IGOV - iShares International Treasury Bond ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

27.3%

Best CAGR

58

Total Months

1.1%

Avg CAGR

IGOV 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 IGOV

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 2 1.0 27.3 100.0 4.9 0.0 0.0 5.0 0.0
pair RSmean LWTI neg-neg 2 1.0 27.3 100.0 4.9 0.0 0.0 5.0 0.0
pair MACDhist LWTI pos-neg 4 2.0 12.6 75.0 1.9 0.0 9.7 6.4 -1.3
pair LWTI MACDhist pos-neg 4 2.0 12.6 75.0 1.9 0.0 9.7 6.4 -1.3
pair RSmean RSIhist neg-neg 15 7.3 10.9 66.7 1.4 2.8 3.1 7.7 -3.5
pair RSIhist RSmean neg-neg 15 7.3 10.9 66.7 1.4 2.8 3.1 7.7 -3.5
pair RSmean MACDhist neg-neg 17 8.3 9.3 64.7 1.0 1.5 1.5 9.3 -6.3
pair MACDhist RSmean neg-neg 17 8.3 9.3 64.7 1.0 1.5 1.5 9.3 -6.3
pair RSmean SLmean pos-neg 5 2.4 8.9 80.0 1.6 0.0 10.0 5.2 -0.9
pair SLmean RSmean pos-neg 5 2.4 8.9 80.0 1.6 0.0 10.0 5.2 -0.9
pair LWTI RSIhist pos-neg 27 13.2 8.4 70.4 0.9 1.1 1.2 9.5 -6.7
pair RSIhist LWTI pos-neg 27 13.2 8.4 70.4 0.9 1.1 1.2 9.5 -6.7
pair MACD SLmean pos-neg 30 14.6 7.6 66.7 0.7 1.1 0.8 10.8 -9.3
pair SLmean MACD pos-neg 30 14.6 7.6 66.7 0.7 1.1 0.8 10.8 -9.3
pair RSmean RSI neg-pos 15 7.3 7.6 66.7 0.9 1.1 1.2 8.8 -6.3
pair RSI RSmean neg-pos 15 7.3 7.6 66.7 0.9 1.1 1.2 8.8 -6.3
pair MRmean LWTI pos-neg 15 7.3 7.2 73.3 0.8 0.8 1.1 10.0 -6.7
pair LWTI MRmean pos-neg 15 7.3 7.2 73.3 0.8 0.8 1.1 10.0 -6.7
pair MACD MACDhist neg-pos 30 14.6 7.0 63.3 0.7 1.5 0.9 10.2 -7.6
pair MACDhist MACD neg-pos 30 14.6 7.0 63.3 0.7 1.5 0.9 10.2 -7.6
pair LWTI MACD neg-pos 54 26.3 6.8 61.1 0.7 1.3 0.6 9.4 -11.7
pair MACD LWTI neg-pos 54 26.3 6.8 61.1 0.7 1.3 0.6 9.4 -11.7
pair SLmean RSI pos-neg 15 7.3 6.7 53.3 0.6 1.2 0.7 11.7 -9.3
pair RSI SLmean pos-neg 15 7.3 6.7 53.3 0.6 1.2 0.7 11.7 -9.3
pair RSmean MACD neg-neg 20 9.8 6.4 70.0 0.7 1.0 1.0 9.2 -6.3
pair MACD RSmean neg-neg 20 9.8 6.4 70.0 0.7 1.0 1.0 9.2 -6.3
pair RSmean MRmean pos-neg 3 1.5 6.3 100.0 2.7 0.0 0.0 2.3 0.0
pair MRmean RSmean pos-neg 3 1.5 6.3 100.0 2.7 0.0 0.0 2.3 0.0
pair RSI LWTI pos-neg 18 8.8 6.2 72.2 0.7 0.7 0.6 9.0 -9.9
pair LWTI RSI pos-neg 18 8.8 6.2 72.2 0.7 0.7 0.6 9.0 -9.9
pair RSI MACD neg-pos 31 15.1 6.0 64.5 0.7 0.8 0.5 9.5 -11.9
pair MACD RSI neg-pos 31 15.1 6.0 64.5 0.7 0.8 0.5 9.5 -11.9
pair MRmean RSIhist neg-pos 20 9.8 5.6 60.0 0.5 0.8 0.8 11.1 -7.0
pair RSIhist MRmean neg-pos 20 9.8 5.6 60.0 0.5 0.8 0.8 11.1 -7.0
pair RSIhist MACDhist neg-pos 38 18.5 5.5 65.8 0.6 0.8 0.8 10.0 -6.7
pair MACDhist RSIhist neg-pos 38 18.5 5.5 65.8 0.6 0.8 0.8 10.0 -6.7
pair RSI LWTI neg-pos 44 21.5 4.7 52.3 0.6 1.1 0.4 9.1 -11.7
pair LWTI RSI neg-pos 44 21.5 4.7 52.3 0.6 1.1 0.4 9.1 -11.7
pair MACDhist RSI neg-pos 23 11.2 4.3 56.5 0.5 0.9 0.6 10.5 -7.4
pair RSI MACDhist neg-pos 23 11.2 4.3 56.5 0.5 0.9 0.6 10.5 -7.4
pair MACDhist LWTI neg-pos 65 31.7 4.3 55.4 0.6 1.0 0.4 7.6 -11.7
pair LWTI MACDhist neg-pos 65 31.7 4.3 55.4 0.6 1.0 0.4 7.6 -11.7
pair MACDhist RSI pos-neg 58 28.3 4.1 62.1 0.5 0.7 0.3 8.2 -11.9
single RSmean RSmean neg-neg 24 11.7 4.1 66.7 0.5 0.7 0.5 8.7 -8.5
pair RSI MACDhist pos-neg 58 28.3 4.1 62.1 0.5 0.7 0.3 8.2 -11.9
pair MACD LWTI pos-neg 19 9.3 4.0 63.2 0.7 1.1 1.1 5.8 -3.8
pair MACDhist MRmean pos-neg 33 16.1 4.0 63.6 0.5 0.7 0.6 8.7 -6.7
pair MRmean MACDhist pos-neg 33 16.1 4.0 63.6 0.5 0.7 0.6 8.7 -6.7
pair RSIhist RSI neg-pos 26 12.7 4.0 57.7 0.4 0.8 0.4 11.2 -11.1
pair RSI RSIhist neg-pos 26 12.7 4.0 57.7 0.4 0.8 0.4 11.2 -11.1
pair LWTI MACD pos-neg 19 9.3 4.0 63.2 0.7 1.1 1.1 5.8 -3.8
pair RSIhist MACD neg-pos 42 20.5 3.9 61.9 0.4 0.7 0.3 11.1 -11.1
pair MACD RSIhist neg-pos 42 20.5 3.9 61.9 0.4 0.7 0.3 11.1 -11.1
pair RSmean MRmean neg-neg 21 10.2 3.8 61.9 0.5 0.7 0.4 9.3 -9.0
pair MRmean RSmean neg-neg 21 10.2 3.8 61.9 0.5 0.7 0.4 9.3 -9.0
pair MRmean LWTI neg-pos 64 31.2 3.5 51.6 0.4 0.7 0.2 8.7 -16.9
pair LWTI MRmean neg-pos 64 31.2 3.5 51.6 0.4 0.7 0.2 8.7 -16.9
pair SLmean RSmean neg-neg 19 9.3 2.9 63.2 0.3 0.5 0.3 9.5 -11.1
pair RSmean SLmean neg-neg 19 9.3 2.9 63.2 0.3 0.5 0.3 9.5 -11.1
pair MACD MACDhist pos-neg 56 27.3 2.7 55.4 0.4 0.8 0.3 6.7 -7.9
pair RSIhist LWTI neg-pos 68 33.2 2.7 51.5 0.4 0.7 0.2 7.4 -13.9
pair MACDhist MACD pos-neg 56 27.3 2.7 55.4 0.4 0.8 0.3 6.7 -7.9
pair MRmean MACD pos-neg 29 14.1 2.7 62.1 0.3 0.5 0.2 10.0 -10.7
pair MACD MRmean pos-neg 29 14.1 2.7 62.1 0.3 0.5 0.2 10.0 -10.7
pair LWTI RSIhist neg-pos 68 33.2 2.7 51.5 0.4 0.7 0.2 7.4 -13.9
pair RSIhist RSmean pos-pos 99 48.3 2.5 58.6 0.3 0.5 0.3 8.6 -8.7
pair RSmean RSIhist pos-pos 99 48.3 2.5 58.6 0.3 0.5 0.3 8.6 -8.7
single MACD MACD neg-neg 91 44.4 2.4 59.3 0.3 0.4 0.1 10.8 -25.3
pair MACD MRmean neg-neg 62 30.2 2.3 58.1 0.3 0.4 0.1 11.3 -25.3
pair MRmean MACD neg-neg 62 30.2 2.3 58.1 0.3 0.4 0.1 11.3 -25.3
pair SLmean LWTI pos-neg 22 10.7 2.2 63.6 0.3 0.3 0.2 10.2 -9.9
pair LWTI SLmean pos-neg 22 10.7 2.2 63.6 0.3 0.3 0.2 10.2 -9.9
pair LWTI RSmean neg-pos 22 10.7 2.2 63.6 0.3 0.4 0.2 8.9 -11.5
pair RSmean LWTI neg-pos 22 10.7 2.2 63.6 0.3 0.4 0.2 8.9 -11.5
pair MACDhist SLmean pos-neg 40 19.5 1.7 60.0 0.2 0.3 0.1 9.0 -12.0
single RSIhist RSIhist pos-pos 108 52.7 1.7 59.3 0.2 0.4 0.1 8.7 -13.2
pair SLmean RSIhist neg-pos 19 9.3 1.7 68.4 0.2 0.3 0.2 9.8 -9.7
pair RSIhist SLmean neg-pos 19 9.3 1.7 68.4 0.2 0.3 0.2 9.8 -9.7
pair RSIhist SLmean pos-pos 89 43.4 1.7 57.3 0.2 0.4 0.1 8.5 -13.2
pair SLmean MACDhist pos-neg 40 19.5 1.7 60.0 0.2 0.3 0.1 9.0 -12.0
pair SLmean RSIhist pos-pos 89 43.4 1.7 57.3 0.2 0.4 0.1 8.5 -13.2
single MACDhist MACDhist neg-neg 117 57.1 1.4 56.4 0.2 0.3 0.1 9.3 -31.1
pair MACD RSmean pos-neg 71 34.6 1.4 56.3 0.2 0.3 0.1 11.3 -25.3
pair RSmean MACD pos-neg 71 34.6 1.4 56.3 0.2 0.3 0.1 11.3 -25.3
pair MRmean SLmean pos-pos 87 42.4 1.4 58.6 0.2 0.3 0.2 8.0 -8.3
pair SLmean MRmean pos-pos 87 42.4 1.4 58.6 0.2 0.3 0.2 8.0 -8.3
pair SLmean MACDhist neg-neg 77 37.6 1.3 54.5 0.2 0.2 0.0 9.4 -30.3
pair MACDhist SLmean neg-neg 77 37.6 1.3 54.5 0.2 0.2 0.0 9.4 -30.3
pair SLmean LWTI neg-pos 72 35.1 1.2 52.8 0.2 0.3 0.1 8.3 -17.5
pair LWTI SLmean neg-pos 72 35.1 1.2 52.8 0.2 0.3 0.1 8.3 -17.5
pair MACD RSIhist neg-neg 49 23.9 1.2 57.1 0.2 0.2 0.1 10.7 -25.7
pair RSIhist MACD neg-neg 49 23.9 1.2 57.1 0.2 0.2 0.1 10.7 -25.7
single SLmean SLmean pos-pos 99 48.3 1.1 56.6 0.2 0.3 0.1 8.3 -14.9
pair SLmean RSI neg-pos 39 19.0 1.0 56.4 0.2 0.2 0.1 8.0 -15.7
pair RSIhist RSI pos-pos 82 40.0 1.0 59.8 0.2 0.2 0.1 7.8 -8.0
pair RSI SLmean neg-pos 39 19.0 1.0 56.4 0.2 0.2 0.1 8.0 -15.7
single LWTI LWTI pos-pos 149 72.7 1.0 53.7 0.2 0.3 0.0 8.0 -23.2
pair RSI RSIhist pos-pos 82 40.0 1.0 59.8 0.2 0.2 0.1 7.8 -8.0
pair SLmean LWTI pos-pos 77 37.6 0.8 54.5 0.1 0.2 0.1 7.7 -15.0
pair LWTI SLmean pos-pos 77 37.6 0.8 54.5 0.1 0.2 0.1 7.7 -15.0
pair RSI MRmean neg-neg 71 34.6 0.8 52.1 0.1 0.2 0.0 10.2 -28.4
pair MRmean RSI neg-neg 71 34.6 0.8 52.1 0.1 0.2 0.0 10.2 -28.4
pair RSIhist MRmean pos-pos 88 42.9 0.8 59.1 0.1 0.2 0.1 8.1 -12.6
pair MRmean RSIhist pos-pos 88 42.9 0.8 59.1 0.1 0.2 0.1 8.1 -12.6
pair MACDhist MRmean neg-pos 21 10.2 0.8 47.6 0.1 0.2 0.1 10.4 -12.1
pair MRmean MACDhist neg-pos 21 10.2 0.8 47.6 0.1 0.2 0.1 10.4 -12.1
pair LWTI RSmean pos-pos 127 62.0 0.8 52.0 0.1 0.2 0.0 7.8 -20.2
pair RSmean LWTI pos-pos 127 62.0 0.8 52.0 0.1 0.2 0.0 7.8 -20.2
pair RSmean SLmean pos-pos 94 45.9 0.7 55.3 0.1 0.2 0.1 8.4 -14.1
pair SLmean RSmean pos-pos 94 45.9 0.7 55.3 0.1 0.2 0.1 8.4 -14.1
pair MRmean SLmean neg-neg 93 45.4 0.7 53.8 0.1 0.2 0.0 9.6 -33.7
pair SLmean MRmean neg-neg 93 45.4 0.7 53.8 0.1 0.2 0.0 9.6 -33.7
pair SLmean MACDhist pos-pos 59 28.8 0.7 54.2 0.1 0.2 0.1 7.8 -7.9
pair MACDhist SLmean pos-pos 59 28.8 0.7 54.2 0.1 0.2 0.1 7.8 -7.9
pair MACD RSI neg-neg 60 29.3 0.7 56.7 0.1 0.2 0.0 11.5 -25.3
pair RSI MACD neg-neg 60 29.3 0.7 56.7 0.1 0.2 0.0 11.5 -25.3
pair RSI RSmean pos-neg 73 35.6 0.7 50.7 0.1 0.2 0.0 10.5 -28.4
pair RSmean RSI pos-neg 73 35.6 0.7 50.7 0.1 0.2 0.0 10.5 -28.4
pair RSI MRmean pos-pos 89 43.4 0.6 58.4 0.1 0.2 0.1 7.4 -10.8
pair MRmean RSI pos-pos 89 43.4 0.6 58.4 0.1 0.2 0.1 7.4 -10.8
single MRmean MRmean neg-neg 105 51.2 0.5 52.4 0.1 0.1 0.0 9.6 -30.9
pair MRmean MACDhist neg-neg 84 41.0 0.4 53.6 0.1 0.1 0.0 9.5 -30.9
pair MACDhist MRmean neg-neg 84 41.0 0.4 53.6 0.1 0.1 0.0 9.5 -30.9
single RSI RSI pos-pos 123 60.0 0.4 56.9 0.1 0.1 0.0 7.7 -17.8
pair benchmark___benchmark_ benchmark-benchmark 205 100.0 0.4 55.1 0.1 0.1 0.0 8.8 -33.9
pair benchmark___benchmark_ benchmark-benchmark 205 100.0 0.4 55.1 0.1 0.1 0.0 8.8 -33.9
single RSI RSI neg-neg 82 40.0 0.4 52.4 0.1 0.1 0.0 10.3 -28.4
pair MACDhist MACD neg-neg 61 29.8 0.3 57.4 0.1 0.1 0.0 11.2 -25.3
pair MACD MACDhist neg-neg 61 29.8 0.3 57.4 0.1 0.1 0.0 11.2 -25.3
pair MACD RSIhist pos-pos 66 32.2 0.3 57.6 0.1 0.1 0.0 6.8 -12.4
pair RSIhist MACD pos-pos 66 32.2 0.3 57.6 0.1 0.1 0.0 6.8 -12.4
single MRmean MRmean pos-pos 100 48.8 0.3 58.0 0.1 0.1 0.0 7.8 -15.7
pair RSI SLmean pos-pos 84 41.0 0.2 57.1 0.1 0.1 0.0 7.6 -12.2
pair SLmean RSI pos-pos 84 41.0 0.2 57.1 0.1 0.1 0.0 7.6 -12.2
pair MACDhist RSmean pos-neg 100 48.8 0.2 55.0 0.1 0.1 0.0 9.2 -28.7
pair RSmean MACDhist pos-neg 100 48.8 0.2 55.0 0.1 0.1 0.0 9.2 -28.7
pair RSmean MRmean pos-pos 97 47.3 0.2 56.7 0.1 0.1 0.0 7.9 -15.9
pair MRmean RSmean pos-pos 97 47.3 0.2 56.7 0.1 0.1 0.0 7.9 -15.9
pair MRmean RSI neg-pos 34 16.6 -0.0 52.9 0.0 0.1 -0.0 8.5 -17.4
pair RSI MRmean neg-pos 34 16.6 -0.0 52.9 0.0 0.1 -0.0 8.5 -17.4
pair MACD SLmean neg-neg 61 29.8 0.0 55.7 0.1 0.1 0.0 10.8 -27.7
pair SLmean MACD neg-neg 61 29.8 0.0 55.7 0.1 0.1 0.0 10.8 -27.7
single RSmean RSmean pos-pos 181 88.3 -0.1 53.6 0.0 0.1 -0.0 8.8 -31.5
single SLmean SLmean neg-neg 106 51.7 -0.2 53.8 0.0 0.0 -0.0 9.2 -34.6
pair RSI MACD pos-neg 22 10.7 -0.3 40.9 -0.0 -0.0 -0.0 5.8 -8.8
pair MACD RSI pos-neg 22 10.7 -0.3 40.9 -0.0 -0.0 -0.0 5.8 -8.8
pair MRmean RSmean neg-pos 84 41.0 -0.3 50.0 0.0 0.0 -0.0 9.7 -29.9
pair RSmean MRmean neg-pos 84 41.0 -0.3 50.0 0.0 0.0 -0.0 9.7 -29.9
pair RSIhist MACDhist pos-pos 70 34.1 -0.3 55.7 0.0 0.0 -0.0 7.9 -14.2
pair MACDhist RSIhist pos-pos 70 34.1 -0.3 55.7 0.0 0.0 -0.0 7.9 -14.2
pair MACDhist RSmean pos-pos 81 39.5 -0.3 51.9 0.0 0.0 -0.0 8.2 -15.2
pair RSmean MACDhist pos-pos 81 39.5 -0.3 51.9 0.0 0.0 -0.0 8.2 -15.2
pair RSIhist MACDhist neg-neg 79 38.5 -0.4 51.9 -0.0 -0.0 -0.0 8.9 -31.2
pair MACDhist RSIhist neg-neg 79 38.5 -0.4 51.9 -0.0 -0.0 -0.0 8.9 -31.2
pair RSI LWTI pos-pos 105 51.2 -0.5 54.3 -0.0 -0.1 -0.0 7.4 -22.0
pair LWTI RSI pos-pos 105 51.2 -0.5 54.3 -0.0 -0.1 -0.0 7.4 -22.0
pair LWTI RSIhist pos-pos 81 39.5 -0.5 55.6 -0.0 -0.0 -0.0 8.4 -16.0
pair RSIhist LWTI pos-pos 81 39.5 -0.5 55.6 -0.0 -0.0 -0.0 8.4 -16.0
pair RSmean RSI pos-pos 108 52.7 -0.5 55.6 -0.0 -0.1 -0.0 7.5 -16.9
pair RSI RSmean pos-pos 108 52.7 -0.5 55.6 -0.0 -0.1 -0.0 7.5 -16.9
pair SLmean MACD neg-pos 45 22.0 -0.5 51.1 -0.0 -0.1 -0.0 6.6 -14.5
pair MACD SLmean neg-pos 45 22.0 -0.5 51.1 -0.0 -0.1 -0.0 6.6 -14.5
pair MRmean MACD pos-pos 71 34.6 -0.6 56.3 -0.1 -0.1 -0.0 6.8 -14.7
pair MACD MRmean pos-pos 71 34.6 -0.6 56.3 -0.1 -0.1 -0.0 6.8 -14.7
pair MRmean RSIhist neg-neg 85 41.5 -0.6 50.6 -0.0 -0.0 -0.0 9.3 -35.3
pair RSIhist MRmean neg-neg 85 41.5 -0.6 50.6 -0.0 -0.0 -0.0 9.3 -35.3
pair SLmean RSIhist neg-neg 87 42.4 -0.6 50.6 -0.0 -0.0 -0.0 9.2 -37.2
pair RSIhist SLmean neg-neg 87 42.4 -0.6 50.6 -0.0 -0.0 -0.0 9.2 -37.2
pair RSIhist RSI pos-neg 41 20.0 -0.6 51.2 -0.0 -0.1 -0.0 7.4 -15.2
pair RSI RSIhist pos-neg 41 20.0 -0.6 51.2 -0.0 -0.1 -0.0 7.4 -15.2
pair MRmean LWTI pos-pos 85 41.5 -0.8 55.3 -0.1 -0.1 -0.1 7.4 -17.0
pair LWTI MRmean pos-pos 85 41.5 -0.8 55.3 -0.1 -0.1 -0.1 7.4 -17.0
pair SLmean RSI neg-neg 67 32.7 -0.9 52.2 -0.1 -0.1 -0.0 9.9 -31.7
pair RSI SLmean neg-neg 67 32.7 -0.9 52.2 -0.1 -0.1 -0.0 9.9 -31.7
pair SLmean MRmean neg-pos 12 5.9 -0.9 41.7 -0.0 -0.1 -0.1 10.6 -9.0
pair MRmean SLmean neg-pos 12 5.9 -0.9 41.7 -0.0 -0.1 -0.1 10.6 -9.0
pair SLmean RSmean neg-pos 87 42.4 -0.9 51.7 -0.1 -0.1 -0.0 9.2 -32.8
pair RSmean SLmean neg-pos 87 42.4 -0.9 51.7 -0.1 -0.1 -0.0 9.2 -32.8
single MACDhist MACDhist pos-pos 88 42.9 -0.9 53.4 -0.1 -0.1 -0.1 8.1 -19.1
single RSIhist RSIhist neg-neg 97 47.3 -1.0 50.5 -0.1 -0.1 -0.0 8.9 -37.0
single LWTI LWTI neg-neg 56 27.3 -1.0 58.9 -0.0 -0.1 -0.0 10.7 -28.1
pair RSmean MACD pos-pos 110 53.7 -1.0 51.8 -0.1 -0.2 -0.0 6.7 -22.5
pair MACD RSmean pos-pos 110 53.7 -1.0 51.8 -0.1 -0.2 -0.0 6.7 -22.5
pair RSI MACDhist neg-neg 59 28.8 -1.1 50.8 -0.1 -0.1 -0.0 10.2 -28.4
pair MACDhist RSI neg-neg 59 28.8 -1.1 50.8 -0.1 -0.1 -0.0 10.2 -28.4
single MACD MACD pos-pos 114 55.6 -1.2 51.8 -0.1 -0.2 -0.1 6.7 -22.5
pair RSI RSIhist neg-neg 56 27.3 -1.2 50.0 -0.1 -0.1 -0.0 9.9 -32.2
pair RSIhist RSI neg-neg 56 27.3 -1.2 50.0 -0.1 -0.1 -0.0 9.9 -32.2
pair RSI MACD pos-pos 92 44.9 -1.4 54.3 -0.2 -0.2 -0.1 6.9 -21.2
pair MACD RSI pos-pos 92 44.9 -1.4 54.3 -0.2 -0.2 -0.1 6.9 -21.2
pair MACDhist MRmean pos-pos 67 32.7 -1.4 55.2 -0.2 -0.3 -0.1 7.4 -15.2
pair MRmean MACDhist pos-pos 67 32.7 -1.4 55.2 -0.2 -0.3 -0.1 7.4 -15.2
pair MACDhist LWTI pos-pos 84 41.0 -1.5 52.4 -0.1 -0.2 -0.1 8.2 -22.3
pair LWTI MACDhist pos-pos 84 41.0 -1.5 52.4 -0.1 -0.2 -0.1 8.2 -22.3
pair RSmean RSI neg-neg 9 4.4 -1.6 66.7 -0.1 -0.3 -0.2 8.9 -6.3
pair RSI RSmean neg-neg 9 4.4 -1.6 66.7 -0.1 -0.3 -0.2 8.9 -6.3
pair MACD SLmean pos-pos 69 33.7 -1.6 52.2 -0.2 -0.3 -0.1 6.8 -17.9
pair SLmean MACD pos-pos 69 33.7 -1.6 52.2 -0.2 -0.3 -0.1 6.8 -17.9
pair MRmean RSI pos-neg 11 5.4 -2.0 54.5 -0.1 -0.4 -0.2 11.1 -8.3
pair RSI MRmean pos-neg 11 5.4 -2.0 54.5 -0.1 -0.4 -0.2 11.1 -8.3
pair MACDhist LWTI neg-neg 52 25.4 -2.0 57.7 -0.1 -0.2 -0.1 11.0 -28.1
pair LWTI MACDhist neg-neg 52 25.4 -2.0 57.7 -0.1 -0.2 -0.1 11.0 -28.1
pair LWTI RSmean pos-neg 54 26.3 -2.0 57.4 -0.1 -0.2 -0.1 10.8 -28.1
pair RSmean LWTI pos-neg 54 26.3 -2.0 57.4 -0.1 -0.2 -0.1 10.8 -28.1
pair MACD MRmean neg-pos 43 21.0 -2.0 44.2 -0.3 -0.4 -0.1 6.6 -14.2
pair MRmean MACD neg-pos 43 21.0 -2.0 44.2 -0.3 -0.4 -0.1 6.6 -14.2
pair LWTI MACD pos-pos 95 46.3 -2.2 49.5 -0.3 -0.4 -0.1 6.9 -25.5
pair MACD LWTI pos-pos 95 46.3 -2.2 49.5 -0.3 -0.4 -0.1 6.9 -25.5
pair MACDhist RSI pos-pos 65 31.7 -2.7 52.3 -0.3 -0.5 -0.2 7.1 -15.4
pair RSI MACDhist pos-pos 65 31.7 -2.7 52.3 -0.3 -0.5 -0.2 7.1 -15.4
pair RSmean RSIhist pos-neg 82 40.0 -3.0 47.6 -0.3 -0.4 -0.1 9.0 -35.6
pair RSIhist RSmean pos-neg 82 40.0 -3.0 47.6 -0.3 -0.4 -0.1 9.0 -35.6
pair RSIhist MACD pos-neg 48 23.4 -3.1 43.8 -0.5 -0.7 -0.2 6.6 -15.9
pair MACD RSIhist pos-neg 48 23.4 -3.1 43.8 -0.5 -0.7 -0.2 6.6 -15.9
pair SLmean LWTI neg-neg 34 16.6 -3.1 55.9 -0.2 -0.3 -0.1 11.2 -28.1
pair LWTI SLmean neg-neg 34 16.6 -3.1 55.9 -0.2 -0.3 -0.1 11.2 -28.1
pair MACDhist RSIhist pos-neg 18 8.8 -3.3 44.4 -0.3 -0.5 -0.3 8.9 -10.5
pair RSIhist MACDhist pos-neg 18 8.8 -3.3 44.4 -0.3 -0.5 -0.3 8.9 -10.5
pair RSIhist MRmean pos-neg 12 5.9 -3.3 50.0 -0.7 -1.0 -0.9 4.9 -3.8
pair MRmean RSIhist pos-neg 12 5.9 -3.3 50.0 -0.7 -1.0 -0.9 4.9 -3.8
pair LWTI MACD neg-neg 37 18.0 -3.5 56.8 -0.2 -0.3 -0.1 12.6 -25.3
pair MACD LWTI neg-neg 37 18.0 -3.5 56.8 -0.2 -0.3 -0.1 12.6 -25.3
pair RSIhist SLmean pos-neg 10 4.9 -3.8 50.0 -0.7 -1.0 -0.8 5.5 -5.1
pair SLmean RSIhist pos-neg 10 4.9 -3.8 50.0 -0.7 -1.0 -0.8 5.5 -5.1
pair MRmean LWTI neg-neg 41 20.0 -3.9 53.7 -0.3 -0.4 -0.1 11.0 -28.1
pair LWTI MRmean neg-neg 41 20.0 -3.9 53.7 -0.3 -0.4 -0.1 11.0 -28.1
pair SLmean MACDhist neg-pos 29 14.1 -4.1 51.7 -0.4 -0.6 -0.3 8.8 -13.4
pair MACDhist SLmean neg-pos 29 14.1 -4.1 51.7 -0.4 -0.6 -0.3 8.8 -13.4
pair RSI LWTI neg-neg 38 18.5 -4.3 52.6 -0.3 -0.5 -0.1 11.4 -28.1
pair LWTI RSI neg-neg 38 18.5 -4.3 52.6 -0.3 -0.5 -0.1 11.4 -28.1
pair MACD MACDhist pos-pos 58 28.3 -4.8 48.3 -0.7 -0.9 -0.2 6.6 -22.6
pair MACDhist MACD pos-pos 58 28.3 -4.8 48.3 -0.7 -0.9 -0.2 6.6 -22.6
pair RSmean RSIhist neg-pos 9 4.4 -6.3 66.7 -0.6 -1.0 -0.8 10.0 -7.4
pair RSIhist RSmean neg-pos 9 4.4 -6.3 66.7 -0.6 -1.0 -0.8 10.0 -7.4
pair SLmean MRmean pos-neg 13 6.3 -6.5 53.8 -1.0 -1.3 -0.7 6.6 -9.6
pair MRmean SLmean pos-neg 13 6.3 -6.5 53.8 -1.0 -1.3 -0.7 6.6 -9.6
pair RSmean MACD neg-pos 4 2.0 -6.7 50.0 -1.2 -1.6 -1.9 5.7 -3.5
pair MACD RSmean neg-pos 4 2.0 -6.7 50.0 -1.2 -1.6 -1.9 5.7 -3.5
pair RSmean MACDhist neg-pos 7 3.4 -7.5 71.4 -1.2 -1.3 -1.2 6.6 -6.3
pair MACDhist RSmean neg-pos 7 3.4 -7.5 71.4 -1.2 -1.3 -1.2 6.6 -6.3
pair LWTI RSIhist neg-neg 29 14.1 -9.1 48.3 -0.8 -1.1 -0.3 11.3 -28.1
pair RSIhist LWTI neg-neg 29 14.1 -9.1 48.3 -0.8 -1.1 -0.3 11.3 -28.1

All Contingency Tables for IGOV

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 1.4% | Win 59%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.2
Vol 8% | MDD -8.3%
Months 87M (42%)
CAGR -6.5% | Win 54%
Sharpe -0.99 | Sortino -1.34 | Calmar -0.7
Vol 7% | MDD -9.6%
Months 13M (6%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR -0.9% | Win 42%
Sharpe -0.03 | Sortino -0.06 | Calmar -0.1
Vol 11% | MDD -9.0%
Months 12M (6%)
CAGR 0.7% | Win 54%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 10% | MDD -33.7%
Months 93M (45%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
SLmean
only
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 0.2% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 8% | MDD -15.9%
Months 97M (47%)
CAGR 6.3% | Win 100%
Sharpe 2.69 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 3M (2%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR -0.3% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 10% | MDD -29.9%
Months 84M (41%)
CAGR 3.8% | Win 62%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.4
Vol 9% | MDD -9.0%
Months 21M (10%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
RSmean
only
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -0.6% | Win 56%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.0
Vol 7% | MDD -14.7%
Months 71M (35%)
CAGR 2.7% | Win 62%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.3
Vol 10% | MDD -10.7%
Months 29M (14%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR -2.0% | Win 44%
Sharpe -0.28 | Sortino -0.39 | Calmar -0.1
Vol 7% | MDD -14.2%
Months 43M (21%)
CAGR 2.3% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 62M (30%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
MACD
only
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 0.6% | Win 58%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.1
Vol 7% | MDD -10.8%
Months 89M (43%)
CAGR -2.0% | Win 55%
Sharpe -0.13 | Sortino -0.39 | Calmar -0.2
Vol 11% | MDD -8.3%
Months 11M (5%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR -0.0% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 8% | MDD -17.4%
Months 34M (17%)
CAGR 0.8% | Win 52%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 71M (35%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
RSI
only
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -1.4% | Win 55%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.1
Vol 7% | MDD -15.2%
Months 67M (33%)
CAGR 4.0% | Win 64%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.6
Vol 9% | MDD -6.7%
Months 33M (16%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR 0.8% | Win 48%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.1
Vol 10% | MDD -12.1%
Months 21M (10%)
CAGR 0.4% | Win 54%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 84M (41%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
MACDhist
only
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 0.8% | Win 59%
Sharpe 0.14 | Sortino 0.22 | Calmar 0.1
Vol 8% | MDD -12.6%
Months 88M (43%)
CAGR -3.3% | Win 50%
Sharpe -0.65 | Sortino -1.03 | Calmar -0.9
Vol 5% | MDD -3.8%
Months 12M (6%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR 5.6% | Win 60%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.8
Vol 11% | MDD -7.0%
Months 20M (10%)
CAGR -0.6% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 9% | MDD -35.3%
Months 85M (42%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -0.8% | Win 55%
Sharpe -0.08 | Sortino -0.13 | Calmar -0.1
Vol 7% | MDD -17.0%
Months 85M (42%)
CAGR 7.2% | Win 73%
Sharpe 0.75 | Sortino 0.83 | Calmar 1.1
Vol 10% | MDD -6.7%
Months 15M (7%)
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -15.7%
Months 100M (49%)
MRmean
neg
CAGR 3.5% | Win 52%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 9% | MDD -16.9%
Months 64M (31%)
CAGR -3.9% | Win 54%
Sharpe -0.31 | Sortino -0.42 | Calmar -0.1
Vol 11% | MDD -28.1%
Months 41M (20%)
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -30.9%
Months 105M (51%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 0.7% | Win 55%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.1
Vol 8% | MDD -14.1%
Months 94M (46%)
CAGR 8.9% | Win 80%
Sharpe 1.65 | Sortino 0.00 | Calmar 10.0
Vol 5% | MDD -0.9%
Months 5M (2%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR -0.9% | Win 52%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.0
Vol 9% | MDD -32.8%
Months 87M (42%)
CAGR 2.9% | Win 63%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.3
Vol 10% | MDD -11.1%
Months 19M (9%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
RSmean
only
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -1.6% | Win 52%
Sharpe -0.20 | Sortino -0.32 | Calmar -0.1
Vol 7% | MDD -17.9%
Months 69M (34%)
CAGR 7.6% | Win 67%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.8
Vol 11% | MDD -9.3%
Months 30M (15%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR -0.5% | Win 51%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 7% | MDD -14.5%
Months 45M (22%)
CAGR 0.0% | Win 56%
Sharpe 0.05 | Sortino 0.08 | Calmar 0.0
Vol 11% | MDD -27.7%
Months 61M (30%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
MACD
only
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 0.2% | Win 57%
Sharpe 0.06 | Sortino 0.08 | Calmar 0.0
Vol 8% | MDD -12.2%
Months 84M (41%)
CAGR 6.7% | Win 53%
Sharpe 0.61 | Sortino 1.19 | Calmar 0.7
Vol 12% | MDD -9.3%
Months 15M (7%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR 1.0% | Win 56%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.1
Vol 8% | MDD -15.7%
Months 39M (19%)
CAGR -0.9% | Win 52%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.0
Vol 10% | MDD -31.7%
Months 67M (33%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
RSI
only
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 0.7% | Win 54%
Sharpe 0.13 | Sortino 0.23 | Calmar 0.1
Vol 8% | MDD -7.9%
Months 59M (29%)
CAGR 1.7% | Win 60%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 9% | MDD -12.0%
Months 40M (20%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR -4.1% | Win 52%
Sharpe -0.44 | Sortino -0.64 | Calmar -0.3
Vol 9% | MDD -13.4%
Months 29M (14%)
CAGR 1.3% | Win 55%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 9% | MDD -30.3%
Months 77M (38%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
MACDhist
only
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 1.7% | Win 57%
Sharpe 0.24 | Sortino 0.37 | Calmar 0.1
Vol 8% | MDD -13.2%
Months 89M (43%)
CAGR -3.8% | Win 50%
Sharpe -0.69 | Sortino -0.98 | Calmar -0.7
Vol 6% | MDD -5.1%
Months 10M (5%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR 1.7% | Win 68%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.2
Vol 10% | MDD -9.7%
Months 19M (9%)
CAGR -0.6% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 9% | MDD -37.2%
Months 87M (42%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.1
Vol 8% | MDD -15.0%
Months 77M (38%)
CAGR 2.2% | Win 64%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.2
Vol 10% | MDD -9.9%
Months 22M (11%)
CAGR 1.1% | Win 57%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -14.9%
Months 99M (48%)
SLmean
neg
CAGR 1.2% | Win 53%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.1
Vol 8% | MDD -17.5%
Months 72M (35%)
CAGR -3.1% | Win 56%
Sharpe -0.23 | Sortino -0.29 | Calmar -0.1
Vol 11% | MDD -28.1%
Months 34M (17%)
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -34.6%
Months 106M (52%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.0% | Win 52%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.0
Vol 7% | MDD -22.5%
Months 110M (54%)
CAGR 1.4% | Win 56%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 71M (35%)
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
RSmean
neg
CAGR -6.7% | Win 50%
Sharpe -1.19 | Sortino -1.57 | Calmar -1.9
Vol 6% | MDD -3.5%
Months 4M (2%)
CAGR 6.4% | Win 70%
Sharpe 0.72 | Sortino 0.99 | Calmar 1.0
Vol 9% | MDD -6.3%
Months 20M (10%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
MACD
only
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -0.5% | Win 56%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.0
Vol 8% | MDD -16.9%
Months 108M (53%)
CAGR 0.7% | Win 51%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 73M (36%)
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
RSmean
neg
CAGR 7.6% | Win 67%
Sharpe 0.88 | Sortino 1.10 | Calmar 1.2
Vol 9% | MDD -6.3%
Months 15M (7%)
CAGR -1.6% | Win 67%
Sharpe -0.14 | Sortino -0.29 | Calmar -0.2
Vol 9% | MDD -6.3%
Months 9M (4%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
RSI
only
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -0.3% | Win 52%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.0
Vol 8% | MDD -15.2%
Months 81M (40%)
CAGR 0.2% | Win 55%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 9% | MDD -28.7%
Months 100M (49%)
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
RSmean
neg
CAGR -7.5% | Win 71%
Sharpe -1.16 | Sortino -1.29 | Calmar -1.2
Vol 7% | MDD -6.3%
Months 7M (3%)
CAGR 9.3% | Win 65%
Sharpe 1.01 | Sortino 1.47 | Calmar 1.5
Vol 9% | MDD -6.3%
Months 17M (8%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
MACDhist
only
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 59%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.3
Vol 9% | MDD -8.7%
Months 99M (48%)
CAGR -3.0% | Win 48%
Sharpe -0.29 | Sortino -0.40 | Calmar -0.1
Vol 9% | MDD -35.6%
Months 82M (40%)
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
RSmean
neg
CAGR -6.3% | Win 67%
Sharpe -0.61 | Sortino -1.01 | Calmar -0.9
Vol 10% | MDD -7.4%
Months 9M (4%)
CAGR 10.9% | Win 67%
Sharpe 1.39 | Sortino 2.77 | Calmar 3.1
Vol 8% | MDD -3.5%
Months 15M (7%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 0.8% | Win 52%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.0
Vol 8% | MDD -20.2%
Months 127M (62%)
CAGR -2.0% | Win 57%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.1
Vol 11% | MDD -28.1%
Months 54M (26%)
CAGR -0.1% | Win 54%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 9% | MDD -31.5%
Months 181M (88%)
RSmean
neg
CAGR 2.2% | Win 64%
Sharpe 0.29 | Sortino 0.42 | Calmar 0.2
Vol 9% | MDD -11.5%
Months 22M (11%)
CAGR 27.3% | Win 100%
Sharpe 4.91 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 4.1% | Win 67%
Sharpe 0.50 | Sortino 0.73 | Calmar 0.5
Vol 9% | MDD -8.5%
Months 24M (12%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -1.4% | Win 54%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.1
Vol 7% | MDD -21.2%
Months 92M (45%)
CAGR -0.3% | Win 41%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.0
Vol 6% | MDD -8.8%
Months 22M (11%)
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
MACD
neg
CAGR 6.0% | Win 64%
Sharpe 0.66 | Sortino 0.82 | Calmar 0.5
Vol 10% | MDD -11.9%
Months 31M (15%)
CAGR 0.7% | Win 57%
Sharpe 0.11 | Sortino 0.18 | Calmar 0.0
Vol 12% | MDD -25.3%
Months 60M (29%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
RSI
only
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -4.8% | Win 48%
Sharpe -0.71 | Sortino -0.95 | Calmar -0.2
Vol 7% | MDD -22.6%
Months 58M (28%)
CAGR 2.7% | Win 55%
Sharpe 0.44 | Sortino 0.77 | Calmar 0.3
Vol 7% | MDD -7.9%
Months 56M (27%)
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
MACD
neg
CAGR 7.0% | Win 63%
Sharpe 0.72 | Sortino 1.47 | Calmar 0.9
Vol 10% | MDD -7.6%
Months 30M (15%)
CAGR 0.3% | Win 57%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 11% | MDD -25.3%
Months 61M (30%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
MACDhist
only
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 0.3% | Win 58%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 7% | MDD -12.4%
Months 66M (32%)
CAGR -3.1% | Win 44%
Sharpe -0.45 | Sortino -0.65 | Calmar -0.2
Vol 7% | MDD -15.9%
Months 48M (23%)
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
MACD
neg
CAGR 3.9% | Win 62%
Sharpe 0.40 | Sortino 0.68 | Calmar 0.4
Vol 11% | MDD -11.1%
Months 42M (20%)
CAGR 1.2% | Win 57%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 11% | MDD -25.7%
Months 49M (24%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -2.2% | Win 50%
Sharpe -0.28 | Sortino -0.43 | Calmar -0.1
Vol 7% | MDD -25.5%
Months 95M (46%)
CAGR 4.0% | Win 63%
Sharpe 0.70 | Sortino 1.07 | Calmar 1.0
Vol 6% | MDD -3.8%
Months 19M (9%)
CAGR -1.2% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 7% | MDD -22.5%
Months 114M (56%)
MACD
neg
CAGR 6.8% | Win 61%
Sharpe 0.74 | Sortino 1.28 | Calmar 0.6
Vol 9% | MDD -11.7%
Months 54M (26%)
CAGR -3.5% | Win 57%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.1
Vol 13% | MDD -25.3%
Months 37M (18%)
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -25.3%
Months 91M (44%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -2.7% | Win 52%
Sharpe -0.35 | Sortino -0.49 | Calmar -0.2
Vol 7% | MDD -15.4%
Months 65M (32%)
CAGR 4.1% | Win 62%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.3
Vol 8% | MDD -11.9%
Months 58M (28%)
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
RSI
neg
CAGR 4.3% | Win 56%
Sharpe 0.45 | Sortino 0.95 | Calmar 0.6
Vol 10% | MDD -7.4%
Months 23M (11%)
CAGR -1.1% | Win 51%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.0
Vol 10% | MDD -28.4%
Months 59M (29%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
MACDhist
only
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.0% | Win 60%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.1
Vol 8% | MDD -8.0%
Months 82M (40%)
CAGR -0.6% | Win 51%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.0
Vol 7% | MDD -15.2%
Months 41M (20%)
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
RSI
neg
CAGR 4.0% | Win 58%
Sharpe 0.41 | Sortino 0.83 | Calmar 0.4
Vol 11% | MDD -11.1%
Months 26M (13%)
CAGR -1.2% | Win 50%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.0
Vol 10% | MDD -32.2%
Months 56M (27%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -0.5% | Win 54%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.0
Vol 7% | MDD -22.0%
Months 105M (51%)
CAGR 6.2% | Win 72%
Sharpe 0.72 | Sortino 0.74 | Calmar 0.6
Vol 9% | MDD -9.9%
Months 18M (9%)
CAGR 0.4% | Win 57%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -17.8%
Months 123M (60%)
RSI
neg
CAGR 4.7% | Win 52%
Sharpe 0.55 | Sortino 1.14 | Calmar 0.4
Vol 9% | MDD -11.7%
Months 44M (22%)
CAGR -4.3% | Win 53%
Sharpe -0.33 | Sortino -0.46 | Calmar -0.2
Vol 11% | MDD -28.1%
Months 38M (18%)
CAGR 0.4% | Win 52%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 10% | MDD -28.4%
Months 82M (40%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -0.3% | Win 56%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.0
Vol 8% | MDD -14.2%
Months 70M (34%)
CAGR -3.3% | Win 44%
Sharpe -0.33 | Sortino -0.47 | Calmar -0.3
Vol 9% | MDD -10.5%
Months 18M (9%)
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
MACDhist
neg
CAGR 5.5% | Win 66%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.8
Vol 10% | MDD -6.7%
Months 38M (18%)
CAGR -0.4% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -31.2%
Months 79M (38%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
RSIhist
only
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -1.5% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 8% | MDD -22.3%
Months 84M (41%)
CAGR 12.6% | Win 75%
Sharpe 1.89 | Sortino 0.00 | Calmar 9.7
Vol 6% | MDD -1.3%
Months 4M (2%)
CAGR -0.9% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.0
Vol 8% | MDD -19.1%
Months 88M (43%)
MACDhist
neg
CAGR 4.3% | Win 55%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.4
Vol 8% | MDD -11.7%
Months 65M (32%)
CAGR -2.0% | Win 58%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 11% | MDD -28.1%
Months 52M (25%)
CAGR 1.4% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 9% | MDD -31.1%
Months 117M (57%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -0.5% | Win 56%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.0
Vol 8% | MDD -16.0%
Months 81M (40%)
CAGR 8.4% | Win 70%
Sharpe 0.90 | Sortino 1.06 | Calmar 1.3
Vol 10% | MDD -6.7%
Months 27M (13%)
CAGR 1.7% | Win 59%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 9% | MDD -13.2%
Months 108M (53%)
RSIhist
neg
CAGR 2.7% | Win 52%
Sharpe 0.40 | Sortino 0.68 | Calmar 0.2
Vol 7% | MDD -13.9%
Months 68M (33%)
CAGR -9.1% | Win 48%
Sharpe -0.79 | Sortino -1.07 | Calmar -0.3
Vol 11% | MDD -28.1%
Months 29M (14%)
CAGR -1.0% | Win 50%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.0
Vol 9% | MDD -37.0%
Months 97M (47%)
LWTI
only
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.0
Vol 8% | MDD -23.2%
Months 149M (73%)
CAGR -1.0% | Win 59%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -28.1%
Months 56M (27%)