VGIT - Vanguard Intermediate-Term Treasury Index Fd ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

35.5%

Best CAGR

56

Total Months

2.7%

Avg CAGR

VGIT 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 VGIT

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 2 1.0 35.5 100.0 12.5 0.0 0.0 2.5 0.0
pair RSmean LWTI neg-neg 2 1.0 35.5 100.0 12.5 0.0 0.0 2.5 0.0
pair RSmean MRmean pos-neg 3 1.5 25.3 100.0 8.0 0.0 0.0 2.9 0.0
pair MRmean RSmean pos-neg 3 1.5 25.3 100.0 8.0 0.0 0.0 2.9 0.0
pair MACDhist RSmean neg-pos 2 1.0 24.1 100.0 5.5 0.0 0.0 4.0 0.0
pair RSmean MACDhist neg-pos 2 1.0 24.1 100.0 5.5 0.0 0.0 4.0 0.0
pair RSmean SLmean pos-neg 4 2.0 22.2 100.0 7.3 0.0 0.0 2.8 0.0
pair SLmean RSmean pos-neg 4 2.0 22.2 100.0 7.3 0.0 0.0 2.8 0.0
pair RSIhist RSmean neg-pos 8 4.1 15.1 87.5 3.0 0.0 14.2 4.7 -1.1
pair RSmean RSIhist neg-pos 8 4.1 15.1 87.5 3.0 0.0 14.2 4.7 -1.1
pair RSmean MACD neg-neg 16 8.1 11.8 81.2 2.1 2.9 11.1 5.3 -1.1
pair MACD RSmean neg-neg 16 8.1 11.8 81.2 2.1 2.9 11.1 5.3 -1.1
pair RSI RSmean neg-neg 8 4.1 10.1 75.0 1.5 1.9 14.6 6.6 -0.7
pair RSmean RSI neg-neg 8 4.1 10.1 75.0 1.5 1.9 14.6 6.6 -0.7
single RSmean RSmean neg-neg 18 9.1 10.1 77.8 1.8 3.0 4.0 5.4 -2.5
pair RSmean RSI neg-pos 10 5.1 10.0 80.0 2.2 9.4 4.0 4.5 -2.5
pair RSI RSmean neg-pos 10 5.1 10.0 80.0 2.2 9.4 4.0 4.5 -2.5
pair RSmean MACDhist neg-neg 16 8.1 8.4 75.0 1.5 2.5 3.3 5.5 -2.5
pair MACDhist RSmean neg-neg 16 8.1 8.4 75.0 1.5 2.5 3.3 5.5 -2.5
pair MACD RSI neg-pos 26 13.2 8.3 69.2 1.8 3.9 2.4 4.4 -3.5
pair RSI MACD neg-pos 26 13.2 8.3 69.2 1.8 3.9 2.4 4.4 -3.5
pair RSmean MRmean neg-neg 15 7.6 7.3 73.3 1.3 2.2 2.9 5.5 -2.5
pair MRmean RSmean neg-neg 15 7.6 7.3 73.3 1.3 2.2 2.9 5.5 -2.5
pair RSmean LWTI neg-pos 16 8.1 7.2 75.0 1.4 2.2 2.9 5.2 -2.5
pair LWTI RSmean neg-pos 16 8.1 7.2 75.0 1.4 2.2 2.9 5.2 -2.5
pair SLmean RSmean neg-neg 14 7.1 6.8 71.4 1.2 2.1 2.7 5.7 -2.5
pair RSmean SLmean neg-neg 14 7.1 6.8 71.4 1.2 2.1 2.7 5.7 -2.5
pair MRmean MACD pos-neg 24 12.2 6.3 66.7 1.3 2.8 2.1 4.9 -3.0
pair MACD MRmean pos-neg 24 12.2 6.3 66.7 1.3 2.8 2.1 4.9 -3.0
pair MACD LWTI neg-pos 39 19.8 6.2 64.1 1.2 2.1 1.8 5.0 -3.5
pair LWTI MACD neg-pos 39 19.8 6.2 64.1 1.2 2.1 1.8 5.0 -3.5
pair RSmean RSIhist neg-neg 10 5.1 6.2 70.0 1.1 1.6 4.2 5.9 -1.5
pair RSIhist RSmean neg-neg 10 5.1 6.2 70.0 1.1 1.6 4.2 5.9 -1.5
pair SLmean MACD neg-neg 36 18.3 5.3 58.3 1.0 1.6 1.3 5.2 -4.0
pair MACD SLmean neg-neg 36 18.3 5.3 58.3 1.0 1.6 1.3 5.2 -4.0
pair MACD RSIhist neg-neg 29 14.7 5.2 62.1 0.9 1.2 0.8 5.6 -6.7
pair RSIhist MACD neg-neg 29 14.7 5.2 62.1 0.9 1.2 0.8 5.6 -6.7
pair MACD MACDhist neg-neg 46 23.4 5.0 60.9 0.9 1.4 0.7 5.5 -6.7
pair MACDhist MACD neg-neg 46 23.4 5.0 60.9 0.9 1.4 0.7 5.5 -6.7
single MACD MACD neg-neg 60 30.5 4.1 58.3 0.8 1.3 0.6 5.4 -6.7
pair SLmean MACDhist pos-pos 70 35.5 3.8 52.9 0.9 1.8 1.1 4.0 -3.5
pair MACDhist SLmean pos-pos 70 35.5 3.8 52.9 0.9 1.8 1.1 4.0 -3.5
pair LWTI SLmean pos-pos 93 47.2 3.7 53.8 0.9 1.8 1.1 4.0 -3.5
pair SLmean LWTI pos-pos 93 47.2 3.7 53.8 0.9 1.8 1.1 4.0 -3.5
pair LWTI RSIhist neg-pos 59 29.9 3.6 62.7 0.9 1.4 0.8 4.0 -4.3
pair RSIhist LWTI neg-pos 59 29.9 3.6 62.7 0.9 1.4 0.8 4.0 -4.3
pair RSI MACDhist pos-pos 74 37.6 3.5 54.1 0.9 1.6 0.9 3.9 -3.8
pair MACDhist RSI pos-pos 74 37.6 3.5 54.1 0.9 1.6 0.9 3.9 -3.8
pair LWTI MRmean pos-pos 112 56.9 3.4 54.5 0.9 1.5 0.7 4.0 -5.2
pair MRmean LWTI pos-pos 112 56.9 3.4 54.5 0.9 1.5 0.7 4.0 -5.2
pair LWTI RSI pos-pos 130 66.0 3.4 56.2 0.9 1.6 0.7 3.8 -4.8
pair RSI LWTI pos-pos 130 66.0 3.4 56.2 0.9 1.6 0.7 3.8 -4.8
pair MRmean MACDhist pos-pos 78 39.6 3.3 53.8 0.8 1.4 0.9 4.0 -3.8
pair MACDhist MRmean pos-pos 78 39.6 3.3 53.8 0.8 1.4 0.9 4.0 -3.8
pair MACDhist MACD pos-pos 70 35.5 3.3 52.9 0.9 1.5 0.9 3.8 -3.8
pair MACD MACDhist pos-pos 70 35.5 3.3 52.9 0.9 1.5 0.9 3.8 -3.8
pair RSI SLmean pos-pos 102 51.8 3.2 52.0 0.9 1.7 0.9 3.8 -3.8
pair SLmean RSI pos-pos 102 51.8 3.2 52.0 0.9 1.7 0.9 3.8 -3.8
pair RSIhist MACD neg-pos 31 15.7 3.2 54.8 0.6 1.3 0.7 5.2 -4.3
single LWTI LWTI pos-pos 151 76.6 3.2 55.6 0.8 1.4 0.6 4.0 -5.3
pair MACDhist LWTI pos-pos 83 42.1 3.2 53.0 0.8 1.4 0.8 4.0 -4.0
pair LWTI MACDhist pos-pos 83 42.1 3.2 53.0 0.8 1.4 0.8 4.0 -4.0
pair MACD RSIhist neg-pos 31 15.7 3.2 54.8 0.6 1.3 0.7 5.2 -4.3
pair MRmean RSI pos-pos 117 59.4 3.1 53.0 0.8 1.5 0.6 3.9 -5.0
pair MRmean SLmean pos-pos 104 52.8 3.1 51.9 0.8 1.6 0.7 3.9 -4.7
pair SLmean MRmean pos-pos 104 52.8 3.1 51.9 0.8 1.6 0.7 3.9 -4.7
pair LWTI MACDhist neg-pos 68 34.5 3.1 58.8 0.8 1.4 0.6 4.0 -5.1
pair RSI MRmean pos-pos 117 59.4 3.1 53.0 0.8 1.5 0.6 3.9 -5.0
pair MRmean RSIhist pos-neg 31 15.7 3.1 61.3 0.9 1.2 0.8 3.7 -4.2
pair RSIhist MRmean pos-neg 31 15.7 3.1 61.3 0.9 1.2 0.8 3.7 -4.2
pair MACDhist LWTI neg-pos 68 34.5 3.1 58.8 0.8 1.4 0.6 4.0 -5.1
pair MACDhist RSIhist pos-pos 69 35.0 3.1 50.7 0.8 1.4 0.7 4.1 -4.2
pair RSIhist MACDhist pos-pos 69 35.0 3.1 50.7 0.8 1.4 0.7 4.1 -4.2
single MRmean MRmean pos-pos 124 62.9 3.0 53.2 0.8 1.4 0.6 3.9 -5.4
single MACDhist MACDhist pos-pos 84 42.6 3.0 52.4 0.8 1.3 0.6 4.0 -5.2
pair RSIhist RSI pos-pos 91 46.2 2.9 50.5 0.8 1.6 0.6 3.9 -4.8
pair RSIhist LWTI pos-pos 92 46.7 2.9 51.1 0.7 1.4 0.7 4.0 -4.0
pair LWTI RSIhist pos-pos 92 46.7 2.9 51.1 0.7 1.4 0.7 4.0 -4.0
pair MRmean RSIhist pos-pos 93 47.2 2.9 50.5 0.7 1.5 0.5 4.0 -5.6
pair RSIhist MRmean pos-pos 93 47.2 2.9 50.5 0.7 1.5 0.5 4.0 -5.6
pair RSI RSIhist pos-pos 91 46.2 2.9 50.5 0.8 1.6 0.6 3.9 -4.8
single RSI RSI pos-pos 151 76.6 2.8 55.0 0.8 1.4 0.5 3.7 -6.0
pair RSmean LWTI pos-pos 135 68.5 2.7 53.3 0.7 1.3 0.5 3.8 -5.3
pair LWTI RSmean pos-pos 135 68.5 2.7 53.3 0.7 1.3 0.5 3.8 -5.3
pair MACD MRmean neg-neg 36 18.3 2.7 52.8 0.5 0.8 0.4 5.7 -6.7
pair MRmean MACD neg-neg 36 18.3 2.7 52.8 0.5 0.8 0.4 5.7 -6.7
pair RSIhist RSI pos-neg 60 30.5 2.6 61.7 0.7 1.1 0.6 3.5 -4.5
pair RSI RSIhist pos-neg 60 30.5 2.6 61.7 0.7 1.1 0.6 3.5 -4.5
pair SLmean MRmean pos-neg 20 10.2 2.5 60.0 0.6 0.9 0.5 4.0 -5.1
pair MRmean SLmean pos-neg 20 10.2 2.5 60.0 0.6 0.9 0.5 4.0 -5.1
pair MACDhist RSIhist pos-neg 15 7.6 2.5 60.0 0.7 0.8 0.9 3.9 -2.7
pair RSIhist MACDhist pos-neg 15 7.6 2.5 60.0 0.7 0.8 0.9 3.9 -2.7
pair RSmean MRmean pos-pos 121 61.4 2.5 52.1 0.7 1.2 0.3 3.9 -7.8
pair MRmean RSmean pos-pos 121 61.4 2.5 52.1 0.7 1.2 0.3 3.9 -7.8
pair RSIhist SLmean pos-pos 94 47.7 2.5 48.9 0.6 1.2 0.5 4.2 -5.5
pair SLmean RSIhist pos-pos 94 47.7 2.5 48.9 0.6 1.2 0.5 4.2 -5.5
pair MACDhist RSmean pos-pos 82 41.6 2.5 51.2 0.7 1.1 0.3 3.9 -7.6
pair RSmean MACDhist pos-pos 82 41.6 2.5 51.2 0.7 1.1 0.3 3.9 -7.6
pair SLmean MACDhist neg-neg 72 36.5 2.4 58.3 0.5 0.8 0.2 4.7 -10.8
pair MACDhist SLmean neg-neg 72 36.5 2.4 58.3 0.5 0.8 0.2 4.7 -10.8
pair SLmean MACD pos-pos 87 44.2 2.4 49.4 0.7 1.4 0.5 3.5 -4.9
pair MACD SLmean pos-pos 87 44.2 2.4 49.4 0.7 1.4 0.5 3.5 -4.9
single RSIhist RSIhist pos-pos 104 52.8 2.4 49.0 0.6 1.1 0.5 4.2 -4.8
single SLmean SLmean pos-pos 111 56.3 2.4 51.4 0.6 1.0 0.2 4.1 -9.7
pair MACDhist MRmean pos-neg 46 23.4 2.4 52.2 0.6 1.4 0.7 3.8 -3.3
pair MRmean MACDhist pos-neg 46 23.4 2.4 52.2 0.6 1.4 0.7 3.8 -3.3
pair MACD SLmean pos-neg 24 12.2 2.4 58.3 0.4 0.9 0.3 5.8 -7.3
pair SLmean MACD pos-neg 24 12.2 2.4 58.3 0.4 0.9 0.3 5.8 -7.3
pair MRmean LWTI neg-pos 39 19.8 2.4 59.0 0.6 1.0 0.6 4.0 -4.4
pair LWTI MRmean neg-pos 39 19.8 2.4 59.0 0.6 1.0 0.6 4.0 -4.4
pair LWTI SLmean neg-pos 58 29.4 2.3 58.6 0.6 0.9 0.3 4.0 -7.7
pair SLmean LWTI neg-pos 58 29.4 2.3 58.6 0.6 0.9 0.3 4.0 -7.7
pair RSI RSmean pos-pos 141 71.6 2.3 53.2 0.6 1.2 0.4 3.6 -6.0
pair RSmean RSI pos-pos 141 71.6 2.3 53.2 0.6 1.2 0.4 3.6 -6.0
pair benchmark___benchmark_ benchmark-benchmark 197 100.0 2.2 53.8 0.5 0.8 0.1 4.3 -15.0
pair benchmark___benchmark_ benchmark-benchmark 197 100.0 2.2 53.8 0.5 0.8 0.1 4.3 -15.0
pair MRmean MACD pos-pos 100 50.8 2.2 50.0 0.6 1.1 0.4 3.7 -5.3
pair MACD MRmean pos-pos 100 50.8 2.2 50.0 0.6 1.1 0.4 3.7 -5.3
pair RSI MACDhist pos-neg 77 39.1 2.1 55.8 0.6 1.2 0.4 3.6 -5.3
pair MACDhist RSI pos-neg 77 39.1 2.1 55.8 0.6 1.2 0.4 3.6 -5.3
pair MACD LWTI pos-pos 112 56.9 2.1 52.7 0.6 1.1 0.4 3.5 -4.9
pair LWTI MACD pos-pos 112 56.9 2.1 52.7 0.6 1.1 0.4 3.5 -4.9
pair RSI LWTI neg-pos 21 10.7 2.0 52.4 0.4 0.7 0.6 5.1 -3.6
pair LWTI RSI neg-pos 21 10.7 2.0 52.4 0.4 0.7 0.6 5.1 -3.6
pair MACD RSIhist pos-pos 73 37.1 2.0 46.6 0.6 1.1 0.4 3.6 -4.6
pair RSIhist MACD pos-pos 73 37.1 2.0 46.6 0.6 1.1 0.4 3.6 -4.6
pair RSI SLmean neg-neg 37 18.8 1.9 51.4 0.4 0.5 0.2 5.5 -8.1
pair SLmean RSI neg-neg 37 18.8 1.9 51.4 0.4 0.5 0.2 5.5 -8.1
single RSIhist RSIhist neg-neg 93 47.2 1.9 59.1 0.5 0.6 0.1 4.4 -14.4
single SLmean SLmean neg-neg 86 43.7 1.9 57.0 0.4 0.6 0.2 4.5 -11.3
pair SLmean RSIhist pos-neg 17 8.6 1.9 64.7 0.5 0.5 0.4 3.7 -4.5
pair RSIhist SLmean pos-neg 17 8.6 1.9 64.7 0.5 0.5 0.4 3.7 -4.5
pair SLmean RSI neg-pos 49 24.9 1.9 61.2 0.5 0.8 0.3 3.6 -5.5
pair RSI SLmean neg-pos 49 24.9 1.9 61.2 0.5 0.8 0.3 3.6 -5.5
pair SLmean RSIhist neg-neg 76 38.6 1.9 57.9 0.4 0.6 0.2 4.6 -11.3
pair RSIhist SLmean neg-neg 76 38.6 1.9 57.9 0.4 0.6 0.2 4.6 -11.3
pair MACDhist RSIhist neg-neg 78 39.6 1.8 59.0 0.4 0.6 0.1 4.5 -14.4
pair RSIhist MACDhist neg-neg 78 39.6 1.8 59.0 0.4 0.6 0.1 4.5 -14.4
pair RSmean SLmean pos-pos 107 54.3 1.7 49.5 0.4 0.8 0.1 4.0 -12.0
pair SLmean RSmean pos-pos 107 54.3 1.7 49.5 0.4 0.8 0.1 4.0 -12.0
pair MACD RSI pos-pos 125 63.5 1.7 52.0 0.5 0.8 0.3 3.5 -6.4
pair RSI MACD pos-pos 125 63.5 1.7 52.0 0.5 0.8 0.3 3.5 -6.4
pair SLmean MRmean neg-neg 66 33.5 1.7 56.1 0.4 0.6 0.2 4.7 -10.2
pair MRmean SLmean neg-neg 66 33.5 1.7 56.1 0.4 0.6 0.2 4.7 -10.2
pair MRmean RSI neg-pos 34 17.3 1.6 61.8 0.5 0.9 0.4 3.3 -3.8
pair RSI MRmean neg-pos 34 17.3 1.6 61.8 0.5 0.9 0.4 3.3 -3.8
pair RSIhist SLmean neg-pos 10 5.1 1.5 50.0 0.3 0.7 0.8 4.4 -1.9
pair SLmean RSIhist neg-pos 10 5.1 1.5 50.0 0.3 0.7 0.8 4.4 -1.9
pair MACD RSmean pos-neg 44 22.3 1.5 50.0 0.3 0.5 0.2 5.3 -9.3
pair RSmean MACD pos-neg 44 22.3 1.5 50.0 0.3 0.5 0.2 5.3 -9.3
single MACDhist MACDhist neg-neg 113 57.4 1.5 54.9 0.4 0.6 0.1 4.5 -14.1
pair MACD MACDhist neg-pos 14 7.1 1.5 50.0 0.3 0.6 0.5 5.1 -3.0
pair MACDhist MACD neg-pos 14 7.1 1.5 50.0 0.3 0.6 0.5 5.1 -3.0
pair RSmean MACD pos-pos 135 68.5 1.4 51.9 0.4 0.6 0.1 3.6 -12.1
pair RSmean RSIhist pos-neg 83 42.1 1.4 57.8 0.3 0.5 0.1 4.2 -14.4
pair RSIhist RSmean pos-neg 83 42.1 1.4 57.8 0.3 0.5 0.1 4.2 -14.4
pair RSmean RSIhist pos-pos 96 48.7 1.4 45.8 0.4 0.7 0.1 4.0 -9.9
pair RSIhist RSmean pos-pos 96 48.7 1.4 45.8 0.4 0.7 0.1 4.0 -9.9
pair MACD RSmean pos-pos 135 68.5 1.4 51.9 0.4 0.6 0.1 3.6 -12.1
single RSmean RSmean pos-pos 179 90.9 1.4 51.4 0.4 0.6 0.1 4.1 -17.3
pair RSIhist MRmean neg-neg 62 31.5 1.3 58.1 0.3 0.4 0.1 4.7 -12.7
pair MRmean RSIhist neg-neg 62 31.5 1.3 58.1 0.3 0.4 0.1 4.7 -12.7
single MACD MACD pos-pos 137 69.5 1.3 51.8 0.4 0.6 0.1 3.7 -12.1
pair MACDhist MRmean neg-neg 67 34.0 1.0 56.7 0.2 0.3 0.1 4.9 -12.7
pair SLmean LWTI neg-neg 28 14.2 1.0 53.6 0.2 0.3 0.1 5.5 -10.2
pair LWTI SLmean neg-neg 28 14.2 1.0 53.6 0.2 0.3 0.1 5.5 -10.2
pair MRmean MACDhist neg-neg 67 34.0 1.0 56.7 0.2 0.3 0.1 4.9 -12.7
pair MACD RSI neg-neg 34 17.3 1.0 50.0 0.2 0.3 0.1 6.0 -6.7
pair RSI MACD neg-neg 34 17.3 1.0 50.0 0.2 0.3 0.1 6.0 -6.7
pair RSIhist MACDhist neg-pos 35 17.8 1.0 45.7 0.2 0.5 0.1 4.4 -6.4
pair MACDhist RSIhist neg-pos 35 17.8 1.0 45.7 0.2 0.5 0.1 4.4 -6.4
pair RSmean SLmean neg-pos 72 36.5 0.9 54.2 0.2 0.3 0.1 4.2 -11.3
pair SLmean RSmean neg-pos 72 36.5 0.9 54.2 0.2 0.3 0.1 4.2 -11.3
pair RSI MRmean pos-neg 7 3.6 0.8 57.1 0.2 0.5 0.4 5.5 -2.3
pair MRmean RSI pos-neg 7 3.6 0.8 57.1 0.2 0.5 0.4 5.5 -2.3
single MRmean MRmean neg-neg 73 37.1 0.7 54.8 0.2 0.3 0.1 4.8 -12.7
pair RSIhist RSI neg-neg 33 16.8 0.7 54.5 0.2 0.2 0.1 5.7 -10.7
pair RSI RSIhist neg-neg 33 16.8 0.7 54.5 0.2 0.2 0.1 5.7 -10.7
pair RSIhist MACD pos-neg 64 32.5 0.5 57.8 0.1 0.2 0.1 3.7 -10.0
pair MACD RSIhist pos-neg 64 32.5 0.5 57.8 0.1 0.2 0.1 3.7 -10.0
pair LWTI MACD neg-neg 21 10.7 0.4 47.6 0.1 0.1 0.1 6.1 -6.7
pair MACD LWTI neg-neg 21 10.7 0.4 47.6 0.1 0.1 0.1 6.1 -6.7
pair RSmean MACDhist pos-neg 97 49.2 0.4 51.5 0.1 0.2 0.0 4.2 -15.8
pair MACDhist RSmean pos-neg 97 49.2 0.4 51.5 0.1 0.2 0.0 4.2 -15.8
pair RSI MACDhist neg-neg 36 18.3 0.3 52.8 0.1 0.1 0.0 5.9 -10.7
pair MACDhist RSI neg-neg 36 18.3 0.3 52.8 0.1 0.1 0.0 5.9 -10.7
single RSI RSI neg-neg 46 23.4 0.1 50.0 0.1 0.1 0.0 5.7 -10.7
pair MRmean RSI neg-neg 39 19.8 -0.0 48.7 0.0 0.0 -0.0 5.8 -10.7
pair SLmean MACDhist pos-neg 41 20.8 0.0 48.8 0.0 0.1 0.0 4.1 -7.2
pair MACDhist SLmean pos-neg 41 20.8 0.0 48.8 0.0 0.1 0.0 4.1 -7.2
pair RSI MRmean neg-neg 39 19.8 -0.0 48.7 0.0 0.0 -0.0 5.8 -10.7
pair MACD SLmean neg-pos 50 25.4 -0.5 56.0 -0.1 -0.2 -0.1 3.9 -10.6
pair SLmean MACD neg-pos 50 25.4 -0.5 56.0 -0.1 -0.2 -0.1 3.9 -10.6
pair MACDhist RSI neg-pos 10 5.1 -0.7 40.0 -0.1 -0.2 -0.2 5.1 -2.8
pair MACDhist MACD pos-neg 67 34.0 -0.7 50.7 -0.2 -0.3 -0.1 3.4 -12.0
pair MACD MACDhist pos-neg 67 34.0 -0.7 50.7 -0.2 -0.3 -0.1 3.4 -12.0
pair LWTI RSI pos-neg 21 10.7 -0.7 47.6 -0.2 -0.4 -0.2 3.1 -3.5
pair RSI LWTI pos-neg 21 10.7 -0.7 47.6 -0.2 -0.4 -0.2 3.1 -3.5
pair RSI MACDhist neg-pos 10 5.1 -0.7 40.0 -0.1 -0.2 -0.2 5.1 -2.8
pair LWTI MACDhist neg-neg 45 22.8 -0.8 48.9 -0.1 -0.2 -0.1 5.0 -13.8
pair MACDhist LWTI neg-neg 45 22.8 -0.8 48.9 -0.1 -0.2 -0.1 5.0 -13.8
pair RSmean MRmean neg-pos 58 29.4 -0.9 50.0 -0.2 -0.2 -0.1 4.5 -13.7
pair MRmean RSmean neg-pos 58 29.4 -0.9 50.0 -0.2 -0.2 -0.1 4.5 -13.7
pair MACDhist SLmean neg-pos 14 7.1 -0.9 50.0 -0.2 -0.2 -0.1 3.7 -5.6
pair SLmean MACDhist neg-pos 14 7.1 -0.9 50.0 -0.2 -0.2 -0.1 3.7 -5.6
pair RSIhist LWTI neg-neg 34 17.3 -1.0 52.9 -0.2 -0.2 -0.1 5.0 -13.8
pair LWTI RSIhist neg-neg 34 17.3 -1.0 52.9 -0.2 -0.2 -0.1 5.0 -13.8
pair MRmean MACD neg-pos 37 18.8 -1.1 56.8 -0.3 -0.3 -0.1 3.6 -8.2
pair MACD MRmean neg-pos 37 18.8 -1.1 56.8 -0.3 -0.3 -0.1 3.6 -8.2
pair MRmean LWTI pos-neg 12 6.1 -1.1 41.7 -0.3 -0.9 -0.4 3.5 -2.8
pair LWTI MRmean pos-neg 12 6.1 -1.1 41.7 -0.3 -0.9 -0.4 3.5 -2.8
single LWTI LWTI neg-neg 46 23.4 -1.1 47.8 -0.2 -0.3 -0.1 5.0 -13.8
pair MRmean LWTI neg-neg 34 17.3 -1.2 50.0 -0.2 -0.3 -0.1 5.5 -12.7
pair LWTI MRmean neg-neg 34 17.3 -1.2 50.0 -0.2 -0.3 -0.1 5.5 -12.7
pair RSI LWTI neg-neg 25 12.7 -1.5 48.0 -0.2 -0.3 -0.1 6.3 -10.7
pair LWTI RSI neg-neg 25 12.7 -1.5 48.0 -0.2 -0.3 -0.1 6.3 -10.7
pair RSIhist RSI neg-pos 13 6.6 -1.5 38.5 -0.2 -0.5 -0.4 5.8 -4.1
pair RSI RSIhist neg-pos 13 6.6 -1.5 38.5 -0.2 -0.5 -0.4 5.8 -4.1
pair RSIhist LWTI pos-neg 12 6.1 -1.6 33.3 -0.3 -0.7 -0.5 5.3 -3.2
pair LWTI RSIhist pos-neg 12 6.1 -1.6 33.3 -0.3 -0.7 -0.5 5.3 -3.2
pair MRmean MACDhist neg-pos 6 3.0 -1.6 33.3 -0.4 -0.6 -0.6 3.7 -2.7
pair MACDhist MRmean neg-pos 6 3.0 -1.6 33.3 -0.4 -0.6 -0.6 3.7 -2.7
pair RSI RSmean pos-neg 38 19.3 -1.9 44.7 -0.3 -0.5 -0.1 5.4 -13.1
pair RSmean RSI pos-neg 38 19.3 -1.9 44.7 -0.3 -0.5 -0.1 5.4 -13.1
pair RSIhist MRmean neg-pos 11 5.6 -2.3 36.4 -0.4 -0.8 -0.6 5.1 -3.9
pair MRmean RSIhist neg-pos 11 5.6 -2.3 36.4 -0.4 -0.8 -0.6 5.1 -3.9
pair MACD LWTI pos-neg 25 12.7 -2.4 48.0 -0.6 -0.8 -0.3 4.0 -9.3
pair LWTI MACD pos-neg 25 12.7 -2.4 48.0 -0.6 -0.8 -0.3 4.0 -9.3
pair LWTI RSmean pos-neg 44 22.3 -2.5 45.5 -0.5 -0.7 -0.2 4.7 -13.8
pair RSmean LWTI pos-neg 44 22.3 -2.5 45.5 -0.5 -0.7 -0.2 4.7 -13.8
pair MACD RSI pos-neg 12 6.1 -2.5 50.0 -0.5 -0.6 -0.4 5.0 -6.1
pair RSI MACD pos-neg 12 6.1 -2.5 50.0 -0.5 -0.6 -0.4 5.0 -6.1
pair RSmean MACD neg-pos 2 1.0 -2.7 50.0 -0.4 0.0 0.0 6.2 0.0
pair MACD RSmean neg-pos 2 1.0 -2.7 50.0 -0.4 0.0 0.0 6.2 0.0
pair LWTI SLmean pos-neg 18 9.1 -4.4 38.9 -1.1 -1.5 -0.6 4.1 -7.9
pair SLmean LWTI pos-neg 18 9.1 -4.4 38.9 -1.1 -1.5 -0.6 4.1 -7.9
pair RSI SLmean pos-neg 9 4.6 -6.8 44.4 -1.1 -2.6 -1.0 6.3 -6.7
pair SLmean RSI pos-neg 9 4.6 -6.8 44.4 -1.1 -2.6 -1.0 6.3 -6.7
pair SLmean MRmean neg-pos 7 3.6 -7.6 42.9 -1.5 -1.8 -1.3 5.1 -5.9
pair MRmean SLmean neg-pos 7 3.6 -7.6 42.9 -1.5 -1.8 -1.3 5.1 -5.9
pair LWTI MACDhist pos-neg 1 0.5 -13.6 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.5 -13.6 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for VGIT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 52%
Sharpe 0.79 | Sortino 1.56 | Calmar 0.7
Vol 4% | MDD -4.7%
Months 104M (53%)
CAGR 2.5% | Win 60%
Sharpe 0.63 | Sortino 0.86 | Calmar 0.5
Vol 4% | MDD -5.1%
Months 20M (10%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR -7.6% | Win 43%
Sharpe -1.51 | Sortino -1.75 | Calmar -1.3
Vol 5% | MDD -5.9%
Months 7M (4%)
CAGR 1.7% | Win 56%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.2
Vol 5% | MDD -10.2%
Months 66M (34%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
SLmean
only
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 52%
Sharpe 0.65 | Sortino 1.19 | Calmar 0.3
Vol 4% | MDD -7.8%
Months 121M (61%)
CAGR 25.3% | Win 100%
Sharpe 7.96 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 3M (2%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR -0.9% | Win 50%
Sharpe -0.17 | Sortino -0.23 | Calmar -0.1
Vol 4% | MDD -13.7%
Months 58M (29%)
CAGR 7.3% | Win 73%
Sharpe 1.30 | Sortino 2.21 | Calmar 2.9
Vol 6% | MDD -2.5%
Months 15M (8%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
RSmean
only
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 2.2% | Win 50%
Sharpe 0.61 | Sortino 1.09 | Calmar 0.4
Vol 4% | MDD -5.3%
Months 100M (51%)
CAGR 6.3% | Win 67%
Sharpe 1.27 | Sortino 2.80 | Calmar 2.1
Vol 5% | MDD -3.0%
Months 24M (12%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR -1.1% | Win 57%
Sharpe -0.29 | Sortino -0.34 | Calmar -0.1
Vol 4% | MDD -8.2%
Months 37M (19%)
CAGR 2.7% | Win 53%
Sharpe 0.49 | Sortino 0.75 | Calmar 0.4
Vol 6% | MDD -6.7%
Months 36M (18%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
MACD
only
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.1% | Win 53%
Sharpe 0.82 | Sortino 1.51 | Calmar 0.6
Vol 4% | MDD -5.0%
Months 117M (59%)
CAGR 0.8% | Win 57%
Sharpe 0.17 | Sortino 0.53 | Calmar 0.4
Vol 6% | MDD -2.3%
Months 7M (4%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR 1.6% | Win 62%
Sharpe 0.51 | Sortino 0.94 | Calmar 0.4
Vol 3% | MDD -3.8%
Months 34M (17%)
CAGR -0.0% | Win 49%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 6% | MDD -10.7%
Months 39M (20%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
RSI
only
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 3.3% | Win 54%
Sharpe 0.84 | Sortino 1.43 | Calmar 0.9
Vol 4% | MDD -3.8%
Months 78M (40%)
CAGR 2.4% | Win 52%
Sharpe 0.64 | Sortino 1.40 | Calmar 0.7
Vol 4% | MDD -3.3%
Months 46M (23%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR -1.6% | Win 33%
Sharpe -0.42 | Sortino -0.61 | Calmar -0.6
Vol 4% | MDD -2.7%
Months 6M (3%)
CAGR 1.0% | Win 57%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 67M (34%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
MACDhist
only
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 50%
Sharpe 0.74 | Sortino 1.46 | Calmar 0.5
Vol 4% | MDD -5.6%
Months 93M (47%)
CAGR 3.1% | Win 61%
Sharpe 0.86 | Sortino 1.22 | Calmar 0.8
Vol 4% | MDD -4.2%
Months 31M (16%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR -2.3% | Win 36%
Sharpe -0.44 | Sortino -0.77 | Calmar -0.6
Vol 5% | MDD -3.9%
Months 11M (6%)
CAGR 1.3% | Win 58%
Sharpe 0.30 | Sortino 0.40 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 62M (32%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.4% | Win 55%
Sharpe 0.87 | Sortino 1.54 | Calmar 0.7
Vol 4% | MDD -5.2%
Months 112M (57%)
CAGR -1.1% | Win 42%
Sharpe -0.29 | Sortino -0.88 | Calmar -0.4
Vol 4% | MDD -2.8%
Months 12M (6%)
CAGR 3.0% | Win 53%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.6
Vol 4% | MDD -5.4%
Months 124M (63%)
MRmean
neg
CAGR 2.4% | Win 59%
Sharpe 0.62 | Sortino 0.98 | Calmar 0.6
Vol 4% | MDD -4.4%
Months 39M (20%)
CAGR -1.2% | Win 50%
Sharpe -0.18 | Sortino -0.26 | Calmar -0.1
Vol 6% | MDD -12.7%
Months 34M (17%)
CAGR 0.7% | Win 55%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.1
Vol 5% | MDD -12.7%
Months 73M (37%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.7% | Win 50%
Sharpe 0.44 | Sortino 0.76 | Calmar 0.1
Vol 4% | MDD -12.0%
Months 107M (54%)
CAGR 22.2% | Win 100%
Sharpe 7.30 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 4M (2%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR 0.9% | Win 54%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.1
Vol 4% | MDD -11.3%
Months 72M (36%)
CAGR 6.8% | Win 71%
Sharpe 1.19 | Sortino 2.09 | Calmar 2.7
Vol 6% | MDD -2.5%
Months 14M (7%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
RSmean
only
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.4% | Win 49%
Sharpe 0.69 | Sortino 1.35 | Calmar 0.5
Vol 4% | MDD -4.9%
Months 87M (44%)
CAGR 2.4% | Win 58%
Sharpe 0.44 | Sortino 0.86 | Calmar 0.3
Vol 6% | MDD -7.3%
Months 24M (12%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR -0.5% | Win 56%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.1
Vol 4% | MDD -10.6%
Months 50M (25%)
CAGR 5.3% | Win 58%
Sharpe 1.02 | Sortino 1.57 | Calmar 1.3
Vol 5% | MDD -4.0%
Months 36M (18%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
MACD
only
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 52%
Sharpe 0.86 | Sortino 1.74 | Calmar 0.9
Vol 4% | MDD -3.8%
Months 102M (52%)
CAGR -6.8% | Win 44%
Sharpe -1.09 | Sortino -2.58 | Calmar -1.0
Vol 6% | MDD -6.7%
Months 9M (5%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR 1.9% | Win 61%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 4% | MDD -5.5%
Months 49M (25%)
CAGR 1.9% | Win 51%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.2
Vol 6% | MDD -8.1%
Months 37M (19%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
RSI
only
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 3.8% | Win 53%
Sharpe 0.93 | Sortino 1.76 | Calmar 1.1
Vol 4% | MDD -3.5%
Months 70M (36%)
CAGR 0.0% | Win 49%
Sharpe 0.03 | Sortino 0.05 | Calmar 0.0
Vol 4% | MDD -7.2%
Months 41M (21%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR -0.9% | Win 50%
Sharpe -0.22 | Sortino -0.25 | Calmar -0.2
Vol 4% | MDD -5.6%
Months 14M (7%)
CAGR 2.4% | Win 58%
Sharpe 0.53 | Sortino 0.80 | Calmar 0.2
Vol 5% | MDD -10.8%
Months 72M (36%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
MACDhist
only
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 2.5% | Win 49%
Sharpe 0.61 | Sortino 1.16 | Calmar 0.5
Vol 4% | MDD -5.5%
Months 94M (48%)
CAGR 1.9% | Win 65%
Sharpe 0.53 | Sortino 0.54 | Calmar 0.4
Vol 4% | MDD -4.5%
Months 17M (9%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR 1.5% | Win 50%
Sharpe 0.35 | Sortino 0.69 | Calmar 0.8
Vol 4% | MDD -1.9%
Months 10M (5%)
CAGR 1.9% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 5% | MDD -11.3%
Months 76M (39%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.7% | Win 54%
Sharpe 0.94 | Sortino 1.79 | Calmar 1.1
Vol 4% | MDD -3.5%
Months 93M (47%)
CAGR -4.4% | Win 39%
Sharpe -1.07 | Sortino -1.51 | Calmar -0.6
Vol 4% | MDD -7.9%
Months 18M (9%)
CAGR 2.4% | Win 51%
Sharpe 0.60 | Sortino 1.04 | Calmar 0.2
Vol 4% | MDD -9.7%
Months 111M (56%)
SLmean
neg
CAGR 2.3% | Win 59%
Sharpe 0.58 | Sortino 0.89 | Calmar 0.3
Vol 4% | MDD -7.7%
Months 58M (29%)
CAGR 1.0% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 6% | MDD -10.2%
Months 28M (14%)
CAGR 1.9% | Win 57%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 4% | MDD -11.3%
Months 86M (44%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 1.4% | Win 52%
Sharpe 0.39 | Sortino 0.60 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 135M (68%)
CAGR 1.5% | Win 50%
Sharpe 0.30 | Sortino 0.50 | Calmar 0.2
Vol 5% | MDD -9.3%
Months 44M (22%)
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
RSmean
neg
CAGR -2.7% | Win 50%
Sharpe -0.43 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 2M (1%)
CAGR 11.8% | Win 81%
Sharpe 2.13 | Sortino 2.85 | Calmar 11.1
Vol 5% | MDD -1.1%
Months 16M (8%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
MACD
only
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.3% | Win 53%
Sharpe 0.64 | Sortino 1.16 | Calmar 0.4
Vol 4% | MDD -6.0%
Months 141M (72%)
CAGR -1.9% | Win 45%
Sharpe -0.33 | Sortino -0.48 | Calmar -0.1
Vol 5% | MDD -13.1%
Months 38M (19%)
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
RSmean
neg
CAGR 10.0% | Win 80%
Sharpe 2.16 | Sortino 9.44 | Calmar 4.0
Vol 4% | MDD -2.5%
Months 10M (5%)
CAGR 10.1% | Win 75%
Sharpe 1.49 | Sortino 1.88 | Calmar 14.6
Vol 7% | MDD -0.7%
Months 8M (4%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
RSI
only
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 51%
Sharpe 0.65 | Sortino 1.09 | Calmar 0.3
Vol 4% | MDD -7.6%
Months 82M (42%)
CAGR 0.4% | Win 52%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 4% | MDD -15.8%
Months 97M (49%)
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
RSmean
neg
CAGR 24.1% | Win 100%
Sharpe 5.47 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 2M (1%)
CAGR 8.4% | Win 75%
Sharpe 1.51 | Sortino 2.54 | Calmar 3.3
Vol 6% | MDD -2.5%
Months 16M (8%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
MACDhist
only
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 1.4% | Win 46%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 4% | MDD -9.9%
Months 96M (49%)
CAGR 1.4% | Win 58%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 83M (42%)
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
RSmean
neg
CAGR 15.1% | Win 88%
Sharpe 3.04 | Sortino 0.00 | Calmar 14.2
Vol 5% | MDD -1.1%
Months 8M (4%)
CAGR 6.2% | Win 70%
Sharpe 1.05 | Sortino 1.64 | Calmar 4.2
Vol 6% | MDD -1.5%
Months 10M (5%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.7% | Win 53%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.5
Vol 4% | MDD -5.3%
Months 135M (68%)
CAGR -2.5% | Win 46%
Sharpe -0.52 | Sortino -0.73 | Calmar -0.2
Vol 5% | MDD -13.8%
Months 44M (22%)
CAGR 1.4% | Win 51%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.1
Vol 4% | MDD -17.3%
Months 179M (91%)
RSmean
neg
CAGR 7.2% | Win 75%
Sharpe 1.38 | Sortino 2.20 | Calmar 2.9
Vol 5% | MDD -2.5%
Months 16M (8%)
CAGR 35.5% | Win 100%
Sharpe 12.53 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 10.1% | Win 78%
Sharpe 1.82 | Sortino 3.01 | Calmar 4.0
Vol 5% | MDD -2.5%
Months 18M (9%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.7% | Win 52%
Sharpe 0.49 | Sortino 0.85 | Calmar 0.3
Vol 4% | MDD -6.4%
Months 125M (64%)
CAGR -2.5% | Win 50%
Sharpe -0.48 | Sortino -0.56 | Calmar -0.4
Vol 5% | MDD -6.1%
Months 12M (6%)
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
MACD
neg
CAGR 8.3% | Win 69%
Sharpe 1.83 | Sortino 3.94 | Calmar 2.4
Vol 4% | MDD -3.5%
Months 26M (13%)
CAGR 1.0% | Win 50%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.2
Vol 6% | MDD -6.7%
Months 34M (17%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
RSI
only
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.3% | Win 53%
Sharpe 0.87 | Sortino 1.49 | Calmar 0.9
Vol 4% | MDD -3.8%
Months 70M (36%)
CAGR -0.7% | Win 51%
Sharpe -0.20 | Sortino -0.28 | Calmar -0.1
Vol 3% | MDD -12.0%
Months 67M (34%)
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
MACD
neg
CAGR 1.5% | Win 50%
Sharpe 0.30 | Sortino 0.60 | Calmar 0.5
Vol 5% | MDD -3.0%
Months 14M (7%)
CAGR 5.0% | Win 61%
Sharpe 0.91 | Sortino 1.40 | Calmar 0.7
Vol 6% | MDD -6.7%
Months 46M (23%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
MACDhist
only
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 2.0% | Win 47%
Sharpe 0.57 | Sortino 1.13 | Calmar 0.4
Vol 4% | MDD -4.6%
Months 73M (37%)
CAGR 0.5% | Win 58%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 4% | MDD -10.0%
Months 64M (32%)
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
MACD
neg
CAGR 3.2% | Win 55%
Sharpe 0.62 | Sortino 1.28 | Calmar 0.7
Vol 5% | MDD -4.3%
Months 31M (16%)
CAGR 5.2% | Win 62%
Sharpe 0.93 | Sortino 1.25 | Calmar 0.8
Vol 6% | MDD -6.7%
Months 29M (15%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.1% | Win 53%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.4
Vol 4% | MDD -4.9%
Months 112M (57%)
CAGR -2.4% | Win 48%
Sharpe -0.58 | Sortino -0.75 | Calmar -0.3
Vol 4% | MDD -9.3%
Months 25M (13%)
CAGR 1.3% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -12.1%
Months 137M (70%)
MACD
neg
CAGR 6.2% | Win 64%
Sharpe 1.23 | Sortino 2.11 | Calmar 1.8
Vol 5% | MDD -3.5%
Months 39M (20%)
CAGR 0.4% | Win 48%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.1
Vol 6% | MDD -6.7%
Months 21M (11%)
CAGR 4.1% | Win 58%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.6
Vol 5% | MDD -6.7%
Months 60M (30%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.5% | Win 54%
Sharpe 0.91 | Sortino 1.55 | Calmar 0.9
Vol 4% | MDD -3.8%
Months 74M (38%)
CAGR 2.1% | Win 56%
Sharpe 0.60 | Sortino 1.23 | Calmar 0.4
Vol 4% | MDD -5.3%
Months 77M (39%)
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
RSI
neg
CAGR -0.7% | Win 40%
Sharpe -0.11 | Sortino -0.20 | Calmar -0.2
Vol 5% | MDD -2.8%
Months 10M (5%)
CAGR 0.3% | Win 53%
Sharpe 0.08 | Sortino 0.12 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 36M (18%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
MACDhist
only
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.9% | Win 50%
Sharpe 0.76 | Sortino 1.55 | Calmar 0.6
Vol 4% | MDD -4.8%
Months 91M (46%)
CAGR 2.6% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 0.6
Vol 4% | MDD -4.5%
Months 60M (30%)
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
RSI
neg
CAGR -1.5% | Win 38%
Sharpe -0.23 | Sortino -0.46 | Calmar -0.4
Vol 6% | MDD -4.1%
Months 13M (7%)
CAGR 0.7% | Win 55%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.1
Vol 6% | MDD -10.7%
Months 33M (17%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.4% | Win 56%
Sharpe 0.89 | Sortino 1.60 | Calmar 0.7
Vol 4% | MDD -4.8%
Months 130M (66%)
CAGR -0.7% | Win 48%
Sharpe -0.21 | Sortino -0.44 | Calmar -0.2
Vol 3% | MDD -3.5%
Months 21M (11%)
CAGR 2.8% | Win 55%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.5
Vol 4% | MDD -6.0%
Months 151M (77%)
RSI
neg
CAGR 2.0% | Win 52%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.6
Vol 5% | MDD -3.6%
Months 21M (11%)
CAGR -1.5% | Win 48%
Sharpe -0.21 | Sortino -0.32 | Calmar -0.1
Vol 6% | MDD -10.7%
Months 25M (13%)
CAGR 0.1% | Win 50%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 46M (23%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 3.1% | Win 51%
Sharpe 0.77 | Sortino 1.41 | Calmar 0.7
Vol 4% | MDD -4.2%
Months 69M (35%)
CAGR 2.5% | Win 60%
Sharpe 0.65 | Sortino 0.78 | Calmar 0.9
Vol 4% | MDD -2.7%
Months 15M (8%)
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
MACDhist
neg
CAGR 1.0% | Win 46%
Sharpe 0.24 | Sortino 0.51 | Calmar 0.2
Vol 4% | MDD -6.4%
Months 35M (18%)
CAGR 1.8% | Win 59%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 78M (40%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
RSIhist
only
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.2% | Win 53%
Sharpe 0.81 | Sortino 1.37 | Calmar 0.8
Vol 4% | MDD -4.0%
Months 83M (42%)
CAGR -13.6% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 3.0% | Win 52%
Sharpe 0.75 | Sortino 1.28 | Calmar 0.6
Vol 4% | MDD -5.2%
Months 84M (43%)
MACDhist
neg
CAGR 3.1% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.6
Vol 4% | MDD -5.1%
Months 68M (34%)
CAGR -0.8% | Win 49%
Sharpe -0.14 | Sortino -0.20 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 45M (23%)
CAGR 1.5% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 4% | MDD -14.1%
Months 113M (57%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 2.9% | Win 51%
Sharpe 0.73 | Sortino 1.37 | Calmar 0.7
Vol 4% | MDD -4.0%
Months 92M (47%)
CAGR -1.6% | Win 33%
Sharpe -0.28 | Sortino -0.70 | Calmar -0.5
Vol 5% | MDD -3.2%
Months 12M (6%)
CAGR 2.4% | Win 49%
Sharpe 0.58 | Sortino 1.12 | Calmar 0.5
Vol 4% | MDD -4.8%
Months 104M (53%)
RSIhist
neg
CAGR 3.6% | Win 63%
Sharpe 0.91 | Sortino 1.38 | Calmar 0.8
Vol 4% | MDD -4.3%
Months 59M (30%)
CAGR -1.0% | Win 53%
Sharpe -0.17 | Sortino -0.21 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 34M (17%)
CAGR 1.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 4% | MDD -14.4%
Months 93M (47%)
LWTI
only
CAGR 3.2% | Win 56%
Sharpe 0.81 | Sortino 1.39 | Calmar 0.6
Vol 4% | MDD -5.3%
Months 151M (77%)
CAGR -1.1% | Win 48%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.1
Vol 5% | MDD -13.8%
Months 46M (23%)