TUR - iShares MSCI Turkey ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

95.6%

Best CAGR

61

Total Months

2.4%

Avg CAGR

TUR 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 TUR

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 6 2.8 95.6 66.7 2.5 350.3 25.9 28.5 -3.7
pair RSmean RSIhist neg-pos 6 2.8 95.6 66.7 2.5 350.3 25.9 28.5 -3.7
pair RSmean SLmean pos-neg 6 2.8 86.4 66.7 2.4 325.5 45.4 28.4 -1.9
pair SLmean RSmean pos-neg 6 2.8 86.4 66.7 2.4 325.5 45.4 28.4 -1.9
pair SLmean RSIhist neg-pos 5 2.3 53.0 80.0 2.5 0.0 0.0 17.9 0.0
pair RSIhist SLmean neg-pos 5 2.3 53.0 80.0 2.5 0.0 0.0 17.9 0.0
pair LWTI RSmean neg-neg 3 1.4 50.8 66.7 2.2 0.0 26.7 19.9 -1.9
pair RSmean LWTI neg-neg 3 1.4 50.8 66.7 2.2 0.0 26.7 19.9 -1.9
pair SLmean RSIhist pos-neg 14 6.5 37.8 57.1 1.4 2.9 3.1 26.1 -12.0
pair RSIhist SLmean pos-neg 14 6.5 37.8 57.1 1.4 2.9 3.1 26.1 -12.0
pair MACDhist MRmean pos-neg 42 19.5 36.3 54.8 1.2 2.5 1.6 30.3 -22.4
pair MRmean MACDhist pos-neg 42 19.5 36.3 54.8 1.2 2.5 1.6 30.3 -22.4
pair MACD RSmean neg-pos 5 2.3 36.1 40.0 1.0 3.8 5.7 35.4 -6.3
pair RSmean MACD neg-pos 5 2.3 36.1 40.0 1.0 3.8 5.7 35.4 -6.3
pair RSIhist LWTI neg-neg 39 18.1 30.1 59.0 0.9 1.4 1.1 36.9 -28.4
pair LWTI RSIhist neg-neg 39 18.1 30.1 59.0 0.9 1.4 1.1 36.9 -28.4
pair MACDhist SLmean pos-neg 48 22.3 27.4 56.2 1.0 2.1 1.0 29.4 -26.8
pair SLmean MACDhist pos-neg 48 22.3 27.4 56.2 1.0 2.1 1.0 29.4 -26.8
pair LWTI SLmean neg-neg 36 16.7 27.3 58.3 0.8 1.3 1.0 37.9 -28.4
pair SLmean LWTI neg-neg 36 16.7 27.3 58.3 0.8 1.3 1.0 37.9 -28.4
pair MACD LWTI neg-neg 62 28.8 26.6 61.3 0.9 1.4 0.8 34.3 -31.1
pair LWTI MACD neg-neg 62 28.8 26.6 61.3 0.9 1.4 0.8 34.3 -31.1
pair LWTI RSI neg-neg 55 25.6 25.2 58.2 0.8 1.5 0.9 36.3 -28.4
pair RSI LWTI neg-neg 55 25.6 25.2 58.2 0.8 1.5 0.9 36.3 -28.4
pair LWTI MRmean neg-neg 46 21.4 24.9 58.7 0.8 1.4 0.9 35.8 -28.4
pair MRmean LWTI neg-neg 46 21.4 24.9 58.7 0.8 1.4 0.9 35.8 -28.4
pair MACDhist RSmean pos-neg 102 47.4 22.5 54.9 0.8 1.5 0.6 33.1 -36.6
pair RSmean MACDhist pos-neg 102 47.4 22.5 54.9 0.8 1.5 0.6 33.1 -36.6
pair MACDhist MACD neg-neg 82 38.1 22.5 58.5 0.7 1.1 0.4 38.8 -59.7
pair MACD MACDhist neg-neg 82 38.1 22.5 58.5 0.7 1.1 0.4 38.8 -59.7
pair LWTI MACDhist neg-neg 61 28.4 21.8 57.4 0.8 1.3 0.8 33.3 -28.4
pair MACDhist LWTI neg-neg 61 28.4 21.8 57.4 0.8 1.3 0.8 33.3 -28.4
pair RSI MACDhist neg-neg 76 35.3 20.1 57.9 0.7 1.0 0.4 39.6 -48.8
pair MACDhist RSI neg-neg 76 35.3 20.1 57.9 0.7 1.0 0.4 39.6 -48.8
pair RSIhist MACDhist neg-pos 38 17.7 20.0 55.3 0.7 1.6 0.7 31.0 -26.8
pair MACDhist RSIhist neg-pos 38 17.7 20.0 55.3 0.7 1.6 0.7 31.0 -26.8
single LWTI LWTI neg-neg 75 34.9 17.6 57.3 0.7 1.1 0.6 32.7 -31.1
pair MACD RSmean pos-neg 110 51.2 17.0 57.3 0.6 1.1 0.3 34.4 -56.5
pair RSmean MACD pos-neg 110 51.2 17.0 57.3 0.6 1.1 0.3 34.4 -56.5
pair LWTI RSmean pos-neg 72 33.5 16.4 56.9 0.6 1.1 0.5 33.1 -31.1
pair RSmean LWTI pos-neg 72 33.5 16.4 56.9 0.6 1.1 0.5 33.1 -31.1
pair RSI RSIhist neg-pos 29 13.5 16.3 58.6 0.6 1.6 0.6 33.3 -26.5
pair RSIhist RSI neg-pos 29 13.5 16.3 58.6 0.6 1.6 0.6 33.3 -26.5
pair MRmean SLmean neg-pos 14 6.5 15.5 57.1 0.7 1.8 1.4 25.7 -10.8
pair SLmean RSI pos-neg 31 14.4 15.5 58.1 0.6 1.5 0.4 32.4 -38.1
pair SLmean MRmean neg-pos 14 6.5 15.5 57.1 0.7 1.8 1.4 25.7 -10.8
pair RSI SLmean pos-neg 31 14.4 15.5 58.1 0.6 1.5 0.4 32.4 -38.1
pair RSI MACD neg-neg 94 43.7 14.7 57.4 0.6 0.8 0.3 38.5 -48.8
pair MACD RSI neg-neg 94 43.7 14.7 57.4 0.6 0.8 0.3 38.5 -48.8
single MACDhist MACDhist neg-neg 120 55.8 13.8 52.5 0.5 0.9 0.2 36.1 -59.7
pair RSIhist RSmean pos-neg 97 45.1 12.4 50.5 0.5 0.9 0.2 34.7 -56.4
pair RSmean RSIhist pos-neg 97 45.1 12.4 50.5 0.5 0.9 0.2 34.7 -56.4
pair RSmean RSI pos-neg 97 45.1 12.0 54.6 0.5 0.9 0.2 35.6 -56.6
pair RSI RSmean pos-neg 97 45.1 12.0 54.6 0.5 0.9 0.2 35.6 -56.6
pair RSIhist MACDhist neg-neg 82 38.1 11.0 51.2 0.5 0.7 0.2 38.5 -59.7
pair MACDhist RSIhist neg-neg 82 38.1 11.0 51.2 0.5 0.7 0.2 38.5 -59.7
pair RSmean SLmean neg-pos 88 40.9 10.4 51.1 0.5 0.8 0.2 35.1 -58.5
pair SLmean RSmean neg-pos 88 40.9 10.4 51.1 0.5 0.8 0.2 35.1 -58.5
pair SLmean LWTI pos-neg 39 18.1 9.3 56.4 0.5 0.9 0.3 27.3 -26.4
pair LWTI SLmean pos-neg 39 18.1 9.3 56.4 0.5 0.9 0.3 27.3 -26.4
pair MRmean RSIhist pos-neg 22 10.2 9.2 40.9 0.4 0.8 0.2 32.6 -38.7
pair RSIhist MRmean pos-neg 22 10.2 9.2 40.9 0.4 0.8 0.2 32.6 -38.7
pair MACD MRmean neg-neg 73 34.0 8.9 54.8 0.4 0.6 0.1 40.2 -59.7
pair MRmean MACD neg-neg 73 34.0 8.9 54.8 0.4 0.6 0.1 40.2 -59.7
pair MACD SLmean pos-neg 59 27.4 8.8 55.9 0.4 0.9 0.2 31.6 -51.1
pair SLmean MACD pos-neg 59 27.4 8.8 55.9 0.4 0.9 0.2 31.6 -51.1
pair RSIhist MACD neg-neg 70 32.6 7.9 54.3 0.4 0.6 0.1 41.1 -59.7
pair MACD RSIhist neg-neg 70 32.6 7.9 54.3 0.4 0.6 0.1 41.1 -59.7
single MACD MACD neg-neg 128 59.5 7.9 55.5 0.4 0.6 0.1 36.8 -59.7
pair MACD RSIhist neg-pos 58 27.0 7.8 56.9 0.4 0.8 0.2 31.2 -39.0
pair SLmean MRmean pos-neg 18 8.4 7.8 44.4 0.4 0.7 0.3 31.3 -28.4
pair RSIhist MACD neg-pos 58 27.0 7.8 56.9 0.4 0.8 0.2 31.2 -39.0
pair MRmean SLmean pos-neg 18 8.4 7.8 44.4 0.4 0.7 0.3 31.3 -28.4
pair MRmean RSI neg-neg 84 39.1 7.7 54.8 0.4 0.6 0.1 39.3 -53.0
single RSI RSI neg-neg 109 50.7 7.7 55.0 0.4 0.6 0.2 38.2 -49.0
pair RSI MRmean neg-neg 84 39.1 7.7 54.8 0.4 0.6 0.1 39.3 -53.0
pair RSI MRmean pos-neg 25 11.6 7.6 56.0 0.4 0.8 0.3 34.8 -29.9
pair MRmean RSI pos-neg 25 11.6 7.6 56.0 0.4 0.8 0.3 34.8 -29.9
pair MRmean RSmean neg-pos 87 40.5 7.3 51.7 0.4 0.7 0.2 34.6 -46.0
pair RSmean MRmean neg-pos 87 40.5 7.3 51.7 0.4 0.7 0.2 34.6 -46.0
pair SLmean MACD neg-neg 69 32.1 7.1 55.1 0.4 0.6 0.1 40.9 -59.7
pair MACD SLmean neg-neg 69 32.1 7.1 55.1 0.4 0.6 0.1 40.9 -59.7
pair MRmean LWTI pos-neg 29 13.5 6.9 55.2 0.4 0.6 0.2 27.3 -30.1
pair LWTI MRmean pos-neg 29 13.5 6.9 55.2 0.4 0.6 0.2 27.3 -30.1
pair MRmean MACD pos-neg 55 25.6 6.5 56.4 0.3 0.7 0.1 32.1 -55.0
pair MACD MRmean pos-neg 55 25.6 6.5 56.4 0.3 0.7 0.1 32.1 -55.0
pair LWTI MACDhist neg-pos 59 27.4 6.0 47.5 0.3 0.6 0.1 39.0 -59.7
pair MACDhist LWTI neg-pos 59 27.4 6.0 47.5 0.3 0.6 0.1 39.0 -59.7
pair RSmean MRmean pos-neg 9 4.2 5.5 44.4 0.3 0.5 0.3 33.9 -17.2
pair MRmean RSmean pos-neg 9 4.2 5.5 44.4 0.3 0.5 0.3 33.9 -17.2
pair SLmean MACDhist neg-neg 72 33.5 5.5 50.0 0.3 0.5 0.1 40.1 -59.7
pair MACDhist SLmean neg-neg 72 33.5 5.5 50.0 0.3 0.5 0.1 40.1 -59.7
pair LWTI RSIhist pos-neg 36 16.7 5.3 55.6 0.3 0.6 0.2 27.4 -22.6
pair RSIhist LWTI pos-neg 36 16.7 5.3 55.6 0.3 0.6 0.2 27.4 -22.6
single RSmean RSmean pos-pos 192 89.3 5.2 51.0 0.3 0.6 0.1 32.6 -75.1
pair SLmean RSI neg-neg 78 36.3 4.8 53.8 0.3 0.5 0.1 40.4 -60.5
pair RSI SLmean neg-neg 78 36.3 4.8 53.8 0.3 0.5 0.1 40.4 -60.5
pair RSI RSIhist neg-neg 80 37.2 4.7 53.8 0.3 0.5 0.1 40.0 -55.0
pair RSIhist RSI neg-neg 80 37.2 4.7 53.8 0.3 0.5 0.1 40.0 -55.0
single SLmean SLmean pos-pos 110 51.2 4.5 51.8 0.3 0.6 0.1 30.5 -60.9
single MRmean MRmean pos-pos 114 53.0 3.7 50.0 0.3 0.5 0.1 31.1 -71.5
pair MRmean RSmean pos-pos 105 48.8 3.6 50.5 0.3 0.5 0.1 31.0 -67.9
pair RSmean MRmean pos-pos 105 48.8 3.6 50.5 0.3 0.5 0.1 31.0 -67.9
pair MACDhist RSI pos-neg 44 20.5 3.5 43.2 0.3 0.5 0.1 29.4 -31.8
pair RSI MACDhist pos-neg 44 20.5 3.5 43.2 0.3 0.5 0.1 29.4 -31.8
pair MRmean MACDhist neg-neg 78 36.3 3.2 51.3 0.3 0.5 0.1 38.9 -60.0
pair MACDhist MRmean neg-neg 78 36.3 3.2 51.3 0.3 0.5 0.1 38.9 -60.0
pair SLmean MRmean pos-pos 96 44.7 3.0 51.0 0.2 0.5 0.1 31.2 -65.3
pair MRmean SLmean pos-pos 96 44.7 3.0 51.0 0.2 0.5 0.1 31.2 -65.3
pair MRmean RSIhist neg-pos 9 4.2 2.8 55.6 0.2 0.7 0.3 28.3 -8.3
pair RSIhist MRmean neg-pos 9 4.2 2.8 55.6 0.2 0.7 0.3 28.3 -8.3
pair MRmean RSI pos-pos 89 41.4 2.7 48.3 0.2 0.5 0.0 30.2 -62.2
pair LWTI MRmean pos-pos 85 39.5 2.7 48.2 0.2 0.5 0.0 32.4 -67.2
pair MRmean LWTI pos-pos 85 39.5 2.7 48.2 0.2 0.5 0.0 32.4 -67.2
pair RSI MRmean pos-pos 89 41.4 2.7 48.3 0.2 0.5 0.0 30.2 -62.2
pair RSIhist MRmean pos-pos 92 42.8 2.5 52.2 0.2 0.5 0.0 30.9 -59.5
pair MRmean RSIhist pos-pos 92 42.8 2.5 52.2 0.2 0.5 0.0 30.9 -59.5
single RSIhist RSIhist pos-pos 101 47.0 2.5 52.5 0.2 0.5 0.0 30.5 -56.2
pair SLmean LWTI pos-pos 71 33.0 2.0 49.3 0.2 0.5 0.0 32.2 -58.4
pair LWTI SLmean pos-pos 71 33.0 2.0 49.3 0.2 0.5 0.0 32.2 -58.4
pair benchmark___benchmark_ benchmark-benchmark 215 100.0 1.8 50.2 0.2 0.4 0.0 34.2 -70.7
pair benchmark___benchmark_ benchmark-benchmark 215 100.0 1.8 50.2 0.2 0.4 0.0 34.2 -70.7
pair MRmean MACD pos-pos 59 27.4 1.2 44.1 0.2 0.4 0.0 30.4 -42.2
pair MACD MRmean pos-pos 59 27.4 1.2 44.1 0.2 0.4 0.0 30.4 -42.2
pair RSmean SLmean pos-pos 104 48.4 1.1 51.0 0.2 0.4 0.0 30.4 -63.7
pair SLmean RSmean pos-pos 104 48.4 1.1 51.0 0.2 0.4 0.0 30.4 -63.7
single RSIhist RSIhist neg-neg 114 53.0 1.1 48.2 0.2 0.3 0.0 37.3 -66.6
pair RSIhist LWTI pos-pos 65 30.2 0.9 50.8 0.2 0.4 0.0 32.3 -52.1
pair LWTI RSIhist pos-pos 65 30.2 0.9 50.8 0.2 0.4 0.0 32.3 -52.1
pair LWTI MACDhist pos-neg 14 6.5 0.7 57.1 0.2 0.3 0.0 30.2 -23.6
pair MACDhist LWTI pos-neg 14 6.5 0.7 57.1 0.2 0.3 0.0 30.2 -23.6
pair RSI SLmean pos-pos 79 36.7 0.5 49.4 0.2 0.3 0.0 29.8 -58.1
pair SLmean RSI pos-pos 79 36.7 0.5 49.4 0.2 0.3 0.0 29.8 -58.1
pair RSIhist SLmean pos-pos 96 44.7 0.4 51.0 0.2 0.3 0.0 31.0 -63.3
pair SLmean RSIhist pos-pos 96 44.7 0.4 51.0 0.2 0.3 0.0 31.0 -63.3
pair SLmean MACD pos-pos 51 23.7 -0.3 47.1 0.1 0.3 -0.0 29.4 -32.8
pair MACD SLmean pos-pos 51 23.7 -0.3 47.1 0.1 0.3 -0.0 29.4 -32.8
single MRmean MRmean neg-neg 101 47.0 -0.4 50.5 0.2 0.3 -0.0 37.6 -70.7
pair MRmean RSIhist neg-neg 92 42.8 -0.7 50.0 0.2 0.3 -0.0 38.5 -69.7
pair RSIhist MRmean neg-neg 92 42.8 -0.7 50.0 0.2 0.3 -0.0 38.5 -69.7
pair LWTI RSmean pos-pos 120 55.8 -0.9 47.5 0.1 0.2 -0.0 32.3 -79.1
pair RSmean LWTI pos-pos 120 55.8 -0.9 47.5 0.1 0.2 -0.0 32.3 -79.1
pair RSI LWTI pos-neg 20 9.3 -1.0 55.0 0.0 0.1 -0.0 19.1 -26.2
single SLmean SLmean neg-neg 105 48.8 -1.0 48.6 0.2 0.3 -0.0 37.9 -74.1
pair LWTI RSI pos-neg 20 9.3 -1.0 55.0 0.0 0.1 -0.0 19.1 -26.2
pair RSI RSmean pos-pos 95 44.2 -1.2 47.4 0.1 0.2 -0.0 29.3 -65.5
pair RSmean RSI pos-pos 95 44.2 -1.2 47.4 0.1 0.2 -0.0 29.3 -65.5
pair RSIhist RSmean pos-pos 95 44.2 -1.6 51.6 0.1 0.2 -0.0 30.4 -63.2
pair RSmean RSIhist pos-pos 95 44.2 -1.6 51.6 0.1 0.2 -0.0 30.4 -63.2
pair RSI MACD pos-pos 72 33.5 -1.6 43.1 0.1 0.2 -0.0 29.0 -52.5
pair MACD RSI pos-pos 72 33.5 -1.6 43.1 0.1 0.2 -0.0 29.0 -52.5
pair RSI RSIhist pos-pos 72 33.5 -2.6 50.0 0.1 0.1 -0.0 29.4 -57.5
pair RSIhist RSI pos-pos 72 33.5 -2.6 50.0 0.1 0.1 -0.0 29.4 -57.5
pair SLmean MRmean neg-neg 87 40.5 -2.8 49.4 0.1 0.2 -0.0 39.2 -72.6
pair MRmean SLmean neg-neg 87 40.5 -2.8 49.4 0.1 0.2 -0.0 39.2 -72.6
pair MACDhist MACD pos-neg 38 17.7 -3.0 39.5 0.0 0.1 -0.1 29.5 -51.5
pair MACD MACDhist pos-neg 38 17.7 -3.0 39.5 0.0 0.1 -0.1 29.5 -51.5
pair RSIhist SLmean neg-neg 100 46.5 -3.2 47.0 0.1 0.2 -0.0 38.6 -74.2
pair SLmean RSIhist neg-neg 100 46.5 -3.2 47.0 0.1 0.2 -0.0 38.6 -74.2
single RSI RSI pos-pos 106 49.3 -4.0 45.3 0.0 0.0 -0.1 29.6 -67.7
pair RSIhist MACD pos-pos 43 20.0 -4.2 46.5 -0.0 -0.0 -0.1 29.9 -35.0
pair MACD RSIhist pos-pos 43 20.0 -4.2 46.5 -0.0 -0.0 -0.1 29.9 -35.0
pair LWTI MACD pos-pos 74 34.4 -4.6 43.2 0.0 0.0 -0.1 31.3 -59.8
pair MACD LWTI pos-pos 74 34.4 -4.6 43.2 0.0 0.0 -0.1 31.3 -59.8
pair RSI LWTI pos-pos 86 40.0 -4.7 43.0 -0.0 -0.0 -0.1 31.6 -62.3
pair LWTI RSI pos-pos 86 40.0 -4.7 43.0 -0.0 -0.0 -0.1 31.6 -62.3
single LWTI LWTI pos-pos 140 65.1 -5.8 46.4 0.0 0.0 -0.1 34.9 -82.3
single MACD MACD pos-pos 87 40.5 -6.6 42.5 -0.1 -0.2 -0.1 30.0 -69.6
pair MACDhist RSIhist pos-pos 63 29.3 -6.8 50.8 -0.1 -0.2 -0.1 30.1 -51.8
pair RSIhist MACDhist pos-pos 63 29.3 -6.8 50.8 -0.1 -0.2 -0.1 30.1 -51.8
pair RSIhist RSI pos-neg 34 15.8 -6.9 35.3 -0.1 -0.2 -0.2 30.3 -39.1
pair RSI RSIhist pos-neg 34 15.8 -6.9 35.3 -0.1 -0.2 -0.2 30.3 -39.1
pair MACD LWTI neg-pos 66 30.7 -7.2 50.0 0.0 0.0 -0.1 38.8 -63.1
pair LWTI MACD neg-pos 66 30.7 -7.2 50.0 0.0 0.0 -0.1 38.8 -63.1
pair LWTI RSI neg-pos 54 25.1 -7.6 51.9 0.0 0.0 -0.1 39.9 -59.9
pair RSI LWTI neg-pos 54 25.1 -7.6 51.9 0.0 0.0 -0.1 39.9 -59.9
pair MACD RSmean pos-pos 82 38.1 -8.7 42.7 -0.2 -0.3 -0.1 29.7 -67.1
pair RSmean MACD pos-pos 82 38.1 -8.7 42.7 -0.2 -0.3 -0.1 29.7 -67.1
pair RSIhist MACD pos-neg 44 20.5 -8.8 38.6 -0.2 -0.3 -0.1 30.4 -59.8
pair MACD RSIhist pos-neg 44 20.5 -8.8 38.6 -0.2 -0.3 -0.1 30.4 -59.8
pair MACDhist RSI pos-pos 62 28.8 -9.0 46.8 -0.2 -0.3 -0.1 29.9 -64.9
pair RSI MACDhist pos-pos 62 28.8 -9.0 46.8 -0.2 -0.3 -0.1 29.9 -64.9
pair MACD RSI neg-pos 34 15.8 -9.0 50.0 -0.1 -0.3 -0.2 31.2 -36.5
pair RSI MACD neg-pos 34 15.8 -9.0 50.0 -0.1 -0.3 -0.2 31.2 -36.5
pair MACD MACDhist pos-pos 49 22.8 -9.3 44.9 -0.2 -0.3 -0.2 30.6 -52.7
pair MACDhist MACD pos-pos 49 22.8 -9.3 44.9 -0.2 -0.3 -0.2 30.6 -52.7
pair MACDhist SLmean pos-pos 62 28.8 -10.4 48.4 -0.2 -0.4 -0.2 30.8 -59.6
pair SLmean MACDhist pos-pos 62 28.8 -10.4 48.4 -0.2 -0.4 -0.2 30.8 -59.6
pair RSIhist LWTI neg-pos 75 34.9 -11.3 42.7 -0.1 -0.2 -0.1 37.2 -74.5
pair LWTI RSIhist neg-pos 75 34.9 -11.3 42.7 -0.1 -0.2 -0.1 37.2 -74.5
pair MACDhist RSmean pos-pos 90 41.9 -11.4 46.7 -0.2 -0.4 -0.1 31.4 -79.6
pair RSmean MACDhist pos-pos 90 41.9 -11.4 46.7 -0.2 -0.4 -0.1 31.4 -79.6
single MACDhist MACDhist pos-pos 95 44.2 -11.6 47.4 -0.2 -0.4 -0.1 31.2 -81.5
pair MRmean MACDhist pos-pos 72 33.5 -11.6 47.2 -0.2 -0.5 -0.2 30.8 -70.9
pair MACDhist MRmean pos-pos 72 33.5 -11.6 47.2 -0.2 -0.5 -0.2 30.8 -70.9
pair MACDhist MRmean neg-pos 23 10.7 -11.7 47.8 -0.2 -0.3 -0.3 33.2 -44.8
pair MRmean MACDhist neg-pos 23 10.7 -11.7 47.8 -0.2 -0.3 -0.3 33.2 -44.8
pair SLmean LWTI neg-pos 69 32.1 -13.2 43.5 -0.2 -0.3 -0.2 37.6 -74.4
pair LWTI SLmean neg-pos 69 32.1 -13.2 43.5 -0.2 -0.3 -0.2 37.6 -74.4
pair LWTI MACDhist pos-pos 81 37.7 -13.6 45.7 -0.3 -0.6 -0.2 31.5 -81.4
pair MACDhist LWTI pos-pos 81 37.7 -13.6 45.7 -0.3 -0.6 -0.2 31.5 -81.4
pair MACDhist SLmean neg-pos 33 15.3 -13.9 45.5 -0.3 -0.5 -0.2 32.5 -55.0
pair SLmean MACDhist neg-pos 33 15.3 -13.9 45.5 -0.3 -0.5 -0.2 32.5 -55.0
pair MACD MACDhist neg-pos 46 21.4 -14.0 50.0 -0.3 -0.5 -0.2 32.2 -59.5
pair MACDhist MACD neg-pos 46 21.4 -14.0 50.0 -0.3 -0.5 -0.2 32.2 -59.5
pair MACD SLmean neg-pos 36 16.7 -14.9 36.1 -0.4 -0.7 -0.2 31.0 -61.1
pair SLmean MACD neg-pos 36 16.7 -14.9 36.1 -0.4 -0.7 -0.2 31.0 -61.1
pair RSmean MACDhist neg-pos 5 2.3 -15.6 60.0 -0.4 -0.4 -0.9 30.9 -17.2
pair MACDhist RSmean neg-pos 5 2.3 -15.6 60.0 -0.4 -0.4 -0.9 30.9 -17.2
pair SLmean RSI neg-pos 27 12.6 -16.0 33.3 -0.5 -0.9 -0.3 29.2 -46.2
pair RSI SLmean neg-pos 27 12.6 -16.0 33.3 -0.5 -0.9 -0.3 29.2 -46.2
pair MACDhist RSI neg-pos 33 15.3 -16.3 48.5 -0.3 -0.6 -0.4 34.0 -39.9
pair RSI MACDhist neg-pos 33 15.3 -16.3 48.5 -0.3 -0.6 -0.4 34.0 -39.9
pair LWTI MACD pos-neg 13 6.0 -17.3 38.5 -0.8 -1.1 -0.6 21.2 -31.2
pair MACD LWTI pos-neg 13 6.0 -17.3 38.5 -0.8 -1.1 -0.6 21.2 -31.2
pair MRmean LWTI neg-pos 55 25.6 -17.6 43.6 -0.3 -0.5 -0.2 38.5 -77.5
pair LWTI MRmean neg-pos 55 25.6 -17.6 43.6 -0.3 -0.5 -0.2 38.5 -77.5
pair RSIhist MACDhist pos-neg 32 14.9 -20.4 40.6 -0.5 -0.8 -0.3 33.5 -63.0
pair MACDhist RSIhist pos-neg 32 14.9 -20.4 40.6 -0.5 -0.8 -0.3 33.5 -63.0
pair MRmean MACD neg-pos 28 13.0 -21.0 39.3 -0.7 -1.2 -0.4 29.0 -52.6
pair MACD MRmean neg-pos 28 13.0 -21.0 39.3 -0.7 -1.2 -0.4 29.0 -52.6
pair RSmean RSI neg-neg 12 5.6 -21.4 58.3 -0.1 -0.2 -0.4 56.6 -48.8
pair RSI RSmean neg-neg 12 5.6 -21.4 58.3 -0.1 -0.2 -0.4 56.6 -48.8
single RSmean RSmean neg-neg 23 10.7 -23.1 43.5 -0.3 -0.5 -0.4 45.7 -60.2
pair RSI RSmean neg-pos 11 5.1 -25.0 27.3 -0.7 -1.3 -0.7 32.6 -37.0
pair RSmean RSI neg-pos 11 5.1 -25.0 27.3 -0.7 -1.3 -0.7 32.6 -37.0
pair MACDhist RSmean neg-neg 18 8.4 -25.1 38.9 -0.3 -0.5 -0.4 49.8 -60.2
pair RSmean MACDhist neg-neg 18 8.4 -25.1 38.9 -0.3 -0.5 -0.4 49.8 -60.2
pair MACD RSI pos-neg 15 7.0 -27.4 40.0 -0.8 -1.6 -0.7 34.5 -39.5
pair RSI MACD pos-neg 15 7.0 -27.4 40.0 -0.8 -1.6 -0.7 34.5 -39.5
pair LWTI RSmean neg-pos 20 9.3 -30.5 40.0 -0.5 -0.7 -0.5 48.3 -64.5
pair RSmean LWTI neg-pos 20 9.3 -30.5 40.0 -0.5 -0.7 -0.5 48.3 -64.5
pair MRmean RSI neg-pos 17 7.9 -32.4 29.4 -1.4 -2.3 -0.7 24.7 -45.8
pair RSI MRmean neg-pos 17 7.9 -32.4 29.4 -1.4 -2.3 -0.7 24.7 -45.8
pair MACD RSmean neg-neg 18 8.4 -34.4 44.4 -0.6 -0.9 -0.6 48.3 -59.7
pair RSmean MACD neg-neg 18 8.4 -34.4 44.4 -0.6 -0.9 -0.6 48.3 -59.7
pair RSmean MRmean neg-neg 14 6.5 -37.3 42.9 -0.6 -0.9 -0.6 52.6 -59.7
pair MRmean RSmean neg-neg 14 6.5 -37.3 42.9 -0.6 -0.9 -0.6 52.6 -59.7
pair RSmean SLmean neg-neg 17 7.9 -43.8 35.3 -0.9 -1.4 -0.7 48.4 -63.9
pair SLmean RSmean neg-neg 17 7.9 -43.8 35.3 -0.9 -1.4 -0.7 48.4 -63.9
pair RSIhist RSmean neg-neg 17 7.9 -44.7 35.3 -1.0 -1.4 -0.7 48.0 -66.3
pair RSmean RSIhist neg-neg 17 7.9 -44.7 35.3 -1.0 -1.4 -0.7 48.0 -66.3

All Contingency Tables for TUR

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.0% | Win 51%
Sharpe 0.24 | Sortino 0.51 | Calmar 0.0
Vol 31% | MDD -65.3%
Months 96M (45%)
CAGR 7.8% | Win 44%
Sharpe 0.38 | Sortino 0.68 | Calmar 0.3
Vol 31% | MDD -28.4%
Months 18M (8%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR 15.5% | Win 57%
Sharpe 0.69 | Sortino 1.79 | Calmar 1.4
Vol 26% | MDD -10.8%
Months 14M (6%)
CAGR -2.8% | Win 49%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 39% | MDD -72.6%
Months 87M (40%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
SLmean
only
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.6% | Win 50%
Sharpe 0.26 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -67.9%
Months 105M (49%)
CAGR 5.5% | Win 44%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.3
Vol 34% | MDD -17.2%
Months 9M (4%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR 7.3% | Win 52%
Sharpe 0.38 | Sortino 0.66 | Calmar 0.2
Vol 35% | MDD -46.0%
Months 87M (40%)
CAGR -37.3% | Win 43%
Sharpe -0.60 | Sortino -0.91 | Calmar -0.6
Vol 53% | MDD -59.7%
Months 14M (6%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
RSmean
only
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 1.2% | Win 44%
Sharpe 0.18 | Sortino 0.38 | Calmar 0.0
Vol 30% | MDD -42.2%
Months 59M (27%)
CAGR 6.5% | Win 56%
Sharpe 0.35 | Sortino 0.69 | Calmar 0.1
Vol 32% | MDD -55.0%
Months 55M (26%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR -21.0% | Win 39%
Sharpe -0.67 | Sortino -1.24 | Calmar -0.4
Vol 29% | MDD -52.6%
Months 28M (13%)
CAGR 8.9% | Win 55%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.1
Vol 40% | MDD -59.7%
Months 73M (34%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
MACD
only
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 2.7% | Win 48%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -62.2%
Months 89M (41%)
CAGR 7.6% | Win 56%
Sharpe 0.38 | Sortino 0.75 | Calmar 0.3
Vol 35% | MDD -29.9%
Months 25M (12%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR -32.4% | Win 29%
Sharpe -1.44 | Sortino -2.30 | Calmar -0.7
Vol 25% | MDD -45.8%
Months 17M (8%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.60 | Calmar 0.1
Vol 39% | MDD -53.0%
Months 84M (39%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
RSI
only
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -11.6% | Win 47%
Sharpe -0.25 | Sortino -0.50 | Calmar -0.2
Vol 31% | MDD -70.9%
Months 72M (34%)
CAGR 36.3% | Win 55%
Sharpe 1.18 | Sortino 2.52 | Calmar 1.6
Vol 30% | MDD -22.4%
Months 42M (20%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR -11.7% | Win 48%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.3
Vol 33% | MDD -44.8%
Months 23M (11%)
CAGR 3.2% | Win 51%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 39% | MDD -60.0%
Months 78M (36%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
MACDhist
only
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 31% | MDD -59.5%
Months 92M (43%)
CAGR 9.2% | Win 41%
Sharpe 0.42 | Sortino 0.81 | Calmar 0.2
Vol 33% | MDD -38.7%
Months 22M (10%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR 2.8% | Win 56%
Sharpe 0.22 | Sortino 0.67 | Calmar 0.3
Vol 28% | MDD -8.3%
Months 9M (4%)
CAGR -0.7% | Win 50%
Sharpe 0.18 | Sortino 0.28 | Calmar -0.0
Vol 38% | MDD -69.7%
Months 92M (43%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 2.7% | Win 48%
Sharpe 0.24 | Sortino 0.49 | Calmar 0.0
Vol 32% | MDD -67.2%
Months 85M (40%)
CAGR 6.9% | Win 55%
Sharpe 0.37 | Sortino 0.64 | Calmar 0.2
Vol 27% | MDD -30.1%
Months 29M (14%)
CAGR 3.7% | Win 50%
Sharpe 0.27 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -71.5%
Months 114M (53%)
MRmean
neg
CAGR -17.6% | Win 44%
Sharpe -0.30 | Sortino -0.47 | Calmar -0.2
Vol 38% | MDD -77.5%
Months 55M (26%)
CAGR 24.9% | Win 59%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.9
Vol 36% | MDD -28.4%
Months 46M (21%)
CAGR -0.4% | Win 50%
Sharpe 0.18 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -70.7%
Months 101M (47%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.1% | Win 51%
Sharpe 0.18 | Sortino 0.39 | Calmar 0.0
Vol 30% | MDD -63.7%
Months 104M (48%)
CAGR 86.4% | Win 67%
Sharpe 2.36 | Sortino 325.48 | Calmar 45.4
Vol 28% | MDD -1.9%
Months 6M (3%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR 10.4% | Win 51%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 35% | MDD -58.5%
Months 88M (41%)
CAGR -43.8% | Win 35%
Sharpe -0.92 | Sortino -1.37 | Calmar -0.7
Vol 48% | MDD -63.9%
Months 17M (8%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
RSmean
only
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -0.3% | Win 47%
Sharpe 0.13 | Sortino 0.26 | Calmar -0.0
Vol 29% | MDD -32.8%
Months 51M (24%)
CAGR 8.8% | Win 56%
Sharpe 0.42 | Sortino 0.94 | Calmar 0.2
Vol 32% | MDD -51.1%
Months 59M (27%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR -14.9% | Win 36%
Sharpe -0.37 | Sortino -0.73 | Calmar -0.2
Vol 31% | MDD -61.1%
Months 36M (17%)
CAGR 7.1% | Win 55%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 41% | MDD -59.7%
Months 69M (32%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
MACD
only
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 0.5% | Win 49%
Sharpe 0.16 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -58.1%
Months 79M (37%)
CAGR 15.5% | Win 58%
Sharpe 0.60 | Sortino 1.53 | Calmar 0.4
Vol 32% | MDD -38.1%
Months 31M (14%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR -16.0% | Win 33%
Sharpe -0.46 | Sortino -0.87 | Calmar -0.3
Vol 29% | MDD -46.2%
Months 27M (13%)
CAGR 4.8% | Win 54%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.1
Vol 40% | MDD -60.5%
Months 78M (36%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
RSI
only
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -10.4% | Win 48%
Sharpe -0.21 | Sortino -0.44 | Calmar -0.2
Vol 31% | MDD -59.6%
Months 62M (29%)
CAGR 27.4% | Win 56%
Sharpe 0.97 | Sortino 2.07 | Calmar 1.0
Vol 29% | MDD -26.8%
Months 48M (22%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR -13.9% | Win 46%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.3
Vol 32% | MDD -55.0%
Months 33M (15%)
CAGR 5.5% | Win 50%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.1
Vol 40% | MDD -59.7%
Months 72M (34%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
MACDhist
only
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 0.4% | Win 51%
Sharpe 0.16 | Sortino 0.34 | Calmar 0.0
Vol 31% | MDD -63.3%
Months 96M (45%)
CAGR 37.8% | Win 57%
Sharpe 1.36 | Sortino 2.94 | Calmar 3.1
Vol 26% | MDD -12.0%
Months 14M (6%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR 53.0% | Win 80%
Sharpe 2.48 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 5M (2%)
CAGR -3.2% | Win 47%
Sharpe 0.11 | Sortino 0.18 | Calmar -0.0
Vol 39% | MDD -74.2%
Months 100M (46%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 2.0% | Win 49%
Sharpe 0.21 | Sortino 0.47 | Calmar 0.0
Vol 32% | MDD -58.4%
Months 71M (33%)
CAGR 9.3% | Win 56%
Sharpe 0.46 | Sortino 0.86 | Calmar 0.4
Vol 27% | MDD -26.4%
Months 39M (18%)
CAGR 4.5% | Win 52%
Sharpe 0.29 | Sortino 0.62 | Calmar 0.1
Vol 30% | MDD -60.9%
Months 110M (51%)
SLmean
neg
CAGR -13.2% | Win 44%
Sharpe -0.18 | Sortino -0.29 | Calmar -0.2
Vol 38% | MDD -74.4%
Months 69M (32%)
CAGR 27.3% | Win 58%
Sharpe 0.83 | Sortino 1.32 | Calmar 1.0
Vol 38% | MDD -28.4%
Months 36M (17%)
CAGR -1.0% | Win 49%
Sharpe 0.16 | Sortino 0.26 | Calmar -0.0
Vol 38% | MDD -74.1%
Months 105M (49%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -8.7% | Win 43%
Sharpe -0.16 | Sortino -0.32 | Calmar -0.1
Vol 30% | MDD -67.1%
Months 82M (38%)
CAGR 17.0% | Win 57%
Sharpe 0.63 | Sortino 1.13 | Calmar 0.3
Vol 34% | MDD -56.5%
Months 110M (51%)
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
RSmean
neg
CAGR 36.1% | Win 40%
Sharpe 1.01 | Sortino 3.82 | Calmar 5.7
Vol 35% | MDD -6.3%
Months 5M (2%)
CAGR -34.4% | Win 44%
Sharpe -0.61 | Sortino -0.88 | Calmar -0.6
Vol 48% | MDD -59.7%
Months 18M (8%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
MACD
only
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -1.2% | Win 47%
Sharpe 0.10 | Sortino 0.20 | Calmar -0.0
Vol 29% | MDD -65.5%
Months 95M (44%)
CAGR 12.0% | Win 55%
Sharpe 0.49 | Sortino 0.90 | Calmar 0.2
Vol 36% | MDD -56.6%
Months 97M (45%)
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
RSmean
neg
CAGR -25.0% | Win 27%
Sharpe -0.73 | Sortino -1.28 | Calmar -0.7
Vol 33% | MDD -37.0%
Months 11M (5%)
CAGR -21.4% | Win 58%
Sharpe -0.14 | Sortino -0.19 | Calmar -0.4
Vol 57% | MDD -48.8%
Months 12M (6%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
RSI
only
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -11.4% | Win 47%
Sharpe -0.23 | Sortino -0.43 | Calmar -0.1
Vol 31% | MDD -79.6%
Months 90M (42%)
CAGR 22.5% | Win 55%
Sharpe 0.78 | Sortino 1.46 | Calmar 0.6
Vol 33% | MDD -36.6%
Months 102M (47%)
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
RSmean
neg
CAGR -15.6% | Win 60%
Sharpe -0.41 | Sortino -0.38 | Calmar -0.9
Vol 31% | MDD -17.2%
Months 5M (2%)
CAGR -25.1% | Win 39%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.4
Vol 50% | MDD -60.2%
Months 18M (8%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
MACDhist
only
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -1.6% | Win 52%
Sharpe 0.09 | Sortino 0.20 | Calmar -0.0
Vol 30% | MDD -63.2%
Months 95M (44%)
CAGR 12.4% | Win 50%
Sharpe 0.51 | Sortino 0.91 | Calmar 0.2
Vol 35% | MDD -56.4%
Months 97M (45%)
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
RSmean
neg
CAGR 95.6% | Win 67%
Sharpe 2.53 | Sortino 350.29 | Calmar 25.9
Vol 28% | MDD -3.7%
Months 6M (3%)
CAGR -44.7% | Win 35%
Sharpe -0.96 | Sortino -1.43 | Calmar -0.7
Vol 48% | MDD -66.3%
Months 17M (8%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -0.9% | Win 48%
Sharpe 0.13 | Sortino 0.25 | Calmar -0.0
Vol 32% | MDD -79.1%
Months 120M (56%)
CAGR 16.4% | Win 57%
Sharpe 0.62 | Sortino 1.07 | Calmar 0.5
Vol 33% | MDD -31.1%
Months 72M (34%)
CAGR 5.2% | Win 51%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 33% | MDD -75.1%
Months 192M (89%)
RSmean
neg
CAGR -30.5% | Win 40%
Sharpe -0.50 | Sortino -0.74 | Calmar -0.5
Vol 48% | MDD -64.5%
Months 20M (9%)
CAGR 50.8% | Win 67%
Sharpe 2.16 | Sortino 0.00 | Calmar 26.7
Vol 20% | MDD -1.9%
Months 3M (1%)
CAGR -23.1% | Win 44%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.4
Vol 46% | MDD -60.2%
Months 23M (11%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -1.6% | Win 43%
Sharpe 0.08 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -52.5%
Months 72M (34%)
CAGR -27.4% | Win 40%
Sharpe -0.75 | Sortino -1.57 | Calmar -0.7
Vol 34% | MDD -39.5%
Months 15M (7%)
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
MACD
neg
CAGR -9.0% | Win 50%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 31% | MDD -36.5%
Months 34M (16%)
CAGR 14.7% | Win 57%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 38% | MDD -48.8%
Months 94M (44%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
RSI
only
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -9.3% | Win 45%
Sharpe -0.17 | Sortino -0.35 | Calmar -0.2
Vol 31% | MDD -52.7%
Months 49M (23%)
CAGR -3.0% | Win 40%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 30% | MDD -51.5%
Months 38M (18%)
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
MACD
neg
CAGR -14.0% | Win 50%
Sharpe -0.31 | Sortino -0.51 | Calmar -0.2
Vol 32% | MDD -59.5%
Months 46M (21%)
CAGR 22.5% | Win 58%
Sharpe 0.72 | Sortino 1.12 | Calmar 0.4
Vol 39% | MDD -59.7%
Months 82M (38%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
MACDhist
only
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR -4.2% | Win 46%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.1
Vol 30% | MDD -35.0%
Months 43M (20%)
CAGR -8.8% | Win 39%
Sharpe -0.16 | Sortino -0.31 | Calmar -0.1
Vol 30% | MDD -59.8%
Months 44M (20%)
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
MACD
neg
CAGR 7.8% | Win 57%
Sharpe 0.39 | Sortino 0.85 | Calmar 0.2
Vol 31% | MDD -39.0%
Months 58M (27%)
CAGR 7.9% | Win 54%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 41% | MDD -59.7%
Months 70M (33%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -4.6% | Win 43%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 31% | MDD -59.8%
Months 74M (34%)
CAGR -17.3% | Win 38%
Sharpe -0.79 | Sortino -1.14 | Calmar -0.6
Vol 21% | MDD -31.2%
Months 13M (6%)
CAGR -6.6% | Win 42%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 30% | MDD -69.6%
Months 87M (40%)
MACD
neg
CAGR -7.2% | Win 50%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 39% | MDD -63.1%
Months 66M (31%)
CAGR 26.6% | Win 61%
Sharpe 0.86 | Sortino 1.45 | Calmar 0.9
Vol 34% | MDD -31.1%
Months 62M (29%)
CAGR 7.9% | Win 56%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 37% | MDD -59.7%
Months 128M (60%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -9.0% | Win 47%
Sharpe -0.17 | Sortino -0.35 | Calmar -0.1
Vol 30% | MDD -64.9%
Months 62M (29%)
CAGR 3.5% | Win 43%
Sharpe 0.26 | Sortino 0.50 | Calmar 0.1
Vol 29% | MDD -31.8%
Months 44M (20%)
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
RSI
neg
CAGR -16.3% | Win 48%
Sharpe -0.35 | Sortino -0.57 | Calmar -0.4
Vol 34% | MDD -39.9%
Months 33M (15%)
CAGR 20.1% | Win 58%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.4
Vol 40% | MDD -48.8%
Months 76M (35%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
MACDhist
only
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -2.6% | Win 50%
Sharpe 0.05 | Sortino 0.10 | Calmar -0.0
Vol 29% | MDD -57.5%
Months 72M (34%)
CAGR -6.9% | Win 35%
Sharpe -0.09 | Sortino -0.18 | Calmar -0.2
Vol 30% | MDD -39.1%
Months 34M (16%)
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
RSI
neg
CAGR 16.3% | Win 59%
Sharpe 0.61 | Sortino 1.58 | Calmar 0.6
Vol 33% | MDD -26.5%
Months 29M (14%)
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.1
Vol 40% | MDD -55.0%
Months 80M (37%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -4.7% | Win 43%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.1
Vol 32% | MDD -62.3%
Months 86M (40%)
CAGR -1.0% | Win 55%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 19% | MDD -26.2%
Months 20M (9%)
CAGR -4.0% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 30% | MDD -67.7%
Months 106M (49%)
RSI
neg
CAGR -7.6% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 40% | MDD -59.9%
Months 54M (25%)
CAGR 25.2% | Win 58%
Sharpe 0.80 | Sortino 1.47 | Calmar 0.9
Vol 36% | MDD -28.4%
Months 55M (26%)
CAGR 7.7% | Win 55%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.2
Vol 38% | MDD -49.0%
Months 109M (51%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -6.8% | Win 51%
Sharpe -0.09 | Sortino -0.18 | Calmar -0.1
Vol 30% | MDD -51.8%
Months 63M (29%)
CAGR -20.4% | Win 41%
Sharpe -0.51 | Sortino -0.84 | Calmar -0.3
Vol 34% | MDD -63.0%
Months 32M (15%)
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
MACDhist
neg
CAGR 20.0% | Win 55%
Sharpe 0.74 | Sortino 1.62 | Calmar 0.7
Vol 31% | MDD -26.8%
Months 38M (18%)
CAGR 11.0% | Win 51%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 38% | MDD -59.7%
Months 82M (38%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
RSIhist
only
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -13.6% | Win 46%
Sharpe -0.31 | Sortino -0.56 | Calmar -0.2
Vol 32% | MDD -81.4%
Months 81M (38%)
CAGR 0.7% | Win 57%
Sharpe 0.16 | Sortino 0.29 | Calmar 0.0
Vol 30% | MDD -23.6%
Months 14M (6%)
CAGR -11.6% | Win 47%
Sharpe -0.24 | Sortino -0.44 | Calmar -0.1
Vol 31% | MDD -81.5%
Months 95M (44%)
MACDhist
neg
CAGR 6.0% | Win 48%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 39% | MDD -59.7%
Months 59M (27%)
CAGR 21.8% | Win 57%
Sharpe 0.76 | Sortino 1.27 | Calmar 0.8
Vol 33% | MDD -28.4%
Months 61M (28%)
CAGR 13.8% | Win 52%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.2
Vol 36% | MDD -59.7%
Months 120M (56%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 0.9% | Win 51%
Sharpe 0.18 | Sortino 0.40 | Calmar 0.0
Vol 32% | MDD -52.1%
Months 65M (30%)
CAGR 5.3% | Win 56%
Sharpe 0.32 | Sortino 0.59 | Calmar 0.2
Vol 27% | MDD -22.6%
Months 36M (17%)
CAGR 2.5% | Win 52%
Sharpe 0.23 | Sortino 0.47 | Calmar 0.0
Vol 30% | MDD -56.2%
Months 101M (47%)
RSIhist
neg
CAGR -11.3% | Win 43%
Sharpe -0.13 | Sortino -0.21 | Calmar -0.2
Vol 37% | MDD -74.5%
Months 75M (35%)
CAGR 30.1% | Win 59%
Sharpe 0.90 | Sortino 1.45 | Calmar 1.1
Vol 37% | MDD -28.4%
Months 39M (18%)
CAGR 1.1% | Win 48%
Sharpe 0.22 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -66.6%
Months 114M (53%)
LWTI
only
CAGR -5.8% | Win 46%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 35% | MDD -82.3%
Months 140M (65%)
CAGR 17.6% | Win 57%
Sharpe 0.66 | Sortino 1.12 | Calmar 0.6
Vol 33% | MDD -31.1%
Months 75M (35%)