XLE - State Street Energy Select Sector SPDR ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

213.8%

Best CAGR

93

Total Months

10.9%

Avg CAGR

XLE 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 XLE

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 RSmean neg-pos 1 0.3 213.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 213.8 100.0 0.0 0.0 0.0 - 0.0
pair MRmean SLmean pos-neg 22 6.7 56.9 72.7 1.8 2.8 3.8 27.1 -15.0
pair SLmean MRmean pos-neg 22 6.7 56.9 72.7 1.8 2.8 3.8 27.1 -15.0
pair RSmean SLmean pos-neg 5 1.5 51.3 100.0 7.7 0.0 0.0 5.5 0.0
pair SLmean RSmean pos-neg 5 1.5 51.3 100.0 7.7 0.0 0.0 5.5 0.0
pair MACDhist LWTI pos-neg 12 3.7 46.3 66.7 1.8 9.7 13.1 23.2 -3.5
pair LWTI MACDhist pos-neg 12 3.7 46.3 66.7 1.8 9.7 13.1 23.2 -3.5
pair MRmean RSmean pos-neg 3 0.9 42.3 100.0 8.8 0.0 0.0 4.1 0.0
pair RSmean MRmean pos-neg 3 0.9 42.3 100.0 8.8 0.0 0.0 4.1 0.0
pair MACDhist SLmean neg-pos 26 8.0 36.2 65.4 1.3 2.4 2.5 25.9 -14.4
pair SLmean MACDhist neg-pos 26 8.0 36.2 65.4 1.3 2.4 2.5 25.9 -14.4
pair MRmean RSIhist pos-neg 51 15.6 30.1 66.7 1.3 2.3 2.0 22.9 -14.8
pair RSIhist MRmean pos-neg 51 15.6 30.1 66.7 1.3 2.3 2.0 22.9 -14.8
pair RSmean LWTI neg-pos 22 6.7 27.8 63.6 1.4 3.4 4.2 18.1 -6.6
pair LWTI RSmean neg-pos 22 6.7 27.8 63.6 1.4 3.4 4.2 18.1 -6.6
pair MACDhist RSI neg-pos 20 6.1 25.2 55.0 1.1 3.4 3.9 23.3 -6.5
pair RSI MACDhist neg-pos 20 6.1 25.2 55.0 1.1 3.4 3.9 23.3 -6.5
pair RSIhist MACDhist pos-neg 40 12.3 25.2 65.0 1.0 1.9 1.2 25.0 -21.3
pair MACDhist RSIhist pos-neg 40 12.3 25.2 65.0 1.0 1.9 1.2 25.0 -21.3
pair SLmean RSI neg-pos 47 14.4 24.8 61.7 1.0 1.6 0.6 25.4 -40.0
pair RSI SLmean neg-pos 47 14.4 24.8 61.7 1.0 1.6 0.6 25.4 -40.0
pair RSI RSIhist pos-neg 78 23.9 23.9 65.4 1.1 1.7 0.8 22.8 -31.9
pair RSIhist RSI pos-neg 78 23.9 23.9 65.4 1.1 1.7 0.8 22.8 -31.9
pair SLmean MRmean neg-pos 15 4.6 23.8 73.3 1.2 1.4 1.7 18.9 -14.0
pair MRmean SLmean neg-pos 15 4.6 23.8 73.3 1.2 1.4 1.7 18.9 -14.0
pair MACD MACDhist neg-pos 39 12.0 21.2 64.1 1.0 2.0 1.3 21.1 -16.7
pair MACDhist MACD neg-pos 39 12.0 21.2 64.1 1.0 2.0 1.3 21.1 -16.7
pair SLmean RSIhist pos-neg 42 12.9 18.6 64.3 1.1 1.9 1.3 17.4 -14.0
pair RSIhist SLmean pos-neg 42 12.9 18.6 64.3 1.1 1.9 1.3 17.4 -14.0
pair SLmean LWTI neg-pos 77 23.6 17.9 58.4 0.8 1.1 0.5 26.7 -37.5
pair LWTI SLmean neg-pos 77 23.6 17.9 58.4 0.8 1.1 0.5 26.7 -37.5
pair LWTI RSIhist neg-pos 108 33.1 17.3 61.1 0.8 1.2 0.4 24.5 -39.3
pair RSIhist LWTI neg-pos 108 33.1 17.3 61.1 0.8 1.2 0.4 24.5 -39.3
pair MRmean MACDhist pos-pos 143 43.9 16.7 65.0 0.8 1.2 0.6 23.4 -26.7
pair MACDhist MRmean pos-pos 143 43.9 16.7 65.0 0.8 1.2 0.6 23.4 -26.7
pair RSI RSmean neg-neg 6 1.8 16.6 50.0 0.6 1.4 2.0 30.9 -8.3
pair RSmean RSI neg-neg 6 1.8 16.6 50.0 0.6 1.4 2.0 30.9 -8.3
single MACDhist MACDhist pos-pos 155 47.5 16.3 63.9 0.8 1.2 0.6 23.0 -26.7
pair RSmean MACD neg-neg 14 4.3 16.0 50.0 0.7 1.6 1.9 24.3 -8.3
pair MACD RSmean neg-neg 14 4.3 16.0 50.0 0.7 1.6 1.9 24.3 -8.3
pair RSIhist RSmean neg-neg 20 6.1 15.7 60.0 0.8 1.3 0.9 22.7 -16.5
pair RSmean RSIhist neg-neg 20 6.1 15.7 60.0 0.8 1.3 0.9 22.7 -16.5
pair MACDhist RSmean pos-pos 154 47.2 15.5 63.6 0.7 1.2 0.6 23.0 -26.7
pair RSmean MACDhist pos-pos 154 47.2 15.5 63.6 0.7 1.2 0.6 23.0 -26.7
pair SLmean LWTI pos-neg 33 10.1 15.1 57.6 0.8 1.3 0.9 21.2 -17.4
pair LWTI SLmean pos-neg 33 10.1 15.1 57.6 0.8 1.3 0.9 21.2 -17.4
pair RSI MACDhist pos-pos 135 41.4 15.0 65.2 0.7 1.1 0.6 23.1 -26.7
pair MACDhist RSI pos-pos 135 41.4 15.0 65.2 0.7 1.1 0.6 23.1 -26.7
pair RSI MRmean pos-neg 20 6.1 14.9 55.0 0.7 1.3 1.2 23.1 -12.4
pair MRmean RSI pos-neg 20 6.1 14.9 55.0 0.7 1.3 1.2 23.1 -12.4
pair MACD MACDhist pos-pos 116 35.6 14.6 63.8 0.7 1.1 0.5 23.7 -29.3
pair MACDhist MACD pos-pos 116 35.6 14.6 63.8 0.7 1.1 0.5 23.7 -29.3
pair LWTI MACDhist pos-pos 143 43.9 14.0 63.6 0.7 1.1 0.5 23.0 -30.7
pair MACDhist LWTI pos-pos 143 43.9 14.0 63.6 0.7 1.1 0.5 23.0 -30.7
pair MACD LWTI neg-pos 57 17.5 13.6 57.9 0.7 1.3 0.8 22.2 -16.7
pair LWTI MACD neg-pos 57 17.5 13.6 57.9 0.7 1.3 0.8 22.2 -16.7
pair MACD RSI neg-pos 45 13.8 13.5 57.8 0.7 1.6 1.2 19.8 -11.4
pair RSI MACD neg-pos 45 13.8 13.5 57.8 0.7 1.6 1.2 19.8 -11.4
single RSmean RSmean neg-neg 24 7.4 13.3 58.3 0.7 1.1 0.8 20.8 -15.9
pair RSIhist MACDhist pos-pos 115 35.3 13.3 63.5 0.7 1.0 0.3 22.4 -39.1
pair MACDhist RSIhist pos-pos 115 35.3 13.3 63.5 0.7 1.0 0.3 22.4 -39.1
pair RSI RSIhist neg-pos 28 8.6 13.1 57.1 0.7 1.1 0.6 22.2 -22.1
pair RSIhist RSI neg-pos 28 8.6 13.1 57.1 0.7 1.1 0.6 22.2 -22.1
pair LWTI RSI pos-pos 211 64.7 13.0 59.7 0.7 1.0 0.4 22.1 -36.0
pair RSI LWTI pos-pos 211 64.7 13.0 59.7 0.7 1.0 0.4 22.1 -36.0
pair LWTI MRmean pos-pos 186 57.1 12.7 59.7 0.7 1.0 0.5 22.3 -28.4
pair MRmean LWTI pos-pos 186 57.1 12.7 59.7 0.7 1.0 0.5 22.3 -28.4
pair MACD MRmean pos-pos 155 47.5 12.6 59.4 0.6 1.0 0.4 22.6 -32.6
pair MRmean MACD pos-pos 155 47.5 12.6 59.4 0.6 1.0 0.4 22.6 -32.6
pair SLmean MACDhist pos-pos 129 39.6 12.6 63.6 0.6 1.0 0.4 22.4 -33.1
pair MACDhist SLmean pos-pos 129 39.6 12.6 63.6 0.6 1.0 0.4 22.4 -33.1
single MRmean MRmean pos-pos 210 64.4 12.4 58.6 0.6 1.0 0.4 22.1 -29.6
pair RSIhist MACD pos-neg 90 27.6 12.2 60.0 0.6 0.9 0.3 24.0 -44.8
pair RSI RSmean neg-pos 18 5.5 12.2 61.1 0.8 1.0 1.1 17.4 -11.6
pair RSmean RSI neg-pos 18 5.5 12.2 61.1 0.8 1.0 1.1 17.4 -11.6
pair MACD RSIhist pos-neg 90 27.6 12.2 60.0 0.6 0.9 0.3 24.0 -44.8
pair RSI MRmean pos-pos 190 58.3 12.1 58.9 0.6 1.0 0.4 22.1 -30.1
pair MRmean RSI pos-pos 190 58.3 12.1 58.9 0.6 1.0 0.4 22.1 -30.1
pair MRmean RSmean pos-pos 207 63.5 12.0 58.0 0.6 1.0 0.4 22.2 -29.6
pair RSmean MRmean pos-pos 207 63.5 12.0 58.0 0.6 1.0 0.4 22.2 -29.6
single RSI RSI pos-pos 220 67.5 11.9 59.1 0.6 1.0 0.3 21.9 -36.0
pair RSI RSmean pos-pos 202 62.0 11.9 58.9 0.6 1.0 0.3 22.3 -34.4
pair RSmean RSI pos-pos 202 62.0 11.9 58.9 0.6 1.0 0.3 22.3 -34.4
pair SLmean RSIhist neg-pos 9 2.8 11.8 44.4 1.0 5.3 4.5 11.4 -2.6
pair RSIhist SLmean neg-pos 9 2.8 11.8 44.4 1.0 5.3 4.5 11.4 -2.6
pair SLmean RSI pos-neg 30 9.2 11.7 56.7 0.6 1.0 0.6 22.2 -20.2
pair RSI SLmean pos-neg 30 9.2 11.7 56.7 0.6 1.0 0.6 22.2 -20.2
pair MRmean MACD pos-neg 55 16.9 11.6 56.4 0.6 1.3 0.6 20.9 -18.1
pair MACD MRmean pos-neg 55 16.9 11.6 56.4 0.6 1.3 0.6 20.9 -18.1
pair MACD RSI pos-pos 175 53.7 11.5 59.4 0.6 0.9 0.3 22.5 -37.4
pair RSI MACD pos-pos 175 53.7 11.5 59.4 0.6 0.9 0.3 22.5 -37.4
pair MRmean MACDhist neg-pos 12 3.7 11.2 50.0 0.6 1.6 1.1 19.5 -9.8
pair MACDhist MRmean neg-pos 12 3.7 11.2 50.0 0.6 1.6 1.1 19.5 -9.8
pair MRmean RSI neg-pos 30 9.2 11.1 60.0 0.6 0.8 0.5 21.6 -24.3
pair RSI MRmean neg-pos 30 9.2 11.1 60.0 0.6 0.8 0.5 21.6 -24.3
single LWTI LWTI pos-pos 247 75.8 11.0 58.3 0.6 0.9 0.2 22.9 -51.8
single RSIhist RSIhist neg-neg 156 47.9 10.5 57.1 0.5 0.7 0.2 28.4 -50.3
pair SLmean MACD neg-neg 65 19.9 10.4 53.8 0.5 0.7 0.2 33.6 -47.3
pair MACD SLmean neg-neg 65 19.9 10.4 53.8 0.5 0.7 0.2 33.6 -47.3
pair SLmean MACD pos-pos 140 42.9 10.4 59.3 0.6 0.8 0.3 21.5 -36.3
pair MACD SLmean pos-pos 140 42.9 10.4 59.3 0.6 0.8 0.3 21.5 -36.3
pair LWTI RSIhist pos-neg 31 9.5 10.3 54.8 0.6 0.9 0.5 21.0 -22.1
pair RSIhist LWTI pos-neg 31 9.5 10.3 54.8 0.6 0.9 0.5 21.0 -22.1
pair MACD LWTI pos-pos 190 58.3 10.2 58.4 0.5 0.8 0.2 23.2 -48.4
pair LWTI MACD pos-pos 190 58.3 10.2 58.4 0.5 0.8 0.2 23.2 -48.4
pair MRmean LWTI pos-neg 24 7.4 10.0 50.0 0.6 1.0 0.8 21.1 -12.4
pair LWTI MRmean pos-neg 24 7.4 10.0 50.0 0.6 1.0 0.8 21.1 -12.4
pair RSIhist RSmean pos-neg 136 41.7 9.8 56.6 0.5 0.7 0.2 29.2 -49.3
pair RSmean RSIhist pos-neg 136 41.7 9.8 56.6 0.5 0.7 0.2 29.2 -49.3
pair RSmean MRmean neg-neg 21 6.4 9.7 52.4 0.5 0.9 0.6 22.1 -16.5
pair MRmean RSmean neg-neg 21 6.4 9.7 52.4 0.5 0.9 0.6 22.1 -16.5
pair MACD RSmean neg-pos 10 3.1 9.6 70.0 0.7 0.5 0.9 15.8 -10.7
pair RSmean MACD neg-pos 10 3.1 9.6 70.0 0.7 0.5 0.9 15.8 -10.7
pair LWTI RSmean pos-pos 225 69.0 9.5 57.8 0.5 0.8 0.2 23.4 -51.8
pair RSmean LWTI pos-pos 225 69.0 9.5 57.8 0.5 0.8 0.2 23.4 -51.8
single SLmean SLmean pos-pos 203 62.3 9.1 58.1 0.5 0.8 0.2 21.0 -36.3
pair RSmean MACD pos-pos 188 57.7 8.9 56.9 0.5 0.7 0.2 23.5 -49.9
pair MACD RSmean pos-pos 188 57.7 8.9 56.9 0.5 0.7 0.2 23.5 -49.9
single MACD MACD pos-pos 198 60.7 8.9 57.6 0.5 0.7 0.2 23.2 -51.3
pair RSI SLmean pos-pos 173 53.1 8.7 58.4 0.5 0.8 0.2 20.9 -36.3
pair SLmean RSI pos-pos 173 53.1 8.7 58.4 0.5 0.8 0.2 20.9 -36.3
pair benchmark___benchmark_ benchmark-benchmark 326 100.0 8.7 56.4 0.5 0.7 0.1 25.0 -64.0
pair benchmark___benchmark_ benchmark-benchmark 326 100.0 8.7 56.4 0.5 0.7 0.1 25.0 -64.0
pair RSmean SLmean neg-pos 104 31.9 8.6 54.8 0.4 0.6 0.2 31.8 -45.8
pair SLmean RSmean neg-pos 104 31.9 8.6 54.8 0.4 0.6 0.2 31.8 -45.8
pair RSIhist MACD neg-pos 62 19.0 8.4 56.5 0.5 0.9 0.4 19.5 -22.1
pair MACD RSIhist neg-pos 62 19.0 8.4 56.5 0.5 0.9 0.4 19.5 -22.1
pair RSIhist MACD neg-neg 66 20.2 8.4 53.0 0.4 0.6 0.2 33.8 -44.4
pair MACD RSIhist neg-neg 66 20.2 8.4 53.0 0.4 0.6 0.2 33.8 -44.4
single MACD MACD neg-neg 128 39.3 8.4 54.7 0.4 0.6 0.2 27.7 -52.4
pair RSmean MACDhist neg-neg 23 7.1 8.4 56.5 0.5 0.8 0.5 20.2 -16.8
pair MACDhist RSmean neg-neg 23 7.1 8.4 56.5 0.5 0.8 0.5 20.2 -16.8
single RSmean RSmean pos-pos 302 92.6 8.3 56.3 0.4 0.7 0.1 25.3 -60.7
pair RSmean SLmean pos-pos 198 60.7 8.2 57.1 0.5 0.8 0.2 21.2 -41.7
pair SLmean RSmean pos-pos 198 60.7 8.2 57.1 0.5 0.8 0.2 21.2 -41.7
single SLmean SLmean neg-neg 123 37.7 8.0 53.7 0.4 0.6 0.2 30.5 -51.1
pair SLmean MRmean pos-pos 188 57.7 8.0 56.9 0.5 0.7 0.2 21.2 -36.3
pair SLmean LWTI pos-pos 170 52.1 8.0 58.2 0.5 0.7 0.2 21.0 -36.3
pair LWTI SLmean pos-pos 170 52.1 8.0 58.2 0.5 0.7 0.2 21.0 -36.3
pair MRmean SLmean pos-pos 188 57.7 8.0 56.9 0.5 0.7 0.2 21.2 -36.3
pair RSIhist SLmean neg-neg 114 35.0 7.7 54.4 0.4 0.6 0.1 31.6 -56.7
pair SLmean RSIhist neg-neg 114 35.0 7.7 54.4 0.4 0.6 0.1 31.6 -56.7
pair MACD RSmean pos-neg 114 35.0 7.5 55.3 0.4 0.6 0.1 28.2 -50.5
pair RSmean MACD pos-neg 114 35.0 7.5 55.3 0.4 0.6 0.1 28.2 -50.5
pair RSI MACDhist pos-neg 85 26.1 7.3 49.4 0.5 0.7 0.3 20.1 -21.7
pair MACDhist RSI pos-neg 85 26.1 7.3 49.4 0.5 0.7 0.3 20.1 -21.7
pair RSmean RSIhist pos-pos 166 50.9 7.2 56.0 0.4 0.7 0.2 21.7 -39.9
pair RSIhist RSmean pos-pos 166 50.9 7.2 56.0 0.4 0.7 0.2 21.7 -39.9
pair RSIhist MRmean pos-pos 159 48.8 7.2 56.0 0.4 0.7 0.2 21.7 -38.9
pair MRmean RSIhist pos-pos 159 48.8 7.2 56.0 0.4 0.7 0.2 21.7 -38.9
single RSIhist RSIhist pos-pos 170 52.1 7.1 55.9 0.4 0.7 0.2 21.5 -38.9
pair MACDhist LWTI neg-pos 104 31.9 7.0 51.0 0.4 0.6 0.2 22.9 -37.2
pair LWTI MACDhist neg-pos 104 31.9 7.0 51.0 0.4 0.6 0.2 22.9 -37.2
pair SLmean RSIhist pos-pos 161 49.4 6.8 56.5 0.4 0.6 0.2 21.9 -38.9
pair RSIhist SLmean pos-pos 161 49.4 6.8 56.5 0.4 0.6 0.2 21.9 -38.9
pair SLmean MACD pos-neg 63 19.3 6.4 55.6 0.4 0.7 0.3 20.0 -20.5
pair MACD SLmean pos-neg 63 19.3 6.4 55.6 0.4 0.7 0.3 20.0 -20.5
pair LWTI RSIhist pos-pos 139 42.6 6.4 56.1 0.4 0.6 0.2 21.6 -38.9
pair RSIhist LWTI pos-pos 139 42.6 6.4 56.1 0.4 0.6 0.2 21.6 -38.9
pair MACD RSIhist pos-pos 108 33.1 6.3 55.6 0.4 0.6 0.2 22.6 -38.9
pair RSIhist MACD pos-pos 108 33.1 6.3 55.6 0.4 0.6 0.2 22.6 -38.9
pair MACD MRmean neg-neg 73 22.4 6.1 53.4 0.3 0.5 0.1 32.0 -45.7
pair MRmean MACD neg-neg 73 22.4 6.1 53.4 0.3 0.5 0.1 32.0 -45.7
pair MRmean LWTI neg-pos 61 18.7 6.1 54.1 0.4 0.5 0.1 25.0 -46.6
pair LWTI MRmean neg-pos 61 18.7 6.1 54.1 0.4 0.5 0.1 25.0 -46.6
pair RSI RSIhist pos-pos 142 43.6 5.9 55.6 0.4 0.6 0.1 21.4 -38.9
pair RSIhist RSI pos-pos 142 43.6 5.9 55.6 0.4 0.6 0.1 21.4 -38.9
pair RSIhist MACDhist neg-neg 116 35.6 5.9 54.3 0.3 0.5 0.1 29.5 -48.7
pair MACDhist RSIhist neg-neg 116 35.6 5.9 54.3 0.3 0.5 0.1 29.5 -48.7
pair RSI MACD neg-neg 83 25.5 5.7 53.0 0.3 0.5 0.1 31.2 -52.4
pair MACD RSI neg-neg 83 25.5 5.7 53.0 0.3 0.5 0.1 31.2 -52.4
pair SLmean MACD neg-pos 58 17.8 5.4 53.4 0.3 0.5 0.1 26.9 -49.6
pair MACD SLmean neg-pos 58 17.8 5.4 53.4 0.3 0.5 0.1 26.9 -49.6
pair LWTI RSmean pos-neg 77 23.6 5.1 51.9 0.3 0.4 0.1 30.6 -41.6
pair RSmean LWTI pos-neg 77 23.6 5.1 51.9 0.3 0.4 0.1 30.6 -41.6
pair MRmean RSIhist neg-pos 11 3.4 5.1 54.5 0.4 0.4 0.5 17.8 -11.1
pair RSIhist MRmean neg-pos 11 3.4 5.1 54.5 0.4 0.4 0.5 17.8 -11.1
pair RSmean SLmean neg-neg 19 5.8 5.0 47.4 0.3 0.6 0.3 22.9 -18.7
pair SLmean RSmean neg-neg 19 5.8 5.0 47.4 0.3 0.6 0.3 22.9 -18.7
pair LWTI MACD neg-neg 71 21.8 4.4 52.1 0.3 0.4 0.1 31.6 -43.8
pair MACD LWTI neg-neg 71 21.8 4.4 52.1 0.3 0.4 0.1 31.6 -43.8
pair RSI LWTI neg-neg 70 21.5 3.6 51.4 0.3 0.4 0.1 32.1 -47.2
pair LWTI RSI neg-neg 70 21.5 3.6 51.4 0.3 0.4 0.1 32.1 -47.2
pair MRmean MACDhist pos-neg 67 20.6 3.6 44.8 0.3 0.5 0.1 19.1 -25.8
pair MACDhist MRmean pos-neg 67 20.6 3.6 44.8 0.3 0.5 0.1 19.1 -25.8
pair SLmean MACDhist pos-neg 74 22.7 3.3 48.6 0.3 0.4 0.1 18.4 -31.4
pair MACDhist SLmean pos-neg 74 22.7 3.3 48.6 0.3 0.4 0.1 18.4 -31.4
pair MACD MACDhist neg-neg 89 27.3 3.2 50.6 0.3 0.4 0.1 30.2 -52.4
pair MACDhist MACD neg-neg 89 27.3 3.2 50.6 0.3 0.4 0.1 30.2 -52.4
single MRmean MRmean neg-neg 116 35.6 2.4 52.6 0.2 0.3 0.1 29.6 -49.6
single RSI RSI neg-neg 106 32.5 2.3 50.9 0.2 0.3 0.0 30.5 -52.4
single MACDhist MACDhist neg-neg 171 52.5 2.3 49.7 0.2 0.3 0.0 26.6 -56.2
pair RSIhist MRmean neg-neg 105 32.2 2.1 52.4 0.2 0.3 0.0 30.6 -48.3
pair MRmean RSIhist neg-neg 105 32.2 2.1 52.4 0.2 0.3 0.0 30.6 -48.3
pair RSIhist RSmean neg-pos 4 1.2 2.0 50.0 0.5 0.6 11.3 4.6 -0.2
pair RSmean RSIhist neg-pos 4 1.2 2.0 50.0 0.5 0.6 11.3 4.6 -0.2
single LWTI LWTI neg-neg 79 24.2 1.8 50.6 0.2 0.3 0.0 30.7 -47.9
pair MACDhist SLmean neg-neg 97 29.8 1.5 50.5 0.2 0.3 0.0 31.6 -61.4
pair SLmean MACDhist neg-neg 97 29.8 1.5 50.5 0.2 0.3 0.0 31.6 -61.4
pair RSI RSmean pos-neg 100 30.7 1.5 51.0 0.2 0.3 0.0 30.6 -50.5
pair RSmean RSI pos-neg 100 30.7 1.5 51.0 0.2 0.3 0.0 30.6 -50.5
pair RSmean MACDhist pos-neg 148 45.4 1.4 48.6 0.2 0.3 0.0 27.5 -52.3
pair MACDhist RSmean pos-neg 148 45.4 1.4 48.6 0.2 0.3 0.0 27.5 -52.3
pair MACDhist MRmean neg-neg 104 31.9 1.4 52.9 0.2 0.3 0.0 30.6 -52.9
pair MRmean MACDhist neg-neg 104 31.9 1.4 52.9 0.2 0.3 0.0 30.6 -52.9
pair MACDhist MACD pos-neg 82 25.2 1.3 48.8 0.2 0.2 0.0 22.3 -38.2
pair MACD MACDhist pos-neg 82 25.2 1.3 48.8 0.2 0.2 0.0 22.3 -38.2
pair MRmean RSmean neg-pos 95 29.1 0.9 52.6 0.2 0.3 0.0 31.1 -49.0
pair RSmean MRmean neg-pos 95 29.1 0.9 52.6 0.2 0.3 0.0 31.1 -49.0
pair LWTI RSI neg-pos 36 11.0 -0.2 50.0 0.1 0.2 -0.0 27.5 -34.1
pair RSI LWTI neg-pos 36 11.0 -0.2 50.0 0.1 0.2 -0.0 27.5 -34.1
pair MRmean SLmean neg-neg 101 31.0 -0.5 49.5 0.1 0.2 -0.0 30.9 -56.9
pair SLmean MRmean neg-neg 101 31.0 -0.5 49.5 0.1 0.2 -0.0 30.9 -56.9
pair RSI MRmean neg-neg 86 26.4 -0.5 50.0 0.1 0.2 -0.0 32.0 -49.4
pair MRmean RSI neg-neg 86 26.4 -0.5 50.0 0.1 0.2 -0.0 32.0 -49.4
pair SLmean RSI neg-neg 76 23.3 -1.2 48.7 0.1 0.2 -0.0 33.3 -47.3
pair RSI SLmean neg-neg 76 23.3 -1.2 48.7 0.1 0.2 -0.0 33.3 -47.3
pair RSI RSIhist neg-neg 78 23.9 -1.4 48.7 0.1 0.2 -0.0 33.0 -47.8
pair RSIhist RSI neg-neg 78 23.9 -1.4 48.7 0.1 0.2 -0.0 33.0 -47.8
pair MRmean LWTI neg-neg 55 16.9 -1.5 50.9 0.1 0.2 -0.0 34.2 -45.8
pair LWTI MRmean neg-neg 55 16.9 -1.5 50.9 0.1 0.2 -0.0 34.2 -45.8
pair MACDhist RSI neg-neg 86 26.4 -2.4 50.0 0.1 0.1 -0.1 31.9 -52.4
pair RSI MACDhist neg-neg 86 26.4 -2.4 50.0 0.1 0.1 -0.1 31.9 -52.4
pair LWTI RSIhist neg-neg 48 14.7 -3.3 47.9 0.1 0.1 -0.1 35.8 -44.5
pair RSIhist LWTI neg-neg 48 14.7 -3.3 47.9 0.1 0.1 -0.1 35.8 -44.5
pair MACD MRmean neg-pos 43 13.2 -3.5 51.2 -0.0 -0.0 -0.1 25.2 -41.8
pair MRmean MACD neg-pos 43 13.2 -3.5 51.2 -0.0 -0.0 -0.1 25.2 -41.8
pair MACDhist LWTI neg-neg 67 20.6 -4.6 47.8 0.0 0.0 -0.1 31.7 -54.5
pair LWTI MACDhist neg-neg 67 20.6 -4.6 47.8 0.0 0.0 -0.1 31.7 -54.5
pair MACDhist RSIhist neg-pos 55 16.9 -4.9 40.0 -0.2 -0.2 -0.1 19.1 -33.9
pair RSIhist MACDhist neg-pos 55 16.9 -4.9 40.0 -0.2 -0.2 -0.1 19.1 -33.9
pair SLmean LWTI neg-neg 46 14.1 -6.7 45.7 -0.0 -0.0 -0.1 36.1 -47.7
pair LWTI SLmean neg-neg 46 14.1 -6.7 45.7 -0.0 -0.0 -0.1 36.1 -47.7
pair MACD RSI pos-neg 23 7.1 -9.2 43.5 -0.2 -0.3 -0.4 27.8 -25.2
pair RSI MACD pos-neg 23 7.1 -9.2 43.5 -0.2 -0.3 -0.4 27.8 -25.2
pair LWTI RSI pos-neg 9 2.8 -10.7 44.4 -0.6 -0.7 -0.7 17.4 -16.6
pair RSI LWTI pos-neg 9 2.8 -10.7 44.4 -0.6 -0.7 -0.7 17.4 -16.6
pair MACD LWTI pos-neg 8 2.5 -18.3 37.5 -0.8 -1.3 -0.9 22.1 -20.2
pair LWTI MACD pos-neg 8 2.5 -18.3 37.5 -0.8 -1.3 -0.9 22.1 -20.2
pair RSmean LWTI neg-neg 2 0.6 -69.9 0.0 -19.8 -19.8 -8.4 5.8 -8.3
pair LWTI RSmean neg-neg 2 0.6 -69.9 0.0 -19.8 -19.8 -8.4 5.8 -8.3

All Contingency Tables for XLE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.0% | Win 57%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 21% | MDD -36.3%
Months 188M (58%)
CAGR 56.9% | Win 73%
Sharpe 1.82 | Sortino 2.82 | Calmar 3.8
Vol 27% | MDD -15.0%
Months 22M (7%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 23.8% | Win 73%
Sharpe 1.23 | Sortino 1.45 | Calmar 1.7
Vol 19% | MDD -14.0%
Months 15M (5%)
CAGR -0.5% | Win 50%
Sharpe 0.14 | Sortino 0.20 | Calmar -0.0
Vol 31% | MDD -56.9%
Months 101M (31%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
SLmean
only
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.0% | Win 58%
Sharpe 0.62 | Sortino 1.01 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 207M (64%)
CAGR 42.3% | Win 100%
Sharpe 8.80 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (1%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 0.9% | Win 53%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 31% | MDD -49.0%
Months 95M (29%)
CAGR 9.7% | Win 52%
Sharpe 0.52 | Sortino 0.90 | Calmar 0.6
Vol 22% | MDD -16.5%
Months 21M (6%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
RSmean
only
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 59%
Sharpe 0.64 | Sortino 0.98 | Calmar 0.4
Vol 23% | MDD -32.6%
Months 155M (48%)
CAGR 11.6% | Win 56%
Sharpe 0.62 | Sortino 1.26 | Calmar 0.6
Vol 21% | MDD -18.1%
Months 55M (17%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR -3.5% | Win 51%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -41.8%
Months 43M (13%)
CAGR 6.1% | Win 53%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -45.7%
Months 73M (22%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
MACD
only
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 59%
Sharpe 0.63 | Sortino 1.00 | Calmar 0.4
Vol 22% | MDD -30.1%
Months 190M (58%)
CAGR 14.9% | Win 55%
Sharpe 0.71 | Sortino 1.34 | Calmar 1.2
Vol 23% | MDD -12.4%
Months 20M (6%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 11.1% | Win 60%
Sharpe 0.59 | Sortino 0.79 | Calmar 0.5
Vol 22% | MDD -24.3%
Months 30M (9%)
CAGR -0.5% | Win 50%
Sharpe 0.15 | Sortino 0.21 | Calmar -0.0
Vol 32% | MDD -49.4%
Months 86M (26%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
RSI
only
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 16.7% | Win 65%
Sharpe 0.78 | Sortino 1.23 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 143M (44%)
CAGR 3.6% | Win 45%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -25.8%
Months 67M (21%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 11.2% | Win 50%
Sharpe 0.64 | Sortino 1.60 | Calmar 1.1
Vol 20% | MDD -9.8%
Months 12M (4%)
CAGR 1.4% | Win 53%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 31% | MDD -52.9%
Months 104M (32%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
MACDhist
only
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 7.2% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 159M (49%)
CAGR 30.1% | Win 67%
Sharpe 1.27 | Sortino 2.26 | Calmar 2.0
Vol 23% | MDD -14.8%
Months 51M (16%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 5.1% | Win 55%
Sharpe 0.36 | Sortino 0.41 | Calmar 0.5
Vol 18% | MDD -11.1%
Months 11M (3%)
CAGR 2.1% | Win 52%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 31% | MDD -48.3%
Months 105M (32%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.7% | Win 60%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -28.4%
Months 186M (57%)
CAGR 10.0% | Win 50%
Sharpe 0.55 | Sortino 1.04 | Calmar 0.8
Vol 21% | MDD -12.4%
Months 24M (7%)
CAGR 12.4% | Win 59%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 210M (64%)
MRmean
neg
CAGR 6.1% | Win 54%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -46.6%
Months 61M (19%)
CAGR -1.5% | Win 51%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 34% | MDD -45.8%
Months 55M (17%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (36%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 57%
Sharpe 0.48 | Sortino 0.75 | Calmar 0.2
Vol 21% | MDD -41.7%
Months 198M (61%)
CAGR 51.3% | Win 100%
Sharpe 7.68 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 5M (2%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 8.6% | Win 55%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.2
Vol 32% | MDD -45.8%
Months 104M (32%)
CAGR 5.0% | Win 47%
Sharpe 0.32 | Sortino 0.57 | Calmar 0.3
Vol 23% | MDD -18.7%
Months 19M (6%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
RSmean
only
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 59%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 140M (43%)
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 20% | MDD -20.5%
Months 63M (19%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 5.4% | Win 53%
Sharpe 0.33 | Sortino 0.50 | Calmar 0.1
Vol 27% | MDD -49.6%
Months 58M (18%)
CAGR 10.4% | Win 54%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 34% | MDD -47.3%
Months 65M (20%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
MACD
only
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.7% | Win 58%
Sharpe 0.51 | Sortino 0.77 | Calmar 0.2
Vol 21% | MDD -36.3%
Months 173M (53%)
CAGR 11.7% | Win 57%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.6
Vol 22% | MDD -20.2%
Months 30M (9%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 24.8% | Win 62%
Sharpe 1.00 | Sortino 1.58 | Calmar 0.6
Vol 25% | MDD -40.0%
Months 47M (14%)
CAGR -1.2% | Win 49%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -47.3%
Months 76M (23%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
RSI
only
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.6% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.4
Vol 22% | MDD -33.1%
Months 129M (40%)
CAGR 3.3% | Win 49%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -31.4%
Months 74M (23%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 36.2% | Win 65%
Sharpe 1.33 | Sortino 2.36 | Calmar 2.5
Vol 26% | MDD -14.4%
Months 26M (8%)
CAGR 1.5% | Win 50%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 32% | MDD -61.4%
Months 97M (30%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
MACDhist
only
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 6.8% | Win 56%
Sharpe 0.41 | Sortino 0.63 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 161M (49%)
CAGR 18.6% | Win 64%
Sharpe 1.07 | Sortino 1.85 | Calmar 1.3
Vol 17% | MDD -14.0%
Months 42M (13%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 11.8% | Win 44%
Sharpe 1.03 | Sortino 5.32 | Calmar 4.5
Vol 11% | MDD -2.6%
Months 9M (3%)
CAGR 7.7% | Win 54%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.1
Vol 32% | MDD -56.7%
Months 114M (35%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 58%
Sharpe 0.47 | Sortino 0.73 | Calmar 0.2
Vol 21% | MDD -36.3%
Months 170M (52%)
CAGR 15.1% | Win 58%
Sharpe 0.76 | Sortino 1.27 | Calmar 0.9
Vol 21% | MDD -17.4%
Months 33M (10%)
CAGR 9.1% | Win 58%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 203M (62%)
SLmean
neg
CAGR 17.9% | Win 58%
Sharpe 0.75 | Sortino 1.14 | Calmar 0.5
Vol 27% | MDD -37.5%
Months 77M (24%)
CAGR -6.7% | Win 46%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 36% | MDD -47.7%
Months 46M (14%)
CAGR 8.0% | Win 54%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 30% | MDD -51.1%
Months 123M (38%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 57%
Sharpe 0.48 | Sortino 0.73 | Calmar 0.2
Vol 24% | MDD -49.9%
Months 188M (58%)
CAGR 7.5% | Win 55%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -50.5%
Months 114M (35%)
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
RSmean
neg
CAGR 9.6% | Win 70%
Sharpe 0.66 | Sortino 0.53 | Calmar 0.9
Vol 16% | MDD -10.7%
Months 10M (3%)
CAGR 16.0% | Win 50%
Sharpe 0.72 | Sortino 1.64 | Calmar 1.9
Vol 24% | MDD -8.3%
Months 14M (4%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
MACD
only
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -34.4%
Months 202M (62%)
CAGR 1.5% | Win 51%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 31% | MDD -50.5%
Months 100M (31%)
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
RSmean
neg
CAGR 12.2% | Win 61%
Sharpe 0.75 | Sortino 1.02 | Calmar 1.1
Vol 17% | MDD -11.6%
Months 18M (6%)
CAGR 16.6% | Win 50%
Sharpe 0.63 | Sortino 1.43 | Calmar 2.0
Vol 31% | MDD -8.3%
Months 6M (2%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
RSI
only
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.5% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 154M (47%)
CAGR 1.4% | Win 49%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -52.3%
Months 148M (45%)
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
RSmean
neg
CAGR 213.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.5
Vol 20% | MDD -16.8%
Months 23M (7%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
MACDhist
only
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 56%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 22% | MDD -39.9%
Months 166M (51%)
CAGR 9.8% | Win 57%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.2
Vol 29% | MDD -49.3%
Months 136M (42%)
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
RSmean
neg
CAGR 2.0% | Win 50%
Sharpe 0.45 | Sortino 0.64 | Calmar 11.3
Vol 5% | MDD -0.2%
Months 4M (1%)
CAGR 15.7% | Win 60%
Sharpe 0.75 | Sortino 1.29 | Calmar 1.0
Vol 23% | MDD -16.5%
Months 20M (6%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 58%
Sharpe 0.51 | Sortino 0.78 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 225M (69%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 31% | MDD -41.6%
Months 77M (24%)
CAGR 8.3% | Win 56%
Sharpe 0.44 | Sortino 0.65 | Calmar 0.1
Vol 25% | MDD -60.7%
Months 302M (93%)
RSmean
neg
CAGR 27.8% | Win 64%
Sharpe 1.45 | Sortino 3.42 | Calmar 4.2
Vol 18% | MDD -6.6%
Months 22M (7%)
CAGR -69.9% | Win 0%
Sharpe -19.78 | Sortino -19.78 | Calmar -8.4
Vol 6% | MDD -8.3%
Months 2M (1%)
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.14 | Calmar 0.8
Vol 21% | MDD -15.9%
Months 24M (7%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 11.5% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.3
Vol 22% | MDD -37.4%
Months 175M (54%)
CAGR -9.2% | Win 44%
Sharpe -0.21 | Sortino -0.33 | Calmar -0.4
Vol 28% | MDD -25.2%
Months 23M (7%)
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
MACD
neg
CAGR 13.5% | Win 58%
Sharpe 0.74 | Sortino 1.59 | Calmar 1.2
Vol 20% | MDD -11.4%
Months 45M (14%)
CAGR 5.7% | Win 53%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 31% | MDD -52.4%
Months 83M (26%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
RSI
only
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 14.6% | Win 64%
Sharpe 0.69 | Sortino 1.08 | Calmar 0.5
Vol 24% | MDD -29.3%
Months 116M (36%)
CAGR 1.3% | Win 49%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 22% | MDD -38.2%
Months 82M (25%)
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
MACD
neg
CAGR 21.2% | Win 64%
Sharpe 1.02 | Sortino 1.99 | Calmar 1.3
Vol 21% | MDD -16.7%
Months 39M (12%)
CAGR 3.2% | Win 51%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 30% | MDD -52.4%
Months 89M (27%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
MACDhist
only
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.3% | Win 56%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.2
Vol 23% | MDD -38.9%
Months 108M (33%)
CAGR 12.2% | Win 60%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.3
Vol 24% | MDD -44.8%
Months 90M (28%)
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
MACD
neg
CAGR 8.4% | Win 56%
Sharpe 0.51 | Sortino 0.86 | Calmar 0.4
Vol 20% | MDD -22.1%
Months 62M (19%)
CAGR 8.4% | Win 53%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.2
Vol 34% | MDD -44.4%
Months 66M (20%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 10.2% | Win 58%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.2
Vol 23% | MDD -48.4%
Months 190M (58%)
CAGR -18.3% | Win 38%
Sharpe -0.81 | Sortino -1.34 | Calmar -0.9
Vol 22% | MDD -20.2%
Months 8M (2%)
CAGR 8.9% | Win 58%
Sharpe 0.48 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 198M (61%)
MACD
neg
CAGR 13.6% | Win 58%
Sharpe 0.69 | Sortino 1.26 | Calmar 0.8
Vol 22% | MDD -16.7%
Months 57M (18%)
CAGR 4.4% | Win 52%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -43.8%
Months 71M (22%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (39%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 15.0% | Win 65%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 135M (41%)
CAGR 7.3% | Win 49%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -21.7%
Months 85M (26%)
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
RSI
neg
CAGR 25.2% | Win 55%
Sharpe 1.08 | Sortino 3.44 | Calmar 3.8
Vol 23% | MDD -6.5%
Months 20M (6%)
CAGR -2.4% | Win 50%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 32% | MDD -52.4%
Months 86M (26%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
MACDhist
only
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 56%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.2
Vol 21% | MDD -38.9%
Months 142M (44%)
CAGR 23.9% | Win 65%
Sharpe 1.06 | Sortino 1.70 | Calmar 0.7
Vol 23% | MDD -31.9%
Months 78M (24%)
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
RSI
neg
CAGR 13.1% | Win 57%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.6
Vol 22% | MDD -22.1%
Months 28M (9%)
CAGR -1.4% | Win 49%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 33% | MDD -47.8%
Months 78M (24%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 60%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 211M (65%)
CAGR -10.7% | Win 44%
Sharpe -0.57 | Sortino -0.70 | Calmar -0.6
Vol 17% | MDD -16.6%
Months 9M (3%)
CAGR 11.9% | Win 59%
Sharpe 0.62 | Sortino 0.97 | Calmar 0.3
Vol 22% | MDD -36.0%
Months 220M (68%)
RSI
neg
CAGR -0.2% | Win 50%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -34.1%
Months 36M (11%)
CAGR 3.6% | Win 51%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 32% | MDD -47.2%
Months 70M (22%)
CAGR 2.3% | Win 51%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 30% | MDD -52.4%
Months 106M (32%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.3% | Win 64%
Sharpe 0.67 | Sortino 1.01 | Calmar 0.3
Vol 22% | MDD -39.1%
Months 115M (35%)
CAGR 25.2% | Win 65%
Sharpe 1.03 | Sortino 1.92 | Calmar 1.2
Vol 25% | MDD -21.3%
Months 40M (12%)
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
MACDhist
neg
CAGR -4.9% | Win 40%
Sharpe -0.17 | Sortino -0.25 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 55M (17%)
CAGR 5.9% | Win 54%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -48.7%
Months 116M (36%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
RSIhist
only
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.0% | Win 64%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.5
Vol 23% | MDD -30.7%
Months 143M (44%)
CAGR 46.3% | Win 67%
Sharpe 1.76 | Sortino 9.68 | Calmar 13.1
Vol 23% | MDD -3.5%
Months 12M (4%)
CAGR 16.3% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 155M (48%)
MACDhist
neg
CAGR 7.0% | Win 51%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 23% | MDD -37.2%
Months 104M (32%)
CAGR -4.6% | Win 48%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 32% | MDD -54.5%
Months 67M (21%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (52%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 6.4% | Win 56%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 139M (43%)
CAGR 10.3% | Win 55%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.5
Vol 21% | MDD -22.1%
Months 31M (10%)
CAGR 7.1% | Win 56%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 170M (52%)
RSIhist
neg
CAGR 17.3% | Win 61%
Sharpe 0.78 | Sortino 1.19 | Calmar 0.4
Vol 24% | MDD -39.3%
Months 108M (33%)
CAGR -3.3% | Win 48%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -44.5%
Months 48M (15%)
CAGR 10.5% | Win 57%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 156M (48%)
LWTI
only
CAGR 11.0% | Win 58%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -51.8%
Months 247M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)