MBB - iShares MBS ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

23.4%

Best CAGR

65

Total Months

3.1%

Avg CAGR

MBB 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 MBB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 1 0.4 23.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.4 23.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 2 0.9 19.4 100.0 13.2 0.0 0.0 1.4 0.0
pair SLmean RSmean pos-neg 2 0.9 19.4 100.0 13.2 0.0 0.0 1.4 0.0
pair RSmean MRmean pos-neg 2 0.9 19.4 100.0 13.2 0.0 0.0 1.4 0.0
pair MRmean RSmean pos-neg 2 0.9 19.4 100.0 13.2 0.0 0.0 1.4 0.0
pair MACDhist RSmean neg-pos 1 0.4 15.6 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.4 15.6 100.0 0.0 0.0 0.0 - 0.0
pair RSI MRmean pos-neg 5 2.2 15.3 80.0 2.3 0.0 22.6 6.3 -0.7
pair MRmean RSI pos-neg 5 2.2 15.3 80.0 2.3 0.0 22.6 6.3 -0.7
pair RSIhist RSmean neg-pos 5 2.2 13.0 80.0 4.4 0.0 130.9 2.8 -0.1
pair RSmean RSIhist neg-pos 5 2.2 13.0 80.0 4.4 0.0 130.9 2.8 -0.1
pair SLmean RSIhist neg-pos 11 4.8 11.8 63.6 2.6 9.6 8.7 4.4 -1.4
pair RSIhist SLmean neg-pos 11 4.8 11.8 63.6 2.6 9.6 8.7 4.4 -1.4
pair SLmean MRmean pos-neg 15 6.6 10.9 73.3 2.6 22.3 31.3 4.0 -0.3
pair MRmean SLmean pos-neg 15 6.6 10.9 73.3 2.6 22.3 31.3 4.0 -0.3
pair RSI LWTI neg-pos 15 6.6 8.6 66.7 1.2 2.0 1.4 7.3 -6.0
pair LWTI RSI neg-pos 15 6.6 8.6 66.7 1.2 2.0 1.4 7.3 -6.0
pair RSI RSmean neg-neg 5 2.2 8.4 80.0 2.6 0.0 12.1 3.1 -0.7
pair RSmean RSI neg-neg 5 2.2 8.4 80.0 2.6 0.0 12.1 3.1 -0.7
pair SLmean MACD neg-neg 30 13.2 8.1 63.3 1.1 1.5 1.2 7.6 -6.5
pair MACD SLmean neg-neg 30 13.2 8.1 63.3 1.1 1.5 1.2 7.6 -6.5
pair RSmean MACD neg-neg 13 5.7 7.9 76.9 2.7 6.9 6.1 2.8 -1.3
pair MACD RSmean neg-neg 13 5.7 7.9 76.9 2.7 6.9 6.1 2.8 -1.3
pair RSIhist MACD neg-neg 25 11.0 7.5 68.0 0.9 1.3 1.0 7.9 -7.2
pair MACD RSIhist neg-neg 25 11.0 7.5 68.0 0.9 1.3 1.0 7.9 -7.2
single RSmean RSmean neg-neg 15 6.6 7.4 73.3 2.3 5.7 5.7 3.2 -1.3
pair RSmean RSI neg-pos 10 4.4 7.0 70.0 2.0 4.4 7.1 3.4 -1.0
pair RSI RSmean neg-pos 10 4.4 7.0 70.0 2.0 4.4 7.1 3.4 -1.0
pair RSmean MACDhist neg-neg 14 6.2 6.9 71.4 2.1 5.2 5.3 3.2 -1.3
pair MACDhist RSmean neg-neg 14 6.2 6.9 71.4 2.1 5.2 5.3 3.2 -1.3
pair MRmean MACD pos-neg 23 10.1 6.7 65.2 1.1 2.0 1.7 5.8 -3.9
pair MACD MRmean pos-neg 23 10.1 6.7 65.2 1.1 2.0 1.7 5.8 -3.9
pair MACD LWTI neg-pos 39 17.2 6.5 64.1 1.1 1.8 1.1 6.0 -6.0
pair LWTI MACD neg-pos 39 17.2 6.5 64.1 1.1 1.8 1.1 6.0 -6.0
pair RSmean LWTI neg-pos 14 6.2 6.4 71.4 2.0 4.9 4.9 3.1 -1.3
pair LWTI RSmean neg-pos 14 6.2 6.4 71.4 2.0 4.9 4.9 3.1 -1.3
pair MACD MACDhist neg-neg 41 18.1 5.9 63.4 0.8 1.2 0.6 7.3 -9.5
pair MACDhist MACD neg-neg 41 18.1 5.9 63.4 0.8 1.2 0.6 7.3 -9.5
pair SLmean RSmean neg-neg 13 5.7 5.7 69.2 1.8 4.4 4.4 3.1 -1.3
pair RSmean MRmean neg-neg 13 5.7 5.7 69.2 1.8 4.4 4.4 3.1 -1.3
pair MRmean RSmean neg-neg 13 5.7 5.7 69.2 1.8 4.4 4.4 3.1 -1.3
pair RSmean SLmean neg-neg 13 5.7 5.7 69.2 1.8 4.4 4.4 3.1 -1.3
pair MACD RSI neg-pos 26 11.5 5.4 65.4 1.1 1.6 1.1 5.0 -4.8
pair SLmean LWTI neg-pos 52 22.9 5.4 63.5 1.2 2.0 0.9 4.4 -6.0
pair LWTI SLmean neg-pos 52 22.9 5.4 63.5 1.2 2.0 0.9 4.4 -6.0
pair RSI MACD neg-pos 26 11.5 5.4 65.4 1.1 1.6 1.1 5.0 -4.8
pair MRmean RSIhist pos-neg 33 14.5 4.9 69.7 1.3 2.0 2.6 3.6 -1.9
pair RSIhist MRmean pos-neg 33 14.5 4.9 69.7 1.3 2.0 2.6 3.6 -1.9
pair MACDhist SLmean neg-pos 11 4.8 4.8 63.6 0.9 1.0 1.1 5.1 -4.4
pair RSmean RSIhist neg-neg 10 4.4 4.8 70.0 1.5 6.8 3.7 3.2 -1.3
pair RSIhist RSmean neg-neg 10 4.4 4.8 70.0 1.5 6.8 3.7 3.2 -1.3
pair SLmean MACDhist neg-pos 11 4.8 4.8 63.6 0.9 1.0 1.1 5.1 -4.4
pair RSmean MACD neg-pos 2 0.9 4.6 50.0 0.7 0.0 0.0 6.8 0.0
pair MACD RSmean neg-pos 2 0.9 4.6 50.0 0.7 0.0 0.0 6.8 0.0
single MACD MACD neg-neg 53 23.3 4.3 58.5 0.6 1.0 0.4 7.1 -10.3
pair MACDhist LWTI neg-pos 95 41.9 4.2 66.3 1.1 2.1 1.3 3.7 -3.2
pair LWTI MACDhist neg-pos 95 41.9 4.2 66.3 1.1 2.1 1.3 3.7 -3.2
pair MACDhist MRmean pos-neg 71 31.3 4.1 67.6 1.2 2.2 2.0 3.4 -2.1
pair MRmean MACDhist pos-neg 71 31.3 4.1 67.6 1.2 2.2 2.0 3.4 -2.1
pair LWTI RSIhist neg-pos 66 29.1 4.0 65.2 1.0 1.4 0.8 4.1 -5.2
pair RSIhist LWTI neg-pos 66 29.1 4.0 65.2 1.0 1.4 0.8 4.1 -5.2
pair LWTI MRmean pos-pos 149 65.6 4.0 72.5 1.2 1.5 1.0 3.3 -3.9
pair MRmean LWTI pos-pos 149 65.6 4.0 72.5 1.2 1.5 1.0 3.3 -3.9
pair MACDhist MACD pos-pos 83 36.6 3.9 75.9 1.4 1.5 1.3 2.7 -3.1
pair MACD MACDhist pos-pos 83 36.6 3.9 75.9 1.4 1.5 1.3 2.7 -3.1
single MRmean MRmean pos-pos 159 70.0 3.9 71.1 1.2 1.6 1.0 3.3 -3.9
single LWTI LWTI pos-pos 189 83.3 3.8 69.3 1.1 1.4 0.6 3.5 -6.6
pair SLmean RSI neg-pos 47 20.7 3.8 55.3 1.2 3.1 1.1 3.2 -3.4
pair RSI SLmean neg-pos 47 20.7 3.8 55.3 1.2 3.1 1.1 3.2 -3.4
pair RSmean MRmean pos-pos 157 69.2 3.7 70.7 1.1 1.5 0.9 3.3 -3.9
pair MRmean RSmean pos-pos 157 69.2 3.7 70.7 1.1 1.5 0.9 3.3 -3.9
pair MACDhist MRmean pos-pos 88 38.8 3.7 73.9 1.2 1.2 0.9 3.2 -3.9
pair MRmean MACDhist pos-pos 88 38.8 3.7 73.9 1.2 1.2 0.9 3.2 -3.9
pair RSIhist LWTI pos-pos 123 54.2 3.7 71.5 1.1 1.4 0.9 3.2 -3.9
pair LWTI RSIhist pos-pos 123 54.2 3.7 71.5 1.1 1.4 0.9 3.2 -3.9
pair RSI MACDhist pos-pos 88 38.8 3.6 73.9 1.1 1.2 0.8 3.2 -4.8
pair MACDhist RSI pos-pos 88 38.8 3.6 73.9 1.1 1.2 0.8 3.2 -4.8
pair RSmean LWTI pos-pos 175 77.1 3.6 69.1 1.0 1.3 0.6 3.6 -6.6
pair LWTI RSmean pos-pos 175 77.1 3.6 69.1 1.0 1.3 0.6 3.6 -6.6
pair RSIhist MACD pos-pos 109 48.0 3.6 73.4 1.4 1.7 1.2 2.6 -3.1
pair MACD RSIhist pos-pos 109 48.0 3.6 73.4 1.4 1.7 1.2 2.6 -3.1
pair RSIhist MRmean pos-pos 126 55.5 3.6 71.4 1.1 1.4 0.9 3.2 -3.9
pair MRmean RSIhist pos-pos 126 55.5 3.6 71.4 1.1 1.4 0.9 3.2 -3.9
pair MACDhist RSIhist pos-pos 82 36.1 3.5 72.0 1.1 1.2 0.7 3.1 -5.2
pair RSIhist MACDhist pos-pos 82 36.1 3.5 72.0 1.1 1.2 0.7 3.1 -5.2
pair MRmean RSI pos-pos 154 67.8 3.5 70.8 1.1 1.4 0.6 3.1 -5.9
single SLmean SLmean neg-neg 76 33.5 3.5 55.3 0.7 0.9 0.3 5.5 -12.4
pair RSI MRmean pos-pos 154 67.8 3.5 70.8 1.1 1.4 0.6 3.1 -5.9
pair MACDhist LWTI pos-pos 94 41.4 3.4 72.3 1.0 1.0 0.4 3.4 -7.7
pair MACD MRmean pos-pos 136 59.9 3.4 72.1 1.3 1.5 1.0 2.6 -3.3
pair MRmean MACD pos-pos 136 59.9 3.4 72.1 1.3 1.5 1.0 2.6 -3.3
pair LWTI RSI pos-pos 174 76.7 3.4 69.5 1.1 1.4 0.6 3.0 -5.3
pair LWTI MACDhist pos-pos 94 41.4 3.4 72.3 1.0 1.0 0.4 3.4 -7.7
pair RSI LWTI pos-pos 174 76.7 3.4 69.5 1.1 1.4 0.6 3.0 -5.3
pair RSIhist RSI pos-pos 124 54.6 3.3 71.0 1.1 1.3 0.6 3.0 -5.6
single MACDhist MACDhist pos-pos 95 41.9 3.3 71.6 1.0 1.0 0.4 3.4 -8.2
pair RSI RSIhist pos-pos 124 54.6 3.3 71.0 1.1 1.3 0.6 3.0 -5.6
pair RSI MACD neg-neg 27 11.9 3.3 51.9 0.4 0.7 0.3 8.7 -10.3
pair MACD RSI neg-neg 27 11.9 3.3 51.9 0.4 0.7 0.3 8.7 -10.3
pair MACDhist SLmean neg-neg 65 28.6 3.3 53.8 0.6 0.9 0.3 5.7 -12.4
pair SLmean MACDhist neg-neg 65 28.6 3.3 53.8 0.6 0.9 0.3 5.7 -12.4
pair LWTI SLmean pos-pos 137 60.4 3.2 71.5 1.0 1.2 0.7 3.2 -4.8
pair SLmean LWTI pos-pos 137 60.4 3.2 71.5 1.0 1.2 0.7 3.2 -4.8
pair SLmean MRmean pos-pos 144 63.4 3.2 70.8 1.0 1.2 0.7 3.1 -4.8
single RSIhist RSIhist pos-pos 137 60.4 3.2 68.6 0.9 1.1 0.6 3.6 -5.2
pair MRmean SLmean pos-pos 144 63.4 3.2 70.8 1.0 1.2 0.7 3.1 -4.8
pair SLmean MACDhist pos-pos 84 37.0 3.1 72.6 1.0 1.0 0.6 3.1 -4.8
pair MACD RSmean pos-neg 40 17.6 3.1 52.5 0.4 0.7 0.3 8.0 -10.3
pair MACDhist SLmean pos-pos 84 37.0 3.1 72.6 1.0 1.0 0.6 3.1 -4.8
pair RSmean MACDhist pos-pos 94 41.4 3.1 71.3 0.9 1.0 0.4 3.4 -8.2
pair MACD LWTI pos-pos 150 66.1 3.1 70.7 1.2 1.5 1.0 2.5 -3.1
pair MACDhist RSmean pos-pos 94 41.4 3.1 71.3 0.9 1.0 0.4 3.4 -8.2
pair RSmean MACD pos-neg 40 17.6 3.1 52.5 0.4 0.7 0.3 8.0 -10.3
pair LWTI MACD pos-pos 150 66.1 3.1 70.7 1.2 1.5 1.0 2.5 -3.1
pair RSI SLmean neg-neg 29 12.8 3.0 55.2 0.4 0.7 0.3 8.1 -10.3
pair SLmean RSmean neg-pos 63 27.8 3.0 52.4 0.5 0.8 0.2 5.9 -12.4
pair RSmean SLmean neg-pos 63 27.8 3.0 52.4 0.5 0.8 0.2 5.9 -12.4
pair SLmean RSI neg-neg 29 12.8 3.0 55.2 0.4 0.7 0.3 8.1 -10.3
pair MACD SLmean pos-pos 128 56.4 3.0 71.9 1.1 1.3 0.7 2.6 -4.5
pair LWTI MRmean neg-pos 40 17.6 3.0 57.5 0.7 1.1 0.5 4.3 -6.0
pair MRmean LWTI neg-pos 40 17.6 3.0 57.5 0.7 1.1 0.5 4.3 -6.0
pair SLmean MACD pos-pos 128 56.4 3.0 71.9 1.1 1.3 0.7 2.6 -4.5
single RSI RSI pos-pos 191 84.1 3.0 66.5 1.0 1.4 0.4 3.0 -7.6
pair RSIhist RSmean pos-pos 132 58.1 2.9 68.2 0.8 0.9 0.6 3.6 -5.2
pair RSmean RSIhist pos-pos 132 58.1 2.9 68.2 0.8 0.9 0.6 3.6 -5.2
pair RSI RSmean pos-pos 181 79.7 2.8 66.3 0.9 1.2 0.4 3.0 -7.6
pair RSmean RSI pos-pos 181 79.7 2.8 66.3 0.9 1.2 0.4 3.0 -7.6
pair RSIhist MACDhist neg-pos 55 24.2 2.8 63.6 0.7 0.9 0.6 4.3 -5.2
pair MACDhist RSIhist neg-pos 55 24.2 2.8 63.6 0.7 0.9 0.6 4.3 -5.2
pair benchmark___benchmark_ benchmark-benchmark 227 100.0 2.8 64.3 0.7 0.8 0.2 4.2 -16.8
pair benchmark___benchmark_ benchmark-benchmark 227 100.0 2.8 64.3 0.7 0.8 0.2 4.2 -16.8
pair RSI SLmean pos-pos 144 63.4 2.7 70.1 0.9 1.1 0.5 2.9 -5.6
pair SLmean RSI pos-pos 144 63.4 2.7 70.1 0.9 1.1 0.5 2.9 -5.6
pair RSI RSIhist neg-pos 13 5.7 2.6 46.2 0.4 0.6 0.9 7.6 -2.7
pair RSIhist RSI neg-pos 13 5.7 2.6 46.2 0.4 0.6 0.9 7.6 -2.7
pair MACD RSI pos-pos 165 72.7 2.6 66.7 1.0 1.3 0.5 2.5 -5.0
pair RSI MACD pos-pos 165 72.7 2.6 66.7 1.0 1.3 0.5 2.5 -5.0
single RSmean RSmean pos-pos 212 93.4 2.5 63.7 0.6 0.7 0.1 4.3 -16.8
pair RSI RSIhist pos-neg 67 29.5 2.5 58.2 0.8 1.5 0.7 3.0 -3.6
pair RSIhist RSI pos-neg 67 29.5 2.5 58.2 0.8 1.5 0.7 3.0 -3.6
pair MACDhist RSI pos-neg 103 45.4 2.5 60.2 0.9 1.6 0.7 2.9 -3.7
pair RSI MACDhist pos-neg 103 45.4 2.5 60.2 0.9 1.6 0.7 2.9 -3.7
pair RSIhist SLmean pos-pos 126 55.5 2.5 69.0 0.7 0.8 0.3 3.5 -8.7
pair MACD MRmean neg-neg 30 13.2 2.5 53.3 0.3 0.5 0.2 7.9 -10.1
pair MRmean MACD neg-neg 30 13.2 2.5 53.3 0.3 0.5 0.2 7.9 -10.1
pair SLmean RSIhist pos-pos 126 55.5 2.5 69.0 0.7 0.8 0.3 3.5 -8.7
single MACDhist MACDhist neg-neg 132 58.1 2.4 59.1 0.5 0.7 0.1 4.7 -16.0
single SLmean SLmean pos-pos 151 66.5 2.4 68.9 0.7 0.8 0.3 3.4 -8.7
pair RSmean MACD pos-pos 172 75.8 2.3 66.3 0.8 0.9 0.2 2.8 -11.7
pair RSI MACDhist neg-neg 29 12.8 2.3 55.2 0.3 0.5 0.2 8.7 -13.4
single MACD MACD pos-pos 174 76.7 2.3 66.1 0.8 0.9 0.2 2.9 -11.7
pair MACD RSmean pos-pos 172 75.8 2.3 66.3 0.8 0.9 0.2 2.8 -11.7
pair MACDhist RSI neg-neg 29 12.8 2.3 55.2 0.3 0.5 0.2 8.7 -13.4
pair RSmean SLmean pos-pos 149 65.6 2.2 68.5 0.7 0.8 0.3 3.4 -8.7
pair SLmean RSmean pos-pos 149 65.6 2.2 68.5 0.7 0.8 0.3 3.4 -8.7
single RSIhist RSIhist neg-neg 90 39.6 2.2 57.8 0.5 0.6 0.2 5.0 -13.4
pair MACDhist RSIhist neg-neg 77 33.9 2.2 55.8 0.5 0.6 0.2 5.1 -12.4
pair RSIhist MACDhist neg-neg 77 33.9 2.2 55.8 0.5 0.6 0.2 5.1 -12.4
pair SLmean RSIhist pos-neg 25 11.0 2.2 68.0 0.8 0.8 0.7 2.9 -3.1
pair RSIhist SLmean pos-neg 25 11.0 2.2 68.0 0.8 0.8 0.7 2.9 -3.1
pair RSIhist SLmean neg-neg 65 28.6 2.1 53.8 0.4 0.6 0.2 5.7 -13.4
pair SLmean RSIhist neg-neg 65 28.6 2.1 53.8 0.4 0.6 0.2 5.7 -13.4
pair RSIhist MACDhist pos-neg 13 5.7 2.0 69.2 0.4 0.4 0.4 4.7 -4.9
pair MACDhist RSIhist pos-neg 13 5.7 2.0 69.2 0.4 0.4 0.4 4.7 -4.9
pair MACDhist RSmean pos-neg 118 52.0 1.9 57.6 0.4 0.6 0.1 4.9 -16.1
pair RSmean MACDhist pos-neg 118 52.0 1.9 57.6 0.4 0.6 0.1 4.9 -16.1
pair RSIhist RSmean pos-neg 80 35.2 1.8 56.2 0.4 0.5 0.1 5.2 -13.4
pair SLmean MRmean neg-neg 61 26.9 1.8 50.8 0.3 0.5 0.1 5.8 -12.1
pair MRmean SLmean neg-neg 61 26.9 1.8 50.8 0.3 0.5 0.1 5.8 -12.1
pair RSmean RSIhist pos-neg 80 35.2 1.8 56.2 0.4 0.5 0.1 5.2 -13.4
pair MACDhist SLmean pos-neg 67 29.5 1.7 64.2 0.5 0.6 0.2 3.7 -8.0
pair SLmean MACDhist pos-neg 67 29.5 1.7 64.2 0.5 0.6 0.2 3.7 -8.0
single RSI RSI neg-neg 36 15.9 1.7 52.8 0.2 0.4 0.1 8.2 -14.3
pair LWTI MRmean pos-neg 10 4.4 1.6 50.0 0.6 2.9 2.2 2.6 -0.7
pair MRmean LWTI pos-neg 10 4.4 1.6 50.0 0.6 2.9 2.2 2.6 -0.7
pair RSIhist MACD neg-pos 28 12.3 1.5 50.0 0.3 0.4 0.3 6.2 -5.1
pair MACD RSIhist neg-pos 28 12.3 1.5 50.0 0.3 0.4 0.3 6.2 -5.1
pair RSI RSIhist neg-neg 23 10.1 1.1 56.5 0.2 0.3 0.1 8.6 -11.3
pair RSIhist RSI neg-neg 23 10.1 1.1 56.5 0.2 0.3 0.1 8.6 -11.3
pair MACDhist MACD pos-neg 91 40.1 0.9 57.1 0.3 0.4 0.1 3.0 -9.7
pair MACD MACDhist pos-neg 91 40.1 0.9 57.1 0.3 0.4 0.1 3.0 -9.7
pair RSI MRmean neg-pos 37 16.3 0.9 48.6 0.4 0.7 0.3 2.3 -3.0
pair MRmean RSI neg-pos 37 16.3 0.9 48.6 0.4 0.7 0.3 2.3 -3.0
pair RSI RSmean pos-neg 31 13.7 0.6 48.4 0.1 0.2 0.0 8.7 -14.3
pair RSmean RSI pos-neg 31 13.7 0.6 48.4 0.1 0.2 0.0 8.7 -14.3
pair RSIhist MRmean neg-neg 57 25.1 0.6 50.9 0.1 0.2 0.0 5.7 -13.1
pair MRmean RSIhist neg-neg 57 25.1 0.6 50.9 0.1 0.2 0.0 5.7 -13.1
pair SLmean MACD neg-pos 46 20.3 0.6 50.0 0.2 0.2 0.1 3.5 -9.2
pair MACD SLmean neg-pos 46 20.3 0.6 50.0 0.2 0.2 0.1 3.5 -9.2
pair MRmean MACDhist neg-neg 61 26.9 0.6 49.2 0.1 0.2 0.0 5.9 -15.2
pair MACDhist MRmean neg-neg 61 26.9 0.6 49.2 0.1 0.2 0.0 5.9 -15.2
single MRmean MRmean neg-neg 68 30.0 0.3 48.5 0.1 0.1 0.0 5.8 -15.8
pair MACD RSIhist pos-neg 65 28.6 0.2 53.8 0.1 0.1 0.0 3.2 -9.2
pair RSIhist MACD pos-neg 65 28.6 0.2 53.8 0.1 0.1 0.0 3.2 -9.2
pair MRmean RSI neg-neg 31 13.7 -0.4 48.4 -0.0 -0.0 -0.0 8.4 -14.0
pair RSI MRmean neg-neg 31 13.7 -0.4 48.4 -0.0 -0.0 -0.0 8.4 -14.0
pair MACD SLmean pos-neg 23 10.1 -0.5 52.2 -0.0 -0.1 -0.1 6.2 -7.9
pair SLmean MACD pos-neg 23 10.1 -0.5 52.2 -0.0 -0.1 -0.1 6.2 -7.9
pair LWTI SLmean neg-neg 24 10.6 -0.6 37.5 -0.0 -0.1 -0.1 7.5 -12.4
pair SLmean LWTI neg-neg 24 10.6 -0.6 37.5 -0.0 -0.1 -0.1 7.5 -12.4
pair MACDhist RSI neg-pos 7 3.1 -0.8 42.9 -0.1 -0.1 -0.2 5.7 -4.0
pair RSI MACDhist neg-pos 7 3.1 -0.8 42.9 -0.1 -0.1 -0.2 5.7 -4.0
pair LWTI RSIhist pos-neg 14 6.2 -0.9 42.9 -0.1 -0.2 -0.2 6.2 -4.3
pair RSIhist LWTI pos-neg 14 6.2 -0.9 42.9 -0.1 -0.2 -0.2 6.2 -4.3
pair RSI LWTI pos-neg 17 7.5 -0.9 35.3 -0.3 -0.7 -0.4 2.6 -2.4
pair LWTI RSI pos-neg 17 7.5 -0.9 35.3 -0.3 -0.7 -0.4 2.6 -2.4
pair RSmean MRmean neg-pos 55 24.2 -0.9 43.6 -0.1 -0.2 -0.1 6.3 -15.8
pair MRmean RSmean neg-pos 55 24.2 -0.9 43.6 -0.1 -0.2 -0.1 6.3 -15.8
pair MACD MACDhist neg-pos 12 5.3 -1.0 41.7 -0.1 -0.2 -0.1 6.4 -7.7
pair MACDhist MACD neg-pos 12 5.3 -1.0 41.7 -0.1 -0.2 -0.1 6.4 -7.7
pair MRmean RSIhist neg-pos 11 4.8 -1.1 36.4 -0.1 -0.2 -0.3 7.0 -4.3
pair RSIhist MRmean neg-pos 11 4.8 -1.1 36.4 -0.1 -0.2 -0.3 7.0 -4.3
pair MRmean MACD neg-pos 38 16.7 -1.4 44.7 -0.4 -0.5 -0.2 3.4 -8.9
pair MACD MRmean neg-pos 38 16.7 -1.4 44.7 -0.4 -0.5 -0.2 3.4 -8.9
pair MACD LWTI neg-neg 14 6.2 -1.6 42.9 -0.1 -0.2 -0.2 9.4 -9.5
pair LWTI MACD neg-neg 14 6.2 -1.6 42.9 -0.1 -0.2 -0.2 9.4 -9.5
pair MACDhist MRmean neg-pos 7 3.1 -1.9 42.9 -0.3 -0.4 -0.4 5.5 -4.4
pair MRmean MACDhist neg-pos 7 3.1 -1.9 42.9 -0.3 -0.4 -0.4 5.5 -4.4
pair LWTI MACDhist neg-neg 37 16.3 -2.0 40.5 -0.3 -0.4 -0.1 6.6 -15.5
pair MACDhist LWTI neg-neg 37 16.3 -2.0 40.5 -0.3 -0.4 -0.1 6.6 -15.5
single LWTI LWTI neg-neg 38 16.7 -2.1 39.5 -0.3 -0.4 -0.1 6.6 -15.5
pair MACD LWTI pos-neg 24 10.6 -2.3 37.5 -0.5 -0.7 -0.2 4.3 -9.2
pair LWTI MACD pos-neg 24 10.6 -2.3 37.5 -0.5 -0.7 -0.2 4.3 -9.2
pair LWTI RSmean pos-neg 37 16.3 -2.7 37.8 -0.4 -0.6 -0.2 6.6 -15.7
pair RSmean LWTI pos-neg 37 16.3 -2.7 37.8 -0.4 -0.6 -0.2 6.6 -15.7
pair LWTI RSIhist neg-neg 24 10.6 -2.7 37.5 -0.4 -0.5 -0.2 6.9 -12.4
pair RSIhist LWTI neg-neg 24 10.6 -2.7 37.5 -0.4 -0.5 -0.2 6.9 -12.4
pair MACD RSI pos-neg 9 4.0 -3.0 55.6 -0.5 -0.6 -0.4 6.5 -7.0
pair RSI MACD pos-neg 9 4.0 -3.0 55.6 -0.5 -0.6 -0.4 6.5 -7.0
pair RSI LWTI neg-neg 21 9.3 -3.0 42.9 -0.3 -0.5 -0.2 8.6 -13.4
pair LWTI RSI neg-neg 21 9.3 -3.0 42.9 -0.3 -0.5 -0.2 8.6 -13.4
pair MRmean LWTI neg-neg 28 12.3 -3.4 35.7 -0.4 -0.7 -0.2 7.5 -15.2
pair LWTI MRmean neg-neg 28 12.3 -3.4 35.7 -0.4 -0.7 -0.2 7.5 -15.2
pair RSI SLmean pos-neg 7 3.1 -3.7 42.9 -0.4 -0.7 -1.0 8.9 -3.8
pair SLmean RSI pos-neg 7 3.1 -3.7 42.9 -0.4 -0.7 -1.0 8.9 -3.8
pair LWTI SLmean pos-neg 14 6.2 -4.6 42.9 -1.0 -1.1 -0.6 4.8 -7.2
pair SLmean LWTI pos-neg 14 6.2 -4.6 42.9 -1.0 -1.1 -0.6 4.8 -7.2
pair LWTI MACDhist pos-neg 1 0.4 -5.5 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.4 -5.5 0.0 0.0 0.0 0.0 - 0.0
pair SLmean MRmean neg-pos 7 3.1 -11.5 28.6 -2.2 -2.3 -1.6 5.4 -7.4
pair MRmean SLmean neg-pos 7 3.1 -11.5 28.6 -2.2 -2.3 -1.6 5.4 -7.4

All Contingency Tables for MBB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 71%
Sharpe 1.01 | Sortino 1.25 | Calmar 0.7
Vol 3% | MDD -4.8%
Months 144M (63%)
CAGR 10.9% | Win 73%
Sharpe 2.63 | Sortino 22.27 | Calmar 31.3
Vol 4% | MDD -0.3%
Months 15M (7%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR -11.5% | Win 29%
Sharpe -2.23 | Sortino -2.28 | Calmar -1.5
Vol 5% | MDD -7.4%
Months 7M (3%)
CAGR 1.8% | Win 51%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 6% | MDD -12.1%
Months 61M (27%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
SLmean
only
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 71%
Sharpe 1.13 | Sortino 1.49 | Calmar 0.9
Vol 3% | MDD -3.9%
Months 157M (69%)
CAGR 19.4% | Win 100%
Sharpe 13.21 | Sortino 0.00 | Calmar 0.0
Vol 1% | MDD 0.0%
Months 2M (1%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR -0.9% | Win 44%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 6% | MDD -15.8%
Months 55M (24%)
CAGR 5.7% | Win 69%
Sharpe 1.80 | Sortino 4.38 | Calmar 4.4
Vol 3% | MDD -1.3%
Months 13M (6%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
RSmean
only
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 72%
Sharpe 1.29 | Sortino 1.54 | Calmar 1.0
Vol 3% | MDD -3.3%
Months 136M (60%)
CAGR 6.7% | Win 65%
Sharpe 1.13 | Sortino 1.99 | Calmar 1.7
Vol 6% | MDD -3.9%
Months 23M (10%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR -1.4% | Win 45%
Sharpe -0.39 | Sortino -0.45 | Calmar -0.2
Vol 3% | MDD -8.9%
Months 38M (17%)
CAGR 2.5% | Win 53%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.2
Vol 8% | MDD -10.1%
Months 30M (13%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
MACD
only
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.5% | Win 71%
Sharpe 1.12 | Sortino 1.40 | Calmar 0.6
Vol 3% | MDD -5.9%
Months 154M (68%)
CAGR 15.3% | Win 80%
Sharpe 2.30 | Sortino 0.00 | Calmar 22.6
Vol 6% | MDD -0.7%
Months 5M (2%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR 0.9% | Win 49%
Sharpe 0.40 | Sortino 0.72 | Calmar 0.3
Vol 2% | MDD -3.0%
Months 37M (16%)
CAGR -0.4% | Win 48%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 8% | MDD -14.0%
Months 31M (14%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
RSI
only
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 74%
Sharpe 1.16 | Sortino 1.23 | Calmar 0.9
Vol 3% | MDD -3.9%
Months 88M (39%)
CAGR 4.1% | Win 68%
Sharpe 1.19 | Sortino 2.21 | Calmar 2.0
Vol 3% | MDD -2.1%
Months 71M (31%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR -1.9% | Win 43%
Sharpe -0.33 | Sortino -0.39 | Calmar -0.4
Vol 6% | MDD -4.4%
Months 7M (3%)
CAGR 0.6% | Win 49%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 6% | MDD -15.2%
Months 61M (27%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
MACDhist
only
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.6% | Win 71%
Sharpe 1.12 | Sortino 1.42 | Calmar 0.9
Vol 3% | MDD -3.9%
Months 126M (56%)
CAGR 4.9% | Win 70%
Sharpe 1.34 | Sortino 2.02 | Calmar 2.6
Vol 4% | MDD -1.9%
Months 33M (14%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR -1.1% | Win 36%
Sharpe -0.13 | Sortino -0.19 | Calmar -0.3
Vol 7% | MDD -4.3%
Months 11M (5%)
CAGR 0.6% | Win 51%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 6% | MDD -13.1%
Months 57M (25%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.0% | Win 72%
Sharpe 1.21 | Sortino 1.53 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 149M (66%)
CAGR 1.6% | Win 50%
Sharpe 0.63 | Sortino 2.93 | Calmar 2.2
Vol 3% | MDD -0.7%
Months 10M (4%)
CAGR 3.9% | Win 71%
Sharpe 1.18 | Sortino 1.56 | Calmar 1.0
Vol 3% | MDD -3.9%
Months 159M (70%)
MRmean
neg
CAGR 3.0% | Win 57%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 40M (18%)
CAGR -3.4% | Win 36%
Sharpe -0.42 | Sortino -0.65 | Calmar -0.2
Vol 8% | MDD -15.2%
Months 28M (12%)
CAGR 0.3% | Win 48%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 6% | MDD -15.8%
Months 68M (30%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.2% | Win 68%
Sharpe 0.67 | Sortino 0.75 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 149M (66%)
CAGR 19.4% | Win 100%
Sharpe 13.21 | Sortino 0.00 | Calmar 0.0
Vol 1% | MDD 0.0%
Months 2M (1%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 3.0% | Win 52%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 6% | MDD -12.4%
Months 63M (28%)
CAGR 5.7% | Win 69%
Sharpe 1.80 | Sortino 4.38 | Calmar 4.4
Vol 3% | MDD -1.3%
Months 13M (6%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
RSmean
only
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.0% | Win 72%
Sharpe 1.14 | Sortino 1.32 | Calmar 0.7
Vol 3% | MDD -4.5%
Months 128M (56%)
CAGR -0.5% | Win 52%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 6% | MDD -7.9%
Months 23M (10%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 0.6% | Win 50%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.1
Vol 4% | MDD -9.2%
Months 46M (20%)
CAGR 8.1% | Win 63%
Sharpe 1.06 | Sortino 1.54 | Calmar 1.3
Vol 8% | MDD -6.5%
Months 30M (13%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
MACD
only
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 2.7% | Win 70%
Sharpe 0.94 | Sortino 1.09 | Calmar 0.5
Vol 3% | MDD -5.6%
Months 144M (63%)
CAGR -3.7% | Win 43%
Sharpe -0.38 | Sortino -0.69 | Calmar -1.0
Vol 9% | MDD -3.8%
Months 7M (3%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 3.8% | Win 55%
Sharpe 1.18 | Sortino 3.07 | Calmar 1.1
Vol 3% | MDD -3.4%
Months 47M (21%)
CAGR 3.0% | Win 55%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.3
Vol 8% | MDD -10.3%
Months 29M (13%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
RSI
only
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 73%
Sharpe 0.98 | Sortino 1.03 | Calmar 0.6
Vol 3% | MDD -4.8%
Months 84M (37%)
CAGR 1.7% | Win 64%
Sharpe 0.47 | Sortino 0.56 | Calmar 0.2
Vol 4% | MDD -8.0%
Months 67M (30%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 4.8% | Win 64%
Sharpe 0.95 | Sortino 1.03 | Calmar 1.1
Vol 5% | MDD -4.4%
Months 11M (5%)
CAGR 3.3% | Win 54%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 65M (29%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
MACDhist
only
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.5% | Win 69%
Sharpe 0.72 | Sortino 0.81 | Calmar 0.3
Vol 4% | MDD -8.7%
Months 126M (56%)
CAGR 2.2% | Win 68%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.7
Vol 3% | MDD -3.1%
Months 25M (11%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 11.8% | Win 64%
Sharpe 2.56 | Sortino 9.59 | Calmar 8.7
Vol 4% | MDD -1.4%
Months 11M (5%)
CAGR 2.1% | Win 54%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.2
Vol 6% | MDD -13.4%
Months 65M (29%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 72%
Sharpe 1.01 | Sortino 1.20 | Calmar 0.7
Vol 3% | MDD -4.8%
Months 137M (60%)
CAGR -4.6% | Win 43%
Sharpe -0.96 | Sortino -1.09 | Calmar -0.6
Vol 5% | MDD -7.2%
Months 14M (6%)
CAGR 2.4% | Win 69%
Sharpe 0.73 | Sortino 0.82 | Calmar 0.3
Vol 3% | MDD -8.7%
Months 151M (66%)
SLmean
neg
CAGR 5.4% | Win 64%
Sharpe 1.23 | Sortino 1.98 | Calmar 0.9
Vol 4% | MDD -6.0%
Months 52M (23%)
CAGR -0.6% | Win 38%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 8% | MDD -12.4%
Months 24M (11%)
CAGR 3.5% | Win 55%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.3
Vol 6% | MDD -12.4%
Months 76M (34%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.92 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 172M (76%)
CAGR 3.1% | Win 52%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.3
Vol 8% | MDD -10.3%
Months 40M (18%)
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
RSmean
neg
CAGR 4.6% | Win 50%
Sharpe 0.69 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 7.9% | Win 77%
Sharpe 2.74 | Sortino 6.89 | Calmar 6.1
Vol 3% | MDD -1.3%
Months 13M (6%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
MACD
only
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 66%
Sharpe 0.94 | Sortino 1.24 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 181M (80%)
CAGR 0.6% | Win 48%
Sharpe 0.11 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -14.3%
Months 31M (14%)
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
RSmean
neg
CAGR 7.0% | Win 70%
Sharpe 2.03 | Sortino 4.41 | Calmar 7.1
Vol 3% | MDD -1.0%
Months 10M (4%)
CAGR 8.4% | Win 80%
Sharpe 2.60 | Sortino 0.00 | Calmar 12.1
Vol 3% | MDD -0.7%
Months 5M (2%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
RSI
only
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.1% | Win 71%
Sharpe 0.93 | Sortino 0.98 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 94M (41%)
CAGR 1.9% | Win 58%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.1
Vol 5% | MDD -16.1%
Months 118M (52%)
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
RSmean
neg
CAGR 15.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 6.9% | Win 71%
Sharpe 2.08 | Sortino 5.25 | Calmar 5.3
Vol 3% | MDD -1.3%
Months 14M (6%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
MACDhist
only
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.9% | Win 68%
Sharpe 0.80 | Sortino 0.95 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 132M (58%)
CAGR 1.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.1
Vol 5% | MDD -13.4%
Months 80M (35%)
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
RSmean
neg
CAGR 13.0% | Win 80%
Sharpe 4.40 | Sortino 0.00 | Calmar 130.9
Vol 3% | MDD -0.1%
Months 5M (2%)
CAGR 4.8% | Win 70%
Sharpe 1.47 | Sortino 6.82 | Calmar 3.7
Vol 3% | MDD -1.3%
Months 10M (4%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 69%
Sharpe 1.00 | Sortino 1.31 | Calmar 0.5
Vol 4% | MDD -6.6%
Months 175M (77%)
CAGR -2.7% | Win 38%
Sharpe -0.38 | Sortino -0.55 | Calmar -0.2
Vol 7% | MDD -15.7%
Months 37M (16%)
CAGR 2.5% | Win 64%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.1
Vol 4% | MDD -16.8%
Months 212M (93%)
RSmean
neg
CAGR 6.4% | Win 71%
Sharpe 2.03 | Sortino 4.88 | Calmar 4.9
Vol 3% | MDD -1.3%
Months 14M (6%)
CAGR 23.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 7.4% | Win 73%
Sharpe 2.29 | Sortino 5.65 | Calmar 5.7
Vol 3% | MDD -1.3%
Months 15M (7%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.6% | Win 67%
Sharpe 1.03 | Sortino 1.34 | Calmar 0.5
Vol 2% | MDD -5.0%
Months 165M (73%)
CAGR -3.0% | Win 56%
Sharpe -0.45 | Sortino -0.64 | Calmar -0.4
Vol 6% | MDD -7.0%
Months 9M (4%)
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
MACD
neg
CAGR 5.4% | Win 65%
Sharpe 1.07 | Sortino 1.62 | Calmar 1.1
Vol 5% | MDD -4.8%
Months 26M (12%)
CAGR 3.3% | Win 52%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.3
Vol 9% | MDD -10.3%
Months 27M (12%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
RSI
only
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 76%
Sharpe 1.42 | Sortino 1.50 | Calmar 1.3
Vol 3% | MDD -3.1%
Months 83M (37%)
CAGR 0.9% | Win 57%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 3% | MDD -9.7%
Months 91M (40%)
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
MACD
neg
CAGR -1.0% | Win 42%
Sharpe -0.13 | Sortino -0.20 | Calmar -0.1
Vol 6% | MDD -7.7%
Months 12M (5%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.23 | Calmar 0.6
Vol 7% | MDD -9.5%
Months 41M (18%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
MACDhist
only
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 3.6% | Win 73%
Sharpe 1.39 | Sortino 1.69 | Calmar 1.2
Vol 3% | MDD -3.1%
Months 109M (48%)
CAGR 0.2% | Win 54%
Sharpe 0.07 | Sortino 0.08 | Calmar 0.0
Vol 3% | MDD -9.2%
Months 65M (29%)
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
MACD
neg
CAGR 1.5% | Win 50%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.3
Vol 6% | MDD -5.1%
Months 28M (12%)
CAGR 7.5% | Win 68%
Sharpe 0.95 | Sortino 1.34 | Calmar 1.0
Vol 8% | MDD -7.2%
Months 25M (11%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 71%
Sharpe 1.23 | Sortino 1.46 | Calmar 1.0
Vol 2% | MDD -3.1%
Months 150M (66%)
CAGR -2.3% | Win 38%
Sharpe -0.52 | Sortino -0.69 | Calmar -0.3
Vol 4% | MDD -9.2%
Months 24M (11%)
CAGR 2.3% | Win 66%
Sharpe 0.82 | Sortino 0.94 | Calmar 0.2
Vol 3% | MDD -11.7%
Months 174M (77%)
MACD
neg
CAGR 6.5% | Win 64%
Sharpe 1.08 | Sortino 1.81 | Calmar 1.1
Vol 6% | MDD -6.0%
Months 39M (17%)
CAGR -1.6% | Win 43%
Sharpe -0.13 | Sortino -0.21 | Calmar -0.2
Vol 9% | MDD -9.5%
Months 14M (6%)
CAGR 4.3% | Win 58%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.4
Vol 7% | MDD -10.3%
Months 53M (23%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.6% | Win 74%
Sharpe 1.14 | Sortino 1.20 | Calmar 0.8
Vol 3% | MDD -4.8%
Months 88M (39%)
CAGR 2.5% | Win 60%
Sharpe 0.88 | Sortino 1.55 | Calmar 0.7
Vol 3% | MDD -3.7%
Months 103M (45%)
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
RSI
neg
CAGR -0.8% | Win 43%
Sharpe -0.12 | Sortino -0.15 | Calmar -0.2
Vol 6% | MDD -4.0%
Months 7M (3%)
CAGR 2.3% | Win 55%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.2
Vol 9% | MDD -13.4%
Months 29M (13%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
MACDhist
only
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.3% | Win 71%
Sharpe 1.10 | Sortino 1.29 | Calmar 0.6
Vol 3% | MDD -5.6%
Months 124M (55%)
CAGR 2.5% | Win 58%
Sharpe 0.83 | Sortino 1.46 | Calmar 0.7
Vol 3% | MDD -3.6%
Months 67M (30%)
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
RSI
neg
CAGR 2.6% | Win 46%
Sharpe 0.37 | Sortino 0.62 | Calmar 0.9
Vol 8% | MDD -2.7%
Months 13M (6%)
CAGR 1.1% | Win 56%
Sharpe 0.17 | Sortino 0.30 | Calmar 0.1
Vol 9% | MDD -11.3%
Months 23M (10%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.4% | Win 70%
Sharpe 1.12 | Sortino 1.42 | Calmar 0.6
Vol 3% | MDD -5.3%
Months 174M (77%)
CAGR -0.9% | Win 35%
Sharpe -0.32 | Sortino -0.68 | Calmar -0.4
Vol 3% | MDD -2.4%
Months 17M (8%)
CAGR 3.0% | Win 66%
Sharpe 1.00 | Sortino 1.35 | Calmar 0.4
Vol 3% | MDD -7.6%
Months 191M (84%)
RSI
neg
CAGR 8.6% | Win 67%
Sharpe 1.16 | Sortino 2.01 | Calmar 1.4
Vol 7% | MDD -6.0%
Months 15M (7%)
CAGR -3.0% | Win 43%
Sharpe -0.32 | Sortino -0.53 | Calmar -0.2
Vol 9% | MDD -13.4%
Months 21M (9%)
CAGR 1.7% | Win 53%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 8% | MDD -14.3%
Months 36M (16%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.5% | Win 72%
Sharpe 1.10 | Sortino 1.21 | Calmar 0.7
Vol 3% | MDD -5.2%
Months 82M (36%)
CAGR 2.0% | Win 69%
Sharpe 0.43 | Sortino 0.43 | Calmar 0.4
Vol 5% | MDD -4.9%
Months 13M (6%)
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
MACDhist
neg
CAGR 2.8% | Win 64%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 4% | MDD -5.2%
Months 55M (24%)
CAGR 2.2% | Win 56%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.2
Vol 5% | MDD -12.4%
Months 77M (34%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
RSIhist
only
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.4% | Win 72%
Sharpe 0.99 | Sortino 1.03 | Calmar 0.4
Vol 3% | MDD -7.7%
Months 94M (41%)
CAGR -5.5% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 3.3% | Win 72%
Sharpe 0.97 | Sortino 1.02 | Calmar 0.4
Vol 3% | MDD -8.2%
Months 95M (42%)
MACDhist
neg
CAGR 4.2% | Win 66%
Sharpe 1.14 | Sortino 2.12 | Calmar 1.3
Vol 4% | MDD -3.2%
Months 95M (42%)
CAGR -2.0% | Win 40%
Sharpe -0.27 | Sortino -0.39 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 37M (16%)
CAGR 2.4% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 5% | MDD -16.0%
Months 132M (58%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.7% | Win 72%
Sharpe 1.15 | Sortino 1.42 | Calmar 0.9
Vol 3% | MDD -3.9%
Months 123M (54%)
CAGR -0.9% | Win 43%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.2
Vol 6% | MDD -4.3%
Months 14M (6%)
CAGR 3.2% | Win 69%
Sharpe 0.89 | Sortino 1.07 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 137M (60%)
RSIhist
neg
CAGR 4.0% | Win 65%
Sharpe 0.97 | Sortino 1.43 | Calmar 0.8
Vol 4% | MDD -5.2%
Months 66M (29%)
CAGR -2.7% | Win 38%
Sharpe -0.37 | Sortino -0.53 | Calmar -0.2
Vol 7% | MDD -12.4%
Months 24M (11%)
CAGR 2.2% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.4%
Months 90M (40%)
LWTI
only
CAGR 3.8% | Win 69%
Sharpe 1.07 | Sortino 1.43 | Calmar 0.6
Vol 4% | MDD -6.6%
Months 189M (83%)
CAGR -2.1% | Win 40%
Sharpe -0.29 | Sortino -0.41 | Calmar -0.1
Vol 7% | MDD -15.5%
Months 38M (17%)