ICLN - iShares Global Clean Energy ETF

Signal Pair Analysis

MACD-RSI

Best Pair

47.9%

Best CAGR

60

Total Months

-6.2%

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 9.4 47.9 60.0 1.8 7.0 6.6 24.0 -7.3
pair MACD RSI pos-neg 20 9.4 47.9 60.0 1.8 7.0 6.6 24.0 -7.3
pair RSI MACD neg-pos 14 6.6 30.4 57.1 1.8 5.2 7.1 15.7 -4.3
pair MACD RSI neg-pos 14 6.6 30.4 57.1 1.8 5.2 7.1 15.7 -4.3
pair MACDhist RSIhist pos-pos 75 35.4 23.5 62.7 0.9 1.4 1.0 26.0 -24.0
pair RSIhist MACDhist pos-pos 75 35.4 23.5 62.7 0.9 1.4 1.0 26.0 -24.0
pair MACD SLmean neg-pos 33 15.6 22.6 54.5 0.9 2.1 1.1 25.6 -19.7
pair SLmean MACD neg-pos 33 15.6 22.6 54.5 0.9 2.1 1.1 25.6 -19.7
pair SLmean MACDhist pos-pos 74 34.9 22.3 60.8 0.9 1.4 0.7 26.0 -32.7
pair MACDhist SLmean pos-pos 74 34.9 22.3 60.8 0.9 1.4 0.7 26.0 -32.7
pair MACDhist LWTI pos-neg 17 8.0 21.0 76.5 0.9 0.9 1.9 26.4 -10.8
pair LWTI MACDhist pos-neg 17 8.0 21.0 76.5 0.9 0.9 1.9 26.4 -10.8
pair MRmean MACDhist pos-pos 80 37.7 20.3 61.2 0.9 1.3 0.7 24.7 -29.8
pair MACDhist MRmean pos-pos 80 37.7 20.3 61.2 0.9 1.3 0.7 24.7 -29.8
pair RSI MACDhist pos-pos 67 31.6 16.7 58.2 0.7 1.1 0.6 25.7 -28.5
pair MACDhist RSI pos-pos 67 31.6 16.7 58.2 0.7 1.1 0.6 25.7 -28.5
pair LWTI MACD pos-neg 10 4.7 16.6 50.0 0.6 0.9 1.1 35.0 -15.3
pair MACD LWTI pos-neg 10 4.7 16.6 50.0 0.6 0.9 1.1 35.0 -15.3
pair RSIhist RSI pos-pos 60 28.3 15.6 60.0 0.7 0.9 0.4 27.0 -35.4
pair RSI RSIhist pos-pos 60 28.3 15.6 60.0 0.7 0.9 0.4 27.0 -35.4
pair MACDhist MACD pos-pos 58 27.4 15.4 58.6 0.7 1.0 0.5 27.2 -29.9
pair MACD MACDhist pos-pos 58 27.4 15.4 58.6 0.7 1.0 0.5 27.2 -29.9
pair MRmean SLmean pos-neg 8 3.8 15.0 62.5 1.0 2.0 2.7 14.8 -5.6
pair SLmean MRmean pos-neg 8 3.8 15.0 62.5 1.0 2.0 2.7 14.8 -5.6
pair LWTI SLmean neg-neg 44 20.8 14.3 61.4 0.6 1.1 0.4 28.2 -33.1
pair SLmean LWTI neg-neg 44 20.8 14.3 61.4 0.6 1.1 0.4 28.2 -33.1
pair LWTI RSI neg-neg 70 33.0 14.3 64.3 0.6 1.0 0.4 26.1 -32.5
pair RSI LWTI neg-neg 70 33.0 14.3 64.3 0.6 1.0 0.4 26.1 -32.5
pair LWTI MRmean neg-neg 57 26.9 14.2 63.2 0.6 1.1 0.4 27.3 -32.5
pair MRmean LWTI neg-neg 57 26.9 14.2 63.2 0.6 1.1 0.4 27.3 -32.5
pair RSIhist LWTI neg-neg 39 18.4 12.7 64.1 0.6 1.0 0.4 28.3 -29.2
pair LWTI RSIhist neg-neg 39 18.4 12.7 64.1 0.6 1.0 0.4 28.3 -29.2
pair SLmean RSIhist neg-pos 22 10.4 12.4 54.5 0.5 1.0 0.3 31.5 -37.5
pair RSIhist SLmean neg-pos 22 10.4 12.4 54.5 0.5 1.0 0.3 31.5 -37.5
pair MRmean MACD neg-pos 31 14.6 11.9 48.4 0.5 1.2 0.6 28.0 -19.7
pair MACD MRmean neg-pos 31 14.6 11.9 48.4 0.5 1.2 0.6 28.0 -19.7
pair RSIhist MACD pos-pos 46 21.7 11.5 60.9 0.5 0.8 0.3 29.7 -37.0
pair MACD RSIhist pos-pos 46 21.7 11.5 60.9 0.5 0.8 0.3 29.7 -37.0
pair RSmean LWTI pos-neg 71 33.5 11.2 62.0 0.5 0.8 0.3 26.9 -34.3
pair LWTI RSmean pos-neg 71 33.5 11.2 62.0 0.5 0.8 0.3 26.9 -34.3
pair MRmean RSI pos-pos 71 33.5 10.3 56.3 0.5 0.8 0.2 26.2 -49.4
pair RSI MRmean pos-pos 71 33.5 10.3 56.3 0.5 0.8 0.2 26.2 -49.4
pair RSmean MACD pos-pos 82 38.7 10.2 54.9 0.5 0.8 0.3 28.5 -32.6
pair MACD RSmean pos-pos 82 38.7 10.2 54.9 0.5 0.8 0.3 28.5 -32.6
pair RSIhist LWTI pos-pos 79 37.3 10.0 54.4 0.5 0.8 0.2 28.2 -47.8
pair LWTI RSIhist pos-pos 79 37.3 10.0 54.4 0.5 0.8 0.2 28.2 -47.8
single LWTI LWTI neg-neg 76 35.8 9.4 61.8 0.5 0.7 0.3 26.6 -32.6
pair RSIhist RSmean pos-pos 107 50.5 9.3 56.1 0.5 0.7 0.2 26.3 -51.3
pair RSmean MRmean pos-pos 92 43.4 9.3 55.4 0.5 0.7 0.2 25.4 -53.7
pair MRmean RSmean pos-pos 92 43.4 9.3 55.4 0.5 0.7 0.2 25.4 -53.7
pair RSmean RSIhist pos-pos 107 50.5 9.3 56.1 0.5 0.7 0.2 26.3 -51.3
pair RSIhist MRmean pos-pos 85 40.1 8.7 56.5 0.5 0.7 0.2 26.3 -48.4
single RSIhist RSIhist pos-pos 116 54.7 8.7 56.0 0.4 0.7 0.2 27.1 -52.5
pair MRmean RSIhist pos-pos 85 40.1 8.7 56.5 0.5 0.7 0.2 26.3 -48.4
pair MRmean RSIhist neg-pos 31 14.6 8.6 54.8 0.4 0.7 0.3 29.8 -30.8
pair RSIhist MRmean neg-pos 31 14.6 8.6 54.8 0.4 0.7 0.3 29.8 -30.8
pair MACD LWTI neg-neg 66 31.1 8.3 63.6 0.4 0.7 0.3 25.4 -32.5
pair LWTI MACD neg-neg 66 31.1 8.3 63.6 0.4 0.7 0.3 25.4 -32.5
pair RSmean MACDhist pos-pos 98 46.2 8.2 57.1 0.4 0.6 0.1 27.9 -56.8
pair MACDhist RSmean pos-pos 98 46.2 8.2 57.1 0.4 0.6 0.1 27.9 -56.8
single MACDhist MACDhist pos-pos 100 47.2 8.0 57.0 0.4 0.6 0.1 27.7 -56.8
single MACD MACD pos-pos 88 41.5 7.9 53.4 0.4 0.7 0.2 28.0 -38.2
pair RSIhist SLmean pos-pos 94 44.3 7.8 56.4 0.4 0.6 0.1 26.2 -52.5
pair SLmean RSIhist pos-pos 94 44.3 7.8 56.4 0.4 0.6 0.1 26.2 -52.5
pair LWTI RSI pos-pos 76 35.8 7.0 53.9 0.4 0.6 0.2 26.7 -42.2
pair RSI LWTI pos-pos 76 35.8 7.0 53.9 0.4 0.6 0.2 26.7 -42.2
pair MACD RSIhist neg-pos 70 33.0 6.9 52.9 0.4 0.6 0.1 25.5 -45.7
pair RSIhist MACD neg-pos 70 33.0 6.9 52.9 0.4 0.6 0.1 25.5 -45.7
pair LWTI MACD pos-pos 78 36.8 6.9 53.8 0.4 0.7 0.1 27.2 -45.6
pair MACD LWTI pos-pos 78 36.8 6.9 53.8 0.4 0.7 0.1 27.2 -45.6
pair SLmean RSmean pos-pos 98 46.2 6.6 54.1 0.4 0.6 0.1 26.1 -64.2
pair RSmean SLmean pos-pos 98 46.2 6.6 54.1 0.4 0.6 0.1 26.1 -64.2
pair LWTI MACDhist neg-neg 59 27.8 6.2 57.6 0.4 0.6 0.2 26.8 -32.4
pair MACDhist LWTI neg-neg 59 27.8 6.2 57.6 0.4 0.6 0.2 26.8 -32.4
pair LWTI MRmean pos-pos 78 36.8 6.1 52.6 0.4 0.6 0.1 26.4 -40.9
pair MRmean LWTI pos-pos 78 36.8 6.1 52.6 0.4 0.6 0.1 26.4 -40.9
pair RSIhist LWTI pos-neg 37 17.5 6.0 59.5 0.3 0.5 0.2 25.0 -37.0
pair LWTI RSIhist pos-neg 37 17.5 6.0 59.5 0.3 0.5 0.2 25.0 -37.0
pair MACD MRmean pos-pos 57 26.9 5.8 56.1 0.3 0.6 0.1 28.2 -50.7
pair MRmean MACD pos-pos 57 26.9 5.8 56.1 0.3 0.6 0.1 28.2 -50.7
pair RSI SLmean pos-pos 67 31.6 5.7 53.7 0.3 0.5 0.1 27.4 -55.9
pair SLmean RSI pos-pos 67 31.6 5.7 53.7 0.3 0.5 0.1 27.4 -55.9
pair MACDhist LWTI pos-pos 83 39.2 5.5 53.0 0.3 0.5 0.1 28.1 -49.0
pair LWTI MACDhist pos-pos 83 39.2 5.5 53.0 0.3 0.5 0.1 28.1 -49.0
pair MACD SLmean pos-neg 52 24.5 4.4 53.8 0.3 0.4 0.1 22.7 -33.2
pair SLmean MACD pos-neg 52 24.5 4.4 53.8 0.3 0.4 0.1 22.7 -33.2
pair MACD RSIhist pos-neg 42 19.8 4.2 45.2 0.3 0.7 0.2 26.2 -26.6
pair RSIhist MACD pos-neg 42 19.8 4.2 45.2 0.3 0.7 0.2 26.2 -26.6
single MRmean MRmean pos-pos 97 45.8 4.1 53.6 0.3 0.4 0.1 25.9 -59.6
pair RSmean RSI pos-pos 78 36.8 4.0 52.6 0.3 0.5 0.1 27.3 -52.4
pair RSI RSmean pos-pos 78 36.8 4.0 52.6 0.3 0.5 0.1 27.3 -52.4
single RSI RSI pos-pos 82 38.7 3.2 52.4 0.2 0.4 0.1 27.0 -56.5
single RSmean RSmean pos-pos 188 88.7 3.2 53.2 0.2 0.4 0.1 27.5 -66.0
pair SLmean MRmean pos-pos 89 42.0 3.1 52.8 0.2 0.4 0.1 26.8 -61.3
pair MRmean SLmean pos-pos 89 42.0 3.1 52.8 0.2 0.4 0.1 26.8 -61.3
pair SLmean LWTI pos-neg 32 15.1 2.9 62.5 0.2 0.3 0.1 24.5 -44.9
pair LWTI SLmean pos-neg 32 15.1 2.9 62.5 0.2 0.3 0.1 24.5 -44.9
pair RSmean RSI pos-neg 110 51.9 2.6 53.6 0.2 0.3 0.0 27.8 -66.0
pair RSI RSmean pos-neg 110 51.9 2.6 53.6 0.2 0.3 0.0 27.8 -66.0
single SLmean SLmean pos-pos 107 50.5 2.1 53.3 0.2 0.3 0.0 26.2 -69.3
pair LWTI SLmean pos-pos 75 35.4 1.8 49.3 0.2 0.3 0.0 27.1 -46.4
pair SLmean LWTI pos-pos 75 35.4 1.8 49.3 0.2 0.3 0.0 27.1 -46.4
pair RSI RSIhist neg-pos 56 26.4 1.7 51.8 0.2 0.3 0.0 27.4 -45.7
pair RSIhist RSI neg-pos 56 26.4 1.7 51.8 0.2 0.3 0.0 27.4 -45.7
pair MACD MRmean pos-neg 40 18.9 1.6 50.0 0.2 0.3 0.1 22.6 -25.4
pair MRmean MACD pos-neg 40 18.9 1.6 50.0 0.2 0.3 0.1 22.6 -25.4
pair RSIhist RSmean neg-pos 9 4.2 1.5 55.6 0.2 0.5 0.1 38.1 -28.0
pair RSmean RSIhist neg-pos 9 4.2 1.5 55.6 0.2 0.5 0.1 38.1 -28.0
pair SLmean MACD pos-pos 55 25.9 -0.0 52.7 0.1 0.2 -0.0 29.3 -59.3
pair MACD SLmean pos-pos 55 25.9 -0.0 52.7 0.1 0.2 -0.0 29.3 -59.3
pair RSmean SLmean neg-pos 90 42.5 -0.4 52.2 0.1 0.2 -0.0 29.1 -66.4
pair SLmean RSmean neg-pos 90 42.5 -0.4 52.2 0.1 0.2 -0.0 29.1 -66.4
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 MACD MACDhist neg-pos 42 19.8 -1.5 54.8 0.1 0.1 -0.0 28.5 -56.8
pair MACDhist MACD neg-pos 42 19.8 -1.5 54.8 0.1 0.1 -0.0 28.5 -56.8
pair LWTI RSmean pos-pos 117 55.2 -1.5 47.9 0.1 0.1 -0.0 27.9 -66.7
pair RSmean LWTI pos-pos 117 55.2 -1.5 47.9 0.1 0.1 -0.0 27.9 -66.7
pair RSI MACD pos-pos 68 32.1 -1.6 51.5 0.1 0.1 -0.0 28.7 -57.6
pair MACD RSI pos-pos 68 32.1 -1.6 51.5 0.1 0.1 -0.0 28.7 -57.6
pair MACD RSmean pos-neg 106 50.0 -2.0 51.9 0.1 0.1 -0.0 26.8 -66.0
pair RSmean MACD pos-neg 106 50.0 -2.0 51.9 0.1 0.1 -0.0 26.8 -66.0
pair RSmean MACDhist pos-neg 90 42.5 -2.1 48.9 0.1 0.1 -0.1 27.2 -38.5
pair MACDhist RSmean pos-neg 90 42.5 -2.1 48.9 0.1 0.1 -0.1 27.2 -38.5
pair RSmean MRmean neg-pos 96 45.3 -2.4 51.0 0.1 0.1 -0.0 29.5 -64.3
pair MRmean RSmean neg-pos 96 45.3 -2.4 51.0 0.1 0.1 -0.0 29.5 -64.3
pair MRmean SLmean neg-pos 18 8.5 -2.8 55.6 -0.0 -0.0 -0.1 23.9 -27.6
pair SLmean MRmean neg-pos 18 8.5 -2.8 55.6 -0.0 -0.0 -0.1 23.9 -27.6
pair SLmean MACDhist neg-neg 79 37.3 -3.6 51.9 0.1 0.1 -0.1 35.9 -69.6
pair MACDhist SLmean neg-neg 79 37.3 -3.6 51.9 0.1 0.1 -0.1 35.9 -69.6
pair SLmean RSI pos-neg 40 18.9 -3.6 52.5 -0.0 -0.1 -0.1 24.4 -35.9
pair RSI SLmean pos-neg 40 18.9 -3.6 52.5 -0.0 -0.1 -0.1 24.4 -35.9
pair benchmark___benchmark_ benchmark-benchmark 212 100.0 -3.6 51.9 0.0 0.1 -0.0 30.6 -86.2
pair benchmark___benchmark_ benchmark-benchmark 212 100.0 -3.6 51.9 0.0 0.1 -0.0 30.6 -86.2
pair LWTI MRmean pos-neg 19 9.0 -4.0 57.9 -0.1 -0.1 -0.1 24.4 -31.6
pair MRmean LWTI pos-neg 19 9.0 -4.0 57.9 -0.1 -0.1 -0.1 24.4 -31.6
pair RSmean RSIhist pos-neg 81 38.2 -4.5 49.4 -0.0 -0.0 -0.1 29.1 -59.0
pair RSIhist RSmean pos-neg 81 38.2 -4.5 49.4 -0.0 -0.0 -0.1 29.1 -59.0
pair MACDhist MRmean neg-neg 95 44.8 -4.7 52.6 0.0 0.1 -0.1 33.7 -69.6
pair MRmean MACDhist neg-neg 95 44.8 -4.7 52.6 0.0 0.1 -0.1 33.7 -69.6
pair MACDhist MACD pos-neg 30 14.2 -5.2 43.3 -0.0 -0.1 -0.2 29.5 -26.4
pair MACD MACDhist pos-neg 30 14.2 -5.2 43.3 -0.0 -0.1 -0.2 29.5 -26.4
pair RSI MRmean neg-neg 104 49.1 -6.8 52.9 -0.0 -0.0 -0.1 34.5 -81.7
pair MRmean RSI neg-neg 104 49.1 -6.8 52.9 -0.0 -0.0 -0.1 34.5 -81.7
pair SLmean RSI neg-pos 15 7.1 -7.2 46.7 -0.2 -0.3 -0.3 25.8 -22.5
pair RSI SLmean neg-pos 15 7.1 -7.2 46.7 -0.2 -0.3 -0.3 25.8 -22.5
single RSI RSI neg-neg 130 61.3 -7.7 51.5 -0.1 -0.1 -0.1 32.8 -86.2
pair MACDhist RSI neg-pos 33 15.6 -7.7 54.5 -0.1 -0.1 -0.1 31.5 -56.8
pair RSI MACDhist neg-pos 33 15.6 -7.7 54.5 -0.1 -0.1 -0.1 31.5 -56.8
pair MACDhist RSI neg-neg 97 45.8 -7.8 50.5 -0.1 -0.1 -0.1 33.4 -70.2
pair RSI MACDhist neg-neg 97 45.8 -7.8 50.5 -0.1 -0.1 -0.1 33.4 -70.2
single SLmean SLmean neg-neg 105 49.5 -9.2 50.5 -0.1 -0.1 -0.1 34.6 -82.2
pair SLmean RSI neg-neg 90 42.5 -9.5 51.1 -0.1 -0.1 -0.1 36.0 -82.2
pair RSI SLmean neg-neg 90 42.5 -9.5 51.1 -0.1 -0.1 -0.1 36.0 -82.2
single MRmean MRmean neg-neg 115 54.2 -9.7 50.4 -0.1 -0.1 -0.1 34.1 -81.7
single LWTI LWTI pos-pos 136 64.2 -10.2 46.3 -0.1 -0.2 -0.1 32.6 -86.5
pair RSmean RSI neg-pos 4 1.9 -10.7 50.0 -0.4 -3.7 -0.8 23.1 -12.6
pair RSI RSmean neg-pos 4 1.9 -10.7 50.0 -0.4 -3.7 -0.8 23.1 -12.6
pair MRmean SLmean neg-neg 97 45.8 -10.9 49.5 -0.1 -0.2 -0.1 35.8 -81.5
pair SLmean MRmean neg-neg 97 45.8 -10.9 49.5 -0.1 -0.2 -0.1 35.8 -81.5
single MACD MACD neg-neg 124 58.5 -11.1 50.8 -0.2 -0.2 -0.1 32.3 -86.2
pair RSI MRmean pos-neg 26 12.3 -11.2 46.2 -0.3 -0.5 -0.4 25.1 -28.5
pair MRmean RSI pos-neg 26 12.3 -11.2 46.2 -0.3 -0.5 -0.4 25.1 -28.5
pair RSIhist MACDhist neg-neg 71 33.5 -12.4 49.3 -0.2 -0.2 -0.2 35.4 -69.6
pair MACDhist RSIhist neg-neg 71 33.5 -12.4 49.3 -0.2 -0.2 -0.2 35.4 -69.6
single MACDhist MACDhist neg-neg 112 52.8 -13.0 47.3 -0.2 -0.3 -0.2 32.9 -76.8
pair LWTI RSmean neg-neg 5 2.4 -13.7 60.0 -0.6 -0.5 -13.1 22.5 -1.0
pair RSmean LWTI neg-neg 5 2.4 -13.7 60.0 -0.6 -0.5 -13.1 22.5 -1.0
pair MACDhist RSIhist neg-pos 41 19.3 -14.0 43.9 -0.4 -0.6 -0.2 28.3 -60.4
pair RSIhist MACDhist neg-pos 41 19.3 -14.0 43.9 -0.4 -0.6 -0.2 28.3 -60.4
pair SLmean RSIhist neg-neg 83 39.2 -14.1 49.4 -0.2 -0.3 -0.2 35.5 -83.5
pair RSIhist SLmean neg-neg 83 39.2 -14.1 49.4 -0.2 -0.3 -0.2 35.5 -83.5
pair RSI RSIhist neg-neg 74 34.9 -14.3 51.4 -0.2 -0.3 -0.2 36.4 -82.2
pair RSIhist RSI neg-neg 74 34.9 -14.3 51.4 -0.2 -0.3 -0.2 36.4 -82.2
pair RSI MACD neg-neg 110 51.9 -15.3 50.0 -0.3 -0.4 -0.2 33.7 -86.2
pair MACD RSI neg-neg 110 51.9 -15.3 50.0 -0.3 -0.4 -0.2 33.7 -86.2
pair MRmean RSIhist neg-neg 84 39.6 -15.6 48.8 -0.3 -0.3 -0.2 35.6 -82.5
pair RSIhist MRmean neg-neg 84 39.6 -15.6 48.8 -0.3 -0.3 -0.2 35.6 -82.5
pair MACD MACDhist neg-neg 82 38.7 -15.6 48.8 -0.3 -0.4 -0.2 34.2 -73.5
pair MACDhist MACD neg-neg 82 38.7 -15.6 48.8 -0.3 -0.4 -0.2 34.2 -73.5
pair MRmean MACD neg-neg 84 39.6 -16.5 51.2 -0.3 -0.4 -0.2 36.1 -81.7
pair MACD MRmean neg-neg 84 39.6 -16.5 51.2 -0.3 -0.4 -0.2 36.1 -81.7
single RSIhist RSIhist neg-neg 96 45.3 -16.7 46.9 -0.3 -0.4 -0.2 34.1 -84.6
pair RSmean MACD neg-pos 6 2.8 -18.8 33.3 -1.0 -2.1 -1.3 19.1 -14.6
pair MACD RSmean neg-pos 6 2.8 -18.8 33.3 -1.0 -2.1 -1.3 19.1 -14.6
pair SLmean MACD neg-neg 72 34.0 -20.8 48.6 -0.4 -0.5 -0.2 37.7 -82.2
pair MACD SLmean neg-neg 72 34.0 -20.8 48.6 -0.4 -0.5 -0.2 37.7 -82.2
pair SLmean LWTI neg-pos 61 28.8 -23.1 42.6 -0.5 -0.6 -0.3 38.3 -80.7
pair LWTI SLmean neg-pos 61 28.8 -23.1 42.6 -0.5 -0.6 -0.3 38.3 -80.7
pair MRmean RSIhist pos-neg 12 5.7 -23.6 33.3 -1.1 -2.3 -1.1 22.1 -21.7
pair RSIhist MRmean pos-neg 12 5.7 -23.6 33.3 -1.1 -2.3 -1.1 22.1 -21.7
pair RSI RSIhist pos-neg 22 10.4 -24.2 31.8 -1.0 -2.1 -0.6 25.2 -40.1
pair RSIhist RSI pos-neg 22 10.4 -24.2 31.8 -1.0 -2.1 -0.6 25.2 -40.1
pair MACDhist SLmean neg-pos 26 12.3 -24.2 46.2 -0.7 -0.8 -0.5 30.6 -52.8
pair SLmean MACDhist neg-pos 26 12.3 -24.2 46.2 -0.7 -0.8 -0.5 30.6 -52.8
pair RSIhist MACDhist pos-neg 25 11.8 -27.8 40.0 -0.9 -1.0 -0.6 30.3 -50.1
pair MACDhist RSIhist pos-neg 25 11.8 -27.8 40.0 -0.9 -1.0 -0.6 30.3 -50.1
pair RSI LWTI neg-pos 60 28.3 -28.1 36.7 -0.6 -0.8 -0.3 38.4 -84.8
pair LWTI RSI neg-pos 60 28.3 -28.1 36.7 -0.6 -0.8 -0.3 38.4 -84.8
pair MRmean LWTI neg-pos 58 27.4 -28.3 37.9 -0.6 -0.8 -0.3 39.0 -83.0
pair LWTI MRmean neg-pos 58 27.4 -28.3 37.9 -0.6 -0.8 -0.3 39.0 -83.0
pair LWTI MACD neg-pos 58 27.4 -29.0 36.2 -0.7 -0.8 -0.3 38.2 -84.8
pair MACD LWTI neg-pos 58 27.4 -29.0 36.2 -0.7 -0.8 -0.3 38.2 -84.8
pair MACDhist MRmean neg-pos 20 9.4 -29.9 40.0 -0.8 -1.0 -0.6 35.9 -46.5
pair MRmean MACDhist neg-pos 20 9.4 -29.9 40.0 -0.8 -1.0 -0.6 35.9 -46.5
pair RSIhist MACD neg-neg 54 25.5 -30.0 48.1 -0.7 -0.8 -0.4 38.9 -84.0
pair MACD RSIhist neg-neg 54 25.5 -30.0 48.1 -0.7 -0.8 -0.4 38.9 -84.0
pair MACDhist LWTI neg-pos 53 25.0 -30.3 35.8 -0.7 -0.9 -0.4 38.0 -79.6
pair LWTI MACDhist neg-pos 53 25.0 -30.3 35.8 -0.7 -0.9 -0.4 38.0 -79.6
pair SLmean RSIhist pos-neg 13 6.1 -31.2 30.8 -1.4 -3.1 -0.9 24.1 -35.4
pair RSIhist SLmean pos-neg 13 6.1 -31.2 30.8 -1.4 -3.1 -0.9 24.1 -35.4
pair MACDhist SLmean pos-neg 33 15.6 -31.9 36.4 -1.5 -2.1 -0.5 22.9 -69.6
pair SLmean MACDhist pos-neg 33 15.6 -31.9 36.4 -1.5 -2.1 -0.5 22.9 -69.6
pair LWTI RSIhist neg-pos 57 26.9 -32.2 35.1 -0.8 -1.0 -0.4 36.9 -85.4
pair RSIhist LWTI neg-pos 57 26.9 -32.2 35.1 -0.8 -1.0 -0.4 36.9 -85.4
pair RSI MRmean neg-pos 11 5.2 -32.7 27.3 -1.2 -2.5 -1.1 29.9 -30.7
pair MRmean RSI neg-pos 11 5.2 -32.7 27.3 -1.2 -2.5 -1.1 29.9 -30.7
pair RSI LWTI pos-neg 6 2.8 -34.6 33.3 -1.3 -1.6 -1.2 30.0 -27.7
pair LWTI RSI pos-neg 6 2.8 -34.6 33.3 -1.3 -1.6 -1.2 30.0 -27.7
pair RSmean SLmean pos-neg 9 4.2 -35.9 44.4 -1.7 -3.2 -1.7 24.4 -21.5
pair SLmean RSmean pos-neg 9 4.2 -35.9 44.4 -1.7 -3.2 -1.7 24.4 -21.5
pair MRmean RSmean neg-neg 19 9.0 -39.1 47.4 -0.7 -0.7 -0.6 51.8 -69.6
pair RSmean MRmean neg-neg 19 9.0 -39.1 47.4 -0.7 -0.7 -0.6 51.8 -69.6
pair MACDhist RSI pos-neg 15 7.1 -40.3 26.7 -1.7 -3.5 -0.8 28.0 -49.0
pair RSI MACDhist pos-neg 15 7.1 -40.3 26.7 -1.7 -3.5 -0.8 28.0 -49.0
single RSmean RSmean neg-neg 24 11.3 -43.5 41.7 -0.9 -1.1 -0.6 47.5 -69.6
pair MACDhist RSmean neg-neg 22 10.4 -46.3 40.9 -1.0 -1.2 -0.7 49.1 -69.6
pair RSmean MACDhist neg-neg 22 10.4 -46.3 40.9 -1.0 -1.2 -0.7 49.1 -69.6
pair MRmean MACDhist pos-neg 17 8.0 -47.5 17.6 -2.6 -3.7 -0.8 23.1 -56.0
pair MACDhist MRmean pos-neg 17 8.0 -47.5 17.6 -2.6 -3.7 -0.8 23.1 -56.0
pair RSmean SLmean neg-neg 15 7.1 -47.6 40.0 -0.8 -0.9 -0.7 57.9 -69.6
pair SLmean RSmean neg-neg 15 7.1 -47.6 40.0 -0.8 -0.9 -0.7 57.9 -69.6
pair RSmean RSI neg-neg 20 9.4 -48.4 40.0 -1.0 -1.2 -0.7 51.2 -69.6
pair RSI RSmean neg-neg 20 9.4 -48.4 40.0 -1.0 -1.2 -0.7 51.2 -69.6
pair LWTI RSmean neg-pos 19 9.0 -49.4 36.8 -1.0 -1.3 -0.7 52.3 -69.6
pair RSmean LWTI neg-pos 19 9.0 -49.4 36.8 -1.0 -1.3 -0.7 52.3 -69.6
pair MACD RSmean neg-neg 18 8.5 -49.9 44.4 -0.9 -1.2 -0.7 54.0 -69.6
pair RSmean MACD neg-neg 18 8.5 -49.9 44.4 -0.9 -1.2 -0.7 54.0 -69.6
pair MRmean RSmean pos-neg 5 2.4 -57.5 20.0 -3.1 -6.2 -2.8 26.0 -20.3
pair RSmean MRmean pos-neg 5 2.4 -57.5 20.0 -3.1 -6.2 -2.8 26.0 -20.3
pair RSIhist RSmean neg-neg 15 7.1 -60.2 33.3 -1.4 -1.6 -0.9 51.5 -69.6
pair RSmean RSIhist neg-neg 15 7.1 -60.2 33.3 -1.4 -1.6 -0.9 51.5 -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 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -61.3%
Months 89M (42%)
CAGR 15.0% | Win 62%
Sharpe 1.01 | Sortino 2.05 | Calmar 2.7
Vol 15% | MDD -5.6%
Months 8M (4%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (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 -10.9% | Win 50%
Sharpe -0.13 | Sortino -0.16 | Calmar -0.1
Vol 36% | MDD -81.5%
Months 97M (46%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
SLmean
only
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 55%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 25% | MDD -53.7%
Months 92M (43%)
CAGR -57.5% | Win 20%
Sharpe -3.07 | Sortino -6.20 | Calmar -2.8
Vol 26% | MDD -20.3%
Months 5M (2%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR -2.4% | Win 51%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 30% | MDD -64.3%
Months 96M (45%)
CAGR -39.1% | Win 47%
Sharpe -0.65 | Sortino -0.73 | Calmar -0.6
Vol 52% | MDD -69.6%
Months 19M (9%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
RSmean
only
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 5.8% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 28% | MDD -50.7%
Months 57M (27%)
CAGR 1.6% | Win 50%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 23% | MDD -25.4%
Months 40M (19%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR 11.9% | Win 48%
Sharpe 0.54 | Sortino 1.20 | Calmar 0.6
Vol 28% | MDD -19.7%
Months 31M (15%)
CAGR -16.5% | Win 51%
Sharpe -0.30 | Sortino -0.36 | Calmar -0.2
Vol 36% | MDD -81.7%
Months 84M (40%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
MACD
only
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 56%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 26% | MDD -49.4%
Months 71M (34%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.52 | Calmar -0.4
Vol 25% | MDD -28.5%
Months 26M (12%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR -32.7% | Win 27%
Sharpe -1.17 | Sortino -2.46 | Calmar -1.1
Vol 30% | MDD -30.7%
Months 11M (5%)
CAGR -6.8% | Win 53%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 104M (49%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
RSI
only
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 20.3% | Win 61%
Sharpe 0.88 | Sortino 1.31 | Calmar 0.7
Vol 25% | MDD -29.8%
Months 80M (38%)
CAGR -47.5% | Win 18%
Sharpe -2.60 | Sortino -3.66 | Calmar -0.8
Vol 23% | MDD -56.0%
Months 17M (8%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR -29.9% | Win 40%
Sharpe -0.79 | Sortino -1.01 | Calmar -0.6
Vol 36% | MDD -46.5%
Months 20M (9%)
CAGR -4.7% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 34% | MDD -69.6%
Months 95M (45%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
MACDhist
only
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 56%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 26% | MDD -48.4%
Months 85M (40%)
CAGR -23.6% | Win 33%
Sharpe -1.10 | Sortino -2.30 | Calmar -1.1
Vol 22% | MDD -21.7%
Months 12M (6%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR 8.6% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.3
Vol 30% | MDD -30.8%
Months 31M (15%)
CAGR -15.6% | Win 49%
Sharpe -0.28 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -82.5%
Months 84M (40%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
RSIhist
only
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.1% | Win 53%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 26% | MDD -40.9%
Months 78M (37%)
CAGR -4.0% | Win 58%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 24% | MDD -31.6%
Months 19M (9%)
CAGR 4.1% | Win 54%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -59.6%
Months 97M (46%)
MRmean
neg
CAGR -28.3% | Win 38%
Sharpe -0.63 | Sortino -0.78 | Calmar -0.3
Vol 39% | MDD -83.0%
Months 58M (27%)
CAGR 14.2% | Win 63%
Sharpe 0.62 | Sortino 1.07 | Calmar 0.4
Vol 27% | MDD -32.5%
Months 57M (27%)
CAGR -9.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 34% | MDD -81.7%
Months 115M (54%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 6.6% | Win 54%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 26% | MDD -64.2%
Months 98M (46%)
CAGR -35.9% | Win 44%
Sharpe -1.68 | Sortino -3.16 | Calmar -1.7
Vol 24% | MDD -21.5%
Months 9M (4%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
SLmean
neg
CAGR -0.4% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 29% | MDD -66.4%
Months 90M (42%)
CAGR -47.6% | Win 40%
Sharpe -0.77 | Sortino -0.94 | Calmar -0.7
Vol 58% | MDD -69.6%
Months 15M (7%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
RSmean
only
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 -0.0% | Win 53%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 29% | MDD -59.3%
Months 55M (26%)
CAGR 4.4% | Win 54%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 23% | MDD -33.2%
Months 52M (24%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
SLmean
neg
CAGR 22.6% | Win 55%
Sharpe 0.92 | Sortino 2.07 | Calmar 1.1
Vol 26% | MDD -19.7%
Months 33M (16%)
CAGR -20.8% | Win 49%
Sharpe -0.41 | Sortino -0.50 | Calmar -0.3
Vol 38% | MDD -82.2%
Months 72M (34%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
MACD
only
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.7% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 27% | MDD -55.9%
Months 67M (32%)
CAGR -3.6% | Win 52%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 24% | MDD -35.9%
Months 40M (19%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
SLmean
neg
CAGR -7.2% | Win 47%
Sharpe -0.17 | Sortino -0.32 | Calmar -0.3
Vol 26% | MDD -22.5%
Months 15M (7%)
CAGR -9.5% | Win 51%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.1
Vol 36% | MDD -82.2%
Months 90M (42%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
RSI
only
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 22.3% | Win 61%
Sharpe 0.91 | Sortino 1.39 | Calmar 0.7
Vol 26% | MDD -32.7%
Months 74M (35%)
CAGR -31.9% | Win 36%
Sharpe -1.53 | Sortino -2.15 | Calmar -0.5
Vol 23% | MDD -69.6%
Months 33M (16%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
SLmean
neg
CAGR -24.2% | Win 46%
Sharpe -0.73 | Sortino -0.84 | Calmar -0.5
Vol 31% | MDD -52.8%
Months 26M (12%)
CAGR -3.6% | Win 52%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -69.6%
Months 79M (37%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
MACDhist
only
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 26% | MDD -52.5%
Months 94M (44%)
CAGR -31.2% | Win 31%
Sharpe -1.42 | Sortino -3.06 | Calmar -0.9
Vol 24% | MDD -35.4%
Months 13M (6%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (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 -14.1% | Win 49%
Sharpe -0.23 | Sortino -0.28 | Calmar -0.2
Vol 36% | MDD -83.5%
Months 83M (39%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
RSIhist
only
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 49%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 27% | MDD -46.4%
Months 75M (35%)
CAGR 2.9% | Win 62%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 24% | MDD -44.9%
Months 32M (15%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -69.3%
Months 107M (50%)
SLmean
neg
CAGR -23.1% | Win 43%
Sharpe -0.47 | Sortino -0.56 | Calmar -0.3
Vol 38% | MDD -80.7%
Months 61M (29%)
CAGR 14.3% | Win 61%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.4
Vol 28% | MDD -33.1%
Months 44M (21%)
CAGR -9.2% | Win 50%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 35% | MDD -82.2%
Months 105M (50%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 55%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.3
Vol 28% | MDD -32.6%
Months 82M (39%)
CAGR -2.0% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 27% | MDD -66.0%
Months 106M (50%)
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 53%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -52.4%
Months 78M (37%)
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 110M (52%)
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 57%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 98M (46%)
CAGR -2.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 27% | MDD -38.5%
Months 90M (42%)
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.3% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -51.3%
Months 107M (50%)
CAGR -4.5% | Win 49%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -59.0%
Months 81M (38%)
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 52% | 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 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -1.5% | Win 48%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 28% | MDD -66.7%
Months 117M (55%)
CAGR 11.2% | Win 62%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 27% | MDD -34.3%
Months 71M (34%)
CAGR 3.2% | Win 53%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 28% | MDD -66.0%
Months 188M (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 -0.56 | 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 -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -1.6% | Win 52%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -57.6%
Months 68M (32%)
CAGR 47.9% | Win 60%
Sharpe 1.77 | Sortino 6.95 | Calmar 6.6
Vol 24% | MDD -7.3%
Months 20M (9%)
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
MACD
neg
CAGR 30.4% | Win 57%
Sharpe 1.78 | Sortino 5.16 | Calmar 7.1
Vol 16% | MDD -4.3%
Months 14M (7%)
CAGR -15.3% | Win 50%
Sharpe -0.31 | Sortino -0.38 | Calmar -0.2
Vol 34% | MDD -86.2%
Months 110M (52%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
RSI
only
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 15.4% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.5
Vol 27% | MDD -29.9%
Months 58M (27%)
CAGR -5.2% | Win 43%
Sharpe -0.04 | Sortino -0.09 | Calmar -0.2
Vol 30% | MDD -26.4%
Months 30M (14%)
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
MACD
neg
CAGR -1.5% | Win 55%
Sharpe 0.10 | Sortino 0.11 | Calmar -0.0
Vol 28% | MDD -56.8%
Months 42M (20%)
CAGR -15.6% | Win 49%
Sharpe -0.31 | Sortino -0.38 | Calmar -0.2
Vol 34% | MDD -73.5%
Months 82M (39%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
MACDhist
only
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.5% | Win 61%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.3
Vol 30% | MDD -37.0%
Months 46M (22%)
CAGR 4.2% | Win 45%
Sharpe 0.28 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -26.6%
Months 42M (20%)
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
MACD
neg
CAGR 6.9% | Win 53%
Sharpe 0.39 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -45.7%
Months 70M (33%)
CAGR -30.0% | Win 48%
Sharpe -0.68 | Sortino -0.80 | Calmar -0.4
Vol 39% | MDD -84.0%
Months 54M (26%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
RSIhist
only
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.9% | Win 54%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.1
Vol 27% | MDD -45.6%
Months 78M (37%)
CAGR 16.6% | Win 50%
Sharpe 0.60 | Sortino 0.94 | Calmar 1.1
Vol 35% | MDD -15.3%
Months 10M (5%)
CAGR 7.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -38.2%
Months 88M (42%)
MACD
neg
CAGR -29.0% | Win 36%
Sharpe -0.67 | Sortino -0.80 | Calmar -0.3
Vol 38% | MDD -84.8%
Months 58M (27%)
CAGR 8.3% | Win 64%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.3
Vol 25% | MDD -32.5%
Months 66M (31%)
CAGR -11.1% | Win 51%
Sharpe -0.19 | Sortino -0.22 | Calmar -0.1
Vol 32% | MDD -86.2%
Months 124M (58%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.7% | Win 58%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.6
Vol 26% | MDD -28.5%
Months 67M (32%)
CAGR -40.3% | Win 27%
Sharpe -1.67 | Sortino -3.47 | Calmar -0.8
Vol 28% | MDD -49.0%
Months 15M (7%)
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
RSI
neg
CAGR -7.7% | Win 55%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.1
Vol 32% | MDD -56.8%
Months 33M (16%)
CAGR -7.8% | Win 50%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 33% | MDD -70.2%
Months 97M (46%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
MACDhist
only
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.6% | Win 60%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.4
Vol 27% | MDD -35.4%
Months 60M (28%)
CAGR -24.2% | Win 32%
Sharpe -0.97 | Sortino -2.07 | Calmar -0.6
Vol 25% | MDD -40.1%
Months 22M (10%)
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
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 (35%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
RSIhist
only
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.0% | Win 54%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.2
Vol 27% | MDD -42.2%
Months 76M (36%)
CAGR -34.6% | Win 33%
Sharpe -1.26 | Sortino -1.65 | Calmar -1.3
Vol 30% | MDD -27.7%
Months 6M (3%)
CAGR 3.2% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 82M (39%)
RSI
neg
CAGR -28.1% | Win 37%
Sharpe -0.64 | Sortino -0.79 | Calmar -0.3
Vol 38% | MDD -84.8%
Months 60M (28%)
CAGR 14.3% | Win 64%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 26% | MDD -32.5%
Months 70M (33%)
CAGR -7.7% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -86.2%
Months 130M (61%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 23.5% | Win 63%
Sharpe 0.95 | Sortino 1.40 | Calmar 1.0
Vol 26% | MDD -24.0%
Months 75M (35%)
CAGR -27.8% | Win 40%
Sharpe -0.90 | Sortino -1.04 | Calmar -0.6
Vol 30% | MDD -50.1%
Months 25M (12%)
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
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 (34%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
RSIhist
only
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.5% | Win 53%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -49.0%
Months 83M (39%)
CAGR 21.0% | Win 76%
Sharpe 0.86 | Sortino 0.89 | Calmar 1.9
Vol 26% | MDD -10.8%
Months 17M (8%)
CAGR 8.0% | Win 57%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -56.8%
Months 100M (47%)
MACDhist
neg
CAGR -30.3% | Win 36%
Sharpe -0.73 | Sortino -0.95 | Calmar -0.4
Vol 38% | MDD -79.6%
Months 53M (25%)
CAGR 6.2% | Win 58%
Sharpe 0.36 | Sortino 0.61 | Calmar 0.2
Vol 27% | MDD -32.4%
Months 59M (28%)
CAGR -13.0% | Win 47%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 33% | MDD -76.8%
Months 112M (53%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.0% | Win 54%
Sharpe 0.48 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -47.8%
Months 79M (37%)
CAGR 6.0% | Win 60%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 25% | MDD -37.0%
Months 37M (18%)
CAGR 8.7% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 27% | MDD -52.5%
Months 116M (55%)
RSIhist
neg
CAGR -32.2% | Win 35%
Sharpe -0.83 | Sortino -1.01 | Calmar -0.4
Vol 37% | MDD -85.4%
Months 57M (27%)
CAGR 12.7% | Win 64%
Sharpe 0.56 | Sortino 0.96 | Calmar 0.4
Vol 28% | MDD -29.2%
Months 39M (18%)
CAGR -16.7% | Win 47%
Sharpe -0.34 | Sortino -0.43 | Calmar -0.2
Vol 34% | MDD -84.6%
Months 96M (45%)
LWTI
only
CAGR -10.2% | Win 46%
Sharpe -0.15 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -86.5%
Months 136M (64%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -32.6%
Months 76M (36%)