SLV - iShares Silver Trust

Signal Pair Analysis

MRmean-SLmean

Best Pair

31.9%

Best CAGR

69

Total Months

2.5%

Avg CAGR

SLV 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 SLV

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean SLmean pos-neg 21 8.6 31.9 47.6 1.1 4.1 3.2 29.1 -10.0
pair SLmean MRmean pos-neg 21 8.6 31.9 47.6 1.1 4.1 3.2 29.1 -10.0
pair MACDhist MACD pos-pos 85 34.8 26.1 56.5 0.8 1.3 0.6 38.2 -45.0
pair MACD MACDhist pos-pos 85 34.8 26.1 56.5 0.8 1.3 0.6 38.2 -45.0
pair MACDhist RSIhist pos-pos 84 34.4 26.0 52.4 0.8 1.8 0.6 35.5 -44.7
pair RSIhist MACDhist pos-pos 84 34.4 26.0 52.4 0.8 1.8 0.6 35.5 -44.7
pair LWTI MACDhist pos-pos 104 42.6 24.5 55.8 0.8 1.3 0.6 36.5 -38.4
pair MACDhist LWTI pos-pos 104 42.6 24.5 55.8 0.8 1.3 0.6 36.5 -38.4
pair RSIhist MACD neg-neg 65 26.6 23.3 55.4 0.9 1.9 1.1 28.4 -20.9
pair MACD RSIhist neg-neg 65 26.6 23.3 55.4 0.9 1.9 1.1 28.4 -20.9
pair MRmean MACDhist pos-pos 101 41.4 23.1 54.5 0.8 1.3 0.5 36.6 -47.7
pair MACDhist MRmean pos-pos 101 41.4 23.1 54.5 0.8 1.3 0.5 36.6 -47.7
pair RSIhist LWTI pos-pos 90 36.9 23.0 53.3 0.8 1.4 0.5 36.1 -44.7
pair LWTI RSIhist pos-pos 90 36.9 23.0 53.3 0.8 1.4 0.5 36.1 -44.7
pair RSIhist MACD pos-pos 66 27.0 22.6 54.5 0.7 1.3 0.5 38.6 -48.6
pair MACD RSIhist pos-pos 66 27.0 22.6 54.5 0.7 1.3 0.5 38.6 -48.6
pair RSI LWTI neg-pos 35 14.3 21.9 57.1 0.8 1.3 0.8 34.1 -28.3
pair LWTI RSI neg-pos 35 14.3 21.9 57.1 0.8 1.3 0.8 34.1 -28.3
pair RSI MACDhist pos-pos 97 39.8 21.0 54.6 0.7 1.2 0.4 37.4 -57.4
pair MACDhist RSI pos-pos 97 39.8 21.0 54.6 0.7 1.2 0.4 37.4 -57.4
pair RSmean MACDhist pos-pos 117 48.0 20.6 53.8 0.7 1.2 0.4 35.3 -46.8
pair MACDhist RSmean pos-pos 117 48.0 20.6 53.8 0.7 1.2 0.4 35.3 -46.8
pair RSIhist RSmean neg-pos 11 4.5 19.9 63.6 1.2 2.1 3.4 16.2 -5.8
pair RSmean RSIhist neg-pos 11 4.5 19.9 63.6 1.2 2.1 3.4 16.2 -5.8
pair LWTI MRmean pos-pos 110 45.1 19.5 54.5 0.7 1.1 0.4 36.6 -46.8
pair MRmean LWTI pos-pos 110 45.1 19.5 54.5 0.7 1.1 0.4 36.6 -46.8
pair RSmean SLmean neg-pos 103 42.2 18.9 54.4 0.7 1.4 0.6 30.0 -31.1
pair SLmean RSmean neg-pos 103 42.2 18.9 54.4 0.7 1.4 0.6 30.0 -31.1
pair RSI SLmean neg-neg 89 36.5 18.9 55.1 0.7 1.3 0.5 29.4 -35.6
pair SLmean RSI neg-neg 89 36.5 18.9 55.1 0.7 1.3 0.5 29.4 -35.6
pair SLmean MACD neg-neg 78 32.0 18.2 52.6 0.7 1.6 0.7 27.6 -24.4
pair MACD SLmean neg-neg 78 32.0 18.2 52.6 0.7 1.6 0.7 27.6 -24.4
pair RSIhist RSI neg-neg 82 33.6 18.2 54.9 0.7 1.3 0.6 29.9 -32.6
pair RSI RSIhist neg-neg 82 33.6 18.2 54.9 0.7 1.3 0.6 29.9 -32.6
pair SLmean MACDhist pos-pos 85 34.8 17.9 54.1 0.6 1.1 0.3 37.7 -57.3
pair MACDhist SLmean pos-pos 85 34.8 17.9 54.1 0.6 1.1 0.3 37.7 -57.3
single MACDhist MACDhist pos-pos 128 52.5 17.3 53.1 0.6 1.1 0.3 34.3 -51.2
pair LWTI RSIhist neg-neg 53 21.7 16.8 54.7 0.7 1.5 0.8 27.3 -21.2
pair RSIhist LWTI neg-neg 53 21.7 16.8 54.7 0.7 1.5 0.8 27.3 -21.2
pair MACDhist SLmean neg-pos 43 17.6 16.2 51.2 0.7 1.3 0.8 26.9 -19.1
pair SLmean MACDhist neg-pos 43 17.6 16.2 51.2 0.7 1.3 0.8 26.9 -19.1
pair RSI RSmean pos-neg 92 37.7 16.1 52.2 0.7 1.3 0.4 28.3 -43.3
pair MACD RSI neg-neg 90 36.9 16.1 52.2 0.7 1.6 0.4 26.9 -43.8
pair RSI MACD neg-neg 90 36.9 16.1 52.2 0.7 1.6 0.4 26.9 -43.8
pair RSmean RSI pos-neg 92 37.7 16.1 52.2 0.7 1.3 0.4 28.3 -43.3
pair MACD LWTI neg-pos 51 20.9 15.9 51.0 0.7 1.5 0.7 29.5 -23.6
pair LWTI MACD neg-pos 51 20.9 15.9 51.0 0.7 1.5 0.7 29.5 -23.6
pair MRmean RSI neg-neg 92 37.7 15.4 54.3 0.6 1.1 0.4 28.7 -42.0
pair RSI MRmean neg-neg 92 37.7 15.4 54.3 0.6 1.1 0.4 28.7 -42.0
pair RSmean LWTI pos-pos 136 55.7 15.2 52.9 0.6 0.9 0.3 37.0 -59.2
pair LWTI RSmean pos-pos 136 55.7 15.2 52.9 0.6 0.9 0.3 37.0 -59.2
pair MACD MRmean pos-pos 91 37.3 15.0 54.9 0.6 0.9 0.3 38.0 -57.1
pair MRmean MACD pos-pos 91 37.3 15.0 54.9 0.6 0.9 0.3 38.0 -57.1
pair RSI MACDhist neg-neg 77 31.6 14.8 53.2 0.6 1.2 0.4 30.5 -39.9
pair MACDhist RSI neg-neg 77 31.6 14.8 53.2 0.6 1.2 0.4 30.5 -39.9
pair RSIhist SLmean neg-neg 107 43.9 14.0 53.3 0.6 1.1 0.4 30.7 -32.6
pair LWTI SLmean neg-neg 58 23.8 14.0 53.4 0.6 1.3 0.7 26.4 -21.2
pair SLmean LWTI neg-neg 58 23.8 14.0 53.4 0.6 1.3 0.7 26.4 -21.2
pair SLmean RSIhist neg-neg 107 43.9 14.0 53.3 0.6 1.1 0.4 30.7 -32.6
pair RSIhist MRmean pos-pos 104 42.6 13.7 51.0 0.5 1.0 0.3 35.5 -53.9
pair MRmean RSIhist pos-pos 104 42.6 13.7 51.0 0.5 1.0 0.3 35.5 -53.9
pair MACD MRmean neg-neg 81 33.2 13.6 51.9 0.6 1.3 0.4 26.9 -31.9
pair MRmean MACD neg-neg 81 33.2 13.6 51.9 0.6 1.3 0.4 26.9 -31.9
pair LWTI SLmean pos-pos 94 38.5 13.5 54.3 0.5 0.8 0.2 37.7 -59.1
pair SLmean LWTI pos-pos 94 38.5 13.5 54.3 0.5 0.8 0.2 37.7 -59.1
pair RSmean RSIhist pos-neg 104 42.6 13.1 55.8 0.6 0.8 0.3 32.0 -43.8
pair RSIhist RSmean pos-neg 104 42.6 13.1 55.8 0.6 0.8 0.3 32.0 -43.8
pair MACD MACDhist neg-neg 79 32.4 13.0 50.6 0.6 1.2 0.3 29.0 -37.5
pair MACDhist MACD neg-neg 79 32.4 13.0 50.6 0.6 1.2 0.3 29.0 -37.5
pair RSIhist RSI pos-pos 97 39.8 12.4 50.5 0.5 0.9 0.2 35.9 -60.0
pair RSI RSIhist pos-pos 97 39.8 12.4 50.5 0.5 0.9 0.2 35.9 -60.0
pair MRmean RSI pos-pos 116 47.5 12.3 53.4 0.5 0.8 0.2 36.5 -62.7
single RSI RSI neg-neg 108 44.3 12.3 51.9 0.6 1.1 0.2 28.3 -52.1
pair RSI MRmean pos-pos 116 47.5 12.3 53.4 0.5 0.8 0.2 36.5 -62.7
single LWTI LWTI pos-pos 158 64.8 12.0 52.5 0.5 0.8 0.2 35.6 -60.6
single SLmean SLmean neg-neg 122 50.0 11.7 51.6 0.5 1.0 0.3 29.8 -35.6
pair RSmean SLmean pos-neg 9 3.7 11.2 66.7 0.6 1.2 0.9 20.4 -12.5
pair SLmean RSmean pos-neg 9 3.7 11.2 66.7 0.6 1.2 0.9 20.4 -12.5
pair RSmean MRmean pos-pos 123 50.4 11.2 51.2 0.5 0.8 0.2 36.2 -57.9
pair MRmean RSmean pos-pos 123 50.4 11.2 51.2 0.5 0.8 0.2 36.2 -57.9
pair MACD RSmean pos-neg 102 41.8 10.9 48.0 0.5 1.1 0.3 27.6 -34.0
pair RSmean MACD pos-neg 102 41.8 10.9 48.0 0.5 1.1 0.3 27.6 -34.0
pair LWTI MRmean neg-neg 64 26.2 10.9 51.6 0.5 1.1 0.4 25.9 -26.0
pair MRmean LWTI neg-neg 64 26.2 10.9 51.6 0.5 1.1 0.4 25.9 -26.0
pair RSIhist SLmean pos-pos 108 44.3 10.4 50.0 0.5 0.9 0.2 34.8 -64.5
pair SLmean RSIhist pos-pos 108 44.3 10.4 50.0 0.5 0.9 0.2 34.8 -64.5
single RSmean RSmean pos-pos 216 88.5 10.2 51.4 0.5 0.8 0.1 33.4 -66.0
single MRmean MRmean pos-pos 132 54.1 10.2 51.5 0.5 0.8 0.2 35.4 -63.2
pair MACD LWTI pos-pos 107 43.9 10.1 53.3 0.4 0.7 0.2 38.3 -60.4
pair LWTI MACD pos-pos 107 43.9 10.1 53.3 0.4 0.7 0.2 38.3 -60.4
pair SLmean LWTI neg-pos 64 26.2 9.7 50.0 0.4 0.8 0.3 32.7 -29.7
pair LWTI SLmean neg-pos 64 26.2 9.7 50.0 0.4 0.8 0.3 32.7 -29.7
pair MACD RSmean pos-pos 114 46.7 9.5 54.4 0.4 0.7 0.2 38.0 -57.3
pair RSmean MACD pos-pos 114 46.7 9.5 54.4 0.4 0.7 0.2 38.0 -57.3
pair SLmean MACDhist neg-neg 79 32.4 9.4 51.9 0.4 0.8 0.3 31.4 -31.1
pair MACDhist SLmean neg-neg 79 32.4 9.4 51.9 0.4 0.8 0.3 31.4 -31.1
pair LWTI RSI pos-pos 123 50.4 9.3 51.2 0.4 0.7 0.1 36.2 -66.5
pair RSI LWTI pos-pos 123 50.4 9.3 51.2 0.4 0.7 0.1 36.2 -66.5
pair SLmean MACD pos-pos 78 32.0 9.1 53.8 0.4 0.7 0.1 39.3 -65.1
pair MACD SLmean pos-pos 78 32.0 9.1 53.8 0.4 0.7 0.1 39.3 -65.1
pair RSIhist MRmean neg-neg 93 38.1 9.1 52.7 0.4 0.8 0.3 30.9 -33.2
pair MRmean RSIhist neg-neg 93 38.1 9.1 52.7 0.4 0.8 0.3 30.9 -33.2
pair MRmean RSmean neg-pos 93 38.1 8.9 51.6 0.4 0.8 0.2 29.5 -37.2
pair RSmean MRmean neg-pos 93 38.1 8.9 51.6 0.4 0.8 0.2 29.5 -37.2
single MACD MACD neg-neg 122 50.0 8.8 49.2 0.4 0.9 0.2 27.5 -43.8
pair MACDhist RSIhist neg-neg 77 31.6 8.7 51.9 0.4 0.8 0.2 31.9 -38.7
pair RSIhist MACDhist neg-neg 77 31.6 8.7 51.9 0.4 0.8 0.2 31.9 -38.7
single RSIhist RSIhist pos-pos 123 50.4 8.6 48.8 0.4 0.8 0.1 33.5 -61.3
pair MACD RSI pos-pos 104 42.6 8.2 52.9 0.4 0.7 0.1 37.6 -67.3
pair RSI MACD pos-pos 104 42.6 8.2 52.9 0.4 0.7 0.1 37.6 -67.3
pair MRmean SLmean neg-neg 101 41.4 8.0 52.5 0.4 0.7 0.2 30.0 -32.6
pair SLmean MRmean neg-neg 101 41.4 8.0 52.5 0.4 0.7 0.2 30.0 -32.6
pair LWTI RSI neg-neg 73 29.9 7.9 49.3 0.4 1.0 0.2 25.3 -38.4
pair RSI LWTI neg-neg 73 29.9 7.9 49.3 0.4 1.0 0.2 25.3 -38.4
pair RSIhist RSmean pos-pos 112 45.9 7.6 47.3 0.4 0.8 0.1 34.8 -61.6
pair RSmean RSIhist pos-pos 112 45.9 7.6 47.3 0.4 0.8 0.1 34.8 -61.6
pair benchmark___benchmark_ benchmark-benchmark 244 100.0 7.5 50.8 0.4 0.7 0.1 32.6 -72.2
pair benchmark___benchmark_ benchmark-benchmark 244 100.0 7.5 50.8 0.4 0.7 0.1 32.6 -72.2
pair SLmean RSI pos-pos 103 42.2 7.0 52.4 0.4 0.6 0.1 37.3 -72.4
pair RSI SLmean pos-pos 103 42.2 7.0 52.4 0.4 0.6 0.1 37.3 -72.4
pair MACDhist MRmean neg-neg 85 34.8 6.6 50.6 0.4 0.7 0.2 30.9 -36.4
pair MRmean MACDhist neg-neg 85 34.8 6.6 50.6 0.4 0.7 0.2 30.9 -36.4
pair MRmean SLmean pos-pos 111 45.5 6.5 52.3 0.3 0.6 0.1 36.5 -70.7
pair SLmean MRmean pos-pos 111 45.5 6.5 52.3 0.3 0.6 0.1 36.5 -70.7
single RSIhist RSIhist neg-neg 121 49.6 6.4 52.9 0.3 0.6 0.1 31.8 -50.2
pair MACDhist RSI neg-pos 31 12.7 6.3 48.4 0.4 0.7 0.4 22.3 -17.5
pair RSI MACDhist neg-pos 31 12.7 6.3 48.4 0.4 0.7 0.4 22.3 -17.5
single MACD MACD pos-pos 122 50.0 6.2 52.5 0.3 0.6 0.1 37.2 -62.2
pair RSmean RSI pos-pos 124 50.8 6.0 50.8 0.3 0.6 0.1 36.9 -72.4
pair RSI RSmean pos-pos 124 50.8 6.0 50.8 0.3 0.6 0.1 36.9 -72.4
single MRmean MRmean neg-neg 112 45.9 4.4 50.0 0.3 0.5 0.1 29.2 -44.6
pair LWTI MACD neg-neg 71 29.1 4.0 47.9 0.3 0.6 0.1 26.0 -38.7
pair MACD LWTI neg-neg 71 29.1 4.0 47.9 0.3 0.6 0.1 26.0 -38.7
single RSI RSI pos-pos 136 55.7 3.8 50.0 0.3 0.5 0.1 35.7 -76.2
pair LWTI MACDhist neg-neg 62 25.4 3.6 50.0 0.3 0.6 0.1 27.7 -35.0
pair MACDhist LWTI neg-neg 62 25.4 3.6 50.0 0.3 0.6 0.1 27.7 -35.0
single SLmean SLmean pos-pos 122 50.0 3.4 50.0 0.3 0.5 0.0 35.3 -76.4
pair SLmean RSmean pos-pos 113 46.3 2.8 48.7 0.3 0.4 0.0 36.3 -74.1
pair RSmean SLmean pos-pos 113 46.3 2.8 48.7 0.3 0.4 0.0 36.3 -74.1
pair RSIhist MACDhist pos-neg 44 18.0 2.4 54.5 0.2 0.3 0.1 31.9 -34.8
pair MACDhist RSIhist pos-neg 44 18.0 2.4 54.5 0.2 0.3 0.1 31.9 -34.8
pair RSmean LWTI pos-neg 80 32.8 2.1 48.8 0.2 0.4 0.1 26.3 -37.6
pair LWTI RSmean pos-neg 80 32.8 2.1 48.8 0.2 0.4 0.1 26.3 -37.6
pair MACD MACDhist neg-pos 43 17.6 1.6 46.5 0.2 0.4 0.1 24.6 -29.3
pair MACDhist MACD neg-pos 43 17.6 1.6 46.5 0.2 0.4 0.1 24.6 -29.3
pair MACD SLmean neg-pos 44 18.0 1.2 50.0 0.2 0.3 0.1 33.5 -25.0
pair SLmean MACD neg-pos 44 18.0 1.2 50.0 0.2 0.3 0.1 33.5 -25.0
pair MRmean MACD pos-neg 41 16.8 0.1 43.9 0.1 0.3 0.0 28.9 -30.9
pair MACD MRmean pos-neg 41 16.8 0.1 43.9 0.1 0.3 0.0 28.9 -30.9
single LWTI LWTI neg-neg 86 35.2 -0.3 47.7 0.1 0.2 -0.0 26.1 -49.3
pair RSmean MACDhist pos-neg 99 40.6 -0.9 48.5 0.1 0.2 -0.0 30.9 -61.4
pair MACDhist RSmean pos-neg 99 40.6 -0.9 48.5 0.1 0.2 -0.0 30.9 -61.4
pair RSIhist LWTI neg-pos 68 27.9 -1.1 51.5 0.1 0.2 -0.0 35.0 -56.8
pair LWTI RSIhist neg-pos 68 27.9 -1.1 51.5 0.1 0.2 -0.0 35.0 -56.8
pair RSmean MACD neg-neg 20 8.2 -1.1 55.0 0.1 0.1 -0.1 27.4 -16.5
pair MACD RSmean neg-neg 20 8.2 -1.1 55.0 0.1 0.1 -0.1 27.4 -16.5
pair MRmean MACDhist neg-pos 27 11.1 -2.2 48.1 0.0 0.0 -0.1 23.4 -26.0
pair MACDhist MRmean neg-pos 27 11.1 -2.2 48.1 0.0 0.0 -0.1 23.4 -26.0
pair RSIhist MRmean pos-neg 28 11.5 -2.2 53.6 0.1 0.1 -0.1 35.2 -40.9
pair MRmean RSIhist pos-neg 28 11.5 -2.2 53.6 0.1 0.1 -0.1 35.2 -40.9
single MACDhist MACDhist neg-neg 116 47.5 -2.4 48.3 0.1 0.1 -0.0 30.5 -65.5
pair RSmean MRmean pos-neg 9 3.7 -2.7 55.6 -0.1 -0.1 -0.2 20.0 -17.4
pair MRmean RSmean pos-neg 9 3.7 -2.7 55.6 -0.1 -0.1 -0.2 20.0 -17.4
pair SLmean RSIhist neg-pos 15 6.1 -3.3 40.0 -0.1 -0.1 -0.1 22.2 -21.8
pair RSIhist SLmean neg-pos 15 6.1 -3.3 40.0 -0.1 -0.1 -0.1 22.2 -21.8
pair MRmean LWTI neg-pos 48 19.7 -3.6 47.9 0.1 0.1 -0.1 33.2 -40.1
pair LWTI MRmean neg-pos 48 19.7 -3.6 47.9 0.1 0.1 -0.1 33.2 -40.1
pair RSI MRmean pos-neg 16 6.6 -3.9 37.5 -0.0 -0.1 -0.2 26.4 -21.1
pair MRmean RSI pos-neg 16 6.6 -3.9 37.5 -0.0 -0.1 -0.2 26.4 -21.1
pair RSI RSIhist neg-pos 26 10.7 -4.5 42.3 -0.1 -0.3 -0.1 22.5 -38.2
pair RSIhist RSI neg-pos 26 10.7 -4.5 42.3 -0.1 -0.3 -0.1 22.5 -38.2
pair RSI MACD pos-neg 18 7.4 -5.0 50.0 0.0 0.0 -0.2 35.4 -21.2
pair MACD RSI pos-neg 18 7.4 -5.0 50.0 0.0 0.0 -0.2 35.4 -21.2
pair SLmean RSI neg-pos 33 13.5 -5.5 42.4 -0.0 -0.1 -0.1 30.5 -39.1
pair RSI SLmean neg-pos 33 13.5 -5.5 42.4 -0.0 -0.1 -0.1 30.5 -39.1
pair MACD RSIhist neg-pos 57 23.4 -5.6 42.1 -0.1 -0.2 -0.1 26.1 -44.5
pair RSIhist MACD neg-pos 57 23.4 -5.6 42.1 -0.1 -0.2 -0.1 26.1 -44.5
pair MACD SLmean pos-neg 44 18.0 -5.9 43.2 -0.1 -0.2 -0.1 27.1 -46.9
pair SLmean MACD pos-neg 44 18.0 -5.9 43.2 -0.1 -0.2 -0.1 27.1 -46.9
pair LWTI RSmean neg-pos 22 9.0 -6.2 50.0 -0.1 -0.2 -0.3 26.0 -17.8
pair RSmean LWTI neg-pos 22 9.0 -6.2 50.0 -0.1 -0.2 -0.3 26.0 -17.8
pair RSmean RSI neg-neg 16 6.6 -7.6 50.0 -0.1 -0.2 -0.5 28.8 -16.5
pair RSI RSmean neg-neg 16 6.6 -7.6 50.0 -0.1 -0.2 -0.5 28.8 -16.5
pair MACDhist LWTI neg-pos 54 22.1 -8.8 46.3 -0.1 -0.2 -0.1 33.5 -64.7
pair LWTI MACDhist neg-pos 54 22.1 -8.8 46.3 -0.1 -0.2 -0.1 33.5 -64.7
pair RSI MACD neg-pos 32 13.1 -9.2 40.6 -0.2 -0.4 -0.2 29.0 -39.0
pair MACD RSI neg-pos 32 13.1 -9.2 40.6 -0.2 -0.4 -0.2 29.0 -39.0
pair MACDhist LWTI pos-neg 24 9.8 -9.5 41.7 -0.3 -0.6 -0.3 21.7 -27.6
pair LWTI MACDhist pos-neg 24 9.8 -9.5 41.7 -0.3 -0.6 -0.3 21.7 -27.6
pair MACD RSIhist pos-neg 56 23.0 -10.4 50.0 -0.1 -0.2 -0.2 35.1 -50.0
pair RSIhist MACD pos-neg 56 23.0 -10.4 50.0 -0.1 -0.2 -0.2 35.1 -50.0
pair MACDhist RSmean neg-neg 17 7.0 -10.4 47.1 -0.2 -0.5 -0.6 28.2 -16.3
pair RSmean MACDhist neg-neg 17 7.0 -10.4 47.1 -0.2 -0.5 -0.6 28.2 -16.3
single RSmean RSmean neg-neg 28 11.5 -11.2 46.4 -0.3 -0.6 -0.3 25.1 -33.7
pair RSmean MACDhist neg-pos 11 4.5 -12.4 45.5 -0.5 -0.8 -0.6 20.9 -21.5
pair MACDhist RSmean neg-pos 11 4.5 -12.4 45.5 -0.5 -0.8 -0.6 20.9 -21.5
pair RSI SLmean pos-neg 19 7.8 -14.3 36.8 -0.6 -1.6 -0.4 21.2 -35.0
pair SLmean RSI pos-neg 19 7.8 -14.3 36.8 -0.6 -1.6 -0.4 21.2 -35.0
pair RSIhist RSI pos-neg 39 16.0 -14.7 48.7 -0.3 -0.4 -0.3 35.2 -54.6
pair RSI RSIhist pos-neg 39 16.0 -14.7 48.7 -0.3 -0.4 -0.3 35.2 -54.6
pair RSmean MRmean neg-neg 19 7.8 -14.9 42.1 -0.5 -0.8 -0.6 27.7 -24.2
pair MRmean RSmean neg-neg 19 7.8 -14.9 42.1 -0.5 -0.8 -0.6 27.7 -24.2
pair RSIhist MRmean neg-pos 19 7.8 -15.7 36.8 -0.9 -1.6 -0.5 17.6 -31.2
pair MRmean RSIhist neg-pos 19 7.8 -15.7 36.8 -0.9 -1.6 -0.5 17.6 -31.2
pair RSI RSmean neg-pos 12 4.9 -15.7 41.7 -0.7 -1.4 -0.7 20.5 -21.8
pair RSmean RSI neg-pos 12 4.9 -15.7 41.7 -0.7 -1.4 -0.7 20.5 -21.8
pair MACD MRmean neg-pos 31 12.7 -16.1 45.2 -0.3 -0.6 -0.4 34.3 -42.2
pair MRmean MACD neg-pos 31 12.7 -16.1 45.2 -0.3 -0.6 -0.4 34.3 -42.2
pair MACD LWTI pos-neg 15 6.1 -18.2 46.7 -0.6 -1.5 -0.6 26.6 -30.1
pair LWTI MACD pos-neg 15 6.1 -18.2 46.7 -0.6 -1.5 -0.6 26.6 -30.1
pair RSmean SLmean neg-neg 19 7.8 -20.1 36.8 -0.7 -1.3 -0.6 27.1 -31.5
pair SLmean RSmean neg-neg 19 7.8 -20.1 36.8 -0.7 -1.3 -0.6 27.1 -31.5
pair MACDhist RSIhist neg-pos 39 16.0 -21.1 41.0 -0.8 -1.1 -0.3 26.6 -62.4
pair RSIhist MACDhist neg-pos 39 16.0 -21.1 41.0 -0.8 -1.1 -0.3 26.6 -62.4
pair RSIhist LWTI pos-neg 33 13.5 -22.6 36.4 -1.0 -1.8 -0.4 22.5 -52.0
pair LWTI RSIhist pos-neg 33 13.5 -22.6 36.4 -1.0 -1.8 -0.4 22.5 -52.0
pair SLmean MRmean neg-pos 11 4.5 -22.9 27.3 -1.3 -3.3 -0.9 19.2 -24.3
pair MRmean SLmean neg-pos 11 4.5 -22.9 27.3 -1.3 -3.3 -0.9 19.2 -24.3
pair MRmean MACDhist pos-neg 31 12.7 -23.4 41.9 -0.8 -1.1 -0.4 28.6 -62.9
pair MACDhist MRmean pos-neg 31 12.7 -23.4 41.9 -0.8 -1.1 -0.4 28.6 -62.9
pair SLmean MACDhist pos-neg 37 15.2 -23.5 40.5 -0.8 -1.2 -0.3 27.5 -67.6
pair MACDhist SLmean pos-neg 37 15.2 -23.5 40.5 -0.8 -1.2 -0.3 27.5 -67.6
pair LWTI SLmean pos-neg 28 11.5 -24.4 35.7 -1.0 -2.0 -0.5 24.1 -49.5
pair SLmean LWTI pos-neg 28 11.5 -24.4 35.7 -1.0 -2.0 -0.5 24.1 -49.5
pair LWTI MRmean pos-neg 22 9.0 -26.8 36.4 -1.1 -2.1 -0.7 25.1 -38.9
pair MRmean LWTI pos-neg 22 9.0 -26.8 36.4 -1.1 -2.1 -0.7 25.1 -38.9
pair RSIhist RSmean neg-neg 17 7.0 -26.8 35.3 -0.9 -2.0 -0.7 28.8 -36.5
pair RSmean RSIhist neg-neg 17 7.0 -26.8 35.3 -0.9 -2.0 -0.7 28.8 -36.5
pair RSmean LWTI neg-neg 6 2.5 -27.1 33.3 -1.2 -1.7 -1.4 23.0 -20.0
pair LWTI RSmean neg-neg 6 2.5 -27.1 33.3 -1.2 -1.7 -1.4 23.0 -20.0
pair MACDhist MACD pos-neg 37 15.2 -28.5 43.2 -0.9 -1.4 -0.4 32.0 -69.2
pair MACD MACDhist pos-neg 37 15.2 -28.5 43.2 -0.9 -1.4 -0.4 32.0 -69.2
pair RSI MACDhist pos-neg 39 16.0 -29.1 38.5 -1.0 -1.6 -0.4 28.5 -73.0
pair MACDhist RSI pos-neg 39 16.0 -29.1 38.5 -1.0 -1.6 -0.4 28.5 -73.0
pair RSmean MACD neg-pos 8 3.3 -32.0 25.0 -2.1 -3.7 -1.5 17.4 -20.8
pair MACD RSmean neg-pos 8 3.3 -32.0 25.0 -2.1 -3.7 -1.5 17.4 -20.8
pair MRmean RSI neg-pos 20 8.2 -33.9 30.0 -1.3 -2.5 -0.7 28.3 -52.4
pair RSI MRmean neg-pos 20 8.2 -33.9 30.0 -1.3 -2.5 -0.7 28.3 -52.4
pair LWTI RSI pos-neg 13 5.3 -36.0 38.5 -1.4 -3.0 -1.1 28.1 -33.1
pair RSI LWTI pos-neg 13 5.3 -36.0 38.5 -1.4 -3.0 -1.1 28.1 -33.1
pair RSIhist SLmean pos-neg 14 5.7 -37.4 50.0 -1.0 -1.1 -0.8 37.5 -45.0
pair SLmean RSIhist pos-neg 14 5.7 -37.4 50.0 -1.0 -1.1 -0.8 37.5 -45.0

All Contingency Tables for SLV

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 52%
Sharpe 0.35 | Sortino 0.59 | Calmar 0.1
Vol 36% | MDD -70.7%
Months 111M (46%)
CAGR 31.9% | Win 48%
Sharpe 1.10 | Sortino 4.13 | Calmar 3.2
Vol 29% | MDD -10.0%
Months 21M (9%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -22.9% | Win 27%
Sharpe -1.26 | Sortino -3.33 | Calmar -0.9
Vol 19% | MDD -24.3%
Months 11M (4%)
CAGR 8.0% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -32.6%
Months 101M (41%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
SLmean
only
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 51%
Sharpe 0.47 | Sortino 0.81 | Calmar 0.2
Vol 36% | MDD -57.9%
Months 123M (50%)
CAGR -2.7% | Win 56%
Sharpe -0.05 | Sortino -0.10 | Calmar -0.2
Vol 20% | MDD -17.4%
Months 9M (4%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR 8.9% | Win 52%
Sharpe 0.43 | Sortino 0.79 | Calmar 0.2
Vol 30% | MDD -37.2%
Months 93M (38%)
CAGR -14.9% | Win 42%
Sharpe -0.45 | Sortino -0.82 | Calmar -0.6
Vol 28% | MDD -24.2%
Months 19M (8%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
RSmean
only
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 15.0% | Win 55%
Sharpe 0.56 | Sortino 0.90 | Calmar 0.3
Vol 38% | MDD -57.1%
Months 91M (37%)
CAGR 0.1% | Win 44%
Sharpe 0.14 | Sortino 0.30 | Calmar 0.0
Vol 29% | MDD -30.9%
Months 41M (17%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -16.1% | Win 45%
Sharpe -0.34 | Sortino -0.59 | Calmar -0.4
Vol 34% | MDD -42.2%
Months 31M (13%)
CAGR 13.6% | Win 52%
Sharpe 0.60 | Sortino 1.29 | Calmar 0.4
Vol 27% | MDD -31.9%
Months 81M (33%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
MACD
only
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 53%
Sharpe 0.50 | Sortino 0.83 | Calmar 0.2
Vol 36% | MDD -62.7%
Months 116M (48%)
CAGR -3.9% | Win 38%
Sharpe -0.04 | Sortino -0.13 | Calmar -0.2
Vol 26% | MDD -21.1%
Months 16M (7%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -33.9% | Win 30%
Sharpe -1.30 | Sortino -2.47 | Calmar -0.6
Vol 28% | MDD -52.4%
Months 20M (8%)
CAGR 15.4% | Win 54%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 29% | MDD -42.0%
Months 92M (38%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
RSI
only
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 23.1% | Win 55%
Sharpe 0.75 | Sortino 1.32 | Calmar 0.5
Vol 37% | MDD -47.7%
Months 101M (41%)
CAGR -23.4% | Win 42%
Sharpe -0.78 | Sortino -1.10 | Calmar -0.4
Vol 29% | MDD -62.9%
Months 31M (13%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -2.2% | Win 48%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 23% | MDD -26.0%
Months 27M (11%)
CAGR 6.6% | Win 51%
Sharpe 0.36 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -36.4%
Months 85M (35%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
MACDhist
only
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.7% | Win 51%
Sharpe 0.54 | Sortino 1.04 | Calmar 0.3
Vol 36% | MDD -53.9%
Months 104M (43%)
CAGR -2.2% | Win 54%
Sharpe 0.12 | Sortino 0.15 | Calmar -0.1
Vol 35% | MDD -40.9%
Months 28M (12%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -15.7% | Win 37%
Sharpe -0.88 | Sortino -1.63 | Calmar -0.5
Vol 18% | MDD -31.2%
Months 19M (8%)
CAGR 9.1% | Win 53%
Sharpe 0.43 | Sortino 0.78 | Calmar 0.3
Vol 31% | MDD -33.2%
Months 93M (38%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 19.5% | Win 55%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.4
Vol 37% | MDD -46.8%
Months 110M (45%)
CAGR -26.8% | Win 36%
Sharpe -1.10 | Sortino -2.13 | Calmar -0.7
Vol 25% | MDD -38.9%
Months 22M (9%)
CAGR 10.2% | Win 52%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 35% | MDD -63.2%
Months 132M (54%)
MRmean
neg
CAGR -3.6% | Win 48%
Sharpe 0.05 | Sortino 0.09 | Calmar -0.1
Vol 33% | MDD -40.1%
Months 48M (20%)
CAGR 10.9% | Win 52%
Sharpe 0.52 | Sortino 1.11 | Calmar 0.4
Vol 26% | MDD -26.0%
Months 64M (26%)
CAGR 4.4% | Win 50%
Sharpe 0.29 | Sortino 0.53 | Calmar 0.1
Vol 29% | MDD -44.6%
Months 112M (46%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 49%
Sharpe 0.26 | Sortino 0.44 | Calmar 0.0
Vol 36% | MDD -74.1%
Months 113M (46%)
CAGR 11.2% | Win 67%
Sharpe 0.61 | Sortino 1.16 | Calmar 0.9
Vol 20% | MDD -12.5%
Months 9M (4%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR 18.9% | Win 54%
Sharpe 0.73 | Sortino 1.35 | Calmar 0.6
Vol 30% | MDD -31.1%
Months 103M (42%)
CAGR -20.1% | Win 37%
Sharpe -0.69 | Sortino -1.28 | Calmar -0.6
Vol 27% | MDD -31.5%
Months 19M (8%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
RSmean
only
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 54%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.1
Vol 39% | MDD -65.1%
Months 78M (32%)
CAGR -5.9% | Win 43%
Sharpe -0.10 | Sortino -0.20 | Calmar -0.1
Vol 27% | MDD -46.9%
Months 44M (18%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR 1.2% | Win 50%
Sharpe 0.20 | Sortino 0.35 | Calmar 0.0
Vol 34% | MDD -25.0%
Months 44M (18%)
CAGR 18.2% | Win 53%
Sharpe 0.74 | Sortino 1.62 | Calmar 0.7
Vol 28% | MDD -24.4%
Months 78M (32%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
MACD
only
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.0% | Win 52%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -72.4%
Months 103M (42%)
CAGR -14.3% | Win 37%
Sharpe -0.62 | Sortino -1.64 | Calmar -0.4
Vol 21% | MDD -35.0%
Months 19M (8%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR -5.5% | Win 42%
Sharpe -0.04 | Sortino -0.08 | Calmar -0.1
Vol 30% | MDD -39.1%
Months 33M (14%)
CAGR 18.9% | Win 55%
Sharpe 0.73 | Sortino 1.34 | Calmar 0.5
Vol 29% | MDD -35.6%
Months 89M (36%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
RSI
only
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 17.9% | Win 54%
Sharpe 0.62 | Sortino 1.07 | Calmar 0.3
Vol 38% | MDD -57.3%
Months 85M (35%)
CAGR -23.5% | Win 40%
Sharpe -0.82 | Sortino -1.23 | Calmar -0.3
Vol 28% | MDD -67.6%
Months 37M (15%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR 16.2% | Win 51%
Sharpe 0.69 | Sortino 1.32 | Calmar 0.8
Vol 27% | MDD -19.1%
Months 43M (18%)
CAGR 9.4% | Win 52%
Sharpe 0.44 | Sortino 0.83 | Calmar 0.3
Vol 31% | MDD -31.1%
Months 79M (32%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
MACDhist
only
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 50%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.2
Vol 35% | MDD -64.5%
Months 108M (44%)
CAGR -37.4% | Win 50%
Sharpe -1.03 | Sortino -1.10 | Calmar -0.8
Vol 38% | MDD -45.0%
Months 14M (6%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR -3.3% | Win 40%
Sharpe -0.05 | Sortino -0.12 | Calmar -0.1
Vol 22% | MDD -21.8%
Months 15M (6%)
CAGR 14.0% | Win 53%
Sharpe 0.58 | Sortino 1.07 | Calmar 0.4
Vol 31% | MDD -32.6%
Months 107M (44%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.5% | Win 54%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.2
Vol 38% | MDD -59.1%
Months 94M (38%)
CAGR -24.4% | Win 36%
Sharpe -1.03 | Sortino -1.98 | Calmar -0.5
Vol 24% | MDD -49.5%
Months 28M (12%)
CAGR 3.4% | Win 50%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.0
Vol 35% | MDD -76.4%
Months 122M (50%)
SLmean
neg
CAGR 9.7% | Win 50%
Sharpe 0.44 | Sortino 0.83 | Calmar 0.3
Vol 33% | MDD -29.7%
Months 64M (26%)
CAGR 14.0% | Win 53%
Sharpe 0.62 | Sortino 1.31 | Calmar 0.7
Vol 26% | MDD -21.2%
Months 58M (24%)
CAGR 11.7% | Win 52%
Sharpe 0.52 | Sortino 0.98 | Calmar 0.3
Vol 30% | MDD -35.6%
Months 122M (50%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 54%
Sharpe 0.43 | Sortino 0.70 | Calmar 0.2
Vol 38% | MDD -57.3%
Months 114M (47%)
CAGR 10.9% | Win 48%
Sharpe 0.51 | Sortino 1.15 | Calmar 0.3
Vol 28% | MDD -34.0%
Months 102M (42%)
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
RSmean
neg
CAGR -32.0% | Win 25%
Sharpe -2.11 | Sortino -3.71 | Calmar -1.5
Vol 17% | MDD -20.8%
Months 8M (3%)
CAGR -1.1% | Win 55%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.1
Vol 27% | MDD -16.5%
Months 20M (8%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
MACD
only
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.0% | Win 51%
Sharpe 0.34 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -72.4%
Months 124M (51%)
CAGR 16.1% | Win 52%
Sharpe 0.67 | Sortino 1.33 | Calmar 0.4
Vol 28% | MDD -43.3%
Months 92M (38%)
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
RSmean
neg
CAGR -15.7% | Win 42%
Sharpe -0.73 | Sortino -1.44 | Calmar -0.7
Vol 20% | MDD -21.8%
Months 12M (5%)
CAGR -7.6% | Win 50%
Sharpe -0.14 | Sortino -0.25 | Calmar -0.5
Vol 29% | MDD -16.5%
Months 16M (7%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
RSI
only
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 20.6% | Win 54%
Sharpe 0.71 | Sortino 1.22 | Calmar 0.4
Vol 35% | MDD -46.8%
Months 117M (48%)
CAGR -0.9% | Win 48%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 31% | MDD -61.4%
Months 99M (41%)
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
RSmean
neg
CAGR -12.4% | Win 46%
Sharpe -0.53 | Sortino -0.76 | Calmar -0.6
Vol 21% | MDD -21.5%
Months 11M (4%)
CAGR -10.4% | Win 47%
Sharpe -0.25 | Sortino -0.54 | Calmar -0.6
Vol 28% | MDD -16.3%
Months 17M (7%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
MACDhist
only
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 47%
Sharpe 0.38 | Sortino 0.75 | Calmar 0.1
Vol 35% | MDD -61.6%
Months 112M (46%)
CAGR 13.1% | Win 56%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.3
Vol 32% | MDD -43.8%
Months 104M (43%)
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
RSmean
neg
CAGR 19.9% | Win 64%
Sharpe 1.20 | Sortino 2.14 | Calmar 3.4
Vol 16% | MDD -5.8%
Months 11M (4%)
CAGR -26.8% | Win 35%
Sharpe -0.94 | Sortino -1.96 | Calmar -0.7
Vol 29% | MDD -36.5%
Months 17M (7%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 15.2% | Win 53%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.3
Vol 37% | MDD -59.2%
Months 136M (56%)
CAGR 2.1% | Win 49%
Sharpe 0.20 | Sortino 0.42 | Calmar 0.1
Vol 26% | MDD -37.6%
Months 80M (33%)
CAGR 10.2% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -66.0%
Months 216M (88%)
RSmean
neg
CAGR -6.2% | Win 50%
Sharpe -0.12 | Sortino -0.24 | Calmar -0.3
Vol 26% | MDD -17.8%
Months 22M (9%)
CAGR -27.1% | Win 33%
Sharpe -1.25 | Sortino -1.74 | Calmar -1.4
Vol 23% | MDD -20.0%
Months 6M (2%)
CAGR -11.2% | Win 46%
Sharpe -0.35 | Sortino -0.64 | Calmar -0.3
Vol 25% | MDD -33.7%
Months 28M (12%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.2% | Win 53%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -67.3%
Months 104M (43%)
CAGR -5.0% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.2
Vol 35% | MDD -21.2%
Months 18M (7%)
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
MACD
neg
CAGR -9.2% | Win 41%
Sharpe -0.19 | Sortino -0.37 | Calmar -0.2
Vol 29% | MDD -39.0%
Months 32M (13%)
CAGR 16.1% | Win 52%
Sharpe 0.69 | Sortino 1.57 | Calmar 0.4
Vol 27% | MDD -43.8%
Months 90M (37%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
RSI
only
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 26.1% | Win 56%
Sharpe 0.80 | Sortino 1.30 | Calmar 0.6
Vol 38% | MDD -45.0%
Months 85M (35%)
CAGR -28.5% | Win 43%
Sharpe -0.88 | Sortino -1.39 | Calmar -0.4
Vol 32% | MDD -69.2%
Months 37M (15%)
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
MACD
neg
CAGR 1.6% | Win 46%
Sharpe 0.18 | Sortino 0.39 | Calmar 0.1
Vol 25% | MDD -29.3%
Months 43M (18%)
CAGR 13.0% | Win 51%
Sharpe 0.56 | Sortino 1.18 | Calmar 0.3
Vol 29% | MDD -37.5%
Months 79M (32%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
MACDhist
only
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 22.6% | Win 55%
Sharpe 0.72 | Sortino 1.33 | Calmar 0.5
Vol 39% | MDD -48.6%
Months 66M (27%)
CAGR -10.4% | Win 50%
Sharpe -0.13 | Sortino -0.19 | Calmar -0.2
Vol 35% | MDD -50.0%
Months 56M (23%)
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
MACD
neg
CAGR -5.6% | Win 42%
Sharpe -0.09 | Sortino -0.20 | Calmar -0.1
Vol 26% | MDD -44.5%
Months 57M (23%)
CAGR 23.3% | Win 55%
Sharpe 0.88 | Sortino 1.87 | Calmar 1.1
Vol 28% | MDD -20.9%
Months 65M (27%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.1% | Win 53%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 38% | MDD -60.4%
Months 107M (44%)
CAGR -18.2% | Win 47%
Sharpe -0.63 | Sortino -1.49 | Calmar -0.6
Vol 27% | MDD -30.1%
Months 15M (6%)
CAGR 6.2% | Win 52%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 37% | MDD -62.2%
Months 122M (50%)
MACD
neg
CAGR 15.9% | Win 51%
Sharpe 0.65 | Sortino 1.46 | Calmar 0.7
Vol 30% | MDD -23.6%
Months 51M (21%)
CAGR 4.0% | Win 48%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -38.7%
Months 71M (29%)
CAGR 8.8% | Win 49%
Sharpe 0.44 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -43.8%
Months 122M (50%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 21.0% | Win 55%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.4
Vol 37% | MDD -57.4%
Months 97M (40%)
CAGR -29.1% | Win 38%
Sharpe -1.04 | Sortino -1.56 | Calmar -0.4
Vol 28% | MDD -73.0%
Months 39M (16%)
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
RSI
neg
CAGR 6.3% | Win 48%
Sharpe 0.38 | Sortino 0.74 | Calmar 0.4
Vol 22% | MDD -17.5%
Months 31M (13%)
CAGR 14.8% | Win 53%
Sharpe 0.60 | Sortino 1.17 | Calmar 0.4
Vol 30% | MDD -39.9%
Months 77M (32%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
MACDhist
only
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.4% | Win 50%
Sharpe 0.50 | Sortino 0.95 | Calmar 0.2
Vol 36% | MDD -60.0%
Months 97M (40%)
CAGR -14.7% | Win 49%
Sharpe -0.27 | Sortino -0.39 | Calmar -0.3
Vol 35% | MDD -54.6%
Months 39M (16%)
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
RSI
neg
CAGR -4.5% | Win 42%
Sharpe -0.10 | Sortino -0.28 | Calmar -0.1
Vol 22% | MDD -38.2%
Months 26M (11%)
CAGR 18.2% | Win 55%
Sharpe 0.71 | Sortino 1.27 | Calmar 0.6
Vol 30% | MDD -32.6%
Months 82M (34%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.3% | Win 51%
Sharpe 0.42 | Sortino 0.72 | Calmar 0.1
Vol 36% | MDD -66.5%
Months 123M (50%)
CAGR -36.0% | Win 38%
Sharpe -1.42 | Sortino -2.96 | Calmar -1.1
Vol 28% | MDD -33.1%
Months 13M (5%)
CAGR 3.8% | Win 50%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 36% | MDD -76.2%
Months 136M (56%)
RSI
neg
CAGR 21.9% | Win 57%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.8
Vol 34% | MDD -28.3%
Months 35M (14%)
CAGR 7.9% | Win 49%
Sharpe 0.42 | Sortino 0.96 | Calmar 0.2
Vol 25% | MDD -38.4%
Months 73M (30%)
CAGR 12.3% | Win 52%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.2
Vol 28% | MDD -52.1%
Months 108M (44%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 26.0% | Win 52%
Sharpe 0.82 | Sortino 1.80 | Calmar 0.6
Vol 36% | MDD -44.7%
Months 84M (34%)
CAGR 2.4% | Win 55%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 32% | MDD -34.8%
Months 44M (18%)
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
MACDhist
neg
CAGR -21.1% | Win 41%
Sharpe -0.75 | Sortino -1.05 | Calmar -0.3
Vol 27% | MDD -62.4%
Months 39M (16%)
CAGR 8.7% | Win 52%
Sharpe 0.42 | Sortino 0.81 | Calmar 0.2
Vol 32% | MDD -38.7%
Months 77M (32%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
RSIhist
only
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 24.5% | Win 56%
Sharpe 0.79 | Sortino 1.34 | Calmar 0.6
Vol 36% | MDD -38.4%
Months 104M (43%)
CAGR -9.5% | Win 42%
Sharpe -0.35 | Sortino -0.58 | Calmar -0.3
Vol 22% | MDD -27.6%
Months 24M (10%)
CAGR 17.3% | Win 53%
Sharpe 0.64 | Sortino 1.09 | Calmar 0.3
Vol 34% | MDD -51.2%
Months 128M (52%)
MACDhist
neg
CAGR -8.8% | Win 46%
Sharpe -0.11 | Sortino -0.17 | Calmar -0.1
Vol 34% | MDD -64.7%
Months 54M (22%)
CAGR 3.6% | Win 50%
Sharpe 0.26 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -35.0%
Months 62M (25%)
CAGR -2.4% | Win 48%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -65.5%
Months 116M (48%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 23.0% | Win 53%
Sharpe 0.75 | Sortino 1.42 | Calmar 0.5
Vol 36% | MDD -44.7%
Months 90M (37%)
CAGR -22.6% | Win 36%
Sharpe -1.02 | Sortino -1.83 | Calmar -0.4
Vol 22% | MDD -52.0%
Months 33M (14%)
CAGR 8.6% | Win 49%
Sharpe 0.41 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.3%
Months 123M (50%)
RSIhist
neg
CAGR -1.1% | Win 52%
Sharpe 0.15 | Sortino 0.22 | Calmar -0.0
Vol 35% | MDD -56.8%
Months 68M (28%)
CAGR 16.8% | Win 55%
Sharpe 0.70 | Sortino 1.46 | Calmar 0.8
Vol 27% | MDD -21.2%
Months 53M (22%)
CAGR 6.4% | Win 53%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -50.2%
Months 121M (50%)
LWTI
only
CAGR 12.0% | Win 52%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.2
Vol 36% | MDD -60.6%
Months 158M (65%)
CAGR -0.3% | Win 48%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 26% | MDD -49.3%
Months 86M (35%)