PPLT - abrdn Physical Platinum Shares ETF

Signal Pair Analysis

MACD-RSIhist

Best Pair

36.5%

Best CAGR

56

Total Months

-0.1%

Avg CAGR

PPLT 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 PPLT

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 MACD pos-pos 19 9.7 36.5 63.2 1.0 1.9 1.8 36.8 -20.1
pair MACD RSIhist pos-pos 19 9.7 36.5 63.2 1.0 1.9 1.8 36.8 -20.1
pair MACD SLmean pos-pos 20 10.2 32.0 60.0 0.9 1.8 1.6 36.1 -20.1
pair SLmean MACD pos-pos 20 10.2 32.0 60.0 0.9 1.8 1.6 36.1 -20.1
pair RSIhist RSmean neg-pos 13 6.6 32.0 53.8 1.5 5.9 3.0 19.7 -10.8
pair RSmean RSIhist neg-pos 13 6.6 32.0 53.8 1.5 5.9 3.0 19.7 -10.8
pair MRmean MACD pos-pos 22 11.2 20.8 54.5 0.7 1.4 0.7 35.5 -29.6
pair MACD MRmean pos-pos 22 11.2 20.8 54.5 0.7 1.4 0.7 35.5 -29.6
pair SLmean MRmean pos-neg 13 6.6 20.0 61.5 1.1 2.2 2.0 18.4 -10.1
pair MRmean SLmean pos-neg 13 6.6 20.0 61.5 1.1 2.2 2.0 18.4 -10.1
pair LWTI RSmean neg-neg 4 2.0 17.7 50.0 0.8 3.1 3.1 23.5 -5.7
pair RSmean LWTI neg-neg 4 2.0 17.7 50.0 0.8 3.1 3.1 23.5 -5.7
pair RSIhist SLmean neg-pos 17 8.7 17.6 58.8 1.0 2.3 1.3 17.2 -13.2
pair SLmean RSIhist neg-pos 17 8.7 17.6 58.8 1.0 2.3 1.3 17.2 -13.2
pair MACD LWTI pos-pos 27 13.8 17.5 55.6 0.6 1.3 0.6 33.1 -28.4
pair LWTI MACD pos-pos 27 13.8 17.5 55.6 0.6 1.3 0.6 33.1 -28.4
pair MACDhist MACD pos-pos 23 11.7 17.4 52.2 0.6 1.3 0.5 35.0 -32.3
pair MACD MACDhist pos-pos 23 11.7 17.4 52.2 0.6 1.3 0.5 35.0 -32.3
pair RSI MACDhist neg-neg 79 40.3 12.7 60.8 0.7 1.1 0.3 20.7 -39.6
pair MACDhist RSI neg-neg 79 40.3 12.7 60.8 0.7 1.1 0.3 20.7 -39.6
pair MACDhist MRmean neg-neg 83 42.3 12.2 61.4 0.7 1.1 0.3 19.9 -36.7
pair MRmean MACDhist neg-neg 83 42.3 12.2 61.4 0.7 1.1 0.3 19.9 -36.7
pair MACD SLmean neg-neg 102 52.0 11.8 58.8 0.7 1.1 0.3 19.8 -38.7
pair SLmean MACD neg-neg 102 52.0 11.8 58.8 0.7 1.1 0.3 19.8 -38.7
pair SLmean LWTI neg-neg 50 25.5 11.0 64.0 0.7 1.1 0.4 17.6 -27.0
pair LWTI SLmean neg-neg 50 25.5 11.0 64.0 0.7 1.1 0.4 17.6 -27.0
pair SLmean RSI neg-neg 97 49.5 10.9 58.8 0.6 1.0 0.3 19.8 -38.7
pair RSI SLmean neg-neg 97 49.5 10.9 58.8 0.6 1.0 0.3 19.8 -38.7
pair SLmean RSmean neg-pos 91 46.4 10.5 58.2 0.6 1.2 0.3 19.4 -32.1
pair RSmean SLmean neg-pos 91 46.4 10.5 58.2 0.6 1.2 0.3 19.4 -32.1
pair MACDhist SLmean neg-neg 74 37.8 10.4 60.8 0.6 1.0 0.3 19.1 -30.4
pair SLmean MACDhist neg-neg 74 37.8 10.4 60.8 0.6 1.0 0.3 19.1 -30.4
pair RSIhist RSmean pos-neg 84 42.9 10.3 58.3 0.6 1.1 0.3 19.6 -30.4
pair RSmean RSIhist pos-neg 84 42.9 10.3 58.3 0.6 1.1 0.3 19.6 -30.4
pair RSIhist RSI neg-neg 86 43.9 10.3 59.3 0.6 1.0 0.3 20.4 -36.6
pair RSI RSIhist neg-neg 86 43.9 10.3 59.3 0.6 1.0 0.3 20.4 -36.6
pair RSmean MRmean neg-pos 92 46.9 9.7 58.7 0.6 1.0 0.3 20.2 -36.7
pair MRmean RSmean neg-pos 92 46.9 9.7 58.7 0.6 1.0 0.3 20.2 -36.7
pair RSmean RSI pos-neg 107 54.6 9.0 57.0 0.5 0.9 0.2 21.0 -45.0
pair RSI RSmean pos-neg 107 54.6 9.0 57.0 0.5 0.9 0.2 21.0 -45.0
pair MACD RSI pos-pos 26 13.3 8.9 50.0 0.4 0.9 0.2 33.8 -40.1
pair RSI MACD pos-pos 26 13.3 8.9 50.0 0.4 0.9 0.2 33.8 -40.1
pair RSmean MACD pos-pos 32 16.3 8.8 53.1 0.4 0.9 0.2 31.4 -37.6
single MACD MACD pos-pos 32 16.3 8.8 53.1 0.4 0.9 0.2 31.4 -37.6
pair MACD RSmean pos-pos 32 16.3 8.8 53.1 0.4 0.9 0.2 31.4 -37.6
pair MRmean LWTI neg-neg 60 30.6 8.7 61.7 0.5 0.8 0.3 18.9 -33.5
pair LWTI MRmean neg-neg 60 30.6 8.7 61.7 0.5 0.8 0.3 18.9 -33.5
pair MRmean MACD neg-neg 105 53.6 8.5 57.1 0.5 0.8 0.2 20.5 -43.1
pair MACD MRmean neg-neg 105 53.6 8.5 57.1 0.5 0.8 0.2 20.5 -43.1
pair RSI MACD pos-neg 6 3.1 8.4 66.7 0.5 1.6 0.9 19.9 -9.4
pair MACD RSI pos-neg 6 3.1 8.4 66.7 0.5 1.6 0.9 19.9 -9.4
pair LWTI RSI neg-neg 70 35.7 8.2 60.0 0.5 0.8 0.2 20.8 -33.5
pair RSI LWTI neg-neg 70 35.7 8.2 60.0 0.5 0.8 0.2 20.8 -33.5
pair RSIhist MRmean neg-pos 23 11.7 8.1 56.5 0.5 0.7 0.4 21.5 -22.6
pair MRmean RSI neg-neg 100 51.0 8.1 58.0 0.5 0.8 0.2 20.5 -43.1
pair MRmean RSIhist neg-pos 23 11.7 8.1 56.5 0.5 0.7 0.4 21.5 -22.6
pair RSI MRmean neg-neg 100 51.0 8.1 58.0 0.5 0.8 0.2 20.5 -43.1
single SLmean SLmean neg-neg 114 58.2 7.7 57.0 0.5 0.8 0.2 19.9 -38.7
pair MACDhist RSmean pos-neg 86 43.9 7.6 58.1 0.5 0.8 0.2 20.6 -40.2
pair RSmean MACDhist pos-neg 86 43.9 7.6 58.1 0.5 0.8 0.2 20.6 -40.2
pair RSIhist LWTI neg-neg 44 22.4 7.5 61.4 0.5 0.8 0.3 18.0 -27.0
pair LWTI RSIhist neg-neg 44 22.4 7.5 61.4 0.5 0.8 0.3 18.0 -27.0
pair RSIhist MACD neg-neg 93 47.4 7.4 58.1 0.4 0.7 0.2 21.2 -38.4
pair MACD RSIhist neg-neg 93 47.4 7.4 58.1 0.4 0.7 0.2 21.2 -38.4
single RSI RSI neg-neg 127 64.8 7.3 55.9 0.4 0.7 0.1 21.1 -48.5
pair RSI MACD neg-neg 121 61.7 7.3 55.4 0.4 0.7 0.1 21.3 -48.5
pair MACD RSI neg-neg 121 61.7 7.3 55.4 0.4 0.7 0.1 21.3 -48.5
pair SLmean MRmean neg-pos 14 7.1 7.1 57.1 0.4 0.5 0.3 23.7 -23.0
pair MRmean SLmean neg-pos 14 7.1 7.1 57.1 0.4 0.5 0.3 23.7 -23.0
pair MACDhist RSIhist neg-neg 76 38.8 6.7 59.2 0.4 0.6 0.2 20.8 -32.9
pair RSIhist MACDhist neg-neg 76 38.8 6.7 59.2 0.4 0.6 0.2 20.8 -32.9
pair MACDhist MACD neg-neg 94 48.0 6.4 57.4 0.4 0.6 0.1 21.2 -46.7
pair MACD MACDhist neg-neg 94 48.0 6.4 57.4 0.4 0.6 0.1 21.2 -46.7
single MRmean MRmean neg-neg 115 58.7 6.3 56.5 0.4 0.6 0.1 20.5 -43.1
pair MRmean SLmean neg-neg 101 51.5 6.2 56.4 0.4 0.7 0.2 20.1 -39.0
pair SLmean MRmean neg-neg 101 51.5 6.2 56.4 0.4 0.7 0.2 20.1 -39.0
pair LWTI MACD neg-neg 73 37.2 6.2 57.5 0.4 0.7 0.2 20.5 -35.0
pair MACD LWTI neg-neg 73 37.2 6.2 57.5 0.4 0.7 0.2 20.5 -35.0
pair LWTI RSI neg-pos 57 29.1 6.2 50.9 0.4 0.7 0.1 21.7 -48.9
pair RSI LWTI neg-pos 57 29.1 6.2 50.9 0.4 0.7 0.1 21.7 -48.9
pair RSIhist SLmean neg-neg 97 49.5 6.1 56.7 0.4 0.6 0.2 20.3 -37.0
pair SLmean RSIhist neg-neg 97 49.5 6.1 56.7 0.4 0.6 0.2 20.3 -37.0
pair MACDhist LWTI neg-pos 47 24.0 6.0 57.4 0.4 0.6 0.2 22.6 -29.7
pair LWTI MACDhist neg-pos 47 24.0 6.0 57.4 0.4 0.6 0.2 22.6 -29.7
pair RSIhist MRmean neg-neg 92 46.9 5.9 56.5 0.4 0.6 0.2 20.3 -36.6
pair MRmean RSIhist neg-neg 92 46.9 5.9 56.5 0.4 0.6 0.2 20.3 -36.6
pair LWTI SLmean neg-pos 64 32.7 5.3 51.6 0.3 0.6 0.1 21.6 -44.0
pair SLmean LWTI neg-pos 64 32.7 5.3 51.6 0.3 0.6 0.1 21.6 -44.0
single MACDhist MACDhist neg-neg 103 52.6 4.9 57.3 0.3 0.5 0.1 21.0 -46.7
pair MRmean RSI pos-neg 27 13.8 4.3 48.1 0.3 0.6 0.2 23.6 -25.4
pair RSI MRmean pos-neg 27 13.8 4.3 48.1 0.3 0.6 0.2 23.6 -25.4
pair LWTI MACDhist neg-neg 56 28.6 3.9 57.1 0.3 0.5 0.1 19.8 -33.5
pair MACDhist LWTI neg-neg 56 28.6 3.9 57.1 0.3 0.5 0.1 19.8 -33.5
pair LWTI MRmean neg-pos 55 28.1 3.8 50.9 0.3 0.5 0.1 22.2 -46.1
pair MRmean LWTI neg-pos 55 28.1 3.8 50.9 0.3 0.5 0.1 22.2 -46.1
single LWTI LWTI neg-neg 78 39.8 3.6 56.4 0.3 0.5 0.1 20.4 -35.0
single RSIhist RSIhist neg-neg 106 54.1 3.3 55.7 0.3 0.4 0.1 21.0 -38.4
pair SLmean MACDhist neg-pos 40 20.4 3.0 50.0 0.2 0.4 0.1 21.3 -26.5
pair MACDhist SLmean neg-pos 40 20.4 3.0 50.0 0.2 0.4 0.1 21.3 -26.5
pair LWTI RSmean pos-neg 74 37.8 2.8 56.8 0.2 0.4 0.1 20.4 -35.0
pair RSmean LWTI pos-neg 74 37.8 2.8 56.8 0.2 0.4 0.1 20.4 -35.0
pair MACDhist LWTI pos-neg 22 11.2 2.7 54.5 0.2 0.5 0.2 22.3 -11.0
pair LWTI MACDhist pos-neg 22 11.2 2.7 54.5 0.2 0.5 0.2 22.3 -11.0
single RSmean RSmean pos-pos 161 82.1 1.9 50.9 0.2 0.4 0.0 23.0 -53.7
pair RSmean MRmean pos-neg 12 6.1 1.7 50.0 0.2 0.3 0.1 28.9 -14.0
pair MRmean RSmean pos-neg 12 6.1 1.7 50.0 0.2 0.3 0.1 28.9 -14.0
pair RSIhist RSI neg-pos 41 20.9 1.3 48.8 0.2 0.3 0.0 22.8 -38.4
pair RSI RSIhist neg-pos 41 20.9 1.3 48.8 0.2 0.3 0.0 22.8 -38.4
pair RSmean LWTI pos-pos 87 44.4 1.1 46.0 0.2 0.4 0.0 25.2 -53.3
pair LWTI RSmean pos-pos 87 44.4 1.1 46.0 0.2 0.4 0.0 25.2 -53.3
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 0.9 50.5 0.1 0.3 0.0 23.1 -63.5
pair benchmark___benchmark_ benchmark-benchmark 196 100.0 0.9 50.5 0.1 0.3 0.0 23.1 -63.5
pair MACDhist RSmean neg-pos 18 9.2 0.9 44.4 0.2 0.2 0.1 24.8 -16.3
pair RSmean MACDhist neg-pos 18 9.2 0.9 44.4 0.2 0.2 0.1 24.8 -16.3
pair LWTI RSIhist neg-pos 62 31.6 0.4 51.6 0.1 0.2 0.0 23.0 -41.8
pair RSIhist LWTI neg-pos 62 31.6 0.4 51.6 0.1 0.2 0.0 23.0 -41.8
pair RSmean MACD pos-neg 129 65.8 0.3 50.4 0.1 0.2 0.0 20.6 -53.7
pair MACD RSmean pos-neg 129 65.8 0.3 50.4 0.1 0.2 0.0 20.6 -53.7
pair MACDhist RSIhist neg-pos 27 13.8 -0.0 51.9 0.1 0.2 -0.0 22.0 -30.5
pair RSIhist MACDhist neg-pos 27 13.8 -0.0 51.9 0.1 0.2 -0.0 22.0 -30.5
single MACD MACD neg-neg 164 83.7 -0.6 50.0 0.1 0.1 -0.0 21.2 -63.5
single LWTI LWTI pos-pos 118 60.2 -0.8 46.6 0.1 0.2 -0.0 24.9 -65.1
pair MACDhist MRmean pos-pos 61 31.1 -1.0 42.6 0.1 0.2 -0.0 27.2 -51.0
pair MRmean MACDhist pos-pos 61 31.1 -1.0 42.6 0.1 0.2 -0.0 27.2 -51.0
pair MACDhist RSI neg-pos 48 24.5 -1.0 47.9 0.1 0.1 -0.0 21.8 -37.5
pair RSI MACDhist neg-pos 48 24.5 -1.0 47.9 0.1 0.1 -0.0 21.8 -37.5
pair LWTI RSIhist pos-neg 34 17.3 -1.3 50.0 0.1 0.1 -0.1 23.4 -27.4
pair RSIhist LWTI pos-neg 34 17.3 -1.3 50.0 0.1 0.1 -0.1 23.4 -27.4
pair RSI RSmean neg-neg 20 10.2 -1.4 50.0 0.1 0.1 -0.1 22.2 -23.8
pair RSmean RSI neg-neg 20 10.2 -1.4 50.0 0.1 0.1 -0.1 22.2 -23.8
single RSIhist RSIhist pos-pos 90 45.9 -1.8 44.4 0.1 0.1 -0.0 25.5 -57.8
pair RSIhist LWTI pos-pos 56 28.6 -2.1 41.1 0.1 0.1 -0.0 26.9 -55.8
pair LWTI RSIhist pos-pos 56 28.6 -2.1 41.1 0.1 0.1 -0.0 26.9 -55.8
pair RSIhist MACDhist pos-pos 63 32.1 -2.5 41.3 0.0 0.1 -0.1 27.0 -54.8
pair RSmean SLmean neg-neg 23 11.7 -2.5 52.2 -0.0 -0.0 -0.1 21.8 -30.5
pair SLmean RSmean neg-neg 23 11.7 -2.5 52.2 -0.0 -0.0 -0.1 21.8 -30.5
pair MACDhist RSIhist pos-pos 63 32.1 -2.5 41.3 0.0 0.1 -0.1 27.0 -54.8
single MACDhist MACDhist pos-pos 93 47.4 -3.3 43.0 -0.0 -0.0 -0.1 25.4 -63.5
pair RSI SLmean pos-neg 30 15.3 -3.4 46.7 -0.0 -0.0 -0.1 25.2 -37.4
pair SLmean RSI pos-neg 30 15.3 -3.4 46.7 -0.0 -0.0 -0.1 25.2 -37.4
single RSmean RSmean neg-neg 35 17.9 -3.5 48.6 -0.0 -0.0 -0.1 23.8 -32.2
pair RSmean MACD neg-neg 35 17.9 -3.5 48.6 -0.0 -0.0 -0.1 23.8 -32.2
pair MACD RSmean neg-neg 35 17.9 -3.5 48.6 -0.0 -0.0 -0.1 23.8 -32.2
pair RSI RSIhist pos-pos 49 25.0 -4.3 40.8 -0.0 -0.1 -0.1 27.8 -59.3
pair RSIhist RSI pos-pos 49 25.0 -4.3 40.8 -0.0 -0.1 -0.1 27.8 -59.3
pair RSmean MACDhist pos-pos 75 38.3 -4.3 42.7 -0.1 -0.1 -0.1 25.7 -60.5
pair MACDhist RSmean pos-pos 75 38.3 -4.3 42.7 -0.1 -0.1 -0.1 25.7 -60.5
pair MRmean LWTI pos-pos 63 32.1 -4.7 42.9 -0.1 -0.1 -0.1 27.1 -59.6
pair LWTI MRmean pos-pos 63 32.1 -4.7 42.9 -0.1 -0.1 -0.1 27.1 -59.6
pair MRmean RSI neg-pos 15 7.7 -4.8 46.7 -0.1 -0.2 -0.2 20.3 -23.7
pair RSI MRmean neg-pos 15 7.7 -4.8 46.7 -0.1 -0.2 -0.2 20.3 -23.7
pair RSIhist MACDhist pos-neg 30 15.3 -4.9 46.7 -0.1 -0.2 -0.2 21.8 -23.3
pair RSIhist MRmean pos-pos 67 34.2 -4.9 40.3 -0.1 -0.1 -0.1 26.8 -59.4
pair MRmean RSIhist pos-pos 67 34.2 -4.9 40.3 -0.1 -0.1 -0.1 26.8 -59.4
pair MACDhist RSIhist pos-neg 30 15.3 -4.9 46.7 -0.1 -0.2 -0.2 21.8 -23.3
pair LWTI MACDhist pos-pos 71 36.2 -5.1 39.4 -0.1 -0.1 -0.1 26.4 -66.6
pair MACDhist LWTI pos-pos 71 36.2 -5.1 39.4 -0.1 -0.1 -0.1 26.4 -66.6
pair RSmean SLmean pos-neg 12 6.1 -5.4 41.7 -0.1 -0.1 -0.3 28.4 -16.7
pair SLmean RSmean pos-neg 12 6.1 -5.4 41.7 -0.1 -0.1 -0.3 28.4 -16.7
pair MACDhist RSI pos-pos 45 23.0 -5.6 37.8 -0.1 -0.2 -0.1 28.9 -57.6
pair RSI MACDhist pos-pos 45 23.0 -5.6 37.8 -0.1 -0.2 -0.1 28.9 -57.6
pair LWTI MACD neg-pos 91 46.4 -5.7 44.0 -0.2 -0.3 -0.1 21.8 -65.1
pair MACD LWTI neg-pos 91 46.4 -5.7 44.0 -0.2 -0.3 -0.1 21.8 -65.1
pair SLmean RSIhist pos-pos 73 37.2 -5.8 41.1 -0.1 -0.2 -0.1 27.1 -62.8
pair RSIhist SLmean pos-pos 73 37.2 -5.8 41.1 -0.1 -0.2 -0.1 27.1 -62.8
pair RSmean LWTI neg-pos 31 15.8 -6.0 48.4 -0.1 -0.2 -0.2 24.2 -35.7
pair LWTI RSmean neg-pos 31 15.8 -6.0 48.4 -0.1 -0.2 -0.2 24.2 -35.7
pair MRmean RSmean neg-neg 23 11.7 -6.2 47.8 -0.2 -0.2 -0.2 21.4 -31.7
pair RSmean MRmean neg-neg 23 11.7 -6.2 47.8 -0.2 -0.2 -0.2 21.4 -31.7
single MRmean MRmean pos-pos 81 41.3 -6.3 42.0 -0.1 -0.2 -0.1 26.5 -66.6
pair RSI RSmean neg-pos 15 7.7 -6.3 46.7 -0.1 -0.2 -0.2 26.6 -25.2
pair RSmean RSI neg-pos 15 7.7 -6.3 46.7 -0.1 -0.2 -0.2 26.6 -25.2
pair RSIhist RSmean pos-pos 77 39.3 -6.6 42.9 -0.1 -0.3 -0.1 26.2 -65.8
pair RSmean RSIhist pos-pos 77 39.3 -6.6 42.9 -0.1 -0.3 -0.1 26.2 -65.8
pair LWTI RSI pos-pos 61 31.1 -6.9 42.6 -0.1 -0.2 -0.1 27.5 -68.7
pair RSI LWTI pos-pos 61 31.1 -6.9 42.6 -0.1 -0.2 -0.1 27.5 -68.7
pair MRmean MACDhist neg-pos 32 16.3 -7.4 43.8 -0.2 -0.4 -0.3 21.7 -25.5
pair MACDhist MRmean neg-pos 32 16.3 -7.4 43.8 -0.2 -0.4 -0.3 21.7 -25.5
pair LWTI SLmean pos-pos 54 27.6 -7.5 40.7 -0.1 -0.3 -0.1 28.3 -62.3
pair SLmean LWTI pos-pos 54 27.6 -7.5 40.7 -0.1 -0.3 -0.1 28.3 -62.3
pair MRmean RSmean pos-pos 69 35.2 -7.7 40.6 -0.2 -0.4 -0.1 26.3 -66.8
pair RSmean MRmean pos-pos 69 35.2 -7.7 40.6 -0.2 -0.4 -0.1 26.3 -66.8
pair SLmean MACDhist pos-pos 53 27.0 -7.8 37.7 -0.1 -0.4 -0.1 28.2 -59.3
pair MACDhist SLmean pos-pos 53 27.0 -7.8 37.7 -0.1 -0.4 -0.1 28.2 -59.3
single SLmean SLmean pos-pos 82 41.8 -7.9 41.5 -0.2 -0.3 -0.1 27.0 -69.3
pair MACDhist SLmean pos-neg 29 14.8 -8.0 48.3 -0.2 -0.3 -0.2 25.2 -38.8
pair SLmean MACDhist pos-neg 29 14.8 -8.0 48.3 -0.2 -0.3 -0.2 25.2 -38.8
pair RSmean MACDhist neg-neg 17 8.7 -8.1 52.9 -0.2 -0.3 -0.3 23.5 -25.1
pair MACDhist RSmean neg-neg 17 8.7 -8.1 52.9 -0.2 -0.3 -0.3 23.5 -25.1
pair RSmean SLmean pos-pos 70 35.7 -8.3 41.4 -0.2 -0.4 -0.1 27.0 -68.5
pair SLmean RSmean pos-pos 70 35.7 -8.3 41.4 -0.2 -0.4 -0.1 27.0 -68.5
pair RSI SLmean neg-pos 17 8.7 -8.5 47.1 -0.3 -0.6 -0.3 20.2 -29.1
pair SLmean RSI neg-pos 17 8.7 -8.5 47.1 -0.3 -0.6 -0.3 20.2 -29.1
pair SLmean LWTI pos-neg 28 14.3 -8.5 42.9 -0.2 -0.5 -0.2 24.7 -36.6
pair LWTI SLmean pos-neg 28 14.3 -8.5 42.9 -0.2 -0.5 -0.2 24.7 -36.6
pair MACD MACDhist neg-pos 70 35.7 -9.2 40.0 -0.3 -0.7 -0.2 21.2 -54.4
pair MACDhist MACD neg-pos 70 35.7 -9.2 40.0 -0.3 -0.7 -0.2 21.2 -54.4
single RSI RSI pos-pos 69 35.2 -9.9 40.6 -0.3 -0.5 -0.1 26.3 -75.3
pair RSIhist MACD neg-pos 71 36.2 -10.1 39.4 -0.4 -0.8 -0.2 21.0 -53.3
pair MACD RSIhist neg-pos 71 36.2 -10.1 39.4 -0.4 -0.8 -0.2 21.0 -53.3
pair RSI SLmean pos-pos 52 26.5 -10.3 38.5 -0.2 -0.5 -0.1 28.2 -66.5
pair SLmean RSI pos-pos 52 26.5 -10.3 38.5 -0.2 -0.5 -0.1 28.2 -66.5
pair MACDhist MACD pos-neg 9 4.6 -10.4 55.6 -0.5 -1.8 -0.7 19.9 -14.5
pair MACD MACDhist pos-neg 9 4.6 -10.4 55.6 -0.5 -1.8 -0.7 19.9 -14.5
pair SLmean MRmean pos-pos 68 34.7 -10.7 38.2 -0.3 -0.6 -0.1 27.7 -71.7
pair MRmean SLmean pos-pos 68 34.7 -10.7 38.2 -0.3 -0.6 -0.1 27.7 -71.7
pair RSmean RSI pos-pos 54 27.6 -10.8 38.9 -0.3 -0.7 -0.2 26.5 -68.7
pair RSI RSmean pos-pos 54 27.6 -10.8 38.9 -0.3 -0.7 -0.2 26.5 -68.7
pair MRmean RSI pos-pos 54 27.6 -11.2 38.9 -0.3 -0.6 -0.2 27.9 -68.9
pair RSI MRmean pos-pos 54 27.6 -11.2 38.9 -0.3 -0.6 -0.2 27.9 -68.9
pair LWTI MRmean pos-neg 18 9.2 -11.9 38.9 -0.4 -1.0 -0.5 24.8 -23.5
pair MRmean LWTI pos-neg 18 9.2 -11.9 38.9 -0.4 -1.0 -0.5 24.8 -23.5
pair RSIhist MRmean pos-neg 14 7.1 -12.7 50.0 -0.4 -0.6 -0.6 25.6 -22.5
pair MRmean RSIhist pos-neg 14 7.1 -12.7 50.0 -0.4 -0.6 -0.6 25.6 -22.5
pair MACD MRmean neg-pos 10 5.1 -13.5 50.0 -0.7 -1.5 -0.8 19.4 -17.8
pair MRmean MACD neg-pos 10 5.1 -13.5 50.0 -0.7 -1.5 -0.8 19.4 -17.8
pair MACD MRmean pos-neg 59 30.1 -14.8 37.3 -0.6 -1.2 -0.3 21.9 -57.4
pair MRmean MACD pos-neg 59 30.1 -14.8 37.3 -0.6 -1.2 -0.3 21.9 -57.4
pair RSI MACDhist pos-neg 24 12.2 -17.3 45.8 -0.8 -1.0 -0.4 20.9 -39.3
pair MACDhist RSI pos-neg 24 12.2 -17.3 45.8 -0.8 -1.0 -0.4 20.9 -39.3
pair MACD SLmean pos-neg 62 31.6 -17.9 35.5 -0.8 -1.4 -0.3 22.5 -65.5
pair SLmean MACD pos-neg 62 31.6 -17.9 35.5 -0.8 -1.4 -0.3 22.5 -65.5
pair MACD RSI neg-pos 43 21.9 -19.6 34.9 -1.0 -1.6 -0.3 20.1 -62.9
pair RSI MACD neg-pos 43 21.9 -19.6 34.9 -1.0 -1.6 -0.3 20.1 -62.9
pair RSIhist RSmean neg-neg 22 11.2 -19.9 45.5 -0.8 -0.9 -0.4 24.9 -46.2
pair RSmean RSIhist neg-neg 22 11.2 -19.9 45.5 -0.8 -0.9 -0.4 24.9 -46.2
pair MRmean MACDhist pos-neg 20 10.2 -20.8 40.0 -0.8 -1.4 -0.6 24.0 -35.0
pair MACDhist MRmean pos-neg 20 10.2 -20.8 40.0 -0.8 -1.4 -0.6 24.0 -35.0
pair MACD SLmean neg-pos 12 6.1 -21.2 41.7 -1.2 -2.4 -1.1 18.7 -20.1
pair SLmean MACD neg-pos 12 6.1 -21.2 41.7 -1.2 -2.4 -1.1 18.7 -20.1
pair RSIhist MACD pos-neg 13 6.6 -21.9 38.5 -1.3 -2.5 -1.0 17.9 -21.7
pair MACD RSIhist pos-neg 13 6.6 -21.9 38.5 -1.3 -2.5 -1.0 17.9 -21.7
pair RSIhist RSI pos-neg 20 10.2 -22.2 40.0 -1.0 -1.3 -0.5 22.4 -41.6
pair RSI RSIhist pos-neg 20 10.2 -22.2 40.0 -1.0 -1.3 -0.5 22.4 -41.6
pair RSIhist SLmean pos-neg 9 4.6 -22.9 44.4 -0.8 -1.1 -1.0 27.5 -22.2
pair SLmean RSIhist pos-neg 9 4.6 -22.9 44.4 -0.8 -1.1 -1.0 27.5 -22.2
pair MACD LWTI pos-neg 5 2.6 -28.1 40.0 -1.8 -6.8 -1.9 17.1 -14.5
pair LWTI MACD pos-neg 5 2.6 -28.1 40.0 -1.8 -6.8 -1.9 17.1 -14.5
pair LWTI RSI pos-neg 8 4.1 -29.6 25.0 -2.7 -7.4 -1.6 12.6 -19.0
pair RSI LWTI pos-neg 8 4.1 -29.6 25.0 -2.7 -7.4 -1.6 12.6 -19.0

All Contingency Tables for PPLT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR -10.7% | Win 38%
Sharpe -0.27 | Sortino -0.58 | Calmar -0.1
Vol 28% | MDD -71.7%
Months 68M (35%)
CAGR 20.0% | Win 62%
Sharpe 1.08 | Sortino 2.22 | Calmar 2.0
Vol 18% | MDD -10.1%
Months 13M (7%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR 7.1% | Win 57%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.3
Vol 24% | MDD -23.0%
Months 14M (7%)
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -39.0%
Months 101M (52%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
SLmean
only
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -7.7% | Win 41%
Sharpe -0.18 | Sortino -0.41 | Calmar -0.1
Vol 26% | MDD -66.8%
Months 69M (35%)
CAGR 1.7% | Win 50%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.1
Vol 29% | MDD -14.0%
Months 12M (6%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR 9.7% | Win 59%
Sharpe 0.56 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -36.7%
Months 92M (47%)
CAGR -6.2% | Win 48%
Sharpe -0.19 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.7%
Months 23M (12%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
RSmean
only
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 20.8% | Win 55%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.7
Vol 36% | MDD -29.6%
Months 22M (11%)
CAGR -14.8% | Win 37%
Sharpe -0.62 | Sortino -1.19 | Calmar -0.3
Vol 22% | MDD -57.4%
Months 59M (30%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR -13.5% | Win 50%
Sharpe -0.66 | Sortino -1.53 | Calmar -0.8
Vol 19% | MDD -17.8%
Months 10M (5%)
CAGR 8.5% | Win 57%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 20% | MDD -43.1%
Months 105M (54%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
MACD
only
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -11.2% | Win 39%
Sharpe -0.29 | Sortino -0.61 | Calmar -0.2
Vol 28% | MDD -68.9%
Months 54M (28%)
CAGR 4.3% | Win 48%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.2
Vol 24% | MDD -25.4%
Months 27M (14%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR -4.8% | Win 47%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 20% | MDD -23.7%
Months 15M (8%)
CAGR 8.1% | Win 58%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 20% | MDD -43.1%
Months 100M (51%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
RSI
only
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -1.0% | Win 43%
Sharpe 0.09 | Sortino 0.21 | Calmar -0.0
Vol 27% | MDD -51.0%
Months 61M (31%)
CAGR -20.8% | Win 40%
Sharpe -0.84 | Sortino -1.36 | Calmar -0.6
Vol 24% | MDD -35.0%
Months 20M (10%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR -7.4% | Win 44%
Sharpe -0.25 | Sortino -0.40 | Calmar -0.3
Vol 22% | MDD -25.5%
Months 32M (16%)
CAGR 12.2% | Win 61%
Sharpe 0.68 | Sortino 1.06 | Calmar 0.3
Vol 20% | MDD -36.7%
Months 83M (42%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
MACDhist
only
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -4.9% | Win 40%
Sharpe -0.06 | Sortino -0.14 | Calmar -0.1
Vol 27% | MDD -59.4%
Months 67M (34%)
CAGR -12.7% | Win 50%
Sharpe -0.40 | Sortino -0.57 | Calmar -0.6
Vol 26% | MDD -22.5%
Months 14M (7%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.4
Vol 22% | MDD -22.6%
Months 23M (12%)
CAGR 5.9% | Win 56%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -36.6%
Months 92M (47%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -4.7% | Win 43%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 27% | MDD -59.6%
Months 63M (32%)
CAGR -11.9% | Win 39%
Sharpe -0.39 | Sortino -1.04 | Calmar -0.5
Vol 25% | MDD -23.5%
Months 18M (9%)
CAGR -6.3% | Win 42%
Sharpe -0.12 | Sortino -0.25 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 81M (41%)
MRmean
neg
CAGR 3.8% | Win 51%
Sharpe 0.28 | Sortino 0.47 | Calmar 0.1
Vol 22% | MDD -46.1%
Months 55M (28%)
CAGR 8.7% | Win 62%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 19% | MDD -33.5%
Months 60M (31%)
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -43.1%
Months 115M (59%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -8.3% | Win 41%
Sharpe -0.19 | Sortino -0.41 | Calmar -0.1
Vol 27% | MDD -68.5%
Months 70M (36%)
CAGR -5.4% | Win 42%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.3
Vol 28% | MDD -16.7%
Months 12M (6%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR 10.5% | Win 58%
Sharpe 0.61 | Sortino 1.18 | Calmar 0.3
Vol 19% | MDD -32.1%
Months 91M (46%)
CAGR -2.5% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 22% | MDD -30.5%
Months 23M (12%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
RSmean
only
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 32.0% | Win 60%
Sharpe 0.94 | Sortino 1.84 | Calmar 1.6
Vol 36% | MDD -20.1%
Months 20M (10%)
CAGR -17.9% | Win 36%
Sharpe -0.76 | Sortino -1.36 | Calmar -0.3
Vol 22% | MDD -65.5%
Months 62M (32%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR -21.2% | Win 42%
Sharpe -1.17 | Sortino -2.42 | Calmar -1.1
Vol 19% | MDD -20.1%
Months 12M (6%)
CAGR 11.8% | Win 59%
Sharpe 0.66 | Sortino 1.07 | Calmar 0.3
Vol 20% | MDD -38.7%
Months 102M (52%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
MACD
only
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -10.3% | Win 38%
Sharpe -0.25 | Sortino -0.53 | Calmar -0.2
Vol 28% | MDD -66.5%
Months 52M (26%)
CAGR -3.4% | Win 47%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -37.4%
Months 30M (15%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR -8.5% | Win 47%
Sharpe -0.34 | Sortino -0.57 | Calmar -0.3
Vol 20% | MDD -29.1%
Months 17M (9%)
CAGR 10.9% | Win 59%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.3
Vol 20% | MDD -38.7%
Months 97M (50%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
RSI
only
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -7.8% | Win 38%
Sharpe -0.15 | Sortino -0.36 | Calmar -0.1
Vol 28% | MDD -59.3%
Months 53M (27%)
CAGR -8.0% | Win 48%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.2
Vol 25% | MDD -38.8%
Months 29M (15%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR 3.0% | Win 50%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -26.5%
Months 40M (20%)
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 1.03 | Calmar 0.3
Vol 19% | MDD -30.4%
Months 74M (38%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
MACDhist
only
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -5.8% | Win 41%
Sharpe -0.09 | Sortino -0.20 | Calmar -0.1
Vol 27% | MDD -62.8%
Months 73M (37%)
CAGR -22.9% | Win 44%
Sharpe -0.81 | Sortino -1.08 | Calmar -1.0
Vol 28% | MDD -22.2%
Months 9M (5%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR 17.6% | Win 59%
Sharpe 1.03 | Sortino 2.32 | Calmar 1.3
Vol 17% | MDD -13.2%
Months 17M (9%)
CAGR 6.1% | Win 57%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.2
Vol 20% | MDD -37.0%
Months 97M (50%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -7.5% | Win 41%
Sharpe -0.14 | Sortino -0.29 | Calmar -0.1
Vol 28% | MDD -62.3%
Months 54M (28%)
CAGR -8.5% | Win 43%
Sharpe -0.24 | Sortino -0.45 | Calmar -0.2
Vol 25% | MDD -36.6%
Months 28M (14%)
CAGR -7.9% | Win 42%
Sharpe -0.17 | Sortino -0.34 | Calmar -0.1
Vol 27% | MDD -69.3%
Months 82M (42%)
SLmean
neg
CAGR 5.3% | Win 52%
Sharpe 0.34 | Sortino 0.59 | Calmar 0.1
Vol 22% | MDD -44.0%
Months 64M (33%)
CAGR 11.0% | Win 64%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -27.0%
Months 50M (26%)
CAGR 7.7% | Win 57%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -38.7%
Months 114M (58%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
CAGR 0.3% | Win 50%
Sharpe 0.12 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -53.7%
Months 129M (66%)
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
RSmean
neg		-
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
MACD
only
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -10.8% | Win 39%
Sharpe -0.31 | Sortino -0.72 | Calmar -0.2
Vol 26% | MDD -68.7%
Months 54M (28%)
CAGR 9.0% | Win 57%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 21% | MDD -45.0%
Months 107M (55%)
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
RSmean
neg
CAGR -6.3% | Win 47%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.3
Vol 27% | MDD -25.2%
Months 15M (8%)
CAGR -1.4% | Win 50%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.1
Vol 22% | MDD -23.8%
Months 20M (10%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
RSI
only
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -4.3% | Win 43%
Sharpe -0.05 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -60.5%
Months 75M (38%)
CAGR 7.6% | Win 58%
Sharpe 0.46 | Sortino 0.81 | Calmar 0.2
Vol 21% | MDD -40.2%
Months 86M (44%)
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
RSmean
neg
CAGR 0.9% | Win 44%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.1
Vol 25% | MDD -16.3%
Months 18M (9%)
CAGR -8.1% | Win 53%
Sharpe -0.24 | Sortino -0.28 | Calmar -0.3
Vol 24% | MDD -25.1%
Months 17M (9%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
MACDhist
only
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -6.6% | Win 43%
Sharpe -0.13 | Sortino -0.28 | Calmar -0.1
Vol 26% | MDD -65.8%
Months 77M (39%)
CAGR 10.3% | Win 58%
Sharpe 0.60 | Sortino 1.15 | Calmar 0.3
Vol 20% | MDD -30.4%
Months 84M (43%)
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
RSmean
neg
CAGR 32.0% | Win 54%
Sharpe 1.51 | Sortino 5.89 | Calmar 3.0
Vol 20% | MDD -10.8%
Months 13M (7%)
CAGR -19.9% | Win 46%
Sharpe -0.76 | Sortino -0.94 | Calmar -0.4
Vol 25% | MDD -46.2%
Months 22M (11%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 1.1% | Win 46%
Sharpe 0.17 | Sortino 0.37 | Calmar 0.0
Vol 25% | MDD -53.3%
Months 87M (44%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 74M (38%)
CAGR 1.9% | Win 51%
Sharpe 0.19 | Sortino 0.39 | Calmar 0.0
Vol 23% | MDD -53.7%
Months 161M (82%)
RSmean
neg
CAGR -6.0% | Win 48%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.2
Vol 24% | MDD -35.7%
Months 31M (16%)
CAGR 17.7% | Win 50%
Sharpe 0.78 | Sortino 3.07 | Calmar 3.1
Vol 24% | MDD -5.7%
Months 4M (2%)
CAGR -3.5% | Win 49%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 24% | MDD -32.2%
Months 35M (18%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 50%
Sharpe 0.41 | Sortino 0.89 | Calmar 0.2
Vol 34% | MDD -40.1%
Months 26M (13%)
CAGR 8.4% | Win 67%
Sharpe 0.49 | Sortino 1.60 | Calmar 0.9
Vol 20% | MDD -9.4%
Months 6M (3%)
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
MACD
neg
CAGR -19.6% | Win 35%
Sharpe -0.97 | Sortino -1.62 | Calmar -0.3
Vol 20% | MDD -62.9%
Months 43M (22%)
CAGR 7.3% | Win 55%
Sharpe 0.44 | Sortino 0.73 | Calmar 0.1
Vol 21% | MDD -48.5%
Months 121M (62%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
RSI
only
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 17.4% | Win 52%
Sharpe 0.62 | Sortino 1.30 | Calmar 0.5
Vol 35% | MDD -32.3%
Months 23M (12%)
CAGR -10.4% | Win 56%
Sharpe -0.46 | Sortino -1.82 | Calmar -0.7
Vol 20% | MDD -14.5%
Months 9M (5%)
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
MACD
neg
CAGR -9.2% | Win 40%
Sharpe -0.35 | Sortino -0.67 | Calmar -0.2
Vol 21% | MDD -54.4%
Months 70M (36%)
CAGR 6.4% | Win 57%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 94M (48%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
MACDhist
only
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 36.5% | Win 63%
Sharpe 1.02 | Sortino 1.93 | Calmar 1.8
Vol 37% | MDD -20.1%
Months 19M (10%)
CAGR -21.9% | Win 38%
Sharpe -1.28 | Sortino -2.53 | Calmar -1.0
Vol 18% | MDD -21.7%
Months 13M (7%)
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
MACD
neg
CAGR -10.1% | Win 39%
Sharpe -0.40 | Sortino -0.79 | Calmar -0.2
Vol 21% | MDD -53.3%
Months 71M (36%)
CAGR 7.4% | Win 58%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.2
Vol 21% | MDD -38.4%
Months 93M (47%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 17.5% | Win 56%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.6
Vol 33% | MDD -28.4%
Months 27M (14%)
CAGR -28.1% | Win 40%
Sharpe -1.83 | Sortino -6.78 | Calmar -1.9
Vol 17% | MDD -14.5%
Months 5M (3%)
CAGR 8.8% | Win 53%
Sharpe 0.41 | Sortino 0.91 | Calmar 0.2
Vol 31% | MDD -37.6%
Months 32M (16%)
MACD
neg
CAGR -5.7% | Win 44%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.1
Vol 22% | MDD -65.1%
Months 91M (46%)
CAGR 6.2% | Win 57%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -35.0%
Months 73M (37%)
CAGR -0.6% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 21% | MDD -63.5%
Months 164M (84%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -5.6% | Win 38%
Sharpe -0.07 | Sortino -0.16 | Calmar -0.1
Vol 29% | MDD -57.6%
Months 45M (23%)
CAGR -17.3% | Win 46%
Sharpe -0.80 | Sortino -1.04 | Calmar -0.4
Vol 21% | MDD -39.3%
Months 24M (12%)
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
RSI
neg
CAGR -1.0% | Win 48%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 22% | MDD -37.5%
Months 48M (24%)
CAGR 12.7% | Win 61%
Sharpe 0.68 | Sortino 1.15 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 79M (40%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
MACDhist
only
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -4.3% | Win 41%
Sharpe -0.03 | Sortino -0.07 | Calmar -0.1
Vol 28% | MDD -59.3%
Months 49M (25%)
CAGR -22.2% | Win 40%
Sharpe -1.00 | Sortino -1.34 | Calmar -0.5
Vol 22% | MDD -41.6%
Months 20M (10%)
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
RSI
neg
CAGR 1.3% | Win 49%
Sharpe 0.17 | Sortino 0.29 | Calmar 0.0
Vol 23% | MDD -38.4%
Months 41M (21%)
CAGR 10.3% | Win 59%
Sharpe 0.58 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -36.6%
Months 86M (44%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -6.9% | Win 43%
Sharpe -0.13 | Sortino -0.25 | Calmar -0.1
Vol 28% | MDD -68.7%
Months 61M (31%)
CAGR -29.6% | Win 25%
Sharpe -2.68 | Sortino -7.42 | Calmar -1.6
Vol 13% | MDD -19.0%
Months 8M (4%)
CAGR -9.9% | Win 41%
Sharpe -0.27 | Sortino -0.54 | Calmar -0.1
Vol 26% | MDD -75.3%
Months 69M (35%)
RSI
neg
CAGR 6.2% | Win 51%
Sharpe 0.39 | Sortino 0.68 | Calmar 0.1
Vol 22% | MDD -48.9%
Months 57M (29%)
CAGR 8.2% | Win 60%
Sharpe 0.48 | Sortino 0.78 | Calmar 0.2
Vol 21% | MDD -33.5%
Months 70M (36%)
CAGR 7.3% | Win 56%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -48.5%
Months 127M (65%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -2.5% | Win 41%
Sharpe 0.03 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -54.8%
Months 63M (32%)
CAGR -4.9% | Win 47%
Sharpe -0.12 | Sortino -0.20 | Calmar -0.2
Vol 22% | MDD -23.3%
Months 30M (15%)
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
MACDhist
neg
CAGR -0.0% | Win 52%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 22% | MDD -30.5%
Months 27M (14%)
CAGR 6.7% | Win 59%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 21% | MDD -32.9%
Months 76M (39%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
RSIhist
only
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -5.1% | Win 39%
Sharpe -0.07 | Sortino -0.15 | Calmar -0.1
Vol 26% | MDD -66.6%
Months 71M (36%)
CAGR 2.7% | Win 55%
Sharpe 0.23 | Sortino 0.45 | Calmar 0.2
Vol 22% | MDD -11.0%
Months 22M (11%)
CAGR -3.3% | Win 43%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 25% | MDD -63.5%
Months 93M (47%)
MACDhist
neg
CAGR 6.0% | Win 57%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.2
Vol 23% | MDD -29.7%
Months 47M (24%)
CAGR 3.9% | Win 57%
Sharpe 0.29 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -33.5%
Months 56M (29%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -46.7%
Months 103M (53%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -2.1% | Win 41%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -55.8%
Months 56M (29%)
CAGR -1.3% | Win 50%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 23% | MDD -27.4%
Months 34M (17%)
CAGR -1.8% | Win 44%
Sharpe 0.05 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -57.8%
Months 90M (46%)
RSIhist
neg
CAGR 0.4% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 23% | MDD -41.8%
Months 62M (32%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.3
Vol 18% | MDD -27.0%
Months 44M (22%)
CAGR 3.3% | Win 56%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -38.4%
Months 106M (54%)
LWTI
only
CAGR -0.8% | Win 47%
Sharpe 0.09 | Sortino 0.17 | Calmar -0.0
Vol 25% | MDD -65.1%
Months 118M (60%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 78M (40%)