IXJ - iShares Global Healthcare ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

35.8%

Best CAGR

84

Total Months

7.8%

Avg CAGR

IXJ 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 IXJ

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 4 1.4 35.8 75.0 2.3 0.0 1608.3 13.9 -0.0
pair RSI MACDhist neg-pos 4 1.4 35.8 75.0 2.3 0.0 1608.3 13.9 -0.0
pair MRmean MACDhist neg-pos 10 3.4 35.4 70.0 2.5 5.2 8.6 12.7 -4.1
pair MACDhist MRmean neg-pos 10 3.4 35.4 70.0 2.5 5.2 8.6 12.7 -4.1
pair MACD SLmean pos-neg 18 6.2 31.0 77.8 2.8 7.7 9.4 10.1 -3.3
pair SLmean MACD pos-neg 18 6.2 31.0 77.8 2.8 7.7 9.4 10.1 -3.3
pair RSI MACD neg-pos 8 2.7 29.9 75.0 2.4 44.8 18.6 11.3 -1.6
pair MACD RSI neg-pos 8 2.7 29.9 75.0 2.4 44.8 18.6 11.3 -1.6
pair SLmean RSI pos-neg 11 3.8 29.3 81.8 2.9 4.2 8.9 9.3 -3.3
pair RSI SLmean pos-neg 11 3.8 29.3 81.8 2.9 4.2 8.9 9.3 -3.3
pair RSI MACD pos-neg 20 6.9 27.7 80.0 2.0 4.2 7.9 12.4 -3.5
pair MACD RSI pos-neg 20 6.9 27.7 80.0 2.0 4.2 7.9 12.4 -3.5
pair MRmean SLmean neg-pos 9 3.1 27.6 77.8 1.7 2.2 4.0 15.2 -6.9
pair SLmean MRmean neg-pos 9 3.1 27.6 77.8 1.7 2.2 4.0 15.2 -6.9
pair LWTI RSIhist pos-neg 16 5.5 24.1 68.8 1.7 2.4 3.3 13.4 -7.3
pair RSIhist LWTI pos-neg 16 5.5 24.1 68.8 1.7 2.4 3.3 13.4 -7.3
pair MRmean MACD pos-neg 17 5.8 23.6 76.5 2.4 6.0 7.2 9.2 -3.3
pair MACD MRmean pos-neg 17 5.8 23.6 76.5 2.4 6.0 7.2 9.2 -3.3
pair RSmean MACDhist neg-pos 4 1.4 23.0 50.0 1.9 24.7 20.0 11.4 -1.1
pair MACDhist RSmean neg-pos 4 1.4 23.0 50.0 1.9 24.7 20.0 11.4 -1.1
pair MACD RSIhist neg-pos 24 8.2 21.6 70.8 1.9 5.0 2.8 10.5 -7.7
pair RSIhist MACD neg-pos 24 8.2 21.6 70.8 1.9 5.0 2.8 10.5 -7.7
pair MRmean MACD neg-pos 51 17.5 21.0 70.6 1.5 3.3 1.6 13.7 -12.7
pair MACD MRmean neg-pos 51 17.5 21.0 70.6 1.5 3.3 1.6 13.7 -12.7
pair SLmean LWTI pos-neg 19 6.5 20.4 73.7 1.6 2.0 2.9 12.2 -6.9
pair LWTI SLmean pos-neg 19 6.5 20.4 73.7 1.6 2.0 2.9 12.2 -6.9
pair MACD MACDhist neg-pos 6 2.1 20.1 66.7 1.6 31.6 12.5 11.7 -1.6
pair MACDhist MACD neg-pos 6 2.1 20.1 66.7 1.6 31.6 12.5 11.7 -1.6
pair SLmean MACDhist neg-pos 30 10.3 19.6 66.7 1.3 2.1 1.9 14.6 -10.3
pair MACDhist SLmean neg-pos 30 10.3 19.6 66.7 1.3 2.1 1.9 14.6 -10.3
pair RSIhist MACDhist pos-neg 44 15.1 18.6 68.2 1.3 2.0 1.8 14.2 -10.3
pair MACDhist RSIhist pos-neg 44 15.1 18.6 68.2 1.3 2.0 1.8 14.2 -10.3
pair MACD SLmean neg-pos 70 24.1 18.2 67.1 1.3 2.6 1.4 13.9 -13.3
pair SLmean MACD neg-pos 70 24.1 18.2 67.1 1.3 2.6 1.4 13.9 -13.3
pair MRmean LWTI pos-neg 14 4.8 17.9 64.3 1.7 3.1 4.2 10.1 -4.3
pair LWTI MRmean pos-neg 14 4.8 17.9 64.3 1.7 3.1 4.2 10.1 -4.3
pair RSI RSIhist neg-pos 16 5.5 17.6 68.8 1.6 3.6 2.3 10.4 -7.7
pair RSIhist RSI neg-pos 16 5.5 17.6 68.8 1.6 3.6 2.3 10.4 -7.7
pair RSI MRmean pos-neg 10 3.4 16.9 80.0 2.3 2.6 5.1 6.8 -3.3
pair MRmean RSI pos-neg 10 3.4 16.9 80.0 2.3 2.6 5.1 6.8 -3.3
pair RSI MRmean neg-pos 32 11.0 16.5 65.6 1.1 2.6 1.3 14.4 -13.0
pair MRmean RSI neg-pos 32 11.0 16.5 65.6 1.1 2.6 1.3 14.4 -13.0
pair LWTI MACD pos-neg 17 5.8 16.1 64.7 1.1 1.9 2.3 14.9 -6.9
pair MACD LWTI pos-neg 17 5.8 16.1 64.7 1.1 1.9 2.3 14.9 -6.9
pair RSmean MRmean neg-pos 62 21.3 15.6 67.7 0.9 1.4 0.5 17.3 -34.2
pair MRmean RSmean neg-pos 62 21.3 15.6 67.7 0.9 1.4 0.5 17.3 -34.2
pair MACD RSIhist pos-neg 107 36.8 14.6 68.2 1.1 1.9 1.1 13.8 -13.4
pair RSIhist MACD pos-neg 107 36.8 14.6 68.2 1.1 1.9 1.1 13.8 -13.4
pair SLmean RSI neg-pos 51 17.5 14.5 62.7 1.0 2.1 1.0 14.3 -14.1
pair RSI SLmean neg-pos 51 17.5 14.5 62.7 1.0 2.1 1.0 14.3 -14.1
pair RSmean RSI pos-neg 43 14.8 13.3 69.8 0.8 1.0 0.5 17.2 -26.4
pair RSI RSmean pos-neg 43 14.8 13.3 69.8 0.8 1.0 0.5 17.2 -26.4
pair SLmean RSmean neg-pos 80 27.5 12.9 65.0 0.8 1.2 0.4 16.5 -29.2
pair RSmean SLmean neg-pos 80 27.5 12.9 65.0 0.8 1.2 0.4 16.5 -29.2
pair RSIhist RSmean pos-neg 107 36.8 12.7 68.2 0.8 1.2 0.4 15.8 -28.9
pair RSmean RSIhist pos-neg 107 36.8 12.7 68.2 0.8 1.2 0.4 15.8 -28.9
pair LWTI MACDhist neg-neg 32 11.0 12.3 68.8 0.7 0.9 0.4 19.7 -31.5
pair MACDhist LWTI neg-neg 32 11.0 12.3 68.8 0.7 0.9 0.4 19.7 -31.5
pair LWTI RSI neg-neg 22 7.6 12.1 68.2 0.6 0.8 0.5 21.9 -26.4
pair RSI LWTI neg-neg 22 7.6 12.1 68.2 0.6 0.8 0.5 21.9 -26.4
pair RSI RSIhist pos-neg 87 29.9 11.8 65.5 0.9 1.5 0.7 14.0 -18.0
pair RSIhist RSI pos-neg 87 29.9 11.8 65.5 0.9 1.5 0.7 14.0 -18.0
pair MRmean SLmean pos-neg 27 9.3 11.4 63.0 0.8 1.4 1.1 14.2 -10.8
pair SLmean MRmean pos-neg 27 9.3 11.4 63.0 0.8 1.4 1.1 14.2 -10.8
single LWTI LWTI neg-neg 35 12.0 11.3 65.7 0.7 0.8 0.4 18.9 -31.5
pair RSmean LWTI pos-neg 35 12.0 11.3 65.7 0.7 0.8 0.4 18.9 -31.5
pair LWTI RSmean pos-neg 35 12.0 11.3 65.7 0.7 0.8 0.4 18.9 -31.5
pair RSIhist SLmean neg-pos 8 2.7 10.7 62.5 1.0 2.5 1.4 11.0 -7.7
pair SLmean RSIhist neg-pos 8 2.7 10.7 62.5 1.0 2.5 1.4 11.0 -7.7
pair MACDhist LWTI pos-pos 164 56.4 10.6 65.2 0.9 1.4 0.7 11.9 -14.5
pair LWTI MACDhist pos-pos 164 56.4 10.6 65.2 0.9 1.4 0.7 11.9 -14.5
pair RSIhist SLmean pos-neg 39 13.4 10.4 71.8 0.8 1.2 0.6 13.5 -17.4
single MACDhist MACDhist pos-pos 167 57.4 10.4 64.7 0.9 1.4 0.7 11.8 -15.1
pair SLmean RSIhist pos-neg 39 13.4 10.4 71.8 0.8 1.2 0.6 13.5 -17.4
pair MACDhist RSmean pos-pos 163 56.0 10.1 65.0 0.9 1.4 0.7 11.9 -15.1
pair RSmean MACDhist pos-pos 163 56.0 10.1 65.0 0.9 1.4 0.7 11.9 -15.1
pair MACDhist MACD pos-pos 161 55.3 10.1 64.6 0.9 1.4 0.7 11.9 -15.5
pair MACD MACDhist pos-pos 161 55.3 10.1 64.6 0.9 1.4 0.7 11.9 -15.5
pair RSI LWTI pos-neg 13 4.5 9.9 61.5 0.8 1.1 2.3 13.1 -4.3
pair LWTI RSI pos-neg 13 4.5 9.9 61.5 0.8 1.1 2.3 13.1 -4.3
pair RSI MACDhist pos-pos 163 56.0 9.8 64.4 0.9 1.4 0.7 11.8 -15.1
pair MACDhist RSI pos-pos 163 56.0 9.8 64.4 0.9 1.4 0.7 11.8 -15.1
pair LWTI RSIhist neg-pos 107 36.8 9.8 62.6 0.7 1.4 0.5 14.1 -21.2
pair RSIhist LWTI neg-pos 107 36.8 9.8 62.6 0.7 1.4 0.5 14.1 -21.2
pair MRmean LWTI neg-pos 56 19.2 9.4 57.1 0.7 1.8 0.4 13.7 -22.9
pair LWTI MRmean neg-pos 56 19.2 9.4 57.1 0.7 1.8 0.4 13.7 -22.9
pair SLmean LWTI neg-pos 79 27.1 9.2 59.5 0.7 1.5 0.4 13.8 -21.7
pair LWTI SLmean neg-pos 79 27.1 9.2 59.5 0.7 1.5 0.4 13.8 -21.7
pair MACD RSmean pos-pos 236 81.1 9.2 64.0 0.8 1.3 0.4 12.4 -21.9
pair RSmean MACD pos-pos 236 81.1 9.2 64.0 0.8 1.3 0.4 12.4 -21.9
single RSmean RSmean pos-pos 267 91.8 9.2 64.0 0.7 1.1 0.2 13.2 -36.3
pair MRmean RSIhist neg-neg 68 23.4 9.1 60.3 0.6 1.0 0.2 16.8 -37.2
pair RSIhist MRmean neg-neg 68 23.4 9.1 60.3 0.6 1.0 0.2 16.8 -37.2
pair MRmean MACDhist pos-pos 157 54.0 9.0 64.3 0.8 1.2 0.6 11.7 -15.1
pair MACDhist MRmean pos-pos 157 54.0 9.0 64.3 0.8 1.2 0.6 11.7 -15.1
pair LWTI RSmean pos-pos 232 79.7 8.8 63.8 0.8 1.3 0.5 12.2 -18.9
pair RSmean LWTI pos-pos 232 79.7 8.8 63.8 0.8 1.3 0.5 12.2 -18.9
single MRmean MRmean neg-neg 77 26.5 8.8 59.7 0.6 1.0 0.2 16.6 -40.0
single MACD MACD pos-pos 248 85.2 8.8 63.3 0.7 1.3 0.4 12.4 -23.8
pair MACD RSmean pos-neg 31 10.7 8.7 64.5 0.5 0.7 0.3 18.5 -26.4
pair RSmean MACD pos-neg 31 10.7 8.7 64.5 0.5 0.7 0.3 18.5 -26.4
pair SLmean MACDhist pos-pos 137 47.1 8.5 64.2 0.8 1.2 0.5 11.1 -16.9
single RSIhist RSIhist neg-neg 126 43.3 8.5 62.7 0.6 0.9 0.3 15.6 -30.7
pair MACDhist SLmean pos-pos 137 47.1 8.5 64.2 0.8 1.2 0.5 11.1 -16.9
pair RSmean RSI pos-pos 224 77.0 8.4 62.9 0.7 1.2 0.4 12.3 -19.8
pair RSI RSmean pos-pos 224 77.0 8.4 62.9 0.7 1.2 0.4 12.3 -19.8
pair LWTI MACD pos-pos 231 79.4 8.2 63.2 0.7 1.2 0.4 12.2 -19.4
pair MACD LWTI pos-pos 231 79.4 8.2 63.2 0.7 1.2 0.4 12.2 -19.4
single RSI RSI pos-pos 236 81.1 7.9 62.3 0.7 1.2 0.4 12.3 -19.8
single SLmean SLmean neg-neg 95 32.6 7.9 58.9 0.6 0.9 0.2 16.0 -32.8
pair MRmean RSIhist pos-neg 58 19.9 7.8 65.5 0.6 0.9 0.5 14.1 -14.3
pair RSIhist MRmean pos-neg 58 19.9 7.8 65.5 0.6 0.9 0.5 14.1 -14.3
pair RSI LWTI pos-pos 223 76.6 7.8 62.3 0.7 1.2 0.4 12.3 -20.9
pair LWTI RSI pos-pos 223 76.6 7.8 62.3 0.7 1.2 0.4 12.3 -20.9
pair MACDhist RSmean pos-neg 104 35.7 7.7 62.5 0.6 0.9 0.2 15.1 -36.3
pair RSmean MACDhist pos-neg 104 35.7 7.7 62.5 0.6 0.9 0.2 15.1 -36.3
pair MACDhist RSIhist pos-pos 123 42.3 7.6 63.4 0.7 1.1 0.6 10.8 -11.8
pair RSIhist MACDhist pos-pos 123 42.3 7.6 63.4 0.7 1.1 0.6 10.8 -11.8
pair RSIhist SLmean neg-neg 87 29.9 7.6 58.6 0.5 0.9 0.2 16.5 -34.2
pair SLmean RSIhist neg-neg 87 29.9 7.6 58.6 0.5 0.9 0.2 16.5 -34.2
pair SLmean RSmean pos-pos 187 64.3 7.6 63.6 0.7 1.1 0.4 11.5 -19.7
pair RSmean SLmean pos-pos 187 64.3 7.6 63.6 0.7 1.1 0.4 11.5 -19.7
pair benchmark___benchmark_ benchmark-benchmark 291 100.0 7.6 61.9 0.6 1.0 0.2 13.2 -37.9
pair benchmark___benchmark_ benchmark-benchmark 291 100.0 7.6 61.9 0.6 1.0 0.2 13.2 -37.9
single SLmean SLmean pos-pos 196 67.4 7.4 63.3 0.7 1.1 0.2 11.6 -29.7
pair RSmean MRmean pos-pos 205 70.4 7.3 62.9 0.7 1.1 0.4 11.7 -19.9
pair MRmean RSmean pos-pos 205 70.4 7.3 62.9 0.7 1.1 0.4 11.7 -19.9
pair MACD RSI pos-pos 228 78.4 7.2 61.8 0.6 1.1 0.3 12.3 -25.7
pair RSI MACD pos-pos 228 78.4 7.2 61.8 0.6 1.1 0.3 12.3 -25.7
single LWTI LWTI pos-pos 256 88.0 7.1 61.3 0.6 1.1 0.3 12.3 -24.0
pair LWTI MRmean neg-neg 21 7.2 7.1 66.7 0.4 0.7 0.2 23.2 -31.5
pair MRmean LWTI neg-neg 21 7.2 7.1 66.7 0.4 0.7 0.2 23.2 -31.5
single MRmean MRmean pos-pos 214 73.5 7.1 62.6 0.7 1.0 0.3 11.8 -26.7
pair MRmean RSIhist pos-pos 156 53.6 6.9 61.5 0.7 1.1 0.3 10.8 -23.1
pair RSIhist MRmean pos-pos 156 53.6 6.9 61.5 0.7 1.1 0.3 10.8 -23.1
single RSIhist RSIhist pos-pos 165 56.7 6.9 61.2 0.7 1.1 0.3 11.1 -23.1
pair MACD LWTI neg-neg 18 6.2 6.9 66.7 0.4 0.5 0.3 22.4 -26.7
pair LWTI MACD neg-neg 18 6.2 6.9 66.7 0.4 0.5 0.3 22.4 -26.7
pair RSIhist RSmean pos-pos 160 55.0 6.9 61.2 0.7 1.1 0.3 11.1 -20.1
pair RSmean RSIhist pos-pos 160 55.0 6.9 61.2 0.7 1.1 0.3 11.1 -20.1
pair SLmean RSIhist pos-pos 157 54.0 6.7 61.1 0.6 1.1 0.3 11.1 -23.1
pair RSIhist SLmean pos-pos 157 54.0 6.7 61.1 0.6 1.1 0.3 11.1 -23.1
pair RSI MRmean pos-pos 204 70.1 6.7 61.8 0.6 1.0 0.2 11.9 -26.7
pair MRmean RSI pos-pos 204 70.1 6.7 61.8 0.6 1.0 0.2 11.9 -26.7
pair SLmean MRmean pos-pos 187 64.3 6.5 62.6 0.6 1.0 0.2 11.4 -33.6
pair MRmean SLmean pos-pos 187 64.3 6.5 62.6 0.6 1.0 0.2 11.4 -33.6
pair SLmean MRmean neg-neg 68 23.4 6.5 57.4 0.5 0.8 0.2 16.8 -38.8
pair MRmean SLmean neg-neg 68 23.4 6.5 57.4 0.5 0.8 0.2 16.8 -38.8
pair MRmean RSIhist neg-pos 9 3.1 6.4 55.6 0.5 0.9 0.8 15.8 -7.7
pair RSIhist MRmean neg-pos 9 3.1 6.4 55.6 0.5 0.9 0.8 15.8 -7.7
pair LWTI MRmean pos-pos 200 68.7 6.4 62.5 0.6 0.9 0.2 11.9 -26.7
pair MRmean LWTI pos-pos 200 68.7 6.4 62.5 0.6 0.9 0.2 11.9 -26.7
pair MACDhist MACD pos-neg 87 29.9 6.4 60.9 0.5 1.1 0.3 13.3 -22.5
pair MACD MACDhist pos-neg 87 29.9 6.4 60.9 0.5 1.1 0.3 13.3 -22.5
pair RSIhist RSmean neg-pos 5 1.7 6.4 60.0 0.6 1.0 1.7 10.4 -3.8
pair RSmean RSIhist neg-pos 5 1.7 6.4 60.0 0.6 1.0 1.7 10.4 -3.8
pair SLmean RSI pos-pos 185 63.6 6.2 62.2 0.6 0.9 0.2 11.7 -29.7
pair RSI SLmean pos-pos 185 63.6 6.2 62.2 0.6 0.9 0.2 11.7 -29.7
pair LWTI SLmean pos-pos 177 60.8 6.1 62.1 0.6 0.9 0.2 11.5 -29.7
pair SLmean LWTI pos-pos 177 60.8 6.1 62.1 0.6 0.9 0.2 11.5 -29.7
single RSI RSI neg-neg 55 18.9 5.9 60.0 0.4 0.6 0.2 16.6 -31.8
pair RSIhist RSI pos-pos 149 51.2 5.8 60.4 0.6 0.9 0.2 11.2 -23.1
pair RSI RSIhist pos-pos 149 51.2 5.8 60.4 0.6 0.9 0.2 11.2 -23.1
pair MACD MRmean pos-pos 197 67.7 5.8 61.4 0.5 0.8 0.2 11.9 -26.7
pair MRmean MACD pos-pos 197 67.7 5.8 61.4 0.5 0.8 0.2 11.9 -26.7
pair MACDhist MRmean neg-neg 67 23.0 5.3 58.2 0.4 0.7 0.1 17.0 -41.9
pair MRmean MACDhist neg-neg 67 23.0 5.3 58.2 0.4 0.7 0.1 17.0 -41.9
pair SLmean MACD pos-pos 178 61.2 5.3 61.8 0.5 0.8 0.2 11.6 -29.7
pair MACD SLmean pos-pos 178 61.2 5.3 61.8 0.5 0.8 0.2 11.6 -29.7
pair RSIhist LWTI pos-pos 149 51.2 5.1 60.4 0.5 0.9 0.2 10.8 -23.1
pair LWTI RSIhist pos-pos 149 51.2 5.1 60.4 0.5 0.9 0.2 10.8 -23.1
pair MACDhist SLmean pos-neg 59 20.3 4.9 61.0 0.4 0.7 0.3 12.7 -17.5
pair SLmean MACDhist pos-neg 59 20.3 4.9 61.0 0.4 0.7 0.3 12.7 -17.5
pair MACDhist RSIhist neg-pos 42 14.4 4.7 54.8 0.4 0.9 0.3 12.0 -15.5
pair RSIhist MACDhist neg-pos 42 14.4 4.7 54.8 0.4 0.9 0.3 12.0 -15.5
pair RSIhist MACD pos-pos 141 48.5 4.5 59.6 0.5 0.7 0.2 11.1 -23.1
pair MACD RSIhist pos-pos 141 48.5 4.5 59.6 0.5 0.7 0.2 11.1 -23.1
single MACDhist MACDhist neg-neg 124 42.6 3.8 58.1 0.3 0.5 0.1 14.8 -37.9
pair RSI MACDhist pos-neg 73 25.1 3.8 57.5 0.3 0.7 0.2 13.4 -24.4
pair RSI MACDhist neg-neg 51 17.5 3.8 58.8 0.3 0.5 0.1 16.8 -31.8
pair MACDhist RSI neg-neg 51 17.5 3.8 58.8 0.3 0.5 0.1 16.8 -31.8
pair MACDhist RSI pos-neg 73 25.1 3.8 57.5 0.3 0.7 0.2 13.4 -24.4
pair RSI MRmean neg-neg 45 15.5 3.6 55.6 0.3 0.4 0.1 18.1 -36.9
pair MRmean RSI neg-neg 45 15.5 3.6 55.6 0.3 0.4 0.1 18.1 -36.9
pair RSIhist MACDhist neg-neg 82 28.2 3.4 59.8 0.3 0.5 0.1 16.2 -37.0
pair MACDhist RSIhist neg-neg 82 28.2 3.4 59.8 0.3 0.5 0.1 16.2 -37.0
pair SLmean RSmean pos-neg 9 3.1 3.1 55.6 0.3 0.5 0.2 14.3 -12.9
pair RSmean SLmean pos-neg 9 3.1 3.1 55.6 0.3 0.5 0.2 14.3 -12.9
pair MRmean RSmean pos-neg 9 3.1 3.1 55.6 0.3 0.5 0.2 14.3 -12.9
pair RSmean MRmean pos-neg 9 3.1 3.1 55.6 0.3 0.5 0.2 14.3 -12.9
pair SLmean MACDhist neg-neg 65 22.3 2.9 55.4 0.2 0.4 0.1 16.6 -37.8
pair MACDhist SLmean neg-neg 65 22.3 2.9 55.4 0.2 0.4 0.1 16.6 -37.8
pair MRmean MACDhist pos-neg 57 19.6 2.2 57.9 0.2 0.4 0.1 11.9 -25.0
pair MACDhist MRmean pos-neg 57 19.6 2.2 57.9 0.2 0.4 0.1 11.9 -25.0
pair LWTI RSI neg-pos 33 11.3 1.9 54.5 0.2 0.4 0.1 12.2 -24.0
pair RSI LWTI neg-pos 33 11.3 1.9 54.5 0.2 0.4 0.1 12.2 -24.0
pair LWTI RSIhist neg-neg 19 6.5 1.5 63.2 0.2 0.2 0.1 22.6 -26.4
pair RSIhist LWTI neg-neg 19 6.5 1.5 63.2 0.2 0.2 0.1 22.6 -26.4
pair RSI RSIhist neg-neg 39 13.4 1.4 56.4 0.2 0.2 0.0 18.6 -38.2
pair RSIhist RSI neg-neg 39 13.4 1.4 56.4 0.2 0.2 0.0 18.6 -38.2
pair LWTI SLmean neg-neg 16 5.5 1.4 56.2 0.2 0.3 0.1 24.9 -26.4
pair SLmean LWTI neg-neg 16 5.5 1.4 56.2 0.2 0.3 0.1 24.9 -26.4
pair LWTI MACDhist neg-pos 92 31.6 1.0 54.3 0.1 0.3 0.0 12.7 -29.4
pair MACDhist LWTI neg-pos 92 31.6 1.0 54.3 0.1 0.3 0.0 12.7 -29.4
single MACD MACD neg-neg 43 14.8 0.8 53.5 0.1 0.2 0.0 17.3 -26.5
pair SLmean RSI neg-neg 44 15.1 0.7 54.5 0.1 0.2 0.0 17.8 -39.4
pair RSI SLmean neg-neg 44 15.1 0.7 54.5 0.1 0.2 0.0 17.8 -39.4
pair MACDhist LWTI pos-neg 3 1.0 0.6 33.3 0.1 0.5 0.3 6.8 -2.1
pair LWTI MACDhist pos-neg 3 1.0 0.6 33.3 0.1 0.5 0.3 6.8 -2.1
pair RSmean MACD neg-pos 12 4.1 0.1 50.0 0.1 0.1 0.0 12.6 -12.9
pair MACD RSmean neg-pos 12 4.1 0.1 50.0 0.1 0.1 0.0 12.6 -12.9
pair RSI RSmean neg-pos 12 4.1 0.1 50.0 0.1 0.1 0.0 12.6 -12.9
pair RSmean RSI neg-pos 12 4.1 0.1 50.0 0.1 0.1 0.0 12.6 -12.9
pair MACDhist MACD neg-neg 37 12.7 -2.0 51.4 -0.0 -0.0 -0.1 18.0 -26.5
pair MACD MACDhist neg-neg 37 12.7 -2.0 51.4 -0.0 -0.0 -0.1 18.0 -26.5
pair LWTI MACD neg-pos 25 8.6 -3.4 44.0 -0.2 -0.5 -0.1 12.7 -24.0
pair MACD LWTI neg-pos 25 8.6 -3.4 44.0 -0.2 -0.5 -0.1 12.7 -24.0
pair MACD RSI neg-neg 35 12.0 -4.9 48.6 -0.2 -0.3 -0.1 18.1 -32.3
pair RSI MACD neg-neg 35 12.0 -4.9 48.6 -0.2 -0.3 -0.1 18.1 -32.3
pair LWTI RSmean neg-pos 24 8.2 -8.8 37.5 -0.7 -1.3 -0.4 12.5 -21.2
pair RSmean LWTI neg-pos 24 8.2 -8.8 37.5 -0.7 -1.3 -0.4 12.5 -21.2
single RSmean RSmean neg-neg 24 8.2 -8.8 37.5 -0.7 -1.3 -0.4 12.5 -21.2
pair MACD MRmean neg-neg 26 8.9 -11.8 38.5 -0.5 -0.8 -0.3 20.3 -37.1
pair MRmean MACD neg-neg 26 8.9 -11.8 38.5 -0.5 -0.8 -0.3 20.3 -37.1
pair RSmean RSIhist neg-neg 19 6.5 -12.5 31.6 -1.0 -1.9 -0.6 13.0 -21.2
pair RSIhist RSmean neg-neg 19 6.5 -12.5 31.6 -1.0 -1.9 -0.6 13.0 -21.2
pair MACDhist RSmean neg-neg 20 6.9 -14.1 35.0 -1.2 -2.3 -0.6 12.3 -25.8
pair RSmean MACDhist neg-neg 20 6.9 -14.1 35.0 -1.2 -2.3 -0.6 12.3 -25.8
pair MRmean RSmean neg-neg 15 5.2 -15.4 26.7 -1.4 -2.5 -0.7 11.2 -21.2
pair RSmean MRmean neg-neg 15 5.2 -15.4 26.7 -1.4 -2.5 -0.7 11.2 -21.2
pair RSmean SLmean neg-neg 15 5.2 -15.4 26.7 -1.4 -2.5 -0.7 11.2 -21.2
pair SLmean RSmean neg-neg 15 5.2 -15.4 26.7 -1.4 -2.5 -0.7 11.2 -21.2
pair SLmean MACD neg-neg 25 8.6 -16.5 36.0 -0.8 -1.3 -0.4 19.5 -39.6
pair MACD SLmean neg-neg 25 8.6 -16.5 36.0 -0.8 -1.3 -0.4 19.5 -39.6
pair RSI RSmean neg-neg 12 4.1 -17.0 25.0 -1.4 -2.7 -0.8 12.3 -21.2
pair RSmean RSI neg-neg 12 4.1 -17.0 25.0 -1.4 -2.7 -0.8 12.3 -21.2
pair RSmean MACD neg-neg 12 4.1 -17.0 25.0 -1.4 -2.7 -0.8 12.3 -21.2
pair MACD RSmean neg-neg 12 4.1 -17.0 25.0 -1.4 -2.7 -0.8 12.3 -21.2
pair MACD RSIhist neg-neg 19 6.5 -20.4 31.6 -0.9 -1.5 -0.5 21.7 -38.7
pair RSIhist MACD neg-neg 19 6.5 -20.4 31.6 -0.9 -1.5 -0.5 21.7 -38.7

All Contingency Tables for IXJ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 63%
Sharpe 0.61 | Sortino 0.96 | Calmar 0.2
Vol 11% | MDD -33.6%
Months 187M (64%)
CAGR 11.4% | Win 63%
Sharpe 0.84 | Sortino 1.37 | Calmar 1.1
Vol 14% | MDD -10.8%
Months 27M (9%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 27.6% | Win 78%
Sharpe 1.68 | Sortino 2.17 | Calmar 4.0
Vol 15% | MDD -6.9%
Months 9M (3%)
CAGR 6.5% | Win 57%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 17% | MDD -38.8%
Months 68M (23%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
SLmean
only
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 63%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.4
Vol 12% | MDD -19.9%
Months 205M (70%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.54 | Calmar 0.2
Vol 14% | MDD -12.9%
Months 9M (3%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 15.6% | Win 68%
Sharpe 0.93 | Sortino 1.40 | Calmar 0.5
Vol 17% | MDD -34.2%
Months 62M (21%)
CAGR -15.4% | Win 27%
Sharpe -1.42 | Sortino -2.50 | Calmar -0.7
Vol 11% | MDD -21.2%
Months 15M (5%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
RSmean
only
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 61%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.2
Vol 12% | MDD -26.7%
Months 197M (68%)
CAGR 23.6% | Win 76%
Sharpe 2.38 | Sortino 6.00 | Calmar 7.1
Vol 9% | MDD -3.3%
Months 17M (6%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 21.0% | Win 71%
Sharpe 1.47 | Sortino 3.28 | Calmar 1.7
Vol 14% | MDD -12.7%
Months 51M (18%)
CAGR -11.8% | Win 38%
Sharpe -0.52 | Sortino -0.83 | Calmar -0.3
Vol 20% | MDD -37.1%
Months 26M (9%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 6.7% | Win 62%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.2
Vol 12% | MDD -26.7%
Months 204M (70%)
CAGR 16.9% | Win 80%
Sharpe 2.34 | Sortino 2.56 | Calmar 5.1
Vol 7% | MDD -3.3%
Months 10M (3%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 16.5% | Win 66%
Sharpe 1.14 | Sortino 2.59 | Calmar 1.3
Vol 14% | MDD -13.0%
Months 32M (11%)
CAGR 3.6% | Win 56%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -36.9%
Months 45M (16%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
RSI
only
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 64%
Sharpe 0.80 | Sortino 1.24 | Calmar 0.6
Vol 12% | MDD -15.1%
Months 157M (54%)
CAGR 2.2% | Win 58%
Sharpe 0.24 | Sortino 0.39 | Calmar 0.1
Vol 12% | MDD -25.0%
Months 57M (20%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 35.4% | Win 70%
Sharpe 2.46 | Sortino 5.24 | Calmar 8.6
Vol 13% | MDD -4.1%
Months 10M (3%)
CAGR 5.3% | Win 58%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 17% | MDD -41.9%
Months 67M (23%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
MACDhist
only
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 6.9% | Win 62%
Sharpe 0.67 | Sortino 1.11 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 156M (54%)
CAGR 7.8% | Win 66%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.5
Vol 14% | MDD -14.3%
Months 58M (20%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 6.4% | Win 56%
Sharpe 0.47 | Sortino 0.89 | Calmar 0.8
Vol 16% | MDD -7.7%
Months 9M (3%)
CAGR 9.1% | Win 60%
Sharpe 0.60 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -37.2%
Months 68M (23%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.4% | Win 62%
Sharpe 0.58 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -26.7%
Months 200M (69%)
CAGR 17.9% | Win 64%
Sharpe 1.68 | Sortino 3.15 | Calmar 4.2
Vol 10% | MDD -4.3%
Months 14M (5%)
CAGR 7.1% | Win 63%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 12% | MDD -26.7%
Months 214M (74%)
MRmean
neg
CAGR 9.4% | Win 57%
Sharpe 0.73 | Sortino 1.76 | Calmar 0.4
Vol 14% | MDD -22.9%
Months 56M (19%)
CAGR 7.1% | Win 67%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.2
Vol 23% | MDD -31.5%
Months 21M (7%)
CAGR 8.8% | Win 60%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.2
Vol 17% | MDD -40.0%
Months 77M (26%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 64%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -19.7%
Months 187M (64%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.54 | Calmar 0.2
Vol 14% | MDD -12.9%
Months 9M (3%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 12.9% | Win 65%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.4
Vol 16% | MDD -29.2%
Months 80M (28%)
CAGR -15.4% | Win 27%
Sharpe -1.42 | Sortino -2.50 | Calmar -0.7
Vol 11% | MDD -21.2%
Months 15M (5%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
RSmean
only
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.3% | Win 62%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 178M (61%)
CAGR 31.0% | Win 78%
Sharpe 2.77 | Sortino 7.67 | Calmar 9.4
Vol 10% | MDD -3.3%
Months 18M (6%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 18.2% | Win 67%
Sharpe 1.28 | Sortino 2.62 | Calmar 1.4
Vol 14% | MDD -13.3%
Months 70M (24%)
CAGR -16.5% | Win 36%
Sharpe -0.83 | Sortino -1.27 | Calmar -0.4
Vol 20% | MDD -39.6%
Months 25M (9%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 62%
Sharpe 0.58 | Sortino 0.91 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 185M (64%)
CAGR 29.3% | Win 82%
Sharpe 2.85 | Sortino 4.23 | Calmar 8.9
Vol 9% | MDD -3.3%
Months 11M (4%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 14.5% | Win 63%
Sharpe 1.02 | Sortino 2.07 | Calmar 1.0
Vol 14% | MDD -14.1%
Months 51M (18%)
CAGR 0.7% | Win 55%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -39.4%
Months 44M (15%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
RSI
only
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 64%
Sharpe 0.79 | Sortino 1.22 | Calmar 0.5
Vol 11% | MDD -16.9%
Months 137M (47%)
CAGR 4.9% | Win 61%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.3
Vol 13% | MDD -17.5%
Months 59M (20%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 19.6% | Win 67%
Sharpe 1.31 | Sortino 2.11 | Calmar 1.9
Vol 15% | MDD -10.3%
Months 30M (10%)
CAGR 2.9% | Win 55%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 17% | MDD -37.8%
Months 65M (22%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
MACDhist
only
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 6.7% | Win 61%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 157M (54%)
CAGR 10.4% | Win 72%
Sharpe 0.80 | Sortino 1.20 | Calmar 0.6
Vol 14% | MDD -17.4%
Months 39M (13%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 10.7% | Win 62%
Sharpe 0.97 | Sortino 2.51 | Calmar 1.4
Vol 11% | MDD -7.7%
Months 8M (3%)
CAGR 7.6% | Win 59%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -34.2%
Months 87M (30%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.1% | Win 62%
Sharpe 0.57 | Sortino 0.91 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 177M (61%)
CAGR 20.4% | Win 74%
Sharpe 1.59 | Sortino 2.02 | Calmar 2.9
Vol 12% | MDD -6.9%
Months 19M (6%)
CAGR 7.4% | Win 63%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.2
Vol 12% | MDD -29.7%
Months 196M (67%)
SLmean
neg
CAGR 9.2% | Win 60%
Sharpe 0.71 | Sortino 1.51 | Calmar 0.4
Vol 14% | MDD -21.7%
Months 79M (27%)
CAGR 1.4% | Win 56%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.1
Vol 25% | MDD -26.4%
Months 16M (6%)
CAGR 7.9% | Win 59%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -32.8%
Months 95M (33%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 64%
Sharpe 0.78 | Sortino 1.32 | Calmar 0.4
Vol 12% | MDD -21.9%
Months 236M (81%)
CAGR 8.7% | Win 64%
Sharpe 0.54 | Sortino 0.66 | Calmar 0.3
Vol 18% | MDD -26.4%
Months 31M (11%)
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
RSmean
neg
CAGR 0.1% | Win 50%
Sharpe 0.06 | Sortino 0.11 | Calmar 0.0
Vol 13% | MDD -12.9%
Months 12M (4%)
CAGR -17.0% | Win 25%
Sharpe -1.44 | Sortino -2.70 | Calmar -0.8
Vol 12% | MDD -21.2%
Months 12M (4%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
MACD
only
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.4% | Win 63%
Sharpe 0.72 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 224M (77%)
CAGR 13.3% | Win 70%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 17% | MDD -26.4%
Months 43M (15%)
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
RSmean
neg
CAGR 0.1% | Win 50%
Sharpe 0.06 | Sortino 0.11 | Calmar 0.0
Vol 13% | MDD -12.9%
Months 12M (4%)
CAGR -17.0% | Win 25%
Sharpe -1.44 | Sortino -2.70 | Calmar -0.8
Vol 12% | MDD -21.2%
Months 12M (4%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
RSI
only
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.1% | Win 65%
Sharpe 0.87 | Sortino 1.38 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 163M (56%)
CAGR 7.7% | Win 62%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.2
Vol 15% | MDD -36.3%
Months 104M (36%)
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
RSmean
neg
CAGR 23.0% | Win 50%
Sharpe 1.88 | Sortino 24.70 | Calmar 20.0
Vol 11% | MDD -1.1%
Months 4M (1%)
CAGR -14.1% | Win 35%
Sharpe -1.18 | Sortino -2.31 | Calmar -0.5
Vol 12% | MDD -25.8%
Months 20M (7%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
MACDhist
only
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 61%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -20.1%
Months 160M (55%)
CAGR 12.7% | Win 68%
Sharpe 0.84 | Sortino 1.24 | Calmar 0.4
Vol 16% | MDD -28.9%
Months 107M (37%)
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
RSmean
neg
CAGR 6.4% | Win 60%
Sharpe 0.64 | Sortino 1.02 | Calmar 1.7
Vol 10% | MDD -3.8%
Months 5M (2%)
CAGR -12.5% | Win 32%
Sharpe -0.96 | Sortino -1.85 | Calmar -0.6
Vol 13% | MDD -21.2%
Months 19M (6%)
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.8% | Win 64%
Sharpe 0.76 | Sortino 1.30 | Calmar 0.5
Vol 12% | MDD -18.9%
Months 232M (80%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
CAGR 9.2% | Win 64%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 13% | MDD -36.3%
Months 267M (92%)
RSmean
neg
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
-
CAGR -8.8% | Win 38%
Sharpe -0.68 | Sortino -1.30 | Calmar -0.4
Vol 12% | MDD -21.2%
Months 24M (8%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 62%
Sharpe 0.63 | Sortino 1.06 | Calmar 0.3
Vol 12% | MDD -25.7%
Months 228M (78%)
CAGR 27.7% | Win 80%
Sharpe 2.04 | Sortino 4.21 | Calmar 7.9
Vol 12% | MDD -3.5%
Months 20M (7%)
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
MACD
neg
CAGR 29.9% | Win 75%
Sharpe 2.38 | Sortino 44.83 | Calmar 18.6
Vol 11% | MDD -1.6%
Months 8M (3%)
CAGR -4.9% | Win 49%
Sharpe -0.19 | Sortino -0.27 | Calmar -0.2
Vol 18% | MDD -32.3%
Months 35M (12%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
RSI
only
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.1% | Win 65%
Sharpe 0.87 | Sortino 1.36 | Calmar 0.6
Vol 12% | MDD -15.5%
Months 161M (55%)
CAGR 6.4% | Win 61%
Sharpe 0.53 | Sortino 1.08 | Calmar 0.3
Vol 13% | MDD -22.5%
Months 87M (30%)
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
MACD
neg
CAGR 20.1% | Win 67%
Sharpe 1.63 | Sortino 31.56 | Calmar 12.5
Vol 12% | MDD -1.6%
Months 6M (2%)
CAGR -2.0% | Win 51%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 18% | MDD -26.5%
Months 37M (13%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
MACDhist
only
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 60%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.2
Vol 11% | MDD -23.1%
Months 141M (48%)
CAGR 14.6% | Win 68%
Sharpe 1.06 | Sortino 1.91 | Calmar 1.1
Vol 14% | MDD -13.4%
Months 107M (37%)
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
MACD
neg
CAGR 21.6% | Win 71%
Sharpe 1.92 | Sortino 4.99 | Calmar 2.8
Vol 10% | MDD -7.7%
Months 24M (8%)
CAGR -20.4% | Win 32%
Sharpe -0.94 | Sortino -1.51 | Calmar -0.5
Vol 22% | MDD -38.7%
Months 19M (6%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.2% | Win 63%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 231M (79%)
CAGR 16.1% | Win 65%
Sharpe 1.07 | Sortino 1.91 | Calmar 2.3
Vol 15% | MDD -6.9%
Months 17M (6%)
CAGR 8.8% | Win 63%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.4
Vol 12% | MDD -23.8%
Months 248M (85%)
MACD
neg
CAGR -3.4% | Win 44%
Sharpe -0.21 | Sortino -0.48 | Calmar -0.1
Vol 13% | MDD -24.0%
Months 25M (9%)
CAGR 6.9% | Win 67%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.3
Vol 22% | MDD -26.7%
Months 18M (6%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.5%
Months 43M (15%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.8% | Win 64%
Sharpe 0.86 | Sortino 1.36 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 163M (56%)
CAGR 3.8% | Win 57%
Sharpe 0.35 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -24.4%
Months 73M (25%)
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
RSI
neg
CAGR 35.8% | Win 75%
Sharpe 2.28 | Sortino 0.00 | Calmar 1608.3
Vol 14% | MDD -0.0%
Months 4M (1%)
CAGR 3.8% | Win 59%
Sharpe 0.31 | Sortino 0.45 | Calmar 0.1
Vol 17% | MDD -31.8%
Months 51M (18%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
MACDhist
only
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.8% | Win 60%
Sharpe 0.56 | Sortino 0.92 | Calmar 0.2
Vol 11% | MDD -23.1%
Months 149M (51%)
CAGR 11.8% | Win 66%
Sharpe 0.87 | Sortino 1.54 | Calmar 0.7
Vol 14% | MDD -18.0%
Months 87M (30%)
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
RSI
neg
CAGR 17.6% | Win 69%
Sharpe 1.62 | Sortino 3.56 | Calmar 2.3
Vol 10% | MDD -7.7%
Months 16M (6%)
CAGR 1.4% | Win 56%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -38.2%
Months 39M (13%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.8% | Win 62%
Sharpe 0.68 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -20.9%
Months 223M (77%)
CAGR 9.9% | Win 62%
Sharpe 0.79 | Sortino 1.06 | Calmar 2.3
Vol 13% | MDD -4.3%
Months 13M (4%)
CAGR 7.9% | Win 62%
Sharpe 0.69 | Sortino 1.16 | Calmar 0.4
Vol 12% | MDD -19.8%
Months 236M (81%)
RSI
neg
CAGR 1.9% | Win 55%
Sharpe 0.22 | Sortino 0.44 | Calmar 0.1
Vol 12% | MDD -24.0%
Months 33M (11%)
CAGR 12.1% | Win 68%
Sharpe 0.63 | Sortino 0.84 | Calmar 0.5
Vol 22% | MDD -26.4%
Months 22M (8%)
CAGR 5.9% | Win 60%
Sharpe 0.43 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -31.8%
Months 55M (19%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 7.6% | Win 63%
Sharpe 0.73 | Sortino 1.15 | Calmar 0.6
Vol 11% | MDD -11.8%
Months 123M (42%)
CAGR 18.6% | Win 68%
Sharpe 1.28 | Sortino 1.97 | Calmar 1.8
Vol 14% | MDD -10.3%
Months 44M (15%)
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
MACDhist
neg
CAGR 4.7% | Win 55%
Sharpe 0.44 | Sortino 0.86 | Calmar 0.3
Vol 12% | MDD -15.5%
Months 42M (14%)
CAGR 3.4% | Win 60%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -37.0%
Months 82M (28%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
RSIhist
only
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.6% | Win 65%
Sharpe 0.91 | Sortino 1.44 | Calmar 0.7
Vol 12% | MDD -14.5%
Months 164M (56%)
CAGR 0.6% | Win 33%
Sharpe 0.11 | Sortino 0.48 | Calmar 0.3
Vol 7% | MDD -2.1%
Months 3M (1%)
CAGR 10.4% | Win 65%
Sharpe 0.90 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.1%
Months 167M (57%)
MACDhist
neg
CAGR 1.0% | Win 54%
Sharpe 0.14 | Sortino 0.29 | Calmar 0.0
Vol 13% | MDD -29.4%
Months 92M (32%)
CAGR 12.3% | Win 69%
Sharpe 0.69 | Sortino 0.90 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 32M (11%)
CAGR 3.8% | Win 58%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.9%
Months 124M (43%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.1% | Win 60%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.2
Vol 11% | MDD -23.1%
Months 149M (51%)
CAGR 24.1% | Win 69%
Sharpe 1.69 | Sortino 2.36 | Calmar 3.3
Vol 13% | MDD -7.3%
Months 16M (6%)
CAGR 6.9% | Win 61%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -23.1%
Months 165M (57%)
RSIhist
neg
CAGR 9.8% | Win 63%
Sharpe 0.73 | Sortino 1.38 | Calmar 0.5
Vol 14% | MDD -21.2%
Months 107M (37%)
CAGR 1.5% | Win 63%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.1
Vol 23% | MDD -26.4%
Months 19M (6%)
CAGR 8.5% | Win 63%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -30.7%
Months 126M (43%)
LWTI
only
CAGR 7.1% | Win 61%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 256M (88%)
CAGR 11.3% | Win 66%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 19% | MDD -31.5%
Months 35M (12%)