PEJ - Invesco Leisure and Entertainment ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

69.1%

Best CAGR

71

Total Months

5.8%

Avg CAGR

PEJ 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 PEJ

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 LWTI pos-neg 4 1.6 69.1 100.0 5.6 0.0 0.0 9.6 0.0
pair LWTI MACDhist pos-neg 4 1.6 69.1 100.0 5.6 0.0 0.0 9.6 0.0
pair SLmean RSIhist neg-pos 5 2.0 31.6 40.0 0.9 3.1 5.0 37.5 -6.3
pair RSIhist SLmean neg-pos 5 2.0 31.6 40.0 0.9 3.1 5.0 37.5 -6.3
pair MACD MACDhist neg-pos 18 7.3 30.0 61.1 1.3 3.2 1.4 22.5 -21.2
pair MACDhist MACD neg-pos 18 7.3 30.0 61.1 1.3 3.2 1.4 22.5 -21.2
pair MACDhist SLmean neg-pos 14 5.6 25.9 64.3 1.0 1.6 1.9 25.6 -13.8
pair SLmean MACDhist neg-pos 14 5.6 25.9 64.3 1.0 1.6 1.9 25.6 -13.8
pair RSI RSIhist neg-pos 15 6.0 24.8 60.0 1.0 3.0 1.1 26.6 -22.3
pair RSIhist RSI neg-pos 15 6.0 24.8 60.0 1.0 3.0 1.1 26.6 -22.3
pair RSI MRmean pos-neg 11 4.4 23.9 63.6 1.2 2.7 1.8 19.4 -12.9
pair MRmean RSI pos-neg 11 4.4 23.9 63.6 1.2 2.7 1.8 19.4 -12.9
pair MACD RSIhist neg-pos 42 16.9 21.7 61.9 1.0 2.4 0.9 21.5 -23.4
pair RSIhist MACD neg-pos 42 16.9 21.7 61.9 1.0 2.4 0.9 21.5 -23.4
pair MRmean MACD pos-neg 38 15.3 20.6 65.8 1.1 2.2 1.2 19.6 -17.6
pair MACD MRmean pos-neg 38 15.3 20.6 65.8 1.1 2.2 1.2 19.6 -17.6
pair MACD SLmean pos-neg 40 16.1 18.3 65.0 1.0 1.9 1.1 19.6 -16.9
pair SLmean MACD pos-neg 40 16.1 18.3 65.0 1.0 1.9 1.1 19.6 -16.9
pair MACDhist MRmean neg-pos 4 1.6 16.5 50.0 0.7 1.3 2.1 26.1 -8.0
pair MRmean MACDhist neg-pos 4 1.6 16.5 50.0 0.7 1.3 2.1 26.1 -8.0
pair MACDhist RSI neg-pos 6 2.4 16.3 66.7 0.8 13.7 1.3 23.0 -12.6
pair RSI MACDhist neg-pos 6 2.4 16.3 66.7 0.8 13.7 1.3 23.0 -12.6
pair SLmean RSI pos-neg 13 5.2 16.2 61.5 0.9 1.8 0.9 19.4 -17.2
pair RSI SLmean pos-neg 13 5.2 16.2 61.5 0.9 1.8 0.9 19.4 -17.2
pair MRmean SLmean pos-neg 18 7.3 15.3 72.2 0.8 0.9 1.2 21.9 -12.5
pair SLmean MRmean pos-neg 18 7.3 15.3 72.2 0.8 0.9 1.2 21.9 -12.5
pair RSI MACD neg-pos 35 14.1 14.5 62.9 0.8 1.5 1.0 18.6 -14.5
pair MACD RSI neg-pos 35 14.1 14.5 62.9 0.8 1.5 1.0 18.6 -14.5
pair RSmean RSIhist pos-pos 129 52.0 14.3 66.7 0.8 1.4 0.5 17.6 -30.5
pair RSIhist RSmean pos-pos 129 52.0 14.3 66.7 0.8 1.4 0.5 17.6 -30.5
pair LWTI SLmean neg-neg 29 11.7 14.0 51.7 0.5 0.8 0.3 37.9 -47.3
pair SLmean LWTI neg-neg 29 11.7 14.0 51.7 0.5 0.8 0.3 37.9 -47.3
pair MACDhist RSIhist pos-pos 97 39.1 13.9 67.0 0.9 1.3 0.6 16.3 -22.7
pair RSIhist MACDhist pos-pos 97 39.1 13.9 67.0 0.9 1.3 0.6 16.3 -22.7
pair RSmean MACDhist pos-pos 121 48.8 13.3 65.3 0.8 1.2 0.6 17.2 -22.9
pair MACDhist RSmean pos-pos 121 48.8 13.3 65.3 0.8 1.2 0.6 17.2 -22.9
pair RSmean MRmean pos-pos 164 66.1 12.6 66.5 0.8 1.2 0.5 16.5 -24.8
pair MRmean RSmean pos-pos 164 66.1 12.6 66.5 0.8 1.2 0.5 16.5 -24.8
pair RSmean LWTI pos-neg 45 18.1 12.6 55.6 0.5 0.8 0.3 32.2 -47.3
pair LWTI RSmean pos-neg 45 18.1 12.6 55.6 0.5 0.8 0.3 32.2 -47.3
pair RSIhist LWTI pos-pos 118 47.6 12.6 66.1 0.8 1.2 0.6 16.0 -19.8
pair LWTI RSIhist pos-pos 118 47.6 12.6 66.1 0.8 1.2 0.6 16.0 -19.8
pair RSI RSmean pos-pos 165 66.5 12.5 66.7 0.8 1.2 0.5 16.4 -23.7
pair RSmean RSI pos-pos 165 66.5 12.5 66.7 0.8 1.2 0.5 16.4 -23.7
pair RSIhist MRmean pos-pos 129 52.0 12.5 65.9 0.8 1.3 0.5 16.4 -27.6
pair MRmean RSIhist pos-pos 129 52.0 12.5 65.9 0.8 1.3 0.5 16.4 -27.6
pair RSmean SLmean neg-pos 68 27.4 12.5 60.3 0.5 0.7 0.2 33.2 -50.6
pair SLmean RSmean neg-pos 68 27.4 12.5 60.3 0.5 0.7 0.2 33.2 -50.6
single RSIhist RSIhist pos-pos 135 54.4 12.4 64.4 0.8 1.3 0.4 17.5 -30.7
pair MACD RSmean pos-neg 68 27.4 12.1 61.8 0.5 0.7 0.2 32.8 -50.1
pair SLmean RSI neg-pos 36 14.5 12.1 63.9 0.7 0.9 0.6 18.7 -21.7
pair RSI SLmean neg-pos 36 14.5 12.1 63.9 0.7 0.9 0.6 18.7 -21.7
pair RSmean MACD pos-neg 68 27.4 12.1 61.8 0.5 0.7 0.2 32.8 -50.1
single MACDhist MACDhist pos-pos 122 49.2 11.9 64.8 0.7 1.1 0.4 17.6 -31.6
pair RSIhist SLmean pos-pos 130 52.4 11.8 65.4 0.8 1.2 0.4 16.5 -30.5
pair SLmean RSIhist pos-pos 130 52.4 11.8 65.4 0.8 1.2 0.4 16.5 -30.5
pair MRmean MACDhist pos-pos 118 47.6 11.7 65.3 0.7 1.1 0.4 17.4 -28.7
pair MACDhist MRmean pos-pos 118 47.6 11.7 65.3 0.7 1.1 0.4 17.4 -28.7
pair RSI MACDhist pos-pos 116 46.8 11.6 64.7 0.7 1.1 0.5 17.4 -21.7
pair MACDhist RSI pos-pos 116 46.8 11.6 64.7 0.7 1.1 0.5 17.4 -21.7
pair MRmean RSIhist neg-pos 6 2.4 11.5 33.3 0.4 1.4 1.0 35.9 -11.7
single RSmean RSmean pos-pos 222 89.5 11.5 64.0 0.6 0.7 0.2 22.6 -56.6
pair RSIhist MRmean neg-pos 6 2.4 11.5 33.3 0.4 1.4 1.0 35.9 -11.7
pair LWTI RSIhist pos-neg 17 6.9 11.4 52.9 0.5 1.7 0.6 26.0 -20.3
pair RSIhist LWTI pos-neg 17 6.9 11.4 52.9 0.5 1.7 0.6 26.0 -20.3
pair LWTI RSmean pos-pos 177 71.4 11.2 66.1 0.7 0.7 0.3 19.6 -39.9
pair MACD RSmean pos-pos 154 62.1 11.2 64.9 0.7 1.0 0.4 16.4 -26.5
pair RSmean MACD pos-pos 154 62.1 11.2 64.9 0.7 1.0 0.4 16.4 -26.5
pair RSmean LWTI pos-pos 177 71.4 11.2 66.1 0.7 0.7 0.3 19.6 -39.9
pair LWTI MACD neg-neg 36 14.5 11.1 55.6 0.5 0.8 0.2 35.4 -47.3
pair MACD LWTI neg-neg 36 14.5 11.1 55.6 0.5 0.8 0.2 35.4 -47.3
pair LWTI RSI neg-neg 38 15.3 11.0 52.6 0.5 0.8 0.2 34.4 -47.3
pair SLmean RSmean pos-pos 154 62.1 11.0 65.6 0.7 1.1 0.5 16.0 -23.9
pair RSmean SLmean pos-pos 154 62.1 11.0 65.6 0.7 1.1 0.5 16.0 -23.9
pair RSIhist RSI pos-pos 120 48.4 11.0 65.0 0.7 1.1 0.5 16.1 -22.6
pair RSI RSIhist pos-pos 120 48.4 11.0 65.0 0.7 1.1 0.5 16.1 -22.6
pair RSI LWTI neg-neg 38 15.3 11.0 52.6 0.5 0.8 0.2 34.4 -47.3
single MACD MACD neg-neg 81 32.7 10.8 60.5 0.5 0.6 0.2 30.4 -50.1
pair MACD SLmean neg-pos 45 18.1 10.7 60.0 0.6 0.8 0.5 22.1 -20.9
pair SLmean MACD neg-pos 45 18.1 10.7 60.0 0.6 0.8 0.5 22.1 -20.9
pair MACD LWTI neg-pos 45 18.1 10.6 64.4 0.5 0.5 0.3 26.2 -32.9
pair LWTI MACD neg-pos 45 18.1 10.6 64.4 0.5 0.5 0.3 26.2 -32.9
pair MACDhist LWTI pos-pos 118 47.6 10.3 63.6 0.7 1.0 0.3 17.7 -31.6
pair LWTI MACDhist pos-pos 118 47.6 10.3 63.6 0.7 1.0 0.3 17.7 -31.6
pair SLmean MACDhist pos-pos 108 43.5 10.2 64.8 0.7 1.0 0.3 16.3 -29.1
pair MACDhist SLmean pos-pos 108 43.5 10.2 64.8 0.7 1.0 0.3 16.3 -29.1
pair RSI MRmean neg-pos 22 8.9 10.1 59.1 0.7 1.1 0.7 15.8 -14.0
pair MRmean RSI neg-pos 22 8.9 10.1 59.1 0.7 1.1 0.7 15.8 -14.0
pair LWTI MRmean neg-neg 32 12.9 9.7 50.0 0.4 0.7 0.2 36.8 -47.3
pair MRmean LWTI neg-neg 32 12.9 9.7 50.0 0.4 0.7 0.2 36.8 -47.3
single LWTI LWTI neg-neg 47 19.0 9.6 53.2 0.4 0.7 0.2 31.8 -47.3
pair MRmean LWTI pos-neg 15 6.0 9.5 60.0 0.6 1.3 0.7 18.1 -13.9
pair LWTI MRmean pos-neg 15 6.0 9.5 60.0 0.6 1.3 0.7 18.1 -13.9
pair MACDhist RSmean pos-neg 101 40.7 9.4 62.4 0.5 0.6 0.2 27.9 -56.6
pair RSmean MACDhist pos-neg 101 40.7 9.4 62.4 0.5 0.6 0.2 27.9 -56.6
single MRmean MRmean pos-pos 174 70.2 9.2 63.8 0.6 0.9 0.3 16.8 -30.5
pair LWTI MRmean pos-pos 159 64.1 9.1 64.2 0.6 0.9 0.3 16.7 -26.1
pair MRmean LWTI pos-pos 159 64.1 9.1 64.2 0.6 0.9 0.3 16.7 -26.1
pair LWTI SLmean pos-pos 144 58.1 9.0 63.9 0.6 0.9 0.3 15.9 -26.5
pair SLmean LWTI pos-pos 144 58.1 9.0 63.9 0.6 0.9 0.3 15.9 -26.5
pair MACDhist MACD pos-pos 104 41.9 9.0 65.4 0.6 0.8 0.4 16.6 -20.8
pair MACD MACDhist pos-pos 104 41.9 9.0 65.4 0.6 0.8 0.4 16.6 -20.8
pair RSIhist MACDhist neg-pos 38 15.3 8.9 57.9 0.5 1.2 0.3 20.2 -25.3
pair MACDhist RSIhist neg-pos 38 15.3 8.9 57.9 0.5 1.2 0.3 20.2 -25.3
pair RSI RSmean pos-neg 57 23.0 8.8 56.1 0.4 0.6 0.2 35.2 -50.6
pair RSmean RSI pos-neg 57 23.0 8.8 56.1 0.4 0.6 0.2 35.2 -50.6
pair LWTI RSI pos-pos 176 71.0 8.7 63.6 0.6 0.8 0.5 16.4 -19.4
pair RSI LWTI pos-pos 176 71.0 8.7 63.6 0.6 0.8 0.5 16.4 -19.4
pair MRmean MACD neg-pos 31 12.5 8.7 54.8 0.5 0.7 0.3 21.9 -26.3
pair MACD MRmean neg-pos 31 12.5 8.7 54.8 0.5 0.7 0.3 21.9 -26.3
pair RSIhist LWTI neg-neg 30 12.1 8.6 53.3 0.4 0.6 0.2 35.1 -47.3
pair LWTI RSIhist neg-neg 30 12.1 8.6 53.3 0.4 0.6 0.2 35.1 -47.3
pair MRmean RSmean neg-pos 58 23.4 8.5 56.9 0.4 0.5 0.2 34.8 -50.6
pair RSmean MRmean neg-pos 58 23.4 8.5 56.9 0.4 0.5 0.2 34.8 -50.6
pair MRmean SLmean pos-pos 156 62.9 8.5 62.8 0.6 0.9 0.3 16.2 -30.9
pair SLmean MRmean pos-pos 156 62.9 8.5 62.8 0.6 0.9 0.3 16.2 -30.9
pair MACD RSIhist pos-pos 93 37.5 8.5 65.6 0.6 0.8 0.3 15.3 -26.5
pair RSIhist MACD pos-pos 93 37.5 8.5 65.6 0.6 0.8 0.3 15.3 -26.5
single RSI RSI pos-pos 185 74.6 8.5 63.2 0.6 0.8 0.4 16.5 -23.7
single SLmean SLmean pos-pos 162 65.3 8.3 63.0 0.6 0.9 0.2 16.2 -34.7
pair RSI MRmean pos-pos 163 65.7 8.2 63.8 0.6 0.8 0.3 16.6 -25.7
pair MRmean RSI pos-pos 163 65.7 8.2 63.8 0.6 0.8 0.3 16.6 -25.7
pair benchmark___benchmark_ benchmark-benchmark 248 100.0 8.0 61.3 0.5 0.6 0.1 22.3 -56.6
pair benchmark___benchmark_ benchmark-benchmark 248 100.0 8.0 61.3 0.5 0.6 0.1 22.3 -56.6
pair MACD RSI neg-neg 46 18.5 8.0 58.7 0.4 0.5 0.2 37.2 -47.3
pair RSI MACD neg-neg 46 18.5 8.0 58.7 0.4 0.5 0.2 37.2 -47.3
pair RSmean RSIhist pos-neg 93 37.5 7.8 60.2 0.4 0.5 0.1 28.3 -54.5
pair RSIhist RSmean pos-neg 93 37.5 7.8 60.2 0.4 0.5 0.1 28.3 -54.5
single LWTI LWTI pos-pos 201 81.0 7.6 63.2 0.5 0.6 0.1 19.5 -52.7
pair RSI SLmean pos-pos 149 60.1 7.6 63.1 0.5 0.8 0.2 15.9 -30.7
pair SLmean RSI pos-pos 149 60.1 7.6 63.1 0.5 0.8 0.2 15.9 -30.7
single SLmean SLmean neg-neg 86 34.7 7.4 58.1 0.4 0.5 0.1 30.8 -50.6
pair MACD RSI pos-pos 150 60.5 7.1 63.3 0.5 0.7 0.2 16.0 -31.3
pair RSI MACD pos-pos 150 60.5 7.1 63.3 0.5 0.7 0.2 16.0 -31.3
pair MACD LWTI pos-pos 156 62.9 6.8 62.8 0.5 0.6 0.2 17.2 -40.9
pair LWTI MACD pos-pos 156 62.9 6.8 62.8 0.5 0.6 0.2 17.2 -40.9
single MACD MACD pos-pos 167 67.3 6.6 61.7 0.5 0.6 0.2 17.1 -38.5
single RSI RSI neg-neg 63 25.4 6.6 55.6 0.4 0.5 0.1 34.3 -50.6
pair MRmean MACD pos-pos 136 54.8 6.2 63.2 0.5 0.6 0.2 15.9 -29.6
pair MACD MRmean pos-pos 136 54.8 6.2 63.2 0.5 0.6 0.2 15.9 -29.6
pair SLmean RSIhist neg-neg 81 32.7 6.1 59.3 0.3 0.4 0.1 30.6 -50.6
pair RSIhist SLmean neg-neg 81 32.7 6.1 59.3 0.3 0.4 0.1 30.6 -50.6
pair MACD MACDhist neg-neg 63 25.4 5.8 60.3 0.3 0.4 0.1 32.4 -52.5
pair MACDhist MACD neg-neg 63 25.4 5.8 60.3 0.3 0.4 0.1 32.4 -52.5
pair MACDhist RSI neg-neg 57 23.0 5.6 54.4 0.3 0.4 0.1 35.4 -50.6
pair RSI MACDhist neg-neg 57 23.0 5.6 54.4 0.3 0.4 0.1 35.4 -50.6
pair SLmean MRmean neg-neg 68 27.4 5.5 54.4 0.3 0.4 0.1 32.9 -50.6
pair MRmean SLmean neg-neg 68 27.4 5.5 54.4 0.3 0.4 0.1 32.9 -50.6
pair LWTI MACDhist neg-neg 43 17.3 5.3 48.8 0.3 0.5 0.1 33.0 -47.3
pair MACDhist LWTI neg-neg 43 17.3 5.3 48.8 0.3 0.5 0.1 33.0 -47.3
single MRmean MRmean neg-neg 74 29.8 5.2 55.4 0.3 0.4 0.1 31.9 -50.6
pair SLmean MACD pos-pos 122 49.2 5.2 62.3 0.4 0.6 0.2 14.9 -30.9
pair MACD SLmean pos-pos 122 49.2 5.2 62.3 0.4 0.6 0.2 14.9 -30.9
pair LWTI MACD pos-neg 11 4.4 5.0 45.5 0.4 0.7 0.7 15.9 -7.6
pair MACD LWTI pos-neg 11 4.4 5.0 45.5 0.4 0.7 0.7 15.9 -7.6
pair RSIhist MRmean neg-neg 68 27.4 4.7 57.4 0.3 0.4 0.1 31.8 -50.6
pair MRmean RSIhist neg-neg 68 27.4 4.7 57.4 0.3 0.4 0.1 31.8 -50.6
pair MRmean MACDhist neg-neg 70 28.2 4.6 55.7 0.3 0.4 0.1 32.3 -50.6
pair MACDhist MRmean neg-neg 70 28.2 4.6 55.7 0.3 0.4 0.1 32.3 -50.6
pair MACDhist SLmean pos-neg 54 21.8 4.5 59.3 0.4 0.6 0.2 16.0 -22.1
pair SLmean MACDhist pos-neg 54 21.8 4.5 59.3 0.4 0.6 0.2 16.0 -22.1
pair RSIhist MACDhist pos-neg 25 10.1 4.5 56.0 0.3 0.5 0.2 22.0 -18.6
pair MACDhist RSIhist pos-neg 25 10.1 4.5 56.0 0.3 0.5 0.2 22.0 -18.6
single MACDhist MACDhist neg-neg 126 50.8 4.3 57.9 0.3 0.4 0.1 26.1 -56.6
pair RSIhist MACD pos-neg 74 29.8 4.3 56.8 0.3 0.4 0.1 19.2 -32.0
pair MACD RSIhist pos-neg 74 29.8 4.3 56.8 0.3 0.4 0.1 19.2 -32.0
pair SLmean RSI neg-neg 50 20.2 4.2 54.0 0.3 0.4 0.1 37.3 -50.6
pair RSI SLmean neg-neg 50 20.2 4.2 54.0 0.3 0.4 0.1 37.3 -50.6
pair LWTI SLmean neg-pos 57 23.0 4.2 61.4 0.3 0.3 0.1 26.7 -45.4
pair SLmean LWTI neg-pos 57 23.0 4.2 61.4 0.3 0.3 0.1 26.7 -45.4
pair MACDhist SLmean neg-neg 72 29.0 4.2 56.9 0.3 0.4 0.1 31.8 -50.6
pair SLmean MACDhist neg-neg 72 29.0 4.2 56.9 0.3 0.4 0.1 31.8 -50.6
pair RSmean MACD neg-neg 13 5.2 4.1 53.8 0.4 0.5 0.6 13.3 -7.4
pair MACD RSmean neg-neg 13 5.2 4.1 53.8 0.4 0.5 0.6 13.3 -7.4
pair MRmean MACDhist pos-neg 56 22.6 4.0 60.7 0.3 0.5 0.2 15.5 -24.9
pair MACDhist MRmean pos-neg 56 22.6 4.0 60.7 0.3 0.5 0.2 15.5 -24.9
pair MACD SLmean neg-neg 41 16.5 3.9 56.1 0.3 0.4 0.1 38.4 -52.3
pair SLmean MACD neg-neg 41 16.5 3.9 56.1 0.3 0.4 0.1 38.4 -52.3
pair LWTI RSI pos-neg 9 3.6 3.9 55.6 0.3 0.6 0.4 18.1 -9.2
pair RSI LWTI pos-neg 9 3.6 3.9 55.6 0.3 0.6 0.4 18.1 -9.2
pair RSIhist RSI pos-neg 65 26.2 3.9 60.0 0.3 0.4 0.2 17.3 -16.8
pair RSI RSIhist pos-neg 65 26.2 3.9 60.0 0.3 0.4 0.2 17.3 -16.8
pair LWTI MACDhist neg-pos 83 33.5 3.8 62.7 0.3 0.3 0.1 22.0 -48.8
pair MACDhist LWTI neg-pos 83 33.5 3.8 62.7 0.3 0.3 0.1 22.0 -48.8
pair RSI MACDhist pos-neg 69 27.8 3.3 60.9 0.3 0.4 0.2 14.9 -18.7
pair MACDhist RSI pos-neg 69 27.8 3.3 60.9 0.3 0.4 0.2 14.9 -18.7
pair RSI MRmean neg-neg 52 21.0 3.2 53.8 0.3 0.4 0.1 36.8 -50.6
pair MRmean RSI neg-neg 52 21.0 3.2 53.8 0.3 0.4 0.1 36.8 -50.6
single RSIhist RSIhist neg-neg 113 45.6 2.9 57.5 0.2 0.3 0.1 27.0 -54.5
pair MACD MACDhist pos-neg 63 25.4 2.8 55.6 0.2 0.3 0.1 18.0 -32.3
pair MRmean MACD neg-neg 43 17.3 2.8 55.8 0.3 0.3 0.1 37.7 -52.3
pair MACD MRmean neg-neg 43 17.3 2.8 55.8 0.3 0.3 0.1 37.7 -52.3
pair MACDhist MACD pos-neg 63 25.4 2.8 55.6 0.2 0.3 0.1 18.0 -32.3
pair SLmean LWTI pos-neg 18 7.3 2.8 55.6 0.2 0.5 0.2 18.7 -17.4
pair LWTI SLmean pos-neg 18 7.3 2.8 55.6 0.2 0.5 0.2 18.7 -17.4
pair MRmean SLmean neg-pos 6 2.4 2.7 66.7 0.2 0.4 0.3 18.6 -9.3
pair SLmean MRmean neg-pos 6 2.4 2.7 66.7 0.2 0.4 0.3 18.6 -9.3
pair RSI MACD pos-neg 17 6.9 2.7 47.1 0.2 0.3 0.1 25.4 -28.4
pair MACD RSI pos-neg 17 6.9 2.7 47.1 0.2 0.3 0.1 25.4 -28.4
pair MACDhist RSIhist neg-neg 88 35.5 2.4 58.0 0.2 0.3 0.0 28.4 -54.5
pair RSIhist MACDhist neg-neg 88 35.5 2.4 58.0 0.2 0.3 0.0 28.4 -54.5
pair MRmean LWTI neg-pos 42 16.9 2.0 59.5 0.2 0.2 0.0 28.0 -44.4
pair LWTI MRmean neg-pos 42 16.9 2.0 59.5 0.2 0.2 0.0 28.0 -44.4
pair RSIhist RSI neg-neg 48 19.4 1.5 54.2 0.2 0.3 0.0 36.5 -52.9
pair RSI RSIhist neg-neg 48 19.4 1.5 54.2 0.2 0.3 0.0 36.5 -52.9
pair LWTI RSIhist neg-pos 83 33.5 0.9 59.0 0.2 0.2 0.0 23.7 -48.8
pair RSIhist LWTI neg-pos 83 33.5 0.9 59.0 0.2 0.2 0.0 23.7 -48.8
pair MRmean RSIhist pos-neg 45 18.1 0.2 57.8 0.1 0.1 0.0 17.8 -16.8
pair RSIhist MRmean pos-neg 45 18.1 0.2 57.8 0.1 0.1 0.0 17.8 -16.8
pair RSIhist MACD neg-neg 39 15.7 0.2 59.0 0.2 0.2 0.0 38.0 -60.7
pair MACD RSIhist neg-neg 39 15.7 0.2 59.0 0.2 0.2 0.0 38.0 -60.7
pair RSI LWTI neg-pos 25 10.1 0.2 60.0 0.2 0.2 0.0 34.7 -49.4
pair LWTI RSI neg-pos 25 10.1 0.2 60.0 0.2 0.2 0.0 34.7 -49.4
pair SLmean RSIhist pos-neg 32 12.9 -4.9 53.1 -0.3 -0.3 -0.3 14.6 -18.6
pair RSIhist SLmean pos-neg 32 12.9 -4.9 53.1 -0.3 -0.3 -0.3 14.6 -18.6
pair MRmean RSmean neg-neg 16 6.5 -5.8 50.0 -0.2 -0.3 -0.3 17.6 -18.7
pair RSmean MRmean neg-neg 16 6.5 -5.8 50.0 -0.2 -0.3 -0.3 17.6 -18.7
pair SLmean RSmean neg-neg 18 7.3 -9.8 50.0 -0.5 -0.5 -0.4 18.3 -26.3
pair RSmean SLmean neg-neg 18 7.3 -9.8 50.0 -0.5 -0.5 -0.4 18.3 -26.3
pair RSmean RSI neg-neg 6 2.4 -12.2 50.0 -0.4 -0.4 -0.8 25.4 -15.3
pair RSI RSmean neg-neg 6 2.4 -12.2 50.0 -0.4 -0.4 -0.8 25.4 -15.3
pair MACDhist RSmean neg-neg 25 10.1 -13.8 40.0 -0.8 -1.0 -0.4 16.2 -35.3
pair RSmean MACDhist neg-neg 25 10.1 -13.8 40.0 -0.8 -1.0 -0.4 16.2 -35.3
pair LWTI RSmean neg-pos 24 9.7 -15.8 41.7 -0.9 -1.0 -0.4 17.8 -37.5
pair RSmean LWTI neg-pos 24 9.7 -15.8 41.7 -0.9 -1.0 -0.4 17.8 -37.5
pair RSIhist RSmean neg-neg 20 8.1 -17.1 45.0 -0.9 -1.0 -0.5 19.2 -37.3
pair RSmean RSIhist neg-neg 20 8.1 -17.1 45.0 -0.9 -1.0 -0.5 19.2 -37.3
single RSmean RSmean neg-neg 26 10.5 -17.9 38.5 -1.0 -1.2 -0.4 17.3 -42.6
pair RSI RSmean neg-pos 20 8.1 -19.6 35.0 -1.4 -1.8 -0.6 15.0 -32.2
pair RSmean RSI neg-pos 20 8.1 -19.6 35.0 -1.4 -1.8 -0.6 15.0 -32.2
pair RSmean RSIhist neg-pos 6 2.4 -20.4 16.7 -2.2 -3.4 -1.9 10.0 -10.7
pair RSIhist RSmean neg-pos 6 2.4 -20.4 16.7 -2.2 -3.4 -1.9 10.0 -10.7
pair SLmean RSmean pos-neg 8 3.2 -33.6 12.5 -2.8 -3.3 -1.5 14.1 -21.8
pair RSmean SLmean pos-neg 8 3.2 -33.6 12.5 -2.8 -3.3 -1.5 14.1 -21.8
pair MRmean RSmean pos-neg 10 4.0 -34.2 20.0 -2.5 -3.1 -1.2 15.7 -29.2
pair RSmean MRmean pos-neg 10 4.0 -34.2 20.0 -2.5 -3.1 -1.2 15.7 -29.2
pair RSmean MACD neg-pos 13 5.2 -35.3 23.1 -2.2 -2.5 -0.9 18.9 -39.3
pair MACD RSmean neg-pos 13 5.2 -35.3 23.1 -2.2 -2.5 -0.9 18.9 -39.3
pair RSmean LWTI neg-neg 2 0.8 -39.9 0.0 -7.9 -7.9 -7.3 6.3 -5.4
pair LWTI RSmean neg-neg 2 0.8 -39.9 0.0 -7.9 -7.9 -7.3 6.3 -5.4
pair RSmean MACDhist neg-pos 1 0.4 -76.1 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 -76.1 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for PEJ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 63%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -30.9%
Months 156M (63%)
CAGR 15.3% | Win 72%
Sharpe 0.76 | Sortino 0.95 | Calmar 1.2
Vol 22% | MDD -12.5%
Months 18M (7%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 2.7% | Win 67%
Sharpe 0.22 | Sortino 0.42 | Calmar 0.3
Vol 19% | MDD -9.3%
Months 6M (2%)
CAGR 5.5% | Win 54%
Sharpe 0.33 | Sortino 0.42 | Calmar 0.1
Vol 33% | MDD -50.6%
Months 68M (27%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
SLmean
only
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 66%
Sharpe 0.81 | Sortino 1.19 | Calmar 0.5
Vol 16% | MDD -24.8%
Months 164M (66%)
CAGR -34.2% | Win 20%
Sharpe -2.54 | Sortino -3.11 | Calmar -1.2
Vol 16% | MDD -29.2%
Months 10M (4%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 8.5% | Win 57%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 58M (23%)
CAGR -5.8% | Win 50%
Sharpe -0.25 | Sortino -0.26 | Calmar -0.3
Vol 18% | MDD -18.7%
Months 16M (6%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
RSmean
only
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.2% | Win 63%
Sharpe 0.46 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -29.6%
Months 136M (55%)
CAGR 20.6% | Win 66%
Sharpe 1.06 | Sortino 2.16 | Calmar 1.2
Vol 20% | MDD -17.6%
Months 38M (15%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 8.7% | Win 55%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.3
Vol 22% | MDD -26.3%
Months 31M (12%)
CAGR 2.8% | Win 56%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 38% | MDD -52.3%
Months 43M (17%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
MACD
only
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 64%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.3
Vol 17% | MDD -25.7%
Months 163M (66%)
CAGR 23.9% | Win 64%
Sharpe 1.20 | Sortino 2.72 | Calmar 1.8
Vol 19% | MDD -12.9%
Months 11M (4%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 10.1% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.7
Vol 16% | MDD -14.0%
Months 22M (9%)
CAGR 3.2% | Win 54%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 37% | MDD -50.6%
Months 52M (21%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
RSI
only
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 65%
Sharpe 0.73 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -28.7%
Months 118M (48%)
CAGR 4.0% | Win 61%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -24.9%
Months 56M (23%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 16.5% | Win 50%
Sharpe 0.69 | Sortino 1.33 | Calmar 2.1
Vol 26% | MDD -8.0%
Months 4M (2%)
CAGR 4.6% | Win 56%
Sharpe 0.31 | Sortino 0.39 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 70M (28%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 66%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.5
Vol 16% | MDD -27.6%
Months 129M (52%)
CAGR 0.2% | Win 58%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 18% | MDD -16.8%
Months 45M (18%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 11.5% | Win 33%
Sharpe 0.44 | Sortino 1.37 | Calmar 1.0
Vol 36% | MDD -11.7%
Months 6M (2%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 68M (27%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 64%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -26.1%
Months 159M (64%)
CAGR 9.5% | Win 60%
Sharpe 0.58 | Sortino 1.29 | Calmar 0.7
Vol 18% | MDD -13.9%
Months 15M (6%)
CAGR 9.2% | Win 64%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 174M (70%)
MRmean
neg
CAGR 2.0% | Win 60%
Sharpe 0.22 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -44.4%
Months 42M (17%)
CAGR 9.7% | Win 50%
Sharpe 0.43 | Sortino 0.71 | Calmar 0.2
Vol 37% | MDD -47.3%
Months 32M (13%)
CAGR 5.2% | Win 55%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 74M (30%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 66%
Sharpe 0.74 | Sortino 1.12 | Calmar 0.5
Vol 16% | MDD -23.9%
Months 154M (62%)
CAGR -33.6% | Win 12%
Sharpe -2.78 | Sortino -3.27 | Calmar -1.5
Vol 14% | MDD -21.8%
Months 8M (3%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 12.5% | Win 60%
Sharpe 0.53 | Sortino 0.66 | Calmar 0.2
Vol 33% | MDD -50.6%
Months 68M (27%)
CAGR -9.8% | Win 50%
Sharpe -0.47 | Sortino -0.51 | Calmar -0.4
Vol 18% | MDD -26.3%
Months 18M (7%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
RSmean
only
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.2% | Win 62%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 15% | MDD -30.9%
Months 122M (49%)
CAGR 18.3% | Win 65%
Sharpe 0.96 | Sortino 1.94 | Calmar 1.1
Vol 20% | MDD -16.9%
Months 40M (16%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 10.7% | Win 60%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.5
Vol 22% | MDD -20.9%
Months 45M (18%)
CAGR 3.9% | Win 56%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 38% | MDD -52.3%
Months 41M (16%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
MACD
only
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 63%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 16% | MDD -30.7%
Months 149M (60%)
CAGR 16.2% | Win 62%
Sharpe 0.87 | Sortino 1.84 | Calmar 0.9
Vol 19% | MDD -17.2%
Months 13M (5%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 12.1% | Win 64%
Sharpe 0.70 | Sortino 0.95 | Calmar 0.6
Vol 19% | MDD -21.7%
Months 36M (14%)
CAGR 4.2% | Win 54%
Sharpe 0.30 | Sortino 0.40 | Calmar 0.1
Vol 37% | MDD -50.6%
Months 50M (20%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
RSI
only
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.2% | Win 65%
Sharpe 0.68 | Sortino 0.99 | Calmar 0.3
Vol 16% | MDD -29.1%
Months 108M (44%)
CAGR 4.5% | Win 59%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.2
Vol 16% | MDD -22.1%
Months 54M (22%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 25.9% | Win 64%
Sharpe 1.03 | Sortino 1.61 | Calmar 1.9
Vol 26% | MDD -13.8%
Months 14M (6%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 72M (29%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.8% | Win 65%
Sharpe 0.76 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -30.5%
Months 130M (52%)
CAGR -4.9% | Win 53%
Sharpe -0.27 | Sortino -0.35 | Calmar -0.3
Vol 15% | MDD -18.6%
Months 32M (13%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 31.6% | Win 40%
Sharpe 0.88 | Sortino 3.06 | Calmar 5.0
Vol 38% | MDD -6.3%
Months 5M (2%)
CAGR 6.1% | Win 59%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 81M (33%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 64%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -26.5%
Months 144M (58%)
CAGR 2.8% | Win 56%
Sharpe 0.24 | Sortino 0.54 | Calmar 0.2
Vol 19% | MDD -17.4%
Months 18M (7%)
CAGR 8.3% | Win 63%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 162M (65%)
SLmean
neg
CAGR 4.2% | Win 61%
Sharpe 0.30 | Sortino 0.31 | Calmar 0.1
Vol 27% | MDD -45.4%
Months 57M (23%)
CAGR 14.0% | Win 52%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 38% | MDD -47.3%
Months 29M (12%)
CAGR 7.4% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 31% | MDD -50.6%
Months 86M (35%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 65%
Sharpe 0.73 | Sortino 1.02 | Calmar 0.4
Vol 16% | MDD -26.5%
Months 154M (62%)
CAGR 12.1% | Win 62%
Sharpe 0.52 | Sortino 0.67 | Calmar 0.2
Vol 33% | MDD -50.1%
Months 68M (27%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
RSmean
neg
CAGR -35.3% | Win 23%
Sharpe -2.17 | Sortino -2.45 | Calmar -0.9
Vol 19% | MDD -39.3%
Months 13M (5%)
CAGR 4.1% | Win 54%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.6
Vol 13% | MDD -7.4%
Months 13M (5%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
MACD
only
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 12.5% | Win 67%
Sharpe 0.80 | Sortino 1.16 | Calmar 0.5
Vol 16% | MDD -23.7%
Months 165M (66%)
CAGR 8.8% | Win 56%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 57M (23%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
RSmean
neg
CAGR -19.6% | Win 35%
Sharpe -1.37 | Sortino -1.78 | Calmar -0.6
Vol 15% | MDD -32.2%
Months 20M (8%)
CAGR -12.2% | Win 50%
Sharpe -0.40 | Sortino -0.36 | Calmar -0.8
Vol 25% | MDD -15.3%
Months 6M (2%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
RSI
only
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.3% | Win 65%
Sharpe 0.81 | Sortino 1.25 | Calmar 0.6
Vol 17% | MDD -22.9%
Months 121M (49%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.56 | Calmar 0.2
Vol 28% | MDD -56.6%
Months 101M (41%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
RSmean
neg
CAGR -76.1% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -13.8% | Win 40%
Sharpe -0.82 | Sortino -0.99 | Calmar -0.4
Vol 16% | MDD -35.3%
Months 25M (10%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 14.3% | Win 67%
Sharpe 0.85 | Sortino 1.40 | Calmar 0.5
Vol 18% | MDD -30.5%
Months 129M (52%)
CAGR 7.8% | Win 60%
Sharpe 0.41 | Sortino 0.49 | Calmar 0.1
Vol 28% | MDD -54.5%
Months 93M (38%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
RSmean
neg
CAGR -20.4% | Win 17%
Sharpe -2.21 | Sortino -3.38 | Calmar -1.9
Vol 10% | MDD -10.7%
Months 6M (2%)
CAGR -17.1% | Win 45%
Sharpe -0.88 | Sortino -1.00 | Calmar -0.5
Vol 19% | MDD -37.3%
Months 20M (8%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 66%
Sharpe 0.65 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -39.9%
Months 177M (71%)
CAGR 12.6% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 32% | MDD -47.3%
Months 45M (18%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.2
Vol 23% | MDD -56.6%
Months 222M (90%)
RSmean
neg
CAGR -15.8% | Win 42%
Sharpe -0.87 | Sortino -0.99 | Calmar -0.4
Vol 18% | MDD -37.5%
Months 24M (10%)
CAGR -39.9% | Win 0%
Sharpe -7.87 | Sortino -7.87 | Calmar -7.3
Vol 6% | MDD -5.4%
Months 2M (1%)
CAGR -17.9% | Win 38%
Sharpe -1.04 | Sortino -1.24 | Calmar -0.4
Vol 17% | MDD -42.6%
Months 26M (10%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 63%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.3%
Months 150M (60%)
CAGR 2.7% | Win 47%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.1
Vol 25% | MDD -28.4%
Months 17M (7%)
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
MACD
neg
CAGR 14.5% | Win 63%
Sharpe 0.82 | Sortino 1.48 | Calmar 1.0
Vol 19% | MDD -14.5%
Months 35M (14%)
CAGR 8.0% | Win 59%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 37% | MDD -47.3%
Months 46M (18%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
RSI
only
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 65%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.4
Vol 17% | MDD -20.8%
Months 104M (42%)
CAGR 2.8% | Win 56%
Sharpe 0.25 | Sortino 0.33 | Calmar 0.1
Vol 18% | MDD -32.3%
Months 63M (25%)
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
MACD
neg
CAGR 30.0% | Win 61%
Sharpe 1.28 | Sortino 3.20 | Calmar 1.4
Vol 22% | MDD -21.2%
Months 18M (7%)
CAGR 5.8% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 32% | MDD -52.5%
Months 63M (25%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.5% | Win 66%
Sharpe 0.61 | Sortino 0.84 | Calmar 0.3
Vol 15% | MDD -26.5%
Months 93M (38%)
CAGR 4.3% | Win 57%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -32.0%
Months 74M (30%)
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
MACD
neg
CAGR 21.7% | Win 62%
Sharpe 1.02 | Sortino 2.42 | Calmar 0.9
Vol 22% | MDD -23.4%
Months 42M (17%)
CAGR 0.2% | Win 59%
Sharpe 0.20 | Sortino 0.25 | Calmar 0.0
Vol 38% | MDD -60.7%
Months 39M (16%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 63%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 17% | MDD -40.9%
Months 156M (63%)
CAGR 5.0% | Win 46%
Sharpe 0.38 | Sortino 0.73 | Calmar 0.7
Vol 16% | MDD -7.6%
Months 11M (4%)
CAGR 6.6% | Win 62%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 167M (67%)
MACD
neg
CAGR 10.6% | Win 64%
Sharpe 0.53 | Sortino 0.51 | Calmar 0.3
Vol 26% | MDD -32.9%
Months 45M (18%)
CAGR 11.1% | Win 56%
Sharpe 0.47 | Sortino 0.80 | Calmar 0.2
Vol 35% | MDD -47.3%
Months 36M (14%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (33%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.6% | Win 65%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.5
Vol 17% | MDD -21.7%
Months 116M (47%)
CAGR 3.3% | Win 61%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.2
Vol 15% | MDD -18.7%
Months 69M (28%)
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
RSI
neg
CAGR 16.3% | Win 67%
Sharpe 0.76 | Sortino 13.69 | Calmar 1.3
Vol 23% | MDD -12.6%
Months 6M (2%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.1
Vol 35% | MDD -50.6%
Months 57M (23%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.0% | Win 65%
Sharpe 0.73 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -22.6%
Months 120M (48%)
CAGR 3.9% | Win 60%
Sharpe 0.31 | Sortino 0.43 | Calmar 0.2
Vol 17% | MDD -16.8%
Months 65M (26%)
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
RSI
neg
CAGR 24.8% | Win 60%
Sharpe 0.96 | Sortino 2.98 | Calmar 1.1
Vol 27% | MDD -22.3%
Months 15M (6%)
CAGR 1.5% | Win 54%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.0
Vol 36% | MDD -52.9%
Months 48M (19%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.7% | Win 64%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.4
Vol 16% | MDD -19.4%
Months 176M (71%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.57 | Calmar 0.4
Vol 18% | MDD -9.2%
Months 9M (4%)
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 185M (75%)
RSI
neg
CAGR 0.2% | Win 60%
Sharpe 0.19 | Sortino 0.20 | Calmar 0.0
Vol 35% | MDD -49.4%
Months 25M (10%)
CAGR 11.0% | Win 53%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 34% | MDD -47.3%
Months 38M (15%)
CAGR 6.6% | Win 56%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 34% | MDD -50.6%
Months 63M (25%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.9% | Win 67%
Sharpe 0.88 | Sortino 1.30 | Calmar 0.6
Vol 16% | MDD -22.7%
Months 97M (39%)
CAGR 4.5% | Win 56%
Sharpe 0.30 | Sortino 0.49 | Calmar 0.2
Vol 22% | MDD -18.6%
Months 25M (10%)
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
MACDhist
neg
CAGR 8.9% | Win 58%
Sharpe 0.52 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -25.3%
Months 38M (15%)
CAGR 2.4% | Win 58%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -54.5%
Months 88M (36%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
RSIhist
only
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.3% | Win 64%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 18% | MDD -31.6%
Months 118M (48%)
CAGR 69.1% | Win 100%
Sharpe 5.63 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 4M (2%)
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 122M (49%)
MACDhist
neg
CAGR 3.8% | Win 63%
Sharpe 0.29 | Sortino 0.29 | Calmar 0.1
Vol 22% | MDD -48.8%
Months 83M (34%)
CAGR 5.3% | Win 49%
Sharpe 0.32 | Sortino 0.53 | Calmar 0.1
Vol 33% | MDD -47.3%
Months 43M (17%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (51%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.6% | Win 66%
Sharpe 0.82 | Sortino 1.23 | Calmar 0.6
Vol 16% | MDD -19.8%
Months 118M (48%)
CAGR 11.4% | Win 53%
Sharpe 0.53 | Sortino 1.67 | Calmar 0.6
Vol 26% | MDD -20.3%
Months 17M (7%)
CAGR 12.4% | Win 64%
Sharpe 0.76 | Sortino 1.28 | Calmar 0.4
Vol 18% | MDD -30.7%
Months 135M (54%)
RSIhist
neg
CAGR 0.9% | Win 59%
Sharpe 0.16 | Sortino 0.18 | Calmar 0.0
Vol 24% | MDD -48.8%
Months 83M (34%)
CAGR 8.6% | Win 53%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 35% | MDD -47.3%
Months 30M (12%)
CAGR 2.9% | Win 57%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 113M (46%)
LWTI
only
CAGR 7.6% | Win 63%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -52.7%
Months 201M (81%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (19%)