VCIT - Vanguard Intermediate-Term Corp Bond Idx Fund ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

38.9%

Best CAGR

58

Total Months

5.2%

Avg CAGR

VCIT 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 VCIT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean LWTI neg-neg 1 0.5 38.9 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.5 38.9 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean pos-neg 4 2.0 32.6 100.0 5.8 0.0 0.0 4.9 0.0
pair RSmean MRmean pos-neg 4 2.0 32.6 100.0 5.8 0.0 0.0 4.9 0.0
pair RSmean SLmean pos-neg 4 2.0 32.6 100.0 5.8 0.0 0.0 4.9 0.0
pair SLmean RSmean pos-neg 4 2.0 32.6 100.0 5.8 0.0 0.0 4.9 0.0
pair RSmean MACDhist neg-pos 3 1.5 30.6 100.0 4.5 0.0 0.0 6.0 0.0
pair MACDhist RSmean neg-pos 3 1.5 30.6 100.0 4.5 0.0 0.0 6.0 0.0
pair RSmean MACD neg-pos 3 1.5 24.0 100.0 6.1 0.0 0.0 3.6 0.0
pair MACD RSmean neg-pos 3 1.5 24.0 100.0 6.1 0.0 0.0 3.6 0.0
pair RSmean RSIhist neg-pos 7 3.5 18.4 85.7 2.8 0.0 13.3 6.0 -1.4
pair RSIhist RSmean neg-pos 7 3.5 18.4 85.7 2.8 0.0 13.3 6.0 -1.4
pair RSI RSmean neg-pos 14 7.0 17.6 85.7 3.4 6.0 12.7 4.8 -1.4
pair RSmean RSI neg-pos 14 7.0 17.6 85.7 3.4 6.0 12.7 4.8 -1.4
pair MRmean MACDhist neg-pos 6 3.0 16.4 50.0 1.3 8.9 4.3 11.8 -3.8
pair MACDhist MRmean neg-pos 6 3.0 16.4 50.0 1.3 8.9 4.3 11.8 -3.8
single RSmean RSmean neg-neg 16 8.0 15.9 81.2 3.1 7.7 11.5 4.9 -1.4
pair RSmean LWTI neg-pos 15 7.5 14.6 80.0 2.9 7.1 10.5 4.8 -1.4
pair LWTI RSmean neg-pos 15 7.5 14.6 80.0 2.9 7.1 10.5 4.8 -1.4
pair RSmean MACD neg-neg 13 6.5 14.2 76.9 2.6 6.9 10.2 5.1 -1.4
pair MACD RSmean neg-neg 13 6.5 14.2 76.9 2.6 6.9 10.2 5.1 -1.4
pair RSmean RSIhist neg-neg 9 4.5 14.1 77.8 3.3 9.2 54.7 4.1 -0.3
pair RSIhist RSmean neg-neg 9 4.5 14.1 77.8 3.3 9.2 54.7 4.1 -0.3
pair RSIhist SLmean neg-pos 8 4.0 13.5 75.0 1.7 4.2 5.1 7.8 -2.6
pair SLmean RSIhist neg-pos 8 4.0 13.5 75.0 1.7 4.2 5.1 7.8 -2.6
pair MACDhist RSmean neg-neg 13 6.5 12.8 76.9 2.7 6.2 9.3 4.5 -1.4
pair RSmean MACDhist neg-neg 13 6.5 12.8 76.9 2.7 6.2 9.3 4.5 -1.4
pair MACD SLmean neg-neg 24 11.9 12.2 66.7 1.3 2.3 2.4 8.9 -5.1
pair SLmean MACD neg-neg 24 11.9 12.2 66.7 1.3 2.3 2.4 8.9 -5.1
pair RSIhist MRmean neg-pos 7 3.5 11.2 57.1 1.5 8.5 5.2 7.4 -2.2
pair MRmean RSIhist neg-pos 7 3.5 11.2 57.1 1.5 8.5 5.2 7.4 -2.2
pair RSmean MRmean neg-neg 12 6.0 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair SLmean RSmean neg-neg 12 6.0 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair RSmean SLmean neg-neg 12 6.0 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair MRmean RSmean neg-neg 12 6.0 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair SLmean MACDhist neg-pos 12 6.0 10.6 66.7 1.2 5.0 1.9 9.1 -5.7
pair MACDhist SLmean neg-pos 12 6.0 10.6 66.7 1.2 5.0 1.9 9.1 -5.7
pair RSIhist MACD neg-neg 25 12.4 9.8 64.0 1.1 1.7 1.1 8.7 -8.7
pair MACD RSIhist neg-neg 25 12.4 9.8 64.0 1.1 1.7 1.1 8.7 -8.7
pair MRmean MACD neg-neg 24 11.9 8.8 58.3 1.0 1.7 1.0 9.2 -9.0
pair MACD MRmean neg-neg 24 11.9 8.8 58.3 1.0 1.7 1.0 9.2 -9.0
pair RSIhist MACDhist pos-neg 23 11.4 8.3 69.6 1.2 2.5 1.8 7.1 -4.7
pair MACDhist RSIhist pos-neg 23 11.4 8.3 69.6 1.2 2.5 1.8 7.1 -4.7
pair RSI MACD neg-pos 28 13.9 7.9 64.3 1.4 2.9 2.6 5.5 -3.0
pair MACD RSI neg-pos 28 13.9 7.9 64.3 1.4 2.9 2.6 5.5 -3.0
pair RSI LWTI pos-neg 8 4.0 7.8 62.5 1.7 6.5 5.0 4.4 -1.6
pair LWTI RSI pos-neg 8 4.0 7.8 62.5 1.7 6.5 5.0 4.4 -1.6
pair RSIhist LWTI pos-neg 10 5.0 7.6 60.0 1.0 1.8 2.4 7.9 -3.2
pair LWTI RSIhist pos-neg 10 5.0 7.6 60.0 1.0 1.8 2.4 7.9 -3.2
pair LWTI MACD neg-pos 36 17.9 6.8 61.1 1.1 2.5 1.4 6.4 -4.9
pair MACD LWTI neg-pos 36 17.9 6.8 61.1 1.1 2.5 1.4 6.4 -4.9
pair SLmean MRmean pos-neg 16 8.0 6.3 75.0 1.3 1.9 2.1 4.8 -3.0
pair MRmean SLmean pos-neg 16 8.0 6.3 75.0 1.3 1.9 2.1 4.8 -3.0
pair RSIhist MRmean pos-neg 45 22.4 6.2 66.7 1.4 2.2 1.3 4.5 -4.9
pair SLmean LWTI neg-neg 13 6.5 6.2 53.8 0.6 0.9 0.8 11.3 -7.7
pair MRmean RSIhist pos-neg 45 22.4 6.2 66.7 1.4 2.2 1.3 4.5 -4.9
pair LWTI SLmean neg-neg 13 6.5 6.2 53.8 0.6 0.9 0.8 11.3 -7.7
pair RSIhist MACD pos-pos 85 42.3 5.5 70.6 1.1 1.1 0.7 5.1 -8.1
pair MACD MACDhist neg-neg 37 18.4 5.5 59.5 0.7 1.2 0.6 7.6 -8.7
pair MACD RSIhist pos-pos 85 42.3 5.5 70.6 1.1 1.1 0.7 5.1 -8.1
pair MACDhist MACD neg-neg 37 18.4 5.5 59.5 0.7 1.2 0.6 7.6 -8.7
pair MACDhist RSIhist neg-pos 34 16.9 5.5 64.7 1.1 1.9 1.7 5.2 -3.2
pair RSIhist MACDhist neg-pos 34 16.9 5.5 64.7 1.1 1.9 1.7 5.2 -3.2
pair MRmean MACDhist pos-neg 55 27.4 5.4 63.6 1.2 2.0 0.8 4.5 -6.7
pair MACDhist MRmean pos-neg 55 27.4 5.4 63.6 1.2 2.0 0.8 4.5 -6.7
pair RSIhist LWTI neg-pos 80 39.8 5.3 63.8 1.0 1.7 0.5 5.5 -9.8
pair RSI RSIhist pos-neg 78 38.8 5.3 64.1 1.1 1.8 1.0 4.9 -5.3
pair LWTI RSIhist neg-pos 80 39.8 5.3 63.8 1.0 1.7 0.5 5.5 -9.8
pair RSI MRmean pos-pos 140 69.7 5.3 67.1 1.1 1.2 0.7 5.0 -7.3
pair RSIhist RSI pos-neg 78 38.8 5.3 64.1 1.1 1.8 1.0 4.9 -5.3
pair MRmean RSI pos-pos 140 69.7 5.3 67.1 1.1 1.2 0.7 5.0 -7.3
pair MRmean MACD pos-pos 122 60.7 5.2 68.9 1.1 1.2 0.7 4.8 -7.3
pair RSI RSmean neg-neg 2 1.0 5.2 50.0 0.8 0.0 0.0 6.2 0.0
pair MACD MRmean pos-pos 122 60.7 5.2 68.9 1.1 1.2 0.7 4.8 -7.3
pair RSmean RSI neg-neg 2 1.0 5.2 50.0 0.8 0.0 0.0 6.2 0.0
pair SLmean MACD pos-pos 113 56.2 5.1 68.1 1.1 1.1 0.7 4.9 -7.3
pair MACD SLmean pos-pos 113 56.2 5.1 68.1 1.1 1.1 0.7 4.9 -7.3
single RSI RSI pos-pos 176 87.6 5.0 65.9 1.0 1.3 0.7 5.0 -7.3
pair RSI MACDhist pos-neg 85 42.3 5.0 63.5 1.2 2.0 0.7 4.3 -6.8
pair MACDhist RSI pos-neg 85 42.3 5.0 63.5 1.2 2.0 0.7 4.3 -6.8
pair RSI SLmean neg-pos 47 23.4 5.0 66.0 1.0 1.8 1.2 5.1 -4.3
pair SLmean RSI neg-pos 47 23.4 5.0 66.0 1.0 1.8 1.2 5.1 -4.3
pair MACD MACDhist pos-pos 86 42.8 5.0 69.8 0.9 1.0 0.7 5.5 -7.3
pair MACDhist MACD pos-pos 86 42.8 5.0 69.8 0.9 1.0 0.7 5.5 -7.3
pair RSI SLmean pos-pos 129 64.2 5.0 65.9 1.0 1.1 0.7 5.0 -7.3
pair SLmean RSI pos-pos 129 64.2 5.0 65.9 1.0 1.1 0.7 5.0 -7.3
pair MACDhist RSI pos-pos 91 45.3 4.9 68.1 0.9 1.0 0.7 5.7 -7.3
single MACD MACD neg-neg 48 23.9 4.9 56.2 0.6 1.2 0.6 7.9 -8.7
pair RSI MACDhist pos-pos 91 45.3 4.9 68.1 0.9 1.0 0.7 5.7 -7.3
pair RSI LWTI pos-pos 168 83.6 4.8 66.1 1.0 1.2 0.7 5.1 -7.3
pair MACDhist LWTI pos-pos 97 48.3 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
pair LWTI RSI pos-pos 168 83.6 4.8 66.1 1.0 1.2 0.7 5.1 -7.3
single MACDhist MACDhist pos-pos 97 48.3 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
pair LWTI MACDhist pos-pos 97 48.3 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
pair RSI RSIhist pos-pos 98 48.8 4.7 67.3 0.9 1.0 0.6 5.2 -8.1
single SLmean SLmean neg-neg 64 31.8 4.7 62.5 0.7 1.1 0.3 7.3 -14.4
pair RSIhist SLmean pos-neg 37 18.4 4.7 62.2 0.9 1.2 0.8 5.1 -5.5
pair SLmean RSIhist pos-neg 37 18.4 4.7 62.2 0.9 1.2 0.8 5.1 -5.5
pair RSIhist RSI pos-pos 98 48.8 4.7 67.3 0.9 1.0 0.6 5.2 -8.1
pair SLmean LWTI pos-pos 127 63.2 4.6 65.4 0.9 1.1 0.6 5.0 -7.3
pair MRmean LWTI pos-pos 138 68.7 4.6 66.7 0.9 1.1 0.6 5.0 -7.3
pair LWTI MRmean pos-pos 138 68.7 4.6 66.7 0.9 1.1 0.6 5.0 -7.3
pair LWTI SLmean pos-pos 127 63.2 4.6 65.4 0.9 1.1 0.6 5.0 -7.3
single LWTI LWTI pos-pos 178 88.6 4.5 65.2 0.9 1.1 0.4 5.3 -12.7
single MRmean MRmean pos-pos 146 72.6 4.5 66.4 0.9 1.1 0.6 5.1 -7.6
pair MACD RSI pos-pos 148 73.6 4.4 66.2 0.9 1.1 0.6 4.9 -7.3
pair RSI MACD pos-pos 148 73.6 4.4 66.2 0.9 1.1 0.6 4.9 -7.3
single RSIhist RSIhist pos-pos 108 53.7 4.3 65.7 0.8 0.9 0.5 5.5 -8.9
pair SLmean LWTI neg-pos 51 25.4 4.3 64.7 0.7 1.4 0.4 6.1 -11.2
pair LWTI SLmean neg-pos 51 25.4 4.3 64.7 0.7 1.4 0.4 6.1 -11.2
pair MRmean SLmean pos-pos 130 64.7 4.3 65.4 0.8 1.0 0.6 5.2 -7.3
pair SLmean MRmean pos-pos 130 64.7 4.3 65.4 0.8 1.0 0.6 5.2 -7.3
pair MRmean SLmean neg-neg 48 23.9 4.2 58.3 0.6 0.9 0.3 8.0 -15.3
pair SLmean MRmean neg-neg 48 23.9 4.2 58.3 0.6 0.9 0.3 8.0 -15.3
pair LWTI MACDhist neg-pos 81 40.3 4.2 63.0 1.0 1.5 0.4 4.4 -9.7
pair MACDhist LWTI neg-pos 81 40.3 4.2 63.0 1.0 1.5 0.4 4.4 -9.7
pair benchmark___benchmark_ benchmark-benchmark 201 100.0 4.1 63.7 0.7 0.9 0.2 5.9 -18.8
pair benchmark___benchmark_ benchmark-benchmark 201 100.0 4.1 63.7 0.7 0.9 0.2 5.9 -18.8
pair LWTI MRmean neg-pos 40 19.9 4.1 60.0 0.7 1.3 0.4 6.3 -10.5
pair MRmean LWTI neg-pos 40 19.9 4.1 60.0 0.7 1.3 0.4 6.3 -10.5
single RSIhist RSIhist neg-neg 93 46.3 4.0 61.3 0.6 0.9 0.2 6.5 -18.5
pair MACDhist RSmean pos-pos 94 46.8 4.0 66.0 0.7 0.8 0.5 5.9 -8.2
pair RSmean MACDhist pos-pos 94 46.8 4.0 66.0 0.7 0.8 0.5 5.9 -8.2
pair MRmean MACDhist pos-pos 91 45.3 4.0 68.1 0.8 0.8 0.6 5.5 -7.3
pair MACDhist SLmean pos-pos 85 42.3 4.0 67.1 0.7 0.8 0.5 5.5 -7.3
pair SLmean MACDhist pos-pos 85 42.3 4.0 67.1 0.7 0.8 0.5 5.5 -7.3
pair MACDhist MRmean pos-pos 91 45.3 4.0 68.1 0.8 0.8 0.6 5.5 -7.3
single MACD MACD pos-pos 153 76.1 3.9 66.0 0.8 0.8 0.3 5.2 -13.1
pair MACD LWTI pos-pos 142 70.6 3.9 66.2 0.8 0.9 0.5 5.1 -8.5
pair RSmean RSI pos-pos 162 80.6 3.9 64.2 0.8 1.0 0.5 5.0 -8.0
pair RSI RSmean pos-pos 162 80.6 3.9 64.2 0.8 1.0 0.5 5.0 -8.0
pair RSIhist LWTI pos-pos 98 48.8 3.9 66.3 0.8 0.8 0.4 5.2 -10.8
pair LWTI RSIhist pos-pos 98 48.8 3.9 66.3 0.8 0.8 0.4 5.2 -10.8
pair LWTI MACD pos-pos 142 70.6 3.9 66.2 0.8 0.9 0.5 5.1 -8.5
single SLmean SLmean pos-pos 137 68.2 3.9 64.2 0.8 0.9 0.4 5.2 -9.8
pair SLmean RSI neg-neg 17 8.5 3.8 52.9 0.4 0.8 0.4 11.7 -10.5
pair MRmean RSmean pos-pos 142 70.6 3.8 65.5 0.8 0.9 0.4 5.0 -9.9
pair RSmean MRmean pos-pos 142 70.6 3.8 65.5 0.8 0.9 0.4 5.0 -9.9
pair RSI SLmean neg-neg 17 8.5 3.8 52.9 0.4 0.8 0.4 11.7 -10.5
pair RSIhist MRmean pos-pos 101 50.2 3.8 66.3 0.7 0.8 0.3 5.4 -13.6
pair MRmean RSI neg-pos 36 17.9 3.8 61.1 0.7 1.3 0.7 5.2 -5.3
pair RSI MRmean neg-pos 36 17.9 3.8 61.1 0.7 1.3 0.7 5.2 -5.3
pair MRmean RSIhist pos-pos 101 50.2 3.8 66.3 0.7 0.8 0.3 5.4 -13.6
pair MACDhist RSIhist pos-pos 74 36.8 3.7 66.2 0.7 0.7 0.3 5.6 -10.5
pair RSIhist MACDhist pos-pos 74 36.8 3.7 66.2 0.7 0.7 0.3 5.6 -10.5
pair MACDhist SLmean pos-neg 52 25.9 3.7 59.6 0.8 1.1 0.3 4.8 -10.6
pair SLmean MACDhist pos-neg 52 25.9 3.7 59.6 0.8 1.1 0.3 4.8 -10.6
pair RSmean LWTI pos-pos 163 81.1 3.6 63.8 0.7 0.9 0.3 5.3 -12.7
pair LWTI RSmean pos-pos 163 81.1 3.6 63.8 0.7 0.9 0.3 5.3 -12.7
pair MACD RSmean pos-pos 150 74.6 3.5 65.3 0.7 0.8 0.3 5.2 -13.1
pair RSmean MACD pos-pos 150 74.6 3.5 65.3 0.7 0.8 0.3 5.2 -13.1
pair RSIhist SLmean neg-neg 56 27.9 3.5 60.7 0.5 0.8 0.2 7.3 -14.4
pair SLmean RSIhist pos-pos 100 49.8 3.5 65.0 0.7 0.8 0.3 5.3 -12.6
pair RSIhist SLmean pos-pos 100 49.8 3.5 65.0 0.7 0.8 0.3 5.3 -12.6
pair SLmean RSIhist neg-neg 56 27.9 3.5 60.7 0.5 0.8 0.2 7.3 -14.4
single MACDhist MACDhist neg-neg 104 51.7 3.5 60.6 0.6 0.8 0.2 5.9 -18.8
pair SLmean MACDhist neg-neg 52 25.9 3.4 61.5 0.5 0.7 0.2 6.9 -14.4
pair MACDhist SLmean neg-neg 52 25.9 3.4 61.5 0.5 0.7 0.2 6.9 -14.4
pair RSmean SLmean neg-pos 52 25.9 3.3 59.6 0.5 0.7 0.2 7.8 -14.4
pair SLmean RSmean neg-pos 52 25.9 3.3 59.6 0.5 0.7 0.2 7.8 -14.4
pair RSmean RSIhist pos-pos 101 50.2 3.3 64.4 0.6 0.7 0.3 5.4 -10.8
pair RSIhist RSmean pos-pos 101 50.2 3.3 64.4 0.6 0.7 0.3 5.4 -10.8
single RSmean RSmean pos-pos 185 92.0 3.2 62.2 0.6 0.7 0.2 6.0 -18.8
pair SLmean RSmean pos-pos 133 66.2 3.1 63.2 0.6 0.7 0.3 5.1 -12.1
pair RSmean SLmean pos-pos 133 66.2 3.1 63.2 0.6 0.7 0.3 5.1 -12.1
pair LWTI MACD pos-neg 11 5.5 3.0 63.6 0.5 0.4 0.6 7.2 -5.0
pair MACD LWTI pos-neg 11 5.5 3.0 63.6 0.5 0.4 0.6 7.2 -5.0
single MRmean MRmean neg-neg 55 27.4 3.0 56.4 0.4 0.7 0.2 7.8 -18.5
pair RSmean RSIhist pos-neg 84 41.8 2.9 59.5 0.5 0.7 0.2 6.6 -18.5
pair RSIhist RSmean pos-neg 84 41.8 2.9 59.5 0.5 0.7 0.2 6.6 -18.5
pair MACD MACDhist neg-pos 11 5.5 2.9 45.5 0.3 0.9 0.6 9.2 -4.9
pair MACDhist MACD neg-pos 11 5.5 2.9 45.5 0.3 0.9 0.6 9.2 -4.9
pair MACDhist RSIhist neg-neg 70 34.8 2.6 58.6 0.4 0.6 0.1 6.2 -18.5
pair RSIhist MACDhist neg-neg 70 34.8 2.6 58.6 0.4 0.6 0.1 6.2 -18.5
pair LWTI MRmean pos-neg 8 4.0 2.5 62.5 0.4 0.6 0.7 6.6 -3.8
pair MRmean LWTI pos-neg 8 4.0 2.5 62.5 0.4 0.6 0.7 6.6 -3.8
pair MACDhist MACD pos-neg 67 33.3 2.4 61.2 0.5 0.6 0.2 4.8 -13.1
pair MACD MACDhist pos-neg 67 33.3 2.4 61.2 0.5 0.6 0.2 4.8 -13.1
pair RSmean MACDhist pos-neg 91 45.3 2.3 58.2 0.4 0.5 0.1 6.0 -18.8
pair MACDhist RSmean pos-neg 91 45.3 2.3 58.2 0.4 0.5 0.1 6.0 -18.8
pair MACDhist RSI neg-pos 6 3.0 2.3 50.0 0.3 0.8 0.5 10.4 -4.9
pair RSI MACDhist neg-pos 6 3.0 2.3 50.0 0.3 0.8 0.5 10.4 -4.9
pair MACD RSIhist pos-neg 68 33.8 1.9 60.3 0.4 0.5 0.1 5.4 -12.8
pair RSIhist MACD pos-neg 68 33.8 1.9 60.3 0.4 0.5 0.1 5.4 -12.8
pair MRmean RSIhist neg-neg 48 23.9 1.9 56.2 0.3 0.4 0.1 7.9 -18.5
pair RSIhist MRmean neg-neg 48 23.9 1.9 56.2 0.3 0.4 0.1 7.9 -18.5
pair RSmean MACD pos-neg 35 17.4 1.7 48.6 0.2 0.5 0.2 8.6 -8.7
pair MACD RSmean pos-neg 35 17.4 1.7 48.6 0.2 0.5 0.2 8.6 -8.7
pair RSI MRmean neg-neg 19 9.5 1.6 47.4 0.2 0.4 0.1 11.3 -13.9
pair MRmean RSI neg-neg 19 9.5 1.6 47.4 0.2 0.4 0.1 11.3 -13.9
pair MRmean MACDhist neg-neg 49 24.4 1.5 57.1 0.2 0.3 0.1 7.2 -17.3
pair MACDhist MRmean neg-neg 49 24.4 1.5 57.1 0.2 0.3 0.1 7.2 -17.3
single LWTI LWTI neg-neg 23 11.4 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair LWTI MACDhist neg-neg 23 11.4 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair MRmean MACD pos-neg 24 11.9 1.1 54.2 0.2 0.4 0.2 6.4 -5.9
pair MACD MRmean pos-neg 24 11.9 1.1 54.2 0.2 0.4 0.2 6.4 -5.9
pair MACDhist LWTI neg-neg 23 11.4 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair MRmean RSmean neg-pos 43 21.4 0.9 51.2 0.1 0.2 0.1 8.5 -18.5
pair RSmean MRmean neg-pos 43 21.4 0.9 51.2 0.1 0.2 0.1 8.5 -18.5
pair RSI MACD neg-neg 20 10.0 0.8 45.0 0.1 0.3 0.1 10.5 -8.7
pair MACD RSI neg-neg 20 10.0 0.8 45.0 0.1 0.3 0.1 10.5 -8.7
pair MACD SLmean neg-pos 40 19.9 0.4 60.0 0.1 0.1 0.0 6.0 -11.9
pair SLmean MACD neg-pos 40 19.9 0.4 60.0 0.1 0.1 0.0 6.0 -11.9
pair MRmean LWTI neg-neg 15 7.5 0.3 46.7 0.1 0.1 0.0 11.0 -11.2
pair LWTI MRmean neg-neg 15 7.5 0.3 46.7 0.1 0.1 0.0 11.0 -11.2
pair RSIhist MACD neg-pos 23 11.4 -0.1 47.8 0.0 0.0 -0.0 6.8 -4.2
pair MACD RSIhist neg-pos 23 11.4 -0.1 47.8 0.0 0.0 -0.0 6.8 -4.2
pair RSIhist RSI neg-pos 10 5.0 -0.4 50.0 -0.0 -0.0 -0.1 8.1 -4.2
pair LWTI RSmean pos-neg 22 10.9 -0.4 50.0 0.0 0.0 -0.0 9.6 -11.2
pair RSmean LWTI pos-neg 22 10.9 -0.4 50.0 0.0 0.0 -0.0 9.6 -11.2
pair RSI RSIhist neg-pos 10 5.0 -0.4 50.0 -0.0 -0.0 -0.1 8.1 -4.2
pair MACD LWTI neg-neg 12 6.0 -0.7 41.7 -0.0 -0.0 -0.1 11.6 -8.7
pair LWTI MACD neg-neg 12 6.0 -0.7 41.7 -0.0 -0.0 -0.1 11.6 -8.7
pair LWTI RSI neg-pos 10 5.0 -0.7 50.0 -0.0 -0.1 -0.1 8.9 -7.5
pair RSI LWTI neg-pos 10 5.0 -0.7 50.0 -0.0 -0.1 -0.1 8.9 -7.5
pair MACD MRmean neg-pos 31 15.4 -1.2 54.8 -0.2 -0.2 -0.1 6.3 -12.9
pair MRmean MACD neg-pos 31 15.4 -1.2 54.8 -0.2 -0.2 -0.1 6.3 -12.9
single RSI RSI neg-neg 25 12.4 -1.7 48.0 -0.1 -0.2 -0.1 10.3 -13.9
pair SLmean MACD pos-neg 24 11.9 -1.9 45.8 -0.3 -0.5 -0.2 6.4 -10.0
pair MACD SLmean pos-neg 24 11.9 -1.9 45.8 -0.3 -0.5 -0.2 6.4 -10.0
pair LWTI RSI neg-neg 15 7.5 -2.3 46.7 -0.1 -0.3 -0.2 11.4 -11.2
pair RSI LWTI neg-neg 15 7.5 -2.3 46.7 -0.1 -0.3 -0.2 11.4 -11.2
pair RSI RSmean pos-neg 23 11.4 -2.3 47.8 -0.2 -0.3 -0.2 10.7 -13.9
pair RSmean RSI pos-neg 23 11.4 -2.3 47.8 -0.2 -0.3 -0.2 10.7 -13.9
pair RSI RSIhist neg-neg 15 7.5 -2.5 46.7 -0.2 -0.3 -0.2 11.8 -13.9
pair RSIhist RSI neg-neg 15 7.5 -2.5 46.7 -0.2 -0.3 -0.2 11.8 -13.9
pair RSI MACDhist neg-neg 19 9.5 -2.9 47.4 -0.2 -0.4 -0.2 10.5 -13.9
pair MACDhist RSI neg-neg 19 9.5 -2.9 47.4 -0.2 -0.4 -0.2 10.5 -13.9
pair LWTI RSIhist neg-neg 13 6.5 -3.7 46.2 -0.3 -0.5 -0.3 10.8 -11.2
pair RSIhist LWTI neg-neg 13 6.5 -3.7 46.2 -0.3 -0.5 -0.3 10.8 -11.2
pair MRmean SLmean neg-pos 7 3.5 -4.3 42.9 -0.7 -0.7 -0.8 5.9 -5.2
pair SLmean MRmean neg-pos 7 3.5 -4.3 42.9 -0.7 -0.7 -0.8 5.9 -5.2
pair LWTI SLmean pos-neg 10 5.0 -5.2 50.0 -0.7 -1.0 -0.6 6.9 -8.2
pair SLmean LWTI pos-neg 10 5.0 -5.2 50.0 -0.7 -1.0 -0.6 6.9 -8.2
pair MACD RSI pos-neg 5 2.5 -11.0 60.0 -1.1 -2.4 -1.4 10.2 -8.0
pair RSI MACD pos-neg 5 2.5 -11.0 60.0 -1.1 -2.4 -1.4 10.2 -8.0
pair MRmean RSI pos-neg 6 3.0 -11.5 50.0 -2.1 -3.5 -3.3 5.7 -3.5
pair RSI MRmean pos-neg 6 3.0 -11.5 50.0 -2.1 -3.5 -3.3 5.7 -3.5
pair RSI SLmean pos-neg 8 4.0 -12.4 37.5 -2.3 -2.6 -2.6 5.7 -4.8
pair SLmean RSI pos-neg 8 4.0 -12.4 37.5 -2.3 -2.6 -2.6 5.7 -4.8

All Contingency Tables for VCIT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 65%
Sharpe 0.84 | Sortino 0.99 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 130M (65%)
CAGR 6.3% | Win 75%
Sharpe 1.31 | Sortino 1.94 | Calmar 2.1
Vol 5% | MDD -3.0%
Months 16M (8%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR -4.3% | Win 43%
Sharpe -0.72 | Sortino -0.74 | Calmar -0.8
Vol 6% | MDD -5.2%
Months 7M (4%)
CAGR 4.2% | Win 58%
Sharpe 0.55 | Sortino 0.89 | Calmar 0.3
Vol 8% | MDD -15.3%
Months 48M (24%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
SLmean
only
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 66%
Sharpe 0.78 | Sortino 0.91 | Calmar 0.4
Vol 5% | MDD -9.9%
Months 142M (71%)
CAGR 32.6% | Win 100%
Sharpe 5.80 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR 0.9% | Win 51%
Sharpe 0.15 | Sortino 0.25 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 43M (21%)
CAGR 10.9% | Win 75%
Sharpe 2.45 | Sortino 5.35 | Calmar 7.9
Vol 4% | MDD -1.4%
Months 12M (6%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
RSmean
only
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 69%
Sharpe 1.08 | Sortino 1.16 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 122M (61%)
CAGR 1.1% | Win 54%
Sharpe 0.21 | Sortino 0.39 | Calmar 0.2
Vol 6% | MDD -5.9%
Months 24M (12%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR -1.2% | Win 55%
Sharpe -0.17 | Sortino -0.21 | Calmar -0.1
Vol 6% | MDD -12.9%
Months 31M (15%)
CAGR 8.8% | Win 58%
Sharpe 0.96 | Sortino 1.69 | Calmar 1.0
Vol 9% | MDD -9.0%
Months 24M (12%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
MACD
only
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 67%
Sharpe 1.06 | Sortino 1.25 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 140M (70%)
CAGR -11.5% | Win 50%
Sharpe -2.10 | Sortino -3.54 | Calmar -3.3
Vol 6% | MDD -3.5%
Months 6M (3%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR 3.8% | Win 61%
Sharpe 0.73 | Sortino 1.27 | Calmar 0.7
Vol 5% | MDD -5.3%
Months 36M (18%)
CAGR 1.6% | Win 47%
Sharpe 0.20 | Sortino 0.37 | Calmar 0.1
Vol 11% | MDD -13.9%
Months 19M (10%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
RSI
only
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.0% | Win 68%
Sharpe 0.75 | Sortino 0.80 | Calmar 0.6
Vol 6% | MDD -7.3%
Months 91M (45%)
CAGR 5.4% | Win 64%
Sharpe 1.19 | Sortino 2.01 | Calmar 0.8
Vol 4% | MDD -6.7%
Months 55M (27%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR 16.4% | Win 50%
Sharpe 1.34 | Sortino 8.88 | Calmar 4.3
Vol 12% | MDD -3.8%
Months 6M (3%)
CAGR 1.5% | Win 57%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.1
Vol 7% | MDD -17.3%
Months 49M (24%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
MACDhist
only
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 66%
Sharpe 0.72 | Sortino 0.80 | Calmar 0.3
Vol 5% | MDD -13.6%
Months 101M (50%)
CAGR 6.2% | Win 67%
Sharpe 1.37 | Sortino 2.19 | Calmar 1.3
Vol 4% | MDD -4.9%
Months 45M (22%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR 11.2% | Win 57%
Sharpe 1.49 | Sortino 8.53 | Calmar 5.2
Vol 7% | MDD -2.2%
Months 7M (4%)
CAGR 1.9% | Win 56%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 48M (24%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 67%
Sharpe 0.93 | Sortino 1.09 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 138M (69%)
CAGR 2.5% | Win 62%
Sharpe 0.40 | Sortino 0.55 | Calmar 0.7
Vol 7% | MDD -3.8%
Months 8M (4%)
CAGR 4.5% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.6%
Months 146M (73%)
MRmean
neg
CAGR 4.1% | Win 60%
Sharpe 0.66 | Sortino 1.29 | Calmar 0.4
Vol 6% | MDD -10.5%
Months 40M (20%)
CAGR 0.3% | Win 47%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -11.2%
Months 15M (8%)
CAGR 3.0% | Win 56%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 55M (27%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 3.1% | Win 63%
Sharpe 0.62 | Sortino 0.71 | Calmar 0.3
Vol 5% | MDD -12.1%
Months 133M (66%)
CAGR 32.6% | Win 100%
Sharpe 5.80 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (2%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 3.3% | Win 60%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.2
Vol 8% | MDD -14.4%
Months 52M (26%)
CAGR 10.9% | Win 75%
Sharpe 2.45 | Sortino 5.35 | Calmar 7.9
Vol 4% | MDD -1.4%
Months 12M (6%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
RSmean
only
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 68%
Sharpe 1.05 | Sortino 1.10 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 113M (56%)
CAGR -1.9% | Win 46%
Sharpe -0.27 | Sortino -0.45 | Calmar -0.2
Vol 6% | MDD -10.0%
Months 24M (12%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 0.4% | Win 60%
Sharpe 0.10 | Sortino 0.14 | Calmar 0.0
Vol 6% | MDD -11.9%
Months 40M (20%)
CAGR 12.2% | Win 67%
Sharpe 1.34 | Sortino 2.32 | Calmar 2.4
Vol 9% | MDD -5.1%
Months 24M (12%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
MACD
only
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.0% | Win 66%
Sharpe 0.98 | Sortino 1.15 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 129M (64%)
CAGR -12.4% | Win 38%
Sharpe -2.29 | Sortino -2.61 | Calmar -2.6
Vol 6% | MDD -4.8%
Months 8M (4%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.81 | Calmar 1.2
Vol 5% | MDD -4.3%
Months 47M (23%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.76 | Calmar 0.4
Vol 12% | MDD -10.5%
Months 17M (8%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
RSI
only
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.0% | Win 67%
Sharpe 0.74 | Sortino 0.78 | Calmar 0.5
Vol 6% | MDD -7.3%
Months 85M (42%)
CAGR 3.7% | Win 60%
Sharpe 0.78 | Sortino 1.10 | Calmar 0.3
Vol 5% | MDD -10.6%
Months 52M (26%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 10.6% | Win 67%
Sharpe 1.16 | Sortino 4.98 | Calmar 1.9
Vol 9% | MDD -5.7%
Months 12M (6%)
CAGR 3.4% | Win 62%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.2
Vol 7% | MDD -14.4%
Months 52M (26%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
MACDhist
only
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.5% | Win 65%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 5% | MDD -12.6%
Months 100M (50%)
CAGR 4.7% | Win 62%
Sharpe 0.92 | Sortino 1.19 | Calmar 0.9
Vol 5% | MDD -5.5%
Months 37M (18%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 13.5% | Win 75%
Sharpe 1.67 | Sortino 4.25 | Calmar 5.1
Vol 8% | MDD -2.6%
Months 8M (4%)
CAGR 3.5% | Win 61%
Sharpe 0.51 | Sortino 0.77 | Calmar 0.2
Vol 7% | MDD -14.4%
Months 56M (28%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 65%
Sharpe 0.92 | Sortino 1.07 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 127M (63%)
CAGR -5.2% | Win 50%
Sharpe -0.74 | Sortino -0.98 | Calmar -0.6
Vol 7% | MDD -8.2%
Months 10M (5%)
CAGR 3.9% | Win 64%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -9.8%
Months 137M (68%)
SLmean
neg
CAGR 4.3% | Win 65%
Sharpe 0.73 | Sortino 1.40 | Calmar 0.4
Vol 6% | MDD -11.2%
Months 51M (25%)
CAGR 6.2% | Win 54%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.8
Vol 11% | MDD -7.7%
Months 13M (6%)
CAGR 4.7% | Win 62%
Sharpe 0.66 | Sortino 1.05 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 64M (32%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.5% | Win 65%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 150M (75%)
CAGR 1.7% | Win 49%
Sharpe 0.23 | Sortino 0.45 | Calmar 0.2
Vol 9% | MDD -8.7%
Months 35M (17%)
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
RSmean
neg
CAGR 24.0% | Win 100%
Sharpe 6.10 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (2%)
CAGR 14.2% | Win 77%
Sharpe 2.62 | Sortino 6.89 | Calmar 10.2
Vol 5% | MDD -1.4%
Months 13M (6%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
MACD
only
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 64%
Sharpe 0.81 | Sortino 1.00 | Calmar 0.5
Vol 5% | MDD -8.0%
Months 162M (81%)
CAGR -2.3% | Win 48%
Sharpe -0.16 | Sortino -0.33 | Calmar -0.2
Vol 11% | MDD -13.9%
Months 23M (11%)
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
RSmean
neg
CAGR 17.6% | Win 86%
Sharpe 3.42 | Sortino 5.95 | Calmar 12.7
Vol 5% | MDD -1.4%
Months 14M (7%)
CAGR 5.2% | Win 50%
Sharpe 0.83 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 2M (1%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
RSI
only
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 66%
Sharpe 0.70 | Sortino 0.84 | Calmar 0.5
Vol 6% | MDD -8.2%
Months 94M (47%)
CAGR 2.3% | Win 58%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.1
Vol 6% | MDD -18.8%
Months 91M (45%)
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
RSmean
neg
CAGR 30.6% | Win 100%
Sharpe 4.55 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 3M (2%)
CAGR 12.8% | Win 77%
Sharpe 2.73 | Sortino 6.25 | Calmar 9.3
Vol 4% | MDD -1.4%
Months 13M (6%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
MACDhist
only
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.3% | Win 64%
Sharpe 0.64 | Sortino 0.73 | Calmar 0.3
Vol 5% | MDD -10.8%
Months 101M (50%)
CAGR 2.9% | Win 60%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.2
Vol 7% | MDD -18.5%
Months 84M (42%)
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
RSmean
neg
CAGR 18.4% | Win 86%
Sharpe 2.84 | Sortino 0.00 | Calmar 13.3
Vol 6% | MDD -1.4%
Months 7M (4%)
CAGR 14.1% | Win 78%
Sharpe 3.28 | Sortino 9.24 | Calmar 54.7
Vol 4% | MDD -0.3%
Months 9M (4%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 64%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 163M (81%)
CAGR -0.4% | Win 50%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 10% | MDD -11.2%
Months 22M (11%)
CAGR 3.2% | Win 62%
Sharpe 0.55 | Sortino 0.71 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 185M (92%)
RSmean
neg
CAGR 14.6% | Win 80%
Sharpe 2.85 | Sortino 7.06 | Calmar 10.5
Vol 5% | MDD -1.4%
Months 15M (8%)
CAGR 38.9% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.69 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.4% | Win 66%
Sharpe 0.90 | Sortino 1.06 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 148M (74%)
CAGR -11.0% | Win 60%
Sharpe -1.09 | Sortino -2.44 | Calmar -1.4
Vol 10% | MDD -8.0%
Months 5M (2%)
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
MACD
neg
CAGR 7.9% | Win 64%
Sharpe 1.41 | Sortino 2.94 | Calmar 2.6
Vol 6% | MDD -3.0%
Months 28M (14%)
CAGR 0.8% | Win 45%
Sharpe 0.12 | Sortino 0.26 | Calmar 0.1
Vol 10% | MDD -8.7%
Months 20M (10%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
RSI
only
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 70%
Sharpe 0.91 | Sortino 0.96 | Calmar 0.7
Vol 6% | MDD -7.3%
Months 86M (43%)
CAGR 2.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 5% | MDD -13.1%
Months 67M (33%)
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
MACD
neg
CAGR 2.9% | Win 46%
Sharpe 0.35 | Sortino 0.95 | Calmar 0.6
Vol 9% | MDD -4.9%
Months 11M (6%)
CAGR 5.5% | Win 60%
Sharpe 0.74 | Sortino 1.20 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 37M (18%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
MACDhist
only
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 71%
Sharpe 1.08 | Sortino 1.05 | Calmar 0.7
Vol 5% | MDD -8.1%
Months 85M (42%)
CAGR 1.9% | Win 60%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 5% | MDD -12.8%
Months 68M (34%)
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
MACD
neg
CAGR -0.1% | Win 48%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.0
Vol 7% | MDD -4.2%
Months 23M (11%)
CAGR 9.8% | Win 64%
Sharpe 1.11 | Sortino 1.71 | Calmar 1.1
Vol 9% | MDD -8.7%
Months 25M (12%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 66%
Sharpe 0.79 | Sortino 0.92 | Calmar 0.5
Vol 5% | MDD -8.5%
Months 142M (71%)
CAGR 3.0% | Win 64%
Sharpe 0.45 | Sortino 0.41 | Calmar 0.6
Vol 7% | MDD -5.0%
Months 11M (6%)
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.85 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 153M (76%)
MACD
neg
CAGR 6.8% | Win 61%
Sharpe 1.07 | Sortino 2.50 | Calmar 1.4
Vol 6% | MDD -4.9%
Months 36M (18%)
CAGR -0.7% | Win 42%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 12% | MDD -8.7%
Months 12M (6%)
CAGR 4.9% | Win 56%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.6
Vol 8% | MDD -8.7%
Months 48M (24%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.9% | Win 68%
Sharpe 0.88 | Sortino 0.98 | Calmar 0.7
Vol 6% | MDD -7.3%
Months 91M (45%)
CAGR 5.0% | Win 64%
Sharpe 1.17 | Sortino 2.01 | Calmar 0.7
Vol 4% | MDD -6.8%
Months 85M (42%)
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
RSI
neg
CAGR 2.3% | Win 50%
Sharpe 0.26 | Sortino 0.82 | Calmar 0.5
Vol 10% | MDD -4.9%
Months 6M (3%)
CAGR -2.9% | Win 47%
Sharpe -0.23 | Sortino -0.42 | Calmar -0.2
Vol 10% | MDD -13.9%
Months 19M (10%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
MACDhist
only
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.7% | Win 67%
Sharpe 0.92 | Sortino 1.01 | Calmar 0.6
Vol 5% | MDD -8.1%
Months 98M (49%)
CAGR 5.3% | Win 64%
Sharpe 1.08 | Sortino 1.80 | Calmar 1.0
Vol 5% | MDD -5.3%
Months 78M (39%)
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
RSI
neg
CAGR -0.4% | Win 50%
Sharpe -0.01 | Sortino -0.03 | Calmar -0.1
Vol 8% | MDD -4.2%
Months 10M (5%)
CAGR -2.5% | Win 47%
Sharpe -0.16 | Sortino -0.32 | Calmar -0.2
Vol 12% | MDD -13.9%
Months 15M (8%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 4.8% | Win 66%
Sharpe 0.96 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 168M (84%)
CAGR 7.8% | Win 62%
Sharpe 1.71 | Sortino 6.54 | Calmar 5.0
Vol 4% | MDD -1.6%
Months 8M (4%)
CAGR 5.0% | Win 66%
Sharpe 0.99 | Sortino 1.26 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 176M (88%)
RSI
neg
CAGR -0.7% | Win 50%
Sharpe -0.04 | Sortino -0.10 | Calmar -0.1
Vol 9% | MDD -7.5%
Months 10M (5%)
CAGR -2.3% | Win 47%
Sharpe -0.15 | Sortino -0.29 | Calmar -0.2
Vol 11% | MDD -11.2%
Months 15M (8%)
CAGR -1.7% | Win 48%
Sharpe -0.12 | Sortino -0.22 | Calmar -0.1
Vol 10% | MDD -13.9%
Months 25M (12%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.7% | Win 66%
Sharpe 0.67 | Sortino 0.71 | Calmar 0.4
Vol 6% | MDD -10.5%
Months 74M (37%)
CAGR 8.3% | Win 70%
Sharpe 1.16 | Sortino 2.55 | Calmar 1.8
Vol 7% | MDD -4.7%
Months 23M (11%)
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
MACDhist
neg
CAGR 5.5% | Win 65%
Sharpe 1.05 | Sortino 1.93 | Calmar 1.7
Vol 5% | MDD -3.2%
Months 34M (17%)
CAGR 2.6% | Win 59%
Sharpe 0.44 | Sortino 0.57 | Calmar 0.1
Vol 6% | MDD -18.5%
Months 70M (35%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
-
CAGR 4.8% | Win 67%
Sharpe 0.81 | Sortino 0.99 | Calmar 0.6
Vol 6% | MDD -8.2%
Months 97M (48%)
MACDhist
neg
CAGR 4.2% | Win 63%
Sharpe 0.96 | Sortino 1.50 | Calmar 0.4
Vol 4% | MDD -9.7%
Months 81M (40%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
CAGR 3.5% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 104M (52%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 3.9% | Win 66%
Sharpe 0.76 | Sortino 0.84 | Calmar 0.4
Vol 5% | MDD -10.8%
Months 98M (49%)
CAGR 7.6% | Win 60%
Sharpe 0.97 | Sortino 1.79 | Calmar 2.4
Vol 8% | MDD -3.2%
Months 10M (5%)
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (54%)
RSIhist
neg
CAGR 5.3% | Win 64%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.5
Vol 6% | MDD -9.8%
Months 80M (40%)
CAGR -3.7% | Win 46%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.3
Vol 11% | MDD -11.2%
Months 13M (6%)
CAGR 4.0% | Win 61%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 93M (46%)
LWTI
only
CAGR 4.5% | Win 65%
Sharpe 0.86 | Sortino 1.13 | Calmar 0.4
Vol 5% | MDD -12.7%
Months 178M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)