IYG - iShares U.S. Financial Services ETF

Signal Pair Analysis

SLmean-RSmean

Best Pair

142.2%

Best CAGR

90

Total Months

10.0%

Avg CAGR

IYG 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 IYG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean SLmean pos-neg 1 0.3 142.2 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 1 0.3 142.2 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-pos 2 0.6 89.0 100.0 6.1 0.0 0.0 10.7 0.0
pair RSmean RSIhist neg-pos 2 0.6 89.0 100.0 6.1 0.0 0.0 10.7 0.0
pair LWTI RSmean neg-neg 3 0.9 82.8 100.0 6.1 0.0 0.0 10.2 0.0
pair RSmean LWTI neg-neg 3 0.9 82.8 100.0 6.1 0.0 0.0 10.2 0.0
pair RSI RSmean neg-neg 4 1.3 70.3 100.0 6.8 0.0 0.0 8.1 0.0
pair RSmean RSI neg-neg 4 1.3 70.3 100.0 6.8 0.0 0.0 8.1 0.0
pair MACD RSmean neg-pos 5 1.6 54.1 80.0 3.0 0.0 17.1 15.2 -3.2
pair RSmean MACD neg-pos 5 1.6 54.1 80.0 3.0 0.0 17.1 15.2 -3.2
pair MRmean RSIhist neg-pos 9 2.8 42.7 66.7 1.5 2.4 4.3 26.4 -10.0
pair RSIhist MRmean neg-pos 9 2.8 42.7 66.7 1.5 2.4 4.3 26.4 -10.0
pair RSmean MACDhist neg-neg 17 5.4 41.3 70.6 1.9 4.0 3.7 19.4 -11.1
pair MACDhist RSmean neg-neg 17 5.4 41.3 70.6 1.9 4.0 3.7 19.4 -11.1
pair RSI MACD pos-neg 27 8.5 38.4 66.7 1.5 2.9 1.9 24.2 -19.7
pair MACD RSI pos-neg 27 8.5 38.4 66.7 1.5 2.9 1.9 24.2 -19.7
pair MRmean RSmean neg-neg 17 5.4 37.2 70.6 1.8 3.7 3.4 19.0 -11.1
pair RSmean MRmean neg-neg 17 5.4 37.2 70.6 1.8 3.7 3.4 19.0 -11.1
single RSmean RSmean neg-neg 19 6.0 36.3 68.4 1.7 4.0 3.3 18.9 -11.1
pair SLmean RSmean neg-neg 18 5.7 32.0 66.7 1.6 3.6 2.9 19.0 -11.1
pair RSmean SLmean neg-neg 18 5.7 32.0 66.7 1.6 3.6 2.9 19.0 -11.1
pair SLmean MRmean neg-pos 14 4.4 31.3 64.3 1.3 2.9 3.1 23.3 -10.0
pair MRmean SLmean neg-pos 14 4.4 31.3 64.3 1.3 2.9 3.1 23.3 -10.0
pair RSmean RSIhist neg-neg 17 5.4 31.1 64.7 1.5 3.5 2.8 19.6 -11.1
pair RSIhist RSmean neg-neg 17 5.4 31.1 64.7 1.5 3.5 2.8 19.6 -11.1
pair MACD RSmean neg-neg 14 4.4 30.4 64.3 1.4 3.1 2.8 20.5 -11.1
pair RSmean MACD neg-neg 14 4.4 30.4 64.3 1.4 3.1 2.8 20.5 -11.1
pair RSmean LWTI neg-pos 16 5.1 29.0 62.5 1.4 3.3 2.6 20.0 -11.1
pair LWTI RSmean neg-pos 16 5.1 29.0 62.5 1.4 3.3 2.6 20.0 -11.1
pair RSmean RSI neg-pos 15 4.7 28.4 60.0 1.3 3.3 2.6 20.8 -11.1
pair RSI RSmean neg-pos 15 4.7 28.4 60.0 1.3 3.3 2.6 20.8 -11.1
pair MRmean RSmean pos-neg 2 0.6 28.3 50.0 1.0 0.0 0.0 26.5 0.0
pair RSmean MRmean pos-neg 2 0.6 28.3 50.0 1.0 0.0 0.0 26.5 0.0
pair SLmean RSI pos-neg 23 7.3 19.4 56.5 0.9 1.6 1.0 22.9 -19.6
pair RSI SLmean pos-neg 23 7.3 19.4 56.5 0.9 1.6 1.0 22.9 -19.6
pair RSI RSIhist neg-pos 22 7.0 15.4 54.5 0.7 1.2 0.6 23.5 -25.9
pair RSIhist RSI neg-pos 22 7.0 15.4 54.5 0.7 1.2 0.6 23.5 -25.9
pair RSI MACDhist neg-neg 63 19.9 14.1 57.1 0.6 0.8 0.2 33.2 -73.0
pair MACDhist RSI neg-neg 63 19.9 14.1 57.1 0.6 0.8 0.2 33.2 -73.0
pair MACD LWTI pos-neg 20 6.3 13.6 55.0 0.6 1.5 1.1 25.7 -12.2
pair LWTI MACD pos-neg 20 6.3 13.6 55.0 0.6 1.5 1.1 25.7 -12.2
pair MRmean RSI neg-neg 69 21.8 13.2 59.4 0.6 0.8 0.2 32.8 -73.0
pair RSI LWTI neg-pos 47 14.9 13.2 55.3 0.6 1.1 0.4 24.3 -34.7
pair RSI MRmean neg-neg 69 21.8 13.2 59.4 0.6 0.8 0.2 32.8 -73.0
pair LWTI RSI neg-pos 47 14.9 13.2 55.3 0.6 1.1 0.4 24.3 -34.7
pair MACD MRmean pos-pos 178 56.3 12.2 61.8 0.9 1.5 0.6 14.3 -21.2
pair MRmean MACD pos-pos 178 56.3 12.2 61.8 0.9 1.5 0.6 14.3 -21.2
pair SLmean LWTI pos-neg 27 8.5 11.5 55.6 0.6 1.3 0.5 22.1 -24.0
pair LWTI SLmean pos-neg 27 8.5 11.5 55.6 0.6 1.3 0.5 22.1 -24.0
pair SLmean MACDhist pos-pos 144 45.6 11.4 61.8 0.8 1.2 0.6 14.8 -19.6
pair SLmean MACD pos-pos 157 49.7 11.4 61.8 0.8 1.4 0.5 14.7 -22.5
pair MACD SLmean pos-pos 157 49.7 11.4 61.8 0.8 1.4 0.5 14.7 -22.5
pair MACDhist SLmean pos-pos 144 45.6 11.4 61.8 0.8 1.2 0.6 14.8 -19.6
pair RSIhist SLmean pos-pos 158 50.0 11.3 60.1 0.7 1.2 0.5 17.0 -22.7
pair SLmean RSIhist pos-pos 158 50.0 11.3 60.1 0.7 1.2 0.5 17.0 -22.7
pair MACDhist RSIhist pos-pos 129 40.8 11.2 61.2 0.8 1.1 0.4 15.6 -25.9
pair RSIhist MACDhist pos-pos 129 40.8 11.2 61.2 0.8 1.1 0.4 15.6 -25.9
pair MRmean RSI pos-pos 195 61.7 11.0 61.5 0.8 1.3 0.6 14.5 -18.5
pair RSI MRmean pos-pos 195 61.7 11.0 61.5 0.8 1.3 0.6 14.5 -18.5
pair LWTI RSIhist pos-pos 139 44.0 10.9 60.4 0.7 1.2 0.4 15.9 -25.9
pair RSIhist LWTI pos-pos 139 44.0 10.9 60.4 0.7 1.2 0.4 15.9 -25.9
single SLmean SLmean pos-pos 197 62.3 10.8 60.4 0.7 1.2 0.5 15.9 -22.5
pair MACDhist MACD pos-pos 135 42.7 10.8 62.2 0.8 0.9 0.3 15.2 -34.0
pair MACD MACDhist pos-pos 135 42.7 10.8 62.2 0.8 0.9 0.3 15.2 -34.0
pair SLmean LWTI pos-pos 170 53.8 10.7 61.2 0.8 1.2 0.6 14.8 -19.6
pair LWTI SLmean pos-pos 170 53.8 10.7 61.2 0.8 1.2 0.6 14.8 -19.6
pair RSIhist MACD pos-pos 125 39.6 10.6 60.8 0.7 1.2 0.5 15.8 -23.9
pair MACD RSIhist pos-pos 125 39.6 10.6 60.8 0.7 1.2 0.5 15.8 -23.9
pair SLmean RSmean pos-pos 196 62.0 10.4 60.2 0.7 1.2 0.5 15.9 -22.5
pair RSmean SLmean pos-pos 196 62.0 10.4 60.2 0.7 1.2 0.5 15.9 -22.5
single MACD MACD pos-pos 223 70.6 10.3 61.4 0.6 0.9 0.3 17.9 -31.9
single RSIhist RSIhist pos-pos 162 51.3 10.3 59.3 0.7 1.1 0.4 17.0 -25.9
pair RSI MACDhist pos-pos 147 46.5 10.1 61.9 0.7 0.9 0.3 15.3 -34.0
pair MACDhist RSI pos-pos 147 46.5 10.1 61.9 0.7 0.9 0.3 15.3 -34.0
pair LWTI MACD pos-pos 203 64.2 10.0 62.1 0.7 0.9 0.3 17.0 -31.9
pair MACD LWTI pos-pos 203 64.2 10.0 62.1 0.7 0.9 0.3 17.0 -31.9
pair RSIhist MACD pos-neg 98 31.0 9.9 62.2 0.6 0.7 0.4 20.4 -25.8
pair MACD RSIhist pos-neg 98 31.0 9.9 62.2 0.6 0.7 0.4 20.4 -25.8
pair LWTI MRmean pos-pos 189 59.8 9.8 60.3 0.7 1.1 0.3 14.6 -31.3
pair MRmean LWTI pos-pos 189 59.8 9.8 60.3 0.7 1.1 0.3 14.6 -31.3
pair SLmean RSI pos-pos 174 55.1 9.7 60.9 0.7 1.1 0.4 14.8 -25.1
pair RSI SLmean pos-pos 174 55.1 9.7 60.9 0.7 1.1 0.4 14.8 -25.1
pair MACDhist MACD pos-neg 88 27.8 9.6 60.2 0.5 0.9 0.5 21.4 -20.8
pair MACD MACDhist pos-neg 88 27.8 9.6 60.2 0.5 0.9 0.5 21.4 -20.8
pair MACDhist LWTI neg-pos 95 30.1 9.6 58.9 0.5 1.0 0.3 21.0 -28.4
pair LWTI MACDhist neg-pos 95 30.1 9.6 58.9 0.5 1.0 0.3 21.0 -28.4
pair MRmean RSIhist pos-neg 59 18.7 9.6 61.0 0.8 1.4 0.9 11.7 -10.6
pair RSIhist MRmean pos-neg 59 18.7 9.6 61.0 0.8 1.4 0.9 11.7 -10.6
pair RSIhist RSI pos-pos 140 44.3 9.5 60.0 0.7 1.1 0.4 15.8 -23.9
pair RSI RSIhist pos-pos 140 44.3 9.5 60.0 0.7 1.1 0.4 15.8 -23.9
pair RSmean MACD pos-pos 218 69.0 9.5 61.0 0.6 0.8 0.3 17.9 -31.9
pair MACD RSmean pos-pos 218 69.0 9.5 61.0 0.6 0.8 0.3 17.9 -31.9
pair MRmean MACDhist pos-pos 159 50.3 9.5 60.4 0.7 1.0 0.3 14.6 -35.4
pair MACDhist MRmean pos-pos 159 50.3 9.5 60.4 0.7 1.0 0.3 14.6 -35.4
pair RSmean RSIhist pos-pos 160 50.6 9.5 58.8 0.6 1.1 0.4 17.0 -25.9
pair RSIhist RSmean pos-pos 160 50.6 9.5 58.8 0.6 1.1 0.4 17.0 -25.9
pair SLmean MRmean pos-pos 183 57.9 9.4 60.1 0.7 1.1 0.4 15.3 -26.0
pair MRmean SLmean pos-pos 183 57.9 9.4 60.1 0.7 1.1 0.4 15.3 -26.0
pair MACD RSIhist neg-pos 37 11.7 9.2 54.1 0.5 0.9 0.3 20.9 -25.9
pair RSIhist MACD neg-pos 37 11.7 9.2 54.1 0.5 0.9 0.3 20.9 -25.9
pair SLmean MACDhist pos-neg 53 16.8 9.1 56.6 0.6 1.2 0.5 18.7 -19.4
pair MACDhist SLmean pos-neg 53 16.8 9.1 56.6 0.6 1.2 0.5 18.7 -19.4
single MRmean MRmean pos-pos 212 67.1 8.9 59.4 0.6 1.1 0.3 15.1 -33.7
pair MRmean RSmean pos-pos 210 66.5 8.7 59.5 0.6 1.0 0.3 15.1 -33.7
pair RSIhist SLmean pos-neg 39 12.3 8.7 61.5 0.8 1.5 1.1 10.8 -8.2
pair RSmean MRmean pos-pos 210 66.5 8.7 59.5 0.6 1.0 0.3 15.1 -33.7
pair SLmean RSIhist pos-neg 39 12.3 8.7 61.5 0.8 1.5 1.1 10.8 -8.2
pair RSIhist MRmean pos-pos 153 48.4 8.6 58.8 0.6 1.0 0.3 16.3 -31.8
pair MRmean RSIhist pos-pos 153 48.4 8.6 58.8 0.6 1.0 0.3 16.3 -31.8
single LWTI LWTI pos-pos 257 81.3 8.5 59.5 0.5 0.8 0.2 18.2 -41.9
pair SLmean MACD pos-neg 40 12.7 8.4 55.0 0.5 0.9 0.4 20.3 -19.6
pair MACD SLmean pos-neg 40 12.7 8.4 55.0 0.5 0.9 0.4 20.3 -19.6
pair LWTI MACDhist pos-pos 162 51.3 7.8 59.9 0.6 0.7 0.2 16.4 -34.0
pair MACDhist LWTI pos-pos 162 51.3 7.8 59.9 0.6 0.7 0.2 16.4 -34.0
pair MACD SLmean neg-pos 66 20.9 7.7 60.6 0.4 0.6 0.3 24.0 -24.0
pair SLmean MACD neg-pos 66 20.9 7.7 60.6 0.4 0.6 0.3 24.0 -24.0
pair MACDhist RSmean pos-pos 168 53.2 7.5 60.1 0.5 0.7 0.2 16.6 -36.7
pair RSmean MACDhist pos-pos 168 53.2 7.5 60.1 0.5 0.7 0.2 16.6 -36.7
single RSI RSI neg-neg 86 27.2 7.5 54.7 0.4 0.6 0.1 30.8 -73.0
pair LWTI RSI pos-pos 210 66.5 7.5 60.5 0.5 0.7 0.2 16.6 -34.6
pair RSI LWTI pos-pos 210 66.5 7.5 60.5 0.5 0.7 0.2 16.6 -34.6
single MACDhist MACDhist pos-pos 170 53.8 7.4 60.0 0.5 0.7 0.2 16.6 -36.7
pair RSmean LWTI pos-pos 241 76.3 7.2 59.3 0.5 0.7 0.2 18.0 -41.9
pair LWTI RSmean pos-pos 241 76.3 7.2 59.3 0.5 0.7 0.2 18.0 -41.9
pair MRmean MACDhist pos-neg 53 16.8 7.1 56.6 0.5 1.1 0.5 16.8 -15.1
pair MACDhist MRmean pos-neg 53 16.8 7.1 56.6 0.5 1.1 0.5 16.8 -15.1
pair RSIhist LWTI pos-neg 23 7.3 6.9 52.2 0.4 0.9 0.2 23.2 -32.4
pair LWTI RSIhist pos-neg 23 7.3 6.9 52.2 0.4 0.9 0.2 23.2 -32.4
pair RSI MACD pos-pos 196 62.0 6.9 60.7 0.5 0.6 0.1 16.7 -45.0
pair MACD RSI pos-pos 196 62.0 6.9 60.7 0.5 0.6 0.1 16.7 -45.0
pair RSIhist MACDhist neg-pos 33 10.4 6.7 51.5 0.4 1.1 0.3 21.9 -21.3
pair MACDhist RSIhist neg-pos 33 10.4 6.7 51.5 0.4 1.1 0.3 21.9 -21.3
pair benchmark___benchmark_ benchmark-benchmark 316 100.0 6.7 58.2 0.4 0.6 0.1 21.5 -77.1
pair benchmark___benchmark_ benchmark-benchmark 316 100.0 6.7 58.2 0.4 0.6 0.1 21.5 -77.1
single RSI RSI pos-pos 230 72.8 6.3 59.6 0.5 0.6 0.1 16.9 -45.0
pair MRmean SLmean pos-neg 29 9.2 5.8 55.2 0.5 0.8 0.3 14.6 -17.4
pair SLmean MRmean pos-neg 29 9.2 5.8 55.2 0.5 0.8 0.3 14.6 -17.4
single MACDhist MACDhist neg-neg 146 46.2 5.8 56.2 0.3 0.5 0.1 26.3 -74.7
pair LWTI RSIhist neg-pos 118 37.3 5.7 58.5 0.4 0.5 0.2 20.6 -33.2
pair RSIhist LWTI neg-pos 118 37.3 5.7 58.5 0.4 0.5 0.2 20.6 -33.2
pair RSIhist MACDhist neg-neg 113 35.8 5.5 57.5 0.3 0.5 0.1 27.5 -74.7
pair MACDhist RSIhist neg-neg 113 35.8 5.5 57.5 0.3 0.5 0.1 27.5 -74.7
pair RSmean RSI pos-neg 82 25.9 5.1 52.4 0.3 0.5 0.1 31.4 -73.0
pair RSI RSmean pos-neg 82 25.9 5.1 52.4 0.3 0.5 0.1 31.4 -73.0
single RSmean RSmean pos-pos 297 94.0 5.0 57.6 0.3 0.4 0.1 21.7 -77.1
pair RSI RSmean pos-pos 215 68.0 5.0 59.5 0.4 0.5 0.1 16.6 -45.7
pair RSmean RSI pos-pos 215 68.0 5.0 59.5 0.4 0.5 0.1 16.6 -45.7
pair MACDhist MRmean neg-neg 93 29.4 5.0 55.9 0.3 0.5 0.1 30.4 -75.0
pair LWTI MRmean neg-pos 68 21.5 5.0 57.4 0.3 0.5 0.2 25.8 -25.5
pair MRmean LWTI neg-pos 68 21.5 5.0 57.4 0.3 0.5 0.2 25.8 -25.5
pair MRmean MACDhist neg-neg 93 29.4 5.0 55.9 0.3 0.5 0.1 30.4 -75.0
pair RSIhist RSI neg-neg 64 20.3 4.9 54.7 0.3 0.4 0.1 33.1 -72.0
pair RSI RSIhist neg-neg 64 20.3 4.9 54.7 0.3 0.4 0.1 33.1 -72.0
pair LWTI SLmean neg-pos 87 27.5 4.3 56.3 0.3 0.4 0.1 23.5 -41.2
pair SLmean LWTI neg-pos 87 27.5 4.3 56.3 0.3 0.4 0.1 23.5 -41.2
pair MACDhist SLmean neg-neg 93 29.4 4.0 55.9 0.3 0.4 0.1 29.8 -74.7
pair SLmean MACDhist neg-neg 93 29.4 4.0 55.9 0.3 0.4 0.1 29.8 -74.7
pair SLmean RSI neg-neg 63 19.9 3.4 54.0 0.3 0.4 0.1 33.4 -72.7
pair RSI SLmean neg-neg 63 19.9 3.4 54.0 0.3 0.4 0.1 33.4 -72.7
pair MACD RSI neg-pos 34 10.8 3.1 52.9 0.3 0.5 0.2 18.2 -16.7
pair RSI MACD neg-pos 34 10.8 3.1 52.9 0.3 0.5 0.2 18.2 -16.7
pair MACD MRmean neg-pos 45 14.2 3.0 60.0 0.2 0.4 0.1 28.0 -28.1
pair MRmean MACD neg-pos 45 14.2 3.0 60.0 0.2 0.4 0.1 28.0 -28.1
single RSIhist RSIhist neg-neg 154 48.7 3.0 57.1 0.2 0.3 0.0 25.5 -76.1
pair LWTI MACD neg-pos 54 17.1 3.0 50.0 0.2 0.4 0.1 22.2 -36.2
pair MACD LWTI neg-pos 54 17.1 3.0 50.0 0.2 0.4 0.1 22.2 -36.2
single MRmean MRmean neg-neg 104 32.9 2.3 55.8 0.2 0.3 0.0 30.8 -75.0
pair MACDhist RSmean pos-neg 129 40.8 1.8 54.3 0.2 0.3 0.0 26.9 -74.9
pair LWTI MRmean pos-neg 23 7.3 1.8 52.2 0.2 0.4 0.1 19.1 -20.1
pair MRmean LWTI pos-neg 23 7.3 1.8 52.2 0.2 0.4 0.1 19.1 -20.1
pair RSmean MACDhist pos-neg 129 40.8 1.8 54.3 0.2 0.3 0.0 26.9 -74.9
pair MACD MRmean neg-neg 59 18.7 1.7 52.5 0.2 0.3 0.0 33.1 -70.5
pair MRmean MACD neg-neg 59 18.7 1.7 52.5 0.2 0.3 0.0 33.1 -70.5
pair RSI RSIhist pos-neg 90 28.5 1.6 58.9 0.2 0.2 0.0 18.4 -40.4
pair RSIhist RSI pos-neg 90 28.5 1.6 58.9 0.2 0.2 0.0 18.4 -40.4
pair SLmean RSIhist neg-neg 115 36.4 1.1 55.7 0.2 0.2 0.0 28.9 -76.1
pair RSIhist SLmean neg-neg 115 36.4 1.1 55.7 0.2 0.2 0.0 28.9 -76.1
pair LWTI RSI neg-neg 39 12.3 1.0 53.8 0.2 0.3 0.0 37.6 -70.5
pair RSI LWTI neg-neg 39 12.3 1.0 53.8 0.2 0.3 0.0 37.6 -70.5
pair MACD MACDhist neg-neg 58 18.4 0.3 50.0 0.2 0.2 0.0 32.4 -70.8
pair MACDhist MACD neg-neg 58 18.4 0.3 50.0 0.2 0.2 0.0 32.4 -70.8
pair MACDhist RSmean neg-pos 2 0.6 0.1 50.0 0.0 0.0 0.0 15.8 -3.2
pair RSmean MACDhist neg-pos 2 0.6 0.1 50.0 0.0 0.0 0.0 15.8 -3.2
single SLmean SLmean neg-neg 119 37.7 0.1 54.6 0.1 0.2 0.0 28.5 -76.1
pair RSI MACDhist pos-neg 83 26.3 -0.1 55.4 0.1 0.2 -0.0 19.4 -36.6
pair MACDhist RSI pos-neg 83 26.3 -0.1 55.4 0.1 0.2 -0.0 19.4 -36.6
pair RSmean RSIhist pos-neg 137 43.4 -0.1 56.2 0.1 0.2 -0.0 26.1 -76.1
pair RSIhist RSmean pos-neg 137 43.4 -0.1 56.2 0.1 0.2 -0.0 26.1 -76.1
single LWTI LWTI neg-neg 59 18.7 -0.9 52.5 0.1 0.2 -0.0 32.6 -70.5
pair LWTI MACDhist neg-neg 51 16.1 -0.9 51.0 0.1 0.2 -0.0 34.2 -70.5
pair MRmean RSIhist neg-neg 95 30.1 -0.9 54.7 0.1 0.2 -0.0 31.2 -74.7
pair RSIhist MRmean neg-neg 95 30.1 -0.9 54.7 0.1 0.2 -0.0 31.2 -74.7
pair MACDhist LWTI neg-neg 51 16.1 -0.9 51.0 0.1 0.2 -0.0 34.2 -70.5
pair MACDhist LWTI pos-neg 8 2.5 -1.4 62.5 0.0 0.0 -0.1 21.1 -13.3
pair LWTI MACDhist pos-neg 8 2.5 -1.4 62.5 0.0 0.0 -0.1 21.1 -13.3
single MACD MACD neg-neg 93 29.4 -1.6 50.5 0.1 0.1 -0.0 28.5 -70.5
pair MRmean SLmean neg-neg 90 28.5 -1.6 54.4 0.1 0.2 -0.0 31.8 -74.7
pair SLmean MRmean neg-neg 90 28.5 -1.6 54.4 0.1 0.2 -0.0 31.8 -74.7
pair MRmean LWTI neg-neg 36 11.4 -2.7 52.8 0.1 0.2 -0.0 39.1 -70.5
pair LWTI MRmean neg-neg 36 11.4 -2.7 52.8 0.1 0.2 -0.0 39.1 -70.5
pair MRmean RSmean neg-pos 87 27.5 -3.5 52.9 0.1 0.1 -0.1 32.5 -75.3
pair RSmean MRmean neg-pos 87 27.5 -3.5 52.9 0.1 0.1 -0.1 32.5 -75.3
pair RSI SLmean neg-pos 56 17.7 -3.5 55.4 -0.1 -0.1 -0.1 22.0 -43.2
pair SLmean RSI neg-pos 56 17.7 -3.5 55.4 -0.1 -0.1 -0.1 22.0 -43.2
pair MACDhist RSIhist pos-neg 41 13.0 -3.8 56.1 -0.1 -0.1 -0.1 19.1 -28.9
pair RSIhist MACDhist pos-neg 41 13.0 -3.8 56.1 -0.1 -0.1 -0.1 19.1 -28.9
pair LWTI RSmean pos-neg 56 17.7 -4.1 50.0 0.0 0.1 -0.1 33.2 -70.5
pair RSmean LWTI pos-neg 56 17.7 -4.1 50.0 0.0 0.1 -0.1 33.2 -70.5
pair RSI MACD neg-neg 59 18.7 -4.3 49.2 0.0 0.1 -0.1 33.2 -70.5
pair MACD RSI neg-neg 59 18.7 -4.3 49.2 0.0 0.1 -0.1 33.2 -70.5
pair LWTI RSI pos-neg 20 6.3 -4.6 50.0 -0.1 -0.2 -0.2 20.2 -26.5
pair RSI LWTI pos-neg 20 6.3 -4.6 50.0 -0.1 -0.2 -0.2 20.2 -26.5
pair SLmean RSmean neg-pos 101 32.0 -4.7 52.5 -0.0 -0.0 -0.1 29.8 -76.1
pair RSmean SLmean neg-pos 101 32.0 -4.7 52.5 -0.0 -0.0 -0.1 29.8 -76.1
pair MACDhist MACD neg-pos 35 11.1 -4.7 51.4 -0.1 -0.2 -0.1 20.9 -35.1
pair MACD MACDhist neg-pos 35 11.1 -4.7 51.4 -0.1 -0.2 -0.1 20.9 -35.1
pair LWTI RSIhist neg-neg 36 11.4 -5.7 52.8 0.0 0.1 -0.1 37.6 -70.5
pair RSIhist LWTI neg-neg 36 11.4 -5.7 52.8 0.0 0.1 -0.1 37.6 -70.5
pair RSmean MACD pos-neg 79 25.0 -6.4 48.1 -0.1 -0.1 -0.1 29.6 -70.5
pair MACD RSmean pos-neg 79 25.0 -6.4 48.1 -0.1 -0.1 -0.1 29.6 -70.5
pair MACD MRmean pos-neg 34 10.8 -7.2 47.1 -0.3 -0.5 -0.2 18.3 -33.7
pair MRmean MACD pos-neg 34 10.8 -7.2 47.1 -0.3 -0.5 -0.2 18.3 -33.7
pair LWTI MACD neg-neg 39 12.3 -7.7 51.3 -0.0 -0.1 -0.1 35.8 -70.5
pair MACD LWTI neg-neg 39 12.3 -7.7 51.3 -0.0 -0.1 -0.1 35.8 -70.5
pair MACD RSIhist neg-neg 56 17.7 -8.2 48.2 -0.1 -0.1 -0.1 32.7 -70.5
pair RSIhist MACD neg-neg 56 17.7 -8.2 48.2 -0.1 -0.1 -0.1 32.7 -70.5
pair MACD SLmean neg-neg 53 16.8 -8.6 47.2 -0.1 -0.1 -0.1 33.5 -70.5
pair SLmean MACD neg-neg 53 16.8 -8.6 47.2 -0.1 -0.1 -0.1 33.5 -70.5
pair RSI MACDhist neg-pos 23 7.3 -8.7 47.8 -0.3 -0.4 -0.3 23.0 -29.7
pair MACDhist RSI neg-pos 23 7.3 -8.7 47.8 -0.3 -0.4 -0.3 23.0 -29.7
pair SLmean LWTI neg-neg 32 10.1 -10.3 50.0 -0.1 -0.1 -0.1 39.5 -70.5
pair LWTI SLmean neg-neg 32 10.1 -10.3 50.0 -0.1 -0.1 -0.1 39.5 -70.5
pair SLmean MACDhist neg-pos 26 8.2 -12.5 50.0 -0.4 -0.5 -0.4 23.6 -33.4
pair MACDhist SLmean neg-pos 26 8.2 -12.5 50.0 -0.4 -0.5 -0.4 23.6 -33.4
pair MRmean RSI pos-neg 17 5.4 -12.9 35.3 -0.6 -0.9 -0.4 20.5 -32.2
pair RSI MRmean pos-neg 17 5.4 -12.9 35.3 -0.6 -0.9 -0.4 20.5 -32.2
pair MRmean RSI neg-pos 35 11.1 -16.3 48.6 -0.6 -0.8 -0.3 25.9 -53.5
pair RSI MRmean neg-pos 35 11.1 -16.3 48.6 -0.6 -0.8 -0.3 25.9 -53.5
pair MRmean MACDhist neg-pos 11 3.5 -18.6 54.5 -0.4 -0.5 -0.5 34.9 -35.8
pair MACDhist MRmean neg-pos 11 3.5 -18.6 54.5 -0.4 -0.5 -0.5 34.9 -35.8
pair RSIhist SLmean neg-pos 4 1.3 -24.0 25.0 -1.6 -2.0 -6.5 16.4 -3.7
pair SLmean RSIhist neg-pos 4 1.3 -24.0 25.0 -1.6 -2.0 -6.5 16.4 -3.7

All Contingency Tables for IYG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 9.4% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.4
Vol 15% | MDD -26.0%
Months 183M (58%)
CAGR 5.8% | Win 55%
Sharpe 0.46 | Sortino 0.78 | Calmar 0.3
Vol 15% | MDD -17.4%
Months 29M (9%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR 31.3% | Win 64%
Sharpe 1.29 | Sortino 2.89 | Calmar 3.1
Vol 23% | MDD -10.0%
Months 14M (4%)
CAGR -1.6% | Win 54%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -74.7%
Months 90M (28%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
SLmean
only
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 8.7% | Win 60%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 210M (66%)
CAGR 28.3% | Win 50%
Sharpe 1.01 | Sortino 0.00 | Calmar 0.0
Vol 26% | MDD 0.0%
Months 2M (1%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR -3.5% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 32% | MDD -75.3%
Months 87M (28%)
CAGR 37.2% | Win 71%
Sharpe 1.78 | Sortino 3.69 | Calmar 3.4
Vol 19% | MDD -11.1%
Months 17M (5%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
RSmean
only
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 12.2% | Win 62%
Sharpe 0.88 | Sortino 1.51 | Calmar 0.6
Vol 14% | MDD -21.2%
Months 178M (56%)
CAGR -7.2% | Win 47%
Sharpe -0.31 | Sortino -0.49 | Calmar -0.2
Vol 18% | MDD -33.7%
Months 34M (11%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR 3.0% | Win 60%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -28.1%
Months 45M (14%)
CAGR 1.7% | Win 52%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
MACD
only
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 11.0% | Win 62%
Sharpe 0.80 | Sortino 1.33 | Calmar 0.6
Vol 14% | MDD -18.5%
Months 195M (62%)
CAGR -12.9% | Win 35%
Sharpe -0.57 | Sortino -0.93 | Calmar -0.4
Vol 20% | MDD -32.2%
Months 17M (5%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR -16.3% | Win 49%
Sharpe -0.55 | Sortino -0.78 | Calmar -0.3
Vol 26% | MDD -53.5%
Months 35M (11%)
CAGR 13.2% | Win 59%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 33% | MDD -73.0%
Months 69M (22%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
RSI
only
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 9.5% | Win 60%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 15% | MDD -35.4%
Months 159M (50%)
CAGR 7.1% | Win 57%
Sharpe 0.49 | Sortino 1.08 | Calmar 0.5
Vol 17% | MDD -15.1%
Months 53M (17%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR -18.6% | Win 55%
Sharpe -0.41 | Sortino -0.50 | Calmar -0.5
Vol 35% | MDD -35.8%
Months 11M (4%)
CAGR 5.0% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -75.0%
Months 93M (29%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
MACDhist
only
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 8.6% | Win 59%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.3
Vol 16% | MDD -31.8%
Months 153M (48%)
CAGR 9.6% | Win 61%
Sharpe 0.84 | Sortino 1.39 | Calmar 0.9
Vol 12% | MDD -10.6%
Months 59M (19%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR 42.7% | Win 67%
Sharpe 1.49 | Sortino 2.38 | Calmar 4.3
Vol 26% | MDD -10.0%
Months 9M (3%)
CAGR -0.9% | Win 55%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 31% | MDD -74.7%
Months 95M (30%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 9.8% | Win 60%
Sharpe 0.71 | Sortino 1.14 | Calmar 0.3
Vol 15% | MDD -31.3%
Months 189M (60%)
CAGR 1.8% | Win 52%
Sharpe 0.19 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -20.1%
Months 23M (7%)
CAGR 8.9% | Win 59%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 15% | MDD -33.7%
Months 212M (67%)
MRmean
neg
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.2
Vol 26% | MDD -25.5%
Months 68M (22%)
CAGR -2.7% | Win 53%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 39% | MDD -70.5%
Months 36M (11%)
CAGR 2.3% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 31% | MDD -75.0%
Months 104M (33%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 10.4% | Win 60%
Sharpe 0.70 | Sortino 1.17 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 196M (62%)
CAGR 142.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR -4.7% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 30% | MDD -76.1%
Months 101M (32%)
CAGR 32.0% | Win 67%
Sharpe 1.56 | Sortino 3.58 | Calmar 2.9
Vol 19% | MDD -11.1%
Months 18M (6%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
RSmean
only
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 11.4% | Win 62%
Sharpe 0.81 | Sortino 1.35 | Calmar 0.5
Vol 15% | MDD -22.5%
Months 157M (50%)
CAGR 8.4% | Win 55%
Sharpe 0.50 | Sortino 0.89 | Calmar 0.4
Vol 20% | MDD -19.6%
Months 40M (13%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR 7.7% | Win 61%
Sharpe 0.43 | Sortino 0.59 | Calmar 0.3
Vol 24% | MDD -24.0%
Months 66M (21%)
CAGR -8.6% | Win 47%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 34% | MDD -70.5%
Months 53M (17%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
MACD
only
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 9.7% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.4
Vol 15% | MDD -25.1%
Months 174M (55%)
CAGR 19.4% | Win 56%
Sharpe 0.89 | Sortino 1.63 | Calmar 1.0
Vol 23% | MDD -19.6%
Months 23M (7%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR -3.5% | Win 55%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 22% | MDD -43.2%
Months 56M (18%)
CAGR 3.4% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.0
Vol 33% | MDD -72.7%
Months 63M (20%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
RSI
only
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 11.4% | Win 62%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 15% | MDD -19.6%
Months 144M (46%)
CAGR 9.1% | Win 57%
Sharpe 0.56 | Sortino 1.24 | Calmar 0.5
Vol 19% | MDD -19.4%
Months 53M (17%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR -12.5% | Win 50%
Sharpe -0.44 | Sortino -0.49 | Calmar -0.4
Vol 24% | MDD -33.4%
Months 26M (8%)
CAGR 4.0% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 30% | MDD -74.7%
Months 93M (29%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
MACDhist
only
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 17% | MDD -22.7%
Months 158M (50%)
CAGR 8.7% | Win 62%
Sharpe 0.82 | Sortino 1.46 | Calmar 1.1
Vol 11% | MDD -8.2%
Months 39M (12%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR -24.0% | Win 25%
Sharpe -1.59 | Sortino -2.04 | Calmar -6.5
Vol 16% | MDD -3.7%
Months 4M (1%)
CAGR 1.1% | Win 56%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -76.1%
Months 115M (36%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 10.7% | Win 61%
Sharpe 0.76 | Sortino 1.24 | Calmar 0.5
Vol 15% | MDD -19.6%
Months 170M (54%)
CAGR 11.5% | Win 56%
Sharpe 0.60 | Sortino 1.28 | Calmar 0.5
Vol 22% | MDD -24.0%
Months 27M (8%)
CAGR 10.8% | Win 60%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.5
Vol 16% | MDD -22.5%
Months 197M (62%)
SLmean
neg
CAGR 4.3% | Win 56%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -41.2%
Months 87M (28%)
CAGR -10.3% | Win 50%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 40% | MDD -70.5%
Months 32M (10%)
CAGR 0.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -76.1%
Months 119M (38%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.60 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 218M (69%)
CAGR -6.4% | Win 48%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 30% | MDD -70.5%
Months 79M (25%)
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
RSmean
neg
CAGR 54.1% | Win 80%
Sharpe 2.95 | Sortino 0.00 | Calmar 17.1
Vol 15% | MDD -3.2%
Months 5M (2%)
CAGR 30.4% | Win 64%
Sharpe 1.40 | Sortino 3.15 | Calmar 2.7
Vol 20% | MDD -11.1%
Months 14M (4%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
MACD
only
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 5.0% | Win 60%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 17% | MDD -45.7%
Months 215M (68%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 82M (26%)
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
RSmean
neg
CAGR 28.4% | Win 60%
Sharpe 1.31 | Sortino 3.28 | Calmar 2.6
Vol 21% | MDD -11.1%
Months 15M (5%)
CAGR 70.3% | Win 100%
Sharpe 6.75 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 4M (1%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
RSI
only
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 168M (53%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 27% | MDD -74.9%
Months 129M (41%)
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
RSmean
neg
CAGR 0.1% | Win 50%
Sharpe 0.04 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD -3.2%
Months 2M (1%)
CAGR 41.3% | Win 71%
Sharpe 1.90 | Sortino 4.03 | Calmar 3.7
Vol 19% | MDD -11.1%
Months 17M (5%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
MACDhist
only
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 9.5% | Win 59%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 160M (51%)
CAGR -0.1% | Win 56%
Sharpe 0.13 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -76.1%
Months 137M (43%)
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
RSmean
neg
CAGR 89.0% | Win 100%
Sharpe 6.14 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (1%)
CAGR 31.1% | Win 65%
Sharpe 1.49 | Sortino 3.52 | Calmar 2.8
Vol 20% | MDD -11.1%
Months 17M (5%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 7.2% | Win 59%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 241M (76%)
CAGR -4.1% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -70.5%
Months 56M (18%)
CAGR 5.0% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -77.1%
Months 297M (94%)
RSmean
neg
CAGR 29.0% | Win 62%
Sharpe 1.38 | Sortino 3.32 | Calmar 2.6
Vol 20% | MDD -11.1%
Months 16M (5%)
CAGR 82.8% | Win 100%
Sharpe 6.09 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 3M (1%)
CAGR 36.3% | Win 68%
Sharpe 1.74 | Sortino 3.98 | Calmar 3.3
Vol 19% | MDD -11.1%
Months 19M (6%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 6.9% | Win 61%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -45.0%
Months 196M (62%)
CAGR 38.4% | Win 67%
Sharpe 1.48 | Sortino 2.85 | Calmar 2.0
Vol 24% | MDD -19.7%
Months 27M (8%)
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
MACD
neg
CAGR 3.1% | Win 53%
Sharpe 0.26 | Sortino 0.50 | Calmar 0.2
Vol 18% | MDD -16.7%
Months 34M (11%)
CAGR -4.3% | Win 49%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 33% | MDD -70.5%
Months 59M (19%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
RSI
only
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 10.8% | Win 62%
Sharpe 0.75 | Sortino 0.92 | Calmar 0.3
Vol 15% | MDD -34.0%
Months 135M (43%)
CAGR 9.6% | Win 60%
Sharpe 0.54 | Sortino 0.94 | Calmar 0.5
Vol 21% | MDD -20.8%
Months 88M (28%)
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
MACD
neg
CAGR -4.7% | Win 51%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 21% | MDD -35.1%
Months 35M (11%)
CAGR 0.3% | Win 50%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 32% | MDD -70.8%
Months 58M (18%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
MACDhist
only
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 10.6% | Win 61%
Sharpe 0.72 | Sortino 1.23 | Calmar 0.4
Vol 16% | MDD -23.9%
Months 125M (40%)
CAGR 9.9% | Win 62%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.4
Vol 20% | MDD -25.8%
Months 98M (31%)
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
MACD
neg
CAGR 9.2% | Win 54%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.4
Vol 21% | MDD -25.9%
Months 37M (12%)
CAGR -8.2% | Win 48%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 33% | MDD -70.5%
Months 56M (18%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 10.0% | Win 62%
Sharpe 0.65 | Sortino 0.86 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 203M (64%)
CAGR 13.6% | Win 55%
Sharpe 0.62 | Sortino 1.46 | Calmar 1.1
Vol 26% | MDD -12.2%
Months 20M (6%)
CAGR 10.3% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -31.9%
Months 223M (71%)
MACD
neg
CAGR 3.0% | Win 50%
Sharpe 0.24 | Sortino 0.44 | Calmar 0.1
Vol 22% | MDD -36.2%
Months 54M (17%)
CAGR -7.7% | Win 51%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 36% | MDD -70.5%
Months 39M (12%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -70.5%
Months 93M (29%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 10.1% | Win 62%
Sharpe 0.71 | Sortino 0.88 | Calmar 0.3
Vol 15% | MDD -34.0%
Months 147M (46%)
CAGR -0.1% | Win 55%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 19% | MDD -36.6%
Months 83M (26%)
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
RSI
neg
CAGR -8.7% | Win 48%
Sharpe -0.28 | Sortino -0.42 | Calmar -0.3
Vol 23% | MDD -29.7%
Months 23M (7%)
CAGR 14.1% | Win 57%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.0%
Months 63M (20%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
MACDhist
only
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 9.5% | Win 60%
Sharpe 0.65 | Sortino 1.11 | Calmar 0.4
Vol 16% | MDD -23.9%
Months 140M (44%)
CAGR 1.6% | Win 59%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -40.4%
Months 90M (28%)
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
RSI
neg
CAGR 15.4% | Win 55%
Sharpe 0.72 | Sortino 1.24 | Calmar 0.6
Vol 24% | MDD -25.9%
Months 22M (7%)
CAGR 4.9% | Win 55%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 33% | MDD -72.0%
Months 64M (20%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 7.5% | Win 60%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 17% | MDD -34.6%
Months 210M (66%)
CAGR -4.6% | Win 50%
Sharpe -0.14 | Sortino -0.25 | Calmar -0.2
Vol 20% | MDD -26.5%
Months 20M (6%)
CAGR 6.3% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.1
Vol 17% | MDD -45.0%
Months 230M (73%)
RSI
neg
CAGR 13.2% | Win 55%
Sharpe 0.63 | Sortino 1.10 | Calmar 0.4
Vol 24% | MDD -34.7%
Months 47M (15%)
CAGR 1.0% | Win 54%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 38% | MDD -70.5%
Months 39M (12%)
CAGR 7.5% | Win 55%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 31% | MDD -73.0%
Months 86M (27%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 11.2% | Win 61%
Sharpe 0.76 | Sortino 1.15 | Calmar 0.4
Vol 16% | MDD -25.9%
Months 129M (41%)
CAGR -3.8% | Win 56%
Sharpe -0.10 | Sortino -0.10 | Calmar -0.1
Vol 19% | MDD -28.9%
Months 41M (13%)
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
MACDhist
neg
CAGR 6.7% | Win 52%
Sharpe 0.40 | Sortino 1.05 | Calmar 0.3
Vol 22% | MDD -21.3%
Months 33M (10%)
CAGR 5.5% | Win 57%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -74.7%
Months 113M (36%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
RSIhist
only
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 7.8% | Win 60%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.2
Vol 16% | MDD -34.0%
Months 162M (51%)
CAGR -1.4% | Win 62%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 21% | MDD -13.3%
Months 8M (2%)
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -36.7%
Months 170M (54%)
MACDhist
neg
CAGR 9.6% | Win 59%
Sharpe 0.54 | Sortino 0.98 | Calmar 0.3
Vol 21% | MDD -28.4%
Months 95M (30%)
CAGR -0.9% | Win 51%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 34% | MDD -70.5%
Months 51M (16%)
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -74.7%
Months 146M (46%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 10.9% | Win 60%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.4
Vol 16% | MDD -25.9%
Months 139M (44%)
CAGR 6.9% | Win 52%
Sharpe 0.40 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -32.4%
Months 23M (7%)
CAGR 10.3% | Win 59%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -25.9%
Months 162M (51%)
RSIhist
neg
CAGR 5.7% | Win 58%
Sharpe 0.38 | Sortino 0.51 | Calmar 0.2
Vol 21% | MDD -33.2%
Months 118M (37%)
CAGR -5.7% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 38% | MDD -70.5%
Months 36M (11%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -76.1%
Months 154M (49%)
LWTI
only
CAGR 8.5% | Win 60%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -41.9%
Months 257M (81%)
CAGR -0.9% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -70.5%
Months 59M (19%)