OILK - ProShares K-1 Free Crude Oil

Signal Pair Analysis

MRmean-RSmean

Best Pair

220.2%

Best CAGR

34

Total Months

13.0%

Avg CAGR

OILK 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 OILK

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 RSmean pos-neg 1 0.8 220.2 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MRmean pos-neg 1 0.8 220.2 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 1 0.8 220.2 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean pos-neg 1 0.8 220.2 100.0 0.0 0.0 0.0 - 0.0
pair RSI MRmean pos-neg 10 8.3 127.8 90.0 4.1 0.0 46.5 21.1 -2.7
pair MRmean RSI pos-neg 10 8.3 127.8 90.0 4.1 0.0 46.5 21.1 -2.7
pair MACDhist RSI neg-pos 6 5.0 111.9 83.3 4.2 0.0 0.0 18.6 0.0
pair RSI MACDhist neg-pos 6 5.0 111.9 83.3 4.2 0.0 0.0 18.6 0.0
pair SLmean RSI pos-neg 14 11.6 110.7 92.9 4.7 0.0 40.3 16.8 -2.7
pair RSI SLmean pos-neg 14 11.6 110.7 92.9 4.7 0.0 40.3 16.8 -2.7
pair MRmean SLmean neg-pos 5 4.1 108.3 100.0 14.2 0.0 0.0 5.4 0.0
pair SLmean MRmean neg-pos 5 4.1 108.3 100.0 14.2 0.0 0.0 5.4 0.0
pair RSI RSIhist neg-pos 11 9.1 97.1 81.8 3.4 11.3 35.3 21.3 -2.7
pair RSIhist RSI neg-pos 11 9.1 97.1 81.8 3.4 11.3 35.3 21.3 -2.7
pair RSIhist MRmean neg-pos 4 3.3 59.6 75.0 2.3 0.0 0.0 21.9 0.0
pair MRmean RSIhist neg-pos 4 3.3 59.6 75.0 2.3 0.0 0.0 21.9 0.0
pair MACD MACDhist neg-pos 12 9.9 58.1 75.0 1.8 2.3 4.0 28.2 -14.5
pair MACDhist MACD neg-pos 12 9.9 58.1 75.0 1.8 2.3 4.0 28.2 -14.5
pair LWTI RSI neg-neg 29 24.0 49.9 65.5 1.2 1.5 1.5 40.6 -32.4
pair RSI LWTI neg-neg 29 24.0 49.9 65.5 1.2 1.5 1.5 40.6 -32.4
pair RSI MACD pos-neg 14 11.6 48.0 71.4 1.8 3.3 10.0 24.3 -4.8
pair MACD RSI pos-neg 14 11.6 48.0 71.4 1.8 3.3 10.0 24.3 -4.8
pair MRmean MACDhist neg-pos 2 1.7 45.4 50.0 1.3 0.0 15.7 30.6 -2.9
pair MACDhist MRmean neg-pos 2 1.7 45.4 50.0 1.3 0.0 15.7 30.6 -2.9
pair MACD SLmean pos-neg 31 25.6 44.6 74.2 1.6 2.1 2.6 26.4 -16.9
pair SLmean MACD pos-neg 31 25.6 44.6 74.2 1.6 2.1 2.6 26.4 -16.9
pair MRmean MACD pos-neg 29 24.0 42.9 72.4 1.4 2.1 2.5 27.7 -16.9
pair MACD MRmean pos-neg 29 24.0 42.9 72.4 1.4 2.1 2.5 27.7 -16.9
pair MACD RSIhist neg-pos 31 25.6 36.3 71.0 1.3 1.9 1.5 26.5 -24.6
pair RSIhist MACD neg-pos 31 25.6 36.3 71.0 1.3 1.9 1.5 26.5 -24.6
pair MACDhist RSIhist pos-pos 30 24.8 34.7 60.0 1.2 2.5 1.5 29.7 -22.9
pair RSIhist MACDhist pos-pos 30 24.8 34.7 60.0 1.2 2.5 1.5 29.7 -22.9
pair SLmean LWTI pos-pos 51 42.1 33.1 64.7 1.3 2.3 1.5 24.9 -22.3
pair LWTI SLmean pos-pos 51 42.1 33.1 64.7 1.3 2.3 1.5 24.9 -22.3
pair MACD LWTI neg-neg 22 18.2 32.7 59.1 0.8 1.1 0.8 47.5 -42.9
pair LWTI MACD neg-neg 22 18.2 32.7 59.1 0.8 1.1 0.8 47.5 -42.9
pair RSIhist LWTI pos-pos 46 38.0 32.2 63.0 1.2 2.4 1.5 26.5 -21.0
pair LWTI RSIhist pos-pos 46 38.0 32.2 63.0 1.2 2.4 1.5 26.5 -21.0
pair MACDhist SLmean pos-pos 32 26.4 31.4 56.2 1.1 2.3 1.3 28.9 -24.2
pair SLmean MACDhist pos-pos 32 26.4 31.4 56.2 1.1 2.3 1.3 28.9 -24.2
pair MRmean LWTI neg-neg 26 21.5 31.3 61.5 0.9 1.1 0.9 42.1 -35.0
pair LWTI MRmean neg-neg 26 21.5 31.3 61.5 0.9 1.1 0.9 42.1 -35.0
pair MRmean MACD neg-pos 23 19.0 27.4 60.9 1.2 2.4 2.3 22.9 -12.0
pair MACD MRmean neg-pos 23 19.0 27.4 60.9 1.2 2.4 2.3 22.9 -12.0
pair LWTI MACDhist pos-pos 38 31.4 27.3 52.6 1.0 2.0 0.8 29.5 -34.2
pair MACDhist LWTI pos-pos 38 31.4 27.3 52.6 1.0 2.0 0.8 29.5 -34.2
pair MACDhist RSmean pos-pos 40 33.1 27.2 52.5 1.0 2.1 0.8 29.0 -34.2
pair RSmean MACDhist pos-pos 40 33.1 27.2 52.5 1.0 2.1 0.8 29.0 -34.2
single MACDhist MACDhist pos-pos 40 33.1 27.2 52.5 1.0 2.1 0.8 29.0 -34.2
pair RSIhist RSmean pos-pos 54 44.6 26.8 63.0 1.0 1.7 0.7 28.7 -37.2
pair SLmean RSIhist pos-pos 54 44.6 26.8 63.0 1.0 1.7 0.7 28.7 -37.2
pair RSIhist SLmean pos-pos 54 44.6 26.8 63.0 1.0 1.7 0.7 28.7 -37.2
pair RSmean RSIhist pos-pos 54 44.6 26.8 63.0 1.0 1.7 0.7 28.7 -37.2
pair MACDhist MRmean pos-pos 38 31.4 26.3 52.6 0.9 2.0 0.7 29.4 -38.2
pair MRmean MACDhist pos-pos 38 31.4 26.3 52.6 0.9 2.0 0.7 29.4 -38.2
single RSIhist RSIhist pos-pos 56 46.3 26.2 62.5 1.0 1.7 0.7 28.5 -37.2
pair MACDhist LWTI pos-neg 2 1.7 26.2 50.0 1.1 0.0 0.0 23.6 0.0
pair LWTI MACDhist pos-neg 2 1.7 26.2 50.0 1.1 0.0 0.0 23.6 0.0
single SLmean SLmean pos-pos 65 53.7 25.7 64.6 1.0 1.5 1.0 27.7 -24.9
pair RSI RSmean pos-neg 38 31.4 24.9 71.1 0.8 0.6 0.4 49.7 -69.4
pair RSmean RSI pos-neg 38 31.4 24.9 71.1 0.8 0.6 0.4 49.7 -69.4
pair RSIhist MRmean pos-pos 52 43.0 24.0 61.5 0.9 1.5 0.6 29.0 -37.2
pair MRmean RSIhist pos-pos 52 43.0 24.0 61.5 0.9 1.5 0.6 29.0 -37.2
pair RSmean SLmean pos-pos 64 52.9 23.9 64.1 0.9 1.4 0.8 27.7 -29.5
pair SLmean RSmean pos-pos 64 52.9 23.9 64.1 0.9 1.4 0.8 27.7 -29.5
pair SLmean LWTI neg-neg 23 19.0 21.7 56.5 0.7 0.9 0.6 44.5 -35.0
pair LWTI SLmean neg-neg 23 19.0 21.7 56.5 0.7 0.9 0.6 44.5 -35.0
pair MRmean LWTI pos-pos 56 46.3 20.7 58.9 0.8 1.2 0.6 28.4 -34.5
pair LWTI MRmean pos-pos 56 46.3 20.7 58.9 0.8 1.2 0.6 28.4 -34.5
pair MRmean SLmean pos-pos 60 49.6 20.5 61.7 0.8 1.3 0.7 28.5 -28.6
pair SLmean MRmean pos-pos 60 49.6 20.5 61.7 0.8 1.3 0.7 28.5 -28.6
pair SLmean RSIhist pos-neg 11 9.1 20.4 72.7 0.9 0.7 1.3 23.4 -15.4
pair MACDhist SLmean pos-neg 33 27.3 20.4 72.7 0.8 1.0 0.9 26.9 -22.4
pair RSIhist SLmean pos-neg 11 9.1 20.4 72.7 0.9 0.7 1.3 23.4 -15.4
pair SLmean MACDhist pos-neg 33 27.3 20.4 72.7 0.8 1.0 0.9 26.9 -22.4
pair LWTI RSIhist neg-neg 27 22.3 18.5 59.3 0.6 0.8 0.6 43.2 -32.4
pair RSIhist LWTI neg-neg 27 22.3 18.5 59.3 0.6 0.8 0.6 43.2 -32.4
pair RSIhist MACDhist neg-pos 26 21.5 17.1 65.4 0.7 1.0 0.5 27.4 -37.2
pair MACDhist RSIhist neg-pos 26 21.5 17.1 65.4 0.7 1.0 0.5 27.4 -37.2
pair RSI MACDhist pos-pos 34 28.1 16.3 47.1 0.7 1.4 0.5 30.0 -34.2
pair MACDhist RSI pos-pos 34 28.1 16.3 47.1 0.7 1.4 0.5 30.0 -34.2
pair MACD MACDhist pos-pos 28 23.1 15.9 42.9 0.6 1.6 0.5 29.5 -34.2
pair MACDhist MACD pos-pos 28 23.1 15.9 42.9 0.6 1.6 0.5 29.5 -34.2
pair MACD RSIhist pos-pos 25 20.7 14.8 52.0 0.6 1.2 0.9 31.1 -16.6
pair RSIhist MACD pos-pos 25 20.7 14.8 52.0 0.6 1.2 0.9 31.1 -16.6
single RSI RSI neg-neg 50 41.3 14.8 62.0 0.6 0.6 0.2 45.1 -73.4
pair RSmean LWTI pos-neg 34 28.1 14.0 61.8 0.5 0.7 0.3 42.6 -42.9
pair LWTI RSmean pos-neg 34 28.1 14.0 61.8 0.5 0.7 0.3 42.6 -42.9
single LWTI LWTI neg-neg 37 30.6 13.8 59.5 0.5 0.7 0.3 41.3 -42.9
pair MACDhist LWTI neg-neg 35 28.9 13.2 60.0 0.5 0.7 0.3 42.3 -42.9
pair LWTI MACDhist neg-neg 35 28.9 13.2 60.0 0.5 0.7 0.3 42.3 -42.9
pair RSIhist RSI pos-pos 45 37.2 13.2 57.8 0.6 1.0 0.3 29.3 -44.4
pair RSI RSIhist pos-pos 45 37.2 13.2 57.8 0.6 1.0 0.3 29.3 -44.4
single MRmean MRmean pos-pos 67 55.4 13.1 58.2 0.6 0.8 0.3 30.4 -43.2
pair LWTI RSmean neg-neg 3 2.5 12.4 33.3 0.5 1.9 6.8 27.5 -1.8
pair RSmean LWTI neg-neg 3 2.5 12.4 33.3 0.5 1.9 6.8 27.5 -1.8
pair SLmean RSIhist neg-pos 2 1.7 12.1 50.0 0.4 0.0 0.0 31.8 0.0
pair RSIhist SLmean neg-pos 2 1.7 12.1 50.0 0.4 0.0 0.0 31.8 0.0
pair RSIhist RSmean neg-pos 2 1.7 12.1 50.0 0.4 0.0 0.0 31.8 0.0
pair RSmean RSIhist neg-pos 2 1.7 12.1 50.0 0.4 0.0 0.0 31.8 0.0
pair MACDhist SLmean neg-pos 8 6.6 11.9 37.5 0.5 1.1 0.8 31.3 -14.6
pair SLmean MACDhist neg-pos 8 6.6 11.9 37.5 0.5 1.1 0.8 31.3 -14.6
pair MRmean RSmean pos-pos 66 54.5 11.4 57.6 0.5 0.8 0.2 30.4 -48.5
pair RSmean MRmean pos-pos 66 54.5 11.4 57.6 0.5 0.8 0.2 30.4 -48.5
pair LWTI RSI pos-pos 63 52.1 11.3 54.0 0.5 0.8 0.3 26.9 -35.2
pair RSI LWTI pos-pos 63 52.1 11.3 54.0 0.5 0.8 0.3 26.9 -35.2
pair MACD LWTI pos-pos 46 38.0 11.2 50.0 0.5 0.8 0.4 28.5 -31.1
pair LWTI MACD pos-pos 46 38.0 11.2 50.0 0.5 0.8 0.4 28.5 -31.1
pair SLmean MACD pos-pos 34 28.1 10.6 55.9 0.5 0.8 0.4 28.7 -28.6
pair MACD SLmean pos-pos 34 28.1 10.6 55.9 0.5 0.8 0.4 28.7 -28.6
pair MACD RSmean pos-neg 46 38.0 9.8 65.2 0.5 0.5 0.1 47.0 -76.7
pair RSmean MACD pos-neg 46 38.0 9.8 65.2 0.5 0.5 0.1 47.0 -76.7
single RSmean RSmean pos-pos 104 86.0 9.2 59.6 0.5 0.5 0.1 38.0 -79.9
pair SLmean RSI pos-pos 51 42.1 9.1 56.9 0.4 0.7 0.2 28.8 -41.0
pair RSI SLmean pos-pos 51 42.1 9.1 56.9 0.4 0.7 0.2 28.8 -41.0
pair RSmean MACD pos-pos 58 47.9 8.8 55.2 0.4 0.7 0.3 29.2 -27.9
pair MACD RSmean pos-pos 58 47.9 8.8 55.2 0.4 0.7 0.3 29.2 -27.9
pair MACD RSI neg-pos 24 19.8 7.7 62.5 0.4 0.6 0.2 26.5 -33.2
pair RSI MACD neg-pos 24 19.8 7.7 62.5 0.4 0.6 0.2 26.5 -33.2
pair RSIhist MACDhist pos-neg 10 8.3 7.3 30.0 0.4 0.8 0.5 27.7 -16.0
pair MACDhist RSIhist pos-neg 10 8.3 7.3 30.0 0.4 0.8 0.5 27.7 -16.0
pair LWTI RSmean pos-pos 70 57.9 7.0 58.6 0.4 0.4 0.1 35.8 -61.5
pair RSmean LWTI pos-pos 70 57.9 7.0 58.6 0.4 0.4 0.1 35.8 -61.5
single MACD MACD pos-pos 61 50.4 5.9 52.5 0.3 0.5 0.2 28.8 -27.9
pair benchmark___benchmark_ benchmark-benchmark 121 100.0 5.7 56.2 0.4 0.4 0.1 36.2 -81.6
pair benchmark___benchmark_ benchmark-benchmark 121 100.0 5.7 56.2 0.4 0.4 0.1 36.2 -81.6
pair MACDhist RSI neg-neg 44 36.4 5.6 59.1 0.4 0.4 0.1 47.3 -73.4
pair RSI MACDhist neg-neg 44 36.4 5.6 59.1 0.4 0.4 0.1 47.3 -73.4
pair RSmean MRmean neg-pos 38 31.4 5.5 63.2 0.4 0.4 0.1 48.9 -69.4
pair MRmean RSmean neg-pos 38 31.4 5.5 63.2 0.4 0.4 0.1 48.9 -69.4
single MACD MACD neg-neg 60 49.6 5.4 60.0 0.4 0.4 0.1 42.7 -77.6
pair RSI MACD neg-neg 36 29.8 3.9 58.3 0.4 0.4 0.1 51.1 -73.4
pair MACD RSI neg-neg 36 29.8 3.9 58.3 0.4 0.4 0.1 51.1 -73.4
single LWTI LWTI pos-pos 84 69.4 2.2 54.8 0.3 0.3 0.0 33.9 -66.5
pair LWTI SLmean pos-neg 14 11.6 2.0 64.3 0.2 0.4 0.1 36.7 -15.4
pair SLmean LWTI pos-neg 14 11.6 2.0 64.3 0.2 0.4 0.1 36.7 -15.4
pair RSIhist LWTI pos-neg 10 8.3 2.0 60.0 0.2 0.3 0.1 37.5 -15.4
pair LWTI RSIhist pos-neg 10 8.3 2.0 60.0 0.2 0.3 0.1 37.5 -15.4
pair RSI RSmean pos-pos 66 54.5 1.1 53.0 0.2 0.3 0.0 29.1 -57.4
pair RSmean RSI pos-pos 66 54.5 1.1 53.0 0.2 0.3 0.0 29.1 -57.4
pair MACD SLmean neg-pos 27 22.3 0.2 48.1 0.1 0.2 0.0 29.3 -19.4
pair SLmean MACD neg-pos 27 22.3 0.2 48.1 0.1 0.2 0.0 29.3 -19.4
pair RSIhist MACD pos-neg 36 29.8 0.1 52.8 0.1 0.2 0.0 27.3 -20.7
pair MACD RSIhist pos-neg 36 29.8 0.1 52.8 0.1 0.2 0.0 27.3 -20.7
pair MRmean RSI pos-pos 57 47.1 0.1 52.6 0.1 0.2 0.0 30.5 -59.7
pair RSI MRmean pos-pos 57 47.1 0.1 52.6 0.1 0.2 0.0 30.5 -59.7
single RSI RSI pos-pos 71 58.7 -0.3 52.1 0.1 0.2 -0.0 28.4 -59.4
pair RSmean MACDhist pos-neg 64 52.9 -0.8 64.1 0.2 0.2 -0.0 42.7 -79.9
pair MACDhist RSmean pos-neg 64 52.9 -0.8 64.1 0.2 0.2 -0.0 42.7 -79.9
pair RSIhist RSI neg-neg 39 32.2 -1.5 56.4 0.3 0.3 -0.0 49.3 -73.4
pair RSI RSIhist neg-neg 39 32.2 -1.5 56.4 0.3 0.3 -0.0 49.3 -73.4
pair MRmean RSI neg-pos 14 11.6 -1.9 50.0 -0.0 -0.0 -0.1 18.7 -13.9
pair RSI MRmean neg-pos 14 11.6 -1.9 50.0 -0.0 -0.0 -0.1 18.7 -13.9
pair MACD MACDhist pos-neg 33 27.3 -2.0 60.6 0.1 0.1 -0.1 28.4 -22.0
pair MACDhist MACD pos-neg 33 27.3 -2.0 60.6 0.1 0.1 -0.1 28.4 -22.0
pair MACDhist MRmean pos-neg 29 24.0 -2.1 65.5 0.1 0.1 -0.1 31.7 -43.2
pair MRmean MACDhist pos-neg 29 24.0 -2.1 65.5 0.1 0.1 -0.1 31.7 -43.2
single MRmean MRmean neg-neg 54 44.6 -2.9 53.7 0.2 0.2 -0.0 42.6 -74.3
pair RSI MRmean neg-neg 40 33.1 -3.3 55.0 0.2 0.2 -0.0 48.5 -74.3
pair MRmean RSI neg-neg 40 33.1 -3.3 55.0 0.2 0.2 -0.0 48.5 -74.3
single MACDhist MACDhist neg-neg 81 66.9 -3.6 58.0 0.1 0.1 -0.0 39.3 -81.6
pair MACD RSI pos-pos 47 38.8 -4.2 46.8 0.0 0.0 -0.1 29.6 -42.3
pair RSI MACD pos-pos 47 38.8 -4.2 46.8 0.0 0.0 -0.1 29.6 -42.3
pair MACDhist MRmean neg-neg 52 43.0 -4.4 53.8 0.2 0.2 -0.1 43.2 -74.3
pair MRmean MACDhist neg-neg 52 43.0 -4.4 53.8 0.2 0.2 -0.1 43.2 -74.3
pair MACDhist MACD neg-neg 48 39.7 -4.7 56.2 0.2 0.2 -0.1 45.5 -77.6
pair MACD MACDhist neg-neg 48 39.7 -4.7 56.2 0.2 0.2 -0.1 45.5 -77.6
pair MACD MRmean pos-pos 38 31.4 -5.3 47.4 -0.0 -0.0 -0.1 31.7 -42.7
pair MRmean MACD pos-pos 38 31.4 -5.3 47.4 -0.0 -0.0 -0.1 31.7 -42.7
pair MRmean RSIhist neg-neg 50 41.3 -6.7 52.0 0.1 0.1 -0.1 43.9 -74.3
pair RSIhist MRmean neg-neg 50 41.3 -6.7 52.0 0.1 0.1 -0.1 43.9 -74.3
pair RSIhist RSmean pos-neg 50 41.3 -7.1 56.0 0.1 0.1 -0.1 46.0 -69.4
pair RSmean RSIhist pos-neg 50 41.3 -7.1 56.0 0.1 0.1 -0.1 46.0 -69.4
pair MACD RSmean neg-neg 14 11.6 -7.6 42.9 -0.2 -0.5 -0.4 23.9 -19.6
pair RSmean MACD neg-neg 14 11.6 -7.6 42.9 -0.2 -0.5 -0.4 23.9 -19.6
pair LWTI MACD neg-pos 38 31.4 -7.7 60.5 0.1 0.1 -0.1 39.8 -64.8
pair MACD LWTI neg-pos 38 31.4 -7.7 60.5 0.1 0.1 -0.1 39.8 -64.8
pair LWTI MACD pos-neg 15 12.4 -9.1 60.0 -0.2 -0.2 -0.6 30.0 -15.4
pair MACD LWTI pos-neg 15 12.4 -9.1 60.0 -0.2 -0.2 -0.6 30.0 -15.4
single RSIhist RSIhist neg-neg 65 53.7 -9.4 50.8 0.0 0.0 -0.1 41.6 -74.5
pair RSI SLmean neg-neg 36 29.8 -9.4 50.0 0.1 0.1 -0.1 51.1 -74.3
pair SLmean RSI neg-neg 36 29.8 -9.4 50.0 0.1 0.1 -0.1 51.1 -74.3
pair SLmean MRmean neg-neg 49 40.5 -10.2 49.0 0.0 0.0 -0.1 44.3 -74.3
pair MRmean SLmean neg-neg 49 40.5 -10.2 49.0 0.0 0.0 -0.1 44.3 -74.3
pair RSmean SLmean neg-pos 40 33.1 -10.7 52.5 0.1 0.1 -0.1 50.4 -69.4
pair SLmean RSmean neg-pos 40 33.1 -10.7 52.5 0.1 0.1 -0.1 50.4 -69.4
pair RSIhist MACDhist neg-neg 55 45.5 -12.1 54.5 -0.0 -0.0 -0.2 43.8 -74.5
pair MACDhist RSIhist neg-neg 55 45.5 -12.1 54.5 -0.0 -0.0 -0.2 43.8 -74.5
pair RSI RSmean neg-neg 12 9.9 -12.3 33.3 -0.4 -0.9 -0.8 23.9 -14.5
pair RSmean RSI neg-neg 12 9.9 -12.3 33.3 -0.4 -0.9 -0.8 23.9 -14.5
pair RSI MACDhist pos-neg 37 30.6 -13.5 56.8 -0.4 -0.5 -0.2 26.7 -54.9
pair MACDhist RSI pos-neg 37 30.6 -13.5 56.8 -0.4 -0.5 -0.2 26.7 -54.9
single SLmean SLmean neg-neg 56 46.3 -13.6 46.4 -0.1 -0.1 -0.2 43.9 -79.8
single RSmean RSmean neg-neg 17 14.0 -13.7 35.3 -0.6 -1.2 -0.6 22.1 -24.2
pair MACDhist RSmean neg-neg 17 14.0 -13.7 35.3 -0.6 -1.2 -0.6 22.1 -24.2
pair RSmean MACDhist neg-neg 17 14.0 -13.7 35.3 -0.6 -1.2 -0.6 22.1 -24.2
pair SLmean RSIhist neg-neg 54 44.6 -14.5 46.3 -0.1 -0.1 -0.2 44.5 -80.1
pair RSIhist SLmean neg-neg 54 44.6 -14.5 46.3 -0.1 -0.1 -0.2 44.5 -80.1
pair LWTI MACDhist neg-pos 46 38.0 -14.7 56.5 -0.2 -0.2 -0.2 36.9 -66.9
pair MACDhist LWTI neg-pos 46 38.0 -14.7 56.5 -0.2 -0.2 -0.2 36.9 -66.9
pair RSIhist RSmean neg-neg 15 12.4 -16.6 33.3 -0.7 -1.5 -0.7 21.8 -25.6
pair RSmean RSIhist neg-neg 15 12.4 -16.6 33.3 -0.7 -1.5 -0.7 21.8 -25.6
pair RSmean RSI neg-pos 5 4.1 -16.8 40.0 -0.8 -3.0 -1.2 19.6 -13.8
pair RSI RSmean neg-pos 5 4.1 -16.8 40.0 -0.8 -3.0 -1.2 19.6 -13.8
pair SLmean MACDhist neg-neg 48 39.7 -17.3 47.9 -0.1 -0.1 -0.2 45.9 -79.8
pair MACDhist SLmean neg-neg 48 39.7 -17.3 47.9 -0.1 -0.1 -0.2 45.9 -79.8
pair RSIhist MRmean pos-neg 15 12.4 -17.6 46.7 -0.4 -0.5 -0.6 34.1 -31.2
pair MRmean RSIhist pos-neg 15 12.4 -17.6 46.7 -0.4 -0.5 -0.6 34.1 -31.2
pair LWTI RSmean neg-pos 14 11.6 -18.4 35.7 -0.8 -1.7 -0.7 21.6 -26.4
pair RSmean LWTI neg-pos 14 11.6 -18.4 35.7 -0.8 -1.7 -0.7 21.6 -26.4
pair MRmean LWTI pos-neg 11 9.1 -18.7 54.5 -0.3 -0.6 -1.0 39.3 -19.6
pair LWTI MRmean pos-neg 11 9.1 -18.7 54.5 -0.3 -0.6 -1.0 39.3 -19.6
pair MACD RSIhist neg-neg 29 24.0 -19.8 48.3 -0.1 -0.1 -0.3 55.0 -74.1
pair RSIhist MACD neg-neg 29 24.0 -19.8 48.3 -0.1 -0.1 -0.3 55.0 -74.1
pair RSIhist RSI pos-neg 26 21.5 -20.0 42.3 -0.7 -0.8 -0.4 26.1 -48.7
pair RSI RSIhist pos-neg 26 21.5 -20.0 42.3 -0.7 -0.8 -0.4 26.1 -48.7
pair MRmean RSmean neg-neg 16 13.2 -20.4 31.2 -1.0 -2.1 -0.7 20.4 -31.2
pair RSmean MRmean neg-neg 16 13.2 -20.4 31.2 -1.0 -2.1 -0.7 20.4 -31.2
pair RSmean SLmean neg-neg 16 13.2 -20.4 31.2 -1.0 -2.1 -0.7 20.4 -31.2
pair SLmean RSmean neg-neg 16 13.2 -20.4 31.2 -1.0 -2.1 -0.7 20.4 -31.2
pair LWTI RSI neg-pos 21 17.4 -20.6 57.1 -0.1 -0.1 -0.3 50.2 -60.6
pair RSI LWTI neg-pos 21 17.4 -20.6 57.1 -0.1 -0.1 -0.3 50.2 -60.6
pair MACD MRmean neg-neg 31 25.6 -20.7 48.4 -0.1 -0.1 -0.3 52.8 -76.1
pair MRmean MACD neg-neg 31 25.6 -20.7 48.4 -0.1 -0.1 -0.3 52.8 -76.1
pair SLmean RSI neg-pos 20 16.5 -20.8 40.0 -0.7 -0.9 -0.5 27.0 -46.5
pair RSI SLmean neg-pos 20 16.5 -20.8 40.0 -0.7 -0.9 -0.5 27.0 -46.5
pair SLmean MACD neg-neg 29 24.0 -24.8 44.8 -0.2 -0.2 -0.3 54.6 -76.1
pair MACD SLmean neg-neg 29 24.0 -24.8 44.8 -0.2 -0.2 -0.3 54.6 -76.1
pair RSIhist LWTI neg-pos 38 31.4 -25.1 44.7 -0.4 -0.4 -0.4 40.2 -68.6
pair LWTI RSIhist neg-pos 38 31.4 -25.1 44.7 -0.4 -0.4 -0.4 40.2 -68.6
pair MRmean LWTI neg-pos 28 23.1 -26.7 46.4 -0.4 -0.4 -0.4 42.4 -60.6
pair LWTI MRmean neg-pos 28 23.1 -26.7 46.4 -0.4 -0.4 -0.4 42.4 -60.6
pair SLmean LWTI neg-pos 33 27.3 -32.0 39.4 -0.6 -0.6 -0.4 42.9 -72.6
pair LWTI SLmean neg-pos 33 27.3 -32.0 39.4 -0.6 -0.6 -0.4 42.9 -72.6
pair SLmean MRmean pos-neg 7 5.8 -34.2 28.6 -0.8 -1.1 -1.7 43.4 -19.7
pair MRmean SLmean pos-neg 7 5.8 -34.2 28.6 -0.8 -1.1 -1.7 43.4 -19.7
pair MACD RSmean neg-pos 3 2.5 -37.1 0.0 -7.7 -7.7 -5.8 5.9 -6.4
pair RSmean MACD neg-pos 3 2.5 -37.1 0.0 -7.7 -7.7 -5.8 5.9 -6.4
pair LWTI RSI pos-neg 8 6.6 -58.0 37.5 -2.6 -4.5 -1.8 30.9 -32.7
pair RSI LWTI pos-neg 8 6.6 -58.0 37.5 -2.6 -4.5 -1.8 30.9 -32.7

All Contingency Tables for OILK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 20.5% | Win 62%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.7
Vol 28% | MDD -28.6%
Months 60M (50%)
CAGR -34.2% | Win 29%
Sharpe -0.75 | Sortino -1.07 | Calmar -1.7
Vol 43% | MDD -19.7%
Months 7M (6%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR 108.3% | Win 100%
Sharpe 14.15 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 5M (4%)
CAGR -10.2% | Win 49%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.1
Vol 44% | MDD -74.3%
Months 49M (40%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
SLmean
only
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 11.4% | Win 58%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -48.5%
Months 66M (54%)
CAGR 220.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR 5.5% | Win 63%
Sharpe 0.41 | Sortino 0.38 | Calmar 0.1
Vol 49% | MDD -69.4%
Months 38M (31%)
CAGR -20.4% | Win 31%
Sharpe -1.02 | Sortino -2.06 | Calmar -0.7
Vol 20% | MDD -31.2%
Months 16M (13%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
RSmean
only
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR -5.3% | Win 47%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 32% | MDD -42.7%
Months 38M (31%)
CAGR 42.9% | Win 72%
Sharpe 1.45 | Sortino 2.06 | Calmar 2.5
Vol 28% | MDD -16.9%
Months 29M (24%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR 27.4% | Win 61%
Sharpe 1.17 | Sortino 2.35 | Calmar 2.3
Vol 23% | MDD -12.0%
Months 23M (19%)
CAGR -20.7% | Win 48%
Sharpe -0.11 | Sortino -0.12 | Calmar -0.3
Vol 53% | MDD -76.1%
Months 31M (26%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
MACD
only
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 0.1% | Win 53%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 30% | MDD -59.7%
Months 57M (47%)
CAGR 127.8% | Win 90%
Sharpe 4.13 | Sortino 0.00 | Calmar 46.5
Vol 21% | MDD -2.7%
Months 10M (8%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR -1.9% | Win 50%
Sharpe -0.01 | Sortino -0.03 | Calmar -0.1
Vol 19% | MDD -13.9%
Months 14M (12%)
CAGR -3.3% | Win 55%
Sharpe 0.23 | Sortino 0.23 | Calmar -0.0
Vol 48% | MDD -74.3%
Months 40M (33%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
RSI
only
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 26.3% | Win 53%
Sharpe 0.94 | Sortino 1.98 | Calmar 0.7
Vol 29% | MDD -38.2%
Months 38M (31%)
CAGR -2.1% | Win 66%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.0
Vol 32% | MDD -43.2%
Months 29M (24%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR 45.4% | Win 50%
Sharpe 1.32 | Sortino 0.00 | Calmar 15.7
Vol 31% | MDD -2.9%
Months 2M (2%)
CAGR -4.4% | Win 54%
Sharpe 0.16 | Sortino 0.16 | Calmar -0.1
Vol 43% | MDD -74.3%
Months 52M (43%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
MACDhist
only
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 24.0% | Win 62%
Sharpe 0.89 | Sortino 1.54 | Calmar 0.6
Vol 29% | MDD -37.2%
Months 52M (43%)
CAGR -17.6% | Win 47%
Sharpe -0.40 | Sortino -0.47 | Calmar -0.6
Vol 34% | MDD -31.2%
Months 15M (12%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR 59.6% | Win 75%
Sharpe 2.26 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 4M (3%)
CAGR -6.7% | Win 52%
Sharpe 0.11 | Sortino 0.11 | Calmar -0.1
Vol 44% | MDD -74.3%
Months 50M (41%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 20.7% | Win 59%
Sharpe 0.81 | Sortino 1.24 | Calmar 0.6
Vol 28% | MDD -34.5%
Months 56M (46%)
CAGR -18.7% | Win 55%
Sharpe -0.34 | Sortino -0.58 | Calmar -1.0
Vol 39% | MDD -19.6%
Months 11M (9%)
CAGR 13.1% | Win 58%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.3
Vol 30% | MDD -43.2%
Months 67M (55%)
MRmean
neg
CAGR -26.7% | Win 46%
Sharpe -0.43 | Sortino -0.40 | Calmar -0.4
Vol 42% | MDD -60.6%
Months 28M (23%)
CAGR 31.3% | Win 62%
Sharpe 0.86 | Sortino 1.09 | Calmar 0.9
Vol 42% | MDD -35.0%
Months 26M (22%)
CAGR -2.9% | Win 54%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 43% | MDD -74.3%
Months 54M (45%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 23.9% | Win 64%
Sharpe 0.92 | Sortino 1.42 | Calmar 0.8
Vol 28% | MDD -29.5%
Months 64M (53%)
CAGR 220.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR -10.7% | Win 52%
Sharpe 0.08 | Sortino 0.08 | Calmar -0.2
Vol 50% | MDD -69.4%
Months 40M (33%)
CAGR -20.4% | Win 31%
Sharpe -1.02 | Sortino -2.06 | Calmar -0.7
Vol 20% | MDD -31.2%
Months 16M (13%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
RSmean
only
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 10.6% | Win 56%
Sharpe 0.49 | Sortino 0.80 | Calmar 0.4
Vol 29% | MDD -28.6%
Months 34M (28%)
CAGR 44.6% | Win 74%
Sharpe 1.55 | Sortino 2.11 | Calmar 2.6
Vol 26% | MDD -16.9%
Months 31M (26%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR 0.2% | Win 48%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 29% | MDD -19.4%
Months 27M (22%)
CAGR -24.8% | Win 45%
Sharpe -0.18 | Sortino -0.20 | Calmar -0.3
Vol 55% | MDD -76.1%
Months 29M (24%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
MACD
only
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 9.1% | Win 57%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -41.0%
Months 51M (42%)
CAGR 110.7% | Win 93%
Sharpe 4.65 | Sortino 0.00 | Calmar 40.3
Vol 17% | MDD -2.7%
Months 14M (12%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR -20.8% | Win 40%
Sharpe -0.72 | Sortino -0.91 | Calmar -0.4
Vol 27% | MDD -46.5%
Months 20M (16%)
CAGR -9.4% | Win 50%
Sharpe 0.12 | Sortino 0.13 | Calmar -0.1
Vol 51% | MDD -74.3%
Months 36M (30%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
RSI
only
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 31.4% | Win 56%
Sharpe 1.09 | Sortino 2.27 | Calmar 1.3
Vol 29% | MDD -24.2%
Months 32M (26%)
CAGR 20.4% | Win 73%
Sharpe 0.83 | Sortino 1.03 | Calmar 0.9
Vol 27% | MDD -22.4%
Months 33M (27%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR 11.9% | Win 38%
Sharpe 0.50 | Sortino 1.05 | Calmar 0.8
Vol 31% | MDD -14.6%
Months 8M (7%)
CAGR -17.3% | Win 48%
Sharpe -0.14 | Sortino -0.15 | Calmar -0.2
Vol 46% | MDD -79.8%
Months 48M (40%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
MACDhist
only
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 26.8% | Win 63%
Sharpe 0.98 | Sortino 1.67 | Calmar 0.7
Vol 29% | MDD -37.2%
Months 54M (45%)
CAGR 20.4% | Win 73%
Sharpe 0.91 | Sortino 0.73 | Calmar 1.3
Vol 23% | MDD -15.4%
Months 11M (9%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR 12.1% | Win 50%
Sharpe 0.44 | Sortino 0.00 | Calmar 0.0
Vol 32% | MDD 0.0%
Months 2M (2%)
CAGR -14.5% | Win 46%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.2
Vol 44% | MDD -80.1%
Months 54M (45%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 33.1% | Win 65%
Sharpe 1.28 | Sortino 2.34 | Calmar 1.5
Vol 25% | MDD -22.3%
Months 51M (42%)
CAGR 2.0% | Win 64%
Sharpe 0.23 | Sortino 0.36 | Calmar 0.1
Vol 37% | MDD -15.4%
Months 14M (12%)
CAGR 25.7% | Win 65%
Sharpe 0.97 | Sortino 1.50 | Calmar 1.0
Vol 28% | MDD -24.9%
Months 65M (54%)
SLmean
neg
CAGR -32.0% | Win 39%
Sharpe -0.60 | Sortino -0.61 | Calmar -0.4
Vol 43% | MDD -72.6%
Months 33M (27%)
CAGR 21.7% | Win 56%
Sharpe 0.66 | Sortino 0.89 | Calmar 0.6
Vol 44% | MDD -35.0%
Months 23M (19%)
CAGR -13.6% | Win 46%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.2
Vol 44% | MDD -79.8%
Months 56M (46%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 8.8% | Win 55%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.3
Vol 29% | MDD -27.9%
Months 58M (48%)
CAGR 9.8% | Win 65%
Sharpe 0.48 | Sortino 0.46 | Calmar 0.1
Vol 47% | MDD -76.7%
Months 46M (38%)
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
RSmean
neg
CAGR -37.1% | Win 0%
Sharpe -7.73 | Sortino -7.73 | Calmar -5.8
Vol 6% | MDD -6.4%
Months 3M (2%)
CAGR -7.6% | Win 43%
Sharpe -0.22 | Sortino -0.47 | Calmar -0.4
Vol 24% | MDD -19.6%
Months 14M (12%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
MACD
only
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 1.1% | Win 53%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -57.4%
Months 66M (54%)
CAGR 24.9% | Win 71%
Sharpe 0.76 | Sortino 0.64 | Calmar 0.4
Vol 50% | MDD -69.4%
Months 38M (31%)
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
RSmean
neg
CAGR -16.8% | Win 40%
Sharpe -0.85 | Sortino -2.99 | Calmar -1.2
Vol 20% | MDD -13.8%
Months 5M (4%)
CAGR -12.3% | Win 33%
Sharpe -0.44 | Sortino -0.90 | Calmar -0.8
Vol 24% | MDD -14.5%
Months 12M (10%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
RSI
only
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -0.8% | Win 64%
Sharpe 0.24 | Sortino 0.23 | Calmar -0.0
Vol 43% | MDD -79.9%
Months 64M (53%)
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
RSmean
neg
-
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
MACDhist
only
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 26.8% | Win 63%
Sharpe 0.98 | Sortino 1.67 | Calmar 0.7
Vol 29% | MDD -37.2%
Months 54M (45%)
CAGR -7.1% | Win 56%
Sharpe 0.12 | Sortino 0.12 | Calmar -0.1
Vol 46% | MDD -69.4%
Months 50M (41%)
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
RSmean
neg
CAGR 12.1% | Win 50%
Sharpe 0.44 | Sortino 0.00 | Calmar 0.0
Vol 32% | MDD 0.0%
Months 2M (2%)
CAGR -16.6% | Win 33%
Sharpe -0.72 | Sortino -1.49 | Calmar -0.6
Vol 22% | MDD -25.6%
Months 15M (12%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 7.0% | Win 59%
Sharpe 0.41 | Sortino 0.41 | Calmar 0.1
Vol 36% | MDD -61.5%
Months 70M (58%)
CAGR 14.0% | Win 62%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.3
Vol 43% | MDD -42.9%
Months 34M (28%)
CAGR 9.2% | Win 60%
Sharpe 0.45 | Sortino 0.49 | Calmar 0.1
Vol 38% | MDD -79.9%
Months 104M (86%)
RSmean
neg
CAGR -18.4% | Win 36%
Sharpe -0.83 | Sortino -1.72 | Calmar -0.7
Vol 22% | MDD -26.4%
Months 14M (12%)
CAGR 12.4% | Win 33%
Sharpe 0.51 | Sortino 1.93 | Calmar 6.8
Vol 28% | MDD -1.8%
Months 3M (2%)
CAGR -13.7% | Win 35%
Sharpe -0.56 | Sortino -1.22 | Calmar -0.6
Vol 22% | MDD -24.2%
Months 17M (14%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR -4.2% | Win 47%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 30% | MDD -42.3%
Months 47M (39%)
CAGR 48.0% | Win 71%
Sharpe 1.75 | Sortino 3.30 | Calmar 10.0
Vol 24% | MDD -4.8%
Months 14M (12%)
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
MACD
neg
CAGR 7.7% | Win 62%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -33.2%
Months 24M (20%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.39 | Calmar 0.1
Vol 51% | MDD -73.4%
Months 36M (30%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
RSI
only
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 15.9% | Win 43%
Sharpe 0.64 | Sortino 1.58 | Calmar 0.5
Vol 30% | MDD -34.2%
Months 28M (23%)
CAGR -2.0% | Win 61%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.1
Vol 28% | MDD -22.0%
Months 33M (27%)
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
MACD
neg
CAGR 58.1% | Win 75%
Sharpe 1.79 | Sortino 2.30 | Calmar 4.0
Vol 28% | MDD -14.5%
Months 12M (10%)
CAGR -4.7% | Win 56%
Sharpe 0.17 | Sortino 0.18 | Calmar -0.1
Vol 46% | MDD -77.6%
Months 48M (40%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
MACDhist
only
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 14.8% | Win 52%
Sharpe 0.59 | Sortino 1.20 | Calmar 0.9
Vol 31% | MDD -16.6%
Months 25M (21%)
CAGR 0.1% | Win 53%
Sharpe 0.14 | Sortino 0.18 | Calmar 0.0
Vol 27% | MDD -20.7%
Months 36M (30%)
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
MACD
neg
CAGR 36.3% | Win 71%
Sharpe 1.31 | Sortino 1.91 | Calmar 1.5
Vol 26% | MDD -24.6%
Months 31M (26%)
CAGR -19.8% | Win 48%
Sharpe -0.07 | Sortino -0.07 | Calmar -0.3
Vol 55% | MDD -74.1%
Months 29M (24%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 11.2% | Win 50%
Sharpe 0.51 | Sortino 0.84 | Calmar 0.4
Vol 28% | MDD -31.1%
Months 46M (38%)
CAGR -9.1% | Win 60%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.6
Vol 30% | MDD -15.4%
Months 15M (12%)
CAGR 5.9% | Win 52%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.2
Vol 29% | MDD -27.9%
Months 61M (50%)
MACD
neg
CAGR -7.7% | Win 60%
Sharpe 0.07 | Sortino 0.06 | Calmar -0.1
Vol 40% | MDD -64.8%
Months 38M (31%)
CAGR 32.7% | Win 59%
Sharpe 0.83 | Sortino 1.10 | Calmar 0.8
Vol 48% | MDD -42.9%
Months 22M (18%)
CAGR 5.4% | Win 60%
Sharpe 0.38 | Sortino 0.39 | Calmar 0.1
Vol 43% | MDD -77.6%
Months 60M (50%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 16.3% | Win 47%
Sharpe 0.65 | Sortino 1.39 | Calmar 0.5
Vol 30% | MDD -34.2%
Months 34M (28%)
CAGR -13.5% | Win 57%
Sharpe -0.40 | Sortino -0.47 | Calmar -0.2
Vol 27% | MDD -54.9%
Months 37M (31%)
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
RSI
neg
CAGR 111.9% | Win 83%
Sharpe 4.25 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 6M (5%)
CAGR 5.6% | Win 59%
Sharpe 0.40 | Sortino 0.40 | Calmar 0.1
Vol 47% | MDD -73.4%
Months 44M (36%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
MACDhist
only
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 13.2% | Win 58%
Sharpe 0.57 | Sortino 0.98 | Calmar 0.3
Vol 29% | MDD -44.4%
Months 45M (37%)
CAGR -20.0% | Win 42%
Sharpe -0.71 | Sortino -0.85 | Calmar -0.4
Vol 26% | MDD -48.7%
Months 26M (22%)
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
RSI
neg
CAGR 97.1% | Win 82%
Sharpe 3.36 | Sortino 11.35 | Calmar 35.3
Vol 21% | MDD -2.7%
Months 11M (9%)
CAGR -1.5% | Win 56%
Sharpe 0.27 | Sortino 0.28 | Calmar -0.0
Vol 49% | MDD -73.4%
Months 39M (32%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 11.3% | Win 54%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.3
Vol 27% | MDD -35.2%
Months 63M (52%)
CAGR -58.0% | Win 38%
Sharpe -2.57 | Sortino -4.53 | Calmar -1.8
Vol 31% | MDD -32.7%
Months 8M (7%)
CAGR -0.3% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -59.4%
Months 71M (59%)
RSI
neg
CAGR -20.6% | Win 57%
Sharpe -0.12 | Sortino -0.10 | Calmar -0.3
Vol 50% | MDD -60.6%
Months 21M (17%)
CAGR 49.9% | Win 66%
Sharpe 1.22 | Sortino 1.48 | Calmar 1.5
Vol 41% | MDD -32.4%
Months 29M (24%)
CAGR 14.8% | Win 62%
Sharpe 0.58 | Sortino 0.57 | Calmar 0.2
Vol 45% | MDD -73.4%
Months 50M (41%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 34.7% | Win 60%
Sharpe 1.16 | Sortino 2.52 | Calmar 1.5
Vol 30% | MDD -22.9%
Months 30M (25%)
CAGR 7.3% | Win 30%
Sharpe 0.38 | Sortino 0.76 | Calmar 0.5
Vol 28% | MDD -16.0%
Months 10M (8%)
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
MACDhist
neg
CAGR 17.1% | Win 65%
Sharpe 0.72 | Sortino 0.99 | Calmar 0.5
Vol 27% | MDD -37.2%
Months 26M (22%)
CAGR -12.1% | Win 55%
Sharpe -0.03 | Sortino -0.03 | Calmar -0.2
Vol 44% | MDD -74.5%
Months 55M (46%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
RSIhist
only
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 27.3% | Win 53%
Sharpe 0.96 | Sortino 2.04 | Calmar 0.8
Vol 30% | MDD -34.2%
Months 38M (31%)
CAGR 26.2% | Win 50%
Sharpe 1.05 | Sortino 0.00 | Calmar 0.0
Vol 24% | MDD 0.0%
Months 2M (2%)
CAGR 27.2% | Win 52%
Sharpe 0.98 | Sortino 2.07 | Calmar 0.8
Vol 29% | MDD -34.2%
Months 40M (33%)
MACDhist
neg
CAGR -14.7% | Win 56%
Sharpe -0.18 | Sortino -0.16 | Calmar -0.2
Vol 37% | MDD -66.9%
Months 46M (38%)
CAGR 13.2% | Win 60%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.3
Vol 42% | MDD -42.9%
Months 35M (29%)
CAGR -3.6% | Win 58%
Sharpe 0.14 | Sortino 0.15 | Calmar -0.0
Vol 39% | MDD -81.6%
Months 81M (67%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 32.2% | Win 63%
Sharpe 1.19 | Sortino 2.43 | Calmar 1.5
Vol 26% | MDD -21.0%
Months 46M (38%)
CAGR 2.0% | Win 60%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 38% | MDD -15.4%
Months 10M (8%)
CAGR 26.2% | Win 62%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 28% | MDD -37.2%
Months 56M (46%)
RSIhist
neg
CAGR -25.1% | Win 45%
Sharpe -0.44 | Sortino -0.43 | Calmar -0.4
Vol 40% | MDD -68.6%
Months 38M (31%)
CAGR 18.5% | Win 59%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.6
Vol 43% | MDD -32.4%
Months 27M (22%)
CAGR -9.4% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 42% | MDD -74.5%
Months 65M (54%)
LWTI
only
CAGR 2.2% | Win 55%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -66.5%
Months 84M (69%)
CAGR 13.8% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 41% | MDD -42.9%
Months 37M (31%)