IXC - iShares Global Energy ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

58.2%

Best CAGR

83

Total Months

6.6%

Avg CAGR

IXC 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 IXC

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 LWTI pos-neg 4 1.4 58.2 75.0 1.8 0.0 0.0 26.7 0.0
pair LWTI MACDhist pos-neg 4 1.4 58.2 75.0 1.8 0.0 0.0 26.7 0.0
pair MACD RSmean neg-pos 5 1.7 42.3 100.0 8.1 0.0 0.0 4.4 0.0
pair RSmean MACD neg-pos 5 1.7 42.3 100.0 8.1 0.0 0.0 4.4 0.0
pair MACDhist RSmean neg-pos 2 0.7 39.9 50.0 1.2 0.0 0.0 29.1 0.0
pair RSmean MACDhist neg-pos 2 0.7 39.9 50.0 1.2 0.0 0.0 29.1 0.0
pair RSI MRmean pos-neg 18 6.2 37.2 77.8 1.9 5.4 7.4 17.4 -5.0
pair MRmean RSI pos-neg 18 6.2 37.2 77.8 1.9 5.4 7.4 17.4 -5.0
pair RSI RSIhist neg-pos 18 6.2 35.6 77.8 1.9 5.1 6.8 17.3 -5.2
pair RSIhist RSI neg-pos 18 6.2 35.6 77.8 1.9 5.1 6.8 17.3 -5.2
pair MACDhist RSI neg-pos 14 4.8 33.7 64.3 1.5 3.9 4.8 20.8 -7.0
pair RSI MACDhist neg-pos 14 4.8 33.7 64.3 1.5 3.9 4.8 20.8 -7.0
pair MRmean SLmean pos-neg 20 6.9 31.7 70.0 1.4 2.6 3.0 21.3 -10.6
pair SLmean MRmean pos-neg 20 6.9 31.7 70.0 1.4 2.6 3.0 21.3 -10.6
pair SLmean RSI pos-neg 23 7.9 30.3 69.6 1.6 4.6 3.4 17.8 -9.0
pair RSI SLmean pos-neg 23 7.9 30.3 69.6 1.6 4.6 3.4 17.8 -9.0
pair MRmean RSIhist pos-neg 53 18.2 26.0 67.9 1.3 2.3 1.8 19.2 -14.6
pair RSIhist MRmean pos-neg 53 18.2 26.0 67.9 1.3 2.3 1.8 19.2 -14.6
pair SLmean RSIhist neg-pos 3 1.0 24.0 100.0 3.4 0.0 0.0 6.5 0.0
pair RSIhist SLmean neg-pos 3 1.0 24.0 100.0 3.4 0.0 0.0 6.5 0.0
pair SLmean RSIhist pos-neg 41 14.1 19.0 65.9 1.1 1.7 1.1 17.9 -17.0
pair RSIhist SLmean pos-neg 41 14.1 19.0 65.9 1.1 1.7 1.1 17.9 -17.0
pair MACDhist SLmean neg-pos 24 8.2 19.0 62.5 0.9 1.5 0.9 23.5 -20.3
pair SLmean MACDhist neg-pos 24 8.2 19.0 62.5 0.9 1.5 0.9 23.5 -20.3
pair MRmean RSIhist neg-pos 3 1.0 16.8 66.7 0.8 0.0 3.2 20.2 -5.2
pair RSIhist MRmean neg-pos 3 1.0 16.8 66.7 0.8 0.0 3.2 20.2 -5.2
pair MRmean MACD pos-neg 48 16.5 16.6 66.7 0.9 1.6 1.0 18.7 -16.2
pair MACD MRmean pos-neg 48 16.5 16.6 66.7 0.9 1.6 1.0 18.7 -16.2
pair MACD RSIhist neg-pos 48 16.5 16.1 66.7 0.9 1.5 0.9 18.6 -17.9
pair RSIhist MACD neg-pos 48 16.5 16.1 66.7 0.9 1.5 0.9 18.6 -17.9
pair MACD SLmean pos-neg 50 17.2 15.4 62.0 0.8 1.6 0.9 19.2 -16.9
pair SLmean MACD pos-neg 50 17.2 15.4 62.0 0.8 1.6 0.9 19.2 -16.9
pair MACDhist MRmean pos-neg 69 23.7 15.4 63.8 1.0 1.5 1.0 15.6 -15.7
pair MRmean MACDhist pos-neg 69 23.7 15.4 63.8 1.0 1.5 1.0 15.6 -15.7
pair RSIhist MACDhist pos-neg 42 14.4 15.4 59.5 0.7 1.4 0.6 22.7 -24.8
pair MACDhist RSIhist pos-neg 42 14.4 15.4 59.5 0.7 1.4 0.6 22.7 -24.8
pair MACD MACDhist neg-pos 36 12.4 14.0 61.1 0.8 1.4 0.8 18.9 -17.5
pair MACDhist MACD neg-pos 36 12.4 14.0 61.1 0.8 1.4 0.8 18.9 -17.5
pair RSmean MRmean pos-pos 195 67.0 14.0 62.6 0.8 1.2 0.6 19.4 -22.6
pair MRmean RSmean pos-pos 195 67.0 14.0 62.6 0.8 1.2 0.6 19.4 -22.6
pair LWTI MRmean pos-pos 180 61.9 13.4 62.8 0.8 1.1 0.5 19.4 -24.7
pair MRmean LWTI pos-pos 180 61.9 13.4 62.8 0.8 1.1 0.5 19.4 -24.7
single MRmean MRmean pos-pos 200 68.7 13.3 62.5 0.7 1.2 0.6 19.4 -22.6
pair RSIhist LWTI neg-pos 103 35.4 12.6 61.2 0.7 0.9 0.3 22.0 -41.8
pair MACD RSmean pos-neg 88 30.2 12.6 60.2 0.6 0.8 0.4 26.0 -35.1
pair RSmean MACD pos-neg 88 30.2 12.6 60.2 0.6 0.8 0.4 26.0 -35.1
pair LWTI RSIhist neg-pos 103 35.4 12.6 61.2 0.7 0.9 0.3 22.0 -41.8
pair LWTI MRmean pos-neg 20 6.9 12.5 60.0 0.7 1.5 1.3 19.3 -9.4
pair MACDhist SLmean pos-neg 70 24.1 12.5 62.9 0.8 1.2 0.8 15.9 -15.7
pair MRmean LWTI pos-neg 20 6.9 12.5 60.0 0.7 1.5 1.3 19.3 -9.4
pair SLmean MACDhist pos-neg 70 24.1 12.5 62.9 0.8 1.2 0.8 15.9 -15.7
pair MACDhist MRmean pos-pos 131 45.0 12.3 61.8 0.7 1.1 0.4 21.2 -32.0
pair MRmean MACD pos-pos 152 52.2 12.3 61.2 0.7 1.1 0.6 19.6 -19.3
pair MRmean MACDhist pos-pos 131 45.0 12.3 61.8 0.7 1.1 0.4 21.2 -32.0
pair MACD MRmean pos-pos 152 52.2 12.3 61.2 0.7 1.1 0.6 19.6 -19.3
pair RSI RSIhist pos-neg 76 26.1 12.2 61.8 0.7 0.9 0.3 21.1 -38.8
pair RSIhist RSI pos-neg 76 26.1 12.2 61.8 0.7 0.9 0.3 21.1 -38.8
pair SLmean RSmean pos-pos 183 62.9 11.7 61.2 0.7 1.1 0.3 19.2 -36.3
pair RSmean LWTI pos-pos 213 73.2 11.7 61.0 0.6 0.9 0.2 20.6 -49.8
pair RSmean SLmean pos-pos 183 62.9 11.7 61.2 0.7 1.1 0.3 19.2 -36.3
pair LWTI RSmean pos-pos 213 73.2 11.7 61.0 0.6 0.9 0.2 20.6 -49.8
single MACDhist MACDhist pos-pos 142 48.8 11.6 60.6 0.6 1.0 0.4 21.3 -29.0
pair LWTI SLmean pos-pos 165 56.7 11.5 61.8 0.7 1.0 0.3 19.0 -32.9
pair SLmean LWTI pos-pos 165 56.7 11.5 61.8 0.7 1.0 0.3 19.0 -32.9
pair MRmean SLmean pos-pos 180 61.9 11.5 61.7 0.7 1.0 0.4 19.2 -32.0
pair SLmean MRmean pos-pos 180 61.9 11.5 61.7 0.7 1.0 0.4 19.2 -32.0
pair LWTI RSI pos-pos 199 68.4 11.3 61.3 0.6 0.9 0.3 19.9 -35.8
pair RSI LWTI pos-pos 199 68.4 11.3 61.3 0.6 0.9 0.3 19.9 -35.8
pair RSmean MACDhist pos-pos 140 48.1 11.3 60.7 0.6 1.0 0.4 21.3 -29.0
pair MACDhist RSmean pos-pos 140 48.1 11.3 60.7 0.6 1.0 0.4 21.3 -29.0
pair MACD LWTI pos-pos 179 61.5 11.3 61.5 0.6 0.9 0.2 20.8 -49.9
pair LWTI MACD pos-pos 179 61.5 11.3 61.5 0.6 0.9 0.2 20.8 -49.9
pair MACD RSIhist pos-neg 85 29.2 11.2 61.2 0.6 0.8 0.2 22.6 -46.3
pair RSIhist MACD pos-neg 85 29.2 11.2 61.2 0.6 0.8 0.2 22.6 -46.3
pair MRmean RSI pos-pos 182 62.5 11.2 61.0 0.6 1.0 0.5 19.5 -25.0
pair RSI MRmean pos-pos 182 62.5 11.2 61.0 0.6 1.0 0.5 19.5 -25.0
pair MACDhist LWTI neg-pos 95 32.6 11.1 62.1 0.6 0.8 0.3 19.7 -32.4
pair LWTI MACDhist neg-pos 95 32.6 11.1 62.1 0.6 0.8 0.3 19.7 -32.4
single SLmean SLmean pos-pos 188 64.6 11.1 61.2 0.7 1.0 0.3 19.2 -32.0
pair MACD MACDhist pos-pos 106 36.4 10.9 60.4 0.6 0.9 0.3 22.2 -31.5
pair MACDhist MACD pos-pos 106 36.4 10.9 60.4 0.6 0.9 0.3 22.2 -31.5
single LWTI LWTI pos-pos 233 80.1 10.7 60.9 0.6 0.9 0.2 20.5 -49.8
pair LWTI MACDhist pos-pos 138 47.4 10.5 60.1 0.6 0.9 0.4 21.2 -29.0
pair MACDhist LWTI pos-pos 138 47.4 10.5 60.1 0.6 0.9 0.4 21.2 -29.0
pair RSmean RSIhist pos-pos 147 50.5 10.4 61.2 0.6 0.9 0.3 19.3 -37.3
pair RSIhist RSmean pos-pos 147 50.5 10.4 61.2 0.6 0.9 0.3 19.3 -37.3
pair MACD RSI neg-neg 67 23.0 10.3 58.2 0.5 0.7 0.2 28.6 -43.2
pair RSI MACD neg-neg 67 23.0 10.3 58.2 0.5 0.7 0.2 28.6 -43.2
pair MACDhist SLmean pos-pos 118 40.5 10.2 60.2 0.6 0.9 0.3 20.9 -32.9
pair SLmean MACDhist pos-pos 118 40.5 10.2 60.2 0.6 0.9 0.3 20.9 -32.9
pair RSIhist MACDhist pos-pos 100 34.4 10.1 61.0 0.6 0.9 0.3 20.8 -32.0
pair MACDhist RSIhist pos-pos 100 34.4 10.1 61.0 0.6 0.9 0.3 20.8 -32.0
pair RSI MACDhist pos-pos 128 44.0 9.5 60.2 0.5 0.8 0.3 21.4 -30.6
pair MACDhist RSI pos-pos 128 44.0 9.5 60.2 0.5 0.8 0.3 21.4 -30.6
pair MACD SLmean pos-pos 138 47.4 9.5 60.9 0.6 0.8 0.3 19.2 -32.0
pair SLmean MACD pos-pos 138 47.4 9.5 60.9 0.6 0.8 0.3 19.2 -32.0
pair RSmean RSI pos-neg 75 25.8 9.4 56.0 0.5 0.7 0.3 29.0 -34.6
pair RSI RSmean pos-neg 75 25.8 9.4 56.0 0.5 0.7 0.3 29.0 -34.6
pair MACD RSI pos-pos 171 58.8 9.4 60.2 0.6 0.8 0.2 20.2 -43.5
pair RSI MACD pos-pos 171 58.8 9.4 60.2 0.6 0.8 0.2 20.2 -43.5
pair LWTI RSIhist pos-pos 130 44.7 9.3 60.8 0.6 0.8 0.3 19.4 -36.2
pair RSIhist LWTI pos-pos 130 44.7 9.3 60.8 0.6 0.8 0.3 19.4 -36.2
single RSmean RSmean pos-pos 270 92.8 9.2 58.9 0.5 0.7 0.2 22.9 -51.5
single RSIhist RSIhist pos-pos 150 51.5 9.2 60.7 0.6 0.8 0.3 19.3 -36.2
pair RSIhist MRmean pos-pos 147 50.5 9.1 60.5 0.6 0.8 0.2 19.4 -36.2
pair MRmean RSIhist pos-pos 147 50.5 9.1 60.5 0.6 0.8 0.2 19.4 -36.2
pair RSmean RSI pos-pos 195 67.0 9.1 60.0 0.5 0.8 0.2 20.1 -47.7
pair RSI RSmean pos-pos 195 67.0 9.1 60.0 0.5 0.8 0.2 20.1 -47.7
pair SLmean LWTI neg-pos 68 23.4 9.0 58.8 0.5 0.7 0.2 24.1 -37.8
pair LWTI SLmean neg-pos 68 23.4 9.0 58.8 0.5 0.7 0.2 24.1 -37.8
pair SLmean RSIhist pos-pos 147 50.5 8.9 59.9 0.5 0.8 0.2 19.5 -36.2
pair RSIhist SLmean pos-pos 147 50.5 8.9 59.9 0.5 0.8 0.2 19.5 -36.2
pair LWTI RSIhist pos-neg 20 6.9 8.8 60.0 0.5 1.3 0.7 19.7 -13.4
pair RSIhist LWTI pos-neg 20 6.9 8.8 60.0 0.5 1.3 0.7 19.7 -13.4
pair MACD LWTI neg-pos 54 18.6 8.8 59.3 0.5 0.8 0.5 19.8 -19.5
pair LWTI MACD neg-pos 54 18.6 8.8 59.3 0.5 0.8 0.5 19.8 -19.5
pair RSI SLmean pos-pos 165 56.7 8.6 60.0 0.5 0.8 0.3 19.3 -33.2
pair SLmean RSI pos-pos 165 56.7 8.6 60.0 0.5 0.8 0.3 19.3 -33.2
single MACD MACD pos-pos 187 64.3 8.4 59.4 0.5 0.7 0.2 21.0 -49.9
single RSI RSI pos-pos 208 71.5 8.3 59.6 0.5 0.7 0.2 20.1 -52.3
pair benchmark___benchmark_ benchmark-benchmark 291 100.0 8.2 58.8 0.5 0.7 0.1 22.7 -59.6
pair benchmark___benchmark_ benchmark-benchmark 291 100.0 8.2 58.8 0.5 0.7 0.1 22.7 -59.6
pair LWTI SLmean pos-neg 23 7.9 8.2 56.5 0.5 1.1 0.5 20.7 -17.0
pair SLmean LWTI pos-neg 23 7.9 8.2 56.5 0.5 1.1 0.5 20.7 -17.0
pair LWTI RSI neg-neg 49 16.8 8.2 55.1 0.4 0.6 0.2 31.3 -37.9
pair RSI LWTI neg-neg 49 16.8 8.2 55.1 0.4 0.6 0.2 31.3 -37.9
single RSI RSI neg-neg 83 28.5 7.9 56.6 0.4 0.6 0.2 28.5 -43.2
single MACD MACD neg-neg 104 35.7 7.8 57.7 0.4 0.6 0.2 25.7 -48.6
pair RSmean RSIhist pos-neg 123 42.3 7.8 56.1 0.4 0.6 0.1 26.6 -52.1
pair RSIhist RSmean pos-neg 123 42.3 7.8 56.1 0.4 0.6 0.1 26.6 -52.1
pair LWTI RSI neg-pos 34 11.7 7.6 58.8 0.4 0.6 0.3 24.3 -25.7
pair RSI LWTI neg-pos 34 11.7 7.6 58.8 0.4 0.6 0.3 24.3 -25.7
pair MACD RSmean pos-pos 182 62.5 7.6 58.2 0.5 0.7 0.1 21.2 -49.9
pair RSmean MACD pos-pos 182 62.5 7.6 58.2 0.5 0.7 0.1 21.2 -49.9
pair RSIhist MACDhist neg-pos 50 17.2 7.5 60.0 0.5 0.8 0.3 16.2 -24.5
pair MACDhist RSIhist neg-pos 50 17.2 7.5 60.0 0.5 0.8 0.3 16.2 -24.5
single RSIhist RSIhist neg-neg 141 48.5 7.1 56.7 0.4 0.6 0.1 26.0 -53.0
pair MACDhist RSmean pos-neg 130 44.7 7.0 56.9 0.4 0.5 0.1 24.5 -47.5
pair RSmean MACDhist pos-neg 130 44.7 7.0 56.9 0.4 0.5 0.1 24.5 -47.5
pair SLmean RSI neg-pos 43 14.8 6.9 58.1 0.4 0.6 0.2 23.0 -40.2
pair RSI SLmean neg-pos 43 14.8 6.9 58.1 0.4 0.6 0.2 23.0 -40.2
pair MACD LWTI neg-neg 50 17.2 6.6 56.0 0.4 0.5 0.1 31.0 -43.4
pair LWTI MACD neg-neg 50 17.2 6.6 56.0 0.4 0.5 0.1 31.0 -43.4
pair MACDhist RSI pos-neg 80 27.5 6.4 58.8 0.4 0.6 0.2 17.9 -36.2
pair RSI MACDhist pos-neg 80 27.5 6.4 58.8 0.4 0.6 0.2 17.9 -36.2
pair RSIhist RSI pos-pos 132 45.4 6.1 58.3 0.4 0.6 0.2 19.5 -36.2
pair MACD RSIhist pos-pos 102 35.1 6.1 57.8 0.4 0.6 0.2 19.7 -36.2
pair RSIhist MACD pos-pos 102 35.1 6.1 57.8 0.4 0.6 0.2 19.7 -36.2
pair RSI RSIhist pos-pos 132 45.4 6.1 58.3 0.4 0.6 0.2 19.5 -36.2
pair MACD MACDhist pos-neg 81 27.8 5.3 58.0 0.4 0.5 0.2 19.5 -33.5
pair MACDhist MACD pos-neg 81 27.8 5.3 58.0 0.4 0.5 0.2 19.5 -33.5
pair SLmean MACD neg-pos 49 16.8 5.2 55.1 0.3 0.5 0.1 25.6 -48.4
pair MACD SLmean neg-pos 49 16.8 5.2 55.1 0.3 0.5 0.1 25.6 -48.4
single MACDhist MACDhist neg-neg 149 51.2 5.0 57.0 0.3 0.4 0.1 24.1 -57.2
pair MACD MACDhist neg-neg 68 23.4 4.6 55.9 0.3 0.4 0.1 28.7 -50.2
pair MACDhist MACD neg-neg 68 23.4 4.6 55.9 0.3 0.4 0.1 28.7 -50.2
pair MACDhist MRmean neg-pos 11 3.8 4.3 45.5 0.3 0.5 0.3 24.1 -13.6
pair MRmean MACDhist neg-pos 11 3.8 4.3 45.5 0.3 0.5 0.3 24.1 -13.6
pair RSmean SLmean neg-pos 87 29.9 4.2 54.0 0.3 0.4 0.1 29.3 -53.2
pair SLmean RSmean neg-pos 87 29.9 4.2 54.0 0.3 0.4 0.1 29.3 -53.2
pair RSIhist MACDhist neg-neg 99 34.0 3.7 55.6 0.3 0.4 0.1 27.3 -53.7
pair MACDhist RSIhist neg-neg 99 34.0 3.7 55.6 0.3 0.4 0.1 27.3 -53.7
pair MACD RSI neg-pos 37 12.7 3.3 56.8 0.3 0.4 0.2 19.6 -18.7
pair RSI MACD neg-pos 37 12.7 3.3 56.8 0.3 0.4 0.2 19.6 -18.7
pair MACDhist RSI neg-neg 69 23.7 3.3 55.1 0.3 0.4 0.1 29.8 -44.2
pair RSI MACDhist neg-neg 69 23.7 3.3 55.1 0.3 0.4 0.1 29.8 -44.2
single SLmean SLmean neg-neg 103 35.4 3.1 54.4 0.2 0.4 0.1 28.2 -54.1
pair MRmean SLmean neg-pos 8 2.7 2.5 50.0 0.2 0.4 0.2 20.3 -11.6
pair SLmean MRmean neg-pos 8 2.7 2.5 50.0 0.2 0.4 0.2 20.3 -11.6
pair RSIhist SLmean neg-neg 100 34.4 2.5 53.0 0.2 0.3 0.0 28.6 -56.5
pair SLmean RSIhist neg-neg 100 34.4 2.5 53.0 0.2 0.3 0.0 28.6 -56.5
pair RSmean RSIhist neg-neg 18 6.2 2.3 61.1 0.2 0.3 0.1 21.4 -19.5
pair RSIhist RSmean neg-neg 18 6.2 2.3 61.1 0.2 0.3 0.1 21.4 -19.5
pair LWTI MRmean neg-pos 53 18.2 2.1 54.7 0.2 0.3 0.1 24.0 -41.2
pair MRmean LWTI neg-pos 53 18.2 2.1 54.7 0.2 0.3 0.1 24.0 -41.2
pair RSIhist RSI neg-neg 65 22.3 1.3 50.8 0.2 0.3 0.0 30.8 -43.2
pair LWTI RSmean neg-pos 20 6.9 1.3 60.0 0.2 0.2 0.1 20.5 -21.0
pair RSmean LWTI neg-pos 20 6.9 1.3 60.0 0.2 0.2 0.1 20.5 -21.0
pair RSI RSIhist neg-neg 65 22.3 1.3 50.8 0.2 0.3 0.0 30.8 -43.2
pair SLmean MACD neg-neg 54 18.6 1.2 53.7 0.2 0.3 0.0 30.6 -45.0
pair MACD SLmean neg-neg 54 18.6 1.2 53.7 0.2 0.3 0.0 30.6 -45.0
pair RSIhist MACD neg-neg 56 19.2 1.1 50.0 0.2 0.3 0.0 30.6 -43.2
pair MACD RSIhist neg-neg 56 19.2 1.1 50.0 0.2 0.3 0.0 30.6 -43.2
pair RSI MRmean neg-neg 65 22.3 1.0 50.8 0.2 0.3 0.0 30.8 -47.9
pair MRmean RSI neg-neg 65 22.3 1.0 50.8 0.2 0.3 0.0 30.8 -47.9
pair MRmean MACD neg-neg 56 19.2 0.7 50.0 0.2 0.2 0.0 30.5 -48.7
pair MACD MRmean neg-neg 56 19.2 0.7 50.0 0.2 0.2 0.0 30.5 -48.7
pair RSmean LWTI pos-neg 57 19.6 0.5 50.9 0.2 0.2 0.0 30.1 -51.7
pair LWTI RSmean pos-neg 57 19.6 0.5 50.9 0.2 0.2 0.0 30.1 -51.7
pair RSI SLmean neg-neg 60 20.6 0.4 51.7 0.2 0.2 0.0 31.6 -45.8
pair SLmean RSI neg-neg 60 20.6 0.4 51.7 0.2 0.2 0.0 31.6 -45.8
pair SLmean MACDhist neg-neg 79 27.1 -1.3 51.9 0.1 0.1 -0.0 29.5 -54.6
pair MACDhist SLmean neg-neg 79 27.1 -1.3 51.9 0.1 0.1 -0.0 29.5 -54.6
pair RSI MACD pos-neg 16 5.5 -1.4 50.0 0.1 0.1 -0.1 29.0 -14.8
pair MACD RSI pos-neg 16 5.5 -1.4 50.0 0.1 0.1 -0.1 29.0 -14.8
single LWTI LWTI neg-neg 58 19.9 -1.6 50.0 0.1 0.1 -0.0 30.1 -56.2
pair MRmean RSmean neg-pos 75 25.8 -2.3 49.3 0.1 0.1 -0.0 30.1 -56.0
pair RSmean MRmean neg-pos 75 25.8 -2.3 49.3 0.1 0.1 -0.0 30.1 -56.0
single MRmean MRmean neg-neg 91 31.3 -2.4 50.5 0.1 0.1 -0.0 28.8 -58.1
pair SLmean RSmean neg-neg 16 5.5 -2.7 56.2 -0.0 -0.0 -0.1 22.4 -19.5
pair RSmean MRmean neg-neg 16 5.5 -2.7 56.2 -0.0 -0.0 -0.1 22.4 -19.5
pair MRmean RSmean neg-neg 16 5.5 -2.7 56.2 -0.0 -0.0 -0.1 22.4 -19.5
pair RSmean SLmean neg-neg 16 5.5 -2.7 56.2 -0.0 -0.0 -0.1 22.4 -19.5
pair SLmean MRmean neg-neg 83 28.5 -2.8 50.6 0.1 0.1 -0.1 29.5 -56.1
pair MRmean SLmean neg-neg 83 28.5 -2.8 50.6 0.1 0.1 -0.1 29.5 -56.1
pair RSIhist MRmean neg-neg 88 30.2 -3.0 50.0 0.0 0.1 -0.1 29.1 -58.4
pair MRmean RSIhist neg-neg 88 30.2 -3.0 50.0 0.0 0.1 -0.1 29.1 -58.4
pair MRmean MACDhist neg-neg 80 27.5 -3.3 51.2 0.0 0.1 -0.1 29.5 -58.9
pair MACDhist MRmean neg-neg 80 27.5 -3.3 51.2 0.0 0.1 -0.1 29.5 -58.9
pair RSI RSmean neg-pos 13 4.5 -4.1 53.8 -0.1 -0.1 -0.2 20.2 -20.7
pair RSmean RSI neg-pos 13 4.5 -4.1 53.8 -0.1 -0.1 -0.2 20.2 -20.7
single RSmean RSmean neg-neg 21 7.2 -4.3 57.1 -0.1 -0.1 -0.1 21.3 -28.5
pair RSmean RSI neg-neg 8 2.7 -4.7 62.5 -0.1 -0.1 -0.4 24.3 -13.1
pair RSI RSmean neg-neg 8 2.7 -4.7 62.5 -0.1 -0.1 -0.4 24.3 -13.1
pair MACDhist LWTI neg-neg 54 18.6 -5.0 48.1 -0.0 -0.0 -0.1 30.4 -55.7
pair LWTI MACDhist neg-neg 54 18.6 -5.0 48.1 -0.0 -0.0 -0.1 30.4 -55.7
pair LWTI RSIhist neg-neg 38 13.1 -6.6 44.7 -0.0 -0.0 -0.1 34.6 -49.9
pair RSIhist LWTI neg-neg 38 13.1 -6.6 44.7 -0.0 -0.0 -0.1 34.6 -49.9
pair MACD MRmean neg-pos 35 12.0 -7.1 51.4 -0.1 -0.2 -0.2 26.0 -44.1
pair MRmean MACD neg-pos 35 12.0 -7.1 51.4 -0.1 -0.2 -0.2 26.0 -44.1
pair SLmean LWTI neg-neg 35 12.0 -7.5 45.7 -0.0 -0.1 -0.2 35.2 -47.7
pair LWTI SLmean neg-neg 35 12.0 -7.5 45.7 -0.0 -0.1 -0.2 35.2 -47.7
pair MACDhist RSmean neg-neg 19 6.5 -8.1 57.9 -0.3 -0.4 -0.2 21.0 -32.4
pair RSmean MACDhist neg-neg 19 6.5 -8.1 57.9 -0.3 -0.4 -0.2 21.0 -32.4
pair MRmean LWTI neg-neg 38 13.1 -8.3 44.7 -0.1 -0.1 -0.1 34.6 -54.5
pair LWTI MRmean neg-neg 38 13.1 -8.3 44.7 -0.1 -0.1 -0.1 34.6 -54.5
pair MRmean RSmean pos-neg 5 1.7 -9.4 60.0 -0.4 -0.5 -1.0 19.5 -9.4
pair RSmean MRmean pos-neg 5 1.7 -9.4 60.0 -0.4 -0.5 -1.0 19.5 -9.4
pair SLmean RSmean pos-neg 5 1.7 -9.4 60.0 -0.4 -0.5 -1.0 19.5 -9.4
pair RSmean SLmean pos-neg 5 1.7 -9.4 60.0 -0.4 -0.5 -1.0 19.5 -9.4
pair MRmean RSI neg-pos 26 8.9 -10.3 50.0 -0.3 -0.5 -0.2 23.3 -41.6
pair RSI MRmean neg-pos 26 8.9 -10.3 50.0 -0.3 -0.5 -0.2 23.3 -41.6
pair MACD RSmean neg-neg 16 5.5 -15.5 43.8 -0.6 -0.9 -0.5 23.3 -31.1
pair RSmean MACD neg-neg 16 5.5 -15.5 43.8 -0.6 -0.9 -0.5 23.3 -31.1
pair RSmean RSIhist neg-pos 3 1.0 -36.0 33.3 -2.2 -2.7 -3.8 19.5 -9.4
pair RSIhist RSmean neg-pos 3 1.0 -36.0 33.3 -2.2 -2.7 -3.8 19.5 -9.4
pair MACD LWTI pos-neg 8 2.7 -40.4 12.5 -2.5 -4.0 -1.6 19.2 -26.0
pair LWTI MACD pos-neg 8 2.7 -40.4 12.5 -2.5 -4.0 -1.6 19.2 -26.0
pair LWTI RSI pos-neg 9 3.1 -41.1 22.2 -3.1 -3.8 -1.2 16.4 -35.0
pair RSI LWTI pos-neg 9 3.1 -41.1 22.2 -3.1 -3.8 -1.2 16.4 -35.0
pair RSmean LWTI neg-neg 1 0.3 -69.6 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -69.6 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for IXC

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.5% | Win 62%
Sharpe 0.66 | Sortino 1.02 | Calmar 0.4
Vol 19% | MDD -32.0%
Months 180M (62%)
CAGR 31.7% | Win 70%
Sharpe 1.40 | Sortino 2.62 | Calmar 3.0
Vol 21% | MDD -10.6%
Months 20M (7%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR 2.5% | Win 50%
Sharpe 0.21 | Sortino 0.41 | Calmar 0.2
Vol 20% | MDD -11.6%
Months 8M (3%)
CAGR -2.8% | Win 51%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.1
Vol 30% | MDD -56.1%
Months 83M (28%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
SLmean
only
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 14.0% | Win 63%
Sharpe 0.77 | Sortino 1.22 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 195M (67%)
CAGR -9.4% | Win 60%
Sharpe -0.42 | Sortino -0.52 | Calmar -1.0
Vol 20% | MDD -9.4%
Months 5M (2%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR -2.3% | Win 49%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 30% | MDD -56.0%
Months 75M (26%)
CAGR -2.7% | Win 56%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 22% | MDD -19.5%
Months 16M (6%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
RSmean
only
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 61%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.6
Vol 20% | MDD -19.3%
Months 152M (52%)
CAGR 16.6% | Win 67%
Sharpe 0.92 | Sortino 1.58 | Calmar 1.0
Vol 19% | MDD -16.2%
Months 48M (16%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR -7.1% | Win 51%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.2
Vol 26% | MDD -44.1%
Months 35M (12%)
CAGR 0.7% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 30% | MDD -48.7%
Months 56M (19%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
MACD
only
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 61%
Sharpe 0.64 | Sortino 0.99 | Calmar 0.4
Vol 20% | MDD -25.0%
Months 182M (62%)
CAGR 37.2% | Win 78%
Sharpe 1.92 | Sortino 5.40 | Calmar 7.4
Vol 17% | MDD -5.0%
Months 18M (6%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR -10.3% | Win 50%
Sharpe -0.35 | Sortino -0.49 | Calmar -0.2
Vol 23% | MDD -41.6%
Months 26M (9%)
CAGR 1.0% | Win 51%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 65M (22%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
RSI
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 62%
Sharpe 0.65 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -32.0%
Months 131M (45%)
CAGR 15.4% | Win 64%
Sharpe 1.00 | Sortino 1.52 | Calmar 1.0
Vol 16% | MDD -15.7%
Months 69M (24%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR 4.3% | Win 46%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.3
Vol 24% | MDD -13.6%
Months 11M (4%)
CAGR -3.3% | Win 51%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -58.9%
Months 80M (28%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
MACDhist
only
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 60%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 147M (50%)
CAGR 26.0% | Win 68%
Sharpe 1.31 | Sortino 2.26 | Calmar 1.8
Vol 19% | MDD -14.6%
Months 53M (18%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR 16.8% | Win 67%
Sharpe 0.84 | Sortino 0.00 | Calmar 3.2
Vol 20% | MDD -5.2%
Months 3M (1%)
CAGR -3.0% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 29% | MDD -58.4%
Months 88M (30%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.4% | Win 63%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.5
Vol 19% | MDD -24.7%
Months 180M (62%)
CAGR 12.5% | Win 60%
Sharpe 0.70 | Sortino 1.52 | Calmar 1.3
Vol 19% | MDD -9.4%
Months 20M (7%)
CAGR 13.3% | Win 62%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.6%
Months 200M (69%)
MRmean
neg
CAGR 2.1% | Win 55%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.1
Vol 24% | MDD -41.2%
Months 53M (18%)
CAGR -8.3% | Win 45%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.2
Vol 35% | MDD -54.5%
Months 38M (13%)
CAGR -2.4% | Win 50%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -58.1%
Months 91M (31%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.67 | Sortino 1.05 | Calmar 0.3
Vol 19% | MDD -36.3%
Months 183M (63%)
CAGR -9.4% | Win 60%
Sharpe -0.42 | Sortino -0.52 | Calmar -1.0
Vol 20% | MDD -9.4%
Months 5M (2%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 4.2% | Win 54%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 29% | MDD -53.2%
Months 87M (30%)
CAGR -2.7% | Win 56%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 22% | MDD -19.5%
Months 16M (6%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
RSmean
only
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 138M (47%)
CAGR 15.4% | Win 62%
Sharpe 0.84 | Sortino 1.57 | Calmar 0.9
Vol 19% | MDD -16.9%
Months 50M (17%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 26% | MDD -48.4%
Months 49M (17%)
CAGR 1.2% | Win 54%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 31% | MDD -45.0%
Months 54M (19%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
MACD
only
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 60%
Sharpe 0.53 | Sortino 0.79 | Calmar 0.3
Vol 19% | MDD -33.2%
Months 165M (57%)
CAGR 30.3% | Win 70%
Sharpe 1.59 | Sortino 4.64 | Calmar 3.4
Vol 18% | MDD -9.0%
Months 23M (8%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 6.9% | Win 58%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.2
Vol 23% | MDD -40.2%
Months 43M (15%)
CAGR 0.4% | Win 52%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 32% | MDD -45.8%
Months 60M (21%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
RSI
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.2% | Win 60%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.3
Vol 21% | MDD -32.9%
Months 118M (40%)
CAGR 12.5% | Win 63%
Sharpe 0.83 | Sortino 1.24 | Calmar 0.8
Vol 16% | MDD -15.7%
Months 70M (24%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 19.0% | Win 62%
Sharpe 0.86 | Sortino 1.52 | Calmar 0.9
Vol 24% | MDD -20.3%
Months 24M (8%)
CAGR -1.3% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -54.6%
Months 79M (27%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
MACDhist
only
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.9% | Win 60%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -36.2%
Months 147M (50%)
CAGR 19.0% | Win 66%
Sharpe 1.07 | Sortino 1.72 | Calmar 1.1
Vol 18% | MDD -17.0%
Months 41M (14%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 24.0% | Win 100%
Sharpe 3.37 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 3M (1%)
CAGR 2.5% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 29% | MDD -56.5%
Months 100M (34%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 62%
Sharpe 0.67 | Sortino 0.99 | Calmar 0.3
Vol 19% | MDD -32.9%
Months 165M (57%)
CAGR 8.2% | Win 56%
Sharpe 0.48 | Sortino 1.08 | Calmar 0.5
Vol 21% | MDD -17.0%
Months 23M (8%)
CAGR 11.1% | Win 61%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 19% | MDD -32.0%
Months 188M (65%)
SLmean
neg
CAGR 9.0% | Win 59%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 24% | MDD -37.8%
Months 68M (23%)
CAGR -7.5% | Win 46%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.2
Vol 35% | MDD -47.7%
Months 35M (12%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -54.1%
Months 103M (35%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 58%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 182M (62%)
CAGR 12.6% | Win 60%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.4
Vol 26% | MDD -35.1%
Months 88M (30%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
RSmean
neg
CAGR 42.3% | Win 100%
Sharpe 8.10 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR -15.5% | Win 44%
Sharpe -0.60 | Sortino -0.87 | Calmar -0.5
Vol 23% | MDD -31.1%
Months 16M (6%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
MACD
only
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 20% | MDD -47.7%
Months 195M (67%)
CAGR 9.4% | Win 56%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.3
Vol 29% | MDD -34.6%
Months 75M (26%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
RSmean
neg
CAGR -4.1% | Win 54%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.2
Vol 20% | MDD -20.7%
Months 13M (4%)
CAGR -4.7% | Win 62%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.4
Vol 24% | MDD -13.1%
Months 8M (3%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
RSI
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.61 | Sortino 1.00 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 140M (48%)
CAGR 7.0% | Win 57%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -47.5%
Months 130M (45%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
RSmean
neg
CAGR 39.9% | Win 50%
Sharpe 1.24 | Sortino 0.00 | Calmar 0.0
Vol 29% | MDD 0.0%
Months 2M (1%)
CAGR -8.1% | Win 58%
Sharpe -0.30 | Sortino -0.37 | Calmar -0.2
Vol 21% | MDD -32.4%
Months 19M (6%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
MACDhist
only
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -37.3%
Months 147M (50%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.1%
Months 123M (42%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
RSmean
neg
CAGR -36.0% | Win 33%
Sharpe -2.18 | Sortino -2.66 | Calmar -3.8
Vol 20% | MDD -9.4%
Months 3M (1%)
CAGR 2.3% | Win 61%
Sharpe 0.21 | Sortino 0.26 | Calmar 0.1
Vol 21% | MDD -19.5%
Months 18M (6%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.2
Vol 21% | MDD -49.8%
Months 213M (73%)
CAGR 0.5% | Win 51%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 30% | MDD -51.7%
Months 57M (20%)
CAGR 9.2% | Win 59%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.5%
Months 270M (93%)
RSmean
neg
CAGR 1.3% | Win 60%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.1
Vol 20% | MDD -21.0%
Months 20M (7%)
CAGR -69.6% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -4.3% | Win 57%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 21% | MDD -28.5%
Months 21M (7%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.4% | Win 60%
Sharpe 0.55 | Sortino 0.80 | Calmar 0.2
Vol 20% | MDD -43.5%
Months 171M (59%)
CAGR -1.4% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.1
Vol 29% | MDD -14.8%
Months 16M (6%)
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
MACD
neg
CAGR 3.3% | Win 57%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.2
Vol 20% | MDD -18.7%
Months 37M (13%)
CAGR 10.3% | Win 58%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.2
Vol 29% | MDD -43.2%
Months 67M (23%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
RSI
only
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.9% | Win 60%
Sharpe 0.58 | Sortino 0.94 | Calmar 0.3
Vol 22% | MDD -31.5%
Months 106M (36%)
CAGR 5.3% | Win 58%
Sharpe 0.36 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -33.5%
Months 81M (28%)
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
MACD
neg
CAGR 14.0% | Win 61%
Sharpe 0.79 | Sortino 1.40 | Calmar 0.8
Vol 19% | MDD -17.5%
Months 36M (12%)
CAGR 4.6% | Win 56%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 29% | MDD -50.2%
Months 68M (23%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
MACDhist
only
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 58%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 20% | MDD -36.2%
Months 102M (35%)
CAGR 11.2% | Win 61%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.2
Vol 23% | MDD -46.3%
Months 85M (29%)
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
MACD
neg
CAGR 16.1% | Win 67%
Sharpe 0.90 | Sortino 1.54 | Calmar 0.9
Vol 19% | MDD -17.9%
Months 48M (16%)
CAGR 1.1% | Win 50%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 31% | MDD -43.2%
Months 56M (19%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 11.3% | Win 62%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 179M (62%)
CAGR -40.4% | Win 12%
Sharpe -2.55 | Sortino -4.02 | Calmar -1.6
Vol 19% | MDD -26.0%
Months 8M (3%)
CAGR 8.4% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -49.9%
Months 187M (64%)
MACD
neg
CAGR 8.8% | Win 59%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.5
Vol 20% | MDD -19.5%
Months 54M (19%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.51 | Calmar 0.2
Vol 31% | MDD -43.4%
Months 50M (17%)
CAGR 7.8% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 26% | MDD -48.6%
Months 104M (36%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.5% | Win 60%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 21% | MDD -30.6%
Months 128M (44%)
CAGR 6.4% | Win 59%
Sharpe 0.44 | Sortino 0.56 | Calmar 0.2
Vol 18% | MDD -36.2%
Months 80M (28%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
RSI
neg
CAGR 33.7% | Win 64%
Sharpe 1.51 | Sortino 3.93 | Calmar 4.8
Vol 21% | MDD -7.0%
Months 14M (5%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 30% | MDD -44.2%
Months 69M (24%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
MACDhist
only
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.1% | Win 58%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 20% | MDD -36.2%
Months 132M (45%)
CAGR 12.2% | Win 62%
Sharpe 0.65 | Sortino 0.95 | Calmar 0.3
Vol 21% | MDD -38.8%
Months 76M (26%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
RSI
neg
CAGR 35.6% | Win 78%
Sharpe 1.86 | Sortino 5.08 | Calmar 6.8
Vol 17% | MDD -5.2%
Months 18M (6%)
CAGR 1.3% | Win 51%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 31% | MDD -43.2%
Months 65M (22%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.3% | Win 61%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.3
Vol 20% | MDD -35.8%
Months 199M (68%)
CAGR -41.1% | Win 22%
Sharpe -3.08 | Sortino -3.80 | Calmar -1.2
Vol 16% | MDD -35.0%
Months 9M (3%)
CAGR 8.3% | Win 60%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 208M (72%)
RSI
neg
CAGR 7.6% | Win 59%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.3
Vol 24% | MDD -25.7%
Months 34M (12%)
CAGR 8.2% | Win 55%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 31% | MDD -37.9%
Months 49M (17%)
CAGR 7.9% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -43.2%
Months 83M (28%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 61%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.3
Vol 21% | MDD -32.0%
Months 100M (34%)
CAGR 15.4% | Win 60%
Sharpe 0.74 | Sortino 1.41 | Calmar 0.6
Vol 23% | MDD -24.8%
Months 42M (14%)
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
MACDhist
neg
CAGR 7.5% | Win 60%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.3
Vol 16% | MDD -24.5%
Months 50M (17%)
CAGR 3.7% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 27% | MDD -53.7%
Months 99M (34%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
RSIhist
only
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.5% | Win 60%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 138M (47%)
CAGR 58.2% | Win 75%
Sharpe 1.84 | Sortino 0.00 | Calmar 0.0
Vol 27% | MDD 0.0%
Months 4M (1%)
CAGR 11.6% | Win 61%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.4
Vol 21% | MDD -29.0%
Months 142M (49%)
MACDhist
neg
CAGR 11.1% | Win 62%
Sharpe 0.63 | Sortino 0.78 | Calmar 0.3
Vol 20% | MDD -32.4%
Months 95M (33%)
CAGR -5.0% | Win 48%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 30% | MDD -55.7%
Months 54M (19%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -57.2%
Months 149M (51%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.3% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 130M (45%)
CAGR 8.8% | Win 60%
Sharpe 0.52 | Sortino 1.26 | Calmar 0.7
Vol 20% | MDD -13.4%
Months 20M (7%)
CAGR 9.2% | Win 61%
Sharpe 0.55 | Sortino 0.84 | Calmar 0.3
Vol 19% | MDD -36.2%
Months 150M (52%)
RSIhist
neg
CAGR 12.6% | Win 61%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.3
Vol 22% | MDD -41.8%
Months 103M (35%)
CAGR -6.6% | Win 45%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 35% | MDD -49.9%
Months 38M (13%)
CAGR 7.1% | Win 57%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -53.0%
Months 141M (48%)
LWTI
only
CAGR 10.7% | Win 61%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 20% | MDD -49.8%
Months 233M (80%)
CAGR -1.6% | Win 50%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 30% | MDD -56.2%
Months 58M (20%)