IHI - iShares U.S. Medical Devices ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

217.4%

Best CAGR

68

Total Months

17.3%

Avg CAGR

IHI 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 IHI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 2 0.8 217.4 100.0 10.2 0.0 0.0 11.9 0.0
pair RSI MACDhist neg-pos 2 0.8 217.4 100.0 10.2 0.0 0.0 11.9 0.0
pair RSI MRmean pos-neg 4 1.7 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair MRmean RSI pos-neg 4 1.7 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair RSI RSIhist neg-pos 4 1.7 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair RSIhist RSI neg-pos 4 1.7 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair MRmean MACDhist neg-pos 5 2.1 66.6 80.0 2.0 0.0 0.0 27.7 0.0
pair MACDhist MRmean neg-pos 5 2.1 66.6 80.0 2.0 0.0 0.0 27.7 0.0
pair SLmean RSI pos-neg 9 3.8 50.4 77.8 2.8 3.3 7.5 15.3 -6.7
pair RSI SLmean pos-neg 9 3.8 50.4 77.8 2.8 3.3 7.5 15.3 -6.7
pair MACD LWTI neg-neg 13 5.5 37.7 84.6 1.8 2.2 3.3 18.9 -11.6
pair LWTI MACD neg-neg 13 5.5 37.7 84.6 1.8 2.2 3.3 18.9 -11.6
pair MRmean RSmean pos-neg 5 2.1 37.6 60.0 1.7 133.5 11.3 19.9 -3.3
pair RSmean MRmean pos-neg 5 2.1 37.6 60.0 1.7 133.5 11.3 19.9 -3.3
pair MACD RSI neg-neg 19 8.0 37.1 78.9 1.8 2.2 3.2 18.8 -11.6
pair RSI MACD neg-neg 19 8.0 37.1 78.9 1.8 2.2 3.2 18.8 -11.6
pair LWTI RSI neg-neg 17 7.2 30.2 76.5 1.5 1.9 2.5 19.0 -12.0
pair RSI LWTI neg-neg 17 7.2 30.2 76.5 1.5 1.9 2.5 19.0 -12.0
pair RSIhist MRmean neg-pos 3 1.3 29.9 100.0 4.9 0.0 0.0 5.4 0.0
pair MRmean RSIhist neg-pos 3 1.3 29.9 100.0 4.9 0.0 0.0 5.4 0.0
pair RSmean MACD neg-pos 9 3.8 29.8 77.8 1.8 107.9 8.9 15.0 -3.3
pair MACD RSmean neg-pos 9 3.8 29.8 77.8 1.8 107.9 8.9 15.0 -3.3
pair RSI RSmean neg-pos 16 6.8 27.9 81.2 2.0 23.3 7.3 12.8 -3.8
pair RSmean RSI neg-pos 16 6.8 27.9 81.2 2.0 23.3 7.3 12.8 -3.8
pair MACD SLmean pos-neg 22 9.3 27.6 72.7 2.0 3.0 3.0 13.0 -9.1
pair SLmean MACD pos-neg 22 9.3 27.6 72.7 2.0 3.0 3.0 13.0 -9.1
pair MACD RSIhist neg-pos 22 9.3 25.8 77.3 2.1 2.5 4.2 11.5 -6.1
pair RSIhist MACD neg-pos 22 9.3 25.8 77.3 2.1 2.5 4.2 11.5 -6.1
pair RSIhist SLmean neg-pos 4 1.7 25.1 100.0 4.6 0.0 0.0 4.9 0.0
pair SLmean RSIhist neg-pos 4 1.7 25.1 100.0 4.6 0.0 0.0 4.9 0.0
pair RSmean MACDhist neg-neg 18 7.6 25.0 83.3 2.2 4.7 6.5 10.3 -3.8
pair MACDhist RSmean neg-neg 18 7.6 25.0 83.3 2.2 4.7 6.5 10.3 -3.8
pair MACD MACDhist neg-pos 5 2.1 24.5 60.0 1.4 1.8 1004.9 17.0 -0.0
pair MACDhist MACD neg-pos 5 2.1 24.5 60.0 1.4 1.8 1004.9 17.0 -0.0
pair RSIhist RSmean neg-neg 15 6.3 24.1 80.0 2.0 4.5 6.3 11.2 -3.8
pair RSmean RSIhist neg-neg 15 6.3 24.1 80.0 2.0 4.5 6.3 11.2 -3.8
pair MRmean MACD neg-neg 25 10.5 23.7 76.0 1.4 1.6 2.0 16.5 -11.6
pair MACD MRmean neg-neg 25 10.5 23.7 76.0 1.4 1.6 2.0 16.5 -11.6
pair RSmean MACD pos-neg 34 14.3 23.6 70.6 1.4 1.8 1.8 16.0 -13.2
pair MACD RSmean pos-neg 34 14.3 23.6 70.6 1.4 1.8 1.8 16.0 -13.2
pair SLmean RSmean neg-neg 17 7.2 22.4 82.4 2.0 4.2 5.9 10.3 -3.8
pair RSmean SLmean neg-neg 17 7.2 22.4 82.4 2.0 4.2 5.9 10.3 -3.8
single RSmean RSmean neg-neg 21 8.9 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
pair RSmean LWTI neg-pos 21 8.9 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
pair LWTI RSmean neg-pos 21 8.9 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
pair RSmean RSI pos-neg 27 11.4 22.1 70.4 0.9 1.5 1.6 24.9 -13.6
pair RSI RSmean pos-neg 27 11.4 22.1 70.4 0.9 1.5 1.6 24.9 -13.6
pair RSmean SLmean pos-neg 4 1.7 21.9 50.0 1.0 85.0 3.4 21.0 -6.5
pair SLmean RSmean pos-neg 4 1.7 21.9 50.0 1.0 85.0 3.4 21.0 -6.5
single MACD MACD neg-neg 46 19.4 21.8 71.7 1.4 1.8 1.6 14.6 -13.2
pair MACD MACDhist neg-neg 41 17.3 21.5 73.2 1.4 1.8 1.6 14.5 -13.2
pair MACDhist MACD neg-neg 41 17.3 21.5 73.2 1.4 1.8 1.6 14.5 -13.2
pair MRmean SLmean neg-pos 5 2.1 21.4 60.0 1.1 1.6 3.2 18.5 -6.7
pair SLmean MRmean neg-pos 5 2.1 21.4 60.0 1.1 1.6 3.2 18.5 -6.7
pair LWTI SLmean neg-neg 9 3.8 21.2 77.8 1.0 1.7 1.8 22.6 -11.6
pair SLmean LWTI neg-neg 9 3.8 21.2 77.8 1.0 1.7 1.8 22.6 -11.6
pair MRmean RSI neg-pos 32 13.5 19.7 78.1 1.0 0.8 0.7 21.1 -29.2
pair RSI MRmean neg-pos 32 13.5 19.7 78.1 1.0 0.8 0.7 21.1 -29.2
pair MRmean MACD pos-neg 21 8.9 19.6 66.7 1.5 2.3 1.9 12.4 -10.0
pair MACD MRmean pos-neg 21 8.9 19.6 66.7 1.5 2.3 1.9 12.4 -10.0
pair RSIhist SLmean pos-neg 32 13.5 19.4 71.9 1.1 1.8 0.9 17.2 -21.1
pair SLmean RSIhist pos-neg 32 13.5 19.4 71.9 1.1 1.8 0.9 17.2 -21.1
single RSI RSI neg-neg 32 13.5 19.4 68.8 0.9 1.3 0.9 23.2 -22.3
pair SLmean MACDhist neg-pos 18 7.6 18.7 55.6 0.9 1.9 1.4 22.3 -13.7
pair MACDhist SLmean neg-pos 18 7.6 18.7 55.6 0.9 1.9 1.4 22.3 -13.7
pair RSIhist MACD neg-neg 24 10.1 18.3 66.7 1.1 1.4 1.6 17.2 -11.6
pair MACD RSIhist neg-neg 24 10.1 18.3 66.7 1.1 1.4 1.6 17.2 -11.6
pair MACDhist LWTI neg-neg 20 8.4 18.1 70.0 1.0 1.5 1.5 19.0 -12.0
pair LWTI MACDhist neg-neg 20 8.4 18.1 70.0 1.0 1.5 1.5 19.0 -12.0
pair RSIhist RSmean neg-pos 6 2.5 18.0 66.7 1.1 69.8 2.8 15.9 -6.5
pair RSmean RSIhist neg-pos 6 2.5 18.0 66.7 1.1 69.8 2.8 15.9 -6.5
pair RSmean MRmean neg-neg 16 6.8 17.9 81.2 1.8 3.4 4.7 9.5 -3.8
pair MRmean RSmean neg-neg 16 6.8 17.9 81.2 1.8 3.4 4.7 9.5 -3.8
pair MACD RSmean neg-neg 12 5.1 16.9 75.0 1.6 3.3 4.4 10.3 -3.8
pair RSmean MACD neg-neg 12 5.1 16.9 75.0 1.6 3.3 4.4 10.3 -3.8
pair MACD SLmean neg-neg 24 10.1 16.7 70.8 1.0 1.2 1.4 16.2 -11.6
pair SLmean MACD neg-neg 24 10.1 16.7 70.8 1.0 1.2 1.4 16.2 -11.6
pair LWTI MACD neg-pos 33 13.9 16.1 66.7 1.2 2.0 2.4 12.6 -6.8
pair MACD LWTI neg-pos 33 13.9 16.1 66.7 1.2 2.0 2.4 12.6 -6.8
pair RSI RSIhist pos-neg 74 31.2 16.0 67.6 0.8 1.1 0.4 20.2 -41.5
pair RSIhist RSI pos-neg 74 31.2 16.0 67.6 0.8 1.1 0.4 20.2 -41.5
pair LWTI MRmean neg-pos 47 19.8 15.9 72.3 0.8 0.8 0.4 23.1 -40.0
pair MRmean LWTI neg-pos 47 19.8 15.9 72.3 0.8 0.8 0.4 23.1 -40.0
pair SLmean MACDhist pos-neg 42 17.7 15.7 66.7 1.0 1.8 1.0 15.3 -15.9
single MRmean MRmean neg-neg 60 25.3 15.7 71.7 0.8 0.9 0.4 22.4 -38.9
pair MACDhist SLmean pos-neg 42 17.7 15.7 66.7 1.0 1.8 1.0 15.3 -15.9
pair MACDhist RSIhist neg-neg 68 28.7 15.2 69.1 0.8 0.9 0.4 21.8 -38.9
pair RSIhist MACDhist neg-neg 68 28.7 15.2 69.1 0.8 0.9 0.4 21.8 -38.9
pair MRmean SLmean neg-neg 55 23.2 15.2 72.7 0.7 0.8 0.4 22.9 -38.9
pair SLmean MRmean neg-neg 55 23.2 15.2 72.7 0.7 0.8 0.4 22.9 -38.9
pair MACDhist MRmean pos-neg 43 18.1 15.1 65.1 0.9 1.6 0.7 16.6 -20.8
pair MRmean MACDhist pos-neg 43 18.1 15.1 65.1 0.9 1.6 0.7 16.6 -20.8
pair RSI SLmean neg-pos 51 21.5 15.1 66.7 0.8 0.9 0.4 21.0 -41.5
pair SLmean RSI neg-pos 51 21.5 15.1 66.7 0.8 0.9 0.4 21.0 -41.5
pair MRmean RSIhist neg-neg 57 24.1 15.0 70.2 0.7 0.8 0.4 23.0 -38.9
pair RSIhist MRmean neg-neg 57 24.1 15.0 70.2 0.7 0.8 0.4 23.0 -38.9
pair RSmean MRmean neg-pos 44 18.6 14.9 68.2 0.7 0.8 0.4 25.6 -38.9
pair MRmean RSmean neg-pos 44 18.6 14.9 68.2 0.7 0.8 0.4 25.6 -38.9
pair RSIhist LWTI neg-neg 13 5.5 14.8 69.2 0.8 1.0 1.2 20.4 -12.0
pair LWTI RSIhist neg-neg 13 5.5 14.8 69.2 0.8 1.0 1.2 20.4 -12.0
pair MRmean LWTI neg-neg 13 5.5 14.8 69.2 0.8 1.0 1.2 20.4 -12.0
pair LWTI MRmean neg-neg 13 5.5 14.8 69.2 0.8 1.0 1.2 20.4 -12.0
pair RSIhist LWTI neg-pos 89 37.6 14.6 66.3 0.8 1.0 0.3 21.4 -44.2
pair LWTI RSIhist neg-pos 89 37.6 14.6 66.3 0.8 1.0 0.3 21.4 -44.2
single RSIhist RSIhist neg-neg 102 43.0 14.6 66.7 0.8 1.0 0.4 21.2 -38.9
pair MRmean RSIhist pos-neg 45 19.0 14.2 62.2 0.8 1.5 0.7 19.0 -19.1
pair RSIhist MRmean pos-neg 45 19.0 14.2 62.2 0.8 1.5 0.7 19.0 -19.1
pair MACDhist RSI pos-neg 68 28.7 13.9 69.1 0.8 0.9 0.5 18.4 -27.5
pair RSI MACDhist pos-neg 68 28.7 13.9 69.1 0.8 0.9 0.5 18.4 -27.5
pair RSIhist MACDhist pos-neg 34 14.3 13.6 61.8 0.7 1.4 1.1 20.3 -12.8
pair MACD RSIhist pos-neg 78 32.9 13.6 66.7 0.7 0.9 0.3 22.4 -44.2
pair RSIhist MACD pos-neg 78 32.9 13.6 66.7 0.7 0.9 0.3 22.4 -44.2
pair MACDhist RSIhist pos-neg 34 14.3 13.6 61.8 0.7 1.4 1.1 20.3 -12.8
single MACDhist MACDhist neg-neg 98 41.4 13.3 68.4 0.7 0.9 0.3 19.6 -43.7
single SLmean SLmean neg-neg 74 31.2 13.2 66.2 0.7 0.9 0.3 22.3 -41.0
pair RSIhist RSmean pos-neg 87 36.7 13.1 64.4 0.7 0.9 0.3 22.5 -38.9
pair RSmean RSIhist pos-neg 87 36.7 13.1 64.4 0.7 0.9 0.3 22.5 -38.9
pair RSIhist SLmean neg-neg 70 29.5 12.6 64.3 0.6 0.8 0.3 22.9 -41.0
pair SLmean RSIhist neg-neg 70 29.5 12.6 64.3 0.6 0.8 0.3 22.9 -41.0
pair LWTI SLmean neg-pos 65 27.4 12.1 64.6 0.6 0.8 0.3 22.4 -44.2
pair MACDhist LWTI neg-pos 78 32.9 12.1 67.9 0.7 0.8 0.3 19.9 -39.4
pair MACD RSI neg-pos 27 11.4 12.1 66.7 1.1 1.6 1.4 10.4 -8.4
pair SLmean LWTI neg-pos 65 27.4 12.1 64.6 0.6 0.8 0.3 22.4 -44.2
pair RSI MACD neg-pos 27 11.4 12.1 66.7 1.1 1.6 1.4 10.4 -8.4
pair LWTI MACDhist neg-pos 78 32.9 12.1 67.9 0.7 0.8 0.3 19.9 -39.4
pair MRmean MACDhist neg-neg 55 23.2 11.9 70.9 0.6 0.7 0.3 21.9 -38.9
pair RSI MACDhist neg-neg 30 12.7 11.9 66.7 0.6 0.9 0.5 22.5 -22.3
pair MACDhist RSI neg-neg 30 12.7 11.9 66.7 0.6 0.9 0.5 22.5 -22.3
pair MACDhist MRmean neg-neg 55 23.2 11.9 70.9 0.6 0.7 0.3 21.9 -38.9
pair SLmean MACD neg-pos 50 21.1 11.6 64.0 0.6 0.8 0.3 24.8 -44.2
pair MACD SLmean neg-pos 50 21.1 11.6 64.0 0.6 0.8 0.3 24.8 -44.2
pair RSmean LWTI pos-neg 24 10.1 11.5 62.5 0.7 1.1 0.6 19.4 -18.7
pair MACDhist SLmean neg-neg 56 23.6 11.5 69.6 0.6 0.7 0.3 22.5 -38.9
pair SLmean MACDhist neg-neg 56 23.6 11.5 69.6 0.6 0.7 0.3 22.5 -38.9
pair LWTI RSmean pos-neg 24 10.1 11.5 62.5 0.7 1.1 0.6 19.4 -18.7
single LWTI LWTI neg-neg 24 10.1 11.5 62.5 0.7 1.1 0.6 19.4 -18.7
pair LWTI RSI pos-pos 198 83.5 11.4 65.2 0.8 1.0 0.3 16.1 -32.2
pair RSI LWTI pos-pos 198 83.5 11.4 65.2 0.8 1.0 0.3 16.1 -32.2
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 11.2 64.6 0.7 1.0 0.3 17.3 -43.7
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 11.2 64.6 0.7 1.0 0.3 17.3 -43.7
pair RSI RSIhist neg-neg 28 11.8 11.2 64.3 0.6 0.8 0.5 24.1 -22.3
pair RSI MRmean neg-neg 28 11.8 11.2 64.3 0.6 0.8 0.5 24.1 -22.3
single LWTI LWTI pos-pos 213 89.9 11.2 64.8 0.7 0.9 0.3 17.1 -43.3
pair RSIhist RSI neg-neg 28 11.8 11.2 64.3 0.6 0.8 0.5 24.1 -22.3
pair MRmean RSI neg-neg 28 11.8 11.2 64.3 0.6 0.8 0.5 24.1 -22.3
pair RSmean MACDhist pos-neg 80 33.8 10.8 65.0 0.6 0.8 0.2 21.2 -45.0
pair MACDhist RSmean pos-neg 80 33.8 10.8 65.0 0.6 0.8 0.2 21.2 -45.0
pair SLmean LWTI pos-pos 148 62.4 10.8 64.9 0.8 1.2 0.4 14.2 -27.5
pair LWTI SLmean pos-pos 148 62.4 10.8 64.9 0.8 1.2 0.4 14.2 -27.5
pair MACDhist LWTI pos-pos 135 57.0 10.7 63.0 0.8 1.2 0.5 15.2 -20.7
pair LWTI MACDhist pos-pos 135 57.0 10.7 63.0 0.8 1.2 0.5 15.2 -20.7
pair SLmean RSmean neg-pos 57 24.1 10.6 61.4 0.5 0.7 0.3 24.8 -41.0
pair RSmean SLmean neg-pos 57 24.1 10.6 61.4 0.5 0.7 0.3 24.8 -41.0
single SLmean SLmean pos-pos 163 68.8 10.4 63.8 0.8 1.2 0.3 14.5 -34.5
pair MRmean MACD neg-pos 35 14.8 10.3 68.6 0.5 0.6 0.3 26.0 -40.0
pair MACD MRmean neg-pos 35 14.8 10.3 68.6 0.5 0.6 0.3 26.0 -40.0
pair MACD LWTI pos-pos 180 75.9 10.3 64.4 0.7 0.9 0.2 17.8 -47.2
pair LWTI MACD pos-pos 180 75.9 10.3 64.4 0.7 0.9 0.2 17.8 -47.2
single RSmean RSmean pos-pos 216 91.1 10.2 63.4 0.6 0.9 0.2 17.7 -45.0
pair RSmean SLmean pos-pos 159 67.1 10.1 64.2 0.7 1.1 0.3 14.4 -29.9
pair SLmean RSmean pos-pos 159 67.1 10.1 64.2 0.7 1.1 0.3 14.4 -29.9
pair RSmean LWTI pos-pos 192 81.0 10.1 63.5 0.6 0.8 0.2 17.5 -44.6
pair LWTI RSmean pos-pos 192 81.0 10.1 63.5 0.6 0.8 0.2 17.5 -44.6
single RSI RSI pos-pos 205 86.5 10.0 63.9 0.7 0.9 0.3 16.2 -33.5
pair SLmean MRmean pos-pos 158 66.7 10.0 63.9 0.7 1.1 0.3 14.4 -36.6
pair MRmean SLmean pos-pos 158 66.7 10.0 63.9 0.7 1.1 0.3 14.4 -36.6
pair RSmean MACDhist pos-pos 136 57.4 9.9 62.5 0.7 1.1 0.4 15.3 -26.7
pair MACDhist RSmean pos-pos 136 57.4 9.9 62.5 0.7 1.1 0.4 15.3 -26.7
pair LWTI MRmean pos-pos 166 70.0 9.9 62.7 0.7 1.1 0.4 15.0 -24.8
pair MRmean LWTI pos-pos 166 70.0 9.9 62.7 0.7 1.1 0.4 15.0 -24.8
single MACDhist MACDhist pos-pos 139 58.6 9.8 61.9 0.7 1.1 0.4 15.4 -26.7
single MRmean MRmean pos-pos 177 74.7 9.8 62.1 0.7 1.1 0.3 15.2 -29.0
pair MACD RSI pos-pos 178 75.1 9.7 63.5 0.6 0.9 0.3 16.9 -36.9
pair RSI MACD pos-pos 178 75.1 9.7 63.5 0.6 0.9 0.3 16.9 -36.9
pair MACDhist MACD pos-pos 134 56.5 9.3 61.9 0.7 1.1 0.3 15.4 -26.7
pair MACD MACDhist pos-pos 134 56.5 9.3 61.9 0.7 1.1 0.3 15.4 -26.7
pair MRmean RSmean pos-pos 172 72.6 9.1 62.2 0.7 1.0 0.3 15.1 -29.0
pair RSmean MRmean pos-pos 172 72.6 9.1 62.2 0.7 1.0 0.3 15.1 -29.0
pair SLmean RSI neg-neg 23 9.7 9.1 65.2 0.5 0.7 0.4 25.5 -22.3
pair RSI SLmean neg-neg 23 9.7 9.1 65.2 0.5 0.7 0.4 25.5 -22.3
pair MACDhist RSIhist neg-pos 30 12.7 9.1 66.7 0.7 1.0 0.7 13.8 -13.4
pair RSIhist MACDhist neg-pos 30 12.7 9.1 66.7 0.7 1.0 0.7 13.8 -13.4
pair RSIhist LWTI pos-pos 124 52.3 8.8 63.7 0.7 1.1 0.4 13.1 -23.1
pair LWTI RSIhist pos-pos 124 52.3 8.8 63.7 0.7 1.1 0.4 13.1 -23.1
single MACD MACD pos-pos 191 80.6 8.8 62.8 0.6 0.8 0.2 17.8 -47.2
single RSIhist RSIhist pos-pos 135 57.0 8.7 63.0 0.7 1.1 0.3 13.6 -27.4
pair RSIhist MACDhist pos-pos 105 44.3 8.6 61.9 0.7 1.1 0.4 13.6 -21.5
pair MACDhist RSIhist pos-pos 105 44.3 8.6 61.9 0.7 1.1 0.4 13.6 -21.5
pair RSI RSmean pos-pos 189 79.7 8.6 62.4 0.6 0.8 0.2 16.4 -38.2
pair RSmean RSI pos-pos 189 79.7 8.6 62.4 0.6 0.8 0.2 16.4 -38.2
pair SLmean MACDhist pos-pos 121 51.1 8.6 62.8 0.7 1.0 0.3 14.2 -31.4
pair MACDhist SLmean pos-pos 121 51.1 8.6 62.8 0.7 1.0 0.3 14.2 -31.4
pair MACD MRmean pos-pos 156 65.8 8.5 61.5 0.6 1.0 0.3 15.5 -32.4
pair MRmean MACD pos-pos 156 65.8 8.5 61.5 0.6 1.0 0.3 15.5 -32.4
pair RSI SLmean pos-pos 154 65.0 8.4 63.0 0.6 1.0 0.2 14.3 -36.6
pair SLmean RSI pos-pos 154 65.0 8.4 63.0 0.6 1.0 0.2 14.3 -36.6
pair RSIhist MRmean pos-pos 132 55.7 8.3 62.1 0.7 1.0 0.3 13.7 -27.4
pair MRmean RSIhist pos-pos 132 55.7 8.3 62.1 0.7 1.0 0.3 13.7 -27.4
pair RSmean RSIhist pos-pos 129 54.4 8.3 62.8 0.7 1.0 0.4 13.5 -22.4
pair RSIhist RSmean pos-pos 129 54.4 8.3 62.8 0.7 1.0 0.4 13.5 -22.4
pair RSIhist SLmean pos-pos 131 55.3 8.3 61.8 0.7 1.0 0.3 13.8 -28.1
pair SLmean RSIhist pos-pos 131 55.3 8.3 61.8 0.7 1.0 0.3 13.8 -28.1
pair MRmean RSI pos-pos 173 73.0 8.3 61.3 0.6 1.0 0.3 15.1 -29.0
pair RSI MRmean pos-pos 173 73.0 8.3 61.3 0.6 1.0 0.3 15.1 -29.0
pair LWTI RSI neg-pos 15 6.3 8.2 60.0 0.4 0.7 0.5 27.7 -16.3
pair RSI LWTI neg-pos 15 6.3 8.2 60.0 0.4 0.7 0.5 27.7 -16.3
pair MRmean MACDhist pos-pos 134 56.5 8.1 61.2 0.6 1.0 0.3 14.8 -26.7
pair MACDhist MRmean pos-pos 134 56.5 8.1 61.2 0.6 1.0 0.3 14.8 -26.7
pair MACDhist RSI pos-pos 137 57.8 8.1 61.3 0.6 0.9 0.3 15.0 -26.7
pair RSI MACDhist pos-pos 137 57.8 8.1 61.3 0.6 0.9 0.3 15.0 -26.7
pair RSmean MACD pos-pos 182 76.8 7.9 62.1 0.5 0.7 0.2 18.0 -47.2
pair MACD RSmean pos-pos 182 76.8 7.9 62.1 0.5 0.7 0.2 18.0 -47.2
pair SLmean MACD pos-pos 141 59.5 7.9 62.4 0.6 0.9 0.2 14.7 -42.3
pair MACD SLmean pos-pos 141 59.5 7.9 62.4 0.6 0.9 0.2 14.7 -42.3
pair LWTI MRmean pos-neg 11 4.6 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair MRmean LWTI pos-neg 11 4.6 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair RSIhist LWTI pos-neg 11 4.6 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair LWTI RSIhist pos-neg 11 4.6 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair MACDhist MACD pos-neg 57 24.1 7.8 64.9 0.5 0.6 0.2 22.7 -39.4
pair MACD MACDhist pos-neg 57 24.1 7.8 64.9 0.5 0.6 0.2 22.7 -39.4
pair SLmean MRmean pos-neg 19 8.0 7.7 47.4 0.5 0.9 0.4 21.0 -18.3
pair MRmean SLmean pos-neg 19 8.0 7.7 47.4 0.5 0.9 0.4 21.0 -18.3
pair MACDhist RSmean neg-pos 3 1.3 7.3 33.3 0.4 35.1 1.1 24.2 -6.5
pair RSmean MACDhist neg-pos 3 1.3 7.3 33.3 0.4 35.1 1.1 24.2 -6.5
pair RSI RSIhist pos-pos 131 55.3 6.8 61.8 0.6 0.8 0.2 13.4 -27.4
pair RSIhist RSI pos-pos 131 55.3 6.8 61.8 0.6 0.8 0.2 13.4 -27.4
pair LWTI SLmean pos-neg 15 6.3 6.1 53.3 0.4 0.8 0.4 17.9 -16.4
pair SLmean LWTI pos-neg 15 6.3 6.1 53.3 0.4 0.8 0.4 17.9 -16.4
pair RSI RSmean neg-neg 5 2.1 6.1 60.0 0.6 1.1 5.1 10.5 -1.2
pair RSmean RSI neg-neg 5 2.1 6.1 60.0 0.6 1.1 5.1 10.5 -1.2
pair MACD RSIhist pos-pos 113 47.7 5.7 60.2 0.5 0.7 0.2 13.9 -31.1
pair RSIhist MACD pos-pos 113 47.7 5.7 60.2 0.5 0.7 0.2 13.9 -31.1
pair MACD RSI pos-neg 13 5.5 -2.4 53.8 0.1 0.1 -0.2 28.3 -13.0
pair RSI MACD pos-neg 13 5.5 -2.4 53.8 0.1 0.1 -0.2 28.3 -13.0
pair MACD LWTI pos-neg 11 4.6 -13.1 36.4 -0.7 -1.4 -0.7 18.3 -17.8
pair LWTI MACD pos-neg 11 4.6 -13.1 36.4 -0.7 -1.4 -0.7 18.3 -17.8
pair LWTI MACDhist pos-neg 4 1.7 -16.4 25.0 -0.7 -1.6 -2.1 22.4 -7.6
pair MACDhist LWTI pos-neg 4 1.7 -16.4 25.0 -0.7 -1.6 -2.1 22.4 -7.6
pair LWTI RSI pos-neg 7 3.0 -23.5 28.6 -1.5 -3.1 -1.4 16.8 -17.5
pair RSI LWTI pos-neg 7 3.0 -23.5 28.6 -1.5 -3.1 -1.4 16.8 -17.5

All Contingency Tables for IHI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.0% | Win 64%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.3
Vol 14% | MDD -36.6%
Months 158M (67%)
CAGR 7.7% | Win 47%
Sharpe 0.45 | Sortino 0.92 | Calmar 0.4
Vol 21% | MDD -18.3%
Months 19M (8%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 21.4% | Win 60%
Sharpe 1.13 | Sortino 1.64 | Calmar 3.2
Vol 18% | MDD -6.7%
Months 5M (2%)
CAGR 15.2% | Win 73%
Sharpe 0.74 | Sortino 0.83 | Calmar 0.4
Vol 23% | MDD -38.9%
Months 55M (23%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
SLmean
only
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 62%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 172M (73%)
CAGR 37.6% | Win 60%
Sharpe 1.71 | Sortino 133.49 | Calmar 11.3
Vol 20% | MDD -3.3%
Months 5M (2%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 14.9% | Win 68%
Sharpe 0.68 | Sortino 0.83 | Calmar 0.4
Vol 26% | MDD -38.9%
Months 44M (19%)
CAGR 17.9% | Win 81%
Sharpe 1.79 | Sortino 3.44 | Calmar 4.7
Vol 10% | MDD -3.8%
Months 16M (7%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
RSmean
only
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 62%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.3
Vol 16% | MDD -32.4%
Months 156M (66%)
CAGR 19.6% | Win 67%
Sharpe 1.51 | Sortino 2.30 | Calmar 1.9
Vol 12% | MDD -10.0%
Months 21M (9%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 10.3% | Win 69%
Sharpe 0.51 | Sortino 0.60 | Calmar 0.3
Vol 26% | MDD -40.0%
Months 35M (15%)
CAGR 23.7% | Win 76%
Sharpe 1.38 | Sortino 1.61 | Calmar 2.0
Vol 16% | MDD -11.6%
Months 25M (10%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 61%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 173M (73%)
CAGR 96.5% | Win 100%
Sharpe 14.14 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 19.7% | Win 78%
Sharpe 0.97 | Sortino 0.80 | Calmar 0.7
Vol 21% | MDD -29.2%
Months 32M (14%)
CAGR 11.2% | Win 64%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.5
Vol 24% | MDD -22.3%
Months 28M (12%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
RSI
only
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.1% | Win 61%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.3
Vol 15% | MDD -26.7%
Months 134M (56%)
CAGR 15.1% | Win 65%
Sharpe 0.93 | Sortino 1.56 | Calmar 0.7
Vol 17% | MDD -20.8%
Months 43M (18%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 66.6% | Win 80%
Sharpe 1.99 | Sortino 0.00 | Calmar 0.0
Vol 28% | MDD 0.0%
Months 5M (2%)
CAGR 11.9% | Win 71%
Sharpe 0.63 | Sortino 0.68 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 55M (23%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 62%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 132M (56%)
CAGR 14.2% | Win 62%
Sharpe 0.80 | Sortino 1.47 | Calmar 0.7
Vol 19% | MDD -19.1%
Months 45M (19%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 29.9% | Win 100%
Sharpe 4.92 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 3M (1%)
CAGR 15.0% | Win 70%
Sharpe 0.73 | Sortino 0.85 | Calmar 0.4
Vol 23% | MDD -38.9%
Months 57M (24%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 63%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.4
Vol 15% | MDD -24.8%
Months 166M (70%)
CAGR 7.8% | Win 55%
Sharpe 0.48 | Sortino 1.12 | Calmar 0.6
Vol 19% | MDD -12.8%
Months 11M (5%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (75%)
MRmean
neg
CAGR 15.9% | Win 72%
Sharpe 0.76 | Sortino 0.82 | Calmar 0.4
Vol 23% | MDD -40.0%
Months 47M (20%)
CAGR 14.8% | Win 69%
Sharpe 0.78 | Sortino 1.03 | Calmar 1.2
Vol 20% | MDD -12.0%
Months 13M (6%)
CAGR 15.7% | Win 72%
Sharpe 0.77 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 60M (25%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 64%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -29.9%
Months 159M (67%)
CAGR 21.9% | Win 50%
Sharpe 1.02 | Sortino 84.99 | Calmar 3.4
Vol 21% | MDD -6.5%
Months 4M (2%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 10.6% | Win 61%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.3
Vol 25% | MDD -41.0%
Months 57M (24%)
CAGR 22.4% | Win 82%
Sharpe 2.03 | Sortino 4.22 | Calmar 5.9
Vol 10% | MDD -3.8%
Months 17M (7%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
RSmean
only
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 62%
Sharpe 0.59 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -42.3%
Months 141M (60%)
CAGR 27.6% | Win 73%
Sharpe 1.96 | Sortino 2.97 | Calmar 3.0
Vol 13% | MDD -9.1%
Months 22M (9%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 11.6% | Win 64%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.3
Vol 25% | MDD -44.2%
Months 50M (21%)
CAGR 16.7% | Win 71%
Sharpe 1.04 | Sortino 1.23 | Calmar 1.4
Vol 16% | MDD -11.6%
Months 24M (10%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 63%
Sharpe 0.64 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -36.6%
Months 154M (65%)
CAGR 50.4% | Win 78%
Sharpe 2.78 | Sortino 3.34 | Calmar 7.5
Vol 15% | MDD -6.7%
Months 9M (4%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 15.1% | Win 67%
Sharpe 0.78 | Sortino 0.92 | Calmar 0.4
Vol 21% | MDD -41.5%
Months 51M (22%)
CAGR 9.1% | Win 65%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.4
Vol 26% | MDD -22.3%
Months 23M (10%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
RSI
only
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 63%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.3
Vol 14% | MDD -31.4%
Months 121M (51%)
CAGR 15.7% | Win 67%
Sharpe 1.03 | Sortino 1.76 | Calmar 1.0
Vol 15% | MDD -15.9%
Months 42M (18%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 18.7% | Win 56%
Sharpe 0.88 | Sortino 1.95 | Calmar 1.4
Vol 22% | MDD -13.7%
Months 18M (8%)
CAGR 11.5% | Win 70%
Sharpe 0.60 | Sortino 0.68 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 56M (24%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.3% | Win 62%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 14% | MDD -28.1%
Months 131M (55%)
CAGR 19.4% | Win 72%
Sharpe 1.12 | Sortino 1.83 | Calmar 0.9
Vol 17% | MDD -21.1%
Months 32M (14%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 25.1% | Win 100%
Sharpe 4.62 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 12.6% | Win 64%
Sharpe 0.64 | Sortino 0.83 | Calmar 0.3
Vol 23% | MDD -41.0%
Months 70M (30%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.8% | Win 65%
Sharpe 0.80 | Sortino 1.21 | Calmar 0.4
Vol 14% | MDD -27.5%
Months 148M (62%)
CAGR 6.1% | Win 53%
Sharpe 0.41 | Sortino 0.85 | Calmar 0.4
Vol 18% | MDD -16.4%
Months 15M (6%)
CAGR 10.4% | Win 64%
Sharpe 0.76 | Sortino 1.18 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 163M (69%)
SLmean
neg
CAGR 12.1% | Win 65%
Sharpe 0.63 | Sortino 0.79 | Calmar 0.3
Vol 22% | MDD -44.2%
Months 65M (27%)
CAGR 21.2% | Win 78%
Sharpe 0.96 | Sortino 1.72 | Calmar 1.8
Vol 23% | MDD -11.6%
Months 9M (4%)
CAGR 13.2% | Win 66%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 74M (31%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 62%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 182M (77%)
CAGR 23.6% | Win 71%
Sharpe 1.41 | Sortino 1.76 | Calmar 1.8
Vol 16% | MDD -13.2%
Months 34M (14%)
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
RSmean
neg
CAGR 29.8% | Win 78%
Sharpe 1.82 | Sortino 107.88 | Calmar 8.9
Vol 15% | MDD -3.3%
Months 9M (4%)
CAGR 16.9% | Win 75%
Sharpe 1.57 | Sortino 3.28 | Calmar 4.4
Vol 10% | MDD -3.8%
Months 12M (5%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.6% | Win 62%
Sharpe 0.59 | Sortino 0.80 | Calmar 0.2
Vol 16% | MDD -38.2%
Months 189M (80%)
CAGR 22.1% | Win 70%
Sharpe 0.93 | Sortino 1.48 | Calmar 1.6
Vol 25% | MDD -13.6%
Months 27M (11%)
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
RSmean
neg
CAGR 27.9% | Win 81%
Sharpe 2.00 | Sortino 23.30 | Calmar 7.3
Vol 13% | MDD -3.8%
Months 16M (7%)
CAGR 6.1% | Win 60%
Sharpe 0.61 | Sortino 1.14 | Calmar 5.1
Vol 10% | MDD -1.2%
Months 5M (2%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
RSI
only
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.9% | Win 62%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 136M (57%)
CAGR 10.8% | Win 65%
Sharpe 0.59 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.0%
Months 80M (34%)
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
RSmean
neg
CAGR 7.3% | Win 33%
Sharpe 0.37 | Sortino 35.08 | Calmar 1.1
Vol 24% | MDD -6.5%
Months 3M (1%)
CAGR 25.0% | Win 83%
Sharpe 2.23 | Sortino 4.66 | Calmar 6.5
Vol 10% | MDD -3.8%
Months 18M (8%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 63%
Sharpe 0.66 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -22.4%
Months 129M (54%)
CAGR 13.1% | Win 64%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 87M (37%)
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
RSmean
neg
CAGR 18.0% | Win 67%
Sharpe 1.11 | Sortino 69.76 | Calmar 2.8
Vol 16% | MDD -6.5%
Months 6M (2%)
CAGR 24.1% | Win 80%
Sharpe 2.00 | Sortino 4.51 | Calmar 6.3
Vol 11% | MDD -3.8%
Months 15M (6%)
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.1% | Win 64%
Sharpe 0.64 | Sortino 0.84 | Calmar 0.2
Vol 18% | MDD -44.6%
Months 192M (81%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
CAGR 10.2% | Win 63%
Sharpe 0.64 | Sortino 0.87 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 216M (91%)
RSmean
neg
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
-
CAGR 22.3% | Win 76%
Sharpe 1.71 | Sortino 5.84 | Calmar 5.8
Vol 12% | MDD -3.8%
Months 21M (9%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.7% | Win 64%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -36.9%
Months 178M (75%)
CAGR -2.4% | Win 54%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.2
Vol 28% | MDD -13.0%
Months 13M (6%)
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
MACD
neg
CAGR 12.1% | Win 67%
Sharpe 1.15 | Sortino 1.56 | Calmar 1.4
Vol 10% | MDD -8.4%
Months 27M (11%)
CAGR 37.1% | Win 79%
Sharpe 1.79 | Sortino 2.16 | Calmar 3.2
Vol 19% | MDD -11.6%
Months 19M (8%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
RSI
only
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.3% | Win 62%
Sharpe 0.66 | Sortino 1.07 | Calmar 0.3
Vol 15% | MDD -26.7%
Months 134M (56%)
CAGR 7.8% | Win 65%
Sharpe 0.45 | Sortino 0.57 | Calmar 0.2
Vol 23% | MDD -39.4%
Months 57M (24%)
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
MACD
neg
CAGR 24.5% | Win 60%
Sharpe 1.37 | Sortino 1.79 | Calmar 1004.9
Vol 17% | MDD -0.0%
Months 5M (2%)
CAGR 21.5% | Win 73%
Sharpe 1.42 | Sortino 1.77 | Calmar 1.6
Vol 14% | MDD -13.2%
Months 41M (17%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -31.1%
Months 113M (48%)
CAGR 13.6% | Win 67%
Sharpe 0.69 | Sortino 0.93 | Calmar 0.3
Vol 22% | MDD -44.2%
Months 78M (33%)
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
MACD
neg
CAGR 25.8% | Win 77%
Sharpe 2.07 | Sortino 2.49 | Calmar 4.2
Vol 12% | MDD -6.1%
Months 22M (9%)
CAGR 18.3% | Win 67%
Sharpe 1.06 | Sortino 1.44 | Calmar 1.6
Vol 17% | MDD -11.6%
Months 24M (10%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.3% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 180M (76%)
CAGR -13.1% | Win 36%
Sharpe -0.68 | Sortino -1.36 | Calmar -0.7
Vol 18% | MDD -17.8%
Months 11M (5%)
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 191M (81%)
MACD
neg
CAGR 16.1% | Win 67%
Sharpe 1.25 | Sortino 2.01 | Calmar 2.4
Vol 13% | MDD -6.8%
Months 33M (14%)
CAGR 37.7% | Win 85%
Sharpe 1.81 | Sortino 2.23 | Calmar 3.3
Vol 19% | MDD -11.6%
Months 13M (6%)
CAGR 21.8% | Win 72%
Sharpe 1.43 | Sortino 1.84 | Calmar 1.6
Vol 15% | MDD -13.2%
Months 46M (19%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.1% | Win 61%
Sharpe 0.60 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.7%
Months 137M (58%)
CAGR 13.9% | Win 69%
Sharpe 0.81 | Sortino 0.91 | Calmar 0.5
Vol 18% | MDD -27.5%
Months 68M (29%)
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
RSI
neg
CAGR 217.4% | Win 100%
Sharpe 10.23 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 2M (1%)
CAGR 11.9% | Win 67%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.5
Vol 22% | MDD -22.3%
Months 30M (13%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.8% | Win 62%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.2
Vol 13% | MDD -27.4%
Months 131M (55%)
CAGR 16.0% | Win 68%
Sharpe 0.84 | Sortino 1.07 | Calmar 0.4
Vol 20% | MDD -41.5%
Months 74M (31%)
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
RSI
neg
CAGR 96.5% | Win 100%
Sharpe 14.14 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 11.2% | Win 64%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.5
Vol 24% | MDD -22.3%
Months 28M (12%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 65%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 16% | MDD -32.2%
Months 198M (84%)
CAGR -23.5% | Win 29%
Sharpe -1.50 | Sortino -3.08 | Calmar -1.3
Vol 17% | MDD -17.5%
Months 7M (3%)
CAGR 10.0% | Win 64%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 205M (86%)
RSI
neg
CAGR 8.2% | Win 60%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.5
Vol 28% | MDD -16.3%
Months 15M (6%)
CAGR 30.2% | Win 76%
Sharpe 1.50 | Sortino 1.86 | Calmar 2.5
Vol 19% | MDD -12.0%
Months 17M (7%)
CAGR 19.4% | Win 69%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.9
Vol 23% | MDD -22.3%
Months 32M (14%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.6% | Win 62%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 14% | MDD -21.5%
Months 105M (44%)
CAGR 13.6% | Win 62%
Sharpe 0.73 | Sortino 1.41 | Calmar 1.1
Vol 20% | MDD -12.8%
Months 34M (14%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
MACDhist
neg
CAGR 9.1% | Win 67%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.7
Vol 14% | MDD -13.4%
Months 30M (13%)
CAGR 15.2% | Win 69%
Sharpe 0.76 | Sortino 0.90 | Calmar 0.4
Vol 22% | MDD -38.9%
Months 68M (29%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.7% | Win 63%
Sharpe 0.75 | Sortino 1.19 | Calmar 0.5
Vol 15% | MDD -20.7%
Months 135M (57%)
CAGR -16.4% | Win 25%
Sharpe -0.71 | Sortino -1.59 | Calmar -2.2
Vol 22% | MDD -7.6%
Months 4M (2%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (59%)
MACDhist
neg
CAGR 12.1% | Win 68%
Sharpe 0.68 | Sortino 0.78 | Calmar 0.3
Vol 20% | MDD -39.4%
Months 78M (33%)
CAGR 18.1% | Win 70%
Sharpe 0.98 | Sortino 1.49 | Calmar 1.5
Vol 19% | MDD -12.0%
Months 20M (8%)
CAGR 13.3% | Win 68%
Sharpe 0.74 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 98M (41%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 8.8% | Win 64%
Sharpe 0.71 | Sortino 1.05 | Calmar 0.4
Vol 13% | MDD -23.1%
Months 124M (52%)
CAGR 7.8% | Win 55%
Sharpe 0.48 | Sortino 1.12 | Calmar 0.6
Vol 19% | MDD -12.8%
Months 11M (5%)
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (57%)
RSIhist
neg
CAGR 14.6% | Win 66%
Sharpe 0.75 | Sortino 0.99 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 89M (38%)
CAGR 14.8% | Win 69%
Sharpe 0.78 | Sortino 1.03 | Calmar 1.2
Vol 20% | MDD -12.0%
Months 13M (6%)
CAGR 14.6% | Win 67%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -38.9%
Months 102M (43%)
LWTI
only
CAGR 11.2% | Win 65%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -43.3%
Months 213M (90%)
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.6
Vol 19% | MDD -18.7%
Months 24M (10%)