PKB - Invesco Building & Construction ETF

Signal Pair Analysis

MRmean-RSIhist

Best Pair

29.5%

Best CAGR

70

Total Months

9.0%

Avg CAGR

PKB 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 PKB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist MRmean neg-pos 9 3.7 29.5 77.8 1.3 3.3 3.8 21.7 -7.8
pair MRmean RSIhist neg-pos 9 3.7 29.5 77.8 1.3 3.3 3.8 21.7 -7.8
pair RSI RSIhist neg-pos 21 8.6 29.2 71.4 1.2 1.8 1.5 23.4 -19.3
pair RSIhist RSI neg-pos 21 8.6 29.2 71.4 1.2 1.8 1.5 23.4 -19.3
pair MACD RSI neg-neg 42 17.2 27.0 71.4 0.9 1.1 0.7 31.5 -41.6
pair RSI MACD neg-neg 42 17.2 27.0 71.4 0.9 1.1 0.7 31.5 -41.6
pair RSI MRmean pos-neg 14 5.7 25.2 64.3 1.0 1.5 2.0 24.6 -12.5
pair MRmean RSI pos-neg 14 5.7 25.2 64.3 1.0 1.5 2.0 24.6 -12.5
pair RSI LWTI neg-pos 33 13.5 23.3 66.7 0.9 1.6 1.2 27.3 -19.8
pair LWTI RSI neg-pos 33 13.5 23.3 66.7 0.9 1.6 1.2 27.3 -19.8
pair RSI MACDhist neg-neg 49 20.1 22.6 67.3 0.8 1.0 0.4 32.8 -52.0
pair MACDhist RSI neg-neg 49 20.1 22.6 67.3 0.8 1.0 0.4 32.8 -52.0
pair RSIhist MACDhist neg-pos 40 16.4 22.2 70.0 1.3 1.8 1.1 17.0 -19.3
pair MACDhist RSIhist neg-pos 40 16.4 22.2 70.0 1.3 1.8 1.1 17.0 -19.3
pair MACD RSmean pos-neg 53 21.7 21.2 71.7 0.8 0.9 0.5 29.1 -47.5
pair RSmean MACD pos-neg 53 21.7 21.2 71.7 0.8 0.9 0.5 29.1 -47.5
pair SLmean MRmean pos-neg 15 6.1 21.1 66.7 0.9 1.6 1.2 25.7 -17.3
pair MRmean SLmean pos-neg 15 6.1 21.1 66.7 0.9 1.6 1.2 25.7 -17.3
pair SLmean RSI pos-neg 22 9.0 21.0 63.6 0.9 1.1 1.1 25.5 -18.3
pair RSI SLmean pos-neg 22 9.0 21.0 63.6 0.9 1.1 1.1 25.5 -18.3
pair MACD SLmean pos-neg 36 14.8 21.0 69.4 1.1 1.8 1.3 19.3 -16.3
pair SLmean MACD pos-neg 36 14.8 21.0 69.4 1.1 1.8 1.3 19.3 -16.3
pair MRmean MACD neg-neg 35 14.3 19.5 65.7 0.7 0.8 0.4 32.7 -49.8
pair MACD MRmean neg-neg 35 14.3 19.5 65.7 0.7 0.8 0.4 32.7 -49.8
pair RSmean RSIhist neg-pos 3 1.2 18.8 66.7 0.9 0.0 0.0 19.5 0.0
pair RSIhist RSmean neg-pos 3 1.2 18.8 66.7 0.9 0.0 0.0 19.5 0.0
pair MACDhist LWTI neg-pos 74 30.3 18.5 60.8 0.9 1.7 0.8 21.1 -21.9
pair LWTI MACDhist neg-pos 74 30.3 18.5 60.8 0.9 1.7 0.8 21.1 -21.9
pair LWTI MACD neg-pos 41 16.8 18.0 65.9 0.8 1.3 0.8 22.4 -21.2
pair MACD LWTI neg-pos 41 16.8 18.0 65.9 0.8 1.3 0.8 22.4 -21.2
pair RSmean RSI pos-neg 59 24.2 17.9 66.1 0.7 0.9 0.3 32.8 -52.0
pair RSI RSmean pos-neg 59 24.2 17.9 66.1 0.7 0.9 0.3 32.8 -52.0
pair MACD RSIhist neg-pos 37 15.2 17.0 70.3 0.8 1.3 0.6 21.0 -26.7
pair RSIhist MACD neg-pos 37 15.2 17.0 70.3 0.8 1.3 0.6 21.0 -26.7
single RSI RSI neg-neg 65 26.6 16.7 66.2 0.7 0.9 0.3 31.7 -52.0
pair MACD MACDhist neg-neg 49 20.1 16.7 65.3 0.7 0.8 0.3 28.5 -47.5
pair MACDhist MACD neg-neg 49 20.1 16.7 65.3 0.7 0.8 0.3 28.5 -47.5
pair MACDhist MRmean neg-neg 70 28.7 16.3 61.4 0.7 0.9 0.3 30.7 -56.6
pair MRmean MACDhist neg-neg 70 28.7 16.3 61.4 0.7 0.9 0.3 30.7 -56.6
single MACD MACD neg-neg 66 27.0 16.1 66.7 0.7 0.8 0.3 27.5 -47.5
pair MACDhist SLmean neg-neg 60 24.6 16.0 60.0 0.6 0.9 0.3 31.4 -47.1
pair SLmean MACDhist neg-neg 60 24.6 16.0 60.0 0.6 0.9 0.3 31.4 -47.1
pair LWTI RSIhist pos-neg 23 9.4 15.8 69.6 0.9 1.3 1.6 18.3 -10.1
pair RSIhist LWTI pos-neg 23 9.4 15.8 69.6 0.9 1.3 1.6 18.3 -10.1
pair MACDhist RSmean pos-neg 98 40.2 15.7 63.3 0.7 0.9 0.3 27.2 -59.2
pair RSmean MACDhist pos-neg 98 40.2 15.7 63.3 0.7 0.9 0.3 27.2 -59.2
pair MRmean RSIhist pos-neg 30 12.3 15.1 60.0 0.8 2.1 0.8 19.8 -19.3
pair RSIhist MRmean pos-neg 30 12.3 15.1 60.0 0.8 2.1 0.8 19.8 -19.3
pair MACD RSIhist neg-neg 29 11.9 15.0 62.1 0.6 0.7 0.3 34.5 -46.9
pair RSIhist MACD neg-neg 29 11.9 15.0 62.1 0.6 0.7 0.3 34.5 -46.9
pair SLmean RSI neg-neg 43 17.6 14.6 67.4 0.6 0.8 0.3 34.7 -41.6
pair RSI SLmean neg-neg 43 17.6 14.6 67.4 0.6 0.8 0.3 34.7 -41.6
pair MRmean RSI neg-neg 51 20.9 14.5 66.7 0.6 0.8 0.3 33.6 -52.0
pair RSI MRmean neg-neg 51 20.9 14.5 66.7 0.6 0.8 0.3 33.6 -52.0
pair MACDhist MACD neg-pos 17 7.0 14.3 70.6 0.7 1.4 0.7 25.3 -21.2
pair MACD MACDhist neg-pos 17 7.0 14.3 70.6 0.7 1.4 0.7 25.3 -21.2
pair MACDhist MRmean pos-pos 118 48.4 14.2 59.3 0.7 1.2 0.7 21.1 -20.5
pair MRmean MACDhist pos-pos 118 48.4 14.2 59.3 0.7 1.2 0.7 21.1 -20.5
pair RSmean LWTI pos-pos 179 73.4 14.1 60.3 0.7 1.0 0.4 23.2 -37.7
pair LWTI RSmean pos-pos 179 73.4 14.1 60.3 0.7 1.0 0.4 23.2 -37.7
pair MRmean LWTI pos-pos 147 60.2 13.7 59.9 0.7 1.2 0.5 20.1 -25.6
pair LWTI MRmean pos-pos 147 60.2 13.7 59.9 0.7 1.2 0.5 20.1 -25.6
pair SLmean RSmean neg-pos 70 28.7 13.3 64.3 0.6 0.7 0.3 33.9 -41.6
pair RSmean SLmean neg-pos 70 28.7 13.3 64.3 0.6 0.7 0.3 33.9 -41.6
pair LWTI SLmean neg-pos 64 26.2 13.1 60.9 0.6 0.8 0.4 28.4 -30.6
pair SLmean LWTI neg-pos 64 26.2 13.1 60.9 0.6 0.8 0.4 28.4 -30.6
pair RSIhist SLmean pos-pos 136 55.7 13.1 60.3 0.7 1.2 0.5 19.8 -24.3
pair SLmean RSIhist pos-pos 136 55.7 13.1 60.3 0.7 1.2 0.5 19.8 -24.3
single MACDhist MACDhist neg-neg 115 47.1 13.1 61.7 0.6 0.8 0.2 26.0 -59.2
single RSIhist RSIhist pos-pos 142 58.2 13.0 61.3 0.7 1.1 0.5 20.0 -26.7
pair RSmean MRmean pos-pos 157 64.3 13.0 60.5 0.7 1.2 0.5 20.0 -26.1
pair MRmean RSmean pos-pos 157 64.3 13.0 60.5 0.7 1.2 0.5 20.0 -26.1
pair LWTI MACD neg-neg 25 10.2 13.0 68.0 0.5 0.6 0.3 34.8 -41.6
pair MACD LWTI neg-neg 25 10.2 13.0 68.0 0.5 0.6 0.3 34.8 -41.6
pair RSIhist RSmean pos-pos 139 57.0 12.9 61.2 0.7 1.1 0.5 20.1 -26.7
pair RSmean RSIhist pos-pos 139 57.0 12.9 61.2 0.7 1.1 0.5 20.1 -26.7
pair MACD MRmean pos-pos 132 54.1 12.6 58.3 0.7 1.2 0.5 19.8 -25.6
pair MRmean MACD pos-pos 132 54.1 12.6 58.3 0.7 1.2 0.5 19.8 -25.6
single MRmean MRmean pos-pos 163 66.8 12.6 60.1 0.7 1.1 0.5 19.8 -26.8
single LWTI LWTI pos-pos 199 81.6 12.5 59.3 0.6 0.9 0.3 22.7 -39.2
pair RSIhist LWTI pos-pos 119 48.8 12.5 59.7 0.7 1.1 0.5 20.4 -26.7
pair LWTI RSIhist pos-pos 119 48.8 12.5 59.7 0.7 1.1 0.5 20.4 -26.7
pair RSIhist LWTI neg-pos 80 32.8 12.4 58.8 0.6 0.8 0.4 25.9 -33.7
pair LWTI RSIhist neg-pos 80 32.8 12.4 58.8 0.6 0.8 0.4 25.9 -33.7
pair MRmean MACD pos-neg 31 12.7 12.3 67.7 0.7 0.9 0.6 20.5 -20.5
pair MACD MRmean pos-neg 31 12.7 12.3 67.7 0.7 0.9 0.6 20.5 -20.5
pair SLmean LWTI pos-pos 135 55.3 12.1 58.5 0.7 1.1 0.6 19.5 -20.2
pair LWTI SLmean pos-pos 135 55.3 12.1 58.5 0.7 1.1 0.6 19.5 -20.2
pair RSIhist MRmean pos-pos 133 54.5 12.0 60.2 0.7 1.0 0.5 19.9 -26.8
pair MRmean RSIhist pos-pos 133 54.5 12.0 60.2 0.7 1.0 0.5 19.9 -26.8
single RSmean RSmean pos-pos 224 91.8 11.7 61.2 0.6 0.8 0.2 25.2 -59.2
pair MACD RSIhist pos-pos 105 43.0 11.7 58.1 0.7 1.0 0.5 19.7 -24.3
pair MRmean SLmean pos-pos 148 60.7 11.7 59.5 0.7 1.1 0.4 19.2 -28.6
pair SLmean MRmean pos-pos 148 60.7 11.7 59.5 0.7 1.1 0.4 19.2 -28.6
pair RSIhist MACD pos-pos 105 43.0 11.7 58.1 0.7 1.0 0.5 19.7 -24.3
pair MRmean RSI pos-pos 149 61.1 11.4 59.7 0.7 1.1 0.3 19.4 -32.3
pair RSI MRmean pos-pos 149 61.1 11.4 59.7 0.7 1.1 0.3 19.4 -32.3
pair RSIhist SLmean neg-pos 6 2.5 11.3 83.3 0.5 0.0 0.9 26.2 -12.5
pair SLmean RSIhist neg-pos 6 2.5 11.3 83.3 0.5 0.0 0.9 26.2 -12.5
pair RSI RSIhist neg-neg 44 18.0 11.2 63.6 0.5 0.7 0.2 35.1 -52.0
pair RSIhist RSI neg-neg 44 18.0 11.2 63.6 0.5 0.7 0.2 35.1 -52.0
pair SLmean RSmean pos-pos 154 63.1 11.0 59.7 0.6 0.9 0.3 20.1 -33.7
pair SLmean MACDhist pos-pos 105 43.0 11.0 57.1 0.6 1.0 0.6 20.7 -18.5
pair MACDhist SLmean pos-pos 105 43.0 11.0 57.1 0.6 1.0 0.6 20.7 -18.5
pair MACD LWTI pos-pos 158 64.8 11.0 57.6 0.6 0.8 0.3 22.8 -39.2
pair RSmean SLmean pos-pos 154 63.1 11.0 59.7 0.6 0.9 0.3 20.1 -33.7
pair LWTI MACD pos-pos 158 64.8 11.0 57.6 0.6 0.8 0.3 22.8 -39.2
pair SLmean MACD neg-pos 54 22.1 10.7 61.1 0.5 0.7 0.2 30.2 -44.4
pair MACD SLmean neg-pos 54 22.1 10.7 61.1 0.5 0.7 0.2 30.2 -44.4
pair RSIhist SLmean neg-neg 78 32.0 10.6 60.3 0.5 0.6 0.2 32.4 -47.1
pair benchmark___benchmark_ benchmark-benchmark 244 100.0 10.6 60.2 0.5 0.7 0.2 24.6 -59.2
pair SLmean RSIhist neg-neg 78 32.0 10.6 60.3 0.5 0.6 0.2 32.4 -47.1
pair benchmark___benchmark_ benchmark-benchmark 244 100.0 10.6 60.2 0.5 0.7 0.2 24.6 -59.2
single SLmean SLmean pos-pos 160 65.6 10.6 59.4 0.6 0.9 0.3 19.9 -34.0
single SLmean SLmean neg-neg 84 34.4 10.6 61.9 0.5 0.6 0.2 31.9 -47.1
pair MACDhist MACD pos-neg 66 27.0 10.5 59.1 0.5 0.9 0.4 24.2 -28.0
pair MACD MACDhist pos-neg 66 27.0 10.5 59.1 0.5 0.9 0.4 24.2 -28.0
pair LWTI RSI pos-pos 166 68.0 10.4 57.8 0.6 0.8 0.3 21.7 -39.2
pair MACD SLmean neg-neg 30 12.3 10.4 63.3 0.5 0.6 0.2 35.3 -49.8
pair SLmean MACD neg-neg 30 12.3 10.4 63.3 0.5 0.6 0.2 35.3 -49.8
pair RSI LWTI pos-pos 166 68.0 10.4 57.8 0.6 0.8 0.3 21.7 -39.2
pair RSI RSIhist pos-pos 121 49.6 10.4 59.5 0.6 0.9 0.4 19.3 -28.3
pair RSIhist RSI pos-pos 121 49.6 10.4 59.5 0.6 0.9 0.4 19.3 -28.3
pair LWTI RSI neg-neg 32 13.1 10.3 65.6 0.5 0.6 0.2 36.0 -52.0
pair RSI LWTI neg-neg 32 13.1 10.3 65.6 0.5 0.6 0.2 36.0 -52.0
pair SLmean MACDhist pos-neg 55 22.5 10.0 63.6 0.6 0.8 0.3 18.6 -33.7
pair MACD RSI pos-pos 155 63.5 10.0 58.1 0.6 0.8 0.2 22.1 -46.4
pair RSI MACD pos-pos 155 63.5 10.0 58.1 0.6 0.8 0.2 22.1 -46.4
pair MACDhist SLmean pos-neg 55 22.5 10.0 63.6 0.6 0.8 0.3 18.6 -33.7
pair RSIhist RSmean pos-neg 85 34.8 9.8 61.2 0.5 0.6 0.2 32.0 -52.0
pair RSmean RSIhist pos-neg 85 34.8 9.8 61.2 0.5 0.6 0.2 32.0 -52.0
pair RSI MACDhist pos-pos 113 46.3 9.6 58.4 0.5 0.7 0.3 22.8 -37.0
pair MACDhist RSI pos-pos 113 46.3 9.6 58.4 0.5 0.7 0.3 22.8 -37.0
pair RSmean RSI pos-pos 165 67.6 9.6 59.4 0.5 0.7 0.2 21.9 -48.3
pair RSIhist MACDhist pos-pos 102 41.8 9.6 57.8 0.5 0.9 0.4 21.0 -26.7
pair MACDhist RSIhist pos-pos 102 41.8 9.6 57.8 0.5 0.9 0.4 21.0 -26.7
pair RSI RSmean pos-pos 165 67.6 9.6 59.4 0.5 0.7 0.2 21.9 -48.3
pair LWTI MACDhist pos-pos 125 51.2 9.0 58.4 0.5 0.7 0.2 23.7 -37.8
pair MACDhist LWTI pos-pos 125 51.2 9.0 58.4 0.5 0.7 0.2 23.7 -37.8
pair SLmean RSI pos-pos 138 56.6 9.0 58.7 0.6 0.9 0.3 19.0 -28.3
pair MRmean LWTI neg-pos 52 21.3 9.0 57.7 0.5 0.6 0.3 28.9 -30.7
pair LWTI MRmean neg-pos 52 21.3 9.0 57.7 0.5 0.6 0.3 28.9 -30.7
pair RSI SLmean pos-pos 138 56.6 9.0 58.7 0.6 0.9 0.3 19.0 -28.3
pair MACD RSmean pos-pos 171 70.1 8.9 57.9 0.5 0.7 0.2 23.9 -49.6
pair RSmean MACD pos-pos 171 70.1 8.9 57.9 0.5 0.7 0.2 23.9 -49.6
pair MRmean RSmean neg-pos 67 27.5 8.7 62.7 0.4 0.6 0.2 34.5 -52.0
pair RSmean MRmean neg-pos 67 27.5 8.7 62.7 0.4 0.6 0.2 34.5 -52.0
pair MACDhist RSmean pos-pos 126 51.6 8.7 59.5 0.5 0.6 0.2 23.5 -37.0
pair RSmean MACDhist pos-pos 126 51.6 8.7 59.5 0.5 0.6 0.2 23.5 -37.0
single MACD MACD pos-pos 178 73.0 8.7 57.9 0.5 0.7 0.2 23.5 -50.8
single RSI RSI pos-pos 179 73.4 8.5 58.1 0.5 0.7 0.2 21.6 -49.5
pair MACDhist RSIhist neg-neg 75 30.7 8.5 57.3 0.4 0.6 0.2 29.8 -54.1
pair RSIhist MACDhist neg-neg 75 30.7 8.5 57.3 0.4 0.6 0.2 29.8 -54.1
single MACDhist MACDhist pos-pos 129 52.9 8.4 58.9 0.5 0.6 0.2 23.4 -37.0
pair SLmean MRmean neg-neg 69 28.3 8.4 60.9 0.4 0.5 0.2 33.2 -47.1
pair MRmean SLmean neg-neg 69 28.3 8.4 60.9 0.4 0.5 0.2 33.2 -47.1
pair MACDhist MRmean pos-neg 45 18.4 8.2 62.2 0.6 0.8 0.3 16.3 -28.8
pair MRmean MACDhist pos-neg 45 18.4 8.2 62.2 0.6 0.8 0.3 16.3 -28.8
pair MACD SLmean pos-pos 124 50.8 7.8 56.5 0.5 0.7 0.3 20.1 -26.4
pair SLmean MACD pos-pos 124 50.8 7.8 56.5 0.5 0.7 0.3 20.1 -26.4
pair MACD MACDhist pos-pos 112 45.9 7.6 57.1 0.4 0.6 0.2 23.2 -37.0
pair MACDhist MACD pos-pos 112 45.9 7.6 57.1 0.4 0.6 0.2 23.2 -37.0
single RSIhist RSIhist neg-neg 102 41.8 7.3 58.8 0.4 0.5 0.1 30.0 -54.1
single MRmean MRmean neg-neg 81 33.2 6.8 60.5 0.4 0.5 0.1 32.3 -56.6
pair SLmean RSI neg-pos 41 16.8 6.6 56.1 0.4 0.4 0.1 29.0 -45.3
pair RSI SLmean neg-pos 41 16.8 6.6 56.1 0.4 0.4 0.1 29.0 -45.3
pair RSI MACDhist pos-neg 66 27.0 6.5 57.6 0.4 0.7 0.2 19.5 -26.7
pair MACDhist RSI pos-neg 66 27.0 6.5 57.6 0.4 0.7 0.2 19.5 -26.7
pair RSI RSmean neg-neg 6 2.5 5.6 66.7 0.4 0.7 0.7 18.4 -7.5
pair RSmean RSI neg-neg 6 2.5 5.6 66.7 0.4 0.7 0.7 18.4 -7.5
pair RSIhist RSI pos-neg 58 23.8 4.5 55.2 0.3 0.4 0.1 25.8 -43.1
pair RSI RSIhist pos-neg 58 23.8 4.5 55.2 0.3 0.4 0.1 25.8 -43.1
pair RSIhist MACD pos-neg 73 29.9 4.4 57.5 0.3 0.4 0.1 28.3 -46.9
pair MACD RSIhist pos-neg 73 29.9 4.4 57.5 0.3 0.4 0.1 28.3 -46.9
pair MRmean RSIhist neg-neg 72 29.5 4.3 58.3 0.3 0.4 0.1 33.5 -56.6
pair RSIhist MRmean neg-neg 72 29.5 4.3 58.3 0.3 0.4 0.1 33.5 -56.6
pair MACDhist RSIhist pos-neg 27 11.1 4.1 63.0 0.3 0.3 0.1 31.4 -32.0
pair RSIhist MACDhist pos-neg 27 11.1 4.1 63.0 0.3 0.3 0.1 31.4 -32.0
pair MACDhist LWTI neg-neg 41 16.8 4.0 63.4 0.3 0.4 0.1 33.3 -54.8
pair LWTI MACDhist neg-neg 41 16.8 4.0 63.4 0.3 0.4 0.1 33.3 -54.8
pair LWTI MRmean neg-neg 29 11.9 3.0 65.5 0.3 0.4 0.1 38.2 -52.0
pair MRmean LWTI neg-neg 29 11.9 3.0 65.5 0.3 0.4 0.1 38.2 -52.0
pair LWTI SLmean pos-neg 25 10.2 2.9 64.0 0.2 0.3 0.1 22.2 -26.1
pair SLmean LWTI pos-neg 25 10.2 2.9 64.0 0.2 0.3 0.1 22.2 -26.1
pair LWTI SLmean neg-neg 20 8.2 2.8 65.0 0.3 0.4 0.1 42.0 -41.6
pair SLmean LWTI neg-neg 20 8.2 2.8 65.0 0.3 0.4 0.1 42.0 -41.6
pair LWTI RSmean pos-neg 45 18.4 2.8 64.4 0.2 0.3 0.1 32.1 -54.8
pair RSmean LWTI pos-neg 45 18.4 2.8 64.4 0.2 0.3 0.1 32.1 -54.8
single LWTI LWTI neg-neg 45 18.4 2.8 64.4 0.2 0.3 0.1 32.1 -54.8
pair MRmean LWTI pos-neg 16 6.6 2.5 62.5 0.2 0.3 0.1 17.0 -17.6
pair LWTI MRmean pos-neg 16 6.6 2.5 62.5 0.2 0.3 0.1 17.0 -17.6
pair RSmean MACD neg-pos 7 2.9 2.1 57.1 0.2 0.5 0.3 13.8 -7.9
pair MACD RSmean neg-pos 7 2.9 2.1 57.1 0.2 0.5 0.3 13.8 -7.9
pair RSmean MRmean pos-neg 6 2.5 1.2 50.0 0.1 0.4 0.3 14.5 -4.4
pair SLmean RSmean pos-neg 6 2.5 1.2 50.0 0.1 0.4 0.3 14.5 -4.4
pair RSmean SLmean pos-neg 6 2.5 1.2 50.0 0.1 0.4 0.3 14.5 -4.4
pair MRmean RSmean pos-neg 6 2.5 1.2 50.0 0.1 0.4 0.3 14.5 -4.4
pair MACDhist RSI neg-pos 16 6.6 0.5 62.5 0.1 0.4 0.0 28.4 -19.8
pair RSI MACDhist neg-pos 16 6.6 0.5 62.5 0.1 0.4 0.0 28.4 -19.8
pair RSI MACD pos-neg 23 9.4 0.0 56.5 0.2 0.3 0.0 32.2 -38.7
pair MACD RSI pos-neg 23 9.4 0.0 56.5 0.2 0.3 0.0 32.2 -38.7
pair RSmean MACDhist neg-neg 17 7.0 -0.8 52.9 0.0 0.1 -0.0 17.1 -20.6
pair MACD RSI neg-pos 24 9.8 -0.8 58.3 0.0 0.1 -0.1 17.9 -18.5
pair RSI MACD neg-pos 24 9.8 -0.8 58.3 0.0 0.1 -0.1 17.9 -18.5
pair MACDhist RSmean neg-neg 17 7.0 -0.8 52.9 0.0 0.1 -0.0 17.1 -20.6
single RSmean RSmean neg-neg 20 8.2 -0.9 50.0 0.0 0.0 -0.0 17.4 -20.6
pair RSmean LWTI neg-pos 20 8.2 -0.9 50.0 0.0 0.0 -0.0 17.4 -20.6
pair LWTI RSmean neg-pos 20 8.2 -0.9 50.0 0.0 0.0 -0.0 17.4 -20.6
pair RSmean SLmean neg-neg 14 5.7 -1.8 50.0 -0.0 -0.0 -0.1 19.0 -20.6
pair SLmean RSmean neg-neg 14 5.7 -1.8 50.0 -0.0 -0.0 -0.1 19.0 -20.6
pair MRmean RSmean neg-neg 14 5.7 -1.8 50.0 -0.0 -0.0 -0.1 19.0 -20.6
pair RSmean MRmean neg-neg 14 5.7 -1.8 50.0 -0.0 -0.0 -0.1 19.0 -20.6
pair MACDhist RSmean neg-pos 3 1.2 -1.9 33.3 -0.0 -0.1 -0.4 23.0 -4.2
pair RSmean MACDhist neg-pos 3 1.2 -1.9 33.3 -0.0 -0.1 -0.4 23.0 -4.2
pair MACDhist SLmean neg-pos 24 9.8 -1.9 66.7 0.1 0.1 -0.1 33.4 -35.2
pair SLmean MACDhist neg-pos 24 9.8 -1.9 66.7 0.1 0.1 -0.1 33.4 -35.2
pair MRmean MACD neg-pos 46 18.9 -1.9 56.5 0.1 0.1 -0.0 32.2 -44.4
pair MACD MRmean neg-pos 46 18.9 -1.9 56.5 0.1 0.1 -0.0 32.2 -44.4
pair MRmean SLmean neg-pos 12 4.9 -2.0 58.3 0.1 0.1 -0.2 27.8 -8.8
pair SLmean MRmean neg-pos 12 4.9 -2.0 58.3 0.1 0.1 -0.2 27.8 -8.8
pair RSIhist SLmean pos-neg 24 9.8 -2.5 54.2 -0.0 -0.0 -0.1 20.7 -29.4
pair SLmean RSIhist pos-neg 24 9.8 -2.5 54.2 -0.0 -0.0 -0.1 20.7 -29.4
pair RSmean MACD neg-neg 13 5.3 -2.5 46.2 -0.0 -0.1 -0.1 19.6 -20.6
pair MACD RSmean neg-neg 13 5.3 -2.5 46.2 -0.0 -0.1 -0.1 19.6 -20.6
pair RSmean RSI neg-pos 14 5.7 -3.6 42.9 -0.1 -0.2 -0.2 17.6 -14.2
pair RSI RSmean neg-pos 14 5.7 -3.6 42.9 -0.1 -0.2 -0.2 17.6 -14.2
pair RSmean RSIhist neg-neg 17 7.0 -4.0 47.1 -0.1 -0.2 -0.2 17.5 -20.6
pair RSIhist RSmean neg-neg 17 7.0 -4.0 47.1 -0.1 -0.2 -0.2 17.5 -20.6
pair RSI MRmean neg-pos 30 12.3 -5.1 50.0 -0.0 -0.0 -0.1 30.4 -51.6
pair MRmean RSI neg-pos 30 12.3 -5.1 50.0 -0.0 -0.0 -0.1 30.4 -51.6
pair LWTI MACDhist pos-neg 4 1.6 -8.4 75.0 -0.5 0.0 0.0 16.0 0.0
pair MACDhist LWTI pos-neg 4 1.6 -8.4 75.0 -0.5 0.0 0.0 16.0 0.0
pair MACD LWTI pos-neg 20 8.2 -8.5 60.0 -0.2 -0.3 -0.2 28.9 -35.2
pair LWTI MACD pos-neg 20 8.2 -8.5 60.0 -0.2 -0.3 -0.2 28.9 -35.2
pair LWTI RSIhist neg-neg 22 9.0 -9.2 59.1 -0.0 -0.0 -0.2 42.4 -52.0
pair RSIhist LWTI neg-neg 22 9.0 -9.2 59.1 -0.0 -0.0 -0.2 42.4 -52.0
pair LWTI RSI pos-neg 13 5.3 -13.5 61.5 -0.7 -0.8 -0.6 19.2 -23.7
pair RSI LWTI pos-neg 13 5.3 -13.5 61.5 -0.7 -0.8 -0.6 19.2 -23.7
pair MACDhist MRmean neg-pos 11 4.5 -38.0 54.5 -1.0 -1.1 -0.9 40.0 -41.7
pair MRmean MACDhist neg-pos 11 4.5 -38.0 54.5 -1.0 -1.1 -0.9 40.0 -41.7

All Contingency Tables for PKB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 60%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.4
Vol 19% | MDD -28.6%
Months 148M (61%)
CAGR 21.1% | Win 67%
Sharpe 0.87 | Sortino 1.65 | Calmar 1.2
Vol 26% | MDD -17.3%
Months 15M (6%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR -2.0% | Win 58%
Sharpe 0.06 | Sortino 0.07 | Calmar -0.2
Vol 28% | MDD -8.8%
Months 12M (5%)
CAGR 8.4% | Win 61%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.2
Vol 33% | MDD -47.1%
Months 69M (28%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
SLmean
only
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.0% | Win 60%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.5
Vol 20% | MDD -26.1%
Months 157M (64%)
CAGR 1.2% | Win 50%
Sharpe 0.14 | Sortino 0.38 | Calmar 0.3
Vol 14% | MDD -4.4%
Months 6M (2%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR 8.7% | Win 63%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.2
Vol 34% | MDD -52.0%
Months 67M (28%)
CAGR -1.8% | Win 50%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 19% | MDD -20.6%
Months 14M (6%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
RSmean
only
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 58%
Sharpe 0.70 | Sortino 1.19 | Calmar 0.5
Vol 20% | MDD -25.6%
Months 132M (54%)
CAGR 12.3% | Win 68%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.6
Vol 20% | MDD -20.5%
Months 31M (13%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR -1.9% | Win 56%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 32% | MDD -44.4%
Months 46M (19%)
CAGR 19.5% | Win 66%
Sharpe 0.71 | Sortino 0.83 | Calmar 0.4
Vol 33% | MDD -49.8%
Months 35M (14%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
MACD
only
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.4% | Win 60%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.4
Vol 19% | MDD -32.3%
Months 149M (61%)
CAGR 25.2% | Win 64%
Sharpe 1.04 | Sortino 1.49 | Calmar 2.0
Vol 25% | MDD -12.5%
Months 14M (6%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR -5.1% | Win 50%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 30% | MDD -51.6%
Months 30M (12%)
CAGR 14.5% | Win 67%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.3
Vol 34% | MDD -52.0%
Months 51M (21%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
RSI
only
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 14.2% | Win 59%
Sharpe 0.74 | Sortino 1.25 | Calmar 0.7
Vol 21% | MDD -20.5%
Months 118M (48%)
CAGR 8.2% | Win 62%
Sharpe 0.57 | Sortino 0.83 | Calmar 0.3
Vol 16% | MDD -28.8%
Months 45M (18%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR -38.0% | Win 55%
Sharpe -0.96 | Sortino -1.07 | Calmar -0.9
Vol 40% | MDD -41.7%
Months 11M (4%)
CAGR 16.3% | Win 61%
Sharpe 0.65 | Sortino 0.90 | Calmar 0.3
Vol 31% | MDD -56.6%
Months 70M (29%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
MACDhist
only
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.0% | Win 60%
Sharpe 0.67 | Sortino 1.03 | Calmar 0.4
Vol 20% | MDD -26.8%
Months 133M (54%)
CAGR 15.1% | Win 60%
Sharpe 0.81 | Sortino 2.15 | Calmar 0.8
Vol 20% | MDD -19.3%
Months 30M (12%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR 29.5% | Win 78%
Sharpe 1.30 | Sortino 3.30 | Calmar 3.8
Vol 22% | MDD -7.8%
Months 9M (4%)
CAGR 4.3% | Win 58%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 34% | MDD -56.6%
Months 72M (30%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.7% | Win 60%
Sharpe 0.74 | Sortino 1.24 | Calmar 0.5
Vol 20% | MDD -25.6%
Months 147M (60%)
CAGR 2.5% | Win 62%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -17.6%
Months 16M (7%)
CAGR 12.6% | Win 60%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 163M (67%)
MRmean
neg
CAGR 9.0% | Win 58%
Sharpe 0.45 | Sortino 0.56 | Calmar 0.3
Vol 29% | MDD -30.7%
Months 52M (21%)
CAGR 3.0% | Win 66%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 38% | MDD -52.0%
Months 29M (12%)
CAGR 6.8% | Win 60%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -56.6%
Months 81M (33%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 60%
Sharpe 0.62 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -33.7%
Months 154M (63%)
CAGR 1.2% | Win 50%
Sharpe 0.14 | Sortino 0.38 | Calmar 0.3
Vol 14% | MDD -4.4%
Months 6M (2%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR 13.3% | Win 64%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.3
Vol 34% | MDD -41.6%
Months 70M (29%)
CAGR -1.8% | Win 50%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 19% | MDD -20.6%
Months 14M (6%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
RSmean
only
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 56%
Sharpe 0.47 | Sortino 0.72 | Calmar 0.3
Vol 20% | MDD -26.4%
Months 124M (51%)
CAGR 21.0% | Win 69%
Sharpe 1.09 | Sortino 1.75 | Calmar 1.3
Vol 19% | MDD -16.3%
Months 36M (15%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR 10.7% | Win 61%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 30% | MDD -44.4%
Months 54M (22%)
CAGR 10.4% | Win 63%
Sharpe 0.46 | Sortino 0.56 | Calmar 0.2
Vol 35% | MDD -49.8%
Months 30M (12%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
MACD
only
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 59%
Sharpe 0.55 | Sortino 0.88 | Calmar 0.3
Vol 19% | MDD -28.3%
Months 138M (57%)
CAGR 21.0% | Win 64%
Sharpe 0.88 | Sortino 1.13 | Calmar 1.2
Vol 26% | MDD -18.3%
Months 22M (9%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR 6.6% | Win 56%
Sharpe 0.37 | Sortino 0.44 | Calmar 0.1
Vol 29% | MDD -45.3%
Months 41M (17%)
CAGR 14.6% | Win 67%
Sharpe 0.57 | Sortino 0.83 | Calmar 0.4
Vol 35% | MDD -41.6%
Months 43M (18%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
RSI
only
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 57%
Sharpe 0.61 | Sortino 1.03 | Calmar 0.6
Vol 21% | MDD -18.5%
Months 105M (43%)
CAGR 10.0% | Win 64%
Sharpe 0.61 | Sortino 0.76 | Calmar 0.3
Vol 19% | MDD -33.7%
Months 55M (22%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR -1.9% | Win 67%
Sharpe 0.12 | Sortino 0.13 | Calmar -0.1
Vol 33% | MDD -35.2%
Months 24M (10%)
CAGR 16.0% | Win 60%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 31% | MDD -47.1%
Months 60M (25%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
MACDhist
only
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.1% | Win 60%
Sharpe 0.72 | Sortino 1.16 | Calmar 0.5
Vol 20% | MDD -24.3%
Months 136M (56%)
CAGR -2.5% | Win 54%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 21% | MDD -29.4%
Months 24M (10%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR 11.3% | Win 83%
Sharpe 0.52 | Sortino 0.00 | Calmar 0.9
Vol 26% | MDD -12.5%
Months 6M (2%)
CAGR 10.6% | Win 60%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 78M (32%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 58%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.6
Vol 20% | MDD -20.2%
Months 135M (55%)
CAGR 2.9% | Win 64%
Sharpe 0.24 | Sortino 0.28 | Calmar 0.1
Vol 22% | MDD -26.1%
Months 25M (10%)
CAGR 10.6% | Win 59%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -34.0%
Months 160M (66%)
SLmean
neg
CAGR 13.1% | Win 61%
Sharpe 0.58 | Sortino 0.76 | Calmar 0.4
Vol 28% | MDD -30.6%
Months 64M (26%)
CAGR 2.8% | Win 65%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 42% | MDD -41.6%
Months 20M (8%)
CAGR 10.6% | Win 62%
Sharpe 0.48 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -47.1%
Months 84M (34%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 24% | MDD -49.6%
Months 171M (70%)
CAGR 21.2% | Win 72%
Sharpe 0.81 | Sortino 0.93 | Calmar 0.4
Vol 29% | MDD -47.5%
Months 53M (22%)
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
RSmean
neg
CAGR 2.1% | Win 57%
Sharpe 0.21 | Sortino 0.47 | Calmar 0.3
Vol 14% | MDD -7.9%
Months 7M (3%)
CAGR -2.5% | Win 46%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 20% | MDD -20.6%
Months 13M (5%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
MACD
only
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.6% | Win 59%
Sharpe 0.53 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -48.3%
Months 165M (68%)
CAGR 17.9% | Win 66%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.3
Vol 33% | MDD -52.0%
Months 59M (24%)
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
RSmean
neg
CAGR -3.6% | Win 43%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.3
Vol 18% | MDD -14.2%
Months 14M (6%)
CAGR 5.6% | Win 67%
Sharpe 0.37 | Sortino 0.69 | Calmar 0.7
Vol 18% | MDD -7.5%
Months 6M (2%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
RSI
only
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.7% | Win 60%
Sharpe 0.48 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -37.0%
Months 126M (52%)
CAGR 15.7% | Win 63%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.3
Vol 27% | MDD -59.2%
Months 98M (40%)
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
RSmean
neg
CAGR -1.9% | Win 33%
Sharpe -0.01 | Sortino -0.09 | Calmar -0.4
Vol 23% | MDD -4.2%
Months 3M (1%)
CAGR -0.8% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 17M (7%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
MACDhist
only
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.9% | Win 61%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 139M (57%)
CAGR 9.8% | Win 61%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 32% | MDD -52.0%
Months 85M (35%)
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
RSmean
neg
CAGR 18.8% | Win 67%
Sharpe 0.95 | Sortino 0.00 | Calmar 0.0
Vol 20% | MDD 0.0%
Months 3M (1%)
CAGR -4.0% | Win 47%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.2
Vol 18% | MDD -20.6%
Months 17M (7%)
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 14.1% | Win 60%
Sharpe 0.69 | Sortino 0.98 | Calmar 0.4
Vol 23% | MDD -37.7%
Months 179M (73%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
CAGR 11.7% | Win 61%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 25% | MDD -59.2%
Months 224M (92%)
RSmean
neg
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
-
CAGR -0.9% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 17% | MDD -20.6%
Months 20M (8%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 58%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 22% | MDD -46.4%
Months 155M (64%)
CAGR 0.0% | Win 56%
Sharpe 0.16 | Sortino 0.28 | Calmar 0.0
Vol 32% | MDD -38.7%
Months 23M (9%)
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
MACD
neg
CAGR -0.8% | Win 58%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 18% | MDD -18.5%
Months 24M (10%)
CAGR 27.0% | Win 71%
Sharpe 0.93 | Sortino 1.06 | Calmar 0.7
Vol 32% | MDD -41.6%
Months 42M (17%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
RSI
only
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.6% | Win 57%
Sharpe 0.44 | Sortino 0.56 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 112M (46%)
CAGR 10.5% | Win 59%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.4
Vol 24% | MDD -28.0%
Months 66M (27%)
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
MACD
neg
CAGR 14.3% | Win 71%
Sharpe 0.65 | Sortino 1.45 | Calmar 0.7
Vol 25% | MDD -21.2%
Months 17M (7%)
CAGR 16.7% | Win 65%
Sharpe 0.69 | Sortino 0.77 | Calmar 0.4
Vol 28% | MDD -47.5%
Months 49M (20%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
MACDhist
only
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.7% | Win 58%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.5
Vol 20% | MDD -24.3%
Months 105M (43%)
CAGR 4.4% | Win 57%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 28% | MDD -46.9%
Months 73M (30%)
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
MACD
neg
CAGR 17.0% | Win 70%
Sharpe 0.85 | Sortino 1.29 | Calmar 0.6
Vol 21% | MDD -26.7%
Months 37M (15%)
CAGR 15.0% | Win 62%
Sharpe 0.58 | Sortino 0.68 | Calmar 0.3
Vol 34% | MDD -46.9%
Months 29M (12%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 11.0% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 158M (65%)
CAGR -8.5% | Win 60%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.2
Vol 29% | MDD -35.2%
Months 20M (8%)
CAGR 8.7% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -50.8%
Months 178M (73%)
MACD
neg
CAGR 18.0% | Win 66%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.9
Vol 22% | MDD -21.2%
Months 41M (17%)
CAGR 13.0% | Win 68%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.3
Vol 35% | MDD -41.6%
Months 25M (10%)
CAGR 16.1% | Win 67%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.3
Vol 28% | MDD -47.5%
Months 66M (27%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.6% | Win 58%
Sharpe 0.52 | Sortino 0.67 | Calmar 0.3
Vol 23% | MDD -37.0%
Months 113M (46%)
CAGR 6.5% | Win 58%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -26.7%
Months 66M (27%)
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
RSI
neg
CAGR 0.5% | Win 62%
Sharpe 0.15 | Sortino 0.36 | Calmar 0.0
Vol 28% | MDD -19.8%
Months 16M (7%)
CAGR 22.6% | Win 67%
Sharpe 0.79 | Sortino 0.98 | Calmar 0.4
Vol 33% | MDD -52.0%
Months 49M (20%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
MACDhist
only
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.4% | Win 60%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.4
Vol 19% | MDD -28.3%
Months 121M (50%)
CAGR 4.5% | Win 55%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.1
Vol 26% | MDD -43.1%
Months 58M (24%)
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
RSI
neg
CAGR 29.2% | Win 71%
Sharpe 1.22 | Sortino 1.80 | Calmar 1.5
Vol 23% | MDD -19.3%
Months 21M (9%)
CAGR 11.2% | Win 64%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 35% | MDD -52.0%
Months 44M (18%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.4% | Win 58%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 22% | MDD -39.2%
Months 166M (68%)
CAGR -13.5% | Win 62%
Sharpe -0.66 | Sortino -0.78 | Calmar -0.6
Vol 19% | MDD -23.7%
Months 13M (5%)
CAGR 8.5% | Win 58%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -49.5%
Months 179M (73%)
RSI
neg
CAGR 23.3% | Win 67%
Sharpe 0.90 | Sortino 1.60 | Calmar 1.2
Vol 27% | MDD -19.8%
Months 33M (14%)
CAGR 10.3% | Win 66%
Sharpe 0.46 | Sortino 0.58 | Calmar 0.2
Vol 36% | MDD -52.0%
Months 32M (13%)
CAGR 16.7% | Win 66%
Sharpe 0.65 | Sortino 0.89 | Calmar 0.3
Vol 32% | MDD -52.0%
Months 65M (27%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.87 | Calmar 0.4
Vol 21% | MDD -26.7%
Months 102M (42%)
CAGR 4.1% | Win 63%
Sharpe 0.30 | Sortino 0.32 | Calmar 0.1
Vol 31% | MDD -32.0%
Months 27M (11%)
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
MACDhist
neg
CAGR 22.2% | Win 70%
Sharpe 1.27 | Sortino 1.84 | Calmar 1.1
Vol 17% | MDD -19.3%
Months 40M (16%)
CAGR 8.5% | Win 57%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 30% | MDD -54.1%
Months 75M (31%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.0% | Win 58%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.2
Vol 24% | MDD -37.8%
Months 125M (51%)
CAGR -8.4% | Win 75%
Sharpe -0.48 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 4M (2%)
CAGR 8.4% | Win 59%
Sharpe 0.47 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -37.0%
Months 129M (53%)
MACDhist
neg
CAGR 18.5% | Win 61%
Sharpe 0.91 | Sortino 1.71 | Calmar 0.8
Vol 21% | MDD -21.9%
Months 74M (30%)
CAGR 4.0% | Win 63%
Sharpe 0.29 | Sortino 0.37 | Calmar 0.1
Vol 33% | MDD -54.8%
Months 41M (17%)
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -59.2%
Months 115M (47%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.5% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 119M (49%)
CAGR 15.8% | Win 70%
Sharpe 0.89 | Sortino 1.29 | Calmar 1.6
Vol 18% | MDD -10.1%
Months 23M (9%)
CAGR 13.0% | Win 61%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.5
Vol 20% | MDD -26.7%
Months 142M (58%)
RSIhist
neg
CAGR 12.4% | Win 59%
Sharpe 0.59 | Sortino 0.79 | Calmar 0.4
Vol 26% | MDD -33.7%
Months 80M (33%)
CAGR -9.2% | Win 59%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.2
Vol 42% | MDD -52.0%
Months 22M (9%)
CAGR 7.3% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 30% | MDD -54.1%
Months 102M (42%)
LWTI
only
CAGR 12.5% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 23% | MDD -39.2%
Months 199M (82%)
CAGR 2.8% | Win 64%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -54.8%
Months 45M (18%)