IXP - iShares Global Comm Services ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

67.9%

Best CAGR

84

Total Months

7.0%

Avg CAGR

IXP 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 IXP

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 6 2.0 67.9 83.3 1.4 0.0 0.0 42.0 0.0
pair RSmean RSIhist neg-pos 6 2.0 67.9 83.3 1.4 0.0 0.0 42.0 0.0
pair LWTI RSmean neg-neg 3 1.0 63.7 100.0 4.0 0.0 0.0 12.6 0.0
pair RSmean LWTI neg-neg 3 1.0 63.7 100.0 4.0 0.0 0.0 12.6 0.0
pair SLmean RSIhist neg-pos 10 3.4 46.2 60.0 1.2 2.3 6.7 36.4 -6.9
pair RSIhist SLmean neg-pos 10 3.4 46.2 60.0 1.2 2.3 6.7 36.4 -6.9
pair MACDhist RSI neg-pos 5 1.7 43.3 60.0 2.2 36.3 53.2 17.0 -0.8
pair RSI MACDhist neg-pos 5 1.7 43.3 60.0 2.2 36.3 53.2 17.0 -0.8
pair MRmean RSIhist neg-pos 12 4.1 28.7 50.0 0.9 1.8 2.9 33.4 -10.0
pair RSIhist MRmean neg-pos 12 4.1 28.7 50.0 0.9 1.8 2.9 33.4 -10.0
pair RSI RSIhist neg-pos 21 7.2 25.9 61.9 1.0 1.8 2.0 26.0 -12.7
pair RSIhist RSI neg-pos 21 7.2 25.9 61.9 1.0 1.8 2.0 26.0 -12.7
pair LWTI RSIhist pos-neg 17 5.8 25.1 70.6 1.4 3.1 1.9 16.6 -13.0
pair RSIhist LWTI pos-neg 17 5.8 25.1 70.6 1.4 3.1 1.9 16.6 -13.0
pair RSmean SLmean pos-neg 4 1.4 24.3 75.0 1.3 0.0 6.2 17.8 -3.9
pair SLmean RSmean pos-neg 4 1.4 24.3 75.0 1.3 0.0 6.2 17.8 -3.9
pair MACD LWTI neg-neg 30 10.2 21.3 66.7 1.0 1.5 1.3 22.2 -16.6
pair LWTI MACD neg-neg 30 10.2 21.3 66.7 1.0 1.5 1.3 22.2 -16.6
pair MACD RSIhist neg-pos 40 13.7 21.0 62.5 1.0 1.8 1.4 21.4 -14.6
pair RSIhist MACD neg-pos 40 13.7 21.0 62.5 1.0 1.8 1.4 21.4 -14.6
pair MACDhist MRmean neg-pos 5 1.7 17.7 60.0 0.8 1.5 21.7 21.4 -0.8
pair MRmean MACDhist neg-pos 5 1.7 17.7 60.0 0.8 1.5 21.7 21.4 -0.8
pair RSI MACD neg-pos 19 6.5 15.8 63.2 1.0 1.8 1.1 15.3 -14.6
pair MACD RSI neg-pos 19 6.5 15.8 63.2 1.0 1.8 1.1 15.3 -14.6
pair RSmean MRmean pos-neg 5 1.7 15.8 60.0 1.0 2.3 3.2 16.1 -5.0
pair MRmean RSmean pos-neg 5 1.7 15.8 60.0 1.0 2.3 3.2 16.1 -5.0
pair RSIhist MACDhist neg-pos 43 14.7 15.6 60.5 0.8 1.5 1.2 20.1 -12.7
pair MACDhist RSIhist neg-pos 43 14.7 15.6 60.5 0.8 1.5 1.2 20.1 -12.7
pair MACD SLmean pos-neg 33 11.3 15.5 63.6 1.1 2.4 1.9 14.1 -8.3
pair SLmean MACD pos-neg 33 11.3 15.5 63.6 1.1 2.4 1.9 14.1 -8.3
pair MACD RSmean pos-neg 54 18.4 15.3 59.3 0.8 1.4 0.9 19.6 -16.6
pair RSmean MACD pos-neg 54 18.4 15.3 59.3 0.8 1.4 0.9 19.6 -16.6
pair MRmean MACD pos-neg 32 10.9 14.8 62.5 1.1 1.9 1.3 13.9 -11.2
pair MACD MRmean pos-neg 32 10.9 14.8 62.5 1.1 1.9 1.3 13.9 -11.2
pair SLmean LWTI pos-neg 19 6.5 14.2 73.7 1.0 2.4 1.0 14.0 -14.1
pair LWTI SLmean pos-neg 19 6.5 14.2 73.7 1.0 2.4 1.0 14.0 -14.1
pair RSI MRmean pos-neg 13 4.4 13.4 61.5 1.1 2.2 3.1 12.2 -4.3
pair MRmean RSI pos-neg 13 4.4 13.4 61.5 1.1 2.2 3.1 12.2 -4.3
single RSIhist RSIhist pos-pos 168 57.3 13.4 62.5 0.9 1.6 0.5 15.0 -25.1
pair MACDhist RSIhist pos-pos 125 42.7 12.7 63.2 1.0 1.8 0.6 12.8 -23.0
pair RSIhist MACDhist pos-pos 125 42.7 12.7 63.2 1.0 1.8 0.6 12.8 -23.0
pair RSIhist MRmean pos-pos 156 53.2 12.3 63.5 1.0 1.8 0.6 12.7 -22.3
pair SLmean MACDhist pos-pos 137 46.8 12.3 63.5 1.0 1.7 0.5 12.9 -23.9
pair MACDhist SLmean pos-pos 137 46.8 12.3 63.5 1.0 1.7 0.5 12.9 -23.9
pair MRmean RSIhist pos-pos 156 53.2 12.3 63.5 1.0 1.8 0.6 12.7 -22.3
pair RSIhist LWTI pos-pos 151 51.5 12.2 61.6 0.8 1.5 0.6 14.8 -18.9
pair LWTI RSIhist pos-pos 151 51.5 12.2 61.6 0.8 1.5 0.6 14.8 -18.9
pair RSIhist RSI pos-pos 147 50.2 11.8 62.6 0.9 1.7 0.5 12.7 -25.1
pair RSI RSIhist pos-pos 147 50.2 11.8 62.6 0.9 1.7 0.5 12.7 -25.1
pair RSIhist RSmean pos-pos 162 55.3 11.8 61.7 0.9 1.7 0.4 13.1 -27.4
pair RSmean RSIhist pos-pos 162 55.3 11.8 61.7 0.9 1.7 0.4 13.1 -27.4
pair RSIhist SLmean pos-pos 158 53.9 11.6 62.7 0.9 1.7 0.5 12.6 -25.1
pair SLmean RSIhist pos-pos 158 53.9 11.6 62.7 0.9 1.7 0.5 12.6 -25.1
pair RSmean MACDhist pos-pos 163 55.6 11.2 62.0 0.9 1.4 0.4 13.5 -27.4
pair MACD RSIhist pos-pos 128 43.7 11.2 62.5 0.9 1.6 0.4 12.4 -29.3
pair MACDhist RSmean pos-pos 163 55.6 11.2 62.0 0.9 1.4 0.4 13.5 -27.4
pair MACDhist MACD pos-pos 148 50.5 11.2 63.5 0.9 1.4 0.4 13.1 -27.4
pair MACD MACDhist pos-pos 148 50.5 11.2 63.5 0.9 1.4 0.4 13.1 -27.4
pair MRmean LWTI pos-neg 13 4.4 11.2 76.9 0.9 1.4 1.1 13.2 -10.5
pair LWTI MRmean pos-neg 13 4.4 11.2 76.9 0.9 1.4 1.1 13.2 -10.5
pair MACDhist LWTI pos-pos 162 55.3 11.2 62.3 0.9 1.4 0.4 13.5 -27.4
pair LWTI RSI pos-neg 11 3.8 11.2 72.7 0.8 1.4 1.6 14.5 -6.8
pair LWTI MACDhist pos-pos 162 55.3 11.2 62.3 0.9 1.4 0.4 13.5 -27.4
single MACDhist MACDhist pos-pos 164 56.0 11.2 62.2 0.9 1.4 0.4 13.4 -27.4
pair RSIhist MACD pos-pos 128 43.7 11.2 62.5 0.9 1.6 0.4 12.4 -29.3
pair RSI LWTI pos-neg 11 3.8 11.2 72.7 0.8 1.4 1.6 14.5 -6.8
pair MRmean MACDhist pos-pos 159 54.3 11.0 62.3 0.9 1.4 0.4 13.2 -26.8
pair MACDhist MRmean pos-pos 159 54.3 11.0 62.3 0.9 1.4 0.4 13.2 -26.8
pair MACD MACDhist neg-pos 16 5.5 10.9 50.0 0.7 1.3 1.0 17.1 -11.2
pair MACDhist MACD neg-pos 16 5.5 10.9 50.0 0.7 1.3 1.0 17.1 -11.2
pair MACD RSmean neg-pos 4 1.4 10.7 50.0 0.8 1.6 2.7 14.7 -3.9
pair RSmean MACD neg-pos 4 1.4 10.7 50.0 0.8 1.6 2.7 14.7 -3.9
pair RSI MACDhist pos-pos 159 54.3 10.3 62.3 0.8 1.3 0.4 13.3 -27.0
pair MACDhist RSI pos-pos 159 54.3 10.3 62.3 0.8 1.3 0.4 13.3 -27.0
pair MRmean SLmean pos-pos 182 62.1 10.3 62.6 0.8 1.4 0.4 12.8 -26.8
pair SLmean MRmean pos-pos 182 62.1 10.3 62.6 0.8 1.4 0.4 12.8 -26.8
pair RSI SLmean pos-pos 179 61.1 10.1 62.0 0.8 1.4 0.4 12.7 -24.6
pair SLmean RSI pos-pos 179 61.1 10.1 62.0 0.8 1.4 0.4 12.7 -24.6
single SLmean SLmean pos-pos 196 66.9 10.0 61.7 0.8 1.4 0.5 12.8 -22.0
pair RSI RSmean pos-neg 53 18.1 9.8 58.5 0.5 0.8 0.3 21.5 -31.5
pair RSmean RSI pos-neg 53 18.1 9.8 58.5 0.5 0.8 0.3 21.5 -31.5
pair RSmean SLmean pos-pos 192 65.5 9.7 61.5 0.8 1.4 0.5 12.7 -19.8
pair SLmean RSmean pos-pos 192 65.5 9.7 61.5 0.8 1.4 0.5 12.7 -19.8
pair SLmean LWTI pos-pos 177 60.4 9.6 60.5 0.8 1.3 0.4 12.7 -23.4
pair LWTI SLmean pos-pos 177 60.4 9.6 60.5 0.8 1.3 0.4 12.7 -23.4
single MRmean MRmean pos-pos 208 71.0 9.3 61.5 0.8 1.2 0.3 12.9 -29.1
pair RSI SLmean pos-neg 17 5.8 9.3 58.8 0.7 1.4 1.1 13.6 -8.2
pair SLmean RSI pos-neg 17 5.8 9.3 58.8 0.7 1.4 1.1 13.6 -8.2
pair MRmean LWTI pos-pos 195 66.6 9.2 60.5 0.8 1.2 0.4 13.0 -24.8
pair LWTI MRmean pos-pos 195 66.6 9.2 60.5 0.8 1.2 0.4 13.0 -24.8
pair MRmean RSmean pos-pos 203 69.3 9.2 61.6 0.8 1.2 0.4 12.9 -25.3
pair RSmean MRmean pos-pos 203 69.3 9.2 61.6 0.8 1.2 0.4 12.9 -25.3
pair MRmean RSI pos-pos 195 66.6 9.1 61.5 0.7 1.1 0.3 13.0 -29.2
pair RSI MRmean pos-pos 195 66.6 9.1 61.5 0.7 1.1 0.3 13.0 -29.2
pair LWTI RSmean pos-pos 233 79.5 8.9 59.7 0.7 1.1 0.3 13.4 -27.7
pair RSmean LWTI pos-pos 233 79.5 8.9 59.7 0.7 1.1 0.3 13.4 -27.7
pair MACD SLmean pos-pos 163 55.6 8.9 61.3 0.8 1.2 0.3 12.5 -26.6
pair SLmean MACD pos-pos 163 55.6 8.9 61.3 0.8 1.2 0.3 12.5 -26.6
pair RSmean RSI neg-pos 5 1.7 8.8 60.0 0.7 1.3 2.2 12.8 -3.9
pair RSI RSmean neg-pos 5 1.7 8.8 60.0 0.7 1.3 2.2 12.8 -3.9
pair MACD LWTI pos-pos 210 71.7 8.4 60.0 0.7 1.0 0.3 13.1 -27.7
pair LWTI MACD pos-pos 210 71.7 8.4 60.0 0.7 1.0 0.3 13.1 -27.7
pair MRmean MACD pos-pos 176 60.1 8.3 61.4 0.7 1.1 0.2 12.8 -34.4
pair MACD MRmean pos-pos 176 60.1 8.3 61.4 0.7 1.1 0.2 12.8 -34.4
pair LWTI MACDhist pos-neg 2 0.7 8.3 50.0 0.6 0.0 0.0 13.1 0.0
pair MACDhist LWTI pos-neg 2 0.7 8.3 50.0 0.6 0.0 0.0 13.1 0.0
single MACD MACD neg-neg 69 23.5 8.3 58.0 0.5 0.7 0.2 23.2 -43.5
single RSmean RSmean pos-pos 274 93.5 8.1 59.9 0.6 0.9 0.2 15.2 -45.1
single RSI RSI pos-pos 226 77.1 7.8 60.2 0.6 0.9 0.3 13.2 -29.4
pair RSmean RSI pos-pos 221 75.4 7.7 60.2 0.6 0.9 0.3 13.3 -29.4
pair RSI RSmean pos-pos 221 75.4 7.7 60.2 0.6 0.9 0.3 13.3 -29.4
pair RSI LWTI pos-pos 215 73.4 7.6 59.5 0.6 0.9 0.3 13.2 -28.0
pair LWTI RSI pos-pos 215 73.4 7.6 59.5 0.6 0.9 0.3 13.2 -28.0
pair MACD MACDhist neg-neg 53 18.1 7.6 60.4 0.4 0.7 0.2 24.9 -43.5
pair MACDhist MACD neg-neg 53 18.1 7.6 60.4 0.4 0.7 0.2 24.9 -43.5
single LWTI LWTI neg-neg 44 15.0 7.2 63.6 0.4 0.6 0.2 22.5 -29.4
pair LWTI MACDhist neg-neg 42 14.3 7.1 64.3 0.4 0.6 0.2 22.9 -29.4
pair MACDhist LWTI neg-neg 42 14.3 7.1 64.3 0.4 0.6 0.2 22.9 -29.4
pair RSI MACD pos-pos 207 70.6 7.1 59.9 0.6 0.9 0.2 13.1 -29.6
pair MACD RSI pos-pos 207 70.6 7.1 59.9 0.6 0.9 0.2 13.1 -29.6
single LWTI LWTI pos-pos 249 85.0 6.9 58.6 0.5 0.8 0.2 15.2 -43.5
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 6.9 59.4 0.5 0.7 0.1 16.5 -45.1
pair benchmark___benchmark_ benchmark-benchmark 293 100.0 6.9 59.4 0.5 0.7 0.1 16.5 -45.1
single MACD MACD pos-pos 224 76.5 6.5 59.8 0.5 0.7 0.2 13.8 -41.9
pair MACD RSmean pos-pos 220 75.1 6.4 60.0 0.5 0.7 0.1 13.9 -41.9
pair RSmean MACD pos-pos 220 75.1 6.4 60.0 0.5 0.7 0.1 13.9 -41.9
pair MACDhist RSIhist pos-neg 39 13.3 6.4 59.0 0.5 0.7 0.3 15.3 -18.3
pair RSIhist MACDhist pos-neg 39 13.3 6.4 59.0 0.5 0.7 0.3 15.3 -18.3
pair MRmean SLmean neg-pos 14 4.8 6.1 50.0 0.5 1.0 1.0 12.9 -6.1
pair SLmean MRmean neg-pos 14 4.8 6.1 50.0 0.5 1.0 1.0 12.9 -6.1
pair LWTI RSI neg-neg 33 11.3 5.9 60.6 0.3 0.5 0.2 24.7 -29.4
pair RSI LWTI neg-neg 33 11.3 5.9 60.6 0.3 0.5 0.2 24.7 -29.4
pair MACDhist SLmean neg-pos 27 9.2 5.7 55.6 0.4 0.6 0.5 16.1 -10.9
pair SLmean MACDhist neg-pos 27 9.2 5.7 55.6 0.4 0.6 0.5 16.1 -10.9
pair LWTI MRmean neg-neg 31 10.6 5.6 58.1 0.3 0.5 0.2 25.6 -29.4
pair MRmean LWTI neg-neg 31 10.6 5.6 58.1 0.3 0.5 0.2 25.6 -29.4
pair RSI MACD neg-neg 50 17.1 5.6 56.0 0.3 0.6 0.1 25.7 -43.5
pair MACD RSI neg-neg 50 17.1 5.6 56.0 0.3 0.6 0.1 25.7 -43.5
pair RSmean MRmean neg-pos 71 24.2 5.3 54.9 0.3 0.5 0.1 20.4 -34.1
pair MRmean RSmean neg-pos 71 24.2 5.3 54.9 0.3 0.5 0.1 20.4 -34.1
pair SLmean MACDhist pos-neg 59 20.1 4.9 57.6 0.5 0.7 0.4 12.5 -11.2
pair MACDhist SLmean pos-neg 59 20.1 4.9 57.6 0.5 0.7 0.4 12.5 -11.2
pair RSmean SLmean neg-pos 82 28.0 4.5 56.1 0.3 0.4 0.1 19.9 -34.2
pair SLmean RSmean neg-pos 82 28.0 4.5 56.1 0.3 0.4 0.1 19.9 -34.2
single RSI RSI neg-neg 67 22.9 4.2 56.7 0.3 0.4 0.1 24.6 -44.4
pair MACDhist MRmean pos-neg 49 16.7 4.1 59.2 0.4 0.6 0.3 12.0 -14.8
pair MRmean MACDhist pos-neg 49 16.7 4.1 59.2 0.4 0.6 0.3 12.0 -14.8
pair RSmean LWTI pos-neg 41 14.0 3.9 61.0 0.3 0.4 0.1 22.9 -29.4
pair LWTI RSmean pos-neg 41 14.0 3.9 61.0 0.3 0.4 0.1 22.9 -29.4
pair RSmean MACDhist pos-neg 111 37.9 3.8 56.8 0.3 0.4 0.1 17.4 -37.5
pair MACDhist RSmean pos-neg 111 37.9 3.8 56.8 0.3 0.4 0.1 17.4 -37.5
pair SLmean RSIhist pos-neg 38 13.0 3.6 57.9 0.3 0.5 0.2 13.7 -14.8
pair RSIhist SLmean pos-neg 38 13.0 3.6 57.9 0.3 0.5 0.2 13.7 -14.8
pair RSIhist RSmean pos-neg 112 38.2 3.1 57.1 0.3 0.3 0.1 17.7 -42.5
pair RSmean RSIhist pos-neg 112 38.2 3.1 57.1 0.3 0.3 0.1 17.7 -42.5
pair MRmean MACD neg-neg 37 12.6 3.0 54.1 0.2 0.4 0.1 29.1 -43.5
pair MACD MRmean neg-neg 37 12.6 3.0 54.1 0.2 0.4 0.1 29.1 -43.5
pair RSI LWTI neg-pos 34 11.6 2.6 52.9 0.2 0.3 0.1 24.8 -43.5
pair LWTI RSI neg-pos 34 11.6 2.6 52.9 0.2 0.3 0.1 24.8 -43.5
pair MRmean SLmean pos-neg 26 8.9 2.6 53.8 0.2 0.3 0.2 14.0 -15.7
pair SLmean MRmean pos-neg 26 8.9 2.6 53.8 0.2 0.3 0.2 14.0 -15.7
pair SLmean RSI neg-neg 50 17.1 2.5 56.0 0.2 0.4 0.1 27.5 -45.2
pair RSI SLmean neg-neg 50 17.1 2.5 56.0 0.2 0.4 0.1 27.5 -45.2
pair RSI MRmean neg-neg 54 18.4 2.1 55.6 0.2 0.3 0.0 26.8 -48.0
pair SLmean MACD neg-neg 36 12.3 2.1 52.8 0.2 0.4 0.1 29.3 -43.5
pair MACD SLmean neg-neg 36 12.3 2.1 52.8 0.2 0.4 0.1 29.3 -43.5
pair MRmean RSI neg-neg 54 18.4 2.1 55.6 0.2 0.3 0.0 26.8 -48.0
pair SLmean LWTI neg-neg 25 8.5 2.1 56.0 0.2 0.3 0.1 27.5 -29.4
pair LWTI SLmean neg-neg 25 8.5 2.1 56.0 0.2 0.3 0.1 27.5 -29.4
pair MACDhist RSI pos-neg 67 22.9 2.0 55.2 0.2 0.3 0.1 13.0 -20.5
pair RSI MACDhist pos-neg 67 22.9 2.0 55.2 0.2 0.3 0.1 13.0 -20.5
single MACDhist MACDhist neg-neg 129 44.0 1.8 55.8 0.2 0.3 0.0 19.7 -43.5
pair MACDhist RSmean neg-pos 1 0.3 1.6 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 1.6 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-neg 62 21.2 1.5 56.5 0.2 0.3 0.0 25.1 -44.4
pair RSI MACDhist neg-neg 62 21.2 1.5 56.5 0.2 0.3 0.0 25.1 -44.4
single MRmean MRmean neg-neg 85 29.0 1.4 54.1 0.2 0.3 0.0 23.0 -45.5
single SLmean SLmean neg-neg 97 33.1 1.0 54.6 0.1 0.2 0.0 22.2 -46.3
pair RSIhist MRmean pos-neg 52 17.7 0.7 55.8 0.1 0.1 0.0 13.5 -23.4
pair MRmean RSIhist pos-neg 52 17.7 0.7 55.8 0.1 0.1 0.0 13.5 -23.4
pair RSIhist RSI pos-neg 79 27.0 0.7 55.7 0.1 0.2 0.0 14.0 -31.5
pair RSI RSIhist pos-neg 79 27.0 0.7 55.7 0.1 0.2 0.0 14.0 -31.5
pair RSIhist MACD pos-neg 96 32.8 0.6 56.2 0.1 0.1 0.0 15.5 -43.7
pair MACD RSIhist pos-neg 96 32.8 0.6 56.2 0.1 0.1 0.0 15.5 -43.7
pair LWTI SLmean neg-pos 72 24.6 0.6 54.2 0.1 0.2 0.0 20.3 -43.5
pair SLmean LWTI neg-pos 72 24.6 0.6 54.2 0.1 0.2 0.0 20.3 -43.5
pair MACDhist MRmean neg-neg 80 27.3 0.4 53.8 0.1 0.2 0.0 23.2 -43.5
pair MRmean MACDhist neg-neg 80 27.3 0.4 53.8 0.1 0.2 0.0 23.2 -43.5
pair MRmean SLmean neg-neg 71 24.2 0.4 54.9 0.1 0.2 0.0 24.6 -45.9
pair SLmean MRmean neg-neg 71 24.2 0.4 54.9 0.1 0.2 0.0 24.6 -45.9
pair SLmean MACD neg-pos 61 20.8 0.3 55.7 0.1 0.1 0.0 16.9 -35.5
pair MACD SLmean neg-pos 61 20.8 0.3 55.7 0.1 0.1 0.0 16.9 -35.5
pair MACD RSI pos-neg 17 5.8 0.2 58.8 0.1 0.1 0.0 21.8 -24.5
pair RSI MACD pos-neg 17 5.8 0.2 58.8 0.1 0.1 0.0 21.8 -24.5
pair MRmean RSI neg-pos 31 10.6 0.1 51.6 0.1 0.1 0.0 14.6 -20.9
pair RSI MRmean neg-pos 31 10.6 0.1 51.6 0.1 0.1 0.0 14.6 -20.9
pair MACD MRmean neg-pos 48 16.4 0.1 54.2 0.1 0.1 0.0 17.3 -27.0
pair MRmean MACD neg-pos 48 16.4 0.1 54.2 0.1 0.1 0.0 17.3 -27.0
pair RSI SLmean neg-pos 47 16.0 -0.6 53.2 0.0 0.0 -0.0 14.9 -26.0
pair SLmean RSI neg-pos 47 16.0 -0.6 53.2 0.0 0.0 -0.0 14.9 -26.0
pair LWTI MACDhist neg-pos 87 29.7 -0.7 51.7 0.1 0.1 -0.0 18.0 -43.5
pair MACDhist LWTI neg-pos 87 29.7 -0.7 51.7 0.1 0.1 -0.0 18.0 -43.5
pair MACDhist SLmean neg-neg 70 23.9 -0.7 54.3 0.1 0.1 -0.0 24.2 -43.5
pair SLmean MACDhist neg-neg 70 23.9 -0.7 54.3 0.1 0.1 -0.0 24.2 -43.5
pair MACD LWTI neg-pos 39 13.3 -0.7 51.3 0.1 0.1 -0.0 23.9 -43.5
pair LWTI MACD neg-pos 39 13.3 -0.7 51.3 0.1 0.1 -0.0 23.9 -43.5
pair LWTI RSIhist neg-pos 98 33.4 -0.8 54.1 0.0 0.0 -0.0 15.7 -35.5
pair RSIhist LWTI neg-pos 98 33.4 -0.8 54.1 0.0 0.0 -0.0 15.7 -35.5
pair LWTI MRmean neg-pos 54 18.4 -1.0 51.9 0.1 0.1 -0.0 21.7 -43.5
pair MRmean LWTI neg-pos 54 18.4 -1.0 51.9 0.1 0.1 -0.0 21.7 -43.5
single RSIhist RSIhist neg-neg 125 42.7 -1.2 55.2 0.0 0.0 -0.0 18.1 -54.3
pair MACD MACDhist pos-neg 76 25.9 -2.0 52.6 -0.1 -0.1 -0.1 15.1 -33.1
pair MACDhist MACD pos-neg 76 25.9 -2.0 52.6 -0.1 -0.1 -0.1 15.1 -33.1
pair RSIhist MRmean neg-neg 73 24.9 -2.6 54.8 -0.0 -0.0 -0.1 20.9 -52.7
pair MRmean RSIhist neg-neg 73 24.9 -2.6 54.8 -0.0 -0.0 -0.1 20.9 -52.7
pair RSIhist LWTI neg-neg 27 9.2 -2.8 59.3 0.0 0.0 -0.1 25.4 -27.7
pair LWTI RSIhist neg-neg 27 9.2 -2.8 59.3 0.0 0.0 -0.1 25.4 -27.7
pair RSIhist SLmean neg-neg 87 29.7 -3.2 54.0 -0.1 -0.1 -0.1 19.8 -55.8
pair SLmean RSIhist neg-neg 87 29.7 -3.2 54.0 -0.1 -0.1 -0.1 19.8 -55.8
pair RSIhist RSI neg-neg 46 15.7 -4.4 54.3 -0.1 -0.1 -0.1 23.8 -54.9
pair RSI RSIhist neg-neg 46 15.7 -4.4 54.3 -0.1 -0.1 -0.1 23.8 -54.9
pair MACDhist RSIhist neg-neg 86 29.4 -4.5 53.5 -0.1 -0.2 -0.1 19.3 -53.3
pair RSIhist MACDhist neg-neg 86 29.4 -4.5 53.5 -0.1 -0.2 -0.1 19.3 -53.3
pair RSIhist MACD neg-neg 29 9.9 -7.1 51.7 -0.2 -0.3 -0.2 25.2 -38.5
pair MACD RSIhist neg-neg 29 9.9 -7.1 51.7 -0.2 -0.3 -0.2 25.2 -38.5
single RSmean RSmean neg-neg 19 6.5 -8.9 52.6 -0.2 -0.3 -0.2 30.0 -43.5
pair MACDhist RSmean neg-neg 18 6.1 -9.5 50.0 -0.2 -0.3 -0.2 30.9 -43.5
pair RSmean MACDhist neg-neg 18 6.1 -9.5 50.0 -0.2 -0.3 -0.2 30.9 -43.5
pair MACD RSmean neg-neg 15 5.1 -13.6 53.3 -0.3 -0.5 -0.3 33.2 -43.5
pair RSmean MACD neg-neg 15 5.1 -13.6 53.3 -0.3 -0.5 -0.3 33.2 -43.5
pair RSmean RSI neg-neg 14 4.8 -14.6 50.0 -0.3 -0.6 -0.3 34.5 -43.5
pair RSI RSmean neg-neg 14 4.8 -14.6 50.0 -0.3 -0.6 -0.3 34.5 -43.5
pair RSmean SLmean neg-neg 15 5.1 -16.2 46.7 -0.4 -0.7 -0.4 32.7 -43.5
pair SLmean RSmean neg-neg 15 5.1 -16.2 46.7 -0.4 -0.7 -0.4 32.7 -43.5
pair RSmean MRmean neg-neg 14 4.8 -16.4 50.0 -0.4 -0.7 -0.4 33.9 -43.5
pair MRmean RSmean neg-neg 14 4.8 -16.4 50.0 -0.4 -0.7 -0.4 33.9 -43.5
pair MACD LWTI pos-neg 14 4.8 -17.8 57.1 -0.8 -1.1 -0.7 22.0 -24.9
pair LWTI MACD pos-neg 14 4.8 -17.8 57.1 -0.8 -1.1 -0.7 22.0 -24.9
pair LWTI RSmean neg-pos 16 5.5 -18.4 43.8 -0.5 -0.9 -0.4 31.6 -43.5
pair RSmean LWTI neg-pos 16 5.5 -18.4 43.8 -0.5 -0.9 -0.4 31.6 -43.5
pair RSIhist RSmean neg-neg 13 4.4 -31.3 38.5 -1.9 -2.2 -0.8 18.9 -36.7
pair RSmean RSIhist neg-neg 13 4.4 -31.3 38.5 -1.9 -2.2 -0.8 18.9 -36.7

All Contingency Tables for IXP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 63%
Sharpe 0.83 | Sortino 1.42 | Calmar 0.4
Vol 13% | MDD -26.8%
Months 182M (62%)
CAGR 2.6% | Win 54%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.2
Vol 14% | MDD -15.7%
Months 26M (9%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 6.1% | Win 50%
Sharpe 0.52 | Sortino 1.01 | Calmar 1.0
Vol 13% | MDD -6.1%
Months 14M (5%)
CAGR 0.4% | Win 55%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.0
Vol 25% | MDD -45.9%
Months 71M (24%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
SLmean
only
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.2% | Win 62%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 13% | MDD -25.3%
Months 203M (69%)
CAGR 15.8% | Win 60%
Sharpe 0.98 | Sortino 2.30 | Calmar 3.2
Vol 16% | MDD -5.0%
Months 5M (2%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 20% | MDD -34.1%
Months 71M (24%)
CAGR -16.4% | Win 50%
Sharpe -0.37 | Sortino -0.72 | Calmar -0.4
Vol 34% | MDD -43.5%
Months 14M (5%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
RSmean
only
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 61%
Sharpe 0.69 | Sortino 1.06 | Calmar 0.2
Vol 13% | MDD -34.4%
Months 176M (60%)
CAGR 14.8% | Win 62%
Sharpe 1.07 | Sortino 1.90 | Calmar 1.3
Vol 14% | MDD -11.2%
Months 32M (11%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 0.1% | Win 54%
Sharpe 0.09 | Sortino 0.12 | Calmar 0.0
Vol 17% | MDD -27.0%
Months 48M (16%)
CAGR 3.0% | Win 54%
Sharpe 0.24 | Sortino 0.44 | Calmar 0.1
Vol 29% | MDD -43.5%
Months 37M (13%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
MACD
only
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 62%
Sharpe 0.73 | Sortino 1.15 | Calmar 0.3
Vol 13% | MDD -29.2%
Months 195M (67%)
CAGR 13.4% | Win 62%
Sharpe 1.09 | Sortino 2.20 | Calmar 3.1
Vol 12% | MDD -4.3%
Months 13M (4%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 0.1% | Win 52%
Sharpe 0.08 | Sortino 0.10 | Calmar 0.0
Vol 15% | MDD -20.9%
Months 31M (11%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -48.0%
Months 54M (18%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 11.0% | Win 62%
Sharpe 0.86 | Sortino 1.35 | Calmar 0.4
Vol 13% | MDD -26.8%
Months 159M (54%)
CAGR 4.1% | Win 59%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.3
Vol 12% | MDD -14.8%
Months 49M (17%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 17.7% | Win 60%
Sharpe 0.85 | Sortino 1.46 | Calmar 21.7
Vol 21% | MDD -0.8%
Months 5M (2%)
CAGR 0.4% | Win 54%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -43.5%
Months 80M (27%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
MACDhist
only
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 64%
Sharpe 0.98 | Sortino 1.76 | Calmar 0.6
Vol 13% | MDD -22.3%
Months 156M (53%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 14% | MDD -23.4%
Months 52M (18%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR 28.7% | Win 50%
Sharpe 0.91 | Sortino 1.84 | Calmar 2.9
Vol 33% | MDD -10.0%
Months 12M (4%)
CAGR -2.6% | Win 55%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 21% | MDD -52.7%
Months 73M (25%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.4
Vol 13% | MDD -24.8%
Months 195M (67%)
CAGR 11.2% | Win 77%
Sharpe 0.87 | Sortino 1.37 | Calmar 1.1
Vol 13% | MDD -10.5%
Months 13M (4%)
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -29.1%
Months 208M (71%)
MRmean
neg
CAGR -1.0% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -43.5%
Months 54M (18%)
CAGR 5.6% | Win 58%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.2
Vol 26% | MDD -29.4%
Months 31M (11%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -45.5%
Months 85M (29%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 62%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.5
Vol 13% | MDD -19.8%
Months 192M (66%)
CAGR 24.3% | Win 75%
Sharpe 1.29 | Sortino 0.00 | Calmar 6.2
Vol 18% | MDD -3.9%
Months 4M (1%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR 4.5% | Win 56%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -34.2%
Months 82M (28%)
CAGR -16.2% | Win 47%
Sharpe -0.39 | Sortino -0.69 | Calmar -0.4
Vol 33% | MDD -43.5%
Months 15M (5%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
RSmean
only
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.9% | Win 61%
Sharpe 0.75 | Sortino 1.23 | Calmar 0.3
Vol 12% | MDD -26.6%
Months 163M (56%)
CAGR 15.5% | Win 64%
Sharpe 1.10 | Sortino 2.35 | Calmar 1.9
Vol 14% | MDD -8.3%
Months 33M (11%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR 0.3% | Win 56%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 17% | MDD -35.5%
Months 61M (21%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.38 | Calmar 0.0
Vol 29% | MDD -43.5%
Months 36M (12%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
MACD
only
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.1% | Win 62%
Sharpe 0.82 | Sortino 1.39 | Calmar 0.4
Vol 13% | MDD -24.6%
Months 179M (61%)
CAGR 9.3% | Win 59%
Sharpe 0.71 | Sortino 1.44 | Calmar 1.1
Vol 14% | MDD -8.2%
Months 17M (6%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR -0.6% | Win 53%
Sharpe 0.04 | Sortino 0.04 | Calmar -0.0
Vol 15% | MDD -26.0%
Months 47M (16%)
CAGR 2.5% | Win 56%
Sharpe 0.23 | Sortino 0.36 | Calmar 0.1
Vol 28% | MDD -45.2%
Months 50M (17%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 64%
Sharpe 0.97 | Sortino 1.68 | Calmar 0.5
Vol 13% | MDD -23.9%
Months 137M (47%)
CAGR 4.9% | Win 58%
Sharpe 0.45 | Sortino 0.74 | Calmar 0.4
Vol 12% | MDD -11.2%
Months 59M (20%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR 5.7% | Win 56%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.5
Vol 16% | MDD -10.9%
Months 27M (9%)
CAGR -0.7% | Win 54%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -43.5%
Months 70M (24%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
MACDhist
only
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.6% | Win 63%
Sharpe 0.94 | Sortino 1.72 | Calmar 0.5
Vol 13% | MDD -25.1%
Months 158M (54%)
CAGR 3.6% | Win 58%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.2
Vol 14% | MDD -14.8%
Months 38M (13%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR 46.2% | Win 60%
Sharpe 1.22 | Sortino 2.29 | Calmar 6.7
Vol 36% | MDD -6.9%
Months 10M (3%)
CAGR -3.2% | Win 54%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 20% | MDD -55.8%
Months 87M (30%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.6% | Win 60%
Sharpe 0.79 | Sortino 1.34 | Calmar 0.4
Vol 13% | MDD -23.4%
Months 177M (60%)
CAGR 14.2% | Win 74%
Sharpe 1.02 | Sortino 2.40 | Calmar 1.0
Vol 14% | MDD -14.1%
Months 19M (6%)
CAGR 10.0% | Win 62%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.5
Vol 13% | MDD -22.0%
Months 196M (67%)
SLmean
neg
CAGR 0.6% | Win 54%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 72M (25%)
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.1
Vol 28% | MDD -29.4%
Months 25M (8%)
CAGR 1.0% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 22% | MDD -46.3%
Months 97M (33%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.4% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 220M (75%)
CAGR 15.3% | Win 59%
Sharpe 0.83 | Sortino 1.35 | Calmar 0.9
Vol 20% | MDD -16.6%
Months 54M (18%)
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
RSmean
neg
CAGR 10.7% | Win 50%
Sharpe 0.75 | Sortino 1.60 | Calmar 2.7
Vol 15% | MDD -3.9%
Months 4M (1%)
CAGR -13.6% | Win 53%
Sharpe -0.28 | Sortino -0.54 | Calmar -0.3
Vol 33% | MDD -43.5%
Months 15M (5%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
MACD
only
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 60%
Sharpe 0.63 | Sortino 0.94 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 221M (75%)
CAGR 9.8% | Win 58%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 22% | MDD -31.5%
Months 53M (18%)
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
RSmean
neg
CAGR 8.8% | Win 60%
Sharpe 0.72 | Sortino 1.33 | Calmar 2.3
Vol 13% | MDD -3.9%
Months 5M (2%)
CAGR -14.6% | Win 50%
Sharpe -0.30 | Sortino -0.59 | Calmar -0.3
Vol 34% | MDD -43.5%
Months 14M (5%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.38 | Calmar 0.4
Vol 14% | MDD -27.4%
Months 163M (56%)
CAGR 3.8% | Win 57%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 17% | MDD -37.5%
Months 111M (38%)
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
RSmean
neg
CAGR 1.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -9.5% | Win 50%
Sharpe -0.18 | Sortino -0.31 | Calmar -0.2
Vol 31% | MDD -43.5%
Months 18M (6%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
MACDhist
only
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.8% | Win 62%
Sharpe 0.92 | Sortino 1.72 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 162M (55%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 18% | MDD -42.5%
Months 112M (38%)
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
RSmean
neg
CAGR 67.9% | Win 83%
Sharpe 1.43 | Sortino 0.00 | Calmar 0.0
Vol 42% | MDD 0.0%
Months 6M (2%)
CAGR -31.3% | Win 38%
Sharpe -1.87 | Sortino -2.23 | Calmar -0.9
Vol 19% | MDD -36.7%
Months 13M (4%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 60%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.3
Vol 13% | MDD -27.7%
Months 233M (80%)
CAGR 3.9% | Win 61%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 23% | MDD -29.4%
Months 41M (14%)
CAGR 8.1% | Win 60%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -45.1%
Months 274M (94%)
RSmean
neg
CAGR -18.4% | Win 44%
Sharpe -0.49 | Sortino -0.89 | Calmar -0.4
Vol 32% | MDD -43.5%
Months 16M (6%)
CAGR 63.7% | Win 100%
Sharpe 4.02 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (1%)
CAGR -8.9% | Win 53%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.2
Vol 30% | MDD -43.5%
Months 19M (6%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.2
Vol 13% | MDD -29.6%
Months 207M (71%)
CAGR 0.2% | Win 59%
Sharpe 0.11 | Sortino 0.13 | Calmar 0.0
Vol 22% | MDD -24.5%
Months 17M (6%)
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
MACD
neg
CAGR 15.8% | Win 63%
Sharpe 1.04 | Sortino 1.78 | Calmar 1.1
Vol 15% | MDD -14.6%
Months 19M (6%)
CAGR 5.6% | Win 56%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -43.5%
Months 50M (17%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.2% | Win 64%
Sharpe 0.88 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 148M (50%)
CAGR -2.0% | Win 53%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 15% | MDD -33.1%
Months 76M (26%)
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
MACD
neg
CAGR 10.9% | Win 50%
Sharpe 0.69 | Sortino 1.31 | Calmar 1.0
Vol 17% | MDD -11.2%
Months 16M (6%)
CAGR 7.6% | Win 60%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 25% | MDD -43.5%
Months 53M (18%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
MACDhist
only
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.64 | Calmar 0.4
Vol 12% | MDD -29.3%
Months 128M (44%)
CAGR 0.6% | Win 56%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 16% | MDD -43.7%
Months 96M (33%)
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
MACD
neg
CAGR 21.0% | Win 62%
Sharpe 1.00 | Sortino 1.75 | Calmar 1.4
Vol 21% | MDD -14.6%
Months 40M (14%)
CAGR -7.1% | Win 52%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.2
Vol 25% | MDD -38.5%
Months 29M (10%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.4% | Win 60%
Sharpe 0.68 | Sortino 1.02 | Calmar 0.3
Vol 13% | MDD -27.7%
Months 210M (72%)
CAGR -17.8% | Win 57%
Sharpe -0.78 | Sortino -1.13 | Calmar -0.7
Vol 22% | MDD -24.9%
Months 14M (5%)
CAGR 6.5% | Win 60%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 224M (76%)
MACD
neg
CAGR -0.7% | Win 51%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 24% | MDD -43.5%
Months 39M (13%)
CAGR 21.3% | Win 67%
Sharpe 0.99 | Sortino 1.46 | Calmar 1.3
Vol 22% | MDD -16.6%
Months 30M (10%)
CAGR 8.3% | Win 58%
Sharpe 0.46 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -43.5%
Months 69M (24%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.3% | Win 62%
Sharpe 0.81 | Sortino 1.27 | Calmar 0.4
Vol 13% | MDD -27.0%
Months 159M (54%)
CAGR 2.0% | Win 55%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -20.5%
Months 67M (23%)
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
RSI
neg
CAGR 43.3% | Win 60%
Sharpe 2.21 | Sortino 36.34 | Calmar 53.2
Vol 17% | MDD -0.8%
Months 5M (2%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 25% | MDD -44.4%
Months 62M (21%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
MACDhist
only
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.8% | Win 63%
Sharpe 0.94 | Sortino 1.67 | Calmar 0.5
Vol 13% | MDD -25.1%
Months 147M (50%)
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 14% | MDD -31.5%
Months 79M (27%)
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
RSI
neg
CAGR 25.9% | Win 62%
Sharpe 1.01 | Sortino 1.77 | Calmar 2.0
Vol 26% | MDD -12.7%
Months 21M (7%)
CAGR -4.4% | Win 54%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 24% | MDD -54.9%
Months 46M (16%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.6% | Win 60%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.3
Vol 13% | MDD -28.0%
Months 215M (73%)
CAGR 11.2% | Win 73%
Sharpe 0.80 | Sortino 1.38 | Calmar 1.6
Vol 14% | MDD -6.8%
Months 11M (4%)
CAGR 7.8% | Win 60%
Sharpe 0.63 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -29.4%
Months 226M (77%)
RSI
neg
CAGR 2.6% | Win 53%
Sharpe 0.22 | Sortino 0.34 | Calmar 0.1
Vol 25% | MDD -43.5%
Months 34M (12%)
CAGR 5.9% | Win 61%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.2
Vol 25% | MDD -29.4%
Months 33M (11%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 25% | MDD -44.4%
Months 67M (23%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.7% | Win 63%
Sharpe 1.00 | Sortino 1.75 | Calmar 0.6
Vol 13% | MDD -23.0%
Months 125M (43%)
CAGR 6.4% | Win 59%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.3
Vol 15% | MDD -18.3%
Months 39M (13%)
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
MACDhist
neg
CAGR 15.6% | Win 60%
Sharpe 0.82 | Sortino 1.46 | Calmar 1.2
Vol 20% | MDD -12.7%
Months 43M (15%)
CAGR -4.5% | Win 54%
Sharpe -0.14 | Sortino -0.18 | Calmar -0.1
Vol 19% | MDD -53.3%
Months 86M (29%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -27.4%
Months 162M (55%)
CAGR 8.3% | Win 50%
Sharpe 0.64 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 2M (1%)
CAGR 11.2% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.4
Vol 13% | MDD -27.4%
Months 164M (56%)
MACDhist
neg
CAGR -0.7% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 18% | MDD -43.5%
Months 87M (30%)
CAGR 7.1% | Win 64%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.2
Vol 23% | MDD -29.4%
Months 42M (14%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 20% | MDD -43.5%
Months 129M (44%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.2% | Win 62%
Sharpe 0.85 | Sortino 1.46 | Calmar 0.6
Vol 15% | MDD -18.9%
Months 151M (52%)
CAGR 25.1% | Win 71%
Sharpe 1.44 | Sortino 3.13 | Calmar 1.9
Vol 17% | MDD -13.0%
Months 17M (6%)
CAGR 13.4% | Win 62%
Sharpe 0.92 | Sortino 1.62 | Calmar 0.5
Vol 15% | MDD -25.1%
Months 168M (57%)
RSIhist
neg
CAGR -0.8% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 16% | MDD -35.5%
Months 98M (33%)
CAGR -2.8% | Win 59%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 25% | MDD -27.7%
Months 27M (9%)
CAGR -1.2% | Win 55%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -54.3%
Months 125M (43%)
LWTI
only
CAGR 6.9% | Win 59%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -43.5%
Months 249M (85%)
CAGR 7.2% | Win 64%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -29.4%
Months 44M (15%)