ICLN - iShares Global Clean Energy ETF

Signal Pair Analysis

MACD-RSI

Best Pair

47.9%

Best CAGR

63

Total Months

-7.3%

Avg CAGR

ICLN 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 ICLN

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 MACD pos-neg 20 9.1 47.9 60.0 1.8 7.0 6.6 24.0 -7.3
pair MACD RSI pos-neg 20 9.1 47.9 60.0 1.8 7.0 6.6 24.0 -7.3
pair RSI MACD neg-pos 14 6.4 30.4 57.1 1.8 5.2 7.1 15.7 -4.3
pair MACD RSI neg-pos 14 6.4 30.4 57.1 1.8 5.2 7.1 15.7 -4.3
pair MACDhist RSIhist pos-pos 79 35.9 24.4 63.3 1.0 1.4 1.0 26.7 -24.0
pair RSIhist MACDhist pos-pos 79 35.9 24.4 63.3 1.0 1.4 1.0 26.7 -24.0
pair SLmean MACDhist pos-pos 78 35.5 23.3 61.5 0.9 1.4 0.7 26.8 -32.7
pair MACDhist SLmean pos-pos 78 35.5 23.3 61.5 0.9 1.4 0.7 26.8 -32.7
pair MACDhist LWTI pos-neg 17 7.7 21.0 76.5 0.9 0.9 1.9 26.4 -10.8
pair LWTI MACDhist pos-neg 17 7.7 21.0 76.5 0.9 0.9 1.9 26.4 -10.8
pair MRmean MACDhist pos-pos 85 38.6 18.4 61.2 0.8 1.1 0.6 26.1 -29.8
pair MACDhist MRmean pos-pos 85 38.6 18.4 61.2 0.8 1.1 0.6 26.1 -29.8
pair RSIhist RSI pos-pos 64 29.1 17.2 60.9 0.7 1.0 0.5 27.9 -35.4
pair RSI RSIhist pos-pos 64 29.1 17.2 60.9 0.7 1.0 0.5 27.9 -35.4
pair LWTI MACD pos-neg 10 4.5 16.6 50.0 0.6 0.9 1.1 35.0 -15.3
pair MACD LWTI pos-neg 10 4.5 16.6 50.0 0.6 0.9 1.1 35.0 -15.3
pair LWTI SLmean neg-neg 44 20.0 14.3 61.4 0.6 1.1 0.4 28.2 -33.1
pair SLmean LWTI neg-neg 44 20.0 14.3 61.4 0.6 1.1 0.4 28.2 -33.1
pair LWTI RSI neg-neg 70 31.8 14.3 64.3 0.6 1.0 0.4 26.1 -32.5
pair RSI LWTI neg-neg 70 31.8 14.3 64.3 0.6 1.0 0.4 26.1 -32.5
pair LWTI MRmean neg-neg 57 25.9 14.2 63.2 0.6 1.1 0.4 27.3 -32.5
pair MRmean LWTI neg-neg 57 25.9 14.2 63.2 0.6 1.1 0.4 27.3 -32.5
pair RSIhist MACD pos-pos 50 22.7 13.7 62.0 0.6 0.9 0.4 30.6 -37.0
pair MACD RSIhist pos-pos 50 22.7 13.7 62.0 0.6 0.9 0.4 30.6 -37.0
pair RSIhist LWTI neg-neg 39 17.7 12.7 64.1 0.6 1.0 0.4 28.3 -29.2
pair LWTI RSIhist neg-neg 39 17.7 12.7 64.1 0.6 1.0 0.4 28.3 -29.2
pair SLmean RSIhist neg-pos 22 10.0 12.4 54.5 0.5 1.0 0.3 31.5 -37.5
pair RSIhist SLmean neg-pos 22 10.0 12.4 54.5 0.5 1.0 0.3 31.5 -37.5
pair RSI MACDhist pos-pos 75 34.1 11.7 56.0 0.5 0.8 0.3 27.1 -34.9
pair MACDhist RSI pos-pos 75 34.1 11.7 56.0 0.5 0.8 0.3 27.1 -34.9
pair RSIhist LWTI pos-pos 83 37.7 11.4 55.4 0.5 0.8 0.2 28.8 -47.8
pair LWTI RSIhist pos-pos 83 37.7 11.4 55.4 0.5 0.8 0.2 28.8 -47.8
pair RSmean LWTI pos-neg 71 32.3 11.2 62.0 0.5 0.8 0.3 26.9 -34.4
pair LWTI RSmean pos-neg 71 32.3 11.2 62.0 0.5 0.8 0.3 26.9 -34.4
pair RSmean RSIhist pos-pos 111 50.5 10.4 56.8 0.5 0.8 0.2 26.8 -51.3
pair RSIhist RSmean pos-pos 111 50.5 10.4 56.8 0.5 0.8 0.2 26.8 -51.3
pair RSIhist MRmean pos-pos 89 40.5 10.1 57.3 0.5 0.7 0.2 27.0 -48.4
pair MRmean RSIhist pos-pos 89 40.5 10.1 57.3 0.5 0.7 0.2 27.0 -48.4
pair MACDhist MACD pos-pos 66 30.0 9.9 56.1 0.5 0.8 0.3 28.5 -34.9
pair MACD MACDhist pos-pos 66 30.0 9.9 56.1 0.5 0.8 0.3 28.5 -34.9
single RSIhist RSIhist pos-pos 120 54.5 9.7 56.7 0.5 0.7 0.2 27.6 -52.5
single LWTI LWTI neg-neg 76 34.5 9.4 61.8 0.5 0.7 0.3 26.6 -32.6
pair MACD SLmean neg-pos 37 16.8 9.1 48.6 0.5 0.9 0.3 26.8 -26.0
pair SLmean MACD neg-pos 37 16.8 9.1 48.6 0.5 0.9 0.3 26.8 -26.0
pair RSIhist SLmean pos-pos 98 44.5 9.1 57.1 0.5 0.7 0.2 26.9 -52.5
pair SLmean RSIhist pos-pos 98 44.5 9.1 57.1 0.5 0.7 0.2 26.9 -52.5
pair MRmean RSI pos-pos 76 34.5 9.0 56.6 0.5 0.7 0.2 27.6 -49.4
pair RSI MRmean pos-pos 76 34.5 9.0 56.6 0.5 0.7 0.2 27.6 -49.4
pair MRmean RSIhist neg-pos 31 14.1 8.6 54.8 0.4 0.7 0.3 29.8 -30.8
pair RSIhist MRmean neg-pos 31 14.1 8.6 54.8 0.4 0.7 0.3 29.8 -30.8
pair MACD LWTI neg-neg 66 30.0 8.3 63.6 0.4 0.7 0.3 25.4 -32.5
pair LWTI MACD neg-neg 66 30.0 8.3 63.6 0.4 0.7 0.3 25.4 -32.5
pair MRmean RSmean pos-pos 97 44.1 8.3 55.7 0.4 0.7 0.1 26.5 -53.7
pair RSmean MRmean pos-pos 97 44.1 8.3 55.7 0.4 0.7 0.1 26.5 -53.7
pair SLmean RSmean pos-pos 102 46.4 7.8 54.9 0.4 0.6 0.1 26.8 -64.2
pair RSmean SLmean pos-pos 102 46.4 7.8 54.9 0.4 0.6 0.1 26.8 -64.2
pair RSI SLmean pos-pos 71 32.3 7.5 54.9 0.4 0.6 0.1 28.2 -55.9
pair SLmean RSI pos-pos 71 32.3 7.5 54.9 0.4 0.6 0.1 28.2 -55.9
pair MACD RSIhist neg-pos 70 31.8 6.9 52.9 0.4 0.6 0.1 25.5 -45.7
pair RSIhist MACD neg-pos 70 31.8 6.9 52.9 0.4 0.6 0.1 25.5 -45.7
pair RSmean MACD pos-pos 90 40.9 6.8 53.3 0.4 0.6 0.2 29.3 -34.9
pair MACD RSmean pos-pos 90 40.9 6.8 53.3 0.4 0.6 0.2 29.3 -34.9
pair LWTI MACDhist neg-neg 59 26.8 6.2 57.6 0.4 0.6 0.2 26.8 -32.4
pair MACDhist LWTI neg-neg 59 26.8 6.2 57.6 0.4 0.6 0.2 26.8 -32.4
pair RSIhist LWTI pos-neg 37 16.8 6.0 59.5 0.3 0.5 0.2 25.0 -37.0
pair LWTI RSIhist pos-neg 37 16.8 6.0 59.5 0.3 0.5 0.2 25.0 -37.0
pair RSmean MACDhist pos-pos 106 48.2 5.5 55.7 0.3 0.5 0.1 28.6 -56.8
pair MACDhist RSmean pos-pos 106 48.2 5.5 55.7 0.3 0.5 0.1 28.6 -56.8
pair MRmean MACD neg-pos 34 15.5 5.5 44.1 0.3 0.7 0.3 27.5 -19.7
pair MACD MRmean neg-pos 34 15.5 5.5 44.1 0.3 0.7 0.3 27.5 -19.7
single MACDhist MACDhist pos-pos 108 49.1 5.4 55.6 0.3 0.5 0.1 28.4 -56.8
pair LWTI MRmean pos-pos 83 37.7 5.2 53.0 0.3 0.5 0.1 27.6 -40.9
pair MRmean LWTI pos-pos 83 37.7 5.2 53.0 0.3 0.5 0.1 27.6 -40.9
single MACD MACD pos-pos 96 43.6 5.0 52.1 0.3 0.6 0.1 28.7 -42.3
pair MACD MRmean pos-pos 62 28.2 4.7 56.5 0.3 0.5 0.1 29.6 -50.7
pair MRmean MACD pos-pos 62 28.2 4.7 56.5 0.3 0.5 0.1 29.6 -50.7
pair MRmean SLmean pos-pos 93 42.3 4.6 53.8 0.3 0.5 0.1 27.4 -61.2
pair SLmean MRmean pos-pos 93 42.3 4.6 53.8 0.3 0.5 0.1 27.4 -61.2
pair MACD SLmean pos-neg 52 23.6 4.4 53.8 0.3 0.4 0.1 22.7 -33.2
pair SLmean MACD pos-neg 52 23.6 4.4 53.8 0.3 0.4 0.1 22.7 -33.2
pair LWTI RSI pos-pos 84 38.2 3.7 52.4 0.3 0.5 0.1 27.7 -42.2
pair RSI LWTI pos-pos 84 38.2 3.7 52.4 0.3 0.5 0.1 27.7 -42.2
pair LWTI MACD pos-pos 86 39.1 3.7 52.3 0.3 0.5 0.1 28.1 -49.2
pair MACD LWTI pos-pos 86 39.1 3.7 52.3 0.3 0.5 0.1 28.1 -49.2
pair LWTI SLmean pos-pos 79 35.9 3.6 50.6 0.3 0.4 0.1 27.8 -46.4
pair SLmean LWTI pos-pos 79 35.9 3.6 50.6 0.3 0.4 0.1 27.8 -46.4
single SLmean SLmean pos-pos 111 50.5 3.4 54.1 0.3 0.4 0.1 26.8 -69.3
single MRmean MRmean pos-pos 102 46.4 3.4 53.9 0.3 0.4 0.1 27.0 -59.6
pair SLmean LWTI pos-neg 32 14.5 2.9 62.5 0.2 0.3 0.1 24.5 -44.9
pair LWTI SLmean pos-neg 32 14.5 2.9 62.5 0.2 0.3 0.1 24.5 -44.9
pair LWTI MACDhist pos-pos 91 41.4 2.7 51.6 0.2 0.3 0.1 28.9 -49.0
pair MACDhist LWTI pos-pos 91 41.4 2.7 51.6 0.2 0.3 0.1 28.9 -49.0
pair RSmean RSI pos-neg 110 50.0 2.6 53.6 0.2 0.3 0.0 27.8 -66.0
pair RSI RSmean pos-neg 110 50.0 2.6 53.6 0.2 0.3 0.0 27.8 -66.0
pair SLmean MACD pos-pos 59 26.8 2.5 54.2 0.2 0.4 0.0 30.1 -59.3
pair MACD SLmean pos-pos 59 26.8 2.5 54.2 0.2 0.4 0.0 30.1 -59.3
single RSmean RSmean pos-pos 196 89.1 1.9 52.6 0.2 0.3 0.0 27.9 -66.0
pair RSI RSIhist neg-pos 56 25.5 1.7 51.8 0.2 0.3 0.0 27.4 -45.7
pair RSIhist RSI neg-pos 56 25.5 1.7 51.8 0.2 0.3 0.0 27.4 -45.7
pair MRmean MACD pos-neg 40 18.2 1.6 50.0 0.2 0.3 0.1 22.6 -25.5
pair MACD MRmean pos-neg 40 18.2 1.6 50.0 0.2 0.3 0.1 22.6 -25.5
pair RSmean RSIhist neg-pos 9 4.1 1.5 55.6 0.2 0.5 0.1 38.1 -28.0
pair RSIhist RSmean neg-pos 9 4.1 1.5 55.6 0.2 0.5 0.1 38.1 -28.0
pair RSI RSmean pos-pos 86 39.1 1.2 51.2 0.2 0.3 0.0 28.2 -52.4
pair RSmean RSI pos-pos 86 39.1 1.2 51.2 0.2 0.3 0.0 28.2 -52.4
single RSI RSI pos-pos 90 40.9 0.6 51.1 0.2 0.3 0.0 27.9 -56.5
pair MACDhist RSmean neg-pos 2 0.9 -1.3 50.0 0.0 0.0 -0.2 26.7 -5.4
pair RSmean MACDhist neg-pos 2 0.9 -1.3 50.0 0.0 0.0 -0.2 26.7 -5.4
pair MACDhist MACD neg-pos 42 19.1 -1.5 54.8 0.1 0.1 -0.0 28.5 -56.8
pair MACD MACDhist neg-pos 42 19.1 -1.5 54.8 0.1 0.1 -0.0 28.5 -56.8
pair MACD RSmean pos-neg 106 48.2 -2.0 51.9 0.1 0.1 -0.0 26.8 -66.0
pair RSmean MACD pos-neg 106 48.2 -2.0 51.9 0.1 0.1 -0.0 26.8 -66.0
pair RSmean MACDhist pos-neg 90 40.9 -2.1 48.9 0.1 0.1 -0.1 27.2 -38.5
pair MACDhist RSmean pos-neg 90 40.9 -2.1 48.9 0.1 0.1 -0.1 27.2 -38.5
pair SLmean MRmean neg-pos 18 8.2 -2.8 55.6 -0.0 -0.0 -0.1 23.9 -27.6
pair MRmean SLmean neg-pos 18 8.2 -2.8 55.6 -0.0 -0.0 -0.1 23.9 -27.6
pair RSmean LWTI pos-pos 125 56.8 -3.0 47.2 0.0 0.1 -0.0 28.5 -66.7
pair LWTI RSmean pos-pos 125 56.8 -3.0 47.2 0.0 0.1 -0.0 28.5 -66.7
pair SLmean RSI pos-neg 40 18.2 -3.6 52.5 -0.0 -0.1 -0.1 24.4 -35.9
pair RSI SLmean pos-neg 40 18.2 -3.6 52.5 -0.0 -0.1 -0.1 24.4 -35.9
pair SLmean MACDhist neg-neg 79 35.9 -3.6 51.9 0.1 0.1 -0.1 35.9 -69.6
pair MACDhist SLmean neg-neg 79 35.9 -3.6 51.9 0.1 0.1 -0.1 35.9 -69.6
pair RSIhist MACD pos-neg 46 20.9 -3.8 41.3 -0.0 -0.0 -0.1 26.7 -30.0
pair MACD RSIhist pos-neg 46 20.9 -3.8 41.3 -0.0 -0.0 -0.1 26.7 -30.0
pair RSmean MRmean neg-pos 99 45.0 -3.9 49.5 0.0 0.0 -0.1 29.3 -64.3
pair MRmean RSmean neg-pos 99 45.0 -3.9 49.5 0.0 0.0 -0.1 29.3 -64.3
pair MRmean LWTI pos-neg 19 8.6 -4.0 57.9 -0.1 -0.1 -0.1 24.4 -31.6
pair LWTI MRmean pos-neg 19 8.6 -4.0 57.9 -0.1 -0.1 -0.1 24.4 -31.6
pair RSI MACD pos-pos 76 34.5 -4.1 50.0 0.0 0.0 -0.1 29.5 -60.4
pair MACD RSI pos-pos 76 34.5 -4.1 50.0 0.0 0.0 -0.1 29.5 -60.4
pair SLmean RSmean neg-pos 94 42.7 -4.1 50.0 0.0 0.0 -0.1 29.2 -66.4
pair RSmean SLmean neg-pos 94 42.7 -4.1 50.0 0.0 0.0 -0.1 29.2 -66.4
pair benchmark___benchmark_ benchmark-benchmark 220 100.0 -4.4 51.4 0.0 0.0 -0.1 30.8 -86.2
pair benchmark___benchmark_ benchmark-benchmark 220 100.0 -4.4 51.4 0.0 0.0 -0.1 30.8 -86.2
pair MACDhist MRmean neg-neg 95 43.2 -4.7 52.6 0.0 0.1 -0.1 33.7 -69.6
pair MRmean MACDhist neg-neg 95 43.2 -4.7 52.6 0.0 0.1 -0.1 33.7 -69.6
pair MACDhist MACD pos-neg 30 13.6 -5.2 43.3 -0.0 -0.1 -0.2 29.5 -26.4
pair MACD MACDhist pos-neg 30 13.6 -5.2 43.3 -0.0 -0.1 -0.2 29.5 -26.4
pair RSI MRmean neg-neg 104 47.3 -6.8 52.9 -0.0 -0.0 -0.1 34.5 -81.7
pair MRmean RSI neg-neg 104 47.3 -6.8 52.9 -0.0 -0.0 -0.1 34.5 -81.7
single RSI RSI neg-neg 130 59.1 -7.7 51.5 -0.1 -0.1 -0.1 32.8 -86.2
pair MACDhist RSI neg-pos 33 15.0 -7.7 54.5 -0.1 -0.1 -0.1 31.5 -56.8
pair RSI MACDhist neg-pos 33 15.0 -7.7 54.5 -0.1 -0.1 -0.1 31.5 -56.8
pair MACDhist RSI neg-neg 97 44.1 -7.8 50.5 -0.1 -0.1 -0.1 33.4 -70.2
pair RSI MACDhist neg-neg 97 44.1 -7.8 50.5 -0.1 -0.1 -0.1 33.4 -70.2
pair MRmean SLmean pos-neg 9 4.1 -7.9 55.6 -0.3 -0.3 -0.6 22.7 -14.3
pair SLmean MRmean pos-neg 9 4.1 -7.9 55.6 -0.3 -0.3 -0.6 22.7 -14.3
pair RSIhist RSmean pos-neg 85 38.6 -8.1 47.1 -0.1 -0.2 -0.1 29.2 -59.0
pair RSmean RSIhist pos-neg 85 38.6 -8.1 47.1 -0.1 -0.2 -0.1 29.2 -59.0
pair SLmean RSI neg-neg 90 40.9 -9.5 51.1 -0.1 -0.1 -0.1 36.0 -82.2
pair RSI SLmean neg-neg 90 40.9 -9.5 51.1 -0.1 -0.1 -0.1 36.0 -82.2
single MRmean MRmean neg-neg 118 53.6 -10.7 49.2 -0.1 -0.2 -0.1 33.8 -81.7
pair RSmean RSI neg-pos 4 1.8 -10.7 50.0 -0.4 -3.7 -0.8 23.1 -12.6
pair RSI RSmean neg-pos 4 1.8 -10.7 50.0 -0.4 -3.7 -0.8 23.1 -12.6
single LWTI LWTI pos-pos 144 65.5 -11.0 45.8 -0.2 -0.2 -0.1 32.8 -86.5
single MACD MACD neg-neg 124 56.4 -11.1 50.8 -0.2 -0.2 -0.1 32.3 -86.2
pair MRmean RSI pos-neg 26 11.8 -11.2 46.2 -0.3 -0.5 -0.4 25.1 -28.5
pair RSI MRmean pos-neg 26 11.8 -11.2 46.2 -0.3 -0.5 -0.4 25.1 -28.5
single SLmean SLmean neg-neg 109 49.5 -11.7 48.6 -0.2 -0.2 -0.1 34.5 -82.2
pair SLmean MRmean neg-neg 100 45.5 -12.1 48.0 -0.2 -0.2 -0.1 35.4 -81.5
pair MRmean SLmean neg-neg 100 45.5 -12.1 48.0 -0.2 -0.2 -0.1 35.4 -81.5
pair RSIhist MACDhist neg-neg 71 32.3 -12.4 49.3 -0.2 -0.2 -0.2 35.4 -69.6
pair MACDhist RSIhist neg-neg 71 32.3 -12.4 49.3 -0.2 -0.2 -0.2 35.4 -69.6
single MACDhist MACDhist neg-neg 112 50.9 -13.0 47.3 -0.2 -0.3 -0.2 32.9 -76.8
pair LWTI RSmean neg-neg 5 2.3 -13.7 60.0 -0.6 -0.5 -13.1 22.5 -1.0
pair RSmean LWTI neg-neg 5 2.3 -13.7 60.0 -0.6 -0.5 -13.1 22.5 -1.0
pair MACDhist RSIhist neg-pos 41 18.6 -14.0 43.9 -0.4 -0.6 -0.2 28.3 -60.4
pair RSIhist MACDhist neg-pos 41 18.6 -14.0 43.9 -0.4 -0.6 -0.2 28.3 -60.4
pair RSI RSIhist neg-neg 74 33.6 -14.3 51.4 -0.2 -0.3 -0.2 36.4 -82.2
pair RSIhist RSI neg-neg 74 33.6 -14.3 51.4 -0.2 -0.3 -0.2 36.4 -82.2
pair RSI MACD neg-neg 110 50.0 -15.3 50.0 -0.3 -0.4 -0.2 33.7 -86.2
pair MACD RSI neg-neg 110 50.0 -15.3 50.0 -0.3 -0.4 -0.2 33.7 -86.2
pair MACD MACDhist neg-neg 82 37.3 -15.6 48.8 -0.3 -0.4 -0.2 34.2 -73.5
pair MACDhist MACD neg-neg 82 37.3 -15.6 48.8 -0.3 -0.4 -0.2 34.2 -73.5
pair MRmean MACD neg-neg 84 38.2 -16.5 51.2 -0.3 -0.4 -0.2 36.1 -81.7
pair MACD MRmean neg-neg 84 38.2 -16.5 51.2 -0.3 -0.4 -0.2 36.1 -81.7
pair MRmean RSIhist neg-neg 87 39.5 -16.7 47.1 -0.3 -0.4 -0.2 35.1 -82.5
pair RSIhist MRmean neg-neg 87 39.5 -16.7 47.1 -0.3 -0.4 -0.2 35.1 -82.5
pair SLmean RSIhist neg-neg 87 39.5 -16.9 47.1 -0.3 -0.4 -0.2 35.2 -83.5
pair RSIhist SLmean neg-neg 87 39.5 -16.9 47.1 -0.3 -0.4 -0.2 35.2 -83.5
pair MACD RSmean neg-pos 6 2.7 -18.8 33.3 -1.0 -2.1 -1.3 19.1 -14.6
pair RSmean MACD neg-pos 6 2.7 -18.8 33.3 -1.0 -2.1 -1.3 19.1 -14.6
single RSIhist RSIhist neg-neg 100 45.5 -19.0 45.0 -0.4 -0.6 -0.2 33.9 -84.6
pair SLmean MACD neg-neg 72 32.7 -20.8 48.6 -0.4 -0.5 -0.2 37.7 -82.2
pair MACD SLmean neg-neg 72 32.7 -20.8 48.6 -0.4 -0.5 -0.2 37.7 -82.2
pair SLmean RSI neg-pos 19 8.6 -21.6 36.8 -0.8 -1.3 -0.6 26.2 -39.5
pair RSI SLmean neg-pos 19 8.6 -21.6 36.8 -0.8 -1.3 -0.6 26.2 -39.5
pair SLmean LWTI neg-pos 65 29.5 -25.9 40.0 -0.6 -0.7 -0.3 37.6 -80.7
pair LWTI SLmean neg-pos 65 29.5 -25.9 40.0 -0.6 -0.7 -0.3 37.6 -80.7
pair RSI LWTI neg-pos 60 27.3 -28.1 36.7 -0.6 -0.8 -0.3 38.4 -84.8
pair LWTI RSI neg-pos 60 27.3 -28.1 36.7 -0.6 -0.8 -0.3 38.4 -84.8
pair LWTI MACD neg-pos 58 26.4 -29.0 36.2 -0.7 -0.8 -0.3 38.2 -84.8
pair MACD LWTI neg-pos 58 26.4 -29.0 36.2 -0.7 -0.8 -0.3 38.2 -84.8
pair MRmean LWTI neg-pos 61 27.7 -29.1 36.1 -0.7 -0.8 -0.3 38.2 -83.0
pair LWTI MRmean neg-pos 61 27.7 -29.1 36.1 -0.7 -0.8 -0.3 38.2 -83.0
pair RSIhist MACD neg-neg 54 24.5 -30.0 48.1 -0.7 -0.8 -0.4 38.9 -84.0
pair MACD RSIhist neg-neg 54 24.5 -30.0 48.1 -0.7 -0.8 -0.4 38.9 -84.0
pair MACDhist SLmean neg-pos 30 13.6 -30.0 40.0 -1.0 -1.2 -0.5 29.8 -57.4
pair SLmean MACDhist neg-pos 30 13.6 -30.0 40.0 -1.0 -1.2 -0.5 29.8 -57.4
pair MACDhist LWTI neg-pos 53 24.1 -30.3 35.8 -0.7 -0.9 -0.4 38.0 -79.6
pair LWTI MACDhist neg-pos 53 24.1 -30.3 35.8 -0.7 -0.9 -0.4 38.0 -79.6
pair RSI RSIhist pos-neg 26 11.8 -30.9 26.9 -1.3 -2.4 -0.6 25.1 -53.3
pair RSIhist RSI pos-neg 26 11.8 -30.9 26.9 -1.3 -2.4 -0.6 25.1 -53.3
pair SLmean RSIhist pos-neg 13 5.9 -31.2 30.8 -1.4 -3.1 -0.9 24.1 -35.4
pair RSIhist SLmean pos-neg 13 5.9 -31.2 30.8 -1.4 -3.1 -0.9 24.1 -35.4
pair MACDhist MRmean neg-pos 23 10.5 -31.6 34.8 -0.9 -1.2 -0.7 33.8 -46.7
pair MRmean MACDhist neg-pos 23 10.5 -31.6 34.8 -0.9 -1.2 -0.7 33.8 -46.7
pair MACDhist SLmean pos-neg 33 15.0 -31.9 36.4 -1.5 -2.1 -0.5 22.9 -69.6
pair SLmean MACDhist pos-neg 33 15.0 -31.9 36.4 -1.5 -2.1 -0.5 22.9 -69.6
pair MRmean RSIhist pos-neg 13 5.9 -32.4 30.8 -1.5 -2.6 -1.0 24.2 -32.9
pair RSIhist MRmean pos-neg 13 5.9 -32.4 30.8 -1.5 -2.6 -1.0 24.2 -32.9
pair RSIhist MACDhist pos-neg 29 13.2 -33.0 34.5 -1.2 -1.4 -0.6 29.5 -57.9
pair MACDhist RSIhist pos-neg 29 13.2 -33.0 34.5 -1.2 -1.4 -0.6 29.5 -57.9
pair LWTI RSIhist neg-pos 61 27.7 -34.4 32.8 -0.9 -1.2 -0.4 36.1 -88.2
pair RSIhist LWTI neg-pos 61 27.7 -34.4 32.8 -0.9 -1.2 -0.4 36.1 -88.2
pair RSI LWTI pos-neg 6 2.7 -34.6 33.3 -1.3 -1.6 -1.2 30.0 -27.7
pair LWTI RSI pos-neg 6 2.7 -34.6 33.3 -1.3 -1.6 -1.2 30.0 -27.7
pair RSI MRmean neg-pos 14 6.4 -34.8 21.4 -1.4 -2.6 -0.9 27.2 -36.8
pair MRmean RSI neg-pos 14 6.4 -34.8 21.4 -1.4 -2.6 -0.9 27.2 -36.8
pair RSmean SLmean pos-neg 9 4.1 -35.9 44.4 -1.7 -3.2 -1.7 24.4 -21.5
pair SLmean RSmean pos-neg 9 4.1 -35.9 44.4 -1.7 -3.2 -1.7 24.4 -21.5
pair MRmean RSmean neg-neg 19 8.6 -39.1 47.4 -0.7 -0.7 -0.6 51.8 -69.6
pair RSmean MRmean neg-neg 19 8.6 -39.1 47.4 -0.7 -0.7 -0.6 51.8 -69.6
pair MACDhist RSI pos-neg 15 6.8 -40.3 26.7 -1.7 -3.5 -0.8 28.0 -49.0
pair RSI MACDhist pos-neg 15 6.8 -40.3 26.7 -1.7 -3.5 -0.8 28.0 -49.0
single RSmean RSmean neg-neg 24 10.9 -43.5 41.7 -0.9 -1.1 -0.6 47.5 -69.6
pair MACDhist RSmean neg-neg 22 10.0 -46.3 40.9 -1.0 -1.2 -0.7 49.1 -69.6
pair RSmean MACDhist neg-neg 22 10.0 -46.3 40.9 -1.0 -1.2 -0.7 49.1 -69.6
pair MRmean MACDhist pos-neg 17 7.7 -47.5 17.6 -2.6 -3.6 -0.8 23.1 -56.0
pair MACDhist MRmean pos-neg 17 7.7 -47.5 17.6 -2.6 -3.6 -0.8 23.1 -56.0
pair RSmean SLmean neg-neg 15 6.8 -47.6 40.0 -0.8 -0.9 -0.7 57.9 -69.6
pair SLmean RSmean neg-neg 15 6.8 -47.6 40.0 -0.8 -0.9 -0.7 57.9 -69.6
pair RSmean RSI neg-neg 20 9.1 -48.4 40.0 -1.0 -1.2 -0.7 51.2 -69.6
pair RSI RSmean neg-neg 20 9.1 -48.4 40.0 -1.0 -1.2 -0.7 51.2 -69.6
pair LWTI RSmean neg-pos 19 8.6 -49.4 36.8 -1.0 -1.3 -0.7 52.3 -69.6
pair RSmean LWTI neg-pos 19 8.6 -49.4 36.8 -1.0 -1.3 -0.7 52.3 -69.6
pair MACD RSmean neg-neg 18 8.2 -49.9 44.4 -0.9 -1.2 -0.7 54.0 -69.6
pair RSmean MACD neg-neg 18 8.2 -49.9 44.4 -0.9 -1.2 -0.7 54.0 -69.6
pair MRmean RSmean pos-neg 5 2.3 -57.5 20.0 -3.1 -6.2 -2.8 26.0 -20.3
pair RSmean MRmean pos-neg 5 2.3 -57.5 20.0 -3.1 -6.2 -2.8 26.0 -20.3
pair RSIhist RSmean neg-neg 15 6.8 -60.2 33.3 -1.4 -1.6 -0.9 51.4 -69.6
pair RSmean RSIhist neg-neg 15 6.8 -60.2 33.3 -1.4 -1.6 -0.9 51.4 -69.6

All Contingency Tables for ICLN

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 54%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -61.2%
Months 93M (42%)
CAGR -7.9% | Win 56%
Sharpe -0.26 | Sortino -0.30 | Calmar -0.6
Vol 23% | MDD -14.3%
Months 9M (4%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR -2.8% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 24% | MDD -27.6%
Months 18M (8%)
CAGR -12.1% | Win 48%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -81.5%
Months 100M (46%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
SLmean
only
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 56%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 26% | MDD -53.7%
Months 97M (44%)
CAGR -57.5% | Win 20%
Sharpe -3.07 | Sortino -6.21 | Calmar -2.8
Vol 26% | MDD -20.3%
Months 5M (2%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR -3.9% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 29% | MDD -64.3%
Months 99M (45%)
CAGR -39.1% | Win 47%
Sharpe -0.65 | Sortino -0.73 | Calmar -0.6
Vol 52% | MDD -69.6%
Months 19M (9%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
RSmean
only
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.7% | Win 56%
Sharpe 0.30 | Sortino 0.49 | Calmar 0.1
Vol 30% | MDD -50.7%
Months 62M (28%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 23% | MDD -25.5%
Months 40M (18%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR 5.5% | Win 44%
Sharpe 0.33 | Sortino 0.71 | Calmar 0.3
Vol 28% | MDD -19.7%
Months 34M (16%)
CAGR -16.5% | Win 51%
Sharpe -0.30 | Sortino -0.36 | Calmar -0.2
Vol 36% | MDD -81.7%
Months 84M (38%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
MACD
only
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 57%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 28% | MDD -49.4%
Months 76M (34%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.52 | Calmar -0.4
Vol 25% | MDD -28.5%
Months 26M (12%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR -34.8% | Win 21%
Sharpe -1.42 | Sortino -2.62 | Calmar -0.9
Vol 27% | MDD -36.8%
Months 14M (6%)
CAGR -6.8% | Win 53%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 104M (47%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
RSI
only
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 18.4% | Win 61%
Sharpe 0.78 | Sortino 1.15 | Calmar 0.6
Vol 26% | MDD -29.8%
Months 85M (39%)
CAGR -47.5% | Win 18%
Sharpe -2.60 | Sortino -3.65 | Calmar -0.8
Vol 23% | MDD -56.0%
Months 17M (8%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR -31.6% | Win 35%
Sharpe -0.93 | Sortino -1.20 | Calmar -0.7
Vol 34% | MDD -46.7%
Months 23M (10%)
CAGR -4.7% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 34% | MDD -69.6%
Months 95M (43%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
MACDhist
only
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 57%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 27% | MDD -48.4%
Months 89M (40%)
CAGR -32.4% | Win 31%
Sharpe -1.48 | Sortino -2.56 | Calmar -1.0
Vol 24% | MDD -32.9%
Months 13M (6%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR 8.6% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.3
Vol 30% | MDD -30.8%
Months 31M (14%)
CAGR -16.7% | Win 47%
Sharpe -0.32 | Sortino -0.40 | Calmar -0.2
Vol 35% | MDD -82.5%
Months 87M (40%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 28% | MDD -40.9%
Months 83M (38%)
CAGR -4.0% | Win 58%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 24% | MDD -31.6%
Months 19M (9%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -59.6%
Months 102M (46%)
MRmean
neg
CAGR -29.1% | Win 36%
Sharpe -0.68 | Sortino -0.85 | Calmar -0.3
Vol 38% | MDD -83.0%
Months 61M (28%)
CAGR 14.2% | Win 63%
Sharpe 0.62 | Sortino 1.07 | Calmar 0.4
Vol 27% | MDD -32.5%
Months 57M (26%)
CAGR -10.7% | Win 49%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 118M (54%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 55%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.1
Vol 27% | MDD -64.2%
Months 102M (46%)
CAGR -35.9% | Win 44%
Sharpe -1.68 | Sortino -3.16 | Calmar -1.7
Vol 24% | MDD -21.5%
Months 9M (4%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR -4.1% | Win 50%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -66.4%
Months 94M (43%)
CAGR -47.6% | Win 40%
Sharpe -0.77 | Sortino -0.94 | Calmar -0.7
Vol 58% | MDD -69.6%
Months 15M (7%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
RSmean
only
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.5% | Win 54%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.0
Vol 30% | MDD -59.3%
Months 59M (27%)
CAGR 4.4% | Win 54%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 23% | MDD -33.2%
Months 52M (24%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR 9.1% | Win 49%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -26.0%
Months 37M (17%)
CAGR -20.8% | Win 49%
Sharpe -0.41 | Sortino -0.50 | Calmar -0.3
Vol 38% | MDD -82.2%
Months 72M (33%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
MACD
only
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 55%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 28% | MDD -55.9%
Months 71M (32%)
CAGR -3.6% | Win 52%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 24% | MDD -35.9%
Months 40M (18%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR -21.6% | Win 37%
Sharpe -0.79 | Sortino -1.31 | Calmar -0.5
Vol 26% | MDD -39.5%
Months 19M (9%)
CAGR -9.5% | Win 51%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 36% | MDD -82.2%
Months 90M (41%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
RSI
only
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 23.3% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 27% | MDD -32.7%
Months 78M (36%)
CAGR -31.9% | Win 36%
Sharpe -1.53 | Sortino -2.15 | Calmar -0.5
Vol 23% | MDD -69.6%
Months 33M (15%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR -30.0% | Win 40%
Sharpe -1.02 | Sortino -1.21 | Calmar -0.5
Vol 30% | MDD -57.4%
Months 30M (14%)
CAGR -3.6% | Win 52%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.6%
Months 79M (36%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
MACDhist
only
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 57%
Sharpe 0.46 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 98M (44%)
CAGR -31.2% | Win 31%
Sharpe -1.42 | Sortino -3.06 | Calmar -0.9
Vol 24% | MDD -35.4%
Months 13M (6%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR 12.4% | Win 55%
Sharpe 0.52 | Sortino 1.00 | Calmar 0.3
Vol 32% | MDD -37.5%
Months 22M (10%)
CAGR -16.9% | Win 47%
Sharpe -0.33 | Sortino -0.41 | Calmar -0.2
Vol 35% | MDD -83.5%
Months 87M (40%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.6% | Win 51%
Sharpe 0.26 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -46.4%
Months 79M (36%)
CAGR 2.9% | Win 62%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 24% | MDD -44.9%
Months 32M (14%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -69.3%
Months 111M (50%)
SLmean
neg
CAGR -25.9% | Win 40%
Sharpe -0.58 | Sortino -0.71 | Calmar -0.3
Vol 38% | MDD -80.7%
Months 65M (30%)
CAGR 14.3% | Win 61%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.4
Vol 28% | MDD -33.1%
Months 44M (20%)
CAGR -11.7% | Win 49%
Sharpe -0.17 | Sortino -0.22 | Calmar -0.1
Vol 34% | MDD -82.2%
Months 109M (50%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.2
Vol 29% | MDD -34.9%
Months 90M (41%)
CAGR -2.0% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 27% | MDD -66.0%
Months 106M (48%)
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
RSmean
neg
CAGR -18.8% | Win 33%
Sharpe -1.00 | Sortino -2.08 | Calmar -1.3
Vol 19% | MDD -14.6%
Months 6M (3%)
CAGR -49.9% | Win 44%
Sharpe -0.95 | Sortino -1.21 | Calmar -0.7
Vol 54% | MDD -69.6%
Months 18M (8%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
MACD
only
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 1.2% | Win 51%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 28% | MDD -52.4%
Months 86M (39%)
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 110M (50%)
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
RSmean
neg
CAGR -10.7% | Win 50%
Sharpe -0.40 | Sortino -3.73 | Calmar -0.8
Vol 23% | MDD -12.6%
Months 4M (2%)
CAGR -48.4% | Win 40%
Sharpe -0.98 | Sortino -1.21 | Calmar -0.7
Vol 51% | MDD -69.6%
Months 20M (9%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
RSI
only
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.5% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 29% | MDD -56.8%
Months 106M (48%)
CAGR -2.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 27% | MDD -38.5%
Months 90M (41%)
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
RSmean
neg
CAGR -1.3% | Win 50%
Sharpe 0.02 | Sortino 0.00 | Calmar -0.2
Vol 27% | MDD -5.4%
Months 2M (1%)
CAGR -46.3% | Win 41%
Sharpe -0.96 | Sortino -1.18 | Calmar -0.7
Vol 49% | MDD -69.6%
Months 22M (10%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
MACDhist
only
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.4% | Win 57%
Sharpe 0.50 | Sortino 0.76 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 111M (50%)
CAGR -8.1% | Win 47%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 29% | MDD -59.0%
Months 85M (39%)
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
RSmean
neg
CAGR 1.5% | Win 56%
Sharpe 0.20 | Sortino 0.45 | Calmar 0.1
Vol 38% | MDD -28.0%
Months 9M (4%)
CAGR -60.2% | Win 33%
Sharpe -1.44 | Sortino -1.64 | Calmar -0.9
Vol 51% | MDD -69.6%
Months 15M (7%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -3.0% | Win 47%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 28% | MDD -66.7%
Months 125M (57%)
CAGR 11.2% | Win 62%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 27% | MDD -34.4%
Months 71M (32%)
CAGR 1.9% | Win 53%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 196M (89%)
RSmean
neg
CAGR -49.4% | Win 37%
Sharpe -0.98 | Sortino -1.26 | Calmar -0.7
Vol 52% | MDD -69.6%
Months 19M (9%)
CAGR -13.7% | Win 60%
Sharpe -0.55 | Sortino -0.46 | Calmar -13.1
Vol 22% | MDD -1.0%
Months 5M (2%)
CAGR -43.5% | Win 42%
Sharpe -0.91 | Sortino -1.11 | Calmar -0.6
Vol 48% | MDD -69.6%
Months 24M (11%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -4.1% | Win 50%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -60.4%
Months 76M (34%)
CAGR 47.9% | Win 60%
Sharpe 1.77 | Sortino 6.96 | Calmar 6.6
Vol 24% | MDD -7.3%
Months 20M (9%)
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
MACD
neg
CAGR 30.4% | Win 57%
Sharpe 1.78 | Sortino 5.15 | Calmar 7.1
Vol 16% | MDD -4.3%
Months 14M (6%)
CAGR -15.3% | Win 50%
Sharpe -0.31 | Sortino -0.38 | Calmar -0.2
Vol 34% | MDD -86.2%
Months 110M (50%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
RSI
only
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.9% | Win 56%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.3
Vol 28% | MDD -34.9%
Months 66M (30%)
CAGR -5.2% | Win 43%
Sharpe -0.04 | Sortino -0.09 | Calmar -0.2
Vol 30% | MDD -26.4%
Months 30M (14%)
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
MACD
neg
CAGR -1.5% | Win 55%
Sharpe 0.10 | Sortino 0.11 | Calmar -0.0
Vol 28% | MDD -56.8%
Months 42M (19%)
CAGR -15.6% | Win 49%
Sharpe -0.31 | Sortino -0.38 | Calmar -0.2
Vol 34% | MDD -73.5%
Months 82M (37%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
MACDhist
only
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 13.7% | Win 62%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.4
Vol 31% | MDD -37.0%
Months 50M (23%)
CAGR -3.8% | Win 41%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 27% | MDD -30.0%
Months 46M (21%)
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
MACD
neg
CAGR 6.9% | Win 53%
Sharpe 0.39 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -45.7%
Months 70M (32%)
CAGR -30.0% | Win 48%
Sharpe -0.68 | Sortino -0.80 | Calmar -0.4
Vol 39% | MDD -84.0%
Months 54M (24%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.7% | Win 52%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -49.2%
Months 86M (39%)
CAGR 16.6% | Win 50%
Sharpe 0.60 | Sortino 0.94 | Calmar 1.1
Vol 35% | MDD -15.3%
Months 10M (4%)
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.1
Vol 29% | MDD -42.3%
Months 96M (44%)
MACD
neg
CAGR -29.0% | Win 36%
Sharpe -0.67 | Sortino -0.80 | Calmar -0.3
Vol 38% | MDD -84.8%
Months 58M (26%)
CAGR 8.3% | Win 64%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.3
Vol 25% | MDD -32.5%
Months 66M (30%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (56%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.7% | Win 56%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.3
Vol 27% | MDD -34.9%
Months 75M (34%)
CAGR -40.3% | Win 27%
Sharpe -1.67 | Sortino -3.47 | Calmar -0.8
Vol 28% | MDD -49.0%
Months 15M (7%)
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
RSI
neg
CAGR -7.7% | Win 55%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.1
Vol 32% | MDD -56.8%
Months 33M (15%)
CAGR -7.8% | Win 50%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 33% | MDD -70.2%
Months 97M (44%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
MACDhist
only
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 17.2% | Win 61%
Sharpe 0.71 | Sortino 1.02 | Calmar 0.5
Vol 28% | MDD -35.4%
Months 64M (29%)
CAGR -30.9% | Win 27%
Sharpe -1.33 | Sortino -2.42 | Calmar -0.6
Vol 25% | MDD -53.3%
Months 26M (12%)
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
RSI
neg
CAGR 1.7% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 27% | MDD -45.7%
Months 56M (26%)
CAGR -14.3% | Win 51%
Sharpe -0.22 | Sortino -0.26 | Calmar -0.2
Vol 36% | MDD -82.2%
Months 74M (34%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 52%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -42.2%
Months 84M (38%)
CAGR -34.6% | Win 33%
Sharpe -1.26 | Sortino -1.65 | Calmar -1.3
Vol 30% | MDD -27.7%
Months 6M (3%)
CAGR 0.6% | Win 51%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -56.5%
Months 90M (41%)
RSI
neg
CAGR -28.1% | Win 37%
Sharpe -0.64 | Sortino -0.79 | Calmar -0.3
Vol 38% | MDD -84.8%
Months 60M (27%)
CAGR 14.3% | Win 64%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 26% | MDD -32.5%
Months 70M (32%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (59%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 24.4% | Win 63%
Sharpe 0.96 | Sortino 1.42 | Calmar 1.0
Vol 27% | MDD -24.0%
Months 79M (36%)
CAGR -33.0% | Win 34%
Sharpe -1.18 | Sortino -1.41 | Calmar -0.6
Vol 30% | MDD -57.9%
Months 29M (13%)
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
MACDhist
neg
CAGR -14.0% | Win 44%
Sharpe -0.39 | Sortino -0.62 | Calmar -0.2
Vol 28% | MDD -60.4%
Months 41M (19%)
CAGR -12.4% | Win 49%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.2
Vol 35% | MDD -69.6%
Months 71M (32%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
RSIhist
only
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 2.7% | Win 52%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -49.0%
Months 91M (41%)
CAGR 21.0% | Win 76%
Sharpe 0.86 | Sortino 0.89 | Calmar 1.9
Vol 26% | MDD -10.8%
Months 17M (8%)
CAGR 5.4% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 108M (49%)
MACDhist
neg
CAGR -30.3% | Win 36%
Sharpe -0.73 | Sortino -0.95 | Calmar -0.4
Vol 38% | MDD -79.6%
Months 53M (24%)
CAGR 6.2% | Win 58%
Sharpe 0.36 | Sortino 0.61 | Calmar 0.2
Vol 27% | MDD -32.4%
Months 59M (27%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (51%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.4% | Win 55%
Sharpe 0.52 | Sortino 0.82 | Calmar 0.2
Vol 29% | MDD -47.8%
Months 83M (38%)
CAGR 6.0% | Win 60%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 25% | MDD -37.0%
Months 37M (17%)
CAGR 9.7% | Win 57%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -52.5%
Months 120M (54%)
RSIhist
neg
CAGR -34.4% | Win 33%
Sharpe -0.94 | Sortino -1.16 | Calmar -0.4
Vol 36% | MDD -88.2%
Months 61M (28%)
CAGR 12.7% | Win 64%
Sharpe 0.56 | Sortino 0.96 | Calmar 0.4
Vol 28% | MDD -29.2%
Months 39M (18%)
CAGR -19.0% | Win 45%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 100M (46%)
LWTI
only
CAGR -11.0% | Win 46%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 144M (66%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (34%)