VOT - Vanguard Morningstar Mid-Cap Growth ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

145.7%

Best CAGR

69

Total Months

14.2%

Avg CAGR

VOT 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 VOT

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 MACDhist neg-pos 1 0.4 145.7 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 145.7 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean pos-neg 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair RSmean MRmean pos-neg 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair RSmean MACD neg-pos 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair MACD RSmean neg-pos 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair RSmean SLmean pos-neg 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair SLmean RSmean pos-neg 6 2.5 73.2 100.0 8.7 0.0 0.0 6.5 0.0
pair RSI LWTI neg-pos 15 6.2 72.3 80.0 2.4 6.8 6.6 24.8 -11.0
pair LWTI RSI neg-pos 15 6.2 72.3 80.0 2.4 6.8 6.6 24.8 -11.0
pair RSmean RSIhist neg-pos 5 2.1 50.8 80.0 3.9 0.0 0.0 10.9 0.0
pair RSIhist RSmean neg-pos 5 2.1 50.8 80.0 3.9 0.0 0.0 10.9 0.0
pair RSIhist MRmean neg-pos 4 1.7 46.0 75.0 3.2 0.0 0.0 12.3 0.0
pair MRmean RSIhist neg-pos 4 1.7 46.0 75.0 3.2 0.0 0.0 12.3 0.0
pair RSI MACD pos-neg 13 5.4 44.9 61.5 1.4 4.2 3.4 30.5 -13.3
pair MACD RSI pos-neg 13 5.4 44.9 61.5 1.4 4.2 3.4 30.5 -13.3
pair MACD MACDhist neg-pos 8 3.3 43.1 75.0 2.3 23.3 9.4 16.6 -4.6
pair MACDhist MACD neg-pos 8 3.3 43.1 75.0 2.3 23.3 9.4 16.6 -4.6
pair RSI RSIhist neg-pos 12 5.0 39.4 66.7 2.4 6.3 10.0 14.4 -3.9
pair RSIhist RSI neg-pos 12 5.0 39.4 66.7 2.4 6.3 10.0 14.4 -3.9
pair RSI RSmean neg-pos 17 7.0 37.4 76.5 3.5 9.3 11.9 9.3 -3.1
pair RSmean RSI neg-pos 17 7.0 37.4 76.5 3.5 9.3 11.9 9.3 -3.1
pair LWTI RSmean neg-pos 18 7.4 36.6 77.8 3.5 9.1 11.6 9.1 -3.1
pair RSmean LWTI neg-pos 18 7.4 36.6 77.8 3.5 9.1 11.6 9.1 -3.1
single RSmean RSmean neg-neg 18 7.4 36.6 77.8 3.5 9.1 11.6 9.1 -3.1
pair RSIhist MACD neg-pos 18 7.4 36.0 66.7 2.3 5.2 7.8 14.1 -4.6
pair MACD RSIhist neg-pos 18 7.4 36.0 66.7 2.3 5.2 7.8 14.1 -4.6
pair MACDhist RSI neg-pos 6 2.5 33.1 66.7 1.5 6.1 5.5 20.7 -6.0
pair RSI MACDhist neg-pos 6 2.5 33.1 66.7 1.5 6.1 5.5 20.7 -6.0
pair MACDhist RSmean neg-neg 17 7.0 31.9 76.5 3.5 8.1 10.2 8.2 -3.1
pair RSmean MACDhist neg-neg 17 7.0 31.9 76.5 3.5 8.1 10.2 8.2 -3.1
pair RSmean RSIhist neg-neg 13 5.4 31.4 76.9 3.3 6.7 12.7 8.5 -2.5
pair RSIhist RSmean neg-neg 13 5.4 31.4 76.9 3.3 6.7 12.7 8.5 -2.5
pair RSI MRmean pos-neg 11 4.5 25.3 54.5 1.4 3.1 4.2 17.5 -6.0
pair MRmean RSI pos-neg 11 4.5 25.3 54.5 1.4 3.1 4.2 17.5 -6.0
pair RSIhist MACDhist neg-pos 27 11.2 23.4 66.7 1.9 4.8 5.6 11.2 -4.2
pair MACDhist RSIhist neg-pos 27 11.2 23.4 66.7 1.9 4.8 5.6 11.2 -4.2
pair RSI RSmean neg-neg 1 0.4 22.2 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSI neg-neg 1 0.4 22.2 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSI pos-neg 13 5.4 22.1 53.8 1.2 3.0 1.7 17.2 -13.1
pair RSI SLmean pos-neg 13 5.4 22.1 53.8 1.2 3.0 1.7 17.2 -13.1
pair MACD LWTI neg-pos 33 13.6 21.6 69.7 1.3 2.0 1.4 16.3 -15.2
pair LWTI MACD neg-pos 33 13.6 21.6 69.7 1.3 2.0 1.4 16.3 -15.2
pair RSmean MACD neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair SLmean RSmean neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair RSmean SLmean neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair RSmean MRmean neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair MRmean RSmean neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair MACD RSmean neg-neg 12 5.0 21.3 66.7 2.4 5.6 6.8 8.2 -3.1
pair MACD LWTI pos-neg 11 4.5 20.7 54.5 1.0 1.5 1.6 20.7 -12.8
pair LWTI MACD pos-neg 11 4.5 20.7 54.5 1.0 1.5 1.6 20.7 -12.8
single RSI RSI neg-neg 41 16.9 18.9 63.4 0.8 1.1 0.4 29.0 -46.6
pair RSmean RSI pos-neg 40 16.5 18.8 62.5 0.7 1.1 0.4 29.3 -46.6
pair RSI RSmean pos-neg 40 16.5 18.8 62.5 0.7 1.1 0.4 29.3 -46.6
pair LWTI RSIhist pos-neg 13 5.4 17.6 46.2 1.4 3.6 3.6 12.5 -4.9
pair RSIhist LWTI pos-neg 13 5.4 17.6 46.2 1.4 3.6 3.6 12.5 -4.9
pair SLmean RSI neg-neg 28 11.6 17.4 67.9 0.7 1.0 0.4 33.3 -46.6
pair RSI SLmean neg-neg 28 11.6 17.4 67.9 0.7 1.0 0.4 33.3 -46.6
pair MACD SLmean pos-neg 23 9.5 16.8 60.9 0.9 1.8 1.2 18.1 -14.3
pair SLmean MACD pos-neg 23 9.5 16.8 60.9 0.9 1.8 1.2 18.1 -14.3
pair MRmean RSI neg-neg 30 12.4 16.6 66.7 0.6 1.0 0.4 32.4 -46.6
pair RSI MRmean neg-neg 30 12.4 16.6 66.7 0.6 1.0 0.4 32.4 -46.6
pair MACDhist RSI neg-neg 35 14.5 16.6 62.9 0.7 0.9 0.4 30.4 -46.6
pair RSI MACDhist neg-neg 35 14.5 16.6 62.9 0.7 0.9 0.4 30.4 -46.6
pair MRmean MACD pos-neg 21 8.7 16.3 61.9 1.0 1.6 1.3 17.2 -12.9
pair MACD MRmean pos-neg 21 8.7 16.3 61.9 1.0 1.6 1.3 17.2 -12.9
pair MACD MACDhist pos-neg 57 23.6 15.6 61.4 0.8 1.4 0.7 20.1 -23.7
pair MACDhist MACD pos-neg 57 23.6 15.6 61.4 0.8 1.4 0.7 20.1 -23.7
pair SLmean MRmean pos-neg 19 7.9 14.7 57.9 0.8 1.6 1.6 20.7 -9.3
pair MRmean SLmean pos-neg 19 7.9 14.7 57.9 0.8 1.6 1.6 20.7 -9.3
pair MACDhist LWTI neg-pos 74 30.6 14.5 63.5 0.8 1.4 0.7 18.6 -21.2
pair LWTI MACDhist neg-pos 74 30.6 14.5 63.5 0.8 1.4 0.7 18.6 -21.2
pair SLmean RSIhist pos-pos 134 55.4 13.3 61.2 1.0 1.8 1.1 13.3 -12.3
pair RSIhist SLmean pos-pos 134 55.4 13.3 61.2 1.0 1.8 1.1 13.3 -12.3
pair MACDhist SLmean pos-neg 42 17.4 13.3 61.9 0.9 1.5 0.9 14.7 -14.3
pair SLmean MACDhist pos-neg 42 17.4 13.3 61.9 0.9 1.5 0.9 14.7 -14.3
single RSIhist RSIhist pos-pos 138 57.0 13.0 60.9 1.0 1.7 0.8 13.4 -16.3
pair RSIhist LWTI pos-pos 125 51.7 12.6 62.4 0.9 1.7 0.8 13.5 -16.3
pair LWTI RSIhist pos-pos 125 51.7 12.6 62.4 0.9 1.7 0.8 13.5 -16.3
pair MRmean LWTI pos-pos 166 68.6 12.4 62.7 0.9 1.3 0.7 15.0 -16.9
pair LWTI MRmean pos-pos 166 68.6 12.4 62.7 0.9 1.3 0.7 15.0 -16.9
pair MRmean MACDhist pos-pos 135 55.8 12.3 60.7 0.8 1.4 0.5 15.0 -25.5
pair MACDhist MRmean pos-pos 135 55.8 12.3 60.7 0.8 1.4 0.5 15.0 -25.5
pair RSIhist MRmean pos-pos 134 55.4 12.2 60.4 0.9 1.6 0.8 13.4 -16.3
pair MRmean RSIhist pos-pos 134 55.4 12.2 60.4 0.9 1.6 0.8 13.4 -16.3
pair SLmean LWTI pos-pos 147 60.7 12.1 63.3 0.9 1.3 0.7 14.2 -17.7
pair LWTI SLmean pos-pos 147 60.7 12.1 63.3 0.9 1.3 0.7 14.2 -17.7
single MRmean MRmean pos-pos 178 73.6 12.0 61.2 0.8 1.3 0.6 14.7 -20.3
pair RSIhist RSmean pos-pos 133 55.0 11.8 60.2 0.9 1.6 0.7 13.4 -16.3
pair RSmean RSIhist pos-pos 133 55.0 11.8 60.2 0.9 1.6 0.7 13.4 -16.3
pair MRmean SLmean pos-pos 159 65.7 11.7 61.6 0.9 1.3 0.6 13.9 -21.0
pair SLmean MRmean pos-pos 159 65.7 11.7 61.6 0.9 1.3 0.6 13.9 -21.0
pair MRmean RSIhist pos-neg 44 18.2 11.7 63.6 0.7 1.0 0.5 18.4 -24.6
pair RSIhist MRmean pos-neg 44 18.2 11.7 63.6 0.7 1.0 0.5 18.4 -24.6
pair LWTI RSI pos-neg 6 2.5 11.6 50.0 1.4 24.3 15.4 8.1 -0.8
single SLmean SLmean pos-pos 163 67.4 11.6 61.3 0.8 1.3 0.4 14.1 -28.4
pair RSI LWTI pos-neg 6 2.5 11.6 50.0 1.4 24.3 15.4 8.1 -0.8
pair MRmean MACD pos-pos 157 64.9 11.5 61.1 0.8 1.3 0.5 14.4 -25.5
pair MACD MRmean pos-pos 157 64.9 11.5 61.1 0.8 1.3 0.5 14.4 -25.5
single LWTI LWTI pos-pos 210 86.8 11.4 61.9 0.7 1.1 0.3 16.9 -34.0
pair RSI RSIhist neg-neg 29 12.0 11.3 62.1 0.5 0.8 0.2 33.3 -46.6
pair RSIhist RSI neg-neg 29 12.0 11.3 62.1 0.5 0.8 0.2 33.3 -46.6
pair MRmean RSI pos-pos 167 69.0 11.2 61.7 0.8 1.2 0.6 14.6 -19.0
pair RSI MRmean pos-pos 167 69.0 11.2 61.7 0.8 1.2 0.6 14.6 -19.0
pair MACDhist MRmean pos-neg 43 17.8 11.2 62.8 0.8 1.2 0.9 14.1 -12.9
pair MRmean MACDhist pos-neg 43 17.8 11.2 62.8 0.8 1.2 0.9 14.1 -12.9
pair SLmean MACDhist pos-pos 121 50.0 11.0 61.2 0.8 1.2 0.5 13.9 -24.4
pair MACDhist SLmean pos-pos 121 50.0 11.0 61.2 0.8 1.2 0.5 13.9 -24.4
pair RSIhist RSI pos-pos 126 52.1 10.8 60.3 0.8 1.4 0.7 13.2 -16.3
pair RSI RSIhist pos-pos 126 52.1 10.8 60.3 0.8 1.4 0.7 13.2 -16.3
pair SLmean MACD pos-pos 140 57.9 10.7 61.4 0.8 1.2 0.4 13.4 -27.0
pair MACD SLmean pos-pos 140 57.9 10.7 61.4 0.8 1.2 0.4 13.4 -27.0
pair RSI SLmean pos-pos 150 62.0 10.7 62.0 0.8 1.2 0.5 13.9 -21.9
pair SLmean RSI pos-pos 150 62.0 10.7 62.0 0.8 1.2 0.5 13.9 -21.9
pair MACD RSIhist pos-neg 68 28.1 10.6 60.3 0.6 0.8 0.3 22.8 -36.4
pair RSIhist MACD pos-neg 68 28.1 10.6 60.3 0.6 0.8 0.3 22.8 -36.4
pair MACDhist RSIhist pos-pos 111 45.9 10.6 59.5 0.8 1.4 0.7 13.9 -16.3
pair RSIhist MACDhist pos-pos 111 45.9 10.6 59.5 0.8 1.4 0.7 13.9 -16.3
pair RSmean MRmean pos-pos 172 71.1 10.4 59.9 0.7 1.2 0.5 14.8 -21.5
pair MRmean RSmean pos-pos 172 71.1 10.4 59.9 0.7 1.2 0.5 14.8 -21.5
single MACD MACD pos-pos 188 77.7 10.2 60.1 0.7 1.0 0.3 17.2 -38.5
pair MACD RSIhist pos-pos 120 49.6 9.9 60.0 0.8 1.3 0.7 13.1 -14.8
pair RSIhist MACD pos-pos 120 49.6 9.9 60.0 0.8 1.3 0.7 13.1 -14.8
single MACDhist MACDhist pos-pos 139 57.4 9.7 60.4 0.7 0.9 0.3 15.9 -28.0
pair MACDhist LWTI pos-pos 136 56.2 9.7 61.0 0.7 0.9 0.3 15.9 -27.6
pair LWTI MACDhist pos-pos 136 56.2 9.7 61.0 0.7 0.9 0.3 15.9 -27.6
pair RSmean SLmean pos-pos 157 64.9 9.7 59.9 0.7 1.1 0.3 14.1 -28.4
pair SLmean RSmean pos-pos 157 64.9 9.7 59.9 0.7 1.1 0.3 14.1 -28.4
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 9.6 60.7 0.6 0.8 0.2 18.5 -54.3
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 9.6 60.7 0.6 0.8 0.2 18.5 -54.3
pair LWTI RSIhist neg-pos 85 35.1 9.6 61.2 0.5 0.8 0.3 21.0 -35.0
pair RSIhist LWTI neg-pos 85 35.1 9.6 61.2 0.5 0.8 0.3 21.0 -35.0
single MACDhist MACDhist neg-neg 103 42.6 9.5 61.2 0.5 0.7 0.2 21.6 -54.3
pair MACD LWTI pos-pos 177 73.1 9.5 60.5 0.6 0.9 0.2 17.0 -40.9
pair LWTI SLmean neg-pos 63 26.0 9.5 58.7 0.5 0.8 0.4 22.1 -25.9
pair SLmean LWTI neg-pos 63 26.0 9.5 58.7 0.5 0.8 0.4 22.1 -25.9
pair LWTI MACD pos-pos 177 73.1 9.5 60.5 0.6 0.9 0.2 17.0 -40.9
pair RSmean LWTI pos-pos 192 79.3 9.2 60.4 0.6 0.9 0.3 17.4 -34.0
pair LWTI RSmean pos-pos 192 79.3 9.2 60.4 0.6 0.9 0.3 17.4 -34.0
pair MACDhist RSmean pos-pos 138 57.0 9.0 60.1 0.6 0.9 0.3 15.8 -28.0
pair RSmean MACDhist pos-pos 138 57.0 9.0 60.1 0.6 0.9 0.3 15.8 -28.0
pair MACDhist RSI pos-pos 133 55.0 8.7 60.2 0.6 0.8 0.3 15.7 -28.0
pair RSI MACDhist pos-pos 133 55.0 8.7 60.2 0.6 0.8 0.3 15.7 -28.0
pair MACD SLmean neg-pos 48 19.8 8.6 56.2 0.5 0.8 0.4 25.4 -21.2
pair SLmean MACD neg-pos 48 19.8 8.6 56.2 0.5 0.8 0.4 25.4 -21.2
pair MACD RSmean pos-pos 182 75.2 8.5 58.8 0.6 0.8 0.2 17.3 -39.5
pair RSmean MACD pos-pos 182 75.2 8.5 58.8 0.6 0.8 0.2 17.3 -39.5
pair RSI MACD neg-neg 28 11.6 8.4 64.3 0.4 0.5 0.2 28.3 -46.6
pair MACD RSI neg-neg 28 11.6 8.4 64.3 0.4 0.5 0.2 28.3 -46.6
pair MACDhist MRmean neg-neg 60 24.8 8.3 60.0 0.4 0.6 0.2 25.8 -50.0
pair MRmean MACDhist neg-neg 60 24.8 8.3 60.0 0.4 0.6 0.2 25.8 -50.0
pair MACD RSI pos-pos 175 72.3 7.9 60.0 0.6 0.8 0.3 15.7 -29.3
pair MACD MACDhist pos-pos 131 54.1 7.9 59.5 0.6 0.8 0.3 15.8 -28.0
pair MACDhist MACD pos-pos 131 54.1 7.9 59.5 0.6 0.8 0.3 15.8 -28.0
pair RSI MACD pos-pos 175 72.3 7.9 60.0 0.6 0.8 0.3 15.7 -29.3
single RSI RSI pos-pos 201 83.1 7.8 60.2 0.6 0.8 0.3 15.6 -26.9
single RSmean RSmean pos-pos 224 92.6 7.7 59.4 0.5 0.7 0.1 19.0 -54.3
pair LWTI RSI pos-pos 195 80.6 7.7 60.5 0.6 0.8 0.3 15.7 -26.9
pair RSI LWTI pos-pos 195 80.6 7.7 60.5 0.6 0.8 0.3 15.7 -26.9
pair MACDhist LWTI pos-neg 3 1.2 7.6 33.3 0.5 1.0 1.7 18.6 -4.4
pair LWTI MACDhist pos-neg 3 1.2 7.6 33.3 0.5 1.0 1.7 18.6 -4.4
single MACD MACD neg-neg 54 22.3 7.6 63.0 0.4 0.5 0.1 22.6 -54.3
pair LWTI MRmean neg-pos 44 18.2 7.4 59.1 0.4 0.6 0.3 22.8 -24.3
pair MRmean LWTI neg-pos 44 18.2 7.4 59.1 0.4 0.6 0.3 22.8 -24.3
pair MACDhist SLmean neg-neg 61 25.2 7.0 60.7 0.4 0.5 0.1 25.4 -50.0
pair SLmean MACDhist neg-neg 61 25.2 7.0 60.7 0.4 0.5 0.1 25.4 -50.0
pair LWTI MRmean pos-neg 12 5.0 6.8 41.7 0.7 1.5 1.4 10.7 -4.8
pair MRmean LWTI pos-neg 12 5.0 6.8 41.7 0.7 1.5 1.4 10.7 -4.8
pair MACD RSI neg-pos 26 10.7 6.8 61.5 0.5 0.7 0.3 14.8 -24.7
pair RSI MACD neg-pos 26 10.7 6.8 61.5 0.5 0.7 0.3 14.8 -24.7
pair LWTI SLmean pos-neg 16 6.6 6.5 43.8 0.5 1.0 0.5 13.6 -13.8
pair SLmean LWTI pos-neg 16 6.6 6.5 43.8 0.5 1.0 0.5 13.6 -13.8
pair RSI MACDhist pos-neg 68 28.1 6.0 60.3 0.5 0.6 0.2 15.4 -23.8
pair MACDhist RSI pos-neg 68 28.1 6.0 60.3 0.5 0.6 0.2 15.4 -23.8
pair SLmean RSIhist neg-neg 75 31.0 5.8 60.0 0.3 0.5 0.1 25.8 -50.0
pair RSIhist SLmean neg-neg 75 31.0 5.8 60.0 0.3 0.5 0.1 25.8 -50.0
pair MACDhist RSIhist pos-neg 28 11.6 5.8 64.3 0.4 0.4 0.2 22.6 -27.4
pair RSIhist MACDhist pos-neg 28 11.6 5.8 64.3 0.4 0.4 0.2 22.6 -27.4
pair RSmean MACDhist pos-neg 86 35.5 5.6 58.1 0.3 0.5 0.1 23.3 -54.3
pair MACDhist RSmean pos-neg 86 35.5 5.6 58.1 0.3 0.5 0.1 23.3 -54.3
single SLmean SLmean neg-neg 79 32.6 5.6 59.5 0.3 0.5 0.1 25.4 -50.0
pair SLmean MRmean neg-pos 4 1.7 5.4 50.0 0.3 1.0 0.6 22.5 -9.4
pair MRmean SLmean neg-pos 4 1.7 5.4 50.0 0.3 1.0 0.6 22.5 -9.4
pair RSmean RSI pos-pos 184 76.0 5.4 58.7 0.4 0.6 0.2 15.9 -28.0
pair RSI RSmean pos-pos 184 76.0 5.4 58.7 0.4 0.6 0.2 15.9 -28.0
single RSIhist RSIhist neg-neg 104 43.0 5.2 60.6 0.3 0.5 0.1 23.7 -54.3
pair RSIhist MACDhist neg-neg 76 31.4 5.0 59.2 0.3 0.5 0.1 24.2 -54.3
pair MACDhist RSIhist neg-neg 76 31.4 5.0 59.2 0.3 0.5 0.1 24.2 -54.3
pair RSmean MACD pos-neg 42 17.4 4.0 61.9 0.3 0.4 0.1 25.3 -54.3
pair MACD RSmean pos-neg 42 17.4 4.0 61.9 0.3 0.4 0.1 25.3 -54.3
pair MRmean MACD neg-pos 31 12.8 3.7 54.8 0.3 0.5 0.1 27.5 -23.9
pair MACD MRmean neg-pos 31 12.8 3.7 54.8 0.3 0.5 0.1 27.5 -23.9
pair SLmean RSIhist pos-neg 29 12.0 3.7 62.1 0.3 0.4 0.2 17.5 -21.1
pair RSIhist SLmean pos-neg 29 12.0 3.7 62.1 0.3 0.4 0.2 17.5 -21.1
pair RSmean SLmean neg-pos 67 27.7 3.0 58.2 0.2 0.4 0.1 27.3 -50.0
pair SLmean RSmean neg-pos 67 27.7 3.0 58.2 0.2 0.4 0.1 27.3 -50.0
single MRmean MRmean neg-neg 64 26.4 3.0 59.4 0.2 0.3 0.1 26.4 -50.0
pair RSI RSIhist pos-neg 75 31.0 2.9 60.0 0.2 0.3 0.1 18.9 -29.7
pair SLmean MRmean neg-neg 60 24.8 2.9 60.0 0.2 0.3 0.1 26.8 -50.0
pair MRmean SLmean neg-neg 60 24.8 2.9 60.0 0.2 0.3 0.1 26.8 -50.0
pair RSIhist RSI pos-neg 75 31.0 2.9 60.0 0.2 0.3 0.1 18.9 -29.7
pair RSIhist SLmean neg-pos 4 1.7 2.8 50.0 0.2 0.3 0.5 18.4 -6.2
pair SLmean RSIhist neg-pos 4 1.7 2.8 50.0 0.2 0.3 0.5 18.4 -6.2
pair MRmean MACD neg-neg 33 13.6 2.5 63.6 0.2 0.2 0.1 25.7 -50.0
pair MACD MRmean neg-neg 33 13.6 2.5 63.6 0.2 0.2 0.1 25.7 -50.0
pair MACDhist MACD neg-neg 46 19.0 2.4 60.9 0.2 0.3 0.0 23.4 -54.3
pair MACD MACDhist neg-neg 46 19.0 2.4 60.9 0.2 0.3 0.0 23.4 -54.3
pair RSIhist RSmean pos-neg 91 37.6 1.9 58.2 0.2 0.3 0.0 25.0 -54.3
pair RSmean RSIhist pos-neg 91 37.6 1.9 58.2 0.2 0.3 0.0 25.0 -54.3
pair MACD SLmean neg-neg 31 12.8 1.3 64.5 0.2 0.2 0.0 25.7 -50.0
pair SLmean MACD neg-neg 31 12.8 1.3 64.5 0.2 0.2 0.0 25.7 -50.0
pair SLmean MACDhist neg-pos 18 7.4 1.1 55.6 0.2 0.3 0.1 26.1 -18.1
pair MACDhist SLmean neg-pos 18 7.4 1.1 55.6 0.2 0.3 0.1 26.1 -18.1
pair RSIhist MRmean neg-neg 60 24.8 0.7 58.3 0.2 0.2 0.0 27.0 -50.0
pair MRmean RSIhist neg-neg 60 24.8 0.7 58.3 0.2 0.2 0.0 27.0 -50.0
pair RSI SLmean neg-pos 51 21.1 -0.3 54.9 0.1 0.1 -0.0 19.8 -27.3
pair SLmean RSI neg-pos 51 21.1 -0.3 54.9 0.1 0.1 -0.0 19.8 -27.3
pair MRmean RSmean neg-pos 52 21.5 -0.7 57.7 0.1 0.2 -0.0 29.0 -50.0
pair RSmean MRmean neg-pos 52 21.5 -0.7 57.7 0.1 0.2 -0.0 29.0 -50.0
single LWTI LWTI neg-neg 32 13.2 -1.3 53.1 0.1 0.1 -0.0 27.0 -35.6
pair LWTI RSmean pos-neg 32 13.2 -1.3 53.1 0.1 0.1 -0.0 27.0 -35.6
pair RSmean LWTI pos-neg 32 13.2 -1.3 53.1 0.1 0.1 -0.0 27.0 -35.6
pair MACDhist LWTI neg-neg 29 12.0 -2.2 55.2 0.1 0.1 -0.1 28.0 -35.6
pair LWTI MACDhist neg-neg 29 12.0 -2.2 55.2 0.1 0.1 -0.1 28.0 -35.6
pair RSI LWTI neg-neg 26 10.7 -4.0 53.8 0.0 0.0 -0.1 29.8 -35.6
pair LWTI RSI neg-neg 26 10.7 -4.0 53.8 0.0 0.0 -0.1 29.8 -35.6
pair MACD RSIhist neg-neg 36 14.9 -4.3 61.1 -0.0 -0.1 -0.1 25.5 -54.3
pair RSIhist MACD neg-neg 36 14.9 -4.3 61.1 -0.0 -0.1 -0.1 25.5 -54.3
pair LWTI MRmean neg-neg 20 8.3 -5.8 60.0 -0.0 -0.0 -0.2 33.5 -35.6
pair MRmean LWTI neg-neg 20 8.3 -5.8 60.0 -0.0 -0.0 -0.2 33.5 -35.6
pair RSI MRmean neg-pos 34 14.0 -7.6 52.9 -0.3 -0.4 -0.2 19.4 -42.0
pair MRmean RSI neg-pos 34 14.0 -7.6 52.9 -0.3 -0.4 -0.2 19.4 -42.0
pair LWTI SLmean neg-neg 16 6.6 -8.5 62.5 -0.1 -0.1 -0.2 36.3 -35.6
pair SLmean LWTI neg-neg 16 6.6 -8.5 62.5 -0.1 -0.1 -0.2 36.3 -35.6
pair LWTI MACD neg-neg 21 8.7 -11.1 52.4 -0.2 -0.3 -0.3 29.9 -35.6
pair MACD LWTI neg-neg 21 8.7 -11.1 52.4 -0.2 -0.3 -0.3 29.9 -35.6
pair LWTI RSIhist neg-neg 19 7.9 -12.4 57.9 -0.2 -0.3 -0.3 33.6 -35.6
pair RSIhist LWTI neg-neg 19 7.9 -12.4 57.9 -0.2 -0.3 -0.3 33.6 -35.6
pair MACDhist MRmean neg-pos 4 1.7 -51.0 50.0 -2.1 -6.5 -3.4 30.8 -15.1
pair MRmean MACDhist neg-pos 4 1.7 -51.0 50.0 -2.1 -6.5 -3.4 30.8 -15.1

All Contingency Tables for VOT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 62%
Sharpe 0.87 | Sortino 1.31 | Calmar 0.6
Vol 14% | MDD -21.0%
Months 159M (66%)
CAGR 14.7% | Win 58%
Sharpe 0.76 | Sortino 1.64 | Calmar 1.6
Vol 21% | MDD -9.3%
Months 19M (8%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR 5.4% | Win 50%
Sharpe 0.32 | Sortino 1.00 | Calmar 0.6
Vol 22% | MDD -9.4%
Months 4M (2%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.33 | Calmar 0.1
Vol 27% | MDD -50.0%
Months 60M (25%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
SLmean
only
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 60%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.5
Vol 15% | MDD -21.5%
Months 172M (71%)
CAGR 73.2% | Win 100%
Sharpe 8.66 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 6M (2%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR -0.7% | Win 58%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 29% | MDD -50.0%
Months 52M (22%)
CAGR 21.3% | Win 67%
Sharpe 2.41 | Sortino 5.62 | Calmar 6.8
Vol 8% | MDD -3.1%
Months 12M (5%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
RSmean
only
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 11.5% | Win 61%
Sharpe 0.83 | Sortino 1.28 | Calmar 0.5
Vol 14% | MDD -25.5%
Months 157M (65%)
CAGR 16.3% | Win 62%
Sharpe 0.97 | Sortino 1.63 | Calmar 1.3
Vol 17% | MDD -12.9%
Months 21M (9%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR 3.7% | Win 55%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.2
Vol 28% | MDD -23.9%
Months 31M (13%)
CAGR 2.5% | Win 64%
Sharpe 0.23 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -50.0%
Months 33M (14%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
MACD
only
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 62%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.6
Vol 15% | MDD -19.0%
Months 167M (69%)
CAGR 25.3% | Win 55%
Sharpe 1.38 | Sortino 3.12 | Calmar 4.2
Vol 18% | MDD -6.0%
Months 11M (4%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR -7.6% | Win 53%
Sharpe -0.31 | Sortino -0.37 | Calmar -0.2
Vol 19% | MDD -42.0%
Months 34M (14%)
CAGR 16.6% | Win 67%
Sharpe 0.64 | Sortino 0.98 | Calmar 0.4
Vol 32% | MDD -46.6%
Months 30M (12%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 61%
Sharpe 0.85 | Sortino 1.35 | Calmar 0.5
Vol 15% | MDD -25.5%
Months 135M (56%)
CAGR 11.2% | Win 63%
Sharpe 0.83 | Sortino 1.21 | Calmar 0.9
Vol 14% | MDD -12.9%
Months 43M (18%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR -51.0% | Win 50%
Sharpe -2.12 | Sortino -6.53 | Calmar -3.4
Vol 31% | MDD -15.1%
Months 4M (2%)
CAGR 8.3% | Win 60%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -50.0%
Months 60M (25%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
MACDhist
only
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 60%
Sharpe 0.93 | Sortino 1.64 | Calmar 0.7
Vol 13% | MDD -16.3%
Months 134M (55%)
CAGR 11.7% | Win 64%
Sharpe 0.69 | Sortino 0.97 | Calmar 0.5
Vol 18% | MDD -24.6%
Months 44M (18%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR 46.0% | Win 75%
Sharpe 3.17 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 0.7% | Win 58%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 27% | MDD -50.0%
Months 60M (25%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 63%
Sharpe 0.86 | Sortino 1.34 | Calmar 0.7
Vol 15% | MDD -16.9%
Months 166M (69%)
CAGR 6.8% | Win 42%
Sharpe 0.67 | Sortino 1.52 | Calmar 1.4
Vol 11% | MDD -4.8%
Months 12M (5%)
CAGR 12.0% | Win 61%
Sharpe 0.85 | Sortino 1.33 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 178M (74%)
MRmean
neg
CAGR 7.4% | Win 59%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.3
Vol 23% | MDD -24.3%
Months 44M (18%)
CAGR -5.8% | Win 60%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.2
Vol 34% | MDD -35.6%
Months 20M (8%)
CAGR 3.0% | Win 59%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 64M (26%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.7% | Win 60%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.3
Vol 14% | MDD -28.4%
Months 157M (65%)
CAGR 73.2% | Win 100%
Sharpe 8.66 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 6M (2%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR 3.0% | Win 58%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -50.0%
Months 67M (28%)
CAGR 21.3% | Win 67%
Sharpe 2.41 | Sortino 5.62 | Calmar 6.8
Vol 8% | MDD -3.1%
Months 12M (5%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
RSmean
only
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 61%
Sharpe 0.83 | Sortino 1.24 | Calmar 0.4
Vol 13% | MDD -27.0%
Months 140M (58%)
CAGR 16.8% | Win 61%
Sharpe 0.95 | Sortino 1.75 | Calmar 1.2
Vol 18% | MDD -14.3%
Months 23M (10%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR 8.6% | Win 56%
Sharpe 0.45 | Sortino 0.81 | Calmar 0.4
Vol 25% | MDD -21.2%
Months 48M (20%)
CAGR 1.3% | Win 64%
Sharpe 0.18 | Sortino 0.19 | Calmar 0.0
Vol 26% | MDD -50.0%
Months 31M (13%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
MACD
only
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 62%
Sharpe 0.81 | Sortino 1.18 | Calmar 0.5
Vol 14% | MDD -21.9%
Months 150M (62%)
CAGR 22.1% | Win 54%
Sharpe 1.25 | Sortino 2.96 | Calmar 1.7
Vol 17% | MDD -13.1%
Months 13M (5%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR -0.3% | Win 55%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 20% | MDD -27.3%
Months 51M (21%)
CAGR 17.4% | Win 68%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.4
Vol 33% | MDD -46.6%
Months 28M (12%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 61%
Sharpe 0.82 | Sortino 1.23 | Calmar 0.4
Vol 14% | MDD -24.4%
Months 121M (50%)
CAGR 13.3% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.9
Vol 15% | MDD -14.3%
Months 42M (17%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR 1.1% | Win 56%
Sharpe 0.17 | Sortino 0.27 | Calmar 0.1
Vol 26% | MDD -18.1%
Months 18M (7%)
CAGR 7.0% | Win 61%
Sharpe 0.40 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 61M (25%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
MACDhist
only
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.3% | Win 61%
Sharpe 1.01 | Sortino 1.81 | Calmar 1.1
Vol 13% | MDD -12.3%
Months 134M (55%)
CAGR 3.7% | Win 62%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.2
Vol 18% | MDD -21.1%
Months 29M (12%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR 2.8% | Win 50%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.4
Vol 18% | MDD -6.2%
Months 4M (2%)
CAGR 5.8% | Win 60%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 26% | MDD -50.0%
Months 75M (31%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 63%
Sharpe 0.88 | Sortino 1.32 | Calmar 0.7
Vol 14% | MDD -17.7%
Months 147M (61%)
CAGR 6.5% | Win 44%
Sharpe 0.52 | Sortino 1.01 | Calmar 0.5
Vol 14% | MDD -13.8%
Months 16M (7%)
CAGR 11.6% | Win 61%
Sharpe 0.85 | Sortino 1.30 | Calmar 0.4
Vol 14% | MDD -28.4%
Months 163M (67%)
SLmean
neg
CAGR 9.5% | Win 59%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.4
Vol 22% | MDD -25.9%
Months 63M (26%)
CAGR -8.5% | Win 62%
Sharpe -0.06 | Sortino -0.10 | Calmar -0.2
Vol 36% | MDD -35.6%
Months 16M (7%)
CAGR 5.6% | Win 60%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -50.0%
Months 79M (33%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 59%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.2
Vol 17% | MDD -39.5%
Months 182M (75%)
CAGR 4.0% | Win 62%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 25% | MDD -54.3%
Months 42M (17%)
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
RSmean
neg
CAGR 73.2% | Win 100%
Sharpe 8.66 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 6M (2%)
CAGR 21.3% | Win 67%
Sharpe 2.41 | Sortino 5.62 | Calmar 6.8
Vol 8% | MDD -3.1%
Months 12M (5%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
MACD
only
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.4% | Win 59%
Sharpe 0.41 | Sortino 0.57 | Calmar 0.2
Vol 16% | MDD -28.0%
Months 184M (76%)
CAGR 18.8% | Win 62%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 40M (16%)
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
RSmean
neg
CAGR 37.4% | Win 76%
Sharpe 3.51 | Sortino 9.30 | Calmar 11.9
Vol 9% | MDD -3.1%
Months 17M (7%)
CAGR 22.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 60%
Sharpe 0.63 | Sortino 0.87 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 138M (57%)
CAGR 5.6% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 86M (36%)
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
RSmean
neg
CAGR 145.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 31.9% | Win 76%
Sharpe 3.47 | Sortino 8.07 | Calmar 10.2
Vol 8% | MDD -3.1%
Months 17M (7%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
MACDhist
only
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.8% | Win 60%
Sharpe 0.90 | Sortino 1.60 | Calmar 0.7
Vol 13% | MDD -16.3%
Months 133M (55%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 25% | MDD -54.3%
Months 91M (38%)
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
RSmean
neg
CAGR 50.8% | Win 80%
Sharpe 3.88 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 5M (2%)
CAGR 31.4% | Win 77%
Sharpe 3.30 | Sortino 6.65 | Calmar 12.7
Vol 8% | MDD -2.5%
Months 13M (5%)
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.60 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 192M (79%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
CAGR 7.7% | Win 59%
Sharpe 0.49 | Sortino 0.67 | Calmar 0.1
Vol 19% | MDD -54.3%
Months 224M (93%)
RSmean
neg
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
-
CAGR 36.6% | Win 78%
Sharpe 3.52 | Sortino 9.10 | Calmar 11.6
Vol 9% | MDD -3.1%
Months 18M (7%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.9% | Win 60%
Sharpe 0.57 | Sortino 0.78 | Calmar 0.3
Vol 16% | MDD -29.3%
Months 175M (72%)
CAGR 44.9% | Win 62%
Sharpe 1.37 | Sortino 4.18 | Calmar 3.4
Vol 30% | MDD -13.3%
Months 13M (5%)
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
MACD
neg
CAGR 6.8% | Win 62%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.3
Vol 15% | MDD -24.7%
Months 26M (11%)
CAGR 8.4% | Win 64%
Sharpe 0.43 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -46.6%
Months 28M (12%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
RSI
only
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.9% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 131M (54%)
CAGR 15.6% | Win 61%
Sharpe 0.82 | Sortino 1.42 | Calmar 0.7
Vol 20% | MDD -23.7%
Months 57M (24%)
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
MACD
neg
CAGR 43.1% | Win 75%
Sharpe 2.27 | Sortino 23.33 | Calmar 9.4
Vol 17% | MDD -4.6%
Months 8M (3%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.26 | Calmar 0.0
Vol 23% | MDD -54.3%
Months 46M (19%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
MACDhist
only
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.9% | Win 60%
Sharpe 0.79 | Sortino 1.33 | Calmar 0.7
Vol 13% | MDD -14.8%
Months 120M (50%)
CAGR 10.6% | Win 60%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.3
Vol 23% | MDD -36.4%
Months 68M (28%)
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
MACD
neg
CAGR 36.0% | Win 67%
Sharpe 2.27 | Sortino 5.25 | Calmar 7.8
Vol 14% | MDD -4.6%
Months 18M (7%)
CAGR -4.3% | Win 61%
Sharpe -0.04 | Sortino -0.05 | Calmar -0.1
Vol 26% | MDD -54.3%
Months 36M (15%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.5% | Win 60%
Sharpe 0.62 | Sortino 0.92 | Calmar 0.2
Vol 17% | MDD -40.9%
Months 177M (73%)
CAGR 20.7% | Win 55%
Sharpe 1.01 | Sortino 1.52 | Calmar 1.6
Vol 21% | MDD -12.8%
Months 11M (4%)
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -38.5%
Months 188M (78%)
MACD
neg
CAGR 21.6% | Win 70%
Sharpe 1.29 | Sortino 2.00 | Calmar 1.4
Vol 16% | MDD -15.2%
Months 33M (14%)
CAGR -11.1% | Win 52%
Sharpe -0.24 | Sortino -0.30 | Calmar -0.3
Vol 30% | MDD -35.6%
Months 21M (9%)
CAGR 7.6% | Win 63%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.3%
Months 54M (22%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.83 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 133M (55%)
CAGR 6.0% | Win 60%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.3
Vol 15% | MDD -23.8%
Months 68M (28%)
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
RSI
neg
CAGR 33.1% | Win 67%
Sharpe 1.48 | Sortino 6.11 | Calmar 5.5
Vol 21% | MDD -6.0%
Months 6M (2%)
CAGR 16.6% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 30% | MDD -46.6%
Months 35M (14%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
MACDhist
only
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.8% | Win 60%
Sharpe 0.84 | Sortino 1.44 | Calmar 0.7
Vol 13% | MDD -16.3%
Months 126M (52%)
CAGR 2.9% | Win 60%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 19% | MDD -29.7%
Months 75M (31%)
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
RSI
neg
CAGR 39.4% | Win 67%
Sharpe 2.40 | Sortino 6.35 | Calmar 10.0
Vol 14% | MDD -3.9%
Months 12M (5%)
CAGR 11.3% | Win 62%
Sharpe 0.49 | Sortino 0.80 | Calmar 0.2
Vol 33% | MDD -46.6%
Months 29M (12%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.7% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 195M (81%)
CAGR 11.6% | Win 50%
Sharpe 1.39 | Sortino 24.27 | Calmar 15.4
Vol 8% | MDD -0.8%
Months 6M (2%)
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.3
Vol 16% | MDD -26.9%
Months 201M (83%)
RSI
neg
CAGR 72.3% | Win 80%
Sharpe 2.35 | Sortino 6.84 | Calmar 6.6
Vol 25% | MDD -11.0%
Months 15M (6%)
CAGR -4.0% | Win 54%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 30% | MDD -35.6%
Months 26M (11%)
CAGR 18.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.4
Vol 29% | MDD -46.6%
Months 41M (17%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.6% | Win 60%
Sharpe 0.80 | Sortino 1.40 | Calmar 0.7
Vol 14% | MDD -16.3%
Months 111M (46%)
CAGR 5.8% | Win 64%
Sharpe 0.36 | Sortino 0.43 | Calmar 0.2
Vol 23% | MDD -27.4%
Months 28M (12%)
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
MACDhist
neg
CAGR 23.4% | Win 67%
Sharpe 1.95 | Sortino 4.76 | Calmar 5.6
Vol 11% | MDD -4.2%
Months 27M (11%)
CAGR 5.0% | Win 59%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 76M (31%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
RSIhist
only
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.7% | Win 61%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 136M (56%)
CAGR 7.6% | Win 33%
Sharpe 0.45 | Sortino 1.01 | Calmar 1.7
Vol 19% | MDD -4.4%
Months 3M (1%)
CAGR 9.7% | Win 60%
Sharpe 0.66 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.0%
Months 139M (57%)
MACDhist
neg
CAGR 14.5% | Win 64%
Sharpe 0.82 | Sortino 1.38 | Calmar 0.7
Vol 19% | MDD -21.2%
Months 74M (31%)
CAGR -2.2% | Win 55%
Sharpe 0.07 | Sortino 0.08 | Calmar -0.1
Vol 28% | MDD -35.6%
Months 29M (12%)
CAGR 9.5% | Win 61%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -54.3%
Months 103M (43%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.6% | Win 62%
Sharpe 0.95 | Sortino 1.66 | Calmar 0.8
Vol 14% | MDD -16.3%
Months 125M (52%)
CAGR 17.6% | Win 46%
Sharpe 1.36 | Sortino 3.64 | Calmar 3.6
Vol 12% | MDD -4.9%
Months 13M (5%)
CAGR 13.0% | Win 61%
Sharpe 0.98 | Sortino 1.74 | Calmar 0.8
Vol 13% | MDD -16.3%
Months 138M (57%)
RSIhist
neg
CAGR 9.6% | Win 61%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.3
Vol 21% | MDD -35.0%
Months 85M (35%)
CAGR -12.4% | Win 58%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.3
Vol 34% | MDD -35.6%
Months 19M (8%)
CAGR 5.2% | Win 61%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 24% | MDD -54.3%
Months 104M (43%)
LWTI
only
CAGR 11.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -34.0%
Months 210M (87%)
CAGR -1.3% | Win 53%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 27% | MDD -35.6%
Months 32M (13%)