IHF - iShares U.S. Healthcare Providers ETF

Signal Pair Analysis

MACD-RSI

Best Pair

81.6%

Best CAGR

69

Total Months

12.2%

Avg CAGR

IHF 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 IHF

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MACD pos-neg 15 6.3 81.6 80.0 3.1 6.8 14.4 20.1 -5.6
pair MACD RSI pos-neg 15 6.3 81.6 80.0 3.1 6.8 14.4 20.1 -5.6
pair RSIhist RSmean neg-pos 3 1.3 65.2 66.7 2.6 0.0 71.6 19.8 -0.9
pair RSmean RSIhist neg-pos 3 1.3 65.2 66.7 2.6 0.0 71.6 19.8 -0.9
pair RSI LWTI neg-pos 19 7.9 55.5 78.9 1.7 2.6 3.0 28.2 -18.2
pair LWTI RSI neg-pos 19 7.9 55.5 78.9 1.7 2.6 3.0 28.2 -18.2
pair RSIhist SLmean neg-pos 1 0.4 52.8 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist neg-pos 1 0.4 52.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 3 1.3 52.4 66.7 2.2 0.0 155.5 20.4 -0.3
pair RSmean LWTI neg-neg 3 1.3 52.4 66.7 2.2 0.0 155.5 20.4 -0.3
pair MACDhist RSI neg-pos 7 2.9 50.5 57.1 2.2 9.8 18.2 19.8 -2.8
pair RSI MACDhist neg-pos 7 2.9 50.5 57.1 2.2 9.8 18.2 19.8 -2.8
pair MACD MACDhist neg-pos 8 3.3 41.0 75.0 2.9 4537.8 36.4 12.5 -1.1
pair MACDhist MACD neg-pos 8 3.3 41.0 75.0 2.9 4537.8 36.4 12.5 -1.1
pair SLmean RSI pos-neg 11 4.6 37.4 63.6 2.4 9.2 14.1 13.9 -2.7
pair RSI SLmean pos-neg 11 4.6 37.4 63.6 2.4 9.2 14.1 13.9 -2.7
pair RSI RSIhist neg-pos 10 4.2 34.0 60.0 2.1 8.5 12.8 14.5 -2.7
pair RSIhist RSI neg-pos 10 4.2 34.0 60.0 2.1 8.5 12.8 14.5 -2.7
pair RSI MRmean pos-neg 8 3.3 33.2 62.5 2.1 7.2 12.5 13.9 -2.7
pair MRmean RSI pos-neg 8 3.3 33.2 62.5 2.1 7.2 12.5 13.9 -2.7
pair MACD RSIhist neg-pos 18 7.5 25.5 66.7 1.7 3.2 3.7 14.4 -7.0
pair RSIhist MACD neg-pos 18 7.5 25.5 66.7 1.7 3.2 3.7 14.4 -7.0
pair SLmean LWTI pos-neg 18 7.5 25.2 61.1 1.8 4.8 5.8 13.4 -4.4
pair LWTI SLmean pos-neg 18 7.5 25.2 61.1 1.8 4.8 5.8 13.4 -4.4
pair MACD RSmean neg-neg 12 5.0 24.5 83.3 2.1 3.4 4.1 10.7 -6.0
pair RSmean MACD neg-neg 12 5.0 24.5 83.3 2.1 3.4 4.1 10.7 -6.0
pair LWTI RSIhist pos-neg 14 5.9 23.5 57.1 1.5 4.4 5.1 14.7 -4.6
pair RSIhist LWTI pos-neg 14 5.9 23.5 57.1 1.5 4.4 5.1 14.7 -4.6
pair MACD SLmean pos-neg 22 9.2 22.9 68.2 1.6 3.1 3.6 13.9 -6.3
pair SLmean MACD pos-neg 22 9.2 22.9 68.2 1.6 3.1 3.6 13.9 -6.3
pair MACD MRmean neg-pos 47 19.7 22.2 61.7 1.1 2.8 2.3 19.8 -9.8
pair MRmean MACD neg-pos 47 19.7 22.2 61.7 1.1 2.8 2.3 19.8 -9.8
pair MACD SLmean neg-pos 52 21.8 22.1 59.6 1.1 2.5 1.4 20.8 -16.3
pair SLmean MACD neg-pos 52 21.8 22.1 59.6 1.1 2.5 1.4 20.8 -16.3
pair MRmean MACDhist neg-pos 8 3.3 20.3 50.0 0.8 2.0 2.4 27.5 -8.5
pair MACDhist MRmean neg-pos 8 3.3 20.3 50.0 0.8 2.0 2.4 27.5 -8.5
pair SLmean LWTI neg-pos 65 27.2 19.6 64.6 0.9 1.7 0.6 21.8 -31.9
pair LWTI SLmean neg-pos 65 27.2 19.6 64.6 0.9 1.7 0.6 21.8 -31.9
pair LWTI MRmean neg-pos 56 23.4 19.2 64.3 0.9 1.7 0.9 21.7 -22.2
pair MRmean LWTI neg-pos 56 23.4 19.2 64.3 0.9 1.7 0.9 21.7 -22.2
pair RSmean SLmean neg-neg 19 7.9 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair SLmean RSmean neg-neg 19 7.9 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair RSmean MRmean neg-neg 19 7.9 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair MRmean RSmean neg-neg 19 7.9 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair SLmean MACDhist neg-pos 16 6.7 17.3 56.2 0.7 2.1 0.8 25.7 -20.8
pair MACDhist SLmean neg-pos 16 6.7 17.3 56.2 0.7 2.1 0.8 25.7 -20.8
pair RSIhist MACDhist neg-pos 26 10.9 17.1 61.5 1.1 2.6 1.9 14.7 -8.8
pair MACDhist RSIhist neg-pos 26 10.9 17.1 61.5 1.1 2.6 1.9 14.7 -8.8
pair RSI RSmean neg-pos 22 9.2 17.0 63.6 1.1 3.1 2.1 14.9 -8.2
pair RSmean RSI neg-pos 22 9.2 17.0 63.6 1.1 3.1 2.1 14.9 -8.2
pair RSmean RSI pos-neg 46 19.2 16.7 65.2 0.7 0.9 0.4 30.3 -40.9
pair RSI RSmean pos-neg 46 19.2 16.7 65.2 0.7 0.9 0.4 30.3 -40.9
pair RSmean MACDhist neg-neg 24 10.0 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
pair MACDhist RSmean neg-neg 24 10.0 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
single RSmean RSmean neg-neg 24 10.0 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
single RSI RSI neg-neg 48 20.1 16.4 64.6 0.7 0.9 0.4 29.7 -45.0
pair RSIhist MACDhist pos-neg 28 11.7 15.9 60.7 0.8 1.6 0.8 23.1 -20.4
pair MACDhist RSIhist pos-neg 28 11.7 15.9 60.7 0.8 1.6 0.8 23.1 -20.4
pair MACD MACDhist pos-neg 68 28.5 15.4 58.8 0.9 2.2 1.2 16.6 -12.4
pair MACDhist MACD pos-neg 68 28.5 15.4 58.8 0.9 2.2 1.2 16.6 -12.4
pair MACD RSIhist pos-neg 80 33.5 14.9 58.8 0.8 1.7 0.9 19.4 -17.2
pair RSIhist MACD pos-neg 80 33.5 14.9 58.8 0.8 1.7 0.9 19.4 -17.2
pair LWTI MACD pos-neg 15 6.3 14.4 60.0 1.0 2.0 1.2 15.3 -12.0
pair MACD LWTI pos-neg 15 6.3 14.4 60.0 1.0 2.0 1.2 15.3 -12.0
pair MRmean MACD pos-neg 21 8.8 14.1 66.7 1.0 1.6 1.1 14.7 -13.3
pair MACD MRmean pos-neg 21 8.8 14.1 66.7 1.0 1.6 1.1 14.7 -13.3
pair LWTI RSIhist neg-pos 93 38.9 13.4 62.4 0.7 1.3 0.4 20.4 -31.9
pair RSIhist LWTI neg-pos 93 38.9 13.4 62.4 0.7 1.3 0.4 20.4 -31.9
pair MRmean RSI neg-neg 40 16.7 13.3 65.0 0.6 0.8 0.3 32.0 -45.0
pair RSI MRmean neg-neg 40 16.7 13.3 65.0 0.6 0.8 0.3 32.0 -45.0
pair RSI MACD neg-pos 24 10.0 12.8 75.0 1.0 1.8 1.0 13.4 -13.3
pair MACD RSI neg-pos 24 10.0 12.8 75.0 1.0 1.8 1.0 13.4 -13.3
pair LWTI MACD neg-pos 32 13.4 12.5 75.0 0.7 0.9 0.4 20.1 -29.1
pair MACD LWTI neg-pos 32 13.4 12.5 75.0 0.7 0.9 0.4 20.1 -29.1
pair RSI RSIhist neg-neg 38 15.9 12.2 65.8 0.5 0.8 0.3 32.6 -45.0
pair RSIhist RSI neg-neg 38 15.9 12.2 65.8 0.5 0.8 0.3 32.6 -45.0
pair LWTI RSmean neg-pos 21 8.8 12.0 61.9 0.9 2.3 1.3 13.6 -9.0
pair RSmean LWTI neg-pos 21 8.8 12.0 61.9 0.9 2.3 1.3 13.6 -9.0
pair LWTI MRmean pos-neg 13 5.4 11.8 46.2 0.8 1.8 1.1 15.5 -11.3
pair MRmean LWTI pos-neg 13 5.4 11.8 46.2 0.8 1.8 1.1 15.5 -11.3
pair MACDhist LWTI neg-pos 80 33.5 11.7 62.5 0.7 1.2 0.4 18.3 -29.1
pair LWTI MACDhist neg-pos 80 33.5 11.7 62.5 0.7 1.2 0.4 18.3 -29.1
pair MACD RSmean pos-pos 170 71.1 11.5 60.6 0.7 1.3 0.5 17.1 -21.8
pair RSmean MACD pos-pos 170 71.1 11.5 60.6 0.7 1.3 0.5 17.1 -21.8
pair MACDhist RSI neg-neg 41 17.2 11.5 65.9 0.5 0.7 0.2 31.1 -45.0
pair RSI MACDhist neg-neg 41 17.2 11.5 65.9 0.5 0.7 0.2 31.1 -45.0
single MACD MACD pos-pos 182 76.2 11.4 59.3 0.7 1.3 0.5 17.1 -21.8
single LWTI LWTI pos-pos 199 83.3 11.3 61.8 0.7 1.2 0.4 17.7 -29.1
pair RSmean LWTI pos-pos 178 74.5 11.2 61.8 0.7 1.1 0.4 18.2 -29.1
pair LWTI RSmean pos-pos 178 74.5 11.2 61.8 0.7 1.1 0.4 18.2 -29.1
pair MRmean RSIhist pos-pos 115 48.1 11.1 60.9 0.8 1.2 0.4 15.0 -26.1
pair RSIhist MRmean pos-pos 115 48.1 11.1 60.9 0.8 1.2 0.4 15.0 -26.1
pair LWTI MACDhist pos-pos 119 49.8 11.1 61.3 0.7 1.1 0.4 17.4 -29.3
pair MACDhist LWTI pos-pos 119 49.8 11.1 61.3 0.7 1.1 0.4 17.4 -29.3
pair LWTI MACD pos-pos 167 69.9 11.1 59.3 0.7 1.3 0.5 17.3 -24.9
pair MACD LWTI pos-pos 167 69.9 11.1 59.3 0.7 1.3 0.5 17.3 -24.9
single RSIhist RSIhist pos-pos 120 50.2 11.0 60.8 0.8 1.2 0.3 15.0 -31.6
pair RSmean MACDhist pos-pos 122 51.0 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
single MACDhist MACDhist pos-pos 122 51.0 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
pair MACDhist RSmean pos-pos 122 51.0 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
pair SLmean RSI neg-neg 37 15.5 10.9 64.9 0.5 0.7 0.2 33.0 -45.0
pair RSI SLmean neg-neg 37 15.5 10.9 64.9 0.5 0.7 0.2 33.0 -45.0
pair RSIhist RSmean neg-neg 21 8.8 10.8 61.9 0.8 1.9 1.3 13.4 -8.2
pair RSmean RSIhist neg-neg 21 8.8 10.8 61.9 0.8 1.9 1.3 13.4 -8.2
pair SLmean RSIhist pos-pos 119 49.8 10.7 60.5 0.8 1.2 0.3 15.0 -31.6
pair RSIhist SLmean pos-pos 119 49.8 10.7 60.5 0.8 1.2 0.3 15.0 -31.6
pair MRmean MACDhist pos-pos 114 47.7 10.2 61.4 0.7 1.0 0.4 16.4 -28.4
pair MACDhist MRmean pos-pos 114 47.7 10.2 61.4 0.7 1.0 0.4 16.4 -28.4
pair SLmean MRmean neg-neg 75 31.4 10.2 62.7 0.5 0.7 0.2 25.7 -45.0
pair MRmean SLmean neg-neg 75 31.4 10.2 62.7 0.5 0.7 0.2 25.7 -45.0
pair MRmean RSIhist neg-neg 78 32.6 10.0 62.8 0.5 0.7 0.2 25.4 -45.0
pair RSIhist MRmean neg-neg 78 32.6 10.0 62.8 0.5 0.7 0.2 25.4 -45.0
single MRmean MRmean neg-neg 83 34.7 10.0 62.7 0.5 0.7 0.2 24.9 -45.0
pair RSmean RSI neg-neg 2 0.8 10.0 50.0 1.7 0.0 29.6 5.6 -0.3
pair RSI RSmean neg-neg 2 0.8 10.0 50.0 1.7 0.0 29.6 5.6 -0.3
pair MRmean RSIhist neg-pos 5 2.1 9.9 60.0 0.6 1.2 1.3 17.4 -7.4
pair RSIhist MRmean neg-pos 5 2.1 9.9 60.0 0.6 1.2 1.3 17.4 -7.4
pair RSIhist RSmean pos-pos 117 49.0 9.9 60.7 0.7 1.1 0.3 14.8 -31.6
pair RSmean RSIhist pos-pos 117 49.0 9.9 60.7 0.7 1.1 0.3 14.8 -31.6
pair MACDhist SLmean pos-pos 106 44.4 9.9 61.3 0.7 1.0 0.3 15.7 -37.2
pair SLmean MACDhist pos-pos 106 44.4 9.9 61.3 0.7 1.0 0.3 15.7 -37.2
pair LWTI RSIhist pos-pos 106 44.4 9.5 61.3 0.7 1.1 0.3 15.0 -31.6
single SLmean SLmean pos-pos 152 63.6 9.5 60.5 0.7 1.1 0.2 15.1 -47.3
pair SLmean RSmean pos-pos 147 61.5 9.5 61.2 0.7 1.1 0.2 15.0 -44.1
pair MRmean SLmean pos-pos 144 60.3 9.5 60.4 0.7 1.1 0.2 15.1 -41.7
pair SLmean MRmean pos-pos 144 60.3 9.5 60.4 0.7 1.1 0.2 15.1 -41.7
pair RSmean SLmean pos-pos 147 61.5 9.5 61.2 0.7 1.1 0.2 15.0 -44.1
pair RSIhist LWTI pos-pos 106 44.4 9.5 61.3 0.7 1.1 0.3 15.0 -31.6
pair RSIhist MACDhist pos-pos 94 39.3 9.4 60.6 0.7 1.0 0.3 15.1 -32.8
pair MACDhist RSIhist pos-pos 94 39.3 9.4 60.6 0.7 1.0 0.3 15.1 -32.8
pair benchmark___benchmark_ benchmark-benchmark 239 100.0 9.1 60.7 0.6 0.8 0.2 19.4 -52.3
pair benchmark___benchmark_ benchmark-benchmark 239 100.0 9.1 60.7 0.6 0.8 0.2 19.4 -52.3
pair RSIhist RSI pos-pos 110 46.0 9.1 60.9 0.7 1.0 0.3 15.0 -29.9
pair RSI RSIhist pos-pos 110 46.0 9.1 60.9 0.7 1.0 0.3 15.0 -29.9
pair MACD MACDhist pos-pos 114 47.7 9.0 59.6 0.6 1.0 0.3 17.4 -29.3
pair MACDhist MACD pos-pos 114 47.7 9.0 59.6 0.6 1.0 0.3 17.4 -29.3
pair MRmean MACDhist neg-neg 75 31.4 8.9 64.0 0.5 0.6 0.2 24.8 -45.0
pair MACDhist MRmean neg-neg 75 31.4 8.9 64.0 0.5 0.6 0.2 24.8 -45.0
pair RSmean MACD neg-pos 12 5.0 8.9 41.7 0.6 1.6 1.1 17.6 -8.2
pair MACD RSmean neg-pos 12 5.0 8.9 41.7 0.6 1.6 1.1 17.6 -8.2
pair RSI MACDhist pos-pos 115 48.1 8.8 60.9 0.6 0.9 0.3 17.0 -29.3
pair MACDhist RSI pos-pos 115 48.1 8.8 60.9 0.6 0.9 0.3 17.0 -29.3
pair MRmean RSmean pos-pos 151 63.2 8.7 60.3 0.6 1.0 0.3 15.8 -27.4
pair RSmean MRmean pos-pos 151 63.2 8.7 60.3 0.6 1.0 0.3 15.8 -27.4
single MRmean MRmean pos-pos 156 65.3 8.6 59.6 0.6 1.0 0.3 15.8 -31.6
pair RSIhist MACD pos-pos 102 42.7 8.6 59.8 0.6 1.0 0.3 15.1 -29.9
pair MACD RSIhist pos-pos 102 42.7 8.6 59.8 0.6 1.0 0.3 15.1 -29.9
single SLmean SLmean neg-neg 87 36.4 8.5 60.9 0.5 0.7 0.2 25.3 -49.1
pair SLmean MACDhist pos-neg 46 19.2 8.4 58.7 0.7 1.4 0.4 13.9 -19.0
pair MACDhist SLmean pos-neg 46 19.2 8.4 58.7 0.7 1.4 0.4 13.9 -19.0
pair LWTI MRmean pos-pos 143 59.8 8.4 60.8 0.6 0.9 0.2 15.9 -32.9
pair MRmean LWTI pos-pos 143 59.8 8.4 60.8 0.6 0.9 0.2 15.9 -32.9
pair SLmean MRmean neg-pos 8 3.3 8.3 62.5 0.6 1.4 0.8 16.0 -10.1
pair MRmean SLmean neg-pos 8 3.3 8.3 62.5 0.6 1.4 0.8 16.0 -10.1
single RSmean RSmean pos-pos 215 90.0 8.3 60.5 0.5 0.7 0.2 19.9 -52.3
pair SLmean RSIhist neg-neg 86 36.0 8.0 60.5 0.4 0.6 0.2 25.4 -49.1
pair RSIhist SLmean neg-neg 86 36.0 8.0 60.5 0.4 0.6 0.2 25.4 -49.1
pair MRmean MACD pos-pos 135 56.5 7.8 58.5 0.6 0.9 0.2 16.0 -31.2
pair MACD MRmean pos-pos 135 56.5 7.8 58.5 0.6 0.9 0.2 16.0 -31.2
pair SLmean RSI pos-pos 141 59.0 7.5 60.3 0.6 0.9 0.2 15.1 -47.3
pair RSmean MRmean pos-neg 5 2.1 7.5 40.0 0.4 1.7 1.3 19.8 -5.8
pair MRmean RSmean pos-neg 5 2.1 7.5 40.0 0.4 1.7 1.3 19.8 -5.8
pair RSmean MRmean neg-pos 64 26.8 7.5 60.9 0.4 0.6 0.2 27.5 -40.9
pair MRmean RSmean neg-pos 64 26.8 7.5 60.9 0.4 0.6 0.2 27.5 -40.9
pair SLmean RSmean pos-neg 5 2.1 7.5 40.0 0.4 1.7 1.3 19.8 -5.8
pair RSmean SLmean pos-neg 5 2.1 7.5 40.0 0.4 1.7 1.3 19.8 -5.8
pair RSI SLmean pos-pos 141 59.0 7.5 60.3 0.6 0.9 0.2 15.1 -47.3
pair SLmean LWTI pos-pos 134 56.1 7.5 60.4 0.6 0.9 0.1 15.3 -48.6
pair LWTI SLmean pos-pos 134 56.1 7.5 60.4 0.6 0.9 0.1 15.3 -48.6
pair RSI MRmean pos-pos 148 61.9 7.4 59.5 0.5 0.9 0.2 15.9 -31.2
pair RSI LWTI pos-pos 180 75.3 7.4 60.0 0.5 0.9 0.2 15.9 -35.3
pair LWTI RSI pos-pos 180 75.3 7.4 60.0 0.5 0.9 0.2 15.9 -35.3
pair MRmean RSI pos-pos 148 61.9 7.4 59.5 0.5 0.9 0.2 15.9 -31.2
single MACDhist MACDhist neg-neg 117 49.0 7.3 60.7 0.4 0.6 0.1 21.5 -52.3
pair SLmean MACD pos-pos 130 54.4 7.3 59.2 0.5 0.8 0.1 15.3 -47.3
pair MACD SLmean pos-pos 130 54.4 7.3 59.2 0.5 0.8 0.1 15.3 -47.3
single RSI RSI pos-pos 191 79.9 7.3 59.7 0.5 0.9 0.2 15.9 -33.6
single RSIhist RSIhist neg-neg 119 49.8 7.2 60.5 0.4 0.6 0.1 23.1 -49.1
pair RSI MRmean neg-pos 43 18.0 6.9 60.5 0.5 1.1 0.3 16.0 -20.8
pair MRmean RSI neg-pos 43 18.0 6.9 60.5 0.5 1.1 0.3 16.0 -20.8
pair SLmean RSI neg-pos 50 20.9 6.7 58.0 0.5 0.9 0.2 17.9 -27.9
pair RSI SLmean neg-pos 50 20.9 6.7 58.0 0.5 0.9 0.2 17.9 -27.9
pair SLmean MACDhist neg-neg 71 29.7 6.6 62.0 0.4 0.5 0.1 25.4 -49.1
pair MACDhist SLmean neg-neg 71 29.7 6.6 62.0 0.4 0.5 0.1 25.4 -49.1
pair RSI MACD pos-pos 167 69.9 6.6 57.5 0.5 0.8 0.2 16.2 -33.6
pair MACD RSI pos-pos 167 69.9 6.6 57.5 0.5 0.8 0.2 16.2 -33.6
pair RSmean RSIhist pos-neg 98 41.0 6.5 60.2 0.4 0.6 0.1 24.7 -49.1
pair RSIhist RSmean pos-neg 98 41.0 6.5 60.2 0.4 0.6 0.1 24.7 -49.1
pair RSI RSmean pos-pos 169 70.7 6.1 59.2 0.5 0.8 0.2 16.0 -28.2
pair RSmean RSI pos-pos 169 70.7 6.1 59.2 0.5 0.8 0.2 16.0 -28.2
pair RSmean SLmean neg-pos 68 28.5 5.7 58.8 0.3 0.5 0.1 27.8 -49.1
pair SLmean RSmean neg-pos 68 28.5 5.7 58.8 0.3 0.5 0.1 27.8 -49.1
pair LWTI RSI pos-neg 11 4.6 5.5 54.5 0.4 0.9 0.5 15.4 -12.0
pair RSI LWTI pos-neg 11 4.6 5.5 54.5 0.4 0.9 0.5 15.4 -12.0
pair RSIhist SLmean pos-neg 33 13.8 5.1 60.6 0.4 0.6 0.2 15.7 -27.5
pair SLmean RSIhist pos-neg 33 13.8 5.1 60.6 0.4 0.6 0.2 15.7 -27.5
pair RSI MACDhist pos-neg 76 31.8 5.1 57.9 0.4 0.9 0.3 14.1 -19.2
pair MACDhist RSI pos-neg 76 31.8 5.1 57.9 0.4 0.9 0.3 14.1 -19.2
pair RSmean MACDhist pos-neg 93 38.9 5.0 60.2 0.3 0.5 0.1 23.1 -52.3
pair MACDhist RSmean pos-neg 93 38.9 5.0 60.2 0.3 0.5 0.1 23.1 -52.3
pair RSIhist RSI pos-neg 81 33.9 4.9 58.0 0.4 0.7 0.2 17.1 -24.2
pair RSI RSIhist pos-neg 81 33.9 4.9 58.0 0.4 0.7 0.2 17.1 -24.2
pair RSIhist MACDhist neg-neg 91 38.1 4.7 60.4 0.3 0.4 0.1 23.2 -49.1
pair MACDhist RSIhist neg-neg 91 38.1 4.7 60.4 0.3 0.4 0.1 23.2 -49.1
pair MRmean MACDhist pos-neg 42 17.6 4.4 54.8 0.4 0.7 0.3 14.2 -13.3
pair MACDhist MRmean pos-neg 42 17.6 4.4 54.8 0.4 0.7 0.3 14.2 -13.3
pair LWTI MACDhist pos-neg 3 1.3 3.6 33.3 0.7 464.9 3.2 5.2 -1.1
pair MACDhist LWTI pos-neg 3 1.3 3.6 33.3 0.7 464.9 3.2 5.2 -1.1
single MACD MACD neg-neg 57 23.8 2.2 64.9 0.2 0.3 0.0 25.6 -52.3
pair MRmean RSIhist pos-neg 41 17.2 2.1 56.1 0.2 0.4 0.1 18.1 -22.7
pair RSIhist MRmean pos-neg 41 17.2 2.1 56.1 0.2 0.4 0.1 18.1 -22.7
single LWTI LWTI neg-neg 40 16.7 -1.2 55.0 0.1 0.1 -0.0 26.4 -39.0
pair SLmean MRmean pos-neg 12 5.0 -1.5 50.0 0.0 0.1 -0.1 23.2 -24.2
pair MRmean SLmean pos-neg 12 5.0 -1.5 50.0 0.0 0.1 -0.1 23.2 -24.2
pair MACDhist LWTI neg-neg 37 15.5 -1.6 56.8 0.1 0.1 -0.0 27.5 -39.0
pair LWTI MACDhist neg-neg 37 15.5 -1.6 56.8 0.1 0.1 -0.0 27.5 -39.0
pair RSmean MACD pos-neg 45 18.8 -3.0 60.0 0.0 0.0 -0.1 28.2 -52.3
pair MACD RSmean pos-neg 45 18.8 -3.0 60.0 0.0 0.0 -0.1 28.2 -52.3
pair MACD MACDhist neg-neg 49 20.5 -3.0 63.3 0.0 0.0 -0.1 26.9 -52.3
pair MACDhist MACD neg-neg 49 20.5 -3.0 63.3 0.0 0.0 -0.1 26.9 -52.3
pair RSI LWTI neg-neg 29 12.1 -3.7 55.2 0.0 0.0 -0.1 29.8 -39.0
pair LWTI RSI neg-neg 29 12.1 -3.7 55.2 0.0 0.0 -0.1 29.8 -39.0
pair MACD MRmean neg-neg 36 15.1 -4.2 63.9 0.0 0.0 -0.1 30.3 -45.0
pair MRmean MACD neg-neg 36 15.1 -4.2 63.9 0.0 0.0 -0.1 30.3 -45.0
pair LWTI RSmean pos-neg 37 15.5 -4.6 54.1 -0.0 -0.1 -0.1 26.8 -39.0
pair RSmean LWTI pos-neg 37 15.5 -4.6 54.1 -0.0 -0.1 -0.1 26.8 -39.0
pair RSI MACD neg-neg 33 13.8 -4.8 57.6 0.0 0.0 -0.1 31.8 -45.0
pair MACD RSI neg-neg 33 13.8 -4.8 57.6 0.0 0.0 -0.1 31.8 -45.0
pair LWTI MRmean neg-neg 27 11.3 -7.0 59.3 -0.1 -0.1 -0.2 30.5 -39.0
pair MRmean LWTI neg-neg 27 11.3 -7.0 59.3 -0.1 -0.1 -0.2 30.5 -39.0
pair MACD RSIhist neg-neg 39 16.3 -7.0 64.1 -0.1 -0.1 -0.1 29.2 -49.1
pair RSIhist MACD neg-neg 39 16.3 -7.0 64.1 -0.1 -0.1 -0.1 29.2 -49.1
pair SLmean MACD neg-neg 35 14.6 -9.0 62.9 -0.1 -0.2 -0.2 30.6 -49.1
pair MACD SLmean neg-neg 35 14.6 -9.0 62.9 -0.1 -0.2 -0.2 30.6 -49.1
pair LWTI MACD neg-neg 25 10.5 -9.6 52.0 -0.2 -0.2 -0.2 31.4 -39.0
pair MACD LWTI neg-neg 25 10.5 -9.6 52.0 -0.2 -0.2 -0.2 31.4 -39.0
pair LWTI RSIhist neg-neg 26 10.9 -12.4 53.8 -0.3 -0.4 -0.3 30.8 -39.0
pair RSIhist LWTI neg-neg 26 10.9 -12.4 53.8 -0.3 -0.4 -0.3 30.8 -39.0
pair LWTI SLmean neg-neg 22 9.2 -18.7 50.0 -0.5 -0.6 -0.5 33.1 -39.0
pair SLmean LWTI neg-neg 22 9.2 -18.7 50.0 -0.5 -0.6 -0.5 33.1 -39.0

All Contingency Tables for IHF

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 15% | MDD -41.7%
Months 144M (60%)
CAGR -1.5% | Win 50%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 23% | MDD -24.2%
Months 12M (5%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 8.3% | Win 62%
Sharpe 0.57 | Sortino 1.36 | Calmar 0.8
Vol 16% | MDD -10.1%
Months 8M (3%)
CAGR 10.2% | Win 63%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -45.0%
Months 75M (31%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
SLmean
only
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.96 | Calmar 0.3
Vol 16% | MDD -27.4%
Months 151M (63%)
CAGR 7.5% | Win 40%
Sharpe 0.44 | Sortino 1.73 | Calmar 1.3
Vol 20% | MDD -5.8%
Months 5M (2%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 7.5% | Win 61%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -40.9%
Months 64M (27%)
CAGR 18.9% | Win 68%
Sharpe 1.39 | Sortino 2.73 | Calmar 3.2
Vol 13% | MDD -6.0%
Months 19M (8%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
RSmean
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 58%
Sharpe 0.55 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -31.2%
Months 135M (56%)
CAGR 14.1% | Win 67%
Sharpe 0.97 | Sortino 1.57 | Calmar 1.1
Vol 15% | MDD -13.3%
Months 21M (9%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 22.2% | Win 62%
Sharpe 1.12 | Sortino 2.84 | Calmar 2.3
Vol 20% | MDD -9.8%
Months 47M (20%)
CAGR -4.2% | Win 64%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 30% | MDD -45.0%
Months 36M (15%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
MACD
only
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 60%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -31.2%
Months 148M (62%)
CAGR 33.2% | Win 62%
Sharpe 2.15 | Sortino 7.16 | Calmar 12.5
Vol 14% | MDD -2.7%
Months 8M (3%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 6.9% | Win 60%
Sharpe 0.50 | Sortino 1.07 | Calmar 0.3
Vol 16% | MDD -20.8%
Months 43M (18%)
CAGR 13.3% | Win 65%
Sharpe 0.56 | Sortino 0.79 | Calmar 0.3
Vol 32% | MDD -45.0%
Months 40M (17%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 61%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 16% | MDD -28.4%
Months 114M (48%)
CAGR 4.4% | Win 55%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.3
Vol 14% | MDD -13.3%
Months 42M (18%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 20.3% | Win 50%
Sharpe 0.80 | Sortino 2.03 | Calmar 2.4
Vol 28% | MDD -8.5%
Months 8M (3%)
CAGR 8.9% | Win 64%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 75M (31%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.1% | Win 61%
Sharpe 0.78 | Sortino 1.23 | Calmar 0.4
Vol 15% | MDD -26.1%
Months 115M (48%)
CAGR 2.1% | Win 56%
Sharpe 0.20 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -22.7%
Months 41M (17%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 9.9% | Win 60%
Sharpe 0.61 | Sortino 1.18 | Calmar 1.3
Vol 17% | MDD -7.4%
Months 5M (2%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 78M (33%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 61%
Sharpe 0.59 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -32.9%
Months 143M (60%)
CAGR 11.8% | Win 46%
Sharpe 0.79 | Sortino 1.76 | Calmar 1.1
Vol 16% | MDD -11.3%
Months 13M (5%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (65%)
MRmean
neg
CAGR 19.2% | Win 64%
Sharpe 0.92 | Sortino 1.66 | Calmar 0.9
Vol 22% | MDD -22.2%
Months 56M (23%)
CAGR -7.0% | Win 59%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.2
Vol 30% | MDD -39.0%
Months 27M (11%)
CAGR 10.0% | Win 63%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 25% | MDD -45.0%
Months 83M (35%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.2
Vol 15% | MDD -44.1%
Months 147M (62%)
CAGR 7.5% | Win 40%
Sharpe 0.44 | Sortino 1.73 | Calmar 1.3
Vol 20% | MDD -5.8%
Months 5M (2%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 5.7% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 28% | MDD -49.1%
Months 68M (28%)
CAGR 18.9% | Win 68%
Sharpe 1.39 | Sortino 2.73 | Calmar 3.2
Vol 13% | MDD -6.0%
Months 19M (8%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
RSmean
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 59%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 130M (54%)
CAGR 22.9% | Win 68%
Sharpe 1.56 | Sortino 3.13 | Calmar 3.6
Vol 14% | MDD -6.3%
Months 22M (9%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 22.1% | Win 60%
Sharpe 1.07 | Sortino 2.55 | Calmar 1.4
Vol 21% | MDD -16.3%
Months 52M (22%)
CAGR -9.0% | Win 63%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.2
Vol 31% | MDD -49.1%
Months 35M (15%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
MACD
only
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 60%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 141M (59%)
CAGR 37.4% | Win 64%
Sharpe 2.37 | Sortino 9.20 | Calmar 14.1
Vol 14% | MDD -2.7%
Months 11M (5%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 6.7% | Win 58%
Sharpe 0.45 | Sortino 0.94 | Calmar 0.2
Vol 18% | MDD -27.9%
Months 50M (21%)
CAGR 10.9% | Win 65%
Sharpe 0.48 | Sortino 0.71 | Calmar 0.2
Vol 33% | MDD -45.0%
Months 37M (16%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.3
Vol 16% | MDD -37.2%
Months 106M (44%)
CAGR 8.4% | Win 59%
Sharpe 0.65 | Sortino 1.39 | Calmar 0.4
Vol 14% | MDD -19.0%
Months 46M (19%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 17.3% | Win 56%
Sharpe 0.74 | Sortino 2.15 | Calmar 0.8
Vol 26% | MDD -20.8%
Months 16M (7%)
CAGR 6.6% | Win 62%
Sharpe 0.38 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -49.1%
Months 71M (30%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 60%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 119M (50%)
CAGR 5.1% | Win 61%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 33M (14%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 52.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 8.0% | Win 60%
Sharpe 0.43 | Sortino 0.64 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 86M (36%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 60%
Sharpe 0.55 | Sortino 0.87 | Calmar 0.2
Vol 15% | MDD -48.6%
Months 134M (56%)
CAGR 25.2% | Win 61%
Sharpe 1.76 | Sortino 4.82 | Calmar 5.8
Vol 13% | MDD -4.4%
Months 18M (8%)
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.3%
Months 152M (64%)
SLmean
neg
CAGR 19.6% | Win 65%
Sharpe 0.93 | Sortino 1.67 | Calmar 0.6
Vol 22% | MDD -31.9%
Months 65M (27%)
CAGR -18.7% | Win 50%
Sharpe -0.45 | Sortino -0.64 | Calmar -0.5
Vol 33% | MDD -39.0%
Months 22M (9%)
CAGR 8.5% | Win 61%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 87M (36%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.5% | Win 61%
Sharpe 0.72 | Sortino 1.29 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 170M (71%)
CAGR -3.0% | Win 60%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 28% | MDD -52.3%
Months 45M (19%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
RSmean
neg
CAGR 8.9% | Win 42%
Sharpe 0.56 | Sortino 1.61 | Calmar 1.1
Vol 18% | MDD -8.2%
Months 12M (5%)
CAGR 24.5% | Win 83%
Sharpe 2.12 | Sortino 3.43 | Calmar 4.1
Vol 11% | MDD -6.0%
Months 12M (5%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
MACD
only
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.1% | Win 59%
Sharpe 0.45 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -28.2%
Months 169M (71%)
CAGR 16.7% | Win 65%
Sharpe 0.67 | Sortino 0.89 | Calmar 0.4
Vol 30% | MDD -40.9%
Months 46M (19%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
RSmean
neg
CAGR 17.0% | Win 64%
Sharpe 1.13 | Sortino 3.13 | Calmar 2.1
Vol 15% | MDD -8.2%
Months 22M (9%)
CAGR 10.0% | Win 50%
Sharpe 1.72 | Sortino 0.00 | Calmar 29.6
Vol 6% | MDD -0.3%
Months 2M (1%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 5.0% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -52.3%
Months 93M (39%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
RSmean
neg		-
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.9% | Win 61%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 117M (49%)
CAGR 6.5% | Win 60%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.1
Vol 25% | MDD -49.1%
Months 98M (41%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
RSmean
neg
CAGR 65.2% | Win 67%
Sharpe 2.65 | Sortino 0.00 | Calmar 71.6
Vol 20% | MDD -0.9%
Months 3M (1%)
CAGR 10.8% | Win 62%
Sharpe 0.83 | Sortino 1.92 | Calmar 1.3
Vol 13% | MDD -8.2%
Months 21M (9%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 62%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 178M (74%)
CAGR -4.6% | Win 54%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 27% | MDD -39.0%
Months 37M (16%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 215M (90%)
RSmean
neg
CAGR 12.0% | Win 62%
Sharpe 0.91 | Sortino 2.28 | Calmar 1.3
Vol 14% | MDD -9.0%
Months 21M (9%)
CAGR 52.4% | Win 67%
Sharpe 2.17 | Sortino 0.00 | Calmar 155.5
Vol 20% | MDD -0.3%
Months 3M (1%)
CAGR 16.4% | Win 62%
Sharpe 1.14 | Sortino 2.78 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 57%
Sharpe 0.47 | Sortino 0.81 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 167M (70%)
CAGR 81.6% | Win 80%
Sharpe 3.13 | Sortino 6.84 | Calmar 14.4
Vol 20% | MDD -5.6%
Months 15M (6%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
MACD
neg
CAGR 12.8% | Win 75%
Sharpe 0.96 | Sortino 1.77 | Calmar 1.0
Vol 13% | MDD -13.3%
Months 24M (10%)
CAGR -4.8% | Win 58%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -45.0%
Months 33M (14%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 60%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -29.3%
Months 114M (48%)
CAGR 15.4% | Win 59%
Sharpe 0.95 | Sortino 2.25 | Calmar 1.2
Vol 17% | MDD -12.4%
Months 68M (28%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
MACD
neg
CAGR 41.0% | Win 75%
Sharpe 2.85 | Sortino 4537.83 | Calmar 36.4
Vol 12% | MDD -1.1%
Months 8M (3%)
CAGR -3.0% | Win 63%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 27% | MDD -52.3%
Months 49M (20%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.6% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 15% | MDD -29.9%
Months 102M (43%)
CAGR 14.9% | Win 59%
Sharpe 0.81 | Sortino 1.72 | Calmar 0.9
Vol 19% | MDD -17.2%
Months 80M (34%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
MACD
neg
CAGR 25.5% | Win 67%
Sharpe 1.66 | Sortino 3.25 | Calmar 3.7
Vol 14% | MDD -7.0%
Months 18M (8%)
CAGR -7.0% | Win 64%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 29% | MDD -49.1%
Months 39M (16%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 11.1% | Win 59%
Sharpe 0.70 | Sortino 1.26 | Calmar 0.4
Vol 17% | MDD -24.9%
Months 167M (70%)
CAGR 14.4% | Win 60%
Sharpe 0.96 | Sortino 1.96 | Calmar 1.2
Vol 15% | MDD -12.0%
Months 15M (6%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (76%)
MACD
neg
CAGR 12.5% | Win 75%
Sharpe 0.69 | Sortino 0.90 | Calmar 0.4
Vol 20% | MDD -29.1%
Months 32M (13%)
CAGR -9.6% | Win 52%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.2
Vol 31% | MDD -39.0%
Months 25M (10%)
CAGR 2.2% | Win 65%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -52.3%
Months 57M (24%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.8% | Win 61%
Sharpe 0.58 | Sortino 0.93 | Calmar 0.3
Vol 17% | MDD -29.3%
Months 115M (48%)
CAGR 5.1% | Win 58%
Sharpe 0.42 | Sortino 0.86 | Calmar 0.3
Vol 14% | MDD -19.2%
Months 76M (32%)
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
RSI
neg
CAGR 50.5% | Win 57%
Sharpe 2.18 | Sortino 9.79 | Calmar 18.2
Vol 20% | MDD -2.8%
Months 7M (3%)
CAGR 11.5% | Win 66%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.3
Vol 31% | MDD -45.0%
Months 41M (17%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.1% | Win 61%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.3
Vol 15% | MDD -29.9%
Months 110M (46%)
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.69 | Calmar 0.2
Vol 17% | MDD -24.2%
Months 81M (34%)
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
RSI
neg
CAGR 34.0% | Win 60%
Sharpe 2.11 | Sortino 8.51 | Calmar 12.8
Vol 14% | MDD -2.7%
Months 10M (4%)
CAGR 12.2% | Win 66%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.3
Vol 33% | MDD -45.0%
Months 38M (16%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.4% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.2
Vol 16% | MDD -35.3%
Months 180M (75%)
CAGR 5.5% | Win 55%
Sharpe 0.42 | Sortino 0.90 | Calmar 0.5
Vol 15% | MDD -12.0%
Months 11M (5%)
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (80%)
RSI
neg
CAGR 55.5% | Win 79%
Sharpe 1.73 | Sortino 2.63 | Calmar 3.0
Vol 28% | MDD -18.2%
Months 19M (8%)
CAGR -3.7% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.1
Vol 30% | MDD -39.0%
Months 29M (12%)
CAGR 16.4% | Win 65%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 30% | MDD -45.0%
Months 48M (20%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 9.4% | Win 61%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -32.8%
Months 94M (39%)
CAGR 15.9% | Win 61%
Sharpe 0.75 | Sortino 1.61 | Calmar 0.8
Vol 23% | MDD -20.4%
Months 28M (12%)
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
MACDhist
neg
CAGR 17.1% | Win 62%
Sharpe 1.15 | Sortino 2.57 | Calmar 1.9
Vol 15% | MDD -8.8%
Months 26M (11%)
CAGR 4.7% | Win 60%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 91M (38%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.1% | Win 61%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 119M (50%)
CAGR 3.6% | Win 33%
Sharpe 0.70 | Sortino 464.86 | Calmar 3.2
Vol 5% | MDD -1.1%
Months 3M (1%)
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (51%)
MACDhist
neg
CAGR 11.7% | Win 62%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 80M (34%)
CAGR -1.6% | Win 57%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 28% | MDD -39.0%
Months 37M (16%)
CAGR 7.3% | Win 61%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -52.3%
Months 117M (49%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.5% | Win 61%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 106M (44%)
CAGR 23.5% | Win 57%
Sharpe 1.51 | Sortino 4.37 | Calmar 5.1
Vol 15% | MDD -4.6%
Months 14M (6%)
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (50%)
RSIhist
neg
CAGR 13.4% | Win 62%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.4
Vol 20% | MDD -31.9%
Months 93M (39%)
CAGR -12.4% | Win 54%
Sharpe -0.27 | Sortino -0.36 | Calmar -0.3
Vol 31% | MDD -39.0%
Months 26M (11%)
CAGR 7.2% | Win 60%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 119M (50%)
LWTI
only
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 199M (83%)
CAGR -1.2% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -39.0%
Months 40M (17%)