URA - Global X Uranium ETF

Signal Pair Analysis

MACD-RSI

Best Pair

238.0%

Best CAGR

54

Total Months

-4.3%

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 2.1 238.0 75.0 2.7 0.0 31.4 51.6 -7.6
pair MACD RSI pos-neg 4 2.1 238.0 75.0 2.7 0.0 31.4 51.6 -7.6
pair LWTI MACD pos-neg 4 2.1 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair MACD LWTI pos-neg 4 2.1 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair RSI LWTI pos-neg 4 2.1 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair LWTI RSI pos-neg 4 2.1 44.6 50.0 1.2 2.0 4.6 36.5 -9.6
pair MACD MACDhist pos-neg 27 14.1 44.3 66.7 1.1 2.6 1.7 39.1 -25.9
pair MACDhist MACD pos-neg 27 14.1 44.3 66.7 1.1 2.6 1.7 39.1 -25.9
pair MACDhist MRmean pos-neg 11 5.8 32.2 72.7 0.9 3.4 1.4 37.9 -22.8
pair MRmean MACDhist pos-neg 11 5.8 32.2 72.7 0.9 3.4 1.4 37.9 -22.8
pair MRmean MACD neg-pos 19 9.9 23.1 57.9 0.7 1.6 1.2 41.8 -19.0
pair MACD MRmean neg-pos 19 9.9 23.1 57.9 0.7 1.6 1.2 41.8 -19.0
pair MACD SLmean neg-pos 24 12.6 22.3 54.2 0.7 1.5 0.9 39.7 -25.0
pair SLmean MACD neg-pos 24 12.6 22.3 54.2 0.7 1.5 0.9 39.7 -25.0
pair RSmean MACD pos-pos 61 31.9 22.0 54.1 0.7 1.5 0.6 40.0 -40.2
pair MACD RSmean pos-pos 61 31.9 22.0 54.1 0.7 1.5 0.6 40.0 -40.2
pair RSIhist MACD pos-pos 36 18.8 19.8 55.6 0.7 1.4 0.6 35.6 -34.9
pair MACD RSIhist pos-pos 36 18.8 19.8 55.6 0.7 1.4 0.6 35.6 -34.9
single MACD MACD pos-pos 70 36.6 18.4 54.3 0.6 1.4 0.5 38.8 -40.2
pair RSIhist RSI pos-pos 42 22.0 18.1 52.4 0.6 1.4 0.5 38.0 -34.9
pair RSI RSIhist pos-pos 42 22.0 18.1 52.4 0.6 1.4 0.5 38.0 -34.9
pair RSmean LWTI pos-pos 92 48.2 18.0 51.1 0.6 1.5 0.5 41.2 -40.2
pair LWTI MRmean pos-pos 64 33.5 18.0 48.4 0.6 1.4 0.5 40.6 -35.5
pair LWTI RSmean pos-pos 92 48.2 18.0 51.1 0.6 1.5 0.5 41.2 -40.2
pair MRmean LWTI pos-pos 64 33.5 18.0 48.4 0.6 1.4 0.5 40.6 -35.5
pair MACD RSIhist pos-neg 34 17.8 17.0 52.9 0.6 1.4 0.5 42.5 -33.6
pair LWTI MACD pos-pos 66 34.6 17.0 54.5 0.6 1.3 0.4 39.2 -40.2
pair RSIhist MACD pos-neg 34 17.8 17.0 52.9 0.6 1.4 0.5 42.5 -33.6
pair MACD LWTI pos-pos 66 34.6 17.0 54.5 0.6 1.3 0.4 39.2 -40.2
pair LWTI SLmean pos-pos 60 31.4 16.8 50.0 0.6 1.4 0.4 41.1 -38.6
pair SLmean LWTI pos-pos 60 31.4 16.8 50.0 0.6 1.4 0.4 41.1 -38.6
pair MACD MRmean pos-pos 51 26.7 16.7 52.9 0.6 1.3 0.5 38.0 -32.2
pair MRmean MACD pos-pos 51 26.7 16.7 52.9 0.6 1.3 0.5 38.0 -32.2
pair RSmean RSIhist pos-neg 80 41.9 16.5 55.0 0.6 1.2 0.5 37.5 -33.6
pair SLmean MACD pos-pos 46 24.1 16.5 54.3 0.6 1.3 0.4 38.8 -38.8
pair MACD SLmean pos-pos 46 24.1 16.5 54.3 0.6 1.3 0.4 38.8 -38.8
pair RSIhist RSmean pos-neg 80 41.9 16.5 55.0 0.6 1.2 0.5 37.5 -33.6
pair MRmean RSI pos-pos 57 29.8 15.9 50.9 0.6 1.3 0.5 39.4 -32.2
pair RSI MRmean pos-pos 57 29.8 15.9 50.9 0.6 1.3 0.5 39.4 -32.2
pair RSI SLmean pos-pos 52 27.2 15.5 51.9 0.6 1.4 0.4 40.2 -38.8
pair SLmean RSI pos-pos 52 27.2 15.5 51.9 0.6 1.4 0.4 40.2 -38.8
pair RSmean RSI pos-pos 63 33.0 13.1 50.8 0.5 1.1 0.3 39.8 -40.2
pair RSI RSmean pos-pos 63 33.0 13.1 50.8 0.5 1.1 0.3 39.8 -40.2
pair LWTI RSIhist neg-neg 41 21.5 11.8 56.1 0.5 0.8 0.4 31.6 -30.4
pair RSIhist LWTI neg-neg 41 21.5 11.8 56.1 0.5 0.8 0.4 31.6 -30.4
pair RSmean MACDhist pos-neg 48 25.1 11.4 54.2 0.5 1.0 0.2 39.8 -57.0
pair MACDhist RSmean pos-neg 48 25.1 11.4 54.2 0.5 1.0 0.2 39.8 -57.0
pair SLmean MRmean pos-pos 65 34.0 11.3 47.7 0.5 1.1 0.3 40.2 -44.1
pair MRmean SLmean pos-pos 65 34.0 11.3 47.7 0.5 1.1 0.3 40.2 -44.1
pair RSIhist RSI neg-neg 66 34.6 11.1 54.5 0.5 0.9 0.2 38.8 -47.9
pair RSI MACD pos-pos 66 34.6 11.1 53.0 0.5 1.0 0.3 37.5 -40.2
pair RSI RSIhist neg-neg 66 34.6 11.1 54.5 0.5 0.9 0.2 38.8 -47.9
pair MACD RSI pos-pos 66 34.6 11.1 53.0 0.5 1.0 0.3 37.5 -40.2
pair LWTI RSIhist pos-pos 57 29.8 10.0 47.4 0.4 1.0 0.2 38.6 -46.8
pair RSIhist LWTI pos-pos 57 29.8 10.0 47.4 0.4 1.0 0.2 38.6 -46.8
pair RSIhist MACDhist pos-neg 48 25.1 9.8 52.1 0.4 1.0 0.3 34.3 -30.4
pair MACDhist RSIhist pos-neg 48 25.1 9.8 52.1 0.4 1.0 0.3 34.3 -30.4
pair MRmean RSIhist pos-neg 15 7.9 9.7 46.7 0.4 1.0 0.4 44.7 -24.6
pair RSIhist MRmean pos-neg 15 7.9 9.7 46.7 0.4 1.0 0.4 44.7 -24.6
pair RSmean MRmean pos-pos 68 35.6 7.6 44.1 0.4 0.9 0.2 40.1 -43.1
pair MRmean RSmean pos-pos 68 35.6 7.6 44.1 0.4 0.9 0.2 40.1 -43.1
single MRmean MRmean pos-pos 74 38.7 6.7 44.6 0.3 0.8 0.1 39.1 -45.4
pair MRmean RSIhist pos-pos 59 30.9 6.0 44.1 0.3 0.8 0.1 38.0 -45.4
pair RSIhist MRmean pos-pos 59 30.9 6.0 44.1 0.3 0.8 0.1 38.0 -45.4
pair SLmean MACDhist pos-pos 60 31.4 5.6 41.7 0.3 0.8 0.1 39.8 -50.8
pair MACDhist SLmean pos-pos 60 31.4 5.6 41.7 0.3 0.8 0.1 39.8 -50.8
pair RSI LWTI neg-pos 44 23.0 5.4 45.5 0.3 0.7 0.1 44.8 -46.7
pair LWTI RSI neg-pos 44 23.0 5.4 45.5 0.3 0.7 0.1 44.8 -46.7
pair RSI MACDhist pos-pos 49 25.7 5.1 44.9 0.3 0.8 0.1 40.2 -38.3
pair MACDhist RSI pos-pos 49 25.7 5.1 44.9 0.3 0.8 0.1 40.2 -38.3
single RSI RSI pos-pos 75 39.3 4.9 52.0 0.3 0.6 0.1 39.8 -43.2
pair MACDhist RSI pos-neg 26 13.6 4.6 65.4 0.3 0.5 0.1 39.8 -34.7
pair RSI MACDhist pos-neg 26 13.6 4.6 65.4 0.3 0.5 0.1 39.8 -34.7
pair MACDhist MACD pos-pos 43 22.5 4.6 46.5 0.3 0.7 0.1 38.6 -38.3
pair MACD MACDhist pos-pos 43 22.5 4.6 46.5 0.3 0.7 0.1 38.6 -38.3
pair RSIhist SLmean neg-neg 88 46.1 4.5 54.5 0.3 0.5 0.1 38.9 -63.0
pair SLmean RSIhist neg-neg 88 46.1 4.5 54.5 0.3 0.5 0.1 38.9 -63.0
pair LWTI MACDhist neg-pos 38 19.9 4.1 60.5 0.3 0.6 0.1 48.0 -62.1
pair MACDhist LWTI neg-pos 38 19.9 4.1 60.5 0.3 0.6 0.1 48.0 -62.1
single LWTI LWTI pos-pos 115 60.2 4.0 49.6 0.3 0.6 0.1 41.8 -62.1
pair LWTI MACDhist pos-pos 77 40.3 3.9 44.2 0.3 0.7 0.1 38.7 -38.3
pair MACDhist LWTI pos-pos 77 40.3 3.9 44.2 0.3 0.7 0.1 38.7 -38.3
single RSIhist RSIhist neg-neg 99 51.8 3.7 53.5 0.3 0.5 0.1 39.8 -63.0
pair LWTI RSI pos-pos 71 37.2 3.1 52.1 0.3 0.5 0.1 40.1 -43.2
pair RSI LWTI pos-pos 71 37.2 3.1 52.1 0.3 0.5 0.1 40.1 -43.2
pair MACDhist MRmean pos-pos 63 33.0 2.8 39.7 0.2 0.6 0.1 39.5 -46.5
pair MRmean MACDhist pos-pos 63 33.0 2.8 39.7 0.2 0.6 0.1 39.5 -46.5
pair MRmean RSIhist neg-neg 84 44.0 2.6 54.8 0.3 0.4 0.0 39.2 -63.0
pair RSIhist MRmean neg-neg 84 44.0 2.6 54.8 0.3 0.4 0.0 39.2 -63.0
pair SLmean MACDhist neg-neg 50 26.2 1.9 54.0 0.3 0.4 0.0 44.1 -67.5
pair MACDhist SLmean neg-neg 50 26.2 1.9 54.0 0.3 0.4 0.0 44.1 -67.5
pair SLmean RSmean pos-pos 70 36.6 1.8 44.3 0.2 0.6 0.0 40.0 -62.3
pair RSmean SLmean pos-pos 70 36.6 1.8 44.3 0.2 0.6 0.0 40.0 -62.3
single RSmean RSmean pos-pos 163 85.3 1.5 46.6 0.2 0.5 0.0 36.7 -79.2
pair RSmean SLmean neg-pos 93 48.7 1.3 48.4 0.2 0.4 0.0 34.2 -64.7
pair SLmean RSmean neg-pos 93 48.7 1.3 48.4 0.2 0.4 0.0 34.2 -64.7
pair MACDhist RSIhist neg-neg 51 26.7 -1.7 54.9 0.2 0.3 -0.0 44.7 -63.0
pair RSIhist MACDhist neg-neg 51 26.7 -1.7 54.9 0.2 0.3 -0.0 44.7 -63.0
pair LWTI RSIhist neg-pos 58 30.4 -1.7 51.7 0.2 0.4 -0.0 45.0 -62.1
pair RSIhist LWTI neg-pos 58 30.4 -1.7 51.7 0.2 0.4 -0.0 45.0 -62.1
pair RSIhist SLmean pos-pos 68 35.6 -2.1 42.6 0.1 0.3 -0.0 37.3 -62.6
pair SLmean RSIhist pos-pos 68 35.6 -2.1 42.6 0.1 0.3 -0.0 37.3 -62.6
single SLmean SLmean pos-pos 79 41.4 -2.2 43.0 0.1 0.3 -0.0 38.8 -65.1
pair RSmean MACDhist pos-pos 115 60.2 -2.4 43.5 0.1 0.2 -0.0 35.4 -62.9
pair MACDhist RSmean pos-pos 115 60.2 -2.4 43.5 0.1 0.2 -0.0 35.4 -62.9
pair RSIhist SLmean pos-neg 11 5.8 -2.6 45.5 0.2 0.6 -0.1 48.9 -25.2
pair SLmean RSIhist pos-neg 11 5.8 -2.6 45.5 0.2 0.6 -0.1 48.9 -25.2
pair MRmean RSmean neg-pos 95 49.7 -2.7 48.4 0.1 0.2 -0.0 34.2 -73.0
pair RSIhist MACD neg-neg 65 34.0 -2.7 53.8 0.1 0.2 -0.0 38.5 -63.0
pair MACD RSIhist neg-neg 65 34.0 -2.7 53.8 0.1 0.2 -0.0 38.5 -63.0
pair MRmean RSmean pos-neg 6 3.1 -2.7 50.0 0.0 0.0 -0.2 27.9 -12.4
pair RSmean MRmean neg-pos 95 49.7 -2.7 48.4 0.1 0.2 -0.0 34.2 -73.0
pair RSmean MRmean pos-neg 6 3.1 -2.7 50.0 0.0 0.0 -0.2 27.9 -12.4
pair RSmean MACD neg-pos 9 4.7 -3.0 55.6 0.0 0.1 -0.2 30.9 -15.9
pair MACD RSmean neg-pos 9 4.7 -3.0 55.6 0.0 0.1 -0.2 30.9 -15.9
pair SLmean RSI neg-neg 89 46.6 -4.3 47.2 0.1 0.1 -0.1 36.1 -75.1
pair RSI SLmean neg-neg 89 46.6 -4.3 47.2 0.1 0.1 -0.1 36.1 -75.1
single MACDhist MACDhist pos-pos 122 63.9 -4.4 42.6 0.0 0.1 -0.1 34.8 -66.0
pair benchmark___benchmark_ benchmark-benchmark 191 100.0 -4.9 46.1 0.1 0.1 -0.1 37.4 -91.5
pair benchmark___benchmark_ benchmark-benchmark 191 100.0 -4.9 46.1 0.1 0.1 -0.1 37.4 -91.5
pair SLmean LWTI neg-neg 57 29.8 -5.1 47.4 -0.0 -0.1 -0.1 29.9 -52.0
pair LWTI SLmean neg-neg 57 29.8 -5.1 47.4 -0.0 -0.1 -0.1 29.9 -52.0
pair RSI RSmean pos-neg 100 52.4 -5.2 44.0 0.0 0.0 -0.1 34.6 -78.5
pair RSmean RSI pos-neg 100 52.4 -5.2 44.0 0.0 0.0 -0.1 34.6 -78.5
pair MRmean SLmean neg-neg 103 53.9 -5.4 50.5 0.0 0.1 -0.1 37.2 -82.3
pair SLmean MRmean neg-neg 103 53.9 -5.4 50.5 0.0 0.1 -0.1 37.2 -82.3
single MACDhist MACDhist neg-neg 69 36.1 -5.8 52.2 0.1 0.1 -0.1 41.8 -78.1
single SLmean SLmean neg-neg 112 58.6 -6.7 48.2 -0.0 -0.0 -0.1 36.6 -82.3
pair LWTI SLmean neg-pos 55 28.8 -8.4 49.1 0.0 0.0 -0.1 42.6 -62.1
pair SLmean LWTI neg-pos 55 28.8 -8.4 49.1 0.0 0.0 -0.1 42.6 -62.1
pair MACDhist MACD neg-pos 79 41.4 -8.9 40.5 -0.1 -0.3 -0.1 32.7 -66.0
pair MACD MACDhist neg-pos 79 41.4 -8.9 40.5 -0.1 -0.3 -0.1 32.7 -66.0
pair RSmean MACD pos-neg 102 53.4 -9.1 42.2 -0.1 -0.3 -0.1 34.4 -79.2
pair MACD RSmean pos-neg 102 53.4 -9.1 42.2 -0.1 -0.3 -0.1 34.4 -79.2
pair MRmean RSI neg-neg 99 51.8 -9.3 45.5 -0.1 -0.2 -0.1 35.6 -81.3
pair RSI MRmean neg-neg 99 51.8 -9.3 45.5 -0.1 -0.2 -0.1 35.6 -81.3
pair RSIhist RSI pos-neg 33 17.3 -9.7 51.5 -0.0 -0.1 -0.2 42.2 -39.8
pair RSI RSIhist pos-neg 33 17.3 -9.7 51.5 -0.0 -0.1 -0.2 42.2 -39.8
pair MACDhist RSI neg-pos 73 38.2 -10.3 41.1 -0.2 -0.5 -0.2 30.8 -64.3
pair RSI MACDhist neg-pos 73 38.2 -10.3 41.1 -0.2 -0.5 -0.2 30.8 -64.3
single RSI RSI neg-neg 116 60.7 -10.7 42.2 -0.1 -0.3 -0.1 35.8 -85.6
pair RSIhist RSmean pos-pos 83 43.5 -11.2 38.6 -0.2 -0.4 -0.1 35.7 -81.8
pair RSmean RSIhist pos-pos 83 43.5 -11.2 38.6 -0.2 -0.4 -0.1 35.7 -81.8
pair MACD LWTI neg-pos 49 25.7 -11.3 42.9 -0.1 -0.1 -0.2 45.1 -62.1
pair LWTI MACD neg-pos 49 25.7 -11.3 42.9 -0.1 -0.1 -0.2 45.1 -62.1
pair MRmean LWTI neg-pos 51 26.7 -11.3 51.0 -0.1 -0.1 -0.2 43.3 -62.1
pair LWTI MRmean neg-pos 51 26.7 -11.3 51.0 -0.1 -0.1 -0.2 43.3 -62.1
pair MRmean MACDhist neg-pos 59 30.9 -11.5 45.8 -0.3 -0.6 -0.2 29.1 -55.0
pair MACDhist RSI neg-neg 43 22.5 -11.5 44.2 -0.1 -0.1 -0.2 43.4 -69.1
pair RSI MACDhist neg-neg 43 22.5 -11.5 44.2 -0.1 -0.1 -0.2 43.4 -69.1
pair MACDhist MRmean neg-pos 59 30.9 -11.5 45.8 -0.3 -0.6 -0.2 29.1 -55.0
single MRmean MRmean neg-neg 117 61.3 -11.6 47.0 -0.2 -0.3 -0.1 36.3 -86.7
pair MACDhist MRmean neg-neg 58 30.4 -11.6 48.3 -0.1 -0.1 -0.1 42.6 -78.1
pair MRmean MACDhist neg-neg 58 30.4 -11.6 48.3 -0.1 -0.1 -0.1 42.6 -78.1
pair MRmean LWTI neg-neg 66 34.6 -11.8 43.9 -0.3 -0.5 -0.2 30.1 -63.2
pair LWTI MRmean neg-neg 66 34.6 -11.8 43.9 -0.3 -0.5 -0.2 30.1 -63.2
pair MACD MRmean pos-neg 23 12.0 -12.5 26.1 -0.1 -0.4 -0.3 41.7 -45.4
pair MRmean MACD pos-neg 23 12.0 -12.5 26.1 -0.1 -0.4 -0.3 41.7 -45.4
pair RSIhist MACDhist pos-pos 74 38.7 -12.6 36.5 -0.2 -0.5 -0.2 35.2 -74.5
pair MACDhist RSIhist pos-pos 74 38.7 -12.6 36.5 -0.2 -0.5 -0.2 35.2 -74.5
pair SLmean MACDhist neg-pos 62 32.5 -13.2 43.5 -0.3 -0.7 -0.2 29.2 -53.3
pair MACDhist SLmean neg-pos 62 32.5 -13.2 43.5 -0.3 -0.7 -0.2 29.2 -53.3
single RSIhist RSIhist pos-pos 92 48.2 -13.3 38.0 -0.2 -0.6 -0.2 34.6 -85.5
pair SLmean MACD neg-neg 88 46.1 -13.4 46.6 -0.2 -0.4 -0.2 35.6 -82.3
pair MACD SLmean neg-neg 88 46.1 -13.4 46.6 -0.2 -0.4 -0.2 35.6 -82.3
pair RSI MACD neg-neg 112 58.6 -14.9 41.1 -0.3 -0.6 -0.2 34.5 -85.6
pair MACD RSI neg-neg 112 58.6 -14.9 41.1 -0.3 -0.6 -0.2 34.5 -85.6
pair SLmean RSI neg-pos 23 12.0 -15.6 52.2 -0.2 -0.3 -0.5 39.0 -33.3
pair RSI SLmean neg-pos 23 12.0 -15.6 52.2 -0.2 -0.3 -0.5 39.0 -33.3
single MACD MACD neg-neg 121 63.4 -16.2 41.3 -0.3 -0.6 -0.2 36.2 -91.5
pair MACDhist RSIhist neg-pos 18 9.4 -16.3 44.4 -0.4 -1.1 -0.3 32.9 -52.6
pair RSIhist MACDhist neg-pos 18 9.4 -16.3 44.4 -0.4 -1.1 -0.3 32.9 -52.6
pair RSmean LWTI pos-neg 71 37.2 -16.5 40.8 -0.5 -0.9 -0.2 29.1 -73.1
pair LWTI RSmean pos-neg 71 37.2 -16.5 40.8 -0.5 -0.9 -0.2 29.1 -73.1
pair MACDhist LWTI neg-neg 31 16.2 -16.6 41.9 -0.4 -0.7 -0.3 32.9 -51.2
pair LWTI MACDhist neg-neg 31 16.2 -16.6 41.9 -0.4 -0.7 -0.3 32.9 -51.2
single LWTI LWTI neg-neg 76 39.8 -16.8 40.8 -0.5 -0.9 -0.2 29.2 -76.8
pair MACDhist LWTI pos-neg 45 23.6 -17.0 40.0 -0.6 -1.1 -0.3 26.7 -58.4
pair LWTI MACDhist pos-neg 45 23.6 -17.0 40.0 -0.6 -1.1 -0.3 26.7 -58.4
pair MACD MRmean neg-neg 98 51.3 -17.1 44.9 -0.4 -0.6 -0.2 35.0 -86.7
pair MRmean MACD neg-neg 98 51.3 -17.1 44.9 -0.4 -0.6 -0.2 35.0 -86.7
pair RSI MRmean pos-neg 17 8.9 -18.9 23.5 -0.4 -1.0 -0.6 38.0 -34.0
pair MRmean RSI pos-neg 17 8.9 -18.9 23.5 -0.4 -1.0 -0.6 38.0 -34.0
pair LWTI RSI neg-neg 72 37.7 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair RSI LWTI neg-neg 72 37.7 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair MACD LWTI neg-neg 72 37.7 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair LWTI MACD neg-neg 72 37.7 -19.4 40.3 -0.6 -1.1 -0.2 28.8 -76.8
pair MRmean SLmean pos-neg 9 4.7 -21.1 22.2 -0.7 -1.2 -0.9 29.9 -24.4
pair SLmean MRmean pos-neg 9 4.7 -21.1 22.2 -0.7 -1.2 -0.9 29.9 -24.4
pair RSmean LWTI neg-neg 5 2.6 -21.9 40.0 -0.6 -2.2 -2.2 34.9 -9.8
pair LWTI RSmean neg-neg 5 2.6 -21.9 40.0 -0.6 -2.2 -2.2 34.9 -9.8
pair MACDhist SLmean pos-neg 19 9.9 -23.2 47.4 -0.6 -2.2 -0.5 35.4 -50.6
pair SLmean MACDhist pos-neg 19 9.9 -23.2 47.4 -0.6 -2.2 -0.5 35.4 -50.6
pair MACD SLmean pos-neg 33 17.3 -23.3 27.3 -0.5 -1.6 -0.4 38.3 -65.1
pair MRmean RSI neg-pos 18 9.4 -23.3 55.6 -0.4 -0.6 -0.6 40.7 -39.5
pair RSI MRmean neg-pos 18 9.4 -23.3 55.6 -0.4 -0.6 -0.6 40.7 -39.5
pair SLmean MACD pos-neg 33 17.3 -23.3 27.3 -0.5 -1.6 -0.4 38.3 -65.1
pair RSmean SLmean pos-neg 9 4.7 -28.0 33.3 -1.1 -2.0 -1.0 26.8 -27.3
pair SLmean RSmean pos-neg 9 4.7 -28.0 33.3 -1.1 -2.0 -1.0 26.8 -27.3
pair MACDhist MACD neg-neg 42 22.0 -28.3 42.9 -0.6 -0.9 -0.4 42.1 -78.1
pair MACD MACDhist neg-neg 42 22.0 -28.3 42.9 -0.6 -0.9 -0.4 42.1 -78.1
pair SLmean RSI pos-neg 27 14.1 -29.0 25.9 -0.8 -2.2 -0.5 34.6 -57.8
pair RSI SLmean pos-neg 27 14.1 -29.0 25.9 -0.8 -2.2 -0.5 34.6 -57.8
pair RSI RSmean neg-pos 12 6.3 -29.1 58.3 -0.7 -0.8 -0.9 39.4 -30.5
pair RSmean RSI neg-pos 12 6.3 -29.1 58.3 -0.7 -0.8 -0.9 39.4 -30.5
pair MACD RSIhist neg-pos 56 29.3 -29.6 26.8 -0.9 -2.1 -0.3 32.8 -85.5
pair RSIhist MACD neg-pos 56 29.3 -29.6 26.8 -0.9 -2.1 -0.3 32.8 -85.5
pair RSmean RSIhist neg-pos 9 4.7 -30.9 33.3 -1.5 -2.6 -1.3 22.2 -23.7
pair RSIhist RSmean neg-pos 9 4.7 -30.9 33.3 -1.5 -2.6 -1.3 22.2 -23.7
pair RSI MACD neg-pos 9 4.7 -31.0 44.4 -0.4 -0.7 -0.7 55.5 -43.2
pair MACD RSI neg-pos 9 4.7 -31.0 44.4 -0.4 -0.7 -0.7 55.5 -43.2
pair RSmean MACDhist neg-pos 7 3.7 -32.2 28.6 -1.7 -2.6 -1.9 21.6 -16.8
pair MACDhist RSmean neg-pos 7 3.7 -32.2 28.6 -1.7 -2.6 -1.9 21.6 -16.8
pair RSI RSIhist neg-pos 50 26.2 -33.2 26.0 -1.2 -2.5 -0.4 29.6 -82.5
pair RSIhist RSI neg-pos 50 26.2 -33.2 26.0 -1.2 -2.5 -0.4 29.6 -82.5
single RSmean RSmean neg-neg 28 14.7 -34.8 42.9 -0.8 -1.2 -0.5 40.4 -66.6
pair MACDhist RSmean neg-neg 21 11.0 -35.7 47.6 -0.7 -1.1 -0.6 45.5 -62.1
pair RSmean MACDhist neg-neg 21 11.0 -35.7 47.6 -0.7 -1.1 -0.6 45.5 -62.1
pair RSIhist RSmean neg-neg 19 9.9 -36.6 47.4 -0.7 -1.1 -0.6 47.3 -62.1
pair RSmean RSIhist neg-neg 19 9.9 -36.6 47.4 -0.7 -1.1 -0.6 47.3 -62.1
pair LWTI RSmean neg-pos 23 12.0 -37.3 43.5 -0.9 -1.2 -0.6 42.2 -63.0
pair RSmean LWTI neg-pos 23 12.0 -37.3 43.5 -0.9 -1.2 -0.6 42.2 -63.0
pair RSmean SLmean neg-neg 19 9.9 -37.8 47.4 -0.8 -1.1 -0.6 46.2 -63.5
pair SLmean RSmean neg-neg 19 9.9 -37.8 47.4 -0.8 -1.1 -0.6 46.2 -63.5
pair RSIhist SLmean neg-pos 24 12.6 -38.6 25.0 -2.0 -2.9 -0.6 22.6 -60.5
pair SLmean RSIhist neg-pos 24 12.6 -38.6 25.0 -2.0 -2.9 -0.6 22.6 -60.5
pair RSmean RSI neg-neg 16 8.4 -38.8 31.2 -0.9 -1.6 -0.7 42.4 -52.5
pair RSI RSmean neg-neg 16 8.4 -38.8 31.2 -0.9 -1.6 -0.7 42.4 -52.5
pair RSIhist MRmean neg-pos 33 17.3 -39.5 27.3 -1.9 -3.3 -0.5 24.4 -75.3
pair MRmean RSIhist neg-pos 33 17.3 -39.5 27.3 -1.9 -3.3 -0.5 24.4 -75.3
pair RSIhist LWTI pos-neg 35 18.3 -41.2 22.9 -2.2 -3.8 -0.5 22.6 -75.9
pair LWTI RSIhist pos-neg 35 18.3 -41.2 22.9 -2.2 -3.8 -0.5 22.6 -75.9
pair RSmean MRmean neg-neg 22 11.5 -41.6 40.9 -1.0 -1.5 -0.6 43.4 -66.7
pair MRmean RSmean neg-neg 22 11.5 -41.6 40.9 -1.0 -1.5 -0.6 43.4 -66.7
pair LWTI MRmean pos-neg 10 5.2 -43.7 20.0 -2.7 -4.6 -1.2 20.0 -35.1
pair MRmean LWTI pos-neg 10 5.2 -43.7 20.0 -2.7 -4.6 -1.2 20.0 -35.1
pair LWTI SLmean pos-neg 19 9.9 -44.1 21.1 -2.2 -4.9 -0.8 24.1 -54.8
pair SLmean LWTI pos-neg 19 9.9 -44.1 21.1 -2.2 -4.9 -0.8 24.1 -54.8
pair MACD RSmean neg-neg 19 9.9 -46.0 36.8 -1.1 -1.6 -0.7 44.2 -66.2
pair RSmean MACD neg-neg 19 9.9 -46.0 36.8 -1.1 -1.6 -0.7 44.2 -66.2
pair SLmean MRmean neg-pos 14 7.3 -46.2 21.4 -2.3 -5.4 -0.9 25.1 -52.3
pair MRmean SLmean neg-pos 14 7.3 -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 11.3% | Win 48%
Sharpe 0.46 | Sortino 1.14 | Calmar 0.3
Vol 40% | MDD -44.1%
Months 65M (34%)
CAGR -21.1% | Win 22%
Sharpe -0.66 | Sortino -1.23 | Calmar -0.9
Vol 30% | MDD -24.4%
Months 9M (5%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -46.2% | Win 21%
Sharpe -2.30 | Sortino -5.36 | Calmar -0.9
Vol 25% | MDD -52.3%
Months 14M (7%)
CAGR -5.4% | Win 50%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 103M (54%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
SLmean
only
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 44%
Sharpe 0.37 | Sortino 0.91 | Calmar 0.2
Vol 40% | MDD -43.1%
Months 68M (36%)
CAGR -2.7% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.2
Vol 28% | MDD -12.4%
Months 6M (3%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -2.7% | Win 48%
Sharpe 0.09 | Sortino 0.18 | Calmar -0.0
Vol 34% | MDD -73.0%
Months 95M (50%)
CAGR -41.6% | Win 41%
Sharpe -0.99 | Sortino -1.49 | Calmar -0.6
Vol 43% | MDD -66.7%
Months 22M (12%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
RSmean
only
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 16.7% | Win 53%
Sharpe 0.59 | Sortino 1.28 | Calmar 0.5
Vol 38% | MDD -32.2%
Months 51M (27%)
CAGR -12.5% | Win 26%
Sharpe -0.14 | Sortino -0.43 | Calmar -0.3
Vol 42% | MDD -45.4%
Months 23M (12%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR 23.1% | Win 58%
Sharpe 0.69 | Sortino 1.61 | Calmar 1.2
Vol 42% | MDD -19.0%
Months 19M (10%)
CAGR -17.1% | Win 45%
Sharpe -0.36 | Sortino -0.61 | Calmar -0.2
Vol 35% | MDD -86.7%
Months 98M (51%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
MACD
only
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 15.9% | Win 51%
Sharpe 0.56 | Sortino 1.34 | Calmar 0.5
Vol 39% | MDD -32.2%
Months 57M (30%)
CAGR -18.9% | Win 24%
Sharpe -0.39 | Sortino -1.03 | Calmar -0.6
Vol 38% | MDD -34.0%
Months 17M (9%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -23.3% | Win 56%
Sharpe -0.44 | Sortino -0.59 | Calmar -0.6
Vol 41% | MDD -39.5%
Months 18M (9%)
CAGR -9.3% | Win 46%
Sharpe -0.10 | Sortino -0.20 | Calmar -0.1
Vol 36% | MDD -81.3%
Months 99M (52%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
RSI
only
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 40%
Sharpe 0.25 | Sortino 0.64 | Calmar 0.1
Vol 40% | MDD -46.5%
Months 63M (33%)
CAGR 32.2% | Win 73%
Sharpe 0.92 | Sortino 3.36 | Calmar 1.4
Vol 38% | MDD -22.8%
Months 11M (6%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -11.5% | Win 46%
Sharpe -0.28 | Sortino -0.56 | Calmar -0.2
Vol 29% | MDD -55.0%
Months 59M (31%)
CAGR -11.6% | Win 48%
Sharpe -0.08 | Sortino -0.14 | Calmar -0.1
Vol 43% | MDD -78.1%
Months 58M (30%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
MACDhist
only
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 6.0% | Win 44%
Sharpe 0.33 | Sortino 0.80 | Calmar 0.1
Vol 38% | MDD -45.4%
Months 59M (31%)
CAGR 9.7% | Win 47%
Sharpe 0.41 | Sortino 1.00 | Calmar 0.4
Vol 45% | MDD -24.6%
Months 15M (8%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -39.5% | Win 27%
Sharpe -1.90 | Sortino -3.31 | Calmar -0.5
Vol 24% | MDD -75.3%
Months 33M (17%)
CAGR 2.6% | Win 55%
Sharpe 0.26 | Sortino 0.44 | Calmar 0.0
Vol 39% | MDD -63.0%
Months 84M (44%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
RSIhist
only
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 18.0% | Win 48%
Sharpe 0.60 | Sortino 1.42 | Calmar 0.5
Vol 41% | MDD -35.5%
Months 64M (34%)
CAGR -43.7% | Win 20%
Sharpe -2.72 | Sortino -4.60 | Calmar -1.2
Vol 20% | MDD -35.1%
Months 10M (5%)
CAGR 6.7% | Win 45%
Sharpe 0.35 | Sortino 0.85 | Calmar 0.1
Vol 39% | MDD -45.4%
Months 74M (39%)
MRmean
neg
CAGR -11.3% | Win 51%
Sharpe -0.06 | Sortino -0.12 | Calmar -0.2
Vol 43% | MDD -62.1%
Months 51M (27%)
CAGR -11.8% | Win 44%
Sharpe -0.27 | Sortino -0.49 | Calmar -0.2
Vol 30% | MDD -63.2%
Months 66M (35%)
CAGR -11.6% | Win 47%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.1
Vol 36% | MDD -86.7%
Months 117M (61%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 44%
Sharpe 0.23 | Sortino 0.61 | Calmar 0.0
Vol 40% | MDD -62.3%
Months 70M (37%)
CAGR -28.0% | Win 33%
Sharpe -1.09 | Sortino -2.00 | Calmar -1.0
Vol 27% | MDD -27.3%
Months 9M (5%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
SLmean
neg
CAGR 1.3% | Win 48%
Sharpe 0.20 | Sortino 0.40 | Calmar 0.0
Vol 34% | MDD -64.7%
Months 93M (49%)
CAGR -37.8% | Win 47%
Sharpe -0.78 | Sortino -1.15 | Calmar -0.6
Vol 46% | MDD -63.5%
Months 19M (10%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
RSmean
only
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 16.5% | Win 54%
Sharpe 0.58 | Sortino 1.32 | Calmar 0.4
Vol 39% | MDD -38.8%
Months 46M (24%)
CAGR -23.3% | Win 27%
Sharpe -0.52 | Sortino -1.60 | Calmar -0.4
Vol 38% | MDD -65.1%
Months 33M (17%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
SLmean
neg
CAGR 22.3% | Win 54%
Sharpe 0.69 | Sortino 1.46 | Calmar 0.9
Vol 40% | MDD -25.0%
Months 24M (13%)
CAGR -13.4% | Win 47%
Sharpe -0.22 | Sortino -0.36 | Calmar -0.2
Vol 36% | MDD -82.3%
Months 88M (46%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
MACD
only
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 15.5% | Win 52%
Sharpe 0.55 | Sortino 1.38 | Calmar 0.4
Vol 40% | MDD -38.8%
Months 52M (27%)
CAGR -29.0% | Win 26%
Sharpe -0.82 | Sortino -2.20 | Calmar -0.5
Vol 35% | MDD -57.8%
Months 27M (14%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
SLmean
neg
CAGR -15.6% | Win 52%
Sharpe -0.23 | Sortino -0.31 | Calmar -0.5
Vol 39% | MDD -33.3%
Months 23M (12%)
CAGR -4.3% | Win 47%
Sharpe 0.05 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -75.1%
Months 89M (47%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
RSI
only
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 5.6% | Win 42%
Sharpe 0.32 | Sortino 0.84 | Calmar 0.1
Vol 40% | MDD -50.8%
Months 60M (31%)
CAGR -23.2% | Win 47%
Sharpe -0.57 | Sortino -2.20 | Calmar -0.5
Vol 35% | MDD -50.6%
Months 19M (10%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
SLmean
neg
CAGR -13.2% | Win 44%
Sharpe -0.34 | Sortino -0.65 | Calmar -0.2
Vol 29% | MDD -53.3%
Months 62M (32%)
CAGR 1.9% | Win 54%
Sharpe 0.26 | Sortino 0.41 | Calmar 0.0
Vol 44% | MDD -67.5%
Months 50M (26%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
MACDhist
only
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -2.1% | Win 43%
Sharpe 0.12 | Sortino 0.30 | Calmar -0.0
Vol 37% | MDD -62.6%
Months 68M (36%)
CAGR -2.6% | Win 46%
Sharpe 0.16 | Sortino 0.63 | Calmar -0.1
Vol 49% | MDD -25.2%
Months 11M (6%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
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 4.5% | Win 55%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -63.0%
Months 88M (46%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
RSIhist
only
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 16.8% | Win 50%
Sharpe 0.57 | Sortino 1.42 | Calmar 0.4
Vol 41% | MDD -38.6%
Months 60M (31%)
CAGR -44.1% | Win 21%
Sharpe -2.23 | Sortino -4.93 | Calmar -0.8
Vol 24% | MDD -54.8%
Months 19M (10%)
CAGR -2.2% | Win 43%
Sharpe 0.12 | Sortino 0.33 | Calmar -0.0
Vol 39% | MDD -65.1%
Months 79M (41%)
SLmean
neg
CAGR -8.4% | Win 49%
Sharpe 0.00 | Sortino 0.01 | Calmar -0.1
Vol 43% | MDD -62.1%
Months 55M (29%)
CAGR -5.1% | Win 47%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 30% | MDD -52.0%
Months 57M (30%)
CAGR -6.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 37% | MDD -82.3%
Months 112M (59%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 22.0% | Win 54%
Sharpe 0.69 | Sortino 1.51 | Calmar 0.5
Vol 40% | MDD -40.2%
Months 61M (32%)
CAGR -9.1% | Win 42%
Sharpe -0.11 | Sortino -0.26 | Calmar -0.1
Vol 34% | MDD -79.2%
Months 102M (53%)
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.1% | Win 51%
Sharpe 0.50 | Sortino 1.12 | Calmar 0.3
Vol 40% | MDD -40.2%
Months 63M (33%)
CAGR -5.2% | Win 44%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 35% | MDD -78.5%
Months 100M (52%)
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 (8%)
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 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -2.4% | Win 44%
Sharpe 0.10 | Sortino 0.23 | Calmar -0.0
Vol 35% | MDD -62.9%
Months 115M (60%)
CAGR 11.4% | Win 54%
Sharpe 0.46 | Sortino 0.97 | Calmar 0.2
Vol 40% | MDD -57.0%
Months 48M (25%)
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -11.2% | Win 39%
Sharpe -0.16 | Sortino -0.38 | Calmar -0.1
Vol 36% | MDD -81.8%
Months 83M (44%)
CAGR 16.5% | Win 55%
Sharpe 0.59 | Sortino 1.24 | Calmar 0.5
Vol 38% | MDD -33.6%
Months 80M (42%)
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 18.0% | Win 51%
Sharpe 0.60 | Sortino 1.49 | Calmar 0.4
Vol 41% | MDD -40.2%
Months 92M (48%)
CAGR -16.5% | Win 41%
Sharpe -0.47 | Sortino -0.86 | Calmar -0.2
Vol 29% | MDD -73.1%
Months 71M (37%)
CAGR 1.5% | Win 47%
Sharpe 0.22 | Sortino 0.49 | Calmar 0.0
Vol 37% | MDD -79.2%
Months 163M (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 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 11.1% | Win 53%
Sharpe 0.46 | Sortino 0.98 | Calmar 0.3
Vol 38% | MDD -40.2%
Months 66M (35%)
CAGR 238.0% | Win 75%
Sharpe 2.66 | Sortino 0.00 | Calmar 31.4
Vol 52% | MDD -7.6%
Months 4M (2%)
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
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 (59%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
RSI
only
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.6% | Win 46%
Sharpe 0.30 | Sortino 0.66 | Calmar 0.1
Vol 39% | MDD -38.3%
Months 43M (22%)
CAGR 44.3% | Win 67%
Sharpe 1.14 | Sortino 2.58 | Calmar 1.7
Vol 39% | MDD -25.9%
Months 27M (14%)
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
MACD
neg
CAGR -8.9% | Win 40%
Sharpe -0.13 | Sortino -0.32 | Calmar -0.1
Vol 33% | MDD -66.0%
Months 79M (41%)
CAGR -28.3% | Win 43%
Sharpe -0.57 | Sortino -0.94 | Calmar -0.4
Vol 42% | MDD -78.1%
Months 42M (22%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
MACDhist
only
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 19.8% | Win 56%
Sharpe 0.68 | Sortino 1.37 | Calmar 0.6
Vol 36% | MDD -34.9%
Months 36M (19%)
CAGR 17.0% | Win 53%
Sharpe 0.57 | Sortino 1.39 | Calmar 0.5
Vol 42% | MDD -33.6%
Months 34M (18%)
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
MACD
neg
CAGR -29.6% | Win 27%
Sharpe -0.90 | Sortino -2.15 | Calmar -0.3
Vol 33% | MDD -85.5%
Months 56M (29%)
CAGR -2.7% | Win 54%
Sharpe 0.12 | Sortino 0.19 | Calmar -0.0
Vol 38% | MDD -63.0%
Months 65M (34%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
RSIhist
only
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 17.0% | Win 55%
Sharpe 0.59 | Sortino 1.33 | Calmar 0.4
Vol 39% | MDD -40.2%
Months 66M (35%)
CAGR 44.6% | Win 50%
Sharpe 1.16 | Sortino 2.02 | Calmar 4.6
Vol 36% | MDD -9.6%
Months 4M (2%)
CAGR 18.4% | Win 54%
Sharpe 0.62 | Sortino 1.39 | Calmar 0.5
Vol 39% | MDD -40.2%
Months 70M (37%)
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 (38%)
CAGR -16.2% | Win 41%
Sharpe -0.31 | Sortino -0.58 | Calmar -0.2
Vol 36% | MDD -91.5%
Months 121M (63%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.1% | Win 45%
Sharpe 0.31 | Sortino 0.76 | Calmar 0.1
Vol 40% | MDD -38.3%
Months 49M (26%)
CAGR 4.6% | Win 65%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 40% | MDD -34.7%
Months 26M (14%)
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
RSI
neg
CAGR -10.3% | Win 41%
Sharpe -0.20 | Sortino -0.45 | Calmar -0.2
Vol 31% | MDD -64.3%
Months 73M (38%)
CAGR -11.5% | Win 44%
Sharpe -0.07 | Sortino -0.15 | Calmar -0.2
Vol 43% | MDD -69.1%
Months 43M (22%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
MACDhist
only
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 18.1% | Win 52%
Sharpe 0.62 | Sortino 1.45 | Calmar 0.5
Vol 38% | MDD -34.9%
Months 42M (22%)
CAGR -9.7% | Win 52%
Sharpe -0.03 | Sortino -0.06 | Calmar -0.2
Vol 42% | MDD -39.8%
Months 33M (17%)
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
RSI
neg
CAGR -33.2% | Win 26%
Sharpe -1.20 | Sortino -2.51 | Calmar -0.4
Vol 30% | MDD -82.5%
Months 50M (26%)
CAGR 11.1% | Win 55%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.2
Vol 39% | MDD -47.9%
Months 66M (35%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
RSIhist
only
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.53 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 71M (37%)
CAGR 44.6% | Win 50%
Sharpe 1.16 | Sortino 2.02 | Calmar 4.6
Vol 36% | MDD -9.6%
Months 4M (2%)
CAGR 4.9% | Win 52%
Sharpe 0.32 | Sortino 0.61 | Calmar 0.1
Vol 40% | MDD -43.2%
Months 75M (39%)
RSI
neg
CAGR 5.4% | Win 46%
Sharpe 0.33 | Sortino 0.71 | Calmar 0.1
Vol 45% | MDD -46.7%
Months 44M (23%)
CAGR -19.4% | Win 40%
Sharpe -0.60 | Sortino -1.11 | Calmar -0.3
Vol 29% | MDD -76.8%
Months 72M (38%)
CAGR -10.7% | Win 42%
Sharpe -0.14 | Sortino -0.30 | Calmar -0.1
Vol 36% | MDD -85.6%
Months 116M (61%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -12.6% | Win 36%
Sharpe -0.21 | Sortino -0.49 | Calmar -0.2
Vol 35% | MDD -74.5%
Months 74M (39%)
CAGR 9.8% | Win 52%
Sharpe 0.43 | Sortino 1.03 | Calmar 0.3
Vol 34% | MDD -30.4%
Months 48M (25%)
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
MACDhist
neg
CAGR -16.3% | Win 44%
Sharpe -0.39 | Sortino -1.14 | Calmar -0.3
Vol 33% | MDD -52.6%
Months 18M (9%)
CAGR -1.7% | Win 55%
Sharpe 0.18 | Sortino 0.30 | Calmar -0.0
Vol 45% | MDD -63.0%
Months 51M (27%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
RSIhist
only
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 44%
Sharpe 0.28 | Sortino 0.67 | Calmar 0.1
Vol 39% | MDD -38.3%
Months 77M (40%)
CAGR -17.0% | Win 40%
Sharpe -0.56 | Sortino -1.12 | Calmar -0.3
Vol 27% | MDD -58.4%
Months 45M (24%)
CAGR -4.4% | Win 43%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.1
Vol 35% | MDD -66.0%
Months 122M (64%)
MACDhist
neg
CAGR 4.1% | Win 60%
Sharpe 0.32 | Sortino 0.60 | Calmar 0.1
Vol 48% | MDD -62.1%
Months 38M (20%)
CAGR -16.6% | Win 42%
Sharpe -0.39 | Sortino -0.69 | Calmar -0.3
Vol 33% | MDD -51.2%
Months 31M (16%)
CAGR -5.8% | Win 52%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.1
Vol 42% | MDD -78.1%
Months 69M (36%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.0% | Win 47%
Sharpe 0.43 | Sortino 1.00 | Calmar 0.2
Vol 39% | MDD -46.8%
Months 57M (30%)
CAGR -41.2% | Win 23%
Sharpe -2.19 | Sortino -3.81 | Calmar -0.5
Vol 23% | MDD -75.9%
Months 35M (18%)
CAGR -13.3% | Win 38%
Sharpe -0.25 | Sortino -0.58 | Calmar -0.2
Vol 35% | MDD -85.5%
Months 92M (48%)
RSIhist
neg
CAGR -1.7% | Win 52%
Sharpe 0.18 | Sortino 0.36 | Calmar -0.0
Vol 45% | MDD -62.1%
Months 58M (30%)
CAGR 11.8% | Win 56%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.4
Vol 32% | MDD -30.4%
Months 41M (22%)
CAGR 3.7% | Win 54%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 40% | MDD -63.0%
Months 99M (52%)
LWTI
only
CAGR 4.0% | Win 50%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.1
Vol 42% | MDD -62.1%
Months 115M (60%)
CAGR -16.8% | Win 41%
Sharpe -0.48 | Sortino -0.90 | Calmar -0.2
Vol 29% | MDD -76.8%
Months 76M (40%)