SMH - VanEck Semiconductor ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

99.9%

Best CAGR

90

Total Months

9.8%

Avg CAGR

SMH 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 SMH

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 5 1.6 99.9 80.0 4.1 0.0 0.0 17.7 0.0
pair RSmean MACDhist neg-pos 5 1.6 99.9 80.0 4.1 0.0 0.0 17.7 0.0
pair LWTI RSmean neg-neg 5 1.6 98.7 60.0 2.6 33.7 32.7 28.5 -3.0
pair RSmean LWTI neg-neg 5 1.6 98.7 60.0 2.6 33.7 32.7 28.5 -3.0
pair MACD RSmean neg-pos 7 2.2 78.3 85.7 3.2 0.0 16.5 18.8 -4.8
pair RSmean MACD neg-pos 7 2.2 78.3 85.7 3.2 0.0 16.5 18.8 -4.8
pair RSI MACD pos-neg 13 4.1 61.9 69.2 1.6 3.1 4.5 35.0 -13.7
pair MACD RSI pos-neg 13 4.1 61.9 69.2 1.6 3.1 4.5 35.0 -13.7
pair MACDhist RSI neg-pos 26 8.3 49.8 61.5 1.4 3.8 1.7 32.0 -29.1
pair RSI MACDhist neg-pos 26 8.3 49.8 61.5 1.4 3.8 1.7 32.0 -29.1
pair RSmean SLmean pos-neg 8 2.5 43.3 62.5 1.9 8.3 9.1 20.6 -4.8
pair SLmean RSmean pos-neg 8 2.5 43.3 62.5 1.9 8.3 9.1 20.6 -4.8
pair LWTI SLmean neg-neg 36 11.5 39.7 63.9 1.0 1.8 0.9 41.1 -44.5
pair SLmean LWTI neg-neg 36 11.5 39.7 63.9 1.0 1.8 0.9 41.1 -44.5
pair RSmean MRmean pos-neg 6 1.9 39.5 66.7 1.9 5.5 8.3 18.8 -4.8
pair MRmean RSmean pos-neg 6 1.9 39.5 66.7 1.9 5.5 8.3 18.8 -4.8
pair MACDhist LWTI pos-neg 13 4.1 38.3 53.8 1.2 3.9 2.9 32.2 -13.2
pair LWTI MACDhist pos-neg 13 4.1 38.3 53.8 1.2 3.9 2.9 32.2 -13.2
pair MACDhist MRmean neg-pos 13 4.1 37.9 53.8 1.1 3.3 2.9 33.6 -12.9
pair MRmean MACDhist neg-pos 13 4.1 37.9 53.8 1.1 3.3 2.9 33.6 -12.9
pair RSI MRmean pos-neg 21 6.7 32.0 61.9 1.0 2.5 1.2 34.9 -26.0
pair MRmean RSI pos-neg 21 6.7 32.0 61.9 1.0 2.5 1.2 34.9 -26.0
pair RSIhist RSmean neg-pos 12 3.8 30.3 58.3 0.8 1.3 1.3 41.6 -22.7
pair RSmean RSIhist neg-pos 12 3.8 30.3 58.3 0.8 1.3 1.3 41.6 -22.7
pair MACD SLmean neg-pos 47 15.0 28.7 63.8 1.0 1.7 1.1 30.0 -26.0
pair SLmean MACD neg-pos 47 15.0 28.7 63.8 1.0 1.7 1.1 30.0 -26.0
pair RSIhist MACDhist pos-neg 42 13.4 24.2 61.9 0.9 2.2 1.0 30.0 -24.3
pair MACDhist RSIhist pos-neg 42 13.4 24.2 61.9 0.9 2.2 1.0 30.0 -24.3
pair MRmean MACD neg-pos 37 11.8 23.6 62.2 0.8 1.5 1.0 31.5 -24.3
pair MACD MRmean neg-pos 37 11.8 23.6 62.2 0.8 1.5 1.0 31.5 -24.3
pair RSIhist MACD pos-pos 125 39.8 23.4 64.0 1.1 1.7 0.8 21.8 -29.0
pair MACD RSIhist pos-pos 125 39.8 23.4 64.0 1.1 1.7 0.8 21.8 -29.0
pair LWTI RSI neg-neg 58 18.5 23.3 58.6 0.7 1.2 0.5 39.1 -49.6
pair RSI LWTI neg-neg 58 18.5 23.3 58.6 0.7 1.2 0.5 39.1 -49.6
pair MACD LWTI pos-pos 191 60.8 23.0 63.4 1.0 1.7 0.7 24.4 -34.0
pair LWTI MACD pos-pos 191 60.8 23.0 63.4 1.0 1.7 0.7 24.4 -34.0
pair MACDhist MACD pos-pos 145 46.2 22.7 62.1 1.0 1.9 0.6 23.0 -41.4
pair MACD MACDhist pos-pos 145 46.2 22.7 62.1 1.0 1.9 0.6 23.0 -41.4
pair MACDhist SLmean neg-pos 27 8.6 22.7 55.6 0.8 2.1 0.9 29.3 -24.3
pair SLmean MACDhist neg-pos 27 8.6 22.7 55.6 0.8 2.1 0.9 29.3 -24.3
single MACD MACD pos-pos 204 65.0 22.6 63.2 0.9 1.6 0.6 25.2 -40.0
pair MACD MRmean pos-pos 167 53.2 22.4 63.5 1.0 1.7 0.8 23.7 -27.5
pair MRmean MACD pos-pos 167 53.2 22.4 63.5 1.0 1.7 0.8 23.7 -27.5
pair MACD MACDhist pos-neg 59 18.8 22.3 66.1 0.8 1.4 0.7 30.0 -31.4
pair MACDhist MACD pos-neg 59 18.8 22.3 66.1 0.8 1.4 0.7 30.0 -31.4
pair LWTI MRmean neg-neg 46 14.6 22.2 58.7 0.7 1.1 0.5 40.5 -44.5
pair MRmean LWTI neg-neg 46 14.6 22.2 58.7 0.7 1.1 0.5 40.5 -44.5
pair MACD RSIhist pos-neg 79 25.2 21.3 62.0 0.8 1.6 0.7 29.9 -32.8
pair RSIhist MACD pos-neg 79 25.2 21.3 62.0 0.8 1.6 0.7 29.9 -32.8
pair RSmean MACD pos-pos 197 62.7 21.0 62.4 0.9 1.5 0.5 25.3 -40.0
single MACDhist MACDhist pos-pos 187 59.6 21.0 59.9 0.9 1.8 0.4 24.5 -48.7
pair MACD RSmean pos-pos 197 62.7 21.0 62.4 0.9 1.5 0.5 25.3 -40.0
pair SLmean MACD pos-pos 157 50.0 20.8 63.1 0.9 1.6 0.7 23.6 -29.0
pair MACD SLmean pos-pos 157 50.0 20.8 63.1 0.9 1.6 0.7 23.6 -29.0
pair SLmean MACDhist pos-pos 160 51.0 20.7 60.6 0.9 1.7 0.5 23.7 -44.5
pair MACDhist SLmean pos-pos 160 51.0 20.7 60.6 0.9 1.7 0.5 23.7 -44.5
pair RSI MACD pos-pos 191 60.8 20.3 62.8 0.9 1.5 0.4 24.4 -46.2
pair MACD RSI pos-pos 191 60.8 20.3 62.8 0.9 1.5 0.4 24.4 -46.2
pair RSIhist MACDhist pos-pos 145 46.2 20.1 59.3 0.9 1.7 0.5 22.8 -44.1
pair MACDhist RSIhist pos-pos 145 46.2 20.1 59.3 0.9 1.7 0.5 22.8 -44.1
pair MRmean MACDhist pos-pos 174 55.4 19.9 60.3 0.9 1.7 0.4 23.8 -52.2
pair MACDhist MRmean pos-pos 174 55.4 19.9 60.3 0.9 1.7 0.4 23.8 -52.2
pair MACDhist LWTI pos-pos 174 55.4 19.8 60.3 0.9 1.6 0.4 23.9 -49.3
pair LWTI MACDhist pos-pos 174 55.4 19.8 60.3 0.9 1.6 0.4 23.9 -49.3
pair RSIhist LWTI neg-neg 30 9.6 19.5 66.7 0.6 1.1 0.4 40.8 -44.5
pair LWTI RSIhist neg-neg 30 9.6 19.5 66.7 0.6 1.1 0.4 40.8 -44.5
pair RSmean MACDhist pos-pos 182 58.0 19.4 59.3 0.8 1.6 0.3 24.6 -57.0
pair MACDhist RSmean pos-pos 182 58.0 19.4 59.3 0.8 1.6 0.3 24.6 -57.0
pair MACD LWTI neg-neg 54 17.2 19.4 57.4 0.7 1.1 0.4 38.2 -49.6
pair LWTI MACD neg-neg 54 17.2 19.4 57.4 0.7 1.1 0.4 38.2 -49.6
pair MRmean SLmean pos-pos 191 60.8 18.8 60.7 0.8 1.5 0.4 24.6 -50.3
pair SLmean MRmean pos-pos 191 60.8 18.8 60.7 0.8 1.5 0.4 24.6 -50.3
single LWTI LWTI neg-neg 67 21.3 18.8 58.2 0.7 1.1 0.4 37.6 -49.6
pair RSIhist LWTI pos-neg 37 11.8 18.3 51.4 0.7 1.2 0.7 35.3 -28.0
pair LWTI RSIhist pos-neg 37 11.8 18.3 51.4 0.7 1.2 0.7 35.3 -28.0
pair LWTI SLmean pos-pos 173 55.1 18.2 60.7 0.8 1.5 0.4 23.8 -47.7
pair LWTI MRmean pos-pos 186 59.2 18.2 60.8 0.8 1.4 0.4 24.2 -50.3
pair MRmean LWTI pos-pos 186 59.2 18.2 60.8 0.8 1.4 0.4 24.2 -50.3
pair SLmean LWTI pos-pos 173 55.1 18.2 60.7 0.8 1.5 0.4 23.8 -47.7
pair RSIhist MRmean pos-pos 163 51.9 18.1 60.1 0.8 1.4 0.4 23.7 -50.3
pair MRmean RSIhist pos-pos 163 51.9 18.1 60.1 0.8 1.4 0.4 23.7 -50.3
single MRmean MRmean pos-pos 207 65.9 17.6 60.4 0.8 1.4 0.3 24.9 -55.2
pair MRmean RSmean pos-pos 201 64.0 17.0 60.2 0.8 1.4 0.3 25.1 -54.2
pair RSmean MRmean pos-pos 201 64.0 17.0 60.2 0.8 1.4 0.3 25.1 -54.2
pair RSI MACDhist pos-pos 161 51.3 16.9 59.6 0.8 1.5 0.3 23.0 -57.3
pair MACDhist RSI pos-pos 161 51.3 16.9 59.6 0.8 1.5 0.3 23.0 -57.3
pair LWTI MACD pos-neg 13 4.1 16.5 61.5 0.6 1.5 0.9 36.1 -18.2
pair MACD LWTI pos-neg 13 4.1 16.5 61.5 0.6 1.5 0.9 36.1 -18.2
pair MRmean RSI pos-pos 186 59.2 16.0 60.2 0.8 1.3 0.3 23.6 -53.5
pair RSI MRmean pos-pos 186 59.2 16.0 60.2 0.8 1.3 0.3 23.6 -53.5
pair MRmean RSIhist pos-neg 44 14.0 15.6 61.4 0.6 1.3 0.8 29.3 -20.5
pair RSIhist MRmean pos-neg 44 14.0 15.6 61.4 0.6 1.3 0.8 29.3 -20.5
pair SLmean RSI pos-neg 29 9.2 15.4 55.2 0.6 1.0 0.4 34.7 -40.0
pair RSI SLmean pos-neg 29 9.2 15.4 55.2 0.6 1.0 0.4 34.7 -40.0
pair RSIhist SLmean pos-pos 170 54.1 15.3 58.8 0.7 1.1 0.3 24.5 -51.5
pair SLmean RSIhist pos-pos 170 54.1 15.3 58.8 0.7 1.1 0.3 24.5 -51.5
pair MACDhist MACD neg-pos 42 13.4 15.3 52.4 0.6 1.4 0.4 29.4 -38.9
pair MACD MACDhist neg-pos 42 13.4 15.3 52.4 0.6 1.4 0.4 29.4 -38.9
pair RSIhist RSI pos-pos 144 45.9 15.1 59.7 0.8 1.2 0.3 21.9 -54.9
pair RSI RSIhist pos-pos 144 45.9 15.1 59.7 0.8 1.2 0.3 21.9 -54.9
single SLmean SLmean pos-pos 204 65.0 15.0 59.3 0.7 1.1 0.3 25.3 -47.9
pair SLmean RSI pos-pos 175 55.7 14.9 60.0 0.7 1.2 0.3 23.5 -52.3
pair RSI SLmean pos-pos 175 55.7 14.9 60.0 0.7 1.2 0.3 23.5 -52.3
pair MACDhist LWTI neg-neg 54 17.2 14.6 59.3 0.5 0.9 0.3 38.9 -49.6
pair LWTI MACDhist neg-neg 54 17.2 14.6 59.3 0.5 0.9 0.3 38.9 -49.6
pair SLmean RSmean pos-pos 196 62.4 14.0 59.2 0.6 1.1 0.3 25.5 -50.5
pair LWTI RSmean pos-neg 62 19.7 14.0 58.1 0.5 0.9 0.3 38.1 -49.6
pair RSmean SLmean pos-pos 196 62.4 14.0 59.2 0.6 1.1 0.3 25.5 -50.5
pair RSmean LWTI pos-neg 62 19.7 14.0 58.1 0.5 0.9 0.3 38.1 -49.6
single RSIhist RSIhist pos-pos 186 59.2 13.8 57.5 0.6 0.9 0.2 28.0 -60.6
pair LWTI RSI pos-pos 202 64.3 13.7 59.9 0.6 1.0 0.2 25.1 -54.8
pair RSI LWTI pos-pos 202 64.3 13.7 59.9 0.6 1.0 0.2 25.1 -54.8
pair SLmean RSIhist pos-neg 34 10.8 13.2 61.8 0.6 1.3 0.5 29.4 -25.2
pair RSIhist SLmean pos-neg 34 10.8 13.2 61.8 0.6 1.3 0.5 29.4 -25.2
pair RSmean RSI pos-pos 203 64.6 13.2 59.1 0.6 1.1 0.2 24.3 -58.6
pair RSI RSmean pos-pos 203 64.6 13.2 59.1 0.6 1.1 0.2 24.3 -58.6
pair RSIhist RSmean pos-neg 115 36.6 13.0 61.7 0.5 1.0 0.3 32.5 -47.6
pair RSmean RSIhist pos-neg 115 36.6 13.0 61.7 0.5 1.0 0.3 32.5 -47.6
pair RSmean RSIhist pos-pos 174 55.4 12.8 57.5 0.6 0.8 0.2 27.0 -54.7
pair RSIhist RSmean pos-pos 174 55.4 12.8 57.5 0.6 0.8 0.2 27.0 -54.7
single RSmean RSmean pos-pos 289 92.0 12.8 59.2 0.6 0.9 0.2 29.2 -67.4
pair RSIhist LWTI pos-pos 149 47.5 12.7 59.1 0.6 0.8 0.2 26.0 -72.1
pair LWTI RSIhist pos-pos 149 47.5 12.7 59.1 0.6 0.8 0.2 26.0 -72.1
single RSI RSI pos-pos 211 67.2 12.7 59.7 0.6 0.9 0.2 25.1 -55.0
pair RSmean LWTI pos-pos 227 72.3 12.5 59.5 0.6 0.9 0.2 26.4 -70.4
pair LWTI RSmean pos-pos 227 72.3 12.5 59.5 0.6 0.9 0.2 26.4 -70.4
pair RSI RSmean pos-neg 86 27.4 12.0 59.3 0.5 0.8 0.2 38.6 -54.6
pair RSmean RSI pos-neg 86 27.4 12.0 59.3 0.5 0.8 0.2 38.6 -54.6
pair LWTI MRmean pos-neg 21 6.7 11.8 57.1 0.5 1.3 0.6 30.9 -20.6
pair MRmean LWTI pos-neg 21 6.7 11.8 57.1 0.5 1.3 0.6 30.9 -20.6
pair benchmark___benchmark_ benchmark-benchmark 314 100.0 10.6 58.9 0.5 0.7 0.1 31.4 -83.3
pair benchmark___benchmark_ benchmark-benchmark 314 100.0 10.6 58.9 0.5 0.7 0.1 31.4 -83.3
pair RSmean SLmean neg-pos 93 29.6 10.5 59.1 0.5 0.7 0.2 36.0 -50.9
pair SLmean RSmean neg-pos 93 29.6 10.5 59.1 0.5 0.7 0.2 36.0 -50.9
pair RSIhist RSI neg-pos 42 13.4 9.5 50.0 0.4 0.7 0.2 43.2 -56.9
pair RSI RSIhist neg-pos 42 13.4 9.5 50.0 0.4 0.7 0.2 43.2 -56.9
single LWTI LWTI pos-pos 247 78.7 8.4 59.1 0.4 0.6 0.1 29.5 -89.0
pair RSI RSIhist pos-neg 67 21.3 7.8 59.7 0.4 0.6 0.2 31.1 -42.2
pair RSIhist RSI pos-neg 67 21.3 7.8 59.7 0.4 0.6 0.2 31.1 -42.2
pair MACDhist MRmean pos-neg 33 10.5 6.2 60.6 0.3 0.7 0.2 30.3 -27.9
pair MRmean MACDhist pos-neg 33 10.5 6.2 60.6 0.3 0.7 0.2 30.3 -27.9
single RSI RSI neg-neg 103 32.8 6.2 57.3 0.4 0.5 0.1 41.5 -72.9
single RSIhist RSIhist neg-neg 128 40.8 6.0 60.9 0.3 0.5 0.1 35.8 -67.8
pair MRmean SLmean pos-neg 16 5.1 4.3 56.2 0.3 0.5 0.2 28.9 -20.5
pair SLmean MRmean pos-neg 16 5.1 4.3 56.2 0.3 0.5 0.2 28.9 -20.5
pair RSIhist RSI neg-neg 61 19.4 4.1 62.3 0.3 0.5 0.1 40.6 -55.3
pair RSI RSIhist neg-neg 61 19.4 4.1 62.3 0.3 0.5 0.1 40.6 -55.3
pair MRmean RSmean neg-pos 88 28.0 4.0 56.8 0.3 0.4 0.1 37.1 -48.5
pair RSmean MRmean neg-pos 88 28.0 4.0 56.8 0.3 0.4 0.1 37.1 -48.5
pair SLmean RSIhist neg-neg 94 29.9 3.5 60.6 0.3 0.4 0.1 38.0 -68.1
pair RSIhist SLmean neg-neg 94 29.9 3.5 60.6 0.3 0.4 0.1 38.0 -68.1
pair RSI SLmean neg-pos 36 11.5 2.8 58.3 0.2 0.3 0.1 32.2 -29.1
pair SLmean RSI neg-pos 36 11.5 2.8 58.3 0.2 0.3 0.1 32.2 -29.1
single SLmean SLmean neg-neg 110 35.0 2.8 58.2 0.3 0.4 0.0 40.5 -76.1
pair SLmean RSI neg-neg 74 23.6 2.8 58.1 0.3 0.4 0.0 44.1 -66.8
pair RSI SLmean neg-neg 74 23.6 2.8 58.1 0.3 0.4 0.0 44.1 -66.8
pair SLmean MRmean neg-neg 94 29.9 2.6 58.5 0.3 0.4 0.0 42.2 -76.1
pair MRmean SLmean neg-neg 94 29.9 2.6 58.5 0.3 0.4 0.0 42.2 -76.1
pair RSmean MACDhist pos-neg 107 34.1 2.6 58.9 0.2 0.4 0.0 35.8 -63.6
pair MACDhist RSmean pos-neg 107 34.1 2.6 58.9 0.2 0.4 0.0 35.8 -63.6
pair RSIhist LWTI neg-pos 98 31.2 2.2 59.2 0.2 0.3 0.0 34.3 -71.5
pair LWTI RSIhist neg-pos 98 31.2 2.2 59.2 0.2 0.3 0.0 34.3 -71.5
pair RSmean RSI neg-pos 8 2.5 1.4 75.0 0.2 0.2 0.3 44.0 -4.8
pair RSI RSmean neg-pos 8 2.5 1.4 75.0 0.2 0.2 0.3 44.0 -4.8
pair RSIhist MRmean neg-neg 84 26.8 1.3 60.7 0.2 0.3 0.0 39.0 -67.8
pair MRmean RSIhist neg-neg 84 26.8 1.3 60.7 0.2 0.3 0.0 39.0 -67.8
pair MRmean RSI neg-neg 82 26.1 0.5 56.1 0.2 0.3 0.0 43.1 -68.5
pair RSI MRmean neg-neg 82 26.1 0.5 56.1 0.2 0.3 0.0 43.1 -68.5
pair RSI MACDhist pos-neg 50 15.9 0.3 60.0 0.2 0.2 0.0 31.1 -38.7
pair MACDhist RSI pos-neg 50 15.9 0.3 60.0 0.2 0.2 0.0 31.1 -38.7
pair MACD RSI neg-neg 90 28.7 -0.0 55.6 0.2 0.3 -0.0 42.3 -72.9
pair RSI MACD neg-neg 90 28.7 -0.0 55.6 0.2 0.3 -0.0 42.3 -72.9
pair MACD MRmean pos-neg 40 12.7 -0.6 47.5 0.1 0.3 -0.0 29.3 -47.0
pair MRmean MACD pos-neg 40 12.7 -0.6 47.5 0.1 0.3 -0.0 29.3 -47.0
pair RSIhist SLmean neg-pos 16 5.1 -1.1 43.8 0.2 0.4 -0.0 54.0 -40.4
pair SLmean RSIhist neg-pos 16 5.1 -1.1 43.8 0.2 0.4 -0.0 54.0 -40.4
pair LWTI SLmean pos-neg 31 9.9 -1.5 51.6 0.1 0.2 -0.0 32.5 -40.0
pair SLmean LWTI pos-neg 31 9.9 -1.5 51.6 0.1 0.2 -0.0 32.5 -40.0
single MRmean MRmean neg-neg 107 34.1 -1.8 56.1 0.2 0.2 -0.0 41.2 -77.3
pair RSIhist MACDhist neg-neg 86 27.4 -1.9 60.5 0.1 0.2 -0.0 38.4 -67.8
pair MACDhist RSIhist neg-neg 86 27.4 -1.9 60.5 0.1 0.2 -0.0 38.4 -67.8
pair MACD SLmean pos-neg 47 15.0 -2.5 46.8 0.1 0.1 -0.1 30.0 -40.0
pair SLmean MACD pos-neg 47 15.0 -2.5 46.8 0.1 0.1 -0.1 30.0 -40.0
pair MACD RSmean pos-neg 92 29.3 -2.8 52.2 0.1 0.2 -0.1 36.1 -57.5
pair RSmean MACD pos-neg 92 29.3 -2.8 52.2 0.1 0.2 -0.1 36.1 -57.5
pair SLmean MACDhist neg-neg 83 26.4 -2.9 59.0 0.2 0.2 -0.0 43.6 -76.1
pair MACDhist SLmean neg-neg 83 26.4 -2.9 59.0 0.2 0.2 -0.0 43.6 -76.1
single MACDhist MACDhist neg-neg 127 40.4 -3.2 57.5 0.1 0.2 -0.0 39.3 -83.4
pair MACD RSIhist neg-pos 61 19.4 -3.6 44.3 0.1 0.1 -0.1 37.6 -56.9
pair RSIhist MACD neg-pos 61 19.4 -3.6 44.3 0.1 0.1 -0.1 37.6 -56.9
pair SLmean MACDhist pos-neg 44 14.0 -3.8 54.5 0.0 0.0 -0.1 30.1 -48.3
pair MACDhist SLmean pos-neg 44 14.0 -3.8 54.5 0.0 0.0 -0.1 30.1 -48.3
pair MACDhist RSI neg-neg 77 24.5 -5.4 55.8 0.1 0.1 -0.1 44.0 -76.9
pair RSI MACDhist neg-neg 77 24.5 -5.4 55.8 0.1 0.1 -0.1 44.0 -76.9
pair MACDhist RSIhist neg-pos 41 13.1 -5.9 51.2 0.1 0.1 -0.1 41.7 -65.7
pair RSIhist MACDhist neg-pos 41 13.1 -5.9 51.2 0.1 0.1 -0.1 41.7 -65.7
pair MACDhist MRmean neg-neg 94 29.9 -6.3 56.4 0.1 0.1 -0.1 42.2 -78.7
pair MRmean MACDhist neg-neg 94 29.9 -6.3 56.4 0.1 0.1 -0.1 42.2 -78.7
pair LWTI RSI pos-neg 9 2.9 -6.4 55.6 -0.1 -0.3 -0.4 26.1 -14.6
pair RSI LWTI pos-neg 9 2.9 -6.4 55.6 -0.1 -0.3 -0.4 26.1 -14.6
single MACD MACD neg-neg 110 35.0 -8.7 50.9 -0.0 -0.0 -0.1 40.2 -80.5
pair RSI MRmean neg-pos 25 8.0 -9.0 56.0 -0.1 -0.1 -0.2 34.9 -38.3
pair MRmean RSI neg-pos 25 8.0 -9.0 56.0 -0.1 -0.1 -0.2 34.9 -38.3
pair SLmean LWTI neg-pos 74 23.6 -11.4 55.4 -0.1 -0.1 -0.1 39.7 -83.4
pair LWTI SLmean neg-pos 74 23.6 -11.4 55.4 -0.1 -0.1 -0.1 39.7 -83.4
pair RSI LWTI neg-pos 45 14.3 -12.3 55.6 -0.1 -0.1 -0.2 44.4 -73.9
pair LWTI RSI neg-pos 45 14.3 -12.3 55.6 -0.1 -0.1 -0.2 44.4 -73.9
pair MRmean RSIhist neg-pos 23 7.3 -12.4 39.1 -0.0 -0.0 -0.2 49.4 -49.9
pair RSIhist MRmean neg-pos 23 7.3 -12.4 39.1 -0.0 -0.0 -0.2 49.4 -49.9
single RSmean RSmean neg-neg 25 8.0 -12.6 56.0 -0.0 -0.0 -0.2 50.8 -58.0
pair MACD SLmean neg-neg 63 20.1 -13.0 54.0 -0.1 -0.1 -0.2 46.6 -76.1
pair SLmean MACD neg-neg 63 20.1 -13.0 54.0 -0.1 -0.1 -0.2 46.6 -76.1
pair MRmean MACD neg-neg 70 22.3 -13.0 52.9 -0.1 -0.1 -0.2 45.5 -77.3
pair MACD MRmean neg-neg 70 22.3 -13.0 52.9 -0.1 -0.1 -0.2 45.5 -77.3
pair LWTI MACDhist neg-pos 73 23.2 -14.5 56.2 -0.2 -0.2 -0.2 39.5 -81.8
pair MACDhist LWTI neg-pos 73 23.2 -14.5 56.2 -0.2 -0.2 -0.2 39.5 -81.8
pair MACD RSIhist neg-neg 49 15.6 -14.7 59.2 -0.1 -0.2 -0.2 43.6 -67.8
pair RSIhist MACD neg-neg 49 15.6 -14.7 59.2 -0.1 -0.2 -0.2 43.6 -67.8
pair LWTI MRmean neg-pos 61 19.4 -16.7 54.1 -0.2 -0.3 -0.2 41.5 -81.5
pair MRmean LWTI neg-pos 61 19.4 -16.7 54.1 -0.2 -0.3 -0.2 41.5 -81.5
pair RSmean RSI neg-neg 17 5.4 -18.5 47.1 -0.1 -0.1 -0.5 54.9 -41.6
pair RSI RSmean neg-neg 17 5.4 -18.5 47.1 -0.1 -0.1 -0.5 54.9 -41.6
pair MACD MACDhist neg-neg 68 21.7 -21.0 50.0 -0.3 -0.4 -0.2 45.5 -83.4
pair MACDhist MACD neg-neg 68 21.7 -21.0 50.0 -0.3 -0.4 -0.2 45.5 -83.4
pair RSmean MRmean neg-neg 19 6.1 -24.6 52.6 -0.2 -0.3 -0.4 57.4 -58.0
pair MRmean RSmean neg-neg 19 6.1 -24.6 52.6 -0.2 -0.3 -0.4 57.4 -58.0
pair SLmean MRmean neg-pos 13 4.1 -28.5 38.5 -0.9 -1.1 -0.9 32.4 -30.6
pair MRmean SLmean neg-pos 13 4.1 -28.5 38.5 -0.9 -1.1 -0.9 32.4 -30.6
pair LWTI RSmean neg-pos 20 6.4 -28.8 55.0 -0.3 -0.5 -0.5 54.2 -61.4
pair RSmean LWTI neg-pos 20 6.4 -28.8 55.0 -0.3 -0.5 -0.5 54.2 -61.4
pair MACDhist RSmean neg-neg 20 6.4 -28.9 50.0 -0.3 -0.5 -0.5 55.2 -58.0
pair RSmean MACDhist neg-neg 20 6.4 -28.9 50.0 -0.3 -0.5 -0.5 55.2 -58.0
pair MACD LWTI neg-pos 56 17.8 -29.5 44.6 -0.6 -0.8 -0.3 41.1 -85.6
pair LWTI MACD neg-pos 56 17.8 -29.5 44.6 -0.6 -0.8 -0.3 41.1 -85.6
pair RSmean SLmean neg-neg 17 5.4 -30.8 52.9 -0.3 -0.5 -0.5 59.9 -58.0
pair SLmean RSmean neg-neg 17 5.4 -30.8 52.9 -0.3 -0.5 -0.5 59.9 -58.0
pair MACD RSmean neg-neg 18 5.7 -33.8 44.4 -0.4 -0.6 -0.6 57.8 -58.0
pair RSmean MACD neg-neg 18 5.7 -33.8 44.4 -0.4 -0.6 -0.6 57.8 -58.0
pair MACD RSI neg-pos 20 6.4 -39.3 30.0 -1.7 -1.9 -1.0 26.3 -39.6
pair RSI MACD neg-pos 20 6.4 -39.3 30.0 -1.7 -1.9 -1.0 26.3 -39.6
pair RSIhist RSmean neg-neg 13 4.1 -39.6 53.8 -0.6 -0.8 -0.7 58.1 -58.0
pair RSmean RSIhist neg-neg 13 4.1 -39.6 53.8 -0.6 -0.8 -0.7 58.1 -58.0

All Contingency Tables for SMH

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 18.8% | Win 61%
Sharpe 0.82 | Sortino 1.51 | Calmar 0.4
Vol 25% | MDD -50.3%
Months 191M (61%)
CAGR 4.3% | Win 56%
Sharpe 0.28 | Sortino 0.50 | Calmar 0.2
Vol 29% | MDD -20.5%
Months 16M (5%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR -28.5% | Win 38%
Sharpe -0.86 | Sortino -1.08 | Calmar -0.9
Vol 32% | MDD -30.6%
Months 13M (4%)
CAGR 2.6% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 42% | MDD -76.1%
Months 94M (30%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
SLmean
only
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 17.0% | Win 60%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.3
Vol 25% | MDD -54.2%
Months 201M (64%)
CAGR 39.5% | Win 67%
Sharpe 1.87 | Sortino 5.46 | Calmar 8.3
Vol 19% | MDD -4.8%
Months 6M (2%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR 4.0% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 37% | MDD -48.5%
Months 88M (28%)
CAGR -24.6% | Win 53%
Sharpe -0.19 | Sortino -0.29 | Calmar -0.4
Vol 57% | MDD -58.0%
Months 19M (6%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
RSmean
only
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 22.4% | Win 64%
Sharpe 0.97 | Sortino 1.68 | Calmar 0.8
Vol 24% | MDD -27.5%
Months 167M (53%)
CAGR -0.6% | Win 48%
Sharpe 0.12 | Sortino 0.26 | Calmar -0.0
Vol 29% | MDD -47.0%
Months 40M (13%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR 23.6% | Win 62%
Sharpe 0.83 | Sortino 1.53 | Calmar 1.0
Vol 32% | MDD -24.3%
Months 37M (12%)
CAGR -13.0% | Win 53%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.2
Vol 46% | MDD -77.3%
Months 70M (22%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
MACD
only
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 16.0% | Win 60%
Sharpe 0.75 | Sortino 1.31 | Calmar 0.3
Vol 24% | MDD -53.5%
Months 186M (59%)
CAGR 32.0% | Win 62%
Sharpe 0.97 | Sortino 2.55 | Calmar 1.2
Vol 35% | MDD -26.0%
Months 21M (7%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR -9.0% | Win 56%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.2
Vol 35% | MDD -38.3%
Months 25M (8%)
CAGR 0.5% | Win 56%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 43% | MDD -68.5%
Months 82M (26%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
RSI
only
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 19.9% | Win 60%
Sharpe 0.88 | Sortino 1.67 | Calmar 0.4
Vol 24% | MDD -52.2%
Months 174M (55%)
CAGR 6.2% | Win 61%
Sharpe 0.35 | Sortino 0.66 | Calmar 0.2
Vol 30% | MDD -27.9%
Months 33M (10%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR 37.9% | Win 54%
Sharpe 1.12 | Sortino 3.34 | Calmar 2.9
Vol 34% | MDD -12.9%
Months 13M (4%)
CAGR -6.3% | Win 56%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.1
Vol 42% | MDD -78.7%
Months 94M (30%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
MACDhist
only
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 18.1% | Win 60%
Sharpe 0.82 | Sortino 1.44 | Calmar 0.4
Vol 24% | MDD -50.3%
Months 163M (52%)
CAGR 15.6% | Win 61%
Sharpe 0.64 | Sortino 1.30 | Calmar 0.8
Vol 29% | MDD -20.5%
Months 44M (14%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR -12.4% | Win 39%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.2
Vol 49% | MDD -49.9%
Months 23M (7%)
CAGR 1.3% | Win 61%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 39% | MDD -67.8%
Months 84M (27%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 18.2% | Win 61%
Sharpe 0.81 | Sortino 1.43 | Calmar 0.4
Vol 24% | MDD -50.3%
Months 186M (59%)
CAGR 11.8% | Win 57%
Sharpe 0.51 | Sortino 1.33 | Calmar 0.6
Vol 31% | MDD -20.6%
Months 21M (7%)
CAGR 17.6% | Win 60%
Sharpe 0.78 | Sortino 1.41 | Calmar 0.3
Vol 25% | MDD -55.2%
Months 207M (66%)
MRmean
neg
CAGR -16.7% | Win 54%
Sharpe -0.22 | Sortino -0.29 | Calmar -0.2
Vol 42% | MDD -81.5%
Months 61M (19%)
CAGR 22.2% | Win 59%
Sharpe 0.70 | Sortino 1.12 | Calmar 0.5
Vol 40% | MDD -44.5%
Months 46M (15%)
CAGR -1.8% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar -0.0
Vol 41% | MDD -77.3%
Months 107M (34%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 14.0% | Win 59%
Sharpe 0.64 | Sortino 1.07 | Calmar 0.3
Vol 26% | MDD -50.5%
Months 196M (62%)
CAGR 43.3% | Win 62%
Sharpe 1.86 | Sortino 8.26 | Calmar 9.1
Vol 21% | MDD -4.8%
Months 8M (2%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR 10.5% | Win 59%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 36% | MDD -50.9%
Months 93M (30%)
CAGR -30.8% | Win 53%
Sharpe -0.30 | Sortino -0.48 | Calmar -0.5
Vol 60% | MDD -58.0%
Months 17M (5%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
RSmean
only
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 20.8% | Win 63%
Sharpe 0.92 | Sortino 1.59 | Calmar 0.7
Vol 24% | MDD -29.0%
Months 157M (50%)
CAGR -2.5% | Win 47%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 30% | MDD -40.0%
Months 47M (15%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR 28.7% | Win 64%
Sharpe 1.00 | Sortino 1.74 | Calmar 1.1
Vol 30% | MDD -26.0%
Months 47M (15%)
CAGR -13.0% | Win 54%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.2
Vol 47% | MDD -76.1%
Months 63M (20%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
MACD
only
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 14.9% | Win 60%
Sharpe 0.71 | Sortino 1.23 | Calmar 0.3
Vol 24% | MDD -52.3%
Months 175M (56%)
CAGR 15.4% | Win 55%
Sharpe 0.59 | Sortino 0.96 | Calmar 0.4
Vol 35% | MDD -40.0%
Months 29M (9%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR 2.8% | Win 58%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 32% | MDD -29.1%
Months 36M (12%)
CAGR 2.8% | Win 58%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.0
Vol 44% | MDD -66.8%
Months 74M (24%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
RSI
only
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 20.7% | Win 61%
Sharpe 0.92 | Sortino 1.73 | Calmar 0.5
Vol 24% | MDD -44.5%
Months 160M (51%)
CAGR -3.8% | Win 55%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 30% | MDD -48.3%
Months 44M (14%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR 22.7% | Win 56%
Sharpe 0.84 | Sortino 2.15 | Calmar 0.9
Vol 29% | MDD -24.3%
Months 27M (9%)
CAGR -2.9% | Win 59%
Sharpe 0.16 | Sortino 0.22 | Calmar -0.0
Vol 44% | MDD -76.1%
Months 83M (26%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
MACDhist
only
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.3% | Win 59%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.3
Vol 24% | MDD -51.5%
Months 170M (54%)
CAGR 13.2% | Win 62%
Sharpe 0.56 | Sortino 1.30 | Calmar 0.5
Vol 29% | MDD -25.2%
Months 34M (11%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR -1.1% | Win 44%
Sharpe 0.25 | Sortino 0.37 | Calmar -0.0
Vol 54% | MDD -40.4%
Months 16M (5%)
CAGR 3.5% | Win 61%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 38% | MDD -68.1%
Months 94M (30%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 18.2% | Win 61%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.4
Vol 24% | MDD -47.7%
Months 173M (55%)
CAGR -1.5% | Win 52%
Sharpe 0.11 | Sortino 0.18 | Calmar -0.0
Vol 32% | MDD -40.0%
Months 31M (10%)
CAGR 15.0% | Win 59%
Sharpe 0.68 | Sortino 1.14 | Calmar 0.3
Vol 25% | MDD -47.9%
Months 204M (65%)
SLmean
neg
CAGR -11.4% | Win 55%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 40% | MDD -83.4%
Months 74M (24%)
CAGR 39.7% | Win 64%
Sharpe 1.02 | Sortino 1.75 | Calmar 0.9
Vol 41% | MDD -44.5%
Months 36M (12%)
CAGR 2.8% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.0
Vol 40% | MDD -76.1%
Months 110M (35%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 21.0% | Win 62%
Sharpe 0.88 | Sortino 1.52 | Calmar 0.5
Vol 25% | MDD -40.0%
Months 197M (63%)
CAGR -2.8% | Win 52%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 36% | MDD -57.5%
Months 92M (29%)
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
RSmean
neg
CAGR 78.3% | Win 86%
Sharpe 3.23 | Sortino 0.00 | Calmar 16.5
Vol 19% | MDD -4.8%
Months 7M (2%)
CAGR -33.8% | Win 44%
Sharpe -0.41 | Sortino -0.60 | Calmar -0.6
Vol 58% | MDD -58.0%
Months 18M (6%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
MACD
only
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.2% | Win 59%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.2
Vol 24% | MDD -58.6%
Months 203M (65%)
CAGR 12.0% | Win 59%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 39% | MDD -54.6%
Months 86M (27%)
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
RSmean
neg
CAGR 1.4% | Win 75%
Sharpe 0.25 | Sortino 0.20 | Calmar 0.3
Vol 44% | MDD -4.8%
Months 8M (2%)
CAGR -18.5% | Win 47%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.4
Vol 55% | MDD -41.6%
Months 17M (5%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
RSI
only
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 19.4% | Win 59%
Sharpe 0.84 | Sortino 1.65 | Calmar 0.3
Vol 25% | MDD -57.0%
Months 182M (58%)
CAGR 2.6% | Win 59%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.0
Vol 36% | MDD -63.6%
Months 107M (34%)
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
RSmean
neg
CAGR 99.9% | Win 80%
Sharpe 4.10 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 5M (2%)
CAGR -28.9% | Win 50%
Sharpe -0.33 | Sortino -0.48 | Calmar -0.5
Vol 55% | MDD -58.0%
Months 20M (6%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
MACDhist
only
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.8% | Win 57%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 27% | MDD -54.7%
Months 174M (55%)
CAGR 13.0% | Win 62%
Sharpe 0.54 | Sortino 0.96 | Calmar 0.3
Vol 32% | MDD -47.6%
Months 115M (37%)
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
RSmean
neg
CAGR 30.3% | Win 58%
Sharpe 0.84 | Sortino 1.28 | Calmar 1.3
Vol 42% | MDD -22.7%
Months 12M (4%)
CAGR -39.6% | Win 54%
Sharpe -0.55 | Sortino -0.75 | Calmar -0.7
Vol 58% | MDD -58.0%
Months 13M (4%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.5% | Win 60%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 26% | MDD -70.4%
Months 227M (72%)
CAGR 14.0% | Win 58%
Sharpe 0.53 | Sortino 0.93 | Calmar 0.3
Vol 38% | MDD -49.6%
Months 62M (20%)
CAGR 12.8% | Win 59%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -67.4%
Months 289M (92%)
RSmean
neg
CAGR -28.8% | Win 55%
Sharpe -0.34 | Sortino -0.49 | Calmar -0.5
Vol 54% | MDD -61.4%
Months 20M (6%)
CAGR 98.7% | Win 60%
Sharpe 2.59 | Sortino 33.68 | Calmar 32.7
Vol 28% | MDD -3.0%
Months 5M (2%)
CAGR -12.6% | Win 56%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.2
Vol 51% | MDD -58.0%
Months 25M (8%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 20.3% | Win 63%
Sharpe 0.88 | Sortino 1.48 | Calmar 0.4
Vol 24% | MDD -46.2%
Months 191M (61%)
CAGR 61.9% | Win 69%
Sharpe 1.56 | Sortino 3.08 | Calmar 4.5
Vol 35% | MDD -13.7%
Months 13M (4%)
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
MACD
neg
CAGR -39.3% | Win 30%
Sharpe -1.72 | Sortino -1.85 | Calmar -1.0
Vol 26% | MDD -39.6%
Months 20M (6%)
CAGR -0.0% | Win 56%
Sharpe 0.22 | Sortino 0.32 | Calmar -0.0
Vol 42% | MDD -72.9%
Months 90M (29%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
RSI
only
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 22.7% | Win 62%
Sharpe 1.01 | Sortino 1.89 | Calmar 0.5
Vol 23% | MDD -41.4%
Months 145M (46%)
CAGR 22.3% | Win 66%
Sharpe 0.82 | Sortino 1.38 | Calmar 0.7
Vol 30% | MDD -31.4%
Months 59M (19%)
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
MACD
neg
CAGR 15.3% | Win 52%
Sharpe 0.63 | Sortino 1.44 | Calmar 0.4
Vol 29% | MDD -38.9%
Months 42M (13%)
CAGR -21.0% | Win 50%
Sharpe -0.28 | Sortino -0.40 | Calmar -0.3
Vol 46% | MDD -83.4%
Months 68M (22%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
MACDhist
only
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 23.4% | Win 64%
Sharpe 1.08 | Sortino 1.70 | Calmar 0.8
Vol 22% | MDD -29.0%
Months 125M (40%)
CAGR 21.3% | Win 62%
Sharpe 0.79 | Sortino 1.57 | Calmar 0.6
Vol 30% | MDD -32.8%
Months 79M (25%)
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
MACD
neg
CAGR -3.6% | Win 44%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.1
Vol 38% | MDD -56.9%
Months 61M (19%)
CAGR -14.7% | Win 59%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.2
Vol 44% | MDD -67.8%
Months 49M (16%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 23.0% | Win 63%
Sharpe 0.98 | Sortino 1.66 | Calmar 0.7
Vol 24% | MDD -34.0%
Months 191M (61%)
CAGR 16.5% | Win 62%
Sharpe 0.59 | Sortino 1.53 | Calmar 0.9
Vol 36% | MDD -18.2%
Months 13M (4%)
CAGR 22.6% | Win 63%
Sharpe 0.94 | Sortino 1.62 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 204M (65%)
MACD
neg
CAGR -29.5% | Win 45%
Sharpe -0.62 | Sortino -0.84 | Calmar -0.3
Vol 41% | MDD -85.6%
Months 56M (18%)
CAGR 19.4% | Win 57%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 54M (17%)
CAGR -8.7% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 40% | MDD -80.5%
Months 110M (35%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.9% | Win 60%
Sharpe 0.80 | Sortino 1.46 | Calmar 0.3
Vol 23% | MDD -57.3%
Months 161M (51%)
CAGR 0.3% | Win 60%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 31% | MDD -38.7%
Months 50M (16%)
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
RSI
neg
CAGR 49.8% | Win 62%
Sharpe 1.43 | Sortino 3.76 | Calmar 1.7
Vol 32% | MDD -29.1%
Months 26M (8%)
CAGR -5.4% | Win 56%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.1
Vol 44% | MDD -76.9%
Months 77M (24%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
MACDhist
only
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.1% | Win 60%
Sharpe 0.76 | Sortino 1.22 | Calmar 0.3
Vol 22% | MDD -54.9%
Months 144M (46%)
CAGR 7.8% | Win 60%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.2
Vol 31% | MDD -42.2%
Months 67M (21%)
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
RSI
neg
CAGR 9.5% | Win 50%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 43% | MDD -56.9%
Months 42M (13%)
CAGR 4.1% | Win 62%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 41% | MDD -55.3%
Months 61M (19%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.7% | Win 60%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.2
Vol 25% | MDD -54.8%
Months 202M (64%)
CAGR -6.4% | Win 56%
Sharpe -0.14 | Sortino -0.32 | Calmar -0.4
Vol 26% | MDD -14.6%
Months 9M (3%)
CAGR 12.7% | Win 60%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 25% | MDD -55.0%
Months 211M (67%)
RSI
neg
CAGR -12.3% | Win 56%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.2
Vol 44% | MDD -73.9%
Months 45M (14%)
CAGR 23.3% | Win 59%
Sharpe 0.73 | Sortino 1.24 | Calmar 0.5
Vol 39% | MDD -49.6%
Months 58M (18%)
CAGR 6.2% | Win 57%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 42% | MDD -72.9%
Months 103M (33%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 20.1% | Win 59%
Sharpe 0.92 | Sortino 1.68 | Calmar 0.5
Vol 23% | MDD -44.1%
Months 145M (46%)
CAGR 24.2% | Win 62%
Sharpe 0.87 | Sortino 2.21 | Calmar 1.0
Vol 30% | MDD -24.3%
Months 42M (13%)
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
MACDhist
neg
CAGR -5.9% | Win 51%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 42% | MDD -65.7%
Months 41M (13%)
CAGR -1.9% | Win 60%
Sharpe 0.15 | Sortino 0.21 | Calmar -0.0
Vol 38% | MDD -67.8%
Months 86M (27%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
RSIhist
only
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 19.8% | Win 60%
Sharpe 0.88 | Sortino 1.64 | Calmar 0.4
Vol 24% | MDD -49.3%
Months 174M (55%)
CAGR 38.3% | Win 54%
Sharpe 1.16 | Sortino 3.89 | Calmar 2.9
Vol 32% | MDD -13.2%
Months 13M (4%)
CAGR 21.0% | Win 60%
Sharpe 0.90 | Sortino 1.77 | Calmar 0.4
Vol 24% | MDD -48.7%
Months 187M (60%)
MACDhist
neg
CAGR -14.5% | Win 56%
Sharpe -0.19 | Sortino -0.24 | Calmar -0.2
Vol 40% | MDD -81.8%
Months 73M (23%)
CAGR 14.6% | Win 59%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.3
Vol 39% | MDD -49.6%
Months 54M (17%)
CAGR -3.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 39% | MDD -83.4%
Months 127M (40%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.7% | Win 59%
Sharpe 0.60 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -72.1%
Months 149M (48%)
CAGR 18.3% | Win 51%
Sharpe 0.65 | Sortino 1.19 | Calmar 0.7
Vol 35% | MDD -28.0%
Months 37M (12%)
CAGR 13.8% | Win 57%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 28% | MDD -60.6%
Months 186M (59%)
RSIhist
neg
CAGR 2.2% | Win 59%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.0
Vol 34% | MDD -71.5%
Months 98M (31%)
CAGR 19.5% | Win 67%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 41% | MDD -44.5%
Months 30M (10%)
CAGR 6.0% | Win 61%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 36% | MDD -67.8%
Months 128M (41%)
LWTI
only
CAGR 8.4% | Win 59%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -89.0%
Months 247M (79%)
CAGR 18.8% | Win 58%
Sharpe 0.65 | Sortino 1.12 | Calmar 0.4
Vol 38% | MDD -49.6%
Months 67M (21%)