JXI - iShares Global Utilities ETF

Signal Pair Analysis

MACD-RSI

Best Pair

28.9%

Best CAGR

66

Total Months

7.6%

Avg CAGR

JXI 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 JXI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MACD pos-neg 18 7.7 28.9 77.8 2.1 3.0 5.0 12.4 -5.7
pair MACD RSI pos-neg 18 7.7 28.9 77.8 2.1 3.0 5.0 12.4 -5.7
pair MRmean RSIhist neg-pos 7 3.0 27.5 85.7 3.6 0.0 42.7 6.8 -0.6
pair RSIhist MRmean neg-pos 7 3.0 27.5 85.7 3.6 0.0 42.7 6.8 -0.6
pair LWTI MACD pos-neg 9 3.9 26.0 66.7 2.2 4.4 8.5 10.8 -3.0
pair MACD LWTI pos-neg 9 3.9 26.0 66.7 2.2 4.4 8.5 10.8 -3.0
pair MRmean LWTI pos-neg 8 3.4 24.7 62.5 1.6 3.0 4.6 14.9 -5.3
pair LWTI MRmean pos-neg 8 3.4 24.7 62.5 1.6 3.0 4.6 14.9 -5.3
pair MACDhist MRmean neg-pos 8 3.4 24.1 50.0 1.2 7.2 2.5 18.9 -9.7
pair MRmean MACDhist neg-pos 8 3.4 24.1 50.0 1.2 7.2 2.5 18.9 -9.7
pair MACD SLmean neg-pos 51 21.9 23.6 76.5 1.5 1.6 1.9 15.5 -12.1
pair SLmean MACD neg-pos 51 21.9 23.6 76.5 1.5 1.6 1.9 15.5 -12.1
pair MRmean MACD neg-pos 40 17.2 22.0 72.5 1.4 1.9 1.9 15.1 -11.7
pair MACD MRmean neg-pos 40 17.2 22.0 72.5 1.4 1.9 1.9 15.1 -11.7
pair SLmean RSIhist neg-pos 9 3.9 19.1 66.7 1.2 1.4 2.5 15.5 -7.7
pair RSIhist SLmean neg-pos 9 3.9 19.1 66.7 1.2 1.4 2.5 15.5 -7.7
pair SLmean RSI pos-neg 11 4.7 18.2 72.7 1.7 1.9 3.4 9.9 -5.3
pair RSI SLmean pos-neg 11 4.7 18.2 72.7 1.7 1.9 3.4 9.9 -5.3
pair SLmean RSI neg-pos 49 21.0 17.8 71.4 1.1 1.4 1.5 15.5 -12.1
pair RSI SLmean neg-pos 49 21.0 17.8 71.4 1.1 1.4 1.5 15.5 -12.1
pair LWTI RSIhist pos-neg 13 5.6 17.5 69.2 1.6 2.3 3.3 10.6 -5.3
pair RSIhist LWTI pos-neg 13 5.6 17.5 69.2 1.6 2.3 3.3 10.6 -5.3
pair RSI LWTI pos-neg 8 3.4 16.8 50.0 1.3 4.4 3.4 12.6 -5.0
pair LWTI RSI pos-neg 8 3.4 16.8 50.0 1.3 4.4 3.4 12.6 -5.0
pair MRmean RSmean neg-neg 22 9.4 16.2 68.2 1.1 1.2 1.1 15.5 -15.3
pair RSmean MRmean neg-neg 22 9.4 16.2 68.2 1.1 1.2 1.1 15.5 -15.3
pair SLmean LWTI pos-neg 13 5.6 16.1 61.5 1.3 2.4 1.5 12.4 -10.9
pair LWTI SLmean pos-neg 13 5.6 16.1 61.5 1.3 2.4 1.5 12.4 -10.9
pair MRmean LWTI neg-pos 56 24.0 16.0 69.6 1.0 1.2 0.5 17.2 -29.9
pair LWTI MRmean neg-pos 56 24.0 16.0 69.6 1.0 1.2 0.5 17.2 -29.9
pair RSI MRmean neg-pos 37 15.9 16.0 67.6 1.1 1.6 0.7 15.0 -21.6
pair MRmean RSI neg-pos 37 15.9 16.0 67.6 1.1 1.6 0.7 15.0 -21.6
pair MRmean SLmean neg-neg 68 29.2 15.9 70.6 0.9 1.1 0.4 17.4 -40.4
pair SLmean MRmean neg-neg 68 29.2 15.9 70.6 0.9 1.1 0.4 17.4 -40.4
pair RSmean MACD neg-neg 20 8.6 14.6 70.0 1.2 1.5 1.9 11.5 -7.9
pair MACD RSmean neg-neg 20 8.6 14.6 70.0 1.2 1.5 1.9 11.5 -7.9
pair SLmean MACDhist neg-neg 63 27.0 14.6 73.0 0.9 0.9 0.4 17.1 -40.4
pair MACDhist SLmean neg-neg 63 27.0 14.6 73.0 0.9 0.9 0.4 17.1 -40.4
pair SLmean LWTI neg-pos 74 31.8 14.1 68.9 0.9 1.1 0.4 17.0 -34.8
pair LWTI SLmean neg-pos 74 31.8 14.1 68.9 0.9 1.1 0.4 17.0 -34.8
pair MACD RSIhist pos-neg 69 29.6 14.1 66.7 1.0 1.3 1.1 14.8 -13.2
pair RSIhist MACD pos-neg 69 29.6 14.1 66.7 1.0 1.3 1.1 14.8 -13.2
pair RSmean RSI pos-neg 44 18.9 13.8 70.5 0.8 0.9 0.5 18.1 -28.3
pair RSI RSmean pos-neg 44 18.9 13.8 70.5 0.8 0.9 0.5 18.1 -28.3
pair MACD MACDhist pos-neg 63 27.0 13.6 65.1 1.0 1.4 1.0 13.3 -13.2
pair MACDhist MACD pos-neg 63 27.0 13.6 65.1 1.0 1.4 1.0 13.3 -13.2
pair RSI RSIhist neg-pos 17 7.3 13.4 70.6 1.1 1.2 1.5 12.1 -9.2
single MRmean MRmean neg-neg 77 33.0 13.4 68.8 0.8 1.0 0.3 16.9 -40.4
pair RSmean SLmean neg-pos 66 28.3 13.4 68.2 0.8 1.0 0.3 17.7 -40.4
pair SLmean RSmean neg-pos 66 28.3 13.4 68.2 0.8 1.0 0.3 17.7 -40.4
pair RSIhist RSI neg-pos 17 7.3 13.4 70.6 1.1 1.2 1.5 12.1 -9.2
pair LWTI RSmean pos-neg 25 10.7 13.3 68.0 0.8 0.9 0.7 17.0 -20.2
pair RSmean LWTI pos-neg 25 10.7 13.3 68.0 0.8 0.9 0.7 17.0 -20.2
single SLmean SLmean neg-neg 90 38.6 13.0 68.9 0.8 1.0 0.3 17.2 -40.4
pair RSmean RSIhist neg-neg 26 11.2 13.0 65.4 0.9 1.1 0.8 14.6 -16.7
pair RSIhist RSmean neg-neg 26 11.2 13.0 65.4 0.9 1.1 0.8 14.6 -16.7
pair LWTI MACDhist neg-neg 27 11.6 12.6 66.7 0.8 0.9 0.6 15.7 -20.2
pair MACDhist LWTI neg-neg 27 11.6 12.6 66.7 0.8 0.9 0.6 15.7 -20.2
pair SLmean RSIhist neg-neg 81 34.8 12.3 69.1 0.8 0.9 0.3 17.4 -40.4
pair RSIhist SLmean neg-neg 81 34.8 12.3 69.1 0.8 0.9 0.3 17.4 -40.4
pair RSmean MRmean neg-pos 55 23.6 12.3 69.1 0.8 0.9 0.3 17.6 -40.4
pair MRmean RSmean neg-pos 55 23.6 12.3 69.1 0.8 0.9 0.3 17.6 -40.4
pair MACDhist MRmean neg-neg 69 29.6 12.2 71.0 0.8 0.9 0.3 16.8 -40.4
pair MRmean MACDhist neg-neg 69 29.6 12.2 71.0 0.8 0.9 0.3 16.8 -40.4
pair MRmean RSIhist neg-neg 70 30.0 12.1 67.1 0.7 0.9 0.3 17.6 -40.4
pair RSIhist MRmean neg-neg 70 30.0 12.1 67.1 0.7 0.9 0.3 17.6 -40.4
pair RSmean SLmean neg-neg 24 10.3 11.8 70.8 0.8 0.9 0.8 16.1 -15.3
pair SLmean RSmean neg-neg 24 10.3 11.8 70.8 0.8 0.9 0.8 16.1 -15.3
single LWTI LWTI neg-neg 29 12.4 11.4 65.5 0.8 0.9 0.6 16.0 -20.2
pair MRmean RSI neg-neg 40 17.2 11.1 70.0 0.7 0.7 0.3 18.7 -35.7
pair RSI MRmean neg-neg 40 17.2 11.1 70.0 0.7 0.7 0.3 18.7 -35.7
pair RSI MACDhist neg-neg 38 16.3 10.8 73.7 0.7 0.7 0.3 18.3 -35.7
pair MACDhist RSI neg-neg 38 16.3 10.8 73.7 0.7 0.7 0.3 18.3 -35.7
pair RSI RSmean neg-pos 29 12.4 10.7 62.1 0.8 1.0 0.7 13.8 -14.8
pair RSmean RSI neg-pos 29 12.4 10.7 62.1 0.8 1.0 0.7 13.8 -14.8
pair RSI LWTI neg-pos 31 13.3 9.9 64.5 0.6 0.7 0.3 17.9 -28.3
pair LWTI RSI neg-pos 31 13.3 9.9 64.5 0.6 0.7 0.3 17.9 -28.3
single RSI RSI neg-neg 52 22.3 9.7 67.3 0.6 0.7 0.3 17.5 -35.7
pair RSmean MACD pos-pos 152 65.2 9.6 60.5 0.8 1.2 0.5 13.4 -18.6
pair MACD RSmean pos-pos 152 65.2 9.6 60.5 0.8 1.2 0.5 13.4 -18.6
pair LWTI RSI neg-neg 21 9.0 9.4 71.4 0.6 0.7 0.5 17.3 -20.2
pair RSI LWTI neg-neg 21 9.0 9.4 71.4 0.6 0.7 0.5 17.3 -20.2
pair SLmean MACDhist neg-pos 27 11.6 9.3 59.3 0.6 0.9 0.4 17.6 -24.1
pair MACDhist SLmean neg-pos 27 11.6 9.3 59.3 0.6 0.9 0.4 17.6 -24.1
pair RSI RSIhist pos-neg 73 31.3 9.1 61.6 0.7 1.0 0.5 14.7 -17.1
pair RSIhist RSI pos-neg 73 31.3 9.1 61.6 0.7 1.0 0.5 14.7 -17.1
pair LWTI RSIhist neg-pos 92 39.5 9.1 63.0 0.6 0.8 0.3 15.9 -33.9
pair RSIhist LWTI neg-pos 92 39.5 9.1 63.0 0.6 0.8 0.3 15.9 -33.9
pair MACDhist RSIhist neg-neg 83 35.6 9.1 65.1 0.6 0.8 0.2 16.4 -43.8
pair RSIhist MACDhist neg-neg 83 35.6 9.1 65.1 0.6 0.8 0.2 16.4 -43.8
single RSIhist RSIhist neg-neg 108 46.4 8.7 63.0 0.6 0.8 0.2 16.4 -43.8
pair RSmean MACDhist pos-neg 78 33.5 8.6 64.1 0.6 0.7 0.2 15.6 -43.8
pair MACDhist RSmean pos-neg 78 33.5 8.6 64.1 0.6 0.7 0.2 15.6 -43.8
single MACD MACD pos-pos 169 72.5 8.2 59.2 0.7 1.0 0.4 13.7 -18.6
single MACDhist MACDhist neg-neg 108 46.4 8.1 63.0 0.6 0.7 0.2 15.1 -43.8
pair RSIhist RSI neg-neg 35 15.0 7.9 65.7 0.5 0.6 0.2 19.8 -35.7
pair RSI RSIhist neg-neg 35 15.0 7.9 65.7 0.5 0.6 0.2 19.8 -35.7
pair SLmean LWTI neg-neg 16 6.9 7.7 68.8 0.5 0.5 0.4 18.7 -20.2
pair LWTI SLmean neg-neg 16 6.9 7.7 68.8 0.5 0.5 0.4 18.7 -20.2
pair RSI SLmean neg-neg 41 17.6 7.5 65.9 0.5 0.6 0.2 19.1 -35.7
pair SLmean RSI neg-neg 41 17.6 7.5 65.9 0.5 0.6 0.2 19.1 -35.7
pair RSIhist MACDhist pos-neg 25 10.7 7.4 56.0 0.5 0.8 0.3 16.7 -24.9
pair MACDhist RSIhist pos-neg 25 10.7 7.4 56.0 0.5 0.8 0.3 16.7 -24.9
pair RSIhist RSmean pos-neg 82 35.2 7.4 62.2 0.5 0.7 0.2 17.0 -43.8
pair RSmean RSIhist pos-neg 82 35.2 7.4 62.2 0.5 0.7 0.2 17.0 -43.8
pair MACD LWTI pos-pos 160 68.7 7.3 58.8 0.6 0.9 0.4 13.9 -18.6
pair LWTI MACD pos-pos 160 68.7 7.3 58.8 0.6 0.9 0.4 13.9 -18.6
pair MACDhist RSmean neg-neg 30 12.9 6.9 60.0 0.6 0.7 0.3 13.9 -20.5
pair RSmean MACDhist neg-neg 30 12.9 6.9 60.0 0.6 0.7 0.3 13.9 -20.5
pair RSI MACDhist neg-pos 14 6.0 6.8 50.0 0.5 0.8 0.7 15.8 -10.4
pair MACDhist RSI neg-pos 14 6.0 6.8 50.0 0.5 0.8 0.7 15.8 -10.4
pair LWTI MRmean neg-neg 21 9.0 6.7 66.7 0.5 0.5 0.3 16.5 -20.2
pair LWTI MACDhist neg-pos 81 34.8 6.7 61.7 0.5 0.6 0.2 14.9 -32.9
pair MRmean LWTI neg-neg 21 9.0 6.7 66.7 0.5 0.5 0.3 16.5 -20.2
pair RSI MACDhist pos-neg 70 30.0 6.7 57.1 0.6 0.8 0.3 13.1 -23.6
pair MACDhist RSI pos-neg 70 30.0 6.7 57.1 0.6 0.8 0.3 13.1 -23.6
pair RSIhist LWTI neg-neg 16 6.9 6.7 62.5 0.4 0.5 0.3 19.6 -20.2
pair MACDhist LWTI neg-pos 81 34.8 6.7 61.7 0.5 0.6 0.2 14.9 -32.9
single RSmean RSmean pos-pos 196 84.1 6.7 59.2 0.5 0.7 0.1 14.7 -43.8
pair LWTI RSIhist neg-neg 16 6.9 6.7 62.5 0.4 0.5 0.3 19.6 -20.2
pair RSmean LWTI neg-pos 33 14.2 6.5 60.6 0.5 0.6 0.3 14.5 -20.5
pair LWTI RSmean neg-pos 33 14.2 6.5 60.6 0.5 0.6 0.3 14.5 -20.5
pair benchmark___benchmark_ benchmark-benchmark 233 100.0 6.5 59.2 0.5 0.7 0.1 14.6 -43.8
pair benchmark___benchmark_ benchmark-benchmark 233 100.0 6.5 59.2 0.5 0.7 0.1 14.6 -43.8
pair RSmean RSIhist pos-pos 114 48.9 6.1 57.0 0.5 0.9 0.2 12.9 -25.8
pair RSIhist RSmean pos-pos 114 48.9 6.1 57.0 0.5 0.9 0.2 12.9 -25.8
pair RSI MACD pos-pos 151 64.8 6.0 57.0 0.5 0.8 0.2 13.8 -23.6
pair MACD RSI pos-pos 151 64.8 6.0 57.0 0.5 0.8 0.2 13.8 -23.6
pair MACD RSIhist neg-pos 25 10.7 6.0 64.0 0.5 0.7 0.5 12.6 -13.5
pair RSIhist MACD neg-pos 25 10.7 6.0 64.0 0.5 0.7 0.5 12.6 -13.5
single LWTI LWTI pos-pos 204 87.6 5.9 58.3 0.5 0.7 0.1 14.4 -40.8
single RSmean RSmean neg-neg 37 15.9 5.7 59.5 0.5 0.6 0.3 13.8 -20.5
pair RSmean LWTI pos-pos 171 73.4 5.7 57.9 0.5 0.7 0.2 14.4 -35.9
pair LWTI RSmean pos-pos 171 73.4 5.7 57.9 0.5 0.7 0.2 14.4 -35.9
pair MACDhist MACD neg-pos 19 8.2 5.7 57.9 0.4 0.7 0.4 15.5 -14.7
pair MACD MACDhist neg-pos 19 8.2 5.7 57.9 0.4 0.7 0.4 15.5 -14.7
single RSI RSI pos-pos 181 77.7 5.6 56.9 0.5 0.7 0.2 13.6 -25.8
pair LWTI MACD neg-neg 20 8.6 5.4 65.0 0.4 0.5 0.3 17.8 -20.2
pair MACDhist RSmean pos-pos 118 50.6 5.4 55.9 0.5 0.7 0.2 14.2 -24.2
pair RSmean MACDhist pos-pos 118 50.6 5.4 55.9 0.5 0.7 0.2 14.2 -24.2
pair MACD LWTI neg-neg 20 8.6 5.4 65.0 0.4 0.5 0.3 17.8 -20.2
pair MACDhist LWTI pos-pos 123 52.8 5.3 56.1 0.4 0.7 0.2 14.1 -24.2
pair LWTI MACDhist pos-pos 123 52.8 5.3 56.1 0.4 0.7 0.2 14.1 -24.2
pair LWTI RSI pos-pos 173 74.2 5.2 57.2 0.4 0.7 0.2 13.7 -26.1
pair RSI LWTI pos-pos 173 74.2 5.2 57.2 0.4 0.7 0.2 13.7 -26.1
single MACDhist MACDhist pos-pos 125 53.6 5.2 56.0 0.4 0.7 0.2 14.1 -24.2
pair MACD MACDhist pos-pos 106 45.5 5.1 55.7 0.4 0.7 0.2 14.0 -24.2
pair MACDhist MACD pos-pos 106 45.5 5.1 55.7 0.4 0.7 0.2 14.0 -24.2
pair SLmean MACD pos-neg 25 10.7 5.1 60.0 0.5 0.7 0.6 12.8 -9.1
pair MACD SLmean pos-neg 25 10.7 5.1 60.0 0.5 0.7 0.6 12.8 -9.1
pair RSI MRmean pos-neg 12 5.2 5.1 58.3 0.4 0.5 0.6 13.4 -9.2
pair MRmean RSI pos-neg 12 5.2 5.1 58.3 0.4 0.5 0.6 13.4 -9.2
pair MACDhist RSI pos-pos 111 47.6 5.0 56.8 0.4 0.7 0.2 14.0 -24.2
pair RSI MACDhist pos-pos 111 47.6 5.0 56.8 0.4 0.7 0.2 14.0 -24.2
pair MACD MRmean neg-neg 37 15.9 4.9 64.9 0.3 0.4 0.1 18.7 -40.3
pair MRmean MACD neg-neg 37 15.9 4.9 64.9 0.3 0.4 0.1 18.7 -40.3
pair MACDhist RSIhist neg-pos 25 10.7 4.7 56.0 0.5 0.8 0.5 9.5 -10.2
pair RSI RSmean pos-pos 152 65.2 4.7 55.9 0.4 0.7 0.2 13.6 -27.2
pair RSmean RSI pos-pos 152 65.2 4.7 55.9 0.4 0.7 0.2 13.6 -27.2
pair RSIhist MACDhist neg-pos 25 10.7 4.7 56.0 0.5 0.8 0.5 9.5 -10.2
single RSIhist RSIhist pos-pos 125 53.6 4.7 56.0 0.4 0.7 0.2 12.8 -29.2
pair MACDhist RSIhist pos-pos 100 42.9 4.6 56.0 0.4 0.7 0.2 13.5 -28.3
pair RSmean MRmean pos-pos 141 60.5 4.6 55.3 0.4 0.6 0.1 13.5 -30.3
pair MRmean RSmean pos-pos 141 60.5 4.6 55.3 0.4 0.6 0.1 13.5 -30.3
pair RSIhist MACDhist pos-pos 100 42.9 4.6 56.0 0.4 0.7 0.2 13.5 -28.3
pair RSIhist MACD pos-pos 100 42.9 4.3 54.0 0.4 0.7 0.1 12.9 -29.2
pair MACD RSIhist pos-pos 100 42.9 4.3 54.0 0.4 0.7 0.1 12.9 -29.2
pair MRmean SLmean pos-neg 22 9.4 4.3 63.6 0.3 0.4 0.2 16.5 -18.4
pair MACD MRmean pos-pos 129 55.4 4.3 55.0 0.4 0.6 0.1 13.1 -36.8
pair MRmean MACD pos-pos 129 55.4 4.3 55.0 0.4 0.6 0.1 13.1 -36.8
pair SLmean MRmean pos-neg 22 9.4 4.3 63.6 0.3 0.4 0.2 16.5 -18.4
pair MACDhist SLmean pos-pos 98 42.1 4.1 55.1 0.4 0.6 0.1 13.1 -26.6
pair SLmean MACDhist pos-pos 98 42.1 4.1 55.1 0.4 0.6 0.1 13.1 -26.6
pair MACDhist MRmean pos-pos 117 50.2 4.0 56.4 0.3 0.5 0.1 13.8 -31.2
pair MRmean MACDhist pos-pos 117 50.2 4.0 56.4 0.3 0.5 0.1 13.8 -31.2
pair MACD RSI neg-pos 30 12.9 4.0 56.7 0.4 0.7 0.2 13.0 -19.7
pair RSI MACD neg-pos 30 12.9 4.0 56.7 0.4 0.7 0.2 13.0 -19.7
pair SLmean RSIhist pos-pos 116 49.8 3.6 55.2 0.3 0.6 0.1 12.6 -29.2
pair RSIhist SLmean pos-pos 116 49.8 3.6 55.2 0.3 0.6 0.1 12.6 -29.2
pair RSmean SLmean pos-pos 130 55.8 3.4 54.6 0.3 0.6 0.1 12.9 -25.6
pair SLmean RSmean pos-pos 130 55.8 3.4 54.6 0.3 0.6 0.1 12.9 -25.6
pair MRmean RSIhist pos-pos 118 50.6 3.4 54.2 0.3 0.5 0.1 13.0 -29.2
pair RSIhist MRmean pos-pos 118 50.6 3.4 54.2 0.3 0.5 0.1 13.0 -29.2
single MRmean MRmean pos-pos 156 67.0 3.3 54.5 0.3 0.5 0.1 13.2 -36.8
pair RSI RSIhist pos-pos 108 46.4 3.3 53.7 0.3 0.5 0.1 12.9 -29.2
pair RSIhist RSI pos-pos 108 46.4 3.3 53.7 0.3 0.5 0.1 12.9 -29.2
pair LWTI RSIhist pos-pos 112 48.1 3.3 54.5 0.3 0.5 0.1 13.0 -34.4
pair RSIhist LWTI pos-pos 112 48.1 3.3 54.5 0.3 0.5 0.1 13.0 -34.4
pair RSI MRmean pos-pos 144 61.8 3.1 54.2 0.3 0.5 0.1 13.2 -36.8
pair MRmean RSI pos-pos 144 61.8 3.1 54.2 0.3 0.5 0.1 13.2 -36.8
pair MRmean SLmean pos-pos 134 57.5 3.1 53.0 0.3 0.5 0.1 12.6 -32.6
pair SLmean MRmean pos-pos 134 57.5 3.1 53.0 0.3 0.5 0.1 12.6 -32.6
pair RSIhist MRmean pos-neg 38 16.3 2.8 55.3 0.3 0.4 0.1 13.9 -20.5
pair MRmean RSIhist pos-neg 38 16.3 2.8 55.3 0.3 0.4 0.1 13.9 -20.5
single SLmean SLmean pos-pos 143 61.4 2.7 53.1 0.3 0.5 0.1 12.6 -32.6
single MACD MACD neg-neg 64 27.5 2.3 59.4 0.2 0.3 0.1 16.6 -43.8
pair MRmean LWTI pos-pos 148 63.5 2.2 54.1 0.2 0.3 0.1 13.1 -41.5
pair LWTI MRmean pos-pos 148 63.5 2.2 54.1 0.2 0.3 0.1 13.1 -41.5
pair MACD SLmean pos-pos 118 50.6 2.2 51.7 0.2 0.4 0.1 12.6 -32.6
pair SLmean MACD pos-pos 118 50.6 2.2 51.7 0.2 0.4 0.1 12.6 -32.6
pair SLmean RSI pos-pos 132 56.7 1.5 51.5 0.2 0.3 0.0 12.7 -32.6
pair RSI SLmean pos-pos 132 56.7 1.5 51.5 0.2 0.3 0.0 12.7 -32.6
pair SLmean LWTI pos-pos 130 55.8 1.4 52.3 0.2 0.3 0.0 12.6 -37.6
pair LWTI SLmean pos-pos 130 55.8 1.4 52.3 0.2 0.3 0.0 12.6 -37.6
pair MRmean MACDhist pos-neg 39 16.7 1.2 48.7 0.2 0.3 0.1 11.3 -13.2
pair MACDhist MRmean pos-neg 39 16.7 1.2 48.7 0.2 0.3 0.1 11.3 -13.2
pair RSmean MACDhist neg-pos 7 3.0 1.0 57.1 0.1 0.1 0.5 14.4 -2.2
pair MACDhist RSmean neg-pos 7 3.0 1.0 57.1 0.1 0.1 0.5 14.4 -2.2
pair MACD LWTI neg-pos 44 18.9 0.9 56.8 0.1 0.2 0.0 16.2 -40.8
pair LWTI MACD neg-pos 44 18.9 0.9 56.8 0.1 0.2 0.0 16.2 -40.8
pair MACD MACDhist neg-neg 45 19.3 0.8 60.0 0.1 0.2 0.0 17.2 -43.8
pair MACDhist MACD neg-neg 45 19.3 0.8 60.0 0.1 0.2 0.0 17.2 -43.8
pair RSI MACD neg-neg 34 14.6 0.7 61.8 0.1 0.1 0.0 19.4 -35.7
pair MACD RSI neg-neg 34 14.6 0.7 61.8 0.1 0.1 0.0 19.4 -35.7
pair MACD SLmean neg-neg 39 16.7 0.4 59.0 0.1 0.1 0.0 18.8 -40.3
pair SLmean MACD neg-neg 39 16.7 0.4 59.0 0.1 0.1 0.0 18.8 -40.3
pair RSmean LWTI neg-neg 4 1.7 -0.1 50.0 0.0 0.0 -0.1 6.2 -0.6
pair LWTI RSmean neg-neg 4 1.7 -0.1 50.0 0.0 0.0 -0.1 6.2 -0.6
pair MACD RSIhist neg-neg 39 16.7 -0.1 56.4 0.1 0.1 -0.0 18.9 -43.8
pair RSIhist MACD neg-neg 39 16.7 -0.1 56.4 0.1 0.1 -0.0 18.9 -43.8
pair SLmean MACDhist pos-neg 45 19.3 -0.3 48.9 0.0 0.0 -0.0 11.3 -14.9
pair MACDhist SLmean pos-neg 45 19.3 -0.3 48.9 0.0 0.0 -0.0 11.3 -14.9
pair MACD MRmean pos-neg 27 11.6 -1.2 51.9 -0.0 -0.0 -0.1 13.6 -16.6
pair MRmean MACD pos-neg 27 11.6 -1.2 51.9 -0.0 -0.0 -0.1 13.6 -16.6
pair RSIhist SLmean pos-neg 27 11.6 -1.3 44.4 -0.0 -0.1 -0.1 12.6 -15.1
pair SLmean RSIhist pos-neg 27 11.6 -1.3 44.4 -0.0 -0.1 -0.1 12.6 -15.1
pair RSmean MACD pos-neg 44 18.9 -2.9 54.5 -0.1 -0.1 -0.1 18.4 -43.8
pair MACD RSmean pos-neg 44 18.9 -2.9 54.5 -0.1 -0.1 -0.1 18.4 -43.8
pair LWTI MACDhist pos-neg 2 0.9 -3.1 50.0 -0.1 0.0 0.0 25.5 0.0
pair MACDhist LWTI pos-neg 2 0.9 -3.1 50.0 -0.1 0.0 0.0 25.5 0.0
pair SLmean MRmean neg-pos 9 3.9 -3.8 55.6 -0.3 -0.4 -0.3 12.0 -13.2
pair MRmean SLmean neg-pos 9 3.9 -3.8 55.6 -0.3 -0.4 -0.3 12.0 -13.2
pair RSmean MACD neg-pos 17 7.3 -3.8 47.1 -0.2 -0.2 -0.2 16.1 -20.5
pair MACD RSmean neg-pos 17 7.3 -3.8 47.1 -0.2 -0.2 -0.2 16.1 -20.5
pair SLmean RSmean pos-neg 13 5.6 -4.5 38.5 -0.6 -0.8 -0.5 7.8 -9.4
pair RSmean SLmean pos-neg 13 5.6 -4.5 38.5 -0.6 -0.8 -0.5 7.8 -9.4
pair MRmean RSmean pos-neg 15 6.4 -7.9 46.7 -0.8 -0.9 -0.8 10.1 -9.4
pair RSmean MRmean pos-neg 15 6.4 -7.9 46.7 -0.8 -0.9 -0.8 10.1 -9.4
pair RSmean RSIhist neg-pos 11 4.7 -9.6 45.5 -0.9 -0.9 -1.8 11.0 -5.4
pair RSIhist RSmean neg-pos 11 4.7 -9.6 45.5 -0.9 -0.9 -1.8 11.0 -5.4
pair RSmean RSI neg-neg 8 3.4 -10.5 50.0 -0.8 -0.8 -1.0 13.5 -10.1
pair RSI RSmean neg-neg 8 3.4 -10.5 50.0 -0.8 -0.8 -1.0 13.5 -10.1

All Contingency Tables for JXI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 134M (58%)
CAGR 4.3% | Win 64%
Sharpe 0.34 | Sortino 0.41 | Calmar 0.2
Vol 16% | MDD -18.4%
Months 22M (9%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR -3.8% | Win 56%
Sharpe -0.27 | Sortino -0.44 | Calmar -0.3
Vol 12% | MDD -13.2%
Months 9M (4%)
CAGR 15.9% | Win 71%
Sharpe 0.94 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -40.4%
Months 68M (29%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
SLmean
only
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 55%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 14% | MDD -30.3%
Months 141M (60%)
CAGR -7.9% | Win 47%
Sharpe -0.76 | Sortino -0.86 | Calmar -0.8
Vol 10% | MDD -9.4%
Months 15M (6%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 12.3% | Win 69%
Sharpe 0.75 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -40.4%
Months 55M (24%)
CAGR 16.2% | Win 68%
Sharpe 1.05 | Sortino 1.16 | Calmar 1.1
Vol 16% | MDD -15.3%
Months 22M (9%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
RSmean
only
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 55%
Sharpe 0.38 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 129M (55%)
CAGR -1.2% | Win 52%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 14% | MDD -16.6%
Months 27M (12%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 22.0% | Win 72%
Sharpe 1.40 | Sortino 1.90 | Calmar 1.9
Vol 15% | MDD -11.7%
Months 40M (17%)
CAGR 4.9% | Win 65%
Sharpe 0.35 | Sortino 0.40 | Calmar 0.1
Vol 19% | MDD -40.3%
Months 37M (16%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
MACD
only
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 54%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 144M (62%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.6
Vol 13% | MDD -9.2%
Months 12M (5%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 16.0% | Win 68%
Sharpe 1.07 | Sortino 1.60 | Calmar 0.7
Vol 15% | MDD -21.6%
Months 37M (16%)
CAGR 11.1% | Win 70%
Sharpe 0.66 | Sortino 0.71 | Calmar 0.3
Vol 19% | MDD -35.7%
Months 40M (17%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
RSI
only
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.0% | Win 56%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 14% | MDD -31.2%
Months 117M (50%)
CAGR 1.2% | Win 49%
Sharpe 0.16 | Sortino 0.27 | Calmar 0.1
Vol 11% | MDD -13.2%
Months 39M (17%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 24.1% | Win 50%
Sharpe 1.24 | Sortino 7.22 | Calmar 2.5
Vol 19% | MDD -9.7%
Months 8M (3%)
CAGR 12.2% | Win 71%
Sharpe 0.78 | Sortino 0.86 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 69M (30%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
MACDhist
only
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 54%
Sharpe 0.33 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -29.2%
Months 118M (51%)
CAGR 2.8% | Win 55%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 14% | MDD -20.5%
Months 38M (16%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 27.5% | Win 86%
Sharpe 3.63 | Sortino 0.00 | Calmar 42.7
Vol 7% | MDD -0.6%
Months 7M (3%)
CAGR 12.1% | Win 67%
Sharpe 0.74 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -40.4%
Months 70M (30%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 2.2% | Win 54%
Sharpe 0.23 | Sortino 0.35 | Calmar 0.1
Vol 13% | MDD -41.5%
Months 148M (64%)
CAGR 24.7% | Win 62%
Sharpe 1.56 | Sortino 2.97 | Calmar 4.6
Vol 15% | MDD -5.3%
Months 8M (3%)
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -36.8%
Months 156M (67%)
MRmean
neg
CAGR 16.0% | Win 70%
Sharpe 0.96 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -29.9%
Months 56M (24%)
CAGR 6.7% | Win 67%
Sharpe 0.47 | Sortino 0.49 | Calmar 0.3
Vol 16% | MDD -20.2%
Months 21M (9%)
CAGR 13.4% | Win 69%
Sharpe 0.83 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 77M (33%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 55%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 13% | MDD -25.6%
Months 130M (56%)
CAGR -4.5% | Win 38%
Sharpe -0.56 | Sortino -0.76 | Calmar -0.5
Vol 8% | MDD -9.4%
Months 13M (6%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 13.4% | Win 68%
Sharpe 0.81 | Sortino 0.96 | Calmar 0.3
Vol 18% | MDD -40.4%
Months 66M (28%)
CAGR 11.8% | Win 71%
Sharpe 0.77 | Sortino 0.90 | Calmar 0.8
Vol 16% | MDD -15.3%
Months 24M (10%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
RSmean
only
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.2% | Win 52%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 118M (51%)
CAGR 5.1% | Win 60%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.6
Vol 13% | MDD -9.1%
Months 25M (11%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 23.6% | Win 76%
Sharpe 1.46 | Sortino 1.63 | Calmar 1.9
Vol 16% | MDD -12.1%
Months 51M (22%)
CAGR 0.4% | Win 59%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 19% | MDD -40.3%
Months 39M (17%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
MACD
only
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 1.5% | Win 52%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 13% | MDD -32.6%
Months 132M (57%)
CAGR 18.2% | Win 73%
Sharpe 1.74 | Sortino 1.87 | Calmar 3.4
Vol 10% | MDD -5.3%
Months 11M (5%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 17.8% | Win 71%
Sharpe 1.14 | Sortino 1.42 | Calmar 1.5
Vol 16% | MDD -12.1%
Months 49M (21%)
CAGR 7.5% | Win 66%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.2
Vol 19% | MDD -35.7%
Months 41M (18%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
RSI
only
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.1% | Win 55%
Sharpe 0.37 | Sortino 0.62 | Calmar 0.2
Vol 13% | MDD -26.6%
Months 98M (42%)
CAGR -0.3% | Win 49%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 11% | MDD -14.9%
Months 45M (19%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 9.3% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.4
Vol 18% | MDD -24.1%
Months 27M (12%)
CAGR 14.6% | Win 73%
Sharpe 0.89 | Sortino 0.95 | Calmar 0.4
Vol 17% | MDD -40.4%
Months 63M (27%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
MACDhist
only
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.6% | Win 55%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 13% | MDD -29.2%
Months 116M (50%)
CAGR -1.3% | Win 44%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.1
Vol 13% | MDD -15.1%
Months 27M (12%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 19.1% | Win 67%
Sharpe 1.20 | Sortino 1.43 | Calmar 2.5
Vol 16% | MDD -7.7%
Months 9M (4%)
CAGR 12.3% | Win 69%
Sharpe 0.76 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 81M (35%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 1.4% | Win 52%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 13% | MDD -37.6%
Months 130M (56%)
CAGR 16.1% | Win 62%
Sharpe 1.27 | Sortino 2.41 | Calmar 1.5
Vol 12% | MDD -10.9%
Months 13M (6%)
CAGR 2.7% | Win 53%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -32.6%
Months 143M (61%)
SLmean
neg
CAGR 14.1% | Win 69%
Sharpe 0.87 | Sortino 1.06 | Calmar 0.4
Vol 17% | MDD -34.8%
Months 74M (32%)
CAGR 7.7% | Win 69%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.4
Vol 19% | MDD -20.2%
Months 16M (7%)
CAGR 13.0% | Win 69%
Sharpe 0.80 | Sortino 0.96 | Calmar 0.3
Vol 17% | MDD -40.4%
Months 90M (39%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.6% | Win 60%
Sharpe 0.75 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -18.6%
Months 152M (65%)
CAGR -2.9% | Win 55%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -43.8%
Months 44M (19%)
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
RSmean
neg
CAGR -3.8% | Win 47%
Sharpe -0.16 | Sortino -0.20 | Calmar -0.2
Vol 16% | MDD -20.5%
Months 17M (7%)
CAGR 14.6% | Win 70%
Sharpe 1.25 | Sortino 1.48 | Calmar 1.9
Vol 12% | MDD -7.9%
Months 20M (9%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
MACD
only
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 14% | MDD -27.2%
Months 152M (65%)
CAGR 13.8% | Win 70%
Sharpe 0.81 | Sortino 0.87 | Calmar 0.5
Vol 18% | MDD -28.3%
Months 44M (19%)
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
RSmean
neg
CAGR 10.7% | Win 62%
Sharpe 0.81 | Sortino 0.97 | Calmar 0.7
Vol 14% | MDD -14.8%
Months 29M (12%)
CAGR -10.5% | Win 50%
Sharpe -0.75 | Sortino -0.81 | Calmar -1.0
Vol 14% | MDD -10.1%
Months 8M (3%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
RSI
only
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.4% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 118M (51%)
CAGR 8.6% | Win 64%
Sharpe 0.61 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 78M (34%)
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
RSmean
neg
CAGR 1.0% | Win 57%
Sharpe 0.13 | Sortino 0.14 | Calmar 0.5
Vol 14% | MDD -2.2%
Months 7M (3%)
CAGR 6.9% | Win 60%
Sharpe 0.55 | Sortino 0.66 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 30M (13%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
MACDhist
only
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.1% | Win 57%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 13% | MDD -25.8%
Months 114M (49%)
CAGR 7.4% | Win 62%
Sharpe 0.51 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -43.8%
Months 82M (35%)
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
RSmean
neg
CAGR -9.6% | Win 46%
Sharpe -0.86 | Sortino -0.88 | Calmar -1.8
Vol 11% | MDD -5.4%
Months 11M (5%)
CAGR 13.0% | Win 65%
Sharpe 0.91 | Sortino 1.08 | Calmar 0.8
Vol 15% | MDD -16.7%
Months 26M (11%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 5.7% | Win 58%
Sharpe 0.46 | Sortino 0.68 | Calmar 0.2
Vol 14% | MDD -35.9%
Months 171M (73%)
CAGR 13.3% | Win 68%
Sharpe 0.82 | Sortino 0.95 | Calmar 0.7
Vol 17% | MDD -20.2%
Months 25M (11%)
CAGR 6.7% | Win 59%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 196M (84%)
RSmean
neg
CAGR 6.5% | Win 61%
Sharpe 0.51 | Sortino 0.61 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 33M (14%)
CAGR -0.1% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 6% | MDD -0.6%
Months 4M (2%)
CAGR 5.7% | Win 60%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 14% | MDD -20.5%
Months 37M (16%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 57%
Sharpe 0.49 | Sortino 0.75 | Calmar 0.3
Vol 14% | MDD -23.6%
Months 151M (65%)
CAGR 28.9% | Win 78%
Sharpe 2.12 | Sortino 2.96 | Calmar 5.0
Vol 12% | MDD -5.7%
Months 18M (8%)
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
MACD
neg
CAGR 4.0% | Win 57%
Sharpe 0.37 | Sortino 0.66 | Calmar 0.2
Vol 13% | MDD -19.7%
Months 30M (13%)
CAGR 0.7% | Win 62%
Sharpe 0.14 | Sortino 0.15 | Calmar 0.0
Vol 19% | MDD -35.7%
Months 34M (15%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
RSI
only
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.1% | Win 56%
Sharpe 0.42 | Sortino 0.68 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 106M (46%)
CAGR 13.6% | Win 65%
Sharpe 1.03 | Sortino 1.41 | Calmar 1.0
Vol 13% | MDD -13.2%
Months 63M (27%)
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
MACD
neg
CAGR 5.7% | Win 58%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.4
Vol 16% | MDD -14.7%
Months 19M (8%)
CAGR 0.8% | Win 60%
Sharpe 0.14 | Sortino 0.16 | Calmar 0.0
Vol 17% | MDD -43.8%
Months 45M (19%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
MACDhist
only
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.3% | Win 54%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 13% | MDD -29.2%
Months 100M (43%)
CAGR 14.1% | Win 67%
Sharpe 0.97 | Sortino 1.29 | Calmar 1.1
Vol 15% | MDD -13.2%
Months 69M (30%)
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
MACD
neg
CAGR 6.0% | Win 64%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.4
Vol 13% | MDD -13.5%
Months 25M (11%)
CAGR -0.1% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 19% | MDD -43.8%
Months 39M (17%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.3% | Win 59%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 160M (69%)
CAGR 26.0% | Win 67%
Sharpe 2.20 | Sortino 4.43 | Calmar 8.5
Vol 11% | MDD -3.0%
Months 9M (4%)
CAGR 8.2% | Win 59%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -18.6%
Months 169M (72%)
MACD
neg
CAGR 0.9% | Win 57%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 16% | MDD -40.8%
Months 44M (19%)
CAGR 5.4% | Win 65%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.3
Vol 18% | MDD -20.2%
Months 20M (9%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -43.8%
Months 64M (28%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.0% | Win 57%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 111M (48%)
CAGR 6.7% | Win 57%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.3
Vol 13% | MDD -23.6%
Months 70M (30%)
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
RSI
neg
CAGR 6.8% | Win 50%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.7
Vol 16% | MDD -10.4%
Months 14M (6%)
CAGR 10.8% | Win 74%
Sharpe 0.66 | Sortino 0.65 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 38M (16%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
MACDhist
only
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.3% | Win 54%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -29.2%
Months 108M (46%)
CAGR 9.1% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.5
Vol 15% | MDD -17.1%
Months 73M (31%)
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
RSI
neg
CAGR 13.4% | Win 71%
Sharpe 1.10 | Sortino 1.23 | Calmar 1.5
Vol 12% | MDD -9.2%
Months 17M (7%)
CAGR 7.9% | Win 66%
Sharpe 0.49 | Sortino 0.56 | Calmar 0.2
Vol 20% | MDD -35.7%
Months 35M (15%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.2% | Win 57%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.2
Vol 14% | MDD -26.1%
Months 173M (74%)
CAGR 16.8% | Win 50%
Sharpe 1.29 | Sortino 4.37 | Calmar 3.4
Vol 13% | MDD -5.0%
Months 8M (3%)
CAGR 5.6% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -25.8%
Months 181M (78%)
RSI
neg
CAGR 9.9% | Win 64%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -28.3%
Months 31M (13%)
CAGR 9.4% | Win 71%
Sharpe 0.61 | Sortino 0.65 | Calmar 0.5
Vol 17% | MDD -20.2%
Months 21M (9%)
CAGR 9.7% | Win 67%
Sharpe 0.62 | Sortino 0.69 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 52M (22%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 4.6% | Win 56%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.2
Vol 14% | MDD -28.3%
Months 100M (43%)
CAGR 7.4% | Win 56%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.3
Vol 17% | MDD -24.9%
Months 25M (11%)
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
MACDhist
neg
CAGR 4.7% | Win 56%
Sharpe 0.54 | Sortino 0.76 | Calmar 0.5
Vol 10% | MDD -10.2%
Months 25M (11%)
CAGR 9.1% | Win 65%
Sharpe 0.62 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 83M (36%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
RSIhist
only
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.3% | Win 56%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 123M (53%)
CAGR -3.1% | Win 50%
Sharpe -0.06 | Sortino 0.00 | Calmar 0.0
Vol 26% | MDD 0.0%
Months 2M (1%)
CAGR 5.2% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 14% | MDD -24.2%
Months 125M (54%)
MACDhist
neg
CAGR 6.7% | Win 62%
Sharpe 0.51 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -32.9%
Months 81M (35%)
CAGR 12.6% | Win 67%
Sharpe 0.83 | Sortino 0.90 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 27M (12%)
CAGR 8.1% | Win 63%
Sharpe 0.60 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -43.8%
Months 108M (46%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.3% | Win 55%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 13% | MDD -34.4%
Months 112M (48%)
CAGR 17.5% | Win 69%
Sharpe 1.58 | Sortino 2.26 | Calmar 3.3
Vol 11% | MDD -5.3%
Months 13M (6%)
CAGR 4.7% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -29.2%
Months 125M (54%)
RSIhist
neg
CAGR 9.1% | Win 63%
Sharpe 0.63 | Sortino 0.82 | Calmar 0.3
Vol 16% | MDD -33.9%
Months 92M (40%)
CAGR 6.7% | Win 62%
Sharpe 0.42 | Sortino 0.51 | Calmar 0.3
Vol 20% | MDD -20.2%
Months 16M (7%)
CAGR 8.7% | Win 63%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -43.8%
Months 108M (46%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.1
Vol 14% | MDD -40.8%
Months 204M (88%)
CAGR 11.4% | Win 66%
Sharpe 0.76 | Sortino 0.87 | Calmar 0.6
Vol 16% | MDD -20.2%
Months 29M (12%)