REMX - VanEck Rare Earth and Strategic Metals ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

913.8%

Best CAGR

54

Total Months

16.6%

Avg CAGR

REMX 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 REMX

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 1 0.5 913.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.5 913.8 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-pos 1 0.5 913.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSIhist neg-pos 1 0.5 913.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MRmean pos-neg 2 1.1 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair MRmean RSmean pos-neg 2 1.1 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair RSmean SLmean pos-neg 2 1.1 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair SLmean RSmean pos-neg 2 1.1 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair RSIhist LWTI pos-pos 41 21.6 74.6 70.7 1.7 4.2 4.7 37.8 -16.1
pair LWTI RSIhist pos-pos 41 21.6 74.6 70.7 1.7 4.2 4.7 37.8 -16.1
pair MRmean MACD pos-neg 30 15.8 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair MACD MRmean pos-neg 30 15.8 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair LWTI SLmean pos-pos 41 21.6 58.5 68.3 1.3 3.0 1.6 42.0 -36.1
pair SLmean LWTI pos-pos 41 21.6 58.5 68.3 1.3 3.0 1.6 42.0 -36.1
pair RSIhist RSI pos-pos 31 16.3 56.4 71.0 1.4 3.7 2.5 35.6 -22.2
pair RSI RSIhist pos-pos 31 16.3 56.4 71.0 1.4 3.7 2.5 35.6 -22.2
pair RSIhist MRmean pos-pos 53 27.9 55.9 64.2 1.4 3.9 2.5 38.6 -22.2
pair MRmean RSIhist pos-pos 53 27.9 55.9 64.2 1.4 3.9 2.5 38.6 -22.2
pair SLmean MACDhist pos-pos 57 30.0 54.4 64.9 1.3 3.3 2.2 39.1 -25.0
pair MACDhist SLmean pos-pos 57 30.0 54.4 64.9 1.3 3.3 2.2 39.1 -25.0
pair MACD SLmean pos-neg 39 20.5 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair SLmean MACD pos-neg 39 20.5 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair LWTI MACD neg-pos 33 17.4 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair MACD LWTI neg-pos 33 17.4 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair RSIhist SLmean pos-pos 61 32.1 47.9 62.3 1.2 3.5 1.5 37.9 -32.5
pair SLmean RSIhist pos-pos 61 32.1 47.9 62.3 1.2 3.5 1.5 37.9 -32.5
pair RSI MACD neg-pos 15 7.9 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair MACD RSI neg-pos 15 7.9 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair MACDhist RSIhist pos-pos 63 33.2 44.6 61.9 1.2 3.0 1.2 37.5 -37.5
pair RSIhist MACDhist pos-pos 63 33.2 44.6 61.9 1.2 3.0 1.2 37.5 -37.5
pair RSI MRmean pos-neg 24 12.6 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
pair MRmean RSI pos-neg 24 12.6 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
pair LWTI MACDhist pos-pos 53 27.9 42.9 64.2 1.1 2.0 1.1 40.6 -37.4
pair MACDhist LWTI pos-pos 53 27.9 42.9 64.2 1.1 2.0 1.1 40.6 -37.4
pair MRmean SLmean pos-pos 57 30.0 41.6 61.4 1.1 2.6 0.9 40.6 -44.1
pair SLmean MRmean pos-pos 57 30.0 41.6 61.4 1.1 2.6 0.9 40.6 -44.1
pair MRmean MACDhist pos-pos 60 31.6 39.2 61.7 1.0 2.0 1.1 40.7 -37.4
pair MACDhist MRmean pos-pos 60 31.6 39.2 61.7 1.0 2.0 1.1 40.7 -37.4
pair LWTI RSmean neg-neg 4 2.1 39.0 25.0 0.9 10.7 9.1 41.7 -4.3
pair RSmean LWTI neg-neg 4 2.1 39.0 25.0 0.9 10.7 9.1 41.7 -4.3
pair MACD RSIhist neg-pos 49 25.8 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
pair RSIhist MACD neg-pos 49 25.8 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
single RSIhist RSIhist pos-pos 73 38.4 34.1 58.9 1.0 2.5 0.8 37.1 -44.3
pair MACD RSIhist pos-pos 24 12.6 33.6 62.5 0.9 2.6 1.5 38.3 -22.2
pair RSIhist MACD pos-pos 24 12.6 33.6 62.5 0.9 2.6 1.5 38.3 -22.2
pair RSI LWTI neg-pos 24 12.6 32.5 54.2 0.8 1.4 1.1 49.4 -29.5
pair LWTI RSI neg-pos 24 12.6 32.5 54.2 0.8 1.4 1.1 49.4 -29.5
pair LWTI MRmean pos-pos 49 25.8 32.2 61.2 0.9 1.6 0.9 42.3 -37.4
pair MRmean LWTI pos-pos 49 25.8 32.2 61.2 0.9 1.6 0.9 42.3 -37.4
pair SLmean RSI pos-neg 33 17.4 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair RSI SLmean pos-neg 33 17.4 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair RSIhist RSmean pos-pos 72 37.9 30.4 58.3 0.9 2.3 0.7 36.6 -44.3
pair RSmean RSIhist pos-pos 72 37.9 30.4 58.3 0.9 2.3 0.7 36.6 -44.3
pair RSI MACDhist pos-pos 40 21.1 28.3 65.0 0.8 1.4 0.8 39.1 -37.4
pair MACDhist RSI pos-pos 40 21.1 28.3 65.0 0.8 1.4 0.8 39.1 -37.4
single SLmean SLmean pos-pos 70 36.8 27.5 57.1 0.8 1.8 0.5 39.4 -60.4
pair LWTI RSmean pos-pos 64 33.7 25.6 60.9 0.8 1.5 0.6 40.4 -41.7
pair RSmean LWTI pos-pos 64 33.7 25.6 60.9 0.8 1.5 0.6 40.4 -41.7
single MRmean MRmean pos-pos 65 34.2 25.2 56.9 0.8 1.5 0.6 40.8 -39.9
pair SLmean RSI pos-pos 37 19.5 24.6 64.9 0.8 1.6 0.5 40.0 -53.5
pair RSI SLmean pos-pos 37 19.5 24.6 64.9 0.8 1.6 0.5 40.0 -53.5
pair RSmean SLmean pos-pos 68 35.8 24.5 57.4 0.8 1.7 0.4 39.1 -59.6
pair SLmean RSmean pos-pos 68 35.8 24.5 57.4 0.8 1.7 0.4 39.1 -59.6
pair RSmean RSI neg-neg 7 3.7 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
pair RSI RSmean neg-neg 7 3.7 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
pair MRmean RSmean pos-pos 63 33.2 22.0 57.1 0.7 1.4 0.6 40.6 -38.8
pair RSmean MRmean pos-pos 63 33.2 22.0 57.1 0.7 1.4 0.6 40.6 -38.8
pair MACDhist MACD neg-pos 53 27.9 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair MACD MACDhist neg-pos 53 27.9 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair RSI RSIhist neg-pos 42 22.1 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
pair RSIhist RSI neg-pos 42 22.1 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
single LWTI LWTI pos-pos 76 40.0 18.9 57.9 0.6 1.1 0.4 41.2 -44.5
single MACDhist MACDhist pos-pos 88 46.3 18.4 54.5 0.6 1.3 0.3 37.7 -57.9
pair MACDhist RSmean pos-pos 87 45.8 15.5 54.0 0.6 1.1 0.3 37.2 -57.9
pair RSmean MACDhist pos-pos 87 45.8 15.5 54.0 0.6 1.1 0.3 37.2 -57.9
pair RSI MRmean pos-pos 41 21.6 15.3 61.0 0.6 1.0 0.4 40.3 -38.8
pair MRmean RSI pos-pos 41 21.6 15.3 61.0 0.6 1.0 0.4 40.3 -38.8
pair MACD MACDhist pos-pos 35 18.4 13.4 57.1 0.5 0.9 0.4 41.0 -37.4
pair MACDhist MACD pos-pos 35 18.4 13.4 57.1 0.5 0.9 0.4 41.0 -37.4
pair LWTI RSI pos-pos 52 27.4 13.1 59.6 0.5 0.9 0.3 37.3 -37.4
pair RSI LWTI pos-pos 52 27.4 13.1 59.6 0.5 0.9 0.3 37.3 -37.4
pair RSmean RSI pos-pos 47 24.7 11.1 61.7 0.5 0.9 0.3 40.1 -43.3
pair RSI RSmean pos-pos 47 24.7 11.1 61.7 0.5 0.9 0.3 40.1 -43.3
pair MACDhist RSI neg-pos 48 25.3 10.7 45.8 0.4 1.2 0.2 36.8 -57.9
pair RSI MACDhist neg-pos 48 25.3 10.7 45.8 0.4 1.2 0.2 36.8 -57.9
pair RSmean MACD neg-neg 13 6.8 6.9 46.2 0.4 0.5 0.2 49.0 -44.5
pair MACD RSmean neg-neg 13 6.8 6.9 46.2 0.4 0.5 0.2 49.0 -44.5
single RSI RSI pos-pos 56 29.5 6.1 57.1 0.3 0.6 0.1 37.8 -45.5
pair LWTI MRmean pos-neg 16 8.4 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair MRmean LWTI pos-neg 16 8.4 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair RSI MACD pos-neg 13 6.8 3.9 46.2 0.3 0.6 0.2 37.4 -19.3
pair MACD RSI pos-neg 13 6.8 3.9 46.2 0.3 0.6 0.2 37.4 -19.3
pair MACD SLmean pos-pos 31 16.3 3.3 54.8 0.3 0.6 0.1 41.4 -54.3
pair SLmean MACD pos-pos 31 16.3 3.3 54.8 0.3 0.6 0.1 41.4 -54.3
pair MACD LWTI pos-pos 43 22.6 -0.7 55.8 0.2 0.3 -0.0 39.8 -41.7
pair LWTI MACD pos-pos 43 22.6 -0.7 55.8 0.2 0.3 -0.0 39.8 -41.7
single RSmean RSmean neg-neg 16 8.4 -0.8 37.5 0.2 0.3 -0.0 44.2 -44.5
pair RSmean MACD pos-pos 51 26.8 -1.8 54.9 0.2 0.3 -0.0 40.9 -41.7
pair MACD RSmean pos-pos 51 26.8 -1.8 54.9 0.2 0.3 -0.0 40.9 -41.7
pair LWTI MRmean neg-pos 27 14.2 -1.9 51.9 0.1 0.2 -0.0 39.3 -44.5
pair MRmean LWTI neg-pos 27 14.2 -1.9 51.9 0.1 0.2 -0.0 39.3 -44.5
pair MRmean MACD neg-pos 19 10.0 -3.4 52.6 0.1 0.1 -0.2 37.9 -20.2
pair MACD MRmean neg-pos 19 10.0 -3.4 52.6 0.1 0.1 -0.2 37.9 -20.2
single MACD MACD pos-pos 54 28.4 -3.5 51.9 0.1 0.2 -0.1 39.8 -45.6
pair MACD MRmean pos-pos 35 18.4 -3.6 51.4 0.1 0.2 -0.1 41.3 -46.1
pair MRmean MACD pos-pos 35 18.4 -3.6 51.4 0.1 0.2 -0.1 41.3 -46.1
pair RSIhist LWTI pos-neg 32 16.8 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
pair LWTI RSIhist pos-neg 32 16.8 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
pair benchmark___benchmark_ benchmark-benchmark 190 100.0 -4.4 46.8 0.1 0.1 -0.1 36.0 -88.2
pair benchmark___benchmark_ benchmark-benchmark 190 100.0 -4.4 46.8 0.1 0.1 -0.1 36.0 -88.2
single RSmean RSmean pos-pos 174 91.6 -4.7 47.7 0.0 0.1 -0.1 35.3 -82.7
single MACD MACD neg-neg 136 71.6 -4.8 44.9 0.0 0.1 -0.1 34.6 -87.7
pair RSI MACD pos-pos 41 21.6 -5.8 53.7 0.1 0.1 -0.1 40.9 -51.0
pair MACD RSI pos-pos 41 21.6 -5.8 53.7 0.1 0.1 -0.1 40.9 -51.0
pair MACD RSmean pos-neg 123 64.7 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair RSmean MACD pos-neg 123 64.7 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair SLmean LWTI pos-neg 29 15.3 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
pair LWTI SLmean pos-neg 29 15.3 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
single RSI RSI neg-neg 134 70.5 -8.5 42.5 -0.1 -0.1 -0.1 35.3 -86.3
pair MACD RSI neg-neg 121 63.7 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
pair RSI MACD neg-neg 121 63.7 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
pair RSmean RSI pos-neg 127 66.8 -10.0 42.5 -0.1 -0.3 -0.1 33.4 -84.2
pair RSI RSmean pos-neg 127 66.8 -10.0 42.5 -0.1 -0.3 -0.1 33.4 -84.2
pair MRmean RSIhist neg-pos 20 10.5 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
pair RSIhist MRmean neg-pos 20 10.5 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
pair MACDhist LWTI pos-neg 35 18.4 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair LWTI MACDhist pos-neg 35 18.4 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair RSmean LWTI neg-pos 12 6.3 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair LWTI RSmean neg-pos 12 6.3 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair SLmean MACD neg-pos 23 12.1 -12.0 47.8 -0.1 -0.2 -0.3 38.3 -36.8
pair MACD SLmean neg-pos 23 12.1 -12.0 47.8 -0.1 -0.2 -0.3 38.3 -36.8
pair LWTI MACD pos-neg 11 5.8 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MACD LWTI pos-neg 11 5.8 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MRmean RSmean neg-neg 14 7.4 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair SLmean RSmean neg-neg 14 7.4 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean SLmean neg-neg 14 7.4 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MRmean neg-neg 14 7.4 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MACDhist neg-neg 15 7.9 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair MACDhist RSmean neg-neg 15 7.9 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSmean RSIhist neg-neg 15 7.9 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSIhist RSmean neg-neg 15 7.9 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair SLmean LWTI neg-pos 35 18.4 -15.1 45.7 -0.2 -0.3 -0.2 38.6 -60.7
pair LWTI SLmean neg-pos 35 18.4 -15.1 45.7 -0.2 -0.3 -0.2 38.6 -60.7
pair MRmean RSI neg-pos 15 7.9 -15.5 46.7 -0.4 -0.6 -0.5 30.0 -29.8
pair RSI MRmean neg-pos 15 7.9 -15.5 46.7 -0.4 -0.6 -0.5 30.0 -29.8
pair LWTI RSI neg-neg 110 57.9 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair RSI LWTI neg-neg 110 57.9 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair MACDhist SLmean neg-neg 89 46.8 -16.1 42.7 -0.3 -0.5 -0.2 34.0 -82.7
pair SLmean MACDhist neg-neg 89 46.8 -16.1 42.7 -0.3 -0.5 -0.2 34.0 -82.7
pair MRmean MACDhist neg-pos 28 14.7 -16.3 39.3 -0.5 -0.9 -0.3 28.0 -53.8
pair MACDhist MRmean neg-pos 28 14.7 -16.3 39.3 -0.5 -0.9 -0.3 28.0 -53.8
pair RSIhist MACDhist neg-pos 10 5.3 -16.4 40.0 -0.4 -0.8 -0.7 33.1 -22.7
pair MACDhist RSIhist neg-pos 10 5.3 -16.4 40.0 -0.4 -0.8 -0.7 33.1 -22.7
pair RSmean RSI neg-pos 9 4.7 -16.5 33.3 -0.7 -1.1 -0.7 21.8 -24.3
pair RSI RSmean neg-pos 9 4.7 -16.5 33.3 -0.7 -1.1 -0.7 21.8 -24.3
pair SLmean MRmean neg-neg 112 58.9 -16.6 42.0 -0.4 -0.6 -0.2 32.9 -90.3
pair MRmean SLmean neg-neg 112 58.9 -16.6 42.0 -0.4 -0.6 -0.2 32.9 -90.3
single MRmean MRmean neg-neg 125 65.8 -16.9 41.6 -0.4 -0.6 -0.2 32.7 -91.7
pair MACDhist MRmean neg-neg 97 51.1 -17.1 42.3 -0.4 -0.6 -0.2 34.0 -83.9
pair MRmean MACDhist neg-neg 97 51.1 -17.1 42.3 -0.4 -0.6 -0.2 34.0 -83.9
pair RSI MRmean neg-neg 110 57.9 -17.1 40.9 -0.4 -0.6 -0.2 33.1 -88.2
pair MRmean RSI neg-neg 110 57.9 -17.1 40.9 -0.4 -0.6 -0.2 33.1 -88.2
pair MRmean RSmean neg-pos 111 58.4 -17.2 42.3 -0.4 -0.7 -0.2 31.4 -87.0
pair RSmean MRmean neg-pos 111 58.4 -17.2 42.3 -0.4 -0.7 -0.2 31.4 -87.0
single LWTI LWTI neg-neg 114 60.0 -17.3 39.5 -0.4 -0.7 -0.2 31.5 -90.3
pair RSI MACDhist neg-neg 86 45.3 -17.7 40.7 -0.4 -0.6 -0.2 34.3 -79.1
pair MACDhist RSI neg-neg 86 45.3 -17.7 40.7 -0.4 -0.6 -0.2 34.3 -79.1
pair MACD LWTI neg-neg 103 54.2 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair LWTI MACD neg-neg 103 54.2 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair RSIhist MRmean neg-neg 105 55.3 -18.2 41.0 -0.4 -0.7 -0.2 33.2 -90.9
pair MRmean RSIhist neg-neg 105 55.3 -18.2 41.0 -0.4 -0.7 -0.2 33.2 -90.9
pair SLmean RSI neg-neg 101 53.2 -18.5 40.6 -0.4 -0.7 -0.2 33.4 -89.2
pair RSI SLmean neg-neg 101 53.2 -18.5 40.6 -0.4 -0.7 -0.2 33.4 -89.2
pair RSIhist SLmean neg-pos 12 6.3 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair SLmean RSIhist neg-pos 12 6.3 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair MACDhist MACD neg-neg 83 43.7 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair MACD MACDhist neg-neg 83 43.7 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair RSmean LWTI pos-neg 110 57.9 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair LWTI RSmean pos-neg 110 57.9 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair MACD MRmean neg-neg 106 55.8 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
pair RSI RSIhist neg-neg 92 48.4 -19.1 39.1 -0.5 -0.7 -0.2 33.5 -88.0
pair RSIhist RSI neg-neg 92 48.4 -19.1 39.1 -0.5 -0.7 -0.2 33.5 -88.0
pair MRmean MACD neg-neg 106 55.8 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
single SLmean SLmean neg-neg 120 63.2 -19.2 40.8 -0.5 -0.7 -0.2 33.1 -92.4
pair SLmean RSIhist neg-neg 108 56.8 -19.2 40.7 -0.5 -0.7 -0.2 33.5 -90.7
pair RSIhist SLmean neg-neg 108 56.8 -19.2 40.7 -0.5 -0.7 -0.2 33.5 -90.7
pair SLmean MRmean neg-pos 13 6.8 -19.7 38.5 -0.6 -0.8 -0.7 31.3 -29.1
pair MRmean SLmean neg-pos 13 6.8 -19.7 38.5 -0.6 -0.8 -0.7 31.3 -29.1
pair SLmean RSmean neg-pos 106 55.8 -19.7 41.5 -0.5 -0.8 -0.2 31.8 -88.1
pair RSmean SLmean neg-pos 106 55.8 -19.7 41.5 -0.5 -0.8 -0.2 31.8 -88.1
pair LWTI MACDhist neg-neg 79 41.6 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
pair MACDhist LWTI neg-neg 79 41.6 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
single MACDhist MACDhist neg-neg 102 53.7 -20.5 40.2 -0.5 -0.8 -0.2 33.8 -89.6
pair LWTI MRmean neg-neg 98 51.6 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair MRmean LWTI neg-neg 98 51.6 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair SLmean MACD neg-neg 97 51.1 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
pair SLmean LWTI neg-neg 85 44.7 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair LWTI SLmean neg-neg 85 44.7 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair MACD SLmean neg-neg 97 51.1 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
pair MACDhist RSIhist neg-neg 92 48.4 -20.9 40.2 -0.5 -0.8 -0.2 34.0 -89.5
pair RSIhist MACDhist neg-neg 92 48.4 -20.9 40.2 -0.5 -0.8 -0.2 34.0 -89.5
pair MACDhist RSmean pos-neg 87 45.8 -21.4 41.4 -0.6 -0.9 -0.3 32.6 -83.3
pair RSmean MACDhist pos-neg 87 45.8 -21.4 41.4 -0.6 -0.9 -0.3 32.6 -83.3
pair RSIhist MACD neg-neg 87 45.8 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair MACD RSIhist neg-neg 87 45.8 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair LWTI RSIhist neg-neg 82 43.2 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair RSIhist LWTI neg-neg 82 43.2 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair MACDhist LWTI neg-pos 23 12.1 -22.2 43.5 -0.4 -0.6 -0.4 40.9 -55.2
pair LWTI MACDhist neg-pos 23 12.1 -22.2 43.5 -0.4 -0.6 -0.4 40.9 -55.2
pair SLmean RSI neg-pos 19 10.0 -22.4 42.1 -0.6 -0.8 -0.5 32.1 -42.0
pair RSI SLmean neg-pos 19 10.0 -22.4 42.1 -0.6 -0.8 -0.5 32.1 -42.0
single RSIhist RSIhist neg-neg 117 61.6 -22.6 39.3 -0.6 -0.9 -0.2 34.1 -94.8
pair RSmean RSIhist pos-neg 102 53.7 -23.7 40.2 -0.6 -1.0 -0.3 33.1 -91.7
pair RSIhist RSmean pos-neg 102 53.7 -23.7 40.2 -0.6 -1.0 -0.3 33.1 -91.7
pair RSIhist LWTI neg-pos 35 18.4 -24.2 42.9 -0.4 -0.7 -0.3 42.0 -71.8
pair LWTI RSIhist neg-pos 35 18.4 -24.2 42.9 -0.4 -0.7 -0.3 42.0 -71.8
pair RSIhist MACD pos-neg 30 15.8 -25.6 43.3 -0.5 -0.9 -0.4 40.0 -58.6
pair MACD RSIhist pos-neg 30 15.8 -25.6 43.3 -0.5 -0.9 -0.4 40.0 -58.6
pair SLmean MACDhist neg-pos 31 16.3 -27.4 35.5 -0.9 -1.3 -0.5 30.6 -60.4
pair MACDhist SLmean neg-pos 31 16.3 -27.4 35.5 -0.9 -1.3 -0.5 30.6 -60.4
pair RSmean MACD neg-pos 3 1.6 -28.3 0.0 -9.0 -9.0 -6.6 3.7 -4.3
pair MACD RSmean neg-pos 3 1.6 -28.3 0.0 -9.0 -9.0 -6.6 3.7 -4.3
pair MACDhist MACD pos-neg 19 10.0 -28.3 42.1 -0.7 -1.3 -0.8 36.8 -35.5
pair MACD MACDhist pos-neg 19 10.0 -28.3 42.1 -0.7 -1.3 -0.8 36.8 -35.5
pair MACDhist RSIhist pos-neg 25 13.2 -28.4 36.0 -0.8 -1.2 -0.5 34.9 -58.2
pair RSIhist MACDhist pos-neg 25 13.2 -28.4 36.0 -0.8 -1.2 -0.5 34.9 -58.2
pair RSI MACDhist pos-neg 16 8.4 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair MACDhist RSI pos-neg 16 8.4 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair RSIhist RSI pos-neg 25 13.2 -34.4 40.0 -0.9 -1.4 -0.5 36.5 -64.0
pair RSI RSIhist pos-neg 25 13.2 -34.4 40.0 -0.9 -1.4 -0.5 36.5 -64.0
pair SLmean MACDhist pos-neg 13 6.8 -45.0 23.1 -1.7 -2.5 -0.9 31.5 -47.2
pair MACDhist SLmean pos-neg 13 6.8 -45.0 23.1 -1.7 -2.5 -0.9 31.5 -47.2
pair SLmean MRmean pos-neg 8 4.2 -47.9 25.0 -1.6 -1.8 -1.4 34.9 -34.7
pair MRmean SLmean pos-neg 8 4.2 -47.9 25.0 -1.6 -1.8 -1.4 34.9 -34.7
pair RSIhist MRmean pos-neg 12 6.3 -52.5 25.0 -1.6 -2.3 -1.1 40.5 -49.7
pair MRmean RSIhist pos-neg 12 6.3 -52.5 25.0 -1.6 -2.3 -1.1 40.5 -49.7
pair RSIhist SLmean pos-neg 9 4.7 -53.5 22.2 -1.7 -2.6 -1.1 39.4 -46.7
pair SLmean RSIhist pos-neg 9 4.7 -53.5 22.2 -1.7 -2.6 -1.1 39.4 -46.7
pair LWTI RSI pos-neg 4 2.1 -53.6 25.0 -1.6 -2.7 -1.8 42.7 -30.0
pair RSI LWTI pos-neg 4 2.1 -53.6 25.0 -1.6 -2.7 -1.8 42.7 -30.0
pair MRmean MACDhist pos-neg 5 2.6 -64.9 0.0 -5.8 -5.8 -2.1 17.2 -31.4
pair MACDhist MRmean pos-neg 5 2.6 -64.9 0.0 -5.8 -5.8 -2.1 17.2 -31.4

All Contingency Tables for REMX

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 41.6% | Win 61%
Sharpe 1.06 | Sortino 2.61 | Calmar 0.9
Vol 41% | MDD -44.1%
Months 57M (30%)
CAGR -47.9% | Win 25%
Sharpe -1.65 | Sortino -1.82 | Calmar -1.4
Vol 35% | MDD -34.7%
Months 8M (4%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -19.7% | Win 38%
Sharpe -0.55 | Sortino -0.82 | Calmar -0.7
Vol 31% | MDD -29.1%
Months 13M (7%)
CAGR -16.6% | Win 42%
Sharpe -0.38 | Sortino -0.59 | Calmar -0.2
Vol 33% | MDD -90.3%
Months 112M (59%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
SLmean
only
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 22.0% | Win 57%
Sharpe 0.69 | Sortino 1.40 | Calmar 0.6
Vol 41% | MDD -38.8%
Months 63M (33%)
CAGR 185.7% | Win 50%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 56% | MDD 0.0%
Months 2M (1%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -17.2% | Win 42%
Sharpe -0.44 | Sortino -0.71 | Calmar -0.2
Vol 31% | MDD -87.0%
Months 111M (58%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (7%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
RSmean
only
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -3.6% | Win 51%
Sharpe 0.11 | Sortino 0.21 | Calmar -0.1
Vol 41% | MDD -46.1%
Months 35M (18%)
CAGR 69.8% | Win 63%
Sharpe 1.55 | Sortino 6.39 | Calmar 5.2
Vol 39% | MDD -13.4%
Months 30M (16%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -3.4% | Win 53%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.2
Vol 38% | MDD -20.2%
Months 19M (10%)
CAGR -19.1% | Win 40%
Sharpe -0.50 | Sortino -0.76 | Calmar -0.2
Vol 32% | MDD -89.8%
Months 106M (56%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
MACD
only
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 15.3% | Win 61%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 40% | MDD -38.8%
Months 41M (22%)
CAGR 44.1% | Win 50%
Sharpe 1.06 | Sortino 4.69 | Calmar 3.3
Vol 42% | MDD -13.4%
Months 24M (13%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -15.5% | Win 47%
Sharpe -0.41 | Sortino -0.56 | Calmar -0.5
Vol 30% | MDD -29.8%
Months 15M (8%)
CAGR -17.1% | Win 41%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -88.2%
Months 110M (58%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 39.2% | Win 62%
Sharpe 1.01 | Sortino 1.99 | Calmar 1.0
Vol 41% | MDD -37.4%
Months 60M (32%)
CAGR -64.9% | Win 0%
Sharpe -5.75 | Sortino -5.75 | Calmar -2.1
Vol 17% | MDD -31.4%
Months 5M (3%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -16.3% | Win 39%
Sharpe -0.50 | Sortino -0.95 | Calmar -0.3
Vol 28% | MDD -53.8%
Months 28M (15%)
CAGR -17.1% | Win 42%
Sharpe -0.37 | Sortino -0.56 | Calmar -0.2
Vol 34% | MDD -83.9%
Months 97M (51%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
MACDhist
only
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 55.9% | Win 64%
Sharpe 1.35 | Sortino 3.90 | Calmar 2.5
Vol 39% | MDD -22.2%
Months 53M (28%)
CAGR -52.5% | Win 25%
Sharpe -1.58 | Sortino -2.30 | Calmar -1.1
Vol 40% | MDD -49.7%
Months 12M (6%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -10.0% | Win 45%
Sharpe -0.20 | Sortino -0.35 | Calmar -0.3
Vol 30% | MDD -38.7%
Months 20M (10%)
CAGR -18.2% | Win 41%
Sharpe -0.43 | Sortino -0.66 | Calmar -0.2
Vol 33% | MDD -90.9%
Months 105M (55%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 32.2% | Win 61%
Sharpe 0.87 | Sortino 1.64 | Calmar 0.9
Vol 42% | MDD -37.4%
Months 49M (26%)
CAGR 6.1% | Win 44%
Sharpe 0.32 | Sortino 1.11 | Calmar 0.2
Vol 36% | MDD -26.2%
Months 16M (8%)
CAGR 25.2% | Win 57%
Sharpe 0.75 | Sortino 1.54 | Calmar 0.6
Vol 41% | MDD -39.9%
Months 65M (34%)
MRmean
neg
CAGR -1.9% | Win 52%
Sharpe 0.15 | Sortino 0.22 | Calmar -0.0
Vol 39% | MDD -44.5%
Months 27M (14%)
CAGR -20.6% | Win 39%
Sharpe -0.59 | Sortino -0.92 | Calmar -0.2
Vol 31% | MDD -86.1%
Months 98M (52%)
CAGR -16.9% | Win 42%
Sharpe -0.40 | Sortino -0.62 | Calmar -0.2
Vol 33% | MDD -91.7%
Months 125M (66%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 24.5% | Win 57%
Sharpe 0.75 | Sortino 1.68 | Calmar 0.4
Vol 39% | MDD -59.6%
Months 68M (36%)
CAGR 185.7% | Win 50%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 56% | MDD 0.0%
Months 2M (1%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -19.7% | Win 42%
Sharpe -0.52 | Sortino -0.82 | Calmar -0.2
Vol 32% | MDD -88.1%
Months 106M (56%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (7%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
RSmean
only
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.60 | Calmar 0.1
Vol 41% | MDD -54.3%
Months 31M (16%)
CAGR 50.6% | Win 59%
Sharpe 1.27 | Sortino 4.31 | Calmar 2.0
Vol 38% | MDD -25.3%
Months 39M (20%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -12.0% | Win 48%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.3
Vol 38% | MDD -36.8%
Months 23M (12%)
CAGR -20.8% | Win 39%
Sharpe -0.56 | Sortino -0.83 | Calmar -0.2
Vol 32% | MDD -90.6%
Months 97M (51%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
MACD
only
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 24.6% | Win 65%
Sharpe 0.75 | Sortino 1.65 | Calmar 0.5
Vol 40% | MDD -53.5%
Months 37M (20%)
CAGR 30.7% | Win 48%
Sharpe 0.86 | Sortino 3.05 | Calmar 1.2
Vol 39% | MDD -25.3%
Months 33M (17%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -22.4% | Win 42%
Sharpe -0.62 | Sortino -0.79 | Calmar -0.5
Vol 32% | MDD -42.0%
Months 19M (10%)
CAGR -18.5% | Win 41%
Sharpe -0.44 | Sortino -0.69 | Calmar -0.2
Vol 33% | MDD -89.2%
Months 101M (53%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 54.4% | Win 65%
Sharpe 1.31 | Sortino 3.28 | Calmar 2.2
Vol 39% | MDD -25.0%
Months 57M (30%)
CAGR -45.0% | Win 23%
Sharpe -1.71 | Sortino -2.50 | Calmar -1.0
Vol 32% | MDD -47.2%
Months 13M (7%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -27.4% | Win 36%
Sharpe -0.87 | Sortino -1.28 | Calmar -0.5
Vol 31% | MDD -60.4%
Months 31M (16%)
CAGR -16.1% | Win 43%
Sharpe -0.34 | Sortino -0.52 | Calmar -0.2
Vol 34% | MDD -82.7%
Months 89M (47%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
MACDhist
only
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 47.9% | Win 62%
Sharpe 1.22 | Sortino 3.46 | Calmar 1.5
Vol 38% | MDD -32.5%
Months 61M (32%)
CAGR -53.5% | Win 22%
Sharpe -1.70 | Sortino -2.62 | Calmar -1.1
Vol 39% | MDD -46.7%
Months 9M (5%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -18.5% | Win 42%
Sharpe -0.54 | Sortino -0.84 | Calmar -0.7
Vol 30% | MDD -25.9%
Months 12M (6%)
CAGR -19.2% | Win 41%
Sharpe -0.46 | Sortino -0.69 | Calmar -0.2
Vol 34% | MDD -90.7%
Months 108M (57%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 58.5% | Win 68%
Sharpe 1.31 | Sortino 2.99 | Calmar 1.6
Vol 42% | MDD -36.1%
Months 41M (22%)
CAGR -6.3% | Win 41%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.1
Vol 34% | MDD -43.8%
Months 29M (15%)
CAGR 27.5% | Win 57%
Sharpe 0.81 | Sortino 1.82 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 70M (37%)
SLmean
neg
CAGR -15.1% | Win 46%
Sharpe -0.23 | Sortino -0.32 | Calmar -0.2
Vol 39% | MDD -60.7%
Months 35M (18%)
CAGR -20.8% | Win 39%
Sharpe -0.59 | Sortino -0.93 | Calmar -0.2
Vol 31% | MDD -83.9%
Months 85M (45%)
CAGR -19.2% | Win 41%
Sharpe -0.47 | Sortino -0.71 | Calmar -0.2
Vol 33% | MDD -92.4%
Months 120M (63%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.8% | Win 55%
Sharpe 0.16 | Sortino 0.30 | Calmar -0.0
Vol 41% | MDD -41.7%
Months 51M (27%)
CAGR -5.9% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 33% | MDD -81.9%
Months 123M (65%)
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
RSmean
neg
CAGR -28.3% | Win 0%
Sharpe -8.97 | Sortino -8.97 | Calmar -6.6
Vol 4% | MDD -4.3%
Months 3M (2%)
CAGR 6.9% | Win 46%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 49% | MDD -44.5%
Months 13M (7%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
MACD
only
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.1% | Win 62%
Sharpe 0.46 | Sortino 0.86 | Calmar 0.3
Vol 40% | MDD -43.3%
Months 47M (25%)
CAGR -10.0% | Win 42%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.1
Vol 33% | MDD -84.2%
Months 127M (67%)
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
RSmean
neg
CAGR -16.5% | Win 33%
Sharpe -0.72 | Sortino -1.08 | Calmar -0.7
Vol 22% | MDD -24.3%
Months 9M (5%)
CAGR 23.9% | Win 43%
Sharpe 0.63 | Sortino 0.86 | Calmar 0.8
Vol 64% | MDD -29.5%
Months 7M (4%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.5% | Win 54%
Sharpe 0.57 | Sortino 1.15 | Calmar 0.3
Vol 37% | MDD -57.9%
Months 87M (46%)
CAGR -21.4% | Win 41%
Sharpe -0.57 | Sortino -0.91 | Calmar -0.3
Vol 33% | MDD -83.3%
Months 87M (46%)
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
RSmean
neg
CAGR 913.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -15.0% | Win 33%
Sharpe -0.19 | Sortino -0.26 | Calmar -0.3
Vol 41% | MDD -44.5%
Months 15M (8%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
MACDhist
only
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 30.4% | Win 58%
Sharpe 0.90 | Sortino 2.26 | Calmar 0.7
Vol 37% | MDD -44.3%
Months 72M (38%)
CAGR -23.7% | Win 40%
Sharpe -0.64 | Sortino -0.99 | Calmar -0.3
Vol 33% | MDD -91.7%
Months 102M (54%)
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
RSmean
neg
CAGR 913.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -15.0% | Win 33%
Sharpe -0.19 | Sortino -0.26 | Calmar -0.3
Vol 41% | MDD -44.5%
Months 15M (8%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 25.6% | Win 61%
Sharpe 0.76 | Sortino 1.52 | Calmar 0.6
Vol 40% | MDD -41.7%
Months 64M (34%)
CAGR -18.9% | Win 40%
Sharpe -0.51 | Sortino -0.84 | Calmar -0.2
Vol 31% | MDD -89.5%
Months 110M (58%)
CAGR -4.7% | Win 48%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 35% | MDD -82.7%
Months 174M (92%)
RSmean
neg
CAGR -11.4% | Win 42%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.3
Vol 46% | MDD -44.5%
Months 12M (6%)
CAGR 39.0% | Win 25%
Sharpe 0.94 | Sortino 10.73 | Calmar 9.1
Vol 42% | MDD -4.3%
Months 4M (2%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (8%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -5.8% | Win 54%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.1
Vol 41% | MDD -51.0%
Months 41M (22%)
CAGR 3.9% | Win 46%
Sharpe 0.27 | Sortino 0.55 | Calmar 0.2
Vol 37% | MDD -19.3%
Months 13M (7%)
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
MACD
neg
CAGR 46.7% | Win 67%
Sharpe 1.57 | Sortino 2.61 | Calmar 2.2
Vol 27% | MDD -21.2%
Months 15M (8%)
CAGR -9.7% | Win 42%
Sharpe -0.12 | Sortino -0.20 | Calmar -0.1
Vol 35% | MDD -84.4%
Months 121M (64%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 13.4% | Win 57%
Sharpe 0.51 | Sortino 0.93 | Calmar 0.4
Vol 41% | MDD -37.4%
Months 35M (18%)
CAGR -28.3% | Win 42%
Sharpe -0.72 | Sortino -1.27 | Calmar -0.8
Vol 37% | MDD -35.5%
Months 19M (10%)
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
MACD
neg
CAGR 21.8% | Win 53%
Sharpe 0.72 | Sortino 1.87 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 53M (28%)
CAGR -18.6% | Win 40%
Sharpe -0.44 | Sortino -0.66 | Calmar -0.2
Vol 33% | MDD -82.3%
Months 83M (44%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
MACDhist
only
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 33.6% | Win 62%
Sharpe 0.94 | Sortino 2.62 | Calmar 1.5
Vol 38% | MDD -22.2%
Months 24M (13%)
CAGR -25.6% | Win 43%
Sharpe -0.53 | Sortino -0.86 | Calmar -0.4
Vol 40% | MDD -58.6%
Months 30M (16%)
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
MACD
neg
CAGR 34.4% | Win 57%
Sharpe 0.98 | Sortino 2.50 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 49M (26%)
CAGR -21.5% | Win 38%
Sharpe -0.59 | Sortino -0.87 | Calmar -0.2
Vol 32% | MDD -89.3%
Months 87M (46%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -0.7% | Win 56%
Sharpe 0.18 | Sortino 0.35 | Calmar -0.0
Vol 40% | MDD -41.7%
Months 43M (23%)
CAGR -13.9% | Win 36%
Sharpe -0.17 | Sortino -0.30 | Calmar -0.5
Vol 42% | MDD -25.8%
Months 11M (6%)
CAGR -3.5% | Win 52%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.1
Vol 40% | MDD -45.6%
Months 54M (28%)
MACD
neg
CAGR 50.2% | Win 61%
Sharpe 1.17 | Sortino 1.86 | Calmar 1.1
Vol 43% | MDD -44.5%
Months 33M (17%)
CAGR -17.7% | Win 40%
Sharpe -0.48 | Sortino -0.80 | Calmar -0.2
Vol 30% | MDD -88.9%
Months 103M (54%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (72%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 28.3% | Win 65%
Sharpe 0.83 | Sortino 1.44 | Calmar 0.8
Vol 39% | MDD -37.4%
Months 40M (21%)
CAGR -33.9% | Win 38%
Sharpe -1.16 | Sortino -1.71 | Calmar -0.7
Vol 31% | MDD -50.1%
Months 16M (8%)
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
RSI
neg
CAGR 10.7% | Win 46%
Sharpe 0.44 | Sortino 1.21 | Calmar 0.2
Vol 37% | MDD -57.9%
Months 48M (25%)
CAGR -17.7% | Win 41%
Sharpe -0.39 | Sortino -0.60 | Calmar -0.2
Vol 34% | MDD -79.1%
Months 86M (45%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
MACDhist
only
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 56.4% | Win 71%
Sharpe 1.44 | Sortino 3.74 | Calmar 2.5
Vol 36% | MDD -22.2%
Months 31M (16%)
CAGR -34.4% | Win 40%
Sharpe -0.95 | Sortino -1.36 | Calmar -0.5
Vol 36% | MDD -64.0%
Months 25M (13%)
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
RSI
neg
CAGR 19.8% | Win 50%
Sharpe 0.65 | Sortino 1.71 | Calmar 0.4
Vol 38% | MDD -44.3%
Months 42M (22%)
CAGR -19.1% | Win 39%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 34% | MDD -88.0%
Months 92M (48%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.1% | Win 60%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.3
Vol 37% | MDD -37.4%
Months 52M (27%)
CAGR -53.6% | Win 25%
Sharpe -1.57 | Sortino -2.69 | Calmar -1.8
Vol 43% | MDD -30.0%
Months 4M (2%)
CAGR 6.1% | Win 57%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -45.5%
Months 56M (30%)
RSI
neg
CAGR 32.5% | Win 54%
Sharpe 0.81 | Sortino 1.43 | Calmar 1.1
Vol 49% | MDD -29.5%
Months 24M (13%)
CAGR -15.6% | Win 40%
Sharpe -0.39 | Sortino -0.65 | Calmar -0.2
Vol 31% | MDD -87.5%
Months 110M (58%)
CAGR -8.5% | Win 42%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 134M (70%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 44.6% | Win 62%
Sharpe 1.17 | Sortino 3.03 | Calmar 1.2
Vol 38% | MDD -37.5%
Months 63M (33%)
CAGR -28.4% | Win 36%
Sharpe -0.77 | Sortino -1.18 | Calmar -0.5
Vol 35% | MDD -58.2%
Months 25M (13%)
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
MACDhist
neg
CAGR -16.4% | Win 40%
Sharpe -0.39 | Sortino -0.80 | Calmar -0.7
Vol 33% | MDD -22.7%
Months 10M (5%)
CAGR -20.9% | Win 40%
Sharpe -0.51 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.5%
Months 92M (48%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
RSIhist
only
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 42.9% | Win 64%
Sharpe 1.08 | Sortino 2.00 | Calmar 1.1
Vol 41% | MDD -37.4%
Months 53M (28%)
CAGR -11.0% | Win 40%
Sharpe -0.22 | Sortino -0.51 | Calmar -0.2
Vol 31% | MDD -57.9%
Months 35M (18%)
CAGR 18.4% | Win 55%
Sharpe 0.63 | Sortino 1.30 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 88M (46%)
MACDhist
neg
CAGR -22.2% | Win 44%
Sharpe -0.41 | Sortino -0.63 | Calmar -0.4
Vol 41% | MDD -55.2%
Months 23M (12%)
CAGR -20.0% | Win 39%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.3
Vol 32% | MDD -76.9%
Months 79M (42%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (54%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 74.6% | Win 71%
Sharpe 1.68 | Sortino 4.20 | Calmar 4.6
Vol 38% | MDD -16.1%
Months 41M (22%)
CAGR -4.4% | Win 44%
Sharpe 0.03 | Sortino 0.07 | Calmar -0.1
Vol 34% | MDD -44.3%
Months 32M (17%)
CAGR 34.1% | Win 59%
Sharpe 0.97 | Sortino 2.47 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 73M (38%)
RSIhist
neg
CAGR -24.2% | Win 43%
Sharpe -0.44 | Sortino -0.69 | Calmar -0.3
Vol 42% | MDD -71.8%
Months 35M (18%)
CAGR -21.9% | Win 38%
Sharpe -0.65 | Sortino -0.98 | Calmar -0.3
Vol 30% | MDD -84.3%
Months 82M (43%)
CAGR -22.6% | Win 39%
Sharpe -0.57 | Sortino -0.86 | Calmar -0.2
Vol 34% | MDD -94.8%
Months 117M (62%)
LWTI
only
CAGR 18.9% | Win 58%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 76M (40%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (60%)