VTIP - Vanguard Sht-Term Inflation-Protected Sec ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

15.3%

Best CAGR

48

Total Months

1.8%

Avg CAGR

VTIP 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 VTIP

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 LWTI pos-neg 1 0.6 15.3 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist pos-neg 1 0.6 15.3 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-pos 1 0.6 15.3 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 1 0.6 15.3 100.0 0.0 0.0 0.0 - 0.0
pair RSI MRmean pos-neg 2 1.2 12.1 100.0 10.0 0.0 0.0 1.1 0.0
pair MRmean RSI pos-neg 2 1.2 12.1 100.0 10.0 0.0 0.0 1.1 0.0
pair RSI MACD pos-neg 2 1.2 10.5 100.0 6.5 0.0 0.0 1.5 0.0
pair MACD RSI pos-neg 2 1.2 10.5 100.0 6.5 0.0 0.0 1.5 0.0
pair LWTI RSmean neg-neg 2 1.2 8.0 100.0 19.9 0.0 0.0 0.4 0.0
pair RSmean LWTI neg-neg 2 1.2 8.0 100.0 19.9 0.0 0.0 0.4 0.0
pair MACDhist MRmean neg-pos 3 1.8 7.1 100.0 2.7 0.0 0.0 2.6 0.0
pair MRmean MACDhist neg-pos 3 1.8 7.1 100.0 2.7 0.0 0.0 2.6 0.0
pair MACD MACDhist neg-pos 4 2.4 5.9 50.0 2.4 19.5 24.1 2.4 -0.2
pair MACDhist MACD neg-pos 4 2.4 5.9 50.0 2.4 19.5 24.1 2.4 -0.2
pair RSIhist MACDhist pos-neg 13 7.7 5.5 92.3 2.9 0.0 7.3 1.9 -0.8
pair MACDhist RSIhist pos-neg 13 7.7 5.5 92.3 2.9 0.0 7.3 1.9 -0.8
pair MACDhist SLmean neg-pos 10 6.0 5.1 90.0 2.7 0.0 11.7 1.9 -0.4
pair SLmean MACDhist neg-pos 10 6.0 5.1 90.0 2.7 0.0 11.7 1.9 -0.4
pair MACD SLmean neg-pos 27 16.1 5.0 77.8 1.6 1.3 1.7 3.2 -2.9
pair SLmean MACD neg-pos 27 16.1 5.0 77.8 1.6 1.3 1.7 3.2 -2.9
pair MRmean MACD neg-pos 16 9.5 5.0 75.0 1.2 1.1 1.7 4.0 -2.9
pair MACD MRmean neg-pos 16 9.5 5.0 75.0 1.2 1.1 1.7 4.0 -2.9
pair RSmean MACD pos-pos 120 71.4 3.6 70.0 1.7 2.5 1.9 2.1 -1.9
pair MACD RSmean pos-pos 120 71.4 3.6 70.0 1.7 2.5 1.9 2.1 -1.9
pair RSmean MACDhist pos-pos 96 57.1 3.6 69.8 1.9 2.8 1.9 1.9 -1.9
pair MACDhist RSmean pos-pos 96 57.1 3.6 69.8 1.9 2.8 1.9 1.9 -1.9
single MACDhist MACDhist pos-pos 97 57.7 3.5 69.1 1.9 2.8 1.9 1.9 -1.9
pair MACD MACDhist pos-pos 93 55.4 3.4 69.9 1.8 2.6 1.8 1.9 -1.9
pair SLmean MACDhist pos-pos 87 51.8 3.4 66.7 1.8 2.6 1.8 1.9 -1.9
pair MACDhist LWTI pos-pos 96 57.1 3.4 68.8 1.8 2.7 1.8 1.9 -1.9
pair LWTI MACDhist pos-pos 96 57.1 3.4 68.8 1.8 2.7 1.8 1.9 -1.9
pair MACDhist RSI pos-pos 96 57.1 3.4 68.8 1.8 2.7 1.8 1.9 -1.9
pair MACDhist MACD pos-pos 93 55.4 3.4 69.9 1.8 2.6 1.8 1.9 -1.9
pair RSI MACDhist pos-pos 96 57.1 3.4 68.8 1.8 2.7 1.8 1.9 -1.9
pair MRmean MACDhist pos-pos 94 56.0 3.4 68.1 1.8 2.7 1.8 1.9 -1.9
pair MACDhist MRmean pos-pos 94 56.0 3.4 68.1 1.8 2.7 1.8 1.9 -1.9
pair MACDhist SLmean pos-pos 87 51.8 3.4 66.7 1.8 2.6 1.8 1.9 -1.9
pair RSmean SLmean neg-pos 45 26.8 3.3 66.7 1.4 2.5 1.3 2.3 -2.6
pair SLmean RSmean neg-pos 45 26.8 3.3 66.7 1.4 2.5 1.3 2.3 -2.6
pair RSIhist MACDhist pos-pos 84 50.0 3.2 65.5 1.7 2.6 1.7 1.9 -1.9
pair RSI RSmean pos-pos 125 74.4 3.2 67.2 1.5 2.3 1.7 2.1 -1.9
pair RSIhist LWTI neg-neg 13 7.7 3.2 61.5 1.4 6.4 5.8 2.2 -0.6
pair LWTI MACD pos-neg 6 3.6 3.2 50.0 0.9 4.4 3.6 3.4 -0.9
pair MACDhist RSIhist pos-pos 84 50.0 3.2 65.5 1.7 2.6 1.7 1.9 -1.9
pair LWTI RSIhist neg-neg 13 7.7 3.2 61.5 1.4 6.4 5.8 2.2 -0.6
pair RSmean RSI pos-pos 125 74.4 3.2 67.2 1.5 2.3 1.7 2.1 -1.9
pair RSI LWTI pos-neg 6 3.6 3.2 50.0 0.9 4.4 3.6 3.4 -0.9
pair MACD LWTI pos-neg 6 3.6 3.2 50.0 0.9 4.4 3.6 3.4 -0.9
pair LWTI RSI pos-neg 6 3.6 3.2 50.0 0.9 4.4 3.6 3.4 -0.9
pair LWTI SLmean neg-neg 14 8.3 3.1 57.1 1.4 8.0 3.5 2.1 -0.9
pair MACD RSIhist pos-pos 88 52.4 3.1 65.9 1.6 2.4 1.6 1.9 -1.9
pair SLmean LWTI neg-neg 14 8.3 3.1 57.1 1.4 8.0 3.5 2.1 -0.9
pair RSIhist MACD pos-pos 88 52.4 3.1 65.9 1.6 2.4 1.6 1.9 -1.9
pair RSIhist SLmean pos-pos 97 57.7 3.0 63.9 1.6 2.5 1.6 1.8 -1.9
pair RSIhist MRmean pos-pos 96 57.1 3.0 63.5 1.5 2.3 1.6 1.9 -1.9
pair MRmean RSIhist pos-pos 96 57.1 3.0 63.5 1.5 2.3 1.6 1.9 -1.9
pair RSmean LWTI pos-pos 130 77.4 3.0 66.9 1.4 2.0 1.0 2.1 -3.0
pair SLmean RSIhist pos-pos 97 57.7 3.0 63.9 1.6 2.5 1.6 1.8 -1.9
pair RSIhist RSmean pos-neg 51 30.4 3.0 68.6 1.2 1.8 1.6 2.4 -1.9
single MACD MACD pos-pos 124 73.8 3.0 67.7 1.3 1.4 0.7 2.4 -4.6
pair LWTI MACD pos-pos 118 70.2 3.0 68.6 1.3 1.4 0.7 2.3 -4.6
pair MACD LWTI pos-pos 118 70.2 3.0 68.6 1.3 1.4 0.7 2.3 -4.6
pair LWTI RSmean pos-pos 130 77.4 3.0 66.9 1.4 2.0 1.0 2.1 -3.0
pair RSmean RSIhist pos-neg 51 30.4 3.0 68.6 1.2 1.8 1.6 2.4 -1.9
pair MRmean RSmean pos-pos 113 67.3 2.9 66.4 1.4 1.9 1.1 2.0 -2.7
pair RSmean MRmean pos-pos 113 67.3 2.9 66.4 1.4 1.9 1.1 2.0 -2.7
pair RSIhist MACD pos-neg 36 21.4 2.9 72.2 0.9 0.9 0.6 3.3 -4.6
pair MACD RSIhist pos-neg 36 21.4 2.9 72.2 0.9 0.9 0.6 3.3 -4.6
pair RSIhist LWTI pos-pos 93 55.4 2.9 63.4 1.5 2.3 1.5 1.9 -1.9
pair LWTI RSIhist pos-pos 93 55.4 2.9 63.4 1.5 2.3 1.5 1.9 -1.9
pair RSI MACD pos-pos 122 72.6 2.9 67.2 1.2 1.4 0.6 2.4 -4.9
pair MACD RSI pos-pos 122 72.6 2.9 67.2 1.2 1.4 0.6 2.4 -4.9
pair RSIhist RSI pos-pos 95 56.5 2.8 63.2 1.5 2.2 1.5 1.9 -1.9
single RSmean RSmean pos-pos 150 89.3 2.8 64.7 1.4 2.1 0.9 2.1 -3.1
pair SLmean RSI neg-pos 32 19.0 2.8 71.9 0.9 0.9 0.8 3.1 -3.3
pair RSI SLmean neg-pos 32 19.0 2.8 71.9 0.9 0.9 0.8 3.1 -3.3
pair SLmean MRmean pos-neg 14 8.3 2.8 71.4 1.4 1.8 6.4 1.9 -0.4
pair MRmean SLmean pos-neg 14 8.3 2.8 71.4 1.4 1.8 6.4 1.9 -0.4
pair RSI RSIhist pos-pos 95 56.5 2.8 63.2 1.5 2.2 1.5 1.9 -1.9
pair RSIhist RSmean pos-pos 99 58.9 2.7 62.6 1.4 2.2 1.4 1.9 -1.9
single MRmean MRmean pos-pos 117 69.6 2.7 65.0 1.3 1.7 0.6 2.0 -4.2
pair RSmean RSIhist pos-pos 99 58.9 2.7 62.6 1.4 2.2 1.4 1.9 -1.9
pair MACD MRmean pos-pos 108 64.3 2.7 66.7 1.3 1.7 0.7 2.0 -4.2
pair MRmean MACD pos-pos 108 64.3 2.7 66.7 1.3 1.7 0.7 2.0 -4.2
pair MRmean RSmean neg-pos 37 22.0 2.7 59.5 1.1 2.4 1.4 2.4 -1.9
pair RSmean MRmean neg-pos 37 22.0 2.7 59.5 1.1 2.4 1.4 2.4 -1.9
pair LWTI MRmean pos-pos 112 66.7 2.7 65.2 1.3 1.7 0.8 2.0 -3.4
pair MRmean LWTI pos-pos 112 66.7 2.7 65.2 1.3 1.7 0.8 2.0 -3.4
pair LWTI MRmean pos-neg 5 3.0 2.7 60.0 1.1 2.7 3.1 2.6 -0.9
pair MRmean LWTI pos-neg 5 3.0 2.7 60.0 1.1 2.7 3.1 2.6 -0.9
single RSIhist RSIhist pos-pos 102 60.7 2.7 61.8 1.4 2.2 1.4 1.9 -1.9
pair SLmean RSI pos-neg 6 3.6 2.6 50.0 1.2 4.1 9.2 2.1 -0.3
pair SLmean RSmean pos-pos 105 62.5 2.6 63.8 1.3 1.9 0.7 2.0 -4.0
pair RSI SLmean pos-neg 6 3.6 2.6 50.0 1.2 4.1 9.2 2.1 -0.3
pair MRmean SLmean pos-pos 103 61.3 2.6 64.1 1.3 1.7 0.5 2.1 -5.2
pair SLmean MRmean pos-pos 103 61.3 2.6 64.1 1.3 1.7 0.5 2.1 -5.2
pair RSmean SLmean pos-pos 105 62.5 2.6 63.8 1.3 1.9 0.7 2.0 -4.0
pair RSmean RSIhist neg-pos 3 1.8 2.5 33.3 1.6 63.5 25.7 1.5 -0.1
pair RSIhist RSmean neg-pos 3 1.8 2.5 33.3 1.6 63.5 25.7 1.5 -0.1
single RSI RSI pos-pos 135 80.4 2.5 65.2 1.1 1.3 0.5 2.3 -4.9
pair MRmean RSI pos-pos 115 68.5 2.5 64.3 1.2 1.6 0.6 2.0 -4.2
pair RSI MRmean pos-pos 115 68.5 2.5 64.3 1.2 1.6 0.6 2.0 -4.2
pair SLmean MACD pos-pos 97 57.7 2.5 64.9 1.2 1.5 0.5 2.1 -5.4
pair MACD SLmean pos-pos 97 57.7 2.5 64.9 1.2 1.5 0.5 2.1 -5.4
pair LWTI SLmean pos-pos 101 60.1 2.5 63.4 1.2 1.6 0.6 2.0 -4.5
pair SLmean LWTI pos-pos 101 60.1 2.5 63.4 1.2 1.6 0.6 2.0 -4.5
pair SLmean RSI pos-pos 103 61.3 2.4 63.1 1.2 1.5 0.4 2.0 -5.4
pair RSI SLmean pos-pos 103 61.3 2.4 63.1 1.2 1.5 0.4 2.0 -5.4
pair RSI MRmean neg-pos 20 11.9 2.4 70.0 0.7 0.7 0.7 3.7 -3.3
pair MRmean RSI neg-pos 20 11.9 2.4 70.0 0.7 0.7 0.7 3.7 -3.3
pair LWTI RSI pos-pos 129 76.8 2.4 65.9 1.1 1.2 0.5 2.3 -4.9
pair RSmean RSI neg-neg 8 4.8 2.4 75.0 1.1 1.9 2.5 2.1 -1.0
pair RSI LWTI pos-pos 129 76.8 2.4 65.9 1.1 1.2 0.5 2.3 -4.9
single SLmean SLmean pos-pos 109 64.9 2.4 62.4 1.2 1.6 0.4 2.0 -5.4
pair RSI RSmean neg-neg 8 4.8 2.4 75.0 1.1 1.9 2.5 2.1 -1.0
pair SLmean RSIhist neg-neg 54 32.1 2.3 70.4 0.9 0.9 0.8 2.7 -2.9
pair RSIhist SLmean neg-neg 54 32.1 2.3 70.4 0.9 0.9 0.8 2.7 -2.9
pair benchmark___benchmark_ benchmark-benchmark 168 100.0 2.2 63.7 1.0 1.2 0.5 2.3 -4.6
pair benchmark___benchmark_ benchmark-benchmark 168 100.0 2.2 63.7 1.0 1.2 0.5 2.3 -4.6
single LWTI LWTI pos-pos 146 86.9 2.2 65.1 1.0 1.1 0.5 2.3 -4.6
single LWTI LWTI neg-neg 22 13.1 2.2 54.5 1.1 3.4 2.4 2.1 -0.9
pair MRmean LWTI neg-neg 17 10.1 2.1 52.9 1.0 4.0 2.2 2.1 -0.9
pair RSIhist RSI neg-pos 7 4.2 2.1 42.9 1.0 3.7 5.3 2.0 -0.4
pair RSI RSIhist neg-pos 7 4.2 2.1 42.9 1.0 3.7 5.3 2.0 -0.4
pair LWTI MRmean neg-neg 17 10.1 2.1 52.9 1.0 4.0 2.2 2.1 -0.9
single SLmean SLmean neg-neg 59 35.1 1.9 66.1 0.7 0.8 0.5 2.7 -3.5
pair MACD LWTI neg-neg 16 9.5 1.9 56.2 1.2 3.7 2.0 1.5 -0.9
pair LWTI MACD neg-neg 16 9.5 1.9 56.2 1.2 3.7 2.0 1.5 -0.9
pair LWTI RSI neg-neg 16 9.5 1.9 56.2 1.2 3.7 2.0 1.5 -0.9
pair RSI LWTI neg-neg 16 9.5 1.9 56.2 1.2 3.7 2.0 1.5 -0.9
pair SLmean MACD pos-neg 12 7.1 1.9 41.7 1.0 3.8 2.7 1.8 -0.7
pair MACD SLmean pos-neg 12 7.1 1.9 41.7 1.0 3.8 2.7 1.8 -0.7
pair MACD MRmean pos-neg 9 5.4 1.9 44.4 0.8 1.3 1.3 2.5 -1.5
pair MRmean MACD pos-neg 9 5.4 1.9 44.4 0.8 1.3 1.3 2.5 -1.5
pair RSIhist RSI pos-neg 40 23.8 1.8 70.0 0.6 0.6 0.4 3.2 -4.9
pair RSI RSIhist pos-neg 40 23.8 1.8 70.0 0.6 0.6 0.4 3.2 -4.9
pair MACDhist MACD pos-neg 31 18.5 1.7 61.3 0.5 0.6 0.4 3.5 -4.4
pair MACD MACDhist pos-neg 31 18.5 1.7 61.3 0.5 0.6 0.4 3.5 -4.4
pair LWTI MACDhist neg-neg 21 12.5 1.7 52.4 0.8 2.5 1.8 2.0 -0.9
pair MACDhist LWTI neg-neg 21 12.5 1.7 52.4 0.8 2.5 1.8 2.0 -0.9
pair LWTI RSmean pos-neg 20 11.9 1.7 50.0 0.8 2.6 1.8 2.2 -0.9
pair RSmean LWTI pos-neg 20 11.9 1.7 50.0 0.8 2.6 1.8 2.2 -0.9
pair RSIhist MRmean neg-neg 45 26.8 1.6 64.4 0.6 0.6 0.5 2.9 -2.9
pair MRmean RSIhist neg-neg 45 26.8 1.6 64.4 0.6 0.6 0.5 2.9 -2.9
pair SLmean MRmean neg-neg 45 26.8 1.6 64.4 0.6 0.7 0.6 2.9 -2.9
pair MRmean SLmean neg-neg 45 26.8 1.6 64.4 0.6 0.7 0.6 2.9 -2.9
pair RSmean MACDhist pos-neg 54 32.1 1.5 55.6 0.6 1.0 0.5 2.4 -3.1
pair SLmean LWTI neg-pos 45 26.8 1.5 68.9 0.6 0.6 0.4 2.8 -4.3
single RSIhist RSIhist neg-neg 66 39.3 1.5 66.7 0.5 0.6 0.3 2.8 -4.6
pair MACDhist RSmean pos-neg 54 32.1 1.5 55.6 0.6 1.0 0.5 2.4 -3.1
pair LWTI SLmean neg-pos 45 26.8 1.5 68.9 0.6 0.6 0.4 2.8 -4.3
pair SLmean MACDhist neg-neg 49 29.2 1.3 61.2 0.5 0.5 0.4 2.8 -3.5
pair MACDhist SLmean neg-neg 49 29.2 1.3 61.2 0.5 0.5 0.4 2.8 -3.5
single MRmean MRmean neg-neg 51 30.4 1.2 60.8 0.5 0.6 0.4 2.7 -2.9
pair RSIhist MRmean pos-neg 21 12.5 1.2 71.4 0.5 0.6 0.3 2.6 -3.7
pair MRmean RSIhist pos-neg 21 12.5 1.2 71.4 0.5 0.6 0.3 2.6 -3.7
single RSI RSI neg-neg 33 19.6 1.2 57.6 0.6 0.9 0.8 2.0 -1.6
pair LWTI RSIhist neg-pos 53 31.5 1.0 67.9 0.4 0.4 0.2 2.9 -4.6
pair RSIhist LWTI neg-pos 53 31.5 1.0 67.9 0.4 0.4 0.2 2.9 -4.6
pair MRmean MACDhist neg-neg 48 28.6 0.9 58.3 0.3 0.4 0.3 2.7 -2.9
pair SLmean RSI neg-neg 27 16.1 0.9 59.3 0.5 0.6 0.6 1.9 -1.6
pair RSI SLmean neg-neg 27 16.1 0.9 59.3 0.5 0.6 0.6 1.9 -1.6
pair RSIhist LWTI pos-neg 9 5.4 0.9 44.4 0.5 1.1 1.3 2.0 -0.6
pair LWTI RSIhist pos-neg 9 5.4 0.9 44.4 0.5 1.1 1.3 2.0 -0.6
pair RSI RSIhist neg-neg 26 15.5 0.9 61.5 0.5 0.7 0.6 2.0 -1.6
pair RSIhist RSI neg-neg 26 15.5 0.9 61.5 0.5 0.7 0.6 2.0 -1.6
pair MACDhist MRmean neg-neg 48 28.6 0.9 58.3 0.3 0.4 0.3 2.7 -2.9
pair SLmean LWTI pos-neg 8 4.8 0.8 50.0 0.4 1.1 0.9 2.2 -0.9
pair LWTI MRmean neg-pos 34 20.2 0.8 64.7 0.3 0.3 0.2 3.0 -3.3
pair MRmean LWTI neg-pos 34 20.2 0.8 64.7 0.3 0.3 0.2 3.0 -3.3
pair LWTI SLmean pos-neg 8 4.8 0.8 50.0 0.4 1.1 0.9 2.2 -0.9
pair RSI MACDhist neg-neg 32 19.0 0.8 56.2 0.4 0.6 0.5 1.9 -1.6
pair MACDhist RSI neg-neg 32 19.0 0.8 56.2 0.4 0.6 0.5 1.9 -1.6
pair RSmean RSI pos-neg 25 14.9 0.8 52.0 0.4 0.6 0.4 1.9 -1.9
pair RSI RSmean pos-neg 25 14.9 0.8 52.0 0.4 0.6 0.4 1.9 -1.9
pair RSI MACD neg-neg 31 18.5 0.6 54.8 0.3 0.5 0.4 1.9 -1.6
pair MACD RSmean neg-neg 14 8.3 0.6 71.4 0.3 0.6 0.2 2.0 -2.4
pair RSmean MACD neg-neg 14 8.3 0.6 71.4 0.3 0.6 0.2 2.0 -2.4
pair MACD RSIhist neg-pos 14 8.3 0.6 35.7 0.3 0.6 0.3 2.0 -1.9
pair RSIhist MACD neg-pos 14 8.3 0.6 35.7 0.3 0.6 0.3 2.0 -1.9
pair MACD RSI neg-neg 31 18.5 0.6 54.8 0.3 0.5 0.4 1.9 -1.6
pair RSI LWTI neg-pos 17 10.1 0.5 58.8 0.2 0.3 0.3 2.3 -1.8
pair MACDhist RSIhist neg-neg 53 31.5 0.5 60.4 0.2 0.2 0.1 2.9 -4.4
pair MRmean RSI neg-neg 31 18.5 0.5 54.8 0.3 0.4 0.3 1.8 -1.6
pair LWTI RSI neg-pos 17 10.1 0.5 58.8 0.2 0.3 0.3 2.3 -1.8
pair RSIhist MACDhist neg-neg 53 31.5 0.5 60.4 0.2 0.2 0.1 2.9 -4.4
pair RSI MRmean neg-neg 31 18.5 0.5 54.8 0.3 0.4 0.3 1.8 -1.6
single MACDhist MACDhist neg-neg 71 42.3 0.4 56.3 0.2 0.2 0.1 2.6 -4.8
pair MACDhist RSIhist neg-pos 18 10.7 0.4 44.4 0.2 0.3 0.2 1.9 -2.1
pair RSIhist MACDhist neg-pos 18 10.7 0.4 44.4 0.2 0.3 0.2 1.9 -2.1
pair RSI MACDhist pos-neg 39 23.2 0.2 56.4 0.1 0.1 0.0 3.2 -5.1
pair MACDhist RSI pos-neg 39 23.2 0.2 56.4 0.1 0.1 0.0 3.2 -5.1
single MACD MACD neg-neg 44 26.2 0.0 52.3 0.0 0.0 0.0 1.9 -3.3
pair MACDhist LWTI neg-pos 50 29.8 -0.1 58.0 -0.0 -0.0 -0.0 2.9 -6.0
pair LWTI MACDhist neg-pos 50 29.8 -0.1 58.0 -0.0 -0.0 -0.0 2.9 -6.0
pair RSIhist MACD neg-neg 30 17.9 -0.2 60.0 -0.1 -0.2 -0.1 1.8 -2.4
pair RSmean MACD pos-neg 30 17.9 -0.2 43.3 -0.1 -0.2 -0.1 1.8 -3.1
pair MACD RSmean pos-neg 30 17.9 -0.2 43.3 -0.1 -0.2 -0.1 1.8 -3.1
pair MACD RSIhist neg-neg 30 17.9 -0.2 60.0 -0.1 -0.2 -0.1 1.8 -2.4
pair MACD MRmean neg-neg 35 20.8 -0.4 54.3 -0.3 -0.3 -0.2 1.7 -2.9
pair MRmean MACD neg-neg 35 20.8 -0.4 54.3 -0.3 -0.3 -0.2 1.7 -2.9
pair MACDhist MRmean pos-neg 23 13.7 -0.5 52.2 -0.2 -0.2 -0.1 2.5 -3.9
pair MACD MACDhist neg-neg 40 23.8 -0.5 52.5 -0.3 -0.4 -0.2 1.8 -3.3
pair MACDhist MACD neg-neg 40 23.8 -0.5 52.5 -0.3 -0.4 -0.2 1.8 -3.3
pair MRmean MACDhist pos-neg 23 13.7 -0.5 52.2 -0.2 -0.2 -0.1 2.5 -3.9
pair RSmean MACDhist neg-pos 1 0.6 -0.7 0.0 0.0 0.0 0.0 - 0.0
pair MACD SLmean neg-neg 32 19.0 -0.7 56.2 -0.3 -0.5 -0.2 1.9 -3.5
pair SLmean MACD neg-neg 32 19.0 -0.7 56.2 -0.3 -0.5 -0.2 1.9 -3.5
pair MACDhist RSmean neg-pos 1 0.6 -0.7 0.0 0.0 0.0 0.0 - 0.0
pair LWTI MACD neg-pos 28 16.7 -1.0 50.0 -0.5 -0.7 -0.2 2.0 -4.4
pair MACD LWTI neg-pos 28 16.7 -1.0 50.0 -0.5 -0.7 -0.2 2.0 -4.4
pair MRmean RSIhist neg-pos 6 3.6 -1.1 33.3 -1.4 -1.9 -2.8 0.8 -0.4
pair RSIhist MRmean neg-pos 6 3.6 -1.1 33.3 -1.4 -1.9 -2.8 0.8 -0.4
pair RSI MACD neg-pos 13 7.7 -1.3 46.2 -0.7 -0.9 -0.5 1.8 -2.9
pair MACD RSI neg-pos 13 7.7 -1.3 46.2 -0.7 -0.9 -0.5 1.8 -2.9
pair MACDhist SLmean pos-neg 22 13.1 -1.4 45.5 -0.6 -0.7 -0.3 2.3 -4.4
pair SLmean MACDhist pos-neg 22 13.1 -1.4 45.5 -0.6 -0.7 -0.3 2.3 -4.4
pair MRmean SLmean neg-pos 6 3.6 -1.7 33.3 -1.9 -2.9 -3.0 0.9 -0.6
pair SLmean MRmean neg-pos 6 3.6 -1.7 33.3 -1.9 -2.9 -3.0 0.9 -0.6
pair SLmean RSIhist pos-neg 12 7.1 -2.3 50.0 -0.8 -1.1 -0.5 3.0 -4.9
pair RSIhist SLmean pos-neg 12 7.1 -2.3 50.0 -0.8 -1.1 -0.5 3.0 -4.9
pair SLmean RSIhist neg-pos 5 3.0 -2.4 20.0 -1.0 -1.6 -5.5 2.4 -0.4
pair RSIhist SLmean neg-pos 5 3.0 -2.4 20.0 -1.0 -1.6 -5.5 2.4 -0.4
pair MRmean RSmean neg-neg 14 8.3 -2.6 64.3 -0.8 -0.7 -0.7 3.3 -3.9
pair RSmean MRmean neg-neg 14 8.3 -2.6 64.3 -0.8 -0.7 -0.7 3.3 -3.9
pair SLmean RSmean neg-neg 14 8.3 -2.6 64.3 -0.8 -0.7 -0.7 3.3 -3.9
pair RSmean SLmean neg-neg 14 8.3 -2.6 64.3 -0.8 -0.7 -0.7 3.3 -3.9
single RSmean RSmean neg-neg 18 10.7 -2.6 55.6 -0.8 -0.8 -0.5 3.2 -4.8
pair MACDhist RSmean neg-neg 17 10.1 -2.7 58.8 -0.8 -0.8 -0.6 3.3 -4.8
pair RSmean MACDhist neg-neg 17 10.1 -2.7 58.8 -0.8 -0.8 -0.6 3.3 -4.8
pair MRmean RSmean pos-neg 4 2.4 -2.7 25.0 -0.8 -0.9 -1.7 3.3 -1.6
pair RSmean MRmean pos-neg 4 2.4 -2.7 25.0 -0.8 -0.9 -1.7 3.3 -1.6
pair SLmean RSmean pos-neg 4 2.4 -2.7 25.0 -0.8 -0.9 -1.7 3.3 -1.6
pair RSmean SLmean pos-neg 4 2.4 -2.7 25.0 -0.8 -0.9 -1.7 3.3 -1.6
pair RSIhist RSmean neg-neg 15 8.9 -3.6 60.0 -1.1 -1.1 -0.7 3.4 -5.4
pair RSmean RSIhist neg-neg 15 8.9 -3.6 60.0 -1.1 -1.1 -0.7 3.4 -5.4
pair LWTI RSmean neg-pos 16 9.5 -3.9 50.0 -1.2 -1.2 -0.6 3.2 -6.0
pair RSmean LWTI neg-pos 16 9.5 -3.9 50.0 -1.2 -1.2 -0.6 3.2 -6.0
pair RSI RSmean neg-pos 10 6.0 -6.5 40.0 -1.9 -1.7 -1.1 3.5 -5.9
pair RSmean RSI neg-pos 10 6.0 -6.5 40.0 -1.9 -1.7 -1.1 3.5 -5.9
pair RSmean MACD neg-pos 4 2.4 -13.0 0.0 -2.9 -2.9 -2.9 4.8 -4.5
pair MACD RSmean neg-pos 4 2.4 -13.0 0.0 -2.9 -2.9 -2.9 4.8 -4.5

All Contingency Tables for VTIP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos
SLmean
neg
MRmean
only
MRmean
pos
CAGR 2.6% | Win 64%
Sharpe 1.27 | Sortino 1.67 | Calmar 0.5
Vol 2% | MDD -5.2%
Months 103M (61%)
CAGR 2.8% | Win 71%
Sharpe 1.43 | Sortino 1.83 | Calmar 6.4
Vol 2% | MDD -0.4%
Months 14M (8%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR -1.7% | Win 33%
Sharpe -1.88 | Sortino -2.85 | Calmar -3.0
Vol 1% | MDD -0.6%
Months 6M (4%)
CAGR 1.6% | Win 64%
Sharpe 0.58 | Sortino 0.66 | Calmar 0.6
Vol 3% | MDD -2.9%
Months 45M (27%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
SLmean
only
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
MRmean × RSmean
RSmean
pos
RSmean
neg
MRmean
only
MRmean
pos
CAGR 2.9% | Win 66%
Sharpe 1.43 | Sortino 1.95 | Calmar 1.1
Vol 2% | MDD -2.7%
Months 113M (67%)
CAGR -2.7% | Win 25%
Sharpe -0.83 | Sortino -0.92 | Calmar -1.7
Vol 3% | MDD -1.6%
Months 4M (2%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR 2.7% | Win 60%
Sharpe 1.14 | Sortino 2.38 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 37M (22%)
CAGR -2.6% | Win 64%
Sharpe -0.78 | Sortino -0.73 | Calmar -0.7
Vol 3% | MDD -3.9%
Months 14M (8%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
RSmean
only
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
MRmean × MACD
MACD
pos
MACD
neg
MRmean
only
MRmean
pos
CAGR 2.7% | Win 67%
Sharpe 1.34 | Sortino 1.71 | Calmar 0.7
Vol 2% | MDD -4.2%
Months 108M (64%)
CAGR 1.9% | Win 44%
Sharpe 0.78 | Sortino 1.30 | Calmar 1.3
Vol 2% | MDD -1.5%
Months 9M (5%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR 5.0% | Win 75%
Sharpe 1.24 | Sortino 1.07 | Calmar 1.7
Vol 4% | MDD -2.9%
Months 16M (10%)
CAGR -0.4% | Win 54%
Sharpe -0.26 | Sortino -0.33 | Calmar -0.2
Vol 2% | MDD -2.9%
Months 35M (21%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
MACD
only
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
MRmean × RSI
RSI
pos
RSI
neg
MRmean
only
MRmean
pos
CAGR 2.5% | Win 64%
Sharpe 1.23 | Sortino 1.60 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 115M (68%)
CAGR 12.1% | Win 100%
Sharpe 10.04 | Sortino 0.00 | Calmar 0.0
Vol 1% | MDD 0.0%
Months 2M (1%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR 2.4% | Win 70%
Sharpe 0.65 | Sortino 0.66 | Calmar 0.7
Vol 4% | MDD -3.3%
Months 20M (12%)
CAGR 0.5% | Win 55%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.3
Vol 2% | MDD -1.6%
Months 31M (18%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
RSI
only
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
MRmean × MACDhist
MACDhist
pos
MACDhist
neg
MRmean
only
MRmean
pos
CAGR 3.4% | Win 68%
Sharpe 1.83 | Sortino 2.70 | Calmar 1.8
Vol 2% | MDD -1.9%
Months 94M (56%)
CAGR -0.5% | Win 52%
Sharpe -0.17 | Sortino -0.21 | Calmar -0.1
Vol 2% | MDD -3.9%
Months 23M (14%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR 7.1% | Win 100%
Sharpe 2.70 | Sortino 0.00 | Calmar 0.0
Vol 3% | MDD 0.0%
Months 3M (2%)
CAGR 0.9% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.3
Vol 3% | MDD -2.9%
Months 48M (29%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
MACDhist
only
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
MRmean × RSIhist
RSIhist
pos
RSIhist
neg
MRmean
only
MRmean
pos
CAGR 3.0% | Win 64%
Sharpe 1.54 | Sortino 2.34 | Calmar 1.6
Vol 2% | MDD -1.9%
Months 96M (57%)
CAGR 1.2% | Win 71%
Sharpe 0.49 | Sortino 0.58 | Calmar 0.3
Vol 3% | MDD -3.7%
Months 21M (12%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR -1.1% | Win 33%
Sharpe -1.41 | Sortino -1.95 | Calmar -2.8
Vol 1% | MDD -0.4%
Months 6M (4%)
CAGR 1.6% | Win 64%
Sharpe 0.55 | Sortino 0.63 | Calmar 0.5
Vol 3% | MDD -2.9%
Months 45M (27%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
MRmean × LWTI
LWTI
pos
LWTI
neg
MRmean
only
MRmean
pos
CAGR 2.7% | Win 65%
Sharpe 1.30 | Sortino 1.67 | Calmar 0.8
Vol 2% | MDD -3.4%
Months 112M (67%)
CAGR 2.7% | Win 60%
Sharpe 1.07 | Sortino 2.67 | Calmar 3.1
Vol 3% | MDD -0.9%
Months 5M (3%)
CAGR 2.7% | Win 65%
Sharpe 1.29 | Sortino 1.70 | Calmar 0.6
Vol 2% | MDD -4.2%
Months 117M (70%)
MRmean
neg
CAGR 0.8% | Win 65%
Sharpe 0.28 | Sortino 0.31 | Calmar 0.2
Vol 3% | MDD -3.3%
Months 34M (20%)
CAGR 2.1% | Win 53%
Sharpe 1.02 | Sortino 3.95 | Calmar 2.2
Vol 2% | MDD -0.9%
Months 17M (10%)
CAGR 1.2% | Win 61%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.4
Vol 3% | MDD -2.9%
Months 51M (30%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
SLmean × RSmean
RSmean
pos
RSmean
neg
SLmean
only
SLmean
pos
CAGR 2.6% | Win 64%
Sharpe 1.30 | Sortino 1.86 | Calmar 0.7
Vol 2% | MDD -4.0%
Months 105M (62%)
CAGR -2.7% | Win 25%
Sharpe -0.83 | Sortino -0.92 | Calmar -1.7
Vol 3% | MDD -1.6%
Months 4M (2%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR 3.3% | Win 67%
Sharpe 1.43 | Sortino 2.50 | Calmar 1.3
Vol 2% | MDD -2.6%
Months 45M (27%)
CAGR -2.6% | Win 64%
Sharpe -0.78 | Sortino -0.73 | Calmar -0.7
Vol 3% | MDD -3.9%
Months 14M (8%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
RSmean
only
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
SLmean × MACD
MACD
pos
MACD
neg
SLmean
only
SLmean
pos
CAGR 2.5% | Win 65%
Sharpe 1.18 | Sortino 1.51 | Calmar 0.5
Vol 2% | MDD -5.4%
Months 97M (58%)
CAGR 1.9% | Win 42%
Sharpe 1.04 | Sortino 3.80 | Calmar 2.7
Vol 2% | MDD -0.7%
Months 12M (7%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR 5.0% | Win 78%
Sharpe 1.56 | Sortino 1.29 | Calmar 1.7
Vol 3% | MDD -2.9%
Months 27M (16%)
CAGR -0.7% | Win 56%
Sharpe -0.35 | Sortino -0.45 | Calmar -0.2
Vol 2% | MDD -3.5%
Months 32M (19%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
MACD
only
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
SLmean × RSI
RSI
pos
RSI
neg
SLmean
only
SLmean
pos
CAGR 2.4% | Win 63%
Sharpe 1.16 | Sortino 1.53 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 103M (61%)
CAGR 2.6% | Win 50%
Sharpe 1.22 | Sortino 4.11 | Calmar 9.2
Vol 2% | MDD -0.3%
Months 6M (4%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR 2.8% | Win 72%
Sharpe 0.89 | Sortino 0.90 | Calmar 0.8
Vol 3% | MDD -3.3%
Months 32M (19%)
CAGR 0.9% | Win 59%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.5
Vol 2% | MDD -1.6%
Months 27M (16%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
RSI
only
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
SLmean × MACDhist
MACDhist
pos
MACDhist
neg
SLmean
only
SLmean
pos
CAGR 3.4% | Win 67%
Sharpe 1.77 | Sortino 2.61 | Calmar 1.8
Vol 2% | MDD -1.9%
Months 87M (52%)
CAGR -1.4% | Win 46%
Sharpe -0.57 | Sortino -0.71 | Calmar -0.3
Vol 2% | MDD -4.4%
Months 22M (13%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR 5.1% | Win 90%
Sharpe 2.67 | Sortino 0.00 | Calmar 11.7
Vol 2% | MDD -0.4%
Months 10M (6%)
CAGR 1.3% | Win 61%
Sharpe 0.47 | Sortino 0.54 | Calmar 0.4
Vol 3% | MDD -3.5%
Months 49M (29%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
MACDhist
only
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
SLmean × RSIhist
RSIhist
pos
RSIhist
neg
SLmean
only
SLmean
pos
CAGR 3.0% | Win 64%
Sharpe 1.61 | Sortino 2.54 | Calmar 1.6
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR -2.3% | Win 50%
Sharpe -0.76 | Sortino -1.15 | Calmar -0.5
Vol 3% | MDD -4.9%
Months 12M (7%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR -2.4% | Win 20%
Sharpe -1.00 | Sortino -1.57 | Calmar -5.5
Vol 2% | MDD -0.4%
Months 5M (3%)
CAGR 2.3% | Win 70%
Sharpe 0.87 | Sortino 0.92 | Calmar 0.8
Vol 3% | MDD -2.9%
Months 54M (32%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
SLmean × LWTI
LWTI
pos
LWTI
neg
SLmean
only
SLmean
pos
CAGR 2.5% | Win 63%
Sharpe 1.23 | Sortino 1.60 | Calmar 0.6
Vol 2% | MDD -4.5%
Months 101M (60%)
CAGR 0.8% | Win 50%
Sharpe 0.39 | Sortino 1.05 | Calmar 0.9
Vol 2% | MDD -0.9%
Months 8M (5%)
CAGR 2.4% | Win 62%
Sharpe 1.17 | Sortino 1.59 | Calmar 0.4
Vol 2% | MDD -5.4%
Months 109M (65%)
SLmean
neg
CAGR 1.5% | Win 69%
Sharpe 0.56 | Sortino 0.60 | Calmar 0.4
Vol 3% | MDD -4.3%
Months 45M (27%)
CAGR 3.1% | Win 57%
Sharpe 1.43 | Sortino 7.98 | Calmar 3.6
Vol 2% | MDD -0.9%
Months 14M (8%)
CAGR 1.9% | Win 66%
Sharpe 0.72 | Sortino 0.82 | Calmar 0.5
Vol 3% | MDD -3.5%
Months 59M (35%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
RSmean × MACD
MACD
pos
MACD
neg
RSmean
only
RSmean
pos
CAGR 3.6% | Win 70%
Sharpe 1.70 | Sortino 2.51 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 120M (71%)
CAGR -0.2% | Win 43%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 2% | MDD -3.1%
Months 30M (18%)
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
RSmean
neg
CAGR -13.0% | Win 0%
Sharpe -2.85 | Sortino -2.85 | Calmar -2.9
Vol 5% | MDD -4.5%
Months 4M (2%)
CAGR 0.6% | Win 71%
Sharpe 0.29 | Sortino 0.60 | Calmar 0.2
Vol 2% | MDD -2.4%
Months 14M (8%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
MACD
only
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
RSmean × RSI
RSI
pos
RSI
neg
RSmean
only
RSmean
pos
CAGR 3.2% | Win 67%
Sharpe 1.52 | Sortino 2.28 | Calmar 1.7
Vol 2% | MDD -1.9%
Months 125M (74%)
CAGR 0.8% | Win 52%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.4
Vol 2% | MDD -1.9%
Months 25M (15%)
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
RSmean
neg
CAGR -6.5% | Win 40%
Sharpe -1.89 | Sortino -1.73 | Calmar -1.1
Vol 4% | MDD -5.9%
Months 10M (6%)
CAGR 2.4% | Win 75%
Sharpe 1.15 | Sortino 1.90 | Calmar 2.5
Vol 2% | MDD -1.0%
Months 8M (5%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
RSI
only
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
RSmean × MACDhist
MACDhist
pos
MACDhist
neg
RSmean
only
RSmean
pos
CAGR 3.6% | Win 70%
Sharpe 1.89 | Sortino 2.79 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 96M (57%)
CAGR 1.5% | Win 56%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.5
Vol 2% | MDD -3.1%
Months 54M (32%)
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
RSmean
neg
CAGR -0.7% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -2.7% | Win 59%
Sharpe -0.83 | Sortino -0.82 | Calmar -0.6
Vol 3% | MDD -4.8%
Months 17M (10%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
MACDhist
only
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
RSmean × RSIhist
RSIhist
pos
RSIhist
neg
RSmean
only
RSmean
pos
CAGR 2.7% | Win 63%
Sharpe 1.43 | Sortino 2.23 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 99M (59%)
CAGR 3.0% | Win 69%
Sharpe 1.23 | Sortino 1.84 | Calmar 1.5
Vol 2% | MDD -1.9%
Months 51M (30%)
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
RSmean
neg
CAGR 2.5% | Win 33%
Sharpe 1.62 | Sortino 63.54 | Calmar 25.7
Vol 2% | MDD -0.1%
Months 3M (2%)
CAGR -3.6% | Win 60%
Sharpe -1.07 | Sortino -1.13 | Calmar -0.7
Vol 3% | MDD -5.4%
Months 15M (9%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
RSmean × LWTI
LWTI
pos
LWTI
neg
RSmean
only
RSmean
pos
CAGR 3.0% | Win 67%
Sharpe 1.43 | Sortino 2.01 | Calmar 1.0
Vol 2% | MDD -3.0%
Months 130M (77%)
CAGR 1.7% | Win 50%
Sharpe 0.79 | Sortino 2.59 | Calmar 1.8
Vol 2% | MDD -0.9%
Months 20M (12%)
CAGR 2.8% | Win 65%
Sharpe 1.35 | Sortino 2.06 | Calmar 0.9
Vol 2% | MDD -3.1%
Months 150M (89%)
RSmean
neg
CAGR -3.9% | Win 50%
Sharpe -1.22 | Sortino -1.18 | Calmar -0.6
Vol 3% | MDD -6.0%
Months 16M (10%)
CAGR 8.0% | Win 100%
Sharpe 19.95 | Sortino 0.00 | Calmar 0.0
Vol 0% | MDD 0.0%
Months 2M (1%)
CAGR -2.6% | Win 56%
Sharpe -0.82 | Sortino -0.79 | Calmar -0.5
Vol 3% | MDD -4.8%
Months 18M (11%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
MACD × RSI
RSI
pos
RSI
neg
MACD
only
MACD
pos
CAGR 2.9% | Win 67%
Sharpe 1.22 | Sortino 1.39 | Calmar 0.6
Vol 2% | MDD -4.9%
Months 122M (73%)
CAGR 10.5% | Win 100%
Sharpe 6.51 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
MACD
neg
CAGR -1.3% | Win 46%
Sharpe -0.72 | Sortino -0.93 | Calmar -0.5
Vol 2% | MDD -2.9%
Months 13M (8%)
CAGR 0.6% | Win 55%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.4
Vol 2% | MDD -1.6%
Months 31M (18%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
RSI
only
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
MACD × MACDhist
MACDhist
pos
MACDhist
neg
MACD
only
MACD
pos
CAGR 3.4% | Win 70%
Sharpe 1.83 | Sortino 2.64 | Calmar 1.8
Vol 2% | MDD -1.9%
Months 93M (55%)
CAGR 1.7% | Win 61%
Sharpe 0.51 | Sortino 0.59 | Calmar 0.4
Vol 4% | MDD -4.4%
Months 31M (18%)
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
MACD
neg
CAGR 5.9% | Win 50%
Sharpe 2.36 | Sortino 19.47 | Calmar 24.1
Vol 2% | MDD -0.2%
Months 4M (2%)
CAGR -0.5% | Win 52%
Sharpe -0.30 | Sortino -0.39 | Calmar -0.2
Vol 2% | MDD -3.3%
Months 40M (24%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
MACDhist
only
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
MACD × RSIhist
RSIhist
pos
RSIhist
neg
MACD
only
MACD
pos
CAGR 3.1% | Win 66%
Sharpe 1.64 | Sortino 2.44 | Calmar 1.6
Vol 2% | MDD -1.9%
Months 88M (52%)
CAGR 2.9% | Win 72%
Sharpe 0.87 | Sortino 0.92 | Calmar 0.6
Vol 3% | MDD -4.6%
Months 36M (21%)
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
MACD
neg
CAGR 0.6% | Win 36%
Sharpe 0.30 | Sortino 0.55 | Calmar 0.3
Vol 2% | MDD -1.9%
Months 14M (8%)
CAGR -0.2% | Win 60%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.1
Vol 2% | MDD -2.4%
Months 30M (18%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
MACD × LWTI
LWTI
pos
LWTI
neg
MACD
only
MACD
pos
CAGR 3.0% | Win 69%
Sharpe 1.29 | Sortino 1.39 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 118M (70%)
CAGR 3.2% | Win 50%
Sharpe 0.94 | Sortino 4.38 | Calmar 3.6
Vol 3% | MDD -0.9%
Months 6M (4%)
CAGR 3.0% | Win 68%
Sharpe 1.27 | Sortino 1.45 | Calmar 0.7
Vol 2% | MDD -4.6%
Months 124M (74%)
MACD
neg
CAGR -1.0% | Win 50%
Sharpe -0.51 | Sortino -0.69 | Calmar -0.2
Vol 2% | MDD -4.4%
Months 28M (17%)
CAGR 1.9% | Win 56%
Sharpe 1.23 | Sortino 3.67 | Calmar 2.0
Vol 2% | MDD -0.9%
Months 16M (10%)
CAGR 0.0% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar 0.0
Vol 2% | MDD -3.3%
Months 44M (26%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
RSI × MACDhist
MACDhist
pos
MACDhist
neg
RSI
only
RSI
pos
CAGR 3.4% | Win 69%
Sharpe 1.83 | Sortino 2.69 | Calmar 1.8
Vol 2% | MDD -1.9%
Months 96M (57%)
CAGR 0.2% | Win 56%
Sharpe 0.07 | Sortino 0.09 | Calmar 0.0
Vol 3% | MDD -5.1%
Months 39M (23%)
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
RSI
neg
CAGR 15.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 0.8% | Win 56%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.5
Vol 2% | MDD -1.6%
Months 32M (19%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
MACDhist
only
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
RSI × RSIhist
RSIhist
pos
RSIhist
neg
RSI
only
RSI
pos
CAGR 2.8% | Win 63%
Sharpe 1.46 | Sortino 2.19 | Calmar 1.5
Vol 2% | MDD -1.9%
Months 95M (56%)
CAGR 1.8% | Win 70%
Sharpe 0.57 | Sortino 0.63 | Calmar 0.4
Vol 3% | MDD -4.9%
Months 40M (24%)
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
RSI
neg
CAGR 2.1% | Win 43%
Sharpe 1.03 | Sortino 3.71 | Calmar 5.3
Vol 2% | MDD -0.4%
Months 7M (4%)
CAGR 0.9% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.6
Vol 2% | MDD -1.6%
Months 26M (16%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
RSI × LWTI
LWTI
pos
LWTI
neg
RSI
only
RSI
pos
CAGR 2.4% | Win 66%
Sharpe 1.06 | Sortino 1.20 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 129M (77%)
CAGR 3.2% | Win 50%
Sharpe 0.94 | Sortino 4.38 | Calmar 3.6
Vol 3% | MDD -0.9%
Months 6M (4%)
CAGR 2.5% | Win 65%
Sharpe 1.06 | Sortino 1.26 | Calmar 0.5
Vol 2% | MDD -4.9%
Months 135M (80%)
RSI
neg
CAGR 0.5% | Win 59%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.3
Vol 2% | MDD -1.8%
Months 17M (10%)
CAGR 1.9% | Win 56%
Sharpe 1.23 | Sortino 3.67 | Calmar 2.0
Vol 2% | MDD -0.9%
Months 16M (10%)
CAGR 1.2% | Win 58%
Sharpe 0.61 | Sortino 0.91 | Calmar 0.8
Vol 2% | MDD -1.6%
Months 33M (20%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
MACDhist × RSIhist
RSIhist
pos
RSIhist
neg
MACDhist
only
MACDhist
pos
CAGR 3.2% | Win 66%
Sharpe 1.71 | Sortino 2.58 | Calmar 1.7
Vol 2% | MDD -1.9%
Months 84M (50%)
CAGR 5.5% | Win 92%
Sharpe 2.91 | Sortino 0.00 | Calmar 7.3
Vol 2% | MDD -0.8%
Months 13M (8%)
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
MACDhist
neg
CAGR 0.4% | Win 44%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.2
Vol 2% | MDD -2.1%
Months 18M (11%)
CAGR 0.5% | Win 60%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.1
Vol 3% | MDD -4.4%
Months 53M (32%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
RSIhist
only
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
MACDhist × LWTI
LWTI
pos
LWTI
neg
MACDhist
only
MACDhist
pos
CAGR 3.4% | Win 69%
Sharpe 1.83 | Sortino 2.69 | Calmar 1.8
Vol 2% | MDD -1.9%
Months 96M (57%)
CAGR 15.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 3.5% | Win 69%
Sharpe 1.87 | Sortino 2.78 | Calmar 1.9
Vol 2% | MDD -1.9%
Months 97M (58%)
MACDhist
neg
CAGR -0.1% | Win 58%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 3% | MDD -6.0%
Months 50M (30%)
CAGR 1.7% | Win 52%
Sharpe 0.83 | Sortino 2.55 | Calmar 1.8
Vol 2% | MDD -0.9%
Months 21M (12%)
CAGR 0.4% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.1
Vol 3% | MDD -4.8%
Months 71M (42%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)
RSIhist × LWTI
LWTI
pos
LWTI
neg
RSIhist
only
RSIhist
pos
CAGR 2.9% | Win 63%
Sharpe 1.53 | Sortino 2.29 | Calmar 1.5
Vol 2% | MDD -1.9%
Months 93M (55%)
CAGR 0.9% | Win 44%
Sharpe 0.45 | Sortino 1.05 | Calmar 1.3
Vol 2% | MDD -0.6%
Months 9M (5%)
CAGR 2.7% | Win 62%
Sharpe 1.44 | Sortino 2.25 | Calmar 1.4
Vol 2% | MDD -1.9%
Months 102M (61%)
RSIhist
neg
CAGR 1.0% | Win 68%
Sharpe 0.37 | Sortino 0.41 | Calmar 0.2
Vol 3% | MDD -4.6%
Months 53M (32%)
CAGR 3.2% | Win 62%
Sharpe 1.42 | Sortino 6.40 | Calmar 5.8
Vol 2% | MDD -0.6%
Months 13M (8%)
CAGR 1.5% | Win 67%
Sharpe 0.54 | Sortino 0.62 | Calmar 0.3
Vol 3% | MDD -4.6%
Months 66M (39%)
LWTI
only
CAGR 2.2% | Win 65%
Sharpe 0.97 | Sortino 1.13 | Calmar 0.5
Vol 2% | MDD -4.6%
Months 146M (87%)
CAGR 2.2% | Win 55%
Sharpe 1.06 | Sortino 3.43 | Calmar 2.4
Vol 2% | MDD -0.9%
Months 22M (13%)