TLH - iShares 10-20 Year Treasury Bond ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

30.4%

Best CAGR

65

Total Months

3.6%

Avg CAGR

TLH 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 TLH

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI RSmean neg-neg 5 2.2 30.4 100.0 7.3 0.0 0.0 3.7 0.0
pair RSmean RSI neg-neg 5 2.2 30.4 100.0 7.3 0.0 0.0 3.7 0.0
pair MACDhist RSmean neg-pos 3 1.3 25.9 100.0 4.9 0.0 0.0 4.8 0.0
pair RSmean MACDhist neg-pos 3 1.3 25.9 100.0 4.9 0.0 0.0 4.8 0.0
pair RSIhist RSmean neg-pos 8 3.5 18.1 75.0 2.7 6.5 13.7 6.3 -1.3
pair RSmean RSIhist neg-pos 8 3.5 18.1 75.0 2.7 6.5 13.7 6.3 -1.3
pair MRmean SLmean neg-pos 15 6.6 17.6 73.3 1.7 2.3 3.6 9.7 -4.9
pair SLmean MRmean neg-pos 15 6.6 17.6 73.3 1.7 2.3 3.6 9.7 -4.9
pair RSmean MACD neg-neg 15 6.6 16.1 66.7 2.6 7.3 6.6 5.8 -2.5
pair MACD RSmean neg-neg 15 6.6 16.1 66.7 2.6 7.3 6.6 5.8 -2.5
pair RSmean SLmean pos-neg 6 2.6 16.1 83.3 2.4 0.0 12.2 6.5 -1.3
pair SLmean RSmean pos-neg 6 2.6 16.1 83.3 2.4 0.0 12.2 6.5 -1.3
pair RSmean LWTI neg-pos 21 9.2 15.5 66.7 2.5 7.9 6.3 5.8 -2.5
pair LWTI RSmean neg-pos 21 9.2 15.5 66.7 2.5 7.9 6.3 5.8 -2.5
pair MRmean RSIhist neg-pos 19 8.3 14.8 57.9 1.4 2.8 2.3 10.3 -6.5
pair RSIhist MRmean neg-pos 19 8.3 14.8 57.9 1.4 2.8 2.3 10.3 -6.5
pair RSmean MRmean neg-neg 18 7.9 11.6 61.1 1.7 3.0 3.6 6.8 -3.3
pair MRmean RSmean neg-neg 18 7.9 11.6 61.1 1.7 3.0 3.6 6.8 -3.3
single RSmean RSmean neg-neg 24 10.5 11.1 62.5 1.7 3.2 2.3 6.5 -4.9
pair MRmean RSmean pos-neg 6 2.6 9.6 66.7 1.6 4.0 5.7 6.0 -1.7
pair RSmean MRmean pos-neg 6 2.6 9.6 66.7 1.6 4.0 5.7 6.0 -1.7
pair SLmean RSmean neg-neg 18 7.9 9.5 55.6 1.4 2.6 2.6 6.6 -3.6
pair RSmean SLmean neg-neg 18 7.9 9.5 55.6 1.4 2.6 2.6 6.6 -3.6
pair SLmean RSIhist neg-pos 12 5.2 9.3 50.0 1.2 2.7 2.2 7.9 -4.2
pair RSIhist SLmean neg-pos 12 5.2 9.3 50.0 1.2 2.7 2.2 7.9 -4.2
pair RSmean MACDhist neg-neg 21 9.2 9.1 57.1 1.4 2.7 1.9 6.6 -4.9
pair MACDhist RSmean neg-neg 21 9.2 9.1 57.1 1.4 2.7 1.9 6.6 -4.9
pair MACD MRmean neg-neg 47 20.5 8.6 55.3 0.7 1.1 0.3 13.7 -24.7
pair MRmean MACD neg-neg 47 20.5 8.6 55.3 0.7 1.1 0.3 13.7 -24.7
pair MACDhist MRmean neg-pos 15 6.6 8.5 66.7 0.9 1.0 0.8 9.5 -10.4
pair MRmean MACDhist neg-pos 15 6.6 8.5 66.7 0.9 1.0 0.8 9.5 -10.4
pair RSI MRmean neg-pos 37 16.2 8.3 56.8 0.9 1.6 1.3 9.1 -6.6
pair MRmean RSI neg-pos 37 16.2 8.3 56.8 0.9 1.6 1.3 9.1 -6.6
pair RSmean RSIhist neg-neg 16 7.0 7.7 56.2 1.2 2.1 2.1 6.6 -3.6
pair RSIhist RSmean neg-neg 16 7.0 7.7 56.2 1.2 2.1 2.1 6.6 -3.6
pair SLmean MACD neg-neg 42 18.3 7.3 54.8 0.6 0.9 0.3 13.5 -21.5
pair MACD SLmean neg-neg 42 18.3 7.3 54.8 0.6 0.9 0.3 13.5 -21.5
pair RSmean RSI neg-pos 19 8.3 6.5 52.6 1.0 1.9 1.3 6.6 -4.9
pair RSI RSmean neg-pos 19 8.3 6.5 52.6 1.0 1.9 1.3 6.6 -4.9
pair SLmean MACD pos-pos 95 41.5 6.1 52.6 0.7 1.5 0.6 8.8 -9.6
pair MACD SLmean pos-pos 95 41.5 6.1 52.6 0.7 1.5 0.6 8.8 -9.6
pair MRmean LWTI neg-pos 55 24.0 6.0 58.2 0.6 0.8 0.2 11.4 -30.4
pair LWTI MRmean neg-pos 55 24.0 6.0 58.2 0.6 0.8 0.2 11.4 -30.4
pair MACD MACDhist pos-pos 74 32.3 5.7 48.6 0.7 1.5 0.6 8.8 -9.5
pair MACDhist MACD pos-pos 74 32.3 5.7 48.6 0.7 1.5 0.6 8.8 -9.5
pair MACD RSI neg-pos 30 13.1 5.6 56.7 0.5 0.9 0.5 11.7 -10.9
pair RSI MACD neg-pos 30 13.1 5.6 56.7 0.5 0.9 0.5 11.7 -10.9
pair SLmean RSI neg-pos 49 21.4 5.5 53.1 0.6 1.0 0.6 9.7 -9.2
pair RSI SLmean neg-pos 49 21.4 5.5 53.1 0.6 1.0 0.6 9.7 -9.2
pair SLmean RSIhist pos-neg 29 12.7 5.4 58.6 0.7 1.1 0.8 8.3 -6.8
pair RSIhist SLmean pos-neg 29 12.7 5.4 58.6 0.7 1.1 0.8 8.3 -6.8
pair RSIhist LWTI pos-pos 92 40.2 5.3 52.2 0.6 1.1 0.4 9.8 -11.9
pair LWTI RSIhist pos-pos 92 40.2 5.3 52.2 0.6 1.1 0.4 9.8 -11.9
single MRmean MRmean neg-neg 94 41.0 5.3 56.4 0.5 0.8 0.2 10.9 -31.5
pair LWTI RSI pos-pos 143 62.4 5.2 53.1 0.6 1.0 0.3 9.7 -16.8
pair RSI LWTI pos-pos 143 62.4 5.2 53.1 0.6 1.0 0.3 9.7 -16.8
pair RSIhist MACD pos-pos 74 32.3 5.0 50.0 0.6 1.3 0.6 8.8 -9.1
pair MACD RSIhist pos-pos 74 32.3 5.0 50.0 0.6 1.3 0.6 8.8 -9.1
pair RSI MACDhist pos-pos 80 34.9 4.9 48.8 0.6 1.2 0.5 8.8 -9.5
pair MACDhist RSI pos-pos 80 34.9 4.9 48.8 0.6 1.2 0.5 8.8 -9.5
pair MACDhist MACD neg-neg 50 21.8 4.9 54.0 0.4 0.7 0.2 13.8 -24.6
pair MACD MACDhist neg-neg 50 21.8 4.9 54.0 0.4 0.7 0.2 13.8 -24.6
pair RSIhist RSI pos-pos 89 38.9 4.7 51.7 0.5 1.0 0.4 9.3 -11.9
pair RSI RSIhist pos-pos 89 38.9 4.7 51.7 0.5 1.0 0.4 9.3 -11.9
pair MACDhist MRmean neg-neg 79 34.5 4.7 54.4 0.5 0.7 0.2 11.2 -28.6
pair MRmean MACDhist neg-neg 79 34.5 4.7 54.4 0.5 0.7 0.2 11.2 -28.6
pair LWTI SLmean pos-pos 110 48.0 4.6 52.7 0.5 1.0 0.3 9.7 -13.3
pair SLmean LWTI pos-pos 110 48.0 4.6 52.7 0.5 1.0 0.3 9.7 -13.3
pair MACD MRmean pos-pos 105 45.9 4.6 50.5 0.5 1.1 0.3 9.2 -14.4
pair MRmean MACD pos-pos 105 45.9 4.6 50.5 0.5 1.1 0.3 9.2 -14.4
pair RSIhist LWTI neg-neg 29 12.7 4.6 58.6 0.5 0.7 0.3 10.5 -16.5
pair LWTI RSIhist neg-neg 29 12.7 4.6 58.6 0.5 0.7 0.3 10.5 -16.5
single RSI RSI pos-pos 161 70.3 4.5 52.8 0.5 0.9 0.2 9.3 -21.1
pair MACD LWTI pos-neg 27 11.8 4.4 59.3 0.7 1.2 1.0 6.3 -4.6
pair LWTI MACD neg-pos 54 23.6 4.4 57.4 0.4 0.7 0.2 12.4 -25.5
pair LWTI MACD pos-neg 27 11.8 4.4 59.3 0.7 1.2 1.0 6.3 -4.6
pair MACD LWTI neg-pos 54 23.6 4.4 57.4 0.4 0.7 0.2 12.4 -25.5
pair RSIhist RSI pos-neg 72 31.4 4.3 54.2 0.5 0.9 0.4 9.3 -11.7
pair MRmean LWTI neg-neg 39 17.0 4.3 53.8 0.5 0.7 0.3 10.3 -16.5
pair MACD RSI pos-pos 131 57.2 4.3 51.9 0.5 1.0 0.2 8.7 -19.1
pair RSI RSIhist pos-neg 72 31.4 4.3 54.2 0.5 0.9 0.4 9.3 -11.7
pair RSI MACD pos-pos 131 57.2 4.3 51.9 0.5 1.0 0.2 8.7 -19.1
pair LWTI MRmean neg-neg 39 17.0 4.3 53.8 0.5 0.7 0.3 10.3 -16.5
pair RSmean RSI pos-pos 142 62.0 4.2 52.8 0.5 0.9 0.2 9.6 -17.4
pair RSI RSmean pos-pos 142 62.0 4.2 52.8 0.5 0.9 0.2 9.6 -17.4
pair RSI MACDhist pos-neg 81 35.4 4.1 56.8 0.5 0.7 0.3 9.8 -15.9
pair RSI SLmean pos-pos 112 48.9 4.1 52.7 0.5 0.9 0.3 9.1 -14.7
pair MACDhist RSI pos-neg 81 35.4 4.1 56.8 0.5 0.7 0.3 9.8 -15.9
pair SLmean RSI pos-pos 112 48.9 4.1 52.7 0.5 0.9 0.3 9.1 -14.7
pair LWTI MACDhist neg-pos 83 36.2 4.0 56.6 0.4 0.7 0.1 11.3 -29.1
pair MACDhist LWTI neg-pos 83 36.2 4.0 56.6 0.4 0.7 0.1 11.3 -29.1
pair RSmean MRmean neg-pos 76 33.2 3.9 55.3 0.4 0.6 0.1 11.7 -29.2
pair RSmean MACD pos-pos 143 62.4 3.9 52.4 0.5 0.9 0.2 8.7 -16.8
pair MRmean RSmean neg-pos 76 33.2 3.9 55.3 0.4 0.6 0.1 11.7 -29.2
pair LWTI MACDhist pos-pos 96 41.9 3.9 50.0 0.5 0.9 0.2 9.0 -16.8
pair MACDhist LWTI pos-pos 96 41.9 3.9 50.0 0.5 0.9 0.2 9.0 -16.8
single LWTI LWTI pos-pos 179 78.2 3.9 53.1 0.4 0.7 0.1 10.1 -36.3
pair MACD RSmean pos-pos 143 62.4 3.9 52.4 0.5 0.9 0.2 8.7 -16.8
pair LWTI SLmean neg-neg 30 13.1 3.8 53.3 0.4 0.6 0.2 10.8 -16.5
pair RSIhist MACD neg-neg 38 16.6 3.8 55.3 0.3 0.5 0.2 13.9 -21.5
single MACD MACD pos-pos 152 66.4 3.8 52.6 0.5 0.9 0.2 8.6 -20.2
pair MACD RSIhist neg-neg 38 16.6 3.8 55.3 0.3 0.5 0.2 13.9 -21.5
pair MACDhist SLmean neg-pos 23 10.0 3.8 56.5 0.4 0.5 0.4 10.1 -10.4
pair SLmean LWTI neg-neg 30 13.1 3.8 53.3 0.4 0.6 0.2 10.8 -16.5
pair SLmean MACDhist neg-pos 23 10.0 3.8 56.5 0.4 0.5 0.4 10.1 -10.4
pair MACD LWTI pos-pos 125 54.6 3.7 51.2 0.5 0.8 0.2 9.0 -21.6
pair LWTI MACD pos-pos 125 54.6 3.7 51.2 0.5 0.8 0.2 9.0 -21.6
pair SLmean MACDhist pos-neg 52 22.7 3.5 59.6 0.4 0.6 0.3 10.5 -10.5
pair MACDhist RSIhist pos-pos 77 33.6 3.5 49.4 0.4 0.9 0.2 8.6 -17.8
pair MACDhist SLmean pos-neg 52 22.7 3.5 59.6 0.4 0.6 0.3 10.5 -10.5
pair RSIhist MACDhist pos-pos 77 33.6 3.5 49.4 0.4 0.9 0.2 8.6 -17.8
pair MRmean RSI pos-pos 124 54.1 3.4 51.6 0.4 0.7 0.2 9.4 -16.5
pair RSI MRmean neg-neg 57 24.9 3.4 56.1 0.3 0.5 0.1 12.0 -29.2
pair MRmean RSI neg-neg 57 24.9 3.4 56.1 0.3 0.5 0.1 12.0 -29.2
pair RSI MRmean pos-pos 124 54.1 3.4 51.6 0.4 0.7 0.2 9.4 -16.5
single RSIhist RSIhist pos-pos 113 49.3 3.4 50.4 0.4 0.7 0.2 9.7 -18.4
pair RSmean MACD neg-pos 9 3.9 3.3 55.6 0.5 0.8 0.7 7.3 -4.9
pair MACD RSmean neg-pos 9 3.9 3.3 55.6 0.5 0.8 0.7 7.3 -4.9
single SLmean SLmean pos-pos 130 56.8 3.3 52.3 0.4 0.7 0.2 9.5 -20.5
single MACDhist MACDhist pos-pos 101 44.1 3.3 49.5 0.4 0.7 0.1 9.1 -21.8
pair SLmean MRmean pos-neg 20 8.7 3.3 55.0 0.4 0.6 0.6 9.3 -5.6
pair MRmean SLmean pos-neg 20 8.7 3.3 55.0 0.4 0.6 0.6 9.3 -5.6
single MACDhist MACDhist neg-neg 128 55.9 3.2 55.5 0.3 0.6 0.1 10.8 -32.8
pair RSIhist MRmean pos-neg 41 17.9 3.2 53.7 0.4 0.7 0.5 9.3 -6.7
pair benchmark___benchmark_ benchmark-benchmark 229 100.0 3.2 52.8 0.4 0.6 0.1 10.0 -40.2
pair benchmark___benchmark_ benchmark-benchmark 229 100.0 3.2 52.8 0.4 0.6 0.1 10.0 -40.2
pair MRmean RSIhist pos-neg 41 17.9 3.2 53.7 0.4 0.7 0.5 9.3 -6.7
pair MACDhist RSIhist neg-neg 92 40.2 3.2 56.5 0.3 0.6 0.1 10.4 -29.6
pair RSIhist MACDhist neg-neg 92 40.2 3.2 56.5 0.3 0.6 0.1 10.4 -29.6
single RSIhist RSIhist neg-neg 116 50.7 3.1 55.2 0.3 0.5 0.1 10.4 -31.5
pair MACDhist SLmean pos-pos 78 34.1 3.1 47.4 0.4 0.8 0.2 8.9 -20.0
pair SLmean MACDhist pos-pos 78 34.1 3.1 47.4 0.4 0.8 0.2 8.9 -20.0
pair MACDhist RSIhist neg-pos 36 15.7 3.1 52.8 0.3 0.6 0.2 11.7 -12.7
pair RSIhist MACDhist neg-pos 36 15.7 3.1 52.8 0.3 0.6 0.2 11.7 -12.7
single SLmean SLmean neg-neg 99 43.2 3.1 53.5 0.3 0.5 0.1 10.7 -31.8
pair SLmean MRmean neg-neg 79 34.5 3.1 53.2 0.3 0.5 0.1 11.1 -29.7
pair MRmean SLmean neg-neg 79 34.5 3.1 53.2 0.3 0.5 0.1 11.1 -29.7
pair RSIhist MRmean neg-neg 75 32.8 3.0 56.0 0.3 0.5 0.1 11.1 -28.6
pair MRmean RSIhist neg-neg 75 32.8 3.0 56.0 0.3 0.5 0.1 11.1 -28.6
pair MRmean LWTI pos-pos 124 54.1 3.0 50.8 0.4 0.7 0.1 9.5 -19.9
pair LWTI MRmean pos-pos 124 54.1 3.0 50.8 0.4 0.7 0.1 9.5 -19.9
pair SLmean MACDhist neg-neg 76 33.2 2.9 52.6 0.3 0.5 0.1 11.0 -31.8
pair MACDhist SLmean neg-neg 76 33.2 2.9 52.6 0.3 0.5 0.1 11.0 -31.8
pair SLmean LWTI neg-pos 69 30.1 2.9 53.6 0.3 0.5 0.1 10.8 -32.4
pair LWTI SLmean neg-pos 69 30.1 2.9 53.6 0.3 0.5 0.1 10.8 -32.4
pair MACD RSIhist pos-neg 78 34.1 2.7 55.1 0.4 0.6 0.2 8.4 -14.3
pair SLmean RSIhist pos-pos 101 44.1 2.7 50.5 0.3 0.6 0.1 9.9 -20.0
pair RSIhist SLmean pos-pos 101 44.1 2.7 50.5 0.3 0.6 0.1 9.9 -20.0
pair RSmean SLmean pos-pos 124 54.1 2.7 50.8 0.3 0.6 0.1 9.6 -23.4
pair SLmean RSmean pos-pos 124 54.1 2.7 50.8 0.3 0.6 0.1 9.6 -23.4
pair RSIhist MACD pos-neg 78 34.1 2.7 55.1 0.4 0.6 0.2 8.4 -14.3
pair RSIhist MACDhist pos-neg 24 10.5 2.6 50.0 0.3 0.4 0.3 10.6 -9.1
pair RSIhist LWTI neg-pos 87 38.0 2.6 54.0 0.3 0.5 0.1 10.5 -32.9
pair LWTI RSIhist neg-pos 87 38.0 2.6 54.0 0.3 0.5 0.1 10.5 -32.9
pair MACDhist RSIhist pos-neg 24 10.5 2.6 50.0 0.3 0.4 0.3 10.6 -9.1
pair MACDhist RSmean pos-pos 98 42.8 2.6 48.0 0.3 0.6 0.1 9.2 -22.9
pair RSmean MACDhist pos-pos 98 42.8 2.6 48.0 0.3 0.6 0.1 9.2 -22.9
pair RSmean LWTI pos-pos 158 69.0 2.5 51.3 0.3 0.5 0.1 10.5 -36.3
pair LWTI RSmean pos-pos 158 69.0 2.5 51.3 0.3 0.5 0.1 10.5 -36.3
pair MACDhist MRmean pos-pos 86 37.6 2.4 46.5 0.3 0.6 0.1 9.1 -20.9
pair MRmean MACDhist pos-pos 86 37.6 2.4 46.5 0.3 0.6 0.1 9.1 -20.9
single RSmean RSmean pos-pos 205 89.5 2.3 51.7 0.3 0.5 0.1 10.4 -37.4
pair RSmean RSIhist pos-pos 105 45.9 2.3 48.6 0.3 0.5 0.1 9.8 -21.3
pair RSIhist RSmean pos-pos 105 45.9 2.3 48.6 0.3 0.5 0.1 9.8 -21.3
pair RSmean RSIhist pos-neg 100 43.7 2.3 55.0 0.3 0.4 0.1 10.9 -29.2
pair RSIhist RSmean pos-neg 100 43.7 2.3 55.0 0.3 0.4 0.1 10.9 -29.2
pair SLmean RSIhist neg-neg 87 38.0 2.3 54.0 0.3 0.4 0.1 11.1 -31.8
pair RSIhist SLmean neg-neg 87 38.0 2.3 54.0 0.3 0.4 0.1 11.1 -31.8
pair RSmean MACDhist pos-neg 107 46.7 2.1 55.1 0.2 0.4 0.1 11.4 -29.6
pair MACDhist RSmean pos-neg 107 46.7 2.1 55.1 0.2 0.4 0.1 11.4 -29.6
pair MACD MRmean neg-pos 47 20.5 2.1 57.4 0.3 0.4 0.2 7.2 -9.1
pair MRmean MACD neg-pos 47 20.5 2.1 57.4 0.3 0.4 0.2 7.2 -9.1
pair MACDhist MACD pos-neg 78 34.1 2.1 56.4 0.3 0.4 0.1 8.4 -17.5
pair MACD MACDhist pos-neg 78 34.1 2.1 56.4 0.3 0.4 0.1 8.4 -17.5
single MACD MACD neg-neg 77 33.6 2.0 53.2 0.2 0.4 0.1 12.5 -29.4
single MRmean MRmean pos-pos 135 59.0 1.8 50.4 0.2 0.4 0.1 9.4 -27.8
pair SLmean RSmean neg-pos 81 35.4 1.8 53.1 0.2 0.3 0.1 11.4 -29.5
pair RSmean SLmean neg-pos 81 35.4 1.8 53.1 0.2 0.3 0.1 11.4 -29.5
pair LWTI RSmean pos-neg 47 20.5 1.8 53.2 0.2 0.3 0.1 10.0 -15.0
pair RSmean LWTI pos-neg 47 20.5 1.8 53.2 0.2 0.3 0.1 10.0 -15.0
pair MACDhist LWTI neg-neg 45 19.7 1.7 53.3 0.2 0.3 0.1 9.8 -17.6
pair LWTI MACDhist neg-neg 45 19.7 1.7 53.3 0.2 0.3 0.1 9.8 -17.6
pair RSI MACDhist neg-neg 47 20.5 1.6 53.2 0.2 0.3 0.1 12.3 -26.2
pair MACDhist RSI neg-neg 47 20.5 1.6 53.2 0.2 0.3 0.1 12.3 -26.2
pair RSI LWTI neg-neg 32 14.0 1.5 53.1 0.2 0.3 0.1 11.6 -15.0
pair LWTI RSI neg-neg 32 14.0 1.5 53.1 0.2 0.3 0.1 11.6 -15.0
pair RSmean MRmean pos-pos 129 56.3 1.5 49.6 0.2 0.3 0.1 9.5 -26.9
pair MRmean RSmean pos-pos 129 56.3 1.5 49.6 0.2 0.3 0.1 9.5 -26.9
pair MRmean SLmean pos-pos 115 50.2 1.5 49.6 0.2 0.4 0.1 9.4 -28.4
pair SLmean MRmean pos-pos 115 50.2 1.5 49.6 0.2 0.4 0.1 9.4 -28.4
pair MACD RSI pos-neg 21 9.2 1.4 57.1 0.2 0.3 0.2 7.9 -6.0
pair RSI MACD pos-neg 21 9.2 1.4 57.1 0.2 0.3 0.2 7.9 -6.0
pair RSIhist RSI neg-neg 44 19.2 1.2 56.8 0.1 0.2 0.0 12.1 -26.2
pair RSI RSIhist neg-neg 44 19.2 1.2 56.8 0.1 0.2 0.0 12.1 -26.2
pair MRmean RSIhist pos-pos 94 41.0 1.2 48.9 0.2 0.3 0.1 9.5 -23.2
pair RSIhist MRmean pos-pos 94 41.0 1.2 48.9 0.2 0.3 0.1 9.5 -23.2
pair MRmean MACDhist pos-neg 49 21.4 0.8 57.1 0.1 0.2 0.1 10.0 -12.0
pair MACDhist MRmean pos-neg 49 21.4 0.8 57.1 0.1 0.2 0.1 10.0 -12.0
pair SLmean RSI neg-neg 50 21.8 0.8 54.0 0.1 0.2 0.0 11.7 -26.2
pair RSI SLmean neg-neg 50 21.8 0.8 54.0 0.1 0.2 0.0 11.7 -26.2
single LWTI LWTI neg-neg 50 21.8 0.7 52.0 0.1 0.2 0.0 9.8 -17.6
pair MACD RSIhist neg-pos 39 17.0 0.3 51.3 0.1 0.1 0.0 11.2 -15.6
pair RSIhist MACD neg-pos 39 17.0 0.3 51.3 0.1 0.1 0.0 11.2 -15.6
single RSI RSI neg-neg 68 29.7 0.2 52.9 0.1 0.1 0.0 11.7 -30.8
pair SLmean MACD neg-pos 57 24.9 0.2 52.6 0.1 0.1 0.0 8.1 -13.3
pair MACD SLmean neg-pos 57 24.9 0.2 52.6 0.1 0.1 0.0 8.1 -13.3
pair RSI MACD neg-neg 47 20.5 -0.3 51.1 0.0 0.1 -0.0 13.1 -26.4
pair MACD RSI neg-neg 47 20.5 -0.3 51.1 0.0 0.1 -0.0 13.1 -26.4
pair LWTI RSI pos-neg 18 7.9 -0.7 50.0 -0.1 -0.1 -0.1 5.5 -7.0
pair RSI LWTI pos-neg 18 7.9 -0.7 50.0 -0.1 -0.1 -0.1 5.5 -7.0
pair LWTI RSI neg-pos 36 15.7 -0.9 52.8 -0.0 -0.0 -0.0 11.8 -26.6
pair RSI LWTI neg-pos 36 15.7 -0.9 52.8 -0.0 -0.0 -0.0 11.8 -26.6
pair RSmean MACD pos-neg 62 27.1 -1.1 50.0 -0.0 -0.0 -0.0 13.5 -29.4
pair MACD RSmean pos-neg 62 27.1 -1.1 50.0 -0.0 -0.0 -0.0 13.5 -29.4
pair RSIhist RSI neg-pos 24 10.5 -1.5 45.8 -0.1 -0.2 -0.2 11.0 -8.4
pair RSI RSIhist neg-pos 24 10.5 -1.5 45.8 -0.1 -0.2 -0.2 11.0 -8.4
pair RSI SLmean pos-neg 18 7.9 -1.5 50.0 -0.1 -0.1 -0.1 11.9 -9.9
pair SLmean RSI pos-neg 18 7.9 -1.5 50.0 -0.1 -0.1 -0.1 11.9 -9.9
pair RSI RSmean pos-neg 63 27.5 -1.8 49.2 -0.1 -0.2 -0.1 11.9 -30.8
pair RSmean RSI pos-neg 63 27.5 -1.8 49.2 -0.1 -0.2 -0.1 11.9 -30.8
pair RSI MACDhist neg-pos 21 9.2 -2.8 52.4 -0.2 -0.3 -0.2 10.3 -17.0
pair MACDhist RSI neg-pos 21 9.2 -2.8 52.4 -0.2 -0.3 -0.2 10.3 -17.0
pair MACDhist MACD neg-pos 27 11.8 -3.2 51.9 -0.3 -0.4 -0.2 9.8 -17.0
pair MACD MACDhist neg-pos 27 11.8 -3.2 51.9 -0.3 -0.4 -0.2 9.8 -17.0
pair LWTI MACD neg-neg 23 10.0 -3.4 43.5 -0.2 -0.4 -0.2 12.9 -15.0
pair MACD LWTI neg-neg 23 10.0 -3.4 43.5 -0.2 -0.4 -0.2 12.9 -15.0
pair LWTI SLmean pos-neg 20 8.7 -3.8 50.0 -0.4 -0.6 -0.2 8.3 -15.3
pair SLmean LWTI pos-neg 20 8.7 -3.8 50.0 -0.4 -0.6 -0.2 8.3 -15.3
pair SLmean MACD pos-neg 35 15.3 -4.0 51.4 -0.3 -0.5 -0.2 11.1 -17.7
pair MACD SLmean pos-neg 35 15.3 -4.0 51.4 -0.3 -0.5 -0.2 11.1 -17.7
pair RSIhist LWTI pos-neg 21 9.2 -4.5 42.9 -0.5 -0.8 -0.3 8.9 -13.2
pair LWTI RSIhist pos-neg 21 9.2 -4.5 42.9 -0.5 -0.8 -0.3 8.9 -13.2
pair MACD MRmean pos-neg 30 13.1 -7.5 50.0 -0.8 -1.1 -0.3 9.8 -23.0
pair MRmean MACD pos-neg 30 13.1 -7.5 50.0 -0.8 -1.1 -0.3 9.8 -23.0
pair LWTI MACDhist pos-neg 5 2.2 -8.2 40.0 -0.7 -0.9 -1.4 10.9 -5.9
pair MACDhist LWTI pos-neg 5 2.2 -8.2 40.0 -0.7 -0.9 -1.4 10.9 -5.9
pair LWTI MRmean pos-neg 11 4.8 -11.0 45.5 -1.6 -1.9 -0.9 6.9 -11.6
pair MRmean LWTI pos-neg 11 4.8 -11.0 45.5 -1.6 -1.9 -0.9 6.9 -11.6
pair MRmean RSI pos-neg 11 4.8 -14.7 36.4 -1.8 -2.7 -1.1 8.5 -13.9
pair RSI MRmean pos-neg 11 4.8 -14.7 36.4 -1.8 -2.7 -1.1 8.5 -13.9
pair RSmean LWTI neg-neg 3 1.3 -15.2 33.3 -2.5 -3.4 -3.3 6.6 -4.5
pair LWTI RSmean neg-neg 3 1.3 -15.2 33.3 -2.5 -3.4 -3.3 6.6 -4.5

All Contingency Tables for TLH

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 1.5% | Win 50%
Sharpe 0.21 | Sortino 0.38 | Calmar 0.1
Vol 9% | MDD -28.4%
Months 115M (50%)
CAGR 3.3% | Win 55%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.6
Vol 9% | MDD -5.6%
Months 20M (9%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 17.6% | Win 73%
Sharpe 1.74 | Sortino 2.29 | Calmar 3.6
Vol 10% | MDD -4.9%
Months 15M (7%)
CAGR 3.1% | Win 53%
Sharpe 0.33 | Sortino 0.51 | Calmar 0.1
Vol 11% | MDD -29.7%
Months 79M (34%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
SLmean
only
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 1.5% | Win 50%
Sharpe 0.20 | Sortino 0.35 | Calmar 0.1
Vol 10% | MDD -26.9%
Months 129M (56%)
CAGR 9.6% | Win 67%
Sharpe 1.55 | Sortino 3.99 | Calmar 5.7
Vol 6% | MDD -1.7%
Months 6M (3%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 3.9% | Win 55%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 12% | MDD -29.2%
Months 76M (33%)
CAGR 11.6% | Win 61%
Sharpe 1.66 | Sortino 3.01 | Calmar 3.6
Vol 7% | MDD -3.3%
Months 18M (8%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
RSmean
only
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 50%
Sharpe 0.54 | Sortino 1.09 | Calmar 0.3
Vol 9% | MDD -14.4%
Months 105M (46%)
CAGR -7.5% | Win 50%
Sharpe -0.75 | Sortino -1.08 | Calmar -0.3
Vol 10% | MDD -23.0%
Months 30M (13%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 2.1% | Win 57%
Sharpe 0.33 | Sortino 0.42 | Calmar 0.2
Vol 7% | MDD -9.1%
Months 47M (20%)
CAGR 8.6% | Win 55%
Sharpe 0.67 | Sortino 1.12 | Calmar 0.3
Vol 14% | MDD -24.7%
Months 47M (20%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
MACD
only
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 52%
Sharpe 0.41 | Sortino 0.73 | Calmar 0.2
Vol 9% | MDD -16.5%
Months 124M (54%)
CAGR -14.7% | Win 36%
Sharpe -1.82 | Sortino -2.69 | Calmar -1.1
Vol 8% | MDD -13.9%
Months 11M (5%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 8.3% | Win 57%
Sharpe 0.92 | Sortino 1.64 | Calmar 1.3
Vol 9% | MDD -6.6%
Months 37M (16%)
CAGR 3.4% | Win 56%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 12% | MDD -29.2%
Months 57M (25%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
RSI
only
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.4% | Win 46%
Sharpe 0.30 | Sortino 0.58 | Calmar 0.1
Vol 9% | MDD -20.9%
Months 86M (38%)
CAGR 0.8% | Win 57%
Sharpe 0.13 | Sortino 0.21 | Calmar 0.1
Vol 10% | MDD -12.0%
Months 49M (21%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 8.5% | Win 67%
Sharpe 0.90 | Sortino 1.01 | Calmar 0.8
Vol 10% | MDD -10.4%
Months 15M (7%)
CAGR 4.7% | Win 54%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.2
Vol 11% | MDD -28.6%
Months 79M (34%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
MACDhist
only
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 1.2% | Win 49%
Sharpe 0.17 | Sortino 0.31 | Calmar 0.1
Vol 10% | MDD -23.2%
Months 94M (41%)
CAGR 3.2% | Win 54%
Sharpe 0.39 | Sortino 0.68 | Calmar 0.5
Vol 9% | MDD -6.7%
Months 41M (18%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 14.8% | Win 58%
Sharpe 1.40 | Sortino 2.78 | Calmar 2.3
Vol 10% | MDD -6.5%
Months 19M (8%)
CAGR 3.0% | Win 56%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 11% | MDD -28.6%
Months 75M (33%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.0% | Win 51%
Sharpe 0.36 | Sortino 0.65 | Calmar 0.2
Vol 10% | MDD -19.9%
Months 124M (54%)
CAGR -11.0% | Win 46%
Sharpe -1.64 | Sortino -1.91 | Calmar -0.9
Vol 7% | MDD -11.6%
Months 11M (5%)
CAGR 1.8% | Win 50%
Sharpe 0.24 | Sortino 0.42 | Calmar 0.1
Vol 9% | MDD -27.8%
Months 135M (59%)
MRmean
neg
CAGR 6.0% | Win 58%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.2
Vol 11% | MDD -30.4%
Months 55M (24%)
CAGR 4.3% | Win 54%
Sharpe 0.46 | Sortino 0.70 | Calmar 0.3
Vol 10% | MDD -16.5%
Months 39M (17%)
CAGR 5.3% | Win 56%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 11% | MDD -31.5%
Months 94M (41%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.7% | Win 51%
Sharpe 0.32 | Sortino 0.59 | Calmar 0.1
Vol 10% | MDD -23.4%
Months 124M (54%)
CAGR 16.1% | Win 83%
Sharpe 2.35 | Sortino 0.00 | Calmar 12.2
Vol 6% | MDD -1.3%
Months 6M (3%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 1.8% | Win 53%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.1
Vol 11% | MDD -29.5%
Months 81M (35%)
CAGR 9.5% | Win 56%
Sharpe 1.41 | Sortino 2.60 | Calmar 2.6
Vol 7% | MDD -3.6%
Months 18M (8%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
RSmean
only
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.1% | Win 53%
Sharpe 0.72 | Sortino 1.51 | Calmar 0.6
Vol 9% | MDD -9.6%
Months 95M (42%)
CAGR -4.0% | Win 51%
Sharpe -0.32 | Sortino -0.53 | Calmar -0.2
Vol 11% | MDD -17.7%
Months 35M (15%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 0.2% | Win 53%
Sharpe 0.06 | Sortino 0.09 | Calmar 0.0
Vol 8% | MDD -13.3%
Months 57M (25%)
CAGR 7.3% | Win 55%
Sharpe 0.59 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -21.5%
Months 42M (18%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
MACD
only
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.1% | Win 53%
Sharpe 0.48 | Sortino 0.87 | Calmar 0.3
Vol 9% | MDD -14.7%
Months 112M (49%)
CAGR -1.5% | Win 50%
Sharpe -0.07 | Sortino -0.14 | Calmar -0.1
Vol 12% | MDD -9.9%
Months 18M (8%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 5.5% | Win 53%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.6
Vol 10% | MDD -9.2%
Months 49M (21%)
CAGR 0.8% | Win 54%
Sharpe 0.13 | Sortino 0.20 | Calmar 0.0
Vol 12% | MDD -26.2%
Months 50M (22%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
RSI
only
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 47%
Sharpe 0.39 | Sortino 0.80 | Calmar 0.2
Vol 9% | MDD -20.0%
Months 78M (34%)
CAGR 3.5% | Win 60%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.3
Vol 10% | MDD -10.5%
Months 52M (23%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 3.8% | Win 56%
Sharpe 0.42 | Sortino 0.54 | Calmar 0.4
Vol 10% | MDD -10.4%
Months 23M (10%)
CAGR 2.9% | Win 53%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 76M (33%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
MACDhist
only
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.7% | Win 50%
Sharpe 0.32 | Sortino 0.58 | Calmar 0.1
Vol 10% | MDD -20.0%
Months 101M (44%)
CAGR 5.4% | Win 59%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.8
Vol 8% | MDD -6.8%
Months 29M (13%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 9.3% | Win 50%
Sharpe 1.16 | Sortino 2.73 | Calmar 2.2
Vol 8% | MDD -4.2%
Months 12M (5%)
CAGR 2.3% | Win 54%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 87M (38%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 53%
Sharpe 0.51 | Sortino 0.97 | Calmar 0.3
Vol 10% | MDD -13.3%
Months 110M (48%)
CAGR -3.8% | Win 50%
Sharpe -0.42 | Sortino -0.56 | Calmar -0.2
Vol 8% | MDD -15.3%
Months 20M (9%)
CAGR 3.3% | Win 52%
Sharpe 0.39 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -20.5%
Months 130M (57%)
SLmean
neg
CAGR 2.9% | Win 54%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 11% | MDD -32.4%
Months 69M (30%)
CAGR 3.8% | Win 53%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.2
Vol 11% | MDD -16.5%
Months 30M (13%)
CAGR 3.1% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 11% | MDD -31.8%
Months 99M (43%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 52%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -16.8%
Months 143M (62%)
CAGR -1.1% | Win 50%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.0
Vol 14% | MDD -29.4%
Months 62M (27%)
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
RSmean
neg
CAGR 3.3% | Win 56%
Sharpe 0.47 | Sortino 0.81 | Calmar 0.7
Vol 7% | MDD -4.9%
Months 9M (4%)
CAGR 16.1% | Win 67%
Sharpe 2.60 | Sortino 7.35 | Calmar 6.6
Vol 6% | MDD -2.5%
Months 15M (7%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
MACD
only
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 10% | MDD -17.4%
Months 142M (62%)
CAGR -1.8% | Win 49%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.1
Vol 12% | MDD -30.8%
Months 63M (28%)
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
RSmean
neg
CAGR 6.5% | Win 53%
Sharpe 1.00 | Sortino 1.94 | Calmar 1.3
Vol 7% | MDD -4.9%
Months 19M (8%)
CAGR 30.4% | Win 100%
Sharpe 7.31 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
RSI
only
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 48%
Sharpe 0.33 | Sortino 0.59 | Calmar 0.1
Vol 9% | MDD -22.9%
Months 98M (43%)
CAGR 2.1% | Win 55%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 11% | MDD -29.6%
Months 107M (47%)
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
RSmean
neg
CAGR 25.9% | Win 100%
Sharpe 4.89 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 3M (1%)
CAGR 9.1% | Win 57%
Sharpe 1.36 | Sortino 2.67 | Calmar 1.9
Vol 7% | MDD -4.9%
Months 21M (9%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
MACDhist
only
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.3% | Win 49%
Sharpe 0.28 | Sortino 0.52 | Calmar 0.1
Vol 10% | MDD -21.3%
Months 105M (46%)
CAGR 2.3% | Win 55%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.1
Vol 11% | MDD -29.2%
Months 100M (44%)
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
RSmean
neg
CAGR 18.1% | Win 75%
Sharpe 2.70 | Sortino 6.47 | Calmar 13.7
Vol 6% | MDD -1.3%
Months 8M (4%)
CAGR 7.7% | Win 56%
Sharpe 1.17 | Sortino 2.09 | Calmar 2.1
Vol 7% | MDD -3.6%
Months 16M (7%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 51%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 158M (69%)
CAGR 1.8% | Win 53%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 10% | MDD -15.0%
Months 47M (20%)
CAGR 2.3% | Win 52%
Sharpe 0.27 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -37.4%
Months 205M (90%)
RSmean
neg
CAGR 15.5% | Win 67%
Sharpe 2.53 | Sortino 7.88 | Calmar 6.3
Vol 6% | MDD -2.5%
Months 21M (9%)
CAGR -15.2% | Win 33%
Sharpe -2.46 | Sortino -3.42 | Calmar -3.3
Vol 7% | MDD -4.5%
Months 3M (1%)
CAGR 11.1% | Win 62%
Sharpe 1.66 | Sortino 3.21 | Calmar 2.3
Vol 6% | MDD -4.9%
Months 24M (10%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.3% | Win 52%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 9% | MDD -19.1%
Months 131M (57%)
CAGR 1.4% | Win 57%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.2
Vol 8% | MDD -6.0%
Months 21M (9%)
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
MACD
neg
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.5
Vol 12% | MDD -10.9%
Months 30M (13%)
CAGR -0.3% | Win 51%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.0
Vol 13% | MDD -26.4%
Months 47M (20%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
RSI
only
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.7% | Win 49%
Sharpe 0.68 | Sortino 1.54 | Calmar 0.6
Vol 9% | MDD -9.5%
Months 74M (32%)
CAGR 2.1% | Win 56%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 8% | MDD -17.5%
Months 78M (34%)
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
MACD
neg
CAGR -3.2% | Win 52%
Sharpe -0.29 | Sortino -0.39 | Calmar -0.2
Vol 10% | MDD -17.0%
Months 27M (12%)
CAGR 4.9% | Win 54%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -24.6%
Months 50M (22%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
MACDhist
only
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 50%
Sharpe 0.60 | Sortino 1.29 | Calmar 0.6
Vol 9% | MDD -9.1%
Months 74M (32%)
CAGR 2.7% | Win 55%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.2
Vol 8% | MDD -14.3%
Months 78M (34%)
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
MACD
neg
CAGR 0.3% | Win 51%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -15.6%
Months 39M (17%)
CAGR 3.8% | Win 55%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 14% | MDD -21.5%
Months 38M (17%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.7% | Win 51%
Sharpe 0.45 | Sortino 0.82 | Calmar 0.2
Vol 9% | MDD -21.6%
Months 125M (55%)
CAGR 4.4% | Win 59%
Sharpe 0.71 | Sortino 1.22 | Calmar 1.0
Vol 6% | MDD -4.6%
Months 27M (12%)
CAGR 3.8% | Win 53%
Sharpe 0.48 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -20.2%
Months 152M (66%)
MACD
neg
CAGR 4.4% | Win 57%
Sharpe 0.41 | Sortino 0.65 | Calmar 0.2
Vol 12% | MDD -25.5%
Months 54M (24%)
CAGR -3.4% | Win 44%
Sharpe -0.21 | Sortino -0.38 | Calmar -0.2
Vol 13% | MDD -15.0%
Months 23M (10%)
CAGR 2.0% | Win 53%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -29.4%
Months 77M (34%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.9% | Win 49%
Sharpe 0.59 | Sortino 1.22 | Calmar 0.5
Vol 9% | MDD -9.5%
Months 80M (35%)
CAGR 4.1% | Win 57%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.3
Vol 10% | MDD -15.9%
Months 81M (35%)
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
RSI
neg
CAGR -2.8% | Win 52%
Sharpe -0.22 | Sortino -0.32 | Calmar -0.2
Vol 10% | MDD -17.0%
Months 21M (9%)
CAGR 1.6% | Win 53%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.1
Vol 12% | MDD -26.2%
Months 47M (20%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
MACDhist
only
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.7% | Win 52%
Sharpe 0.54 | Sortino 0.98 | Calmar 0.4
Vol 9% | MDD -11.9%
Months 89M (39%)
CAGR 4.3% | Win 54%
Sharpe 0.49 | Sortino 0.87 | Calmar 0.4
Vol 9% | MDD -11.7%
Months 72M (31%)
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
RSI
neg
CAGR -1.5% | Win 46%
Sharpe -0.08 | Sortino -0.17 | Calmar -0.2
Vol 11% | MDD -8.4%
Months 24M (10%)
CAGR 1.2% | Win 57%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 12% | MDD -26.2%
Months 44M (19%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.2% | Win 53%
Sharpe 0.57 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -16.8%
Months 143M (62%)
CAGR -0.7% | Win 50%
Sharpe -0.11 | Sortino -0.15 | Calmar -0.1
Vol 6% | MDD -7.0%
Months 18M (8%)
CAGR 4.5% | Win 53%
Sharpe 0.52 | Sortino 0.93 | Calmar 0.2
Vol 9% | MDD -21.1%
Months 161M (70%)
RSI
neg
CAGR -0.9% | Win 53%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 12% | MDD -26.6%
Months 36M (16%)
CAGR 1.5% | Win 53%
Sharpe 0.19 | Sortino 0.31 | Calmar 0.1
Vol 12% | MDD -15.0%
Months 32M (14%)
CAGR 0.2% | Win 53%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.8%
Months 68M (30%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.5% | Win 49%
Sharpe 0.44 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -17.8%
Months 77M (34%)
CAGR 2.6% | Win 50%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.3
Vol 11% | MDD -9.1%
Months 24M (10%)
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
MACDhist
neg
CAGR 3.1% | Win 53%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.2
Vol 12% | MDD -12.7%
Months 36M (16%)
CAGR 3.2% | Win 56%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -29.6%
Months 92M (40%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
RSIhist
only
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 50%
Sharpe 0.47 | Sortino 0.86 | Calmar 0.2
Vol 9% | MDD -16.8%
Months 96M (42%)
CAGR -8.2% | Win 40%
Sharpe -0.73 | Sortino -0.88 | Calmar -1.4
Vol 11% | MDD -5.9%
Months 5M (2%)
CAGR 3.3% | Win 50%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.1
Vol 9% | MDD -21.8%
Months 101M (44%)
MACDhist
neg
CAGR 4.0% | Win 57%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.1
Vol 11% | MDD -29.1%
Months 83M (36%)
CAGR 1.7% | Win 53%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.1
Vol 10% | MDD -17.6%
Months 45M (20%)
CAGR 3.2% | Win 56%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 11% | MDD -32.8%
Months 128M (56%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.3% | Win 52%
Sharpe 0.57 | Sortino 1.07 | Calmar 0.4
Vol 10% | MDD -11.9%
Months 92M (40%)
CAGR -4.5% | Win 43%
Sharpe -0.48 | Sortino -0.75 | Calmar -0.3
Vol 9% | MDD -13.2%
Months 21M (9%)
CAGR 3.4% | Win 50%
Sharpe 0.39 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -18.4%
Months 113M (49%)
RSIhist
neg
CAGR 2.6% | Win 54%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 10% | MDD -32.9%
Months 87M (38%)
CAGR 4.6% | Win 59%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.3
Vol 10% | MDD -16.5%
Months 29M (13%)
CAGR 3.1% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -31.5%
Months 116M (51%)
LWTI
only
CAGR 3.9% | Win 53%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.1
Vol 10% | MDD -36.3%
Months 179M (78%)
CAGR 0.7% | Win 52%
Sharpe 0.12 | Sortino 0.18 | Calmar 0.0
Vol 10% | MDD -17.6%
Months 50M (22%)