PICB - Invesco International Corporate Bond ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

46.4%

Best CAGR

56

Total Months

4.6%

Avg CAGR

PICB 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 PICB

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 RSmean neg-neg 4 2.0 46.4 75.0 3.6 0.0 324.3 10.9 -0.1
pair RSmean RSI neg-neg 4 2.0 46.4 75.0 3.6 0.0 324.3 10.9 -0.1
pair SLmean RSIhist neg-pos 9 4.6 34.6 100.0 7.9 0.0 0.0 3.8 0.0
pair RSIhist SLmean neg-pos 9 4.6 34.6 100.0 7.9 0.0 0.0 3.8 0.0
pair RSIhist RSmean neg-pos 3 1.5 27.7 66.7 2.4 0.0 59.7 10.3 -0.5
pair RSmean RSIhist neg-pos 3 1.5 27.7 66.7 2.4 0.0 59.7 10.3 -0.5
pair MACDhist LWTI pos-neg 4 2.0 27.6 100.0 5.8 0.0 0.0 4.2 0.0
pair LWTI MACDhist pos-neg 4 2.0 27.6 100.0 5.8 0.0 0.0 4.2 0.0
pair RSmean SLmean pos-neg 8 4.1 27.0 75.0 3.1 7.5 12.1 7.8 -2.2
pair SLmean RSmean pos-neg 8 4.1 27.0 75.0 3.1 7.5 12.1 7.8 -2.2
pair RSmean MRmean pos-neg 7 3.6 26.0 71.4 2.8 7.3 11.6 8.6 -2.2
pair MRmean RSmean pos-neg 7 3.6 26.0 71.4 2.8 7.3 11.6 8.6 -2.2
pair MACD RSmean neg-pos 4 2.0 24.8 75.0 2.6 0.0 13.9 8.8 -1.8
pair RSmean MACD neg-pos 4 2.0 24.8 75.0 2.6 0.0 13.9 8.8 -1.8
pair RSmean MACDhist neg-neg 19 9.7 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair MACDhist RSmean neg-neg 19 9.7 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair RSmean LWTI neg-pos 22 11.2 21.1 68.2 1.9 2.3 3.0 10.2 -7.1
pair LWTI RSmean neg-pos 22 11.2 21.1 68.2 1.9 2.3 3.0 10.2 -7.1
single RSmean RSmean neg-neg 23 11.7 20.9 69.6 2.0 2.3 2.9 10.0 -7.1
pair MACD RSmean neg-neg 19 9.7 20.1 68.4 1.8 2.0 2.8 10.5 -7.1
pair RSmean MACD neg-neg 19 9.7 20.1 68.4 1.8 2.0 2.8 10.5 -7.1
pair RSmean RSIhist neg-neg 20 10.2 19.9 70.0 1.8 2.0 2.8 10.2 -7.1
pair RSIhist RSmean neg-neg 20 10.2 19.9 70.0 1.8 2.0 2.8 10.2 -7.1
pair RSmean MRmean neg-neg 16 8.2 18.8 68.8 1.7 1.7 2.6 10.8 -7.1
pair MRmean RSmean neg-neg 16 8.2 18.8 68.8 1.7 1.7 2.6 10.8 -7.1
pair LWTI RSmean neg-neg 1 0.5 17.8 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSmean neg-neg 15 7.7 17.8 66.7 1.5 1.6 2.5 11.2 -7.1
pair RSmean LWTI neg-neg 1 0.5 17.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean neg-neg 15 7.7 17.8 66.7 1.5 1.6 2.5 11.2 -7.1
pair RSmean RSI neg-pos 19 9.7 16.2 68.4 1.6 1.7 2.3 9.7 -7.1
pair RSI RSmean neg-pos 19 9.7 16.2 68.4 1.6 1.7 2.3 9.7 -7.1
pair RSI LWTI neg-pos 28 14.3 15.5 67.9 1.7 3.1 2.8 8.8 -5.5
pair LWTI RSI neg-pos 28 14.3 15.5 67.9 1.7 3.1 2.8 8.8 -5.5
pair MRmean RSIhist neg-pos 8 4.1 14.7 75.0 1.4 1.7 3.3 9.9 -4.4
pair RSIhist MRmean neg-pos 8 4.1 14.7 75.0 1.4 1.7 3.3 9.9 -4.4
pair MACDhist RSmean neg-pos 4 2.0 13.8 50.0 1.2 4.2 6.2 10.8 -2.2
pair RSmean MACDhist neg-pos 4 2.0 13.8 50.0 1.2 4.2 6.2 10.8 -2.2
pair MACDhist RSI neg-pos 15 7.7 13.7 66.7 1.4 2.7 2.5 9.4 -5.5
pair RSI MACDhist neg-pos 15 7.7 13.7 66.7 1.4 2.7 2.5 9.4 -5.5
pair RSI LWTI pos-neg 10 5.1 12.7 70.0 2.0 3.8 6.9 6.1 -1.8
pair LWTI RSI pos-neg 10 5.1 12.7 70.0 2.0 3.8 6.9 6.1 -1.8
pair MACDhist MRmean neg-pos 10 5.1 11.3 70.0 1.2 2.4 2.9 9.4 -3.9
pair MRmean MACDhist neg-pos 10 5.1 11.3 70.0 1.2 2.4 2.9 9.4 -3.9
pair RSI RSIhist neg-pos 17 8.7 10.7 64.7 1.1 2.1 2.0 9.9 -5.4
pair RSIhist RSI neg-pos 17 8.7 10.7 64.7 1.1 2.1 2.0 9.9 -5.4
pair SLmean MACD neg-neg 47 24.0 9.7 63.8 0.8 0.9 0.4 13.0 -23.5
pair MACD SLmean neg-neg 47 24.0 9.7 63.8 0.8 0.9 0.4 13.0 -23.5
pair MRmean LWTI pos-neg 11 5.6 9.0 63.6 1.3 2.2 3.2 7.1 -2.8
pair LWTI MRmean pos-neg 11 5.6 9.0 63.6 1.3 2.2 3.2 7.1 -2.8
pair MRmean LWTI neg-pos 52 26.5 8.3 59.6 0.9 1.2 1.1 9.8 -7.6
pair LWTI MRmean neg-pos 52 26.5 8.3 59.6 0.9 1.2 1.1 9.8 -7.6
pair LWTI MACDhist neg-pos 63 32.1 7.0 61.9 0.7 0.9 0.8 10.0 -9.1
pair RSIhist LWTI pos-neg 16 8.2 7.0 62.5 0.8 1.3 1.6 8.4 -4.4
pair MACDhist LWTI neg-pos 63 32.1 7.0 61.9 0.7 0.9 0.8 10.0 -9.1
pair LWTI RSIhist pos-neg 16 8.2 7.0 62.5 0.8 1.3 1.6 8.4 -4.4
pair SLmean LWTI neg-pos 65 33.2 6.7 61.5 0.7 0.9 0.6 9.9 -11.7
pair LWTI SLmean neg-pos 65 33.2 6.7 61.5 0.7 0.9 0.6 9.9 -11.7
pair MACDhist MACD neg-pos 25 12.8 6.5 56.0 0.7 1.2 0.7 9.8 -9.4
pair MACD MRmean neg-neg 50 25.5 6.5 62.0 0.5 0.7 0.3 13.2 -23.5
pair MRmean MACD neg-neg 50 25.5 6.5 62.0 0.5 0.7 0.3 13.2 -23.5
pair MACD MACDhist neg-pos 25 12.8 6.5 56.0 0.7 1.2 0.7 9.8 -9.4
pair RSI MRmean pos-neg 11 5.6 6.4 54.5 0.7 1.4 1.1 9.3 -6.1
pair MRmean RSI pos-neg 11 5.6 6.4 54.5 0.7 1.4 1.1 9.3 -6.1
pair MACD LWTI neg-pos 51 26.0 6.2 60.8 0.6 0.8 0.7 11.1 -9.4
pair LWTI MACD neg-pos 51 26.0 6.2 60.8 0.6 0.8 0.7 11.1 -9.4
pair RSI SLmean neg-neg 49 25.0 5.3 59.2 0.5 0.6 0.2 12.3 -27.5
pair SLmean RSI neg-neg 49 25.0 5.3 59.2 0.5 0.6 0.2 12.3 -27.5
pair SLmean MRmean pos-neg 19 9.7 5.0 73.7 0.5 0.5 0.6 11.0 -8.6
pair MRmean SLmean pos-neg 19 9.7 5.0 73.7 0.5 0.5 0.6 11.0 -8.6
pair RSI MACD neg-neg 45 23.0 4.6 57.8 0.4 0.6 0.2 12.9 -23.5
pair MACD RSI neg-neg 45 23.0 4.6 57.8 0.4 0.6 0.2 12.9 -23.5
pair MACDhist MRmean pos-neg 28 14.3 4.3 64.3 0.5 0.6 0.4 9.5 -10.5
pair MACDhist SLmean neg-pos 26 13.3 4.3 69.2 0.5 0.5 0.4 10.5 -11.0
pair MRmean MACDhist pos-neg 28 14.3 4.3 64.3 0.5 0.6 0.4 9.5 -10.5
pair MACDhist RSI pos-neg 56 28.6 4.3 58.9 0.5 0.6 0.5 9.9 -9.1
pair RSI MACDhist pos-neg 56 28.6 4.3 58.9 0.5 0.6 0.5 9.9 -9.1
pair SLmean MACDhist neg-pos 26 13.3 4.3 69.2 0.5 0.5 0.4 10.5 -11.0
pair RSIhist MACDhist neg-pos 22 11.2 4.1 59.1 0.5 0.7 0.9 9.6 -4.4
pair MACDhist RSIhist neg-pos 22 11.2 4.1 59.1 0.5 0.7 0.9 9.6 -4.4
single SLmean SLmean neg-neg 94 48.0 3.9 58.5 0.4 0.5 0.1 11.3 -32.8
pair RSIhist MACD pos-pos 58 29.6 3.7 56.9 0.5 0.9 0.4 7.4 -8.7
pair MACD RSIhist pos-pos 58 29.6 3.7 56.9 0.5 0.9 0.4 7.4 -8.7
pair MACDhist SLmean neg-neg 68 34.7 3.7 54.4 0.4 0.5 0.1 11.7 -31.0
pair SLmean MACDhist neg-neg 68 34.7 3.7 54.4 0.4 0.5 0.1 11.7 -31.0
pair RSIhist MACD neg-neg 50 25.5 3.7 60.0 0.3 0.4 0.2 13.4 -23.5
pair MACD RSIhist neg-neg 50 25.5 3.7 60.0 0.3 0.4 0.2 13.4 -23.5
pair MRmean SLmean neg-neg 75 38.3 3.6 54.7 0.4 0.5 0.1 11.5 -32.8
pair SLmean MRmean neg-neg 75 38.3 3.6 54.7 0.4 0.5 0.1 11.5 -32.8
single MACD MACD neg-neg 83 42.3 3.4 59.0 0.3 0.5 0.1 12.0 -23.5
single RSIhist RSIhist pos-pos 91 46.4 3.4 57.1 0.4 0.7 0.5 8.3 -6.7
single RSI RSI neg-neg 61 31.1 3.3 55.7 0.3 0.5 0.1 11.8 -27.5
pair MACDhist RSIhist pos-pos 69 35.2 3.2 56.5 0.4 0.7 0.5 8.0 -6.7
pair RSIhist MACDhist pos-pos 69 35.2 3.2 56.5 0.4 0.7 0.5 8.0 -6.7
pair MRmean RSI neg-pos 34 17.3 3.1 52.9 0.3 0.5 0.2 10.0 -12.2
pair RSI MRmean neg-pos 34 17.3 3.1 52.9 0.3 0.5 0.2 10.0 -12.2
pair RSIhist MACD neg-pos 33 16.8 2.9 57.6 0.3 0.6 0.4 9.8 -6.7
pair MACD RSIhist neg-pos 33 16.8 2.9 57.6 0.3 0.6 0.4 9.8 -6.7
pair MACDhist MACD pos-neg 44 22.4 2.8 50.0 0.4 0.7 0.2 8.2 -12.7
pair MACD MACDhist pos-neg 44 22.4 2.8 50.0 0.4 0.7 0.2 8.2 -12.7
single MRmean MRmean neg-neg 84 42.9 2.8 54.8 0.3 0.4 0.1 11.4 -32.8
pair LWTI RSIhist neg-pos 78 39.8 2.7 57.7 0.3 0.4 0.1 10.2 -20.0
pair RSmean RSIhist pos-pos 88 44.9 2.7 56.8 0.4 0.6 0.2 8.3 -11.4
pair LWTI RSIhist pos-pos 75 38.3 2.7 56.0 0.3 0.6 0.3 8.4 -7.9
pair RSIhist LWTI pos-pos 75 38.3 2.7 56.0 0.3 0.6 0.3 8.4 -7.9
single LWTI LWTI pos-pos 153 78.1 2.7 56.9 0.3 0.5 0.1 9.3 -20.9
pair RSIhist LWTI neg-pos 78 39.8 2.7 57.7 0.3 0.4 0.1 10.2 -20.0
pair RSIhist RSmean pos-pos 88 44.9 2.7 56.8 0.4 0.6 0.2 8.3 -11.4
pair RSI MRmean neg-neg 50 25.5 2.6 56.0 0.3 0.4 0.1 12.4 -27.5
pair MRmean RSI neg-neg 50 25.5 2.6 56.0 0.3 0.4 0.1 12.4 -27.5
single MACDhist MACDhist neg-neg 102 52.0 2.4 55.9 0.3 0.4 0.1 11.1 -31.0
pair MRmean RSIhist pos-pos 83 42.3 2.4 55.4 0.3 0.5 0.3 8.2 -9.2
pair RSIhist MRmean pos-pos 83 42.3 2.4 55.4 0.3 0.5 0.3 8.2 -9.2
pair RSI SLmean neg-pos 45 23.0 2.4 57.8 0.3 0.3 0.1 10.4 -16.8
pair SLmean RSI neg-pos 45 23.0 2.4 57.8 0.3 0.3 0.1 10.4 -16.8
pair MACD MACDhist neg-neg 58 29.6 2.1 60.3 0.2 0.3 0.1 12.9 -23.5
pair MACDhist MACD neg-neg 58 29.6 2.1 60.3 0.2 0.3 0.1 12.9 -23.5
pair RSI MACD neg-pos 38 19.4 2.0 60.5 0.2 0.3 0.2 11.1 -9.5
pair MACD RSI neg-pos 38 19.4 2.0 60.5 0.2 0.3 0.2 11.1 -9.5
pair MACDhist RSIhist neg-neg 80 40.8 1.9 55.0 0.2 0.3 0.1 11.5 -31.0
pair RSIhist MACDhist neg-neg 80 40.8 1.9 55.0 0.2 0.3 0.1 11.5 -31.0
pair RSIhist RSI pos-pos 74 37.8 1.8 55.4 0.3 0.4 0.2 7.9 -10.9
pair RSI RSIhist pos-pos 74 37.8 1.8 55.4 0.3 0.4 0.2 7.9 -10.9
pair SLmean MACD pos-pos 66 33.7 1.8 53.0 0.3 0.5 0.2 7.5 -10.3
pair MACD SLmean pos-pos 66 33.7 1.8 53.0 0.3 0.5 0.2 7.5 -10.3
pair MACDhist MRmean neg-neg 74 37.8 1.7 52.7 0.2 0.3 0.1 11.7 -31.0
pair MRmean MACDhist neg-neg 74 37.8 1.7 52.7 0.2 0.3 0.1 11.7 -31.0
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 1.6 55.6 0.2 0.3 0.1 10.0 -34.9
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 1.6 55.6 0.2 0.3 0.1 10.0 -34.9
pair MRmean RSIhist neg-neg 76 38.8 1.6 52.6 0.2 0.3 0.1 11.6 -32.8
pair RSIhist MRmean neg-neg 76 38.8 1.6 52.6 0.2 0.3 0.1 11.6 -32.8
pair MRmean MACD pos-pos 79 40.3 1.6 57.0 0.2 0.3 0.1 8.4 -10.6
pair MACD MRmean pos-pos 79 40.3 1.6 57.0 0.2 0.3 0.1 8.4 -10.6
pair RSmean SLmean neg-pos 79 40.3 1.4 57.0 0.2 0.2 0.0 11.3 -32.8
pair SLmean RSmean neg-pos 79 40.3 1.4 57.0 0.2 0.2 0.0 11.3 -32.8
pair SLmean RSIhist neg-neg 85 43.4 1.1 54.1 0.1 0.2 0.0 11.6 -34.6
pair RSIhist SLmean neg-neg 85 43.4 1.1 54.1 0.1 0.2 0.0 11.6 -34.6
pair LWTI MACD pos-pos 102 52.0 1.0 54.9 0.2 0.2 0.1 8.3 -20.2
pair MACD LWTI pos-pos 102 52.0 1.0 54.9 0.2 0.2 0.1 8.3 -20.2
single RSI RSI pos-pos 135 68.9 0.9 55.6 0.1 0.2 0.1 9.1 -19.2
single MACDhist MACDhist pos-pos 94 48.0 0.8 55.3 0.1 0.2 0.1 8.7 -15.8
pair RSmean RSI pos-neg 57 29.1 0.8 54.4 0.1 0.2 0.0 11.6 -27.5
pair RSI RSmean pos-neg 57 29.1 0.8 54.4 0.1 0.2 0.0 11.6 -27.5
single MRmean MRmean pos-pos 112 57.1 0.8 56.2 0.1 0.2 0.1 8.8 -10.6
pair RSIhist RSI neg-neg 44 22.4 0.6 52.3 0.1 0.1 0.0 12.5 -27.5
pair RSI RSIhist neg-neg 44 22.4 0.6 52.3 0.1 0.1 0.0 12.5 -27.5
pair RSI MACD pos-pos 97 49.5 0.5 53.6 0.1 0.1 0.0 8.2 -18.1
pair SLmean RSIhist pos-pos 82 41.8 0.5 52.4 0.1 0.1 0.0 8.3 -14.2
pair RSIhist SLmean pos-pos 82 41.8 0.5 52.4 0.1 0.1 0.0 8.3 -14.2
pair MACD RSI pos-pos 97 49.5 0.5 53.6 0.1 0.1 0.0 8.2 -18.1
single MACD MACD pos-pos 113 57.7 0.4 53.1 0.1 0.1 0.0 8.2 -21.0
pair RSmean MACDhist pos-pos 90 45.9 0.3 55.6 0.1 0.1 0.0 8.6 -17.0
pair MACDhist RSmean pos-pos 90 45.9 0.3 55.6 0.1 0.1 0.0 8.6 -17.0
pair RSI MRmean pos-pos 101 51.5 0.2 56.4 0.1 0.1 0.0 8.8 -12.0
pair MRmean RSI pos-pos 101 51.5 0.2 56.4 0.1 0.1 0.0 8.8 -12.0
pair RSI SLmean pos-pos 90 45.9 0.2 54.4 0.1 0.1 0.0 8.4 -13.6
pair SLmean RSI pos-pos 90 45.9 0.2 54.4 0.1 0.1 0.0 8.4 -13.6
pair MACDhist RSI neg-neg 46 23.5 0.1 52.2 0.1 0.1 0.0 12.5 -27.5
pair RSI MACDhist neg-neg 46 23.5 0.1 52.2 0.1 0.1 0.0 12.5 -27.5
single RSIhist RSIhist neg-neg 105 53.6 0.1 54.3 0.1 0.1 0.0 11.3 -37.0
pair LWTI RSI pos-pos 125 63.8 0.0 54.4 0.1 0.1 0.0 9.3 -26.3
pair RSI LWTI pos-pos 125 63.8 0.0 54.4 0.1 0.1 0.0 9.3 -26.3
pair SLmean LWTI pos-pos 88 44.9 -0.1 53.4 0.0 0.0 -0.0 8.8 -13.9
pair MRmean LWTI pos-pos 101 51.5 -0.1 55.4 0.0 0.1 -0.0 9.0 -15.9
pair LWTI MRmean pos-pos 101 51.5 -0.1 55.4 0.0 0.1 -0.0 9.0 -15.9
pair LWTI SLmean pos-pos 88 44.9 -0.1 53.4 0.0 0.0 -0.0 8.8 -13.9
pair RSmean LWTI pos-pos 131 66.8 -0.1 55.0 0.0 0.0 -0.0 8.9 -20.8
pair LWTI RSmean pos-pos 131 66.8 -0.1 55.0 0.0 0.0 -0.0 8.9 -20.8
pair SLmean MRmean pos-pos 93 47.4 -0.1 52.7 0.0 0.1 -0.0 8.4 -13.9
pair MRmean SLmean pos-pos 93 47.4 -0.1 52.7 0.0 0.1 -0.0 8.4 -13.9
pair SLmean MACDhist pos-neg 34 17.3 -0.2 58.8 0.0 0.0 -0.0 9.8 -13.6
pair RSIhist RSI pos-neg 61 31.1 -0.2 55.7 0.0 0.0 -0.0 10.4 -21.3
pair LWTI MACDhist pos-pos 90 45.9 -0.2 53.3 0.0 0.0 -0.0 8.7 -22.4
pair MACDhist LWTI pos-pos 90 45.9 -0.2 53.3 0.0 0.0 -0.0 8.7 -22.4
pair RSI RSIhist pos-neg 61 31.1 -0.2 55.7 0.0 0.0 -0.0 10.4 -21.3
pair MACDhist SLmean pos-neg 34 17.3 -0.2 58.8 0.0 0.0 -0.0 9.8 -13.6
pair RSI MACD pos-neg 16 8.2 -0.3 50.0 0.0 0.0 -0.1 8.4 -5.6
pair MACD RSI pos-neg 16 8.2 -0.3 50.0 0.0 0.0 -0.1 8.4 -5.6
pair MRmean MACDhist pos-pos 84 42.9 -0.4 53.6 0.0 0.0 -0.0 8.6 -13.7
pair RSmean MACD pos-pos 109 55.6 -0.4 52.3 -0.0 -0.0 -0.0 8.2 -22.6
pair MACD RSmean pos-pos 109 55.6 -0.4 52.3 -0.0 -0.0 -0.0 8.2 -22.6
pair MACDhist MRmean pos-pos 84 42.9 -0.4 53.6 0.0 0.0 -0.0 8.6 -13.7
single SLmean SLmean pos-pos 102 52.0 -0.4 52.9 -0.0 -0.0 -0.0 8.6 -15.7
pair MACDhist SLmean pos-pos 68 34.7 -0.5 50.0 -0.0 -0.0 -0.1 8.0 -10.7
pair SLmean MACDhist pos-pos 68 34.7 -0.5 50.0 -0.0 -0.0 -0.1 8.0 -10.7
pair MRmean RSmean neg-pos 68 34.7 -0.6 51.5 -0.0 -0.0 -0.0 11.4 -32.8
pair RSmean MRmean neg-pos 68 34.7 -0.6 51.5 -0.0 -0.0 -0.0 11.4 -32.8
single RSmean RSmean pos-pos 173 88.3 -0.7 53.8 -0.0 -0.0 -0.0 9.8 -34.9
pair MRmean RSmean pos-pos 105 53.6 -0.7 55.2 -0.0 -0.1 -0.1 8.7 -15.0
pair RSmean MRmean pos-pos 105 53.6 -0.7 55.2 -0.0 -0.1 -0.1 8.7 -15.0
pair MACD LWTI neg-neg 32 16.3 -1.0 56.2 -0.0 -0.0 -0.0 13.5 -23.5
pair LWTI MACD neg-neg 32 16.3 -1.0 56.2 -0.0 -0.0 -0.0 13.5 -23.5
pair MRmean MACD pos-neg 33 16.8 -1.1 54.5 -0.1 -0.1 -0.1 9.9 -12.6
pair MACD MRmean pos-neg 33 16.8 -1.1 54.5 -0.1 -0.1 -0.1 9.9 -12.6
pair MACD RSmean pos-neg 64 32.7 -1.1 56.2 -0.0 -0.0 -0.1 12.2 -23.6
pair RSmean MACD pos-neg 64 32.7 -1.1 56.2 -0.0 -0.0 -0.1 12.2 -23.6
pair MACDhist MACD pos-pos 69 35.2 -1.2 55.1 -0.1 -0.1 -0.1 8.3 -20.4
pair MACD MACDhist pos-pos 69 35.2 -1.2 55.1 -0.1 -0.1 -0.1 8.3 -20.4
pair RSI RSmean pos-pos 116 59.2 -1.4 53.4 -0.1 -0.1 -0.1 8.9 -21.6
pair RSmean RSI pos-pos 116 59.2 -1.4 53.4 -0.1 -0.1 -0.1 8.9 -21.6
pair RSI MACDhist pos-pos 79 40.3 -1.5 53.2 -0.1 -0.2 -0.1 8.5 -21.3
pair MACDhist RSI pos-pos 79 40.3 -1.5 53.2 -0.1 -0.2 -0.1 8.5 -21.3
pair MACD SLmean neg-pos 47 24.0 -1.6 53.2 -0.1 -0.2 -0.1 9.3 -17.9
pair SLmean MACD neg-pos 47 24.0 -1.6 53.2 -0.1 -0.2 -0.1 9.3 -17.9
pair MACDhist RSmean pos-neg 83 42.3 -1.7 51.8 -0.1 -0.1 -0.1 11.0 -31.0
pair RSmean MACDhist pos-neg 83 42.3 -1.7 51.8 -0.1 -0.1 -0.1 11.0 -31.0
pair SLmean LWTI pos-neg 14 7.1 -1.9 50.0 -0.2 -0.3 -0.2 7.6 -7.8
pair LWTI SLmean pos-neg 14 7.1 -1.9 50.0 -0.2 -0.3 -0.2 7.6 -7.8
single LWTI LWTI neg-neg 43 21.9 -2.0 51.2 -0.1 -0.1 -0.1 12.2 -27.5
pair SLmean LWTI neg-neg 29 14.8 -2.1 51.7 -0.1 -0.1 -0.1 14.1 -27.5
pair LWTI SLmean neg-neg 29 14.8 -2.1 51.7 -0.1 -0.1 -0.1 14.1 -27.5
pair RSmean SLmean pos-pos 94 48.0 -2.4 51.1 -0.2 -0.4 -0.1 8.4 -24.1
pair SLmean RSmean pos-pos 94 48.0 -2.4 51.1 -0.2 -0.4 -0.1 8.4 -24.1
pair MACD MRmean neg-pos 34 17.3 -2.4 44.1 -0.3 -0.5 -0.1 7.9 -15.5
pair MRmean MACD neg-pos 34 17.3 -2.4 44.1 -0.3 -0.5 -0.1 7.9 -15.5
pair LWTI RSmean pos-neg 42 21.4 -2.5 50.0 -0.1 -0.2 -0.1 12.4 -27.5
pair RSmean LWTI pos-neg 42 21.4 -2.5 50.0 -0.1 -0.2 -0.1 12.4 -27.5
pair RSIhist MACD pos-neg 55 28.1 -3.0 49.1 -0.3 -0.4 -0.1 9.0 -23.5
pair MACD RSIhist pos-neg 55 28.1 -3.0 49.1 -0.3 -0.4 -0.1 9.0 -23.5
pair RSIhist MRmean pos-neg 29 14.8 -3.6 58.6 -0.3 -0.4 -0.3 10.5 -11.2
pair MRmean RSIhist pos-neg 29 14.8 -3.6 58.6 -0.3 -0.4 -0.3 10.5 -11.2
pair SLmean MRmean neg-pos 9 4.6 -3.8 55.6 -0.3 -0.5 -0.7 11.1 -5.4
pair MRmean SLmean neg-pos 9 4.6 -3.8 55.6 -0.3 -0.5 -0.7 11.1 -5.4
pair RSIhist SLmean pos-neg 20 10.2 -3.8 55.0 -0.3 -0.5 -0.3 9.9 -13.6
pair SLmean RSIhist pos-neg 20 10.2 -3.8 55.0 -0.3 -0.5 -0.3 9.9 -13.6
pair RSmean RSIhist pos-neg 85 43.4 -4.0 50.6 -0.3 -0.4 -0.1 11.2 -39.0
pair RSIhist RSmean pos-neg 85 43.4 -4.0 50.6 -0.3 -0.4 -0.1 11.2 -39.0
pair SLmean MACD pos-neg 36 18.4 -4.3 52.8 -0.4 -0.5 -0.2 10.4 -17.7
pair MACD SLmean pos-neg 36 18.4 -4.3 52.8 -0.4 -0.5 -0.2 10.4 -17.7
pair RSI SLmean pos-neg 12 6.1 -4.6 41.7 -0.4 -0.9 -0.5 9.9 -9.8
pair SLmean RSI pos-neg 12 6.1 -4.6 41.7 -0.4 -0.9 -0.5 9.9 -9.8
pair MACDhist LWTI neg-neg 39 19.9 -4.6 46.2 -0.3 -0.5 -0.2 12.6 -27.5
pair LWTI MACDhist neg-neg 39 19.9 -4.6 46.2 -0.3 -0.5 -0.2 12.6 -27.5
pair MACD LWTI pos-neg 11 5.6 -5.0 36.4 -0.6 -1.2 -0.9 8.0 -5.3
pair LWTI MACD pos-neg 11 5.6 -5.0 36.4 -0.6 -1.2 -0.9 8.0 -5.3
pair MACDhist RSIhist pos-neg 25 12.8 -5.4 52.0 -0.5 -0.7 -0.3 10.5 -20.8
pair RSIhist MACDhist pos-neg 25 12.8 -5.4 52.0 -0.5 -0.7 -0.3 10.5 -20.8
pair MRmean LWTI neg-neg 32 16.3 -5.6 46.9 -0.4 -0.5 -0.2 13.5 -27.5
pair LWTI MRmean neg-neg 32 16.3 -5.6 46.9 -0.4 -0.5 -0.2 13.5 -27.5
pair RSI LWTI neg-neg 33 16.8 -6.1 45.5 -0.4 -0.6 -0.2 13.4 -27.5
pair LWTI RSI neg-neg 33 16.8 -6.1 45.5 -0.4 -0.6 -0.2 13.4 -27.5
pair LWTI RSIhist neg-neg 27 13.8 -7.0 44.4 -0.5 -0.7 -0.2 14.0 -27.5
pair RSIhist LWTI neg-neg 27 13.8 -7.0 44.4 -0.5 -0.7 -0.2 14.0 -27.5

All Contingency Tables for PICB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR -0.1% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 8% | MDD -13.9%
Months 93M (47%)
CAGR 5.0% | Win 74%
Sharpe 0.50 | Sortino 0.51 | Calmar 0.6
Vol 11% | MDD -8.6%
Months 19M (10%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR -3.8% | Win 56%
Sharpe -0.30 | Sortino -0.46 | Calmar -0.7
Vol 11% | MDD -5.4%
Months 9M (5%)
CAGR 3.6% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 75M (38%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
SLmean
only
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -0.7% | Win 55%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.0
Vol 9% | MDD -15.0%
Months 105M (54%)
CAGR 26.0% | Win 71%
Sharpe 2.76 | Sortino 7.31 | Calmar 11.6
Vol 9% | MDD -2.2%
Months 7M (4%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR -0.6% | Win 52%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 11% | MDD -32.8%
Months 68M (35%)
CAGR 18.8% | Win 69%
Sharpe 1.66 | Sortino 1.73 | Calmar 2.6
Vol 11% | MDD -7.1%
Months 16M (8%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
RSmean
only
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.6% | Win 57%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 8% | MDD -10.6%
Months 79M (40%)
CAGR -1.1% | Win 55%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 10% | MDD -12.6%
Months 33M (17%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR -2.4% | Win 44%
Sharpe -0.27 | Sortino -0.46 | Calmar -0.2
Vol 8% | MDD -15.5%
Months 34M (17%)
CAGR 6.5% | Win 62%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.3
Vol 13% | MDD -23.5%
Months 50M (26%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
MACD
only
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 0.2% | Win 56%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 9% | MDD -12.0%
Months 101M (52%)
CAGR 6.4% | Win 55%
Sharpe 0.71 | Sortino 1.36 | Calmar 1.1
Vol 9% | MDD -6.1%
Months 11M (6%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR 3.1% | Win 53%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.3
Vol 10% | MDD -12.2%
Months 34M (17%)
CAGR 2.6% | Win 56%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 50M (26%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
RSI
only
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -0.4% | Win 54%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.0
Vol 9% | MDD -13.7%
Months 84M (43%)
CAGR 4.3% | Win 64%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.4
Vol 10% | MDD -10.5%
Months 28M (14%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR 11.3% | Win 70%
Sharpe 1.18 | Sortino 2.38 | Calmar 2.9
Vol 9% | MDD -3.9%
Months 10M (5%)
CAGR 1.7% | Win 53%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 74M (38%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
MACDhist
only
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.4% | Win 55%
Sharpe 0.33 | Sortino 0.53 | Calmar 0.3
Vol 8% | MDD -9.2%
Months 83M (42%)
CAGR -3.6% | Win 59%
Sharpe -0.30 | Sortino -0.36 | Calmar -0.3
Vol 10% | MDD -11.2%
Months 29M (15%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR 14.7% | Win 75%
Sharpe 1.44 | Sortino 1.70 | Calmar 3.3
Vol 10% | MDD -4.4%
Months 8M (4%)
CAGR 1.6% | Win 53%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 12% | MDD -32.8%
Months 76M (39%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -0.1% | Win 55%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 9% | MDD -15.9%
Months 101M (52%)
CAGR 9.0% | Win 64%
Sharpe 1.26 | Sortino 2.19 | Calmar 3.2
Vol 7% | MDD -2.8%
Months 11M (6%)
CAGR 0.8% | Win 56%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 112M (57%)
MRmean
neg
CAGR 8.3% | Win 60%
Sharpe 0.87 | Sortino 1.23 | Calmar 1.1
Vol 10% | MDD -7.6%
Months 52M (26%)
CAGR -5.6% | Win 47%
Sharpe -0.36 | Sortino -0.53 | Calmar -0.2
Vol 14% | MDD -27.5%
Months 32M (16%)
CAGR 2.8% | Win 55%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 84M (43%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -2.4% | Win 51%
Sharpe -0.25 | Sortino -0.36 | Calmar -0.1
Vol 8% | MDD -24.1%
Months 94M (48%)
CAGR 27.0% | Win 75%
Sharpe 3.12 | Sortino 7.55 | Calmar 12.1
Vol 8% | MDD -2.2%
Months 8M (4%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR 1.4% | Win 57%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 11% | MDD -32.8%
Months 79M (40%)
CAGR 17.8% | Win 67%
Sharpe 1.53 | Sortino 1.65 | Calmar 2.5
Vol 11% | MDD -7.1%
Months 15M (8%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
RSmean
only
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 53%
Sharpe 0.27 | Sortino 0.49 | Calmar 0.2
Vol 8% | MDD -10.3%
Months 66M (34%)
CAGR -4.3% | Win 53%
Sharpe -0.37 | Sortino -0.53 | Calmar -0.2
Vol 10% | MDD -17.7%
Months 36M (18%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR -1.6% | Win 53%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.1
Vol 9% | MDD -17.9%
Months 47M (24%)
CAGR 9.7% | Win 64%
Sharpe 0.78 | Sortino 0.95 | Calmar 0.4
Vol 13% | MDD -23.5%
Months 47M (24%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
MACD
only
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 0.2% | Win 54%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 8% | MDD -13.6%
Months 90M (46%)
CAGR -4.6% | Win 42%
Sharpe -0.43 | Sortino -0.93 | Calmar -0.5
Vol 10% | MDD -9.8%
Months 12M (6%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR 2.4% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 10% | MDD -16.8%
Months 45M (23%)
CAGR 5.3% | Win 59%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.2
Vol 12% | MDD -27.5%
Months 49M (25%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
RSI
only
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -0.5% | Win 50%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.0
Vol 8% | MDD -10.7%
Months 68M (35%)
CAGR -0.2% | Win 59%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 10% | MDD -13.6%
Months 34M (17%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR 4.3% | Win 69%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 26M (13%)
CAGR 3.7% | Win 54%
Sharpe 0.37 | Sortino 0.50 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 68M (35%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
MACDhist
only
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 0.5% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 8% | MDD -14.2%
Months 82M (42%)
CAGR -3.8% | Win 55%
Sharpe -0.34 | Sortino -0.45 | Calmar -0.3
Vol 10% | MDD -13.6%
Months 20M (10%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR 34.6% | Win 100%
Sharpe 7.89 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 9M (5%)
CAGR 1.1% | Win 54%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 12% | MDD -34.6%
Months 85M (43%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -0.1% | Win 53%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -13.9%
Months 88M (45%)
CAGR -1.9% | Win 50%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 8% | MDD -7.8%
Months 14M (7%)
CAGR -0.4% | Win 53%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 102M (52%)
SLmean
neg
CAGR 6.7% | Win 62%
Sharpe 0.70 | Sortino 0.90 | Calmar 0.6
Vol 10% | MDD -11.7%
Months 65M (33%)
CAGR -2.1% | Win 52%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 14% | MDD -27.5%
Months 29M (15%)
CAGR 3.9% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 94M (48%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -0.4% | Win 52%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.0
Vol 8% | MDD -22.6%
Months 109M (56%)
CAGR -1.1% | Win 56%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 12% | MDD -23.6%
Months 64M (33%)
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
RSmean
neg
CAGR 24.8% | Win 75%
Sharpe 2.58 | Sortino 0.00 | Calmar 13.9
Vol 9% | MDD -1.8%
Months 4M (2%)
CAGR 20.1% | Win 68%
Sharpe 1.82 | Sortino 2.01 | Calmar 2.8
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
MACD
only
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -1.4% | Win 53%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 9% | MDD -21.6%
Months 116M (59%)
CAGR 0.8% | Win 54%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 12% | MDD -27.5%
Months 57M (29%)
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
RSmean
neg
CAGR 16.2% | Win 68%
Sharpe 1.60 | Sortino 1.70 | Calmar 2.3
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 46.4% | Win 75%
Sharpe 3.58 | Sortino 0.00 | Calmar 324.3
Vol 11% | MDD -0.1%
Months 4M (2%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
RSI
only
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 0.3% | Win 56%
Sharpe 0.07 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -17.0%
Months 90M (46%)
CAGR -1.7% | Win 52%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 11% | MDD -31.0%
Months 83M (42%)
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
RSmean
neg
CAGR 13.8% | Win 50%
Sharpe 1.25 | Sortino 4.15 | Calmar 6.2
Vol 11% | MDD -2.2%
Months 4M (2%)
CAGR 22.5% | Win 74%
Sharpe 2.07 | Sortino 2.02 | Calmar 3.1
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
MACDhist
only
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.7% | Win 57%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.2
Vol 8% | MDD -11.4%
Months 88M (45%)
CAGR -4.0% | Win 51%
Sharpe -0.31 | Sortino -0.42 | Calmar -0.1
Vol 11% | MDD -39.0%
Months 85M (43%)
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
RSmean
neg
CAGR 27.7% | Win 67%
Sharpe 2.43 | Sortino 0.00 | Calmar 59.7
Vol 10% | MDD -0.5%
Months 3M (2%)
CAGR 19.9% | Win 70%
Sharpe 1.84 | Sortino 2.03 | Calmar 2.8
Vol 10% | MDD -7.1%
Months 20M (10%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -0.1% | Win 55%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 9% | MDD -20.8%
Months 131M (67%)
CAGR -2.5% | Win 50%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 42M (21%)
CAGR -0.7% | Win 54%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 173M (88%)
RSmean
neg
CAGR 21.1% | Win 68%
Sharpe 1.93 | Sortino 2.29 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 22M (11%)
CAGR 17.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 20.9% | Win 70%
Sharpe 1.96 | Sortino 2.27 | Calmar 2.9
Vol 10% | MDD -7.1%
Months 23M (12%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 0.5% | Win 54%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 8% | MDD -18.1%
Months 97M (50%)
CAGR -0.3% | Win 50%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 8% | MDD -5.6%
Months 16M (8%)
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
MACD
neg
CAGR 2.0% | Win 60%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.2
Vol 11% | MDD -9.5%
Months 38M (19%)
CAGR 4.6% | Win 58%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 13% | MDD -23.5%
Months 45M (23%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
RSI
only
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -1.2% | Win 55%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 8% | MDD -20.4%
Months 69M (35%)
CAGR 2.8% | Win 50%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 8% | MDD -12.7%
Months 44M (22%)
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
MACD
neg
CAGR 6.5% | Win 56%
Sharpe 0.69 | Sortino 1.21 | Calmar 0.7
Vol 10% | MDD -9.4%
Months 25M (13%)
CAGR 2.1% | Win 60%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -23.5%
Months 58M (30%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
MACDhist
only
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 3.7% | Win 57%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 7% | MDD -8.7%
Months 58M (30%)
CAGR -3.0% | Win 49%
Sharpe -0.30 | Sortino -0.43 | Calmar -0.1
Vol 9% | MDD -23.5%
Months 55M (28%)
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
MACD
neg
CAGR 2.9% | Win 58%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.4
Vol 10% | MDD -6.7%
Months 33M (17%)
CAGR 3.7% | Win 60%
Sharpe 0.34 | Sortino 0.43 | Calmar 0.2
Vol 13% | MDD -23.5%
Months 50M (26%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 8% | MDD -20.2%
Months 102M (52%)
CAGR -5.0% | Win 36%
Sharpe -0.60 | Sortino -1.24 | Calmar -0.9
Vol 8% | MDD -5.3%
Months 11M (6%)
CAGR 0.4% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 113M (58%)
MACD
neg
CAGR 6.2% | Win 61%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.7
Vol 11% | MDD -9.4%
Months 51M (26%)
CAGR -1.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 14% | MDD -23.5%
Months 32M (16%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (42%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -1.5% | Win 53%
Sharpe -0.13 | Sortino -0.19 | Calmar -0.1
Vol 8% | MDD -21.3%
Months 79M (40%)
CAGR 4.3% | Win 59%
Sharpe 0.48 | Sortino 0.60 | Calmar 0.5
Vol 10% | MDD -9.1%
Months 56M (29%)
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
RSI
neg
CAGR 13.7% | Win 67%
Sharpe 1.42 | Sortino 2.72 | Calmar 2.5
Vol 9% | MDD -5.5%
Months 15M (8%)
CAGR 0.1% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 12% | MDD -27.5%
Months 46M (24%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
MACDhist
only
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.8% | Win 55%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.2
Vol 8% | MDD -10.9%
Months 74M (38%)
CAGR -0.2% | Win 56%
Sharpe 0.04 | Sortino 0.04 | Calmar -0.0
Vol 10% | MDD -21.3%
Months 61M (31%)
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
RSI
neg
CAGR 10.7% | Win 65%
Sharpe 1.08 | Sortino 2.15 | Calmar 2.0
Vol 10% | MDD -5.4%
Months 17M (9%)
CAGR 0.6% | Win 52%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -27.5%
Months 44M (22%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 0.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -26.3%
Months 125M (64%)
CAGR 12.7% | Win 70%
Sharpe 1.99 | Sortino 3.84 | Calmar 6.9
Vol 6% | MDD -1.8%
Months 10M (5%)
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 9% | MDD -19.2%
Months 135M (69%)
RSI
neg
CAGR 15.5% | Win 68%
Sharpe 1.68 | Sortino 3.06 | Calmar 2.8
Vol 9% | MDD -5.5%
Months 28M (14%)
CAGR -6.1% | Win 46%
Sharpe -0.40 | Sortino -0.61 | Calmar -0.2
Vol 13% | MDD -27.5%
Months 33M (17%)
CAGR 3.3% | Win 56%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 61M (31%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.2% | Win 56%
Sharpe 0.43 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 69M (35%)
CAGR -5.4% | Win 52%
Sharpe -0.48 | Sortino -0.67 | Calmar -0.3
Vol 10% | MDD -20.8%
Months 25M (13%)
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
MACDhist
neg
CAGR 4.1% | Win 59%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.9
Vol 10% | MDD -4.4%
Months 22M (11%)
CAGR 1.9% | Win 55%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 80M (41%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -0.2% | Win 53%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -22.4%
Months 90M (46%)
CAGR 27.6% | Win 100%
Sharpe 5.82 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (2%)
CAGR 0.8% | Win 55%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 94M (48%)
MACDhist
neg
CAGR 7.0% | Win 62%
Sharpe 0.73 | Sortino 0.92 | Calmar 0.8
Vol 10% | MDD -9.1%
Months 63M (32%)
CAGR -4.6% | Win 46%
Sharpe -0.32 | Sortino -0.46 | Calmar -0.2
Vol 13% | MDD -27.5%
Months 39M (20%)
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 102M (52%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 2.7% | Win 56%
Sharpe 0.35 | Sortino 0.57 | Calmar 0.3
Vol 8% | MDD -7.9%
Months 75M (38%)
CAGR 7.0% | Win 62%
Sharpe 0.85 | Sortino 1.31 | Calmar 1.6
Vol 8% | MDD -4.4%
Months 16M (8%)
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (46%)
RSIhist
neg
CAGR 2.7% | Win 58%
Sharpe 0.32 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -20.0%
Months 78M (40%)
CAGR -7.0% | Win 44%
Sharpe -0.45 | Sortino -0.67 | Calmar -0.3
Vol 14% | MDD -27.5%
Months 27M (14%)
CAGR 0.1% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 11% | MDD -37.0%
Months 105M (54%)
LWTI
only
CAGR 2.7% | Win 57%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 153M (78%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (22%)