MORT - VanEck Mortgage REIT Income ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

103.9%

Best CAGR

52

Total Months

9.1%

Avg CAGR

MORT 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 MORT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist LWTI pos-neg 3 1.6 103.9 100.0 7.7 0.0 0.0 9.6 0.0
pair LWTI MACDhist pos-neg 3 1.6 103.9 100.0 7.7 0.0 0.0 9.6 0.0
pair LWTI RSmean neg-neg 1 0.5 88.0 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.5 88.0 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MRmean neg-pos 7 3.8 53.0 85.7 4.4 0.0 54.6 9.9 -1.0
pair MRmean MACDhist neg-pos 7 3.8 53.0 85.7 4.4 0.0 54.6 9.9 -1.0
pair RSIhist MACD neg-neg 36 19.8 49.0 69.4 1.5 1.9 2.1 29.7 -23.7
pair MACD RSIhist neg-neg 36 19.8 49.0 69.4 1.5 1.9 2.1 29.7 -23.7
pair SLmean MACD neg-neg 36 19.8 48.0 72.2 1.5 1.9 2.0 30.4 -23.7
pair MACD SLmean neg-neg 36 19.8 48.0 72.2 1.5 1.9 2.0 30.4 -23.7
pair MACD MRmean neg-neg 38 20.9 47.0 71.1 1.5 1.9 2.0 29.1 -23.7
pair MRmean MACD neg-neg 38 20.9 47.0 71.1 1.5 1.9 2.0 29.1 -23.7
pair RSIhist LWTI neg-neg 22 12.1 45.6 72.7 1.3 1.5 1.9 33.8 -23.7
pair LWTI RSIhist neg-neg 22 12.1 45.6 72.7 1.3 1.5 1.9 33.8 -23.7
pair RSI LWTI pos-neg 10 5.5 41.8 80.0 3.0 91.5 23.3 11.9 -1.8
pair LWTI RSI pos-neg 10 5.5 41.8 80.0 3.0 91.5 23.3 11.9 -1.8
pair LWTI SLmean neg-neg 19 10.4 37.3 68.4 1.0 1.4 1.6 37.6 -23.7
pair SLmean LWTI neg-neg 19 10.4 37.3 68.4 1.0 1.4 1.6 37.6 -23.7
pair MACD LWTI neg-neg 28 15.4 37.1 67.9 1.2 1.5 1.3 32.0 -29.3
pair LWTI MACD neg-neg 28 15.4 37.1 67.9 1.2 1.5 1.3 32.0 -29.3
pair RSIhist RSI neg-neg 40 22.0 36.5 70.0 1.2 1.6 1.5 29.5 -23.7
pair RSI RSIhist neg-neg 40 22.0 36.5 70.0 1.2 1.6 1.5 29.5 -23.7
pair MACD RSI neg-neg 39 21.4 36.4 66.7 1.2 1.7 1.2 31.0 -29.3
pair RSI MACD neg-neg 39 21.4 36.4 66.7 1.2 1.7 1.2 31.0 -29.3
pair MRmean RSI neg-neg 40 22.0 34.3 67.5 1.1 1.6 1.4 29.9 -23.7
pair RSI MRmean neg-neg 40 22.0 34.3 67.5 1.1 1.6 1.4 29.9 -23.7
pair MRmean RSmean neg-neg 14 7.7 34.1 78.6 2.3 3.2 14.7 13.2 -2.3
pair RSmean MRmean neg-neg 14 7.7 34.1 78.6 2.3 3.2 14.7 13.2 -2.3
pair RSI SLmean neg-neg 38 20.9 33.0 68.4 1.1 1.5 1.4 31.0 -23.7
pair SLmean RSI neg-neg 38 20.9 33.0 68.4 1.1 1.5 1.4 31.0 -23.7
pair RSIhist MRmean neg-neg 56 30.8 30.8 66.1 1.2 1.7 1.1 26.1 -26.8
pair MRmean RSIhist neg-neg 56 30.8 30.8 66.1 1.2 1.7 1.1 26.1 -26.8
pair RSI RSmean neg-neg 8 4.4 30.7 62.5 1.6 2.9 13.2 17.6 -2.3
pair RSmean RSI neg-neg 8 4.4 30.7 62.5 1.6 2.9 13.2 17.6 -2.3
pair LWTI MRmean neg-neg 23 12.6 30.5 65.2 0.9 1.3 1.3 35.2 -23.7
pair MRmean LWTI neg-neg 23 12.6 30.5 65.2 0.9 1.3 1.3 35.2 -23.7
pair SLmean RSmean neg-neg 13 7.1 29.3 76.9 2.0 2.8 12.7 13.1 -2.3
pair RSmean SLmean neg-neg 13 7.1 29.3 76.9 2.0 2.8 12.7 13.1 -2.3
pair SLmean MACDhist neg-neg 54 29.7 29.3 66.7 1.1 1.6 1.1 27.2 -26.8
pair MACDhist SLmean neg-neg 54 29.7 29.3 66.7 1.1 1.6 1.1 27.2 -26.8
pair MRmean SLmean neg-neg 58 31.9 28.9 67.2 1.1 1.6 1.1 26.1 -26.8
pair SLmean MRmean neg-neg 58 31.9 28.9 67.2 1.1 1.6 1.1 26.1 -26.8
pair MACDhist RSmean neg-pos 7 3.8 28.4 71.4 1.7 2.8 5.2 15.4 -5.4
pair RSmean MACDhist neg-pos 7 3.8 28.4 71.4 1.7 2.8 5.2 15.4 -5.4
single MRmean MRmean neg-neg 63 34.6 28.0 66.7 1.1 1.6 1.1 25.6 -26.8
pair MACD MACDhist neg-neg 55 30.2 27.1 63.6 1.0 1.5 0.9 27.0 -29.3
pair MACDhist MACD neg-neg 55 30.2 27.1 63.6 1.0 1.5 0.9 27.0 -29.3
pair LWTI MRmean neg-pos 40 22.0 26.7 67.5 1.4 3.4 1.9 18.5 -13.9
pair MRmean LWTI neg-pos 40 22.0 26.7 67.5 1.4 3.4 1.9 18.5 -13.9
single LWTI LWTI neg-neg 38 20.9 26.6 68.4 1.0 1.3 0.9 29.1 -29.3
pair RSI MACDhist neg-neg 43 23.6 26.5 65.1 0.9 1.4 0.9 30.1 -29.3
pair MACDhist RSI neg-neg 43 23.6 26.5 65.1 0.9 1.4 0.9 30.1 -29.3
pair RSmean MRmean neg-pos 49 26.9 26.4 63.3 1.0 1.5 1.0 28.3 -26.8
pair MRmean RSmean neg-pos 49 26.9 26.4 63.3 1.0 1.5 1.0 28.3 -26.8
pair RSmean MACD neg-neg 18 9.9 26.3 72.2 1.8 3.0 4.9 13.9 -5.4
pair MACD RSmean neg-neg 18 9.9 26.3 72.2 1.8 3.0 4.9 13.9 -5.4
pair RSmean LWTI pos-neg 37 20.3 25.2 67.6 0.9 1.2 0.9 29.5 -29.3
pair LWTI RSmean pos-neg 37 20.3 25.2 67.6 0.9 1.2 0.9 29.5 -29.3
pair MACDhist MRmean neg-neg 56 30.8 25.2 64.3 1.0 1.5 0.9 27.0 -26.8
pair MRmean MACDhist neg-neg 56 30.8 25.2 64.3 1.0 1.5 0.9 27.0 -26.8
pair RSI LWTI neg-pos 24 13.2 24.8 62.5 1.1 2.2 1.5 22.2 -17.0
pair LWTI RSI neg-pos 24 13.2 24.8 62.5 1.1 2.2 1.5 22.2 -17.0
single MACD MACD neg-neg 70 38.5 24.0 64.3 1.0 1.4 0.8 25.6 -29.3
pair RSmean RSIhist neg-pos 10 5.5 23.9 70.0 1.4 2.5 4.1 15.9 -5.8
pair RSIhist RSmean neg-pos 10 5.5 23.9 70.0 1.4 2.5 4.1 15.9 -5.8
pair MACD RSmean pos-neg 52 28.6 23.3 61.5 0.9 1.3 0.8 28.6 -29.3
pair RSmean MACD pos-neg 52 28.6 23.3 61.5 0.9 1.3 0.8 28.6 -29.3
single RSI RSI neg-neg 52 28.6 23.0 63.5 0.9 1.3 0.8 28.5 -29.3
pair RSmean RSI pos-neg 44 24.2 21.7 63.6 0.8 1.2 0.7 30.2 -29.3
pair RSI RSmean pos-neg 44 24.2 21.7 63.6 0.8 1.2 0.7 30.2 -29.3
pair LWTI RSI neg-neg 28 15.4 21.6 64.3 0.8 1.1 0.7 33.3 -29.3
pair RSI LWTI neg-neg 28 15.4 21.6 64.3 0.8 1.1 0.7 33.3 -29.3
pair LWTI MACDhist neg-neg 35 19.2 21.5 65.7 0.8 1.1 0.7 30.0 -29.3
pair MACDhist LWTI neg-neg 35 19.2 21.5 65.7 0.8 1.1 0.7 30.0 -29.3
pair MACDhist RSIhist neg-neg 65 35.7 21.3 64.6 0.9 1.3 0.8 26.0 -26.8
pair RSIhist MACDhist neg-neg 65 35.7 21.3 64.6 0.9 1.3 0.8 26.0 -26.8
pair LWTI MRmean pos-neg 15 8.2 20.8 73.3 1.2 1.7 1.4 16.9 -14.9
pair MRmean LWTI pos-neg 15 8.2 20.8 73.3 1.2 1.7 1.4 16.9 -14.9
pair MRmean SLmean neg-pos 5 2.7 19.0 60.0 0.9 1.2 2.1 21.2 -8.9
pair SLmean MRmean neg-pos 5 2.7 19.0 60.0 0.9 1.2 2.1 21.2 -8.9
pair RSI MRmean neg-pos 23 12.6 17.8 65.2 1.1 2.2 1.0 15.7 -17.4
pair MRmean RSI neg-pos 23 12.6 17.8 65.2 1.1 2.2 1.0 15.7 -17.4
pair SLmean LWTI pos-neg 19 10.4 16.8 68.4 1.0 1.4 0.8 17.5 -21.6
pair LWTI SLmean pos-neg 19 10.4 16.8 68.4 1.0 1.4 0.8 17.5 -21.6
pair MACD LWTI neg-pos 42 23.1 16.0 61.9 0.8 1.4 0.8 20.3 -19.9
pair LWTI MACD neg-pos 42 23.1 16.0 61.9 0.8 1.4 0.8 20.3 -19.9
single RSmean RSmean neg-neg 24 13.2 15.9 70.8 0.9 1.1 1.1 17.8 -13.8
pair MACDhist MACD neg-pos 15 8.2 13.5 66.7 0.7 1.2 0.9 19.9 -15.0
pair LWTI RSmean neg-pos 23 12.6 13.5 69.6 0.8 0.9 1.0 17.9 -13.8
pair MACD MACDhist neg-pos 15 8.2 13.5 66.7 0.7 1.2 0.9 19.9 -15.0
pair RSmean LWTI neg-pos 23 12.6 13.5 69.6 0.8 0.9 1.0 17.9 -13.8
pair RSmean MACDhist pos-neg 78 42.9 12.3 61.5 0.6 0.9 0.4 24.9 -33.4
pair MACDhist RSmean pos-neg 78 42.9 12.3 61.5 0.6 0.9 0.4 24.9 -33.4
single MACDhist MACDhist neg-neg 95 52.2 12.1 63.2 0.6 0.9 0.4 23.9 -33.4
pair RSmean MACDhist neg-neg 17 9.3 11.1 70.6 0.7 0.7 0.8 19.0 -13.8
pair MACDhist RSmean neg-neg 17 9.3 11.1 70.6 0.7 0.7 0.8 19.0 -13.8
pair RSIhist RSmean neg-neg 14 7.7 10.6 71.4 0.6 0.6 0.8 19.5 -13.8
pair RSmean RSIhist neg-neg 14 7.7 10.6 71.4 0.6 0.6 0.8 19.5 -13.8
pair RSI MACD neg-pos 31 17.0 10.1 61.3 0.7 1.0 0.5 15.9 -21.2
pair MACD RSI neg-pos 31 17.0 10.1 61.3 0.7 1.0 0.5 15.9 -21.2
pair RSI RSmean neg-pos 16 8.8 9.2 75.0 0.6 0.6 0.7 18.2 -13.8
pair RSmean RSI neg-pos 16 8.8 9.2 75.0 0.6 0.6 0.7 18.2 -13.8
pair SLmean RSIhist neg-pos 5 2.7 8.2 80.0 0.5 0.0 0.9 20.0 -9.4
pair RSIhist SLmean neg-pos 5 2.7 8.2 80.0 0.5 0.0 0.9 20.0 -9.4
single SLmean SLmean neg-neg 70 38.5 7.9 67.1 0.4 0.4 0.1 34.7 -55.8
pair MACDhist RSI neg-pos 9 4.9 7.9 55.6 0.5 0.6 0.5 19.9 -15.0
pair RSI MACDhist neg-pos 9 4.9 7.9 55.6 0.5 0.6 0.5 19.9 -15.0
pair SLmean RSIhist neg-neg 65 35.7 7.8 66.2 0.4 0.4 0.1 35.7 -55.8
pair RSIhist SLmean neg-neg 65 35.7 7.8 66.2 0.4 0.4 0.1 35.7 -55.8
pair MRmean RSIhist neg-pos 7 3.8 7.7 71.4 0.4 2.6 0.5 22.9 -16.5
pair RSIhist MRmean neg-pos 7 3.8 7.7 71.4 0.4 2.6 0.5 22.9 -16.5
pair LWTI MACDhist neg-pos 60 33.0 7.0 61.7 0.4 0.7 0.2 19.5 -28.4
pair MACDhist LWTI neg-pos 60 33.0 7.0 61.7 0.4 0.7 0.2 19.5 -28.4
single RSIhist RSIhist neg-neg 89 48.9 5.0 65.2 0.3 0.3 0.1 31.4 -55.8
pair LWTI RSIhist pos-neg 16 8.8 4.4 62.5 0.3 0.5 0.1 20.5 -28.9
pair RSIhist LWTI pos-neg 16 8.8 4.4 62.5 0.3 0.5 0.1 20.5 -28.9
pair RSIhist RSmean pos-neg 75 41.2 4.0 64.0 0.3 0.3 0.1 33.3 -55.8
pair RSmean RSIhist pos-neg 75 41.2 4.0 64.0 0.3 0.3 0.1 33.3 -55.8
pair MACD MRmean neg-pos 25 13.7 3.8 60.0 0.3 0.5 0.2 17.8 -16.1
pair MRmean MACD neg-pos 25 13.7 3.8 60.0 0.3 0.5 0.2 17.8 -16.1
pair RSmean SLmean neg-pos 57 31.3 3.5 64.9 0.3 0.3 0.1 38.0 -55.8
pair SLmean RSmean neg-pos 57 31.3 3.5 64.9 0.3 0.3 0.1 38.0 -55.8
pair SLmean MACDhist pos-pos 71 39.0 3.4 59.2 0.3 0.5 0.2 13.0 -13.4
pair MACDhist SLmean pos-pos 71 39.0 3.4 59.2 0.3 0.5 0.2 13.0 -13.4
pair MACDhist RSIhist pos-pos 63 34.6 3.3 58.7 0.3 0.5 0.2 13.7 -13.7
pair RSIhist MACDhist pos-pos 63 34.6 3.3 58.7 0.3 0.5 0.2 13.7 -13.7
pair MACD SLmean pos-neg 34 18.7 2.9 55.9 0.2 0.4 0.1 17.8 -23.9
pair SLmean MACD pos-neg 34 18.7 2.9 55.9 0.2 0.4 0.1 17.8 -23.9
pair benchmark___benchmark_ benchmark-benchmark 182 100.0 2.6 62.1 0.2 0.2 0.0 24.4 -59.7
pair benchmark___benchmark_ benchmark-benchmark 182 100.0 2.6 62.1 0.2 0.2 0.0 24.4 -59.7
pair RSIhist RSI pos-pos 81 44.5 2.5 61.7 0.2 0.4 0.1 13.7 -20.4
pair RSI RSIhist pos-pos 81 44.5 2.5 61.7 0.2 0.4 0.1 13.7 -20.4
pair MACD RSIhist neg-pos 34 18.7 2.2 58.8 0.2 0.3 0.1 18.9 -31.1
pair RSIhist MACD neg-pos 34 18.7 2.2 58.8 0.2 0.3 0.1 18.9 -31.1
pair RSmean SLmean pos-neg 11 6.0 1.9 63.6 0.2 0.2 0.1 22.3 -13.8
pair SLmean RSmean pos-neg 11 6.0 1.9 63.6 0.2 0.2 0.1 22.3 -13.8
pair MACDhist RSI pos-neg 52 28.6 1.5 61.5 0.2 0.2 0.1 16.8 -22.7
pair RSI MACDhist pos-neg 52 28.6 1.5 61.5 0.2 0.2 0.1 16.8 -22.7
pair MRmean MACD pos-neg 32 17.6 1.4 56.2 0.2 0.2 0.1 19.2 -26.3
pair MACD MRmean pos-neg 32 17.6 1.4 56.2 0.2 0.2 0.1 19.2 -26.3
pair LWTI MACD pos-neg 10 5.5 1.2 70.0 0.1 0.2 0.1 18.2 -15.1
pair MACD LWTI pos-neg 10 5.5 1.2 70.0 0.1 0.2 0.1 18.2 -15.1
single RSmean RSmean pos-pos 158 86.8 0.7 60.8 0.2 0.2 0.0 25.3 -59.7
single RSIhist RSIhist pos-pos 93 51.1 0.4 59.1 0.1 0.1 0.0 15.0 -35.2
pair RSIhist SLmean pos-pos 88 48.4 -0.1 58.0 0.1 0.1 -0.0 14.9 -28.6
pair SLmean RSIhist pos-pos 88 48.4 -0.1 58.0 0.1 0.1 -0.0 14.9 -28.6
pair RSIhist MRmean pos-pos 86 47.3 -0.2 58.1 0.1 0.1 -0.0 14.4 -25.3
pair MRmean RSIhist pos-pos 86 47.3 -0.2 58.1 0.1 0.1 -0.0 14.4 -25.3
pair SLmean RSI pos-neg 14 7.7 -0.4 50.0 0.1 0.1 -0.0 19.5 -23.9
pair RSI SLmean pos-neg 14 7.7 -0.4 50.0 0.1 0.1 -0.0 19.5 -23.9
pair LWTI RSIhist pos-pos 77 42.3 -0.5 58.4 0.0 0.1 -0.0 13.8 -23.6
pair RSIhist LWTI pos-pos 77 42.3 -0.5 58.4 0.0 0.1 -0.0 13.8 -23.6
single SLmean SLmean pos-pos 112 61.5 -0.6 58.9 0.0 0.1 -0.0 14.7 -38.7
pair RSI SLmean pos-pos 98 53.8 -0.6 60.2 0.0 0.0 -0.0 14.0 -28.1
pair SLmean RSI pos-pos 98 53.8 -0.6 60.2 0.0 0.0 -0.0 14.0 -28.1
pair MACD RSIhist pos-pos 59 32.4 -0.7 59.3 0.0 0.0 -0.0 12.5 -26.6
pair RSIhist MACD pos-pos 59 32.4 -0.7 59.3 0.0 0.0 -0.0 12.5 -26.6
pair SLmean RSmean pos-pos 101 55.5 -0.8 58.4 0.0 0.0 -0.0 13.8 -38.5
pair RSmean SLmean pos-pos 101 55.5 -0.8 58.4 0.0 0.0 -0.0 13.8 -38.5
pair MRmean SLmean pos-pos 107 58.8 -1.4 58.9 -0.0 -0.0 -0.0 14.4 -37.6
pair SLmean MRmean pos-pos 107 58.8 -1.4 58.9 -0.0 -0.0 -0.0 14.4 -37.6
pair SLmean LWTI neg-pos 51 28.0 -1.4 66.7 0.2 0.1 -0.0 33.6 -55.8
pair LWTI SLmean neg-pos 51 28.0 -1.4 66.7 0.2 0.1 -0.0 33.6 -55.8
pair SLmean MACD pos-pos 78 42.9 -2.0 60.3 -0.1 -0.1 -0.1 13.2 -36.3
pair MACD SLmean pos-pos 78 42.9 -2.0 60.3 -0.1 -0.1 -0.1 13.2 -36.3
pair RSmean RSIhist pos-pos 83 45.6 -2.2 57.8 -0.1 -0.1 -0.1 14.9 -41.9
pair RSIhist RSmean pos-pos 83 45.6 -2.2 57.8 -0.1 -0.1 -0.1 14.9 -41.9
pair SLmean RSIhist pos-neg 24 13.2 -2.4 62.5 -0.1 -0.1 -0.2 14.5 -15.0
pair RSIhist SLmean pos-neg 24 13.2 -2.4 62.5 -0.1 -0.1 -0.2 14.5 -15.0
single LWTI LWTI pos-pos 144 79.1 -2.9 60.4 0.0 0.0 -0.1 22.9 -62.5
pair SLmean LWTI pos-pos 93 51.1 -3.8 57.0 -0.2 -0.3 -0.1 14.0 -32.0
pair LWTI SLmean pos-pos 93 51.1 -3.8 57.0 -0.2 -0.3 -0.1 14.0 -32.0
pair MACDhist MRmean pos-neg 39 21.4 -4.3 61.5 -0.2 -0.2 -0.1 17.7 -29.7
pair MRmean MACDhist pos-neg 39 21.4 -4.3 61.5 -0.2 -0.2 -0.1 17.7 -29.7
single RSI RSI pos-pos 130 71.4 -4.6 61.5 -0.1 -0.1 -0.1 22.4 -65.8
pair MRmean RSmean pos-neg 10 5.5 -5.4 60.0 -0.1 -0.2 -0.4 22.2 -13.8
pair RSmean MRmean pos-neg 10 5.5 -5.4 60.0 -0.1 -0.2 -0.4 22.2 -13.8
pair RSIhist MACDhist neg-pos 30 16.5 -5.5 60.0 -0.2 -0.3 -0.2 17.7 -33.8
pair MACDhist RSIhist neg-pos 30 16.5 -5.5 60.0 -0.2 -0.3 -0.2 17.7 -33.8
pair MACDhist MACD pos-neg 40 22.0 -5.6 62.5 -0.2 -0.3 -0.2 17.6 -31.9
pair MACD MACDhist pos-neg 40 22.0 -5.6 62.5 -0.2 -0.3 -0.2 17.6 -31.9
pair LWTI RSIhist neg-pos 67 36.8 -5.7 62.7 0.0 0.0 -0.1 30.2 -56.3
pair RSIhist LWTI neg-pos 67 36.8 -5.7 62.7 0.0 0.0 -0.1 30.2 -56.3
pair LWTI RSmean pos-pos 121 66.5 -5.8 58.7 -0.1 -0.1 -0.1 23.7 -62.5
pair RSmean LWTI pos-pos 121 66.5 -5.8 58.7 -0.1 -0.1 -0.1 23.7 -62.5
pair RSI RSmean pos-pos 114 62.6 -6.4 59.6 -0.1 -0.1 -0.1 22.9 -64.4
pair RSmean RSI pos-pos 114 62.6 -6.4 59.6 -0.1 -0.1 -0.1 22.9 -64.4
single MACDhist MACDhist pos-pos 87 47.8 -6.9 60.9 -0.1 -0.1 -0.1 24.9 -63.3
pair SLmean MACDhist pos-neg 41 22.5 -7.1 58.5 -0.3 -0.4 -0.2 17.2 -32.9
pair MACDhist SLmean pos-neg 41 22.5 -7.1 58.5 -0.3 -0.4 -0.2 17.2 -32.9
pair RSI LWTI pos-pos 120 65.9 -7.7 60.0 -0.2 -0.2 -0.1 22.8 -69.8
pair LWTI RSI pos-pos 120 65.9 -7.7 60.0 -0.2 -0.2 -0.1 22.8 -69.8
pair RSI MRmean pos-neg 12 6.6 -8.2 50.0 -0.3 -0.5 -0.3 21.5 -26.3
pair MRmean RSI pos-neg 12 6.6 -8.2 50.0 -0.3 -0.5 -0.3 21.5 -26.3
pair MACDhist RSI pos-pos 78 42.9 -8.4 61.5 -0.2 -0.1 -0.1 25.5 -62.7
pair RSI MACDhist pos-pos 78 42.9 -8.4 61.5 -0.2 -0.1 -0.1 25.5 -62.7
pair MACD RSI pos-pos 99 54.4 -8.8 61.6 -0.2 -0.2 -0.1 24.0 -70.5
pair RSI MACD pos-pos 99 54.4 -8.8 61.6 -0.2 -0.2 -0.1 24.0 -70.5
pair RSI MRmean pos-pos 107 58.8 -8.8 60.7 -0.2 -0.2 -0.1 23.4 -70.8
pair MRmean RSI pos-pos 107 58.8 -8.8 60.7 -0.2 -0.2 -0.1 23.4 -70.8
pair MACD RSmean pos-pos 106 58.2 -8.8 60.4 -0.2 -0.2 -0.1 23.1 -70.5
pair RSmean MACD pos-pos 106 58.2 -8.8 60.4 -0.2 -0.2 -0.1 23.1 -70.5
single MRmean MRmean pos-pos 119 65.4 -8.8 59.7 -0.2 -0.2 -0.1 23.2 -73.2
single MACD MACD pos-pos 112 61.5 -8.9 60.7 -0.2 -0.2 -0.1 23.2 -72.8
pair RSmean MRmean pos-pos 109 59.9 -9.1 59.6 -0.2 -0.2 -0.1 23.4 -70.4
pair MRmean RSmean pos-pos 109 59.9 -9.1 59.6 -0.2 -0.2 -0.1 23.4 -70.4
pair MACDhist LWTI pos-pos 84 46.2 -9.4 59.5 -0.2 -0.2 -0.1 25.0 -68.1
pair LWTI MACDhist pos-pos 84 46.2 -9.4 59.5 -0.2 -0.2 -0.1 25.0 -68.1
pair MACDhist RSmean pos-pos 80 44.0 -9.5 60.0 -0.2 -0.2 -0.1 25.5 -65.6
pair RSmean MACDhist pos-pos 80 44.0 -9.5 60.0 -0.2 -0.2 -0.1 25.5 -65.6
pair MACD RSI pos-neg 13 7.1 -9.7 53.8 -0.6 -0.7 -0.6 16.1 -16.4
pair RSI MACD pos-neg 13 7.1 -9.7 53.8 -0.6 -0.7 -0.6 16.1 -16.4
pair LWTI MACD pos-pos 102 56.0 -9.8 59.8 -0.3 -0.2 -0.1 23.7 -69.5
pair MACD LWTI pos-pos 102 56.0 -9.8 59.8 -0.3 -0.2 -0.1 23.7 -69.5
pair RSmean MACD neg-pos 6 3.3 -10.4 66.7 -0.3 -0.4 -0.8 26.9 -13.8
pair MACD RSmean neg-pos 6 3.3 -10.4 66.7 -0.3 -0.4 -0.8 26.9 -13.8
pair MACD MACDhist pos-pos 72 39.6 -10.6 59.7 -0.2 -0.2 -0.2 25.8 -66.5
pair MACDhist MACD pos-pos 72 39.6 -10.6 59.7 -0.2 -0.2 -0.2 25.8 -66.5
pair MACDhist MRmean pos-pos 80 44.0 -10.8 58.8 -0.3 -0.2 -0.2 25.5 -65.6
pair MRmean MACDhist pos-pos 80 44.0 -10.8 58.8 -0.3 -0.2 -0.2 25.5 -65.6
pair MRmean MACD pos-pos 87 47.8 -12.2 60.9 -0.3 -0.3 -0.2 24.5 -73.1
pair MACD MRmean pos-pos 87 47.8 -12.2 60.9 -0.3 -0.3 -0.2 24.5 -73.1
pair MRmean LWTI pos-pos 104 57.1 -12.4 57.7 -0.4 -0.3 -0.2 23.8 -75.0
pair LWTI MRmean pos-pos 104 57.1 -12.4 57.7 -0.4 -0.3 -0.2 23.8 -75.0
pair RSIhist RSI neg-pos 12 6.6 -13.1 41.7 -0.5 -1.0 -0.4 22.6 -31.1
pair RSI RSIhist neg-pos 12 6.6 -13.1 41.7 -0.5 -1.0 -0.4 22.6 -31.1
pair RSIhist RSI pos-neg 49 26.9 -15.3 61.2 -0.3 -0.2 -0.2 32.0 -64.2
pair RSI RSIhist pos-neg 49 26.9 -15.3 61.2 -0.3 -0.2 -0.2 32.0 -64.2
pair RSI SLmean neg-pos 32 17.6 -15.9 65.6 -0.2 -0.1 -0.3 38.3 -61.8
pair SLmean RSI neg-pos 32 17.6 -15.9 65.6 -0.2 -0.1 -0.3 38.3 -61.8
pair RSIhist MACD pos-neg 53 29.1 -17.2 62.3 -0.4 -0.3 -0.3 31.1 -67.0
pair MACD RSIhist pos-neg 53 29.1 -17.2 62.3 -0.4 -0.3 -0.3 31.1 -67.0
pair SLmean MACD neg-pos 34 18.7 -22.8 61.8 -0.4 -0.3 -0.4 37.2 -63.7
pair MACD SLmean neg-pos 34 18.7 -22.8 61.8 -0.4 -0.3 -0.4 37.2 -63.7
pair RSIhist MRmean pos-neg 33 18.1 -27.7 63.6 -0.6 -0.4 -0.4 37.4 -68.3
pair MRmean RSIhist pos-neg 33 18.1 -27.7 63.6 -0.6 -0.4 -0.4 37.4 -68.3
pair MACDhist RSIhist pos-neg 24 13.2 -29.0 66.7 -0.5 -0.3 -0.5 42.1 -62.9
pair RSIhist MACDhist pos-neg 24 13.2 -29.0 66.7 -0.5 -0.3 -0.5 42.1 -62.9
pair SLmean MACDhist neg-pos 16 8.8 -41.5 68.8 -0.6 -0.4 -0.7 51.6 -61.4
pair MACDhist SLmean neg-pos 16 8.8 -41.5 68.8 -0.6 -0.4 -0.7 51.6 -61.4
pair SLmean MRmean pos-neg 12 6.6 -54.3 66.7 -0.8 -0.6 -0.9 59.5 -62.7
pair MRmean SLmean pos-neg 12 6.6 -54.3 66.7 -0.8 -0.6 -0.9 59.5 -62.7

All Contingency Tables for MORT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR -1.4% | Win 59%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 14% | MDD -37.6%
Months 107M (59%)
CAGR -54.3% | Win 67%
Sharpe -0.85 | Sortino -0.60 | Calmar -0.9
Vol 60% | MDD -62.7%
Months 12M (7%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 19.0% | Win 60%
Sharpe 0.91 | Sortino 1.17 | Calmar 2.1
Vol 21% | MDD -8.9%
Months 5M (3%)
CAGR 28.9% | Win 67%
Sharpe 1.11 | Sortino 1.59 | Calmar 1.1
Vol 26% | MDD -26.8%
Months 58M (32%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
SLmean
only
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -9.1% | Win 60%
Sharpe -0.24 | Sortino -0.20 | Calmar -0.1
Vol 23% | MDD -70.4%
Months 109M (60%)
CAGR -5.4% | Win 60%
Sharpe -0.15 | Sortino -0.17 | Calmar -0.4
Vol 22% | MDD -13.8%
Months 10M (6%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 26.4% | Win 63%
Sharpe 0.97 | Sortino 1.48 | Calmar 1.0
Vol 28% | MDD -26.8%
Months 49M (27%)
CAGR 34.1% | Win 79%
Sharpe 2.31 | Sortino 3.21 | Calmar 14.7
Vol 13% | MDD -2.3%
Months 14M (8%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
RSmean
only
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -12.2% | Win 61%
Sharpe -0.35 | Sortino -0.27 | Calmar -0.2
Vol 24% | MDD -73.1%
Months 87M (48%)
CAGR 1.4% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.1
Vol 19% | MDD -26.3%
Months 32M (18%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 3.8% | Win 60%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.2
Vol 18% | MDD -16.1%
Months 25M (14%)
CAGR 47.0% | Win 71%
Sharpe 1.49 | Sortino 1.91 | Calmar 2.0
Vol 29% | MDD -23.7%
Months 38M (21%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
MACD
only
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -8.8% | Win 61%
Sharpe -0.23 | Sortino -0.18 | Calmar -0.1
Vol 23% | MDD -70.8%
Months 107M (59%)
CAGR -8.2% | Win 50%
Sharpe -0.30 | Sortino -0.49 | Calmar -0.3
Vol 22% | MDD -26.3%
Months 12M (7%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 17.8% | Win 65%
Sharpe 1.13 | Sortino 2.25 | Calmar 1.0
Vol 16% | MDD -17.4%
Months 23M (13%)
CAGR 34.3% | Win 68%
Sharpe 1.15 | Sortino 1.62 | Calmar 1.4
Vol 30% | MDD -23.7%
Months 40M (22%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
RSI
only
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -10.8% | Win 59%
Sharpe -0.26 | Sortino -0.20 | Calmar -0.2
Vol 26% | MDD -65.6%
Months 80M (44%)
CAGR -4.3% | Win 62%
Sharpe -0.16 | Sortino -0.20 | Calmar -0.1
Vol 18% | MDD -29.7%
Months 39M (21%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 53.0% | Win 86%
Sharpe 4.43 | Sortino 0.00 | Calmar 54.6
Vol 10% | MDD -1.0%
Months 7M (4%)
CAGR 25.2% | Win 64%
Sharpe 0.97 | Sortino 1.48 | Calmar 0.9
Vol 27% | MDD -26.8%
Months 56M (31%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
MACDhist
only
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -0.2% | Win 58%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 14% | MDD -25.3%
Months 86M (47%)
CAGR -27.7% | Win 64%
Sharpe -0.58 | Sortino -0.41 | Calmar -0.4
Vol 37% | MDD -68.3%
Months 33M (18%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 7.7% | Win 71%
Sharpe 0.43 | Sortino 2.65 | Calmar 0.5
Vol 23% | MDD -16.5%
Months 7M (4%)
CAGR 30.8% | Win 66%
Sharpe 1.17 | Sortino 1.68 | Calmar 1.1
Vol 26% | MDD -26.8%
Months 56M (31%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -12.4% | Win 58%
Sharpe -0.39 | Sortino -0.31 | Calmar -0.2
Vol 24% | MDD -75.0%
Months 104M (57%)
CAGR 20.8% | Win 73%
Sharpe 1.21 | Sortino 1.69 | Calmar 1.4
Vol 17% | MDD -14.9%
Months 15M (8%)
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -73.2%
Months 119M (65%)
MRmean
neg
CAGR 26.7% | Win 68%
Sharpe 1.37 | Sortino 3.37 | Calmar 1.9
Vol 18% | MDD -13.9%
Months 40M (22%)
CAGR 30.5% | Win 65%
Sharpe 0.94 | Sortino 1.31 | Calmar 1.3
Vol 35% | MDD -23.7%
Months 23M (13%)
CAGR 28.0% | Win 67%
Sharpe 1.10 | Sortino 1.59 | Calmar 1.0
Vol 26% | MDD -26.8%
Months 63M (35%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -0.8% | Win 58%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 14% | MDD -38.5%
Months 101M (56%)
CAGR 1.9% | Win 64%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.1
Vol 22% | MDD -13.8%
Months 11M (6%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR 3.5% | Win 65%
Sharpe 0.33 | Sortino 0.30 | Calmar 0.1
Vol 38% | MDD -55.8%
Months 57M (31%)
CAGR 29.3% | Win 77%
Sharpe 2.04 | Sortino 2.82 | Calmar 12.7
Vol 13% | MDD -2.3%
Months 13M (7%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
RSmean
only
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -2.0% | Win 60%
Sharpe -0.09 | Sortino -0.11 | Calmar -0.1
Vol 13% | MDD -36.3%
Months 78M (43%)
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 18% | MDD -23.9%
Months 34M (19%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR -22.8% | Win 62%
Sharpe -0.41 | Sortino -0.31 | Calmar -0.4
Vol 37% | MDD -63.7%
Months 34M (19%)
CAGR 48.0% | Win 72%
Sharpe 1.46 | Sortino 1.87 | Calmar 2.0
Vol 30% | MDD -23.7%
Months 36M (20%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
MACD
only
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -0.6% | Win 60%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 14% | MDD -28.1%
Months 98M (54%)
CAGR -0.4% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -23.9%
Months 14M (8%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR -15.9% | Win 66%
Sharpe -0.17 | Sortino -0.12 | Calmar -0.3
Vol 38% | MDD -61.8%
Months 32M (18%)
CAGR 33.0% | Win 68%
Sharpe 1.08 | Sortino 1.54 | Calmar 1.4
Vol 31% | MDD -23.7%
Months 38M (21%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
RSI
only
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 59%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.3
Vol 13% | MDD -13.4%
Months 71M (39%)
CAGR -7.1% | Win 58%
Sharpe -0.34 | Sortino -0.41 | Calmar -0.2
Vol 17% | MDD -32.9%
Months 41M (22%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR -41.5% | Win 69%
Sharpe -0.64 | Sortino -0.42 | Calmar -0.7
Vol 52% | MDD -61.4%
Months 16M (9%)
CAGR 29.3% | Win 67%
Sharpe 1.09 | Sortino 1.61 | Calmar 1.1
Vol 27% | MDD -26.8%
Months 54M (30%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
MACDhist
only
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -0.1% | Win 58%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 15% | MDD -28.6%
Months 88M (48%)
CAGR -2.4% | Win 62%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.2
Vol 14% | MDD -15.0%
Months 24M (13%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR 8.2% | Win 80%
Sharpe 0.48 | Sortino 0.00 | Calmar 0.9
Vol 20% | MDD -9.4%
Months 5M (3%)
CAGR 7.8% | Win 66%
Sharpe 0.44 | Sortino 0.39 | Calmar 0.1
Vol 36% | MDD -55.8%
Months 65M (36%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -3.8% | Win 57%
Sharpe -0.20 | Sortino -0.26 | Calmar -0.1
Vol 14% | MDD -32.0%
Months 93M (51%)
CAGR 16.8% | Win 68%
Sharpe 0.98 | Sortino 1.43 | Calmar 0.8
Vol 18% | MDD -21.6%
Months 19M (10%)
CAGR -0.6% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 15% | MDD -38.7%
Months 112M (62%)
SLmean
neg
CAGR -1.4% | Win 67%
Sharpe 0.19 | Sortino 0.15 | Calmar -0.0
Vol 34% | MDD -55.8%
Months 51M (28%)
CAGR 37.3% | Win 68%
Sharpe 1.04 | Sortino 1.43 | Calmar 1.6
Vol 38% | MDD -23.7%
Months 19M (10%)
CAGR 7.9% | Win 67%
Sharpe 0.44 | Sortino 0.38 | Calmar 0.1
Vol 35% | MDD -55.8%
Months 70M (38%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -8.8% | Win 60%
Sharpe -0.23 | Sortino -0.18 | Calmar -0.1
Vol 23% | MDD -70.5%
Months 106M (58%)
CAGR 23.3% | Win 62%
Sharpe 0.88 | Sortino 1.33 | Calmar 0.8
Vol 29% | MDD -29.3%
Months 52M (29%)
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
RSmean
neg
CAGR -10.4% | Win 67%
Sharpe -0.29 | Sortino -0.40 | Calmar -0.8
Vol 27% | MDD -13.8%
Months 6M (3%)
CAGR 26.3% | Win 72%
Sharpe 1.77 | Sortino 2.97 | Calmar 4.9
Vol 14% | MDD -5.4%
Months 18M (10%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
MACD
only
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -6.4% | Win 60%
Sharpe -0.13 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -64.4%
Months 114M (63%)
CAGR 21.7% | Win 64%
Sharpe 0.80 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -29.3%
Months 44M (24%)
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
RSmean
neg
CAGR 9.2% | Win 75%
Sharpe 0.57 | Sortino 0.56 | Calmar 0.7
Vol 18% | MDD -13.8%
Months 16M (9%)
CAGR 30.7% | Win 62%
Sharpe 1.62 | Sortino 2.93 | Calmar 13.3
Vol 18% | MDD -2.3%
Months 8M (4%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
RSI
only
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -9.5% | Win 60%
Sharpe -0.20 | Sortino -0.16 | Calmar -0.1
Vol 26% | MDD -65.6%
Months 80M (44%)
CAGR 12.3% | Win 62%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.4
Vol 25% | MDD -33.4%
Months 78M (43%)
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
RSmean
neg
CAGR 28.4% | Win 71%
Sharpe 1.71 | Sortino 2.79 | Calmar 5.2
Vol 15% | MDD -5.4%
Months 7M (4%)
CAGR 11.1% | Win 71%
Sharpe 0.65 | Sortino 0.71 | Calmar 0.8
Vol 19% | MDD -13.8%
Months 17M (9%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
MACDhist
only
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -2.2% | Win 58%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 15% | MDD -41.9%
Months 83M (46%)
CAGR 4.0% | Win 64%
Sharpe 0.33 | Sortino 0.29 | Calmar 0.1
Vol 33% | MDD -55.8%
Months 75M (41%)
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
RSmean
neg
CAGR 23.9% | Win 70%
Sharpe 1.43 | Sortino 2.51 | Calmar 4.1
Vol 16% | MDD -5.8%
Months 10M (6%)
CAGR 10.6% | Win 71%
Sharpe 0.61 | Sortino 0.59 | Calmar 0.8
Vol 20% | MDD -13.8%
Months 14M (8%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -5.8% | Win 59%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -62.5%
Months 121M (66%)
CAGR 25.2% | Win 68%
Sharpe 0.92 | Sortino 1.24 | Calmar 0.9
Vol 30% | MDD -29.3%
Months 37M (20%)
CAGR 0.7% | Win 61%
Sharpe 0.18 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -59.7%
Months 158M (87%)
RSmean
neg
CAGR 13.5% | Win 70%
Sharpe 0.80 | Sortino 0.92 | Calmar 1.0
Vol 18% | MDD -13.8%
Months 23M (13%)
CAGR 88.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 15.9% | Win 71%
Sharpe 0.92 | Sortino 1.05 | Calmar 1.2
Vol 18% | MDD -13.8%
Months 24M (13%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -8.8% | Win 62%
Sharpe -0.21 | Sortino -0.16 | Calmar -0.1
Vol 24% | MDD -70.5%
Months 99M (54%)
CAGR -9.7% | Win 54%
Sharpe -0.55 | Sortino -0.71 | Calmar -0.6
Vol 16% | MDD -16.4%
Months 13M (7%)
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
MACD
neg
CAGR 10.1% | Win 61%
Sharpe 0.68 | Sortino 0.97 | Calmar 0.5
Vol 16% | MDD -21.2%
Months 31M (17%)
CAGR 36.4% | Win 67%
Sharpe 1.17 | Sortino 1.73 | Calmar 1.2
Vol 31% | MDD -29.3%
Months 39M (21%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
RSI
only
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -10.6% | Win 60%
Sharpe -0.24 | Sortino -0.18 | Calmar -0.2
Vol 26% | MDD -66.5%
Months 72M (40%)
CAGR -5.6% | Win 62%
Sharpe -0.24 | Sortino -0.34 | Calmar -0.2
Vol 18% | MDD -31.9%
Months 40M (22%)
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
MACD
neg
CAGR 13.5% | Win 67%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.9
Vol 20% | MDD -15.0%
Months 15M (8%)
CAGR 27.1% | Win 64%
Sharpe 1.03 | Sortino 1.47 | Calmar 0.9
Vol 27% | MDD -29.3%
Months 55M (30%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
MACDhist
only
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR -0.7% | Win 59%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 12% | MDD -26.6%
Months 59M (32%)
CAGR -17.2% | Win 62%
Sharpe -0.38 | Sortino -0.28 | Calmar -0.3
Vol 31% | MDD -67.0%
Months 53M (29%)
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
MACD
neg
CAGR 2.2% | Win 59%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.1
Vol 19% | MDD -31.1%
Months 34M (19%)
CAGR 49.0% | Win 69%
Sharpe 1.51 | Sortino 1.92 | Calmar 2.1
Vol 30% | MDD -23.7%
Months 36M (20%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -9.8% | Win 60%
Sharpe -0.27 | Sortino -0.21 | Calmar -0.1
Vol 24% | MDD -69.5%
Months 102M (56%)
CAGR 1.2% | Win 70%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.1
Vol 18% | MDD -15.1%
Months 10M (6%)
CAGR -8.9% | Win 61%
Sharpe -0.24 | Sortino -0.19 | Calmar -0.1
Vol 23% | MDD -72.8%
Months 112M (62%)
MACD
neg
CAGR 16.0% | Win 62%
Sharpe 0.83 | Sortino 1.44 | Calmar 0.8
Vol 20% | MDD -19.9%
Months 42M (23%)
CAGR 37.1% | Win 68%
Sharpe 1.16 | Sortino 1.53 | Calmar 1.3
Vol 32% | MDD -29.3%
Months 28M (15%)
CAGR 24.0% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 26% | MDD -29.3%
Months 70M (38%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -8.4% | Win 62%
Sharpe -0.16 | Sortino -0.12 | Calmar -0.1
Vol 26% | MDD -62.7%
Months 78M (43%)
CAGR 1.5% | Win 62%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.1
Vol 17% | MDD -22.7%
Months 52M (29%)
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
RSI
neg
CAGR 7.9% | Win 56%
Sharpe 0.47 | Sortino 0.59 | Calmar 0.5
Vol 20% | MDD -15.0%
Months 9M (5%)
CAGR 26.5% | Win 65%
Sharpe 0.94 | Sortino 1.45 | Calmar 0.9
Vol 30% | MDD -29.3%
Months 43M (24%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
MACDhist
only
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.5% | Win 62%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 14% | MDD -20.4%
Months 81M (44%)
CAGR -15.3% | Win 61%
Sharpe -0.28 | Sortino -0.21 | Calmar -0.2
Vol 32% | MDD -64.2%
Months 49M (27%)
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
RSI
neg
CAGR -13.1% | Win 42%
Sharpe -0.51 | Sortino -1.03 | Calmar -0.4
Vol 23% | MDD -31.1%
Months 12M (7%)
CAGR 36.5% | Win 70%
Sharpe 1.21 | Sortino 1.61 | Calmar 1.5
Vol 30% | MDD -23.7%
Months 40M (22%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -7.7% | Win 60%
Sharpe -0.19 | Sortino -0.16 | Calmar -0.1
Vol 23% | MDD -69.8%
Months 120M (66%)
CAGR 41.8% | Win 80%
Sharpe 3.02 | Sortino 91.50 | Calmar 23.3
Vol 12% | MDD -1.8%
Months 10M (6%)
CAGR -4.6% | Win 62%
Sharpe -0.06 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -65.8%
Months 130M (71%)
RSI
neg
CAGR 24.8% | Win 62%
Sharpe 1.11 | Sortino 2.24 | Calmar 1.5
Vol 22% | MDD -17.0%
Months 24M (13%)
CAGR 21.6% | Win 64%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.7
Vol 33% | MDD -29.3%
Months 28M (15%)
CAGR 23.0% | Win 64%
Sharpe 0.88 | Sortino 1.34 | Calmar 0.8
Vol 28% | MDD -29.3%
Months 52M (29%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.3% | Win 59%
Sharpe 0.30 | Sortino 0.52 | Calmar 0.2
Vol 14% | MDD -13.7%
Months 63M (35%)
CAGR -29.0% | Win 67%
Sharpe -0.48 | Sortino -0.32 | Calmar -0.5
Vol 42% | MDD -62.9%
Months 24M (13%)
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
MACDhist
neg
CAGR -5.5% | Win 60%
Sharpe -0.23 | Sortino -0.33 | Calmar -0.2
Vol 18% | MDD -33.8%
Months 30M (16%)
CAGR 21.3% | Win 65%
Sharpe 0.88 | Sortino 1.26 | Calmar 0.8
Vol 26% | MDD -26.8%
Months 65M (36%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
RSIhist
only
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -9.4% | Win 60%
Sharpe -0.21 | Sortino -0.17 | Calmar -0.1
Vol 25% | MDD -68.1%
Months 84M (46%)
CAGR 103.9% | Win 100%
Sharpe 7.66 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 3M (2%)
CAGR -6.9% | Win 61%
Sharpe -0.11 | Sortino -0.08 | Calmar -0.1
Vol 25% | MDD -63.3%
Months 87M (48%)
MACDhist
neg
CAGR 7.0% | Win 62%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.2
Vol 20% | MDD -28.4%
Months 60M (33%)
CAGR 21.5% | Win 66%
Sharpe 0.80 | Sortino 1.11 | Calmar 0.7
Vol 30% | MDD -29.3%
Months 35M (19%)
CAGR 12.1% | Win 63%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -33.4%
Months 95M (52%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -0.5% | Win 58%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 14% | MDD -23.6%
Months 77M (42%)
CAGR 4.4% | Win 62%
Sharpe 0.31 | Sortino 0.54 | Calmar 0.2
Vol 20% | MDD -28.9%
Months 16M (9%)
CAGR 0.4% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 15% | MDD -35.2%
Months 93M (51%)
RSIhist
neg
CAGR -5.7% | Win 63%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -56.3%
Months 67M (37%)
CAGR 45.6% | Win 73%
Sharpe 1.30 | Sortino 1.48 | Calmar 1.9
Vol 34% | MDD -23.7%
Months 22M (12%)
CAGR 5.0% | Win 65%
Sharpe 0.35 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -55.8%
Months 89M (49%)
LWTI
only
CAGR -2.9% | Win 60%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 23% | MDD -62.5%
Months 144M (79%)
CAGR 26.6% | Win 68%
Sharpe 0.96 | Sortino 1.29 | Calmar 0.9
Vol 29% | MDD -29.3%
Months 38M (21%)