PHO - Invesco Water Resources ETF

Signal Pair Analysis

RSI-RSIhist

Best Pair

55.2%

Best CAGR

72

Total Months

10.1%

Avg CAGR

PHO 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 PHO

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI RSIhist neg-pos 9 3.6 55.2 100.0 10.4 0.0 0.0 4.3 0.0
pair RSIhist RSI neg-pos 9 3.6 55.2 100.0 10.4 0.0 0.0 4.3 0.0
pair RSIhist SLmean neg-pos 2 0.8 36.5 100.0 9.8 0.0 0.0 3.2 0.0
pair SLmean RSIhist neg-pos 2 0.8 36.5 100.0 9.8 0.0 0.0 3.2 0.0
pair RSIhist MRmean neg-pos 2 0.8 36.0 100.0 12.0 0.0 0.0 2.6 0.0
pair MRmean RSIhist neg-pos 2 0.8 36.0 100.0 12.0 0.0 0.0 2.6 0.0
pair RSmean RSI pos-neg 39 15.6 34.6 69.2 1.3 2.4 1.6 26.6 -21.9
pair RSI RSmean pos-neg 39 15.6 34.6 69.2 1.3 2.4 1.6 26.6 -21.9
pair RSI MACDhist neg-neg 33 13.2 33.6 69.7 1.1 1.4 0.9 30.7 -38.7
pair MACDhist RSI neg-neg 33 13.2 33.6 69.7 1.1 1.4 0.9 30.7 -38.7
pair MRmean RSI neg-neg 32 12.8 29.1 65.6 0.9 1.3 0.8 33.2 -38.7
pair RSI MRmean neg-neg 32 12.8 29.1 65.6 0.9 1.3 0.8 33.2 -38.7
pair RSmean RSIhist neg-pos 4 1.6 28.4 75.0 1.8 0.0 10.4 14.9 -2.7
pair RSIhist RSmean neg-pos 4 1.6 28.4 75.0 1.8 0.0 10.4 14.9 -2.7
pair SLmean RSI neg-neg 31 12.4 27.6 64.5 0.9 1.3 0.7 34.2 -38.7
pair RSI SLmean neg-neg 31 12.4 27.6 64.5 0.9 1.3 0.7 34.2 -38.7
pair LWTI RSI neg-neg 20 8.0 26.9 70.0 1.1 1.9 2.4 25.7 -11.2
pair RSI LWTI neg-neg 20 8.0 26.9 70.0 1.1 1.9 2.4 25.7 -11.2
pair RSmean MACDhist neg-pos 1 0.4 26.2 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 26.2 100.0 0.0 0.0 0.0 - 0.0
single RSI RSI neg-neg 41 16.4 26.0 68.3 0.9 1.2 0.7 30.5 -38.7
pair MACD RSI neg-neg 24 9.6 26.0 70.8 1.0 2.0 1.2 25.7 -21.9
pair RSI MACD neg-neg 24 9.6 26.0 70.8 1.0 2.0 1.2 25.7 -21.9
pair MACD RSI pos-neg 17 6.8 25.9 64.7 0.8 1.0 1.9 37.1 -13.7
pair RSI MACD pos-neg 17 6.8 25.9 64.7 0.8 1.0 1.9 37.1 -13.7
pair MRmean SLmean neg-pos 8 3.2 25.3 75.0 2.0 9.1 8.6 11.6 -2.9
pair SLmean MRmean neg-pos 8 3.2 25.3 75.0 2.0 9.1 8.6 11.6 -2.9
pair MRmean SLmean pos-neg 17 6.8 25.1 70.6 1.5 2.3 2.2 15.7 -11.6
pair LWTI RSI neg-pos 21 8.4 25.1 66.7 0.8 1.0 1.0 35.2 -26.2
pair RSI LWTI neg-pos 21 8.4 25.1 66.7 0.8 1.0 1.0 35.2 -26.2
pair SLmean MRmean pos-neg 17 6.8 25.1 70.6 1.5 2.3 2.2 15.7 -11.6
pair SLmean RSmean neg-pos 67 26.8 24.5 67.2 1.0 2.0 1.1 23.8 -22.3
pair RSmean SLmean neg-pos 67 26.8 24.5 67.2 1.0 2.0 1.1 23.8 -22.3
pair RSmean MRmean neg-pos 59 23.6 23.9 66.1 1.0 1.9 1.1 24.4 -21.9
pair MRmean RSmean neg-pos 59 23.6 23.9 66.1 1.0 1.9 1.1 24.4 -21.9
pair MRmean MACD neg-neg 26 10.4 22.5 65.4 1.0 1.6 1.0 23.5 -21.9
pair RSmean MACD neg-neg 13 5.2 22.5 69.2 1.4 2.4 2.1 15.2 -10.8
pair MACD MRmean neg-neg 26 10.4 22.5 65.4 1.0 1.6 1.0 23.5 -21.9
pair MACD RSmean neg-neg 13 5.2 22.5 69.2 1.4 2.4 2.1 15.2 -10.8
pair SLmean RSI pos-neg 10 4.0 21.1 80.0 1.3 1.4 1.9 15.6 -11.1
pair RSI SLmean pos-neg 10 4.0 21.1 80.0 1.3 1.4 1.9 15.6 -11.1
pair MACDhist SLmean neg-neg 62 24.8 20.5 64.5 0.9 1.1 0.5 25.1 -38.7
pair RSIhist MACD neg-pos 31 12.4 20.5 77.4 1.5 1.6 2.1 12.9 -9.9
pair MACD RSIhist neg-pos 31 12.4 20.5 77.4 1.5 1.6 2.1 12.9 -9.9
pair SLmean MACDhist neg-neg 62 24.8 20.5 64.5 0.9 1.1 0.5 25.1 -38.7
pair MACDhist MRmean neg-neg 65 26.0 20.4 66.2 0.9 1.2 0.5 24.6 -38.7
pair MRmean MACDhist neg-neg 65 26.0 20.4 66.2 0.9 1.2 0.5 24.6 -38.7
pair MACDhist LWTI neg-neg 29 11.6 20.0 69.0 0.9 1.7 1.6 23.1 -12.2
pair LWTI MACDhist neg-neg 29 11.6 20.0 69.0 0.9 1.7 1.6 23.1 -12.2
pair MACD SLmean neg-neg 27 10.8 19.6 66.7 0.9 1.4 0.9 23.7 -21.9
pair SLmean MACD neg-neg 27 10.8 19.6 66.7 0.9 1.4 0.9 23.7 -21.9
pair RSI RSIhist neg-neg 32 12.8 18.8 59.4 0.7 1.0 0.5 34.5 -38.7
pair RSIhist RSI neg-neg 32 12.8 18.8 59.4 0.7 1.0 0.5 34.5 -38.7
pair LWTI SLmean neg-pos 68 27.2 18.5 66.2 0.8 1.1 0.6 23.3 -29.6
pair SLmean LWTI neg-pos 68 27.2 18.5 66.2 0.8 1.1 0.6 23.3 -29.6
single SLmean SLmean neg-neg 82 32.8 17.2 64.6 0.8 1.1 0.4 24.7 -38.7
pair LWTI MRmean neg-pos 56 22.4 17.0 66.1 0.8 0.9 0.7 24.5 -26.2
pair MRmean LWTI neg-pos 56 22.4 17.0 66.1 0.8 0.9 0.7 24.5 -26.2
pair RSmean MACDhist pos-neg 104 41.6 17.0 67.3 0.9 1.4 0.5 20.0 -34.3
pair MACDhist RSmean pos-neg 104 41.6 17.0 67.3 0.9 1.4 0.5 20.0 -34.3
pair RSIhist SLmean neg-neg 80 32.0 16.7 63.8 0.8 1.1 0.4 25.0 -38.7
pair SLmean RSIhist neg-neg 80 32.0 16.7 63.8 0.8 1.1 0.4 25.0 -38.7
pair RSmean RSIhist pos-neg 93 37.2 16.2 63.4 0.8 1.3 0.5 23.1 -32.1
pair RSIhist RSmean pos-neg 93 37.2 16.2 63.4 0.8 1.3 0.5 23.1 -32.1
single MRmean MRmean neg-neg 73 29.2 16.2 64.4 0.7 1.0 0.4 25.4 -38.7
pair SLmean MACD neg-pos 55 22.0 16.0 63.6 0.7 0.9 0.4 25.4 -42.6
pair MACD MACDhist neg-neg 44 17.6 16.0 70.5 0.9 1.2 0.6 18.5 -27.0
pair MACD SLmean neg-pos 55 22.0 16.0 63.6 0.7 0.9 0.4 25.4 -42.6
pair MACDhist MACD neg-neg 44 17.6 16.0 70.5 0.9 1.2 0.6 18.5 -27.0
pair RSIhist MRmean neg-neg 71 28.4 15.7 63.4 0.7 1.0 0.4 25.8 -38.7
pair MRmean RSIhist neg-neg 71 28.4 15.7 63.4 0.7 1.0 0.4 25.8 -38.7
pair RSI MRmean pos-neg 9 3.6 15.6 77.8 0.9 4.0 1.0 19.0 -15.6
pair MRmean RSI pos-neg 9 3.6 15.6 77.8 0.9 4.0 1.0 19.0 -15.6
pair MRmean SLmean neg-neg 65 26.0 15.2 63.1 0.7 0.9 0.4 26.7 -38.7
pair SLmean MRmean neg-neg 65 26.0 15.2 63.1 0.7 0.9 0.4 26.7 -38.7
pair MACD LWTI neg-pos 39 15.6 14.3 69.2 0.8 1.3 0.8 18.1 -18.6
pair LWTI MACD neg-pos 39 15.6 14.3 69.2 0.8 1.3 0.8 18.1 -18.6
pair MRmean LWTI neg-neg 17 6.8 13.7 58.8 0.6 1.3 1.2 29.1 -11.2
pair LWTI MRmean neg-neg 17 6.8 13.7 58.8 0.6 1.3 1.2 29.1 -11.2
pair MACDhist RSIhist neg-neg 86 34.4 13.6 62.8 0.7 0.9 0.3 24.0 -48.6
pair RSIhist MACDhist neg-neg 86 34.4 13.6 62.8 0.7 0.9 0.3 24.0 -48.6
single MACD MACD neg-neg 60 24.0 13.1 68.3 0.7 1.1 0.5 19.5 -27.0
pair MRmean MACD neg-pos 47 18.8 12.9 63.8 0.6 0.8 0.3 26.6 -39.9
pair MACD MRmean neg-pos 47 18.8 12.9 63.8 0.6 0.8 0.3 26.6 -39.9
pair MACD RSIhist pos-neg 84 33.6 12.8 61.9 0.6 0.8 0.2 23.1 -51.9
pair RSIhist MACD pos-neg 84 33.6 12.8 61.9 0.6 0.8 0.2 23.1 -51.9
pair LWTI RSIhist pos-neg 17 6.8 12.8 70.6 1.1 1.4 1.5 12.2 -8.6
pair RSIhist LWTI pos-neg 17 6.8 12.8 70.6 1.1 1.4 1.5 12.2 -8.6
single MACDhist MACDhist neg-neg 127 50.8 12.5 64.6 0.7 0.9 0.2 20.8 -50.3
pair MACD LWTI pos-neg 13 5.2 12.3 53.8 0.6 1.9 0.7 23.2 -16.6
pair LWTI MACD pos-neg 13 5.2 12.3 53.8 0.6 1.9 0.7 23.2 -16.6
pair SLmean LWTI pos-neg 20 8.0 11.6 65.0 0.9 1.6 1.0 13.6 -12.1
pair LWTI SLmean pos-neg 20 8.0 11.6 65.0 0.9 1.6 1.0 13.6 -12.1
single LWTI LWTI neg-neg 34 13.6 11.4 61.8 0.6 1.1 0.8 22.4 -15.1
pair RSmean LWTI pos-neg 34 13.6 11.4 61.8 0.6 1.1 0.8 22.4 -15.1
pair LWTI RSmean pos-neg 34 13.6 11.4 61.8 0.6 1.1 0.8 22.4 -15.1
pair RSI SLmean neg-pos 51 20.4 11.2 64.7 0.7 1.1 0.4 16.7 -25.8
pair SLmean RSI neg-pos 51 20.4 11.2 64.7 0.7 1.1 0.4 16.7 -25.8
pair LWTI SLmean neg-neg 14 5.6 11.1 57.1 0.5 1.2 1.0 31.7 -11.2
pair SLmean LWTI neg-neg 14 5.6 11.1 57.1 0.5 1.2 1.0 31.7 -11.2
pair LWTI RSIhist neg-pos 96 38.4 11.1 62.5 0.6 0.7 0.2 22.4 -47.9
pair RSIhist LWTI neg-pos 96 38.4 11.1 62.5 0.6 0.7 0.2 22.4 -47.9
pair LWTI MACD neg-neg 21 8.4 10.9 66.7 0.6 0.8 0.8 22.5 -14.3
pair MACD LWTI neg-neg 21 8.4 10.9 66.7 0.6 0.8 0.8 22.5 -14.3
single RSIhist RSIhist neg-neg 113 45.2 10.9 61.1 0.6 0.8 0.2 23.5 -49.3
pair MACD MACDhist pos-neg 83 33.2 10.6 61.4 0.6 0.7 0.3 22.1 -40.1
pair MACD RSmean pos-neg 47 18.8 10.6 68.1 0.6 0.9 0.4 20.7 -27.0
pair RSmean MACD pos-neg 47 18.8 10.6 68.1 0.6 0.9 0.4 20.7 -27.0
pair MACDhist MACD pos-neg 83 33.2 10.6 61.4 0.6 0.7 0.3 22.1 -40.1
pair MACDhist LWTI neg-pos 98 39.2 10.3 63.3 0.6 0.7 0.3 20.2 -40.1
pair LWTI MACDhist neg-pos 98 39.2 10.3 63.3 0.6 0.7 0.3 20.2 -40.1
pair LWTI RSIhist neg-neg 17 6.8 10.0 52.9 0.5 1.1 0.7 29.8 -15.3
pair RSIhist LWTI neg-neg 17 6.8 10.0 52.9 0.5 1.1 0.7 29.8 -15.3
single RSmean RSmean pos-pos 226 90.4 10.0 64.6 0.6 0.9 0.3 18.3 -34.3
pair RSIhist MACDhist neg-pos 41 16.4 10.0 68.3 0.9 1.1 0.7 12.0 -14.8
pair MACDhist RSIhist neg-pos 41 16.4 10.0 68.3 0.9 1.1 0.7 12.0 -14.8
pair LWTI RSmean pos-pos 192 76.8 9.8 65.1 0.6 0.9 0.4 17.5 -25.7
pair RSmean LWTI pos-pos 192 76.8 9.8 65.1 0.6 0.9 0.4 17.5 -25.7
pair RSmean MACD pos-pos 179 71.6 9.8 63.7 0.6 0.9 0.3 17.7 -32.3
pair MACD RSmean pos-pos 179 71.6 9.8 63.7 0.6 0.9 0.3 17.7 -32.3
pair LWTI MRmean pos-neg 17 6.8 9.2 64.7 0.7 1.2 1.1 13.6 -8.6
pair MRmean LWTI pos-neg 17 6.8 9.2 64.7 0.7 1.2 1.1 13.6 -8.6
pair benchmark___benchmark_ benchmark-benchmark 250 100.0 8.5 63.6 0.5 0.7 0.2 18.9 -50.3
pair benchmark___benchmark_ benchmark-benchmark 250 100.0 8.5 63.6 0.5 0.7 0.2 18.9 -50.3
single LWTI LWTI pos-pos 216 86.4 8.0 63.9 0.5 0.7 0.2 18.3 -41.4
pair SLmean MACD pos-neg 33 13.2 8.0 69.7 0.6 0.7 0.5 15.5 -18.0
pair RSI RSIhist pos-neg 81 32.4 8.0 61.7 0.5 0.7 0.3 17.5 -25.5
pair RSIhist RSI pos-neg 81 32.4 8.0 61.7 0.5 0.7 0.3 17.5 -25.5
pair MACD SLmean pos-neg 33 13.2 8.0 69.7 0.6 0.7 0.5 15.5 -18.0
pair MACDhist SLmean neg-pos 20 8.0 7.4 65.0 0.4 0.8 0.3 24.0 -22.3
pair SLmean MACDhist neg-pos 20 8.0 7.4 65.0 0.4 0.8 0.3 24.0 -22.3
pair MRmean RSI neg-pos 41 16.4 7.1 63.4 0.5 0.8 0.3 16.9 -24.6
pair RSI MRmean neg-pos 41 16.4 7.1 63.4 0.5 0.8 0.3 16.9 -24.6
single MACD MACD pos-pos 190 76.0 7.1 62.1 0.5 0.6 0.1 18.7 -48.7
pair LWTI MACD pos-pos 177 70.8 6.7 62.7 0.5 0.6 0.1 18.4 -48.7
pair MACD LWTI pos-pos 177 70.8 6.7 62.7 0.5 0.6 0.1 18.4 -48.7
single RSIhist RSIhist pos-pos 137 54.8 6.5 65.7 0.5 0.7 0.2 14.0 -29.1
pair MRmean MACD pos-neg 34 13.6 6.4 70.6 0.5 0.6 0.3 15.9 -23.9
pair MACD MRmean pos-neg 34 13.6 6.4 70.6 0.5 0.6 0.3 15.9 -23.9
pair RSI LWTI pos-pos 195 78.0 6.3 63.6 0.5 0.6 0.2 15.5 -28.5
pair LWTI RSI pos-pos 195 78.0 6.3 63.6 0.5 0.6 0.2 15.5 -28.5
pair MACDhist LWTI pos-pos 118 47.2 6.2 64.4 0.4 0.6 0.2 16.6 -27.8
pair LWTI MACDhist pos-pos 118 47.2 6.2 64.4 0.4 0.6 0.2 16.6 -27.8
pair SLmean RSIhist pos-pos 135 54.0 6.1 65.2 0.5 0.7 0.2 14.0 -29.1
pair RSIhist SLmean pos-pos 135 54.0 6.1 65.2 0.5 0.7 0.2 14.0 -29.1
pair RSIhist MRmean pos-pos 135 54.0 6.1 65.2 0.5 0.7 0.2 14.0 -29.1
pair MRmean RSIhist pos-pos 135 54.0 6.1 65.2 0.5 0.7 0.2 14.0 -29.1
pair RSmean RSIhist pos-pos 133 53.2 5.9 65.4 0.5 0.6 0.2 14.0 -34.2
pair RSIhist RSmean pos-pos 133 53.2 5.9 65.4 0.5 0.6 0.2 14.0 -34.2
pair MRmean MACDhist pos-pos 115 46.0 5.8 63.5 0.5 0.6 0.2 15.1 -25.5
pair RSI MACDhist pos-neg 94 37.6 5.8 62.8 0.4 0.6 0.2 15.8 -23.4
pair MACDhist RSI pos-neg 94 37.6 5.8 62.8 0.4 0.6 0.2 15.8 -23.4
pair MACDhist MRmean pos-pos 115 46.0 5.8 63.5 0.5 0.6 0.2 15.1 -25.5
pair RSIhist MACD neg-neg 29 11.6 5.7 58.6 0.3 0.6 0.2 24.9 -24.7
pair MACD RSIhist neg-neg 29 11.6 5.7 58.6 0.3 0.6 0.2 24.9 -24.7
pair RSIhist LWTI pos-pos 120 48.0 5.6 65.0 0.5 0.6 0.2 14.2 -26.8
pair LWTI RSIhist pos-pos 120 48.0 5.6 65.0 0.5 0.6 0.2 14.2 -26.8
pair MACD MACDhist neg-pos 16 6.4 5.5 62.5 0.3 0.7 0.3 22.6 -18.6
pair MRmean RSmean pos-pos 167 66.8 5.5 64.1 0.4 0.6 0.2 15.5 -31.1
pair RSmean MRmean pos-pos 167 66.8 5.5 64.1 0.4 0.6 0.2 15.5 -31.1
pair MACDhist MACD neg-pos 16 6.4 5.5 62.5 0.3 0.7 0.3 22.6 -18.6
pair RSmean RSI pos-pos 187 74.8 5.5 63.6 0.4 0.6 0.2 15.8 -34.0
pair RSI RSmean pos-pos 187 74.8 5.5 63.6 0.4 0.6 0.2 15.8 -34.0
single MRmean MRmean pos-pos 177 70.8 5.4 63.3 0.4 0.6 0.2 15.3 -30.1
pair RSI MACD pos-pos 173 69.2 5.4 61.8 0.4 0.6 0.2 15.8 -33.2
pair MACD RSI pos-pos 173 69.2 5.4 61.8 0.4 0.6 0.2 15.8 -33.2
pair SLmean MACDhist pos-neg 65 26.0 5.3 64.6 0.4 0.5 0.2 15.7 -26.2
pair MACDhist SLmean pos-neg 65 26.0 5.3 64.6 0.4 0.5 0.2 15.7 -26.2
single RSI RSI pos-pos 209 83.6 5.3 62.7 0.4 0.6 0.2 15.5 -33.2
pair RSI MACD neg-pos 36 14.4 5.2 66.7 0.4 0.5 0.2 13.9 -22.7
pair MRmean MACD pos-pos 143 57.2 5.2 61.5 0.4 0.5 0.2 15.3 -23.2
pair MACD MRmean pos-pos 143 57.2 5.2 61.5 0.4 0.5 0.2 15.3 -23.2
pair MACD RSI neg-pos 36 14.4 5.2 66.7 0.4 0.5 0.2 13.9 -22.7
pair RSmean SLmean pos-neg 9 3.6 5.1 55.6 0.4 0.5 0.5 14.5 -11.0
pair SLmean RSmean pos-neg 9 3.6 5.1 55.6 0.4 0.5 0.5 14.5 -11.0
pair MRmean LWTI pos-pos 160 64.0 5.0 63.1 0.4 0.5 0.1 15.6 -35.9
pair MACDhist RSIhist pos-pos 96 38.4 5.0 64.6 0.4 0.6 0.2 14.8 -27.5
pair RSIhist MACDhist pos-pos 96 38.4 5.0 64.6 0.4 0.6 0.2 14.8 -27.5
pair LWTI MRmean pos-pos 160 64.0 5.0 63.1 0.4 0.5 0.1 15.6 -35.9
pair RSI MACDhist pos-pos 115 46.0 4.9 62.6 0.4 0.5 0.2 15.4 -27.8
pair MRmean RSI pos-pos 168 67.2 4.9 62.5 0.4 0.5 0.1 15.2 -34.5
pair RSI MRmean pos-pos 168 67.2 4.9 62.5 0.4 0.5 0.1 15.2 -34.5
pair MACDhist RSI pos-pos 115 46.0 4.9 62.6 0.4 0.5 0.2 15.4 -27.8
pair MRmean MACDhist pos-neg 62 24.8 4.7 62.9 0.4 0.4 0.2 15.9 -25.5
pair MACDhist MRmean pos-neg 62 24.8 4.7 62.9 0.4 0.4 0.2 15.9 -25.5
single SLmean SLmean pos-pos 168 67.2 4.5 63.1 0.4 0.5 0.2 15.1 -26.2
single MACDhist MACDhist pos-pos 123 49.2 4.5 62.6 0.3 0.5 0.1 16.6 -32.1
pair RSmean SLmean pos-pos 159 63.6 4.4 63.5 0.4 0.5 0.2 15.2 -27.2
pair MACDhist RSmean pos-pos 122 48.8 4.4 62.3 0.3 0.5 0.1 16.6 -32.1
pair RSmean MACDhist pos-pos 122 48.8 4.4 62.3 0.3 0.5 0.1 16.6 -32.1
pair MACD MACDhist pos-pos 107 42.8 4.4 62.6 0.3 0.5 0.1 15.6 -32.1
pair MACDhist MACD pos-pos 107 42.8 4.4 62.6 0.3 0.5 0.1 15.6 -32.1
pair SLmean RSmean pos-pos 159 63.6 4.4 63.5 0.4 0.5 0.2 15.2 -27.2
pair RSmean MRmean pos-neg 10 4.0 4.4 50.0 0.4 0.5 0.4 13.7 -11.1
pair MRmean RSmean pos-neg 10 4.0 4.4 50.0 0.4 0.5 0.4 13.7 -11.1
pair RSI RSmean neg-pos 22 8.8 4.2 54.5 0.4 0.5 0.3 12.7 -15.1
pair RSmean RSI neg-pos 22 8.8 4.2 54.5 0.4 0.5 0.3 12.7 -15.1
pair MACDhist SLmean pos-pos 103 41.2 4.0 62.1 0.3 0.5 0.2 14.8 -23.8
pair SLmean MACDhist pos-pos 103 41.2 4.0 62.1 0.3 0.5 0.2 14.8 -23.8
pair RSIhist RSI pos-pos 128 51.2 3.7 63.3 0.3 0.4 0.1 14.1 -29.1
pair RSI RSIhist pos-pos 128 51.2 3.7 63.3 0.3 0.4 0.1 14.1 -29.1
pair SLmean MACD pos-pos 135 54.0 3.6 61.5 0.3 0.4 0.2 15.1 -22.8
pair MACD SLmean pos-pos 135 54.0 3.6 61.5 0.3 0.4 0.2 15.1 -22.8
pair MRmean SLmean pos-pos 160 64.0 3.5 62.5 0.3 0.4 0.1 15.3 -29.1
pair SLmean MRmean pos-pos 160 64.0 3.5 62.5 0.3 0.4 0.1 15.3 -29.1
pair SLmean RSI pos-pos 158 63.2 3.5 62.0 0.3 0.4 0.1 15.1 -35.1
pair LWTI SLmean pos-pos 148 59.2 3.5 62.8 0.3 0.4 0.1 15.3 -33.6
pair SLmean LWTI pos-pos 148 59.2 3.5 62.8 0.3 0.4 0.1 15.3 -33.6
pair RSI SLmean pos-pos 158 63.2 3.5 62.0 0.3 0.4 0.1 15.1 -35.1
pair MRmean RSIhist pos-neg 42 16.8 3.3 57.1 0.3 0.3 0.1 19.1 -32.5
pair RSIhist MRmean pos-neg 42 16.8 3.3 57.1 0.3 0.3 0.1 19.1 -32.5
pair RSIhist MACDhist pos-neg 27 10.8 2.8 55.6 0.2 0.3 0.1 22.1 -22.3
pair MACDhist RSIhist pos-neg 27 10.8 2.8 55.6 0.2 0.3 0.1 22.1 -22.3
pair RSIhist MACD pos-pos 106 42.4 2.7 62.3 0.3 0.3 0.1 14.1 -29.1
pair MACD RSIhist pos-pos 106 42.4 2.7 62.3 0.3 0.3 0.1 14.1 -29.1
pair MACDhist RSI neg-pos 8 3.2 -1.3 62.5 0.1 0.3 -0.1 30.7 -12.5
pair RSI MACDhist neg-pos 8 3.2 -1.3 62.5 0.1 0.3 -0.1 30.7 -12.5
pair SLmean RSIhist pos-neg 33 13.2 -1.9 54.5 -0.0 -0.0 -0.1 19.1 -33.4
pair RSIhist SLmean pos-neg 33 13.2 -1.9 54.5 -0.0 -0.0 -0.1 19.1 -33.4
single RSmean RSmean neg-neg 24 9.6 -5.0 54.2 -0.1 -0.1 -0.1 23.6 -34.3
pair RSmean LWTI neg-pos 24 9.6 -5.0 54.2 -0.1 -0.1 -0.1 23.6 -34.3
pair LWTI RSmean neg-pos 24 9.6 -5.0 54.2 -0.1 -0.1 -0.1 23.6 -34.3
pair MACDhist RSmean neg-neg 23 9.2 -6.1 52.2 -0.1 -0.1 -0.2 24.1 -35.5
pair RSmean MACDhist neg-neg 23 9.2 -6.1 52.2 -0.1 -0.1 -0.2 24.1 -35.5
pair LWTI RSI pos-neg 14 5.6 -7.6 50.0 -0.4 -0.7 -0.5 15.7 -14.8
pair RSI LWTI pos-neg 14 5.6 -7.6 50.0 -0.4 -0.7 -0.5 15.7 -14.8
pair RSmean RSIhist neg-neg 20 8.0 -10.5 50.0 -0.3 -0.3 -0.3 25.0 -34.8
pair RSIhist RSmean neg-neg 20 8.0 -10.5 50.0 -0.3 -0.3 -0.3 25.0 -34.8
pair RSmean SLmean neg-neg 15 6.0 -10.6 53.3 -0.2 -0.2 -0.4 28.2 -28.8
pair SLmean RSmean neg-neg 15 6.0 -10.6 53.3 -0.2 -0.2 -0.4 28.2 -28.8
pair MRmean RSmean neg-neg 14 5.6 -11.2 57.1 -0.2 -0.2 -0.4 29.2 -28.7
pair RSmean MRmean neg-neg 14 5.6 -11.2 57.1 -0.2 -0.2 -0.4 29.2 -28.7
pair MACDhist MRmean neg-pos 8 3.2 -12.5 50.0 -0.3 -0.6 -0.5 32.3 -27.1
pair MRmean MACDhist neg-pos 8 3.2 -12.5 50.0 -0.3 -0.6 -0.5 32.3 -27.1
pair LWTI MACDhist pos-neg 5 2.0 -27.6 20.0 -2.5 -3.1 -3.1 12.5 -8.9
pair MACDhist LWTI pos-neg 5 2.0 -27.6 20.0 -2.5 -3.1 -3.1 12.5 -8.9
pair MACD RSmean neg-pos 11 4.4 -29.6 36.4 -1.0 -1.0 -0.8 29.6 -35.5
pair RSmean MACD neg-pos 11 4.4 -29.6 36.4 -1.0 -1.0 -0.8 29.6 -35.5
pair RSI RSmean neg-neg 2 0.8 -65.6 50.0 -0.9 0.0 -2.6 91.7 -25.3
pair RSmean RSI neg-neg 2 0.8 -65.6 50.0 -0.9 0.0 -2.6 91.7 -25.3

All Contingency Tables for PHO

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 3.5% | Win 62%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 15% | MDD -29.1%
Months 160M (64%)
CAGR 25.1% | Win 71%
Sharpe 1.51 | Sortino 2.34 | Calmar 2.2
Vol 16% | MDD -11.6%
Months 17M (7%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 25.3% | Win 75%
Sharpe 2.01 | Sortino 9.14 | Calmar 8.6
Vol 12% | MDD -2.9%
Months 8M (3%)
CAGR 15.2% | Win 63%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.4
Vol 27% | MDD -38.7%
Months 65M (26%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
SLmean
only
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 5.5% | Win 64%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.1%
Months 167M (67%)
CAGR 4.4% | Win 50%
Sharpe 0.38 | Sortino 0.48 | Calmar 0.4
Vol 14% | MDD -11.1%
Months 10M (4%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 23.9% | Win 66%
Sharpe 1.01 | Sortino 1.88 | Calmar 1.1
Vol 24% | MDD -21.9%
Months 59M (24%)
CAGR -11.2% | Win 57%
Sharpe -0.25 | Sortino -0.23 | Calmar -0.4
Vol 29% | MDD -28.7%
Months 14M (6%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
RSmean
only
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 5.2% | Win 62%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 15% | MDD -23.2%
Months 143M (57%)
CAGR 6.4% | Win 71%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 16% | MDD -23.9%
Months 34M (14%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 12.9% | Win 64%
Sharpe 0.60 | Sortino 0.79 | Calmar 0.3
Vol 27% | MDD -39.9%
Months 47M (19%)
CAGR 22.5% | Win 65%
Sharpe 0.98 | Sortino 1.58 | Calmar 1.0
Vol 24% | MDD -21.9%
Months 26M (10%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
MACD
only
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 4.9% | Win 62%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 15% | MDD -34.5%
Months 168M (67%)
CAGR 15.6% | Win 78%
Sharpe 0.86 | Sortino 4.05 | Calmar 1.0
Vol 19% | MDD -15.6%
Months 9M (4%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 7.1% | Win 63%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.3
Vol 17% | MDD -24.6%
Months 41M (16%)
CAGR 29.1% | Win 66%
Sharpe 0.94 | Sortino 1.28 | Calmar 0.8
Vol 33% | MDD -38.7%
Months 32M (13%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
RSI
only
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 5.8% | Win 64%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -25.5%
Months 115M (46%)
CAGR 4.7% | Win 63%
Sharpe 0.37 | Sortino 0.44 | Calmar 0.2
Vol 16% | MDD -25.5%
Months 62M (25%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR -12.5% | Win 50%
Sharpe -0.27 | Sortino -0.55 | Calmar -0.5
Vol 32% | MDD -27.1%
Months 8M (3%)
CAGR 20.4% | Win 66%
Sharpe 0.89 | Sortino 1.16 | Calmar 0.5
Vol 25% | MDD -38.7%
Months 65M (26%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
MACDhist
only
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 6.1% | Win 65%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 135M (54%)
CAGR 3.3% | Win 57%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 19% | MDD -32.5%
Months 42M (17%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 36.0% | Win 100%
Sharpe 12.01 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 2M (1%)
CAGR 15.7% | Win 63%
Sharpe 0.70 | Sortino 0.98 | Calmar 0.4
Vol 26% | MDD -38.7%
Months 71M (28%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 5.0% | Win 63%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -35.9%
Months 160M (64%)
CAGR 9.2% | Win 65%
Sharpe 0.71 | Sortino 1.20 | Calmar 1.1
Vol 14% | MDD -8.6%
Months 17M (7%)
CAGR 5.4% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -30.1%
Months 177M (71%)
MRmean
neg
CAGR 17.0% | Win 66%
Sharpe 0.77 | Sortino 0.94 | Calmar 0.7
Vol 24% | MDD -26.2%
Months 56M (22%)
CAGR 13.7% | Win 59%
Sharpe 0.58 | Sortino 1.27 | Calmar 1.2
Vol 29% | MDD -11.2%
Months 17M (7%)
CAGR 16.2% | Win 64%
Sharpe 0.72 | Sortino 1.00 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 73M (29%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 4.4% | Win 64%
Sharpe 0.36 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -27.2%
Months 159M (64%)
CAGR 5.1% | Win 56%
Sharpe 0.41 | Sortino 0.51 | Calmar 0.5
Vol 14% | MDD -11.0%
Months 9M (4%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 24.5% | Win 67%
Sharpe 1.04 | Sortino 1.99 | Calmar 1.1
Vol 24% | MDD -22.3%
Months 67M (27%)
CAGR -10.6% | Win 53%
Sharpe -0.25 | Sortino -0.23 | Calmar -0.4
Vol 28% | MDD -28.8%
Months 15M (6%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
RSmean
only
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 3.6% | Win 62%
Sharpe 0.31 | Sortino 0.41 | Calmar 0.2
Vol 15% | MDD -22.8%
Months 135M (54%)
CAGR 8.0% | Win 70%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.4
Vol 16% | MDD -18.0%
Months 33M (13%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 16.0% | Win 64%
Sharpe 0.72 | Sortino 0.94 | Calmar 0.4
Vol 25% | MDD -42.6%
Months 55M (22%)
CAGR 19.6% | Win 67%
Sharpe 0.88 | Sortino 1.43 | Calmar 0.9
Vol 24% | MDD -21.9%
Months 27M (11%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
MACD
only
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 3.5% | Win 62%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 15% | MDD -35.1%
Months 158M (63%)
CAGR 21.1% | Win 80%
Sharpe 1.31 | Sortino 1.39 | Calmar 1.9
Vol 16% | MDD -11.1%
Months 10M (4%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 11.2% | Win 65%
Sharpe 0.72 | Sortino 1.14 | Calmar 0.4
Vol 17% | MDD -25.8%
Months 51M (20%)
CAGR 27.6% | Win 64%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.7
Vol 34% | MDD -38.7%
Months 31M (12%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
RSI
only
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 4.0% | Win 62%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 15% | MDD -23.8%
Months 103M (41%)
CAGR 5.3% | Win 65%
Sharpe 0.41 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -26.2%
Months 65M (26%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 7.4% | Win 65%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.3
Vol 24% | MDD -22.3%
Months 20M (8%)
CAGR 20.5% | Win 64%
Sharpe 0.88 | Sortino 1.15 | Calmar 0.5
Vol 25% | MDD -38.7%
Months 62M (25%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
MACDhist
only
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 6.1% | Win 65%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 135M (54%)
CAGR -1.9% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 19% | MDD -33.4%
Months 33M (13%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 36.5% | Win 100%
Sharpe 9.81 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 2M (1%)
CAGR 16.7% | Win 64%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 80M (32%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 3.5% | Win 63%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 15% | MDD -33.6%
Months 148M (59%)
CAGR 11.6% | Win 65%
Sharpe 0.88 | Sortino 1.59 | Calmar 1.0
Vol 14% | MDD -12.1%
Months 20M (8%)
CAGR 4.5% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 15% | MDD -26.2%
Months 168M (67%)
SLmean
neg
CAGR 18.5% | Win 66%
Sharpe 0.85 | Sortino 1.05 | Calmar 0.6
Vol 23% | MDD -29.6%
Months 68M (27%)
CAGR 11.1% | Win 57%
Sharpe 0.48 | Sortino 1.18 | Calmar 1.0
Vol 32% | MDD -11.2%
Months 14M (6%)
CAGR 17.2% | Win 65%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 25% | MDD -38.7%
Months 82M (33%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 9.8% | Win 64%
Sharpe 0.62 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -32.3%
Months 179M (72%)
CAGR 10.6% | Win 68%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.4
Vol 21% | MDD -27.0%
Months 47M (19%)
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
RSmean
neg
CAGR -29.6% | Win 36%
Sharpe -1.01 | Sortino -0.96 | Calmar -0.8
Vol 30% | MDD -35.5%
Months 11M (4%)
CAGR 22.5% | Win 69%
Sharpe 1.42 | Sortino 2.44 | Calmar 2.1
Vol 15% | MDD -10.8%
Months 13M (5%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
MACD
only
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 5.5% | Win 64%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.2
Vol 16% | MDD -34.0%
Months 187M (75%)
CAGR 34.6% | Win 69%
Sharpe 1.26 | Sortino 2.39 | Calmar 1.6
Vol 27% | MDD -21.9%
Months 39M (16%)
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
RSmean
neg
CAGR 4.2% | Win 55%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.3
Vol 13% | MDD -15.1%
Months 22M (9%)
CAGR -65.6% | Win 50%
Sharpe -0.86 | Sortino 0.00 | Calmar -2.6
Vol 92% | MDD -25.3%
Months 2M (1%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
RSI
only
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 4.4% | Win 62%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 122M (49%)
CAGR 17.0% | Win 67%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.5
Vol 20% | MDD -34.3%
Months 104M (42%)
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
RSmean
neg
CAGR 26.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -6.1% | Win 52%
Sharpe -0.13 | Sortino -0.13 | Calmar -0.2
Vol 24% | MDD -35.5%
Months 23M (9%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
MACDhist
only
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 5.9% | Win 65%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 14% | MDD -34.2%
Months 133M (53%)
CAGR 16.2% | Win 63%
Sharpe 0.77 | Sortino 1.30 | Calmar 0.5
Vol 23% | MDD -32.1%
Months 93M (37%)
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
RSmean
neg
CAGR 28.4% | Win 75%
Sharpe 1.75 | Sortino 0.00 | Calmar 10.4
Vol 15% | MDD -2.7%
Months 4M (2%)
CAGR -10.5% | Win 50%
Sharpe -0.31 | Sortino -0.29 | Calmar -0.3
Vol 25% | MDD -34.8%
Months 20M (8%)
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 9.8% | Win 65%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.4
Vol 18% | MDD -25.7%
Months 192M (77%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
CAGR 10.0% | Win 65%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -34.3%
Months 226M (90%)
RSmean
neg
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
-
CAGR -5.0% | Win 54%
Sharpe -0.09 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -34.3%
Months 24M (10%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 5.4% | Win 62%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 173M (69%)
CAGR 25.9% | Win 65%
Sharpe 0.81 | Sortino 0.98 | Calmar 1.9
Vol 37% | MDD -13.7%
Months 17M (7%)
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
MACD
neg
CAGR 5.2% | Win 67%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.2
Vol 14% | MDD -22.7%
Months 36M (14%)
CAGR 26.0% | Win 71%
Sharpe 1.03 | Sortino 1.97 | Calmar 1.2
Vol 26% | MDD -21.9%
Months 24M (10%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
RSI
only
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 4.4% | Win 63%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -32.1%
Months 107M (43%)
CAGR 10.6% | Win 61%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.3
Vol 22% | MDD -40.1%
Months 83M (33%)
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
MACD
neg
CAGR 5.5% | Win 62%
Sharpe 0.34 | Sortino 0.67 | Calmar 0.3
Vol 23% | MDD -18.6%
Months 16M (6%)
CAGR 16.0% | Win 70%
Sharpe 0.90 | Sortino 1.21 | Calmar 0.6
Vol 18% | MDD -27.0%
Months 44M (18%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
MACDhist
only
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 2.7% | Win 62%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 14% | MDD -29.1%
Months 106M (42%)
CAGR 12.8% | Win 62%
Sharpe 0.64 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.9%
Months 84M (34%)
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
MACD
neg
CAGR 20.5% | Win 77%
Sharpe 1.51 | Sortino 1.65 | Calmar 2.1
Vol 13% | MDD -9.9%
Months 31M (12%)
CAGR 5.7% | Win 59%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -24.7%
Months 29M (12%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 6.7% | Win 63%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 177M (71%)
CAGR 12.3% | Win 54%
Sharpe 0.61 | Sortino 1.91 | Calmar 0.7
Vol 23% | MDD -16.6%
Months 13M (5%)
CAGR 7.1% | Win 62%
Sharpe 0.46 | Sortino 0.59 | Calmar 0.1
Vol 19% | MDD -48.7%
Months 190M (76%)
MACD
neg
CAGR 14.3% | Win 69%
Sharpe 0.83 | Sortino 1.26 | Calmar 0.8
Vol 18% | MDD -18.6%
Months 39M (16%)
CAGR 10.9% | Win 67%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.8
Vol 22% | MDD -14.3%
Months 21M (8%)
CAGR 13.1% | Win 68%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -27.0%
Months 60M (24%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 4.9% | Win 63%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.2
Vol 15% | MDD -27.8%
Months 115M (46%)
CAGR 5.8% | Win 63%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 16% | MDD -23.4%
Months 94M (38%)
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
RSI
neg
CAGR -1.3% | Win 62%
Sharpe 0.09 | Sortino 0.31 | Calmar -0.1
Vol 31% | MDD -12.5%
Months 8M (3%)
CAGR 33.6% | Win 70%
Sharpe 1.11 | Sortino 1.35 | Calmar 0.9
Vol 31% | MDD -38.7%
Months 33M (13%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
MACDhist
only
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 3.7% | Win 63%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -29.1%
Months 128M (51%)
CAGR 8.0% | Win 62%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.3
Vol 18% | MDD -25.5%
Months 81M (32%)
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
RSI
neg
CAGR 55.2% | Win 100%
Sharpe 10.39 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 9M (4%)
CAGR 18.8% | Win 59%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.5
Vol 34% | MDD -38.7%
Months 32M (13%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 6.3% | Win 64%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 16% | MDD -28.5%
Months 195M (78%)
CAGR -7.6% | Win 50%
Sharpe -0.42 | Sortino -0.74 | Calmar -0.5
Vol 16% | MDD -14.8%
Months 14M (6%)
CAGR 5.3% | Win 63%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -33.2%
Months 209M (84%)
RSI
neg
CAGR 25.1% | Win 67%
Sharpe 0.82 | Sortino 1.03 | Calmar 1.0
Vol 35% | MDD -26.2%
Months 21M (8%)
CAGR 26.9% | Win 70%
Sharpe 1.06 | Sortino 1.89 | Calmar 2.4
Vol 26% | MDD -11.2%
Months 20M (8%)
CAGR 26.0% | Win 68%
Sharpe 0.92 | Sortino 1.25 | Calmar 0.7
Vol 30% | MDD -38.7%
Months 41M (16%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 5.0% | Win 65%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 96M (38%)
CAGR 2.8% | Win 56%
Sharpe 0.23 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -22.3%
Months 27M (11%)
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
MACDhist
neg
CAGR 10.0% | Win 68%
Sharpe 0.86 | Sortino 1.15 | Calmar 0.7
Vol 12% | MDD -14.8%
Months 41M (16%)
CAGR 13.6% | Win 63%
Sharpe 0.66 | Sortino 0.87 | Calmar 0.3
Vol 24% | MDD -48.6%
Months 86M (34%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
RSIhist
only
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 6.2% | Win 64%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -27.8%
Months 118M (47%)
CAGR -27.6% | Win 20%
Sharpe -2.50 | Sortino -3.08 | Calmar -3.1
Vol 12% | MDD -8.9%
Months 5M (2%)
CAGR 4.5% | Win 63%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 17% | MDD -32.1%
Months 123M (49%)
MACDhist
neg
CAGR 10.3% | Win 63%
Sharpe 0.59 | Sortino 0.70 | Calmar 0.3
Vol 20% | MDD -40.1%
Months 98M (39%)
CAGR 20.0% | Win 69%
Sharpe 0.91 | Sortino 1.69 | Calmar 1.6
Vol 23% | MDD -12.2%
Months 29M (12%)
CAGR 12.5% | Win 65%
Sharpe 0.67 | Sortino 0.86 | Calmar 0.2
Vol 21% | MDD -50.3%
Months 127M (51%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 5.6% | Win 65%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 120M (48%)
CAGR 12.8% | Win 71%
Sharpe 1.05 | Sortino 1.45 | Calmar 1.5
Vol 12% | MDD -8.6%
Months 17M (7%)
CAGR 6.5% | Win 66%
Sharpe 0.52 | Sortino 0.70 | Calmar 0.2
Vol 14% | MDD -29.1%
Months 137M (55%)
RSIhist
neg
CAGR 11.1% | Win 62%
Sharpe 0.59 | Sortino 0.73 | Calmar 0.2
Vol 22% | MDD -47.9%
Months 96M (38%)
CAGR 10.0% | Win 53%
Sharpe 0.46 | Sortino 1.09 | Calmar 0.7
Vol 30% | MDD -15.3%
Months 17M (7%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 24% | MDD -49.3%
Months 113M (45%)
LWTI
only
CAGR 8.0% | Win 64%
Sharpe 0.52 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -41.4%
Months 216M (86%)
CAGR 11.4% | Win 62%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 22% | MDD -15.1%
Months 34M (14%)