IXN - iShares Global Tech ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

214.2%

Best CAGR

84

Total Months

15.0%

Avg CAGR

IXN 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 IXN

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 2 0.7 214.2 100.0 13.8 0.0 0.0 8.8 0.0
pair RSI MACDhist neg-pos 2 0.7 214.2 100.0 13.8 0.0 0.0 8.8 0.0
pair MRmean MACDhist neg-pos 6 2.0 99.7 83.3 3.7 0.0 95.6 19.8 -1.0
pair MACDhist MRmean neg-pos 6 2.0 99.7 83.3 3.7 0.0 95.6 19.8 -1.0
pair RSI MRmean pos-neg 7 2.4 83.0 100.0 5.4 0.0 0.0 11.5 0.0
pair MRmean RSI pos-neg 7 2.4 83.0 100.0 5.4 0.0 0.0 11.5 0.0
pair RSIhist SLmean neg-pos 5 1.7 71.1 60.0 2.2 1048.2 45.4 26.7 -1.6
pair SLmean RSIhist neg-pos 5 1.7 71.1 60.0 2.2 1048.2 45.4 26.7 -1.6
pair LWTI RSIhist pos-neg 13 4.4 66.7 76.9 3.4 30.2 89.2 15.5 -0.7
pair RSIhist LWTI pos-neg 13 4.4 66.7 76.9 3.4 30.2 89.2 15.5 -0.7
pair SLmean RSI pos-neg 9 3.1 51.6 88.9 1.7 0.0 0.0 27.5 0.0
pair RSI SLmean pos-neg 9 3.1 51.6 88.9 1.7 0.0 0.0 27.5 0.0
pair SLmean LWTI pos-neg 14 4.8 50.4 71.4 2.1 3.4 5.6 20.6 -9.0
pair LWTI SLmean pos-neg 14 4.8 50.4 71.4 2.1 3.4 5.6 20.6 -9.0
pair RSI MACD pos-neg 20 6.8 50.1 75.0 1.7 2.1 3.4 26.4 -14.9
pair MACD RSI pos-neg 20 6.8 50.1 75.0 1.7 2.1 3.4 26.4 -14.9
pair RSI RSIhist neg-pos 13 4.4 46.9 76.9 1.6 1.6 2.9 25.8 -16.1
pair RSIhist RSI neg-pos 13 4.4 46.9 76.9 1.6 1.6 2.9 25.8 -16.1
pair MRmean LWTI pos-neg 11 3.8 45.7 72.7 2.6 7.6 14.3 14.9 -3.2
pair LWTI MRmean pos-neg 11 3.8 45.7 72.7 2.6 7.6 14.3 14.9 -3.2
pair MRmean MACD pos-neg 18 6.1 45.3 83.3 2.8 3.5 6.9 13.9 -6.5
pair MACD MRmean pos-neg 18 6.1 45.3 83.3 2.8 3.5 6.9 13.9 -6.5
pair SLmean MACDhist neg-pos 23 7.8 39.5 65.2 1.4 2.9 4.3 26.2 -9.3
pair MACDhist SLmean neg-pos 23 7.8 39.5 65.2 1.4 2.9 4.3 26.2 -9.3
pair MACD SLmean pos-neg 20 6.8 36.6 80.0 1.6 1.5 5.6 20.8 -6.5
pair SLmean MACD pos-neg 20 6.8 36.6 80.0 1.6 1.5 5.6 20.8 -6.5
pair MACD RSIhist neg-pos 24 8.2 36.6 75.0 1.6 1.8 2.3 21.0 -16.1
pair RSIhist MACD neg-pos 24 8.2 36.6 75.0 1.6 1.8 2.3 21.0 -16.1
pair MRmean MACD neg-pos 48 16.4 34.2 64.6 1.4 2.2 1.9 24.0 -18.1
pair MACD MRmean neg-pos 48 16.4 34.2 64.6 1.4 2.2 1.9 24.0 -18.1
pair RSIhist MRmean neg-pos 7 2.4 32.4 57.1 1.0 1.3 2.0 35.3 -16.1
pair MRmean RSIhist neg-pos 7 2.4 32.4 57.1 1.0 1.3 2.0 35.3 -16.1
pair RSmean RSI pos-neg 38 13.0 30.0 71.1 1.1 1.5 0.7 28.8 -41.4
pair RSI RSmean pos-neg 38 13.0 30.0 71.1 1.1 1.5 0.7 28.8 -41.4
pair MACD SLmean neg-pos 63 21.5 28.8 63.5 1.1 1.9 1.2 24.9 -24.1
pair SLmean MACD neg-pos 63 21.5 28.8 63.5 1.1 1.9 1.2 24.9 -24.1
pair RSIhist MACDhist pos-neg 44 15.0 25.6 65.9 1.1 1.9 1.4 23.2 -17.7
pair MACDhist RSIhist pos-neg 44 15.0 25.6 65.9 1.1 1.9 1.4 23.2 -17.7
pair RSI MACD neg-pos 11 3.8 25.4 72.7 1.7 2.2 3.9 14.0 -6.5
pair MACD RSI neg-pos 11 3.8 25.4 72.7 1.7 2.2 3.9 14.0 -6.5
pair RSmean RSIhist neg-pos 4 1.4 24.0 25.0 0.8 3.6 3.3 32.4 -7.3
pair RSIhist RSmean neg-pos 4 1.4 24.0 25.0 0.8 3.6 3.3 32.4 -7.3
pair RSI MRmean neg-pos 28 9.6 23.9 57.1 1.1 2.1 1.0 22.3 -23.2
pair MRmean RSI neg-pos 28 9.6 23.9 57.1 1.1 2.1 1.0 22.3 -23.2
pair RSmean RSI neg-pos 8 2.7 22.5 50.0 1.2 3.7 3.3 18.2 -6.8
pair RSI RSmean neg-pos 8 2.7 22.5 50.0 1.2 3.7 3.3 18.2 -6.8
pair MACD RSIhist pos-neg 100 34.1 21.8 64.0 1.0 1.6 0.8 22.8 -28.9
pair RSIhist MACD pos-neg 100 34.1 21.8 64.0 1.0 1.6 0.8 22.8 -28.9
pair RSmean MRmean neg-pos 58 19.8 20.4 60.3 0.8 1.3 0.5 27.2 -41.4
pair MRmean RSmean neg-pos 58 19.8 20.4 60.3 0.8 1.3 0.5 27.2 -41.4
pair SLmean RSmean neg-pos 71 24.2 20.2 60.6 0.8 1.3 0.5 26.4 -41.4
pair RSmean SLmean neg-pos 71 24.2 20.2 60.6 0.8 1.3 0.5 26.4 -41.4
pair MACD LWTI neg-neg 16 5.5 20.1 68.8 0.8 1.0 0.6 29.8 -31.6
pair LWTI MACD neg-neg 16 5.5 20.1 68.8 0.8 1.0 0.6 29.8 -31.6
pair SLmean RSI neg-pos 43 14.7 20.0 58.1 0.9 1.7 0.9 24.2 -23.0
pair RSI SLmean neg-pos 43 14.7 20.0 58.1 0.9 1.7 0.9 24.2 -23.0
pair RSI LWTI pos-neg 8 2.7 19.7 50.0 0.9 1.6 2.2 21.7 -9.0
pair LWTI RSI pos-neg 8 2.7 19.7 50.0 0.9 1.6 2.2 21.7 -9.0
pair SLmean LWTI neg-pos 71 24.2 19.0 56.3 0.8 1.3 0.4 27.2 -48.5
pair LWTI SLmean neg-pos 71 24.2 19.0 56.3 0.8 1.3 0.4 27.2 -48.5
pair MACD MACDhist neg-pos 7 2.4 18.6 71.4 1.2 1.8 2.8 15.3 -6.5
pair MACDhist MACD neg-pos 7 2.4 18.6 71.4 1.2 1.8 2.8 15.3 -6.5
pair RSmean RSIhist pos-neg 101 34.5 16.9 62.4 0.8 1.2 0.4 24.7 -42.2
pair RSIhist RSmean pos-neg 101 34.5 16.9 62.4 0.8 1.2 0.4 24.7 -42.2
pair RSmean MACD neg-pos 9 3.1 16.8 44.4 1.0 3.3 1.9 17.5 -8.6
pair MACD RSmean neg-pos 9 3.1 16.8 44.4 1.0 3.3 1.9 17.5 -8.6
pair LWTI RSIhist neg-pos 103 35.2 16.6 60.2 0.8 1.2 0.3 24.3 -48.5
pair RSIhist LWTI neg-pos 103 35.2 16.6 60.2 0.8 1.2 0.3 24.3 -48.5
pair MRmean LWTI neg-pos 55 18.8 16.6 54.5 0.7 1.1 0.3 27.8 -48.5
pair LWTI MRmean neg-pos 55 18.8 16.6 54.5 0.7 1.1 0.3 27.8 -48.5
pair RSIhist MACDhist neg-pos 40 13.7 16.5 60.0 0.8 1.2 0.8 21.4 -21.3
pair MACDhist RSIhist neg-pos 40 13.7 16.5 60.0 0.8 1.2 0.8 21.4 -21.3
pair RSI RSIhist pos-neg 80 27.3 15.6 61.2 0.8 1.4 0.5 21.7 -33.9
pair RSIhist RSI pos-neg 80 27.3 15.6 61.2 0.8 1.4 0.5 21.7 -33.9
pair MACDhist RSmean pos-pos 178 60.8 14.8 61.8 0.9 1.5 0.8 16.7 -18.3
pair RSmean MACDhist pos-pos 178 60.8 14.8 61.8 0.9 1.5 0.8 16.7 -18.3
pair RSIhist SLmean pos-neg 38 13.0 14.7 65.8 0.8 1.2 1.0 19.6 -14.1
pair SLmean RSIhist pos-neg 38 13.0 14.7 65.8 0.8 1.2 1.0 19.6 -14.1
pair RSmean MACD pos-neg 30 10.2 14.7 66.7 0.7 0.8 0.5 25.6 -31.6
pair MACD RSmean pos-neg 30 10.2 14.7 66.7 0.7 0.8 0.5 25.6 -31.6
pair LWTI MACDhist pos-pos 176 60.1 14.6 61.4 0.9 1.5 0.7 16.8 -21.7
single MACDhist MACDhist pos-pos 179 61.1 14.6 61.5 0.9 1.5 0.8 16.7 -18.3
pair MACDhist LWTI pos-pos 176 60.1 14.6 61.4 0.9 1.5 0.7 16.8 -21.7
pair LWTI MACD pos-pos 239 81.6 14.5 60.7 0.8 1.4 0.5 17.7 -28.8
pair MACD LWTI pos-pos 239 81.6 14.5 60.7 0.8 1.4 0.5 17.7 -28.8
pair MACD MACDhist pos-pos 172 58.7 14.4 61.0 0.9 1.5 0.6 16.8 -24.4
pair MACDhist MACD pos-pos 172 58.7 14.4 61.0 0.9 1.5 0.6 16.8 -24.4
pair LWTI RSmean pos-pos 244 83.3 14.0 61.5 0.8 1.3 0.5 17.9 -28.8
pair RSmean LWTI pos-pos 244 83.3 14.0 61.5 0.8 1.3 0.5 17.9 -28.8
single MACD MACD pos-pos 251 85.7 13.9 60.2 0.8 1.3 0.4 18.5 -35.8
single RSmean RSmean pos-pos 272 92.8 13.9 61.4 0.8 1.1 0.3 19.4 -51.6
pair MACD RSmean pos-pos 242 82.6 13.8 60.7 0.8 1.3 0.4 18.5 -34.6
pair RSmean MACD pos-pos 242 82.6 13.8 60.7 0.8 1.3 0.4 18.5 -34.6
pair RSIhist MRmean pos-neg 53 18.1 13.7 64.2 0.7 1.1 0.5 21.8 -30.3
pair RSI LWTI neg-pos 31 10.6 13.7 54.8 0.6 0.9 0.3 32.0 -48.5
pair LWTI RSI neg-pos 31 10.6 13.7 54.8 0.6 0.9 0.3 32.0 -48.5
pair MRmean RSIhist pos-neg 53 18.1 13.7 64.2 0.7 1.1 0.5 21.8 -30.3
pair MACDhist LWTI pos-neg 3 1.0 13.6 66.7 1.0 0.0 0.0 13.3 0.0
pair LWTI MACDhist pos-neg 3 1.0 13.6 66.7 1.0 0.0 0.0 13.3 0.0
pair MRmean SLmean pos-neg 20 6.8 13.4 60.0 0.6 1.1 0.7 27.6 -18.8
pair SLmean MRmean pos-neg 20 6.8 13.4 60.0 0.6 1.1 0.7 27.6 -18.8
pair RSI MACDhist pos-pos 177 60.4 13.3 61.0 0.8 1.4 0.5 16.5 -25.4
pair MACDhist RSI pos-pos 177 60.4 13.3 61.0 0.8 1.4 0.5 16.5 -25.4
pair SLmean MACDhist pos-neg 52 17.7 12.8 61.5 0.7 1.1 0.6 20.2 -22.2
pair MACDhist MACD pos-neg 79 27.0 12.8 58.2 0.7 1.1 0.5 21.7 -27.0
pair MACDhist SLmean pos-neg 52 17.7 12.8 61.5 0.7 1.1 0.6 20.2 -22.2
pair MACD MACDhist pos-neg 79 27.0 12.8 58.2 0.7 1.1 0.5 21.7 -27.0
single LWTI LWTI neg-neg 28 9.6 12.5 60.7 0.6 0.8 0.3 29.8 -42.6
pair RSmean LWTI pos-neg 28 9.6 12.5 60.7 0.6 0.8 0.3 29.8 -42.6
pair LWTI RSmean pos-neg 28 9.6 12.5 60.7 0.6 0.8 0.3 29.8 -42.6
pair MACDhist MRmean pos-pos 173 59.0 12.4 60.7 0.8 1.3 0.5 16.4 -25.4
pair MRmean MACDhist pos-pos 173 59.0 12.4 60.7 0.8 1.3 0.5 16.4 -25.4
pair MACDhist LWTI neg-neg 25 8.5 12.4 60.0 0.5 0.8 0.3 31.3 -41.4
pair LWTI MACDhist neg-neg 25 8.5 12.4 60.0 0.5 0.8 0.3 31.3 -41.4
single RSIhist RSIhist pos-pos 175 59.7 12.4 60.0 0.8 1.2 0.6 15.9 -22.2
single SLmean SLmean neg-neg 85 29.0 12.4 55.3 0.6 0.9 0.3 28.7 -48.5
pair RSmean MACDhist pos-neg 94 32.1 12.3 60.6 0.6 0.9 0.3 23.7 -46.7
pair MACDhist RSmean pos-neg 94 32.1 12.3 60.6 0.6 0.9 0.3 23.7 -46.7
pair RSmean MRmean pos-pos 214 73.0 12.2 61.7 0.8 1.2 0.5 16.7 -26.6
pair MRmean RSmean pos-pos 214 73.0 12.2 61.7 0.8 1.2 0.5 16.7 -26.6
pair MRmean SLmean neg-neg 65 22.2 12.1 53.8 0.5 0.8 0.2 29.3 -48.5
pair SLmean MRmean neg-neg 65 22.2 12.1 53.8 0.5 0.8 0.2 29.3 -48.5
single RSI RSI neg-neg 51 17.4 12.1 58.8 0.5 0.8 0.2 32.1 -48.5
single MRmean MRmean pos-pos 221 75.4 12.1 61.1 0.8 1.2 0.5 16.7 -26.6
pair RSIhist RSmean pos-pos 171 58.4 12.1 60.8 0.8 1.2 0.6 15.5 -21.2
pair RSmean RSIhist pos-pos 171 58.4 12.1 60.8 0.8 1.2 0.6 15.5 -21.2
pair SLmean MRmean pos-pos 201 68.6 12.0 61.2 0.8 1.3 0.5 15.3 -26.4
pair MRmean SLmean pos-pos 201 68.6 12.0 61.2 0.8 1.3 0.5 15.3 -26.4
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 11.9 59.4 0.7 1.0 0.2 20.6 -52.5
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 11.9 59.4 0.7 1.0 0.2 20.6 -52.5
single LWTI LWTI pos-pos 265 90.4 11.8 59.2 0.7 1.0 0.2 19.5 -48.5
single RSI RSI pos-pos 242 82.6 11.8 59.5 0.7 1.2 0.3 17.3 -39.3
single SLmean SLmean pos-pos 208 71.0 11.7 61.1 0.8 1.1 0.5 16.2 -23.8
pair RSmean SLmean pos-pos 201 68.6 11.7 61.7 0.8 1.1 0.5 16.2 -22.4
pair SLmean RSmean pos-pos 201 68.6 11.7 61.7 0.8 1.1 0.5 16.2 -22.4
pair RSIhist MRmean pos-pos 168 57.3 11.6 60.1 0.8 1.3 0.5 14.7 -22.2
pair MRmean RSIhist pos-pos 168 57.3 11.6 60.1 0.8 1.3 0.5 14.7 -22.2
pair LWTI RSI pos-pos 234 79.9 11.6 59.8 0.7 1.2 0.3 17.2 -34.5
pair RSI LWTI pos-pos 234 79.9 11.6 59.8 0.7 1.2 0.3 17.2 -34.5
pair RSI RSmean pos-pos 234 79.9 11.5 59.8 0.7 1.1 0.3 17.3 -39.3
pair RSmean RSI pos-pos 234 79.9 11.5 59.8 0.7 1.1 0.3 17.3 -39.3
pair SLmean MACDhist pos-pos 156 53.2 11.3 60.9 0.8 1.2 0.6 14.7 -18.2
pair MACDhist SLmean pos-pos 156 53.2 11.3 60.9 0.8 1.2 0.6 14.7 -18.2
pair MACD RSI pos-pos 231 78.8 11.2 58.9 0.7 1.1 0.3 17.5 -39.3
pair RSI MACD pos-pos 231 78.8 11.2 58.9 0.7 1.1 0.3 17.5 -39.3
pair MACDhist MRmean pos-neg 48 16.4 11.2 62.5 0.7 1.0 0.5 17.8 -24.5
pair RSIhist MACDhist pos-pos 135 46.1 11.2 60.0 0.8 1.3 0.8 13.9 -13.7
pair MACDhist RSIhist pos-pos 135 46.1 11.2 60.0 0.8 1.3 0.8 13.9 -13.7
pair MRmean MACDhist pos-neg 48 16.4 11.2 62.5 0.7 1.0 0.5 17.8 -24.5
single MRmean MRmean neg-neg 72 24.6 11.1 54.2 0.5 0.8 0.2 29.8 -49.9
single RSIhist RSIhist neg-neg 118 40.3 11.1 58.5 0.5 0.8 0.2 26.1 -50.0
pair RSIhist SLmean pos-pos 170 58.0 11.0 60.0 0.8 1.1 0.5 15.4 -22.2
pair SLmean RSIhist pos-pos 170 58.0 11.0 60.0 0.8 1.1 0.5 15.4 -22.2
pair LWTI MRmean pos-pos 210 71.7 10.6 60.5 0.7 1.1 0.3 16.7 -35.0
pair MRmean LWTI pos-pos 210 71.7 10.6 60.5 0.7 1.1 0.3 16.7 -35.0
pair MRmean RSI pos-pos 214 73.0 10.3 59.8 0.7 1.1 0.3 16.6 -30.7
pair RSI MRmean pos-pos 214 73.0 10.3 59.8 0.7 1.1 0.3 16.6 -30.7
pair RSI SLmean pos-pos 199 67.9 10.1 59.8 0.7 1.1 0.4 15.5 -23.8
pair SLmean RSI pos-pos 199 67.9 10.1 59.8 0.7 1.1 0.4 15.5 -23.8
pair RSmean MRmean pos-neg 7 2.4 10.0 42.9 0.6 1.8 1.5 17.0 -6.8
pair SLmean RSmean pos-neg 7 2.4 10.0 42.9 0.6 1.8 1.5 17.0 -6.8
pair RSmean SLmean pos-neg 7 2.4 10.0 42.9 0.6 1.8 1.5 17.0 -6.8
pair MRmean RSmean pos-neg 7 2.4 10.0 42.9 0.6 1.8 1.5 17.0 -6.8
pair RSIhist RSI pos-pos 162 55.3 10.0 58.6 0.7 1.1 0.5 14.7 -22.2
pair RSI RSIhist pos-pos 162 55.3 10.0 58.6 0.7 1.1 0.5 14.7 -22.2
pair LWTI RSI neg-neg 20 6.8 9.8 65.0 0.5 0.7 0.2 32.9 -41.4
pair RSI LWTI neg-neg 20 6.8 9.8 65.0 0.5 0.7 0.2 32.9 -41.4
pair MACD MRmean pos-pos 203 69.3 9.6 59.1 0.6 1.0 0.3 16.7 -37.2
pair MRmean MACD pos-pos 203 69.3 9.6 59.1 0.6 1.0 0.3 16.7 -37.2
pair SLmean RSIhist neg-neg 80 27.3 9.5 55.0 0.5 0.8 0.2 28.8 -50.6
pair RSIhist SLmean neg-neg 80 27.3 9.5 55.0 0.5 0.8 0.2 28.8 -50.6
pair SLmean LWTI pos-pos 194 66.2 9.3 60.3 0.7 0.9 0.3 15.7 -26.7
pair MACD SLmean pos-pos 188 64.2 9.3 59.0 0.7 1.0 0.3 15.6 -29.2
pair SLmean MACD pos-pos 188 64.2 9.3 59.0 0.7 1.0 0.3 15.6 -29.2
pair LWTI SLmean pos-pos 194 66.2 9.3 60.3 0.7 0.9 0.3 15.7 -26.7
pair RSIhist MRmean neg-neg 65 22.2 9.1 53.8 0.4 0.7 0.2 29.4 -53.0
pair MRmean RSIhist neg-neg 65 22.2 9.1 53.8 0.4 0.7 0.2 29.4 -53.0
pair RSIhist MACD pos-pos 151 51.5 9.0 57.6 0.7 1.0 0.4 14.8 -22.2
pair MACD RSIhist pos-pos 151 51.5 9.0 57.6 0.7 1.0 0.4 14.8 -22.2
pair RSIhist LWTI pos-pos 162 55.3 8.9 58.6 0.6 0.9 0.4 15.6 -22.9
pair LWTI RSIhist pos-pos 162 55.3 8.9 58.6 0.6 0.9 0.4 15.6 -22.9
pair MACDhist RSI pos-neg 65 22.2 8.0 55.4 0.5 0.8 0.2 19.6 -32.6
pair RSI MACDhist pos-neg 65 22.2 8.0 55.4 0.5 0.8 0.2 19.6 -32.6
single MACDhist MACDhist neg-neg 114 38.9 7.8 56.1 0.4 0.6 0.2 25.6 -48.5
pair MACDhist RSI neg-neg 49 16.7 7.5 57.1 0.4 0.6 0.1 32.1 -48.5
pair RSI MACDhist neg-neg 49 16.7 7.5 57.1 0.4 0.6 0.1 32.1 -48.5
pair LWTI MACDhist neg-pos 89 30.4 6.5 55.1 0.4 0.6 0.1 23.9 -48.5
pair MACDhist LWTI neg-pos 89 30.4 6.5 55.1 0.4 0.6 0.1 23.9 -48.5
pair MRmean MACDhist neg-neg 66 22.5 5.4 51.5 0.3 0.5 0.1 30.1 -50.2
pair MACDhist MRmean neg-neg 66 22.5 5.4 51.5 0.3 0.5 0.1 30.1 -50.2
pair RSI SLmean neg-neg 42 14.3 5.1 52.4 0.3 0.5 0.1 33.0 -48.5
pair SLmean RSI neg-neg 42 14.3 5.1 52.4 0.3 0.5 0.1 33.0 -48.5
pair RSI MRmean neg-neg 44 15.0 3.7 52.3 0.3 0.5 0.1 33.8 -51.3
pair MRmean RSI neg-neg 44 15.0 3.7 52.3 0.3 0.5 0.1 33.8 -51.3
pair SLmean MACDhist neg-neg 62 21.2 3.7 51.6 0.3 0.4 0.1 29.5 -48.5
pair MACDhist SLmean neg-neg 62 21.2 3.7 51.6 0.3 0.4 0.1 29.5 -48.5
pair RSIhist MACDhist neg-neg 74 25.3 3.3 54.1 0.3 0.4 0.1 27.7 -48.7
pair MACDhist RSIhist neg-neg 74 25.3 3.3 54.1 0.3 0.4 0.1 27.7 -48.7
pair MACD LWTI pos-neg 12 4.1 3.1 50.0 0.2 0.4 0.1 30.9 -25.1
pair LWTI MACD pos-neg 12 4.1 3.1 50.0 0.2 0.4 0.1 30.9 -25.1
pair MRmean SLmean neg-pos 7 2.4 2.9 57.1 0.2 0.6 0.2 36.2 -14.1
pair SLmean MRmean neg-pos 7 2.4 2.9 57.1 0.2 0.6 0.2 36.2 -14.1
pair RSI RSIhist neg-neg 38 13.0 2.2 52.6 0.2 0.4 0.0 33.9 -54.3
pair RSIhist RSI neg-neg 38 13.0 2.2 52.6 0.2 0.4 0.0 33.9 -54.3
single MACD MACD neg-neg 42 14.3 0.5 54.8 0.2 0.2 0.0 30.6 -48.5
pair MACDhist MACD neg-neg 35 11.9 -2.8 51.4 0.1 0.1 -0.1 32.9 -48.5
pair MACD MACDhist neg-neg 35 11.9 -2.8 51.4 0.1 0.1 -0.1 32.9 -48.5
pair MRmean LWTI neg-neg 17 5.8 -4.8 52.9 0.0 0.1 -0.1 36.1 -41.4
pair LWTI MRmean neg-neg 17 5.8 -4.8 52.9 0.0 0.1 -0.1 36.1 -41.4
pair MACD RSI neg-neg 31 10.6 -7.1 48.4 -0.0 -0.1 -0.1 34.6 -48.5
pair RSI MACD neg-neg 31 10.6 -7.1 48.4 -0.0 -0.1 -0.1 34.6 -48.5
pair LWTI MACD neg-pos 26 8.9 -9.9 46.2 -0.2 -0.3 -0.2 31.2 -48.5
pair MACD LWTI neg-pos 26 8.9 -9.9 46.2 -0.2 -0.3 -0.2 31.2 -48.5
pair RSmean MACDhist neg-neg 20 6.8 -11.0 35.0 -0.2 -0.3 -0.2 33.5 -48.5
pair MACDhist RSmean neg-neg 20 6.8 -11.0 35.0 -0.2 -0.3 -0.2 33.5 -48.5
single RSmean RSmean neg-neg 21 7.2 -11.2 33.3 -0.2 -0.4 -0.2 32.7 -48.5
pair RSmean LWTI neg-pos 21 7.2 -11.2 33.3 -0.2 -0.4 -0.2 32.7 -48.5
pair LWTI RSmean neg-pos 21 7.2 -11.2 33.3 -0.2 -0.4 -0.2 32.7 -48.5
pair LWTI SLmean neg-neg 14 4.8 -15.9 50.0 -0.3 -0.6 -0.4 35.8 -41.9
pair SLmean LWTI neg-neg 14 4.8 -15.9 50.0 -0.3 -0.6 -0.4 35.8 -41.9
pair MACDhist RSmean neg-pos 1 0.3 -15.9 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 -15.9 0.0 0.0 0.0 0.0 - 0.0
pair RSmean RSIhist neg-neg 17 5.8 -17.9 35.3 -0.4 -0.7 -0.4 33.3 -48.5
pair RSIhist RSmean neg-neg 17 5.8 -17.9 35.3 -0.4 -0.7 -0.4 33.3 -48.5
pair LWTI RSIhist neg-neg 15 5.1 -20.0 46.7 -0.4 -0.9 -0.5 36.1 -41.4
pair RSIhist LWTI neg-neg 15 5.1 -20.0 46.7 -0.4 -0.9 -0.5 36.1 -41.4
pair RSmean SLmean neg-neg 14 4.8 -20.2 28.6 -0.4 -0.8 -0.4 38.6 -48.5
pair SLmean RSmean neg-neg 14 4.8 -20.2 28.6 -0.4 -0.8 -0.4 38.6 -48.5
pair MRmean RSmean neg-neg 14 4.8 -20.2 28.6 -0.4 -0.8 -0.4 38.6 -48.5
pair RSmean MRmean neg-neg 14 4.8 -20.2 28.6 -0.4 -0.8 -0.4 38.6 -48.5
pair MACD MRmean neg-neg 24 8.2 -23.8 33.3 -0.5 -1.0 -0.4 37.4 -54.4
pair MRmean MACD neg-neg 24 8.2 -23.8 33.3 -0.5 -1.0 -0.4 37.4 -54.4
pair SLmean MACD neg-neg 22 7.5 -24.0 31.8 -0.6 -1.0 -0.5 36.2 -48.5
pair MACD SLmean neg-neg 22 7.5 -24.0 31.8 -0.6 -1.0 -0.5 36.2 -48.5
pair RSI RSmean neg-neg 13 4.4 -27.2 23.1 -0.6 -1.2 -0.6 38.9 -48.5
pair RSmean RSI neg-neg 13 4.4 -27.2 23.1 -0.6 -1.2 -0.6 38.9 -48.5
pair RSmean MACD neg-neg 12 4.1 -27.7 25.0 -0.6 -1.2 -0.6 40.6 -48.5
pair MACD RSmean neg-neg 12 4.1 -27.7 25.0 -0.6 -1.2 -0.6 40.6 -48.5
pair MACD RSIhist neg-neg 18 6.1 -33.3 27.8 -0.9 -1.6 -0.6 37.9 -57.3
pair RSIhist MACD neg-neg 18 6.1 -33.3 27.8 -0.9 -1.6 -0.6 37.9 -57.3

All Contingency Tables for IXN

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.0% | Win 61%
Sharpe 0.82 | Sortino 1.26 | Calmar 0.5
Vol 15% | MDD -26.4%
Months 201M (69%)
CAGR 13.4% | Win 60%
Sharpe 0.58 | Sortino 1.14 | Calmar 0.7
Vol 28% | MDD -18.8%
Months 20M (7%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.56 | Calmar 0.2
Vol 36% | MDD -14.1%
Months 7M (2%)
CAGR 12.1% | Win 54%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 29% | MDD -48.5%
Months 65M (22%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
SLmean
only
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 62%
Sharpe 0.78 | Sortino 1.20 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 214M (73%)
CAGR 10.0% | Win 43%
Sharpe 0.63 | Sortino 1.83 | Calmar 1.5
Vol 17% | MDD -6.8%
Months 7M (2%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 20.4% | Win 60%
Sharpe 0.82 | Sortino 1.27 | Calmar 0.5
Vol 27% | MDD -41.4%
Months 58M (20%)
CAGR -20.2% | Win 29%
Sharpe -0.41 | Sortino -0.75 | Calmar -0.4
Vol 39% | MDD -48.5%
Months 14M (5%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
RSmean
only
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 59%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 17% | MDD -37.2%
Months 203M (69%)
CAGR 45.3% | Win 83%
Sharpe 2.78 | Sortino 3.55 | Calmar 6.9
Vol 14% | MDD -6.5%
Months 18M (6%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 34.2% | Win 65%
Sharpe 1.36 | Sortino 2.22 | Calmar 1.9
Vol 24% | MDD -18.1%
Months 48M (16%)
CAGR -23.8% | Win 33%
Sharpe -0.54 | Sortino -0.96 | Calmar -0.4
Vol 37% | MDD -54.4%
Months 24M (8%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
MACD
only
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 60%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.3
Vol 17% | MDD -30.7%
Months 214M (73%)
CAGR 83.0% | Win 100%
Sharpe 5.42 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 7M (2%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 23.9% | Win 57%
Sharpe 1.08 | Sortino 2.13 | Calmar 1.0
Vol 22% | MDD -23.2%
Months 28M (10%)
CAGR 3.7% | Win 52%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 34% | MDD -51.3%
Months 44M (15%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
RSI
only
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 61%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.5
Vol 16% | MDD -25.4%
Months 173M (59%)
CAGR 11.2% | Win 62%
Sharpe 0.68 | Sortino 0.99 | Calmar 0.5
Vol 18% | MDD -24.5%
Months 48M (16%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 99.7% | Win 83%
Sharpe 3.67 | Sortino 0.00 | Calmar 95.6
Vol 20% | MDD -1.0%
Months 6M (2%)
CAGR 5.4% | Win 52%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 30% | MDD -50.2%
Months 66M (22%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
MACDhist
only
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 60%
Sharpe 0.82 | Sortino 1.29 | Calmar 0.5
Vol 15% | MDD -22.2%
Months 168M (57%)
CAGR 13.7% | Win 64%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.5
Vol 22% | MDD -30.3%
Months 53M (18%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 32.4% | Win 57%
Sharpe 0.96 | Sortino 1.27 | Calmar 2.0
Vol 35% | MDD -16.1%
Months 7M (2%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 29% | MDD -53.0%
Months 65M (22%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 60%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -35.0%
Months 210M (72%)
CAGR 45.7% | Win 73%
Sharpe 2.63 | Sortino 7.57 | Calmar 14.3
Vol 15% | MDD -3.2%
Months 11M (4%)
CAGR 12.1% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -26.6%
Months 221M (75%)
MRmean
neg
CAGR 16.6% | Win 55%
Sharpe 0.69 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -48.5%
Months 55M (19%)
CAGR -4.8% | Win 53%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 36% | MDD -41.4%
Months 17M (6%)
CAGR 11.1% | Win 54%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -49.9%
Months 72M (25%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.7% | Win 62%
Sharpe 0.77 | Sortino 1.12 | Calmar 0.5
Vol 16% | MDD -22.4%
Months 201M (69%)
CAGR 10.0% | Win 43%
Sharpe 0.63 | Sortino 1.83 | Calmar 1.5
Vol 17% | MDD -6.8%
Months 7M (2%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 20.2% | Win 61%
Sharpe 0.83 | Sortino 1.34 | Calmar 0.5
Vol 26% | MDD -41.4%
Months 71M (24%)
CAGR -20.2% | Win 29%
Sharpe -0.41 | Sortino -0.75 | Calmar -0.4
Vol 39% | MDD -48.5%
Months 14M (5%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
RSmean
only
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.3% | Win 59%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -29.2%
Months 188M (64%)
CAGR 36.6% | Win 80%
Sharpe 1.62 | Sortino 1.53 | Calmar 5.6
Vol 21% | MDD -6.5%
Months 20M (7%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 28.8% | Win 64%
Sharpe 1.15 | Sortino 1.94 | Calmar 1.2
Vol 25% | MDD -24.1%
Months 63M (22%)
CAGR -24.0% | Win 32%
Sharpe -0.57 | Sortino -1.01 | Calmar -0.5
Vol 36% | MDD -48.5%
Months 22M (8%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
MACD
only
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 60%
Sharpe 0.70 | Sortino 1.08 | Calmar 0.4
Vol 16% | MDD -23.8%
Months 199M (68%)
CAGR 51.6% | Win 89%
Sharpe 1.67 | Sortino 0.00 | Calmar 0.0
Vol 28% | MDD 0.0%
Months 9M (3%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 20.0% | Win 58%
Sharpe 0.87 | Sortino 1.66 | Calmar 0.9
Vol 24% | MDD -23.0%
Months 43M (15%)
CAGR 5.1% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 33% | MDD -48.5%
Months 42M (14%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
RSI
only
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.80 | Sortino 1.21 | Calmar 0.6
Vol 15% | MDD -18.2%
Months 156M (53%)
CAGR 12.8% | Win 62%
Sharpe 0.70 | Sortino 1.05 | Calmar 0.6
Vol 20% | MDD -22.2%
Months 52M (18%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 39.5% | Win 65%
Sharpe 1.41 | Sortino 2.92 | Calmar 4.3
Vol 26% | MDD -9.3%
Months 23M (8%)
CAGR 3.7% | Win 52%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -48.5%
Months 62M (21%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
MACDhist
only
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 60%
Sharpe 0.76 | Sortino 1.11 | Calmar 0.5
Vol 15% | MDD -22.2%
Months 170M (58%)
CAGR 14.7% | Win 66%
Sharpe 0.80 | Sortino 1.25 | Calmar 1.0
Vol 20% | MDD -14.1%
Months 38M (13%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 71.1% | Win 60%
Sharpe 2.16 | Sortino 1048.21 | Calmar 45.4
Vol 27% | MDD -1.6%
Months 5M (2%)
CAGR 9.5% | Win 55%
Sharpe 0.46 | Sortino 0.75 | Calmar 0.2
Vol 29% | MDD -50.6%
Months 80M (27%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.3% | Win 60%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -26.7%
Months 194M (66%)
CAGR 50.4% | Win 71%
Sharpe 2.11 | Sortino 3.44 | Calmar 5.6
Vol 21% | MDD -9.0%
Months 14M (5%)
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.5
Vol 16% | MDD -23.8%
Months 208M (71%)
SLmean
neg
CAGR 19.0% | Win 56%
Sharpe 0.78 | Sortino 1.34 | Calmar 0.4
Vol 27% | MDD -48.5%
Months 71M (24%)
CAGR -15.9% | Win 50%
Sharpe -0.31 | Sortino -0.55 | Calmar -0.4
Vol 36% | MDD -41.9%
Months 14M (5%)
CAGR 12.4% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.3
Vol 29% | MDD -48.5%
Months 85M (29%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 13.8% | Win 61%
Sharpe 0.79 | Sortino 1.26 | Calmar 0.4
Vol 18% | MDD -34.6%
Months 242M (83%)
CAGR 14.7% | Win 67%
Sharpe 0.67 | Sortino 0.82 | Calmar 0.5
Vol 26% | MDD -31.6%
Months 30M (10%)
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
RSmean
neg
CAGR 16.8% | Win 44%
Sharpe 0.96 | Sortino 3.29 | Calmar 2.0
Vol 18% | MDD -8.6%
Months 9M (3%)
CAGR -27.7% | Win 25%
Sharpe -0.61 | Sortino -1.17 | Calmar -0.6
Vol 41% | MDD -48.5%
Months 12M (4%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
MACD
only
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.5% | Win 60%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 234M (80%)
CAGR 30.0% | Win 71%
Sharpe 1.06 | Sortino 1.47 | Calmar 0.7
Vol 29% | MDD -41.4%
Months 38M (13%)
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
RSmean
neg
CAGR 22.5% | Win 50%
Sharpe 1.20 | Sortino 3.71 | Calmar 3.3
Vol 18% | MDD -6.8%
Months 8M (3%)
CAGR -27.2% | Win 23%
Sharpe -0.63 | Sortino -1.18 | Calmar -0.6
Vol 39% | MDD -48.5%
Months 13M (4%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
RSI
only
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.8% | Win 62%
Sharpe 0.91 | Sortino 1.49 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 178M (61%)
CAGR 12.3% | Win 61%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 24% | MDD -46.7%
Months 94M (32%)
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
RSmean
neg
CAGR -15.9% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -11.0% | Win 35%
Sharpe -0.19 | Sortino -0.33 | Calmar -0.2
Vol 34% | MDD -48.5%
Months 20M (7%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
MACDhist
only
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.1% | Win 61%
Sharpe 0.82 | Sortino 1.21 | Calmar 0.6
Vol 16% | MDD -21.2%
Months 171M (58%)
CAGR 16.9% | Win 62%
Sharpe 0.76 | Sortino 1.23 | Calmar 0.4
Vol 25% | MDD -42.2%
Months 101M (34%)
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
RSmean
neg
CAGR 24.0% | Win 25%
Sharpe 0.78 | Sortino 3.63 | Calmar 3.3
Vol 32% | MDD -7.3%
Months 4M (1%)
CAGR -17.9% | Win 35%
Sharpe -0.43 | Sortino -0.70 | Calmar -0.4
Vol 33% | MDD -48.5%
Months 17M (6%)
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 14.0% | Win 62%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 18% | MDD -28.8%
Months 244M (83%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
CAGR 13.9% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.3
Vol 19% | MDD -51.6%
Months 272M (93%)
RSmean
neg
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
-
CAGR -11.2% | Win 33%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.2
Vol 33% | MDD -48.5%
Months 21M (7%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 11.2% | Win 59%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.3
Vol 18% | MDD -39.3%
Months 231M (79%)
CAGR 50.1% | Win 75%
Sharpe 1.69 | Sortino 2.15 | Calmar 3.3
Vol 26% | MDD -14.9%
Months 20M (7%)
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
MACD
neg
CAGR 25.4% | Win 73%
Sharpe 1.69 | Sortino 2.17 | Calmar 3.9
Vol 14% | MDD -6.5%
Months 11M (4%)
CAGR -7.1% | Win 48%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 35% | MDD -48.5%
Months 31M (11%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
RSI
only
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 14.4% | Win 61%
Sharpe 0.89 | Sortino 1.46 | Calmar 0.6
Vol 17% | MDD -24.4%
Months 172M (59%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.5
Vol 22% | MDD -27.0%
Months 79M (27%)
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
MACD
neg
CAGR 18.6% | Win 71%
Sharpe 1.19 | Sortino 1.81 | Calmar 2.8
Vol 15% | MDD -6.5%
Months 7M (2%)
CAGR -2.8% | Win 51%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 33% | MDD -48.5%
Months 35M (12%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
MACDhist
only
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -22.2%
Months 151M (52%)
CAGR 21.8% | Win 64%
Sharpe 0.98 | Sortino 1.63 | Calmar 0.8
Vol 23% | MDD -28.9%
Months 100M (34%)
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
MACD
neg
CAGR 36.6% | Win 75%
Sharpe 1.61 | Sortino 1.78 | Calmar 2.3
Vol 21% | MDD -16.1%
Months 24M (8%)
CAGR -33.3% | Win 28%
Sharpe -0.87 | Sortino -1.62 | Calmar -0.6
Vol 38% | MDD -57.3%
Months 18M (6%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 14.5% | Win 61%
Sharpe 0.85 | Sortino 1.43 | Calmar 0.5
Vol 18% | MDD -28.8%
Months 239M (82%)
CAGR 3.1% | Win 50%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 31% | MDD -25.1%
Months 12M (4%)
CAGR 13.9% | Win 60%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -35.8%
Months 251M (86%)
MACD
neg
CAGR -9.9% | Win 46%
Sharpe -0.18 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -48.5%
Months 26M (9%)
CAGR 20.1% | Win 69%
Sharpe 0.76 | Sortino 1.03 | Calmar 0.6
Vol 30% | MDD -31.6%
Months 16M (6%)
CAGR 0.5% | Win 55%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 31% | MDD -48.5%
Months 42M (14%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.3% | Win 61%
Sharpe 0.84 | Sortino 1.36 | Calmar 0.5
Vol 16% | MDD -25.4%
Months 177M (60%)
CAGR 8.0% | Win 55%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.2
Vol 20% | MDD -32.6%
Months 65M (22%)
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
RSI
neg
CAGR 214.2% | Win 100%
Sharpe 13.75 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 2M (1%)
CAGR 7.5% | Win 57%
Sharpe 0.39 | Sortino 0.61 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 49M (17%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
MACDhist
only
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.0% | Win 59%
Sharpe 0.72 | Sortino 1.14 | Calmar 0.5
Vol 15% | MDD -22.2%
Months 162M (55%)
CAGR 15.6% | Win 61%
Sharpe 0.78 | Sortino 1.36 | Calmar 0.5
Vol 22% | MDD -33.9%
Months 80M (27%)
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
RSI
neg
CAGR 46.9% | Win 77%
Sharpe 1.64 | Sortino 1.59 | Calmar 2.9
Vol 26% | MDD -16.1%
Months 13M (4%)
CAGR 2.2% | Win 53%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.0
Vol 34% | MDD -54.3%
Months 38M (13%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.6% | Win 60%
Sharpe 0.72 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -34.5%
Months 234M (80%)
CAGR 19.7% | Win 50%
Sharpe 0.93 | Sortino 1.59 | Calmar 2.2
Vol 22% | MDD -9.0%
Months 8M (3%)
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.3
Vol 17% | MDD -39.3%
Months 242M (83%)
RSI
neg
CAGR 13.7% | Win 55%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.3
Vol 32% | MDD -48.5%
Months 31M (11%)
CAGR 9.8% | Win 65%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 33% | MDD -41.4%
Months 20M (7%)
CAGR 12.1% | Win 59%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -48.5%
Months 51M (17%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.2% | Win 60%
Sharpe 0.83 | Sortino 1.33 | Calmar 0.8
Vol 14% | MDD -13.7%
Months 135M (46%)
CAGR 25.6% | Win 66%
Sharpe 1.10 | Sortino 1.89 | Calmar 1.4
Vol 23% | MDD -17.7%
Months 44M (15%)
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
MACDhist
neg
CAGR 16.5% | Win 60%
Sharpe 0.82 | Sortino 1.20 | Calmar 0.8
Vol 21% | MDD -21.3%
Months 40M (14%)
CAGR 3.3% | Win 54%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.1
Vol 28% | MDD -48.7%
Months 74M (25%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
RSIhist
only
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.6% | Win 61%
Sharpe 0.90 | Sortino 1.47 | Calmar 0.7
Vol 17% | MDD -21.7%
Months 176M (60%)
CAGR 13.6% | Win 67%
Sharpe 1.01 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (1%)
CAGR 14.6% | Win 62%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.8
Vol 17% | MDD -18.3%
Months 179M (61%)
MACDhist
neg
CAGR 6.5% | Win 55%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 24% | MDD -48.5%
Months 89M (30%)
CAGR 12.4% | Win 60%
Sharpe 0.53 | Sortino 0.79 | Calmar 0.3
Vol 31% | MDD -41.4%
Months 25M (8%)
CAGR 7.8% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 26% | MDD -48.5%
Months 114M (39%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 8.9% | Win 59%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.4
Vol 16% | MDD -22.9%
Months 162M (55%)
CAGR 66.7% | Win 77%
Sharpe 3.44 | Sortino 30.20 | Calmar 89.2
Vol 16% | MDD -0.7%
Months 13M (4%)
CAGR 12.4% | Win 60%
Sharpe 0.82 | Sortino 1.25 | Calmar 0.6
Vol 16% | MDD -22.2%
Months 175M (60%)
RSIhist
neg
CAGR 16.6% | Win 60%
Sharpe 0.75 | Sortino 1.22 | Calmar 0.3
Vol 24% | MDD -48.5%
Months 103M (35%)
CAGR -20.0% | Win 47%
Sharpe -0.44 | Sortino -0.91 | Calmar -0.5
Vol 36% | MDD -41.4%
Months 15M (5%)
CAGR 11.1% | Win 58%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 118M (40%)
LWTI
only
CAGR 11.8% | Win 59%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.2
Vol 20% | MDD -48.5%
Months 265M (90%)
CAGR 12.5% | Win 61%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.3
Vol 30% | MDD -42.6%
Months 28M (10%)