IXG - iShares Global Financials ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

49.6%

Best CAGR

84

Total Months

3.6%

Avg CAGR

IXG 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 IXG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 3 1.0 49.6 66.7 3.7 0.0 0.0 11.2 0.0
pair RSmean LWTI neg-neg 3 1.0 49.6 66.7 3.7 0.0 0.0 11.2 0.0
pair RSI MACD neg-pos 23 7.8 25.5 73.9 1.9 4.5 4.8 12.2 -5.3
pair MACD RSI neg-pos 23 7.8 25.5 73.9 1.9 4.5 4.8 12.2 -5.3
pair MACD RSmean neg-pos 9 3.1 24.7 66.7 1.6 2.6 5.0 14.5 -4.9
pair RSmean MACD neg-pos 9 3.1 24.7 66.7 1.6 2.6 5.0 14.5 -4.9
pair MRmean SLmean neg-pos 14 4.8 19.8 57.1 0.9 2.5 3.8 21.2 -5.3
pair SLmean MRmean neg-pos 14 4.8 19.8 57.1 0.9 2.5 3.8 21.2 -5.3
pair MACD SLmean pos-neg 46 15.7 19.2 63.0 1.0 2.0 0.8 18.7 -23.0
pair SLmean MACD pos-neg 46 15.7 19.2 63.0 1.0 2.0 0.8 18.7 -23.0
pair SLmean LWTI pos-neg 31 10.6 18.0 54.8 0.9 2.5 1.3 20.5 -14.3
pair LWTI SLmean pos-neg 31 10.6 18.0 54.8 0.9 2.5 1.3 20.5 -14.3
pair MRmean MACD pos-neg 39 13.3 17.6 64.1 1.0 1.9 0.8 17.3 -21.1
pair MACD MRmean pos-neg 39 13.3 17.6 64.1 1.0 1.9 0.8 17.3 -21.1
pair MACD RSmean pos-neg 76 25.9 14.8 61.8 0.6 0.8 0.2 29.6 -62.2
pair RSmean MACD pos-neg 76 25.9 14.8 61.8 0.6 0.8 0.2 29.6 -62.2
pair MACDhist MACD neg-neg 64 21.8 14.7 60.9 0.6 0.8 0.2 31.2 -62.2
pair MACD MACDhist neg-neg 64 21.8 14.7 60.9 0.6 0.8 0.2 31.2 -62.2
pair RSIhist SLmean pos-pos 164 56.0 13.4 64.6 0.9 1.8 0.6 14.5 -23.0
pair SLmean RSIhist pos-pos 164 56.0 13.4 64.6 0.9 1.8 0.6 14.5 -23.0
pair SLmean RSmean pos-pos 183 62.5 13.2 66.1 0.9 1.8 0.7 14.4 -18.6
pair RSmean SLmean pos-pos 183 62.5 13.2 66.1 0.9 1.8 0.7 14.4 -18.6
pair RSIhist RSI pos-pos 141 48.1 13.0 66.0 1.0 1.9 0.7 12.8 -19.7
pair RSI RSIhist pos-pos 141 48.1 13.0 66.0 1.0 1.9 0.7 12.8 -19.7
pair RSI MACDhist pos-pos 132 45.1 12.3 68.9 1.0 1.9 0.5 12.1 -22.6
pair MACDhist RSI pos-pos 132 45.1 12.3 68.9 1.0 1.9 0.5 12.1 -22.6
pair SLmean MACDhist pos-pos 129 44.0 12.3 68.2 1.0 1.6 0.5 12.9 -23.0
pair MACDhist SLmean pos-pos 129 44.0 12.3 68.2 1.0 1.6 0.5 12.9 -23.0
pair RSI SLmean pos-pos 163 55.6 12.3 66.9 1.0 1.8 0.5 12.6 -24.9
pair SLmean RSI pos-pos 163 55.6 12.3 66.9 1.0 1.8 0.5 12.6 -24.9
pair RSmean RSIhist pos-pos 166 56.7 12.3 63.9 0.8 1.5 0.6 15.0 -22.1
pair RSIhist RSmean pos-pos 166 56.7 12.3 63.9 0.8 1.5 0.6 15.0 -22.1
single SLmean SLmean pos-pos 191 65.2 12.2 64.9 0.9 1.6 0.5 14.4 -23.0
pair SLmean MACDhist pos-neg 62 21.2 12.1 58.1 0.7 1.6 0.8 17.3 -14.7
pair LWTI MACD neg-neg 44 15.0 12.1 59.1 0.5 0.6 0.2 34.8 -62.2
pair MACD LWTI neg-neg 44 15.0 12.1 59.1 0.5 0.6 0.2 34.8 -62.2
pair MACDhist SLmean pos-neg 62 21.2 12.1 58.1 0.7 1.6 0.8 17.3 -14.7
pair RSIhist RSmean neg-neg 17 5.8 11.8 58.8 0.7 0.9 0.8 18.8 -15.8
pair RSIhist MRmean pos-pos 160 54.6 11.8 64.4 0.9 1.6 0.5 14.1 -24.0
pair MRmean RSIhist pos-pos 160 54.6 11.8 64.4 0.9 1.6 0.5 14.1 -24.0
pair RSmean RSIhist neg-neg 17 5.8 11.8 58.8 0.7 0.9 0.8 18.8 -15.8
pair MRmean SLmean pos-pos 177 60.4 11.6 65.5 0.9 1.5 0.5 13.8 -24.9
pair SLmean MRmean pos-pos 177 60.4 11.6 65.5 0.9 1.5 0.5 13.8 -24.9
pair RSIhist MACD neg-pos 54 18.4 11.5 59.3 0.6 1.0 0.5 20.7 -21.1
pair MACD RSIhist neg-pos 54 18.4 11.5 59.3 0.6 1.0 0.5 20.7 -21.1
pair RSI SLmean pos-neg 28 9.6 11.4 53.6 0.6 1.4 0.5 22.9 -23.0
pair MACDhist RSIhist pos-pos 124 42.3 11.4 66.9 0.9 1.3 0.4 13.7 -26.0
pair SLmean RSI pos-neg 28 9.6 11.4 53.6 0.6 1.4 0.5 22.9 -23.0
pair RSIhist MACDhist pos-pos 124 42.3 11.4 66.9 0.9 1.3 0.4 13.7 -26.0
pair MACDhist LWTI neg-neg 58 19.8 11.2 56.9 0.5 0.7 0.2 33.0 -68.4
pair LWTI MACDhist neg-neg 58 19.8 11.2 56.9 0.5 0.7 0.2 33.0 -68.4
pair SLmean LWTI pos-pos 160 54.6 11.1 66.9 0.9 1.4 0.5 13.0 -24.6
pair LWTI SLmean pos-pos 160 54.6 11.1 66.9 0.9 1.4 0.5 13.0 -24.6
pair LWTI RSIhist pos-pos 147 50.2 10.8 65.3 0.8 1.2 0.5 14.2 -20.8
pair RSIhist LWTI pos-pos 147 50.2 10.8 65.3 0.8 1.2 0.5 14.2 -20.8
pair LWTI RSI neg-neg 47 16.0 10.7 57.4 0.5 0.6 0.2 36.1 -68.4
pair RSI LWTI neg-neg 47 16.0 10.7 57.4 0.5 0.6 0.2 36.1 -68.4
pair MACD MACDhist pos-pos 124 42.3 10.6 68.5 0.9 1.4 0.4 12.6 -26.4
pair MACDhist MACD pos-pos 124 42.3 10.6 68.5 0.9 1.4 0.4 12.6 -26.4
pair MACDhist LWTI pos-pos 148 50.5 10.4 67.6 0.8 1.2 0.3 14.3 -29.6
single RSIhist RSIhist pos-pos 175 59.7 10.4 62.9 0.7 1.1 0.4 15.7 -24.0
pair LWTI MACDhist pos-pos 148 50.5 10.4 67.6 0.8 1.2 0.3 14.3 -29.6
pair RSmean MRmean pos-pos 191 65.2 10.2 65.4 0.8 1.4 0.3 13.8 -31.6
pair MRmean RSmean pos-pos 191 65.2 10.2 65.4 0.8 1.4 0.3 13.8 -31.6
pair MACD SLmean pos-pos 145 49.5 10.1 65.5 0.8 1.5 0.5 12.8 -19.9
pair SLmean MACD pos-pos 145 49.5 10.1 65.5 0.8 1.5 0.5 12.8 -19.9
pair MRmean RSI pos-pos 179 61.1 10.1 65.9 0.8 1.4 0.3 12.9 -29.5
pair RSI MRmean pos-pos 179 61.1 10.1 65.9 0.8 1.4 0.3 12.9 -29.5
pair MRmean MACDhist pos-pos 144 49.1 10.0 67.4 0.8 1.3 0.3 13.0 -29.6
pair MACDhist MRmean pos-pos 144 49.1 10.0 67.4 0.8 1.3 0.3 13.0 -29.6
pair RSIhist MACD pos-pos 121 41.3 10.0 64.5 0.8 1.4 0.5 12.9 -19.7
pair MACD RSIhist pos-pos 121 41.3 10.0 64.5 0.8 1.4 0.5 12.9 -19.7
single MACD MACD neg-neg 93 31.7 9.6 59.1 0.5 0.6 0.1 28.6 -62.2
pair LWTI MRmean pos-pos 178 60.8 9.5 66.3 0.8 1.2 0.3 13.2 -29.2
pair MRmean LWTI pos-pos 178 60.8 9.5 66.3 0.8 1.2 0.3 13.2 -29.2
single MRmean MRmean pos-pos 198 67.6 9.4 64.6 0.7 1.3 0.3 13.9 -33.2
pair RSmean MACDhist pos-pos 150 51.2 9.3 66.7 0.7 1.0 0.2 14.6 -40.0
pair MACDhist RSmean pos-pos 150 51.2 9.3 66.7 0.7 1.0 0.2 14.6 -40.0
pair LWTI MRmean pos-neg 20 6.8 9.0 50.0 0.5 1.4 0.5 19.9 -17.5
pair MRmean LWTI pos-neg 20 6.8 9.0 50.0 0.5 1.4 0.5 19.9 -17.5
pair LWTI RSI pos-pos 185 63.1 8.8 65.4 0.7 1.1 0.4 13.1 -24.0
pair RSI LWTI pos-pos 185 63.1 8.8 65.4 0.7 1.1 0.4 13.1 -24.0
pair RSIhist LWTI pos-neg 28 9.6 8.6 50.0 0.5 1.0 0.3 22.3 -25.8
pair LWTI RSIhist pos-neg 28 9.6 8.6 50.0 0.5 1.0 0.3 22.3 -25.8
single MACDhist MACDhist pos-pos 153 52.2 8.4 66.0 0.6 0.9 0.2 14.8 -40.0
pair RSIhist MACDhist neg-pos 51 17.4 8.2 52.9 0.5 0.8 0.5 19.8 -15.6
pair MACDhist RSIhist neg-pos 51 17.4 8.2 52.9 0.5 0.8 0.5 19.8 -15.6
pair MRmean MACDhist pos-neg 54 18.4 8.0 57.4 0.6 1.1 0.3 16.3 -25.4
pair RSI MACDhist neg-neg 71 24.2 8.0 56.3 0.4 0.5 0.1 33.3 -71.5
pair MACDhist RSI neg-neg 71 24.2 8.0 56.3 0.4 0.5 0.1 33.3 -71.5
pair MACDhist MRmean pos-neg 54 18.4 8.0 57.4 0.6 1.1 0.3 16.3 -25.4
pair RSmean RSI pos-pos 191 65.2 7.9 63.9 0.6 1.0 0.2 13.6 -32.0
pair RSI RSmean pos-pos 191 65.2 7.9 63.9 0.6 1.0 0.2 13.6 -32.0
single RSI RSI pos-pos 201 68.6 7.6 63.7 0.6 1.0 0.2 13.5 -31.2
pair MACD LWTI neg-pos 49 16.7 7.5 59.2 0.4 0.7 0.3 21.9 -27.2
pair LWTI MACD neg-pos 49 16.7 7.5 59.2 0.4 0.7 0.3 21.9 -27.2
pair MRmean MACD pos-pos 159 54.3 7.5 64.8 0.6 1.1 0.3 13.0 -29.5
pair MACD MRmean pos-pos 159 54.3 7.5 64.8 0.6 1.1 0.3 13.0 -29.5
pair LWTI RSmean pos-pos 207 70.6 7.3 63.8 0.5 0.7 0.2 15.9 -37.9
pair RSmean LWTI pos-pos 207 70.6 7.3 63.8 0.5 0.7 0.2 15.9 -37.9
pair MACD RSIhist neg-neg 39 13.3 7.1 59.0 0.4 0.5 0.1 37.2 -62.2
pair RSIhist MACD neg-neg 39 13.3 7.1 59.0 0.4 0.5 0.1 37.2 -62.2
single RSmean RSmean pos-pos 267 91.1 6.7 61.4 0.4 0.5 0.1 21.0 -72.9
single LWTI LWTI neg-neg 63 21.5 6.3 54.0 0.3 0.5 0.1 32.4 -68.4
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 6.1 60.8 0.4 0.5 0.1 20.9 -74.1
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 6.1 60.8 0.4 0.5 0.1 20.9 -74.1
single LWTI LWTI pos-pos 230 78.5 6.0 62.6 0.4 0.6 0.1 16.6 -38.6
pair MACD LWTI pos-pos 181 61.8 5.6 63.5 0.4 0.6 0.1 14.8 -39.5
pair LWTI MACD pos-pos 181 61.8 5.6 63.5 0.4 0.6 0.1 14.8 -39.5
pair MACD RSI pos-pos 178 60.8 5.5 62.4 0.5 0.7 0.2 13.6 -33.4
pair RSI MACD pos-pos 178 60.8 5.5 62.4 0.5 0.7 0.2 13.6 -33.4
pair MRmean LWTI neg-neg 43 14.7 5.1 55.8 0.3 0.4 0.1 37.1 -68.4
pair LWTI MRmean neg-neg 43 14.7 5.1 55.8 0.3 0.4 0.1 37.1 -68.4
pair SLmean RSIhist pos-neg 27 9.2 5.0 66.7 0.4 0.6 0.4 13.9 -13.7
pair RSIhist SLmean pos-neg 27 9.2 5.0 66.7 0.4 0.6 0.4 13.9 -13.7
pair MACD RSI neg-neg 70 23.9 4.9 54.3 0.3 0.4 0.1 32.3 -62.5
pair RSI MACD neg-neg 70 23.9 4.9 54.3 0.3 0.4 0.1 32.3 -62.5
pair LWTI RSmean pos-neg 60 20.5 4.5 53.3 0.3 0.4 0.1 33.1 -68.4
pair RSmean LWTI pos-neg 60 20.5 4.5 53.3 0.3 0.4 0.1 33.1 -68.4
pair SLmean RSmean neg-neg 18 6.1 4.5 61.1 0.3 0.4 0.2 23.4 -27.2
pair RSIhist LWTI neg-neg 35 11.9 4.5 57.1 0.3 0.4 0.1 39.0 -68.4
pair LWTI RSIhist neg-neg 35 11.9 4.5 57.1 0.3 0.4 0.1 39.0 -68.4
pair RSmean SLmean neg-neg 18 6.1 4.5 61.1 0.3 0.4 0.2 23.4 -27.2
single MACD MACD pos-pos 200 68.3 4.4 61.5 0.3 0.5 0.1 16.2 -47.6
pair MACDhist RSmean neg-neg 23 7.8 4.4 56.5 0.3 0.4 0.2 21.2 -27.2
pair RSmean MACDhist neg-neg 23 7.8 4.4 56.5 0.3 0.4 0.2 21.2 -27.2
pair MACD MRmean neg-neg 54 18.4 4.2 55.6 0.3 0.4 0.1 34.7 -66.2
pair MRmean MACD neg-neg 54 18.4 4.2 55.6 0.3 0.4 0.1 34.7 -66.2
pair MRmean RSmean neg-neg 19 6.5 4.2 57.9 0.3 0.3 0.1 22.7 -27.2
pair RSmean MRmean neg-neg 19 6.5 4.2 57.9 0.3 0.3 0.1 22.7 -27.2
pair RSI RSIhist neg-neg 58 19.8 4.1 56.9 0.3 0.4 0.1 35.5 -70.1
pair RSIhist RSI neg-neg 58 19.8 4.1 56.9 0.3 0.4 0.1 35.5 -70.1
single MACDhist MACDhist neg-neg 140 47.8 3.6 55.0 0.3 0.3 0.1 26.1 -73.3
pair RSmean MACD pos-pos 191 65.2 3.6 61.3 0.3 0.4 0.1 16.3 -51.4
pair MACD RSmean pos-pos 191 65.2 3.6 61.3 0.3 0.4 0.1 16.3 -51.4
pair RSmean RSI pos-neg 76 25.9 3.5 55.3 0.3 0.4 0.1 33.1 -70.1
pair RSI RSmean pos-neg 76 25.9 3.5 55.3 0.3 0.4 0.1 33.1 -70.1
pair MACDhist RSmean pos-neg 117 39.9 3.4 54.7 0.3 0.3 0.1 27.1 -72.1
pair RSmean MACDhist pos-neg 117 39.9 3.4 54.7 0.3 0.3 0.1 27.1 -72.1
pair RSI MRmean pos-neg 19 6.5 3.3 52.6 0.2 0.5 0.2 21.6 -21.1
pair MRmean RSI pos-neg 19 6.5 3.3 52.6 0.2 0.5 0.2 21.6 -21.1
single RSI RSI neg-neg 92 31.4 2.8 54.3 0.2 0.3 0.0 31.7 -71.5
pair MRmean RSI neg-neg 73 24.9 2.6 54.8 0.2 0.3 0.0 34.0 -72.8
pair RSI MRmean neg-neg 73 24.9 2.6 54.8 0.2 0.3 0.0 34.0 -72.8
pair RSmean RSI neg-pos 10 3.4 1.4 60.0 0.2 0.3 0.1 13.4 -11.4
pair RSI RSmean neg-pos 10 3.4 1.4 60.0 0.2 0.3 0.1 13.4 -11.4
pair SLmean MACD neg-neg 47 16.0 1.0 55.3 0.2 0.3 0.0 35.9 -64.0
pair MACD SLmean neg-neg 47 16.0 1.0 55.3 0.2 0.3 0.0 35.9 -64.0
pair RSIhist MACDhist neg-neg 89 30.4 1.0 56.2 0.2 0.2 0.0 29.3 -73.3
pair MACDhist RSIhist neg-neg 89 30.4 1.0 56.2 0.2 0.2 0.0 29.3 -73.3
pair MACDhist MRmean neg-neg 86 29.4 0.8 53.5 0.2 0.2 0.0 30.8 -74.6
pair MRmean MACDhist neg-neg 86 29.4 0.8 53.5 0.2 0.2 0.0 30.8 -74.6
pair RSIhist RSI neg-pos 34 11.6 0.5 50.0 0.1 0.2 0.0 24.3 -21.1
pair RSI RSIhist neg-pos 34 11.6 0.5 50.0 0.1 0.2 0.0 24.3 -21.1
single RSmean RSmean neg-neg 26 8.9 0.1 53.8 0.1 0.1 0.0 21.1 -27.4
pair RSIhist MRmean pos-neg 38 13.0 0.0 65.8 0.1 0.1 0.0 13.0 -26.6
pair MRmean RSIhist pos-neg 38 13.0 0.0 65.8 0.1 0.1 0.0 13.0 -26.6
single RSIhist RSIhist neg-neg 118 40.3 -0.1 57.6 0.1 0.2 -0.0 26.9 -73.3
pair RSIhist MRmean neg-neg 80 27.3 -0.2 53.8 0.2 0.2 -0.0 31.6 -71.4
pair MRmean RSIhist neg-neg 80 27.3 -0.2 53.8 0.2 0.2 -0.0 31.6 -71.4
single MRmean MRmean neg-neg 95 32.4 -0.6 52.6 0.1 0.2 -0.0 30.9 -74.6
pair MACD MACDhist neg-pos 29 9.9 -0.7 55.2 0.1 0.1 -0.0 21.8 -25.4
pair MACDhist MACD neg-pos 29 9.9 -0.7 55.2 0.1 0.1 -0.0 21.8 -25.4
pair RSI RSmean neg-neg 16 5.5 -0.7 50.0 0.1 0.1 -0.0 25.1 -23.1
pair RSmean RSI neg-neg 16 5.5 -0.7 50.0 0.1 0.1 -0.0 25.1 -23.1
pair SLmean RSI neg-neg 64 21.8 -0.8 54.7 0.2 0.2 -0.0 35.0 -69.9
pair RSI SLmean neg-neg 64 21.8 -0.8 54.7 0.2 0.2 -0.0 35.0 -69.9
pair MACDhist RSI pos-neg 69 23.5 -0.8 53.6 0.0 0.0 -0.0 15.7 -37.8
pair RSI MACDhist pos-neg 69 23.5 -0.8 53.6 0.0 0.0 -0.0 15.7 -37.8
pair MACDhist LWTI neg-pos 82 28.0 -1.5 53.7 0.0 0.0 -0.0 19.9 -37.4
pair LWTI MACDhist neg-pos 82 28.0 -1.5 53.7 0.0 0.0 -0.0 19.9 -37.4
pair SLmean RSIhist neg-neg 91 31.1 -1.6 54.9 0.1 0.1 -0.0 29.8 -70.8
pair RSIhist SLmean neg-neg 91 31.1 -1.6 54.9 0.1 0.1 -0.0 29.8 -70.8
pair RSmean MRmean neg-pos 76 25.9 -1.8 51.3 0.1 0.2 -0.0 32.7 -70.1
pair MRmean RSmean neg-pos 76 25.9 -1.8 51.3 0.1 0.2 -0.0 32.7 -70.1
pair LWTI RSIhist neg-pos 83 28.3 -2.0 57.8 -0.0 -0.0 -0.1 20.0 -44.6
pair RSIhist LWTI neg-pos 83 28.3 -2.0 57.8 -0.0 -0.0 -0.1 20.0 -44.6
pair RSIhist RSmean pos-neg 101 34.5 -2.0 57.4 0.1 0.1 -0.0 28.1 -72.1
pair RSmean RSIhist pos-neg 101 34.5 -2.0 57.4 0.1 0.1 -0.0 28.1 -72.1
pair MACDhist SLmean neg-neg 78 26.6 -2.7 52.6 0.1 0.1 -0.0 31.5 -70.5
pair SLmean MACDhist neg-neg 78 26.6 -2.7 52.6 0.1 0.1 -0.0 31.5 -70.5
pair MRmean RSIhist neg-pos 15 5.1 -3.0 46.7 0.0 0.0 -0.2 28.1 -12.2
pair RSIhist MRmean neg-pos 15 5.1 -3.0 46.7 0.0 0.0 -0.2 28.1 -12.2
pair MACD RSIhist pos-neg 79 27.0 -3.5 57.0 -0.1 -0.1 -0.1 20.2 -57.5
pair RSIhist MACD pos-neg 79 27.0 -3.5 57.0 -0.1 -0.1 -0.1 20.2 -57.5
pair RSIhist MACDhist pos-neg 29 9.9 -3.6 62.1 -0.1 -0.2 -0.1 18.4 -29.2
pair MACDhist RSIhist pos-neg 29 9.9 -3.6 62.1 -0.1 -0.2 -0.1 18.4 -29.2
pair RSI MACD pos-neg 22 7.5 -3.7 54.5 0.0 0.0 -0.1 30.6 -29.6
pair MACD RSI pos-neg 22 7.5 -3.7 54.5 0.0 0.0 -0.1 30.6 -29.6
pair SLmean MRmean neg-neg 81 27.6 -3.8 51.9 0.1 0.1 -0.1 32.3 -71.8
pair MRmean SLmean neg-neg 81 27.6 -3.8 51.9 0.1 0.1 -0.1 32.3 -71.8
pair SLmean LWTI neg-neg 32 10.9 -3.9 53.1 0.1 0.2 -0.1 41.1 -67.1
pair LWTI SLmean neg-neg 32 10.9 -3.9 53.1 0.1 0.2 -0.1 41.1 -67.1
pair RSI RSIhist pos-neg 60 20.5 -4.1 58.3 -0.2 -0.3 -0.1 14.6 -38.5
pair RSIhist RSI pos-neg 60 20.5 -4.1 58.3 -0.2 -0.3 -0.1 14.6 -38.5
single SLmean SLmean neg-neg 102 34.8 -4.6 52.9 -0.0 -0.0 -0.1 29.4 -71.5
pair LWTI SLmean neg-pos 70 23.9 -4.9 52.9 -0.1 -0.1 -0.1 22.6 -48.1
pair SLmean LWTI neg-pos 70 23.9 -4.9 52.9 -0.1 -0.1 -0.1 22.6 -48.1
pair LWTI RSI neg-pos 45 15.4 -4.9 51.1 -0.1 -0.1 -0.1 26.6 -40.2
pair RSI LWTI neg-pos 45 15.4 -4.9 51.1 -0.1 -0.1 -0.1 26.6 -40.2
pair LWTI RSmean neg-pos 23 7.8 -5.0 52.2 -0.1 -0.2 -0.2 21.8 -27.3
pair RSmean LWTI neg-pos 23 7.8 -5.0 52.2 -0.1 -0.2 -0.2 21.8 -27.3
pair MACDhist MACD pos-neg 76 25.9 -5.0 50.0 -0.1 -0.2 -0.1 20.7 -56.4
pair MACD MACDhist pos-neg 76 25.9 -5.0 50.0 -0.1 -0.2 -0.1 20.7 -56.4
pair LWTI MRmean neg-pos 52 17.7 -5.2 50.0 -0.1 -0.1 -0.1 24.9 -39.6
pair MRmean LWTI neg-pos 52 17.7 -5.2 50.0 -0.1 -0.1 -0.1 24.9 -39.6
pair LWTI RSI pos-neg 16 5.5 -5.6 43.8 -0.2 -0.4 -0.4 18.1 -12.7
pair RSI LWTI pos-neg 16 5.5 -5.6 43.8 -0.2 -0.4 -0.4 18.1 -12.7
pair MACD LWTI pos-neg 19 6.5 -5.9 42.1 -0.1 -0.2 -0.2 26.5 -29.9
pair LWTI MACD pos-neg 19 6.5 -5.9 42.1 -0.1 -0.2 -0.2 26.5 -29.9
pair SLmean RSmean neg-pos 84 28.7 -6.4 51.2 -0.1 -0.1 -0.1 30.7 -69.5
pair RSmean SLmean neg-pos 84 28.7 -6.4 51.2 -0.1 -0.1 -0.1 30.7 -69.5
pair MACD MRmean neg-pos 41 14.0 -6.7 48.8 -0.1 -0.2 -0.1 25.3 -47.4
pair MRmean MACD neg-pos 41 14.0 -6.7 48.8 -0.1 -0.2 -0.1 25.3 -47.4
pair SLmean MRmean pos-neg 21 7.2 -7.5 57.1 -0.5 -0.8 -0.3 13.9 -25.0
pair MRmean SLmean pos-neg 21 7.2 -7.5 57.1 -0.5 -0.8 -0.3 13.9 -25.0
pair SLmean RSmean pos-neg 8 2.7 -9.0 37.5 -0.5 -0.8 -1.3 15.6 -7.0
pair RSmean SLmean pos-neg 8 2.7 -9.0 37.5 -0.5 -0.8 -1.3 15.6 -7.0
pair SLmean MACD neg-pos 55 18.8 -9.1 50.9 -0.3 -0.4 -0.2 22.7 -55.8
pair MACD SLmean neg-pos 55 18.8 -9.1 50.9 -0.3 -0.4 -0.2 22.7 -55.8
pair MRmean RSmean pos-neg 7 2.4 -10.1 42.9 -0.6 -0.9 -1.5 16.8 -6.9
pair RSmean MRmean pos-neg 7 2.4 -10.1 42.9 -0.6 -0.9 -1.5 16.8 -6.9
pair SLmean MACDhist neg-pos 24 8.2 -10.2 54.2 -0.4 -0.6 -0.3 21.9 -38.8
pair MACDhist SLmean neg-pos 24 8.2 -10.2 54.2 -0.4 -0.6 -0.3 21.9 -38.8
pair RSI SLmean neg-pos 38 13.0 -10.6 50.0 -0.6 -0.9 -0.3 16.2 -36.3
pair SLmean RSI neg-pos 38 13.0 -10.6 50.0 -0.6 -0.9 -0.3 16.2 -36.3
pair MRmean RSI neg-pos 22 7.5 -10.7 45.5 -0.6 -0.8 -0.5 17.2 -22.8
pair RSI MRmean neg-pos 22 7.5 -10.7 45.5 -0.6 -0.8 -0.5 17.2 -22.8
pair MACD RSmean neg-neg 17 5.8 -10.9 47.1 -0.4 -0.5 -0.4 23.6 -27.2
pair RSmean MACD neg-neg 17 5.8 -10.9 47.1 -0.4 -0.5 -0.4 23.6 -27.2
pair RSI MACDhist neg-pos 21 7.2 -13.1 47.6 -0.4 -0.8 -0.4 25.6 -30.8
pair MACDhist RSI neg-pos 21 7.2 -13.1 47.6 -0.4 -0.8 -0.4 25.6 -30.8
pair MRmean MACDhist neg-pos 9 3.1 -13.9 44.4 -0.3 -0.6 -0.5 33.0 -30.5
pair MACDhist MRmean neg-pos 9 3.1 -13.9 44.4 -0.3 -0.6 -0.5 33.0 -30.5
pair RSmean RSIhist neg-pos 9 3.1 -18.8 44.4 -0.7 -0.9 -1.5 25.0 -12.3
pair RSIhist RSmean neg-pos 9 3.1 -18.8 44.4 -0.7 -0.9 -1.5 25.0 -12.3
pair RSIhist SLmean neg-pos 11 3.8 -25.8 36.4 -1.0 -1.4 -1.4 26.3 -18.7
pair SLmean RSIhist neg-pos 11 3.8 -25.8 36.4 -1.0 -1.4 -1.4 26.3 -18.7
pair RSmean MACDhist neg-pos 3 1.0 -27.2 33.3 -1.4 -5.6 -5.6 20.9 -4.8
pair MACDhist RSmean neg-pos 3 1.0 -27.2 33.3 -1.4 -5.6 -5.6 20.9 -4.8
pair LWTI MACDhist pos-neg 5 1.7 -37.2 20.0 -2.1 -2.8 -1.8 20.6 -21.1
pair MACDhist LWTI pos-neg 5 1.7 -37.2 20.0 -2.1 -2.8 -1.8 20.6 -21.1

All Contingency Tables for IXG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 66%
Sharpe 0.87 | Sortino 1.53 | Calmar 0.5
Vol 14% | MDD -24.9%
Months 177M (60%)
CAGR -7.5% | Win 57%
Sharpe -0.49 | Sortino -0.83 | Calmar -0.3
Vol 14% | MDD -25.0%
Months 21M (7%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR 19.8% | Win 57%
Sharpe 0.95 | Sortino 2.51 | Calmar 3.8
Vol 21% | MDD -5.3%
Months 14M (5%)
CAGR -3.8% | Win 52%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -71.8%
Months 81M (28%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
SLmean
only
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 65%
Sharpe 0.78 | Sortino 1.37 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 191M (65%)
CAGR -10.1% | Win 43%
Sharpe -0.56 | Sortino -0.93 | Calmar -1.5
Vol 17% | MDD -6.9%
Months 7M (2%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -1.8% | Win 51%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 33% | MDD -70.1%
Months 76M (26%)
CAGR 4.2% | Win 58%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.2
Vol 23% | MDD -27.2%
Months 19M (6%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
RSmean
only
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 65%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.3
Vol 13% | MDD -29.5%
Months 159M (54%)
CAGR 17.6% | Win 64%
Sharpe 1.03 | Sortino 1.86 | Calmar 0.8
Vol 17% | MDD -21.1%
Months 39M (13%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -6.7% | Win 49%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 25% | MDD -47.4%
Months 41M (14%)
CAGR 4.2% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 35% | MDD -66.2%
Months 54M (18%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
MACD
only
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 66%
Sharpe 0.81 | Sortino 1.44 | Calmar 0.3
Vol 13% | MDD -29.5%
Months 179M (61%)
CAGR 3.3% | Win 53%
Sharpe 0.25 | Sortino 0.53 | Calmar 0.2
Vol 22% | MDD -21.1%
Months 19M (6%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -10.7% | Win 46%
Sharpe -0.58 | Sortino -0.79 | Calmar -0.5
Vol 17% | MDD -22.8%
Months 22M (8%)
CAGR 2.6% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 34% | MDD -72.8%
Months 73M (25%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
RSI
only
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.0% | Win 67%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.3
Vol 13% | MDD -29.6%
Months 144M (49%)
CAGR 8.0% | Win 57%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 16% | MDD -25.4%
Months 54M (18%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -13.9% | Win 44%
Sharpe -0.30 | Sortino -0.62 | Calmar -0.5
Vol 33% | MDD -30.5%
Months 9M (3%)
CAGR 0.8% | Win 54%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -74.6%
Months 86M (29%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
MACDhist
only
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.8% | Win 64%
Sharpe 0.86 | Sortino 1.56 | Calmar 0.5
Vol 14% | MDD -24.0%
Months 160M (55%)
CAGR 0.0% | Win 66%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 13% | MDD -26.6%
Months 38M (13%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -3.0% | Win 47%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.2
Vol 28% | MDD -12.2%
Months 15M (5%)
CAGR -0.2% | Win 54%
Sharpe 0.16 | Sortino 0.21 | Calmar -0.0
Vol 32% | MDD -71.4%
Months 80M (27%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 66%
Sharpe 0.76 | Sortino 1.25 | Calmar 0.3
Vol 13% | MDD -29.2%
Months 178M (61%)
CAGR 9.0% | Win 50%
Sharpe 0.53 | Sortino 1.40 | Calmar 0.5
Vol 20% | MDD -17.5%
Months 20M (7%)
CAGR 9.4% | Win 65%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.3
Vol 14% | MDD -33.2%
Months 198M (68%)
MRmean
neg
CAGR -5.2% | Win 50%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 25% | MDD -39.6%
Months 52M (18%)
CAGR 5.1% | Win 56%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 37% | MDD -68.4%
Months 43M (15%)
CAGR -0.6% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -74.6%
Months 95M (32%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 13.2% | Win 66%
Sharpe 0.94 | Sortino 1.77 | Calmar 0.7
Vol 14% | MDD -18.6%
Months 183M (62%)
CAGR -9.0% | Win 38%
Sharpe -0.54 | Sortino -0.78 | Calmar -1.3
Vol 16% | MDD -7.0%
Months 8M (3%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -6.4% | Win 51%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 31% | MDD -69.5%
Months 84M (29%)
CAGR 4.5% | Win 61%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.2
Vol 23% | MDD -27.2%
Months 18M (6%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
RSmean
only
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 66%
Sharpe 0.81 | Sortino 1.47 | Calmar 0.5
Vol 13% | MDD -19.9%
Months 145M (50%)
CAGR 19.2% | Win 63%
Sharpe 1.04 | Sortino 2.04 | Calmar 0.8
Vol 19% | MDD -23.0%
Months 46M (16%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -9.1% | Win 51%
Sharpe -0.30 | Sortino -0.40 | Calmar -0.2
Vol 23% | MDD -55.8%
Months 55M (19%)
CAGR 1.0% | Win 55%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 36% | MDD -64.0%
Months 47M (16%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
MACD
only
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 67%
Sharpe 0.99 | Sortino 1.78 | Calmar 0.5
Vol 13% | MDD -24.9%
Months 163M (56%)
CAGR 11.4% | Win 54%
Sharpe 0.58 | Sortino 1.36 | Calmar 0.5
Vol 23% | MDD -23.0%
Months 28M (10%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -10.6% | Win 50%
Sharpe -0.61 | Sortino -0.91 | Calmar -0.3
Vol 16% | MDD -36.3%
Months 38M (13%)
CAGR -0.8% | Win 55%
Sharpe 0.16 | Sortino 0.22 | Calmar -0.0
Vol 35% | MDD -69.9%
Months 64M (22%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
RSI
only
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 68%
Sharpe 0.96 | Sortino 1.63 | Calmar 0.5
Vol 13% | MDD -23.0%
Months 129M (44%)
CAGR 12.1% | Win 58%
Sharpe 0.74 | Sortino 1.58 | Calmar 0.8
Vol 17% | MDD -14.7%
Months 62M (21%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -10.2% | Win 54%
Sharpe -0.39 | Sortino -0.60 | Calmar -0.3
Vol 22% | MDD -38.8%
Months 24M (8%)
CAGR -2.7% | Win 53%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 32% | MDD -70.5%
Months 78M (27%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
MACDhist
only
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.4% | Win 65%
Sharpe 0.94 | Sortino 1.80 | Calmar 0.6
Vol 14% | MDD -23.0%
Months 164M (56%)
CAGR 5.0% | Win 67%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.4
Vol 14% | MDD -13.7%
Months 27M (9%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -25.8% | Win 36%
Sharpe -1.00 | Sortino -1.35 | Calmar -1.4
Vol 26% | MDD -18.7%
Months 11M (4%)
CAGR -1.6% | Win 55%
Sharpe 0.10 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -70.8%
Months 91M (31%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.1% | Win 67%
Sharpe 0.88 | Sortino 1.44 | Calmar 0.5
Vol 13% | MDD -24.6%
Months 160M (55%)
CAGR 18.0% | Win 55%
Sharpe 0.91 | Sortino 2.52 | Calmar 1.3
Vol 20% | MDD -14.3%
Months 31M (11%)
CAGR 12.2% | Win 65%
Sharpe 0.87 | Sortino 1.62 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 191M (65%)
SLmean
neg
CAGR -4.9% | Win 53%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 23% | MDD -48.1%
Months 70M (24%)
CAGR -3.9% | Win 53%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.1
Vol 41% | MDD -67.1%
Months 32M (11%)
CAGR -4.6% | Win 53%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -71.5%
Months 102M (35%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 61%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 16% | MDD -51.4%
Months 191M (65%)
CAGR 14.8% | Win 62%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.2
Vol 30% | MDD -62.2%
Months 76M (26%)
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
RSmean
neg
CAGR 24.7% | Win 67%
Sharpe 1.60 | Sortino 2.58 | Calmar 5.0
Vol 14% | MDD -4.9%
Months 9M (3%)
CAGR -10.9% | Win 47%
Sharpe -0.37 | Sortino -0.49 | Calmar -0.4
Vol 24% | MDD -27.2%
Months 17M (6%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
MACD
only
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 64%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -32.0%
Months 191M (65%)
CAGR 3.5% | Win 55%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 33% | MDD -70.1%
Months 76M (26%)
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
RSmean
neg
CAGR 1.4% | Win 60%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.1
Vol 13% | MDD -11.4%
Months 10M (3%)
CAGR -0.7% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 25% | MDD -23.1%
Months 16M (6%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
RSI
only
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.3% | Win 67%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 150M (51%)
CAGR 3.4% | Win 55%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.0
Vol 27% | MDD -72.1%
Months 117M (40%)
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
RSmean
neg
CAGR -27.2% | Win 33%
Sharpe -1.43 | Sortino -5.63 | Calmar -5.6
Vol 21% | MDD -4.8%
Months 3M (1%)
CAGR 4.4% | Win 56%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 21% | MDD -27.2%
Months 23M (8%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
MACDhist
only
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.3% | Win 64%
Sharpe 0.85 | Sortino 1.50 | Calmar 0.6
Vol 15% | MDD -22.1%
Months 166M (57%)
CAGR -2.0% | Win 57%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 28% | MDD -72.1%
Months 101M (34%)
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
RSmean
neg
CAGR -18.8% | Win 44%
Sharpe -0.71 | Sortino -0.90 | Calmar -1.5
Vol 25% | MDD -12.3%
Months 9M (3%)
CAGR 11.8% | Win 59%
Sharpe 0.69 | Sortino 0.95 | Calmar 0.7
Vol 19% | MDD -15.8%
Months 17M (6%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 64%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 207M (71%)
CAGR 4.5% | Win 53%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 33% | MDD -68.4%
Months 60M (20%)
CAGR 6.7% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -72.9%
Months 267M (91%)
RSmean
neg
CAGR -5.0% | Win 52%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.2
Vol 22% | MDD -27.3%
Months 23M (8%)
CAGR 49.6% | Win 67%
Sharpe 3.70 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 3M (1%)
CAGR 0.1% | Win 54%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 21% | MDD -27.4%
Months 26M (9%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 62%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -33.4%
Months 178M (61%)
CAGR -3.7% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -29.6%
Months 22M (8%)
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
MACD
neg
CAGR 25.5% | Win 74%
Sharpe 1.95 | Sortino 4.51 | Calmar 4.8
Vol 12% | MDD -5.3%
Months 23M (8%)
CAGR 4.9% | Win 54%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 32% | MDD -62.5%
Months 70M (24%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
RSI
only
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.6% | Win 68%
Sharpe 0.87 | Sortino 1.40 | Calmar 0.4
Vol 13% | MDD -26.4%
Months 124M (42%)
CAGR -5.0% | Win 50%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 76M (26%)
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
MACD
neg
CAGR -0.7% | Win 55%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 22% | MDD -25.4%
Months 29M (10%)
CAGR 14.7% | Win 61%
Sharpe 0.60 | Sortino 0.75 | Calmar 0.2
Vol 31% | MDD -62.2%
Months 64M (22%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
MACDhist
only
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 64%
Sharpe 0.80 | Sortino 1.45 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 121M (41%)
CAGR -3.5% | Win 57%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 20% | MDD -57.5%
Months 79M (27%)
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
MACD
neg
CAGR 11.5% | Win 59%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.5
Vol 21% | MDD -21.1%
Months 54M (18%)
CAGR 7.1% | Win 59%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 39M (13%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 64%
Sharpe 0.44 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -39.5%
Months 181M (62%)
CAGR -5.9% | Win 42%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.2
Vol 26% | MDD -29.9%
Months 19M (6%)
CAGR 4.4% | Win 62%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -47.6%
Months 200M (68%)
MACD
neg
CAGR 7.5% | Win 59%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.3
Vol 22% | MDD -27.2%
Months 49M (17%)
CAGR 12.1% | Win 59%
Sharpe 0.51 | Sortino 0.64 | Calmar 0.2
Vol 35% | MDD -62.2%
Months 44M (15%)
CAGR 9.6% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 29% | MDD -62.2%
Months 93M (32%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.3% | Win 69%
Sharpe 1.02 | Sortino 1.85 | Calmar 0.5
Vol 12% | MDD -22.6%
Months 132M (45%)
CAGR -0.8% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 16% | MDD -37.8%
Months 69M (24%)
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
RSI
neg
CAGR -13.1% | Win 48%
Sharpe -0.42 | Sortino -0.80 | Calmar -0.4
Vol 26% | MDD -30.8%
Months 21M (7%)
CAGR 8.0% | Win 56%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 33% | MDD -71.5%
Months 71M (24%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
MACDhist
only
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 66%
Sharpe 1.02 | Sortino 1.89 | Calmar 0.7
Vol 13% | MDD -19.7%
Months 141M (48%)
CAGR -4.1% | Win 58%
Sharpe -0.21 | Sortino -0.30 | Calmar -0.1
Vol 15% | MDD -38.5%
Months 60M (20%)
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
RSI
neg
CAGR 0.5% | Win 50%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.0
Vol 24% | MDD -21.1%
Months 34M (12%)
CAGR 4.1% | Win 57%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 36% | MDD -70.1%
Months 58M (20%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.8% | Win 65%
Sharpe 0.71 | Sortino 1.14 | Calmar 0.4
Vol 13% | MDD -24.0%
Months 185M (63%)
CAGR -5.6% | Win 44%
Sharpe -0.23 | Sortino -0.43 | Calmar -0.4
Vol 18% | MDD -12.7%
Months 16M (6%)
CAGR 7.6% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.2
Vol 14% | MDD -31.2%
Months 201M (69%)
RSI
neg
CAGR -4.9% | Win 51%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 27% | MDD -40.2%
Months 45M (15%)
CAGR 10.7% | Win 57%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.2
Vol 36% | MDD -68.4%
Months 47M (16%)
CAGR 2.8% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 32% | MDD -71.5%
Months 92M (31%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.4% | Win 67%
Sharpe 0.86 | Sortino 1.32 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 124M (42%)
CAGR -3.6% | Win 62%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 18% | MDD -29.2%
Months 29M (10%)
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
MACDhist
neg
CAGR 8.2% | Win 53%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.5
Vol 20% | MDD -15.6%
Months 51M (17%)
CAGR 1.0% | Win 56%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 89M (30%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
RSIhist
only
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.4% | Win 68%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 148M (50%)
CAGR -37.2% | Win 20%
Sharpe -2.13 | Sortino -2.84 | Calmar -1.8
Vol 21% | MDD -21.1%
Months 5M (2%)
CAGR 8.4% | Win 66%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.2
Vol 15% | MDD -40.0%
Months 153M (52%)
MACDhist
neg
CAGR -1.5% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 20% | MDD -37.4%
Months 82M (28%)
CAGR 11.2% | Win 57%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 33% | MDD -68.4%
Months 58M (20%)
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -73.3%
Months 140M (48%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.8% | Win 65%
Sharpe 0.80 | Sortino 1.16 | Calmar 0.5
Vol 14% | MDD -20.8%
Months 147M (50%)
CAGR 8.6% | Win 50%
Sharpe 0.48 | Sortino 0.99 | Calmar 0.3
Vol 22% | MDD -25.8%
Months 28M (10%)
CAGR 10.4% | Win 63%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 175M (60%)
RSIhist
neg
CAGR -2.0% | Win 58%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 20% | MDD -44.6%
Months 83M (28%)
CAGR 4.5% | Win 57%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 39% | MDD -68.4%
Months 35M (12%)
CAGR -0.1% | Win 58%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 27% | MDD -73.3%
Months 118M (40%)
LWTI
only
CAGR 6.0% | Win 63%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.2
Vol 17% | MDD -38.6%
Months 230M (78%)
CAGR 6.3% | Win 54%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -68.4%
Months 63M (22%)