VCLT - Vanguard Long-Term Corporate Bond Idx Fund ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

24.4%

Best CAGR

56

Total Months

5.0%

Avg CAGR

VCLT 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 VCLT

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 24.4 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.5 24.4 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist pos-neg 21 10.7 18.8 61.9 2.0 7.0 4.4 8.8 -4.2
pair RSIhist SLmean pos-neg 21 10.7 18.8 61.9 2.0 7.0 4.4 8.8 -4.2
pair LWTI MACD pos-neg 19 9.6 16.7 63.2 1.9 4.0 3.6 8.4 -4.6
pair MACD LWTI pos-neg 19 9.6 16.7 63.2 1.9 4.0 3.6 8.4 -4.6
pair RSI LWTI pos-neg 16 8.1 16.2 62.5 1.8 3.6 4.2 8.8 -3.9
pair LWTI RSI pos-neg 16 8.1 16.2 62.5 1.8 3.6 4.2 8.8 -3.9
pair MRmean SLmean neg-pos 6 3.0 15.8 50.0 1.3 4.0 6.4 11.5 -2.5
pair SLmean MRmean neg-pos 6 3.0 15.8 50.0 1.3 4.0 6.4 11.5 -2.5
pair MACD RSIhist neg-neg 24 12.2 14.4 62.5 0.9 1.6 0.9 15.9 -15.3
pair RSIhist MACD neg-neg 24 12.2 14.4 62.5 0.9 1.6 0.9 15.9 -15.3
pair LWTI RSIhist pos-neg 13 6.6 13.8 69.2 1.1 1.8 2.4 12.3 -5.8
pair RSIhist LWTI pos-neg 13 6.6 13.8 69.2 1.1 1.8 2.4 12.3 -5.8
pair RSmean SLmean pos-neg 5 2.5 13.0 40.0 1.1 10.7 16.2 11.3 -0.8
pair SLmean RSmean pos-neg 5 2.5 13.0 40.0 1.1 10.7 16.2 11.3 -0.8
pair SLmean LWTI pos-neg 14 7.1 11.9 64.3 1.0 1.6 1.2 11.4 -10.2
pair LWTI SLmean pos-neg 14 7.1 11.9 64.3 1.0 1.6 1.2 11.4 -10.2
pair MRmean RSIhist pos-neg 33 16.8 11.2 60.6 1.2 2.2 1.2 9.2 -9.5
pair RSIhist MRmean pos-neg 33 16.8 11.2 60.6 1.2 2.2 1.2 9.2 -9.5
pair MACD LWTI neg-pos 40 20.3 10.8 57.5 1.0 2.0 0.9 11.4 -11.5
pair LWTI MACD neg-pos 40 20.3 10.8 57.5 1.0 2.0 0.9 11.4 -11.5
pair MRmean RSmean pos-neg 6 3.0 10.4 33.3 1.0 8.1 12.7 10.2 -0.8
pair RSmean MRmean pos-neg 6 3.0 10.4 33.3 1.0 8.1 12.7 10.2 -0.8
pair MACD SLmean neg-neg 32 16.2 10.2 56.2 0.7 1.3 0.7 15.2 -15.7
pair SLmean MACD neg-neg 32 16.2 10.2 56.2 0.7 1.3 0.7 15.2 -15.7
pair MACDhist MACD neg-neg 39 19.8 10.2 56.4 0.8 1.4 0.7 14.3 -15.3
pair MACD MACDhist neg-neg 39 19.8 10.2 56.4 0.8 1.4 0.7 14.3 -15.3
pair RSI MACDhist neg-pos 12 6.1 10.0 66.7 0.8 1.3 0.9 12.0 -11.2
pair MACDhist RSI neg-pos 12 6.1 10.0 66.7 0.8 1.3 0.9 12.0 -11.2
pair MACD RSI neg-pos 27 13.7 9.6 55.6 1.0 2.1 1.2 9.3 -8.2
pair RSI MACD neg-pos 27 13.7 9.6 55.6 1.0 2.1 1.2 9.3 -8.2
pair MACDhist MRmean pos-neg 46 23.4 9.2 63.0 1.0 1.5 1.0 9.0 -9.2
pair MRmean MACDhist pos-neg 46 23.4 9.2 63.0 1.0 1.5 1.0 9.0 -9.2
pair RSIhist RSmean neg-neg 12 6.1 9.0 66.7 1.0 1.5 2.0 9.2 -4.5
pair RSmean RSIhist neg-neg 12 6.1 9.0 66.7 1.0 1.5 2.0 9.2 -4.5
pair MACDhist MRmean neg-pos 13 6.6 8.8 69.2 0.8 1.4 0.8 11.2 -11.2
pair MRmean MACDhist neg-pos 13 6.6 8.8 69.2 0.8 1.4 0.8 11.2 -11.2
pair MACDhist SLmean pos-neg 42 21.3 8.7 59.5 0.9 1.4 0.7 9.8 -12.9
pair SLmean MACDhist pos-neg 42 21.3 8.7 59.5 0.9 1.4 0.7 9.8 -12.9
pair RSI RSIhist pos-neg 69 35.0 8.7 59.4 0.9 1.7 0.8 9.3 -10.3
pair RSIhist RSI pos-neg 69 35.0 8.7 59.4 0.9 1.7 0.8 9.3 -10.3
pair RSIhist MACDhist pos-neg 24 12.2 8.7 62.5 0.8 1.5 0.9 10.5 -9.5
pair MACDhist RSIhist pos-neg 24 12.2 8.7 62.5 0.8 1.5 0.9 10.5 -9.5
pair MRmean SLmean pos-neg 20 10.2 8.6 65.0 0.9 1.4 1.1 9.3 -7.6
pair SLmean MRmean pos-neg 20 10.2 8.6 65.0 0.9 1.4 1.1 9.3 -7.6
pair SLmean RSIhist neg-pos 13 6.6 8.3 53.8 0.7 1.5 1.1 11.9 -7.4
pair RSIhist SLmean neg-pos 13 6.6 8.3 53.8 0.7 1.5 1.1 11.9 -7.4
pair MRmean LWTI neg-neg 22 11.2 8.3 50.0 0.6 1.0 0.5 15.5 -15.3
pair LWTI MRmean neg-neg 22 11.2 8.3 50.0 0.6 1.0 0.5 15.5 -15.3
pair MRmean MACD neg-neg 28 14.2 8.2 53.6 0.6 1.2 0.5 16.3 -18.3
pair MACD MRmean neg-neg 28 14.2 8.2 53.6 0.6 1.2 0.5 16.3 -18.3
pair LWTI MACDhist neg-neg 32 16.2 8.2 56.2 0.6 1.0 0.5 14.0 -15.3
single LWTI LWTI neg-neg 32 16.2 8.2 56.2 0.6 1.0 0.5 14.0 -15.3
pair MACDhist LWTI neg-neg 32 16.2 8.2 56.2 0.6 1.0 0.5 14.0 -15.3
pair MRmean LWTI pos-neg 10 5.1 8.0 70.0 0.8 0.9 1.0 10.7 -7.9
pair LWTI MRmean pos-neg 10 5.1 8.0 70.0 0.8 0.9 1.0 10.7 -7.9
pair LWTI RSmean pos-neg 31 15.7 7.7 54.8 0.6 1.0 0.5 14.2 -15.3
pair MACD RSmean pos-neg 35 17.8 7.7 54.3 0.6 1.1 0.5 15.4 -15.3
pair RSmean LWTI pos-neg 31 15.7 7.7 54.8 0.6 1.0 0.5 14.2 -15.3
pair RSmean MACD pos-neg 35 17.8 7.7 54.3 0.6 1.1 0.5 15.4 -15.3
pair RSI MACDhist pos-neg 78 39.6 7.5 57.7 0.9 1.5 0.6 8.8 -12.1
pair MACDhist RSI pos-neg 78 39.6 7.5 57.7 0.9 1.5 0.6 8.8 -12.1
pair RSIhist LWTI neg-pos 75 38.1 7.3 62.7 0.7 1.1 0.3 10.8 -21.8
pair LWTI RSIhist neg-pos 75 38.1 7.3 62.7 0.7 1.1 0.3 10.8 -21.8
single MACD MACD neg-neg 53 26.9 7.2 54.7 0.6 1.1 0.5 13.8 -15.3
single RSIhist RSIhist neg-neg 94 47.7 6.8 59.6 0.6 0.9 0.2 11.8 -30.5
pair RSmean RSIhist pos-neg 82 41.6 6.4 58.5 0.6 0.9 0.2 12.1 -30.5
pair RSIhist RSmean pos-neg 82 41.6 6.4 58.5 0.6 0.9 0.2 12.1 -30.5
pair RSI RSIhist neg-pos 14 7.1 6.3 57.1 0.5 1.0 0.7 14.3 -9.4
pair RSIhist RSI neg-pos 14 7.1 6.3 57.1 0.5 1.0 0.7 14.3 -9.4
pair RSmean MACD neg-neg 18 9.1 6.2 55.6 0.6 1.2 0.7 10.3 -9.5
pair MACD RSmean neg-neg 18 9.1 6.2 55.6 0.6 1.2 0.7 10.3 -9.5
pair MRmean MACD pos-neg 25 12.7 6.1 56.0 0.6 1.0 0.7 10.6 -8.2
pair MACDhist RSIhist neg-neg 70 35.5 6.1 58.6 0.6 0.8 0.2 12.2 -30.5
pair MACD MRmean pos-neg 25 12.7 6.1 56.0 0.6 1.0 0.7 10.6 -8.2
pair RSIhist MACDhist neg-neg 70 35.5 6.1 58.6 0.6 0.8 0.2 12.2 -30.5
pair MACDhist SLmean neg-pos 23 11.7 5.9 65.2 0.6 1.0 0.4 11.0 -14.2
pair SLmean MACDhist neg-pos 23 11.7 5.9 65.2 0.6 1.0 0.4 11.0 -14.2
pair RSmean MACDhist pos-neg 90 45.7 5.8 57.8 0.5 0.8 0.2 12.1 -30.9
pair MACDhist RSmean pos-neg 90 45.7 5.8 57.8 0.5 0.8 0.2 12.1 -30.9
pair SLmean RSmean neg-pos 68 34.5 5.6 60.3 0.5 0.8 0.2 12.9 -30.5
single MACDhist MACDhist neg-neg 105 53.3 5.6 57.1 0.5 0.8 0.2 11.6 -31.5
pair RSmean SLmean neg-pos 68 34.5 5.6 60.3 0.5 0.8 0.2 12.9 -30.5
pair SLmean RSI neg-neg 32 16.2 5.5 62.5 0.4 0.7 0.2 16.5 -26.8
pair RSI SLmean neg-neg 32 16.2 5.5 62.5 0.4 0.7 0.2 16.5 -26.8
pair RSmean MRmean neg-pos 55 27.9 5.5 56.4 0.5 0.7 0.2 13.8 -30.5
pair MRmean RSmean neg-pos 55 27.9 5.5 56.4 0.5 0.7 0.2 13.8 -30.5
pair RSI SLmean pos-pos 104 52.8 5.5 59.6 0.6 0.9 0.3 9.3 -21.0
pair SLmean RSI pos-pos 104 52.8 5.5 59.6 0.6 0.9 0.3 9.3 -21.0
pair SLmean LWTI neg-neg 18 9.1 5.4 50.0 0.4 0.7 0.3 16.1 -17.0
pair LWTI SLmean neg-neg 18 9.1 5.4 50.0 0.4 0.7 0.3 16.1 -17.0
pair RSI RSmean pos-pos 143 72.6 5.1 60.1 0.6 0.9 0.3 9.3 -16.9
pair RSmean RSI pos-pos 143 72.6 5.1 60.1 0.6 0.9 0.3 9.3 -16.9
pair MACD SLmean pos-pos 90 45.7 5.1 60.0 0.6 0.8 0.3 9.1 -18.0
pair SLmean MACD pos-pos 90 45.7 5.1 60.0 0.6 0.8 0.3 9.1 -18.0
pair MRmean RSI pos-pos 118 59.9 5.0 60.2 0.6 0.8 0.3 9.2 -16.3
pair RSI MRmean pos-pos 118 59.9 5.0 60.2 0.6 0.8 0.3 9.2 -16.3
pair RSI LWTI neg-pos 23 11.7 5.0 65.2 0.4 0.6 0.2 14.8 -24.0
pair LWTI RSI neg-pos 23 11.7 5.0 65.2 0.4 0.6 0.2 14.8 -24.0
single RSmean RSmean pos-pos 174 88.3 4.8 59.8 0.5 0.7 0.1 11.0 -31.3
single MRmean MRmean pos-pos 125 63.5 4.8 60.0 0.5 0.8 0.3 9.4 -16.0
single RSI RSI pos-pos 158 80.2 4.8 58.2 0.6 0.9 0.3 9.2 -18.5
pair MACDhist RSIhist neg-pos 35 17.8 4.7 54.3 0.5 0.8 0.8 10.5 -6.0
pair RSIhist MACDhist neg-pos 35 17.8 4.7 54.3 0.5 0.8 0.8 10.5 -6.0
single SLmean SLmean pos-pos 111 56.3 4.7 58.6 0.5 0.8 0.2 9.6 -24.1
pair RSI MACD neg-neg 26 13.2 4.7 53.8 0.3 0.8 0.3 17.4 -15.3
pair MACD RSI neg-neg 26 13.2 4.7 53.8 0.3 0.8 0.3 17.4 -15.3
pair MRmean RSmean pos-pos 119 60.4 4.5 61.3 0.5 0.8 0.2 9.4 -20.0
pair RSmean MRmean pos-pos 119 60.4 4.5 61.3 0.5 0.8 0.2 9.4 -20.0
pair benchmark___benchmark_ benchmark-benchmark 197 100.0 4.5 58.4 0.5 0.7 0.1 10.8 -31.8
pair benchmark___benchmark_ benchmark-benchmark 197 100.0 4.5 58.4 0.5 0.7 0.1 10.8 -31.8
pair LWTI MRmean pos-pos 115 58.4 4.5 59.1 0.5 0.8 0.5 9.4 -9.3
pair MRmean LWTI pos-pos 115 58.4 4.5 59.1 0.5 0.8 0.5 9.4 -9.3
pair MACDhist LWTI neg-pos 73 37.1 4.5 57.5 0.5 0.7 0.2 10.5 -21.0
pair LWTI MACDhist neg-pos 73 37.1 4.5 57.5 0.5 0.7 0.2 10.5 -21.0
pair RSIhist LWTI neg-neg 19 9.6 4.5 47.4 0.4 0.6 0.3 15.4 -15.3
pair LWTI RSIhist neg-neg 19 9.6 4.5 47.4 0.4 0.6 0.3 15.4 -15.3
pair MRmean RSIhist neg-neg 61 31.0 4.4 59.0 0.4 0.6 0.1 13.0 -30.5
pair RSIhist MRmean neg-neg 61 31.0 4.4 59.0 0.4 0.6 0.1 13.0 -30.5
pair MACD MRmean pos-pos 100 50.8 4.4 61.0 0.5 0.7 0.3 9.2 -13.1
pair MRmean MACD pos-pos 100 50.8 4.4 61.0 0.5 0.7 0.3 9.2 -13.1
pair SLmean RSmean pos-pos 106 53.8 4.3 59.4 0.5 0.7 0.1 9.5 -27.9
pair RSmean SLmean pos-pos 106 53.8 4.3 59.4 0.5 0.7 0.1 9.5 -27.9
pair MACDhist RSmean neg-neg 15 7.6 4.3 53.3 0.5 1.0 0.5 8.9 -9.1
pair RSmean MACDhist neg-neg 15 7.6 4.3 53.3 0.5 1.0 0.5 8.9 -9.1
pair LWTI RSmean pos-pos 143 72.6 4.2 60.8 0.5 0.7 0.2 10.2 -22.9
pair RSmean LWTI pos-pos 143 72.6 4.2 60.8 0.5 0.7 0.2 10.2 -22.9
single SLmean SLmean neg-neg 86 43.7 4.2 58.1 0.4 0.6 0.1 12.3 -30.5
pair MACD RSIhist pos-neg 70 35.5 4.2 58.6 0.5 0.7 0.2 10.0 -19.9
pair RSIhist MACD pos-neg 70 35.5 4.2 58.6 0.5 0.7 0.2 10.0 -19.9
pair RSmean MACD pos-pos 139 70.6 4.1 61.2 0.5 0.6 0.2 9.6 -24.5
pair MACD RSmean pos-pos 139 70.6 4.1 61.2 0.5 0.6 0.2 9.6 -24.5
pair MRmean RSI neg-pos 40 20.3 4.1 52.5 0.5 0.9 0.3 9.2 -13.4
pair SLmean MRmean pos-pos 105 53.3 4.1 59.0 0.5 0.7 0.2 9.5 -22.2
pair MRmean SLmean pos-pos 105 53.3 4.1 59.0 0.5 0.7 0.2 9.5 -22.2
pair RSI MRmean neg-pos 40 20.3 4.1 52.5 0.5 0.9 0.3 9.2 -13.4
single MRmean MRmean neg-neg 72 36.5 3.9 55.6 0.4 0.6 0.1 12.9 -30.5
pair LWTI SLmean neg-pos 68 34.5 3.9 60.3 0.4 0.6 0.1 11.2 -27.6
pair SLmean LWTI neg-pos 68 34.5 3.9 60.3 0.4 0.6 0.1 11.2 -27.6
pair MACDhist MACD pos-pos 78 39.6 3.9 61.5 0.5 0.7 0.3 9.4 -12.2
pair MACD MACDhist pos-pos 78 39.6 3.9 61.5 0.5 0.7 0.3 9.4 -12.2
pair MACD RSI pos-pos 131 66.5 3.8 58.8 0.5 0.7 0.2 9.2 -15.5
pair RSI MACD pos-pos 131 66.5 3.8 58.8 0.5 0.7 0.2 9.2 -15.5
pair RSI MRmean neg-neg 32 16.2 3.8 59.4 0.3 0.5 0.1 16.6 -26.8
pair MRmean RSI neg-neg 32 16.2 3.8 59.4 0.3 0.5 0.1 16.6 -26.8
single LWTI LWTI pos-pos 165 83.8 3.8 58.8 0.4 0.6 0.1 10.1 -29.2
pair RSmean MACDhist pos-pos 84 42.6 3.7 61.9 0.4 0.6 0.2 9.7 -15.5
pair MACDhist RSmean pos-pos 84 42.6 3.7 61.9 0.4 0.6 0.2 9.7 -15.5
pair LWTI SLmean pos-pos 97 49.2 3.7 57.7 0.4 0.6 0.2 9.3 -15.6
pair SLmean LWTI pos-pos 97 49.2 3.7 57.7 0.4 0.6 0.2 9.3 -15.6
pair SLmean MACDhist neg-neg 63 32.0 3.6 55.6 0.3 0.5 0.1 12.8 -30.5
pair RSmean RSI pos-neg 31 15.7 3.6 58.1 0.3 0.5 0.1 16.9 -26.8
pair RSI RSmean pos-neg 31 15.7 3.6 58.1 0.3 0.5 0.1 16.9 -26.8
pair RSI LWTI pos-pos 142 72.1 3.6 57.7 0.4 0.7 0.2 9.2 -18.5
pair LWTI RSI pos-pos 142 72.1 3.6 57.7 0.4 0.7 0.2 9.2 -18.5
pair MACDhist SLmean neg-neg 63 32.0 3.6 55.6 0.3 0.5 0.1 12.8 -30.5
pair RSI SLmean neg-pos 54 27.4 3.5 55.6 0.4 0.7 0.2 9.0 -15.0
pair SLmean RSIhist neg-neg 73 37.1 3.5 58.9 0.3 0.5 0.1 12.4 -30.5
pair RSIhist SLmean neg-neg 73 37.1 3.5 58.9 0.3 0.5 0.1 12.4 -30.5
pair SLmean RSI neg-pos 54 27.4 3.5 55.6 0.4 0.7 0.2 9.0 -15.0
single MACD MACD pos-pos 144 73.1 3.5 59.7 0.4 0.6 0.1 9.5 -25.1
pair RSmean RSIhist pos-pos 92 46.7 3.4 60.9 0.4 0.6 0.2 9.8 -20.2
pair RSIhist RSmean pos-pos 92 46.7 3.4 60.9 0.4 0.6 0.2 9.8 -20.2
pair LWTI MACDhist pos-pos 92 46.7 3.2 59.8 0.4 0.6 0.2 9.8 -17.0
pair MACDhist LWTI pos-pos 92 46.7 3.2 59.8 0.4 0.6 0.2 9.8 -17.0
single MACDhist MACDhist pos-pos 92 46.7 3.2 59.8 0.4 0.6 0.2 9.8 -17.0
single RSI RSI neg-neg 39 19.8 3.2 59.0 0.3 0.5 0.1 15.9 -26.8
pair MACD MACDhist pos-neg 66 33.5 3.0 57.6 0.3 0.5 0.1 9.8 -21.0
pair MACDhist MACD pos-neg 66 33.5 3.0 57.6 0.3 0.5 0.1 9.8 -21.0
pair MRmean MACDhist neg-neg 59 29.9 2.9 52.5 0.3 0.5 0.1 13.3 -30.5
pair MACDhist MRmean neg-neg 59 29.9 2.9 52.5 0.3 0.5 0.1 13.3 -30.5
pair SLmean MRmean neg-neg 66 33.5 2.9 56.1 0.3 0.5 0.1 13.1 -30.5
pair MRmean SLmean neg-neg 66 33.5 2.9 56.1 0.3 0.5 0.1 13.1 -30.5
pair SLmean MACD pos-neg 21 10.7 2.8 52.4 0.3 0.5 0.2 11.5 -12.2
pair MACD SLmean pos-neg 21 10.7 2.8 52.4 0.3 0.5 0.2 11.5 -12.2
pair RSIhist MACD pos-pos 74 37.6 2.8 60.8 0.3 0.5 0.1 9.1 -23.4
pair MACD RSIhist pos-pos 74 37.6 2.8 60.8 0.3 0.5 0.1 9.1 -23.4
pair RSIhist MRmean pos-pos 92 46.7 2.6 59.8 0.3 0.4 0.1 9.5 -24.9
pair MRmean RSIhist pos-pos 92 46.7 2.6 59.8 0.3 0.4 0.1 9.5 -24.9
single RSIhist RSIhist pos-pos 103 52.3 2.4 57.3 0.3 0.4 0.1 9.9 -20.8
pair MACDhist SLmean pos-pos 69 35.0 2.3 58.0 0.3 0.4 0.1 9.5 -14.8
pair MRmean MACDhist pos-pos 79 40.1 2.3 58.2 0.3 0.4 0.2 9.6 -9.5
pair MACDhist MRmean pos-pos 79 40.1 2.3 58.2 0.3 0.4 0.2 9.6 -9.5
pair SLmean MACDhist pos-pos 69 35.0 2.3 58.0 0.3 0.4 0.1 9.5 -14.8
pair RSI MACDhist pos-pos 80 40.6 2.2 58.8 0.3 0.4 0.1 9.5 -18.0
pair MACDhist RSI pos-pos 80 40.6 2.2 58.8 0.3 0.4 0.1 9.5 -18.0
pair LWTI MRmean neg-pos 50 25.4 2.1 58.0 0.2 0.4 0.1 11.7 -27.6
pair MRmean LWTI neg-pos 50 25.4 2.1 58.0 0.2 0.4 0.1 11.7 -27.6
single RSmean RSmean neg-neg 23 11.7 2.0 47.8 0.2 0.4 0.1 9.8 -14.2
pair RSmean RSI neg-pos 15 7.6 2.0 40.0 0.3 0.5 0.2 8.6 -10.1
pair RSI RSmean neg-pos 15 7.6 2.0 40.0 0.3 0.5 0.2 8.6 -10.1
pair RSI RSmean neg-neg 8 4.1 1.8 62.5 0.2 0.3 0.2 12.3 -7.4
pair RSmean RSI neg-neg 8 4.1 1.8 62.5 0.2 0.3 0.2 12.3 -7.4
pair RSI RSIhist pos-pos 89 45.2 1.8 57.3 0.2 0.3 0.1 9.1 -26.2
pair RSIhist RSI pos-pos 89 45.2 1.8 57.3 0.2 0.3 0.1 9.1 -26.2
pair RSIhist SLmean pos-pos 90 45.7 1.6 57.8 0.2 0.3 0.1 9.6 -30.0
pair SLmean RSIhist pos-pos 90 45.7 1.6 57.8 0.2 0.3 0.1 9.6 -30.0
pair MACD RSIhist neg-pos 29 14.7 1.6 48.3 0.2 0.4 0.2 11.8 -9.4
pair RSIhist MACD neg-pos 29 14.7 1.6 48.3 0.2 0.4 0.2 11.8 -9.4
pair MACD LWTI pos-pos 125 63.5 1.6 59.2 0.2 0.3 0.1 9.6 -25.1
pair LWTI MACD pos-pos 125 63.5 1.6 59.2 0.2 0.3 0.1 9.6 -25.1
pair RSI RSIhist neg-neg 25 12.7 1.5 60.0 0.2 0.3 0.1 17.0 -26.8
pair RSIhist RSI neg-neg 25 12.7 1.5 60.0 0.2 0.3 0.1 17.0 -26.8
pair MRmean MACD neg-pos 44 22.3 1.3 56.8 0.2 0.2 0.1 10.3 -19.9
pair MACD MRmean neg-pos 44 22.3 1.3 56.8 0.2 0.2 0.1 10.3 -19.9
pair MRmean RSIhist neg-pos 11 5.6 1.3 36.4 0.2 0.4 0.2 13.1 -7.4
pair RSIhist MRmean neg-pos 11 5.6 1.3 36.4 0.2 0.4 0.2 13.1 -7.4
pair RSIhist MACDhist pos-pos 68 34.5 1.3 58.8 0.2 0.2 0.1 9.6 -22.1
pair MACDhist RSIhist pos-pos 68 34.5 1.3 58.8 0.2 0.2 0.1 9.6 -22.1
pair RSmean LWTI neg-pos 22 11.2 1.1 45.5 0.1 0.3 0.1 9.9 -15.8
pair LWTI RSmean neg-pos 22 11.2 1.1 45.5 0.1 0.3 0.1 9.9 -15.8
pair LWTI RSIhist pos-pos 90 45.7 0.9 55.6 0.1 0.2 0.0 9.5 -23.1
pair RSIhist LWTI pos-pos 90 45.7 0.9 55.6 0.1 0.2 0.0 9.5 -23.1
pair MACD SLmean neg-pos 54 27.4 0.8 59.3 0.1 0.2 0.0 10.2 -19.9
pair SLmean MACD neg-pos 54 27.4 0.8 59.3 0.1 0.2 0.0 10.2 -19.9
pair LWTI RSI neg-neg 16 8.1 0.7 50.0 0.1 0.2 0.0 17.9 -15.3
pair RSI LWTI neg-neg 16 8.1 0.7 50.0 0.1 0.2 0.0 17.9 -15.3
pair MRmean RSI pos-neg 7 3.6 0.6 57.1 0.1 0.1 0.2 13.6 -3.1
pair RSI MRmean pos-neg 7 3.6 0.6 57.1 0.1 0.1 0.2 13.6 -3.1
pair RSI MACDhist neg-neg 27 13.7 0.3 55.6 0.1 0.2 0.0 17.5 -26.8
pair MACDhist RSI neg-neg 27 13.7 0.3 55.6 0.1 0.2 0.0 17.5 -26.8
pair MACD RSI pos-neg 13 6.6 0.2 69.2 0.1 0.1 0.0 13.0 -15.7
pair RSI MACD pos-neg 13 6.6 0.2 69.2 0.1 0.1 0.0 13.0 -15.7
pair MACD MACDhist neg-pos 14 7.1 -0.8 50.0 -0.0 -0.0 -0.1 12.3 -11.3
pair MACDhist MACD neg-pos 14 7.1 -0.8 50.0 -0.0 -0.0 -0.1 12.3 -11.3
pair MRmean RSmean neg-neg 17 8.6 -0.9 52.9 -0.0 -0.1 -0.1 9.8 -13.5
pair RSmean MRmean neg-neg 17 8.6 -0.9 52.9 -0.0 -0.1 -0.1 9.8 -13.5
pair RSmean SLmean neg-neg 18 9.1 -0.9 50.0 -0.1 -0.1 -0.1 9.5 -13.6
pair SLmean RSmean neg-neg 18 9.1 -0.9 50.0 -0.1 -0.1 -0.1 9.5 -13.6
pair MACDhist RSmean neg-pos 8 4.1 -2.3 37.5 -0.1 -0.2 -0.4 11.8 -5.4
pair RSmean MACDhist neg-pos 8 4.1 -2.3 37.5 -0.1 -0.2 -0.4 11.8 -5.4
pair LWTI MACD neg-neg 13 6.6 -3.2 46.2 -0.1 -0.2 -0.2 19.7 -15.3
pair MACD LWTI neg-neg 13 6.6 -3.2 46.2 -0.1 -0.2 -0.2 19.7 -15.3
pair RSIhist RSmean neg-pos 11 5.6 -5.2 27.3 -0.5 -0.8 -0.6 10.4 -8.6
pair RSmean RSIhist neg-pos 11 5.6 -5.2 27.3 -0.5 -0.8 -0.6 10.4 -8.6
pair RSI SLmean pos-neg 7 3.6 -6.8 42.9 -0.5 -0.8 -0.8 13.7 -8.1
pair SLmean RSI pos-neg 7 3.6 -6.8 42.9 -0.5 -0.8 -0.8 13.7 -8.1
pair MACD RSmean neg-pos 5 2.5 -12.0 20.0 -1.9 -1.8 -10.5 6.7 -1.1
pair RSmean MACD neg-pos 5 2.5 -12.0 20.0 -1.9 -1.8 -10.5 6.7 -1.1

All Contingency Tables for VCLT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 59%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.2
Vol 10% | MDD -22.2%
Months 105M (53%)
CAGR 8.6% | Win 65%
Sharpe 0.94 | Sortino 1.44 | Calmar 1.1
Vol 9% | MDD -7.6%
Months 20M (10%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 15.8% | Win 50%
Sharpe 1.33 | Sortino 3.96 | Calmar 6.4
Vol 12% | MDD -2.5%
Months 6M (3%)
CAGR 2.9% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 66M (34%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
SLmean
only
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 61%
Sharpe 0.51 | Sortino 0.75 | Calmar 0.2
Vol 9% | MDD -20.0%
Months 119M (60%)
CAGR 10.4% | Win 33%
Sharpe 1.01 | Sortino 8.05 | Calmar 12.7
Vol 10% | MDD -0.8%
Months 6M (3%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 5.5% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 14% | MDD -30.5%
Months 55M (28%)
CAGR -0.9% | Win 53%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 10% | MDD -13.5%
Months 17M (9%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
RSmean
only
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.3
Vol 9% | MDD -13.1%
Months 100M (51%)
CAGR 6.1% | Win 56%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.7
Vol 11% | MDD -8.2%
Months 25M (13%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 1.3% | Win 57%
Sharpe 0.18 | Sortino 0.23 | Calmar 0.1
Vol 10% | MDD -19.9%
Months 44M (22%)
CAGR 8.2% | Win 54%
Sharpe 0.56 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -18.3%
Months 28M (14%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
MACD
only
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.0% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 9% | MDD -16.3%
Months 118M (60%)
CAGR 0.6% | Win 57%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.2
Vol 14% | MDD -3.1%
Months 7M (4%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 4.1% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.3
Vol 9% | MDD -13.4%
Months 40M (20%)
CAGR 3.8% | Win 59%
Sharpe 0.30 | Sortino 0.54 | Calmar 0.1
Vol 17% | MDD -26.8%
Months 32M (16%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
RSI
only
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.3% | Win 58%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.2
Vol 10% | MDD -9.5%
Months 79M (40%)
CAGR 9.2% | Win 63%
Sharpe 1.02 | Sortino 1.48 | Calmar 1.0
Vol 9% | MDD -9.2%
Months 46M (23%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 8.8% | Win 69%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.8
Vol 11% | MDD -11.2%
Months 13M (7%)
CAGR 2.9% | Win 52%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 59M (30%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
MACDhist
only
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.6% | Win 60%
Sharpe 0.31 | Sortino 0.43 | Calmar 0.1
Vol 10% | MDD -24.9%
Months 92M (47%)
CAGR 11.2% | Win 61%
Sharpe 1.20 | Sortino 2.25 | Calmar 1.2
Vol 9% | MDD -9.5%
Months 33M (17%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 1.3% | Win 36%
Sharpe 0.16 | Sortino 0.38 | Calmar 0.2
Vol 13% | MDD -7.4%
Months 11M (6%)
CAGR 4.4% | Win 59%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 61M (31%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 59%
Sharpe 0.52 | Sortino 0.77 | Calmar 0.5
Vol 9% | MDD -9.3%
Months 115M (58%)
CAGR 8.0% | Win 70%
Sharpe 0.77 | Sortino 0.89 | Calmar 1.0
Vol 11% | MDD -7.9%
Months 10M (5%)
CAGR 4.8% | Win 60%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.3
Vol 9% | MDD -16.0%
Months 125M (64%)
MRmean
neg
CAGR 2.1% | Win 58%
Sharpe 0.23 | Sortino 0.36 | Calmar 0.1
Vol 12% | MDD -27.6%
Months 50M (25%)
CAGR 8.3% | Win 50%
Sharpe 0.59 | Sortino 1.02 | Calmar 0.5
Vol 16% | MDD -15.3%
Months 22M (11%)
CAGR 3.9% | Win 56%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 72M (36%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 4.3% | Win 59%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.2
Vol 10% | MDD -27.9%
Months 106M (54%)
CAGR 13.0% | Win 40%
Sharpe 1.13 | Sortino 10.68 | Calmar 16.2
Vol 11% | MDD -0.8%
Months 5M (2%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 5.6% | Win 60%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -30.5%
Months 68M (34%)
CAGR -0.9% | Win 50%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 10% | MDD -13.6%
Months 18M (9%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
RSmean
only
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 60%
Sharpe 0.59 | Sortino 0.83 | Calmar 0.3
Vol 9% | MDD -18.0%
Months 90M (46%)
CAGR 2.8% | Win 52%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.2
Vol 12% | MDD -12.2%
Months 21M (11%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 0.8% | Win 59%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 10% | MDD -19.9%
Months 54M (27%)
CAGR 10.2% | Win 56%
Sharpe 0.71 | Sortino 1.33 | Calmar 0.7
Vol 15% | MDD -15.7%
Months 32M (16%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
MACD
only
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.5% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 9% | MDD -21.0%
Months 104M (53%)
CAGR -6.8% | Win 43%
Sharpe -0.45 | Sortino -0.79 | Calmar -0.8
Vol 14% | MDD -8.1%
Months 7M (4%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 3.5% | Win 56%
Sharpe 0.42 | Sortino 0.73 | Calmar 0.2
Vol 9% | MDD -15.0%
Months 54M (27%)
CAGR 5.5% | Win 62%
Sharpe 0.41 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -26.8%
Months 32M (16%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
RSI
only
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 2.3% | Win 58%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.2
Vol 10% | MDD -14.8%
Months 69M (35%)
CAGR 8.7% | Win 60%
Sharpe 0.91 | Sortino 1.41 | Calmar 0.7
Vol 10% | MDD -12.9%
Months 42M (21%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 5.9% | Win 65%
Sharpe 0.58 | Sortino 1.01 | Calmar 0.4
Vol 11% | MDD -14.2%
Months 23M (12%)
CAGR 3.6% | Win 56%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 13% | MDD -30.5%
Months 63M (32%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
MACDhist
only
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 1.6% | Win 58%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 10% | MDD -30.0%
Months 90M (46%)
CAGR 18.8% | Win 62%
Sharpe 2.00 | Sortino 7.01 | Calmar 4.4
Vol 9% | MDD -4.2%
Months 21M (11%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 8.3% | Win 54%
Sharpe 0.73 | Sortino 1.46 | Calmar 1.1
Vol 12% | MDD -7.4%
Months 13M (7%)
CAGR 3.5% | Win 59%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 73M (37%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.7% | Win 58%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 9% | MDD -15.6%
Months 97M (49%)
CAGR 11.9% | Win 64%
Sharpe 1.04 | Sortino 1.63 | Calmar 1.2
Vol 11% | MDD -10.2%
Months 14M (7%)
CAGR 4.7% | Win 59%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 10% | MDD -24.1%
Months 111M (56%)
SLmean
neg
CAGR 3.9% | Win 60%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.1
Vol 11% | MDD -27.6%
Months 68M (34%)
CAGR 5.4% | Win 50%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.3
Vol 16% | MDD -17.0%
Months 18M (9%)
CAGR 4.2% | Win 58%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.1
Vol 12% | MDD -30.5%
Months 86M (44%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.1% | Win 61%
Sharpe 0.47 | Sortino 0.64 | Calmar 0.2
Vol 10% | MDD -24.5%
Months 139M (71%)
CAGR 7.7% | Win 54%
Sharpe 0.56 | Sortino 1.09 | Calmar 0.5
Vol 15% | MDD -15.3%
Months 35M (18%)
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
RSmean
neg
CAGR -12.0% | Win 20%
Sharpe -1.88 | Sortino -1.78 | Calmar -10.5
Vol 7% | MDD -1.1%
Months 5M (2%)
CAGR 6.2% | Win 56%
Sharpe 0.64 | Sortino 1.25 | Calmar 0.7
Vol 10% | MDD -9.5%
Months 18M (9%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
MACD
only
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.1% | Win 60%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.3
Vol 9% | MDD -16.9%
Months 143M (73%)
CAGR 3.6% | Win 58%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.1
Vol 17% | MDD -26.8%
Months 31M (16%)
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
RSmean
neg
CAGR 2.0% | Win 40%
Sharpe 0.27 | Sortino 0.51 | Calmar 0.2
Vol 9% | MDD -10.1%
Months 15M (8%)
CAGR 1.8% | Win 62%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.2
Vol 12% | MDD -7.4%
Months 8M (4%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
RSI
only
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 62%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 10% | MDD -15.5%
Months 84M (43%)
CAGR 5.8% | Win 58%
Sharpe 0.53 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -30.9%
Months 90M (46%)
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
RSmean
neg
CAGR -2.3% | Win 38%
Sharpe -0.15 | Sortino -0.23 | Calmar -0.4
Vol 12% | MDD -5.4%
Months 8M (4%)
CAGR 4.3% | Win 53%
Sharpe 0.52 | Sortino 1.04 | Calmar 0.5
Vol 9% | MDD -9.1%
Months 15M (8%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
MACDhist
only
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.4% | Win 61%
Sharpe 0.39 | Sortino 0.56 | Calmar 0.2
Vol 10% | MDD -20.2%
Months 92M (47%)
CAGR 6.4% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 82M (42%)
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
RSmean
neg
CAGR -5.2% | Win 27%
Sharpe -0.47 | Sortino -0.84 | Calmar -0.6
Vol 10% | MDD -8.6%
Months 11M (6%)
CAGR 9.0% | Win 67%
Sharpe 0.99 | Sortino 1.46 | Calmar 2.0
Vol 9% | MDD -4.5%
Months 12M (6%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.2% | Win 61%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.2
Vol 10% | MDD -22.9%
Months 143M (73%)
CAGR 7.7% | Win 55%
Sharpe 0.59 | Sortino 0.97 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 31M (16%)
CAGR 4.8% | Win 60%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 11% | MDD -31.3%
Months 174M (88%)
RSmean
neg
CAGR 1.1% | Win 46%
Sharpe 0.15 | Sortino 0.27 | Calmar 0.1
Vol 10% | MDD -15.8%
Months 22M (11%)
CAGR 24.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 2.0% | Win 48%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 10% | MDD -14.2%
Months 23M (12%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 59%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.2
Vol 9% | MDD -15.5%
Months 131M (66%)
CAGR 0.2% | Win 69%
Sharpe 0.08 | Sortino 0.07 | Calmar 0.0
Vol 13% | MDD -15.7%
Months 13M (7%)
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
MACD
neg
CAGR 9.6% | Win 56%
Sharpe 1.04 | Sortino 2.07 | Calmar 1.2
Vol 9% | MDD -8.2%
Months 27M (14%)
CAGR 4.7% | Win 54%
Sharpe 0.35 | Sortino 0.76 | Calmar 0.3
Vol 17% | MDD -15.3%
Months 26M (13%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
RSI
only
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 62%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.3
Vol 9% | MDD -12.2%
Months 78M (40%)
CAGR 3.0% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 10% | MDD -21.0%
Months 66M (34%)
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
MACD
neg
CAGR -0.8% | Win 50%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 12% | MDD -11.3%
Months 14M (7%)
CAGR 10.2% | Win 56%
Sharpe 0.75 | Sortino 1.41 | Calmar 0.7
Vol 14% | MDD -15.3%
Months 39M (20%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
MACDhist
only
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 2.8% | Win 61%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 9% | MDD -23.4%
Months 74M (38%)
CAGR 4.2% | Win 59%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 10% | MDD -19.9%
Months 70M (36%)
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
MACD
neg
CAGR 1.6% | Win 48%
Sharpe 0.19 | Sortino 0.36 | Calmar 0.2
Vol 12% | MDD -9.4%
Months 29M (15%)
CAGR 14.4% | Win 62%
Sharpe 0.93 | Sortino 1.62 | Calmar 0.9
Vol 16% | MDD -15.3%
Months 24M (12%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.6% | Win 59%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 125M (64%)
CAGR 16.7% | Win 63%
Sharpe 1.90 | Sortino 4.01 | Calmar 3.6
Vol 8% | MDD -4.6%
Months 19M (10%)
CAGR 3.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 10% | MDD -25.1%
Months 144M (73%)
MACD
neg
CAGR 10.8% | Win 57%
Sharpe 0.96 | Sortino 2.00 | Calmar 0.9
Vol 11% | MDD -11.5%
Months 40M (20%)
CAGR -3.2% | Win 46%
Sharpe -0.08 | Sortino -0.19 | Calmar -0.2
Vol 20% | MDD -15.3%
Months 13M (7%)
CAGR 7.2% | Win 55%
Sharpe 0.57 | Sortino 1.08 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 53M (27%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 2.2% | Win 59%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 10% | MDD -18.0%
Months 80M (41%)
CAGR 7.5% | Win 58%
Sharpe 0.87 | Sortino 1.47 | Calmar 0.6
Vol 9% | MDD -12.1%
Months 78M (40%)
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
RSI
neg
CAGR 10.0% | Win 67%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.9
Vol 12% | MDD -11.2%
Months 12M (6%)
CAGR 0.3% | Win 56%
Sharpe 0.10 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -26.8%
Months 27M (14%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
MACDhist
only
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.8% | Win 57%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 9% | MDD -26.2%
Months 89M (45%)
CAGR 8.7% | Win 59%
Sharpe 0.95 | Sortino 1.72 | Calmar 0.8
Vol 9% | MDD -10.3%
Months 69M (35%)
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
RSI
neg
CAGR 6.3% | Win 57%
Sharpe 0.49 | Sortino 0.96 | Calmar 0.7
Vol 14% | MDD -9.4%
Months 14M (7%)
CAGR 1.5% | Win 60%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.1
Vol 17% | MDD -26.8%
Months 25M (13%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.6% | Win 58%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 9% | MDD -18.5%
Months 142M (72%)
CAGR 16.2% | Win 62%
Sharpe 1.76 | Sortino 3.59 | Calmar 4.2
Vol 9% | MDD -3.9%
Months 16M (8%)
CAGR 4.8% | Win 58%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.3
Vol 9% | MDD -18.5%
Months 158M (80%)
RSI
neg
CAGR 5.0% | Win 65%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.2
Vol 15% | MDD -24.0%
Months 23M (12%)
CAGR 0.7% | Win 50%
Sharpe 0.12 | Sortino 0.25 | Calmar 0.0
Vol 18% | MDD -15.3%
Months 16M (8%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 16% | MDD -26.8%
Months 39M (20%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 1.3% | Win 59%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.1
Vol 10% | MDD -22.1%
Months 68M (34%)
CAGR 8.7% | Win 62%
Sharpe 0.84 | Sortino 1.54 | Calmar 0.9
Vol 10% | MDD -9.5%
Months 24M (12%)
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
MACDhist
neg
CAGR 4.7% | Win 54%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.8
Vol 10% | MDD -6.0%
Months 35M (18%)
CAGR 6.1% | Win 59%
Sharpe 0.55 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 70M (36%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
RSIhist
only
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
-
CAGR 3.2% | Win 60%
Sharpe 0.37 | Sortino 0.55 | Calmar 0.2
Vol 10% | MDD -17.0%
Months 92M (47%)
MACDhist
neg
CAGR 4.5% | Win 57%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 10% | MDD -21.0%
Months 73M (37%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
CAGR 5.6% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -31.5%
Months 105M (53%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 0.9% | Win 56%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 10% | MDD -23.1%
Months 90M (46%)
CAGR 13.8% | Win 69%
Sharpe 1.11 | Sortino 1.79 | Calmar 2.4
Vol 12% | MDD -5.8%
Months 13M (7%)
CAGR 2.4% | Win 57%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 10% | MDD -20.8%
Months 103M (52%)
RSIhist
neg
CAGR 7.3% | Win 63%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.3
Vol 11% | MDD -21.8%
Months 75M (38%)
CAGR 4.5% | Win 47%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.3
Vol 15% | MDD -15.3%
Months 19M (10%)
CAGR 6.8% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -30.5%
Months 94M (48%)
LWTI
only
CAGR 3.8% | Win 59%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.1
Vol 10% | MDD -29.2%
Months 165M (84%)
CAGR 8.2% | Win 56%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.5
Vol 14% | MDD -15.3%
Months 32M (16%)