QAT - iShares MSCI Qatar ETF

Signal Pair Analysis

MACD-RSI

Best Pair

17.4%

Best CAGR

41

Total Months

-1.6%

Avg CAGR

QAT 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 QAT

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 MACD neg-pos 9 6.3 17.4 77.8 1.8 8.9 5.9 9.4 -3.0
pair MACD RSI neg-pos 9 6.3 17.4 77.8 1.8 8.9 5.9 9.4 -3.0
pair RSmean MACD neg-pos 1 0.7 12.3 100.0 0.0 0.0 0.0 - 0.0
pair MACD RSmean neg-pos 1 0.7 12.3 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.7 12.3 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.7 12.3 100.0 0.0 0.0 0.0 - 0.0
pair SLmean MACDhist neg-pos 15 10.5 11.3 73.3 0.8 0.9 1.1 15.6 -9.9
pair MACDhist SLmean neg-pos 15 10.5 11.3 73.3 0.8 0.9 1.1 15.6 -9.9
pair RSIhist LWTI neg-neg 22 15.4 10.2 59.1 0.6 1.0 0.9 21.7 -11.6
pair LWTI RSIhist neg-neg 22 15.4 10.2 59.1 0.6 1.0 0.9 21.7 -11.6
pair SLmean RSIhist pos-neg 7 4.9 9.6 71.4 0.7 0.8 1.4 13.8 -6.9
pair RSIhist SLmean pos-neg 7 4.9 9.6 71.4 0.7 0.8 1.4 13.8 -6.9
pair MACD LWTI neg-neg 34 23.8 9.4 61.8 0.5 1.0 0.5 21.4 -19.0
pair LWTI MACD neg-neg 34 23.8 9.4 61.8 0.5 1.0 0.5 21.4 -19.0
pair MACD SLmean pos-neg 28 19.6 9.1 64.3 0.7 1.4 0.8 13.0 -11.7
pair SLmean MACD pos-neg 28 19.6 9.1 64.3 0.7 1.4 0.8 13.0 -11.7
pair RSmean MACD pos-neg 56 39.2 8.2 60.7 0.5 0.9 0.3 19.7 -31.6
pair MACD RSmean pos-neg 56 39.2 8.2 60.7 0.5 0.9 0.3 19.7 -31.6
pair RSIhist MACD neg-neg 34 23.8 7.9 58.8 0.4 0.7 0.5 25.1 -17.8
pair MACD RSIhist neg-neg 34 23.8 7.9 58.8 0.4 0.7 0.5 25.1 -17.8
pair RSI MACDhist pos-pos 59 41.3 7.7 62.7 0.7 1.2 0.7 11.6 -11.3
pair MACDhist RSI pos-pos 59 41.3 7.7 62.7 0.7 1.2 0.7 11.6 -11.3
pair MACDhist RSIhist pos-pos 53 37.1 7.3 56.6 0.6 1.2 0.5 12.3 -13.6
pair RSIhist MACDhist pos-pos 53 37.1 7.3 56.6 0.6 1.2 0.5 12.3 -13.6
pair MRmean LWTI neg-neg 29 20.3 7.2 58.6 0.4 0.7 0.4 22.7 -19.0
pair LWTI MRmean neg-neg 29 20.3 7.2 58.6 0.4 0.7 0.4 22.7 -19.0
pair LWTI MACDhist pos-pos 65 45.5 6.8 60.0 0.6 0.9 0.5 13.1 -12.9
pair MACDhist LWTI pos-pos 65 45.5 6.8 60.0 0.6 0.9 0.5 13.1 -12.9
pair MACDhist MRmean pos-pos 62 43.4 6.8 59.7 0.6 0.9 0.6 12.9 -11.8
pair MRmean MACDhist pos-pos 62 43.4 6.8 59.7 0.6 0.9 0.6 12.9 -11.8
pair MACDhist MACD pos-pos 54 37.8 6.7 61.1 0.6 1.0 0.6 11.8 -11.3
pair MACD MACDhist pos-pos 54 37.8 6.7 61.1 0.6 1.0 0.6 11.8 -11.3
pair MRmean LWTI pos-pos 65 45.5 6.3 60.0 0.6 0.9 0.4 12.7 -15.6
pair LWTI MRmean pos-pos 65 45.5 6.3 60.0 0.6 0.9 0.4 12.7 -15.6
pair SLmean LWTI pos-pos 55 38.5 6.0 58.2 0.6 0.9 0.4 12.0 -13.5
pair LWTI SLmean pos-pos 55 38.5 6.0 58.2 0.6 0.9 0.4 12.0 -13.5
single MACDhist MACDhist pos-pos 69 48.3 5.9 59.4 0.5 0.8 0.5 13.0 -12.9
pair RSmean MACDhist pos-pos 68 47.6 5.8 58.8 0.5 0.8 0.5 13.1 -12.9
pair MACDhist RSmean pos-pos 68 47.6 5.8 58.8 0.5 0.8 0.5 13.1 -12.9
pair SLmean RSI pos-neg 19 13.3 5.4 57.9 0.4 0.8 0.5 14.5 -11.7
pair RSI SLmean pos-neg 19 13.3 5.4 57.9 0.4 0.8 0.5 14.5 -11.7
pair LWTI RSI pos-pos 65 45.5 5.3 61.5 0.5 0.7 0.2 12.0 -23.3
pair RSI LWTI pos-pos 65 45.5 5.3 61.5 0.5 0.7 0.2 12.0 -23.3
pair RSmean RSIhist pos-neg 49 34.3 5.2 61.2 0.4 0.6 0.2 18.9 -20.8
pair RSIhist RSmean pos-neg 49 34.3 5.2 61.2 0.4 0.6 0.2 18.9 -20.8
pair LWTI RSmean pos-pos 81 56.6 4.9 59.3 0.4 0.6 0.2 13.8 -21.3
pair RSmean LWTI pos-pos 81 56.6 4.9 59.3 0.4 0.6 0.2 13.8 -21.3
pair RSI MRmean pos-pos 62 43.4 4.8 61.3 0.4 0.6 0.3 13.0 -17.0
pair MRmean RSI pos-pos 62 43.4 4.8 61.3 0.4 0.6 0.3 13.0 -17.0
pair RSIhist RSI pos-pos 52 36.4 4.7 59.6 0.4 0.6 0.2 13.0 -18.7
pair RSI RSIhist pos-pos 52 36.4 4.7 59.6 0.4 0.6 0.2 13.0 -18.7
pair LWTI MACD pos-pos 60 42.0 4.5 60.0 0.4 0.6 0.2 12.4 -21.3
pair MACDhist SLmean pos-pos 54 37.8 4.5 55.6 0.4 0.7 0.3 12.4 -13.1
pair MACD LWTI pos-pos 60 42.0 4.5 60.0 0.4 0.6 0.2 12.4 -21.3
pair SLmean MACDhist pos-pos 54 37.8 4.5 55.6 0.4 0.7 0.3 12.4 -13.1
pair MRmean RSIhist neg-neg 48 33.6 4.4 58.3 0.3 0.4 0.3 21.8 -16.1
pair RSIhist MRmean neg-neg 48 33.6 4.4 58.3 0.3 0.4 0.3 21.8 -16.1
pair RSIhist RSI neg-neg 41 28.7 4.3 56.1 0.3 0.4 0.2 23.6 -17.8
pair RSI RSIhist neg-neg 41 28.7 4.3 56.1 0.3 0.4 0.2 23.6 -17.8
pair SLmean RSI neg-pos 17 11.9 4.2 70.6 0.4 0.4 0.3 13.9 -13.6
pair MRmean RSIhist pos-pos 67 46.9 4.2 58.2 0.4 0.6 0.2 13.1 -18.7
pair RSIhist MRmean pos-pos 67 46.9 4.2 58.2 0.4 0.6 0.2 13.1 -18.7
pair RSI SLmean neg-pos 17 11.9 4.2 70.6 0.4 0.4 0.3 13.9 -13.6
pair LWTI SLmean neg-neg 25 17.5 4.1 56.0 0.3 0.5 0.2 24.0 -19.0
pair LWTI RSI neg-neg 37 25.9 4.1 56.8 0.3 0.5 0.2 21.1 -19.0
pair RSI LWTI neg-neg 37 25.9 4.1 56.8 0.3 0.5 0.2 21.1 -19.0
pair SLmean LWTI neg-neg 25 17.5 4.1 56.0 0.3 0.5 0.2 24.0 -19.0
pair LWTI RSIhist pos-pos 62 43.4 3.9 53.2 0.4 0.7 0.2 12.2 -21.4
pair RSIhist LWTI pos-pos 62 43.4 3.9 53.2 0.4 0.7 0.2 12.2 -21.4
pair MRmean RSmean pos-pos 75 52.4 3.4 60.0 0.3 0.5 0.2 13.7 -18.6
pair RSmean MRmean pos-pos 75 52.4 3.4 60.0 0.3 0.5 0.2 13.7 -18.6
pair SLmean RSmean neg-pos 53 37.1 3.2 58.5 0.3 0.4 0.1 20.3 -24.8
pair RSI RSmean pos-neg 55 38.5 3.2 54.5 0.3 0.5 0.1 20.2 -31.6
pair RSmean RSI pos-neg 55 38.5 3.2 54.5 0.3 0.5 0.1 20.2 -31.6
pair RSmean SLmean neg-pos 53 37.1 3.2 58.5 0.3 0.4 0.1 20.3 -24.8
pair MACDhist MACD neg-pos 15 10.5 3.1 53.3 0.3 0.4 0.2 17.2 -12.9
pair MACD MACDhist neg-pos 15 10.5 3.1 53.3 0.3 0.4 0.2 17.2 -12.9
pair MACD MRmean neg-neg 48 33.6 2.9 52.1 0.2 0.4 0.1 23.5 -31.4
single RSmean RSmean pos-pos 124 86.7 2.9 58.1 0.2 0.4 0.1 16.6 -31.6
pair MRmean MACD neg-neg 48 33.6 2.9 52.1 0.2 0.4 0.1 23.5 -31.4
pair MRmean MACD pos-pos 53 37.1 2.8 58.5 0.3 0.4 0.1 13.5 -20.6
pair MACD MRmean pos-pos 53 37.1 2.8 58.5 0.3 0.4 0.1 13.5 -20.6
pair SLmean RSmean pos-pos 71 49.7 2.6 57.7 0.3 0.4 0.1 13.3 -17.9
pair RSmean SLmean pos-pos 71 49.7 2.6 57.7 0.3 0.4 0.1 13.3 -17.9
pair RSmean RSI pos-pos 69 48.3 2.6 60.9 0.3 0.3 0.1 13.2 -25.1
pair RSI RSmean pos-pos 69 48.3 2.6 60.9 0.3 0.3 0.1 13.2 -25.1
pair SLmean MRmean pos-pos 68 47.6 2.5 57.4 0.3 0.4 0.1 13.1 -22.0
single SLmean SLmean pos-pos 73 51.0 2.5 57.5 0.2 0.4 0.1 13.3 -18.6
pair MRmean SLmean pos-pos 68 47.6 2.5 57.4 0.3 0.4 0.1 13.1 -22.0
pair MRmean SLmean neg-pos 5 3.5 2.4 60.0 0.2 0.3 0.3 17.4 -7.0
pair SLmean MRmean neg-pos 5 3.5 2.4 60.0 0.2 0.3 0.3 17.4 -7.0
pair MACD RSIhist pos-pos 43 30.1 2.2 55.8 0.2 0.3 0.1 13.6 -22.9
pair RSIhist MACD pos-pos 43 30.1 2.2 55.8 0.2 0.3 0.1 13.6 -22.9
single RSI RSI pos-pos 71 49.7 2.2 60.6 0.2 0.3 0.1 13.1 -27.3
single MACD MACD neg-neg 74 51.7 2.1 54.1 0.2 0.3 0.1 20.6 -40.8
single MRmean MRmean pos-pos 79 55.2 2.0 58.2 0.2 0.3 0.1 13.7 -23.9
pair MRmean RSmean neg-pos 49 34.3 2.0 55.1 0.2 0.3 0.1 20.4 -23.9
pair RSmean MRmean neg-pos 49 34.3 2.0 55.1 0.2 0.3 0.1 20.4 -23.9
pair RSIhist SLmean pos-pos 66 46.2 1.8 56.1 0.2 0.3 0.1 13.3 -18.7
pair SLmean RSIhist pos-pos 66 46.2 1.8 56.1 0.2 0.3 0.1 13.3 -18.7
pair MACDhist MACD neg-neg 59 41.3 1.8 54.2 0.2 0.3 0.1 21.5 -31.4
pair MACD MACDhist neg-neg 59 41.3 1.8 54.2 0.2 0.3 0.1 21.5 -31.4
pair SLmean RSI pos-pos 54 37.8 1.5 57.4 0.2 0.2 0.1 12.9 -18.0
pair RSI SLmean pos-pos 54 37.8 1.5 57.4 0.2 0.2 0.1 12.9 -18.0
single RSIhist RSIhist neg-neg 60 42.0 1.5 58.3 0.2 0.2 0.1 20.8 -20.8
pair MACDhist RSIhist neg-neg 44 30.8 1.5 54.5 0.2 0.3 0.1 22.5 -16.1
pair RSIhist MACDhist neg-neg 44 30.8 1.5 54.5 0.2 0.3 0.1 22.5 -16.1
pair MACDhist RSIhist pos-neg 16 11.2 1.4 68.8 0.2 0.2 0.2 15.8 -6.9
pair RSIhist RSmean pos-pos 75 52.4 1.4 56.0 0.2 0.2 0.1 15.0 -20.3
pair RSIhist MACDhist pos-neg 16 11.2 1.4 68.8 0.2 0.2 0.2 15.8 -6.9
pair RSmean RSIhist pos-pos 75 52.4 1.4 56.0 0.2 0.2 0.1 15.0 -20.3
single LWTI LWTI pos-pos 100 69.9 1.1 55.0 0.1 0.2 0.0 15.8 -27.2
pair MRmean RSI neg-neg 55 38.5 0.9 50.9 0.1 0.2 0.0 22.5 -31.4
pair RSI MRmean neg-neg 55 38.5 0.9 50.9 0.1 0.2 0.0 22.5 -31.4
pair MACD MRmean pos-neg 26 18.2 0.6 57.7 0.1 0.2 0.0 14.2 -14.5
pair MRmean MACD pos-neg 26 18.2 0.6 57.7 0.1 0.2 0.0 14.2 -14.5
pair RSIhist SLmean neg-neg 53 37.1 0.5 56.6 0.1 0.2 0.0 21.7 -17.8
pair SLmean RSIhist neg-neg 53 37.1 0.5 56.6 0.1 0.2 0.0 21.7 -17.8
pair benchmark___benchmark_ benchmark-benchmark 143 100.0 0.5 55.2 0.1 0.2 0.0 17.5 -40.8
pair benchmark___benchmark_ benchmark-benchmark 143 100.0 0.5 55.2 0.1 0.2 0.0 17.5 -40.8
pair MACD RSI pos-pos 62 43.4 0.1 58.1 0.1 0.1 0.0 13.5 -25.1
pair RSI MACD pos-pos 62 43.4 0.1 58.1 0.1 0.1 0.0 13.5 -25.1
pair SLmean RSmean pos-neg 2 1.4 0.1 50.0 0.1 0.0 0.0 14.8 0.0
pair RSmean SLmean pos-neg 2 1.4 0.1 50.0 0.1 0.0 0.0 14.8 0.0
pair RSI MACD neg-neg 65 45.5 0.1 50.8 0.1 0.2 0.0 21.7 -40.8
pair MACD RSI neg-neg 65 45.5 0.1 50.8 0.1 0.2 0.0 21.7 -40.8
single RSIhist RSIhist pos-pos 83 58.0 -0.2 53.0 0.1 0.1 -0.0 14.7 -30.6
pair MACDhist LWTI neg-neg 39 27.3 -0.3 56.4 0.1 0.2 -0.0 21.9 -19.8
pair LWTI MACDhist neg-neg 39 27.3 -0.3 56.4 0.1 0.2 -0.0 21.9 -19.8
pair MACD SLmean neg-pos 24 16.8 -0.6 62.5 0.0 0.0 -0.0 13.8 -14.4
pair SLmean MACD neg-pos 24 16.8 -0.6 62.5 0.0 0.0 -0.0 13.8 -14.4
pair MACDhist RSI neg-neg 62 43.4 -0.6 51.6 0.1 0.1 -0.0 21.3 -31.4
pair MACDhist RSmean pos-neg 56 39.2 -0.6 57.1 0.1 0.1 -0.0 20.1 -21.4
pair RSmean MACDhist pos-neg 56 39.2 -0.6 57.1 0.1 0.1 -0.0 20.1 -21.4
pair RSI MACDhist neg-neg 62 43.4 -0.6 51.6 0.1 0.1 -0.0 21.3 -31.4
single LWTI LWTI neg-neg 43 30.1 -0.9 55.8 0.1 0.1 -0.0 21.1 -20.0
pair RSmean LWTI pos-neg 43 30.1 -0.9 55.8 0.1 0.1 -0.0 21.1 -20.0
pair LWTI RSmean pos-neg 43 30.1 -0.9 55.8 0.1 0.1 -0.0 21.1 -20.0
pair SLmean MRmean pos-neg 11 7.7 -0.9 63.6 0.0 0.1 -0.1 17.7 -9.9
pair MRmean SLmean pos-neg 11 7.7 -0.9 63.6 0.0 0.1 -0.1 17.7 -9.9
single RSI RSI neg-neg 72 50.3 -1.1 50.0 0.1 0.1 -0.0 21.0 -40.8
single MACD MACD pos-pos 69 48.3 -1.1 56.5 -0.0 -0.0 -0.0 13.5 -26.5
pair MRmean MACDhist neg-pos 7 4.9 -1.2 57.1 -0.0 -0.0 -0.1 15.3 -8.9
pair MACDhist MRmean neg-pos 7 4.9 -1.2 57.1 -0.0 -0.0 -0.1 15.3 -8.9
single MRmean MRmean neg-neg 64 44.8 -1.3 51.6 0.0 0.1 -0.0 21.4 -31.4
pair MACD RSmean pos-pos 68 47.6 -1.3 55.9 -0.0 -0.0 -0.1 13.6 -26.5
pair RSmean MACD pos-pos 68 47.6 -1.3 55.9 -0.0 -0.0 -0.1 13.6 -26.5
pair MRmean MACDhist neg-neg 57 39.9 -1.4 50.9 0.1 0.1 -0.0 22.1 -30.6
pair MACDhist MRmean neg-neg 57 39.9 -1.4 50.9 0.1 0.1 -0.0 22.1 -30.6
pair SLmean MACD pos-pos 45 31.5 -1.4 53.3 -0.0 -0.1 -0.1 13.4 -22.5
pair MACD SLmean pos-pos 45 31.5 -1.4 53.3 -0.0 -0.1 -0.1 13.4 -22.5
single SLmean SLmean neg-neg 70 49.0 -1.5 52.9 0.0 0.1 -0.0 21.1 -34.9
pair SLmean MRmean neg-neg 59 41.3 -1.6 50.8 0.0 0.1 -0.1 21.8 -27.6
pair MRmean SLmean neg-neg 59 41.3 -1.6 50.8 0.0 0.1 -0.1 21.8 -27.6
pair SLmean MACD neg-neg 46 32.2 -2.0 47.8 0.0 0.1 -0.1 24.2 -34.9
pair MACD SLmean neg-neg 46 32.2 -2.0 47.8 0.0 0.1 -0.1 24.2 -34.9
pair RSIhist MACD neg-pos 40 28.0 -2.7 50.0 -0.1 -0.1 -0.1 16.0 -30.6
pair MACD RSIhist neg-pos 40 28.0 -2.7 50.0 -0.1 -0.1 -0.1 16.0 -30.6
pair SLmean MACDhist pos-neg 19 13.3 -2.9 63.2 -0.1 -0.1 -0.2 15.8 -16.1
pair MACDhist SLmean pos-neg 19 13.3 -2.9 63.2 -0.1 -0.1 -0.2 15.8 -16.1
pair RSIhist LWTI neg-pos 38 26.6 -3.2 57.9 -0.1 -0.1 -0.2 20.5 -19.1
pair LWTI RSIhist neg-pos 38 26.6 -3.2 57.9 -0.1 -0.1 -0.2 20.5 -19.1
pair RSI SLmean neg-neg 53 37.1 -3.3 47.2 -0.0 -0.1 -0.1 23.0 -34.9
pair SLmean RSI neg-neg 53 37.1 -3.3 47.2 -0.0 -0.1 -0.1 23.0 -34.9
pair MACD LWTI neg-pos 40 28.0 -3.8 47.5 -0.1 -0.1 -0.1 20.0 -27.2
pair LWTI MACD neg-pos 40 28.0 -3.8 47.5 -0.1 -0.1 -0.1 20.0 -27.2
pair RSI MACDhist neg-pos 10 7.0 -4.1 40.0 -0.1 -0.2 -0.3 20.2 -12.9
pair MACDhist RSI neg-pos 10 7.0 -4.1 40.0 -0.1 -0.2 -0.3 20.2 -12.9
single MACDhist MACDhist neg-neg 74 51.7 -4.3 51.4 -0.1 -0.2 -0.1 20.8 -32.0
pair RSI RSIhist pos-neg 19 13.3 -4.4 63.2 -0.3 -0.3 -0.2 13.4 -18.4
pair RSIhist RSI pos-neg 19 13.3 -4.4 63.2 -0.3 -0.3 -0.2 13.4 -18.4
pair SLmean LWTI neg-pos 45 31.5 -4.5 51.1 -0.1 -0.2 -0.2 19.5 -24.5
pair LWTI SLmean neg-pos 45 31.5 -4.5 51.1 -0.1 -0.2 -0.2 19.5 -24.5
pair MACDhist SLmean neg-neg 55 38.5 -4.8 47.3 -0.1 -0.2 -0.1 22.4 -32.0
pair SLmean MACDhist neg-neg 55 38.5 -4.8 47.3 -0.1 -0.2 -0.1 22.4 -32.0
pair RSI LWTI neg-pos 35 24.5 -6.3 42.9 -0.2 -0.3 -0.2 21.2 -27.2
pair LWTI RSI neg-pos 35 24.5 -6.3 42.9 -0.2 -0.3 -0.2 21.2 -27.2
pair MACD RSIhist pos-neg 26 18.2 -6.4 57.7 -0.4 -0.5 -0.3 13.4 -24.0
pair RSIhist MACD pos-neg 26 18.2 -6.4 57.7 -0.4 -0.5 -0.3 13.4 -24.0
pair MACDhist LWTI pos-neg 4 2.8 -6.9 50.0 -0.5 -0.9 -0.9 13.4 -7.3
pair LWTI MACDhist pos-neg 4 2.8 -6.9 50.0 -0.5 -0.9 -0.9 13.4 -7.3
pair MRmean RSI pos-neg 17 11.9 -7.3 47.1 -0.4 -0.7 -0.5 16.0 -14.5
pair RSI MRmean pos-neg 17 11.9 -7.3 47.1 -0.4 -0.7 -0.5 16.0 -14.5
pair SLmean LWTI pos-neg 18 12.6 -7.5 55.6 -0.4 -0.6 -0.6 16.6 -13.6
pair SLmean RSIhist neg-pos 17 11.9 -7.5 41.2 -0.3 -0.5 -0.3 19.7 -22.4
pair RSIhist SLmean neg-pos 17 11.9 -7.5 41.2 -0.3 -0.5 -0.3 19.7 -22.4
pair LWTI SLmean pos-neg 18 12.6 -7.5 55.6 -0.4 -0.6 -0.6 16.6 -13.6
pair RSI RSIhist neg-pos 31 21.7 -7.8 41.9 -0.4 -0.6 -0.3 17.3 -30.6
pair RSIhist RSI neg-pos 31 21.7 -7.8 41.9 -0.4 -0.6 -0.3 17.3 -30.6
pair MRmean LWTI neg-pos 35 24.5 -7.9 45.7 -0.3 -0.4 -0.3 20.4 -26.3
pair LWTI MRmean neg-pos 35 24.5 -7.9 45.7 -0.3 -0.4 -0.3 20.4 -26.3
pair MACDhist LWTI neg-pos 35 24.5 -8.6 45.7 -0.3 -0.5 -0.3 19.8 -28.2
pair LWTI MACDhist neg-pos 35 24.5 -8.6 45.7 -0.3 -0.5 -0.3 19.8 -28.2
pair RSIhist MRmean pos-neg 12 8.4 -9.3 58.3 -0.5 -0.8 -0.9 16.6 -10.2
pair MRmean RSIhist pos-neg 12 8.4 -9.3 58.3 -0.5 -0.8 -0.9 16.6 -10.2
pair LWTI RSIhist pos-neg 21 14.7 -11.3 52.4 -0.5 -0.8 -0.7 20.5 -16.3
pair RSIhist LWTI pos-neg 21 14.7 -11.3 52.4 -0.5 -0.8 -0.7 20.5 -16.3
pair RSI MACD pos-neg 7 4.9 -11.5 42.9 -0.8 -0.9 -2.4 14.0 -4.8
pair MACD RSI pos-neg 7 4.9 -11.5 42.9 -0.8 -0.9 -2.4 14.0 -4.8
pair RSI RSmean neg-pos 2 1.4 -11.6 50.0 -1.2 0.0 0.0 9.6 0.0
pair RSmean RSI neg-pos 2 1.4 -11.6 50.0 -1.2 0.0 0.0 9.6 0.0
pair RSmean MRmean neg-neg 15 10.5 -11.6 40.0 -0.4 -0.5 -0.9 24.9 -12.4
pair MRmean RSmean neg-neg 15 10.5 -11.6 40.0 -0.4 -0.5 -0.9 24.9 -12.4
pair RSIhist MACDhist neg-pos 30 21.0 -12.2 46.7 -0.6 -0.9 -0.4 18.0 -30.4
pair MACDhist RSIhist neg-pos 30 21.0 -12.2 46.7 -0.6 -0.9 -0.4 18.0 -30.4
pair MACD MRmean neg-pos 16 11.2 -13.0 50.0 -1.0 -1.0 -0.6 13.0 -20.3
pair MRmean MACD neg-pos 16 11.2 -13.0 50.0 -1.0 -1.0 -0.6 13.0 -20.3
pair MACDhist MRmean pos-neg 17 11.9 -13.5 52.9 -0.8 -1.4 -0.6 15.8 -24.5
pair RSmean RSIhist neg-neg 11 7.7 -13.5 45.5 -0.4 -0.4 -1.1 28.7 -12.4
pair RSIhist RSmean neg-neg 11 7.7 -13.5 45.5 -0.4 -0.4 -1.1 28.7 -12.4
pair MRmean MACDhist pos-neg 17 11.9 -13.5 52.9 -0.8 -1.4 -0.6 15.8 -24.5
single RSmean RSmean neg-neg 19 13.3 -13.5 36.8 -0.5 -0.7 -0.6 22.5 -21.1
pair RSmean LWTI neg-pos 19 13.3 -13.5 36.8 -0.5 -0.7 -0.6 22.5 -21.1
pair LWTI RSmean neg-pos 19 13.3 -13.5 36.8 -0.5 -0.7 -0.6 22.5 -21.1
pair RSIhist RSmean neg-pos 8 5.6 -13.6 25.0 -1.3 -2.9 -1.2 11.1 -11.4
pair RSmean RSIhist neg-pos 8 5.6 -13.6 25.0 -1.3 -2.9 -1.2 11.1 -11.4
pair RSI RSmean neg-neg 17 11.9 -13.8 35.3 -0.5 -0.7 -0.7 23.7 -18.6
pair RSmean RSI neg-neg 17 11.9 -13.8 35.3 -0.5 -0.7 -0.7 23.7 -18.6
pair RSI MRmean neg-pos 9 6.3 -14.1 55.6 -1.1 -1.0 -1.0 13.0 -13.6
pair MRmean RSI neg-pos 9 6.3 -14.1 55.6 -1.1 -1.0 -1.0 13.0 -13.6
pair RSmean MACD neg-neg 18 12.6 -14.8 33.3 -0.6 -0.8 -0.7 23.1 -21.1
pair MACD RSmean neg-neg 18 12.6 -14.8 33.3 -0.6 -0.8 -0.7 23.1 -21.1
pair MACDhist RSmean neg-neg 18 12.6 -14.8 33.3 -0.6 -0.8 -0.7 23.1 -21.1
pair RSmean MACDhist neg-neg 18 12.6 -14.8 33.3 -0.6 -0.8 -0.7 23.1 -21.1
pair RSmean SLmean neg-neg 17 11.9 -15.0 35.3 -0.6 -0.7 -0.8 23.5 -18.6
pair SLmean RSmean neg-neg 17 11.9 -15.0 35.3 -0.6 -0.7 -0.8 23.5 -18.6
pair LWTI MRmean pos-neg 14 9.8 -15.7 50.0 -0.9 -1.5 -0.7 17.2 -21.2
pair MRmean LWTI pos-neg 14 9.8 -15.7 50.0 -0.9 -1.5 -0.7 17.2 -21.2
pair MRmean RSIhist neg-pos 16 11.2 -16.7 31.2 -0.8 -1.2 -0.6 19.8 -26.4
pair RSIhist MRmean neg-pos 16 11.2 -16.7 31.2 -0.8 -1.2 -0.6 19.8 -26.4
pair MRmean RSmean pos-neg 4 2.8 -20.5 25.0 -1.9 -13.0 -3.2 11.5 -6.4
pair RSmean MRmean pos-neg 4 2.8 -20.5 25.0 -1.9 -13.0 -3.2 11.5 -6.4
pair RSI MACDhist pos-neg 12 8.4 -21.4 50.0 -1.3 -1.5 -0.9 17.4 -24.2
pair MACDhist RSI pos-neg 12 8.4 -21.4 50.0 -1.3 -1.5 -0.9 17.4 -24.2
pair MACDhist MACD pos-neg 15 10.5 -25.0 40.0 -1.6 -1.8 -0.8 16.4 -31.8
pair MACD MACDhist pos-neg 15 10.5 -25.0 40.0 -1.6 -1.8 -0.8 16.4 -31.8
pair LWTI RSI pos-neg 6 4.2 -26.8 50.0 -1.4 -2.2 -1.7 21.0 -15.4
pair RSI LWTI pos-neg 6 4.2 -26.8 50.0 -1.4 -2.2 -1.7 21.0 -15.4
pair MACD LWTI pos-neg 9 6.3 -31.9 33.3 -2.2 -2.3 -1.2 16.5 -25.9
pair LWTI MACD pos-neg 9 6.3 -31.9 33.3 -2.2 -2.3 -1.2 16.5 -25.9

All Contingency Tables for QAT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 57%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -22.0%
Months 68M (48%)
CAGR -0.9% | Win 64%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 18% | MDD -9.9%
Months 11M (8%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR 2.4% | Win 60%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.3
Vol 17% | MDD -7.0%
Months 5M (4%)
CAGR -1.6% | Win 51%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 22% | MDD -27.6%
Months 59M (41%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
SLmean
only
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 60%
Sharpe 0.31 | Sortino 0.45 | Calmar 0.2
Vol 14% | MDD -18.6%
Months 75M (52%)
CAGR -20.5% | Win 25%
Sharpe -1.94 | Sortino -13.00 | Calmar -3.2
Vol 12% | MDD -6.4%
Months 4M (3%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR 2.0% | Win 55%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.1
Vol 20% | MDD -23.9%
Months 49M (34%)
CAGR -11.6% | Win 40%
Sharpe -0.37 | Sortino -0.45 | Calmar -0.9
Vol 25% | MDD -12.4%
Months 15M (10%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
RSmean
only
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 58%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 53M (37%)
CAGR 0.6% | Win 58%
Sharpe 0.11 | Sortino 0.19 | Calmar 0.0
Vol 14% | MDD -14.5%
Months 26M (18%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR -13.0% | Win 50%
Sharpe -1.00 | Sortino -1.03 | Calmar -0.6
Vol 13% | MDD -20.3%
Months 16M (11%)
CAGR 2.9% | Win 52%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 24% | MDD -31.4%
Months 48M (34%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
MACD
only
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.8% | Win 61%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.3
Vol 13% | MDD -17.0%
Months 62M (43%)
CAGR -7.3% | Win 47%
Sharpe -0.39 | Sortino -0.69 | Calmar -0.5
Vol 16% | MDD -14.5%
Months 17M (12%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR -14.1% | Win 56%
Sharpe -1.11 | Sortino -1.02 | Calmar -1.0
Vol 13% | MDD -13.6%
Months 9M (6%)
CAGR 0.9% | Win 51%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 22% | MDD -31.4%
Months 55M (38%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
RSI
only
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 60%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.6
Vol 13% | MDD -11.8%
Months 62M (43%)
CAGR -13.5% | Win 53%
Sharpe -0.83 | Sortino -1.35 | Calmar -0.6
Vol 16% | MDD -24.5%
Months 17M (12%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR -1.2% | Win 57%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 15% | MDD -8.9%
Months 7M (5%)
CAGR -1.4% | Win 51%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 22% | MDD -30.6%
Months 57M (40%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
MACDhist
only
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 4.2% | Win 58%
Sharpe 0.38 | Sortino 0.59 | Calmar 0.2
Vol 13% | MDD -18.7%
Months 67M (47%)
CAGR -9.3% | Win 58%
Sharpe -0.51 | Sortino -0.75 | Calmar -0.9
Vol 17% | MDD -10.2%
Months 12M (8%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR -16.7% | Win 31%
Sharpe -0.82 | Sortino -1.24 | Calmar -0.6
Vol 20% | MDD -26.4%
Months 16M (11%)
CAGR 4.4% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.3
Vol 22% | MDD -16.1%
Months 48M (34%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.3% | Win 60%
Sharpe 0.55 | Sortino 0.87 | Calmar 0.4
Vol 13% | MDD -15.6%
Months 65M (46%)
CAGR -15.7% | Win 50%
Sharpe -0.90 | Sortino -1.50 | Calmar -0.7
Vol 17% | MDD -21.2%
Months 14M (10%)
CAGR 2.0% | Win 58%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -23.9%
Months 79M (55%)
MRmean
neg
CAGR -7.9% | Win 46%
Sharpe -0.30 | Sortino -0.39 | Calmar -0.3
Vol 20% | MDD -26.3%
Months 35M (24%)
CAGR 7.2% | Win 59%
Sharpe 0.41 | Sortino 0.69 | Calmar 0.4
Vol 23% | MDD -19.0%
Months 29M (20%)
CAGR -1.3% | Win 52%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 64M (45%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -17.9%
Months 71M (50%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.00 | Calmar 0.0
Vol 15% | MDD 0.0%
Months 2M (1%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 20% | MDD -24.8%
Months 53M (37%)
CAGR -15.0% | Win 35%
Sharpe -0.57 | Sortino -0.73 | Calmar -0.8
Vol 24% | MDD -18.6%
Months 17M (12%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
RSmean
only
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -1.4% | Win 53%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 13% | MDD -22.5%
Months 45M (32%)
CAGR 9.1% | Win 64%
Sharpe 0.74 | Sortino 1.41 | Calmar 0.8
Vol 13% | MDD -11.7%
Months 28M (20%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR -0.6% | Win 62%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -14.4%
Months 24M (17%)
CAGR -2.0% | Win 48%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 24% | MDD -34.9%
Months 46M (32%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
MACD
only
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 1.5% | Win 57%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.1
Vol 13% | MDD -18.0%
Months 54M (38%)
CAGR 5.4% | Win 58%
Sharpe 0.43 | Sortino 0.84 | Calmar 0.5
Vol 14% | MDD -11.7%
Months 19M (13%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR 4.2% | Win 71%
Sharpe 0.36 | Sortino 0.41 | Calmar 0.3
Vol 14% | MDD -13.6%
Months 17M (12%)
CAGR -3.3% | Win 47%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 23% | MDD -34.9%
Months 53M (37%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
RSI
only
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.5% | Win 56%
Sharpe 0.41 | Sortino 0.71 | Calmar 0.3
Vol 12% | MDD -13.1%
Months 54M (38%)
CAGR -2.9% | Win 63%
Sharpe -0.10 | Sortino -0.15 | Calmar -0.2
Vol 16% | MDD -16.1%
Months 19M (13%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR 11.3% | Win 73%
Sharpe 0.76 | Sortino 0.89 | Calmar 1.1
Vol 16% | MDD -9.9%
Months 15M (10%)
CAGR -4.8% | Win 47%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 22% | MDD -32.0%
Months 55M (38%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
MACDhist
only
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 56%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -18.7%
Months 66M (46%)
CAGR 9.6% | Win 71%
Sharpe 0.73 | Sortino 0.75 | Calmar 1.4
Vol 14% | MDD -6.9%
Months 7M (5%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR -7.5% | Win 41%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.3
Vol 20% | MDD -22.4%
Months 17M (12%)
CAGR 0.5% | Win 57%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 22% | MDD -17.8%
Months 53M (37%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.0% | Win 58%
Sharpe 0.55 | Sortino 0.91 | Calmar 0.4
Vol 12% | MDD -13.5%
Months 55M (38%)
CAGR -7.5% | Win 56%
Sharpe -0.39 | Sortino -0.61 | Calmar -0.5
Vol 17% | MDD -13.6%
Months 18M (13%)
CAGR 2.5% | Win 57%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 13% | MDD -18.6%
Months 73M (51%)
SLmean
neg
CAGR -4.5% | Win 51%
Sharpe -0.14 | Sortino -0.18 | Calmar -0.2
Vol 20% | MDD -24.5%
Months 45M (32%)
CAGR 4.1% | Win 56%
Sharpe 0.28 | Sortino 0.50 | Calmar 0.2
Vol 24% | MDD -19.0%
Months 25M (18%)
CAGR -1.5% | Win 53%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 21% | MDD -34.9%
Months 70M (49%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.3% | Win 56%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 14% | MDD -26.5%
Months 68M (48%)
CAGR 8.2% | Win 61%
Sharpe 0.50 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -31.6%
Months 56M (39%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
RSmean
neg
CAGR 12.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -14.8% | Win 33%
Sharpe -0.57 | Sortino -0.75 | Calmar -0.7
Vol 23% | MDD -21.1%
Months 18M (13%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
MACD
only
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 61%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 13% | MDD -25.1%
Months 69M (48%)
CAGR 3.2% | Win 55%
Sharpe 0.26 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -31.6%
Months 55M (38%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
RSmean
neg
CAGR -11.6% | Win 50%
Sharpe -1.25 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 2M (1%)
CAGR -13.8% | Win 35%
Sharpe -0.50 | Sortino -0.65 | Calmar -0.7
Vol 24% | MDD -18.6%
Months 17M (12%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
RSI
only
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 59%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 68M (48%)
CAGR -0.6% | Win 57%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 20% | MDD -21.4%
Months 56M (39%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
RSmean
neg
CAGR 12.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -14.8% | Win 33%
Sharpe -0.57 | Sortino -0.75 | Calmar -0.7
Vol 23% | MDD -21.1%
Months 18M (13%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
MACDhist
only
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 1.4% | Win 56%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.1
Vol 15% | MDD -20.3%
Months 75M (52%)
CAGR 5.2% | Win 61%
Sharpe 0.36 | Sortino 0.62 | Calmar 0.2
Vol 19% | MDD -20.8%
Months 49M (34%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
RSmean
neg
CAGR -13.6% | Win 25%
Sharpe -1.26 | Sortino -2.88 | Calmar -1.2
Vol 11% | MDD -11.4%
Months 8M (6%)
CAGR -13.5% | Win 46%
Sharpe -0.36 | Sortino -0.43 | Calmar -1.1
Vol 29% | MDD -12.4%
Months 11M (8%)
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.9% | Win 59%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 14% | MDD -21.3%
Months 81M (57%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 17% | MDD -31.6%
Months 124M (87%)
RSmean
neg
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
-
CAGR -13.5% | Win 37%
Sharpe -0.53 | Sortino -0.67 | Calmar -0.6
Vol 22% | MDD -21.1%
Months 19M (13%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 0.1% | Win 58%
Sharpe 0.08 | Sortino 0.10 | Calmar 0.0
Vol 14% | MDD -25.1%
Months 62M (43%)
CAGR -11.5% | Win 43%
Sharpe -0.80 | Sortino -0.86 | Calmar -2.4
Vol 14% | MDD -4.8%
Months 7M (5%)
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
MACD
neg
CAGR 17.4% | Win 78%
Sharpe 1.76 | Sortino 8.92 | Calmar 5.9
Vol 9% | MDD -3.0%
Months 9M (6%)
CAGR 0.1% | Win 51%
Sharpe 0.11 | Sortino 0.18 | Calmar 0.0
Vol 22% | MDD -40.8%
Months 65M (46%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
RSI
only
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.7% | Win 61%
Sharpe 0.61 | Sortino 1.02 | Calmar 0.6
Vol 12% | MDD -11.3%
Months 54M (38%)
CAGR -25.0% | Win 40%
Sharpe -1.65 | Sortino -1.83 | Calmar -0.8
Vol 16% | MDD -31.8%
Months 15M (10%)
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
MACD
neg
CAGR 3.1% | Win 53%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.2
Vol 17% | MDD -12.9%
Months 15M (10%)
CAGR 1.8% | Win 54%
Sharpe 0.19 | Sortino 0.29 | Calmar 0.1
Vol 22% | MDD -31.4%
Months 59M (41%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
MACDhist
only
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 2.2% | Win 56%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.1
Vol 14% | MDD -22.9%
Months 43M (30%)
CAGR -6.4% | Win 58%
Sharpe -0.42 | Sortino -0.49 | Calmar -0.3
Vol 13% | MDD -24.0%
Months 26M (18%)
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
MACD
neg
CAGR -2.7% | Win 50%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 16% | MDD -30.6%
Months 40M (28%)
CAGR 7.9% | Win 59%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.4
Vol 25% | MDD -17.8%
Months 34M (24%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 60%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 12% | MDD -21.3%
Months 60M (42%)
CAGR -31.9% | Win 33%
Sharpe -2.21 | Sortino -2.34 | Calmar -1.2
Vol 16% | MDD -25.9%
Months 9M (6%)
CAGR -1.1% | Win 56%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 14% | MDD -26.5%
Months 69M (48%)
MACD
neg
CAGR -3.8% | Win 48%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 20% | MDD -27.2%
Months 40M (28%)
CAGR 9.4% | Win 62%
Sharpe 0.53 | Sortino 1.03 | Calmar 0.5
Vol 21% | MDD -19.0%
Months 34M (24%)
CAGR 2.1% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.1
Vol 21% | MDD -40.8%
Months 74M (52%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.7% | Win 63%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.7
Vol 12% | MDD -11.3%
Months 59M (41%)
CAGR -21.4% | Win 50%
Sharpe -1.28 | Sortino -1.51 | Calmar -0.9
Vol 17% | MDD -24.2%
Months 12M (8%)
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
RSI
neg
CAGR -4.1% | Win 40%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.3
Vol 20% | MDD -12.9%
Months 10M (7%)
CAGR -0.6% | Win 52%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 21% | MDD -31.4%
Months 62M (43%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
MACDhist
only
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.7% | Win 60%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.2
Vol 13% | MDD -18.7%
Months 52M (36%)
CAGR -4.4% | Win 63%
Sharpe -0.27 | Sortino -0.32 | Calmar -0.2
Vol 13% | MDD -18.4%
Months 19M (13%)
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
RSI
neg
CAGR -7.8% | Win 42%
Sharpe -0.38 | Sortino -0.61 | Calmar -0.3
Vol 17% | MDD -30.6%
Months 31M (22%)
CAGR 4.3% | Win 56%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.2
Vol 24% | MDD -17.8%
Months 41M (29%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.3% | Win 62%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -23.3%
Months 65M (46%)
CAGR -26.8% | Win 50%
Sharpe -1.38 | Sortino -2.17 | Calmar -1.7
Vol 21% | MDD -15.4%
Months 6M (4%)
CAGR 2.2% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 13% | MDD -27.3%
Months 71M (50%)
RSI
neg
CAGR -6.3% | Win 43%
Sharpe -0.20 | Sortino -0.28 | Calmar -0.2
Vol 21% | MDD -27.2%
Months 35M (24%)
CAGR 4.1% | Win 57%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.2
Vol 21% | MDD -19.0%
Months 37M (26%)
CAGR -1.1% | Win 50%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 21% | MDD -40.8%
Months 72M (50%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 7.3% | Win 57%
Sharpe 0.64 | Sortino 1.16 | Calmar 0.5
Vol 12% | MDD -13.6%
Months 53M (37%)
CAGR 1.4% | Win 69%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.2
Vol 16% | MDD -6.9%
Months 16M (11%)
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
MACDhist
neg
CAGR -12.2% | Win 47%
Sharpe -0.63 | Sortino -0.94 | Calmar -0.4
Vol 18% | MDD -30.4%
Months 30M (21%)
CAGR 1.5% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 22% | MDD -16.1%
Months 44M (31%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
RSIhist
only
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.8% | Win 60%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 65M (46%)
CAGR -6.9% | Win 50%
Sharpe -0.48 | Sortino -0.92 | Calmar -0.9
Vol 13% | MDD -7.3%
Months 4M (3%)
CAGR 5.9% | Win 59%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.5
Vol 13% | MDD -12.9%
Months 69M (48%)
MACDhist
neg
CAGR -8.6% | Win 46%
Sharpe -0.35 | Sortino -0.46 | Calmar -0.3
Vol 20% | MDD -28.2%
Months 35M (24%)
CAGR -0.3% | Win 56%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 22% | MDD -19.8%
Months 39M (27%)
CAGR -4.3% | Win 51%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 21% | MDD -32.0%
Months 74M (52%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.9% | Win 53%
Sharpe 0.37 | Sortino 0.68 | Calmar 0.2
Vol 12% | MDD -21.4%
Months 62M (43%)
CAGR -11.3% | Win 52%
Sharpe -0.48 | Sortino -0.77 | Calmar -0.7
Vol 20% | MDD -16.3%
Months 21M (15%)
CAGR -0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 15% | MDD -30.6%
Months 83M (58%)
RSIhist
neg
CAGR -3.2% | Win 58%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.2
Vol 20% | MDD -19.1%
Months 38M (27%)
CAGR 10.2% | Win 59%
Sharpe 0.55 | Sortino 1.04 | Calmar 0.9
Vol 22% | MDD -11.6%
Months 22M (15%)
CAGR 1.5% | Win 58%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.1
Vol 21% | MDD -20.8%
Months 60M (42%)
LWTI
only
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -27.2%
Months 100M (70%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 21% | MDD -20.0%
Months 43M (30%)