PICB - Invesco International Corporate Bond ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

46.4%

Best CAGR

54

Total Months

5.2%

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 2.1 46.4 75.0 3.6 0.0 319.1 10.9 -0.1
pair RSmean RSI neg-neg 4 2.1 46.4 75.0 3.6 0.0 319.1 10.9 -0.1
pair MACD RSmean neg-pos 3 1.6 44.3 100.0 13.5 0.0 0.0 2.8 0.0
pair RSmean MACD neg-pos 3 1.6 44.3 100.0 13.5 0.0 0.0 2.8 0.0
pair RSmean MRmean pos-neg 6 3.2 35.7 83.3 4.5 0.0 76.8 7.0 -0.5
pair MRmean RSmean pos-neg 6 3.2 35.7 83.3 4.5 0.0 76.8 7.0 -0.5
pair RSmean SLmean pos-neg 7 3.7 35.6 85.7 5.0 0.0 76.4 6.2 -0.5
pair SLmean RSmean pos-neg 7 3.7 35.6 85.7 5.0 0.0 76.4 6.2 -0.5
pair SLmean RSIhist neg-pos 9 4.7 34.6 100.0 7.9 0.0 0.0 3.8 0.0
pair RSIhist SLmean neg-pos 9 4.7 34.6 100.0 7.9 0.0 0.0 3.8 0.0
pair MACDhist RSmean neg-pos 3 1.6 27.7 66.7 2.4 0.0 59.5 10.3 -0.5
pair RSmean MACDhist neg-pos 3 1.6 27.7 66.7 2.4 0.0 59.5 10.3 -0.5
pair RSIhist RSmean neg-pos 3 1.6 27.7 66.7 2.4 0.0 59.5 10.3 -0.5
pair RSmean RSIhist neg-pos 3 1.6 27.7 66.7 2.4 0.0 59.5 10.3 -0.5
pair MACDhist LWTI pos-neg 4 2.1 27.6 100.0 5.8 0.0 0.0 4.2 0.0
pair LWTI MACDhist pos-neg 4 2.1 27.6 100.0 5.8 0.0 0.0 4.2 0.0
pair RSmean LWTI neg-pos 21 11.1 23.4 71.4 2.1 2.3 3.3 10.1 -7.1
pair LWTI RSmean neg-pos 21 11.1 23.4 71.4 2.1 2.3 3.3 10.1 -7.1
single RSmean RSmean neg-neg 22 11.6 23.2 72.7 2.2 2.3 3.2 9.9 -7.1
pair RSmean MACDhist neg-neg 19 10.0 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair MACDhist RSmean neg-neg 19 10.0 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair RSmean RSIhist neg-neg 19 10.0 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair RSIhist RSmean neg-neg 19 10.0 22.5 73.7 2.1 2.0 3.1 10.1 -7.1
pair MACD RSmean neg-neg 19 10.0 20.1 68.4 1.8 2.0 2.8 10.5 -7.1
pair RSmean MACD neg-neg 19 10.0 20.1 68.4 1.8 2.0 2.8 10.5 -7.1
pair RSmean MRmean neg-neg 16 8.4 18.8 68.8 1.7 1.7 2.6 10.8 -7.1
pair MRmean RSmean neg-neg 16 8.4 18.8 68.8 1.7 1.7 2.6 10.8 -7.1
pair RSmean RSI neg-pos 18 9.5 18.5 72.2 1.8 1.7 2.6 9.6 -7.1
pair RSI RSmean neg-pos 18 9.5 18.5 72.2 1.8 1.7 2.6 9.6 -7.1
pair SLmean RSmean neg-neg 15 7.9 17.8 66.7 1.5 1.6 2.5 11.2 -7.1
pair LWTI RSmean neg-neg 1 0.5 17.8 100.0 0.0 0.0 0.0 - 0.0
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 7.9 17.8 66.7 1.5 1.6 2.5 11.2 -7.1
pair RSI LWTI neg-pos 27 14.2 15.7 66.7 1.7 3.1 2.9 9.0 -5.5
pair LWTI RSI neg-pos 27 14.2 15.7 66.7 1.7 3.1 2.9 9.0 -5.5
pair MRmean RSIhist neg-pos 8 4.2 14.8 75.0 1.4 1.7 3.3 9.9 -4.4
pair RSIhist MRmean neg-pos 8 4.2 14.8 75.0 1.4 1.7 3.3 9.9 -4.4
pair MACDhist RSI neg-pos 15 7.9 13.7 66.7 1.4 2.7 2.5 9.4 -5.5
pair RSI MACDhist neg-pos 15 7.9 13.7 66.7 1.4 2.7 2.5 9.4 -5.5
pair RSI LWTI pos-neg 10 5.3 12.7 70.0 2.0 3.8 6.9 6.1 -1.8
pair LWTI RSI pos-neg 10 5.3 12.7 70.0 2.0 3.8 6.9 6.1 -1.8
pair MACDhist MRmean neg-pos 10 5.3 11.3 70.0 1.2 2.4 2.9 9.4 -3.9
pair MRmean MACDhist neg-pos 10 5.3 11.3 70.0 1.2 2.4 2.9 9.4 -3.9
pair RSI RSIhist neg-pos 17 8.9 10.7 64.7 1.1 2.1 2.0 9.9 -5.4
pair RSIhist RSI neg-pos 17 8.9 10.7 64.7 1.1 2.1 2.0 9.9 -5.4
pair SLmean MACD neg-neg 47 24.7 9.7 63.8 0.8 0.9 0.4 13.0 -23.5
pair MACD SLmean neg-neg 47 24.7 9.7 63.8 0.8 0.9 0.4 13.0 -23.5
pair MRmean LWTI neg-pos 48 25.3 9.6 60.4 1.0 1.4 1.3 9.9 -7.6
pair LWTI MRmean neg-pos 48 25.3 9.6 60.4 1.0 1.4 1.3 9.9 -7.6
pair MRmean LWTI pos-neg 11 5.8 9.0 63.6 1.3 2.2 3.2 7.1 -2.8
pair LWTI MRmean pos-neg 11 5.8 9.0 63.6 1.3 2.2 3.2 7.1 -2.8
pair LWTI MACDhist neg-pos 59 31.1 8.0 62.7 0.8 1.0 0.9 10.1 -9.1
pair MACDhist LWTI neg-pos 59 31.1 8.0 62.7 0.8 1.0 0.9 10.1 -9.1
pair SLmean LWTI neg-pos 61 32.1 7.6 62.3 0.8 1.0 0.7 10.1 -11.7
pair LWTI SLmean neg-pos 61 32.1 7.6 62.3 0.8 1.0 0.7 10.1 -11.7
pair RSIhist LWTI pos-neg 16 8.4 7.0 62.5 0.8 1.3 1.6 8.4 -4.4
pair LWTI RSIhist pos-neg 16 8.4 7.0 62.5 0.8 1.3 1.6 8.4 -4.4
pair MACDhist MACD neg-pos 25 13.2 6.5 56.0 0.7 1.2 0.7 9.8 -9.4
pair MACD MRmean neg-neg 50 26.3 6.5 62.0 0.5 0.7 0.3 13.2 -23.5
pair MRmean MACD neg-neg 50 26.3 6.5 62.0 0.5 0.7 0.3 13.2 -23.5
pair MACD MACDhist neg-pos 25 13.2 6.5 56.0 0.7 1.2 0.7 9.8 -9.4
pair RSI MRmean pos-neg 11 5.8 6.4 54.5 0.7 1.4 1.1 9.3 -6.1
pair MRmean RSI pos-neg 11 5.8 6.4 54.5 0.7 1.4 1.1 9.3 -6.1
pair MACD LWTI neg-pos 51 26.8 6.2 60.8 0.6 0.8 0.7 11.1 -9.4
pair LWTI MACD neg-pos 51 26.8 6.2 60.8 0.6 0.8 0.7 11.1 -9.4
pair MACDhist RSI pos-neg 53 27.9 5.4 60.4 0.6 0.7 0.6 10.0 -9.1
pair RSI MACDhist pos-neg 53 27.9 5.4 60.4 0.6 0.7 0.6 10.0 -9.1
pair RSI SLmean neg-neg 48 25.3 5.2 58.3 0.5 0.6 0.2 12.4 -27.5
pair SLmean RSI neg-neg 48 25.3 5.2 58.3 0.5 0.6 0.2 12.4 -27.5
pair SLmean MRmean pos-neg 19 10.0 5.0 73.7 0.5 0.5 0.6 11.0 -8.6
pair MRmean SLmean pos-neg 19 10.0 5.0 73.7 0.5 0.5 0.6 11.0 -8.6
pair RSI MRmean neg-pos 31 16.3 4.7 54.8 0.5 0.7 0.4 10.2 -12.2
pair MRmean RSI neg-pos 31 16.3 4.7 54.8 0.5 0.7 0.4 10.2 -12.2
pair RSI MACD neg-neg 45 23.7 4.6 57.8 0.4 0.6 0.2 12.9 -23.5
pair MACD RSI neg-neg 45 23.7 4.6 57.8 0.4 0.6 0.2 12.9 -23.5
single SLmean SLmean neg-neg 90 47.4 4.4 58.9 0.4 0.6 0.1 11.5 -32.8
pair SLmean MACDhist neg-neg 64 33.7 4.4 54.7 0.4 0.6 0.1 12.0 -31.0
pair MACDhist SLmean neg-neg 64 33.7 4.4 54.7 0.4 0.6 0.1 12.0 -31.0
pair SLmean MACDhist neg-pos 26 13.7 4.3 69.2 0.5 0.5 0.4 10.5 -11.0
pair MACDhist SLmean neg-pos 26 13.7 4.3 69.2 0.5 0.5 0.4 10.5 -11.0
pair MACDhist MRmean pos-neg 28 14.7 4.3 64.3 0.5 0.6 0.4 9.5 -10.5
pair MRmean MACDhist pos-neg 28 14.7 4.3 64.3 0.5 0.6 0.4 9.5 -10.5
pair SLmean MRmean neg-neg 71 37.4 4.2 54.9 0.4 0.6 0.1 11.7 -32.8
pair MRmean SLmean neg-neg 71 37.4 4.2 54.9 0.4 0.6 0.1 11.7 -32.8
pair RSIhist MACDhist neg-pos 22 11.6 4.1 59.1 0.5 0.7 0.9 9.6 -4.4
pair MACDhist RSIhist neg-pos 22 11.6 4.1 59.1 0.5 0.7 0.9 9.6 -4.4
pair MACD MACDhist pos-neg 40 21.1 3.8 50.0 0.5 1.0 0.3 8.3 -10.9
pair MACDhist MACD pos-neg 40 21.1 3.8 50.0 0.5 1.0 0.3 8.3 -10.9
pair RSIhist MACD neg-neg 50 26.3 3.7 60.0 0.3 0.4 0.2 13.4 -23.5
pair MACD RSIhist neg-neg 50 26.3 3.7 60.0 0.3 0.4 0.2 13.4 -23.5
pair RSIhist MACD pos-pos 58 30.5 3.7 56.9 0.5 0.9 0.4 7.4 -8.7
pair MACD RSIhist pos-pos 58 30.5 3.7 56.9 0.5 0.9 0.4 7.4 -8.7
pair RSI SLmean neg-pos 42 22.1 3.5 59.5 0.4 0.5 0.2 10.5 -16.8
pair SLmean RSI neg-pos 42 22.1 3.5 59.5 0.4 0.5 0.2 10.5 -16.8
pair LWTI RSIhist neg-pos 72 37.9 3.5 58.3 0.4 0.5 0.2 10.4 -20.0
pair RSIhist LWTI neg-pos 72 37.9 3.5 58.3 0.4 0.5 0.2 10.4 -20.0
single MACD MACD neg-neg 83 43.7 3.4 59.0 0.3 0.5 0.1 12.0 -23.5
single RSIhist RSIhist pos-pos 91 47.9 3.4 57.1 0.4 0.7 0.5 8.3 -6.7
single MRmean MRmean neg-neg 80 42.1 3.3 55.0 0.3 0.5 0.1 11.6 -32.8
pair MACDhist RSIhist pos-pos 69 36.3 3.2 56.5 0.4 0.7 0.5 8.0 -6.7
pair RSIhist MACDhist pos-pos 69 36.3 3.2 56.5 0.4 0.7 0.5 8.0 -6.7
single RSI RSI neg-neg 60 31.6 3.1 55.0 0.3 0.5 0.1 11.9 -27.5
single LWTI LWTI pos-pos 147 77.4 3.1 57.1 0.4 0.5 0.1 9.4 -20.9
pair RSIhist MACD neg-pos 33 17.4 2.9 57.6 0.3 0.6 0.4 9.8 -6.7
pair MACD RSIhist neg-pos 33 17.4 2.9 57.6 0.3 0.6 0.4 9.8 -6.7
single MACDhist MACDhist neg-neg 98 51.6 2.8 56.1 0.3 0.4 0.1 11.2 -31.0
pair RSIhist RSmean pos-pos 88 46.3 2.7 56.8 0.4 0.6 0.2 8.3 -11.4
pair RSmean RSIhist pos-pos 88 46.3 2.7 56.8 0.4 0.6 0.2 8.3 -11.4
pair RSIhist LWTI pos-pos 75 39.5 2.7 56.0 0.3 0.6 0.3 8.4 -7.9
pair LWTI RSIhist pos-pos 75 39.5 2.7 56.0 0.3 0.6 0.3 8.4 -7.9
pair RSI MRmean neg-neg 49 25.8 2.4 55.1 0.2 0.4 0.1 12.5 -27.5
pair MRmean RSI neg-neg 49 25.8 2.4 55.1 0.2 0.4 0.1 12.5 -27.5
pair MRmean RSIhist pos-pos 83 43.7 2.4 55.4 0.3 0.5 0.3 8.2 -9.2
pair RSIhist MRmean pos-pos 83 43.7 2.4 55.4 0.3 0.5 0.3 8.2 -9.2
pair MACDhist RSIhist neg-neg 76 40.0 2.4 55.3 0.3 0.3 0.1 11.7 -31.0
pair RSIhist MACDhist neg-neg 76 40.0 2.4 55.3 0.3 0.3 0.1 11.7 -31.0
pair MACDhist MRmean neg-neg 70 36.8 2.2 52.9 0.2 0.3 0.1 11.9 -31.0
pair MRmean MACDhist neg-neg 70 36.8 2.2 52.9 0.2 0.3 0.1 11.9 -31.0
pair SLmean MACD pos-pos 64 33.7 2.1 53.1 0.3 0.6 0.2 7.5 -10.3
pair MACD SLmean pos-pos 64 33.7 2.1 53.1 0.3 0.6 0.2 7.5 -10.3
pair MACD MACDhist neg-neg 58 30.5 2.1 60.3 0.2 0.3 0.1 12.9 -23.5
pair MACDhist MACD neg-neg 58 30.5 2.1 60.3 0.2 0.3 0.1 12.9 -23.5
pair MRmean RSIhist neg-neg 72 37.9 2.1 52.8 0.2 0.3 0.1 11.8 -32.8
pair RSIhist MRmean neg-neg 72 37.9 2.1 52.8 0.2 0.3 0.1 11.8 -32.8
pair RSI MACD neg-pos 38 20.0 2.0 60.5 0.2 0.3 0.2 11.1 -9.5
pair MACD RSI neg-pos 38 20.0 2.0 60.5 0.2 0.3 0.2 11.1 -9.5
pair benchmark___benchmark_ benchmark-benchmark 190 100.0 1.9 55.8 0.2 0.3 0.1 10.1 -34.9
pair benchmark___benchmark_ benchmark-benchmark 190 100.0 1.9 55.8 0.2 0.3 0.1 10.1 -34.9
pair RSmean SLmean neg-pos 75 39.5 1.9 57.3 0.2 0.3 0.1 11.5 -32.8
pair SLmean RSmean neg-pos 75 39.5 1.9 57.3 0.2 0.3 0.1 11.5 -32.8
pair MRmean MACD pos-pos 77 40.5 1.8 57.1 0.2 0.4 0.2 8.5 -10.6
pair MACD MRmean pos-pos 77 40.5 1.8 57.1 0.2 0.4 0.2 8.5 -10.6
pair RSIhist RSI pos-pos 74 38.9 1.8 55.4 0.3 0.4 0.2 7.9 -10.9
pair RSI RSIhist pos-pos 74 38.9 1.8 55.4 0.3 0.4 0.2 7.9 -10.9
pair LWTI MACD pos-pos 96 50.5 1.5 55.2 0.2 0.3 0.1 8.4 -20.2
pair MACD LWTI pos-pos 96 50.5 1.5 55.2 0.2 0.3 0.1 8.4 -20.2
pair SLmean RSIhist neg-neg 81 42.6 1.5 54.3 0.2 0.2 0.0 11.8 -34.6
pair RSIhist SLmean neg-neg 81 42.6 1.5 54.3 0.2 0.2 0.0 11.8 -34.6
single RSI RSI pos-pos 130 68.4 1.4 56.2 0.2 0.3 0.1 9.2 -19.2
pair RSI MACD pos-pos 92 48.4 1.1 54.3 0.2 0.2 0.1 8.3 -18.1
pair MACD RSI pos-pos 92 48.4 1.1 54.3 0.2 0.2 0.1 8.3 -18.1
single MACDhist MACDhist pos-pos 92 48.4 1.0 55.4 0.2 0.2 0.1 8.8 -15.8
single MRmean MRmean pos-pos 110 57.9 0.9 56.4 0.1 0.2 0.1 8.9 -10.6
pair RSI RSIhist pos-neg 56 29.5 0.8 57.1 0.1 0.2 0.0 10.7 -21.0
pair RSIhist RSI pos-neg 56 29.5 0.8 57.1 0.1 0.2 0.0 10.7 -21.0
single MACD MACD pos-pos 107 56.3 0.8 53.3 0.1 0.2 0.0 8.3 -21.0
pair RSmean RSI pos-neg 56 29.5 0.6 53.6 0.1 0.1 0.0 11.7 -27.5
pair RSI RSmean pos-neg 56 29.5 0.6 53.6 0.1 0.1 0.0 11.7 -27.5
single RSIhist RSIhist neg-neg 99 52.1 0.6 54.5 0.1 0.1 0.0 11.5 -37.0
pair RSIhist SLmean pos-pos 82 43.2 0.5 52.4 0.1 0.1 0.0 8.3 -14.2
pair SLmean RSIhist pos-pos 82 43.2 0.5 52.4 0.1 0.1 0.0 8.3 -14.2
pair LWTI RSI pos-pos 120 63.2 0.5 55.0 0.1 0.1 0.0 9.4 -26.3
pair RSI LWTI pos-pos 120 63.2 0.5 55.0 0.1 0.1 0.0 9.4 -26.3
pair RSIhist RSI neg-neg 43 22.6 0.3 51.2 0.1 0.1 0.0 12.7 -27.5
pair RSI RSIhist neg-neg 43 22.6 0.3 51.2 0.1 0.1 0.0 12.7 -27.5
pair SLmean RSI pos-pos 88 46.3 0.3 54.5 0.1 0.1 0.0 8.5 -13.6
pair RSI MRmean pos-pos 99 52.1 0.3 56.6 0.1 0.1 0.0 8.9 -12.0
pair MRmean RSI pos-pos 99 52.1 0.3 56.6 0.1 0.1 0.0 8.9 -12.0
pair RSI SLmean pos-pos 88 46.3 0.3 54.5 0.1 0.1 0.0 8.5 -13.6
pair MACDhist RSmean pos-pos 89 46.8 0.2 55.1 0.1 0.1 0.0 8.7 -17.0
pair RSmean MACDhist pos-pos 89 46.8 0.2 55.1 0.1 0.1 0.0 8.7 -17.0
pair LWTI MRmean pos-pos 99 52.1 0.1 55.6 0.1 0.1 0.0 9.1 -15.9
pair MRmean SLmean pos-pos 91 47.9 0.1 52.7 0.1 0.1 0.0 8.4 -14.0
pair SLmean MRmean pos-pos 91 47.9 0.1 52.7 0.1 0.1 0.0 8.4 -14.0
pair MRmean LWTI pos-pos 99 52.1 0.1 55.6 0.1 0.1 0.0 9.1 -15.9
pair RSmean LWTI pos-pos 126 66.3 0.0 54.8 0.1 0.1 0.0 9.0 -20.8
pair LWTI RSmean pos-pos 126 66.3 0.0 54.8 0.1 0.1 0.0 9.0 -20.8
pair SLmean LWTI pos-pos 86 45.3 0.0 53.5 0.1 0.1 0.0 8.8 -13.9
pair LWTI SLmean pos-pos 86 45.3 0.0 53.5 0.1 0.1 0.0 8.8 -13.9
pair LWTI MACDhist pos-pos 88 46.3 -0.1 53.4 0.0 0.1 -0.0 8.8 -22.4
pair MACDhist LWTI pos-pos 88 46.3 -0.1 53.4 0.0 0.1 -0.0 8.8 -22.4
pair SLmean MACDhist pos-neg 34 17.9 -0.2 58.8 0.0 0.0 -0.0 9.8 -13.6
pair MACDhist RSI neg-neg 45 23.7 -0.2 51.1 0.1 0.1 -0.0 12.6 -27.5
pair MRmean MACDhist pos-pos 82 43.2 -0.2 53.7 0.0 0.0 -0.0 8.7 -13.7
pair MACDhist SLmean pos-neg 34 17.9 -0.2 58.8 0.0 0.0 -0.0 9.8 -13.6
pair RSI MACDhist neg-neg 45 23.7 -0.2 51.1 0.1 0.1 -0.0 12.6 -27.5
pair MACDhist MRmean pos-pos 82 43.2 -0.2 53.7 0.0 0.0 -0.0 8.7 -13.7
pair RSmean MRmean neg-pos 64 33.7 -0.3 51.6 0.0 0.1 -0.0 11.6 -32.8
pair MRmean RSmean neg-pos 64 33.7 -0.3 51.6 0.0 0.1 -0.0 11.6 -32.8
single SLmean SLmean pos-pos 100 52.6 -0.3 53.0 0.0 0.0 -0.0 8.6 -15.7
pair MACDhist SLmean pos-pos 66 34.7 -0.3 50.0 0.0 0.0 -0.0 8.1 -10.7
pair SLmean MACDhist pos-pos 66 34.7 -0.3 50.0 0.0 0.0 -0.0 8.1 -10.7
pair RSmean MACD pos-pos 104 54.7 -0.3 51.9 0.0 0.0 -0.0 8.2 -22.6
pair MACD RSmean pos-pos 104 54.7 -0.3 51.9 0.0 0.0 -0.0 8.2 -22.6
single RSmean RSmean pos-pos 168 88.4 -0.6 53.6 -0.0 -0.0 -0.0 9.9 -34.9
pair MRmean RSmean pos-pos 104 54.7 -0.8 54.8 -0.1 -0.1 -0.1 8.8 -15.0
pair RSmean MRmean pos-pos 104 54.7 -0.8 54.8 -0.1 -0.1 -0.1 8.8 -15.0
pair MACD LWTI neg-neg 32 16.8 -1.0 56.2 -0.0 -0.0 -0.0 13.5 -23.5
pair LWTI MACD neg-neg 32 16.8 -1.0 56.2 -0.0 -0.0 -0.0 13.5 -23.5
pair RSI MACD pos-neg 15 7.9 -1.0 46.7 -0.1 -0.2 -0.2 8.7 -5.6
pair MACD RSI pos-neg 15 7.9 -1.0 46.7 -0.1 -0.2 -0.2 8.7 -5.6
pair MACDhist MACD pos-pos 67 35.3 -1.0 55.2 -0.1 -0.1 -0.1 8.4 -20.4
pair MACD MACDhist pos-pos 67 35.3 -1.0 55.2 -0.1 -0.1 -0.1 8.4 -20.4
pair MRmean MACD pos-neg 33 17.4 -1.1 54.5 -0.1 -0.1 -0.1 9.9 -12.6
pair MACD MRmean pos-neg 33 17.4 -1.1 54.5 -0.1 -0.1 -0.1 9.9 -12.6
pair MACD SLmean neg-pos 43 22.6 -1.1 53.5 -0.1 -0.1 -0.1 9.5 -17.8
pair RSmean MACD pos-neg 64 33.7 -1.1 56.2 -0.0 -0.0 -0.1 12.2 -23.6
pair MACD RSmean pos-neg 64 33.7 -1.1 56.2 -0.0 -0.0 -0.1 12.2 -23.6
pair SLmean MACD neg-pos 43 22.6 -1.1 53.5 -0.1 -0.1 -0.1 9.5 -17.8
pair RSI RSmean pos-pos 112 58.9 -1.2 53.6 -0.1 -0.1 -0.1 8.9 -21.6
pair RSmean RSI pos-pos 112 58.9 -1.2 53.6 -0.1 -0.1 -0.1 8.9 -21.6
pair RSI MACDhist pos-pos 77 40.5 -1.3 53.2 -0.1 -0.2 -0.1 8.5 -21.3
pair MACDhist RSI pos-pos 77 40.5 -1.3 53.2 -0.1 -0.2 -0.1 8.5 -21.3
pair MACDhist RSmean pos-neg 79 41.6 -1.5 51.9 -0.1 -0.1 -0.1 11.2 -31.0
pair RSmean MACDhist pos-neg 79 41.6 -1.5 51.9 -0.1 -0.1 -0.1 11.2 -31.0
pair MRmean MACD neg-pos 30 15.8 -1.8 43.3 -0.2 -0.3 -0.1 8.1 -15.5
pair MACD MRmean neg-pos 30 15.8 -1.8 43.3 -0.2 -0.3 -0.1 8.1 -15.5
pair SLmean LWTI pos-neg 14 7.4 -1.9 50.0 -0.2 -0.3 -0.2 7.6 -7.8
pair LWTI SLmean pos-neg 14 7.4 -1.9 50.0 -0.2 -0.3 -0.2 7.6 -7.8
single LWTI LWTI neg-neg 43 22.6 -2.0 51.2 -0.1 -0.1 -0.1 12.2 -27.5
pair SLmean LWTI neg-neg 29 15.3 -2.1 51.7 -0.1 -0.1 -0.1 14.1 -27.5
pair LWTI SLmean neg-neg 29 15.3 -2.1 51.7 -0.1 -0.1 -0.1 14.1 -27.5
pair LWTI RSmean pos-neg 42 22.1 -2.4 50.0 -0.1 -0.2 -0.1 12.4 -27.5
pair RSmean LWTI pos-neg 42 22.1 -2.4 50.0 -0.1 -0.2 -0.1 12.4 -27.5
pair RSmean SLmean pos-pos 93 48.9 -2.5 50.5 -0.3 -0.4 -0.1 8.5 -24.1
pair SLmean RSmean pos-pos 93 48.9 -2.5 50.5 -0.3 -0.4 -0.1 8.5 -24.1
pair RSIhist MACD pos-neg 49 25.8 -2.6 49.0 -0.2 -0.3 -0.1 9.3 -23.5
pair MACD RSIhist pos-neg 49 25.8 -2.6 49.0 -0.2 -0.3 -0.1 9.3 -23.5
pair RSIhist MRmean pos-neg 27 14.2 -3.4 59.3 -0.3 -0.3 -0.3 10.9 -10.8
pair MRmean RSIhist pos-neg 27 14.2 -3.4 59.3 -0.3 -0.3 -0.3 10.9 -10.8
pair RSIhist SLmean pos-neg 18 9.5 -3.5 55.6 -0.3 -0.4 -0.3 10.4 -13.6
pair SLmean RSIhist pos-neg 18 9.5 -3.5 55.6 -0.3 -0.4 -0.3 10.4 -13.6
pair SLmean MRmean neg-pos 9 4.7 -3.8 55.6 -0.3 -0.5 -0.7 11.1 -5.4
pair MRmean SLmean neg-pos 9 4.7 -3.8 55.6 -0.3 -0.5 -0.7 11.1 -5.4
pair RSmean RSIhist pos-neg 80 42.1 -4.0 50.0 -0.3 -0.4 -0.1 11.5 -39.0
pair RSIhist RSmean pos-neg 80 42.1 -4.0 50.0 -0.3 -0.4 -0.1 11.5 -39.0
pair SLmean MACD pos-neg 36 18.9 -4.3 52.8 -0.4 -0.5 -0.2 10.4 -17.7
pair MACD SLmean pos-neg 36 18.9 -4.3 52.8 -0.4 -0.5 -0.2 10.4 -17.7
pair RSI SLmean pos-neg 12 6.3 -4.6 41.7 -0.4 -0.9 -0.5 9.9 -9.8
pair SLmean RSI pos-neg 12 6.3 -4.6 41.7 -0.4 -0.9 -0.5 9.9 -9.8
pair MACDhist LWTI neg-neg 39 20.5 -4.6 46.2 -0.3 -0.5 -0.2 12.6 -27.5
pair LWTI MACDhist neg-neg 39 20.5 -4.6 46.2 -0.3 -0.5 -0.2 12.6 -27.5
pair MACD LWTI pos-neg 11 5.8 -5.0 36.4 -0.6 -1.2 -0.9 8.0 -5.3
pair LWTI MACD pos-neg 11 5.8 -5.0 36.4 -0.6 -1.2 -0.9 8.0 -5.3
pair MACDhist RSIhist pos-neg 23 12.1 -5.3 52.2 -0.5 -0.6 -0.3 10.8 -20.8
pair RSIhist MACDhist pos-neg 23 12.1 -5.3 52.2 -0.5 -0.6 -0.3 10.8 -20.8
pair MRmean LWTI neg-neg 32 16.8 -5.6 46.9 -0.4 -0.5 -0.2 13.5 -27.5
pair LWTI MRmean neg-neg 32 16.8 -5.6 46.9 -0.4 -0.5 -0.2 13.5 -27.5
pair RSI LWTI neg-neg 33 17.4 -6.1 45.5 -0.4 -0.6 -0.2 13.4 -27.5
pair LWTI RSI neg-neg 33 17.4 -6.1 45.5 -0.4 -0.6 -0.2 13.4 -27.5
pair LWTI RSIhist neg-neg 27 14.2 -7.0 44.4 -0.5 -0.7 -0.2 14.0 -27.5
pair RSIhist LWTI neg-neg 27 14.2 -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 0.05 | Sortino 0.08 | Calmar 0.0
Vol 8% | MDD -14.0%
Months 91M (48%)
CAGR 5.0% | Win 74%
Sharpe 0.50 | Sortino 0.51 | Calmar 0.6
Vol 11% | MDD -8.6%
Months 19M (10%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
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 4.2% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 71M (37%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
SLmean
only
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -0.8% | Win 55%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 9% | MDD -15.0%
Months 104M (55%)
CAGR 35.7% | Win 83%
Sharpe 4.48 | Sortino 0.00 | Calmar 76.8
Vol 7% | MDD -0.5%
Months 6M (3%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
MRmean
neg
CAGR -0.3% | Win 52%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 12% | MDD -32.8%
Months 64M (34%)
CAGR 18.8% | Win 69%
Sharpe 1.66 | Sortino 1.73 | Calmar 2.6
Vol 11% | MDD -7.1%
Months 16M (8%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
RSmean
only
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.8% | Win 57%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.2
Vol 8% | MDD -10.6%
Months 77M (40%)
CAGR -1.1% | Win 55%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 10% | MDD -12.6%
Months 33M (17%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
MRmean
neg
CAGR -1.8% | Win 43%
Sharpe -0.19 | Sortino -0.35 | Calmar -0.1
Vol 8% | MDD -15.5%
Months 30M (16%)
CAGR 6.5% | Win 62%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.3
Vol 13% | MDD -23.5%
Months 50M (26%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
MACD
only
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (44%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 0.3% | Win 57%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -12.0%
Months 99M (52%)
CAGR 6.4% | Win 55%
Sharpe 0.71 | Sortino 1.36 | Calmar 1.0
Vol 9% | MDD -6.1%
Months 11M (6%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
MRmean
neg
CAGR 4.7% | Win 55%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.4
Vol 10% | MDD -12.2%
Months 31M (16%)
CAGR 2.4% | Win 55%
Sharpe 0.25 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 49M (26%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
RSI
only
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -0.2% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -13.7%
Months 82M (43%)
CAGR 4.3% | Win 64%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.4
Vol 10% | MDD -10.5%
Months 28M (15%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
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 2.2% | Win 53%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 70M (37%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
MACDhist
only
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (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 (44%)
CAGR -3.4% | Win 59%
Sharpe -0.27 | Sortino -0.31 | Calmar -0.3
Vol 11% | MDD -10.8%
Months 27M (14%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
MRmean
neg
CAGR 14.8% | Win 75%
Sharpe 1.44 | Sortino 1.70 | Calmar 3.3
Vol 10% | MDD -4.4%
Months 8M (4%)
CAGR 2.1% | Win 53%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 72M (38%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 0.1% | Win 56%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -15.9%
Months 99M (52%)
CAGR 9.0% | Win 64%
Sharpe 1.26 | Sortino 2.19 | Calmar 3.2
Vol 7% | MDD -2.8%
Months 11M (6%)
CAGR 0.9% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 9% | MDD -10.6%
Months 110M (58%)
MRmean
neg
CAGR 9.6% | Win 60%
Sharpe 0.98 | Sortino 1.40 | Calmar 1.3
Vol 10% | MDD -7.6%
Months 48M (25%)
CAGR -5.6% | Win 47%
Sharpe -0.36 | Sortino -0.53 | Calmar -0.2
Vol 14% | MDD -27.5%
Months 32M (17%)
CAGR 3.3% | Win 55%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 80M (42%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -2.5% | Win 50%
Sharpe -0.26 | Sortino -0.38 | Calmar -0.1
Vol 8% | MDD -24.1%
Months 93M (49%)
CAGR 35.6% | Win 86%
Sharpe 5.00 | Sortino 0.00 | Calmar 76.4
Vol 6% | MDD -0.5%
Months 7M (4%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
SLmean
neg
CAGR 1.9% | Win 57%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 75M (40%)
CAGR 17.8% | Win 67%
Sharpe 1.53 | Sortino 1.65 | Calmar 2.5
Vol 11% | MDD -7.1%
Months 15M (8%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
RSmean
only
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.1% | Win 53%
Sharpe 0.31 | Sortino 0.55 | Calmar 0.2
Vol 8% | MDD -10.3%
Months 64M (34%)
CAGR -4.3% | Win 53%
Sharpe -0.37 | Sortino -0.53 | Calmar -0.2
Vol 10% | MDD -17.7%
Months 36M (19%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
SLmean
neg
CAGR -1.1% | Win 54%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 10% | MDD -17.8%
Months 43M (23%)
CAGR 9.7% | Win 64%
Sharpe 0.78 | Sortino 0.95 | Calmar 0.4
Vol 13% | MDD -23.5%
Months 47M (25%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
MACD
only
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (44%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 0.3% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 8% | MDD -13.6%
Months 88M (46%)
CAGR -4.6% | Win 42%
Sharpe -0.43 | Sortino -0.93 | Calmar -0.5
Vol 10% | MDD -9.8%
Months 12M (6%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
SLmean
neg
CAGR 3.5% | Win 60%
Sharpe 0.38 | Sortino 0.48 | Calmar 0.2
Vol 10% | MDD -16.8%
Months 42M (22%)
CAGR 5.2% | Win 58%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.2
Vol 12% | MDD -27.5%
Months 48M (25%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
RSI
only
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -0.3% | Win 50%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.0
Vol 8% | MDD -10.7%
Months 66M (35%)
CAGR -0.2% | Win 59%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 10% | MDD -13.6%
Months 34M (18%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
SLmean
neg
CAGR 4.3% | Win 69%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 26M (14%)
CAGR 4.4% | Win 55%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 64M (34%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
MACDhist
only
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (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 (43%)
CAGR -3.5% | Win 56%
Sharpe -0.29 | Sortino -0.38 | Calmar -0.3
Vol 10% | MDD -13.6%
Months 18M (10%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
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 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 12% | MDD -34.6%
Months 81M (43%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 0.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -13.9%
Months 86M (45%)
CAGR -1.9% | Win 50%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 8% | MDD -7.8%
Months 14M (7%)
CAGR -0.3% | Win 53%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 9% | MDD -15.7%
Months 100M (53%)
SLmean
neg
CAGR 7.6% | Win 62%
Sharpe 0.78 | Sortino 1.00 | Calmar 0.6
Vol 10% | MDD -11.7%
Months 61M (32%)
CAGR -2.1% | Win 52%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 14% | MDD -27.5%
Months 29M (15%)
CAGR 4.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 90M (47%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -0.3% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 8% | MDD -22.6%
Months 104M (55%)
CAGR -1.1% | Win 56%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 12% | MDD -23.6%
Months 64M (34%)
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
RSmean
neg
CAGR 44.3% | Win 100%
Sharpe 13.48 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 3M (2%)
CAGR 20.1% | Win 68%
Sharpe 1.82 | Sortino 2.01 | Calmar 2.8
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
MACD
only
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (44%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -1.2% | Win 54%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 9% | MDD -21.6%
Months 112M (59%)
CAGR 0.6% | Win 54%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -27.5%
Months 56M (30%)
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
RSmean
neg
CAGR 18.5% | Win 72%
Sharpe 1.83 | Sortino 1.72 | Calmar 2.6
Vol 10% | MDD -7.1%
Months 18M (10%)
CAGR 46.4% | Win 75%
Sharpe 3.58 | Sortino 0.00 | Calmar 319.1
Vol 11% | MDD -0.1%
Months 4M (2%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
RSI
only
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 0.2% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar 0.0
Vol 9% | MDD -17.0%
Months 89M (47%)
CAGR -1.5% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.0
Vol 11% | MDD -31.0%
Months 79M (42%)
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
RSmean
neg
CAGR 27.7% | Win 67%
Sharpe 2.43 | Sortino 0.00 | Calmar 59.5
Vol 10% | MDD -0.5%
Months 3M (2%)
CAGR 22.5% | Win 74%
Sharpe 2.07 | Sortino 2.02 | Calmar 3.1
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
MACDhist
only
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (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 (46%)
CAGR -4.0% | Win 50%
Sharpe -0.30 | Sortino -0.41 | Calmar -0.1
Vol 12% | MDD -39.0%
Months 80M (42%)
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
RSmean
neg
CAGR 27.7% | Win 67%
Sharpe 2.43 | Sortino 0.00 | Calmar 59.5
Vol 10% | MDD -0.5%
Months 3M (2%)
CAGR 22.5% | Win 74%
Sharpe 2.07 | Sortino 2.02 | Calmar 3.1
Vol 10% | MDD -7.1%
Months 19M (10%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 0.0% | Win 55%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -20.8%
Months 126M (66%)
CAGR -2.4% | Win 50%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 42M (22%)
CAGR -0.6% | Win 54%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 10% | MDD -34.9%
Months 168M (88%)
RSmean
neg
CAGR 23.4% | Win 71%
Sharpe 2.15 | Sortino 2.30 | Calmar 3.3
Vol 10% | MDD -7.1%
Months 21M (11%)
CAGR 17.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 23.2% | Win 73%
Sharpe 2.17 | Sortino 2.27 | Calmar 3.2
Vol 10% | MDD -7.1%
Months 22M (12%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.1% | Win 54%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 8% | MDD -18.1%
Months 92M (48%)
CAGR -1.0% | Win 47%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.2
Vol 9% | MDD -5.6%
Months 15M (8%)
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
MACD
neg
CAGR 2.0% | Win 60%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.2
Vol 11% | MDD -9.5%
Months 38M (20%)
CAGR 4.6% | Win 58%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 13% | MDD -23.5%
Months 45M (24%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (44%)
RSI
only
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -1.0% | Win 55%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.0
Vol 8% | MDD -20.4%
Months 67M (35%)
CAGR 3.8% | Win 50%
Sharpe 0.49 | Sortino 0.97 | Calmar 0.4
Vol 8% | MDD -10.9%
Months 40M (21%)
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
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 (44%)
MACDhist
only
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (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 -2.6% | Win 49%
Sharpe -0.23 | Sortino -0.35 | Calmar -0.1
Vol 9% | MDD -23.5%
Months 49M (26%)
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
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 (44%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.5% | Win 55%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -20.2%
Months 96M (50%)
CAGR -5.0% | Win 36%
Sharpe -0.60 | Sortino -1.24 | Calmar -0.9
Vol 8% | MDD -5.3%
Months 11M (6%)
CAGR 0.8% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -21.0%
Months 107M (56%)
MACD
neg
CAGR 6.2% | Win 61%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.7
Vol 11% | MDD -9.4%
Months 51M (27%)
CAGR -1.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 14% | MDD -23.5%
Months 32M (17%)
CAGR 3.4% | Win 59%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 12% | MDD -23.5%
Months 83M (44%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -1.3% | Win 53%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 8% | MDD -21.3%
Months 77M (40%)
CAGR 5.4% | Win 60%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.6
Vol 10% | MDD -9.1%
Months 53M (28%)
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
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 -0.2% | Win 51%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 13% | MDD -27.5%
Months 45M (24%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
MACDhist
only
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (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 (39%)
CAGR 0.8% | Win 57%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 11% | MDD -21.0%
Months 56M (30%)
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
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 0.3% | Win 51%
Sharpe 0.09 | Sortino 0.12 | Calmar 0.0
Vol 13% | MDD -27.5%
Months 43M (23%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 0.5% | Win 55%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 9% | MDD -26.3%
Months 120M (63%)
CAGR 12.7% | Win 70%
Sharpe 1.99 | Sortino 3.84 | Calmar 6.9
Vol 6% | MDD -1.8%
Months 10M (5%)
CAGR 1.4% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.1
Vol 9% | MDD -19.2%
Months 130M (68%)
RSI
neg
CAGR 15.7% | Win 67%
Sharpe 1.67 | Sortino 3.08 | Calmar 2.8
Vol 9% | MDD -5.5%
Months 27M (14%)
CAGR -6.1% | Win 46%
Sharpe -0.40 | Sortino -0.61 | Calmar -0.2
Vol 13% | MDD -27.5%
Months 33M (17%)
CAGR 3.1% | Win 55%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.5%
Months 60M (32%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
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 (36%)
CAGR -5.3% | Win 52%
Sharpe -0.45 | Sortino -0.63 | Calmar -0.3
Vol 11% | MDD -20.8%
Months 23M (12%)
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
MACDhist
neg
CAGR 4.1% | Win 59%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.9
Vol 10% | MDD -4.4%
Months 22M (12%)
CAGR 2.4% | Win 55%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 12% | MDD -31.0%
Months 76M (40%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (52%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.5
Vol 8% | MDD -6.7%
Months 91M (48%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -0.1% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 9% | MDD -22.4%
Months 88M (46%)
CAGR 27.6% | Win 100%
Sharpe 5.82 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (2%)
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 9% | MDD -15.8%
Months 92M (48%)
MACDhist
neg
CAGR 8.0% | Win 63%
Sharpe 0.81 | Sortino 1.02 | Calmar 0.9
Vol 10% | MDD -9.1%
Months 59M (31%)
CAGR -4.6% | Win 46%
Sharpe -0.32 | Sortino -0.46 | Calmar -0.2
Vol 13% | MDD -27.5%
Months 39M (20%)
CAGR 2.8% | Win 56%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 11% | MDD -31.0%
Months 98M (52%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)
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 (40%)
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 (48%)
RSIhist
neg
CAGR 3.5% | Win 58%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.2
Vol 10% | MDD -20.0%
Months 72M (38%)
CAGR -7.0% | Win 44%
Sharpe -0.45 | Sortino -0.67 | Calmar -0.3
Vol 14% | MDD -27.5%
Months 27M (14%)
CAGR 0.6% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -37.0%
Months 99M (52%)
LWTI
only
CAGR 3.1% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 147M (77%)
CAGR -2.0% | Win 51%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 12% | MDD -27.5%
Months 43M (23%)