VUG - Vanguard Morningstar Growth ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

138.1%

Best CAGR

79

Total Months

11.9%

Avg CAGR

VUG 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 VUG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 3 1.1 138.1 100.0 8.1 0.0 0.0 11.2 0.0
pair RSI MACDhist neg-pos 3 1.1 138.1 100.0 8.1 0.0 0.0 11.2 0.0
pair MRmean RSI pos-neg 4 1.5 53.6 100.0 4.8 0.0 0.0 9.2 0.0
pair RSI MRmean pos-neg 4 1.5 53.6 100.0 4.8 0.0 0.0 9.2 0.0
pair RSI LWTI neg-pos 17 6.2 50.5 76.5 2.2 3.5 4.6 19.6 -10.9
pair LWTI RSI neg-pos 17 6.2 50.5 76.5 2.2 3.5 4.6 19.6 -10.9
pair MACDhist MRmean neg-pos 6 2.2 43.8 83.3 2.1 0.0 9.6 18.6 -4.6
pair MRmean MACDhist neg-pos 6 2.2 43.8 83.3 2.1 0.0 9.6 18.6 -4.6
pair RSI RSIhist neg-pos 6 2.2 41.6 83.3 3.4 0.0 29.2 10.4 -1.4
pair RSIhist RSI neg-pos 6 2.2 41.6 83.3 3.4 0.0 29.2 10.4 -1.4
pair RSI SLmean pos-neg 6 2.2 41.6 83.3 3.4 0.0 29.2 10.4 -1.4
pair SLmean RSI pos-neg 6 2.2 41.6 83.3 3.4 0.0 29.2 10.4 -1.4
pair LWTI MRmean pos-neg 7 2.6 38.7 85.7 3.4 0.0 29.4 10.0 -1.3
pair MRmean LWTI pos-neg 7 2.6 38.7 85.7 3.4 0.0 29.4 10.0 -1.3
pair LWTI RSIhist pos-neg 9 3.3 34.4 77.8 3.0 112.3 12.6 10.3 -2.7
pair RSIhist LWTI pos-neg 9 3.3 34.4 77.8 3.0 112.3 12.6 10.3 -2.7
pair MACD MACDhist neg-pos 7 2.6 33.4 71.4 2.2 3.7 7.3 13.7 -4.6
pair MACDhist MACD neg-pos 7 2.6 33.4 71.4 2.2 3.7 7.3 13.7 -4.6
pair MRmean LWTI neg-pos 38 13.9 30.7 60.5 1.4 3.1 2.6 20.3 -11.8
pair LWTI MRmean neg-pos 38 13.9 30.7 60.5 1.4 3.1 2.6 20.3 -11.8
pair RSI MACD pos-neg 13 4.8 23.6 69.2 0.8 1.2 1.3 32.9 -17.8
pair MACD RSI pos-neg 13 4.8 23.6 69.2 0.8 1.2 1.3 32.9 -17.8
pair RSI RSmean pos-neg 29 10.6 23.3 69.0 0.9 1.5 0.7 27.0 -33.1
pair RSmean RSI pos-neg 29 10.6 23.3 69.0 0.9 1.5 0.7 27.0 -33.1
pair SLmean MACD pos-neg 25 9.2 23.1 64.0 2.1 4.7 5.0 10.4 -4.6
pair MACD SLmean pos-neg 25 9.2 23.1 64.0 2.1 4.7 5.0 10.4 -4.6
pair RSIhist SLmean pos-neg 48 17.6 23.0 72.9 1.6 2.2 1.8 14.0 -13.1
pair SLmean RSIhist pos-neg 48 17.6 23.0 72.9 1.6 2.2 1.8 14.0 -13.1
pair LWTI SLmean pos-neg 10 3.7 22.7 70.0 1.7 2.9 3.0 12.7 -7.6
pair SLmean LWTI pos-neg 10 3.7 22.7 70.0 1.7 2.9 3.0 12.7 -7.6
pair MACD RSIhist neg-pos 27 9.9 21.3 63.0 1.9 4.2 4.6 10.6 -4.6
pair RSIhist MACD neg-pos 27 9.9 21.3 63.0 1.9 4.2 4.6 10.6 -4.6
single RSI RSI neg-neg 37 13.6 21.3 70.3 0.9 1.3 0.6 24.0 -33.1
pair MACD MRmean pos-neg 24 8.8 20.7 62.5 1.8 4.1 4.5 10.6 -4.6
pair MRmean MACD pos-neg 24 8.8 20.7 62.5 1.8 4.1 4.5 10.6 -4.6
pair RSI MACD neg-neg 24 8.8 20.1 70.8 1.1 1.6 1.1 18.3 -18.6
pair MACD RSI neg-neg 24 8.8 20.1 70.8 1.1 1.6 1.1 18.3 -18.6
pair LWTI MACD neg-neg 18 6.6 19.9 66.7 1.0 1.8 1.7 21.1 -12.0
pair LWTI RSIhist neg-pos 98 35.9 19.9 64.3 1.1 1.7 0.9 18.7 -23.1
pair MACD LWTI neg-neg 18 6.6 19.9 66.7 1.0 1.8 1.7 21.1 -12.0
pair RSIhist LWTI neg-pos 98 35.9 19.9 64.3 1.1 1.7 0.9 18.7 -23.1
pair RSmean MACD pos-neg 35 12.8 19.3 62.9 1.1 1.8 1.0 16.8 -18.9
pair MACD RSmean pos-neg 35 12.8 19.3 62.9 1.1 1.8 1.0 16.8 -18.9
pair LWTI MACDhist pos-neg 2 0.7 19.1 50.0 1.3 0.0 14.5 13.8 -1.3
pair MACDhist LWTI pos-neg 2 0.7 19.1 50.0 1.3 0.0 14.5 13.8 -1.3
pair RSI MRmean neg-neg 33 12.1 17.9 66.7 0.8 1.1 0.5 25.2 -33.1
pair MRmean RSI neg-neg 33 12.1 17.9 66.7 0.8 1.1 0.5 25.2 -33.1
pair RSI SLmean neg-neg 31 11.4 17.7 67.7 0.8 1.1 0.5 25.9 -33.1
pair RSIhist RSI neg-neg 31 11.4 17.7 67.7 0.8 1.1 0.5 25.9 -33.1
pair SLmean RSI neg-neg 31 11.4 17.7 67.7 0.8 1.1 0.5 25.9 -33.1
pair RSI RSIhist neg-neg 31 11.4 17.7 67.7 0.8 1.1 0.5 25.9 -33.1
pair LWTI MACDhist neg-pos 83 30.4 17.7 56.6 1.0 1.7 0.8 17.3 -22.4
pair MACDhist LWTI neg-pos 83 30.4 17.7 56.6 1.0 1.7 0.8 17.3 -22.4
pair SLmean MACDhist pos-neg 52 19.0 17.1 61.5 1.4 2.1 1.9 12.2 -9.1
pair MACDhist SLmean pos-neg 52 19.0 17.1 61.5 1.4 2.1 1.9 12.2 -9.1
pair RSmean MRmean neg-pos 43 15.8 16.6 58.1 0.7 1.2 0.4 26.7 -40.6
pair MRmean RSmean neg-pos 43 15.8 16.6 58.1 0.7 1.2 0.4 26.7 -40.6
pair MRmean MACD neg-pos 32 11.7 16.2 56.2 0.7 1.1 0.6 27.3 -27.3
pair MACD MRmean neg-pos 32 11.7 16.2 56.2 0.7 1.1 0.6 27.3 -27.3
pair LWTI RSmean pos-pos 230 84.2 15.0 63.5 1.0 1.5 0.5 15.7 -30.4
pair RSmean LWTI pos-pos 230 84.2 15.0 63.5 1.0 1.5 0.5 15.7 -30.4
pair RSIhist MACD pos-neg 93 34.1 14.7 63.4 0.8 1.1 0.5 21.2 -32.3
pair SLmean LWTI neg-pos 53 19.4 14.7 54.7 0.7 1.4 0.6 22.1 -23.1
pair LWTI SLmean neg-pos 53 19.4 14.7 54.7 0.7 1.4 0.6 22.1 -23.1
pair MACD RSIhist pos-neg 93 34.1 14.7 63.4 0.8 1.1 0.5 21.2 -32.3
pair MACDhist RSmean pos-neg 88 32.2 14.6 59.1 0.8 1.1 0.3 21.1 -43.9
pair RSmean MACDhist pos-neg 88 32.2 14.6 59.1 0.8 1.1 0.3 21.1 -43.9
pair RSmean RSIhist pos-neg 100 36.6 14.5 63.0 0.7 1.1 0.4 22.0 -40.6
pair RSIhist RSmean pos-neg 100 36.6 14.5 63.0 0.7 1.1 0.4 22.0 -40.6
pair RSmean SLmean pos-pos 200 73.3 14.4 65.5 1.1 1.7 0.9 13.0 -15.2
pair SLmean RSmean pos-pos 200 73.3 14.4 65.5 1.1 1.7 0.9 13.0 -15.2
pair RSI RSmean neg-neg 8 2.9 14.3 75.0 2.4 590.6 15.3 5.6 -0.9
pair RSmean RSI neg-neg 8 2.9 14.3 75.0 2.4 590.6 15.3 5.6 -0.9
pair MACDhist RSI neg-neg 34 12.5 14.3 67.6 0.7 0.9 0.4 24.1 -33.1
pair MACDhist MRmean pos-neg 56 20.5 14.3 60.7 1.0 1.3 1.0 14.4 -14.6
pair MRmean MACDhist pos-neg 56 20.5 14.3 60.7 1.0 1.3 1.0 14.4 -14.6
pair SLmean MRmean pos-pos 202 74.0 14.3 65.3 1.1 1.7 1.0 12.9 -14.0
pair RSI MACDhist neg-neg 34 12.5 14.3 67.6 0.7 0.9 0.4 24.1 -33.1
pair MRmean SLmean pos-pos 202 74.0 14.3 65.3 1.1 1.7 1.0 12.9 -14.0
pair LWTI MACD pos-pos 218 79.9 14.2 63.3 0.9 1.5 0.5 15.9 -30.4
pair MACD LWTI pos-pos 218 79.9 14.2 63.3 0.9 1.5 0.5 15.9 -30.4
single MACD MACD neg-neg 48 17.6 14.1 60.4 0.9 1.5 0.8 15.2 -18.9
single SLmean SLmean pos-pos 205 75.1 14.0 64.9 1.1 1.6 0.9 12.9 -15.2
pair SLmean MRmean neg-neg 53 19.4 13.8 58.5 0.7 1.0 0.3 24.3 -40.9
single LWTI LWTI pos-pos 248 90.8 13.8 62.5 0.9 1.5 0.5 15.3 -30.4
pair MRmean SLmean neg-neg 53 19.4 13.8 58.5 0.7 1.0 0.3 24.3 -40.9
pair LWTI SLmean pos-pos 195 71.4 13.5 64.6 1.1 1.6 1.0 12.9 -14.0
pair SLmean LWTI pos-pos 195 71.4 13.5 64.6 1.1 1.6 1.0 12.9 -14.0
pair RSIhist MACDhist pos-neg 41 15.0 13.3 68.3 0.8 1.3 0.8 18.0 -16.2
pair MACDhist RSIhist pos-neg 41 15.0 13.3 68.3 0.8 1.3 0.8 18.0 -16.2
pair RSI SLmean pos-pos 199 72.9 13.2 64.3 1.0 1.6 0.9 12.9 -15.1
pair SLmean RSI pos-pos 199 72.9 13.2 64.3 1.0 1.6 0.9 12.9 -15.1
pair MRmean RSIhist pos-neg 62 22.7 13.1 66.1 0.8 1.1 0.8 17.4 -17.4
pair RSIhist MRmean pos-neg 62 22.7 13.1 66.1 0.8 1.1 0.8 17.4 -17.4
pair SLmean MACDhist pos-pos 153 56.0 12.9 66.0 1.0 1.5 1.0 13.2 -12.7
pair MACDhist SLmean pos-pos 153 56.0 12.9 66.0 1.0 1.5 1.0 13.2 -12.7
single RSmean RSmean pos-pos 255 93.4 12.9 63.1 0.8 1.2 0.3 16.9 -46.3
single RSIhist RSIhist neg-neg 114 41.8 12.9 62.3 0.7 1.0 0.3 20.9 -41.5
pair MACDhist RSIhist neg-neg 73 26.7 12.8 58.9 0.7 0.9 0.3 22.5 -40.9
pair RSIhist MACDhist neg-neg 73 26.7 12.8 58.9 0.7 0.9 0.3 22.5 -40.9
pair MACD SLmean pos-pos 180 65.9 12.8 65.0 1.0 1.5 0.5 13.2 -23.7
pair SLmean MACD pos-pos 180 65.9 12.8 65.0 1.0 1.5 0.5 13.2 -23.7
pair RSIhist MRmean neg-neg 52 19.0 12.7 57.7 0.6 1.0 0.3 24.6 -40.9
pair MRmean RSIhist neg-neg 52 19.0 12.7 57.7 0.6 1.0 0.3 24.6 -40.9
single MRmean MRmean neg-neg 56 20.5 12.6 57.1 0.6 1.0 0.3 23.9 -40.9
pair MACDhist MACD pos-neg 65 23.8 12.4 56.9 0.6 0.9 0.4 22.0 -32.2
pair MACD MACDhist pos-neg 65 23.8 12.4 56.9 0.6 0.9 0.4 22.0 -32.2
pair MRmean RSmean pos-pos 212 77.7 12.1 64.2 0.9 1.3 0.6 14.2 -21.1
pair RSmean MRmean pos-pos 212 77.7 12.1 64.2 0.9 1.3 0.6 14.2 -21.1
single MACDhist MACDhist pos-pos 167 61.2 12.0 65.3 0.9 1.4 0.7 14.2 -18.2
pair RSmean MACDhist pos-pos 167 61.2 12.0 65.3 0.9 1.4 0.7 14.2 -18.2
pair MACDhist RSmean pos-pos 167 61.2 12.0 65.3 0.9 1.4 0.7 14.2 -18.2
single MACDhist MACDhist neg-neg 106 38.8 11.9 57.5 0.7 0.9 0.3 19.7 -44.8
pair LWTI MACDhist pos-pos 165 60.4 11.9 65.5 0.9 1.3 0.7 14.2 -18.2
pair benchmark___benchmark_ benchmark-benchmark 273 100.0 11.9 62.3 0.8 1.1 0.2 16.5 -47.2
pair benchmark___benchmark_ benchmark-benchmark 273 100.0 11.9 62.3 0.8 1.1 0.2 16.5 -47.2
pair RSmean MACD pos-pos 220 80.6 11.9 63.2 0.8 1.1 0.3 16.9 -42.1
pair MACD RSmean pos-pos 220 80.6 11.9 63.2 0.8 1.1 0.3 16.9 -42.1
pair MACDhist LWTI pos-pos 165 60.4 11.9 65.5 0.9 1.3 0.7 14.2 -18.2
pair RSmean RSIhist pos-pos 155 56.8 11.8 63.2 1.0 1.5 0.8 12.5 -15.3
single MRmean MRmean pos-pos 217 79.5 11.8 63.6 0.9 1.2 0.6 14.1 -21.1
pair RSIhist RSmean pos-pos 155 56.8 11.8 63.2 1.0 1.5 0.8 12.5 -15.3
pair RSmean RSI pos-pos 226 82.8 11.6 62.4 0.8 1.2 0.4 15.1 -29.0
pair RSI RSmean pos-pos 226 82.8 11.6 62.4 0.8 1.2 0.4 15.1 -29.0
pair RSI LWTI pos-pos 231 84.6 11.5 61.5 0.8 1.2 0.5 14.8 -21.8
pair LWTI RSI pos-pos 231 84.6 11.5 61.5 0.8 1.2 0.5 14.8 -21.8
single MACD MACD pos-pos 225 82.4 11.5 62.7 0.7 1.0 0.3 16.8 -43.0
pair MACDhist RSIhist pos-pos 126 46.2 11.5 64.3 0.9 1.4 0.8 12.8 -15.5
pair RSIhist MACDhist pos-pos 126 46.2 11.5 64.3 0.9 1.4 0.8 12.8 -15.5
pair RSIhist SLmean pos-pos 157 57.5 11.3 62.4 0.9 1.4 0.7 12.5 -15.3
pair SLmean RSIhist pos-pos 157 57.5 11.3 62.4 0.9 1.4 0.7 12.5 -15.3
pair MRmean RSIhist pos-pos 155 56.8 11.2 62.6 0.9 1.4 0.7 12.5 -15.3
pair RSIhist MRmean pos-pos 155 56.8 11.2 62.6 0.9 1.4 0.7 12.5 -15.3
single RSIhist RSIhist pos-pos 159 58.2 11.2 62.3 0.9 1.4 0.7 12.5 -15.3
pair RSI RSIhist pos-neg 83 30.4 11.2 60.2 0.7 1.0 0.4 18.8 -29.4
pair RSIhist RSI pos-neg 83 30.4 11.2 60.2 0.7 1.0 0.4 18.8 -29.4
pair MACD MACDhist neg-neg 41 15.0 11.1 58.5 0.8 1.2 0.6 15.4 -18.9
pair MACDhist MACD neg-neg 41 15.0 11.1 58.5 0.8 1.2 0.6 15.4 -18.9
pair MACD MACDhist pos-pos 160 58.6 11.1 65.0 0.8 1.2 0.5 14.2 -21.8
pair MACDhist MACD pos-pos 160 58.6 11.1 65.0 0.8 1.2 0.5 14.2 -21.8
pair MRmean RSI pos-pos 213 78.0 11.1 62.9 0.8 1.2 0.5 14.1 -21.1
pair RSI MRmean pos-pos 213 78.0 11.1 62.9 0.8 1.2 0.5 14.1 -21.1
pair LWTI MRmean pos-pos 210 76.9 11.0 62.9 0.8 1.2 0.5 14.1 -21.1
pair MRmean LWTI pos-pos 210 76.9 11.0 62.9 0.8 1.2 0.5 14.1 -21.1
pair MRmean MACDhist pos-pos 161 59.0 10.9 64.6 0.8 1.2 0.6 14.0 -17.9
pair MACDhist MRmean pos-pos 161 59.0 10.9 64.6 0.8 1.2 0.6 14.0 -17.9
pair RSI MACD pos-pos 212 77.7 10.8 62.3 0.7 1.1 0.3 15.4 -38.4
pair MACD RSI pos-pos 212 77.7 10.8 62.3 0.7 1.1 0.3 15.4 -38.4
pair MACDhist RSI pos-neg 72 26.4 10.8 52.8 0.7 1.1 0.6 17.3 -19.1
pair RSI MACDhist pos-neg 72 26.4 10.8 52.8 0.7 1.1 0.6 17.3 -19.1
pair MACD LWTI neg-pos 30 11.0 10.8 56.7 1.0 1.8 1.6 10.5 -6.7
pair LWTI MACD neg-pos 30 11.0 10.8 56.7 1.0 1.8 1.6 10.5 -6.7
pair MACD MRmean pos-pos 193 70.7 10.7 63.7 0.8 1.1 0.4 14.4 -28.1
pair MRmean MACD pos-pos 193 70.7 10.7 63.7 0.8 1.1 0.4 14.4 -28.1
pair MRmean RSIhist neg-pos 4 1.5 10.6 50.0 0.8 2.6 3.4 13.0 -3.1
pair RSIhist MRmean neg-pos 4 1.5 10.6 50.0 0.8 2.6 3.4 13.0 -3.1
single RSI RSI pos-pos 236 86.4 10.5 61.0 0.7 1.1 0.3 15.0 -30.2
pair RSI MACDhist pos-pos 164 60.1 10.4 64.6 0.8 1.2 0.6 13.9 -18.2
pair MACDhist RSI pos-pos 164 60.1 10.4 64.6 0.8 1.2 0.6 13.9 -18.2
pair RSIhist RSI pos-pos 153 56.0 10.2 61.4 0.8 1.3 0.7 12.5 -15.3
pair RSI RSIhist pos-pos 153 56.0 10.2 61.4 0.8 1.3 0.7 12.5 -15.3
pair RSIhist MACDhist neg-pos 33 12.1 10.0 54.5 0.9 1.4 1.3 11.6 -7.7
pair MACDhist RSIhist neg-pos 33 12.1 10.0 54.5 0.9 1.4 1.3 11.6 -7.7
pair RSIhist LWTI pos-pos 150 54.9 10.0 61.3 0.8 1.3 0.7 12.6 -15.3
pair LWTI RSIhist pos-pos 150 54.9 10.0 61.3 0.8 1.3 0.7 12.6 -15.3
pair MRmean MACDhist neg-neg 50 18.3 9.3 54.0 0.5 0.8 0.2 24.4 -40.9
pair MACDhist MRmean neg-neg 50 18.3 9.3 54.0 0.5 0.8 0.2 24.4 -40.9
pair RSIhist MACD pos-pos 132 48.4 9.3 62.1 0.8 1.1 0.5 12.8 -20.1
pair MACD RSIhist pos-pos 132 48.4 9.3 62.1 0.8 1.1 0.5 12.8 -20.1
pair RSI MACD neg-pos 24 8.8 8.4 50.0 0.8 1.5 1.0 11.4 -8.5
pair MACD RSI neg-pos 24 8.8 8.4 50.0 0.8 1.5 1.0 11.4 -8.5
pair MACD MRmean neg-neg 24 8.8 7.8 58.3 0.5 0.9 0.4 18.8 -18.6
pair MRmean MACD neg-neg 24 8.8 7.8 58.3 0.5 0.9 0.4 18.8 -18.6
pair RSmean SLmean neg-pos 55 20.1 7.5 54.5 0.4 0.7 0.2 26.8 -40.6
pair SLmean RSmean neg-pos 55 20.1 7.5 54.5 0.4 0.7 0.2 26.8 -40.6
pair MACDhist SLmean neg-neg 54 19.8 7.1 53.7 0.4 0.6 0.2 24.9 -40.9
pair SLmean MACDhist neg-neg 54 19.8 7.1 53.7 0.4 0.6 0.2 24.9 -40.9
pair SLmean MACD neg-pos 45 16.5 6.5 53.3 0.4 0.6 0.2 26.9 -31.5
pair MACD SLmean neg-pos 45 16.5 6.5 53.3 0.4 0.6 0.2 26.9 -31.5
pair RSIhist SLmean neg-neg 66 24.2 6.2 54.5 0.4 0.6 0.1 24.7 -40.9
pair SLmean RSIhist neg-neg 66 24.2 6.2 54.5 0.4 0.6 0.1 24.7 -40.9
single SLmean SLmean neg-neg 68 24.9 6.0 54.4 0.4 0.6 0.1 24.4 -40.9
pair MACD RSIhist neg-neg 21 7.7 5.4 57.1 0.4 0.7 0.3 19.7 -18.6
pair RSIhist MACD neg-neg 21 7.7 5.4 57.1 0.4 0.7 0.3 19.7 -18.6
pair RSI MRmean neg-pos 23 8.4 5.3 43.5 0.3 0.7 0.3 22.2 -17.0
pair MRmean RSI neg-pos 23 8.4 5.3 43.5 0.3 0.7 0.3 22.2 -17.0
pair MACD SLmean neg-neg 23 8.4 5.1 56.5 0.3 0.6 0.3 19.1 -19.0
pair SLmean MACD neg-neg 23 8.4 5.1 56.5 0.3 0.6 0.3 19.1 -19.0
pair RSmean RSIhist neg-neg 14 5.1 2.4 57.1 0.3 0.4 0.4 8.6 -6.7
pair RSIhist RSmean neg-neg 14 5.1 2.4 57.1 0.3 0.4 0.4 8.6 -6.7
pair SLmean MACDhist neg-pos 14 5.1 1.9 57.1 0.2 0.4 0.1 23.1 -16.2
pair MACDhist SLmean neg-pos 14 5.1 1.9 57.1 0.2 0.4 0.1 23.1 -16.2
pair SLmean RSIhist neg-pos 2 0.7 1.6 50.0 0.1 0.0 0.5 16.3 -3.1
pair RSIhist SLmean neg-pos 2 0.7 1.6 50.0 0.1 0.0 0.5 16.3 -3.1
pair RSmean MACD neg-neg 13 4.8 1.3 53.8 0.2 0.2 0.2 9.3 -6.7
pair MACD RSmean neg-neg 13 4.8 1.3 53.8 0.2 0.2 0.2 9.3 -6.7
pair RSI LWTI neg-neg 20 7.3 0.9 65.0 0.2 0.2 0.0 26.6 -33.1
pair LWTI RSI neg-neg 20 7.3 0.9 65.0 0.2 0.2 0.0 26.6 -33.1
pair RSmean MRmean neg-neg 13 4.8 0.0 53.8 0.1 0.1 0.0 9.4 -6.7
pair MRmean RSmean neg-neg 13 4.8 0.0 53.8 0.1 0.1 0.0 9.4 -6.7
pair SLmean RSmean neg-neg 13 4.8 0.0 53.8 0.1 0.1 0.0 9.4 -6.7
pair RSmean SLmean neg-neg 13 4.8 0.0 53.8 0.1 0.1 0.0 9.4 -6.7
pair LWTI RSmean neg-pos 18 6.6 -0.5 50.0 -0.0 -0.0 -0.1 9.0 -8.8
pair RSmean MACDhist neg-neg 18 6.6 -0.5 50.0 -0.0 -0.0 -0.1 9.0 -8.8
single RSmean RSmean neg-neg 18 6.6 -0.5 50.0 -0.0 -0.0 -0.1 9.0 -8.8
pair RSmean LWTI neg-pos 18 6.6 -0.5 50.0 -0.0 -0.0 -0.1 9.0 -8.8
pair MACDhist RSmean neg-neg 18 6.6 -0.5 50.0 -0.0 -0.0 -0.1 9.0 -8.8
pair SLmean RSmean pos-neg 5 1.8 -1.8 40.0 -0.2 -0.3 -0.5 8.8 -4.0
pair RSmean SLmean pos-neg 5 1.8 -1.8 40.0 -0.2 -0.3 -0.5 8.8 -4.0
pair MRmean RSmean pos-neg 5 1.8 -1.8 40.0 -0.2 -0.3 -0.5 8.8 -4.0
pair RSmean MRmean pos-neg 5 1.8 -1.8 40.0 -0.2 -0.3 -0.5 8.8 -4.0
pair SLmean RSI neg-pos 37 13.6 -2.9 43.2 -0.0 -0.0 -0.1 23.1 -31.1
pair RSI SLmean neg-pos 37 13.6 -2.9 43.2 -0.0 -0.0 -0.1 23.1 -31.1
pair RSmean LWTI pos-neg 25 9.2 -5.0 60.0 -0.1 -0.1 -0.1 25.5 -40.6
pair LWTI RSmean pos-neg 25 9.2 -5.0 60.0 -0.1 -0.1 -0.1 25.5 -40.6
single LWTI LWTI neg-neg 25 9.2 -5.0 60.0 -0.1 -0.1 -0.1 25.5 -40.6
pair RSmean MACD neg-pos 5 1.8 -5.0 40.0 -0.5 -1.0 -2.2 9.1 -2.3
pair MACD RSmean neg-pos 5 1.8 -5.0 40.0 -0.5 -1.0 -2.2 9.1 -2.3
pair MACDhist LWTI neg-neg 23 8.4 -6.8 60.9 -0.1 -0.2 -0.2 26.4 -40.6
pair LWTI MACDhist neg-neg 23 8.4 -6.8 60.9 -0.1 -0.2 -0.2 26.4 -40.6
pair SLmean MRmean neg-pos 3 1.1 -7.9 33.3 -0.4 -0.8 -1.2 16.8 -6.4
pair MRmean SLmean neg-pos 3 1.1 -7.9 33.3 -0.4 -0.8 -1.2 16.8 -6.4
pair RSIhist RSmean neg-pos 4 1.5 -9.9 25.0 -0.9 -1.7 -1.5 11.1 -6.7
pair RSmean RSIhist neg-pos 4 1.5 -9.9 25.0 -0.9 -1.7 -1.5 11.1 -6.7
pair RSI RSmean neg-pos 10 3.7 -10.9 30.0 -1.1 -1.7 -1.0 10.2 -11.0
pair RSmean RSI neg-pos 10 3.7 -10.9 30.0 -1.1 -1.7 -1.0 10.2 -11.0
pair MRmean SLmean pos-neg 15 5.5 -17.5 40.0 -0.7 -1.2 -0.6 24.4 -30.4
pair SLmean MRmean pos-neg 15 5.5 -17.5 40.0 -0.7 -1.2 -0.6 24.4 -30.4
pair MRmean LWTI neg-neg 18 6.6 -18.0 50.0 -0.6 -1.0 -0.4 28.7 -40.6
pair LWTI MRmean neg-neg 18 6.6 -18.0 50.0 -0.6 -1.0 -0.4 28.7 -40.6
pair SLmean LWTI neg-neg 15 5.5 -19.8 53.3 -0.6 -1.2 -0.5 30.9 -40.6
pair LWTI SLmean neg-neg 15 5.5 -19.8 53.3 -0.6 -1.2 -0.5 30.9 -40.6
pair LWTI RSIhist neg-neg 16 5.9 -21.8 50.0 -0.7 -1.4 -0.5 30.0 -40.6
pair RSIhist LWTI neg-neg 16 5.9 -21.8 50.0 -0.7 -1.4 -0.5 30.0 -40.6
pair LWTI RSI pos-neg 5 1.8 -25.4 40.0 -1.3 -1.6 -4.1 21.5 -6.2
pair RSI LWTI pos-neg 5 1.8 -25.4 40.0 -1.3 -1.6 -4.1 21.5 -6.2
pair MACD LWTI pos-neg 7 2.6 -47.7 42.9 -2.0 -3.2 -1.3 29.9 -37.9
pair LWTI MACD pos-neg 7 2.6 -47.7 42.9 -2.0 -3.2 -1.3 29.9 -37.9

All Contingency Tables for VUG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 14.3% | Win 65%
Sharpe 1.11 | Sortino 1.68 | Calmar 1.0
Vol 13% | MDD -14.0%
Months 202M (74%)
CAGR -17.5% | Win 40%
Sharpe -0.67 | Sortino -1.24 | Calmar -0.6
Vol 24% | MDD -30.4%
Months 15M (6%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR -7.9% | Win 33%
Sharpe -0.43 | Sortino -0.82 | Calmar -1.2
Vol 17% | MDD -6.4%
Months 3M (1%)
CAGR 13.8% | Win 58%
Sharpe 0.66 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 53M (19%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
SLmean
only
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 64%
Sharpe 0.88 | Sortino 1.28 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 212M (78%)
CAGR -1.8% | Win 40%
Sharpe -0.18 | Sortino -0.27 | Calmar -0.5
Vol 9% | MDD -4.0%
Months 5M (2%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 16.6% | Win 58%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.4
Vol 27% | MDD -40.6%
Months 43M (16%)
CAGR 0.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -6.7%
Months 13M (5%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
RSmean
only
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.7% | Win 64%
Sharpe 0.78 | Sortino 1.13 | Calmar 0.4
Vol 14% | MDD -28.1%
Months 193M (71%)
CAGR 20.7% | Win 62%
Sharpe 1.84 | Sortino 4.09 | Calmar 4.5
Vol 11% | MDD -4.6%
Months 24M (9%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 16.2% | Win 56%
Sharpe 0.69 | Sortino 1.05 | Calmar 0.6
Vol 27% | MDD -27.3%
Months 32M (12%)
CAGR 7.8% | Win 58%
Sharpe 0.49 | Sortino 0.86 | Calmar 0.4
Vol 19% | MDD -18.6%
Months 24M (9%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
MACD
only
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.1% | Win 63%
Sharpe 0.82 | Sortino 1.19 | Calmar 0.5
Vol 14% | MDD -21.1%
Months 213M (78%)
CAGR 53.6% | Win 100%
Sharpe 4.78 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 4M (2%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 5.3% | Win 44%
Sharpe 0.34 | Sortino 0.66 | Calmar 0.3
Vol 22% | MDD -17.0%
Months 23M (8%)
CAGR 17.9% | Win 67%
Sharpe 0.78 | Sortino 1.11 | Calmar 0.5
Vol 25% | MDD -33.1%
Months 33M (12%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
RSI
only
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 65%
Sharpe 0.81 | Sortino 1.24 | Calmar 0.6
Vol 14% | MDD -17.9%
Months 161M (59%)
CAGR 14.3% | Win 61%
Sharpe 1.01 | Sortino 1.30 | Calmar 1.0
Vol 14% | MDD -14.6%
Months 56M (20%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 43.8% | Win 83%
Sharpe 2.06 | Sortino 0.00 | Calmar 9.6
Vol 19% | MDD -4.6%
Months 6M (2%)
CAGR 9.3% | Win 54%
Sharpe 0.48 | Sortino 0.76 | Calmar 0.2
Vol 24% | MDD -40.9%
Months 50M (18%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
MACDhist
only
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 63%
Sharpe 0.92 | Sortino 1.40 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 155M (57%)
CAGR 13.1% | Win 66%
Sharpe 0.80 | Sortino 1.13 | Calmar 0.8
Vol 17% | MDD -17.4%
Months 62M (23%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 10.6% | Win 50%
Sharpe 0.82 | Sortino 2.57 | Calmar 3.4
Vol 13% | MDD -3.1%
Months 4M (2%)
CAGR 12.7% | Win 58%
Sharpe 0.61 | Sortino 0.96 | Calmar 0.3
Vol 25% | MDD -40.9%
Months 52M (19%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.0% | Win 63%
Sharpe 0.81 | Sortino 1.18 | Calmar 0.5
Vol 14% | MDD -21.1%
Months 210M (77%)
CAGR 38.7% | Win 86%
Sharpe 3.36 | Sortino 0.00 | Calmar 29.4
Vol 10% | MDD -1.3%
Months 7M (3%)
CAGR 11.8% | Win 64%
Sharpe 0.87 | Sortino 1.25 | Calmar 0.6
Vol 14% | MDD -21.1%
Months 217M (80%)
MRmean
neg
CAGR 30.7% | Win 60%
Sharpe 1.43 | Sortino 3.09 | Calmar 2.6
Vol 20% | MDD -11.8%
Months 38M (14%)
CAGR -18.0% | Win 50%
Sharpe -0.55 | Sortino -0.97 | Calmar -0.4
Vol 29% | MDD -40.6%
Months 18M (7%)
CAGR 12.6% | Win 57%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -40.9%
Months 56M (20%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 14.4% | Win 66%
Sharpe 1.11 | Sortino 1.68 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 200M (73%)
CAGR -1.8% | Win 40%
Sharpe -0.18 | Sortino -0.27 | Calmar -0.5
Vol 9% | MDD -4.0%
Months 5M (2%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR 7.5% | Win 55%
Sharpe 0.40 | Sortino 0.71 | Calmar 0.2
Vol 27% | MDD -40.6%
Months 55M (20%)
CAGR 0.0% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 9% | MDD -6.7%
Months 13M (5%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
RSmean
only
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 12.8% | Win 65%
Sharpe 0.98 | Sortino 1.49 | Calmar 0.5
Vol 13% | MDD -23.7%
Months 180M (66%)
CAGR 23.1% | Win 64%
Sharpe 2.06 | Sortino 4.65 | Calmar 5.0
Vol 10% | MDD -4.6%
Months 25M (9%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR 6.5% | Win 53%
Sharpe 0.37 | Sortino 0.60 | Calmar 0.2
Vol 27% | MDD -31.5%
Months 45M (16%)
CAGR 5.1% | Win 56%
Sharpe 0.35 | Sortino 0.64 | Calmar 0.3
Vol 19% | MDD -19.0%
Months 23M (8%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
MACD
only
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 13.2% | Win 64%
Sharpe 1.03 | Sortino 1.57 | Calmar 0.9
Vol 13% | MDD -15.1%
Months 199M (73%)
CAGR 41.6% | Win 83%
Sharpe 3.43 | Sortino 0.00 | Calmar 29.2
Vol 10% | MDD -1.4%
Months 6M (2%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR -2.9% | Win 43%
Sharpe -0.01 | Sortino -0.03 | Calmar -0.1
Vol 23% | MDD -31.1%
Months 37M (14%)
CAGR 17.7% | Win 68%
Sharpe 0.76 | Sortino 1.12 | Calmar 0.5
Vol 26% | MDD -33.1%
Months 31M (11%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
RSI
only
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.9% | Win 66%
Sharpe 0.99 | Sortino 1.52 | Calmar 1.0
Vol 13% | MDD -12.7%
Months 153M (56%)
CAGR 17.1% | Win 62%
Sharpe 1.36 | Sortino 2.12 | Calmar 1.9
Vol 12% | MDD -9.1%
Months 52M (19%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR 1.9% | Win 57%
Sharpe 0.19 | Sortino 0.42 | Calmar 0.1
Vol 23% | MDD -16.2%
Months 14M (5%)
CAGR 7.1% | Win 54%
Sharpe 0.40 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -40.9%
Months 54M (20%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
MACDhist
only
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 62%
Sharpe 0.93 | Sortino 1.42 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 157M (58%)
CAGR 23.0% | Win 73%
Sharpe 1.56 | Sortino 2.21 | Calmar 1.8
Vol 14% | MDD -13.1%
Months 48M (18%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR 1.6% | Win 50%
Sharpe 0.14 | Sortino 0.00 | Calmar 0.5
Vol 16% | MDD -3.1%
Months 2M (1%)
CAGR 6.2% | Win 55%
Sharpe 0.36 | Sortino 0.60 | Calmar 0.2
Vol 25% | MDD -40.9%
Months 66M (24%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.5% | Win 65%
Sharpe 1.05 | Sortino 1.59 | Calmar 1.0
Vol 13% | MDD -14.0%
Months 195M (71%)
CAGR 22.7% | Win 70%
Sharpe 1.68 | Sortino 2.94 | Calmar 3.0
Vol 13% | MDD -7.6%
Months 10M (4%)
CAGR 14.0% | Win 65%
Sharpe 1.08 | Sortino 1.65 | Calmar 0.9
Vol 13% | MDD -15.2%
Months 205M (75%)
SLmean
neg
CAGR 14.7% | Win 55%
Sharpe 0.73 | Sortino 1.36 | Calmar 0.6
Vol 22% | MDD -23.1%
Months 53M (19%)
CAGR -19.8% | Win 53%
Sharpe -0.56 | Sortino -1.23 | Calmar -0.5
Vol 31% | MDD -40.6%
Months 15M (6%)
CAGR 6.0% | Win 54%
Sharpe 0.36 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -40.9%
Months 68M (25%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.9% | Win 63%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.3
Vol 17% | MDD -42.1%
Months 220M (81%)
CAGR 19.3% | Win 63%
Sharpe 1.14 | Sortino 1.80 | Calmar 1.0
Vol 17% | MDD -18.9%
Months 35M (13%)
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
RSmean
neg
CAGR -5.0% | Win 40%
Sharpe -0.52 | Sortino -1.03 | Calmar -2.2
Vol 9% | MDD -2.3%
Months 5M (2%)
CAGR 1.3% | Win 54%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.2
Vol 9% | MDD -6.7%
Months 13M (5%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
MACD
only
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.6% | Win 62%
Sharpe 0.80 | Sortino 1.20 | Calmar 0.4
Vol 15% | MDD -29.0%
Months 226M (83%)
CAGR 23.3% | Win 69%
Sharpe 0.92 | Sortino 1.49 | Calmar 0.7
Vol 27% | MDD -33.1%
Months 29M (11%)
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
RSmean
neg
CAGR -10.9% | Win 30%
Sharpe -1.08 | Sortino -1.71 | Calmar -1.0
Vol 10% | MDD -11.0%
Months 10M (4%)
CAGR 14.3% | Win 75%
Sharpe 2.40 | Sortino 590.61 | Calmar 15.3
Vol 6% | MDD -0.9%
Months 8M (3%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
RSI
only
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 14.6% | Win 59%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.3
Vol 21% | MDD -43.9%
Months 88M (32%)
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
RSmean
neg		-
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
MACDhist
only
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.8% | Win 63%
Sharpe 0.96 | Sortino 1.46 | Calmar 0.8
Vol 12% | MDD -15.3%
Months 155M (57%)
CAGR 14.5% | Win 63%
Sharpe 0.73 | Sortino 1.12 | Calmar 0.4
Vol 22% | MDD -40.6%
Months 100M (37%)
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
RSmean
neg
CAGR -9.9% | Win 25%
Sharpe -0.89 | Sortino -1.67 | Calmar -1.5
Vol 11% | MDD -6.7%
Months 4M (2%)
CAGR 2.4% | Win 57%
Sharpe 0.32 | Sortino 0.41 | Calmar 0.4
Vol 9% | MDD -6.7%
Months 14M (5%)
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 15.0% | Win 64%
Sharpe 0.97 | Sortino 1.54 | Calmar 0.5
Vol 16% | MDD -30.4%
Months 230M (84%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
CAGR 12.9% | Win 63%
Sharpe 0.81 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -46.3%
Months 255M (93%)
RSmean
neg
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
-
CAGR -0.5% | Win 50%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 9% | MDD -8.8%
Months 18M (7%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 10.8% | Win 62%
Sharpe 0.74 | Sortino 1.12 | Calmar 0.3
Vol 15% | MDD -38.4%
Months 212M (78%)
CAGR 23.6% | Win 69%
Sharpe 0.81 | Sortino 1.23 | Calmar 1.3
Vol 33% | MDD -17.8%
Months 13M (5%)
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
MACD
neg
CAGR 8.4% | Win 50%
Sharpe 0.77 | Sortino 1.46 | Calmar 1.0
Vol 11% | MDD -8.5%
Months 24M (9%)
CAGR 20.1% | Win 71%
Sharpe 1.09 | Sortino 1.62 | Calmar 1.1
Vol 18% | MDD -18.6%
Months 24M (9%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
RSI
only
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.1% | Win 65%
Sharpe 0.81 | Sortino 1.25 | Calmar 0.5
Vol 14% | MDD -21.8%
Months 160M (59%)
CAGR 12.4% | Win 57%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.4
Vol 22% | MDD -32.2%
Months 65M (24%)
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
MACD
neg
CAGR 33.4% | Win 71%
Sharpe 2.18 | Sortino 3.73 | Calmar 7.3
Vol 14% | MDD -4.6%
Months 7M (3%)
CAGR 11.1% | Win 58%
Sharpe 0.76 | Sortino 1.17 | Calmar 0.6
Vol 15% | MDD -18.9%
Months 41M (15%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
MACDhist
only
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.3% | Win 62%
Sharpe 0.76 | Sortino 1.15 | Calmar 0.5
Vol 13% | MDD -20.1%
Months 132M (48%)
CAGR 14.7% | Win 63%
Sharpe 0.76 | Sortino 1.08 | Calmar 0.5
Vol 21% | MDD -32.3%
Months 93M (34%)
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
MACD
neg
CAGR 21.3% | Win 63%
Sharpe 1.89 | Sortino 4.22 | Calmar 4.6
Vol 11% | MDD -4.6%
Months 27M (10%)
CAGR 5.4% | Win 57%
Sharpe 0.36 | Sortino 0.65 | Calmar 0.3
Vol 20% | MDD -18.6%
Months 21M (8%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 14.2% | Win 63%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 16% | MDD -30.4%
Months 218M (80%)
CAGR -47.7% | Win 43%
Sharpe -1.98 | Sortino -3.25 | Calmar -1.3
Vol 30% | MDD -37.9%
Months 7M (3%)
CAGR 11.5% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -43.0%
Months 225M (82%)
MACD
neg
CAGR 10.8% | Win 57%
Sharpe 1.03 | Sortino 1.84 | Calmar 1.6
Vol 10% | MDD -6.7%
Months 30M (11%)
CAGR 19.9% | Win 67%
Sharpe 0.97 | Sortino 1.75 | Calmar 1.7
Vol 21% | MDD -12.0%
Months 18M (7%)
CAGR 14.1% | Win 60%
Sharpe 0.95 | Sortino 1.49 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 48M (18%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 10.4% | Win 65%
Sharpe 0.78 | Sortino 1.19 | Calmar 0.6
Vol 14% | MDD -18.2%
Months 164M (60%)
CAGR 10.8% | Win 53%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.6
Vol 17% | MDD -19.1%
Months 72M (26%)
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
RSI
neg
CAGR 138.1% | Win 100%
Sharpe 8.08 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 3M (1%)
CAGR 14.3% | Win 68%
Sharpe 0.68 | Sortino 0.92 | Calmar 0.4
Vol 24% | MDD -33.1%
Months 34M (12%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
MACDhist
only
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.2% | Win 61%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 153M (56%)
CAGR 11.2% | Win 60%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.4
Vol 19% | MDD -29.4%
Months 83M (30%)
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
RSI
neg
CAGR 41.6% | Win 83%
Sharpe 3.43 | Sortino 0.00 | Calmar 29.2
Vol 10% | MDD -1.4%
Months 6M (2%)
CAGR 17.7% | Win 68%
Sharpe 0.76 | Sortino 1.12 | Calmar 0.5
Vol 26% | MDD -33.1%
Months 31M (11%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.5% | Win 62%
Sharpe 0.81 | Sortino 1.25 | Calmar 0.5
Vol 15% | MDD -21.8%
Months 231M (85%)
CAGR -25.4% | Win 40%
Sharpe -1.26 | Sortino -1.57 | Calmar -4.1
Vol 22% | MDD -6.2%
Months 5M (2%)
CAGR 10.5% | Win 61%
Sharpe 0.74 | Sortino 1.13 | Calmar 0.3
Vol 15% | MDD -30.2%
Months 236M (86%)
RSI
neg
CAGR 50.5% | Win 76%
Sharpe 2.21 | Sortino 3.51 | Calmar 4.6
Vol 20% | MDD -10.9%
Months 17M (6%)
CAGR 0.9% | Win 65%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 27% | MDD -33.1%
Months 20M (7%)
CAGR 21.3% | Win 70%
Sharpe 0.93 | Sortino 1.26 | Calmar 0.6
Vol 24% | MDD -33.1%
Months 37M (14%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.5% | Win 64%
Sharpe 0.92 | Sortino 1.43 | Calmar 0.7
Vol 13% | MDD -15.5%
Months 126M (46%)
CAGR 13.3% | Win 68%
Sharpe 0.78 | Sortino 1.32 | Calmar 0.8
Vol 18% | MDD -16.2%
Months 41M (15%)
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
MACDhist
neg
CAGR 10.0% | Win 55%
Sharpe 0.89 | Sortino 1.39 | Calmar 1.3
Vol 12% | MDD -7.7%
Months 33M (12%)
CAGR 12.8% | Win 59%
Sharpe 0.65 | Sortino 0.95 | Calmar 0.3
Vol 22% | MDD -40.9%
Months 73M (27%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
RSIhist
only
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.9% | Win 66%
Sharpe 0.86 | Sortino 1.34 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 165M (60%)
CAGR 19.1% | Win 50%
Sharpe 1.31 | Sortino 0.00 | Calmar 14.5
Vol 14% | MDD -1.3%
Months 2M (1%)
CAGR 12.0% | Win 65%
Sharpe 0.87 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 167M (61%)
MACDhist
neg
CAGR 17.7% | Win 57%
Sharpe 1.03 | Sortino 1.73 | Calmar 0.8
Vol 17% | MDD -22.4%
Months 83M (30%)
CAGR -6.8% | Win 61%
Sharpe -0.14 | Sortino -0.22 | Calmar -0.2
Vol 26% | MDD -40.6%
Months 23M (8%)
CAGR 11.9% | Win 57%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 20% | MDD -44.8%
Months 106M (39%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.0% | Win 61%
Sharpe 0.82 | Sortino 1.26 | Calmar 0.7
Vol 13% | MDD -15.3%
Months 150M (55%)
CAGR 34.4% | Win 78%
Sharpe 2.96 | Sortino 112.32 | Calmar 12.6
Vol 10% | MDD -2.7%
Months 9M (3%)
CAGR 11.2% | Win 62%
Sharpe 0.92 | Sortino 1.41 | Calmar 0.7
Vol 12% | MDD -15.3%
Months 159M (58%)
RSIhist
neg
CAGR 19.9% | Win 64%
Sharpe 1.07 | Sortino 1.74 | Calmar 0.9
Vol 19% | MDD -23.1%
Months 98M (36%)
CAGR -21.8% | Win 50%
Sharpe -0.67 | Sortino -1.40 | Calmar -0.5
Vol 30% | MDD -40.6%
Months 16M (6%)
CAGR 12.9% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -41.5%
Months 114M (42%)
LWTI
only
CAGR 13.8% | Win 62%
Sharpe 0.92 | Sortino 1.47 | Calmar 0.5
Vol 15% | MDD -30.4%
Months 248M (91%)
CAGR -5.0% | Win 60%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 26% | MDD -40.6%
Months 25M (9%)