VCIT - Vanguard Intermediate-Term Corp Bond ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

38.9%

Best CAGR

58

Total Months

5.1%

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 3.4 18.4 85.7 2.8 0.0 13.3 6.0 -1.4
pair RSIhist RSmean neg-pos 7 3.4 18.4 85.7 2.8 0.0 13.3 6.0 -1.4
pair RSI RSmean neg-pos 14 6.9 17.6 85.7 3.4 5.9 12.7 4.8 -1.4
pair RSmean RSI neg-pos 14 6.9 17.6 85.7 3.4 5.9 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 7.9 15.9 81.2 3.1 7.7 11.5 4.9 -1.4
pair RSmean LWTI neg-pos 15 7.4 14.6 80.0 2.9 7.0 10.5 4.8 -1.4
pair LWTI RSmean neg-pos 15 7.4 14.6 80.0 2.9 7.0 10.5 4.8 -1.4
pair RSmean MACD neg-neg 13 6.4 14.2 76.9 2.6 6.9 10.2 5.1 -1.4
pair MACD RSmean neg-neg 13 6.4 14.2 76.9 2.6 6.9 10.2 5.1 -1.4
pair RSmean RSIhist neg-neg 9 4.4 14.1 77.8 3.3 9.3 54.7 4.1 -0.3
pair RSIhist RSmean neg-neg 9 4.4 14.1 77.8 3.3 9.3 54.7 4.1 -0.3
pair RSIhist SLmean neg-pos 8 3.9 13.5 75.0 1.7 4.2 5.1 7.8 -2.6
pair SLmean RSIhist neg-pos 8 3.9 13.5 75.0 1.7 4.2 5.1 7.8 -2.6
pair MACDhist RSmean neg-neg 13 6.4 12.8 76.9 2.7 6.2 9.2 4.5 -1.4
pair RSmean MACDhist neg-neg 13 6.4 12.8 76.9 2.7 6.2 9.2 4.5 -1.4
pair MACD SLmean neg-neg 24 11.8 12.2 66.7 1.3 2.3 2.4 8.9 -5.1
pair SLmean MACD neg-neg 24 11.8 12.2 66.7 1.3 2.3 2.4 8.9 -5.1
pair RSIhist MRmean neg-pos 7 3.4 11.2 57.1 1.5 8.5 5.2 7.4 -2.2
pair MRmean RSIhist neg-pos 7 3.4 11.2 57.1 1.5 8.5 5.2 7.4 -2.2
pair RSmean MRmean neg-neg 12 5.9 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair SLmean RSmean neg-neg 12 5.9 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair RSmean SLmean neg-neg 12 5.9 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair MRmean RSmean neg-neg 12 5.9 10.9 75.0 2.5 5.3 7.8 4.3 -1.4
pair SLmean MACDhist neg-pos 12 5.9 10.6 66.7 1.2 5.0 1.9 9.1 -5.7
pair MACDhist SLmean neg-pos 12 5.9 10.6 66.7 1.2 5.0 1.9 9.1 -5.7
pair RSIhist MACD neg-neg 25 12.3 9.8 64.0 1.1 1.7 1.1 8.7 -8.7
pair MACD RSIhist neg-neg 25 12.3 9.8 64.0 1.1 1.7 1.1 8.7 -8.7
pair MRmean MACD neg-neg 24 11.8 8.8 58.3 1.0 1.7 1.0 9.2 -9.0
pair MACD MRmean neg-neg 24 11.8 8.8 58.3 1.0 1.7 1.0 9.2 -9.0
pair RSIhist MACDhist pos-neg 23 11.3 8.3 69.6 1.2 2.5 1.8 7.1 -4.7
pair MACDhist RSIhist pos-neg 23 11.3 8.3 69.6 1.2 2.5 1.8 7.1 -4.7
pair RSI MACD neg-pos 28 13.8 7.9 64.3 1.4 3.0 2.6 5.5 -3.0
pair MACD RSI neg-pos 28 13.8 7.9 64.3 1.4 3.0 2.6 5.5 -3.0
pair RSI LWTI pos-neg 8 3.9 7.8 62.5 1.7 6.5 5.0 4.4 -1.6
pair LWTI RSI pos-neg 8 3.9 7.8 62.5 1.7 6.5 5.0 4.4 -1.6
pair RSIhist LWTI pos-neg 10 4.9 7.6 60.0 1.0 1.8 2.4 7.9 -3.2
pair LWTI RSIhist pos-neg 10 4.9 7.6 60.0 1.0 1.8 2.4 7.9 -3.2
pair LWTI MACD neg-pos 36 17.7 6.8 61.1 1.1 2.5 1.4 6.4 -4.9
pair MACD LWTI neg-pos 36 17.7 6.8 61.1 1.1 2.5 1.4 6.4 -4.9
pair SLmean MRmean pos-neg 16 7.9 6.3 75.0 1.3 1.9 2.1 4.8 -3.0
pair MRmean SLmean pos-neg 16 7.9 6.3 75.0 1.3 1.9 2.1 4.8 -3.0
pair RSIhist MRmean pos-neg 45 22.2 6.2 66.7 1.4 2.2 1.3 4.5 -4.9
pair SLmean LWTI neg-neg 13 6.4 6.2 53.8 0.6 0.9 0.8 11.3 -7.7
pair MRmean RSIhist pos-neg 45 22.2 6.2 66.7 1.4 2.2 1.3 4.5 -4.9
pair LWTI SLmean neg-neg 13 6.4 6.2 53.8 0.6 0.9 0.8 11.3 -7.7
pair RSIhist MACD pos-pos 85 41.9 5.5 70.6 1.1 1.1 0.7 5.1 -8.1
pair MACD MACDhist neg-neg 37 18.2 5.5 59.5 0.7 1.2 0.6 7.6 -8.7
pair MACD RSIhist pos-pos 85 41.9 5.5 70.6 1.1 1.1 0.7 5.1 -8.1
pair MACDhist MACD neg-neg 37 18.2 5.5 59.5 0.7 1.2 0.6 7.6 -8.7
pair MACDhist RSIhist neg-pos 34 16.7 5.5 64.7 1.1 1.9 1.7 5.2 -3.2
pair RSIhist MACDhist neg-pos 34 16.7 5.5 64.7 1.1 1.9 1.7 5.2 -3.2
pair MRmean MACDhist pos-neg 55 27.1 5.4 63.6 1.2 2.0 0.8 4.5 -6.7
pair MACDhist MRmean pos-neg 55 27.1 5.4 63.6 1.2 2.0 0.8 4.5 -6.7
pair RSI MRmean pos-pos 140 69.0 5.3 67.1 1.1 1.2 0.7 5.0 -7.3
pair MRmean RSI pos-pos 140 69.0 5.3 67.1 1.1 1.2 0.7 5.0 -7.3
pair MRmean MACD pos-pos 122 60.1 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 60.1 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 55.7 5.1 68.1 1.1 1.1 0.7 4.9 -7.3
pair MACD SLmean pos-pos 113 55.7 5.1 68.1 1.1 1.1 0.7 4.9 -7.3
pair RSI RSIhist pos-neg 80 39.4 5.0 63.8 1.0 1.6 0.7 5.0 -7.5
pair LWTI RSIhist neg-pos 82 40.4 5.0 63.4 0.9 1.5 0.5 5.6 -9.8
pair RSIhist LWTI neg-pos 82 40.4 5.0 63.4 0.9 1.5 0.5 5.6 -9.8
pair RSI SLmean pos-pos 129 63.5 5.0 65.9 1.0 1.1 0.7 5.0 -7.3
pair RSIhist RSI pos-neg 80 39.4 5.0 63.8 1.0 1.6 0.7 5.0 -7.5
pair MACD MACDhist pos-pos 86 42.4 5.0 69.8 0.9 1.0 0.7 5.5 -7.3
pair MACDhist MACD pos-pos 86 42.4 5.0 69.8 0.9 1.0 0.7 5.5 -7.3
pair SLmean RSI pos-pos 129 63.5 5.0 65.9 1.0 1.1 0.7 5.0 -7.3
pair MACDhist RSI pos-pos 91 44.8 4.9 68.1 0.9 1.0 0.7 5.7 -7.3
single MACD MACD neg-neg 48 23.6 4.9 56.2 0.6 1.2 0.6 7.9 -8.7
pair RSI MACDhist pos-pos 91 44.8 4.9 68.1 0.9 1.0 0.7 5.7 -7.3
pair MACDhist LWTI pos-pos 97 47.8 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
pair LWTI MACDhist pos-pos 97 47.8 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
pair MACDhist RSI pos-neg 87 42.9 4.8 63.2 1.1 1.7 0.5 4.5 -9.4
pair RSI MACDhist pos-neg 87 42.9 4.8 63.2 1.1 1.7 0.5 4.5 -9.4
single MACDhist MACDhist pos-pos 97 47.8 4.8 67.0 0.8 1.0 0.6 6.0 -8.2
single RSI RSI pos-pos 178 87.7 4.8 65.7 0.9 1.2 0.7 5.1 -7.3
pair RSI LWTI pos-pos 170 83.7 4.7 65.9 0.9 1.2 0.7 5.1 -7.3
pair LWTI RSI pos-pos 170 83.7 4.7 65.9 0.9 1.2 0.7 5.1 -7.3
pair RSI RSIhist pos-pos 98 48.3 4.7 67.3 0.9 1.0 0.6 5.2 -8.1
pair RSIhist RSI pos-pos 98 48.3 4.7 67.3 0.9 1.0 0.6 5.2 -8.1
pair RSIhist SLmean pos-neg 37 18.2 4.7 62.2 0.9 1.2 0.8 5.1 -5.5
pair SLmean RSIhist pos-neg 37 18.2 4.7 62.2 0.9 1.2 0.8 5.1 -5.5
pair MRmean LWTI pos-pos 138 68.0 4.6 66.7 0.9 1.1 0.6 5.0 -7.3
pair LWTI MRmean pos-pos 138 68.0 4.6 66.7 0.9 1.1 0.6 5.0 -7.3
pair SLmean LWTI pos-pos 127 62.6 4.6 65.4 0.9 1.1 0.6 5.0 -7.3
pair LWTI SLmean pos-pos 127 62.6 4.6 65.4 0.9 1.1 0.6 5.0 -7.3
pair RSI SLmean neg-pos 49 24.1 4.6 65.3 0.9 1.5 1.1 5.3 -4.3
pair SLmean RSI neg-pos 49 24.1 4.6 65.3 0.9 1.5 1.1 5.3 -4.3
single MRmean MRmean pos-pos 146 71.9 4.5 66.4 0.9 1.1 0.6 5.1 -7.6
single LWTI LWTI pos-pos 180 88.7 4.4 65.0 0.8 1.1 0.3 5.4 -12.7
single SLmean SLmean neg-neg 66 32.5 4.4 62.1 0.6 1.0 0.3 7.4 -14.4
single RSIhist RSIhist pos-pos 108 53.2 4.3 65.7 0.8 0.9 0.5 5.5 -8.9
pair RSI MACD pos-pos 150 73.9 4.3 66.0 0.9 1.0 0.6 5.0 -7.3
pair MACD RSI pos-pos 150 73.9 4.3 66.0 0.9 1.0 0.6 5.0 -7.3
pair MRmean SLmean pos-pos 130 64.0 4.3 65.4 0.8 1.0 0.6 5.2 -7.3
pair SLmean MRmean pos-pos 130 64.0 4.3 65.4 0.8 1.0 0.6 5.2 -7.3
pair MRmean MACDhist pos-pos 91 44.8 4.0 68.1 0.8 0.8 0.6 5.5 -7.3
pair MACDhist MRmean pos-pos 91 44.8 4.0 68.1 0.8 0.8 0.6 5.5 -7.3
pair MACDhist LWTI neg-pos 83 40.9 4.0 62.7 0.9 1.3 0.3 4.6 -12.3
pair LWTI MACDhist neg-pos 83 40.9 4.0 62.7 0.9 1.3 0.3 4.6 -12.3
pair benchmark___benchmark_ benchmark-benchmark 203 100.0 4.0 63.5 0.7 0.9 0.2 6.0 -18.8
pair benchmark___benchmark_ benchmark-benchmark 203 100.0 4.0 63.5 0.7 0.9 0.2 6.0 -18.8
pair MACDhist SLmean pos-pos 85 41.9 4.0 67.1 0.7 0.8 0.5 5.5 -7.3
pair SLmean MACDhist pos-pos 85 41.9 4.0 67.1 0.7 0.8 0.5 5.5 -7.3
pair MACDhist RSmean pos-pos 94 46.3 4.0 66.0 0.7 0.8 0.5 5.9 -8.2
pair RSmean MACDhist pos-pos 94 46.3 4.0 66.0 0.7 0.8 0.5 5.9 -8.2
pair LWTI SLmean neg-pos 53 26.1 3.9 64.2 0.7 1.2 0.3 6.2 -11.2
pair SLmean LWTI neg-pos 53 26.1 3.9 64.2 0.7 1.2 0.3 6.2 -11.2
single SLmean SLmean pos-pos 137 67.5 3.9 64.2 0.8 0.9 0.4 5.2 -9.8
pair RSIhist LWTI pos-pos 98 48.3 3.9 66.3 0.8 0.8 0.4 5.2 -10.8
pair LWTI RSIhist pos-pos 98 48.3 3.9 66.3 0.8 0.8 0.4 5.2 -10.8
pair LWTI MACD pos-pos 144 70.9 3.8 66.0 0.8 0.9 0.5 5.1 -8.5
pair MACD LWTI pos-pos 144 70.9 3.8 66.0 0.8 0.9 0.5 5.1 -8.5
single RSIhist RSIhist neg-neg 95 46.8 3.8 61.1 0.6 0.9 0.2 6.5 -18.5
pair RSI RSmean pos-pos 164 80.8 3.8 64.0 0.8 1.0 0.5 5.0 -8.0
pair RSmean RSI pos-pos 164 80.8 3.8 64.0 0.8 1.0 0.5 5.0 -8.0
pair SLmean RSI neg-neg 17 8.4 3.8 52.9 0.4 0.8 0.4 11.7 -10.5
pair RSI SLmean neg-neg 17 8.4 3.8 52.9 0.4 0.8 0.4 11.7 -10.5
pair MRmean RSmean pos-pos 142 70.0 3.8 65.5 0.8 0.9 0.4 5.0 -9.9
pair RSmean MRmean pos-pos 142 70.0 3.8 65.5 0.8 0.9 0.4 5.0 -9.9
pair MRmean RSIhist pos-pos 101 49.8 3.8 66.3 0.7 0.8 0.3 5.4 -13.6
pair RSIhist MRmean pos-pos 101 49.8 3.8 66.3 0.7 0.8 0.3 5.4 -13.6
pair SLmean MACDhist pos-neg 52 25.6 3.7 59.6 0.8 1.1 0.3 4.8 -10.6
pair MACDhist SLmean pos-neg 52 25.6 3.7 59.6 0.8 1.1 0.3 4.8 -10.6
single MACD MACD pos-pos 155 76.4 3.7 65.8 0.7 0.8 0.3 5.3 -13.1
pair MACDhist RSIhist pos-pos 74 36.5 3.7 66.2 0.7 0.7 0.3 5.6 -10.5
pair RSIhist MACDhist pos-pos 74 36.5 3.7 66.2 0.7 0.7 0.3 5.6 -10.5
pair MRmean SLmean neg-neg 50 24.6 3.7 58.0 0.5 0.8 0.2 8.1 -15.3
pair SLmean MRmean neg-neg 50 24.6 3.7 58.0 0.5 0.8 0.2 8.1 -15.3
pair LWTI MRmean neg-pos 42 20.7 3.6 59.5 0.6 1.1 0.3 6.5 -10.4
pair MRmean LWTI neg-pos 42 20.7 3.6 59.5 0.6 1.1 0.3 6.5 -10.4
pair RSmean LWTI pos-pos 165 81.3 3.5 63.6 0.7 0.9 0.3 5.4 -12.7
pair SLmean RSIhist pos-pos 100 49.3 3.5 65.0 0.7 0.8 0.3 5.3 -12.6
pair RSIhist SLmean pos-pos 100 49.3 3.5 65.0 0.7 0.8 0.3 5.3 -12.6
pair LWTI RSmean pos-pos 165 81.3 3.5 63.6 0.7 0.9 0.3 5.4 -12.7
pair MACD RSmean pos-pos 152 74.9 3.4 65.1 0.7 0.7 0.3 5.3 -13.1
pair RSmean MACD pos-pos 152 74.9 3.4 65.1 0.7 0.7 0.3 5.3 -13.1
pair RSI MRmean neg-pos 38 18.7 3.3 60.5 0.6 1.0 0.4 5.5 -8.0
pair RSmean RSIhist pos-pos 101 49.8 3.3 64.4 0.6 0.7 0.3 5.4 -10.8
pair RSIhist RSmean pos-pos 101 49.8 3.3 64.4 0.6 0.7 0.3 5.4 -10.8
pair MRmean RSI neg-pos 38 18.7 3.3 60.5 0.6 1.0 0.4 5.5 -8.0
single MACDhist MACDhist neg-neg 106 52.2 3.3 60.4 0.6 0.8 0.2 6.0 -18.8
pair SLmean RSIhist neg-neg 58 28.6 3.2 60.3 0.5 0.7 0.2 7.3 -14.4
pair RSIhist SLmean neg-neg 58 28.6 3.2 60.3 0.5 0.7 0.2 7.3 -14.4
pair RSmean SLmean pos-pos 133 65.5 3.1 63.2 0.6 0.7 0.3 5.1 -12.1
pair SLmean RSmean pos-pos 133 65.5 3.1 63.2 0.6 0.7 0.3 5.1 -12.1
single RSmean RSmean pos-pos 187 92.1 3.1 62.0 0.5 0.7 0.2 6.0 -18.8
pair SLmean RSmean neg-pos 54 26.6 3.0 59.3 0.4 0.7 0.2 7.9 -14.4
pair RSmean SLmean neg-pos 54 26.6 3.0 59.3 0.4 0.7 0.2 7.9 -14.4
pair LWTI MACD pos-neg 11 5.4 3.0 63.6 0.5 0.4 0.6 7.2 -5.0
pair MACD LWTI pos-neg 11 5.4 3.0 63.6 0.5 0.4 0.6 7.2 -5.0
pair MACDhist SLmean neg-neg 54 26.6 3.0 61.1 0.5 0.7 0.2 7.0 -14.4
pair SLmean MACDhist neg-neg 54 26.6 3.0 61.1 0.5 0.7 0.2 7.0 -14.4
pair MACDhist MACD neg-pos 11 5.4 2.9 45.5 0.3 0.9 0.6 9.2 -4.9
pair MACD MACDhist neg-pos 11 5.4 2.9 45.5 0.3 0.9 0.6 9.2 -4.9
single MRmean MRmean neg-neg 57 28.1 2.7 56.1 0.4 0.6 0.1 7.8 -18.5
pair RSmean RSIhist pos-neg 86 42.4 2.7 59.3 0.4 0.6 0.1 6.7 -18.5
pair RSIhist RSmean pos-neg 86 42.4 2.7 59.3 0.4 0.6 0.1 6.7 -18.5
pair LWTI MRmean pos-neg 8 3.9 2.5 62.5 0.4 0.6 0.7 6.6 -3.8
pair MRmean LWTI pos-neg 8 3.9 2.5 62.5 0.4 0.6 0.7 6.6 -3.8
pair MACDhist RSIhist neg-neg 72 35.5 2.4 58.3 0.4 0.5 0.1 6.3 -18.5
pair RSIhist MACDhist neg-neg 72 35.5 2.4 58.3 0.4 0.5 0.1 6.3 -18.5
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 MACDhist MACD pos-neg 69 34.0 2.2 60.9 0.5 0.6 0.1 4.9 -15.6
pair MACD MACDhist pos-neg 69 34.0 2.2 60.9 0.5 0.6 0.1 4.9 -15.6
pair RSmean MACDhist pos-neg 93 45.8 2.1 58.1 0.4 0.5 0.1 6.1 -18.8
pair MACDhist RSmean pos-neg 93 45.8 2.1 58.1 0.4 0.5 0.1 6.1 -18.8
pair MACD RSIhist pos-neg 70 34.5 1.7 60.0 0.3 0.4 0.1 5.5 -13.8
pair RSIhist MACD pos-neg 70 34.5 1.7 60.0 0.3 0.4 0.1 5.5 -13.8
pair RSmean MACD pos-neg 35 17.2 1.7 48.6 0.2 0.5 0.2 8.6 -8.7
pair MACD RSmean pos-neg 35 17.2 1.7 48.6 0.2 0.5 0.2 8.6 -8.7
pair MRmean RSIhist neg-neg 50 24.6 1.6 56.0 0.2 0.4 0.1 7.9 -18.5
pair RSIhist MRmean neg-neg 50 24.6 1.6 56.0 0.2 0.4 0.1 7.9 -18.5
pair RSI MRmean neg-neg 19 9.4 1.6 47.4 0.2 0.4 0.1 11.3 -13.9
pair MRmean RSI neg-neg 19 9.4 1.6 47.4 0.2 0.4 0.1 11.3 -13.9
pair MRmean MACDhist neg-neg 51 25.1 1.2 56.9 0.2 0.3 0.1 7.3 -17.3
pair MACDhist MRmean neg-neg 51 25.1 1.2 56.9 0.2 0.3 0.1 7.3 -17.3
single LWTI LWTI neg-neg 23 11.3 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair LWTI MACDhist neg-neg 23 11.3 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair MRmean MACD pos-neg 24 11.8 1.1 54.2 0.2 0.4 0.2 6.4 -5.9
pair MACD MRmean pos-neg 24 11.8 1.1 54.2 0.2 0.4 0.2 6.4 -5.9
pair MACDhist LWTI neg-neg 23 11.3 1.1 52.2 0.2 0.2 0.1 9.6 -11.2
pair RSI MACD neg-neg 20 9.9 0.8 45.0 0.1 0.3 0.1 10.5 -8.7
pair MACD RSI neg-neg 20 9.9 0.8 45.0 0.1 0.3 0.1 10.5 -8.7
pair MRmean RSmean neg-pos 45 22.2 0.6 51.1 0.1 0.2 0.0 8.5 -18.5
pair RSmean MRmean neg-pos 45 22.2 0.6 51.1 0.1 0.2 0.0 8.5 -18.5
pair MRmean LWTI neg-neg 15 7.4 0.3 46.7 0.1 0.1 0.0 11.0 -11.2
pair LWTI MRmean neg-neg 15 7.4 0.3 46.7 0.1 0.1 0.0 11.0 -11.2
pair MACD SLmean neg-pos 42 20.7 0.1 59.5 0.1 0.1 0.0 6.2 -11.9
pair SLmean MACD neg-pos 42 20.7 0.1 59.5 0.1 0.1 0.0 6.2 -11.9
pair RSIhist MACD neg-pos 23 11.3 -0.1 47.8 0.0 0.0 -0.0 6.8 -4.2
pair MACD RSIhist neg-pos 23 11.3 -0.1 47.8 0.0 0.0 -0.0 6.8 -4.2
pair RSIhist RSI neg-pos 10 4.9 -0.4 50.0 -0.0 -0.0 -0.1 8.1 -4.2
pair LWTI RSmean pos-neg 22 10.8 -0.4 50.0 0.0 0.0 -0.0 9.6 -11.2
pair RSmean LWTI pos-neg 22 10.8 -0.4 50.0 0.0 0.0 -0.0 9.6 -11.2
pair RSI RSIhist neg-pos 10 4.9 -0.4 50.0 -0.0 -0.0 -0.1 8.1 -4.2
pair MACD LWTI neg-neg 12 5.9 -0.7 41.7 -0.0 -0.0 -0.1 11.6 -8.7
pair LWTI MACD neg-neg 12 5.9 -0.7 41.7 -0.0 -0.0 -0.1 11.6 -8.7
pair LWTI RSI neg-pos 10 4.9 -0.7 50.0 -0.0 -0.1 -0.1 8.9 -7.5
pair RSI LWTI neg-pos 10 4.9 -0.7 50.0 -0.0 -0.1 -0.1 8.9 -7.5
pair MACD MRmean neg-pos 33 16.3 -1.5 54.5 -0.2 -0.3 -0.1 6.6 -14.2
pair MRmean MACD neg-pos 33 16.3 -1.5 54.5 -0.2 -0.3 -0.1 6.6 -14.2
single RSI RSI neg-neg 25 12.3 -1.7 48.0 -0.1 -0.2 -0.1 10.3 -13.9
pair SLmean MACD pos-neg 24 11.8 -1.9 45.8 -0.3 -0.5 -0.2 6.4 -10.0
pair MACD SLmean pos-neg 24 11.8 -1.9 45.8 -0.3 -0.5 -0.2 6.4 -10.0
pair LWTI RSI neg-neg 15 7.4 -2.3 46.7 -0.1 -0.3 -0.2 11.4 -11.2
pair RSI LWTI neg-neg 15 7.4 -2.3 46.7 -0.1 -0.3 -0.2 11.4 -11.2
pair RSI RSmean pos-neg 23 11.3 -2.3 47.8 -0.2 -0.3 -0.2 10.7 -13.9
pair RSmean RSI pos-neg 23 11.3 -2.3 47.8 -0.2 -0.3 -0.2 10.7 -13.9
pair RSI RSIhist neg-neg 15 7.4 -2.5 46.7 -0.2 -0.3 -0.2 11.8 -13.9
pair RSIhist RSI neg-neg 15 7.4 -2.5 46.7 -0.2 -0.3 -0.2 11.8 -13.9
pair RSI MACDhist neg-neg 19 9.4 -2.9 47.4 -0.2 -0.4 -0.2 10.5 -13.9
pair MACDhist RSI neg-neg 19 9.4 -2.9 47.4 -0.2 -0.4 -0.2 10.5 -13.9
pair LWTI RSIhist neg-neg 13 6.4 -3.7 46.2 -0.3 -0.5 -0.3 10.8 -11.2
pair RSIhist LWTI neg-neg 13 6.4 -3.7 46.2 -0.3 -0.5 -0.3 10.8 -11.2
pair MRmean SLmean neg-pos 7 3.4 -4.3 42.9 -0.7 -0.7 -0.8 5.9 -5.2
pair SLmean MRmean neg-pos 7 3.4 -4.3 42.9 -0.7 -0.7 -0.8 5.9 -5.2
pair LWTI SLmean pos-neg 10 4.9 -5.2 50.0 -0.7 -1.0 -0.6 6.9 -8.2
pair SLmean LWTI pos-neg 10 4.9 -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 3.9 -12.4 37.5 -2.3 -2.6 -2.6 5.7 -4.8
pair SLmean RSI pos-neg 8 3.9 -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 (64%)
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 (72%)
MRmean
neg
CAGR -4.3% | Win 43%
Sharpe -0.72 | Sortino -0.74 | Calmar -0.8
Vol 6% | MDD -5.2%
Months 7M (3%)
CAGR 3.7% | Win 58%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.2
Vol 8% | MDD -15.3%
Months 50M (25%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
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 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (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 (70%)
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 (72%)
MRmean
neg
CAGR 0.6% | Win 51%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 8% | MDD -18.5%
Months 45M (22%)
CAGR 10.9% | Win 75%
Sharpe 2.45 | Sortino 5.35 | Calmar 7.8
Vol 4% | MDD -1.4%
Months 12M (6%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
RSmean
only
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (92%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.68 | 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 (60%)
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 (72%)
MRmean
neg
CAGR -1.5% | Win 55%
Sharpe -0.20 | Sortino -0.27 | Calmar -0.1
Vol 7% | MDD -14.2%
Months 33M (16%)
CAGR 8.8% | Win 58%
Sharpe 0.96 | Sortino 1.69 | Calmar 1.0
Vol 9% | MDD -9.0%
Months 24M (12%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
MACD
only
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (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 (69%)
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 (72%)
MRmean
neg
CAGR 3.3% | Win 60%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.4
Vol 6% | MDD -8.0%
Months 38M (19%)
CAGR 1.6% | Win 47%
Sharpe 0.20 | Sortino 0.37 | Calmar 0.1
Vol 11% | MDD -13.9%
Months 19M (9%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
RSI
only
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 2.02 | 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 (72%)
MRmean
neg
CAGR 16.4% | Win 50%
Sharpe 1.34 | Sortino 8.89 | Calmar 4.3
Vol 12% | MDD -3.8%
Months 6M (3%)
CAGR 1.2% | Win 57%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 7% | MDD -17.3%
Months 51M (25%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
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 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (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 (72%)
MRmean
neg
CAGR 11.2% | Win 57%
Sharpe 1.49 | Sortino 8.52 | Calmar 5.2
Vol 7% | MDD -2.2%
Months 7M (3%)
CAGR 1.6% | Win 56%
Sharpe 0.24 | Sortino 0.36 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 50M (25%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
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 (68%)
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 (72%)
MRmean
neg
CAGR 3.6% | Win 60%
Sharpe 0.57 | Sortino 1.07 | Calmar 0.3
Vol 6% | MDD -10.4%
Months 42M (21%)
CAGR 0.3% | Win 47%
Sharpe 0.08 | Sortino 0.13 | Calmar 0.0
Vol 11% | MDD -11.2%
Months 15M (7%)
CAGR 2.7% | Win 56%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 8% | MDD -18.5%
Months 57M (28%)
LWTI
only
CAGR 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 3.0% | Win 59%
Sharpe 0.41 | Sortino 0.68 | Calmar 0.2
Vol 8% | MDD -14.4%
Months 54M (27%)
CAGR 10.9% | Win 75%
Sharpe 2.45 | Sortino 5.35 | Calmar 7.8
Vol 4% | MDD -1.4%
Months 12M (6%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (32%)
RSmean
only
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (92%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.68 | 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 0.1% | Win 60%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -11.9%
Months 42M (21%)
CAGR 12.2% | Win 67%
Sharpe 1.34 | Sortino 2.32 | Calmar 2.4
Vol 9% | MDD -5.1%
Months 24M (12%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (32%)
MACD
only
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (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 4.6% | Win 65%
Sharpe 0.87 | Sortino 1.48 | Calmar 1.1
Vol 5% | MDD -4.3%
Months 49M (24%)
CAGR 3.8% | Win 53%
Sharpe 0.37 | Sortino 0.76 | Calmar 0.4
Vol 12% | MDD -10.5%
Months 17M (8%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (32%)
RSI
only
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 3.0% | Win 61%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 7% | MDD -14.4%
Months 54M (27%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (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 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (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 (49%)
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 3.2% | Win 60%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 7% | MDD -14.4%
Months 58M (29%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (32%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
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 3.9% | Win 64%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.3
Vol 6% | MDD -11.2%
Months 53M (26%)
CAGR 6.2% | Win 54%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.8
Vol 11% | MDD -7.7%
Months 13M (6%)
CAGR 4.4% | Win 62%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 7% | MDD -14.4%
Months 66M (32%)
LWTI
only
CAGR 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 3.4% | Win 65%
Sharpe 0.66 | Sortino 0.74 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 152M (75%)
CAGR 1.7% | Win 49%
Sharpe 0.23 | Sortino 0.45 | Calmar 0.2
Vol 9% | MDD -8.7%
Months 35M (17%)
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (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 6.88 | Calmar 10.2
Vol 5% | MDD -1.4%
Months 13M (6%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.68 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
MACD
only
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (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 3.8% | Win 64%
Sharpe 0.77 | Sortino 0.96 | Calmar 0.5
Vol 5% | MDD -8.0%
Months 164M (81%)
CAGR -2.3% | Win 48%
Sharpe -0.16 | Sortino -0.33 | Calmar -0.2
Vol 11% | MDD -13.9%
Months 23M (11%)
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (92%)
RSmean
neg
CAGR 17.6% | Win 86%
Sharpe 3.42 | Sortino 5.94 | 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 7.68 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
RSI
only
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 (46%)
CAGR 2.1% | Win 58%
Sharpe 0.37 | Sortino 0.50 | Calmar 0.1
Vol 6% | MDD -18.8%
Months 93M (46%)
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (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 9.2
Vol 4% | MDD -1.4%
Months 13M (6%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.68 | 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 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (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 2.7% | Win 59%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.1
Vol 7% | MDD -18.5%
Months 86M (42%)
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (92%)
RSmean
neg
CAGR 18.4% | Win 86%
Sharpe 2.84 | Sortino 0.00 | Calmar 13.3
Vol 6% | MDD -1.4%
Months 7M (3%)
CAGR 14.1% | Win 78%
Sharpe 3.29 | Sortino 9.28 | Calmar 54.7
Vol 4% | MDD -0.3%
Months 9M (4%)
CAGR 15.9% | Win 81%
Sharpe 3.08 | Sortino 7.68 | 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 (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.5% | Win 64%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 165M (81%)
CAGR -0.4% | Win 50%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 10% | MDD -11.2%
Months 22M (11%)
CAGR 3.1% | Win 62%
Sharpe 0.53 | Sortino 0.69 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 187M (92%)
RSmean
neg
CAGR 14.6% | Win 80%
Sharpe 2.86 | Sortino 7.05 | Calmar 10.5
Vol 5% | MDD -1.4%
Months 15M (7%)
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 7.68 | Calmar 11.5
Vol 5% | MDD -1.4%
Months 16M (8%)
LWTI
only
CAGR 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 4.3% | Win 66%
Sharpe 0.86 | Sortino 1.02 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 150M (74%)
CAGR -11.0% | Win 60%
Sharpe -1.09 | Sortino -2.44 | Calmar -1.4
Vol 10% | MDD -8.0%
Months 5M (2%)
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (76%)
MACD
neg
CAGR 7.9% | Win 64%
Sharpe 1.41 | Sortino 2.95 | 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 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 (42%)
CAGR 2.2% | Win 61%
Sharpe 0.46 | Sortino 0.56 | Calmar 0.1
Vol 5% | MDD -15.6%
Months 69M (34%)
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (76%)
MACD
neg
CAGR 2.9% | Win 46%
Sharpe 0.35 | Sortino 0.95 | Calmar 0.6
Vol 9% | MDD -4.9%
Months 11M (5%)
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 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (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 1.7% | Win 60%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.1
Vol 6% | MDD -13.8%
Months 70M (34%)
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (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 (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 66%
Sharpe 0.75 | Sortino 0.88 | Calmar 0.4
Vol 5% | MDD -8.5%
Months 144M (71%)
CAGR 3.0% | Win 64%
Sharpe 0.45 | Sortino 0.41 | Calmar 0.6
Vol 7% | MDD -5.0%
Months 11M (5%)
CAGR 3.7% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.3
Vol 5% | MDD -13.1%
Months 155M (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 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 4.8% | Win 63%
Sharpe 1.07 | Sortino 1.72 | Calmar 0.5
Vol 4% | MDD -9.4%
Months 87M (43%)
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 (9%)
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 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (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 (48%)
CAGR 5.0% | Win 64%
Sharpe 0.99 | Sortino 1.59 | Calmar 0.7
Vol 5% | MDD -7.5%
Months 80M (39%)
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 (7%)
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 (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 4.7% | Win 66%
Sharpe 0.92 | Sortino 1.16 | Calmar 0.6
Vol 5% | MDD -7.3%
Months 170M (84%)
CAGR 7.8% | Win 62%
Sharpe 1.71 | Sortino 6.52 | Calmar 5.0
Vol 4% | MDD -1.6%
Months 8M (4%)
CAGR 4.8% | Win 66%
Sharpe 0.95 | Sortino 1.21 | Calmar 0.7
Vol 5% | MDD -7.3%
Months 178M (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 (7%)
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 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 (36%)
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 2.4% | Win 58%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.1
Vol 6% | MDD -18.5%
Months 72M (36%)
CAGR 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (52%)
RSIhist
only
CAGR 4.3% | Win 66%
Sharpe 0.79 | Sortino 0.93 | Calmar 0.5
Vol 6% | MDD -8.9%
Months 108M (53%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
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 4.0% | Win 63%
Sharpe 0.87 | Sortino 1.31 | Calmar 0.3
Vol 5% | MDD -12.3%
Months 83M (41%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)
CAGR 3.3% | Win 60%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.2
Vol 6% | MDD -18.8%
Months 106M (52%)
LWTI
only
CAGR 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (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 (48%)
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 (53%)
RSIhist
neg
CAGR 5.0% | Win 63%
Sharpe 0.90 | Sortino 1.51 | Calmar 0.5
Vol 6% | MDD -9.8%
Months 82M (40%)
CAGR -3.7% | Win 46%
Sharpe -0.30 | Sortino -0.45 | Calmar -0.3
Vol 11% | MDD -11.2%
Months 13M (6%)
CAGR 3.8% | Win 61%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 6% | MDD -18.5%
Months 95M (47%)
LWTI
only
CAGR 4.4% | Win 65%
Sharpe 0.83 | Sortino 1.09 | Calmar 0.3
Vol 5% | MDD -12.7%
Months 180M (89%)
CAGR 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.1
Vol 10% | MDD -11.2%
Months 23M (11%)