PAVE - Global X U.S. Infrastructure Development ETF

Signal Pair Analysis

MRmean-LWTI

Best Pair

239.8%

Best CAGR

34

Total Months

28.0%

Avg CAGR

PAVE 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 PAVE

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 LWTI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MRmean neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair SLmean LWTI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI SLmean neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair RSI LWTI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist LWTI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSIhist neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI neg-neg 1 0.9 239.8 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACD pos-neg 2 1.7 125.2 100.0 4.7 0.0 0.0 18.0 0.0
pair MACD LWTI pos-neg 2 1.7 125.2 100.0 4.7 0.0 0.0 18.0 0.0
single LWTI LWTI neg-neg 2 1.7 125.2 100.0 4.7 0.0 0.0 18.0 0.0
pair LWTI RSmean pos-neg 2 1.7 125.2 100.0 4.7 0.0 0.0 18.0 0.0
pair RSmean LWTI pos-neg 2 1.7 125.2 100.0 4.7 0.0 0.0 18.0 0.0
pair RSI MACD pos-neg 6 5.2 78.6 83.3 1.5 0.0 3.8 46.9 -21.0
pair MACD RSI pos-neg 6 5.2 78.6 83.3 1.5 0.0 3.8 46.9 -21.0
pair RSI MACDhist neg-neg 18 15.7 64.7 72.2 2.3 2.9 5.0 23.6 -12.9
pair MACDhist RSI neg-neg 18 15.7 64.7 72.2 2.3 2.9 5.0 23.6 -12.9
pair RSI SLmean pos-neg 2 1.7 57.4 100.0 10.9 0.0 0.0 4.2 0.0
pair SLmean RSI pos-neg 2 1.7 57.4 100.0 10.9 0.0 0.0 4.2 0.0
pair RSmean RSI pos-neg 11 9.6 53.3 81.8 1.3 2.6 2.5 39.3 -21.0
pair RSI RSmean pos-neg 11 9.6 53.3 81.8 1.3 2.6 2.5 39.3 -21.0
pair MACDhist LWTI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MRmean pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair RSI LWTI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist LWTI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSIhist pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair LWTI SLmean pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair MRmean LWTI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair SLmean LWTI pos-neg 1 0.9 49.2 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSIhist neg-neg 37 32.2 43.8 67.6 1.7 2.5 3.4 23.0 -13.1
pair RSIhist MACDhist neg-neg 37 32.2 43.8 67.6 1.7 2.5 3.4 23.0 -13.1
pair RSI MRmean pos-neg 1 0.9 42.5 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSIhist neg-pos 1 0.9 42.5 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSI pos-neg 1 0.9 42.5 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSI neg-pos 1 0.9 42.5 100.0 0.0 0.0 0.0 - 0.0
single RSI RSI neg-neg 19 16.5 38.3 68.4 1.2 1.3 1.8 30.6 -21.0
pair MRmean RSI neg-neg 18 15.7 38.0 66.7 1.2 1.3 1.8 31.4 -21.0
pair RSI MRmean neg-neg 18 15.7 38.0 66.7 1.2 1.3 1.8 31.4 -21.0
pair RSI RSIhist neg-neg 18 15.7 38.0 66.7 1.2 1.3 1.8 31.4 -21.0
pair RSIhist RSI neg-neg 18 15.7 38.0 66.7 1.2 1.3 1.8 31.4 -21.0
pair MACDhist MRmean neg-neg 32 27.8 36.4 65.6 1.4 2.1 2.8 24.3 -13.1
pair MRmean MACDhist neg-neg 32 27.8 36.4 65.6 1.4 2.1 2.8 24.3 -13.1
pair SLmean RSI neg-neg 17 14.8 36.2 64.7 1.1 1.2 1.7 32.4 -21.0
pair RSI SLmean neg-neg 17 14.8 36.2 64.7 1.1 1.2 1.7 32.4 -21.0
pair MRmean RSIhist pos-neg 21 18.3 36.1 61.9 1.6 5.1 3.8 20.0 -9.6
pair RSIhist MRmean pos-neg 21 18.3 36.1 61.9 1.6 5.1 3.8 20.0 -9.6
pair SLmean RSIhist pos-neg 11 9.6 34.3 63.6 1.7 3.1 3.6 18.9 -9.6
pair RSIhist SLmean pos-neg 11 9.6 34.3 63.6 1.7 3.1 3.6 18.9 -9.6
pair MACDhist SLmean neg-neg 33 28.7 33.6 63.6 1.3 2.0 2.6 24.2 -13.1
pair SLmean MACDhist neg-neg 33 28.7 33.6 63.6 1.3 2.0 2.6 24.2 -13.1
pair RSIhist RSmean pos-neg 40 34.8 31.8 65.0 1.1 1.6 1.5 28.5 -21.0
pair RSmean RSIhist pos-neg 40 34.8 31.8 65.0 1.1 1.6 1.5 28.5 -21.0
pair RSI LWTI neg-pos 18 15.7 31.5 66.7 1.1 1.1 1.5 30.7 -21.0
pair LWTI RSI neg-pos 18 15.7 31.5 66.7 1.1 1.1 1.5 30.7 -21.0
pair MACD RSIhist pos-neg 32 27.8 30.5 62.5 1.1 1.6 1.4 29.6 -21.0
pair RSIhist MACD pos-neg 32 27.8 30.5 62.5 1.1 1.6 1.4 29.6 -21.0
pair MRmean SLmean neg-pos 2 1.7 29.9 50.0 2.2 0.0 117.8 12.2 -0.3
pair SLmean MRmean neg-pos 2 1.7 29.9 50.0 2.2 0.0 117.8 12.2 -0.3
pair MACDhist MACD pos-neg 29 25.2 29.3 62.1 1.1 2.1 2.2 25.1 -13.1
single RSIhist RSIhist neg-neg 52 45.2 29.3 63.5 1.1 1.6 1.4 25.4 -21.0
pair MACD MACDhist pos-neg 29 25.2 29.3 62.1 1.1 2.1 2.2 25.1 -13.1
pair RSmean MACDhist pos-neg 40 34.8 28.6 65.0 1.1 1.7 1.2 25.1 -23.6
pair MACDhist RSmean pos-neg 40 34.8 28.6 65.0 1.1 1.7 1.2 25.1 -23.6
pair RSIhist SLmean neg-neg 41 35.7 27.9 63.4 1.1 1.4 1.3 27.1 -21.0
pair SLmean RSIhist neg-neg 41 35.7 27.9 63.4 1.1 1.4 1.3 27.1 -21.0
pair RSIhist MACD neg-neg 20 17.4 27.4 65.0 1.5 1.6 2.1 17.5 -12.9
pair MACD RSIhist neg-neg 20 17.4 27.4 65.0 1.5 1.6 2.1 17.5 -12.9
pair MRmean RSmean neg-pos 19 16.5 27.2 68.4 0.8 1.3 1.3 36.2 -21.0
pair RSmean MRmean neg-pos 19 16.5 27.2 68.4 0.8 1.3 1.3 36.2 -21.0
pair LWTI RSIhist neg-pos 51 44.3 26.8 62.7 1.1 1.5 1.3 25.3 -21.0
pair RSIhist LWTI neg-pos 51 44.3 26.8 62.7 1.1 1.5 1.3 25.3 -21.0
pair RSmean SLmean neg-pos 30 26.1 25.0 63.3 0.9 1.4 0.9 31.9 -27.9
pair SLmean RSmean neg-pos 30 26.1 25.0 63.3 0.9 1.4 0.9 31.9 -27.9
pair RSIhist RSI pos-neg 34 29.6 24.8 61.8 1.1 2.1 0.8 22.0 -29.1
pair RSIhist MRmean neg-neg 31 27.0 24.8 64.5 0.9 1.1 1.2 28.8 -21.0
pair RSI RSIhist pos-neg 34 29.6 24.8 61.8 1.1 2.1 0.8 22.0 -29.1
pair MRmean RSIhist neg-neg 31 27.0 24.8 64.5 0.9 1.1 1.2 28.8 -21.0
pair SLmean MACD neg-pos 25 21.7 23.5 60.0 0.8 1.3 0.8 32.4 -27.9
pair MACD SLmean neg-pos 25 21.7 23.5 60.0 0.8 1.3 0.8 32.4 -27.9
pair MRmean MACD neg-pos 14 12.2 23.1 64.3 0.7 1.1 1.0 38.7 -23.0
pair MACD MRmean neg-pos 14 12.2 23.1 64.3 0.7 1.1 1.0 38.7 -23.0
pair RSI MACD neg-neg 13 11.3 22.9 61.5 1.1 1.2 1.8 20.5 -12.9
pair MACD RSI neg-neg 13 11.3 22.9 61.5 1.1 1.2 1.8 20.5 -12.9
pair MRmean SLmean pos-neg 13 11.3 22.6 53.8 1.0 2.5 2.6 22.5 -8.7
pair SLmean MRmean pos-neg 13 11.3 22.6 53.8 1.0 2.5 2.6 22.5 -8.7
single MACDhist MACDhist neg-neg 58 50.4 21.8 60.3 1.0 1.5 1.0 22.0 -21.7
pair RSmean RSIhist neg-neg 12 10.4 21.2 58.3 1.9 5.6 7.2 10.5 -2.9
pair RSIhist RSmean neg-neg 12 10.4 21.2 58.3 1.9 5.6 7.2 10.5 -2.9
single SLmean SLmean neg-neg 45 39.1 20.7 60.0 0.8 1.2 0.7 26.8 -27.9
single MRmean MRmean neg-neg 34 29.6 20.5 61.8 0.8 1.0 1.0 27.9 -21.0
pair RSmean RSI neg-neg 8 7.0 20.0 50.0 1.6 4.7 6.8 11.6 -2.9
pair RSI RSmean neg-neg 8 7.0 20.0 50.0 1.6 4.7 6.8 11.6 -2.9
pair SLmean MRmean neg-neg 32 27.8 19.9 62.5 0.8 1.0 0.9 28.7 -21.0
pair MRmean SLmean neg-neg 32 27.8 19.9 62.5 0.8 1.0 0.9 28.7 -21.0
pair LWTI MACDhist neg-pos 57 49.6 19.7 59.6 0.9 1.4 0.9 21.8 -21.7
pair MACDhist LWTI neg-pos 57 49.6 19.7 59.6 0.9 1.4 0.9 21.8 -21.7
pair MACD MRmean neg-neg 20 17.4 18.8 60.0 1.1 1.2 1.4 18.1 -12.9
pair MRmean MACD neg-neg 20 17.4 18.8 60.0 1.1 1.2 1.4 18.1 -12.9
pair LWTI SLmean neg-pos 44 38.3 17.9 59.1 0.8 1.1 0.6 26.7 -27.9
pair SLmean LWTI neg-pos 44 38.3 17.9 59.1 0.8 1.1 0.6 26.7 -27.9
pair RSmean MACD pos-neg 16 13.9 17.8 62.5 0.8 0.9 0.8 22.9 -23.6
pair MACD RSmean pos-neg 16 13.9 17.8 62.5 0.8 0.9 0.8 22.9 -23.6
pair SLmean MACD neg-neg 20 17.4 17.4 60.0 1.0 1.2 1.3 18.4 -12.9
pair MACD SLmean neg-neg 20 17.4 17.4 60.0 1.0 1.2 1.3 18.4 -12.9
pair MRmean LWTI neg-pos 33 28.7 16.8 60.6 0.7 0.9 0.8 27.8 -21.0
pair LWTI MRmean neg-pos 33 28.7 16.8 60.6 0.7 0.9 0.8 27.8 -21.0
single RSmean RSmean pos-pos 97 84.3 16.5 57.7 0.8 1.2 0.5 24.2 -30.9
pair MACDhist MRmean pos-pos 55 47.8 16.3 54.5 0.8 1.6 1.0 21.4 -16.4
pair MRmean MACDhist pos-pos 55 47.8 16.3 54.5 0.8 1.6 1.0 21.4 -16.4
pair MACD RSmean pos-pos 81 70.4 16.2 56.8 0.7 1.2 0.5 24.6 -30.9
pair RSmean MACD pos-pos 81 70.4 16.2 56.8 0.7 1.2 0.5 24.6 -30.9
single MACD MACD pos-pos 86 74.8 15.2 55.8 0.7 1.2 0.5 24.1 -30.9
pair benchmark___benchmark_ benchmark-benchmark 115 100.0 15.1 56.5 0.7 1.1 0.5 22.7 -30.9
pair benchmark___benchmark_ benchmark-benchmark 115 100.0 15.1 56.5 0.7 1.1 0.5 22.7 -30.9
pair LWTI RSmean pos-pos 95 82.6 14.9 56.8 0.7 1.1 0.4 24.3 -37.5
pair RSmean LWTI pos-pos 95 82.6 14.9 56.8 0.7 1.1 0.4 24.3 -37.5
pair MACDhist MACD neg-neg 29 25.2 14.8 58.6 0.8 1.0 0.7 18.5 -21.7
pair MACD MACDhist neg-neg 29 25.2 14.8 58.6 0.8 1.0 0.7 18.5 -21.7
single MACD MACD neg-neg 29 25.2 14.8 58.6 0.8 1.0 0.7 18.5 -21.7
pair MACD LWTI neg-pos 29 25.2 14.8 58.6 0.8 1.0 0.7 18.5 -21.7
pair LWTI MACD neg-pos 29 25.2 14.8 58.6 0.8 1.0 0.7 18.5 -21.7
pair RSI MACDhist pos-pos 56 48.7 14.4 53.6 0.7 1.5 0.8 21.5 -17.2
pair MACDhist RSI pos-pos 56 48.7 14.4 53.6 0.7 1.5 0.8 21.5 -17.2
pair RSmean MRmean pos-pos 78 67.8 14.0 55.1 0.7 1.3 0.6 20.6 -22.1
pair MRmean RSmean pos-pos 78 67.8 14.0 55.1 0.7 1.3 0.6 20.6 -22.1
pair SLmean MACDhist pos-pos 45 39.1 13.8 53.3 0.7 1.4 0.9 20.8 -15.7
pair MACDhist SLmean pos-pos 45 39.1 13.8 53.3 0.7 1.4 0.9 20.8 -15.7
single LWTI LWTI pos-pos 113 98.3 13.7 55.8 0.7 1.1 0.4 22.7 -34.8
pair MRmean MACD pos-pos 72 62.6 13.7 54.2 0.7 1.4 0.9 20.5 -14.4
pair MACD MRmean pos-pos 72 62.6 13.7 54.2 0.7 1.4 0.9 20.5 -14.4
pair MACD LWTI pos-pos 84 73.0 13.4 54.8 0.6 1.1 0.4 24.1 -30.9
pair LWTI MACD pos-pos 84 73.0 13.4 54.8 0.6 1.1 0.4 24.1 -30.9
single MRmean MRmean pos-pos 81 70.4 12.9 54.3 0.7 1.3 0.5 20.3 -24.6
pair RSmean SLmean pos-pos 67 58.3 12.8 55.2 0.7 1.2 0.8 20.1 -15.7
pair SLmean RSmean pos-pos 67 58.3 12.8 55.2 0.7 1.2 0.8 20.1 -15.7
pair MRmean RSI pos-pos 80 69.6 12.6 53.8 0.7 1.2 0.5 20.5 -24.6
pair RSI MRmean pos-pos 80 69.6 12.6 53.8 0.7 1.2 0.5 20.5 -24.6
pair SLmean RSmean neg-neg 15 13.0 12.5 53.3 1.1 1.9 1.7 11.9 -7.3
pair RSmean SLmean neg-neg 15 13.0 12.5 53.3 1.1 1.9 1.7 11.9 -7.3
pair MRmean LWTI pos-pos 80 69.6 12.5 53.8 0.7 1.2 0.5 20.4 -24.6
pair MRmean RSmean neg-neg 15 13.0 12.5 53.3 1.1 1.9 1.7 11.9 -7.3
pair RSmean MRmean neg-neg 15 13.0 12.5 53.3 1.1 1.9 1.7 11.9 -7.3
pair LWTI MRmean pos-pos 80 69.6 12.5 53.8 0.7 1.2 0.5 20.4 -24.6
pair RSmean RSI pos-pos 86 74.8 12.4 54.7 0.7 1.2 0.4 21.6 -29.2
pair RSI RSmean pos-pos 86 74.8 12.4 54.7 0.7 1.2 0.4 21.6 -29.2
pair RSI SLmean neg-pos 28 24.3 12.2 57.1 0.6 1.2 0.5 23.2 -22.5
pair RSIhist MACDhist pos-pos 42 36.5 12.2 52.4 0.7 1.2 0.7 21.1 -18.8
pair MACDhist RSIhist pos-pos 42 36.5 12.2 52.4 0.7 1.2 0.7 21.1 -18.8
pair SLmean RSI neg-pos 28 24.3 12.2 57.1 0.6 1.2 0.5 23.2 -22.5
pair SLmean MACD pos-pos 61 53.0 12.0 54.1 0.7 1.2 0.8 20.0 -15.7
pair MACD SLmean pos-pos 61 53.0 12.0 54.1 0.7 1.2 0.8 20.0 -15.7
single SLmean SLmean pos-pos 70 60.9 11.6 54.3 0.7 1.1 0.6 19.8 -18.5
pair MACD RSI pos-pos 80 69.6 11.5 53.8 0.6 1.2 0.4 21.6 -30.4
pair RSI MACD pos-pos 80 69.6 11.5 53.8 0.6 1.2 0.4 21.6 -30.4
pair MACD RSmean neg-neg 13 11.3 11.2 53.8 1.0 1.6 1.5 11.9 -7.3
pair RSmean MACD neg-neg 13 11.3 11.2 53.8 1.0 1.6 1.5 11.9 -7.3
pair LWTI SLmean pos-pos 69 60.0 11.2 53.6 0.6 1.1 0.6 19.9 -18.5
pair SLmean LWTI pos-pos 69 60.0 11.2 53.6 0.6 1.1 0.6 19.9 -18.5
pair SLmean MRmean pos-pos 68 59.1 11.1 54.4 0.6 1.1 0.5 20.0 -22.0
pair MRmean SLmean pos-pos 68 59.1 11.1 54.4 0.6 1.1 0.5 20.0 -22.0
single RSI RSI pos-pos 96 83.5 11.0 54.2 0.6 1.1 0.4 20.9 -30.4
pair LWTI RSI pos-pos 95 82.6 10.6 53.7 0.6 1.0 0.3 21.0 -30.4
pair RSI LWTI pos-pos 95 82.6 10.6 53.7 0.6 1.0 0.3 21.0 -30.4
pair SLmean RSI pos-pos 68 59.1 10.5 52.9 0.6 1.0 0.5 20.0 -22.2
pair RSI SLmean pos-pos 68 59.1 10.5 52.9 0.6 1.0 0.5 20.0 -22.2
pair SLmean MACD pos-neg 9 7.8 9.4 55.6 0.6 0.6 0.8 19.9 -12.2
pair MACD SLmean pos-neg 9 7.8 9.4 55.6 0.6 0.6 0.8 19.9 -12.2
pair RSI MACD neg-pos 16 13.9 8.7 56.2 0.6 0.7 0.7 17.2 -12.9
pair MACD RSI neg-pos 16 13.9 8.7 56.2 0.6 0.7 0.7 17.2 -12.9
pair MACD MACDhist pos-pos 57 49.6 8.6 52.6 0.5 0.7 0.3 23.6 -28.7
pair RSmean MACDhist pos-pos 57 49.6 8.6 52.6 0.5 0.7 0.3 23.6 -28.7
pair MACDhist RSmean pos-pos 57 49.6 8.6 52.6 0.5 0.7 0.3 23.6 -28.7
pair MACDhist MACD pos-pos 57 49.6 8.6 52.6 0.5 0.7 0.3 23.6 -28.7
single MACDhist MACDhist pos-pos 57 49.6 8.6 52.6 0.5 0.7 0.3 23.6 -28.7
single RSmean RSmean neg-neg 18 15.7 8.0 50.0 0.7 1.2 0.8 12.0 -9.9
pair LWTI MACDhist pos-pos 56 48.7 8.0 51.8 0.4 0.7 0.3 23.8 -28.7
pair MACDhist LWTI pos-pos 56 48.7 8.0 51.8 0.4 0.7 0.3 23.8 -28.7
pair RSmean MACDhist neg-neg 18 15.7 8.0 50.0 0.7 1.2 0.8 12.0 -9.9
pair RSmean LWTI neg-pos 18 15.7 8.0 50.0 0.7 1.2 0.8 12.0 -9.9
pair LWTI RSmean neg-pos 18 15.7 8.0 50.0 0.7 1.2 0.8 12.0 -9.9
pair MACDhist RSmean neg-neg 18 15.7 8.0 50.0 0.7 1.2 0.8 12.0 -9.9
pair SLmean MACDhist pos-neg 25 21.7 7.9 56.0 0.5 0.7 0.4 18.4 -18.5
pair MACDhist SLmean pos-neg 25 21.7 7.9 56.0 0.5 0.7 0.4 18.4 -18.5
pair RSIhist SLmean pos-pos 59 51.3 7.8 52.5 0.5 0.8 0.3 20.0 -26.2
pair SLmean RSIhist pos-pos 59 51.3 7.8 52.5 0.5 0.8 0.3 20.0 -26.2
pair MACD RSIhist pos-pos 54 47.0 7.0 51.9 0.4 0.8 0.3 20.1 -26.2
pair RSIhist MACD pos-pos 54 47.0 7.0 51.9 0.4 0.8 0.3 20.1 -26.2
pair RSmean RSIhist pos-pos 57 49.6 6.8 52.6 0.4 0.7 0.3 20.6 -26.2
pair RSIhist RSmean pos-pos 57 49.6 6.8 52.6 0.4 0.7 0.3 20.6 -26.2
pair MACD MRmean pos-neg 9 7.8 6.6 55.6 0.4 0.5 0.5 20.4 -12.2
pair MRmean MACD pos-neg 9 7.8 6.6 55.6 0.4 0.5 0.5 20.4 -12.2
pair MACDhist RSI pos-neg 40 34.8 6.4 55.0 0.4 0.6 0.2 20.2 -29.3
pair RSI MACDhist pos-neg 40 34.8 6.4 55.0 0.4 0.6 0.2 20.2 -29.3
pair MRmean MACDhist pos-neg 26 22.6 6.0 53.8 0.4 0.6 0.3 18.2 -22.0
pair MACDhist MRmean pos-neg 26 22.6 6.0 53.8 0.4 0.6 0.3 18.2 -22.0
pair RSIhist MRmean pos-pos 60 52.2 5.8 51.7 0.4 0.6 0.2 20.3 -28.2
pair MRmean RSIhist pos-pos 60 52.2 5.8 51.7 0.4 0.6 0.2 20.3 -28.2
single RSIhist RSIhist pos-pos 63 54.8 4.6 50.8 0.3 0.5 0.1 20.0 -33.8
pair RSI RSIhist pos-pos 62 53.9 4.1 50.0 0.3 0.5 0.1 20.2 -33.8
pair RSIhist RSI pos-pos 62 53.9 4.1 50.0 0.3 0.5 0.1 20.2 -33.8
pair LWTI RSIhist pos-pos 62 53.9 4.0 50.0 0.3 0.5 0.1 20.1 -33.8
pair RSIhist LWTI pos-pos 62 53.9 4.0 50.0 0.3 0.5 0.1 20.1 -33.8
pair MRmean RSI neg-pos 16 13.9 3.4 56.2 0.2 0.4 0.1 23.5 -23.7
pair RSI MRmean neg-pos 16 13.9 3.4 56.2 0.2 0.4 0.1 23.5 -23.7
pair MACD RSmean neg-pos 5 4.3 -0.1 40.0 0.1 0.1 -0.0 13.5 -5.1
pair RSmean MACD neg-pos 5 4.3 -0.1 40.0 0.1 0.1 -0.0 13.5 -5.1
pair RSmean RSI neg-pos 10 8.7 -0.7 50.0 -0.0 -0.0 -0.1 12.4 -12.5
pair RSI RSmean neg-pos 10 8.7 -0.7 50.0 -0.0 -0.0 -0.1 12.4 -12.5
pair MACDhist RSIhist pos-neg 15 13.0 -0.7 53.3 0.1 0.2 -0.1 30.2 -11.9
pair RSIhist MACDhist pos-neg 15 13.0 -0.7 53.3 0.1 0.2 -0.1 30.2 -11.9
pair MACDhist SLmean neg-pos 12 10.4 -8.7 50.0 -0.1 -0.2 -0.4 33.0 -21.0
pair SLmean MACDhist neg-pos 12 10.4 -8.7 50.0 -0.1 -0.2 -0.4 33.0 -21.0
pair MACD RSIhist neg-pos 9 7.8 -8.8 44.4 -0.4 -0.4 -0.5 20.0 -19.1
pair RSIhist MACD neg-pos 9 7.8 -8.8 44.4 -0.4 -0.4 -0.5 20.0 -19.1
pair MACDhist RSIhist neg-pos 21 18.3 -9.1 47.6 -0.5 -0.6 -0.3 17.3 -31.5
pair RSIhist MACDhist neg-pos 21 18.3 -9.1 47.6 -0.5 -0.6 -0.3 17.3 -31.5
pair RSmean MRmean pos-neg 3 2.6 -12.2 33.3 -0.9 -1.1 -2.4 13.3 -5.1
pair MRmean RSmean pos-neg 3 2.6 -12.2 33.3 -0.9 -1.1 -2.4 13.3 -5.1
pair SLmean RSmean pos-neg 3 2.6 -12.2 33.3 -0.9 -1.1 -2.4 13.3 -5.1
pair RSmean SLmean pos-neg 3 2.6 -12.2 33.3 -0.9 -1.1 -2.4 13.3 -5.1
pair RSIhist RSmean neg-pos 6 5.2 -14.3 33.3 -1.1 -1.6 -1.1 13.0 -12.5
pair RSmean RSIhist neg-pos 6 5.2 -14.3 33.3 -1.1 -1.6 -1.1 13.0 -12.5
pair RSIhist MRmean neg-pos 3 2.6 -16.3 33.3 -1.1 -1.7 -2.2 15.6 -7.3
pair MRmean RSIhist neg-pos 3 2.6 -16.3 33.3 -1.1 -1.7 -2.2 15.6 -7.3
pair RSIhist SLmean neg-pos 4 3.5 -33.5 25.0 -2.2 -3.1 -2.2 18.0 -15.4
pair SLmean RSIhist neg-pos 4 3.5 -33.5 25.0 -2.2 -3.1 -2.2 18.0 -15.4
pair MACDhist MRmean neg-pos 2 1.7 -83.4 0.0 -4.5 -4.5 -13.5 36.3 -6.2
pair MRmean MACDhist neg-pos 2 1.7 -83.4 0.0 -4.5 -4.5 -13.5 36.3 -6.2
pair RSI MACDhist neg-pos 1 0.9 -94.1 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-pos 1 0.9 -94.1 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for PAVE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 11.1% | Win 54%
Sharpe 0.63 | Sortino 1.07 | Calmar 0.5
Vol 20% | MDD -22.0%
Months 68M (59%)
CAGR 22.6% | Win 54%
Sharpe 1.02 | Sortino 2.49 | Calmar 2.6
Vol 22% | MDD -8.7%
Months 13M (11%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR 29.9% | Win 50%
Sharpe 2.20 | Sortino 0.00 | Calmar 117.8
Vol 12% | MDD -0.3%
Months 2M (2%)
CAGR 19.9% | Win 62%
Sharpe 0.78 | Sortino 1.01 | Calmar 0.9
Vol 29% | MDD -21.0%
Months 32M (28%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
SLmean
only
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 14.0% | Win 55%
Sharpe 0.74 | Sortino 1.34 | Calmar 0.6
Vol 21% | MDD -22.1%
Months 78M (68%)
CAGR -12.2% | Win 33%
Sharpe -0.93 | Sortino -1.11 | Calmar -2.4
Vol 13% | MDD -5.1%
Months 3M (3%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR 27.2% | Win 68%
Sharpe 0.85 | Sortino 1.28 | Calmar 1.3
Vol 36% | MDD -21.0%
Months 19M (16%)
CAGR 12.5% | Win 53%
Sharpe 1.05 | Sortino 1.93 | Calmar 1.7
Vol 12% | MDD -7.3%
Months 15M (13%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
RSmean
only
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 13.7% | Win 54%
Sharpe 0.73 | Sortino 1.43 | Calmar 1.0
Vol 20% | MDD -14.4%
Months 72M (63%)
CAGR 6.6% | Win 56%
Sharpe 0.41 | Sortino 0.45 | Calmar 0.5
Vol 20% | MDD -12.2%
Months 9M (8%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR 23.1% | Win 64%
Sharpe 0.73 | Sortino 1.13 | Calmar 1.0
Vol 39% | MDD -23.0%
Months 14M (12%)
CAGR 18.8% | Win 60%
Sharpe 1.05 | Sortino 1.25 | Calmar 1.4
Vol 18% | MDD -12.9%
Months 20M (17%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
MACD
only
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 12.6% | Win 54%
Sharpe 0.68 | Sortino 1.24 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 80M (70%)
CAGR 42.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR 3.4% | Win 56%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.1
Vol 24% | MDD -23.7%
Months 16M (14%)
CAGR 38.0% | Win 67%
Sharpe 1.20 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 18M (16%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
RSI
only
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 16.3% | Win 55%
Sharpe 0.81 | Sortino 1.64 | Calmar 1.0
Vol 21% | MDD -16.4%
Months 55M (48%)
CAGR 6.0% | Win 54%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.3
Vol 18% | MDD -22.0%
Months 26M (23%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR -83.4% | Win 0%
Sharpe -4.49 | Sortino -4.49 | Calmar -13.5
Vol 36% | MDD -6.2%
Months 2M (2%)
CAGR 36.4% | Win 66%
Sharpe 1.41 | Sortino 2.06 | Calmar 2.8
Vol 24% | MDD -13.1%
Months 32M (28%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
MACDhist
only
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 5.8% | Win 52%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -28.2%
Months 60M (52%)
CAGR 36.1% | Win 62%
Sharpe 1.65 | Sortino 5.12 | Calmar 3.8
Vol 20% | MDD -9.6%
Months 21M (18%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR -16.3% | Win 33%
Sharpe -1.08 | Sortino -1.67 | Calmar -2.2
Vol 16% | MDD -7.3%
Months 3M (3%)
CAGR 24.8% | Win 64%
Sharpe 0.92 | Sortino 1.12 | Calmar 1.2
Vol 29% | MDD -21.0%
Months 31M (27%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 12.5% | Win 54%
Sharpe 0.68 | Sortino 1.24 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 80M (70%)
CAGR 49.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 12.9% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 20% | MDD -24.6%
Months 81M (70%)
MRmean
neg
CAGR 16.8% | Win 61%
Sharpe 0.70 | Sortino 0.89 | Calmar 0.8
Vol 28% | MDD -21.0%
Months 33M (29%)
CAGR 239.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 20.5% | Win 62%
Sharpe 0.81 | Sortino 1.03 | Calmar 1.0
Vol 28% | MDD -21.0%
Months 34M (30%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 12.8% | Win 55%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.8
Vol 20% | MDD -15.7%
Months 67M (58%)
CAGR -12.2% | Win 33%
Sharpe -0.93 | Sortino -1.11 | Calmar -2.4
Vol 13% | MDD -5.1%
Months 3M (3%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR 25.0% | Win 63%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.9
Vol 32% | MDD -27.9%
Months 30M (26%)
CAGR 12.5% | Win 53%
Sharpe 1.05 | Sortino 1.93 | Calmar 1.7
Vol 12% | MDD -7.3%
Months 15M (13%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
RSmean
only
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 12.0% | Win 54%
Sharpe 0.67 | Sortino 1.24 | Calmar 0.8
Vol 20% | MDD -15.7%
Months 61M (53%)
CAGR 9.4% | Win 56%
Sharpe 0.55 | Sortino 0.55 | Calmar 0.8
Vol 20% | MDD -12.2%
Months 9M (8%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR 23.5% | Win 60%
Sharpe 0.81 | Sortino 1.28 | Calmar 0.8
Vol 32% | MDD -27.9%
Months 25M (22%)
CAGR 17.4% | Win 60%
Sharpe 0.97 | Sortino 1.22 | Calmar 1.3
Vol 18% | MDD -12.9%
Months 20M (17%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
MACD
only
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 10.5% | Win 53%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.5
Vol 20% | MDD -22.2%
Months 68M (59%)
CAGR 57.4% | Win 100%
Sharpe 10.93 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 2M (2%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR 12.2% | Win 57%
Sharpe 0.61 | Sortino 1.19 | Calmar 0.5
Vol 23% | MDD -22.5%
Months 28M (24%)
CAGR 36.2% | Win 65%
Sharpe 1.13 | Sortino 1.23 | Calmar 1.7
Vol 32% | MDD -21.0%
Months 17M (15%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
RSI
only
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 13.8% | Win 53%
Sharpe 0.72 | Sortino 1.37 | Calmar 0.9
Vol 21% | MDD -15.7%
Months 45M (39%)
CAGR 7.9% | Win 56%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.4
Vol 18% | MDD -18.5%
Months 25M (22%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR -8.7% | Win 50%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.4
Vol 33% | MDD -21.0%
Months 12M (10%)
CAGR 33.6% | Win 64%
Sharpe 1.33 | Sortino 2.04 | Calmar 2.6
Vol 24% | MDD -13.1%
Months 33M (29%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
MACDhist
only
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 7.8% | Win 52%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 20% | MDD -26.2%
Months 59M (51%)
CAGR 34.3% | Win 64%
Sharpe 1.67 | Sortino 3.11 | Calmar 3.6
Vol 19% | MDD -9.6%
Months 11M (10%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR -33.5% | Win 25%
Sharpe -2.16 | Sortino -3.15 | Calmar -2.2
Vol 18% | MDD -15.4%
Months 4M (4%)
CAGR 27.9% | Win 63%
Sharpe 1.05 | Sortino 1.41 | Calmar 1.3
Vol 27% | MDD -21.0%
Months 41M (36%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 11.2% | Win 54%
Sharpe 0.63 | Sortino 1.07 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 69M (60%)
CAGR 49.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 11.6% | Win 54%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -18.5%
Months 70M (61%)
SLmean
neg
CAGR 17.9% | Win 59%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.6
Vol 27% | MDD -27.9%
Months 44M (38%)
CAGR 239.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 20.7% | Win 60%
Sharpe 0.84 | Sortino 1.20 | Calmar 0.7
Vol 27% | MDD -27.9%
Months 45M (39%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 16.2% | Win 57%
Sharpe 0.73 | Sortino 1.22 | Calmar 0.5
Vol 25% | MDD -30.9%
Months 81M (70%)
CAGR 17.8% | Win 62%
Sharpe 0.83 | Sortino 0.93 | Calmar 0.8
Vol 23% | MDD -23.6%
Months 16M (14%)
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
RSmean
neg
CAGR -0.1% | Win 40%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 14% | MDD -5.1%
Months 5M (4%)
CAGR 11.2% | Win 54%
Sharpe 0.96 | Sortino 1.60 | Calmar 1.5
Vol 12% | MDD -7.3%
Months 13M (11%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
MACD
only
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 12.4% | Win 55%
Sharpe 0.65 | Sortino 1.16 | Calmar 0.4
Vol 22% | MDD -29.2%
Months 86M (75%)
CAGR 53.3% | Win 82%
Sharpe 1.30 | Sortino 2.58 | Calmar 2.5
Vol 39% | MDD -21.0%
Months 11M (10%)
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
RSmean
neg
CAGR -0.7% | Win 50%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 12% | MDD -12.5%
Months 10M (9%)
CAGR 20.0% | Win 50%
Sharpe 1.63 | Sortino 4.70 | Calmar 6.8
Vol 12% | MDD -2.9%
Months 8M (7%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
RSI
only
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 28.6% | Win 65%
Sharpe 1.14 | Sortino 1.72 | Calmar 1.2
Vol 25% | MDD -23.6%
Months 40M (35%)
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
RSmean
neg
-
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
MACDhist
only
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 6.8% | Win 53%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.3
Vol 21% | MDD -26.2%
Months 57M (50%)
CAGR 31.8% | Win 65%
Sharpe 1.12 | Sortino 1.65 | Calmar 1.5
Vol 28% | MDD -21.0%
Months 40M (35%)
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
RSmean
neg
CAGR -14.3% | Win 33%
Sharpe -1.12 | Sortino -1.65 | Calmar -1.1
Vol 13% | MDD -12.5%
Months 6M (5%)
CAGR 21.2% | Win 58%
Sharpe 1.89 | Sortino 5.57 | Calmar 7.2
Vol 10% | MDD -2.9%
Months 12M (10%)
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 14.9% | Win 57%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.4
Vol 24% | MDD -37.5%
Months 95M (83%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 97M (84%)
RSmean
neg
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
-
CAGR 8.0% | Win 50%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.8
Vol 12% | MDD -9.9%
Months 18M (16%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 11.5% | Win 54%
Sharpe 0.61 | Sortino 1.16 | Calmar 0.4
Vol 22% | MDD -30.4%
Months 80M (70%)
CAGR 78.6% | Win 83%
Sharpe 1.48 | Sortino 0.00 | Calmar 3.7
Vol 47% | MDD -21.0%
Months 6M (5%)
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
MACD
neg
CAGR 8.7% | Win 56%
Sharpe 0.57 | Sortino 0.67 | Calmar 0.7
Vol 17% | MDD -12.9%
Months 16M (14%)
CAGR 22.9% | Win 62%
Sharpe 1.11 | Sortino 1.23 | Calmar 1.8
Vol 20% | MDD -12.9%
Months 13M (11%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
RSI
only
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 29.3% | Win 62%
Sharpe 1.15 | Sortino 2.13 | Calmar 2.2
Vol 25% | MDD -13.1%
Months 29M (25%)
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
MACD
neg
-
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
MACDhist
only
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 7.0% | Win 52%
Sharpe 0.43 | Sortino 0.77 | Calmar 0.3
Vol 20% | MDD -26.2%
Months 54M (47%)
CAGR 30.5% | Win 62%
Sharpe 1.05 | Sortino 1.63 | Calmar 1.5
Vol 30% | MDD -21.0%
Months 32M (28%)
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
MACD
neg
CAGR -8.8% | Win 44%
Sharpe -0.37 | Sortino -0.44 | Calmar -0.5
Vol 20% | MDD -19.1%
Months 9M (8%)
CAGR 27.4% | Win 65%
Sharpe 1.48 | Sortino 1.65 | Calmar 2.1
Vol 18% | MDD -12.9%
Months 20M (17%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 13.4% | Win 55%
Sharpe 0.64 | Sortino 1.06 | Calmar 0.4
Vol 24% | MDD -30.9%
Months 84M (73%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
CAGR 15.2% | Win 56%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 24% | MDD -30.9%
Months 86M (75%)
MACD
neg
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
-
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.01 | Calmar 0.7
Vol 18% | MDD -21.7%
Months 29M (25%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 14.4% | Win 54%
Sharpe 0.73 | Sortino 1.50 | Calmar 0.8
Vol 22% | MDD -17.2%
Months 56M (49%)
CAGR 6.4% | Win 55%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 40M (35%)
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
RSI
neg
CAGR -94.1% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 64.7% | Win 72%
Sharpe 2.27 | Sortino 2.89 | Calmar 5.0
Vol 24% | MDD -12.9%
Months 18M (16%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
MACDhist
only
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.50 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 62M (54%)
CAGR 24.8% | Win 62%
Sharpe 1.12 | Sortino 2.13 | Calmar 0.9
Vol 22% | MDD -29.1%
Months 34M (30%)
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
RSI
neg
CAGR 42.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 38.0% | Win 67%
Sharpe 1.20 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 18M (16%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 10.6% | Win 54%
Sharpe 0.59 | Sortino 1.04 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 95M (83%)
CAGR 49.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 11.0% | Win 54%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 96M (84%)
RSI
neg
CAGR 31.5% | Win 67%
Sharpe 1.05 | Sortino 1.09 | Calmar 1.5
Vol 31% | MDD -21.0%
Months 18M (16%)
CAGR 239.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 38.3% | Win 68%
Sharpe 1.23 | Sortino 1.26 | Calmar 1.8
Vol 31% | MDD -21.0%
Months 19M (16%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 12.2% | Win 52%
Sharpe 0.65 | Sortino 1.18 | Calmar 0.6
Vol 21% | MDD -18.8%
Months 42M (36%)
CAGR -0.7% | Win 53%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.1
Vol 30% | MDD -11.9%
Months 15M (13%)
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
MACDhist
neg
CAGR -9.1% | Win 48%
Sharpe -0.46 | Sortino -0.60 | Calmar -0.3
Vol 17% | MDD -31.5%
Months 21M (18%)
CAGR 43.8% | Win 68%
Sharpe 1.72 | Sortino 2.46 | Calmar 3.4
Vol 23% | MDD -13.1%
Months 37M (32%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
RSIhist
only
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 8.0% | Win 52%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 56M (49%)
CAGR 49.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 8.6% | Win 53%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.3
Vol 24% | MDD -28.7%
Months 57M (50%)
MACDhist
neg
CAGR 19.7% | Win 60%
Sharpe 0.94 | Sortino 1.41 | Calmar 0.9
Vol 22% | MDD -21.7%
Months 57M (50%)
CAGR 239.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 21.8% | Win 60%
Sharpe 1.01 | Sortino 1.54 | Calmar 1.0
Vol 22% | MDD -21.7%
Months 58M (50%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 62M (54%)
CAGR 49.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 4.6% | Win 51%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 63M (55%)
RSIhist
neg
CAGR 26.8% | Win 63%
Sharpe 1.07 | Sortino 1.47 | Calmar 1.3
Vol 25% | MDD -21.0%
Months 51M (44%)
CAGR 239.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 29.3% | Win 64%
Sharpe 1.15 | Sortino 1.57 | Calmar 1.4
Vol 25% | MDD -21.0%
Months 52M (45%)
LWTI
only
CAGR 13.7% | Win 56%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.4
Vol 23% | MDD -34.8%
Months 113M (98%)
CAGR 125.2% | Win 100%
Sharpe 4.71 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (2%)