IGV - iShares Expanded Tech-Software Sector ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

308.7%

Best CAGR

84

Total Months

15.5%

Avg CAGR

IGV 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 IGV

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 1 0.3 308.7 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.3 308.7 100.0 0.0 0.0 0.0 - 0.0
pair MRmean SLmean neg-pos 6 2.0 128.2 66.7 3.4 33.0 59.4 26.2 -2.2
pair SLmean MRmean neg-pos 6 2.0 128.2 66.7 3.4 33.0 59.4 26.2 -2.2
pair MACDhist LWTI pos-neg 1 0.3 104.7 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist pos-neg 1 0.3 104.7 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-pos 4 1.4 86.5 75.0 3.0 0.0 0.0 21.9 0.0
pair RSI MACDhist neg-pos 4 1.4 86.5 75.0 3.0 0.0 0.0 21.9 0.0
pair SLmean RSI pos-neg 14 4.7 68.4 78.6 2.1 2.4 4.5 26.9 -15.3
pair RSI SLmean pos-neg 14 4.7 68.4 78.6 2.1 2.4 4.5 26.9 -15.3
pair MACD MACDhist neg-pos 6 2.0 61.1 83.3 4.8 0.0 45.7 10.1 -1.3
pair MACDhist MACD neg-pos 6 2.0 61.1 83.3 4.8 0.0 45.7 10.1 -1.3
pair LWTI RSIhist pos-neg 17 5.8 48.3 70.6 1.7 2.5 3.1 25.9 -15.6
pair RSIhist LWTI pos-neg 17 5.8 48.3 70.6 1.7 2.5 3.1 25.9 -15.6
pair SLmean LWTI pos-neg 14 4.7 47.7 71.4 1.6 2.1 3.1 26.9 -15.3
pair LWTI SLmean pos-neg 14 4.7 47.7 71.4 1.6 2.1 3.1 26.9 -15.3
pair RSI MRmean pos-neg 9 3.1 46.9 88.9 1.6 0.0 0.0 26.5 0.0
pair MRmean RSI pos-neg 9 3.1 46.9 88.9 1.6 0.0 0.0 26.5 0.0
pair RSI RSIhist neg-pos 17 5.8 45.4 70.6 1.5 2.3 2.9 27.6 -15.6
pair RSIhist RSI neg-pos 17 5.8 45.4 70.6 1.5 2.3 2.9 27.6 -15.6
pair MACD SLmean pos-neg 27 9.2 45.0 70.4 1.9 2.7 2.9 21.0 -15.3
pair SLmean MACD pos-neg 27 9.2 45.0 70.4 1.9 2.7 2.9 21.0 -15.3
pair MRmean RSIhist neg-pos 8 2.7 43.7 50.0 1.3 3.6 7.9 30.7 -5.5
pair RSIhist MRmean neg-pos 8 2.7 43.7 50.0 1.3 3.6 7.9 30.7 -5.5
pair SLmean RSIhist pos-neg 34 11.5 42.5 73.5 1.8 3.0 4.0 20.8 -10.7
pair RSIhist SLmean pos-neg 34 11.5 42.5 73.5 1.8 3.0 4.0 20.8 -10.7
pair MRmean RSmean pos-neg 8 2.7 40.6 62.5 1.9 6.0 11.0 18.4 -3.7
pair RSmean MRmean pos-neg 8 2.7 40.6 62.5 1.9 6.0 11.0 18.4 -3.7
pair RSmean SLmean pos-neg 8 2.7 40.6 62.5 1.9 6.0 11.0 18.4 -3.7
pair SLmean RSmean pos-neg 8 2.7 40.6 62.5 1.9 6.0 11.0 18.4 -3.7
pair LWTI MRmean neg-neg 19 6.4 40.5 57.9 1.4 3.6 2.6 28.0 -15.3
pair MRmean LWTI neg-neg 19 6.4 40.5 57.9 1.4 3.6 2.6 28.0 -15.3
pair LWTI RSI neg-neg 26 8.8 39.9 65.4 1.4 2.7 2.6 27.8 -15.6
pair RSI LWTI neg-neg 26 8.8 39.9 65.4 1.4 2.7 2.6 27.8 -15.6
pair MACD RSIhist neg-pos 31 10.5 39.0 67.7 1.6 2.5 2.5 21.9 -15.6
pair RSIhist MACD neg-pos 31 10.5 39.0 67.7 1.6 2.5 2.5 21.9 -15.6
pair MACD LWTI neg-neg 27 9.2 38.0 66.7 1.3 2.5 2.4 26.8 -15.6
pair LWTI MACD neg-neg 27 9.2 38.0 66.7 1.3 2.5 2.4 26.8 -15.6
pair MRmean MACD pos-neg 23 7.8 37.4 73.9 1.8 2.0 13.9 18.8 -2.7
pair MACD MRmean pos-neg 23 7.8 37.4 73.9 1.8 2.0 13.9 18.8 -2.7
single LWTI LWTI neg-neg 29 9.8 37.3 65.5 1.3 2.6 2.4 26.7 -15.6
pair MACDhist MRmean neg-pos 13 4.4 35.7 61.5 1.6 4.6 6.9 20.2 -5.2
pair MRmean MACDhist neg-pos 13 4.4 35.7 61.5 1.6 4.6 6.9 20.2 -5.2
pair MACDhist LWTI neg-neg 28 9.5 35.4 64.3 1.3 2.5 2.3 27.1 -15.6
pair LWTI MACDhist neg-neg 28 9.5 35.4 64.3 1.3 2.5 2.3 27.1 -15.6
pair LWTI RSmean pos-neg 28 9.5 32.1 64.3 1.2 2.3 2.1 26.4 -15.6
pair RSmean LWTI pos-neg 28 9.5 32.1 64.3 1.2 2.3 2.1 26.4 -15.6
pair MACD RSI neg-pos 14 4.7 31.6 64.3 2.3 10.1 11.8 12.6 -2.7
pair RSI MACD neg-pos 14 4.7 31.6 64.3 2.3 10.1 11.8 12.6 -2.7
pair MRmean LWTI pos-neg 10 3.4 31.5 80.0 1.2 1.2 11.7 25.3 -2.7
pair LWTI MRmean pos-neg 10 3.4 31.5 80.0 1.2 1.2 11.7 25.3 -2.7
pair MACD RSmean pos-neg 43 14.6 30.3 62.8 1.2 2.1 1.8 25.4 -16.4
pair RSmean MACD pos-neg 43 14.6 30.3 62.8 1.2 2.1 1.8 25.4 -16.4
pair MACD LWTI pos-neg 2 0.7 29.0 50.0 0.8 0.0 6.1 35.0 -4.8
pair LWTI MACD pos-neg 2 0.7 29.0 50.0 0.8 0.0 6.1 35.0 -4.8
pair LWTI SLmean neg-neg 15 5.1 28.3 60.0 1.1 3.0 1.9 27.2 -15.3
pair SLmean LWTI neg-neg 15 5.1 28.3 60.0 1.1 3.0 1.9 27.2 -15.3
pair SLmean RSIhist neg-pos 8 2.7 27.4 62.5 1.2 2.1 7.9 23.1 -3.5
pair RSIhist SLmean neg-pos 8 2.7 27.4 62.5 1.2 2.1 7.9 23.1 -3.5
pair MACDhist SLmean pos-neg 50 16.9 24.9 64.0 1.2 1.8 1.6 21.1 -15.5
pair SLmean MACDhist pos-neg 50 16.9 24.9 64.0 1.2 1.8 1.6 21.1 -15.5
pair RSIhist MACDhist pos-neg 49 16.6 23.5 65.3 1.1 2.2 1.1 21.5 -21.5
pair MACDhist RSIhist pos-neg 49 16.6 23.5 65.3 1.1 2.2 1.1 21.5 -21.5
pair LWTI RSIhist neg-neg 12 4.1 23.2 58.3 0.9 2.5 1.5 28.5 -15.3
pair RSIhist LWTI neg-neg 12 4.1 23.2 58.3 0.9 2.5 1.5 28.5 -15.3
pair RSIhist MACDhist neg-pos 39 13.2 23.0 61.5 1.1 1.8 1.5 21.5 -15.6
pair MACDhist RSIhist neg-pos 39 13.2 23.0 61.5 1.1 1.8 1.5 21.5 -15.6
pair RSmean RSIhist neg-pos 5 1.7 21.2 60.0 0.8 1.6 8.1 27.6 -2.6
pair RSIhist RSmean neg-pos 5 1.7 21.2 60.0 0.8 1.6 8.1 27.6 -2.6
pair MRmean RSIhist pos-neg 51 17.3 20.6 66.7 1.0 1.8 0.7 22.0 -30.1
pair RSIhist MRmean pos-neg 51 17.3 20.6 66.7 1.0 1.8 0.7 22.0 -30.1
pair MACDhist MRmean pos-neg 46 15.6 19.9 65.2 1.0 1.4 1.3 19.8 -15.5
pair MRmean MACDhist pos-neg 46 15.6 19.9 65.2 1.0 1.4 1.3 19.8 -15.5
pair MACD RSmean neg-pos 9 3.1 19.8 66.7 1.6 3.1 5.4 12.1 -3.7
pair RSI RSmean neg-pos 9 3.1 19.8 66.7 1.6 3.1 5.4 12.1 -3.7
pair RSmean MACD neg-pos 9 3.1 19.8 66.7 1.6 3.1 5.4 12.1 -3.7
pair RSmean RSI neg-pos 9 3.1 19.8 66.7 1.6 3.1 5.4 12.1 -3.7
pair RSI RSIhist pos-neg 77 26.1 19.6 64.9 0.9 1.5 0.7 22.9 -28.5
pair RSIhist RSI pos-neg 77 26.1 19.6 64.9 0.9 1.5 0.7 22.9 -28.5
pair RSI RSmean pos-neg 45 15.3 19.4 57.8 0.7 1.2 0.6 30.6 -34.4
pair RSmean RSI pos-neg 45 15.3 19.4 57.8 0.7 1.2 0.6 30.6 -34.4
pair RSI MRmean neg-pos 26 8.8 17.8 61.5 0.8 1.2 0.8 24.9 -20.9
pair MRmean RSI neg-pos 26 8.8 17.8 61.5 0.8 1.2 0.8 24.9 -20.9
pair RSmean MRmean neg-pos 61 20.7 17.6 54.1 0.7 1.1 0.5 29.5 -34.4
pair MRmean RSmean neg-pos 61 20.7 17.6 54.1 0.7 1.1 0.5 29.5 -34.4
pair RSI LWTI pos-neg 3 1.0 17.1 66.7 1.1 0.0 6.4 15.5 -2.7
pair LWTI RSI pos-neg 3 1.0 17.1 66.7 1.1 0.0 6.4 15.5 -2.7
pair RSIhist MACD pos-neg 93 31.5 16.6 62.4 0.8 1.1 0.4 24.6 -37.5
pair MACD RSIhist pos-neg 93 31.5 16.6 62.4 0.8 1.1 0.4 24.6 -37.5
pair RSmean RSIhist pos-neg 101 34.2 15.8 60.4 0.7 1.1 0.4 26.5 -41.4
pair RSIhist RSmean pos-neg 101 34.2 15.8 60.4 0.7 1.1 0.4 26.5 -41.4
pair MACDhist RSI pos-neg 54 18.3 15.3 61.1 0.8 1.1 0.5 21.4 -29.8
pair RSI MACDhist pos-neg 54 18.3 15.3 61.1 0.8 1.1 0.5 21.4 -29.8
single SLmean SLmean pos-pos 203 68.8 14.8 59.6 0.8 1.4 0.6 18.3 -23.2
pair MACDhist RSmean pos-neg 87 29.5 13.8 57.5 0.6 0.9 0.3 26.9 -46.6
pair RSmean MACDhist pos-neg 87 29.5 13.8 57.5 0.6 0.9 0.3 26.9 -46.6
pair RSmean SLmean pos-pos 195 66.1 13.8 59.5 0.8 1.3 0.5 18.3 -25.9
pair SLmean RSmean pos-pos 195 66.1 13.8 59.5 0.8 1.3 0.5 18.3 -25.9
pair SLmean LWTI pos-pos 189 64.1 12.6 58.7 0.8 1.3 0.5 17.5 -24.3
pair LWTI SLmean pos-pos 189 64.1 12.6 58.7 0.8 1.3 0.5 17.5 -24.3
pair SLmean MRmean pos-pos 197 66.8 12.4 59.4 0.8 1.2 0.4 17.7 -32.3
pair MRmean SLmean pos-pos 197 66.8 12.4 59.4 0.8 1.2 0.4 17.7 -32.3
single RSmean RSmean pos-pos 273 92.5 12.3 58.2 0.7 1.0 0.2 21.2 -48.7
pair MRmean MACD neg-pos 42 14.2 12.0 57.1 0.6 0.7 0.4 27.7 -33.0
pair MACD MRmean neg-pos 42 14.2 12.0 57.1 0.6 0.7 0.4 27.7 -33.0
single MRmean MRmean pos-pos 220 74.6 11.8 59.5 0.7 1.1 0.4 18.3 -27.1
pair MACDhist RSmean pos-pos 186 63.1 11.6 58.6 0.7 1.2 0.4 18.1 -26.3
pair RSmean MACDhist pos-pos 186 63.1 11.6 58.6 0.7 1.2 0.4 18.1 -26.3
pair MACDhist SLmean pos-pos 153 51.9 11.6 58.2 0.7 1.2 0.5 17.3 -24.8
pair SLmean MACDhist pos-pos 153 51.9 11.6 58.2 0.7 1.2 0.5 17.3 -24.8
pair RSI SLmean pos-pos 189 64.1 11.5 58.2 0.7 1.2 0.5 17.3 -25.7
pair SLmean RSI pos-pos 189 64.1 11.5 58.2 0.7 1.2 0.5 17.3 -25.7
single MACDhist MACDhist pos-pos 187 63.4 11.4 58.3 0.7 1.2 0.4 18.0 -26.3
single RSI RSI pos-pos 237 80.3 11.3 58.6 0.7 1.1 0.3 18.7 -33.5
pair RSI LWTI pos-pos 234 79.3 11.2 58.5 0.7 1.1 0.3 18.8 -31.7
pair LWTI RSI pos-pos 234 79.3 11.2 58.5 0.7 1.1 0.3 18.8 -31.7
pair MACDhist LWTI pos-pos 186 63.1 11.0 58.1 0.7 1.1 0.4 18.0 -26.3
pair LWTI MACDhist pos-pos 186 63.1 11.0 58.1 0.7 1.1 0.4 18.0 -26.3
pair LWTI MRmean pos-pos 210 71.2 10.9 58.6 0.7 1.1 0.4 17.9 -28.1
pair MRmean LWTI pos-pos 210 71.2 10.9 58.6 0.7 1.1 0.4 17.9 -28.1
pair RSmean RSI pos-pos 228 77.3 10.9 58.3 0.7 1.1 0.3 18.9 -33.5
pair RSI RSmean pos-pos 228 77.3 10.9 58.3 0.7 1.1 0.3 18.9 -33.5
pair RSmean MRmean pos-pos 212 71.9 10.8 59.4 0.7 1.1 0.4 18.3 -29.7
pair MRmean RSmean pos-pos 212 71.9 10.8 59.4 0.7 1.1 0.4 18.3 -29.7
pair MACD SLmean pos-pos 176 59.7 10.7 58.0 0.7 1.1 0.4 17.7 -28.2
pair SLmean MACD pos-pos 176 59.7 10.7 58.0 0.7 1.1 0.4 17.7 -28.2
single RSIhist RSIhist pos-pos 177 60.0 10.6 57.1 0.7 1.1 0.4 17.8 -25.6
pair MRmean RSI pos-pos 211 71.5 10.5 58.3 0.7 1.1 0.4 17.8 -27.1
pair RSI MRmean pos-pos 211 71.5 10.5 58.3 0.7 1.1 0.4 17.8 -27.1
pair RSIhist RSmean pos-pos 172 58.3 10.3 57.0 0.7 1.1 0.4 17.5 -25.6
pair RSmean RSIhist pos-pos 172 58.3 10.3 57.0 0.7 1.1 0.4 17.5 -25.6
pair RSI SLmean neg-pos 48 16.3 10.2 60.4 0.5 0.9 0.3 23.6 -31.9
pair SLmean RSI neg-pos 48 16.3 10.2 60.4 0.5 0.9 0.3 23.6 -31.9
pair LWTI RSmean pos-pos 245 83.1 10.2 57.6 0.6 0.9 0.2 20.6 -45.7
pair RSmean LWTI pos-pos 245 83.1 10.2 57.6 0.6 0.9 0.2 20.6 -45.7
pair MACD RSI pos-pos 223 75.6 10.1 58.3 0.6 1.0 0.3 19.0 -36.7
pair MACDhist RSI pos-pos 183 62.0 10.1 57.9 0.6 1.1 0.4 17.9 -26.3
pair RSI MACDhist pos-pos 183 62.0 10.1 57.9 0.6 1.1 0.4 17.9 -26.3
pair RSI MACD pos-pos 223 75.6 10.1 58.3 0.6 1.0 0.3 19.0 -36.7
pair SLmean MACDhist neg-pos 34 11.5 10.1 58.8 0.6 1.1 0.4 21.4 -24.3
pair MACDhist SLmean neg-pos 34 11.5 10.1 58.8 0.6 1.1 0.4 21.4 -24.3
pair MACDhist MACD pos-pos 181 61.4 10.0 57.5 0.6 1.1 0.4 18.1 -26.3
pair MACD MACDhist pos-pos 181 61.4 10.0 57.5 0.6 1.1 0.4 18.1 -26.3
pair RSIhist SLmean pos-pos 169 57.3 9.9 56.8 0.6 1.0 0.4 17.5 -24.7
pair SLmean RSIhist pos-pos 169 57.3 9.9 56.8 0.6 1.0 0.4 17.5 -24.7
pair MRmean MACDhist pos-pos 174 59.0 9.7 58.0 0.6 1.0 0.4 17.8 -22.7
pair MACDhist MRmean pos-pos 174 59.0 9.7 58.0 0.6 1.0 0.4 17.8 -22.7
single MACD MACD pos-pos 239 81.0 9.6 57.7 0.6 0.8 0.2 20.1 -42.2
pair LWTI MACD pos-pos 237 80.3 9.5 57.8 0.6 0.8 0.2 20.0 -43.1
pair MACD LWTI pos-pos 237 80.3 9.5 57.8 0.6 0.8 0.2 20.0 -43.1
pair MRmean RSIhist pos-pos 169 57.3 9.3 57.4 0.6 1.0 0.4 17.0 -25.6
pair RSIhist MRmean pos-pos 169 57.3 9.3 57.4 0.6 1.0 0.4 17.0 -25.6
pair MACD RSmean pos-pos 230 78.0 9.2 57.4 0.5 0.8 0.2 20.3 -44.6
pair RSmean MACD pos-pos 230 78.0 9.2 57.4 0.5 0.8 0.2 20.3 -44.6
pair benchmark___benchmark_ benchmark-benchmark 295 100.0 9.1 58.0 0.5 0.7 0.2 23.5 -55.1
pair benchmark___benchmark_ benchmark-benchmark 295 100.0 9.1 58.0 0.5 0.7 0.2 23.5 -55.1
pair MRmean MACD pos-pos 197 66.8 9.1 57.9 0.6 0.9 0.3 18.1 -33.1
pair MACD MRmean pos-pos 197 66.8 9.1 57.9 0.6 0.9 0.3 18.1 -33.1
pair RSmean SLmean neg-pos 78 26.4 8.6 55.1 0.4 0.7 0.2 27.4 -39.7
pair SLmean RSmean neg-pos 78 26.4 8.6 55.1 0.4 0.7 0.2 27.4 -39.7
pair MACDhist MACD pos-neg 58 19.7 8.4 58.6 0.5 0.6 0.2 25.3 -38.9
pair MACD MACDhist pos-neg 58 19.7 8.4 58.6 0.5 0.6 0.2 25.3 -38.9
pair RSI RSIhist pos-pos 160 54.2 7.4 55.6 0.5 0.9 0.3 16.2 -25.6
pair RSIhist RSI pos-pos 160 54.2 7.4 55.6 0.5 0.9 0.3 16.2 -25.6
pair RSIhist MACDhist pos-pos 138 46.8 7.3 55.8 0.5 0.8 0.3 16.6 -23.2
pair MACDhist RSIhist pos-pos 138 46.8 7.3 55.8 0.5 0.8 0.3 16.6 -23.2
pair LWTI RSIhist pos-pos 160 54.2 7.2 55.6 0.5 0.8 0.3 16.5 -25.6
pair RSIhist LWTI pos-pos 160 54.2 7.2 55.6 0.5 0.8 0.3 16.5 -25.6
single MACD MACD neg-neg 56 19.0 7.2 58.9 0.4 0.5 0.1 34.6 -55.1
single RSIhist RSIhist neg-neg 118 40.0 7.0 59.3 0.4 0.6 0.1 30.1 -50.9
pair SLmean MRmean pos-neg 23 7.8 6.7 60.9 0.4 0.8 0.3 22.8 -24.3
pair MRmean SLmean pos-neg 23 7.8 6.7 60.9 0.4 0.8 0.3 22.8 -24.3
pair MACD SLmean neg-pos 63 21.4 6.6 57.1 0.4 0.6 0.1 25.7 -42.3
pair SLmean MACD neg-pos 63 21.4 6.6 57.1 0.4 0.6 0.1 25.7 -42.3
single LWTI LWTI pos-pos 266 90.2 6.4 57.1 0.4 0.5 0.1 23.0 -55.1
pair RSIhist MACD pos-pos 146 49.5 5.4 54.8 0.4 0.7 0.2 16.5 -23.9
pair MACD RSIhist pos-pos 146 49.5 5.4 54.8 0.4 0.7 0.2 16.5 -23.9
single MACDhist MACDhist neg-neg 108 36.6 5.4 57.4 0.3 0.5 0.1 30.8 -55.1
pair RSIhist LWTI neg-pos 106 35.9 5.3 59.4 0.3 0.5 0.1 30.4 -50.9
pair LWTI RSIhist neg-pos 106 35.9 5.3 59.4 0.3 0.5 0.1 30.4 -50.9
pair MACD RSI pos-neg 16 5.4 3.0 50.0 0.2 0.3 0.1 32.5 -24.9
pair RSI MACD pos-neg 16 5.4 3.0 50.0 0.2 0.3 0.1 32.5 -24.9
pair MACD MACDhist neg-neg 50 16.9 2.1 56.0 0.2 0.4 0.0 36.3 -55.1
pair MACDhist MACD neg-neg 50 16.9 2.1 56.0 0.2 0.4 0.0 36.3 -55.1
single MRmean MRmean neg-neg 75 25.4 1.8 53.3 0.2 0.3 0.0 34.6 -55.1
single RSI RSI neg-neg 58 19.7 0.9 55.2 0.2 0.3 0.0 37.3 -55.1
pair RSI MACD neg-neg 42 14.2 0.1 57.1 0.2 0.3 0.0 39.3 -55.1
pair MACD RSI neg-neg 42 14.2 0.1 57.1 0.2 0.3 0.0 39.3 -55.1
pair MRmean RSIhist neg-neg 67 22.7 -2.3 53.7 0.1 0.2 -0.1 35.1 -50.9
pair RSIhist MRmean neg-neg 67 22.7 -2.3 53.7 0.1 0.2 -0.1 35.1 -50.9
single SLmean SLmean neg-neg 92 31.2 -2.3 54.3 0.1 0.1 -0.0 32.0 -55.1
pair MACDhist RSIhist neg-neg 69 23.4 -3.4 55.1 0.1 0.1 -0.1 34.9 -55.6
pair LWTI MACDhist neg-pos 80 27.1 -3.4 55.0 0.1 0.1 -0.1 31.7 -55.1
pair MACDhist LWTI neg-pos 80 27.1 -3.4 55.0 0.1 0.1 -0.1 31.7 -55.1
pair RSIhist MACDhist neg-neg 69 23.4 -3.4 55.1 0.1 0.1 -0.1 34.9 -55.6
pair RSI MACDhist neg-neg 54 18.3 -3.6 53.7 0.1 0.1 -0.1 38.0 -55.1
pair MACDhist RSI neg-neg 54 18.3 -3.6 53.7 0.1 0.1 -0.1 38.0 -55.1
pair MRmean MACDhist neg-neg 62 21.0 -4.2 51.6 0.1 0.1 -0.1 36.8 -55.1
pair MACDhist MRmean neg-neg 62 21.0 -4.2 51.6 0.1 0.1 -0.1 36.8 -55.1
pair RSIhist SLmean neg-neg 84 28.5 -4.7 53.6 0.0 0.0 -0.1 32.7 -50.9
pair SLmean RSIhist neg-neg 84 28.5 -4.7 53.6 0.0 0.0 -0.1 32.7 -50.9
pair SLmean MRmean neg-neg 69 23.4 -5.1 52.2 0.0 0.0 -0.1 34.6 -55.1
pair MRmean SLmean neg-neg 69 23.4 -5.1 52.2 0.0 0.0 -0.1 34.6 -55.1
pair MRmean RSI neg-neg 49 16.6 -5.8 49.0 0.0 0.1 -0.1 38.9 -55.1
pair RSI MRmean neg-neg 49 16.6 -5.8 49.0 0.0 0.1 -0.1 38.9 -55.1
pair SLmean LWTI neg-pos 77 26.1 -7.3 53.2 -0.1 -0.1 -0.1 32.8 -55.1
pair LWTI SLmean neg-pos 77 26.1 -7.3 53.2 -0.1 -0.1 -0.1 32.8 -55.1
pair MRmean LWTI neg-pos 56 19.0 -8.8 51.8 -0.1 -0.1 -0.2 36.3 -55.1
pair LWTI MRmean neg-pos 56 19.0 -8.8 51.8 -0.1 -0.1 -0.2 36.3 -55.1
pair SLmean MACDhist neg-neg 58 19.7 -8.9 51.7 -0.1 -0.1 -0.2 36.9 -55.3
pair MACDhist SLmean neg-neg 58 19.7 -8.9 51.7 -0.1 -0.1 -0.2 36.9 -55.3
pair MACD MRmean neg-neg 33 11.2 -9.8 48.5 -0.0 -0.1 -0.2 42.1 -55.1
pair MRmean MACD neg-neg 33 11.2 -9.8 48.5 -0.0 -0.1 -0.2 42.1 -55.1
pair RSIhist RSI neg-neg 41 13.9 -13.3 48.8 -0.1 -0.2 -0.3 40.2 -50.9
pair RSI RSIhist neg-neg 41 13.9 -13.3 48.8 -0.1 -0.2 -0.3 40.2 -50.9
pair RSI SLmean neg-neg 44 14.9 -14.3 47.7 -0.2 -0.3 -0.3 39.2 -55.1
pair SLmean RSI neg-neg 44 14.9 -14.3 47.7 -0.2 -0.3 -0.3 39.2 -55.1
pair LWTI MACD neg-pos 29 9.8 -15.3 51.7 -0.2 -0.3 -0.3 40.0 -55.1
pair MACD LWTI neg-pos 29 9.8 -15.3 51.7 -0.2 -0.3 -0.3 40.0 -55.1
pair SLmean MACD neg-neg 29 9.8 -19.1 48.3 -0.3 -0.5 -0.3 42.8 -55.1
pair MACD SLmean neg-neg 29 9.8 -19.1 48.3 -0.3 -0.5 -0.3 42.8 -55.1
pair RSIhist MACD neg-neg 25 8.5 -22.3 48.0 -0.3 -0.6 -0.4 44.9 -50.9
pair MACD RSIhist neg-neg 25 8.5 -22.3 48.0 -0.3 -0.6 -0.4 44.9 -50.9
pair RSI LWTI neg-pos 32 10.8 -22.6 46.9 -0.4 -0.6 -0.4 42.7 -55.1
pair LWTI RSI neg-pos 32 10.8 -22.6 46.9 -0.4 -0.6 -0.4 42.7 -55.1
pair MACDhist RSmean neg-neg 21 7.1 -23.2 57.1 -0.4 -0.6 -0.5 43.1 -48.9
pair RSmean MACDhist neg-neg 21 7.1 -23.2 57.1 -0.4 -0.6 -0.5 43.1 -48.9
single RSmean RSmean neg-neg 22 7.5 -23.4 54.5 -0.4 -0.6 -0.5 42.1 -48.9
pair RSmean MACDhist neg-pos 1 0.3 -27.3 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.3 -27.3 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-pos 21 7.1 -29.2 52.4 -0.6 -0.9 -0.6 41.7 -48.9
pair RSmean LWTI neg-pos 21 7.1 -29.2 52.4 -0.6 -0.9 -0.6 41.7 -48.9
pair RSIhist RSmean neg-neg 17 5.8 -33.0 52.9 -0.6 -1.0 -0.8 45.6 -44.1
pair RSmean RSIhist neg-neg 17 5.8 -33.0 52.9 -0.6 -1.0 -0.8 45.6 -44.1
pair MACD RSmean neg-neg 13 4.4 -43.8 46.2 -0.8 -2.1 -0.9 53.5 -48.9
pair RSmean MACD neg-neg 13 4.4 -43.8 46.2 -0.8 -2.1 -0.9 53.5 -48.9
pair RSmean RSI neg-neg 13 4.4 -43.8 46.2 -0.8 -2.1 -0.9 53.5 -48.9
pair RSI RSmean neg-neg 13 4.4 -43.8 46.2 -0.8 -2.1 -0.9 53.5 -48.9
pair RSmean SLmean neg-neg 14 4.7 -45.8 50.0 -1.0 -2.4 -0.9 49.5 -48.9
pair SLmean RSmean neg-neg 14 4.7 -45.8 50.0 -1.0 -2.4 -0.9 49.5 -48.9
pair RSmean MRmean neg-neg 14 4.7 -45.8 50.0 -1.0 -2.4 -0.9 49.5 -48.9
pair MRmean RSmean neg-neg 14 4.7 -45.8 50.0 -1.0 -2.4 -0.9 49.5 -48.9

All Contingency Tables for IGV

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 59%
Sharpe 0.75 | Sortino 1.21 | Calmar 0.4
Vol 18% | MDD -32.3%
Months 197M (67%)
CAGR 6.7% | Win 61%
Sharpe 0.40 | Sortino 0.75 | Calmar 0.3
Vol 23% | MDD -24.3%
Months 23M (8%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 128.2% | Win 67%
Sharpe 3.37 | Sortino 32.97 | Calmar 59.4
Vol 26% | MDD -2.2%
Months 6M (2%)
CAGR -5.1% | Win 52%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 35% | MDD -55.1%
Months 69M (23%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
SLmean
only
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.8% | Win 59%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.4
Vol 18% | MDD -29.7%
Months 212M (72%)
CAGR 40.6% | Win 62%
Sharpe 1.95 | Sortino 5.96 | Calmar 11.0
Vol 18% | MDD -3.7%
Months 8M (3%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 17.6% | Win 54%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 30% | MDD -34.4%
Months 61M (21%)
CAGR -45.8% | Win 50%
Sharpe -0.97 | Sortino -2.38 | Calmar -0.9
Vol 50% | MDD -48.9%
Months 14M (5%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
RSmean
only
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 58%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -33.1%
Months 197M (67%)
CAGR 37.4% | Win 74%
Sharpe 1.80 | Sortino 2.01 | Calmar 13.9
Vol 19% | MDD -2.7%
Months 23M (8%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 12.0% | Win 57%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.4
Vol 28% | MDD -33.0%
Months 42M (14%)
CAGR -9.8% | Win 48%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.2
Vol 42% | MDD -55.1%
Months 33M (11%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
MACD
only
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 58%
Sharpe 0.65 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 211M (72%)
CAGR 46.9% | Win 89%
Sharpe 1.59 | Sortino 0.00 | Calmar 0.0
Vol 26% | MDD 0.0%
Months 9M (3%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 17.8% | Win 62%
Sharpe 0.78 | Sortino 1.16 | Calmar 0.9
Vol 25% | MDD -20.9%
Months 26M (9%)
CAGR -5.8% | Win 49%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 39% | MDD -55.1%
Months 49M (17%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
RSI
only
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 1.01 | Calmar 0.4
Vol 18% | MDD -22.7%
Months 174M (59%)
CAGR 19.9% | Win 65%
Sharpe 1.02 | Sortino 1.45 | Calmar 1.3
Vol 20% | MDD -15.5%
Months 46M (16%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 35.7% | Win 62%
Sharpe 1.62 | Sortino 4.59 | Calmar 6.9
Vol 20% | MDD -5.2%
Months 13M (4%)
CAGR -4.2% | Win 52%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 37% | MDD -55.1%
Months 62M (21%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
MACDhist
only
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 57%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -25.6%
Months 169M (57%)
CAGR 20.6% | Win 67%
Sharpe 0.96 | Sortino 1.79 | Calmar 0.7
Vol 22% | MDD -30.1%
Months 51M (17%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR 43.7% | Win 50%
Sharpe 1.33 | Sortino 3.61 | Calmar 7.9
Vol 31% | MDD -5.5%
Months 8M (3%)
CAGR -2.3% | Win 54%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -50.9%
Months 67M (23%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 59%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 210M (71%)
CAGR 31.5% | Win 80%
Sharpe 1.21 | Sortino 1.16 | Calmar 11.7
Vol 25% | MDD -2.7%
Months 10M (3%)
CAGR 11.8% | Win 60%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 220M (75%)
MRmean
neg
CAGR -8.8% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.2
Vol 36% | MDD -55.1%
Months 56M (19%)
CAGR 40.5% | Win 58%
Sharpe 1.36 | Sortino 3.62 | Calmar 2.6
Vol 28% | MDD -15.3%
Months 19M (6%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 35% | MDD -55.1%
Months 75M (25%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 13.8% | Win 60%
Sharpe 0.80 | Sortino 1.33 | Calmar 0.5
Vol 18% | MDD -25.9%
Months 195M (66%)
CAGR 40.6% | Win 62%
Sharpe 1.95 | Sortino 5.96 | Calmar 11.0
Vol 18% | MDD -3.7%
Months 8M (3%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR 8.6% | Win 55%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 27% | MDD -39.7%
Months 78M (26%)
CAGR -45.8% | Win 50%
Sharpe -0.97 | Sortino -2.38 | Calmar -0.9
Vol 50% | MDD -48.9%
Months 14M (5%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
RSmean
only
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 58%
Sharpe 0.67 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -28.2%
Months 176M (60%)
CAGR 45.0% | Win 70%
Sharpe 1.90 | Sortino 2.71 | Calmar 2.9
Vol 21% | MDD -15.3%
Months 27M (9%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR 6.6% | Win 57%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.2
Vol 26% | MDD -42.3%
Months 63M (21%)
CAGR -19.1% | Win 48%
Sharpe -0.28 | Sortino -0.51 | Calmar -0.3
Vol 43% | MDD -55.1%
Months 29M (10%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
MACD
only
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 58%
Sharpe 0.72 | Sortino 1.20 | Calmar 0.5
Vol 17% | MDD -25.7%
Months 189M (64%)
CAGR 68.4% | Win 79%
Sharpe 2.10 | Sortino 2.38 | Calmar 4.5
Vol 27% | MDD -15.3%
Months 14M (5%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR 10.2% | Win 60%
Sharpe 0.53 | Sortino 0.87 | Calmar 0.3
Vol 24% | MDD -31.9%
Months 48M (16%)
CAGR -14.3% | Win 48%
Sharpe -0.19 | Sortino -0.31 | Calmar -0.3
Vol 39% | MDD -55.1%
Months 44M (15%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
RSI
only
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.6% | Win 58%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.5
Vol 17% | MDD -24.8%
Months 153M (52%)
CAGR 24.9% | Win 64%
Sharpe 1.16 | Sortino 1.83 | Calmar 1.6
Vol 21% | MDD -15.5%
Months 50M (17%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR 10.1% | Win 59%
Sharpe 0.56 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -24.3%
Months 34M (12%)
CAGR -8.9% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.2
Vol 37% | MDD -55.3%
Months 58M (20%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
MACDhist
only
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 57%
Sharpe 0.62 | Sortino 1.04 | Calmar 0.4
Vol 18% | MDD -24.7%
Months 169M (57%)
CAGR 42.5% | Win 74%
Sharpe 1.83 | Sortino 2.98 | Calmar 4.0
Vol 21% | MDD -10.7%
Months 34M (12%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR 27.4% | Win 62%
Sharpe 1.16 | Sortino 2.07 | Calmar 7.9
Vol 23% | MDD -3.5%
Months 8M (3%)
CAGR -4.7% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 33% | MDD -50.9%
Months 84M (28%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.6% | Win 59%
Sharpe 0.77 | Sortino 1.29 | Calmar 0.5
Vol 18% | MDD -24.3%
Months 189M (64%)
CAGR 47.7% | Win 71%
Sharpe 1.60 | Sortino 2.14 | Calmar 3.1
Vol 27% | MDD -15.3%
Months 14M (5%)
CAGR 14.8% | Win 60%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.6
Vol 18% | MDD -23.2%
Months 203M (69%)
SLmean
neg
CAGR -7.3% | Win 53%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -55.1%
Months 77M (26%)
CAGR 28.3% | Win 60%
Sharpe 1.05 | Sortino 2.98 | Calmar 1.8
Vol 27% | MDD -15.3%
Months 15M (5%)
CAGR -2.3% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -55.1%
Months 92M (31%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 57%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.2
Vol 20% | MDD -44.6%
Months 230M (78%)
CAGR 30.3% | Win 63%
Sharpe 1.17 | Sortino 2.07 | Calmar 1.8
Vol 25% | MDD -16.4%
Months 43M (15%)
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
RSmean
neg
CAGR 19.8% | Win 67%
Sharpe 1.57 | Sortino 3.13 | Calmar 5.4
Vol 12% | MDD -3.7%
Months 9M (3%)
CAGR -43.8% | Win 46%
Sharpe -0.80 | Sortino -2.12 | Calmar -0.9
Vol 54% | MDD -48.9%
Months 13M (4%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
MACD
only
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 10.9% | Win 58%
Sharpe 0.65 | Sortino 1.05 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 228M (77%)
CAGR 19.4% | Win 58%
Sharpe 0.74 | Sortino 1.16 | Calmar 0.6
Vol 31% | MDD -34.4%
Months 45M (15%)
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
RSmean
neg
CAGR 19.8% | Win 67%
Sharpe 1.57 | Sortino 3.13 | Calmar 5.4
Vol 12% | MDD -3.7%
Months 9M (3%)
CAGR -43.8% | Win 46%
Sharpe -0.80 | Sortino -2.12 | Calmar -0.9
Vol 54% | MDD -48.9%
Months 13M (4%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
RSI
only
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 11.6% | Win 59%
Sharpe 0.70 | Sortino 1.20 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 186M (63%)
CAGR 13.8% | Win 57%
Sharpe 0.62 | Sortino 0.95 | Calmar 0.3
Vol 27% | MDD -46.6%
Months 87M (30%)
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
RSmean
neg
CAGR -27.3% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -23.2% | Win 57%
Sharpe -0.39 | Sortino -0.61 | Calmar -0.5
Vol 43% | MDD -48.9%
Months 21M (7%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
MACDhist
only
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.3% | Win 57%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 172M (58%)
CAGR 15.8% | Win 60%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.4
Vol 26% | MDD -41.4%
Months 101M (34%)
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
RSmean
neg
CAGR 21.2% | Win 60%
Sharpe 0.81 | Sortino 1.57 | Calmar 8.1
Vol 28% | MDD -2.6%
Months 5M (2%)
CAGR -33.0% | Win 53%
Sharpe -0.64 | Sortino -1.01 | Calmar -0.7
Vol 46% | MDD -44.1%
Months 17M (6%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -45.7%
Months 245M (83%)
CAGR 32.1% | Win 64%
Sharpe 1.19 | Sortino 2.29 | Calmar 2.1
Vol 26% | MDD -15.6%
Months 28M (10%)
CAGR 12.3% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -48.7%
Months 273M (92%)
RSmean
neg
CAGR -29.2% | Win 52%
Sharpe -0.61 | Sortino -0.90 | Calmar -0.6
Vol 42% | MDD -48.9%
Months 21M (7%)
CAGR 308.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -23.4% | Win 55%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.5
Vol 42% | MDD -48.9%
Months 22M (8%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 10.1% | Win 58%
Sharpe 0.60 | Sortino 0.98 | Calmar 0.3
Vol 19% | MDD -36.7%
Months 223M (76%)
CAGR 3.0% | Win 50%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -24.9%
Months 16M (5%)
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
MACD
neg
CAGR 31.6% | Win 64%
Sharpe 2.26 | Sortino 10.08 | Calmar 11.7
Vol 13% | MDD -2.7%
Months 14M (5%)
CAGR 0.1% | Win 57%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 39% | MDD -55.1%
Months 42M (14%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
RSI
only
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 57%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 181M (61%)
CAGR 8.4% | Win 59%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -38.9%
Months 58M (20%)
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
MACD
neg
CAGR 61.1% | Win 83%
Sharpe 4.85 | Sortino 0.00 | Calmar 45.7
Vol 10% | MDD -1.3%
Months 6M (2%)
CAGR 2.1% | Win 56%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.0
Vol 36% | MDD -55.1%
Months 50M (17%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
MACDhist
only
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.4% | Win 55%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.2
Vol 16% | MDD -23.9%
Months 146M (50%)
CAGR 16.6% | Win 62%
Sharpe 0.75 | Sortino 1.12 | Calmar 0.4
Vol 25% | MDD -37.5%
Months 93M (32%)
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
MACD
neg
CAGR 39.0% | Win 68%
Sharpe 1.63 | Sortino 2.52 | Calmar 2.5
Vol 22% | MDD -15.6%
Months 31M (10%)
CAGR -22.3% | Win 48%
Sharpe -0.34 | Sortino -0.63 | Calmar -0.4
Vol 45% | MDD -50.9%
Months 25M (8%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -43.1%
Months 237M (80%)
CAGR 29.0% | Win 50%
Sharpe 0.82 | Sortino 0.00 | Calmar 6.1
Vol 35% | MDD -4.8%
Months 2M (1%)
CAGR 9.6% | Win 58%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 20% | MDD -42.2%
Months 239M (81%)
MACD
neg
CAGR -15.3% | Win 52%
Sharpe -0.21 | Sortino -0.31 | Calmar -0.3
Vol 40% | MDD -55.1%
Months 29M (10%)
CAGR 38.0% | Win 67%
Sharpe 1.34 | Sortino 2.48 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 27M (9%)
CAGR 7.2% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 35% | MDD -55.1%
Months 56M (19%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.1% | Win 58%
Sharpe 0.63 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 183M (62%)
CAGR 15.3% | Win 61%
Sharpe 0.77 | Sortino 1.12 | Calmar 0.5
Vol 21% | MDD -29.8%
Months 54M (18%)
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
RSI
neg
CAGR 86.5% | Win 75%
Sharpe 3.00 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 4M (1%)
CAGR -3.6% | Win 54%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.1
Vol 38% | MDD -55.1%
Months 54M (18%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
MACDhist
only
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.4% | Win 56%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -25.6%
Months 160M (54%)
CAGR 19.6% | Win 65%
Sharpe 0.90 | Sortino 1.52 | Calmar 0.7
Vol 23% | MDD -28.5%
Months 77M (26%)
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
RSI
neg
CAGR 45.4% | Win 71%
Sharpe 1.50 | Sortino 2.32 | Calmar 2.9
Vol 28% | MDD -15.6%
Months 17M (6%)
CAGR -13.3% | Win 49%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.3
Vol 40% | MDD -50.9%
Months 41M (14%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.2% | Win 58%
Sharpe 0.66 | Sortino 1.07 | Calmar 0.4
Vol 19% | MDD -31.7%
Months 234M (79%)
CAGR 17.1% | Win 67%
Sharpe 1.08 | Sortino 0.00 | Calmar 6.4
Vol 16% | MDD -2.7%
Months 3M (1%)
CAGR 11.3% | Win 59%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 237M (80%)
RSI
neg
CAGR -22.6% | Win 47%
Sharpe -0.38 | Sortino -0.60 | Calmar -0.4
Vol 43% | MDD -55.1%
Months 32M (11%)
CAGR 39.9% | Win 65%
Sharpe 1.35 | Sortino 2.67 | Calmar 2.6
Vol 28% | MDD -15.6%
Months 26M (9%)
CAGR 0.9% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 37% | MDD -55.1%
Months 58M (20%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 7.3% | Win 56%
Sharpe 0.51 | Sortino 0.84 | Calmar 0.3
Vol 17% | MDD -23.2%
Months 138M (47%)
CAGR 23.5% | Win 65%
Sharpe 1.09 | Sortino 2.17 | Calmar 1.1
Vol 22% | MDD -21.5%
Months 49M (17%)
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
MACDhist
neg
CAGR 23.0% | Win 62%
Sharpe 1.08 | Sortino 1.78 | Calmar 1.5
Vol 22% | MDD -15.6%
Months 39M (13%)
CAGR -3.4% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 35% | MDD -55.6%
Months 69M (23%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
RSIhist
only
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.0% | Win 58%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 186M (63%)
CAGR 104.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 187M (63%)
MACDhist
neg
CAGR -3.4% | Win 55%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -55.1%
Months 80M (27%)
CAGR 35.4% | Win 64%
Sharpe 1.26 | Sortino 2.49 | Calmar 2.3
Vol 27% | MDD -15.6%
Months 28M (10%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -55.1%
Months 108M (37%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.2% | Win 56%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.3
Vol 16% | MDD -25.6%
Months 160M (54%)
CAGR 48.3% | Win 71%
Sharpe 1.67 | Sortino 2.47 | Calmar 3.1
Vol 26% | MDD -15.6%
Months 17M (6%)
CAGR 10.6% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 18% | MDD -25.6%
Months 177M (60%)
RSIhist
neg
CAGR 5.3% | Win 59%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 106M (36%)
CAGR 23.2% | Win 58%
Sharpe 0.86 | Sortino 2.53 | Calmar 1.5
Vol 28% | MDD -15.3%
Months 12M (4%)
CAGR 7.0% | Win 59%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -50.9%
Months 118M (40%)
LWTI
only
CAGR 6.4% | Win 57%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -55.1%
Months 266M (90%)
CAGR 37.3% | Win 66%
Sharpe 1.33 | Sortino 2.59 | Calmar 2.4
Vol 27% | MDD -15.6%
Months 29M (10%)