QQQ - Invesco QQQ Trust

Signal Pair Analysis

RSmean-MACD

Best Pair

108.7%

Best CAGR

93

Total Months

17.2%

Avg CAGR

QQQ 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 QQQ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACD RSmean neg-neg 12 3.7 108.7 75.0 2.6 30.1 34.6 30.0 -3.1
pair RSmean MACD neg-neg 12 3.7 108.7 75.0 2.6 30.1 34.6 30.0 -3.1
pair RSmean RSIhist neg-pos 5 1.5 106.2 80.0 2.9 0.0 0.0 27.0 0.0
pair RSIhist RSmean neg-pos 5 1.5 106.2 80.0 2.9 0.0 0.0 27.0 0.0
pair RSmean MRmean neg-neg 15 4.6 101.8 80.0 2.8 28.5 32.4 27.1 -3.1
pair MRmean RSmean neg-neg 15 4.6 101.8 80.0 2.8 28.5 32.4 27.1 -3.1
pair SLmean RSmean neg-neg 15 4.6 101.8 80.0 2.8 28.5 32.4 27.1 -3.1
pair RSmean SLmean neg-neg 15 4.6 101.8 80.0 2.8 28.5 32.4 27.1 -3.1
pair RSmean MACDhist neg-pos 1 0.3 101.6 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.3 101.6 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-pos 17 5.2 91.5 76.5 2.7 25.9 28.7 26.2 -3.2
pair RSmean RSI neg-pos 17 5.2 91.5 76.5 2.7 25.9 28.7 26.2 -3.2
pair LWTI RSmean neg-pos 20 6.2 88.0 80.0 2.7 25.1 27.6 24.8 -3.2
single RSmean RSmean neg-neg 20 6.2 88.0 80.0 2.7 25.1 27.6 24.8 -3.2
pair RSmean LWTI neg-pos 20 6.2 88.0 80.0 2.7 25.1 27.6 24.8 -3.2
pair MACDhist RSmean neg-neg 19 5.8 87.4 78.9 2.6 25.0 27.4 25.5 -3.2
pair RSmean MACDhist neg-neg 19 5.8 87.4 78.9 2.6 25.0 27.4 25.5 -3.2
pair RSmean RSIhist neg-neg 15 4.6 82.4 80.0 2.6 23.4 25.8 25.0 -3.2
pair RSIhist RSmean neg-neg 15 4.6 82.4 80.0 2.6 23.4 25.8 25.0 -3.2
pair RSI RSmean neg-neg 3 0.9 69.6 100.0 2.9 0.0 0.0 18.7 0.0
pair RSmean RSI neg-neg 3 0.9 69.6 100.0 2.9 0.0 0.0 18.7 0.0
pair RSmean MACD neg-pos 8 2.5 60.8 87.5 3.4 0.0 19.1 14.4 -3.2
pair MACD RSmean neg-pos 8 2.5 60.8 87.5 3.4 0.0 19.1 14.4 -3.2
pair MRmean RSmean pos-neg 5 1.5 52.2 80.0 2.6 0.0 16.4 16.6 -3.2
pair RSmean SLmean pos-neg 5 1.5 52.2 80.0 2.6 0.0 16.4 16.6 -3.2
pair SLmean RSmean pos-neg 5 1.5 52.2 80.0 2.6 0.0 16.4 16.6 -3.2
pair RSmean MRmean pos-neg 5 1.5 52.2 80.0 2.6 0.0 16.4 16.6 -3.2
pair MRmean RSI neg-pos 34 10.5 43.4 64.7 1.3 1.8 1.2 31.5 -35.3
pair RSI MRmean neg-pos 34 10.5 43.4 64.7 1.3 1.8 1.2 31.5 -35.3
pair LWTI MRmean neg-pos 46 14.2 41.1 67.4 1.3 1.5 0.9 31.6 -44.1
pair MRmean LWTI neg-pos 46 14.2 41.1 67.4 1.3 1.5 0.9 31.6 -44.1
pair MRmean RSI pos-neg 11 3.4 40.5 81.8 1.7 1.6 13.9 21.2 -2.9
pair RSI MRmean pos-neg 11 3.4 40.5 81.8 1.7 1.6 13.9 21.2 -2.9
pair MRmean MACDhist neg-pos 16 4.9 35.8 68.8 1.4 2.2 7.3 24.5 -4.9
pair MACDhist MRmean neg-pos 16 4.9 35.8 68.8 1.4 2.2 7.3 24.5 -4.9
pair MACDhist RSI neg-pos 15 4.6 35.6 80.0 1.6 1.7 12.2 19.8 -2.9
pair RSI MACDhist neg-pos 15 4.6 35.6 80.0 1.6 1.7 12.2 19.8 -2.9
pair RSI SLmean neg-pos 54 16.6 35.4 57.4 1.2 1.9 0.8 29.4 -44.5
pair SLmean RSI neg-pos 54 16.6 35.4 57.4 1.2 1.9 0.8 29.4 -44.5
pair LWTI MRmean pos-neg 10 3.1 35.2 90.0 1.6 0.0 0.0 21.0 0.0
pair MRmean LWTI pos-neg 10 3.1 35.2 90.0 1.6 0.0 0.0 21.0 0.0
pair LWTI SLmean neg-pos 68 20.9 34.1 60.3 1.1 1.6 0.7 29.6 -47.1
pair SLmean LWTI neg-pos 68 20.9 34.1 60.3 1.1 1.6 0.7 29.6 -47.1
pair RSI SLmean pos-neg 18 5.5 24.9 61.1 1.0 1.4 1.8 26.7 -13.5
pair SLmean RSI pos-neg 18 5.5 24.9 61.1 1.0 1.4 1.8 26.7 -13.5
pair SLmean MACDhist neg-pos 29 8.9 23.7 55.2 1.2 2.8 2.2 20.1 -10.6
pair MACDhist SLmean neg-pos 29 8.9 23.7 55.2 1.2 2.8 2.2 20.1 -10.6
pair MACD MRmean neg-pos 36 11.1 23.5 63.9 0.9 1.4 0.8 27.0 -28.6
pair MRmean MACD neg-pos 36 11.1 23.5 63.9 0.9 1.4 0.8 27.0 -28.6
pair SLmean MACD neg-pos 52 16.0 23.3 57.7 1.0 1.5 0.7 25.3 -32.9
pair MACD SLmean neg-pos 52 16.0 23.3 57.7 1.0 1.5 0.7 25.3 -32.9
pair SLmean MRmean pos-neg 23 7.1 22.3 47.8 0.9 2.1 1.2 24.8 -18.8
pair MRmean SLmean pos-neg 23 7.1 22.3 47.8 0.9 2.1 1.2 24.8 -18.8
pair LWTI MACDhist pos-neg 9 2.8 21.6 88.9 1.0 0.0 0.0 21.5 0.0
pair MACDhist LWTI pos-neg 9 2.8 21.6 88.9 1.0 0.0 0.0 21.5 0.0
pair MACDhist MACD neg-pos 28 8.6 20.6 71.4 1.2 1.6 2.1 16.9 -9.9
pair MACD MACDhist neg-pos 28 8.6 20.6 71.4 1.2 1.6 2.1 16.9 -9.9
pair RSI LWTI neg-pos 20 6.2 19.9 70.0 0.8 0.7 0.8 30.6 -26.2
pair LWTI RSI neg-pos 20 6.2 19.9 70.0 0.8 0.7 0.8 30.6 -26.2
pair LWTI SLmean pos-neg 19 5.8 18.6 63.2 0.8 1.2 1.3 26.1 -14.0
pair SLmean LWTI pos-neg 19 5.8 18.6 63.2 0.8 1.2 1.3 26.1 -14.0
pair RSIhist SLmean neg-pos 9 2.8 17.9 66.7 0.7 1.0 1.5 28.7 -12.3
pair SLmean RSIhist neg-pos 9 2.8 17.9 66.7 0.7 1.0 1.5 28.7 -12.3
pair RSIhist LWTI neg-pos 107 32.9 16.8 59.8 0.7 1.0 0.3 26.5 -53.3
pair LWTI RSIhist neg-pos 107 32.9 16.8 59.8 0.7 1.0 0.3 26.5 -53.3
pair LWTI MACD pos-pos 231 71.1 16.5 61.5 1.0 1.6 0.6 17.0 -29.3
pair MACD LWTI pos-pos 231 71.1 16.5 61.5 1.0 1.6 0.6 17.0 -29.3
pair RSIhist MACDhist pos-neg 46 14.2 15.9 56.5 0.8 1.6 0.8 20.1 -21.3
pair MACDhist RSIhist pos-neg 46 14.2 15.9 56.5 0.8 1.6 0.8 20.1 -21.3
pair LWTI MACDhist neg-pos 77 23.7 15.1 62.3 0.6 0.8 0.3 29.5 -58.5
pair MACDhist LWTI neg-pos 77 23.7 15.1 62.3 0.6 0.8 0.3 29.5 -58.5
single MACDhist MACDhist pos-pos 205 63.1 15.0 61.5 1.0 1.6 0.7 15.9 -21.9
single LWTI LWTI pos-pos 273 84.0 14.8 60.8 0.8 1.1 0.3 20.5 -56.7
pair RSIhist MACDhist pos-pos 159 48.9 14.7 62.9 1.0 1.6 0.8 14.6 -17.3
pair MACDhist RSIhist pos-pos 159 48.9 14.7 62.9 1.0 1.6 0.8 14.6 -17.3
pair LWTI MACDhist pos-pos 196 60.3 14.7 60.2 0.9 1.6 0.6 15.7 -24.3
pair MACDhist LWTI pos-pos 196 60.3 14.7 60.2 0.9 1.6 0.6 15.7 -24.3
pair RSmean MACDhist pos-pos 204 62.8 14.6 61.3 0.9 1.6 0.7 15.9 -21.9
pair MACDhist RSmean pos-pos 204 62.8 14.6 61.3 0.9 1.6 0.7 15.9 -21.9
pair RSI MACD pos-pos 227 69.8 14.6 60.8 0.9 1.4 0.4 17.2 -40.1
pair MACD RSI pos-pos 227 69.8 14.6 60.8 0.9 1.4 0.4 17.2 -40.1
pair LWTI RSI pos-pos 253 77.8 14.4 60.1 0.8 1.2 0.3 19.6 -47.3
pair RSI LWTI pos-pos 253 77.8 14.4 60.1 0.8 1.2 0.3 19.6 -47.3
pair RSI MACDhist pos-neg 70 21.5 14.2 61.4 0.6 0.9 0.3 28.3 -48.8
pair MACDhist RSI pos-neg 70 21.5 14.2 61.4 0.6 0.9 0.3 28.3 -48.8
pair RSI RSIhist pos-neg 94 28.9 14.2 57.4 0.6 1.0 0.3 25.8 -53.1
pair RSIhist RSI pos-neg 94 28.9 14.2 57.4 0.6 1.0 0.3 25.8 -53.1
pair MACD MACDhist pos-pos 177 54.5 14.1 59.9 0.9 1.6 0.5 15.8 -26.9
pair MACDhist MACD pos-pos 177 54.5 14.1 59.9 0.9 1.6 0.5 15.8 -26.9
pair MACD RSIhist pos-pos 148 45.5 13.9 62.2 1.0 1.5 0.7 14.3 -21.2
pair RSIhist MACD pos-pos 148 45.5 13.9 62.2 1.0 1.5 0.7 14.3 -21.2
single RSI RSI pos-pos 260 80.0 13.7 60.4 0.8 1.1 0.3 19.7 -51.4
pair MACDhist SLmean pos-pos 176 54.2 13.6 62.5 0.9 1.4 0.8 15.2 -17.8
pair SLmean MACDhist pos-pos 176 54.2 13.6 62.5 0.9 1.4 0.8 15.2 -17.8
pair LWTI RSIhist pos-pos 166 51.1 13.5 61.4 0.9 1.4 0.7 15.5 -18.3
pair RSIhist LWTI pos-pos 166 51.1 13.5 61.4 0.9 1.4 0.7 15.5 -18.3
pair MRmean RSIhist pos-pos 173 53.2 13.5 63.0 0.9 1.3 0.8 15.2 -17.9
pair RSIhist MRmean pos-pos 173 53.2 13.5 63.0 0.9 1.3 0.8 15.2 -17.9
pair MACDhist RSI pos-pos 190 58.5 13.5 60.0 0.9 1.5 0.6 15.6 -21.9
single MACD MACD pos-pos 240 73.8 13.5 60.8 0.8 1.2 0.3 18.0 -43.9
pair RSI MACDhist pos-pos 190 58.5 13.5 60.0 0.9 1.5 0.6 15.6 -21.9
pair RSI RSIhist pos-pos 166 51.1 13.4 62.0 0.9 1.4 0.7 15.4 -20.7
pair RSIhist RSI pos-pos 166 51.1 13.4 62.0 0.9 1.4 0.7 15.4 -20.7
single RSIhist RSIhist pos-pos 186 57.2 13.4 62.4 0.8 1.2 0.4 16.6 -35.6
pair RSI RSIhist neg-pos 20 6.2 13.4 65.0 0.6 0.8 0.6 24.8 -24.2
pair RSIhist RSI neg-pos 20 6.2 13.4 65.0 0.6 0.8 0.6 24.8 -24.2
pair MRmean MACDhist pos-pos 189 58.2 13.4 60.8 0.9 1.5 0.8 15.0 -17.9
pair MACDhist MRmean pos-pos 189 58.2 13.4 60.8 0.9 1.5 0.8 15.0 -17.9
pair SLmean RSIhist pos-pos 177 54.5 13.2 62.1 0.9 1.2 0.7 15.8 -17.9
pair RSIhist SLmean pos-pos 177 54.5 13.2 62.1 0.9 1.2 0.7 15.8 -17.9
pair MACD RSIhist pos-neg 92 28.3 12.9 58.7 0.7 1.0 0.4 22.8 -33.1
pair RSIhist MACD pos-neg 92 28.3 12.9 58.7 0.7 1.0 0.4 22.8 -33.1
pair RSIhist LWTI pos-neg 20 6.2 12.7 70.0 0.6 0.7 0.5 24.2 -24.2
pair LWTI RSIhist pos-neg 20 6.2 12.7 70.0 0.6 0.7 0.5 24.2 -24.2
pair RSIhist MRmean neg-pos 13 4.0 12.6 53.8 0.5 0.8 0.8 30.0 -15.4
pair MRmean RSIhist neg-pos 13 4.0 12.6 53.8 0.5 0.8 0.8 30.0 -15.4
single SLmean SLmean neg-neg 101 31.1 12.2 56.4 0.5 0.8 0.2 33.2 -73.6
pair RSmean MACD pos-pos 232 71.4 12.2 59.9 0.7 1.1 0.3 18.0 -44.3
pair MACD RSmean pos-pos 232 71.4 12.2 59.9 0.7 1.1 0.3 18.0 -44.3
pair MACDhist MACD pos-neg 63 19.4 11.9 63.5 0.6 0.8 0.3 23.2 -34.1
pair MACD MACDhist pos-neg 63 19.4 11.9 63.5 0.6 0.8 0.3 23.2 -34.1
pair MRmean MACD pos-pos 204 62.8 11.8 60.3 0.8 1.2 0.4 15.9 -30.0
pair MACD MRmean pos-pos 204 62.8 11.8 60.3 0.8 1.2 0.4 15.9 -30.0
pair RSIhist SLmean neg-neg 92 28.3 11.6 55.4 0.5 0.7 0.2 33.8 -72.6
pair RSmean RSIhist pos-pos 181 55.7 11.6 61.9 0.8 1.1 0.5 16.0 -25.6
pair RSIhist RSmean pos-pos 181 55.7 11.6 61.9 0.8 1.1 0.5 16.0 -25.6
pair SLmean RSIhist neg-neg 92 28.3 11.6 55.4 0.5 0.7 0.2 33.8 -72.6
pair RSIhist MACD neg-pos 38 11.7 11.5 63.2 0.6 0.8 0.3 23.6 -35.6
pair MACD RSIhist neg-pos 38 11.7 11.5 63.2 0.6 0.8 0.3 23.6 -35.6
single MRmean MRmean pos-pos 237 72.9 11.0 60.8 0.7 1.0 0.4 17.3 -29.3
pair MACD SLmean pos-pos 188 57.8 10.9 61.7 0.8 1.1 0.3 15.4 -33.8
pair SLmean MACD pos-pos 188 57.8 10.9 61.7 0.8 1.1 0.3 15.4 -33.8
pair benchmark___benchmark_ benchmark-benchmark 325 100.0 10.5 59.7 0.6 0.8 0.1 23.3 -81.1
pair benchmark___benchmark_ benchmark-benchmark 325 100.0 10.5 59.7 0.6 0.8 0.1 23.3 -81.1
pair LWTI RSmean pos-pos 253 77.8 10.4 59.3 0.6 0.8 0.2 19.7 -53.3
pair RSmean LWTI pos-pos 253 77.8 10.4 59.3 0.6 0.8 0.2 19.7 -53.3
pair RSmean MRmean pos-pos 232 71.4 10.3 60.3 0.7 0.9 0.3 17.3 -29.3
pair MRmean RSmean pos-pos 232 71.4 10.3 60.3 0.7 0.9 0.3 17.3 -29.3
pair LWTI MRmean pos-pos 227 69.8 10.1 59.5 0.7 1.0 0.4 17.2 -24.7
pair MRmean LWTI pos-pos 227 69.8 10.1 59.5 0.7 1.0 0.4 17.2 -24.7
pair SLmean MRmean pos-pos 214 65.8 9.9 62.1 0.7 0.9 0.3 16.4 -35.5
pair MRmean SLmean pos-pos 214 65.8 9.9 62.1 0.7 0.9 0.3 16.4 -35.5
single SLmean SLmean pos-pos 224 68.9 9.8 61.2 0.6 0.9 0.3 17.1 -37.8
pair MRmean RSI pos-pos 226 69.5 9.8 59.7 0.6 0.9 0.4 17.1 -24.7
pair RSI MRmean pos-pos 226 69.5 9.8 59.7 0.6 0.9 0.4 17.1 -24.7
pair RSmean RSI pos-pos 243 74.8 9.6 59.3 0.6 0.8 0.2 18.8 -50.6
pair RSI RSmean pos-pos 243 74.8 9.6 59.3 0.6 0.8 0.2 18.8 -50.6
pair MRmean SLmean neg-neg 78 24.0 9.4 59.0 0.4 0.6 0.1 35.5 -73.7
pair SLmean MRmean neg-neg 78 24.0 9.4 59.0 0.4 0.6 0.1 35.5 -73.7
single MRmean MRmean neg-neg 88 27.1 9.2 56.8 0.4 0.7 0.1 34.8 -71.2
pair SLmean RSmean pos-pos 219 67.4 9.0 60.7 0.6 0.8 0.2 17.1 -37.8
pair RSmean SLmean pos-pos 219 67.4 9.0 60.7 0.6 0.8 0.2 17.1 -37.8
pair LWTI SLmean pos-pos 205 63.1 9.0 61.0 0.6 0.8 0.3 16.1 -26.7
pair SLmean LWTI pos-pos 205 63.1 9.0 61.0 0.6 0.8 0.3 16.1 -26.7
pair SLmean RSI pos-pos 206 63.4 8.6 61.2 0.6 0.8 0.3 16.1 -33.3
pair RSI SLmean pos-pos 206 63.4 8.6 61.2 0.6 0.8 0.3 16.1 -33.3
pair MRmean RSIhist neg-neg 75 23.1 8.6 57.3 0.4 0.6 0.1 35.7 -69.7
pair RSIhist MRmean neg-neg 75 23.1 8.6 57.3 0.4 0.6 0.1 35.7 -69.7
pair MRmean SLmean neg-pos 10 3.1 8.0 40.0 0.4 0.7 0.6 30.2 -14.0
pair SLmean MRmean neg-pos 10 3.1 8.0 40.0 0.4 0.7 0.6 30.2 -14.0
pair SLmean MACDhist neg-neg 72 22.2 7.8 56.9 0.4 0.6 0.1 37.3 -78.2
pair MACDhist SLmean neg-neg 72 22.2 7.8 56.9 0.4 0.6 0.1 37.3 -78.2
pair MACD RSI neg-pos 33 10.2 7.7 57.6 0.4 0.6 0.2 32.8 -45.7
pair RSI MACD neg-pos 33 10.2 7.7 57.6 0.4 0.6 0.2 32.8 -45.7
single RSIhist RSIhist neg-neg 139 42.8 6.8 56.1 0.4 0.6 0.1 30.1 -75.5
single RSmean RSmean pos-pos 305 93.8 6.8 58.4 0.4 0.5 0.1 22.9 -79.6
pair MACD MRmean pos-neg 33 10.2 6.2 63.6 0.4 0.6 0.2 24.5 -29.3
pair MRmean MACD pos-neg 33 10.2 6.2 63.6 0.4 0.6 0.2 24.5 -29.3
pair RSIhist MACDhist neg-pos 27 8.3 6.1 59.3 0.3 0.5 0.2 25.7 -35.1
pair MACDhist RSIhist neg-pos 27 8.3 6.1 59.3 0.3 0.5 0.2 25.7 -35.1
pair MACD LWTI neg-pos 42 12.9 5.6 57.1 0.3 0.4 0.1 34.1 -56.7
pair LWTI MACD neg-pos 42 12.9 5.6 57.1 0.3 0.4 0.1 34.1 -56.7
pair RSIhist MRmean pos-neg 64 19.7 4.7 54.7 0.3 0.5 0.2 22.1 -28.5
pair MRmean RSIhist pos-neg 64 19.7 4.7 54.7 0.3 0.5 0.2 22.1 -28.5
pair SLmean MACD pos-neg 36 11.1 4.1 58.3 0.3 0.4 0.1 24.5 -37.8
pair MACD SLmean pos-neg 36 11.1 4.1 58.3 0.3 0.4 0.1 24.5 -37.8
pair MRmean MACDhist neg-neg 72 22.2 4.0 54.2 0.3 0.5 0.1 36.7 -72.8
pair MACDhist MRmean neg-neg 72 22.2 4.0 54.2 0.3 0.5 0.1 36.7 -72.8
single MACDhist MACDhist neg-neg 120 36.9 3.4 56.7 0.3 0.4 0.0 32.3 -81.5
pair MACDhist RSIhist neg-neg 93 28.6 2.6 55.9 0.2 0.4 0.0 34.1 -75.9
pair RSIhist MACDhist neg-neg 93 28.6 2.6 55.9 0.2 0.4 0.0 34.1 -75.9
single MACD MACD neg-neg 85 26.2 2.6 56.5 0.2 0.4 0.0 34.2 -81.1
pair MRmean MACDhist pos-neg 48 14.8 2.4 60.4 0.2 0.3 0.1 24.6 -29.3
pair MACDhist MRmean pos-neg 48 14.8 2.4 60.4 0.2 0.3 0.1 24.6 -29.3
pair SLmean MACD neg-neg 49 15.1 1.4 55.1 0.2 0.4 0.0 40.2 -72.7
pair MACD SLmean neg-neg 49 15.1 1.4 55.1 0.2 0.4 0.0 40.2 -72.7
pair RSmean SLmean neg-pos 86 26.5 1.3 52.3 0.2 0.3 0.0 33.5 -73.7
pair SLmean RSmean neg-pos 86 26.5 1.3 52.3 0.2 0.3 0.0 33.5 -73.7
pair MACD MRmean neg-neg 52 16.0 0.3 51.9 0.2 0.3 0.0 39.4 -71.2
pair MRmean MACD neg-neg 52 16.0 0.3 51.9 0.2 0.3 0.0 39.4 -71.2
pair RSmean RSIhist pos-neg 124 38.2 0.1 53.2 0.2 0.2 0.0 30.2 -75.6
pair RSIhist RSmean pos-neg 124 38.2 0.1 53.2 0.2 0.2 0.0 30.2 -75.6
pair LWTI MACD neg-neg 43 13.2 -0.3 55.8 0.2 0.3 -0.0 34.7 -55.1
pair MACD LWTI neg-neg 43 13.2 -0.3 55.8 0.2 0.3 -0.0 34.7 -55.1
pair RSI MACD neg-neg 52 16.0 -0.6 55.8 0.2 0.2 -0.0 35.4 -67.8
pair MACD RSI neg-neg 52 16.0 -0.6 55.8 0.2 0.2 -0.0 35.4 -67.8
single RSI RSI neg-neg 65 20.0 -1.2 56.9 0.1 0.2 -0.0 34.1 -67.8
pair SLmean RSIhist pos-neg 47 14.5 -2.0 57.4 0.0 0.0 -0.1 21.2 -31.1
pair RSIhist SLmean pos-neg 47 14.5 -2.0 57.4 0.0 0.0 -0.1 21.2 -31.1
pair MACDhist SLmean pos-neg 48 14.8 -3.0 56.2 -0.0 -0.0 -0.1 22.8 -37.3
pair SLmean MACDhist pos-neg 48 14.8 -3.0 56.2 -0.0 -0.0 -0.1 22.8 -37.3
pair RSI MACD pos-neg 13 4.0 -3.5 61.5 0.0 0.0 -0.1 29.8 -24.2
pair MACD RSI pos-neg 13 4.0 -3.5 61.5 0.0 0.0 -0.1 29.8 -24.2
pair MRmean RSmean neg-pos 73 22.5 -3.7 52.1 0.1 0.1 -0.1 35.2 -63.5
pair RSI RSmean pos-neg 62 19.1 -3.7 54.8 0.1 0.1 -0.1 34.7 -67.8
pair RSmean RSI pos-neg 62 19.1 -3.7 54.8 0.1 0.1 -0.1 34.7 -67.8
pair RSmean MRmean neg-pos 73 22.5 -3.7 52.1 0.1 0.1 -0.1 35.2 -63.5
pair RSIhist MACD neg-neg 47 14.5 -4.1 51.1 0.1 0.2 -0.1 41.1 -72.8
pair MACD RSIhist neg-neg 47 14.5 -4.1 51.1 0.1 0.2 -0.1 41.1 -72.8
pair MACDhist MACD neg-neg 57 17.5 -5.3 49.1 0.1 0.1 -0.1 40.1 -81.1
pair MACD MACDhist neg-neg 57 17.5 -5.3 49.1 0.1 0.1 -0.1 40.1 -81.1
pair RSIhist RSI neg-neg 45 13.8 -7.0 53.3 -0.0 -0.0 -0.1 37.7 -57.0
pair RSI RSIhist neg-neg 45 13.8 -7.0 53.3 -0.0 -0.0 -0.1 37.7 -57.0
pair MACDhist RSmean pos-neg 101 31.1 -7.6 52.5 -0.1 -0.1 -0.1 32.5 -80.2
pair RSmean MACDhist pos-neg 101 31.1 -7.6 52.5 -0.1 -0.1 -0.1 32.5 -80.2
pair MRmean RSI neg-neg 54 16.6 -8.0 51.9 -0.1 -0.1 -0.1 36.1 -63.4
pair RSI MRmean neg-neg 54 16.6 -8.0 51.9 -0.1 -0.1 -0.1 36.1 -63.4
pair MACD RSmean pos-neg 73 22.5 -8.8 53.4 -0.1 -0.1 -0.1 33.9 -79.6
pair RSmean MACD pos-neg 73 22.5 -8.8 53.4 -0.1 -0.1 -0.1 33.9 -79.6
single LWTI LWTI neg-neg 52 16.0 -9.3 53.8 -0.1 -0.2 -0.1 34.4 -60.6
pair LWTI RSI pos-neg 7 2.2 -9.3 71.4 -0.2 -0.2 -0.6 27.0 -15.6
pair LWTI RSI neg-neg 45 13.8 -9.3 51.1 -0.1 -0.2 -0.2 35.7 -55.1
pair LWTI RSmean pos-neg 52 16.0 -9.3 53.8 -0.1 -0.2 -0.1 34.4 -60.6
pair RSmean LWTI pos-neg 52 16.0 -9.3 53.8 -0.1 -0.2 -0.1 34.4 -60.6
pair RSI LWTI neg-neg 45 13.8 -9.3 51.1 -0.1 -0.2 -0.2 35.7 -55.1
pair RSI LWTI pos-neg 7 2.2 -9.3 71.4 -0.2 -0.2 -0.6 27.0 -15.6
pair RSI SLmean neg-neg 47 14.5 -9.6 55.3 -0.1 -0.1 -0.1 36.6 -62.3
pair SLmean RSI neg-neg 47 14.5 -9.6 55.3 -0.1 -0.1 -0.1 36.6 -62.3
pair MACDhist RSI neg-neg 50 15.4 -10.1 50.0 -0.1 -0.2 -0.1 37.2 -67.8
pair RSI MACDhist neg-neg 50 15.4 -10.1 50.0 -0.1 -0.2 -0.1 37.2 -67.8
pair MACDhist LWTI neg-neg 43 13.2 -14.7 46.5 -0.2 -0.5 -0.2 36.5 -63.5
pair LWTI MACDhist neg-neg 43 13.2 -14.7 46.5 -0.2 -0.5 -0.2 36.5 -63.5
pair LWTI MRmean neg-neg 42 12.9 -17.5 45.2 -0.3 -0.6 -0.3 36.6 -59.0
pair MRmean LWTI neg-neg 42 12.9 -17.5 45.2 -0.3 -0.6 -0.3 36.6 -59.0
pair LWTI RSIhist neg-neg 32 9.8 -20.8 43.8 -0.4 -0.8 -0.4 39.5 -56.9
pair RSIhist LWTI neg-neg 32 9.8 -20.8 43.8 -0.4 -0.8 -0.4 39.5 -56.9
pair LWTI SLmean neg-neg 33 10.2 -22.3 48.5 -0.5 -0.9 -0.4 38.2 -61.4
pair SLmean LWTI neg-neg 33 10.2 -22.3 48.5 -0.5 -0.9 -0.4 38.2 -61.4
pair MACD LWTI pos-neg 9 2.8 -42.3 44.4 -1.6 -3.2 -1.1 31.5 -39.5
pair LWTI MACD pos-neg 9 2.8 -42.3 44.4 -1.6 -3.2 -1.1 31.5 -39.5

All Contingency Tables for QQQ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 62%
Sharpe 0.66 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -35.5%
Months 214M (66%)
CAGR 22.3% | Win 48%
Sharpe 0.93 | Sortino 2.08 | Calmar 1.2
Vol 25% | MDD -18.8%
Months 23M (7%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 8.0% | Win 40%
Sharpe 0.39 | Sortino 0.72 | Calmar 0.6
Vol 30% | MDD -14.0%
Months 10M (3%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.64 | Calmar 0.1
Vol 36% | MDD -73.7%
Months 78M (24%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
SLmean
only
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 60%
Sharpe 0.65 | Sortino 0.95 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 232M (71%)
CAGR 52.2% | Win 80%
Sharpe 2.64 | Sortino 0.00 | Calmar 16.4
Vol 17% | MDD -3.2%
Months 5M (2%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR -3.7% | Win 52%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 35% | MDD -63.5%
Months 73M (22%)
CAGR 101.8% | Win 80%
Sharpe 2.78 | Sortino 28.49 | Calmar 32.4
Vol 27% | MDD -3.1%
Months 15M (5%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
RSmean
only
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 11.8% | Win 60%
Sharpe 0.78 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -30.0%
Months 204M (63%)
CAGR 6.2% | Win 64%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.2
Vol 24% | MDD -29.3%
Months 33M (10%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 23.5% | Win 64%
Sharpe 0.92 | Sortino 1.40 | Calmar 0.8
Vol 27% | MDD -28.6%
Months 36M (11%)
CAGR 0.3% | Win 52%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -71.2%
Months 52M (16%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
MACD
only
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 60%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.4
Vol 17% | MDD -24.7%
Months 226M (70%)
CAGR 40.5% | Win 82%
Sharpe 1.73 | Sortino 1.64 | Calmar 13.9
Vol 21% | MDD -2.9%
Months 11M (3%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 43.4% | Win 65%
Sharpe 1.31 | Sortino 1.78 | Calmar 1.2
Vol 32% | MDD -35.3%
Months 34M (10%)
CAGR -8.0% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 36% | MDD -63.4%
Months 54M (17%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
RSI
only
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.4% | Win 61%
Sharpe 0.92 | Sortino 1.50 | Calmar 0.7
Vol 15% | MDD -17.9%
Months 189M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -29.3%
Months 48M (15%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 35.8% | Win 69%
Sharpe 1.38 | Sortino 2.17 | Calmar 7.3
Vol 24% | MDD -4.9%
Months 16M (5%)
CAGR 4.0% | Win 54%
Sharpe 0.29 | Sortino 0.45 | Calmar 0.1
Vol 37% | MDD -72.8%
Months 72M (22%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
MACDhist
only
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.5% | Win 63%
Sharpe 0.91 | Sortino 1.31 | Calmar 0.8
Vol 15% | MDD -17.9%
Months 173M (53%)
CAGR 4.7% | Win 55%
Sharpe 0.32 | Sortino 0.50 | Calmar 0.2
Vol 22% | MDD -28.5%
Months 64M (20%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 12.6% | Win 54%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.8
Vol 30% | MDD -15.4%
Months 13M (4%)
CAGR 8.6% | Win 57%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.1
Vol 36% | MDD -69.7%
Months 75M (23%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 60%
Sharpe 0.65 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -24.7%
Months 227M (70%)
CAGR 35.2% | Win 90%
Sharpe 1.55 | Sortino 0.00 | Calmar 0.0
Vol 21% | MDD 0.0%
Months 10M (3%)
CAGR 11.0% | Win 61%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -29.3%
Months 237M (73%)
MRmean
neg
CAGR 41.1% | Win 67%
Sharpe 1.27 | Sortino 1.48 | Calmar 0.9
Vol 32% | MDD -44.1%
Months 46M (14%)
CAGR -17.5% | Win 45%
Sharpe -0.34 | Sortino -0.63 | Calmar -0.3
Vol 37% | MDD -59.0%
Months 42M (13%)
CAGR 9.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.1
Vol 35% | MDD -71.2%
Months 88M (27%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 61%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -37.8%
Months 219M (67%)
CAGR 52.2% | Win 80%
Sharpe 2.64 | Sortino 0.00 | Calmar 16.4
Vol 17% | MDD -3.2%
Months 5M (2%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 1.3% | Win 52%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 34% | MDD -73.7%
Months 86M (26%)
CAGR 101.8% | Win 80%
Sharpe 2.78 | Sortino 28.49 | Calmar 32.4
Vol 27% | MDD -3.1%
Months 15M (5%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
RSmean
only
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 62%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 15% | MDD -33.8%
Months 188M (58%)
CAGR 4.1% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 24% | MDD -37.8%
Months 36M (11%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 23.3% | Win 58%
Sharpe 0.96 | Sortino 1.52 | Calmar 0.7
Vol 25% | MDD -32.9%
Months 52M (16%)
CAGR 1.4% | Win 55%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.0
Vol 40% | MDD -72.7%
Months 49M (15%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
MACD
only
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 61%
Sharpe 0.60 | Sortino 0.82 | Calmar 0.3
Vol 16% | MDD -33.3%
Months 206M (63%)
CAGR 24.9% | Win 61%
Sharpe 0.97 | Sortino 1.43 | Calmar 1.8
Vol 27% | MDD -13.5%
Months 18M (6%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 35.4% | Win 57%
Sharpe 1.19 | Sortino 1.88 | Calmar 0.8
Vol 29% | MDD -44.5%
Months 54M (17%)
CAGR -9.6% | Win 55%
Sharpe -0.09 | Sortino -0.15 | Calmar -0.2
Vol 37% | MDD -62.3%
Months 47M (14%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
RSI
only
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 13.6% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.8
Vol 15% | MDD -17.8%
Months 176M (54%)
CAGR -3.0% | Win 56%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 23% | MDD -37.3%
Months 48M (15%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 23.7% | Win 55%
Sharpe 1.16 | Sortino 2.78 | Calmar 2.2
Vol 20% | MDD -10.6%
Months 29M (9%)
CAGR 7.8% | Win 57%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -78.2%
Months 72M (22%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
MACDhist
only
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.2% | Win 62%
Sharpe 0.86 | Sortino 1.24 | Calmar 0.7
Vol 16% | MDD -17.9%
Months 177M (54%)
CAGR -2.0% | Win 57%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 21% | MDD -31.1%
Months 47M (14%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 17.9% | Win 67%
Sharpe 0.70 | Sortino 0.97 | Calmar 1.5
Vol 29% | MDD -12.3%
Months 9M (3%)
CAGR 11.6% | Win 55%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.2
Vol 34% | MDD -72.6%
Months 92M (28%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.0% | Win 61%
Sharpe 0.62 | Sortino 0.85 | Calmar 0.3
Vol 16% | MDD -26.7%
Months 205M (63%)
CAGR 18.6% | Win 63%
Sharpe 0.78 | Sortino 1.16 | Calmar 1.3
Vol 26% | MDD -14.0%
Months 19M (6%)
CAGR 9.8% | Win 61%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -37.8%
Months 224M (69%)
SLmean
neg
CAGR 34.1% | Win 60%
Sharpe 1.15 | Sortino 1.58 | Calmar 0.7
Vol 30% | MDD -47.1%
Months 68M (21%)
CAGR -22.3% | Win 48%
Sharpe -0.47 | Sortino -0.93 | Calmar -0.4
Vol 38% | MDD -61.4%
Months 33M (10%)
CAGR 12.2% | Win 56%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.2
Vol 33% | MDD -73.6%
Months 101M (31%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 60%
Sharpe 0.73 | Sortino 1.08 | Calmar 0.3
Vol 18% | MDD -44.3%
Months 232M (71%)
CAGR -8.8% | Win 53%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.1
Vol 34% | MDD -79.6%
Months 73M (22%)
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
RSmean
neg
CAGR 60.8% | Win 88%
Sharpe 3.42 | Sortino 0.00 | Calmar 19.1
Vol 14% | MDD -3.2%
Months 8M (2%)
CAGR 108.7% | Win 75%
Sharpe 2.65 | Sortino 30.08 | Calmar 34.6
Vol 30% | MDD -3.1%
Months 12M (4%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
MACD
only
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.6% | Win 59%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 243M (75%)
CAGR -3.7% | Win 55%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 35% | MDD -67.8%
Months 62M (19%)
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
RSmean
neg
CAGR 91.5% | Win 76%
Sharpe 2.66 | Sortino 25.88 | Calmar 28.7
Vol 26% | MDD -3.2%
Months 17M (5%)
CAGR 69.6% | Win 100%
Sharpe 2.94 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 3M (1%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
RSI
only
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.6% | Win 61%
Sharpe 0.94 | Sortino 1.56 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 204M (63%)
CAGR -7.6% | Win 52%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 32% | MDD -80.2%
Months 101M (31%)
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
RSmean
neg
CAGR 101.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 87.4% | Win 79%
Sharpe 2.64 | Sortino 24.97 | Calmar 27.4
Vol 26% | MDD -3.2%
Months 19M (6%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
MACDhist
only
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.6% | Win 62%
Sharpe 0.77 | Sortino 1.06 | Calmar 0.5
Vol 16% | MDD -25.6%
Months 181M (56%)
CAGR 0.1% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 30% | MDD -75.6%
Months 124M (38%)
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
RSmean
neg
CAGR 106.2% | Win 80%
Sharpe 2.87 | Sortino 0.00 | Calmar 0.0
Vol 27% | MDD 0.0%
Months 5M (2%)
CAGR 82.4% | Win 80%
Sharpe 2.57 | Sortino 23.38 | Calmar 25.8
Vol 25% | MDD -3.2%
Months 15M (5%)
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.4% | Win 59%
Sharpe 0.60 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 253M (78%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
CAGR 6.8% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -79.6%
Months 305M (94%)
RSmean
neg
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
-
CAGR 88.0% | Win 80%
Sharpe 2.72 | Sortino 25.06 | Calmar 27.6
Vol 25% | MDD -3.2%
Months 20M (6%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 14.6% | Win 61%
Sharpe 0.88 | Sortino 1.37 | Calmar 0.4
Vol 17% | MDD -40.1%
Months 227M (70%)
CAGR -3.5% | Win 62%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 30% | MDD -24.2%
Months 13M (4%)
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
MACD
neg
CAGR 7.7% | Win 58%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.2
Vol 33% | MDD -45.7%
Months 33M (10%)
CAGR -0.6% | Win 56%
Sharpe 0.16 | Sortino 0.24 | Calmar -0.0
Vol 35% | MDD -67.8%
Months 52M (16%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
RSI
only
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 14.1% | Win 60%
Sharpe 0.92 | Sortino 1.56 | Calmar 0.5
Vol 16% | MDD -26.9%
Months 177M (54%)
CAGR 11.9% | Win 64%
Sharpe 0.60 | Sortino 0.84 | Calmar 0.3
Vol 23% | MDD -34.1%
Months 63M (19%)
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
MACD
neg
CAGR 20.6% | Win 71%
Sharpe 1.20 | Sortino 1.60 | Calmar 2.1
Vol 17% | MDD -9.9%
Months 28M (9%)
CAGR -5.3% | Win 49%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -81.1%
Months 57M (18%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
MACDhist
only
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 13.9% | Win 62%
Sharpe 0.98 | Sortino 1.54 | Calmar 0.7
Vol 14% | MDD -21.2%
Months 148M (46%)
CAGR 12.9% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 23% | MDD -33.1%
Months 92M (28%)
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
MACD
neg
CAGR 11.5% | Win 63%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 24% | MDD -35.6%
Months 38M (12%)
CAGR -4.1% | Win 51%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.1
Vol 41% | MDD -72.8%
Months 47M (14%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 16.5% | Win 62%
Sharpe 0.99 | Sortino 1.64 | Calmar 0.6
Vol 17% | MDD -29.3%
Months 231M (71%)
CAGR -42.3% | Win 44%
Sharpe -1.56 | Sortino -3.18 | Calmar -1.1
Vol 32% | MDD -39.5%
Months 9M (3%)
CAGR 13.5% | Win 61%
Sharpe 0.80 | Sortino 1.19 | Calmar 0.3
Vol 18% | MDD -43.9%
Months 240M (74%)
MACD
neg
CAGR 5.6% | Win 57%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.1
Vol 34% | MDD -56.7%
Months 42M (13%)
CAGR -0.3% | Win 56%
Sharpe 0.16 | Sortino 0.27 | Calmar -0.0
Vol 35% | MDD -55.1%
Months 43M (13%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 34% | MDD -81.1%
Months 85M (26%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.5% | Win 60%
Sharpe 0.89 | Sortino 1.52 | Calmar 0.6
Vol 16% | MDD -21.9%
Months 190M (58%)
CAGR 14.2% | Win 61%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 28% | MDD -48.8%
Months 70M (22%)
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
RSI
neg
CAGR 35.6% | Win 80%
Sharpe 1.65 | Sortino 1.74 | Calmar 12.2
Vol 20% | MDD -2.9%
Months 15M (5%)
CAGR -10.1% | Win 50%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.1
Vol 37% | MDD -67.8%
Months 50M (15%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
MACDhist
only
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.4% | Win 62%
Sharpe 0.90 | Sortino 1.39 | Calmar 0.6
Vol 15% | MDD -20.7%
Months 166M (51%)
CAGR 14.2% | Win 57%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 26% | MDD -53.1%
Months 94M (29%)
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
RSI
neg
CAGR 13.4% | Win 65%
Sharpe 0.63 | Sortino 0.79 | Calmar 0.6
Vol 25% | MDD -24.2%
Months 20M (6%)
CAGR -7.0% | Win 53%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 38% | MDD -57.0%
Months 45M (14%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 14.4% | Win 60%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -47.3%
Months 253M (78%)
CAGR -9.3% | Win 71%
Sharpe -0.24 | Sortino -0.25 | Calmar -0.6
Vol 27% | MDD -15.6%
Months 7M (2%)
CAGR 13.7% | Win 60%
Sharpe 0.75 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -51.4%
Months 260M (80%)
RSI
neg
CAGR 19.9% | Win 70%
Sharpe 0.76 | Sortino 0.72 | Calmar 0.8
Vol 31% | MDD -26.2%
Months 20M (6%)
CAGR -9.3% | Win 51%
Sharpe -0.10 | Sortino -0.17 | Calmar -0.2
Vol 36% | MDD -55.1%
Months 45M (14%)
CAGR -1.2% | Win 57%
Sharpe 0.14 | Sortino 0.21 | Calmar -0.0
Vol 34% | MDD -67.8%
Months 65M (20%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 14.7% | Win 63%
Sharpe 1.02 | Sortino 1.60 | Calmar 0.9
Vol 15% | MDD -17.3%
Months 159M (49%)
CAGR 15.9% | Win 56%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.7
Vol 20% | MDD -21.3%
Months 46M (14%)
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
MACDhist
neg
CAGR 6.1% | Win 59%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.2
Vol 26% | MDD -35.1%
Months 27M (8%)
CAGR 2.6% | Win 56%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -75.9%
Months 93M (29%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
RSIhist
only
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.7% | Win 60%
Sharpe 0.95 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -24.3%
Months 196M (60%)
CAGR 21.6% | Win 89%
Sharpe 1.02 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 9M (3%)
CAGR 15.0% | Win 62%
Sharpe 0.96 | Sortino 1.58 | Calmar 0.7
Vol 16% | MDD -21.9%
Months 205M (63%)
MACDhist
neg
CAGR 15.1% | Win 62%
Sharpe 0.63 | Sortino 0.83 | Calmar 0.3
Vol 30% | MDD -58.5%
Months 77M (24%)
CAGR -14.7% | Win 46%
Sharpe -0.25 | Sortino -0.46 | Calmar -0.2
Vol 36% | MDD -63.5%
Months 43M (13%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -81.5%
Months 120M (37%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 13.5% | Win 61%
Sharpe 0.90 | Sortino 1.41 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 166M (51%)
CAGR 12.7% | Win 70%
Sharpe 0.61 | Sortino 0.71 | Calmar 0.5
Vol 24% | MDD -24.2%
Months 20M (6%)
CAGR 13.4% | Win 62%
Sharpe 0.85 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -35.6%
Months 186M (57%)
RSIhist
neg
CAGR 16.8% | Win 60%
Sharpe 0.72 | Sortino 0.99 | Calmar 0.3
Vol 26% | MDD -53.3%
Months 107M (33%)
CAGR -20.8% | Win 44%
Sharpe -0.39 | Sortino -0.82 | Calmar -0.4
Vol 40% | MDD -56.9%
Months 32M (10%)
CAGR 6.8% | Win 56%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 30% | MDD -75.5%
Months 139M (43%)
LWTI
only
CAGR 14.8% | Win 61%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.3
Vol 20% | MDD -56.7%
Months 273M (84%)
CAGR -9.3% | Win 54%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 34% | MDD -60.6%
Months 52M (16%)