VWO - Vanguard Emerging Markets Stock Index Fund ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

80.7%

Best CAGR

72

Total Months

10.9%

Avg CAGR

VWO 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 VWO

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 2 0.8 80.7 100.0 39.3 0.0 0.0 1.5 0.0
pair RSmean LWTI neg-neg 2 0.8 80.7 100.0 39.3 0.0 0.0 1.5 0.0
pair MACDhist LWTI pos-neg 3 1.2 63.4 100.0 3.0 0.0 0.0 17.3 0.0
pair LWTI MACDhist pos-neg 3 1.2 63.4 100.0 3.0 0.0 0.0 17.3 0.0
pair RSmean MACD neg-neg 16 6.3 50.2 81.2 2.8 6.2 8.9 15.2 -5.7
pair MACD RSmean neg-neg 16 6.3 50.2 81.2 2.8 6.2 8.9 15.2 -5.7
pair RSI MRmean pos-neg 11 4.3 42.5 54.5 1.6 9.9 7.5 23.3 -5.6
pair MRmean RSI pos-neg 11 4.3 42.5 54.5 1.6 9.9 7.5 23.3 -5.6
pair RSI RSmean neg-neg 7 2.8 41.9 85.7 3.6 0.0 0.0 10.0 0.0
pair RSmean RSI neg-neg 7 2.8 41.9 85.7 3.6 0.0 0.0 10.0 0.0
pair RSI RSIhist neg-pos 15 5.9 41.5 60.0 1.8 10.7 12.4 20.8 -3.3
pair RSIhist RSI neg-pos 15 5.9 41.5 60.0 1.8 10.7 12.4 20.8 -3.3
pair SLmean RSI pos-neg 10 4.0 40.6 50.0 1.5 10.1 10.3 24.0 -3.9
pair RSI SLmean pos-neg 10 4.0 40.6 50.0 1.5 10.1 10.3 24.0 -3.9
pair MACD MRmean neg-neg 39 15.4 39.6 64.1 1.6 3.8 3.1 22.1 -12.6
pair MRmean MACD neg-neg 39 15.4 39.6 64.1 1.6 3.8 3.1 22.1 -12.6
pair RSIhist MACD neg-neg 38 15.0 37.5 65.8 1.6 3.3 3.0 21.4 -12.6
pair MACD RSIhist neg-neg 38 15.0 37.5 65.8 1.6 3.3 3.0 21.4 -12.6
pair MACD RSI neg-neg 40 15.8 36.7 57.5 1.5 3.8 2.9 23.2 -12.6
pair RSI MACD neg-neg 40 15.8 36.7 57.5 1.5 3.8 2.9 23.2 -12.6
pair RSIhist RSmean neg-pos 8 3.2 36.4 75.0 2.0 32.6 10.3 15.9 -3.5
pair RSmean RSIhist neg-pos 8 3.2 36.4 75.0 2.0 32.6 10.3 15.9 -3.5
pair MACDhist MACD neg-neg 62 24.5 36.2 64.5 1.6 3.1 2.9 21.6 -12.6
pair MACD MACDhist neg-neg 62 24.5 36.2 64.5 1.6 3.1 2.9 21.6 -12.6
pair SLmean MACD neg-neg 43 17.0 35.9 60.5 1.6 3.5 2.8 21.5 -12.6
pair MACD SLmean neg-neg 43 17.0 35.9 60.5 1.6 3.5 2.8 21.5 -12.6
pair MRmean RSIhist neg-pos 10 4.0 35.8 70.0 2.0 15.3 8.5 16.4 -4.2
pair RSIhist MRmean neg-pos 10 4.0 35.8 70.0 2.0 15.3 8.5 16.4 -4.2
pair MACD LWTI neg-neg 33 13.0 33.2 54.5 1.3 3.1 2.6 25.3 -12.6
pair LWTI MACD neg-neg 33 13.0 33.2 54.5 1.3 3.1 2.6 25.3 -12.6
single MACD MACD neg-neg 80 31.6 29.9 63.8 1.4 2.9 2.4 20.3 -12.6
pair LWTI MACD neg-pos 47 18.6 27.7 70.2 1.6 2.7 2.4 16.1 -11.4
pair MACD LWTI neg-pos 47 18.6 27.7 70.2 1.6 2.7 2.4 16.1 -11.4
pair MACDhist RSmean neg-neg 20 7.9 27.1 70.0 1.5 4.2 2.5 17.4 -10.8
pair RSmean MACDhist neg-neg 20 7.9 27.1 70.0 1.5 4.2 2.5 17.4 -10.8
pair MRmean RSmean neg-neg 19 7.5 26.2 68.4 1.4 4.1 2.3 17.6 -11.6
pair SLmean RSmean neg-neg 19 7.5 26.2 68.4 1.4 4.1 2.3 17.6 -11.6
pair RSmean SLmean neg-neg 19 7.5 26.2 68.4 1.4 4.1 2.3 17.6 -11.6
pair RSmean MRmean neg-neg 19 7.5 26.2 68.4 1.4 4.1 2.3 17.6 -11.6
single RSmean RSmean neg-neg 23 9.1 25.9 69.6 1.5 4.2 2.0 16.5 -13.1
pair MACD RSmean pos-neg 64 25.3 25.3 59.4 1.2 2.5 1.4 21.4 -17.8
pair RSmean MACD pos-neg 64 25.3 25.3 59.4 1.2 2.5 1.4 21.4 -17.8
pair SLmean RSIhist neg-pos 12 4.7 24.5 58.3 1.4 7.9 4.6 16.0 -5.4
pair RSIhist SLmean neg-pos 12 4.7 24.5 58.3 1.4 7.9 4.6 16.0 -5.4
pair RSmean SLmean pos-neg 4 1.6 24.4 75.0 1.8 0.0 0.0 12.4 0.0
pair SLmean RSmean pos-neg 4 1.6 24.4 75.0 1.8 0.0 0.0 12.4 0.0
pair MRmean RSmean pos-neg 4 1.6 24.4 75.0 1.8 0.0 0.0 12.4 0.0
pair RSmean MRmean pos-neg 4 1.6 24.4 75.0 1.8 0.0 0.0 12.4 0.0
pair MACD RSI neg-pos 40 15.8 23.5 70.0 1.3 2.1 1.9 17.1 -12.5
pair RSI MACD neg-pos 40 15.8 23.5 70.0 1.3 2.1 1.9 17.1 -12.5
pair RSIhist MACD neg-pos 42 16.6 23.5 61.9 1.2 2.5 2.1 19.4 -11.3
pair MACD RSIhist neg-pos 42 16.6 23.5 61.9 1.2 2.5 2.1 19.4 -11.3
pair RSIhist MACDhist neg-pos 53 20.9 23.3 58.5 1.2 2.1 2.1 19.6 -11.3
pair MACDhist RSIhist neg-pos 53 20.9 23.3 58.5 1.2 2.1 2.1 19.6 -11.3
pair MACD SLmean pos-neg 37 14.6 23.3 67.6 1.2 2.2 2.1 19.0 -11.3
pair SLmean MACD pos-neg 37 14.6 23.3 67.6 1.2 2.2 2.1 19.0 -11.3
pair LWTI RSmean neg-pos 21 8.3 21.6 66.7 1.2 3.6 1.4 17.0 -15.9
pair RSmean LWTI neg-pos 21 8.3 21.6 66.7 1.2 3.6 1.4 17.0 -15.9
pair MACDhist MRmean pos-neg 55 21.7 21.6 60.0 1.1 1.8 1.9 19.5 -11.4
pair MRmean MACDhist pos-neg 55 21.7 21.6 60.0 1.1 1.8 1.9 19.5 -11.4
pair MRmean MACD pos-neg 41 16.2 21.4 63.4 1.1 2.1 1.4 18.5 -15.5
pair MACD MRmean pos-neg 41 16.2 21.4 63.4 1.1 2.1 1.4 18.5 -15.5
pair RSIhist RSmean neg-neg 15 5.9 20.6 66.7 1.2 3.6 1.9 17.3 -10.7
pair RSmean RSIhist neg-neg 15 5.9 20.6 66.7 1.2 3.6 1.9 17.3 -10.7
pair RSI RSmean neg-pos 16 6.3 19.4 62.5 1.0 3.3 1.2 18.8 -15.9
pair RSmean RSI neg-pos 16 6.3 19.4 62.5 1.0 3.3 1.2 18.8 -15.9
pair RSmean MACDhist neg-pos 3 1.2 17.9 66.7 1.4 0.0 0.0 11.9 0.0
pair MACDhist RSmean neg-pos 3 1.2 17.9 66.7 1.4 0.0 0.0 11.9 0.0
pair LWTI RSI neg-neg 44 17.4 16.9 54.5 0.7 0.9 0.8 28.2 -21.5
pair RSI LWTI neg-neg 44 17.4 16.9 54.5 0.7 0.9 0.8 28.2 -21.5
pair MACDhist SLmean pos-neg 57 22.5 16.7 57.9 0.9 1.5 1.0 19.1 -16.8
pair SLmean MACDhist pos-neg 57 22.5 16.7 57.9 0.9 1.5 1.0 19.1 -16.8
pair RSI MACDhist neg-neg 63 24.9 16.6 57.1 0.7 1.0 0.4 27.0 -46.3
pair MACDhist RSI neg-neg 63 24.9 16.6 57.1 0.7 1.0 0.4 27.0 -46.3
single RSI RSI neg-neg 68 26.9 15.9 55.9 0.7 1.0 0.3 26.2 -46.3
pair LWTI RSIhist pos-pos 119 47.0 15.3 62.2 1.0 1.6 0.8 15.3 -19.3
pair RSIhist LWTI pos-pos 119 47.0 15.3 62.2 1.0 1.6 0.8 15.3 -19.3
single RSIhist RSIhist pos-pos 143 56.5 15.0 60.1 0.9 1.7 0.8 16.3 -18.7
pair LWTI RSI neg-pos 24 9.5 14.2 58.3 0.7 1.0 0.9 22.5 -15.6
pair RSI LWTI neg-pos 24 9.5 14.2 58.3 0.7 1.0 0.9 22.5 -15.6
pair RSIhist SLmean pos-pos 131 51.8 14.1 60.3 0.9 1.5 0.8 16.4 -18.2
pair SLmean RSIhist pos-pos 131 51.8 14.1 60.3 0.9 1.5 0.8 16.4 -18.2
pair MACDhist LWTI neg-pos 82 32.4 13.9 62.2 0.7 1.0 0.3 21.1 -45.5
pair LWTI MACDhist neg-pos 82 32.4 13.9 62.2 0.7 1.0 0.3 21.1 -45.5
pair RSIhist RSmean pos-pos 135 53.4 13.8 59.3 0.9 1.5 0.7 16.3 -19.4
pair RSmean RSIhist pos-pos 135 53.4 13.8 59.3 0.9 1.5 0.7 16.3 -19.4
pair RSIhist MRmean pos-pos 133 52.6 13.5 59.4 0.9 1.5 0.8 16.3 -17.8
pair MRmean RSIhist pos-pos 133 52.6 13.5 59.4 0.9 1.5 0.8 16.3 -17.8
pair RSIhist LWTI pos-neg 24 9.5 13.5 50.0 0.7 1.6 0.9 21.0 -14.7
pair LWTI RSIhist pos-neg 24 9.5 13.5 50.0 0.7 1.6 0.9 21.0 -14.7
pair RSmean RSI pos-neg 61 24.1 13.3 52.5 0.6 0.8 0.4 27.4 -36.4
pair RSI RSmean pos-neg 61 24.1 13.3 52.5 0.6 0.8 0.4 27.4 -36.4
pair RSIhist RSI pos-pos 128 50.6 12.2 60.2 0.8 1.3 0.7 15.6 -18.3
pair RSI RSIhist pos-pos 128 50.6 12.2 60.2 0.8 1.3 0.7 15.6 -18.3
pair RSI SLmean neg-neg 58 22.9 12.1 56.9 0.6 0.8 0.3 26.6 -46.3
pair SLmean RSI neg-neg 58 22.9 12.1 56.9 0.6 0.8 0.3 26.6 -46.3
pair MACD RSIhist pos-pos 101 39.9 11.6 59.4 0.8 1.3 0.7 14.8 -16.9
pair RSIhist MACD pos-pos 101 39.9 11.6 59.4 0.8 1.3 0.7 14.8 -16.9
pair RSI MRmean neg-neg 57 22.5 11.4 56.1 0.5 0.7 0.2 26.7 -46.3
pair MRmean RSI neg-neg 57 22.5 11.4 56.1 0.5 0.7 0.2 26.7 -46.3
pair MRmean SLmean pos-pos 144 56.9 11.4 59.0 0.7 1.2 0.4 16.4 -27.1
pair SLmean MRmean pos-pos 144 56.9 11.4 59.0 0.7 1.2 0.4 16.4 -27.1
pair SLmean LWTI pos-neg 21 8.3 11.0 47.6 0.6 1.3 0.6 21.6 -18.3
pair LWTI SLmean pos-neg 21 8.3 11.0 47.6 0.6 1.3 0.6 21.6 -18.3
pair LWTI MRmean pos-pos 149 58.9 10.8 59.1 0.7 1.2 0.5 15.6 -20.7
pair MRmean LWTI pos-pos 149 58.9 10.8 59.1 0.7 1.2 0.5 15.6 -20.7
single MRmean MRmean pos-pos 167 66.0 10.7 57.5 0.7 1.2 0.4 16.5 -25.5
single MACDhist MACDhist neg-neg 137 54.2 10.7 56.9 0.6 0.8 0.2 23.5 -57.5
pair MACDhist MACD neg-pos 18 7.1 10.5 61.1 0.8 2.0 0.9 14.5 -11.5
pair MACD MACDhist neg-pos 18 7.1 10.5 61.1 0.8 2.0 0.9 14.5 -11.5
pair SLmean LWTI pos-pos 129 51.0 10.5 59.7 0.7 1.1 0.4 15.3 -28.9
pair LWTI SLmean pos-pos 129 51.0 10.5 59.7 0.7 1.1 0.4 15.3 -28.9
single SLmean SLmean pos-pos 150 59.3 10.5 58.0 0.7 1.2 0.4 16.3 -27.1
pair MRmean RSmean pos-pos 163 64.4 10.3 57.1 0.7 1.1 0.3 16.6 -29.4
pair RSmean MRmean pos-pos 163 64.4 10.3 57.1 0.7 1.1 0.3 16.6 -29.4
pair MACDhist RSIhist pos-pos 90 35.6 10.3 61.1 0.8 1.3 0.6 13.9 -17.4
pair RSIhist MACDhist pos-pos 90 35.6 10.3 61.1 0.8 1.3 0.6 13.9 -17.4
pair RSmean SLmean pos-pos 146 57.7 10.2 57.5 0.7 1.1 0.4 16.4 -27.1
pair SLmean RSmean pos-pos 146 57.7 10.2 57.5 0.7 1.1 0.4 16.4 -27.1
pair RSIhist RSI neg-neg 53 20.9 9.6 54.7 0.5 0.6 0.2 27.5 -46.3
pair RSI RSIhist neg-neg 53 20.9 9.6 54.7 0.5 0.6 0.2 27.5 -46.3
pair MRmean LWTI pos-neg 18 7.1 9.2 44.4 0.5 1.1 0.5 22.9 -18.1
pair LWTI MRmean pos-neg 18 7.1 9.2 44.4 0.5 1.1 0.5 22.9 -18.1
pair RSI MRmean pos-pos 156 61.7 8.7 57.7 0.6 1.0 0.3 15.8 -25.5
pair SLmean RSI pos-pos 140 55.3 8.7 58.6 0.6 0.9 0.3 15.6 -27.6
pair RSI SLmean pos-pos 140 55.3 8.7 58.6 0.6 0.9 0.3 15.6 -27.6
pair MRmean RSI pos-pos 156 61.7 8.7 57.7 0.6 1.0 0.3 15.8 -25.5
single LWTI LWTI neg-neg 58 22.9 8.6 51.7 0.5 0.6 0.4 26.5 -22.6
pair LWTI MRmean neg-neg 40 15.8 8.3 55.0 0.4 0.6 0.4 28.3 -21.5
pair MRmean LWTI neg-neg 40 15.8 8.3 55.0 0.4 0.6 0.4 28.3 -21.5
pair MACDhist RSmean pos-neg 117 46.2 8.2 54.7 0.5 0.6 0.1 24.4 -55.4
pair RSmean MACDhist pos-neg 117 46.2 8.2 54.7 0.5 0.6 0.1 24.4 -55.4
pair MACDhist RSI neg-pos 5 2.0 7.5 40.0 0.6 1.5 1.3 13.4 -5.6
pair RSI MACDhist neg-pos 5 2.0 7.5 40.0 0.6 1.5 1.3 13.4 -5.6
pair MRmean MACD pos-pos 126 49.8 7.4 55.6 0.5 0.9 0.3 15.7 -25.5
pair MACD MRmean pos-pos 126 49.8 7.4 55.6 0.5 0.9 0.3 15.7 -25.5
pair SLmean LWTI neg-neg 37 14.6 7.2 54.1 0.4 0.5 0.3 29.2 -21.5
pair LWTI SLmean neg-neg 37 14.6 7.2 54.1 0.4 0.5 0.3 29.2 -21.5
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 7.2 56.1 0.5 0.6 0.1 20.3 -61.7
pair benchmark___benchmark_ benchmark-benchmark 253 100.0 7.2 56.1 0.5 0.6 0.1 20.3 -61.7
single LWTI LWTI pos-pos 195 77.1 6.9 57.4 0.5 0.6 0.1 18.1 -50.1
pair SLmean MACDhist pos-pos 93 36.8 6.9 58.1 0.5 0.9 0.4 14.3 -17.2
pair MACDhist SLmean pos-pos 93 36.8 6.9 58.1 0.5 0.9 0.4 14.3 -17.2
pair SLmean MACD pos-pos 113 44.7 6.6 54.9 0.5 0.8 0.2 15.2 -33.8
pair RSmean LWTI pos-neg 56 22.1 6.6 50.0 0.4 0.5 0.2 26.9 -26.5
pair LWTI RSmean pos-neg 56 22.1 6.6 50.0 0.4 0.5 0.2 26.9 -26.5
pair MACD SLmean pos-pos 113 44.7 6.6 54.9 0.5 0.8 0.2 15.2 -33.8
pair MACDhist SLmean neg-neg 80 31.6 6.6 56.2 0.4 0.5 0.1 26.4 -52.9
pair SLmean MACDhist neg-neg 80 31.6 6.6 56.2 0.4 0.5 0.1 26.4 -52.9
pair SLmean MRmean pos-neg 23 9.1 6.4 47.8 0.4 0.9 0.4 17.2 -16.2
pair MRmean SLmean pos-neg 23 9.1 6.4 47.8 0.4 0.9 0.4 17.2 -16.2
pair LWTI MACDhist neg-neg 55 21.7 6.2 49.1 0.4 0.5 0.3 26.9 -22.6
pair MACDhist LWTI neg-neg 55 21.7 6.2 49.1 0.4 0.5 0.3 26.9 -22.6
pair RSI MACDhist pos-neg 74 29.2 6.0 56.8 0.4 0.5 0.1 20.2 -49.5
pair MACDhist RSI pos-neg 74 29.2 6.0 56.8 0.4 0.5 0.1 20.2 -49.5
pair RSI LWTI pos-pos 171 67.6 5.9 57.3 0.4 0.6 0.1 17.5 -49.5
pair LWTI RSI pos-pos 171 67.6 5.9 57.3 0.4 0.6 0.1 17.5 -49.5
pair MRmean MACDhist pos-pos 112 44.3 5.7 56.2 0.5 0.8 0.2 14.7 -27.8
pair MACDhist MRmean pos-pos 112 44.3 5.7 56.2 0.5 0.8 0.2 14.7 -27.8
single RSmean RSmean pos-pos 230 90.9 5.5 54.8 0.4 0.5 0.1 20.6 -59.8
pair RSmean LWTI pos-pos 174 68.8 5.2 56.3 0.4 0.5 0.1 18.2 -41.8
pair LWTI RSmean pos-pos 174 68.8 5.2 56.3 0.4 0.5 0.1 18.2 -41.8
pair RSIhist LWTI neg-neg 34 13.4 5.2 52.9 0.3 0.4 0.2 30.1 -21.5
pair LWTI RSIhist neg-neg 34 13.4 5.2 52.9 0.3 0.4 0.2 30.1 -21.5
single RSI RSI pos-pos 185 73.1 4.2 56.2 0.3 0.5 0.1 17.6 -56.9
pair MACDhist MRmean neg-neg 82 32.4 4.0 54.9 0.3 0.4 0.1 25.9 -53.4
pair MRmean MACDhist neg-neg 82 32.4 4.0 54.9 0.3 0.4 0.1 25.9 -53.4
pair MACDhist RSIhist neg-neg 84 33.2 3.5 56.0 0.3 0.3 0.1 25.7 -57.5
pair RSIhist MACDhist neg-neg 84 33.2 3.5 56.0 0.3 0.3 0.1 25.7 -57.5
single MACDhist MACDhist pos-pos 116 45.8 3.3 55.2 0.3 0.4 0.1 15.6 -37.5
pair MACDhist RSI pos-pos 111 43.9 3.1 55.9 0.3 0.4 0.1 15.7 -40.7
pair RSI MACDhist pos-pos 111 43.9 3.1 55.9 0.3 0.4 0.1 15.7 -40.7
pair RSmean RSI pos-pos 169 66.8 2.9 55.6 0.2 0.3 0.1 17.5 -52.9
pair RSI RSmean pos-pos 169 66.8 2.9 55.6 0.2 0.3 0.1 17.5 -52.9
pair MACDhist RSmean pos-pos 113 44.7 2.9 54.9 0.3 0.4 0.1 15.7 -37.7
pair RSmean MACDhist pos-pos 113 44.7 2.9 54.9 0.3 0.4 0.1 15.7 -37.7
single SLmean SLmean neg-neg 103 40.7 2.6 53.4 0.2 0.3 0.1 25.1 -52.9
pair LWTI MACDhist pos-pos 113 44.7 2.0 54.0 0.2 0.3 0.1 15.5 -39.2
pair MACDhist LWTI pos-pos 113 44.7 2.0 54.0 0.2 0.3 0.1 15.5 -39.2
pair MACD MACDhist pos-pos 98 38.7 2.0 54.1 0.2 0.3 0.1 15.8 -39.8
pair MACDhist MACD pos-pos 98 38.7 2.0 54.1 0.2 0.3 0.1 15.8 -39.8
pair MRmean SLmean neg-neg 80 31.6 1.6 55.0 0.2 0.3 0.0 27.0 -53.4
pair SLmean MRmean neg-neg 80 31.6 1.6 55.0 0.2 0.3 0.0 27.0 -53.4
pair LWTI MACD pos-pos 148 58.5 1.0 53.4 0.1 0.2 0.0 18.4 -56.0
pair MACD LWTI pos-pos 148 58.5 1.0 53.4 0.1 0.2 0.0 18.4 -56.0
single MRmean MRmean neg-neg 86 34.0 0.9 53.5 0.2 0.2 0.0 26.2 -53.4
pair RSIhist MRmean pos-neg 34 13.4 0.1 50.0 0.1 0.1 0.0 17.1 -20.9
pair MRmean RSIhist pos-neg 34 13.4 0.1 50.0 0.1 0.1 0.0 17.1 -20.9
pair SLmean RSIhist neg-neg 91 36.0 0.1 52.7 0.1 0.2 0.0 26.0 -52.9
pair RSIhist SLmean neg-neg 91 36.0 0.1 52.7 0.1 0.2 0.0 26.0 -52.9
pair LWTI SLmean neg-pos 66 26.1 0.1 53.0 0.1 0.2 0.0 22.6 -53.5
pair SLmean LWTI neg-pos 66 26.1 0.1 53.0 0.1 0.2 0.0 22.6 -53.5
pair MACD RSI pos-pos 145 57.3 -0.5 52.4 0.1 0.1 -0.0 17.6 -60.7
pair RSI MACD pos-pos 145 57.3 -0.5 52.4 0.1 0.1 -0.0 17.6 -60.7
pair MACD RSmean pos-pos 166 65.6 -1.2 53.0 0.0 0.1 -0.0 20.0 -63.4
pair RSmean MACD pos-pos 166 65.6 -1.2 53.0 0.0 0.1 -0.0 20.0 -63.4
single MACD MACD pos-pos 173 68.4 -1.9 52.6 0.0 0.0 -0.0 19.8 -66.9
pair RSmean SLmean neg-pos 84 33.2 -2.0 50.0 0.1 0.1 -0.0 26.4 -50.6
pair SLmean RSmean neg-pos 84 33.2 -2.0 50.0 0.1 0.1 -0.0 26.4 -50.6
single RSIhist RSIhist neg-neg 110 43.5 -2.0 50.9 0.0 0.1 -0.0 24.4 -59.8
pair MRmean RSIhist neg-neg 76 30.0 -3.0 51.3 0.0 0.0 -0.1 27.2 -52.9
pair RSIhist MRmean neg-neg 76 30.0 -3.0 51.3 0.0 0.0 -0.1 27.2 -52.9
pair LWTI MRmean neg-pos 46 18.2 -5.1 52.2 -0.1 -0.1 -0.1 24.5 -55.2
pair MRmean LWTI neg-pos 46 18.2 -5.1 52.2 -0.1 -0.1 -0.1 24.5 -55.2
pair RSIhist LWTI neg-pos 76 30.0 -5.1 50.0 -0.1 -0.2 -0.1 21.5 -61.9
pair LWTI RSIhist neg-pos 76 30.0 -5.1 50.0 -0.1 -0.2 -0.1 21.5 -61.9
pair RSmean RSIhist pos-neg 95 37.5 -5.2 48.4 -0.1 -0.1 -0.1 25.3 -56.3
pair RSIhist RSmean pos-neg 95 37.5 -5.2 48.4 -0.1 -0.1 -0.1 25.3 -56.3
pair MRmean RSmean neg-pos 67 26.5 -5.3 49.3 -0.1 -0.1 -0.1 28.1 -46.3
pair RSmean MRmean neg-pos 67 26.5 -5.3 49.3 -0.1 -0.1 -0.1 28.1 -46.3
pair MACDhist MACD pos-neg 75 29.6 -6.7 50.7 -0.2 -0.2 -0.1 24.1 -63.8
pair MACD MACDhist pos-neg 75 29.6 -6.7 50.7 -0.2 -0.2 -0.1 24.1 -63.8
pair SLmean MRmean neg-pos 6 2.4 -7.6 33.3 -0.6 -1.9 -1.1 12.8 -7.3
pair MRmean SLmean neg-pos 6 2.4 -7.6 33.3 -0.6 -1.9 -1.1 12.8 -7.3
pair MACD RSI pos-neg 28 11.1 -8.4 53.6 -0.1 -0.2 -0.2 29.1 -33.6
pair RSI MACD pos-neg 28 11.1 -8.4 53.6 -0.1 -0.2 -0.2 29.1 -33.6
pair RSI SLmean neg-pos 45 17.8 -8.4 48.9 -0.3 -0.4 -0.1 22.8 -59.3
pair SLmean RSI neg-pos 45 17.8 -8.4 48.9 -0.3 -0.4 -0.1 22.8 -59.3
pair SLmean MACDhist neg-pos 23 9.1 -10.2 43.5 -0.4 -0.6 -0.3 20.0 -36.5
pair MACDhist SLmean neg-pos 23 9.1 -10.2 43.5 -0.4 -0.6 -0.3 20.0 -36.5
pair RSIhist SLmean pos-neg 19 7.5 -11.4 42.1 -0.8 -1.0 -0.4 14.3 -28.4
pair SLmean RSIhist pos-neg 19 7.5 -11.4 42.1 -0.8 -1.0 -0.4 14.3 -28.4
pair RSIhist RSI pos-neg 57 22.5 -11.7 47.4 -0.5 -0.7 -0.2 20.9 -66.5
pair RSI RSIhist pos-neg 57 22.5 -11.7 47.4 -0.5 -0.7 -0.2 20.9 -66.5
pair LWTI RSI pos-neg 14 5.5 -13.9 42.9 -0.7 -1.0 -0.5 19.4 -27.0
pair RSI LWTI pos-neg 14 5.5 -13.9 42.9 -0.7 -1.0 -0.5 19.4 -27.0
pair RSmean MACD neg-pos 7 2.8 -16.0 42.9 -1.2 -2.9 -2.0 13.8 -7.8
pair MACD RSmean neg-pos 7 2.8 -16.0 42.9 -1.2 -2.9 -2.0 13.8 -7.8
pair SLmean MACD neg-pos 60 23.7 -16.1 48.3 -0.5 -0.7 -0.2 26.1 -66.0
pair MACD SLmean neg-pos 60 23.7 -16.1 48.3 -0.5 -0.7 -0.2 26.1 -66.0
pair MRmean RSI neg-pos 29 11.5 -16.9 48.3 -0.6 -0.9 -0.3 24.7 -56.1
pair RSI MRmean neg-pos 29 11.5 -16.9 48.3 -0.6 -0.9 -0.3 24.7 -56.1
pair MACD LWTI pos-neg 25 9.9 -17.1 48.0 -0.6 -0.6 -1.0 26.6 -17.7
pair LWTI MACD pos-neg 25 9.9 -17.1 48.0 -0.6 -0.6 -1.0 26.6 -17.7
pair MACDhist RSIhist pos-neg 26 10.3 -17.9 34.6 -0.9 -1.2 -0.4 19.4 -40.3
pair RSIhist MACDhist pos-neg 26 10.3 -17.9 34.6 -0.9 -1.2 -0.4 19.4 -40.3
pair RSIhist MACD pos-neg 72 28.5 -18.1 43.1 -0.7 -0.9 -0.2 24.5 -72.4
pair MACD RSIhist pos-neg 72 28.5 -18.1 43.1 -0.7 -0.9 -0.2 24.5 -72.4
pair MACD MRmean neg-pos 47 18.6 -22.9 44.7 -0.8 -1.0 -0.4 27.2 -62.1
pair MRmean MACD neg-pos 47 18.6 -22.9 44.7 -0.8 -1.0 -0.4 27.2 -62.1
pair MRmean MACDhist neg-pos 4 1.6 -45.5 25.0 -1.8 -1.8 -2.6 31.0 -17.2
pair MACDhist MRmean neg-pos 4 1.6 -45.5 25.0 -1.8 -1.8 -2.6 31.0 -17.2

All Contingency Tables for VWO

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.4% | Win 59%
Sharpe 0.74 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 144M (57%)
CAGR 6.4% | Win 48%
Sharpe 0.44 | Sortino 0.89 | Calmar 0.4
Vol 17% | MDD -16.2%
Months 23M (9%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -7.6% | Win 33%
Sharpe -0.56 | Sortino -1.90 | Calmar -1.0
Vol 13% | MDD -7.3%
Months 6M (2%)
CAGR 1.6% | Win 55%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 27% | MDD -53.4%
Months 80M (32%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
SLmean
only
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 57%
Sharpe 0.68 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -29.4%
Months 163M (64%)
CAGR 24.4% | Win 75%
Sharpe 1.82 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -5.3% | Win 49%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 28% | MDD -46.3%
Months 67M (26%)
CAGR 26.2% | Win 68%
Sharpe 1.42 | Sortino 4.13 | Calmar 2.3
Vol 18% | MDD -11.6%
Months 19M (8%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
RSmean
only
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 56%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.3
Vol 16% | MDD -25.5%
Months 126M (50%)
CAGR 21.4% | Win 63%
Sharpe 1.15 | Sortino 2.10 | Calmar 1.4
Vol 18% | MDD -15.5%
Months 41M (16%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -22.9% | Win 45%
Sharpe -0.80 | Sortino -0.98 | Calmar -0.4
Vol 27% | MDD -62.1%
Months 47M (19%)
CAGR 39.6% | Win 64%
Sharpe 1.63 | Sortino 3.79 | Calmar 3.1
Vol 22% | MDD -12.6%
Months 39M (15%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
MACD
only
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 58%
Sharpe 0.61 | Sortino 0.96 | Calmar 0.3
Vol 16% | MDD -25.5%
Months 156M (62%)
CAGR 42.5% | Win 55%
Sharpe 1.64 | Sortino 9.89 | Calmar 7.6
Vol 23% | MDD -5.6%
Months 11M (4%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -16.9% | Win 48%
Sharpe -0.62 | Sortino -0.87 | Calmar -0.3
Vol 25% | MDD -56.1%
Months 29M (12%)
CAGR 11.4% | Win 56%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 27% | MDD -46.3%
Months 57M (22%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
RSI
only
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 56%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -27.8%
Months 112M (44%)
CAGR 21.6% | Win 60%
Sharpe 1.11 | Sortino 1.77 | Calmar 1.9
Vol 20% | MDD -11.4%
Months 55M (22%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -45.5% | Win 25%
Sharpe -1.79 | Sortino -1.83 | Calmar -2.6
Vol 31% | MDD -17.2%
Months 4M (2%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 26% | MDD -53.4%
Months 82M (32%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
MACDhist
only
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.5% | Win 59%
Sharpe 0.86 | Sortino 1.49 | Calmar 0.8
Vol 16% | MDD -17.8%
Months 133M (53%)
CAGR 0.1% | Win 50%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 17% | MDD -20.9%
Months 34M (13%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR 35.8% | Win 70%
Sharpe 1.96 | Sortino 15.32 | Calmar 8.5
Vol 16% | MDD -4.2%
Months 10M (4%)
CAGR -3.0% | Win 51%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 27% | MDD -52.9%
Months 76M (30%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.8% | Win 59%
Sharpe 0.74 | Sortino 1.18 | Calmar 0.5
Vol 16% | MDD -20.7%
Months 149M (59%)
CAGR 9.2% | Win 44%
Sharpe 0.49 | Sortino 1.13 | Calmar 0.5
Vol 23% | MDD -18.1%
Months 18M (7%)
CAGR 10.7% | Win 57%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -25.5%
Months 167M (66%)
MRmean
neg
CAGR -5.1% | Win 52%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 24% | MDD -55.2%
Months 46M (18%)
CAGR 8.3% | Win 55%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.4
Vol 28% | MDD -21.5%
Months 40M (16%)
CAGR 0.9% | Win 54%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -53.4%
Months 86M (34%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.2% | Win 57%
Sharpe 0.67 | Sortino 1.12 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 146M (58%)
CAGR 24.4% | Win 75%
Sharpe 1.82 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 4M (2%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR -2.0% | Win 50%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 26% | MDD -50.6%
Months 84M (33%)
CAGR 26.2% | Win 68%
Sharpe 1.42 | Sortino 4.13 | Calmar 2.3
Vol 18% | MDD -11.6%
Months 19M (8%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
RSmean
only
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.6% | Win 55%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 15% | MDD -33.8%
Months 113M (45%)
CAGR 23.3% | Win 68%
Sharpe 1.20 | Sortino 2.21 | Calmar 2.1
Vol 19% | MDD -11.3%
Months 37M (15%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR -16.1% | Win 48%
Sharpe -0.53 | Sortino -0.66 | Calmar -0.2
Vol 26% | MDD -66.0%
Months 60M (24%)
CAGR 35.9% | Win 60%
Sharpe 1.55 | Sortino 3.51 | Calmar 2.8
Vol 22% | MDD -12.6%
Months 43M (17%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
MACD
only
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.7% | Win 59%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 16% | MDD -27.6%
Months 140M (55%)
CAGR 40.6% | Win 50%
Sharpe 1.54 | Sortino 10.14 | Calmar 10.3
Vol 24% | MDD -3.9%
Months 10M (4%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR -8.4% | Win 49%
Sharpe -0.27 | Sortino -0.38 | Calmar -0.1
Vol 23% | MDD -59.3%
Months 45M (18%)
CAGR 12.1% | Win 57%
Sharpe 0.57 | Sortino 0.75 | Calmar 0.3
Vol 27% | MDD -46.3%
Months 58M (23%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
RSI
only
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 58%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 93M (37%)
CAGR 16.7% | Win 58%
Sharpe 0.91 | Sortino 1.50 | Calmar 1.0
Vol 19% | MDD -16.8%
Months 57M (22%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR -10.2% | Win 44%
Sharpe -0.44 | Sortino -0.56 | Calmar -0.3
Vol 20% | MDD -36.5%
Months 23M (9%)
CAGR 6.6% | Win 56%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 26% | MDD -52.9%
Months 80M (32%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
MACDhist
only
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.1% | Win 60%
Sharpe 0.89 | Sortino 1.53 | Calmar 0.8
Vol 16% | MDD -18.2%
Months 131M (52%)
CAGR -11.4% | Win 42%
Sharpe -0.77 | Sortino -1.01 | Calmar -0.4
Vol 14% | MDD -28.4%
Months 19M (8%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR 24.5% | Win 58%
Sharpe 1.45 | Sortino 7.88 | Calmar 4.6
Vol 16% | MDD -5.4%
Months 12M (5%)
CAGR 0.1% | Win 53%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 26% | MDD -52.9%
Months 91M (36%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.5% | Win 60%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.4
Vol 15% | MDD -28.9%
Months 129M (51%)
CAGR 11.0% | Win 48%
Sharpe 0.58 | Sortino 1.33 | Calmar 0.6
Vol 22% | MDD -18.3%
Months 21M (8%)
CAGR 10.5% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.1%
Months 150M (59%)
SLmean
neg
CAGR 0.1% | Win 53%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 23% | MDD -53.5%
Months 66M (26%)
CAGR 7.2% | Win 54%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.3
Vol 29% | MDD -21.5%
Months 37M (15%)
CAGR 2.6% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 25% | MDD -52.9%
Months 103M (41%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -1.2% | Win 53%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 20% | MDD -63.4%
Months 166M (66%)
CAGR 25.3% | Win 59%
Sharpe 1.17 | Sortino 2.48 | Calmar 1.4
Vol 21% | MDD -17.8%
Months 64M (25%)
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
RSmean
neg
CAGR -16.0% | Win 43%
Sharpe -1.19 | Sortino -2.89 | Calmar -2.0
Vol 14% | MDD -7.8%
Months 7M (3%)
CAGR 50.2% | Win 81%
Sharpe 2.79 | Sortino 6.19 | Calmar 8.9
Vol 15% | MDD -5.7%
Months 16M (6%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
MACD
only
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 18% | MDD -52.9%
Months 169M (67%)
CAGR 13.3% | Win 52%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.4
Vol 27% | MDD -36.4%
Months 61M (24%)
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
RSmean
neg
CAGR 19.4% | Win 62%
Sharpe 1.04 | Sortino 3.31 | Calmar 1.2
Vol 19% | MDD -15.9%
Months 16M (6%)
CAGR 41.9% | Win 86%
Sharpe 3.60 | Sortino 0.00 | Calmar 0.0
Vol 10% | MDD 0.0%
Months 7M (3%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
RSI
only
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 16% | MDD -37.7%
Months 113M (45%)
CAGR 8.2% | Win 55%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 24% | MDD -55.4%
Months 117M (46%)
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
RSmean
neg
CAGR 17.9% | Win 67%
Sharpe 1.43 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 3M (1%)
CAGR 27.1% | Win 70%
Sharpe 1.48 | Sortino 4.25 | Calmar 2.5
Vol 17% | MDD -10.8%
Months 20M (8%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
MACDhist
only
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.8% | Win 59%
Sharpe 0.88 | Sortino 1.53 | Calmar 0.7
Vol 16% | MDD -19.4%
Months 135M (53%)
CAGR -5.2% | Win 48%
Sharpe -0.08 | Sortino -0.11 | Calmar -0.1
Vol 25% | MDD -56.3%
Months 95M (38%)
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
RSmean
neg
CAGR 36.4% | Win 75%
Sharpe 2.05 | Sortino 32.64 | Calmar 10.3
Vol 16% | MDD -3.5%
Months 8M (3%)
CAGR 20.6% | Win 67%
Sharpe 1.17 | Sortino 3.56 | Calmar 1.9
Vol 17% | MDD -10.7%
Months 15M (6%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 5.2% | Win 56%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -41.8%
Months 174M (69%)
CAGR 6.6% | Win 50%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 27% | MDD -26.5%
Months 56M (22%)
CAGR 5.5% | Win 55%
Sharpe 0.37 | Sortino 0.51 | Calmar 0.1
Vol 21% | MDD -59.8%
Months 230M (91%)
RSmean
neg
CAGR 21.6% | Win 67%
Sharpe 1.24 | Sortino 3.60 | Calmar 1.4
Vol 17% | MDD -15.9%
Months 21M (8%)
CAGR 80.7% | Win 100%
Sharpe 39.27 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR 25.9% | Win 70%
Sharpe 1.48 | Sortino 4.19 | Calmar 2.0
Vol 16% | MDD -13.1%
Months 23M (9%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -0.5% | Win 52%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 18% | MDD -60.7%
Months 145M (57%)
CAGR -8.4% | Win 54%
Sharpe -0.15 | Sortino -0.16 | Calmar -0.2
Vol 29% | MDD -33.6%
Months 28M (11%)
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
MACD
neg
CAGR 23.5% | Win 70%
Sharpe 1.33 | Sortino 2.06 | Calmar 1.9
Vol 17% | MDD -12.5%
Months 40M (16%)
CAGR 36.7% | Win 57%
Sharpe 1.47 | Sortino 3.83 | Calmar 2.9
Vol 23% | MDD -12.6%
Months 40M (16%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
RSI
only
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 16% | MDD -39.8%
Months 98M (39%)
CAGR -6.7% | Win 51%
Sharpe -0.16 | Sortino -0.20 | Calmar -0.1
Vol 24% | MDD -63.8%
Months 75M (30%)
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
MACD
neg
CAGR 10.5% | Win 61%
Sharpe 0.76 | Sortino 1.98 | Calmar 0.9
Vol 14% | MDD -11.5%
Months 18M (7%)
CAGR 36.2% | Win 64%
Sharpe 1.55 | Sortino 3.12 | Calmar 2.9
Vol 22% | MDD -12.6%
Months 62M (24%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
MACDhist
only
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.6% | Win 59%
Sharpe 0.82 | Sortino 1.31 | Calmar 0.7
Vol 15% | MDD -16.9%
Months 101M (40%)
CAGR -18.1% | Win 43%
Sharpe -0.68 | Sortino -0.86 | Calmar -0.2
Vol 24% | MDD -72.4%
Months 72M (28%)
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
MACD
neg
CAGR 23.5% | Win 62%
Sharpe 1.19 | Sortino 2.46 | Calmar 2.1
Vol 19% | MDD -11.3%
Months 42M (17%)
CAGR 37.5% | Win 66%
Sharpe 1.61 | Sortino 3.33 | Calmar 3.0
Vol 21% | MDD -12.6%
Months 38M (15%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.0% | Win 53%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 18% | MDD -56.0%
Months 148M (58%)
CAGR -17.1% | Win 48%
Sharpe -0.56 | Sortino -0.60 | Calmar -1.0
Vol 27% | MDD -17.7%
Months 25M (10%)
CAGR -1.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 20% | MDD -66.9%
Months 173M (68%)
MACD
neg
CAGR 27.7% | Win 70%
Sharpe 1.61 | Sortino 2.73 | Calmar 2.4
Vol 16% | MDD -11.4%
Months 47M (19%)
CAGR 33.2% | Win 55%
Sharpe 1.26 | Sortino 3.14 | Calmar 2.6
Vol 25% | MDD -12.6%
Months 33M (13%)
CAGR 29.9% | Win 64%
Sharpe 1.40 | Sortino 2.94 | Calmar 2.4
Vol 20% | MDD -12.6%
Months 80M (32%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.1% | Win 56%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 16% | MDD -40.7%
Months 111M (44%)
CAGR 6.0% | Win 57%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 20% | MDD -49.5%
Months 74M (29%)
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
RSI
neg
CAGR 7.5% | Win 40%
Sharpe 0.60 | Sortino 1.46 | Calmar 1.3
Vol 13% | MDD -5.6%
Months 5M (2%)
CAGR 16.6% | Win 57%
Sharpe 0.71 | Sortino 0.97 | Calmar 0.4
Vol 27% | MDD -46.3%
Months 63M (25%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
MACDhist
only
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.2% | Win 60%
Sharpe 0.82 | Sortino 1.32 | Calmar 0.7
Vol 16% | MDD -18.3%
Months 128M (51%)
CAGR -11.7% | Win 47%
Sharpe -0.49 | Sortino -0.66 | Calmar -0.2
Vol 21% | MDD -66.5%
Months 57M (22%)
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
RSI
neg
CAGR 41.5% | Win 60%
Sharpe 1.78 | Sortino 10.74 | Calmar 12.4
Vol 21% | MDD -3.3%
Months 15M (6%)
CAGR 9.6% | Win 55%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -46.3%
Months 53M (21%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 57%
Sharpe 0.41 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -49.5%
Months 171M (68%)
CAGR -13.9% | Win 43%
Sharpe -0.67 | Sortino -0.99 | Calmar -0.5
Vol 19% | MDD -27.0%
Months 14M (6%)
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 185M (73%)
RSI
neg
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 0.99 | Calmar 0.9
Vol 22% | MDD -15.6%
Months 24M (10%)
CAGR 16.9% | Win 55%
Sharpe 0.70 | Sortino 0.95 | Calmar 0.8
Vol 28% | MDD -21.5%
Months 44M (17%)
CAGR 15.9% | Win 56%
Sharpe 0.70 | Sortino 0.96 | Calmar 0.3
Vol 26% | MDD -46.3%
Months 68M (27%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.3% | Win 61%
Sharpe 0.78 | Sortino 1.31 | Calmar 0.6
Vol 14% | MDD -17.4%
Months 90M (36%)
CAGR -17.9% | Win 35%
Sharpe -0.91 | Sortino -1.22 | Calmar -0.4
Vol 19% | MDD -40.3%
Months 26M (10%)
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
MACDhist
neg
CAGR 23.3% | Win 58%
Sharpe 1.17 | Sortino 2.13 | Calmar 2.1
Vol 20% | MDD -11.3%
Months 53M (21%)
CAGR 3.5% | Win 56%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -57.5%
Months 84M (33%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
RSIhist
only
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 16% | MDD -39.2%
Months 113M (45%)
CAGR 63.4% | Win 100%
Sharpe 2.96 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 3M (1%)
CAGR 3.3% | Win 55%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 116M (46%)
MACDhist
neg
CAGR 13.9% | Win 62%
Sharpe 0.73 | Sortino 0.98 | Calmar 0.3
Vol 21% | MDD -45.5%
Months 82M (32%)
CAGR 6.2% | Win 49%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.3
Vol 27% | MDD -22.6%
Months 55M (22%)
CAGR 10.7% | Win 57%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -57.5%
Months 137M (54%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 15.3% | Win 62%
Sharpe 1.01 | Sortino 1.65 | Calmar 0.8
Vol 15% | MDD -19.3%
Months 119M (47%)
CAGR 13.5% | Win 50%
Sharpe 0.70 | Sortino 1.63 | Calmar 0.9
Vol 21% | MDD -14.7%
Months 24M (10%)
CAGR 15.0% | Win 60%
Sharpe 0.94 | Sortino 1.66 | Calmar 0.8
Vol 16% | MDD -18.7%
Months 143M (56%)
RSIhist
neg
CAGR -5.1% | Win 50%
Sharpe -0.13 | Sortino -0.19 | Calmar -0.1
Vol 22% | MDD -61.9%
Months 76M (30%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.2
Vol 30% | MDD -21.5%
Months 34M (13%)
CAGR -2.0% | Win 51%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 24% | MDD -59.8%
Months 110M (44%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 18% | MDD -50.1%
Months 195M (77%)
CAGR 8.6% | Win 52%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.4
Vol 26% | MDD -22.6%
Months 58M (23%)