VNQ - Vanguard Real Estate Index Fund ETF

Signal Pair Analysis

RSI-RSIhist

Best Pair

67.0%

Best CAGR

73

Total Months

11.2%

Avg CAGR

VNQ 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 VNQ

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI RSIhist neg-pos 12 4.7 67.0 75.0 2.6 22.9 15.0 20.6 -4.5
pair RSIhist RSI neg-pos 12 4.7 67.0 75.0 2.6 22.9 15.0 20.6 -4.5
pair RSI MRmean pos-neg 10 3.9 59.4 70.0 2.3 18.0 13.3 21.3 -4.5
pair MRmean RSI pos-neg 10 3.9 59.4 70.0 2.3 18.0 13.3 21.3 -4.5
pair MACDhist RSI neg-pos 5 1.9 57.1 80.0 2.8 0.0 0.0 16.7 0.0
pair RSI MACDhist neg-pos 5 1.9 57.1 80.0 2.8 0.0 0.0 16.7 0.0
pair RSmean MRmean pos-neg 8 3.1 52.1 75.0 3.1 178.3 38.7 13.8 -1.3
pair MRmean RSmean pos-neg 8 3.1 52.1 75.0 3.1 178.3 38.7 13.8 -1.3
pair RSmean SLmean pos-neg 8 3.1 52.1 75.0 3.1 178.3 38.7 13.8 -1.3
pair SLmean RSmean pos-neg 8 3.1 52.1 75.0 3.1 178.3 38.7 13.8 -1.3
pair SLmean RSIhist neg-pos 4 1.6 44.6 50.0 1.5 14.5 15.2 27.4 -2.9
pair RSIhist SLmean neg-pos 4 1.6 44.6 50.0 1.5 14.5 15.2 27.4 -2.9
pair RSI MACD pos-neg 23 8.9 41.5 73.9 1.7 2.6 3.2 21.5 -12.9
pair MACD RSI pos-neg 23 8.9 41.5 73.9 1.7 2.6 3.2 21.5 -12.9
pair RSIhist RSmean neg-pos 5 1.9 39.6 60.0 1.8 4.2 63.4 19.7 -0.6
pair RSmean RSIhist neg-pos 5 1.9 39.6 60.0 1.8 4.2 63.4 19.7 -0.6
pair RSI LWTI neg-pos 19 7.4 35.7 84.2 1.2 1.3 1.6 30.5 -22.7
pair LWTI RSI neg-pos 19 7.4 35.7 84.2 1.2 1.3 1.6 30.5 -22.7
pair MRmean MACD pos-neg 32 12.5 32.9 71.9 1.6 5.2 3.6 18.6 -9.1
pair MACD MRmean pos-neg 32 12.5 32.9 71.9 1.6 5.2 3.6 18.6 -9.1
pair MACD RSIhist neg-pos 29 11.3 31.8 69.0 1.5 5.8 3.5 20.1 -9.1
pair RSIhist MACD neg-pos 29 11.3 31.8 69.0 1.5 5.8 3.5 20.1 -9.1
pair MACD MACDhist neg-pos 14 5.4 28.6 71.4 1.3 5.3 3.0 20.3 -9.4
pair MACDhist MACD neg-pos 14 5.4 28.6 71.4 1.3 5.3 3.0 20.3 -9.4
pair RSmean MACD neg-neg 17 6.6 28.2 70.6 1.5 2.1 3.3 17.7 -8.6
pair MACD RSmean neg-neg 17 6.6 28.2 70.6 1.5 2.1 3.3 17.7 -8.6
pair LWTI SLmean neg-neg 24 9.3 27.5 58.3 0.8 1.2 0.8 36.1 -34.5
pair SLmean LWTI neg-neg 24 9.3 27.5 58.3 0.8 1.2 0.8 36.1 -34.5
pair RSmean MACDhist neg-neg 23 8.9 27.0 69.6 1.6 2.1 3.2 15.5 -8.6
pair MACDhist RSmean neg-neg 23 8.9 27.0 69.6 1.6 2.1 3.2 15.5 -8.6
pair RSmean LWTI neg-pos 24 9.3 26.4 70.8 1.5 2.3 2.1 16.4 -12.6
pair LWTI RSmean neg-pos 24 9.3 26.4 70.8 1.5 2.3 2.1 16.4 -12.6
pair RSmean RSI neg-pos 21 8.2 25.6 71.4 1.6 2.3 3.0 14.7 -8.6
pair RSI RSmean neg-pos 21 8.2 25.6 71.4 1.6 2.3 3.0 14.7 -8.6
single RSmean RSmean neg-neg 26 10.1 25.3 69.2 1.5 2.1 2.3 15.8 -10.8
pair RSI SLmean neg-neg 39 15.2 24.7 66.7 0.8 1.1 0.6 34.7 -41.0
pair SLmean RSI neg-neg 39 15.2 24.7 66.7 0.8 1.1 0.6 34.7 -41.0
pair RSI RSmean neg-neg 5 1.9 23.8 60.0 1.1 1.3 3.3 21.9 -7.3
pair RSmean RSI neg-neg 5 1.9 23.8 60.0 1.1 1.3 3.3 21.9 -7.3
pair SLmean MACDhist neg-neg 70 27.2 23.7 71.4 0.9 1.1 0.6 27.9 -41.0
pair MACDhist SLmean neg-neg 70 27.2 23.7 71.4 0.9 1.1 0.6 27.9 -41.0
pair RSmean RSIhist neg-neg 21 8.2 22.1 71.4 1.4 1.7 1.8 15.2 -12.2
pair RSIhist RSmean neg-neg 21 8.2 22.1 71.4 1.4 1.7 1.8 15.2 -12.2
pair MACD RSI neg-pos 34 13.2 20.4 70.6 1.2 2.6 1.5 16.6 -14.0
pair RSI MACD neg-pos 34 13.2 20.4 70.6 1.2 2.6 1.5 16.6 -14.0
pair RSmean MACD neg-pos 9 3.5 20.0 66.7 1.5 2.4 3.5 12.3 -5.7
pair MACD RSmean neg-pos 9 3.5 20.0 66.7 1.5 2.4 3.5 12.3 -5.7
single RSI RSI neg-neg 54 21.0 19.2 66.7 0.7 0.8 0.3 35.0 -59.7
pair RSI RSmean pos-neg 49 19.1 18.8 67.3 0.7 0.8 0.3 36.2 -59.6
pair RSmean RSI pos-neg 49 19.1 18.8 67.3 0.7 0.8 0.3 36.2 -59.6
pair MRmean SLmean neg-neg 70 27.2 17.0 68.6 0.7 0.8 0.4 29.3 -41.0
pair SLmean MRmean neg-neg 70 27.2 17.0 68.6 0.7 0.8 0.4 29.3 -41.0
pair MRmean MACD neg-pos 47 18.3 16.3 68.1 0.8 1.0 0.8 22.1 -21.5
pair MACD MRmean neg-pos 47 18.3 16.3 68.1 0.8 1.0 0.8 22.1 -21.5
pair LWTI MACD neg-pos 41 16.0 16.0 70.7 0.8 0.9 0.7 21.7 -22.7
pair MACD LWTI neg-pos 41 16.0 16.0 70.7 0.8 0.9 0.7 21.7 -22.7
pair MACDhist RSI neg-neg 49 19.1 15.9 65.3 0.6 0.7 0.3 36.4 -59.7
pair RSI MACDhist neg-neg 49 19.1 15.9 65.3 0.6 0.7 0.3 36.4 -59.7
pair RSmean SLmean neg-pos 74 28.8 15.0 64.9 0.6 0.8 0.4 29.1 -40.9
pair SLmean RSmean neg-pos 74 28.8 15.0 64.9 0.6 0.8 0.4 29.1 -40.9
pair SLmean MACD neg-neg 32 12.5 15.0 65.6 0.6 0.7 0.4 35.4 -41.0
pair MACD SLmean neg-neg 32 12.5 15.0 65.6 0.6 0.7 0.4 35.4 -41.0
single SLmean SLmean neg-neg 92 35.8 15.0 65.2 0.7 0.8 0.4 27.0 -41.0
pair SLmean RSmean neg-neg 18 7.0 14.9 66.7 0.9 1.4 1.3 16.4 -11.6
pair RSmean MRmean neg-neg 18 7.0 14.9 66.7 0.9 1.4 1.3 16.4 -11.6
pair MRmean RSmean neg-neg 18 7.0 14.9 66.7 0.9 1.4 1.3 16.4 -11.6
pair SLmean MACD neg-pos 60 23.3 14.9 65.0 0.8 1.0 0.8 21.6 -19.4
pair RSmean SLmean neg-neg 18 7.0 14.9 66.7 0.9 1.4 1.3 16.4 -11.6
pair MACD SLmean neg-pos 60 23.3 14.9 65.0 0.8 1.0 0.8 21.6 -19.4
pair SLmean RSIhist neg-neg 88 34.2 13.8 65.9 0.6 0.8 0.3 27.1 -41.0
pair RSIhist SLmean neg-neg 88 34.2 13.8 65.9 0.6 0.8 0.3 27.1 -41.0
pair RSIhist LWTI pos-neg 14 5.4 13.7 57.1 0.7 1.3 1.2 23.4 -11.2
pair LWTI RSIhist pos-neg 14 5.4 13.7 57.1 0.7 1.3 1.2 23.4 -11.2
pair LWTI MACDhist neg-pos 104 40.5 13.1 63.5 0.8 0.9 0.3 18.7 -37.3
pair MACDhist LWTI neg-pos 104 40.5 13.1 63.5 0.8 0.9 0.3 18.7 -37.3
single MACD MACD neg-neg 65 25.3 12.8 66.2 0.6 0.6 0.2 31.4 -59.7
pair MRmean RSIhist neg-pos 5 1.9 12.8 40.0 0.7 1.9 3.8 20.8 -3.4
pair RSIhist MRmean neg-pos 5 1.9 12.8 40.0 0.7 1.9 3.8 20.8 -3.4
pair MACDhist RSmean neg-pos 3 1.2 12.4 66.7 0.6 0.0 0.0 22.1 0.0
pair RSmean MACDhist neg-pos 3 1.2 12.4 66.7 0.6 0.0 0.0 22.1 0.0
pair LWTI RSmean neg-neg 2 0.8 12.0 50.0 2.2 0.0 0.0 5.3 0.0
pair RSmean LWTI neg-neg 2 0.8 12.0 50.0 2.2 0.0 0.0 5.3 0.0
pair MRmean MACDhist neg-neg 75 29.2 11.9 66.7 0.5 0.6 0.2 30.5 -59.7
pair MACDhist MRmean neg-neg 75 29.2 11.9 66.7 0.5 0.6 0.2 30.5 -59.7
pair MRmean RSI neg-neg 44 17.1 11.6 65.9 0.5 0.6 0.2 37.4 -59.7
pair RSI MRmean neg-neg 44 17.1 11.6 65.9 0.5 0.6 0.2 37.4 -59.7
pair RSIhist MACDhist neg-pos 45 17.5 11.4 53.3 0.8 1.4 0.8 16.3 -13.8
pair MACDhist RSIhist neg-pos 45 17.5 11.4 53.3 0.8 1.4 0.8 16.3 -13.8
pair MACDhist LWTI pos-neg 2 0.8 11.4 50.0 0.5 0.0 0.0 27.0 0.0
pair LWTI MACDhist pos-neg 2 0.8 11.4 50.0 0.5 0.0 0.0 27.0 0.0
pair MACD MACDhist pos-neg 93 36.2 11.3 59.1 0.7 1.1 0.4 17.4 -26.3
pair MACDhist MACD pos-neg 93 36.2 11.3 59.1 0.7 1.1 0.4 17.4 -26.3
pair RSI LWTI neg-neg 35 13.6 11.2 57.1 0.5 0.6 0.2 37.5 -47.8
pair LWTI RSI neg-neg 35 13.6 11.2 57.1 0.5 0.6 0.2 37.5 -47.8
pair LWTI SLmean neg-pos 68 26.5 10.9 67.6 0.6 0.6 0.4 23.2 -24.5
pair SLmean LWTI neg-pos 68 26.5 10.9 67.6 0.6 0.6 0.4 23.2 -24.5
pair SLmean MACD pos-neg 33 12.8 10.7 66.7 0.5 0.5 0.3 27.6 -32.2
pair MACD SLmean pos-neg 33 12.8 10.7 66.7 0.5 0.5 0.3 27.6 -32.2
single MACDhist MACDhist neg-neg 144 56.0 10.4 61.1 0.5 0.6 0.1 24.5 -68.3
pair RSIhist MACDhist neg-neg 99 38.5 10.0 64.6 0.5 0.6 0.2 27.5 -63.5
pair MACDhist RSIhist neg-neg 99 38.5 10.0 64.6 0.5 0.6 0.2 27.5 -63.5
pair MRmean LWTI neg-pos 49 19.1 9.6 71.4 0.5 0.6 0.3 25.0 -31.0
pair LWTI MRmean neg-pos 49 19.1 9.6 71.4 0.5 0.6 0.3 25.0 -31.0
single RSIhist RSIhist pos-pos 132 51.4 9.5 59.8 0.7 1.2 0.4 15.7 -22.0
pair MRmean RSIhist pos-pos 127 49.4 9.3 60.6 0.7 1.2 0.5 15.5 -20.4
pair RSIhist MRmean pos-pos 127 49.4 9.3 60.6 0.7 1.2 0.5 15.5 -20.4
pair LWTI RSIhist pos-pos 118 45.9 9.0 60.2 0.7 1.2 0.5 14.6 -19.0
pair RSIhist LWTI pos-pos 118 45.9 9.0 60.2 0.7 1.2 0.5 14.6 -19.0
pair MACDhist MRmean pos-neg 69 26.8 8.8 55.1 0.6 1.0 0.3 15.7 -31.0
pair MRmean MACDhist pos-neg 69 26.8 8.8 55.1 0.6 1.0 0.3 15.7 -31.0
pair MACD MACDhist neg-neg 51 19.8 8.8 64.7 0.4 0.5 0.1 34.0 -59.7
pair MACDhist MACD neg-neg 51 19.8 8.8 64.7 0.4 0.5 0.1 34.0 -59.7
pair SLmean MRmean pos-neg 22 8.6 8.7 54.5 0.6 0.9 0.6 18.2 -13.7
pair MRmean SLmean pos-neg 22 8.6 8.7 54.5 0.6 0.9 0.6 18.2 -13.7
pair SLmean RSIhist pos-pos 128 49.8 8.5 60.2 0.6 1.1 0.4 15.3 -22.0
pair RSIhist SLmean pos-pos 128 49.8 8.5 60.2 0.6 1.1 0.4 15.3 -22.0
pair RSIhist RSmean pos-pos 127 49.4 8.4 59.8 0.6 1.1 0.2 15.5 -33.6
pair RSmean RSIhist pos-pos 127 49.4 8.4 59.8 0.6 1.1 0.2 15.5 -33.6
pair RSIhist MACDhist pos-pos 87 33.9 8.4 63.2 0.6 1.1 0.4 15.4 -19.1
pair MACDhist RSIhist pos-pos 87 33.9 8.4 63.2 0.6 1.1 0.4 15.4 -19.1
single LWTI LWTI pos-pos 215 83.7 8.3 61.4 0.5 0.7 0.2 17.9 -37.3
pair RSI RSIhist neg-neg 42 16.3 8.3 64.3 0.4 0.5 0.1 37.9 -59.7
pair SLmean RSI neg-pos 53 20.6 8.3 64.2 0.5 0.6 0.3 19.7 -27.3
pair RSI SLmean neg-pos 53 20.6 8.3 64.2 0.5 0.6 0.3 19.7 -27.3
pair RSIhist RSI neg-neg 42 16.3 8.3 64.3 0.4 0.5 0.1 37.9 -59.7
pair MACD RSIhist pos-neg 89 34.6 8.2 59.6 0.5 0.7 0.3 20.0 -24.7
pair RSIhist MACD pos-neg 89 34.6 8.2 59.6 0.5 0.7 0.3 20.0 -24.7
pair LWTI MRmean pos-pos 166 64.6 7.9 58.4 0.6 1.0 0.4 15.3 -21.1
pair MRmean LWTI pos-pos 166 64.6 7.9 58.4 0.6 1.0 0.4 15.3 -21.1
pair RSmean MACD pos-neg 48 18.7 7.8 64.6 0.4 0.5 0.1 35.2 -59.6
pair MACD RSmean pos-neg 48 18.7 7.8 64.6 0.4 0.5 0.1 35.2 -59.6
pair RSI MACDhist pos-neg 95 37.0 7.7 58.9 0.6 0.8 0.2 15.1 -34.8
pair MACDhist RSI pos-neg 95 37.0 7.7 58.9 0.6 0.8 0.2 15.1 -34.8
pair benchmark___benchmark_ benchmark-benchmark 257 100.0 7.6 60.3 0.5 0.6 0.1 21.6 -68.3
single MRmean MRmean neg-neg 80 31.1 7.6 65.0 0.4 0.5 0.1 30.7 -59.7
single MRmean MRmean pos-pos 177 68.9 7.6 58.2 0.5 0.9 0.2 15.9 -31.0
pair benchmark___benchmark_ benchmark-benchmark 257 100.0 7.6 60.3 0.5 0.6 0.1 21.6 -68.3
pair SLmean MACDhist pos-pos 91 35.4 7.5 62.6 0.6 1.0 0.4 15.4 -20.2
pair MACDhist SLmean pos-pos 91 35.4 7.5 62.6 0.6 1.0 0.4 15.4 -20.2
pair RSmean MACDhist pos-neg 121 47.1 7.5 59.5 0.4 0.5 0.1 25.8 -68.3
pair LWTI MACD neg-neg 24 9.3 7.5 58.3 0.4 0.5 0.2 44.0 -47.8
pair MACD LWTI neg-neg 24 9.3 7.5 58.3 0.4 0.5 0.2 44.0 -47.8
pair MACDhist RSmean pos-neg 121 47.1 7.5 59.5 0.4 0.5 0.1 25.8 -68.3
pair RSIhist LWTI neg-pos 97 37.7 7.4 62.9 0.5 0.5 0.2 21.3 -42.5
pair LWTI RSIhist neg-pos 97 37.7 7.4 62.9 0.5 0.5 0.2 21.3 -42.5
pair SLmean MRmean pos-pos 155 60.3 7.4 58.7 0.5 0.9 0.2 15.6 -31.0
pair MRmean SLmean pos-pos 155 60.3 7.4 58.7 0.5 0.9 0.2 15.6 -31.0
pair RSIhist MRmean neg-neg 75 29.2 7.2 66.7 0.4 0.4 0.1 31.3 -59.7
pair MRmean RSIhist neg-neg 75 29.2 7.2 66.7 0.4 0.4 0.1 31.3 -59.7
pair SLmean LWTI pos-pos 147 57.2 7.1 58.5 0.5 0.9 0.3 14.9 -20.3
pair LWTI SLmean pos-pos 147 57.2 7.1 58.5 0.5 0.9 0.3 14.9 -20.3
pair MRmean MACDhist pos-pos 108 42.0 6.8 60.2 0.5 0.9 0.3 16.1 -24.3
pair MACDhist MRmean pos-pos 108 42.0 6.8 60.2 0.5 0.9 0.3 16.1 -24.3
pair LWTI MACD pos-pos 174 67.7 6.5 59.2 0.5 0.7 0.2 16.9 -29.3
pair MACD LWTI pos-pos 174 67.7 6.5 59.2 0.5 0.7 0.2 16.9 -29.3
pair RSmean LWTI pos-pos 191 74.3 6.2 60.2 0.4 0.6 0.2 18.0 -37.3
pair LWTI RSmean pos-pos 191 74.3 6.2 60.2 0.4 0.6 0.2 18.0 -37.3
pair RSI SLmean pos-neg 15 5.8 6.2 66.7 0.4 0.3 0.2 36.9 -32.2
pair SLmean RSI pos-neg 15 5.8 6.2 66.7 0.4 0.3 0.2 36.9 -32.2
pair RSI LWTI pos-pos 196 76.3 5.9 59.2 0.4 0.6 0.2 16.1 -32.1
pair LWTI RSI pos-pos 196 76.3 5.9 59.2 0.4 0.6 0.2 16.1 -32.1
single MACD MACD pos-pos 192 74.7 5.9 58.3 0.4 0.6 0.2 17.0 -30.6
pair RSmean MRmean pos-pos 169 65.8 5.8 57.4 0.4 0.7 0.2 15.9 -31.0
pair MRmean RSmean pos-pos 169 65.8 5.8 57.4 0.4 0.7 0.2 15.9 -31.0
single RSmean RSmean pos-pos 231 89.9 5.7 59.3 0.4 0.5 0.1 22.1 -68.3
single RSIhist RSIhist neg-neg 125 48.6 5.6 60.8 0.3 0.4 0.1 26.4 -63.5
pair MRmean RSmean neg-pos 62 24.1 5.5 64.5 0.3 0.4 0.1 33.8 -59.6
pair RSmean MRmean neg-pos 62 24.1 5.5 64.5 0.3 0.4 0.1 33.8 -59.6
pair MACD RSmean pos-pos 183 71.2 5.2 57.9 0.4 0.6 0.2 17.2 -27.2
pair RSmean MACD pos-pos 183 71.2 5.2 57.9 0.4 0.6 0.2 17.2 -27.2
pair RSI MACD neg-neg 31 12.1 5.1 61.3 0.3 0.4 0.1 42.5 -59.7
pair MACD RSI neg-neg 31 12.1 5.1 61.3 0.3 0.4 0.1 42.5 -59.7
pair RSI MRmean pos-pos 167 65.0 5.1 57.5 0.4 0.6 0.2 15.3 -32.7
pair MRmean RSI pos-pos 167 65.0 5.1 57.5 0.4 0.6 0.2 15.3 -32.7
pair RSIhist RSI pos-pos 120 46.7 4.9 58.3 0.4 0.7 0.2 14.6 -27.7
pair RSI RSIhist pos-pos 120 46.7 4.9 58.3 0.4 0.7 0.2 14.6 -27.7
single RSI RSI pos-pos 203 79.0 4.7 58.6 0.4 0.5 0.1 16.2 -36.1
pair LWTI MRmean neg-neg 31 12.1 4.4 54.8 0.3 0.4 0.1 38.5 -47.8
pair MRmean LWTI neg-neg 31 12.1 4.4 54.8 0.3 0.4 0.1 38.5 -47.8
pair RSI RSIhist pos-neg 83 32.3 4.3 59.0 0.3 0.4 0.1 18.3 -33.0
pair RSIhist RSI pos-neg 83 32.3 4.3 59.0 0.3 0.4 0.1 18.3 -33.0
single MACDhist MACDhist pos-pos 113 44.0 4.0 59.3 0.3 0.5 0.1 17.2 -34.9
single LWTI LWTI neg-neg 42 16.3 4.0 54.8 0.3 0.4 0.1 35.0 -50.9
pair RSIhist MACD pos-pos 103 40.1 3.9 57.3 0.3 0.5 0.1 13.9 -25.8
pair MACD RSIhist pos-pos 103 40.1 3.9 57.3 0.3 0.5 0.1 13.9 -25.8
pair LWTI MACDhist pos-pos 111 43.2 3.9 59.5 0.3 0.5 0.1 17.1 -34.9
pair MACDhist LWTI pos-pos 111 43.2 3.9 59.5 0.3 0.5 0.1 17.1 -34.9
pair RSmean MACDhist pos-pos 110 42.8 3.8 59.1 0.3 0.4 0.1 17.1 -34.9
pair MACDhist RSmean pos-pos 110 42.8 3.8 59.1 0.3 0.4 0.1 17.1 -34.9
pair LWTI MACDhist neg-neg 40 15.6 3.7 55.0 0.3 0.3 0.1 35.7 -50.9
pair LWTI RSmean pos-neg 40 15.6 3.7 55.0 0.3 0.4 0.1 35.9 -50.8
pair RSmean LWTI pos-neg 40 15.6 3.7 55.0 0.3 0.4 0.1 35.9 -50.8
pair MACDhist LWTI neg-neg 40 15.6 3.7 55.0 0.3 0.3 0.1 35.7 -50.9
single SLmean SLmean pos-pos 165 64.2 3.7 57.6 0.3 0.4 0.1 17.8 -48.7
pair SLmean RSI pos-pos 150 58.4 3.4 56.7 0.3 0.5 0.1 14.8 -32.8
pair RSI SLmean pos-pos 150 58.4 3.4 56.7 0.3 0.5 0.1 14.8 -32.8
pair RSIhist MRmean pos-neg 50 19.5 3.3 52.0 0.3 0.4 0.1 16.8 -29.7
pair MRmean RSIhist pos-neg 50 19.5 3.3 52.0 0.3 0.4 0.1 16.8 -29.7
pair LWTI MRmean pos-neg 11 4.3 3.0 54.5 0.2 0.5 0.5 24.2 -6.2
pair MRmean LWTI pos-neg 11 4.3 3.0 54.5 0.2 0.5 0.5 24.2 -6.2
pair MRmean RSI neg-pos 36 14.0 2.8 63.9 0.2 0.3 0.1 20.0 -36.9
pair RSI MRmean neg-pos 36 14.0 2.8 63.9 0.2 0.3 0.1 20.0 -36.9
pair MRmean MACD pos-pos 145 56.4 2.7 55.2 0.2 0.4 0.1 15.0 -32.4
pair MACD MRmean pos-pos 145 56.4 2.7 55.2 0.2 0.4 0.1 15.0 -32.4
pair RSmean RSIhist pos-neg 104 40.5 2.6 58.7 0.2 0.3 0.0 28.2 -63.4
pair RSIhist RSmean pos-neg 104 40.5 2.6 58.7 0.2 0.3 0.0 28.2 -63.4
pair RSmean RSI pos-pos 182 70.8 2.5 57.1 0.2 0.3 0.1 16.3 -35.9
pair RSI RSmean pos-pos 182 70.8 2.5 57.1 0.2 0.3 0.1 16.3 -35.9
pair MACDhist RSI pos-pos 108 42.0 2.1 58.3 0.2 0.3 0.1 17.1 -34.9
pair RSI MACDhist pos-pos 108 42.0 2.1 58.3 0.2 0.3 0.1 17.1 -34.9
pair MACD SLmean pos-pos 132 51.4 2.0 55.3 0.2 0.3 0.1 14.4 -29.2
pair SLmean MACD pos-pos 132 51.4 2.0 55.3 0.2 0.3 0.1 14.4 -29.2
pair RSI MACD pos-pos 169 65.8 1.8 56.2 0.2 0.3 0.1 16.0 -35.7
pair MACD RSI pos-pos 169 65.8 1.8 56.2 0.2 0.3 0.1 16.0 -35.7
pair RSmean SLmean pos-pos 157 61.1 1.7 56.7 0.2 0.2 0.0 17.8 -48.7
pair SLmean RSmean pos-pos 157 61.1 1.7 56.7 0.2 0.2 0.0 17.8 -48.7
pair MACD MACDhist pos-pos 99 38.5 1.0 57.6 0.1 0.2 0.0 16.6 -34.9
pair MACDhist MACD pos-pos 99 38.5 1.0 57.6 0.1 0.2 0.0 16.6 -34.9
pair MACD LWTI pos-neg 18 7.0 -0.4 50.0 0.1 0.1 -0.0 18.3 -12.8
pair LWTI MACD pos-neg 18 7.0 -0.4 50.0 0.1 0.1 -0.0 18.3 -12.8
pair MACD RSIhist neg-neg 36 14.0 -0.5 63.9 0.2 0.2 -0.0 38.3 -59.7
pair RSIhist MACD neg-neg 36 14.0 -0.5 63.9 0.2 0.2 -0.0 38.3 -59.7
pair LWTI RSIhist neg-neg 28 10.9 -0.5 53.6 0.2 0.2 -0.0 40.0 -47.8
pair RSIhist LWTI neg-neg 28 10.9 -0.5 53.6 0.2 0.2 -0.0 40.0 -47.8
pair SLmean MACDhist pos-neg 74 28.8 -0.8 51.4 0.1 0.1 -0.0 20.4 -48.7
pair MACDhist SLmean pos-neg 74 28.8 -0.8 51.4 0.1 0.1 -0.0 20.4 -48.7
pair MRmean MACD neg-neg 33 12.8 -3.8 60.6 0.1 0.1 -0.1 40.2 -59.9
pair MACD MRmean neg-neg 33 12.8 -3.8 60.6 0.1 0.1 -0.1 40.2 -59.9
pair SLmean MACDhist neg-pos 22 8.6 -9.0 45.5 -0.3 -0.4 -0.3 23.3 -30.6
pair MACDhist SLmean neg-pos 22 8.6 -9.0 45.5 -0.3 -0.4 -0.3 23.3 -30.6
pair MACDhist RSIhist pos-neg 26 10.1 -9.5 46.2 -0.3 -0.4 -0.3 22.0 -29.0
pair RSIhist MACDhist pos-neg 26 10.1 -9.5 46.2 -0.3 -0.4 -0.3 22.0 -29.0
pair RSIhist SLmean pos-neg 37 14.4 -11.5 48.6 -0.4 -0.4 -0.3 24.3 -42.7
pair SLmean RSIhist pos-neg 37 14.4 -11.5 48.6 -0.4 -0.4 -0.3 24.3 -42.7
pair LWTI SLmean pos-neg 18 7.0 -20.6 50.0 -0.5 -0.5 -0.5 33.0 -39.5
pair SLmean LWTI pos-neg 18 7.0 -20.6 50.0 -0.5 -0.5 -0.5 33.0 -39.5
pair LWTI RSI pos-neg 7 2.7 -25.3 42.9 -1.8 -1.8 -1.6 15.8 -15.5
pair RSI LWTI pos-neg 7 2.7 -25.3 42.9 -1.8 -1.8 -1.6 15.8 -15.5
pair SLmean MRmean neg-pos 10 3.9 -40.4 40.0 -1.2 -1.1 -1.0 36.8 -38.9
pair MRmean SLmean neg-pos 10 3.9 -40.4 40.0 -1.2 -1.1 -1.0 36.8 -38.9
pair MRmean MACDhist neg-pos 5 1.9 -40.9 40.0 -1.4 -1.4 -1.8 32.3 -23.2
pair MACDhist MRmean neg-pos 5 1.9 -40.9 40.0 -1.4 -1.4 -1.8 32.3 -23.2

All Contingency Tables for VNQ

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 59%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 155M (60%)
CAGR 8.7% | Win 55%
Sharpe 0.55 | Sortino 0.90 | Calmar 0.6
Vol 18% | MDD -13.7%
Months 22M (9%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR -40.4% | Win 40%
Sharpe -1.17 | Sortino -1.06 | Calmar -1.0
Vol 37% | MDD -38.9%
Months 10M (4%)
CAGR 17.0% | Win 69%
Sharpe 0.69 | Sortino 0.85 | Calmar 0.4
Vol 29% | MDD -41.0%
Months 70M (27%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
SLmean
only
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.8% | Win 57%
Sharpe 0.44 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 169M (66%)
CAGR 52.1% | Win 75%
Sharpe 3.15 | Sortino 178.35 | Calmar 38.7
Vol 14% | MDD -1.3%
Months 8M (3%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR 5.5% | Win 64%
Sharpe 0.34 | Sortino 0.38 | Calmar 0.1
Vol 34% | MDD -59.6%
Months 62M (24%)
CAGR 14.9% | Win 67%
Sharpe 0.93 | Sortino 1.38 | Calmar 1.3
Vol 16% | MDD -11.6%
Months 18M (7%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
RSmean
only
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 2.7% | Win 55%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 15% | MDD -32.4%
Months 145M (56%)
CAGR 32.9% | Win 72%
Sharpe 1.64 | Sortino 5.21 | Calmar 3.6
Vol 19% | MDD -9.1%
Months 32M (12%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR 16.3% | Win 68%
Sharpe 0.80 | Sortino 0.99 | Calmar 0.8
Vol 22% | MDD -21.5%
Months 47M (18%)
CAGR -3.8% | Win 61%
Sharpe 0.11 | Sortino 0.13 | Calmar -0.1
Vol 40% | MDD -59.9%
Months 33M (13%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
MACD
only
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 57%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.2
Vol 15% | MDD -32.7%
Months 167M (65%)
CAGR 59.4% | Win 70%
Sharpe 2.33 | Sortino 18.01 | Calmar 13.3
Vol 21% | MDD -4.5%
Months 10M (4%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR 2.8% | Win 64%
Sharpe 0.24 | Sortino 0.27 | Calmar 0.1
Vol 20% | MDD -36.9%
Months 36M (14%)
CAGR 11.6% | Win 66%
Sharpe 0.49 | Sortino 0.56 | Calmar 0.2
Vol 37% | MDD -59.7%
Months 44M (17%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
RSI
only
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 60%
Sharpe 0.49 | Sortino 0.88 | Calmar 0.3
Vol 16% | MDD -24.3%
Months 108M (42%)
CAGR 8.8% | Win 55%
Sharpe 0.62 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 69M (27%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR -40.9% | Win 40%
Sharpe -1.45 | Sortino -1.43 | Calmar -1.8
Vol 32% | MDD -23.2%
Months 5M (2%)
CAGR 11.9% | Win 67%
Sharpe 0.53 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -59.7%
Months 75M (29%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
MACDhist
only
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 61%
Sharpe 0.65 | Sortino 1.17 | Calmar 0.5
Vol 16% | MDD -20.4%
Months 127M (49%)
CAGR 3.3% | Win 52%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 17% | MDD -29.7%
Months 50M (20%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR 12.8% | Win 40%
Sharpe 0.66 | Sortino 1.94 | Calmar 3.8
Vol 21% | MDD -3.4%
Months 5M (2%)
CAGR 7.2% | Win 67%
Sharpe 0.39 | Sortino 0.43 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 75M (29%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 58%
Sharpe 0.57 | Sortino 0.96 | Calmar 0.4
Vol 15% | MDD -21.1%
Months 166M (65%)
CAGR 3.0% | Win 55%
Sharpe 0.23 | Sortino 0.52 | Calmar 0.5
Vol 24% | MDD -6.2%
Months 11M (4%)
CAGR 7.6% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -31.0%
Months 177M (69%)
MRmean
neg
CAGR 9.6% | Win 71%
Sharpe 0.50 | Sortino 0.56 | Calmar 0.3
Vol 25% | MDD -31.0%
Months 49M (19%)
CAGR 4.4% | Win 55%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 38% | MDD -47.8%
Months 31M (12%)
CAGR 7.6% | Win 65%
Sharpe 0.40 | Sortino 0.45 | Calmar 0.1
Vol 31% | MDD -59.7%
Months 80M (31%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.7% | Win 57%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 18% | MDD -48.7%
Months 157M (61%)
CAGR 52.1% | Win 75%
Sharpe 3.15 | Sortino 178.35 | Calmar 38.7
Vol 14% | MDD -1.3%
Months 8M (3%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR 15.0% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.4
Vol 29% | MDD -40.9%
Months 74M (29%)
CAGR 14.9% | Win 67%
Sharpe 0.93 | Sortino 1.38 | Calmar 1.3
Vol 16% | MDD -11.6%
Months 18M (7%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
RSmean
only
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.0% | Win 55%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -29.2%
Months 132M (51%)
CAGR 10.7% | Win 67%
Sharpe 0.52 | Sortino 0.49 | Calmar 0.3
Vol 28% | MDD -32.2%
Months 33M (13%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR 14.9% | Win 65%
Sharpe 0.76 | Sortino 0.99 | Calmar 0.8
Vol 22% | MDD -19.4%
Months 60M (23%)
CAGR 15.0% | Win 66%
Sharpe 0.57 | Sortino 0.72 | Calmar 0.4
Vol 35% | MDD -41.0%
Months 32M (12%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
MACD
only
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 57%
Sharpe 0.30 | Sortino 0.48 | Calmar 0.1
Vol 15% | MDD -32.8%
Months 150M (58%)
CAGR 6.2% | Win 67%
Sharpe 0.36 | Sortino 0.31 | Calmar 0.2
Vol 37% | MDD -32.2%
Months 15M (6%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR 8.3% | Win 64%
Sharpe 0.51 | Sortino 0.62 | Calmar 0.3
Vol 20% | MDD -27.3%
Months 53M (21%)
CAGR 24.7% | Win 67%
Sharpe 0.81 | Sortino 1.05 | Calmar 0.6
Vol 35% | MDD -41.0%
Months 39M (15%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
RSI
only
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 1.01 | Calmar 0.4
Vol 15% | MDD -20.2%
Months 91M (35%)
CAGR -0.8% | Win 51%
Sharpe 0.07 | Sortino 0.07 | Calmar -0.0
Vol 20% | MDD -48.7%
Months 74M (29%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR -9.0% | Win 46%
Sharpe -0.29 | Sortino -0.36 | Calmar -0.3
Vol 23% | MDD -30.6%
Months 22M (9%)
CAGR 23.7% | Win 71%
Sharpe 0.91 | Sortino 1.11 | Calmar 0.6
Vol 28% | MDD -41.0%
Months 70M (27%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
MACDhist
only
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.61 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.0%
Months 128M (50%)
CAGR -11.5% | Win 49%
Sharpe -0.36 | Sortino -0.36 | Calmar -0.3
Vol 24% | MDD -42.7%
Months 37M (14%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR 44.6% | Win 50%
Sharpe 1.46 | Sortino 14.51 | Calmar 15.2
Vol 27% | MDD -2.9%
Months 4M (2%)
CAGR 13.8% | Win 66%
Sharpe 0.61 | Sortino 0.76 | Calmar 0.3
Vol 27% | MDD -41.0%
Months 88M (34%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.1% | Win 58%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.4
Vol 15% | MDD -20.3%
Months 147M (57%)
CAGR -20.6% | Win 50%
Sharpe -0.51 | Sortino -0.51 | Calmar -0.5
Vol 33% | MDD -39.5%
Months 18M (7%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 165M (64%)
SLmean
neg
CAGR 10.9% | Win 68%
Sharpe 0.57 | Sortino 0.64 | Calmar 0.4
Vol 23% | MDD -24.5%
Months 68M (26%)
CAGR 27.5% | Win 58%
Sharpe 0.85 | Sortino 1.25 | Calmar 0.8
Vol 36% | MDD -34.5%
Months 24M (9%)
CAGR 15.0% | Win 65%
Sharpe 0.66 | Sortino 0.83 | Calmar 0.4
Vol 27% | MDD -41.0%
Months 92M (36%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 5.2% | Win 58%
Sharpe 0.38 | Sortino 0.55 | Calmar 0.2
Vol 17% | MDD -27.2%
Months 183M (71%)
CAGR 7.8% | Win 65%
Sharpe 0.40 | Sortino 0.46 | Calmar 0.1
Vol 35% | MDD -59.6%
Months 48M (19%)
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
RSmean
neg
CAGR 20.0% | Win 67%
Sharpe 1.54 | Sortino 2.37 | Calmar 3.5
Vol 12% | MDD -5.7%
Months 9M (4%)
CAGR 28.2% | Win 71%
Sharpe 1.50 | Sortino 2.15 | Calmar 3.3
Vol 18% | MDD -8.6%
Months 17M (7%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
MACD
only
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 16% | MDD -35.9%
Months 182M (71%)
CAGR 18.8% | Win 67%
Sharpe 0.67 | Sortino 0.76 | Calmar 0.3
Vol 36% | MDD -59.6%
Months 49M (19%)
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
RSmean
neg
CAGR 25.6% | Win 71%
Sharpe 1.63 | Sortino 2.28 | Calmar 3.0
Vol 15% | MDD -8.6%
Months 21M (8%)
CAGR 23.8% | Win 60%
Sharpe 1.07 | Sortino 1.34 | Calmar 3.3
Vol 22% | MDD -7.3%
Months 5M (2%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
RSI
only
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.8% | Win 59%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 110M (43%)
CAGR 7.5% | Win 60%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.1
Vol 26% | MDD -68.3%
Months 121M (47%)
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
RSmean
neg
CAGR 12.4% | Win 67%
Sharpe 0.61 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 3M (1%)
CAGR 27.0% | Win 70%
Sharpe 1.64 | Sortino 2.13 | Calmar 3.2
Vol 16% | MDD -8.6%
Months 23M (9%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
MACDhist
only
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.4% | Win 60%
Sharpe 0.60 | Sortino 1.07 | Calmar 0.2
Vol 16% | MDD -33.6%
Months 127M (49%)
CAGR 2.6% | Win 59%
Sharpe 0.24 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -63.4%
Months 104M (40%)
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
RSmean
neg
CAGR 39.6% | Win 60%
Sharpe 1.79 | Sortino 4.21 | Calmar 63.4
Vol 20% | MDD -0.6%
Months 5M (2%)
CAGR 22.1% | Win 71%
Sharpe 1.39 | Sortino 1.73 | Calmar 1.8
Vol 15% | MDD -12.2%
Months 21M (8%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 60%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 191M (74%)
CAGR 3.7% | Win 55%
Sharpe 0.28 | Sortino 0.36 | Calmar 0.1
Vol 36% | MDD -50.8%
Months 40M (16%)
CAGR 5.7% | Win 59%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -68.3%
Months 231M (90%)
RSmean
neg
CAGR 26.4% | Win 71%
Sharpe 1.52 | Sortino 2.29 | Calmar 2.1
Vol 16% | MDD -12.6%
Months 24M (9%)
CAGR 12.0% | Win 50%
Sharpe 2.17 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 25.3% | Win 69%
Sharpe 1.51 | Sortino 2.15 | Calmar 2.3
Vol 16% | MDD -10.8%
Months 26M (10%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 16% | MDD -35.7%
Months 169M (66%)
CAGR 41.5% | Win 74%
Sharpe 1.74 | Sortino 2.58 | Calmar 3.2
Vol 22% | MDD -12.9%
Months 23M (9%)
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
MACD
neg
CAGR 20.4% | Win 71%
Sharpe 1.21 | Sortino 2.59 | Calmar 1.5
Vol 17% | MDD -14.0%
Months 34M (13%)
CAGR 5.1% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 42% | MDD -59.7%
Months 31M (12%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
RSI
only
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 1.0% | Win 58%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -34.9%
Months 99M (38%)
CAGR 11.3% | Win 59%
Sharpe 0.71 | Sortino 1.05 | Calmar 0.4
Vol 17% | MDD -26.3%
Months 93M (36%)
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
MACD
neg
CAGR 28.6% | Win 71%
Sharpe 1.34 | Sortino 5.29 | Calmar 3.0
Vol 20% | MDD -9.4%
Months 14M (5%)
CAGR 8.8% | Win 65%
Sharpe 0.43 | Sortino 0.47 | Calmar 0.1
Vol 34% | MDD -59.7%
Months 51M (20%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
MACDhist
only
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 3.9% | Win 57%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 14% | MDD -25.8%
Months 103M (40%)
CAGR 8.2% | Win 60%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.3
Vol 20% | MDD -24.7%
Months 89M (35%)
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
MACD
neg
CAGR 31.8% | Win 69%
Sharpe 1.49 | Sortino 5.76 | Calmar 3.5
Vol 20% | MDD -9.1%
Months 29M (11%)
CAGR -0.5% | Win 64%
Sharpe 0.19 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -59.7%
Months 36M (14%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.5% | Win 59%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -29.3%
Months 174M (68%)
CAGR -0.4% | Win 50%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 18% | MDD -12.8%
Months 18M (7%)
CAGR 5.9% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -30.6%
Months 192M (75%)
MACD
neg
CAGR 16.0% | Win 71%
Sharpe 0.80 | Sortino 0.90 | Calmar 0.7
Vol 22% | MDD -22.7%
Months 41M (16%)
CAGR 7.5% | Win 58%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.2
Vol 44% | MDD -47.8%
Months 24M (9%)
CAGR 12.8% | Win 66%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.2
Vol 31% | MDD -59.7%
Months 65M (25%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 108M (42%)
CAGR 7.7% | Win 59%
Sharpe 0.57 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -34.8%
Months 95M (37%)
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
RSI
neg
CAGR 57.1% | Win 80%
Sharpe 2.83 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 5M (2%)
CAGR 15.9% | Win 65%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.3
Vol 36% | MDD -59.7%
Months 49M (19%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
MACDhist
only
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.9% | Win 58%
Sharpe 0.40 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -27.7%
Months 120M (47%)
CAGR 4.3% | Win 59%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -33.0%
Months 83M (32%)
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
RSI
neg
CAGR 67.0% | Win 75%
Sharpe 2.63 | Sortino 22.87 | Calmar 15.0
Vol 21% | MDD -4.5%
Months 12M (5%)
CAGR 8.3% | Win 64%
Sharpe 0.41 | Sortino 0.47 | Calmar 0.1
Vol 38% | MDD -59.7%
Months 42M (16%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 59%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -32.1%
Months 196M (76%)
CAGR -25.3% | Win 43%
Sharpe -1.75 | Sortino -1.78 | Calmar -1.6
Vol 16% | MDD -15.5%
Months 7M (3%)
CAGR 4.7% | Win 59%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -36.1%
Months 203M (79%)
RSI
neg
CAGR 35.7% | Win 84%
Sharpe 1.17 | Sortino 1.32 | Calmar 1.6
Vol 30% | MDD -22.7%
Months 19M (7%)
CAGR 11.2% | Win 57%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.2
Vol 38% | MDD -47.8%
Months 35M (14%)
CAGR 19.2% | Win 67%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.3
Vol 35% | MDD -59.7%
Months 54M (21%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.4% | Win 63%
Sharpe 0.60 | Sortino 1.12 | Calmar 0.4
Vol 15% | MDD -19.1%
Months 87M (34%)
CAGR -9.5% | Win 46%
Sharpe -0.34 | Sortino -0.42 | Calmar -0.3
Vol 22% | MDD -29.0%
Months 26M (10%)
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
MACDhist
neg
CAGR 11.4% | Win 53%
Sharpe 0.75 | Sortino 1.43 | Calmar 0.8
Vol 16% | MDD -13.8%
Months 45M (18%)
CAGR 10.0% | Win 65%
Sharpe 0.49 | Sortino 0.55 | Calmar 0.2
Vol 28% | MDD -63.5%
Months 99M (38%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
RSIhist
only
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 3.9% | Win 60%
Sharpe 0.31 | Sortino 0.45 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 111M (43%)
CAGR 11.4% | Win 50%
Sharpe 0.47 | Sortino 0.00 | Calmar 0.0
Vol 27% | MDD 0.0%
Months 2M (1%)
CAGR 4.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 17% | MDD -34.9%
Months 113M (44%)
MACDhist
neg
CAGR 13.1% | Win 64%
Sharpe 0.76 | Sortino 0.92 | Calmar 0.4
Vol 19% | MDD -37.3%
Months 104M (40%)
CAGR 3.7% | Win 55%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 36% | MDD -50.9%
Months 40M (16%)
CAGR 10.4% | Win 61%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.2
Vol 24% | MDD -68.3%
Months 144M (56%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.0% | Win 60%
Sharpe 0.66 | Sortino 1.19 | Calmar 0.5
Vol 15% | MDD -19.0%
Months 118M (46%)
CAGR 13.7% | Win 57%
Sharpe 0.66 | Sortino 1.28 | Calmar 1.2
Vol 23% | MDD -11.2%
Months 14M (5%)
CAGR 9.5% | Win 60%
Sharpe 0.66 | Sortino 1.20 | Calmar 0.4
Vol 16% | MDD -22.0%
Months 132M (51%)
RSIhist
neg
CAGR 7.4% | Win 63%
Sharpe 0.45 | Sortino 0.54 | Calmar 0.2
Vol 21% | MDD -42.5%
Months 97M (38%)
CAGR -0.5% | Win 54%
Sharpe 0.19 | Sortino 0.23 | Calmar -0.0
Vol 40% | MDD -47.8%
Months 28M (11%)
CAGR 5.6% | Win 61%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -63.5%
Months 125M (49%)
LWTI
only
CAGR 8.3% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -37.3%
Months 215M (84%)
CAGR 4.0% | Win 55%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 35% | MDD -50.9%
Months 42M (16%)