VPL - Vanguard Pacific Stock Index Fund ETF

Signal Pair Analysis

RSI-RSIhist

Best Pair

52.9%

Best CAGR

72

Total Months

9.2%

Avg CAGR

VPL 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 VPL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI RSIhist neg-pos 10 4.0 52.9 90.0 3.0 0.0 27.9 14.7 -1.9
pair RSIhist RSI neg-pos 10 4.0 52.9 90.0 3.0 0.0 27.9 14.7 -1.9
pair MACDhist RSI neg-pos 6 2.4 43.4 66.7 2.1 30.5 14.2 17.6 -3.1
pair RSI MACDhist neg-pos 6 2.4 43.4 66.7 2.1 30.5 14.2 17.6 -3.1
pair SLmean RSI pos-neg 12 4.7 42.8 83.3 2.6 15.2 22.6 14.1 -1.9
pair RSI SLmean pos-neg 12 4.7 42.8 83.3 2.6 15.2 22.6 14.1 -1.9
pair MRmean RSIhist neg-pos 11 4.3 37.6 81.8 1.8 1.8 3.9 19.4 -9.5
pair RSIhist MRmean neg-pos 11 4.3 37.6 81.8 1.8 1.8 3.9 19.4 -9.5
pair MRmean SLmean neg-pos 13 5.1 34.6 84.6 2.1 3.2 7.1 14.9 -4.9
pair SLmean MRmean neg-pos 13 5.1 34.6 84.6 2.1 3.2 7.1 14.9 -4.9
pair RSmean RSI neg-pos 13 5.1 34.1 61.5 2.1 9.2 6.9 14.5 -4.9
pair RSI RSmean neg-pos 13 5.1 34.1 61.5 2.1 9.2 6.9 14.5 -4.9
pair RSmean LWTI neg-pos 18 7.1 31.3 66.7 2.3 8.9 12.8 12.5 -2.4
pair LWTI RSmean neg-pos 18 7.1 31.3 66.7 2.3 8.9 12.8 12.5 -2.4
pair MRmean RSmean pos-neg 3 1.2 28.8 66.7 1.8 0.0 0.0 14.5 0.0
pair RSmean MRmean pos-neg 3 1.2 28.8 66.7 1.8 0.0 0.0 14.5 0.0
pair RSmean MACD neg-neg 13 5.1 28.1 61.5 1.9 10.5 11.5 13.9 -2.4
pair MACD RSmean neg-neg 13 5.1 28.1 61.5 1.9 10.5 11.5 13.9 -2.4
pair MACD MRmean neg-neg 34 13.4 27.8 70.6 1.1 1.3 0.9 25.4 -32.5
pair MRmean MACD neg-neg 34 13.4 27.8 70.6 1.1 1.3 0.9 25.4 -32.5
pair RSIhist RSmean neg-pos 6 2.4 27.6 66.7 2.1 22.3 11.4 11.9 -2.4
pair RSmean RSIhist neg-pos 6 2.4 27.6 66.7 2.1 22.3 11.4 11.9 -2.4
pair MACDhist MRmean neg-pos 10 4.0 26.5 70.0 1.4 1.6 2.9 18.1 -9.2
pair MRmean MACDhist neg-pos 10 4.0 26.5 70.0 1.4 1.6 2.9 18.1 -9.2
pair SLmean RSmean neg-neg 17 6.7 21.8 58.8 1.5 4.9 4.1 13.5 -5.4
pair RSmean SLmean neg-neg 17 6.7 21.8 58.8 1.5 4.9 4.1 13.5 -5.4
single RSmean RSmean neg-neg 21 8.3 21.0 57.1 1.5 5.1 2.5 13.1 -8.5
pair MACDhist RSmean neg-neg 19 7.5 21.0 57.9 1.6 4.8 3.4 12.9 -6.2
pair RSmean MACDhist neg-neg 19 7.5 21.0 57.9 1.6 4.8 3.4 12.9 -6.2
pair MACD LWTI neg-pos 43 17.0 20.9 65.1 1.5 2.4 1.6 13.3 -12.9
pair LWTI MACD neg-pos 43 17.0 20.9 65.1 1.5 2.4 1.6 13.3 -12.9
pair RSI MACD neg-neg 30 11.9 20.8 70.0 0.9 1.1 0.6 26.2 -32.5
pair MACD RSI neg-neg 30 11.9 20.8 70.0 0.9 1.1 0.6 26.2 -32.5
pair MACDhist RSmean neg-pos 2 0.8 20.7 50.0 1.0 0.0 0.0 20.0 0.0
pair RSmean MACDhist neg-pos 2 0.8 20.7 50.0 1.0 0.0 0.0 20.0 0.0
pair RSmean MRmean neg-neg 18 7.1 19.7 55.6 1.4 4.6 3.2 13.2 -6.2
pair MRmean RSmean neg-neg 18 7.1 19.7 55.6 1.4 4.6 3.2 13.2 -6.2
pair SLmean MACD neg-neg 31 12.3 19.1 64.5 0.8 1.0 0.6 25.5 -32.5
pair MACD SLmean neg-neg 31 12.3 19.1 64.5 0.8 1.0 0.6 25.5 -32.5
pair MACD MACDhist neg-neg 53 20.9 18.9 69.8 0.9 1.1 0.6 21.1 -32.9
pair MACDhist MACD neg-neg 53 20.9 18.9 69.8 0.9 1.1 0.6 21.1 -32.9
pair RSmean RSIhist neg-neg 15 5.9 18.4 53.3 1.3 4.0 3.0 13.8 -6.2
pair RSIhist RSmean neg-neg 15 5.9 18.4 53.3 1.3 4.0 3.0 13.8 -6.2
pair RSIhist MACD neg-pos 38 15.0 18.1 71.1 1.2 1.9 1.4 14.2 -12.8
pair MACD RSIhist neg-pos 38 15.0 18.1 71.1 1.2 1.9 1.4 14.2 -12.8
pair RSmean SLmean pos-neg 4 1.6 17.7 50.0 1.3 4.5 19.7 13.0 -0.9
pair SLmean RSmean pos-neg 4 1.6 17.7 50.0 1.3 4.5 19.7 13.0 -0.9
pair RSIhist MACDhist neg-pos 46 18.2 17.5 71.7 1.3 1.8 1.5 13.1 -11.6
pair MACDhist RSIhist neg-pos 46 18.2 17.5 71.7 1.3 1.8 1.5 13.1 -11.6
single MACD MACD neg-neg 69 27.3 17.1 66.7 0.9 1.1 0.5 19.9 -32.9
pair MACDhist SLmean neg-pos 20 7.9 16.5 60.0 0.9 1.5 1.1 18.1 -14.7
pair SLmean MACDhist neg-pos 20 7.9 16.5 60.0 0.9 1.5 1.1 18.1 -14.7
pair MRmean LWTI neg-pos 53 20.9 16.1 58.5 1.1 1.6 1.3 15.4 -12.8
pair LWTI MRmean neg-pos 53 20.9 16.1 58.5 1.1 1.6 1.3 15.4 -12.8
pair MACD RSIhist neg-neg 31 12.3 15.8 61.3 0.7 0.9 0.5 25.4 -32.5
pair RSIhist MACD neg-neg 31 12.3 15.8 61.3 0.7 0.9 0.5 25.4 -32.5
pair MACD SLmean pos-neg 38 15.0 15.5 68.4 1.1 1.6 1.2 14.0 -12.8
pair SLmean MACD pos-neg 38 15.0 15.5 68.4 1.1 1.6 1.2 14.0 -12.8
pair SLmean LWTI pos-neg 23 9.1 14.8 69.6 1.0 2.4 1.8 14.4 -8.1
pair LWTI SLmean pos-neg 23 9.1 14.8 69.6 1.0 2.4 1.8 14.4 -8.1
pair MACD RSmean pos-neg 56 22.1 14.7 67.9 0.8 0.9 0.5 21.1 -32.9
pair RSmean MACD pos-neg 56 22.1 14.7 67.9 0.8 0.9 0.5 21.1 -32.9
pair LWTI RSIhist pos-neg 21 8.3 14.4 71.4 0.9 1.4 1.2 16.5 -11.6
pair RSIhist LWTI pos-neg 21 8.3 14.4 71.4 0.9 1.4 1.2 16.5 -11.6
pair MACD RSI neg-pos 39 15.4 14.3 64.1 1.1 1.6 1.1 13.5 -12.8
pair RSI MACD neg-pos 39 15.4 14.3 64.1 1.1 1.6 1.1 13.5 -12.8
pair RSI LWTI neg-pos 27 10.7 14.0 59.3 0.8 1.4 0.9 17.3 -16.0
pair LWTI RSI neg-pos 27 10.7 14.0 59.3 0.8 1.4 0.9 17.3 -16.0
pair RSIhist SLmean pos-pos 131 51.8 12.7 66.4 1.0 1.4 0.9 13.2 -14.7
pair SLmean RSIhist pos-pos 131 51.8 12.7 66.4 1.0 1.4 0.9 13.2 -14.7
pair SLmean LWTI neg-pos 68 26.9 12.2 54.4 0.8 1.3 0.5 16.1 -27.3
pair LWTI SLmean neg-pos 68 26.9 12.2 54.4 0.8 1.3 0.5 16.1 -27.3
single RSIhist RSIhist pos-pos 138 54.5 11.9 65.9 0.9 1.3 0.6 13.4 -21.0
pair RSIhist LWTI pos-pos 117 46.2 11.5 65.0 0.9 1.3 0.8 12.8 -14.7
pair LWTI RSIhist pos-pos 117 46.2 11.5 65.0 0.9 1.3 0.8 12.8 -14.7
pair RSI RSmean pos-neg 52 20.6 11.4 61.5 0.6 0.9 0.3 24.6 -41.8
pair RSmean RSI pos-neg 52 20.6 11.4 61.5 0.6 0.9 0.3 24.6 -41.8
pair RSmean RSIhist pos-pos 132 52.2 11.2 65.9 0.9 1.2 0.5 13.4 -21.0
pair MACDhist MACD neg-pos 16 6.3 11.2 56.2 0.8 1.1 0.9 15.7 -12.9
pair MACD MACDhist neg-pos 16 6.3 11.2 56.2 0.8 1.1 0.9 15.7 -12.9
pair RSIhist RSmean pos-pos 132 52.2 11.2 65.9 0.9 1.2 0.5 13.4 -21.0
pair MACD LWTI neg-neg 26 10.3 11.0 69.2 0.5 0.7 0.5 27.9 -21.9
pair LWTI MACD neg-neg 26 10.3 11.0 69.2 0.5 0.7 0.5 27.9 -21.9
pair MRmean RSI neg-neg 51 20.2 10.9 58.8 0.6 0.8 0.2 24.5 -44.1
pair RSI MRmean neg-neg 51 20.2 10.9 58.8 0.6 0.8 0.2 24.5 -44.1
pair RSmean MACD neg-pos 8 3.2 10.2 50.0 0.9 1.8 4.0 11.9 -2.6
pair MACD RSmean neg-pos 8 3.2 10.2 50.0 0.9 1.8 4.0 11.9 -2.6
single RSI RSI neg-neg 60 23.7 10.1 60.0 0.5 0.8 0.2 23.1 -44.1
pair RSIhist MRmean pos-pos 127 50.2 9.9 64.6 0.8 1.1 0.6 12.7 -16.2
pair MRmean RSIhist pos-pos 127 50.2 9.9 64.6 0.8 1.1 0.6 12.7 -16.2
pair RSIhist MACDhist pos-neg 28 11.1 9.7 53.6 0.7 1.0 0.6 16.0 -17.0
pair MACDhist RSIhist pos-neg 28 11.1 9.7 53.6 0.7 1.0 0.6 16.0 -17.0
pair LWTI MACDhist pos-pos 118 46.6 9.7 61.0 0.7 1.1 0.5 14.1 -18.4
pair MACDhist LWTI pos-pos 118 46.6 9.7 61.0 0.7 1.1 0.5 14.1 -18.4
pair RSIhist MACD pos-pos 100 39.5 9.6 64.0 0.8 1.1 0.5 13.1 -21.0
pair MACD RSIhist pos-pos 100 39.5 9.6 64.0 0.8 1.1 0.5 13.1 -21.0
single MRmean MRmean neg-neg 90 35.6 9.5 58.9 0.5 0.8 0.2 20.7 -45.2
single MACDhist MACDhist pos-pos 120 47.4 9.3 60.8 0.7 1.0 0.5 14.0 -18.4
pair RSmean MACDhist pos-pos 118 46.6 9.2 61.0 0.7 1.0 0.5 14.0 -18.4
pair MACDhist RSmean pos-pos 118 46.6 9.2 61.0 0.7 1.0 0.5 14.0 -18.4
pair RSIhist RSI pos-pos 128 50.6 9.2 64.1 0.7 1.0 0.4 13.0 -21.0
pair RSI RSIhist pos-pos 128 50.6 9.2 64.1 0.7 1.0 0.4 13.0 -21.0
pair MACDhist RSIhist pos-pos 92 36.4 9.2 63.0 0.7 1.0 0.5 13.5 -18.4
pair RSIhist MACDhist pos-pos 92 36.4 9.2 63.0 0.7 1.0 0.5 13.5 -18.4
pair MACDhist MACD pos-pos 104 41.1 9.1 61.5 0.7 1.0 0.5 13.9 -18.4
pair MACD MACDhist pos-pos 104 41.1 9.1 61.5 0.7 1.0 0.5 13.9 -18.4
single LWTI LWTI pos-pos 202 79.8 8.7 59.4 0.7 0.9 0.3 14.1 -27.6
pair MACDhist SLmean pos-neg 57 22.5 8.2 66.7 0.7 0.9 0.6 13.2 -13.9
pair SLmean MACDhist pos-neg 57 22.5 8.2 66.7 0.7 0.9 0.6 13.2 -13.9
single SLmean SLmean pos-pos 157 62.1 8.1 63.1 0.7 0.9 0.4 13.1 -18.2
pair MACDhist SLmean pos-pos 100 39.5 8.0 61.0 0.7 0.9 0.6 13.2 -13.9
pair SLmean MACDhist pos-pos 100 39.5 8.0 61.0 0.7 0.9 0.6 13.2 -13.9
pair MRmean MACDhist pos-pos 110 43.5 7.9 60.0 0.6 0.9 0.5 13.6 -15.9
pair MACDhist MRmean pos-pos 110 43.5 7.9 60.0 0.6 0.9 0.5 13.6 -15.9
pair RSI LWTI pos-pos 175 69.2 7.9 59.4 0.6 0.9 0.3 13.5 -28.5
pair LWTI RSI pos-pos 175 69.2 7.9 59.4 0.6 0.9 0.3 13.5 -28.5
pair RSmean SLmean pos-pos 153 60.5 7.8 63.4 0.6 0.9 0.4 13.2 -18.3
pair SLmean RSmean pos-pos 153 60.5 7.8 63.4 0.6 0.9 0.4 13.2 -18.3
pair MACDhist RSI pos-pos 114 45.1 7.8 60.5 0.6 0.9 0.4 13.8 -18.4
pair RSI MACDhist pos-pos 114 45.1 7.8 60.5 0.6 0.9 0.4 13.8 -18.4
pair RSI MRmean neg-pos 39 15.4 7.6 59.0 0.6 0.8 0.4 14.6 -20.5
pair MRmean RSI neg-pos 39 15.4 7.6 59.0 0.6 0.8 0.4 14.6 -20.5
pair MACD MRmean pos-neg 35 13.8 7.5 62.9 0.7 0.9 0.5 12.1 -13.8
pair MRmean MACD pos-neg 35 13.8 7.5 62.9 0.7 0.9 0.5 12.1 -13.8
pair MACDhist MRmean neg-neg 80 31.6 7.5 57.5 0.5 0.6 0.2 21.1 -45.2
pair MRmean MACDhist neg-neg 80 31.6 7.5 57.5 0.5 0.6 0.2 21.1 -45.2
pair LWTI MACDhist neg-pos 84 33.2 7.3 57.1 0.6 0.8 0.3 14.1 -25.2
pair MACDhist LWTI neg-pos 84 33.2 7.3 57.1 0.6 0.8 0.3 14.1 -25.2
pair RSI LWTI neg-neg 33 13.0 7.1 60.6 0.4 0.6 0.2 27.2 -41.8
pair LWTI RSI neg-neg 33 13.0 7.1 60.6 0.4 0.6 0.2 27.2 -41.8
pair RSmean MRmean neg-pos 72 28.5 7.0 59.7 0.4 0.6 0.2 22.2 -41.8
pair MRmean RSmean neg-pos 72 28.5 7.0 59.7 0.4 0.6 0.2 22.2 -41.8
pair MACDhist RSI neg-neg 54 21.3 6.9 59.3 0.4 0.6 0.2 23.6 -44.1
pair RSI MACDhist neg-neg 54 21.3 6.9 59.3 0.4 0.6 0.2 23.6 -44.1
pair SLmean LWTI pos-pos 134 53.0 6.9 61.9 0.6 0.8 0.5 13.0 -14.4
pair LWTI SLmean pos-pos 134 53.0 6.9 61.9 0.6 0.8 0.5 13.0 -14.4
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 6.7 59.3 0.5 0.7 0.1 16.3 -52.4
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 6.7 59.3 0.5 0.7 0.1 16.3 -52.4
pair RSmean LWTI pos-pos 184 72.7 6.7 58.7 0.5 0.7 0.2 14.1 -32.9
pair LWTI RSmean pos-pos 184 72.7 6.7 58.7 0.5 0.7 0.2 14.1 -32.9
pair LWTI MRmean pos-pos 149 58.9 6.1 59.7 0.5 0.7 0.3 13.5 -23.3
pair MRmean LWTI pos-pos 149 58.9 6.1 59.7 0.5 0.7 0.3 13.5 -23.3
pair MRmean RSIhist neg-neg 79 31.2 6.0 55.7 0.4 0.5 0.1 20.8 -45.2
pair RSIhist MRmean neg-neg 79 31.2 6.0 55.7 0.4 0.5 0.1 20.8 -45.2
pair MRmean SLmean pos-pos 144 56.9 5.9 61.1 0.5 0.7 0.3 12.9 -19.9
pair SLmean MRmean pos-pos 144 56.9 5.9 61.1 0.5 0.7 0.3 12.9 -19.9
pair RSI MRmean pos-neg 9 3.6 5.9 66.7 0.5 0.9 0.6 13.4 -10.1
pair MRmean RSI pos-neg 9 3.6 5.9 66.7 0.5 0.9 0.6 13.4 -10.1
pair SLmean RSI neg-pos 48 19.0 5.9 52.1 0.4 0.7 0.2 15.8 -29.3
pair RSI SLmean neg-pos 48 19.0 5.9 52.1 0.4 0.7 0.2 15.8 -29.3
pair MACD SLmean pos-pos 119 47.0 5.8 61.3 0.5 0.7 0.3 12.9 -18.2
pair SLmean MACD pos-pos 119 47.0 5.8 61.3 0.5 0.7 0.3 12.9 -18.2
pair MRmean SLmean neg-neg 77 30.4 5.7 54.5 0.4 0.5 0.1 21.5 -45.2
pair SLmean MRmean neg-neg 77 30.4 5.7 54.5 0.4 0.5 0.1 21.5 -45.2
single RSI RSI pos-pos 193 76.3 5.7 59.1 0.5 0.7 0.2 13.6 -34.7
pair RSI SLmean pos-pos 145 57.3 5.6 61.4 0.5 0.7 0.3 12.9 -18.2
pair MACD LWTI pos-pos 159 62.8 5.6 57.9 0.5 0.6 0.2 14.2 -27.6
pair LWTI MACD pos-pos 159 62.8 5.6 57.9 0.5 0.6 0.2 14.2 -27.6
pair SLmean RSI pos-pos 145 57.3 5.6 61.4 0.5 0.7 0.3 12.9 -18.2
single RSmean RSmean pos-pos 232 91.7 5.5 59.5 0.4 0.6 0.1 16.6 -50.5
pair RSI MRmean pos-pos 154 60.9 5.2 59.1 0.5 0.6 0.2 13.4 -25.5
pair MRmean RSI pos-pos 154 60.9 5.2 59.1 0.5 0.6 0.2 13.4 -25.5
single MRmean MRmean pos-pos 163 64.4 5.2 59.5 0.5 0.6 0.2 13.4 -25.5
pair RSIhist SLmean neg-neg 89 35.2 5.1 52.8 0.3 0.5 0.1 20.9 -47.4
pair SLmean RSIhist neg-neg 89 35.2 5.1 52.8 0.3 0.5 0.1 20.9 -47.4
pair RSIhist LWTI neg-pos 85 33.6 5.0 51.8 0.4 0.6 0.1 15.7 -35.2
pair LWTI RSIhist neg-pos 85 33.6 5.0 51.8 0.4 0.6 0.1 15.7 -35.2
pair MRmean RSmean pos-pos 160 63.2 4.8 59.4 0.4 0.6 0.2 13.4 -27.9
pair RSmean MRmean pos-pos 160 63.2 4.8 59.4 0.4 0.6 0.2 13.4 -27.9
single SLmean SLmean neg-neg 96 37.9 4.6 53.1 0.3 0.5 0.1 20.6 -47.4
pair MRmean MACD pos-pos 128 50.6 4.6 58.6 0.4 0.6 0.2 13.7 -25.9
pair MACD MRmean pos-pos 128 50.6 4.6 58.6 0.4 0.6 0.2 13.7 -25.9
single MACDhist MACDhist neg-neg 133 52.6 4.4 57.9 0.3 0.5 0.1 18.2 -52.4
pair RSI RSmean pos-pos 180 71.1 3.9 58.9 0.3 0.5 0.1 13.5 -33.1
pair RSmean RSI pos-pos 180 71.1 3.9 58.9 0.3 0.5 0.1 13.5 -33.1
pair RSI MACD pos-pos 154 60.9 3.6 57.8 0.3 0.5 0.1 13.7 -30.2
pair MACD RSI pos-pos 154 60.9 3.6 57.8 0.3 0.5 0.1 13.7 -30.2
pair RSI SLmean neg-neg 48 19.0 3.2 54.2 0.2 0.4 0.1 24.6 -44.1
pair SLmean RSI neg-neg 48 19.0 3.2 54.2 0.2 0.4 0.1 24.6 -44.1
single MACD MACD pos-pos 184 72.7 3.1 56.5 0.3 0.4 0.1 14.7 -34.0
pair RSI RSIhist neg-neg 50 19.8 3.1 54.0 0.2 0.4 0.1 24.1 -44.1
pair RSIhist RSI neg-neg 50 19.8 3.1 54.0 0.2 0.4 0.1 24.1 -44.1
pair MACD RSmean pos-pos 176 69.6 2.8 56.8 0.3 0.4 0.1 14.8 -31.3
pair RSmean MACD pos-pos 176 69.6 2.8 56.8 0.3 0.4 0.1 14.8 -31.3
pair RSI MACDhist pos-neg 79 31.2 2.7 57.0 0.3 0.4 0.1 13.4 -31.5
pair MACDhist RSI pos-neg 79 31.2 2.7 57.0 0.3 0.4 0.1 13.4 -31.5
pair RSmean RSI neg-neg 8 3.2 2.4 50.0 0.3 0.5 0.5 9.1 -4.8
pair RSI RSmean neg-neg 8 3.2 2.4 50.0 0.3 0.5 0.5 9.1 -4.8
pair RSmean MACDhist pos-neg 114 45.1 1.9 57.9 0.2 0.3 0.0 18.9 -50.5
pair MACDhist RSmean pos-neg 114 45.1 1.9 57.9 0.2 0.3 0.0 18.9 -50.5
pair MACDhist SLmean neg-neg 76 30.0 1.6 51.3 0.2 0.3 0.0 21.2 -47.4
pair SLmean MACDhist neg-neg 76 30.0 1.6 51.3 0.2 0.3 0.0 21.2 -47.4
pair SLmean RSmean neg-pos 79 31.2 1.2 51.9 0.2 0.2 0.0 21.8 -45.2
pair RSmean SLmean neg-pos 79 31.2 1.2 51.9 0.2 0.2 0.0 21.8 -45.2
pair LWTI RSmean pos-neg 48 19.0 1.1 62.5 0.2 0.3 0.0 24.0 -38.7
pair RSmean LWTI pos-neg 48 19.0 1.1 62.5 0.2 0.3 0.0 24.0 -38.7
single RSIhist RSIhist neg-neg 115 45.5 0.8 51.3 0.1 0.2 0.0 19.3 -50.5
pair LWTI MRmean neg-neg 37 14.6 0.6 59.5 0.1 0.3 0.0 26.6 -41.8
pair MRmean LWTI neg-neg 37 14.6 0.6 59.5 0.1 0.3 0.0 26.6 -41.8
pair RSI MACD pos-neg 30 11.9 0.4 50.0 0.1 0.2 0.0 19.5 -17.2
pair MACD RSI pos-neg 30 11.9 0.4 50.0 0.1 0.2 0.0 19.5 -17.2
pair MRmean SLmean pos-neg 19 7.5 -0.0 47.4 0.1 0.1 -0.0 17.0 -26.9
pair SLmean MRmean pos-neg 19 7.5 -0.0 47.4 0.1 0.1 -0.0 17.0 -26.9
pair MACDhist MRmean pos-neg 53 20.9 -0.1 58.5 0.1 0.1 -0.0 12.8 -27.1
pair MRmean MACDhist pos-neg 53 20.9 -0.1 58.5 0.1 0.1 -0.0 12.8 -27.1
pair MRmean MACD neg-pos 56 22.1 -0.4 51.8 0.1 0.1 -0.0 16.8 -24.8
pair MACD MRmean neg-pos 56 22.1 -0.4 51.8 0.1 0.1 -0.0 16.8 -24.8
pair LWTI MACDhist neg-neg 49 19.4 -0.5 59.2 0.1 0.1 -0.0 23.8 -41.8
pair MACDhist LWTI neg-neg 49 19.4 -0.5 59.2 0.1 0.1 -0.0 23.8 -41.8
single LWTI LWTI neg-neg 51 20.2 -0.7 58.8 0.1 0.1 -0.0 23.4 -41.8
pair RSIhist RSI pos-neg 65 25.7 -1.0 49.2 0.0 0.0 -0.0 14.6 -41.0
pair RSI RSIhist pos-neg 65 25.7 -1.0 49.2 0.0 0.0 -0.0 14.6 -41.0
pair RSmean RSIhist pos-neg 100 39.5 -1.6 51.0 0.0 0.0 -0.0 19.9 -48.5
pair RSIhist RSmean pos-neg 100 39.5 -1.6 51.0 0.0 0.0 -0.0 19.9 -48.5
pair SLmean MACD neg-pos 65 25.7 -1.7 47.7 -0.0 -0.0 -0.1 17.7 -33.8
pair MACD SLmean neg-pos 65 25.7 -1.7 47.7 -0.0 -0.0 -0.1 17.7 -33.8
pair RSIhist MACDhist neg-neg 87 34.4 -1.9 50.6 0.0 0.0 -0.0 20.2 -50.5
pair MACDhist RSIhist neg-neg 87 34.4 -1.9 50.6 0.0 0.0 -0.0 20.2 -50.5
pair RSIhist SLmean neg-pos 7 2.8 -2.6 57.1 -0.1 -0.1 -0.3 17.6 -9.5
pair SLmean RSIhist neg-pos 7 2.8 -2.6 57.1 -0.1 -0.1 -0.3 17.6 -9.5
pair LWTI MRmean pos-neg 14 5.5 -4.1 57.1 -0.3 -0.6 -0.2 11.6 -17.0
pair MRmean LWTI pos-neg 14 5.5 -4.1 57.1 -0.3 -0.6 -0.2 11.6 -17.0
pair MACDhist MACD pos-neg 80 31.6 -4.2 50.0 -0.2 -0.3 -0.1 15.6 -38.2
pair MACD MACDhist pos-neg 80 31.6 -4.2 50.0 -0.2 -0.3 -0.1 15.6 -38.2
pair RSIhist MACD pos-neg 84 33.2 -4.2 47.6 -0.2 -0.3 -0.1 16.3 -43.7
pair MACD RSIhist pos-neg 84 33.2 -4.2 47.6 -0.2 -0.3 -0.1 16.3 -43.7
pair LWTI MACDhist pos-neg 2 0.8 -7.7 50.0 -0.6 0.0 -2.4 12.6 -3.2
pair MACDhist LWTI pos-neg 2 0.8 -7.7 50.0 -0.6 0.0 -2.4 12.6 -3.2
pair RSIhist MRmean pos-neg 36 14.2 -9.8 41.7 -0.6 -0.9 -0.2 15.0 -43.1
pair MRmean RSIhist pos-neg 36 14.2 -9.8 41.7 -0.6 -0.9 -0.2 15.0 -43.1
pair LWTI RSIhist neg-neg 30 11.9 -10.2 50.0 -0.3 -0.4 -0.2 27.1 -41.8
pair RSIhist LWTI neg-neg 30 11.9 -10.2 50.0 -0.3 -0.4 -0.2 27.1 -41.8
pair MACD LWTI pos-neg 25 9.9 -11.7 48.0 -0.6 -1.1 -0.6 17.3 -20.5
pair LWTI MACD pos-neg 25 9.9 -11.7 48.0 -0.6 -1.1 -0.6 17.3 -20.5
pair SLmean LWTI neg-neg 28 11.1 -11.9 50.0 -0.3 -0.6 -0.3 28.7 -41.8
pair LWTI SLmean neg-neg 28 11.1 -11.9 50.0 -0.3 -0.6 -0.3 28.7 -41.8
pair RSIhist SLmean pos-neg 26 10.3 -12.7 46.2 -1.1 -1.2 -0.5 11.4 -27.2
pair SLmean RSIhist pos-neg 26 10.3 -12.7 46.2 -1.1 -1.2 -0.5 11.4 -27.2
pair LWTI RSI pos-neg 18 7.1 -13.7 55.6 -1.0 -1.4 -0.6 13.4 -22.8
pair RSI LWTI pos-neg 18 7.1 -13.7 55.6 -1.0 -1.4 -0.6 13.4 -22.8
pair RSmean LWTI neg-neg 3 1.2 -26.0 0.0 -5.6 -5.6 -7.5 5.3 -3.4
pair LWTI RSmean neg-neg 3 1.2 -26.0 0.0 -5.6 -5.6 -7.5 5.3 -3.4

All Contingency Tables for VPL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 61%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.3
Vol 13% | MDD -19.9%
Months 144M (57%)
CAGR -0.0% | Win 47%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.0
Vol 17% | MDD -26.9%
Months 19M (8%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 34.6% | Win 85%
Sharpe 2.09 | Sortino 3.18 | Calmar 7.1
Vol 15% | MDD -4.9%
Months 13M (5%)
CAGR 5.7% | Win 55%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -45.2%
Months 77M (30%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
SLmean
only
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 4.8% | Win 59%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.2
Vol 13% | MDD -27.9%
Months 160M (63%)
CAGR 28.8% | Win 67%
Sharpe 1.81 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 3M (1%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 7.0% | Win 60%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.2
Vol 22% | MDD -41.8%
Months 72M (28%)
CAGR 19.7% | Win 56%
Sharpe 1.43 | Sortino 4.58 | Calmar 3.2
Vol 13% | MDD -6.2%
Months 18M (7%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
RSmean
only
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 59%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -25.9%
Months 128M (51%)
CAGR 7.5% | Win 63%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.5
Vol 12% | MDD -13.8%
Months 35M (14%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR -0.4% | Win 52%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 17% | MDD -24.8%
Months 56M (22%)
CAGR 27.8% | Win 71%
Sharpe 1.10 | Sortino 1.34 | Calmar 0.9
Vol 25% | MDD -32.5%
Months 34M (13%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
MACD
only
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 59%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 154M (61%)
CAGR 5.9% | Win 67%
Sharpe 0.49 | Sortino 0.90 | Calmar 0.6
Vol 13% | MDD -10.1%
Months 9M (4%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 7.6% | Win 59%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.4
Vol 15% | MDD -20.5%
Months 39M (15%)
CAGR 10.9% | Win 59%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 24% | MDD -44.1%
Months 51M (20%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
RSI
only
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 60%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.5
Vol 14% | MDD -15.9%
Months 110M (44%)
CAGR -0.1% | Win 58%
Sharpe 0.06 | Sortino 0.07 | Calmar -0.0
Vol 13% | MDD -27.1%
Months 53M (21%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 26.5% | Win 70%
Sharpe 1.39 | Sortino 1.55 | Calmar 2.9
Vol 18% | MDD -9.2%
Months 10M (4%)
CAGR 7.5% | Win 57%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 80M (32%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
MACDhist
only
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 65%
Sharpe 0.81 | Sortino 1.14 | Calmar 0.6
Vol 13% | MDD -16.2%
Months 127M (50%)
CAGR -9.8% | Win 42%
Sharpe -0.61 | Sortino -0.89 | Calmar -0.2
Vol 15% | MDD -43.1%
Months 36M (14%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 37.6% | Win 82%
Sharpe 1.75 | Sortino 1.83 | Calmar 3.9
Vol 19% | MDD -9.5%
Months 11M (4%)
CAGR 6.0% | Win 56%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 21% | MDD -45.2%
Months 79M (31%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.1% | Win 60%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.3
Vol 14% | MDD -23.3%
Months 149M (59%)
CAGR -4.1% | Win 57%
Sharpe -0.31 | Sortino -0.60 | Calmar -0.2
Vol 12% | MDD -17.0%
Months 14M (6%)
CAGR 5.2% | Win 60%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.2
Vol 13% | MDD -25.5%
Months 163M (64%)
MRmean
neg
CAGR 16.1% | Win 58%
Sharpe 1.05 | Sortino 1.58 | Calmar 1.3
Vol 15% | MDD -12.8%
Months 53M (21%)
CAGR 0.6% | Win 60%
Sharpe 0.15 | Sortino 0.26 | Calmar 0.0
Vol 27% | MDD -41.8%
Months 37M (15%)
CAGR 9.5% | Win 59%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -45.2%
Months 90M (36%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 63%
Sharpe 0.64 | Sortino 0.88 | Calmar 0.4
Vol 13% | MDD -18.3%
Months 153M (60%)
CAGR 17.7% | Win 50%
Sharpe 1.31 | Sortino 4.54 | Calmar 19.7
Vol 13% | MDD -0.9%
Months 4M (2%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR 1.2% | Win 52%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 22% | MDD -45.2%
Months 79M (31%)
CAGR 21.8% | Win 59%
Sharpe 1.54 | Sortino 4.88 | Calmar 4.1
Vol 14% | MDD -5.4%
Months 17M (7%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
RSmean
only
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.8% | Win 61%
Sharpe 0.50 | Sortino 0.68 | Calmar 0.3
Vol 13% | MDD -18.2%
Months 119M (47%)
CAGR 15.5% | Win 68%
Sharpe 1.10 | Sortino 1.63 | Calmar 1.2
Vol 14% | MDD -12.8%
Months 38M (15%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR -1.7% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 18% | MDD -33.8%
Months 65M (26%)
CAGR 19.1% | Win 64%
Sharpe 0.82 | Sortino 1.01 | Calmar 0.6
Vol 26% | MDD -32.5%
Months 31M (12%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
MACD
only
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.6% | Win 61%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.3
Vol 13% | MDD -18.2%
Months 145M (57%)
CAGR 42.8% | Win 83%
Sharpe 2.62 | Sortino 15.15 | Calmar 22.6
Vol 14% | MDD -1.9%
Months 12M (5%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR 5.9% | Win 52%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.2
Vol 16% | MDD -29.3%
Months 48M (19%)
CAGR 3.2% | Win 54%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.1
Vol 25% | MDD -44.1%
Months 48M (19%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
RSI
only
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 61%
Sharpe 0.65 | Sortino 0.91 | Calmar 0.6
Vol 13% | MDD -13.9%
Months 100M (40%)
CAGR 8.2% | Win 67%
Sharpe 0.67 | Sortino 0.91 | Calmar 0.6
Vol 13% | MDD -13.9%
Months 57M (22%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR 16.5% | Win 60%
Sharpe 0.94 | Sortino 1.54 | Calmar 1.1
Vol 18% | MDD -14.7%
Months 20M (8%)
CAGR 1.6% | Win 51%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 21% | MDD -47.4%
Months 76M (30%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
MACDhist
only
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 12.7% | Win 66%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 131M (52%)
CAGR -12.7% | Win 46%
Sharpe -1.13 | Sortino -1.22 | Calmar -0.5
Vol 11% | MDD -27.2%
Months 26M (10%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR -2.6% | Win 57%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.3
Vol 18% | MDD -9.5%
Months 7M (3%)
CAGR 5.1% | Win 53%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 89M (35%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 62%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.5
Vol 13% | MDD -14.4%
Months 134M (53%)
CAGR 14.8% | Win 70%
Sharpe 1.03 | Sortino 2.38 | Calmar 1.8
Vol 14% | MDD -8.1%
Months 23M (9%)
CAGR 8.1% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.4
Vol 13% | MDD -18.2%
Months 157M (62%)
SLmean
neg
CAGR 12.2% | Win 54%
Sharpe 0.80 | Sortino 1.28 | Calmar 0.4
Vol 16% | MDD -27.3%
Months 68M (27%)
CAGR -11.9% | Win 50%
Sharpe -0.30 | Sortino -0.56 | Calmar -0.3
Vol 29% | MDD -41.8%
Months 28M (11%)
CAGR 4.6% | Win 53%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 21% | MDD -47.4%
Months 96M (38%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 57%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 15% | MDD -31.3%
Months 176M (70%)
CAGR 14.7% | Win 68%
Sharpe 0.76 | Sortino 0.90 | Calmar 0.4
Vol 21% | MDD -32.9%
Months 56M (22%)
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
RSmean
neg
CAGR 10.2% | Win 50%
Sharpe 0.88 | Sortino 1.81 | Calmar 4.0
Vol 12% | MDD -2.6%
Months 8M (3%)
CAGR 28.1% | Win 62%
Sharpe 1.86 | Sortino 10.48 | Calmar 11.5
Vol 14% | MDD -2.4%
Months 13M (5%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
MACD
only
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 59%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 14% | MDD -33.1%
Months 180M (71%)
CAGR 11.4% | Win 62%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -41.8%
Months 52M (21%)
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
RSmean
neg
CAGR 34.1% | Win 62%
Sharpe 2.12 | Sortino 9.23 | Calmar 6.9
Vol 14% | MDD -4.9%
Months 13M (5%)
CAGR 2.4% | Win 50%
Sharpe 0.30 | Sortino 0.52 | Calmar 0.5
Vol 9% | MDD -4.8%
Months 8M (3%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
RSI
only
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 61%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 118M (47%)
CAGR 1.9% | Win 58%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 114M (45%)
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
RSmean
neg
CAGR 20.7% | Win 50%
Sharpe 1.00 | Sortino 0.00 | Calmar 0.0
Vol 20% | MDD 0.0%
Months 2M (1%)
CAGR 21.0% | Win 58%
Sharpe 1.55 | Sortino 4.83 | Calmar 3.4
Vol 13% | MDD -6.2%
Months 19M (8%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
MACDhist
only
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 66%
Sharpe 0.86 | Sortino 1.20 | Calmar 0.5
Vol 13% | MDD -21.0%
Months 132M (52%)
CAGR -1.6% | Win 51%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 20% | MDD -48.5%
Months 100M (40%)
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
RSmean
neg
CAGR 27.6% | Win 67%
Sharpe 2.11 | Sortino 22.34 | Calmar 11.4
Vol 12% | MDD -2.4%
Months 6M (2%)
CAGR 18.4% | Win 53%
Sharpe 1.29 | Sortino 4.01 | Calmar 3.0
Vol 14% | MDD -6.2%
Months 15M (6%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.7% | Win 59%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -32.9%
Months 184M (73%)
CAGR 1.1% | Win 62%
Sharpe 0.17 | Sortino 0.26 | Calmar 0.0
Vol 24% | MDD -38.7%
Months 48M (19%)
CAGR 5.5% | Win 60%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 17% | MDD -50.5%
Months 232M (92%)
RSmean
neg
CAGR 31.3% | Win 67%
Sharpe 2.27 | Sortino 8.90 | Calmar 12.9
Vol 12% | MDD -2.4%
Months 18M (7%)
CAGR -26.0% | Win 0%
Sharpe -5.61 | Sortino -5.61 | Calmar -7.5
Vol 5% | MDD -3.4%
Months 3M (1%)
CAGR 21.0% | Win 57%
Sharpe 1.53 | Sortino 5.09 | Calmar 2.5
Vol 13% | MDD -8.5%
Months 21M (8%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.6% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 14% | MDD -30.2%
Months 154M (61%)
CAGR 0.4% | Win 50%
Sharpe 0.12 | Sortino 0.22 | Calmar 0.0
Vol 20% | MDD -17.2%
Months 30M (12%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
MACD
neg
CAGR 14.3% | Win 64%
Sharpe 1.06 | Sortino 1.60 | Calmar 1.1
Vol 14% | MDD -12.8%
Months 39M (15%)
CAGR 20.8% | Win 70%
Sharpe 0.86 | Sortino 1.05 | Calmar 0.6
Vol 26% | MDD -32.5%
Months 30M (12%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
RSI
only
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.1% | Win 62%
Sharpe 0.70 | Sortino 1.01 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 104M (41%)
CAGR -4.2% | Win 50%
Sharpe -0.20 | Sortino -0.29 | Calmar -0.1
Vol 16% | MDD -38.2%
Months 80M (32%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
MACD
neg
CAGR 11.2% | Win 56%
Sharpe 0.75 | Sortino 1.15 | Calmar 0.9
Vol 16% | MDD -12.9%
Months 16M (6%)
CAGR 18.9% | Win 70%
Sharpe 0.94 | Sortino 1.07 | Calmar 0.6
Vol 21% | MDD -32.9%
Months 53M (21%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
MACDhist
only
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.6% | Win 64%
Sharpe 0.77 | Sortino 1.05 | Calmar 0.5
Vol 13% | MDD -21.0%
Months 100M (40%)
CAGR -4.2% | Win 48%
Sharpe -0.18 | Sortino -0.28 | Calmar -0.1
Vol 16% | MDD -43.7%
Months 84M (33%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
MACD
neg
CAGR 18.1% | Win 71%
Sharpe 1.25 | Sortino 1.87 | Calmar 1.4
Vol 14% | MDD -12.8%
Months 38M (15%)
CAGR 15.8% | Win 61%
Sharpe 0.71 | Sortino 0.88 | Calmar 0.5
Vol 25% | MDD -32.5%
Months 31M (12%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 58%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.2
Vol 14% | MDD -27.6%
Months 159M (63%)
CAGR -11.7% | Win 48%
Sharpe -0.63 | Sortino -1.10 | Calmar -0.6
Vol 17% | MDD -20.5%
Months 25M (10%)
CAGR 3.1% | Win 56%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -34.0%
Months 184M (73%)
MACD
neg
CAGR 20.9% | Win 65%
Sharpe 1.51 | Sortino 2.40 | Calmar 1.6
Vol 13% | MDD -12.9%
Months 43M (17%)
CAGR 11.0% | Win 69%
Sharpe 0.52 | Sortino 0.74 | Calmar 0.5
Vol 28% | MDD -21.9%
Months 26M (10%)
CAGR 17.1% | Win 67%
Sharpe 0.90 | Sortino 1.09 | Calmar 0.5
Vol 20% | MDD -32.9%
Months 69M (27%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.8% | Win 60%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.4
Vol 14% | MDD -18.4%
Months 114M (45%)
CAGR 2.7% | Win 57%
Sharpe 0.27 | Sortino 0.36 | Calmar 0.1
Vol 13% | MDD -31.5%
Months 79M (31%)
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
RSI
neg
CAGR 43.4% | Win 67%
Sharpe 2.15 | Sortino 30.50 | Calmar 14.2
Vol 18% | MDD -3.1%
Months 6M (2%)
CAGR 6.9% | Win 59%
Sharpe 0.40 | Sortino 0.60 | Calmar 0.2
Vol 24% | MDD -44.1%
Months 54M (21%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
MACDhist
only
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.2% | Win 64%
Sharpe 0.74 | Sortino 1.02 | Calmar 0.4
Vol 13% | MDD -21.0%
Months 128M (51%)
CAGR -1.0% | Win 49%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 15% | MDD -41.0%
Months 65M (26%)
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
RSI
neg
CAGR 52.9% | Win 90%
Sharpe 3.00 | Sortino 0.00 | Calmar 27.9
Vol 15% | MDD -1.9%
Months 10M (4%)
CAGR 3.1% | Win 54%
Sharpe 0.25 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -44.1%
Months 50M (20%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.9% | Win 59%
Sharpe 0.63 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -28.5%
Months 175M (69%)
CAGR -13.7% | Win 56%
Sharpe -1.03 | Sortino -1.45 | Calmar -0.6
Vol 13% | MDD -22.8%
Months 18M (7%)
CAGR 5.7% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 14% | MDD -34.7%
Months 193M (76%)
RSI
neg
CAGR 14.0% | Win 59%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.9
Vol 17% | MDD -16.0%
Months 27M (11%)
CAGR 7.1% | Win 61%
Sharpe 0.39 | Sortino 0.61 | Calmar 0.2
Vol 27% | MDD -41.8%
Months 33M (13%)
CAGR 10.1% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -44.1%
Months 60M (24%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 9.2% | Win 63%
Sharpe 0.72 | Sortino 1.03 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 92M (36%)
CAGR 9.7% | Win 54%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.6
Vol 16% | MDD -17.0%
Months 28M (11%)
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
MACDhist
neg
CAGR 17.5% | Win 72%
Sharpe 1.30 | Sortino 1.77 | Calmar 1.5
Vol 13% | MDD -11.6%
Months 46M (18%)
CAGR -1.9% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -50.5%
Months 87M (34%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
RSIhist
only
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.7% | Win 61%
Sharpe 0.73 | Sortino 1.06 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 118M (47%)
CAGR -7.7% | Win 50%
Sharpe -0.60 | Sortino 0.00 | Calmar -2.4
Vol 13% | MDD -3.2%
Months 2M (1%)
CAGR 9.3% | Win 61%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 14% | MDD -18.4%
Months 120M (47%)
MACDhist
neg
CAGR 7.3% | Win 57%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 14% | MDD -25.2%
Months 84M (33%)
CAGR -0.5% | Win 59%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 24% | MDD -41.8%
Months 49M (19%)
CAGR 4.4% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 18% | MDD -52.4%
Months 133M (53%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.5% | Win 65%
Sharpe 0.92 | Sortino 1.26 | Calmar 0.8
Vol 13% | MDD -14.7%
Months 117M (46%)
CAGR 14.4% | Win 71%
Sharpe 0.90 | Sortino 1.38 | Calmar 1.2
Vol 16% | MDD -11.6%
Months 21M (8%)
CAGR 11.9% | Win 66%
Sharpe 0.91 | Sortino 1.29 | Calmar 0.6
Vol 13% | MDD -21.0%
Months 138M (54%)
RSIhist
neg
CAGR 5.0% | Win 52%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.1
Vol 16% | MDD -35.2%
Months 85M (34%)
CAGR -10.2% | Win 50%
Sharpe -0.26 | Sortino -0.44 | Calmar -0.2
Vol 27% | MDD -41.8%
Months 30M (12%)
CAGR 0.8% | Win 51%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -50.5%
Months 115M (46%)
LWTI
only
CAGR 8.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -27.6%
Months 202M (80%)
CAGR -0.7% | Win 59%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -41.8%
Months 51M (20%)