VNQI - Vanguard Global ex-US Real Estate Index Fd ETF

Signal Pair Analysis

MRmean-RSmean

Best Pair

61.8%

Best CAGR

54

Total Months

6.3%

Avg CAGR

VNQI 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 VNQI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean MRmean pos-neg 5 2.6 61.8 100.0 5.3 0.0 0.0 9.3 0.0
pair MRmean RSmean pos-neg 5 2.6 61.8 100.0 5.3 0.0 0.0 9.3 0.0
pair MACDhist RSmean neg-pos 3 1.6 55.9 100.0 12.2 0.0 0.0 3.7 0.0
pair RSmean MACDhist neg-pos 3 1.6 55.9 100.0 12.2 0.0 0.0 3.7 0.0
pair LWTI RSmean neg-neg 1 0.5 41.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 1 0.5 41.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 6 3.2 36.6 83.3 2.2 0.0 8.5 14.6 -4.3
pair SLmean RSmean pos-neg 6 3.2 36.6 83.3 2.2 0.0 8.5 14.6 -4.3
pair MACD RSmean neg-pos 4 2.1 33.0 100.0 6.5 0.0 0.0 4.5 0.0
pair RSmean MACD neg-pos 4 2.1 33.0 100.0 6.5 0.0 0.0 4.5 0.0
pair LWTI SLmean neg-neg 20 10.6 26.6 65.0 1.1 2.2 1.2 23.7 -21.9
pair SLmean LWTI neg-neg 20 10.6 26.6 65.0 1.1 2.2 1.2 23.7 -21.9
pair LWTI MRmean neg-neg 21 11.1 24.8 61.9 1.1 2.0 1.1 23.1 -21.9
pair MRmean LWTI neg-neg 21 11.1 24.8 61.9 1.1 2.0 1.1 23.1 -21.9
pair MACDhist RSI neg-pos 7 3.7 24.4 71.4 2.7 12.5 24.2 8.2 -1.0
pair RSI MACDhist neg-pos 7 3.7 24.4 71.4 2.7 12.5 24.2 8.2 -1.0
pair RSIhist LWTI neg-neg 18 9.5 23.7 66.7 1.0 2.0 1.1 24.2 -21.9
pair LWTI RSIhist neg-neg 18 9.5 23.7 66.7 1.0 2.0 1.1 24.2 -21.9
pair RSIhist RSmean neg-pos 6 3.2 23.4 66.7 1.3 73.3 2.8 17.6 -8.4
pair RSmean RSIhist neg-pos 6 3.2 23.4 66.7 1.3 73.3 2.8 17.6 -8.4
pair RSIhist RSI neg-neg 38 20.1 22.4 65.8 1.0 1.5 1.0 22.3 -23.2
pair RSI RSIhist neg-neg 38 20.1 22.4 65.8 1.0 1.5 1.0 22.3 -23.2
pair RSI SLmean neg-neg 43 22.8 21.5 65.1 1.0 1.6 0.9 21.5 -23.2
pair SLmean RSI neg-neg 43 22.8 21.5 65.1 1.0 1.6 0.9 21.5 -23.2
pair RSmean RSI pos-neg 43 22.8 21.3 62.8 1.1 2.0 0.9 19.3 -23.2
pair RSI RSmean pos-neg 43 22.8 21.3 62.8 1.1 2.0 0.9 19.3 -23.2
pair RSI LWTI neg-pos 28 14.8 20.9 64.3 1.1 1.4 1.4 19.3 -15.3
pair LWTI RSI neg-pos 28 14.8 20.9 64.3 1.1 1.4 1.4 19.3 -15.3
pair MRmean RSI neg-neg 44 23.3 20.5 61.4 1.0 1.6 0.9 21.6 -23.2
pair RSI MRmean neg-neg 44 23.3 20.5 61.4 1.0 1.6 0.9 21.6 -23.2
pair MACDhist LWTI pos-neg 3 1.6 20.1 66.7 1.6 0.0 8.7 11.8 -2.3
pair LWTI MACDhist pos-neg 3 1.6 20.1 66.7 1.6 0.0 8.7 11.8 -2.3
pair MACD RSmean pos-neg 45 23.8 20.0 62.2 1.1 2.1 1.1 18.9 -18.6
pair RSmean MACD pos-neg 45 23.8 20.0 62.2 1.1 2.1 1.1 18.9 -18.6
pair RSIhist MACD neg-neg 33 17.5 19.2 60.6 0.9 1.3 0.9 23.0 -22.4
pair MACD RSIhist neg-neg 33 17.5 19.2 60.6 0.9 1.3 0.9 23.0 -22.4
pair MACD RSI neg-neg 38 20.1 18.5 57.9 0.8 1.5 1.0 23.1 -18.6
pair RSI MACD neg-neg 38 20.1 18.5 57.9 0.8 1.5 1.0 23.1 -18.6
pair SLmean MACD neg-neg 37 19.6 18.5 59.5 0.9 1.3 0.8 22.3 -22.4
pair MACD SLmean neg-neg 37 19.6 18.5 59.5 0.9 1.3 0.8 22.3 -22.4
pair MACD MRmean neg-neg 39 20.6 17.1 56.4 0.8 1.3 0.8 22.1 -22.4
pair MRmean MACD neg-neg 39 20.6 17.1 56.4 0.8 1.3 0.8 22.1 -22.4
single RSI RSI neg-neg 52 27.5 16.7 59.6 0.8 1.4 0.7 21.1 -23.2
pair MACDhist RSI neg-neg 45 23.8 15.5 57.8 0.8 1.4 0.7 22.5 -23.2
pair RSI MACDhist neg-neg 45 23.8 15.5 57.8 0.8 1.4 0.7 22.5 -23.2
pair MACD LWTI neg-pos 36 19.0 14.1 58.3 0.8 1.2 0.6 18.8 -22.4
pair LWTI MACD neg-pos 36 19.0 14.1 58.3 0.8 1.2 0.6 18.8 -22.4
pair MACD MACDhist neg-neg 52 27.5 13.4 57.7 0.7 1.1 0.6 20.8 -22.4
pair MACDhist MACD neg-neg 52 27.5 13.4 57.7 0.7 1.1 0.6 20.8 -22.4
single MACD MACD neg-neg 63 33.3 13.1 57.1 0.7 1.2 0.6 19.6 -22.4
pair RSI LWTI neg-neg 24 12.7 12.0 54.2 0.6 1.3 0.6 23.3 -21.9
pair LWTI RSI neg-neg 24 12.7 12.0 54.2 0.6 1.3 0.6 23.3 -21.9
pair RSI MACD pos-neg 14 7.4 11.9 64.3 0.8 1.2 1.3 14.6 -9.0
pair MACD RSI pos-neg 14 7.4 11.9 64.3 0.8 1.2 1.3 14.6 -9.0
pair MACDhist MACD neg-pos 11 5.8 11.9 54.5 0.9 2.6 2.1 13.4 -5.5
pair MACD MACDhist neg-pos 11 5.8 11.9 54.5 0.9 2.6 2.1 13.4 -5.5
pair LWTI MACD neg-neg 27 14.3 11.8 55.6 0.6 1.2 0.6 21.1 -18.6
pair MACD LWTI neg-neg 27 14.3 11.8 55.6 0.6 1.2 0.6 21.1 -18.6
pair MRmean RSmean neg-pos 60 31.7 11.6 58.3 0.6 0.9 0.4 20.6 -29.3
pair RSmean MRmean neg-pos 60 31.7 11.6 58.3 0.6 0.9 0.4 20.6 -29.3
pair MACDhist RSmean pos-neg 89 47.1 10.5 57.3 0.7 1.2 0.4 16.8 -28.0
pair RSmean MACDhist pos-neg 89 47.1 10.5 57.3 0.7 1.2 0.4 16.8 -28.0
pair MRmean MACDhist neg-neg 64 33.9 9.2 53.1 0.5 0.9 0.3 19.9 -28.0
pair MACDhist MRmean neg-neg 64 33.9 9.2 53.1 0.5 0.9 0.3 19.9 -28.0
single LWTI LWTI neg-neg 39 20.6 9.2 53.8 0.6 1.0 0.4 19.4 -21.9
pair SLmean MACDhist neg-neg 62 32.8 9.1 54.8 0.5 0.9 0.3 20.0 -28.0
pair MACDhist SLmean neg-neg 62 32.8 9.1 54.8 0.5 0.9 0.3 20.0 -28.0
pair MACDhist RSIhist neg-neg 72 38.1 8.6 55.6 0.5 0.8 0.3 18.6 -28.0
pair RSIhist MACDhist neg-neg 72 38.1 8.6 55.6 0.5 0.8 0.3 18.6 -28.0
pair LWTI RSmean pos-neg 38 20.1 8.4 52.6 0.5 1.0 0.4 19.6 -21.9
pair RSmean LWTI pos-neg 38 20.1 8.4 52.6 0.5 1.0 0.4 19.6 -21.9
pair MACDhist LWTI neg-neg 36 19.0 8.3 52.8 0.5 0.9 0.4 20.0 -21.9
pair LWTI MACDhist neg-neg 36 19.0 8.3 52.8 0.5 0.9 0.4 20.0 -21.9
pair MRmean SLmean neg-neg 71 37.6 8.2 57.7 0.5 0.6 0.3 21.0 -29.3
pair SLmean MRmean neg-neg 71 37.6 8.2 57.7 0.5 0.6 0.3 21.0 -29.3
single MACDhist MACDhist neg-neg 108 57.1 7.9 55.6 0.5 0.8 0.3 17.4 -28.0
pair RSmean SLmean neg-pos 68 36.0 7.8 58.8 0.5 0.7 0.3 19.6 -29.9
pair SLmean RSmean neg-pos 68 36.0 7.8 58.8 0.5 0.7 0.3 19.6 -29.9
pair MACDhist LWTI neg-pos 72 38.1 7.7 56.9 0.5 0.8 0.3 16.1 -22.4
pair LWTI MACDhist neg-pos 72 38.1 7.7 56.9 0.5 0.8 0.3 16.1 -22.4
pair RSmean RSI neg-pos 13 6.9 7.6 61.5 0.8 0.8 0.9 10.2 -8.4
pair RSI RSmean neg-pos 13 6.9 7.6 61.5 0.8 0.8 0.9 10.2 -8.4
pair RSIhist MRmean neg-neg 69 36.5 7.0 56.5 0.4 0.6 0.2 21.1 -29.3
pair MRmean RSIhist neg-neg 69 36.5 7.0 56.5 0.4 0.6 0.2 21.1 -29.3
pair MRmean MACD pos-neg 24 12.7 6.8 58.3 0.5 1.0 0.6 15.0 -12.0
pair MACD MRmean pos-neg 24 12.7 6.8 58.3 0.5 1.0 0.6 15.0 -12.0
pair RSIhist MACD neg-pos 30 15.9 6.7 53.3 0.5 1.1 0.4 15.3 -17.1
pair MACD RSIhist neg-pos 30 15.9 6.7 53.3 0.5 1.1 0.4 15.3 -17.1
pair MACDhist RSIhist neg-pos 36 19.0 6.5 55.6 0.5 0.8 0.4 15.0 -17.1
pair RSIhist MACDhist neg-pos 36 19.0 6.5 55.6 0.5 0.8 0.4 15.0 -17.1
single MRmean MRmean neg-neg 77 40.7 6.5 54.5 0.4 0.6 0.2 20.5 -29.3
pair RSIhist RSmean pos-neg 77 40.7 6.5 57.1 0.4 0.6 0.2 18.4 -30.7
pair RSmean RSIhist pos-neg 77 40.7 6.5 57.1 0.4 0.6 0.2 18.4 -30.7
pair MACDhist SLmean pos-neg 46 24.3 6.3 56.5 0.5 0.8 0.4 13.5 -17.2
pair SLmean MACDhist pos-neg 46 24.3 6.3 56.5 0.5 0.8 0.4 13.5 -17.2
pair MACDhist MRmean pos-neg 44 23.3 6.0 59.1 0.5 0.7 0.3 13.2 -17.4
pair MRmean MACDhist pos-neg 44 23.3 6.0 59.1 0.5 0.7 0.3 13.2 -17.4
pair MACD SLmean pos-neg 26 13.8 5.8 53.8 0.5 0.9 0.3 15.3 -17.2
pair SLmean MACD pos-neg 26 13.8 5.8 53.8 0.5 0.9 0.3 15.3 -17.2
pair RSIhist SLmean neg-neg 74 39.2 5.7 58.1 0.4 0.5 0.2 20.3 -29.3
pair SLmean RSIhist neg-neg 74 39.2 5.7 58.1 0.4 0.5 0.2 20.3 -29.3
pair RSI MACD neg-pos 25 13.2 5.3 56.0 0.5 0.7 0.4 12.7 -14.8
pair MACD RSI neg-pos 25 13.2 5.3 56.0 0.5 0.7 0.4 12.7 -14.8
pair LWTI SLmean pos-pos 86 45.5 5.1 60.5 0.5 0.6 0.3 13.1 -17.5
pair SLmean LWTI pos-pos 86 45.5 5.1 60.5 0.5 0.6 0.3 13.1 -17.5
single SLmean SLmean neg-neg 84 44.4 4.8 56.0 0.3 0.5 0.2 19.8 -29.9
pair RSI LWTI pos-neg 15 7.9 4.8 53.3 0.5 0.7 0.7 11.3 -7.5
pair LWTI RSI pos-neg 15 7.9 4.8 53.3 0.5 0.7 0.7 11.3 -7.5
single RSIhist RSIhist neg-neg 93 49.2 4.7 55.9 0.3 0.5 0.1 18.6 -30.7
pair RSIhist LWTI pos-pos 75 39.7 4.1 61.3 0.4 0.5 0.2 13.9 -18.1
pair LWTI RSIhist pos-pos 75 39.7 4.1 61.3 0.4 0.5 0.2 13.9 -18.1
single RSmean RSmean pos-pos 167 88.4 3.8 56.9 0.3 0.4 0.1 15.9 -32.7
pair SLmean MRmean pos-pos 99 52.4 3.8 59.6 0.3 0.5 0.2 13.0 -20.5
pair MRmean SLmean pos-pos 99 52.4 3.8 59.6 0.3 0.5 0.2 13.0 -20.5
pair benchmark___benchmark_ benchmark-benchmark 189 100.0 3.7 56.6 0.3 0.4 0.1 16.3 -32.7
pair benchmark___benchmark_ benchmark-benchmark 189 100.0 3.7 56.6 0.3 0.4 0.1 16.3 -32.7
pair SLmean RSI pos-pos 96 50.8 3.6 59.4 0.3 0.5 0.2 12.4 -19.2
pair RSI SLmean pos-pos 96 50.8 3.6 59.4 0.3 0.5 0.2 12.4 -19.2
pair LWTI MRmean pos-pos 94 49.7 3.5 60.6 0.3 0.5 0.2 12.7 -22.1
pair MRmean LWTI pos-pos 94 49.7 3.5 60.6 0.3 0.5 0.2 12.7 -22.1
pair LWTI MACD pos-neg 12 6.3 3.4 50.0 0.3 0.5 0.3 15.6 -10.8
pair MACD LWTI pos-neg 12 6.3 3.4 50.0 0.3 0.5 0.3 15.6 -10.8
pair RSIhist SLmean pos-pos 86 45.5 3.3 59.3 0.3 0.4 0.1 13.6 -23.7
pair SLmean RSIhist pos-pos 86 45.5 3.3 59.3 0.3 0.4 0.1 13.6 -23.7
single RSmean RSmean neg-neg 22 11.6 3.1 54.5 0.2 0.3 0.1 19.5 -22.4
pair MACDhist MACD pos-neg 56 29.6 3.1 53.6 0.3 0.4 0.2 13.6 -16.2
pair MACD MACDhist pos-neg 56 29.6 3.1 53.6 0.3 0.4 0.2 13.6 -16.2
single SLmean SLmean pos-pos 105 55.6 2.9 57.1 0.3 0.4 0.1 13.0 -25.3
pair RSI RSIhist pos-pos 82 43.4 2.8 59.8 0.3 0.4 0.1 13.3 -19.4
pair RSIhist RSI pos-pos 82 43.4 2.8 59.8 0.3 0.4 0.1 13.3 -19.4
single RSIhist RSIhist pos-pos 96 50.8 2.8 57.3 0.3 0.4 0.1 13.8 -20.6
pair MACDhist RSI pos-neg 63 33.3 2.8 54.0 0.3 0.4 0.2 12.6 -16.8
pair MRmean RSIhist pos-pos 88 46.6 2.8 59.1 0.3 0.4 0.1 13.7 -18.9
pair RSIhist MRmean pos-pos 88 46.6 2.8 59.1 0.3 0.4 0.1 13.7 -18.9
pair RSI MACDhist pos-neg 63 33.3 2.8 54.0 0.3 0.4 0.2 12.6 -16.8
pair LWTI RSmean pos-pos 129 68.3 2.5 58.1 0.2 0.3 0.1 14.7 -33.5
pair RSmean LWTI pos-pos 129 68.3 2.5 58.1 0.2 0.3 0.1 14.7 -33.5
pair RSI RSIhist neg-pos 14 7.4 2.5 42.9 0.2 0.6 0.1 17.4 -17.1
pair RSIhist RSI neg-pos 14 7.4 2.5 42.9 0.2 0.6 0.1 17.4 -17.1
single LWTI LWTI pos-pos 150 79.4 2.4 57.3 0.2 0.3 0.1 15.5 -38.2
pair MRmean RSIhist neg-pos 8 4.2 2.3 37.5 0.2 0.8 0.3 16.3 -8.4
pair RSIhist MRmean neg-pos 8 4.2 2.3 37.5 0.2 0.8 0.3 16.3 -8.4
pair MRmean RSI pos-pos 104 55.0 2.2 58.7 0.2 0.3 0.1 12.4 -19.9
pair RSI MRmean pos-pos 104 55.0 2.2 58.7 0.2 0.3 0.1 12.4 -19.9
pair MACD SLmean pos-pos 79 41.8 1.9 58.2 0.2 0.3 0.1 12.3 -16.0
pair SLmean MACD pos-pos 79 41.8 1.9 58.2 0.2 0.3 0.1 12.3 -16.0
single MRmean MRmean pos-pos 112 59.3 1.8 58.0 0.2 0.3 0.1 12.7 -19.9
pair RSmean LWTI neg-pos 21 11.1 1.6 52.4 0.2 0.2 0.1 19.9 -22.4
pair LWTI RSmean neg-pos 21 11.1 1.6 52.4 0.2 0.2 0.1 19.9 -22.4
pair RSmean RSIhist pos-pos 90 47.6 1.5 56.7 0.2 0.2 0.1 13.6 -24.2
pair RSIhist RSmean pos-pos 90 47.6 1.5 56.7 0.2 0.2 0.1 13.6 -24.2
pair SLmean RSmean pos-pos 99 52.4 1.1 55.6 0.1 0.2 0.0 12.8 -30.8
pair RSmean SLmean pos-pos 99 52.4 1.1 55.6 0.1 0.2 0.0 12.8 -30.8
pair SLmean RSIhist pos-neg 19 10.1 1.0 47.4 0.1 0.3 0.1 10.1 -8.5
pair RSIhist SLmean pos-neg 19 10.1 1.0 47.4 0.1 0.3 0.1 10.1 -8.5
pair MACD RSIhist pos-pos 66 34.9 1.0 59.1 0.1 0.2 0.1 13.2 -20.5
pair RSIhist MACD pos-pos 66 34.9 1.0 59.1 0.1 0.2 0.1 13.2 -20.5
pair RSIhist MACDhist pos-pos 60 31.7 0.6 58.3 0.1 0.2 0.0 13.2 -15.1
pair RSIhist LWTI neg-pos 75 39.7 0.6 53.3 0.1 0.1 0.0 17.0 -27.8
pair LWTI RSIhist neg-pos 75 39.7 0.6 53.3 0.1 0.1 0.0 17.0 -27.8
pair MACDhist RSIhist pos-pos 60 31.7 0.6 58.3 0.1 0.2 0.0 13.2 -15.1
pair MACD MRmean pos-pos 88 46.6 0.5 58.0 0.1 0.1 0.0 12.1 -19.9
pair MRmean MACD pos-pos 88 46.6 0.5 58.0 0.1 0.1 0.0 12.1 -19.9
pair MRmean LWTI neg-pos 56 29.6 0.4 51.8 0.1 0.1 0.0 19.4 -38.6
pair LWTI MRmean neg-pos 56 29.6 0.4 51.8 0.1 0.1 0.0 19.4 -38.6
pair SLmean MACDhist pos-pos 59 31.2 0.3 57.6 0.1 0.1 0.0 12.7 -16.2
pair MACDhist SLmean pos-pos 59 31.2 0.3 57.6 0.1 0.1 0.0 12.7 -16.2
pair MRmean RSmean pos-pos 107 56.6 -0.3 56.1 0.0 0.1 -0.0 12.6 -28.8
pair RSmean MRmean pos-pos 107 56.6 -0.3 56.1 0.0 0.1 -0.0 12.6 -28.8
single MACD MACD pos-pos 126 66.7 -0.7 56.3 0.0 0.0 -0.0 14.3 -42.1
single RSI RSI pos-pos 137 72.5 -0.8 55.5 0.0 0.0 -0.0 14.0 -42.3
pair MRmean MACDhist pos-pos 68 36.0 -0.8 57.4 -0.0 -0.0 -0.1 12.4 -16.6
pair MACDhist MRmean pos-pos 68 36.0 -0.8 57.4 -0.0 -0.0 -0.1 12.4 -16.6
pair MACD LWTI pos-pos 114 60.3 -1.1 57.0 -0.0 -0.0 -0.0 14.2 -40.4
pair LWTI MACD pos-pos 114 60.3 -1.1 57.0 -0.0 -0.0 -0.0 14.2 -40.4
pair SLmean LWTI neg-pos 64 33.9 -1.2 53.1 0.0 0.0 -0.0 18.3 -35.8
pair LWTI SLmean neg-pos 64 33.9 -1.2 53.1 0.0 0.0 -0.0 18.3 -35.8
pair LWTI RSI pos-pos 122 64.6 -1.5 55.7 -0.0 -0.0 -0.0 14.3 -44.8
pair RSI LWTI pos-pos 122 64.6 -1.5 55.7 -0.0 -0.0 -0.0 14.3 -44.8
pair MRmean RSIhist pos-neg 24 12.7 -1.6 54.2 -0.1 -0.3 -0.2 8.5 -8.6
pair MACD RSmean pos-pos 122 64.6 -1.6 54.9 -0.0 -0.1 -0.0 14.5 -42.1
pair RSmean MACD pos-pos 122 64.6 -1.6 54.9 -0.0 -0.1 -0.0 14.5 -42.1
pair RSIhist MRmean pos-neg 24 12.7 -1.6 54.2 -0.1 -0.3 -0.2 8.5 -8.6
single MACDhist MACDhist pos-pos 81 42.9 -1.6 58.0 -0.0 -0.0 -0.1 14.7 -31.3
pair RSmean RSI pos-pos 124 65.6 -1.7 54.8 -0.0 -0.1 -0.0 14.3 -44.5
pair RSI RSmean pos-pos 124 65.6 -1.7 54.8 -0.0 -0.1 -0.0 14.3 -44.5
pair RSIhist LWTI pos-neg 21 11.1 -1.9 42.9 -0.1 -0.1 -0.1 13.8 -14.4
pair LWTI RSIhist pos-neg 21 11.1 -1.9 42.9 -0.1 -0.1 -0.1 13.8 -14.4
pair RSIhist SLmean neg-pos 10 5.3 -1.9 40.0 -0.1 -0.1 -0.3 16.3 -5.9
pair SLmean RSIhist neg-pos 10 5.3 -1.9 40.0 -0.1 -0.1 -0.3 16.3 -5.9
pair RSI MACD pos-pos 112 59.3 -2.1 55.4 -0.1 -0.1 -0.1 14.3 -43.9
pair MACD RSI pos-pos 112 59.3 -2.1 55.4 -0.1 -0.1 -0.1 14.3 -43.9
pair MRmean RSI pos-neg 8 4.2 -2.3 50.0 -0.1 -0.1 -0.2 17.8 -12.0
pair RSI MRmean pos-neg 8 4.2 -2.3 50.0 -0.1 -0.1 -0.2 17.8 -12.0
pair MACDhist LWTI pos-pos 78 41.3 -2.4 57.7 -0.1 -0.1 -0.1 14.8 -31.7
pair LWTI MACDhist pos-pos 78 41.3 -2.4 57.7 -0.1 -0.1 -0.1 14.8 -31.7
pair MACD RSmean neg-neg 18 9.5 -2.5 44.4 -0.0 -0.0 -0.1 21.3 -24.4
pair RSmean MACD neg-neg 18 9.5 -2.5 44.4 -0.0 -0.0 -0.1 21.3 -24.4
pair RSIhist MACD pos-neg 60 31.7 -2.5 53.3 -0.1 -0.1 -0.1 15.6 -30.0
pair MACD RSIhist pos-neg 60 31.7 -2.5 53.3 -0.1 -0.1 -0.1 15.6 -30.0
pair RSmean RSI neg-neg 9 4.8 -3.0 44.4 0.0 0.0 -0.1 29.0 -19.8
pair RSI RSmean neg-neg 9 4.8 -3.0 44.4 0.0 0.0 -0.1 29.0 -19.8
pair MACDhist RSmean pos-pos 78 41.3 -3.3 56.4 -0.1 -0.2 -0.1 14.7 -36.3
pair RSmean MACDhist pos-pos 78 41.3 -3.3 56.4 -0.1 -0.2 -0.1 14.7 -36.3
pair MACD MRmean neg-pos 38 20.1 -3.4 52.6 -0.1 -0.1 -0.1 18.6 -35.0
pair MRmean MACD neg-pos 38 20.1 -3.4 52.6 -0.1 -0.1 -0.1 18.6 -35.0
pair MACDhist RSmean neg-neg 19 10.1 -3.4 47.4 -0.1 -0.1 -0.1 20.4 -22.4
pair RSmean MACDhist neg-neg 19 10.1 -3.4 47.4 -0.1 -0.1 -0.1 20.4 -22.4
pair RSIhist RSmean neg-neg 16 8.5 -3.6 50.0 -0.1 -0.1 -0.2 20.4 -22.4
pair RSmean RSIhist neg-neg 16 8.5 -3.6 50.0 -0.1 -0.1 -0.2 20.4 -22.4
pair MACD MACDhist pos-pos 70 37.0 -3.6 58.6 -0.2 -0.2 -0.1 14.9 -35.8
pair MACDhist MACD pos-pos 70 37.0 -3.6 58.6 -0.2 -0.2 -0.1 14.9 -35.8
pair MACDhist RSI pos-pos 74 39.2 -3.8 56.8 -0.2 -0.2 -0.1 15.1 -36.3
pair RSI MACDhist pos-pos 74 39.2 -3.8 56.8 -0.2 -0.2 -0.1 15.1 -36.3
pair RSI SLmean pos-neg 9 4.8 -3.9 33.3 -0.1 -0.3 -0.2 19.0 -19.0
pair SLmean RSI pos-neg 9 4.8 -3.9 33.3 -0.1 -0.3 -0.2 19.0 -19.0
pair SLmean MACD neg-pos 47 24.9 -4.9 53.2 -0.2 -0.2 -0.1 17.3 -37.9
pair MACD SLmean neg-pos 47 24.9 -4.9 53.2 -0.2 -0.2 -0.1 17.3 -37.9
pair MRmean MACDhist neg-pos 13 6.9 -5.7 61.5 -0.1 -0.1 -0.3 24.0 -20.7
pair MACDhist MRmean neg-pos 13 6.9 -5.7 61.5 -0.1 -0.1 -0.3 24.0 -20.7
pair RSIhist RSI pos-neg 55 29.1 -6.0 49.1 -0.3 -0.4 -0.2 15.0 -37.4
pair RSI RSIhist pos-neg 55 29.1 -6.0 49.1 -0.3 -0.4 -0.2 15.0 -37.4
pair SLmean MACDhist neg-pos 22 11.6 -6.5 59.1 -0.2 -0.2 -0.3 19.4 -25.4
pair MACDhist SLmean neg-pos 22 11.6 -6.5 59.1 -0.2 -0.2 -0.3 19.4 -25.4
pair LWTI MRmean pos-neg 18 9.5 -6.6 44.4 -0.5 -0.7 -0.5 12.9 -14.4
pair MRmean LWTI pos-neg 18 9.5 -6.6 44.4 -0.5 -0.7 -0.5 12.9 -14.4
pair LWTI SLmean pos-neg 19 10.1 -6.6 42.1 -0.5 -0.7 -0.4 12.4 -14.9
pair SLmean LWTI pos-neg 19 10.1 -6.6 42.1 -0.5 -0.7 -0.4 12.4 -14.9
pair RSmean SLmean neg-neg 16 8.5 -7.2 43.8 -0.3 -0.3 -0.3 20.7 -22.4
pair SLmean RSmean neg-neg 16 8.5 -7.2 43.8 -0.3 -0.3 -0.3 20.7 -22.4
pair MACDhist RSIhist pos-neg 21 11.1 -7.6 57.1 -0.3 -0.3 -0.3 18.7 -22.5
pair RSIhist MACDhist pos-neg 21 11.1 -7.6 57.1 -0.3 -0.3 -0.3 18.7 -22.5
pair MRmean RSI neg-pos 33 17.5 -9.6 45.5 -0.5 -0.5 -0.2 18.2 -41.9
pair RSI MRmean neg-pos 33 17.5 -9.6 45.5 -0.5 -0.5 -0.2 18.2 -41.9
pair RSmean MRmean neg-neg 17 9.0 -9.7 41.2 -0.4 -0.5 -0.4 20.3 -24.9
pair MRmean RSmean neg-neg 17 9.0 -9.7 41.2 -0.4 -0.5 -0.4 20.3 -24.9
pair RSI SLmean neg-pos 41 21.7 -10.3 46.3 -0.6 -0.6 -0.2 16.9 -44.5
pair SLmean RSI neg-pos 41 21.7 -10.3 46.3 -0.6 -0.6 -0.2 16.9 -44.5
pair SLmean MRmean neg-pos 6 3.2 -11.5 16.7 -0.8 -3.2 -1.0 13.7 -12.0
pair MRmean SLmean neg-pos 6 3.2 -11.5 16.7 -0.8 -3.2 -1.0 13.7 -12.0
pair SLmean MRmean pos-neg 13 6.9 -12.2 46.2 -1.3 -2.3 -1.0 9.9 -11.9
pair MRmean SLmean pos-neg 13 6.9 -12.2 46.2 -1.3 -2.3 -1.0 9.9 -11.9

All Contingency Tables for VNQI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 13% | MDD -20.5%
Months 99M (52%)
CAGR -12.2% | Win 46%
Sharpe -1.26 | Sortino -2.29 | Calmar -1.0
Vol 10% | MDD -11.9%
Months 13M (7%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR -11.5% | Win 17%
Sharpe -0.83 | Sortino -3.17 | Calmar -1.0
Vol 14% | MDD -12.0%
Months 6M (3%)
CAGR 8.2% | Win 58%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.3
Vol 21% | MDD -29.3%
Months 71M (38%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
SLmean
only
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -0.3% | Win 56%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 13% | MDD -28.8%
Months 107M (57%)
CAGR 61.8% | Win 100%
Sharpe 5.30 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 5M (3%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR 11.6% | Win 58%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.4
Vol 21% | MDD -29.3%
Months 60M (32%)
CAGR -9.7% | Win 41%
Sharpe -0.40 | Sortino -0.52 | Calmar -0.4
Vol 20% | MDD -24.9%
Months 17M (9%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
RSmean
only
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 0.5% | Win 58%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -19.9%
Months 88M (47%)
CAGR 6.8% | Win 58%
Sharpe 0.51 | Sortino 1.01 | Calmar 0.6
Vol 15% | MDD -12.0%
Months 24M (13%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR -3.4% | Win 53%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.1
Vol 19% | MDD -35.0%
Months 38M (20%)
CAGR 17.1% | Win 56%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.8
Vol 22% | MDD -22.4%
Months 39M (21%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
MACD
only
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 2.2% | Win 59%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 12% | MDD -19.9%
Months 104M (55%)
CAGR -2.3% | Win 50%
Sharpe -0.06 | Sortino -0.11 | Calmar -0.2
Vol 18% | MDD -12.0%
Months 8M (4%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR -9.6% | Win 46%
Sharpe -0.46 | Sortino -0.51 | Calmar -0.2
Vol 18% | MDD -41.9%
Months 33M (18%)
CAGR 20.5% | Win 61%
Sharpe 0.98 | Sortino 1.55 | Calmar 0.9
Vol 22% | MDD -23.2%
Months 44M (23%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
RSI
only
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -0.8% | Win 57%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 12% | MDD -16.6%
Months 68M (36%)
CAGR 6.0% | Win 59%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.3
Vol 13% | MDD -17.4%
Months 44M (23%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR -5.7% | Win 62%
Sharpe -0.12 | Sortino -0.10 | Calmar -0.3
Vol 24% | MDD -20.7%
Months 13M (7%)
CAGR 9.2% | Win 53%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.3
Vol 20% | MDD -28.0%
Months 64M (34%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
MACDhist
only
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 59%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 14% | MDD -18.9%
Months 88M (47%)
CAGR -1.6% | Win 54%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.2
Vol 8% | MDD -8.6%
Months 24M (13%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR 2.3% | Win 38%
Sharpe 0.21 | Sortino 0.83 | Calmar 0.3
Vol 16% | MDD -8.4%
Months 8M (4%)
CAGR 7.0% | Win 56%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.2
Vol 21% | MDD -29.3%
Months 69M (36%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.5% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 13% | MDD -22.1%
Months 94M (50%)
CAGR -6.6% | Win 44%
Sharpe -0.47 | Sortino -0.72 | Calmar -0.5
Vol 13% | MDD -14.4%
Months 18M (10%)
CAGR 1.8% | Win 58%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -19.9%
Months 112M (59%)
MRmean
neg
CAGR 0.4% | Win 52%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 19% | MDD -38.6%
Months 56M (30%)
CAGR 24.8% | Win 62%
Sharpe 1.08 | Sortino 2.04 | Calmar 1.1
Vol 23% | MDD -21.9%
Months 21M (11%)
CAGR 6.5% | Win 55%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 77M (41%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.1% | Win 56%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 13% | MDD -30.8%
Months 99M (52%)
CAGR 36.6% | Win 83%
Sharpe 2.23 | Sortino 0.00 | Calmar 8.5
Vol 15% | MDD -4.3%
Months 6M (3%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR 7.8% | Win 59%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.3
Vol 20% | MDD -29.9%
Months 68M (36%)
CAGR -7.2% | Win 44%
Sharpe -0.26 | Sortino -0.33 | Calmar -0.3
Vol 21% | MDD -22.4%
Months 16M (8%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
RSmean
only
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 1.9% | Win 58%
Sharpe 0.22 | Sortino 0.28 | Calmar 0.1
Vol 12% | MDD -16.0%
Months 79M (42%)
CAGR 5.8% | Win 54%
Sharpe 0.45 | Sortino 0.92 | Calmar 0.3
Vol 15% | MDD -17.2%
Months 26M (14%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR -4.9% | Win 53%
Sharpe -0.20 | Sortino -0.23 | Calmar -0.1
Vol 17% | MDD -37.9%
Months 47M (25%)
CAGR 18.5% | Win 60%
Sharpe 0.88 | Sortino 1.33 | Calmar 0.8
Vol 22% | MDD -22.4%
Months 37M (20%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
MACD
only
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.6% | Win 59%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 12% | MDD -19.2%
Months 96M (51%)
CAGR -3.9% | Win 33%
Sharpe -0.13 | Sortino -0.30 | Calmar -0.2
Vol 19% | MDD -19.0%
Months 9M (5%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR -10.3% | Win 46%
Sharpe -0.55 | Sortino -0.62 | Calmar -0.2
Vol 17% | MDD -44.5%
Months 41M (22%)
CAGR 21.5% | Win 65%
Sharpe 1.02 | Sortino 1.55 | Calmar 0.9
Vol 22% | MDD -23.2%
Months 43M (23%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
RSI
only
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 0.3% | Win 58%
Sharpe 0.09 | Sortino 0.12 | Calmar 0.0
Vol 13% | MDD -16.2%
Months 59M (31%)
CAGR 6.3% | Win 56%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 46M (24%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR -6.5% | Win 59%
Sharpe -0.24 | Sortino -0.22 | Calmar -0.3
Vol 19% | MDD -25.4%
Months 22M (12%)
CAGR 9.1% | Win 55%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.3
Vol 20% | MDD -28.0%
Months 62M (33%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
MACDhist
only
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.3% | Win 59%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 14% | MDD -23.7%
Months 86M (46%)
CAGR 1.0% | Win 47%
Sharpe 0.15 | Sortino 0.33 | Calmar 0.1
Vol 10% | MDD -8.5%
Months 19M (10%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR -1.9% | Win 40%
Sharpe -0.05 | Sortino -0.12 | Calmar -0.3
Vol 16% | MDD -5.9%
Months 10M (5%)
CAGR 5.7% | Win 58%
Sharpe 0.38 | Sortino 0.49 | Calmar 0.2
Vol 20% | MDD -29.3%
Months 74M (39%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 60%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.3
Vol 13% | MDD -17.5%
Months 86M (46%)
CAGR -6.6% | Win 42%
Sharpe -0.49 | Sortino -0.74 | Calmar -0.4
Vol 12% | MDD -14.9%
Months 19M (10%)
CAGR 2.9% | Win 57%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 13% | MDD -25.3%
Months 105M (56%)
SLmean
neg
CAGR -1.2% | Win 53%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 18% | MDD -35.8%
Months 64M (34%)
CAGR 26.6% | Win 65%
Sharpe 1.12 | Sortino 2.23 | Calmar 1.2
Vol 24% | MDD -21.9%
Months 20M (11%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 84M (44%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.6% | Win 55%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 122M (65%)
CAGR 20.0% | Win 62%
Sharpe 1.06 | Sortino 2.09 | Calmar 1.1
Vol 19% | MDD -18.6%
Months 45M (24%)
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
RSmean
neg
CAGR 33.0% | Win 100%
Sharpe 6.50 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 4M (2%)
CAGR -2.5% | Win 44%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 21% | MDD -24.4%
Months 18M (10%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
MACD
only
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -1.7% | Win 55%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.0
Vol 14% | MDD -44.5%
Months 124M (66%)
CAGR 21.3% | Win 63%
Sharpe 1.10 | Sortino 1.99 | Calmar 0.9
Vol 19% | MDD -23.2%
Months 43M (23%)
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
RSmean
neg
CAGR 7.6% | Win 62%
Sharpe 0.77 | Sortino 0.79 | Calmar 0.9
Vol 10% | MDD -8.4%
Months 13M (7%)
CAGR -3.0% | Win 44%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.2
Vol 29% | MDD -19.8%
Months 9M (5%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
RSI
only
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -3.3% | Win 56%
Sharpe -0.15 | Sortino -0.17 | Calmar -0.1
Vol 15% | MDD -36.3%
Months 78M (41%)
CAGR 10.5% | Win 57%
Sharpe 0.68 | Sortino 1.17 | Calmar 0.4
Vol 17% | MDD -28.0%
Months 89M (47%)
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
RSmean
neg
CAGR 55.9% | Win 100%
Sharpe 12.24 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (2%)
CAGR -3.4% | Win 47%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.2
Vol 20% | MDD -22.4%
Months 19M (10%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
MACDhist
only
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 1.5% | Win 57%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.1
Vol 14% | MDD -24.2%
Months 90M (48%)
CAGR 6.5% | Win 57%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 18% | MDD -30.7%
Months 77M (41%)
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
RSmean
neg
CAGR 23.4% | Win 67%
Sharpe 1.28 | Sortino 73.28 | Calmar 2.8
Vol 18% | MDD -8.4%
Months 6M (3%)
CAGR -3.6% | Win 50%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.2
Vol 20% | MDD -22.4%
Months 16M (8%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 2.5% | Win 58%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 15% | MDD -33.5%
Months 129M (68%)
CAGR 8.4% | Win 53%
Sharpe 0.51 | Sortino 0.96 | Calmar 0.4
Vol 20% | MDD -21.9%
Months 38M (20%)
CAGR 3.8% | Win 57%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 16% | MDD -32.7%
Months 167M (88%)
RSmean
neg
CAGR 1.6% | Win 52%
Sharpe 0.18 | Sortino 0.23 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 21M (11%)
CAGR 41.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 20% | MDD -22.4%
Months 22M (12%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -2.1% | Win 55%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.0
Vol 14% | MDD -43.9%
Months 112M (59%)
CAGR 11.9% | Win 64%
Sharpe 0.84 | Sortino 1.16 | Calmar 1.3
Vol 15% | MDD -9.0%
Months 14M (7%)
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
MACD
neg
CAGR 5.3% | Win 56%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.4
Vol 13% | MDD -14.8%
Months 25M (13%)
CAGR 18.5% | Win 58%
Sharpe 0.85 | Sortino 1.50 | Calmar 1.0
Vol 23% | MDD -18.6%
Months 38M (20%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
RSI
only
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -3.6% | Win 59%
Sharpe -0.17 | Sortino -0.17 | Calmar -0.1
Vol 15% | MDD -35.8%
Months 70M (37%)
CAGR 3.1% | Win 54%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.2
Vol 14% | MDD -16.2%
Months 56M (30%)
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
MACD
neg
CAGR 11.9% | Win 55%
Sharpe 0.90 | Sortino 2.59 | Calmar 2.1
Vol 13% | MDD -5.5%
Months 11M (6%)
CAGR 13.4% | Win 58%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.6
Vol 21% | MDD -22.4%
Months 52M (28%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
MACDhist
only
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 1.0% | Win 59%
Sharpe 0.14 | Sortino 0.18 | Calmar 0.0
Vol 13% | MDD -20.5%
Months 66M (35%)
CAGR -2.5% | Win 53%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.1
Vol 16% | MDD -30.0%
Months 60M (32%)
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
MACD
neg
CAGR 6.7% | Win 53%
Sharpe 0.50 | Sortino 1.11 | Calmar 0.4
Vol 15% | MDD -17.1%
Months 30M (16%)
CAGR 19.2% | Win 61%
Sharpe 0.88 | Sortino 1.29 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 33M (18%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -1.1% | Win 57%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 14% | MDD -40.4%
Months 114M (60%)
CAGR 3.4% | Win 50%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.3
Vol 16% | MDD -10.8%
Months 12M (6%)
CAGR -0.7% | Win 56%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 14% | MDD -42.1%
Months 126M (67%)
MACD
neg
CAGR 14.1% | Win 58%
Sharpe 0.80 | Sortino 1.17 | Calmar 0.6
Vol 19% | MDD -22.4%
Months 36M (19%)
CAGR 11.8% | Win 56%
Sharpe 0.63 | Sortino 1.22 | Calmar 0.6
Vol 21% | MDD -18.6%
Months 27M (14%)
CAGR 13.1% | Win 57%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.6
Vol 20% | MDD -22.4%
Months 63M (33%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -3.8% | Win 57%
Sharpe -0.18 | Sortino -0.20 | Calmar -0.1
Vol 15% | MDD -36.3%
Months 74M (39%)
CAGR 2.8% | Win 54%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.2
Vol 13% | MDD -16.8%
Months 63M (33%)
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
RSI
neg
CAGR 24.4% | Win 71%
Sharpe 2.72 | Sortino 12.52 | Calmar 24.2
Vol 8% | MDD -1.0%
Months 7M (4%)
CAGR 15.5% | Win 58%
Sharpe 0.76 | Sortino 1.36 | Calmar 0.7
Vol 22% | MDD -23.2%
Months 45M (24%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
MACDhist
only
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.8% | Win 60%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 13% | MDD -19.4%
Months 82M (43%)
CAGR -6.0% | Win 49%
Sharpe -0.33 | Sortino -0.36 | Calmar -0.2
Vol 15% | MDD -37.4%
Months 55M (29%)
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
RSI
neg
CAGR 2.5% | Win 43%
Sharpe 0.22 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -17.1%
Months 14M (7%)
CAGR 22.4% | Win 66%
Sharpe 1.02 | Sortino 1.51 | Calmar 1.0
Vol 22% | MDD -23.2%
Months 38M (20%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -1.5% | Win 56%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.0
Vol 14% | MDD -44.8%
Months 122M (65%)
CAGR 4.8% | Win 53%
Sharpe 0.47 | Sortino 0.68 | Calmar 0.6
Vol 11% | MDD -7.5%
Months 15M (8%)
CAGR -0.8% | Win 56%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 14% | MDD -42.3%
Months 137M (72%)
RSI
neg
CAGR 20.9% | Win 64%
Sharpe 1.08 | Sortino 1.41 | Calmar 1.4
Vol 19% | MDD -15.3%
Months 28M (15%)
CAGR 12.0% | Win 54%
Sharpe 0.60 | Sortino 1.31 | Calmar 0.5
Vol 23% | MDD -21.9%
Months 24M (13%)
CAGR 16.7% | Win 60%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.7
Vol 21% | MDD -23.2%
Months 52M (28%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 0.6% | Win 58%
Sharpe 0.11 | Sortino 0.16 | Calmar 0.0
Vol 13% | MDD -15.1%
Months 60M (32%)
CAGR -7.6% | Win 57%
Sharpe -0.32 | Sortino -0.28 | Calmar -0.3
Vol 19% | MDD -22.5%
Months 21M (11%)
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
MACDhist
neg
CAGR 6.5% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.4
Vol 15% | MDD -17.1%
Months 36M (19%)
CAGR 8.6% | Win 56%
Sharpe 0.54 | Sortino 0.85 | Calmar 0.3
Vol 19% | MDD -28.0%
Months 72M (38%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
RSIhist
only
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -2.4% | Win 58%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.1
Vol 15% | MDD -31.7%
Months 78M (41%)
CAGR 20.1% | Win 67%
Sharpe 1.61 | Sortino 0.00 | Calmar 8.7
Vol 12% | MDD -2.3%
Months 3M (2%)
CAGR -1.6% | Win 58%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 15% | MDD -31.3%
Months 81M (43%)
MACDhist
neg
CAGR 7.7% | Win 57%
Sharpe 0.54 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -22.4%
Months 72M (38%)
CAGR 8.3% | Win 53%
Sharpe 0.50 | Sortino 0.94 | Calmar 0.4
Vol 20% | MDD -21.9%
Months 36M (19%)
CAGR 7.9% | Win 56%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -28.0%
Months 108M (57%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.1% | Win 61%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 14% | MDD -18.1%
Months 75M (40%)
CAGR -1.9% | Win 43%
Sharpe -0.07 | Sortino -0.13 | Calmar -0.1
Vol 14% | MDD -14.4%
Months 21M (11%)
CAGR 2.8% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 14% | MDD -20.6%
Months 96M (51%)
RSIhist
neg
CAGR 0.6% | Win 53%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 17% | MDD -27.8%
Months 75M (40%)
CAGR 23.7% | Win 67%
Sharpe 1.00 | Sortino 1.98 | Calmar 1.1
Vol 24% | MDD -21.9%
Months 18M (10%)
CAGR 4.7% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.2
Vol 19% | MDD -30.7%
Months 93M (49%)
LWTI
only
CAGR 2.4% | Win 57%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -38.2%
Months 150M (79%)
CAGR 9.2% | Win 54%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -21.9%
Months 39M (21%)