PEJ - Invesco Leisure and Entertainment ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

69.2%

Best CAGR

73

Total Months

6.3%

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 69.2 100.0 5.6 0.0 0.0 9.6 0.0
pair LWTI MACDhist pos-neg 4 1.6 69.2 100.0 5.6 0.0 0.0 9.6 0.0
pair MACDhist SLmean neg-pos 16 6.2 33.9 68.8 1.3 2.0 2.5 24.3 -13.8
pair SLmean MACDhist neg-pos 16 6.2 33.9 68.8 1.3 2.0 2.5 24.3 -13.8
pair MACDhist MRmean neg-pos 5 2.0 33.2 60.0 1.3 2.3 4.2 24.2 -8.0
pair MRmean MACDhist neg-pos 5 2.0 33.2 60.0 1.3 2.3 4.2 24.2 -8.0
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 7.0 30.0 61.1 1.3 3.2 1.4 22.5 -21.2
pair MACDhist MACD neg-pos 18 7.0 30.0 61.1 1.3 3.2 1.4 22.5 -21.2
pair RSI RSIhist neg-pos 15 5.9 24.8 60.0 1.0 3.0 1.1 26.6 -22.3
pair RSIhist RSI neg-pos 15 5.9 24.8 60.0 1.0 3.0 1.1 26.6 -22.3
pair RSI MRmean pos-neg 11 4.3 23.9 63.6 1.2 2.7 1.8 19.4 -12.9
pair MRmean RSI pos-neg 11 4.3 23.9 63.6 1.2 2.7 1.8 19.4 -12.9
pair MACD RSIhist neg-pos 42 16.4 21.7 61.9 1.0 2.4 0.9 21.5 -23.4
pair RSIhist MACD neg-pos 42 16.4 21.7 61.9 1.0 2.4 0.9 21.5 -23.4
pair MRmean MACD pos-neg 38 14.8 20.6 65.8 1.1 2.2 1.2 19.6 -17.6
pair MACD MRmean pos-neg 38 14.8 20.6 65.8 1.1 2.2 1.2 19.6 -17.6
pair MACD SLmean pos-neg 40 15.6 18.3 65.0 1.0 1.9 1.1 19.6 -16.9
pair SLmean MACD pos-neg 40 15.6 18.3 65.0 1.0 1.9 1.1 19.6 -16.9
pair MRmean SLmean pos-neg 19 7.4 18.2 73.7 0.9 1.1 1.4 21.5 -12.5
pair SLmean MRmean pos-neg 19 7.4 18.2 73.7 0.9 1.1 1.4 21.5 -12.5
pair MACDhist RSI neg-pos 6 2.3 16.3 66.7 0.8 13.7 1.3 23.0 -12.6
pair RSI MACDhist neg-pos 6 2.3 16.3 66.7 0.8 13.7 1.3 23.0 -12.6
pair SLmean RSI pos-neg 13 5.1 16.2 61.5 0.9 1.8 0.9 19.4 -17.2
pair RSI SLmean pos-neg 13 5.1 16.2 61.5 0.9 1.8 0.9 19.4 -17.2
pair SLmean RSI neg-pos 38 14.8 15.7 65.8 0.9 1.2 0.7 18.7 -21.7
pair RSI SLmean neg-pos 38 14.8 15.7 65.8 0.9 1.2 0.7 18.7 -21.7
pair RSmean SLmean neg-pos 70 27.3 14.5 61.4 0.6 0.7 0.3 32.9 -50.6
pair SLmean RSmean neg-pos 70 27.3 14.5 61.4 0.6 0.7 0.3 32.9 -50.6
pair RSI MACD neg-pos 35 13.7 14.5 62.9 0.8 1.5 1.0 18.6 -14.5
pair MACD RSI neg-pos 35 13.7 14.5 62.9 0.8 1.5 1.0 18.6 -14.5
pair LWTI SLmean neg-neg 29 11.3 14.1 51.7 0.5 0.8 0.3 38.0 -47.3
pair SLmean LWTI neg-neg 29 11.3 14.1 51.7 0.5 0.8 0.3 38.0 -47.3
pair MACD SLmean neg-pos 47 18.4 13.7 61.7 0.7 0.9 0.7 21.9 -20.9
pair SLmean MACD neg-pos 47 18.4 13.7 61.7 0.7 0.9 0.7 21.9 -20.9
pair RSI MRmean neg-pos 23 9.0 13.6 60.9 0.9 1.4 1.0 16.0 -14.0
pair MRmean RSI neg-pos 23 9.0 13.6 60.9 0.9 1.4 1.0 16.0 -14.0
pair RSmean MACDhist pos-pos 129 50.4 13.3 65.1 0.8 1.3 0.6 17.2 -22.9
pair MACDhist RSmean pos-pos 129 50.4 13.3 65.1 0.8 1.3 0.6 17.2 -22.9
pair RSmean RSIhist pos-pos 134 52.3 13.0 65.7 0.8 1.3 0.4 17.6 -30.6
pair RSIhist RSmean pos-pos 134 52.3 13.0 65.7 0.8 1.3 0.4 17.6 -30.6
pair RSmean LWTI pos-neg 45 17.6 12.6 55.6 0.5 0.8 0.3 32.2 -47.3
pair LWTI RSmean pos-neg 45 17.6 12.6 55.6 0.5 0.8 0.3 32.2 -47.3
pair RSI RSmean pos-pos 173 67.6 12.5 66.5 0.8 1.2 0.5 16.4 -23.7
pair RSmean RSI pos-pos 173 67.6 12.5 66.5 0.8 1.2 0.5 16.4 -23.7
pair MACDhist RSIhist pos-pos 102 39.8 12.2 65.7 0.8 1.2 0.5 16.4 -22.7
pair RSIhist MACDhist pos-pos 102 39.8 12.2 65.7 0.8 1.2 0.5 16.4 -22.7
pair RSmean MRmean pos-pos 171 66.8 12.1 66.1 0.8 1.2 0.5 16.4 -24.8
pair MRmean RSmean pos-pos 171 66.8 12.1 66.1 0.8 1.2 0.5 16.4 -24.8
pair MACD RSmean pos-neg 68 26.6 12.1 61.8 0.5 0.7 0.2 32.8 -50.1
pair RSmean MACD pos-neg 68 26.6 12.1 61.8 0.5 0.7 0.2 32.8 -50.1
single MACDhist MACDhist pos-pos 130 50.8 11.9 64.6 0.7 1.1 0.4 17.5 -31.6
pair RSI MACDhist pos-pos 124 48.4 11.7 64.5 0.7 1.1 0.5 17.3 -21.7
pair MACDhist RSI pos-pos 124 48.4 11.7 64.5 0.7 1.1 0.5 17.3 -21.7
pair MRmean RSIhist neg-pos 6 2.3 11.5 33.3 0.4 1.4 1.0 35.9 -11.7
single RSmean RSmean pos-pos 230 89.8 11.5 63.9 0.6 0.8 0.2 22.5 -56.6
pair RSIhist MRmean neg-pos 6 2.3 11.5 33.3 0.4 1.4 1.0 35.9 -11.7
pair LWTI RSIhist pos-neg 17 6.6 11.4 52.9 0.5 1.7 0.6 26.0 -20.3
pair RSIhist LWTI pos-neg 17 6.6 11.4 52.9 0.5 1.7 0.6 26.0 -20.3
pair LWTI RSIhist pos-pos 123 48.0 11.3 65.0 0.8 1.1 0.6 16.0 -19.8
pair RSIhist LWTI pos-pos 123 48.0 11.3 65.0 0.8 1.1 0.6 16.0 -19.8
pair RSmean LWTI pos-pos 185 72.3 11.3 65.9 0.7 0.8 0.3 19.5 -39.9
pair LWTI RSmean pos-pos 185 72.3 11.3 65.9 0.7 0.8 0.3 19.5 -39.9
pair MACD RSmean pos-pos 162 63.3 11.3 64.8 0.7 1.1 0.4 16.4 -26.5
pair RSmean MACD pos-pos 162 63.3 11.3 64.8 0.7 1.1 0.4 16.4 -26.5
pair RSIhist MRmean pos-pos 134 52.3 11.3 64.9 0.7 1.2 0.4 16.4 -27.6
pair MRmean RSIhist pos-pos 134 52.3 11.3 64.9 0.7 1.2 0.4 16.4 -27.6
pair MRmean MACD neg-pos 32 12.5 11.3 56.2 0.6 0.8 0.4 21.9 -26.3
pair MACD MRmean neg-pos 32 12.5 11.3 56.2 0.6 0.8 0.4 21.9 -26.3
single RSIhist RSIhist pos-pos 140 54.7 11.3 63.6 0.7 1.2 0.4 17.4 -30.7
pair MACDhist MRmean pos-pos 125 48.8 11.1 64.8 0.7 1.1 0.4 17.3 -28.7
pair LWTI MACD neg-neg 36 14.1 11.1 55.6 0.5 0.8 0.2 35.4 -47.3
pair MRmean MACDhist pos-pos 125 48.8 11.1 64.8 0.7 1.1 0.4 17.3 -28.7
pair MACD LWTI neg-neg 36 14.1 11.1 55.6 0.5 0.8 0.2 35.4 -47.3
pair LWTI RSI neg-neg 38 14.8 11.0 52.6 0.5 0.8 0.2 34.4 -47.3
pair RSI LWTI neg-neg 38 14.8 11.0 52.6 0.5 0.8 0.2 34.4 -47.3
pair MACDhist RSIhist pos-neg 28 10.9 10.9 60.7 0.6 0.9 0.6 21.4 -18.6
pair RSIhist MACDhist pos-neg 28 10.9 10.9 60.7 0.6 0.9 0.6 21.4 -18.6
single MACD MACD neg-neg 81 31.6 10.8 60.5 0.5 0.6 0.2 30.4 -50.1
pair MACD LWTI neg-pos 45 17.6 10.6 64.4 0.5 0.5 0.3 26.2 -32.9
pair LWTI MACD neg-pos 45 17.6 10.6 64.4 0.5 0.5 0.3 26.2 -32.9
pair RSIhist SLmean pos-pos 135 52.7 10.6 64.4 0.7 1.1 0.3 16.5 -30.5
pair SLmean RSIhist pos-pos 135 52.7 10.6 64.4 0.7 1.1 0.3 16.5 -30.5
pair MACDhist LWTI pos-pos 126 49.2 10.5 63.5 0.7 1.0 0.3 17.6 -31.6
pair LWTI MACDhist pos-pos 126 49.2 10.5 63.5 0.7 1.0 0.3 17.6 -31.6
pair SLmean RSmean pos-pos 160 62.5 10.3 65.0 0.7 1.1 0.4 16.0 -23.9
pair RSmean SLmean pos-pos 160 62.5 10.3 65.0 0.7 1.1 0.4 16.0 -23.9
pair RSmean MRmean neg-pos 59 23.0 9.9 57.6 0.5 0.6 0.2 34.6 -50.6
pair MRmean RSmean neg-pos 59 23.0 9.9 57.6 0.5 0.6 0.2 34.6 -50.6
pair RSIhist RSI pos-pos 125 48.8 9.8 64.0 0.7 1.0 0.4 16.1 -22.6
pair RSI RSIhist pos-pos 125 48.8 9.8 64.0 0.7 1.0 0.4 16.1 -22.6
pair LWTI MRmean neg-neg 32 12.5 9.7 50.0 0.4 0.7 0.2 36.8 -47.3
pair MRmean LWTI neg-neg 32 12.5 9.7 50.0 0.4 0.7 0.2 36.8 -47.3
single LWTI LWTI neg-neg 47 18.4 9.6 53.2 0.4 0.7 0.2 31.8 -47.3
pair RSIhist RSmean pos-neg 96 37.5 9.5 61.5 0.5 0.6 0.2 28.0 -54.5
pair MRmean LWTI pos-neg 15 5.9 9.5 60.0 0.6 1.3 0.7 18.1 -13.9
pair RSmean RSIhist pos-neg 96 37.5 9.5 61.5 0.5 0.6 0.2 28.0 -54.5
pair LWTI MRmean pos-neg 15 5.9 9.5 60.0 0.6 1.3 0.7 18.1 -13.9
pair MACDhist RSmean pos-neg 101 39.5 9.4 62.4 0.5 0.6 0.2 27.9 -56.6
pair RSmean MACDhist pos-neg 101 39.5 9.4 62.4 0.5 0.6 0.2 27.9 -56.6
pair MACD MACDhist pos-pos 112 43.8 9.2 65.2 0.6 0.9 0.5 16.6 -20.8
pair MACDhist MACD pos-pos 112 43.8 9.2 65.2 0.6 0.9 0.5 16.6 -20.8
pair MACDhist SLmean pos-pos 114 44.5 9.1 64.0 0.6 0.9 0.3 16.3 -29.1
pair SLmean MACDhist pos-pos 114 44.5 9.1 64.0 0.6 0.9 0.3 16.3 -29.1
single SLmean SLmean neg-neg 88 34.4 9.0 59.1 0.4 0.6 0.2 30.5 -50.6
pair MACDhist RSIhist neg-pos 38 14.8 8.9 57.9 0.5 1.2 0.3 20.2 -25.3
pair RSIhist MACDhist neg-pos 38 14.8 8.9 57.9 0.5 1.2 0.3 20.2 -25.3
pair LWTI RSI pos-pos 184 71.9 8.9 63.6 0.6 0.9 0.5 16.4 -19.4
pair RSI LWTI pos-pos 184 71.9 8.9 63.6 0.6 0.9 0.5 16.4 -19.4
single MRmean MRmean pos-pos 181 70.7 8.9 63.5 0.6 0.9 0.3 16.7 -30.5
pair RSmean RSI pos-neg 57 22.3 8.8 56.1 0.4 0.6 0.2 35.2 -50.6
pair MRmean LWTI pos-pos 166 64.8 8.8 63.9 0.6 0.9 0.3 16.6 -26.1
pair LWTI MRmean pos-pos 166 64.8 8.8 63.9 0.6 0.9 0.3 16.6 -26.1
pair RSI RSmean pos-neg 57 22.3 8.8 56.1 0.4 0.6 0.2 35.2 -50.6
pair LWTI RSIhist neg-neg 30 11.7 8.6 53.3 0.4 0.6 0.2 35.1 -47.3
single RSI RSI pos-pos 193 75.4 8.6 63.2 0.6 0.9 0.4 16.5 -23.7
pair RSIhist LWTI neg-neg 30 11.7 8.6 53.3 0.4 0.6 0.2 35.1 -47.3
pair SLmean LWTI pos-pos 150 58.6 8.2 63.3 0.6 0.9 0.3 15.9 -26.5
pair LWTI SLmean pos-pos 150 58.6 8.2 63.3 0.6 0.9 0.3 15.9 -26.5
pair benchmark___benchmark_ benchmark-benchmark 256 100.0 8.1 61.3 0.5 0.6 0.1 22.1 -56.6
pair benchmark___benchmark_ benchmark-benchmark 256 100.0 8.1 61.3 0.5 0.6 0.1 22.1 -56.6
pair RSI MACD neg-neg 46 18.0 8.0 58.7 0.4 0.5 0.2 37.2 -47.3
pair MACD RSI neg-neg 46 18.0 8.0 58.7 0.4 0.5 0.2 37.2 -47.3
pair RSI MRmean pos-pos 170 66.4 8.0 63.5 0.6 0.8 0.3 16.6 -25.7
pair MRmean RSI pos-pos 170 66.4 8.0 63.5 0.6 0.8 0.3 16.6 -25.7
pair SLmean RSIhist neg-neg 83 32.4 7.8 60.2 0.4 0.5 0.1 30.3 -50.6
pair RSIhist SLmean neg-neg 83 32.4 7.8 60.2 0.4 0.5 0.1 30.3 -50.6
single LWTI LWTI pos-pos 209 81.6 7.8 63.2 0.5 0.6 0.1 19.4 -52.7
pair SLmean MRmean pos-pos 162 63.3 7.8 62.3 0.6 0.8 0.2 16.1 -30.9
pair MRmean SLmean pos-pos 162 63.3 7.8 62.3 0.6 0.8 0.2 16.1 -30.9
single SLmean SLmean pos-pos 168 65.6 7.6 62.5 0.5 0.8 0.2 16.2 -34.7
pair MACD RSI pos-pos 158 61.7 7.4 63.3 0.5 0.7 0.2 16.0 -31.3
pair RSI MACD pos-pos 158 61.7 7.4 63.3 0.5 0.7 0.2 16.0 -31.3
pair RSIhist MACD pos-pos 98 38.3 7.1 64.3 0.5 0.8 0.3 15.3 -26.5
pair MACD RSIhist pos-pos 98 38.3 7.1 64.3 0.5 0.8 0.3 15.3 -26.5
pair MACD LWTI pos-pos 164 64.1 7.0 62.8 0.5 0.7 0.2 17.2 -40.9
pair LWTI MACD pos-pos 164 64.1 7.0 62.8 0.5 0.7 0.2 17.2 -40.9
pair SLmean RSI pos-pos 155 60.5 6.9 62.6 0.5 0.8 0.2 15.9 -30.7
pair RSI SLmean pos-pos 155 60.5 6.9 62.6 0.5 0.8 0.2 15.9 -30.7
single MACD MACD pos-pos 175 68.4 6.9 61.7 0.5 0.7 0.2 17.1 -38.5
pair SLmean LWTI neg-pos 59 23.0 6.7 62.7 0.4 0.4 0.1 26.5 -45.4
pair LWTI SLmean neg-pos 59 23.0 6.7 62.7 0.4 0.4 0.1 26.5 -45.4
single RSI RSI neg-neg 63 24.6 6.6 55.6 0.4 0.5 0.1 34.3 -50.6
pair RSIhist MACD pos-neg 77 30.1 6.6 58.4 0.4 0.6 0.2 19.1 -32.0
pair MACD RSIhist pos-neg 77 30.1 6.6 58.4 0.4 0.6 0.2 19.1 -32.0
pair SLmean MRmean neg-neg 69 27.0 6.6 55.1 0.4 0.5 0.1 32.7 -50.6
pair MRmean SLmean neg-neg 69 27.0 6.6 55.1 0.4 0.5 0.1 32.7 -50.6
pair RSIhist RSI pos-neg 68 26.6 6.5 61.8 0.5 0.6 0.4 17.3 -16.8
pair RSI RSIhist pos-neg 68 26.6 6.5 61.8 0.5 0.6 0.4 17.3 -16.8
single MRmean MRmean neg-neg 75 29.3 6.3 56.0 0.4 0.5 0.1 31.7 -50.6
pair MACD MRmean pos-pos 143 55.9 5.9 62.9 0.4 0.6 0.2 15.9 -29.6
pair MRmean RSIhist neg-neg 69 27.0 5.9 58.0 0.3 0.4 0.1 31.7 -50.6
pair RSIhist MRmean neg-neg 69 27.0 5.9 58.0 0.3 0.4 0.1 31.7 -50.6
pair MRmean MACD pos-pos 143 55.9 5.9 62.9 0.4 0.6 0.2 15.9 -29.6
pair MACDhist MACD neg-neg 63 24.6 5.8 60.3 0.3 0.4 0.1 32.4 -52.5
pair MACD MACDhist neg-neg 63 24.6 5.8 60.3 0.3 0.4 0.1 32.4 -52.5
pair RSI MACDhist neg-neg 57 22.3 5.6 54.4 0.3 0.4 0.1 35.4 -50.6
pair MACDhist RSI neg-neg 57 22.3 5.6 54.4 0.3 0.4 0.1 35.4 -50.6
pair MACDhist LWTI neg-neg 43 16.8 5.3 48.8 0.3 0.5 0.1 33.0 -47.3
pair LWTI MACDhist neg-neg 43 16.8 5.3 48.8 0.3 0.5 0.1 33.0 -47.3
pair LWTI MACD pos-neg 11 4.3 5.0 45.5 0.4 0.7 0.7 15.9 -7.6
pair MACD LWTI pos-neg 11 4.3 5.0 45.5 0.4 0.7 0.7 15.9 -7.6
pair MRmean MACDhist neg-neg 70 27.3 4.6 55.7 0.3 0.4 0.1 32.3 -50.6
pair MACDhist MRmean neg-neg 70 27.3 4.6 55.7 0.3 0.4 0.1 32.3 -50.6
pair MACDhist SLmean pos-neg 54 21.1 4.5 59.3 0.4 0.6 0.2 16.0 -22.1
pair SLmean MACDhist pos-neg 54 21.1 4.5 59.3 0.4 0.6 0.2 16.0 -22.1
pair SLmean MACD pos-pos 128 50.0 4.5 61.7 0.4 0.5 0.1 14.9 -30.9
pair MACD SLmean pos-pos 128 50.0 4.5 61.7 0.4 0.5 0.1 14.9 -30.9
single RSIhist RSIhist neg-neg 116 45.3 4.4 58.6 0.3 0.4 0.1 26.8 -54.5
single MACDhist MACDhist neg-neg 126 49.2 4.3 57.9 0.3 0.4 0.1 26.1 -56.6
pair RSI SLmean neg-neg 50 19.5 4.2 54.0 0.3 0.4 0.1 37.3 -50.6
pair SLmean RSI neg-neg 50 19.5 4.2 54.0 0.3 0.4 0.1 37.3 -50.6
pair SLmean MACDhist neg-neg 72 28.1 4.2 56.9 0.3 0.4 0.1 31.8 -50.6
pair MACDhist SLmean neg-neg 72 28.1 4.2 56.9 0.3 0.4 0.1 31.8 -50.6
pair MACD RSmean neg-neg 13 5.1 4.1 53.8 0.4 0.5 0.6 13.3 -7.4
pair RSmean MACD neg-neg 13 5.1 4.1 53.8 0.4 0.5 0.6 13.3 -7.4
pair MACDhist MRmean pos-neg 56 21.9 4.0 60.7 0.3 0.5 0.2 15.5 -24.9
pair MRmean MACDhist pos-neg 56 21.9 4.0 60.7 0.3 0.5 0.2 15.5 -24.9
pair MRmean LWTI neg-pos 43 16.8 3.9 60.5 0.3 0.3 0.1 27.9 -44.4
pair LWTI MRmean neg-pos 43 16.8 3.9 60.5 0.3 0.3 0.1 27.9 -44.4
pair RSI LWTI pos-neg 9 3.5 3.9 55.6 0.3 0.6 0.4 18.1 -9.2
pair LWTI RSI pos-neg 9 3.5 3.9 55.6 0.3 0.6 0.4 18.1 -9.2
pair SLmean MACD neg-neg 41 16.0 3.9 56.1 0.3 0.4 0.1 38.4 -52.3
pair MACD SLmean neg-neg 41 16.0 3.9 56.1 0.3 0.4 0.1 38.4 -52.3
pair MACDhist LWTI neg-pos 83 32.4 3.8 62.7 0.3 0.3 0.1 22.0 -48.8
pair LWTI MACDhist neg-pos 83 32.4 3.8 62.7 0.3 0.3 0.1 22.0 -48.8
pair MACDhist RSI pos-neg 69 27.0 3.3 60.9 0.3 0.4 0.2 14.9 -18.7
pair RSI MACDhist pos-neg 69 27.0 3.3 60.9 0.3 0.4 0.2 14.9 -18.7
pair MRmean RSI neg-neg 52 20.3 3.2 53.8 0.3 0.4 0.1 36.8 -50.6
pair RSI MRmean neg-neg 52 20.3 3.2 53.8 0.3 0.4 0.1 36.8 -50.6
pair LWTI RSIhist neg-pos 86 33.6 2.9 60.5 0.2 0.3 0.1 23.5 -48.8
pair RSIhist LWTI neg-pos 86 33.6 2.9 60.5 0.2 0.3 0.1 23.5 -48.8
pair MACD MACDhist pos-neg 63 24.6 2.8 55.6 0.2 0.3 0.1 18.0 -32.3
pair LWTI SLmean pos-neg 18 7.0 2.8 55.6 0.2 0.5 0.2 18.7 -17.4
pair SLmean LWTI pos-neg 18 7.0 2.8 55.6 0.2 0.5 0.2 18.7 -17.4
pair MRmean MACD neg-neg 43 16.8 2.8 55.8 0.3 0.3 0.1 37.7 -52.3
pair MACD MRmean neg-neg 43 16.8 2.8 55.8 0.3 0.3 0.1 37.7 -52.3
pair MACDhist MACD pos-neg 63 24.6 2.8 55.6 0.2 0.3 0.1 18.0 -32.3
pair RSI MACD pos-neg 17 6.6 2.7 47.1 0.2 0.3 0.1 25.4 -28.4
pair MACD RSI pos-neg 17 6.6 2.7 47.1 0.2 0.3 0.1 25.4 -28.4
pair MRmean SLmean neg-pos 6 2.3 2.7 66.7 0.2 0.4 0.3 18.6 -9.3
pair SLmean MRmean neg-pos 6 2.3 2.7 66.7 0.2 0.4 0.3 18.6 -9.3
pair MACDhist RSIhist neg-neg 88 34.4 2.4 58.0 0.2 0.3 0.0 28.4 -54.5
pair RSIhist MACDhist neg-neg 88 34.4 2.4 58.0 0.2 0.3 0.0 28.4 -54.5
pair MRmean RSIhist pos-neg 47 18.4 2.2 59.6 0.2 0.3 0.1 17.6 -16.8
pair RSIhist MRmean pos-neg 47 18.4 2.2 59.6 0.2 0.3 0.1 17.6 -16.8
pair RSIhist RSI neg-neg 48 18.8 1.5 54.2 0.2 0.3 0.0 36.5 -52.9
pair RSI RSIhist neg-neg 48 18.8 1.5 54.2 0.2 0.3 0.0 36.5 -52.9
pair RSIhist MACD neg-neg 39 15.2 0.2 59.0 0.2 0.2 0.0 38.0 -60.7
pair MACD RSIhist neg-neg 39 15.2 0.2 59.0 0.2 0.2 0.0 38.0 -60.7
pair RSI LWTI neg-pos 25 9.8 0.2 60.0 0.2 0.2 0.0 34.7 -49.4
pair LWTI RSI neg-pos 25 9.8 0.2 60.0 0.2 0.2 0.0 34.7 -49.4
pair SLmean RSIhist pos-neg 33 12.9 -3.7 54.5 -0.2 -0.2 -0.2 14.5 -18.6
pair RSIhist SLmean pos-neg 33 12.9 -3.7 54.5 -0.2 -0.2 -0.2 14.5 -18.6
pair MRmean RSmean neg-neg 16 6.2 -5.8 50.0 -0.2 -0.3 -0.3 17.6 -18.7
pair RSmean MRmean neg-neg 16 6.2 -5.8 50.0 -0.2 -0.3 -0.3 17.6 -18.7
pair SLmean RSmean neg-neg 18 7.0 -9.8 50.0 -0.5 -0.5 -0.4 18.3 -26.3
pair RSmean SLmean neg-neg 18 7.0 -9.8 50.0 -0.5 -0.5 -0.4 18.3 -26.3
pair RSmean RSI neg-neg 6 2.3 -12.2 50.0 -0.4 -0.4 -0.8 25.4 -15.3
pair RSI RSmean neg-neg 6 2.3 -12.2 50.0 -0.4 -0.4 -0.8 25.4 -15.3
pair MACDhist RSmean neg-neg 25 9.8 -13.8 40.0 -0.8 -1.0 -0.4 16.2 -35.3
pair RSmean MACDhist neg-neg 25 9.8 -13.8 40.0 -0.8 -1.0 -0.4 16.2 -35.3
pair LWTI RSmean neg-pos 24 9.4 -15.8 41.7 -0.9 -1.0 -0.4 17.8 -37.5
pair RSmean LWTI neg-pos 24 9.4 -15.8 41.7 -0.9 -1.0 -0.4 17.8 -37.5
pair RSIhist RSmean neg-neg 20 7.8 -17.1 45.0 -0.9 -1.0 -0.5 19.2 -37.3
pair RSmean RSIhist neg-neg 20 7.8 -17.1 45.0 -0.9 -1.0 -0.5 19.2 -37.3
single RSmean RSmean neg-neg 26 10.2 -17.9 38.5 -1.0 -1.2 -0.4 17.3 -42.6
pair RSI RSmean neg-pos 20 7.8 -19.6 35.0 -1.4 -1.8 -0.6 15.0 -32.2
pair RSmean RSI neg-pos 20 7.8 -19.6 35.0 -1.4 -1.8 -0.6 15.0 -32.2
pair RSmean RSIhist neg-pos 6 2.3 -20.4 16.7 -2.2 -3.4 -1.9 10.0 -10.7
pair RSIhist RSmean neg-pos 6 2.3 -20.4 16.7 -2.2 -3.4 -1.9 10.0 -10.7
pair SLmean RSmean pos-neg 8 3.1 -33.6 12.5 -2.8 -3.3 -1.5 14.1 -21.8
pair RSmean SLmean pos-neg 8 3.1 -33.6 12.5 -2.8 -3.3 -1.5 14.1 -21.8
pair MRmean RSmean pos-neg 10 3.9 -34.2 20.0 -2.5 -3.1 -1.2 15.7 -29.2
pair RSmean MRmean pos-neg 10 3.9 -34.2 20.0 -2.5 -3.1 -1.2 15.7 -29.2
pair RSmean MACD neg-pos 13 5.1 -35.3 23.1 -2.2 -2.5 -0.9 18.9 -39.3
pair MACD RSmean neg-pos 13 5.1 -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 7.8% | Win 62%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 16% | MDD -30.9%
Months 162M (63%)
CAGR 18.2% | Win 74%
Sharpe 0.89 | Sortino 1.09 | Calmar 1.5
Vol 22% | MDD -12.5%
Months 19M (7%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
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 6.6% | Win 55%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.1
Vol 33% | MDD -50.6%
Months 69M (27%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
SLmean
only
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 66%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.5
Vol 16% | MDD -24.8%
Months 171M (67%)
CAGR -34.2% | Win 20%
Sharpe -2.54 | Sortino -3.11 | Calmar -1.2
Vol 16% | MDD -29.2%
Months 10M (4%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 9.9% | Win 58%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 59M (23%)
CAGR -5.8% | Win 50%
Sharpe -0.25 | Sortino -0.26 | Calmar -0.3
Vol 18% | MDD -18.7%
Months 16M (6%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
RSmean
only
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 5.9% | Win 63%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -29.6%
Months 143M (56%)
CAGR 20.6% | Win 66%
Sharpe 1.06 | Sortino 2.16 | Calmar 1.2
Vol 20% | MDD -17.6%
Months 38M (15%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 11.3% | Win 56%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.4
Vol 22% | MDD -26.3%
Months 32M (12%)
CAGR 2.8% | Win 56%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 38% | MDD -52.3%
Months 43M (17%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
MACD
only
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.0% | Win 64%
Sharpe 0.55 | Sortino 0.80 | Calmar 0.3
Vol 17% | MDD -25.7%
Months 170M (66%)
CAGR 23.9% | Win 64%
Sharpe 1.20 | Sortino 2.72 | Calmar 1.8
Vol 19% | MDD -12.9%
Months 11M (4%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 13.6% | Win 61%
Sharpe 0.88 | Sortino 1.42 | Calmar 1.0
Vol 16% | MDD -14.0%
Months 23M (9%)
CAGR 3.2% | Win 54%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 37% | MDD -50.6%
Months 52M (20%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
RSI
only
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 11.1% | Win 65%
Sharpe 0.70 | Sortino 1.05 | Calmar 0.4
Vol 17% | MDD -28.7%
Months 125M (49%)
CAGR 4.0% | Win 61%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -24.9%
Months 56M (22%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 33.2% | Win 60%
Sharpe 1.29 | Sortino 2.34 | Calmar 4.1
Vol 24% | MDD -8.0%
Months 5M (2%)
CAGR 4.6% | Win 56%
Sharpe 0.31 | Sortino 0.39 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 70M (27%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 65%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 134M (52%)
CAGR 2.2% | Win 60%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.1
Vol 18% | MDD -16.8%
Months 47M (18%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 11.5% | Win 33%
Sharpe 0.44 | Sortino 1.38 | Calmar 1.0
Vol 36% | MDD -11.7%
Months 6M (2%)
CAGR 5.9% | Win 58%
Sharpe 0.35 | Sortino 0.42 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 69M (27%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
RSIhist
only
CAGR 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 64%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 17% | MDD -26.1%
Months 166M (65%)
CAGR 9.5% | Win 60%
Sharpe 0.58 | Sortino 1.29 | Calmar 0.7
Vol 18% | MDD -13.9%
Months 15M (6%)
CAGR 8.9% | Win 64%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -30.5%
Months 181M (71%)
MRmean
neg
CAGR 3.9% | Win 60%
Sharpe 0.29 | Sortino 0.29 | Calmar 0.1
Vol 28% | MDD -44.4%
Months 43M (17%)
CAGR 9.7% | Win 50%
Sharpe 0.43 | Sortino 0.71 | Calmar 0.2
Vol 37% | MDD -47.3%
Months 32M (12%)
CAGR 6.3% | Win 56%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 75M (29%)
LWTI
only
CAGR 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.3% | Win 65%
Sharpe 0.69 | Sortino 1.08 | Calmar 0.4
Vol 16% | MDD -23.9%
Months 160M (62%)
CAGR -33.6% | Win 12%
Sharpe -2.78 | Sortino -3.27 | Calmar -1.5
Vol 14% | MDD -21.8%
Months 8M (3%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
SLmean
neg
CAGR 14.5% | Win 61%
Sharpe 0.58 | Sortino 0.72 | Calmar 0.3
Vol 33% | MDD -50.6%
Months 70M (27%)
CAGR -9.8% | Win 50%
Sharpe -0.47 | Sortino -0.51 | Calmar -0.4
Vol 18% | MDD -26.3%
Months 18M (7%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
RSmean
only
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 4.5% | Win 62%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 15% | MDD -30.9%
Months 128M (50%)
CAGR 18.3% | Win 65%
Sharpe 0.96 | Sortino 1.94 | Calmar 1.1
Vol 20% | MDD -16.9%
Months 40M (16%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
SLmean
neg
CAGR 13.7% | Win 62%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.7
Vol 22% | MDD -20.9%
Months 47M (18%)
CAGR 3.9% | Win 56%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 38% | MDD -52.3%
Months 41M (16%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
MACD
only
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 63%
Sharpe 0.50 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -30.7%
Months 155M (60%)
CAGR 16.2% | Win 62%
Sharpe 0.87 | Sortino 1.84 | Calmar 0.9
Vol 19% | MDD -17.2%
Months 13M (5%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
SLmean
neg
CAGR 15.7% | Win 66%
Sharpe 0.88 | Sortino 1.18 | Calmar 0.7
Vol 19% | MDD -21.7%
Months 38M (15%)
CAGR 4.2% | Win 54%
Sharpe 0.30 | Sortino 0.40 | Calmar 0.1
Vol 37% | MDD -50.6%
Months 50M (20%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
RSI
only
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 9.1% | Win 64%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.3
Vol 16% | MDD -29.1%
Months 114M (44%)
CAGR 4.5% | Win 59%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.2
Vol 16% | MDD -22.1%
Months 54M (21%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
SLmean
neg
CAGR 33.9% | Win 69%
Sharpe 1.33 | Sortino 1.98 | Calmar 2.5
Vol 24% | MDD -13.8%
Months 16M (6%)
CAGR 4.2% | Win 57%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 32% | MDD -50.6%
Months 72M (28%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 64%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 135M (53%)
CAGR -3.7% | Win 55%
Sharpe -0.19 | Sortino -0.24 | Calmar -0.2
Vol 14% | MDD -18.6%
Months 33M (13%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
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 7.8% | Win 60%
Sharpe 0.41 | Sortino 0.49 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 83M (32%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
RSIhist
only
CAGR 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 63%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -26.5%
Months 150M (59%)
CAGR 2.8% | Win 56%
Sharpe 0.24 | Sortino 0.54 | Calmar 0.2
Vol 19% | MDD -17.4%
Months 18M (7%)
CAGR 7.6% | Win 62%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 168M (66%)
SLmean
neg
CAGR 6.7% | Win 63%
Sharpe 0.39 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -45.4%
Months 59M (23%)
CAGR 14.1% | Win 52%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 38% | MDD -47.3%
Months 29M (11%)
CAGR 9.0% | Win 59%
Sharpe 0.44 | Sortino 0.55 | Calmar 0.2
Vol 30% | MDD -50.6%
Months 88M (34%)
LWTI
only
CAGR 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.3% | Win 65%
Sharpe 0.73 | Sortino 1.05 | Calmar 0.4
Vol 16% | MDD -26.5%
Months 162M (63%)
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 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 12.5% | Win 66%
Sharpe 0.80 | Sortino 1.18 | Calmar 0.5
Vol 16% | MDD -23.7%
Months 173M (68%)
CAGR 8.8% | Win 56%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.2
Vol 35% | MDD -50.6%
Months 57M (22%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 1.28 | Calmar 0.6
Vol 17% | MDD -22.9%
Months 129M (50%)
CAGR 9.4% | Win 62%
Sharpe 0.47 | Sortino 0.56 | Calmar 0.2
Vol 28% | MDD -56.6%
Months 101M (40%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.0% | Win 66%
Sharpe 0.78 | Sortino 1.32 | Calmar 0.4
Vol 18% | MDD -30.6%
Months 134M (52%)
CAGR 9.5% | Win 62%
Sharpe 0.47 | Sortino 0.56 | Calmar 0.2
Vol 28% | MDD -54.5%
Months 96M (38%)
CAGR 11.5% | Win 64%
Sharpe 0.60 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (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 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.3% | Win 66%
Sharpe 0.65 | Sortino 0.75 | Calmar 0.3
Vol 20% | MDD -39.9%
Months 185M (72%)
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 0.76 | Calmar 0.2
Vol 22% | MDD -56.6%
Months 230M (90%)
RSmean
neg
CAGR -15.8% | Win 42%
Sharpe -0.87 | Sortino -0.99 | Calmar -0.4
Vol 18% | MDD -37.5%
Months 24M (9%)
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 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.4% | Win 63%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -31.3%
Months 158M (62%)
CAGR 2.7% | Win 47%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.1
Vol 25% | MDD -28.4%
Months 17M (7%)
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
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 0.53 | 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 (32%)
RSI
only
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 9.2% | Win 65%
Sharpe 0.62 | Sortino 0.86 | Calmar 0.4
Vol 17% | MDD -20.8%
Months 112M (44%)
CAGR 2.8% | Win 56%
Sharpe 0.25 | Sortino 0.33 | Calmar 0.1
Vol 18% | MDD -32.3%
Months 63M (25%)
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
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 (32%)
MACDhist
only
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 64%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.3
Vol 15% | MDD -26.5%
Months 98M (38%)
CAGR 6.6% | Win 58%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.0%
Months 77M (30%)
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
MACD
neg
CAGR 21.7% | Win 62%
Sharpe 1.02 | Sortino 2.42 | Calmar 0.9
Vol 22% | MDD -23.4%
Months 42M (16%)
CAGR 0.2% | Win 59%
Sharpe 0.20 | Sortino 0.25 | Calmar 0.0
Vol 38% | MDD -60.7%
Months 39M (15%)
CAGR 10.8% | Win 60%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.2
Vol 30% | MDD -50.1%
Months 81M (32%)
RSIhist
only
CAGR 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.0% | Win 63%
Sharpe 0.48 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -40.9%
Months 164M (64%)
CAGR 5.0% | Win 46%
Sharpe 0.38 | Sortino 0.73 | Calmar 0.7
Vol 16% | MDD -7.6%
Months 11M (4%)
CAGR 6.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 175M (68%)
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 (32%)
LWTI
only
CAGR 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.7% | Win 64%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 17% | MDD -21.7%
Months 124M (48%)
CAGR 3.3% | Win 61%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.2
Vol 15% | MDD -18.7%
Months 69M (27%)
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (75%)
RSI
neg
CAGR 16.3% | Win 67%
Sharpe 0.76 | Sortino 13.68 | 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 (22%)
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 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.8% | Win 64%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.4
Vol 16% | MDD -22.6%
Months 125M (49%)
CAGR 6.5% | Win 62%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.4
Vol 17% | MDD -16.8%
Months 68M (27%)
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.9% | Win 64%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.5
Vol 16% | MDD -19.4%
Months 184M (72%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.57 | Calmar 0.4
Vol 18% | MDD -9.2%
Months 9M (4%)
CAGR 8.6% | Win 63%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 193M (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 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.2% | Win 66%
Sharpe 0.79 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -22.7%
Months 102M (40%)
CAGR 10.9% | Win 61%
Sharpe 0.59 | Sortino 0.93 | Calmar 0.6
Vol 21% | MDD -18.6%
Months 28M (11%)
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
MACDhist
neg
CAGR 8.9% | Win 58%
Sharpe 0.52 | Sortino 1.17 | 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 (34%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 26% | MDD -56.6%
Months 126M (49%)
RSIhist
only
CAGR 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.5% | Win 64%
Sharpe 0.66 | Sortino 1.01 | Calmar 0.3
Vol 18% | MDD -31.6%
Months 126M (49%)
CAGR 69.2% | Win 100%
Sharpe 5.62 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 4M (2%)
CAGR 11.9% | Win 65%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -31.6%
Months 130M (51%)
MACDhist
neg
CAGR 3.8% | Win 63%
Sharpe 0.29 | Sortino 0.29 | Calmar 0.1
Vol 22% | MDD -48.8%
Months 83M (32%)
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 (49%)
LWTI
only
CAGR 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.3% | Win 65%
Sharpe 0.75 | Sortino 1.15 | Calmar 0.6
Vol 16% | MDD -19.8%
Months 123M (48%)
CAGR 11.4% | Win 53%
Sharpe 0.53 | Sortino 1.67 | Calmar 0.6
Vol 26% | MDD -20.3%
Months 17M (7%)
CAGR 11.3% | Win 64%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 140M (55%)
RSIhist
neg
CAGR 2.9% | Win 60%
Sharpe 0.25 | Sortino 0.27 | Calmar 0.1
Vol 24% | MDD -48.8%
Months 86M (34%)
CAGR 8.6% | Win 53%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 35% | MDD -47.3%
Months 30M (12%)
CAGR 4.4% | Win 59%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 27% | MDD -54.5%
Months 116M (45%)
LWTI
only
CAGR 7.8% | Win 63%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -52.7%
Months 209M (82%)
CAGR 9.6% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 32% | MDD -47.3%
Months 47M (18%)