VWOB - Vanguard Emerging Markets Govt Bd ETF

Signal Pair Analysis

SLmean-RSIhist

Best Pair

28.1%

Best CAGR

45

Total Months

4.5%

Avg CAGR

VWOB 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 VWOB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair SLmean RSIhist neg-pos 6 3.8 28.1 100.0 4.9 0.0 0.0 5.2 0.0
pair RSIhist SLmean neg-pos 6 3.8 28.1 100.0 4.9 0.0 0.0 5.2 0.0
pair MACDhist RSmean neg-pos 2 1.2 23.8 50.0 1.5 0.0 0.0 15.0 0.0
pair RSmean MACDhist neg-pos 2 1.2 23.8 50.0 1.5 0.0 0.0 15.0 0.0
pair RSIhist RSmean neg-pos 6 3.8 23.4 83.3 2.7 0.0 19.0 7.9 -1.2
pair RSmean RSIhist neg-pos 6 3.8 23.4 83.3 2.7 0.0 19.0 7.9 -1.2
pair MRmean RSIhist neg-pos 7 4.4 20.9 85.7 3.0 0.0 15.9 6.5 -1.3
pair RSIhist MRmean neg-pos 7 4.4 20.9 85.7 3.0 0.0 15.9 6.5 -1.3
pair MACDhist SLmean neg-pos 8 5.0 20.2 75.0 2.3 14.4 14.1 8.2 -1.4
pair SLmean MACDhist neg-pos 8 5.0 20.2 75.0 2.3 14.4 14.1 8.2 -1.4
pair MACDhist MRmean neg-pos 5 3.1 20.0 60.0 1.8 14.3 13.9 10.7 -1.4
pair MRmean MACDhist neg-pos 5 3.1 20.0 60.0 1.8 14.3 13.9 10.7 -1.4
pair RSI LWTI neg-pos 12 7.5 15.2 66.7 1.2 2.6 2.1 12.0 -7.3
pair LWTI RSI neg-pos 12 7.5 15.2 66.7 1.2 2.6 2.1 12.0 -7.3
pair LWTI RSmean neg-neg 2 1.2 14.9 50.0 1.2 0.0 12.1 11.8 -1.2
pair RSmean LWTI neg-neg 2 1.2 14.9 50.0 1.2 0.0 12.1 11.8 -1.2
pair RSmean SLmean pos-neg 6 3.8 14.1 66.7 1.3 2.7 3.1 10.9 -4.5
pair SLmean RSmean pos-neg 6 3.8 14.1 66.7 1.3 2.7 3.1 10.9 -4.5
pair MRmean RSmean neg-neg 13 8.1 13.5 76.9 2.0 6.2 6.6 6.4 -2.1
pair RSmean MRmean neg-neg 13 8.1 13.5 76.9 2.0 6.2 6.6 6.4 -2.1
pair RSI RSmean neg-neg 3 1.9 12.3 66.7 1.6 0.0 10.0 7.5 -1.2
pair RSmean RSI neg-neg 3 1.9 12.3 66.7 1.6 0.0 10.0 7.5 -1.2
pair RSI LWTI pos-neg 6 3.8 11.9 66.7 1.9 3.9 7.6 5.9 -1.6
pair LWTI RSI pos-neg 6 3.8 11.9 66.7 1.9 3.9 7.6 5.9 -1.6
pair RSmean MACD neg-neg 15 9.4 11.8 73.3 1.7 6.5 5.8 6.8 -2.1
pair MACD RSmean neg-neg 15 9.4 11.8 73.3 1.7 6.5 5.8 6.8 -2.1
pair MRmean LWTI neg-pos 32 20.0 10.7 65.6 1.3 2.6 1.7 8.1 -6.3
pair LWTI MRmean neg-pos 32 20.0 10.7 65.6 1.3 2.6 1.7 8.1 -6.3
single RSmean RSmean neg-neg 20 12.5 10.5 70.0 1.4 2.8 2.3 7.3 -4.5
pair RSmean RSI neg-pos 17 10.6 10.2 70.6 1.3 2.5 3.1 7.5 -3.3
pair MACD MRmean neg-neg 26 16.2 10.2 69.2 0.9 1.4 0.9 11.7 -10.7
pair RSI RSmean neg-pos 17 10.6 10.2 70.6 1.3 2.5 3.1 7.5 -3.3
pair MRmean MACD neg-neg 26 16.2 10.2 69.2 0.9 1.4 0.9 11.7 -10.7
pair RSmean LWTI neg-pos 18 11.2 10.1 72.2 1.4 2.5 3.0 7.2 -3.3
pair LWTI RSmean neg-pos 18 11.2 10.1 72.2 1.4 2.5 3.0 7.2 -3.3
pair SLmean MACD neg-neg 29 18.1 10.0 72.4 0.9 1.4 0.9 11.2 -10.7
pair MACD SLmean neg-neg 29 18.1 10.0 72.4 0.9 1.4 0.9 11.2 -10.7
pair RSmean MACDhist neg-neg 18 11.2 9.2 72.2 1.3 2.2 2.8 6.7 -3.3
pair MACDhist RSmean neg-neg 18 11.2 9.2 72.2 1.3 2.2 2.8 6.7 -3.3
pair MACDhist MACD neg-pos 11 6.9 9.1 54.5 0.9 2.9 1.4 10.3 -6.4
pair MACD MACDhist neg-pos 11 6.9 9.1 54.5 0.9 2.9 1.4 10.3 -6.4
pair SLmean LWTI neg-pos 44 27.5 9.0 63.6 1.2 2.3 1.4 7.5 -6.3
pair SLmean RSmean neg-neg 14 8.8 9.0 71.4 1.6 3.4 4.4 5.7 -2.1
pair RSmean SLmean neg-neg 14 8.8 9.0 71.4 1.6 3.4 4.4 5.7 -2.1
pair LWTI SLmean neg-pos 44 27.5 9.0 63.6 1.2 2.3 1.4 7.5 -6.3
pair RSI SLmean neg-neg 20 12.5 8.8 65.0 0.6 1.2 0.4 15.5 -20.9
pair SLmean RSI neg-neg 20 12.5 8.8 65.0 0.6 1.2 0.4 15.5 -20.9
pair MRmean SLmean neg-neg 44 27.5 8.4 65.9 0.8 1.1 0.4 11.0 -20.9
pair SLmean MRmean neg-neg 44 27.5 8.4 65.9 0.8 1.1 0.4 11.0 -20.9
pair MACDhist RSI neg-pos 6 3.8 7.8 50.0 0.7 1.9 1.6 12.0 -4.8
pair RSI MACDhist neg-pos 6 3.8 7.8 50.0 0.7 1.9 1.6 12.0 -4.8
pair MRmean RSI neg-neg 21 13.1 7.6 61.9 0.6 1.0 0.4 15.2 -20.9
pair RSI MRmean neg-neg 21 13.1 7.6 61.9 0.6 1.0 0.4 15.2 -20.9
single MRmean MRmean neg-neg 48 30.0 7.4 62.5 0.7 1.1 0.3 10.7 -20.9
pair MRmean RSI neg-pos 27 16.9 7.3 63.0 1.3 3.7 4.2 5.6 -1.7
pair RSI MRmean neg-pos 27 16.9 7.3 63.0 1.3 3.7 4.2 5.6 -1.7
pair RSIhist MACDhist neg-pos 20 12.5 7.1 70.0 1.2 2.0 1.9 6.0 -3.8
pair MACDhist RSIhist neg-pos 20 12.5 7.1 70.0 1.2 2.0 1.9 6.0 -3.8
single SLmean SLmean neg-neg 57 35.6 7.0 63.2 0.7 1.0 0.3 10.0 -20.9
pair MACD LWTI neg-pos 35 21.9 6.8 62.9 0.9 2.1 1.1 7.2 -6.4
pair RSmean MACD neg-pos 5 3.1 6.8 60.0 0.7 0.9 2.0 9.5 -3.3
pair LWTI MACD neg-pos 35 21.9 6.8 62.9 0.9 2.1 1.1 7.2 -6.4
pair MACD RSmean neg-pos 5 3.1 6.8 60.0 0.7 0.9 2.0 9.5 -3.3
pair RSmean SLmean neg-pos 43 26.9 6.4 60.5 0.6 0.9 0.3 11.1 -20.9
pair SLmean RSmean neg-pos 43 26.9 6.4 60.5 0.6 0.9 0.3 11.1 -20.9
pair RSI SLmean neg-pos 37 23.1 6.1 62.2 1.2 2.4 1.8 5.2 -3.4
pair MACDhist MRmean neg-neg 43 26.9 6.1 62.8 0.6 0.9 0.3 10.8 -20.9
pair MRmean MACDhist neg-neg 43 26.9 6.1 62.8 0.6 0.9 0.3 10.8 -20.9
pair SLmean RSI neg-pos 37 23.1 6.1 62.2 1.2 2.4 1.8 5.2 -3.4
pair MACD RSIhist neg-neg 26 16.2 5.9 65.4 0.6 0.9 0.6 11.5 -10.7
pair RSIhist MACD neg-neg 26 16.2 5.9 65.4 0.6 0.9 0.6 11.5 -10.7
pair RSmean RSIhist neg-neg 14 8.8 5.5 64.3 0.8 1.4 1.6 6.9 -3.3
pair RSIhist RSmean neg-neg 14 8.8 5.5 64.3 0.8 1.4 1.6 6.9 -3.3
pair MRmean RSmean pos-neg 7 4.4 5.3 57.1 0.6 1.0 1.2 9.3 -4.5
pair RSIhist MRmean neg-neg 41 25.6 5.3 58.5 0.5 0.8 0.2 11.3 -20.9
pair MRmean RSIhist neg-neg 41 25.6 5.3 58.5 0.5 0.8 0.2 11.3 -20.9
pair RSmean MRmean neg-pos 35 21.9 5.3 57.1 0.5 0.8 0.2 12.0 -20.9
pair RSIhist MACD pos-pos 66 41.2 5.3 66.7 0.9 1.4 0.7 5.7 -7.2
pair MACD RSI neg-neg 20 12.5 5.3 60.0 0.5 0.9 0.5 13.5 -10.7
pair RSI MACD neg-neg 20 12.5 5.3 60.0 0.5 0.9 0.5 13.5 -10.7
pair MACD RSIhist pos-pos 66 41.2 5.3 66.7 0.9 1.4 0.7 5.7 -7.2
pair RSmean MRmean pos-neg 7 4.4 5.3 57.1 0.6 1.0 1.2 9.3 -4.5
pair MRmean RSmean neg-pos 35 21.9 5.3 57.1 0.5 0.8 0.2 12.0 -20.9
pair RSIhist RSI pos-pos 79 49.4 5.2 64.6 0.9 1.5 0.8 5.9 -6.7
pair RSI RSIhist pos-pos 79 49.4 5.2 64.6 0.9 1.5 0.8 5.9 -6.7
pair LWTI RSIhist pos-pos 81 50.6 5.1 64.2 0.8 1.4 0.8 6.1 -6.4
pair RSIhist LWTI pos-pos 81 50.6 5.1 64.2 0.8 1.4 0.8 6.1 -6.4
pair MACDhist SLmean neg-neg 49 30.6 5.0 61.2 0.5 0.7 0.2 10.2 -20.9
pair SLmean MACDhist neg-neg 49 30.6 5.0 61.2 0.5 0.7 0.2 10.2 -20.9
single MACD MACD neg-neg 48 30.0 4.8 60.4 0.5 0.9 0.4 9.8 -11.0
pair MACDhist LWTI neg-pos 58 36.2 4.8 60.3 0.7 1.2 0.4 7.0 -12.8
pair LWTI MACDhist neg-pos 58 36.2 4.8 60.3 0.7 1.2 0.4 7.0 -12.8
pair SLmean RSIhist neg-neg 51 31.9 4.8 58.8 0.5 0.7 0.2 10.2 -20.9
single RSIhist RSIhist pos-pos 88 55.0 4.8 63.6 0.8 1.4 0.8 6.2 -6.4
pair RSIhist SLmean neg-neg 51 31.9 4.8 58.8 0.5 0.7 0.2 10.2 -20.9
pair RSI MACD neg-pos 28 17.5 4.5 60.7 0.7 1.6 1.2 6.1 -3.8
pair MACD RSI neg-pos 28 17.5 4.5 60.7 0.7 1.6 1.2 6.1 -3.8
pair MACD MRmean neg-pos 22 13.8 4.3 54.5 0.5 0.7 0.3 9.7 -12.4
pair RSIhist RSI neg-neg 17 10.6 4.3 58.8 0.3 0.7 0.2 16.5 -20.9
pair MRmean MACD neg-pos 22 13.8 4.3 54.5 0.5 0.7 0.3 9.7 -12.4
single LWTI LWTI pos-pos 140 87.5 4.3 62.1 0.6 0.7 0.3 7.7 -14.1
pair RSI RSIhist neg-neg 17 10.6 4.3 58.8 0.3 0.7 0.2 16.5 -20.9
pair MACDhist RSIhist pos-pos 68 42.5 4.2 61.8 0.7 1.2 0.4 6.3 -9.6
pair RSIhist MACDhist pos-pos 68 42.5 4.2 61.8 0.7 1.2 0.4 6.3 -9.6
pair MACDhist RSI pos-neg 57 35.6 4.1 59.6 0.7 1.2 0.6 5.9 -7.0
pair RSI MACDhist pos-neg 57 35.6 4.1 59.6 0.7 1.2 0.6 5.9 -7.0
pair LWTI MACDhist pos-pos 82 51.2 4.0 63.4 0.5 0.5 0.2 8.2 -19.3
pair MACDhist LWTI pos-pos 82 51.2 4.0 63.4 0.5 0.5 0.2 8.2 -19.3
pair MACD SLmean neg-pos 28 17.5 4.0 53.6 0.5 0.7 0.3 8.6 -12.4
pair SLmean MACD neg-pos 28 17.5 4.0 53.6 0.5 0.7 0.3 8.6 -12.4
single MACDhist MACDhist pos-pos 83 51.9 3.7 62.7 0.5 0.5 0.2 8.2 -20.3
single RSI RSI pos-pos 134 83.8 3.7 61.9 0.6 0.6 0.3 7.1 -14.1
pair MRmean RSIhist pos-pos 81 50.6 3.6 61.7 0.6 1.0 0.3 6.1 -12.0
pair RSIhist MRmean pos-pos 81 50.6 3.6 61.7 0.6 1.0 0.3 6.1 -12.0
pair benchmark___benchmark_ benchmark-benchmark 160 100.0 3.6 61.2 0.5 0.6 0.1 8.6 -24.9
pair benchmark___benchmark_ benchmark-benchmark 160 100.0 3.6 61.2 0.5 0.6 0.1 8.6 -24.9
pair MACD MACDhist neg-neg 37 23.1 3.6 62.2 0.4 0.6 0.3 9.8 -11.0
pair MACDhist MACD neg-neg 37 23.1 3.6 62.2 0.4 0.6 0.3 9.8 -11.0
pair RSmean RSIhist pos-pos 82 51.2 3.6 62.2 0.6 1.0 0.6 5.9 -6.4
pair RSIhist RSmean pos-pos 82 51.2 3.6 62.2 0.6 1.0 0.6 5.9 -6.4
pair RSIhist MACD neg-pos 22 13.8 3.6 54.5 0.5 1.1 0.7 7.6 -5.1
pair MACD RSIhist neg-pos 22 13.8 3.6 54.5 0.5 1.1 0.7 7.6 -5.1
pair MACD MACDhist pos-neg 40 25.0 3.5 57.5 0.4 0.6 0.2 8.5 -18.5
pair MACDhist MACD pos-neg 40 25.0 3.5 57.5 0.4 0.6 0.2 8.5 -18.5
pair MACD RSI pos-pos 106 66.2 3.5 62.3 0.5 0.5 0.2 7.4 -14.1
pair RSI MACD pos-pos 106 66.2 3.5 62.3 0.5 0.5 0.2 7.4 -14.1
pair LWTI MACD pos-pos 105 65.6 3.5 61.9 0.5 0.5 0.2 7.9 -14.1
pair MACD LWTI pos-pos 105 65.6 3.5 61.9 0.5 0.5 0.2 7.9 -14.1
pair LWTI RSmean pos-pos 122 76.2 3.5 60.7 0.5 0.6 0.2 7.8 -14.1
pair RSmean LWTI pos-pos 122 76.2 3.5 60.7 0.5 0.6 0.2 7.8 -14.1
single MACDhist MACDhist neg-neg 77 48.1 3.5 59.7 0.4 0.6 0.1 9.1 -23.6
pair RSI MACDhist pos-pos 77 48.1 3.4 63.6 0.5 0.5 0.2 8.0 -18.4
pair MACDhist RSI pos-pos 77 48.1 3.4 63.6 0.5 0.5 0.2 8.0 -18.4
single RSI RSI neg-neg 26 16.2 3.3 57.7 0.3 0.6 0.2 14.1 -20.9
pair RSI LWTI pos-pos 128 80.0 3.3 61.7 0.5 0.5 0.2 7.2 -14.1
pair LWTI RSI pos-pos 128 80.0 3.3 61.7 0.5 0.5 0.2 7.2 -14.1
pair RSIhist SLmean pos-pos 82 51.2 3.3 61.0 0.6 0.9 0.2 6.1 -13.1
pair SLmean RSIhist pos-pos 82 51.2 3.3 61.0 0.6 0.9 0.2 6.1 -13.1
pair RSmean MACDhist pos-pos 81 50.6 3.3 63.0 0.4 0.5 0.2 8.1 -19.3
pair MACDhist RSmean pos-pos 81 50.6 3.3 63.0 0.4 0.5 0.2 8.1 -19.3
pair LWTI RSIhist neg-pos 59 36.9 3.3 59.3 0.4 0.4 0.2 9.6 -16.3
pair RSIhist LWTI neg-pos 59 36.9 3.3 59.3 0.4 0.4 0.2 9.6 -16.3
single MACD MACD pos-pos 112 70.0 3.1 61.6 0.4 0.5 0.2 8.1 -18.6
pair RSmean MACD pos-pos 107 66.9 3.0 61.7 0.4 0.4 0.2 8.1 -15.8
pair MACD RSmean pos-pos 107 66.9 3.0 61.7 0.4 0.4 0.2 8.1 -15.8
pair MACDhist MACD pos-pos 72 45.0 2.9 63.9 0.4 0.4 0.2 7.9 -18.7
pair MACD MACDhist pos-pos 72 45.0 2.9 63.9 0.4 0.4 0.2 7.9 -18.7
pair MRmean MACD pos-pos 90 56.2 2.9 63.3 0.4 0.4 0.2 7.7 -14.1
pair MACD MRmean pos-pos 90 56.2 2.9 63.3 0.4 0.4 0.2 7.7 -14.1
pair SLmean RSI pos-pos 97 60.6 2.8 61.9 0.4 0.4 0.2 7.8 -14.1
pair RSI SLmean pos-pos 97 60.6 2.8 61.9 0.4 0.4 0.2 7.8 -14.1
pair RSmean RSI pos-pos 117 73.1 2.8 60.7 0.4 0.5 0.2 7.1 -14.1
pair RSI RSmean pos-pos 117 73.1 2.8 60.7 0.4 0.5 0.2 7.1 -14.1
pair MACDhist MRmean pos-pos 78 48.8 2.8 62.8 0.4 0.4 0.1 8.0 -20.3
pair MRmean RSI pos-pos 107 66.9 2.8 61.7 0.4 0.4 0.2 7.5 -14.1
pair RSI MRmean pos-pos 107 66.9 2.8 61.7 0.4 0.4 0.2 7.5 -14.1
pair SLmean MACD pos-pos 84 52.5 2.8 64.3 0.4 0.4 0.2 8.0 -14.1
pair MACD SLmean pos-pos 84 52.5 2.8 64.3 0.4 0.4 0.2 8.0 -14.1
pair MRmean MACDhist pos-pos 78 48.8 2.8 62.8 0.4 0.4 0.1 8.0 -20.3
single RSmean RSmean pos-pos 140 87.5 2.7 60.0 0.3 0.4 0.1 8.8 -22.4
pair MRmean LWTI pos-pos 108 67.5 2.5 61.1 0.4 0.4 0.2 7.6 -14.1
pair LWTI MRmean pos-pos 108 67.5 2.5 61.1 0.4 0.4 0.2 7.6 -14.1
pair SLmean MRmean pos-neg 13 8.1 2.5 53.8 0.5 0.8 0.6 5.6 -4.0
pair MRmean SLmean pos-neg 13 8.1 2.5 53.8 0.5 0.8 0.6 5.6 -4.0
pair RSIhist MACDhist neg-neg 57 35.6 2.3 56.1 0.3 0.4 0.1 9.9 -23.6
pair MACDhist RSIhist neg-neg 57 35.6 2.3 56.1 0.3 0.4 0.1 9.9 -23.6
pair SLmean LWTI pos-pos 96 60.0 2.2 61.5 0.3 0.3 0.2 7.8 -14.2
pair LWTI SLmean pos-pos 96 60.0 2.2 61.5 0.3 0.3 0.2 7.8 -14.2
single RSIhist RSIhist neg-neg 72 45.0 2.2 58.3 0.2 0.3 0.1 10.9 -23.6
pair LWTI RSIhist pos-neg 7 4.4 2.2 57.1 0.3 0.8 0.8 7.8 -2.7
pair RSIhist LWTI pos-neg 7 4.4 2.2 57.1 0.3 0.8 0.8 7.8 -2.7
pair RSmean RSI pos-neg 23 14.4 2.2 56.5 0.2 0.4 0.1 14.8 -20.9
pair RSI RSmean pos-neg 23 14.4 2.2 56.5 0.2 0.4 0.1 14.8 -20.9
pair MACDhist SLmean pos-pos 75 46.9 2.1 61.3 0.3 0.3 0.1 8.1 -20.3
pair SLmean MACDhist pos-pos 75 46.9 2.1 61.3 0.3 0.3 0.1 8.1 -20.3
pair SLmean MRmean pos-pos 99 61.9 2.0 61.6 0.3 0.3 0.1 7.8 -17.3
pair MRmean SLmean pos-pos 99 61.9 2.0 61.6 0.3 0.3 0.1 7.8 -17.3
pair RSI MACDhist neg-neg 20 12.5 2.0 60.0 0.2 0.4 0.1 15.0 -20.9
pair MACDhist RSI neg-neg 20 12.5 2.0 60.0 0.2 0.4 0.1 15.0 -20.9
single MRmean MRmean pos-pos 112 70.0 2.0 60.7 0.3 0.3 0.1 7.5 -17.0
pair RSmean MACDhist pos-neg 59 36.9 1.9 55.9 0.2 0.3 0.1 9.7 -20.9
pair MACDhist RSmean pos-neg 59 36.9 1.9 55.9 0.2 0.3 0.1 9.7 -20.9
single SLmean SLmean pos-pos 103 64.4 1.8 60.2 0.3 0.3 0.1 7.8 -18.4
pair RSIhist MACDhist pos-neg 15 9.4 1.8 66.7 0.2 0.1 0.1 14.4 -14.6
pair MACDhist RSIhist pos-neg 15 9.4 1.8 66.7 0.2 0.1 0.1 14.4 -14.6
pair MACD RSmean pos-neg 33 20.6 1.8 54.5 0.2 0.4 0.2 10.9 -11.2
pair RSmean MRmean pos-pos 105 65.6 1.8 61.0 0.3 0.3 0.1 7.4 -14.1
pair MRmean RSmean pos-pos 105 65.6 1.8 61.0 0.3 0.3 0.1 7.4 -14.1
pair RSmean MACD pos-neg 33 20.6 1.8 54.5 0.2 0.4 0.2 10.9 -11.2
pair RSI RSIhist pos-neg 55 34.4 1.6 58.2 0.2 0.2 0.1 8.7 -12.9
pair RSIhist RSI pos-neg 55 34.4 1.6 58.2 0.2 0.2 0.1 8.7 -12.9
pair RSI RSIhist neg-pos 9 5.6 1.5 55.6 0.2 0.5 0.4 8.6 -3.4
pair RSIhist RSI neg-pos 9 5.6 1.5 55.6 0.2 0.5 0.4 8.6 -3.4
pair RSIhist RSmean pos-neg 58 36.2 1.4 56.9 0.2 0.2 0.1 11.7 -20.9
pair RSmean RSIhist pos-neg 58 36.2 1.4 56.9 0.2 0.2 0.1 11.7 -20.9
pair LWTI MRmean neg-neg 16 10.0 1.2 56.2 0.1 0.2 0.1 14.9 -15.6
pair MRmean LWTI neg-neg 16 10.0 1.2 56.2 0.1 0.2 0.1 14.9 -15.6
pair SLmean RSmean pos-pos 97 60.6 1.1 59.8 0.2 0.2 0.1 7.5 -15.6
pair RSmean SLmean pos-pos 97 60.6 1.1 59.8 0.2 0.2 0.1 7.5 -15.6
pair MACDhist SLmean pos-neg 28 17.5 1.0 57.1 0.2 0.3 0.1 6.7 -10.5
pair SLmean MACDhist pos-neg 28 17.5 1.0 57.1 0.2 0.3 0.1 6.7 -10.5
pair LWTI SLmean neg-neg 13 8.1 0.7 61.5 0.1 0.2 0.1 16.1 -15.6
pair SLmean LWTI neg-neg 13 8.1 0.7 61.5 0.1 0.2 0.1 16.1 -15.6
pair MACDhist MRmean pos-neg 34 21.2 0.4 55.9 0.1 0.1 0.0 6.2 -10.7
pair MRmean MACDhist pos-neg 34 21.2 0.4 55.9 0.1 0.1 0.0 6.2 -10.7
pair MACD RSIhist pos-neg 46 28.7 0.2 54.3 0.1 0.1 0.0 10.6 -15.3
pair RSIhist MACD pos-neg 46 28.7 0.2 54.3 0.1 0.1 0.0 10.6 -15.3
pair LWTI MACDhist neg-neg 19 11.9 -0.2 57.9 0.1 0.1 -0.0 13.8 -15.6
pair MACDhist LWTI neg-neg 19 11.9 -0.2 57.9 0.1 0.1 -0.0 13.8 -15.6
pair MACD LWTI neg-neg 13 8.1 -0.4 53.8 0.0 0.1 -0.0 15.0 -10.7
pair LWTI MACD neg-neg 13 8.1 -0.4 53.8 0.0 0.1 -0.0 15.0 -10.7
single LWTI LWTI neg-neg 20 12.5 -1.0 55.0 -0.0 -0.0 -0.1 13.5 -15.6
pair MACD MRmean pos-neg 22 13.8 -1.2 50.0 -0.1 -0.3 -0.1 6.7 -8.5
pair MRmean MACD pos-neg 22 13.8 -1.2 50.0 -0.1 -0.3 -0.1 6.7 -8.5
pair RSIhist MRmean pos-neg 31 19.4 -1.8 58.1 -0.1 -0.1 -0.1 10.5 -15.8
pair MRmean RSIhist pos-neg 31 19.4 -1.8 58.1 -0.1 -0.1 -0.1 10.5 -15.8
pair MACD LWTI pos-neg 7 4.4 -1.9 57.1 -0.1 -0.1 -0.3 11.2 -6.5
pair LWTI MACD pos-neg 7 4.4 -1.9 57.1 -0.1 -0.1 -0.3 11.2 -6.5
pair LWTI RSIhist neg-neg 13 8.1 -2.6 53.8 -0.1 -0.1 -0.2 16.0 -15.6
pair RSIhist LWTI neg-neg 13 8.1 -2.6 53.8 -0.1 -0.1 -0.2 16.0 -15.6
pair LWTI RSmean pos-neg 18 11.2 -2.6 55.6 -0.1 -0.2 -0.2 13.9 -15.6
pair RSmean LWTI pos-neg 18 11.2 -2.6 55.6 -0.1 -0.2 -0.2 13.9 -15.6
pair SLmean MACD pos-neg 19 11.9 -2.6 42.1 -0.4 -0.7 -0.2 6.7 -10.3
pair MACD SLmean pos-neg 19 11.9 -2.6 42.1 -0.4 -0.7 -0.2 6.7 -10.3
pair SLmean MRmean neg-pos 4 2.5 -2.8 25.0 -0.3 -3.2 -2.0 8.8 -1.4
pair MRmean SLmean neg-pos 4 2.5 -2.8 25.0 -0.3 -3.2 -2.0 8.8 -1.4
pair MACD RSI pos-neg 6 3.8 -3.3 50.0 -0.1 -0.2 -0.3 17.1 -12.4
pair RSI MACD pos-neg 6 3.8 -3.3 50.0 -0.1 -0.2 -0.3 17.1 -12.4
pair RSIhist SLmean pos-neg 21 13.1 -3.9 57.1 -0.2 -0.2 -0.3 12.5 -14.0
pair SLmean RSIhist pos-neg 21 13.1 -3.9 57.1 -0.2 -0.2 -0.3 12.5 -14.0
pair LWTI SLmean pos-neg 7 4.4 -4.0 42.9 -0.5 -1.6 -0.8 7.1 -5.0
pair SLmean LWTI pos-neg 7 4.4 -4.0 42.9 -0.5 -1.6 -0.8 7.1 -5.0
pair RSI LWTI neg-neg 14 8.8 -6.0 50.0 -0.3 -0.6 -0.6 15.6 -10.7
pair LWTI RSI neg-neg 14 8.8 -6.0 50.0 -0.3 -0.6 -0.6 15.6 -10.7
pair LWTI MRmean pos-neg 4 2.5 -9.2 50.0 -1.8 -2.6 -2.5 5.2 -3.7
pair MRmean LWTI pos-neg 4 2.5 -9.2 50.0 -1.8 -2.6 -2.5 5.2 -3.7
pair MRmean RSI pos-neg 5 3.1 -12.9 40.0 -1.9 -3.5 -3.8 7.0 -3.4
pair RSI MRmean pos-neg 5 3.1 -12.9 40.0 -1.9 -3.5 -3.8 7.0 -3.4
pair RSI SLmean pos-neg 6 3.8 -13.2 33.3 -2.2 -3.8 -2.4 6.3 -5.6
pair SLmean RSI pos-neg 6 3.8 -13.2 33.3 -2.2 -3.8 -2.4 6.3 -5.6
pair LWTI MACDhist pos-neg 1 0.6 -13.8 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 1 0.6 -13.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for VWOB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 2.0% | Win 62%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 8% | MDD -17.3%
Months 99M (62%)
CAGR 2.5% | Win 54%
Sharpe 0.46 | Sortino 0.78 | Calmar 0.6
Vol 6% | MDD -4.0%
Months 13M (8%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR -2.8% | Win 25%
Sharpe -0.28 | Sortino -3.20 | Calmar -2.0
Vol 9% | MDD -1.4%
Months 4M (2%)
CAGR 8.4% | Win 66%
Sharpe 0.79 | Sortino 1.12 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 44M (28%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
SLmean
only
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 1.8% | Win 61%
Sharpe 0.28 | Sortino 0.29 | Calmar 0.1
Vol 7% | MDD -14.1%
Months 105M (66%)
CAGR 5.3% | Win 57%
Sharpe 0.60 | Sortino 1.04 | Calmar 1.2
Vol 9% | MDD -4.5%
Months 7M (4%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 5.3% | Win 57%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.3
Vol 12% | MDD -20.9%
Months 35M (22%)
CAGR 13.5% | Win 77%
Sharpe 2.03 | Sortino 6.18 | Calmar 6.6
Vol 6% | MDD -2.1%
Months 13M (8%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
RSmean
only
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 2.9% | Win 63%
Sharpe 0.41 | Sortino 0.40 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 90M (56%)
CAGR -1.2% | Win 50%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.1
Vol 7% | MDD -8.5%
Months 22M (14%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 4.3% | Win 55%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.3
Vol 10% | MDD -12.4%
Months 22M (14%)
CAGR 10.2% | Win 69%
Sharpe 0.89 | Sortino 1.38 | Calmar 0.9
Vol 12% | MDD -10.7%
Months 26M (16%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 62%
Sharpe 0.41 | Sortino 0.43 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 107M (67%)
CAGR -12.9% | Win 40%
Sharpe -1.94 | Sortino -3.52 | Calmar -3.8
Vol 7% | MDD -3.4%
Months 5M (3%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 7.3% | Win 63%
Sharpe 1.30 | Sortino 3.72 | Calmar 4.2
Vol 6% | MDD -1.7%
Months 27M (17%)
CAGR 7.6% | Win 62%
Sharpe 0.55 | Sortino 1.04 | Calmar 0.4
Vol 15% | MDD -20.9%
Months 21M (13%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
RSI
only
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 2.8% | Win 63%
Sharpe 0.38 | Sortino 0.38 | Calmar 0.1
Vol 8% | MDD -20.3%
Months 78M (49%)
CAGR 0.4% | Win 56%
Sharpe 0.09 | Sortino 0.14 | Calmar 0.0
Vol 6% | MDD -10.7%
Months 34M (21%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 20.0% | Win 60%
Sharpe 1.76 | Sortino 14.34 | Calmar 13.9
Vol 11% | MDD -1.4%
Months 5M (3%)
CAGR 6.1% | Win 63%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.3
Vol 11% | MDD -20.9%
Months 43M (27%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
MACDhist
only
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.6% | Win 62%
Sharpe 0.61 | Sortino 1.00 | Calmar 0.3
Vol 6% | MDD -12.0%
Months 81M (51%)
CAGR -1.8% | Win 58%
Sharpe -0.12 | Sortino -0.11 | Calmar -0.1
Vol 10% | MDD -15.8%
Months 31M (19%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 20.9% | Win 86%
Sharpe 2.98 | Sortino 0.00 | Calmar 15.9
Vol 6% | MDD -1.3%
Months 7M (4%)
CAGR 5.3% | Win 58%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.3
Vol 11% | MDD -20.9%
Months 41M (26%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 2.5% | Win 61%
Sharpe 0.36 | Sortino 0.39 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 108M (68%)
CAGR -9.2% | Win 50%
Sharpe -1.81 | Sortino -2.58 | Calmar -2.5
Vol 5% | MDD -3.7%
Months 4M (2%)
CAGR 2.0% | Win 61%
Sharpe 0.31 | Sortino 0.33 | Calmar 0.1
Vol 8% | MDD -17.0%
Months 112M (70%)
MRmean
neg
CAGR 10.7% | Win 66%
Sharpe 1.29 | Sortino 2.58 | Calmar 1.7
Vol 8% | MDD -6.3%
Months 32M (20%)
CAGR 1.2% | Win 56%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.1
Vol 15% | MDD -15.6%
Months 16M (10%)
CAGR 7.4% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 11% | MDD -20.9%
Months 48M (30%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 1.1% | Win 60%
Sharpe 0.18 | Sortino 0.19 | Calmar 0.1
Vol 8% | MDD -15.6%
Months 97M (61%)
CAGR 14.1% | Win 67%
Sharpe 1.27 | Sortino 2.69 | Calmar 3.1
Vol 11% | MDD -4.5%
Months 6M (4%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 6.4% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 11% | MDD -20.9%
Months 43M (27%)
CAGR 9.0% | Win 71%
Sharpe 1.55 | Sortino 3.38 | Calmar 4.4
Vol 6% | MDD -2.1%
Months 14M (9%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
RSmean
only
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 64%
Sharpe 0.39 | Sortino 0.39 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 84M (52%)
CAGR -2.6% | Win 42%
Sharpe -0.36 | Sortino -0.69 | Calmar -0.3
Vol 7% | MDD -10.3%
Months 19M (12%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 4.0% | Win 54%
Sharpe 0.51 | Sortino 0.66 | Calmar 0.3
Vol 9% | MDD -12.4%
Months 28M (18%)
CAGR 10.0% | Win 72%
Sharpe 0.90 | Sortino 1.40 | Calmar 0.9
Vol 11% | MDD -10.7%
Months 29M (18%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 62%
Sharpe 0.40 | Sortino 0.41 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 97M (61%)
CAGR -13.2% | Win 33%
Sharpe -2.22 | Sortino -3.75 | Calmar -2.4
Vol 6% | MDD -5.6%
Months 6M (4%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 6.1% | Win 62%
Sharpe 1.16 | Sortino 2.38 | Calmar 1.8
Vol 5% | MDD -3.4%
Months 37M (23%)
CAGR 8.8% | Win 65%
Sharpe 0.62 | Sortino 1.22 | Calmar 0.4
Vol 16% | MDD -20.9%
Months 20M (12%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
RSI
only
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 2.1% | Win 61%
Sharpe 0.30 | Sortino 0.30 | Calmar 0.1
Vol 8% | MDD -20.3%
Months 75M (47%)
CAGR 1.0% | Win 57%
Sharpe 0.17 | Sortino 0.29 | Calmar 0.1
Vol 7% | MDD -10.5%
Months 28M (18%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 20.2% | Win 75%
Sharpe 2.29 | Sortino 14.36 | Calmar 14.1
Vol 8% | MDD -1.4%
Months 8M (5%)
CAGR 5.0% | Win 61%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.2
Vol 10% | MDD -20.9%
Months 49M (31%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
MACDhist
only
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.3% | Win 61%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.3
Vol 6% | MDD -13.1%
Months 82M (51%)
CAGR -3.9% | Win 57%
Sharpe -0.25 | Sortino -0.23 | Calmar -0.3
Vol 12% | MDD -14.0%
Months 21M (13%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 28.1% | Win 100%
Sharpe 4.88 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 6M (4%)
CAGR 4.8% | Win 59%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 10% | MDD -20.9%
Months 51M (32%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 2.2% | Win 62%
Sharpe 0.32 | Sortino 0.34 | Calmar 0.2
Vol 8% | MDD -14.2%
Months 96M (60%)
CAGR -4.0% | Win 43%
Sharpe -0.54 | Sortino -1.56 | Calmar -0.8
Vol 7% | MDD -5.0%
Months 7M (4%)
CAGR 1.8% | Win 60%
Sharpe 0.27 | Sortino 0.29 | Calmar 0.1
Vol 8% | MDD -18.4%
Months 103M (64%)
SLmean
neg
CAGR 9.0% | Win 64%
Sharpe 1.19 | Sortino 2.29 | Calmar 1.4
Vol 8% | MDD -6.3%
Months 44M (28%)
CAGR 0.7% | Win 62%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 16% | MDD -15.6%
Months 13M (8%)
CAGR 7.0% | Win 63%
Sharpe 0.73 | Sortino 1.04 | Calmar 0.3
Vol 10% | MDD -20.9%
Months 57M (36%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.0% | Win 62%
Sharpe 0.40 | Sortino 0.42 | Calmar 0.2
Vol 8% | MDD -15.8%
Months 107M (67%)
CAGR 1.8% | Win 55%
Sharpe 0.21 | Sortino 0.37 | Calmar 0.2
Vol 11% | MDD -11.2%
Months 33M (21%)
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
RSmean
neg
CAGR 6.8% | Win 60%
Sharpe 0.73 | Sortino 0.95 | Calmar 2.1
Vol 10% | MDD -3.3%
Months 5M (3%)
CAGR 11.8% | Win 73%
Sharpe 1.67 | Sortino 6.54 | Calmar 5.8
Vol 7% | MDD -2.1%
Months 15M (9%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
MACD
only
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 61%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 7% | MDD -14.1%
Months 117M (73%)
CAGR 2.2% | Win 56%
Sharpe 0.21 | Sortino 0.44 | Calmar 0.1
Vol 15% | MDD -20.9%
Months 23M (14%)
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
RSmean
neg
CAGR 10.2% | Win 71%
Sharpe 1.33 | Sortino 2.49 | Calmar 3.1
Vol 8% | MDD -3.3%
Months 17M (11%)
CAGR 12.3% | Win 67%
Sharpe 1.59 | Sortino 0.00 | Calmar 10.0
Vol 8% | MDD -1.2%
Months 3M (2%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
RSI
only
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 3.3% | Win 63%
Sharpe 0.44 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -19.3%
Months 81M (51%)
CAGR 1.9% | Win 56%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 10% | MDD -20.9%
Months 59M (37%)
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
RSmean
neg
CAGR 23.8% | Win 50%
Sharpe 1.47 | Sortino 0.00 | Calmar 0.0
Vol 15% | MDD 0.0%
Months 2M (1%)
CAGR 9.2% | Win 72%
Sharpe 1.34 | Sortino 2.24 | Calmar 2.8
Vol 7% | MDD -3.3%
Months 18M (11%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
MACDhist
only
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 3.6% | Win 62%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.6
Vol 6% | MDD -6.4%
Months 82M (51%)
CAGR 1.4% | Win 57%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.1
Vol 12% | MDD -20.9%
Months 58M (36%)
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
RSmean
neg
CAGR 23.4% | Win 83%
Sharpe 2.71 | Sortino 0.00 | Calmar 19.0
Vol 8% | MDD -1.2%
Months 6M (4%)
CAGR 5.5% | Win 64%
Sharpe 0.80 | Sortino 1.38 | Calmar 1.6
Vol 7% | MDD -3.3%
Months 14M (9%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.5% | Win 61%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 122M (76%)
CAGR -2.6% | Win 56%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.2
Vol 14% | MDD -15.6%
Months 18M (11%)
CAGR 2.7% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 9% | MDD -22.4%
Months 140M (88%)
RSmean
neg
CAGR 10.1% | Win 72%
Sharpe 1.38 | Sortino 2.45 | Calmar 3.0
Vol 7% | MDD -3.3%
Months 18M (11%)
CAGR 14.9% | Win 50%
Sharpe 1.21 | Sortino 0.00 | Calmar 12.1
Vol 12% | MDD -1.2%
Months 2M (1%)
CAGR 10.5% | Win 70%
Sharpe 1.41 | Sortino 2.83 | Calmar 2.3
Vol 7% | MDD -4.5%
Months 20M (12%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.5% | Win 62%
Sharpe 0.50 | Sortino 0.52 | Calmar 0.2
Vol 7% | MDD -14.1%
Months 106M (66%)
CAGR -3.3% | Win 50%
Sharpe -0.12 | Sortino -0.24 | Calmar -0.3
Vol 17% | MDD -12.4%
Months 6M (4%)
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
MACD
neg
CAGR 4.5% | Win 61%
Sharpe 0.74 | Sortino 1.59 | Calmar 1.2
Vol 6% | MDD -3.8%
Months 28M (18%)
CAGR 5.3% | Win 60%
Sharpe 0.45 | Sortino 0.87 | Calmar 0.5
Vol 14% | MDD -10.7%
Months 20M (12%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
RSI
only
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 2.9% | Win 64%
Sharpe 0.41 | Sortino 0.38 | Calmar 0.2
Vol 8% | MDD -18.7%
Months 72M (45%)
CAGR 3.5% | Win 57%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 8% | MDD -18.5%
Months 40M (25%)
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
MACD
neg
CAGR 9.1% | Win 55%
Sharpe 0.89 | Sortino 2.89 | Calmar 1.4
Vol 10% | MDD -6.4%
Months 11M (7%)
CAGR 3.6% | Win 62%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.3
Vol 10% | MDD -11.0%
Months 37M (23%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
MACDhist
only
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.3% | Win 67%
Sharpe 0.93 | Sortino 1.41 | Calmar 0.7
Vol 6% | MDD -7.2%
Months 66M (41%)
CAGR 0.2% | Win 54%
Sharpe 0.07 | Sortino 0.07 | Calmar 0.0
Vol 11% | MDD -15.3%
Months 46M (29%)
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
MACD
neg
CAGR 3.6% | Win 55%
Sharpe 0.50 | Sortino 1.08 | Calmar 0.7
Vol 8% | MDD -5.1%
Months 22M (14%)
CAGR 5.9% | Win 65%
Sharpe 0.55 | Sortino 0.86 | Calmar 0.5
Vol 12% | MDD -10.7%
Months 26M (16%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.5% | Win 62%
Sharpe 0.47 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -14.1%
Months 105M (66%)
CAGR -1.9% | Win 57%
Sharpe -0.12 | Sortino -0.12 | Calmar -0.3
Vol 11% | MDD -6.5%
Months 7M (4%)
CAGR 3.1% | Win 62%
Sharpe 0.42 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.6%
Months 112M (70%)
MACD
neg
CAGR 6.8% | Win 63%
Sharpe 0.95 | Sortino 2.10 | Calmar 1.1
Vol 7% | MDD -6.4%
Months 35M (22%)
CAGR -0.4% | Win 54%
Sharpe 0.04 | Sortino 0.08 | Calmar -0.0
Vol 15% | MDD -10.7%
Months 13M (8%)
CAGR 4.8% | Win 60%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 48M (30%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.4% | Win 64%
Sharpe 0.47 | Sortino 0.45 | Calmar 0.2
Vol 8% | MDD -18.4%
Months 77M (48%)
CAGR 4.1% | Win 60%
Sharpe 0.70 | Sortino 1.21 | Calmar 0.6
Vol 6% | MDD -7.0%
Months 57M (36%)
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
RSI
neg
CAGR 7.8% | Win 50%
Sharpe 0.68 | Sortino 1.95 | Calmar 1.6
Vol 12% | MDD -4.8%
Months 6M (4%)
CAGR 2.0% | Win 60%
Sharpe 0.20 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -20.9%
Months 20M (12%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
MACDhist
only
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.2% | Win 65%
Sharpe 0.89 | Sortino 1.49 | Calmar 0.8
Vol 6% | MDD -6.7%
Months 79M (49%)
CAGR 1.6% | Win 58%
Sharpe 0.22 | Sortino 0.22 | Calmar 0.1
Vol 9% | MDD -12.9%
Months 55M (34%)
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
RSI
neg
CAGR 1.5% | Win 56%
Sharpe 0.20 | Sortino 0.48 | Calmar 0.4
Vol 9% | MDD -3.4%
Months 9M (6%)
CAGR 4.3% | Win 59%
Sharpe 0.33 | Sortino 0.69 | Calmar 0.2
Vol 16% | MDD -20.9%
Months 17M (11%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 3.3% | Win 62%
Sharpe 0.49 | Sortino 0.54 | Calmar 0.2
Vol 7% | MDD -14.1%
Months 128M (80%)
CAGR 11.9% | Win 67%
Sharpe 1.92 | Sortino 3.87 | Calmar 7.6
Vol 6% | MDD -1.6%
Months 6M (4%)
CAGR 3.7% | Win 62%
Sharpe 0.55 | Sortino 0.60 | Calmar 0.3
Vol 7% | MDD -14.1%
Months 134M (84%)
RSI
neg
CAGR 15.2% | Win 67%
Sharpe 1.24 | Sortino 2.56 | Calmar 2.1
Vol 12% | MDD -7.3%
Months 12M (8%)
CAGR -6.0% | Win 50%
Sharpe -0.32 | Sortino -0.61 | Calmar -0.6
Vol 16% | MDD -10.7%
Months 14M (9%)
CAGR 3.3% | Win 58%
Sharpe 0.30 | Sortino 0.57 | Calmar 0.2
Vol 14% | MDD -20.9%
Months 26M (16%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 4.2% | Win 62%
Sharpe 0.68 | Sortino 1.16 | Calmar 0.4
Vol 6% | MDD -9.6%
Months 68M (42%)
CAGR 1.8% | Win 67%
Sharpe 0.20 | Sortino 0.15 | Calmar 0.1
Vol 14% | MDD -14.6%
Months 15M (9%)
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
MACDhist
neg
CAGR 7.1% | Win 70%
Sharpe 1.19 | Sortino 1.97 | Calmar 1.9
Vol 6% | MDD -3.8%
Months 20M (12%)
CAGR 2.3% | Win 56%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 10% | MDD -23.6%
Months 57M (36%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
RSIhist
only
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.0% | Win 63%
Sharpe 0.52 | Sortino 0.53 | Calmar 0.2
Vol 8% | MDD -19.3%
Months 82M (51%)
CAGR -13.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 3.7% | Win 63%
Sharpe 0.49 | Sortino 0.51 | Calmar 0.2
Vol 8% | MDD -20.3%
Months 83M (52%)
MACDhist
neg
CAGR 4.8% | Win 60%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 7% | MDD -12.8%
Months 58M (36%)
CAGR -0.2% | Win 58%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 14% | MDD -15.6%
Months 19M (12%)
CAGR 3.5% | Win 60%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.1
Vol 9% | MDD -23.6%
Months 77M (48%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.1% | Win 64%
Sharpe 0.84 | Sortino 1.38 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 81M (51%)
CAGR 2.2% | Win 57%
Sharpe 0.32 | Sortino 0.85 | Calmar 0.8
Vol 8% | MDD -2.7%
Months 7M (4%)
CAGR 4.8% | Win 64%
Sharpe 0.80 | Sortino 1.36 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 88M (55%)
RSIhist
neg
CAGR 3.3% | Win 59%
Sharpe 0.39 | Sortino 0.42 | Calmar 0.2
Vol 10% | MDD -16.3%
Months 59M (37%)
CAGR -2.6% | Win 54%
Sharpe -0.09 | Sortino -0.15 | Calmar -0.2
Vol 16% | MDD -15.6%
Months 13M (8%)
CAGR 2.2% | Win 58%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.1
Vol 11% | MDD -23.6%
Months 72M (45%)
LWTI
only
CAGR 4.3% | Win 62%
Sharpe 0.59 | Sortino 0.69 | Calmar 0.3
Vol 8% | MDD -14.1%
Months 140M (88%)
CAGR -1.0% | Win 55%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 14% | MDD -15.6%
Months 20M (12%)