NLR - VanEck Uranium and Nuclear ETF

Signal Pair Analysis

MRmean-SLmean

Best Pair

32.6%

Best CAGR

64

Total Months

1.7%

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 MRmean SLmean pos-neg 20 8.9 32.6 75.0 2.1 6.6 7.7 13.9 -4.2
pair SLmean MRmean pos-neg 20 8.9 32.6 75.0 2.1 6.6 7.7 13.9 -4.2
pair MACDhist LWTI pos-neg 10 4.4 25.1 60.0 1.4 4.1 5.7 17.1 -4.4
pair LWTI MACDhist pos-neg 10 4.4 25.1 60.0 1.4 4.1 5.7 17.1 -4.4
pair MRmean LWTI pos-neg 17 7.6 24.2 64.7 1.3 3.3 2.7 17.7 -9.0
pair LWTI MRmean pos-neg 17 7.6 24.2 64.7 1.3 3.3 2.7 17.7 -9.0
pair SLmean RSI neg-pos 37 16.4 24.1 64.9 1.2 2.1 1.5 20.6 -16.2
pair RSI SLmean neg-pos 37 16.4 24.1 64.9 1.2 2.1 1.5 20.6 -16.2
pair MACD SLmean neg-pos 43 19.1 23.6 67.4 1.2 1.8 1.6 19.9 -15.0
pair SLmean MACD neg-pos 43 19.1 23.6 67.4 1.2 1.8 1.6 19.9 -15.0
pair RSI MRmean neg-pos 21 9.3 20.1 61.9 0.9 1.5 1.2 24.3 -16.2
pair MRmean RSI neg-pos 21 9.3 20.1 61.9 0.9 1.5 1.2 24.3 -16.2
pair MACD LWTI neg-neg 46 20.4 20.0 63.0 0.9 1.6 1.0 23.3 -20.1
pair LWTI MACD neg-neg 46 20.4 20.0 63.0 0.9 1.6 1.0 23.3 -20.1
pair MRmean MACD pos-neg 32 14.2 18.2 68.8 1.1 1.6 1.1 17.3 -15.9
pair MACD MRmean pos-neg 32 14.2 18.2 68.8 1.1 1.6 1.1 17.3 -15.9
pair RSmean LWTI pos-neg 52 23.1 17.6 61.5 0.8 1.4 0.9 22.2 -20.1
pair LWTI RSmean pos-neg 52 23.1 17.6 61.5 0.8 1.4 0.9 22.2 -20.1
pair MACDhist SLmean neg-pos 33 14.7 17.4 66.7 0.9 1.2 0.7 19.7 -24.9
pair SLmean MACDhist neg-pos 33 14.7 17.4 66.7 0.9 1.2 0.7 19.7 -24.9
pair MRmean MACD neg-pos 28 12.4 17.3 64.3 0.8 1.2 1.1 22.5 -15.0
pair MACD MRmean neg-pos 28 12.4 17.3 64.3 0.8 1.2 1.1 22.5 -15.0
pair RSI RSIhist pos-neg 55 24.4 17.0 61.8 0.8 1.5 0.8 22.4 -20.8
pair RSIhist RSI pos-neg 55 24.4 17.0 61.8 0.8 1.5 0.8 22.4 -20.8
pair LWTI SLmean neg-neg 26 11.6 17.0 69.2 0.7 1.0 0.9 29.1 -18.6
pair SLmean LWTI neg-neg 26 11.6 17.0 69.2 0.7 1.0 0.9 29.1 -18.6
pair MACD RSIhist pos-neg 62 27.6 16.1 62.9 0.8 1.4 0.9 21.7 -18.0
pair RSIhist MACD pos-neg 62 27.6 16.1 62.9 0.8 1.4 0.9 21.7 -18.0
pair MACD MACDhist neg-pos 27 12.0 16.0 63.0 0.8 1.1 0.6 20.7 -26.1
pair MACDhist MACD neg-pos 27 12.0 16.0 63.0 0.8 1.1 0.6 20.7 -26.1
pair RSIhist LWTI neg-neg 27 12.0 15.9 66.7 0.7 1.0 0.9 29.0 -18.6
pair LWTI RSIhist neg-neg 27 12.0 15.9 66.7 0.7 1.0 0.9 29.0 -18.6
pair MRmean RSIhist pos-neg 35 15.6 15.4 62.9 0.8 1.5 1.2 21.2 -13.1
pair RSIhist MRmean pos-neg 35 15.6 15.4 62.9 0.8 1.5 1.2 21.2 -13.1
pair MACD MACDhist pos-neg 38 16.9 15.0 57.9 0.8 1.3 0.7 21.9 -20.6
pair MACDhist MACD pos-neg 38 16.9 15.0 57.9 0.8 1.3 0.7 21.9 -20.6
pair MACDhist RSI pos-neg 32 14.2 13.6 53.1 0.7 1.4 0.5 23.0 -25.1
pair RSI MACDhist pos-neg 32 14.2 13.6 53.1 0.7 1.4 0.5 23.0 -25.1
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 1.8 13.2 50.0 1.3 2.8 69.6 9.5 -0.2
pair LWTI RSI pos-neg 4 1.8 13.2 50.0 1.3 2.8 69.6 9.5 -0.2
pair LWTI RSI neg-neg 49 21.8 13.0 61.2 0.6 1.0 0.6 24.2 -21.8
pair RSI LWTI neg-neg 49 21.8 13.0 61.2 0.6 1.0 0.6 24.2 -21.8
single LWTI LWTI neg-neg 53 23.6 13.0 60.4 0.6 1.0 0.6 23.3 -21.7
pair MACD RSI neg-pos 12 5.3 12.7 66.7 0.7 0.7 0.8 18.9 -16.2
pair RSI MACD neg-pos 12 5.3 12.7 66.7 0.7 0.7 0.8 18.9 -16.2
pair RSmean RSI pos-pos 132 58.7 11.0 57.6 0.6 1.0 0.5 20.2 -22.6
pair RSI RSmean pos-pos 132 58.7 11.0 57.6 0.6 1.0 0.5 20.2 -22.6
pair RSI MRmean pos-neg 23 10.2 10.9 65.2 0.6 1.1 0.7 19.2 -15.9
pair MRmean RSI pos-neg 23 10.2 10.9 65.2 0.6 1.1 0.7 19.2 -15.9
pair RSIhist MACD neg-pos 41 18.2 10.8 61.0 0.7 1.2 0.5 16.2 -21.0
pair MACD RSIhist neg-pos 41 18.2 10.8 61.0 0.7 1.2 0.5 16.2 -21.0
pair RSmean SLmean neg-pos 76 33.8 10.6 65.8 0.5 0.6 0.3 27.0 -31.1
pair SLmean RSmean neg-pos 76 33.8 10.6 65.8 0.5 0.6 0.3 27.0 -31.1
pair MACD SLmean pos-neg 38 16.9 10.5 57.9 0.7 1.1 0.5 17.1 -21.6
pair SLmean MACD pos-neg 38 16.9 10.5 57.9 0.7 1.1 0.5 17.1 -21.6
pair RSmean MRmean pos-pos 136 60.4 10.4 58.8 0.6 0.9 0.5 19.5 -22.2
pair MRmean RSmean pos-pos 136 60.4 10.4 58.8 0.6 0.9 0.5 19.5 -22.2
pair MACDhist LWTI neg-neg 43 19.1 10.3 60.5 0.5 0.8 0.5 24.7 -20.1
pair LWTI MACDhist neg-neg 43 19.1 10.3 60.5 0.5 0.8 0.5 24.7 -20.1
pair RSmean RSIhist pos-neg 90 40.0 10.2 63.3 0.5 0.7 0.3 27.2 -30.7
pair RSIhist RSmean pos-neg 90 40.0 10.2 63.3 0.5 0.7 0.3 27.2 -30.7
pair RSIhist LWTI pos-neg 26 11.6 10.0 53.8 0.7 1.7 0.9 15.9 -11.2
pair RSIhist MACDhist pos-neg 39 17.3 10.0 59.0 0.5 0.9 0.4 24.1 -27.5
pair MACDhist RSIhist pos-neg 39 17.3 10.0 59.0 0.5 0.9 0.4 24.1 -27.5
pair LWTI RSIhist pos-neg 26 11.6 10.0 53.8 0.7 1.7 0.9 15.9 -11.2
pair SLmean LWTI pos-neg 27 12.0 9.3 51.9 0.6 1.6 0.7 16.5 -13.5
pair LWTI SLmean pos-neg 27 12.0 9.3 51.9 0.6 1.6 0.7 16.5 -13.5
pair RSmean MACDhist pos-neg 79 35.1 9.0 62.0 0.5 0.6 0.3 26.2 -28.7
pair RSmean MACD pos-pos 131 58.2 9.0 56.5 0.5 0.8 0.4 20.3 -22.6
pair MACDhist RSmean pos-neg 79 35.1 9.0 62.0 0.5 0.6 0.3 26.2 -28.7
pair MACD RSmean pos-pos 131 58.2 9.0 56.5 0.5 0.8 0.4 20.3 -22.6
pair LWTI MACD pos-pos 131 58.2 8.9 55.7 0.5 0.8 0.4 20.6 -22.6
pair MACD LWTI pos-pos 131 58.2 8.9 55.7 0.5 0.8 0.4 20.6 -22.6
single RSI RSI pos-pos 140 62.2 8.6 55.7 0.5 0.8 0.4 20.5 -22.6
pair LWTI RSI pos-pos 136 60.4 8.5 55.9 0.5 0.8 0.4 20.7 -22.6
pair RSI LWTI pos-pos 136 60.4 8.5 55.9 0.5 0.8 0.4 20.7 -22.6
pair MACD RSI pos-pos 128 56.9 8.2 54.7 0.5 0.8 0.4 20.7 -22.6
pair RSI MACD pos-pos 128 56.9 8.2 54.7 0.5 0.8 0.4 20.7 -22.6
pair LWTI MRmean neg-neg 36 16.0 8.0 58.3 0.4 0.7 0.4 25.7 -20.1
pair MRmean LWTI neg-neg 36 16.0 8.0 58.3 0.4 0.7 0.4 25.7 -20.1
pair MRmean MACDhist pos-pos 109 48.4 7.9 56.0 0.5 0.7 0.3 20.0 -25.3
pair MACDhist MRmean pos-pos 109 48.4 7.9 56.0 0.5 0.7 0.3 20.0 -25.3
single RSmean RSmean pos-pos 203 90.2 7.6 58.6 0.4 0.6 0.2 22.7 -42.3
single MRmean MRmean pos-pos 142 63.1 7.4 56.3 0.5 0.7 0.3 19.6 -22.2
pair MACDhist RSI pos-pos 108 48.0 7.2 56.5 0.5 0.7 0.4 19.7 -17.9
pair RSI MACDhist pos-pos 108 48.0 7.2 56.5 0.5 0.7 0.4 19.7 -17.9
single MACD MACD pos-pos 138 61.3 6.9 55.1 0.4 0.7 0.3 20.7 -23.2
pair RSI MRmean pos-pos 119 52.9 6.7 54.6 0.4 0.7 0.3 19.8 -19.9
pair RSmean MACDhist pos-pos 124 55.1 6.7 56.5 0.4 0.6 0.2 20.2 -40.5
pair MRmean RSI pos-pos 119 52.9 6.7 54.6 0.4 0.7 0.3 19.8 -19.9
pair MACDhist RSmean pos-pos 124 55.1 6.7 56.5 0.4 0.6 0.2 20.2 -40.5
single MACDhist MACDhist pos-pos 127 56.4 6.4 55.9 0.4 0.6 0.2 20.3 -38.4
single SLmean SLmean neg-neg 92 40.9 6.0 63.0 0.3 0.5 0.1 27.9 -62.0
pair SLmean RSmean pos-pos 127 56.4 5.8 54.3 0.4 0.6 0.2 19.7 -30.7
pair RSmean SLmean pos-pos 127 56.4 5.8 54.3 0.4 0.6 0.2 19.7 -30.7
pair MACDhist MRmean pos-neg 33 14.7 5.7 57.6 0.4 0.7 0.3 18.6 -22.4
pair MRmean MACDhist pos-neg 33 14.7 5.7 57.6 0.4 0.7 0.3 18.6 -22.4
pair RSmean RSIhist pos-pos 113 50.2 5.6 54.9 0.4 0.6 0.2 18.4 -24.9
pair SLmean RSIhist neg-neg 87 38.7 5.6 62.1 0.3 0.4 0.1 28.6 -62.0
pair RSIhist SLmean neg-neg 87 38.7 5.6 62.1 0.3 0.4 0.1 28.6 -62.0
pair RSIhist RSmean pos-pos 113 50.2 5.6 54.9 0.4 0.6 0.2 18.4 -24.9
pair MRmean LWTI pos-pos 125 55.6 5.3 55.2 0.4 0.5 0.2 19.9 -21.0
pair LWTI MRmean pos-pos 125 55.6 5.3 55.2 0.4 0.5 0.2 19.9 -21.0
pair RSmean MACD pos-neg 72 32.0 5.0 62.5 0.3 0.4 0.2 26.6 -30.7
pair MACD RSmean pos-neg 72 32.0 5.0 62.5 0.3 0.4 0.2 26.6 -30.7
pair RSIhist MRmean pos-pos 107 47.6 4.9 54.2 0.3 0.5 0.2 19.2 -24.9
pair RSIhist MACDhist pos-pos 88 39.1 4.9 54.5 0.3 0.5 0.2 18.5 -24.9
pair MRmean RSIhist pos-pos 107 47.6 4.9 54.2 0.3 0.5 0.2 19.2 -24.9
pair MACDhist RSIhist pos-pos 88 39.1 4.9 54.5 0.3 0.5 0.2 18.5 -24.9
pair LWTI MACDhist pos-pos 117 52.0 4.9 55.6 0.3 0.5 0.1 20.6 -36.3
pair MACDhist LWTI pos-pos 117 52.0 4.9 55.6 0.3 0.5 0.1 20.6 -36.3
single RSIhist RSIhist neg-neg 108 48.0 4.8 60.2 0.3 0.4 0.1 27.9 -62.0
pair MRmean MACD pos-pos 110 48.9 4.4 52.7 0.3 0.5 0.2 20.3 -17.9
pair MACD MRmean pos-pos 110 48.9 4.4 52.7 0.3 0.5 0.2 20.3 -17.9
pair LWTI RSmean pos-pos 151 67.1 4.3 57.6 0.3 0.4 0.1 22.9 -41.0
pair RSmean LWTI pos-pos 151 67.1 4.3 57.6 0.3 0.4 0.1 22.9 -41.0
pair benchmark___benchmark_ benchmark-benchmark 225 100.0 4.2 56.4 0.3 0.4 0.1 23.4 -62.0
pair benchmark___benchmark_ benchmark-benchmark 225 100.0 4.2 56.4 0.3 0.4 0.1 23.4 -62.0
pair MACDhist MACD pos-pos 100 44.4 4.0 54.0 0.3 0.4 0.2 20.3 -17.9
pair MACD MACDhist pos-pos 100 44.4 4.0 54.0 0.3 0.4 0.2 20.3 -17.9
pair RSI RSIhist neg-pos 32 14.2 4.0 56.2 0.3 0.5 0.2 17.2 -21.0
pair RSIhist RSI neg-pos 32 14.2 4.0 56.2 0.3 0.5 0.2 17.2 -21.0
pair MRmean SLmean pos-pos 122 54.2 3.7 53.3 0.3 0.4 0.1 20.3 -26.4
pair SLmean MRmean pos-pos 122 54.2 3.7 53.3 0.3 0.4 0.1 20.3 -26.4
single RSIhist RSIhist pos-pos 117 52.0 3.6 53.0 0.3 0.4 0.1 18.6 -24.9
pair RSIhist RSI pos-pos 85 37.8 3.5 51.8 0.3 0.4 0.1 19.1 -26.1
pair RSI RSIhist pos-pos 85 37.8 3.5 51.8 0.3 0.4 0.1 19.1 -26.1
pair RSI SLmean pos-pos 103 45.8 3.5 52.4 0.3 0.4 0.1 20.4 -25.5
pair SLmean RSI pos-pos 103 45.8 3.5 52.4 0.3 0.4 0.1 20.4 -25.5
pair MACDhist SLmean pos-neg 39 17.3 3.3 51.3 0.3 0.5 0.1 18.3 -28.6
pair SLmean MACDhist pos-neg 39 17.3 3.3 51.3 0.3 0.5 0.1 18.3 -28.6
pair SLmean RSIhist pos-pos 112 49.8 3.2 51.8 0.3 0.4 0.1 18.9 -24.9
pair RSIhist SLmean pos-pos 112 49.8 3.2 51.8 0.3 0.4 0.1 18.9 -24.9
single SLmean SLmean pos-pos 133 59.1 3.0 51.9 0.2 0.4 0.1 19.8 -30.9
pair MACDhist SLmean pos-pos 94 41.8 2.8 52.1 0.2 0.3 0.1 20.5 -26.9
pair SLmean MACDhist pos-pos 94 41.8 2.8 52.1 0.2 0.3 0.1 20.5 -26.9
pair MACDhist RSI neg-pos 19 8.4 2.1 52.6 0.2 0.3 0.1 23.9 -27.4
pair RSI MACDhist neg-pos 19 8.4 2.1 52.6 0.2 0.3 0.1 23.9 -27.4
pair RSmean MRmean neg-pos 67 29.8 2.1 58.2 0.2 0.3 0.1 28.2 -31.9
pair MRmean RSmean neg-pos 67 29.8 2.1 58.2 0.2 0.3 0.1 28.2 -31.9
pair LWTI SLmean neg-pos 66 29.3 2.0 60.6 0.2 0.3 0.0 27.6 -66.6
pair SLmean LWTI neg-pos 66 29.3 2.0 60.6 0.2 0.3 0.0 27.6 -66.6
pair MACDhist RSIhist neg-neg 69 30.7 2.0 60.9 0.2 0.3 0.0 29.9 -62.0
pair RSIhist MACDhist neg-neg 69 30.7 2.0 60.9 0.2 0.3 0.0 29.9 -62.0
pair LWTI RSIhist pos-pos 91 40.4 1.9 52.7 0.2 0.3 0.1 19.3 -26.5
pair RSIhist LWTI pos-pos 91 40.4 1.9 52.7 0.2 0.3 0.1 19.3 -26.5
pair RSIhist SLmean pos-neg 21 9.3 1.7 52.4 0.2 0.5 0.1 25.0 -13.2
pair SLmean RSIhist pos-neg 21 9.3 1.7 52.4 0.2 0.5 0.1 25.0 -13.2
pair RSmean RSI pos-neg 71 31.6 1.6 60.6 0.2 0.2 0.1 26.7 -31.9
pair RSI RSmean pos-neg 71 31.6 1.6 60.6 0.2 0.2 0.1 26.7 -31.9
single LWTI LWTI pos-pos 172 76.4 1.6 55.2 0.2 0.2 0.0 23.5 -72.6
single MACDhist MACDhist neg-neg 98 43.6 1.4 57.1 0.2 0.3 0.0 27.1 -62.0
pair SLmean LWTI pos-pos 106 47.1 1.4 51.9 0.2 0.3 0.1 20.7 -30.1
pair LWTI SLmean pos-pos 106 47.1 1.4 51.9 0.2 0.3 0.1 20.7 -30.1
pair RSIhist LWTI neg-pos 81 36.0 1.3 58.0 0.2 0.3 0.0 27.6 -67.9
pair LWTI RSIhist neg-pos 81 36.0 1.3 58.0 0.2 0.3 0.0 27.6 -67.9
pair RSI SLmean pos-neg 30 13.3 1.0 50.0 0.1 0.3 0.1 18.3 -21.6
pair SLmean RSI pos-neg 30 13.3 1.0 50.0 0.1 0.3 0.1 18.3 -21.6
pair RSIhist MRmean neg-neg 73 32.4 0.1 58.9 0.2 0.2 0.0 30.6 -62.0
pair MRmean RSIhist neg-neg 73 32.4 0.1 58.9 0.2 0.2 0.0 30.6 -62.0
pair MACD SLmean pos-pos 95 42.2 0.1 49.5 0.1 0.2 0.0 20.9 -26.2
pair SLmean MACD pos-pos 95 42.2 0.1 49.5 0.1 0.2 0.0 20.9 -26.2
pair MACDhist SLmean neg-neg 59 26.2 0.1 61.0 0.2 0.2 0.0 31.7 -62.0
pair SLmean MACDhist neg-neg 59 26.2 0.1 61.0 0.2 0.2 0.0 31.7 -62.0
pair MACDhist RSIhist neg-pos 29 12.9 0.0 48.3 0.1 0.2 0.0 19.0 -25.2
pair RSIhist MACD pos-pos 76 33.8 -0.0 48.7 0.1 0.1 -0.0 19.7 -25.4
single MACD MACD neg-neg 87 38.7 0.0 58.6 0.1 0.2 0.0 27.3 -62.0
pair RSIhist MACDhist neg-pos 29 12.9 0.0 48.3 0.1 0.2 0.0 19.0 -25.2
pair MACD RSIhist pos-pos 76 33.8 -0.0 48.7 0.1 0.1 -0.0 19.7 -25.4
pair MRmean SLmean neg-neg 72 32.0 -0.4 59.7 0.1 0.2 -0.0 30.6 -62.0
pair SLmean MRmean neg-neg 72 32.0 -0.4 59.7 0.1 0.2 -0.0 30.6 -62.0
pair MACDhist MRmean neg-neg 65 28.9 -0.8 56.9 0.1 0.2 -0.0 30.6 -62.0
pair MRmean MACDhist neg-neg 65 28.9 -0.8 56.9 0.1 0.2 -0.0 30.6 -62.0
single MRmean MRmean neg-neg 83 36.9 -1.0 56.6 0.1 0.1 -0.0 28.9 -62.7
pair RSI MACD neg-neg 75 33.3 -1.9 57.3 0.1 0.1 -0.0 28.5 -54.6
pair MACD RSI neg-neg 75 33.3 -1.9 57.3 0.1 0.1 -0.0 28.5 -54.6
pair MRmean MACDhist neg-pos 18 8.0 -2.1 55.6 0.0 0.0 -0.1 22.5 -24.9
pair MACDhist MRmean neg-pos 18 8.0 -2.1 55.6 0.0 0.0 -0.1 22.5 -24.9
single RSI RSI neg-neg 85 37.8 -2.7 57.6 0.0 0.1 -0.1 27.7 -54.6
pair RSI MACDhist neg-neg 66 29.3 -4.0 59.1 0.0 0.0 -0.1 28.9 -54.6
pair MACDhist RSI neg-neg 66 29.3 -4.0 59.1 0.0 0.0 -0.1 28.9 -54.6
pair RSI SLmean neg-neg 55 24.4 -4.7 61.8 0.0 0.0 -0.1 31.8 -54.6
pair SLmean RSI neg-neg 55 24.4 -4.7 61.8 0.0 0.0 -0.1 31.8 -54.6
pair RSmean MACDhist neg-pos 3 1.3 -4.9 33.3 -0.1 -0.1 -0.6 28.5 -8.6
pair MACDhist RSmean neg-pos 3 1.3 -4.9 33.3 -0.1 -0.1 -0.6 28.5 -8.6
pair MACDhist LWTI neg-pos 55 24.4 -5.1 54.5 -0.0 -0.0 -0.1 28.9 -65.1
pair LWTI MACDhist neg-pos 55 24.4 -5.1 54.5 -0.0 -0.0 -0.1 28.9 -65.1
pair MRmean SLmean neg-pos 11 4.9 -5.1 36.4 -0.3 -0.7 -0.5 14.0 -10.7
pair SLmean MRmean neg-pos 11 4.9 -5.1 36.4 -0.3 -0.7 -0.5 14.0 -10.7
pair MACDhist MACD neg-neg 60 26.7 -6.4 56.7 -0.1 -0.1 -0.1 29.9 -62.0
pair MACD MACDhist neg-neg 60 26.7 -6.4 56.7 -0.1 -0.1 -0.1 29.9 -62.0
pair RSIhist RSI neg-neg 53 23.6 -6.5 58.5 -0.0 -0.1 -0.1 32.6 -54.6
pair RSI RSIhist neg-neg 53 23.6 -6.5 58.5 -0.0 -0.1 -0.1 32.6 -54.6
pair MRmean RSI neg-neg 62 27.6 -7.3 54.8 -0.1 -0.1 -0.1 30.3 -56.4
pair RSI MRmean neg-neg 62 27.6 -7.3 54.8 -0.1 -0.1 -0.1 30.3 -56.4
pair SLmean MACD neg-neg 49 21.8 -7.4 59.2 -0.1 -0.1 -0.1 33.3 -62.0
pair MACD SLmean neg-neg 49 21.8 -7.4 59.2 -0.1 -0.1 -0.1 33.3 -62.0
pair MRmean LWTI neg-pos 47 20.9 -7.5 55.3 -0.1 -0.1 -0.1 31.3 -67.4
pair LWTI MRmean neg-pos 47 20.9 -7.5 55.3 -0.1 -0.1 -0.1 31.3 -67.4
pair RSIhist MACD neg-neg 46 20.4 -8.7 56.5 -0.1 -0.1 -0.1 34.4 -62.0
pair MACD RSIhist neg-neg 46 20.4 -8.7 56.5 -0.1 -0.1 -0.1 34.4 -62.0
pair MRmean RSIhist neg-pos 10 4.4 -8.8 40.0 -0.9 -1.5 -0.9 9.6 -9.8
pair RSIhist MRmean neg-pos 10 4.4 -8.8 40.0 -0.9 -1.5 -0.9 9.6 -9.8
pair RSI MACD pos-neg 10 4.4 -8.9 60.0 -0.3 -0.3 -0.6 21.5 -14.9
pair MACD RSI pos-neg 10 4.4 -8.9 60.0 -0.3 -0.3 -0.6 21.5 -14.9
pair MACD MRmean neg-neg 55 24.4 -9.2 52.7 -0.1 -0.2 -0.1 31.7 -62.0
pair MRmean MACD neg-neg 55 24.4 -9.2 52.7 -0.1 -0.2 -0.1 31.7 -62.0
pair SLmean RSmean neg-neg 16 7.1 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair RSmean MRmean neg-neg 16 7.1 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair MRmean RSmean neg-neg 16 7.1 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair RSmean SLmean neg-neg 16 7.1 -13.3 50.0 -0.3 -0.6 -0.4 32.3 -36.4
pair LWTI RSmean neg-pos 21 9.3 -16.0 38.1 -0.5 -0.9 -0.4 27.8 -42.2
pair RSmean LWTI neg-pos 21 9.3 -16.0 38.1 -0.5 -0.9 -0.4 27.8 -42.2
pair RSIhist RSmean neg-neg 18 8.0 -18.4 44.4 -0.5 -1.1 -0.4 31.0 -43.3
pair MACD LWTI neg-pos 41 18.2 -18.4 53.7 -0.5 -0.7 -0.3 30.6 -65.9
pair LWTI MACD neg-pos 41 18.2 -18.4 53.7 -0.5 -0.7 -0.3 30.6 -65.9
pair RSmean RSIhist neg-neg 18 8.0 -18.4 44.4 -0.5 -1.1 -0.4 31.0 -43.3
pair RSI LWTI neg-pos 36 16.0 -20.6 52.8 -0.6 -0.8 -0.3 31.4 -66.1
pair LWTI RSI neg-pos 36 16.0 -20.6 52.8 -0.6 -0.8 -0.3 31.4 -66.1
pair MACD RSmean neg-neg 15 6.7 -20.8 40.0 -0.6 -1.3 -0.5 30.8 -39.9
pair RSmean MACD neg-neg 15 6.7 -20.8 40.0 -0.6 -1.3 -0.5 30.8 -39.9
pair RSmean RSI neg-neg 14 6.2 -21.8 42.9 -0.6 -1.2 -0.6 32.5 -34.0
pair RSI RSmean neg-neg 14 6.2 -21.8 42.9 -0.6 -1.2 -0.6 32.5 -34.0
single RSmean RSmean neg-neg 22 9.8 -22.4 36.4 -0.7 -1.2 -0.4 29.0 -50.9
pair RSI RSmean neg-pos 8 3.6 -23.6 25.0 -1.0 -1.5 -0.9 23.4 -26.8
pair RSmean RSI neg-pos 8 3.6 -23.6 25.0 -1.0 -1.5 -0.9 23.4 -26.8
pair MACD LWTI pos-neg 7 3.1 -23.9 42.9 -1.1 -1.1 -1.3 21.7 -17.8
pair LWTI MACD pos-neg 7 3.1 -23.9 42.9 -1.1 -1.1 -1.3 21.7 -17.8
pair MACDhist RSmean neg-neg 19 8.4 -24.9 36.8 -0.8 -1.4 -0.5 29.7 -50.3
pair RSmean MACDhist neg-neg 19 8.4 -24.9 36.8 -0.8 -1.4 -0.5 29.7 -50.3
pair RSmean MACD neg-pos 7 3.1 -25.8 28.6 -1.0 -1.2 -1.1 26.9 -24.1
pair MACD RSmean neg-pos 7 3.1 -25.8 28.6 -1.0 -1.2 -1.1 26.9 -24.1
pair RSmean RSIhist neg-pos 4 1.8 -38.3 0.0 -2.4 -2.4 -2.8 18.9 -13.7
pair RSIhist RSmean neg-pos 4 1.8 -38.3 0.0 -2.4 -2.4 -2.8 18.9 -13.7
pair MRmean RSmean pos-neg 6 2.7 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair RSmean MRmean pos-neg 6 2.7 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair SLmean RSmean pos-neg 6 2.7 -42.4 0.0 -3.2 -3.2 -1.8 16.2 -23.1
pair RSmean SLmean pos-neg 6 2.7 -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 (54%)
CAGR 32.6% | Win 75%
Sharpe 2.12 | Sortino 6.62 | Calmar 7.7
Vol 14% | MDD -4.2%
Months 20M (9%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
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 -0.4% | Win 60%
Sharpe 0.14 | Sortino 0.20 | Calmar -0.0
Vol 31% | MDD -62.0%
Months 72M (32%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
SLmean
only
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (59%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 59%
Sharpe 0.60 | Sortino 0.94 | Calmar 0.5
Vol 20% | MDD -22.2%
Months 136M (60%)
CAGR -42.4% | Win 0%
Sharpe -3.25 | Sortino -3.25 | Calmar -1.8
Vol 16% | MDD -23.1%
Months 6M (3%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
MRmean
neg
CAGR 2.1% | Win 58%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 28% | MDD -31.9%
Months 67M (30%)
CAGR -13.3% | Win 50%
Sharpe -0.29 | Sortino -0.63 | Calmar -0.4
Vol 32% | MDD -36.4%
Months 16M (7%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
RSmean
only
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.2
Vol 20% | MDD -17.9%
Months 110M (49%)
CAGR 18.2% | Win 69%
Sharpe 1.06 | Sortino 1.60 | Calmar 1.1
Vol 17% | MDD -15.9%
Months 32M (14%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
MRmean
neg
CAGR 17.3% | Win 64%
Sharpe 0.82 | Sortino 1.23 | Calmar 1.1
Vol 22% | MDD -15.0%
Months 28M (12%)
CAGR -9.2% | Win 53%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.1
Vol 32% | MDD -62.0%
Months 55M (24%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
MACD
only
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (39%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 6.7% | Win 55%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.3
Vol 20% | MDD -19.9%
Months 119M (53%)
CAGR 10.9% | Win 65%
Sharpe 0.64 | Sortino 1.10 | Calmar 0.7
Vol 19% | MDD -15.9%
Months 23M (10%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
MRmean
neg
CAGR 20.1% | Win 62%
Sharpe 0.87 | Sortino 1.52 | Calmar 1.2
Vol 24% | MDD -16.2%
Months 21M (9%)
CAGR -7.3% | Win 55%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 30% | MDD -56.4%
Months 62M (28%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
RSI
only
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (62%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 56%
Sharpe 0.48 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -25.3%
Months 109M (48%)
CAGR 5.7% | Win 58%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.3
Vol 19% | MDD -22.4%
Months 33M (15%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
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 -0.8% | Win 57%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 31% | MDD -62.0%
Months 65M (29%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
MACDhist
only
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (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 (48%)
CAGR 15.4% | Win 63%
Sharpe 0.78 | Sortino 1.52 | Calmar 1.2
Vol 21% | MDD -13.1%
Months 35M (16%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
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 0.1% | Win 59%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 31% | MDD -62.0%
Months 73M (32%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 55%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.3
Vol 20% | MDD -21.0%
Months 125M (56%)
CAGR 24.2% | Win 65%
Sharpe 1.32 | Sortino 3.26 | Calmar 2.7
Vol 18% | MDD -9.0%
Months 17M (8%)
CAGR 7.4% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 20% | MDD -22.2%
Months 142M (63%)
MRmean
neg
CAGR -7.5% | Win 55%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 31% | MDD -67.4%
Months 47M (21%)
CAGR 8.0% | Win 58%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.4
Vol 26% | MDD -20.1%
Months 36M (16%)
CAGR -1.0% | Win 57%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 29% | MDD -62.7%
Months 83M (37%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
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 (56%)
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 (59%)
SLmean
neg
CAGR 10.6% | Win 66%
Sharpe 0.51 | Sortino 0.60 | Calmar 0.3
Vol 27% | MDD -31.1%
Months 76M (34%)
CAGR -13.3% | Win 50%
Sharpe -0.29 | Sortino -0.63 | Calmar -0.4
Vol 32% | MDD -36.4%
Months 16M (7%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
RSmean
only
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 (42%)
CAGR 10.5% | Win 58%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.5
Vol 17% | MDD -21.6%
Months 38M (17%)
CAGR 3.0% | Win 52%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -30.9%
Months 133M (59%)
SLmean
neg
CAGR 23.6% | Win 67%
Sharpe 1.17 | Sortino 1.76 | Calmar 1.6
Vol 20% | MDD -15.0%
Months 43M (19%)
CAGR -7.4% | Win 59%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 33% | MDD -62.0%
Months 49M (22%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
MACD
only
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (39%)
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 (46%)
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 (59%)
SLmean
neg
CAGR 24.1% | Win 65%
Sharpe 1.16 | Sortino 2.08 | Calmar 1.5
Vol 21% | MDD -16.2%
Months 37M (16%)
CAGR -4.7% | Win 62%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 32% | MDD -54.6%
Months 55M (24%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
RSI
only
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (62%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (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 (42%)
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 (59%)
SLmean
neg
CAGR 17.4% | Win 67%
Sharpe 0.91 | Sortino 1.21 | Calmar 0.7
Vol 20% | MDD -24.9%
Months 33M (15%)
CAGR 0.1% | Win 61%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 32% | MDD -62.0%
Months 59M (26%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
MACDhist
only
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (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 (50%)
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 (59%)
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 5.6% | Win 62%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 29% | MDD -62.0%
Months 87M (39%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
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 (47%)
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 (59%)
SLmean
neg
CAGR 2.0% | Win 61%
Sharpe 0.21 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -66.6%
Months 66M (29%)
CAGR 17.0% | Win 69%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.9
Vol 29% | MDD -18.6%
Months 26M (12%)
CAGR 6.0% | Win 63%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 92M (41%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 56%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 131M (58%)
CAGR 5.0% | Win 62%
Sharpe 0.32 | Sortino 0.39 | Calmar 0.2
Vol 27% | MDD -30.7%
Months 72M (32%)
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 (7%)
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 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (39%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 58%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.5
Vol 20% | MDD -22.6%
Months 132M (59%)
CAGR 1.6% | Win 61%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 27% | MDD -31.9%
Months 71M (32%)
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (62%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 6.7% | Win 56%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -40.5%
Months 124M (55%)
CAGR 9.0% | Win 62%
Sharpe 0.46 | Sortino 0.58 | Calmar 0.3
Vol 26% | MDD -28.7%
Months 79M (35%)
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (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 (50%)
CAGR 10.2% | Win 63%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.3
Vol 27% | MDD -30.7%
Months 90M (40%)
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -41.0%
Months 151M (67%)
CAGR 17.6% | Win 62%
Sharpe 0.84 | Sortino 1.44 | Calmar 0.9
Vol 22% | MDD -20.1%
Months 52M (23%)
CAGR 7.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 23% | MDD -42.3%
Months 203M (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 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.2% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.4
Vol 21% | MDD -22.6%
Months 128M (57%)
CAGR -8.9% | Win 60%
Sharpe -0.33 | Sortino -0.35 | Calmar -0.6
Vol 22% | MDD -14.9%
Months 10M (4%)
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
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 (39%)
RSI
only
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (62%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.0% | Win 54%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.2
Vol 20% | MDD -17.9%
Months 100M (44%)
CAGR 15.0% | Win 58%
Sharpe 0.75 | Sortino 1.30 | Calmar 0.7
Vol 22% | MDD -20.6%
Months 38M (17%)
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
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 (27%)
CAGR 0.0% | Win 59%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 87M (39%)
MACDhist
only
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (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 (34%)
CAGR 16.1% | Win 63%
Sharpe 0.79 | Sortino 1.38 | Calmar 0.9
Vol 22% | MDD -18.0%
Months 62M (28%)
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
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 (39%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 56%
Sharpe 0.51 | Sortino 0.84 | Calmar 0.4
Vol 21% | MDD -22.6%
Months 131M (58%)
CAGR -23.9% | Win 43%
Sharpe -1.15 | Sortino -1.09 | Calmar -1.3
Vol 22% | MDD -17.8%
Months 7M (3%)
CAGR 6.9% | Win 55%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.3
Vol 21% | MDD -23.2%
Months 138M (61%)
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 (39%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 56%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.4
Vol 20% | MDD -17.9%
Months 108M (48%)
CAGR 13.6% | Win 53%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.5
Vol 23% | MDD -25.1%
Months 32M (14%)
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (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 -4.0% | Win 59%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 29% | MDD -54.6%
Months 66M (29%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
MACDhist
only
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (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 (38%)
CAGR 17.0% | Win 62%
Sharpe 0.81 | Sortino 1.54 | Calmar 0.8
Vol 22% | MDD -20.8%
Months 55M (24%)
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (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 -6.5% | Win 58%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 33% | MDD -54.6%
Months 53M (24%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 56%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.4
Vol 21% | MDD -22.6%
Months 136M (60%)
CAGR 13.2% | Win 50%
Sharpe 1.34 | Sortino 2.77 | Calmar 69.6
Vol 10% | MDD -0.2%
Months 4M (2%)
CAGR 8.6% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.4
Vol 20% | MDD -22.6%
Months 140M (62%)
RSI
neg
CAGR -20.6% | Win 53%
Sharpe -0.56 | Sortino -0.76 | Calmar -0.3
Vol 31% | MDD -66.1%
Months 36M (16%)
CAGR 13.0% | Win 61%
Sharpe 0.62 | Sortino 1.00 | Calmar 0.6
Vol 24% | MDD -21.8%
Months 49M (22%)
CAGR -2.7% | Win 58%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 28% | MDD -54.6%
Months 85M (38%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
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 (39%)
CAGR 10.0% | Win 59%
Sharpe 0.51 | Sortino 0.87 | Calmar 0.4
Vol 24% | MDD -27.5%
Months 39M (17%)
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (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 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 30% | MDD -62.0%
Months 69M (31%)
CAGR 1.4% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (44%)
RSIhist
only
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.9% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -36.3%
Months 117M (52%)
CAGR 25.1% | Win 60%
Sharpe 1.40 | Sortino 4.07 | Calmar 5.7
Vol 17% | MDD -4.4%
Months 10M (4%)
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.2
Vol 20% | MDD -38.4%
Months 127M (56%)
MACDhist
neg
CAGR -5.1% | Win 55%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 29% | MDD -65.1%
Months 55M (24%)
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 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -62.0%
Months 98M (44%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)
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 (12%)
CAGR 3.6% | Win 53%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -24.9%
Months 117M (52%)
RSIhist
neg
CAGR 1.3% | Win 58%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 28% | MDD -67.9%
Months 81M (36%)
CAGR 15.9% | Win 67%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.9
Vol 29% | MDD -18.6%
Months 27M (12%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -62.0%
Months 108M (48%)
LWTI
only
CAGR 1.6% | Win 55%
Sharpe 0.19 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -72.6%
Months 172M (76%)
CAGR 13.0% | Win 60%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.6
Vol 23% | MDD -21.7%
Months 53M (24%)