PBJ - Invesco Food & Beverage ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

55.7%

Best CAGR

Total Months

9.7%

Avg CAGR

PBJ 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 PBJ

All signal pairs ranked by CAGR

Type	Signal 1	Signal 2	Condition	Months (n)	Months (%)	CAGR (%)	Win Rate (%)	Sharpe	Sortino	Calmar	Vol (%)	MDD (%)
pair	MACDhist	RSmean	neg-pos	1	0.4	55.7	100.0	0.0	0.0	0.0	-	0.0
pair	RSmean	MACDhist	neg-pos	1	0.4	55.7	100.0	0.0	0.0	0.0	-	0.0
pair	MRmean	SLmean	neg-pos	10	4.0	37.7	80.0	3.7	45.2	24.1	8.9	-1.6
pair	SLmean	MRmean	neg-pos	10	4.0	37.7	80.0	3.7	45.2	24.1	8.9	-1.6
pair	MACDhist	MRmean	neg-pos	5	2.0	34.5	80.0	1.4	0.0	3.9	23.0	-8.8
pair	MRmean	MACDhist	neg-pos	5	2.0	34.5	80.0	1.4	0.0	3.9	23.0	-8.8
pair	RSI	LWTI	neg-pos	20	8.1	33.5	80.0	2.4	2.8	4.6	12.7	-7.3
pair	LWTI	RSI	neg-pos	20	8.1	33.5	80.0	2.4	2.8	4.6	12.7	-7.3
pair	LWTI	RSmean	neg-neg	1	0.4	31.2	100.0	0.0	0.0	0.0	-	0.0
pair	RSmean	LWTI	neg-neg	1	0.4	31.2	100.0	0.0	0.0	0.0	-	0.0
pair	SLmean	RSI	pos-neg	13	5.2	28.3	69.2	3.1	13.0	19.7	8.2	-1.4
pair	RSI	SLmean	pos-neg	13	5.2	28.3	69.2	3.1	13.0	19.7	8.2	-1.4
pair	MACD	MACDhist	neg-pos	6	2.4	27.1	66.7	2.3	267.6	18.4	10.8	-1.5
pair	MACDhist	MACD	neg-pos	6	2.4	27.1	66.7	2.3	267.6	18.4	10.8	-1.5
pair	MRmean	RSIhist	neg-pos	5	2.0	24.2	60.0	2.7	33.2	40.7	8.1	-0.6
pair	RSIhist	MRmean	neg-pos	5	2.0	24.2	60.0	2.7	33.2	40.7	8.1	-0.6
pair	MRmean	RSmean	neg-pos	49	19.8	23.2	73.5	1.3	1.7	0.8	17.2	-28.2
pair	RSmean	MRmean	neg-pos	49	19.8	23.2	73.5	1.3	1.7	0.8	17.2	-28.2
pair	MRmean	LWTI	neg-pos	57	23.0	20.9	70.2	1.6	2.2	1.4	12.7	-15.4
pair	LWTI	MRmean	neg-pos	57	23.0	20.9	70.2	1.6	2.2	1.4	12.7	-15.4
pair	MACDhist	SLmean	neg-pos	13	5.2	20.2	61.5	1.1	1.6	2.0	18.8	-10.1
pair	SLmean	MACDhist	neg-pos	13	5.2	20.2	61.5	1.1	1.6	2.0	18.8	-10.1
pair	MACD	SLmean	pos-neg	27	10.9	19.6	66.7	1.9	2.7	2.9	9.7	-6.7
pair	SLmean	MACD	pos-neg	27	10.9	19.6	66.7	1.9	2.7	2.9	9.7	-6.7
pair	MRmean	RSI	neg-neg	29	11.7	19.1	72.4	1.0	1.4	0.8	18.6	-24.8
pair	RSI	MRmean	neg-neg	29	11.7	19.1	72.4	1.0	1.4	0.8	18.6	-24.8
pair	SLmean	LWTI	neg-pos	76	30.6	18.2	67.1	1.3	2.0	1.2	13.6	-15.4
pair	LWTI	SLmean	neg-pos	76	30.6	18.2	67.1	1.3	2.0	1.2	13.6	-15.4
pair	MACD	RSmean	pos-neg	34	13.7	17.5	64.7	1.2	1.7	0.9	14.3	-19.9
pair	RSmean	MACD	pos-neg	34	13.7	17.5	64.7	1.2	1.7	0.9	14.3	-19.9
pair	MRmean	MACD	neg-pos	46	18.5	17.4	69.6	1.1	1.4	1.1	15.5	-16.4
pair	MACD	MRmean	neg-pos	46	18.5	17.4	69.6	1.1	1.4	1.1	15.5	-16.4
pair	RSmean	RSI	pos-neg	29	11.7	17.3	65.5	0.9	1.3	0.7	18.7	-24.8
pair	RSI	RSmean	pos-neg	29	11.7	17.3	65.5	0.9	1.3	0.7	18.7	-24.8
pair	MACD	RSI	neg-neg	24	9.7	17.0	62.5	1.1	1.5	1.2	15.1	-14.1
pair	RSI	MACD	neg-neg	24	9.7	17.0	62.5	1.1	1.5	1.2	15.1	-14.1
single	MRmean	MRmean	neg-neg	70	28.2	17.0	68.6	1.1	1.4	0.6	15.4	-28.2
pair	RSI	MACDhist	neg-neg	33	13.3	16.9	66.7	1.0	1.2	0.7	17.5	-24.8
pair	MACDhist	RSI	neg-neg	33	13.3	16.9	66.7	1.0	1.2	0.7	17.5	-24.8
pair	RSI	RSIhist	neg-pos	9	3.6	16.8	55.6	2.1	8.1	11.7	7.5	-1.4
pair	RSIhist	RSI	neg-pos	9	3.6	16.8	55.6	2.1	8.1	11.7	7.5	-1.4
pair	RSmean	SLmean	neg-pos	64	25.8	16.6	65.6	1.0	1.4	0.6	17.3	-28.2
pair	SLmean	RSmean	neg-pos	64	25.8	16.6	65.6	1.0	1.4	0.6	17.3	-28.2
single	RSI	RSI	neg-neg	36	14.5	16.5	66.7	1.0	1.2	0.7	16.9	-24.8
pair	MRmean	RSIhist	neg-neg	65	26.2	16.4	69.2	1.0	1.4	0.6	15.9	-28.2
pair	RSIhist	MRmean	neg-neg	65	26.2	16.4	69.2	1.0	1.4	0.6	15.9	-28.2
pair	RSI	RSIhist	neg-neg	27	10.9	16.4	70.4	0.9	1.2	0.7	19.1	-24.8
pair	RSIhist	RSI	neg-neg	27	10.9	16.4	70.4	0.9	1.2	0.7	19.1	-24.8
pair	SLmean	LWTI	pos-neg	11	4.4	16.2	54.5	1.4	2.5	3.6	10.8	-4.5
pair	LWTI	SLmean	pos-neg	11	4.4	16.2	54.5	1.4	2.5	3.6	10.8	-4.5
pair	MRmean	MACD	neg-neg	24	9.7	16.1	66.7	1.0	1.4	1.1	15.6	-14.1
pair	MACD	MRmean	neg-neg	24	9.7	16.1	66.7	1.0	1.4	1.1	15.6	-14.1
pair	LWTI	MACD	neg-pos	32	12.9	15.8	68.8	1.5	2.1	2.4	10.1	-6.7
pair	MACD	LWTI	neg-pos	32	12.9	15.8	68.8	1.5	2.1	2.4	10.1	-6.7
pair	MACDhist	MRmean	neg-neg	65	26.2	15.7	67.7	1.1	1.4	0.6	14.9	-28.2
pair	MRmean	MACDhist	neg-neg	65	26.2	15.7	67.7	1.1	1.4	0.6	14.9	-28.2
pair	RSI	MRmean	neg-pos	41	16.5	15.5	65.9	1.2	1.7	1.8	12.9	-8.8
pair	MRmean	RSI	neg-pos	41	16.5	15.5	65.9	1.2	1.7	1.8	12.9	-8.8
pair	RSI	MACD	pos-neg	12	4.8	15.5	75.0	0.8	1.0	1.2	20.8	-12.4
pair	MACD	RSI	pos-neg	12	4.8	15.5	75.0	0.8	1.0	1.2	20.8	-12.4
pair	MACD	SLmean	neg-pos	66	26.6	15.4	65.2	1.0	1.4	0.8	15.6	-19.3
pair	SLmean	MACD	neg-pos	66	26.6	15.4	65.2	1.0	1.4	0.8	15.6	-19.3
pair	RSIhist	MACDhist	pos-neg	26	10.5	15.3	65.4	1.1	1.5	1.7	14.4	-8.8
pair	MACDhist	RSIhist	pos-neg	26	10.5	15.3	65.4	1.1	1.5	1.7	14.4	-8.8
pair	SLmean	RSI	neg-pos	63	25.4	14.6	63.5	1.1	1.7	1.2	13.8	-12.1
pair	RSI	SLmean	neg-pos	63	25.4	14.6	63.5	1.1	1.7	1.2	13.8	-12.1
pair	MACD	RSIhist	neg-pos	28	11.3	14.4	60.7	1.6	2.2	2.1	8.9	-6.7
pair	RSIhist	MACD	neg-pos	28	11.3	14.4	60.7	1.6	2.2	2.1	8.9	-6.7
single	MACD	MACD	neg-neg	47	19.0	14.3	63.8	1.1	1.5	0.7	12.8	-19.9
pair	RSIhist	MACD	neg-neg	19	7.7	14.1	68.4	0.8	1.4	1.0	17.2	-14.1
pair	MACD	RSIhist	neg-neg	19	7.7	14.1	68.4	0.8	1.4	1.0	17.2	-14.1
pair	RSIhist	SLmean	neg-neg	81	32.7	13.8	65.4	0.9	1.3	0.5	16.1	-28.2
pair	MRmean	SLmean	neg-neg	60	24.2	13.8	66.7	0.9	1.2	0.5	16.2	-28.2
pair	SLmean	MRmean	neg-neg	60	24.2	13.8	66.7	0.9	1.2	0.5	16.2	-28.2
pair	SLmean	RSIhist	neg-neg	81	32.7	13.8	65.4	0.9	1.3	0.5	16.1	-28.2
pair	RSmean	RSI	neg-neg	7	2.8	13.5	71.4	2.7	20.5	15.0	4.8	-0.9
pair	LWTI	RSIhist	neg-pos	117	47.2	13.5	66.7	1.1	1.5	0.8	12.9	-17.9
single	SLmean	SLmean	neg-neg	86	34.7	13.5	64.0	0.9	1.3	0.5	15.7	-28.2
pair	RSI	RSmean	neg-neg	7	2.8	13.5	71.4	2.7	20.5	15.0	4.8	-0.9
pair	RSIhist	LWTI	neg-pos	117	47.2	13.5	66.7	1.1	1.5	0.8	12.9	-17.9
pair	SLmean	MRmean	pos-neg	26	10.5	12.6	57.7	0.9	1.5	1.2	14.7	-10.5
pair	MRmean	SLmean	pos-neg	26	10.5	12.6	57.7	0.9	1.5	1.2	14.7	-10.5
pair	MACD	MACDhist	neg-neg	41	16.5	12.5	63.4	1.0	1.2	0.6	13.1	-19.9
pair	MACDhist	MACD	neg-neg	41	16.5	12.5	63.4	1.0	1.2	0.6	13.1	-19.9
pair	MRmean	MACD	pos-neg	23	9.3	12.4	60.9	1.3	1.8	1.8	9.2	-7.0
pair	MACD	MRmean	pos-neg	23	9.3	12.4	60.9	1.3	1.8	1.8	9.2	-7.0
pair	RSIhist	RSmean	pos-neg	102	41.1	12.3	65.7	0.8	1.2	0.4	15.3	-34.2
pair	RSmean	RSIhist	pos-neg	102	41.1	12.3	65.7	0.8	1.2	0.4	15.3	-34.2
pair	MACDhist	SLmean	neg-neg	73	29.4	12.3	64.4	0.8	1.2	0.4	15.2	-28.2
pair	SLmean	MACDhist	neg-neg	73	29.4	12.3	64.4	0.8	1.2	0.4	15.2	-28.2
pair	RSI	MACDhist	neg-pos	3	1.2	12.1	66.7	1.5	0.0	0.0	7.5	0.0
pair	MACDhist	RSI	neg-pos	3	1.2	12.1	66.7	1.5	0.0	0.0	7.5	0.0
single	RSIhist	RSIhist	neg-neg	128	51.6	11.6	65.6	0.8	1.2	0.3	14.4	-34.2
pair	RSI	MACD	neg-pos	23	9.3	11.5	65.2	1.1	1.4	1.4	10.1	-8.1
pair	MACD	RSI	neg-pos	23	9.3	11.5	65.2	1.1	1.4	1.4	10.1	-8.1
pair	RSIhist	MACD	pos-neg	109	44.0	11.2	65.1	0.8	1.1	0.4	13.9	-30.3
pair	MACD	RSIhist	pos-neg	109	44.0	11.2	65.1	0.8	1.1	0.4	13.9	-30.3
pair	MACD	LWTI	neg-neg	15	6.0	11.0	53.3	0.7	1.0	0.9	17.6	-12.9
pair	LWTI	MACD	neg-neg	15	6.0	11.0	53.3	0.7	1.0	0.9	17.6	-12.9
pair	MACDhist	RSIhist	neg-neg	102	41.1	10.7	65.7	0.8	1.1	0.3	14.4	-34.2
pair	RSIhist	MACDhist	neg-neg	102	41.1	10.7	65.7	0.8	1.1	0.3	14.4	-34.2
pair	RSI	SLmean	neg-neg	23	9.3	10.3	65.2	0.6	0.9	0.4	20.3	-24.8
pair	RSI	RSIhist	pos-neg	101	40.7	10.3	64.4	0.8	1.2	0.4	12.9	-25.8
pair	SLmean	RSI	neg-neg	23	9.3	10.3	65.2	0.6	0.9	0.4	20.3	-24.8
pair	RSIhist	RSI	pos-neg	101	40.7	10.3	64.4	0.8	1.2	0.4	12.9	-25.8
pair	MACDhist	LWTI	pos-pos	91	36.7	9.3	57.1	0.8	1.5	0.6	12.4	-16.2
pair	LWTI	MACDhist	pos-pos	91	36.7	9.3	57.1	0.8	1.5	0.6	12.4	-16.2
pair	RSmean	LWTI	pos-pos	196	79.0	9.2	58.2	0.8	1.3	0.5	12.5	-20.5
pair	LWTI	RSmean	pos-pos	196	79.0	9.2	58.2	0.8	1.3	0.5	12.5	-20.5
single	MACDhist	MACDhist	pos-pos	95	38.3	8.9	55.8	0.7	1.5	0.4	12.6	-20.9
pair	MACDhist	RSI	pos-pos	92	37.1	8.8	55.4	0.7	1.4	0.4	12.7	-20.9
pair	RSI	MACDhist	pos-pos	92	37.1	8.8	55.4	0.7	1.4	0.4	12.7	-20.9
pair	RSIhist	RSmean	neg-neg	26	10.5	8.7	65.4	0.9	1.3	0.9	10.0	-9.5
pair	RSmean	RSIhist	neg-neg	26	10.5	8.7	65.4	0.9	1.3	0.9	10.0	-9.5
single	LWTI	LWTI	pos-pos	227	91.5	8.5	58.6	0.7	1.2	0.4	12.3	-20.5
pair	MACDhist	RSmean	pos-pos	94	37.9	8.5	55.3	0.7	1.4	0.4	12.6	-23.8
pair	RSmean	MACDhist	pos-pos	94	37.9	8.5	55.3	0.7	1.4	0.4	12.6	-23.8
pair	SLmean	RSIhist	neg-pos	5	2.0	8.3	40.0	1.1	4.1	5.8	7.4	-1.4
pair	RSIhist	SLmean	neg-pos	5	2.0	8.3	40.0	1.1	4.1	5.8	7.4	-1.4
single	RSmean	RSmean	pos-pos	216	87.1	8.1	56.9	0.7	1.0	0.2	13.3	-34.2
pair	MACDhist	LWTI	neg-pos	136	54.8	7.9	59.6	0.7	1.0	0.6	12.3	-13.1
pair	LWTI	MACDhist	neg-pos	136	54.8	7.9	59.6	0.7	1.0	0.6	12.3	-13.1
pair	SLmean	RSIhist	pos-neg	47	19.0	7.9	66.0	0.8	0.9	0.7	11.0	-12.2
pair	RSIhist	SLmean	pos-neg	47	19.0	7.9	66.0	0.8	0.9	0.7	11.0	-12.2
pair	RSmean	MACDhist	pos-neg	122	49.2	7.8	58.2	0.6	0.9	0.2	13.9	-34.2
pair	MACDhist	RSmean	pos-neg	122	49.2	7.8	58.2	0.6	0.9	0.2	13.9	-34.2
pair	MACDhist	MACD	pos-pos	89	35.9	7.8	55.1	0.7	1.3	0.4	12.7	-20.9
pair	MACD	MACDhist	pos-pos	89	35.9	7.8	55.1	0.7	1.3	0.4	12.7	-20.9
pair		benchmark___benchmark_	benchmark-benchmark	248	100.0	7.6	57.7	0.6	1.0	0.2	13.1	-34.2
pair	benchmark___benchmark_		benchmark-benchmark	248	100.0	7.6	57.7	0.6	1.0	0.2	13.1	-34.2
pair	MRmean	MACDhist	pos-pos	90	36.3	7.6	54.4	0.7	1.5	0.4	11.9	-19.6
pair	MACDhist	MRmean	pos-pos	90	36.3	7.6	54.4	0.7	1.5	0.4	11.9	-19.6
pair	MRmean	RSmean	pos-neg	11	4.4	7.4	72.7	0.6	0.5	0.7	14.4	-10.0
pair	RSmean	MRmean	pos-neg	11	4.4	7.4	72.7	0.6	0.5	0.7	14.4	-10.0
pair	MACD	SLmean	neg-neg	20	8.1	7.4	60.0	0.5	0.8	0.5	16.2	-14.1
pair	SLmean	MACD	neg-neg	20	8.1	7.4	60.0	0.5	0.8	0.5	16.2	-14.1
pair	MACD	LWTI	pos-pos	195	78.6	7.3	56.9	0.6	1.0	0.4	12.7	-20.5
pair	LWTI	MACD	pos-pos	195	78.6	7.3	56.9	0.6	1.0	0.4	12.7	-20.5
pair	SLmean	MACDhist	pos-pos	82	33.1	7.2	54.9	0.7	1.5	0.4	11.4	-18.0
pair	MACDhist	SLmean	pos-pos	82	33.1	7.2	54.9	0.7	1.5	0.4	11.4	-18.0
single	MACDhist	MACDhist	neg-neg	153	61.7	6.9	58.8	0.6	0.8	0.2	13.4	-34.2
pair	RSIhist	MRmean	pos-neg	63	25.4	6.8	61.9	0.6	0.8	0.2	12.6	-27.2
pair	MRmean	RSIhist	pos-neg	63	25.4	6.8	61.9	0.6	0.8	0.2	12.6	-27.2
pair	RSI	RSmean	pos-pos	187	75.4	6.7	55.6	0.6	1.0	0.3	12.3	-24.8
pair	RSmean	RSI	pos-pos	187	75.4	6.7	55.6	0.6	1.0	0.3	12.3	-24.8
pair	RSIhist	MACDhist	pos-pos	69	27.8	6.6	52.2	0.6	1.4	0.3	11.9	-21.5
pair	MACDhist	RSIhist	pos-pos	69	27.8	6.6	52.2	0.6	1.4	0.3	11.9	-21.5
pair	MRmean	RSI	pos-neg	7	2.8	6.5	42.9	1.1	3.3	4.5	5.8	-1.4
pair	RSI	MRmean	pos-neg	7	2.8	6.5	42.9	1.1	3.3	4.5	5.8	-1.4
pair	RSmean	MACD	pos-pos	182	73.4	6.4	55.5	0.5	0.9	0.2	13.1	-25.3
pair	MACD	RSmean	pos-pos	182	73.4	6.4	55.5	0.5	0.9	0.2	13.1	-25.3
pair	LWTI	RSI	pos-pos	207	83.5	6.3	56.5	0.6	0.9	0.3	12.2	-18.8
pair	RSI	LWTI	pos-pos	207	83.5	6.3	56.5	0.6	0.9	0.3	12.2	-18.8
single	RSI	RSI	pos-pos	212	85.5	6.2	56.1	0.6	0.9	0.3	12.3	-20.7
pair	RSmean	MACD	neg-neg	13	5.2	6.2	61.5	0.9	0.9	1.2	7.4	-5.1
pair	MACD	RSmean	neg-neg	13	5.2	6.2	61.5	0.9	0.9	1.2	7.4	-5.1
single	MACD	MACD	pos-pos	201	81.0	6.2	56.2	0.5	0.8	0.2	13.1	-25.3
pair	RSIhist	LWTI	pos-neg	10	4.0	6.1	40.0	0.6	1.2	1.1	10.1	-5.8
pair	LWTI	RSIhist	pos-neg	10	4.0	6.1	40.0	0.6	1.2	1.1	10.1	-5.8
pair	MACD	RSI	pos-pos	189	76.2	5.6	55.0	0.5	0.8	0.2	12.5	-23.5
pair	RSI	MACD	pos-pos	189	76.2	5.6	55.0	0.5	0.8	0.2	12.5	-23.5
pair	SLmean	RSmean	pos-neg	10	4.0	5.1	70.0	0.4	0.4	0.5	15.1	-10.0
pair	RSmean	SLmean	pos-neg	10	4.0	5.1	70.0	0.4	0.4	0.5	15.1	-10.0
pair	MACD	MACDhist	pos-neg	112	45.2	4.9	57.1	0.4	0.6	0.2	13.5	-23.4
pair	MACDhist	MACD	pos-neg	112	45.2	4.9	57.1	0.4	0.6	0.2	13.5	-23.4
single	RSmean	RSmean	neg-neg	32	12.9	4.8	62.5	0.5	0.5	0.5	11.3	-10.0
pair	SLmean	RSmean	pos-pos	152	61.3	4.7	53.3	0.5	0.8	0.2	11.2	-25.6
pair	RSmean	SLmean	pos-pos	152	61.3	4.7	53.3	0.5	0.8	0.2	11.2	-25.6
pair	RSmean	SLmean	neg-neg	22	8.9	4.7	59.1	0.5	0.7	0.5	9.5	-9.1
pair	SLmean	RSmean	neg-neg	22	8.9	4.7	59.1	0.5	0.7	0.5	9.5	-9.1
single	SLmean	SLmean	pos-pos	162	65.3	4.7	54.3	0.5	0.7	0.2	11.4	-25.7
pair	LWTI	MRmean	pos-pos	170	68.5	4.6	54.7	0.4	0.7	0.2	12.0	-24.8
pair	MRmean	LWTI	pos-pos	170	68.5	4.6	54.7	0.4	0.7	0.2	12.0	-24.8
pair	RSmean	RSIhist	pos-pos	114	46.0	4.4	49.1	0.4	0.9	0.1	11.2	-28.6
pair	RSIhist	RSmean	pos-pos	114	46.0	4.4	49.1	0.4	0.9	0.1	11.2	-28.6
pair	MACDhist	RSI	pos-neg	120	48.4	4.3	56.7	0.4	0.6	0.2	12.0	-18.5
pair	RSI	MACDhist	pos-neg	120	48.4	4.3	56.7	0.4	0.6	0.2	12.0	-18.5
single	MRmean	MRmean	pos-pos	178	71.8	4.2	53.4	0.4	0.7	0.1	11.9	-27.3
pair	LWTI	RSmean	neg-pos	31	12.5	4.1	61.3	0.4	0.5	0.4	11.4	-10.0
pair	RSmean	LWTI	neg-pos	31	12.5	4.1	61.3	0.4	0.5	0.4	11.4	-10.0
pair	RSI	MRmean	pos-pos	171	69.0	4.1	53.8	0.4	0.7	0.1	12.1	-26.5
pair	MRmean	RSI	pos-pos	171	69.0	4.1	53.8	0.4	0.7	0.1	12.1	-26.5
pair	RSmean	MRmean	pos-pos	167	67.3	4.0	52.1	0.4	0.7	0.1	11.8	-26.1
pair	MRmean	RSmean	pos-pos	167	67.3	4.0	52.1	0.4	0.7	0.1	11.8	-26.1
pair	RSmean	MACD	neg-pos	19	7.7	3.9	63.2	0.3	0.4	0.4	13.5	-10.0
pair	MACD	RSmean	neg-pos	19	7.7	3.9	63.2	0.3	0.4	0.4	13.5	-10.0
pair	SLmean	LWTI	pos-pos	151	60.9	3.9	54.3	0.4	0.6	0.1	11.4	-25.7
pair	LWTI	SLmean	pos-pos	151	60.9	3.9	54.3	0.4	0.6	0.1	11.4	-25.7
single	RSIhist	RSIhist	pos-pos	120	48.4	3.6	49.2	0.4	0.6	0.1	11.4	-34.6
pair	RSmean	MACDhist	neg-neg	31	12.5	3.5	61.3	0.4	0.4	0.3	11.3	-11.6
pair	MACDhist	RSmean	neg-neg	31	12.5	3.5	61.3	0.4	0.4	0.3	11.3	-11.6
pair	MRmean	RSmean	neg-neg	21	8.5	3.5	57.1	0.4	0.5	0.4	9.6	-9.1
pair	RSmean	MRmean	neg-neg	21	8.5	3.5	57.1	0.4	0.5	0.4	9.6	-9.1
pair	RSIhist	LWTI	pos-pos	110	44.4	3.4	50.0	0.3	0.6	0.1	11.6	-32.3
pair	SLmean	RSIhist	pos-pos	115	46.4	3.4	49.6	0.3	0.6	0.1	11.6	-33.7
pair	RSIhist	SLmean	pos-pos	115	46.4	3.4	49.6	0.3	0.6	0.1	11.6	-33.7
pair	LWTI	RSIhist	pos-pos	110	44.4	3.4	50.0	0.3	0.6	0.1	11.6	-32.3
pair	MACD	MRmean	pos-pos	155	62.5	3.0	52.3	0.3	0.5	0.1	12.2	-29.1
pair	MRmean	MACD	pos-pos	155	62.5	3.0	52.3	0.3	0.5	0.1	12.2	-29.1
pair	SLmean	MRmean	pos-pos	152	61.3	2.8	52.6	0.3	0.5	0.1	11.4	-31.2
pair	MRmean	SLmean	pos-pos	152	61.3	2.8	52.6	0.3	0.5	0.1	11.4	-31.2
pair	RSI	SLmean	pos-pos	149	60.1	2.8	53.0	0.3	0.5	0.1	11.5	-29.3
pair	MRmean	RSIhist	pos-pos	115	46.4	2.8	48.7	0.3	0.5	0.1	11.5	-34.6
pair	RSIhist	MRmean	pos-pos	115	46.4	2.8	48.7	0.3	0.5	0.1	11.5	-34.6
pair	SLmean	RSI	pos-pos	149	60.1	2.8	53.0	0.3	0.5	0.1	11.5	-29.3
pair	RSIhist	RSI	pos-pos	111	44.8	2.6	48.6	0.3	0.5	0.1	11.7	-33.9
pair	RSI	RSIhist	pos-pos	111	44.8	2.6	48.6	0.3	0.5	0.1	11.7	-33.9
pair	RSmean	RSI	neg-pos	25	10.1	2.5	60.0	0.3	0.3	0.2	12.5	-10.0
pair	RSI	RSmean	neg-pos	25	10.1	2.5	60.0	0.3	0.3	0.2	12.5	-10.0
pair	MACDhist	SLmean	pos-neg	80	32.3	2.2	53.8	0.2	0.3	0.1	11.4	-23.9
pair	SLmean	MACDhist	pos-neg	80	32.3	2.2	53.8	0.2	0.3	0.1	11.4	-23.9
pair	SLmean	MACD	pos-pos	135	54.4	1.9	51.9	0.2	0.4	0.1	11.6	-29.2
pair	MACD	SLmean	pos-pos	135	54.4	1.9	51.9	0.2	0.4	0.1	11.6	-29.2
pair	RSI	LWTI	pos-neg	5	2.0	1.6	40.0	0.2	0.5	0.3	19.0	-5.8
pair	LWTI	RSI	pos-neg	5	2.0	1.6	40.0	0.2	0.5	0.3	19.0	-5.8
pair	LWTI	MRmean	neg-neg	13	5.2	1.3	61.5	0.2	0.4	0.0	24.4	-28.2
pair	MRmean	LWTI	neg-neg	13	5.2	1.3	61.5	0.2	0.4	0.0	24.4	-28.2
pair	MACDhist	MRmean	pos-neg	88	35.5	0.8	52.3	0.1	0.2	0.0	11.9	-32.0
pair	MRmean	MACDhist	pos-neg	88	35.5	0.8	52.3	0.1	0.2	0.0	11.9	-32.0
pair	MACDhist	LWTI	pos-neg	4	1.6	0.7	25.0	0.1	0.3	0.1	18.8	-5.8
pair	LWTI	MACDhist	pos-neg	4	1.6	0.7	25.0	0.1	0.3	0.1	18.8	-5.8
pair	RSIhist	MACD	pos-pos	92	37.1	0.5	45.7	0.1	0.2	0.0	12.0	-36.2
pair	MACD	RSIhist	pos-pos	92	37.1	0.5	45.7	0.1	0.2	0.0	12.0	-36.2
pair	RSIhist	MACDhist	neg-pos	51	20.6	-0.3	45.1	0.0	0.0	-0.0	10.8	-27.5
pair	MACDhist	RSIhist	neg-pos	51	20.6	-0.3	45.1	0.0	0.0	-0.0	10.8	-27.5
single	LWTI	LWTI	neg-neg	21	8.5	-0.9	47.6	0.1	0.1	-0.0	19.6	-28.2
pair	MACDhist	LWTI	neg-neg	17	6.9	-1.3	52.9	0.0	0.1	-0.1	20.3	-28.2
pair	LWTI	MACDhist	neg-neg	17	6.9	-1.3	52.9	0.0	0.1	-0.1	20.3	-28.2
pair	RSI	LWTI	neg-neg	16	6.5	-1.7	50.0	0.0	0.0	-0.1	20.4	-24.8
pair	LWTI	RSI	neg-neg	16	6.5	-1.7	50.0	0.0	0.0	-0.1	20.4	-24.8
pair	LWTI	RSmean	pos-neg	20	8.1	-2.3	45.0	-0.0	-0.0	-0.1	20.0	-28.2
pair	RSmean	LWTI	pos-neg	20	8.1	-2.3	45.0	-0.0	-0.0	-0.1	20.0	-28.2
pair	LWTI	MRmean	pos-neg	8	3.2	-4.4	25.0	-0.5	-0.8	-0.8	8.6	-5.8
pair	MRmean	LWTI	pos-neg	8	3.2	-4.4	25.0	-0.5	-0.8	-0.8	8.6	-5.8
pair	LWTI	RSIhist	neg-neg	11	4.4	-6.9	54.5	-0.2	-0.4	-0.2	25.9	-28.2
pair	RSIhist	LWTI	neg-neg	11	4.4	-6.9	54.5	-0.2	-0.4	-0.2	25.9	-28.2
pair	RSmean	RSIhist	neg-pos	6	2.4	-10.5	50.0	-0.6	-0.5	-1.0	16.1	-10.0
pair	RSIhist	RSmean	neg-pos	6	2.4	-10.5	50.0	-0.6	-0.5	-1.0	16.1	-10.0
pair	SLmean	LWTI	neg-neg	10	4.0	-16.9	40.0	-0.6	-1.2	-0.7	26.0	-24.8
pair	LWTI	SLmean	neg-neg	10	4.0	-16.9	40.0	-0.6	-1.2	-0.7	26.0	-24.8
pair	MACD	LWTI	pos-neg	6	2.4	-25.5	33.3	-1.1	-1.6	-1.2	23.7	-21.3
pair	LWTI	MACD	pos-neg	6	2.4	-25.5	33.3	-1.1	-1.6	-1.2	23.7	-21.3

All Contingency Tables for PBJ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean

	SLmean pos	SLmean neg	MRmean only
MRmean pos	CAGR 2.8% \| Win 53% Sharpe 0.30 \| Sortino 0.48 \| Calmar 0.1 Vol 11% \| MDD -31.2% Months 152M (61%)	CAGR 12.6% \| Win 58% Sharpe 0.88 \| Sortino 1.53 \| Calmar 1.2 Vol 15% \| MDD -10.5% Months 26M (10%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 37.7% \| Win 80% Sharpe 3.69 \| Sortino 45.24 \| Calmar 24.2 Vol 9% \| MDD -1.6% Months 10M (4%)	CAGR 13.8% \| Win 67% Sharpe 0.89 \| Sortino 1.19 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 60M (24%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
SLmean only	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)

MRmean × RSmean

	RSmean pos	RSmean neg	MRmean only
MRmean pos	CAGR 4.0% \| Win 52% Sharpe 0.39 \| Sortino 0.68 \| Calmar 0.2 Vol 12% \| MDD -26.1% Months 167M (67%)	CAGR 7.4% \| Win 73% Sharpe 0.56 \| Sortino 0.48 \| Calmar 0.7 Vol 14% \| MDD -10.0% Months 11M (4%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 23.2% \| Win 74% Sharpe 1.31 \| Sortino 1.73 \| Calmar 0.8 Vol 17% \| MDD -28.2% Months 49M (20%)	CAGR 3.5% \| Win 57% Sharpe 0.41 \| Sortino 0.53 \| Calmar 0.4 Vol 10% \| MDD -9.1% Months 21M (8%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
RSmean only	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)

MRmean × MACD

	MACD pos	MACD neg	MRmean only
MRmean pos	CAGR 3.0% \| Win 52% Sharpe 0.30 \| Sortino 0.51 \| Calmar 0.1 Vol 12% \| MDD -29.1% Months 155M (62%)	CAGR 12.4% \| Win 61% Sharpe 1.32 \| Sortino 1.79 \| Calmar 1.8 Vol 9% \| MDD -7.0% Months 23M (9%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 17.4% \| Win 70% Sharpe 1.12 \| Sortino 1.40 \| Calmar 1.1 Vol 16% \| MDD -16.4% Months 46M (18%)	CAGR 16.1% \| Win 67% Sharpe 1.04 \| Sortino 1.44 \| Calmar 1.1 Vol 16% \| MDD -14.1% Months 24M (10%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
MACD only	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)

MRmean × RSI

	RSI pos	RSI neg	MRmean only
MRmean pos	CAGR 4.1% \| Win 54% Sharpe 0.39 \| Sortino 0.65 \| Calmar 0.2 Vol 12% \| MDD -26.5% Months 171M (69%)	CAGR 6.5% \| Win 43% Sharpe 1.11 \| Sortino 3.28 \| Calmar 4.5 Vol 6% \| MDD -1.4% Months 7M (3%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 15.5% \| Win 66% Sharpe 1.18 \| Sortino 1.73 \| Calmar 1.8 Vol 13% \| MDD -8.8% Months 41M (16%)	CAGR 19.1% \| Win 72% Sharpe 1.04 \| Sortino 1.40 \| Calmar 0.8 Vol 19% \| MDD -24.8% Months 29M (12%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
RSI only	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)

MRmean × MACDhist

	MACDhist pos	MACDhist neg	MRmean only
MRmean pos	CAGR 7.6% \| Win 54% Sharpe 0.68 \| Sortino 1.47 \| Calmar 0.4 Vol 12% \| MDD -19.6% Months 90M (36%)	CAGR 0.8% \| Win 52% Sharpe 0.12 \| Sortino 0.17 \| Calmar 0.0 Vol 12% \| MDD -32.0% Months 88M (36%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 34.5% \| Win 80% Sharpe 1.40 \| Sortino 0.00 \| Calmar 3.9 Vol 23% \| MDD -8.8% Months 5M (2%)	CAGR 15.7% \| Win 68% Sharpe 1.06 \| Sortino 1.39 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 65M (26%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)

MRmean × RSIhist

	RSIhist pos	RSIhist neg	MRmean only
MRmean pos	CAGR 2.8% \| Win 49% Sharpe 0.30 \| Sortino 0.52 \| Calmar 0.1 Vol 12% \| MDD -34.6% Months 115M (46%)	CAGR 6.8% \| Win 62% Sharpe 0.58 \| Sortino 0.83 \| Calmar 0.2 Vol 13% \| MDD -27.2% Months 63M (25%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 24.2% \| Win 60% Sharpe 2.74 \| Sortino 33.17 \| Calmar 40.7 Vol 8% \| MDD -0.6% Months 5M (2%)	CAGR 16.4% \| Win 69% Sharpe 1.04 \| Sortino 1.42 \| Calmar 0.6 Vol 16% \| MDD -28.2% Months 65M (26%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

MRmean × LWTI

	LWTI pos	LWTI neg	MRmean only
MRmean pos	CAGR 4.6% \| Win 55% Sharpe 0.43 \| Sortino 0.71 \| Calmar 0.2 Vol 12% \| MDD -24.8% Months 170M (68%)	CAGR -4.4% \| Win 25% Sharpe -0.48 \| Sortino -0.76 \| Calmar -0.8 Vol 9% \| MDD -5.8% Months 8M (3%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 20.9% \| Win 70% Sharpe 1.56 \| Sortino 2.19 \| Calmar 1.4 Vol 13% \| MDD -15.4% Months 57M (23%)	CAGR 1.3% \| Win 62% Sharpe 0.17 \| Sortino 0.40 \| Calmar 0.0 Vol 24% \| MDD -28.2% Months 13M (5%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

SLmean × RSmean

	RSmean pos	RSmean neg	SLmean only
SLmean pos	CAGR 4.7% \| Win 53% Sharpe 0.46 \| Sortino 0.80 \| Calmar 0.2 Vol 11% \| MDD -25.6% Months 152M (61%)	CAGR 5.1% \| Win 70% Sharpe 0.40 \| Sortino 0.36 \| Calmar 0.5 Vol 15% \| MDD -10.0% Months 10M (4%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 16.6% \| Win 66% Sharpe 0.98 \| Sortino 1.45 \| Calmar 0.6 Vol 17% \| MDD -28.2% Months 64M (26%)	CAGR 4.7% \| Win 59% Sharpe 0.53 \| Sortino 0.68 \| Calmar 0.5 Vol 10% \| MDD -9.1% Months 22M (9%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
RSmean only	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)

SLmean × MACD

	MACD pos	MACD neg	SLmean only
SLmean pos	CAGR 1.9% \| Win 52% Sharpe 0.22 \| Sortino 0.37 \| Calmar 0.1 Vol 12% \| MDD -29.2% Months 135M (54%)	CAGR 19.6% \| Win 67% Sharpe 1.91 \| Sortino 2.73 \| Calmar 2.9 Vol 10% \| MDD -6.7% Months 27M (11%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 15.4% \| Win 65% Sharpe 1.00 \| Sortino 1.41 \| Calmar 0.8 Vol 16% \| MDD -19.3% Months 66M (27%)	CAGR 7.4% \| Win 60% Sharpe 0.52 \| Sortino 0.75 \| Calmar 0.5 Vol 16% \| MDD -14.1% Months 20M (8%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
MACD only	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)

SLmean × RSI

	RSI pos	RSI neg	SLmean only
SLmean pos	CAGR 2.8% \| Win 53% Sharpe 0.30 \| Sortino 0.49 \| Calmar 0.1 Vol 12% \| MDD -29.3% Months 149M (60%)	CAGR 28.3% \| Win 69% Sharpe 3.12 \| Sortino 13.00 \| Calmar 19.7 Vol 8% \| MDD -1.4% Months 13M (5%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 14.6% \| Win 64% Sharpe 1.06 \| Sortino 1.67 \| Calmar 1.2 Vol 14% \| MDD -12.1% Months 63M (25%)	CAGR 10.3% \| Win 65% Sharpe 0.59 \| Sortino 0.86 \| Calmar 0.4 Vol 20% \| MDD -24.8% Months 23M (9%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
RSI only	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)

SLmean × MACDhist

	MACDhist pos	MACDhist neg	SLmean only
SLmean pos	CAGR 7.2% \| Win 55% Sharpe 0.67 \| Sortino 1.51 \| Calmar 0.4 Vol 11% \| MDD -18.0% Months 82M (33%)	CAGR 2.2% \| Win 54% Sharpe 0.24 \| Sortino 0.32 \| Calmar 0.1 Vol 11% \| MDD -23.9% Months 80M (32%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 20.2% \| Win 62% Sharpe 1.07 \| Sortino 1.60 \| Calmar 2.0 Vol 19% \| MDD -10.1% Months 13M (5%)	CAGR 12.3% \| Win 64% Sharpe 0.84 \| Sortino 1.18 \| Calmar 0.4 Vol 15% \| MDD -28.2% Months 73M (29%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)

SLmean × RSIhist

	RSIhist pos	RSIhist neg	SLmean only
SLmean pos	CAGR 3.4% \| Win 50% Sharpe 0.35 \| Sortino 0.61 \| Calmar 0.1 Vol 12% \| MDD -33.7% Months 115M (46%)	CAGR 7.9% \| Win 66% Sharpe 0.75 \| Sortino 0.93 \| Calmar 0.7 Vol 11% \| MDD -12.2% Months 47M (19%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 8.3% \| Win 40% Sharpe 1.10 \| Sortino 4.06 \| Calmar 5.7 Vol 7% \| MDD -1.4% Months 5M (2%)	CAGR 13.8% \| Win 65% Sharpe 0.89 \| Sortino 1.29 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 81M (33%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

SLmean × LWTI

	LWTI pos	LWTI neg	SLmean only
SLmean pos	CAGR 3.9% \| Win 54% Sharpe 0.39 \| Sortino 0.63 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 151M (61%)	CAGR 16.2% \| Win 55% Sharpe 1.45 \| Sortino 2.50 \| Calmar 3.6 Vol 11% \| MDD -4.5% Months 11M (4%)	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)
SLmean neg	CAGR 18.2% \| Win 67% Sharpe 1.30 \| Sortino 1.96 \| Calmar 1.2 Vol 14% \| MDD -15.4% Months 76M (31%)	CAGR -16.9% \| Win 40% Sharpe -0.59 \| Sortino -1.21 \| Calmar -0.7 Vol 26% \| MDD -24.8% Months 10M (4%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

RSmean × MACD

	MACD pos	MACD neg	RSmean only
RSmean pos	CAGR 6.4% \| Win 56% Sharpe 0.54 \| Sortino 0.88 \| Calmar 0.3 Vol 13% \| MDD -25.3% Months 182M (73%)	CAGR 17.5% \| Win 65% Sharpe 1.21 \| Sortino 1.66 \| Calmar 0.9 Vol 14% \| MDD -19.9% Months 34M (14%)	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)
RSmean neg	CAGR 3.9% \| Win 63% Sharpe 0.35 \| Sortino 0.41 \| Calmar 0.4 Vol 14% \| MDD -10.0% Months 19M (8%)	CAGR 6.2% \| Win 62% Sharpe 0.86 \| Sortino 0.89 \| Calmar 1.2 Vol 7% \| MDD -5.1% Months 13M (5%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)
MACD only	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)

RSmean × RSI

	RSI pos	RSI neg	RSmean only
RSmean pos	CAGR 6.7% \| Win 56% Sharpe 0.59 \| Sortino 1.03 \| Calmar 0.3 Vol 12% \| MDD -24.8% Months 187M (75%)	CAGR 17.3% \| Win 66% Sharpe 0.95 \| Sortino 1.28 \| Calmar 0.7 Vol 19% \| MDD -24.8% Months 29M (12%)	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)
RSmean neg	CAGR 2.5% \| Win 60% Sharpe 0.26 \| Sortino 0.30 \| Calmar 0.3 Vol 12% \| MDD -10.0% Months 25M (10%)	CAGR 13.5% \| Win 71% Sharpe 2.66 \| Sortino 20.49 \| Calmar 15.0 Vol 5% \| MDD -0.9% Months 7M (3%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)
RSI only	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)

RSmean × MACDhist

	MACDhist pos	MACDhist neg	RSmean only
RSmean pos	CAGR 8.5% \| Win 55% Sharpe 0.71 \| Sortino 1.40 \| Calmar 0.4 Vol 13% \| MDD -23.8% Months 94M (38%)	CAGR 7.8% \| Win 58% Sharpe 0.61 \| Sortino 0.87 \| Calmar 0.2 Vol 14% \| MDD -34.2% Months 122M (49%)	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)
RSmean neg	CAGR 55.7% \| Win 100% Sharpe 0.00 \| Sortino 0.00 \| Calmar 0.0 Vol nan% \| MDD 0.0% Months 1M (0%)	CAGR 3.5% \| Win 61% Sharpe 0.36 \| Sortino 0.40 \| Calmar 0.3 Vol 11% \| MDD -11.6% Months 31M (12%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)

RSmean × RSIhist

	RSIhist pos	RSIhist neg	RSmean only
RSmean pos	CAGR 4.4% \| Win 49% Sharpe 0.44 \| Sortino 0.89 \| Calmar 0.2 Vol 11% \| MDD -28.6% Months 114M (46%)	CAGR 12.3% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.4 Vol 15% \| MDD -34.2% Months 102M (41%)	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)
RSmean neg	CAGR -10.5% \| Win 50% Sharpe -0.61 \| Sortino -0.52 \| Calmar -1.0 Vol 16% \| MDD -10.0% Months 6M (2%)	CAGR 8.7% \| Win 65% Sharpe 0.89 \| Sortino 1.26 \| Calmar 0.9 Vol 10% \| MDD -9.5% Months 26M (10%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

RSmean × LWTI

	LWTI pos	LWTI neg	RSmean only
RSmean pos	CAGR 9.2% \| Win 58% Sharpe 0.77 \| Sortino 1.32 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 196M (79%)	CAGR -2.3% \| Win 45% Sharpe -0.02 \| Sortino -0.03 \| Calmar -0.1 Vol 20% \| MDD -28.2% Months 20M (8%)	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)
RSmean neg	CAGR 4.1% \| Win 61% Sharpe 0.41 \| Sortino 0.45 \| Calmar 0.4 Vol 11% \| MDD -10.0% Months 31M (12%)	CAGR 31.2% \| Win 100% Sharpe 0.00 \| Sortino 0.00 \| Calmar 0.0 Vol nan% \| MDD 0.0% Months 1M (0%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

MACD × RSI

	RSI pos	RSI neg	MACD only
MACD pos	CAGR 5.6% \| Win 55% Sharpe 0.50 \| Sortino 0.83 \| Calmar 0.2 Vol 12% \| MDD -23.5% Months 189M (76%)	CAGR 15.5% \| Win 75% Sharpe 0.80 \| Sortino 0.98 \| Calmar 1.2 Vol 21% \| MDD -12.4% Months 12M (5%)	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)
MACD neg	CAGR 11.5% \| Win 65% Sharpe 1.13 \| Sortino 1.41 \| Calmar 1.4 Vol 10% \| MDD -8.1% Months 23M (9%)	CAGR 17.0% \| Win 62% Sharpe 1.12 \| Sortino 1.52 \| Calmar 1.2 Vol 15% \| MDD -14.1% Months 24M (10%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)
RSI only	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)

MACD × MACDhist

	MACDhist pos	MACDhist neg	MACD only
MACD pos	CAGR 7.8% \| Win 55% Sharpe 0.65 \| Sortino 1.28 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 89M (36%)	CAGR 4.9% \| Win 57% Sharpe 0.42 \| Sortino 0.59 \| Calmar 0.2 Vol 14% \| MDD -23.4% Months 112M (45%)	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)
MACD neg	CAGR 27.1% \| Win 67% Sharpe 2.28 \| Sortino 267.60 \| Calmar 18.4 Vol 11% \| MDD -1.5% Months 6M (2%)	CAGR 12.5% \| Win 63% Sharpe 0.97 \| Sortino 1.25 \| Calmar 0.6 Vol 13% \| MDD -19.9% Months 41M (16%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)

MACD × RSIhist

	RSIhist pos	RSIhist neg	MACD only
MACD pos	CAGR 0.5% \| Win 46% Sharpe 0.10 \| Sortino 0.19 \| Calmar 0.0 Vol 12% \| MDD -36.2% Months 92M (37%)	CAGR 11.2% \| Win 65% Sharpe 0.83 \| Sortino 1.13 \| Calmar 0.4 Vol 14% \| MDD -30.3% Months 109M (44%)	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)
MACD neg	CAGR 14.4% \| Win 61% Sharpe 1.56 \| Sortino 2.23 \| Calmar 2.1 Vol 9% \| MDD -6.7% Months 28M (11%)	CAGR 14.1% \| Win 68% Sharpe 0.85 \| Sortino 1.36 \| Calmar 1.0 Vol 17% \| MDD -14.1% Months 19M (8%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

MACD × LWTI

	LWTI pos	LWTI neg	MACD only
MACD pos	CAGR 7.3% \| Win 57% Sharpe 0.62 \| Sortino 1.03 \| Calmar 0.4 Vol 13% \| MDD -20.5% Months 195M (79%)	CAGR -25.5% \| Win 33% Sharpe -1.13 \| Sortino -1.64 \| Calmar -1.2 Vol 24% \| MDD -21.3% Months 6M (2%)	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)
MACD neg	CAGR 15.8% \| Win 69% Sharpe 1.52 \| Sortino 2.06 \| Calmar 2.4 Vol 10% \| MDD -6.7% Months 32M (13%)	CAGR 11.0% \| Win 53% Sharpe 0.68 \| Sortino 1.03 \| Calmar 0.9 Vol 18% \| MDD -12.9% Months 15M (6%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

RSI × MACDhist

	MACDhist pos	MACDhist neg	RSI only
RSI pos	CAGR 8.8% \| Win 55% Sharpe 0.73 \| Sortino 1.44 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 92M (37%)	CAGR 4.3% \| Win 57% Sharpe 0.41 \| Sortino 0.59 \| Calmar 0.2 Vol 12% \| MDD -18.5% Months 120M (48%)	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)
RSI neg	CAGR 12.1% \| Win 67% Sharpe 1.54 \| Sortino 0.00 \| Calmar 0.0 Vol 8% \| MDD 0.0% Months 3M (1%)	CAGR 16.9% \| Win 67% Sharpe 0.98 \| Sortino 1.22 \| Calmar 0.7 Vol 18% \| MDD -24.8% Months 33M (13%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)

RSI × RSIhist

	RSIhist pos	RSIhist neg	RSI only
RSI pos	CAGR 2.6% \| Win 49% Sharpe 0.28 \| Sortino 0.49 \| Calmar 0.1 Vol 12% \| MDD -33.9% Months 111M (45%)	CAGR 10.3% \| Win 64% Sharpe 0.83 \| Sortino 1.22 \| Calmar 0.4 Vol 13% \| MDD -25.8% Months 101M (41%)	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)
RSI neg	CAGR 16.8% \| Win 56% Sharpe 2.11 \| Sortino 8.08 \| Calmar 11.7 Vol 8% \| MDD -1.4% Months 9M (4%)	CAGR 16.4% \| Win 70% Sharpe 0.89 \| Sortino 1.24 \| Calmar 0.7 Vol 19% \| MDD -24.8% Months 27M (11%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

RSI × LWTI

	LWTI pos	LWTI neg	RSI only
RSI pos	CAGR 6.3% \| Win 56% Sharpe 0.57 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -18.8% Months 207M (84%)	CAGR 1.6% \| Win 40% Sharpe 0.16 \| Sortino 0.49 \| Calmar 0.3 Vol 19% \| MDD -5.8% Months 5M (2%)	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)
RSI neg	CAGR 33.5% \| Win 80% Sharpe 2.36 \| Sortino 2.82 \| Calmar 4.6 Vol 13% \| MDD -7.3% Months 20M (8%)	CAGR -1.7% \| Win 50% Sharpe 0.01 \| Sortino 0.02 \| Calmar -0.1 Vol 20% \| MDD -24.8% Months 16M (6%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

MACDhist × RSIhist

	RSIhist pos	RSIhist neg	MACDhist only
MACDhist pos	CAGR 6.6% \| Win 52% Sharpe 0.60 \| Sortino 1.39 \| Calmar 0.3 Vol 12% \| MDD -21.5% Months 69M (28%)	CAGR 15.3% \| Win 65% Sharpe 1.06 \| Sortino 1.52 \| Calmar 1.7 Vol 14% \| MDD -8.8% Months 26M (10%)	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)
MACDhist neg	CAGR -0.3% \| Win 45% Sharpe 0.03 \| Sortino 0.03 \| Calmar -0.0 Vol 11% \| MDD -27.5% Months 51M (21%)	CAGR 10.7% \| Win 66% Sharpe 0.78 \| Sortino 1.06 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 102M (41%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)
RSIhist only	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)

MACDhist × LWTI

	LWTI pos	LWTI neg	MACDhist only
MACDhist pos	CAGR 9.3% \| Win 57% Sharpe 0.78 \| Sortino 1.49 \| Calmar 0.6 Vol 12% \| MDD -16.2% Months 91M (37%)	CAGR 0.7% \| Win 25% Sharpe 0.11 \| Sortino 0.33 \| Calmar 0.1 Vol 19% \| MDD -5.8% Months 4M (2%)	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)
MACDhist neg	CAGR 7.9% \| Win 60% Sharpe 0.68 \| Sortino 1.00 \| Calmar 0.6 Vol 12% \| MDD -13.1% Months 136M (55%)	CAGR -1.3% \| Win 53% Sharpe 0.03 \| Sortino 0.05 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 17M (7%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

RSIhist × LWTI

	LWTI pos	LWTI neg	RSIhist only
RSIhist pos	CAGR 3.4% \| Win 50% Sharpe 0.34 \| Sortino 0.60 \| Calmar 0.1 Vol 12% \| MDD -32.3% Months 110M (44%)	CAGR 6.1% \| Win 40% Sharpe 0.64 \| Sortino 1.17 \| Calmar 1.1 Vol 10% \| MDD -5.8% Months 10M (4%)	CAGR 3.6% \| Win 49% Sharpe 0.37 \| Sortino 0.64 \| Calmar 0.1 Vol 11% \| MDD -34.6% Months 120M (48%)
RSIhist neg	CAGR 13.5% \| Win 67% Sharpe 1.05 \| Sortino 1.52 \| Calmar 0.8 Vol 13% \| MDD -17.9% Months 117M (47%)	CAGR -6.9% \| Win 55% Sharpe -0.16 \| Sortino -0.40 \| Calmar -0.2 Vol 26% \| MDD -28.2% Months 11M (4%)	CAGR 11.6% \| Win 66% Sharpe 0.84 \| Sortino 1.17 \| Calmar 0.3 Vol 14% \| MDD -34.2% Months 128M (52%)
LWTI only	CAGR 8.5% \| Win 59% Sharpe 0.72 \| Sortino 1.17 \| Calmar 0.4 Vol 12% \| MDD -20.5% Months 227M (92%)	CAGR -0.9% \| Win 48% Sharpe 0.05 \| Sortino 0.07 \| Calmar -0.0 Vol 20% \| MDD -28.2% Months 21M (8%)

	SLmean pos	SLmean neg	MRmean only
MRmean pos	CAGR 2.8% \| Win 53% Sharpe 0.30 \| Sortino 0.48 \| Calmar 0.1 Vol 11% \| MDD -31.2% Months 152M (61%)	CAGR 12.6% \| Win 58% Sharpe 0.88 \| Sortino 1.53 \| Calmar 1.2 Vol 15% \| MDD -10.5% Months 26M (10%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 37.7% \| Win 80% Sharpe 3.69 \| Sortino 45.24 \| Calmar 24.2 Vol 9% \| MDD -1.6% Months 10M (4%)	CAGR 13.8% \| Win 67% Sharpe 0.89 \| Sortino 1.19 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 60M (24%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
SLmean only	CAGR 4.7% \| Win 54% Sharpe 0.46 \| Sortino 0.74 \| Calmar 0.2 Vol 11% \| MDD -25.7% Months 162M (65%)	CAGR 13.5% \| Win 64% Sharpe 0.89 \| Sortino 1.27 \| Calmar 0.5 Vol 16% \| MDD -28.2% Months 86M (35%)

	RSmean pos	RSmean neg	MRmean only
MRmean pos	CAGR 4.0% \| Win 52% Sharpe 0.39 \| Sortino 0.68 \| Calmar 0.2 Vol 12% \| MDD -26.1% Months 167M (67%)	CAGR 7.4% \| Win 73% Sharpe 0.56 \| Sortino 0.48 \| Calmar 0.7 Vol 14% \| MDD -10.0% Months 11M (4%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 23.2% \| Win 74% Sharpe 1.31 \| Sortino 1.73 \| Calmar 0.8 Vol 17% \| MDD -28.2% Months 49M (20%)	CAGR 3.5% \| Win 57% Sharpe 0.41 \| Sortino 0.53 \| Calmar 0.4 Vol 10% \| MDD -9.1% Months 21M (8%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
RSmean only	CAGR 8.1% \| Win 57% Sharpe 0.65 \| Sortino 1.04 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 216M (87%)	CAGR 4.8% \| Win 62% Sharpe 0.48 \| Sortino 0.52 \| Calmar 0.5 Vol 11% \| MDD -10.0% Months 32M (13%)

	MACD pos	MACD neg	MRmean only
MRmean pos	CAGR 3.0% \| Win 52% Sharpe 0.30 \| Sortino 0.51 \| Calmar 0.1 Vol 12% \| MDD -29.1% Months 155M (62%)	CAGR 12.4% \| Win 61% Sharpe 1.32 \| Sortino 1.79 \| Calmar 1.8 Vol 9% \| MDD -7.0% Months 23M (9%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 17.4% \| Win 70% Sharpe 1.12 \| Sortino 1.40 \| Calmar 1.1 Vol 16% \| MDD -16.4% Months 46M (18%)	CAGR 16.1% \| Win 67% Sharpe 1.04 \| Sortino 1.44 \| Calmar 1.1 Vol 16% \| MDD -14.1% Months 24M (10%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
MACD only	CAGR 6.2% \| Win 56% Sharpe 0.52 \| Sortino 0.82 \| Calmar 0.2 Vol 13% \| MDD -25.3% Months 201M (81%)	CAGR 14.3% \| Win 64% Sharpe 1.11 \| Sortino 1.48 \| Calmar 0.7 Vol 13% \| MDD -19.9% Months 47M (19%)

	RSI pos	RSI neg	MRmean only
MRmean pos	CAGR 4.1% \| Win 54% Sharpe 0.39 \| Sortino 0.65 \| Calmar 0.2 Vol 12% \| MDD -26.5% Months 171M (69%)	CAGR 6.5% \| Win 43% Sharpe 1.11 \| Sortino 3.28 \| Calmar 4.5 Vol 6% \| MDD -1.4% Months 7M (3%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 15.5% \| Win 66% Sharpe 1.18 \| Sortino 1.73 \| Calmar 1.8 Vol 13% \| MDD -8.8% Months 41M (16%)	CAGR 19.1% \| Win 72% Sharpe 1.04 \| Sortino 1.40 \| Calmar 0.8 Vol 19% \| MDD -24.8% Months 29M (12%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
RSI only	CAGR 6.2% \| Win 56% Sharpe 0.55 \| Sortino 0.91 \| Calmar 0.3 Vol 12% \| MDD -20.7% Months 212M (86%)	CAGR 16.5% \| Win 67% Sharpe 0.99 \| Sortino 1.21 \| Calmar 0.7 Vol 17% \| MDD -24.8% Months 36M (14%)

	MACDhist pos	MACDhist neg	MRmean only
MRmean pos	CAGR 7.6% \| Win 54% Sharpe 0.68 \| Sortino 1.47 \| Calmar 0.4 Vol 12% \| MDD -19.6% Months 90M (36%)	CAGR 0.8% \| Win 52% Sharpe 0.12 \| Sortino 0.17 \| Calmar 0.0 Vol 12% \| MDD -32.0% Months 88M (36%)	CAGR 4.2% \| Win 53% Sharpe 0.41 \| Sortino 0.66 \| Calmar 0.2 Vol 12% \| MDD -27.3% Months 178M (72%)
MRmean neg	CAGR 34.5% \| Win 80% Sharpe 1.40 \| Sortino 0.00 \| Calmar 3.9 Vol 23% \| MDD -8.8% Months 5M (2%)	CAGR 15.7% \| Win 68% Sharpe 1.06 \| Sortino 1.39 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 65M (26%)	CAGR 17.0% \| Win 69% Sharpe 1.10 \| Sortino 1.45 \| Calmar 0.6 Vol 15% \| MDD -28.2% Months 70M (28%)
MACDhist only	CAGR 8.9% \| Win 56% Sharpe 0.74 \| Sortino 1.46 \| Calmar 0.4 Vol 13% \| MDD -20.9% Months 95M (38%)	CAGR 6.9% \| Win 59% Sharpe 0.57 \| Sortino 0.78 \| Calmar 0.2 Vol 13% \| MDD -34.2% Months 153M (62%)