PALL - abrdn Physical Palladium Shares ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

237.5%

Best CAGR

56

Total Months

15.7%

Avg CAGR

PALL 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 PALL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 1 0.5 237.5 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.5 237.5 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean neg-neg 17 8.7 100.8 82.4 2.6 2.7 5.1 28.8 -19.7
pair RSmean MRmean neg-neg 17 8.7 100.8 82.4 2.6 2.7 5.1 28.8 -19.7
pair MACDhist MRmean neg-pos 12 6.1 88.4 83.3 2.5 4.5 11.9 27.7 -7.4
pair MRmean MACDhist neg-pos 12 6.1 88.4 83.3 2.5 4.5 11.9 27.7 -7.4
pair RSI LWTI neg-pos 20 10.2 85.0 80.0 2.1 5.1 6.2 32.7 -13.6
pair LWTI RSI neg-pos 20 10.2 85.0 80.0 2.1 5.1 6.2 32.7 -13.6
pair SLmean RSmean neg-neg 17 8.7 85.0 82.4 2.3 2.4 4.3 28.6 -19.7
pair RSmean SLmean neg-neg 17 8.7 85.0 82.4 2.3 2.4 4.3 28.6 -19.7
pair RSmean MACD neg-neg 17 8.7 78.1 76.5 2.0 3.4 4.0 32.3 -19.7
pair MACD RSmean neg-neg 17 8.7 78.1 76.5 2.0 3.4 4.0 32.3 -19.7
pair RSmean MACDhist neg-neg 18 9.2 75.2 77.8 2.0 2.6 3.8 30.9 -19.7
pair MACDhist RSmean neg-neg 18 9.2 75.2 77.8 2.0 2.6 3.8 30.9 -19.7
pair MACDhist RSI neg-pos 14 7.1 72.7 71.4 1.7 5.9 3.9 35.5 -18.8
pair RSI MACDhist neg-pos 14 7.1 72.7 71.4 1.7 5.9 3.9 35.5 -18.8
pair RSmean RSI neg-pos 18 9.2 71.6 77.8 1.9 2.5 3.6 31.1 -19.7
pair RSI RSmean neg-pos 18 9.2 71.6 77.8 1.9 2.5 3.6 31.1 -19.7
pair MACDhist SLmean neg-pos 20 10.2 67.0 80.0 2.1 4.7 4.8 25.9 -13.8
pair SLmean MACDhist neg-pos 20 10.2 67.0 80.0 2.1 4.7 4.8 25.9 -13.8
pair RSmean RSIhist neg-neg 16 8.2 66.4 75.0 1.8 2.4 3.4 32.1 -19.7
pair RSIhist RSmean neg-neg 16 8.2 66.4 75.0 1.8 2.4 3.4 32.1 -19.7
single RSmean RSmean neg-neg 24 12.2 64.9 75.0 1.8 3.0 3.3 30.3 -19.7
pair RSIhist RSmean neg-pos 8 4.1 62.0 75.0 1.9 6.0 7.2 28.4 -8.6
pair RSmean RSIhist neg-pos 8 4.1 62.0 75.0 1.9 6.0 7.2 28.4 -8.6
pair MRmean RSIhist neg-pos 12 6.1 61.4 75.0 2.0 12.2 5.7 25.6 -10.8
pair RSIhist MRmean neg-pos 12 6.1 61.4 75.0 2.0 12.2 5.7 25.6 -10.8
pair RSmean LWTI neg-pos 23 11.7 59.8 73.9 1.7 2.8 3.0 30.6 -19.7
pair LWTI RSmean neg-pos 23 11.7 59.8 73.9 1.7 2.8 3.0 30.6 -19.7
pair MRmean LWTI neg-pos 41 20.9 57.3 75.6 1.6 1.9 1.9 31.8 -30.3
pair LWTI MRmean neg-pos 41 20.9 57.3 75.6 1.6 1.9 1.9 31.8 -30.3
pair SLmean RSIhist neg-pos 10 5.1 48.5 70.0 1.6 10.2 2.8 26.7 -17.4
pair RSIhist SLmean neg-pos 10 5.1 48.5 70.0 1.6 10.2 2.8 26.7 -17.4
pair RSI RSmean neg-neg 6 3.1 46.3 66.7 1.4 4.9 5.4 30.2 -8.6
pair RSmean RSI neg-neg 6 3.1 46.3 66.7 1.4 4.9 5.4 30.2 -8.6
pair MACD RSI pos-neg 16 8.2 46.2 68.8 1.4 2.7 2.5 31.9 -18.1
pair RSI MACD pos-neg 16 8.2 46.2 68.8 1.4 2.7 2.5 31.9 -18.1
pair SLmean LWTI neg-pos 51 26.0 40.6 72.5 1.2 1.5 1.1 32.6 -35.1
pair LWTI SLmean neg-pos 51 26.0 40.6 72.5 1.2 1.5 1.1 32.6 -35.1
pair MACDhist RSmean neg-pos 6 3.1 37.4 66.7 1.2 4.1 4.4 30.5 -8.6
pair RSmean MACDhist neg-pos 6 3.1 37.4 66.7 1.2 4.1 4.4 30.5 -8.6
pair RSmean MACD neg-pos 7 3.6 36.7 71.4 1.3 1.5 3.6 25.9 -10.2
pair MACD RSmean neg-pos 7 3.6 36.7 71.4 1.3 1.5 3.6 25.9 -10.2
pair MACDhist MACD neg-pos 23 11.7 35.0 65.2 1.0 3.0 1.9 35.7 -18.8
pair MACD MACDhist neg-pos 23 11.7 35.0 65.2 1.0 3.0 1.9 35.7 -18.8
pair MACD LWTI neg-pos 43 21.9 33.4 65.1 1.0 1.7 1.2 33.6 -26.7
pair LWTI MACD neg-pos 43 21.9 33.4 65.1 1.0 1.7 1.2 33.6 -26.7
pair RSI RSIhist neg-pos 17 8.7 26.9 58.8 0.9 2.7 1.0 34.6 -25.8
pair RSIhist RSI neg-pos 17 8.7 26.9 58.8 0.9 2.7 1.0 34.6 -25.8
pair RSmean SLmean pos-neg 7 3.6 24.7 57.1 0.8 3.0 1.9 35.1 -13.2
pair SLmean RSmean pos-neg 7 3.6 24.7 57.1 0.8 3.0 1.9 35.1 -13.2
pair RSIhist MACD neg-pos 32 16.3 22.3 59.4 0.8 1.9 0.7 32.8 -34.1
pair MACD RSIhist neg-pos 32 16.3 22.3 59.4 0.8 1.9 0.7 32.8 -34.1
pair LWTI MACDhist neg-pos 51 26.0 21.0 62.7 0.8 1.0 0.7 32.4 -30.3
pair MACDhist LWTI neg-pos 51 26.0 21.0 62.7 0.8 1.0 0.7 32.4 -30.3
pair MACD SLmean neg-pos 39 19.9 20.8 66.7 0.8 1.0 0.6 28.8 -35.1
pair SLmean MACD neg-pos 39 19.9 20.8 66.7 0.8 1.0 0.6 28.8 -35.1
pair LWTI RSIhist pos-pos 72 36.7 18.6 66.7 0.8 1.2 0.5 27.3 -35.3
pair RSIhist LWTI pos-pos 72 36.7 18.6 66.7 0.8 1.2 0.5 27.3 -35.3
single LWTI LWTI pos-pos 138 70.4 18.3 64.5 0.7 1.1 0.4 29.4 -41.4
pair LWTI RSIhist neg-pos 66 33.7 17.9 62.1 0.7 0.9 0.5 31.7 -38.0
pair RSIhist LWTI neg-pos 66 33.7 17.9 62.1 0.7 0.9 0.5 31.7 -38.0
pair SLmean RSI neg-pos 39 19.9 17.5 66.7 0.7 0.8 0.6 32.1 -28.1
pair RSI SLmean neg-pos 39 19.9 17.5 66.7 0.7 0.8 0.6 32.1 -28.1
pair MACD MRmean neg-neg 56 28.6 17.3 62.5 0.7 1.3 0.3 31.4 -51.8
pair MRmean MACD neg-neg 56 28.6 17.3 62.5 0.7 1.3 0.3 31.4 -51.8
pair LWTI MACDhist pos-pos 87 44.4 16.7 65.5 0.7 1.1 0.5 27.6 -35.5
pair MACDhist LWTI pos-pos 87 44.4 16.7 65.5 0.7 1.1 0.5 27.6 -35.5
pair MRmean SLmean neg-neg 76 38.8 16.7 61.8 0.7 1.1 0.3 31.2 -53.1
pair SLmean MRmean neg-neg 76 38.8 16.7 61.8 0.7 1.1 0.3 31.2 -53.1
pair RSIhist MACDhist pos-neg 25 12.8 15.6 64.0 0.6 1.1 0.7 28.9 -22.4
pair MACDhist RSIhist pos-neg 25 12.8 15.6 64.0 0.6 1.1 0.7 28.9 -22.4
single MACDhist MACDhist pos-pos 93 47.4 15.4 64.5 0.7 1.1 0.5 28.0 -33.5
pair RSIhist MACDhist pos-pos 68 34.7 15.3 64.7 0.7 1.1 0.4 27.8 -41.0
single SLmean SLmean neg-neg 90 45.9 15.3 62.2 0.6 1.0 0.3 31.1 -53.1
pair MACDhist RSIhist pos-pos 68 34.7 15.3 64.7 0.7 1.1 0.4 27.8 -41.0
pair RSI MACD neg-pos 32 16.3 15.2 59.4 0.6 0.9 0.3 33.9 -42.7
pair MACD RSI neg-pos 32 16.3 15.2 59.4 0.6 0.9 0.3 33.9 -42.7
single RSIhist RSIhist pos-pos 86 43.9 15.0 64.0 0.6 1.1 0.3 28.5 -43.2
pair MACDhist RSIhist neg-pos 18 9.2 14.2 61.1 0.6 1.1 0.5 31.9 -31.8
pair RSIhist MACDhist neg-pos 18 9.2 14.2 61.1 0.6 1.1 0.5 31.9 -31.8
pair RSmean MACDhist pos-pos 87 44.4 14.0 64.4 0.6 1.0 0.4 27.9 -33.5
pair MACDhist RSmean pos-pos 87 44.4 14.0 64.4 0.6 1.0 0.4 27.9 -33.5
pair RSI MRmean pos-neg 8 4.1 13.8 50.0 0.5 1.7 0.6 43.9 -23.9
pair MRmean RSI pos-neg 8 4.1 13.8 50.0 0.5 1.7 0.6 43.9 -23.9
pair SLmean RSI neg-neg 51 26.0 13.6 58.8 0.6 1.4 0.3 30.6 -53.1
pair RSI SLmean neg-neg 51 26.0 13.6 58.8 0.6 1.4 0.3 30.6 -53.1
pair MRmean RSI neg-neg 58 29.6 13.4 60.3 0.6 1.1 0.3 31.0 -51.8
single RSI RSI neg-neg 66 33.7 13.4 59.1 0.6 1.2 0.3 32.4 -52.2
pair RSI MRmean neg-neg 58 29.6 13.4 60.3 0.6 1.1 0.3 31.0 -51.8
pair RSI SLmean pos-neg 15 7.7 13.0 60.0 0.5 0.9 0.5 39.2 -23.9
pair SLmean RSI pos-neg 15 7.7 13.0 60.0 0.5 0.9 0.5 39.2 -23.9
single MRmean MRmean neg-neg 90 45.9 12.8 61.1 0.5 0.9 0.2 31.4 -56.0
pair RSIhist RSI pos-pos 69 35.2 12.3 65.2 0.6 0.9 0.3 27.1 -38.6
pair RSI RSIhist pos-pos 69 35.2 12.3 65.2 0.6 0.9 0.3 27.1 -38.6
pair LWTI MACD pos-pos 95 48.5 12.0 64.2 0.6 0.7 0.3 27.3 -41.4
pair MACD LWTI pos-pos 95 48.5 12.0 64.2 0.6 0.7 0.3 27.3 -41.4
pair RSI MRmean neg-pos 32 16.3 11.9 62.5 0.5 0.7 0.4 32.7 -33.1
pair MRmean RSI neg-pos 32 16.3 11.9 62.5 0.5 0.7 0.4 32.7 -33.1
pair SLmean RSIhist neg-neg 80 40.8 11.7 61.2 0.5 0.8 0.2 31.6 -50.3
pair RSIhist SLmean neg-neg 80 40.8 11.7 61.2 0.5 0.8 0.2 31.6 -50.3
pair LWTI RSmean pos-pos 115 58.7 11.3 62.6 0.5 0.7 0.3 28.9 -43.2
pair RSmean LWTI pos-pos 115 58.7 11.3 62.6 0.5 0.7 0.3 28.9 -43.2
pair SLmean RSIhist pos-pos 76 38.8 11.2 63.2 0.5 0.9 0.3 28.8 -34.6
pair SLmean MACD neg-neg 51 26.0 11.2 58.8 0.5 0.9 0.2 32.9 -53.1
pair RSIhist SLmean pos-pos 76 38.8 11.2 63.2 0.5 0.9 0.3 28.8 -34.6
pair MACD SLmean neg-neg 51 26.0 11.2 58.8 0.5 0.9 0.2 32.9 -53.1
pair RSIhist RSmean pos-pos 78 39.8 11.1 62.8 0.5 0.9 0.3 28.5 -37.8
pair RSmean RSIhist pos-pos 78 39.8 11.1 62.8 0.5 0.9 0.3 28.5 -37.8
pair RSIhist MACD pos-pos 54 27.6 11.0 66.7 0.5 0.8 0.3 25.9 -31.5
pair MACD RSIhist pos-pos 54 27.6 11.0 66.7 0.5 0.8 0.3 25.9 -31.5
pair RSI RSmean pos-neg 60 30.6 10.6 58.3 0.5 1.0 0.2 32.8 -52.2
pair RSmean RSI pos-neg 60 30.6 10.6 58.3 0.5 1.0 0.2 32.8 -52.2
pair MACDhist MACD pos-pos 70 35.7 9.6 64.3 0.5 0.7 0.2 25.0 -40.1
pair MACD MACDhist pos-pos 70 35.7 9.6 64.3 0.5 0.7 0.2 25.0 -40.1
pair RSI LWTI pos-pos 118 60.2 9.6 61.9 0.5 0.6 0.2 28.3 -48.3
pair LWTI RSI pos-pos 118 60.2 9.6 61.9 0.5 0.6 0.2 28.3 -48.3
pair RSI RSIhist neg-neg 49 25.0 9.1 59.2 0.4 0.8 0.2 31.9 -50.3
pair RSIhist RSI neg-neg 49 25.0 9.1 59.2 0.4 0.8 0.2 31.9 -50.3
pair RSIhist MRmean pos-pos 74 37.8 8.9 62.2 0.4 0.8 0.2 28.8 -43.7
pair MRmean RSIhist pos-pos 74 37.8 8.9 62.2 0.4 0.8 0.2 28.8 -43.7
single MACD MACD neg-neg 82 41.8 8.6 57.3 0.4 0.8 0.2 32.9 -52.2
pair SLmean MRmean pos-neg 14 7.1 7.8 64.3 0.4 0.4 1.1 31.4 -6.9
pair MRmean SLmean pos-neg 14 7.1 7.8 64.3 0.4 0.4 1.1 31.4 -6.9
pair MACDhist RSI pos-pos 79 40.3 7.4 63.3 0.4 0.6 0.2 26.1 -34.3
pair RSI MACDhist pos-pos 79 40.3 7.4 63.3 0.4 0.6 0.2 26.1 -34.3
pair MACDhist MRmean pos-pos 81 41.3 7.3 61.7 0.4 0.7 0.2 27.5 -46.2
pair MRmean MACDhist pos-pos 81 41.3 7.3 61.7 0.4 0.7 0.2 27.5 -46.2
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 6.9 59.7 0.4 0.6 0.1 29.7 -69.6
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 6.9 59.7 0.4 0.6 0.1 29.7 -69.6
pair LWTI SLmean pos-pos 87 44.4 6.9 59.8 0.4 0.6 0.2 27.0 -40.9
pair SLmean LWTI pos-pos 87 44.4 6.9 59.8 0.4 0.6 0.2 27.0 -40.9
pair MRmean RSIhist neg-neg 78 39.8 6.8 59.0 0.4 0.6 0.1 32.1 -54.6
pair RSIhist MRmean neg-neg 78 39.8 6.8 59.0 0.4 0.6 0.1 32.1 -54.6
pair MRmean MACD neg-pos 34 17.3 5.9 58.8 0.3 0.5 0.2 31.9 -32.7
pair MACD MRmean neg-pos 34 17.3 5.9 58.8 0.3 0.5 0.2 31.9 -32.7
single MACD MACD pos-pos 114 58.2 5.6 61.4 0.3 0.5 0.1 27.4 -46.9
pair MRmean MACD pos-pos 80 40.8 5.5 62.5 0.3 0.5 0.1 25.5 -42.6
pair MACD MRmean pos-pos 80 40.8 5.5 62.5 0.3 0.5 0.1 25.5 -42.6
pair MRmean LWTI pos-pos 97 49.5 4.8 59.8 0.3 0.5 0.1 27.7 -51.4
pair LWTI MRmean pos-pos 97 49.5 4.8 59.8 0.3 0.5 0.1 27.7 -51.4
pair MACD RSI neg-neg 50 25.5 4.6 56.0 0.3 0.6 0.1 32.5 -52.2
pair RSI MACD neg-neg 50 25.5 4.6 56.0 0.3 0.6 0.1 32.5 -52.2
pair SLmean MACD pos-neg 31 15.8 4.4 54.8 0.3 0.5 0.1 33.4 -35.7
pair MACD SLmean pos-neg 31 15.8 4.4 54.8 0.3 0.5 0.1 33.4 -35.7
pair MRmean MACDhist neg-neg 78 39.8 4.3 57.7 0.3 0.5 0.1 31.5 -56.0
pair MACDhist MRmean neg-neg 78 39.8 4.3 57.7 0.3 0.5 0.1 31.5 -56.0
pair SLmean MACDhist pos-pos 73 37.2 4.2 60.3 0.3 0.5 0.1 28.0 -40.0
pair MACDhist SLmean pos-pos 73 37.2 4.2 60.3 0.3 0.5 0.1 28.0 -40.0
pair MACD RSmean pos-pos 107 54.6 3.9 60.7 0.3 0.4 0.1 27.5 -48.6
pair RSmean MACD pos-pos 107 54.6 3.9 60.7 0.3 0.4 0.1 27.5 -48.6
pair SLmean MACDhist neg-neg 70 35.7 3.7 57.1 0.3 0.4 0.1 31.9 -51.8
pair MACDhist SLmean neg-neg 70 35.7 3.7 57.1 0.3 0.4 0.1 31.9 -51.8
single RSI RSI pos-pos 130 66.3 3.7 60.0 0.3 0.4 0.1 28.4 -60.5
pair SLmean RSmean neg-pos 73 37.2 3.2 57.5 0.3 0.4 0.1 30.9 -53.1
pair RSmean SLmean neg-pos 73 37.2 3.2 57.5 0.3 0.4 0.1 30.9 -53.1
pair RSmean MRmean pos-neg 7 3.6 2.2 57.1 0.2 0.7 0.1 31.1 -14.6
pair MRmean RSmean pos-neg 7 3.6 2.2 57.1 0.2 0.7 0.1 31.1 -14.6
single MRmean MRmean pos-pos 106 54.1 2.0 58.5 0.2 0.3 0.0 28.3 -53.2
pair MRmean RSmean pos-pos 99 50.5 2.0 58.6 0.2 0.3 0.0 28.3 -50.3
pair RSmean MRmean pos-pos 99 50.5 2.0 58.6 0.2 0.3 0.0 28.3 -50.3
pair RSI MACDhist neg-neg 52 26.5 1.3 55.8 0.2 0.4 0.0 31.0 -51.8
pair MACDhist RSI neg-neg 52 26.5 1.3 55.8 0.2 0.4 0.0 31.0 -51.8
pair SLmean MRmean pos-pos 92 46.9 1.2 57.6 0.2 0.3 0.0 28.0 -49.3
pair MRmean SLmean pos-pos 92 46.9 1.2 57.6 0.2 0.3 0.0 28.0 -49.3
pair MACD RSIhist pos-neg 60 30.6 1.1 56.7 0.2 0.3 0.0 28.8 -38.0
pair RSIhist MACD pos-neg 60 30.6 1.1 56.7 0.2 0.3 0.0 28.8 -38.0
pair MRmean RSI pos-pos 98 50.0 1.1 59.2 0.2 0.3 0.0 26.9 -54.9
pair RSI MRmean pos-pos 98 50.0 1.1 59.2 0.2 0.3 0.0 26.9 -54.9
single RSIhist RSIhist neg-neg 110 56.1 0.9 56.4 0.2 0.3 0.0 30.7 -58.8
pair MACD RSIhist neg-neg 50 25.5 0.7 56.0 0.2 0.3 0.0 33.1 -51.2
pair RSIhist MACD neg-neg 50 25.5 0.7 56.0 0.2 0.3 0.0 33.1 -51.2
single RSmean RSmean pos-pos 172 87.8 0.6 57.6 0.2 0.3 0.0 29.3 -70.5
pair MACD RSI pos-pos 98 50.0 0.2 60.2 0.1 0.2 0.0 26.4 -60.4
pair RSI MACD pos-pos 98 50.0 0.2 60.2 0.1 0.2 0.0 26.4 -60.4
single SLmean SLmean pos-pos 106 54.1 0.2 57.5 0.1 0.2 0.0 28.6 -51.3
pair MACD MACDhist neg-neg 59 30.1 -0.2 54.2 0.1 0.2 -0.0 31.7 -52.2
pair MACDhist MACD neg-neg 59 30.1 -0.2 54.2 0.1 0.2 -0.0 31.7 -52.2
single MACDhist MACDhist neg-neg 103 52.6 -0.3 55.3 0.1 0.2 -0.0 31.3 -64.0
pair MACD MACDhist pos-neg 44 22.4 -0.3 56.8 0.1 0.2 -0.0 31.1 -30.3
pair MACDhist MACD pos-neg 44 22.4 -0.3 56.8 0.1 0.2 -0.0 31.1 -30.3
pair RSmean MRmean neg-pos 73 37.2 -1.3 56.2 0.1 0.2 -0.0 30.9 -56.0
pair MRmean RSmean neg-pos 73 37.2 -1.3 56.2 0.1 0.2 -0.0 30.9 -56.0
pair SLmean RSmean pos-pos 99 50.5 -1.3 57.6 0.1 0.1 -0.0 28.2 -47.9
pair RSmean SLmean pos-pos 99 50.5 -1.3 57.6 0.1 0.1 -0.0 28.2 -47.9
pair SLmean MACD pos-pos 75 38.3 -1.5 58.7 0.1 0.1 -0.0 26.6 -48.6
pair MACD SLmean pos-pos 75 38.3 -1.5 58.7 0.1 0.1 -0.0 26.6 -48.6
pair LWTI RSIhist pos-neg 14 7.1 -1.6 50.0 0.1 0.3 -0.1 34.8 -24.8
pair RSIhist LWTI pos-neg 14 7.1 -1.6 50.0 0.1 0.3 -0.1 34.8 -24.8
pair RSI SLmean pos-pos 91 46.4 -1.7 57.1 0.1 0.1 -0.0 26.7 -50.0
pair SLmean RSI pos-pos 91 46.4 -1.7 57.1 0.1 0.1 -0.0 26.7 -50.0
pair MACDhist RSI pos-neg 51 26.0 -1.8 54.9 0.1 0.1 -0.0 31.9 -51.2
pair RSI MACDhist pos-neg 51 26.0 -1.8 54.9 0.1 0.1 -0.0 31.9 -51.2
pair MACDhist LWTI pos-neg 6 3.1 -2.0 50.0 0.1 0.2 -0.1 34.9 -18.8
pair LWTI MACDhist pos-neg 6 3.1 -2.0 50.0 0.1 0.2 -0.1 34.9 -18.8
pair MACDhist RSIhist neg-neg 85 43.4 -3.1 54.1 0.1 0.1 -0.1 31.3 -57.9
pair RSIhist MACDhist neg-neg 85 43.4 -3.1 54.1 0.1 0.1 -0.1 31.3 -57.9
pair RSI RSmean pos-pos 112 57.1 -4.4 57.1 -0.0 -0.0 -0.1 27.3 -57.9
pair RSmean RSI pos-pos 112 57.1 -4.4 57.1 -0.0 -0.0 -0.1 27.3 -57.9
pair MACD RSmean pos-neg 65 33.2 -4.6 52.3 0.0 0.0 -0.1 32.2 -52.2
pair RSmean MACD pos-neg 65 33.2 -4.6 52.3 0.0 0.0 -0.1 32.2 -52.2
pair RSI RSIhist pos-neg 61 31.1 -5.3 54.1 -0.0 -0.0 -0.1 29.8 -52.7
pair RSIhist RSI pos-neg 61 31.1 -5.3 54.1 -0.0 -0.0 -0.1 29.8 -52.7
pair MRmean SLmean neg-pos 14 7.1 -5.8 57.1 -0.0 -0.0 -0.2 33.5 -29.4
pair SLmean MRmean neg-pos 14 7.1 -5.8 57.1 -0.0 -0.0 -0.2 33.5 -29.4
pair RSIhist RSmean pos-neg 94 48.0 -7.3 53.2 -0.1 -0.2 -0.1 29.9 -58.8
pair RSmean RSIhist pos-neg 94 48.0 -7.3 53.2 -0.1 -0.2 -0.1 29.9 -58.8
pair MRmean MACD pos-neg 26 13.3 -7.9 46.2 -0.1 -0.1 -0.2 36.2 -49.6
pair MACD MRmean pos-neg 26 13.3 -7.9 46.2 -0.1 -0.1 -0.2 36.2 -49.6
pair MACDhist SLmean pos-neg 33 16.8 -8.1 51.5 -0.1 -0.2 -0.2 30.2 -35.2
pair SLmean MACDhist pos-neg 33 16.8 -8.1 51.5 -0.1 -0.2 -0.2 30.2 -35.2
pair LWTI RSI neg-neg 46 23.5 -8.3 50.0 -0.1 -0.3 -0.2 30.5 -50.5
pair RSI LWTI neg-neg 46 23.5 -8.3 50.0 -0.1 -0.3 -0.2 30.5 -50.5
pair LWTI SLmean neg-neg 39 19.9 -11.1 48.7 -0.3 -0.6 -0.2 27.3 -50.3
pair SLmean LWTI neg-neg 39 19.9 -11.1 48.7 -0.3 -0.6 -0.2 27.3 -50.3
pair MACDhist RSmean pos-neg 85 43.4 -11.5 50.6 -0.2 -0.4 -0.2 30.4 -64.0
pair RSmean MACDhist pos-neg 85 43.4 -11.5 50.6 -0.2 -0.4 -0.2 30.4 -64.0
pair MRmean RSIhist pos-neg 32 16.3 -12.2 50.0 -0.3 -0.5 -0.3 27.0 -35.8
pair RSIhist MRmean pos-neg 32 16.3 -12.2 50.0 -0.3 -0.5 -0.3 27.0 -35.8
pair MACDhist MRmean pos-neg 25 12.8 -13.2 48.0 -0.3 -0.4 -0.3 30.8 -41.0
pair MRmean MACDhist pos-neg 25 12.8 -13.2 48.0 -0.3 -0.4 -0.3 30.8 -41.0
pair MACD LWTI neg-neg 39 19.9 -13.5 48.7 -0.3 -0.6 -0.3 31.2 -52.0
pair LWTI MACD neg-neg 39 19.9 -13.5 48.7 -0.3 -0.6 -0.3 31.2 -52.0
pair LWTI MRmean neg-neg 49 25.0 -14.5 49.0 -0.4 -0.7 -0.2 29.0 -59.7
pair MRmean LWTI neg-neg 49 25.0 -14.5 49.0 -0.4 -0.7 -0.2 29.0 -59.7
single LWTI LWTI neg-neg 58 29.6 -16.0 48.3 -0.4 -0.9 -0.3 29.7 -61.8
pair MACDhist LWTI neg-neg 52 26.5 -17.5 48.1 -0.5 -0.9 -0.3 29.4 -59.5
pair LWTI MACDhist neg-neg 52 26.5 -17.5 48.1 -0.5 -0.9 -0.3 29.4 -59.5
pair LWTI RSmean pos-neg 57 29.1 -18.0 47.4 -0.5 -1.0 -0.3 29.5 -61.8
pair RSmean LWTI pos-neg 57 29.1 -18.0 47.4 -0.5 -1.0 -0.3 29.5 -61.8
pair LWTI RSIhist neg-neg 44 22.4 -20.1 47.7 -0.7 -1.1 -0.3 28.2 -66.0
pair RSIhist LWTI neg-neg 44 22.4 -20.1 47.7 -0.7 -1.1 -0.3 28.2 -66.0
pair MACD LWTI pos-neg 19 9.7 -20.9 47.4 -0.7 -1.4 -0.6 27.2 -36.1
pair LWTI MACD pos-neg 19 9.7 -20.9 47.4 -0.7 -1.4 -0.6 27.2 -36.1
pair RSIhist SLmean pos-neg 30 15.3 -23.0 43.3 -0.8 -1.2 -0.4 27.0 -52.4
pair SLmean RSIhist pos-neg 30 15.3 -23.0 43.3 -0.8 -1.2 -0.4 27.0 -52.4
pair LWTI MRmean pos-neg 9 4.6 -23.5 44.4 -0.6 -1.6 -1.2 35.3 -20.0
pair MRmean LWTI pos-neg 9 4.6 -23.5 44.4 -0.6 -1.6 -1.2 35.3 -20.0
pair LWTI SLmean pos-neg 19 9.7 -25.2 47.4 -0.7 -1.3 -0.6 34.7 -39.2
pair SLmean LWTI pos-neg 19 9.7 -25.2 47.4 -0.7 -1.3 -0.6 34.7 -39.2
pair LWTI RSI pos-neg 12 6.1 -40.0 41.7 -1.9 -3.8 -1.0 24.9 -41.1
pair RSI LWTI pos-neg 12 6.1 -40.0 41.7 -1.9 -3.8 -1.0 24.9 -41.1

All Contingency Tables for PALL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 1.2% | Win 58%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 28% | MDD -49.3%
Months 92M (47%)
CAGR 7.8% | Win 64%
Sharpe 0.40 | Sortino 0.40 | Calmar 1.1
Vol 31% | MDD -6.9%
Months 14M (7%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR -5.8% | Win 57%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.2
Vol 34% | MDD -29.4%
Months 14M (7%)
CAGR 16.7% | Win 62%
Sharpe 0.65 | Sortino 1.13 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 76M (39%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
SLmean
only
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.0% | Win 59%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -50.3%
Months 99M (50%)
CAGR 2.2% | Win 57%
Sharpe 0.20 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -14.6%
Months 7M (4%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR -1.3% | Win 56%
Sharpe 0.11 | Sortino 0.18 | Calmar -0.0
Vol 31% | MDD -56.0%
Months 73M (37%)
CAGR 100.8% | Win 82%
Sharpe 2.63 | Sortino 2.69 | Calmar 5.1
Vol 29% | MDD -19.7%
Months 17M (9%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
RSmean
only
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.5% | Win 62%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -42.6%
Months 80M (41%)
CAGR -7.9% | Win 46%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.2
Vol 36% | MDD -49.6%
Months 26M (13%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR 5.9% | Win 59%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.2
Vol 32% | MDD -32.7%
Months 34M (17%)
CAGR 17.3% | Win 62%
Sharpe 0.67 | Sortino 1.28 | Calmar 0.3
Vol 31% | MDD -51.8%
Months 56M (29%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
MACD
only
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 1.1% | Win 59%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -54.9%
Months 98M (50%)
CAGR 13.8% | Win 50%
Sharpe 0.49 | Sortino 1.74 | Calmar 0.6
Vol 44% | MDD -23.9%
Months 8M (4%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR 11.9% | Win 62%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.4
Vol 33% | MDD -33.1%
Months 32M (16%)
CAGR 13.4% | Win 60%
Sharpe 0.56 | Sortino 1.11 | Calmar 0.3
Vol 31% | MDD -51.8%
Months 58M (30%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
RSI
only
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 62%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.2
Vol 28% | MDD -46.2%
Months 81M (41%)
CAGR -13.2% | Win 48%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.3
Vol 31% | MDD -41.0%
Months 25M (13%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR 88.4% | Win 83%
Sharpe 2.47 | Sortino 4.45 | Calmar 11.9
Vol 28% | MDD -7.4%
Months 12M (6%)
CAGR 4.3% | Win 58%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.0%
Months 78M (40%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
MACDhist
only
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 62%
Sharpe 0.44 | Sortino 0.75 | Calmar 0.2
Vol 29% | MDD -43.7%
Months 74M (38%)
CAGR -12.2% | Win 50%
Sharpe -0.34 | Sortino -0.45 | Calmar -0.3
Vol 27% | MDD -35.8%
Months 32M (16%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR 61.4% | Win 75%
Sharpe 2.02 | Sortino 12.18 | Calmar 5.7
Vol 26% | MDD -10.8%
Months 12M (6%)
CAGR 6.8% | Win 59%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 32% | MDD -54.6%
Months 78M (40%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -51.4%
Months 97M (50%)
CAGR -23.5% | Win 44%
Sharpe -0.59 | Sortino -1.61 | Calmar -1.2
Vol 35% | MDD -20.0%
Months 9M (5%)
CAGR 2.0% | Win 58%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -53.2%
Months 106M (54%)
MRmean
neg
CAGR 57.3% | Win 76%
Sharpe 1.61 | Sortino 1.92 | Calmar 1.9
Vol 32% | MDD -30.3%
Months 41M (21%)
CAGR -14.5% | Win 49%
Sharpe -0.40 | Sortino -0.74 | Calmar -0.2
Vol 29% | MDD -59.7%
Months 49M (25%)
CAGR 12.8% | Win 61%
Sharpe 0.54 | Sortino 0.90 | Calmar 0.2
Vol 31% | MDD -56.0%
Months 90M (46%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -1.3% | Win 58%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 28% | MDD -47.9%
Months 99M (50%)
CAGR 24.7% | Win 57%
Sharpe 0.79 | Sortino 3.02 | Calmar 1.9
Vol 35% | MDD -13.2%
Months 7M (4%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.1
Vol 31% | MDD -53.1%
Months 73M (37%)
CAGR 85.0% | Win 82%
Sharpe 2.34 | Sortino 2.38 | Calmar 4.3
Vol 29% | MDD -19.7%
Months 17M (9%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
RSmean
only
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -1.5% | Win 59%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 27% | MDD -48.6%
Months 75M (38%)
CAGR 4.4% | Win 55%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 33% | MDD -35.7%
Months 31M (16%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 20.8% | Win 67%
Sharpe 0.80 | Sortino 1.01 | Calmar 0.6
Vol 29% | MDD -35.1%
Months 39M (20%)
CAGR 11.2% | Win 59%
Sharpe 0.49 | Sortino 0.91 | Calmar 0.2
Vol 33% | MDD -53.1%
Months 51M (26%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
MACD
only
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -1.7% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -50.0%
Months 91M (46%)
CAGR 13.0% | Win 60%
Sharpe 0.50 | Sortino 0.91 | Calmar 0.5
Vol 39% | MDD -23.9%
Months 15M (8%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 17.5% | Win 67%
Sharpe 0.67 | Sortino 0.76 | Calmar 0.6
Vol 32% | MDD -28.1%
Months 39M (20%)
CAGR 13.6% | Win 59%
Sharpe 0.56 | Sortino 1.35 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 51M (26%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
RSI
only
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.2% | Win 60%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -40.0%
Months 73M (37%)
CAGR -8.1% | Win 52%
Sharpe -0.13 | Sortino -0.20 | Calmar -0.2
Vol 30% | MDD -35.2%
Months 33M (17%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 67.0% | Win 80%
Sharpe 2.14 | Sortino 4.68 | Calmar 4.9
Vol 26% | MDD -13.8%
Months 20M (10%)
CAGR 3.7% | Win 57%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 32% | MDD -51.8%
Months 70M (36%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
MACDhist
only
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 63%
Sharpe 0.52 | Sortino 0.87 | Calmar 0.3
Vol 29% | MDD -34.6%
Months 76M (39%)
CAGR -23.0% | Win 43%
Sharpe -0.82 | Sortino -1.16 | Calmar -0.4
Vol 27% | MDD -52.4%
Months 30M (15%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 48.5% | Win 70%
Sharpe 1.62 | Sortino 10.19 | Calmar 2.8
Vol 27% | MDD -17.4%
Months 10M (5%)
CAGR 11.7% | Win 61%
Sharpe 0.51 | Sortino 0.78 | Calmar 0.2
Vol 32% | MDD -50.3%
Months 80M (41%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 60%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.2
Vol 27% | MDD -40.9%
Months 87M (44%)
CAGR -25.2% | Win 47%
Sharpe -0.66 | Sortino -1.29 | Calmar -0.6
Vol 35% | MDD -39.2%
Months 19M (10%)
CAGR 0.2% | Win 57%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -51.3%
Months 106M (54%)
SLmean
neg
CAGR 40.6% | Win 72%
Sharpe 1.22 | Sortino 1.47 | Calmar 1.2
Vol 33% | MDD -35.1%
Months 51M (26%)
CAGR -11.1% | Win 49%
Sharpe -0.29 | Sortino -0.62 | Calmar -0.2
Vol 27% | MDD -50.3%
Months 39M (20%)
CAGR 15.3% | Win 62%
Sharpe 0.61 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -53.1%
Months 90M (46%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 61%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -48.6%
Months 107M (55%)
CAGR -4.6% | Win 52%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.1
Vol 32% | MDD -52.2%
Months 65M (33%)
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
RSmean
neg
CAGR 36.7% | Win 71%
Sharpe 1.33 | Sortino 1.50 | Calmar 3.6
Vol 26% | MDD -10.2%
Months 7M (4%)
CAGR 78.1% | Win 76%
Sharpe 1.98 | Sortino 3.37 | Calmar 4.0
Vol 32% | MDD -19.7%
Months 17M (9%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
MACD
only
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -4.4% | Win 57%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 27% | MDD -57.9%
Months 112M (57%)
CAGR 10.6% | Win 58%
Sharpe 0.47 | Sortino 0.98 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 60M (31%)
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
RSmean
neg
CAGR 71.6% | Win 78%
Sharpe 1.92 | Sortino 2.54 | Calmar 3.6
Vol 31% | MDD -19.7%
Months 18M (9%)
CAGR 46.3% | Win 67%
Sharpe 1.41 | Sortino 4.87 | Calmar 5.4
Vol 30% | MDD -8.6%
Months 6M (3%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
RSI
only
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.0% | Win 64%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.4
Vol 28% | MDD -33.5%
Months 87M (44%)
CAGR -11.5% | Win 51%
Sharpe -0.24 | Sortino -0.38 | Calmar -0.2
Vol 30% | MDD -64.0%
Months 85M (43%)
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
RSmean
neg
CAGR 37.4% | Win 67%
Sharpe 1.18 | Sortino 4.13 | Calmar 4.4
Vol 30% | MDD -8.6%
Months 6M (3%)
CAGR 75.2% | Win 78%
Sharpe 2.01 | Sortino 2.63 | Calmar 3.8
Vol 31% | MDD -19.7%
Months 18M (9%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
MACDhist
only
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.1% | Win 63%
Sharpe 0.51 | Sortino 0.88 | Calmar 0.3
Vol 28% | MDD -37.8%
Months 78M (40%)
CAGR -7.3% | Win 53%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -58.8%
Months 94M (48%)
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
RSmean
neg
CAGR 62.0% | Win 75%
Sharpe 1.86 | Sortino 6.05 | Calmar 7.2
Vol 28% | MDD -8.6%
Months 8M (4%)
CAGR 66.4% | Win 75%
Sharpe 1.77 | Sortino 2.41 | Calmar 3.4
Vol 32% | MDD -19.7%
Months 16M (8%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.3% | Win 63%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.3
Vol 29% | MDD -43.2%
Months 115M (59%)
CAGR -18.0% | Win 47%
Sharpe -0.52 | Sortino -1.02 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 57M (29%)
CAGR 0.6% | Win 58%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 172M (88%)
RSmean
neg
CAGR 59.8% | Win 74%
Sharpe 1.71 | Sortino 2.79 | Calmar 3.0
Vol 31% | MDD -19.7%
Months 23M (12%)
CAGR 237.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 64.9% | Win 75%
Sharpe 1.83 | Sortino 2.96 | Calmar 3.3
Vol 30% | MDD -19.7%
Months 24M (12%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 0.2% | Win 60%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 26% | MDD -60.4%
Months 98M (50%)
CAGR 46.2% | Win 69%
Sharpe 1.35 | Sortino 2.67 | Calmar 2.5
Vol 32% | MDD -18.1%
Months 16M (8%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
MACD
neg
CAGR 15.2% | Win 59%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.4
Vol 34% | MDD -42.7%
Months 32M (16%)
CAGR 4.6% | Win 56%
Sharpe 0.30 | Sortino 0.64 | Calmar 0.1
Vol 32% | MDD -52.2%
Months 50M (26%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
RSI
only
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 64%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -40.1%
Months 70M (36%)
CAGR -0.3% | Win 57%
Sharpe 0.14 | Sortino 0.22 | Calmar -0.0
Vol 31% | MDD -30.3%
Months 44M (22%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
MACD
neg
CAGR 35.0% | Win 65%
Sharpe 1.02 | Sortino 3.02 | Calmar 1.9
Vol 36% | MDD -18.8%
Months 23M (12%)
CAGR -0.2% | Win 54%
Sharpe 0.15 | Sortino 0.25 | Calmar -0.0
Vol 32% | MDD -52.2%
Months 59M (30%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
MACDhist
only
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.0% | Win 67%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.3
Vol 26% | MDD -31.5%
Months 54M (28%)
CAGR 1.1% | Win 57%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 29% | MDD -38.0%
Months 60M (31%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
MACD
neg
CAGR 22.3% | Win 59%
Sharpe 0.78 | Sortino 1.93 | Calmar 0.7
Vol 33% | MDD -34.1%
Months 32M (16%)
CAGR 0.7% | Win 56%
Sharpe 0.18 | Sortino 0.30 | Calmar 0.0
Vol 33% | MDD -51.2%
Months 50M (26%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 12.0% | Win 64%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.3
Vol 27% | MDD -41.4%
Months 95M (48%)
CAGR -20.9% | Win 47%
Sharpe -0.73 | Sortino -1.40 | Calmar -0.6
Vol 27% | MDD -36.1%
Months 19M (10%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 27% | MDD -46.9%
Months 114M (58%)
MACD
neg
CAGR 33.4% | Win 65%
Sharpe 1.03 | Sortino 1.69 | Calmar 1.2
Vol 34% | MDD -26.7%
Months 43M (22%)
CAGR -13.5% | Win 49%
Sharpe -0.31 | Sortino -0.61 | Calmar -0.3
Vol 31% | MDD -52.0%
Months 39M (20%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -52.2%
Months 82M (42%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.4% | Win 63%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -34.3%
Months 79M (40%)
CAGR -1.8% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -51.2%
Months 51M (26%)
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
RSI
neg
CAGR 72.7% | Win 71%
Sharpe 1.73 | Sortino 5.87 | Calmar 3.9
Vol 36% | MDD -18.8%
Months 14M (7%)
CAGR 1.3% | Win 56%
Sharpe 0.19 | Sortino 0.37 | Calmar 0.0
Vol 31% | MDD -51.8%
Months 52M (26%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
MACDhist
only
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.3% | Win 65%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.3
Vol 27% | MDD -38.6%
Months 69M (35%)
CAGR -5.3% | Win 54%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 30% | MDD -52.7%
Months 61M (31%)
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
RSI
neg
CAGR 26.9% | Win 59%
Sharpe 0.86 | Sortino 2.70 | Calmar 1.0
Vol 35% | MDD -25.8%
Months 17M (9%)
CAGR 9.1% | Win 59%
Sharpe 0.43 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -50.3%
Months 49M (25%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.6% | Win 62%
Sharpe 0.47 | Sortino 0.64 | Calmar 0.2
Vol 28% | MDD -48.3%
Months 118M (60%)
CAGR -40.0% | Win 42%
Sharpe -1.89 | Sortino -3.76 | Calmar -1.0
Vol 25% | MDD -41.1%
Months 12M (6%)
CAGR 3.7% | Win 60%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -60.5%
Months 130M (66%)
RSI
neg
CAGR 85.0% | Win 80%
Sharpe 2.08 | Sortino 5.10 | Calmar 6.3
Vol 33% | MDD -13.6%
Months 20M (10%)
CAGR -8.3% | Win 50%
Sharpe -0.13 | Sortino -0.26 | Calmar -0.2
Vol 30% | MDD -50.5%
Months 46M (24%)
CAGR 13.4% | Win 59%
Sharpe 0.55 | Sortino 1.17 | Calmar 0.3
Vol 32% | MDD -52.2%
Months 66M (34%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.3% | Win 65%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.4
Vol 28% | MDD -41.0%
Months 68M (35%)
CAGR 15.6% | Win 64%
Sharpe 0.64 | Sortino 1.06 | Calmar 0.7
Vol 29% | MDD -22.4%
Months 25M (13%)
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
MACDhist
neg
CAGR 14.2% | Win 61%
Sharpe 0.57 | Sortino 1.11 | Calmar 0.4
Vol 32% | MDD -31.8%
Months 18M (9%)
CAGR -3.1% | Win 54%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.1
Vol 31% | MDD -57.9%
Months 85M (43%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
RSIhist
only
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 16.7% | Win 66%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.5
Vol 28% | MDD -35.5%
Months 87M (44%)
CAGR -2.0% | Win 50%
Sharpe 0.09 | Sortino 0.24 | Calmar -0.1
Vol 35% | MDD -18.8%
Months 6M (3%)
CAGR 15.4% | Win 64%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.5
Vol 28% | MDD -33.5%
Months 93M (47%)
MACDhist
neg
CAGR 21.0% | Win 63%
Sharpe 0.76 | Sortino 0.98 | Calmar 0.7
Vol 32% | MDD -30.3%
Months 51M (26%)
CAGR -17.5% | Win 48%
Sharpe -0.50 | Sortino -0.95 | Calmar -0.3
Vol 29% | MDD -59.5%
Months 52M (26%)
CAGR -0.3% | Win 55%
Sharpe 0.15 | Sortino 0.24 | Calmar -0.0
Vol 31% | MDD -64.0%
Months 103M (53%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 18.6% | Win 67%
Sharpe 0.76 | Sortino 1.20 | Calmar 0.5
Vol 27% | MDD -35.3%
Months 72M (37%)
CAGR -1.6% | Win 50%
Sharpe 0.11 | Sortino 0.35 | Calmar -0.1
Vol 35% | MDD -24.8%
Months 14M (7%)
CAGR 15.0% | Win 64%
Sharpe 0.64 | Sortino 1.12 | Calmar 0.3
Vol 28% | MDD -43.2%
Months 86M (44%)
RSIhist
neg
CAGR 17.9% | Win 62%
Sharpe 0.68 | Sortino 0.94 | Calmar 0.5
Vol 32% | MDD -38.0%
Months 66M (34%)
CAGR -20.1% | Win 48%
Sharpe -0.65 | Sortino -1.13 | Calmar -0.3
Vol 28% | MDD -66.0%
Months 44M (22%)
CAGR 0.9% | Win 56%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -58.8%
Months 110M (56%)
LWTI
only
CAGR 18.3% | Win 64%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 29% | MDD -41.4%
Months 138M (70%)
CAGR -16.0% | Win 48%
Sharpe -0.43 | Sortino -0.86 | Calmar -0.3
Vol 30% | MDD -61.8%
Months 58M (30%)