ROBO - ROBO Global Robotics and Automation Index ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

83.1%

Best CAGR

43

Total Months

11.7%

Avg CAGR

ROBO 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 ROBO

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 4 2.7 83.1 100.0 15.2 0.0 0.0 4.1 0.0
pair RSmean RSIhist neg-pos 4 2.7 83.1 100.0 15.2 0.0 0.0 4.1 0.0
pair RSIhist SLmean neg-pos 1 0.7 81.3 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist neg-pos 1 0.7 81.3 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 2 1.4 64.7 100.0 9.7 0.0 0.0 5.3 0.0
pair RSmean RSI neg-neg 2 1.4 64.7 100.0 9.7 0.0 0.0 5.3 0.0
pair LWTI RSI neg-pos 12 8.1 63.1 75.0 2.2 4.2 7.6 24.2 -8.3
pair RSI LWTI neg-pos 12 8.1 63.1 75.0 2.2 4.2 7.6 24.2 -8.3
pair MRmean RSI pos-neg 3 2.0 61.5 100.0 3.0 0.0 0.0 16.5 0.0
pair RSI MRmean pos-neg 3 2.0 61.5 100.0 3.0 0.0 0.0 16.5 0.0
pair RSI SLmean neg-neg 25 16.9 45.0 68.0 1.4 3.2 3.7 29.6 -12.3
pair SLmean RSI neg-neg 25 16.9 45.0 68.0 1.4 3.2 3.7 29.6 -12.3
pair RSI MACD pos-neg 12 8.1 42.8 66.7 1.3 2.8 2.6 31.6 -16.2
pair MACD RSI pos-neg 12 8.1 42.8 66.7 1.3 2.8 2.6 31.6 -16.2
pair MACDhist RSI neg-neg 31 20.9 39.6 67.7 1.4 3.0 2.1 27.4 -18.5
pair RSI MACDhist neg-neg 31 20.9 39.6 67.7 1.4 3.0 2.1 27.4 -18.5
pair RSIhist RSI neg-neg 27 18.2 38.3 66.7 1.3 3.0 2.1 29.3 -18.5
pair RSI RSIhist neg-neg 27 18.2 38.3 66.7 1.3 3.0 2.1 29.3 -18.5
pair SLmean RSmean pos-neg 4 2.7 38.1 75.0 2.0 0.0 0.0 17.0 0.0
pair RSmean SLmean pos-neg 4 2.7 38.1 75.0 2.0 0.0 0.0 17.0 0.0
single RSI RSI neg-neg 32 21.6 33.7 65.6 1.2 2.7 1.8 27.8 -18.5
pair RSmean RSI pos-neg 30 20.3 31.8 63.3 1.1 2.6 1.7 28.7 -18.5
pair RSI RSmean pos-neg 30 20.3 31.8 63.3 1.1 2.6 1.7 28.7 -18.5
pair RSI MRmean neg-neg 29 19.6 31.1 62.1 1.1 2.6 1.7 28.9 -18.5
pair MRmean RSI neg-neg 29 19.6 31.1 62.1 1.1 2.6 1.7 28.9 -18.5
pair RSmean MRmean pos-neg 6 4.1 30.6 83.3 2.0 0.0 7.1 13.7 -4.3
pair MRmean RSmean pos-neg 6 4.1 30.6 83.3 2.0 0.0 7.1 13.7 -4.3
pair LWTI SLmean neg-neg 15 10.1 29.7 60.0 0.9 2.9 2.4 33.3 -12.3
pair SLmean LWTI neg-neg 15 10.1 29.7 60.0 0.9 2.9 2.4 33.3 -12.3
pair MACD RSI neg-neg 20 13.5 28.5 65.0 1.1 2.5 2.4 26.1 -12.0
pair RSI MACD neg-neg 20 13.5 28.5 65.0 1.1 2.5 2.4 26.1 -12.0
pair LWTI RSIhist neg-neg 20 13.5 28.1 65.0 1.0 2.9 1.5 30.1 -18.5
pair RSIhist LWTI neg-neg 20 13.5 28.1 65.0 1.0 2.9 1.5 30.1 -18.5
pair LWTI RSIhist pos-pos 65 43.9 22.8 67.7 1.4 2.2 1.2 16.3 -18.3
pair RSIhist LWTI pos-pos 65 43.9 22.8 67.7 1.4 2.2 1.2 16.3 -18.3
pair LWTI MACD neg-pos 24 16.2 21.3 62.5 1.3 4.6 2.0 16.3 -10.6
pair MACD LWTI neg-pos 24 16.2 21.3 62.5 1.3 4.6 2.0 16.3 -10.6
pair MACD MACDhist neg-pos 4 2.7 18.9 75.0 1.1 0.0 4.6 16.4 -4.1
pair MACDhist MACD neg-pos 4 2.7 18.9 75.0 1.1 0.0 4.6 16.4 -4.1
pair RSI LWTI neg-neg 20 13.5 18.6 60.0 0.7 1.9 1.0 29.9 -18.5
pair LWTI RSI neg-neg 20 13.5 18.6 60.0 0.7 1.9 1.0 29.9 -18.5
pair LWTI MACD pos-neg 9 6.1 18.4 66.7 0.6 2.1 1.2 35.7 -14.9
pair MACD LWTI pos-neg 9 6.1 18.4 66.7 0.6 2.1 1.2 35.7 -14.9
pair MACDhist RSIhist pos-pos 59 39.9 18.1 64.4 1.1 1.8 0.7 16.5 -25.4
pair RSIhist MACDhist pos-pos 59 39.9 18.1 64.4 1.1 1.8 0.7 16.5 -25.4
pair MRmean SLmean pos-neg 7 4.7 17.5 85.7 1.1 0.0 2.2 15.6 -7.8
pair SLmean MRmean pos-neg 7 4.7 17.5 85.7 1.1 0.0 2.2 15.6 -7.8
pair MACDhist RSmean neg-pos 5 3.4 17.1 80.0 0.9 0.0 1.9 20.4 -8.9
pair RSmean MACDhist neg-pos 5 3.4 17.1 80.0 0.9 0.0 1.9 20.4 -8.9
pair SLmean LWTI pos-pos 75 50.7 17.0 64.0 1.0 1.5 0.6 17.2 -26.6
pair LWTI SLmean pos-pos 75 50.7 17.0 64.0 1.0 1.5 0.6 17.2 -26.6
pair RSIhist MACD pos-pos 60 40.5 16.6 65.0 1.0 1.3 0.6 17.5 -28.3
pair MACD RSIhist pos-pos 60 40.5 16.6 65.0 1.0 1.3 0.6 17.5 -28.3
pair LWTI MRmean neg-neg 21 14.2 16.4 57.1 0.7 1.7 0.9 29.7 -18.5
pair MRmean LWTI neg-neg 21 14.2 16.4 57.1 0.7 1.7 0.9 29.7 -18.5
pair MRmean LWTI pos-pos 79 53.4 16.1 64.6 1.0 1.5 0.7 17.2 -25.0
pair LWTI MRmean pos-pos 79 53.4 16.1 64.6 1.0 1.5 0.7 17.2 -25.0
pair RSmean MACD pos-neg 35 23.6 16.0 57.1 0.8 1.6 0.9 21.3 -17.2
pair MACD RSmean pos-neg 35 23.6 16.0 57.1 0.8 1.6 0.9 21.3 -17.2
pair MRmean RSIhist pos-pos 74 50.0 15.6 63.5 1.0 1.4 0.8 16.6 -20.4
pair RSIhist MRmean pos-pos 74 50.0 15.6 63.5 1.0 1.4 0.8 16.6 -20.4
pair RSIhist RSI pos-pos 73 49.3 15.5 63.0 1.0 1.4 0.7 16.5 -23.5
pair RSI RSIhist pos-pos 73 49.3 15.5 63.0 1.0 1.4 0.7 16.5 -23.5
single RSIhist RSIhist pos-pos 78 52.7 15.2 62.8 0.9 1.4 0.7 16.6 -21.2
pair MACDhist MRmean pos-pos 67 45.3 15.1 62.7 0.9 1.6 0.6 16.4 -26.0
pair MRmean MACDhist pos-pos 67 45.3 15.1 62.7 0.9 1.6 0.6 16.4 -26.0
pair MACDhist SLmean pos-pos 62 41.9 14.8 61.3 0.9 1.6 0.6 16.3 -26.3
pair SLmean MACDhist pos-pos 62 41.9 14.8 61.3 0.9 1.6 0.6 16.3 -26.3
pair SLmean RSIhist pos-pos 77 52.0 14.5 62.3 0.9 1.3 0.6 16.6 -23.9
pair RSIhist SLmean pos-pos 77 52.0 14.5 62.3 0.9 1.3 0.6 16.6 -23.9
pair MACDhist RSI pos-pos 71 48.0 14.1 63.4 0.9 1.4 0.5 16.5 -26.1
pair RSI MACDhist pos-pos 71 48.0 14.1 63.4 0.9 1.4 0.5 16.5 -26.1
pair MACD MRmean pos-neg 16 10.8 14.1 62.5 1.1 3.0 3.4 12.2 -4.1
pair MRmean MACD pos-neg 16 10.8 14.1 62.5 1.1 3.0 3.4 12.2 -4.1
pair RSIhist MACD neg-neg 30 20.3 13.9 56.7 0.7 1.4 0.7 22.1 -18.7
pair MACD RSIhist neg-neg 30 20.3 13.9 56.7 0.7 1.4 0.7 22.1 -18.7
single MRmean MRmean pos-pos 91 61.5 13.1 62.6 0.8 1.1 0.4 17.2 -30.2
pair RSmean MACD neg-pos 9 6.1 13.0 66.7 0.7 1.6 1.5 19.5 -8.9
pair SLmean RSI pos-pos 86 58.1 13.0 61.6 0.8 1.1 0.5 17.1 -27.5
pair RSI SLmean pos-pos 86 58.1 13.0 61.6 0.8 1.1 0.5 17.1 -27.5
pair MACD RSmean neg-pos 9 6.1 13.0 66.7 0.7 1.6 1.5 19.5 -8.9
pair MRmean MACD pos-pos 75 50.7 12.9 62.7 0.8 1.1 0.4 18.2 -30.2
pair MACD MRmean pos-pos 75 50.7 12.9 62.7 0.8 1.1 0.4 18.2 -30.2
pair SLmean MACD neg-neg 28 18.9 12.8 53.6 0.6 1.4 0.6 22.9 -22.0
pair MRmean SLmean pos-pos 84 56.8 12.8 60.7 0.8 1.1 0.4 17.5 -33.4
pair MACD SLmean neg-neg 28 18.9 12.8 53.6 0.6 1.4 0.6 22.9 -22.0
pair SLmean MRmean pos-pos 84 56.8 12.8 60.7 0.8 1.1 0.4 17.5 -33.4
single MACD MACD neg-neg 48 32.4 12.7 56.2 0.7 1.4 0.6 19.2 -20.7
pair SLmean MACD pos-neg 20 13.5 12.4 60.0 1.0 2.2 2.0 12.8 -6.3
pair MACD SLmean pos-neg 20 13.5 12.4 60.0 1.0 2.2 2.0 12.8 -6.3
pair MACDhist LWTI pos-pos 72 48.6 12.3 62.5 0.8 1.2 0.4 16.9 -32.2
pair LWTI MACDhist pos-pos 72 48.6 12.3 62.5 0.8 1.2 0.4 16.9 -32.2
pair RSIhist RSmean pos-pos 74 50.0 12.3 60.8 0.8 1.1 0.5 16.7 -27.2
pair RSmean RSIhist pos-pos 74 50.0 12.3 60.8 0.8 1.1 0.5 16.7 -27.2
single MACDhist MACDhist pos-pos 72 48.6 12.3 62.5 0.8 1.2 0.4 16.9 -32.2
pair MACD MACDhist neg-neg 44 29.7 12.1 54.5 0.7 1.3 0.6 19.6 -20.7
pair MACDhist MACD neg-neg 44 29.7 12.1 54.5 0.7 1.3 0.6 19.6 -20.7
pair RSmean MRmean pos-pos 85 57.4 12.0 61.2 0.7 1.0 0.4 17.5 -27.1
pair MRmean RSmean pos-pos 85 57.4 12.0 61.2 0.7 1.0 0.4 17.5 -27.1
pair MACD MRmean neg-neg 32 21.6 11.9 53.1 0.6 1.3 0.6 22.0 -19.5
pair RSmean MACDhist pos-pos 67 45.3 11.9 61.2 0.8 1.2 0.3 16.8 -33.8
pair MRmean MACD neg-neg 32 21.6 11.9 53.1 0.6 1.3 0.6 22.0 -19.5
pair MACDhist RSmean pos-pos 67 45.3 11.9 61.2 0.8 1.2 0.3 16.8 -33.8
single SLmean SLmean pos-pos 93 62.8 11.9 61.3 0.7 1.1 0.4 17.2 -27.5
pair MACDhist MACD pos-pos 68 45.9 11.9 61.8 0.8 1.2 0.3 17.0 -34.9
pair MACD MACDhist pos-pos 68 45.9 11.9 61.8 0.8 1.2 0.3 17.0 -34.9
pair MACD SLmean pos-pos 73 49.3 11.8 61.6 0.7 1.0 0.3 18.3 -34.4
pair SLmean MACD pos-pos 73 49.3 11.8 61.6 0.7 1.0 0.3 18.3 -34.4
pair MRmean RSI pos-pos 88 59.5 11.7 61.4 0.7 1.0 0.4 17.2 -30.2
pair RSI MRmean pos-pos 88 59.5 11.7 61.4 0.7 1.0 0.4 17.2 -30.2
pair RSIhist RSI neg-pos 5 3.4 11.2 60.0 0.6 1.8 2.2 19.2 -5.1
pair RSI RSIhist neg-pos 5 3.4 11.2 60.0 0.6 1.8 2.2 19.2 -5.1
pair RSmean LWTI pos-pos 93 62.8 11.0 61.3 0.6 0.9 0.3 20.0 -38.7
pair LWTI RSmean pos-pos 93 62.8 11.0 61.3 0.6 0.9 0.3 20.0 -38.7
pair RSmean SLmean pos-pos 89 60.1 10.9 60.7 0.7 1.0 0.4 17.3 -30.3
pair SLmean RSmean pos-pos 89 60.1 10.9 60.7 0.7 1.0 0.4 17.3 -30.3
pair MACD RSIhist neg-pos 18 12.2 10.6 55.6 0.8 2.0 1.7 13.4 -6.3
pair RSIhist MACD neg-pos 18 12.2 10.6 55.6 0.8 2.0 1.7 13.4 -6.3
single LWTI LWTI pos-pos 115 77.7 10.4 60.9 0.6 0.9 0.3 19.1 -39.0
single RSmean RSmean pos-pos 126 85.1 10.3 59.5 0.6 0.9 0.2 21.5 -41.0
pair benchmark___benchmark_ benchmark-benchmark 148 100.0 9.9 59.5 0.6 0.9 0.2 20.7 -41.0
pair benchmark___benchmark_ benchmark-benchmark 148 100.0 9.9 59.5 0.6 0.9 0.2 20.7 -41.0
pair RSmean SLmean neg-pos 37 25.0 8.9 56.8 0.4 0.9 0.3 29.7 -28.1
pair SLmean RSmean neg-pos 37 25.0 8.9 56.8 0.4 0.9 0.3 29.7 -28.1
single MACD MACD pos-pos 100 67.6 8.6 61.0 0.5 0.7 0.2 21.4 -51.3
pair RSmean MACDhist pos-neg 59 39.9 8.5 57.6 0.4 0.7 0.2 26.1 -33.4
pair MACDhist SLmean neg-neg 45 30.4 8.5 53.3 0.4 0.8 0.3 26.8 -28.1
pair SLmean MACDhist neg-neg 45 30.4 8.5 53.3 0.4 0.8 0.3 26.8 -28.1
pair MRmean RSIhist neg-pos 4 2.7 8.5 50.0 0.5 1.4 1.7 18.4 -5.1
pair RSIhist MRmean neg-pos 4 2.7 8.5 50.0 0.5 1.4 1.7 18.4 -5.1
pair MACDhist RSmean pos-neg 59 39.9 8.5 57.6 0.4 0.7 0.2 26.1 -33.4
single LWTI LWTI neg-neg 33 22.3 8.2 54.5 0.4 0.8 0.4 25.8 -21.8
pair LWTI MACDhist neg-neg 33 22.3 8.2 54.5 0.4 0.8 0.4 25.8 -21.8
pair MACDhist LWTI neg-neg 33 22.3 8.2 54.5 0.4 0.8 0.4 25.8 -21.8
pair RSmean LWTI pos-neg 33 22.3 8.2 54.5 0.4 0.8 0.4 25.8 -21.8
pair LWTI RSmean pos-neg 33 22.3 8.2 54.5 0.4 0.8 0.4 25.8 -21.8
pair RSmean MACD pos-pos 91 61.5 8.2 60.4 0.5 0.7 0.2 21.7 -52.5
pair MACD RSmean pos-pos 91 61.5 8.2 60.4 0.5 0.7 0.2 21.7 -52.5
pair MACDhist RSIhist neg-neg 57 38.5 8.0 56.1 0.4 0.8 0.2 25.8 -33.4
pair RSIhist MACDhist neg-neg 57 38.5 8.0 56.1 0.4 0.8 0.2 25.8 -33.4
pair MRmean MACDhist pos-neg 24 16.2 7.8 62.5 0.5 0.5 0.3 19.7 -24.3
pair MACDhist MRmean pos-neg 24 16.2 7.8 62.5 0.5 0.5 0.3 19.7 -24.3
single MACDhist MACDhist neg-neg 76 51.4 7.7 56.6 0.4 0.7 0.2 23.8 -33.4
pair LWTI MACD pos-pos 91 61.5 7.7 60.4 0.5 0.7 0.2 19.8 -47.4
pair MACD LWTI pos-pos 91 61.5 7.7 60.4 0.5 0.7 0.2 19.8 -47.4
pair MRmean MACDhist neg-neg 52 35.1 7.6 53.8 0.4 0.8 0.2 25.7 -33.4
pair LWTI RSmean neg-pos 22 14.9 7.6 59.1 0.6 1.0 0.5 15.2 -14.0
pair RSmean LWTI neg-pos 22 14.9 7.6 59.1 0.6 1.0 0.5 15.2 -14.0
pair MACDhist MRmean neg-neg 52 35.1 7.6 53.8 0.4 0.8 0.2 25.7 -33.4
single RSmean RSmean neg-neg 22 14.9 7.6 59.1 0.6 1.0 0.5 15.2 -14.0
pair RSIhist RSmean pos-neg 52 35.1 7.5 57.7 0.4 0.7 0.2 27.2 -33.4
pair RSmean RSIhist pos-neg 52 35.1 7.5 57.7 0.4 0.7 0.2 27.2 -33.4
pair LWTI MACDhist neg-pos 43 29.1 7.3 58.1 0.4 0.6 0.2 22.5 -30.2
pair MACDhist LWTI neg-pos 43 29.1 7.3 58.1 0.4 0.6 0.2 22.5 -30.2
pair RSmean MRmean neg-pos 41 27.7 6.9 56.1 0.4 0.8 0.2 28.4 -33.4
pair MRmean RSmean neg-pos 41 27.7 6.9 56.1 0.4 0.8 0.2 28.4 -33.4
pair MACDhist RSIhist neg-pos 19 12.8 6.6 57.9 0.5 0.5 0.5 17.2 -13.5
pair RSIhist MACDhist neg-pos 19 12.8 6.6 57.9 0.5 0.5 0.5 17.2 -13.5
single SLmean SLmean neg-neg 55 37.2 6.5 56.4 0.4 0.7 0.2 25.6 -28.1
pair SLmean MACDhist pos-neg 31 20.9 6.5 61.3 0.4 0.5 0.3 19.1 -19.6
pair MACDhist SLmean pos-neg 31 20.9 6.5 61.3 0.4 0.5 0.3 19.1 -19.6
pair RSI LWTI pos-pos 103 69.6 5.5 59.2 0.4 0.5 0.1 18.0 -43.1
pair RSIhist SLmean neg-neg 54 36.5 5.5 55.6 0.3 0.6 0.2 25.8 -28.1
pair SLmean RSIhist neg-neg 54 36.5 5.5 55.6 0.3 0.6 0.2 25.8 -28.1
pair LWTI RSI pos-pos 103 69.6 5.5 59.2 0.4 0.5 0.1 18.0 -43.1
pair MRmean SLmean neg-neg 48 32.4 5.0 52.1 0.3 0.6 0.2 26.9 -28.1
pair RSmean MACDhist neg-neg 17 11.5 5.0 52.9 0.4 1.1 0.4 14.0 -14.0
single MRmean MRmean neg-neg 57 38.5 5.0 54.4 0.3 0.6 0.1 25.4 -33.4
pair SLmean MRmean neg-neg 48 32.4 5.0 52.1 0.3 0.6 0.2 26.9 -28.1
pair MACDhist RSmean neg-neg 17 11.5 5.0 52.9 0.4 1.1 0.4 14.0 -14.0
pair RSIhist MRmean neg-neg 53 35.8 4.7 54.7 0.3 0.6 0.1 25.9 -33.4
pair MRmean RSIhist neg-neg 53 35.8 4.7 54.7 0.3 0.6 0.1 25.9 -33.4
pair SLmean MRmean neg-pos 9 6.1 4.6 66.7 0.4 0.7 0.4 15.9 -12.0
pair MRmean SLmean neg-pos 9 6.1 4.6 66.7 0.4 0.7 0.4 15.9 -12.0
pair MACD LWTI neg-neg 24 16.2 4.6 50.0 0.3 0.6 0.3 21.9 -17.2
pair LWTI MACD neg-neg 24 16.2 4.6 50.0 0.3 0.6 0.3 21.9 -17.2
pair MACD RSI pos-pos 88 59.5 4.6 60.2 0.3 0.5 0.1 19.6 -43.8
pair RSI MACD pos-pos 88 59.5 4.6 60.2 0.3 0.5 0.1 19.6 -43.8
pair RSI RSmean pos-pos 96 64.9 4.3 58.3 0.3 0.4 0.1 18.6 -40.0
pair RSmean RSI pos-pos 96 64.9 4.3 58.3 0.3 0.4 0.1 18.6 -40.0
single RSIhist RSIhist neg-neg 70 47.3 4.3 55.7 0.3 0.5 0.1 24.5 -33.4
single RSI RSI pos-pos 116 78.4 4.1 57.8 0.3 0.4 0.1 18.0 -43.8
pair MACD RSmean neg-neg 13 8.8 4.1 53.8 0.4 0.9 0.7 12.1 -5.8
pair RSmean MACD neg-neg 13 8.8 4.1 53.8 0.4 0.9 0.7 12.1 -5.8
pair RSI RSmean neg-pos 20 13.5 3.1 55.0 0.3 0.5 0.2 15.3 -14.0
pair RSmean RSI neg-pos 20 13.5 3.1 55.0 0.3 0.5 0.2 15.3 -14.0
pair MRmean RSIhist pos-neg 17 11.5 3.0 58.8 0.2 0.3 0.2 20.1 -14.8
pair RSIhist MRmean pos-neg 17 11.5 3.0 58.8 0.2 0.3 0.2 20.1 -14.8
pair RSI MACD neg-pos 28 18.9 2.6 50.0 0.3 0.6 0.2 11.7 -13.7
pair MACD RSI neg-pos 28 18.9 2.6 50.0 0.3 0.6 0.2 11.7 -13.7
pair MACDhist MACD pos-neg 32 21.6 1.9 59.4 0.2 0.3 0.1 29.0 -27.6
pair MACD MACDhist pos-neg 32 21.6 1.9 59.4 0.2 0.3 0.1 29.0 -27.6
pair SLmean RSmean neg-neg 18 12.2 1.8 55.6 0.2 0.3 0.2 14.8 -10.1
pair RSmean SLmean neg-neg 18 12.2 1.8 55.6 0.2 0.3 0.2 14.8 -10.1
pair SLmean MACD neg-pos 27 18.2 0.4 59.3 0.1 0.3 0.0 28.6 -31.0
pair MACD SLmean neg-pos 27 18.2 0.4 59.3 0.1 0.3 0.0 28.6 -31.0
pair SLmean RSIhist pos-neg 16 10.8 0.4 56.2 0.1 0.2 0.0 20.3 -18.6
pair RSIhist SLmean pos-neg 16 10.8 0.4 56.2 0.1 0.2 0.0 20.3 -18.6
pair SLmean RSI pos-neg 7 4.7 0.1 57.1 0.1 0.2 0.0 19.6 -12.0
pair RSI SLmean pos-neg 7 4.7 0.1 57.1 0.1 0.2 0.0 19.6 -12.0
pair RSmean MRmean neg-neg 16 10.8 0.1 50.0 0.1 0.1 0.0 15.6 -10.3
pair MRmean RSmean neg-neg 16 10.8 0.1 50.0 0.1 0.1 0.0 15.6 -10.3
pair LWTI SLmean neg-pos 40 27.0 -1.0 55.0 0.1 0.1 -0.0 22.1 -34.3
pair SLmean LWTI neg-pos 40 27.0 -1.0 55.0 0.1 0.1 -0.0 22.1 -34.3
pair LWTI MRmean neg-pos 36 24.3 -1.2 52.8 0.1 0.1 -0.0 22.6 -30.9
pair MRmean LWTI neg-pos 36 24.3 -1.2 52.8 0.1 0.1 -0.0 22.6 -30.9
pair SLmean MACDhist neg-pos 10 6.8 -2.0 70.0 -0.0 -0.0 -0.1 20.5 -15.5
pair MACDhist SLmean neg-pos 10 6.8 -2.0 70.0 -0.0 -0.0 -0.1 20.5 -15.5
pair RSIhist MACD pos-neg 40 27.0 -2.4 55.0 0.0 0.1 -0.1 26.3 -36.1
pair MACD RSIhist pos-neg 40 27.0 -2.4 55.0 0.0 0.1 -0.1 26.3 -36.1
pair MACD MRmean neg-pos 25 16.9 -3.3 56.0 0.0 0.1 -0.1 29.4 -31.6
pair MRmean MACD neg-pos 25 16.9 -3.3 56.0 0.0 0.1 -0.1 29.4 -31.6
pair RSIhist LWTI neg-pos 50 33.8 -3.9 52.0 -0.1 -0.1 -0.1 21.7 -39.0
pair LWTI RSIhist neg-pos 50 33.8 -3.9 52.0 -0.1 -0.1 -0.1 21.7 -39.0
pair RSIhist RSmean neg-neg 18 12.2 -4.4 50.0 -0.2 -0.4 -0.3 14.6 -15.5
pair RSmean RSIhist neg-neg 18 12.2 -4.4 50.0 -0.2 -0.4 -0.3 14.6 -15.5
pair MRmean LWTI pos-neg 12 8.1 -4.7 50.0 -0.2 -0.2 -0.3 17.4 -14.6
pair LWTI MRmean pos-neg 12 8.1 -4.7 50.0 -0.2 -0.2 -0.3 17.4 -14.6
pair LWTI RSI pos-neg 13 8.8 -6.0 46.2 -0.2 -0.3 -0.4 18.1 -14.6
pair RSI LWTI pos-neg 13 8.8 -6.0 46.2 -0.2 -0.3 -0.4 18.1 -14.6
pair SLmean LWTI pos-neg 18 12.2 -6.9 50.0 -0.3 -0.4 -0.3 16.9 -24.9
pair LWTI SLmean pos-neg 18 12.2 -6.9 50.0 -0.3 -0.4 -0.3 16.9 -24.9
pair MACDhist RSI pos-neg 45 30.4 -9.9 48.9 -0.4 -0.5 -0.2 19.6 -43.3
pair RSI MACDhist pos-neg 45 30.4 -9.9 48.9 -0.4 -0.5 -0.2 19.6 -43.3
pair MACDhist RSIhist pos-neg 13 8.8 -10.7 53.8 -0.5 -0.9 -0.7 17.9 -15.5
pair RSIhist MACDhist pos-neg 13 8.8 -10.7 53.8 -0.5 -0.9 -0.7 17.9 -15.5
pair RSIhist RSI pos-neg 43 29.1 -12.7 48.8 -0.6 -0.8 -0.3 19.4 -43.5
pair RSI RSIhist pos-neg 43 29.1 -12.7 48.8 -0.6 -0.8 -0.3 19.4 -43.5
pair RSIhist LWTI pos-neg 13 8.8 -16.5 38.5 -1.1 -1.1 -0.8 15.1 -20.9
pair LWTI RSIhist pos-neg 13 8.8 -16.5 38.5 -1.1 -1.1 -0.8 15.1 -20.9
pair RSI MRmean neg-pos 28 18.9 -16.6 46.4 -0.8 -1.1 -0.4 19.1 -39.0
pair MRmean RSI neg-pos 28 18.9 -16.6 46.4 -0.8 -1.1 -0.4 19.1 -39.0
pair RSI SLmean neg-pos 30 20.3 -17.6 46.7 -0.9 -1.2 -0.4 19.0 -46.2
pair SLmean RSI neg-pos 30 20.3 -17.6 46.7 -0.9 -1.2 -0.4 19.0 -46.2
pair MRmean MACDhist neg-pos 5 3.4 -19.0 60.0 -0.8 -13.7 -2.1 22.8 -8.9
pair MACDhist MRmean neg-pos 5 3.4 -19.0 60.0 -0.8 -13.7 -2.1 22.8 -8.9
pair MACDhist RSI neg-pos 1 0.7 -64.8 0.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 1 0.7 -64.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for ROBO

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.8% | Win 61%
Sharpe 0.78 | Sortino 1.11 | Calmar 0.4
Vol 18% | MDD -33.4%
Months 84M (57%)
CAGR 17.5% | Win 86%
Sharpe 1.11 | Sortino 0.00 | Calmar 2.2
Vol 16% | MDD -7.8%
Months 7M (5%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR 4.6% | Win 67%
Sharpe 0.36 | Sortino 0.65 | Calmar 0.4
Vol 16% | MDD -12.0%
Months 9M (6%)
CAGR 5.0% | Win 52%
Sharpe 0.31 | Sortino 0.60 | Calmar 0.2
Vol 27% | MDD -28.1%
Months 48M (32%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
SLmean
only
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.0% | Win 61%
Sharpe 0.74 | Sortino 1.03 | Calmar 0.4
Vol 18% | MDD -27.1%
Months 85M (57%)
CAGR 30.6% | Win 83%
Sharpe 2.03 | Sortino 0.00 | Calmar 7.1
Vol 14% | MDD -4.3%
Months 6M (4%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR 6.9% | Win 56%
Sharpe 0.38 | Sortino 0.75 | Calmar 0.2
Vol 28% | MDD -33.4%
Months 41M (28%)
CAGR 0.1% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar 0.0
Vol 16% | MDD -10.3%
Months 16M (11%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
RSmean
only
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 12.9% | Win 63%
Sharpe 0.76 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -30.2%
Months 75M (51%)
CAGR 14.1% | Win 62%
Sharpe 1.14 | Sortino 2.97 | Calmar 3.4
Vol 12% | MDD -4.1%
Months 16M (11%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR -3.3% | Win 56%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 29% | MDD -31.6%
Months 25M (17%)
CAGR 11.9% | Win 53%
Sharpe 0.62 | Sortino 1.34 | Calmar 0.6
Vol 22% | MDD -19.5%
Months 32M (22%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
MACD
only
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.73 | Sortino 1.03 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 88M (60%)
CAGR 61.5% | Win 100%
Sharpe 3.02 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 3M (2%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR -16.6% | Win 46%
Sharpe -0.85 | Sortino -1.11 | Calmar -0.4
Vol 19% | MDD -39.0%
Months 28M (19%)
CAGR 31.1% | Win 62%
Sharpe 1.08 | Sortino 2.57 | Calmar 1.7
Vol 29% | MDD -18.5%
Months 29M (20%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
RSI
only
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 15.1% | Win 63%
Sharpe 0.94 | Sortino 1.57 | Calmar 0.6
Vol 16% | MDD -26.0%
Months 67M (45%)
CAGR 7.8% | Win 62%
Sharpe 0.48 | Sortino 0.53 | Calmar 0.3
Vol 20% | MDD -24.3%
Months 24M (16%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR -19.0% | Win 60%
Sharpe -0.83 | Sortino -13.72 | Calmar -2.1
Vol 23% | MDD -8.9%
Months 5M (3%)
CAGR 7.6% | Win 54%
Sharpe 0.41 | Sortino 0.77 | Calmar 0.2
Vol 26% | MDD -33.4%
Months 52M (35%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
MACDhist
only
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 15.6% | Win 64%
Sharpe 0.96 | Sortino 1.36 | Calmar 0.8
Vol 17% | MDD -20.4%
Months 74M (50%)
CAGR 3.0% | Win 59%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.2
Vol 20% | MDD -14.8%
Months 17M (12%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR 8.5% | Win 50%
Sharpe 0.52 | Sortino 1.42 | Calmar 1.7
Vol 18% | MDD -5.1%
Months 4M (3%)
CAGR 4.7% | Win 55%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 26% | MDD -33.4%
Months 53M (36%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 16.1% | Win 65%
Sharpe 0.96 | Sortino 1.46 | Calmar 0.6
Vol 17% | MDD -25.0%
Months 79M (53%)
CAGR -4.7% | Win 50%
Sharpe -0.19 | Sortino -0.19 | Calmar -0.3
Vol 17% | MDD -14.6%
Months 12M (8%)
CAGR 13.1% | Win 63%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -30.2%
Months 91M (62%)
MRmean
neg
CAGR -1.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -30.9%
Months 36M (24%)
CAGR 16.4% | Win 57%
Sharpe 0.65 | Sortino 1.74 | Calmar 0.9
Vol 30% | MDD -18.5%
Months 21M (14%)
CAGR 5.0% | Win 54%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -33.4%
Months 57M (38%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 61%
Sharpe 0.69 | Sortino 0.98 | Calmar 0.4
Vol 17% | MDD -30.3%
Months 89M (60%)
CAGR 38.1% | Win 75%
Sharpe 1.99 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 4M (3%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR 8.9% | Win 57%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.3
Vol 30% | MDD -28.1%
Months 37M (25%)
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.2
Vol 15% | MDD -10.1%
Months 18M (12%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
RSmean
only
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.8% | Win 62%
Sharpe 0.70 | Sortino 1.00 | Calmar 0.3
Vol 18% | MDD -34.4%
Months 73M (49%)
CAGR 12.4% | Win 60%
Sharpe 0.98 | Sortino 2.24 | Calmar 2.0
Vol 13% | MDD -6.3%
Months 20M (14%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR 0.4% | Win 59%
Sharpe 0.15 | Sortino 0.29 | Calmar 0.0
Vol 29% | MDD -31.0%
Months 27M (18%)
CAGR 12.8% | Win 54%
Sharpe 0.64 | Sortino 1.36 | Calmar 0.6
Vol 23% | MDD -22.0%
Months 28M (19%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
MACD
only
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 13.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.5
Vol 17% | MDD -27.5%
Months 86M (58%)
CAGR 0.1% | Win 57%
Sharpe 0.09 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -12.0%
Months 7M (5%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR -17.6% | Win 47%
Sharpe -0.91 | Sortino -1.23 | Calmar -0.4
Vol 19% | MDD -46.2%
Months 30M (20%)
CAGR 45.0% | Win 68%
Sharpe 1.42 | Sortino 3.17 | Calmar 3.7
Vol 30% | MDD -12.3%
Months 25M (17%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
RSI
only
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 14.8% | Win 61%
Sharpe 0.93 | Sortino 1.59 | Calmar 0.6
Vol 16% | MDD -26.3%
Months 62M (42%)
CAGR 6.5% | Win 61%
Sharpe 0.42 | Sortino 0.51 | Calmar 0.3
Vol 19% | MDD -19.6%
Months 31M (21%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR -2.0% | Win 70%
Sharpe -0.00 | Sortino -0.02 | Calmar -0.1
Vol 20% | MDD -15.5%
Months 10M (7%)
CAGR 8.5% | Win 53%
Sharpe 0.44 | Sortino 0.81 | Calmar 0.3
Vol 27% | MDD -28.1%
Months 45M (30%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
MACDhist
only
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.5% | Win 62%
Sharpe 0.90 | Sortino 1.32 | Calmar 0.6
Vol 17% | MDD -23.9%
Months 77M (52%)
CAGR 0.4% | Win 56%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 20% | MDD -18.6%
Months 16M (11%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR 81.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 5.5% | Win 56%
Sharpe 0.33 | Sortino 0.63 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 54M (36%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 17.0% | Win 64%
Sharpe 1.00 | Sortino 1.54 | Calmar 0.6
Vol 17% | MDD -26.6%
Months 75M (51%)
CAGR -6.9% | Win 50%
Sharpe -0.34 | Sortino -0.39 | Calmar -0.3
Vol 17% | MDD -24.9%
Months 18M (12%)
CAGR 11.9% | Win 61%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 17% | MDD -27.5%
Months 93M (63%)
SLmean
neg
CAGR -1.0% | Win 55%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 22% | MDD -34.3%
Months 40M (27%)
CAGR 29.7% | Win 60%
Sharpe 0.94 | Sortino 2.86 | Calmar 2.4
Vol 33% | MDD -12.3%
Months 15M (10%)
CAGR 6.5% | Win 56%
Sharpe 0.37 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -28.1%
Months 55M (37%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 22% | MDD -52.5%
Months 91M (62%)
CAGR 16.0% | Win 57%
Sharpe 0.80 | Sortino 1.55 | Calmar 0.9
Vol 21% | MDD -17.2%
Months 35M (24%)
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
RSmean
neg
CAGR 13.0% | Win 67%
Sharpe 0.72 | Sortino 1.59 | Calmar 1.5
Vol 20% | MDD -8.9%
Months 9M (6%)
CAGR 4.1% | Win 54%
Sharpe 0.39 | Sortino 0.86 | Calmar 0.7
Vol 12% | MDD -5.8%
Months 13M (9%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
MACD
only
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.3% | Win 58%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 19% | MDD -40.0%
Months 96M (65%)
CAGR 31.8% | Win 63%
Sharpe 1.11 | Sortino 2.61 | Calmar 1.7
Vol 29% | MDD -18.5%
Months 30M (20%)
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
RSmean
neg
CAGR 3.1% | Win 55%
Sharpe 0.28 | Sortino 0.52 | Calmar 0.2
Vol 15% | MDD -14.0%
Months 20M (14%)
CAGR 64.7% | Win 100%
Sharpe 9.67 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
RSI
only
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 11.9% | Win 61%
Sharpe 0.76 | Sortino 1.25 | Calmar 0.4
Vol 17% | MDD -33.8%
Months 67M (45%)
CAGR 8.5% | Win 58%
Sharpe 0.44 | Sortino 0.71 | Calmar 0.3
Vol 26% | MDD -33.4%
Months 59M (40%)
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
RSmean
neg
CAGR 17.1% | Win 80%
Sharpe 0.86 | Sortino 0.00 | Calmar 1.9
Vol 20% | MDD -8.9%
Months 5M (3%)
CAGR 5.0% | Win 53%
Sharpe 0.41 | Sortino 1.14 | Calmar 0.4
Vol 14% | MDD -14.0%
Months 17M (12%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
MACDhist
only
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.3% | Win 61%
Sharpe 0.78 | Sortino 1.15 | Calmar 0.5
Vol 17% | MDD -27.2%
Months 74M (50%)
CAGR 7.5% | Win 58%
Sharpe 0.40 | Sortino 0.74 | Calmar 0.2
Vol 27% | MDD -33.4%
Months 52M (35%)
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
RSmean
neg
CAGR 83.1% | Win 100%
Sharpe 15.19 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (3%)
CAGR -4.4% | Win 50%
Sharpe -0.24 | Sortino -0.42 | Calmar -0.3
Vol 15% | MDD -15.5%
Months 18M (12%)
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 61%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.3
Vol 20% | MDD -38.7%
Months 93M (63%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
CAGR 10.3% | Win 60%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -41.0%
Months 126M (85%)
RSmean
neg
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
-
CAGR 7.6% | Win 59%
Sharpe 0.56 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -14.0%
Months 22M (15%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.6% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -43.8%
Months 88M (60%)
CAGR 42.8% | Win 67%
Sharpe 1.29 | Sortino 2.76 | Calmar 2.6
Vol 32% | MDD -16.2%
Months 12M (8%)
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
MACD
neg
CAGR 2.6% | Win 50%
Sharpe 0.27 | Sortino 0.59 | Calmar 0.2
Vol 12% | MDD -13.7%
Months 28M (19%)
CAGR 28.5% | Win 65%
Sharpe 1.09 | Sortino 2.46 | Calmar 2.4
Vol 26% | MDD -12.0%
Months 20M (14%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
RSI
only
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.9% | Win 62%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -34.9%
Months 68M (46%)
CAGR 1.9% | Win 59%
Sharpe 0.21 | Sortino 0.35 | Calmar 0.1
Vol 29% | MDD -27.6%
Months 32M (22%)
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
MACD
neg
CAGR 18.9% | Win 75%
Sharpe 1.13 | Sortino 0.00 | Calmar 4.6
Vol 16% | MDD -4.1%
Months 4M (3%)
CAGR 12.1% | Win 55%
Sharpe 0.68 | Sortino 1.31 | Calmar 0.6
Vol 20% | MDD -20.7%
Months 44M (30%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
MACDhist
only
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 16.6% | Win 65%
Sharpe 0.97 | Sortino 1.34 | Calmar 0.6
Vol 18% | MDD -28.3%
Months 60M (40%)
CAGR -2.4% | Win 55%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 26% | MDD -36.1%
Months 40M (27%)
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
MACD
neg
CAGR 10.6% | Win 56%
Sharpe 0.82 | Sortino 1.96 | Calmar 1.7
Vol 13% | MDD -6.3%
Months 18M (12%)
CAGR 13.9% | Win 57%
Sharpe 0.70 | Sortino 1.43 | Calmar 0.7
Vol 22% | MDD -18.7%
Months 30M (20%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.7% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 20% | MDD -47.4%
Months 91M (62%)
CAGR 18.4% | Win 67%
Sharpe 0.64 | Sortino 2.11 | Calmar 1.2
Vol 36% | MDD -14.9%
Months 9M (6%)
CAGR 8.6% | Win 61%
Sharpe 0.49 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -51.3%
Months 100M (68%)
MACD
neg
CAGR 21.3% | Win 62%
Sharpe 1.27 | Sortino 4.58 | Calmar 2.0
Vol 16% | MDD -10.6%
Months 24M (16%)
CAGR 4.6% | Win 50%
Sharpe 0.31 | Sortino 0.56 | Calmar 0.3
Vol 22% | MDD -17.2%
Months 24M (16%)
CAGR 12.7% | Win 56%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 19% | MDD -20.7%
Months 48M (32%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 14.1% | Win 63%
Sharpe 0.89 | Sortino 1.42 | Calmar 0.5
Vol 16% | MDD -26.1%
Months 71M (48%)
CAGR -9.9% | Win 49%
Sharpe -0.43 | Sortino -0.53 | Calmar -0.2
Vol 20% | MDD -43.3%
Months 45M (30%)
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
RSI
neg
CAGR -64.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 39.6% | Win 68%
Sharpe 1.36 | Sortino 2.95 | Calmar 2.1
Vol 27% | MDD -18.5%
Months 31M (21%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
MACDhist
only
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.5% | Win 63%
Sharpe 0.96 | Sortino 1.35 | Calmar 0.7
Vol 16% | MDD -23.5%
Months 73M (49%)
CAGR -12.7% | Win 49%
Sharpe -0.59 | Sortino -0.82 | Calmar -0.3
Vol 19% | MDD -43.5%
Months 43M (29%)
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
RSI
neg
CAGR 11.2% | Win 60%
Sharpe 0.63 | Sortino 1.81 | Calmar 2.2
Vol 19% | MDD -5.1%
Months 5M (3%)
CAGR 38.3% | Win 67%
Sharpe 1.26 | Sortino 2.99 | Calmar 2.1
Vol 29% | MDD -18.5%
Months 27M (18%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.5% | Win 59%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -43.1%
Months 103M (70%)
CAGR -6.0% | Win 46%
Sharpe -0.25 | Sortino -0.29 | Calmar -0.4
Vol 18% | MDD -14.6%
Months 13M (9%)
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -43.8%
Months 116M (78%)
RSI
neg
CAGR 63.1% | Win 75%
Sharpe 2.17 | Sortino 4.15 | Calmar 7.6
Vol 24% | MDD -8.3%
Months 12M (8%)
CAGR 18.6% | Win 60%
Sharpe 0.72 | Sortino 1.85 | Calmar 1.0
Vol 30% | MDD -18.5%
Months 20M (14%)
CAGR 33.7% | Win 66%
Sharpe 1.19 | Sortino 2.71 | Calmar 1.8
Vol 28% | MDD -18.5%
Months 32M (22%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 18.1% | Win 64%
Sharpe 1.10 | Sortino 1.78 | Calmar 0.7
Vol 16% | MDD -25.4%
Months 59M (40%)
CAGR -10.7% | Win 54%
Sharpe -0.54 | Sortino -0.92 | Calmar -0.7
Vol 18% | MDD -15.5%
Months 13M (9%)
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
MACDhist
neg
CAGR 6.6% | Win 58%
Sharpe 0.46 | Sortino 0.53 | Calmar 0.5
Vol 17% | MDD -13.5%
Months 19M (13%)
CAGR 8.0% | Win 56%
Sharpe 0.43 | Sortino 0.76 | Calmar 0.2
Vol 26% | MDD -33.4%
Months 57M (38%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
RSIhist
only
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
-
CAGR 12.3% | Win 62%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.4
Vol 17% | MDD -32.2%
Months 72M (49%)
MACDhist
neg
CAGR 7.3% | Win 58%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 22% | MDD -30.2%
Months 43M (29%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
CAGR 7.7% | Win 57%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -33.4%
Months 76M (51%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 22.8% | Win 68%
Sharpe 1.35 | Sortino 2.17 | Calmar 1.2
Vol 16% | MDD -18.3%
Months 65M (44%)
CAGR -16.5% | Win 38%
Sharpe -1.11 | Sortino -1.13 | Calmar -0.8
Vol 15% | MDD -20.9%
Months 13M (9%)
CAGR 15.2% | Win 63%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 17% | MDD -21.2%
Months 78M (53%)
RSIhist
neg
CAGR -3.9% | Win 52%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.1
Vol 22% | MDD -39.0%
Months 50M (34%)
CAGR 28.1% | Win 65%
Sharpe 0.97 | Sortino 2.90 | Calmar 1.5
Vol 30% | MDD -18.5%
Months 20M (14%)
CAGR 4.3% | Win 56%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 24% | MDD -33.4%
Months 70M (47%)
LWTI
only
CAGR 10.4% | Win 61%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.3
Vol 19% | MDD -39.0%
Months 115M (78%)
CAGR 8.2% | Win 55%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.4
Vol 26% | MDD -21.8%
Months 33M (22%)