TLT - iShares 20+ Year Treasury Bond ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

39.1%

Best CAGR

81

Total Months

3.4%

Avg CAGR

TLT 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 TLT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 2 0.7 39.1 100.0 3.0 0.0 0.0 11.2 0.0
pair RSmean LWTI neg-neg 2 0.7 39.1 100.0 3.0 0.0 0.0 11.2 0.0
pair RSI LWTI pos-neg 30 10.6 15.7 66.7 1.5 2.3 1.8 10.4 -8.6
pair LWTI RSI pos-neg 30 10.6 15.7 66.7 1.5 2.3 1.8 10.4 -8.6
pair LWTI MACD pos-neg 38 13.4 13.6 63.2 1.3 2.3 2.1 10.3 -6.3
pair MACD LWTI pos-neg 38 13.4 13.6 63.2 1.3 2.3 2.1 10.3 -6.3
pair LWTI SLmean neg-neg 38 13.4 13.0 63.2 0.9 1.7 0.7 14.1 -17.6
pair SLmean LWTI neg-neg 38 13.4 13.0 63.2 0.9 1.7 0.7 14.1 -17.6
pair RSIhist LWTI neg-neg 38 13.4 12.8 63.2 0.9 1.6 0.7 14.6 -17.6
pair LWTI RSIhist neg-neg 38 13.4 12.8 63.2 0.9 1.6 0.7 14.6 -17.6
pair LWTI MACDhist neg-neg 59 20.8 12.2 62.7 0.9 1.6 0.7 13.7 -17.6
pair MACDhist LWTI neg-neg 59 20.8 12.2 62.7 0.9 1.6 0.7 13.7 -17.6
pair LWTI MRmean neg-neg 46 16.3 12.0 63.0 0.9 1.5 0.7 14.3 -17.6
pair MRmean LWTI neg-neg 46 16.3 12.0 63.0 0.9 1.5 0.7 14.3 -17.6
pair RSIhist MACD neg-neg 46 16.3 10.9 63.0 0.8 1.1 0.5 15.4 -22.9
pair MACD RSIhist neg-neg 46 16.3 10.9 63.0 0.8 1.1 0.5 15.4 -22.9
pair MRmean SLmean pos-neg 37 13.1 10.2 56.8 0.8 1.5 0.8 13.7 -13.0
pair SLmean MRmean pos-neg 37 13.1 10.2 56.8 0.8 1.5 0.8 13.7 -13.0
pair RSmean SLmean pos-neg 6 2.1 10.1 66.7 1.0 2.2 8.4 9.7 -1.2
pair SLmean RSmean pos-neg 6 2.1 10.1 66.7 1.0 2.2 8.4 9.7 -1.2
pair SLmean MACD neg-neg 51 18.0 9.9 62.7 0.7 1.1 0.5 14.8 -21.1
pair MACD SLmean neg-neg 51 18.0 9.9 62.7 0.7 1.1 0.5 14.8 -21.1
pair SLmean MRmean neg-pos 12 4.2 9.7 58.3 0.7 1.1 1.2 14.5 -7.7
pair MRmean SLmean neg-pos 12 4.2 9.7 58.3 0.7 1.1 1.2 14.5 -7.7
single LWTI LWTI neg-neg 68 24.0 9.5 61.8 0.8 1.4 0.5 13.4 -19.7
pair LWTI RSmean pos-neg 66 23.3 8.7 60.6 0.7 1.2 0.4 13.5 -19.7
pair RSmean LWTI pos-neg 66 23.3 8.7 60.6 0.7 1.2 0.4 13.5 -19.7
pair MACD MRmean neg-neg 51 18.0 8.0 60.8 0.6 0.9 0.3 15.8 -24.7
pair MRmean MACD neg-neg 51 18.0 8.0 60.8 0.6 0.9 0.3 15.8 -24.7
pair MACDhist SLmean neg-pos 40 14.1 7.7 60.0 0.6 1.1 0.4 14.3 -18.8
pair SLmean MACDhist neg-pos 40 14.1 7.7 60.0 0.6 1.1 0.4 14.3 -18.8
pair MACD MACDhist neg-neg 49 17.3 7.5 61.2 0.6 0.9 0.4 15.3 -18.6
pair MACDhist MACD neg-neg 49 17.3 7.5 61.2 0.6 0.9 0.4 15.3 -18.6
pair RSmean MRmean neg-neg 17 6.0 7.3 52.9 0.6 0.7 0.6 14.2 -11.7
pair MRmean RSmean neg-neg 17 6.0 7.3 52.9 0.6 0.7 0.6 14.2 -11.7
pair MACD MACDhist pos-pos 99 35.0 6.6 48.5 0.5 1.0 0.2 15.9 -26.1
pair MACDhist MACD pos-pos 99 35.0 6.6 48.5 0.5 1.0 0.2 15.9 -26.1
pair MACD RSIhist pos-pos 103 36.4 6.5 49.5 0.5 1.0 0.4 14.3 -14.9
pair RSIhist MACD pos-pos 103 36.4 6.5 49.5 0.5 1.0 0.4 14.3 -14.9
pair RSmean SLmean neg-pos 116 41.0 6.2 60.3 0.5 0.8 0.2 13.1 -39.7
pair SLmean RSmean neg-pos 116 41.0 6.2 60.3 0.5 0.8 0.2 13.1 -39.7
pair MACD MRmean pos-pos 147 51.9 5.8 49.7 0.5 0.9 0.2 14.4 -24.5
pair MRmean MACD pos-pos 147 51.9 5.8 49.7 0.5 0.9 0.2 14.4 -24.5
pair SLmean MACD pos-pos 122 43.1 5.7 49.2 0.5 0.9 0.3 14.2 -21.4
pair MACD SLmean pos-pos 122 43.1 5.7 49.2 0.5 0.9 0.3 14.2 -21.4
pair RSIhist MACDhist pos-neg 41 14.5 5.6 53.7 0.4 0.8 0.2 15.5 -22.2
pair MACDhist RSIhist pos-neg 41 14.5 5.6 53.7 0.4 0.8 0.2 15.5 -22.2
pair RSIhist LWTI pos-neg 30 10.6 5.5 60.0 0.5 1.0 0.5 11.9 -11.6
pair LWTI RSIhist pos-neg 30 10.6 5.5 60.0 0.5 1.0 0.5 11.9 -11.6
pair RSI MACDhist pos-pos 102 36.0 5.4 48.0 0.4 0.8 0.2 15.9 -26.1
pair MACDhist RSI pos-pos 102 36.0 5.4 48.0 0.4 0.8 0.2 15.9 -26.1
pair SLmean LWTI pos-neg 30 10.6 5.3 60.0 0.5 0.8 0.4 12.7 -12.3
pair RSI SLmean neg-neg 64 22.6 5.3 62.5 0.5 0.7 0.2 13.4 -33.5
pair SLmean RSI neg-neg 64 22.6 5.3 62.5 0.5 0.7 0.2 13.4 -33.5
pair LWTI SLmean pos-neg 30 10.6 5.3 60.0 0.5 0.8 0.4 12.7 -12.3
pair RSmean RSI pos-pos 183 64.7 5.2 51.9 0.4 0.8 0.2 13.7 -25.9
pair MACD RSI pos-pos 176 62.2 5.2 50.0 0.4 0.8 0.2 13.8 -23.7
pair RSI MACD pos-pos 176 62.2 5.2 50.0 0.4 0.8 0.2 13.8 -23.7
pair RSIhist SLmean neg-neg 123 43.5 5.2 57.7 0.5 0.7 0.1 13.4 -38.7
pair RSI RSmean pos-pos 183 64.7 5.2 51.9 0.4 0.8 0.2 13.7 -25.9
pair SLmean RSIhist neg-neg 123 43.5 5.2 57.7 0.5 0.7 0.1 13.4 -38.7
single SLmean SLmean neg-neg 135 47.7 5.1 57.8 0.4 0.7 0.1 13.1 -39.7
pair MRmean RSIhist pos-neg 55 19.4 4.9 50.9 0.4 0.8 0.3 13.8 -16.7
pair RSIhist MRmean pos-neg 55 19.4 4.9 50.9 0.4 0.8 0.3 13.8 -16.7
pair RSI SLmean neg-pos 71 25.1 4.9 53.5 0.4 0.7 0.4 12.9 -11.6
pair SLmean RSI neg-pos 71 25.1 4.9 53.5 0.4 0.7 0.4 12.9 -11.6
pair LWTI RSI neg-neg 38 13.4 4.9 57.9 0.4 0.9 0.2 15.4 -19.7
pair RSI LWTI neg-neg 38 13.4 4.9 57.9 0.4 0.9 0.2 15.4 -19.7
pair LWTI MACDhist pos-pos 118 41.7 4.9 49.2 0.4 0.7 0.2 15.5 -26.1
pair MACDhist LWTI pos-pos 118 41.7 4.9 49.2 0.4 0.7 0.2 15.5 -26.1
pair RSI RSIhist pos-neg 93 32.9 4.9 53.8 0.4 0.7 0.3 12.9 -17.4
pair RSIhist RSI pos-neg 93 32.9 4.9 53.8 0.4 0.7 0.3 12.9 -17.4
pair MRmean RSI pos-pos 160 56.5 4.8 51.2 0.4 0.8 0.2 14.1 -24.5
pair RSI MRmean pos-pos 160 56.5 4.8 51.2 0.4 0.8 0.2 14.1 -24.5
pair RSIhist RSmean pos-neg 129 45.6 4.8 57.4 0.4 0.7 0.1 13.3 -38.3
pair RSmean RSIhist pos-neg 129 45.6 4.8 57.4 0.4 0.7 0.1 13.3 -38.3
pair RSmean MRmean pos-pos 165 58.3 4.7 50.9 0.4 0.8 0.2 14.1 -26.7
pair MRmean RSmean pos-pos 165 58.3 4.7 50.9 0.4 0.8 0.2 14.1 -26.7
single RSI RSI pos-pos 205 72.4 4.7 51.7 0.4 0.7 0.2 13.6 -23.7
single RSIhist RSIhist neg-neg 149 52.7 4.7 56.4 0.4 0.7 0.1 13.3 -38.3
pair RSI SLmean pos-pos 134 47.3 4.6 50.7 0.4 0.7 0.2 14.0 -21.4
pair SLmean RSI pos-pos 134 47.3 4.6 50.7 0.4 0.7 0.2 14.0 -21.4
pair RSIhist MRmean neg-neg 94 33.2 4.6 59.6 0.4 0.6 0.1 13.0 -35.1
pair MRmean RSIhist neg-neg 94 33.2 4.6 59.6 0.4 0.6 0.1 13.0 -35.1
pair MACD LWTI neg-neg 30 10.6 4.5 60.0 0.3 0.8 0.2 16.7 -19.7
pair LWTI MACD neg-neg 30 10.6 4.5 60.0 0.3 0.8 0.2 16.7 -19.7
pair RSI RSIhist pos-pos 112 39.6 4.5 50.0 0.4 0.7 0.2 14.1 -18.0
pair RSIhist RSI pos-pos 112 39.6 4.5 50.0 0.4 0.7 0.2 14.1 -18.0
pair RSmean MACDhist pos-pos 125 44.2 4.5 50.4 0.4 0.7 0.2 15.3 -26.1
pair MACDhist RSmean pos-pos 125 44.2 4.5 50.4 0.4 0.7 0.2 15.3 -26.1
pair MACDhist MRmean neg-neg 92 32.5 4.5 56.5 0.4 0.6 0.1 13.1 -34.1
pair MRmean MACDhist neg-neg 92 32.5 4.5 56.5 0.4 0.6 0.1 13.1 -34.1
pair MACDhist MRmean pos-pos 109 38.5 4.5 46.8 0.4 0.7 0.2 15.6 -23.3
pair MRmean MACDhist pos-pos 109 38.5 4.5 46.8 0.4 0.7 0.2 15.6 -23.3
pair LWTI MRmean pos-neg 22 7.8 4.5 59.1 0.4 0.8 0.4 11.5 -11.4
pair MRmean LWTI pos-neg 22 7.8 4.5 59.1 0.4 0.8 0.4 11.5 -11.4
pair RSI RSIhist neg-neg 56 19.8 4.4 60.7 0.4 0.6 0.1 13.9 -35.1
pair RSIhist RSI neg-neg 56 19.8 4.4 60.7 0.4 0.6 0.1 13.9 -35.1
pair MACDhist RSIhist neg-neg 108 38.2 4.4 57.4 0.4 0.6 0.1 12.4 -32.8
pair RSIhist MACDhist neg-neg 108 38.2 4.4 57.4 0.4 0.6 0.1 12.4 -32.8
pair RSmean MACD pos-pos 201 71.0 4.4 51.7 0.4 0.7 0.1 13.4 -28.3
pair MACD RSmean pos-pos 201 71.0 4.4 51.7 0.4 0.7 0.1 13.4 -28.3
single MACD MACD pos-pos 206 72.8 4.3 51.5 0.4 0.7 0.1 13.3 -28.3
single RSmean RSmean pos-pos 258 91.2 4.2 53.9 0.4 0.7 0.1 13.7 -47.6
pair RSI MRmean neg-pos 45 15.9 4.1 53.3 0.4 0.6 0.3 11.4 -11.6
pair MRmean RSI neg-pos 45 15.9 4.1 53.3 0.4 0.6 0.3 11.4 -11.6
pair RSI MACDhist pos-neg 103 36.4 4.0 55.3 0.4 0.6 0.2 10.9 -20.8
pair MACDhist RSI pos-neg 103 36.4 4.0 55.3 0.4 0.6 0.2 10.9 -20.8
pair SLmean MACDhist neg-neg 95 33.6 4.0 56.8 0.4 0.6 0.1 12.6 -37.8
pair MACDhist SLmean neg-neg 95 33.6 4.0 56.8 0.4 0.6 0.1 12.6 -37.8
single MACDhist MACDhist pos-pos 127 44.9 4.0 49.6 0.3 0.6 0.1 15.2 -26.1
pair benchmark___benchmark_ benchmark-benchmark 283 100.0 3.9 53.4 0.3 0.6 0.1 13.5 -47.6
single MRmean MRmean pos-pos 173 61.1 3.9 50.3 0.3 0.7 0.1 13.9 -29.9
pair benchmark___benchmark_ benchmark-benchmark 283 100.0 3.9 53.4 0.3 0.6 0.1 13.5 -47.6
single MRmean MRmean neg-neg 110 38.9 3.9 58.2 0.4 0.5 0.1 13.0 -39.0
single MACDhist MACDhist neg-neg 156 55.1 3.8 56.4 0.4 0.6 0.1 12.1 -38.8
pair RSmean MACDhist pos-neg 133 47.0 3.8 57.1 0.4 0.6 0.1 12.0 -38.0
pair RSI MACD neg-neg 48 17.0 3.8 56.2 0.3 0.6 0.1 15.3 -26.9
pair MACDhist RSmean pos-neg 133 47.0 3.8 57.1 0.4 0.6 0.1 12.0 -38.0
pair MACD RSI neg-neg 48 17.0 3.8 56.2 0.3 0.6 0.1 15.3 -26.9
pair SLmean RSIhist neg-pos 12 4.2 3.8 58.3 0.4 1.1 1.0 10.0 -3.9
pair RSIhist SLmean neg-pos 12 4.2 3.8 58.3 0.4 1.1 1.0 10.0 -3.9
pair LWTI MRmean pos-pos 151 53.4 3.8 49.0 0.3 0.6 0.1 14.2 -26.9
pair MRmean LWTI pos-pos 151 53.4 3.8 49.0 0.3 0.6 0.1 14.2 -26.9
pair RSIhist RSmean neg-neg 20 7.1 3.8 50.0 0.3 0.5 0.3 13.6 -12.7
pair RSmean RSIhist neg-neg 20 7.1 3.8 50.0 0.3 0.5 0.3 13.6 -12.7
pair RSI MRmean neg-neg 65 23.0 3.7 61.5 0.3 0.5 0.1 14.1 -36.5
pair MRmean RSI neg-neg 65 23.0 3.7 61.5 0.3 0.5 0.1 14.1 -36.5
pair RSI RSmean neg-neg 3 1.1 3.6 33.3 0.3 0.9 0.8 15.8 -4.4
pair RSmean RSI neg-neg 3 1.1 3.6 33.3 0.3 0.9 0.8 15.8 -4.4
pair RSIhist RSmean pos-pos 129 45.6 3.5 50.4 0.3 0.6 0.2 14.1 -21.0
pair RSmean RSIhist pos-pos 129 45.6 3.5 50.4 0.3 0.6 0.2 14.1 -21.0
pair SLmean MACDhist pos-neg 61 21.6 3.5 55.7 0.4 0.6 0.2 11.2 -15.8
pair MACDhist SLmean pos-neg 61 21.6 3.5 55.7 0.4 0.6 0.2 11.2 -15.8
pair RSI MACDhist neg-neg 53 18.7 3.5 58.5 0.3 0.5 0.1 14.2 -31.4
pair MACDhist RSI neg-neg 53 18.7 3.5 58.5 0.3 0.5 0.1 14.2 -31.4
pair RSmean MACDhist neg-neg 23 8.1 3.5 52.2 0.3 0.5 0.2 12.8 -14.3
pair MACDhist RSmean neg-neg 23 8.1 3.5 52.2 0.3 0.5 0.2 12.8 -14.3
pair RSmean MACD pos-neg 57 20.1 3.4 61.4 0.3 0.6 0.1 14.7 -26.9
pair MACD RSmean pos-neg 57 20.1 3.4 61.4 0.3 0.6 0.1 14.7 -26.9
pair MRmean RSIhist pos-pos 118 41.7 3.4 50.0 0.3 0.6 0.1 14.0 -24.3
pair RSIhist MRmean pos-pos 118 41.7 3.4 50.0 0.3 0.6 0.1 14.0 -24.3
pair MRmean RSmean neg-pos 93 32.9 3.3 59.1 0.3 0.5 0.1 12.9 -39.0
pair RSmean MRmean neg-pos 93 32.9 3.3 59.1 0.3 0.5 0.1 12.9 -39.0
pair RSIhist MACDhist pos-pos 86 30.4 3.2 47.7 0.3 0.6 0.1 15.1 -21.7
pair MACDhist RSIhist pos-pos 86 30.4 3.2 47.7 0.3 0.6 0.1 15.1 -21.7
pair MRmean SLmean neg-neg 98 34.6 3.2 58.2 0.3 0.5 0.1 12.9 -37.4
pair SLmean MRmean neg-neg 98 34.6 3.2 58.2 0.3 0.5 0.1 12.9 -37.4
single RSIhist RSIhist pos-pos 134 47.3 3.0 50.0 0.3 0.5 0.1 13.9 -24.5
pair SLmean RSIhist pos-pos 122 43.1 2.9 49.2 0.3 0.5 0.1 14.2 -26.9
pair RSIhist SLmean pos-pos 122 43.1 2.9 49.2 0.3 0.5 0.1 14.2 -26.9
pair LWTI RSI pos-pos 175 61.8 2.9 49.1 0.3 0.5 0.1 14.0 -25.4
pair MRmean MACDhist pos-neg 64 22.6 2.9 56.2 0.3 0.5 0.1 10.5 -19.2
pair MACDhist MRmean pos-neg 64 22.6 2.9 56.2 0.3 0.5 0.1 10.5 -19.2
pair RSI LWTI pos-pos 175 61.8 2.9 49.1 0.3 0.5 0.1 14.0 -25.4
single MACD MACD neg-neg 77 27.2 2.9 58.4 0.3 0.4 0.1 14.2 -26.9
single SLmean SLmean pos-pos 148 52.3 2.8 49.3 0.3 0.5 0.1 14.0 -27.6
pair LWTI RSmean pos-pos 192 67.8 2.6 51.6 0.3 0.5 0.1 13.7 -42.6
pair RSmean LWTI pos-pos 192 67.8 2.6 51.6 0.3 0.5 0.1 13.7 -42.6
pair SLmean RSmean pos-pos 142 50.2 2.5 48.6 0.2 0.5 0.1 14.1 -26.7
pair RSmean SLmean pos-pos 142 50.2 2.5 48.6 0.2 0.5 0.1 14.1 -26.7
pair RSIhist MACDhist neg-pos 48 17.0 2.5 54.2 0.3 0.5 0.1 11.5 -19.1
pair MACDhist RSIhist neg-pos 48 17.0 2.5 54.2 0.3 0.5 0.1 11.5 -19.1
pair SLmean RSIhist pos-neg 26 9.2 2.4 50.0 0.2 0.4 0.2 12.9 -13.1
pair RSIhist SLmean pos-neg 26 9.2 2.4 50.0 0.2 0.4 0.2 12.9 -13.1
pair MACD SLmean neg-pos 84 29.7 2.3 54.8 0.2 0.4 0.1 11.9 -23.6
pair SLmean MACD neg-pos 84 29.7 2.3 54.8 0.2 0.4 0.1 11.9 -23.6
pair MACD LWTI pos-pos 168 59.4 2.3 48.8 0.2 0.4 0.1 13.9 -33.7
pair LWTI RSIhist pos-pos 104 36.7 2.3 47.1 0.2 0.4 0.1 14.4 -18.2
pair RSIhist LWTI pos-pos 104 36.7 2.3 47.1 0.2 0.4 0.1 14.4 -18.2
pair LWTI MACD pos-pos 168 59.4 2.3 48.8 0.2 0.4 0.1 13.9 -33.7
pair SLmean MACDhist pos-pos 87 30.7 2.3 44.8 0.2 0.4 0.1 15.6 -28.8
pair MACDhist SLmean pos-pos 87 30.7 2.3 44.8 0.2 0.4 0.1 15.6 -28.8
single LWTI LWTI pos-pos 215 76.0 2.2 50.7 0.2 0.4 0.1 13.6 -42.6
pair SLmean LWTI pos-pos 118 41.7 2.2 46.6 0.2 0.4 0.1 14.3 -20.6
pair LWTI SLmean pos-pos 118 41.7 2.2 46.6 0.2 0.4 0.1 14.3 -20.6
pair MRmean SLmean pos-pos 136 48.1 2.2 48.5 0.2 0.4 0.1 14.0 -26.8
pair SLmean MRmean pos-pos 136 48.1 2.2 48.5 0.2 0.4 0.1 14.0 -26.8
pair MACDhist MACD pos-neg 107 37.8 2.2 54.2 0.3 0.4 0.1 10.3 -30.5
pair MACD MACDhist pos-neg 107 37.8 2.2 54.2 0.3 0.4 0.1 10.3 -30.5
pair LWTI SLmean neg-pos 97 34.3 2.1 55.7 0.2 0.3 0.1 12.7 -36.6
pair SLmean LWTI neg-pos 97 34.3 2.1 55.7 0.2 0.3 0.1 12.7 -36.6
pair RSIhist LWTI neg-pos 111 39.2 2.1 54.1 0.2 0.3 0.1 12.8 -38.7
pair LWTI RSIhist neg-pos 111 39.2 2.1 54.1 0.2 0.3 0.1 12.8 -38.7
pair RSIhist MACD pos-neg 103 36.4 2.0 53.4 0.2 0.4 0.1 12.2 -22.6
pair MACD RSIhist pos-neg 103 36.4 2.0 53.4 0.2 0.4 0.1 12.2 -22.6
single RSI RSI neg-neg 78 27.6 1.9 57.7 0.2 0.3 0.1 13.5 -38.4
pair LWTI MACD neg-pos 47 16.6 1.8 57.4 0.2 0.3 0.1 12.6 -14.2
pair RSI RSmean pos-neg 75 26.5 1.8 58.7 0.2 0.3 0.1 13.6 -38.4
pair RSmean RSI pos-neg 75 26.5 1.8 58.7 0.2 0.3 0.1 13.6 -38.4
pair MACD LWTI neg-pos 47 16.6 1.8 57.4 0.2 0.3 0.1 12.6 -14.2
pair RSI MACD neg-pos 29 10.2 1.4 62.1 0.2 0.2 0.1 12.5 -11.6
pair MACD RSI neg-pos 29 10.2 1.4 62.1 0.2 0.2 0.1 12.5 -11.6
pair MACD RSmean neg-neg 20 7.1 1.3 50.0 0.2 0.2 0.1 13.0 -14.3
pair RSmean MACD neg-neg 20 7.1 1.3 50.0 0.2 0.2 0.1 13.0 -14.3
pair MACDhist MRmean neg-pos 18 6.4 1.0 66.7 0.1 0.2 0.1 13.1 -16.6
pair MRmean MACDhist neg-pos 18 6.4 1.0 66.7 0.1 0.2 0.1 13.1 -16.6
single RSmean RSmean neg-neg 25 8.8 1.0 48.0 0.1 0.2 0.1 12.5 -14.3
pair RSI RSmean neg-pos 22 7.8 0.7 50.0 0.1 0.1 0.1 12.5 -14.3
pair RSmean RSI neg-pos 22 7.8 0.7 50.0 0.1 0.1 0.1 12.5 -14.3
pair MACD MRmean neg-pos 59 20.8 0.5 55.9 0.1 0.1 0.0 10.1 -19.2
pair MRmean MACD neg-pos 59 20.8 0.5 55.9 0.1 0.1 0.0 10.1 -19.2
pair RSmean MACD neg-pos 5 1.8 0.0 40.0 0.1 0.1 0.0 11.9 -3.9
pair MACD RSmean neg-pos 5 1.8 0.0 40.0 0.1 0.1 0.0 11.9 -3.9
pair RSIhist MRmean neg-pos 16 5.7 -0.1 50.0 0.1 0.1 -0.0 13.3 -10.2
pair MRmean RSIhist neg-pos 16 5.7 -0.1 50.0 0.1 0.1 -0.0 13.3 -10.2
pair LWTI RSI neg-pos 40 14.1 -0.9 57.5 -0.0 -0.0 -0.0 11.6 -27.3
pair RSI LWTI neg-pos 40 14.1 -0.9 57.5 -0.0 -0.0 -0.0 11.6 -27.3
pair LWTI MACDhist neg-pos 97 34.3 -1.0 52.6 -0.0 -0.1 -0.0 10.8 -39.2
pair MACDhist LWTI neg-pos 97 34.3 -1.0 52.6 -0.0 -0.1 -0.0 10.8 -39.2
pair MACD RSI pos-neg 30 10.6 -1.2 60.0 -0.1 -0.1 -0.1 10.3 -17.1
pair RSI MACD pos-neg 30 10.6 -1.2 60.0 -0.1 -0.1 -0.1 10.3 -17.1
pair RSI MACDhist neg-pos 25 8.8 -1.5 56.0 -0.1 -0.1 -0.1 12.1 -17.1
pair MACDhist RSI neg-pos 25 8.8 -1.5 56.0 -0.1 -0.1 -0.1 12.1 -17.1
pair LWTI MRmean neg-pos 64 22.6 -1.6 54.7 -0.1 -0.1 -0.1 11.8 -34.2
pair MRmean LWTI neg-pos 64 22.6 -1.6 54.7 -0.1 -0.1 -0.1 11.8 -34.2
pair LWTI RSmean neg-pos 23 8.1 -1.7 43.5 -0.1 -0.1 -0.1 12.5 -18.9
pair RSmean LWTI neg-pos 23 8.1 -1.7 43.5 -0.1 -0.1 -0.1 12.5 -18.9
pair RSmean SLmean neg-neg 19 6.7 -1.7 42.1 -0.1 -0.1 -0.1 13.4 -18.3
pair SLmean RSmean neg-neg 19 6.7 -1.7 42.1 -0.1 -0.1 -0.1 13.4 -18.3
pair RSIhist RSI neg-pos 22 7.8 -4.4 50.0 -0.3 -0.6 -0.3 12.5 -12.7
pair RSI RSIhist neg-pos 22 7.8 -4.4 50.0 -0.3 -0.6 -0.3 12.5 -12.7
pair MACDhist MACD neg-pos 28 9.9 -4.7 53.6 -0.3 -0.5 -0.3 12.1 -17.1
pair MACD MACDhist neg-pos 28 9.9 -4.7 53.6 -0.3 -0.5 -0.3 12.1 -17.1
pair MACD MRmean pos-neg 26 9.2 -6.4 53.8 -0.6 -0.9 -0.3 10.1 -19.1
pair MRmean MACD pos-neg 26 9.2 -6.4 53.8 -0.6 -0.9 -0.3 10.1 -19.1
pair LWTI MACDhist pos-neg 9 3.2 -6.7 55.6 -0.6 -0.9 -0.7 11.3 -9.9
pair MACDhist LWTI pos-neg 9 3.2 -6.7 55.6 -0.6 -0.9 -0.7 11.3 -9.9
pair MRmean RSI pos-neg 13 4.6 -7.1 38.5 -0.7 -1.0 -0.6 10.2 -11.5
pair RSI MRmean pos-neg 13 4.6 -7.1 38.5 -0.7 -1.0 -0.6 10.2 -11.5
pair RSIhist MACD neg-pos 31 11.0 -8.0 51.6 -0.7 -1.1 -0.4 11.8 -19.0
pair MACD RSIhist neg-pos 31 11.0 -8.0 51.6 -0.7 -1.1 -0.4 11.8 -19.0
pair RSmean RSIhist neg-pos 5 1.8 -9.2 40.0 -1.4 -2.6 -2.1 6.8 -4.4
pair RSIhist RSmean neg-pos 5 1.8 -9.2 40.0 -1.4 -2.6 -2.1 6.8 -4.4
pair SLmean MACD pos-neg 26 9.2 -9.6 50.0 -0.8 -1.3 -0.5 12.3 -21.5
pair MACD SLmean pos-neg 26 9.2 -9.6 50.0 -0.8 -1.3 -0.5 12.3 -21.5
pair MRmean RSmean pos-neg 8 2.8 -11.2 37.5 -1.6 -2.9 -1.4 7.0 -8.1
pair RSmean MRmean pos-neg 8 2.8 -11.2 37.5 -1.6 -2.9 -1.4 7.0 -8.1
pair RSI SLmean pos-neg 14 4.9 -12.4 35.7 -0.9 -1.7 -0.8 13.6 -16.0
pair SLmean RSI pos-neg 14 4.9 -12.4 35.7 -0.9 -1.7 -0.8 13.6 -16.0
pair RSmean MACDhist neg-pos 2 0.7 -23.5 0.0 -5.4 -5.4 -7.3 4.9 -3.2
pair MACDhist RSmean neg-pos 2 0.7 -23.5 0.0 -5.4 -5.4 -7.3 4.9 -3.2

All Contingency Tables for TLT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 2.2% | Win 48%
Sharpe 0.23 | Sortino 0.43 | Calmar 0.1
Vol 14% | MDD -26.8%
Months 136M (48%)
CAGR 10.2% | Win 57%
Sharpe 0.77 | Sortino 1.53 | Calmar 0.8
Vol 14% | MDD -13.0%
Months 37M (13%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR 9.7% | Win 58%
Sharpe 0.70 | Sortino 1.12 | Calmar 1.2
Vol 14% | MDD -7.7%
Months 12M (4%)
CAGR 3.2% | Win 58%
Sharpe 0.31 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -37.4%
Months 98M (35%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
SLmean
only
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 4.7% | Win 51%
Sharpe 0.39 | Sortino 0.75 | Calmar 0.2
Vol 14% | MDD -26.7%
Months 165M (58%)
CAGR -11.2% | Win 38%
Sharpe -1.64 | Sortino -2.94 | Calmar -1.4
Vol 7% | MDD -8.1%
Months 8M (3%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR 3.3% | Win 59%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 93M (33%)
CAGR 7.3% | Win 53%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.6
Vol 14% | MDD -11.7%
Months 17M (6%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
RSmean
only
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 50%
Sharpe 0.46 | Sortino 0.91 | Calmar 0.2
Vol 14% | MDD -24.5%
Months 147M (52%)
CAGR -6.4% | Win 54%
Sharpe -0.60 | Sortino -0.88 | Calmar -0.3
Vol 10% | MDD -19.1%
Months 26M (9%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR 0.5% | Win 56%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 10% | MDD -19.2%
Months 59M (21%)
CAGR 8.0% | Win 61%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -24.7%
Months 51M (18%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
MACD
only
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.8% | Win 51%
Sharpe 0.40 | Sortino 0.77 | Calmar 0.2
Vol 14% | MDD -24.5%
Months 160M (56%)
CAGR -7.1% | Win 38%
Sharpe -0.67 | Sortino -1.03 | Calmar -0.6
Vol 10% | MDD -11.5%
Months 13M (5%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR 4.1% | Win 53%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.4
Vol 11% | MDD -11.6%
Months 45M (16%)
CAGR 3.7% | Win 62%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 14% | MDD -36.5%
Months 65M (23%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
RSI
only
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 47%
Sharpe 0.36 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -23.3%
Months 109M (38%)
CAGR 2.9% | Win 56%
Sharpe 0.32 | Sortino 0.54 | Calmar 0.1
Vol 10% | MDD -19.2%
Months 64M (23%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR 1.0% | Win 67%
Sharpe 0.14 | Sortino 0.22 | Calmar 0.1
Vol 13% | MDD -16.6%
Months 18M (6%)
CAGR 4.5% | Win 56%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 13% | MDD -34.1%
Months 92M (32%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
MACDhist
only
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 50%
Sharpe 0.31 | Sortino 0.59 | Calmar 0.1
Vol 14% | MDD -24.3%
Months 118M (42%)
CAGR 4.9% | Win 51%
Sharpe 0.41 | Sortino 0.79 | Calmar 0.3
Vol 14% | MDD -16.7%
Months 55M (19%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR -0.1% | Win 50%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 13% | MDD -10.2%
Months 16M (6%)
CAGR 4.6% | Win 60%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 13% | MDD -35.1%
Months 94M (33%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 49%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 151M (53%)
CAGR 4.5% | Win 59%
Sharpe 0.44 | Sortino 0.83 | Calmar 0.4
Vol 12% | MDD -11.4%
Months 22M (8%)
CAGR 3.9% | Win 50%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -29.9%
Months 173M (61%)
MRmean
neg
CAGR -1.6% | Win 55%
Sharpe -0.08 | Sortino -0.10 | Calmar -0.0
Vol 12% | MDD -34.2%
Months 64M (23%)
CAGR 12.0% | Win 63%
Sharpe 0.87 | Sortino 1.53 | Calmar 0.7
Vol 14% | MDD -17.6%
Months 46M (16%)
CAGR 3.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -39.0%
Months 110M (39%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.5% | Win 49%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 14% | MDD -26.7%
Months 142M (50%)
CAGR 10.1% | Win 67%
Sharpe 1.04 | Sortino 2.25 | Calmar 8.4
Vol 10% | MDD -1.2%
Months 6M (2%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 6.2% | Win 60%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.2
Vol 13% | MDD -39.7%
Months 116M (41%)
CAGR -1.7% | Win 42%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 13% | MDD -18.3%
Months 19M (7%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
RSmean
only
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.7% | Win 49%
Sharpe 0.46 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -21.4%
Months 122M (43%)
CAGR -9.6% | Win 50%
Sharpe -0.76 | Sortino -1.32 | Calmar -0.4
Vol 12% | MDD -21.5%
Months 26M (9%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 2.3% | Win 55%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 12% | MDD -23.6%
Months 84M (30%)
CAGR 9.9% | Win 63%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.5
Vol 15% | MDD -21.1%
Months 51M (18%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
MACD
only
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 51%
Sharpe 0.39 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -21.4%
Months 134M (47%)
CAGR -12.4% | Win 36%
Sharpe -0.91 | Sortino -1.66 | Calmar -0.8
Vol 14% | MDD -16.0%
Months 14M (5%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 4.9% | Win 54%
Sharpe 0.43 | Sortino 0.73 | Calmar 0.4
Vol 13% | MDD -11.6%
Months 71M (25%)
CAGR 5.3% | Win 62%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -33.5%
Months 64M (23%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
RSI
only
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 2.3% | Win 45%
Sharpe 0.22 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -28.8%
Months 87M (31%)
CAGR 3.5% | Win 56%
Sharpe 0.36 | Sortino 0.63 | Calmar 0.2
Vol 11% | MDD -15.8%
Months 61M (22%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 7.7% | Win 60%
Sharpe 0.59 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -18.8%
Months 40M (14%)
CAGR 4.0% | Win 57%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.1
Vol 13% | MDD -37.8%
Months 95M (34%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
MACDhist
only
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.9% | Win 49%
Sharpe 0.27 | Sortino 0.51 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 122M (43%)
CAGR 2.4% | Win 50%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.2
Vol 13% | MDD -13.1%
Months 26M (9%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 1.06 | Calmar 1.0
Vol 10% | MDD -3.9%
Months 12M (4%)
CAGR 5.2% | Win 58%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.1
Vol 13% | MDD -38.7%
Months 123M (44%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 2.2% | Win 47%
Sharpe 0.22 | Sortino 0.42 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 118M (42%)
CAGR 5.3% | Win 60%
Sharpe 0.46 | Sortino 0.81 | Calmar 0.4
Vol 13% | MDD -12.3%
Months 30M (11%)
CAGR 2.8% | Win 49%
Sharpe 0.27 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -27.6%
Months 148M (52%)
SLmean
neg
CAGR 2.1% | Win 56%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 13% | MDD -36.6%
Months 97M (34%)
CAGR 13.0% | Win 63%
Sharpe 0.94 | Sortino 1.70 | Calmar 0.7
Vol 14% | MDD -17.6%
Months 38M (13%)
CAGR 5.1% | Win 58%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.1
Vol 13% | MDD -39.7%
Months 135M (48%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.4% | Win 52%
Sharpe 0.39 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 201M (71%)
CAGR 3.4% | Win 61%
Sharpe 0.30 | Sortino 0.55 | Calmar 0.1
Vol 15% | MDD -26.9%
Months 57M (20%)
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
RSmean
neg
CAGR 0.0% | Win 40%
Sharpe 0.05 | Sortino 0.14 | Calmar 0.0
Vol 12% | MDD -3.9%
Months 5M (2%)
CAGR 1.3% | Win 50%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 13% | MDD -14.3%
Months 20M (7%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
MACD
only
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.2% | Win 52%
Sharpe 0.43 | Sortino 0.82 | Calmar 0.2
Vol 14% | MDD -25.9%
Months 183M (65%)
CAGR 1.8% | Win 59%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 75M (26%)
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
RSmean
neg
CAGR 0.7% | Win 50%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 12% | MDD -14.3%
Months 22M (8%)
CAGR 3.6% | Win 33%
Sharpe 0.28 | Sortino 0.89 | Calmar 0.8
Vol 16% | MDD -4.4%
Months 3M (1%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
RSI
only
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.5% | Win 50%
Sharpe 0.36 | Sortino 0.69 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 125M (44%)
CAGR 3.8% | Win 57%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 12% | MDD -38.0%
Months 133M (47%)
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
RSmean
neg
CAGR -23.5% | Win 0%
Sharpe -5.39 | Sortino -5.39 | Calmar -7.3
Vol 5% | MDD -3.2%
Months 2M (1%)
CAGR 3.5% | Win 52%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.2
Vol 13% | MDD -14.3%
Months 23M (8%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
MACDhist
only
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.5% | Win 50%
Sharpe 0.31 | Sortino 0.59 | Calmar 0.2
Vol 14% | MDD -21.0%
Months 129M (46%)
CAGR 4.8% | Win 57%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 129M (46%)
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
RSmean
neg
CAGR -9.2% | Win 40%
Sharpe -1.38 | Sortino -2.63 | Calmar -2.1
Vol 7% | MDD -4.4%
Months 5M (2%)
CAGR 3.8% | Win 50%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.3
Vol 14% | MDD -12.7%
Months 20M (7%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 52%
Sharpe 0.26 | Sortino 0.45 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 192M (68%)
CAGR 8.7% | Win 61%
Sharpe 0.69 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -19.7%
Months 66M (23%)
CAGR 4.2% | Win 54%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -47.6%
Months 258M (91%)
RSmean
neg
CAGR -1.7% | Win 44%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 12% | MDD -18.9%
Months 23M (8%)
CAGR 39.1% | Win 100%
Sharpe 3.01 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (1%)
CAGR 1.0% | Win 48%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -14.3%
Months 25M (9%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.2% | Win 50%
Sharpe 0.44 | Sortino 0.85 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 176M (62%)
CAGR -1.2% | Win 60%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 10% | MDD -17.1%
Months 30M (11%)
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
MACD
neg
CAGR 1.4% | Win 62%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -11.6%
Months 29M (10%)
CAGR 3.8% | Win 56%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 15% | MDD -26.9%
Months 48M (17%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
RSI
only
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 48%
Sharpe 0.48 | Sortino 0.98 | Calmar 0.3
Vol 16% | MDD -26.1%
Months 99M (35%)
CAGR 2.2% | Win 54%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.1
Vol 10% | MDD -30.5%
Months 107M (38%)
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
MACD
neg
CAGR -4.7% | Win 54%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.3
Vol 12% | MDD -17.1%
Months 28M (10%)
CAGR 7.5% | Win 61%
Sharpe 0.55 | Sortino 0.91 | Calmar 0.4
Vol 15% | MDD -18.6%
Months 49M (17%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
MACDhist
only
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.5% | Win 50%
Sharpe 0.51 | Sortino 1.00 | Calmar 0.4
Vol 14% | MDD -14.9%
Months 103M (36%)
CAGR 2.0% | Win 53%
Sharpe 0.23 | Sortino 0.37 | Calmar 0.1
Vol 12% | MDD -22.6%
Months 103M (36%)
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
MACD
neg
CAGR -8.0% | Win 52%
Sharpe -0.65 | Sortino -1.13 | Calmar -0.4
Vol 12% | MDD -19.0%
Months 31M (11%)
CAGR 10.9% | Win 63%
Sharpe 0.75 | Sortino 1.11 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 46M (16%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.3% | Win 49%
Sharpe 0.23 | Sortino 0.42 | Calmar 0.1
Vol 14% | MDD -33.7%
Months 168M (59%)
CAGR 13.6% | Win 63%
Sharpe 1.29 | Sortino 2.33 | Calmar 2.1
Vol 10% | MDD -6.3%
Months 38M (13%)
CAGR 4.3% | Win 52%
Sharpe 0.38 | Sortino 0.69 | Calmar 0.2
Vol 13% | MDD -28.3%
Months 206M (73%)
MACD
neg
CAGR 1.8% | Win 57%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.1
Vol 13% | MDD -14.2%
Months 47M (17%)
CAGR 4.5% | Win 60%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.2
Vol 17% | MDD -19.7%
Months 30M (11%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 14% | MDD -26.9%
Months 77M (27%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.4% | Win 48%
Sharpe 0.41 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -26.1%
Months 102M (36%)
CAGR 4.0% | Win 55%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.2
Vol 11% | MDD -20.8%
Months 103M (36%)
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
RSI
neg
CAGR -1.5% | Win 56%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 12% | MDD -17.1%
Months 25M (9%)
CAGR 3.5% | Win 58%
Sharpe 0.31 | Sortino 0.52 | Calmar 0.1
Vol 14% | MDD -31.4%
Months 53M (19%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
MACDhist
only
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.5% | Win 50%
Sharpe 0.38 | Sortino 0.73 | Calmar 0.3
Vol 14% | MDD -18.0%
Months 112M (40%)
CAGR 4.9% | Win 54%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.3
Vol 13% | MDD -17.4%
Months 93M (33%)
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
RSI
neg
CAGR -4.4% | Win 50%
Sharpe -0.30 | Sortino -0.56 | Calmar -0.3
Vol 12% | MDD -12.7%
Months 22M (8%)
CAGR 4.4% | Win 61%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 14% | MDD -35.1%
Months 56M (20%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.9% | Win 49%
Sharpe 0.27 | Sortino 0.51 | Calmar 0.1
Vol 14% | MDD -25.4%
Months 175M (62%)
CAGR 15.7% | Win 67%
Sharpe 1.46 | Sortino 2.28 | Calmar 1.8
Vol 10% | MDD -8.6%
Months 30M (11%)
CAGR 4.7% | Win 52%
Sharpe 0.40 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -23.7%
Months 205M (72%)
RSI
neg
CAGR -0.9% | Win 57%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 12% | MDD -27.3%
Months 40M (14%)
CAGR 4.9% | Win 58%
Sharpe 0.38 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -19.7%
Months 38M (13%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 14% | MDD -38.4%
Months 78M (28%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.2% | Win 48%
Sharpe 0.28 | Sortino 0.55 | Calmar 0.1
Vol 15% | MDD -21.7%
Months 86M (30%)
CAGR 5.6% | Win 54%
Sharpe 0.42 | Sortino 0.81 | Calmar 0.3
Vol 16% | MDD -22.2%
Months 41M (14%)
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
MACDhist
neg
CAGR 2.5% | Win 54%
Sharpe 0.28 | Sortino 0.52 | Calmar 0.1
Vol 12% | MDD -19.1%
Months 48M (17%)
CAGR 4.4% | Win 57%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.1
Vol 12% | MDD -32.8%
Months 108M (38%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
RSIhist
only
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.9% | Win 49%
Sharpe 0.38 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -26.1%
Months 118M (42%)
CAGR -6.7% | Win 56%
Sharpe -0.56 | Sortino -0.91 | Calmar -0.7
Vol 11% | MDD -9.9%
Months 9M (3%)
CAGR 4.0% | Win 50%
Sharpe 0.33 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -26.1%
Months 127M (45%)
MACDhist
neg
CAGR -1.0% | Win 53%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.0
Vol 11% | MDD -39.2%
Months 97M (34%)
CAGR 12.2% | Win 63%
Sharpe 0.92 | Sortino 1.64 | Calmar 0.7
Vol 14% | MDD -17.6%
Months 59M (21%)
CAGR 3.8% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 12% | MDD -38.8%
Months 156M (55%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 2.3% | Win 47%
Sharpe 0.23 | Sortino 0.43 | Calmar 0.1
Vol 14% | MDD -18.2%
Months 104M (37%)
CAGR 5.5% | Win 60%
Sharpe 0.51 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -11.6%
Months 30M (11%)
CAGR 3.0% | Win 50%
Sharpe 0.28 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -24.5%
Months 134M (47%)
RSIhist
neg
CAGR 2.1% | Win 54%
Sharpe 0.22 | Sortino 0.34 | Calmar 0.1
Vol 13% | MDD -38.7%
Months 111M (39%)
CAGR 12.8% | Win 63%
Sharpe 0.90 | Sortino 1.58 | Calmar 0.7
Vol 15% | MDD -17.6%
Months 38M (13%)
CAGR 4.7% | Win 56%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -38.3%
Months 149M (53%)
LWTI
only
CAGR 2.2% | Win 51%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -42.6%
Months 215M (76%)
CAGR 9.5% | Win 62%
Sharpe 0.75 | Sortino 1.35 | Calmar 0.5
Vol 13% | MDD -19.7%
Months 68M (24%)