VBK - Vanguard Small-Cap Growth Index Fund ETF

Signal Pair Analysis

RSI-LWTI

Best Pair

67.4%

Best CAGR

77

Total Months

12.2%

Avg CAGR

VBK 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 VBK

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 LWTI neg-pos 23 8.6 67.4 78.3 2.6 6.0 9.6 20.7 -7.1
pair LWTI RSI neg-pos 23 8.6 67.4 78.3 2.6 6.0 9.6 20.7 -7.1
pair RSI MRmean pos-neg 8 3.0 56.8 75.0 2.9 18.0 16.0 16.2 -3.5
pair MRmean RSI pos-neg 8 3.0 56.8 75.0 2.9 18.0 16.0 16.2 -3.5
pair RSI RSIhist neg-pos 12 4.5 50.1 66.7 2.8 12.9 11.2 14.9 -4.5
pair RSIhist RSI neg-pos 12 4.5 50.1 66.7 2.8 12.9 11.2 14.9 -4.5
pair RSmean MACD neg-pos 5 1.9 48.6 100.0 3.8 0.0 0.0 10.8 0.0
pair MACD RSmean neg-pos 5 1.9 48.6 100.0 3.8 0.0 0.0 10.8 0.0
pair RSmean SLmean pos-neg 3 1.1 45.0 100.0 4.3 0.0 0.0 8.8 0.0
pair SLmean RSmean pos-neg 3 1.1 45.0 100.0 4.3 0.0 0.0 8.8 0.0
pair MRmean RSmean pos-neg 3 1.1 45.0 100.0 4.3 0.0 0.0 8.8 0.0
pair RSmean MRmean pos-neg 3 1.1 45.0 100.0 4.3 0.0 0.0 8.8 0.0
pair RSI MACD pos-neg 16 6.0 34.4 62.5 1.1 1.2 1.6 33.8 -22.2
pair MACD RSI pos-neg 16 6.0 34.4 62.5 1.1 1.2 1.6 33.8 -22.2
pair SLmean RSI pos-neg 12 4.5 32.1 66.7 1.7 3.8 3.3 17.3 -9.6
pair RSI SLmean pos-neg 12 4.5 32.1 66.7 1.7 3.8 3.3 17.3 -9.6
pair RSI MACDhist neg-neg 46 17.2 29.5 63.0 1.1 1.5 0.7 27.3 -39.8
pair MACDhist RSI neg-neg 46 17.2 29.5 63.0 1.1 1.5 0.7 27.3 -39.8
pair RSmean RSI pos-neg 43 16.0 28.5 60.5 1.0 1.5 0.7 28.6 -39.8
pair RSI RSmean pos-neg 43 16.0 28.5 60.5 1.0 1.5 0.7 28.6 -39.8
single RSI RSI neg-neg 49 18.3 28.2 63.3 1.1 1.5 0.7 27.0 -39.8
pair SLmean RSI neg-neg 37 13.8 27.0 62.2 1.0 1.4 0.7 29.6 -39.8
pair RSI SLmean neg-neg 37 13.8 27.0 62.2 1.0 1.4 0.7 29.6 -39.8
pair RSI RSmean neg-neg 6 2.2 26.0 83.3 2.2 0.0 8.3 10.6 -3.1
pair RSmean RSI neg-neg 6 2.2 26.0 83.3 2.2 0.0 8.3 10.6 -3.1
pair RSI MACD neg-neg 33 12.3 25.3 63.6 1.1 1.9 1.1 23.5 -22.6
pair MACD RSI neg-neg 33 12.3 25.3 63.6 1.1 1.9 1.1 23.5 -22.6
pair MRmean SLmean neg-pos 9 3.4 25.0 66.7 1.3 3.4 4.0 18.5 -6.3
pair SLmean MRmean neg-pos 9 3.4 25.0 66.7 1.3 3.4 4.0 18.5 -6.3
pair RSIhist MRmean neg-pos 6 2.2 24.5 50.0 1.6 3.8 7.1 14.1 -3.4
pair MRmean RSIhist neg-pos 6 2.2 24.5 50.0 1.6 3.8 7.1 14.1 -3.4
pair RSIhist MACD neg-pos 34 12.7 24.1 58.8 1.4 3.2 2.3 16.8 -10.4
pair MACD RSIhist neg-pos 34 12.7 24.1 58.8 1.4 3.2 2.3 16.8 -10.4
pair MRmean RSI neg-neg 41 15.3 23.3 61.0 0.9 1.3 0.6 28.6 -39.8
pair RSI MRmean neg-neg 41 15.3 23.3 61.0 0.9 1.3 0.6 28.6 -39.8
pair MRmean MACD pos-neg 30 11.2 22.4 60.0 1.2 3.0 2.1 17.8 -10.4
pair MACD MRmean pos-neg 30 11.2 22.4 60.0 1.2 3.0 2.1 17.8 -10.4
pair RSI RSIhist neg-neg 37 13.8 21.9 62.2 0.8 1.2 0.6 29.9 -39.8
pair RSIhist RSI neg-neg 37 13.8 21.9 62.2 0.8 1.2 0.6 29.9 -39.8
pair MACD LWTI neg-pos 39 14.6 21.7 64.1 1.2 2.8 1.3 18.2 -16.8
pair LWTI MACD neg-pos 39 14.6 21.7 64.1 1.2 2.8 1.3 18.2 -16.8
pair MACD SLmean pos-neg 32 11.9 19.7 59.4 1.1 2.7 1.3 17.4 -15.6
pair SLmean MACD pos-neg 32 11.9 19.7 59.4 1.1 2.7 1.3 17.4 -15.6
pair MACD MACDhist neg-neg 49 18.3 19.0 61.2 0.9 1.6 0.8 21.1 -22.8
pair RSmean MACD pos-neg 49 18.3 19.0 57.1 0.9 1.7 0.8 22.4 -22.8
pair MACDhist MACD neg-neg 49 18.3 19.0 61.2 0.9 1.6 0.8 21.1 -22.8
pair MACD RSmean pos-neg 49 18.3 19.0 57.1 0.9 1.7 0.8 22.4 -22.8
pair MACDhist RSmean neg-neg 16 6.0 18.5 75.0 1.2 2.2 1.6 15.4 -11.2
pair RSmean MACDhist neg-neg 16 6.0 18.5 75.0 1.2 2.2 1.6 15.4 -11.2
pair RSmean RSIhist neg-neg 14 5.2 18.2 78.6 1.1 1.9 1.6 15.7 -11.2
pair RSIhist RSmean neg-neg 14 5.2 18.2 78.6 1.1 1.9 1.6 15.7 -11.2
pair RSmean LWTI neg-pos 17 6.3 17.4 76.5 1.1 2.1 1.6 15.0 -11.2
pair LWTI RSmean neg-pos 17 6.3 17.4 76.5 1.1 2.1 1.6 15.0 -11.2
single RSmean RSmean neg-neg 17 6.3 17.4 76.5 1.1 2.1 1.6 15.0 -11.2
pair LWTI MRmean neg-pos 53 19.8 17.1 66.0 0.8 1.1 0.9 24.7 -18.5
pair MRmean LWTI neg-pos 53 19.8 17.1 66.0 0.8 1.1 0.9 24.7 -18.5
pair RSIhist MACDhist neg-pos 50 18.7 17.0 60.0 1.2 2.0 2.2 13.7 -7.7
pair MACDhist RSIhist neg-pos 50 18.7 17.0 60.0 1.2 2.0 2.2 13.7 -7.7
single MACD MACD neg-neg 61 22.8 16.4 59.0 0.8 1.6 0.7 21.2 -22.8
pair RSIhist LWTI pos-neg 15 5.6 16.2 60.0 1.2 1.9 2.1 13.6 -7.6
pair LWTI RSIhist pos-neg 15 5.6 16.2 60.0 1.2 1.9 2.1 13.6 -7.6
pair LWTI MACDhist neg-pos 102 38.1 15.2 63.7 0.8 1.1 0.6 19.8 -26.1
pair MACDhist LWTI neg-pos 102 38.1 15.2 63.7 0.8 1.1 0.6 19.8 -26.1
pair RSIhist RSmean neg-pos 3 1.1 14.0 66.7 1.0 0.0 4.1 13.8 -3.4
pair RSmean RSIhist neg-pos 3 1.1 14.0 66.7 1.0 0.0 4.1 13.8 -3.4
pair MACDhist SLmean pos-neg 71 26.5 13.4 63.4 0.9 1.1 0.6 15.9 -21.0
pair SLmean MACDhist pos-neg 71 26.5 13.4 63.4 0.9 1.1 0.6 15.9 -21.0
pair RSI RSmean neg-pos 11 4.1 13.0 72.7 0.8 1.5 1.1 17.3 -12.2
pair RSmean RSI neg-pos 11 4.1 13.0 72.7 0.8 1.5 1.1 17.3 -12.2
pair MACD SLmean neg-neg 29 10.8 12.9 58.6 0.6 1.2 0.6 25.0 -22.6
pair SLmean MACD neg-neg 29 10.8 12.9 58.6 0.6 1.2 0.6 25.0 -22.6
pair SLmean RSIhist pos-pos 150 56.0 12.6 62.7 0.9 1.4 0.5 15.1 -24.6
pair RSIhist SLmean pos-pos 150 56.0 12.6 62.7 0.9 1.4 0.5 15.1 -24.6
pair MACDhist MRmean neg-neg 68 25.4 12.5 61.8 0.6 0.8 0.3 26.6 -39.8
pair RSIhist RSmean pos-pos 155 57.8 12.5 61.9 0.8 1.4 0.5 15.2 -24.6
pair MRmean MACDhist neg-neg 68 25.4 12.5 61.8 0.6 0.8 0.3 26.6 -39.8
pair RSmean RSIhist pos-pos 155 57.8 12.5 61.9 0.8 1.4 0.5 15.2 -24.6
single RSIhist RSIhist pos-pos 158 59.0 12.5 62.0 0.9 1.4 0.5 15.1 -24.6
pair SLmean LWTI pos-pos 166 61.9 12.3 62.7 0.8 1.3 0.5 15.5 -26.5
pair LWTI SLmean pos-pos 166 61.9 12.3 62.7 0.8 1.3 0.5 15.5 -26.5
pair SLmean RSmean neg-neg 14 5.2 12.3 71.4 0.8 1.5 1.1 16.0 -11.2
pair RSmean SLmean neg-neg 14 5.2 12.3 71.4 0.8 1.5 1.1 16.0 -11.2
pair RSmean MRmean neg-neg 14 5.2 12.3 71.4 0.8 1.5 1.1 16.0 -11.2
pair MRmean RSmean neg-neg 14 5.2 12.3 71.4 0.8 1.5 1.1 16.0 -11.2
pair LWTI RSIhist pos-pos 143 53.4 12.2 62.2 0.8 1.3 0.5 15.3 -24.6
pair RSIhist LWTI pos-pos 143 53.4 12.2 62.2 0.8 1.3 0.5 15.3 -24.6
pair RSIhist MRmean pos-pos 152 56.7 12.1 62.5 0.8 1.3 0.5 15.2 -24.6
pair MRmean RSIhist pos-pos 152 56.7 12.1 62.5 0.8 1.3 0.5 15.2 -24.6
single LWTI LWTI pos-pos 231 86.2 12.0 63.2 0.7 1.1 0.4 18.2 -30.1
pair LWTI RSIhist neg-pos 88 32.8 11.8 64.8 0.6 0.9 0.4 22.2 -30.7
pair RSIhist LWTI neg-pos 88 32.8 11.8 64.8 0.6 0.9 0.4 22.2 -30.7
pair LWTI RSmean pos-pos 214 79.9 11.6 62.1 0.7 1.0 0.4 18.5 -30.1
pair RSmean LWTI pos-pos 214 79.9 11.6 62.1 0.7 1.0 0.4 18.5 -30.1
pair LWTI SLmean neg-pos 65 24.3 11.5 64.6 0.6 0.9 0.6 23.9 -19.0
pair SLmean LWTI neg-pos 65 24.3 11.5 64.6 0.6 0.9 0.6 23.9 -19.0
single SLmean SLmean pos-pos 185 69.0 11.2 62.7 0.8 1.1 0.3 15.7 -33.4
pair RSIhist SLmean neg-pos 8 3.0 11.1 50.0 0.7 1.1 1.0 16.6 -11.2
pair SLmean RSIhist neg-pos 8 3.0 11.1 50.0 0.7 1.1 1.0 16.6 -11.2
pair MACD MRmean neg-neg 31 11.6 10.9 58.1 0.6 1.1 0.5 24.3 -22.6
pair MRmean MACD neg-neg 31 11.6 10.9 58.1 0.6 1.1 0.5 24.3 -22.6
pair MRmean MACDhist pos-pos 124 46.3 10.9 63.7 0.7 1.2 0.5 16.0 -21.4
pair MACDhist MRmean pos-pos 124 46.3 10.9 63.7 0.7 1.2 0.5 16.0 -21.4
pair SLmean RSmean pos-pos 182 67.9 10.7 62.1 0.7 1.1 0.3 15.8 -33.4
pair RSmean SLmean pos-pos 182 67.9 10.7 62.1 0.7 1.1 0.3 15.8 -33.4
pair LWTI MRmean pos-pos 178 66.4 10.6 62.4 0.7 1.1 0.5 15.8 -22.3
pair MRmean LWTI pos-pos 178 66.4 10.6 62.4 0.7 1.1 0.5 15.8 -22.3
pair RSIhist MACDhist pos-pos 108 40.3 10.5 63.0 0.7 1.2 0.5 15.8 -19.8
single MACDhist MACDhist neg-neg 136 50.7 10.5 61.0 0.6 0.7 0.2 22.0 -49.9
pair SLmean MRmean pos-pos 176 65.7 10.5 62.5 0.7 1.1 0.4 15.6 -29.2
pair MACDhist RSIhist pos-pos 108 40.3 10.5 63.0 0.7 1.2 0.5 15.8 -19.8
pair MRmean SLmean pos-pos 176 65.7 10.5 62.5 0.7 1.1 0.4 15.6 -29.2
pair RSI MACDhist neg-pos 3 1.1 10.4 66.7 0.5 0.0 1.5 25.1 -7.1
pair MACDhist RSI neg-pos 3 1.1 10.4 66.7 0.5 0.0 1.5 25.1 -7.1
pair LWTI MACD pos-pos 192 71.6 10.2 63.0 0.6 0.9 0.4 18.2 -28.6
pair MACD LWTI pos-pos 192 71.6 10.2 63.0 0.6 0.9 0.4 18.2 -28.6
single MRmean MRmean pos-pos 192 71.6 10.1 62.5 0.7 1.0 0.3 16.0 -30.4
pair benchmark___benchmark_ benchmark-benchmark 268 100.0 10.0 61.9 0.6 0.8 0.2 19.6 -53.2
pair benchmark___benchmark_ benchmark-benchmark 268 100.0 10.0 61.9 0.6 0.8 0.2 19.6 -53.2
pair SLmean MACDhist pos-pos 114 42.5 9.9 62.3 0.7 1.1 0.5 15.7 -21.5
pair MACDhist SLmean pos-pos 114 42.5 9.9 62.3 0.7 1.1 0.5 15.7 -21.5
pair RSI RSIhist pos-pos 146 54.5 9.9 61.6 0.7 1.1 0.4 15.0 -24.6
pair RSIhist RSI pos-pos 146 54.5 9.9 61.6 0.7 1.1 0.4 15.0 -24.6
pair RSI SLmean pos-pos 173 64.6 9.9 62.4 0.7 1.0 0.3 15.6 -28.7
pair SLmean RSI pos-pos 173 64.6 9.9 62.4 0.7 1.0 0.3 15.6 -28.7
single MRmean MRmean neg-neg 76 28.4 9.8 60.5 0.5 0.7 0.2 26.7 -39.8
pair MACD MACDhist pos-pos 120 44.8 9.7 64.2 0.7 1.0 0.3 16.4 -30.4
pair MACDhist MACD pos-pos 120 44.8 9.7 64.2 0.7 1.0 0.3 16.4 -30.4
pair LWTI MACDhist pos-pos 129 48.1 9.6 62.8 0.6 1.0 0.3 16.9 -30.4
pair MRmean RSmean pos-pos 189 70.5 9.6 61.9 0.7 1.0 0.3 16.1 -30.4
pair RSmean MRmean pos-pos 189 70.5 9.6 61.9 0.7 1.0 0.3 16.1 -30.4
pair MACDhist LWTI pos-pos 129 48.1 9.6 62.8 0.6 1.0 0.3 16.9 -30.4
pair RSIhist MACD pos-pos 124 46.3 9.6 62.9 0.7 1.0 0.3 14.6 -27.6
pair MACD RSIhist pos-pos 124 46.3 9.6 62.9 0.7 1.0 0.3 14.6 -27.6
pair MACDhist RSmean pos-pos 131 48.9 9.5 62.6 0.6 1.0 0.3 17.0 -30.4
pair RSmean MACDhist pos-pos 131 48.9 9.5 62.6 0.6 1.0 0.3 17.0 -30.4
single RSmean RSmean pos-pos 251 93.7 9.5 61.0 0.6 0.8 0.2 19.9 -53.3
pair MACDhist RSmean pos-neg 120 44.8 9.5 59.2 0.5 0.7 0.2 22.7 -49.9
pair RSmean MACDhist pos-neg 120 44.8 9.5 59.2 0.5 0.7 0.2 22.7 -49.9
pair SLmean MACD pos-pos 153 57.1 9.5 63.4 0.7 0.9 0.4 15.3 -26.5
pair MACD SLmean pos-pos 153 57.1 9.5 63.4 0.7 0.9 0.4 15.3 -26.5
pair RSI MACDhist pos-pos 129 48.1 9.4 62.8 0.6 1.0 0.3 16.8 -30.4
pair MACDhist RSI pos-pos 129 48.1 9.4 62.8 0.6 1.0 0.3 16.8 -30.4
single MACDhist MACDhist pos-pos 132 49.3 9.4 62.9 0.6 1.0 0.3 16.9 -30.4
pair MRmean RSmean neg-pos 62 23.1 9.2 58.1 0.5 0.7 0.2 28.7 -39.8
pair RSmean MRmean neg-pos 62 23.1 9.2 58.1 0.5 0.7 0.2 28.7 -39.8
pair MACD MRmean neg-pos 45 16.8 9.0 62.2 0.5 0.6 0.4 28.5 -22.2
pair MRmean MACD neg-pos 45 16.8 9.0 62.2 0.5 0.6 0.4 28.5 -22.2
pair RSIhist MRmean neg-neg 70 26.1 8.6 61.4 0.4 0.7 0.2 27.6 -39.8
pair MRmean RSIhist neg-neg 70 26.1 8.6 61.4 0.4 0.7 0.2 27.6 -39.8
pair MRmean MACDhist pos-neg 68 25.4 8.6 60.3 0.6 0.8 0.3 16.1 -30.4
pair MACDhist MRmean pos-neg 68 25.4 8.6 60.3 0.6 0.8 0.3 16.1 -30.4
pair RSI MRmean pos-pos 184 68.7 8.4 62.0 0.6 0.8 0.2 15.9 -35.1
pair MRmean RSI pos-pos 184 68.7 8.4 62.0 0.6 0.8 0.2 15.9 -35.1
single MACD MACD pos-pos 207 77.2 8.2 62.8 0.5 0.7 0.2 19.1 -45.6
pair SLmean MRmean neg-neg 67 25.0 7.9 59.7 0.4 0.6 0.2 27.7 -39.8
pair MRmean SLmean neg-neg 67 25.0 7.9 59.7 0.4 0.6 0.2 27.7 -39.8
pair MACD MRmean pos-pos 162 60.4 7.9 63.0 0.6 0.8 0.2 15.7 -37.4
pair MRmean MACD pos-pos 162 60.4 7.9 63.0 0.6 0.8 0.2 15.7 -37.4
pair LWTI MACD neg-neg 22 8.2 7.8 50.0 0.4 0.8 0.5 26.1 -17.1
pair MACD LWTI neg-neg 22 8.2 7.8 50.0 0.4 0.8 0.5 26.1 -17.1
pair SLmean MACDhist neg-neg 65 24.3 7.6 58.5 0.4 0.6 0.2 27.2 -42.4
pair MACDhist SLmean neg-neg 65 24.3 7.6 58.5 0.4 0.6 0.2 27.2 -42.4
pair MACD RSIhist neg-neg 27 10.1 7.5 59.3 0.4 1.0 0.3 25.9 -22.6
pair RSIhist MACD neg-neg 27 10.1 7.5 59.3 0.4 1.0 0.3 25.9 -22.6
pair MACD RSmean pos-pos 202 75.4 7.3 61.9 0.5 0.6 0.2 19.3 -45.7
pair RSmean MACD pos-pos 202 75.4 7.3 61.9 0.5 0.6 0.2 19.3 -45.7
single SLmean SLmean neg-neg 83 31.0 7.3 60.2 0.4 0.6 0.2 26.4 -42.4
pair RSI LWTI pos-pos 208 77.6 7.2 61.5 0.5 0.7 0.2 17.5 -32.9
pair LWTI RSI pos-pos 208 77.6 7.2 61.5 0.5 0.7 0.2 17.5 -32.9
pair MACDhist RSIhist neg-neg 86 32.1 7.0 61.6 0.4 0.6 0.1 25.6 -47.5
pair RSIhist MACDhist neg-neg 86 32.1 7.0 61.6 0.4 0.6 0.1 25.6 -47.5
pair RSIhist SLmean neg-neg 75 28.0 6.9 61.3 0.4 0.6 0.2 27.3 -42.4
pair SLmean RSIhist neg-neg 75 28.0 6.9 61.3 0.4 0.6 0.2 27.3 -42.4
pair RSI MACD neg-pos 28 10.4 6.8 53.6 0.5 1.1 0.5 18.2 -13.0
pair MACD RSI neg-pos 28 10.4 6.8 53.6 0.5 1.1 0.5 18.2 -13.0
pair MACD MACDhist neg-pos 12 4.5 6.6 50.0 0.4 1.4 0.3 22.4 -19.2
pair MACDhist MACD neg-pos 12 4.5 6.6 50.0 0.4 1.4 0.3 22.4 -19.2
pair SLmean MACDhist neg-pos 18 6.7 6.5 66.7 0.4 0.8 0.3 24.1 -19.0
pair MACDhist SLmean neg-pos 18 6.7 6.5 66.7 0.4 0.8 0.3 24.1 -19.0
pair RSmean MACD neg-neg 12 4.5 6.5 66.7 0.5 0.9 0.6 16.0 -11.2
pair MACD RSmean neg-neg 12 4.5 6.5 66.7 0.5 0.9 0.6 16.0 -11.2
single RSIhist RSIhist neg-neg 110 41.0 6.4 61.8 0.4 0.6 0.1 24.7 -47.5
pair RSmean SLmean neg-pos 69 25.7 6.4 58.0 0.4 0.5 0.1 28.2 -42.4
pair SLmean RSmean neg-pos 69 25.7 6.4 58.0 0.4 0.5 0.1 28.2 -42.4
single RSI RSI pos-pos 219 81.7 6.3 61.6 0.4 0.6 0.2 17.4 -32.9
pair MACD RSI pos-pos 191 71.3 6.2 62.8 0.4 0.6 0.2 17.4 -32.3
pair RSI MACD pos-pos 191 71.3 6.2 62.8 0.4 0.6 0.2 17.4 -32.3
pair MACD MACDhist pos-neg 87 32.5 6.1 60.9 0.4 0.4 0.2 22.5 -35.3
pair RSIhist MACD pos-neg 83 31.0 6.1 62.7 0.4 0.5 0.2 24.5 -33.3
pair MACD RSIhist pos-neg 83 31.0 6.1 62.7 0.4 0.5 0.2 24.5 -33.3
pair MACDhist MACD pos-neg 87 32.5 6.1 60.9 0.4 0.4 0.2 22.5 -35.3
pair RSmean RSI pos-pos 208 77.6 5.9 61.1 0.4 0.6 0.2 17.5 -37.3
pair RSI RSmean pos-pos 208 77.6 5.9 61.1 0.4 0.6 0.2 17.5 -37.3
pair SLmean RSIhist pos-neg 35 13.1 5.3 62.9 0.4 0.5 0.2 18.3 -23.1
pair RSIhist SLmean pos-neg 35 13.1 5.3 62.9 0.4 0.5 0.2 18.3 -23.1
pair MRmean SLmean pos-neg 16 6.0 5.1 62.5 0.3 0.7 0.2 20.8 -21.2
pair SLmean MRmean pos-neg 16 6.0 5.1 62.5 0.3 0.7 0.2 20.8 -21.2
pair RSIhist RSmean pos-neg 96 35.8 4.8 59.4 0.3 0.5 0.1 25.8 -47.5
pair RSmean RSIhist pos-neg 96 35.8 4.8 59.4 0.3 0.5 0.1 25.8 -47.5
pair SLmean MACD neg-pos 54 20.1 4.5 61.1 0.3 0.4 0.1 27.3 -32.0
pair MACD SLmean neg-pos 54 20.1 4.5 61.1 0.3 0.4 0.1 27.3 -32.0
pair RSIhist MACDhist pos-neg 24 9.0 4.5 62.5 0.3 0.6 0.2 21.7 -22.9
pair MACDhist RSIhist pos-neg 24 9.0 4.5 62.5 0.3 0.6 0.2 21.7 -22.9
pair MRmean LWTI pos-neg 14 5.2 3.9 64.3 0.3 0.3 0.5 19.0 -7.6
pair LWTI MRmean pos-neg 14 5.2 3.9 64.3 0.3 0.3 0.5 19.0 -7.6
pair MRmean RSIhist pos-neg 40 14.9 2.7 62.5 0.2 0.3 0.1 19.0 -24.0
pair RSIhist MRmean pos-neg 40 14.9 2.7 62.5 0.2 0.3 0.1 19.0 -24.0
pair SLmean LWTI pos-neg 19 7.1 2.3 63.2 0.2 0.3 0.2 17.6 -9.6
pair LWTI SLmean pos-neg 19 7.1 2.3 63.2 0.2 0.3 0.2 17.6 -9.6
pair RSmean MACDhist neg-pos 1 0.4 2.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 2.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI pos-neg 90 33.6 2.0 60.0 0.2 0.2 0.1 18.3 -27.9
pair RSI MACDhist pos-neg 90 33.6 2.0 60.0 0.2 0.2 0.1 18.3 -27.9
pair LWTI RSI neg-neg 26 9.7 1.3 50.0 0.2 0.3 0.1 30.3 -22.6
pair RSI LWTI neg-neg 26 9.7 1.3 50.0 0.2 0.3 0.1 30.3 -22.6
pair MACDhist LWTI pos-neg 3 1.1 1.2 66.7 0.1 0.0 0.2 23.7 -6.7
pair LWTI MACDhist pos-neg 3 1.1 1.2 66.7 0.1 0.0 0.2 23.7 -6.7
pair RSI RSIhist pos-neg 73 27.2 -0.6 61.6 0.1 0.1 -0.0 21.5 -35.9
pair RSIhist RSI pos-neg 73 27.2 -0.6 61.6 0.1 0.1 -0.0 21.5 -35.9
single LWTI LWTI neg-neg 37 13.8 -2.0 54.1 0.1 0.1 -0.0 26.9 -47.5
pair LWTI RSmean pos-neg 37 13.8 -2.0 54.1 0.1 0.1 -0.0 26.9 -47.5
pair RSmean LWTI pos-neg 37 13.8 -2.0 54.1 0.1 0.1 -0.0 26.9 -47.5
pair MACDhist LWTI neg-neg 34 12.7 -2.3 52.9 0.1 0.1 -0.1 27.5 -47.5
pair LWTI MACDhist neg-neg 34 12.7 -2.3 52.9 0.1 0.1 -0.1 27.5 -47.5
pair RSI MRmean neg-pos 35 13.1 -4.2 60.0 -0.1 -0.1 -0.1 24.0 -33.8
pair MRmean RSI neg-pos 35 13.1 -4.2 60.0 -0.1 -0.1 -0.1 24.0 -33.8
pair LWTI MRmean neg-neg 23 8.6 -5.4 47.8 -0.0 -0.0 -0.1 31.2 -39.8
pair MRmean LWTI neg-neg 23 8.6 -5.4 47.8 -0.0 -0.0 -0.1 31.2 -39.8
pair SLmean RSI neg-pos 46 17.2 -6.2 58.7 -0.2 -0.2 -0.2 23.0 -31.9
pair RSI SLmean neg-pos 46 17.2 -6.2 58.7 -0.2 -0.2 -0.2 23.0 -31.9
pair LWTI SLmean neg-neg 18 6.7 -6.3 44.4 -0.0 -0.0 -0.2 34.8 -39.8
pair SLmean LWTI neg-neg 18 6.7 -6.3 44.4 -0.0 -0.0 -0.2 34.8 -39.8
pair LWTI RSI pos-neg 11 4.1 -9.4 63.6 -0.5 -0.4 -0.5 17.3 -19.5
pair RSI LWTI pos-neg 11 4.1 -9.4 63.6 -0.5 -0.4 -0.5 17.3 -19.5
pair MACDhist MRmean neg-pos 8 3.0 -11.1 50.0 -0.3 -0.6 -0.6 28.4 -18.8
pair MRmean MACDhist neg-pos 8 3.0 -11.1 50.0 -0.3 -0.6 -0.6 28.4 -18.8
pair LWTI RSIhist neg-neg 22 8.2 -12.8 50.0 -0.2 -0.4 -0.3 33.2 -47.5
pair RSIhist LWTI neg-neg 22 8.2 -12.8 50.0 -0.2 -0.4 -0.3 33.2 -47.5
pair MACD LWTI pos-neg 15 5.6 -14.7 60.0 -0.4 -0.4 -0.5 28.7 -32.8
pair LWTI MACD pos-neg 15 5.6 -14.7 60.0 -0.4 -0.4 -0.5 28.7 -32.8

All Contingency Tables for VBK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 62%
Sharpe 0.72 | Sortino 1.05 | Calmar 0.4
Vol 16% | MDD -29.2%
Months 176M (66%)
CAGR 5.1% | Win 62%
Sharpe 0.34 | Sortino 0.70 | Calmar 0.2
Vol 21% | MDD -21.2%
Months 16M (6%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR 25.0% | Win 67%
Sharpe 1.30 | Sortino 3.42 | Calmar 4.0
Vol 18% | MDD -6.3%
Months 9M (3%)
CAGR 7.9% | Win 60%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 28% | MDD -39.8%
Months 67M (25%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
SLmean
only
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 62%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 189M (70%)
CAGR 45.0% | Win 100%
Sharpe 4.33 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 3M (1%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR 9.2% | Win 58%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 29% | MDD -39.8%
Months 62M (23%)
CAGR 12.3% | Win 71%
Sharpe 0.80 | Sortino 1.54 | Calmar 1.1
Vol 16% | MDD -11.2%
Months 14M (5%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
RSmean
only
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 63%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 16% | MDD -37.4%
Months 162M (60%)
CAGR 22.4% | Win 60%
Sharpe 1.23 | Sortino 3.05 | Calmar 2.1
Vol 18% | MDD -10.4%
Months 30M (11%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR 9.0% | Win 62%
Sharpe 0.45 | Sortino 0.57 | Calmar 0.4
Vol 28% | MDD -22.2%
Months 45M (17%)
CAGR 10.9% | Win 58%
Sharpe 0.55 | Sortino 1.06 | Calmar 0.5
Vol 24% | MDD -22.6%
Months 31M (12%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
MACD
only
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 62%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.2
Vol 16% | MDD -35.1%
Months 184M (69%)
CAGR 56.8% | Win 75%
Sharpe 2.90 | Sortino 18.00 | Calmar 16.0
Vol 16% | MDD -3.5%
Months 8M (3%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR -4.2% | Win 60%
Sharpe -0.06 | Sortino -0.08 | Calmar -0.1
Vol 24% | MDD -33.8%
Months 35M (13%)
CAGR 23.3% | Win 61%
Sharpe 0.88 | Sortino 1.27 | Calmar 0.6
Vol 29% | MDD -39.8%
Months 41M (15%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
RSI
only
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 64%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -21.4%
Months 124M (46%)
CAGR 8.6% | Win 60%
Sharpe 0.59 | Sortino 0.75 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 68M (25%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR -11.1% | Win 50%
Sharpe -0.29 | Sortino -0.58 | Calmar -0.6
Vol 28% | MDD -18.8%
Months 8M (3%)
CAGR 12.5% | Win 62%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.3
Vol 27% | MDD -39.8%
Months 68M (25%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
MACDhist
only
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 62%
Sharpe 0.83 | Sortino 1.32 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 152M (57%)
CAGR 2.7% | Win 62%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 19% | MDD -24.0%
Months 40M (15%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR 24.5% | Win 50%
Sharpe 1.62 | Sortino 3.75 | Calmar 7.1
Vol 14% | MDD -3.4%
Months 6M (2%)
CAGR 8.6% | Win 61%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.2
Vol 28% | MDD -39.8%
Months 70M (26%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 62%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.5
Vol 16% | MDD -22.3%
Months 178M (66%)
CAGR 3.9% | Win 64%
Sharpe 0.29 | Sortino 0.32 | Calmar 0.5
Vol 19% | MDD -7.6%
Months 14M (5%)
CAGR 10.1% | Win 62%
Sharpe 0.68 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 192M (72%)
MRmean
neg
CAGR 17.1% | Win 66%
Sharpe 0.77 | Sortino 1.13 | Calmar 0.9
Vol 25% | MDD -18.5%
Months 53M (20%)
CAGR -5.4% | Win 48%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 31% | MDD -39.8%
Months 23M (9%)
CAGR 9.8% | Win 60%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 27% | MDD -39.8%
Months 76M (28%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 62%
Sharpe 0.73 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 182M (68%)
CAGR 45.0% | Win 100%
Sharpe 4.33 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 3M (1%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR 6.4% | Win 58%
Sharpe 0.36 | Sortino 0.54 | Calmar 0.1
Vol 28% | MDD -42.4%
Months 69M (26%)
CAGR 12.3% | Win 71%
Sharpe 0.80 | Sortino 1.54 | Calmar 1.1
Vol 16% | MDD -11.2%
Months 14M (5%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
RSmean
only
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 63%
Sharpe 0.67 | Sortino 0.92 | Calmar 0.4
Vol 15% | MDD -26.5%
Months 153M (57%)
CAGR 19.7% | Win 59%
Sharpe 1.12 | Sortino 2.69 | Calmar 1.3
Vol 17% | MDD -15.6%
Months 32M (12%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR 4.5% | Win 61%
Sharpe 0.30 | Sortino 0.40 | Calmar 0.1
Vol 27% | MDD -32.0%
Months 54M (20%)
CAGR 12.9% | Win 59%
Sharpe 0.61 | Sortino 1.20 | Calmar 0.6
Vol 25% | MDD -22.6%
Months 29M (11%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
MACD
only
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 62%
Sharpe 0.68 | Sortino 0.99 | Calmar 0.3
Vol 16% | MDD -28.7%
Months 173M (65%)
CAGR 32.1% | Win 67%
Sharpe 1.71 | Sortino 3.84 | Calmar 3.3
Vol 17% | MDD -9.6%
Months 12M (4%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR -6.2% | Win 59%
Sharpe -0.16 | Sortino -0.24 | Calmar -0.2
Vol 23% | MDD -31.9%
Months 46M (17%)
CAGR 27.0% | Win 62%
Sharpe 0.96 | Sortino 1.35 | Calmar 0.7
Vol 30% | MDD -39.8%
Months 37M (14%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
RSI
only
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 62%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -21.5%
Months 114M (42%)
CAGR 13.4% | Win 63%
Sharpe 0.87 | Sortino 1.12 | Calmar 0.6
Vol 16% | MDD -21.0%
Months 71M (26%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR 6.5% | Win 67%
Sharpe 0.38 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -19.0%
Months 18M (7%)
CAGR 7.6% | Win 58%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.2
Vol 27% | MDD -42.4%
Months 65M (24%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
MACDhist
only
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 12.6% | Win 63%
Sharpe 0.86 | Sortino 1.38 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 150M (56%)
CAGR 5.3% | Win 63%
Sharpe 0.38 | Sortino 0.49 | Calmar 0.2
Vol 18% | MDD -23.1%
Months 35M (13%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR 11.1% | Win 50%
Sharpe 0.71 | Sortino 1.07 | Calmar 1.0
Vol 17% | MDD -11.2%
Months 8M (3%)
CAGR 6.9% | Win 61%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.2
Vol 27% | MDD -42.4%
Months 75M (28%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 63%
Sharpe 0.83 | Sortino 1.28 | Calmar 0.5
Vol 16% | MDD -26.5%
Months 166M (62%)
CAGR 2.3% | Win 63%
Sharpe 0.21 | Sortino 0.26 | Calmar 0.2
Vol 18% | MDD -9.6%
Months 19M (7%)
CAGR 11.2% | Win 63%
Sharpe 0.76 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -33.4%
Months 185M (69%)
SLmean
neg
CAGR 11.5% | Win 65%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -19.0%
Months 65M (24%)
CAGR -6.3% | Win 44%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.2
Vol 35% | MDD -39.8%
Months 18M (7%)
CAGR 7.3% | Win 60%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 26% | MDD -42.4%
Months 83M (31%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 62%
Sharpe 0.47 | Sortino 0.59 | Calmar 0.2
Vol 19% | MDD -45.7%
Months 202M (75%)
CAGR 19.0% | Win 57%
Sharpe 0.89 | Sortino 1.74 | Calmar 0.8
Vol 22% | MDD -22.8%
Months 49M (18%)
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
RSmean
neg
CAGR 48.6% | Win 100%
Sharpe 3.78 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 5M (2%)
CAGR 6.5% | Win 67%
Sharpe 0.47 | Sortino 0.90 | Calmar 0.6
Vol 16% | MDD -11.2%
Months 12M (4%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
MACD
only
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.9% | Win 61%
Sharpe 0.42 | Sortino 0.56 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 208M (78%)
CAGR 28.5% | Win 60%
Sharpe 1.03 | Sortino 1.49 | Calmar 0.7
Vol 29% | MDD -39.8%
Months 43M (16%)
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
RSmean
neg
CAGR 13.0% | Win 73%
Sharpe 0.79 | Sortino 1.51 | Calmar 1.1
Vol 17% | MDD -12.2%
Months 11M (4%)
CAGR 26.0% | Win 83%
Sharpe 2.25 | Sortino 0.00 | Calmar 8.3
Vol 11% | MDD -3.1%
Months 6M (2%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
RSI
only
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 131M (49%)
CAGR 9.5% | Win 59%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.2
Vol 23% | MDD -49.9%
Months 120M (45%)
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
RSmean
neg
CAGR 2.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 18.5% | Win 75%
Sharpe 1.18 | Sortino 2.19 | Calmar 1.7
Vol 15% | MDD -11.2%
Months 16M (6%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
MACDhist
only
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.5% | Win 62%
Sharpe 0.85 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 155M (58%)
CAGR 4.8% | Win 59%
Sharpe 0.31 | Sortino 0.46 | Calmar 0.1
Vol 26% | MDD -47.5%
Months 96M (36%)
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
RSmean
neg
CAGR 14.0% | Win 67%
Sharpe 1.00 | Sortino 0.00 | Calmar 4.1
Vol 14% | MDD -3.4%
Months 3M (1%)
CAGR 18.2% | Win 79%
Sharpe 1.15 | Sortino 1.90 | Calmar 1.6
Vol 16% | MDD -11.2%
Months 14M (5%)
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.6% | Win 62%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 214M (80%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
CAGR 9.5% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -53.3%
Months 251M (94%)
RSmean
neg
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
-
CAGR 17.4% | Win 76%
Sharpe 1.15 | Sortino 2.07 | Calmar 1.6
Vol 15% | MDD -11.2%
Months 17M (6%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.2% | Win 63%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.2
Vol 17% | MDD -32.3%
Months 191M (71%)
CAGR 34.4% | Win 62%
Sharpe 1.05 | Sortino 1.23 | Calmar 1.6
Vol 34% | MDD -22.2%
Months 16M (6%)
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
MACD
neg
CAGR 6.8% | Win 54%
Sharpe 0.45 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -13.0%
Months 28M (10%)
CAGR 25.3% | Win 64%
Sharpe 1.08 | Sortino 1.87 | Calmar 1.1
Vol 24% | MDD -22.6%
Months 33M (12%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
RSI
only
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.7% | Win 64%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.3
Vol 16% | MDD -30.4%
Months 120M (45%)
CAGR 6.1% | Win 61%
Sharpe 0.38 | Sortino 0.44 | Calmar 0.2
Vol 22% | MDD -35.3%
Months 87M (32%)
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
MACD
neg
CAGR 6.6% | Win 50%
Sharpe 0.39 | Sortino 1.39 | Calmar 0.3
Vol 22% | MDD -19.2%
Months 12M (4%)
CAGR 19.0% | Win 61%
Sharpe 0.93 | Sortino 1.63 | Calmar 0.8
Vol 21% | MDD -22.8%
Months 49M (18%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
MACDhist
only
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 63%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.3
Vol 15% | MDD -27.6%
Months 124M (46%)
CAGR 6.1% | Win 63%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.2
Vol 24% | MDD -33.3%
Months 83M (31%)
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
MACD
neg
CAGR 24.1% | Win 59%
Sharpe 1.37 | Sortino 3.19 | Calmar 2.3
Vol 17% | MDD -10.4%
Months 34M (13%)
CAGR 7.5% | Win 59%
Sharpe 0.40 | Sortino 1.03 | Calmar 0.3
Vol 26% | MDD -22.6%
Months 27M (10%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.2% | Win 63%
Sharpe 0.63 | Sortino 0.87 | Calmar 0.4
Vol 18% | MDD -28.6%
Months 192M (72%)
CAGR -14.7% | Win 60%
Sharpe -0.41 | Sortino -0.40 | Calmar -0.4
Vol 29% | MDD -32.8%
Months 15M (6%)
CAGR 8.2% | Win 63%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.2
Vol 19% | MDD -45.6%
Months 207M (77%)
MACD
neg
CAGR 21.7% | Win 64%
Sharpe 1.18 | Sortino 2.80 | Calmar 1.3
Vol 18% | MDD -16.8%
Months 39M (15%)
CAGR 7.8% | Win 50%
Sharpe 0.41 | Sortino 0.76 | Calmar 0.5
Vol 26% | MDD -17.1%
Months 22M (8%)
CAGR 16.4% | Win 59%
Sharpe 0.83 | Sortino 1.61 | Calmar 0.7
Vol 21% | MDD -22.8%
Months 61M (23%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 129M (48%)
CAGR 2.0% | Win 60%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.1
Vol 18% | MDD -27.9%
Months 90M (34%)
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
RSI
neg
CAGR 10.4% | Win 67%
Sharpe 0.48 | Sortino 0.00 | Calmar 1.5
Vol 25% | MDD -7.1%
Months 3M (1%)
CAGR 29.5% | Win 63%
Sharpe 1.09 | Sortino 1.51 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 46M (17%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
MACDhist
only
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -24.6%
Months 146M (54%)
CAGR -0.6% | Win 62%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 22% | MDD -35.9%
Months 73M (27%)
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
RSI
neg
CAGR 50.1% | Win 67%
Sharpe 2.83 | Sortino 12.91 | Calmar 11.2
Vol 15% | MDD -4.5%
Months 12M (4%)
CAGR 21.9% | Win 62%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.5
Vol 30% | MDD -39.8%
Months 37M (14%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 62%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.2
Vol 18% | MDD -32.9%
Months 208M (78%)
CAGR -9.4% | Win 64%
Sharpe -0.49 | Sortino -0.43 | Calmar -0.5
Vol 17% | MDD -19.5%
Months 11M (4%)
CAGR 6.3% | Win 62%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -32.9%
Months 219M (82%)
RSI
neg
CAGR 67.4% | Win 78%
Sharpe 2.63 | Sortino 6.00 | Calmar 9.5
Vol 21% | MDD -7.1%
Months 23M (9%)
CAGR 1.3% | Win 50%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.1
Vol 30% | MDD -22.6%
Months 26M (10%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 1.50 | Calmar 0.7
Vol 27% | MDD -39.8%
Months 49M (18%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.5% | Win 63%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.5
Vol 16% | MDD -19.8%
Months 108M (40%)
CAGR 4.5% | Win 62%
Sharpe 0.31 | Sortino 0.58 | Calmar 0.2
Vol 22% | MDD -22.9%
Months 24M (9%)
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
MACDhist
neg
CAGR 17.0% | Win 60%
Sharpe 1.22 | Sortino 2.05 | Calmar 2.2
Vol 14% | MDD -7.7%
Months 50M (19%)
CAGR 7.0% | Win 62%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -47.5%
Months 86M (32%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
RSIhist
only
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.6% | Win 63%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 129M (48%)
CAGR 1.2% | Win 67%
Sharpe 0.13 | Sortino 0.00 | Calmar 0.2
Vol 24% | MDD -6.7%
Months 3M (1%)
CAGR 9.4% | Win 63%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.3
Vol 17% | MDD -30.4%
Months 132M (49%)
MACDhist
neg
CAGR 15.2% | Win 64%
Sharpe 0.82 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -26.1%
Months 102M (38%)
CAGR -2.3% | Win 53%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 28% | MDD -47.5%
Months 34M (13%)
CAGR 10.5% | Win 61%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -49.9%
Months 136M (51%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.2% | Win 62%
Sharpe 0.83 | Sortino 1.33 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 143M (53%)
CAGR 16.2% | Win 60%
Sharpe 1.18 | Sortino 1.92 | Calmar 2.1
Vol 14% | MDD -7.6%
Months 15M (6%)
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 15% | MDD -24.6%
Months 158M (59%)
RSIhist
neg
CAGR 11.8% | Win 65%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.4
Vol 22% | MDD -30.7%
Months 88M (33%)
CAGR -12.8% | Win 50%
Sharpe -0.25 | Sortino -0.40 | Calmar -0.3
Vol 33% | MDD -47.5%
Months 22M (8%)
CAGR 6.4% | Win 62%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -47.5%
Months 110M (41%)
LWTI
only
CAGR 12.0% | Win 63%
Sharpe 0.72 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -30.1%
Months 231M (86%)
CAGR -2.0% | Win 54%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -47.5%
Months 37M (14%)