SPY - SPDR S&P 500 ETF Trust

Signal Pair Analysis

RSmean-MACDhist

Best Pair

117.4%

Best CAGR

114

Total Months

10.1%

Avg CAGR

SPY 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 SPY

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean MACDhist neg-pos 1 0.3 117.4 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.3 117.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSIhist neg-pos 3 0.8 54.4 100.0 4.1 0.0 0.0 11.0 0.0
pair RSIhist RSmean neg-pos 3 0.8 54.4 100.0 4.1 0.0 0.0 11.0 0.0
pair MACDhist RSI neg-pos 8 2.0 51.3 87.5 3.5 0.0 26.7 12.3 -1.9
pair RSI MACDhist neg-pos 8 2.0 51.3 87.5 3.5 0.0 26.7 12.3 -1.9
pair RSI LWTI neg-pos 24 6.0 41.1 70.8 2.2 5.7 4.9 16.1 -8.4
pair LWTI RSI neg-pos 24 6.0 41.1 70.8 2.2 5.7 4.9 16.1 -8.4
pair RSI MACD pos-neg 18 4.5 35.0 55.6 1.5 2.9 2.4 22.1 -14.5
pair MACD RSI pos-neg 18 4.5 35.0 55.6 1.5 2.9 2.4 22.1 -14.5
pair RSIhist MACDhist pos-neg 62 15.6 19.4 72.6 1.2 1.4 1.4 16.0 -14.1
pair MACDhist RSIhist pos-neg 62 15.6 19.4 72.6 1.2 1.4 1.4 16.0 -14.1
pair MACD MACDhist neg-pos 21 5.3 18.8 71.4 1.2 2.2 1.5 15.0 -12.7
pair MACDhist MACD neg-pos 21 5.3 18.8 71.4 1.2 2.2 1.5 15.0 -12.7
pair RSmean MRmean neg-neg 13 3.3 18.6 69.2 2.0 5.5 7.3 8.7 -2.6
pair MRmean RSmean neg-neg 13 3.3 18.6 69.2 2.0 5.5 7.3 8.7 -2.6
pair MACD RSmean neg-neg 14 3.5 17.8 71.4 2.3 5.2 7.0 7.1 -2.6
pair RSmean MACD neg-neg 14 3.5 17.8 71.4 2.3 5.2 7.0 7.1 -2.6
pair RSmean SLmean pos-neg 8 2.0 17.7 75.0 1.3 2.1 2.7 12.8 -6.6
pair SLmean RSmean pos-neg 8 2.0 17.7 75.0 1.3 2.1 2.7 12.8 -6.6
pair SLmean MRmean pos-neg 28 7.1 17.6 64.3 1.1 2.2 1.4 15.5 -12.2
pair MRmean SLmean pos-neg 28 7.1 17.6 64.3 1.1 2.2 1.4 15.5 -12.2
pair MRmean RSIhist pos-neg 96 24.2 17.5 69.8 1.2 1.6 1.2 14.7 -14.1
pair RSIhist MRmean pos-neg 96 24.2 17.5 69.8 1.2 1.6 1.2 14.7 -14.1
pair LWTI SLmean neg-pos 71 17.9 17.3 63.4 1.0 1.6 1.3 17.5 -13.4
pair SLmean LWTI neg-pos 71 17.9 17.3 63.4 1.0 1.6 1.3 17.5 -13.4
pair SLmean RSI pos-neg 18 4.5 17.2 61.1 1.2 2.1 1.4 13.7 -12.0
pair RSI SLmean pos-neg 18 4.5 17.2 61.1 1.2 2.1 1.4 13.7 -12.0
pair SLmean MACD neg-pos 61 15.4 16.5 59.0 0.9 1.4 0.6 19.5 -27.7
pair MACD SLmean neg-pos 61 15.4 16.5 59.0 0.9 1.4 0.6 19.5 -27.7
pair LWTI RSIhist neg-pos 143 36.0 16.4 67.1 1.0 1.4 0.8 16.3 -22.0
pair RSIhist LWTI neg-pos 143 36.0 16.4 67.1 1.0 1.4 0.8 16.3 -22.0
pair RSI RSIhist neg-pos 16 4.0 15.7 62.5 1.1 1.9 1.1 13.9 -14.2
pair RSIhist RSI neg-pos 16 4.0 15.7 62.5 1.1 1.9 1.1 13.9 -14.2
pair MACDhist LWTI neg-pos 102 25.7 15.0 66.7 1.0 1.5 0.5 15.8 -29.9
pair LWTI MACDhist neg-pos 102 25.7 15.0 66.7 1.0 1.5 0.5 15.8 -29.9
pair MACD RSIhist pos-neg 131 33.0 15.0 64.9 0.9 1.3 0.5 17.6 -33.2
pair RSIhist MACD pos-neg 131 33.0 15.0 64.9 0.9 1.3 0.5 17.6 -33.2
pair RSI MRmean pos-neg 11 2.8 14.4 63.6 1.1 1.7 2.5 12.6 -5.8
pair MRmean RSI pos-neg 11 2.8 14.4 63.6 1.1 1.7 2.5 12.6 -5.8
pair LWTI MRmean neg-pos 47 11.8 14.1 61.7 0.8 1.1 0.6 19.4 -22.5
pair MRmean LWTI neg-pos 47 11.8 14.1 61.7 0.8 1.1 0.6 19.4 -22.5
pair MACDhist LWTI pos-neg 4 1.0 14.1 75.0 1.7 0.0 7.3 7.9 -1.9
pair LWTI MACDhist pos-neg 4 1.0 14.1 75.0 1.7 0.0 7.3 7.9 -1.9
pair RSIhist MACDhist neg-pos 33 8.3 13.8 69.7 1.1 1.6 0.8 13.0 -18.4
pair MACDhist RSIhist neg-pos 33 8.3 13.8 69.7 1.1 1.6 0.8 13.0 -18.4
pair MACD MRmean pos-pos 276 69.5 13.8 69.2 1.1 1.7 0.9 12.0 -15.3
pair MRmean MACD pos-pos 276 69.5 13.8 69.2 1.1 1.7 0.9 12.0 -15.3
pair MACD MACDhist pos-neg 93 23.4 13.6 63.4 0.8 1.3 0.3 17.8 -38.9
pair MACDhist MACD pos-neg 93 23.4 13.6 63.4 0.8 1.3 0.3 17.8 -38.9
pair RSmean LWTI pos-pos 322 81.1 13.4 67.7 1.0 1.5 0.6 13.5 -23.9
pair LWTI RSmean pos-pos 322 81.1 13.4 67.7 1.0 1.5 0.6 13.5 -23.9
pair MRmean RSmean pos-pos 298 75.1 13.3 68.5 1.1 1.7 0.8 12.1 -16.6
pair RSmean MRmean pos-pos 298 75.1 13.3 68.5 1.1 1.7 0.8 12.1 -16.6
pair MACD LWTI pos-pos 303 76.3 13.3 67.7 1.0 1.4 0.6 13.5 -24.2
pair LWTI MACD pos-pos 303 76.3 13.3 67.7 1.0 1.4 0.6 13.5 -24.2
single LWTI LWTI pos-pos 345 86.9 13.2 67.5 1.0 1.5 0.6 13.4 -23.9
pair MACDhist SLmean pos-pos 222 55.9 13.1 68.9 1.1 1.7 0.7 11.5 -18.2
pair MRmean LWTI pos-pos 298 75.1 13.1 68.5 1.1 1.6 0.8 12.2 -16.6
pair LWTI MRmean pos-pos 298 75.1 13.1 68.5 1.1 1.6 0.8 12.2 -16.6
pair SLmean MACDhist pos-pos 222 55.9 13.1 68.9 1.1 1.7 0.7 11.5 -18.2
pair MACDhist MRmean pos-pos 240 60.5 13.0 68.3 1.1 1.7 0.7 11.6 -19.5
pair MRmean MACDhist pos-pos 240 60.5 13.0 68.3 1.1 1.7 0.7 11.6 -19.5
pair MRmean RSI pos-pos 297 74.8 12.9 68.4 1.1 1.6 0.8 12.2 -16.6
pair SLmean RSIhist pos-neg 76 19.1 12.9 68.4 0.9 1.1 0.7 15.7 -18.3
pair RSIhist SLmean pos-neg 76 19.1 12.9 68.4 0.9 1.1 0.7 15.7 -18.3
pair MACDhist MRmean pos-neg 68 17.1 12.9 67.6 0.9 1.4 0.7 14.0 -18.0
pair MRmean MACDhist pos-neg 68 17.1 12.9 67.6 0.9 1.4 0.7 14.0 -18.0
single MRmean MRmean pos-pos 308 77.6 12.9 68.2 1.1 1.6 0.7 12.2 -18.0
pair RSI MRmean pos-pos 297 74.8 12.9 68.4 1.1 1.6 0.8 12.2 -16.6
pair MACD RSmean pos-pos 310 78.1 12.7 66.8 0.9 1.4 0.5 13.8 -27.4
pair RSmean MACD pos-pos 310 78.1 12.7 66.8 0.9 1.4 0.5 13.8 -27.4
pair LWTI MACD neg-pos 42 10.6 12.7 66.7 1.0 1.8 1.0 12.5 -12.7
pair MACD LWTI neg-pos 42 10.6 12.7 66.7 1.0 1.8 1.0 12.5 -12.7
pair RSmean RSI neg-neg 12 3.0 12.5 66.7 1.8 3.7 4.9 6.8 -2.6
pair RSI RSmean neg-neg 12 3.0 12.5 66.7 1.8 3.7 4.9 6.8 -2.6
pair LWTI MACDhist pos-pos 243 61.2 12.5 67.9 1.0 1.5 0.6 12.3 -19.5
pair MACDhist LWTI pos-pos 243 61.2 12.5 67.9 1.0 1.5 0.6 12.3 -19.5
single MACDhist MACDhist pos-pos 247 62.2 12.5 68.0 1.0 1.5 0.6 12.2 -19.5
single MACD MACD pos-pos 319 80.4 12.5 66.5 0.9 1.3 0.5 13.9 -25.7
pair MRmean SLmean pos-pos 280 70.5 12.5 68.6 1.1 1.5 0.6 11.8 -19.4
pair SLmean MRmean pos-pos 280 70.5 12.5 68.6 1.1 1.5 0.6 11.8 -19.4
pair MACDhist RSmean pos-pos 246 62.0 12.2 67.9 1.0 1.4 0.6 12.2 -19.5
pair RSmean MACDhist pos-pos 246 62.0 12.2 67.9 1.0 1.4 0.6 12.2 -19.5
pair SLmean LWTI pos-pos 274 69.0 12.2 68.6 1.0 1.5 0.5 12.1 -22.6
pair LWTI SLmean pos-pos 274 69.0 12.2 68.6 1.0 1.5 0.5 12.1 -22.6
pair MACDhist MACD pos-pos 226 56.9 12.0 67.7 1.0 1.4 0.6 11.9 -21.0
pair MACD MACDhist pos-pos 226 56.9 12.0 67.7 1.0 1.4 0.6 11.9 -21.0
single RSmean RSmean neg-neg 23 5.8 11.7 65.2 1.0 1.3 1.5 11.6 -7.9
pair LWTI RSmean neg-pos 23 5.8 11.7 65.2 1.0 1.3 1.5 11.6 -7.9
pair RSmean LWTI neg-pos 23 5.8 11.7 65.2 1.0 1.3 1.5 11.6 -7.9
pair MACD SLmean pos-neg 35 8.8 11.5 62.9 0.9 1.5 0.9 13.6 -12.1
single SLmean SLmean pos-pos 293 73.8 11.5 67.6 0.9 1.4 0.4 12.3 -31.9
pair SLmean MACD pos-neg 35 8.8 11.5 62.9 0.9 1.5 0.9 13.6 -12.1
pair MACD RSIhist neg-pos 30 7.6 11.5 63.3 0.8 1.4 0.8 14.1 -14.2
pair RSIhist MACD neg-pos 30 7.6 11.5 63.3 0.8 1.4 0.8 14.1 -14.2
pair MACD SLmean pos-pos 258 65.0 11.5 68.2 1.0 1.3 0.5 12.2 -24.4
pair SLmean MACD pos-pos 258 65.0 11.5 68.2 1.0 1.3 0.5 12.2 -24.4
pair RSI MACDhist pos-pos 239 60.2 11.4 67.4 1.0 1.4 0.6 12.1 -20.4
pair MACDhist RSI pos-pos 239 60.2 11.4 67.4 1.0 1.4 0.6 12.1 -20.4
pair RSmean SLmean pos-pos 285 71.8 11.4 67.4 0.9 1.3 0.4 12.3 -31.9
pair SLmean RSmean pos-pos 285 71.8 11.4 67.4 0.9 1.3 0.4 12.3 -31.9
pair LWTI RSI pos-pos 321 80.9 11.4 67.3 0.9 1.3 0.4 13.0 -30.3
pair RSI LWTI pos-pos 321 80.9 11.4 67.3 0.9 1.3 0.4 13.0 -30.3
pair RSI MACD pos-pos 301 75.8 11.2 67.1 0.9 1.2 0.3 13.2 -36.0
pair MACD RSI pos-pos 301 75.8 11.2 67.1 0.9 1.2 0.3 13.2 -36.0
pair SLmean RSI pos-pos 275 69.3 11.2 68.0 0.9 1.3 0.5 12.3 -24.7
pair RSI SLmean pos-pos 275 69.3 11.2 68.0 0.9 1.3 0.5 12.3 -24.7
pair RSIhist SLmean pos-pos 217 54.7 11.1 67.3 1.0 1.7 0.5 11.0 -23.3
pair SLmean RSIhist pos-pos 217 54.7 11.1 67.3 1.0 1.7 0.5 11.0 -23.3
pair RSI RSIhist pos-neg 124 31.2 11.1 66.1 0.7 1.0 0.4 16.4 -31.2
pair RSIhist RSI pos-neg 124 31.2 11.1 66.1 0.7 1.0 0.4 16.4 -31.2
pair RSIhist LWTI pos-pos 202 50.9 11.1 67.8 1.0 1.7 0.8 10.8 -14.3
pair LWTI RSIhist pos-pos 202 50.9 11.1 67.8 1.0 1.7 0.8 10.8 -14.3
pair RSIhist RSmean pos-neg 159 40.1 10.9 63.5 0.6 0.9 0.2 19.0 -51.2
pair RSmean RSIhist pos-neg 159 40.1 10.9 63.5 0.6 0.9 0.2 19.0 -51.2
pair RSIhist MRmean pos-pos 212 53.4 10.9 67.5 1.0 1.7 0.6 10.8 -18.4
pair MRmean RSIhist pos-pos 212 53.4 10.9 67.5 1.0 1.7 0.6 10.8 -18.4
single RSIhist RSIhist pos-pos 218 54.9 10.8 67.0 1.0 1.7 0.4 11.0 -25.2
pair RSI RSmean neg-pos 11 2.8 10.8 63.6 0.7 1.0 1.4 15.7 -7.9
pair RSmean RSI neg-pos 11 2.8 10.8 63.6 0.7 1.0 1.4 15.7 -7.9
pair RSIhist MACD pos-pos 188 47.4 10.7 67.6 1.0 1.8 0.7 10.4 -15.0
pair RSI RSmean pos-pos 315 79.3 10.7 67.0 0.8 1.2 0.3 13.1 -36.0
pair RSmean RSI pos-pos 315 79.3 10.7 67.0 0.8 1.2 0.3 13.1 -36.0
pair MACD RSIhist pos-pos 188 47.4 10.7 67.6 1.0 1.8 0.7 10.4 -15.0
single RSI RSI pos-pos 326 82.1 10.7 66.9 0.8 1.2 0.3 13.2 -36.0
single RSmean RSmean pos-pos 374 94.2 10.6 65.2 0.8 1.1 0.2 14.9 -50.8
pair benchmark___benchmark_ benchmark-benchmark 397 100.0 10.6 65.2 0.8 1.1 0.2 14.7 -50.8
pair benchmark___benchmark_ benchmark-benchmark 397 100.0 10.6 65.2 0.8 1.1 0.2 14.7 -50.8
pair RSIhist RSI pos-pos 202 50.9 10.5 67.3 1.0 1.6 0.7 10.8 -14.3
pair RSI RSIhist pos-pos 202 50.9 10.5 67.3 1.0 1.6 0.7 10.8 -14.3
single RSIhist RSIhist neg-neg 179 45.1 10.4 63.1 0.6 0.9 0.2 18.3 -53.3
pair RSIhist RSmean pos-pos 215 54.2 10.3 66.5 1.0 1.6 0.4 11.0 -25.2
pair RSmean RSIhist pos-pos 215 54.2 10.3 66.5 1.0 1.6 0.4 11.0 -25.2
pair RSIhist MACDhist pos-pos 185 46.6 10.3 66.5 1.0 1.7 0.8 10.6 -13.3
pair MACDhist RSIhist pos-pos 185 46.6 10.3 66.5 1.0 1.7 0.8 10.6 -13.3
single RSI RSI neg-neg 71 17.9 10.2 57.7 0.6 0.8 0.2 20.5 -49.9
pair RSmean RSI pos-neg 59 14.9 9.7 55.9 0.5 0.8 0.2 22.3 -49.6
pair RSI RSmean pos-neg 59 14.9 9.7 55.9 0.5 0.8 0.2 22.3 -49.6
pair MRmean RSI neg-neg 60 15.1 9.4 56.7 0.5 0.8 0.2 21.7 -51.7
pair RSI MRmean neg-neg 60 15.1 9.4 56.7 0.5 0.8 0.2 21.7 -51.7
pair MACDhist RSI pos-neg 87 21.9 8.8 65.5 0.6 0.9 0.3 15.7 -34.1
pair RSI MACDhist pos-neg 87 21.9 8.8 65.5 0.6 0.9 0.3 15.7 -34.1
pair RSIhist RSI neg-neg 55 13.9 8.6 56.4 0.5 0.7 0.2 22.1 -47.6
pair RSI RSIhist neg-neg 55 13.9 8.6 56.4 0.5 0.7 0.2 22.1 -47.6
pair RSmean SLmean neg-neg 15 3.8 8.6 60.0 0.8 0.9 1.1 11.4 -7.9
pair MRmean RSIhist neg-pos 6 1.5 8.6 50.0 0.6 1.1 1.0 17.3 -8.9
pair RSIhist MRmean neg-pos 6 1.5 8.6 50.0 0.6 1.1 1.0 17.3 -8.9
pair SLmean RSmean neg-neg 15 3.8 8.6 60.0 0.8 0.9 1.1 11.4 -7.9
pair RSIhist SLmean neg-neg 103 25.9 8.6 59.2 0.5 0.7 0.2 20.0 -49.4
pair SLmean RSIhist neg-neg 103 25.9 8.6 59.2 0.5 0.7 0.2 20.0 -49.4
pair RSI SLmean neg-pos 51 12.8 8.4 60.8 0.6 0.8 0.3 17.3 -24.5
pair SLmean RSI neg-pos 51 12.8 8.4 60.8 0.6 0.8 0.3 17.3 -24.5
pair RSmean MACDhist neg-neg 22 5.5 8.3 63.6 0.8 1.0 0.6 11.1 -13.7
pair MACDhist RSmean neg-neg 22 5.5 8.3 63.6 0.8 1.0 0.6 11.1 -13.7
pair MACDhist SLmean neg-neg 79 19.9 8.3 58.2 0.5 0.7 0.1 20.7 -53.6
pair SLmean MACDhist neg-neg 79 19.9 8.3 58.2 0.5 0.7 0.1 20.7 -53.6
single SLmean SLmean neg-neg 104 26.2 8.2 58.7 0.5 0.7 0.2 20.0 -50.6
pair RSIhist LWTI pos-neg 16 4.0 8.2 56.2 0.7 1.1 0.6 13.5 -14.2
pair LWTI RSIhist pos-neg 16 4.0 8.2 56.2 0.7 1.1 0.6 13.5 -14.2
pair RSmean SLmean neg-pos 89 22.4 8.1 58.4 0.5 0.7 0.2 21.1 -49.7
pair SLmean RSmean neg-pos 89 22.4 8.1 58.4 0.5 0.7 0.2 21.1 -49.7
pair SLmean RSI neg-neg 53 13.4 7.9 56.6 0.5 0.7 0.2 22.4 -48.3
pair RSI SLmean neg-neg 53 13.4 7.9 56.6 0.5 0.7 0.2 22.4 -48.3
pair LWTI MRmean pos-neg 10 2.5 7.9 60.0 0.7 1.0 1.8 11.7 -4.4
pair MRmean LWTI pos-neg 10 2.5 7.9 60.0 0.7 1.0 1.8 11.7 -4.4
pair SLmean MACDhist neg-pos 25 6.3 7.6 60.0 0.5 0.7 0.6 17.7 -13.4
pair MACDhist SLmean neg-pos 25 6.3 7.6 60.0 0.5 0.7 0.6 17.7 -13.4
single MACDhist MACDhist neg-neg 150 37.8 7.5 60.7 0.5 0.7 0.1 18.1 -65.8
pair MACDhist RSmean pos-neg 128 32.2 7.4 60.2 0.5 0.7 0.1 19.1 -62.8
pair RSmean MACDhist pos-neg 128 32.2 7.4 60.2 0.5 0.7 0.1 19.1 -62.8
pair MACDhist SLmean pos-neg 71 17.9 6.7 63.4 0.5 0.8 0.2 14.8 -27.3
pair SLmean MACDhist pos-neg 71 17.9 6.7 63.4 0.5 0.8 0.2 14.8 -27.3
pair RSIhist RSmean neg-neg 20 5.0 6.4 60.0 0.6 0.8 0.5 11.3 -13.7
pair RSmean RSIhist neg-neg 20 5.0 6.4 60.0 0.6 0.8 0.5 11.3 -13.7
pair MACD MRmean pos-neg 32 8.1 6.0 59.4 0.5 0.9 0.4 13.5 -16.6
pair MRmean MACD pos-neg 32 8.1 6.0 59.4 0.5 0.9 0.4 13.5 -16.6
pair MACDhist RSIhist neg-neg 117 29.5 5.9 58.1 0.4 0.6 0.1 19.3 -60.2
pair RSIhist MACDhist neg-neg 117 29.5 5.9 58.1 0.4 0.6 0.1 19.3 -60.2
pair RSI MACDhist neg-neg 63 15.9 5.8 54.0 0.4 0.6 0.1 21.1 -52.3
pair MACDhist RSI neg-neg 63 15.9 5.8 54.0 0.4 0.6 0.1 21.1 -52.3
pair SLmean MRmean neg-neg 76 19.1 4.9 56.6 0.3 0.5 0.1 21.4 -52.7
pair MRmean SLmean neg-neg 76 19.1 4.9 56.6 0.3 0.5 0.1 21.4 -52.7
pair MACD RSI neg-pos 25 6.3 4.8 64.0 0.4 0.8 0.3 13.1 -16.6
pair RSI MACD neg-pos 25 6.3 4.8 64.0 0.4 0.8 0.3 13.1 -16.6
pair MACD MRmean neg-pos 43 10.8 4.3 48.8 0.3 0.5 0.1 22.4 -37.2
pair MRmean MACD neg-pos 43 10.8 4.3 48.8 0.3 0.5 0.1 22.4 -37.2
single MACD MACD neg-neg 78 19.6 3.5 60.3 0.3 0.4 0.1 17.7 -35.7
pair MRmean MACDhist neg-neg 82 20.7 3.3 54.9 0.3 0.4 0.1 20.9 -61.9
pair MACDhist MRmean neg-neg 82 20.7 3.3 54.9 0.3 0.4 0.1 20.9 -61.9
pair RSmean MRmean pos-neg 10 2.5 3.2 60.0 0.3 0.4 0.4 14.9 -7.9
pair MRmean RSmean pos-neg 10 2.5 3.2 60.0 0.3 0.4 0.4 14.9 -7.9
single MRmean MRmean neg-neg 89 22.4 3.0 55.1 0.2 0.4 0.1 21.2 -61.9
pair MACD RSI neg-neg 53 13.4 2.9 58.5 0.2 0.3 0.1 19.7 -42.8
pair RSI MACD neg-neg 53 13.4 2.9 58.5 0.2 0.3 0.1 19.7 -42.8
pair RSmean MACD neg-pos 9 2.3 2.8 55.6 0.2 0.4 0.4 16.7 -7.5
pair MACD RSmean neg-pos 9 2.3 2.8 55.6 0.2 0.4 0.4 16.7 -7.5
pair RSIhist MRmean neg-neg 83 20.9 2.6 55.4 0.2 0.3 0.0 21.6 -58.4
pair MRmean RSIhist neg-neg 83 20.9 2.6 55.4 0.2 0.3 0.0 21.6 -58.4
pair SLmean LWTI pos-neg 19 4.8 2.0 52.6 0.2 0.3 0.2 15.6 -12.5
pair LWTI SLmean pos-neg 19 4.8 2.0 52.6 0.2 0.3 0.2 15.6 -12.5
pair MRmean MACD neg-neg 46 11.6 1.8 60.9 0.2 0.2 0.0 20.3 -44.3
pair MACD MRmean neg-neg 46 11.6 1.8 60.9 0.2 0.2 0.0 20.3 -44.3
pair MACD RSmean pos-neg 64 16.1 0.6 57.8 0.1 0.2 0.0 19.2 -35.8
pair RSmean MACD pos-neg 64 16.1 0.6 57.8 0.1 0.2 0.0 19.2 -35.8
pair MRmean RSmean neg-pos 76 19.1 0.5 52.6 0.1 0.2 0.0 22.7 -61.9
pair RSmean MRmean neg-pos 76 19.1 0.5 52.6 0.1 0.2 0.0 22.7 -61.9
pair MRmean MACDhist neg-pos 7 1.8 -0.7 57.1 0.1 0.1 -0.1 26.5 -14.4
pair MACDhist MRmean neg-pos 7 1.8 -0.7 57.1 0.1 0.1 -0.1 26.5 -14.4
pair RSIhist MACD neg-neg 48 12.1 -1.2 58.3 0.0 0.1 -0.0 19.7 -39.5
pair MACD RSIhist neg-neg 48 12.1 -1.2 58.3 0.0 0.1 -0.0 19.7 -39.5
pair MACDhist MACD neg-neg 57 14.4 -1.7 56.1 0.0 0.0 -0.0 18.5 -44.7
pair MACD MACDhist neg-neg 57 14.4 -1.7 56.1 0.0 0.0 -0.0 18.5 -44.7
pair MACD SLmean neg-neg 43 10.8 -2.6 58.1 -0.0 -0.0 -0.1 20.5 -41.0
pair SLmean MACD neg-neg 43 10.8 -2.6 58.1 -0.0 -0.0 -0.1 20.5 -41.0
pair LWTI MACD pos-neg 16 4.0 -2.8 43.8 -0.1 -0.1 -0.1 19.4 -24.5
pair MACD LWTI pos-neg 16 4.0 -2.8 43.8 -0.1 -0.1 -0.1 19.4 -24.5
pair LWTI RSI neg-neg 47 11.8 -2.9 51.1 -0.0 -0.0 -0.1 21.6 -52.5
pair RSI LWTI neg-neg 47 11.8 -2.9 51.1 -0.0 -0.0 -0.1 21.6 -52.5
single LWTI LWTI neg-neg 52 13.1 -5.3 50.0 -0.1 -0.2 -0.1 21.2 -56.4
pair LWTI RSmean pos-neg 52 13.1 -5.3 50.0 -0.1 -0.2 -0.1 21.2 -56.4
pair RSmean LWTI pos-neg 52 13.1 -5.3 50.0 -0.1 -0.2 -0.1 21.2 -56.4
pair LWTI MACD neg-neg 36 9.1 -6.3 52.8 -0.2 -0.3 -0.1 22.3 -43.1
pair MACD LWTI neg-neg 36 9.1 -6.3 52.8 -0.2 -0.3 -0.1 22.3 -43.1
pair MACDhist LWTI neg-neg 48 12.1 -6.7 47.9 -0.2 -0.3 -0.1 22.0 -57.7
pair LWTI MACDhist neg-neg 48 12.1 -6.7 47.9 -0.2 -0.3 -0.1 22.0 -57.7
pair MRmean SLmean neg-pos 13 3.3 -7.2 46.2 -0.3 -0.5 -0.3 20.7 -21.4
pair SLmean MRmean neg-pos 13 3.3 -7.2 46.2 -0.3 -0.5 -0.3 20.7 -21.4
pair LWTI MRmean neg-neg 42 10.6 -8.1 47.6 -0.2 -0.4 -0.1 23.0 -57.4
pair MRmean LWTI neg-neg 42 10.6 -8.1 47.6 -0.2 -0.4 -0.1 23.0 -57.4
pair RSI MRmean neg-pos 29 7.3 -9.1 51.7 -0.4 -0.6 -0.2 20.2 -39.5
pair MRmean RSI neg-pos 29 7.3 -9.1 51.7 -0.4 -0.6 -0.2 20.2 -39.5
pair LWTI SLmean neg-neg 33 8.3 -9.2 48.5 -0.3 -0.4 -0.2 24.1 -50.2
pair SLmean LWTI neg-neg 33 8.3 -9.2 48.5 -0.3 -0.4 -0.2 24.1 -50.2
pair LWTI RSIhist neg-neg 36 9.1 -10.7 47.2 -0.3 -0.6 -0.2 23.9 -53.5
pair RSIhist LWTI neg-neg 36 9.1 -10.7 47.2 -0.3 -0.6 -0.2 23.9 -53.5
pair LWTI RSI pos-neg 5 1.3 -25.0 40.0 -1.6 -2.7 -3.1 17.3 -8.1
pair RSI LWTI pos-neg 5 1.3 -25.0 40.0 -1.6 -2.7 -3.1 17.3 -8.1
pair SLmean RSIhist neg-pos 1 0.3 -25.8 0.0 0.0 0.0 0.0 - 0.0
pair RSIhist SLmean neg-pos 1 0.3 -25.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for SPY

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 69%
Sharpe 1.06 | Sortino 1.54 | Calmar 0.6
Vol 12% | MDD -19.4%
Months 280M (70%)
CAGR 17.6% | Win 64%
Sharpe 1.13 | Sortino 2.24 | Calmar 1.5
Vol 16% | MDD -12.2%
Months 28M (7%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR -7.2% | Win 46%
Sharpe -0.26 | Sortino -0.46 | Calmar -0.3
Vol 21% | MDD -21.4%
Months 13M (3%)
CAGR 4.9% | Win 57%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -52.7%
Months 76M (19%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
SLmean
only
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.3% | Win 68%
Sharpe 1.10 | Sortino 1.66 | Calmar 0.8
Vol 12% | MDD -16.6%
Months 298M (75%)
CAGR 3.2% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.4
Vol 15% | MDD -7.9%
Months 10M (2%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR 0.5% | Win 53%
Sharpe 0.14 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -61.9%
Months 76M (19%)
CAGR 18.6% | Win 69%
Sharpe 2.03 | Sortino 5.45 | Calmar 7.3
Vol 9% | MDD -2.6%
Months 13M (3%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
RSmean
only
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 69%
Sharpe 1.14 | Sortino 1.67 | Calmar 0.9
Vol 12% | MDD -15.3%
Months 276M (70%)
CAGR 6.0% | Win 59%
Sharpe 0.50 | Sortino 0.93 | Calmar 0.4
Vol 14% | MDD -16.6%
Months 32M (8%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR 4.3% | Win 49%
Sharpe 0.30 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -37.2%
Months 43M (11%)
CAGR 1.8% | Win 61%
Sharpe 0.19 | Sortino 0.24 | Calmar 0.0
Vol 20% | MDD -44.3%
Months 46M (12%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
MACD
only
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.59 | Calmar 0.8
Vol 12% | MDD -16.6%
Months 297M (75%)
CAGR 14.4% | Win 64%
Sharpe 1.13 | Sortino 1.72 | Calmar 2.5
Vol 13% | MDD -5.8%
Months 11M (3%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR -9.1% | Win 52%
Sharpe -0.37 | Sortino -0.56 | Calmar -0.2
Vol 20% | MDD -39.5%
Months 29M (7%)
CAGR 9.4% | Win 57%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.2
Vol 22% | MDD -51.7%
Months 60M (15%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
RSI
only
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.0% | Win 68%
Sharpe 1.11 | Sortino 1.70 | Calmar 0.7
Vol 12% | MDD -19.5%
Months 240M (60%)
CAGR 12.9% | Win 68%
Sharpe 0.94 | Sortino 1.39 | Calmar 0.7
Vol 14% | MDD -18.0%
Months 68M (17%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR -0.7% | Win 57%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 26% | MDD -14.4%
Months 7M (2%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -61.9%
Months 82M (21%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
MACDhist
only
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 68%
Sharpe 1.01 | Sortino 1.68 | Calmar 0.6
Vol 11% | MDD -18.4%
Months 212M (53%)
CAGR 17.5% | Win 70%
Sharpe 1.18 | Sortino 1.62 | Calmar 1.2
Vol 15% | MDD -14.1%
Months 96M (24%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR 8.6% | Win 50%
Sharpe 0.55 | Sortino 1.15 | Calmar 1.0
Vol 17% | MDD -8.9%
Months 6M (2%)
CAGR 2.6% | Win 55%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 22% | MDD -58.4%
Months 83M (21%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.1% | Win 68%
Sharpe 1.08 | Sortino 1.62 | Calmar 0.8
Vol 12% | MDD -16.6%
Months 298M (75%)
CAGR 7.9% | Win 60%
Sharpe 0.71 | Sortino 0.99 | Calmar 1.8
Vol 12% | MDD -4.4%
Months 10M (2%)
CAGR 12.9% | Win 68%
Sharpe 1.06 | Sortino 1.61 | Calmar 0.7
Vol 12% | MDD -18.0%
Months 308M (78%)
MRmean
neg
CAGR 14.1% | Win 62%
Sharpe 0.78 | Sortino 1.14 | Calmar 0.6
Vol 19% | MDD -22.5%
Months 47M (12%)
CAGR -8.1% | Win 48%
Sharpe -0.25 | Sortino -0.40 | Calmar -0.1
Vol 23% | MDD -57.4%
Months 42M (11%)
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.0
Vol 21% | MDD -61.9%
Months 89M (22%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 67%
Sharpe 0.94 | Sortino 1.34 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 285M (72%)
CAGR 17.7% | Win 75%
Sharpe 1.34 | Sortino 2.15 | Calmar 2.7
Vol 13% | MDD -6.6%
Months 8M (2%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR 8.1% | Win 58%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -49.7%
Months 89M (22%)
CAGR 8.6% | Win 60%
Sharpe 0.78 | Sortino 0.94 | Calmar 1.1
Vol 11% | MDD -7.9%
Months 15M (4%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
RSmean
only
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 68%
Sharpe 0.96 | Sortino 1.34 | Calmar 0.5
Vol 12% | MDD -24.4%
Months 258M (65%)
CAGR 11.5% | Win 63%
Sharpe 0.87 | Sortino 1.53 | Calmar 1.0
Vol 14% | MDD -12.1%
Months 35M (9%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR 16.5% | Win 59%
Sharpe 0.88 | Sortino 1.43 | Calmar 0.6
Vol 20% | MDD -27.7%
Months 61M (15%)
CAGR -2.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 20% | MDD -41.0%
Months 43M (11%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
MACD
only
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 68%
Sharpe 0.93 | Sortino 1.32 | Calmar 0.5
Vol 12% | MDD -24.7%
Months 275M (69%)
CAGR 17.2% | Win 61%
Sharpe 1.23 | Sortino 2.06 | Calmar 1.4
Vol 14% | MDD -12.0%
Months 18M (4%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.3
Vol 17% | MDD -24.5%
Months 51M (13%)
CAGR 7.9% | Win 57%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -48.3%
Months 53M (13%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
RSI
only
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 13.1% | Win 69%
Sharpe 1.14 | Sortino 1.68 | Calmar 0.7
Vol 12% | MDD -18.2%
Months 222M (56%)
CAGR 6.7% | Win 63%
Sharpe 0.51 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -27.3%
Months 71M (18%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR 7.6% | Win 60%
Sharpe 0.50 | Sortino 0.71 | Calmar 0.6
Vol 18% | MDD -13.4%
Months 25M (6%)
CAGR 8.3% | Win 58%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 21% | MDD -53.6%
Months 79M (20%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
MACDhist
only
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.1% | Win 67%
Sharpe 1.01 | Sortino 1.69 | Calmar 0.5
Vol 11% | MDD -23.3%
Months 217M (55%)
CAGR 12.9% | Win 68%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 76M (19%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR -25.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 8.6% | Win 59%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 20% | MDD -49.4%
Months 103M (26%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.2% | Win 69%
Sharpe 1.02 | Sortino 1.46 | Calmar 0.5
Vol 12% | MDD -22.6%
Months 274M (69%)
CAGR 2.0% | Win 53%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.2
Vol 16% | MDD -12.5%
Months 19M (5%)
CAGR 11.5% | Win 68%
Sharpe 0.95 | Sortino 1.37 | Calmar 0.4
Vol 12% | MDD -31.9%
Months 293M (74%)
SLmean
neg
CAGR 17.3% | Win 63%
Sharpe 1.00 | Sortino 1.56 | Calmar 1.3
Vol 18% | MDD -13.4%
Months 71M (18%)
CAGR -9.2% | Win 48%
Sharpe -0.28 | Sortino -0.43 | Calmar -0.2
Vol 24% | MDD -50.2%
Months 33M (8%)
CAGR 8.2% | Win 59%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 20% | MDD -50.6%
Months 104M (26%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 12.7% | Win 67%
Sharpe 0.94 | Sortino 1.35 | Calmar 0.5
Vol 14% | MDD -27.4%
Months 310M (78%)
CAGR 0.6% | Win 58%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -35.8%
Months 64M (16%)
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
RSmean
neg
CAGR 2.8% | Win 56%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.4
Vol 17% | MDD -7.5%
Months 9M (2%)
CAGR 17.8% | Win 71%
Sharpe 2.34 | Sortino 5.19 | Calmar 6.9
Vol 7% | MDD -2.6%
Months 14M (4%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
MACD
only
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 10.7% | Win 67%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 315M (79%)
CAGR 9.7% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 22% | MDD -49.6%
Months 59M (15%)
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
RSmean
neg
CAGR 10.8% | Win 64%
Sharpe 0.72 | Sortino 1.04 | Calmar 1.4
Vol 16% | MDD -7.9%
Months 11M (3%)
CAGR 12.5% | Win 67%
Sharpe 1.78 | Sortino 3.74 | Calmar 4.9
Vol 7% | MDD -2.6%
Months 12M (3%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
RSI
only
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 68%
Sharpe 1.02 | Sortino 1.45 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 246M (62%)
CAGR 7.4% | Win 60%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.1
Vol 19% | MDD -62.8%
Months 128M (32%)
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
RSmean
neg
CAGR 117.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 8.3% | Win 64%
Sharpe 0.78 | Sortino 0.98 | Calmar 0.6
Vol 11% | MDD -13.7%
Months 22M (6%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
MACDhist
only
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.3% | Win 66%
Sharpe 0.96 | Sortino 1.60 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 215M (54%)
CAGR 10.9% | Win 64%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -51.2%
Months 159M (40%)
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
RSmean
neg
CAGR 54.4% | Win 100%
Sharpe 4.08 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 3M (1%)
CAGR 6.4% | Win 60%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.5
Vol 11% | MDD -13.7%
Months 20M (5%)
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 13.4% | Win 68%
Sharpe 1.00 | Sortino 1.47 | Calmar 0.6
Vol 14% | MDD -23.9%
Months 322M (81%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
CAGR 10.6% | Win 65%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.2
Vol 15% | MDD -50.8%
Months 374M (94%)
RSmean
neg
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
-
CAGR 11.7% | Win 65%
Sharpe 1.01 | Sortino 1.34 | Calmar 1.5
Vol 12% | MDD -7.9%
Months 23M (6%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 11.2% | Win 67%
Sharpe 0.88 | Sortino 1.21 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 301M (76%)
CAGR 35.0% | Win 56%
Sharpe 1.47 | Sortino 2.88 | Calmar 2.4
Vol 22% | MDD -14.5%
Months 18M (4%)
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
MACD
neg
CAGR 4.8% | Win 64%
Sharpe 0.42 | Sortino 0.81 | Calmar 0.3
Vol 13% | MDD -16.6%
Months 25M (6%)
CAGR 2.9% | Win 58%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 53M (13%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
RSI
only
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 12.0% | Win 68%
Sharpe 1.01 | Sortino 1.42 | Calmar 0.6
Vol 12% | MDD -21.0%
Months 226M (57%)
CAGR 13.6% | Win 63%
Sharpe 0.81 | Sortino 1.28 | Calmar 0.3
Vol 18% | MDD -38.9%
Months 93M (23%)
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
MACD
neg
CAGR 18.8% | Win 71%
Sharpe 1.23 | Sortino 2.17 | Calmar 1.5
Vol 15% | MDD -12.7%
Months 21M (5%)
CAGR -1.7% | Win 56%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.0
Vol 18% | MDD -44.7%
Months 57M (14%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
MACDhist
only
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.7% | Win 68%
Sharpe 1.03 | Sortino 1.75 | Calmar 0.7
Vol 10% | MDD -15.0%
Months 188M (47%)
CAGR 15.0% | Win 65%
Sharpe 0.88 | Sortino 1.27 | Calmar 0.5
Vol 18% | MDD -33.2%
Months 131M (33%)
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
MACD
neg
CAGR 11.5% | Win 63%
Sharpe 0.84 | Sortino 1.42 | Calmar 0.8
Vol 14% | MDD -14.2%
Months 30M (8%)
CAGR -1.2% | Win 58%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 20% | MDD -39.5%
Months 48M (12%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 13.3% | Win 68%
Sharpe 1.00 | Sortino 1.43 | Calmar 0.6
Vol 14% | MDD -24.2%
Months 303M (76%)
CAGR -2.8% | Win 44%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 19% | MDD -24.5%
Months 16M (4%)
CAGR 12.5% | Win 66%
Sharpe 0.92 | Sortino 1.33 | Calmar 0.5
Vol 14% | MDD -25.7%
Months 319M (80%)
MACD
neg
CAGR 12.7% | Win 67%
Sharpe 1.02 | Sortino 1.81 | Calmar 1.0
Vol 12% | MDD -12.7%
Months 42M (11%)
CAGR -6.3% | Win 53%
Sharpe -0.18 | Sortino -0.26 | Calmar -0.1
Vol 22% | MDD -43.1%
Months 36M (9%)
CAGR 3.5% | Win 60%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -35.7%
Months 78M (20%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 67%
Sharpe 0.96 | Sortino 1.36 | Calmar 0.6
Vol 12% | MDD -20.4%
Months 239M (60%)
CAGR 8.8% | Win 66%
Sharpe 0.62 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -34.1%
Months 87M (22%)
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
RSI
neg
CAGR 51.3% | Win 88%
Sharpe 3.48 | Sortino 0.00 | Calmar 26.7
Vol 12% | MDD -1.9%
Months 8M (2%)
CAGR 5.8% | Win 54%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -52.3%
Months 63M (16%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
MACDhist
only
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.5% | Win 67%
Sharpe 0.98 | Sortino 1.64 | Calmar 0.7
Vol 11% | MDD -14.3%
Months 202M (51%)
CAGR 11.1% | Win 66%
Sharpe 0.73 | Sortino 1.00 | Calmar 0.4
Vol 16% | MDD -31.2%
Months 124M (31%)
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
RSI
neg
CAGR 15.7% | Win 62%
Sharpe 1.12 | Sortino 1.87 | Calmar 1.1
Vol 14% | MDD -14.2%
Months 16M (4%)
CAGR 8.6% | Win 56%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.6%
Months 55M (14%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 67%
Sharpe 0.90 | Sortino 1.26 | Calmar 0.4
Vol 13% | MDD -30.3%
Months 321M (81%)
CAGR -25.0% | Win 40%
Sharpe -1.57 | Sortino -2.68 | Calmar -3.1
Vol 17% | MDD -8.1%
Months 5M (1%)
CAGR 10.7% | Win 67%
Sharpe 0.84 | Sortino 1.19 | Calmar 0.3
Vol 13% | MDD -36.0%
Months 326M (82%)
RSI
neg
CAGR 41.1% | Win 71%
Sharpe 2.24 | Sortino 5.69 | Calmar 4.9
Vol 16% | MDD -8.4%
Months 24M (6%)
CAGR -2.9% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 22% | MDD -52.5%
Months 47M (12%)
CAGR 10.2% | Win 58%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -49.9%
Months 71M (18%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.3% | Win 66%
Sharpe 0.98 | Sortino 1.68 | Calmar 0.8
Vol 11% | MDD -13.3%
Months 185M (47%)
CAGR 19.4% | Win 73%
Sharpe 1.20 | Sortino 1.41 | Calmar 1.4
Vol 16% | MDD -14.1%
Months 62M (16%)
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
MACDhist
neg
CAGR 13.8% | Win 70%
Sharpe 1.06 | Sortino 1.64 | Calmar 0.7
Vol 13% | MDD -18.4%
Months 33M (8%)
CAGR 5.9% | Win 58%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -60.2%
Months 117M (30%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
RSIhist
only
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.47 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 243M (61%)
CAGR 14.1% | Win 75%
Sharpe 1.71 | Sortino 0.00 | Calmar 7.3
Vol 8% | MDD -1.9%
Months 4M (1%)
CAGR 12.5% | Win 68%
Sharpe 1.03 | Sortino 1.48 | Calmar 0.6
Vol 12% | MDD -19.5%
Months 247M (62%)
MACDhist
neg
CAGR 15.0% | Win 67%
Sharpe 0.97 | Sortino 1.48 | Calmar 0.5
Vol 16% | MDD -29.9%
Months 102M (26%)
CAGR -6.7% | Win 48%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.1
Vol 22% | MDD -57.7%
Months 48M (12%)
CAGR 7.5% | Win 61%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.1
Vol 18% | MDD -65.8%
Months 150M (38%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.1% | Win 68%
Sharpe 1.03 | Sortino 1.71 | Calmar 0.8
Vol 11% | MDD -14.3%
Months 202M (51%)
CAGR 8.2% | Win 56%
Sharpe 0.65 | Sortino 1.15 | Calmar 0.6
Vol 14% | MDD -14.2%
Months 16M (4%)
CAGR 10.8% | Win 67%
Sharpe 1.00 | Sortino 1.67 | Calmar 0.4
Vol 11% | MDD -25.2%
Months 218M (55%)
RSIhist
neg
CAGR 16.4% | Win 67%
Sharpe 1.02 | Sortino 1.43 | Calmar 0.7
Vol 16% | MDD -22.0%
Months 143M (36%)
CAGR -10.7% | Win 47%
Sharpe -0.35 | Sortino -0.55 | Calmar -0.2
Vol 24% | MDD -53.5%
Months 36M (9%)
CAGR 10.4% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.2
Vol 18% | MDD -53.3%
Months 179M (45%)
LWTI
only
CAGR 13.2% | Win 68%
Sharpe 1.00 | Sortino 1.46 | Calmar 0.6
Vol 13% | MDD -23.9%
Months 345M (87%)
CAGR -5.3% | Win 50%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 21% | MDD -56.4%
Months 52M (13%)