IHF - iShares U.S. Healthcare Providers ETF

Signal Pair Analysis

MACD-RSI

Best Pair

81.5%

Best CAGR

68

Total Months

12.0%

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 81.5 80.0 3.1 6.8 14.4 20.1 -5.6
pair MACD RSI pos-neg 15 6.3 81.5 80.0 3.1 6.8 14.4 20.1 -5.6
pair RSIhist RSmean neg-pos 3 1.3 65.1 66.7 2.6 0.0 71.0 19.8 -0.9
pair RSmean RSIhist neg-pos 3 1.3 65.1 66.7 2.6 0.0 71.0 19.8 -0.9
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 52.3 66.7 2.2 0.0 154.9 20.4 -0.3
pair RSmean LWTI neg-neg 3 1.3 52.3 66.7 2.2 0.0 154.9 20.4 -0.3
pair MACDhist RSI neg-pos 7 3.0 50.5 57.1 2.2 9.7 18.1 19.8 -2.8
pair RSI MACDhist neg-pos 7 3.0 50.5 57.1 2.2 9.7 18.1 19.8 -2.8
pair RSI LWTI neg-pos 18 7.6 45.0 77.8 1.5 2.2 2.5 27.3 -18.2
pair LWTI RSI neg-pos 18 7.6 45.0 77.8 1.5 2.2 2.5 27.3 -18.2
pair MACD MACDhist neg-pos 8 3.4 41.1 75.0 2.9 1432.7 36.1 12.5 -1.1
pair MACDhist MACD neg-pos 8 3.4 41.1 75.0 2.9 1432.7 36.1 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 3.4 33.2 62.5 2.1 7.2 12.6 13.9 -2.7
pair MRmean RSI pos-neg 8 3.4 33.2 62.5 2.1 7.2 12.6 13.9 -2.7
pair MACD RSIhist neg-pos 18 7.6 25.5 66.7 1.7 3.2 3.7 14.4 -7.0
pair RSIhist MACD neg-pos 18 7.6 25.5 66.7 1.7 3.2 3.7 14.4 -7.0
pair SLmean LWTI pos-neg 18 7.6 25.2 61.1 1.8 4.8 5.8 13.4 -4.4
pair LWTI SLmean pos-neg 18 7.6 25.2 61.1 1.8 4.8 5.8 13.4 -4.4
pair MACD RSmean neg-neg 12 5.1 24.5 83.3 2.1 3.4 4.1 10.7 -6.0
pair RSmean MACD neg-neg 12 5.1 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 9.3 22.9 68.2 1.6 3.1 3.6 13.9 -6.3
pair SLmean MACD pos-neg 22 9.3 22.9 68.2 1.6 3.1 3.6 13.9 -6.3
pair MACD MRmean neg-pos 47 19.8 22.2 61.7 1.1 2.8 2.3 19.8 -9.8
pair MRmean MACD neg-pos 47 19.8 22.2 61.7 1.1 2.8 2.3 19.8 -9.8
pair MACD SLmean neg-pos 52 21.9 22.1 59.6 1.1 2.5 1.4 20.8 -16.3
pair SLmean MACD neg-pos 52 21.9 22.1 59.6 1.1 2.5 1.4 20.8 -16.3
pair MRmean MACDhist neg-pos 8 3.4 20.3 50.0 0.8 2.0 2.4 27.5 -8.5
pair MACDhist MRmean neg-pos 8 3.4 20.3 50.0 0.8 2.0 2.4 27.5 -8.5
pair RSmean SLmean neg-neg 19 8.0 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair SLmean RSmean neg-neg 19 8.0 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair RSmean MRmean neg-neg 19 8.0 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair MRmean RSmean neg-neg 19 8.0 18.9 68.4 1.4 2.7 3.2 13.2 -6.0
pair SLmean MACDhist neg-pos 16 6.8 17.2 56.2 0.7 2.1 0.8 25.7 -20.8
pair MACDhist SLmean neg-pos 16 6.8 17.2 56.2 0.7 2.1 0.8 25.7 -20.8
pair RSI RSmean neg-pos 22 9.3 17.0 63.6 1.1 3.1 2.1 14.9 -8.2
pair RSmean RSI neg-pos 22 9.3 17.0 63.6 1.1 3.1 2.1 14.9 -8.2
pair RSIhist MACDhist neg-pos 26 11.0 17.0 61.5 1.1 2.6 1.9 14.7 -8.8
pair MACDhist RSIhist neg-pos 26 11.0 17.0 61.5 1.1 2.6 1.9 14.7 -8.8
pair SLmean LWTI neg-pos 64 27.0 16.7 64.1 0.8 1.5 0.5 21.1 -31.9
pair LWTI SLmean neg-pos 64 27.0 16.7 64.1 0.8 1.5 0.5 21.1 -31.9
single RSmean RSmean neg-neg 24 10.1 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
pair RSmean MACDhist neg-neg 24 10.1 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
pair MACDhist RSmean neg-neg 24 10.1 16.4 62.5 1.1 2.8 2.0 14.3 -8.2
pair RSI RSmean pos-neg 44 18.6 16.0 65.9 0.7 0.8 0.4 29.6 -40.9
pair RSmean RSI pos-neg 44 18.6 16.0 65.9 0.7 0.8 0.4 29.6 -40.9
pair LWTI MRmean neg-pos 55 23.2 15.9 63.6 0.8 1.4 0.7 20.9 -22.2
pair RSIhist MACDhist pos-neg 28 11.8 15.9 60.7 0.8 1.6 0.8 23.1 -20.4
pair MACDhist RSIhist pos-neg 28 11.8 15.9 60.7 0.8 1.6 0.8 23.1 -20.4
pair MRmean LWTI neg-pos 55 23.2 15.9 63.6 0.8 1.4 0.7 20.9 -22.2
single RSI RSI neg-neg 46 19.4 15.8 65.2 0.7 0.8 0.3 29.0 -45.1
pair MACD MACDhist pos-neg 68 28.7 15.4 58.8 0.9 2.2 1.2 16.6 -12.4
pair MACDhist MACD pos-neg 68 28.7 15.4 58.8 0.9 2.2 1.2 16.6 -12.4
pair MACD RSIhist pos-neg 80 33.8 14.9 58.8 0.8 1.7 0.9 19.4 -17.3
pair RSIhist MACD pos-neg 80 33.8 14.9 58.8 0.8 1.7 0.9 19.4 -17.3
pair LWTI MACD pos-neg 15 6.3 14.4 60.0 1.0 2.0 1.2 15.2 -12.0
pair MACD LWTI pos-neg 15 6.3 14.4 60.0 1.0 2.0 1.2 15.2 -12.0
pair MRmean MACD pos-neg 21 8.9 14.1 66.7 1.0 1.6 1.1 14.8 -13.3
pair MACD MRmean pos-neg 21 8.9 14.1 66.7 1.0 1.6 1.1 14.8 -13.3
pair RSI MACD neg-pos 24 10.1 12.8 75.0 1.0 1.8 1.0 13.4 -13.3
pair MACD RSI neg-pos 24 10.1 12.8 75.0 1.0 1.8 1.0 13.4 -13.3
pair MRmean RSI neg-neg 38 16.0 12.4 65.8 0.5 0.7 0.3 31.3 -45.1
pair RSI MRmean neg-neg 38 16.0 12.4 65.8 0.5 0.7 0.3 31.3 -45.1
pair LWTI RSmean neg-pos 21 8.9 12.0 61.9 0.9 2.3 1.3 13.6 -9.0
pair RSmean LWTI neg-pos 21 8.9 12.0 61.9 0.9 2.3 1.3 13.6 -9.0
pair LWTI MRmean pos-neg 13 5.5 11.8 46.2 0.8 1.8 1.1 15.5 -11.3
pair MRmean LWTI pos-neg 13 5.5 11.8 46.2 0.8 1.8 1.1 15.5 -11.3
pair MACD RSmean pos-pos 170 71.7 11.5 60.6 0.7 1.3 0.5 17.1 -21.8
pair RSmean MACD pos-pos 170 71.7 11.5 60.6 0.7 1.3 0.5 17.1 -21.8
pair LWTI RSIhist neg-pos 92 38.8 11.5 62.0 0.7 1.1 0.4 19.9 -31.9
pair RSIhist LWTI neg-pos 92 38.8 11.5 62.0 0.7 1.1 0.4 19.9 -31.9
single MACD MACD pos-pos 182 76.8 11.4 59.3 0.7 1.3 0.5 17.1 -21.8
pair RSIhist RSI neg-neg 36 15.2 11.1 66.7 0.5 0.7 0.2 31.9 -45.1
pair RSI RSIhist neg-neg 36 15.2 11.1 66.7 0.5 0.7 0.2 31.9 -45.1
pair MACDhist LWTI pos-pos 119 50.2 11.1 61.3 0.7 1.1 0.4 17.4 -29.3
pair MRmean RSIhist pos-pos 115 48.5 11.1 60.9 0.8 1.2 0.4 15.0 -26.1
pair RSIhist MRmean pos-pos 115 48.5 11.1 60.9 0.8 1.2 0.4 15.0 -26.1
pair LWTI MACD pos-pos 167 70.5 11.1 59.3 0.7 1.3 0.5 17.3 -24.9
pair LWTI MACDhist pos-pos 119 50.2 11.1 61.3 0.7 1.1 0.4 17.4 -29.3
pair MACD LWTI pos-pos 167 70.5 11.1 59.3 0.7 1.3 0.5 17.3 -24.9
single RSIhist RSIhist pos-pos 120 50.6 11.0 60.8 0.8 1.2 0.3 15.0 -31.6
single MACDhist MACDhist pos-pos 122 51.5 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
pair RSmean MACDhist pos-pos 122 51.5 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
pair MACDhist RSmean pos-pos 122 51.5 10.9 60.7 0.7 1.1 0.4 17.2 -29.3
pair RSmean RSIhist neg-neg 21 8.9 10.8 61.9 0.8 1.9 1.3 13.4 -8.2
pair RSIhist RSmean neg-neg 21 8.9 10.8 61.9 0.8 1.9 1.3 13.4 -8.2
pair SLmean RSIhist pos-pos 119 50.2 10.7 60.5 0.8 1.2 0.3 15.0 -31.6
pair RSIhist SLmean pos-pos 119 50.2 10.7 60.5 0.8 1.2 0.3 15.0 -31.6
single LWTI LWTI pos-pos 198 83.5 10.4 61.6 0.7 1.1 0.4 17.4 -29.1
pair MACDhist RSI neg-neg 39 16.5 10.4 66.7 0.5 0.6 0.2 30.3 -45.1
pair RSI MACDhist neg-neg 39 16.5 10.4 66.7 0.5 0.6 0.2 30.3 -45.1
pair LWTI RSmean pos-pos 177 74.7 10.2 61.6 0.6 1.0 0.3 17.8 -29.1
pair RSmean LWTI pos-pos 177 74.7 10.2 61.6 0.6 1.0 0.3 17.8 -29.1
pair MACDhist MRmean pos-pos 114 48.1 10.2 61.4 0.7 1.0 0.4 16.4 -28.4
pair MRmean MACDhist pos-pos 114 48.1 10.2 61.4 0.7 1.0 0.4 16.4 -28.4
pair RSI RSmean neg-neg 2 0.8 10.0 50.0 1.7 0.0 29.6 5.6 -0.3
pair RSmean RSI 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 MACDhist SLmean pos-pos 106 44.7 9.9 61.3 0.7 1.0 0.3 15.7 -37.2
pair SLmean MACDhist pos-pos 106 44.7 9.9 61.3 0.7 1.0 0.3 15.7 -37.2
pair RSIhist RSmean pos-pos 117 49.4 9.9 60.7 0.7 1.1 0.3 14.8 -31.6
pair RSmean RSIhist pos-pos 117 49.4 9.9 60.7 0.7 1.1 0.3 14.8 -31.6
pair RSI SLmean neg-neg 35 14.8 9.7 65.7 0.5 0.6 0.2 32.3 -45.1
pair SLmean RSI neg-neg 35 14.8 9.7 65.7 0.5 0.6 0.2 32.3 -45.1
pair SLmean MRmean neg-neg 73 30.8 9.6 63.0 0.5 0.7 0.2 25.1 -45.1
pair MRmean SLmean neg-neg 73 30.8 9.6 63.0 0.5 0.7 0.2 25.1 -45.1
single MRmean MRmean neg-neg 81 34.2 9.5 63.0 0.5 0.7 0.2 24.3 -45.1
single SLmean SLmean pos-pos 152 64.1 9.5 60.5 0.7 1.1 0.2 15.1 -47.4
pair RSIhist LWTI pos-pos 106 44.7 9.5 61.3 0.7 1.1 0.3 15.0 -31.6
pair LWTI RSIhist pos-pos 106 44.7 9.5 61.3 0.7 1.1 0.3 15.0 -31.6
pair RSmean SLmean pos-pos 147 62.0 9.5 61.2 0.7 1.1 0.2 15.0 -44.1
pair SLmean RSmean pos-pos 147 62.0 9.5 61.2 0.7 1.1 0.2 15.0 -44.1
pair MRmean SLmean pos-pos 144 60.8 9.5 60.4 0.7 1.1 0.2 15.1 -41.7
pair SLmean MRmean pos-pos 144 60.8 9.5 60.4 0.7 1.1 0.2 15.1 -41.7
pair MRmean RSIhist neg-neg 76 32.1 9.4 63.2 0.5 0.7 0.2 24.8 -45.1
pair RSIhist MRmean neg-neg 76 32.1 9.4 63.2 0.5 0.7 0.2 24.8 -45.1
pair LWTI MACDhist neg-pos 79 33.3 9.4 62.0 0.6 1.0 0.3 17.5 -29.1
pair MACDhist LWTI neg-pos 79 33.3 9.4 62.0 0.6 1.0 0.3 17.5 -29.1
pair MACDhist RSIhist pos-pos 94 39.7 9.4 60.6 0.7 1.0 0.3 15.1 -32.8
pair RSIhist MACDhist pos-pos 94 39.7 9.4 60.6 0.7 1.0 0.3 15.1 -32.8
pair RSIhist RSI pos-pos 110 46.4 9.1 60.9 0.7 1.0 0.3 15.0 -29.9
pair RSI RSIhist pos-pos 110 46.4 9.1 60.9 0.7 1.0 0.3 15.0 -29.9
pair MACD MACDhist pos-pos 114 48.1 9.0 59.6 0.6 1.0 0.3 17.4 -29.3
pair MACDhist MACD pos-pos 114 48.1 9.0 59.6 0.6 1.0 0.3 17.4 -29.3
pair RSmean MACD neg-pos 12 5.1 8.9 41.7 0.6 1.6 1.1 17.6 -8.2
pair MACD RSmean neg-pos 12 5.1 8.9 41.7 0.6 1.6 1.1 17.6 -8.2
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 8.9 60.8 0.6 0.8 0.2 19.1 -52.4
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 8.9 60.8 0.6 0.8 0.2 19.1 -52.4
pair RSI MACDhist pos-pos 115 48.5 8.8 60.9 0.6 0.9 0.3 17.0 -29.3
pair MACDhist RSI pos-pos 115 48.5 8.8 60.9 0.6 0.9 0.3 17.0 -29.3
pair MRmean RSmean pos-pos 151 63.7 8.7 60.3 0.6 1.0 0.3 15.8 -27.4
pair RSmean MRmean pos-pos 151 63.7 8.7 60.3 0.6 1.0 0.3 15.8 -27.4
pair MACD RSIhist pos-pos 102 43.0 8.6 59.8 0.6 1.0 0.3 15.1 -29.9
pair RSIhist MACD pos-pos 102 43.0 8.6 59.8 0.6 1.0 0.3 15.1 -29.9
single MRmean MRmean pos-pos 156 65.8 8.6 59.6 0.6 1.0 0.3 15.8 -31.6
pair MRmean LWTI pos-pos 143 60.3 8.4 60.8 0.6 0.9 0.2 15.9 -32.9
pair SLmean MACDhist pos-neg 46 19.4 8.4 58.7 0.7 1.4 0.4 13.9 -19.0
pair MACDhist SLmean pos-neg 46 19.4 8.4 58.7 0.7 1.4 0.4 13.9 -19.0
pair LWTI MRmean pos-pos 143 60.3 8.4 60.8 0.6 0.9 0.2 15.9 -32.9
pair MACDhist MRmean neg-neg 73 30.8 8.3 64.4 0.5 0.6 0.2 24.1 -45.1
pair SLmean MRmean neg-pos 8 3.4 8.3 62.5 0.6 1.4 0.8 16.0 -10.1
pair MRmean SLmean neg-pos 8 3.4 8.3 62.5 0.6 1.4 0.8 16.0 -10.1
pair MRmean MACDhist neg-neg 73 30.8 8.3 64.4 0.5 0.6 0.2 24.1 -45.1
single RSmean RSmean pos-pos 213 89.9 8.1 60.6 0.5 0.7 0.1 19.6 -52.4
single SLmean SLmean neg-neg 85 35.9 7.9 61.2 0.4 0.6 0.2 24.7 -49.1
pair MRmean MACD pos-pos 135 57.0 7.8 58.5 0.6 0.9 0.2 16.0 -31.2
pair MACD MRmean pos-pos 135 57.0 7.8 58.5 0.6 0.9 0.2 16.0 -31.2
pair SLmean RSIhist neg-neg 84 35.4 7.5 60.7 0.4 0.6 0.1 24.9 -49.1
pair RSIhist SLmean neg-neg 84 35.4 7.5 60.7 0.4 0.6 0.1 24.9 -49.1
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 59.5 7.5 60.3 0.6 0.9 0.2 15.1 -47.4
pair SLmean RSI pos-pos 141 59.5 7.5 60.3 0.6 0.9 0.2 15.1 -47.4
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 LWTI SLmean pos-pos 134 56.5 7.5 60.4 0.6 0.9 0.1 15.3 -48.6
pair SLmean LWTI pos-pos 134 56.5 7.5 60.4 0.6 0.9 0.1 15.3 -48.6
pair SLmean RSmean pos-neg 5 2.1 7.5 40.0 0.4 1.7 1.3 19.8 -5.8
pair LWTI RSI pos-pos 180 75.9 7.4 60.0 0.5 0.9 0.2 15.9 -35.3
pair RSI LWTI pos-pos 180 75.9 7.4 60.0 0.5 0.9 0.2 15.9 -35.3
pair RSI MRmean pos-pos 148 62.4 7.4 59.5 0.5 0.9 0.2 15.9 -31.2
pair MRmean RSI pos-pos 148 62.4 7.4 59.5 0.5 0.9 0.2 15.9 -31.2
pair MACD SLmean pos-pos 130 54.9 7.3 59.2 0.5 0.8 0.1 15.3 -47.4
pair SLmean MACD pos-pos 130 54.9 7.3 59.2 0.5 0.8 0.1 15.3 -47.4
single RSI RSI pos-pos 191 80.6 7.3 59.7 0.5 0.9 0.2 15.9 -33.6
single MACDhist MACDhist neg-neg 115 48.5 6.9 60.9 0.4 0.6 0.1 21.0 -52.4
pair MRmean RSI neg-pos 43 18.1 6.9 60.5 0.5 1.1 0.3 16.0 -20.8
pair RSI MRmean neg-pos 43 18.1 6.9 60.5 0.5 1.1 0.3 16.0 -20.8
single RSIhist RSIhist neg-neg 117 49.4 6.8 60.7 0.4 0.6 0.1 22.6 -49.1
pair LWTI MACD neg-pos 31 13.1 6.8 74.2 0.5 0.5 0.2 18.3 -29.1
pair MACD LWTI neg-pos 31 13.1 6.8 74.2 0.5 0.5 0.2 18.3 -29.1
pair SLmean RSI neg-pos 50 21.1 6.7 58.0 0.5 0.9 0.2 17.9 -27.9
pair RSI SLmean neg-pos 50 21.1 6.7 58.0 0.5 0.9 0.2 17.9 -27.9
pair RSmean MRmean neg-pos 62 26.2 6.7 61.3 0.4 0.5 0.2 26.8 -40.9
pair MRmean RSmean neg-pos 62 26.2 6.7 61.3 0.4 0.5 0.2 26.8 -40.9
pair RSI MACD pos-pos 167 70.5 6.6 57.5 0.5 0.8 0.2 16.2 -33.6
pair MACD RSI pos-pos 167 70.5 6.6 57.5 0.5 0.8 0.2 16.2 -33.6
pair RSI RSmean pos-pos 169 71.3 6.1 59.2 0.5 0.8 0.2 16.0 -28.2
pair RSmean RSI pos-pos 169 71.3 6.1 59.2 0.5 0.8 0.2 16.0 -28.2
pair RSmean RSIhist pos-neg 96 40.5 6.0 60.4 0.4 0.5 0.1 24.2 -49.1
pair RSIhist RSmean pos-neg 96 40.5 6.0 60.4 0.4 0.5 0.1 24.2 -49.1
pair SLmean MACDhist neg-neg 69 29.1 5.9 62.3 0.4 0.5 0.1 24.7 -49.1
pair MACDhist SLmean neg-neg 69 29.1 5.9 62.3 0.4 0.5 0.1 24.7 -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 RSI MACDhist pos-neg 76 32.1 5.1 57.9 0.4 0.9 0.3 14.1 -19.2
pair MACDhist RSI pos-neg 76 32.1 5.1 57.9 0.4 0.9 0.3 14.1 -19.2
pair RSIhist SLmean pos-neg 33 13.9 5.1 60.6 0.4 0.6 0.2 15.7 -27.5
pair SLmean RSIhist pos-neg 33 13.9 5.1 60.6 0.4 0.6 0.2 15.7 -27.5
pair RSmean SLmean neg-pos 66 27.8 5.0 59.1 0.3 0.5 0.1 27.2 -49.1
pair SLmean RSmean neg-pos 66 27.8 5.0 59.1 0.3 0.5 0.1 27.2 -49.1
pair RSIhist RSI pos-neg 81 34.2 4.9 58.0 0.4 0.7 0.2 17.1 -24.2
pair RSI RSIhist pos-neg 81 34.2 4.9 58.0 0.4 0.7 0.2 17.1 -24.2
pair RSmean MACDhist pos-neg 91 38.4 4.5 60.4 0.3 0.4 0.1 22.4 -52.4
pair MACDhist RSmean pos-neg 91 38.4 4.5 60.4 0.3 0.4 0.1 22.4 -52.4
pair MRmean MACDhist pos-neg 42 17.7 4.4 54.8 0.4 0.7 0.3 14.2 -13.3
pair MACDhist MRmean pos-neg 42 17.7 4.4 54.8 0.4 0.7 0.3 14.2 -13.3
pair RSIhist MACDhist neg-neg 89 37.6 4.1 60.7 0.3 0.4 0.1 22.5 -49.1
pair MACDhist RSIhist neg-neg 89 37.6 4.1 60.7 0.3 0.4 0.1 22.5 -49.1
pair LWTI MACDhist pos-neg 3 1.3 3.6 33.3 0.7 146.3 3.2 5.2 -1.1
pair MACDhist LWTI pos-neg 3 1.3 3.6 33.3 0.7 146.3 3.2 5.2 -1.1
pair RSIhist MRmean pos-neg 41 17.3 2.1 56.1 0.2 0.4 0.1 18.1 -22.7
pair MRmean RSIhist pos-neg 41 17.3 2.1 56.1 0.2 0.4 0.1 18.1 -22.7
single LWTI LWTI neg-neg 39 16.5 1.7 56.4 0.2 0.2 0.0 26.3 -39.0
pair LWTI MACDhist neg-neg 36 15.2 1.5 58.3 0.2 0.2 0.0 27.3 -39.0
pair MACDhist LWTI neg-neg 36 15.2 1.5 58.3 0.2 0.2 0.0 27.3 -39.0
single MACD MACD neg-neg 55 23.2 1.2 65.5 0.2 0.2 0.0 24.7 -52.4
pair RSI LWTI neg-neg 28 11.8 0.2 57.1 0.2 0.2 0.0 29.7 -39.0
pair LWTI RSI neg-neg 28 11.8 0.2 57.1 0.2 0.2 0.0 29.7 -39.0
pair SLmean MRmean pos-neg 12 5.1 -1.5 50.0 0.0 0.1 -0.1 23.2 -24.2
pair MRmean SLmean pos-neg 12 5.1 -1.5 50.0 0.0 0.1 -0.1 23.2 -24.2
pair LWTI RSmean pos-neg 36 15.2 -1.7 55.6 0.1 0.1 -0.0 26.7 -39.0
pair RSmean LWTI pos-neg 36 15.2 -1.7 55.6 0.1 0.1 -0.0 26.7 -39.0
pair LWTI MRmean neg-neg 26 11.0 -3.1 61.5 0.1 0.1 -0.1 30.5 -39.0
pair MRmean LWTI neg-neg 26 11.0 -3.1 61.5 0.1 0.1 -0.1 30.5 -39.0
pair MACD MACDhist neg-neg 47 19.8 -4.3 63.8 -0.0 -0.0 -0.1 26.0 -52.4
pair MACDhist MACD neg-neg 47 19.8 -4.3 63.8 -0.0 -0.0 -0.1 26.0 -52.4
pair RSmean MACD pos-neg 43 18.1 -4.5 60.5 -0.0 -0.0 -0.1 27.3 -52.4
pair MACD RSmean pos-neg 43 18.1 -4.5 60.5 -0.0 -0.0 -0.1 27.3 -52.4
pair LWTI MACD neg-neg 24 10.1 -5.6 54.2 -0.0 -0.0 -0.1 31.5 -39.0
pair MACD LWTI neg-neg 24 10.1 -5.6 54.2 -0.0 -0.0 -0.1 31.5 -39.0
pair MACD MRmean neg-neg 34 14.3 -6.0 64.7 -0.1 -0.1 -0.1 29.3 -45.1
pair MRmean MACD neg-neg 34 14.3 -6.0 64.7 -0.1 -0.1 -0.1 29.3 -45.1
pair RSI MACD neg-neg 31 13.1 -6.9 58.1 -0.1 -0.1 -0.1 30.8 -45.1
pair MACD RSI neg-neg 31 13.1 -6.9 58.1 -0.1 -0.1 -0.1 30.8 -45.1
pair MACD RSIhist neg-neg 37 15.6 -8.8 64.9 -0.2 -0.2 -0.2 28.1 -49.1
pair RSIhist MACD neg-neg 37 15.6 -8.8 64.9 -0.2 -0.2 -0.2 28.1 -49.1
pair LWTI RSIhist neg-neg 25 10.5 -8.8 56.0 -0.1 -0.2 -0.2 30.9 -39.0
pair RSIhist LWTI neg-neg 25 10.5 -8.8 56.0 -0.1 -0.2 -0.2 30.9 -39.0
pair SLmean MACD neg-neg 33 13.9 -11.1 63.6 -0.2 -0.3 -0.2 29.5 -49.1
pair MACD SLmean neg-neg 33 13.9 -11.1 63.6 -0.2 -0.3 -0.2 29.5 -49.1
pair LWTI SLmean neg-neg 21 8.9 -15.0 52.4 -0.3 -0.4 -0.4 33.3 -39.0
pair SLmean LWTI neg-neg 21 8.9 -15.0 52.4 -0.3 -0.4 -0.4 33.3 -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 (61%)
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 (66%)
MRmean
neg
CAGR 8.3% | Win 62%
Sharpe 0.57 | Sortino 1.35 | Calmar 0.8
Vol 16% | MDD -10.1%
Months 8M (3%)
CAGR 9.6% | Win 63%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -45.1%
Months 73M (31%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
SLmean
only
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.2
Vol 15% | MDD -47.4%
Months 152M (64%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (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 (64%)
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 (66%)
MRmean
neg
CAGR 6.7% | Win 61%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.2
Vol 27% | MDD -40.9%
Months 62M (26%)
CAGR 18.9% | Win 68%
Sharpe 1.39 | Sortino 2.73 | Calmar 3.2
Vol 13% | MDD -6.0%
Months 19M (8%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
RSmean
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (90%)
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | 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 (57%)
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 (66%)
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 -6.0% | Win 65%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 29% | MDD -45.1%
Months 34M (14%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
MACD
only
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (77%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
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 2.14 | Sortino 7.18 | 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 (66%)
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 12.4% | Win 66%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.3
Vol 31% | MDD -45.1%
Months 38M (16%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (81%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
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 (66%)
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 8.3% | Win 64%
Sharpe 0.46 | Sortino 0.58 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 73M (31%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (52%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
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 (66%)
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 9.4% | Win 63%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 25% | MDD -45.1%
Months 76M (32%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
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 0.80 | Sortino 1.77 | Calmar 1.1
Vol 16% | MDD -11.3%
Months 13M (6%)
CAGR 8.6% | Win 60%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 156M (66%)
MRmean
neg
CAGR 15.9% | Win 64%
Sharpe 0.81 | Sortino 1.41 | Calmar 0.7
Vol 21% | MDD -22.2%
Months 55M (23%)
CAGR -3.1% | Win 62%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.1
Vol 30% | MDD -39.0%
Months 26M (11%)
CAGR 9.5% | Win 63%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -45.1%
Months 81M (34%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 -47.4%
Months 152M (64%)
SLmean
neg
CAGR 5.0% | Win 59%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -49.1%
Months 66M (28%)
CAGR 18.9% | Win 68%
Sharpe 1.39 | Sortino 2.73 | Calmar 3.2
Vol 13% | MDD -6.0%
Months 19M (8%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
RSmean
only
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (90%)
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | 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 -47.4%
Months 130M (55%)
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 -47.4%
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 -11.1% | Win 64%
Sharpe -0.24 | Sortino -0.33 | Calmar -0.2
Vol 30% | MDD -49.1%
Months 33M (14%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
MACD
only
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (77%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
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 -47.4%
Months 141M (60%)
CAGR 37.4% | Win 64%
Sharpe 2.37 | Sortino 9.22 | 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 -47.4%
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 9.7% | Win 66%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.2
Vol 32% | MDD -45.1%
Months 35M (15%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (81%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
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 (45%)
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 -47.4%
Months 152M (64%)
SLmean
neg
CAGR 17.2% | Win 56%
Sharpe 0.74 | Sortino 2.15 | Calmar 0.8
Vol 26% | MDD -20.8%
Months 16M (7%)
CAGR 5.9% | Win 62%
Sharpe 0.36 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -49.1%
Months 69M (29%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (52%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 60%
Sharpe 0.76 | Sortino 1.22 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 119M (50%)
CAGR 5.1% | Win 61%
Sharpe 0.39 | Sortino 0.61 | 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 -47.4%
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 7.5% | Win 61%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 84M (35%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
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 -47.4%
Months 152M (64%)
SLmean
neg
CAGR 16.7% | Win 64%
Sharpe 0.84 | Sortino 1.46 | Calmar 0.5
Vol 21% | MDD -31.9%
Months 64M (27%)
CAGR -15.0% | Win 52%
Sharpe -0.32 | Sortino -0.43 | Calmar -0.4
Vol 33% | MDD -39.0%
Months 21M (9%)
CAGR 7.9% | Win 61%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -49.1%
Months 85M (36%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 (72%)
CAGR -4.5% | Win 60%
Sharpe -0.03 | Sortino -0.03 | Calmar -0.1
Vol 27% | MDD -52.4%
Months 43M (18%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (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 3.42 | Calmar 4.1
Vol 11% | MDD -6.0%
Months 12M (5%)
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | 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 (77%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
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 16.0% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 30% | MDD -40.9%
Months 44M (19%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (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 1.13 | Sortino 2.77 | 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 (81%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
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 (52%)
CAGR 4.5% | Win 60%
Sharpe 0.31 | Sortino 0.41 | Calmar 0.1
Vol 22% | MDD -52.4%
Months 91M (38%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (90%)
RSmean
neg		-
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | 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 (52%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
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 6.0% | Win 60%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -49.1%
Months 96M (40%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (90%)
RSmean
neg
CAGR 65.1% | Win 67%
Sharpe 2.65 | Sortino 0.00 | Calmar 71.0
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 1.13 | Sortino 2.77 | 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 (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.2% | Win 62%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 18% | MDD -29.1%
Months 177M (75%)
CAGR -1.7% | Win 56%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 27% | MDD -39.0%
Months 36M (15%)
CAGR 8.1% | Win 61%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -52.4%
Months 213M (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 52.3% | Win 67%
Sharpe 2.17 | Sortino 0.00 | Calmar 154.9
Vol 20% | MDD -0.3%
Months 3M (1%)
CAGR 16.4% | Win 62%
Sharpe 1.13 | Sortino 2.77 | Calmar 2.0
Vol 14% | MDD -8.2%
Months 24M (10%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 81.5% | 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 (77%)
MACD
neg
CAGR 12.8% | Win 75%
Sharpe 0.96 | Sortino 1.76 | Calmar 1.0
Vol 13% | MDD -13.3%
Months 24M (10%)
CAGR -6.9% | Win 58%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.2
Vol 31% | MDD -45.1%
Months 31M (13%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
RSI
only
CAGR 7.3% | Win 60%
Sharpe 0.53 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 191M (81%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
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 (29%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (77%)
MACD
neg
CAGR 41.1% | Win 75%
Sharpe 2.85 | Sortino 1432.67 | Calmar 36.1
Vol 12% | MDD -1.1%
Months 8M (3%)
CAGR -4.3% | Win 64%
Sharpe -0.04 | Sortino -0.04 | Calmar -0.1
Vol 26% | MDD -52.4%
Months 47M (20%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (52%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
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 -17.3%
Months 80M (34%)
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -21.8%
Months 182M (77%)
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 -8.8% | Win 65%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.2
Vol 28% | MDD -49.1%
Months 37M (16%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
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 (77%)
MACD
neg
CAGR 6.8% | Win 74%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.2
Vol 18% | MDD -29.1%
Months 31M (13%)
CAGR -5.6% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 32% | MDD -39.0%
Months 24M (10%)
CAGR 1.2% | Win 66%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 25% | MDD -52.4%
Months 55M (23%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 (81%)
RSI
neg
CAGR 50.5% | Win 57%
Sharpe 2.18 | Sortino 9.74 | Calmar 18.1
Vol 20% | MDD -2.8%
Months 7M (3%)
CAGR 10.4% | Win 67%
Sharpe 0.48 | Sortino 0.62 | Calmar 0.2
Vol 30% | MDD -45.1%
Months 39M (16%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
MACDhist
only
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 122M (52%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
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 (81%)
RSI
neg
CAGR 34.0% | Win 60%
Sharpe 2.11 | Sortino 8.53 | Calmar 12.8
Vol 14% | MDD -2.7%
Months 10M (4%)
CAGR 11.1% | Win 67%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.2
Vol 32% | MDD -45.1%
Months 36M (15%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
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 (76%)
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 (81%)
RSI
neg
CAGR 45.0% | Win 78%
Sharpe 1.51 | Sortino 2.23 | Calmar 2.5
Vol 27% | MDD -18.2%
Months 18M (8%)
CAGR 0.2% | Win 57%
Sharpe 0.16 | Sortino 0.18 | Calmar 0.0
Vol 30% | MDD -39.0%
Months 28M (12%)
CAGR 15.8% | Win 65%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.3
Vol 29% | MDD -45.1%
Months 46M (19%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 (40%)
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 (52%)
MACDhist
neg
CAGR 17.0% | Win 62%
Sharpe 1.15 | Sortino 2.57 | Calmar 1.9
Vol 15% | MDD -8.8%
Months 26M (11%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -49.1%
Months 89M (38%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
RSIhist
only
CAGR 11.0% | Win 61%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.3
Vol 15% | MDD -31.6%
Months 120M (51%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
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 0.69 | Sortino 146.34 | 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 (52%)
MACDhist
neg
CAGR 9.4% | Win 62%
Sharpe 0.60 | Sortino 0.98 | Calmar 0.3
Vol 18% | MDD -29.1%
Months 79M (33%)
CAGR 1.5% | Win 58%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 27% | MDD -39.0%
Months 36M (15%)
CAGR 6.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -52.4%
Months 115M (48%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)
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 (45%)
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 (51%)
RSIhist
neg
CAGR 11.5% | Win 62%
Sharpe 0.65 | Sortino 1.14 | Calmar 0.4
Vol 20% | MDD -31.9%
Months 92M (39%)
CAGR -8.8% | Win 56%
Sharpe -0.14 | Sortino -0.18 | Calmar -0.2
Vol 31% | MDD -39.0%
Months 25M (10%)
CAGR 6.8% | Win 61%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 23% | MDD -49.1%
Months 117M (49%)
LWTI
only
CAGR 10.4% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 17% | MDD -29.1%
Months 198M (84%)
CAGR 1.7% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -39.0%
Months 39M (16%)