IHI - iShares U.S. Medical Devices ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

217.5%

Best CAGR

70

Total Months

16.7%

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 0.8 217.5 100.0 10.2 0.0 0.0 11.9 0.0
pair RSI MACDhist neg-pos 2 0.8 217.5 100.0 10.2 0.0 0.0 11.9 0.0
pair RSI MRmean pos-neg 4 1.6 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair MRmean RSI pos-neg 4 1.6 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair RSI RSIhist neg-pos 4 1.6 96.5 100.0 14.1 0.0 0.0 4.9 0.0
pair RSIhist RSI neg-pos 4 1.6 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 10 4.1 53.2 80.0 3.0 3.5 8.0 14.6 -6.7
pair RSI SLmean pos-neg 10 4.1 53.2 80.0 3.0 3.5 8.0 14.6 -6.7
pair MACD LWTI neg-neg 16 6.6 42.0 87.5 2.1 2.4 3.6 17.3 -11.6
pair LWTI MACD neg-neg 16 6.6 42.0 87.5 2.1 2.4 3.6 17.3 -11.6
pair MACD RSI neg-neg 22 9.1 40.3 81.8 2.0 2.3 3.5 17.7 -11.6
pair RSI MACD neg-neg 22 9.1 40.3 81.8 2.0 2.3 3.5 17.7 -11.6
pair MRmean RSmean pos-neg 5 2.1 37.6 60.0 1.7 130.9 11.3 19.9 -3.3
pair RSmean MRmean pos-neg 5 2.1 37.6 60.0 1.7 130.9 11.3 19.9 -3.3
pair RSIhist MRmean neg-pos 3 1.2 29.9 100.0 4.9 0.0 0.0 5.4 0.0
pair MRmean RSIhist neg-pos 3 1.2 29.9 100.0 4.9 0.0 0.0 5.4 0.0
pair MRmean SLmean neg-pos 6 2.5 29.8 66.7 1.6 2.2 4.5 17.2 -6.7
pair SLmean MRmean neg-pos 6 2.5 29.8 66.7 1.6 2.2 4.5 17.2 -6.7
pair RSmean MACD neg-pos 9 3.7 29.8 77.8 1.8 105.8 8.9 15.0 -3.3
pair MACD RSmean neg-pos 9 3.7 29.8 77.8 1.8 105.8 8.9 15.0 -3.3
pair LWTI RSI neg-neg 21 8.6 29.6 76.2 1.5 2.0 2.5 18.1 -12.0
pair RSI LWTI neg-neg 21 8.6 29.6 76.2 1.5 2.0 2.5 18.1 -12.0
pair MACD SLmean pos-neg 23 9.5 29.6 73.9 2.1 3.1 3.3 12.8 -9.1
pair SLmean MACD pos-neg 23 9.5 29.6 73.9 2.1 3.1 3.3 12.8 -9.1
pair RSI RSmean neg-pos 16 6.6 27.8 81.2 2.0 22.9 7.3 12.8 -3.8
pair RSmean RSI neg-pos 16 6.6 27.8 81.2 2.0 22.9 7.3 12.8 -3.8
pair MRmean MACD neg-neg 28 11.5 27.4 78.6 1.6 1.8 2.4 15.9 -11.6
pair MACD MRmean neg-neg 28 11.5 27.4 78.6 1.6 1.8 2.4 15.9 -11.6
pair RSmean MACD pos-neg 37 15.2 26.3 73.0 1.6 1.9 2.0 15.6 -13.2
pair MACD RSmean pos-neg 37 15.2 26.3 73.0 1.6 1.9 2.0 15.6 -13.2
pair MACD RSIhist neg-pos 22 9.1 25.8 77.3 2.1 2.5 4.2 11.5 -6.2
pair RSIhist MACD neg-pos 22 9.1 25.8 77.3 2.1 2.5 4.2 11.5 -6.2
pair RSIhist SLmean neg-pos 4 1.6 25.1 100.0 4.6 0.0 0.0 4.9 0.0
pair SLmean RSIhist neg-pos 4 1.6 25.1 100.0 4.6 0.0 0.0 4.9 0.0
pair RSmean MACDhist neg-neg 18 7.4 25.0 83.3 2.2 4.7 6.5 10.3 -3.8
pair MACDhist RSmean neg-neg 18 7.4 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 2007.2 17.0 -0.0
pair MACDhist MACD neg-pos 5 2.1 24.5 60.0 1.4 1.8 2007.2 17.0 -0.0
pair RSIhist RSmean neg-neg 15 6.2 24.1 80.0 2.0 4.5 6.3 11.2 -3.8
pair RSmean RSIhist neg-neg 15 6.2 24.1 80.0 2.0 4.5 6.3 11.2 -3.8
single MACD MACD neg-neg 49 20.2 24.0 73.5 1.6 2.0 1.8 14.4 -13.2
pair MACDhist MACD neg-neg 44 18.1 23.9 75.0 1.6 1.9 1.8 14.3 -13.2
pair MACD MACDhist neg-neg 44 18.1 23.9 75.0 1.6 1.9 1.8 14.3 -13.2
pair RSIhist MACD neg-neg 27 11.1 22.5 70.4 1.3 1.7 1.9 16.7 -11.6
pair MACD RSIhist neg-neg 27 11.1 22.5 70.4 1.3 1.7 1.9 16.7 -11.6
pair SLmean RSmean neg-neg 17 7.0 22.4 82.4 2.0 4.2 5.8 10.3 -3.8
pair RSmean SLmean neg-neg 17 7.0 22.4 82.4 2.0 4.2 5.8 10.3 -3.8
pair LWTI RSmean neg-pos 21 8.6 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
single RSmean RSmean neg-neg 21 8.6 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
pair RSmean LWTI neg-pos 21 8.6 22.3 76.2 1.7 5.8 5.8 12.3 -3.8
pair RSmean SLmean pos-neg 4 1.6 21.9 50.0 1.0 83.3 3.4 21.0 -6.5
pair SLmean RSmean pos-neg 4 1.6 21.9 50.0 1.0 83.3 3.4 21.0 -6.5
pair RSIhist SLmean pos-neg 33 13.6 20.9 72.7 1.2 1.9 1.0 17.1 -21.1
pair SLmean RSIhist pos-neg 33 13.6 20.9 72.7 1.2 1.9 1.0 17.1 -21.1
pair RSI RSmean pos-neg 32 13.2 19.9 68.8 0.9 1.4 1.5 23.7 -13.6
pair RSmean RSI pos-neg 32 13.2 19.9 68.8 0.9 1.4 1.5 23.7 -13.6
pair MRmean MACD pos-neg 21 8.6 19.6 66.7 1.5 2.3 1.9 12.4 -10.0
pair MACD MRmean pos-neg 21 8.6 19.6 66.7 1.5 2.3 1.9 12.4 -10.0
pair LWTI MACDhist neg-neg 24 9.9 19.5 70.8 1.1 1.7 1.6 18.2 -12.0
pair MACDhist LWTI neg-neg 24 9.9 19.5 70.8 1.1 1.7 1.6 18.2 -12.0
pair MACD SLmean neg-neg 26 10.7 19.2 73.1 1.2 1.4 1.7 15.9 -11.6
pair SLmean MACD neg-neg 26 10.7 19.2 73.1 1.2 1.4 1.7 15.9 -11.6
pair LWTI SLmean neg-neg 12 4.9 18.9 75.0 0.9 1.5 1.6 20.8 -11.6
pair SLmean LWTI neg-neg 12 4.9 18.9 75.0 0.9 1.5 1.6 20.8 -11.6
pair SLmean MACDhist neg-pos 18 7.4 18.7 55.6 0.9 2.0 1.4 22.3 -13.7
pair MACDhist SLmean neg-pos 18 7.4 18.7 55.6 0.9 2.0 1.4 22.3 -13.7
pair RSmean RSIhist neg-pos 6 2.5 18.0 66.7 1.1 68.4 2.8 15.9 -6.5
pair RSIhist RSmean neg-pos 6 2.5 18.0 66.7 1.1 68.4 2.8 15.9 -6.5
pair RSmean MRmean neg-neg 16 6.6 17.9 81.2 1.8 3.4 4.7 9.5 -3.8
pair MRmean RSmean neg-neg 16 6.6 17.9 81.2 1.8 3.4 4.7 9.5 -3.8
single RSI RSI neg-neg 37 15.2 17.9 67.6 0.9 1.3 0.8 22.3 -22.3
pair LWTI RSIhist neg-neg 17 7.0 17.5 70.6 0.9 1.3 1.5 19.0 -12.0
pair MRmean LWTI neg-neg 17 7.0 17.5 70.6 0.9 1.3 1.5 19.0 -12.0
pair RSIhist LWTI neg-neg 17 7.0 17.5 70.6 0.9 1.3 1.5 19.0 -12.0
pair LWTI MRmean neg-neg 17 7.0 17.5 70.6 0.9 1.3 1.5 19.0 -12.0
pair SLmean MACDhist pos-neg 43 17.7 17.0 67.4 1.1 1.9 1.1 15.3 -15.9
pair MACDhist SLmean pos-neg 43 17.7 17.0 67.4 1.1 1.9 1.1 15.3 -15.9
pair MACD RSmean neg-neg 12 4.9 16.9 75.0 1.6 3.3 4.4 10.3 -3.8
pair RSmean MACD neg-neg 12 4.9 16.9 75.0 1.6 3.3 4.4 10.3 -3.8
pair LWTI MACD neg-pos 33 13.6 16.1 66.7 1.2 2.0 2.4 12.6 -6.8
pair MACD LWTI neg-pos 33 13.6 16.1 66.7 1.2 2.0 2.4 12.6 -6.8
pair MACDhist MRmean pos-neg 43 17.7 15.1 65.1 0.9 1.6 0.7 16.6 -20.8
pair MRmean MACDhist pos-neg 43 17.7 15.1 65.1 0.9 1.6 0.7 16.6 -20.8
pair MRmean RSIhist pos-neg 45 18.5 14.2 62.2 0.8 1.5 0.7 19.0 -19.1
pair RSIhist MRmean pos-neg 45 18.5 14.2 62.2 0.8 1.5 0.7 19.0 -19.1
pair RSI MRmean neg-pos 33 13.6 14.0 75.8 0.7 0.6 0.5 22.2 -29.2
pair MRmean RSI neg-pos 33 13.6 14.0 75.8 0.7 0.6 0.5 22.2 -29.2
pair RSIhist MACDhist pos-neg 34 14.0 13.6 61.8 0.7 1.4 1.1 20.3 -12.8
pair LWTI RSmean pos-neg 28 11.5 13.6 64.3 0.8 1.4 0.7 18.8 -18.7
single LWTI LWTI neg-neg 28 11.5 13.6 64.3 0.8 1.4 0.7 18.8 -18.7
pair MACDhist RSIhist pos-neg 34 14.0 13.6 61.8 0.7 1.4 1.1 20.3 -12.8
pair RSmean LWTI pos-neg 28 11.5 13.6 64.3 0.8 1.4 0.7 18.8 -18.7
pair RSI RSIhist pos-neg 75 30.9 13.5 66.7 0.7 0.9 0.3 20.7 -41.5
pair RSIhist RSI pos-neg 75 30.9 13.5 66.7 0.7 0.9 0.3 20.7 -41.5
single RSIhist RSIhist neg-neg 108 44.4 12.7 65.7 0.7 0.9 0.3 21.3 -38.9
single MRmean MRmean neg-neg 66 27.2 12.4 69.7 0.6 0.8 0.3 22.4 -38.9
pair MACDhist RSIhist neg-neg 74 30.5 12.3 67.6 0.7 0.8 0.3 21.9 -38.9
pair RSIhist MACDhist neg-neg 74 30.5 12.3 67.6 0.7 0.8 0.3 21.9 -38.9
pair MACD RSI neg-pos 27 11.1 12.1 66.7 1.1 1.6 1.4 10.4 -8.4
pair RSI MACD neg-pos 27 11.1 12.1 66.7 1.1 1.6 1.4 10.4 -8.4
pair RSIhist LWTI neg-pos 91 37.4 11.8 64.8 0.6 0.8 0.3 21.8 -44.2
pair LWTI RSIhist neg-pos 91 37.4 11.8 64.8 0.6 0.8 0.3 21.8 -44.2
pair RSI SLmean neg-pos 52 21.4 11.6 65.4 0.6 0.7 0.3 21.6 -41.5
pair SLmean RSI neg-pos 52 21.4 11.6 65.4 0.6 0.7 0.3 21.6 -41.5
pair MRmean RSIhist neg-neg 63 25.9 11.6 68.3 0.6 0.7 0.3 22.9 -38.9
pair RSIhist MRmean neg-neg 63 25.9 11.6 68.3 0.6 0.7 0.3 22.9 -38.9
pair RSI MACDhist pos-neg 69 28.4 11.4 68.1 0.7 0.8 0.4 19.0 -27.5
pair RSI MACDhist neg-neg 35 14.4 11.4 65.7 0.6 0.9 0.5 21.6 -22.3
pair MACDhist RSI pos-neg 69 28.4 11.4 68.1 0.7 0.8 0.4 19.0 -27.5
single MACDhist MACDhist neg-neg 104 42.8 11.4 67.3 0.7 0.8 0.3 19.8 -43.7
pair MACDhist RSI neg-neg 35 14.4 11.4 65.7 0.6 0.9 0.5 21.6 -22.3
pair RSIhist RSmean pos-neg 93 38.3 11.0 63.4 0.6 0.8 0.3 22.5 -38.9
pair RSmean RSIhist pos-neg 93 38.3 11.0 63.4 0.6 0.8 0.3 22.5 -38.9
pair RSI MRmean neg-neg 33 13.6 10.9 63.6 0.6 0.9 0.5 23.0 -22.3
pair RSI RSIhist neg-neg 33 13.6 10.9 63.6 0.6 0.9 0.5 23.0 -22.3
pair RSIhist RSI neg-neg 33 13.6 10.9 63.6 0.6 0.9 0.5 23.0 -22.3
pair MRmean RSI neg-neg 33 13.6 10.9 63.6 0.6 0.9 0.5 23.0 -22.3
pair SLmean MRmean neg-neg 60 24.7 10.8 70.0 0.6 0.7 0.3 23.0 -38.9
pair MRmean SLmean neg-neg 60 24.7 10.8 70.0 0.6 0.7 0.3 23.0 -38.9
pair LWTI SLmean pos-pos 148 60.9 10.8 64.9 0.8 1.2 0.4 14.2 -27.5
pair SLmean LWTI pos-pos 148 60.9 10.8 64.9 0.8 1.2 0.4 14.2 -27.5
pair LWTI MACDhist pos-pos 135 55.6 10.7 63.0 0.8 1.2 0.5 15.2 -20.7
pair LWTI MRmean neg-pos 49 20.2 10.7 69.4 0.6 0.6 0.3 23.7 -40.0
pair MRmean LWTI neg-pos 49 20.2 10.7 69.4 0.6 0.6 0.3 23.7 -40.0
pair MACDhist LWTI pos-pos 135 55.6 10.7 63.0 0.8 1.2 0.5 15.2 -20.7
single SLmean SLmean pos-pos 164 67.5 10.7 64.0 0.8 1.2 0.3 14.5 -34.5
pair MRmean RSmean neg-pos 50 20.6 10.7 66.0 0.5 0.7 0.3 25.3 -38.9
pair RSmean MRmean neg-pos 50 20.6 10.7 66.0 0.5 0.7 0.3 25.3 -38.9
pair LWTI RSI pos-pos 199 81.9 10.6 64.8 0.7 0.9 0.3 16.3 -32.2
pair RSI LWTI pos-pos 199 81.9 10.6 64.8 0.7 0.9 0.3 16.3 -32.2
pair benchmark___benchmark_ benchmark-benchmark 243 100.0 10.5 64.2 0.7 0.9 0.2 17.4 -43.7
pair benchmark___benchmark_ benchmark-benchmark 243 100.0 10.5 64.2 0.7 0.9 0.2 17.4 -43.7
pair SLmean RSmean pos-pos 160 65.8 10.4 64.4 0.8 1.2 0.3 14.4 -29.9
pair RSmean SLmean pos-pos 160 65.8 10.4 64.4 0.8 1.2 0.3 14.4 -29.9
single LWTI LWTI pos-pos 215 88.5 10.1 64.2 0.7 0.9 0.2 17.3 -43.3
pair MRmean SLmean pos-pos 158 65.0 10.0 63.9 0.7 1.1 0.3 14.4 -36.6
pair SLmean MRmean pos-pos 158 65.0 10.0 63.9 0.7 1.1 0.3 14.4 -36.6
single SLmean SLmean neg-neg 79 32.5 10.0 64.6 0.5 0.7 0.2 22.4 -41.0
pair MACDhist RSmean pos-pos 136 56.0 9.9 62.5 0.7 1.1 0.4 15.3 -26.7
pair RSmean MACDhist pos-pos 136 56.0 9.9 62.5 0.7 1.1 0.4 15.3 -26.7
pair LWTI MRmean pos-pos 166 68.3 9.9 62.7 0.7 1.1 0.4 15.0 -24.8
pair MRmean LWTI pos-pos 166 68.3 9.9 62.7 0.7 1.1 0.4 15.0 -24.8
single MRmean MRmean pos-pos 177 72.8 9.8 62.1 0.7 1.1 0.3 15.2 -29.0
single MACDhist MACDhist pos-pos 139 57.2 9.8 61.9 0.7 1.1 0.4 15.4 -26.7
pair LWTI SLmean pos-neg 16 6.6 9.7 56.2 0.6 1.2 0.6 17.8 -16.4
pair SLmean LWTI pos-neg 16 6.6 9.7 56.2 0.6 1.2 0.6 17.8 -16.4
pair MACD RSIhist pos-neg 81 33.3 9.6 64.2 0.5 0.7 0.2 22.7 -44.2
pair RSIhist MACD pos-neg 81 33.3 9.6 64.2 0.5 0.7 0.2 22.7 -44.2
single RSmean RSmean pos-pos 222 91.4 9.4 63.1 0.6 0.8 0.2 17.8 -45.0
pair RSIhist SLmean neg-neg 75 30.9 9.3 62.7 0.5 0.7 0.2 23.0 -41.0
pair MACDhist MACD pos-pos 134 55.1 9.3 61.9 0.7 1.1 0.3 15.4 -26.7
pair MACD MACDhist pos-pos 134 55.1 9.3 61.9 0.7 1.1 0.3 15.4 -26.7
pair SLmean RSIhist neg-neg 75 30.9 9.3 62.7 0.5 0.7 0.2 23.0 -41.0
single RSI RSI pos-pos 206 84.8 9.2 63.6 0.6 0.8 0.3 16.4 -33.5
pair MRmean RSmean pos-pos 172 70.8 9.1 62.2 0.7 1.0 0.3 15.1 -29.0
pair RSmean MRmean pos-pos 172 70.8 9.1 62.2 0.7 1.0 0.3 15.1 -29.0
pair MACDhist RSIhist neg-pos 30 12.3 9.1 66.7 0.7 1.0 0.7 13.8 -13.4
pair RSIhist MACDhist neg-pos 30 12.3 9.1 66.7 0.7 1.0 0.7 13.8 -13.4
pair LWTI MACDhist neg-pos 80 32.9 9.1 66.2 0.5 0.6 0.2 20.4 -39.4
pair MACDhist LWTI neg-pos 80 32.9 9.1 66.2 0.5 0.6 0.2 20.4 -39.4
pair MACD LWTI pos-pos 182 74.9 9.0 63.7 0.6 0.8 0.2 18.0 -47.2
pair LWTI MACD pos-pos 182 74.9 9.0 63.7 0.6 0.8 0.2 18.0 -47.2
pair LWTI RSmean pos-pos 194 79.8 8.8 62.9 0.6 0.8 0.2 17.7 -44.6
pair RSmean LWTI pos-pos 194 79.8 8.8 62.9 0.6 0.8 0.2 17.7 -44.6
pair MACDhist MRmean neg-neg 61 25.1 8.8 68.9 0.5 0.6 0.2 21.9 -38.9
pair MRmean MACDhist neg-neg 61 25.1 8.8 68.9 0.5 0.6 0.2 21.9 -38.9
pair RSIhist LWTI pos-pos 124 51.0 8.8 63.7 0.7 1.1 0.4 13.1 -23.1
pair LWTI RSIhist pos-pos 124 51.0 8.8 63.7 0.7 1.1 0.4 13.1 -23.1
pair MACD RSI pos-pos 179 73.7 8.8 63.1 0.6 0.8 0.2 17.2 -36.9
pair RSI MACD pos-pos 179 73.7 8.8 63.1 0.6 0.8 0.2 17.2 -36.9
single RSIhist RSIhist pos-pos 135 55.6 8.7 63.0 0.7 1.1 0.3 13.6 -27.4
pair MACDhist RSmean pos-neg 86 35.4 8.7 64.0 0.5 0.7 0.2 21.3 -45.0
pair RSmean MACDhist pos-neg 86 35.4 8.7 64.0 0.5 0.7 0.2 21.3 -45.0
pair SLmean MACDhist pos-pos 121 49.8 8.6 62.8 0.7 1.0 0.3 14.2 -31.4
pair MACDhist SLmean pos-pos 121 49.8 8.6 62.8 0.7 1.0 0.3 14.2 -31.4
pair MACDhist RSIhist pos-pos 105 43.2 8.6 61.9 0.7 1.1 0.4 13.6 -21.5
pair RSIhist MACDhist pos-pos 105 43.2 8.6 61.9 0.7 1.1 0.4 13.6 -21.5
pair LWTI SLmean neg-pos 67 27.6 8.5 62.7 0.5 0.6 0.2 22.8 -44.2
pair MACD MRmean pos-pos 156 64.2 8.5 61.5 0.6 1.0 0.3 15.5 -32.4
pair MRmean MACD pos-pos 156 64.2 8.5 61.5 0.6 1.0 0.3 15.5 -32.4
pair SLmean LWTI neg-pos 67 27.6 8.5 62.7 0.5 0.6 0.2 22.8 -44.2
pair SLmean RSI pos-pos 154 63.4 8.4 63.0 0.6 1.0 0.2 14.3 -36.6
pair RSI SLmean pos-pos 154 63.4 8.4 63.0 0.6 1.0 0.2 14.3 -36.6
pair RSIhist SLmean pos-pos 131 53.9 8.3 61.8 0.7 1.0 0.3 13.8 -28.1
pair SLmean RSIhist pos-pos 131 53.9 8.3 61.8 0.7 1.0 0.3 13.8 -28.1
pair RSIhist RSmean pos-pos 129 53.1 8.3 62.8 0.7 1.0 0.4 13.5 -22.4
pair RSmean RSIhist pos-pos 129 53.1 8.3 62.8 0.7 1.0 0.4 13.5 -22.4
pair RSI MRmean pos-pos 173 71.2 8.3 61.3 0.6 1.0 0.3 15.1 -29.0
pair RSIhist MRmean pos-pos 132 54.3 8.3 62.1 0.7 1.0 0.3 13.7 -27.4
pair MRmean RSIhist pos-pos 132 54.3 8.3 62.1 0.7 1.0 0.3 13.7 -27.4
pair MRmean RSI pos-pos 173 71.2 8.3 61.3 0.6 1.0 0.3 15.1 -29.0
pair RSI MACDhist pos-pos 137 56.4 8.1 61.3 0.6 0.9 0.3 15.0 -26.7
pair MRmean MACDhist pos-pos 134 55.1 8.1 61.2 0.6 1.0 0.3 14.8 -26.7
pair MACDhist MRmean pos-pos 134 55.1 8.1 61.2 0.6 1.0 0.3 14.8 -26.7
pair MACDhist RSI pos-pos 137 56.4 8.1 61.3 0.6 0.9 0.3 15.0 -26.7
pair MACD SLmean pos-pos 141 58.0 7.9 62.4 0.6 0.9 0.2 14.7 -42.3
pair SLmean MACD pos-pos 141 58.0 7.9 62.4 0.6 0.9 0.2 14.7 -42.3
pair LWTI RSIhist pos-neg 11 4.5 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair RSI RSmean pos-pos 190 78.2 7.8 62.1 0.5 0.7 0.2 16.7 -38.2
pair RSmean RSI pos-pos 190 78.2 7.8 62.1 0.5 0.7 0.2 16.7 -38.2
pair RSIhist LWTI pos-neg 11 4.5 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair MRmean LWTI pos-neg 11 4.5 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair LWTI MRmean pos-neg 11 4.5 7.8 54.5 0.5 1.1 0.6 19.2 -12.8
pair MRmean SLmean pos-neg 19 7.8 7.7 47.4 0.5 0.9 0.4 21.0 -18.3
pair SLmean MRmean pos-neg 19 7.8 7.7 47.4 0.5 0.9 0.4 21.0 -18.3
pair MACDhist SLmean neg-neg 61 25.1 7.6 67.2 0.4 0.5 0.2 22.6 -38.9
pair SLmean MACDhist neg-neg 61 25.1 7.6 67.2 0.4 0.5 0.2 22.6 -38.9
single MACD MACD pos-pos 194 79.8 7.3 61.9 0.5 0.7 0.1 18.0 -47.2
pair MACDhist RSmean neg-pos 3 1.2 7.2 33.3 0.4 34.3 1.1 24.2 -6.5
pair RSmean MACDhist neg-pos 3 1.2 7.2 33.3 0.4 34.3 1.1 24.2 -6.5
pair RSI SLmean neg-neg 27 11.1 7.0 63.0 0.4 0.7 0.3 24.2 -22.3
pair SLmean RSI neg-neg 27 11.1 7.0 63.0 0.4 0.7 0.3 24.2 -22.3
pair RSmean SLmean neg-pos 62 25.5 6.9 59.7 0.4 0.6 0.2 24.7 -41.0
pair SLmean RSmean neg-pos 62 25.5 6.9 59.7 0.4 0.6 0.2 24.7 -41.0
pair RSI RSIhist pos-pos 131 53.9 6.8 61.8 0.6 0.8 0.2 13.4 -27.4
pair RSIhist RSI pos-pos 131 53.9 6.8 61.8 0.6 0.8 0.2 13.4 -27.4
pair RSmean MACD pos-pos 185 76.1 6.3 61.1 0.4 0.6 0.1 18.2 -47.2
pair MACD RSmean pos-pos 185 76.1 6.3 61.1 0.4 0.6 0.1 18.2 -47.2
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 SLmean neg-pos 53 21.8 5.8 60.4 0.3 0.5 0.1 25.1 -44.2
pair SLmean MACD neg-pos 53 21.8 5.8 60.4 0.3 0.5 0.1 25.1 -44.2
pair MACD RSIhist pos-pos 113 46.5 5.7 60.2 0.5 0.7 0.2 13.9 -31.1
pair RSIhist MACD pos-pos 113 46.5 5.7 60.2 0.5 0.7 0.2 13.9 -31.1
pair LWTI RSI neg-pos 16 6.6 4.2 56.2 0.3 0.5 0.3 27.1 -16.3
pair RSI LWTI neg-pos 16 6.6 4.2 56.2 0.3 0.5 0.3 27.1 -16.3
pair MACDhist MACD pos-neg 60 24.7 3.0 61.7 0.2 0.3 0.1 22.9 -39.4
pair MACD MACDhist pos-neg 60 24.7 3.0 61.7 0.2 0.3 0.1 22.9 -39.4
pair MRmean MACD neg-pos 38 15.6 2.5 63.2 0.2 0.3 0.1 26.2 -40.0
pair MACD MRmean neg-pos 38 15.6 2.5 63.2 0.2 0.3 0.1 26.2 -40.0
pair MACD RSI pos-neg 15 6.2 -8.6 46.7 -0.2 -0.3 -0.6 26.8 -15.0
pair RSI MACD pos-neg 15 6.2 -8.6 46.7 -0.2 -0.3 -0.6 26.8 -15.0
pair MACD LWTI pos-neg 12 4.9 -15.7 33.3 -0.9 -1.8 -0.9 17.7 -17.8
pair LWTI MACD pos-neg 12 4.9 -15.7 33.3 -0.9 -1.8 -0.9 17.7 -17.8
pair LWTI MACDhist pos-neg 4 1.6 -16.4 25.0 -0.7 -1.6 -2.1 22.4 -7.6
pair MACDhist LWTI pos-neg 4 1.6 -16.4 25.0 -0.7 -1.6 -2.1 22.4 -7.6
pair LWTI RSI pos-neg 7 2.9 -23.5 28.6 -1.5 -3.1 -1.4 16.8 -17.5
pair RSI LWTI pos-neg 7 2.9 -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 (65%)
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 (73%)
MRmean
neg
CAGR 29.8% | Win 67%
Sharpe 1.61 | Sortino 2.17 | Calmar 4.5
Vol 17% | MDD -6.7%
Months 6M (2%)
CAGR 10.8% | Win 70%
Sharpe 0.57 | Sortino 0.68 | Calmar 0.3
Vol 23% | MDD -38.9%
Months 60M (25%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
SLmean
only
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
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 (71%)
CAGR 37.6% | Win 60%
Sharpe 1.71 | Sortino 130.93 | 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 (73%)
MRmean
neg
CAGR 10.7% | Win 66%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.3
Vol 25% | MDD -38.9%
Months 50M (21%)
CAGR 17.9% | Win 81%
Sharpe 1.79 | Sortino 3.43 | Calmar 4.7
Vol 10% | MDD -3.8%
Months 16M (7%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
RSmean
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (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 (64%)
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 (73%)
MRmean
neg
CAGR 2.5% | Win 63%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 26% | MDD -40.0%
Months 38M (16%)
CAGR 27.4% | Win 79%
Sharpe 1.61 | Sortino 1.81 | Calmar 2.4
Vol 16% | MDD -11.6%
Months 28M (12%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
MACD
only
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
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 (71%)
CAGR 96.5% | Win 100%
Sharpe 14.07 | 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 (73%)
MRmean
neg
CAGR 14.0% | Win 76%
Sharpe 0.71 | Sortino 0.64 | Calmar 0.5
Vol 22% | MDD -29.2%
Months 33M (14%)
CAGR 10.9% | Win 64%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.5
Vol 23% | MDD -22.3%
Months 33M (14%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
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 (55%)
CAGR 15.1% | Win 65%
Sharpe 0.94 | Sortino 1.57 | 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 (73%)
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 8.8% | Win 69%
Sharpe 0.50 | Sortino 0.57 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 61M (25%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (57%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
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 (54%)
CAGR 14.2% | Win 62%
Sharpe 0.80 | Sortino 1.47 | Calmar 0.7
Vol 19% | MDD -19.1%
Months 45M (18%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (73%)
MRmean
neg
CAGR 29.9% | Win 100%
Sharpe 4.90 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 3M (1%)
CAGR 11.6% | Win 68%
Sharpe 0.60 | Sortino 0.73 | Calmar 0.3
Vol 23% | MDD -38.9%
Months 63M (26%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
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 (68%)
CAGR 7.8% | Win 55%
Sharpe 0.48 | Sortino 1.12 | Calmar 0.6
Vol 19% | MDD -12.8%
Months 11M (4%)
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -29.0%
Months 177M (73%)
MRmean
neg
CAGR 10.7% | Win 69%
Sharpe 0.55 | Sortino 0.64 | Calmar 0.3
Vol 24% | MDD -40.0%
Months 49M (20%)
CAGR 17.5% | Win 71%
Sharpe 0.94 | Sortino 1.32 | Calmar 1.5
Vol 19% | MDD -12.0%
Months 17M (7%)
CAGR 12.4% | Win 70%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 66M (27%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 64%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.3
Vol 14% | MDD -29.9%
Months 160M (66%)
CAGR 21.9% | Win 50%
Sharpe 1.02 | Sortino 83.33 | Calmar 3.4
Vol 21% | MDD -6.5%
Months 4M (2%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 6.9% | Win 60%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 25% | MDD -41.0%
Months 62M (26%)
CAGR 22.4% | Win 82%
Sharpe 2.03 | Sortino 4.22 | Calmar 5.8
Vol 10% | MDD -3.8%
Months 17M (7%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
RSmean
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (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 (58%)
CAGR 29.6% | Win 74%
Sharpe 2.10 | Sortino 3.15 | Calmar 3.3
Vol 13% | MDD -9.1%
Months 23M (10%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 5.8% | Win 60%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 25% | MDD -44.2%
Months 53M (22%)
CAGR 19.2% | Win 73%
Sharpe 1.19 | Sortino 1.38 | Calmar 1.7
Vol 16% | MDD -11.6%
Months 26M (11%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
MACD
only
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
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 (63%)
CAGR 53.2% | Win 80%
Sharpe 3.05 | Sortino 3.48 | Calmar 8.0
Vol 15% | MDD -6.7%
Months 10M (4%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 11.6% | Win 65%
Sharpe 0.62 | Sortino 0.74 | Calmar 0.3
Vol 22% | MDD -41.5%
Months 52M (21%)
CAGR 7.0% | Win 63%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.3
Vol 24% | MDD -22.3%
Months 27M (11%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
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 (50%)
CAGR 17.0% | Win 67%
Sharpe 1.11 | Sortino 1.88 | Calmar 1.1
Vol 15% | MDD -15.9%
Months 43M (18%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 18.7% | Win 56%
Sharpe 0.88 | Sortino 1.96 | Calmar 1.4
Vol 22% | MDD -13.7%
Months 18M (7%)
CAGR 7.6% | Win 67%
Sharpe 0.44 | Sortino 0.53 | Calmar 0.2
Vol 23% | MDD -38.9%
Months 61M (25%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (57%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
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 (54%)
CAGR 20.9% | Win 73%
Sharpe 1.20 | Sortino 1.95 | Calmar 1.0
Vol 17% | MDD -21.1%
Months 33M (14%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 25.1% | Win 100%
Sharpe 4.61 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 9.3% | Win 63%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.2
Vol 23% | MDD -41.0%
Months 75M (31%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
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 (61%)
CAGR 9.7% | Win 56%
Sharpe 0.61 | Sortino 1.23 | Calmar 0.6
Vol 18% | MDD -16.4%
Months 16M (7%)
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.3
Vol 14% | MDD -34.5%
Months 164M (68%)
SLmean
neg
CAGR 8.5% | Win 63%
Sharpe 0.48 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -44.2%
Months 67M (28%)
CAGR 18.9% | Win 75%
Sharpe 0.94 | Sortino 1.48 | Calmar 1.6
Vol 21% | MDD -11.6%
Months 12M (5%)
CAGR 10.0% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -41.0%
Months 79M (32%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 61%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -47.2%
Months 185M (76%)
CAGR 26.3% | Win 73%
Sharpe 1.59 | Sortino 1.93 | Calmar 2.0
Vol 16% | MDD -13.2%
Months 37M (15%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (91%)
RSmean
neg
CAGR 29.8% | Win 78%
Sharpe 1.82 | Sortino 105.79 | 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 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 62%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -38.2%
Months 190M (78%)
CAGR 19.9% | Win 69%
Sharpe 0.89 | Sortino 1.43 | Calmar 1.5
Vol 24% | MDD -13.6%
Months 32M (13%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (91%)
RSmean
neg
CAGR 27.8% | Win 81%
Sharpe 1.99 | Sortino 22.94 | 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 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
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 (56%)
CAGR 8.7% | Win 64%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 21% | MDD -45.0%
Months 86M (35%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (91%)
RSmean
neg
CAGR 7.2% | Win 33%
Sharpe 0.37 | Sortino 34.34 | Calmar 1.1
Vol 24% | MDD -6.5%
Months 3M (1%)
CAGR 25.0% | Win 83%
Sharpe 2.23 | Sortino 4.65 | Calmar 6.5
Vol 10% | MDD -3.8%
Months 18M (7%)
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 (57%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
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 (53%)
CAGR 11.0% | Win 63%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 93M (38%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (91%)
RSmean
neg
CAGR 18.0% | Win 67%
Sharpe 1.11 | Sortino 68.42 | 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 (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.8% | Win 63%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 18% | MDD -44.6%
Months 194M (80%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.2
Vol 18% | MDD -45.0%
Months 222M (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 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.8% | Win 63%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 17% | MDD -36.9%
Months 179M (74%)
CAGR -8.6% | Win 47%
Sharpe -0.20 | Sortino -0.35 | Calmar -0.6
Vol 27% | MDD -15.0%
Months 15M (6%)
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
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 40.3% | Win 82%
Sharpe 2.02 | Sortino 2.31 | Calmar 3.5
Vol 18% | MDD -11.6%
Months 22M (9%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
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 (55%)
CAGR 3.0% | Win 62%
Sharpe 0.25 | Sortino 0.33 | Calmar 0.1
Vol 23% | MDD -39.4%
Months 60M (25%)
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
MACD
neg
CAGR 24.5% | Win 60%
Sharpe 1.37 | Sortino 1.79 | Calmar 2007.2
Vol 17% | MDD -0.0%
Months 5M (2%)
CAGR 23.9% | Win 75%
Sharpe 1.58 | Sortino 1.94 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 44M (18%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (57%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
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 (46%)
CAGR 9.6% | Win 64%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -44.2%
Months 81M (33%)
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
MACD
neg
CAGR 25.8% | Win 77%
Sharpe 2.07 | Sortino 2.49 | Calmar 4.2
Vol 12% | MDD -6.2%
Months 22M (9%)
CAGR 22.5% | Win 70%
Sharpe 1.31 | Sortino 1.72 | Calmar 1.9
Vol 17% | MDD -11.6%
Months 27M (11%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 64%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 182M (75%)
CAGR -15.7% | Win 33%
Sharpe -0.88 | Sortino -1.83 | Calmar -0.9
Vol 18% | MDD -17.8%
Months 12M (5%)
CAGR 7.3% | Win 62%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -47.2%
Months 194M (80%)
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 42.0% | Win 88%
Sharpe 2.14 | Sortino 2.43 | Calmar 3.6
Vol 17% | MDD -11.6%
Months 16M (7%)
CAGR 24.0% | Win 74%
Sharpe 1.57 | Sortino 2.00 | Calmar 1.8
Vol 14% | MDD -13.2%
Months 49M (20%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
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 (56%)
CAGR 11.4% | Win 68%
Sharpe 0.67 | Sortino 0.76 | Calmar 0.4
Vol 19% | MDD -27.5%
Months 69M (28%)
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
RSI
neg
CAGR 217.5% | Win 100%
Sharpe 10.24 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 2M (1%)
CAGR 11.4% | Win 66%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.5
Vol 22% | MDD -22.3%
Months 35M (14%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
MACDhist
only
CAGR 9.8% | Win 62%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -26.7%
Months 139M (57%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
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 (54%)
CAGR 13.5% | Win 67%
Sharpe 0.72 | Sortino 0.93 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 75M (31%)
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
RSI
neg
CAGR 96.5% | Win 100%
Sharpe 14.07 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 10.9% | Win 64%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.5
Vol 23% | MDD -22.3%
Months 33M (14%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.6% | Win 65%
Sharpe 0.70 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -32.2%
Months 199M (82%)
CAGR -23.5% | Win 29%
Sharpe -1.50 | Sortino -3.08 | Calmar -1.3
Vol 17% | MDD -17.5%
Months 7M (3%)
CAGR 9.2% | Win 64%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -33.5%
Months 206M (85%)
RSI
neg
CAGR 4.2% | Win 56%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.3
Vol 27% | MDD -16.3%
Months 16M (7%)
CAGR 29.6% | Win 76%
Sharpe 1.53 | Sortino 2.04 | Calmar 2.5
Vol 18% | MDD -12.0%
Months 21M (9%)
CAGR 17.9% | Win 68%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.8
Vol 22% | MDD -22.3%
Months 37M (15%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
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 (43%)
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 (57%)
MACDhist
neg
CAGR 9.1% | Win 67%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.7
Vol 14% | MDD -13.4%
Months 30M (12%)
CAGR 12.3% | Win 68%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.3
Vol 22% | MDD -38.9%
Months 74M (30%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
RSIhist
only
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
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 (56%)
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 (57%)
MACDhist
neg
CAGR 9.1% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 20% | MDD -39.4%
Months 80M (33%)
CAGR 19.5% | Win 71%
Sharpe 1.07 | Sortino 1.70 | Calmar 1.6
Vol 18% | MDD -12.0%
Months 24M (10%)
CAGR 11.4% | Win 67%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -43.7%
Months 104M (43%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)
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 (51%)
CAGR 7.8% | Win 55%
Sharpe 0.48 | Sortino 1.12 | Calmar 0.6
Vol 19% | MDD -12.8%
Months 11M (4%)
CAGR 8.7% | Win 63%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -27.4%
Months 135M (56%)
RSIhist
neg
CAGR 11.8% | Win 65%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 22% | MDD -44.2%
Months 91M (37%)
CAGR 17.5% | Win 71%
Sharpe 0.94 | Sortino 1.32 | Calmar 1.5
Vol 19% | MDD -12.0%
Months 17M (7%)
CAGR 12.7% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 108M (44%)
LWTI
only
CAGR 10.1% | Win 64%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.2
Vol 17% | MDD -43.3%
Months 215M (88%)
CAGR 13.6% | Win 64%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.7
Vol 19% | MDD -18.7%
Months 28M (12%)