NLR - VanEck Uranium and Nuclear ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

25.1%

Best CAGR

65

Total Months

-0.3%

Avg CAGR

NLR 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 NLR

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 10 4.3 25.1 60.0 1.4 4.1 5.7 17.1 -4.4
pair LWTI MACDhist pos-neg 10 4.3 25.1 60.0 1.4 4.1 5.7 17.1 -4.4
pair MRmean LWTI pos-neg 17 7.4 24.2 64.7 1.3 3.3 2.7 17.7 -9.0
pair LWTI MRmean pos-neg 17 7.4 24.2 64.7 1.3 3.3 2.7 17.7 -9.0
pair MRmean SLmean pos-neg 21 9.1 20.9 71.4 1.2 1.3 1.6 17.9 -13.0
pair SLmean MRmean pos-neg 21 9.1 20.9 71.4 1.2 1.3 1.6 17.9 -13.0
pair MACD LWTI neg-neg 46 20.0 20.0 63.0 0.9 1.6 1.0 23.3 -20.1
pair LWTI MACD neg-neg 46 20.0 20.0 63.0 0.9 1.6 1.0 23.3 -20.1
pair MRmean MACD pos-neg 32 13.9 18.2 68.8 1.1 1.6 1.1 17.3 -15.9
pair MACD MRmean pos-neg 32 13.9 18.2 68.8 1.1 1.6 1.1 17.3 -15.9
pair RSmean LWTI pos-neg 52 22.6 17.6 61.5 0.8 1.4 0.9 22.2 -20.1
pair LWTI RSmean pos-neg 52 22.6 17.6 61.5 0.8 1.4 0.9 22.2 -20.1
pair LWTI SLmean neg-neg 26 11.3 17.0 69.2 0.7 1.0 0.9 29.1 -18.6
pair SLmean LWTI neg-neg 26 11.3 17.0 69.2 0.7 1.0 0.9 29.1 -18.6
pair MACD MACDhist neg-pos 27 11.7 16.0 63.0 0.8 1.1 0.6 20.7 -26.1
pair MACDhist MACD neg-pos 27 11.7 16.0 63.0 0.8 1.1 0.6 20.7 -26.1
pair RSIhist LWTI neg-neg 27 11.7 15.9 66.7 0.7 1.0 0.9 29.0 -18.6
pair LWTI RSIhist neg-neg 27 11.7 15.9 66.7 0.7 1.0 0.9 29.0 -18.6
pair SLmean RSIhist neg-pos 5 2.2 13.5 80.0 1.2 0.0 3.4 10.8 -4.0
pair RSIhist SLmean neg-pos 5 2.2 13.5 80.0 1.2 0.0 3.4 10.8 -4.0
pair RSI LWTI pos-neg 4 1.7 13.2 50.0 1.3 2.8 69.6 9.5 -0.2
pair LWTI RSI pos-neg 4 1.7 13.2 50.0 1.3 2.8 69.6 9.5 -0.2
pair LWTI RSI neg-neg 49 21.3 13.0 61.2 0.6 1.0 0.6 24.2 -21.8
single LWTI LWTI neg-neg 53 23.0 13.0 60.4 0.6 1.0 0.6 23.3 -21.7
pair RSI LWTI neg-neg 49 21.3 13.0 61.2 0.6 1.0 0.6 24.2 -21.8
pair MACD RSI neg-pos 12 5.2 12.7 66.7 0.7 0.7 0.8 18.9 -16.2
pair RSI MACD neg-pos 12 5.2 12.7 66.7 0.7 0.7 0.8 18.9 -16.2
pair MACDhist SLmean neg-pos 34 14.8 11.2 64.7 0.6 0.8 0.5 21.3 -24.9
pair SLmean MACDhist neg-pos 34 14.8 11.2 64.7 0.6 0.8 0.5 21.3 -24.9
pair RSI MRmean pos-neg 23 10.0 10.9 65.2 0.6 1.1 0.7 19.2 -15.9
pair MRmean RSI pos-neg 23 10.0 10.9 65.2 0.6 1.1 0.7 19.2 -15.9
pair RSIhist MACD neg-pos 41 17.8 10.8 61.0 0.7 1.2 0.5 16.2 -21.0
pair MACD RSIhist neg-pos 41 17.8 10.8 61.0 0.7 1.2 0.5 16.2 -21.0
pair MACD SLmean pos-neg 38 16.5 10.5 57.9 0.7 1.1 0.5 17.1 -21.6
pair SLmean MACD pos-neg 38 16.5 10.5 57.9 0.7 1.1 0.5 17.1 -21.6
pair MACDhist LWTI neg-neg 43 18.7 10.3 60.5 0.5 0.8 0.5 24.7 -20.1
pair LWTI MACDhist neg-neg 43 18.7 10.3 60.5 0.5 0.8 0.5 24.7 -20.1
pair MACD SLmean neg-pos 48 20.9 10.2 62.5 0.5 0.7 0.3 23.3 -31.2
pair SLmean MACD neg-pos 48 20.9 10.2 62.5 0.5 0.7 0.3 23.3 -31.2
pair RSIhist LWTI pos-neg 26 11.3 10.0 53.8 0.7 1.7 0.9 15.9 -11.2
pair LWTI RSIhist pos-neg 26 11.3 10.0 53.8 0.7 1.7 0.9 15.9 -11.2
pair SLmean RSI neg-pos 40 17.4 9.8 60.0 0.5 0.8 0.3 23.3 -29.9
pair RSI SLmean neg-pos 40 17.4 9.8 60.0 0.5 0.8 0.3 23.3 -29.9
pair MRmean RSIhist pos-neg 36 15.7 9.7 61.1 0.5 0.9 0.5 22.4 -20.5
pair RSIhist MRmean pos-neg 36 15.7 9.7 61.1 0.5 0.9 0.5 22.4 -20.5
pair SLmean LWTI pos-neg 27 11.7 9.3 51.9 0.6 1.6 0.7 16.5 -13.5
pair LWTI SLmean pos-neg 27 11.7 9.3 51.9 0.6 1.6 0.7 16.5 -13.5
pair RSmean MRmean pos-pos 137 59.6 9.0 58.4 0.5 0.8 0.4 19.8 -23.4
pair MRmean RSmean pos-pos 137 59.6 9.0 58.4 0.5 0.8 0.4 19.8 -23.4
pair LWTI MRmean neg-neg 36 15.7 8.0 58.3 0.4 0.7 0.4 25.7 -20.1
pair MRmean LWTI neg-neg 36 15.7 8.0 58.3 0.4 0.7 0.4 25.7 -20.1
pair RSI RSIhist pos-neg 58 25.2 7.9 58.6 0.4 0.7 0.2 23.9 -36.0
pair RSIhist RSI pos-neg 58 25.2 7.9 58.6 0.4 0.7 0.2 23.9 -36.0
pair RSIhist MACD pos-neg 67 29.1 7.4 59.7 0.4 0.7 0.2 23.8 -37.1
pair MACD RSIhist pos-neg 67 29.1 7.4 59.7 0.4 0.7 0.2 23.8 -37.1
pair RSmean RSI pos-pos 135 58.7 7.3 56.3 0.4 0.7 0.2 21.0 -38.2
pair RSI RSmean pos-pos 135 58.7 7.3 56.3 0.4 0.7 0.2 21.0 -38.2
pair MACDhist MACD pos-neg 42 18.3 6.2 54.8 0.4 0.6 0.3 24.1 -22.4
pair MRmean MACDhist pos-pos 110 47.8 6.2 55.5 0.4 0.6 0.2 20.5 -25.3
pair MACD MACDhist pos-neg 42 18.3 6.2 54.8 0.4 0.6 0.3 24.1 -22.4
pair MACDhist MRmean pos-pos 110 47.8 6.2 55.5 0.4 0.6 0.2 20.5 -25.3
single MRmean MRmean pos-pos 143 62.2 6.1 55.9 0.4 0.6 0.3 20.0 -23.4
pair SLmean RSmean pos-pos 127 55.2 5.8 54.3 0.4 0.6 0.2 19.7 -30.7
pair RSmean SLmean pos-pos 127 55.2 5.8 54.3 0.4 0.6 0.2 19.7 -30.7
pair MRmean MACDhist pos-neg 33 14.3 5.7 57.6 0.4 0.7 0.3 18.6 -22.4
pair MACDhist MRmean pos-neg 33 14.3 5.7 57.6 0.4 0.7 0.3 18.6 -22.4
pair RSI MRmean neg-pos 23 10.0 5.6 56.5 0.3 0.6 0.3 26.1 -19.4
pair MRmean RSI neg-pos 23 10.0 5.6 56.5 0.3 0.6 0.3 26.1 -19.4
pair RSmean RSIhist pos-pos 113 49.1 5.6 54.9 0.4 0.6 0.2 18.4 -24.9
pair RSIhist RSmean pos-pos 113 49.1 5.6 54.9 0.4 0.6 0.2 18.4 -24.9
pair RSI MACDhist pos-pos 109 47.4 5.5 56.0 0.4 0.5 0.2 20.2 -23.4
pair MACDhist RSI pos-pos 109 47.4 5.5 56.0 0.4 0.5 0.2 20.2 -23.4
pair MRmean MACD neg-pos 32 13.9 5.3 59.4 0.3 0.5 0.2 25.2 -22.4
pair MACD MRmean neg-pos 32 13.9 5.3 59.4 0.3 0.5 0.2 25.2 -22.4
single RSI RSI pos-pos 143 62.2 5.3 54.5 0.3 0.5 0.1 21.2 -38.2
pair RSmean MACDhist pos-pos 125 54.3 5.2 56.0 0.3 0.5 0.1 20.6 -40.5
pair RSIhist MACDhist pos-neg 40 17.4 5.2 57.5 0.3 0.5 0.2 25.0 -27.5
pair MACDhist RSmean pos-pos 125 54.3 5.2 56.0 0.3 0.5 0.1 20.6 -40.5
pair MRmean RSI pos-pos 120 52.2 5.2 54.2 0.3 0.5 0.2 20.2 -23.4
pair RSI MRmean pos-pos 120 52.2 5.2 54.2 0.3 0.5 0.2 20.2 -23.4
pair MACDhist RSIhist pos-neg 40 17.4 5.2 57.5 0.3 0.5 0.2 25.0 -27.5
single RSmean RSmean pos-pos 208 90.4 5.1 57.7 0.3 0.5 0.1 23.3 -42.3
pair RSmean MACD pos-pos 136 59.1 5.1 55.1 0.3 0.5 0.1 21.4 -39.4
pair MACD RSmean pos-pos 136 59.1 5.1 55.1 0.3 0.5 0.1 21.4 -39.4
pair RSmean MACD pos-neg 72 31.3 5.0 62.5 0.3 0.4 0.2 26.6 -30.7
pair RSI LWTI pos-pos 139 60.4 5.0 54.7 0.3 0.5 0.1 21.4 -38.2
pair LWTI RSI pos-pos 139 60.4 5.0 54.7 0.3 0.5 0.1 21.4 -38.2
single MACDhist MACDhist pos-pos 128 55.7 5.0 55.5 0.3 0.5 0.1 20.7 -38.4
pair MACD LWTI pos-pos 136 59.1 5.0 54.4 0.3 0.5 0.1 21.7 -39.4
pair LWTI MACD pos-pos 136 59.1 5.0 54.4 0.3 0.5 0.1 21.7 -39.4
pair MACD RSmean pos-neg 72 31.3 5.0 62.5 0.3 0.4 0.2 26.6 -30.7
pair MACDhist RSIhist pos-pos 88 38.3 4.9 54.5 0.3 0.5 0.2 18.5 -24.9
pair MRmean RSIhist pos-pos 107 46.5 4.9 54.2 0.3 0.5 0.2 19.2 -24.9
pair RSIhist MRmean pos-pos 107 46.5 4.9 54.2 0.3 0.5 0.2 19.2 -24.9
pair RSIhist MACDhist pos-pos 88 38.3 4.9 54.5 0.3 0.5 0.2 18.5 -24.9
pair RSmean MACDhist pos-neg 83 36.1 4.9 60.2 0.3 0.4 0.2 26.9 -28.7
pair MACDhist RSmean pos-neg 83 36.1 4.9 60.2 0.3 0.4 0.2 26.9 -28.7
pair RSI MACD pos-pos 131 57.0 4.6 53.4 0.3 0.5 0.1 21.4 -38.2
pair MACD RSI pos-pos 131 57.0 4.6 53.4 0.3 0.5 0.1 21.4 -38.2
pair RSmean RSIhist pos-neg 95 41.3 4.6 61.1 0.3 0.4 0.1 28.1 -37.1
pair RSIhist RSmean pos-neg 95 41.3 4.6 61.1 0.3 0.4 0.1 28.1 -37.1
pair RSI MACDhist pos-neg 34 14.8 4.5 50.0 0.3 0.6 0.2 24.3 -25.1
pair MACDhist RSI pos-neg 34 14.8 4.5 50.0 0.3 0.6 0.2 24.3 -25.1
pair RSmean SLmean neg-pos 81 35.2 4.0 63.0 0.3 0.3 0.1 28.1 -31.2
pair RSIhist RSI neg-pos 32 13.9 4.0 56.2 0.3 0.5 0.2 17.2 -21.0
pair RSI RSIhist neg-pos 32 13.9 4.0 56.2 0.3 0.5 0.2 17.2 -21.0
pair SLmean RSmean neg-pos 81 35.2 4.0 63.0 0.3 0.3 0.1 28.1 -31.2
pair MRmean LWTI pos-pos 126 54.8 3.8 54.8 0.3 0.4 0.2 20.3 -23.4
pair LWTI MRmean pos-pos 126 54.8 3.8 54.8 0.3 0.4 0.2 20.3 -23.4
pair SLmean MRmean pos-pos 122 53.0 3.7 53.3 0.3 0.4 0.1 20.3 -26.4
pair MRmean SLmean pos-pos 122 53.0 3.7 53.3 0.3 0.4 0.1 20.3 -26.4
single RSIhist RSIhist pos-pos 117 50.9 3.6 53.0 0.3 0.4 0.1 18.6 -24.9
pair RSI SLmean pos-pos 103 44.8 3.5 52.4 0.3 0.4 0.1 20.4 -25.5
pair SLmean RSI pos-pos 103 44.8 3.5 52.4 0.3 0.4 0.1 20.4 -25.5
pair RSIhist RSI pos-pos 85 37.0 3.5 51.8 0.3 0.4 0.1 19.1 -26.1
pair RSI RSIhist pos-pos 85 37.0 3.5 51.8 0.3 0.4 0.1 19.1 -26.1
pair MACDhist LWTI pos-pos 118 51.3 3.4 55.1 0.3 0.4 0.1 21.0 -36.3
pair LWTI MACDhist pos-pos 118 51.3 3.4 55.1 0.3 0.4 0.1 21.0 -36.3
single MACD MACD pos-pos 143 62.2 3.4 53.8 0.3 0.4 0.1 21.7 -39.4
pair SLmean MACDhist pos-neg 39 17.0 3.3 51.3 0.3 0.5 0.1 18.3 -28.6
pair MACDhist SLmean pos-neg 39 17.0 3.3 51.3 0.3 0.5 0.1 18.3 -28.6
pair RSIhist SLmean pos-pos 112 48.7 3.2 51.8 0.3 0.4 0.1 18.9 -24.9
pair SLmean RSIhist pos-pos 112 48.7 3.2 51.8 0.3 0.4 0.1 18.9 -24.9
single SLmean SLmean pos-pos 133 57.8 3.0 51.9 0.2 0.4 0.1 19.8 -30.9
pair MRmean MACD pos-pos 111 48.3 2.8 52.3 0.2 0.4 0.1 20.7 -23.4
pair MACD MRmean pos-pos 111 48.3 2.8 52.3 0.2 0.4 0.1 20.7 -23.4
pair MACDhist SLmean pos-pos 94 40.9 2.8 52.1 0.2 0.3 0.1 20.5 -26.9
pair SLmean MACDhist pos-pos 94 40.9 2.8 52.1 0.2 0.3 0.1 20.5 -26.9
pair MACDhist MACD pos-pos 101 43.9 2.2 53.5 0.2 0.3 0.1 20.7 -23.4
pair MACD MACDhist pos-pos 101 43.9 2.2 53.5 0.2 0.3 0.1 20.7 -23.4
pair MACDhist RSI neg-pos 19 8.3 2.1 52.6 0.2 0.3 0.1 23.9 -27.4
pair RSI MACDhist neg-pos 19 8.3 2.1 52.6 0.2 0.3 0.1 23.9 -27.4
pair benchmark___benchmark_ benchmark-benchmark 230 100.0 2.1 55.7 0.2 0.3 0.0 23.9 -62.0
pair benchmark___benchmark_ benchmark-benchmark 230 100.0 2.1 55.7 0.2 0.3 0.0 23.9 -62.0
pair LWTI RSIhist pos-pos 91 39.6 1.9 52.7 0.2 0.3 0.1 19.3 -26.5
pair RSIhist LWTI pos-pos 91 39.6 1.9 52.7 0.2 0.3 0.1 19.3 -26.5
pair RSIhist SLmean pos-neg 21 9.1 1.7 52.4 0.2 0.5 0.1 25.0 -13.2
pair SLmean RSIhist pos-neg 21 9.1 1.7 52.4 0.2 0.5 0.1 25.0 -13.2
pair SLmean LWTI pos-pos 106 46.1 1.4 51.9 0.2 0.3 0.1 20.7 -30.1
pair LWTI SLmean pos-pos 106 46.1 1.4 51.9 0.2 0.3 0.1 20.7 -30.1
pair RSmean LWTI pos-pos 156 67.8 1.3 56.4 0.2 0.2 0.0 23.6 -41.0
pair LWTI RSmean pos-pos 156 67.8 1.3 56.4 0.2 0.2 0.0 23.6 -41.0
pair RSmean RSI pos-neg 73 31.7 1.2 60.3 0.2 0.2 0.0 27.1 -31.9
pair RSI RSmean pos-neg 73 31.7 1.2 60.3 0.2 0.2 0.0 27.1 -31.9
pair RSI SLmean pos-neg 30 13.0 1.0 50.0 0.1 0.3 0.1 18.3 -21.6
pair SLmean RSI pos-neg 30 13.0 1.0 50.0 0.1 0.3 0.1 18.3 -21.6
single SLmean SLmean neg-neg 97 42.2 0.9 60.8 0.2 0.2 0.0 28.7 -62.0
single RSIhist RSIhist neg-neg 113 49.1 0.5 58.4 0.2 0.2 0.0 28.5 -62.0
pair SLmean RSIhist neg-neg 92 40.0 0.3 59.8 0.2 0.2 0.0 29.4 -62.0
pair RSIhist SLmean neg-neg 92 40.0 0.3 59.8 0.2 0.2 0.0 29.4 -62.0
pair MACD SLmean pos-pos 95 41.3 0.1 49.5 0.1 0.2 0.0 20.9 -26.2
pair SLmean MACD pos-pos 95 41.3 0.1 49.5 0.1 0.2 0.0 20.9 -26.2
pair RSIhist MACDhist neg-pos 29 12.6 0.0 48.3 0.1 0.2 0.0 19.0 -25.2
pair MACDhist RSIhist neg-pos 29 12.6 0.0 48.3 0.1 0.2 0.0 19.0 -25.2
pair MACD RSIhist pos-pos 76 33.0 -0.0 48.7 0.1 0.1 -0.0 19.7 -25.4
pair RSIhist MACD pos-pos 76 33.0 -0.0 48.7 0.1 0.1 -0.0 19.7 -25.4
single MACD MACD neg-neg 87 37.8 0.0 58.6 0.1 0.2 0.0 27.3 -62.0
single LWTI LWTI pos-pos 177 77.0 -1.0 54.2 0.1 0.1 -0.0 24.1 -72.6
single MACDhist MACDhist neg-neg 102 44.3 -1.4 55.9 0.1 0.1 -0.0 27.6 -62.0
pair MACD RSI neg-neg 75 32.6 -1.9 57.3 0.1 0.1 -0.0 28.5 -54.6
pair RSmean MRmean neg-pos 71 30.9 -1.9 56.3 0.1 0.1 -0.1 28.9 -31.9
pair MRmean RSmean neg-pos 71 30.9 -1.9 56.3 0.1 0.1 -0.1 28.9 -31.9
pair RSI MACD neg-neg 75 32.6 -1.9 57.3 0.1 0.1 -0.0 28.5 -54.6
pair MACDhist RSIhist neg-neg 73 31.7 -2.0 58.9 0.1 0.1 -0.0 30.4 -62.0
pair RSIhist MACDhist neg-neg 73 31.7 -2.0 58.9 0.1 0.1 -0.0 30.4 -62.0
pair MRmean MACDhist neg-pos 18 7.8 -2.1 55.6 0.0 0.0 -0.1 22.5 -24.9
pair MACDhist MRmean neg-pos 18 7.8 -2.1 55.6 0.0 0.0 -0.1 22.5 -24.9
single RSI RSI neg-neg 87 37.8 -2.9 57.5 0.0 0.1 -0.1 28.0 -54.6
pair RSIhist MRmean neg-neg 77 33.5 -3.5 57.1 0.0 0.1 -0.1 31.0 -62.0
pair MRmean RSIhist neg-neg 77 33.5 -3.5 57.1 0.0 0.1 -0.1 31.0 -62.0
pair RSIhist LWTI neg-pos 86 37.4 -3.9 55.8 0.0 0.0 -0.1 28.4 -67.9
pair LWTI RSIhist neg-pos 86 37.4 -3.9 55.8 0.0 0.0 -0.1 28.4 -67.9
pair SLmean MRmean neg-neg 76 33.0 -4.0 57.9 0.0 0.0 -0.1 31.0 -62.0
pair MRmean SLmean neg-neg 76 33.0 -4.0 57.9 0.0 0.0 -0.1 31.0 -62.0
single MRmean MRmean neg-neg 87 37.8 -4.1 55.2 0.0 0.0 -0.1 29.4 -62.7
pair RSI MACDhist neg-neg 68 29.6 -4.2 58.8 0.0 0.0 -0.1 29.2 -54.6
pair MACDhist RSI neg-neg 68 29.6 -4.2 58.8 0.0 0.0 -0.1 29.2 -54.6
pair SLmean MACDhist neg-neg 63 27.4 -4.3 58.7 0.0 0.0 -0.1 32.1 -62.0
pair MACDhist SLmean neg-neg 63 27.4 -4.3 58.7 0.0 0.0 -0.1 32.1 -62.0
pair SLmean LWTI neg-pos 71 30.9 -4.4 57.7 -0.0 -0.0 -0.1 28.6 -66.6
pair LWTI SLmean neg-pos 71 30.9 -4.4 57.7 -0.0 -0.0 -0.1 28.6 -66.6
pair MRmean MACDhist neg-neg 69 30.0 -4.7 55.1 0.0 0.0 -0.1 31.0 -62.0
pair MACDhist MRmean neg-neg 69 30.0 -4.7 55.1 0.0 0.0 -0.1 31.0 -62.0
pair RSI SLmean neg-neg 57 24.8 -4.9 61.4 0.0 0.0 -0.1 32.1 -54.6
pair MACDhist RSmean neg-pos 3 1.3 -4.9 33.3 -0.1 -0.1 -0.6 28.5 -8.6
pair RSmean MACDhist neg-pos 3 1.3 -4.9 33.3 -0.1 -0.1 -0.6 28.5 -8.6
pair SLmean RSI neg-neg 57 24.8 -4.9 61.4 0.0 0.0 -0.1 32.1 -54.6
pair MRmean SLmean neg-pos 11 4.8 -5.1 36.4 -0.3 -0.7 -0.5 14.0 -10.7
pair SLmean MRmean neg-pos 11 4.8 -5.1 36.4 -0.3 -0.7 -0.5 14.0 -10.7
pair MACDhist MACD neg-neg 60 26.1 -6.4 56.7 -0.1 -0.1 -0.1 29.9 -62.0
pair MACD MACDhist neg-neg 60 26.1 -6.4 56.7 -0.1 -0.1 -0.1 29.9 -62.0
pair RSIhist RSI neg-neg 55 23.9 -6.7 58.2 -0.0 -0.1 -0.1 32.8 -54.6
pair RSI RSIhist neg-neg 55 23.9 -6.7 58.2 -0.0 -0.1 -0.1 32.8 -54.6
pair MRmean RSI neg-neg 64 27.8 -7.4 54.7 -0.1 -0.1 -0.1 30.6 -56.4
pair RSI MRmean neg-neg 64 27.8 -7.4 54.7 -0.1 -0.1 -0.1 30.6 -56.4
pair SLmean MACD neg-neg 49 21.3 -7.4 59.2 -0.1 -0.1 -0.1 33.3 -62.0
pair MACD SLmean neg-neg 49 21.3 -7.4 59.2 -0.1 -0.1 -0.1 33.3 -62.0
pair RSIhist MACD neg-neg 46 20.0 -8.7 56.5 -0.1 -0.1 -0.1 34.4 -62.0
pair MACD RSIhist neg-neg 46 20.0 -8.7 56.5 -0.1 -0.1 -0.1 34.4 -62.0
pair MRmean RSIhist neg-pos 10 4.3 -8.8 40.0 -0.9 -1.5 -0.9 9.6 -9.8
pair RSIhist MRmean neg-pos 10 4.3 -8.8 40.0 -0.9 -1.5 -0.9 9.6 -9.8
pair RSI MACD pos-neg 12 5.2 -9.2 58.3 -0.3 -0.3 -0.6 25.4 -14.9
pair LWTI MACDhist neg-pos 59 25.7 -9.2 52.5 -0.2 -0.2 -0.1 29.5 -65.1
pair MACDhist LWTI neg-pos 59 25.7 -9.2 52.5 -0.2 -0.2 -0.1 29.5 -65.1
pair MACD RSI pos-neg 12 5.2 -9.2 58.3 -0.3 -0.3 -0.6 25.4 -14.9
pair MACD MRmean neg-neg 55 23.9 -9.2 52.7 -0.1 -0.2 -0.1 31.7 -62.0
pair MRmean MACD neg-neg 55 23.9 -9.2 52.7 -0.1 -0.2 -0.1 31.7 -62.0
pair MRmean LWTI neg-pos 51 22.2 -11.9 52.9 -0.2 -0.3 -0.2 31.7 -67.4
pair LWTI MRmean neg-pos 51 22.2 -11.9 52.9 -0.2 -0.3 -0.2 31.7 -67.4
pair SLmean RSmean neg-neg 16 7.0 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair RSmean MRmean neg-neg 16 7.0 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair MRmean RSmean neg-neg 16 7.0 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair RSmean SLmean neg-neg 16 7.0 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair LWTI RSmean neg-pos 21 9.1 -16.0 38.1 -0.5 -0.9 -0.4 27.8 -42.2
pair RSmean LWTI neg-pos 21 9.1 -16.0 38.1 -0.5 -0.9 -0.4 27.8 -42.2
pair RSIhist RSmean neg-neg 18 7.8 -18.4 44.4 -0.5 -1.1 -0.4 31.0 -43.3
pair MACD LWTI neg-pos 41 17.8 -18.4 53.7 -0.5 -0.7 -0.3 30.6 -65.9
pair LWTI MACD neg-pos 41 17.8 -18.4 53.7 -0.5 -0.7 -0.3 30.6 -65.9
pair RSmean RSIhist neg-neg 18 7.8 -18.4 44.4 -0.5 -1.1 -0.4 31.0 -43.3
pair RSI LWTI neg-pos 38 16.5 -20.1 52.6 -0.5 -0.7 -0.3 31.8 -66.1
pair LWTI RSI neg-pos 38 16.5 -20.1 52.6 -0.5 -0.7 -0.3 31.8 -66.1
pair MACD RSmean neg-neg 15 6.5 -20.8 40.0 -0.6 -1.3 -0.5 30.8 -39.9
pair RSmean MACD neg-neg 15 6.5 -20.8 40.0 -0.6 -1.3 -0.5 30.8 -39.9
pair RSmean RSI neg-neg 14 6.1 -21.8 42.9 -0.6 -1.2 -0.6 32.5 -34.0
pair RSI RSmean neg-neg 14 6.1 -21.8 42.9 -0.6 -1.2 -0.6 32.5 -34.0
single RSmean RSmean neg-neg 22 9.6 -22.4 36.4 -0.7 -1.2 -0.4 29.0 -50.9
pair RSI RSmean neg-pos 8 3.5 -23.6 25.0 -1.0 -1.5 -0.9 23.4 -26.8
pair RSmean RSI neg-pos 8 3.5 -23.6 25.0 -1.0 -1.5 -0.9 23.4 -26.8
pair MACD LWTI pos-neg 7 3.0 -23.9 42.9 -1.1 -1.1 -1.3 21.7 -17.8
pair LWTI MACD pos-neg 7 3.0 -23.9 42.9 -1.1 -1.1 -1.3 21.7 -17.8
pair MACDhist RSmean neg-neg 19 8.3 -24.9 36.8 -0.8 -1.4 -0.5 29.7 -50.3
pair RSmean MACDhist neg-neg 19 8.3 -24.9 36.8 -0.8 -1.4 -0.5 29.7 -50.3
pair RSmean MACD neg-pos 7 3.0 -25.8 28.6 -1.0 -1.2 -1.1 26.9 -24.1
pair MACD RSmean neg-pos 7 3.0 -25.8 28.6 -1.0 -1.2 -1.1 26.9 -24.1
pair RSmean RSIhist neg-pos 4 1.7 -38.3 0.0 -2.4 -2.4 -2.8 18.9 -13.7
pair RSIhist RSmean neg-pos 4 1.7 -38.3 0.0 -2.4 -2.4 -2.8 18.9 -13.7
pair MRmean RSmean pos-neg 6 2.6 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair RSmean MRmean pos-neg 6 2.6 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair SLmean RSmean pos-neg 6 2.6 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair RSmean SLmean pos-neg 6 2.6 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair RSmean LWTI neg-neg 1 0.4 -85.6 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.4 -85.6 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for NLR

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 3.7% | Win 53%
Sharpe 0.28 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -26.4%
Months 122M (53%)
CAGR 20.9% | Win 71%
Sharpe 1.16 | Sortino 1.30 | Calmar 1.6
Vol 18% | MDD -13.0%
Months 21M (9%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR -5.1% | Win 36%
Sharpe -0.31 | Sortino -0.71 | Calmar -0.5
Vol 14% | MDD -10.7%
Months 11M (5%)
CAGR -4.0% | Win 58%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -62.0%
Months 76M (33%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
SLmean
only
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 9.0% | Win 58%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.4
Vol 20% | MDD -23.4%
Months 137M (60%)
CAGR -42.4% | Win 0%
Sharpe -3.25 | Sortino -3.25 | Calmar -1.8
Vol 16% | MDD -23.1%
Months 6M (3%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR -1.9% | Win 56%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.1
Vol 29% | MDD -31.9%
Months 71M (31%)
CAGR -13.3% | Win 50%
Sharpe -0.29 | Sortino -0.63 | Calmar -0.4
Vol 32% | MDD -36.4%
Months 16M (7%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
RSmean
only
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 2.8% | Win 52%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 21% | MDD -23.4%
Months 111M (48%)
CAGR 18.2% | Win 69%
Sharpe 1.06 | Sortino 1.60 | Calmar 1.1
Vol 17% | MDD -15.9%
Months 32M (14%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR 5.3% | Win 59%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.2
Vol 25% | MDD -22.4%
Months 32M (14%)
CAGR -9.2% | Win 53%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.1
Vol 32% | MDD -62.0%
Months 55M (24%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
MACD
only
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 5.2% | Win 54%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.2
Vol 20% | MDD -23.4%
Months 120M (52%)
CAGR 10.9% | Win 65%
Sharpe 0.64 | Sortino 1.10 | Calmar 0.7
Vol 19% | MDD -15.9%
Months 23M (10%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR 5.6% | Win 56%
Sharpe 0.33 | Sortino 0.55 | Calmar 0.3
Vol 26% | MDD -19.4%
Months 23M (10%)
CAGR -7.4% | Win 55%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 31% | MDD -56.4%
Months 64M (28%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.2
Vol 20% | MDD -25.3%
Months 110M (48%)
CAGR 5.7% | Win 58%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.3
Vol 19% | MDD -22.4%
Months 33M (14%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR -2.1% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 22% | MDD -24.9%
Months 18M (8%)
CAGR -4.7% | Win 55%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 31% | MDD -62.0%
Months 69M (30%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
MACDhist
only
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 4.9% | Win 54%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.2
Vol 19% | MDD -24.9%
Months 107M (46%)
CAGR 9.7% | Win 61%
Sharpe 0.52 | Sortino 0.90 | Calmar 0.5
Vol 22% | MDD -20.5%
Months 36M (16%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR -8.8% | Win 40%
Sharpe -0.91 | Sortino -1.47 | Calmar -0.9
Vol 10% | MDD -9.8%
Months 10M (4%)
CAGR -3.5% | Win 57%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 31% | MDD -62.0%
Months 77M (34%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 3.8% | Win 55%
Sharpe 0.29 | Sortino 0.42 | Calmar 0.2
Vol 20% | MDD -23.4%
Months 126M (55%)
CAGR 24.2% | Win 65%
Sharpe 1.32 | Sortino 3.26 | Calmar 2.7
Vol 18% | MDD -9.0%
Months 17M (7%)
CAGR 6.1% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.3
Vol 20% | MDD -23.4%
Months 143M (62%)
MRmean
neg
CAGR -11.9% | Win 53%
Sharpe -0.24 | Sortino -0.34 | Calmar -0.2
Vol 32% | MDD -67.4%
Months 51M (22%)
CAGR 8.0% | Win 58%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.4
Vol 26% | MDD -20.1%
Months 36M (16%)
CAGR -4.1% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -62.7%
Months 87M (38%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 5.8% | Win 54%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -30.7%
Months 127M (55%)
CAGR -42.4% | Win 0%
Sharpe -3.25 | Sortino -3.25 | Calmar -1.8
Vol 16% | MDD -23.1%
Months 6M (3%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR 4.0% | Win 63%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 28% | MDD -31.2%
Months 81M (35%)
CAGR -13.3% | Win 50%
Sharpe -0.29 | Sortino -0.63 | Calmar -0.4
Vol 32% | MDD -36.4%
Months 16M (7%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
RSmean
only
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 0.1% | Win 50%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 21% | MDD -26.2%
Months 95M (41%)
CAGR 10.5% | Win 58%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.5
Vol 17% | MDD -21.6%
Months 38M (16%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR 10.2% | Win 62%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.3
Vol 23% | MDD -31.2%
Months 48M (21%)
CAGR -7.4% | Win 59%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -62.0%
Months 49M (21%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
MACD
only
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 3.5% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -25.5%
Months 103M (45%)
CAGR 1.0% | Win 50%
Sharpe 0.14 | Sortino 0.28 | Calmar 0.0
Vol 18% | MDD -21.6%
Months 30M (13%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR 9.8% | Win 60%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.3
Vol 23% | MDD -29.9%
Months 40M (17%)
CAGR -4.9% | Win 61%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 32% | MDD -54.6%
Months 57M (25%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 2.8% | Win 52%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 20% | MDD -26.9%
Months 94M (41%)
CAGR 3.3% | Win 51%
Sharpe 0.27 | Sortino 0.52 | Calmar 0.1
Vol 18% | MDD -28.6%
Months 39M (17%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR 11.2% | Win 65%
Sharpe 0.61 | Sortino 0.78 | Calmar 0.5
Vol 21% | MDD -24.9%
Months 34M (15%)
CAGR -4.3% | Win 59%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 32% | MDD -62.0%
Months 63M (27%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
MACDhist
only
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 3.2% | Win 52%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 112M (49%)
CAGR 1.7% | Win 52%
Sharpe 0.18 | Sortino 0.47 | Calmar 0.1
Vol 25% | MDD -13.2%
Months 21M (9%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR 13.5% | Win 80%
Sharpe 1.22 | Sortino 0.00 | Calmar 3.4
Vol 11% | MDD -4.0%
Months 5M (2%)
CAGR 0.3% | Win 60%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 92M (40%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 1.4% | Win 52%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 21% | MDD -30.1%
Months 106M (46%)
CAGR 9.3% | Win 52%
Sharpe 0.62 | Sortino 1.60 | Calmar 0.7
Vol 16% | MDD -13.5%
Months 27M (12%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (58%)
SLmean
neg
CAGR -4.4% | Win 58%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -66.6%
Months 71M (31%)
CAGR 17.0% | Win 69%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.9
Vol 29% | MDD -18.6%
Months 26M (11%)
CAGR 0.9% | Win 61%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 29% | MDD -62.0%
Months 97M (42%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 5.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -39.4%
Months 136M (59%)
CAGR 5.0% | Win 62%
Sharpe 0.32 | Sortino 0.39 | Calmar 0.2
Vol 27% | MDD -30.7%
Months 72M (31%)
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
RSmean
neg
CAGR -25.8% | Win 29%
Sharpe -0.97 | Sortino -1.25 | Calmar -1.1
Vol 27% | MDD -24.1%
Months 7M (3%)
CAGR -20.8% | Win 40%
Sharpe -0.61 | Sortino -1.26 | Calmar -0.5
Vol 31% | MDD -39.9%
Months 15M (6%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
MACD
only
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.67 | Calmar 0.2
Vol 21% | MDD -38.2%
Months 135M (59%)
CAGR 1.2% | Win 60%
Sharpe 0.18 | Sortino 0.23 | Calmar 0.0
Vol 27% | MDD -31.9%
Months 73M (32%)
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
RSmean
neg
CAGR -23.6% | Win 25%
Sharpe -1.03 | Sortino -1.54 | Calmar -0.9
Vol 23% | MDD -26.8%
Months 8M (4%)
CAGR -21.8% | Win 43%
Sharpe -0.59 | Sortino -1.16 | Calmar -0.6
Vol 32% | MDD -34.0%
Months 14M (6%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 5.2% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 21% | MDD -40.5%
Months 125M (54%)
CAGR 4.9% | Win 60%
Sharpe 0.32 | Sortino 0.41 | Calmar 0.2
Vol 27% | MDD -28.7%
Months 83M (36%)
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
RSmean
neg
CAGR -4.9% | Win 33%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.6
Vol 28% | MDD -8.6%
Months 3M (1%)
CAGR -24.9% | Win 37%
Sharpe -0.81 | Sortino -1.43 | Calmar -0.5
Vol 30% | MDD -50.3%
Months 19M (8%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
MACDhist
only
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 5.6% | Win 55%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.2
Vol 18% | MDD -24.9%
Months 113M (49%)
CAGR 4.6% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 28% | MDD -37.1%
Months 95M (41%)
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
RSmean
neg
CAGR -38.3% | Win 0%
Sharpe -2.42 | Sortino -2.42 | Calmar -2.8
Vol 19% | MDD -13.7%
Months 4M (2%)
CAGR -18.4% | Win 44%
Sharpe -0.50 | Sortino -1.06 | Calmar -0.4
Vol 31% | MDD -43.3%
Months 18M (8%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 1.3% | Win 56%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 24% | MDD -41.0%
Months 156M (68%)
CAGR 17.6% | Win 62%
Sharpe 0.84 | Sortino 1.44 | Calmar 0.9
Vol 22% | MDD -20.1%
Months 52M (23%)
CAGR 5.1% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 208M (90%)
RSmean
neg
CAGR -16.0% | Win 38%
Sharpe -0.49 | Sortino -0.87 | Calmar -0.4
Vol 28% | MDD -42.2%
Months 21M (9%)
CAGR -85.6% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -22.4% | Win 36%
Sharpe -0.73 | Sortino -1.25 | Calmar -0.4
Vol 29% | MDD -50.9%
Months 22M (10%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 131M (57%)
CAGR -9.2% | Win 58%
Sharpe -0.26 | Sortino -0.35 | Calmar -0.6
Vol 25% | MDD -14.9%
Months 12M (5%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
MACD
neg
CAGR 12.7% | Win 67%
Sharpe 0.72 | Sortino 0.74 | Calmar 0.8
Vol 19% | MDD -16.2%
Months 12M (5%)
CAGR -1.9% | Win 57%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 28% | MDD -54.6%
Months 75M (33%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 2.2% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 21% | MDD -23.4%
Months 101M (44%)
CAGR 6.2% | Win 55%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.3
Vol 24% | MDD -22.4%
Months 42M (18%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
MACD
neg
CAGR 16.0% | Win 63%
Sharpe 0.82 | Sortino 1.10 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 27M (12%)
CAGR -6.4% | Win 57%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 30% | MDD -62.0%
Months 60M (26%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
MACDhist
only
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR -0.0% | Win 49%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -25.4%
Months 76M (33%)
CAGR 7.4% | Win 60%
Sharpe 0.41 | Sortino 0.68 | Calmar 0.2
Vol 24% | MDD -37.1%
Months 67M (29%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
MACD
neg
CAGR 10.8% | Win 61%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 16% | MDD -21.0%
Months 41M (18%)
CAGR -8.7% | Win 56%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 34% | MDD -62.0%
Months 46M (20%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 5.0% | Win 54%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 136M (59%)
CAGR -23.9% | Win 43%
Sharpe -1.15 | Sortino -1.09 | Calmar -1.3
Vol 22% | MDD -17.8%
Months 7M (3%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 22% | MDD -39.4%
Months 143M (62%)
MACD
neg
CAGR -18.4% | Win 54%
Sharpe -0.50 | Sortino -0.65 | Calmar -0.3
Vol 31% | MDD -65.9%
Months 41M (18%)
CAGR 20.0% | Win 63%
Sharpe 0.90 | Sortino 1.56 | Calmar 1.0
Vol 23% | MDD -20.1%
Months 46M (20%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (38%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 5.5% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 20% | MDD -23.4%
Months 109M (47%)
CAGR 4.5% | Win 50%
Sharpe 0.29 | Sortino 0.55 | Calmar 0.2
Vol 24% | MDD -25.1%
Months 34M (15%)
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
RSI
neg
CAGR 2.1% | Win 53%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -27.4%
Months 19M (8%)
CAGR -4.2% | Win 59%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 29% | MDD -54.6%
Months 68M (30%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
MACDhist
only
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 19% | MDD -26.1%
Months 85M (37%)
CAGR 7.9% | Win 59%
Sharpe 0.43 | Sortino 0.74 | Calmar 0.2
Vol 24% | MDD -36.0%
Months 58M (25%)
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
RSI
neg
CAGR 4.0% | Win 56%
Sharpe 0.31 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -21.0%
Months 32M (14%)
CAGR -6.7% | Win 58%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 33% | MDD -54.6%
Months 55M (24%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 5.0% | Win 55%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 139M (60%)
CAGR 13.2% | Win 50%
Sharpe 1.34 | Sortino 2.77 | Calmar 69.6
Vol 10% | MDD -0.2%
Months 4M (2%)
CAGR 5.3% | Win 55%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 21% | MDD -38.2%
Months 143M (62%)
RSI
neg
CAGR -20.1% | Win 53%
Sharpe -0.53 | Sortino -0.74 | Calmar -0.3
Vol 32% | MDD -66.1%
Months 38M (16%)
CAGR 13.0% | Win 61%
Sharpe 0.62 | Sortino 1.00 | Calmar 0.6
Vol 24% | MDD -21.8%
Months 49M (21%)
CAGR -2.9% | Win 57%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 87M (38%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 4.9% | Win 55%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 18% | MDD -24.9%
Months 88M (38%)
CAGR 5.2% | Win 57%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.2
Vol 25% | MDD -27.5%
Months 40M (17%)
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
MACDhist
neg
CAGR 0.0% | Win 48%
Sharpe 0.09 | Sortino 0.16 | Calmar 0.0
Vol 19% | MDD -25.2%
Months 29M (13%)
CAGR -2.0% | Win 59%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -62.0%
Months 73M (32%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 3.4% | Win 55%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 21% | MDD -36.3%
Months 118M (51%)
CAGR 25.1% | Win 60%
Sharpe 1.40 | Sortino 4.07 | Calmar 5.7
Vol 17% | MDD -4.4%
Months 10M (4%)
CAGR 5.0% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 128M (56%)
MACDhist
neg
CAGR -9.2% | Win 52%
Sharpe -0.18 | Sortino -0.24 | Calmar -0.1
Vol 30% | MDD -65.1%
Months 59M (26%)
CAGR 10.3% | Win 60%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.5
Vol 25% | MDD -20.1%
Months 43M (19%)
CAGR -1.4% | Win 56%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 28% | MDD -62.0%
Months 102M (44%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 1.9% | Win 53%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.1
Vol 19% | MDD -26.5%
Months 91M (40%)
CAGR 10.0% | Win 54%
Sharpe 0.68 | Sortino 1.68 | Calmar 0.9
Vol 16% | MDD -11.2%
Months 26M (11%)
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (51%)
RSIhist
neg
CAGR -3.9% | Win 56%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 28% | MDD -67.9%
Months 86M (37%)
CAGR 15.9% | Win 67%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.9
Vol 29% | MDD -18.6%
Months 27M (12%)
CAGR 0.5% | Win 58%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -62.0%
Months 113M (49%)
LWTI
only
CAGR -1.0% | Win 54%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -72.6%
Months 177M (77%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (23%)