ITA - iShares US Aerospace & Defense ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

174.7%

Best CAGR

68

Total Months

20.7%

Avg CAGR

ITA 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 ITA

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 0.8 174.7 100.0 15.8 0.0 0.0 6.7 0.0
pair RSI MACDhist neg-pos 2 0.8 174.7 100.0 15.8 0.0 0.0 6.7 0.0
pair RSI MACD pos-neg 11 4.6 95.4 90.9 2.6 0.0 6.6 27.8 -14.4
pair MACD RSI pos-neg 11 4.6 95.4 90.9 2.6 0.0 6.6 27.8 -14.4
pair RSI LWTI neg-pos 14 5.9 89.3 92.9 3.5 0.0 0.0 19.0 0.0
pair LWTI RSI neg-pos 14 5.9 89.3 92.9 3.5 0.0 0.0 19.0 0.0
pair RSI RSIhist neg-pos 7 3.0 81.0 85.7 4.8 0.0 32.6 12.8 -2.5
pair RSIhist RSI neg-pos 7 3.0 81.0 85.7 4.8 0.0 32.6 12.8 -2.5
pair RSI MRmean pos-neg 4 1.7 77.5 75.0 3.5 0.0 0.0 17.3 0.0
pair MRmean RSI pos-neg 4 1.7 77.5 75.0 3.5 0.0 0.0 17.3 0.0
pair RSIhist MRmean neg-pos 6 2.5 73.3 100.0 8.1 0.0 0.0 6.9 0.0
pair MRmean RSIhist neg-pos 6 2.5 73.3 100.0 8.1 0.0 0.0 6.9 0.0
pair MACD MACDhist neg-pos 7 3.0 61.8 71.4 2.6 3.6 136.8 19.4 -0.5
pair MACDhist MACD neg-pos 7 3.0 61.8 71.4 2.6 3.6 136.8 19.4 -0.5
pair RSmean RSIhist neg-pos 6 2.5 58.5 100.0 6.1 0.0 0.0 7.7 0.0
pair RSIhist RSmean neg-pos 6 2.5 58.5 100.0 6.1 0.0 0.0 7.7 0.0
pair MRmean SLmean neg-pos 5 2.1 58.3 80.0 2.6 0.0 11.8 18.8 -4.9
pair SLmean MRmean neg-pos 5 2.1 58.3 80.0 2.6 0.0 11.8 18.8 -4.9
pair SLmean RSI pos-neg 8 3.4 55.8 75.0 2.7 7.8 11.3 17.1 -4.9
pair RSI SLmean pos-neg 8 3.4 55.8 75.0 2.7 7.8 11.3 17.1 -4.9
pair RSmean RSI pos-neg 30 12.7 48.5 73.3 1.4 2.1 1.4 31.1 -36.0
pair RSI RSmean pos-neg 30 12.7 48.5 73.3 1.4 2.1 1.4 31.1 -36.0
pair MACDhist LWTI pos-neg 3 1.3 46.7 66.7 1.4 0.0 0.0 29.3 0.0
pair LWTI MACDhist pos-neg 3 1.3 46.7 66.7 1.4 0.0 0.0 29.3 0.0
pair MRmean MACDhist neg-pos 6 2.5 45.9 66.7 2.0 3.1 7.7 20.2 -6.0
pair MACDhist MRmean neg-pos 6 2.5 45.9 66.7 2.0 3.1 7.7 20.2 -6.0
pair MACD RSIhist neg-pos 24 10.1 44.7 79.2 2.5 4.6 7.2 15.3 -6.2
pair RSIhist MACD neg-pos 24 10.1 44.7 79.2 2.5 4.6 7.2 15.3 -6.2
pair LWTI RSIhist pos-neg 11 4.6 44.2 72.7 2.0 5.4 7.1 19.5 -6.2
pair RSIhist LWTI pos-neg 11 4.6 44.2 72.7 2.0 5.4 7.1 19.5 -6.2
pair SLmean MACDhist neg-pos 16 6.8 44.0 75.0 2.0 3.9 3.7 19.7 -11.8
pair MACDhist SLmean neg-pos 16 6.8 44.0 75.0 2.0 3.9 3.7 19.7 -11.8
single RSI RSI neg-neg 34 14.3 42.6 73.5 1.4 1.9 1.2 29.5 -36.0
pair SLmean RSI neg-neg 26 11.0 38.7 73.1 1.2 1.7 1.1 32.6 -36.0
pair RSI SLmean neg-neg 26 11.0 38.7 73.1 1.2 1.7 1.1 32.6 -36.0
pair MRmean RSI neg-neg 30 12.7 38.5 73.3 1.2 1.8 1.1 30.8 -36.0
pair RSI MRmean neg-neg 30 12.7 38.5 73.3 1.2 1.8 1.1 30.8 -36.0
pair MACDhist RSI neg-neg 32 13.5 36.9 71.9 1.2 1.7 1.0 30.0 -36.0
pair RSI MACDhist neg-neg 32 13.5 36.9 71.9 1.2 1.7 1.0 30.0 -36.0
pair RSI RSIhist neg-neg 27 11.4 34.0 70.4 1.1 1.6 0.9 32.4 -36.0
pair RSIhist RSI neg-neg 27 11.4 34.0 70.4 1.1 1.6 0.9 32.4 -36.0
pair RSIhist MACDhist neg-pos 29 12.2 33.7 86.2 2.7 3.7 5.7 10.9 -6.0
pair MACDhist RSIhist neg-pos 29 12.2 33.7 86.2 2.7 3.7 5.7 10.9 -6.0
pair MRmean SLmean pos-neg 13 5.5 33.2 69.2 1.6 3.3 5.4 19.7 -6.2
pair SLmean MRmean pos-neg 13 5.5 33.2 69.2 1.6 3.3 5.4 19.7 -6.2
pair SLmean LWTI pos-neg 12 5.1 33.0 66.7 1.5 5.2 4.0 20.3 -8.2
pair LWTI SLmean pos-neg 12 5.1 33.0 66.7 1.5 5.2 4.0 20.3 -8.2
pair RSI RSmean neg-pos 17 7.2 32.0 82.4 2.8 4.5 7.5 10.1 -4.3
pair RSmean RSI neg-pos 17 7.2 32.0 82.4 2.8 4.5 7.5 10.1 -4.3
pair MRmean LWTI pos-neg 8 3.4 31.2 62.5 1.3 4.1 5.0 22.4 -6.2
pair LWTI MRmean pos-neg 8 3.4 31.2 62.5 1.3 4.1 5.0 22.4 -6.2
pair MACD RSmean neg-neg 12 5.1 30.3 91.7 3.4 0.0 0.0 8.0 0.0
pair RSmean MACD neg-neg 12 5.1 30.3 91.7 3.4 0.0 0.0 8.0 0.0
pair RSIhist MACDhist pos-neg 29 12.2 28.9 65.5 1.6 3.4 2.3 17.1 -12.7
pair MACDhist RSIhist pos-neg 29 12.2 28.9 65.5 1.6 3.4 2.3 17.1 -12.7
pair MACDhist RSmean neg-pos 3 1.3 27.4 66.7 2.1 0.0 0.0 12.0 0.0
pair RSmean MACDhist neg-pos 3 1.3 27.4 66.7 2.1 0.0 0.0 12.0 0.0
pair RSmean MRmean neg-neg 13 5.5 26.9 84.6 3.0 7.8 40.7 8.2 -0.7
pair SLmean RSmean neg-neg 13 5.5 26.9 84.6 3.0 7.8 40.7 8.2 -0.7
pair RSmean SLmean neg-neg 13 5.5 26.9 84.6 3.0 7.8 40.7 8.2 -0.7
pair MRmean RSmean neg-neg 13 5.5 26.9 84.6 3.0 7.8 40.7 8.2 -0.7
pair RSmean LWTI neg-pos 21 8.9 26.3 81.0 2.5 4.6 6.2 9.8 -4.3
pair LWTI RSmean neg-pos 21 8.9 26.3 81.0 2.5 4.6 6.2 9.8 -4.3
single RSmean RSmean neg-neg 21 8.9 26.3 81.0 2.5 4.6 6.2 9.8 -4.3
pair RSmean MACDhist neg-neg 18 7.6 26.2 83.3 2.4 5.2 6.1 9.8 -4.3
pair MACDhist RSmean neg-neg 18 7.6 26.2 83.3 2.4 5.2 6.1 9.8 -4.3
pair RSmean SLmean pos-neg 8 3.4 25.4 75.0 1.9 4.2 6.0 12.6 -4.3
pair SLmean RSmean pos-neg 8 3.4 25.4 75.0 1.9 4.2 6.0 12.6 -4.3
pair MRmean RSmean pos-neg 8 3.4 25.4 75.0 1.9 4.2 6.0 12.6 -4.3
pair RSmean MRmean pos-neg 8 3.4 25.4 75.0 1.9 4.2 6.0 12.6 -4.3
pair MRmean LWTI neg-pos 41 17.3 25.2 75.6 1.0 0.9 0.9 25.3 -28.0
pair LWTI MRmean neg-pos 41 17.3 25.2 75.6 1.0 0.9 0.9 25.3 -28.0
pair SLmean LWTI neg-pos 53 22.4 25.2 73.6 1.1 1.1 0.9 23.9 -28.0
pair LWTI SLmean neg-pos 53 22.4 25.2 73.6 1.1 1.1 0.9 23.9 -28.0
pair MACD RSI neg-neg 23 9.7 22.6 65.2 0.8 1.2 0.9 29.7 -25.3
pair RSI MACD neg-neg 23 9.7 22.6 65.2 0.8 1.2 0.9 29.7 -25.3
pair MACD LWTI neg-neg 22 9.3 21.8 59.1 0.8 1.4 1.0 31.9 -21.4
pair LWTI MACD neg-neg 22 9.3 21.8 59.1 0.8 1.4 1.0 31.9 -21.4
pair RSmean MACD neg-pos 9 3.8 21.3 66.7 1.6 3.2 5.0 12.2 -4.3
pair MACD RSmean neg-pos 9 3.8 21.3 66.7 1.6 3.2 5.0 12.2 -4.3
pair MACD MRmean neg-neg 30 12.7 20.9 70.0 0.9 1.2 0.8 25.9 -25.3
pair MRmean MACD neg-neg 30 12.7 20.9 70.0 0.9 1.2 0.8 25.9 -25.3
pair MACD SLmean neg-neg 26 11.0 18.6 69.2 0.8 1.0 0.7 27.2 -25.3
pair SLmean MACD neg-neg 26 11.0 18.6 69.2 0.8 1.0 0.7 27.2 -25.3
single MACD MACD neg-neg 52 21.9 17.0 67.3 0.8 1.0 0.4 24.2 -42.6
pair RSI LWTI neg-neg 20 8.4 16.9 60.0 0.6 1.0 0.5 34.4 -36.0
pair LWTI RSI neg-neg 20 8.4 16.9 60.0 0.6 1.0 0.5 34.4 -36.0
pair SLmean RSIhist pos-pos 131 55.3 16.8 64.9 1.1 1.6 0.6 15.2 -27.0
pair RSIhist SLmean pos-pos 131 55.3 16.8 64.9 1.1 1.6 0.6 15.2 -27.0
single RSIhist RSIhist pos-pos 135 57.0 16.7 65.2 1.1 1.5 0.6 15.3 -27.0
pair SLmean RSIhist neg-neg 62 26.2 16.0 67.7 0.7 0.8 0.4 29.0 -44.6
pair RSIhist SLmean neg-neg 62 26.2 16.0 67.7 0.7 0.8 0.4 29.0 -44.6
single SLmean SLmean neg-neg 66 27.8 16.0 68.2 0.7 0.8 0.4 28.4 -44.6
single MACDhist MACDhist pos-pos 135 57.0 15.8 60.7 1.0 1.5 0.7 16.4 -22.8
pair RSmean MACDhist pos-pos 132 55.7 15.6 60.6 1.0 1.5 0.7 16.5 -22.8
pair MACDhist RSmean pos-pos 132 55.7 15.6 60.6 1.0 1.5 0.7 16.5 -22.8
single MRmean MRmean neg-neg 58 24.5 15.5 69.0 0.6 0.8 0.3 29.5 -44.6
pair RSIhist RSmean neg-neg 15 6.3 15.4 73.3 1.6 2.8 3.6 9.5 -4.3
pair RSmean RSIhist neg-neg 15 6.3 15.4 73.3 1.6 2.8 3.6 9.5 -4.3
pair RSIhist SLmean neg-pos 4 1.7 15.3 75.0 0.8 0.0 2.2 20.3 -7.0
pair MACD SLmean pos-neg 26 11.0 15.3 65.4 0.8 1.0 0.6 21.3 -25.2
pair SLmean RSIhist neg-pos 4 1.7 15.3 75.0 0.8 0.0 2.2 20.3 -7.0
pair SLmean MACD pos-neg 26 11.0 15.3 65.4 0.8 1.0 0.6 21.3 -25.2
pair LWTI MACDhist pos-pos 132 55.7 15.2 60.6 1.0 1.5 0.6 16.2 -24.8
pair MACDhist LWTI pos-pos 132 55.7 15.2 60.6 1.0 1.5 0.6 16.2 -24.8
pair RSmean RSIhist pos-pos 129 54.4 15.1 63.6 1.0 1.4 0.5 15.5 -32.5
pair RSIhist RSmean pos-pos 129 54.4 15.1 63.6 1.0 1.4 0.5 15.5 -32.5
pair RSIhist LWTI neg-pos 88 37.1 14.9 65.9 0.8 0.8 0.5 21.7 -28.0
pair LWTI RSIhist neg-pos 88 37.1 14.9 65.9 0.8 0.8 0.5 21.7 -28.0
pair MACD LWTI pos-pos 182 76.8 14.9 63.7 0.9 1.1 0.4 18.2 -37.0
pair LWTI MACD pos-pos 182 76.8 14.9 63.7 0.9 1.1 0.4 18.2 -37.0
pair MACD RSIhist pos-neg 74 31.2 14.8 64.9 0.7 0.8 0.5 23.5 -28.0
pair RSIhist MACD pos-neg 74 31.2 14.8 64.9 0.7 0.8 0.5 23.5 -28.0
single LWTI LWTI pos-pos 212 89.5 14.7 65.1 0.9 1.0 0.4 18.0 -37.0
pair MRmean MACDhist pos-pos 129 54.4 14.6 60.5 0.9 1.4 0.5 16.2 -26.8
pair MACDhist MRmean pos-pos 129 54.4 14.6 60.5 0.9 1.4 0.5 16.2 -26.8
pair MRmean RSIhist pos-pos 129 54.4 14.6 63.6 1.0 1.4 0.5 15.4 -27.0
pair RSIhist MRmean pos-pos 129 54.4 14.6 63.6 1.0 1.4 0.5 15.4 -27.0
pair LWTI RSIhist pos-pos 124 52.3 14.5 64.5 1.0 1.3 0.4 14.9 -35.3
pair RSIhist LWTI pos-pos 124 52.3 14.5 64.5 1.0 1.3 0.4 14.9 -35.3
pair RSI MACDhist pos-pos 133 56.1 14.3 60.2 0.9 1.4 0.6 16.2 -22.8
pair MACDhist RSI pos-pos 133 56.1 14.3 60.2 0.9 1.4 0.6 16.2 -22.8
pair MACD SLmean neg-pos 40 16.9 14.3 67.5 0.6 0.7 0.5 29.6 -31.0
pair SLmean MACD neg-pos 40 16.9 14.3 67.5 0.6 0.7 0.5 29.6 -31.0
pair MACDhist LWTI neg-pos 80 33.8 13.9 72.5 0.7 0.7 0.5 20.7 -28.0
pair LWTI MACDhist neg-pos 80 33.8 13.9 72.5 0.7 0.7 0.5 20.7 -28.0
pair RSIhist RSI pos-pos 128 54.0 13.9 64.1 0.9 1.3 0.4 15.2 -31.7
pair RSI RSIhist pos-pos 128 54.0 13.9 64.1 0.9 1.3 0.4 15.2 -31.7
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 13.7 64.1 0.7 0.9 0.2 20.1 -53.8
pair benchmark___benchmark_ benchmark-benchmark 237 100.0 13.7 64.1 0.7 0.9 0.2 20.1 -53.8
pair MACD MACDhist pos-pos 128 54.0 13.7 60.2 0.9 1.3 0.6 16.1 -24.8
pair MACDhist MACD pos-pos 128 54.0 13.7 60.2 0.9 1.3 0.6 16.1 -24.8
pair MACD LWTI neg-pos 30 12.7 13.6 73.3 0.8 0.8 0.6 16.9 -23.2
pair LWTI MACD neg-pos 30 12.7 13.6 73.3 0.8 0.8 0.6 16.9 -23.2
pair SLmean MACDhist pos-neg 52 21.9 13.5 71.2 0.9 1.0 0.5 16.0 -25.2
pair MACDhist SLmean pos-neg 52 21.9 13.5 71.2 0.9 1.0 0.5 16.0 -25.2
pair LWTI RSmean pos-pos 191 80.6 13.5 63.4 0.8 0.9 0.4 18.6 -37.0
pair RSmean LWTI pos-pos 191 80.6 13.5 63.4 0.8 0.9 0.4 18.6 -37.0
pair RSmean SLmean neg-pos 53 22.4 13.4 64.2 0.6 0.8 0.3 31.6 -44.6
pair SLmean RSmean neg-pos 53 22.4 13.4 64.2 0.6 0.8 0.3 31.6 -44.6
pair MACD MRmean pos-pos 157 66.2 13.3 62.4 0.9 1.4 0.5 15.0 -24.8
pair MRmean MACD pos-pos 157 66.2 13.3 62.4 0.9 1.4 0.5 15.0 -24.8
pair MACD RSmean pos-neg 40 16.9 13.2 60.0 0.6 0.9 0.3 27.3 -42.6
pair RSmean MACD pos-neg 40 16.9 13.2 60.0 0.6 0.9 0.3 27.3 -42.6
single MRmean MRmean pos-pos 179 75.5 13.1 62.6 0.8 1.2 0.5 16.0 -27.1
single SLmean SLmean pos-pos 171 72.2 12.8 62.6 0.8 1.2 0.4 15.8 -31.0
single MACD MACD pos-pos 185 78.1 12.7 63.2 0.7 0.9 0.3 18.8 -37.0
pair RSI MACD neg-pos 29 12.2 12.6 69.0 0.7 0.8 0.5 19.1 -28.0
pair MACD RSI neg-pos 29 12.2 12.6 69.0 0.7 0.8 0.5 19.1 -28.0
single RSmean RSmean pos-pos 216 91.1 12.5 62.5 0.7 0.8 0.2 20.8 -53.8
pair MRmean RSmean pos-pos 171 72.2 12.5 62.0 0.8 1.1 0.5 16.2 -27.1
pair RSmean MRmean pos-pos 171 72.2 12.5 62.0 0.8 1.1 0.5 16.2 -27.1
pair SLmean MACDhist pos-pos 119 50.2 12.5 58.8 0.8 1.2 0.3 15.8 -37.6
pair MACDhist SLmean pos-pos 119 50.2 12.5 58.8 0.8 1.2 0.3 15.8 -37.6
pair MRmean MACDhist neg-neg 52 21.9 12.4 69.2 0.5 0.7 0.3 30.4 -44.6
pair MACDhist MRmean neg-neg 52 21.9 12.4 69.2 0.5 0.7 0.3 30.4 -44.6
pair RSmean MRmean neg-pos 45 19.0 12.4 64.4 0.5 0.7 0.3 33.3 -44.6
pair MRmean RSmean neg-pos 45 19.0 12.4 64.4 0.5 0.7 0.3 33.3 -44.6
pair RSIhist MACDhist pos-pos 106 44.7 12.4 59.4 0.8 1.2 0.3 16.2 -35.4
pair MACDhist RSIhist pos-pos 106 44.7 12.4 59.4 0.8 1.2 0.3 16.2 -35.4
pair MRmean LWTI pos-pos 171 72.2 12.3 62.6 0.8 1.1 0.5 15.7 -25.2
pair LWTI MRmean pos-pos 171 72.2 12.3 62.6 0.8 1.1 0.5 15.7 -25.2
pair MACD RSmean pos-pos 176 74.3 12.3 63.1 0.7 0.8 0.3 19.1 -37.0
pair RSmean MACD pos-pos 176 74.3 12.3 63.1 0.7 0.8 0.3 19.1 -37.0
pair SLmean MACD pos-pos 145 61.2 12.3 62.1 0.9 1.2 0.3 14.7 -35.9
pair MACD SLmean pos-pos 145 61.2 12.3 62.1 0.9 1.2 0.3 14.7 -35.9
pair RSmean SLmean pos-pos 163 68.8 12.2 62.0 0.8 1.1 0.4 16.0 -33.5
pair SLmean RSmean pos-pos 163 68.8 12.2 62.0 0.8 1.1 0.4 16.0 -33.5
pair SLmean MRmean neg-neg 53 22.4 12.1 67.9 0.5 0.6 0.3 30.3 -44.6
pair MRmean SLmean neg-neg 53 22.4 12.1 67.9 0.5 0.6 0.3 30.3 -44.6
pair MRmean RSI pos-pos 175 73.8 11.9 62.3 0.8 1.1 0.4 15.9 -29.8
pair RSI MRmean pos-pos 175 73.8 11.9 62.3 0.8 1.1 0.4 15.9 -29.8
pair MRmean MACD pos-neg 22 9.3 11.8 63.6 0.6 0.8 0.4 22.1 -27.1
pair MACD MRmean pos-neg 22 9.3 11.8 63.6 0.6 0.8 0.4 22.1 -27.1
pair SLmean MRmean pos-pos 166 70.0 11.6 62.0 0.8 1.1 0.4 15.7 -27.4
pair MRmean SLmean pos-pos 166 70.0 11.6 62.0 0.8 1.1 0.4 15.7 -27.4
pair MACD RSIhist pos-pos 111 46.8 11.4 62.2 0.8 1.1 0.3 15.1 -35.3
pair RSIhist MACD pos-pos 111 46.8 11.4 62.2 0.8 1.1 0.3 15.1 -35.3
pair LWTI SLmean pos-pos 159 67.1 11.4 62.3 0.8 1.0 0.3 15.4 -35.9
pair SLmean LWTI pos-pos 159 67.1 11.4 62.3 0.8 1.0 0.3 15.4 -35.9
pair MACD MACDhist neg-neg 45 19.0 11.2 66.7 0.6 0.7 0.3 24.7 -42.6
pair MACDhist MACD neg-neg 45 19.0 11.2 66.7 0.6 0.7 0.3 24.7 -42.6
pair RSI SLmean pos-pos 163 68.8 11.0 62.0 0.8 1.0 0.3 15.6 -32.3
pair SLmean RSI pos-pos 163 68.8 11.0 62.0 0.8 1.0 0.3 15.6 -32.3
single MACDhist MACDhist neg-neg 102 43.0 10.9 68.6 0.6 0.6 0.2 24.2 -53.8
pair RSI LWTI pos-pos 198 83.5 10.7 63.1 0.7 0.8 0.2 17.4 -48.9
pair LWTI RSI pos-pos 198 83.5 10.7 63.1 0.7 0.8 0.2 17.4 -48.9
pair MACD MACDhist pos-neg 57 24.1 10.6 70.2 0.6 0.5 0.4 24.0 -28.0
pair MACDhist MACD pos-neg 57 24.1 10.6 70.2 0.6 0.5 0.4 24.0 -28.0
pair RSIhist MRmean neg-neg 52 21.9 10.2 65.4 0.5 0.6 0.2 30.9 -44.6
pair MRmean RSIhist neg-neg 52 21.9 10.2 65.4 0.5 0.6 0.2 30.9 -44.6
pair MACD MRmean neg-pos 28 11.8 10.0 67.9 0.5 0.5 0.4 33.3 -28.0
pair MRmean MACD neg-pos 28 11.8 10.0 67.9 0.5 0.5 0.4 33.3 -28.0
single RSIhist RSIhist neg-neg 102 43.0 9.7 62.7 0.5 0.6 0.2 25.1 -52.3
single RSI RSI pos-pos 203 85.7 9.4 62.6 0.6 0.7 0.2 17.9 -46.1
pair MACDhist MRmean pos-neg 50 21.1 9.3 68.0 0.7 0.7 0.3 15.5 -27.1
pair RSIhist MRmean pos-neg 50 21.1 9.3 60.0 0.6 0.8 0.4 17.5 -22.0
pair MRmean RSIhist pos-neg 50 21.1 9.3 60.0 0.6 0.8 0.4 17.5 -22.0
pair MRmean MACDhist pos-neg 50 21.1 9.3 68.0 0.7 0.7 0.3 15.5 -27.1
pair MACD RSI pos-pos 174 73.4 8.9 61.5 0.6 0.7 0.2 17.7 -48.9
pair RSI MACD pos-pos 174 73.4 8.9 61.5 0.6 0.7 0.2 17.7 -48.9
pair RSIhist RSmean pos-neg 87 36.7 8.8 60.9 0.5 0.6 0.2 26.9 -51.8
pair RSmean RSIhist pos-neg 87 36.7 8.8 60.9 0.5 0.6 0.2 26.9 -51.8
pair MACDhist SLmean neg-neg 50 21.1 8.2 66.0 0.4 0.5 0.2 30.7 -44.6
pair SLmean MACDhist neg-neg 50 21.1 8.2 66.0 0.4 0.5 0.2 30.7 -44.6
pair MACDhist RSmean pos-neg 84 35.4 7.9 65.5 0.4 0.5 0.1 26.3 -53.8
pair RSmean MACDhist pos-neg 84 35.4 7.9 65.5 0.4 0.5 0.1 26.3 -53.8
pair RSmean RSI pos-pos 186 78.5 7.6 60.8 0.5 0.6 0.2 18.4 -47.7
pair RSI RSmean pos-pos 186 78.5 7.6 60.8 0.5 0.6 0.2 18.4 -47.7
pair RSmean LWTI pos-neg 25 10.5 5.3 56.0 0.3 0.6 0.1 33.6 -44.6
pair LWTI RSmean pos-neg 25 10.5 5.3 56.0 0.3 0.6 0.1 33.6 -44.6
single LWTI LWTI neg-neg 25 10.5 5.3 56.0 0.3 0.6 0.1 33.6 -44.6
pair RSI RSmean neg-neg 4 1.7 4.9 75.0 0.8 0.0 0.0 6.4 0.0
pair RSmean RSI neg-neg 4 1.7 4.9 75.0 0.8 0.0 0.0 6.4 0.0
pair SLmean RSI neg-pos 40 16.9 3.2 65.0 0.3 0.3 0.1 25.2 -29.2
pair RSI SLmean neg-pos 40 16.9 3.2 65.0 0.3 0.3 0.1 25.2 -29.2
pair RSIhist MACDhist neg-neg 73 30.8 2.9 61.6 0.2 0.3 0.1 27.6 -52.3
pair MACDhist RSIhist neg-neg 73 30.8 2.9 61.6 0.2 0.3 0.1 27.6 -52.3
pair RSIhist RSI pos-neg 75 31.6 2.1 60.0 0.2 0.2 0.1 21.7 -35.0
pair RSI RSIhist pos-neg 75 31.6 2.1 60.0 0.2 0.2 0.1 21.7 -35.0
pair RSI MACDhist pos-neg 70 29.5 0.7 67.1 0.1 0.1 0.0 20.6 -40.3
pair MACDhist RSI pos-neg 70 29.5 0.7 67.1 0.1 0.1 0.0 20.6 -40.3
pair RSIhist SLmean pos-neg 40 16.9 0.7 55.0 0.1 0.2 0.0 17.3 -22.0
pair SLmean RSIhist pos-neg 40 16.9 0.7 55.0 0.1 0.2 0.0 17.3 -22.0
pair MACDhist LWTI neg-neg 22 9.3 0.6 54.5 0.2 0.3 0.0 34.6 -44.6
pair LWTI MACDhist neg-neg 22 9.3 0.6 54.5 0.2 0.3 0.0 34.6 -44.6
pair MACD RSIhist neg-neg 28 11.8 -2.5 57.1 0.1 0.1 -0.1 29.2 -40.8
pair RSIhist MACD neg-neg 28 11.8 -2.5 57.1 0.1 0.1 -0.1 29.2 -40.8
pair RSI MRmean neg-pos 28 11.8 -4.9 64.3 -0.0 -0.0 -0.1 27.3 -42.5
pair MRmean RSI neg-pos 28 11.8 -4.9 64.3 -0.0 -0.0 -0.1 27.3 -42.5
pair LWTI MRmean neg-neg 17 7.2 -5.1 52.9 0.0 0.1 -0.1 38.2 -44.6
pair MRmean LWTI neg-neg 17 7.2 -5.1 52.9 0.0 0.1 -0.1 38.2 -44.6
pair LWTI SLmean neg-neg 13 5.5 -15.2 46.2 -0.2 -0.4 -0.3 42.7 -44.6
pair SLmean LWTI neg-neg 13 5.5 -15.2 46.2 -0.2 -0.4 -0.3 42.7 -44.6
pair LWTI RSIhist neg-neg 14 5.9 -17.8 42.9 -0.3 -0.6 -0.4 41.2 -44.6
pair RSIhist LWTI neg-neg 14 5.9 -17.8 42.9 -0.3 -0.6 -0.4 41.2 -44.6
pair LWTI RSI pos-neg 5 2.1 -30.8 40.0 -1.1 -2.2 -3.3 30.4 -9.4
pair RSI LWTI pos-neg 5 2.1 -30.8 40.0 -1.1 -2.2 -3.3 30.4 -9.4
pair MACD LWTI pos-neg 3 1.3 -63.8 33.3 -2.5 -34.7 -2.5 37.0 -25.8
pair LWTI MACD pos-neg 3 1.3 -63.8 33.3 -2.5 -34.7 -2.5 37.0 -25.8

All Contingency Tables for ITA

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 62%
Sharpe 0.78 | Sortino 1.06 | Calmar 0.4
Vol 16% | MDD -27.4%
Months 166M (70%)
CAGR 33.2% | Win 69%
Sharpe 1.56 | Sortino 3.26 | Calmar 5.4
Vol 20% | MDD -6.2%
Months 13M (6%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 58.3% | Win 80%
Sharpe 2.57 | Sortino 0.00 | Calmar 11.8
Vol 19% | MDD -4.9%
Months 5M (2%)
CAGR 12.1% | Win 68%
Sharpe 0.53 | Sortino 0.64 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 53M (22%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
SLmean
only
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 62%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 171M (72%)
CAGR 25.4% | Win 75%
Sharpe 1.87 | Sortino 4.25 | Calmar 5.9
Vol 13% | MDD -4.3%
Months 8M (3%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 12.4% | Win 64%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.3
Vol 33% | MDD -44.6%
Months 45M (19%)
CAGR 26.9% | Win 85%
Sharpe 2.97 | Sortino 7.81 | Calmar 40.7
Vol 8% | MDD -0.7%
Months 13M (6%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
RSmean
only
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.3% | Win 62%
Sharpe 0.91 | Sortino 1.35 | Calmar 0.5
Vol 15% | MDD -24.8%
Months 157M (66%)
CAGR 11.8% | Win 64%
Sharpe 0.62 | Sortino 0.77 | Calmar 0.4
Vol 22% | MDD -27.1%
Months 22M (9%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 10.0% | Win 68%
Sharpe 0.46 | Sortino 0.53 | Calmar 0.4
Vol 33% | MDD -28.0%
Months 28M (12%)
CAGR 20.9% | Win 70%
Sharpe 0.86 | Sortino 1.16 | Calmar 0.8
Vol 26% | MDD -25.3%
Months 30M (13%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
MACD
only
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.9% | Win 62%
Sharpe 0.79 | Sortino 1.09 | Calmar 0.4
Vol 16% | MDD -29.8%
Months 175M (74%)
CAGR 77.5% | Win 75%
Sharpe 3.47 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 4M (2%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR -4.9% | Win 64%
Sharpe -0.04 | Sortino -0.04 | Calmar -0.1
Vol 27% | MDD -42.5%
Months 28M (12%)
CAGR 38.5% | Win 73%
Sharpe 1.22 | Sortino 1.76 | Calmar 1.1
Vol 31% | MDD -36.0%
Months 30M (13%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
RSI
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 14.6% | Win 60%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.5
Vol 16% | MDD -26.8%
Months 129M (54%)
CAGR 9.3% | Win 68%
Sharpe 0.66 | Sortino 0.73 | Calmar 0.3
Vol 16% | MDD -27.1%
Months 50M (21%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 45.9% | Win 67%
Sharpe 1.98 | Sortino 3.08 | Calmar 7.7
Vol 20% | MDD -6.0%
Months 6M (2%)
CAGR 12.4% | Win 69%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 52M (22%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
MACDhist
only
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 14.6% | Win 64%
Sharpe 0.96 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -27.0%
Months 129M (54%)
CAGR 9.3% | Win 60%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.4
Vol 18% | MDD -22.0%
Months 50M (21%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 73.3% | Win 100%
Sharpe 8.14 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 6M (2%)
CAGR 10.2% | Win 65%
Sharpe 0.47 | Sortino 0.59 | Calmar 0.2
Vol 31% | MDD -44.6%
Months 52M (22%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 63%
Sharpe 0.82 | Sortino 1.12 | Calmar 0.5
Vol 16% | MDD -25.2%
Months 171M (72%)
CAGR 31.2% | Win 62%
Sharpe 1.32 | Sortino 4.10 | Calmar 5.0
Vol 22% | MDD -6.2%
Months 8M (3%)
CAGR 13.1% | Win 63%
Sharpe 0.85 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -27.1%
Months 179M (76%)
MRmean
neg
CAGR 25.2% | Win 76%
Sharpe 1.03 | Sortino 0.93 | Calmar 0.9
Vol 25% | MDD -28.0%
Months 41M (17%)
CAGR -5.1% | Win 53%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.1
Vol 38% | MDD -44.6%
Months 17M (7%)
CAGR 15.5% | Win 69%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.3
Vol 30% | MDD -44.6%
Months 58M (24%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.2% | Win 62%
Sharpe 0.81 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -33.5%
Months 163M (69%)
CAGR 25.4% | Win 75%
Sharpe 1.87 | Sortino 4.25 | Calmar 5.9
Vol 13% | MDD -4.3%
Months 8M (3%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 13.4% | Win 64%
Sharpe 0.56 | Sortino 0.75 | Calmar 0.3
Vol 32% | MDD -44.6%
Months 53M (22%)
CAGR 26.9% | Win 85%
Sharpe 2.97 | Sortino 7.81 | Calmar 40.7
Vol 8% | MDD -0.7%
Months 13M (6%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
RSmean
only
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 62%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.3
Vol 15% | MDD -35.9%
Months 145M (61%)
CAGR 15.3% | Win 65%
Sharpe 0.78 | Sortino 1.00 | Calmar 0.6
Vol 21% | MDD -25.2%
Months 26M (11%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 14.3% | Win 68%
Sharpe 0.61 | Sortino 0.70 | Calmar 0.5
Vol 30% | MDD -31.0%
Months 40M (17%)
CAGR 18.6% | Win 69%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.7
Vol 27% | MDD -25.3%
Months 26M (11%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
MACD
only
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 62%
Sharpe 0.75 | Sortino 1.01 | Calmar 0.3
Vol 16% | MDD -32.3%
Months 163M (69%)
CAGR 55.8% | Win 75%
Sharpe 2.72 | Sortino 7.75 | Calmar 11.3
Vol 17% | MDD -4.9%
Months 8M (3%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 3.2% | Win 65%
Sharpe 0.26 | Sortino 0.27 | Calmar 0.1
Vol 25% | MDD -29.2%
Months 40M (17%)
CAGR 38.7% | Win 73%
Sharpe 1.18 | Sortino 1.69 | Calmar 1.1
Vol 33% | MDD -36.0%
Months 26M (11%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
RSI
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.5% | Win 59%
Sharpe 0.82 | Sortino 1.24 | Calmar 0.3
Vol 16% | MDD -37.6%
Months 119M (50%)
CAGR 13.5% | Win 71%
Sharpe 0.88 | Sortino 1.00 | Calmar 0.5
Vol 16% | MDD -25.2%
Months 52M (22%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 44.0% | Win 75%
Sharpe 1.97 | Sortino 3.87 | Calmar 3.7
Vol 20% | MDD -11.8%
Months 16M (7%)
CAGR 8.2% | Win 66%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 31% | MDD -44.6%
Months 50M (21%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
MACDhist
only
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 16.8% | Win 65%
Sharpe 1.10 | Sortino 1.55 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 131M (55%)
CAGR 0.7% | Win 55%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 17% | MDD -22.0%
Months 40M (17%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 15.3% | Win 75%
Sharpe 0.78 | Sortino 0.00 | Calmar 2.2
Vol 20% | MDD -7.0%
Months 4M (2%)
CAGR 16.0% | Win 68%
Sharpe 0.66 | Sortino 0.80 | Calmar 0.4
Vol 29% | MDD -44.6%
Months 62M (26%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 62%
Sharpe 0.78 | Sortino 1.03 | Calmar 0.3
Vol 15% | MDD -35.9%
Months 159M (67%)
CAGR 33.0% | Win 67%
Sharpe 1.51 | Sortino 5.22 | Calmar 4.0
Vol 20% | MDD -8.2%
Months 12M (5%)
CAGR 12.8% | Win 63%
Sharpe 0.84 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -31.0%
Months 171M (72%)
SLmean
neg
CAGR 25.2% | Win 74%
Sharpe 1.07 | Sortino 1.06 | Calmar 0.9
Vol 24% | MDD -28.0%
Months 53M (22%)
CAGR -15.2% | Win 46%
Sharpe -0.19 | Sortino -0.38 | Calmar -0.3
Vol 43% | MDD -44.6%
Months 13M (6%)
CAGR 16.0% | Win 68%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.4
Vol 28% | MDD -44.6%
Months 66M (28%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 12.3% | Win 63%
Sharpe 0.71 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 176M (74%)
CAGR 13.2% | Win 60%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.3
Vol 27% | MDD -42.6%
Months 40M (17%)
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
RSmean
neg
CAGR 21.3% | Win 67%
Sharpe 1.65 | Sortino 3.17 | Calmar 5.0
Vol 12% | MDD -4.3%
Months 9M (4%)
CAGR 30.3% | Win 92%
Sharpe 3.37 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 12M (5%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
MACD
only
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 61%
Sharpe 0.49 | Sortino 0.58 | Calmar 0.2
Vol 18% | MDD -47.7%
Months 186M (78%)
CAGR 48.5% | Win 73%
Sharpe 1.44 | Sortino 2.13 | Calmar 1.3
Vol 31% | MDD -36.0%
Months 30M (13%)
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
RSmean
neg
CAGR 32.0% | Win 82%
Sharpe 2.81 | Sortino 4.51 | Calmar 7.5
Vol 10% | MDD -4.3%
Months 17M (7%)
CAGR 4.9% | Win 75%
Sharpe 0.78 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 4M (2%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
RSI
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.6% | Win 61%
Sharpe 0.96 | Sortino 1.50 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 132M (56%)
CAGR 7.9% | Win 66%
Sharpe 0.42 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -53.8%
Months 84M (35%)
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
RSmean
neg
CAGR 27.4% | Win 67%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 3M (1%)
CAGR 26.2% | Win 83%
Sharpe 2.44 | Sortino 5.18 | Calmar 6.1
Vol 10% | MDD -4.3%
Months 18M (8%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
MACDhist
only
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 15.1% | Win 64%
Sharpe 0.99 | Sortino 1.41 | Calmar 0.5
Vol 16% | MDD -32.5%
Months 129M (54%)
CAGR 8.8% | Win 61%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.2
Vol 27% | MDD -51.8%
Months 87M (37%)
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
RSmean
neg
CAGR 58.5% | Win 100%
Sharpe 6.12 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 6M (2%)
CAGR 15.4% | Win 73%
Sharpe 1.57 | Sortino 2.84 | Calmar 3.6
Vol 10% | MDD -4.3%
Months 15M (6%)
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 13.5% | Win 63%
Sharpe 0.78 | Sortino 0.94 | Calmar 0.4
Vol 19% | MDD -37.0%
Months 191M (81%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
CAGR 12.5% | Win 62%
Sharpe 0.68 | Sortino 0.85 | Calmar 0.2
Vol 21% | MDD -53.8%
Months 216M (91%)
RSmean
neg
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
-
CAGR 26.3% | Win 81%
Sharpe 2.46 | Sortino 4.61 | Calmar 6.2
Vol 10% | MDD -4.3%
Months 21M (9%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 62%
Sharpe 0.57 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -48.9%
Months 174M (73%)
CAGR 95.4% | Win 91%
Sharpe 2.60 | Sortino 0.00 | Calmar 6.6
Vol 28% | MDD -14.4%
Months 11M (5%)
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
MACD
neg
CAGR 12.6% | Win 69%
Sharpe 0.72 | Sortino 0.81 | Calmar 0.5
Vol 19% | MDD -28.0%
Months 29M (12%)
CAGR 22.6% | Win 65%
Sharpe 0.83 | Sortino 1.24 | Calmar 0.9
Vol 30% | MDD -25.3%
Months 23M (10%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
RSI
only
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 13.7% | Win 60%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.6
Vol 16% | MDD -24.8%
Months 128M (54%)
CAGR 10.6% | Win 70%
Sharpe 0.55 | Sortino 0.54 | Calmar 0.4
Vol 24% | MDD -28.0%
Months 57M (24%)
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
MACD
neg
CAGR 61.8% | Win 71%
Sharpe 2.62 | Sortino 3.59 | Calmar 136.8
Vol 19% | MDD -0.5%
Months 7M (3%)
CAGR 11.2% | Win 67%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.3
Vol 25% | MDD -42.6%
Months 45M (19%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
MACDhist
only
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.4% | Win 62%
Sharpe 0.80 | Sortino 1.07 | Calmar 0.3
Vol 15% | MDD -35.3%
Months 111M (47%)
CAGR 14.8% | Win 65%
Sharpe 0.71 | Sortino 0.81 | Calmar 0.5
Vol 24% | MDD -28.0%
Months 74M (31%)
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
MACD
neg
CAGR 44.7% | Win 79%
Sharpe 2.52 | Sortino 4.57 | Calmar 7.2
Vol 15% | MDD -6.2%
Months 24M (10%)
CAGR -2.5% | Win 57%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 29% | MDD -40.8%
Months 28M (12%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 14.9% | Win 64%
Sharpe 0.86 | Sortino 1.05 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 182M (77%)
CAGR -63.8% | Win 33%
Sharpe -2.50 | Sortino -34.74 | Calmar -2.5
Vol 37% | MDD -25.8%
Months 3M (1%)
CAGR 12.7% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -37.0%
Months 185M (78%)
MACD
neg
CAGR 13.6% | Win 73%
Sharpe 0.84 | Sortino 0.78 | Calmar 0.6
Vol 17% | MDD -23.2%
Months 30M (13%)
CAGR 21.8% | Win 59%
Sharpe 0.77 | Sortino 1.39 | Calmar 1.0
Vol 32% | MDD -21.4%
Months 22M (9%)
CAGR 17.0% | Win 67%
Sharpe 0.77 | Sortino 1.04 | Calmar 0.4
Vol 24% | MDD -42.6%
Months 52M (22%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 14.3% | Win 60%
Sharpe 0.91 | Sortino 1.40 | Calmar 0.6
Vol 16% | MDD -22.8%
Months 133M (56%)
CAGR 0.7% | Win 67%
Sharpe 0.15 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -40.3%
Months 70M (30%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
RSI
neg
CAGR 174.7% | Win 100%
Sharpe 15.81 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 36.9% | Win 72%
Sharpe 1.21 | Sortino 1.73 | Calmar 1.0
Vol 30% | MDD -36.0%
Months 32M (14%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
MACDhist
only
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.9% | Win 64%
Sharpe 0.94 | Sortino 1.30 | Calmar 0.4
Vol 15% | MDD -31.7%
Months 128M (54%)
CAGR 2.1% | Win 60%
Sharpe 0.21 | Sortino 0.23 | Calmar 0.1
Vol 22% | MDD -35.0%
Months 75M (32%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
RSI
neg
CAGR 81.0% | Win 86%
Sharpe 4.82 | Sortino 0.00 | Calmar 32.6
Vol 13% | MDD -2.5%
Months 7M (3%)
CAGR 34.0% | Win 70%
Sharpe 1.07 | Sortino 1.63 | Calmar 0.9
Vol 32% | MDD -36.0%
Months 27M (11%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.7% | Win 63%
Sharpe 0.68 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -48.9%
Months 198M (84%)
CAGR -30.8% | Win 40%
Sharpe -1.07 | Sortino -2.24 | Calmar -3.3
Vol 30% | MDD -9.4%
Months 5M (2%)
CAGR 9.4% | Win 63%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.2
Vol 18% | MDD -46.1%
Months 203M (86%)
RSI
neg
CAGR 89.3% | Win 93%
Sharpe 3.53 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 14M (6%)
CAGR 16.9% | Win 60%
Sharpe 0.62 | Sortino 1.02 | Calmar 0.5
Vol 34% | MDD -36.0%
Months 20M (8%)
CAGR 42.6% | Win 74%
Sharpe 1.36 | Sortino 1.93 | Calmar 1.2
Vol 30% | MDD -36.0%
Months 34M (14%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.4% | Win 59%
Sharpe 0.81 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -35.4%
Months 106M (45%)
CAGR 28.9% | Win 66%
Sharpe 1.59 | Sortino 3.39 | Calmar 2.3
Vol 17% | MDD -12.7%
Months 29M (12%)
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
MACDhist
neg
CAGR 33.7% | Win 86%
Sharpe 2.74 | Sortino 3.69 | Calmar 5.7
Vol 11% | MDD -6.0%
Months 29M (12%)
CAGR 2.9% | Win 62%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 73M (31%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
RSIhist
only
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 15.2% | Win 61%
Sharpe 0.96 | Sortino 1.47 | Calmar 0.6
Vol 16% | MDD -24.8%
Months 132M (56%)
CAGR 46.7% | Win 67%
Sharpe 1.43 | Sortino 0.00 | Calmar 0.0
Vol 29% | MDD 0.0%
Months 3M (1%)
CAGR 15.8% | Win 61%
Sharpe 0.98 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -22.8%
Months 135M (57%)
MACDhist
neg
CAGR 13.9% | Win 72%
Sharpe 0.74 | Sortino 0.69 | Calmar 0.5
Vol 21% | MDD -28.0%
Months 80M (34%)
CAGR 0.6% | Win 55%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 35% | MDD -44.6%
Months 22M (9%)
CAGR 10.9% | Win 69%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 102M (43%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 14.5% | Win 64%
Sharpe 0.99 | Sortino 1.34 | Calmar 0.4
Vol 15% | MDD -35.3%
Months 124M (52%)
CAGR 44.2% | Win 73%
Sharpe 2.00 | Sortino 5.39 | Calmar 7.1
Vol 20% | MDD -6.2%
Months 11M (5%)
CAGR 16.7% | Win 65%
Sharpe 1.09 | Sortino 1.54 | Calmar 0.6
Vol 15% | MDD -27.0%
Months 135M (57%)
RSIhist
neg
CAGR 14.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.5
Vol 22% | MDD -28.0%
Months 88M (37%)
CAGR -17.8% | Win 43%
Sharpe -0.28 | Sortino -0.57 | Calmar -0.4
Vol 41% | MDD -44.6%
Months 14M (6%)
CAGR 9.7% | Win 63%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -52.3%
Months 102M (43%)
LWTI
only
CAGR 14.7% | Win 65%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -37.0%
Months 212M (90%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -44.6%
Months 25M (10%)