SCHD - Schwab US Dividend Equity ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

175.6%

Best CAGR

60

Total Months

25.4%

Avg CAGR

SCHD 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 SCHD

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean RSI pos-neg 4 2.3 175.6 100.0 8.6 0.0 0.0 12.4 0.0
pair RSI RSmean pos-neg 4 2.3 175.6 100.0 8.6 0.0 0.0 12.4 0.0
pair RSI MACD pos-neg 4 2.3 175.6 100.0 8.6 0.0 0.0 12.4 0.0
pair MACD RSI pos-neg 4 2.3 175.6 100.0 8.6 0.0 0.0 12.4 0.0
pair MRmean RSI neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSI RSIhist neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSIhist RSI neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSI MACDhist neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSI SLmean neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair MACDhist RSI neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair LWTI RSI neg-pos 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
single RSI RSI neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSI LWTI neg-pos 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair RSI MRmean neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair SLmean RSI neg-neg 5 2.9 133.9 100.0 5.7 0.0 0.0 15.5 0.0
pair MRmean SLmean neg-pos 2 1.1 80.3 100.0 9.1 0.0 0.0 6.6 0.0
pair SLmean MRmean neg-pos 2 1.1 80.3 100.0 9.1 0.0 0.0 6.6 0.0
pair MRmean RSmean neg-pos 20 11.5 36.0 75.0 1.6 2.0 3.0 20.6 -11.9
pair MACD MRmean neg-pos 20 11.5 36.0 75.0 1.6 2.0 3.0 20.6 -11.9
pair RSmean MRmean neg-pos 20 11.5 36.0 75.0 1.6 2.0 3.0 20.6 -11.9
pair MRmean MACD neg-pos 20 11.5 36.0 75.0 1.6 2.0 3.0 20.6 -11.9
pair MACDhist SLmean neg-pos 8 4.6 28.4 75.0 2.5 8.3 8.2 10.5 -3.5
pair SLmean MACDhist neg-pos 8 4.6 28.4 75.0 2.5 8.3 8.2 10.5 -3.5
pair RSmean MACD pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair MACD RSmean pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair SLmean MACD pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair MRmean MACD pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair MACD SLmean pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair MACD MRmean pos-neg 13 7.5 28.2 76.9 2.8 4.0 8.0 9.1 -3.6
pair RSmean SLmean neg-pos 33 19.0 28.0 72.7 1.5 2.0 2.4 17.4 -11.9
pair SLmean RSmean neg-pos 33 19.0 28.0 72.7 1.5 2.0 2.4 17.4 -11.9
pair SLmean RSIhist neg-pos 1 0.6 27.6 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist SLmean neg-pos 1 0.6 27.6 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MRmean neg-pos 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair RSIhist MRmean neg-neg 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair MRmean RSIhist neg-neg 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair MRmean LWTI neg-pos 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair MACDhist MRmean neg-neg 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
single MRmean MRmean neg-neg 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair MRmean MACDhist neg-neg 32 18.4 27.5 75.0 1.5 1.8 2.3 16.9 -11.9
pair MACD SLmean neg-pos 35 20.1 26.8 71.4 1.5 2.0 2.3 17.3 -11.9
pair SLmean MACD neg-pos 35 20.1 26.8 71.4 1.5 2.0 2.3 17.3 -11.9
pair SLmean MRmean neg-neg 30 17.2 24.6 73.3 1.4 1.7 2.1 17.3 -11.9
pair MRmean SLmean neg-neg 30 17.2 24.6 73.3 1.4 1.7 2.1 17.3 -11.9
pair RSIhist SLmean neg-neg 46 26.4 23.5 71.7 1.4 1.9 2.0 15.6 -11.9
single SLmean SLmean neg-neg 47 27.0 23.5 72.3 1.5 1.9 2.0 15.4 -11.9
pair LWTI SLmean neg-pos 47 27.0 23.5 72.3 1.5 1.9 2.0 15.4 -11.9
pair SLmean RSIhist neg-neg 46 26.4 23.5 71.7 1.4 1.9 2.0 15.6 -11.9
pair SLmean LWTI neg-pos 47 27.0 23.5 72.3 1.5 1.9 2.0 15.4 -11.9
pair MACDhist SLmean neg-neg 39 22.4 22.6 71.8 1.3 1.8 1.9 16.3 -11.9
pair SLmean MACDhist neg-neg 39 22.4 22.6 71.8 1.3 1.8 1.9 16.3 -11.9
pair MRmean SLmean pos-neg 17 9.8 21.7 70.6 1.7 3.1 3.9 11.9 -5.6
pair SLmean MRmean pos-neg 17 9.8 21.7 70.6 1.7 3.1 3.9 11.9 -5.6
pair MACD RSIhist neg-neg 18 10.3 21.6 77.8 2.6 3.3 5.5 7.7 -3.9
pair RSIhist MACD neg-neg 18 10.3 21.6 77.8 2.6 3.3 5.5 7.7 -3.9
pair RSmean RSI neg-neg 1 0.6 21.5 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 0.6 21.5 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACD neg-neg 1 0.6 21.5 100.0 0.0 0.0 0.0 - 0.0
pair MACD RSI neg-neg 1 0.6 21.5 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACD neg-pos 25 14.4 21.4 76.0 2.4 3.4 5.5 8.3 -3.9
pair MACD MACDhist neg-neg 25 14.4 21.4 76.0 2.4 3.4 5.5 8.3 -3.9
pair MACD LWTI neg-pos 25 14.4 21.4 76.0 2.4 3.4 5.5 8.3 -3.9
pair RSI MACD neg-pos 24 13.8 21.4 75.0 2.4 3.4 5.5 8.4 -3.9
pair MACD RSI neg-pos 24 13.8 21.4 75.0 2.4 3.4 5.5 8.4 -3.9
single MACD MACD neg-neg 25 14.4 21.4 76.0 2.4 3.4 5.5 8.3 -3.9
pair MACDhist MACD neg-neg 25 14.4 21.4 76.0 2.4 3.4 5.5 8.3 -3.9
pair RSIhist MACD neg-pos 7 4.0 21.0 71.4 1.9 3.0 5.9 10.4 -3.6
pair MACD RSIhist neg-pos 7 4.0 21.0 71.4 1.9 3.0 5.9 10.4 -3.6
pair MACDhist RSIhist neg-neg 75 43.1 20.1 72.0 1.4 1.7 1.4 14.4 -13.9
pair RSIhist MACDhist neg-neg 75 43.1 20.1 72.0 1.4 1.7 1.4 14.4 -13.9
pair RSIhist RSmean pos-neg 74 42.5 18.2 68.9 1.2 1.7 1.5 14.7 -11.9
pair RSmean RSIhist pos-neg 74 42.5 18.2 68.9 1.2 1.7 1.5 14.7 -11.9
pair LWTI RSIhist neg-pos 92 52.9 16.9 68.5 1.2 1.6 1.2 14.2 -14.2
single RSIhist RSIhist neg-neg 92 52.9 16.9 68.5 1.2 1.6 1.2 14.2 -14.2
pair RSIhist LWTI neg-pos 92 52.9 16.9 68.5 1.2 1.6 1.2 14.2 -14.2
pair MACD RSIhist pos-neg 74 42.5 15.8 66.2 1.0 1.5 1.1 15.4 -14.2
pair RSIhist MACD pos-neg 74 42.5 15.8 66.2 1.0 1.5 1.1 15.4 -14.2
pair RSmean MACDhist pos-neg 82 47.1 15.7 65.9 1.1 1.6 1.3 14.6 -11.9
pair MACDhist RSmean pos-neg 82 47.1 15.7 65.9 1.1 1.6 1.3 14.6 -11.9
pair LWTI MACDhist neg-pos 101 58.0 14.8 66.3 1.1 1.5 1.1 14.0 -13.9
single MACDhist MACDhist neg-neg 101 58.0 14.8 66.3 1.1 1.5 1.1 14.0 -13.9
pair MACDhist LWTI neg-pos 101 58.0 14.8 66.3 1.1 1.5 1.1 14.0 -13.9
pair RSI SLmean neg-pos 42 24.1 14.5 69.0 1.1 1.2 0.9 13.9 -16.2
pair SLmean RSI neg-pos 42 24.1 14.5 69.0 1.1 1.2 0.9 13.9 -16.2
pair MACD SLmean neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair RSmean MACD neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair RSmean MRmean neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair MRmean MACD neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair MACD MRmean neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair MRmean RSmean neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair MACD RSmean neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair SLmean MACD neg-neg 12 6.9 14.4 75.0 1.9 2.1 3.7 7.2 -3.9
pair RSI MRmean neg-pos 27 15.5 13.9 70.4 0.9 1.0 1.1 15.1 -13.3
pair MRmean RSI neg-pos 27 15.5 13.9 70.4 0.9 1.0 1.1 15.1 -13.3
pair RSmean SLmean neg-neg 14 8.0 13.5 71.4 1.4 2.0 2.9 9.1 -4.7
pair SLmean RSmean neg-neg 14 8.0 13.5 71.4 1.4 2.0 2.9 9.1 -4.7
pair RSmean LWTI pos-pos 155 89.1 13.4 64.5 1.0 1.5 0.6 13.8 -21.5
pair LWTI RSmean pos-pos 155 89.1 13.4 64.5 1.0 1.5 0.6 13.8 -21.5
single RSmean RSmean pos-pos 155 89.1 13.4 64.5 1.0 1.5 0.6 13.8 -21.5
pair benchmark___benchmark_ benchmark-benchmark 174 100.0 13.1 64.9 1.0 1.5 0.6 13.6 -21.5
pair benchmark___benchmark_ benchmark-benchmark 174 100.0 13.1 64.9 1.0 1.5 0.6 13.6 -21.5
single LWTI LWTI pos-pos 174 100.0 13.1 64.9 1.0 1.5 0.6 13.6 -21.5
pair RSIhist MACDhist pos-pos 56 32.2 12.9 66.1 1.0 1.4 0.9 13.1 -14.7
pair MACDhist RSIhist pos-pos 56 32.2 12.9 66.1 1.0 1.4 0.9 13.1 -14.7
pair MACD MACDhist pos-neg 76 43.7 12.8 63.2 0.8 1.3 0.9 15.5 -13.9
pair MACDhist MACD pos-neg 76 43.7 12.8 63.2 0.8 1.3 0.9 15.5 -13.9
pair RSI RSIhist pos-neg 87 50.0 12.3 66.7 0.9 1.2 0.8 13.2 -14.8
pair RSIhist RSI pos-neg 87 50.0 12.3 66.7 0.9 1.2 0.8 13.2 -14.8
pair MACD RSmean pos-pos 142 81.6 12.1 63.4 0.9 1.4 0.6 14.2 -21.5
pair RSmean MACD pos-pos 142 81.6 12.1 63.4 0.9 1.4 0.6 14.2 -21.5
pair MACD LWTI pos-pos 149 85.6 11.8 63.1 0.8 1.3 0.6 14.3 -21.5
pair LWTI MACD pos-pos 149 85.6 11.8 63.1 0.8 1.3 0.6 14.3 -21.5
single MACD MACD pos-pos 149 85.6 11.8 63.1 0.8 1.3 0.6 14.3 -21.5
pair RSmean RSIhist neg-neg 18 10.3 11.7 66.7 1.0 1.1 1.0 12.1 -11.5
pair RSIhist RSmean neg-neg 18 10.3 11.7 66.7 1.0 1.1 1.0 12.1 -11.5
pair RSIhist MRmean pos-neg 60 34.5 11.6 65.0 0.9 1.4 0.8 12.4 -14.2
pair MRmean RSIhist pos-neg 60 34.5 11.6 65.0 0.9 1.4 0.8 12.4 -14.2
pair LWTI RSmean neg-pos 19 10.9 11.2 68.4 1.0 1.1 1.0 11.8 -11.5
pair RSmean LWTI neg-pos 19 10.9 11.2 68.4 1.0 1.1 1.0 11.8 -11.5
pair RSmean MACDhist neg-neg 19 10.9 11.2 68.4 1.0 1.1 1.0 11.8 -11.5
pair MACDhist RSmean neg-neg 19 10.9 11.2 68.4 1.0 1.1 1.0 11.8 -11.5
single RSmean RSmean neg-neg 19 10.9 11.2 68.4 1.0 1.1 1.0 11.8 -11.5
pair MACDhist MACD pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MACD MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair RSmean MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MRmean MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MACDhist MRmean pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair RSI MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
single MACDhist MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MACDhist LWTI pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair LWTI MACDhist pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MACDhist RSmean pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
pair MACDhist RSI pos-pos 73 42.0 10.8 63.0 0.8 1.3 0.7 13.0 -16.2
single RSI RSI pos-pos 169 97.1 10.7 63.9 0.8 1.2 0.5 13.0 -23.6
pair RSI MACDhist pos-neg 96 55.2 10.7 64.6 0.8 1.1 0.5 13.1 -21.9
pair RSIhist SLmean pos-neg 46 26.4 10.7 65.2 0.9 1.2 0.8 12.6 -14.2
pair SLmean RSIhist pos-neg 46 26.4 10.7 65.2 0.9 1.2 0.8 12.6 -14.2
pair RSmean RSI pos-pos 151 86.8 10.7 63.6 0.8 1.2 0.5 13.2 -21.5
pair RSI RSmean pos-pos 151 86.8 10.7 63.6 0.8 1.2 0.5 13.2 -21.5
pair RSI LWTI pos-pos 169 97.1 10.7 63.9 0.8 1.2 0.5 13.0 -23.6
pair LWTI RSI pos-pos 169 97.1 10.7 63.9 0.8 1.2 0.5 13.0 -23.6
pair MACDhist RSI pos-neg 96 55.2 10.7 64.6 0.8 1.1 0.5 13.1 -21.9
pair RSI RSmean neg-pos 18 10.3 10.6 66.7 0.9 1.0 0.9 12.1 -11.5
pair RSmean RSI neg-pos 18 10.3 10.6 66.7 0.9 1.0 0.9 12.1 -11.5
pair MRmean RSmean pos-pos 135 77.6 10.3 63.0 0.9 1.3 0.7 12.4 -15.0
pair RSmean MRmean pos-pos 135 77.6 10.3 63.0 0.9 1.3 0.7 12.4 -15.0
pair MACDhist SLmean pos-neg 62 35.6 10.2 62.9 0.8 1.3 0.8 12.4 -12.7
pair SLmean MACDhist pos-neg 62 35.6 10.2 62.9 0.8 1.3 0.8 12.4 -12.7
single MRmean MRmean pos-pos 142 81.6 10.1 62.7 0.8 1.3 0.5 12.6 -19.4
pair MRmean LWTI pos-pos 142 81.6 10.1 62.7 0.8 1.3 0.5 12.6 -19.4
pair LWTI MRmean pos-pos 142 81.6 10.1 62.7 0.8 1.3 0.5 12.6 -19.4
pair RSI MRmean pos-pos 142 81.6 10.1 62.7 0.8 1.3 0.5 12.6 -19.4
pair MRmean RSI pos-pos 142 81.6 10.1 62.7 0.8 1.3 0.5 12.6 -19.4
pair SLmean RSmean pos-pos 122 70.1 9.7 62.3 0.8 1.2 0.6 12.6 -17.2
pair RSmean SLmean pos-pos 122 70.1 9.7 62.3 0.8 1.2 0.6 12.6 -17.2
single SLmean SLmean pos-pos 127 73.0 9.5 62.2 0.8 1.2 0.5 12.8 -20.4
pair LWTI SLmean pos-pos 127 73.0 9.5 62.2 0.8 1.2 0.5 12.8 -20.4
pair SLmean LWTI pos-pos 127 73.0 9.5 62.2 0.8 1.2 0.5 12.8 -20.4
pair SLmean RSI pos-pos 127 73.0 9.5 62.2 0.8 1.2 0.5 12.8 -20.4
pair RSI SLmean pos-pos 127 73.0 9.5 62.2 0.8 1.2 0.5 12.8 -20.4
pair MACDhist MRmean pos-neg 69 39.7 9.4 62.3 0.8 1.2 0.6 12.3 -16.6
pair MRmean MACDhist pos-neg 69 39.7 9.4 62.3 0.8 1.2 0.6 12.3 -16.6
pair RSmean RSIhist pos-pos 81 46.6 9.1 60.5 0.7 1.2 0.4 13.0 -22.2
pair RSIhist RSmean pos-pos 81 46.6 9.1 60.5 0.7 1.2 0.4 13.0 -22.2
pair RSIhist MRmean pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair LWTI RSIhist pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
single RSIhist RSIhist pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair MRmean RSIhist pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair RSI MACD pos-pos 145 83.3 9.0 62.1 0.7 1.0 0.4 13.6 -23.6
pair MACD RSI pos-pos 145 83.3 9.0 62.1 0.7 1.0 0.4 13.6 -23.6
pair RSIhist LWTI pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair RSIhist RSI pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair RSI RSIhist pos-pos 82 47.1 9.0 61.0 0.7 1.2 0.4 12.9 -22.2
pair SLmean RSIhist pos-pos 81 46.6 8.8 60.5 0.7 1.1 0.4 13.0 -22.2
pair RSIhist SLmean pos-pos 81 46.6 8.8 60.5 0.7 1.1 0.4 13.0 -22.2
pair MACDhist SLmean pos-pos 65 37.4 8.8 61.5 0.7 1.1 0.6 13.3 -14.7
pair SLmean MACDhist pos-pos 65 37.4 8.8 61.5 0.7 1.1 0.6 13.3 -14.7
pair MRmean SLmean pos-pos 125 71.8 8.6 61.6 0.7 1.1 0.4 12.7 -20.4
pair SLmean MRmean pos-pos 125 71.8 8.6 61.6 0.7 1.1 0.4 12.7 -20.4
pair MRmean MACD pos-pos 129 74.1 8.4 61.2 0.7 1.1 0.4 12.9 -19.4
pair MACD MRmean pos-pos 129 74.1 8.4 61.2 0.7 1.1 0.4 12.9 -19.4
pair RSIhist MACD pos-pos 75 43.1 7.9 60.0 0.7 1.0 0.4 13.1 -22.2
pair MACD RSIhist pos-pos 75 43.1 7.9 60.0 0.7 1.0 0.4 13.1 -22.2
pair SLmean MACD pos-pos 114 65.5 7.5 60.5 0.6 0.9 0.4 13.1 -20.4
pair MACD SLmean pos-pos 114 65.5 7.5 60.5 0.6 0.9 0.4 13.1 -20.4
pair MACD RSmean neg-pos 7 4.0 5.8 57.1 0.4 0.7 0.5 17.9 -11.5
pair RSmean MACD neg-pos 7 4.0 5.8 57.1 0.4 0.7 0.5 17.9 -11.5
pair RSmean MRmean pos-neg 7 4.0 5.8 57.1 0.4 0.7 0.5 17.9 -11.5
pair MRmean RSmean pos-neg 7 4.0 5.8 57.1 0.4 0.7 0.5 17.9 -11.5
pair SLmean RSmean pos-neg 5 2.9 4.8 60.0 0.3 0.0 0.6 18.8 -8.0
pair RSmean SLmean pos-neg 5 2.9 4.8 60.0 0.3 0.0 0.6 18.8 -8.0
pair MACDhist RSIhist pos-neg 17 9.8 4.0 52.9 0.4 0.6 0.5 12.9 -7.7
pair RSIhist MACDhist pos-neg 17 9.8 4.0 52.9 0.4 0.6 0.5 12.9 -7.7
pair RSIhist RSmean neg-pos 1 0.6 1.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSIhist neg-pos 1 0.6 1.8 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSIhist neg-pos 26 14.9 1.0 50.0 0.1 0.2 0.1 12.3 -19.2
pair RSIhist MACDhist neg-pos 26 14.9 1.0 50.0 0.1 0.2 0.1 12.3 -19.2

All Contingency Tables for SCHD

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 62%
Sharpe 0.71 | Sortino 1.08 | Calmar 0.4
Vol 13% | MDD -20.4%
Months 125M (72%)
CAGR 21.7% | Win 71%
Sharpe 1.72 | Sortino 3.13 | Calmar 3.9
Vol 12% | MDD -5.6%
Months 17M (10%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg
CAGR 80.3% | Win 100%
Sharpe 9.14 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 24.6% | Win 73%
Sharpe 1.37 | Sortino 1.67 | Calmar 2.1
Vol 17% | MDD -11.9%
Months 30M (17%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
SLmean
only
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 63%
Sharpe 0.86 | Sortino 1.33 | Calmar 0.7
Vol 12% | MDD -15.0%
Months 135M (78%)
CAGR 5.8% | Win 57%
Sharpe 0.39 | Sortino 0.69 | Calmar 0.5
Vol 18% | MDD -11.5%
Months 7M (4%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg
CAGR 36.0% | Win 75%
Sharpe 1.61 | Sortino 2.04 | Calmar 3.0
Vol 21% | MDD -11.9%
Months 20M (12%)
CAGR 14.4% | Win 75%
Sharpe 1.91 | Sortino 2.06 | Calmar 3.7
Vol 7% | MDD -3.9%
Months 12M (7%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
RSmean
only
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 61%
Sharpe 0.69 | Sortino 1.08 | Calmar 0.4
Vol 13% | MDD -19.4%
Months 129M (74%)
CAGR 28.2% | Win 77%
Sharpe 2.80 | Sortino 4.01 | Calmar 8.0
Vol 9% | MDD -3.6%
Months 13M (8%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg
CAGR 36.0% | Win 75%
Sharpe 1.61 | Sortino 2.04 | Calmar 3.0
Vol 21% | MDD -11.9%
Months 20M (12%)
CAGR 14.4% | Win 75%
Sharpe 1.91 | Sortino 2.06 | Calmar 3.7
Vol 7% | MDD -3.9%
Months 12M (7%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
MACD
only
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
-
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg
CAGR 13.9% | Win 70%
Sharpe 0.94 | Sortino 1.00 | Calmar 1.0
Vol 15% | MDD -13.3%
Months 27M (16%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
RSI
only
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 9.4% | Win 62%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.6
Vol 12% | MDD -16.6%
Months 69M (40%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg		-
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
MACDhist
only
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 11.6% | Win 65%
Sharpe 0.95 | Sortino 1.38 | Calmar 0.8
Vol 12% | MDD -14.2%
Months 60M (34%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg		-
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
MRmean × LWTI
LWTI
pos		MRmean
only
MRmean
pos
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
CAGR 10.1% | Win 63%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.5
Vol 13% | MDD -19.4%
Months 142M (82%)
MRmean
neg
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
CAGR 27.5% | Win 75%
Sharpe 1.53 | Sortino 1.83 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 32M (18%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 62%
Sharpe 0.80 | Sortino 1.24 | Calmar 0.6
Vol 13% | MDD -17.2%
Months 122M (70%)
CAGR 4.8% | Win 60%
Sharpe 0.32 | Sortino 0.00 | Calmar 0.6
Vol 19% | MDD -8.0%
Months 5M (3%)
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 28.0% | Win 73%
Sharpe 1.52 | Sortino 2.00 | Calmar 2.4
Vol 17% | MDD -11.9%
Months 33M (19%)
CAGR 13.5% | Win 71%
Sharpe 1.44 | Sortino 1.98 | Calmar 2.9
Vol 9% | MDD -4.7%
Months 14M (8%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
RSmean
only
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 60%
Sharpe 0.62 | Sortino 0.95 | Calmar 0.4
Vol 13% | MDD -20.4%
Months 114M (66%)
CAGR 28.2% | Win 77%
Sharpe 2.80 | Sortino 4.01 | Calmar 8.0
Vol 9% | MDD -3.6%
Months 13M (8%)
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 26.8% | Win 71%
Sharpe 1.47 | Sortino 2.05 | Calmar 2.3
Vol 17% | MDD -11.9%
Months 35M (20%)
CAGR 14.4% | Win 75%
Sharpe 1.91 | Sortino 2.06 | Calmar 3.7
Vol 7% | MDD -3.9%
Months 12M (7%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
MACD
only
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
-
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 14.5% | Win 69%
Sharpe 1.05 | Sortino 1.25 | Calmar 0.9
Vol 14% | MDD -16.2%
Months 42M (24%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
RSI
only
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 62%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.6
Vol 13% | MDD -14.7%
Months 65M (37%)
CAGR 10.2% | Win 63%
Sharpe 0.85 | Sortino 1.28 | Calmar 0.8
Vol 12% | MDD -12.7%
Months 62M (36%)
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 28.4% | Win 75%
Sharpe 2.45 | Sortino 8.26 | Calmar 8.2
Vol 10% | MDD -3.5%
Months 8M (5%)
CAGR 22.6% | Win 72%
Sharpe 1.34 | Sortino 1.76 | Calmar 1.9
Vol 16% | MDD -11.9%
Months 39M (22%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
MACDhist
only
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 60%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 81M (47%)
CAGR 10.7% | Win 65%
Sharpe 0.87 | Sortino 1.18 | Calmar 0.8
Vol 13% | MDD -14.2%
Months 46M (26%)
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 27.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 23.5% | Win 72%
Sharpe 1.44 | Sortino 1.93 | Calmar 2.0
Vol 16% | MDD -11.9%
Months 46M (26%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
SLmean × LWTI
LWTI
pos		SLmean
only
SLmean
pos
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
CAGR 9.5% | Win 62%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 127M (73%)
SLmean
neg
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
CAGR 23.5% | Win 72%
Sharpe 1.46 | Sortino 1.93 | Calmar 2.0
Vol 15% | MDD -11.9%
Months 47M (27%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 12.1% | Win 63%
Sharpe 0.88 | Sortino 1.35 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 142M (82%)
CAGR 28.2% | Win 77%
Sharpe 2.80 | Sortino 4.01 | Calmar 8.0
Vol 9% | MDD -3.6%
Months 13M (8%)
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
RSmean
neg
CAGR 5.8% | Win 57%
Sharpe 0.39 | Sortino 0.69 | Calmar 0.5
Vol 18% | MDD -11.5%
Months 7M (4%)
CAGR 14.4% | Win 75%
Sharpe 1.91 | Sortino 2.06 | Calmar 3.7
Vol 7% | MDD -3.9%
Months 12M (7%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
MACD
only
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 10.7% | Win 64%
Sharpe 0.84 | Sortino 1.22 | Calmar 0.5
Vol 13% | MDD -21.5%
Months 151M (87%)
CAGR 175.6% | Win 100%
Sharpe 8.55 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
RSmean
neg
CAGR 10.6% | Win 67%
Sharpe 0.89 | Sortino 1.02 | Calmar 0.9
Vol 12% | MDD -11.5%
Months 18M (10%)
CAGR 21.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
RSI
only
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 15.7% | Win 66%
Sharpe 1.08 | Sortino 1.62 | Calmar 1.3
Vol 15% | MDD -11.9%
Months 82M (47%)
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
RSmean
neg		-
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
MACDhist
only
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 60%
Sharpe 0.74 | Sortino 1.18 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 81M (47%)
CAGR 18.2% | Win 69%
Sharpe 1.22 | Sortino 1.72 | Calmar 1.5
Vol 15% | MDD -11.9%
Months 74M (42%)
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
RSmean
neg
CAGR 1.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 11.7% | Win 67%
Sharpe 0.97 | Sortino 1.11 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 18M (10%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
RSmean × LWTI
LWTI
pos		RSmean
only
RSmean
pos
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
CAGR 13.4% | Win 64%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 155M (89%)
RSmean
neg
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
CAGR 11.2% | Win 68%
Sharpe 0.96 | Sortino 1.06 | Calmar 1.0
Vol 12% | MDD -11.5%
Months 19M (11%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 62%
Sharpe 0.70 | Sortino 1.03 | Calmar 0.4
Vol 14% | MDD -23.6%
Months 145M (83%)
CAGR 175.6% | Win 100%
Sharpe 8.55 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
MACD
neg
CAGR 21.4% | Win 75%
Sharpe 2.36 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 24M (14%)
CAGR 21.5% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
RSI
only
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 12.8% | Win 63%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.9
Vol 16% | MDD -13.9%
Months 76M (44%)
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
MACD
neg		-
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
MACDhist
only
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.9% | Win 60%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 75M (43%)
CAGR 15.8% | Win 66%
Sharpe 1.03 | Sortino 1.53 | Calmar 1.1
Vol 15% | MDD -14.2%
Months 74M (42%)
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
MACD
neg
CAGR 21.0% | Win 71%
Sharpe 1.90 | Sortino 2.95 | Calmar 5.9
Vol 10% | MDD -3.6%
Months 7M (4%)
CAGR 21.6% | Win 78%
Sharpe 2.61 | Sortino 3.28 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 18M (10%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
MACD × LWTI
LWTI
pos		MACD
only
MACD
pos
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
CAGR 11.8% | Win 63%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.5%
Months 149M (86%)
MACD
neg
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
CAGR 21.4% | Win 76%
Sharpe 2.41 | Sortino 3.40 | Calmar 5.5
Vol 8% | MDD -3.9%
Months 25M (14%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 10.7% | Win 65%
Sharpe 0.84 | Sortino 1.14 | Calmar 0.5
Vol 13% | MDD -21.9%
Months 96M (55%)
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
RSI
neg		-
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
MACDhist
only
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 12.3% | Win 67%
Sharpe 0.95 | Sortino 1.23 | Calmar 0.8
Vol 13% | MDD -14.8%
Months 87M (50%)
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
RSI
neg		-
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
RSI × LWTI
LWTI
pos		RSI
only
RSI
pos
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
CAGR 10.7% | Win 64%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -23.6%
Months 169M (97%)
RSI
neg
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
CAGR 133.9% | Win 100%
Sharpe 5.73 | Sortino 0.00 | Calmar 0.0
Vol 16% | MDD 0.0%
Months 5M (3%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.9% | Win 66%
Sharpe 0.99 | Sortino 1.45 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 56M (32%)
CAGR 4.0% | Win 53%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.5
Vol 13% | MDD -7.7%
Months 17M (10%)
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
MACDhist
neg
CAGR 1.0% | Win 50%
Sharpe 0.14 | Sortino 0.25 | Calmar 0.1
Vol 12% | MDD -19.2%
Months 26M (15%)
CAGR 20.1% | Win 72%
Sharpe 1.35 | Sortino 1.74 | Calmar 1.4
Vol 14% | MDD -13.9%
Months 75M (43%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
RSIhist
only
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
MACDhist × LWTI
LWTI
pos		MACDhist
only
MACDhist
pos
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
CAGR 10.8% | Win 63%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.7
Vol 13% | MDD -16.2%
Months 73M (42%)
MACDhist
neg
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
CAGR 14.8% | Win 66%
Sharpe 1.06 | Sortino 1.53 | Calmar 1.1
Vol 14% | MDD -13.9%
Months 101M (58%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)
RSIhist × LWTI
LWTI
pos		RSIhist
only
RSIhist
pos
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
CAGR 9.0% | Win 61%
Sharpe 0.73 | Sortino 1.17 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 82M (47%)
RSIhist
neg
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
CAGR 16.9% | Win 68%
Sharpe 1.18 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -14.2%
Months 92M (53%)
LWTI
only
CAGR 13.1% | Win 65%
Sharpe 0.98 | Sortino 1.46 | Calmar 0.6
Vol 14% | MDD -21.5%
Months 174M (100%)