XLB - State Street Materials Select Sector SPDR ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

76.6%

Best CAGR

95

Total Months

13.1%

Avg CAGR

XLB 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 XLB

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 7 2.1 76.6 71.4 2.3 3.7 10.4 26.1 -7.3
pair RSI MACDhist neg-pos 7 2.1 76.6 71.4 2.3 3.7 10.4 26.1 -7.3
pair SLmean RSI pos-neg 13 3.9 73.6 84.6 3.2 11.9 16.2 18.1 -4.5
pair RSI SLmean pos-neg 13 3.9 73.6 84.6 3.2 11.9 16.2 18.1 -4.5
pair RSI RSIhist neg-pos 9 2.7 67.3 88.9 3.0 0.0 14.8 17.7 -4.5
pair RSIhist RSI neg-pos 9 2.7 67.3 88.9 3.0 0.0 14.8 17.7 -4.5
pair MACD MACDhist neg-pos 11 3.3 62.3 81.8 2.1 6.1 7.2 24.3 -8.6
pair MACDhist MACD neg-pos 11 3.3 62.3 81.8 2.1 6.1 7.2 24.3 -8.6
pair MACD RSI neg-neg 38 11.4 57.7 71.1 1.8 4.9 3.3 27.5 -17.6
pair RSI MACD neg-neg 38 11.4 57.7 71.1 1.8 4.9 3.3 27.5 -17.6
pair RSI RSmean neg-neg 5 1.5 57.5 60.0 1.3 20.4 21.6 40.4 -2.7
pair RSmean RSI neg-neg 5 1.5 57.5 60.0 1.3 20.4 21.6 40.4 -2.7
pair RSI MRmean pos-neg 8 2.4 48.8 87.5 2.8 0.0 10.8 15.0 -4.5
pair MRmean RSI pos-neg 8 2.4 48.8 87.5 2.8 0.0 10.8 15.0 -4.5
pair LWTI RSI neg-neg 29 8.7 46.6 72.4 1.6 3.2 3.0 25.5 -15.3
pair RSI LWTI neg-neg 29 8.7 46.6 72.4 1.6 3.2 3.0 25.5 -15.3
pair MRmean RSIhist neg-pos 5 1.5 46.3 60.0 1.4 2.7 6.0 30.3 -7.8
pair RSIhist MRmean neg-pos 5 1.5 46.3 60.0 1.4 2.7 6.0 30.3 -7.8
pair RSIhist LWTI neg-neg 28 8.4 45.0 71.4 1.6 3.1 2.9 25.4 -15.3
pair LWTI RSIhist neg-neg 28 8.4 45.0 71.4 1.6 3.1 2.9 25.4 -15.3
single RSI RSI neg-neg 65 19.6 41.8 69.2 1.3 2.2 1.0 31.2 -41.3
pair MRmean RSI neg-neg 57 17.2 40.9 66.7 1.2 2.2 1.0 32.9 -41.3
pair RSI MRmean neg-neg 57 17.2 40.9 66.7 1.2 2.2 1.0 32.9 -41.3
pair RSI RSmean pos-neg 60 18.1 40.6 70.0 1.3 2.1 1.0 30.7 -41.3
pair RSmean RSI pos-neg 60 18.1 40.6 70.0 1.3 2.1 1.0 30.7 -41.3
pair LWTI MRmean neg-neg 27 8.1 38.7 66.7 1.3 3.0 2.2 27.4 -17.4
pair MRmean LWTI neg-neg 27 8.1 38.7 66.7 1.3 3.0 2.2 27.4 -17.4
pair MACD MRmean neg-neg 39 11.7 38.6 59.0 1.3 3.3 2.0 29.6 -19.2
pair MRmean MACD neg-neg 39 11.7 38.6 59.0 1.3 3.3 2.0 29.6 -19.2
pair MACDhist RSI neg-neg 58 17.5 38.1 69.0 1.2 2.1 0.9 31.8 -41.3
pair RSIhist RSI neg-neg 56 16.9 38.1 66.1 1.2 2.1 0.9 32.9 -41.3
pair RSI LWTI neg-pos 36 10.8 38.1 66.7 1.1 1.9 1.1 35.4 -34.2
pair RSI MACDhist neg-neg 58 17.5 38.1 69.0 1.2 2.1 0.9 31.8 -41.3
pair LWTI RSI neg-pos 36 10.8 38.1 66.7 1.1 1.9 1.1 35.4 -34.2
pair RSI RSIhist neg-neg 56 16.9 38.1 66.1 1.2 2.1 0.9 32.9 -41.3
pair LWTI SLmean neg-neg 23 6.9 37.4 65.2 1.2 2.9 2.4 28.7 -15.3
pair SLmean LWTI neg-neg 23 6.9 37.4 65.2 1.2 2.9 2.4 28.7 -15.3
pair MRmean SLmean neg-pos 13 3.9 35.7 69.2 1.7 7.1 7.7 19.2 -4.6
pair SLmean MRmean neg-pos 13 3.9 35.7 69.2 1.7 7.1 7.7 19.2 -4.6
pair SLmean MACD neg-neg 37 11.1 35.5 59.5 1.2 3.0 1.9 29.6 -19.2
pair MACD SLmean neg-neg 37 11.1 35.5 59.5 1.2 3.0 1.9 29.6 -19.2
pair RSI SLmean neg-neg 52 15.7 34.8 65.4 1.1 1.9 0.8 33.7 -41.3
pair LWTI MACD neg-neg 29 8.7 34.8 65.5 1.3 3.3 2.3 24.7 -15.3
pair SLmean RSI neg-neg 52 15.7 34.8 65.4 1.1 1.9 0.8 33.7 -41.3
pair MACD LWTI neg-neg 29 8.7 34.8 65.5 1.3 3.3 2.3 24.7 -15.3
pair MACD RSmean pos-neg 48 14.5 30.2 64.6 1.2 2.8 1.5 25.5 -20.3
pair RSmean MACD pos-neg 48 14.5 30.2 64.6 1.2 2.8 1.5 25.5 -20.3
pair MACD RSIhist neg-neg 36 10.8 30.0 55.6 1.0 2.8 1.0 29.9 -30.6
pair RSIhist MACD neg-neg 36 10.8 30.0 55.6 1.0 2.8 1.0 29.9 -30.6
pair RSmean RSIhist neg-pos 7 2.1 26.2 57.1 1.4 7.8 4.4 18.0 -5.9
pair RSIhist RSmean neg-pos 7 2.1 26.2 57.1 1.4 7.8 4.4 18.0 -5.9
single MACD MACD neg-neg 62 18.7 24.4 59.7 0.9 2.3 0.8 26.6 -31.4
pair RSI MACD pos-neg 27 8.1 22.2 66.7 0.7 1.3 0.5 35.9 -44.1
pair MACD RSI pos-neg 27 8.1 22.2 66.7 0.7 1.3 0.5 35.9 -44.1
pair MACDhist SLmean neg-pos 27 8.1 21.5 70.4 1.0 1.2 1.0 22.3 -22.3
pair SLmean MACDhist neg-pos 27 8.1 21.5 70.4 1.0 1.2 1.0 22.3 -22.3
pair RSmean LWTI pos-neg 51 15.4 20.6 58.8 0.9 1.9 0.9 23.0 -22.4
pair LWTI RSmean pos-neg 51 15.4 20.6 58.8 0.9 1.9 0.9 23.0 -22.4
pair LWTI MACDhist neg-neg 50 15.1 19.6 58.0 0.9 1.8 1.1 22.9 -18.2
pair MACDhist LWTI neg-neg 50 15.1 19.6 58.0 0.9 1.8 1.1 22.9 -18.2
single LWTI LWTI neg-neg 52 15.7 19.4 57.7 0.9 1.9 0.9 22.9 -22.4
pair MRmean RSmean neg-pos 77 23.2 18.8 62.3 0.7 1.2 0.4 30.0 -51.2
pair RSmean MRmean neg-pos 77 23.2 18.8 62.3 0.7 1.2 0.4 30.0 -51.2
pair MACDhist MRmean neg-pos 9 2.7 17.5 66.7 0.7 0.8 1.1 32.2 -16.5
pair MACDhist MACD neg-neg 51 15.4 17.5 54.9 0.7 1.8 0.6 27.0 -31.4
pair MRmean MACDhist neg-pos 9 2.7 17.5 66.7 0.7 0.8 1.1 32.2 -16.5
pair MACD MACDhist neg-neg 51 15.4 17.5 54.9 0.7 1.8 0.6 27.0 -31.4
pair MACD RSIhist neg-pos 26 7.8 17.1 65.4 0.8 1.6 0.8 21.5 -21.3
pair RSIhist MACD neg-pos 26 7.8 17.1 65.4 0.8 1.6 0.8 21.5 -21.3
pair LWTI MACD neg-pos 33 9.9 15.9 54.5 0.7 1.6 0.6 28.4 -26.3
pair MACD LWTI neg-pos 33 9.9 15.9 54.5 0.7 1.6 0.6 28.4 -26.3
pair RSmean RSIhist pos-neg 128 38.6 15.3 58.6 0.7 1.1 0.3 24.7 -52.7
pair RSIhist RSmean pos-neg 128 38.6 15.3 58.6 0.7 1.1 0.3 24.7 -52.7
single MRmean MRmean neg-neg 94 28.3 15.3 58.5 0.6 1.1 0.3 29.6 -51.2
pair MACDhist MRmean neg-neg 85 25.6 15.1 57.6 0.6 1.1 0.3 29.5 -51.2
pair MRmean MACDhist neg-neg 85 25.6 15.1 57.6 0.6 1.1 0.3 29.5 -51.2
pair RSIhist MACDhist pos-neg 39 11.7 14.7 59.0 0.8 1.1 0.7 20.1 -22.3
pair MACDhist RSIhist pos-neg 39 11.7 14.7 59.0 0.8 1.1 0.7 20.1 -22.3
pair RSmean SLmean neg-pos 92 27.7 14.7 59.8 0.6 1.0 0.3 28.1 -52.7
pair SLmean RSmean neg-pos 92 27.7 14.7 59.8 0.6 1.0 0.3 28.1 -52.7
pair MACDhist LWTI pos-neg 2 0.6 14.5 50.0 0.5 0.0 2.8 31.9 -5.2
pair LWTI MACDhist pos-neg 2 0.6 14.5 50.0 0.5 0.0 2.8 31.9 -5.2
pair MRmean RSIhist neg-neg 89 26.8 13.8 58.4 0.6 1.0 0.3 29.7 -51.2
pair RSIhist MRmean neg-neg 89 26.8 13.8 58.4 0.6 1.0 0.3 29.7 -51.2
pair MRmean SLmean neg-neg 81 24.4 12.3 56.8 0.5 0.9 0.2 31.0 -51.2
pair SLmean MRmean neg-neg 81 24.4 12.3 56.8 0.5 0.9 0.2 31.0 -51.2
pair RSIhist SLmean neg-neg 103 31.0 12.2 58.3 0.6 0.9 0.2 28.6 -52.7
single SLmean SLmean neg-neg 111 33.4 12.2 57.7 0.6 0.9 0.2 28.0 -52.7
pair SLmean RSIhist neg-neg 103 31.0 12.2 58.3 0.6 0.9 0.2 28.6 -52.7
pair RSIhist SLmean neg-pos 8 2.4 11.9 50.0 0.6 1.2 0.9 21.0 -12.7
pair SLmean MRmean pos-neg 30 9.0 11.9 60.0 0.7 1.2 0.6 18.1 -20.3
pair SLmean RSIhist neg-pos 8 2.4 11.9 50.0 0.6 1.2 0.9 21.0 -12.7
pair MRmean SLmean pos-neg 30 9.0 11.9 60.0 0.7 1.2 0.6 18.1 -20.3
pair MACDhist RSmean pos-pos 168 50.6 11.2 61.9 0.7 1.1 0.4 16.5 -27.4
pair RSmean MACDhist pos-pos 168 50.6 11.2 61.9 0.7 1.1 0.4 16.5 -27.4
pair LWTI MACDhist pos-pos 169 50.9 11.1 61.5 0.7 1.1 0.4 16.5 -27.4
pair MACDhist LWTI pos-pos 169 50.9 11.1 61.5 0.7 1.1 0.4 16.5 -27.4
single MACDhist MACDhist pos-pos 171 51.5 11.1 61.4 0.7 1.1 0.4 16.6 -27.4
single RSIhist RSIhist neg-neg 146 44.0 10.9 56.2 0.5 0.8 0.2 25.4 -52.7
pair MACDhist MRmean pos-pos 162 48.8 10.8 61.1 0.7 1.2 0.6 15.4 -17.2
pair MRmean MACDhist pos-pos 162 48.8 10.8 61.1 0.7 1.2 0.6 15.4 -17.2
pair RSIhist MACDhist pos-pos 132 39.8 10.1 62.1 0.7 1.1 0.5 15.4 -20.1
pair MACDhist RSIhist pos-pos 132 39.8 10.1 62.1 0.7 1.1 0.5 15.4 -20.1
pair MACD SLmean pos-neg 25 7.5 9.7 60.0 0.5 1.1 0.6 21.3 -15.6
pair SLmean MACD pos-neg 25 7.5 9.7 60.0 0.5 1.1 0.6 21.3 -15.6
pair RSIhist MACDhist neg-neg 107 32.2 9.5 55.1 0.5 0.8 0.2 27.2 -52.7
pair MACDhist RSIhist neg-neg 107 32.2 9.5 55.1 0.5 0.8 0.2 27.2 -52.7
single RSmean RSmean pos-pos 307 92.5 9.5 57.7 0.6 0.8 0.2 20.2 -55.5
pair MACDhist SLmean neg-neg 84 25.3 9.4 53.6 0.5 0.8 0.2 29.7 -52.7
pair SLmean MACDhist neg-neg 84 25.3 9.4 53.6 0.5 0.8 0.2 29.7 -52.7
pair SLmean MACDhist pos-pos 144 43.4 9.3 59.7 0.7 1.1 0.5 15.3 -17.5
pair MACDhist SLmean pos-pos 144 43.4 9.3 59.7 0.7 1.1 0.5 15.3 -17.5
pair RSI MACDhist pos-pos 164 49.4 9.0 61.0 0.6 0.9 0.3 15.9 -27.4
pair MACDhist RSI pos-pos 164 49.4 9.0 61.0 0.6 0.9 0.3 15.9 -27.4
pair MACD MACDhist pos-pos 160 48.2 8.3 60.0 0.6 0.8 0.3 15.7 -27.4
pair MACDhist MACD pos-pos 160 48.2 8.3 60.0 0.6 0.8 0.3 15.7 -27.4
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 8.2 56.6 0.5 0.8 0.1 20.7 -55.5
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 8.2 56.6 0.5 0.8 0.1 20.7 -55.5
pair LWTI RSIhist pos-pos 162 48.8 7.9 59.3 0.6 0.9 0.2 15.9 -32.2
pair RSIhist LWTI pos-pos 162 48.8 7.9 59.3 0.6 0.9 0.2 15.9 -32.2
pair SLmean RSIhist pos-neg 43 13.0 7.6 51.2 0.6 0.8 0.4 15.6 -19.8
pair RSIhist SLmean pos-neg 43 13.0 7.6 51.2 0.6 0.8 0.4 15.6 -19.8
pair RSmean LWTI pos-pos 256 77.1 7.4 57.4 0.5 0.7 0.1 19.5 -48.6
pair LWTI RSmean pos-pos 256 77.1 7.4 57.4 0.5 0.7 0.1 19.5 -48.6
pair MACDhist RSmean pos-neg 139 41.9 7.4 52.5 0.4 0.7 0.1 23.9 -55.5
pair RSmean MACDhist pos-neg 139 41.9 7.4 52.5 0.4 0.7 0.1 23.9 -55.5
pair SLmean RSmean pos-pos 215 64.8 7.3 56.7 0.5 0.9 0.2 15.6 -31.8
pair RSmean SLmean pos-pos 215 64.8 7.3 56.7 0.5 0.9 0.2 15.6 -31.8
pair LWTI MRmean neg-pos 67 20.2 7.0 55.2 0.4 0.6 0.1 30.4 -49.6
pair MRmean LWTI neg-pos 67 20.2 7.0 55.2 0.4 0.6 0.1 30.4 -49.6
pair SLmean LWTI pos-neg 29 8.7 6.8 51.7 0.5 1.0 0.4 16.6 -16.2
pair LWTI SLmean pos-neg 29 8.7 6.8 51.7 0.5 1.0 0.4 16.6 -16.2
pair RSmean MACD neg-neg 14 4.2 6.5 42.9 0.3 0.9 0.5 30.6 -13.3
pair MACD RSmean neg-neg 14 4.2 6.5 42.9 0.3 0.9 0.5 30.6 -13.3
pair RSmean MRmean pos-pos 230 69.3 6.5 56.1 0.5 0.8 0.2 15.5 -26.6
pair MRmean RSmean pos-pos 230 69.3 6.5 56.1 0.5 0.8 0.2 15.5 -26.6
pair LWTI SLmean neg-pos 88 26.5 6.4 55.7 0.4 0.6 0.1 27.8 -49.0
pair SLmean LWTI neg-pos 88 26.5 6.4 55.7 0.4 0.6 0.1 27.8 -49.0
pair MRmean RSIhist pos-neg 57 17.2 6.4 52.6 0.5 0.7 0.3 16.8 -18.2
pair RSIhist MRmean pos-neg 57 17.2 6.4 52.6 0.5 0.7 0.3 16.8 -18.2
single SLmean SLmean pos-pos 221 66.6 6.2 56.1 0.5 0.7 0.2 15.8 -33.9
single LWTI LWTI pos-pos 280 84.3 6.2 56.4 0.4 0.6 0.1 20.3 -48.6
pair SLmean LWTI pos-pos 192 57.8 6.2 56.8 0.5 0.7 0.2 15.8 -29.2
pair LWTI SLmean pos-pos 192 57.8 6.2 56.8 0.5 0.7 0.2 15.8 -29.2
single RSIhist RSIhist pos-pos 186 56.0 6.2 57.0 0.5 0.7 0.2 16.1 -35.6
pair RSmean MACD pos-pos 259 78.0 6.0 56.4 0.4 0.6 0.1 18.9 -59.6
pair LWTI MRmean pos-pos 213 64.2 6.0 56.8 0.5 0.7 0.2 15.9 -30.3
pair MRmean LWTI pos-pos 213 64.2 6.0 56.8 0.5 0.7 0.2 15.9 -30.3
pair MACD RSmean pos-pos 259 78.0 6.0 56.4 0.4 0.6 0.1 18.9 -59.6
pair RSIhist SLmean pos-pos 178 53.6 5.9 57.3 0.4 0.7 0.2 15.9 -31.9
pair SLmean RSIhist pos-pos 178 53.6 5.9 57.3 0.4 0.7 0.2 15.9 -31.9
pair SLmean MACD pos-pos 196 59.0 5.8 55.6 0.5 0.7 0.2 15.1 -33.2
pair MACD SLmean pos-pos 196 59.0 5.8 55.6 0.5 0.7 0.2 15.1 -33.2
pair MRmean MACD pos-pos 215 64.8 5.7 55.3 0.4 0.7 0.2 15.5 -30.6
pair MACD MRmean pos-pos 215 64.8 5.7 55.3 0.4 0.7 0.2 15.5 -30.6
pair RSmean MACDhist neg-pos 3 0.9 5.6 33.3 0.3 57.3 1.8 21.5 -3.0
pair MACDhist RSmean neg-pos 3 0.9 5.6 33.3 0.3 57.3 1.8 21.5 -3.0
single MRmean MRmean pos-pos 238 71.7 5.5 55.9 0.4 0.6 0.2 15.9 -30.6
pair RSIhist RSmean pos-pos 179 53.9 5.5 57.0 0.4 0.7 0.1 16.1 -40.4
pair RSmean RSIhist pos-pos 179 53.9 5.5 57.0 0.4 0.7 0.1 16.1 -40.4
pair MRmean RSIhist pos-pos 181 54.5 5.2 56.9 0.4 0.6 0.1 15.6 -35.6
pair RSIhist MRmean pos-pos 181 54.5 5.2 56.9 0.4 0.6 0.1 15.6 -35.6
pair MACD RSIhist pos-neg 110 33.1 5.2 56.4 0.3 0.5 0.1 23.7 -56.7
pair RSIhist MACD pos-neg 110 33.1 5.2 56.4 0.3 0.5 0.1 23.7 -56.7
single MACDhist MACDhist neg-neg 161 48.5 5.2 51.6 0.3 0.5 0.1 24.4 -55.5
pair LWTI MACD pos-pos 247 74.4 5.0 56.7 0.3 0.5 0.1 19.0 -57.8
pair MACD LWTI pos-pos 247 74.4 5.0 56.7 0.3 0.5 0.1 19.0 -57.8
single MACD MACD pos-pos 270 81.3 4.8 55.9 0.3 0.5 0.1 19.0 -57.8
pair MRmean SLmean pos-pos 208 62.7 4.6 55.3 0.4 0.6 0.1 15.5 -38.1
pair SLmean MRmean pos-pos 208 62.7 4.6 55.3 0.4 0.6 0.1 15.5 -38.1
pair MACD RSIhist pos-pos 160 48.2 4.5 55.6 0.4 0.6 0.1 15.1 -35.6
pair RSIhist MACD pos-pos 160 48.2 4.5 55.6 0.4 0.6 0.1 15.1 -35.6
pair RSI MRmean pos-pos 230 69.3 4.3 54.8 0.3 0.5 0.1 15.8 -30.6
pair MRmean RSI pos-pos 230 69.3 4.3 54.8 0.3 0.5 0.1 15.8 -30.6
pair RSIhist LWTI neg-pos 118 35.5 4.0 52.5 0.3 0.4 0.1 25.2 -51.2
pair LWTI RSIhist neg-pos 118 35.5 4.0 52.5 0.3 0.4 0.1 25.2 -51.2
pair RSIhist RSI pos-pos 177 53.3 3.7 55.4 0.3 0.5 0.1 15.8 -36.2
pair RSI RSIhist pos-pos 177 53.3 3.7 55.4 0.3 0.5 0.1 15.8 -36.2
pair MACD MRmean pos-neg 23 6.9 3.6 60.9 0.3 0.5 0.3 19.8 -13.4
pair MRmean MACD pos-neg 23 6.9 3.6 60.9 0.3 0.5 0.3 19.8 -13.4
pair SLmean RSI pos-pos 208 62.7 3.0 54.3 0.3 0.4 0.1 15.3 -40.2
pair RSI SLmean pos-pos 208 62.7 3.0 54.3 0.3 0.4 0.1 15.3 -40.2
pair RSmean RSI pos-pos 247 74.4 3.0 54.7 0.3 0.4 0.1 16.1 -46.3
pair RSI RSmean pos-pos 247 74.4 3.0 54.7 0.3 0.4 0.1 16.1 -46.3
pair RSI MACD pos-pos 243 73.2 3.0 54.7 0.3 0.4 0.1 16.1 -42.0
pair MACD RSI pos-pos 243 73.2 3.0 54.7 0.3 0.4 0.1 16.1 -42.0
pair MACD LWTI pos-neg 23 6.9 2.4 47.8 0.2 0.4 0.1 19.9 -18.0
pair LWTI MACD pos-neg 23 6.9 2.4 47.8 0.2 0.4 0.1 19.9 -18.0
pair LWTI RSI pos-pos 244 73.5 2.2 54.9 0.2 0.3 0.1 16.7 -41.1
pair RSI LWTI pos-pos 244 73.5 2.2 54.9 0.2 0.3 0.1 16.7 -41.1
pair SLmean MACD neg-pos 74 22.3 2.1 56.8 0.2 0.3 0.0 27.0 -56.7
pair MACD SLmean neg-pos 74 22.3 2.1 56.8 0.2 0.3 0.0 27.0 -56.7
pair LWTI MRmean pos-neg 25 7.5 1.6 48.0 0.2 0.3 0.1 15.7 -13.2
pair MRmean LWTI pos-neg 25 7.5 1.6 48.0 0.2 0.3 0.1 15.7 -13.2
single RSI RSI pos-pos 267 80.4 1.3 53.6 0.2 0.2 0.0 16.6 -44.6
pair MRmean MACD neg-pos 55 16.6 1.2 58.2 0.2 0.3 0.0 29.3 -55.4
pair MACD MRmean neg-pos 55 16.6 1.2 58.2 0.2 0.3 0.0 29.3 -55.4
pair SLmean RSmean neg-neg 19 5.7 0.9 47.4 0.2 0.4 0.1 28.2 -19.3
pair RSmean SLmean neg-neg 19 5.7 0.9 47.4 0.2 0.4 0.1 28.2 -19.3
pair MRmean RSmean neg-neg 17 5.1 0.8 41.2 0.1 0.4 0.0 28.1 -18.6
pair SLmean MACDhist pos-neg 77 23.2 0.8 49.4 0.1 0.2 0.0 16.8 -26.3
pair MACDhist SLmean pos-neg 77 23.2 0.8 49.4 0.1 0.2 0.0 16.8 -26.3
pair RSmean MRmean neg-neg 17 5.1 0.8 41.2 0.1 0.4 0.0 28.1 -18.6
pair MACD MACDhist pos-neg 110 33.1 -0.1 50.0 0.1 0.2 -0.0 23.1 -47.4
pair MACDhist MACD pos-neg 110 33.1 -0.1 50.0 0.1 0.2 -0.0 23.1 -47.4
pair MACDhist LWTI neg-pos 111 33.4 -0.7 48.6 0.1 0.1 -0.0 25.0 -57.3
pair LWTI MACDhist neg-pos 111 33.4 -0.7 48.6 0.1 0.1 -0.0 25.0 -57.3
pair RSIhist MACDhist neg-pos 54 16.3 -2.9 44.4 -0.1 -0.1 -0.1 17.5 -31.1
pair MACDhist RSIhist neg-pos 54 16.3 -2.9 44.4 -0.1 -0.1 -0.1 17.5 -31.1
pair RSI RSIhist pos-neg 90 27.1 -3.3 50.0 -0.1 -0.1 -0.1 18.3 -40.5
pair RSIhist RSI pos-neg 90 27.1 -3.3 50.0 -0.1 -0.1 -0.1 18.3 -40.5
pair SLmean RSI neg-pos 59 17.8 -4.5 50.8 -0.1 -0.2 -0.1 20.8 -43.4
pair RSI SLmean neg-pos 59 17.8 -4.5 50.8 -0.1 -0.2 -0.1 20.8 -43.4
pair LWTI RSIhist pos-neg 24 7.2 -4.8 41.7 -0.2 -0.4 -0.2 17.6 -29.1
pair RSIhist LWTI pos-neg 24 7.2 -4.8 41.7 -0.2 -0.4 -0.2 17.6 -29.1
pair MACDhist MRmean pos-neg 76 22.9 -4.9 44.7 -0.2 -0.3 -0.1 16.5 -32.2
pair MRmean MACDhist pos-neg 76 22.9 -4.9 44.7 -0.2 -0.3 -0.1 16.5 -32.2
pair LWTI RSmean neg-pos 24 7.2 -5.1 45.8 -0.1 -0.1 -0.1 27.4 -32.9
pair RSmean LWTI neg-pos 24 7.2 -5.1 45.8 -0.1 -0.1 -0.1 27.4 -32.9
single RSmean RSmean neg-neg 25 7.5 -6.1 44.0 -0.1 -0.2 -0.2 26.8 -34.7
pair MACDhist RSmean neg-neg 22 6.6 -7.6 45.5 -0.1 -0.3 -0.2 27.9 -35.5
pair RSmean MACDhist neg-neg 22 6.6 -7.6 45.5 -0.1 -0.3 -0.2 27.9 -35.5
pair LWTI RSI pos-neg 23 6.9 -7.8 39.1 -0.4 -0.8 -0.4 16.4 -21.1
pair RSI LWTI pos-neg 23 6.9 -7.8 39.1 -0.4 -0.8 -0.4 16.4 -21.1
pair RSI MACDhist pos-neg 103 31.0 -9.8 41.7 -0.5 -0.7 -0.1 17.4 -64.5
pair MACDhist RSI pos-neg 103 31.0 -9.8 41.7 -0.5 -0.7 -0.1 17.4 -64.5
pair MACD RSI neg-pos 24 7.2 -14.5 41.7 -0.6 -1.1 -0.4 21.2 -35.0
pair RSI MACD neg-pos 24 7.2 -14.5 41.7 -0.6 -1.1 -0.4 21.2 -35.0
pair MRmean RSI neg-pos 37 11.1 -15.3 45.9 -0.7 -0.9 -0.3 20.7 -48.3
pair RSI MRmean neg-pos 37 11.1 -15.3 45.9 -0.7 -0.9 -0.3 20.7 -48.3
pair RSIhist RSmean neg-neg 18 5.4 -16.3 38.9 -0.5 -1.0 -0.4 29.4 -38.3
pair RSmean RSIhist neg-neg 18 5.4 -16.3 38.9 -0.5 -1.0 -0.4 29.4 -38.3
pair RSI RSmean neg-pos 20 6.0 -17.5 40.0 -0.8 -1.2 -0.5 22.0 -32.2
pair RSmean RSI neg-pos 20 6.0 -17.5 40.0 -0.8 -1.2 -0.5 22.0 -32.2
pair MRmean RSmean pos-neg 8 2.4 -19.2 50.0 -0.7 -1.0 -0.9 25.2 -20.8
pair RSmean MRmean pos-neg 8 2.4 -19.2 50.0 -0.7 -1.0 -0.9 25.2 -20.8
pair RSmean MACD neg-pos 11 3.3 -20.0 45.5 -0.9 -1.2 -0.8 21.5 -25.8
pair MACD RSmean neg-pos 11 3.3 -20.0 45.5 -0.9 -1.2 -0.8 21.5 -25.8
pair SLmean RSmean pos-neg 6 1.8 -25.2 33.3 -1.2 -1.3 -1.4 22.7 -17.5
pair RSmean SLmean pos-neg 6 1.8 -25.2 33.3 -1.2 -1.3 -1.4 22.7 -17.5
pair RSmean LWTI neg-neg 1 0.3 -27.7 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -27.7 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for XLB

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 55%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 16% | MDD -38.1%
Months 208M (63%)
CAGR 11.9% | Win 60%
Sharpe 0.71 | Sortino 1.25 | Calmar 0.6
Vol 18% | MDD -20.3%
Months 30M (9%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 35.7% | Win 69%
Sharpe 1.70 | Sortino 7.14 | Calmar 7.7
Vol 19% | MDD -4.6%
Months 13M (4%)
CAGR 12.3% | Win 57%
Sharpe 0.53 | Sortino 0.93 | Calmar 0.2
Vol 31% | MDD -51.2%
Months 81M (24%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
SLmean
only
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 56%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 16% | MDD -26.6%
Months 230M (69%)
CAGR -19.2% | Win 50%
Sharpe -0.72 | Sortino -1.00 | Calmar -0.9
Vol 25% | MDD -20.8%
Months 8M (2%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 18.8% | Win 62%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.4
Vol 30% | MDD -51.2%
Months 77M (23%)
CAGR 0.8% | Win 41%
Sharpe 0.15 | Sortino 0.39 | Calmar 0.0
Vol 28% | MDD -18.6%
Months 17M (5%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
RSmean
only
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 55%
Sharpe 0.44 | Sortino 0.67 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 215M (65%)
CAGR 3.6% | Win 61%
Sharpe 0.28 | Sortino 0.52 | Calmar 0.3
Vol 20% | MDD -13.4%
Months 23M (7%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 1.2% | Win 58%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -55.4%
Months 55M (17%)
CAGR 38.6% | Win 59%
Sharpe 1.26 | Sortino 3.28 | Calmar 2.0
Vol 30% | MDD -19.2%
Months 39M (12%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 55%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 16% | MDD -30.6%
Months 230M (69%)
CAGR 48.8% | Win 88%
Sharpe 2.76 | Sortino 0.00 | Calmar 10.8
Vol 15% | MDD -4.5%
Months 8M (2%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR -15.3% | Win 46%
Sharpe -0.69 | Sortino -0.92 | Calmar -0.3
Vol 21% | MDD -48.3%
Months 37M (11%)
CAGR 40.9% | Win 67%
Sharpe 1.22 | Sortino 2.18 | Calmar 1.0
Vol 33% | MDD -41.3%
Months 57M (17%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.8% | Win 61%
Sharpe 0.74 | Sortino 1.22 | Calmar 0.6
Vol 15% | MDD -17.2%
Months 162M (49%)
CAGR -4.9% | Win 45%
Sharpe -0.22 | Sortino -0.31 | Calmar -0.2
Vol 16% | MDD -32.2%
Months 76M (23%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 17.5% | Win 67%
Sharpe 0.65 | Sortino 0.76 | Calmar 1.1
Vol 32% | MDD -16.5%
Months 9M (3%)
CAGR 15.1% | Win 58%
Sharpe 0.62 | Sortino 1.10 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 85M (26%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
MACDhist
only
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 57%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 181M (54%)
CAGR 6.4% | Win 53%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.4
Vol 17% | MDD -18.2%
Months 57M (17%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 46.3% | Win 60%
Sharpe 1.40 | Sortino 2.71 | Calmar 6.0
Vol 30% | MDD -7.8%
Months 5M (2%)
CAGR 13.8% | Win 58%
Sharpe 0.58 | Sortino 0.99 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 89M (27%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.0% | Win 57%
Sharpe 0.45 | Sortino 0.67 | Calmar 0.2
Vol 16% | MDD -30.3%
Months 213M (64%)
CAGR 1.6% | Win 48%
Sharpe 0.17 | Sortino 0.32 | Calmar 0.1
Vol 16% | MDD -13.2%
Months 25M (8%)
CAGR 5.5% | Win 56%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 238M (72%)
MRmean
neg
CAGR 7.0% | Win 55%
Sharpe 0.38 | Sortino 0.61 | Calmar 0.1
Vol 30% | MDD -49.6%
Months 67M (20%)
CAGR 38.7% | Win 67%
Sharpe 1.34 | Sortino 2.98 | Calmar 2.2
Vol 27% | MDD -17.4%
Months 27M (8%)
CAGR 15.3% | Win 58%
Sharpe 0.63 | Sortino 1.08 | Calmar 0.3
Vol 30% | MDD -51.2%
Months 94M (28%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 57%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 215M (65%)
CAGR -25.2% | Win 33%
Sharpe -1.16 | Sortino -1.32 | Calmar -1.4
Vol 23% | MDD -17.5%
Months 6M (2%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR 14.7% | Win 60%
Sharpe 0.63 | Sortino 1.01 | Calmar 0.3
Vol 28% | MDD -52.7%
Months 92M (28%)
CAGR 0.9% | Win 47%
Sharpe 0.16 | Sortino 0.39 | Calmar 0.0
Vol 28% | MDD -19.3%
Months 19M (6%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
RSmean
only
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.8% | Win 56%
Sharpe 0.45 | Sortino 0.68 | Calmar 0.2
Vol 15% | MDD -33.2%
Months 196M (59%)
CAGR 9.7% | Win 60%
Sharpe 0.54 | Sortino 1.09 | Calmar 0.6
Vol 21% | MDD -15.6%
Months 25M (8%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR 2.1% | Win 57%
Sharpe 0.21 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -56.7%
Months 74M (22%)
CAGR 35.5% | Win 60%
Sharpe 1.18 | Sortino 3.03 | Calmar 1.9
Vol 30% | MDD -19.2%
Months 37M (11%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.0% | Win 54%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.1
Vol 15% | MDD -40.2%
Months 208M (63%)
CAGR 73.6% | Win 85%
Sharpe 3.21 | Sortino 11.86 | Calmar 16.2
Vol 18% | MDD -4.5%
Months 13M (4%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR -4.5% | Win 51%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 21% | MDD -43.4%
Months 59M (18%)
CAGR 34.8% | Win 65%
Sharpe 1.06 | Sortino 1.95 | Calmar 0.8
Vol 34% | MDD -41.3%
Months 52M (16%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 9.3% | Win 60%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.5
Vol 15% | MDD -17.5%
Months 144M (43%)
CAGR 0.8% | Win 49%
Sharpe 0.13 | Sortino 0.19 | Calmar 0.0
Vol 17% | MDD -26.3%
Months 77M (23%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR 21.5% | Win 70%
Sharpe 0.99 | Sortino 1.19 | Calmar 1.0
Vol 22% | MDD -22.3%
Months 27M (8%)
CAGR 9.4% | Win 54%
Sharpe 0.45 | Sortino 0.82 | Calmar 0.2
Vol 30% | MDD -52.7%
Months 84M (25%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
MACDhist
only
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.9% | Win 57%
Sharpe 0.44 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.9%
Months 178M (54%)
CAGR 7.6% | Win 51%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.4
Vol 16% | MDD -19.8%
Months 43M (13%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR 11.9% | Win 50%
Sharpe 0.63 | Sortino 1.21 | Calmar 0.9
Vol 21% | MDD -12.7%
Months 8M (2%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.93 | Calmar 0.2
Vol 29% | MDD -52.7%
Months 103M (31%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 57%
Sharpe 0.46 | Sortino 0.69 | Calmar 0.2
Vol 16% | MDD -29.2%
Months 192M (58%)
CAGR 6.8% | Win 52%
Sharpe 0.48 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -16.2%
Months 29M (9%)
CAGR 6.2% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -33.9%
Months 221M (67%)
SLmean
neg
CAGR 6.4% | Win 56%
Sharpe 0.36 | Sortino 0.58 | Calmar 0.1
Vol 28% | MDD -49.0%
Months 88M (26%)
CAGR 37.4% | Win 65%
Sharpe 1.25 | Sortino 2.94 | Calmar 2.4
Vol 29% | MDD -15.3%
Months 23M (7%)
CAGR 12.2% | Win 58%
Sharpe 0.55 | Sortino 0.94 | Calmar 0.2
Vol 28% | MDD -52.7%
Months 111M (33%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.0% | Win 56%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 19% | MDD -59.6%
Months 259M (78%)
CAGR 30.2% | Win 65%
Sharpe 1.17 | Sortino 2.80 | Calmar 1.5
Vol 26% | MDD -20.3%
Months 48M (14%)
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
RSmean
neg
CAGR -20.0% | Win 46%
Sharpe -0.93 | Sortino -1.21 | Calmar -0.8
Vol 22% | MDD -25.8%
Months 11M (3%)
CAGR 6.5% | Win 43%
Sharpe 0.34 | Sortino 0.89 | Calmar 0.5
Vol 31% | MDD -13.3%
Months 14M (4%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 3.0% | Win 55%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 16% | MDD -46.3%
Months 247M (74%)
CAGR 40.6% | Win 70%
Sharpe 1.28 | Sortino 2.15 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 60M (18%)
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
RSmean
neg
CAGR -17.5% | Win 40%
Sharpe -0.76 | Sortino -1.16 | Calmar -0.5
Vol 22% | MDD -32.2%
Months 20M (6%)
CAGR 57.5% | Win 60%
Sharpe 1.29 | Sortino 20.43 | Calmar 21.6
Vol 40% | MDD -2.7%
Months 5M (2%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 62%
Sharpe 0.73 | Sortino 1.08 | Calmar 0.4
Vol 16% | MDD -27.4%
Months 168M (51%)
CAGR 7.4% | Win 52%
Sharpe 0.42 | Sortino 0.66 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 139M (42%)
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
RSmean
neg
CAGR 5.6% | Win 33%
Sharpe 0.32 | Sortino 57.27 | Calmar 1.8
Vol 22% | MDD -3.0%
Months 3M (1%)
CAGR -7.6% | Win 46%
Sharpe -0.15 | Sortino -0.30 | Calmar -0.2
Vol 28% | MDD -35.5%
Months 22M (7%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
MACDhist
only
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 5.5% | Win 57%
Sharpe 0.41 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -40.4%
Months 179M (54%)
CAGR 15.3% | Win 59%
Sharpe 0.70 | Sortino 1.05 | Calmar 0.3
Vol 25% | MDD -52.7%
Months 128M (39%)
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
RSmean
neg
CAGR 26.2% | Win 57%
Sharpe 1.38 | Sortino 7.79 | Calmar 4.4
Vol 18% | MDD -5.9%
Months 7M (2%)
CAGR -16.3% | Win 39%
Sharpe -0.47 | Sortino -0.96 | Calmar -0.4
Vol 29% | MDD -38.3%
Months 18M (5%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 57%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -48.6%
Months 256M (77%)
CAGR 20.6% | Win 59%
Sharpe 0.93 | Sortino 1.92 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 51M (15%)
CAGR 9.5% | Win 58%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 20% | MDD -55.5%
Months 307M (92%)
RSmean
neg
CAGR -5.1% | Win 46%
Sharpe -0.06 | Sortino -0.13 | Calmar -0.2
Vol 27% | MDD -32.9%
Months 24M (7%)
CAGR -27.7% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -6.1% | Win 44%
Sharpe -0.11 | Sortino -0.22 | Calmar -0.2
Vol 27% | MDD -34.7%
Months 25M (8%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.0% | Win 55%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 16% | MDD -42.0%
Months 243M (73%)
CAGR 22.2% | Win 67%
Sharpe 0.74 | Sortino 1.30 | Calmar 0.5
Vol 36% | MDD -44.1%
Months 27M (8%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
MACD
neg
CAGR -14.5% | Win 42%
Sharpe -0.63 | Sortino -1.14 | Calmar -0.4
Vol 21% | MDD -35.0%
Months 24M (7%)
CAGR 57.7% | Win 71%
Sharpe 1.82 | Sortino 4.88 | Calmar 3.3
Vol 28% | MDD -17.6%
Months 38M (11%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
RSI
only
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.3% | Win 60%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.3
Vol 16% | MDD -27.4%
Months 160M (48%)
CAGR -0.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 23% | MDD -47.4%
Months 110M (33%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
MACD
neg
CAGR 62.3% | Win 82%
Sharpe 2.14 | Sortino 6.13 | Calmar 7.2
Vol 24% | MDD -8.6%
Months 11M (3%)
CAGR 17.5% | Win 55%
Sharpe 0.73 | Sortino 1.78 | Calmar 0.6
Vol 27% | MDD -31.4%
Months 51M (15%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
MACDhist
only
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 56%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -35.6%
Months 160M (48%)
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.45 | Calmar 0.1
Vol 24% | MDD -56.7%
Months 110M (33%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
MACD
neg
CAGR 17.1% | Win 65%
Sharpe 0.84 | Sortino 1.59 | Calmar 0.8
Vol 22% | MDD -21.3%
Months 26M (8%)
CAGR 30.0% | Win 56%
Sharpe 1.02 | Sortino 2.80 | Calmar 1.0
Vol 30% | MDD -30.6%
Months 36M (11%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 57%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 247M (74%)
CAGR 2.4% | Win 48%
Sharpe 0.22 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -18.0%
Months 23M (7%)
CAGR 4.8% | Win 56%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -57.8%
Months 270M (81%)
MACD
neg
CAGR 15.9% | Win 55%
Sharpe 0.66 | Sortino 1.59 | Calmar 0.6
Vol 28% | MDD -26.3%
Months 33M (10%)
CAGR 34.8% | Win 66%
Sharpe 1.34 | Sortino 3.32 | Calmar 2.3
Vol 25% | MDD -15.3%
Months 29M (9%)
CAGR 24.4% | Win 60%
Sharpe 0.95 | Sortino 2.34 | Calmar 0.8
Vol 27% | MDD -31.4%
Months 62M (19%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.0% | Win 61%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -27.4%
Months 164M (49%)
CAGR -9.8% | Win 42%
Sharpe -0.50 | Sortino -0.72 | Calmar -0.2
Vol 17% | MDD -64.5%
Months 103M (31%)
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
RSI
neg
CAGR 76.6% | Win 71%
Sharpe 2.34 | Sortino 3.66 | Calmar 10.4
Vol 26% | MDD -7.3%
Months 7M (2%)
CAGR 38.1% | Win 69%
Sharpe 1.19 | Sortino 2.08 | Calmar 0.9
Vol 32% | MDD -41.3%
Months 58M (18%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
MACDhist
only
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 55%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 16% | MDD -36.2%
Months 177M (53%)
CAGR -3.3% | Win 50%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 18% | MDD -40.5%
Months 90M (27%)
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
RSI
neg
CAGR 67.3% | Win 89%
Sharpe 3.04 | Sortino 0.00 | Calmar 14.9
Vol 18% | MDD -4.5%
Months 9M (3%)
CAGR 38.1% | Win 66%
Sharpe 1.16 | Sortino 2.07 | Calmar 0.9
Vol 33% | MDD -41.3%
Months 56M (17%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.2% | Win 55%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.1
Vol 17% | MDD -41.1%
Months 244M (74%)
CAGR -7.8% | Win 39%
Sharpe -0.42 | Sortino -0.75 | Calmar -0.4
Vol 16% | MDD -21.1%
Months 23M (7%)
CAGR 1.3% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -44.6%
Months 267M (80%)
RSI
neg
CAGR 38.1% | Win 67%
Sharpe 1.10 | Sortino 1.91 | Calmar 1.1
Vol 35% | MDD -34.2%
Months 36M (11%)
CAGR 46.6% | Win 72%
Sharpe 1.65 | Sortino 3.25 | Calmar 3.0
Vol 26% | MDD -15.3%
Months 29M (9%)
CAGR 41.8% | Win 69%
Sharpe 1.29 | Sortino 2.23 | Calmar 1.0
Vol 31% | MDD -41.3%
Months 65M (20%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 62%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.5
Vol 15% | MDD -20.1%
Months 132M (40%)
CAGR 14.7% | Win 59%
Sharpe 0.79 | Sortino 1.05 | Calmar 0.7
Vol 20% | MDD -22.3%
Months 39M (12%)
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
MACDhist
neg
CAGR -2.9% | Win 44%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.1
Vol 18% | MDD -31.1%
Months 54M (16%)
CAGR 9.5% | Win 55%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.2
Vol 27% | MDD -52.7%
Months 107M (32%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
RSIhist
only
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 11.1% | Win 62%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.4
Vol 16% | MDD -27.4%
Months 169M (51%)
CAGR 14.5% | Win 50%
Sharpe 0.50 | Sortino 0.00 | Calmar 2.8
Vol 32% | MDD -5.2%
Months 2M (1%)
CAGR 11.1% | Win 61%
Sharpe 0.72 | Sortino 1.09 | Calmar 0.4
Vol 17% | MDD -27.4%
Months 171M (52%)
MACDhist
neg
CAGR -0.7% | Win 49%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 25% | MDD -57.3%
Months 111M (33%)
CAGR 19.6% | Win 58%
Sharpe 0.90 | Sortino 1.83 | Calmar 1.1
Vol 23% | MDD -18.2%
Months 50M (15%)
CAGR 5.2% | Win 52%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 24% | MDD -55.5%
Months 161M (48%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.9% | Win 59%
Sharpe 0.56 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -32.2%
Months 162M (49%)
CAGR -4.8% | Win 42%
Sharpe -0.20 | Sortino -0.38 | Calmar -0.2
Vol 18% | MDD -29.1%
Months 24M (7%)
CAGR 6.2% | Win 57%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 16% | MDD -35.6%
Months 186M (56%)
RSIhist
neg
CAGR 4.0% | Win 52%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -51.2%
Months 118M (36%)
CAGR 45.0% | Win 71%
Sharpe 1.60 | Sortino 3.15 | Calmar 2.9
Vol 25% | MDD -15.3%
Months 28M (8%)
CAGR 10.9% | Win 56%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -52.7%
Months 146M (44%)
LWTI
only
CAGR 6.2% | Win 56%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -48.6%
Months 280M (84%)
CAGR 19.4% | Win 58%
Sharpe 0.89 | Sortino 1.86 | Calmar 0.9
Vol 23% | MDD -22.4%
Months 52M (16%)