URA - Global X Uranium ETF

Signal Pair Analysis

MACD-RSI

Best Pair

238.0%

Best CAGR

53

Total Months

0.2%

Avg CAGR

URA 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 URA

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 MACD pos-neg 4 2.2 238.0 75.0 2.7 0.0 31.4 51.6 -7.6
pair MACD RSI pos-neg 4 2.2 238.0 75.0 2.7 0.0 31.4 51.6 -7.6
pair MACD MACDhist pos-neg 24 13.0 62.6 70.8 1.5 3.3 3.3 36.1 -19.0
pair MACDhist MACD pos-neg 24 13.0 62.6 70.8 1.5 3.3 3.3 36.1 -19.0
pair MACDhist MRmean pos-neg 10 5.4 59.4 80.0 1.5 3.6 2.6 35.4 -22.8
pair MRmean MACDhist pos-neg 10 5.4 59.4 80.0 1.5 3.6 2.6 35.4 -22.8
pair MACD SLmean neg-pos 20 10.8 50.2 60.0 1.3 2.9 2.6 35.8 -19.5
pair SLmean MACD neg-pos 20 10.8 50.2 60.0 1.3 2.9 2.6 35.8 -19.5
pair LWTI MACD pos-neg 4 2.2 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair MACD LWTI pos-neg 4 2.2 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair RSI LWTI pos-neg 4 2.2 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair LWTI RSI pos-neg 4 2.2 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair MRmean RSIhist pos-neg 13 7.0 44.5 53.8 1.1 2.5 2.2 42.8 -20.2
pair RSIhist MRmean pos-neg 13 7.0 44.5 53.8 1.1 2.5 2.2 42.8 -20.2
pair MACD RSIhist pos-neg 29 15.7 42.4 58.6 1.1 2.5 2.2 40.1 -19.5
pair RSIhist MACD pos-neg 29 15.7 42.4 58.6 1.1 2.5 2.2 40.1 -19.5
pair MRmean MACD neg-pos 16 8.6 40.7 62.5 1.1 2.3 2.1 39.2 -19.0
pair MACD MRmean neg-pos 16 8.6 40.7 62.5 1.1 2.3 2.1 39.2 -19.0
pair RSmean MACD pos-pos 55 29.7 39.4 58.2 1.1 2.2 1.3 38.3 -29.6
pair MACD RSmean pos-pos 55 29.7 39.4 58.2 1.1 2.2 1.3 38.3 -29.6
single MACD MACD pos-pos 64 34.6 32.5 57.8 0.9 2.0 1.1 37.4 -28.7
pair MACD LWTI pos-pos 60 32.4 31.7 58.3 0.9 2.0 1.1 37.7 -28.7
pair LWTI MACD pos-pos 60 32.4 31.7 58.3 0.9 2.0 1.1 37.7 -28.7
pair MACD MRmean pos-pos 48 25.9 29.9 56.2 0.9 1.9 1.0 37.1 -30.0
pair MRmean MACD pos-pos 48 25.9 29.9 56.2 0.9 1.9 1.0 37.1 -30.0
pair LWTI MRmean pos-pos 61 33.0 28.4 50.8 0.8 1.9 0.8 40.0 -35.5
pair MRmean LWTI pos-pos 61 33.0 28.4 50.8 0.8 1.9 0.8 40.0 -35.5
pair RSmean LWTI pos-pos 86 46.5 28.2 53.5 0.8 2.0 0.9 40.3 -30.9
pair LWTI RSmean pos-pos 86 46.5 28.2 53.5 0.8 2.0 0.9 40.3 -30.9
pair RSmean RSI pos-pos 57 30.8 27.7 54.4 0.8 1.8 0.7 38.4 -39.4
pair RSI RSmean pos-pos 57 30.8 27.7 54.4 0.8 1.8 0.7 38.4 -39.4
pair MRmean RSI pos-pos 54 29.2 27.3 53.7 0.8 1.9 0.9 38.8 -30.0
pair RSI MRmean pos-pos 54 29.2 27.3 53.7 0.8 1.9 0.9 38.8 -30.0
pair RSmean RSIhist pos-neg 75 40.5 25.7 57.3 0.8 1.7 0.8 36.3 -30.4
pair RSIhist RSmean pos-neg 75 40.5 25.7 57.3 0.8 1.7 0.8 36.3 -30.4
pair SLmean MACD pos-pos 44 23.8 25.1 56.8 0.8 1.7 0.7 38.4 -38.8
pair MACD SLmean pos-pos 44 23.8 25.1 56.8 0.8 1.7 0.7 38.4 -38.8
pair RSIhist MACD pos-pos 35 18.9 24.8 57.1 0.8 1.6 0.9 35.4 -27.7
pair MACD RSIhist pos-pos 35 18.9 24.8 57.1 0.8 1.6 0.9 35.4 -27.7
pair MACD RSI pos-pos 60 32.4 24.5 56.7 0.8 1.6 0.7 35.9 -34.5
pair RSI MACD pos-pos 60 32.4 24.5 56.7 0.8 1.6 0.7 35.9 -34.5
pair LWTI SLmean pos-pos 58 31.4 23.3 51.7 0.7 1.7 0.6 40.9 -38.6
pair SLmean LWTI pos-pos 58 31.4 23.3 51.7 0.7 1.7 0.6 40.9 -38.6
pair RSI SLmean pos-pos 50 27.0 23.1 54.0 0.7 1.7 0.6 39.9 -38.8
pair SLmean RSI pos-pos 50 27.0 23.1 54.0 0.7 1.7 0.6 39.9 -38.8
pair RSIhist RSI pos-pos 41 22.2 22.3 53.7 0.7 1.6 0.8 37.9 -27.7
pair RSI RSIhist pos-pos 41 22.2 22.3 53.7 0.7 1.6 0.8 37.9 -27.7
pair RSIhist MACDhist pos-neg 46 24.9 18.0 54.3 0.7 1.6 0.6 33.5 -30.4
pair MACDhist RSIhist pos-neg 46 24.9 18.0 54.3 0.7 1.6 0.6 33.5 -30.4
pair MACDhist MACD pos-pos 40 21.6 17.2 50.0 0.6 1.3 0.5 38.1 -38.3
pair MACD MACDhist pos-pos 40 21.6 17.2 50.0 0.6 1.3 0.5 38.1 -38.3
pair SLmean MRmean pos-pos 63 34.1 16.9 49.2 0.6 1.4 0.4 40.1 -44.1
pair MRmean SLmean pos-pos 63 34.1 16.9 49.2 0.6 1.4 0.4 40.1 -44.1
pair RSmean MACDhist pos-neg 45 24.3 16.7 55.6 0.6 1.2 0.3 38.7 -57.0
pair MACDhist RSmean pos-neg 45 24.3 16.7 55.6 0.6 1.2 0.3 38.7 -57.0
pair RSI MACDhist pos-pos 46 24.9 16.1 47.8 0.6 1.3 0.4 39.8 -38.3
pair MACDhist RSI pos-pos 46 24.9 16.1 47.8 0.6 1.3 0.4 39.8 -38.3
pair RSmean MRmean pos-pos 65 35.1 16.0 46.2 0.6 1.4 0.4 39.7 -43.1
pair MRmean RSmean pos-pos 65 35.1 16.0 46.2 0.6 1.4 0.4 39.7 -43.1
single RSI RSI pos-pos 69 37.3 15.2 55.1 0.6 1.0 0.3 38.8 -43.2
single MRmean MRmean pos-pos 71 38.4 14.3 46.5 0.5 1.3 0.3 38.7 -45.4
pair SLmean RSIhist pos-neg 10 5.4 13.9 50.0 0.5 1.8 0.6 49.1 -25.2
pair RSIhist SLmean pos-neg 10 5.4 13.9 50.0 0.5 1.8 0.6 49.1 -25.2
pair RSI MACDhist pos-neg 23 12.4 13.7 69.6 0.5 0.6 0.4 37.7 -34.7
pair MACDhist RSI pos-neg 23 12.4 13.7 69.6 0.5 0.6 0.4 37.7 -34.7
pair RSI LWTI pos-pos 65 35.1 13.6 55.4 0.5 0.9 0.3 39.2 -43.2
pair LWTI RSI pos-pos 65 35.1 13.6 55.4 0.5 0.9 0.3 39.2 -43.2
pair LWTI RSIhist pos-pos 56 30.3 12.7 48.2 0.5 1.1 0.3 38.6 -46.8
pair RSIhist LWTI pos-pos 56 30.3 12.7 48.2 0.5 1.1 0.3 38.6 -46.8
pair LWTI RSIhist neg-neg 41 22.2 11.8 56.1 0.5 0.8 0.4 31.6 -30.4
pair RSIhist LWTI neg-neg 41 22.2 11.8 56.1 0.5 0.8 0.4 31.6 -30.4
pair RSIhist RSI neg-neg 66 35.7 11.1 54.5 0.5 0.9 0.2 38.8 -47.9
pair RSI RSIhist neg-neg 66 35.7 11.1 54.5 0.5 0.9 0.2 38.8 -47.9
pair MACDhist LWTI pos-pos 74 40.0 10.4 45.9 0.4 1.1 0.3 38.4 -38.3
pair LWTI MACDhist pos-pos 74 40.0 10.4 45.9 0.4 1.1 0.3 38.4 -38.3
single LWTI LWTI pos-pos 109 58.9 10.3 51.4 0.4 0.9 0.2 41.4 -62.1
pair MACDhist LWTI neg-pos 35 18.9 9.9 62.9 0.4 0.8 0.2 47.5 -62.1
pair LWTI MACDhist neg-pos 35 18.9 9.9 62.9 0.4 0.8 0.2 47.5 -62.1
single RSIhist RSIhist neg-neg 94 50.8 9.5 55.3 0.4 0.7 0.1 39.2 -63.0
pair RSIhist SLmean neg-neg 84 45.4 8.9 56.0 0.4 0.7 0.1 38.2 -63.0
pair SLmean RSIhist neg-neg 84 45.4 8.9 56.0 0.4 0.7 0.1 38.2 -63.0
pair MRmean RSIhist pos-pos 58 31.4 8.4 44.8 0.4 0.9 0.2 38.0 -45.4
pair RSIhist MRmean pos-pos 58 31.4 8.4 44.8 0.4 0.9 0.2 38.0 -45.4
pair MACDhist MRmean pos-pos 61 33.0 8.2 41.0 0.4 1.0 0.2 39.3 -46.5
pair MRmean MACDhist pos-pos 61 33.0 8.2 41.0 0.4 1.0 0.2 39.3 -46.5
pair SLmean MACDhist pos-pos 59 31.9 8.0 42.4 0.4 1.0 0.2 39.8 -50.8
pair MACDhist SLmean pos-pos 59 31.9 8.0 42.4 0.4 1.0 0.2 39.8 -50.8
pair LWTI RSIhist neg-pos 53 28.6 7.7 54.7 0.4 0.7 0.1 44.5 -62.1
pair RSIhist LWTI neg-pos 53 28.6 7.7 54.7 0.4 0.7 0.1 44.5 -62.1
pair SLmean RSmean pos-pos 68 36.8 6.2 45.6 0.3 0.9 0.1 40.0 -62.3
pair RSmean SLmean pos-pos 68 36.8 6.2 45.6 0.3 0.9 0.1 40.0 -62.3
pair RSIhist RSI pos-neg 28 15.1 5.6 57.1 0.3 0.5 0.1 40.8 -39.8
pair RSI RSIhist pos-neg 28 15.1 5.6 57.1 0.3 0.5 0.1 40.8 -39.8
single RSmean RSmean pos-pos 157 84.9 5.6 47.8 0.3 0.7 0.1 36.2 -79.2
pair LWTI RSI neg-pos 44 23.8 5.4 45.5 0.3 0.7 0.1 44.8 -46.7
pair RSI LWTI neg-pos 44 23.8 5.4 45.5 0.3 0.7 0.1 44.8 -46.7
pair RSmean SLmean neg-pos 89 48.1 5.2 49.4 0.3 0.6 0.1 33.3 -64.7
pair SLmean RSmean neg-pos 89 48.1 5.2 49.4 0.3 0.6 0.1 33.3 -64.7
pair MRmean RSIhist neg-neg 81 43.8 4.7 55.6 0.3 0.5 0.1 38.7 -63.0
pair RSIhist MRmean neg-neg 81 43.8 4.7 55.6 0.3 0.5 0.1 38.7 -63.0
pair SLmean MACDhist neg-neg 48 25.9 2.3 54.2 0.3 0.4 0.0 43.5 -67.5
pair MACDhist SLmean neg-neg 48 25.9 2.3 54.2 0.3 0.4 0.0 43.5 -67.5
pair RSIhist MACDhist neg-neg 48 25.9 1.8 56.2 0.3 0.4 0.0 44.2 -63.0
pair MACDhist RSIhist neg-neg 48 25.9 1.8 56.2 0.3 0.4 0.0 44.2 -63.0
pair MACDhist RSmean pos-pos 112 60.5 1.5 44.6 0.2 0.5 0.0 35.2 -62.9
pair RSmean MACDhist pos-pos 112 60.5 1.5 44.6 0.2 0.5 0.0 35.2 -62.9
single SLmean SLmean pos-pos 77 41.6 1.5 44.2 0.2 0.6 0.0 38.7 -65.1
pair SLmean RSIhist pos-pos 67 36.2 -0.3 43.3 0.2 0.4 -0.0 37.4 -62.6
pair RSIhist SLmean pos-pos 67 36.2 -0.3 43.3 0.2 0.4 -0.0 37.4 -62.6
single MACDhist MACDhist pos-pos 119 64.3 -0.9 43.7 0.1 0.3 -0.0 34.7 -66.0
pair RSmean MRmean neg-pos 92 49.7 -1.1 48.9 0.1 0.3 -0.0 33.6 -73.0
pair MRmean RSmean neg-pos 92 49.7 -1.1 48.9 0.1 0.3 -0.0 33.6 -73.0
pair benchmark___benchmark_ benchmark-benchmark 185 100.0 -1.8 47.0 0.1 0.3 -0.0 37.1 -91.5
pair benchmark___benchmark_ benchmark-benchmark 185 100.0 -1.8 47.0 0.1 0.3 -0.0 37.1 -91.5
pair MACD RSIhist neg-neg 65 35.1 -2.7 53.8 0.1 0.2 -0.0 38.5 -63.0
pair RSIhist MACD neg-neg 65 35.1 -2.7 53.8 0.1 0.2 -0.0 38.5 -63.0
pair RSmean MRmean pos-neg 6 3.2 -2.7 50.0 0.0 0.0 -0.2 27.9 -12.4
pair MRmean RSmean pos-neg 6 3.2 -2.7 50.0 0.0 0.0 -0.2 27.9 -12.4
pair MACD RSmean neg-pos 9 4.9 -3.0 55.6 0.0 0.1 -0.2 30.9 -15.9
pair RSmean MACD neg-pos 9 4.9 -3.0 55.6 0.0 0.1 -0.2 30.9 -15.9
pair SLmean RSI neg-pos 19 10.3 -3.0 57.9 0.1 0.1 -0.1 36.4 -33.3
pair RSI SLmean neg-pos 19 10.3 -3.0 57.9 0.1 0.1 -0.1 36.4 -33.3
pair LWTI SLmean neg-pos 51 27.6 -3.0 51.0 0.1 0.2 -0.1 42.0 -62.1
pair SLmean LWTI neg-pos 51 27.6 -3.0 51.0 0.1 0.2 -0.1 42.0 -62.1
single MACDhist MACDhist neg-neg 66 35.7 -3.5 53.0 0.1 0.2 -0.0 41.3 -78.1
single SLmean SLmean neg-neg 108 58.4 -4.1 49.1 0.1 0.1 -0.1 36.0 -82.3
pair SLmean MRmean neg-neg 100 54.1 -4.1 51.0 0.1 0.1 -0.1 36.7 -82.3
pair MRmean SLmean neg-neg 100 54.1 -4.1 51.0 0.1 0.1 -0.1 36.7 -82.3
pair MRmean SLmean pos-neg 8 4.3 -4.1 25.0 -0.0 -0.1 -0.3 27.0 -12.1
pair SLmean MRmean pos-neg 8 4.3 -4.1 25.0 -0.0 -0.1 -0.3 27.0 -12.1
pair RSI SLmean neg-neg 89 48.1 -4.3 47.2 0.1 0.1 -0.1 36.1 -75.1
pair SLmean RSI neg-neg 89 48.1 -4.3 47.2 0.1 0.1 -0.1 36.1 -75.1
pair SLmean LWTI neg-neg 57 30.8 -5.1 47.4 -0.0 -0.1 -0.1 29.9 -52.0
pair LWTI SLmean neg-neg 57 30.8 -5.1 47.4 -0.0 -0.1 -0.1 29.9 -52.0
pair RSI RSmean pos-neg 100 54.1 -5.2 44.0 0.0 0.0 -0.1 34.6 -78.5
pair RSmean RSI pos-neg 100 54.1 -5.2 44.0 0.0 0.0 -0.1 34.6 -78.5
pair MACDhist MACD neg-pos 79 42.7 -8.9 40.5 -0.1 -0.3 -0.1 32.7 -66.0
pair MACD MACDhist neg-pos 79 42.7 -8.9 40.5 -0.1 -0.3 -0.1 32.7 -66.0
pair SLmean MACDhist neg-pos 60 32.4 -8.9 45.0 -0.2 -0.3 -0.2 28.8 -53.3
pair MACDhist SLmean neg-pos 60 32.4 -8.9 45.0 -0.2 -0.3 -0.2 28.8 -53.3
pair RSmean MACD pos-neg 102 55.1 -9.1 42.2 -0.1 -0.3 -0.1 34.4 -79.2
pair MACD RSmean pos-neg 102 55.1 -9.1 42.2 -0.1 -0.3 -0.1 34.4 -79.2
pair MRmean LWTI neg-pos 48 25.9 -9.1 52.1 -0.0 -0.0 -0.1 42.8 -62.1
pair LWTI MRmean neg-pos 48 25.9 -9.1 52.1 -0.0 -0.0 -0.1 42.8 -62.1
pair MRmean RSI neg-neg 99 53.5 -9.3 45.5 -0.1 -0.2 -0.1 35.6 -81.3
pair RSI MRmean neg-neg 99 53.5 -9.3 45.5 -0.1 -0.2 -0.1 35.6 -81.3
pair MACDhist MRmean neg-pos 58 31.4 -9.6 46.6 -0.2 -0.4 -0.2 29.0 -55.0
pair MRmean MACDhist neg-pos 58 31.4 -9.6 46.6 -0.2 -0.4 -0.2 29.0 -55.0
pair RSmean RSIhist pos-pos 82 44.3 -9.9 39.0 -0.1 -0.3 -0.1 35.7 -81.8
pair RSIhist RSmean pos-pos 82 44.3 -9.9 39.0 -0.1 -0.3 -0.1 35.7 -81.8
pair MACDhist RSI neg-pos 73 39.5 -10.3 41.1 -0.2 -0.5 -0.2 30.8 -64.3
pair RSI MACDhist neg-pos 73 39.5 -10.3 41.1 -0.2 -0.5 -0.2 30.8 -64.3
single MRmean MRmean neg-neg 114 61.6 -10.7 47.4 -0.1 -0.2 -0.1 35.9 -86.7
single RSI RSI neg-neg 116 62.7 -10.7 42.2 -0.1 -0.3 -0.1 35.8 -85.6
pair RSIhist MACDhist pos-pos 73 39.5 -11.2 37.0 -0.2 -0.4 -0.1 35.2 -74.5
pair MACDhist RSIhist pos-pos 73 39.5 -11.2 37.0 -0.2 -0.4 -0.1 35.2 -74.5
pair LWTI MACD neg-pos 49 26.5 -11.3 42.9 -0.1 -0.1 -0.2 45.1 -62.1
pair MACD LWTI neg-pos 49 26.5 -11.3 42.9 -0.1 -0.1 -0.2 45.1 -62.1
pair MACDhist RSI neg-neg 43 23.2 -11.5 44.2 -0.1 -0.1 -0.2 43.4 -69.1
pair RSI MACDhist neg-neg 43 23.2 -11.5 44.2 -0.1 -0.1 -0.2 43.4 -69.1
pair MACDhist MRmean neg-neg 56 30.3 -11.7 48.2 -0.1 -0.1 -0.1 42.1 -78.1
pair MRmean MACDhist neg-neg 56 30.3 -11.7 48.2 -0.1 -0.1 -0.1 42.1 -78.1
pair MRmean LWTI neg-neg 66 35.7 -11.8 43.9 -0.3 -0.5 -0.2 30.1 -63.2
pair LWTI MRmean neg-neg 66 35.7 -11.8 43.9 -0.3 -0.5 -0.2 30.1 -63.2
single RSIhist RSIhist pos-pos 91 49.2 -12.2 38.5 -0.2 -0.5 -0.1 34.6 -85.5
pair MRmean MACD pos-neg 23 12.4 -12.5 26.1 -0.1 -0.4 -0.3 41.7 -45.4
pair MACD MRmean pos-neg 23 12.4 -12.5 26.1 -0.1 -0.4 -0.3 41.7 -45.4
pair SLmean MACD neg-neg 88 47.6 -13.4 46.6 -0.2 -0.4 -0.2 35.6 -82.3
pair MACD SLmean neg-neg 88 47.6 -13.4 46.6 -0.2 -0.4 -0.2 35.6 -82.3
pair RSI MACD neg-neg 112 60.5 -14.9 41.1 -0.3 -0.6 -0.2 34.5 -85.6
pair MACD RSI neg-neg 112 60.5 -14.9 41.1 -0.3 -0.6 -0.2 34.5 -85.6
single MACD MACD neg-neg 121 65.4 -16.2 41.3 -0.3 -0.6 -0.2 36.2 -91.5
pair MACDhist RSIhist neg-pos 18 9.7 -16.3 44.4 -0.4 -1.1 -0.3 32.9 -52.6
pair RSIhist MACDhist neg-pos 18 9.7 -16.3 44.4 -0.4 -1.1 -0.3 32.9 -52.6
pair RSmean LWTI pos-neg 71 38.4 -16.5 40.8 -0.5 -0.9 -0.2 29.1 -73.1
pair LWTI RSmean pos-neg 71 38.4 -16.5 40.8 -0.5 -0.9 -0.2 29.1 -73.1
pair MACDhist LWTI neg-neg 31 16.8 -16.6 41.9 -0.4 -0.7 -0.3 32.9 -51.2
pair LWTI MACDhist neg-neg 31 16.8 -16.6 41.9 -0.4 -0.7 -0.3 32.9 -51.2
single LWTI LWTI neg-neg 76 41.1 -16.8 40.8 -0.5 -0.9 -0.2 29.2 -76.8
pair MACDhist LWTI pos-neg 45 24.3 -17.0 40.0 -0.6 -1.1 -0.3 26.7 -58.4
pair LWTI MACDhist pos-neg 45 24.3 -17.0 40.0 -0.6 -1.1 -0.3 26.7 -58.4
pair MACD MRmean neg-neg 98 53.0 -17.1 44.9 -0.4 -0.6 -0.2 35.0 -86.7
pair MRmean MACD neg-neg 98 53.0 -17.1 44.9 -0.4 -0.6 -0.2 35.0 -86.7
pair MACDhist SLmean pos-neg 18 9.7 -17.3 50.0 -0.4 -1.4 -0.3 35.3 -50.6
pair SLmean MACDhist pos-neg 18 9.7 -17.3 50.0 -0.4 -1.4 -0.3 35.3 -50.6
pair RSI MRmean pos-neg 17 9.2 -18.9 23.5 -0.4 -1.0 -0.6 38.0 -34.0
pair MRmean RSI pos-neg 17 9.2 -18.9 23.5 -0.4 -1.0 -0.6 38.0 -34.0
pair LWTI RSI neg-neg 72 38.9 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair RSI LWTI neg-neg 72 38.9 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair MACD LWTI neg-neg 72 38.9 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair LWTI MACD neg-neg 72 38.9 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair RSI MRmean neg-pos 15 8.1 -19.5 60.0 -0.4 -0.4 -0.5 38.7 -39.5
pair MRmean RSI neg-pos 15 8.1 -19.5 60.0 -0.4 -0.4 -0.5 38.7 -39.5
pair RSmean LWTI neg-neg 5 2.7 -21.9 40.0 -0.6 -2.2 -2.2 34.9 -9.8
pair LWTI RSmean neg-neg 5 2.7 -21.9 40.0 -0.6 -2.2 -2.2 34.9 -9.8
pair MACD SLmean pos-neg 33 17.8 -23.3 27.3 -0.5 -1.6 -0.4 38.3 -65.1
pair SLmean MACD pos-neg 33 17.8 -23.3 27.3 -0.5 -1.6 -0.4 38.3 -65.1
pair RSmean SLmean pos-neg 9 4.9 -28.0 33.3 -1.1 -2.0 -1.0 26.8 -27.3
pair SLmean RSmean pos-neg 9 4.9 -28.0 33.3 -1.1 -2.0 -1.0 26.8 -27.3
pair MACDhist MACD neg-neg 42 22.7 -28.3 42.9 -0.6 -0.9 -0.4 42.1 -78.1
pair MACD MACDhist neg-neg 42 22.7 -28.3 42.9 -0.6 -0.9 -0.4 42.1 -78.1
pair SLmean RSI pos-neg 27 14.6 -29.0 25.9 -0.8 -2.2 -0.5 34.6 -57.8
pair RSI SLmean pos-neg 27 14.6 -29.0 25.9 -0.8 -2.2 -0.5 34.6 -57.8
pair RSI RSmean neg-pos 12 6.5 -29.1 58.3 -0.7 -0.8 -0.9 39.4 -30.5
pair RSmean RSI neg-pos 12 6.5 -29.1 58.3 -0.7 -0.8 -0.9 39.4 -30.5
pair MACD RSIhist neg-pos 56 30.3 -29.6 26.8 -0.9 -2.1 -0.3 32.8 -85.5
pair RSIhist MACD neg-pos 56 30.3 -29.6 26.8 -0.9 -2.1 -0.3 32.8 -85.5
pair RSmean RSIhist neg-pos 9 4.9 -30.9 33.3 -1.5 -2.6 -1.3 22.2 -23.7
pair RSIhist RSmean neg-pos 9 4.9 -30.9 33.3 -1.5 -2.6 -1.3 22.2 -23.7
pair RSI MACD neg-pos 9 4.9 -31.0 44.4 -0.4 -0.7 -0.7 55.5 -43.2
pair MACD RSI neg-pos 9 4.9 -31.0 44.4 -0.4 -0.7 -0.7 55.5 -43.2
pair RSmean MACDhist neg-pos 7 3.8 -32.2 28.6 -1.7 -2.6 -1.9 21.6 -16.8
pair MACDhist RSmean neg-pos 7 3.8 -32.2 28.6 -1.7 -2.6 -1.9 21.6 -16.8
pair RSI RSIhist neg-pos 50 27.0 -33.2 26.0 -1.2 -2.5 -0.4 29.6 -82.5
pair RSIhist RSI neg-pos 50 27.0 -33.2 26.0 -1.2 -2.5 -0.4 29.6 -82.5
single RSmean RSmean neg-neg 28 15.1 -34.8 42.9 -0.8 -1.2 -0.5 40.4 -66.6
pair MACDhist RSmean neg-neg 21 11.4 -35.7 47.6 -0.7 -1.1 -0.6 45.5 -62.1
pair RSmean MACDhist neg-neg 21 11.4 -35.7 47.6 -0.7 -1.1 -0.6 45.5 -62.1
pair RSIhist RSmean neg-neg 19 10.3 -36.6 47.4 -0.7 -1.1 -0.6 47.3 -62.1
pair RSmean RSIhist neg-neg 19 10.3 -36.6 47.4 -0.7 -1.1 -0.6 47.3 -62.1
pair LWTI RSmean neg-pos 23 12.4 -37.3 43.5 -0.9 -1.2 -0.6 42.2 -63.0
pair RSmean LWTI neg-pos 23 12.4 -37.3 43.5 -0.9 -1.2 -0.6 42.2 -63.0
pair RSmean SLmean neg-neg 19 10.3 -37.8 47.4 -0.8 -1.1 -0.6 46.2 -63.5
pair SLmean RSmean neg-neg 19 10.3 -37.8 47.4 -0.8 -1.1 -0.6 46.2 -63.5
pair RSIhist SLmean neg-pos 24 13.0 -38.6 25.0 -2.0 -2.9 -0.6 22.6 -60.5
pair SLmean RSIhist neg-pos 24 13.0 -38.6 25.0 -2.0 -2.9 -0.6 22.6 -60.5
pair RSmean RSI neg-neg 16 8.6 -38.8 31.2 -0.9 -1.6 -0.7 42.4 -52.5
pair RSI RSmean neg-neg 16 8.6 -38.8 31.2 -0.9 -1.6 -0.7 42.4 -52.5
pair RSIhist MRmean neg-pos 33 17.8 -39.5 27.3 -1.9 -3.3 -0.5 24.4 -75.3
pair MRmean RSIhist neg-pos 33 17.8 -39.5 27.3 -1.9 -3.3 -0.5 24.4 -75.3
pair RSIhist LWTI pos-neg 35 18.9 -41.2 22.9 -2.2 -3.8 -0.5 22.6 -75.9
pair LWTI RSIhist pos-neg 35 18.9 -41.2 22.9 -2.2 -3.8 -0.5 22.6 -75.9
pair RSmean MRmean neg-neg 22 11.9 -41.6 40.9 -1.0 -1.5 -0.6 43.4 -66.7
pair MRmean RSmean neg-neg 22 11.9 -41.6 40.9 -1.0 -1.5 -0.6 43.4 -66.7
pair LWTI MRmean pos-neg 10 5.4 -43.7 20.0 -2.7 -4.6 -1.2 20.0 -35.1
pair MRmean LWTI pos-neg 10 5.4 -43.7 20.0 -2.7 -4.6 -1.2 20.0 -35.1
pair LWTI SLmean pos-neg 19 10.3 -44.1 21.1 -2.2 -4.9 -0.8 24.1 -54.8
pair SLmean LWTI pos-neg 19 10.3 -44.1 21.1 -2.2 -4.9 -0.8 24.1 -54.8
pair MACD RSmean neg-neg 19 10.3 -46.0 36.8 -1.1 -1.6 -0.7 44.2 -66.2
pair RSmean MACD neg-neg 19 10.3 -46.0 36.8 -1.1 -1.6 -0.7 44.2 -66.2
pair SLmean MRmean neg-pos 14 7.6 -46.2 21.4 -2.3 -5.4 -0.9 25.1 -52.3
pair MRmean SLmean neg-pos 14 7.6 -46.2 21.4 -2.3 -5.4 -0.9 25.1 -52.3

All Contingency Tables for URA

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 16.9% | Win 49%
Sharpe 0.58 | Sortino 1.43 | Calmar 0.4
Vol 40% | MDD -44.1%
Months 63M (34%)
CAGR -4.1% | Win 25%
Sharpe -0.04 | Sortino -0.12 | Calmar -0.3
Vol 27% | MDD -12.1%
Months 8M (4%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -46.2% | Win 21%
Sharpe -2.30 | Sortino -5.36 | Calmar -0.9
Vol 25% | MDD -52.3%
Months 14M (8%)
CAGR -4.1% | Win 51%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 100M (54%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
SLmean
only
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 16.0% | Win 46%
Sharpe 0.56 | Sortino 1.39 | Calmar 0.4
Vol 40% | MDD -43.1%
Months 65M (35%)
CAGR -2.7% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.2
Vol 28% | MDD -12.4%
Months 6M (3%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -1.1% | Win 49%
Sharpe 0.13 | Sortino 0.27 | Calmar -0.0
Vol 34% | MDD -73.0%
Months 92M (50%)
CAGR -41.6% | Win 41%
Sharpe -0.99 | Sortino -1.49 | Calmar -0.6
Vol 43% | MDD -66.7%
Months 22M (12%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
RSmean
only
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 29.9% | Win 56%
Sharpe 0.89 | Sortino 1.87 | Calmar 1.0
Vol 37% | MDD -30.0%
Months 48M (26%)
CAGR -12.5% | Win 26%
Sharpe -0.14 | Sortino -0.43 | Calmar -0.3
Vol 42% | MDD -45.4%
Months 23M (12%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR 40.7% | Win 62%
Sharpe 1.06 | Sortino 2.30 | Calmar 2.1
Vol 39% | MDD -19.0%
Months 16M (9%)
CAGR -17.1% | Win 45%
Sharpe -0.36 | Sortino -0.61 | Calmar -0.2
Vol 35% | MDD -86.7%
Months 98M (53%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
MACD
only
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 27.3% | Win 54%
Sharpe 0.81 | Sortino 1.90 | Calmar 0.9
Vol 39% | MDD -30.0%
Months 54M (29%)
CAGR -18.9% | Win 24%
Sharpe -0.39 | Sortino -1.03 | Calmar -0.6
Vol 38% | MDD -34.0%
Months 17M (9%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -19.5% | Win 60%
Sharpe -0.36 | Sortino -0.40 | Calmar -0.5
Vol 39% | MDD -39.5%
Months 15M (8%)
CAGR -9.3% | Win 46%
Sharpe -0.10 | Sortino -0.20 | Calmar -0.1
Vol 36% | MDD -81.3%
Months 99M (54%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
RSI
only
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 41%
Sharpe 0.38 | Sortino 0.97 | Calmar 0.2
Vol 39% | MDD -46.5%
Months 61M (33%)
CAGR 59.4% | Win 80%
Sharpe 1.50 | Sortino 3.64 | Calmar 2.6
Vol 35% | MDD -22.8%
Months 10M (5%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -9.6% | Win 47%
Sharpe -0.21 | Sortino -0.41 | Calmar -0.2
Vol 29% | MDD -55.0%
Months 58M (31%)
CAGR -11.7% | Win 48%
Sharpe -0.09 | Sortino -0.15 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 56M (30%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
MACDhist
only
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 45%
Sharpe 0.39 | Sortino 0.94 | Calmar 0.2
Vol 38% | MDD -45.4%
Months 58M (31%)
CAGR 44.5% | Win 54%
Sharpe 1.06 | Sortino 2.52 | Calmar 2.2
Vol 43% | MDD -20.2%
Months 13M (7%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -39.5% | Win 27%
Sharpe -1.90 | Sortino -3.31 | Calmar -0.5
Vol 24% | MDD -75.3%
Months 33M (18%)
CAGR 4.7% | Win 56%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 81M (44%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 28.4% | Win 51%
Sharpe 0.82 | Sortino 1.93 | Calmar 0.8
Vol 40% | MDD -35.5%
Months 61M (33%)
CAGR -43.7% | Win 20%
Sharpe -2.72 | Sortino -4.60 | Calmar -1.2
Vol 20% | MDD -35.1%
Months 10M (5%)
CAGR 14.3% | Win 46%
Sharpe 0.53 | Sortino 1.29 | Calmar 0.3
Vol 39% | MDD -45.4%
Months 71M (38%)
MRmean
neg
CAGR -9.1% | Win 52%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 43% | MDD -62.1%
Months 48M (26%)
CAGR -11.8% | Win 44%
Sharpe -0.27 | Sortino -0.49 | Calmar -0.2
Vol 30% | MDD -63.2%
Months 66M (36%)
CAGR -10.7% | Win 47%
Sharpe -0.14 | Sortino -0.24 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 114M (62%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 46%
Sharpe 0.34 | Sortino 0.89 | Calmar 0.1
Vol 40% | MDD -62.3%
Months 68M (37%)
CAGR -28.0% | Win 33%
Sharpe -1.09 | Sortino -2.00 | Calmar -1.0
Vol 27% | MDD -27.3%
Months 9M (5%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR 5.2% | Win 49%
Sharpe 0.31 | Sortino 0.62 | Calmar 0.1
Vol 33% | MDD -64.7%
Months 89M (48%)
CAGR -37.8% | Win 47%
Sharpe -0.78 | Sortino -1.15 | Calmar -0.6
Vol 46% | MDD -63.5%
Months 19M (10%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
RSmean
only
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 25.1% | Win 57%
Sharpe 0.77 | Sortino 1.68 | Calmar 0.6
Vol 38% | MDD -38.8%
Months 44M (24%)
CAGR -23.3% | Win 27%
Sharpe -0.52 | Sortino -1.60 | Calmar -0.4
Vol 38% | MDD -65.1%
Months 33M (18%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR 50.2% | Win 60%
Sharpe 1.32 | Sortino 2.86 | Calmar 2.6
Vol 36% | MDD -19.5%
Months 20M (11%)
CAGR -13.4% | Win 47%
Sharpe -0.22 | Sortino -0.36 | Calmar -0.2
Vol 36% | MDD -82.3%
Months 88M (48%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
MACD
only
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 23.1% | Win 54%
Sharpe 0.71 | Sortino 1.73 | Calmar 0.6
Vol 40% | MDD -38.8%
Months 50M (27%)
CAGR -29.0% | Win 26%
Sharpe -0.82 | Sortino -2.20 | Calmar -0.5
Vol 35% | MDD -57.8%
Months 27M (15%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR -3.0% | Win 58%
Sharpe 0.10 | Sortino 0.11 | Calmar -0.1
Vol 36% | MDD -33.3%
Months 19M (10%)
CAGR -4.3% | Win 47%
Sharpe 0.05 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -75.1%
Months 89M (48%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
RSI
only
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 42%
Sharpe 0.38 | Sortino 0.99 | Calmar 0.2
Vol 40% | MDD -50.8%
Months 59M (32%)
CAGR -17.3% | Win 50%
Sharpe -0.37 | Sortino -1.40 | Calmar -0.3
Vol 35% | MDD -50.6%
Months 18M (10%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR -8.9% | Win 45%
Sharpe -0.18 | Sortino -0.35 | Calmar -0.2
Vol 29% | MDD -53.3%
Months 60M (32%)
CAGR 2.3% | Win 54%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.0
Vol 44% | MDD -67.5%
Months 48M (26%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
MACDhist
only
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -0.3% | Win 43%
Sharpe 0.17 | Sortino 0.42 | Calmar -0.0
Vol 37% | MDD -62.6%
Months 67M (36%)
CAGR 13.9% | Win 50%
Sharpe 0.48 | Sortino 1.78 | Calmar 0.6
Vol 49% | MDD -25.2%
Months 10M (5%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR -38.6% | Win 25%
Sharpe -2.00 | Sortino -2.93 | Calmar -0.6
Vol 23% | MDD -60.5%
Months 24M (13%)
CAGR 8.9% | Win 56%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.1
Vol 38% | MDD -63.0%
Months 84M (45%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 23.3% | Win 52%
Sharpe 0.71 | Sortino 1.72 | Calmar 0.6
Vol 41% | MDD -38.6%
Months 58M (31%)
CAGR -44.1% | Win 21%
Sharpe -2.23 | Sortino -4.93 | Calmar -0.8
Vol 24% | MDD -54.8%
Months 19M (10%)
CAGR 1.5% | Win 44%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.0
Vol 39% | MDD -65.1%
Months 77M (42%)
SLmean
neg
CAGR -3.0% | Win 51%
Sharpe 0.14 | Sortino 0.23 | Calmar -0.0
Vol 42% | MDD -62.1%
Months 51M (28%)
CAGR -5.1% | Win 47%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 30% | MDD -52.0%
Months 57M (31%)
CAGR -4.1% | Win 49%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -82.3%
Months 108M (58%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 39.4% | Win 58%
Sharpe 1.06 | Sortino 2.21 | Calmar 1.3
Vol 38% | MDD -29.6%
Months 55M (30%)
CAGR -9.1% | Win 42%
Sharpe -0.11 | Sortino -0.26 | Calmar -0.1
Vol 34% | MDD -79.2%
Months 102M (55%)
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
RSmean
neg
CAGR -3.0% | Win 56%
Sharpe 0.04 | Sortino 0.10 | Calmar -0.2
Vol 31% | MDD -15.9%
Months 9M (5%)
CAGR -46.0% | Win 37%
Sharpe -1.14 | Sortino -1.63 | Calmar -0.7
Vol 44% | MDD -66.2%
Months 19M (10%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
MACD
only
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 27.7% | Win 54%
Sharpe 0.82 | Sortino 1.80 | Calmar 0.7
Vol 38% | MDD -39.4%
Months 57M (31%)
CAGR -5.2% | Win 44%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 35% | MDD -78.5%
Months 100M (54%)
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
RSmean
neg
CAGR -29.1% | Win 58%
Sharpe -0.66 | Sortino -0.77 | Calmar -1.0
Vol 39% | MDD -30.5%
Months 12M (6%)
CAGR -38.8% | Win 31%
Sharpe -0.93 | Sortino -1.58 | Calmar -0.7
Vol 42% | MDD -52.5%
Months 16M (9%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
RSI
only
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 1.5% | Win 45%
Sharpe 0.21 | Sortino 0.49 | Calmar 0.0
Vol 35% | MDD -62.9%
Months 112M (60%)
CAGR 16.7% | Win 56%
Sharpe 0.58 | Sortino 1.21 | Calmar 0.3
Vol 39% | MDD -57.0%
Months 45M (24%)
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
RSmean
neg
CAGR -32.2% | Win 29%
Sharpe -1.67 | Sortino -2.63 | Calmar -1.9
Vol 22% | MDD -16.8%
Months 7M (4%)
CAGR -35.7% | Win 48%
Sharpe -0.73 | Sortino -1.11 | Calmar -0.6
Vol 46% | MDD -62.1%
Months 21M (11%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
MACDhist
only
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -9.9% | Win 39%
Sharpe -0.12 | Sortino -0.29 | Calmar -0.1
Vol 36% | MDD -81.8%
Months 82M (44%)
CAGR 25.7% | Win 57%
Sharpe 0.81 | Sortino 1.69 | Calmar 0.8
Vol 36% | MDD -30.4%
Months 75M (40%)
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
RSmean
neg
CAGR -30.9% | Win 33%
Sharpe -1.54 | Sortino -2.61 | Calmar -1.3
Vol 22% | MDD -23.7%
Months 9M (5%)
CAGR -36.6% | Win 47%
Sharpe -0.71 | Sortino -1.09 | Calmar -0.6
Vol 47% | MDD -62.1%
Months 19M (10%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 28.2% | Win 54%
Sharpe 0.81 | Sortino 2.02 | Calmar 0.9
Vol 40% | MDD -30.9%
Months 86M (46%)
CAGR -16.5% | Win 41%
Sharpe -0.47 | Sortino -0.86 | Calmar -0.2
Vol 29% | MDD -73.1%
Months 71M (38%)
CAGR 5.6% | Win 48%
Sharpe 0.32 | Sortino 0.73 | Calmar 0.1
Vol 36% | MDD -79.2%
Months 157M (85%)
RSmean
neg
CAGR -37.3% | Win 44%
Sharpe -0.87 | Sortino -1.23 | Calmar -0.6
Vol 42% | MDD -63.0%
Months 23M (12%)
CAGR -21.9% | Win 40%
Sharpe -0.57 | Sortino -2.23 | Calmar -2.2
Vol 35% | MDD -9.8%
Months 5M (3%)
CAGR -34.8% | Win 43%
Sharpe -0.83 | Sortino -1.24 | Calmar -0.5
Vol 40% | MDD -66.6%
Months 28M (15%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 24.5% | Win 57%
Sharpe 0.79 | Sortino 1.59 | Calmar 0.7
Vol 36% | MDD -34.5%
Months 60M (32%)
CAGR 238.0% | Win 75%
Sharpe 2.66 | Sortino 0.00 | Calmar 31.4
Vol 52% | MDD -7.6%
Months 4M (2%)
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
MACD
neg
CAGR -31.0% | Win 44%
Sharpe -0.41 | Sortino -0.66 | Calmar -0.7
Vol 56% | MDD -43.2%
Months 9M (5%)
CAGR -14.9% | Win 41%
Sharpe -0.30 | Sortino -0.59 | Calmar -0.2
Vol 34% | MDD -85.6%
Months 112M (60%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
RSI
only
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 17.2% | Win 50%
Sharpe 0.60 | Sortino 1.27 | Calmar 0.4
Vol 38% | MDD -38.3%
Months 40M (22%)
CAGR 62.6% | Win 71%
Sharpe 1.54 | Sortino 3.33 | Calmar 3.3
Vol 36% | MDD -19.0%
Months 24M (13%)
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
MACD
neg
CAGR -8.9% | Win 40%
Sharpe -0.13 | Sortino -0.32 | Calmar -0.1
Vol 33% | MDD -66.0%
Months 79M (43%)
CAGR -28.3% | Win 43%
Sharpe -0.57 | Sortino -0.94 | Calmar -0.4
Vol 42% | MDD -78.1%
Months 42M (23%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
MACDhist
only
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 24.8% | Win 57%
Sharpe 0.80 | Sortino 1.56 | Calmar 0.9
Vol 35% | MDD -27.7%
Months 35M (19%)
CAGR 42.4% | Win 59%
Sharpe 1.08 | Sortino 2.51 | Calmar 2.2
Vol 40% | MDD -19.5%
Months 29M (16%)
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
MACD
neg
CAGR -29.6% | Win 27%
Sharpe -0.90 | Sortino -2.15 | Calmar -0.3
Vol 33% | MDD -85.5%
Months 56M (30%)
CAGR -2.7% | Win 54%
Sharpe 0.12 | Sortino 0.19 | Calmar -0.0
Vol 38% | MDD -63.0%
Months 65M (35%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 31.7% | Win 58%
Sharpe 0.92 | Sortino 1.99 | Calmar 1.1
Vol 38% | MDD -28.7%
Months 60M (32%)
CAGR 44.6% | Win 50%
Sharpe 1.16 | Sortino 2.02 | Calmar 4.6
Vol 36% | MDD -9.6%
Months 4M (2%)
CAGR 32.5% | Win 58%
Sharpe 0.94 | Sortino 2.02 | Calmar 1.1
Vol 37% | MDD -28.7%
Months 64M (35%)
MACD
neg
CAGR -11.3% | Win 43%
Sharpe -0.05 | Sortino -0.10 | Calmar -0.2
Vol 45% | MDD -62.1%
Months 49M (26%)
CAGR -19.4% | Win 40%
Sharpe -0.60 | Sortino -1.11 | Calmar -0.3
Vol 29% | MDD -76.8%
Months 72M (39%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (65%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.1% | Win 48%
Sharpe 0.56 | Sortino 1.33 | Calmar 0.4
Vol 40% | MDD -38.3%
Months 46M (25%)
CAGR 13.7% | Win 70%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.4
Vol 38% | MDD -34.7%
Months 23M (12%)
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
RSI
neg
CAGR -10.3% | Win 41%
Sharpe -0.20 | Sortino -0.45 | Calmar -0.2
Vol 31% | MDD -64.3%
Months 73M (40%)
CAGR -11.5% | Win 44%
Sharpe -0.07 | Sortino -0.15 | Calmar -0.2
Vol 43% | MDD -69.1%
Months 43M (23%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
MACDhist
only
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 22.3% | Win 54%
Sharpe 0.71 | Sortino 1.64 | Calmar 0.8
Vol 38% | MDD -27.7%
Months 41M (22%)
CAGR 5.6% | Win 57%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 41% | MDD -39.8%
Months 28M (15%)
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
RSI
neg
CAGR -33.2% | Win 26%
Sharpe -1.20 | Sortino -2.51 | Calmar -0.4
Vol 30% | MDD -82.5%
Months 50M (27%)
CAGR 11.1% | Win 55%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.2
Vol 39% | MDD -47.9%
Months 66M (36%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.6% | Win 55%
Sharpe 0.52 | Sortino 0.95 | Calmar 0.3
Vol 39% | MDD -43.2%
Months 65M (35%)
CAGR 44.6% | Win 50%
Sharpe 1.16 | Sortino 2.02 | Calmar 4.6
Vol 36% | MDD -9.6%
Months 4M (2%)
CAGR 15.2% | Win 55%
Sharpe 0.56 | Sortino 1.02 | Calmar 0.4
Vol 39% | MDD -43.2%
Months 69M (37%)
RSI
neg
CAGR 5.4% | Win 46%
Sharpe 0.33 | Sortino 0.71 | Calmar 0.1
Vol 45% | MDD -46.7%
Months 44M (24%)
CAGR -19.4% | Win 40%
Sharpe -0.60 | Sortino -1.11 | Calmar -0.3
Vol 29% | MDD -76.8%
Months 72M (39%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (63%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -11.2% | Win 37%
Sharpe -0.17 | Sortino -0.39 | Calmar -0.1
Vol 35% | MDD -74.5%
Months 73M (40%)
CAGR 18.0% | Win 54%
Sharpe 0.66 | Sortino 1.57 | Calmar 0.6
Vol 34% | MDD -30.4%
Months 46M (25%)
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
MACDhist
neg
CAGR -16.3% | Win 44%
Sharpe -0.39 | Sortino -1.14 | Calmar -0.3
Vol 33% | MDD -52.6%
Months 18M (10%)
CAGR 1.8% | Win 56%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.0
Vol 44% | MDD -63.0%
Months 48M (26%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
RSIhist
only
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.4% | Win 46%
Sharpe 0.44 | Sortino 1.05 | Calmar 0.3
Vol 38% | MDD -38.3%
Months 74M (40%)
CAGR -17.0% | Win 40%
Sharpe -0.56 | Sortino -1.12 | Calmar -0.3
Vol 27% | MDD -58.4%
Months 45M (24%)
CAGR -0.9% | Win 44%
Sharpe 0.14 | Sortino 0.32 | Calmar -0.0
Vol 35% | MDD -66.0%
Months 119M (64%)
MACDhist
neg
CAGR 9.9% | Win 63%
Sharpe 0.43 | Sortino 0.75 | Calmar 0.2
Vol 48% | MDD -62.1%
Months 35M (19%)
CAGR -16.6% | Win 42%
Sharpe -0.39 | Sortino -0.69 | Calmar -0.3
Vol 33% | MDD -51.2%
Months 31M (17%)
CAGR -3.5% | Win 53%
Sharpe 0.12 | Sortino 0.21 | Calmar -0.0
Vol 41% | MDD -78.1%
Months 66M (36%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.7% | Win 48%
Sharpe 0.49 | Sortino 1.13 | Calmar 0.3
Vol 39% | MDD -46.8%
Months 56M (30%)
CAGR -41.2% | Win 23%
Sharpe -2.19 | Sortino -3.81 | Calmar -0.5
Vol 23% | MDD -75.9%
Months 35M (19%)
CAGR -12.2% | Win 38%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.1
Vol 35% | MDD -85.5%
Months 91M (49%)
RSIhist
neg
CAGR 7.7% | Win 55%
Sharpe 0.38 | Sortino 0.70 | Calmar 0.1
Vol 44% | MDD -62.1%
Months 53M (29%)
CAGR 11.8% | Win 56%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.4
Vol 32% | MDD -30.4%
Months 41M (22%)
CAGR 9.5% | Win 55%
Sharpe 0.42 | Sortino 0.74 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 94M (51%)
LWTI
only
CAGR 10.3% | Win 51%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.2
Vol 41% | MDD -62.1%
Months 109M (59%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (41%)