PBJ - Invesco Food & Beverage ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

55.7%

Best CAGR

73

Total Months

9.3%

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 3.9 37.7 80.0 3.7 45.5 24.1 8.9 -1.6
pair SLmean MRmean neg-pos 10 3.9 37.7 80.0 3.7 45.5 24.1 8.9 -1.6
pair RSI LWTI neg-pos 21 8.2 36.5 81.0 2.5 3.0 5.0 12.8 -7.3
pair LWTI RSI neg-pos 21 8.2 36.5 81.0 2.5 3.0 5.0 12.8 -7.3
pair LWTI RSmean neg-neg 1 0.4 31.1 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.4 31.1 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSI pos-neg 13 5.1 28.3 69.2 3.1 12.9 19.7 8.2 -1.4
pair RSI SLmean pos-neg 13 5.1 28.3 69.2 3.1 12.9 19.7 8.2 -1.4
pair MACD MACDhist neg-pos 6 2.3 27.1 66.7 2.3 263.4 18.3 10.9 -1.5
pair MACDhist MACD neg-pos 6 2.3 27.1 66.7 2.3 263.4 18.3 10.9 -1.5
pair MRmean RSIhist neg-pos 5 2.0 24.2 60.0 2.7 34.0 40.9 8.1 -0.6
pair RSIhist MRmean neg-pos 5 2.0 24.2 60.0 2.7 34.0 40.9 8.1 -0.6
pair MRmean RSI neg-neg 30 11.7 21.4 73.3 1.1 1.5 0.9 18.5 -24.8
pair RSI MRmean neg-neg 30 11.7 21.4 73.3 1.1 1.5 0.9 18.5 -24.8
pair MACDhist MRmean neg-pos 7 2.7 21.3 57.1 1.1 1.3 2.4 19.6 -8.8
pair MRmean MACDhist neg-pos 7 2.7 21.3 57.1 1.1 1.3 2.4 19.6 -8.8
pair MRmean RSmean neg-pos 53 20.7 21.1 69.8 1.2 1.6 0.8 17.1 -28.2
pair RSmean MRmean neg-pos 53 20.7 21.1 69.8 1.2 1.6 0.8 17.1 -28.2
pair RSI MACD pos-neg 13 5.1 21.1 76.9 1.0 1.3 1.7 20.5 -12.4
pair MACD RSI pos-neg 13 5.1 21.1 76.9 1.0 1.3 1.7 20.5 -12.4
pair RSmean RSI pos-neg 30 11.7 19.6 66.7 1.1 1.4 0.8 18.7 -24.8
pair RSI RSmean pos-neg 30 11.7 19.6 66.7 1.1 1.4 0.8 18.7 -24.8
pair MACD SLmean pos-neg 27 10.5 19.6 66.7 1.9 2.7 2.9 9.7 -6.7
pair SLmean MACD pos-neg 27 10.5 19.6 66.7 1.9 2.7 2.9 9.7 -6.7
pair MRmean LWTI neg-pos 61 23.8 19.2 67.2 1.4 2.0 1.2 13.0 -15.4
pair LWTI MRmean neg-pos 61 23.8 19.2 67.2 1.4 2.0 1.2 13.0 -15.4
pair RSI MACDhist neg-neg 34 13.3 19.0 67.6 1.1 1.4 0.8 17.5 -24.8
pair MACDhist RSI neg-neg 34 13.3 19.0 67.6 1.1 1.4 0.8 17.5 -24.8
pair RSIhist RSI neg-neg 28 10.9 19.0 71.4 1.0 1.4 0.8 19.1 -24.8
pair RSI RSIhist neg-neg 28 10.9 19.0 71.4 1.0 1.4 0.8 19.1 -24.8
single RSI RSI neg-neg 37 14.5 18.4 67.6 1.1 1.3 0.7 16.9 -24.8
pair MACD RSmean pos-neg 34 13.3 17.5 64.7 1.2 1.7 0.9 14.3 -19.9
pair RSmean MACD pos-neg 34 13.3 17.5 64.7 1.2 1.7 0.9 14.3 -19.9
pair SLmean LWTI neg-pos 81 31.6 17.1 65.4 1.2 1.9 1.1 13.7 -15.4
pair LWTI SLmean neg-pos 81 31.6 17.1 65.4 1.2 1.9 1.1 13.7 -15.4
pair RSI MACD neg-neg 24 9.4 17.0 62.5 1.1 1.5 1.2 15.1 -14.1
pair MACD RSI neg-neg 24 9.4 17.0 62.5 1.1 1.5 1.2 15.1 -14.1
pair RSIhist RSI neg-pos 9 3.5 16.8 55.6 2.1 8.0 11.6 7.5 -1.4
pair RSI RSIhist neg-pos 9 3.5 16.8 55.6 2.1 8.0 11.6 7.5 -1.4
pair MACDhist SLmean neg-pos 16 6.2 16.2 56.2 1.0 1.4 1.6 17.1 -10.1
pair SLmean LWTI pos-neg 11 4.3 16.2 54.5 1.4 2.5 3.6 10.8 -4.5
pair LWTI SLmean pos-neg 11 4.3 16.2 54.5 1.4 2.5 3.6 10.8 -4.5
pair SLmean MACDhist neg-pos 16 6.2 16.2 56.2 1.0 1.4 1.6 17.1 -10.1
pair MACD MRmean neg-neg 24 9.4 16.1 66.7 1.0 1.4 1.1 15.6 -14.1
pair MRmean MACD neg-neg 24 9.4 16.1 66.7 1.0 1.4 1.1 15.6 -14.1
pair LWTI MACD neg-pos 32 12.5 15.8 68.8 1.5 2.1 2.4 10.1 -6.7
pair MACD LWTI neg-pos 32 12.5 15.8 68.8 1.5 2.1 2.4 10.1 -6.7
single MRmean MRmean neg-neg 74 28.9 15.8 66.2 1.0 1.4 0.6 15.5 -28.2
pair MACD MRmean neg-pos 50 19.5 15.7 66.0 1.0 1.3 1.0 15.5 -16.4
pair MRmean MACD neg-pos 50 19.5 15.7 66.0 1.0 1.3 1.0 15.5 -16.4
pair RSmean SLmean neg-pos 69 27.0 15.5 63.8 0.9 1.4 0.6 17.1 -28.2
pair SLmean RSmean neg-pos 69 27.0 15.5 63.8 0.9 1.4 0.6 17.1 -28.2
pair MRmean RSIhist neg-neg 69 27.0 15.3 66.7 1.0 1.4 0.5 15.9 -28.2
pair RSIhist MRmean neg-neg 69 27.0 15.3 66.7 1.0 1.4 0.5 15.9 -28.2
pair MACDhist MRmean neg-neg 67 26.2 15.3 67.2 1.0 1.4 0.5 15.1 -28.2
pair MRmean MACDhist neg-neg 67 26.2 15.3 67.2 1.0 1.4 0.5 15.1 -28.2
pair MACD RSIhist neg-pos 28 10.9 14.4 60.7 1.6 2.2 2.1 8.9 -6.7
pair RSIhist MACD neg-pos 28 10.9 14.4 60.7 1.6 2.2 2.1 8.9 -6.7
pair MACD SLmean neg-pos 71 27.7 14.3 63.4 0.9 1.3 0.7 15.5 -19.2
pair SLmean MACD neg-pos 71 27.7 14.3 63.4 0.9 1.3 0.7 15.5 -19.2
single MACD MACD neg-neg 47 18.4 14.3 63.8 1.1 1.5 0.7 12.8 -19.9
pair RSIhist MACD neg-neg 19 7.4 14.1 68.4 0.8 1.4 1.0 17.2 -14.1
pair MACD RSIhist neg-neg 19 7.4 14.1 68.4 0.8 1.4 1.0 17.2 -14.1
pair RSIhist MACDhist pos-neg 29 11.3 13.7 62.1 1.0 1.4 1.6 13.7 -8.8
pair MACDhist RSIhist pos-neg 29 11.3 13.7 62.1 1.0 1.4 1.6 13.7 -8.8
pair RSmean RSI neg-neg 7 2.7 13.5 71.4 2.7 20.3 15.0 4.8 -0.9
pair RSI RSmean neg-neg 7 2.7 13.5 71.4 2.7 20.3 15.0 4.8 -0.9
pair RSI SLmean neg-neg 24 9.4 13.4 66.7 0.7 1.1 0.5 20.2 -24.8
pair SLmean RSI neg-neg 24 9.4 13.4 66.7 0.7 1.1 0.5 20.2 -24.8
pair RSIhist SLmean neg-neg 86 33.6 13.0 64.0 0.8 1.2 0.5 15.9 -28.2
pair RSIhist LWTI neg-pos 122 47.7 13.0 65.6 1.0 1.5 0.7 12.9 -17.9
pair SLmean RSIhist neg-neg 86 33.6 13.0 64.0 0.8 1.2 0.5 15.9 -28.2
pair LWTI RSIhist neg-pos 122 47.7 13.0 65.6 1.0 1.5 0.7 12.9 -17.9
single SLmean SLmean neg-neg 91 35.5 12.8 62.6 0.8 1.2 0.5 15.6 -28.2
pair MRmean SLmean neg-neg 64 25.0 12.8 64.1 0.8 1.1 0.5 16.2 -28.2
pair SLmean MRmean neg-neg 64 25.0 12.8 64.1 0.8 1.1 0.5 16.2 -28.2
pair SLmean MRmean pos-neg 27 10.5 12.7 59.3 0.9 1.5 1.2 14.4 -10.5
pair MRmean SLmean pos-neg 27 10.5 12.7 59.3 0.9 1.5 1.2 14.4 -10.5
pair MACD MACDhist neg-neg 41 16.0 12.5 63.4 1.0 1.2 0.6 13.1 -19.9
pair MACDhist MACD neg-neg 41 16.0 12.5 63.4 1.0 1.2 0.6 13.1 -19.9
pair RSI SLmean neg-pos 67 26.2 12.5 61.2 0.9 1.5 0.9 13.7 -13.4
pair SLmean RSI neg-pos 67 26.2 12.5 61.2 0.9 1.5 0.9 13.7 -13.4
pair MRmean MACD pos-neg 23 9.0 12.4 60.9 1.3 1.8 1.8 9.2 -7.0
pair MACD MRmean pos-neg 23 9.0 12.4 60.9 1.3 1.8 1.8 9.2 -7.0
pair RSI MRmean neg-pos 44 17.2 12.2 61.4 0.9 1.4 0.9 13.1 -13.3
pair MRmean RSI neg-pos 44 17.2 12.2 61.4 0.9 1.4 0.9 13.1 -13.3
pair RSI MACDhist neg-pos 3 1.2 12.1 66.7 1.5 0.0 0.0 7.6 0.0
pair MACDhist RSI neg-pos 3 1.2 12.1 66.7 1.5 0.0 0.0 7.6 0.0
pair SLmean MACDhist neg-neg 75 29.3 12.0 64.0 0.8 1.2 0.4 15.4 -28.2
pair MACDhist SLmean neg-neg 75 29.3 12.0 64.0 0.8 1.2 0.4 15.4 -28.2
pair RSIhist RSmean pos-neg 107 41.8 11.8 64.5 0.8 1.1 0.3 15.3 -34.2
pair RSmean RSIhist pos-neg 107 41.8 11.8 64.5 0.8 1.1 0.3 15.3 -34.2
pair MACD RSI neg-pos 23 9.0 11.5 65.2 1.1 1.4 1.4 10.1 -8.1
pair RSI MACD neg-pos 23 9.0 11.5 65.2 1.1 1.4 1.4 10.1 -8.1
single RSIhist RSIhist neg-neg 133 52.0 11.2 64.7 0.8 1.1 0.3 14.4 -34.2
pair LWTI MACD neg-neg 15 5.9 11.0 53.3 0.7 1.0 0.9 17.6 -12.9
pair MACD LWTI neg-neg 15 5.9 11.0 53.3 0.7 1.0 0.9 17.6 -12.9
pair MACD RSIhist pos-neg 114 44.5 10.7 64.0 0.8 1.1 0.3 13.9 -30.3
pair RSIhist MACD pos-neg 114 44.5 10.7 64.0 0.8 1.1 0.3 13.9 -30.3
pair MACDhist RSIhist neg-neg 104 40.6 10.5 65.4 0.8 1.1 0.3 14.6 -34.2
pair RSIhist MACDhist neg-neg 104 40.6 10.5 65.4 0.8 1.1 0.3 14.6 -34.2
pair RSI RSIhist pos-neg 105 41.0 9.2 62.9 0.8 1.1 0.4 12.9 -25.8
pair RSIhist RSI pos-neg 105 41.0 9.2 62.9 0.8 1.1 0.4 12.9 -25.8
pair RSIhist RSmean neg-neg 26 10.2 8.7 65.4 0.9 1.3 0.9 10.0 -9.5
pair RSmean RSIhist neg-neg 26 10.2 8.7 65.4 0.9 1.3 0.9 10.0 -9.5
pair LWTI RSmean pos-pos 204 79.7 8.5 57.4 0.7 1.2 0.4 12.6 -20.5
pair RSmean LWTI pos-pos 204 79.7 8.5 57.4 0.7 1.2 0.4 12.6 -20.5
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
pair RSIhist SLmean pos-neg 47 18.4 7.9 66.0 0.8 0.9 0.7 11.0 -12.2
pair MACDhist LWTI pos-pos 97 37.9 7.9 55.7 0.7 1.3 0.4 12.3 -22.1
pair SLmean RSIhist pos-neg 47 18.4 7.9 66.0 0.8 0.9 0.7 11.0 -12.2
pair LWTI MACDhist neg-pos 138 53.9 7.9 59.4 0.7 1.0 0.6 12.5 -13.1
pair MACDhist LWTI neg-pos 138 53.9 7.9 59.4 0.7 1.0 0.6 12.5 -13.1
single LWTI LWTI pos-pos 235 91.8 7.9 57.9 0.7 1.1 0.4 12.4 -20.5
pair LWTI MACDhist pos-pos 97 37.9 7.9 55.7 0.7 1.3 0.4 12.3 -22.1
pair MACDhist RSmean pos-neg 124 48.4 7.7 58.1 0.6 0.9 0.2 14.0 -34.2
pair RSmean MACDhist pos-neg 124 48.4 7.7 58.1 0.6 0.9 0.2 14.0 -34.2
single MACDhist MACDhist pos-pos 101 39.5 7.6 54.5 0.7 1.3 0.3 12.5 -22.1
pair MACDhist RSI pos-pos 98 38.3 7.4 54.1 0.6 1.2 0.3 12.6 -22.1
pair MACD SLmean neg-neg 20 7.8 7.4 60.0 0.5 0.8 0.5 16.2 -14.1
pair SLmean MACD neg-neg 20 7.8 7.4 60.0 0.5 0.8 0.5 16.2 -14.1
single RSmean RSmean pos-pos 224 87.5 7.4 56.2 0.6 1.0 0.2 13.3 -34.2
pair RSI MACDhist pos-pos 98 38.3 7.4 54.1 0.6 1.2 0.3 12.6 -22.1
pair MRmean RSmean pos-neg 11 4.3 7.3 72.7 0.6 0.5 0.7 14.4 -10.0
pair RSmean MRmean pos-neg 11 4.3 7.3 72.7 0.6 0.5 0.7 14.4 -10.0
pair MACDhist RSmean pos-pos 100 39.1 7.2 54.0 0.6 1.2 0.3 12.5 -23.8
pair RSmean MACDhist pos-pos 100 39.1 7.2 54.0 0.6 1.2 0.3 12.5 -23.8
pair benchmark___benchmark_ benchmark-benchmark 256 100.0 7.1 57.0 0.6 0.9 0.2 13.1 -34.2
pair benchmark___benchmark_ benchmark-benchmark 256 100.0 7.1 57.0 0.6 0.9 0.2 13.1 -34.2
pair MRmean RSIhist pos-neg 64 25.0 6.9 62.5 0.6 0.8 0.3 12.5 -27.2
pair RSIhist MRmean pos-neg 64 25.0 6.9 62.5 0.6 0.8 0.3 12.5 -27.2
single MACDhist MACDhist neg-neg 155 60.5 6.8 58.7 0.6 0.8 0.2 13.5 -34.2
pair LWTI MACD pos-pos 203 79.3 6.7 56.2 0.6 0.9 0.3 12.7 -20.5
pair MACD LWTI pos-pos 203 79.3 6.7 56.2 0.6 0.9 0.3 12.7 -20.5
pair MACDhist MRmean pos-pos 94 36.7 6.6 54.3 0.6 1.3 0.3 11.9 -24.4
pair MRmean MACDhist pos-pos 94 36.7 6.6 54.3 0.6 1.3 0.3 11.9 -24.4
pair MACD MACDhist pos-pos 95 37.1 6.5 53.7 0.6 1.1 0.3 12.6 -22.1
pair MACDhist MACD pos-pos 95 37.1 6.5 53.7 0.6 1.1 0.3 12.6 -22.1
pair MRmean RSI pos-neg 7 2.7 6.5 42.9 1.1 3.2 4.5 5.8 -1.4
pair RSI MRmean pos-neg 7 2.7 6.5 42.9 1.1 3.2 4.5 5.8 -1.4
pair MACD RSmean neg-neg 13 5.1 6.2 61.5 0.9 0.9 1.2 7.4 -5.2
pair RSmean MACD neg-neg 13 5.1 6.2 61.5 0.9 0.9 1.2 7.4 -5.2
pair RSIhist LWTI pos-neg 10 3.9 6.1 40.0 0.6 1.2 1.1 10.1 -5.8
pair LWTI RSIhist pos-neg 10 3.9 6.1 40.0 0.6 1.2 1.1 10.1 -5.8
pair MACDhist SLmean pos-pos 85 33.2 6.0 54.1 0.6 1.3 0.3 11.5 -22.9
pair SLmean MACDhist pos-pos 85 33.2 6.0 54.1 0.6 1.3 0.3 11.5 -22.9
pair RSmean MACD pos-pos 190 74.2 5.7 54.7 0.5 0.8 0.2 13.2 -25.3
pair MACD RSmean pos-pos 190 74.2 5.7 54.7 0.5 0.8 0.2 13.2 -25.3
pair RSI RSmean pos-pos 194 75.8 5.7 54.6 0.5 0.9 0.2 12.3 -24.8
pair RSmean RSI pos-pos 194 75.8 5.7 54.6 0.5 0.9 0.2 12.3 -24.8
single MACD MACD pos-pos 209 81.6 5.6 55.5 0.5 0.8 0.2 13.2 -25.3
pair LWTI RSI pos-pos 214 83.6 5.4 55.6 0.5 0.8 0.3 12.2 -18.8
pair RSI LWTI pos-pos 214 83.6 5.4 55.6 0.5 0.8 0.3 12.2 -18.8
single RSI RSI pos-pos 219 85.5 5.3 55.3 0.5 0.8 0.3 12.3 -20.7
pair MACDhist RSIhist pos-pos 72 28.1 5.2 51.4 0.5 1.1 0.2 12.0 -21.5
pair RSIhist MACDhist pos-pos 72 28.1 5.2 51.4 0.5 1.1 0.2 12.0 -21.5
pair SLmean RSmean pos-neg 10 3.9 5.1 70.0 0.4 0.4 0.5 15.1 -10.0
pair RSmean SLmean pos-neg 10 3.9 5.1 70.0 0.4 0.4 0.5 15.1 -10.0
single RSmean RSmean neg-neg 32 12.5 4.8 62.5 0.5 0.5 0.5 11.3 -10.0
pair MACDhist MACD pos-neg 114 44.5 4.8 57.0 0.4 0.6 0.2 13.7 -23.4
pair MACD MACDhist pos-neg 114 44.5 4.8 57.0 0.4 0.6 0.2 13.7 -23.4
pair SLmean RSmean neg-neg 22 8.6 4.7 59.1 0.5 0.7 0.5 9.5 -9.1
pair RSmean SLmean neg-neg 22 8.6 4.7 59.1 0.5 0.7 0.5 9.5 -9.1
pair RSI MACD pos-pos 196 76.6 4.6 54.1 0.4 0.7 0.2 12.6 -23.5
pair MACD RSI pos-pos 196 76.6 4.6 54.1 0.4 0.7 0.2 12.6 -23.5
pair MRmean LWTI pos-pos 174 68.0 4.2 54.6 0.4 0.7 0.2 12.0 -24.8
pair LWTI MRmean pos-pos 174 68.0 4.2 54.6 0.4 0.7 0.2 12.0 -24.8
pair RSmean SLmean pos-pos 155 60.5 4.1 52.9 0.4 0.7 0.2 11.2 -25.6
pair SLmean RSmean pos-pos 155 60.5 4.1 52.9 0.4 0.7 0.2 11.2 -25.6
single SLmean SLmean pos-pos 165 64.5 4.1 53.9 0.4 0.7 0.2 11.4 -25.7
pair RSmean LWTI neg-pos 31 12.1 4.1 61.3 0.4 0.5 0.4 11.4 -10.0
pair LWTI RSmean neg-pos 31 12.1 4.1 61.3 0.4 0.5 0.4 11.4 -10.0
pair MACD RSmean neg-pos 19 7.4 3.9 63.2 0.3 0.4 0.4 13.5 -10.0
pair RSmean MACD neg-pos 19 7.4 3.9 63.2 0.3 0.4 0.4 13.5 -10.0
single MRmean MRmean pos-pos 182 71.1 3.8 53.3 0.4 0.6 0.1 11.9 -27.3
pair RSI MRmean pos-pos 175 68.4 3.7 53.7 0.4 0.6 0.1 12.1 -26.5
pair MRmean RSI pos-pos 175 68.4 3.7 53.7 0.4 0.6 0.1 12.1 -26.5
pair RSIhist RSmean pos-pos 117 45.7 3.6 48.7 0.4 0.8 0.1 11.3 -28.6
pair RSmean RSIhist pos-pos 117 45.7 3.6 48.7 0.4 0.8 0.1 11.3 -28.6
pair RSI MACDhist pos-neg 121 47.3 3.6 56.2 0.3 0.5 0.2 12.1 -18.5
pair MACDhist RSI pos-neg 121 47.3 3.6 56.2 0.3 0.5 0.2 12.1 -18.5
pair MACDhist RSmean neg-neg 31 12.1 3.5 61.3 0.4 0.4 0.3 11.3 -11.6
pair RSmean MACDhist neg-neg 31 12.1 3.5 61.3 0.4 0.4 0.3 11.3 -11.6
pair RSmean MRmean pos-pos 171 66.8 3.5 52.0 0.3 0.6 0.1 11.8 -26.1
pair MRmean RSmean pos-pos 171 66.8 3.5 52.0 0.3 0.6 0.1 11.8 -26.1
pair RSmean MRmean neg-neg 21 8.2 3.5 57.1 0.4 0.5 0.4 9.6 -9.1
pair MRmean RSmean neg-neg 21 8.2 3.5 57.1 0.4 0.5 0.4 9.6 -9.1
pair SLmean LWTI pos-pos 154 60.2 3.3 53.9 0.3 0.6 0.1 11.5 -25.7
pair LWTI SLmean pos-pos 154 60.2 3.3 53.9 0.3 0.6 0.1 11.5 -25.7
single RSIhist RSIhist pos-pos 123 48.0 2.9 48.8 0.3 0.5 0.1 11.5 -34.6
pair RSIhist SLmean pos-pos 118 46.1 2.7 49.2 0.3 0.5 0.1 11.7 -33.7
pair SLmean RSIhist pos-pos 118 46.1 2.7 49.2 0.3 0.5 0.1 11.7 -33.7
pair RSIhist LWTI pos-pos 113 44.1 2.6 49.6 0.3 0.5 0.1 11.6 -32.3
pair MRmean MACD pos-pos 159 62.1 2.6 52.2 0.3 0.5 0.1 12.2 -29.2
pair MACD MRmean pos-pos 159 62.1 2.6 52.2 0.3 0.5 0.1 12.2 -29.2
pair LWTI RSIhist pos-pos 113 44.1 2.6 49.6 0.3 0.5 0.1 11.6 -32.3
pair RSmean RSI neg-pos 25 9.8 2.5 60.0 0.3 0.3 0.2 12.5 -10.0
pair RSI RSmean neg-pos 25 9.8 2.5 60.0 0.3 0.3 0.2 12.5 -10.0
pair SLmean MRmean pos-pos 155 60.5 2.3 52.3 0.2 0.4 0.1 11.4 -31.2
pair MRmean SLmean pos-pos 155 60.5 2.3 52.3 0.2 0.4 0.1 11.4 -31.2
pair RSI SLmean pos-pos 152 59.4 2.3 52.6 0.2 0.4 0.1 11.6 -29.4
pair SLmean RSI pos-pos 152 59.4 2.3 52.6 0.2 0.4 0.1 11.6 -29.4
pair MACDhist SLmean pos-neg 80 31.2 2.2 53.8 0.2 0.3 0.1 11.4 -23.9
pair SLmean MACDhist pos-neg 80 31.2 2.2 53.8 0.2 0.3 0.1 11.4 -23.9
pair RSIhist MRmean pos-pos 118 46.1 2.1 48.3 0.2 0.4 0.1 11.6 -34.6
pair MRmean RSIhist pos-pos 118 46.1 2.1 48.3 0.2 0.4 0.1 11.6 -34.6
pair RSIhist RSI pos-pos 114 44.5 1.9 48.2 0.2 0.4 0.1 11.7 -33.9
pair RSI RSIhist pos-pos 114 44.5 1.9 48.2 0.2 0.4 0.1 11.7 -33.9
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 5.1 1.3 61.5 0.2 0.4 0.0 24.4 -28.2
pair MRmean LWTI neg-neg 13 5.1 1.3 61.5 0.2 0.4 0.0 24.4 -28.2
pair SLmean MACD pos-pos 138 53.9 1.3 51.4 0.2 0.3 0.1 11.6 -29.2
pair MACD SLmean pos-pos 138 53.9 1.3 51.4 0.2 0.3 0.1 11.6 -29.2
pair MACDhist MRmean pos-neg 88 34.4 0.8 52.3 0.1 0.2 0.0 11.9 -32.0
pair MRmean MACDhist pos-neg 88 34.4 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 95 37.1 -0.3 45.3 0.0 0.1 -0.0 12.0 -36.3
pair MACDhist RSIhist neg-pos 51 19.9 -0.3 45.1 0.0 0.0 -0.0 10.8 -27.5
pair RSIhist MACDhist neg-pos 51 19.9 -0.3 45.1 0.0 0.0 -0.0 10.8 -27.5
pair MACD RSIhist pos-pos 95 37.1 -0.3 45.3 0.0 0.1 -0.0 12.0 -36.3
single LWTI LWTI neg-neg 21 8.2 -0.9 47.6 0.1 0.1 -0.0 19.6 -28.2
pair MACDhist LWTI neg-neg 17 6.6 -1.3 52.9 0.0 0.1 -0.1 20.3 -28.2
pair LWTI MACDhist neg-neg 17 6.6 -1.3 52.9 0.0 0.1 -0.1 20.3 -28.2
pair RSI LWTI neg-neg 16 6.2 -1.7 50.0 0.0 0.0 -0.1 20.4 -24.8
pair LWTI RSI neg-neg 16 6.2 -1.7 50.0 0.0 0.0 -0.1 20.4 -24.8
pair LWTI RSmean pos-neg 20 7.8 -2.3 45.0 -0.0 -0.0 -0.1 20.0 -28.2
pair RSmean LWTI pos-neg 20 7.8 -2.3 45.0 -0.0 -0.0 -0.1 20.0 -28.2
pair LWTI MRmean pos-neg 8 3.1 -4.4 25.0 -0.5 -0.8 -0.8 8.6 -5.8
pair MRmean LWTI pos-neg 8 3.1 -4.4 25.0 -0.5 -0.8 -0.8 8.6 -5.8
pair LWTI RSIhist neg-neg 11 4.3 -6.9 54.5 -0.2 -0.4 -0.2 25.9 -28.2
pair RSIhist LWTI neg-neg 11 4.3 -6.9 54.5 -0.2 -0.4 -0.2 25.9 -28.2
pair RSmean RSIhist neg-pos 6 2.3 -10.5 50.0 -0.6 -0.5 -1.1 16.2 -10.0
pair RSIhist RSmean neg-pos 6 2.3 -10.5 50.0 -0.6 -0.5 -1.1 16.2 -10.0
pair SLmean LWTI neg-neg 10 3.9 -16.9 40.0 -0.6 -1.2 -0.7 26.0 -24.8
pair LWTI SLmean neg-neg 10 3.9 -16.9 40.0 -0.6 -1.2 -0.7 26.0 -24.8
pair MACD LWTI pos-neg 6 2.3 -25.5 33.3 -1.1 -1.6 -1.2 23.7 -21.3
pair LWTI MACD pos-neg 6 2.3 -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 2.3% | Win 52%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.2%
Months 155M (60%)
CAGR 12.7% | Win 59%
Sharpe 0.91 | Sortino 1.54 | Calmar 1.2
Vol 14% | MDD -10.5%
Months 27M (10%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 37.7% | Win 80%
Sharpe 3.69 | Sortino 45.55 | Calmar 24.1
Vol 9% | MDD -1.6%
Months 10M (4%)
CAGR 12.8% | Win 64%
Sharpe 0.83 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 64M (25%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
SLmean
only
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 3.5% | Win 52%
Sharpe 0.35 | Sortino 0.62 | Calmar 0.1
Vol 12% | MDD -26.1%
Months 171M (67%)
CAGR 7.3% | Win 73%
Sharpe 0.56 | Sortino 0.48 | Calmar 0.7
Vol 14% | MDD -10.0%
Months 11M (4%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 21.1% | Win 70%
Sharpe 1.21 | Sortino 1.63 | Calmar 0.7
Vol 17% | MDD -28.2%
Months 53M (21%)
CAGR 3.5% | Win 57%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.4
Vol 10% | MDD -9.1%
Months 21M (8%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
RSmean
only
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
CAGR 4.8% | Win 62%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.5
Vol 11% | MDD -10.0%
Months 32M (12%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 2.6% | Win 52%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -29.2%
Months 159M (62%)
CAGR 12.4% | Win 61%
Sharpe 1.32 | Sortino 1.79 | Calmar 1.8
Vol 9% | MDD -7.0%
Months 23M (9%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 15.7% | Win 66%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 16% | MDD -16.4%
Months 50M (20%)
CAGR 16.1% | Win 67%
Sharpe 1.04 | Sortino 1.44 | Calmar 1.1
Vol 16% | MDD -14.1%
Months 24M (9%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
MACD
only
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
CAGR 14.3% | Win 64%
Sharpe 1.11 | Sortino 1.48 | Calmar 0.7
Vol 13% | MDD -19.9%
Months 47M (18%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 3.7% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 12% | MDD -26.5%
Months 175M (68%)
CAGR 6.5% | Win 43%
Sharpe 1.11 | Sortino 3.25 | Calmar 4.5
Vol 6% | MDD -1.4%
Months 7M (3%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 12.2% | Win 61%
Sharpe 0.95 | Sortino 1.40 | Calmar 0.9
Vol 13% | MDD -13.3%
Months 44M (17%)
CAGR 21.4% | Win 73%
Sharpe 1.15 | Sortino 1.54 | Calmar 0.9
Vol 18% | MDD -24.8%
Months 30M (12%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 6.6% | Win 54%
Sharpe 0.60 | Sortino 1.28 | Calmar 0.3
Vol 12% | MDD -24.4%
Months 94M (37%)
CAGR 0.8% | Win 52%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 12% | MDD -32.0%
Months 88M (34%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 21.3% | Win 57%
Sharpe 1.08 | Sortino 1.27 | Calmar 2.4
Vol 20% | MDD -8.8%
Months 7M (3%)
CAGR 15.3% | Win 67%
Sharpe 1.02 | Sortino 1.38 | Calmar 0.5
Vol 15% | MDD -28.2%
Months 67M (26%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
MACDhist
only
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 2.1% | Win 48%
Sharpe 0.23 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 118M (46%)
CAGR 6.9% | Win 62%
Sharpe 0.60 | Sortino 0.84 | Calmar 0.3
Vol 12% | MDD -27.2%
Months 64M (25%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 24.2% | Win 60%
Sharpe 2.74 | Sortino 33.95 | Calmar 40.9
Vol 8% | MDD -0.6%
Months 5M (2%)
CAGR 15.3% | Win 67%
Sharpe 0.98 | Sortino 1.35 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 69M (27%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 4.2% | Win 55%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.2
Vol 12% | MDD -24.8%
Months 174M (68%)
CAGR -4.4% | Win 25%
Sharpe -0.48 | Sortino -0.76 | Calmar -0.8
Vol 9% | MDD -5.8%
Months 8M (3%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 12% | MDD -27.3%
Months 182M (71%)
MRmean
neg
CAGR 19.2% | Win 67%
Sharpe 1.43 | Sortino 2.05 | Calmar 1.2
Vol 13% | MDD -15.4%
Months 61M (24%)
CAGR 1.3% | Win 62%
Sharpe 0.17 | Sortino 0.40 | Calmar 0.0
Vol 24% | MDD -28.2%
Months 13M (5%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.39 | Calmar 0.6
Vol 16% | MDD -28.2%
Months 74M (29%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 4.1% | Win 53%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -25.6%
Months 155M (60%)
CAGR 5.1% | Win 70%
Sharpe 0.40 | Sortino 0.36 | Calmar 0.5
Vol 15% | MDD -10.0%
Months 10M (4%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 15.5% | Win 64%
Sharpe 0.93 | Sortino 1.37 | Calmar 0.5
Vol 17% | MDD -28.2%
Months 69M (27%)
CAGR 4.7% | Win 59%
Sharpe 0.53 | Sortino 0.68 | Calmar 0.5
Vol 10% | MDD -9.1%
Months 22M (9%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
RSmean
only
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
CAGR 4.8% | Win 62%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.5
Vol 11% | MDD -10.0%
Months 32M (12%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 1.3% | Win 51%
Sharpe 0.17 | Sortino 0.29 | Calmar 0.0
Vol 12% | MDD -29.2%
Months 138M (54%)
CAGR 19.6% | Win 67%
Sharpe 1.91 | Sortino 2.73 | Calmar 2.9
Vol 10% | MDD -6.7%
Months 27M (10%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 14.3% | Win 63%
Sharpe 0.94 | Sortino 1.34 | Calmar 0.7
Vol 16% | MDD -19.2%
Months 71M (28%)
CAGR 7.4% | Win 60%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.5
Vol 16% | MDD -14.1%
Months 20M (8%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
MACD
only
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
CAGR 14.3% | Win 64%
Sharpe 1.11 | Sortino 1.48 | Calmar 0.7
Vol 13% | MDD -19.9%
Months 47M (18%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 2.3% | Win 53%
Sharpe 0.25 | Sortino 0.41 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 152M (59%)
CAGR 28.3% | Win 69%
Sharpe 3.12 | Sortino 12.87 | Calmar 19.7
Vol 8% | MDD -1.4%
Months 13M (5%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 12.5% | Win 61%
Sharpe 0.93 | Sortino 1.46 | Calmar 0.9
Vol 14% | MDD -13.4%
Months 67M (26%)
CAGR 13.4% | Win 67%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.5
Vol 20% | MDD -24.8%
Months 24M (9%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 6.0% | Win 54%
Sharpe 0.57 | Sortino 1.27 | Calmar 0.3
Vol 12% | MDD -22.9%
Months 85M (33%)
CAGR 2.2% | Win 54%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 11% | MDD -23.9%
Months 80M (31%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 16.2% | Win 56%
Sharpe 0.97 | Sortino 1.39 | Calmar 1.6
Vol 17% | MDD -10.1%
Months 16M (6%)
CAGR 12.0% | Win 64%
Sharpe 0.82 | Sortino 1.17 | Calmar 0.4
Vol 15% | MDD -28.2%
Months 75M (29%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
MACDhist
only
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 2.7% | Win 49%
Sharpe 0.28 | Sortino 0.51 | Calmar 0.1
Vol 12% | MDD -33.7%
Months 118M (46%)
CAGR 7.9% | Win 66%
Sharpe 0.75 | Sortino 0.93 | Calmar 0.6
Vol 11% | MDD -12.2%
Months 47M (18%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 8.3% | Win 40%
Sharpe 1.10 | Sortino 4.08 | Calmar 5.8
Vol 7% | MDD -1.4%
Months 5M (2%)
CAGR 13.0% | Win 64%
Sharpe 0.85 | Sortino 1.24 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 86M (34%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 3.3% | Win 54%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 12% | MDD -25.7%
Months 154M (60%)
CAGR 16.2% | Win 55%
Sharpe 1.45 | Sortino 2.49 | Calmar 3.6
Vol 11% | MDD -4.5%
Months 11M (4%)
CAGR 4.1% | Win 54%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 11% | MDD -25.7%
Months 165M (64%)
SLmean
neg
CAGR 17.1% | Win 65%
Sharpe 1.23 | Sortino 1.86 | Calmar 1.1
Vol 14% | MDD -15.4%
Months 81M (32%)
CAGR -16.9% | Win 40%
Sharpe -0.59 | Sortino -1.21 | Calmar -0.7
Vol 26% | MDD -24.8%
Months 10M (4%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.23 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 91M (36%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 5.7% | Win 55%
Sharpe 0.49 | Sortino 0.80 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 190M (74%)
CAGR 17.5% | Win 65%
Sharpe 1.21 | Sortino 1.66 | Calmar 0.9
Vol 14% | MDD -19.9%
Months 34M (13%)
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
RSmean
neg
CAGR 3.9% | Win 63%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.4
Vol 14% | MDD -10.0%
Months 19M (7%)
CAGR 6.2% | Win 62%
Sharpe 0.86 | Sortino 0.89 | Calmar 1.2
Vol 7% | MDD -5.2%
Months 13M (5%)
CAGR 4.8% | Win 62%
Sharpe 0.48 | Sortino 0.52 | Calmar 0.5
Vol 11% | MDD -10.0%
Months 32M (12%)
MACD
only
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
CAGR 14.3% | Win 64%
Sharpe 1.11 | Sortino 1.48 | Calmar 0.7
Vol 13% | MDD -19.9%
Months 47M (18%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 5.7% | Win 55%
Sharpe 0.51 | Sortino 0.88 | Calmar 0.2
Vol 12% | MDD -24.8%
Months 194M (76%)
CAGR 19.6% | Win 67%
Sharpe 1.06 | Sortino 1.43 | Calmar 0.8
Vol 19% | MDD -24.8%
Months 30M (12%)
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
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 20.29 | 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 (12%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 7.2% | Win 54%
Sharpe 0.62 | Sortino 1.20 | Calmar 0.3
Vol 12% | MDD -23.8%
Months 100M (39%)
CAGR 7.7% | Win 58%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 124M (48%)
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
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 (12%)
MACDhist
only
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 3.6% | Win 49%
Sharpe 0.37 | Sortino 0.75 | Calmar 0.1
Vol 11% | MDD -28.6%
Months 117M (46%)
CAGR 11.8% | Win 64%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 15% | MDD -34.2%
Months 107M (42%)
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
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 (12%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 8.5% | Win 57%
Sharpe 0.71 | Sortino 1.22 | Calmar 0.4
Vol 13% | MDD -20.5%
Months 204M (80%)
CAGR -2.3% | Win 45%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 20% | MDD -28.2%
Months 20M (8%)
CAGR 7.4% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -34.2%
Months 224M (88%)
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 31.1% | 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 (12%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 4.6% | Win 54%
Sharpe 0.42 | Sortino 0.71 | Calmar 0.2
Vol 13% | MDD -23.5%
Months 196M (77%)
CAGR 21.1% | Win 77%
Sharpe 1.04 | Sortino 1.26 | Calmar 1.7
Vol 20% | MDD -12.4%
Months 13M (5%)
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
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 (9%)
CAGR 14.3% | Win 64%
Sharpe 1.11 | Sortino 1.48 | Calmar 0.7
Vol 13% | MDD -19.9%
Months 47M (18%)
RSI
only
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 6.5% | Win 54%
Sharpe 0.56 | Sortino 1.08 | Calmar 0.3
Vol 13% | MDD -22.1%
Months 95M (37%)
CAGR 4.8% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 14% | MDD -23.4%
Months 114M (44%)
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
MACD
neg
CAGR 27.1% | Win 67%
Sharpe 2.28 | Sortino 263.45 | Calmar 18.3
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 (18%)
MACDhist
only
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR -0.3% | Win 45%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.0
Vol 12% | MDD -36.3%
Months 95M (37%)
CAGR 10.7% | Win 64%
Sharpe 0.80 | Sortino 1.10 | Calmar 0.4
Vol 14% | MDD -30.3%
Months 114M (44%)
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
MACD
neg
CAGR 14.4% | Win 61%
Sharpe 1.56 | Sortino 2.23 | Calmar 2.2
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 (7%)
CAGR 14.3% | Win 64%
Sharpe 1.11 | Sortino 1.48 | Calmar 0.7
Vol 13% | MDD -19.9%
Months 47M (18%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 6.7% | Win 56%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.3
Vol 13% | MDD -20.5%
Months 203M (79%)
CAGR -25.5% | Win 33%
Sharpe -1.13 | Sortino -1.64 | Calmar -1.2
Vol 24% | MDD -21.3%
Months 6M (2%)
CAGR 5.6% | Win 56%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -25.3%
Months 209M (82%)
MACD
neg
CAGR 15.8% | Win 69%
Sharpe 1.52 | Sortino 2.06 | Calmar 2.4
Vol 10% | MDD -6.7%
Months 32M (12%)
CAGR 11.0% | Win 53%
Sharpe 0.68 | Sortino 1.02 | 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 (18%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 7.4% | Win 54%
Sharpe 0.63 | Sortino 1.24 | Calmar 0.3
Vol 13% | MDD -22.1%
Months 98M (38%)
CAGR 3.6% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 12% | MDD -18.5%
Months 121M (47%)
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (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 19.0% | Win 68%
Sharpe 1.09 | Sortino 1.35 | Calmar 0.8
Vol 18% | MDD -24.8%
Months 34M (13%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
MACDhist
only
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 1.9% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.1
Vol 12% | MDD -33.9%
Months 114M (44%)
CAGR 9.2% | Win 63%
Sharpe 0.75 | Sortino 1.09 | Calmar 0.4
Vol 13% | MDD -25.8%
Months 105M (41%)
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
RSI
neg
CAGR 16.8% | Win 56%
Sharpe 2.11 | Sortino 8.00 | Calmar 11.6
Vol 8% | MDD -1.4%
Months 9M (4%)
CAGR 19.0% | Win 71%
Sharpe 1.01 | Sortino 1.40 | Calmar 0.8
Vol 19% | MDD -24.8%
Months 28M (11%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 5.4% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -18.8%
Months 214M (84%)
CAGR 1.6% | Win 40%
Sharpe 0.16 | Sortino 0.50 | Calmar 0.3
Vol 19% | MDD -5.8%
Months 5M (2%)
CAGR 5.3% | Win 55%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 12% | MDD -20.7%
Months 219M (86%)
RSI
neg
CAGR 36.5% | Win 81%
Sharpe 2.53 | Sortino 3.04 | Calmar 5.0
Vol 13% | MDD -7.3%
Months 21M (8%)
CAGR -1.7% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 20% | MDD -24.8%
Months 16M (6%)
CAGR 18.4% | Win 68%
Sharpe 1.09 | Sortino 1.33 | Calmar 0.7
Vol 17% | MDD -24.8%
Months 37M (14%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 5.2% | Win 51%
Sharpe 0.48 | Sortino 1.12 | Calmar 0.2
Vol 12% | MDD -21.5%
Months 72M (28%)
CAGR 13.7% | Win 62%
Sharpe 1.00 | Sortino 1.41 | Calmar 1.6
Vol 14% | MDD -8.8%
Months 29M (11%)
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
MACDhist
neg
CAGR -0.3% | Win 45%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 11% | MDD -27.5%
Months 51M (20%)
CAGR 10.5% | Win 65%
Sharpe 0.76 | Sortino 1.06 | Calmar 0.3
Vol 15% | MDD -34.2%
Months 104M (41%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
RSIhist
only
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 7.9% | Win 56%
Sharpe 0.68 | Sortino 1.28 | Calmar 0.4
Vol 12% | MDD -22.1%
Months 97M (38%)
CAGR 0.7% | Win 25%
Sharpe 0.10 | Sortino 0.33 | Calmar 0.1
Vol 19% | MDD -5.8%
Months 4M (2%)
CAGR 7.6% | Win 55%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 12% | MDD -22.1%
Months 101M (40%)
MACDhist
neg
CAGR 7.9% | Win 59%
Sharpe 0.67 | Sortino 0.99 | Calmar 0.6
Vol 12% | MDD -13.1%
Months 138M (54%)
CAGR -1.3% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 20% | MDD -28.2%
Months 17M (7%)
CAGR 6.8% | Win 59%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 155M (60%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (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 2.6% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 12% | MDD -32.3%
Months 113M (44%)
CAGR 6.1% | Win 40%
Sharpe 0.64 | Sortino 1.17 | Calmar 1.1
Vol 10% | MDD -5.8%
Months 10M (4%)
CAGR 2.9% | Win 49%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -34.6%
Months 123M (48%)
RSIhist
neg
CAGR 13.0% | Win 66%
Sharpe 1.01 | Sortino 1.47 | Calmar 0.7
Vol 13% | MDD -17.9%
Months 122M (48%)
CAGR -6.9% | Win 55%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 26% | MDD -28.2%
Months 11M (4%)
CAGR 11.2% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -34.2%
Months 133M (52%)
LWTI
only
CAGR 7.9% | Win 58%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 12% | MDD -20.5%
Months 235M (92%)
CAGR -0.9% | Win 48%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 20% | MDD -28.2%
Months 21M (8%)