VBIL - Vanguard 0-3 Month Treasury Bill ETF

Signal Pair Analysis

MRmean-SLmean

Best Pair

4.1%

Best CAGR

11

Total Months

4.0%

Avg CAGR

VBIL 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 VBIL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair SLmean MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean MACDhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACDhist MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean MACD neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACD MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSI MRmean neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
pair MRmean RSI neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
pair RSI SLmean neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
pair SLmean RSI neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
pair SLmean RSIhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSIhist SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACDhist SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair SLmean MACDhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair SLmean RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair SLmean MACD neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACD SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair LWTI MRmean neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean LWTI neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean RSIhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSIhist MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean RSI neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
single MRmean MRmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
single SLmean SLmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
single RSmean RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSIhist RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean RSIhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean LWTI neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair LWTI RSmean neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSmean MACD neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair RSI RSmean neg-pos 11 55.0 4.1 100.0 32.2 0.0 0.0 0.1 0.0
pair RSmean MACDhist neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACDhist RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair LWTI SLmean neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MACD RSmean neg-neg 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair SLmean LWTI neg-pos 12 60.0 4.1 100.0 33.6 0.0 0.0 0.1 0.0
pair MRmean RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI MRmean neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair benchmark___benchmark_ benchmark-benchmark 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair benchmark___benchmark_ benchmark-benchmark 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair SLmean RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI SLmean neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist pos-neg 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair MACDhist RSI pos-neg 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSI RSIhist neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair MACD RSI neg-pos 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSI MACD neg-pos 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSIhist MACD neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair MACD RSIhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair MACDhist MACD neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair MACD MACDhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair RSIhist MACDhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair MACDhist RSIhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair LWTI RSI neg-pos 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair LWTI RSIhist neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair RSIhist LWTI neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
single MACD MACD neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair LWTI MACDhist neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
single RSIhist RSIhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
single MACDhist MACDhist neg-neg 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair RSI LWTI pos-pos 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair LWTI RSI pos-pos 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSI LWTI neg-pos 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSIhist pos-neg 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSIhist RSI pos-neg 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
single LWTI LWTI pos-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
single RSI RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
single RSI RSI pos-pos 19 95.0 4.0 100.0 33.1 0.0 0.0 0.1 0.0
pair RSI MACDhist neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair MACD LWTI neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair RSmean RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair MACD RSI neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACD neg-neg 1 5.0 4.0 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACD neg-pos 20 100.0 4.0 100.0 34.0 0.0 0.0 0.1 0.0
pair MRmean MACDhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACDhist MRmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACD MRmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSI MRmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean RSI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean SLmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean MRmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair LWTI SLmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean LWTI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean RSIhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSIhist SLmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean RSI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSI SLmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean MACDhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACDhist SLmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean LWTI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair LWTI MRmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSIhist MRmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean RSIhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean RSmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean SLmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACD SLmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair SLmean MACD pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean MRmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean RSmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MRmean MACD pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSIhist RSmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean RSIhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean RSI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACDhist RSmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean MACDhist pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean MACD pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair MACD RSmean pos-neg 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair LWTI RSmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSmean LWTI pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
pair RSI RSmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
single MRmean MRmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
single SLmean SLmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0
single RSmean RSmean pos-pos 8 40.0 3.8 100.0 38.7 0.0 0.0 0.1 0.0

All Contingency Tables for VBIL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg		-
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
SLmean
only
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg		-
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSmean
only
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MRmean × MACD
MACD
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACD
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg
CAGR 4.1% | Win 100%
Sharpe 32.16 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 11M (55%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSI
only
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
MRmean × MACDhist
MACDhist
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACDhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MRmean × RSIhist
RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MRmean × LWTI
LWTI
pos		MRmean
only
MRmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
MRmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg		-
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSmean
only
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
SLmean × MACD
MACD
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACD
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg
CAGR 4.1% | Win 100%
Sharpe 32.16 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 11M (55%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSI
only
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
SLmean × MACDhist
MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACDhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
SLmean × RSIhist
RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
SLmean × LWTI
LWTI
pos		SLmean
only
SLmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
SLmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSmean × MACD
MACD
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
RSmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACD
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
-
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
RSmean
neg
CAGR 4.1% | Win 100%
Sharpe 32.16 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 11M (55%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSI
only
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
RSmean × MACDhist
MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
RSmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
MACDhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSmean × RSIhist
RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
RSmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSmean × LWTI
LWTI
pos		RSmean
only
RSmean
pos
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
CAGR 3.8% | Win 100%
Sharpe 38.67 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 8M (40%)
RSmean
neg
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
CAGR 4.1% | Win 100%
Sharpe 33.62 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 12M (60%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
neg
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSI
only
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
MACD × MACDhist
MACDhist
neg		MACD
only
MACD
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACDhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACD × RSIhist
RSIhist
neg		MACD
only
MACD
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACD × LWTI
LWTI
pos		MACD
only
MACD
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSI × MACDhist
MACDhist
neg		RSI
only
RSI
pos
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
RSI
neg
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
MACDhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSI × RSIhist
RSIhist
neg		RSI
only
RSI
pos
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
RSI
neg
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSI × LWTI
LWTI
pos		RSI
only
RSI
pos
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
CAGR 4.0% | Win 100%
Sharpe 33.08 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 19M (95%)
RSI
neg
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
CAGR 4.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (5%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACDhist × RSIhist
RSIhist
neg		MACDhist
only
MACDhist
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSIhist
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
MACDhist × LWTI
LWTI
pos		MACDhist
only
MACDhist
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
RSIhist × LWTI
LWTI
pos		RSIhist
only
RSIhist
neg
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)
LWTI
only
CAGR 4.0% | Win 100%
Sharpe 33.99 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 20M (100%)