XHE - State Street SPDR S&P Health Care Equipment ETF

Signal Pair Analysis

MACD-RSI

Best Pair

57.2%

Best CAGR

51

Total Months

9.7%

Avg CAGR

XHE 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 XHE

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MACD pos-neg 5 2.8 57.2 60.0 1.5 9.3 5.3 33.7 -10.8
pair MACD RSI pos-neg 5 2.8 57.2 60.0 1.5 9.3 5.3 33.7 -10.8
pair RSIhist RSmean neg-pos 2 1.1 46.3 100.0 3.6 0.0 0.0 10.8 0.0
pair RSmean RSIhist neg-pos 2 1.1 46.3 100.0 3.6 0.0 0.0 10.8 0.0
pair SLmean RSIhist neg-pos 3 1.7 40.2 100.0 2.9 0.0 0.0 11.9 0.0
pair RSIhist SLmean neg-pos 3 1.7 40.2 100.0 2.9 0.0 0.0 11.9 0.0
pair RSI LWTI neg-pos 23 12.7 25.5 65.2 1.0 1.8 1.2 25.4 -21.5
pair LWTI RSI neg-pos 23 12.7 25.5 65.2 1.0 1.8 1.2 25.4 -21.5
pair MRmean SLmean neg-pos 8 4.4 23.5 50.0 1.3 4.0 5.8 17.3 -4.1
pair SLmean MRmean neg-pos 8 4.4 23.5 50.0 1.3 4.0 5.8 17.3 -4.1
pair MRmean MACD neg-pos 19 10.5 22.2 68.4 0.8 1.4 0.8 29.3 -27.6
pair MACD MRmean neg-pos 19 10.5 22.2 68.4 0.8 1.4 0.8 29.3 -27.6
pair RSmean SLmean pos-neg 7 3.9 22.0 71.4 1.9 44.3 11.6 10.9 -1.9
pair SLmean RSmean pos-neg 7 3.9 22.0 71.4 1.9 44.3 11.6 10.9 -1.9
pair MACDhist RSI neg-pos 9 5.0 20.7 66.7 1.2 2.1 1.9 17.4 -10.7
pair RSI MACDhist neg-pos 9 5.0 20.7 66.7 1.2 2.1 1.9 17.4 -10.7
pair RSI RSmean neg-neg 9 5.0 19.6 66.7 1.3 2.1 3.1 14.8 -6.3
pair RSmean RSI neg-neg 9 5.0 19.6 66.7 1.3 2.1 3.1 14.8 -6.3
pair RSIhist LWTI neg-neg 12 6.6 18.7 58.3 0.9 1.9 2.2 21.4 -8.6
pair LWTI RSIhist neg-neg 12 6.6 18.7 58.3 0.9 1.9 2.2 21.4 -8.6
pair SLmean RSIhist pos-neg 30 16.6 18.7 70.0 1.1 1.3 1.5 16.7 -12.7
pair RSIhist SLmean pos-neg 30 16.6 18.7 70.0 1.1 1.3 1.5 16.7 -12.7
pair MACD MACDhist pos-neg 47 26.0 18.6 70.2 0.9 1.2 0.7 21.9 -27.6
pair MACDhist MACD pos-neg 47 26.0 18.6 70.2 0.9 1.2 0.7 21.9 -27.6
pair MACDhist RSmean neg-pos 3 1.7 18.4 66.7 1.3 0.0 0.0 13.1 0.0
pair RSmean MACDhist neg-pos 3 1.7 18.4 66.7 1.3 0.0 0.0 13.1 0.0
pair MRmean RSmean neg-pos 44 24.3 18.3 68.2 0.8 1.3 0.7 25.6 -27.6
pair RSmean MRmean neg-pos 44 24.3 18.3 68.2 0.8 1.3 0.7 25.6 -27.6
pair RSI SLmean neg-neg 31 17.1 17.9 67.7 0.8 1.8 0.8 24.0 -21.5
pair SLmean RSI neg-neg 31 17.1 17.9 67.7 0.8 1.8 0.8 24.0 -21.5
pair RSIhist RSI neg-neg 31 17.1 17.7 61.3 0.8 1.6 0.8 24.8 -21.5
pair RSI RSIhist neg-neg 31 17.1 17.7 61.3 0.8 1.6 0.8 24.8 -21.5
pair MACDhist RSIhist neg-neg 65 35.9 17.1 67.7 0.8 1.3 0.5 23.1 -32.3
pair RSIhist MACDhist neg-neg 65 35.9 17.1 67.7 0.8 1.3 0.5 23.1 -32.3
pair MRmean RSI neg-neg 38 21.0 17.1 63.2 0.8 1.5 0.8 22.7 -21.5
pair RSI MRmean neg-neg 38 21.0 17.1 63.2 0.8 1.5 0.8 22.7 -21.5
pair SLmean MACDhist neg-neg 50 27.6 16.9 68.0 0.8 1.3 0.6 24.4 -29.8
pair MACDhist SLmean neg-neg 50 27.6 16.9 68.0 0.8 1.3 0.6 24.4 -29.8
pair MRmean MACDhist neg-neg 54 29.8 16.4 64.8 0.8 1.2 0.6 23.8 -28.7
pair MACDhist MRmean neg-neg 54 29.8 16.4 64.8 0.8 1.2 0.6 23.8 -28.7
pair RSIhist MACD pos-pos 63 34.8 16.3 69.8 1.1 1.6 0.8 14.6 -21.5
pair MACD RSIhist pos-pos 63 34.8 16.3 69.8 1.1 1.6 0.8 14.6 -21.5
pair RSIhist RSmean pos-neg 69 38.1 15.9 71.0 0.8 1.2 0.5 23.4 -35.6
pair RSmean RSIhist pos-neg 69 38.1 15.9 71.0 0.8 1.2 0.5 23.4 -35.6
pair SLmean MACD pos-pos 87 48.1 15.9 71.3 1.1 1.3 0.8 15.0 -19.0
pair MACD SLmean pos-pos 87 48.1 15.9 71.3 1.1 1.3 0.8 15.0 -19.0
pair RSIhist MACD neg-neg 39 21.5 15.7 64.1 0.8 1.4 0.7 20.9 -21.5
pair MACD RSIhist neg-neg 39 21.5 15.7 64.1 0.8 1.4 0.7 20.9 -21.5
pair MACDhist LWTI neg-pos 78 43.1 15.4 67.9 0.8 1.2 0.5 21.1 -32.7
pair LWTI MACDhist neg-pos 78 43.1 15.4 67.9 0.8 1.2 0.5 21.1 -32.7
pair RSIhist MRmean neg-neg 53 29.3 15.3 64.2 0.7 1.2 0.5 24.4 -32.3
pair MRmean RSIhist neg-neg 53 29.3 15.3 64.2 0.7 1.2 0.5 24.4 -32.3
pair RSmean SLmean neg-pos 47 26.0 15.3 72.3 0.7 1.6 0.5 25.6 -29.8
pair SLmean RSmean neg-pos 47 26.0 15.3 72.3 0.7 1.6 0.5 25.6 -29.8
pair LWTI MRmean neg-neg 17 9.4 15.2 64.7 0.8 1.7 1.8 18.6 -8.6
pair MRmean LWTI neg-neg 17 9.4 15.2 64.7 0.8 1.7 1.8 18.6 -8.6
single MRmean MRmean neg-neg 60 33.1 15.2 65.0 0.7 1.2 0.5 23.2 -28.7
pair LWTI MRmean neg-pos 43 23.8 15.1 65.1 0.7 1.1 0.5 24.9 -32.7
pair MRmean LWTI neg-pos 43 23.8 15.1 65.1 0.7 1.1 0.5 24.9 -32.7
pair RSmean MACD pos-pos 106 58.6 14.8 70.8 0.8 1.1 0.4 18.8 -35.2
pair MACD RSmean pos-pos 106 58.6 14.8 70.8 0.8 1.1 0.4 18.8 -35.2
pair LWTI MACD pos-pos 110 60.8 14.7 70.9 0.8 1.1 0.5 18.1 -27.3
pair MACD LWTI pos-pos 110 60.8 14.7 70.9 0.8 1.1 0.5 18.1 -27.3
single RSI RSI neg-neg 45 24.9 14.6 60.0 0.7 1.4 0.7 22.1 -21.5
pair SLmean MACD neg-neg 36 19.9 14.5 69.4 0.8 1.4 0.7 20.7 -21.5
pair MACD SLmean neg-neg 36 19.9 14.5 69.4 0.8 1.4 0.7 20.7 -21.5
pair MACDhist RSmean pos-neg 78 43.1 14.4 66.7 0.7 1.1 0.4 22.0 -32.8
pair RSmean MACDhist pos-neg 78 43.1 14.4 66.7 0.7 1.1 0.4 22.0 -32.8
pair RSIhist MRmean neg-pos 7 3.9 14.2 71.4 1.3 1.6 3.5 10.9 -4.1
pair MRmean RSIhist neg-pos 7 3.9 14.2 71.4 1.3 1.6 3.5 10.9 -4.1
single MACD MACD pos-pos 113 62.4 14.1 69.9 0.8 1.1 0.4 18.4 -35.2
pair SLmean MRmean neg-neg 52 28.7 13.9 67.3 0.7 1.2 0.5 24.1 -29.8
pair MRmean SLmean neg-neg 52 28.7 13.9 67.3 0.7 1.2 0.5 24.1 -29.8
pair RSI RSmean pos-neg 36 19.9 13.3 58.3 0.6 1.3 0.6 23.8 -21.5
pair RSmean RSI pos-neg 36 19.9 13.3 58.3 0.6 1.3 0.6 23.8 -21.5
single RSIhist RSIhist neg-neg 89 49.2 13.2 67.4 0.7 1.0 0.4 21.7 -36.9
pair MACDhist RSI neg-neg 36 19.9 13.1 58.3 0.6 1.2 0.6 23.4 -21.5
pair RSI MACDhist neg-neg 36 19.9 13.1 58.3 0.6 1.2 0.6 23.4 -21.5
single MACDhist MACDhist neg-neg 97 53.6 12.7 64.9 0.7 1.1 0.4 20.7 -34.1
pair LWTI SLmean neg-neg 11 6.1 12.6 72.7 0.7 2.3 1.6 19.1 -7.9
pair SLmean LWTI neg-neg 11 6.1 12.6 72.7 0.7 2.3 1.6 19.1 -7.9
pair MACD MRmean pos-pos 94 51.9 12.5 70.2 0.8 1.1 0.4 15.5 -29.3
pair MRmean MACD pos-pos 94 51.9 12.5 70.2 0.8 1.1 0.4 15.5 -29.3
pair LWTI RSIhist neg-pos 77 42.5 12.4 68.8 0.7 1.0 0.3 21.8 -37.2
pair MACDhist RSI pos-neg 61 33.7 12.4 68.9 0.7 1.0 0.5 19.2 -23.8
pair RSI MACD pos-pos 108 59.7 12.4 70.4 0.8 0.9 0.4 17.5 -31.2
pair RSI MACDhist pos-neg 61 33.7 12.4 68.9 0.7 1.0 0.5 19.2 -23.8
pair RSIhist LWTI neg-pos 77 42.5 12.4 68.8 0.7 1.0 0.3 21.8 -37.2
pair MACD RSI pos-pos 108 59.7 12.4 70.4 0.8 0.9 0.4 17.5 -31.2
pair MRmean MACD neg-neg 41 22.7 12.0 63.4 0.7 1.1 0.6 20.1 -21.5
pair MACD MRmean neg-neg 41 22.7 12.0 63.4 0.7 1.1 0.6 20.1 -21.5
pair MRmean RSI neg-pos 22 12.2 11.9 68.2 0.6 0.8 0.4 24.4 -28.5
pair RSI MRmean neg-pos 22 12.2 11.9 68.2 0.6 0.8 0.4 24.4 -28.5
single SLmean SLmean neg-neg 62 34.3 11.8 67.7 0.6 1.1 0.4 23.5 -29.8
pair LWTI SLmean neg-pos 51 28.2 11.6 66.7 0.6 1.0 0.3 24.5 -32.7
pair SLmean LWTI neg-pos 51 28.2 11.6 66.7 0.6 1.0 0.3 24.5 -32.7
pair MACD RSIhist pos-neg 50 27.6 11.3 70.0 0.6 0.8 0.3 22.5 -32.6
pair RSIhist MACD pos-neg 50 27.6 11.3 70.0 0.6 0.8 0.3 22.5 -32.6
pair LWTI RSmean pos-pos 136 75.1 11.0 68.4 0.6 0.9 0.2 19.6 -46.9
pair RSmean LWTI pos-pos 136 75.1 11.0 68.4 0.6 0.9 0.2 19.6 -46.9
pair MACD MACDhist pos-pos 66 36.5 10.9 69.7 0.8 0.9 0.5 15.6 -20.5
pair MACDhist MACD pos-pos 66 36.5 10.9 69.7 0.8 0.9 0.5 15.6 -20.5
pair RSIhist RSI pos-neg 58 32.0 10.9 70.7 0.6 0.8 0.4 20.0 -28.4
pair RSI RSIhist pos-neg 58 32.0 10.9 70.7 0.6 0.8 0.4 20.0 -28.4
single LWTI LWTI pos-pos 156 86.2 10.7 67.3 0.6 0.9 0.2 19.0 -46.9
pair RSIhist SLmean neg-neg 59 32.6 10.5 66.1 0.5 1.0 0.3 23.9 -30.4
pair SLmean RSIhist neg-neg 59 32.6 10.5 66.1 0.5 1.0 0.3 23.9 -30.4
pair LWTI SLmean pos-pos 105 58.0 10.3 67.6 0.7 0.9 0.4 15.8 -26.9
pair SLmean LWTI pos-pos 105 58.0 10.3 67.6 0.7 0.9 0.4 15.8 -26.9
pair MRmean RSIhist pos-neg 36 19.9 10.2 72.2 0.7 0.8 0.7 17.1 -14.3
pair RSIhist MRmean pos-neg 36 19.9 10.2 72.2 0.7 0.8 0.7 17.1 -14.3
pair MACD RSI neg-neg 40 22.1 10.1 60.0 0.6 1.0 0.5 20.5 -21.5
pair RSI MACD neg-neg 40 22.1 10.1 60.0 0.6 1.0 0.5 20.5 -21.5
single RSmean RSmean pos-pos 159 87.8 10.0 66.0 0.6 0.9 0.2 19.3 -47.0
pair benchmark___benchmark_ benchmark-benchmark 181 100.0 9.7 65.2 0.6 0.9 0.2 18.7 -48.0
pair benchmark___benchmark_ benchmark-benchmark 181 100.0 9.7 65.2 0.6 0.9 0.2 18.7 -48.0
pair RSmean MACD neg-neg 15 8.3 9.2 60.0 0.7 1.4 0.5 15.4 -17.2
pair MACD RSmean neg-neg 15 8.3 9.2 60.0 0.7 1.4 0.5 15.4 -17.2
pair RSIhist LWTI pos-pos 79 43.6 9.1 65.8 0.6 0.9 0.4 15.8 -21.5
pair LWTI RSIhist pos-pos 79 43.6 9.1 65.8 0.6 0.9 0.4 15.8 -21.5
pair MRmean LWTI pos-pos 113 62.4 9.1 68.1 0.6 0.8 0.3 16.2 -29.3
pair LWTI MRmean pos-pos 113 62.4 9.1 68.1 0.6 0.8 0.3 16.2 -29.3
pair RSmean MRmean pos-neg 6 3.3 9.0 66.7 0.8 2.2 2.4 11.7 -3.8
pair MRmean RSmean pos-neg 6 3.3 9.0 66.7 0.8 2.2 2.4 11.7 -3.8
pair RSmean RSI pos-pos 123 68.0 9.0 68.3 0.6 0.7 0.2 17.9 -49.3
pair RSI RSmean pos-pos 123 68.0 9.0 68.3 0.6 0.7 0.2 17.9 -49.3
pair RSmean LWTI neg-pos 20 11.0 8.9 60.0 0.7 1.6 0.5 14.5 -17.2
pair LWTI RSmean neg-pos 20 11.0 8.9 60.0 0.7 1.6 0.5 14.5 -17.2
pair MACDhist SLmean pos-pos 72 39.8 8.8 65.3 0.6 0.8 0.3 15.7 -29.7
pair SLmean MACDhist pos-pos 72 39.8 8.8 65.3 0.6 0.8 0.3 15.7 -29.7
pair RSI SLmean pos-pos 105 58.0 8.7 66.7 0.6 0.8 0.2 15.6 -36.8
pair SLmean RSI pos-pos 105 58.0 8.7 66.7 0.6 0.8 0.2 15.6 -36.8
single SLmean SLmean pos-pos 119 65.7 8.6 63.9 0.6 0.9 0.2 15.8 -36.6
pair LWTI RSI pos-pos 133 73.5 8.4 67.7 0.6 0.7 0.2 17.7 -47.9
pair RSI LWTI pos-pos 133 73.5 8.4 67.7 0.6 0.7 0.2 17.7 -47.9
pair MACDhist SLmean pos-neg 47 26.0 8.3 61.7 0.6 0.9 0.7 16.0 -12.4
pair SLmean MACDhist pos-neg 47 26.0 8.3 61.7 0.6 0.9 0.7 16.0 -12.4
single RSI RSI pos-pos 136 75.1 8.1 66.9 0.5 0.7 0.2 17.5 -49.3
pair SLmean MACD neg-pos 26 14.4 8.1 65.4 0.4 0.8 0.3 27.2 -27.6
pair MACD SLmean neg-pos 26 14.4 8.1 65.4 0.4 0.8 0.3 27.2 -27.6
pair MRmean MACDhist pos-neg 43 23.8 8.1 65.1 0.6 0.9 0.5 16.1 -15.2
pair MACDhist MRmean pos-neg 43 23.8 8.1 65.1 0.6 0.9 0.5 16.1 -15.2
pair RSIhist RSI neg-pos 14 7.7 7.9 57.1 0.6 1.1 0.9 15.4 -8.8
pair RSI RSIhist neg-pos 14 7.7 7.9 57.1 0.6 1.1 0.9 15.4 -8.8
pair RSmean SLmean pos-pos 112 61.9 7.8 63.4 0.6 0.8 0.2 16.0 -38.7
pair SLmean RSmean pos-pos 112 61.9 7.8 63.4 0.6 0.8 0.2 16.0 -38.7
single RSmean RSmean neg-neg 22 12.2 7.6 59.1 0.6 1.4 0.4 13.9 -17.2
pair MRmean SLmean pos-pos 111 61.3 7.6 64.9 0.6 0.8 0.2 15.7 -40.2
pair RSI SLmean pos-neg 14 7.7 7.6 42.9 0.5 1.2 0.8 17.8 -9.3
pair SLmean RSI pos-neg 14 7.7 7.6 42.9 0.5 1.2 0.8 17.8 -9.3
pair SLmean MRmean pos-pos 111 61.3 7.6 64.9 0.6 0.8 0.2 15.7 -40.2
pair RSIhist MACDhist pos-pos 60 33.1 7.5 65.0 0.5 0.7 0.4 15.8 -19.3
pair MACDhist RSIhist pos-pos 60 33.1 7.5 65.0 0.5 0.7 0.4 15.8 -19.3
pair RSI MRmean pos-pos 114 63.0 7.4 66.7 0.5 0.7 0.2 15.9 -36.5
pair MACDhist MACD neg-neg 50 27.6 7.4 60.0 0.5 0.8 0.3 19.6 -21.5
pair MACD MACDhist neg-neg 50 27.6 7.4 60.0 0.5 0.8 0.3 19.6 -21.5
pair MRmean RSI pos-pos 114 63.0 7.4 66.7 0.5 0.7 0.2 15.9 -36.5
single MRmean MRmean pos-pos 121 66.9 7.1 65.3 0.5 0.7 0.2 16.1 -35.8
pair RSmean MRmean pos-pos 115 63.5 7.0 65.2 0.5 0.7 0.2 16.3 -35.8
pair MRmean RSmean pos-pos 115 63.5 7.0 65.2 0.5 0.7 0.2 16.3 -35.8
pair RSmean MRmean neg-neg 16 8.8 7.0 56.2 0.5 1.2 0.4 15.0 -17.2
pair MRmean RSmean neg-neg 16 8.8 7.0 56.2 0.5 1.2 0.4 15.0 -17.2
pair LWTI MACDhist pos-neg 6 3.3 6.7 50.0 0.8 3.3 2.1 8.6 -3.2
pair MACDhist LWTI pos-neg 6 3.3 6.7 50.0 0.8 3.3 2.1 8.6 -3.2
pair MACDhist MRmean pos-pos 78 43.1 6.5 65.4 0.5 0.6 0.2 16.2 -28.4
pair MRmean MACDhist pos-pos 78 43.1 6.5 65.4 0.5 0.6 0.2 16.2 -28.4
single RSIhist RSIhist pos-pos 92 50.8 6.4 63.0 0.5 0.7 0.3 15.4 -25.0
single MACDhist MACDhist pos-pos 84 46.4 6.3 65.5 0.5 0.6 0.2 16.2 -26.9
pair MACDhist LWTI pos-pos 78 43.1 6.3 66.7 0.5 0.6 0.2 16.6 -29.6
pair LWTI MACDhist pos-pos 78 43.1 6.3 66.7 0.5 0.6 0.2 16.6 -29.6
pair RSI RSIhist pos-pos 78 43.1 6.1 64.1 0.5 0.7 0.2 15.5 -31.3
pair RSIhist RSI pos-pos 78 43.1 6.1 64.1 0.5 0.7 0.2 15.5 -31.3
pair RSI SLmean neg-pos 31 17.1 6.0 67.7 0.4 0.6 0.2 23.1 -28.1
pair SLmean RSI neg-pos 31 17.1 6.0 67.7 0.4 0.6 0.2 23.1 -28.1
pair MACDhist RSmean neg-neg 19 10.5 5.9 57.9 0.5 1.1 0.3 14.4 -17.2
pair RSmean MACDhist neg-neg 19 10.5 5.9 57.9 0.5 1.1 0.3 14.4 -17.2
pair MACDhist RSmean pos-pos 81 44.8 5.9 65.4 0.4 0.6 0.2 16.3 -31.4
pair RSmean MACDhist pos-pos 81 44.8 5.9 65.4 0.4 0.6 0.2 16.3 -31.4
pair MRmean RSIhist pos-pos 85 47.0 5.7 62.4 0.4 0.7 0.2 15.7 -30.6
pair RSIhist MRmean pos-pos 85 47.0 5.7 62.4 0.4 0.7 0.2 15.7 -30.6
pair RSIhist RSmean pos-pos 90 49.7 5.6 62.2 0.4 0.7 0.2 15.4 -29.6
pair RSmean RSIhist pos-pos 90 49.7 5.6 62.2 0.4 0.7 0.2 15.4 -29.6
pair SLmean RSIhist pos-pos 89 49.2 5.4 61.8 0.4 0.6 0.2 15.4 -31.1
pair RSIhist SLmean pos-pos 89 49.2 5.4 61.8 0.4 0.6 0.2 15.4 -31.1
pair LWTI MACD neg-neg 22 12.2 4.9 54.5 0.4 0.7 0.6 15.6 -7.9
pair MACD LWTI neg-neg 22 12.2 4.9 54.5 0.4 0.7 0.6 15.6 -7.9
pair MACDhist RSI pos-pos 75 41.4 4.7 65.3 0.4 0.5 0.1 16.1 -36.5
pair RSI MACDhist pos-pos 75 41.4 4.7 65.3 0.4 0.5 0.1 16.1 -36.5
pair RSIhist RSmean neg-neg 20 11.0 4.3 55.0 0.4 0.9 0.2 14.1 -17.2
pair RSmean RSIhist neg-neg 20 11.0 4.3 55.0 0.4 0.9 0.2 14.1 -17.2
pair MRmean MACDhist neg-pos 6 3.3 4.3 66.7 0.3 0.7 0.4 17.2 -10.7
pair MACDhist MRmean neg-pos 6 3.3 4.3 66.7 0.3 0.7 0.4 17.2 -10.7
pair MACDhist RSIhist neg-pos 32 17.7 4.2 59.4 0.3 0.7 0.3 14.7 -15.9
pair RSIhist MACDhist neg-pos 32 17.7 4.2 59.4 0.3 0.7 0.3 14.7 -15.9
pair RSI LWTI neg-neg 22 12.2 4.1 54.5 0.3 0.7 0.5 18.2 -8.6
pair LWTI RSI neg-neg 22 12.2 4.1 54.5 0.3 0.7 0.5 18.2 -8.6
pair RSmean MACD neg-pos 7 3.9 4.1 57.1 0.4 1.3 1.0 11.3 -4.1
pair MACD RSmean neg-pos 7 3.9 4.1 57.1 0.4 1.3 1.0 11.3 -4.1
pair LWTI RSmean pos-neg 23 12.7 4.1 52.2 0.3 0.7 0.5 17.9 -8.6
pair RSmean LWTI pos-neg 23 12.7 4.1 52.2 0.3 0.7 0.5 17.9 -8.6
single LWTI LWTI neg-neg 25 13.8 3.4 52.0 0.3 0.6 0.4 17.2 -8.6
pair RSIhist MACDhist pos-neg 24 13.3 3.4 66.7 0.3 0.3 0.2 17.4 -19.1
pair MACDhist RSIhist pos-neg 24 13.3 3.4 66.7 0.3 0.3 0.2 17.4 -19.1
single MACD MACD neg-neg 68 37.6 2.8 57.4 0.2 0.4 0.1 19.2 -30.8
pair MACDhist LWTI neg-neg 19 10.5 2.3 52.6 0.2 0.5 0.2 19.3 -10.6
pair LWTI MACDhist neg-neg 19 10.5 2.3 52.6 0.2 0.5 0.2 19.3 -10.6
pair MRmean RSI pos-neg 7 3.9 1.9 42.9 0.2 0.5 0.2 19.7 -9.1
pair RSI MRmean pos-neg 7 3.9 1.9 42.9 0.2 0.5 0.2 19.7 -9.1
pair MACD LWTI neg-pos 46 25.4 1.8 58.7 0.2 0.3 0.1 20.8 -30.8
pair LWTI MACD neg-pos 46 25.4 1.8 58.7 0.2 0.3 0.1 20.8 -30.8
pair RSmean SLmean neg-neg 15 8.3 1.4 53.3 0.2 0.4 0.1 15.2 -17.2
pair SLmean RSmean neg-neg 15 8.3 1.4 53.3 0.2 0.4 0.1 15.2 -17.2
pair SLmean MRmean pos-neg 10 5.5 1.3 70.0 0.1 0.3 0.1 20.8 -17.6
pair MRmean SLmean pos-neg 10 5.5 1.3 70.0 0.1 0.3 0.1 20.8 -17.6
pair RSmean MACD pos-neg 53 29.3 1.0 56.6 0.1 0.3 0.0 20.2 -30.8
pair MACD RSmean pos-neg 53 29.3 1.0 56.6 0.1 0.3 0.0 20.2 -30.8
pair RSI RSmean neg-pos 13 7.2 -0.1 53.8 0.1 0.1 -0.0 13.5 -14.2
pair RSmean RSI neg-pos 13 7.2 -0.1 53.8 0.1 0.1 -0.0 13.5 -14.2
pair LWTI RSI pos-neg 3 1.7 -2.2 33.3 -0.3 -0.8 -1.2 7.1 -1.9
pair RSI LWTI pos-neg 3 1.7 -2.2 33.3 -0.3 -0.8 -1.2 7.1 -1.9
pair LWTI SLmean pos-neg 14 7.7 -3.4 35.7 -0.1 -0.3 -0.3 15.9 -12.6
pair SLmean LWTI pos-neg 14 7.7 -3.4 35.7 -0.1 -0.3 -0.3 15.9 -12.6
pair RSmean LWTI neg-neg 2 1.1 -5.2 50.0 -0.7 0.0 0.0 7.2 0.0
pair LWTI RSmean neg-neg 2 1.1 -5.2 50.0 -0.7 0.0 0.0 7.2 0.0
pair MACD RSI neg-pos 28 15.5 -6.9 53.6 -0.3 -0.6 -0.3 17.0 -26.3
pair RSI MACD neg-pos 28 15.5 -6.9 53.6 -0.3 -0.6 -0.3 17.0 -26.3
pair MACD LWTI pos-neg 3 1.7 -7.2 33.3 -0.1 -0.8 -1.1 31.4 -6.7
pair LWTI MACD pos-neg 3 1.7 -7.2 33.3 -0.1 -0.8 -1.1 31.4 -6.7
pair SLmean MACDhist neg-pos 12 6.6 -7.3 66.7 -0.3 -0.7 -0.5 18.9 -14.3
pair MACDhist SLmean neg-pos 12 6.6 -7.3 66.7 -0.3 -0.7 -0.5 18.9 -14.3
pair SLmean MACD pos-neg 32 17.7 -9.0 43.8 -0.5 -0.8 -0.3 16.9 -34.9
pair MACD SLmean pos-neg 32 17.7 -9.0 43.8 -0.5 -0.8 -0.3 16.9 -34.9
pair MACDhist MACD neg-pos 18 9.9 -9.1 50.0 -0.5 -0.7 -0.6 17.9 -16.4
pair MACD MACDhist neg-pos 18 9.9 -9.1 50.0 -0.5 -0.7 -0.6 17.9 -16.4
pair RSIhist LWTI pos-neg 13 7.2 -9.1 46.2 -0.8 -1.2 -0.7 11.6 -13.5
pair LWTI RSIhist pos-neg 13 7.2 -9.1 46.2 -0.8 -1.2 -0.7 11.6 -13.5
pair MACD MRmean pos-neg 27 14.9 -9.9 48.1 -0.5 -0.9 -0.3 17.4 -28.0
pair MRmean MACD pos-neg 27 14.9 -9.9 48.1 -0.5 -0.9 -0.3 17.4 -28.0
pair RSIhist MACD neg-pos 29 16.0 -12.4 48.3 -0.8 -1.2 -0.4 15.7 -31.9
pair MACD RSIhist neg-pos 29 16.0 -12.4 48.3 -0.8 -1.2 -0.4 15.7 -31.9
pair LWTI MRmean pos-neg 8 4.4 -17.9 25.0 -1.6 -2.5 -1.6 11.9 -11.5
pair MRmean LWTI pos-neg 8 4.4 -17.9 25.0 -1.6 -2.5 -1.6 11.9 -11.5

All Contingency Tables for XHE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 65%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -40.2%
Months 111M (61%)
CAGR 1.3% | Win 70%
Sharpe 0.15 | Sortino 0.29 | Calmar 0.1
Vol 21% | MDD -17.6%
Months 10M (6%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 23.5% | Win 50%
Sharpe 1.30 | Sortino 3.96 | Calmar 5.8
Vol 17% | MDD -4.1%
Months 8M (4%)
CAGR 13.9% | Win 67%
Sharpe 0.66 | Sortino 1.18 | Calmar 0.5
Vol 24% | MDD -29.8%
Months 52M (29%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
SLmean
only
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 65%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 115M (64%)
CAGR 9.0% | Win 67%
Sharpe 0.79 | Sortino 2.21 | Calmar 2.4
Vol 12% | MDD -3.8%
Months 6M (3%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 18.3% | Win 68%
Sharpe 0.79 | Sortino 1.33 | Calmar 0.7
Vol 26% | MDD -27.6%
Months 44M (24%)
CAGR 7.0% | Win 56%
Sharpe 0.52 | Sortino 1.17 | Calmar 0.4
Vol 15% | MDD -17.2%
Months 16M (9%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
RSmean
only
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 70%
Sharpe 0.84 | Sortino 1.06 | Calmar 0.4
Vol 16% | MDD -29.3%
Months 94M (52%)
CAGR -9.9% | Win 48%
Sharpe -0.51 | Sortino -0.88 | Calmar -0.4
Vol 17% | MDD -28.0%
Months 27M (15%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 22.2% | Win 68%
Sharpe 0.83 | Sortino 1.44 | Calmar 0.8
Vol 29% | MDD -27.6%
Months 19M (10%)
CAGR 12.0% | Win 63%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.6
Vol 20% | MDD -21.5%
Months 41M (23%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
MACD
only
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 67%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -36.5%
Months 114M (63%)
CAGR 1.9% | Win 43%
Sharpe 0.18 | Sortino 0.47 | Calmar 0.2
Vol 20% | MDD -9.1%
Months 7M (4%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 11.9% | Win 68%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.4
Vol 24% | MDD -28.5%
Months 22M (12%)
CAGR 17.1% | Win 63%
Sharpe 0.81 | Sortino 1.49 | Calmar 0.8
Vol 23% | MDD -21.5%
Months 38M (21%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
RSI
only
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 65%
Sharpe 0.47 | Sortino 0.60 | Calmar 0.2
Vol 16% | MDD -28.4%
Months 78M (43%)
CAGR 8.1% | Win 65%
Sharpe 0.57 | Sortino 0.95 | Calmar 0.5
Vol 16% | MDD -15.2%
Months 43M (24%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 4.3% | Win 67%
Sharpe 0.32 | Sortino 0.66 | Calmar 0.4
Vol 17% | MDD -10.7%
Months 6M (3%)
CAGR 16.4% | Win 65%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.6
Vol 24% | MDD -28.7%
Months 54M (30%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
MACDhist
only
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 62%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 85M (47%)
CAGR 10.2% | Win 72%
Sharpe 0.66 | Sortino 0.77 | Calmar 0.7
Vol 17% | MDD -14.3%
Months 36M (20%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 14.2% | Win 71%
Sharpe 1.27 | Sortino 1.55 | Calmar 3.5
Vol 11% | MDD -4.1%
Months 7M (4%)
CAGR 15.3% | Win 64%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.5
Vol 24% | MDD -32.3%
Months 53M (29%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.1% | Win 68%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.3
Vol 16% | MDD -29.3%
Months 113M (62%)
CAGR -17.9% | Win 25%
Sharpe -1.59 | Sortino -2.47 | Calmar -1.6
Vol 12% | MDD -11.5%
Months 8M (4%)
CAGR 7.1% | Win 65%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -35.8%
Months 121M (67%)
MRmean
neg
CAGR 15.1% | Win 65%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.5
Vol 25% | MDD -32.7%
Months 43M (24%)
CAGR 15.2% | Win 65%
Sharpe 0.85 | Sortino 1.70 | Calmar 1.8
Vol 19% | MDD -8.6%
Months 17M (9%)
CAGR 15.2% | Win 65%
Sharpe 0.73 | Sortino 1.18 | Calmar 0.5
Vol 23% | MDD -28.7%
Months 60M (33%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 63%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -38.7%
Months 112M (62%)
CAGR 22.0% | Win 71%
Sharpe 1.88 | Sortino 44.31 | Calmar 11.6
Vol 11% | MDD -1.9%
Months 7M (4%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR 15.3% | Win 72%
Sharpe 0.69 | Sortino 1.55 | Calmar 0.5
Vol 26% | MDD -29.8%
Months 47M (26%)
CAGR 1.4% | Win 53%
Sharpe 0.16 | Sortino 0.40 | Calmar 0.1
Vol 15% | MDD -17.2%
Months 15M (8%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
RSmean
only
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 15.9% | Win 71%
Sharpe 1.06 | Sortino 1.33 | Calmar 0.8
Vol 15% | MDD -19.0%
Months 87M (48%)
CAGR -9.0% | Win 44%
Sharpe -0.48 | Sortino -0.80 | Calmar -0.3
Vol 17% | MDD -34.9%
Months 32M (18%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR 8.1% | Win 65%
Sharpe 0.42 | Sortino 0.78 | Calmar 0.3
Vol 27% | MDD -27.6%
Months 26M (14%)
CAGR 14.5% | Win 69%
Sharpe 0.76 | Sortino 1.39 | Calmar 0.7
Vol 21% | MDD -21.5%
Months 36M (20%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
MACD
only
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.7% | Win 67%
Sharpe 0.62 | Sortino 0.82 | Calmar 0.2
Vol 16% | MDD -36.8%
Months 105M (58%)
CAGR 7.6% | Win 43%
Sharpe 0.49 | Sortino 1.18 | Calmar 0.8
Vol 18% | MDD -9.3%
Months 14M (8%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR 6.0% | Win 68%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.2
Vol 23% | MDD -28.1%
Months 31M (17%)
CAGR 17.9% | Win 68%
Sharpe 0.80 | Sortino 1.78 | Calmar 0.8
Vol 24% | MDD -21.5%
Months 31M (17%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
RSI
only
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 65%
Sharpe 0.61 | Sortino 0.80 | Calmar 0.3
Vol 16% | MDD -29.7%
Months 72M (40%)
CAGR 8.3% | Win 62%
Sharpe 0.58 | Sortino 0.94 | Calmar 0.7
Vol 16% | MDD -12.4%
Months 47M (26%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR -7.3% | Win 67%
Sharpe -0.31 | Sortino -0.66 | Calmar -0.5
Vol 19% | MDD -14.3%
Months 12M (7%)
CAGR 16.9% | Win 68%
Sharpe 0.77 | Sortino 1.33 | Calmar 0.6
Vol 24% | MDD -29.8%
Months 50M (28%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
MACDhist
only
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.4% | Win 62%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 15% | MDD -31.1%
Months 89M (49%)
CAGR 18.7% | Win 70%
Sharpe 1.12 | Sortino 1.27 | Calmar 1.5
Vol 17% | MDD -12.7%
Months 30M (17%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR 40.2% | Win 100%
Sharpe 2.92 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 3M (2%)
CAGR 10.5% | Win 66%
Sharpe 0.54 | Sortino 0.99 | Calmar 0.3
Vol 24% | MDD -30.4%
Months 59M (33%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.3% | Win 68%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.4
Vol 16% | MDD -26.9%
Months 105M (58%)
CAGR -3.4% | Win 36%
Sharpe -0.14 | Sortino -0.33 | Calmar -0.3
Vol 16% | MDD -12.6%
Months 14M (8%)
CAGR 8.6% | Win 64%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -36.6%
Months 119M (66%)
SLmean
neg
CAGR 11.6% | Win 67%
Sharpe 0.57 | Sortino 1.00 | Calmar 0.4
Vol 24% | MDD -32.7%
Months 51M (28%)
CAGR 12.6% | Win 73%
Sharpe 0.71 | Sortino 2.26 | Calmar 1.6
Vol 19% | MDD -7.9%
Months 11M (6%)
CAGR 11.8% | Win 68%
Sharpe 0.59 | Sortino 1.07 | Calmar 0.4
Vol 24% | MDD -29.8%
Months 62M (34%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 14.8% | Win 71%
Sharpe 0.83 | Sortino 1.08 | Calmar 0.4
Vol 19% | MDD -35.2%
Months 106M (59%)
CAGR 1.0% | Win 57%
Sharpe 0.15 | Sortino 0.26 | Calmar 0.0
Vol 20% | MDD -30.8%
Months 53M (29%)
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
RSmean
neg
CAGR 4.1% | Win 57%
Sharpe 0.40 | Sortino 1.28 | Calmar 1.0
Vol 11% | MDD -4.1%
Months 7M (4%)
CAGR 9.2% | Win 60%
Sharpe 0.65 | Sortino 1.44 | Calmar 0.5
Vol 15% | MDD -17.2%
Months 15M (8%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
MACD
only
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 68%
Sharpe 0.57 | Sortino 0.74 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 123M (68%)
CAGR 13.3% | Win 58%
Sharpe 0.64 | Sortino 1.31 | Calmar 0.6
Vol 24% | MDD -21.5%
Months 36M (20%)
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
RSmean
neg
CAGR -0.1% | Win 54%
Sharpe 0.06 | Sortino 0.15 | Calmar -0.0
Vol 14% | MDD -14.2%
Months 13M (7%)
CAGR 19.6% | Win 67%
Sharpe 1.28 | Sortino 2.08 | Calmar 3.1
Vol 15% | MDD -6.3%
Months 9M (5%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
RSI
only
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.9% | Win 65%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.2
Vol 16% | MDD -31.4%
Months 81M (45%)
CAGR 14.4% | Win 67%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 22% | MDD -32.8%
Months 78M (43%)
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
RSmean
neg
CAGR 18.4% | Win 67%
Sharpe 1.34 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (2%)
CAGR 5.9% | Win 58%
Sharpe 0.47 | Sortino 1.09 | Calmar 0.3
Vol 14% | MDD -17.2%
Months 19M (10%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
MACDhist
only
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 5.6% | Win 62%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 15% | MDD -29.6%
Months 90M (50%)
CAGR 15.9% | Win 71%
Sharpe 0.75 | Sortino 1.19 | Calmar 0.4
Vol 23% | MDD -35.6%
Months 69M (38%)
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
RSmean
neg
CAGR 46.3% | Win 100%
Sharpe 3.61 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (1%)
CAGR 4.3% | Win 55%
Sharpe 0.36 | Sortino 0.86 | Calmar 0.3
Vol 14% | MDD -17.2%
Months 20M (11%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 68%
Sharpe 0.63 | Sortino 0.89 | Calmar 0.2
Vol 20% | MDD -46.9%
Months 136M (75%)
CAGR 4.1% | Win 52%
Sharpe 0.31 | Sortino 0.65 | Calmar 0.5
Vol 18% | MDD -8.6%
Months 23M (13%)
CAGR 10.0% | Win 66%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.2
Vol 19% | MDD -47.0%
Months 159M (88%)
RSmean
neg
CAGR 8.9% | Win 60%
Sharpe 0.66 | Sortino 1.56 | Calmar 0.5
Vol 14% | MDD -17.2%
Months 20M (11%)
CAGR -5.2% | Win 50%
Sharpe -0.71 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 7.6% | Win 59%
Sharpe 0.59 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -17.2%
Months 22M (12%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 12.4% | Win 70%
Sharpe 0.76 | Sortino 0.92 | Calmar 0.4
Vol 18% | MDD -31.2%
Months 108M (60%)
CAGR 57.2% | Win 60%
Sharpe 1.50 | Sortino 9.29 | Calmar 5.3
Vol 34% | MDD -10.8%
Months 5M (3%)
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
MACD
neg
CAGR -6.9% | Win 54%
Sharpe -0.34 | Sortino -0.57 | Calmar -0.3
Vol 17% | MDD -26.3%
Months 28M (16%)
CAGR 10.1% | Win 60%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.5
Vol 20% | MDD -21.5%
Months 40M (22%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
RSI
only
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.9% | Win 70%
Sharpe 0.75 | Sortino 0.93 | Calmar 0.5
Vol 16% | MDD -20.5%
Months 66M (36%)
CAGR 18.6% | Win 70%
Sharpe 0.89 | Sortino 1.25 | Calmar 0.7
Vol 22% | MDD -27.6%
Months 47M (26%)
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
MACD
neg
CAGR -9.1% | Win 50%
Sharpe -0.45 | Sortino -0.66 | Calmar -0.6
Vol 18% | MDD -16.4%
Months 18M (10%)
CAGR 7.4% | Win 60%
Sharpe 0.46 | Sortino 0.84 | Calmar 0.3
Vol 20% | MDD -21.5%
Months 50M (28%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
MACDhist
only
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 16.3% | Win 70%
Sharpe 1.11 | Sortino 1.56 | Calmar 0.8
Vol 15% | MDD -21.5%
Months 63M (35%)
CAGR 11.3% | Win 70%
Sharpe 0.59 | Sortino 0.84 | Calmar 0.3
Vol 22% | MDD -32.6%
Months 50M (28%)
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
MACD
neg
CAGR -12.4% | Win 48%
Sharpe -0.76 | Sortino -1.17 | Calmar -0.4
Vol 16% | MDD -31.9%
Months 29M (16%)
CAGR 15.7% | Win 64%
Sharpe 0.80 | Sortino 1.39 | Calmar 0.7
Vol 21% | MDD -21.5%
Months 39M (22%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 14.7% | Win 71%
Sharpe 0.85 | Sortino 1.07 | Calmar 0.5
Vol 18% | MDD -27.3%
Months 110M (61%)
CAGR -7.2% | Win 33%
Sharpe -0.14 | Sortino -0.79 | Calmar -1.1
Vol 31% | MDD -6.7%
Months 3M (2%)
CAGR 14.1% | Win 70%
Sharpe 0.81 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -35.2%
Months 113M (62%)
MACD
neg
CAGR 1.8% | Win 59%
Sharpe 0.19 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -30.8%
Months 46M (25%)
CAGR 4.9% | Win 55%
Sharpe 0.38 | Sortino 0.70 | Calmar 0.6
Vol 16% | MDD -7.9%
Months 22M (12%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.41 | Calmar 0.1
Vol 19% | MDD -30.8%
Months 68M (38%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.7% | Win 65%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -36.5%
Months 75M (41%)
CAGR 12.4% | Win 69%
Sharpe 0.71 | Sortino 0.97 | Calmar 0.5
Vol 19% | MDD -23.8%
Months 61M (34%)
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
RSI
neg
CAGR 20.7% | Win 67%
Sharpe 1.17 | Sortino 2.11 | Calmar 1.9
Vol 17% | MDD -10.7%
Months 9M (5%)
CAGR 13.1% | Win 58%
Sharpe 0.64 | Sortino 1.25 | Calmar 0.6
Vol 23% | MDD -21.5%
Months 36M (20%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
MACDhist
only
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.1% | Win 64%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.2
Vol 16% | MDD -31.3%
Months 78M (43%)
CAGR 10.9% | Win 71%
Sharpe 0.62 | Sortino 0.79 | Calmar 0.4
Vol 20% | MDD -28.4%
Months 58M (32%)
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
RSI
neg
CAGR 7.9% | Win 57%
Sharpe 0.57 | Sortino 1.12 | Calmar 0.9
Vol 15% | MDD -8.8%
Months 14M (8%)
CAGR 17.7% | Win 61%
Sharpe 0.78 | Sortino 1.58 | Calmar 0.8
Vol 25% | MDD -21.5%
Months 31M (17%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 68%
Sharpe 0.55 | Sortino 0.73 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 133M (74%)
CAGR -2.2% | Win 33%
Sharpe -0.29 | Sortino -0.75 | Calmar -1.2
Vol 7% | MDD -1.9%
Months 3M (2%)
CAGR 8.1% | Win 67%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.2
Vol 18% | MDD -49.3%
Months 136M (75%)
RSI
neg
CAGR 25.5% | Win 65%
Sharpe 1.02 | Sortino 1.82 | Calmar 1.2
Vol 25% | MDD -21.5%
Months 23M (13%)
CAGR 4.1% | Win 55%
Sharpe 0.31 | Sortino 0.69 | Calmar 0.5
Vol 18% | MDD -8.6%
Months 22M (12%)
CAGR 14.6% | Win 60%
Sharpe 0.72 | Sortino 1.41 | Calmar 0.7
Vol 22% | MDD -21.5%
Months 45M (25%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 7.5% | Win 65%
Sharpe 0.54 | Sortino 0.72 | Calmar 0.4
Vol 16% | MDD -19.3%
Months 60M (33%)
CAGR 3.4% | Win 67%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.2
Vol 17% | MDD -19.1%
Months 24M (13%)
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
MACDhist
neg
CAGR 4.2% | Win 59%
Sharpe 0.35 | Sortino 0.69 | Calmar 0.3
Vol 15% | MDD -15.9%
Months 32M (18%)
CAGR 17.1% | Win 68%
Sharpe 0.80 | Sortino 1.26 | Calmar 0.5
Vol 23% | MDD -32.3%
Months 65M (36%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
RSIhist
only
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.3% | Win 67%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.2
Vol 17% | MDD -29.6%
Months 78M (43%)
CAGR 6.7% | Win 50%
Sharpe 0.79 | Sortino 3.27 | Calmar 2.1
Vol 9% | MDD -3.2%
Months 6M (3%)
CAGR 6.3% | Win 66%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 16% | MDD -26.9%
Months 84M (46%)
MACDhist
neg
CAGR 15.4% | Win 68%
Sharpe 0.79 | Sortino 1.16 | Calmar 0.5
Vol 21% | MDD -32.7%
Months 78M (43%)
CAGR 2.3% | Win 53%
Sharpe 0.21 | Sortino 0.50 | Calmar 0.2
Vol 19% | MDD -10.6%
Months 19M (10%)
CAGR 12.7% | Win 65%
Sharpe 0.68 | Sortino 1.09 | Calmar 0.4
Vol 21% | MDD -34.1%
Months 97M (54%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.1% | Win 66%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.4
Vol 16% | MDD -21.5%
Months 79M (44%)
CAGR -9.1% | Win 46%
Sharpe -0.76 | Sortino -1.24 | Calmar -0.7
Vol 12% | MDD -13.5%
Months 13M (7%)
CAGR 6.4% | Win 63%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.3
Vol 15% | MDD -25.0%
Months 92M (51%)
RSIhist
neg
CAGR 12.4% | Win 69%
Sharpe 0.65 | Sortino 0.96 | Calmar 0.3
Vol 22% | MDD -37.2%
Months 77M (42%)
CAGR 18.7% | Win 58%
Sharpe 0.90 | Sortino 1.86 | Calmar 2.2
Vol 21% | MDD -8.6%
Months 12M (7%)
CAGR 13.2% | Win 67%
Sharpe 0.68 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 89M (49%)
LWTI
only
CAGR 10.7% | Win 67%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 19% | MDD -46.9%
Months 156M (86%)
CAGR 3.4% | Win 52%
Sharpe 0.27 | Sortino 0.56 | Calmar 0.4
Vol 17% | MDD -8.6%
Months 25M (14%)