 -40.0
pair RSI MACD pos-neg 43 14.3 24.4 60.5 1.1 2.3 2.1 21.8 -11.6
pair MACD RSI pos-neg 43 14.3 24.4 60.5 1.1 2.3 2.1 21.8 -11.6
pair MACD LWTI neg-neg 39 13.0 24.0 59.0 1.0 1.8 1.7 23.3 -14.4
pair LWTI MACD neg-neg 39 13.0 24.0 59.0 1.0 1.8 1.7 23.3 -14.4
pair MACD SLmean pos-neg 37 12.3 23.5 59.5 1.1 2.0 1.7 22.0 -13.8
pair SLmean MACD pos-neg 37 12.3 23.5 59.5 1.1 2.0 1.7 22.0 -13.8
pair RSIhist RSI neg-neg 85 28.3 21.7 63.5 0.9 1.4 0.8 25.0 -28.7
pair RSI RSIhist neg-neg 85 28.3 21.7 63.5 0.9 1.4 0.8 25.0 -28.7
pair LWTI MACDhist neg-neg 50 16.7 21.6 60.0 0.9 1.7 1.5 24.2 -14.4
pair MACDhist LWTI neg-neg 50 16.7 21.6 60.0 0.9 1.7 1.5 24.2 -14.4
pair RSmean SLmean pos-neg 10 3.3 20.7 50.0 1.1 3.3 2.4 18.4 -8.5
pair SLmean RSmean pos-neg 10 3.3 20.7 50.0 1.1 3.3 2.4 18.4 -8.5
pair LWTI SLmean neg-neg 31 10.3 20.6 64.5 1.0 1.6 1.9 20.8 -10.9
pair SLmean LWTI neg-neg 31 10.3 20.6 64.5 1.0 1.6 1.9 20.8 -10.9
pair MRmean SLmean neg-pos 12 4.0 19.4 50.0 0.8 1.5 1.5 27.7 -13.1
pair SLmean MRmean neg-pos 12 4.0 19.4 50.0 0.8 1.5 1.5 27.7 -13.1
single RSI RSI neg-neg 103 34.3 19.3 61.2 0.8 1.2 0.4 26.3 -49.2
pair MRmean MACD pos-neg 29 9.7 18.7 62.1 1.0 1.9 1.5 19.3 -12.7
pair MACD MRmean pos-neg 29 9.7 18.7 62.1 1.0 1.9 1.5 19.3 -12.7
pair LWTI MRmean neg-neg 39 13.0 18.5 61.5 0.9 1.5 1.3 22.8 -14.4
pair MRmean LWTI neg-neg 39 13.0 18.5 61.5 0.9 1.5 1.3 22.8 -14.4
pair RSIhist LWTI pos-neg 26 8.7 18.2 50.0 0.7 1.5 0.8 27.4 -22.4
pair LWTI RSIhist pos-neg 26 8.7 18.2 50.0 0.7 1.5 0.8 27.4 -22.4
pair MACDhist MACD neg-pos 13 4.3 17.3 76.9 1.1 1.1 1.8 16.4 -9.8
pair MACD MACDhist neg-pos 13 4.3 17.3 76.9 1.1 1.1 1.8 16.4 -9.8
pair MACD RSmean pos-neg 70 23.3 16.8 61.4 0.8 1.2 0.4 22.4 -40.0
pair RSmean MACD pos-neg 70 23.3 16.8 61.4 0.8 1.2 0.4 22.4 -40.0
single LWTI LWTI neg-neg 58 19.3 16.0 56.9 0.7 1.4 0.9 24.0 -17.1
pair MACD RSI neg-neg 60 20.0 15.8 61.7 0.7 0.9 0.3 29.3 -49.2
pair RSI MACD neg-neg 60 20.0 15.8 61.7 0.7 0.9 0.3 29.3 -49.2
pair MACDhist RSI neg-neg 91 30.3 15.2 60.4 0.7 1.0 0.3 27.1 -49.2
pair RSI MACDhist neg-neg 91 30.3 15.2 60.4 0.7 1.0 0.3 27.1 -49.2
pair MRmean RSI neg-neg 93 31.0 15.1 59.1 0.7 1.0 0.3 26.6 -49.2
pair RSI MRmean neg-neg 93 31.0 15.1 59.1 0.7 1.0 0.3 26.6 -49.2
pair MRmean RSmean neg-pos 95 31.7 14.5 57.9 0.7 1.1 0.4 23.3 -40.0
pair RSmean MRmean neg-pos 95 31.7 14.5 57.9 0.7 1.1 0.4 23.3 -40.0
pair RSIhist MRmean neg-neg 98 32.7 14.3 60.2 0.7 1.0 0.5 25.5 -30.1
pair MRmean RSIhist neg-neg 98 32.7 14.3 60.2 0.7 1.0 0.5 25.5 -30.1
pair RSI SLmean neg-neg 84 28.0 14.3 60.7 0.7 0.9 0.3 26.2 -49.2
pair SLmean RSI neg-neg 84 28.0 14.3 60.7 0.7 0.9 0.3 26.2 -49.2
pair RSIhist LWTI neg-neg 32 10.7 14.1 62.5 0.7 1.2 1.3 21.2 -10.9
pair LWTI RSIhist neg-neg 32 10.7 14.1 62.5 0.7 1.2 1.3 21.2 -10.9
pair RSIhist MACD neg-neg 44 14.7 13.9 65.9 0.6 0.8 0.5 28.5 -30.1
pair MACD RSIhist neg-neg 44 14.7 13.9 65.9 0.6 0.8 0.5 28.5 -30.1
pair RSmean LWTI pos-neg 55 18.3 13.8 56.4 0.7 1.2 0.8 24.0 -17.1
pair LWTI RSmean pos-neg 55 18.3 13.8 56.4 0.7 1.2 0.8 24.0 -17.1
pair MRmean MACD neg-pos 56 18.7 13.7 55.4 0.7 1.2 0.5 22.6 -29.4
pair MACD MRmean neg-pos 56 18.7 13.7 55.4 0.7 1.2 0.5 22.6 -29.4
pair LWTI RSI neg-pos 62 20.7 12.6 58.1 0.6 0.8 0.3 27.8 -36.5
pair RSI LWTI neg-pos 62 20.7 12.6 58.1 0.6 0.8 0.3 27.8 -36.5
pair MACDhist SLmean pos-neg 47 15.7 11.9 53.2 0.6 0.9 0.3 24.9 -41.4
pair SLmean MACDhist pos-neg 47 15.7 11.9 53.2 0.6 0.9 0.3 24.9 -41.4
pair RSIhist RSmean pos-neg 120 40.0 10.9 57.5 0.6 0.9 0.4 22.6 -28.7
pair RSmean RSIhist pos-neg 120 40.0 10.9 57.5 0.6 0.9 0.4 22.6 -28.7
pair SLmean LWTI pos-neg 27 9.0 10.9 48.1 0.5 1.1 0.3 27.5 -30.8
pair LWTI SLmean pos-neg 27 9.0 10.9 48.1 0.5 1.1 0.3 27.5 -30.8
pair MRmean LWTI pos-neg 19 6.3 10.8 47.4 0.5 1.1 0.5 26.8 -22.4
pair LWTI MRmean pos-neg 19 6.3 10.8 47.4 0.5 1.1 0.5 26.8 -22.4
pair SLmean RSIhist pos-neg 25 8.3 10.2 60.0 0.5 0.6 0.3 25.3 -30.1
pair RSIhist SLmean pos-neg 25 8.3 10.2 60.0 0.5 0.6 0.3 25.3 -30.1
pair MACDhist RSmean pos-neg 109 36.3 10.2 57.8 0.5 0.8 0.2 24.1 -40.0
pair RSmean MACDhist pos-neg 109 36.3 10.2 57.8 0.5 0.8 0.2 24.1 -40.0
pair MACDhist MRmean pos-neg 36 12.0 9.9 55.6 0.5 0.7 0.3 24.0 -34.3
single MACD MACD neg-neg 84 28.0 9.9 59.5 0.5 0.7 0.2 26.5 -53.7
pair MRmean MACDhist pos-neg 36 12.0 9.9 55.6 0.5 0.7 0.3 24.0 -34.3
single SLmean SLmean pos-pos 176 58.7 9.6 57.4 0.6 0.9 0.2 19.8 -47.6
pair SLmean RSIhist pos-pos 151 50.3 9.5 57.0 0.6 1.0 0.3 18.8 -31.2
single MRmean MRmean neg-neg 111 37.0 9.5 56.8 0.5 0.7 0.2 26.3 -53.7
pair RSIhist SLmean pos-pos 151 50.3 9.5 57.0 0.6 1.0 0.3 18.8 -31.2
pair MRmean RSIhist pos-pos 150 50.0 9.4 58.0 0.6 1.0 0.3 18.0 -30.8
pair LWTI SLmean pos-pos 149 49.7 9.4 59.1 0.6 0.8 0.2 18.2 -37.6
pair RSIhist MRmean pos-pos 150 50.0 9.4 58.0 0.6 1.0 0.3 18.0 -30.8
pair SLmean LWTI pos-pos 149 49.7 9.4 59.1 0.6 0.8 0.2 18.2 -37.6
pair RSmean SLmean pos-pos 166 55.3 9.0 57.8 0.5 0.8 0.2 19.9 -54.7
pair SLmean RSmean pos-pos 166 55.3 9.0 57.8 0.5 0.8 0.2 19.9 -54.7
single RSmean RSmean pos-pos 273 91.0 8.9 57.1 0.5 0.8 0.2 20.6 -40.0
pair SLmean MRmean pos-pos 164 54.7 8.9 57.9 0.5 0.8 0.2 19.2 -45.4
pair MRmean SLmean pos-pos 164 54.7 8.9 57.9 0.5 0.8 0.2 19.2 -45.4
pair SLmean RSmean neg-pos 107 35.7 8.8 56.1 0.5 0.8 0.2 21.8 -40.0
pair RSmean SLmean neg-pos 107 35.7 8.8 56.1 0.5 0.8 0.2 21.8 -40.0
pair LWTI MACDhist pos-pos 162 54.0 8.8 57.4 0.6 0.9 0.2 18.0 -42.0
pair MACDhist LWTI pos-pos 162 54.0 8.8 57.4 0.6 0.9 0.2 18.0 -42.0
pair RSIhist RSI neg-pos 18 6.0 8.8 50.0 0.4 0.7 0.3 32.7 -25.0
pair RSI RSIhist neg-pos 18 6.0 8.8 50.0 0.4 0.7 0.3 32.7 -25.0
pair SLmean MACDhist pos-pos 129 43.0 8.7 58.9 0.6 0.9 0.3 17.6 -31.7
pair MACDhist SLmean pos-pos 129 43.0 8.7 58.9 0.6 0.9 0.3 17.6 -31.7
pair MACD MACDhist neg-neg 71 23.7 8.5 56.3 0.4 0.6 0.2 28.0 -53.7
pair MACDhist MACD neg-neg 71 23.7 8.5 56.3 0.4 0.6 0.2 28.0 -53.7
pair MRmean SLmean neg-neg 99 33.0 8.4 57.6 0.4 0.6 0.2 26.2 -53.7
pair SLmean MRmean neg-neg 99 33.0 8.4 57.6 0.4 0.6 0.2 26.2 -53.7
pair MACDhist RSmean pos-pos 164 54.7 8.1 56.7 0.5 0.9 0.2 18.0 -45.6
pair RSmean MACDhist pos-pos 164 54.7 8.1 56.7 0.5 0.9 0.2 18.0 -45.6
pair RSIhist MACDhist neg-neg 89 29.7 7.8 61.8 0.4 0.6 0.3 26.8 -30.1
pair MACDhist RSIhist neg-neg 89 29.7 7.8 61.8 0.4 0.6 0.3 26.8 -30.1
pair RSIhist MACDhist pos-neg 48 16.0 7.8 47.9 0.5 0.9 0.3 21.3 -29.2
pair MACDhist RSIhist pos-neg 48 16.0 7.8 47.9 0.5 0.9 0.3 21.3 -29.2
single RSIhist RSIhist neg-neg 137 45.7 7.8 56.9 0.4 0.6 0.3 24.9 -30.1
pair RSmean LWTI pos-pos 218 72.7 7.7 57.3 0.5 0.7 0.2 19.7 -33.6
pair LWTI RSmean pos-pos 218 72.7 7.7 57.3 0.5 0.7 0.2 19.7 -33.6
pair MACDhist RSIhist pos-pos 122 40.7 7.6 59.8 0.5 0.8 0.3 17.0 -28.7
single MACDhist MACDhist pos-pos 170 56.7 7.6 56.5 0.5 0.8 0.1 18.2 -52.5
pair RSIhist MACDhist pos-pos 122 40.7 7.6 59.8 0.5 0.8 0.3 17.0 -28.7
pair RSIhist RSmean pos-pos 153 51.0 7.4 56.9 0.5 0.7 0.2 19.1 -41.8
pair RSmean RSIhist pos-pos 153 51.0 7.4 56.9 0.5 0.7 0.2 19.1 -41.8
pair RSIhist SLmean neg-neg 112 37.3 7.3 56.2 0.4 0.6 0.2 25.0 -33.1
pair SLmean RSIhist neg-neg 112 37.3 7.3 56.2 0.4 0.6 0.2 25.0 -33.1
pair benchmark___benchmark_ benchmark-benchmark 300 100.0 7.2 56.3 0.4 0.6 0.1 22.1 -53.7
pair benchmark___benchmark_ benchmark-benchmark 300 100.0 7.2 56.3 0.4 0.6 0.1 22.1 -53.7
pair MACD RSIhist pos-pos 123 41.0 7.0 56.9 0.5 0.8 0.2 17.6 -30.4
pair RSIhist MACD pos-pos 123 41.0 7.0 56.9 0.5 0.8 0.2 17.6 -30.4
pair MACDhist MACD pos-pos 157 52.3 6.9 54.8 0.5 0.8 0.1 18.4 -52.2
pair MACD MACDhist pos-pos 157 52.3 6.9 54.8 0.5 0.8 0.1 18.4 -52.2
pair MACD LWTI pos-pos 197 65.7 6.7 55.3 0.4 0.7 0.2 19.6 -37.7
pair LWTI MACD pos-pos 197 65.7 6.7 55.3 0.4 0.7 0.2 19.6 -37.7
single RSIhist RSIhist pos-pos 163 54.3 6.7 55.8 0.4 0.7 0.2 19.4 -35.5
single MACDhist MACDhist neg-neg 130 43.3 6.6 56.2 0.4 0.6 0.1 26.3 -53.7
pair RSIhist RSI pos-pos 145 48.3 6.4 56.6 0.5 0.7 0.2 17.2 -37.0
pair RSI RSIhist pos-pos 145 48.3 6.4 56.6 0.5 0.7 0.2 17.2 -37.0
pair RSmean MACD pos-pos 203 67.7 6.3 55.7 0.4 0.6 0.1 20.0 -46.9
pair MACD RSmean pos-pos 203 67.7 6.3 55.7 0.4 0.6 0.1 20.0 -46.9
pair MACD SLmean neg-pos 77 25.7 6.2 51.9 0.4 0.7 0.2 22.0 -32.0
pair SLmean MACD neg-pos 77 25.7 6.2 51.9 0.4 0.7 0.2 22.0 -32.0
pair MACD SLmean pos-pos 139 46.3 6.2 56.8 0.4 0.6 0.1 19.1 -49.5
pair SLmean MACD pos-pos 139 46.3 6.2 56.8 0.4 0.6 0.1 19.1 -49.5
single MACD MACD pos-pos 216 72.0 6.2 55.1 0.4 0.6 0.1 20.1 -42.8
pair MRmean RSmean pos-pos 178 59.3 6.0 56.7 0.4 0.6 0.1 19.1 -53.6
pair SLmean RSI pos-pos 157 52.3 6.0 56.7 0.4 0.6 0.1 18.6 -50.2
pair RSI SLmean pos-pos 157 52.3 6.0 56.7 0.4 0.6 0.1 18.6 -50.2
pair RSmean MRmean pos-pos 178 59.3 6.0 56.7 0.4 0.6 0.1 19.1 -53.6
pair LWTI RSIhist neg-pos 105 35.0 5.9 55.2 0.3 0.5 0.2 26.0 -25.7
pair RSIhist LWTI neg-pos 105 35.0 5.9 55.2 0.3 0.5 0.2 26.0 -25.7
single MRmean MRmean pos-pos 189 63.0 5.8 56.1 0.4 0.6 0.1 19.2 -49.1
pair RSIhist MACD neg-pos 40 13.3 5.5 52.5 0.3 0.5 0.2 24.4 -35.5
pair MACD RSIhist neg-pos 40 13.3 5.5 52.5 0.3 0.5 0.2 24.4 -35.5
pair MRmean MACD neg-neg 55 18.3 5.5 58.2 0.3 0.5 0.1 29.7 -53.7
pair MACD MRmean neg-neg 55 18.3 5.5 58.2 0.3 0.5 0.1 29.7 -53.7
pair MACDhist MRmean neg-neg 94 31.3 5.4 56.4 0.3 0.5 0.1 27.3 -53.7
pair MRmean MACDhist neg-neg 94 31.3 5.4 56.4 0.3 0.5 0.1 27.3 -53.7
pair MRmean LWTI pos-pos 170 56.7 5.3 57.1 0.4 0.5 0.1 18.3 -46.6
pair LWTI MRmean pos-pos 170 56.7 5.3 57.1 0.4 0.5 0.1 18.3 -46.6
single LWTI LWTI pos-pos 242 80.7 5.2 56.2 0.3 0.5 0.1 21.6 -43.6
pair MACD RSIhist pos-neg 93 31.0 5.0 52.7 0.3 0.5 0.1 23.2 -37.2
pair RSIhist MACD pos-neg 93 31.0 5.0 52.7 0.3 0.5 0.1 23.2 -37.2
pair MRmean MACDhist pos-pos 153 51.0 4.9 56.2 0.4 0.6 0.1 18.0 -49.9
pair MACDhist MRmean pos-pos 153 51.0 4.9 56.2 0.4 0.6 0.1 18.0 -49.9
pair MRmean LWTI neg-pos 72 24.0 4.9 54.2 0.3 0.5 0.1 28.1 -42.1
pair LWTI MRmean neg-pos 72 24.0 4.9 54.2 0.3 0.5 0.1 28.1 -42.1
pair RSIhist LWTI pos-pos 137 45.7 4.6 56.9 0.3 0.5 0.1 17.6 -31.8
pair RSI MACDhist pos-pos 158 52.7 4.6 55.7 0.3 0.6 0.1 17.9 -54.3
pair MACDhist RSI pos-pos 158 52.7 4.6 55.7 0.3 0.6 0.1 17.9 -54.3
pair LWTI RSIhist pos-pos 137 45.7 4.6 56.9 0.3 0.5 0.1 17.6 -31.8
pair MACD MACDhist pos-neg 59 19.7 4.3 55.9 0.3 0.4 0.1 24.4 -32.8
pair MACDhist MACD pos-neg 59 19.7 4.3 55.9 0.3 0.4 0.1 24.4 -32.8
pair SLmean MACDhist neg-pos 41 13.7 4.2 48.8 0.3 0.5 0.1 20.1 -30.5
pair MACDhist SLmean neg-pos 41 13.7 4.2 48.8 0.3 0.5 0.1 20.1 -30.5
pair RSmean MACD neg-pos 13 4.3 4.2 46.2 0.3 0.5 0.2 23.0 -19.5
pair MACD RSmean neg-pos 13 4.3 4.2 46.2 0.3 0.5 0.2 23.0 -19.5
pair RSIhist MACDhist neg-pos 41 13.7 4.1 43.9 0.3 0.5 0.1 25.5 -35.5
pair MACDhist RSIhist neg-pos 41 13.7 4.1 43.9 0.3 0.5 0.1 25.5 -35.5
single SLmean SLmean neg-neg 124 41.3 3.9 54.8 0.3 0.4 0.1 25.0 -53.7
pair MACDhist SLmean neg-neg 83 27.7 3.7 57.8 0.3 0.4 0.1 27.2 -53.7
pair SLmean MACDhist neg-neg 83 27.7 3.7 57.8 0.3 0.4 0.1 27.2 -53.7
pair MRmean MACD pos-pos 160 53.3 3.7 55.0 0.3 0.4 0.1 19.2 -52.4
pair MACD MRmean pos-pos 160 53.3 3.7 55.0 0.3 0.4 0.1 19.2 -52.4
pair RSI MRmean pos-pos 179 59.7 3.2 54.7 0.3 0.4 0.1 18.8 -52.4
pair MRmean RSI pos-pos 179 59.7 3.2 54.7 0.3 0.4 0.1 18.8 -52.4
pair MRmean RSmean pos-neg 11 3.7 3.2 45.5 0.2 0.4 0.2 22.7 -14.8
pair RSmean MRmean pos-neg 11 3.7 3.2 45.5 0.2 0.4 0.2 22.7 -14.8
pair LWTI RSI pos-pos 180 60.0 2.7 55.6 0.2 0.3 0.1 19.1 -49.6
pair RSI LWTI pos-pos 180 60.0 2.7 55.6 0.2 0.3 0.1 19.1 -49.6
pair RSI MACD pos-pos 173 57.7 2.1 53.8 0.2 0.3 0.0 19.6 -52.2
pair MACD RSI pos-pos 173 57.7 2.1 53.8 0.2 0.3 0.0 19.6 -52.2
pair RSmean RSI pos-pos 182 60.7 1.9 54.4 0.2 0.3 0.0 18.9 -63.3
pair RSI RSmean pos-pos 182 60.7 1.9 54.4 0.2 0.3 0.0 18.9 -63.3
single RSI RSI pos-pos 197 65.7 1.3 53.8 0.2 0.2 0.0 19.3 -56.7
pair LWTI MACD pos-neg 19 6.3 1.0 52.6 0.2 0.4 0.1 25.4 -15.3
pair MACD LWTI pos-neg 19 6.3 1.0 52.6 0.2 0.4 0.1 25.4 -15.3
pair SLmean MACD neg-neg 47 15.7 0.2 59.6 0.2 0.2 0.0 29.6 -53.7
pair MACD SLmean neg-neg 47 15.7 0.2 59.6 0.2 0.2 0.0 29.6 -53.7
pair LWTI MACD neg-pos 45 15.0 -1.1 60.0 0.1 0.1 -0.0 29.0 -41.9
pair MACD LWTI neg-pos 45 15.0 -1.1 60.0 0.1 0.1 -0.0 29.0 -41.9
pair SLmean LWTI neg-pos 93 31.0 -1.2 51.6 0.1 0.1 -0.0 26.2 -46.6
pair LWTI SLmean neg-pos 93 31.0 -1.2 51.6 0.1 0.1 -0.0 26.2 -46.6
pair MACDhist LWTI neg-pos 80 26.7 -1.8 53.8 0.1 0.1 -0.0 27.5 -41.9
pair LWTI MACDhist neg-pos 80 26.7 -1.8 53.8 0.1 0.1 -0.0 27.5 -41.9
pair RSmean RSIhist neg-pos 10 3.3 -3.3 40.0 -0.0 -0.0 -0.2 25.2 -18.8
pair RSIhist RSmean neg-pos 10 3.3 -3.3 40.0 -0.0 -0.0 -0.2 25.2 -18.8
pair RSmean MACDhist neg-pos 6 2.0 -3.6 50.0 -0.0 -0.1 -0.2 24.9 -14.8
pair MACDhist RSmean neg-pos 6 2.0 -3.6 50.0 -0.0 -0.1 -0.2 24.9 -14.8
pair RSI MACD neg-pos 24 8.0 -3.8 54.2 -0.1 -0.2 -0.2 17.3 -17.4
pair MACD RSI neg-pos 24 8.0 -3.8 54.2 -0.1 -0.2 -0.2 17.3 -17.4
pair RSI RSmean neg-pos 15 5.0 -4.8 46.7 -0.1 -0.1 -0.2 24.0 -23.2
pair RSmean RSI neg-pos 15 5.0 -4.8 46.7 -0.1 -0.1 -0.2 24.0 -23.2
pair MRmean RSIhist pos-neg 39 13.0 -6.9 48.7 -0.2 -0.2 -0.2 23.3 -33.3
pair RSIhist MRmean pos-neg 39 13.0 -6.9 48.7 -0.2 -0.2 -0.2 23.3 -33.3
single RSmean RSmean neg-neg 27 9.0 -8.7 48.1 -0.1 -0.2 -0.2 33.6 -34.1
pair MACDhist RSmean neg-neg 21 7.0 -10.1 47.6 -0.1 -0.2 -0.4 36.2 -27.7
pair RSmean MACDhist neg-neg 21 7.0 -10.1 47.6 -0.1 -0.2 -0.4 36.2 -27.7
pair RSI MACDhist pos-neg 39 13.0 -11.0 46.2 -0.4 -0.5 -0.2 24.1 -49.6
pair MACDhist RSI pos-neg 39 13.0 -11.0 46.2 -0.4 -0.5 -0.2 24.1 -49.6
pair RSIhist RSI pos-neg 52 17.3 -11.6 46.2 -0.4 -0.5 -0.2 24.0 -48.2
pair RSI RSIhist pos-neg 52 17.3 -11.6 46.2 -0.4 -0.5 -0.2 24.0 -48.2
pair RSIhist RSmean neg-neg 17 5.7 -11.7 52.9 -0.1 -0.2 -0.5 38.4 -25.5
pair RSmean RSIhist neg-neg 17 5.7 -11.7 52.9 -0.1 -0.2 -0.5 38.4 -25.5
pair SLmean MRmean pos-neg 25 8.3 -12.3 44.0 -0.6 -0.9 -0.3 19.0 -37.4
pair MRmean SLmean pos-neg 25 8.3 -12.3 44.0 -0.6 -0.9 -0.3 19.0 -37.4
pair LWTI RSI pos-neg 17 5.7 -12.5 35.3 -0.5 -0.9 -0.4 22.1 -30.0
pair RSI LWTI pos-neg 17 5.7 -12.5 35.3 -0.5 -0.9 -0.4 22.1 -30.0
pair RSmean RSI neg-neg 12 4.0 -13.3 50.0 -0.1 -0.2 -0.6 44.0 -22.0
pair RSI RSmean neg-neg 12 4.0 -13.3 50.0 -0.1 -0.2 -0.6 44.0 -22.0
pair LWTI MACDhist pos-neg 8 2.7 -14.0 37.5 -0.6 -1.3 -1.1 22.1 -13.3
pair MACDhist LWTI pos-neg 8 2.7 -14.0 37.5 -0.6 -1.3 -1.1 22.1 -13.3
pair RSI SLmean neg-pos 40 13.3 -15.1 42.5 -0.7 -0.9 -0.4 21.5 -42.4
pair SLmean RSI neg-pos 40 13.3 -15.1 42.5 -0.7 -0.9 -0.4 21.5 -42.4
pair MRmean RSI neg-pos 18 6.0 -15.1 44.4 -0.6 -0.8 -0.5 24.1 -29.4
pair RSI MRmean neg-pos 18 6.0 -15.1 44.4 -0.6 -0.8 -0.5 24.1 -29.4
pair LWTI RSmean neg-pos 24 8.0 -15.1 45.8 -0.3 -0.5 -0.4 34.4 -35.1
pair RSmean LWTI neg-pos 24 8.0 -15.1 45.8 -0.3 -0.5 -0.4 34.4 -35.1
pair RSmean MRmean neg-neg 16 5.3 -16.1 50.0 -0.2 -0.4 -0.6 40.1 -25.5
pair MRmean RSmean neg-neg 16 5.3 -16.1 50.0 -0.2 -0.4 -0.6 40.1 -25.5
pair MACD RSmean neg-neg 14 4.7 -19.2 50.0 -0.3 -0.5 -0.7 41.9 -27.7
pair RSmean MACD neg-neg 14 4.7 -19.2 50.0 -0.3 -0.5 -0.7 41.9 -27.7
pair RSIhist MRmean neg-pos 13 4.3 -20.4 30.8 -0.6 -0.9 -0.6 31.5 -35.5
pair MRmean RSIhist neg-pos 13 4.3 -20.4 30.8 -0.6 -0.9 -0.6 31.5 -35.5
pair RSmean SLmean neg-neg 17 5.7 -22.5 47.1 -0.4 -0.8 -0.7 40.0 -32.3
pair SLmean RSmean neg-neg 17 5.7 -22.5 47.1 -0.4 -0.8 -0.7 40.0 -32.3
pair RSIhist SLmean neg-pos 12 4.0 -23.1 41.7 -0.9 -1.1 -0.7 24.8 -31.2
pair SLmean RSIhist neg-pos 12 4.0 -23.1 41.7 -0.9 -1.1 -0.7 24.8 -31.2

All Contingency Tables for IBB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -45.4%
Months 164M (55%)
CAGR -12.3% | Win 44%
Sharpe -0.59 | Sortino -0.86 | Calmar -0.3
Vol 19% | MDD -37.4%
Months 25M (8%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR 19.4% | Win 50%
Sharpe 0.77 | Sortino 1.46 | Calmar 1.5
Vol 28% | MDD -13.1%
Months 12M (4%)
CAGR 8.4% | Win 58%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 99M (33%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
SLmean
only
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 6.0% | Win 57%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.1
Vol 19% | MDD -53.6%
Months 178M (59%)
CAGR 3.2% | Win 46%
Sharpe 0.24 | Sortino 0.37 | Calmar 0.2
Vol 23% | MDD -14.8%
Months 11M (4%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR 14.5% | Win 58%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.4
Vol 23% | MDD -40.0%
Months 95M (32%)
CAGR -16.1% | Win 50%
Sharpe -0.24 | Sortino -0.42 | Calmar -0.6
Vol 40% | MDD -25.5%
Months 16M (5%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
RSmean
only
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 55%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -52.4%
Months 160M (53%)
CAGR 18.7% | Win 62%
Sharpe 0.98 | Sortino 1.95 | Calmar 1.5
Vol 19% | MDD -12.7%
Months 29M (10%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR 13.7% | Win 55%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.5
Vol 23% | MDD -29.4%
Months 56M (19%)
CAGR 5.5% | Win 58%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -53.7%
Months 55M (18%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
MACD
only
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -52.4%
Months 179M (60%)
CAGR 67.6% | Win 80%
Sharpe 2.38 | Sortino 13.79 | Calmar 10.8
Vol 23% | MDD -6.2%
Months 10M (3%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR -15.1% | Win 44%
Sharpe -0.56 | Sortino -0.81 | Calmar -0.5
Vol 24% | MDD -29.4%
Months 18M (6%)
CAGR 15.1% | Win 59%
Sharpe 0.66 | Sortino 0.98 | Calmar 0.3
Vol 27% | MDD -49.2%
Months 93M (31%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.9% | Win 56%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -49.9%
Months 153M (51%)
CAGR 9.9% | Win 56%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.3
Vol 24% | MDD -34.3%
Months 36M (12%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR 35.6% | Win 59%
Sharpe 1.69 | Sortino 4.34 | Calmar 3.9
Vol 19% | MDD -9.1%
Months 17M (6%)
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 27% | MDD -53.7%
Months 94M (31%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
MACDhist
only
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.4% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.3
Vol 18% | MDD -30.8%
Months 150M (50%)
CAGR -6.9% | Win 49%
Sharpe -0.19 | Sortino -0.25 | Calmar -0.2
Vol 23% | MDD -33.3%
Months 39M (13%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR -20.4% | Win 31%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.6
Vol 32% | MDD -35.5%
Months 13M (4%)
CAGR 14.3% | Win 60%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.5
Vol 26% | MDD -30.1%
Months 98M (33%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.6%
Months 170M (57%)
CAGR 10.8% | Win 47%
Sharpe 0.51 | Sortino 1.12 | Calmar 0.5
Vol 27% | MDD -22.4%
Months 19M (6%)
CAGR 5.8% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 189M (63%)
MRmean
neg
CAGR 4.9% | Win 54%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -42.1%
Months 72M (24%)
CAGR 18.5% | Win 62%
Sharpe 0.86 | Sortino 1.46 | Calmar 1.3
Vol 23% | MDD -14.4%
Months 39M (13%)
CAGR 9.5% | Win 57%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 111M (37%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 58%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -54.7%
Months 166M (55%)
CAGR 20.7% | Win 50%
Sharpe 1.11 | Sortino 3.31 | Calmar 2.4
Vol 18% | MDD -8.5%
Months 10M (3%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR 8.8% | Win 56%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 22% | MDD -40.0%
Months 107M (36%)
CAGR -22.5% | Win 47%
Sharpe -0.44 | Sortino -0.81 | Calmar -0.7
Vol 40% | MDD -32.3%
Months 17M (6%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
RSmean
only
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 57%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 19% | MDD -49.5%
Months 139M (46%)
CAGR 23.5% | Win 60%
Sharpe 1.07 | Sortino 2.03 | Calmar 1.7
Vol 22% | MDD -13.8%
Months 37M (12%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR 6.2% | Win 52%
Sharpe 0.38 | Sortino 0.66 | Calmar 0.2
Vol 22% | MDD -32.0%
Months 77M (26%)
CAGR 0.2% | Win 60%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.0
Vol 30% | MDD -53.7%
Months 47M (16%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
MACD
only
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.0% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -50.2%
Months 157M (52%)
CAGR 44.3% | Win 63%
Sharpe 1.50 | Sortino 3.05 | Calmar 4.1
Vol 27% | MDD -10.8%
Months 19M (6%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR -15.1% | Win 42%
Sharpe -0.65 | Sortino -0.95 | Calmar -0.4
Vol 22% | MDD -42.4%
Months 40M (13%)
CAGR 14.3% | Win 61%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 26% | MDD -49.2%
Months 84M (28%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.7% | Win 59%
Sharpe 0.56 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -31.7%
Months 129M (43%)
CAGR 11.9% | Win 53%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.3
Vol 25% | MDD -41.4%
Months 47M (16%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR 4.2% | Win 49%
Sharpe 0.30 | Sortino 0.52 | Calmar 0.1
Vol 20% | MDD -30.5%
Months 41M (14%)
CAGR 3.7% | Win 58%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -53.7%
Months 83M (28%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
MACDhist
only
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 57%
Sharpe 0.58 | Sortino 0.98 | Calmar 0.3
Vol 19% | MDD -31.2%
Months 151M (50%)
CAGR 10.2% | Win 60%
Sharpe 0.51 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 25M (8%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR -23.1% | Win 42%
Sharpe -0.93 | Sortino -1.06 | Calmar -0.7
Vol 25% | MDD -31.2%
Months 12M (4%)
CAGR 7.3% | Win 56%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -33.1%
Months 112M (37%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.4% | Win 59%
Sharpe 0.59 | Sortino 0.84 | Calmar 0.2
Vol 18% | MDD -37.6%
Months 149M (50%)
CAGR 10.9% | Win 48%
Sharpe 0.51 | Sortino 1.10 | Calmar 0.4
Vol 28% | MDD -30.8%
Months 27M (9%)
CAGR 9.6% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 20% | MDD -47.6%
Months 176M (59%)
SLmean
neg
CAGR -1.2% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 26% | MDD -46.6%
Months 93M (31%)
CAGR 20.6% | Win 64%
Sharpe 1.00 | Sortino 1.58 | Calmar 1.9
Vol 21% | MDD -10.9%
Months 31M (10%)
CAGR 3.9% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 25% | MDD -53.7%
Months 124M (41%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 56%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -46.9%
Months 203M (68%)
CAGR 16.8% | Win 61%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.4
Vol 22% | MDD -40.0%
Months 70M (23%)
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
RSmean
neg
CAGR 4.2% | Win 46%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.2
Vol 23% | MDD -19.5%
Months 13M (4%)
CAGR -19.2% | Win 50%
Sharpe -0.31 | Sortino -0.54 | Calmar -0.7
Vol 42% | MDD -27.7%
Months 14M (5%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
MACD
only
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 1.9% | Win 54%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 19% | MDD -63.3%
Months 182M (61%)
CAGR 24.5% | Win 63%
Sharpe 1.06 | Sortino 1.73 | Calmar 0.6
Vol 23% | MDD -40.0%
Months 91M (30%)
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
RSmean
neg
CAGR -4.8% | Win 47%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.2
Vol 24% | MDD -23.2%
Months 15M (5%)
CAGR -13.3% | Win 50%
Sharpe -0.12 | Sortino -0.21 | Calmar -0.6
Vol 44% | MDD -22.0%
Months 12M (4%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.1% | Win 57%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 18% | MDD -45.6%
Months 164M (55%)
CAGR 10.2% | Win 58%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.3
Vol 24% | MDD -40.0%
Months 109M (36%)
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
RSmean
neg
CAGR -3.6% | Win 50%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.2
Vol 25% | MDD -14.8%
Months 6M (2%)
CAGR -10.1% | Win 48%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.4
Vol 36% | MDD -27.7%
Months 21M (7%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
MACDhist
only
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 19% | MDD -41.8%
Months 153M (51%)
CAGR 10.9% | Win 57%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.4
Vol 23% | MDD -28.7%
Months 120M (40%)
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
RSmean
neg
CAGR -3.3% | Win 40%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.2
Vol 25% | MDD -18.8%
Months 10M (3%)
CAGR -11.7% | Win 53%
Sharpe -0.14 | Sortino -0.23 | Calmar -0.5
Vol 38% | MDD -25.5%
Months 17M (6%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 57%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -33.6%
Months 218M (73%)
CAGR 13.8% | Win 56%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.8
Vol 24% | MDD -17.1%
Months 55M (18%)
CAGR 8.9% | Win 57%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -40.0%
Months 273M (91%)
RSmean
neg
CAGR -15.1% | Win 46%
Sharpe -0.30 | Sortino -0.47 | Calmar -0.4
Vol 34% | MDD -35.1%
Months 24M (8%)
CAGR 63.8% | Win 67%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 25% | MDD 0.0%
Months 3M (1%)
CAGR -8.7% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 34% | MDD -34.1%
Months 27M (9%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 20% | MDD -52.2%
Months 173M (58%)
CAGR 24.4% | Win 60%
Sharpe 1.12 | Sortino 2.29 | Calmar 2.1
Vol 22% | MDD -11.6%
Months 43M (14%)
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
MACD
neg
CAGR -3.8% | Win 54%
Sharpe -0.14 | Sortino -0.17 | Calmar -0.2
Vol 17% | MDD -17.4%
Months 24M (8%)
CAGR 15.8% | Win 62%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.3
Vol 29% | MDD -49.2%
Months 60M (20%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.9% | Win 55%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 157M (52%)
CAGR 4.3% | Win 56%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -32.8%
Months 59M (20%)
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
MACD
neg
CAGR 17.3% | Win 77%
Sharpe 1.06 | Sortino 1.15 | Calmar 1.8
Vol 16% | MDD -9.8%
Months 13M (4%)
CAGR 8.5% | Win 56%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.2
Vol 28% | MDD -53.7%
Months 71M (24%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
MACDhist
only
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.0% | Win 57%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -30.4%
Months 123M (41%)
CAGR 5.0% | Win 53%
Sharpe 0.33 | Sortino 0.51 | Calmar 0.1
Vol 23% | MDD -37.2%
Months 93M (31%)
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
MACD
neg
CAGR 5.5% | Win 52%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.2
Vol 24% | MDD -35.5%
Months 40M (13%)
CAGR 13.9% | Win 66%
Sharpe 0.60 | Sortino 0.80 | Calmar 0.5
Vol 28% | MDD -30.1%
Months 44M (15%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.7% | Win 55%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 20% | MDD -37.7%
Months 197M (66%)
CAGR 1.0% | Win 53%
Sharpe 0.16 | Sortino 0.36 | Calmar 0.1
Vol 25% | MDD -15.3%
Months 19M (6%)
CAGR 6.2% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 216M (72%)
MACD
neg
CAGR -1.1% | Win 60%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -41.9%
Months 45M (15%)
CAGR 24.0% | Win 59%
Sharpe 1.04 | Sortino 1.82 | Calmar 1.7
Vol 23% | MDD -14.4%
Months 39M (13%)
CAGR 9.9% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 84M (28%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.6% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -54.3%
Months 158M (53%)
CAGR -11.0% | Win 46%
Sharpe -0.36 | Sortino -0.46 | Calmar -0.2
Vol 24% | MDD -49.6%
Months 39M (13%)
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
RSI
neg
CAGR 56.0% | Win 67%
Sharpe 2.44 | Sortino 6.38 | Calmar 11.5
Vol 19% | MDD -4.9%
Months 12M (4%)
CAGR 15.2% | Win 60%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 27% | MDD -49.2%
Months 91M (30%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
MACDhist
only
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.4% | Win 57%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -37.0%
Months 145M (48%)
CAGR -11.6% | Win 46%
Sharpe -0.39 | Sortino -0.54 | Calmar -0.2
Vol 24% | MDD -48.2%
Months 52M (17%)
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
RSI
neg
CAGR 8.8% | Win 50%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.3
Vol 33% | MDD -25.0%
Months 18M (6%)
CAGR 21.7% | Win 64%
Sharpe 0.92 | Sortino 1.35 | Calmar 0.8
Vol 25% | MDD -28.7%
Months 85M (28%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.7% | Win 56%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.1
Vol 19% | MDD -49.6%
Months 180M (60%)
CAGR -12.5% | Win 35%
Sharpe -0.50 | Sortino -0.95 | Calmar -0.4
Vol 22% | MDD -30.0%
Months 17M (6%)
CAGR 1.3% | Win 54%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -56.7%
Months 197M (66%)
RSI
neg
CAGR 12.6% | Win 58%
Sharpe 0.57 | Sortino 0.81 | Calmar 0.3
Vol 28% | MDD -36.5%
Months 62M (21%)
CAGR 30.3% | Win 66%
Sharpe 1.23 | Sortino 2.12 | Calmar 2.1
Vol 24% | MDD -14.4%
Months 41M (14%)
CAGR 19.3% | Win 61%
Sharpe 0.81 | Sortino 1.21 | Calmar 0.4
Vol 26% | MDD -49.2%
Months 103M (34%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 7.6% | Win 60%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.3
Vol 17% | MDD -28.7%
Months 122M (41%)
CAGR 7.8% | Win 48%
Sharpe 0.46 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -29.2%
Months 48M (16%)
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
MACDhist
neg
CAGR 4.1% | Win 44%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -35.5%
Months 41M (14%)
CAGR 7.8% | Win 62%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.3
Vol 27% | MDD -30.1%
Months 89M (30%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
RSIhist
only
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.8% | Win 57%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 18% | MDD -42.0%
Months 162M (54%)
CAGR -14.0% | Win 38%
Sharpe -0.58 | Sortino -1.33 | Calmar -1.1
Vol 22% | MDD -13.3%
Months 8M (3%)
CAGR 7.6% | Win 56%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.1
Vol 18% | MDD -52.5%
Months 170M (57%)
MACDhist
neg
CAGR -1.8% | Win 54%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 28% | MDD -41.9%
Months 80M (27%)
CAGR 21.6% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 1.5
Vol 24% | MDD -14.4%
Months 50M (17%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -53.7%
Months 130M (43%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.6% | Win 57%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -31.8%
Months 137M (46%)
CAGR 18.2% | Win 50%
Sharpe 0.74 | Sortino 1.52 | Calmar 0.8
Vol 27% | MDD -22.4%
Months 26M (9%)
CAGR 6.7% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -35.5%
Months 163M (54%)
RSIhist
neg
CAGR 5.9% | Win 55%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 26% | MDD -25.7%
Months 105M (35%)
CAGR 14.1% | Win 62%
Sharpe 0.73 | Sortino 1.24 | Calmar 1.3
Vol 21% | MDD -10.9%
Months 32M (11%)
CAGR 7.8% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.3
Vol 25% | MDD -30.1%
Months 137M (46%)
LWTI
only
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 22% | MDD -43.6%
Months 242M (81%)
CAGR 16.0% | Win 57%
Sharpe 0.74 | Sortino 1.39 | Calmar 0.9
Vol 24% | MDD -17.1%
Months 58M (19%)