TIP - iShares TIPS Bond ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

21.2%

Best CAGR

79

Total Months

3.7%

Avg CAGR

TIP 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 TIP

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 RSI neg-neg 2 0.7 21.2 100.0 9.9 0.0 0.0 2.0 0.0
pair RSI RSmean neg-neg 2 0.7 21.2 100.0 9.9 0.0 0.0 2.0 0.0
pair RSIhist MRmean neg-pos 2 0.7 21.1 100.0 10.1 0.0 0.0 1.9 0.0
pair MRmean RSIhist neg-pos 2 0.7 21.1 100.0 10.1 0.0 0.0 1.9 0.0
pair MACDhist RSI neg-pos 2 0.7 15.5 100.0 5.2 0.0 0.0 2.8 0.0
pair RSI MACDhist neg-pos 2 0.7 15.5 100.0 5.2 0.0 0.0 2.8 0.0
pair RSI MRmean pos-neg 5 1.8 13.0 80.0 2.0 0.0 10.8 6.2 -1.2
pair MRmean RSI pos-neg 5 1.8 13.0 80.0 2.0 0.0 10.8 6.2 -1.2
pair RSI LWTI neg-pos 22 8.0 12.4 72.7 1.6 3.6 3.8 7.5 -3.3
pair LWTI RSI neg-pos 22 8.0 12.4 72.7 1.6 3.6 3.8 7.5 -3.3
pair RSI LWTI pos-neg 10 3.6 12.2 70.0 1.6 3.9 6.8 7.3 -1.8
pair LWTI RSI pos-neg 10 3.6 12.2 70.0 1.6 3.9 6.8 7.3 -1.8
pair SLmean MRmean pos-neg 23 8.4 9.0 65.2 2.1 5.8 8.5 4.2 -1.1
pair MRmean SLmean pos-neg 23 8.4 9.0 65.2 2.1 5.8 8.5 4.2 -1.1
pair MACD SLmean neg-neg 29 10.6 7.8 65.5 1.3 1.6 1.6 5.9 -4.8
pair SLmean MACD neg-neg 29 10.6 7.8 65.5 1.3 1.6 1.6 5.9 -4.8
pair MACD RSmean neg-neg 14 5.1 7.8 78.6 1.2 0.8 1.6 6.3 -4.8
pair RSmean MACD neg-neg 14 5.1 7.8 78.6 1.2 0.8 1.6 6.3 -4.8
pair RSI RSIhist neg-pos 5 1.8 7.8 80.0 1.6 0.0 6.5 4.7 -1.2
pair RSIhist RSI neg-pos 5 1.8 7.8 80.0 1.6 0.0 6.5 4.7 -1.2
pair RSmean MACDhist neg-pos 2 0.7 7.5 100.0 9.5 0.0 0.0 0.8 0.0
pair MACDhist RSmean neg-pos 2 0.7 7.5 100.0 9.5 0.0 0.0 0.8 0.0
pair SLmean RSI neg-neg 38 13.9 6.7 63.2 0.9 1.2 1.0 7.7 -6.7
pair RSI SLmean neg-neg 38 13.9 6.7 63.2 0.9 1.2 1.0 7.7 -6.7
pair MACD RSI neg-neg 22 8.0 6.4 59.1 1.2 3.4 1.3 5.2 -4.9
pair RSI MACD neg-neg 22 8.0 6.4 59.1 1.2 3.4 1.3 5.2 -4.9
pair SLmean RSmean neg-neg 14 5.1 6.4 71.4 1.0 0.8 1.3 6.5 -4.8
pair RSmean SLmean neg-neg 14 5.1 6.4 71.4 1.0 0.8 1.3 6.5 -4.8
pair RSmean MRmean neg-neg 14 5.1 6.4 71.4 1.0 0.8 1.3 6.5 -4.8
pair MRmean RSmean neg-neg 14 5.1 6.4 71.4 1.0 0.8 1.3 6.5 -4.8
pair MRmean MACD neg-neg 28 10.2 6.3 60.7 1.1 1.4 1.3 6.0 -4.8
pair MACD MRmean neg-neg 28 10.2 6.3 60.7 1.1 1.4 1.3 6.0 -4.8
pair RSIhist MACD neg-neg 35 12.8 6.1 62.9 1.1 1.4 1.3 5.7 -4.8
pair MACD RSIhist neg-neg 35 12.8 6.1 62.9 1.1 1.4 1.3 5.7 -4.8
single RSI RSI neg-neg 46 16.8 5.9 63.0 0.8 1.1 0.9 7.2 -6.7
pair RSI RSIhist neg-neg 41 15.0 5.7 61.0 0.8 1.1 0.8 7.5 -6.7
pair RSIhist RSI neg-neg 41 15.0 5.7 61.0 0.8 1.1 0.8 7.5 -6.7
pair RSI MACDhist neg-neg 44 16.1 5.5 61.4 0.8 1.1 0.8 7.4 -6.7
pair MACDhist RSI neg-neg 44 16.1 5.5 61.4 0.8 1.1 0.8 7.4 -6.7
pair MACD RSI pos-neg 24 8.8 5.5 66.7 0.7 0.8 0.8 8.8 -6.7
pair RSI MACD pos-neg 24 8.8 5.5 66.7 0.7 0.8 0.8 8.8 -6.7
pair LWTI MACD neg-pos 36 13.1 5.3 69.4 0.9 1.1 1.1 5.6 -4.8
pair MACD LWTI neg-pos 36 13.1 5.3 69.4 0.9 1.1 1.1 5.6 -4.8
pair RSI RSmean pos-neg 44 16.1 5.3 61.4 0.7 1.0 0.8 7.4 -6.7
pair RSmean RSI pos-neg 44 16.1 5.3 61.4 0.7 1.0 0.8 7.4 -6.7
pair MACDhist SLmean neg-neg 77 28.1 5.1 64.9 0.7 1.0 0.6 7.1 -8.7
pair MRmean RSI neg-neg 41 15.0 5.1 61.0 0.7 1.0 0.8 7.4 -6.7
pair SLmean MACDhist neg-neg 77 28.1 5.1 64.9 0.7 1.0 0.6 7.1 -8.7
pair RSI MRmean neg-neg 41 15.0 5.1 61.0 0.7 1.0 0.8 7.4 -6.7
pair SLmean LWTI neg-neg 19 6.9 5.0 57.9 0.6 0.7 0.8 8.7 -6.7
pair MACD MACDhist neg-neg 45 16.4 5.0 64.4 0.9 1.2 1.0 5.4 -4.9
pair MACDhist MACD neg-neg 45 16.4 5.0 64.4 0.9 1.2 1.0 5.4 -4.9
pair LWTI SLmean neg-neg 19 6.9 5.0 57.9 0.6 0.7 0.8 8.7 -6.7
single MACD MACD neg-neg 51 18.6 4.9 64.7 0.9 1.3 1.0 5.3 -4.9
pair MRmean LWTI neg-neg 24 8.8 4.9 58.3 0.6 0.8 0.7 7.9 -6.7
pair LWTI MRmean neg-neg 24 8.8 4.9 58.3 0.6 0.8 0.7 7.9 -6.7
pair RSIhist MRmean pos-neg 55 20.1 4.6 65.5 0.9 1.0 0.9 5.0 -5.0
pair MRmean RSIhist pos-neg 55 20.1 4.6 65.5 0.9 1.0 0.9 5.0 -5.0
pair RSIhist SLmean neg-neg 90 32.8 4.5 64.4 0.6 0.7 0.5 7.3 -8.7
pair SLmean RSIhist neg-neg 90 32.8 4.5 64.4 0.6 0.7 0.5 7.3 -8.7
pair MRmean MACDhist pos-pos 140 51.1 4.4 63.6 1.0 1.6 0.8 4.6 -5.8
pair MACDhist MRmean pos-pos 140 51.1 4.4 63.6 1.0 1.6 0.8 4.6 -5.8
pair RSIhist LWTI neg-neg 23 8.4 4.4 56.5 0.6 0.7 0.7 8.1 -6.7
pair LWTI RSIhist neg-neg 23 8.4 4.4 56.5 0.6 0.7 0.7 8.1 -6.7
single SLmean SLmean neg-neg 92 33.6 4.4 64.1 0.6 0.7 0.5 7.3 -8.7
pair MACD MACDhist neg-pos 6 2.2 4.3 66.7 0.9 2.8 2.6 5.0 -1.7
pair LWTI SLmean neg-pos 73 26.6 4.3 65.8 0.6 0.7 0.5 6.9 -8.1
pair MACDhist MACD neg-pos 6 2.2 4.3 66.7 0.9 2.8 2.6 5.0 -1.7
pair SLmean LWTI neg-pos 73 26.6 4.3 65.8 0.6 0.7 0.5 6.9 -8.1
pair SLmean MACDhist pos-pos 128 46.7 4.2 64.1 0.9 1.5 0.8 4.7 -5.6
pair MACDhist SLmean pos-pos 128 46.7 4.2 64.1 0.9 1.5 0.8 4.7 -5.6
pair LWTI RSIhist pos-pos 134 48.9 4.1 62.7 0.9 1.7 0.6 4.5 -6.9
pair LWTI MACD neg-neg 15 5.5 4.1 53.3 0.8 2.5 1.8 4.9 -2.3
pair MACD RSIhist pos-pos 129 47.1 4.1 62.0 0.9 1.7 0.6 4.5 -7.1
pair MACD LWTI neg-neg 15 5.5 4.1 53.3 0.8 2.5 1.8 4.9 -2.3
pair LWTI MACDhist neg-neg 32 11.7 4.1 59.4 0.6 0.7 0.6 7.2 -6.7
pair RSIhist MACDhist neg-pos 31 11.3 4.1 67.7 1.0 1.5 1.7 4.0 -2.5
pair MACDhist RSIhist neg-pos 31 11.3 4.1 67.7 1.0 1.5 1.7 4.0 -2.5
pair RSIhist LWTI pos-pos 134 48.9 4.1 62.7 0.9 1.7 0.6 4.5 -6.9
pair MACDhist LWTI neg-neg 32 11.7 4.1 59.4 0.6 0.7 0.6 7.2 -6.7
pair MRmean LWTI pos-pos 188 68.6 4.1 63.3 0.9 1.3 0.6 4.7 -7.1
pair RSIhist MACD pos-pos 129 47.1 4.1 62.0 0.9 1.7 0.6 4.5 -7.1
pair RSmean MRmean pos-pos 192 70.1 4.1 63.0 0.9 1.4 0.6 4.6 -6.8
pair MRmean RSmean pos-pos 192 70.1 4.1 63.0 0.9 1.4 0.6 4.6 -6.8
pair SLmean RSmean neg-pos 78 28.5 4.1 62.8 0.6 0.7 0.5 7.4 -8.7
pair LWTI MRmean pos-pos 188 68.6 4.1 63.3 0.9 1.3 0.6 4.7 -7.1
pair RSmean SLmean neg-pos 78 28.5 4.1 62.8 0.6 0.7 0.5 7.4 -8.7
pair MACDhist LWTI pos-pos 141 51.5 4.0 63.8 0.8 0.9 0.3 5.3 -11.8
pair RSIhist SLmean pos-pos 143 52.2 4.0 62.9 0.9 1.6 0.8 4.5 -4.8
pair SLmean RSIhist pos-pos 143 52.2 4.0 62.9 0.9 1.6 0.8 4.5 -4.8
pair MRmean MACD pos-pos 175 63.9 4.0 62.3 0.9 1.3 0.6 4.7 -6.9
pair MACD MRmean pos-pos 175 63.9 4.0 62.3 0.9 1.3 0.6 4.7 -6.9
pair MACDhist RSIhist pos-neg 29 10.6 4.0 72.4 0.6 0.4 0.3 7.2 -11.8
pair RSIhist MACDhist pos-neg 29 10.6 4.0 72.4 0.6 0.4 0.3 7.2 -11.8
pair LWTI MACDhist pos-pos 141 51.5 4.0 63.8 0.8 0.9 0.3 5.3 -11.8
single RSIhist RSIhist pos-pos 145 52.9 3.9 62.8 0.9 1.6 0.7 4.5 -5.3
single MRmean MRmean pos-pos 198 72.3 3.9 63.1 0.9 1.3 0.6 4.6 -6.8
pair RSIhist MACDhist pos-pos 114 41.6 3.9 61.4 0.8 1.6 0.5 4.6 -7.1
pair MACD MACDhist pos-pos 137 50.0 3.9 63.5 0.8 0.9 0.3 5.3 -11.8
pair MACDhist MACD pos-pos 137 50.0 3.9 63.5 0.8 0.9 0.3 5.3 -11.8
pair RSIhist RSmean pos-pos 141 51.5 3.9 62.4 0.9 1.6 0.8 4.5 -5.3
pair RSmean RSIhist pos-pos 141 51.5 3.9 62.4 0.9 1.6 0.8 4.5 -5.3
pair RSIhist RSmean neg-neg 16 5.8 3.9 68.8 0.6 0.6 0.8 6.5 -4.8
pair RSmean RSIhist neg-neg 16 5.8 3.9 68.8 0.6 0.6 0.8 6.5 -4.8
single MACDhist MACDhist pos-pos 143 52.2 3.9 63.6 0.8 0.9 0.3 5.2 -11.8
pair MACDhist RSIhist pos-pos 114 41.6 3.9 61.4 0.8 1.6 0.5 4.6 -7.1
pair RSmean MACDhist pos-pos 141 51.5 3.8 63.1 0.7 0.9 0.3 5.3 -11.8
pair MACDhist RSmean pos-pos 141 51.5 3.8 63.1 0.7 0.9 0.3 5.3 -11.8
pair MACD RSmean pos-neg 37 13.5 3.8 59.5 0.8 1.7 0.8 5.0 -4.9
pair RSmean MACD pos-neg 37 13.5 3.8 59.5 0.8 1.7 0.8 5.0 -4.9
pair RSI RSIhist pos-pos 140 51.1 3.8 62.1 0.8 1.6 0.7 4.5 -5.5
pair RSIhist RSI pos-pos 140 51.1 3.8 62.1 0.8 1.6 0.7 4.5 -5.5
pair MACD RSI neg-pos 29 10.6 3.8 69.0 0.7 0.7 0.8 5.5 -5.0
pair RSI MACD neg-pos 29 10.6 3.8 69.0 0.7 0.7 0.8 5.5 -5.0
pair RSIhist MRmean pos-pos 143 52.2 3.7 62.2 0.8 1.5 0.7 4.5 -5.5
pair MRmean RSIhist pos-pos 143 52.2 3.7 62.2 0.8 1.5 0.7 4.5 -5.5
single LWTI LWTI neg-neg 34 12.4 3.7 58.8 0.6 0.7 0.5 7.0 -7.3
pair RSmean LWTI pos-neg 34 12.4 3.7 58.8 0.6 0.7 0.5 7.0 -7.3
pair RSI MACDhist pos-pos 141 51.5 3.7 63.1 0.7 0.9 0.3 5.2 -11.8
pair MACDhist RSI pos-pos 141 51.5 3.7 63.1 0.7 0.9 0.3 5.2 -11.8
pair LWTI RSmean pos-neg 34 12.4 3.7 58.8 0.6 0.7 0.5 7.0 -7.3
pair RSI MRmean pos-pos 193 70.4 3.7 62.7 0.8 1.2 0.4 4.6 -8.8
pair MRmean RSI pos-pos 193 70.4 3.7 62.7 0.8 1.2 0.4 4.6 -8.8
single RSmean RSmean neg-neg 20 7.3 3.6 70.0 0.6 0.6 0.8 5.8 -4.8
pair LWTI RSmean neg-pos 20 7.3 3.6 70.0 0.6 0.6 0.8 5.8 -4.8
pair RSmean LWTI neg-pos 20 7.3 3.6 70.0 0.6 0.6 0.8 5.8 -4.8
pair LWTI RSmean pos-pos 220 80.3 3.4 62.7 0.6 0.8 0.3 5.5 -11.8
pair RSmean LWTI pos-pos 220 80.3 3.4 62.7 0.6 0.8 0.3 5.5 -11.8
pair benchmark___benchmark_ benchmark-benchmark 274 100.0 3.4 62.8 0.6 0.8 0.2 5.7 -13.9
pair benchmark___benchmark_ benchmark-benchmark 274 100.0 3.4 62.8 0.6 0.8 0.2 5.7 -13.9
single LWTI LWTI pos-pos 240 87.6 3.4 63.3 0.6 0.8 0.3 5.5 -11.8
single RSmean RSmean pos-pos 254 92.7 3.4 62.2 0.6 0.8 0.2 5.7 -13.9
pair LWTI MACD pos-neg 19 6.9 3.3 63.2 0.4 0.5 0.5 8.4 -7.3
pair MACD LWTI pos-neg 19 6.9 3.3 63.2 0.4 0.5 0.5 8.4 -7.3
pair MRmean SLmean pos-pos 175 63.9 3.3 62.9 0.7 1.1 0.4 4.7 -7.5
pair SLmean MRmean pos-pos 175 63.9 3.3 62.9 0.7 1.1 0.4 4.7 -7.5
pair MACD RSmean pos-pos 217 79.2 3.3 62.7 0.6 0.7 0.2 5.8 -13.9
pair RSmean MACD pos-pos 217 79.2 3.3 62.7 0.6 0.7 0.2 5.8 -13.9
pair RSmean MACDhist neg-neg 18 6.6 3.2 66.7 0.6 0.6 0.7 6.1 -4.8
pair MACDhist RSmean neg-neg 18 6.6 3.2 66.7 0.6 0.6 0.7 6.1 -4.8
pair MRmean MACD pos-neg 23 8.4 3.2 69.6 0.7 1.2 1.3 4.4 -2.5
pair MACD MRmean pos-neg 23 8.4 3.2 69.6 0.7 1.2 1.3 4.4 -2.5
pair MRmean MACDhist neg-neg 73 26.6 3.2 61.6 0.5 0.6 0.3 7.2 -11.2
pair MACDhist MRmean neg-neg 73 26.6 3.2 61.6 0.5 0.6 0.3 7.2 -11.2
pair SLmean MACD pos-pos 160 58.4 3.2 61.9 0.7 1.0 0.4 4.8 -7.9
pair MACD SLmean pos-pos 160 58.4 3.2 61.9 0.7 1.0 0.4 4.8 -7.9
pair RSmean SLmean pos-pos 176 64.2 3.1 61.9 0.7 1.0 0.3 4.8 -8.8
pair SLmean RSmean pos-pos 176 64.2 3.1 61.9 0.7 1.0 0.3 4.8 -8.8
single MACD MACD pos-pos 223 81.4 3.1 62.3 0.6 0.7 0.2 5.8 -13.9
pair MACD LWTI pos-pos 204 74.5 3.1 62.3 0.6 0.7 0.3 5.5 -11.8
pair LWTI MACD pos-pos 204 74.5 3.1 62.3 0.6 0.7 0.3 5.5 -11.8
pair RSmean RSI pos-pos 210 76.6 3.0 62.4 0.6 0.7 0.2 5.3 -13.8
pair RSI RSmean pos-pos 210 76.6 3.0 62.4 0.6 0.7 0.2 5.3 -13.8
single MACDhist MACDhist neg-neg 131 47.8 3.0 61.8 0.5 0.7 0.2 6.2 -12.9
pair MRmean SLmean neg-neg 69 25.2 3.0 63.8 0.4 0.5 0.3 8.0 -8.7
pair SLmean MRmean neg-neg 69 25.2 3.0 63.8 0.4 0.5 0.3 8.0 -8.7
pair LWTI SLmean pos-pos 167 60.9 3.0 62.3 0.7 1.0 0.3 4.8 -8.8
pair SLmean LWTI pos-pos 167 60.9 3.0 62.3 0.7 1.0 0.3 4.8 -8.8
pair SLmean RSI pos-pos 174 63.5 3.0 62.1 0.6 0.9 0.3 4.8 -8.7
pair RSI SLmean pos-pos 174 63.5 3.0 62.1 0.6 0.9 0.3 4.8 -8.7
pair SLmean MACD neg-pos 63 23.0 2.9 63.5 0.4 0.4 0.3 7.8 -8.7
pair MACD SLmean neg-pos 63 23.0 2.9 63.5 0.4 0.4 0.3 7.8 -8.7
single RSI RSI pos-pos 228 83.2 2.9 62.7 0.6 0.7 0.2 5.3 -13.8
single SLmean SLmean pos-pos 182 66.4 2.9 62.1 0.6 1.0 0.3 4.7 -8.8
single RSIhist RSIhist neg-neg 129 47.1 2.9 62.8 0.5 0.5 0.2 6.8 -12.9
pair MACDhist RSmean pos-neg 113 41.2 2.9 61.1 0.5 0.7 0.2 6.2 -12.9
pair RSI SLmean neg-pos 54 19.7 2.9 64.8 0.4 0.4 0.4 7.0 -8.1
pair SLmean RSI neg-pos 54 19.7 2.9 64.8 0.4 0.4 0.4 7.0 -8.1
pair RSmean MACDhist pos-neg 113 41.2 2.9 61.1 0.5 0.7 0.2 6.2 -12.9
pair RSmean RSIhist pos-neg 113 41.2 2.8 61.9 0.4 0.5 0.2 6.9 -12.9
pair RSI MACD pos-pos 199 72.6 2.8 61.8 0.6 0.7 0.2 5.3 -13.8
pair MACD RSI pos-pos 199 72.6 2.8 61.8 0.6 0.7 0.2 5.3 -13.8
pair RSIhist RSmean pos-neg 113 41.2 2.8 61.9 0.4 0.5 0.2 6.9 -12.9
pair MRmean MACDhist pos-neg 58 21.2 2.7 62.1 0.6 0.8 0.7 4.6 -4.2
pair MACDhist MRmean pos-neg 58 21.2 2.7 62.1 0.6 0.8 0.7 4.6 -4.2
pair MACDhist LWTI neg-pos 99 36.1 2.6 62.6 0.5 0.6 0.2 5.9 -10.4
pair RSIhist LWTI neg-pos 106 38.7 2.6 64.2 0.4 0.5 0.2 6.6 -11.8
pair MACDhist RSIhist neg-neg 100 36.5 2.6 60.0 0.4 0.6 0.2 6.8 -12.9
pair RSIhist MACDhist neg-neg 100 36.5 2.6 60.0 0.4 0.6 0.2 6.8 -12.9
pair LWTI RSIhist neg-pos 106 38.7 2.6 64.2 0.4 0.5 0.2 6.6 -11.8
pair LWTI MACDhist neg-pos 99 36.1 2.6 62.6 0.5 0.6 0.2 5.9 -10.4
pair RSmean RSIhist neg-pos 4 1.5 2.5 75.0 1.1 0.0 3.6 2.2 -0.7
pair RSI SLmean pos-neg 8 2.9 2.5 62.5 0.6 1.7 1.0 4.4 -2.5
pair SLmean RSI pos-neg 8 2.9 2.5 62.5 0.6 1.7 1.0 4.4 -2.5
pair RSI LWTI pos-pos 218 79.6 2.5 62.4 0.5 0.6 0.2 5.2 -13.8
pair LWTI RSI pos-pos 218 79.6 2.5 62.4 0.5 0.6 0.2 5.2 -13.8
pair RSIhist RSmean neg-pos 4 1.5 2.5 75.0 1.1 0.0 3.6 2.2 -0.7
pair MACD RSIhist neg-pos 16 5.8 2.3 68.8 0.5 0.9 0.9 4.6 -2.5
pair RSIhist MACD neg-pos 16 5.8 2.3 68.8 0.5 0.9 0.9 4.6 -2.5
single MRmean MRmean neg-neg 76 27.7 2.2 61.8 0.3 0.4 0.2 7.9 -11.2
pair RSIhist LWTI pos-neg 11 4.0 2.1 63.6 0.6 0.9 1.2 4.0 -1.8
pair LWTI RSIhist pos-neg 11 4.0 2.1 63.6 0.6 0.9 1.2 4.0 -1.8
pair LWTI SLmean pos-neg 15 5.5 2.0 60.0 0.5 0.9 0.6 4.1 -3.1
pair SLmean LWTI pos-neg 15 5.5 2.0 60.0 0.5 0.9 0.6 4.1 -3.1
pair MACDhist MACD pos-neg 86 31.4 1.9 60.5 0.3 0.4 0.1 6.6 -13.9
pair MACD MACDhist pos-neg 86 31.4 1.9 60.5 0.3 0.4 0.1 6.6 -13.9
pair RSmean RSI neg-pos 18 6.6 1.8 66.7 0.3 0.3 0.4 5.9 -5.0
pair RSI RSmean neg-pos 18 6.6 1.8 66.7 0.3 0.3 0.4 5.9 -5.0
pair RSIhist MACD pos-neg 94 34.3 1.7 62.8 0.3 0.3 0.1 7.2 -12.9
pair MACD RSIhist pos-neg 94 34.3 1.7 62.8 0.3 0.3 0.1 7.2 -12.9
pair RSI MACDhist pos-neg 87 31.8 1.7 62.1 0.3 0.4 0.2 5.5 -9.8
pair MACDhist RSI pos-neg 87 31.8 1.7 62.1 0.3 0.4 0.2 5.5 -9.8
pair RSIhist MRmean neg-neg 74 27.0 1.7 60.8 0.2 0.3 0.1 7.9 -11.2
pair MRmean RSIhist neg-neg 74 27.0 1.7 60.8 0.2 0.3 0.1 7.9 -11.2
pair RSIhist RSI pos-neg 88 32.1 1.6 63.6 0.3 0.3 0.1 6.5 -13.8
pair RSI RSIhist pos-neg 88 32.1 1.6 63.6 0.3 0.3 0.1 6.5 -13.8
pair MRmean RSmean neg-pos 62 22.6 1.2 59.7 0.2 0.2 0.1 8.2 -11.2
pair RSmean MRmean neg-pos 62 22.6 1.2 59.7 0.2 0.2 0.1 8.2 -11.2
pair SLmean MACD pos-neg 22 8.0 1.2 63.6 0.3 0.5 0.3 4.4 -3.9
pair MACD SLmean pos-neg 22 8.0 1.2 63.6 0.3 0.5 0.3 4.4 -3.9
pair SLmean MACDhist neg-pos 15 5.5 1.0 60.0 0.2 0.1 0.1 8.5 -8.1
pair MACDhist SLmean neg-pos 15 5.5 1.0 60.0 0.2 0.1 0.1 8.5 -8.1
pair MRmean LWTI pos-neg 10 3.6 0.9 60.0 0.2 0.4 0.5 4.0 -1.8
pair LWTI MRmean pos-neg 10 3.6 0.9 60.0 0.2 0.4 0.5 4.0 -1.8
pair MRmean LWTI neg-pos 52 19.0 0.9 63.5 0.2 0.2 0.1 7.9 -11.2
pair LWTI MRmean neg-pos 52 19.0 0.9 63.5 0.2 0.2 0.1 7.9 -11.2
pair RSI LWTI neg-neg 24 8.8 0.3 54.2 0.1 0.1 0.1 6.7 -6.7
pair LWTI RSI neg-neg 24 8.8 0.3 54.2 0.1 0.1 0.1 6.7 -6.7
pair RSIhist SLmean neg-pos 2 0.7 0.1 50.0 0.0 0.0 0.0 2.4 0.0
pair SLmean RSIhist neg-pos 2 0.7 0.1 50.0 0.0 0.0 0.0 2.4 0.0
pair SLmean MACDhist pos-neg 54 19.7 -0.0 57.4 0.0 0.0 -0.0 4.6 -7.8
pair MACDhist SLmean pos-neg 54 19.7 -0.0 57.4 0.0 0.0 -0.0 4.6 -7.8
pair MRmean MACD neg-pos 48 17.5 -0.2 62.5 0.0 0.0 -0.0 8.8 -11.2
pair MACD MRmean neg-pos 48 17.5 -0.2 62.5 0.0 0.0 -0.0 8.8 -11.2
pair RSIhist SLmean pos-neg 39 14.2 -0.7 59.0 -0.1 -0.1 -0.1 5.4 -7.1
pair SLmean RSIhist pos-neg 39 14.2 -0.7 59.0 -0.1 -0.1 -0.1 5.4 -7.1
pair RSI MRmean neg-pos 35 12.8 -1.2 62.9 -0.1 -0.1 -0.1 8.4 -10.1
pair MRmean RSI neg-pos 35 12.8 -1.2 62.9 -0.1 -0.1 -0.1 8.4 -10.1
pair MRmean RSmean pos-neg 6 2.2 -2.6 66.7 -0.7 -0.7 -1.2 3.7 -2.1
pair RSmean MRmean pos-neg 6 2.2 -2.6 66.7 -0.7 -0.7 -1.2 3.7 -2.1
pair SLmean RSmean pos-neg 6 2.2 -2.6 66.7 -0.7 -0.7 -1.2 3.7 -2.1
pair RSmean SLmean pos-neg 6 2.2 -2.6 66.7 -0.7 -0.7 -1.2 3.7 -2.1
pair LWTI MACDhist pos-neg 2 0.7 -2.6 50.0 -1.2 0.0 -4.0 2.1 -0.6
pair MACDhist LWTI pos-neg 2 0.7 -2.6 50.0 -1.2 0.0 -4.0 2.1 -0.6
pair MRmean SLmean neg-pos 7 2.6 -5.4 42.9 -0.9 -1.6 -1.3 6.1 -4.0
pair SLmean MRmean neg-pos 7 2.6 -5.4 42.9 -0.9 -1.6 -1.3 6.1 -4.0
pair MACD RSmean neg-pos 6 2.2 -5.4 50.0 -1.6 -2.1 -4.2 3.6 -1.3
pair RSmean MACD neg-pos 6 2.2 -5.4 50.0 -1.6 -2.1 -4.2 3.6 -1.3
pair MACDhist MRmean neg-pos 3 1.1 -19.1 66.7 -1.0 0.0 0.0 19.3 0.0
pair MRmean MACDhist neg-pos 3 1.1 -19.1 66.7 -1.0 0.0 0.0 19.3 0.0

All Contingency Tables for TIP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.3% | Win 63%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 5% | MDD -7.5%
Months 175M (64%)
CAGR 9.0% | Win 65%
Sharpe 2.08 | Sortino 5.80 | Calmar 8.5
Vol 4% | MDD -1.1%
Months 23M (8%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR -5.4% | Win 43%
Sharpe -0.88 | Sortino -1.62 | Calmar -1.3
Vol 6% | MDD -4.0%
Months 7M (3%)
CAGR 3.0% | Win 64%
Sharpe 0.41 | Sortino 0.46 | Calmar 0.3
Vol 8% | MDD -8.7%
Months 69M (25%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
SLmean
only
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 63%
Sharpe 0.90 | Sortino 1.37 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 192M (70%)
CAGR -2.6% | Win 67%
Sharpe -0.69 | Sortino -0.72 | Calmar -1.2
Vol 4% | MDD -2.1%
Months 6M (2%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR 1.2% | Win 60%
Sharpe 0.19 | Sortino 0.24 | Calmar 0.1
Vol 8% | MDD -11.2%
Months 62M (23%)
CAGR 6.4% | Win 71%
Sharpe 0.99 | Sortino 0.85 | Calmar 1.3
Vol 6% | MDD -4.8%
Months 14M (5%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
RSmean
only
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.0% | Win 62%
Sharpe 0.87 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.9%
Months 175M (64%)
CAGR 3.2% | Win 70%
Sharpe 0.74 | Sortino 1.25 | Calmar 1.3
Vol 4% | MDD -2.5%
Months 23M (8%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR -0.2% | Win 62%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 9% | MDD -11.2%
Months 48M (18%)
CAGR 6.3% | Win 61%
Sharpe 1.05 | Sortino 1.37 | Calmar 1.3
Vol 6% | MDD -4.8%
Months 28M (10%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 63%
Sharpe 0.82 | Sortino 1.23 | Calmar 0.4
Vol 5% | MDD -8.8%
Months 193M (70%)
CAGR 13.0% | Win 80%
Sharpe 2.00 | Sortino 0.00 | Calmar 10.8
Vol 6% | MDD -1.2%
Months 5M (2%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR -1.2% | Win 63%
Sharpe -0.10 | Sortino -0.11 | Calmar -0.1
Vol 8% | MDD -10.1%
Months 35M (13%)
CAGR 5.1% | Win 61%
Sharpe 0.71 | Sortino 0.96 | Calmar 0.8
Vol 7% | MDD -6.7%
Months 41M (15%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
RSI
only
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.4% | Win 64%
Sharpe 0.96 | Sortino 1.59 | Calmar 0.8
Vol 5% | MDD -5.8%
Months 140M (51%)
CAGR 2.7% | Win 62%
Sharpe 0.60 | Sortino 0.77 | Calmar 0.6
Vol 5% | MDD -4.2%
Months 58M (21%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR -19.1% | Win 67%
Sharpe -1.02 | Sortino 0.00 | Calmar 0.0
Vol 19% | MDD 0.0%
Months 3M (1%)
CAGR 3.2% | Win 62%
Sharpe 0.47 | Sortino 0.64 | Calmar 0.3
Vol 7% | MDD -11.2%
Months 73M (27%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
MACDhist
only
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.7% | Win 62%
Sharpe 0.83 | Sortino 1.54 | Calmar 0.7
Vol 4% | MDD -5.5%
Months 143M (52%)
CAGR 4.6% | Win 66%
Sharpe 0.92 | Sortino 1.03 | Calmar 0.9
Vol 5% | MDD -5.0%
Months 55M (20%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR 21.1% | Win 100%
Sharpe 10.11 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 1.7% | Win 61%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 74M (27%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 63%
Sharpe 0.89 | Sortino 1.34 | Calmar 0.6
Vol 5% | MDD -7.1%
Months 188M (69%)
CAGR 0.9% | Win 60%
Sharpe 0.23 | Sortino 0.36 | Calmar 0.5
Vol 4% | MDD -1.8%
Months 10M (4%)
CAGR 3.9% | Win 63%
Sharpe 0.86 | Sortino 1.31 | Calmar 0.6
Vol 5% | MDD -6.8%
Months 198M (72%)
MRmean
neg
CAGR 0.9% | Win 64%
Sharpe 0.16 | Sortino 0.19 | Calmar 0.1
Vol 8% | MDD -11.2%
Months 52M (19%)
CAGR 4.9% | Win 58%
Sharpe 0.64 | Sortino 0.77 | Calmar 0.7
Vol 8% | MDD -6.7%
Months 24M (9%)
CAGR 2.2% | Win 62%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -11.2%
Months 76M (28%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 62%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 5% | MDD -8.8%
Months 176M (64%)
CAGR -2.6% | Win 67%
Sharpe -0.69 | Sortino -0.72 | Calmar -1.2
Vol 4% | MDD -2.1%
Months 6M (2%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 4.1% | Win 63%
Sharpe 0.58 | Sortino 0.66 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 78M (28%)
CAGR 6.4% | Win 71%
Sharpe 0.99 | Sortino 0.85 | Calmar 1.3
Vol 6% | MDD -4.8%
Months 14M (5%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
RSmean
only
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 62%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 5% | MDD -7.9%
Months 160M (58%)
CAGR 1.2% | Win 64%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.3
Vol 4% | MDD -3.9%
Months 22M (8%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 2.9% | Win 64%
Sharpe 0.41 | Sortino 0.44 | Calmar 0.3
Vol 8% | MDD -8.7%
Months 63M (23%)
CAGR 7.8% | Win 66%
Sharpe 1.31 | Sortino 1.58 | Calmar 1.6
Vol 6% | MDD -4.8%
Months 29M (11%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.0% | Win 62%
Sharpe 0.64 | Sortino 0.95 | Calmar 0.3
Vol 5% | MDD -8.7%
Months 174M (64%)
CAGR 2.5% | Win 62%
Sharpe 0.58 | Sortino 1.70 | Calmar 1.0
Vol 4% | MDD -2.5%
Months 8M (3%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 2.9% | Win 65%
Sharpe 0.44 | Sortino 0.43 | Calmar 0.4
Vol 7% | MDD -8.1%
Months 54M (20%)
CAGR 6.7% | Win 63%
Sharpe 0.87 | Sortino 1.17 | Calmar 1.0
Vol 8% | MDD -6.7%
Months 38M (14%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
RSI
only
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.2% | Win 64%
Sharpe 0.90 | Sortino 1.52 | Calmar 0.7
Vol 5% | MDD -5.6%
Months 128M (47%)
CAGR -0.0% | Win 57%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 5% | MDD -7.8%
Months 54M (20%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 1.0% | Win 60%
Sharpe 0.16 | Sortino 0.12 | Calmar 0.1
Vol 8% | MDD -8.1%
Months 15M (6%)
CAGR 5.1% | Win 65%
Sharpe 0.74 | Sortino 0.98 | Calmar 0.6
Vol 7% | MDD -8.7%
Months 77M (28%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
MACDhist
only
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 4.0% | Win 63%
Sharpe 0.89 | Sortino 1.64 | Calmar 0.8
Vol 4% | MDD -4.8%
Months 143M (52%)
CAGR -0.7% | Win 59%
Sharpe -0.11 | Sortino -0.13 | Calmar -0.1
Vol 5% | MDD -7.1%
Months 39M (14%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 0.1% | Win 50%
Sharpe 0.04 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 4.5% | Win 64%
Sharpe 0.64 | Sortino 0.71 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 90M (33%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.0% | Win 62%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 167M (61%)
CAGR 2.0% | Win 60%
Sharpe 0.50 | Sortino 0.94 | Calmar 0.6
Vol 4% | MDD -3.1%
Months 15M (6%)
CAGR 2.9% | Win 62%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 5% | MDD -8.8%
Months 182M (66%)
SLmean
neg
CAGR 4.3% | Win 66%
Sharpe 0.64 | Sortino 0.69 | Calmar 0.5
Vol 7% | MDD -8.1%
Months 73M (27%)
CAGR 5.0% | Win 58%
Sharpe 0.61 | Sortino 0.72 | Calmar 0.7
Vol 9% | MDD -6.7%
Months 19M (7%)
CAGR 4.4% | Win 64%
Sharpe 0.63 | Sortino 0.70 | Calmar 0.5
Vol 7% | MDD -8.7%
Months 92M (34%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.3% | Win 63%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 217M (79%)
CAGR 3.8% | Win 60%
Sharpe 0.79 | Sortino 1.72 | Calmar 0.8
Vol 5% | MDD -4.9%
Months 37M (14%)
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
RSmean
neg
CAGR -5.4% | Win 50%
Sharpe -1.55 | Sortino -2.11 | Calmar -4.3
Vol 4% | MDD -1.3%
Months 6M (2%)
CAGR 7.8% | Win 79%
Sharpe 1.22 | Sortino 0.84 | Calmar 1.6
Vol 6% | MDD -4.8%
Months 14M (5%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.0% | Win 62%
Sharpe 0.59 | Sortino 0.73 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 210M (77%)
CAGR 5.3% | Win 61%
Sharpe 0.74 | Sortino 1.02 | Calmar 0.8
Vol 7% | MDD -6.7%
Months 44M (16%)
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
RSmean
neg
CAGR 1.8% | Win 67%
Sharpe 0.34 | Sortino 0.33 | Calmar 0.4
Vol 6% | MDD -5.0%
Months 18M (7%)
CAGR 21.2% | Win 100%
Sharpe 9.91 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
RSI
only
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 63%
Sharpe 0.74 | Sortino 0.88 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 141M (52%)
CAGR 2.9% | Win 61%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 113M (41%)
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
RSmean
neg
CAGR 7.5% | Win 100%
Sharpe 9.53 | Sortino 0.00 | Calmar 0.0
Vol 1% | MDD 0.0%
Months 2M (1%)
CAGR 3.2% | Win 67%
Sharpe 0.55 | Sortino 0.55 | Calmar 0.7
Vol 6% | MDD -4.8%
Months 18M (7%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
MACDhist
only
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 62%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 141M (52%)
CAGR 2.8% | Win 62%
Sharpe 0.43 | Sortino 0.50 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 113M (41%)
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
RSmean
neg
CAGR 2.5% | Win 75%
Sharpe 1.14 | Sortino 0.00 | Calmar 3.6
Vol 2% | MDD -0.7%
Months 4M (2%)
CAGR 3.9% | Win 69%
Sharpe 0.62 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 16M (6%)
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.4% | Win 63%
Sharpe 0.63 | Sortino 0.81 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 220M (80%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
CAGR 3.4% | Win 62%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 254M (93%)
RSmean
neg
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
-
CAGR 3.6% | Win 70%
Sharpe 0.64 | Sortino 0.61 | Calmar 0.8
Vol 6% | MDD -4.8%
Months 20M (7%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.8% | Win 62%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 199M (73%)
CAGR 5.5% | Win 67%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.8
Vol 9% | MDD -6.7%
Months 24M (9%)
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
MACD
neg
CAGR 3.8% | Win 69%
Sharpe 0.70 | Sortino 0.74 | Calmar 0.8
Vol 6% | MDD -5.0%
Months 29M (11%)
CAGR 6.4% | Win 59%
Sharpe 1.23 | Sortino 3.38 | Calmar 1.3
Vol 5% | MDD -4.9%
Months 22M (8%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
RSI
only
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.87 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 137M (50%)
CAGR 1.9% | Win 60%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 7% | MDD -13.9%
Months 86M (31%)
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
MACD
neg
CAGR 4.3% | Win 67%
Sharpe 0.87 | Sortino 2.77 | Calmar 2.6
Vol 5% | MDD -1.7%
Months 6M (2%)
CAGR 5.0% | Win 64%
Sharpe 0.93 | Sortino 1.23 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 45M (16%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
MACDhist
only
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.1% | Win 62%
Sharpe 0.92 | Sortino 1.74 | Calmar 0.6
Vol 4% | MDD -7.1%
Months 129M (47%)
CAGR 1.7% | Win 63%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.1
Vol 7% | MDD -12.9%
Months 94M (34%)
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
MACD
neg
CAGR 2.3% | Win 69%
Sharpe 0.52 | Sortino 0.94 | Calmar 0.9
Vol 5% | MDD -2.5%
Months 16M (6%)
CAGR 6.1% | Win 63%
Sharpe 1.08 | Sortino 1.41 | Calmar 1.3
Vol 6% | MDD -4.8%
Months 35M (13%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 62%
Sharpe 0.58 | Sortino 0.73 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 204M (74%)
CAGR 3.3% | Win 63%
Sharpe 0.43 | Sortino 0.46 | Calmar 0.5
Vol 8% | MDD -7.3%
Months 19M (7%)
CAGR 3.1% | Win 62%
Sharpe 0.56 | Sortino 0.68 | Calmar 0.2
Vol 6% | MDD -13.9%
Months 223M (81%)
MACD
neg
CAGR 5.3% | Win 69%
Sharpe 0.95 | Sortino 1.11 | Calmar 1.1
Vol 6% | MDD -4.8%
Months 36M (13%)
CAGR 4.1% | Win 53%
Sharpe 0.85 | Sortino 2.49 | Calmar 1.8
Vol 5% | MDD -2.3%
Months 15M (6%)
CAGR 4.9% | Win 65%
Sharpe 0.93 | Sortino 1.28 | Calmar 1.0
Vol 5% | MDD -4.9%
Months 51M (19%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 63%
Sharpe 0.72 | Sortino 0.86 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 141M (52%)
CAGR 1.7% | Win 62%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.2
Vol 6% | MDD -9.8%
Months 87M (32%)
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
RSI
neg
CAGR 15.5% | Win 100%
Sharpe 5.25 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 2M (1%)
CAGR 5.5% | Win 61%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.8
Vol 7% | MDD -6.7%
Months 44M (16%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
MACDhist
only
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.8% | Win 62%
Sharpe 0.85 | Sortino 1.56 | Calmar 0.7
Vol 4% | MDD -5.5%
Months 140M (51%)
CAGR 1.6% | Win 64%
Sharpe 0.28 | Sortino 0.29 | Calmar 0.1
Vol 6% | MDD -13.8%
Months 88M (32%)
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
RSI
neg
CAGR 7.8% | Win 80%
Sharpe 1.62 | Sortino 0.00 | Calmar 6.5
Vol 5% | MDD -1.2%
Months 5M (2%)
CAGR 5.7% | Win 61%
Sharpe 0.78 | Sortino 1.07 | Calmar 0.8
Vol 8% | MDD -6.7%
Months 41M (15%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.5% | Win 62%
Sharpe 0.51 | Sortino 0.59 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 218M (80%)
CAGR 12.2% | Win 70%
Sharpe 1.61 | Sortino 3.92 | Calmar 6.8
Vol 7% | MDD -1.8%
Months 10M (4%)
CAGR 2.9% | Win 63%
Sharpe 0.57 | Sortino 0.69 | Calmar 0.2
Vol 5% | MDD -13.8%
Months 228M (83%)
RSI
neg
CAGR 12.4% | Win 73%
Sharpe 1.59 | Sortino 3.56 | Calmar 3.8
Vol 8% | MDD -3.3%
Months 22M (8%)
CAGR 0.3% | Win 54%
Sharpe 0.08 | Sortino 0.09 | Calmar 0.0
Vol 7% | MDD -6.7%
Months 24M (9%)
CAGR 5.9% | Win 63%
Sharpe 0.83 | Sortino 1.14 | Calmar 0.9
Vol 7% | MDD -6.7%
Months 46M (17%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 61%
Sharpe 0.84 | Sortino 1.65 | Calmar 0.5
Vol 5% | MDD -7.1%
Months 114M (42%)
CAGR 4.0% | Win 72%
Sharpe 0.58 | Sortino 0.42 | Calmar 0.3
Vol 7% | MDD -11.8%
Months 29M (11%)
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
MACDhist
neg
CAGR 4.1% | Win 68%
Sharpe 1.03 | Sortino 1.51 | Calmar 1.7
Vol 4% | MDD -2.5%
Months 31M (11%)
CAGR 2.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 100M (36%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
RSIhist
only
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.0% | Win 64%
Sharpe 0.77 | Sortino 0.91 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 141M (52%)
CAGR -2.6% | Win 50%
Sharpe -1.25 | Sortino 0.00 | Calmar -4.0
Vol 2% | MDD -0.6%
Months 2M (1%)
CAGR 3.9% | Win 64%
Sharpe 0.76 | Sortino 0.89 | Calmar 0.3
Vol 5% | MDD -11.8%
Months 143M (52%)
MACDhist
neg
CAGR 2.6% | Win 63%
Sharpe 0.47 | Sortino 0.64 | Calmar 0.3
Vol 6% | MDD -10.4%
Months 99M (36%)
CAGR 4.1% | Win 59%
Sharpe 0.59 | Sortino 0.72 | Calmar 0.6
Vol 7% | MDD -6.7%
Months 32M (12%)
CAGR 3.0% | Win 62%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 6% | MDD -12.9%
Months 131M (48%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.1% | Win 63%
Sharpe 0.90 | Sortino 1.68 | Calmar 0.6
Vol 4% | MDD -6.9%
Months 134M (49%)
CAGR 2.1% | Win 64%
Sharpe 0.55 | Sortino 0.86 | Calmar 1.2
Vol 4% | MDD -1.8%
Months 11M (4%)
CAGR 3.9% | Win 63%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.7
Vol 4% | MDD -5.3%
Months 145M (53%)
RSIhist
neg
CAGR 2.6% | Win 64%
Sharpe 0.42 | Sortino 0.47 | Calmar 0.2
Vol 7% | MDD -11.8%
Months 106M (39%)
CAGR 4.4% | Win 56%
Sharpe 0.58 | Sortino 0.71 | Calmar 0.7
Vol 8% | MDD -6.7%
Months 23M (8%)
CAGR 2.9% | Win 63%
Sharpe 0.46 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -12.9%
Months 129M (47%)
LWTI
only
CAGR 3.4% | Win 63%
Sharpe 0.64 | Sortino 0.80 | Calmar 0.3
Vol 6% | MDD -11.8%
Months 240M (88%)
CAGR 3.7% | Win 59%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.5
Vol 7% | MDD -7.3%
Months 34M (12%)