REMX - VanEck Rare Earth and Strategic Metals ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

913.8%

Best CAGR

55

Total Months

13.9%

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 1.0 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair MRmean RSmean pos-neg 2 1.0 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair RSmean SLmean pos-neg 2 1.0 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair SLmean RSmean pos-neg 2 1.0 185.7 50.0 2.1 0.0 0.0 56.5 0.0
pair RSIhist LWTI pos-pos 41 21.4 74.6 70.7 1.7 4.2 4.7 37.8 -16.1
pair LWTI RSIhist pos-pos 41 21.4 74.6 70.7 1.7 4.2 4.7 37.8 -16.1
pair MRmean MACD pos-neg 30 15.6 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair MACD MRmean pos-neg 30 15.6 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair RSIhist RSI pos-pos 31 16.1 56.4 71.0 1.4 3.7 2.5 35.6 -22.2
pair RSI RSIhist pos-pos 31 16.1 56.4 71.0 1.4 3.7 2.5 35.6 -22.2
pair RSIhist MRmean pos-pos 53 27.6 55.9 64.2 1.4 3.9 2.5 38.6 -22.2
pair MRmean RSIhist pos-pos 53 27.6 55.9 64.2 1.4 3.9 2.5 38.6 -22.2
pair MACD SLmean pos-neg 39 20.3 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair SLmean MACD pos-neg 39 20.3 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair LWTI MACD neg-pos 33 17.2 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair MACD LWTI neg-pos 33 17.2 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair LWTI SLmean pos-pos 42 21.9 48.6 66.7 1.1 2.5 1.4 43.0 -36.1
pair SLmean LWTI pos-pos 42 21.9 48.6 66.7 1.1 2.5 1.4 43.0 -36.1
pair RSIhist SLmean pos-pos 61 31.8 47.9 62.3 1.2 3.5 1.5 37.9 -32.5
pair SLmean RSIhist pos-pos 61 31.8 47.9 62.3 1.2 3.5 1.5 37.9 -32.5
pair SLmean MACDhist pos-pos 58 30.2 47.4 63.8 1.2 2.8 1.6 39.9 -30.4
pair MACDhist SLmean pos-pos 58 30.2 47.4 63.8 1.2 2.8 1.6 39.9 -30.4
pair RSI MACD neg-pos 15 7.8 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair MACD RSI neg-pos 15 7.8 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair MACDhist RSIhist pos-pos 63 32.8 44.6 61.9 1.2 3.0 1.2 37.5 -37.5
pair RSIhist MACDhist pos-pos 63 32.8 44.6 61.9 1.2 3.0 1.2 37.5 -37.5
pair RSI MRmean pos-neg 24 12.5 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
pair MRmean RSI pos-neg 24 12.5 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
pair MRmean SLmean pos-pos 57 29.7 41.6 61.4 1.1 2.6 0.9 40.6 -44.1
pair SLmean MRmean pos-pos 57 29.7 41.6 61.4 1.1 2.6 0.9 40.6 -44.1
pair MRmean MACDhist pos-pos 60 31.2 39.2 61.7 1.0 2.0 1.1 40.7 -37.4
pair MACDhist MRmean pos-pos 60 31.2 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 LWTI MACDhist pos-pos 54 28.1 36.2 63.0 0.9 1.8 0.9 41.4 -39.0
pair MACDhist LWTI pos-pos 54 28.1 36.2 63.0 0.9 1.8 0.9 41.4 -39.0
pair MACD RSIhist neg-pos 49 25.5 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
pair RSIhist MACD neg-pos 49 25.5 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
single RSIhist RSIhist pos-pos 73 38.0 34.1 58.9 1.0 2.5 0.8 37.1 -44.3
pair MACD RSIhist pos-pos 24 12.5 33.6 62.5 0.9 2.6 1.5 38.3 -22.2
pair RSIhist MACD pos-pos 24 12.5 33.6 62.5 0.9 2.6 1.5 38.3 -22.2
pair LWTI MRmean pos-pos 49 25.5 32.2 61.2 0.9 1.6 0.9 42.3 -37.4
pair MRmean LWTI pos-pos 49 25.5 32.2 61.2 0.9 1.6 0.9 42.3 -37.4
pair SLmean RSI pos-neg 33 17.2 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair RSI SLmean pos-neg 33 17.2 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair RSIhist RSmean pos-pos 72 37.5 30.4 58.3 0.9 2.3 0.7 36.6 -44.3
pair RSmean RSIhist pos-pos 72 37.5 30.4 58.3 0.9 2.3 0.7 36.6 -44.3
single MRmean MRmean pos-pos 65 33.9 25.2 56.9 0.8 1.5 0.6 40.8 -39.9
pair RSI RSmean neg-neg 7 3.6 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
pair RSmean RSI neg-neg 7 3.6 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
single SLmean SLmean pos-pos 71 37.0 23.1 56.3 0.7 1.6 0.4 39.9 -60.4
pair MRmean RSmean pos-pos 63 32.8 22.0 57.1 0.7 1.4 0.6 40.6 -38.8
pair RSmean MRmean pos-pos 63 32.8 22.0 57.1 0.7 1.4 0.6 40.6 -38.8
pair MACDhist MACD neg-pos 53 27.6 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair MACD MACDhist neg-pos 53 27.6 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair RSI MACDhist pos-pos 41 21.4 20.7 63.4 0.7 1.2 0.4 40.1 -48.1
pair MACDhist RSI pos-pos 41 21.4 20.7 63.4 0.7 1.2 0.4 40.1 -48.1
pair RSmean SLmean pos-pos 69 35.9 20.1 56.5 0.7 1.4 0.3 39.7 -59.6
pair SLmean RSmean pos-pos 69 35.9 20.1 56.5 0.7 1.4 0.3 39.7 -59.6
pair RSI RSIhist neg-pos 42 21.9 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
pair RSIhist RSI neg-pos 42 21.9 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
pair SLmean RSI pos-pos 38 19.8 16.8 63.2 0.6 1.3 0.3 40.9 -53.5
pair RSI SLmean pos-pos 38 19.8 16.8 63.2 0.6 1.3 0.3 40.9 -53.5
pair RSI LWTI neg-pos 25 13.0 16.2 52.0 0.5 0.9 0.6 51.5 -29.5
pair LWTI RSI neg-pos 25 13.0 16.2 52.0 0.5 0.9 0.6 51.5 -29.5
pair RSI MRmean pos-pos 41 21.4 15.3 61.0 0.6 1.0 0.4 40.3 -38.8
pair MRmean RSI pos-pos 41 21.4 15.3 61.0 0.6 1.0 0.4 40.3 -38.8
pair LWTI RSmean pos-pos 66 34.4 15.2 59.1 0.5 1.0 0.3 42.0 -52.6
pair RSmean LWTI pos-pos 66 34.4 15.2 59.1 0.5 1.0 0.3 42.0 -52.6
single MACDhist MACDhist pos-pos 89 46.4 15.2 53.9 0.6 1.1 0.3 38.2 -57.9
pair RSmean MACDhist pos-pos 88 45.8 12.4 53.4 0.5 1.0 0.2 37.7 -57.9
pair MACDhist RSmean pos-pos 88 45.8 12.4 53.4 0.5 1.0 0.2 37.7 -57.9
pair MACDhist RSI neg-pos 48 25.0 10.8 45.8 0.4 1.2 0.2 36.8 -57.9
pair RSI MACDhist neg-pos 48 25.0 10.8 45.8 0.4 1.2 0.2 36.8 -57.9
single LWTI LWTI pos-pos 78 40.6 10.6 56.4 0.5 0.8 0.2 42.5 -52.6
pair LWTI RSI pos-pos 53 27.6 8.1 58.5 0.4 0.7 0.2 38.0 -48.1
pair RSI LWTI pos-pos 53 27.6 8.1 58.5 0.4 0.7 0.2 38.0 -48.1
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
pair MACD MACDhist pos-pos 36 18.8 6.2 55.6 0.3 0.7 0.2 41.9 -39.0
pair MACDhist MACD pos-pos 36 18.8 6.2 55.6 0.3 0.7 0.2 41.9 -39.0
pair LWTI MRmean pos-neg 16 8.3 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair MRmean LWTI pos-neg 16 8.3 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair RSmean RSI pos-pos 48 25.0 5.8 60.4 0.3 0.7 0.1 40.8 -49.9
pair RSI RSmean pos-pos 48 25.0 5.8 60.4 0.3 0.7 0.1 40.8 -49.9
single RSI RSI pos-pos 57 29.7 1.9 56.1 0.2 0.4 0.0 38.4 -51.8
single RSmean RSmean neg-neg 16 8.3 -0.8 37.5 0.2 0.3 -0.0 44.2 -44.5
pair MRmean MACD pos-pos 35 18.2 -3.6 51.4 0.1 0.2 -0.1 41.3 -46.1
pair MACD MRmean pos-pos 35 18.2 -3.6 51.4 0.1 0.2 -0.1 41.3 -46.1
pair MACD SLmean pos-pos 32 16.7 -3.8 53.1 0.1 0.2 -0.1 42.2 -54.4
pair SLmean MACD pos-pos 32 16.7 -3.8 53.1 0.1 0.2 -0.1 42.2 -54.4
pair LWTI RSIhist pos-neg 32 16.7 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
pair RSIhist LWTI pos-neg 32 16.7 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
single MACD MACD neg-neg 136 70.8 -4.8 44.9 0.0 0.1 -0.1 34.6 -87.7
pair MACD RSmean pos-neg 123 64.1 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair RSmean MACD pos-neg 123 64.1 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair LWTI SLmean pos-neg 29 15.1 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
pair SLmean LWTI pos-neg 29 15.1 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
pair benchmark___benchmark_ benchmark-benchmark 192 100.0 -6.9 46.4 -0.0 -0.0 -0.1 36.5 -88.2
pair benchmark___benchmark_ benchmark-benchmark 192 100.0 -6.9 46.4 -0.0 -0.0 -0.1 36.5 -88.2
single RSmean RSmean pos-pos 176 91.7 -7.5 47.2 -0.0 -0.1 -0.1 35.9 -82.7
pair MACD RSI neg-neg 121 63.0 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
pair RSI MACD neg-neg 121 63.0 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
pair RSIhist MRmean neg-pos 20 10.4 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
pair MRmean RSIhist neg-pos 20 10.4 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
single RSI RSI neg-neg 135 70.3 -10.4 42.2 -0.1 -0.2 -0.1 35.8 -86.3
pair MACD RSI pos-pos 42 21.9 -10.5 52.4 -0.1 -0.1 -0.2 41.5 -59.4
pair RSI MACD pos-pos 42 21.9 -10.5 52.4 -0.1 -0.1 -0.2 41.5 -59.4
pair RSmean MACD pos-pos 53 27.6 -11.0 52.8 -0.1 -0.1 -0.2 42.3 -55.2
pair MACD RSmean pos-pos 53 27.6 -11.0 52.8 -0.1 -0.1 -0.2 42.3 -55.2
pair LWTI MACDhist pos-neg 35 18.2 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair MACDhist LWTI pos-neg 35 18.2 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair LWTI RSmean neg-pos 12 6.2 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair RSmean LWTI neg-pos 12 6.2 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair MACD LWTI pos-pos 45 23.4 -11.6 53.3 -0.1 -0.2 -0.2 41.6 -52.6
pair LWTI MACD pos-pos 45 23.4 -11.6 53.3 -0.1 -0.2 -0.2 41.6 -52.6
single MACD MACD pos-pos 56 29.2 -12.0 50.0 -0.1 -0.2 -0.2 41.2 -58.8
pair RSmean RSI pos-neg 128 66.7 -12.0 42.2 -0.2 -0.4 -0.1 33.9 -84.2
pair RSI RSmean pos-neg 128 66.7 -12.0 42.2 -0.2 -0.4 -0.1 33.9 -84.2
pair LWTI MACD pos-neg 11 5.7 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MACD LWTI pos-neg 11 5.7 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MRmean RSmean neg-neg 14 7.3 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MRmean neg-neg 14 7.3 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair SLmean RSmean neg-neg 14 7.3 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean SLmean neg-neg 14 7.3 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MACDhist neg-neg 15 7.8 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair MACDhist RSmean neg-neg 15 7.8 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSmean RSIhist neg-neg 15 7.8 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSIhist RSmean neg-neg 15 7.8 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair LWTI RSI neg-neg 110 57.3 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair RSI LWTI neg-neg 110 57.3 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair RSI MACD pos-neg 14 7.3 -16.3 42.9 -0.2 -0.4 -0.7 41.9 -22.3
pair MACD RSI pos-neg 14 7.3 -16.3 42.9 -0.2 -0.4 -0.7 41.9 -22.3
pair RSIhist MACDhist neg-pos 10 5.2 -16.4 40.0 -0.4 -0.8 -0.7 33.1 -22.7
pair MACDhist RSIhist neg-pos 10 5.2 -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
single LWTI LWTI neg-neg 114 59.4 -17.3 39.5 -0.4 -0.7 -0.2 31.5 -90.3
pair LWTI MACD neg-neg 103 53.6 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair MACD LWTI neg-neg 103 53.6 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair MRmean LWTI neg-pos 29 15.1 -18.1 48.3 -0.3 -0.4 -0.3 42.0 -54.0
pair LWTI MRmean neg-pos 29 15.1 -18.1 48.3 -0.3 -0.4 -0.3 42.0 -54.0
pair RSIhist SLmean neg-pos 12 6.2 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair SLmean RSIhist neg-pos 12 6.2 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair MACD MACDhist neg-neg 83 43.2 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair MACDhist MACD neg-neg 83 43.2 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair MRmean SLmean neg-neg 113 58.9 -18.6 41.6 -0.4 -0.7 -0.2 33.5 -90.3
pair SLmean MRmean neg-neg 113 58.9 -18.6 41.6 -0.4 -0.7 -0.2 33.5 -90.3
pair SLmean MACDhist neg-neg 90 46.9 -18.7 42.2 -0.4 -0.6 -0.2 34.7 -84.3
pair MACDhist SLmean neg-neg 90 46.9 -18.7 42.2 -0.4 -0.6 -0.2 34.7 -84.3
pair LWTI RSmean pos-neg 110 57.3 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair RSmean LWTI pos-neg 110 57.3 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair MRmean MACD neg-neg 106 55.2 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
pair MACD MRmean neg-neg 106 55.2 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
pair MRmean RSI neg-neg 111 57.8 -19.2 40.5 -0.5 -0.7 -0.2 33.7 -88.2
pair RSI MRmean neg-neg 111 57.8 -19.2 40.5 -0.5 -0.7 -0.2 33.7 -88.2
pair MRmean MACDhist neg-neg 98 51.0 -19.4 41.8 -0.4 -0.7 -0.2 34.6 -87.3
pair MACDhist MRmean neg-neg 98 51.0 -19.4 41.8 -0.4 -0.7 -0.2 34.6 -87.3
pair LWTI MACDhist neg-neg 79 41.1 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
pair MACDhist LWTI neg-neg 79 41.1 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
single MRmean MRmean neg-neg 127 66.1 -20.1 40.9 -0.5 -0.8 -0.2 33.4 -93.0
pair RSI MACDhist neg-neg 87 45.3 -20.3 40.2 -0.5 -0.7 -0.2 35.0 -83.5
pair MACDhist RSI neg-neg 87 45.3 -20.3 40.2 -0.5 -0.7 -0.2 35.0 -83.5
pair LWTI MRmean neg-neg 98 51.0 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair MRmean LWTI neg-neg 98 51.0 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair RSmean MRmean neg-pos 113 58.9 -20.7 41.6 -0.6 -0.9 -0.2 32.3 -89.0
pair MRmean RSmean neg-pos 113 58.9 -20.7 41.6 -0.6 -0.9 -0.2 32.3 -89.0
pair SLmean RSI neg-neg 102 53.1 -20.7 40.2 -0.5 -0.8 -0.2 34.0 -89.2
pair RSI SLmean neg-neg 102 53.1 -20.7 40.2 -0.5 -0.8 -0.2 34.0 -89.2
pair SLmean LWTI neg-neg 85 44.3 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair LWTI SLmean neg-neg 85 44.3 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair MACD SLmean neg-neg 97 50.5 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
pair SLmean MACD neg-neg 97 50.5 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
single SLmean SLmean neg-neg 121 63.0 -21.0 40.5 -0.5 -0.8 -0.2 33.6 -93.1
pair SLmean RSIhist neg-neg 109 56.8 -21.3 40.4 -0.5 -0.8 -0.2 34.1 -91.5
pair RSIhist SLmean neg-neg 109 56.8 -21.3 40.4 -0.5 -0.8 -0.2 34.1 -91.5
pair RSI RSIhist neg-neg 93 48.4 -21.4 38.7 -0.5 -0.8 -0.2 34.2 -88.0
pair RSIhist RSI neg-neg 93 48.4 -21.4 38.7 -0.5 -0.8 -0.2 34.2 -88.0
pair MACD RSIhist neg-neg 87 45.3 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair RSIhist MACD neg-neg 87 45.3 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair LWTI SLmean neg-pos 36 18.8 -21.6 44.4 -0.4 -0.6 -0.3 40.0 -64.1
pair SLmean LWTI neg-pos 36 18.8 -21.6 44.4 -0.4 -0.6 -0.3 40.0 -64.1
pair SLmean RSmean neg-pos 107 55.7 -21.8 41.1 -0.6 -0.9 -0.2 32.4 -89.2
pair RSmean SLmean neg-pos 107 55.7 -21.8 41.1 -0.6 -0.9 -0.2 32.4 -89.2
pair MRmean RSIhist neg-neg 107 55.7 -21.8 40.2 -0.5 -0.8 -0.2 34.0 -91.7
pair RSIhist MRmean neg-neg 107 55.7 -21.8 40.2 -0.5 -0.8 -0.2 34.0 -91.7
pair SLmean MACD neg-pos 24 12.5 -21.9 45.8 -0.4 -0.6 -0.5 40.5 -42.2
pair MACD SLmean neg-pos 24 12.5 -21.9 45.8 -0.4 -0.6 -0.5 40.5 -42.2
pair RSIhist LWTI neg-neg 82 42.7 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair LWTI RSIhist neg-neg 82 42.7 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair MRmean MACDhist neg-pos 29 15.1 -22.1 37.9 -0.7 -1.2 -0.4 29.4 -53.8
pair MACDhist MRmean neg-pos 29 15.1 -22.1 37.9 -0.7 -1.2 -0.4 29.4 -53.8
pair RSI SLmean neg-pos 19 9.9 -22.4 42.1 -0.6 -0.8 -0.5 32.1 -42.0
pair SLmean RSI neg-pos 19 9.9 -22.4 42.1 -0.6 -0.8 -0.5 32.1 -42.0
single MACDhist MACDhist neg-neg 103 53.6 -22.6 39.8 -0.6 -0.8 -0.2 34.3 -91.8
pair MACDhist RSIhist neg-neg 93 48.4 -23.3 39.8 -0.6 -0.8 -0.3 34.6 -90.4
pair RSIhist MACDhist neg-neg 93 48.4 -23.3 39.8 -0.6 -0.8 -0.3 34.6 -90.4
pair MACDhist RSmean pos-neg 88 45.8 -23.9 40.9 -0.6 -1.0 -0.3 33.3 -86.8
pair RSmean MACDhist pos-neg 88 45.8 -23.9 40.9 -0.6 -1.0 -0.3 33.3 -86.8
pair MRmean MACD neg-pos 21 10.9 -24.5 47.6 -0.5 -0.8 -0.7 41.7 -35.9
pair MACD MRmean neg-pos 21 10.9 -24.5 47.6 -0.5 -0.8 -0.7 41.7 -35.9
single RSIhist RSIhist neg-neg 119 62.0 -25.6 38.7 -0.7 -1.0 -0.3 34.8 -96.0
pair MRmean RSI neg-pos 16 8.3 -25.8 43.8 -0.8 -1.1 -0.6 32.2 -41.8
pair RSI MRmean neg-pos 16 8.3 -25.8 43.8 -0.8 -1.1 -0.6 32.2 -41.8
pair RSmean RSIhist pos-neg 104 54.2 -27.0 39.4 -0.7 -1.1 -0.3 33.9 -93.7
pair RSIhist RSmean pos-neg 104 54.2 -27.0 39.4 -0.7 -1.1 -0.3 33.9 -93.7
pair SLmean MACDhist neg-pos 31 16.1 -27.3 35.5 -0.9 -1.3 -0.5 30.7 -60.4
pair MACDhist SLmean neg-pos 31 16.1 -27.3 35.5 -0.9 -1.3 -0.5 30.7 -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 SLmean MRmean neg-pos 14 7.3 -30.5 35.7 -0.9 -1.3 -0.7 33.4 -41.3
pair MRmean SLmean neg-pos 14 7.3 -30.5 35.7 -0.9 -1.3 -0.7 33.4 -41.3
pair LWTI MACDhist neg-pos 24 12.5 -30.7 41.7 -0.6 -1.0 -0.5 42.6 -64.2
pair MACDhist LWTI neg-pos 24 12.5 -30.7 41.7 -0.6 -1.0 -0.5 42.6 -64.2
pair RSIhist LWTI neg-pos 37 19.3 -33.3 40.5 -0.7 -1.1 -0.4 43.3 -78.6
pair LWTI RSIhist neg-pos 37 19.3 -33.3 40.5 -0.7 -1.1 -0.4 43.3 -78.6
pair MACDhist RSIhist pos-neg 26 13.5 -33.5 34.6 -0.9 -1.4 -0.6 35.7 -59.3
pair RSIhist MACDhist pos-neg 26 13.5 -33.5 34.6 -0.9 -1.4 -0.6 35.7 -59.3
pair RSI MACDhist pos-neg 16 8.3 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair MACDhist RSI pos-neg 16 8.3 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair RSIhist MACD pos-neg 32 16.7 -35.7 40.6 -0.8 -1.3 -0.5 41.7 -68.6
pair MACD RSIhist pos-neg 32 16.7 -35.7 40.6 -0.8 -1.3 -0.5 41.7 -68.6
pair MACDhist MACD pos-neg 20 10.4 -37.3 40.0 -1.0 -1.6 -0.8 39.0 -49.9
pair MACD MACDhist pos-neg 20 10.4 -37.3 40.0 -1.0 -1.6 -0.8 39.0 -49.9
pair RSIhist RSI pos-neg 26 13.5 -38.8 38.5 -1.1 -1.6 -0.6 37.1 -70.1
pair RSI RSIhist pos-neg 26 13.5 -38.8 38.5 -1.1 -1.6 -0.6 37.1 -70.1
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 6.2 -52.5 25.0 -1.6 -2.3 -1.1 40.5 -49.7
pair MRmean RSIhist pos-neg 12 6.2 -52.5 25.0 -1.6 -2.3 -1.1 40.5 -49.7
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 RSIhist SLmean pos-neg 10 5.2 -59.9 20.0 -2.1 -3.2 -1.1 39.2 -55.8
pair SLmean RSIhist pos-neg 10 5.2 -59.9 20.0 -2.1 -3.2 -1.1 39.2 -55.8
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 -30.5% | Win 36%
Sharpe -0.92 | Sortino -1.32 | Calmar -0.7
Vol 33% | MDD -41.3%
Months 14M (7%)
CAGR -18.6% | Win 42%
Sharpe -0.44 | Sortino -0.68 | Calmar -0.2
Vol 34% | MDD -90.3%
Months 113M (59%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
SLmean
only
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (37%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (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 -20.7% | Win 42%
Sharpe -0.55 | Sortino -0.86 | Calmar -0.2
Vol 32% | MDD -89.0%
Months 113M (59%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (7%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
RSmean
only
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 -24.5% | Win 48%
Sharpe -0.47 | Sortino -0.79 | Calmar -0.7
Vol 42% | MDD -35.9%
Months 21M (11%)
CAGR -19.1% | Win 40%
Sharpe -0.50 | Sortino -0.76 | Calmar -0.2
Vol 32% | MDD -89.8%
Months 106M (55%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
MACD
only
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
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 (21%)
CAGR 44.1% | Win 50%
Sharpe 1.06 | Sortino 4.69 | Calmar 3.3
Vol 42% | MDD -13.4%
Months 24M (12%)
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 -25.8% | Win 44%
Sharpe -0.76 | Sortino -1.05 | Calmar -0.6
Vol 32% | MDD -41.8%
Months 16M (8%)
CAGR -19.2% | Win 40%
Sharpe -0.46 | Sortino -0.70 | Calmar -0.2
Vol 34% | MDD -88.2%
Months 111M (58%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
RSI
only
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (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 (31%)
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 -22.1% | Win 38%
Sharpe -0.70 | Sortino -1.23 | Calmar -0.4
Vol 29% | MDD -53.8%
Months 29M (15%)
CAGR -19.4% | Win 42%
Sharpe -0.44 | Sortino -0.66 | Calmar -0.2
Vol 35% | MDD -87.3%
Months 98M (51%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
MACDhist
only
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 -21.8% | Win 40%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.2
Vol 34% | MDD -91.7%
Months 107M (56%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (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 -18.1% | Win 48%
Sharpe -0.26 | Sortino -0.39 | Calmar -0.3
Vol 42% | MDD -54.0%
Months 29M (15%)
CAGR -20.6% | Win 39%
Sharpe -0.59 | Sortino -0.92 | Calmar -0.2
Vol 31% | MDD -86.1%
Months 98M (51%)
CAGR -20.1% | Win 41%
Sharpe -0.49 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -93.0%
Months 127M (66%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 20.1% | Win 56%
Sharpe 0.65 | Sortino 1.42 | Calmar 0.3
Vol 40% | MDD -59.6%
Months 69M (36%)
CAGR 185.7% | Win 50%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 56% | MDD 0.0%
Months 2M (1%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (37%)
SLmean
neg
CAGR -21.8% | Win 41%
Sharpe -0.58 | Sortino -0.89 | Calmar -0.2
Vol 32% | MDD -89.2%
Months 107M (56%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (7%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (63%)
RSmean
only
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 -3.8% | Win 53%
Sharpe 0.11 | Sortino 0.24 | Calmar -0.1
Vol 42% | MDD -54.4%
Months 32M (17%)
CAGR 50.6% | Win 59%
Sharpe 1.27 | Sortino 4.31 | Calmar 2.0
Vol 38% | MDD -25.3%
Months 39M (20%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (37%)
SLmean
neg
CAGR -21.9% | Win 46%
Sharpe -0.41 | Sortino -0.62 | Calmar -0.5
Vol 40% | MDD -42.2%
Months 24M (12%)
CAGR -20.8% | Win 39%
Sharpe -0.56 | Sortino -0.83 | Calmar -0.2
Vol 32% | MDD -90.6%
Months 97M (50%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (63%)
MACD
only
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 16.8% | Win 63%
Sharpe 0.58 | Sortino 1.28 | Calmar 0.3
Vol 41% | MDD -53.5%
Months 38M (20%)
CAGR 30.7% | Win 48%
Sharpe 0.86 | Sortino 3.05 | Calmar 1.2
Vol 39% | MDD -25.3%
Months 33M (17%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (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 -20.7% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.2%
Months 102M (53%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (63%)
RSI
only
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (70%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 47.4% | Win 64%
Sharpe 1.17 | Sortino 2.75 | Calmar 1.6
Vol 40% | MDD -30.4%
Months 58M (30%)
CAGR -45.0% | Win 23%
Sharpe -1.71 | Sortino -2.50 | Calmar -1.0
Vol 32% | MDD -47.2%
Months 13M (7%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (37%)
SLmean
neg
CAGR -27.3% | Win 36%
Sharpe -0.87 | Sortino -1.27 | Calmar -0.5
Vol 31% | MDD -60.4%
Months 31M (16%)
CAGR -18.7% | Win 42%
Sharpe -0.41 | Sortino -0.62 | Calmar -0.2
Vol 35% | MDD -84.3%
Months 90M (47%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (63%)
MACDhist
only
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 -59.9% | Win 20%
Sharpe -2.06 | Sortino -3.21 | Calmar -1.1
Vol 39% | MDD -55.8%
Months 10M (5%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (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 -21.3% | Win 40%
Sharpe -0.52 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -91.5%
Months 109M (57%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 48.6% | Win 67%
Sharpe 1.14 | Sortino 2.54 | Calmar 1.3
Vol 43% | MDD -36.1%
Months 42M (22%)
CAGR -6.3% | Win 41%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.1
Vol 34% | MDD -43.8%
Months 29M (15%)
CAGR 23.1% | Win 56%
Sharpe 0.71 | Sortino 1.56 | Calmar 0.4
Vol 40% | MDD -60.4%
Months 71M (37%)
SLmean
neg
CAGR -21.6% | Win 44%
Sharpe -0.40 | Sortino -0.56 | Calmar -0.3
Vol 40% | MDD -64.1%
Months 36M (19%)
CAGR -20.8% | Win 39%
Sharpe -0.59 | Sortino -0.93 | Calmar -0.2
Vol 31% | MDD -83.9%
Months 85M (44%)
CAGR -21.0% | Win 40%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.2
Vol 34% | MDD -93.1%
Months 121M (63%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -11.0% | Win 53%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.2
Vol 42% | MDD -55.2%
Months 53M (28%)
CAGR -5.9% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 33% | MDD -81.9%
Months 123M (64%)
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 60%
Sharpe 0.34 | Sortino 0.65 | Calmar 0.1
Vol 41% | MDD -49.9%
Months 48M (25%)
CAGR -12.0% | Win 42%
Sharpe -0.21 | Sortino -0.38 | Calmar -0.1
Vol 34% | MDD -84.2%
Months 128M (67%)
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (70%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.4% | Win 53%
Sharpe 0.49 | Sortino 0.98 | Calmar 0.2
Vol 38% | MDD -57.9%
Months 88M (46%)
CAGR -23.9% | Win 41%
Sharpe -0.64 | Sortino -1.00 | Calmar -0.3
Vol 33% | MDD -86.8%
Months 88M (46%)
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 -27.0% | Win 39%
Sharpe -0.74 | Sortino -1.14 | Calmar -0.3
Vol 34% | MDD -93.7%
Months 104M (54%)
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 15.2% | Win 59%
Sharpe 0.54 | Sortino 1.03 | Calmar 0.3
Vol 42% | MDD -52.6%
Months 66M (34%)
CAGR -18.9% | Win 40%
Sharpe -0.51 | Sortino -0.84 | Calmar -0.2
Vol 31% | MDD -89.5%
Months 110M (57%)
CAGR -7.5% | Win 47%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 36% | MDD -82.7%
Months 176M (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 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -10.5% | Win 52%
Sharpe -0.06 | Sortino -0.12 | Calmar -0.2
Vol 42% | MDD -59.4%
Months 42M (22%)
CAGR -16.3% | Win 43%
Sharpe -0.23 | Sortino -0.38 | Calmar -0.7
Vol 42% | MDD -22.3%
Months 14M (7%)
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
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 (63%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
RSI
only
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (70%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.2% | Win 56%
Sharpe 0.35 | Sortino 0.65 | Calmar 0.2
Vol 42% | MDD -39.0%
Months 36M (19%)
CAGR -37.3% | Win 40%
Sharpe -0.99 | Sortino -1.61 | Calmar -0.7
Vol 39% | MDD -49.9%
Months 20M (10%)
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
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 (43%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
MACDhist
only
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 (12%)
CAGR -35.7% | Win 41%
Sharpe -0.83 | Sortino -1.34 | Calmar -0.5
Vol 42% | MDD -68.6%
Months 32M (17%)
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
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 (45%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (71%)
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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -11.6% | Win 53%
Sharpe -0.09 | Sortino -0.17 | Calmar -0.2
Vol 42% | MDD -52.6%
Months 45M (23%)
CAGR -13.9% | Win 36%
Sharpe -0.17 | Sortino -0.30 | Calmar -0.5
Vol 42% | MDD -25.8%
Months 11M (6%)
CAGR -12.0% | Win 50%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.2
Vol 41% | MDD -58.8%
Months 56M (29%)
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 (71%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 20.7% | Win 63%
Sharpe 0.67 | Sortino 1.17 | Calmar 0.4
Vol 40% | MDD -48.1%
Months 41M (21%)
CAGR -33.9% | Win 38%
Sharpe -1.16 | Sortino -1.71 | Calmar -0.7
Vol 31% | MDD -50.1%
Months 16M (8%)
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
RSI
neg
CAGR 10.8% | Win 46%
Sharpe 0.44 | Sortino 1.22 | Calmar 0.2
Vol 37% | MDD -57.9%
Months 48M (25%)
CAGR -20.3% | Win 40%
Sharpe -0.47 | Sortino -0.70 | Calmar -0.2
Vol 35% | MDD -83.5%
Months 87M (45%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (70%)
MACDhist
only
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 -38.8% | Win 38%
Sharpe -1.11 | Sortino -1.62 | Calmar -0.6
Vol 37% | MDD -70.1%
Months 26M (14%)
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (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 -21.4% | Win 39%
Sharpe -0.53 | Sortino -0.80 | Calmar -0.2
Vol 34% | MDD -88.0%
Months 93M (48%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.1% | Win 58%
Sharpe 0.40 | Sortino 0.68 | Calmar 0.2
Vol 38% | MDD -48.1%
Months 53M (28%)
CAGR -53.6% | Win 25%
Sharpe -1.57 | Sortino -2.69 | Calmar -1.8
Vol 43% | MDD -30.0%
Months 4M (2%)
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.0
Vol 38% | MDD -51.8%
Months 57M (30%)
RSI
neg
CAGR 16.2% | Win 52%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.5
Vol 52% | MDD -29.5%
Months 25M (13%)
CAGR -15.6% | Win 40%
Sharpe -0.39 | Sortino -0.65 | Calmar -0.2
Vol 31% | MDD -87.5%
Months 110M (57%)
CAGR -10.4% | Win 42%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.1
Vol 36% | MDD -86.3%
Months 135M (70%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
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 -33.5% | Win 35%
Sharpe -0.94 | Sortino -1.44 | Calmar -0.6
Vol 36% | MDD -59.3%
Months 26M (14%)
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (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 -23.3% | Win 40%
Sharpe -0.58 | Sortino -0.85 | Calmar -0.3
Vol 35% | MDD -90.4%
Months 93M (48%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (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 -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 36.2% | Win 63%
Sharpe 0.95 | Sortino 1.75 | Calmar 0.9
Vol 41% | MDD -39.0%
Months 54M (28%)
CAGR -11.0% | Win 40%
Sharpe -0.22 | Sortino -0.51 | Calmar -0.2
Vol 31% | MDD -57.9%
Months 35M (18%)
CAGR 15.2% | Win 54%
Sharpe 0.56 | Sortino 1.12 | Calmar 0.3
Vol 38% | MDD -57.9%
Months 89M (46%)
MACDhist
neg
CAGR -30.7% | Win 42%
Sharpe -0.63 | Sortino -0.96 | Calmar -0.5
Vol 43% | MDD -64.2%
Months 24M (12%)
CAGR -20.0% | Win 39%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.3
Vol 32% | MDD -76.9%
Months 79M (41%)
CAGR -22.6% | Win 40%
Sharpe -0.56 | Sortino -0.85 | Calmar -0.2
Vol 34% | MDD -91.8%
Months 103M (54%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)
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 (21%)
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 -33.3% | Win 40%
Sharpe -0.70 | Sortino -1.09 | Calmar -0.4
Vol 43% | MDD -78.6%
Months 37M (19%)
CAGR -21.9% | Win 38%
Sharpe -0.65 | Sortino -0.98 | Calmar -0.3
Vol 30% | MDD -84.3%
Months 82M (43%)
CAGR -25.6% | Win 39%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 35% | MDD -96.0%
Months 119M (62%)
LWTI
only
CAGR 10.6% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 78M (41%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (59%)