VGK - Vanguard European Stock Index Fund ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

73.1%

Best CAGR

72

Total Months

9.5%

Avg CAGR

VGK 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 VGK

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 1 0.4 73.1 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.4 73.1 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSIhist neg-pos 10 4.0 64.1 70.0 2.5 7.2 14.1 21.3 -4.6
pair RSIhist MRmean neg-pos 10 4.0 64.1 70.0 2.5 7.2 14.1 21.3 -4.6
pair SLmean RSI pos-neg 20 7.9 43.2 75.0 2.2 7.9 6.6 17.0 -6.6
pair RSI SLmean pos-neg 20 7.9 43.2 75.0 2.2 7.9 6.6 17.0 -6.6
pair MACD MRmean neg-neg 40 15.8 41.2 72.5 1.7 2.5 1.8 22.0 -23.3
pair MRmean MACD neg-neg 40 15.8 41.2 72.5 1.7 2.5 1.8 22.0 -23.3
pair RSI RSIhist neg-pos 18 7.1 38.6 66.7 1.6 2.5 3.3 22.3 -11.7
pair RSIhist RSI neg-pos 18 7.1 38.6 66.7 1.6 2.5 3.3 22.3 -11.7
pair RSIhist RSmean neg-pos 7 2.8 38.0 71.4 2.5 3.2 8.3 13.6 -4.6
pair RSmean RSIhist neg-pos 7 2.8 38.0 71.4 2.5 3.2 8.3 13.6 -4.6
pair MACD RSI neg-neg 44 17.4 37.4 70.5 1.5 2.2 1.6 22.9 -23.3
pair RSI MACD neg-neg 44 17.4 37.4 70.5 1.5 2.2 1.6 22.9 -23.3
pair SLmean RSIhist neg-pos 8 3.2 35.6 62.5 1.4 1.5 2.9 24.9 -12.2
pair RSIhist SLmean neg-pos 8 3.2 35.6 62.5 1.4 1.5 2.9 24.9 -12.2
pair MACD LWTI neg-neg 29 11.5 35.3 65.5 1.4 2.2 1.6 24.3 -22.8
pair LWTI MACD neg-neg 29 11.5 35.3 65.5 1.4 2.2 1.6 24.3 -22.8
pair RSIhist MACD neg-neg 31 12.3 33.4 74.2 1.4 2.0 1.4 22.0 -23.3
pair MACD RSIhist neg-neg 31 12.3 33.4 74.2 1.4 2.0 1.4 22.0 -23.3
pair SLmean MACD neg-neg 35 13.8 32.6 68.6 1.3 1.9 1.4 23.4 -23.3
pair MACD SLmean neg-neg 35 13.8 32.6 68.6 1.3 1.9 1.4 23.4 -23.3
pair MACDhist MACD neg-neg 62 24.5 31.7 74.2 1.7 2.3 1.4 17.7 -23.3
pair MACD MACDhist neg-neg 62 24.5 31.7 74.2 1.7 2.3 1.4 17.7 -23.3
pair RSmean SLmean pos-neg 4 1.6 31.1 75.0 1.7 0.0 0.0 16.6 0.0
pair SLmean RSmean pos-neg 4 1.6 31.1 75.0 1.7 0.0 0.0 16.6 0.0
pair MACD RSmean pos-neg 64 25.3 30.0 68.8 1.4 2.1 1.3 20.7 -23.3
pair RSmean MACD pos-neg 64 25.3 30.0 68.8 1.4 2.1 1.3 20.7 -23.3
single MACD MACD neg-neg 80 31.6 27.0 68.8 1.4 2.0 1.2 19.1 -23.3
pair MACD RSIhist neg-pos 49 19.4 23.1 65.3 1.3 2.1 1.2 17.3 -19.8
pair RSIhist MACD neg-pos 49 19.4 23.1 65.3 1.3 2.1 1.2 17.3 -19.8
pair MACD SLmean pos-neg 45 17.8 22.8 68.9 1.4 3.0 2.0 15.2 -11.6
pair SLmean MACD pos-neg 45 17.8 22.8 68.9 1.4 3.0 2.0 15.2 -11.6
pair LWTI MACD neg-pos 51 20.2 22.5 70.6 1.4 2.0 1.3 15.6 -17.3
pair MACD LWTI neg-pos 51 20.2 22.5 70.6 1.4 2.0 1.3 15.6 -17.3
pair RSmean MRmean pos-neg 5 2.0 20.5 60.0 1.3 2.4 16.6 15.4 -1.2
pair MRmean RSmean pos-neg 5 2.0 20.5 60.0 1.3 2.4 16.6 15.4 -1.2
pair RSI MRmean pos-neg 12 4.7 19.9 66.7 1.0 1.2 1.4 19.6 -14.2
pair MRmean RSI pos-neg 12 4.7 19.9 66.7 1.0 1.2 1.4 19.6 -14.2
pair SLmean MRmean neg-pos 14 5.5 18.1 64.3 0.9 1.6 2.0 20.5 -9.0
pair MRmean SLmean neg-pos 14 5.5 18.1 64.3 0.9 1.6 2.0 20.5 -9.0
pair LWTI RSI neg-neg 38 15.0 15.9 63.2 0.7 1.0 0.3 29.7 -49.8
pair RSI LWTI neg-neg 38 15.0 15.9 63.2 0.7 1.0 0.3 29.7 -49.8
pair RSI MACDhist neg-neg 59 23.3 15.8 61.0 0.7 1.0 0.3 25.4 -51.3
pair MACDhist RSI neg-neg 59 23.3 15.8 61.0 0.7 1.0 0.3 25.4 -51.3
pair RSmean MACDhist neg-pos 4 1.6 15.7 50.0 0.9 1.9 12.7 17.5 -1.2
pair MACDhist RSmean neg-pos 4 1.6 15.7 50.0 0.9 1.9 12.7 17.5 -1.2
pair RSmean MACD neg-neg 16 6.3 15.6 68.8 1.4 2.9 3.4 10.4 -4.6
pair MACD RSmean neg-neg 16 6.3 15.6 68.8 1.4 2.9 3.4 10.4 -4.6
pair RSI MACD neg-pos 36 14.2 15.4 66.7 1.2 1.9 0.8 12.8 -19.1
pair MACD RSI neg-pos 36 14.2 15.4 66.7 1.2 1.9 0.8 12.8 -19.1
pair RSIhist MACDhist neg-pos 50 19.8 15.1 62.0 1.1 2.6 0.8 14.4 -18.6
pair MACDhist RSIhist neg-pos 50 19.8 15.1 62.0 1.1 2.6 0.8 14.4 -18.6
pair MRmean MACD pos-neg 40 15.8 14.3 65.0 0.9 1.3 0.6 15.4 -22.4
pair MACD MRmean pos-neg 40 15.8 14.3 65.0 0.9 1.3 0.6 15.4 -22.4
pair RSI RSmean pos-neg 63 24.9 13.8 58.7 0.6 0.9 0.3 28.4 -49.8
pair RSmean RSI pos-neg 63 24.9 13.8 58.7 0.6 0.9 0.3 28.4 -49.8
single RSI RSI neg-neg 70 27.7 13.7 60.0 0.6 0.9 0.3 27.0 -51.3
pair RSI RSmean neg-neg 7 2.8 13.3 71.4 1.4 28.2 5.7 9.2 -2.3
pair RSmean RSI neg-neg 7 2.8 13.3 71.4 1.4 28.2 5.7 9.2 -2.3
pair MRmean RSI neg-neg 58 22.9 12.5 58.6 0.6 0.8 0.2 28.5 -51.3
pair RSI MRmean neg-neg 58 22.9 12.5 58.6 0.6 0.8 0.2 28.5 -51.3
pair MACDhist MACD neg-pos 18 7.1 12.1 50.0 0.6 1.1 0.7 23.8 -17.3
pair MACD MACDhist neg-pos 18 7.1 12.1 50.0 0.6 1.1 0.7 23.8 -17.3
pair RSIhist LWTI pos-pos 122 48.2 12.1 64.8 0.9 1.4 0.6 13.8 -21.9
pair LWTI RSIhist pos-pos 122 48.2 12.1 64.8 0.9 1.4 0.6 13.8 -21.9
single RSmean RSmean neg-neg 23 9.1 11.9 65.2 1.0 1.4 1.1 12.2 -10.5
pair MACDhist SLmean pos-neg 61 24.1 11.7 62.3 0.8 1.8 0.7 14.3 -17.2
pair SLmean MACDhist pos-neg 61 24.1 11.7 62.3 0.8 1.8 0.7 14.3 -17.2
pair LWTI MRmean neg-neg 37 14.6 11.4 64.9 0.5 0.8 0.2 30.6 -49.8
pair MRmean LWTI neg-neg 37 14.6 11.4 64.9 0.5 0.8 0.2 30.6 -49.8
pair RSI RSmean neg-pos 16 6.3 11.3 62.5 0.9 1.2 0.8 13.5 -14.6
pair RSmean RSI neg-pos 16 6.3 11.3 62.5 0.9 1.2 0.8 13.5 -14.6
pair LWTI RSI neg-pos 32 12.6 11.2 56.2 0.6 0.8 0.5 23.9 -22.3
pair RSI LWTI neg-pos 32 12.6 11.2 56.2 0.6 0.8 0.5 23.9 -22.3
pair MACDhist RSmean neg-neg 19 7.5 11.1 68.4 1.0 1.2 1.2 11.4 -9.4
pair RSmean MACDhist neg-neg 19 7.5 11.1 68.4 1.0 1.2 1.2 11.4 -9.4
single RSIhist RSIhist pos-pos 149 58.9 10.7 61.7 0.8 1.4 0.5 14.6 -22.9
pair MACDhist LWTI neg-pos 76 30.0 10.2 63.2 0.8 1.2 0.5 13.7 -21.1
pair LWTI MACDhist neg-pos 76 30.0 10.2 63.2 0.8 1.2 0.5 13.7 -21.1
pair MACDhist MRmean pos-neg 47 18.6 9.8 61.7 0.8 1.9 0.5 12.1 -18.9
pair MRmean MACDhist pos-neg 47 18.6 9.8 61.7 0.8 1.9 0.5 12.1 -18.9
pair LWTI RSmean neg-pos 22 8.7 9.7 63.6 0.8 1.2 0.7 12.1 -14.1
pair RSmean LWTI neg-pos 22 8.7 9.7 63.6 0.8 1.2 0.7 12.1 -14.1
pair RSmean MRmean neg-neg 18 7.1 9.6 66.7 0.8 1.1 0.8 11.6 -11.5
pair MRmean RSmean neg-neg 18 7.1 9.6 66.7 0.8 1.1 0.8 11.6 -11.5
pair RSmean RSIhist pos-pos 142 56.1 9.5 61.3 0.7 1.2 0.4 14.6 -22.9
pair RSIhist RSmean pos-pos 142 56.1 9.5 61.3 0.7 1.2 0.4 14.6 -22.9
pair RSIhist SLmean pos-pos 141 55.7 9.4 61.7 0.7 1.4 0.4 13.8 -22.9
pair SLmean RSIhist pos-pos 141 55.7 9.4 61.7 0.7 1.4 0.4 13.8 -22.9
pair LWTI SLmean pos-neg 31 12.3 8.6 54.8 0.6 1.6 0.4 17.1 -23.7
pair SLmean LWTI pos-neg 31 12.3 8.6 54.8 0.6 1.6 0.4 17.1 -23.7
pair LWTI SLmean pos-pos 127 50.2 8.6 63.0 0.7 1.2 0.4 12.9 -22.4
single SLmean SLmean pos-pos 158 62.5 8.6 61.4 0.7 1.2 0.4 13.8 -21.8
pair SLmean LWTI pos-pos 127 50.2 8.6 63.0 0.7 1.2 0.4 12.9 -22.4
pair LWTI MRmean pos-pos 141 55.7 8.5 61.7 0.7 1.0 0.3 14.1 -30.4
pair MACDhist RSIhist pos-pos 99 39.1 8.5 61.6 0.6 1.0 0.4 14.7 -19.8
pair RSIhist MACDhist pos-pos 99 39.1 8.5 61.6 0.6 1.0 0.4 14.7 -19.8
pair MRmean LWTI pos-pos 141 55.7 8.5 61.7 0.7 1.0 0.3 14.1 -30.4
pair SLmean RSmean neg-neg 19 7.5 8.3 63.2 0.8 1.0 0.7 11.4 -12.6
pair RSmean SLmean neg-neg 19 7.5 8.3 63.2 0.8 1.0 0.7 11.4 -12.6
pair RSmean SLmean pos-pos 154 60.9 8.1 61.0 0.6 1.2 0.4 13.7 -21.8
pair SLmean RSmean pos-pos 154 60.9 8.1 61.0 0.6 1.2 0.4 13.7 -21.8
single MACDhist MACDhist neg-neg 130 51.4 8.0 60.8 0.5 0.7 0.1 20.0 -55.7
pair SLmean MRmean pos-pos 144 56.9 7.8 61.1 0.6 1.2 0.4 13.0 -19.8
pair MRmean SLmean pos-pos 144 56.9 7.8 61.1 0.6 1.2 0.4 13.0 -19.8
pair RSIhist MRmean pos-pos 139 54.9 7.6 61.2 0.6 1.0 0.3 13.7 -22.4
pair MRmean RSIhist pos-pos 139 54.9 7.6 61.2 0.6 1.0 0.3 13.7 -22.4
pair MACDhist RSmean pos-neg 111 43.9 7.5 59.5 0.5 0.6 0.1 21.1 -55.7
pair RSmean MACDhist pos-neg 111 43.9 7.5 59.5 0.5 0.6 0.1 21.1 -55.7
pair RSIhist RSI pos-pos 131 51.8 7.3 61.1 0.6 1.1 0.3 13.0 -24.7
pair RSI RSIhist pos-pos 131 51.8 7.3 61.1 0.6 1.1 0.3 13.0 -24.7
pair MRmean MACDhist neg-neg 83 32.8 7.0 60.2 0.4 0.6 0.1 23.3 -55.6
pair MACDhist MRmean neg-neg 83 32.8 7.0 60.2 0.4 0.6 0.1 23.3 -55.6
single LWTI LWTI pos-pos 195 77.1 7.0 60.0 0.5 0.7 0.2 15.9 -30.2
pair SLmean MACDhist pos-pos 97 38.3 6.8 60.8 0.6 1.0 0.3 13.5 -19.2
pair MACDhist SLmean pos-pos 97 38.3 6.8 60.8 0.6 1.0 0.3 13.5 -19.2
pair RSmean LWTI pos-pos 173 68.4 6.7 59.5 0.5 0.7 0.2 16.3 -28.9
pair LWTI RSmean pos-pos 173 68.4 6.7 59.5 0.5 0.7 0.2 16.3 -28.9
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 6.5 59.3 0.4 0.6 0.1 18.6 -59.7
single MRmean MRmean neg-neg 91 36.0 6.5 59.3 0.4 0.5 0.1 24.7 -55.6
single MRmean MRmean pos-pos 162 64.0 6.5 59.3 0.5 0.9 0.2 14.2 -26.8
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 6.5 59.3 0.4 0.6 0.1 18.6 -59.7
pair LWTI RSI pos-pos 163 64.4 6.2 60.7 0.5 0.8 0.2 13.9 -31.4
pair RSI LWTI pos-pos 163 64.4 6.2 60.7 0.5 0.8 0.2 13.9 -31.4
pair RSIhist RSI neg-neg 52 20.6 6.2 57.7 0.3 0.5 0.1 28.4 -51.3
pair RSI RSIhist neg-neg 52 20.6 6.2 57.7 0.3 0.5 0.1 28.4 -51.3
pair MRmean RSmean pos-pos 157 62.1 6.1 59.2 0.5 0.8 0.3 14.1 -23.3
pair RSmean MRmean pos-pos 157 62.1 6.1 59.2 0.5 0.8 0.3 14.1 -23.3
single RSmean RSmean pos-pos 230 90.9 6.0 58.7 0.4 0.6 0.1 19.2 -59.7
pair MRmean RSmean neg-pos 73 28.9 5.7 57.5 0.3 0.5 0.1 27.1 -55.6
pair RSmean MRmean neg-pos 73 28.9 5.7 57.5 0.3 0.5 0.1 27.1 -55.6
pair RSI MRmean pos-pos 150 59.3 5.5 58.7 0.5 0.8 0.2 13.7 -30.6
pair MRmean RSI pos-pos 150 59.3 5.5 58.7 0.5 0.8 0.2 13.7 -30.6
pair MACDhist MRmean pos-pos 115 45.5 5.2 58.3 0.4 0.7 0.2 14.9 -22.4
pair MRmean MACDhist pos-pos 115 45.5 5.2 58.3 0.4 0.7 0.2 14.9 -22.4
pair MACDhist RSI pos-pos 112 44.3 5.1 58.0 0.4 0.7 0.3 14.4 -19.1
pair RSI MACDhist pos-pos 112 44.3 5.1 58.0 0.4 0.7 0.3 14.4 -19.1
pair RSIhist MACD pos-pos 100 39.5 5.0 60.0 0.5 0.8 0.3 12.9 -18.9
pair MACD RSIhist pos-pos 100 39.5 5.0 60.0 0.5 0.8 0.3 12.9 -18.9
pair LWTI RSIhist neg-neg 31 12.3 5.0 64.5 0.3 0.5 0.1 31.6 -49.8
pair RSIhist LWTI neg-neg 31 12.3 5.0 64.5 0.3 0.5 0.1 31.6 -49.8
pair LWTI MACDhist pos-pos 119 47.0 5.0 58.0 0.4 0.5 0.2 17.2 -27.7
pair MACDhist LWTI pos-pos 119 47.0 5.0 58.0 0.4 0.5 0.2 17.2 -27.7
pair MACDhist LWTI neg-neg 54 21.3 5.0 57.4 0.3 0.5 0.1 26.6 -49.8
pair LWTI MACDhist neg-neg 54 21.3 5.0 57.4 0.3 0.5 0.1 26.6 -49.8
single MACDhist MACDhist pos-pos 123 48.6 4.9 57.7 0.4 0.5 0.2 17.1 -29.7
pair MACDhist SLmean neg-neg 69 27.3 4.9 59.4 0.3 0.4 0.1 24.0 -51.3
pair SLmean MACDhist neg-neg 69 27.3 4.9 59.4 0.3 0.4 0.1 24.0 -51.3
single LWTI LWTI neg-neg 58 22.9 4.7 56.9 0.3 0.5 0.1 25.9 -49.8
pair MACDhist RSmean pos-pos 119 47.0 4.6 58.0 0.3 0.5 0.1 17.2 -30.3
pair RSmean MACDhist pos-pos 119 47.0 4.6 58.0 0.3 0.5 0.1 17.2 -30.3
pair RSIhist LWTI pos-neg 27 10.7 4.5 48.1 0.3 1.0 0.1 18.0 -30.1
pair LWTI RSIhist pos-neg 27 10.7 4.5 48.1 0.3 1.0 0.1 18.0 -30.1
pair MRmean SLmean neg-neg 77 30.4 4.5 58.4 0.3 0.4 0.1 25.5 -51.3
pair SLmean MRmean neg-neg 77 30.4 4.5 58.4 0.3 0.4 0.1 25.5 -51.3
pair SLmean RSI pos-pos 138 54.5 4.4 59.4 0.4 0.7 0.1 12.9 -30.2
pair RSI SLmean pos-pos 138 54.5 4.4 59.4 0.4 0.7 0.1 12.9 -30.2
pair SLmean LWTI neg-pos 68 26.9 4.1 54.4 0.3 0.4 0.1 20.4 -33.2
pair LWTI SLmean neg-pos 68 26.9 4.1 54.4 0.3 0.4 0.1 20.4 -33.2
pair MRmean MACD pos-pos 122 48.2 4.1 57.4 0.4 0.6 0.2 13.7 -23.3
pair MACD MRmean pos-pos 122 48.2 4.1 57.4 0.4 0.6 0.2 13.7 -23.3
pair RSmean MACD neg-pos 7 2.8 3.9 57.1 0.3 0.4 0.4 16.3 -9.4
pair MACD RSmean neg-pos 7 2.8 3.9 57.1 0.3 0.4 0.4 16.3 -9.4
single RSI RSI pos-pos 183 72.3 3.9 59.0 0.3 0.5 0.1 14.1 -40.9
pair RSmean LWTI pos-neg 57 22.5 3.8 56.1 0.3 0.4 0.1 26.1 -49.8
pair MACDhist MACD pos-pos 105 41.5 3.8 59.0 0.3 0.4 0.1 15.9 -29.7
pair MACDhist RSIhist neg-neg 80 31.6 3.8 60.0 0.3 0.4 0.1 22.8 -55.6
pair LWTI RSmean pos-neg 57 22.5 3.8 56.1 0.3 0.4 0.1 26.1 -49.8
pair MACD MACDhist pos-pos 105 41.5 3.8 59.0 0.3 0.4 0.1 15.9 -29.7
pair RSIhist MACDhist neg-neg 80 31.6 3.8 60.0 0.3 0.4 0.1 22.8 -55.6
pair SLmean RSI neg-neg 50 19.8 3.7 54.0 0.3 0.4 0.1 29.9 -51.3
pair RSI SLmean neg-neg 50 19.8 3.7 54.0 0.3 0.4 0.1 29.9 -51.3
pair SLmean MACD pos-pos 113 44.7 3.5 58.4 0.3 0.6 0.2 12.9 -18.9
pair MACD SLmean pos-pos 113 44.7 3.5 58.4 0.3 0.6 0.2 12.9 -18.9
pair RSI RSmean pos-pos 167 66.0 3.2 58.7 0.3 0.5 0.1 14.2 -38.1
pair LWTI MRmean neg-pos 54 21.3 3.2 55.6 0.3 0.4 0.1 20.0 -31.1
pair MRmean LWTI neg-pos 54 21.3 3.2 55.6 0.3 0.4 0.1 20.0 -31.1
pair RSmean RSI pos-pos 167 66.0 3.2 58.7 0.3 0.5 0.1 14.2 -38.1
single SLmean SLmean neg-neg 95 37.5 3.1 55.8 0.2 0.3 0.1 24.7 -53.3
pair RSI MACDhist neg-pos 11 4.3 3.0 54.5 0.2 0.4 0.1 35.9 -26.9
pair MACDhist RSI neg-pos 11 4.3 3.0 54.5 0.2 0.4 0.1 35.9 -26.9
pair RSIhist SLmean pos-neg 17 6.7 2.5 58.8 0.2 0.4 0.2 13.4 -12.9
pair SLmean RSIhist pos-neg 17 6.7 2.5 58.8 0.2 0.4 0.2 13.4 -12.9
pair RSI SLmean neg-pos 45 17.8 2.4 57.8 0.2 0.3 0.1 17.6 -22.6
pair SLmean RSI neg-pos 45 17.8 2.4 57.8 0.2 0.3 0.1 17.6 -22.6
pair RSIhist RSmean neg-neg 16 6.3 2.1 62.5 0.2 0.3 0.2 10.8 -12.6
pair RSmean RSIhist neg-neg 16 6.3 2.1 62.5 0.2 0.3 0.2 10.8 -12.6
pair MACD LWTI pos-pos 144 56.9 2.0 56.2 0.2 0.3 0.1 15.8 -36.4
pair LWTI MACD pos-pos 144 56.9 2.0 56.2 0.2 0.3 0.1 15.8 -36.4
pair RSI MACDhist pos-neg 71 28.1 1.9 60.6 0.2 0.3 0.1 13.8 -42.3
pair MACDhist RSI pos-neg 71 28.1 1.9 60.6 0.2 0.3 0.1 13.8 -42.3
pair SLmean RSmean neg-pos 76 30.0 1.8 53.9 0.2 0.3 0.0 27.1 -51.3
pair RSmean SLmean neg-pos 76 30.0 1.8 53.9 0.2 0.3 0.0 27.1 -51.3
pair LWTI MACDhist pos-neg 4 1.6 1.7 50.0 0.2 0.4 0.2 17.4 -7.9
pair MACDhist LWTI pos-neg 4 1.6 1.7 50.0 0.2 0.4 0.2 17.4 -7.9
pair MRmean MACDhist neg-pos 8 3.2 1.3 50.0 0.2 0.3 0.1 38.6 -24.4
pair MACDhist MRmean neg-pos 8 3.2 1.3 50.0 0.2 0.3 0.1 38.6 -24.4
pair MACD RSI pos-pos 147 58.1 1.2 57.1 0.2 0.2 0.0 14.4 -33.0
pair RSI MACD pos-pos 147 58.1 1.2 57.1 0.2 0.2 0.0 14.4 -33.0
pair MRmean RSIhist neg-neg 81 32.0 1.0 58.0 0.2 0.2 0.0 24.8 -55.6
pair RSIhist MRmean neg-neg 81 32.0 1.0 58.0 0.2 0.2 0.0 24.8 -55.6
single RSIhist RSIhist neg-neg 104 41.1 0.8 55.8 0.1 0.2 0.0 23.2 -58.1
pair RSIhist RSmean pos-neg 88 34.8 0.6 54.5 0.1 0.2 0.0 24.9 -58.1
pair RSmean RSIhist pos-neg 88 34.8 0.6 54.5 0.1 0.2 0.0 24.9 -58.1
pair LWTI SLmean neg-neg 27 10.7 0.5 59.3 0.2 0.3 0.0 33.7 -49.8
pair SLmean RSIhist neg-neg 87 34.4 0.5 55.2 0.1 0.2 0.0 24.7 -53.3
pair RSIhist SLmean neg-neg 87 34.4 0.5 55.2 0.1 0.2 0.0 24.7 -53.3
pair SLmean LWTI neg-neg 27 10.7 0.5 59.3 0.2 0.3 0.0 33.7 -49.8
pair MRmean RSIhist pos-neg 23 9.1 0.2 47.8 0.1 0.2 0.0 16.9 -19.1
pair RSIhist MRmean pos-neg 23 9.1 0.2 47.8 0.1 0.2 0.0 16.9 -19.1
pair LWTI RSIhist neg-pos 73 28.9 -0.9 52.1 0.0 0.1 -0.0 18.8 -36.6
pair RSIhist LWTI neg-pos 73 28.9 -0.9 52.1 0.0 0.1 -0.0 18.8 -36.6
pair MACDhist SLmean neg-pos 26 10.3 -1.7 46.2 0.1 0.1 -0.1 27.1 -24.5
pair SLmean MACDhist neg-pos 26 10.3 -1.7 46.2 0.1 0.1 -0.1 27.1 -24.5
single MACD MACD pos-pos 173 68.4 -1.8 54.9 -0.0 -0.0 -0.0 17.9 -58.1
pair MACD RSmean pos-pos 166 65.6 -2.1 54.8 -0.0 -0.0 -0.0 18.0 -58.0
pair RSmean MACD pos-pos 166 65.6 -2.1 54.8 -0.0 -0.0 -0.0 18.0 -58.0
pair SLmean MRmean pos-neg 18 7.1 -3.0 44.4 -0.0 -0.1 -0.2 21.6 -13.1
pair MRmean SLmean pos-neg 18 7.1 -3.0 44.4 -0.0 -0.1 -0.2 21.6 -13.1
pair MRmean RSI neg-pos 33 13.0 -3.2 60.6 -0.1 -0.1 -0.1 16.1 -31.3
pair RSI MRmean neg-pos 33 13.0 -3.2 60.6 -0.1 -0.1 -0.1 16.1 -31.3
pair RSIhist RSI pos-neg 52 20.6 -4.3 53.8 -0.2 -0.3 -0.1 16.5 -40.3
pair RSI RSIhist pos-neg 52 20.6 -4.3 53.8 -0.2 -0.3 -0.1 16.5 -40.3
pair LWTI MRmean pos-neg 21 8.3 -6.1 42.9 -0.4 -0.9 -0.2 14.5 -27.8
pair MRmean LWTI pos-neg 21 8.3 -6.1 42.9 -0.4 -0.9 -0.2 14.5 -27.8
pair MACDhist RSIhist pos-neg 24 9.5 -8.7 41.7 -0.2 -0.4 -0.3 24.9 -26.5
pair RSIhist MACDhist pos-neg 24 9.5 -8.7 41.7 -0.2 -0.4 -0.3 24.9 -26.5
pair MACDhist MACD pos-neg 68 26.9 -9.8 48.5 -0.4 -0.5 -0.2 20.6 -58.3
pair MACD MACDhist pos-neg 68 26.9 -9.8 48.5 -0.4 -0.5 -0.2 20.6 -58.3
pair RSIhist MACD pos-neg 73 28.9 -10.5 47.9 -0.4 -0.5 -0.2 23.0 -62.4
pair MACD RSIhist pos-neg 73 28.9 -10.5 47.9 -0.4 -0.5 -0.2 23.0 -62.4
pair SLmean MACD neg-pos 60 23.7 -11.0 48.3 -0.3 -0.5 -0.2 24.7 -51.1
pair MACD SLmean neg-pos 60 23.7 -11.0 48.3 -0.3 -0.5 -0.2 24.7 -51.1
pair LWTI RSI pos-neg 20 7.9 -13.6 45.0 -0.9 -1.2 -0.6 15.3 -24.6
pair RSI LWTI pos-neg 20 7.9 -13.6 45.0 -0.9 -1.2 -0.6 15.3 -24.6
pair MACD MRmean neg-pos 51 20.2 -14.6 49.0 -0.5 -0.7 -0.2 25.1 -57.5
pair MRmean MACD neg-pos 51 20.2 -14.6 49.0 -0.5 -0.7 -0.2 25.1 -57.5
pair MACD RSI pos-neg 26 10.3 -17.4 42.3 -0.5 -0.7 -0.4 31.4 -44.4
pair RSI MACD pos-neg 26 10.3 -17.4 42.3 -0.5 -0.7 -0.4 31.4 -44.4
pair MACD LWTI pos-neg 29 11.5 -18.9 48.3 -0.7 -0.9 -0.4 25.8 -46.5
pair LWTI MACD pos-neg 29 11.5 -18.9 48.3 -0.7 -0.9 -0.4 25.8 -46.5

All Contingency Tables for VGK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 61%
Sharpe 0.64 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -19.8%
Months 144M (57%)
CAGR -3.0% | Win 44%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.2
Vol 22% | MDD -13.1%
Months 18M (7%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR 18.1% | Win 64%
Sharpe 0.91 | Sortino 1.60 | Calmar 2.0
Vol 20% | MDD -9.0%
Months 14M (6%)
CAGR 4.5% | Win 58%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 26% | MDD -51.3%
Months 77M (30%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
SLmean
only
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 6.1% | Win 59%
Sharpe 0.49 | Sortino 0.81 | Calmar 0.3
Vol 14% | MDD -23.3%
Months 157M (62%)
CAGR 20.5% | Win 60%
Sharpe 1.28 | Sortino 2.42 | Calmar 16.6
Vol 15% | MDD -1.2%
Months 5M (2%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 27% | MDD -55.6%
Months 73M (29%)
CAGR 9.6% | Win 67%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.8
Vol 12% | MDD -11.5%
Months 18M (7%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
RSmean
only
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 57%
Sharpe 0.36 | Sortino 0.63 | Calmar 0.2
Vol 14% | MDD -23.3%
Months 122M (48%)
CAGR 14.3% | Win 65%
Sharpe 0.94 | Sortino 1.34 | Calmar 0.6
Vol 15% | MDD -22.4%
Months 40M (16%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR -14.6% | Win 49%
Sharpe -0.50 | Sortino -0.68 | Calmar -0.3
Vol 25% | MDD -57.5%
Months 51M (20%)
CAGR 41.2% | Win 72%
Sharpe 1.70 | Sortino 2.48 | Calmar 1.8
Vol 22% | MDD -23.3%
Months 40M (16%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
MACD
only
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.5% | Win 59%
Sharpe 0.46 | Sortino 0.80 | Calmar 0.2
Vol 14% | MDD -30.6%
Months 150M (59%)
CAGR 19.9% | Win 67%
Sharpe 1.03 | Sortino 1.17 | Calmar 1.4
Vol 20% | MDD -14.2%
Months 12M (5%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR -3.2% | Win 61%
Sharpe -0.12 | Sortino -0.14 | Calmar -0.1
Vol 16% | MDD -31.3%
Months 33M (13%)
CAGR 12.5% | Win 59%
Sharpe 0.56 | Sortino 0.82 | Calmar 0.2
Vol 28% | MDD -51.3%
Months 58M (23%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
RSI
only
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 58%
Sharpe 0.41 | Sortino 0.66 | Calmar 0.2
Vol 15% | MDD -22.4%
Months 115M (46%)
CAGR 9.8% | Win 62%
Sharpe 0.83 | Sortino 1.92 | Calmar 0.5
Vol 12% | MDD -18.9%
Months 47M (19%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR 1.3% | Win 50%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.1
Vol 39% | MDD -24.4%
Months 8M (3%)
CAGR 7.0% | Win 60%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.1
Vol 23% | MDD -55.6%
Months 83M (33%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
MACDhist
only
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 61%
Sharpe 0.60 | Sortino 1.00 | Calmar 0.3
Vol 14% | MDD -22.4%
Months 139M (55%)
CAGR 0.2% | Win 48%
Sharpe 0.10 | Sortino 0.17 | Calmar 0.0
Vol 17% | MDD -19.1%
Months 23M (9%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR 64.1% | Win 70%
Sharpe 2.46 | Sortino 7.16 | Calmar 14.1
Vol 21% | MDD -4.6%
Months 10M (4%)
CAGR 1.0% | Win 58%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 25% | MDD -55.6%
Months 81M (32%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 62%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.3
Vol 14% | MDD -30.4%
Months 141M (56%)
CAGR -6.1% | Win 43%
Sharpe -0.36 | Sortino -0.89 | Calmar -0.2
Vol 14% | MDD -27.8%
Months 21M (8%)
CAGR 6.5% | Win 59%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 14% | MDD -26.8%
Months 162M (64%)
MRmean
neg
CAGR 3.2% | Win 56%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -31.1%
Months 54M (21%)
CAGR 11.4% | Win 65%
Sharpe 0.51 | Sortino 0.78 | Calmar 0.2
Vol 31% | MDD -49.8%
Months 37M (15%)
CAGR 6.5% | Win 59%
Sharpe 0.38 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -55.6%
Months 91M (36%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 61%
Sharpe 0.64 | Sortino 1.18 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 154M (61%)
CAGR 31.1% | Win 75%
Sharpe 1.71 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 4M (2%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -51.3%
Months 76M (30%)
CAGR 8.3% | Win 63%
Sharpe 0.76 | Sortino 1.00 | Calmar 0.7
Vol 11% | MDD -12.6%
Months 19M (8%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
RSmean
only
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.5% | Win 58%
Sharpe 0.33 | Sortino 0.57 | Calmar 0.2
Vol 13% | MDD -18.9%
Months 113M (45%)
CAGR 22.8% | Win 69%
Sharpe 1.44 | Sortino 2.95 | Calmar 2.0
Vol 15% | MDD -11.6%
Months 45M (18%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR -11.0% | Win 48%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.2
Vol 25% | MDD -51.1%
Months 60M (24%)
CAGR 32.6% | Win 69%
Sharpe 1.33 | Sortino 1.85 | Calmar 1.4
Vol 23% | MDD -23.3%
Months 35M (14%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
MACD
only
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.4% | Win 59%
Sharpe 0.40 | Sortino 0.68 | Calmar 0.1
Vol 13% | MDD -30.2%
Months 138M (54%)
CAGR 43.2% | Win 75%
Sharpe 2.23 | Sortino 7.93 | Calmar 6.6
Vol 17% | MDD -6.6%
Months 20M (8%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR 2.4% | Win 58%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.1
Vol 18% | MDD -22.6%
Months 45M (18%)
CAGR 3.7% | Win 54%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.1
Vol 30% | MDD -51.3%
Months 50M (20%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
RSI
only
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 6.8% | Win 61%
Sharpe 0.56 | Sortino 0.97 | Calmar 0.4
Vol 14% | MDD -19.2%
Months 97M (38%)
CAGR 11.7% | Win 62%
Sharpe 0.84 | Sortino 1.76 | Calmar 0.7
Vol 14% | MDD -17.2%
Months 61M (24%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR -1.7% | Win 46%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 27% | MDD -24.5%
Months 26M (10%)
CAGR 4.9% | Win 59%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 24% | MDD -51.3%
Months 69M (27%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
MACDhist
only
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.4% | Win 62%
Sharpe 0.72 | Sortino 1.38 | Calmar 0.4
Vol 14% | MDD -22.9%
Months 141M (56%)
CAGR 2.5% | Win 59%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.2
Vol 13% | MDD -12.9%
Months 17M (7%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR 35.6% | Win 62%
Sharpe 1.35 | Sortino 1.48 | Calmar 2.9
Vol 25% | MDD -12.2%
Months 8M (3%)
CAGR 0.5% | Win 55%
Sharpe 0.14 | Sortino 0.21 | Calmar 0.0
Vol 25% | MDD -53.3%
Months 87M (34%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 63%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.4
Vol 13% | MDD -22.4%
Months 127M (50%)
CAGR 8.6% | Win 55%
Sharpe 0.56 | Sortino 1.57 | Calmar 0.4
Vol 17% | MDD -23.7%
Months 31M (12%)
CAGR 8.6% | Win 61%
Sharpe 0.67 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -21.8%
Months 158M (62%)
SLmean
neg
CAGR 4.1% | Win 54%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 20% | MDD -33.2%
Months 68M (27%)
CAGR 0.5% | Win 59%
Sharpe 0.18 | Sortino 0.33 | Calmar 0.0
Vol 34% | MDD -49.8%
Months 27M (11%)
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 25% | MDD -53.3%
Months 95M (38%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -2.1% | Win 55%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.0
Vol 18% | MDD -58.0%
Months 166M (66%)
CAGR 30.0% | Win 69%
Sharpe 1.38 | Sortino 2.10 | Calmar 1.3
Vol 21% | MDD -23.3%
Months 64M (25%)
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
RSmean
neg
CAGR 3.9% | Win 57%
Sharpe 0.31 | Sortino 0.39 | Calmar 0.4
Vol 16% | MDD -9.4%
Months 7M (3%)
CAGR 15.6% | Win 69%
Sharpe 1.45 | Sortino 2.88 | Calmar 3.4
Vol 10% | MDD -4.6%
Months 16M (6%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
MACD
only
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.2% | Win 59%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 14% | MDD -38.1%
Months 167M (66%)
CAGR 13.8% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.3
Vol 28% | MDD -49.8%
Months 63M (25%)
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
RSmean
neg
CAGR 11.3% | Win 62%
Sharpe 0.86 | Sortino 1.20 | Calmar 0.8
Vol 14% | MDD -14.6%
Months 16M (6%)
CAGR 13.3% | Win 71%
Sharpe 1.40 | Sortino 28.20 | Calmar 5.7
Vol 9% | MDD -2.3%
Months 7M (3%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
RSI
only
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.6% | Win 58%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.2
Vol 17% | MDD -30.3%
Months 119M (47%)
CAGR 7.5% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 21% | MDD -55.7%
Months 111M (44%)
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
RSmean
neg
CAGR 15.7% | Win 50%
Sharpe 0.90 | Sortino 1.93 | Calmar 12.7
Vol 18% | MDD -1.2%
Months 4M (2%)
CAGR 11.1% | Win 68%
Sharpe 0.99 | Sortino 1.23 | Calmar 1.2
Vol 11% | MDD -9.4%
Months 19M (8%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
MACDhist
only
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.69 | Sortino 1.22 | Calmar 0.4
Vol 15% | MDD -22.9%
Months 142M (56%)
CAGR 0.6% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 25% | MDD -58.1%
Months 88M (35%)
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
RSmean
neg
CAGR 38.0% | Win 71%
Sharpe 2.45 | Sortino 3.20 | Calmar 8.3
Vol 14% | MDD -4.6%
Months 7M (3%)
CAGR 2.1% | Win 62%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.2
Vol 11% | MDD -12.6%
Months 16M (6%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.7% | Win 60%
Sharpe 0.48 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -28.9%
Months 173M (68%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 57M (22%)
CAGR 6.0% | Win 59%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.1
Vol 19% | MDD -59.7%
Months 230M (91%)
RSmean
neg
CAGR 9.7% | Win 64%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.7
Vol 12% | MDD -14.1%
Months 22M (9%)
CAGR 73.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 11.9% | Win 65%
Sharpe 0.99 | Sortino 1.45 | Calmar 1.1
Vol 12% | MDD -10.5%
Months 23M (9%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.2% | Win 57%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 14% | MDD -33.0%
Months 147M (58%)
CAGR -17.4% | Win 42%
Sharpe -0.45 | Sortino -0.67 | Calmar -0.4
Vol 31% | MDD -44.4%
Months 26M (10%)
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
MACD
neg
CAGR 15.4% | Win 67%
Sharpe 1.19 | Sortino 1.89 | Calmar 0.8
Vol 13% | MDD -19.1%
Months 36M (14%)
CAGR 37.4% | Win 70%
Sharpe 1.51 | Sortino 2.25 | Calmar 1.6
Vol 23% | MDD -23.3%
Months 44M (17%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
RSI
only
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 59%
Sharpe 0.31 | Sortino 0.43 | Calmar 0.1
Vol 16% | MDD -29.7%
Months 105M (42%)
CAGR -9.8% | Win 48%
Sharpe -0.40 | Sortino -0.54 | Calmar -0.2
Vol 21% | MDD -58.3%
Months 68M (27%)
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
MACD
neg
CAGR 12.1% | Win 50%
Sharpe 0.59 | Sortino 1.08 | Calmar 0.7
Vol 24% | MDD -17.3%
Months 18M (7%)
CAGR 31.7% | Win 74%
Sharpe 1.66 | Sortino 2.29 | Calmar 1.4
Vol 18% | MDD -23.3%
Months 62M (24%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
MACDhist
only
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 60%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.3
Vol 13% | MDD -18.9%
Months 100M (40%)
CAGR -10.5% | Win 48%
Sharpe -0.36 | Sortino -0.50 | Calmar -0.2
Vol 23% | MDD -62.4%
Months 73M (29%)
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
MACD
neg
CAGR 23.1% | Win 65%
Sharpe 1.30 | Sortino 2.13 | Calmar 1.2
Vol 17% | MDD -19.8%
Months 49M (19%)
CAGR 33.4% | Win 74%
Sharpe 1.43 | Sortino 1.97 | Calmar 1.4
Vol 22% | MDD -23.3%
Months 31M (12%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.0% | Win 56%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 16% | MDD -36.4%
Months 144M (57%)
CAGR -18.9% | Win 48%
Sharpe -0.68 | Sortino -0.94 | Calmar -0.4
Vol 26% | MDD -46.5%
Months 29M (12%)
CAGR -1.8% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 18% | MDD -58.1%
Months 173M (68%)
MACD
neg
CAGR 22.5% | Win 71%
Sharpe 1.39 | Sortino 1.99 | Calmar 1.3
Vol 16% | MDD -17.3%
Months 51M (20%)
CAGR 35.3% | Win 66%
Sharpe 1.38 | Sortino 2.22 | Calmar 1.5
Vol 24% | MDD -22.8%
Months 29M (12%)
CAGR 27.0% | Win 69%
Sharpe 1.36 | Sortino 2.05 | Calmar 1.2
Vol 19% | MDD -23.3%
Months 80M (32%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.1% | Win 58%
Sharpe 0.42 | Sortino 0.72 | Calmar 0.3
Vol 14% | MDD -19.1%
Months 112M (44%)
CAGR 1.9% | Win 61%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 14% | MDD -42.3%
Months 71M (28%)
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
RSI
neg
CAGR 3.0% | Win 55%
Sharpe 0.25 | Sortino 0.37 | Calmar 0.1
Vol 36% | MDD -26.9%
Months 11M (4%)
CAGR 15.8% | Win 61%
Sharpe 0.71 | Sortino 1.02 | Calmar 0.3
Vol 25% | MDD -51.3%
Months 59M (23%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
MACDhist
only
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.3% | Win 61%
Sharpe 0.61 | Sortino 1.06 | Calmar 0.3
Vol 13% | MDD -24.7%
Months 131M (52%)
CAGR -4.3% | Win 54%
Sharpe -0.18 | Sortino -0.26 | Calmar -0.1
Vol 16% | MDD -40.3%
Months 52M (21%)
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
RSI
neg
CAGR 38.6% | Win 67%
Sharpe 1.59 | Sortino 2.45 | Calmar 3.3
Vol 22% | MDD -11.7%
Months 18M (7%)
CAGR 6.2% | Win 58%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.1
Vol 28% | MDD -51.3%
Months 52M (21%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.2% | Win 61%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -31.4%
Months 163M (64%)
CAGR -13.6% | Win 45%
Sharpe -0.87 | Sortino -1.24 | Calmar -0.6
Vol 15% | MDD -24.6%
Months 20M (8%)
CAGR 3.9% | Win 59%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -40.9%
Months 183M (72%)
RSI
neg
CAGR 11.2% | Win 56%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.5
Vol 24% | MDD -22.3%
Months 32M (13%)
CAGR 15.9% | Win 63%
Sharpe 0.65 | Sortino 0.96 | Calmar 0.3
Vol 30% | MDD -49.8%
Months 38M (15%)
CAGR 13.7% | Win 60%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.3
Vol 27% | MDD -51.3%
Months 70M (28%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 62%
Sharpe 0.63 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -19.8%
Months 99M (39%)
CAGR -8.7% | Win 42%
Sharpe -0.24 | Sortino -0.36 | Calmar -0.3
Vol 25% | MDD -26.5%
Months 24M (10%)
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
MACDhist
neg
CAGR 15.1% | Win 62%
Sharpe 1.05 | Sortino 2.56 | Calmar 0.8
Vol 14% | MDD -18.6%
Months 50M (20%)
CAGR 3.8% | Win 60%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -55.6%
Months 80M (32%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
RSIhist
only
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.0% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -27.7%
Months 119M (47%)
CAGR 1.7% | Win 50%
Sharpe 0.17 | Sortino 0.41 | Calmar 0.2
Vol 17% | MDD -7.9%
Months 4M (2%)
CAGR 4.9% | Win 58%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -29.7%
Months 123M (49%)
MACDhist
neg
CAGR 10.2% | Win 63%
Sharpe 0.78 | Sortino 1.24 | Calmar 0.5
Vol 14% | MDD -21.1%
Months 76M (30%)
CAGR 5.0% | Win 57%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -49.8%
Months 54M (21%)
CAGR 8.0% | Win 61%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.1
Vol 20% | MDD -55.7%
Months 130M (51%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.1% | Win 65%
Sharpe 0.90 | Sortino 1.39 | Calmar 0.6
Vol 14% | MDD -21.9%
Months 122M (48%)
CAGR 4.5% | Win 48%
Sharpe 0.33 | Sortino 0.96 | Calmar 0.1
Vol 18% | MDD -30.1%
Months 27M (11%)
CAGR 10.7% | Win 62%
Sharpe 0.77 | Sortino 1.36 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 149M (59%)
RSIhist
neg
CAGR -0.9% | Win 52%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.0
Vol 19% | MDD -36.6%
Months 73M (29%)
CAGR 5.0% | Win 64%
Sharpe 0.31 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -49.8%
Months 31M (12%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 23% | MDD -58.1%
Months 104M (41%)
LWTI
only
CAGR 7.0% | Win 60%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -30.2%
Months 195M (77%)
CAGR 4.7% | Win 57%
Sharpe 0.31 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -49.8%
Months 58M (23%)