XHB - State Street SPDR S&P Homebuilders ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

180.1%

Best CAGR

69

Total Months

6.0%

Avg CAGR

XHB 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 XHB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean MACDhist neg-pos 2 0.8 180.1 100.0 5.9 0.0 0.0 18.3 0.0
pair MACDhist RSmean neg-pos 2 0.8 180.1 100.0 5.9 0.0 0.0 18.3 0.0
pair MRmean RSmean pos-neg 5 2.1 103.4 100.0 5.3 0.0 0.0 14.0 0.0
pair RSmean MRmean pos-neg 5 2.1 103.4 100.0 5.3 0.0 0.0 14.0 0.0
pair RSmean SLmean pos-neg 5 2.1 103.4 100.0 5.3 0.0 0.0 14.0 0.0
pair SLmean RSmean pos-neg 5 2.1 103.4 100.0 5.3 0.0 0.0 14.0 0.0
pair RSmean RSIhist neg-pos 6 2.5 48.8 83.3 1.9 0.0 7.3 22.4 -6.7
pair RSIhist RSmean neg-pos 6 2.5 48.8 83.3 1.9 0.0 7.3 22.4 -6.7
pair RSI MACD pos-neg 19 7.9 36.3 63.2 1.1 2.5 2.8 35.3 -13.2
pair MACD RSI pos-neg 19 7.9 36.3 63.2 1.1 2.5 2.8 35.3 -13.2
pair SLmean LWTI neg-neg 29 12.1 29.8 65.5 0.8 2.3 0.7 41.4 -40.0
pair LWTI SLmean neg-neg 29 12.1 29.8 65.5 0.8 2.3 0.7 41.4 -40.0
pair SLmean MRmean pos-neg 18 7.5 28.1 61.1 1.1 8.6 2.3 26.9 -12.0
pair MRmean SLmean pos-neg 18 7.5 28.1 61.1 1.1 8.6 2.3 26.9 -12.0
pair RSIhist SLmean neg-pos 16 6.7 23.7 62.5 0.7 1.7 0.8 40.2 -29.0
pair SLmean RSIhist neg-pos 16 6.7 23.7 62.5 0.7 1.7 0.8 40.2 -29.0
pair MACD MACDhist neg-pos 24 10.0 22.9 62.5 0.8 1.4 0.9 30.4 -25.8
pair MACDhist MACD neg-pos 24 10.0 22.9 62.5 0.8 1.4 0.9 30.4 -25.8
pair MACDhist RSI neg-pos 20 8.3 22.0 55.0 0.8 1.8 1.1 31.4 -20.6
pair RSI MACDhist neg-pos 20 8.3 22.0 55.0 0.8 1.8 1.1 31.4 -20.6
pair MRmean LWTI neg-neg 35 14.6 20.7 62.9 0.7 1.6 0.5 38.7 -39.9
pair LWTI MRmean neg-neg 35 14.6 20.7 62.9 0.7 1.6 0.5 38.7 -39.9
pair RSIhist LWTI neg-neg 25 10.4 17.3 68.0 0.6 1.9 0.5 34.9 -33.2
pair LWTI RSIhist neg-neg 25 10.4 17.3 68.0 0.6 1.9 0.5 34.9 -33.2
pair MRmean LWTI pos-pos 130 54.2 16.8 62.3 0.8 1.3 0.6 22.0 -26.3
pair LWTI MRmean pos-pos 130 54.2 16.8 62.3 0.8 1.3 0.6 22.0 -26.3
pair SLmean LWTI pos-pos 117 48.8 15.8 63.2 0.8 1.1 0.6 22.1 -26.3
pair LWTI SLmean pos-pos 117 48.8 15.8 63.2 0.8 1.1 0.6 22.1 -26.3
pair MACDhist MRmean pos-pos 115 47.9 14.7 60.0 0.7 1.2 0.6 22.8 -26.3
pair MRmean MACDhist pos-pos 115 47.9 14.7 60.0 0.7 1.2 0.6 22.8 -26.3
pair RSIhist LWTI pos-pos 110 45.8 14.7 64.5 0.7 1.0 0.6 21.9 -26.3
pair LWTI RSIhist pos-pos 110 45.8 14.7 64.5 0.7 1.0 0.6 21.9 -26.3
pair MACD MACDhist pos-neg 70 29.2 14.2 62.9 0.7 1.4 0.7 24.3 -21.5
pair MACDhist MACD pos-neg 70 29.2 14.2 62.9 0.7 1.4 0.7 24.3 -21.5
pair MACDhist RSIhist pos-pos 101 42.1 14.2 60.4 0.7 1.1 0.5 23.1 -26.3
pair RSIhist MACDhist pos-pos 101 42.1 14.2 60.4 0.7 1.1 0.5 23.1 -26.3
pair MRmean MACD pos-pos 130 54.2 13.1 60.0 0.7 1.3 0.5 20.8 -28.8
pair MACD MRmean pos-pos 130 54.2 13.1 60.0 0.7 1.3 0.5 20.8 -28.8
pair RSIhist MACD pos-pos 101 42.1 12.9 60.4 0.7 1.2 0.4 20.1 -34.7
pair MACD RSIhist pos-pos 101 42.1 12.9 60.4 0.7 1.2 0.4 20.1 -34.7
pair MACDhist SLmean pos-pos 100 41.7 12.7 60.0 0.7 1.0 0.5 22.0 -26.3
pair SLmean MACDhist pos-pos 100 41.7 12.7 60.0 0.7 1.0 0.5 22.0 -26.3
pair MACD SLmean pos-pos 118 49.2 12.6 60.2 0.7 1.2 0.5 20.3 -25.3
pair SLmean MACD pos-pos 118 49.2 12.6 60.2 0.7 1.2 0.5 20.3 -25.3
pair MRmean RSIhist pos-neg 30 12.5 11.9 56.7 0.6 1.6 0.5 23.1 -22.3
pair RSIhist MRmean pos-neg 30 12.5 11.9 56.7 0.6 1.6 0.5 23.1 -22.3
pair RSmean MACD pos-pos 168 70.0 11.4 60.7 0.6 0.8 0.3 24.2 -42.2
pair MACD RSmean pos-pos 168 70.0 11.4 60.7 0.6 0.8 0.3 24.2 -42.2
pair RSI MRmean pos-pos 137 57.1 11.3 60.6 0.6 1.0 0.4 21.3 -28.8
pair MRmean RSI pos-pos 137 57.1 11.3 60.6 0.6 1.0 0.4 21.3 -28.8
pair LWTI MACD pos-neg 28 11.7 11.3 57.1 0.6 1.4 0.6 25.0 -20.1
pair MACD LWTI pos-neg 28 11.7 11.3 57.1 0.6 1.4 0.6 25.0 -20.1
pair LWTI MACDhist pos-pos 121 50.4 11.2 61.2 0.6 0.7 0.3 24.6 -36.6
pair MACDhist LWTI pos-pos 121 50.4 11.2 61.2 0.6 0.7 0.3 24.6 -36.6
pair SLmean RSmean neg-pos 83 34.6 11.1 62.7 0.5 0.8 0.2 35.2 -53.1
pair RSmean SLmean neg-pos 83 34.6 11.1 62.7 0.5 0.8 0.2 35.2 -53.1
single MACDhist MACDhist pos-pos 127 52.9 10.9 59.8 0.5 0.7 0.3 25.5 -36.6
pair RSIhist RSI pos-pos 108 45.0 10.6 61.1 0.6 0.9 0.3 20.9 -34.7
single MACD MACD pos-pos 173 72.1 10.6 60.7 0.5 0.8 0.2 24.2 -42.2
pair RSI RSIhist pos-pos 108 45.0 10.6 61.1 0.6 0.9 0.3 20.9 -34.7
pair LWTI MACD pos-pos 145 60.4 10.5 61.4 0.5 0.8 0.3 24.1 -37.7
pair MACD LWTI pos-pos 145 60.4 10.5 61.4 0.5 0.8 0.3 24.1 -37.7
pair RSIhist SLmean pos-neg 19 7.9 10.4 57.9 0.5 1.1 0.7 23.0 -15.5
pair SLmean RSIhist pos-neg 19 7.9 10.4 57.9 0.5 1.1 0.7 23.0 -15.5
single MRmean MRmean pos-pos 150 62.5 9.6 60.0 0.5 0.7 0.3 23.2 -28.8
pair LWTI RSmean pos-pos 166 69.2 9.3 61.4 0.5 0.7 0.2 25.5 -49.6
pair RSmean LWTI pos-pos 166 69.2 9.3 61.4 0.5 0.7 0.2 25.5 -49.6
pair RSmean MACDhist pos-pos 125 52.1 9.3 59.2 0.5 0.7 0.2 25.4 -36.7
pair MACDhist RSmean pos-pos 125 52.1 9.3 59.2 0.5 0.7 0.2 25.4 -36.7
pair MRmean RSIhist pos-pos 120 50.0 9.1 60.8 0.5 0.6 0.3 23.4 -34.7
pair RSI SLmean neg-neg 59 24.6 9.1 61.0 0.4 1.0 0.1 36.7 -60.3
pair SLmean RSI neg-neg 59 24.6 9.1 61.0 0.4 1.0 0.1 36.7 -60.3
pair SLmean RSI pos-pos 124 51.7 9.1 60.5 0.5 0.8 0.4 20.5 -25.3
pair RSIhist MRmean pos-pos 120 50.0 9.1 60.8 0.5 0.6 0.3 23.4 -34.7
pair RSI SLmean pos-pos 124 51.7 9.1 60.5 0.5 0.8 0.4 20.5 -25.3
pair RSI MACDhist pos-pos 107 44.6 8.9 60.7 0.5 0.6 0.2 24.3 -36.6
pair MACDhist RSI pos-pos 107 44.6 8.9 60.7 0.5 0.6 0.2 24.3 -36.6
pair RSIhist RSI neg-neg 46 19.2 8.5 60.9 0.4 1.0 0.2 35.9 -51.9
pair RSI RSIhist neg-neg 46 19.2 8.5 60.9 0.4 1.0 0.2 35.9 -51.9
single RSIhist RSIhist pos-pos 140 58.3 8.4 60.7 0.4 0.6 0.1 25.8 -54.2
pair MACDhist MACD pos-pos 103 42.9 8.3 59.2 0.5 0.6 0.2 24.3 -36.6
pair MACD MACDhist pos-pos 103 42.9 8.3 59.2 0.5 0.6 0.2 24.3 -36.6
pair RSI MRmean neg-neg 65 27.1 7.9 61.5 0.4 0.9 0.1 36.5 -68.0
pair MRmean RSI neg-neg 65 27.1 7.9 61.5 0.4 0.9 0.1 36.5 -68.0
pair RSI LWTI neg-pos 44 18.3 7.9 61.4 0.4 0.8 0.2 31.6 -48.9
pair LWTI RSI neg-pos 44 18.3 7.9 61.4 0.4 0.8 0.2 31.6 -48.9
pair MACD RSI pos-pos 154 64.2 7.8 60.4 0.5 0.6 0.2 22.5 -39.8
pair RSI MACD pos-pos 154 64.2 7.8 60.4 0.5 0.6 0.2 22.5 -39.8
single LWTI LWTI pos-pos 185 77.1 7.6 61.6 0.4 0.6 0.1 25.3 -52.0
pair LWTI RSI pos-pos 141 58.8 7.5 61.7 0.4 0.6 0.2 23.2 -37.6
pair MACD RSIhist pos-neg 72 30.0 7.5 61.1 0.4 0.6 0.2 29.2 -43.6
pair RSIhist MACD pos-neg 72 30.0 7.5 61.1 0.4 0.6 0.2 29.2 -43.6
pair RSI LWTI pos-pos 141 58.8 7.5 61.7 0.4 0.6 0.2 23.2 -37.6
pair RSI RSmean pos-pos 156 65.0 7.3 60.9 0.4 0.6 0.2 22.8 -39.8
pair MRmean SLmean pos-pos 132 55.0 7.3 59.8 0.4 0.6 0.2 22.7 -34.7
pair RSmean RSI pos-pos 156 65.0 7.3 60.9 0.4 0.6 0.2 22.8 -39.8
pair RSmean MRmean pos-pos 145 60.4 7.3 58.6 0.4 0.6 0.2 23.3 -28.8
pair MRmean RSmean pos-pos 145 60.4 7.3 58.6 0.4 0.6 0.2 23.3 -28.8
pair SLmean MRmean pos-pos 132 55.0 7.3 59.8 0.4 0.6 0.2 22.7 -34.7
pair RSIhist RSmean pos-neg 87 36.2 7.2 60.9 0.4 0.6 0.1 31.8 -47.6
pair RSmean RSIhist pos-neg 87 36.2 7.2 60.9 0.4 0.6 0.1 31.8 -47.6
single SLmean SLmean pos-pos 143 59.6 7.1 60.1 0.4 0.5 0.2 23.3 -42.6
single RSmean RSmean pos-pos 221 92.1 7.0 60.2 0.4 0.6 0.1 28.3 -73.1
pair RSIhist RSmean pos-pos 134 55.8 6.9 59.7 0.4 0.5 0.1 25.9 -48.6
pair RSmean RSIhist pos-pos 134 55.8 6.9 59.7 0.4 0.5 0.1 25.9 -48.6
pair SLmean RSIhist pos-pos 124 51.7 6.6 60.5 0.4 0.5 0.1 23.4 -42.6
pair RSIhist SLmean pos-pos 124 51.7 6.6 60.5 0.4 0.5 0.1 23.4 -42.6
pair MACD SLmean neg-pos 55 22.9 6.5 61.8 0.4 0.6 0.2 31.2 -38.3
pair SLmean MACD neg-pos 55 22.9 6.5 61.8 0.4 0.6 0.2 31.2 -38.3
pair RSmean RSI pos-neg 65 27.1 6.4 58.5 0.3 0.7 0.1 38.7 -73.1
pair MRmean RSmean neg-pos 76 31.7 6.4 63.2 0.3 0.6 0.1 36.2 -62.3
pair RSmean MRmean neg-pos 76 31.7 6.4 63.2 0.3 0.6 0.1 36.2 -62.3
pair RSI RSmean pos-neg 65 27.1 6.4 58.5 0.3 0.7 0.1 38.7 -73.1
single RSI RSI pos-pos 162 67.5 6.1 60.5 0.4 0.5 0.1 22.8 -39.8
pair benchmark___benchmark_ benchmark-benchmark 240 100.0 5.9 60.4 0.3 0.5 0.1 28.0 -78.4
pair benchmark___benchmark_ benchmark-benchmark 240 100.0 5.9 60.4 0.3 0.5 0.1 28.0 -78.4
single RSI RSI neg-neg 78 32.5 5.4 60.3 0.3 0.6 0.1 36.7 -77.2
pair RSmean SLmean pos-pos 138 57.5 4.6 58.7 0.3 0.4 0.1 23.3 -45.5
pair LWTI MACDhist pos-neg 6 2.5 4.6 33.3 0.3 0.8 0.4 42.0 -10.9
pair MACDhist LWTI pos-neg 6 2.5 4.6 33.3 0.3 0.8 0.4 42.0 -10.9
pair SLmean RSmean pos-pos 138 57.5 4.6 58.7 0.3 0.4 0.1 23.3 -45.5
pair MRmean RSIhist neg-pos 20 8.3 4.3 60.0 0.3 0.6 0.1 37.9 -43.0
pair SLmean MACDhist neg-pos 27 11.2 4.3 59.3 0.3 0.4 0.1 36.0 -47.1
pair MACDhist SLmean neg-pos 27 11.2 4.3 59.3 0.3 0.4 0.1 36.0 -47.1
pair RSIhist MRmean neg-pos 20 8.3 4.3 60.0 0.3 0.6 0.1 37.9 -43.0
pair MACDhist RSmean pos-neg 96 40.0 4.1 61.5 0.3 0.5 0.1 31.9 -73.1
pair RSmean MACDhist pos-neg 96 40.0 4.1 61.5 0.3 0.5 0.1 31.9 -73.1
single SLmean SLmean neg-neg 97 40.4 4.1 60.8 0.3 0.5 0.1 33.9 -62.4
pair SLmean MACDhist neg-neg 70 29.2 4.0 61.4 0.3 0.7 0.1 33.4 -62.4
pair MACDhist SLmean neg-neg 70 29.2 4.0 61.4 0.3 0.7 0.1 33.4 -62.4
pair MRmean SLmean neg-pos 11 4.6 3.9 63.6 0.3 0.5 0.4 30.8 -9.2
pair SLmean MRmean neg-pos 11 4.6 3.9 63.6 0.3 0.5 0.4 30.8 -9.2
pair RSIhist MACDhist neg-neg 74 30.8 3.7 60.8 0.3 0.6 0.1 30.3 -54.4
pair MACDhist RSIhist neg-neg 74 30.8 3.7 60.8 0.3 0.6 0.1 30.3 -54.4
pair MRmean MACD neg-pos 43 17.9 3.5 62.8 0.3 0.4 0.1 32.8 -40.4
pair MACD MRmean neg-pos 43 17.9 3.5 62.8 0.3 0.4 0.1 32.8 -40.4
pair MRmean MACDhist neg-neg 78 32.5 3.3 61.5 0.3 0.6 0.1 33.2 -69.7
pair MACDhist MRmean neg-neg 78 32.5 3.3 61.5 0.3 0.6 0.1 33.2 -69.7
single RSIhist RSIhist neg-neg 100 41.7 2.4 60.0 0.2 0.4 0.0 31.0 -54.4
pair LWTI RSI neg-neg 34 14.2 2.2 58.8 0.3 0.5 0.0 43.0 -57.1
pair RSI LWTI neg-neg 34 14.2 2.2 58.8 0.3 0.5 0.0 43.0 -57.1
pair RSI RSIhist neg-pos 32 13.3 1.1 59.4 0.2 0.3 0.0 38.4 -54.2
pair RSIhist RSI neg-pos 32 13.3 1.1 59.4 0.2 0.3 0.0 38.4 -54.2
pair MACD SLmean neg-neg 42 17.5 1.1 59.5 0.2 0.6 0.0 37.6 -62.4
pair SLmean MACD neg-neg 42 17.5 1.1 59.5 0.2 0.6 0.0 37.6 -62.4
pair LWTI MACDhist neg-pos 64 26.7 1.0 62.5 0.2 0.3 0.0 26.7 -51.6
pair MACDhist LWTI neg-pos 64 26.7 1.0 62.5 0.2 0.3 0.0 26.7 -51.6
pair MACDhist RSI pos-neg 55 22.9 0.7 60.0 0.1 0.3 0.0 19.6 -28.2
pair RSI MACDhist pos-neg 55 22.9 0.7 60.0 0.1 0.3 0.0 19.6 -28.2
pair RSIhist SLmean neg-neg 81 33.8 0.6 60.5 0.2 0.3 0.0 32.7 -54.4
pair RSI RSmean neg-neg 13 5.4 0.6 69.2 0.1 0.3 0.0 25.6 -26.6
pair RSmean RSI neg-neg 13 5.4 0.6 69.2 0.1 0.3 0.0 25.6 -26.6
pair SLmean RSIhist neg-neg 81 33.8 0.6 60.5 0.2 0.3 0.0 32.7 -54.4
single MACDhist MACDhist neg-neg 113 47.1 0.5 61.1 0.2 0.3 0.0 30.7 -78.4
pair LWTI RSmean pos-neg 55 22.9 0.3 56.4 0.2 0.3 0.0 35.8 -57.1
pair RSmean LWTI pos-neg 55 22.9 0.3 56.4 0.2 0.3 0.0 35.8 -57.1
single LWTI LWTI neg-neg 55 22.9 0.3 56.4 0.2 0.3 0.0 35.8 -57.1
pair RSI MACDhist neg-neg 58 24.2 0.2 62.1 0.2 0.4 0.0 38.5 -77.2
pair MACDhist RSI neg-neg 58 24.2 0.2 62.1 0.2 0.4 0.0 38.5 -77.2
single MRmean MRmean neg-neg 90 37.5 -0.1 61.1 0.2 0.3 -0.0 34.7 -69.7
pair MACDhist LWTI neg-neg 49 20.4 -0.2 59.2 0.2 0.3 -0.0 35.5 -57.1
pair LWTI MACDhist neg-neg 49 20.4 -0.2 59.2 0.2 0.3 -0.0 35.5 -57.1
pair SLmean MRmean neg-neg 79 32.9 -0.7 60.8 0.2 0.3 -0.0 35.4 -62.4
pair MRmean SLmean neg-neg 79 32.9 -0.7 60.8 0.2 0.3 -0.0 35.4 -62.4
pair MACDhist RSIhist pos-neg 26 10.8 -1.1 57.7 0.1 0.2 -0.0 33.6 -41.6
pair RSIhist MACDhist pos-neg 26 10.8 -1.1 57.7 0.1 0.2 -0.0 33.6 -41.6
pair RSIhist MRmean neg-neg 70 29.2 -1.4 61.4 0.1 0.2 -0.0 34.0 -54.4
pair MRmean RSIhist neg-neg 70 29.2 -1.4 61.4 0.1 0.2 -0.0 34.0 -54.4
pair RSIhist LWTI neg-pos 75 31.2 -2.1 57.3 0.1 0.1 -0.0 29.7 -47.4
pair LWTI RSIhist neg-pos 75 31.2 -2.1 57.3 0.1 0.1 -0.0 29.7 -47.4
pair LWTI MACD neg-pos 40 16.7 -2.3 62.5 0.1 0.1 -0.0 29.5 -51.6
pair MACD LWTI neg-pos 40 16.7 -2.3 62.5 0.1 0.1 -0.0 29.5 -51.6
pair RSIhist RSI pos-neg 54 22.5 -2.5 59.3 0.0 0.1 -0.0 26.4 -55.3
pair RSI RSIhist pos-neg 54 22.5 -2.5 59.3 0.0 0.1 -0.0 26.4 -55.3
pair MACD RSIhist neg-pos 39 16.2 -2.6 61.5 0.1 0.2 -0.1 36.9 -54.2
pair RSIhist MACD neg-pos 39 16.2 -2.6 61.5 0.1 0.2 -0.1 36.9 -54.2
pair LWTI RSI pos-neg 21 8.8 -2.9 52.4 -0.1 -0.1 -0.1 20.2 -19.9
pair RSI LWTI pos-neg 21 8.8 -2.9 52.4 -0.1 -0.1 -0.1 20.2 -19.9
pair MACD RSI neg-neg 59 24.6 -3.0 59.3 0.1 0.2 -0.0 37.1 -77.2
pair RSI MACD neg-neg 59 24.6 -3.0 59.3 0.1 0.2 -0.0 37.1 -77.2
pair RSI SLmean neg-pos 38 15.8 -3.2 60.5 0.0 0.1 -0.1 29.5 -49.1
pair SLmean RSI neg-pos 38 15.8 -3.2 60.5 0.0 0.1 -0.1 29.5 -49.1
pair MACD MRmean neg-neg 47 19.6 -3.3 59.6 0.1 0.2 -0.1 36.7 -69.7
pair MRmean MACD neg-neg 47 19.6 -3.3 59.6 0.1 0.2 -0.1 36.7 -69.7
pair RSmean MACD neg-neg 14 5.8 -4.0 64.3 -0.1 -0.1 -0.1 25.1 -30.5
pair MACD RSmean neg-neg 14 5.8 -4.0 64.3 -0.1 -0.1 -0.1 25.1 -30.5
pair SLmean MACDhist pos-neg 43 17.9 -5.1 60.5 -0.1 -0.1 -0.1 26.1 -39.3
pair MACDhist SLmean pos-neg 43 17.9 -5.1 60.5 -0.1 -0.1 -0.1 26.1 -39.3
pair LWTI SLmean neg-pos 68 28.3 -5.2 58.8 -0.0 -0.0 -0.1 30.1 -51.2
pair SLmean LWTI neg-pos 68 28.3 -5.2 58.8 -0.0 -0.0 -0.1 30.1 -51.2
pair RSI SLmean pos-neg 19 7.9 -5.3 57.9 0.1 0.1 -0.1 37.7 -41.7
pair SLmean RSI pos-neg 19 7.9 -5.3 57.9 0.1 0.1 -0.1 37.7 -41.7
pair MACDhist RSIhist neg-pos 39 16.2 -5.4 61.5 -0.0 -0.0 -0.1 31.8 -54.2
pair RSIhist MACDhist neg-pos 39 16.2 -5.4 61.5 -0.0 -0.0 -0.1 31.8 -54.2
pair MACDhist MRmean pos-neg 35 14.6 -5.5 60.0 -0.1 -0.1 -0.4 24.6 -15.5
pair MRmean MACDhist pos-neg 35 14.6 -5.5 60.0 -0.1 -0.1 -0.4 24.6 -15.5
single MACD MACD neg-neg 67 27.9 -5.5 59.7 0.0 0.0 -0.1 36.1 -78.4
pair RSmean MACD pos-neg 53 22.1 -5.9 58.5 0.0 0.1 -0.1 38.7 -73.1
pair MACD RSmean pos-neg 53 22.1 -5.9 58.5 0.0 0.1 -0.1 38.7 -73.1
pair MRmean RSI pos-neg 13 5.4 -6.3 53.8 0.0 0.0 -0.5 39.2 -13.9
pair RSI MRmean pos-neg 13 5.4 -6.3 53.8 0.0 0.0 -0.5 39.2 -13.9
single RSmean RSmean neg-neg 19 7.9 -6.6 63.2 -0.2 -0.4 -0.2 24.6 -30.5
pair RSmean LWTI neg-pos 19 7.9 -6.6 63.2 -0.2 -0.4 -0.2 24.6 -30.5
pair LWTI RSmean neg-pos 19 7.9 -6.6 63.2 -0.2 -0.4 -0.2 24.6 -30.5
pair MACD RSIhist neg-neg 28 11.7 -9.5 57.1 -0.1 -0.3 -0.2 35.7 -54.4
pair RSIhist MACD neg-neg 28 11.7 -9.5 57.1 -0.1 -0.3 -0.2 35.7 -54.4
pair LWTI MACD neg-neg 27 11.2 -10.1 55.6 -0.0 -0.0 -0.2 44.8 -57.1
pair MACD LWTI neg-neg 27 11.2 -10.1 55.6 -0.0 -0.0 -0.2 44.8 -57.1
pair MACD MRmean pos-neg 20 8.3 -10.5 60.0 -0.1 -0.1 -0.4 35.7 -26.3
pair MRmean MACD pos-neg 20 8.3 -10.5 60.0 -0.1 -0.1 -0.4 35.7 -26.3
pair LWTI MRmean neg-pos 55 22.9 -11.5 60.0 -0.2 -0.3 -0.2 31.6 -55.4
pair MRmean LWTI neg-pos 55 22.9 -11.5 60.0 -0.2 -0.3 -0.2 31.6 -55.4
pair RSIhist LWTI pos-neg 30 12.5 -12.0 46.7 -0.2 -0.3 -0.3 36.7 -40.0
pair LWTI RSIhist pos-neg 30 12.5 -12.0 46.7 -0.2 -0.3 -0.3 36.7 -40.0
pair MACD RSmean neg-pos 5 2.1 -13.4 60.0 -0.5 -1.2 -2.0 25.7 -6.8
pair RSmean MACD neg-pos 5 2.1 -13.4 60.0 -0.5 -1.2 -2.0 25.7 -6.8
pair SLmean MACD pos-neg 25 10.4 -15.7 60.0 -0.3 -0.4 -0.4 33.9 -42.6
pair MACD SLmean pos-neg 25 10.4 -15.7 60.0 -0.3 -0.4 -0.4 33.9 -42.6
pair MACDhist RSmean neg-neg 17 7.1 -17.9 58.8 -0.8 -1.8 -0.5 22.7 -33.4
pair RSmean MACDhist neg-neg 17 7.1 -17.9 58.8 -0.8 -1.8 -0.5 22.7 -33.4
pair RSI MRmean neg-pos 25 10.4 -18.3 60.0 -0.5 -0.6 -0.3 29.2 -54.3
pair MRmean RSI neg-pos 25 10.4 -18.3 60.0 -0.5 -0.6 -0.3 29.2 -54.3
pair MACD MACDhist neg-neg 43 17.9 -18.4 58.1 -0.3 -0.7 -0.2 38.7 -78.4
pair MACDhist MACD neg-neg 43 17.9 -18.4 58.1 -0.3 -0.7 -0.2 38.7 -78.4
pair MACDhist MRmean neg-pos 12 5.0 -19.8 58.3 -0.3 -0.3 -0.5 44.7 -43.9
pair MRmean MACDhist neg-pos 12 5.0 -19.8 58.3 -0.3 -0.3 -0.5 44.7 -43.9
pair RSmean RSI neg-pos 6 2.5 -20.4 50.0 -0.8 -2.1 -1.2 23.8 -16.8
pair RSI RSmean neg-pos 6 2.5 -20.4 50.0 -0.8 -2.1 -1.2 23.8 -16.8
pair MACD RSI neg-pos 8 3.3 -22.3 62.5 -0.7 -1.1 -0.9 28.8 -24.9
pair RSI MACD neg-pos 8 3.3 -22.3 62.5 -0.7 -1.1 -0.9 28.8 -24.9
pair RSmean RSIhist neg-neg 13 5.4 -24.7 53.8 -1.1 -2.5 -0.8 23.8 -31.0
pair RSIhist RSmean neg-neg 13 5.4 -24.7 53.8 -1.1 -2.5 -0.8 23.8 -31.0
pair LWTI SLmean pos-neg 26 10.8 -24.8 46.2 -0.9 -1.0 -0.5 26.4 -46.5
pair SLmean LWTI pos-neg 26 10.8 -24.8 46.2 -0.9 -1.0 -0.5 26.4 -46.5
pair LWTI MRmean pos-neg 20 8.3 -27.5 45.0 -1.0 -1.0 -1.4 28.3 -19.0
pair MRmean LWTI pos-neg 20 8.3 -27.5 45.0 -1.0 -1.0 -1.4 28.3 -19.0
pair RSmean SLmean neg-neg 14 5.8 -29.3 50.0 -1.4 -3.3 -0.9 22.7 -33.4
pair SLmean RSmean neg-neg 14 5.8 -29.3 50.0 -1.4 -3.3 -0.9 22.7 -33.4
pair MRmean RSmean neg-neg 14 5.8 -29.3 50.0 -1.4 -3.3 -0.9 22.7 -33.4
pair RSmean MRmean neg-neg 14 5.8 -29.3 50.0 -1.4 -3.3 -0.9 22.7 -33.4

All Contingency Tables for XHB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 60%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.2
Vol 23% | MDD -34.7%
Months 132M (55%)
CAGR 28.1% | Win 61%
Sharpe 1.05 | Sortino 8.55 | Calmar 2.3
Vol 27% | MDD -12.0%
Months 18M (8%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR 3.9% | Win 64%
Sharpe 0.26 | Sortino 0.45 | Calmar 0.4
Vol 31% | MDD -9.2%
Months 11M (5%)
CAGR -0.7% | Win 61%
Sharpe 0.16 | Sortino 0.29 | Calmar -0.0
Vol 35% | MDD -62.4%
Months 79M (33%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
SLmean
only
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 59%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 145M (60%)
CAGR 103.4% | Win 100%
Sharpe 5.27 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 5M (2%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR 6.4% | Win 63%
Sharpe 0.35 | Sortino 0.62 | Calmar 0.1
Vol 36% | MDD -62.3%
Months 76M (32%)
CAGR -29.3% | Win 50%
Sharpe -1.40 | Sortino -3.29 | Calmar -0.9
Vol 23% | MDD -33.4%
Months 14M (6%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
RSmean
only
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.1% | Win 60%
Sharpe 0.70 | Sortino 1.27 | Calmar 0.5
Vol 21% | MDD -28.8%
Months 130M (54%)
CAGR -10.5% | Win 60%
Sharpe -0.12 | Sortino -0.14 | Calmar -0.4
Vol 36% | MDD -26.3%
Months 20M (8%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR 3.5% | Win 63%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 33% | MDD -40.4%
Months 43M (18%)
CAGR -3.3% | Win 60%
Sharpe 0.08 | Sortino 0.21 | Calmar -0.0
Vol 37% | MDD -69.7%
Months 47M (20%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
MACD
only
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.61 | Sortino 1.01 | Calmar 0.4
Vol 21% | MDD -28.8%
Months 137M (57%)
CAGR -6.3% | Win 54%
Sharpe 0.04 | Sortino 0.04 | Calmar -0.5
Vol 39% | MDD -13.9%
Months 13M (5%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR -18.3% | Win 60%
Sharpe -0.53 | Sortino -0.56 | Calmar -0.3
Vol 29% | MDD -54.3%
Months 25M (10%)
CAGR 7.9% | Win 62%
Sharpe 0.39 | Sortino 0.95 | Calmar 0.1
Vol 36% | MDD -68.0%
Months 65M (27%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
RSI
only
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 14.7% | Win 60%
Sharpe 0.72 | Sortino 1.18 | Calmar 0.6
Vol 23% | MDD -26.3%
Months 115M (48%)
CAGR -5.5% | Win 60%
Sharpe -0.10 | Sortino -0.10 | Calmar -0.4
Vol 25% | MDD -15.5%
Months 35M (15%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR -19.8% | Win 58%
Sharpe -0.27 | Sortino -0.33 | Calmar -0.5
Vol 45% | MDD -43.9%
Months 12M (5%)
CAGR 3.3% | Win 62%
Sharpe 0.26 | Sortino 0.58 | Calmar 0.0
Vol 33% | MDD -69.7%
Months 78M (32%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
MACDhist
only
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 61%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.3
Vol 23% | MDD -34.7%
Months 120M (50%)
CAGR 11.9% | Win 57%
Sharpe 0.59 | Sortino 1.57 | Calmar 0.5
Vol 23% | MDD -22.3%
Months 30M (12%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR 4.3% | Win 60%
Sharpe 0.28 | Sortino 0.59 | Calmar 0.1
Vol 38% | MDD -43.0%
Months 20M (8%)
CAGR -1.4% | Win 61%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.0
Vol 34% | MDD -54.4%
Months 70M (29%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 16.8% | Win 62%
Sharpe 0.82 | Sortino 1.34 | Calmar 0.6
Vol 22% | MDD -26.3%
Months 130M (54%)
CAGR -27.5% | Win 45%
Sharpe -0.97 | Sortino -1.04 | Calmar -1.4
Vol 28% | MDD -19.0%
Months 20M (8%)
CAGR 9.6% | Win 60%
Sharpe 0.52 | Sortino 0.72 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 150M (62%)
MRmean
neg
CAGR -11.5% | Win 60%
Sharpe -0.22 | Sortino -0.34 | Calmar -0.2
Vol 32% | MDD -55.4%
Months 55M (23%)
CAGR 20.7% | Win 63%
Sharpe 0.67 | Sortino 1.64 | Calmar 0.5
Vol 39% | MDD -39.9%
Months 35M (15%)
CAGR -0.1% | Win 61%
Sharpe 0.17 | Sortino 0.31 | Calmar -0.0
Vol 35% | MDD -69.7%
Months 90M (38%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 4.6% | Win 59%
Sharpe 0.31 | Sortino 0.41 | Calmar 0.1
Vol 23% | MDD -45.5%
Months 138M (58%)
CAGR 103.4% | Win 100%
Sharpe 5.27 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 5M (2%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR 11.1% | Win 63%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 35% | MDD -53.1%
Months 83M (35%)
CAGR -29.3% | Win 50%
Sharpe -1.40 | Sortino -3.29 | Calmar -0.9
Vol 23% | MDD -33.4%
Months 14M (6%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
RSmean
only
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 12.6% | Win 60%
Sharpe 0.69 | Sortino 1.18 | Calmar 0.5
Vol 20% | MDD -25.3%
Months 118M (49%)
CAGR -15.7% | Win 60%
Sharpe -0.32 | Sortino -0.39 | Calmar -0.4
Vol 34% | MDD -42.6%
Months 25M (10%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR 6.5% | Win 62%
Sharpe 0.36 | Sortino 0.55 | Calmar 0.2
Vol 31% | MDD -38.3%
Months 55M (23%)
CAGR 1.1% | Win 60%
Sharpe 0.21 | Sortino 0.55 | Calmar 0.0
Vol 38% | MDD -62.4%
Months 42M (18%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
MACD
only
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 60%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.4
Vol 20% | MDD -25.3%
Months 124M (52%)
CAGR -5.3% | Win 58%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.1
Vol 38% | MDD -41.7%
Months 19M (8%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR -3.2% | Win 60%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 30% | MDD -49.1%
Months 38M (16%)
CAGR 9.1% | Win 61%
Sharpe 0.41 | Sortino 1.02 | Calmar 0.2
Vol 37% | MDD -60.3%
Months 59M (25%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
RSI
only
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.7% | Win 60%
Sharpe 0.66 | Sortino 0.97 | Calmar 0.5
Vol 22% | MDD -26.3%
Months 100M (42%)
CAGR -5.1% | Win 60%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 26% | MDD -39.3%
Months 43M (18%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR 4.3% | Win 59%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 36% | MDD -47.1%
Months 27M (11%)
CAGR 4.0% | Win 61%
Sharpe 0.28 | Sortino 0.65 | Calmar 0.1
Vol 33% | MDD -62.4%
Months 70M (29%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
MACDhist
only
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 6.6% | Win 60%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 124M (52%)
CAGR 10.4% | Win 58%
Sharpe 0.54 | Sortino 1.10 | Calmar 0.7
Vol 23% | MDD -15.5%
Months 19M (8%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR 23.7% | Win 62%
Sharpe 0.71 | Sortino 1.70 | Calmar 0.8
Vol 40% | MDD -29.0%
Months 16M (7%)
CAGR 0.6% | Win 60%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 33% | MDD -54.4%
Months 81M (34%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 15.8% | Win 63%
Sharpe 0.78 | Sortino 1.12 | Calmar 0.6
Vol 22% | MDD -26.3%
Months 117M (49%)
CAGR -24.8% | Win 46%
Sharpe -0.92 | Sortino -1.04 | Calmar -0.5
Vol 26% | MDD -46.5%
Months 26M (11%)
CAGR 7.1% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 23% | MDD -42.6%
Months 143M (60%)
SLmean
neg
CAGR -5.2% | Win 59%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 30% | MDD -51.2%
Months 68M (28%)
CAGR 29.8% | Win 66%
Sharpe 0.83 | Sortino 2.28 | Calmar 0.7
Vol 41% | MDD -40.0%
Months 29M (12%)
CAGR 4.1% | Win 61%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 34% | MDD -62.4%
Months 97M (40%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 11.4% | Win 61%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 168M (70%)
CAGR -5.9% | Win 58%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 39% | MDD -73.1%
Months 53M (22%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
RSmean
neg
CAGR -13.4% | Win 60%
Sharpe -0.45 | Sortino -1.22 | Calmar -2.0
Vol 26% | MDD -6.8%
Months 5M (2%)
CAGR -4.0% | Win 64%
Sharpe -0.05 | Sortino -0.11 | Calmar -0.1
Vol 25% | MDD -30.5%
Months 14M (6%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
MACD
only
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 61%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 156M (65%)
CAGR 6.4% | Win 58%
Sharpe 0.35 | Sortino 0.66 | Calmar 0.1
Vol 39% | MDD -73.1%
Months 65M (27%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
RSmean
neg
CAGR -20.4% | Win 50%
Sharpe -0.85 | Sortino -2.09 | Calmar -1.2
Vol 24% | MDD -16.8%
Months 6M (2%)
CAGR 0.6% | Win 69%
Sharpe 0.14 | Sortino 0.35 | Calmar 0.0
Vol 26% | MDD -26.6%
Months 13M (5%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
RSI
only
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.3% | Win 59%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.3
Vol 25% | MDD -36.7%
Months 125M (52%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.47 | Calmar 0.1
Vol 32% | MDD -73.1%
Months 96M (40%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
RSmean
neg
CAGR 180.1% | Win 100%
Sharpe 5.92 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (1%)
CAGR -17.9% | Win 59%
Sharpe -0.75 | Sortino -1.77 | Calmar -0.5
Vol 23% | MDD -33.4%
Months 17M (7%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
MACDhist
only
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 60%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 26% | MDD -48.6%
Months 134M (56%)
CAGR 7.2% | Win 61%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.2
Vol 32% | MDD -47.6%
Months 87M (36%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
RSmean
neg
CAGR 48.8% | Win 83%
Sharpe 1.90 | Sortino 0.00 | Calmar 7.3
Vol 22% | MDD -6.7%
Months 6M (2%)
CAGR -24.7% | Win 54%
Sharpe -1.06 | Sortino -2.48 | Calmar -0.8
Vol 24% | MDD -31.0%
Months 13M (5%)
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.3% | Win 61%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 26% | MDD -49.6%
Months 166M (69%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -73.1%
Months 221M (92%)
RSmean
neg
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
-
CAGR -6.6% | Win 63%
Sharpe -0.16 | Sortino -0.40 | Calmar -0.2
Vol 25% | MDD -30.5%
Months 19M (8%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 60%
Sharpe 0.45 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -39.8%
Months 154M (64%)
CAGR 36.3% | Win 63%
Sharpe 1.05 | Sortino 2.45 | Calmar 2.8
Vol 35% | MDD -13.2%
Months 19M (8%)
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
MACD
neg
CAGR -22.3% | Win 62%
Sharpe -0.73 | Sortino -1.07 | Calmar -0.9
Vol 29% | MDD -24.9%
Months 8M (3%)
CAGR -3.0% | Win 59%
Sharpe 0.10 | Sortino 0.19 | Calmar -0.0
Vol 37% | MDD -77.2%
Months 59M (25%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
RSI
only
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.3% | Win 59%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.2
Vol 24% | MDD -36.6%
Months 103M (43%)
CAGR 14.2% | Win 63%
Sharpe 0.67 | Sortino 1.42 | Calmar 0.7
Vol 24% | MDD -21.5%
Months 70M (29%)
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
MACD
neg
CAGR 22.9% | Win 62%
Sharpe 0.83 | Sortino 1.42 | Calmar 0.9
Vol 30% | MDD -25.8%
Months 24M (10%)
CAGR -18.4% | Win 58%
Sharpe -0.33 | Sortino -0.66 | Calmar -0.2
Vol 39% | MDD -78.4%
Months 43M (18%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
MACDhist
only
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 12.9% | Win 60%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -34.7%
Months 101M (42%)
CAGR 7.5% | Win 61%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 29% | MDD -43.6%
Months 72M (30%)
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
MACD
neg
CAGR -2.6% | Win 62%
Sharpe 0.11 | Sortino 0.17 | Calmar -0.0
Vol 37% | MDD -54.2%
Months 39M (16%)
CAGR -9.5% | Win 57%
Sharpe -0.10 | Sortino -0.29 | Calmar -0.2
Vol 36% | MDD -54.4%
Months 28M (12%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.5% | Win 61%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.3
Vol 24% | MDD -37.7%
Months 145M (60%)
CAGR 11.3% | Win 57%
Sharpe 0.55 | Sortino 1.39 | Calmar 0.6
Vol 25% | MDD -20.1%
Months 28M (12%)
CAGR 10.6% | Win 61%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.3
Vol 24% | MDD -42.2%
Months 173M (72%)
MACD
neg
CAGR -2.3% | Win 62%
Sharpe 0.07 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -51.6%
Months 40M (17%)
CAGR -10.1% | Win 56%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.2
Vol 45% | MDD -57.1%
Months 27M (11%)
CAGR -5.5% | Win 60%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 36% | MDD -78.4%
Months 67M (28%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.9% | Win 61%
Sharpe 0.48 | Sortino 0.61 | Calmar 0.2
Vol 24% | MDD -36.6%
Months 107M (45%)
CAGR 0.7% | Win 60%
Sharpe 0.14 | Sortino 0.26 | Calmar 0.0
Vol 20% | MDD -28.2%
Months 55M (23%)
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
RSI
neg
CAGR 22.0% | Win 55%
Sharpe 0.78 | Sortino 1.77 | Calmar 1.1
Vol 31% | MDD -20.6%
Months 20M (8%)
CAGR 0.2% | Win 62%
Sharpe 0.20 | Sortino 0.38 | Calmar 0.0
Vol 38% | MDD -77.2%
Months 58M (24%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
MACDhist
only
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.6% | Win 61%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.3
Vol 21% | MDD -34.7%
Months 108M (45%)
CAGR -2.5% | Win 59%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 26% | MDD -55.3%
Months 54M (22%)
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
RSI
neg
CAGR 1.1% | Win 59%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 38% | MDD -54.2%
Months 32M (13%)
CAGR 8.5% | Win 61%
Sharpe 0.40 | Sortino 1.01 | Calmar 0.2
Vol 36% | MDD -51.9%
Months 46M (19%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.5% | Win 62%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.2
Vol 23% | MDD -37.6%
Months 141M (59%)
CAGR -2.9% | Win 52%
Sharpe -0.05 | Sortino -0.10 | Calmar -0.1
Vol 20% | MDD -19.9%
Months 21M (9%)
CAGR 6.1% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -39.8%
Months 162M (68%)
RSI
neg
CAGR 7.9% | Win 61%
Sharpe 0.39 | Sortino 0.82 | Calmar 0.2
Vol 32% | MDD -48.9%
Months 44M (18%)
CAGR 2.2% | Win 59%
Sharpe 0.26 | Sortino 0.49 | Calmar 0.0
Vol 43% | MDD -57.1%
Months 34M (14%)
CAGR 5.4% | Win 60%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.1
Vol 37% | MDD -77.2%
Months 78M (32%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 14.2% | Win 60%
Sharpe 0.69 | Sortino 1.08 | Calmar 0.5
Vol 23% | MDD -26.3%
Months 101M (42%)
CAGR -1.1% | Win 58%
Sharpe 0.14 | Sortino 0.17 | Calmar -0.0
Vol 34% | MDD -41.6%
Months 26M (11%)
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
MACDhist
neg
CAGR -5.4% | Win 62%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -54.2%
Months 39M (16%)
CAGR 3.7% | Win 61%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 74M (31%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.2% | Win 61%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.3
Vol 25% | MDD -36.6%
Months 121M (50%)
CAGR 4.6% | Win 33%
Sharpe 0.27 | Sortino 0.79 | Calmar 0.4
Vol 42% | MDD -10.9%
Months 6M (2%)
CAGR 10.9% | Win 60%
Sharpe 0.54 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -36.6%
Months 127M (53%)
MACDhist
neg
CAGR 1.0% | Win 62%
Sharpe 0.17 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -51.6%
Months 64M (27%)
CAGR -0.2% | Win 59%
Sharpe 0.17 | Sortino 0.27 | Calmar -0.0
Vol 36% | MDD -57.1%
Months 49M (20%)
CAGR 0.5% | Win 61%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -78.4%
Months 113M (47%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 14.7% | Win 64%
Sharpe 0.74 | Sortino 1.04 | Calmar 0.6
Vol 22% | MDD -26.3%
Months 110M (46%)
CAGR -12.0% | Win 47%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.3
Vol 37% | MDD -40.0%
Months 30M (12%)
CAGR 8.4% | Win 61%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 26% | MDD -54.2%
Months 140M (58%)
RSIhist
neg
CAGR -2.1% | Win 57%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 30% | MDD -47.4%
Months 75M (31%)
CAGR 17.3% | Win 68%
Sharpe 0.63 | Sortino 1.89 | Calmar 0.5
Vol 35% | MDD -33.2%
Months 25M (10%)
CAGR 2.4% | Win 60%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.0
Vol 31% | MDD -54.4%
Months 100M (42%)
LWTI
only
CAGR 7.6% | Win 62%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 25% | MDD -52.0%
Months 185M (77%)
CAGR 0.3% | Win 56%
Sharpe 0.18 | Sortino 0.31 | Calmar 0.0
Vol 36% | MDD -57.1%
Months 55M (23%)