REMX - VanEck Rare Earth and Strategic Metals ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

913.8%

Best CAGR

52

Total Months

20.0%

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 37 20.1 92.9 75.7 2.0 4.9 7.3 35.8 -12.8
pair LWTI RSIhist pos-pos 37 20.1 92.9 75.7 2.0 4.9 7.3 35.8 -12.8
pair RSIhist RSI pos-pos 27 14.7 76.3 77.8 1.9 4.2 3.4 32.7 -22.2
pair RSI RSIhist pos-pos 27 14.7 76.3 77.8 1.9 4.2 3.4 32.7 -22.2
pair LWTI SLmean pos-pos 37 20.1 73.2 73.0 1.6 3.1 2.0 40.8 -36.1
pair SLmean LWTI pos-pos 37 20.1 73.2 73.0 1.6 3.1 2.0 40.8 -36.1
pair MRmean MACD pos-neg 30 16.3 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair MACD MRmean pos-neg 30 16.3 69.8 63.3 1.6 6.4 5.2 39.1 -13.4
pair RSIhist MRmean pos-pos 49 26.6 66.5 67.3 1.6 4.5 3.0 37.4 -22.2
pair MRmean RSIhist pos-pos 49 26.6 66.5 67.3 1.6 4.5 3.0 37.4 -22.2
pair SLmean MACDhist pos-pos 53 28.8 64.0 67.9 1.5 3.6 2.6 38.0 -25.0
pair MACDhist SLmean pos-pos 53 28.8 64.0 67.9 1.5 3.6 2.6 38.0 -25.0
pair LWTI MACDhist pos-pos 47 25.5 59.6 68.1 1.5 3.0 2.1 37.1 -27.8
pair MACDhist LWTI pos-pos 47 25.5 59.6 68.1 1.5 3.0 2.1 37.1 -27.8
pair MRmean MACDhist pos-pos 55 29.9 57.0 65.5 1.4 3.2 2.0 37.9 -28.7
pair MACDhist MRmean pos-pos 55 29.9 57.0 65.5 1.4 3.2 2.0 37.9 -28.7
pair RSIhist SLmean pos-pos 57 31.0 55.9 64.9 1.4 3.9 1.7 36.9 -32.5
pair SLmean RSIhist pos-pos 57 31.0 55.9 64.9 1.4 3.9 1.7 36.9 -32.5
pair RSI MACDhist pos-pos 35 19.0 53.2 71.4 1.4 2.6 2.2 34.4 -24.3
pair MACDhist RSI pos-pos 35 19.0 53.2 71.4 1.4 2.6 2.2 34.4 -24.3
pair LWTI MRmean pos-pos 44 23.9 52.7 65.9 1.3 2.6 1.7 39.2 -31.3
pair MRmean LWTI pos-pos 44 23.9 52.7 65.9 1.3 2.6 1.7 39.2 -31.3
pair RSIhist MACD pos-pos 20 10.9 52.2 70.0 1.4 3.2 2.4 35.7 -22.2
pair MACD RSIhist pos-pos 20 10.9 52.2 70.0 1.4 3.2 2.4 35.7 -22.2
pair MACDhist RSIhist pos-pos 59 32.1 51.9 64.4 1.3 3.4 1.4 36.5 -37.5
pair RSIhist MACDhist pos-pos 59 32.1 51.9 64.4 1.3 3.4 1.4 36.5 -37.5
pair MACD SLmean pos-neg 39 21.2 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair SLmean MACD pos-neg 39 21.2 50.6 59.0 1.3 4.3 2.0 37.6 -25.3
pair LWTI MACD neg-pos 33 17.9 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair MACD LWTI neg-pos 33 17.9 50.2 60.6 1.2 1.9 1.1 42.6 -44.5
pair MRmean SLmean pos-pos 53 28.8 49.4 64.2 1.2 2.8 1.1 39.8 -44.1
pair SLmean MRmean pos-pos 53 28.8 49.4 64.2 1.2 2.8 1.1 39.8 -44.1
pair RSI MACD neg-pos 15 8.2 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair MACD RSI neg-pos 15 8.2 46.7 66.7 1.6 2.6 2.2 27.0 -21.2
pair RSI MRmean pos-neg 24 13.0 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
pair MRmean RSI pos-neg 24 13.0 44.1 50.0 1.1 4.7 3.3 42.2 -13.4
single RSIhist RSIhist pos-pos 69 37.5 39.3 60.9 1.1 2.7 0.9 36.4 -44.3
pair RSmean LWTI neg-neg 4 2.2 39.0 25.0 0.9 10.7 9.1 41.7 -4.3
pair LWTI RSmean neg-neg 4 2.2 39.0 25.0 0.9 10.7 9.1 41.7 -4.3
single MRmean MRmean pos-pos 60 32.6 38.6 60.0 1.0 2.4 1.0 38.5 -39.9
pair LWTI RSmean pos-pos 58 31.5 35.5 63.8 1.0 2.2 0.8 37.8 -41.7
pair RSmean LWTI pos-pos 58 31.5 35.5 63.8 1.0 2.2 0.8 37.8 -41.7
pair RSmean RSIhist pos-pos 68 37.0 35.3 60.3 1.0 2.5 0.8 35.8 -44.3
pair RSIhist RSmean pos-pos 68 37.0 35.3 60.3 1.0 2.5 0.8 35.8 -44.3
pair MRmean RSmean pos-pos 58 31.5 35.2 60.3 1.0 2.3 0.9 38.2 -38.8
pair RSmean MRmean pos-pos 58 31.5 35.2 60.3 1.0 2.3 0.9 38.2 -38.8
pair RSI MRmean pos-pos 36 19.6 35.1 66.7 1.0 2.0 0.9 36.5 -38.8
pair MRmean RSI pos-pos 36 19.6 35.1 66.7 1.0 2.0 0.9 36.5 -38.8
pair MACD RSIhist neg-pos 49 26.6 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
pair RSIhist MACD neg-pos 49 26.6 34.4 57.1 1.0 2.5 0.8 36.9 -44.3
pair RSI SLmean pos-pos 33 17.9 33.7 69.7 0.9 1.8 0.6 38.9 -53.5
pair SLmean RSI pos-pos 33 17.9 33.7 69.7 0.9 1.8 0.6 38.9 -53.5
single SLmean SLmean pos-pos 66 35.9 32.2 59.1 0.9 2.0 0.5 38.8 -60.4
pair RSI SLmean pos-neg 33 17.9 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair SLmean RSI pos-neg 33 17.9 30.7 48.5 0.9 3.0 1.2 39.3 -25.3
pair MACD MACDhist pos-pos 29 15.8 29.3 62.1 0.9 1.8 1.1 36.0 -27.8
pair MACDhist MACD pos-pos 29 15.8 29.3 62.1 0.9 1.8 1.1 36.0 -27.8
pair RSmean SLmean pos-pos 64 34.8 29.1 59.4 0.8 1.8 0.5 38.5 -59.6
pair SLmean RSmean pos-pos 64 34.8 29.1 59.4 0.8 1.8 0.5 38.5 -59.6
pair LWTI RSI pos-pos 47 25.5 27.4 63.8 0.9 1.6 0.9 33.9 -29.5
pair RSI LWTI pos-pos 47 25.5 27.4 63.8 0.9 1.6 0.9 33.9 -29.5
pair RSmean RSI pos-pos 42 22.8 26.7 66.7 0.8 1.6 0.6 37.0 -43.3
pair RSI RSmean pos-pos 42 22.8 26.7 66.7 0.8 1.6 0.6 37.0 -43.3
single LWTI LWTI pos-pos 70 38.0 26.0 60.0 0.8 1.4 0.6 39.3 -44.5
single MACDhist MACDhist pos-pos 82 44.6 24.4 56.1 0.8 1.8 0.4 35.6 -57.9
pair RSmean RSI neg-neg 7 3.8 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
pair RSI RSmean neg-neg 7 3.8 23.9 42.9 0.6 0.9 0.8 63.9 -29.5
pair RSI LWTI neg-pos 23 12.5 23.3 52.2 0.7 1.2 0.8 49.3 -29.5
pair LWTI RSI neg-pos 23 12.5 23.3 52.2 0.7 1.2 0.8 49.3 -29.5
pair MACDhist MACD neg-pos 53 28.8 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair MACD MACDhist neg-pos 53 28.8 21.8 52.8 0.7 1.9 0.4 35.8 -57.9
pair MACDhist RSmean pos-pos 81 44.0 21.2 55.6 0.7 1.6 0.4 35.1 -57.9
pair RSmean MACDhist pos-pos 81 44.0 21.2 55.6 0.7 1.6 0.4 35.1 -57.9
pair RSI RSIhist neg-pos 42 22.8 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
pair RSIhist RSI neg-pos 42 22.8 19.8 50.0 0.7 1.7 0.5 38.3 -44.3
single RSI RSI pos-pos 51 27.7 17.7 60.8 0.6 1.1 0.4 35.0 -45.5
pair MRmean MACD pos-pos 30 16.3 13.1 56.7 0.5 1.0 0.3 37.7 -39.9
pair MACD MRmean pos-pos 30 16.3 13.1 56.7 0.5 1.0 0.3 37.7 -39.9
pair MACD SLmean pos-pos 27 14.7 9.6 59.3 0.4 0.8 0.2 40.6 -54.3
pair SLmean MACD pos-pos 27 14.7 9.6 59.3 0.4 0.8 0.2 40.6 -54.3
pair MACD LWTI pos-pos 37 20.1 7.8 59.5 0.4 0.8 0.2 35.9 -41.7
pair LWTI MACD pos-pos 37 20.1 7.8 59.5 0.4 0.8 0.2 35.9 -41.7
pair MACD RSI pos-pos 36 19.6 7.3 58.3 0.4 0.7 0.2 38.0 -45.5
pair RSI MACD pos-pos 36 19.6 7.3 58.3 0.4 0.7 0.2 38.0 -45.5
pair RSmean MACD neg-neg 13 7.1 6.9 46.2 0.4 0.5 0.2 49.0 -44.5
pair MACD RSmean neg-neg 13 7.1 6.9 46.2 0.4 0.5 0.2 49.0 -44.5
pair MACDhist RSI neg-pos 47 25.5 6.5 44.7 0.3 0.9 0.1 36.3 -57.9
pair RSI MACDhist neg-pos 47 25.5 6.5 44.7 0.3 0.9 0.1 36.3 -57.9
pair LWTI MRmean pos-neg 16 8.7 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair MRmean LWTI pos-neg 16 8.7 6.1 43.8 0.3 1.1 0.2 36.4 -26.2
pair RSmean MACD pos-pos 45 24.5 4.8 57.8 0.3 0.6 0.1 38.0 -41.7
pair MACD RSmean pos-pos 45 24.5 4.8 57.8 0.3 0.6 0.1 38.0 -41.7
single MACD MACD pos-pos 48 26.1 2.4 54.2 0.2 0.5 0.1 36.9 -41.7
single RSmean RSmean neg-neg 16 8.7 -0.8 37.5 0.2 0.3 -0.0 44.2 -44.5
pair benchmark___benchmark_ benchmark-benchmark 184 100.0 -2.9 47.3 0.1 0.1 -0.0 35.1 -88.2
pair benchmark___benchmark_ benchmark-benchmark 184 100.0 -2.9 47.3 0.1 0.1 -0.0 35.1 -88.2
single RSmean RSmean pos-pos 168 91.3 -3.1 48.2 0.1 0.1 -0.0 34.3 -82.7
pair LWTI RSIhist pos-neg 32 17.4 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
pair RSIhist LWTI pos-neg 32 17.4 -4.4 43.8 0.0 0.1 -0.1 34.3 -44.3
single MACD MACD neg-neg 136 73.9 -4.8 44.9 0.0 0.1 -0.1 34.6 -87.7
pair MACD RSmean pos-neg 123 66.8 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair RSmean MACD pos-neg 123 66.8 -5.9 44.7 -0.0 -0.1 -0.1 32.9 -81.9
pair SLmean MACD neg-pos 21 11.4 -6.2 47.6 -0.1 -0.1 -0.2 32.3 -34.9
pair MACD SLmean neg-pos 21 11.4 -6.2 47.6 -0.1 -0.1 -0.2 32.3 -34.9
pair LWTI SLmean pos-neg 29 15.8 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
pair SLmean LWTI pos-neg 29 15.8 -6.3 41.4 -0.0 -0.1 -0.1 33.9 -43.8
pair SLmean RSI neg-pos 18 9.8 -6.9 44.4 -0.1 -0.2 -0.2 25.9 -34.6
pair RSI SLmean neg-pos 18 9.8 -6.9 44.4 -0.1 -0.2 -0.2 25.9 -34.6
pair MRmean LWTI neg-pos 26 14.1 -9.0 50.0 -0.1 -0.1 -0.2 38.2 -44.5
pair LWTI MRmean neg-pos 26 14.1 -9.0 50.0 -0.1 -0.1 -0.2 38.2 -44.5
pair MACD RSI neg-neg 121 65.8 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
pair RSI MACD neg-neg 121 65.8 -9.7 42.1 -0.1 -0.2 -0.1 35.2 -84.4
single RSI RSI neg-neg 133 72.3 -9.9 42.1 -0.1 -0.2 -0.1 35.1 -86.3
pair MRmean RSIhist neg-pos 20 10.9 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
pair RSIhist MRmean neg-pos 20 10.9 -10.0 45.0 -0.2 -0.3 -0.3 30.5 -38.7
pair MACDhist LWTI pos-neg 35 19.0 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair LWTI MACDhist pos-neg 35 19.0 -11.0 40.0 -0.2 -0.5 -0.2 31.4 -57.9
pair RSI MACD pos-neg 12 6.5 -11.2 41.7 -0.2 -0.4 -0.6 34.7 -19.3
pair MACD RSI pos-neg 12 6.5 -11.2 41.7 -0.2 -0.4 -0.6 34.7 -19.3
pair RSmean LWTI neg-pos 12 6.5 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair RSI RSmean pos-neg 126 68.5 -11.4 42.1 -0.2 -0.4 -0.1 33.0 -84.2
pair RSmean RSI pos-neg 126 68.5 -11.4 42.1 -0.2 -0.4 -0.1 33.0 -84.2
pair LWTI RSmean neg-pos 12 6.5 -11.4 41.7 -0.0 -0.0 -0.3 46.4 -44.5
pair SLmean LWTI neg-pos 33 17.9 -11.8 45.5 -0.2 -0.3 -0.2 35.1 -54.0
pair LWTI SLmean neg-pos 33 17.9 -11.8 45.5 -0.2 -0.3 -0.2 35.1 -54.0
pair MRmean MACD neg-pos 18 9.8 -13.3 50.0 -0.2 -0.4 -0.7 36.1 -20.2
pair MACD MRmean neg-pos 18 9.8 -13.3 50.0 -0.2 -0.4 -0.7 36.1 -20.2
pair LWTI MACD pos-neg 11 6.0 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MACD LWTI pos-neg 11 6.0 -13.9 36.4 -0.2 -0.3 -0.5 41.6 -25.8
pair MRmean RSmean neg-neg 14 7.6 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair SLmean RSmean neg-neg 14 7.6 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean SLmean neg-neg 14 7.6 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MRmean neg-neg 14 7.6 -14.7 35.7 -0.2 -0.2 -0.3 42.9 -44.5
pair RSmean MACDhist neg-neg 15 8.2 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair MACDhist RSmean neg-neg 15 8.2 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSmean RSIhist neg-neg 15 8.2 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair RSIhist RSmean neg-neg 15 8.2 -15.0 33.3 -0.2 -0.3 -0.3 41.3 -44.5
pair MRmean RSI neg-pos 15 8.2 -15.5 46.7 -0.4 -0.6 -0.5 30.0 -29.8
pair RSI MRmean neg-pos 15 8.2 -15.5 46.7 -0.4 -0.6 -0.5 30.0 -29.8
pair LWTI RSI neg-neg 110 59.8 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair RSI LWTI neg-neg 110 59.8 -15.6 40.0 -0.4 -0.7 -0.2 31.1 -87.5
pair MACDhist SLmean neg-neg 89 48.4 -16.1 42.7 -0.3 -0.5 -0.2 34.0 -82.7
pair SLmean MACDhist neg-neg 89 48.4 -16.1 42.7 -0.3 -0.5 -0.2 34.0 -82.7
pair RSIhist MACDhist neg-pos 10 5.4 -16.4 40.0 -0.4 -0.8 -0.7 33.1 -22.7
pair MACDhist RSIhist neg-pos 10 5.4 -16.4 40.0 -0.4 -0.8 -0.7 33.1 -22.7
pair RSmean RSI neg-pos 9 4.9 -16.5 33.3 -0.7 -1.1 -0.7 21.8 -24.3
pair RSI RSmean neg-pos 9 4.9 -16.5 33.3 -0.7 -1.1 -0.7 21.8 -24.3
pair MACDhist MRmean neg-neg 97 52.7 -17.1 42.3 -0.4 -0.6 -0.2 34.0 -83.9
pair MRmean MACDhist neg-neg 97 52.7 -17.1 42.3 -0.4 -0.6 -0.2 34.0 -83.9
single LWTI LWTI neg-neg 114 62.0 -17.3 39.5 -0.4 -0.7 -0.2 31.5 -90.3
pair LWTI MACD neg-neg 103 56.0 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair MACD LWTI neg-neg 103 56.0 -17.7 39.8 -0.5 -0.8 -0.2 30.5 -88.9
pair MACDhist RSI neg-neg 86 46.7 -17.7 40.7 -0.4 -0.6 -0.2 34.3 -79.1
pair RSI MACDhist neg-neg 86 46.7 -17.7 40.7 -0.4 -0.6 -0.2 34.3 -79.1
pair MRmean SLmean neg-neg 111 60.3 -18.2 41.4 -0.5 -0.7 -0.2 32.5 -90.3
pair SLmean MRmean neg-neg 111 60.3 -18.2 41.4 -0.5 -0.7 -0.2 32.5 -90.3
single MRmean MRmean neg-neg 124 67.4 -18.3 41.1 -0.5 -0.7 -0.2 32.3 -91.7
pair SLmean RSIhist neg-neg 106 57.6 -18.3 40.6 -0.5 -0.7 -0.2 32.3 -89.7
pair RSIhist SLmean neg-neg 106 57.6 -18.3 40.6 -0.5 -0.7 -0.2 32.3 -89.7
single SLmean SLmean neg-neg 118 64.1 -18.4 40.7 -0.5 -0.7 -0.2 31.9 -91.6
pair RSIhist SLmean neg-pos 12 6.5 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair SLmean RSIhist neg-pos 12 6.5 -18.5 41.7 -0.5 -0.8 -0.7 29.9 -25.9
pair MACD MACDhist neg-neg 83 45.1 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair MACDhist MACD neg-neg 83 45.1 -18.6 39.8 -0.4 -0.7 -0.2 33.2 -82.3
pair RSI MRmean neg-neg 109 59.2 -18.7 40.4 -0.5 -0.7 -0.2 32.7 -88.2
pair MRmean RSI neg-neg 109 59.2 -18.7 40.4 -0.5 -0.7 -0.2 32.7 -88.2
pair MRmean RSmean neg-pos 110 59.8 -18.8 41.8 -0.5 -0.8 -0.2 30.9 -87.0
pair RSmean MRmean neg-pos 110 59.8 -18.8 41.8 -0.5 -0.8 -0.2 30.9 -87.0
pair SLmean RSmean neg-pos 104 56.5 -18.8 41.3 -0.5 -0.8 -0.2 30.4 -86.8
pair RSmean SLmean neg-pos 104 56.5 -18.8 41.3 -0.5 -0.8 -0.2 30.4 -86.8
pair LWTI RSmean pos-neg 110 59.8 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair RSmean LWTI pos-neg 110 59.8 -18.9 40.0 -0.5 -0.8 -0.2 31.2 -89.5
pair MRmean MACD neg-neg 106 57.6 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
pair MACD MRmean neg-neg 106 57.6 -19.1 39.6 -0.5 -0.8 -0.2 31.8 -89.8
pair SLmean MRmean neg-pos 13 7.1 -19.7 38.5 -0.6 -0.8 -0.7 31.3 -29.1
pair MRmean SLmean neg-pos 13 7.1 -19.7 38.5 -0.6 -0.8 -0.7 31.3 -29.1
pair MRmean RSIhist neg-neg 104 56.5 -19.8 40.4 -0.5 -0.8 -0.2 32.7 -90.9
pair RSIhist MRmean neg-neg 104 56.5 -19.8 40.4 -0.5 -0.8 -0.2 32.7 -90.9
pair LWTI MACDhist neg-neg 79 42.9 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
pair MACDhist LWTI neg-neg 79 42.9 -20.0 39.2 -0.5 -0.8 -0.3 31.7 -76.9
pair SLmean RSI neg-neg 100 54.3 -20.3 40.0 -0.5 -0.8 -0.2 32.9 -89.2
pair RSI SLmean neg-neg 100 54.3 -20.3 40.0 -0.5 -0.8 -0.2 32.9 -89.2
single MACDhist MACDhist neg-neg 102 55.4 -20.5 40.2 -0.5 -0.8 -0.2 33.8 -89.6
pair LWTI MRmean neg-neg 98 53.3 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair MRmean LWTI neg-neg 98 53.3 -20.6 38.8 -0.6 -0.9 -0.2 30.6 -86.1
pair SLmean MACD neg-neg 97 52.7 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
pair SLmean LWTI neg-neg 85 46.2 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair LWTI SLmean neg-neg 85 46.2 -20.8 38.8 -0.6 -0.9 -0.2 30.7 -83.9
pair MACD SLmean neg-neg 97 52.7 -20.8 39.2 -0.6 -0.8 -0.2 31.9 -90.6
pair MACDhist RSIhist neg-neg 92 50.0 -20.9 40.2 -0.5 -0.8 -0.2 34.0 -89.5
pair RSIhist MACDhist neg-neg 92 50.0 -20.9 40.2 -0.5 -0.8 -0.2 34.0 -89.5
pair RSIhist RSI neg-neg 91 49.5 -20.9 38.5 -0.5 -0.8 -0.2 33.0 -88.0
pair RSI RSIhist neg-neg 91 49.5 -20.9 38.5 -0.5 -0.8 -0.2 33.0 -88.0
pair MACDhist RSmean pos-neg 87 47.3 -21.4 41.4 -0.6 -0.9 -0.3 32.6 -83.3
pair RSmean MACDhist pos-neg 87 47.3 -21.4 41.4 -0.6 -0.9 -0.3 32.6 -83.3
pair MRmean SLmean pos-neg 7 3.8 -21.4 28.6 -1.0 -1.8 -1.1 21.0 -19.7
pair SLmean MRmean pos-neg 7 3.8 -21.4 28.6 -1.0 -1.8 -1.1 21.0 -19.7
pair RSIhist MACD neg-neg 87 47.3 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair MACD RSIhist neg-neg 87 47.3 -21.5 37.9 -0.6 -0.9 -0.2 32.0 -89.3
pair RSIhist LWTI neg-pos 33 17.9 -21.8 42.4 -0.4 -0.7 -0.3 39.0 -63.1
pair LWTI RSIhist neg-pos 33 17.9 -21.8 42.4 -0.4 -0.7 -0.3 39.0 -63.1
single RSIhist RSIhist neg-neg 115 62.5 -21.9 39.1 -0.6 -0.9 -0.2 32.9 -94.2
pair LWTI RSIhist neg-neg 82 44.6 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair RSIhist LWTI neg-neg 82 44.6 -21.9 37.8 -0.7 -1.0 -0.3 30.4 -84.3
pair LWTI MACDhist neg-pos 23 12.5 -22.2 43.5 -0.4 -0.6 -0.4 40.9 -55.2
pair MACDhist LWTI neg-pos 23 12.5 -22.2 43.5 -0.4 -0.6 -0.4 40.9 -55.2
pair MRmean MACDhist neg-pos 27 14.7 -22.6 37.0 -0.9 -1.5 -0.4 25.5 -53.8
pair MACDhist MRmean neg-pos 27 14.7 -22.6 37.0 -0.9 -1.5 -0.4 25.5 -53.8
pair RSmean RSIhist pos-neg 100 54.3 -22.8 40.0 -0.7 -1.0 -0.2 31.7 -90.7
pair RSIhist RSmean pos-neg 100 54.3 -22.8 40.0 -0.7 -1.0 -0.2 31.7 -90.7
pair RSIhist MACD pos-neg 28 15.2 -22.9 42.9 -0.5 -0.9 -0.5 36.2 -46.6
pair MACD RSIhist pos-neg 28 15.2 -22.9 42.9 -0.5 -0.9 -0.5 36.2 -46.6
pair SLmean MACDhist neg-pos 29 15.8 -24.9 34.5 -1.0 -1.7 -0.5 24.7 -55.5
pair MACDhist SLmean neg-pos 29 15.8 -24.9 34.5 -1.0 -1.7 -0.5 24.7 -55.5
pair RSIhist RSI pos-neg 24 13.0 -25.3 41.7 -0.7 -1.1 -0.5 33.4 -51.7
pair RSI RSIhist pos-neg 24 13.0 -25.3 41.7 -0.7 -1.1 -0.5 33.4 -51.7
pair MACDhist RSIhist pos-neg 23 12.5 -25.5 34.8 -0.9 -1.5 -0.5 28.7 -49.6
pair RSIhist MACDhist pos-neg 23 12.5 -25.5 34.8 -0.9 -1.5 -0.5 28.7 -49.6
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 10.3 -28.3 42.1 -0.7 -1.3 -0.8 36.8 -35.5
pair MACD MACDhist pos-neg 19 10.3 -28.3 42.1 -0.7 -1.3 -0.8 36.8 -35.5
pair RSI MACDhist pos-neg 16 8.7 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair MACDhist RSI pos-neg 16 8.7 -33.9 37.5 -1.2 -1.7 -0.7 31.2 -50.1
pair RSIhist MRmean pos-neg 11 6.0 -38.8 27.3 -1.2 -2.0 -1.2 35.7 -32.6
pair MRmean RSIhist pos-neg 11 6.0 -38.8 27.3 -1.2 -2.0 -1.2 35.7 -32.6
pair SLmean MACDhist pos-neg 13 7.1 -45.0 23.1 -1.7 -2.5 -0.9 31.5 -47.2
pair MACDhist SLmean pos-neg 13 7.1 -45.0 23.1 -1.7 -2.5 -0.9 31.5 -47.2
pair RSIhist SLmean pos-neg 9 4.9 -53.5 22.2 -1.7 -2.6 -1.1 39.4 -46.7
pair SLmean RSIhist pos-neg 9 4.9 -53.5 22.2 -1.7 -2.6 -1.1 39.4 -46.7
pair LWTI RSI pos-neg 4 2.2 -53.6 25.0 -1.6 -2.7 -1.8 42.7 -30.0
pair RSI LWTI pos-neg 4 2.2 -53.6 25.0 -1.6 -2.7 -1.8 42.7 -30.0
pair MRmean MACDhist pos-neg 5 2.7 -64.9 0.0 -5.8 -5.8 -2.1 17.2 -31.4
pair MACDhist MRmean pos-neg 5 2.7 -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 49.4% | Win 64%
Sharpe 1.21 | Sortino 2.83 | Calmar 1.1
Vol 40% | MDD -44.1%
Months 53M (29%)
CAGR -21.4% | Win 29%
Sharpe -1.04 | Sortino -1.75 | Calmar -1.1
Vol 21% | MDD -19.7%
Months 7M (4%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
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 -18.2% | Win 41%
Sharpe -0.45 | Sortino -0.69 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 111M (60%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
SLmean
only
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 35.2% | Win 60%
Sharpe 0.97 | Sortino 2.28 | Calmar 0.9
Vol 38% | MDD -38.8%
Months 58M (32%)
CAGR 185.7% | Win 50%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 56% | MDD 0.0%
Months 2M (1%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
MRmean
neg
CAGR -18.8% | Win 42%
Sharpe -0.51 | Sortino -0.82 | Calmar -0.2
Vol 31% | MDD -87.0%
Months 110M (60%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (8%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
RSmean
only
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.1% | Win 57%
Sharpe 0.51 | Sortino 1.01 | Calmar 0.3
Vol 38% | MDD -39.9%
Months 30M (16%)
CAGR 69.8% | Win 63%
Sharpe 1.55 | Sortino 6.39 | Calmar 5.2
Vol 39% | MDD -13.4%
Months 30M (16%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
MRmean
neg
CAGR -13.3% | Win 50%
Sharpe -0.23 | Sortino -0.39 | Calmar -0.7
Vol 36% | MDD -20.2%
Months 18M (10%)
CAGR -19.1% | Win 40%
Sharpe -0.50 | Sortino -0.76 | Calmar -0.2
Vol 32% | MDD -89.8%
Months 106M (58%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
MACD
only
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 35.1% | Win 67%
Sharpe 1.01 | Sortino 2.01 | Calmar 0.9
Vol 36% | MDD -38.8%
Months 36M (20%)
CAGR 44.1% | Win 50%
Sharpe 1.06 | Sortino 4.69 | Calmar 3.3
Vol 42% | MDD -13.4%
Months 24M (13%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
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 -18.7% | Win 40%
Sharpe -0.46 | Sortino -0.72 | Calmar -0.2
Vol 33% | MDD -88.2%
Months 109M (59%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
RSI
only
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 57.0% | Win 66%
Sharpe 1.39 | Sortino 3.21 | Calmar 2.0
Vol 38% | MDD -28.7%
Months 55M (30%)
CAGR -64.9% | Win 0%
Sharpe -5.75 | Sortino -5.75 | Calmar -2.1
Vol 17% | MDD -31.4%
Months 5M (3%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
MRmean
neg
CAGR -22.6% | Win 37%
Sharpe -0.87 | Sortino -1.51 | Calmar -0.4
Vol 26% | MDD -53.8%
Months 27M (15%)
CAGR -17.1% | Win 42%
Sharpe -0.37 | Sortino -0.56 | Calmar -0.2
Vol 34% | MDD -83.9%
Months 97M (53%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
MACDhist
only
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 66.5% | Win 67%
Sharpe 1.56 | Sortino 4.55 | Calmar 3.0
Vol 37% | MDD -22.2%
Months 49M (27%)
CAGR -38.8% | Win 27%
Sharpe -1.18 | Sortino -1.98 | Calmar -1.2
Vol 36% | MDD -32.6%
Months 11M (6%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
MRmean
neg
CAGR -10.0% | Win 45%
Sharpe -0.20 | Sortino -0.35 | Calmar -0.3
Vol 30% | MDD -38.7%
Months 20M (11%)
CAGR -19.8% | Win 40%
Sharpe -0.50 | Sortino -0.76 | Calmar -0.2
Vol 33% | MDD -90.9%
Months 104M (56%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 52.7% | Win 66%
Sharpe 1.28 | Sortino 2.64 | Calmar 1.7
Vol 39% | MDD -31.3%
Months 44M (24%)
CAGR 6.1% | Win 44%
Sharpe 0.32 | Sortino 1.11 | Calmar 0.2
Vol 36% | MDD -26.2%
Months 16M (9%)
CAGR 38.6% | Win 60%
Sharpe 1.04 | Sortino 2.44 | Calmar 1.0
Vol 38% | MDD -39.9%
Months 60M (33%)
MRmean
neg
CAGR -9.0% | Win 50%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.2
Vol 38% | MDD -44.5%
Months 26M (14%)
CAGR -20.6% | Win 39%
Sharpe -0.59 | Sortino -0.92 | Calmar -0.2
Vol 31% | MDD -86.1%
Months 98M (53%)
CAGR -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -91.7%
Months 124M (67%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 29.1% | Win 59%
Sharpe 0.85 | Sortino 1.83 | Calmar 0.5
Vol 38% | MDD -59.6%
Months 64M (35%)
CAGR 185.7% | Win 50%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 56% | MDD 0.0%
Months 2M (1%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
SLmean
neg
CAGR -18.8% | Win 41%
Sharpe -0.53 | Sortino -0.85 | Calmar -0.2
Vol 30% | MDD -86.8%
Months 104M (56%)
CAGR -14.7% | Win 36%
Sharpe -0.16 | Sortino -0.21 | Calmar -0.3
Vol 43% | MDD -44.5%
Months 14M (8%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
RSmean
only
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
CAGR -0.8% | Win 38%
Sharpe 0.20 | Sortino 0.29 | Calmar -0.0
Vol 44% | MDD -44.5%
Months 16M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.6% | Win 59%
Sharpe 0.42 | Sortino 0.80 | Calmar 0.2
Vol 41% | MDD -54.3%
Months 27M (15%)
CAGR 50.6% | Win 59%
Sharpe 1.27 | Sortino 4.31 | Calmar 2.0
Vol 38% | MDD -25.3%
Months 39M (21%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
SLmean
neg
CAGR -6.2% | Win 48%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.2
Vol 32% | MDD -34.9%
Months 21M (11%)
CAGR -20.8% | Win 39%
Sharpe -0.56 | Sortino -0.83 | Calmar -0.2
Vol 32% | MDD -90.6%
Months 97M (53%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
MACD
only
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 33.7% | Win 70%
Sharpe 0.94 | Sortino 1.83 | Calmar 0.6
Vol 39% | MDD -53.5%
Months 33M (18%)
CAGR 30.7% | Win 48%
Sharpe 0.86 | Sortino 3.05 | Calmar 1.2
Vol 39% | MDD -25.3%
Months 33M (18%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
SLmean
neg
CAGR -6.9% | Win 44%
Sharpe -0.15 | Sortino -0.25 | Calmar -0.2
Vol 26% | MDD -34.6%
Months 18M (10%)
CAGR -20.3% | Win 40%
Sharpe -0.51 | Sortino -0.79 | Calmar -0.2
Vol 33% | MDD -89.2%
Months 100M (54%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
RSI
only
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 64.0% | Win 68%
Sharpe 1.50 | Sortino 3.58 | Calmar 2.6
Vol 38% | MDD -25.0%
Months 53M (29%)
CAGR -45.0% | Win 23%
Sharpe -1.71 | Sortino -2.50 | Calmar -1.0
Vol 32% | MDD -47.2%
Months 13M (7%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
SLmean
neg
CAGR -24.9% | Win 34%
Sharpe -1.02 | Sortino -1.66 | Calmar -0.4
Vol 25% | MDD -55.5%
Months 29M (16%)
CAGR -16.1% | Win 43%
Sharpe -0.34 | Sortino -0.52 | Calmar -0.2
Vol 34% | MDD -82.7%
Months 89M (48%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
MACDhist
only
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 55.9% | Win 65%
Sharpe 1.39 | Sortino 3.94 | Calmar 1.7
Vol 37% | MDD -32.5%
Months 57M (31%)
CAGR -53.5% | Win 22%
Sharpe -1.70 | Sortino -2.62 | Calmar -1.1
Vol 39% | MDD -46.7%
Months 9M (5%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
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 -18.3% | Win 41%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.2
Vol 32% | MDD -89.7%
Months 106M (58%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 73.2% | Win 73%
Sharpe 1.56 | Sortino 3.12 | Calmar 2.0
Vol 41% | MDD -36.1%
Months 37M (20%)
CAGR -6.3% | Win 41%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.1
Vol 34% | MDD -43.8%
Months 29M (16%)
CAGR 32.2% | Win 59%
Sharpe 0.91 | Sortino 1.97 | Calmar 0.5
Vol 39% | MDD -60.4%
Months 66M (36%)
SLmean
neg
CAGR -11.8% | Win 46%
Sharpe -0.18 | Sortino -0.27 | Calmar -0.2
Vol 35% | MDD -54.0%
Months 33M (18%)
CAGR -20.8% | Win 39%
Sharpe -0.59 | Sortino -0.93 | Calmar -0.2
Vol 31% | MDD -83.9%
Months 85M (46%)
CAGR -18.4% | Win 41%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.2
Vol 32% | MDD -91.6%
Months 118M (64%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.8% | Win 58%
Sharpe 0.31 | Sortino 0.62 | Calmar 0.1
Vol 38% | MDD -41.7%
Months 45M (24%)
CAGR -5.9% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 33% | MDD -81.9%
Months 123M (67%)
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
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 (9%)
MACD
only
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 26.7% | Win 67%
Sharpe 0.82 | Sortino 1.59 | Calmar 0.6
Vol 37% | MDD -43.3%
Months 42M (23%)
CAGR -11.4% | Win 42%
Sharpe -0.21 | Sortino -0.38 | Calmar -0.1
Vol 33% | MDD -84.2%
Months 126M (68%)
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
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 (9%)
RSI
only
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 21.2% | Win 56%
Sharpe 0.72 | Sortino 1.64 | Calmar 0.4
Vol 35% | MDD -57.9%
Months 81M (44%)
CAGR -21.4% | Win 41%
Sharpe -0.57 | Sortino -0.91 | Calmar -0.3
Vol 33% | MDD -83.3%
Months 87M (47%)
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
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 (9%)
MACDhist
only
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 35.3% | Win 60%
Sharpe 1.02 | Sortino 2.50 | Calmar 0.8
Vol 36% | MDD -44.3%
Months 68M (37%)
CAGR -22.8% | Win 40%
Sharpe -0.65 | Sortino -1.03 | Calmar -0.3
Vol 32% | MDD -90.7%
Months 100M (54%)
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
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 (9%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 35.5% | Win 64%
Sharpe 0.99 | Sortino 2.17 | Calmar 0.9
Vol 38% | MDD -41.7%
Months 58M (32%)
CAGR -18.9% | Win 40%
Sharpe -0.51 | Sortino -0.84 | Calmar -0.2
Vol 31% | MDD -89.5%
Months 110M (60%)
CAGR -3.1% | Win 48%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -82.7%
Months 168M (91%)
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 (9%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.3% | Win 58%
Sharpe 0.37 | Sortino 0.73 | Calmar 0.2
Vol 38% | MDD -45.5%
Months 36M (20%)
CAGR -11.2% | Win 42%
Sharpe -0.19 | Sortino -0.36 | Calmar -0.6
Vol 35% | MDD -19.3%
Months 12M (6%)
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
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 (66%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
RSI
only
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 29.3% | Win 62%
Sharpe 0.89 | Sortino 1.76 | Calmar 1.1
Vol 36% | MDD -27.8%
Months 29M (16%)
CAGR -28.3% | Win 42%
Sharpe -0.72 | Sortino -1.27 | Calmar -0.8
Vol 37% | MDD -35.5%
Months 19M (10%)
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
MACD
neg
CAGR 21.8% | Win 53%
Sharpe 0.72 | Sortino 1.87 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 53M (29%)
CAGR -18.6% | Win 40%
Sharpe -0.44 | Sortino -0.66 | Calmar -0.2
Vol 33% | MDD -82.3%
Months 83M (45%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
MACDhist
only
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 52.2% | Win 70%
Sharpe 1.36 | Sortino 3.21 | Calmar 2.4
Vol 36% | MDD -22.2%
Months 20M (11%)
CAGR -22.9% | Win 43%
Sharpe -0.54 | Sortino -0.92 | Calmar -0.5
Vol 36% | MDD -46.6%
Months 28M (15%)
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
MACD
neg
CAGR 34.4% | Win 57%
Sharpe 0.98 | Sortino 2.50 | Calmar 0.8
Vol 37% | MDD -44.3%
Months 49M (27%)
CAGR -21.5% | Win 38%
Sharpe -0.59 | Sortino -0.87 | Calmar -0.2
Vol 32% | MDD -89.3%
Months 87M (47%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 60%
Sharpe 0.38 | Sortino 0.79 | Calmar 0.2
Vol 36% | MDD -41.7%
Months 37M (20%)
CAGR -13.9% | Win 36%
Sharpe -0.17 | Sortino -0.30 | Calmar -0.5
Vol 42% | MDD -25.8%
Months 11M (6%)
CAGR 2.4% | Win 54%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.1
Vol 37% | MDD -41.7%
Months 48M (26%)
MACD
neg
CAGR 50.2% | Win 61%
Sharpe 1.17 | Sortino 1.86 | Calmar 1.1
Vol 43% | MDD -44.5%
Months 33M (18%)
CAGR -17.7% | Win 40%
Sharpe -0.48 | Sortino -0.80 | Calmar -0.2
Vol 30% | MDD -88.9%
Months 103M (56%)
CAGR -4.8% | Win 45%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 35% | MDD -87.7%
Months 136M (74%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 53.2% | Win 71%
Sharpe 1.43 | Sortino 2.61 | Calmar 2.2
Vol 34% | MDD -24.3%
Months 35M (19%)
CAGR -33.9% | Win 38%
Sharpe -1.16 | Sortino -1.71 | Calmar -0.7
Vol 31% | MDD -50.1%
Months 16M (9%)
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
RSI
neg
CAGR 6.5% | Win 45%
Sharpe 0.34 | Sortino 0.91 | Calmar 0.1
Vol 36% | MDD -57.9%
Months 47M (26%)
CAGR -17.7% | Win 41%
Sharpe -0.39 | Sortino -0.60 | Calmar -0.2
Vol 34% | MDD -79.1%
Months 86M (47%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
MACDhist
only
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 76.3% | Win 78%
Sharpe 1.93 | Sortino 4.16 | Calmar 3.4
Vol 33% | MDD -22.2%
Months 27M (15%)
CAGR -25.3% | Win 42%
Sharpe -0.70 | Sortino -1.09 | Calmar -0.5
Vol 33% | MDD -51.7%
Months 24M (13%)
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
RSI
neg
CAGR 19.8% | Win 50%
Sharpe 0.65 | Sortino 1.71 | Calmar 0.4
Vol 38% | MDD -44.3%
Months 42M (23%)
CAGR -20.9% | Win 38%
Sharpe -0.54 | Sortino -0.82 | Calmar -0.2
Vol 33% | MDD -88.0%
Months 91M (50%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 27.4% | Win 64%
Sharpe 0.88 | Sortino 1.60 | Calmar 0.9
Vol 34% | MDD -29.5%
Months 47M (26%)
CAGR -53.6% | Win 25%
Sharpe -1.57 | Sortino -2.69 | Calmar -1.8
Vol 43% | MDD -30.0%
Months 4M (2%)
CAGR 17.7% | Win 61%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 35% | MDD -45.5%
Months 51M (28%)
RSI
neg
CAGR 23.3% | Win 52%
Sharpe 0.66 | Sortino 1.17 | Calmar 0.8
Vol 49% | MDD -29.5%
Months 23M (12%)
CAGR -15.6% | Win 40%
Sharpe -0.39 | Sortino -0.65 | Calmar -0.2
Vol 31% | MDD -87.5%
Months 110M (60%)
CAGR -9.9% | Win 42%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 35% | MDD -86.3%
Months 133M (72%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 51.9% | Win 64%
Sharpe 1.33 | Sortino 3.38 | Calmar 1.4
Vol 36% | MDD -37.5%
Months 59M (32%)
CAGR -25.5% | Win 35%
Sharpe -0.87 | Sortino -1.48 | Calmar -0.5
Vol 29% | MDD -49.6%
Months 23M (12%)
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
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 (50%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
RSIhist
only
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 59.6% | Win 68%
Sharpe 1.46 | Sortino 3.04 | Calmar 2.1
Vol 37% | MDD -27.8%
Months 47M (26%)
CAGR -11.0% | Win 40%
Sharpe -0.22 | Sortino -0.51 | Calmar -0.2
Vol 31% | MDD -57.9%
Months 35M (19%)
CAGR 24.4% | Win 56%
Sharpe 0.78 | Sortino 1.82 | Calmar 0.4
Vol 36% | MDD -57.9%
Months 82M (45%)
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 (43%)
CAGR -20.5% | Win 40%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 34% | MDD -89.6%
Months 102M (55%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 92.9% | Win 76%
Sharpe 2.04 | Sortino 4.91 | Calmar 7.3
Vol 36% | MDD -12.8%
Months 37M (20%)
CAGR -4.4% | Win 44%
Sharpe 0.03 | Sortino 0.07 | Calmar -0.1
Vol 34% | MDD -44.3%
Months 32M (17%)
CAGR 39.3% | Win 61%
Sharpe 1.09 | Sortino 2.72 | Calmar 0.9
Vol 36% | MDD -44.3%
Months 69M (38%)
RSIhist
neg
CAGR -21.8% | Win 42%
Sharpe -0.43 | Sortino -0.69 | Calmar -0.3
Vol 39% | MDD -63.1%
Months 33M (18%)
CAGR -21.9% | Win 38%
Sharpe -0.65 | Sortino -0.98 | Calmar -0.3
Vol 30% | MDD -84.3%
Months 82M (45%)
CAGR -21.9% | Win 39%
Sharpe -0.57 | Sortino -0.88 | Calmar -0.2
Vol 33% | MDD -94.2%
Months 115M (62%)
LWTI
only
CAGR 26.0% | Win 60%
Sharpe 0.78 | Sortino 1.38 | Calmar 0.6
Vol 39% | MDD -44.5%
Months 70M (38%)
CAGR -17.3% | Win 40%
Sharpe -0.44 | Sortino -0.74 | Calmar -0.2
Vol 32% | MDD -90.3%
Months 114M (62%)