VOE - Vanguard Morningstar Mid-Cap Value ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

103.2%

Best CAGR

69

Total Months

11.9%

Avg CAGR

VOE 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 VOE

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 3 1.2 103.2 100.0 43.7 0.0 0.0 1.7 0.0
pair RSI MACDhist neg-pos 3 1.2 103.2 100.0 43.7 0.0 0.0 1.7 0.0
pair RSI MRmean pos-neg 4 1.7 65.8 75.0 4.3 0.0 0.0 12.1 0.0
pair MRmean RSI pos-neg 4 1.7 65.8 75.0 4.3 0.0 0.0 12.1 0.0
pair RSI MACD pos-neg 10 4.1 61.1 80.0 1.5 1.2 2.8 36.6 -21.8
pair MACD RSI pos-neg 10 4.1 61.1 80.0 1.5 1.2 2.8 36.6 -21.8
pair MACD MACDhist neg-pos 8 3.3 50.3 75.0 2.7 6.8 10.4 15.5 -4.8
pair MACDhist MACD neg-pos 8 3.3 50.3 75.0 2.7 6.8 10.4 15.5 -4.8
pair SLmean RSI pos-neg 10 4.1 47.7 80.0 2.2 1.9 4.9 19.1 -9.8
pair RSI SLmean pos-neg 10 4.1 47.7 80.0 2.2 1.9 4.9 19.1 -9.8
pair MRmean SLmean neg-pos 8 3.3 46.6 87.5 2.0 0.0 4.8 20.5 -9.8
pair SLmean MRmean neg-pos 8 3.3 46.6 87.5 2.0 0.0 4.8 20.5 -9.8
pair RSI RSIhist neg-pos 8 3.3 42.6 75.0 1.8 1.7 48.9 21.5 -0.9
pair RSIhist RSI neg-pos 8 3.3 42.6 75.0 1.8 1.7 48.9 21.5 -0.9
pair MACD RSIhist neg-pos 16 6.6 39.6 68.8 1.8 2.8 8.2 20.4 -4.8
pair RSIhist MACD neg-pos 16 6.6 39.6 68.8 1.8 2.8 8.2 20.4 -4.8
pair LWTI MACD pos-neg 6 2.5 34.0 83.3 3.0 0.0 44.4 10.2 -0.8
pair MACD LWTI pos-neg 6 2.5 34.0 83.3 3.0 0.0 44.4 10.2 -0.8
pair MACD SLmean pos-neg 20 8.3 33.2 70.0 1.6 2.7 2.8 19.6 -12.0
pair SLmean MACD pos-neg 20 8.3 33.2 70.0 1.6 2.7 2.8 19.6 -12.0
pair RSI LWTI neg-pos 17 7.0 32.7 70.6 1.1 1.1 1.5 29.2 -21.8
pair LWTI RSI neg-pos 17 7.0 32.7 70.6 1.1 1.1 1.5 29.2 -21.8
pair MRmean MACD pos-neg 14 5.8 31.6 64.3 1.6 4.0 4.8 18.6 -6.7
pair MACD MRmean pos-neg 14 5.8 31.6 64.3 1.6 4.0 4.8 18.6 -6.7
pair RSmean RSIhist neg-pos 5 2.1 30.9 80.0 2.6 0.0 19.8 10.6 -1.6
pair RSIhist RSmean neg-pos 5 2.1 30.9 80.0 2.6 0.0 19.8 10.6 -1.6
pair MRmean SLmean pos-neg 16 6.6 29.4 68.8 1.6 3.0 4.5 17.1 -6.6
pair SLmean MRmean pos-neg 16 6.6 29.4 68.8 1.6 3.0 4.5 17.1 -6.6
pair SLmean LWTI pos-neg 17 7.0 28.4 70.6 1.4 2.0 2.9 18.8 -9.8
pair LWTI SLmean pos-neg 17 7.0 28.4 70.6 1.4 2.0 2.9 18.8 -9.8
pair MRmean LWTI pos-neg 12 5.0 28.4 66.7 1.6 4.0 5.9 16.5 -4.8
pair LWTI MRmean pos-neg 12 5.0 28.4 66.7 1.6 4.0 5.9 16.5 -4.8
pair LWTI RSIhist pos-neg 15 6.2 27.9 66.7 1.3 2.0 5.8 20.1 -4.8
pair RSIhist LWTI pos-neg 15 6.2 27.9 66.7 1.3 2.0 5.8 20.1 -4.8
pair MACDhist LWTI pos-neg 5 2.1 27.2 60.0 1.5 2.6 4.9 16.7 -5.5
pair LWTI MACDhist pos-neg 5 2.1 27.2 60.0 1.5 2.6 4.9 16.7 -5.5
pair RSIhist MRmean neg-pos 4 1.7 22.7 75.0 0.8 0.0 0.0 29.8 0.0
pair MRmean RSIhist neg-pos 4 1.7 22.7 75.0 0.8 0.0 0.0 29.8 0.0
pair RSI LWTI pos-neg 9 3.7 20.0 66.7 1.1 2.7 12.0 17.4 -1.7
pair LWTI RSI pos-neg 9 3.7 20.0 66.7 1.1 2.7 12.0 17.4 -1.7
pair MACD SLmean neg-pos 44 18.2 19.0 65.9 0.8 1.2 0.9 24.8 -21.8
pair SLmean MACD neg-pos 44 18.2 19.0 65.9 0.8 1.2 0.9 24.8 -21.8
pair RSIhist MACDhist pos-neg 29 12.0 18.2 62.1 1.2 1.9 1.0 15.0 -18.0
pair MACDhist RSIhist pos-neg 29 12.0 18.2 62.1 1.2 1.9 1.0 15.0 -18.0
pair SLmean MACDhist neg-pos 15 6.2 17.8 60.0 0.9 1.7 1.2 20.0 -14.7
pair MACDhist SLmean neg-pos 15 6.2 17.8 60.0 0.9 1.7 1.2 20.0 -14.7
pair MRmean MACD neg-pos 30 12.4 17.0 66.7 0.7 1.0 0.8 27.8 -21.8
pair MACD MRmean neg-pos 30 12.4 17.0 66.7 0.7 1.0 0.8 27.8 -21.8
pair RSmean RSI neg-neg 1 0.4 16.7 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 0.4 16.7 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACD neg-pos 22 9.1 15.8 72.7 1.0 2.3 0.9 15.7 -16.7
pair MACD RSI neg-pos 22 9.1 15.8 72.7 1.0 2.3 0.9 15.7 -16.7
pair MACD RSIhist pos-neg 78 32.2 14.2 66.7 0.8 1.0 0.7 20.2 -21.8
pair RSIhist MACD pos-neg 78 32.2 14.2 66.7 0.8 1.0 0.7 20.2 -21.8
pair MACDhist MRmean pos-pos 124 51.2 14.1 66.1 1.1 1.7 0.7 13.0 -19.8
pair MRmean MACDhist pos-pos 124 51.2 14.1 66.1 1.1 1.7 0.7 13.0 -19.8
pair RSmean MACDhist pos-pos 127 52.5 13.9 66.1 1.0 1.6 0.5 13.5 -26.8
pair MACDhist RSmean pos-pos 127 52.5 13.9 66.1 1.0 1.6 0.5 13.5 -26.8
pair LWTI MACD neg-pos 26 10.7 13.9 73.1 1.1 2.3 0.7 12.8 -20.3
pair MACD LWTI neg-pos 26 10.7 13.9 73.1 1.1 2.3 0.7 12.8 -20.3
pair SLmean LWTI neg-pos 61 25.2 13.6 67.2 0.7 0.9 0.6 21.7 -21.8
pair LWTI SLmean neg-pos 61 25.2 13.6 67.2 0.7 0.9 0.6 21.7 -21.8
single MACDhist MACDhist pos-pos 128 52.9 13.5 65.6 1.0 1.6 0.5 13.5 -26.8
single RSI RSI neg-neg 38 15.7 13.1 63.2 0.6 0.7 0.3 30.5 -50.2
pair MACDhist LWTI pos-pos 123 50.8 13.0 65.9 1.0 1.5 0.5 13.4 -26.3
pair LWTI MACDhist pos-pos 123 50.8 13.0 65.9 1.0 1.5 0.5 13.4 -26.3
pair RSmean RSI pos-neg 37 15.3 13.0 62.2 0.6 0.7 0.3 30.9 -49.5
pair RSI RSmean pos-neg 37 15.3 13.0 62.2 0.6 0.7 0.3 30.9 -49.5
pair MACDhist SLmean pos-pos 113 46.7 13.0 66.4 1.1 1.6 0.9 12.4 -14.2
pair SLmean MACDhist pos-pos 113 46.7 13.0 66.4 1.1 1.6 0.9 12.4 -14.2
pair RSIhist MACDhist pos-pos 99 40.9 12.2 66.7 0.9 1.4 0.7 13.0 -17.7
pair MACDhist RSIhist pos-pos 99 40.9 12.2 66.7 0.9 1.4 0.7 13.0 -17.7
pair MRmean LWTI neg-pos 48 19.8 12.1 68.8 0.6 0.8 0.6 22.7 -21.8
pair LWTI MRmean neg-pos 48 19.8 12.1 68.8 0.6 0.8 0.6 22.7 -21.8
pair RSI MACDhist pos-pos 125 51.7 11.9 64.8 0.9 1.4 0.5 13.3 -26.8
pair MACDhist RSI pos-pos 125 51.7 11.9 64.8 0.9 1.4 0.5 13.3 -26.8
pair MACD RSmean neg-neg 12 5.0 11.7 83.3 1.1 1.4 1.3 11.0 -9.2
pair RSmean MACD neg-neg 12 5.0 11.7 83.3 1.1 1.4 1.3 11.0 -9.2
pair SLmean RSIhist pos-pos 128 52.9 11.5 65.6 0.9 1.4 0.6 13.6 -20.1
pair RSIhist SLmean pos-pos 128 52.9 11.5 65.6 0.9 1.4 0.6 13.6 -20.1
pair MRmean RSmean pos-pos 169 69.8 11.5 65.7 0.9 1.4 0.7 13.1 -17.6
pair RSmean MRmean pos-pos 169 69.8 11.5 65.7 0.9 1.4 0.7 13.1 -17.6
pair MACDhist MACD pos-pos 120 49.6 11.4 65.0 0.9 1.3 0.4 13.2 -26.8
pair MACD MACDhist pos-pos 120 49.6 11.4 65.0 0.9 1.3 0.4 13.2 -26.8
pair MACD RSmean pos-pos 183 75.6 11.3 66.1 0.8 1.0 0.4 15.9 -31.2
pair RSmean MACD pos-pos 183 75.6 11.3 66.1 0.8 1.0 0.4 15.9 -31.2
single RSIhist RSIhist pos-pos 130 53.7 11.3 65.4 0.8 1.3 0.6 13.7 -20.1
pair RSIhist LWTI neg-pos 97 40.1 11.2 67.0 0.7 0.8 0.5 18.8 -23.8
pair LWTI RSIhist neg-pos 97 40.1 11.2 67.0 0.7 0.8 0.5 18.8 -23.8
pair LWTI RSmean pos-pos 191 78.9 11.0 65.4 0.7 1.0 0.3 15.9 -31.2
pair RSmean SLmean pos-pos 162 66.9 11.0 66.0 0.9 1.3 0.7 13.1 -16.9
pair RSmean LWTI pos-pos 191 78.9 11.0 65.4 0.7 1.0 0.3 15.9 -31.2
pair SLmean RSmean pos-pos 162 66.9 11.0 66.0 0.9 1.3 0.7 13.1 -16.9
pair RSIhist MRmean pos-pos 126 52.1 10.9 65.1 0.9 1.4 0.5 13.1 -20.7
pair MRmean RSIhist pos-pos 126 52.1 10.9 65.1 0.9 1.4 0.5 13.1 -20.7
single MRmean MRmean pos-pos 176 72.7 10.8 65.3 0.8 1.3 0.5 13.3 -22.2
single SLmean SLmean pos-pos 168 69.4 10.6 66.1 0.8 1.2 0.5 13.4 -20.7
pair RSmean RSIhist pos-pos 125 51.7 10.6 64.8 0.8 1.2 0.5 13.8 -23.0
pair RSIhist RSmean pos-pos 125 51.7 10.6 64.8 0.8 1.2 0.5 13.8 -23.0
pair RSIhist MRmean pos-neg 50 20.7 10.4 66.0 0.8 1.1 0.8 13.9 -12.8
pair MRmean RSIhist pos-neg 50 20.7 10.4 66.0 0.8 1.1 0.8 13.9 -12.8
single MACD MACD pos-pos 192 79.3 10.3 65.6 0.7 0.9 0.3 16.0 -31.2
single LWTI LWTI pos-pos 212 87.6 10.2 66.0 0.7 0.9 0.3 15.7 -31.2
single RSmean RSmean pos-pos 221 91.3 10.1 64.7 0.6 0.8 0.2 17.9 -53.1
pair MRmean RSI pos-pos 172 71.1 9.8 65.1 0.8 1.2 0.4 13.3 -22.2
pair RSI MRmean pos-pos 172 71.1 9.8 65.1 0.8 1.2 0.4 13.3 -22.2
pair SLmean RSI neg-pos 46 19.0 9.7 67.4 0.6 1.1 0.6 18.0 -15.2
pair RSI SLmean neg-pos 46 19.0 9.7 67.4 0.6 1.1 0.6 18.0 -15.2
pair MRmean LWTI pos-pos 164 67.8 9.6 65.2 0.8 1.1 0.4 13.1 -22.2
pair LWTI MRmean pos-pos 164 67.8 9.6 65.2 0.8 1.1 0.4 13.1 -22.2
pair LWTI MACD pos-pos 186 76.9 9.6 65.1 0.7 0.9 0.3 16.1 -31.2
pair MACD LWTI pos-pos 186 76.9 9.6 65.1 0.7 0.9 0.3 16.1 -31.2
pair RSIhist RSmean pos-neg 96 39.7 9.6 64.6 0.5 0.6 0.2 22.3 -48.0
pair RSmean RSIhist pos-neg 96 39.7 9.6 64.6 0.5 0.6 0.2 22.3 -48.0
pair RSmean RSI pos-pos 184 76.0 9.6 65.2 0.7 1.1 0.5 14.1 -20.9
pair RSI RSmean pos-pos 184 76.0 9.6 65.2 0.7 1.1 0.5 14.1 -20.9
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 9.5 65.3 0.6 0.8 0.2 17.6 -56.4
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 9.5 65.3 0.6 0.8 0.2 17.6 -56.4
pair RSIhist RSI pos-pos 122 50.4 9.5 64.8 0.8 1.2 0.5 13.0 -20.7
pair RSI RSIhist pos-pos 122 50.4 9.5 64.8 0.8 1.2 0.5 13.0 -20.7
pair LWTI RSIhist pos-pos 115 47.5 9.3 65.2 0.8 1.2 0.5 12.7 -20.4
pair RSIhist LWTI pos-pos 115 47.5 9.3 65.2 0.8 1.2 0.5 12.7 -20.4
pair MRmean MACD pos-pos 162 66.9 9.2 65.4 0.8 1.1 0.4 12.7 -22.2
pair MACD MRmean pos-pos 162 66.9 9.2 65.4 0.8 1.1 0.4 12.7 -22.2
pair SLmean MRmean pos-pos 160 66.1 9.1 65.0 0.7 1.1 0.3 12.9 -25.6
pair MRmean SLmean pos-pos 160 66.1 9.1 65.0 0.7 1.1 0.3 12.9 -25.6
single RSI RSI pos-pos 204 84.3 8.9 65.7 0.7 1.0 0.4 14.1 -24.3
pair SLmean LWTI pos-pos 151 62.4 8.8 65.6 0.7 1.1 0.4 12.6 -20.7
pair LWTI SLmean pos-pos 151 62.4 8.8 65.6 0.7 1.1 0.4 12.6 -20.7
pair SLmean RSI pos-pos 158 65.3 8.6 65.2 0.7 1.1 0.4 12.8 -20.7
pair MACDhist MACD pos-neg 72 29.8 8.6 66.7 0.5 0.6 0.3 19.9 -25.5
pair MACD MACDhist pos-neg 72 29.8 8.6 66.7 0.5 0.6 0.3 19.9 -25.5
pair RSI SLmean pos-pos 158 65.3 8.6 65.2 0.7 1.1 0.4 12.8 -20.7
pair LWTI RSI pos-pos 195 80.6 8.4 65.6 0.7 0.9 0.3 13.9 -24.3
pair RSI LWTI pos-pos 195 80.6 8.4 65.6 0.7 0.9 0.3 13.9 -24.3
pair MACDhist RSIhist neg-pos 31 12.8 8.4 61.3 0.6 0.9 0.8 16.0 -10.0
pair RSIhist MACDhist neg-pos 31 12.8 8.4 61.3 0.6 0.9 0.8 16.0 -10.0
pair MACD RSI pos-pos 182 75.2 8.1 64.8 0.6 0.9 0.3 13.9 -24.3
pair MRmean RSI neg-neg 34 14.0 8.1 61.8 0.4 0.5 0.2 31.8 -50.2
pair RSI MRmean neg-neg 34 14.0 8.1 61.8 0.4 0.5 0.2 31.8 -50.2
pair RSI MACD pos-pos 182 75.2 8.1 64.8 0.6 0.9 0.3 13.9 -24.3
pair RSI RSIhist pos-neg 82 33.9 8.0 67.1 0.6 0.8 0.4 15.6 -18.0
pair RSIhist RSI pos-neg 82 33.9 8.0 67.1 0.6 0.8 0.4 15.6 -18.0
pair SLmean MACD pos-pos 148 61.2 7.9 65.5 0.7 0.9 0.4 12.2 -20.7
pair MACD SLmean pos-pos 148 61.2 7.9 65.5 0.7 0.9 0.4 12.2 -20.7
pair RSIhist MACD pos-pos 114 47.1 7.8 64.9 0.7 1.0 0.4 12.3 -20.1
pair MACD RSIhist pos-pos 114 47.1 7.8 64.9 0.7 1.0 0.4 12.3 -20.1
pair SLmean RSIhist pos-neg 40 16.5 7.8 67.5 0.7 0.8 0.6 12.9 -12.8
pair RSIhist SLmean pos-neg 40 16.5 7.8 67.5 0.7 0.8 0.6 12.9 -12.8
pair SLmean RSmean neg-pos 59 24.4 7.7 61.0 0.4 0.6 0.2 27.3 -46.8
pair RSmean SLmean neg-pos 59 24.4 7.7 61.0 0.4 0.6 0.2 27.3 -46.8
pair RSI MACDhist neg-neg 35 14.5 7.6 60.0 0.4 0.5 0.1 31.4 -50.2
pair MACDhist RSI neg-neg 35 14.5 7.6 60.0 0.4 0.5 0.1 31.4 -50.2
single RSIhist RSIhist neg-neg 112 46.3 7.5 65.2 0.5 0.6 0.1 21.3 -51.7
pair SLmean RSIhist neg-neg 72 29.8 7.4 63.9 0.4 0.5 0.1 24.9 -50.7
pair RSIhist SLmean neg-neg 72 29.8 7.4 63.9 0.4 0.5 0.1 24.9 -50.7
pair MRmean RSmean neg-neg 14 5.8 7.2 78.6 0.7 1.2 0.6 10.9 -12.4
pair RSmean MRmean neg-neg 14 5.8 7.2 78.6 0.7 1.2 0.6 10.9 -12.4
single SLmean SLmean neg-neg 74 30.6 7.1 63.5 0.4 0.5 0.1 24.8 -50.7
pair MACDhist MRmean neg-neg 62 25.6 6.9 66.1 0.4 0.5 0.1 26.1 -53.9
pair MRmean MACDhist neg-neg 62 25.6 6.9 66.1 0.4 0.5 0.1 26.1 -53.9
single MACD MACD neg-neg 50 20.7 6.5 64.0 0.4 0.5 0.1 23.0 -56.4
pair MACDhist LWTI neg-pos 89 36.8 6.4 66.3 0.4 0.6 0.3 18.5 -21.8
pair LWTI MACDhist neg-pos 89 36.8 6.4 66.3 0.4 0.6 0.3 18.5 -21.8
pair RSI RSIhist neg-neg 30 12.4 6.3 60.0 0.3 0.5 0.1 32.5 -44.9
pair RSIhist RSI neg-neg 30 12.4 6.3 60.0 0.3 0.5 0.1 32.5 -44.9
single MRmean MRmean neg-neg 66 27.3 6.2 65.2 0.4 0.5 0.1 25.9 -53.9
pair MACDhist SLmean pos-neg 55 22.7 6.0 65.5 0.5 0.7 0.4 15.1 -14.7
pair SLmean MACDhist pos-neg 55 22.7 6.0 65.5 0.5 0.7 0.4 15.1 -14.7
pair MRmean RSmean neg-pos 52 21.5 6.0 61.5 0.3 0.5 0.1 28.7 -50.2
pair RSmean MRmean neg-pos 52 21.5 6.0 61.5 0.3 0.5 0.1 28.7 -50.2
pair RSIhist MRmean neg-neg 62 25.6 5.2 64.5 0.3 0.4 0.1 25.9 -48.9
pair MRmean RSIhist neg-neg 62 25.6 5.2 64.5 0.3 0.4 0.1 25.9 -48.9
pair RSmean MACDhist pos-neg 94 38.8 5.2 62.8 0.3 0.4 0.1 22.7 -53.1
pair MACDhist RSmean pos-neg 94 38.8 5.2 62.8 0.3 0.4 0.1 22.7 -53.1
single MACDhist MACDhist neg-neg 114 47.1 5.2 64.9 0.3 0.4 0.1 21.4 -56.4
pair MACDhist RSmean neg-neg 20 8.3 5.1 75.0 0.4 0.5 0.2 13.9 -20.8
pair RSmean MACDhist neg-neg 20 8.3 5.1 75.0 0.4 0.5 0.2 13.9 -20.8
pair LWTI RSmean pos-neg 30 12.4 5.1 60.0 0.3 0.4 0.1 27.9 -49.5
pair RSmean LWTI pos-neg 30 12.4 5.1 60.0 0.3 0.4 0.1 27.9 -49.5
single LWTI LWTI neg-neg 30 12.4 5.1 60.0 0.3 0.4 0.1 27.9 -49.5
pair MACD RSmean pos-neg 38 15.7 4.9 57.9 0.3 0.4 0.1 25.8 -53.1
pair RSmean MACD pos-neg 38 15.7 4.9 57.9 0.3 0.4 0.1 25.8 -53.1
pair SLmean RSmean neg-neg 15 6.2 4.5 73.3 0.5 0.8 0.3 10.9 -14.1
pair RSmean SLmean neg-neg 15 6.2 4.5 73.3 0.5 0.8 0.3 10.9 -14.1
pair MACDhist SLmean neg-neg 59 24.4 4.5 64.4 0.3 0.4 0.1 26.0 -50.7
pair SLmean MACDhist neg-neg 59 24.4 4.5 64.4 0.3 0.4 0.1 26.0 -50.7
pair MRmean RSI neg-pos 32 13.2 4.3 68.8 0.3 0.6 0.3 18.1 -16.6
pair RSI MRmean neg-pos 32 13.2 4.3 68.8 0.3 0.6 0.3 18.1 -16.6
pair MACDhist RSI pos-neg 79 32.6 4.2 67.1 0.3 0.5 0.2 15.2 -22.1
pair RSI MACDhist pos-neg 79 32.6 4.2 67.1 0.3 0.5 0.2 15.2 -22.1
pair MACDhist RSIhist neg-neg 83 34.3 4.0 66.3 0.3 0.4 0.1 23.1 -51.7
pair RSIhist MACDhist neg-neg 83 34.3 4.0 66.3 0.3 0.4 0.1 23.1 -51.7
single RSmean RSmean neg-neg 21 8.7 3.2 71.4 0.3 0.4 0.2 13.7 -20.8
pair RSmean LWTI neg-pos 21 8.7 3.2 71.4 0.3 0.4 0.2 13.7 -20.8
pair LWTI RSmean neg-pos 21 8.7 3.2 71.4 0.3 0.4 0.2 13.7 -20.8
pair MACDhist MRmean pos-neg 52 21.5 3.2 63.5 0.3 0.5 0.2 14.0 -18.1
pair MRmean MACDhist pos-neg 52 21.5 3.2 63.5 0.3 0.5 0.2 14.0 -18.1
pair RSI SLmean neg-neg 28 11.6 2.8 57.1 0.2 0.3 0.1 33.5 -46.8
pair SLmean RSI neg-neg 28 11.6 2.8 57.1 0.2 0.3 0.1 33.5 -46.8
pair RSmean RSI neg-pos 20 8.3 2.6 70.0 0.2 0.3 0.1 14.1 -20.8
pair RSI RSmean neg-pos 20 8.3 2.6 70.0 0.2 0.3 0.1 14.1 -20.8
pair SLmean MRmean neg-neg 58 24.0 1.6 62.1 0.2 0.3 0.0 26.5 -50.7
pair MRmean SLmean neg-neg 58 24.0 1.6 62.1 0.2 0.3 0.0 26.5 -50.7
pair MACDhist LWTI neg-neg 25 10.3 1.2 60.0 0.2 0.2 0.0 29.8 -49.5
pair LWTI MACDhist neg-neg 25 10.3 1.2 60.0 0.2 0.2 0.0 29.8 -49.5
pair SLmean RSmean pos-neg 6 2.5 0.2 66.7 0.1 0.1 0.0 20.5 -10.5
pair RSmean SLmean pos-neg 6 2.5 0.2 66.7 0.1 0.1 0.0 20.5 -10.5
pair RSI MACD neg-neg 28 11.6 -0.3 57.1 0.1 0.2 -0.0 27.7 -50.2
pair MACD RSI neg-neg 28 11.6 -0.3 57.1 0.1 0.2 -0.0 27.7 -50.2
pair MACD MACDhist neg-neg 42 17.4 -0.3 61.9 0.1 0.1 -0.0 23.9 -56.4
pair MACDhist MACD neg-neg 42 17.4 -0.3 61.9 0.1 0.1 -0.0 23.9 -56.4
pair RSI LWTI neg-neg 21 8.7 -0.6 57.1 0.1 0.2 -0.0 31.7 -49.5
pair LWTI RSI neg-neg 21 8.7 -0.6 57.1 0.1 0.2 -0.0 31.7 -49.5
pair LWTI MACD neg-neg 24 9.9 -1.0 54.2 0.1 0.2 -0.0 30.8 -49.5
pair MACD LWTI neg-neg 24 9.9 -1.0 54.2 0.1 0.2 -0.0 30.8 -49.5
pair MACD MRmean neg-neg 36 14.9 -2.0 63.9 0.0 0.1 -0.0 24.4 -53.9
pair MRmean MACD neg-neg 36 14.9 -2.0 63.9 0.0 0.1 -0.0 24.4 -53.9
pair SLmean RSIhist neg-pos 2 0.8 -3.4 50.0 -0.0 0.0 0.0 30.2 0.0
pair RSIhist SLmean neg-pos 2 0.8 -3.4 50.0 -0.0 0.0 0.0 30.2 0.0
pair MACDhist MRmean neg-pos 4 1.7 -3.5 50.0 -0.0 -0.1 -0.4 26.4 -9.5
pair MRmean MACDhist neg-pos 4 1.7 -3.5 50.0 -0.0 -0.1 -0.4 26.4 -9.5
pair RSmean RSIhist neg-neg 16 6.6 -4.1 68.8 -0.2 -0.3 -0.2 14.2 -23.1
pair RSIhist RSmean neg-neg 16 6.6 -4.1 68.8 -0.2 -0.3 -0.2 14.2 -23.1
pair MRmean RSmean pos-neg 7 2.9 -4.3 57.1 -0.1 -0.2 -0.4 19.0 -10.5
pair RSmean MRmean pos-neg 7 2.9 -4.3 57.1 -0.1 -0.2 -0.4 19.0 -10.5
pair MACD RSIhist neg-neg 34 14.0 -6.3 61.8 -0.1 -0.2 -0.1 23.6 -51.7
pair RSIhist MACD neg-neg 34 14.0 -6.3 61.8 -0.1 -0.2 -0.1 23.6 -51.7
pair MACD RSmean neg-pos 9 3.7 -7.1 55.6 -0.3 -0.4 -0.5 17.0 -13.7
pair RSmean MACD neg-pos 9 3.7 -7.1 55.6 -0.3 -0.4 -0.5 17.0 -13.7
pair LWTI MRmean neg-neg 18 7.4 -8.0 55.6 -0.1 -0.1 -0.2 33.5 -49.5
pair MRmean LWTI neg-neg 18 7.4 -8.0 55.6 -0.1 -0.1 -0.2 33.5 -49.5
pair SLmean MACD neg-neg 30 12.4 -8.3 60.0 -0.2 -0.3 -0.2 24.5 -50.7
pair MACD SLmean neg-neg 30 12.4 -8.3 60.0 -0.2 -0.3 -0.2 24.5 -50.7
pair LWTI RSIhist neg-neg 15 6.2 -13.6 53.3 -0.3 -0.4 -0.3 34.0 -44.9
pair RSIhist LWTI neg-neg 15 6.2 -13.6 53.3 -0.3 -0.4 -0.3 34.0 -44.9
pair LWTI SLmean neg-neg 13 5.4 -19.0 46.2 -0.4 -0.6 -0.4 36.4 -44.9
pair SLmean LWTI neg-neg 13 5.4 -19.0 46.2 -0.4 -0.6 -0.4 36.4 -44.9
pair MACDhist RSmean neg-pos 1 0.4 -27.2 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.4 -27.2 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for VOE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 65%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 13% | MDD -25.6%
Months 160M (66%)
CAGR 29.4% | Win 69%
Sharpe 1.60 | Sortino 3.01 | Calmar 4.5
Vol 17% | MDD -6.6%
Months 16M (7%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 46.6% | Win 88%
Sharpe 1.99 | Sortino 0.00 | Calmar 4.7
Vol 20% | MDD -9.8%
Months 8M (3%)
CAGR 1.6% | Win 62%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -50.7%
Months 58M (24%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
SLmean
only
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.5% | Win 66%
Sharpe 0.90 | Sortino 1.44 | Calmar 0.7
Vol 13% | MDD -17.6%
Months 169M (70%)
CAGR -4.3% | Win 57%
Sharpe -0.14 | Sortino -0.16 | Calmar -0.4
Vol 19% | MDD -10.5%
Months 7M (3%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 6.0% | Win 62%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 29% | MDD -50.2%
Months 52M (22%)
CAGR 7.2% | Win 79%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.6
Vol 11% | MDD -12.4%
Months 14M (6%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
RSmean
only
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.2% | Win 65%
Sharpe 0.75 | Sortino 1.09 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 162M (67%)
CAGR 31.6% | Win 64%
Sharpe 1.58 | Sortino 3.98 | Calmar 4.7
Vol 19% | MDD -6.7%
Months 14M (6%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 17.0% | Win 67%
Sharpe 0.71 | Sortino 0.99 | Calmar 0.8
Vol 28% | MDD -21.8%
Months 30M (12%)
CAGR -2.0% | Win 64%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 24% | MDD -53.9%
Months 36M (15%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
MACD
only
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 65%
Sharpe 0.77 | Sortino 1.18 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 172M (71%)
CAGR 65.8% | Win 75%
Sharpe 4.30 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 4.3% | Win 69%
Sharpe 0.32 | Sortino 0.57 | Calmar 0.3
Vol 18% | MDD -16.6%
Months 32M (13%)
CAGR 8.1% | Win 62%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.2
Vol 32% | MDD -50.2%
Months 34M (14%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
RSI
only
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 14.1% | Win 66%
Sharpe 1.09 | Sortino 1.68 | Calmar 0.7
Vol 13% | MDD -19.8%
Months 124M (51%)
CAGR 3.2% | Win 64%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.2
Vol 14% | MDD -18.1%
Months 52M (22%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR -3.5% | Win 50%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.4
Vol 26% | MDD -9.5%
Months 4M (2%)
CAGR 6.9% | Win 66%
Sharpe 0.39 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 62M (26%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
MACDhist
only
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 65%
Sharpe 0.86 | Sortino 1.37 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 126M (52%)
CAGR 10.4% | Win 66%
Sharpe 0.79 | Sortino 1.10 | Calmar 0.8
Vol 14% | MDD -12.8%
Months 50M (21%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 22.7% | Win 75%
Sharpe 0.81 | Sortino 0.00 | Calmar 0.0
Vol 30% | MDD 0.0%
Months 4M (2%)
CAGR 5.2% | Win 64%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 26% | MDD -48.9%
Months 62M (26%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 65%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 13% | MDD -22.2%
Months 164M (68%)
CAGR 28.4% | Win 67%
Sharpe 1.60 | Sortino 4.02 | Calmar 5.9
Vol 16% | MDD -4.8%
Months 12M (5%)
CAGR 10.8% | Win 65%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.5
Vol 13% | MDD -22.2%
Months 176M (73%)
MRmean
neg
CAGR 12.1% | Win 69%
Sharpe 0.62 | Sortino 0.80 | Calmar 0.6
Vol 23% | MDD -21.8%
Months 48M (20%)
CAGR -8.0% | Win 56%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.2
Vol 34% | MDD -49.5%
Months 18M (7%)
CAGR 6.2% | Win 65%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -53.9%
Months 66M (27%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 66%
Sharpe 0.87 | Sortino 1.33 | Calmar 0.7
Vol 13% | MDD -16.9%
Months 162M (67%)
CAGR 0.2% | Win 67%
Sharpe 0.10 | Sortino 0.09 | Calmar 0.0
Vol 20% | MDD -10.5%
Months 6M (2%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR 7.7% | Win 61%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 27% | MDD -46.8%
Months 59M (24%)
CAGR 4.5% | Win 73%
Sharpe 0.45 | Sortino 0.82 | Calmar 0.3
Vol 11% | MDD -14.1%
Months 15M (6%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
RSmean
only
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 66%
Sharpe 0.69 | Sortino 0.95 | Calmar 0.4
Vol 12% | MDD -20.7%
Months 148M (61%)
CAGR 33.2% | Win 70%
Sharpe 1.57 | Sortino 2.66 | Calmar 2.8
Vol 20% | MDD -12.0%
Months 20M (8%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR 19.0% | Win 66%
Sharpe 0.83 | Sortino 1.16 | Calmar 0.9
Vol 25% | MDD -21.8%
Months 44M (18%)
CAGR -8.3% | Win 60%
Sharpe -0.23 | Sortino -0.27 | Calmar -0.2
Vol 24% | MDD -50.7%
Months 30M (12%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
MACD
only
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 65%
Sharpe 0.71 | Sortino 1.05 | Calmar 0.4
Vol 13% | MDD -20.7%
Months 158M (65%)
CAGR 47.7% | Win 80%
Sharpe 2.16 | Sortino 1.89 | Calmar 4.9
Vol 19% | MDD -9.8%
Months 10M (4%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR 9.7% | Win 67%
Sharpe 0.61 | Sortino 1.09 | Calmar 0.6
Vol 18% | MDD -15.2%
Months 46M (19%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.33 | Calmar 0.1
Vol 34% | MDD -46.8%
Months 28M (12%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
RSI
only
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 13.0% | Win 66%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.9
Vol 12% | MDD -14.2%
Months 113M (47%)
CAGR 6.0% | Win 66%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.4
Vol 15% | MDD -14.7%
Months 55M (23%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR 17.8% | Win 60%
Sharpe 0.92 | Sortino 1.70 | Calmar 1.2
Vol 20% | MDD -14.7%
Months 15M (6%)
CAGR 4.5% | Win 64%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 26% | MDD -50.7%
Months 59M (24%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
MACDhist
only
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 66%
Sharpe 0.88 | Sortino 1.35 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 128M (53%)
CAGR 7.8% | Win 68%
Sharpe 0.65 | Sortino 0.80 | Calmar 0.6
Vol 13% | MDD -12.8%
Months 40M (16%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR -3.4% | Win 50%
Sharpe -0.04 | Sortino 0.00 | Calmar 0.0
Vol 30% | MDD 0.0%
Months 2M (1%)
CAGR 7.4% | Win 64%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 72M (30%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 66%
Sharpe 0.73 | Sortino 1.06 | Calmar 0.4
Vol 13% | MDD -20.7%
Months 151M (62%)
CAGR 28.4% | Win 71%
Sharpe 1.43 | Sortino 2.01 | Calmar 2.9
Vol 19% | MDD -9.8%
Months 17M (7%)
CAGR 10.6% | Win 66%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 168M (69%)
SLmean
neg
CAGR 13.6% | Win 67%
Sharpe 0.70 | Sortino 0.95 | Calmar 0.6
Vol 22% | MDD -21.8%
Months 61M (25%)
CAGR -19.0% | Win 46%
Sharpe -0.40 | Sortino -0.59 | Calmar -0.4
Vol 36% | MDD -44.9%
Months 13M (5%)
CAGR 7.1% | Win 64%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.7%
Months 74M (31%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.3% | Win 66%
Sharpe 0.75 | Sortino 0.98 | Calmar 0.4
Vol 16% | MDD -31.2%
Months 183M (76%)
CAGR 4.9% | Win 58%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 26% | MDD -53.1%
Months 38M (16%)
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
RSmean
neg
CAGR -7.1% | Win 56%
Sharpe -0.35 | Sortino -0.42 | Calmar -0.5
Vol 17% | MDD -13.7%
Months 9M (4%)
CAGR 11.7% | Win 83%
Sharpe 1.06 | Sortino 1.38 | Calmar 1.3
Vol 11% | MDD -9.2%
Months 12M (5%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
MACD
only
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.6% | Win 65%
Sharpe 0.72 | Sortino 1.10 | Calmar 0.5
Vol 14% | MDD -20.9%
Months 184M (76%)
CAGR 13.0% | Win 62%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 31% | MDD -49.5%
Months 37M (15%)
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
RSmean
neg
CAGR 2.6% | Win 70%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.1
Vol 14% | MDD -20.8%
Months 20M (8%)
CAGR 16.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
RSI
only
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.9% | Win 66%
Sharpe 1.04 | Sortino 1.59 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 127M (52%)
CAGR 5.2% | Win 63%
Sharpe 0.34 | Sortino 0.43 | Calmar 0.1
Vol 23% | MDD -53.1%
Months 94M (39%)
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
RSmean
neg
CAGR -27.2% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 5.1% | Win 75%
Sharpe 0.42 | Sortino 0.48 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 20M (8%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
MACDhist
only
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.6% | Win 65%
Sharpe 0.80 | Sortino 1.24 | Calmar 0.5
Vol 14% | MDD -23.0%
Months 125M (52%)
CAGR 9.6% | Win 65%
Sharpe 0.53 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -48.0%
Months 96M (40%)
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
RSmean
neg
CAGR 30.9% | Win 80%
Sharpe 2.61 | Sortino 0.00 | Calmar 19.8
Vol 11% | MDD -1.6%
Months 5M (2%)
CAGR -4.1% | Win 69%
Sharpe -0.23 | Sortino -0.28 | Calmar -0.2
Vol 14% | MDD -23.1%
Months 16M (7%)
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 65%
Sharpe 0.74 | Sortino 0.98 | Calmar 0.4
Vol 16% | MDD -31.2%
Months 191M (79%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
CAGR 10.1% | Win 65%
Sharpe 0.63 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -53.1%
Months 221M (91%)
RSmean
neg
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
-
CAGR 3.2% | Win 71%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.2
Vol 14% | MDD -20.8%
Months 21M (9%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.1% | Win 65%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 14% | MDD -24.3%
Months 182M (75%)
CAGR 61.1% | Win 80%
Sharpe 1.51 | Sortino 1.24 | Calmar 2.8
Vol 37% | MDD -21.8%
Months 10M (4%)
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
MACD
neg
CAGR 15.8% | Win 73%
Sharpe 1.01 | Sortino 2.33 | Calmar 0.9
Vol 16% | MDD -16.7%
Months 22M (9%)
CAGR -0.3% | Win 57%
Sharpe 0.13 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -50.2%
Months 28M (12%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
RSI
only
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.4% | Win 65%
Sharpe 0.89 | Sortino 1.32 | Calmar 0.4
Vol 13% | MDD -26.8%
Months 120M (50%)
CAGR 8.6% | Win 67%
Sharpe 0.52 | Sortino 0.64 | Calmar 0.3
Vol 20% | MDD -25.5%
Months 72M (30%)
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
MACD
neg
CAGR 50.3% | Win 75%
Sharpe 2.74 | Sortino 6.85 | Calmar 10.4
Vol 16% | MDD -4.8%
Months 8M (3%)
CAGR -0.3% | Win 62%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 24% | MDD -56.4%
Months 42M (17%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
MACDhist
only
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 65%
Sharpe 0.67 | Sortino 0.98 | Calmar 0.4
Vol 12% | MDD -20.1%
Months 114M (47%)
CAGR 14.2% | Win 67%
Sharpe 0.76 | Sortino 0.96 | Calmar 0.7
Vol 20% | MDD -21.8%
Months 78M (32%)
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
MACD
neg
CAGR 39.6% | Win 69%
Sharpe 1.75 | Sortino 2.84 | Calmar 8.2
Vol 20% | MDD -4.8%
Months 16M (7%)
CAGR -6.3% | Win 62%
Sharpe -0.15 | Sortino -0.18 | Calmar -0.1
Vol 24% | MDD -51.7%
Months 34M (14%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 65%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 186M (77%)
CAGR 34.0% | Win 83%
Sharpe 2.95 | Sortino 0.00 | Calmar 44.4
Vol 10% | MDD -0.8%
Months 6M (2%)
CAGR 10.3% | Win 66%
Sharpe 0.70 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 192M (79%)
MACD
neg
CAGR 13.9% | Win 73%
Sharpe 1.08 | Sortino 2.29 | Calmar 0.7
Vol 13% | MDD -20.3%
Months 26M (11%)
CAGR -1.0% | Win 54%
Sharpe 0.12 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -49.5%
Months 24M (10%)
CAGR 6.5% | Win 64%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -56.4%
Months 50M (21%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.9% | Win 65%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.4
Vol 13% | MDD -26.8%
Months 125M (52%)
CAGR 4.2% | Win 67%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.2
Vol 15% | MDD -22.1%
Months 79M (33%)
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
RSI
neg
CAGR 103.2% | Win 100%
Sharpe 43.70 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 3M (1%)
CAGR 7.6% | Win 60%
Sharpe 0.39 | Sortino 0.50 | Calmar 0.1
Vol 31% | MDD -50.2%
Months 35M (14%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
MACDhist
only
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.5% | Win 65%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.5
Vol 13% | MDD -20.7%
Months 122M (50%)
CAGR 8.0% | Win 67%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.4
Vol 16% | MDD -18.0%
Months 82M (34%)
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
RSI
neg
CAGR 42.6% | Win 75%
Sharpe 1.77 | Sortino 1.74 | Calmar 48.9
Vol 22% | MDD -0.9%
Months 8M (3%)
CAGR 6.3% | Win 60%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 32% | MDD -44.9%
Months 30M (12%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 66%
Sharpe 0.65 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -24.3%
Months 195M (81%)
CAGR 20.0% | Win 67%
Sharpe 1.12 | Sortino 2.67 | Calmar 12.0
Vol 17% | MDD -1.7%
Months 9M (4%)
CAGR 8.9% | Win 66%
Sharpe 0.68 | Sortino 1.01 | Calmar 0.4
Vol 14% | MDD -24.3%
Months 204M (84%)
RSI
neg
CAGR 32.7% | Win 71%
Sharpe 1.13 | Sortino 1.14 | Calmar 1.5
Vol 29% | MDD -21.8%
Months 17M (7%)
CAGR -0.6% | Win 57%
Sharpe 0.14 | Sortino 0.18 | Calmar -0.0
Vol 32% | MDD -49.5%
Months 21M (9%)
CAGR 13.1% | Win 63%
Sharpe 0.56 | Sortino 0.70 | Calmar 0.3
Vol 30% | MDD -50.2%
Months 38M (16%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.2% | Win 67%
Sharpe 0.95 | Sortino 1.44 | Calmar 0.7
Vol 13% | MDD -17.7%
Months 99M (41%)
CAGR 18.2% | Win 62%
Sharpe 1.19 | Sortino 1.88 | Calmar 1.0
Vol 15% | MDD -18.0%
Months 29M (12%)
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
MACDhist
neg
CAGR 8.4% | Win 61%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.8
Vol 16% | MDD -10.0%
Months 31M (13%)
CAGR 4.0% | Win 66%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 23% | MDD -51.7%
Months 83M (34%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
RSIhist
only
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.0% | Win 66%
Sharpe 0.98 | Sortino 1.50 | Calmar 0.5
Vol 13% | MDD -26.3%
Months 123M (51%)
CAGR 27.2% | Win 60%
Sharpe 1.52 | Sortino 2.57 | Calmar 4.9
Vol 17% | MDD -5.5%
Months 5M (2%)
CAGR 13.5% | Win 66%
Sharpe 1.01 | Sortino 1.57 | Calmar 0.5
Vol 14% | MDD -26.8%
Months 128M (53%)
MACDhist
neg
CAGR 6.4% | Win 66%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.3
Vol 18% | MDD -21.8%
Months 89M (37%)
CAGR 1.2% | Win 60%
Sharpe 0.19 | Sortino 0.24 | Calmar 0.0
Vol 30% | MDD -49.5%
Months 25M (10%)
CAGR 5.2% | Win 65%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -56.4%
Months 114M (47%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.3% | Win 65%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.5
Vol 13% | MDD -20.4%
Months 115M (48%)
CAGR 27.9% | Win 67%
Sharpe 1.33 | Sortino 2.00 | Calmar 5.8
Vol 20% | MDD -4.8%
Months 15M (6%)
CAGR 11.3% | Win 65%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.1%
Months 130M (54%)
RSIhist
neg
CAGR 11.2% | Win 67%
Sharpe 0.67 | Sortino 0.85 | Calmar 0.5
Vol 19% | MDD -23.8%
Months 97M (40%)
CAGR -13.6% | Win 53%
Sharpe -0.26 | Sortino -0.36 | Calmar -0.3
Vol 34% | MDD -44.9%
Months 15M (6%)
CAGR 7.5% | Win 65%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 21% | MDD -51.7%
Months 112M (46%)
LWTI
only
CAGR 10.2% | Win 66%
Sharpe 0.70 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -31.2%
Months 212M (88%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -49.5%
Months 30M (12%)