PBW - Invesco WilderHill Clean Energy ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

90.4%

Best CAGR

72

Total Months

1.5%

Avg CAGR

PBW 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 PBW

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 6 2.4 90.4 66.7 1.6 2.3 6.8 45.7 -13.4
pair RSmean RSIhist neg-pos 6 2.4 90.4 66.7 1.6 2.3 6.8 45.7 -13.4
pair RSmean RSI neg-pos 13 5.1 65.4 69.2 1.6 3.1 5.2 34.3 -12.6
pair RSI RSmean neg-pos 13 5.1 65.4 69.2 1.6 3.1 5.2 34.3 -12.6
pair MACDhist LWTI pos-neg 24 9.5 54.3 66.7 1.8 3.4 2.0 26.9 -27.3
pair LWTI MACDhist pos-neg 24 9.5 54.3 66.7 1.8 3.4 2.0 26.9 -27.3
pair RSmean SLmean pos-neg 5 2.0 49.1 60.0 1.1 2.0 3.7 42.5 -13.4
pair SLmean RSmean pos-neg 5 2.0 49.1 60.0 1.1 2.0 3.7 42.5 -13.4
pair RSIhist RSI pos-pos 70 27.7 32.8 60.0 1.0 1.7 0.9 35.9 -34.6
pair RSI RSIhist pos-pos 70 27.7 32.8 60.0 1.0 1.7 0.9 35.9 -34.6
pair RSIhist MACD pos-pos 48 19.0 30.0 58.3 0.9 1.4 0.9 39.0 -33.8
pair MACD RSIhist pos-pos 48 19.0 30.0 58.3 0.9 1.4 0.9 39.0 -33.8
pair RSmean MRmean pos-neg 6 2.4 28.1 50.0 0.8 1.7 2.1 39.7 -13.4
pair MRmean RSmean pos-neg 6 2.4 28.1 50.0 0.8 1.7 2.1 39.7 -13.4
pair RSmean LWTI neg-pos 20 7.9 26.7 60.0 0.8 1.7 1.3 34.8 -21.0
pair LWTI RSmean neg-pos 20 7.9 26.7 60.0 0.8 1.7 1.3 34.8 -21.0
pair MACDhist RSIhist pos-pos 86 34.0 26.3 58.1 0.9 1.4 0.8 33.7 -32.3
pair RSIhist MACDhist pos-pos 86 34.0 26.3 58.1 0.9 1.4 0.8 33.7 -32.3
pair MACD RSmean neg-pos 5 2.0 25.6 40.0 0.8 2.5 2.9 37.0 -8.8
pair RSmean MACD neg-pos 5 2.0 25.6 40.0 0.8 2.5 2.9 37.0 -8.8
pair MRmean MACDhist pos-pos 89 35.2 25.6 58.4 0.8 1.4 0.8 34.3 -31.3
pair MACDhist MRmean pos-pos 89 35.2 25.6 58.4 0.8 1.4 0.8 34.3 -31.3
pair RSIhist LWTI pos-pos 82 32.4 24.2 56.1 0.8 1.4 0.6 35.4 -44.3
pair LWTI RSIhist pos-pos 82 32.4 24.2 56.1 0.8 1.4 0.6 35.4 -44.3
pair SLmean MACDhist pos-pos 88 34.8 23.7 58.0 0.8 1.4 0.6 34.9 -38.2
pair MACDhist SLmean pos-pos 88 34.8 23.7 58.0 0.8 1.4 0.6 34.9 -38.2
pair RSI MACD neg-pos 35 13.8 23.7 65.7 0.9 2.0 0.9 26.7 -26.8
pair MACD RSI neg-pos 35 13.8 23.7 65.7 0.9 2.0 0.9 26.7 -26.8
pair MACD MACDhist neg-pos 60 23.7 23.0 58.3 0.9 1.7 0.7 27.4 -34.1
pair MACDhist MACD neg-pos 60 23.7 23.0 58.3 0.9 1.7 0.7 27.4 -34.1
pair RSIhist MRmean pos-pos 96 37.9 21.0 59.4 0.7 1.2 0.5 33.9 -43.3
pair MRmean RSIhist pos-pos 96 37.9 21.0 59.4 0.7 1.2 0.5 33.9 -43.3
pair MACDhist RSI neg-pos 49 19.4 20.9 57.1 0.8 1.6 0.6 29.4 -34.1
pair RSI MACDhist neg-pos 49 19.4 20.9 57.1 0.8 1.6 0.6 29.4 -34.1
pair RSI SLmean pos-pos 77 30.4 18.5 57.1 0.7 1.1 0.5 35.6 -40.1
pair SLmean RSI pos-pos 77 30.4 18.5 57.1 0.7 1.1 0.5 35.6 -40.1
pair RSmean MACDhist pos-pos 116 45.8 18.3 54.3 0.7 1.2 0.4 33.1 -46.0
pair MACDhist RSmean pos-pos 116 45.8 18.3 54.3 0.7 1.2 0.4 33.1 -46.0
pair MACD MRmean pos-pos 64 25.3 18.0 53.1 0.6 1.1 0.4 37.5 -41.5
pair MRmean MACD pos-pos 64 25.3 18.0 53.1 0.6 1.1 0.4 37.5 -41.5
pair RSIhist SLmean pos-pos 109 43.1 17.9 57.8 0.7 1.1 0.4 33.4 -43.5
pair SLmean RSIhist pos-pos 109 43.1 17.9 57.8 0.7 1.1 0.4 33.4 -43.5
single MACDhist MACDhist pos-pos 120 47.4 17.8 54.2 0.7 1.2 0.4 33.5 -46.0
pair SLmean MACD pos-pos 57 22.5 16.9 54.4 0.6 1.0 0.4 39.2 -45.7
pair MACD SLmean pos-pos 57 22.5 16.9 54.4 0.6 1.0 0.4 39.2 -45.7
pair MRmean RSI pos-pos 85 33.6 16.6 54.1 0.6 1.1 0.4 34.6 -40.1
pair RSI MRmean pos-pos 85 33.6 16.6 54.1 0.6 1.1 0.4 34.6 -40.1
pair MRmean SLmean pos-pos 105 41.5 16.2 58.1 0.6 1.0 0.3 34.1 -50.6
pair SLmean MRmean pos-pos 105 41.5 16.2 58.1 0.6 1.0 0.3 34.1 -50.6
single RSIhist RSIhist pos-pos 120 47.4 16.1 55.8 0.6 1.0 0.3 33.9 -56.1
pair RSI MACDhist pos-pos 71 28.1 15.7 52.1 0.6 1.1 0.5 36.3 -31.3
pair MACDhist RSI pos-pos 71 28.1 15.7 52.1 0.6 1.1 0.5 36.3 -31.3
pair LWTI MRmean pos-pos 96 37.9 15.5 54.2 0.6 1.1 0.4 34.2 -39.4
pair MRmean LWTI pos-pos 96 37.9 15.5 54.2 0.6 1.1 0.4 34.2 -39.4
pair MACD LWTI pos-pos 79 31.2 15.4 50.6 0.6 1.1 0.3 37.5 -51.0
pair LWTI MACD pos-pos 79 31.2 15.4 50.6 0.6 1.1 0.3 37.5 -51.0
pair LWTI SLmean pos-pos 87 34.4 14.9 55.2 0.6 1.0 0.3 35.3 -43.0
pair SLmean LWTI pos-pos 87 34.4 14.9 55.2 0.6 1.0 0.3 35.3 -43.0
pair RSmean MACDhist neg-neg 18 7.1 14.8 55.6 0.6 1.1 0.9 32.9 -16.6
pair MACDhist RSmean neg-neg 18 7.1 14.8 55.6 0.6 1.1 0.9 32.9 -16.6
pair LWTI RSI pos-pos 102 40.3 14.8 53.9 0.6 1.1 0.3 34.9 -43.1
pair RSI LWTI pos-pos 102 40.3 14.8 53.9 0.6 1.1 0.3 34.9 -43.1
single MRmean MRmean pos-pos 117 46.2 14.7 56.4 0.6 1.0 0.3 33.2 -47.6
pair MRmean RSmean pos-pos 111 43.9 14.0 56.8 0.6 0.9 0.3 33.0 -47.6
pair RSmean MRmean pos-pos 111 43.9 14.0 56.8 0.6 0.9 0.3 33.0 -47.6
pair RSIhist RSmean pos-pos 114 45.1 13.1 55.3 0.5 0.9 0.2 33.2 -56.1
pair RSmean RSIhist pos-pos 114 45.1 13.1 55.3 0.5 0.9 0.2 33.2 -56.1
single RSI RSI pos-pos 108 42.7 13.1 55.6 0.5 0.9 0.2 34.8 -52.2
single RSmean RSmean neg-neg 22 8.7 13.0 54.5 0.5 1.0 0.6 35.2 -23.4
pair MACD MACDhist pos-pos 60 23.7 12.8 50.0 0.5 0.9 0.4 38.9 -35.6
pair MACDhist MACD pos-pos 60 23.7 12.8 50.0 0.5 0.9 0.4 38.9 -35.6
single SLmean SLmean pos-pos 123 48.6 11.4 56.9 0.5 0.8 0.2 33.6 -65.5
pair MACDhist LWTI neg-pos 43 17.0 10.9 58.1 0.5 0.8 0.3 33.7 -32.9
pair LWTI MACDhist neg-pos 43 17.0 10.9 58.1 0.5 0.8 0.3 33.7 -32.9
pair LWTI MRmean pos-neg 21 8.3 10.9 66.7 0.5 0.7 0.6 28.9 -18.8
pair MRmean LWTI pos-neg 21 8.3 10.9 66.7 0.5 0.7 0.6 28.9 -18.8
pair MACD MRmean pos-neg 53 20.9 10.8 60.4 0.5 0.8 0.3 27.3 -40.0
pair MRmean MACD pos-neg 53 20.9 10.8 60.4 0.5 0.8 0.3 27.3 -40.0
single LWTI LWTI pos-pos 139 54.9 10.4 53.2 0.5 0.8 0.1 34.4 -67.4
pair MACDhist LWTI pos-pos 96 37.9 10.1 51.0 0.4 0.8 0.2 34.9 -46.3
pair LWTI MACDhist pos-pos 96 37.9 10.1 51.0 0.4 0.8 0.2 34.9 -46.3
pair RSmean SLmean pos-pos 118 46.6 10.0 56.8 0.5 0.8 0.2 33.3 -64.2
pair SLmean RSmean pos-pos 118 46.6 10.0 56.8 0.5 0.8 0.2 33.3 -64.2
pair MRmean RSI pos-neg 32 12.6 9.9 62.5 0.5 0.7 0.4 29.5 -27.4
pair RSI MRmean pos-neg 32 12.6 9.9 62.5 0.5 0.7 0.4 29.5 -27.4
pair MACD RSmean neg-neg 17 6.7 9.5 58.8 0.4 0.8 0.3 35.8 -26.9
pair RSmean MACD neg-neg 17 6.7 9.5 58.8 0.4 0.8 0.3 35.8 -26.9
pair RSI MACD pos-pos 73 28.9 8.3 50.7 0.4 0.7 0.1 38.2 -55.2
pair MACD RSI pos-pos 73 28.9 8.3 50.7 0.4 0.7 0.1 38.2 -55.2
pair MACDhist RSI pos-neg 37 14.6 8.2 62.2 0.4 0.7 0.2 32.1 -35.9
pair RSI MACDhist pos-neg 37 14.6 8.2 62.2 0.4 0.7 0.2 32.1 -35.9
pair RSmean LWTI pos-pos 119 47.0 7.8 52.1 0.4 0.7 0.1 34.4 -65.0
pair RSmean MRmean neg-neg 16 6.3 7.8 56.2 0.4 0.7 0.3 34.7 -25.1
pair LWTI RSmean pos-pos 119 47.0 7.8 52.1 0.4 0.7 0.1 34.4 -65.0
pair MRmean RSmean neg-neg 16 6.3 7.8 56.2 0.4 0.7 0.3 34.7 -25.1
pair RSIhist MACD neg-pos 72 28.5 7.6 54.2 0.4 0.7 0.1 30.0 -52.0
pair MACD RSIhist neg-pos 72 28.5 7.6 54.2 0.4 0.7 0.1 30.0 -52.0
pair RSmean RSI pos-pos 95 37.5 7.3 53.7 0.4 0.7 0.1 34.7 -50.3
pair RSI RSmean pos-pos 95 37.5 7.3 53.7 0.4 0.7 0.1 34.7 -50.3
pair SLmean MACD pos-neg 66 26.1 6.8 59.1 0.4 0.6 0.1 28.1 -47.3
pair MACD SLmean pos-neg 66 26.1 6.8 59.1 0.4 0.6 0.1 28.1 -47.3
pair RSmean MACDhist neg-pos 4 1.6 4.9 50.0 0.3 1.3 0.2 50.3 -21.0
pair MACDhist RSmean neg-pos 4 1.6 4.9 50.0 0.3 1.3 0.2 50.3 -21.0
pair LWTI MACD neg-pos 60 23.7 4.1 56.7 0.3 0.5 0.1 30.0 -64.0
pair SLmean RSmean neg-neg 17 6.7 4.1 52.9 0.3 0.5 0.1 33.8 -28.2
pair MACD LWTI neg-pos 60 23.7 4.1 56.7 0.3 0.5 0.1 30.0 -64.0
pair RSmean SLmean neg-neg 17 6.7 4.1 52.9 0.3 0.5 0.1 33.8 -28.2
single MACD MACD pos-pos 88 34.8 4.0 51.1 0.3 0.5 0.1 39.3 -63.3
pair LWTI SLmean pos-neg 36 14.2 3.3 61.1 0.3 0.4 0.1 29.3 -52.3
pair SLmean LWTI pos-neg 36 14.2 3.3 61.1 0.3 0.4 0.1 29.3 -52.3
pair SLmean LWTI neg-pos 52 20.6 3.2 50.0 0.3 0.5 0.1 33.0 -51.0
pair LWTI SLmean neg-pos 52 20.6 3.2 50.0 0.3 0.5 0.1 33.0 -51.0
pair SLmean MACDhist neg-pos 32 12.6 2.9 43.8 0.2 0.6 0.1 29.6 -33.7
pair MACDhist SLmean neg-pos 32 12.6 2.9 43.8 0.2 0.6 0.1 29.6 -33.7
pair RSmean MACD pos-pos 83 32.8 2.8 51.8 0.3 0.4 0.1 39.6 -61.9
pair MACD RSmean pos-pos 83 32.8 2.8 51.8 0.3 0.4 0.1 39.6 -61.9
pair MRmean SLmean pos-neg 12 4.7 2.1 41.7 0.2 0.7 0.3 24.8 -7.7
pair SLmean MRmean pos-neg 12 4.7 2.1 41.7 0.2 0.7 0.3 24.8 -7.7
pair MRmean RSI neg-pos 23 9.1 1.1 60.9 0.2 0.3 0.0 36.1 -35.6
pair RSI MRmean neg-pos 23 9.1 1.1 60.9 0.2 0.3 0.0 36.1 -35.6
pair SLmean RSI neg-pos 31 12.3 0.7 51.6 0.2 0.3 0.0 33.0 -33.4
pair RSI SLmean neg-pos 31 12.3 0.7 51.6 0.2 0.3 0.0 33.0 -33.4
pair RSI SLmean pos-neg 46 18.2 0.4 56.5 0.2 0.3 0.0 30.0 -49.9
pair SLmean RSI pos-neg 46 18.2 0.4 56.5 0.2 0.3 0.0 30.0 -49.9
pair LWTI RSIhist pos-neg 38 15.0 0.3 55.3 0.2 0.2 0.0 30.1 -59.7
pair RSIhist LWTI pos-neg 38 15.0 0.3 55.3 0.2 0.2 0.0 30.1 -59.7
pair MRmean LWTI neg-pos 43 17.0 -0.4 51.2 0.2 0.3 -0.0 35.1 -56.1
pair LWTI MRmean neg-pos 43 17.0 -0.4 51.2 0.2 0.3 -0.0 35.1 -56.1
pair SLmean RSIhist neg-pos 11 4.3 -0.5 36.4 0.2 0.3 -0.0 39.8 -33.3
pair RSIhist SLmean neg-pos 11 4.3 -0.5 36.4 0.2 0.3 -0.0 39.8 -33.3
pair RSI LWTI neg-pos 37 14.6 -1.0 51.4 0.1 0.2 -0.0 33.2 -58.6
pair LWTI RSI neg-pos 37 14.6 -1.0 51.4 0.1 0.2 -0.0 33.2 -58.6
pair RSIhist MACDhist pos-neg 34 13.4 -1.3 44.1 0.1 0.3 -0.0 33.1 -34.7
pair MACDhist RSIhist pos-neg 34 13.4 -1.3 44.1 0.1 0.3 -0.0 33.1 -34.7
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 -1.4 53.4 0.1 0.2 -0.0 35.2 -85.6
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 -1.4 53.4 0.1 0.2 -0.0 35.2 -85.6
pair RSIhist MRmean neg-pos 24 9.5 -1.7 41.7 0.1 0.2 -0.0 33.9 -49.5
pair MRmean RSIhist neg-pos 24 9.5 -1.7 41.7 0.1 0.2 -0.0 33.9 -49.5
pair MACDhist MRmean neg-pos 31 12.3 -2.0 41.9 0.1 0.2 -0.1 31.0 -29.5
pair MRmean MACDhist neg-pos 31 12.3 -2.0 41.9 0.1 0.2 -0.1 31.0 -29.5
single RSmean RSmean pos-pos 231 91.3 -2.7 53.2 0.1 0.2 -0.0 35.2 -83.8
pair RSI RSIhist neg-pos 50 19.8 -3.9 50.0 0.0 0.0 -0.1 30.2 -57.7
pair RSIhist RSI neg-pos 50 19.8 -3.9 50.0 0.0 0.0 -0.1 30.2 -57.7
single MACD MACD neg-neg 165 65.2 -4.2 54.5 0.0 0.1 -0.1 32.9 -83.8
pair RSmean MACD pos-neg 148 58.5 -5.7 54.1 -0.0 -0.0 -0.1 32.6 -78.9
pair MACD RSmean pos-neg 148 58.5 -5.7 54.1 -0.0 -0.0 -0.1 32.6 -78.9
pair RSIhist MACDhist neg-pos 34 13.4 -6.3 50.0 -0.0 -0.1 -0.1 34.0 -61.0
pair MACDhist RSIhist neg-pos 34 13.4 -6.3 50.0 -0.0 -0.1 -0.1 34.0 -61.0
pair LWTI RSIhist neg-pos 57 22.5 -6.9 49.1 -0.1 -0.1 -0.1 32.5 -57.0
pair RSIhist LWTI neg-pos 57 22.5 -6.9 49.1 -0.1 -0.1 -0.1 32.5 -57.0
pair RSIhist RSmean neg-neg 16 6.3 -7.1 50.0 -0.1 -0.2 -0.3 29.9 -26.2
pair RSmean RSIhist neg-neg 16 6.3 -7.1 50.0 -0.1 -0.2 -0.3 29.9 -26.2
pair LWTI MACD neg-neg 105 41.5 -8.7 53.3 -0.1 -0.1 -0.1 34.4 -74.9
pair MACD LWTI neg-neg 105 41.5 -8.7 53.3 -0.1 -0.1 -0.1 34.4 -74.9
pair RSI RSmean pos-neg 136 53.8 -9.2 52.9 -0.1 -0.1 -0.1 35.6 -82.6
pair RSmean RSI pos-neg 136 53.8 -9.2 52.9 -0.1 -0.1 -0.1 35.6 -82.6
pair RSIhist MRmean pos-neg 21 8.3 -10.1 42.9 -0.2 -0.6 -0.3 29.1 -31.0
pair MRmean RSIhist pos-neg 21 8.3 -10.1 42.9 -0.2 -0.6 -0.3 29.1 -31.0
pair MACD MRmean neg-neg 112 44.3 -10.6 51.8 -0.1 -0.2 -0.1 35.1 -83.3
pair MRmean MACD neg-neg 112 44.3 -10.6 51.8 -0.1 -0.2 -0.1 35.1 -83.3
pair RSI MACD neg-neg 130 51.4 -10.6 51.5 -0.1 -0.2 -0.1 34.2 -83.1
pair MACD RSI neg-neg 130 51.4 -10.6 51.5 -0.1 -0.2 -0.1 34.2 -83.1
single RSI RSI neg-neg 145 57.3 -11.0 51.7 -0.1 -0.2 -0.1 35.3 -87.2
pair MACD SLmean neg-neg 99 39.1 -11.0 51.5 -0.1 -0.2 -0.1 35.7 -78.5
pair SLmean MACD neg-neg 99 39.1 -11.0 51.5 -0.1 -0.2 -0.1 35.7 -78.5
single SLmean SLmean neg-neg 130 51.4 -12.2 50.0 -0.2 -0.3 -0.1 36.5 -86.3
pair LWTI RSI pos-neg 6 2.4 -12.4 83.3 -0.2 0.0 -0.6 34.8 -20.9
pair RSI LWTI pos-neg 6 2.4 -12.4 83.3 -0.2 0.0 -0.6 34.8 -20.9
pair MACD RSIhist neg-neg 93 36.8 -12.5 54.8 -0.2 -0.3 -0.2 34.9 -77.5
pair RSIhist MACD neg-neg 93 36.8 -12.5 54.8 -0.2 -0.3 -0.2 34.9 -77.5
pair MACDhist MACD pos-neg 28 11.1 -12.6 53.6 -0.1 -0.2 -0.2 40.5 -55.3
pair MACD MACDhist pos-neg 28 11.1 -12.6 53.6 -0.1 -0.2 -0.2 40.5 -55.3
pair LWTI RSmean pos-neg 112 44.3 -12.8 54.5 -0.2 -0.3 -0.1 36.0 -85.5
pair RSmean LWTI pos-neg 112 44.3 -12.8 54.5 -0.2 -0.3 -0.1 36.0 -85.5
pair MRmean SLmean neg-pos 18 7.1 -13.2 50.0 -0.3 -0.6 -0.3 30.4 -48.8
pair SLmean MRmean neg-pos 18 7.1 -13.2 50.0 -0.3 -0.6 -0.3 30.4 -48.8
pair SLmean RSIhist neg-neg 119 47.0 -13.2 51.3 -0.2 -0.3 -0.2 36.3 -84.5
pair RSIhist SLmean neg-neg 119 47.0 -13.2 51.3 -0.2 -0.3 -0.2 36.3 -84.5
single MRmean MRmean neg-neg 136 53.8 -13.5 50.7 -0.2 -0.3 -0.1 36.6 -91.2
pair SLmean MRmean neg-neg 118 46.6 -13.6 50.8 -0.2 -0.3 -0.1 37.5 -87.7
pair MRmean SLmean neg-neg 118 46.6 -13.6 50.8 -0.2 -0.3 -0.1 37.5 -87.7
pair MACDhist MRmean pos-neg 28 11.1 -14.0 50.0 -0.4 -0.7 -0.3 28.0 -40.3
pair MRmean MACDhist pos-neg 28 11.1 -14.0 50.0 -0.4 -0.7 -0.3 28.0 -40.3
single LWTI LWTI neg-neg 114 45.1 -14.1 53.5 -0.2 -0.3 -0.2 35.9 -87.8
pair RSI LWTI neg-neg 108 42.7 -14.2 51.9 -0.2 -0.3 -0.2 36.1 -79.5
pair LWTI RSI neg-neg 108 42.7 -14.2 51.9 -0.2 -0.3 -0.2 36.1 -79.5
pair SLmean RSmean neg-pos 113 44.7 -14.4 49.6 -0.2 -0.3 -0.2 37.0 -81.0
pair RSmean SLmean neg-pos 113 44.7 -14.4 49.6 -0.2 -0.3 -0.2 37.0 -81.0
pair SLmean MACDhist pos-neg 35 13.8 -14.5 54.3 -0.4 -0.7 -0.2 29.1 -57.3
pair MACDhist SLmean pos-neg 35 13.8 -14.5 54.3 -0.4 -0.7 -0.2 29.1 -57.3
pair MACD RSI pos-neg 15 5.9 -14.6 53.3 -0.1 -0.2 -0.4 45.5 -38.2
pair RSI MACD pos-neg 15 5.9 -14.6 53.3 -0.1 -0.2 -0.4 45.5 -38.2
pair RSI RSIhist neg-neg 95 37.5 -14.6 52.6 -0.2 -0.3 -0.2 37.9 -80.9
pair RSIhist RSI neg-neg 95 37.5 -14.6 52.6 -0.2 -0.3 -0.2 37.9 -80.9
single RSIhist RSIhist neg-neg 133 52.6 -15.0 51.1 -0.3 -0.4 -0.2 36.0 -89.5
pair RSIhist MRmean neg-neg 112 44.3 -15.8 52.7 -0.3 -0.4 -0.2 37.2 -87.8
pair MRmean RSIhist neg-neg 112 44.3 -15.8 52.7 -0.3 -0.4 -0.2 37.2 -87.8
pair RSI SLmean neg-neg 99 39.1 -15.9 49.5 -0.3 -0.4 -0.2 37.6 -83.1
pair RSIhist RSI pos-neg 38 15.0 -15.9 47.4 -0.4 -0.7 -0.3 31.2 -52.3
pair RSI RSIhist pos-neg 38 15.0 -15.9 47.4 -0.4 -0.7 -0.3 31.2 -52.3
pair SLmean RSI neg-neg 99 39.1 -15.9 49.5 -0.3 -0.4 -0.2 37.6 -83.1
pair RSmean MRmean neg-pos 120 47.4 -16.0 50.0 -0.3 -0.4 -0.2 36.9 -88.5
pair MRmean RSmean neg-pos 120 47.4 -16.0 50.0 -0.3 -0.4 -0.2 36.9 -88.5
pair RSIhist RSmean pos-neg 117 46.2 -16.0 51.3 -0.3 -0.4 -0.2 36.8 -86.4
pair RSmean RSIhist pos-neg 117 46.2 -16.0 51.3 -0.3 -0.4 -0.2 36.8 -86.4
single MACDhist MACDhist neg-neg 133 52.6 -16.1 52.6 -0.3 -0.4 -0.2 36.2 -93.8
pair SLmean MACD neg-pos 31 12.3 -16.1 45.2 -0.2 -0.4 -0.3 39.5 -45.5
pair MACD SLmean neg-pos 31 12.3 -16.1 45.2 -0.2 -0.4 -0.3 39.5 -45.5
pair RSI MRmean neg-neg 113 44.7 -16.2 48.7 -0.3 -0.5 -0.2 36.8 -87.4
pair MRmean RSI neg-neg 113 44.7 -16.2 48.7 -0.3 -0.5 -0.2 36.8 -87.4
pair MACDhist MRmean neg-neg 105 41.5 -16.6 53.3 -0.3 -0.4 -0.2 38.2 -89.7
pair MRmean MACDhist neg-neg 105 41.5 -16.6 53.3 -0.3 -0.4 -0.2 38.2 -89.7
pair MACDhist SLmean neg-neg 98 38.7 -16.7 52.0 -0.3 -0.4 -0.2 38.5 -88.3
pair SLmean MACDhist neg-neg 98 38.7 -16.7 52.0 -0.3 -0.4 -0.2 38.5 -88.3
pair MACD MACDhist neg-neg 105 41.5 -17.0 52.4 -0.3 -0.5 -0.2 35.1 -87.9
pair MACDhist MACD neg-neg 105 41.5 -17.0 52.4 -0.3 -0.5 -0.2 35.1 -87.9
pair MRmean LWTI neg-neg 93 36.8 -19.0 50.5 -0.4 -0.5 -0.2 37.3 -85.8
pair LWTI MRmean neg-neg 93 36.8 -19.0 50.5 -0.4 -0.5 -0.2 37.3 -85.8
pair RSIhist MACDhist neg-neg 99 39.1 -19.2 53.5 -0.4 -0.6 -0.2 37.0 -89.5
pair MACDhist RSIhist neg-neg 99 39.1 -19.2 53.5 -0.4 -0.6 -0.2 37.0 -89.5
pair RSmean MACDhist pos-neg 115 45.5 -20.1 52.2 -0.4 -0.6 -0.2 36.6 -92.8
pair MACDhist RSmean pos-neg 115 45.5 -20.1 52.2 -0.4 -0.6 -0.2 36.6 -92.8
pair RSIhist MACD pos-neg 40 15.8 -20.4 42.5 -0.4 -0.7 -0.4 38.8 -56.7
pair MACD RSIhist pos-neg 40 15.8 -20.4 42.5 -0.4 -0.7 -0.4 38.8 -56.7
pair LWTI RSIhist neg-neg 76 30.0 -20.6 52.6 -0.4 -0.6 -0.2 38.5 -82.7
pair RSIhist LWTI neg-neg 76 30.0 -20.6 52.6 -0.4 -0.6 -0.2 38.5 -82.7
pair SLmean LWTI neg-neg 78 30.8 -21.2 50.0 -0.4 -0.6 -0.2 38.6 -83.2
pair LWTI SLmean neg-neg 78 30.8 -21.2 50.0 -0.4 -0.6 -0.2 38.6 -83.2
pair MACDhist RSI neg-neg 96 37.9 -23.9 49.0 -0.5 -0.8 -0.3 37.4 -90.8
pair RSI MACDhist neg-neg 96 37.9 -23.9 49.0 -0.5 -0.8 -0.3 37.4 -90.8
pair MACD MRmean neg-pos 24 9.5 -25.8 45.8 -0.5 -0.8 -0.6 43.3 -47.1
pair MRmean MACD neg-pos 24 9.5 -25.8 45.8 -0.5 -0.8 -0.6 43.3 -47.1
pair MACDhist LWTI neg-neg 90 35.6 -26.6 50.0 -0.6 -0.9 -0.3 36.9 -92.0
pair LWTI MACDhist neg-neg 90 35.6 -26.6 50.0 -0.6 -0.9 -0.3 36.9 -92.0
pair RSIhist SLmean pos-neg 14 5.5 -28.4 50.0 -0.8 -2.2 -0.7 33.6 -39.0
pair SLmean RSIhist pos-neg 14 5.5 -28.4 50.0 -0.8 -2.2 -0.7 33.6 -39.0
pair RSmean RSI neg-neg 9 3.6 -34.8 33.3 -1.2 -2.3 -1.0 31.5 -33.3
pair RSI RSmean neg-neg 9 3.6 -34.8 33.3 -1.2 -2.3 -1.0 31.5 -33.3
pair MACD LWTI pos-neg 9 3.6 -58.1 55.6 -1.5 -4.5 -1.1 48.8 -51.4
pair LWTI MACD pos-neg 9 3.6 -58.1 55.6 -1.5 -4.5 -1.1 48.8 -51.4
pair RSmean LWTI neg-neg 2 0.8 -64.0 0.0 -4.0 -4.0 -4.9 24.2 -13.0
pair LWTI RSmean neg-neg 2 0.8 -64.0 0.0 -4.0 -4.0 -4.9 24.2 -13.0

All Contingency Tables for PBW

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 16.2% | Win 58%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -50.6%
Months 105M (42%)
CAGR 2.1% | Win 42%
Sharpe 0.20 | Sortino 0.68 | Calmar 0.3
Vol 25% | MDD -7.7%
Months 12M (5%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -13.2% | Win 50%
Sharpe -0.32 | Sortino -0.64 | Calmar -0.3
Vol 30% | MDD -48.8%
Months 18M (7%)
CAGR -13.6% | Win 51%
Sharpe -0.19 | Sortino -0.29 | Calmar -0.2
Vol 38% | MDD -87.7%
Months 118M (47%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
SLmean
only
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 14.0% | Win 57%
Sharpe 0.56 | Sortino 0.95 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 111M (44%)
CAGR 28.1% | Win 50%
Sharpe 0.79 | Sortino 1.68 | Calmar 2.1
Vol 40% | MDD -13.4%
Months 6M (2%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -16.0% | Win 50%
Sharpe -0.28 | Sortino -0.43 | Calmar -0.2
Vol 37% | MDD -88.5%
Months 120M (47%)
CAGR 7.8% | Win 56%
Sharpe 0.37 | Sortino 0.71 | Calmar 0.3
Vol 35% | MDD -25.1%
Months 16M (6%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
RSmean
only
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 18.0% | Win 53%
Sharpe 0.62 | Sortino 1.13 | Calmar 0.4
Vol 38% | MDD -41.5%
Months 64M (25%)
CAGR 10.8% | Win 60%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.3
Vol 27% | MDD -40.0%
Months 53M (21%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -25.8% | Win 46%
Sharpe -0.46 | Sortino -0.76 | Calmar -0.5
Vol 43% | MDD -47.1%
Months 24M (10%)
CAGR -10.6% | Win 52%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.1
Vol 35% | MDD -83.3%
Months 112M (44%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
MACD
only
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 16.6% | Win 54%
Sharpe 0.61 | Sortino 1.14 | Calmar 0.4
Vol 35% | MDD -40.1%
Months 85M (34%)
CAGR 9.9% | Win 62%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.4
Vol 30% | MDD -27.4%
Months 32M (13%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR 1.1% | Win 61%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 36% | MDD -35.6%
Months 23M (9%)
CAGR -16.2% | Win 49%
Sharpe -0.29 | Sortino -0.45 | Calmar -0.2
Vol 37% | MDD -87.4%
Months 113M (45%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
RSI
only
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 25.6% | Win 58%
Sharpe 0.83 | Sortino 1.43 | Calmar 0.8
Vol 34% | MDD -31.3%
Months 89M (35%)
CAGR -14.0% | Win 50%
Sharpe -0.40 | Sortino -0.68 | Calmar -0.3
Vol 28% | MDD -40.3%
Months 28M (11%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -2.0% | Win 42%
Sharpe 0.08 | Sortino 0.21 | Calmar -0.1
Vol 31% | MDD -29.5%
Months 31M (12%)
CAGR -16.6% | Win 53%
Sharpe -0.28 | Sortino -0.41 | Calmar -0.2
Vol 38% | MDD -89.7%
Months 105M (42%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
MACDhist
only
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 21.0% | Win 59%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 34% | MDD -43.3%
Months 96M (38%)
CAGR -10.1% | Win 43%
Sharpe -0.23 | Sortino -0.56 | Calmar -0.3
Vol 29% | MDD -31.0%
Months 21M (8%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -1.7% | Win 42%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 34% | MDD -49.5%
Months 24M (10%)
CAGR -15.8% | Win 53%
Sharpe -0.27 | Sortino -0.42 | Calmar -0.2
Vol 37% | MDD -87.8%
Months 112M (44%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 15.5% | Win 54%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 34% | MDD -39.4%
Months 96M (38%)
CAGR 10.9% | Win 67%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.6
Vol 29% | MDD -18.8%
Months 21M (8%)
CAGR 14.7% | Win 56%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 33% | MDD -47.6%
Months 117M (46%)
MRmean
neg
CAGR -0.4% | Win 51%
Sharpe 0.16 | Sortino 0.30 | Calmar -0.0
Vol 35% | MDD -56.1%
Months 43M (17%)
CAGR -19.0% | Win 50%
Sharpe -0.36 | Sortino -0.54 | Calmar -0.2
Vol 37% | MDD -85.8%
Months 93M (37%)
CAGR -13.5% | Win 51%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 37% | MDD -91.2%
Months 136M (54%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 57%
Sharpe 0.45 | Sortino 0.76 | Calmar 0.2
Vol 33% | MDD -64.2%
Months 118M (47%)
CAGR 49.1% | Win 60%
Sharpe 1.13 | Sortino 2.05 | Calmar 3.7
Vol 42% | MDD -13.4%
Months 5M (2%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR -14.4% | Win 50%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 37% | MDD -81.0%
Months 113M (45%)
CAGR 4.1% | Win 53%
Sharpe 0.27 | Sortino 0.53 | Calmar 0.1
Vol 34% | MDD -28.2%
Months 17M (7%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
RSmean
only
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 16.9% | Win 54%
Sharpe 0.59 | Sortino 1.04 | Calmar 0.4
Vol 39% | MDD -45.7%
Months 57M (22%)
CAGR 6.8% | Win 59%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.1
Vol 28% | MDD -47.3%
Months 66M (26%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR -16.1% | Win 45%
Sharpe -0.24 | Sortino -0.37 | Calmar -0.4
Vol 40% | MDD -45.5%
Months 31M (12%)
CAGR -11.0% | Win 52%
Sharpe -0.14 | Sortino -0.22 | Calmar -0.1
Vol 36% | MDD -78.5%
Months 99M (39%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
MACD
only
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 18.5% | Win 57%
Sharpe 0.65 | Sortino 1.15 | Calmar 0.5
Vol 36% | MDD -40.1%
Months 77M (30%)
CAGR 0.4% | Win 56%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -49.9%
Months 46M (18%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR 0.7% | Win 52%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 33% | MDD -33.4%
Months 31M (12%)
CAGR -15.9% | Win 50%
Sharpe -0.26 | Sortino -0.40 | Calmar -0.2
Vol 38% | MDD -83.1%
Months 99M (39%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
RSI
only
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 23.7% | Win 58%
Sharpe 0.78 | Sortino 1.35 | Calmar 0.6
Vol 35% | MDD -38.2%
Months 88M (35%)
CAGR -14.5% | Win 54%
Sharpe -0.39 | Sortino -0.68 | Calmar -0.3
Vol 29% | MDD -57.3%
Months 35M (14%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR 2.9% | Win 44%
Sharpe 0.24 | Sortino 0.63 | Calmar 0.1
Vol 30% | MDD -33.7%
Months 32M (13%)
CAGR -16.7% | Win 52%
Sharpe -0.27 | Sortino -0.40 | Calmar -0.2
Vol 38% | MDD -88.3%
Months 98M (39%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
MACDhist
only
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 17.9% | Win 58%
Sharpe 0.66 | Sortino 1.11 | Calmar 0.4
Vol 33% | MDD -43.5%
Months 109M (43%)
CAGR -28.4% | Win 50%
Sharpe -0.82 | Sortino -2.17 | Calmar -0.7
Vol 34% | MDD -39.0%
Months 14M (6%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR -0.5% | Win 36%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 40% | MDD -33.3%
Months 11M (4%)
CAGR -13.2% | Win 51%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.2
Vol 36% | MDD -84.5%
Months 119M (47%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 14.9% | Win 55%
Sharpe 0.56 | Sortino 1.00 | Calmar 0.3
Vol 35% | MDD -43.0%
Months 87M (34%)
CAGR 3.3% | Win 61%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 29% | MDD -52.3%
Months 36M (14%)
CAGR 11.4% | Win 57%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -65.5%
Months 123M (49%)
SLmean
neg
CAGR 3.2% | Win 50%
Sharpe 0.26 | Sortino 0.49 | Calmar 0.1
Vol 33% | MDD -51.0%
Months 52M (21%)
CAGR -21.2% | Win 50%
Sharpe -0.41 | Sortino -0.59 | Calmar -0.3
Vol 39% | MDD -83.2%
Months 78M (31%)
CAGR -12.2% | Win 50%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 130M (51%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 52%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.0
Vol 40% | MDD -61.9%
Months 83M (33%)
CAGR -5.7% | Win 54%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 33% | MDD -78.9%
Months 148M (58%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
RSmean
neg
CAGR 25.6% | Win 40%
Sharpe 0.77 | Sortino 2.50 | Calmar 2.9
Vol 37% | MDD -8.8%
Months 5M (2%)
CAGR 9.5% | Win 59%
Sharpe 0.42 | Sortino 0.78 | Calmar 0.4
Vol 36% | MDD -26.9%
Months 17M (7%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
MACD
only
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -50.3%
Months 95M (38%)
CAGR -9.2% | Win 53%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 36% | MDD -82.6%
Months 136M (54%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
RSmean
neg
CAGR 65.4% | Win 69%
Sharpe 1.64 | Sortino 3.08 | Calmar 5.2
Vol 34% | MDD -12.6%
Months 13M (5%)
CAGR -34.8% | Win 33%
Sharpe -1.19 | Sortino -2.28 | Calmar -1.0
Vol 32% | MDD -33.3%
Months 9M (4%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
RSI
only
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 18.3% | Win 54%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 33% | MDD -46.0%
Months 116M (46%)
CAGR -20.1% | Win 52%
Sharpe -0.42 | Sortino -0.62 | Calmar -0.2
Vol 37% | MDD -92.8%
Months 115M (46%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
RSmean
neg
CAGR 4.9% | Win 50%
Sharpe 0.28 | Sortino 1.27 | Calmar 0.2
Vol 50% | MDD -21.0%
Months 4M (2%)
CAGR 14.8% | Win 56%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.9
Vol 33% | MDD -16.6%
Months 18M (7%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
MACDhist
only
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.1% | Win 55%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 33% | MDD -56.1%
Months 114M (45%)
CAGR -16.0% | Win 51%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 37% | MDD -86.4%
Months 117M (46%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
RSmean
neg
CAGR 90.4% | Win 67%
Sharpe 1.63 | Sortino 2.29 | Calmar 6.8
Vol 46% | MDD -13.4%
Months 6M (2%)
CAGR -7.1% | Win 50%
Sharpe -0.11 | Sortino -0.21 | Calmar -0.3
Vol 30% | MDD -26.2%
Months 16M (6%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.1
Vol 34% | MDD -65.0%
Months 119M (47%)
CAGR -12.8% | Win 55%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -85.5%
Months 112M (44%)
CAGR -2.7% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 35% | MDD -83.8%
Months 231M (91%)
RSmean
neg
CAGR 26.7% | Win 60%
Sharpe 0.85 | Sortino 1.70 | Calmar 1.3
Vol 35% | MDD -21.0%
Months 20M (8%)
CAGR -64.0% | Win 0%
Sharpe -3.98 | Sortino -3.98 | Calmar -4.9
Vol 24% | MDD -13.0%
Months 2M (1%)
CAGR 13.0% | Win 55%
Sharpe 0.51 | Sortino 1.04 | Calmar 0.6
Vol 35% | MDD -23.4%
Months 22M (9%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.3% | Win 51%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 38% | MDD -55.2%
Months 73M (29%)
CAGR -14.6% | Win 53%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.4
Vol 46% | MDD -38.2%
Months 15M (6%)
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
MACD
neg
CAGR 23.7% | Win 66%
Sharpe 0.93 | Sortino 2.03 | Calmar 0.9
Vol 27% | MDD -26.8%
Months 35M (14%)
CAGR -10.6% | Win 52%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.1
Vol 34% | MDD -83.1%
Months 130M (51%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
RSI
only
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 12.8% | Win 50%
Sharpe 0.49 | Sortino 0.95 | Calmar 0.4
Vol 39% | MDD -35.6%
Months 60M (24%)
CAGR -12.6% | Win 54%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.2
Vol 40% | MDD -55.3%
Months 28M (11%)
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
MACD
neg
CAGR 23.0% | Win 58%
Sharpe 0.90 | Sortino 1.73 | Calmar 0.7
Vol 27% | MDD -34.1%
Months 60M (24%)
CAGR -17.0% | Win 52%
Sharpe -0.35 | Sortino -0.53 | Calmar -0.2
Vol 35% | MDD -87.9%
Months 105M (42%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
MACDhist
only
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 30.0% | Win 58%
Sharpe 0.86 | Sortino 1.41 | Calmar 0.9
Vol 39% | MDD -33.8%
Months 48M (19%)
CAGR -20.4% | Win 42%
Sharpe -0.39 | Sortino -0.67 | Calmar -0.4
Vol 39% | MDD -56.7%
Months 40M (16%)
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
MACD
neg
CAGR 7.6% | Win 54%
Sharpe 0.39 | Sortino 0.66 | Calmar 0.1
Vol 30% | MDD -52.0%
Months 72M (28%)
CAGR -12.5% | Win 55%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.2
Vol 35% | MDD -77.5%
Months 93M (37%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 15.4% | Win 51%
Sharpe 0.56 | Sortino 1.09 | Calmar 0.3
Vol 38% | MDD -51.0%
Months 79M (31%)
CAGR -58.1% | Win 56%
Sharpe -1.48 | Sortino -4.49 | Calmar -1.1
Vol 49% | MDD -51.4%
Months 9M (4%)
CAGR 4.0% | Win 51%
Sharpe 0.29 | Sortino 0.49 | Calmar 0.1
Vol 39% | MDD -63.3%
Months 88M (35%)
MACD
neg
CAGR 4.1% | Win 57%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -64.0%
Months 60M (24%)
CAGR -8.7% | Win 53%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 34% | MDD -74.9%
Months 105M (42%)
CAGR -4.2% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 33% | MDD -83.8%
Months 165M (65%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 15.7% | Win 52%
Sharpe 0.57 | Sortino 1.07 | Calmar 0.5
Vol 36% | MDD -31.3%
Months 71M (28%)
CAGR 8.2% | Win 62%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.2
Vol 32% | MDD -35.9%
Months 37M (15%)
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
RSI
neg
CAGR 20.9% | Win 57%
Sharpe 0.79 | Sortino 1.56 | Calmar 0.6
Vol 29% | MDD -34.1%
Months 49M (19%)
CAGR -23.9% | Win 49%
Sharpe -0.53 | Sortino -0.79 | Calmar -0.3
Vol 37% | MDD -90.8%
Months 96M (38%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
MACDhist
only
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 32.8% | Win 60%
Sharpe 0.97 | Sortino 1.66 | Calmar 0.9
Vol 36% | MDD -34.6%
Months 70M (28%)
CAGR -15.9% | Win 47%
Sharpe -0.40 | Sortino -0.74 | Calmar -0.3
Vol 31% | MDD -52.3%
Months 38M (15%)
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
RSI
neg
CAGR -3.9% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 30% | MDD -57.7%
Months 50M (20%)
CAGR -14.6% | Win 53%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.2
Vol 38% | MDD -80.9%
Months 95M (38%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 14.8% | Win 54%
Sharpe 0.56 | Sortino 1.07 | Calmar 0.3
Vol 35% | MDD -43.1%
Months 102M (40%)
CAGR -12.4% | Win 83%
Sharpe -0.21 | Sortino 0.00 | Calmar -0.6
Vol 35% | MDD -20.9%
Months 6M (2%)
CAGR 13.1% | Win 56%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.3
Vol 35% | MDD -52.2%
Months 108M (43%)
RSI
neg
CAGR -1.0% | Win 51%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 33% | MDD -58.6%
Months 37M (15%)
CAGR -14.2% | Win 52%
Sharpe -0.23 | Sortino -0.35 | Calmar -0.2
Vol 36% | MDD -79.5%
Months 108M (43%)
CAGR -11.0% | Win 52%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -87.2%
Months 145M (57%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 26.3% | Win 58%
Sharpe 0.86 | Sortino 1.44 | Calmar 0.8
Vol 34% | MDD -32.3%
Months 86M (34%)
CAGR -1.3% | Win 44%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 33% | MDD -34.7%
Months 34M (13%)
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
MACDhist
neg
CAGR -6.3% | Win 50%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 34% | MDD -61.0%
Months 34M (13%)
CAGR -19.2% | Win 54%
Sharpe -0.38 | Sortino -0.56 | Calmar -0.2
Vol 37% | MDD -89.5%
Months 99M (39%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
RSIhist
only
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 51%
Sharpe 0.44 | Sortino 0.85 | Calmar 0.2
Vol 35% | MDD -46.3%
Months 96M (38%)
CAGR 54.3% | Win 67%
Sharpe 1.77 | Sortino 3.44 | Calmar 2.0
Vol 27% | MDD -27.3%
Months 24M (10%)
CAGR 17.8% | Win 54%
Sharpe 0.65 | Sortino 1.24 | Calmar 0.4
Vol 34% | MDD -46.0%
Months 120M (47%)
MACDhist
neg
CAGR 10.9% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.3
Vol 34% | MDD -32.9%
Months 43M (17%)
CAGR -26.6% | Win 50%
Sharpe -0.63 | Sortino -0.93 | Calmar -0.3
Vol 37% | MDD -92.0%
Months 90M (36%)
CAGR -16.1% | Win 53%
Sharpe -0.29 | Sortino -0.44 | Calmar -0.2
Vol 36% | MDD -93.8%
Months 133M (53%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 24.2% | Win 56%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.5
Vol 35% | MDD -44.3%
Months 82M (32%)
CAGR 0.3% | Win 55%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 30% | MDD -59.7%
Months 38M (15%)
CAGR 16.1% | Win 56%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.3
Vol 34% | MDD -56.1%
Months 120M (47%)
RSIhist
neg
CAGR -6.9% | Win 49%
Sharpe -0.06 | Sortino -0.12 | Calmar -0.1
Vol 32% | MDD -57.0%
Months 57M (22%)
CAGR -20.6% | Win 53%
Sharpe -0.39 | Sortino -0.58 | Calmar -0.2
Vol 38% | MDD -82.7%
Months 76M (30%)
CAGR -15.0% | Win 51%
Sharpe -0.26 | Sortino -0.42 | Calmar -0.2
Vol 36% | MDD -89.5%
Months 133M (53%)
LWTI
only
CAGR 10.4% | Win 53%
Sharpe 0.45 | Sortino 0.83 | Calmar 0.2
Vol 34% | MDD -67.4%
Months 139M (55%)
CAGR -14.1% | Win 54%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 36% | MDD -87.8%
Months 114M (45%)