TAN - Invesco Solar ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

93.6%

Best CAGR

61

Total Months

-8.8%

Avg CAGR

TAN 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 TAN

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 LWTI pos-neg 19 8.9 93.6 78.9 2.0 4.8 6.4 37.1 -14.6
pair LWTI MACDhist pos-neg 19 8.9 93.6 78.9 2.0 4.8 6.4 37.1 -14.6
pair MACDhist RSIhist pos-pos 69 32.2 49.7 65.2 1.3 2.2 1.6 37.9 -30.8
pair RSIhist MACDhist pos-pos 69 32.2 49.7 65.2 1.3 2.2 1.6 37.9 -30.8
pair SLmean MACDhist pos-pos 72 33.6 43.4 63.9 1.2 2.0 1.4 36.6 -31.5
pair MACDhist SLmean pos-pos 72 33.6 43.4 63.9 1.2 2.0 1.4 36.6 -31.5
pair MRmean MACDhist pos-pos 76 35.5 38.9 60.5 1.1 1.9 1.3 36.1 -30.8
pair MACDhist MRmean pos-pos 76 35.5 38.9 60.5 1.1 1.9 1.3 36.1 -30.8
pair SLmean RSIhist neg-pos 8 3.7 36.8 62.5 0.8 1.9 1.2 55.8 -30.2
pair RSIhist SLmean neg-pos 8 3.7 36.8 62.5 0.8 1.9 1.2 55.8 -30.2
pair MRmean RSIhist neg-pos 15 7.0 29.4 60.0 0.8 1.5 0.9 43.1 -33.2
pair RSIhist MRmean neg-pos 15 7.0 29.4 60.0 0.8 1.5 0.9 43.1 -33.2
pair RSmean RSIhist pos-pos 89 41.6 25.1 57.3 0.8 1.4 0.5 38.5 -53.6
pair RSIhist RSmean pos-pos 89 41.6 25.1 57.3 0.8 1.4 0.5 38.5 -53.6
pair MACD MACDhist neg-pos 48 22.4 25.1 62.5 0.8 1.0 0.4 42.0 -68.6
pair MACDhist MACD neg-pos 48 22.4 25.1 62.5 0.8 1.0 0.4 42.0 -68.6
pair LWTI MACD pos-neg 9 4.2 24.0 55.6 0.7 1.3 1.4 42.4 -16.7
pair MACD LWTI pos-neg 9 4.2 24.0 55.6 0.7 1.3 1.4 42.4 -16.7
pair LWTI RSIhist pos-neg 33 15.4 22.5 60.6 0.7 1.4 0.6 39.4 -35.1
pair RSIhist LWTI pos-neg 33 15.4 22.5 60.6 0.7 1.4 0.6 39.4 -35.1
pair RSI MACDhist pos-pos 61 28.5 22.3 55.7 0.8 1.3 0.5 35.5 -44.6
pair MACDhist RSI pos-pos 61 28.5 22.3 55.7 0.8 1.3 0.5 35.5 -44.6
pair MACD RSIhist neg-pos 61 28.5 21.9 59.0 0.7 1.2 0.4 37.4 -52.6
pair RSIhist MACD neg-pos 61 28.5 21.9 59.0 0.7 1.2 0.4 37.4 -52.6
pair LWTI SLmean pos-pos 68 31.8 21.6 54.4 0.7 1.3 0.4 38.1 -54.4
pair SLmean LWTI pos-pos 68 31.8 21.6 54.4 0.7 1.3 0.4 38.1 -54.4
pair RSmean MACDhist pos-pos 94 43.9 19.8 53.2 0.7 1.0 0.3 40.1 -63.1
pair MACDhist RSmean pos-pos 94 43.9 19.8 53.2 0.7 1.0 0.3 40.1 -63.1
pair RSIhist RSI pos-pos 55 25.7 19.0 58.2 0.7 1.1 0.4 37.1 -47.6
pair RSI RSIhist pos-pos 55 25.7 19.0 58.2 0.7 1.1 0.4 37.1 -47.6
single MACDhist MACDhist pos-pos 97 45.3 18.2 53.6 0.6 1.0 0.3 40.0 -68.6
pair RSI SLmean pos-pos 61 28.5 17.3 57.4 0.6 1.1 0.3 36.3 -60.4
pair SLmean RSI pos-pos 61 28.5 17.3 57.4 0.6 1.1 0.3 36.3 -60.4
pair LWTI MRmean pos-pos 74 34.6 16.5 51.4 0.6 1.1 0.3 37.4 -57.9
pair MRmean LWTI pos-pos 74 34.6 16.5 51.4 0.6 1.1 0.3 37.4 -57.9
pair MRmean RSmean pos-pos 91 42.5 16.0 53.8 0.6 1.0 0.3 37.7 -62.4
pair RSmean MRmean pos-pos 91 42.5 16.0 53.8 0.6 1.0 0.3 37.7 -62.4
pair MRmean MACD pos-neg 48 22.4 15.8 58.3 0.6 0.9 0.3 36.6 -51.0
pair MACD MRmean pos-neg 48 22.4 15.8 58.3 0.6 0.9 0.3 36.6 -51.0
single RSIhist RSIhist pos-pos 97 45.3 15.1 55.7 0.6 1.0 0.2 39.2 -60.5
pair RSI RSmean pos-pos 74 34.6 14.4 54.1 0.5 1.0 0.3 37.4 -48.5
pair RSmean RSI pos-pos 74 34.6 14.4 54.1 0.5 1.0 0.3 37.4 -48.5
pair MRmean RSI pos-pos 67 31.3 14.1 53.7 0.6 1.0 0.2 36.1 -63.6
pair RSI MRmean pos-pos 67 31.3 14.1 53.7 0.6 1.0 0.2 36.1 -63.6
pair RSIhist SLmean pos-pos 89 41.6 13.3 55.1 0.5 0.9 0.2 37.8 -60.5
pair SLmean RSIhist pos-pos 89 41.6 13.3 55.1 0.5 0.9 0.2 37.8 -60.5
pair LWTI SLmean neg-neg 60 28.0 13.1 53.3 0.5 1.1 0.2 40.9 -55.8
pair SLmean LWTI neg-neg 60 28.0 13.1 53.3 0.5 1.1 0.2 40.9 -55.8
pair SLmean RSmean pos-pos 93 43.5 12.8 54.8 0.5 0.9 0.2 38.5 -70.0
pair RSmean SLmean pos-pos 93 43.5 12.8 54.8 0.5 0.9 0.2 38.5 -70.0
pair RSI MACD neg-pos 21 9.8 12.7 66.7 0.5 0.5 0.4 35.4 -31.7
pair MACD RSI neg-pos 21 9.8 12.7 66.7 0.5 0.5 0.4 35.4 -31.7
pair RSIhist MRmean pos-pos 82 38.3 12.6 54.9 0.5 0.9 0.2 38.7 -56.4
pair MRmean RSIhist pos-pos 82 38.3 12.6 54.9 0.5 0.9 0.2 38.7 -56.4
pair MACDhist MACD pos-pos 49 22.9 11.9 44.9 0.5 0.9 0.2 38.3 -48.2
pair MACD MACDhist pos-pos 49 22.9 11.9 44.9 0.5 0.9 0.2 38.3 -48.2
pair MACDhist RSI neg-pos 36 16.8 11.7 50.0 0.5 0.7 0.2 47.2 -68.6
pair RSI MACDhist neg-pos 36 16.8 11.7 50.0 0.5 0.7 0.2 47.2 -68.6
pair LWTI RSIhist pos-pos 64 29.9 11.4 53.1 0.5 0.8 0.2 39.4 -48.8
pair RSIhist LWTI pos-pos 64 29.9 11.4 53.1 0.5 0.8 0.2 39.4 -48.8
pair RSI RSIhist neg-pos 42 19.6 10.2 52.4 0.4 0.8 0.2 42.3 -52.6
pair RSIhist RSI neg-pos 42 19.6 10.2 52.4 0.4 0.8 0.2 42.3 -52.6
pair RSI LWTI pos-neg 11 5.1 10.2 54.5 0.4 0.8 0.6 36.8 -16.7
pair LWTI RSI pos-neg 11 5.1 10.2 54.5 0.4 0.8 0.6 36.8 -16.7
pair MRmean SLmean pos-pos 88 41.1 8.9 53.4 0.4 0.7 0.1 38.8 -67.2
pair SLmean MRmean pos-pos 88 41.1 8.9 53.4 0.4 0.7 0.1 38.8 -67.2
single MRmean MRmean pos-pos 96 44.9 8.6 52.1 0.4 0.7 0.1 38.2 -69.7
pair MACD SLmean pos-neg 58 27.1 7.2 55.2 0.4 0.6 0.1 37.0 -50.9
pair SLmean MACD pos-neg 58 27.1 7.2 55.2 0.4 0.6 0.1 37.0 -50.9
single SLmean SLmean pos-pos 100 46.7 5.9 53.0 0.3 0.6 0.1 38.5 -76.3
pair MACDhist LWTI pos-pos 78 36.4 4.9 47.4 0.3 0.5 0.1 40.2 -65.0
pair LWTI MACDhist pos-pos 78 36.4 4.9 47.4 0.3 0.5 0.1 40.2 -65.0
pair MRmean SLmean pos-neg 8 3.7 4.8 37.5 0.3 0.5 0.3 33.3 -15.1
pair SLmean MRmean pos-neg 8 3.7 4.8 37.5 0.3 0.5 0.3 33.3 -15.1
pair LWTI MRmean neg-neg 70 32.7 4.7 51.4 0.3 0.7 0.1 40.2 -55.8
pair MRmean LWTI neg-neg 70 32.7 4.7 51.4 0.3 0.7 0.1 40.2 -55.8
pair RSIhist MACD pos-pos 36 16.8 4.5 50.0 0.3 0.6 0.1 42.6 -47.6
pair MACD RSIhist pos-pos 36 16.8 4.5 50.0 0.3 0.6 0.1 42.6 -47.6
single RSI RSI pos-pos 81 37.9 4.4 51.9 0.3 0.5 0.1 38.9 -53.5
pair RSmean LWTI pos-pos 104 48.6 4.2 47.1 0.3 0.5 0.1 40.4 -56.9
pair MACD SLmean pos-pos 42 19.6 4.2 50.0 0.3 0.6 0.1 40.8 -60.4
pair LWTI RSmean pos-pos 104 48.6 4.2 47.1 0.3 0.5 0.1 40.4 -56.9
pair SLmean MACD pos-pos 42 19.6 4.2 50.0 0.3 0.6 0.1 40.8 -60.4
pair RSmean MACD pos-pos 71 33.2 3.6 45.1 0.3 0.6 0.1 40.2 -52.4
pair RSI LWTI pos-pos 70 32.7 3.6 51.4 0.3 0.5 0.1 39.5 -48.6
pair LWTI RSI pos-pos 70 32.7 3.6 51.4 0.3 0.5 0.1 39.5 -48.6
pair MACD RSmean pos-pos 71 33.2 3.6 45.1 0.3 0.6 0.1 40.2 -52.4
pair MACD RSI pos-neg 16 7.5 3.3 37.5 0.3 0.5 0.1 38.3 -32.5
pair RSI MACD pos-neg 16 7.5 3.3 37.5 0.3 0.5 0.1 38.3 -32.5
single RSmean RSmean pos-pos 191 89.3 2.7 49.7 0.3 0.5 0.0 40.5 -79.4
pair MRmean MACD neg-pos 28 13.1 2.4 42.9 0.2 0.5 0.1 40.0 -39.2
pair MACD MRmean neg-pos 28 13.1 2.4 42.9 0.2 0.5 0.1 40.0 -39.2
pair RSmean MACD pos-neg 120 56.1 2.2 52.5 0.3 0.4 0.0 40.8 -79.4
pair MACD RSmean pos-neg 120 56.1 2.2 52.5 0.3 0.4 0.0 40.8 -79.4
single MACD MACD pos-pos 76 35.5 2.0 44.7 0.2 0.5 0.0 39.7 -52.4
pair MRmean MACD pos-pos 48 22.4 1.8 45.8 0.2 0.5 0.0 40.0 -63.6
pair MACD MRmean pos-pos 48 22.4 1.8 45.8 0.2 0.5 0.0 40.0 -63.6
pair MACD RSI pos-pos 60 28.0 1.7 46.7 0.2 0.5 0.0 40.4 -53.5
pair RSI MACD pos-pos 60 28.0 1.7 46.7 0.2 0.5 0.0 40.4 -53.5
pair RSmean LWTI pos-neg 87 40.7 0.9 52.9 0.2 0.5 0.0 40.7 -58.9
pair LWTI RSmean pos-neg 87 40.7 0.9 52.9 0.2 0.5 0.0 40.7 -58.9
pair MACD RSIhist pos-neg 40 18.7 -0.1 40.0 0.2 0.4 -0.0 37.4 -40.1
pair RSIhist MACD pos-neg 40 18.7 -0.1 40.0 0.2 0.4 -0.0 37.4 -40.1
single LWTI LWTI neg-neg 92 43.0 -0.2 52.2 0.2 0.4 -0.0 40.2 -57.7
pair LWTI MACD pos-pos 67 31.3 -0.6 43.3 0.2 0.3 -0.0 39.6 -54.4
pair MACD LWTI pos-pos 67 31.3 -0.6 43.3 0.2 0.3 -0.0 39.6 -54.4
pair SLmean MACD neg-pos 34 15.9 -0.6 38.2 0.2 0.3 -0.0 38.9 -44.7
pair MACD SLmean neg-pos 34 15.9 -0.6 38.2 0.2 0.3 -0.0 38.9 -44.7
pair RSI LWTI neg-neg 81 37.9 -1.5 51.9 0.2 0.3 -0.0 40.8 -57.7
pair LWTI RSI neg-neg 81 37.9 -1.5 51.9 0.2 0.3 -0.0 40.8 -57.7
pair LWTI MACD neg-neg 83 38.8 -2.5 51.8 0.1 0.3 -0.0 40.2 -58.7
pair MACD LWTI neg-neg 83 38.8 -2.5 51.8 0.1 0.3 -0.0 40.2 -58.7
pair MRmean RSI pos-neg 29 13.6 -3.3 48.3 0.1 0.2 -0.1 43.1 -51.0
pair RSI MRmean pos-neg 29 13.6 -3.3 48.3 0.1 0.2 -0.1 43.1 -51.0
pair RSmean RSI pos-neg 117 54.7 -4.1 47.0 0.1 0.2 -0.1 42.4 -79.4
pair RSI RSmean pos-neg 117 54.7 -4.1 47.0 0.1 0.2 -0.1 42.4 -79.4
pair RSmean SLmean neg-pos 98 45.8 -6.1 44.9 0.1 0.1 -0.1 42.3 -83.2
pair SLmean RSmean neg-pos 98 45.8 -6.1 44.9 0.1 0.1 -0.1 42.3 -83.2
pair benchmark___benchmark_ benchmark-benchmark 214 100.0 -6.8 48.6 0.1 0.1 -0.1 43.3 -94.4
pair benchmark___benchmark_ benchmark-benchmark 214 100.0 -6.8 48.6 0.1 0.1 -0.1 43.3 -94.4
pair RSmean MRmean neg-pos 100 46.7 -8.1 46.0 0.0 0.0 -0.1 42.8 -82.5
pair MRmean RSmean neg-pos 100 46.7 -8.1 46.0 0.0 0.0 -0.1 42.8 -82.5
pair RSI SLmean pos-neg 39 18.2 -9.7 46.2 -0.0 -0.1 -0.2 41.7 -55.6
pair SLmean RSI pos-neg 39 18.2 -9.7 46.2 -0.0 -0.1 -0.2 41.7 -55.6
pair RSIhist LWTI neg-neg 59 27.6 -11.0 47.5 -0.1 -0.2 -0.2 40.6 -64.8
pair LWTI RSIhist neg-neg 59 27.6 -11.0 47.5 -0.1 -0.2 -0.2 40.6 -64.8
single MACD MACD neg-neg 138 64.5 -11.3 50.7 -0.0 -0.0 -0.1 45.3 -94.4
pair RSmean MACDhist pos-neg 97 45.3 -11.5 46.4 -0.1 -0.2 -0.1 40.5 -78.3
pair MACDhist RSmean pos-neg 97 45.3 -11.5 46.4 -0.1 -0.2 -0.1 40.5 -78.3
single LWTI LWTI pos-pos 122 57.0 -11.5 45.9 -0.0 -0.0 -0.1 45.7 -89.6
pair MACDhist SLmean neg-neg 89 41.6 -11.7 50.6 -0.0 -0.0 -0.1 47.7 -81.7
pair SLmean MACDhist neg-neg 89 41.6 -11.7 50.6 -0.0 -0.0 -0.1 47.7 -81.7
pair MRmean RSIhist pos-neg 14 6.5 -12.5 35.7 -0.2 -0.4 -0.4 35.4 -30.5
pair RSIhist MRmean pos-neg 14 6.5 -12.5 35.7 -0.2 -0.4 -0.4 35.4 -30.5
single RSI RSI neg-neg 133 62.1 -13.0 46.6 -0.1 -0.1 -0.1 45.9 -91.3
pair RSmean RSIhist pos-neg 102 47.7 -13.5 43.1 -0.1 -0.2 -0.1 41.7 -88.9
pair RSIhist RSmean pos-neg 102 47.7 -13.5 43.1 -0.1 -0.2 -0.1 41.7 -88.9
pair MRmean MACDhist neg-neg 97 45.3 -13.7 49.5 -0.1 -0.1 -0.2 46.7 -80.7
pair MACDhist MACD pos-neg 27 12.6 -13.7 44.4 -0.1 -0.3 -0.3 42.4 -45.3
pair MACD MACDhist pos-neg 27 12.6 -13.7 44.4 -0.1 -0.3 -0.3 42.4 -45.3
pair MACDhist MRmean neg-neg 97 45.3 -13.7 49.5 -0.1 -0.1 -0.2 46.7 -80.7
pair SLmean MRmean neg-pos 12 5.6 -13.8 50.0 -0.2 -0.4 -0.3 37.3 -41.0
pair MRmean SLmean neg-pos 12 5.6 -13.8 50.0 -0.2 -0.4 -0.3 37.3 -41.0
pair MRmean LWTI pos-neg 22 10.3 -14.3 54.5 -0.2 -0.3 -0.4 40.9 -39.1
pair LWTI MRmean pos-neg 22 10.3 -14.3 54.5 -0.2 -0.3 -0.4 40.9 -39.1
pair SLmean RSI neg-neg 94 43.9 -14.4 46.8 -0.1 -0.1 -0.2 47.7 -85.3
pair RSI SLmean neg-neg 94 43.9 -14.4 46.8 -0.1 -0.1 -0.2 47.7 -85.3
pair MACD RSI neg-neg 117 54.7 -15.1 47.9 -0.1 -0.2 -0.2 47.0 -91.3
pair RSI MACD neg-neg 117 54.7 -15.1 47.9 -0.1 -0.2 -0.2 47.0 -91.3
pair RSI MRmean neg-neg 104 48.6 -15.6 46.2 -0.1 -0.2 -0.2 46.8 -83.9
pair MRmean RSI neg-neg 104 48.6 -15.6 46.2 -0.1 -0.2 -0.2 46.8 -83.9
pair MACDhist LWTI neg-neg 73 34.1 -16.0 45.2 -0.2 -0.5 -0.2 39.7 -75.5
pair LWTI MACDhist neg-neg 73 34.1 -16.0 45.2 -0.2 -0.5 -0.2 39.7 -75.5
single SLmean SLmean neg-neg 114 53.3 -16.7 44.7 -0.1 -0.2 -0.2 47.2 -92.3
pair MACD RSmean neg-pos 5 2.3 -17.3 40.0 -0.4 -0.8 -1.1 34.3 -15.9
pair RSmean MACD neg-pos 5 2.3 -17.3 40.0 -0.4 -0.8 -1.1 34.3 -15.9
pair RSIhist MACDhist neg-neg 89 41.6 -17.5 48.3 -0.1 -0.2 -0.2 47.8 -82.1
pair MACDhist RSIhist neg-neg 89 41.6 -17.5 48.3 -0.1 -0.2 -0.2 47.8 -82.1
single MRmean MRmean neg-neg 118 55.1 -17.7 45.8 -0.2 -0.3 -0.2 47.1 -91.2
pair RSmean LWTI neg-neg 5 2.3 -17.9 40.0 -0.5 -0.6 -3.5 31.6 -5.1
pair LWTI RSmean neg-neg 5 2.3 -17.9 40.0 -0.5 -0.6 -3.5 31.6 -5.1
pair SLmean MRmean neg-neg 106 49.5 -18.1 45.3 -0.2 -0.2 -0.2 48.2 -93.1
pair MRmean SLmean neg-neg 106 49.5 -18.1 45.3 -0.2 -0.2 -0.2 48.2 -93.1
pair RSIhist SLmean neg-neg 106 49.5 -19.7 43.4 -0.2 -0.3 -0.2 46.6 -93.7
pair SLmean RSIhist neg-neg 106 49.5 -19.7 43.4 -0.2 -0.3 -0.2 46.6 -93.7
pair RSI RSIhist pos-neg 26 12.1 -20.7 38.5 -0.3 -0.5 -0.4 42.3 -47.9
pair RSIhist RSI pos-neg 26 12.1 -20.7 38.5 -0.3 -0.5 -0.4 42.3 -47.9
pair RSI MACDhist neg-neg 97 45.3 -20.8 45.4 -0.3 -0.5 -0.2 45.3 -88.3
pair MACDhist RSI neg-neg 97 45.3 -20.8 45.4 -0.3 -0.5 -0.2 45.3 -88.3
pair SLmean LWTI pos-neg 32 15.0 -21.1 50.0 -0.4 -0.8 -0.3 38.5 -59.3
pair LWTI SLmean pos-neg 32 15.0 -21.1 50.0 -0.4 -0.8 -0.3 38.5 -59.3
single RSIhist RSIhist neg-neg 117 54.7 -21.8 42.7 -0.3 -0.4 -0.2 46.2 -93.9
pair RSI RSIhist neg-neg 91 42.5 -22.0 44.0 -0.3 -0.4 -0.2 47.4 -89.2
pair RSIhist RSI neg-neg 91 42.5 -22.0 44.0 -0.3 -0.4 -0.2 47.4 -89.2
pair MACDhist RSmean neg-pos 3 1.4 -22.4 66.7 -0.5 0.0 -1.5 40.4 -14.9
pair RSmean MACDhist neg-pos 3 1.4 -22.4 66.7 -0.5 0.0 -1.5 40.4 -14.9
pair MACD SLmean neg-neg 80 37.4 -22.7 47.5 -0.2 -0.4 -0.2 50.5 -90.5
pair SLmean MACD neg-neg 80 37.4 -22.7 47.5 -0.2 -0.4 -0.2 50.5 -90.5
pair MRmean RSIhist neg-neg 103 48.1 -22.9 43.7 -0.3 -0.5 -0.2 47.6 -93.9
pair RSIhist MRmean neg-neg 103 48.1 -22.9 43.7 -0.3 -0.5 -0.2 47.6 -93.9
pair MRmean MACD neg-neg 90 42.1 -23.1 46.7 -0.3 -0.4 -0.3 49.2 -89.6
pair MACD MRmean neg-neg 90 42.1 -23.1 46.7 -0.3 -0.4 -0.3 49.2 -89.6
pair MACD LWTI neg-pos 55 25.7 -23.2 49.1 -0.2 -0.3 -0.3 52.4 -89.6
pair LWTI MACD neg-pos 55 25.7 -23.2 49.1 -0.2 -0.3 -0.3 52.4 -89.6
single MACDhist MACDhist neg-neg 117 54.7 -23.5 44.4 -0.3 -0.6 -0.2 45.4 -94.3
pair MACDhist MACD neg-neg 90 42.1 -26.2 44.4 -0.4 -0.7 -0.3 46.5 -92.0
pair MACD MACDhist neg-neg 90 42.1 -26.2 44.4 -0.4 -0.7 -0.3 46.5 -92.0
pair SLmean RSI neg-pos 20 9.3 -26.6 35.0 -0.4 -0.7 -0.5 45.8 -52.1
pair RSI SLmean neg-pos 20 9.3 -26.6 35.0 -0.4 -0.7 -0.5 45.8 -52.1
pair RSI LWTI neg-pos 52 24.3 -28.4 38.5 -0.3 -0.5 -0.3 53.0 -83.9
pair LWTI RSI neg-pos 52 24.3 -28.4 38.5 -0.3 -0.5 -0.3 53.0 -83.9
pair RSIhist MACD neg-neg 77 36.0 -31.1 44.2 -0.5 -0.7 -0.3 50.1 -92.4
pair MACD RSIhist neg-neg 77 36.0 -31.1 44.2 -0.5 -0.7 -0.3 50.1 -92.4
pair LWTI RSIhist neg-pos 58 27.1 -31.4 37.9 -0.4 -0.6 -0.4 51.4 -87.8
pair RSIhist LWTI neg-pos 58 27.1 -31.4 37.9 -0.4 -0.6 -0.4 51.4 -87.8
pair RSI MRmean neg-pos 14 6.5 -31.7 42.9 -0.5 -0.8 -0.7 50.5 -48.8
pair MRmean RSI neg-pos 14 6.5 -31.7 42.9 -0.5 -0.8 -0.7 50.5 -48.8
pair MACDhist SLmean neg-pos 25 11.7 -32.1 24.0 -0.6 -0.9 -0.5 46.1 -63.4
pair SLmean MACDhist neg-pos 25 11.7 -32.1 24.0 -0.6 -0.9 -0.5 46.1 -63.4
pair MACDhist MRmean neg-pos 21 9.8 -33.9 28.6 -0.6 -0.8 -0.5 49.8 -63.1
pair MRmean MACDhist neg-pos 21 9.8 -33.9 28.6 -0.6 -0.8 -0.5 49.8 -63.1
pair RSIhist MACDhist pos-neg 28 13.1 -33.9 25.0 -0.8 -1.1 -0.5 41.0 -68.8
pair MACDhist RSIhist pos-neg 28 13.1 -33.9 25.0 -0.8 -1.1 -0.5 41.0 -68.8
pair MACDhist LWTI neg-pos 44 20.6 -34.5 43.2 -0.5 -0.8 -0.4 53.9 -80.7
pair LWTI MACDhist neg-pos 44 20.6 -34.5 43.2 -0.5 -0.8 -0.4 53.9 -80.7
pair MACDhist RSI pos-neg 20 9.3 -35.4 40.0 -0.7 -1.2 -0.7 46.7 -49.0
pair RSI MACDhist pos-neg 20 9.3 -35.4 40.0 -0.7 -1.2 -0.7 46.7 -49.0
pair SLmean RSIhist pos-neg 11 5.1 -38.7 36.4 -0.9 -1.9 -0.8 42.7 -45.8
pair RSIhist SLmean pos-neg 11 5.1 -38.7 36.4 -0.9 -1.9 -0.8 42.7 -45.8
pair RSIhist MACDhist neg-pos 28 13.1 -39.8 32.1 -1.2 -2.0 -0.6 36.5 -71.6
pair MACDhist RSIhist neg-pos 28 13.1 -39.8 32.1 -1.2 -2.0 -0.6 36.5 -71.6
pair SLmean LWTI neg-pos 54 25.2 -40.7 35.2 -0.7 -1.0 -0.4 52.4 -93.3
pair LWTI SLmean neg-pos 54 25.2 -40.7 35.2 -0.7 -1.0 -0.4 52.4 -93.3
pair MRmean LWTI neg-pos 48 22.4 -42.0 37.5 -0.7 -1.0 -0.5 55.0 -92.8
pair LWTI MRmean neg-pos 48 22.4 -42.0 37.5 -0.7 -1.0 -0.5 55.0 -92.8
pair MACDhist SLmean pos-neg 28 13.1 -51.4 25.0 -1.9 -3.0 -0.6 34.5 -85.4
pair SLmean MACDhist pos-neg 28 13.1 -51.4 25.0 -1.9 -3.0 -0.6 34.5 -85.4
pair RSmean RSIhist neg-pos 8 3.7 -54.3 37.5 -1.7 -2.8 -1.5 40.6 -37.0
pair RSIhist RSmean neg-pos 8 3.7 -54.3 37.5 -1.7 -2.8 -1.5 40.6 -37.0
pair RSmean SLmean pos-neg 7 3.3 -54.4 28.6 -2.3 -3.7 -1.9 30.7 -28.2
pair SLmean RSmean pos-neg 7 3.3 -54.4 28.6 -2.3 -3.7 -1.9 30.7 -28.2
pair MRmean RSmean neg-neg 18 8.4 -55.5 44.4 -0.8 -1.2 -0.7 66.1 -80.7
pair RSmean MRmean neg-neg 18 8.4 -55.5 44.4 -0.8 -1.2 -0.7 66.1 -80.7
pair MACDhist MRmean pos-neg 20 9.3 -57.4 20.0 -2.2 -3.6 -0.8 34.7 -75.5
pair MRmean MACDhist pos-neg 20 9.3 -57.4 20.0 -2.2 -3.6 -0.8 34.7 -75.5
pair RSmean RSI neg-neg 16 7.5 -57.7 43.8 -0.9 -1.5 -0.8 65.8 -70.6
pair RSI RSmean neg-neg 16 7.5 -57.7 43.8 -0.9 -1.5 -0.8 65.8 -70.6
single RSmean RSmean neg-neg 23 10.7 -58.4 39.1 -1.1 -1.7 -0.7 59.9 -82.6
pair RSI RSmean neg-pos 7 3.3 -60.1 28.6 -1.6 -2.0 -1.6 48.4 -38.6
pair RSmean RSI neg-pos 7 3.3 -60.1 28.6 -1.6 -2.0 -1.6 48.4 -38.6
pair RSmean SLmean neg-neg 16 7.5 -60.1 43.8 -0.9 -1.4 -0.7 69.9 -80.7
pair SLmean RSmean neg-neg 16 7.5 -60.1 43.8 -0.9 -1.4 -0.7 69.9 -80.7
pair RSIhist RSmean neg-neg 15 7.0 -60.4 40.0 -0.9 -1.4 -0.8 69.5 -80.7
pair RSmean RSIhist neg-neg 15 7.0 -60.4 40.0 -0.9 -1.4 -0.8 69.5 -80.7
pair MACDhist RSmean neg-neg 20 9.3 -62.1 35.0 -1.1 -1.8 -0.8 62.9 -81.5
pair RSmean MACDhist neg-neg 20 9.3 -62.1 35.0 -1.1 -1.8 -0.8 62.9 -81.5
pair MACD RSmean neg-neg 18 8.4 -65.6 38.9 -1.2 -2.0 -0.8 65.5 -81.1
pair RSmean MACD neg-neg 18 8.4 -65.6 38.9 -1.2 -2.0 -0.8 65.5 -81.1
pair LWTI RSmean neg-pos 18 8.4 -65.6 38.9 -1.2 -2.1 -0.8 65.9 -81.5
pair RSmean LWTI neg-pos 18 8.4 -65.6 38.9 -1.2 -2.1 -0.8 65.9 -81.5
pair MRmean RSmean pos-neg 5 2.3 -67.5 20.0 -3.2 -8.4 -2.5 31.9 -26.7
pair RSmean MRmean pos-neg 5 2.3 -67.5 20.0 -3.2 -8.4 -2.5 31.9 -26.7

All Contingency Tables for TAN

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 53%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.1
Vol 39% | MDD -67.2%
Months 88M (41%)
CAGR 4.8% | Win 38%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.3
Vol 33% | MDD -15.1%
Months 8M (4%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR -13.8% | Win 50%
Sharpe -0.22 | Sortino -0.36 | Calmar -0.3
Vol 37% | MDD -41.0%
Months 12M (6%)
CAGR -18.1% | Win 45%
Sharpe -0.16 | Sortino -0.25 | Calmar -0.2
Vol 48% | MDD -93.1%
Months 106M (50%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
SLmean
only
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 16.0% | Win 54%
Sharpe 0.58 | Sortino 1.00 | Calmar 0.3
Vol 38% | MDD -62.4%
Months 91M (42%)
CAGR -67.5% | Win 20%
Sharpe -3.23 | Sortino -8.38 | Calmar -2.5
Vol 32% | MDD -26.7%
Months 5M (2%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR -8.1% | Win 46%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 43% | MDD -82.5%
Months 100M (47%)
CAGR -55.5% | Win 44%
Sharpe -0.83 | Sortino -1.21 | Calmar -0.7
Vol 66% | MDD -80.7%
Months 18M (8%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
RSmean
only
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.8% | Win 46%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.0
Vol 40% | MDD -63.6%
Months 48M (22%)
CAGR 15.8% | Win 58%
Sharpe 0.58 | Sortino 0.92 | Calmar 0.3
Vol 37% | MDD -51.0%
Months 48M (22%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR 2.4% | Win 43%
Sharpe 0.25 | Sortino 0.53 | Calmar 0.1
Vol 40% | MDD -39.2%
Months 28M (13%)
CAGR -23.1% | Win 47%
Sharpe -0.27 | Sortino -0.41 | Calmar -0.3
Vol 49% | MDD -89.6%
Months 90M (42%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
MACD
only
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 14.1% | Win 54%
Sharpe 0.55 | Sortino 0.96 | Calmar 0.2
Vol 36% | MDD -63.6%
Months 67M (31%)
CAGR -3.3% | Win 48%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.1
Vol 43% | MDD -51.0%
Months 29M (14%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR -31.7% | Win 43%
Sharpe -0.50 | Sortino -0.80 | Calmar -0.6
Vol 50% | MDD -48.8%
Months 14M (6%)
CAGR -15.6% | Win 46%
Sharpe -0.11 | Sortino -0.18 | Calmar -0.2
Vol 47% | MDD -83.9%
Months 104M (49%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
RSI
only
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 38.9% | Win 60%
Sharpe 1.10 | Sortino 1.90 | Calmar 1.3
Vol 36% | MDD -30.8%
Months 76M (36%)
CAGR -57.4% | Win 20%
Sharpe -2.20 | Sortino -3.64 | Calmar -0.8
Vol 35% | MDD -75.5%
Months 20M (9%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR -33.9% | Win 29%
Sharpe -0.56 | Sortino -0.82 | Calmar -0.5
Vol 50% | MDD -63.1%
Months 21M (10%)
CAGR -13.7% | Win 50%
Sharpe -0.07 | Sortino -0.12 | Calmar -0.2
Vol 47% | MDD -80.7%
Months 97M (45%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
MACDhist
only
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 55%
Sharpe 0.50 | Sortino 0.87 | Calmar 0.2
Vol 39% | MDD -56.4%
Months 82M (38%)
CAGR -12.5% | Win 36%
Sharpe -0.21 | Sortino -0.36 | Calmar -0.4
Vol 35% | MDD -30.5%
Months 14M (6%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR 29.4% | Win 60%
Sharpe 0.80 | Sortino 1.48 | Calmar 0.9
Vol 43% | MDD -33.2%
Months 15M (7%)
CAGR -22.9% | Win 44%
Sharpe -0.29 | Sortino -0.46 | Calmar -0.2
Vol 48% | MDD -93.9%
Months 103M (48%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 16.5% | Win 51%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.3
Vol 37% | MDD -57.9%
Months 74M (35%)
CAGR -14.3% | Win 55%
Sharpe -0.18 | Sortino -0.34 | Calmar -0.4
Vol 41% | MDD -39.1%
Months 22M (10%)
CAGR 8.6% | Win 52%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.1
Vol 38% | MDD -69.7%
Months 96M (45%)
MRmean
neg
CAGR -42.0% | Win 38%
Sharpe -0.67 | Sortino -0.98 | Calmar -0.5
Vol 55% | MDD -92.8%
Months 48M (22%)
CAGR 4.7% | Win 51%
Sharpe 0.31 | Sortino 0.66 | Calmar 0.1
Vol 40% | MDD -55.8%
Months 70M (33%)
CAGR -17.7% | Win 46%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 47% | MDD -91.2%
Months 118M (55%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.8% | Win 55%
Sharpe 0.51 | Sortino 0.88 | Calmar 0.2
Vol 38% | MDD -70.0%
Months 93M (44%)
CAGR -54.4% | Win 29%
Sharpe -2.33 | Sortino -3.70 | Calmar -1.9
Vol 31% | MDD -28.2%
Months 7M (3%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR -6.1% | Win 45%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -83.2%
Months 98M (46%)
CAGR -60.1% | Win 44%
Sharpe -0.90 | Sortino -1.45 | Calmar -0.7
Vol 70% | MDD -80.7%
Months 16M (8%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
RSmean
only
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.2% | Win 50%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 41% | MDD -60.4%
Months 42M (20%)
CAGR 7.2% | Win 55%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 37% | MDD -50.9%
Months 58M (27%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR -0.6% | Win 38%
Sharpe 0.17 | Sortino 0.35 | Calmar -0.0
Vol 39% | MDD -44.7%
Months 34M (16%)
CAGR -22.7% | Win 48%
Sharpe -0.24 | Sortino -0.36 | Calmar -0.3
Vol 50% | MDD -90.5%
Months 80M (37%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
MACD
only
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 17.3% | Win 57%
Sharpe 0.62 | Sortino 1.09 | Calmar 0.3
Vol 36% | MDD -60.4%
Months 61M (28%)
CAGR -9.7% | Win 46%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.2
Vol 42% | MDD -55.6%
Months 39M (18%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR -26.6% | Win 35%
Sharpe -0.44 | Sortino -0.70 | Calmar -0.5
Vol 46% | MDD -52.1%
Months 20M (9%)
CAGR -14.4% | Win 47%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.2
Vol 48% | MDD -85.3%
Months 94M (44%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
RSI
only
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 43.4% | Win 64%
Sharpe 1.18 | Sortino 2.01 | Calmar 1.4
Vol 37% | MDD -31.5%
Months 72M (34%)
CAGR -51.4% | Win 25%
Sharpe -1.86 | Sortino -3.01 | Calmar -0.6
Vol 34% | MDD -85.4%
Months 28M (13%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR -32.1% | Win 24%
Sharpe -0.59 | Sortino -0.86 | Calmar -0.5
Vol 46% | MDD -63.4%
Months 25M (12%)
CAGR -11.7% | Win 51%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 48% | MDD -81.7%
Months 89M (42%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
MACDhist
only
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.3% | Win 55%
Sharpe 0.52 | Sortino 0.90 | Calmar 0.2
Vol 38% | MDD -60.5%
Months 89M (42%)
CAGR -38.7% | Win 36%
Sharpe -0.93 | Sortino -1.88 | Calmar -0.8
Vol 43% | MDD -45.8%
Months 11M (5%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR 36.8% | Win 62%
Sharpe 0.81 | Sortino 1.90 | Calmar 1.2
Vol 56% | MDD -30.2%
Months 8M (4%)
CAGR -19.7% | Win 43%
Sharpe -0.22 | Sortino -0.34 | Calmar -0.2
Vol 47% | MDD -93.7%
Months 106M (50%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 21.6% | Win 54%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.4
Vol 38% | MDD -54.4%
Months 68M (32%)
CAGR -21.1% | Win 50%
Sharpe -0.42 | Sortino -0.75 | Calmar -0.4
Vol 38% | MDD -59.3%
Months 32M (15%)
CAGR 5.9% | Win 53%
Sharpe 0.34 | Sortino 0.60 | Calmar 0.1
Vol 38% | MDD -76.3%
Months 100M (47%)
SLmean
neg
CAGR -40.7% | Win 35%
Sharpe -0.69 | Sortino -0.99 | Calmar -0.4
Vol 52% | MDD -93.3%
Months 54M (25%)
CAGR 13.1% | Win 53%
Sharpe 0.50 | Sortino 1.12 | Calmar 0.2
Vol 41% | MDD -55.8%
Months 60M (28%)
CAGR -16.7% | Win 45%
Sharpe -0.14 | Sortino -0.21 | Calmar -0.2
Vol 47% | MDD -92.3%
Months 114M (53%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 45%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.1
Vol 40% | MDD -52.4%
Months 71M (33%)
CAGR 2.2% | Win 52%
Sharpe 0.26 | Sortino 0.44 | Calmar 0.0
Vol 41% | MDD -79.4%
Months 120M (56%)
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
RSmean
neg
CAGR -17.3% | Win 40%
Sharpe -0.41 | Sortino -0.81 | Calmar -1.1
Vol 34% | MDD -15.9%
Months 5M (2%)
CAGR -65.6% | Win 39%
Sharpe -1.22 | Sortino -1.99 | Calmar -0.8
Vol 66% | MDD -81.1%
Months 18M (8%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
MACD
only
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 14.4% | Win 54%
Sharpe 0.54 | Sortino 1.00 | Calmar 0.3
Vol 37% | MDD -48.5%
Months 74M (35%)
CAGR -4.1% | Win 47%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.1
Vol 42% | MDD -79.4%
Months 117M (55%)
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
RSmean
neg
CAGR -60.1% | Win 29%
Sharpe -1.59 | Sortino -1.96 | Calmar -1.6
Vol 48% | MDD -38.6%
Months 7M (3%)
CAGR -57.7% | Win 44%
Sharpe -0.92 | Sortino -1.54 | Calmar -0.8
Vol 66% | MDD -70.6%
Months 16M (8%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
RSI
only
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 19.8% | Win 53%
Sharpe 0.66 | Sortino 1.02 | Calmar 0.3
Vol 40% | MDD -63.1%
Months 94M (44%)
CAGR -11.5% | Win 46%
Sharpe -0.10 | Sortino -0.21 | Calmar -0.1
Vol 40% | MDD -78.3%
Months 97M (45%)
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
RSmean
neg
CAGR -22.4% | Win 67%
Sharpe -0.48 | Sortino 0.00 | Calmar -1.5
Vol 40% | MDD -14.9%
Months 3M (1%)
CAGR -62.1% | Win 35%
Sharpe -1.15 | Sortino -1.77 | Calmar -0.8
Vol 63% | MDD -81.5%
Months 20M (9%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
MACDhist
only
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 25.1% | Win 57%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.5
Vol 38% | MDD -53.6%
Months 89M (42%)
CAGR -13.5% | Win 43%
Sharpe -0.13 | Sortino -0.23 | Calmar -0.2
Vol 42% | MDD -88.9%
Months 102M (48%)
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
RSmean
neg
CAGR -54.3% | Win 38%
Sharpe -1.68 | Sortino -2.84 | Calmar -1.5
Vol 41% | MDD -37.0%
Months 8M (4%)
CAGR -60.4% | Win 40%
Sharpe -0.92 | Sortino -1.40 | Calmar -0.7
Vol 70% | MDD -80.7%
Months 15M (7%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 47%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 40% | MDD -56.9%
Months 104M (49%)
CAGR 0.9% | Win 53%
Sharpe 0.22 | Sortino 0.47 | Calmar 0.0
Vol 41% | MDD -58.9%
Months 87M (41%)
CAGR 2.7% | Win 50%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -79.4%
Months 191M (89%)
RSmean
neg
CAGR -65.6% | Win 39%
Sharpe -1.21 | Sortino -2.09 | Calmar -0.8
Vol 66% | MDD -81.5%
Months 18M (8%)
CAGR -17.9% | Win 40%
Sharpe -0.49 | Sortino -0.64 | Calmar -3.5
Vol 32% | MDD -5.1%
Months 5M (2%)
CAGR -58.4% | Win 39%
Sharpe -1.09 | Sortino -1.67 | Calmar -0.7
Vol 60% | MDD -82.6%
Months 23M (11%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.7% | Win 47%
Sharpe 0.24 | Sortino 0.48 | Calmar 0.0
Vol 40% | MDD -53.5%
Months 60M (28%)
CAGR 3.3% | Win 38%
Sharpe 0.26 | Sortino 0.52 | Calmar 0.1
Vol 38% | MDD -32.5%
Months 16M (8%)
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
MACD
neg
CAGR 12.7% | Win 67%
Sharpe 0.53 | Sortino 0.50 | Calmar 0.4
Vol 35% | MDD -31.7%
Months 21M (10%)
CAGR -15.1% | Win 48%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.2
Vol 47% | MDD -91.3%
Months 117M (55%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
RSI
only
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.9% | Win 45%
Sharpe 0.48 | Sortino 0.91 | Calmar 0.2
Vol 38% | MDD -48.2%
Months 49M (23%)
CAGR -13.7% | Win 44%
Sharpe -0.14 | Sortino -0.34 | Calmar -0.3
Vol 42% | MDD -45.3%
Months 27M (13%)
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
MACD
neg
CAGR 25.1% | Win 62%
Sharpe 0.76 | Sortino 0.96 | Calmar 0.4
Vol 42% | MDD -68.6%
Months 48M (22%)
CAGR -26.2% | Win 44%
Sharpe -0.40 | Sortino -0.65 | Calmar -0.3
Vol 46% | MDD -92.0%
Months 90M (42%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
MACDhist
only
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 50%
Sharpe 0.31 | Sortino 0.58 | Calmar 0.1
Vol 43% | MDD -47.6%
Months 36M (17%)
CAGR -0.1% | Win 40%
Sharpe 0.17 | Sortino 0.37 | Calmar -0.0
Vol 37% | MDD -40.1%
Months 40M (19%)
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
MACD
neg
CAGR 21.9% | Win 59%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 37% | MDD -52.6%
Months 61M (28%)
CAGR -31.1% | Win 44%
Sharpe -0.46 | Sortino -0.71 | Calmar -0.3
Vol 50% | MDD -92.4%
Months 77M (36%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -0.6% | Win 43%
Sharpe 0.18 | Sortino 0.35 | Calmar -0.0
Vol 40% | MDD -54.4%
Months 67M (31%)
CAGR 24.0% | Win 56%
Sharpe 0.70 | Sortino 1.27 | Calmar 1.4
Vol 42% | MDD -16.7%
Months 9M (4%)
CAGR 2.0% | Win 45%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 40% | MDD -52.4%
Months 76M (36%)
MACD
neg
CAGR -23.2% | Win 49%
Sharpe -0.21 | Sortino -0.27 | Calmar -0.3
Vol 52% | MDD -89.6%
Months 55M (26%)
CAGR -2.5% | Win 52%
Sharpe 0.13 | Sortino 0.28 | Calmar -0.0
Vol 40% | MDD -58.7%
Months 83M (39%)
CAGR -11.3% | Win 51%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 45% | MDD -94.4%
Months 138M (64%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 22.3% | Win 56%
Sharpe 0.75 | Sortino 1.30 | Calmar 0.5
Vol 36% | MDD -44.6%
Months 61M (28%)
CAGR -35.4% | Win 40%
Sharpe -0.69 | Sortino -1.20 | Calmar -0.7
Vol 47% | MDD -49.0%
Months 20M (9%)
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
RSI
neg
CAGR 11.7% | Win 50%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 47% | MDD -68.6%
Months 36M (17%)
CAGR -20.8% | Win 45%
Sharpe -0.27 | Sortino -0.46 | Calmar -0.2
Vol 45% | MDD -88.3%
Months 97M (45%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
MACDhist
only
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 19.0% | Win 58%
Sharpe 0.65 | Sortino 1.11 | Calmar 0.4
Vol 37% | MDD -47.6%
Months 55M (26%)
CAGR -20.7% | Win 38%
Sharpe -0.33 | Sortino -0.53 | Calmar -0.4
Vol 42% | MDD -47.9%
Months 26M (12%)
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
RSI
neg
CAGR 10.2% | Win 52%
Sharpe 0.43 | Sortino 0.81 | Calmar 0.2
Vol 42% | MDD -52.6%
Months 42M (20%)
CAGR -22.0% | Win 44%
Sharpe -0.27 | Sortino -0.42 | Calmar -0.2
Vol 47% | MDD -89.2%
Months 91M (42%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.6% | Win 51%
Sharpe 0.29 | Sortino 0.47 | Calmar 0.1
Vol 40% | MDD -48.6%
Months 70M (33%)
CAGR 10.2% | Win 55%
Sharpe 0.43 | Sortino 0.78 | Calmar 0.6
Vol 37% | MDD -16.7%
Months 11M (5%)
CAGR 4.4% | Win 52%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -53.5%
Months 81M (38%)
RSI
neg
CAGR -28.4% | Win 38%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.3
Vol 53% | MDD -83.9%
Months 52M (24%)
CAGR -1.5% | Win 52%
Sharpe 0.16 | Sortino 0.34 | Calmar -0.0
Vol 41% | MDD -57.7%
Months 81M (38%)
CAGR -13.0% | Win 47%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.1
Vol 46% | MDD -91.3%
Months 133M (62%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 49.7% | Win 65%
Sharpe 1.26 | Sortino 2.16 | Calmar 1.6
Vol 38% | MDD -30.8%
Months 69M (32%)
CAGR -33.9% | Win 25%
Sharpe -0.77 | Sortino -1.05 | Calmar -0.5
Vol 41% | MDD -68.8%
Months 28M (13%)
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
MACDhist
neg
CAGR -39.8% | Win 32%
Sharpe -1.18 | Sortino -2.00 | Calmar -0.6
Vol 36% | MDD -71.6%
Months 28M (13%)
CAGR -17.5% | Win 48%
Sharpe -0.15 | Sortino -0.25 | Calmar -0.2
Vol 48% | MDD -82.1%
Months 89M (42%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
RSIhist
only
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.9% | Win 47%
Sharpe 0.33 | Sortino 0.49 | Calmar 0.1
Vol 40% | MDD -65.0%
Months 78M (36%)
CAGR 93.6% | Win 79%
Sharpe 2.00 | Sortino 4.79 | Calmar 6.4
Vol 37% | MDD -14.6%
Months 19M (9%)
CAGR 18.2% | Win 54%
Sharpe 0.62 | Sortino 0.96 | Calmar 0.3
Vol 40% | MDD -68.6%
Months 97M (45%)
MACDhist
neg
CAGR -34.5% | Win 43%
Sharpe -0.49 | Sortino -0.78 | Calmar -0.4
Vol 54% | MDD -80.7%
Months 44M (21%)
CAGR -16.0% | Win 45%
Sharpe -0.24 | Sortino -0.48 | Calmar -0.2
Vol 40% | MDD -75.5%
Months 73M (34%)
CAGR -23.5% | Win 44%
Sharpe -0.35 | Sortino -0.59 | Calmar -0.2
Vol 45% | MDD -94.3%
Months 117M (55%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.4% | Win 53%
Sharpe 0.47 | Sortino 0.80 | Calmar 0.2
Vol 39% | MDD -48.8%
Months 64M (30%)
CAGR 22.5% | Win 61%
Sharpe 0.71 | Sortino 1.40 | Calmar 0.6
Vol 39% | MDD -35.1%
Months 33M (15%)
CAGR 15.1% | Win 56%
Sharpe 0.55 | Sortino 0.98 | Calmar 0.2
Vol 39% | MDD -60.5%
Months 97M (45%)
RSIhist
neg
CAGR -31.4% | Win 38%
Sharpe -0.44 | Sortino -0.63 | Calmar -0.4
Vol 51% | MDD -87.8%
Months 58M (27%)
CAGR -11.0% | Win 48%
Sharpe -0.09 | Sortino -0.18 | Calmar -0.2
Vol 41% | MDD -64.8%
Months 59M (28%)
CAGR -21.8% | Win 43%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.2
Vol 46% | MDD -93.9%
Months 117M (55%)
LWTI
only
CAGR -11.5% | Win 46%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 46% | MDD -89.6%
Months 122M (57%)
CAGR -0.2% | Win 52%
Sharpe 0.19 | Sortino 0.40 | Calmar -0.0
Vol 40% | MDD -57.7%
Months 92M (43%)