SLX - VanEck Steel ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

325.7%

Best CAGR

66

Total Months

13.8%

Avg CAGR

SLX 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 SLX

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 1 0.4 325.7 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.4 325.7 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist neg-pos 4 1.7 153.9 75.0 2.1 0.0 0.0 50.8 0.0
pair RSIhist SLmean neg-pos 4 1.7 153.9 75.0 2.1 0.0 0.0 50.8 0.0
pair RSmean MACD neg-neg 14 6.0 78.1 85.7 2.4 2.2 6.2 26.3 -12.5
pair MACD RSmean neg-neg 14 6.0 78.1 85.7 2.4 2.2 6.2 26.3 -12.5
pair RSI MRmean pos-neg 19 8.2 75.1 78.9 1.9 3.0 4.7 33.3 -15.9
pair MRmean RSI pos-neg 19 8.2 75.1 78.9 1.9 3.0 4.7 33.3 -15.9
pair RSI RSIhist neg-pos 27 11.6 70.4 74.1 1.8 3.6 4.4 34.1 -15.9
pair RSIhist RSI neg-pos 27 11.6 70.4 74.1 1.8 3.6 4.4 34.1 -15.9
pair MRmean RSmean neg-neg 16 6.9 68.4 81.2 2.2 2.7 4.3 25.7 -15.8
pair RSmean MRmean neg-neg 16 6.9 68.4 81.2 2.2 2.7 4.3 25.7 -15.8
pair SLmean RSmean neg-neg 16 6.9 68.4 81.2 2.2 2.7 4.3 25.7 -15.8
pair RSmean SLmean neg-neg 16 6.9 68.4 81.2 2.2 2.7 4.3 25.7 -15.8
pair SLmean RSI pos-neg 27 11.6 61.1 70.4 1.6 3.3 3.8 32.8 -15.9
pair RSI SLmean pos-neg 27 11.6 61.1 70.4 1.6 3.3 3.8 32.8 -15.9
pair RSmean RSIhist neg-neg 17 7.3 57.5 76.5 1.9 2.9 2.9 26.2 -20.0
pair RSIhist RSmean neg-neg 17 7.3 57.5 76.5 1.9 2.9 2.9 26.2 -20.0
pair MACD RSIhist neg-pos 47 20.3 47.3 68.1 1.4 3.0 3.0 32.5 -15.9
pair RSIhist MACD neg-pos 47 20.3 47.3 68.1 1.4 3.0 3.0 32.5 -15.9
pair MRmean RSIhist neg-pos 9 3.9 46.6 55.6 1.2 5.8 6.3 36.7 -7.4
pair RSIhist MRmean neg-pos 9 3.9 46.6 55.6 1.2 5.8 6.3 36.7 -7.4
pair SLmean MRmean neg-pos 15 6.5 46.3 53.3 1.4 6.2 5.2 29.5 -8.8
pair MRmean SLmean neg-pos 15 6.5 46.3 53.3 1.4 6.2 5.2 29.5 -8.8
pair RSmean RSI neg-pos 15 6.5 42.6 73.3 1.4 1.8 2.4 28.0 -17.4
pair RSI RSmean neg-pos 15 6.5 42.6 73.3 1.4 1.8 2.4 28.0 -17.4
pair LWTI RSIhist pos-neg 26 11.2 42.3 61.5 1.1 2.7 1.9 36.3 -22.3
pair RSIhist LWTI pos-neg 26 11.2 42.3 61.5 1.1 2.7 1.9 36.3 -22.3
pair RSIhist MACDhist neg-pos 26 11.2 41.3 65.4 1.2 2.5 2.7 32.5 -15.1
pair MACDhist RSIhist neg-pos 26 11.2 41.3 65.4 1.2 2.5 2.7 32.5 -15.1
pair RSmean MACDhist neg-neg 18 7.8 37.9 72.2 1.2 1.8 1.4 29.8 -27.8
pair MACDhist RSmean neg-neg 18 7.8 37.9 72.2 1.2 1.8 1.4 29.8 -27.8
pair MRmean LWTI pos-neg 20 8.6 37.6 65.0 1.1 2.2 2.4 34.7 -15.9
pair LWTI MRmean pos-neg 20 8.6 37.6 65.0 1.1 2.2 2.4 34.7 -15.9
pair MACD SLmean pos-neg 53 22.8 35.8 64.2 1.1 2.2 2.0 32.1 -17.5
pair SLmean MACD pos-neg 53 22.8 35.8 64.2 1.1 2.2 2.0 32.1 -17.5
pair MACDhist RSI neg-pos 15 6.5 35.7 60.0 1.0 2.2 1.2 37.7 -29.2
pair RSI MACDhist neg-pos 15 6.5 35.7 60.0 1.0 2.2 1.2 37.7 -29.2
pair MACD MACDhist neg-pos 31 13.4 34.2 64.5 1.1 2.4 1.3 33.0 -25.5
pair MACDhist MACD neg-pos 31 13.4 34.2 64.5 1.1 2.4 1.3 33.0 -25.5
pair SLmean LWTI pos-neg 28 12.1 33.9 57.1 1.0 2.3 1.6 33.6 -20.8
pair LWTI SLmean pos-neg 28 12.1 33.9 57.1 1.0 2.3 1.6 33.6 -20.8
pair MRmean MACD pos-neg 48 20.7 33.6 64.6 1.1 2.1 1.2 32.6 -28.4
pair MACD MRmean pos-neg 48 20.7 33.6 64.6 1.1 2.1 1.2 32.6 -28.4
single RSmean RSmean neg-neg 19 8.2 32.3 68.4 1.1 1.7 1.1 29.5 -30.5
pair RSIhist RSmean pos-pos 104 44.8 29.2 60.6 1.1 2.4 1.3 28.3 -23.1
pair RSmean RSIhist pos-pos 104 44.8 29.2 60.6 1.1 2.4 1.3 28.3 -23.1
pair SLmean MRmean pos-neg 17 7.3 27.8 58.8 1.0 2.6 1.6 29.1 -16.8
pair MRmean SLmean pos-neg 17 7.3 27.8 58.8 1.0 2.6 1.6 29.1 -16.8
pair RSI MRmean neg-pos 29 12.5 27.6 69.0 0.9 0.8 0.6 36.1 -47.0
pair MRmean RSI neg-pos 29 12.5 27.6 69.0 0.9 0.8 0.6 36.1 -47.0
single RSIhist RSIhist pos-pos 106 45.7 25.7 59.4 0.9 2.0 1.1 28.7 -23.1
pair LWTI RSmean neg-pos 18 7.8 24.0 66.7 0.9 1.3 0.8 29.0 -30.5
pair RSmean LWTI neg-pos 18 7.8 24.0 66.7 0.9 1.3 0.8 29.0 -30.5
pair RSIhist MRmean pos-pos 97 41.8 23.9 59.8 0.9 1.9 1.1 28.1 -22.4
pair MRmean RSIhist pos-pos 97 41.8 23.9 59.8 0.9 1.9 1.1 28.1 -22.4
pair RSIhist SLmean pos-pos 102 44.0 22.3 58.8 0.9 1.8 1.0 27.6 -22.4
pair SLmean RSIhist pos-pos 102 44.0 22.3 58.8 0.9 1.8 1.0 27.6 -22.4
pair SLmean RSI neg-pos 39 16.8 22.0 66.7 0.8 0.9 0.4 34.5 -53.4
pair RSI SLmean neg-pos 39 16.8 22.0 66.7 0.8 0.9 0.4 34.5 -53.4
pair MACDhist RSIhist pos-pos 80 34.5 21.0 57.5 0.8 1.8 0.7 27.5 -31.8
pair RSIhist MACDhist pos-pos 80 34.5 21.0 57.5 0.8 1.8 0.7 27.5 -31.8
pair LWTI RSIhist pos-pos 80 34.5 20.7 58.8 0.9 1.8 0.9 25.9 -22.4
pair RSIhist LWTI pos-pos 80 34.5 20.7 58.8 0.9 1.8 0.9 25.9 -22.4
pair MACDhist LWTI pos-neg 8 3.4 19.9 37.5 0.6 1.5 0.7 46.6 -27.0
pair LWTI MACDhist pos-neg 8 3.4 19.9 37.5 0.6 1.5 0.7 46.6 -27.0
pair MRmean MACD neg-pos 32 13.8 19.5 56.2 0.7 1.1 0.6 34.7 -34.0
pair MACD MRmean neg-pos 32 13.8 19.5 56.2 0.7 1.1 0.6 34.7 -34.0
pair MACDhist SLmean pos-neg 45 19.4 18.2 53.3 0.7 1.4 0.8 29.8 -23.1
pair SLmean MACDhist pos-neg 45 19.4 18.2 53.3 0.7 1.4 0.8 29.8 -23.1
pair MACD SLmean neg-pos 39 16.8 18.0 59.0 0.7 1.1 0.5 33.3 -37.8
pair SLmean MACD neg-pos 39 16.8 18.0 59.0 0.7 1.1 0.5 33.3 -37.8
pair SLmean RSmean pos-pos 127 54.7 16.5 55.1 0.7 1.3 0.5 28.5 -35.5
pair RSmean SLmean pos-pos 127 54.7 16.5 55.1 0.7 1.3 0.5 28.5 -35.5
pair MACD MACDhist pos-neg 40 17.2 16.3 55.0 0.6 1.1 0.6 33.2 -27.1
pair MACDhist MACD pos-neg 40 17.2 16.3 55.0 0.6 1.1 0.6 33.2 -27.1
pair RSI MACD neg-pos 41 17.7 15.0 63.4 0.6 0.7 0.3 35.7 -55.6
pair MACD RSI neg-pos 41 17.7 15.0 63.4 0.6 0.7 0.3 35.7 -55.6
pair MRmean RSmean pos-pos 129 55.6 14.8 55.8 0.6 1.2 0.5 28.4 -31.3
pair RSmean MRmean pos-pos 129 55.6 14.8 55.8 0.6 1.2 0.5 28.4 -31.3
pair LWTI RSI neg-neg 64 27.6 14.3 53.1 0.5 1.1 0.2 38.8 -60.9
pair RSI LWTI neg-neg 64 27.6 14.3 53.1 0.5 1.1 0.2 38.8 -60.9
pair MACD LWTI neg-neg 61 26.3 14.2 52.5 0.5 1.1 0.2 39.1 -60.9
pair LWTI MACD neg-neg 61 26.3 14.2 52.5 0.5 1.1 0.2 39.1 -60.9
single SLmean SLmean pos-pos 130 56.0 13.4 53.8 0.6 1.1 0.3 28.8 -42.0
pair RSIhist RSI pos-pos 79 34.1 13.3 54.4 0.6 1.2 0.6 26.1 -23.3
pair RSI RSIhist pos-pos 79 34.1 13.3 54.4 0.6 1.2 0.6 26.1 -23.3
pair MACDhist RSI pos-neg 50 21.6 13.1 58.0 0.5 0.7 0.2 34.3 -64.9
pair RSI MACDhist pos-neg 50 21.6 13.1 58.0 0.5 0.7 0.2 34.3 -64.9
pair MACDhist MRmean pos-pos 99 42.7 12.1 54.5 0.6 1.1 0.2 28.0 -48.1
pair MRmean MACDhist pos-pos 99 42.7 12.1 54.5 0.6 1.1 0.2 28.0 -48.1
single MRmean MRmean pos-pos 132 56.9 11.9 54.5 0.5 1.0 0.3 28.6 -44.2
pair MACDhist MRmean pos-neg 33 14.2 11.0 54.5 0.5 0.9 0.4 31.0 -28.4
pair MRmean MACDhist pos-neg 33 14.2 11.0 54.5 0.5 0.9 0.4 31.0 -28.4
pair MACDhist SLmean pos-pos 85 36.6 10.9 54.1 0.5 1.0 0.2 28.4 -48.2
pair SLmean MACDhist pos-pos 85 36.6 10.9 54.1 0.5 1.0 0.2 28.4 -48.2
single LWTI LWTI neg-neg 72 31.0 10.8 51.4 0.5 0.9 0.2 37.2 -60.9
pair MACD RSIhist pos-pos 59 25.4 10.8 52.5 0.5 1.1 0.5 24.9 -22.4
pair RSIhist MACD pos-pos 59 25.4 10.8 52.5 0.5 1.1 0.5 24.9 -22.4
pair MACDhist RSmean pos-pos 106 45.7 10.0 53.8 0.5 0.9 0.2 28.2 -48.8
pair RSmean MACDhist pos-pos 106 45.7 10.0 53.8 0.5 0.9 0.2 28.2 -48.8
pair SLmean MRmean pos-pos 115 49.6 9.7 53.9 0.5 0.9 0.2 28.7 -50.1
pair MACDhist LWTI neg-neg 64 27.6 9.7 53.1 0.4 0.8 0.2 36.3 -54.9
pair MRmean SLmean pos-pos 115 49.6 9.7 53.9 0.5 0.9 0.2 28.7 -50.1
pair LWTI RSI pos-pos 134 57.8 9.7 55.2 0.5 0.7 0.1 29.7 -63.6
pair LWTI MACDhist neg-neg 64 27.6 9.7 53.1 0.4 0.8 0.2 36.3 -54.9
pair RSI LWTI pos-pos 134 57.8 9.7 55.2 0.5 0.7 0.1 29.7 -63.6
single MACDhist MACDhist pos-pos 107 46.1 9.4 53.3 0.5 0.9 0.2 28.1 -50.7
single MACD MACD neg-neg 116 50.0 9.4 58.6 0.4 0.6 0.1 38.5 -76.3
pair MACD RSmean pos-pos 111 47.8 8.8 52.3 0.4 0.8 0.2 28.4 -42.8
pair RSmean MACD pos-pos 111 47.8 8.8 52.3 0.4 0.8 0.2 28.4 -42.8
pair LWTI RSmean pos-neg 71 30.6 8.7 50.7 0.4 0.8 0.1 37.2 -65.3
pair RSmean LWTI pos-neg 71 30.6 8.7 50.7 0.4 0.8 0.1 37.2 -65.3
pair LWTI MACDhist pos-pos 99 42.7 8.6 54.5 0.4 0.8 0.2 26.5 -48.1
pair MACDhist LWTI pos-pos 99 42.7 8.6 54.5 0.4 0.8 0.2 26.5 -48.1
pair LWTI SLmean pos-pos 102 44.0 8.3 52.9 0.4 0.8 0.2 27.3 -42.0
pair SLmean LWTI pos-pos 102 44.0 8.3 52.9 0.4 0.8 0.2 27.3 -42.0
single RSI RSI pos-pos 142 61.2 8.2 54.2 0.4 0.6 0.1 29.3 -64.8
pair MRmean LWTI pos-pos 112 48.3 7.8 52.7 0.4 0.8 0.2 27.4 -44.2
pair LWTI MRmean pos-pos 112 48.3 7.8 52.7 0.4 0.8 0.2 27.4 -44.2
pair MACD RSI pos-neg 15 6.5 7.7 53.3 0.4 0.6 0.3 40.8 -22.7
pair RSI MACD pos-neg 15 6.5 7.7 53.3 0.4 0.6 0.3 40.8 -22.7
pair benchmark___benchmark_ benchmark-benchmark 232 100.0 7.6 54.7 0.4 0.6 0.1 33.8 -79.5
pair benchmark___benchmark_ benchmark-benchmark 232 100.0 7.6 54.7 0.4 0.6 0.1 33.8 -79.5
pair MACD LWTI pos-pos 105 45.3 7.2 51.4 0.4 0.7 0.2 28.9 -41.8
pair LWTI MACD pos-pos 105 45.3 7.2 51.4 0.4 0.7 0.2 28.9 -41.8
pair RSmean RSI pos-neg 86 37.1 7.0 55.8 0.4 0.6 0.1 40.4 -63.9
pair RSI RSmean pos-neg 86 37.1 7.0 55.8 0.4 0.6 0.1 40.4 -63.9
single RSI RSI neg-neg 90 38.8 6.7 55.6 0.4 0.6 0.1 40.1 -60.8
pair MACD RSI neg-neg 75 32.3 6.4 56.0 0.4 0.6 0.1 40.2 -59.3
pair RSI MACD neg-neg 75 32.3 6.4 56.0 0.4 0.6 0.1 40.2 -59.3
single LWTI LWTI pos-pos 160 69.0 6.2 56.2 0.4 0.5 0.1 32.3 -75.1
single MACDhist MACDhist neg-neg 125 53.9 6.1 56.0 0.3 0.5 0.1 38.1 -78.1
single MACD MACD pos-pos 116 50.0 5.8 50.9 0.3 0.6 0.1 28.5 -45.0
pair MACDhist RSI pos-pos 92 39.7 5.7 52.2 0.3 0.6 0.1 26.4 -48.1
pair RSI MACDhist pos-pos 92 39.7 5.7 52.2 0.3 0.6 0.1 26.4 -48.1
single RSmean RSmean pos-pos 213 91.8 5.6 53.5 0.3 0.5 0.1 34.2 -81.1
pair MACD RSI pos-pos 101 43.5 5.6 50.5 0.3 0.6 0.2 26.4 -33.4
pair RSI MACD pos-pos 101 43.5 5.6 50.5 0.3 0.6 0.2 26.4 -33.4
pair RSI RSmean pos-pos 127 54.7 4.7 52.0 0.3 0.5 0.1 29.4 -64.8
pair RSmean RSI pos-pos 127 54.7 4.7 52.0 0.3 0.5 0.1 29.4 -64.8
pair LWTI MACD neg-pos 55 23.7 4.3 65.5 0.3 0.4 0.1 38.2 -74.3
pair MRmean MACDhist neg-neg 92 39.7 4.3 56.5 0.3 0.4 0.1 40.5 -74.6
pair MACDhist MRmean neg-neg 92 39.7 4.3 56.5 0.3 0.4 0.1 40.5 -74.6
pair MACD LWTI neg-pos 55 23.7 4.3 65.5 0.3 0.4 0.1 38.2 -74.3
pair LWTI RSmean pos-pos 142 61.2 4.2 54.9 0.3 0.4 0.1 32.7 -75.1
pair RSmean LWTI pos-pos 142 61.2 4.2 54.9 0.3 0.4 0.1 32.7 -75.1
pair SLmean MACDhist neg-pos 22 9.5 4.0 50.0 0.3 0.6 0.1 27.9 -33.7
pair MACDhist SLmean neg-pos 22 9.5 4.0 50.0 0.3 0.6 0.1 27.9 -33.7
pair MRmean RSI pos-pos 113 48.7 3.7 50.4 0.3 0.5 0.1 27.3 -44.2
pair RSI MRmean pos-pos 113 48.7 3.7 50.4 0.3 0.5 0.1 27.3 -44.2
pair RSI SLmean pos-pos 103 44.4 3.4 49.5 0.3 0.5 0.1 27.1 -42.0
pair SLmean RSI pos-pos 103 44.4 3.4 49.5 0.3 0.5 0.1 27.1 -42.0
pair LWTI MRmean neg-pos 48 20.7 2.6 64.6 0.3 0.3 0.0 41.8 -72.2
pair MRmean LWTI neg-pos 48 20.7 2.6 64.6 0.3 0.3 0.0 41.8 -72.2
pair LWTI SLmean neg-pos 58 25.0 2.6 62.1 0.3 0.3 0.0 39.8 -76.0
pair SLmean LWTI neg-pos 58 25.0 2.6 62.1 0.3 0.3 0.0 39.8 -76.0
pair MACDhist LWTI neg-pos 61 26.3 2.4 59.0 0.3 0.3 0.0 40.2 -78.1
pair LWTI MACDhist neg-pos 61 26.3 2.4 59.0 0.3 0.3 0.0 40.2 -78.1
pair MACD RSmean pos-neg 102 44.0 2.3 54.9 0.3 0.4 0.0 39.7 -76.3
pair RSmean MACD pos-neg 102 44.0 2.3 54.9 0.3 0.4 0.0 39.7 -76.3
single MRmean MRmean neg-neg 100 43.1 2.2 55.0 0.3 0.4 0.0 39.8 -79.9
pair RSIhist RSI pos-neg 63 27.2 2.2 54.0 0.2 0.3 0.0 33.1 -68.8
pair RSI RSIhist pos-neg 63 27.2 2.2 54.0 0.2 0.3 0.0 33.1 -68.8
pair MRmean LWTI neg-neg 52 22.4 1.9 46.2 0.2 0.4 0.0 38.2 -57.2
pair LWTI MRmean neg-neg 52 22.4 1.9 46.2 0.2 0.4 0.0 38.2 -57.2
pair MACDhist RSI neg-neg 75 32.3 1.6 54.7 0.2 0.4 0.0 40.7 -53.4
pair RSI MACDhist neg-neg 75 32.3 1.6 54.7 0.2 0.4 0.0 40.7 -53.4
pair MACD MACDhist neg-neg 85 36.6 1.6 56.5 0.2 0.3 0.0 40.4 -76.3
pair MACDhist MACD neg-neg 85 36.6 1.6 56.5 0.2 0.3 0.0 40.4 -76.3
pair RSmean MACDhist pos-neg 107 46.1 1.5 53.3 0.2 0.3 0.0 39.4 -78.7
pair MACDhist RSmean pos-neg 107 46.1 1.5 53.3 0.2 0.3 0.0 39.4 -78.7
pair MRmean MACD pos-pos 84 36.2 1.1 48.8 0.2 0.3 0.0 25.8 -44.2
pair MACD MRmean pos-pos 84 36.2 1.1 48.8 0.2 0.3 0.0 25.8 -44.2
pair RSIhist MACD pos-neg 57 24.6 0.9 49.1 0.2 0.3 0.0 31.9 -48.7
pair MACD RSIhist pos-neg 57 24.6 0.9 49.1 0.2 0.3 0.0 31.9 -48.7
single SLmean SLmean neg-neg 102 44.0 0.7 55.9 0.2 0.3 0.0 39.4 -84.2
pair MACDhist MACD pos-pos 76 32.8 0.7 48.7 0.1 0.3 0.0 25.7 -48.1
pair MACD MACDhist pos-pos 76 32.8 0.7 48.7 0.1 0.3 0.0 25.7 -48.1
pair SLmean MACD pos-pos 77 33.2 0.2 46.8 0.1 0.2 0.0 25.7 -42.0
pair MACD SLmean pos-pos 77 33.2 0.2 46.8 0.1 0.2 0.0 25.7 -42.0
pair RSI RSmean neg-neg 4 1.7 0.1 50.0 0.1 0.3 0.0 38.1 -15.8
pair RSmean RSI neg-neg 4 1.7 0.1 50.0 0.1 0.3 0.0 38.1 -15.8
pair SLmean MACDhist neg-neg 80 34.5 -0.2 57.5 0.2 0.3 -0.0 42.2 -80.3
pair MACDhist SLmean neg-neg 80 34.5 -0.2 57.5 0.2 0.3 -0.0 42.2 -80.3
pair RSIhist MRmean neg-neg 91 39.2 -1.3 54.9 0.2 0.2 -0.0 40.1 -83.2
pair MRmean RSIhist neg-neg 91 39.2 -1.3 54.9 0.2 0.2 -0.0 40.1 -83.2
pair MACDhist RSIhist neg-neg 99 42.7 -1.6 53.5 0.2 0.2 -0.0 39.4 -86.3
pair RSIhist MACDhist neg-neg 99 42.7 -1.6 53.5 0.2 0.2 -0.0 39.4 -86.3
pair LWTI SLmean neg-neg 44 19.0 -1.8 47.7 0.1 0.3 -0.0 39.4 -52.4
pair SLmean LWTI neg-neg 44 19.0 -1.8 47.7 0.1 0.3 -0.0 39.4 -52.4
pair RSIhist SLmean neg-neg 98 42.2 -3.1 55.1 0.1 0.2 -0.0 38.8 -86.2
pair SLmean RSIhist neg-neg 98 42.2 -3.1 55.1 0.1 0.2 -0.0 38.8 -86.2
pair LWTI RSIhist neg-neg 46 19.8 -3.9 45.7 0.1 0.1 -0.1 37.5 -61.5
pair RSIhist LWTI neg-neg 46 19.8 -3.9 45.7 0.1 0.1 -0.1 37.5 -61.5
pair SLmean MRmean neg-neg 85 36.6 -4.0 55.3 0.1 0.2 -0.1 41.2 -82.7
pair MRmean SLmean neg-neg 85 36.6 -4.0 55.3 0.1 0.2 -0.1 41.2 -82.7
pair MACD MRmean neg-neg 68 29.3 -5.0 54.4 0.1 0.1 -0.1 42.1 -74.3
pair MRmean MACD neg-neg 68 29.3 -5.0 54.4 0.1 0.1 -0.1 42.1 -74.3
single RSIhist RSIhist neg-neg 126 54.3 -5.6 50.8 0.0 0.1 -0.1 37.4 -89.2
pair MACD LWTI pos-neg 11 4.7 -6.5 45.5 -0.2 -0.2 -0.3 24.3 -20.3
pair LWTI MACD pos-neg 11 4.7 -6.5 45.5 -0.2 -0.2 -0.3 24.3 -20.3
pair RSI MRmean neg-neg 71 30.6 -6.6 49.3 0.0 0.1 -0.1 41.1 -62.1
pair MRmean RSI neg-neg 71 30.6 -6.6 49.3 0.0 0.1 -0.1 41.1 -62.1
pair RSIhist LWTI neg-pos 80 34.5 -6.6 53.8 0.0 0.0 -0.1 37.5 -84.8
pair LWTI RSIhist neg-pos 80 34.5 -6.6 53.8 0.0 0.0 -0.1 37.5 -84.8
pair MRmean RSmean neg-pos 84 36.2 -7.0 50.0 0.0 0.1 -0.1 41.6 -69.4
pair RSmean MRmean neg-pos 84 36.2 -7.0 50.0 0.0 0.1 -0.1 41.6 -69.4
pair SLmean RSmean neg-pos 86 37.1 -8.5 51.2 -0.0 -0.0 -0.1 41.1 -85.5
pair RSmean SLmean neg-pos 86 37.1 -8.5 51.2 -0.0 -0.0 -0.1 41.1 -85.5
pair MACD SLmean neg-neg 63 27.2 -8.8 54.0 0.0 0.0 -0.1 42.9 -81.2
pair SLmean MACD neg-neg 63 27.2 -8.8 54.0 0.0 0.0 -0.1 42.9 -81.2
pair LWTI RSI neg-pos 26 11.2 -10.1 61.5 -0.0 -0.0 -0.2 43.7 -47.0
pair RSI LWTI neg-pos 26 11.2 -10.1 61.5 -0.0 -0.0 -0.2 43.7 -47.0
pair SLmean RSI neg-neg 63 27.2 -10.6 49.2 -0.1 -0.1 -0.2 42.2 -67.4
pair RSI SLmean neg-neg 63 27.2 -10.6 49.2 -0.1 -0.1 -0.2 42.2 -67.4
pair MACD RSIhist neg-neg 69 29.7 -10.6 52.2 -0.1 -0.1 -0.1 41.5 -83.7
pair RSIhist MACD neg-neg 69 29.7 -10.6 52.2 -0.1 -0.1 -0.1 41.5 -83.7
pair RSmean RSIhist pos-neg 109 47.0 -12.8 46.8 -0.1 -0.2 -0.1 38.5 -88.7
pair RSIhist RSmean pos-neg 109 47.0 -12.8 46.8 -0.1 -0.2 -0.1 38.5 -88.7
pair RSI RSIhist neg-neg 63 27.2 -12.8 47.6 -0.1 -0.2 -0.2 41.4 -69.1
pair RSIhist RSI neg-neg 63 27.2 -12.8 47.6 -0.1 -0.2 -0.2 41.4 -69.1
pair RSIhist SLmean pos-neg 28 12.1 -13.9 35.7 -0.3 -0.6 -0.3 32.2 -43.2
pair SLmean RSIhist pos-neg 28 12.1 -13.9 35.7 -0.3 -0.6 -0.3 32.2 -43.2
pair LWTI RSI pos-neg 8 3.4 -14.0 37.5 -0.7 -0.9 -0.8 20.2 -18.5
pair RSI LWTI pos-neg 8 3.4 -14.0 37.5 -0.7 -0.9 -0.8 20.2 -18.5
pair RSIhist MRmean pos-neg 35 15.1 -15.8 40.0 -0.5 -0.8 -0.3 29.0 -53.0
pair MRmean RSIhist pos-neg 35 15.1 -15.8 40.0 -0.5 -0.8 -0.3 29.0 -53.0
pair MACDhist RSIhist pos-neg 27 11.6 -18.8 40.7 -0.6 -0.9 -0.4 28.8 -45.7
pair RSIhist MACDhist pos-neg 27 11.6 -18.8 40.7 -0.6 -0.9 -0.4 28.8 -45.7
pair MRmean MACDhist neg-pos 8 3.4 -19.0 37.5 -0.5 -1.0 -0.6 30.8 -29.6
pair MACDhist MRmean neg-pos 8 3.4 -19.0 37.5 -0.5 -1.0 -0.6 30.8 -29.6
pair RSmean MACDhist neg-pos 1 0.4 -36.9 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 -36.9 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACD neg-pos 5 2.2 -42.4 20.0 -1.9 -2.6 -2.4 26.2 -17.4
pair MACD RSmean neg-pos 5 2.2 -42.4 20.0 -1.9 -2.6 -2.4 26.2 -17.4
pair MRmean RSmean pos-neg 3 1.3 -63.4 0.0 -4.3 -4.3 -3.3 21.9 -19.4
pair RSmean MRmean pos-neg 3 1.3 -63.4 0.0 -4.3 -4.3 -3.3 21.9 -19.4
pair SLmean RSmean pos-neg 3 1.3 -63.4 0.0 -4.3 -4.3 -3.3 21.9 -19.4
pair RSmean SLmean pos-neg 3 1.3 -63.4 0.0 -4.3 -4.3 -3.3 21.9 -19.4
pair RSmean RSIhist neg-pos 2 0.9 -69.8 0.0 -3.9 -3.9 -4.6 28.4 -15.1
pair RSIhist RSmean neg-pos 2 0.9 -69.8 0.0 -3.9 -3.9 -4.6 28.4 -15.1

All Contingency Tables for SLX

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.7% | Win 54%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 29% | MDD -50.1%
Months 115M (50%)
CAGR 27.8% | Win 59%
Sharpe 0.98 | Sortino 2.58 | Calmar 1.6
Vol 29% | MDD -16.8%
Months 17M (7%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR 46.3% | Win 53%
Sharpe 1.44 | Sortino 6.25 | Calmar 5.2
Vol 30% | MDD -8.8%
Months 15M (6%)
CAGR -4.0% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 41% | MDD -82.7%
Months 85M (37%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
SLmean
only
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 14.8% | Win 56%
Sharpe 0.63 | Sortino 1.24 | Calmar 0.5
Vol 28% | MDD -31.3%
Months 129M (56%)
CAGR -63.4% | Win 0%
Sharpe -4.33 | Sortino -4.33 | Calmar -3.3
Vol 22% | MDD -19.4%
Months 3M (1%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR -7.0% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 42% | MDD -69.4%
Months 84M (36%)
CAGR 68.4% | Win 81%
Sharpe 2.19 | Sortino 2.70 | Calmar 4.3
Vol 26% | MDD -15.8%
Months 16M (7%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
RSmean
only
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.1% | Win 49%
Sharpe 0.17 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -44.2%
Months 84M (36%)
CAGR 33.6% | Win 65%
Sharpe 1.05 | Sortino 2.08 | Calmar 1.2
Vol 33% | MDD -28.4%
Months 48M (21%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR 19.5% | Win 56%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.6
Vol 35% | MDD -34.0%
Months 32M (14%)
CAGR -5.0% | Win 54%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.1
Vol 42% | MDD -74.3%
Months 68M (29%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
MACD
only
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -44.2%
Months 113M (49%)
CAGR 75.1% | Win 79%
Sharpe 1.87 | Sortino 2.96 | Calmar 4.7
Vol 33% | MDD -15.9%
Months 19M (8%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR 27.6% | Win 69%
Sharpe 0.88 | Sortino 0.83 | Calmar 0.6
Vol 36% | MDD -47.0%
Months 29M (12%)
CAGR -6.6% | Win 49%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 41% | MDD -62.1%
Months 71M (31%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
RSI
only
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 55%
Sharpe 0.55 | Sortino 1.07 | Calmar 0.3
Vol 28% | MDD -48.1%
Months 99M (43%)
CAGR 11.0% | Win 55%
Sharpe 0.49 | Sortino 0.95 | Calmar 0.4
Vol 31% | MDD -28.4%
Months 33M (14%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR -19.0% | Win 38%
Sharpe -0.54 | Sortino -1.00 | Calmar -0.6
Vol 31% | MDD -29.6%
Months 8M (3%)
CAGR 4.3% | Win 56%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 40% | MDD -74.6%
Months 92M (40%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
MACDhist
only
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 23.9% | Win 60%
Sharpe 0.91 | Sortino 1.88 | Calmar 1.1
Vol 28% | MDD -22.4%
Months 97M (42%)
CAGR -15.8% | Win 40%
Sharpe -0.45 | Sortino -0.78 | Calmar -0.3
Vol 29% | MDD -53.0%
Months 35M (15%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR 46.6% | Win 56%
Sharpe 1.20 | Sortino 5.75 | Calmar 6.3
Vol 37% | MDD -7.4%
Months 9M (4%)
CAGR -1.3% | Win 55%
Sharpe 0.18 | Sortino 0.25 | Calmar -0.0
Vol 40% | MDD -83.2%
Months 91M (39%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 53%
Sharpe 0.41 | Sortino 0.78 | Calmar 0.2
Vol 27% | MDD -44.2%
Months 112M (48%)
CAGR 37.6% | Win 65%
Sharpe 1.09 | Sortino 2.21 | Calmar 2.4
Vol 35% | MDD -15.9%
Months 20M (9%)
CAGR 11.9% | Win 55%
Sharpe 0.53 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -44.2%
Months 132M (57%)
MRmean
neg
CAGR 2.6% | Win 65%
Sharpe 0.29 | Sortino 0.33 | Calmar 0.0
Vol 42% | MDD -72.2%
Months 48M (21%)
CAGR 1.9% | Win 46%
Sharpe 0.23 | Sortino 0.44 | Calmar 0.0
Vol 38% | MDD -57.2%
Months 52M (22%)
CAGR 2.2% | Win 55%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.0
Vol 40% | MDD -79.9%
Months 100M (43%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 16.5% | Win 55%
Sharpe 0.68 | Sortino 1.33 | Calmar 0.5
Vol 28% | MDD -35.5%
Months 127M (55%)
CAGR -63.4% | Win 0%
Sharpe -4.33 | Sortino -4.33 | Calmar -3.3
Vol 22% | MDD -19.4%
Months 3M (1%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR -8.5% | Win 51%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 41% | MDD -85.5%
Months 86M (37%)
CAGR 68.4% | Win 81%
Sharpe 2.19 | Sortino 2.70 | Calmar 4.3
Vol 26% | MDD -15.8%
Months 16M (7%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
RSmean
only
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 0.2% | Win 47%
Sharpe 0.13 | Sortino 0.24 | Calmar 0.0
Vol 26% | MDD -42.0%
Months 77M (33%)
CAGR 35.8% | Win 64%
Sharpe 1.12 | Sortino 2.21 | Calmar 2.0
Vol 32% | MDD -17.5%
Months 53M (23%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR 18.0% | Win 59%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.5
Vol 33% | MDD -37.8%
Months 39M (17%)
CAGR -8.8% | Win 54%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 43% | MDD -81.2%
Months 63M (27%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
MACD
only
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 50%
Sharpe 0.26 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -42.0%
Months 103M (44%)
CAGR 61.1% | Win 70%
Sharpe 1.63 | Sortino 3.30 | Calmar 3.8
Vol 33% | MDD -15.9%
Months 27M (12%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR 22.0% | Win 67%
Sharpe 0.77 | Sortino 0.86 | Calmar 0.4
Vol 34% | MDD -53.4%
Months 39M (17%)
CAGR -10.6% | Win 49%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.2
Vol 42% | MDD -67.4%
Months 63M (27%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
RSI
only
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 54%
Sharpe 0.50 | Sortino 0.96 | Calmar 0.2
Vol 28% | MDD -48.2%
Months 85M (37%)
CAGR 18.2% | Win 53%
Sharpe 0.71 | Sortino 1.42 | Calmar 0.8
Vol 30% | MDD -23.1%
Months 45M (19%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR 4.0% | Win 50%
Sharpe 0.27 | Sortino 0.58 | Calmar 0.1
Vol 28% | MDD -33.7%
Months 22M (10%)
CAGR -0.2% | Win 57%
Sharpe 0.22 | Sortino 0.31 | Calmar -0.0
Vol 42% | MDD -80.3%
Months 80M (34%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
MACDhist
only
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 22.3% | Win 59%
Sharpe 0.87 | Sortino 1.80 | Calmar 1.0
Vol 28% | MDD -22.4%
Months 102M (44%)
CAGR -13.9% | Win 36%
Sharpe -0.31 | Sortino -0.55 | Calmar -0.3
Vol 32% | MDD -43.2%
Months 28M (12%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR 153.9% | Win 75%
Sharpe 2.07 | Sortino 0.00 | Calmar 0.0
Vol 51% | MDD 0.0%
Months 4M (2%)
CAGR -3.1% | Win 55%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 39% | MDD -86.2%
Months 98M (42%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.3% | Win 53%
Sharpe 0.43 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -42.0%
Months 102M (44%)
CAGR 33.9% | Win 57%
Sharpe 1.03 | Sortino 2.26 | Calmar 1.6
Vol 34% | MDD -20.8%
Months 28M (12%)
CAGR 13.4% | Win 54%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -42.0%
Months 130M (56%)
SLmean
neg
CAGR 2.6% | Win 62%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.0
Vol 40% | MDD -76.0%
Months 58M (25%)
CAGR -1.8% | Win 48%
Sharpe 0.14 | Sortino 0.28 | Calmar -0.0
Vol 39% | MDD -52.4%
Months 44M (19%)
CAGR 0.7% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 39% | MDD -84.2%
Months 102M (44%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.8% | Win 52%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.2
Vol 28% | MDD -42.8%
Months 111M (48%)
CAGR 2.3% | Win 55%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.0
Vol 40% | MDD -76.3%
Months 102M (44%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
RSmean
neg
CAGR -42.4% | Win 20%
Sharpe -1.95 | Sortino -2.65 | Calmar -2.4
Vol 26% | MDD -17.4%
Months 5M (2%)
CAGR 78.1% | Win 86%
Sharpe 2.37 | Sortino 2.21 | Calmar 6.2
Vol 26% | MDD -12.5%
Months 14M (6%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
MACD
only
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.7% | Win 52%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 127M (55%)
CAGR 7.0% | Win 56%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 40% | MDD -63.9%
Months 86M (37%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
RSmean
neg
CAGR 42.6% | Win 73%
Sharpe 1.42 | Sortino 1.84 | Calmar 2.4
Vol 28% | MDD -17.4%
Months 15M (6%)
CAGR 0.1% | Win 50%
Sharpe 0.15 | Sortino 0.26 | Calmar 0.0
Vol 38% | MDD -15.8%
Months 4M (2%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
RSI
only
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.0% | Win 54%
Sharpe 0.48 | Sortino 0.93 | Calmar 0.2
Vol 28% | MDD -48.8%
Months 106M (46%)
CAGR 1.5% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 39% | MDD -78.7%
Months 107M (46%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
RSmean
neg
CAGR -36.9% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 37.9% | Win 72%
Sharpe 1.23 | Sortino 1.75 | Calmar 1.4
Vol 30% | MDD -27.8%
Months 18M (8%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
MACDhist
only
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 29.2% | Win 61%
Sharpe 1.05 | Sortino 2.41 | Calmar 1.3
Vol 28% | MDD -23.1%
Months 104M (45%)
CAGR -12.8% | Win 47%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.1
Vol 38% | MDD -88.7%
Months 109M (47%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
RSmean
neg
CAGR -69.8% | Win 0%
Sharpe -3.93 | Sortino -3.93 | Calmar -4.6
Vol 28% | MDD -15.1%
Months 2M (1%)
CAGR 57.5% | Win 76%
Sharpe 1.89 | Sortino 2.90 | Calmar 2.9
Vol 26% | MDD -20.0%
Months 17M (7%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 55%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 142M (61%)
CAGR 8.7% | Win 51%
Sharpe 0.40 | Sortino 0.78 | Calmar 0.1
Vol 37% | MDD -65.3%
Months 71M (31%)
CAGR 5.6% | Win 54%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 34% | MDD -81.1%
Months 213M (92%)
RSmean
neg
CAGR 24.0% | Win 67%
Sharpe 0.89 | Sortino 1.32 | Calmar 0.8
Vol 29% | MDD -30.5%
Months 18M (8%)
CAGR 325.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 32.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 1.1
Vol 30% | MDD -30.5%
Months 19M (8%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 50%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.2
Vol 26% | MDD -33.4%
Months 101M (44%)
CAGR 7.7% | Win 53%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.3
Vol 41% | MDD -22.7%
Months 15M (6%)
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
MACD
neg
CAGR 15.0% | Win 63%
Sharpe 0.58 | Sortino 0.70 | Calmar 0.3
Vol 36% | MDD -55.6%
Months 41M (18%)
CAGR 6.4% | Win 56%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.1
Vol 40% | MDD -59.3%
Months 75M (32%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
RSI
only
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 0.7% | Win 49%
Sharpe 0.15 | Sortino 0.28 | Calmar 0.0
Vol 26% | MDD -48.1%
Months 76M (33%)
CAGR 16.3% | Win 55%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.6
Vol 33% | MDD -27.1%
Months 40M (17%)
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
MACD
neg
CAGR 34.2% | Win 64%
Sharpe 1.05 | Sortino 2.35 | Calmar 1.3
Vol 33% | MDD -25.5%
Months 31M (13%)
CAGR 1.6% | Win 56%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.0
Vol 40% | MDD -76.3%
Months 85M (37%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
MACDhist
only
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.8% | Win 52%
Sharpe 0.54 | Sortino 1.08 | Calmar 0.5
Vol 25% | MDD -22.4%
Months 59M (25%)
CAGR 0.9% | Win 49%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.0
Vol 32% | MDD -48.7%
Months 57M (25%)
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
MACD
neg
CAGR 47.3% | Win 68%
Sharpe 1.36 | Sortino 3.00 | Calmar 3.0
Vol 32% | MDD -15.9%
Months 47M (20%)
CAGR -10.6% | Win 52%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 42% | MDD -83.7%
Months 69M (30%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 51%
Sharpe 0.39 | Sortino 0.69 | Calmar 0.2
Vol 29% | MDD -41.8%
Months 105M (45%)
CAGR -6.5% | Win 46%
Sharpe -0.17 | Sortino -0.25 | Calmar -0.3
Vol 24% | MDD -20.3%
Months 11M (5%)
CAGR 5.8% | Win 51%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 28% | MDD -45.0%
Months 116M (50%)
MACD
neg
CAGR 4.3% | Win 66%
Sharpe 0.32 | Sortino 0.36 | Calmar 0.1
Vol 38% | MDD -74.3%
Months 55M (24%)
CAGR 14.2% | Win 52%
Sharpe 0.53 | Sortino 1.05 | Calmar 0.2
Vol 39% | MDD -60.9%
Months 61M (26%)
CAGR 9.4% | Win 59%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 116M (50%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.7% | Win 52%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.1
Vol 26% | MDD -48.1%
Months 92M (40%)
CAGR 13.1% | Win 58%
Sharpe 0.54 | Sortino 0.69 | Calmar 0.2
Vol 34% | MDD -64.9%
Months 50M (22%)
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
RSI
neg
CAGR 35.7% | Win 60%
Sharpe 0.99 | Sortino 2.24 | Calmar 1.2
Vol 38% | MDD -29.2%
Months 15M (6%)
CAGR 1.6% | Win 55%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 41% | MDD -53.4%
Months 75M (32%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
MACDhist
only
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.3% | Win 54%
Sharpe 0.61 | Sortino 1.25 | Calmar 0.6
Vol 26% | MDD -23.3%
Months 79M (34%)
CAGR 2.2% | Win 54%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 33% | MDD -68.8%
Months 63M (27%)
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
RSI
neg
CAGR 70.4% | Win 74%
Sharpe 1.75 | Sortino 3.58 | Calmar 4.4
Vol 34% | MDD -15.9%
Months 27M (12%)
CAGR -12.8% | Win 48%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.2
Vol 41% | MDD -69.1%
Months 63M (27%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.7% | Win 55%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.2
Vol 30% | MDD -63.6%
Months 134M (58%)
CAGR -14.0% | Win 38%
Sharpe -0.65 | Sortino -0.95 | Calmar -0.8
Vol 20% | MDD -18.5%
Months 8M (3%)
CAGR 8.2% | Win 54%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.1
Vol 29% | MDD -64.8%
Months 142M (61%)
RSI
neg
CAGR -10.1% | Win 62%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.2
Vol 44% | MDD -47.0%
Months 26M (11%)
CAGR 14.3% | Win 53%
Sharpe 0.53 | Sortino 1.05 | Calmar 0.2
Vol 39% | MDD -60.9%
Months 64M (28%)
CAGR 6.7% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 40% | MDD -60.8%
Months 90M (39%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 21.0% | Win 57%
Sharpe 0.83 | Sortino 1.81 | Calmar 0.7
Vol 28% | MDD -31.8%
Months 80M (34%)
CAGR -18.8% | Win 41%
Sharpe -0.57 | Sortino -0.94 | Calmar -0.4
Vol 29% | MDD -45.7%
Months 27M (12%)
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
MACDhist
neg
CAGR 41.3% | Win 65%
Sharpe 1.23 | Sortino 2.50 | Calmar 2.7
Vol 32% | MDD -15.1%
Months 26M (11%)
CAGR -1.6% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 39% | MDD -86.3%
Months 99M (43%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
RSIhist
only
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.6% | Win 55%
Sharpe 0.44 | Sortino 0.83 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 99M (43%)
CAGR 19.9% | Win 38%
Sharpe 0.59 | Sortino 1.47 | Calmar 0.7
Vol 47% | MDD -27.0%
Months 8M (3%)
CAGR 9.4% | Win 53%
Sharpe 0.46 | Sortino 0.90 | Calmar 0.2
Vol 28% | MDD -50.7%
Months 107M (46%)
MACDhist
neg
CAGR 2.4% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.0
Vol 40% | MDD -78.1%
Months 61M (26%)
CAGR 9.7% | Win 53%
Sharpe 0.43 | Sortino 0.80 | Calmar 0.2
Vol 36% | MDD -54.9%
Months 64M (28%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 38% | MDD -78.1%
Months 125M (54%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 20.7% | Win 59%
Sharpe 0.86 | Sortino 1.76 | Calmar 0.9
Vol 26% | MDD -22.4%
Months 80M (34%)
CAGR 42.3% | Win 62%
Sharpe 1.15 | Sortino 2.74 | Calmar 1.9
Vol 36% | MDD -22.3%
Months 26M (11%)
CAGR 25.7% | Win 59%
Sharpe 0.94 | Sortino 2.05 | Calmar 1.1
Vol 29% | MDD -23.1%
Months 106M (46%)
RSIhist
neg
CAGR -6.6% | Win 54%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 38% | MDD -84.8%
Months 80M (34%)
CAGR -3.9% | Win 46%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -61.5%
Months 46M (20%)
CAGR -5.6% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -89.2%
Months 126M (54%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 32% | MDD -75.1%
Months 160M (69%)
CAGR 10.8% | Win 51%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.2
Vol 37% | MDD -60.9%
Months 72M (31%)