IEF - iShares 7-10 Year Treasury Bond ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

36.5%

Best CAGR

81

Total Months

3.7%

Avg CAGR

IEF 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 IEF

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 RSmean neg-neg 5 1.8 36.5 100.0 10.0 0.0 0.0 3.1 0.0
pair RSmean RSI neg-neg 5 1.8 36.5 100.0 10.0 0.0 0.0 3.1 0.0
pair MACDhist RSmean neg-pos 2 0.7 27.6 100.0 6.0 0.0 0.0 4.1 0.0
pair RSmean MACDhist neg-pos 2 0.7 27.6 100.0 6.0 0.0 0.0 4.1 0.0
pair RSIhist RSmean neg-pos 5 1.8 26.5 80.0 3.9 0.0 0.0 6.1 0.0
pair RSmean RSIhist neg-pos 5 1.8 26.5 80.0 3.9 0.0 0.0 6.1 0.0
pair RSmean SLmean pos-neg 7 2.5 14.8 71.4 2.3 6.1 28.2 6.2 -0.5
pair SLmean RSmean pos-neg 7 2.5 14.8 71.4 2.3 6.1 28.2 6.2 -0.5
pair LWTI RSmean neg-neg 4 1.4 11.9 50.0 1.2 3.0 4.5 9.5 -2.6
pair RSmean LWTI neg-neg 4 1.4 11.9 50.0 1.2 3.0 4.5 9.5 -2.6
pair RSmean MACD neg-neg 17 6.0 10.7 58.8 1.2 1.9 1.5 8.9 -7.1
pair MACD RSmean neg-neg 17 6.0 10.7 58.8 1.2 1.9 1.5 8.9 -7.1
pair MRmean RSIhist neg-pos 13 4.6 9.0 53.8 1.1 2.6 1.9 7.7 -4.7
pair RSIhist MRmean neg-pos 13 4.6 9.0 53.8 1.1 2.6 1.9 7.7 -4.7
pair MACDhist MRmean neg-pos 9 3.2 8.6 66.7 1.3 1.7 1.9 6.7 -4.5
pair MRmean MACDhist neg-pos 9 3.2 8.6 66.7 1.3 1.7 1.9 6.7 -4.5
pair MACDhist SLmean neg-pos 25 8.8 8.1 60.0 1.0 1.7 1.3 8.1 -6.2
pair SLmean MACDhist neg-pos 25 8.8 8.1 60.0 1.0 1.7 1.3 8.1 -6.2
pair MRmean RSmean neg-neg 20 7.1 7.7 55.0 0.9 1.5 1.2 8.8 -6.6
pair RSmean MRmean neg-neg 20 7.1 7.7 55.0 0.9 1.5 1.2 8.8 -6.6
pair SLmean MRmean neg-pos 13 4.6 7.5 69.2 0.9 1.4 1.0 8.0 -7.5
pair MRmean SLmean neg-pos 13 4.6 7.5 69.2 0.9 1.4 1.0 8.0 -7.5
pair RSIhist MACD neg-neg 41 14.5 7.3 63.4 0.9 1.4 0.8 8.4 -9.7
pair MACD RSIhist neg-neg 41 14.5 7.3 63.4 0.9 1.4 0.8 8.4 -9.7
pair SLmean MACD neg-neg 42 14.8 7.1 57.1 0.9 1.5 0.9 8.2 -7.5
pair MACD SLmean neg-neg 42 14.8 7.1 57.1 0.9 1.5 0.9 8.2 -7.5
pair MACD MRmean neg-neg 47 16.6 6.8 57.4 0.8 1.4 0.7 8.6 -10.3
pair MRmean MACD neg-neg 47 16.6 6.8 57.4 0.8 1.4 0.7 8.6 -10.3
pair MACDhist MACD neg-neg 49 17.3 5.9 59.2 0.7 1.2 0.6 8.6 -9.7
pair MACD MACDhist neg-neg 49 17.3 5.9 59.2 0.7 1.2 0.6 8.6 -9.7
pair RSIhist MACDhist pos-neg 37 13.1 5.8 54.1 0.8 1.4 1.1 7.6 -5.3
pair MACDhist RSIhist pos-neg 37 13.1 5.8 54.1 0.8 1.4 1.1 7.6 -5.3
pair SLmean MRmean pos-neg 29 10.2 5.7 48.3 0.8 1.6 1.4 7.6 -4.2
pair MRmean SLmean pos-neg 29 10.2 5.7 48.3 0.8 1.6 1.4 7.6 -4.2
single RSmean RSmean neg-neg 25 8.8 5.7 52.0 0.7 1.4 0.6 8.3 -9.0
pair MACD LWTI neg-pos 48 17.0 5.5 64.6 0.7 1.2 0.9 8.0 -6.3
pair LWTI MACD neg-pos 48 17.0 5.5 64.6 0.7 1.2 0.9 8.0 -6.3
pair MACD MACDhist pos-pos 117 41.3 5.3 54.7 0.8 1.6 0.8 6.5 -6.9
pair MACDhist MACD pos-pos 117 41.3 5.3 54.7 0.8 1.6 0.8 6.5 -6.9
pair MRmean RSIhist pos-neg 62 21.9 5.1 53.2 0.8 1.6 0.8 6.5 -6.5
pair RSIhist MRmean pos-neg 62 21.9 5.1 53.2 0.8 1.6 0.8 6.5 -6.5
pair RSI MACDhist pos-pos 124 43.8 4.9 55.6 0.8 1.4 0.7 6.5 -6.9
pair MACDhist RSI pos-pos 124 43.8 4.9 55.6 0.8 1.4 0.7 6.5 -6.9
pair RSmean RSI pos-pos 212 74.9 4.8 57.1 0.8 1.3 0.6 6.2 -7.5
pair RSI RSmean pos-pos 212 74.9 4.8 57.1 0.8 1.3 0.6 6.2 -7.5
pair MACD RSIhist pos-pos 108 38.2 4.7 54.6 0.8 1.4 0.6 6.2 -8.1
pair RSIhist MACD pos-pos 108 38.2 4.7 54.6 0.8 1.4 0.6 6.2 -8.1
pair RSI RSIhist pos-neg 113 39.9 4.7 55.8 0.8 1.3 0.6 6.4 -8.3
pair RSIhist LWTI neg-pos 112 39.6 4.7 54.5 0.7 1.2 0.3 6.8 -17.1
pair RSIhist RSI pos-neg 113 39.9 4.7 55.8 0.8 1.3 0.6 6.4 -8.3
pair LWTI RSIhist neg-pos 112 39.6 4.7 54.5 0.7 1.2 0.3 6.8 -17.1
pair RSI MACD neg-pos 31 11.0 4.6 64.5 0.6 0.9 0.8 8.0 -5.7
pair MACD RSI neg-pos 31 11.0 4.6 64.5 0.6 0.9 0.8 8.0 -5.7
pair RSmean LWTI neg-pos 21 7.4 4.6 52.4 0.6 1.0 0.5 8.3 -9.0
pair MRmean LWTI neg-pos 58 20.5 4.6 55.2 0.7 1.1 0.3 7.1 -15.6
pair LWTI MRmean neg-pos 58 20.5 4.6 55.2 0.7 1.1 0.3 7.1 -15.6
pair SLmean RSI neg-pos 76 26.9 4.6 53.9 0.7 1.2 0.8 6.8 -5.8
pair RSI SLmean neg-pos 76 26.9 4.6 53.9 0.7 1.2 0.8 6.8 -5.8
pair LWTI RSmean neg-pos 21 7.4 4.6 52.4 0.6 1.0 0.5 8.3 -9.0
pair MACD MRmean pos-pos 163 57.6 4.5 52.8 0.7 1.4 0.4 6.4 -10.7
pair SLmean MACD pos-pos 142 50.2 4.5 54.9 0.8 1.4 0.9 6.0 -4.9
pair MRmean MACD pos-pos 163 57.6 4.5 52.8 0.7 1.4 0.4 6.4 -10.7
pair RSI MRmean neg-pos 54 19.1 4.5 59.3 0.8 1.1 0.8 6.1 -5.7
pair MRmean RSI neg-pos 54 19.1 4.5 59.3 0.8 1.1 0.8 6.1 -5.7
pair LWTI MACDhist pos-pos 136 48.1 4.5 55.9 0.7 1.2 0.4 6.5 -10.4
pair MACD SLmean pos-pos 142 50.2 4.5 54.9 0.8 1.4 0.9 6.0 -4.9
pair LWTI RSI pos-pos 205 72.4 4.5 55.1 0.7 1.2 0.5 6.6 -9.4
pair MACDhist LWTI pos-pos 136 48.1 4.5 55.9 0.7 1.2 0.4 6.5 -10.4
pair RSI LWTI pos-pos 205 72.4 4.5 55.1 0.7 1.2 0.5 6.6 -9.4
pair RSmean RSIhist pos-neg 127 44.9 4.4 57.5 0.7 1.1 0.2 6.6 -18.2
pair RSIhist RSmean pos-neg 127 44.9 4.4 57.5 0.7 1.1 0.2 6.6 -18.2
single RSI RSI pos-pos 232 82.0 4.3 55.6 0.7 1.2 0.4 6.3 -9.9
pair SLmean LWTI neg-pos 83 29.3 4.3 51.8 0.6 1.1 0.3 7.2 -14.7
single MACDhist MACDhist pos-pos 137 48.4 4.3 55.5 0.7 1.2 0.4 6.5 -11.5
pair LWTI SLmean neg-pos 83 29.3 4.3 51.8 0.6 1.1 0.3 7.2 -14.7
pair RSI MRmean pos-pos 178 62.9 4.2 54.5 0.7 1.2 0.4 6.4 -10.2
pair LWTI RSmean pos-pos 211 74.6 4.2 55.5 0.7 1.1 0.3 6.5 -16.3
pair MRmean RSI pos-pos 178 62.9 4.2 54.5 0.7 1.2 0.4 6.4 -10.2
pair MACD RSI pos-pos 201 71.0 4.2 54.2 0.7 1.3 0.5 6.1 -8.3
pair RSI MACD pos-pos 201 71.0 4.2 54.2 0.7 1.3 0.5 6.1 -8.3
single LWTI LWTI pos-pos 232 82.0 4.2 55.2 0.7 1.1 0.3 6.7 -16.3
pair RSmean LWTI pos-pos 211 74.6 4.2 55.5 0.7 1.1 0.3 6.5 -16.3
pair RSmean SLmean neg-pos 96 33.9 4.2 55.2 0.7 1.0 0.3 6.8 -16.0
pair SLmean RSmean neg-pos 96 33.9 4.2 55.2 0.7 1.0 0.3 6.8 -16.0
pair LWTI SLmean pos-pos 149 52.7 4.2 57.0 0.7 1.1 0.7 6.4 -6.0
pair SLmean LWTI pos-pos 149 52.7 4.2 57.0 0.7 1.1 0.7 6.4 -6.0
pair LWTI MRmean pos-pos 174 61.5 4.1 55.2 0.7 1.1 0.5 6.5 -9.1
pair MRmean LWTI pos-pos 174 61.5 4.1 55.2 0.7 1.1 0.5 6.5 -9.1
pair RSI SLmean pos-pos 156 55.1 4.1 56.4 0.7 1.2 0.7 6.1 -6.1
pair SLmean RSI pos-pos 156 55.1 4.1 56.4 0.7 1.2 0.7 6.1 -6.1
single RSIhist RSIhist neg-neg 147 51.9 4.0 55.8 0.6 1.0 0.2 6.8 -20.4
single SLmean SLmean neg-neg 114 40.3 4.0 53.5 0.6 0.9 0.2 7.1 -16.0
pair MACDhist MRmean pos-pos 128 45.2 4.0 54.7 0.6 1.2 0.4 6.5 -9.2
pair MRmean MACDhist pos-pos 128 45.2 4.0 54.7 0.6 1.2 0.4 6.5 -9.2
pair MACDhist RSmean pos-pos 135 47.7 4.0 54.8 0.6 1.1 0.3 6.5 -11.7
pair RSmean MACDhist pos-pos 135 47.7 4.0 54.8 0.6 1.1 0.3 6.5 -11.7
pair MACDhist RSmean neg-neg 23 8.1 4.0 47.8 0.5 1.0 0.5 8.5 -9.0
pair RSmean MACDhist neg-neg 23 8.1 4.0 47.8 0.5 1.0 0.5 8.5 -9.0
pair RSmean MACD pos-pos 206 72.8 4.0 54.4 0.7 1.1 0.3 6.1 -12.9
pair MACD RSmean pos-pos 206 72.8 4.0 54.4 0.7 1.1 0.3 6.1 -12.9
pair RSIhist SLmean neg-neg 104 36.7 4.0 53.8 0.6 0.9 0.2 7.3 -16.0
pair SLmean RSIhist neg-neg 104 36.7 4.0 53.8 0.6 0.9 0.2 7.3 -16.0
pair RSIhist SLmean pos-neg 43 15.2 3.9 60.5 0.7 1.1 0.6 5.6 -7.1
pair SLmean RSIhist pos-neg 43 15.2 3.9 60.5 0.7 1.1 0.6 5.6 -7.1
pair RSI RSIhist pos-pos 119 42.0 3.9 55.5 0.6 1.0 0.5 6.3 -8.1
pair RSIhist RSI pos-pos 119 42.0 3.9 55.5 0.6 1.0 0.5 6.3 -8.1
pair LWTI MACD pos-pos 184 65.0 3.9 52.7 0.6 1.1 0.4 6.3 -10.9
pair MACD LWTI pos-pos 184 65.0 3.9 52.7 0.6 1.1 0.4 6.3 -10.9
pair MACDhist LWTI neg-pos 96 33.9 3.9 54.2 0.6 0.9 0.3 6.9 -14.8
pair LWTI MACDhist neg-pos 96 33.9 3.9 54.2 0.6 0.9 0.3 6.9 -14.8
single MRmean MRmean neg-neg 98 34.6 3.9 57.1 0.6 0.9 0.2 7.1 -17.8
pair RSmean MRmean pos-pos 180 63.6 3.8 54.4 0.6 1.0 0.3 6.4 -12.6
pair MRmean RSmean pos-pos 180 63.6 3.8 54.4 0.6 1.0 0.3 6.4 -12.6
pair SLmean RSIhist neg-pos 10 3.5 3.7 50.0 0.7 2.8 1.4 5.5 -2.6
single MACD MACD neg-neg 69 24.4 3.7 59.4 0.5 0.8 0.3 8.1 -12.0
pair SLmean MACDhist pos-neg 57 20.1 3.7 59.6 0.6 0.8 0.4 6.9 -9.9
pair RSIhist SLmean neg-pos 10 3.5 3.7 50.0 0.7 2.8 1.4 5.5 -2.6
single MACD MACD pos-pos 214 75.6 3.7 53.7 0.6 1.1 0.2 6.2 -15.1
pair MACDhist RSIhist pos-pos 100 35.3 3.7 56.0 0.6 1.1 0.5 6.1 -7.8
pair RSIhist MACDhist pos-pos 100 35.3 3.7 56.0 0.6 1.1 0.5 6.1 -7.8
pair benchmark___benchmark_ benchmark-benchmark 283 100.0 3.7 55.1 0.6 0.9 0.2 6.7 -23.2
pair benchmark___benchmark_ benchmark-benchmark 283 100.0 3.7 55.1 0.6 0.9 0.2 6.7 -23.2
pair MACDhist SLmean pos-neg 57 20.1 3.7 59.6 0.6 0.8 0.4 6.9 -9.9
pair RSIhist LWTI pos-pos 120 42.4 3.7 55.8 0.6 1.0 0.4 6.5 -8.6
pair LWTI RSIhist pos-pos 120 42.4 3.7 55.8 0.6 1.0 0.4 6.5 -8.6
pair RSI MACDhist pos-neg 108 38.2 3.6 55.6 0.6 0.9 0.4 6.2 -9.9
single SLmean SLmean pos-pos 169 59.7 3.6 56.2 0.6 1.0 0.3 6.3 -11.5
pair MACDhist RSI pos-neg 108 38.2 3.6 55.6 0.6 0.9 0.4 6.2 -9.9
single MRmean MRmean pos-pos 185 65.4 3.6 54.1 0.6 1.0 0.3 6.4 -12.6
single RSmean RSmean pos-pos 258 91.2 3.5 55.4 0.6 0.9 0.1 6.5 -23.9
pair MACDhist SLmean pos-pos 112 39.6 3.5 54.5 0.6 1.1 0.5 6.1 -7.2
pair SLmean MACDhist pos-pos 112 39.6 3.5 54.5 0.6 1.1 0.5 6.1 -7.2
pair SLmean RSIhist pos-pos 126 44.5 3.4 54.8 0.5 0.9 0.4 6.6 -8.1
pair RSIhist SLmean pos-pos 126 44.5 3.4 54.8 0.5 0.9 0.4 6.6 -8.1
pair MACDhist MRmean neg-neg 89 31.4 3.4 56.2 0.5 0.8 0.2 7.2 -17.3
pair MRmean MACDhist neg-neg 89 31.4 3.4 56.2 0.5 0.8 0.2 7.2 -17.3
single RSIhist RSIhist pos-pos 136 48.1 3.4 54.4 0.6 0.9 0.4 6.5 -8.1
pair SLmean MRmean neg-neg 85 30.0 3.4 55.3 0.5 0.8 0.2 7.0 -15.0
pair MRmean SLmean neg-neg 85 30.0 3.4 55.3 0.5 0.8 0.2 7.0 -15.0
pair RSIhist MACDhist neg-neg 110 38.9 3.3 56.4 0.5 0.8 0.2 6.6 -20.0
pair MACDhist RSIhist neg-neg 110 38.9 3.3 56.4 0.5 0.8 0.2 6.6 -20.0
single MACDhist MACDhist neg-neg 146 51.6 3.2 54.8 0.5 0.8 0.2 6.8 -20.2
pair MRmean SLmean pos-pos 156 55.1 3.2 55.1 0.5 0.9 0.2 6.2 -12.7
pair SLmean MRmean pos-pos 156 55.1 3.2 55.1 0.5 0.9 0.2 6.2 -12.7
pair RSI MACD neg-neg 38 13.4 3.1 55.3 0.4 0.7 0.2 8.2 -12.0
pair MACD RSI neg-neg 38 13.4 3.1 55.3 0.4 0.7 0.2 8.2 -12.0
pair SLmean LWTI neg-neg 31 11.0 3.1 58.1 0.5 0.7 0.3 7.1 -9.6
pair LWTI SLmean neg-neg 31 11.0 3.1 58.1 0.5 0.7 0.3 7.1 -9.6
pair MRmean RSIhist neg-neg 85 30.0 3.1 57.6 0.5 0.7 0.2 7.1 -17.3
pair RSIhist MRmean neg-neg 85 30.0 3.1 57.6 0.5 0.7 0.2 7.1 -17.3
pair RSI MRmean neg-neg 44 15.5 3.1 54.5 0.4 0.7 0.2 8.2 -15.6
pair MRmean RSI neg-neg 44 15.5 3.1 54.5 0.4 0.7 0.2 8.2 -15.6
pair RSmean SLmean pos-pos 162 57.2 3.1 55.6 0.5 0.8 0.2 6.3 -14.1
pair SLmean RSmean pos-pos 162 57.2 3.1 55.6 0.5 0.8 0.2 6.3 -14.1
pair RSmean MACDhist pos-neg 123 43.5 3.0 56.1 0.5 0.7 0.1 6.5 -20.6
pair MACDhist RSmean pos-neg 123 43.5 3.0 56.1 0.5 0.7 0.1 6.5 -20.6
pair MRmean RSmean neg-pos 78 27.6 2.9 57.7 0.5 0.7 0.2 6.7 -18.6
pair RSmean MRmean neg-pos 78 27.6 2.9 57.7 0.5 0.7 0.2 6.7 -18.6
pair MRmean RSIhist pos-pos 123 43.5 2.9 54.5 0.5 0.8 0.3 6.4 -9.3
pair RSIhist MRmean pos-pos 123 43.5 2.9 54.5 0.5 0.8 0.3 6.4 -9.3
pair MRmean LWTI neg-neg 40 14.1 2.8 60.0 0.4 0.6 0.2 7.2 -13.5
pair LWTI MRmean neg-neg 40 14.1 2.8 60.0 0.4 0.6 0.2 7.2 -13.5
pair MACDhist SLmean neg-neg 89 31.4 2.8 51.7 0.4 0.7 0.2 6.9 -16.0
pair SLmean MACDhist neg-neg 89 31.4 2.8 51.7 0.4 0.7 0.2 6.9 -16.0
pair RSIhist RSmean pos-pos 131 46.3 2.7 53.4 0.4 0.7 0.2 6.4 -11.5
pair RSmean RSIhist pos-pos 131 46.3 2.7 53.4 0.4 0.7 0.2 6.4 -11.5
pair RSIhist MACD pos-neg 106 37.5 2.7 52.8 0.5 0.8 0.2 6.1 -14.9
pair MACD RSIhist pos-neg 106 37.5 2.7 52.8 0.5 0.8 0.2 6.1 -14.9
pair RSI LWTI pos-neg 27 9.5 2.7 59.3 0.7 1.1 0.7 4.1 -3.9
pair LWTI RSI pos-neg 27 9.5 2.7 59.3 0.7 1.1 0.7 4.1 -3.9
pair SLmean RSI neg-neg 38 13.4 2.7 52.6 0.4 0.6 0.2 7.8 -11.7
pair RSI SLmean neg-neg 38 13.4 2.7 52.6 0.4 0.6 0.2 7.8 -11.7
pair MRmean MACDhist pos-neg 57 20.1 2.7 52.6 0.5 0.7 0.4 6.3 -7.6
pair MACDhist MRmean pos-neg 57 20.1 2.7 52.6 0.5 0.7 0.4 6.3 -7.6
pair MACDhist RSIhist neg-pos 36 12.7 2.6 50.0 0.4 0.6 0.4 7.7 -6.3
pair RSIhist MACDhist neg-pos 36 12.7 2.6 50.0 0.4 0.6 0.4 7.7 -6.3
pair MACD LWTI pos-neg 30 10.6 2.6 60.0 0.5 0.7 0.3 5.3 -8.0
pair LWTI MACD pos-neg 30 10.6 2.6 60.0 0.5 0.7 0.3 5.3 -8.0
pair RSmean SLmean neg-neg 18 6.4 2.4 44.4 0.3 0.6 0.2 9.0 -10.7
pair SLmean RSmean neg-neg 18 6.4 2.4 44.4 0.3 0.6 0.2 9.0 -10.7
pair SLmean MACD neg-pos 72 25.4 2.2 51.4 0.4 0.6 0.2 6.5 -12.8
pair MACD SLmean neg-pos 72 25.4 2.2 51.4 0.4 0.6 0.2 6.5 -12.8
pair RSI LWTI neg-pos 27 9.5 2.1 55.6 0.3 0.5 0.2 7.3 -10.4
pair LWTI RSI neg-pos 27 9.5 2.1 55.6 0.3 0.5 0.2 7.3 -10.4
pair RSI MACDhist neg-neg 38 13.4 1.9 52.6 0.3 0.4 0.1 8.4 -15.1
pair MACDhist RSI neg-neg 38 13.4 1.9 52.6 0.3 0.4 0.1 8.4 -15.1
pair MACDhist MACD pos-neg 97 34.3 1.8 52.6 0.3 0.5 0.1 5.8 -17.5
pair MACD MACDhist pos-neg 97 34.3 1.8 52.6 0.3 0.5 0.1 5.8 -17.5
pair MACDhist LWTI neg-neg 50 17.7 1.8 56.0 0.3 0.4 0.1 6.7 -14.7
pair LWTI MACDhist neg-neg 50 17.7 1.8 56.0 0.3 0.4 0.1 6.7 -14.7
pair RSIhist RSI neg-neg 34 12.0 1.6 55.9 0.2 0.3 0.1 8.2 -15.1
pair RSI RSIhist neg-neg 34 12.0 1.6 55.9 0.2 0.3 0.1 8.2 -15.1
pair RSmean MACD pos-neg 52 18.4 1.6 59.6 0.2 0.4 0.1 7.8 -15.1
pair MACD RSmean pos-neg 52 18.4 1.6 59.6 0.2 0.4 0.1 7.8 -15.1
single LWTI LWTI neg-neg 51 18.0 1.5 54.9 0.2 0.4 0.1 6.7 -14.7
pair RSIhist LWTI neg-neg 35 12.4 1.5 60.0 0.2 0.3 0.1 6.9 -14.4
pair LWTI RSIhist neg-neg 35 12.4 1.5 60.0 0.2 0.3 0.1 6.9 -14.4
pair MRmean MACD neg-pos 51 18.0 1.3 56.9 0.3 0.3 0.1 5.4 -11.8
pair MACD MRmean neg-pos 51 18.0 1.3 56.9 0.3 0.3 0.1 5.4 -11.8
pair LWTI RSIhist pos-neg 16 5.7 1.3 43.8 0.2 0.5 0.3 6.5 -5.1
pair RSIhist LWTI pos-neg 16 5.7 1.3 43.8 0.2 0.5 0.3 6.5 -5.1
single RSI RSI neg-neg 51 18.0 1.2 52.9 0.2 0.3 0.1 8.0 -17.2
pair RSIhist RSmean neg-neg 20 7.1 1.1 45.0 0.2 0.3 0.1 8.4 -9.0
pair RSmean RSIhist neg-neg 20 7.1 1.1 45.0 0.2 0.3 0.1 8.4 -9.0
pair LWTI RSmean pos-neg 47 16.6 0.6 55.3 0.1 0.2 0.1 6.5 -12.4
pair RSmean LWTI pos-neg 47 16.6 0.6 55.3 0.1 0.2 0.1 6.5 -12.4
pair RSIhist RSI neg-pos 17 6.0 0.3 47.1 0.1 0.2 0.1 7.8 -5.1
pair RSI RSIhist neg-pos 17 6.0 0.3 47.1 0.1 0.2 0.1 7.8 -5.1
pair RSI LWTI neg-neg 24 8.5 0.1 50.0 0.1 0.1 0.0 8.8 -11.2
pair LWTI RSI neg-neg 24 8.5 0.1 50.0 0.1 0.1 0.0 8.8 -11.2
pair LWTI MACD neg-neg 21 7.4 -0.2 47.6 0.0 0.0 -0.0 8.4 -9.7
pair MACD LWTI neg-neg 21 7.4 -0.2 47.6 0.0 0.0 -0.0 8.4 -9.7
pair RSI RSmean neg-pos 20 7.1 -0.8 40.0 -0.1 -0.1 -0.1 8.2 -9.6
pair RSmean RSI neg-pos 20 7.1 -0.8 40.0 -0.1 -0.1 -0.1 8.2 -9.6
pair RSI MACDhist neg-pos 13 4.6 -1.0 53.8 -0.1 -0.2 -0.1 7.0 -8.7
pair MACDhist RSI neg-pos 13 4.6 -1.0 53.8 -0.1 -0.2 -0.1 7.0 -8.7
pair LWTI SLmean pos-neg 20 7.1 -1.1 50.0 -0.1 -0.2 -0.1 6.0 -9.9
pair SLmean LWTI pos-neg 20 7.1 -1.1 50.0 -0.1 -0.2 -0.1 6.0 -9.9
pair SLmean MACD pos-neg 27 9.5 -1.2 63.0 -0.1 -0.2 -0.1 7.9 -9.0
pair MACD SLmean pos-neg 27 9.5 -1.2 63.0 -0.1 -0.2 -0.1 7.9 -9.0
pair RSIhist MACD neg-pos 28 9.9 -1.2 53.6 -0.1 -0.2 -0.2 7.5 -7.2
pair MACD RSIhist neg-pos 28 9.9 -1.2 53.6 -0.1 -0.2 -0.2 7.5 -7.2
pair MACDhist MACD neg-pos 20 7.1 -1.3 60.0 -0.2 -0.3 -0.1 6.7 -9.8
pair MACD MACDhist neg-pos 20 7.1 -1.3 60.0 -0.2 -0.3 -0.1 6.7 -9.8
pair MRmean RSmean pos-neg 5 1.8 -1.6 40.0 -0.2 -2.0 -0.8 6.4 -2.1
pair RSmean MRmean pos-neg 5 1.8 -1.6 40.0 -0.2 -2.0 -0.8 6.4 -2.1
pair RSI RSmean pos-neg 46 16.3 -2.1 47.8 -0.2 -0.4 -0.1 7.8 -20.2
pair RSmean RSI pos-neg 46 16.3 -2.1 47.8 -0.2 -0.4 -0.1 7.8 -20.2
pair MACD MRmean pos-neg 22 7.8 -2.5 63.6 -0.3 -0.6 -0.3 6.7 -9.0
pair MRmean MACD pos-neg 22 7.8 -2.5 63.6 -0.3 -0.6 -0.3 6.7 -9.0
pair RSI SLmean pos-neg 13 4.6 -3.3 53.8 -0.3 -0.8 -0.4 8.7 -9.0
pair SLmean RSI pos-neg 13 4.6 -3.3 53.8 -0.3 -0.8 -0.4 8.7 -9.0
pair LWTI MRmean pos-neg 11 3.9 -3.4 36.4 -0.8 -1.9 -0.5 4.0 -6.2
pair MRmean LWTI pos-neg 11 3.9 -3.4 36.4 -0.8 -1.9 -0.5 4.0 -6.2
pair RSmean MACD neg-pos 8 2.8 -4.1 37.5 -0.6 -1.4 -0.8 6.5 -5.1
pair MACD RSmean neg-pos 8 2.8 -4.1 37.5 -0.6 -1.4 -0.8 6.5 -5.1
pair MACD RSI pos-neg 13 4.6 -4.2 46.2 -0.6 -0.7 -0.5 7.3 -8.7
pair RSI MACD pos-neg 13 4.6 -4.2 46.2 -0.6 -0.7 -0.5 7.3 -8.7
pair MRmean RSI pos-neg 7 2.5 -10.4 42.9 -2.1 -3.7 -1.5 5.2 -6.9
pair RSI MRmean pos-neg 7 2.5 -10.4 42.9 -2.1 -3.7 -1.5 5.2 -6.9
pair LWTI MACDhist pos-neg 1 0.4 -14.1 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.4 -14.1 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for IEF

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 55%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.7%
Months 156M (55%)
CAGR 5.7% | Win 48%
Sharpe 0.77 | Sortino 1.62 | Calmar 1.4
Vol 8% | MDD -4.2%
Months 29M (10%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 7.5% | Win 69%
Sharpe 0.94 | Sortino 1.35 | Calmar 1.0
Vol 8% | MDD -7.5%
Months 13M (5%)
CAGR 3.4% | Win 55%
Sharpe 0.51 | Sortino 0.77 | Calmar 0.2
Vol 7% | MDD -15.0%
Months 85M (30%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
SLmean
only
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 54%
Sharpe 0.61 | Sortino 1.04 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 180M (64%)
CAGR -1.6% | Win 40%
Sharpe -0.23 | Sortino -2.01 | Calmar -0.8
Vol 6% | MDD -2.1%
Months 5M (2%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 2.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.2
Vol 7% | MDD -18.6%
Months 78M (28%)
CAGR 7.7% | Win 55%
Sharpe 0.89 | Sortino 1.53 | Calmar 1.2
Vol 9% | MDD -6.6%
Months 20M (7%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
RSmean
only
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 53%
Sharpe 0.72 | Sortino 1.35 | Calmar 0.4
Vol 6% | MDD -10.7%
Months 163M (58%)
CAGR -2.5% | Win 64%
Sharpe -0.34 | Sortino -0.60 | Calmar -0.3
Vol 7% | MDD -9.0%
Months 22M (8%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 1.3% | Win 57%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 5% | MDD -11.8%
Months 51M (18%)
CAGR 6.8% | Win 57%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 9% | MDD -10.3%
Months 47M (17%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
MACD
only
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.2% | Win 55%
Sharpe 0.68 | Sortino 1.18 | Calmar 0.4
Vol 6% | MDD -10.2%
Months 178M (63%)
CAGR -10.4% | Win 43%
Sharpe -2.09 | Sortino -3.67 | Calmar -1.5
Vol 5% | MDD -6.9%
Months 7M (2%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 4.5% | Win 59%
Sharpe 0.75 | Sortino 1.11 | Calmar 0.8
Vol 6% | MDD -5.7%
Months 54M (19%)
CAGR 3.1% | Win 55%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.2
Vol 8% | MDD -15.6%
Months 44M (16%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.0% | Win 55%
Sharpe 0.64 | Sortino 1.16 | Calmar 0.4
Vol 6% | MDD -9.2%
Months 128M (45%)
CAGR 2.7% | Win 53%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.4
Vol 6% | MDD -7.6%
Months 57M (20%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 8.6% | Win 67%
Sharpe 1.26 | Sortino 1.72 | Calmar 1.9
Vol 7% | MDD -4.5%
Months 9M (3%)
CAGR 3.4% | Win 56%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -17.3%
Months 89M (31%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
MACDhist
only
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 55%
Sharpe 0.48 | Sortino 0.78 | Calmar 0.3
Vol 6% | MDD -9.3%
Months 123M (44%)
CAGR 5.1% | Win 53%
Sharpe 0.80 | Sortino 1.62 | Calmar 0.8
Vol 6% | MDD -6.5%
Months 62M (22%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 9.0% | Win 54%
Sharpe 1.15 | Sortino 2.56 | Calmar 1.9
Vol 8% | MDD -4.7%
Months 13M (5%)
CAGR 3.1% | Win 58%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.2
Vol 7% | MDD -17.3%
Months 85M (30%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 55%
Sharpe 0.65 | Sortino 1.11 | Calmar 0.4
Vol 6% | MDD -9.1%
Months 174M (62%)
CAGR -3.4% | Win 36%
Sharpe -0.83 | Sortino -1.86 | Calmar -0.5
Vol 4% | MDD -6.2%
Months 11M (4%)
CAGR 3.6% | Win 54%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.3
Vol 6% | MDD -12.6%
Months 185M (65%)
MRmean
neg
CAGR 4.6% | Win 55%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 7% | MDD -15.6%
Months 58M (20%)
CAGR 2.8% | Win 60%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.2
Vol 7% | MDD -13.5%
Months 40M (14%)
CAGR 3.9% | Win 57%
Sharpe 0.57 | Sortino 0.86 | Calmar 0.2
Vol 7% | MDD -17.8%
Months 98M (35%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 56%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.2
Vol 6% | MDD -14.1%
Months 162M (57%)
CAGR 14.8% | Win 71%
Sharpe 2.26 | Sortino 6.08 | Calmar 28.2
Vol 6% | MDD -0.5%
Months 7M (2%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.3
Vol 7% | MDD -16.0%
Months 96M (34%)
CAGR 2.4% | Win 44%
Sharpe 0.31 | Sortino 0.59 | Calmar 0.2
Vol 9% | MDD -10.7%
Months 18M (6%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
RSmean
only
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.5% | Win 55%
Sharpe 0.76 | Sortino 1.37 | Calmar 0.9
Vol 6% | MDD -4.9%
Months 142M (50%)
CAGR -1.2% | Win 63%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 8% | MDD -9.0%
Months 27M (10%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 2.2% | Win 51%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.2
Vol 6% | MDD -12.8%
Months 72M (25%)
CAGR 7.1% | Win 57%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.9
Vol 8% | MDD -7.5%
Months 42M (15%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
MACD
only
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.1% | Win 56%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.7
Vol 6% | MDD -6.1%
Months 156M (55%)
CAGR -3.3% | Win 54%
Sharpe -0.34 | Sortino -0.79 | Calmar -0.4
Vol 9% | MDD -9.0%
Months 13M (5%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 4.6% | Win 54%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.8
Vol 7% | MDD -5.8%
Months 76M (27%)
CAGR 2.7% | Win 53%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.2
Vol 8% | MDD -11.7%
Months 38M (13%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.5% | Win 55%
Sharpe 0.59 | Sortino 1.06 | Calmar 0.5
Vol 6% | MDD -7.2%
Months 112M (40%)
CAGR 3.7% | Win 60%
Sharpe 0.56 | Sortino 0.83 | Calmar 0.4
Vol 7% | MDD -9.9%
Months 57M (20%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 8.1% | Win 60%
Sharpe 1.00 | Sortino 1.71 | Calmar 1.3
Vol 8% | MDD -6.2%
Months 25M (9%)
CAGR 2.8% | Win 52%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 89M (31%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
MACDhist
only
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 55%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.4
Vol 7% | MDD -8.1%
Months 126M (44%)
CAGR 3.9% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.6
Vol 6% | MDD -7.1%
Months 43M (15%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 3.7% | Win 50%
Sharpe 0.68 | Sortino 2.82 | Calmar 1.4
Vol 6% | MDD -2.6%
Months 10M (4%)
CAGR 4.0% | Win 54%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 104M (37%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.2% | Win 57%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.7
Vol 6% | MDD -6.0%
Months 149M (53%)
CAGR -1.1% | Win 50%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.1
Vol 6% | MDD -9.9%
Months 20M (7%)
CAGR 3.6% | Win 56%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 6% | MDD -11.5%
Months 169M (60%)
SLmean
neg
CAGR 4.3% | Win 52%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.3
Vol 7% | MDD -14.7%
Months 83M (29%)
CAGR 3.1% | Win 58%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.3
Vol 7% | MDD -9.6%
Months 31M (11%)
CAGR 4.0% | Win 54%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 7% | MDD -16.0%
Months 114M (40%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 54%
Sharpe 0.67 | Sortino 1.14 | Calmar 0.3
Vol 6% | MDD -12.9%
Months 206M (73%)
CAGR 1.6% | Win 60%
Sharpe 0.24 | Sortino 0.39 | Calmar 0.1
Vol 8% | MDD -15.1%
Months 52M (18%)
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
RSmean
neg
CAGR -4.1% | Win 38%
Sharpe -0.62 | Sortino -1.43 | Calmar -0.8
Vol 6% | MDD -5.1%
Months 8M (3%)
CAGR 10.7% | Win 59%
Sharpe 1.19 | Sortino 1.94 | Calmar 1.5
Vol 9% | MDD -7.1%
Months 17M (6%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
MACD
only
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.8% | Win 57%
Sharpe 0.79 | Sortino 1.33 | Calmar 0.6
Vol 6% | MDD -7.5%
Months 212M (75%)
CAGR -2.1% | Win 48%
Sharpe -0.23 | Sortino -0.38 | Calmar -0.1
Vol 8% | MDD -20.2%
Months 46M (16%)
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
RSmean
neg
CAGR -0.8% | Win 40%
Sharpe -0.06 | Sortino -0.11 | Calmar -0.1
Vol 8% | MDD -9.6%
Months 20M (7%)
CAGR 36.5% | Win 100%
Sharpe 10.04 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 5M (2%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 55%
Sharpe 0.64 | Sortino 1.14 | Calmar 0.3
Vol 6% | MDD -11.7%
Months 135M (48%)
CAGR 3.0% | Win 56%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.1
Vol 6% | MDD -20.6%
Months 123M (44%)
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
RSmean
neg
CAGR 27.6% | Win 100%
Sharpe 6.00 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 2M (1%)
CAGR 4.0% | Win 48%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.4
Vol 8% | MDD -9.0%
Months 23M (8%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
MACDhist
only
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.7% | Win 53%
Sharpe 0.44 | Sortino 0.73 | Calmar 0.2
Vol 6% | MDD -11.5%
Months 131M (46%)
CAGR 4.4% | Win 57%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.2
Vol 7% | MDD -18.2%
Months 127M (45%)
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
RSmean
neg
CAGR 26.5% | Win 80%
Sharpe 3.94 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 5M (2%)
CAGR 1.1% | Win 45%
Sharpe 0.17 | Sortino 0.32 | Calmar 0.1
Vol 8% | MDD -9.0%
Months 20M (7%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 56%
Sharpe 0.66 | Sortino 1.11 | Calmar 0.3
Vol 6% | MDD -16.3%
Months 211M (75%)
CAGR 0.6% | Win 55%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 6% | MDD -12.4%
Months 47M (17%)
CAGR 3.5% | Win 55%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.1
Vol 6% | MDD -23.9%
Months 258M (91%)
RSmean
neg
CAGR 4.6% | Win 52%
Sharpe 0.58 | Sortino 1.04 | Calmar 0.5
Vol 8% | MDD -9.0%
Months 21M (7%)
CAGR 11.9% | Win 50%
Sharpe 1.22 | Sortino 3.00 | Calmar 4.5
Vol 10% | MDD -2.6%
Months 4M (1%)
CAGR 5.7% | Win 52%
Sharpe 0.71 | Sortino 1.35 | Calmar 0.6
Vol 8% | MDD -9.0%
Months 25M (9%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.2% | Win 54%
Sharpe 0.71 | Sortino 1.29 | Calmar 0.5
Vol 6% | MDD -8.3%
Months 201M (71%)
CAGR -4.2% | Win 46%
Sharpe -0.55 | Sortino -0.68 | Calmar -0.5
Vol 7% | MDD -8.7%
Months 13M (5%)
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
MACD
neg
CAGR 4.6% | Win 64%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.8
Vol 8% | MDD -5.7%
Months 31M (11%)
CAGR 3.1% | Win 55%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 38M (13%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.3% | Win 55%
Sharpe 0.83 | Sortino 1.59 | Calmar 0.8
Vol 6% | MDD -6.9%
Months 117M (41%)
CAGR 1.8% | Win 53%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 6% | MDD -17.5%
Months 97M (34%)
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
MACD
neg
CAGR -1.3% | Win 60%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 7% | MDD -9.8%
Months 20M (7%)
CAGR 5.9% | Win 59%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.6
Vol 9% | MDD -9.7%
Months 49M (17%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
MACDhist
only
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.7% | Win 55%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.6
Vol 6% | MDD -8.1%
Months 108M (38%)
CAGR 2.7% | Win 53%
Sharpe 0.47 | Sortino 0.76 | Calmar 0.2
Vol 6% | MDD -14.9%
Months 106M (38%)
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
MACD
neg
CAGR -1.2% | Win 54%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.2
Vol 8% | MDD -7.2%
Months 28M (10%)
CAGR 7.3% | Win 63%
Sharpe 0.88 | Sortino 1.35 | Calmar 0.7
Vol 8% | MDD -9.7%
Months 41M (14%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 53%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.4
Vol 6% | MDD -10.9%
Months 184M (65%)
CAGR 2.6% | Win 60%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.3
Vol 5% | MDD -8.0%
Months 30M (11%)
CAGR 3.7% | Win 54%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.2
Vol 6% | MDD -15.1%
Months 214M (76%)
MACD
neg
CAGR 5.5% | Win 65%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.9
Vol 8% | MDD -6.3%
Months 48M (17%)
CAGR -0.2% | Win 48%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 8% | MDD -9.7%
Months 21M (7%)
CAGR 3.7% | Win 59%
Sharpe 0.49 | Sortino 0.83 | Calmar 0.3
Vol 8% | MDD -12.0%
Months 69M (24%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.9% | Win 56%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.7
Vol 6% | MDD -6.9%
Months 124M (44%)
CAGR 3.6% | Win 56%
Sharpe 0.60 | Sortino 0.93 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 108M (38%)
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
RSI
neg
CAGR -1.0% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.1
Vol 7% | MDD -8.7%
Months 13M (5%)
CAGR 1.9% | Win 53%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 8% | MDD -15.1%
Months 38M (13%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
MACDhist
only
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.9% | Win 56%
Sharpe 0.64 | Sortino 1.04 | Calmar 0.5
Vol 6% | MDD -8.1%
Months 119M (42%)
CAGR 4.7% | Win 56%
Sharpe 0.75 | Sortino 1.31 | Calmar 0.6
Vol 6% | MDD -8.3%
Months 113M (40%)
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
RSI
neg
CAGR 0.3% | Win 47%
Sharpe 0.07 | Sortino 0.17 | Calmar 0.1
Vol 8% | MDD -5.1%
Months 17M (6%)
CAGR 1.6% | Win 56%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 8% | MDD -15.1%
Months 34M (12%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 4.5% | Win 55%
Sharpe 0.70 | Sortino 1.19 | Calmar 0.5
Vol 7% | MDD -9.4%
Months 205M (72%)
CAGR 2.7% | Win 59%
Sharpe 0.67 | Sortino 1.12 | Calmar 0.7
Vol 4% | MDD -3.9%
Months 27M (10%)
CAGR 4.3% | Win 56%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 6% | MDD -9.9%
Months 232M (82%)
RSI
neg
CAGR 2.1% | Win 56%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.2
Vol 7% | MDD -10.4%
Months 27M (10%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.09 | Calmar 0.0
Vol 9% | MDD -11.2%
Months 24M (8%)
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.2%
Months 51M (18%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.7% | Win 56%
Sharpe 0.64 | Sortino 1.13 | Calmar 0.5
Vol 6% | MDD -7.8%
Months 100M (35%)
CAGR 5.8% | Win 54%
Sharpe 0.79 | Sortino 1.43 | Calmar 1.1
Vol 8% | MDD -5.3%
Months 37M (13%)
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
MACDhist
neg
CAGR 2.6% | Win 50%
Sharpe 0.37 | Sortino 0.62 | Calmar 0.4
Vol 8% | MDD -6.3%
Months 36M (13%)
CAGR 3.3% | Win 56%
Sharpe 0.53 | Sortino 0.80 | Calmar 0.2
Vol 7% | MDD -20.0%
Months 110M (39%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
RSIhist
only
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.5% | Win 56%
Sharpe 0.70 | Sortino 1.25 | Calmar 0.4
Vol 6% | MDD -10.4%
Months 136M (48%)
CAGR -14.1% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 4.3% | Win 56%
Sharpe 0.68 | Sortino 1.23 | Calmar 0.4
Vol 6% | MDD -11.5%
Months 137M (48%)
MACDhist
neg
CAGR 3.9% | Win 54%
Sharpe 0.58 | Sortino 0.93 | Calmar 0.3
Vol 7% | MDD -14.8%
Months 96M (34%)
CAGR 1.8% | Win 56%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 50M (18%)
CAGR 3.2% | Win 55%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 7% | MDD -20.2%
Months 146M (52%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.7% | Win 56%
Sharpe 0.59 | Sortino 0.97 | Calmar 0.4
Vol 6% | MDD -8.6%
Months 120M (42%)
CAGR 1.3% | Win 44%
Sharpe 0.23 | Sortino 0.51 | Calmar 0.3
Vol 6% | MDD -5.1%
Months 16M (6%)
CAGR 3.4% | Win 54%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.4
Vol 6% | MDD -8.1%
Months 136M (48%)
RSIhist
neg
CAGR 4.7% | Win 55%
Sharpe 0.71 | Sortino 1.23 | Calmar 0.3
Vol 7% | MDD -17.1%
Months 112M (40%)
CAGR 1.5% | Win 60%
Sharpe 0.25 | Sortino 0.33 | Calmar 0.1
Vol 7% | MDD -14.4%
Months 35M (12%)
CAGR 4.0% | Win 56%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 7% | MDD -20.4%
Months 147M (52%)
LWTI
only
CAGR 4.2% | Win 55%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 7% | MDD -16.3%
Months 232M (82%)
CAGR 1.5% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 7% | MDD -14.7%
Months 51M (18%)