XLE - State Street Energy Select Sector SPDR ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

213.7%

Best CAGR

95

Total Months

11.4%

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 0.3 213.7 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 213.7 100.0 0.0 0.0 0.0 - 0.0
pair MRmean SLmean pos-neg 23 6.9 63.4 73.9 2.0 3.1 4.2 27.1 -15.0
pair SLmean MRmean pos-neg 23 6.9 63.4 73.9 2.0 3.1 4.2 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 3.6 46.3 66.7 1.8 9.6 13.1 23.1 -3.5
pair LWTI MACDhist pos-neg 12 3.6 46.3 66.7 1.8 9.6 13.1 23.1 -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 27 8.1 41.7 66.7 1.5 2.6 2.9 26.1 -14.4
pair SLmean MACDhist neg-pos 27 8.1 41.7 66.7 1.5 2.6 2.9 26.1 -14.4
pair MRmean RSIhist pos-neg 53 15.9 30.7 66.0 1.3 2.4 2.1 23.2 -14.8
pair RSIhist MRmean pos-neg 53 15.9 30.7 66.0 1.3 2.4 2.1 23.2 -14.8
pair SLmean RSI neg-pos 48 14.4 27.8 62.5 1.1 1.7 0.7 25.7 -40.0
pair RSI SLmean neg-pos 48 14.4 27.8 62.5 1.1 1.7 0.7 25.7 -40.0
pair RSmean LWTI neg-pos 22 6.6 27.8 63.6 1.4 3.4 4.2 18.1 -6.6
pair LWTI RSmean neg-pos 22 6.6 27.8 63.6 1.4 3.4 4.2 18.1 -6.6
pair RSIhist MACDhist pos-neg 42 12.6 26.2 64.3 1.1 2.0 1.2 25.3 -21.3
pair MACDhist RSIhist pos-neg 42 12.6 26.2 64.3 1.1 2.0 1.2 25.3 -21.3
pair MACDhist RSI neg-pos 20 6.0 25.2 55.0 1.1 3.5 3.9 23.2 -6.5
pair RSI MACDhist neg-pos 20 6.0 25.2 55.0 1.1 3.5 3.9 23.2 -6.5
pair RSI RSIhist pos-neg 80 24.0 24.4 65.0 1.1 1.8 0.8 23.0 -31.9
pair RSIhist RSI pos-neg 80 24.0 24.4 65.0 1.1 1.8 0.8 23.0 -31.9
pair SLmean MRmean neg-pos 15 4.5 23.8 73.3 1.2 1.4 1.7 18.9 -14.0
pair MRmean SLmean neg-pos 15 4.5 23.8 73.3 1.2 1.4 1.7 18.9 -14.0
pair MACD MACDhist neg-pos 39 11.7 21.3 64.1 1.0 2.0 1.3 21.1 -16.7
pair MACDhist MACD neg-pos 39 11.7 21.3 64.1 1.0 2.0 1.3 21.1 -16.7
pair SLmean LWTI neg-pos 78 23.4 19.7 59.0 0.8 1.2 0.5 26.8 -37.5
pair LWTI SLmean neg-pos 78 23.4 19.7 59.0 0.8 1.2 0.5 26.8 -37.5
pair MRmean MACDhist pos-pos 151 45.2 18.0 64.2 0.8 1.4 0.7 23.6 -26.7
pair MACDhist MRmean pos-pos 151 45.2 18.0 64.2 0.8 1.4 0.7 23.6 -26.7
pair LWTI RSIhist neg-pos 110 32.9 17.8 60.9 0.8 1.2 0.5 24.7 -39.3
pair RSIhist LWTI neg-pos 110 32.9 17.8 60.9 0.8 1.2 0.5 24.7 -39.3
single MACDhist MACDhist pos-pos 163 48.8 17.5 63.2 0.8 1.4 0.7 23.3 -26.7
pair MACDhist RSmean pos-pos 162 48.5 16.8 63.0 0.8 1.3 0.6 23.2 -26.7
pair RSmean MACDhist pos-pos 162 48.5 16.8 63.0 0.8 1.3 0.6 23.2 -26.7
pair RSmean RSI neg-neg 6 1.8 16.6 50.0 0.6 1.4 2.0 30.9 -8.3
pair RSI RSmean neg-neg 6 1.8 16.6 50.0 0.6 1.4 2.0 30.9 -8.3
pair SLmean RSIhist pos-neg 43 12.9 16.5 62.8 1.0 1.7 1.2 17.5 -14.0
pair RSI MACDhist pos-pos 143 42.8 16.5 64.3 0.8 1.2 0.6 23.4 -26.7
pair RSIhist SLmean pos-neg 43 12.9 16.5 62.8 1.0 1.7 1.2 17.5 -14.0
pair MACDhist RSI pos-pos 143 42.8 16.5 64.3 0.8 1.2 0.6 23.4 -26.7
pair MACD MACDhist pos-pos 124 37.1 16.3 62.9 0.8 1.2 0.6 24.0 -29.3
pair MACDhist MACD pos-pos 124 37.1 16.3 62.9 0.8 1.2 0.6 24.0 -29.3
pair RSmean MACD neg-neg 14 4.2 16.0 50.0 0.7 1.6 1.9 24.3 -8.3
pair MACD RSmean neg-neg 14 4.2 16.0 50.0 0.7 1.6 1.9 24.3 -8.3
pair RSIhist RSmean neg-neg 20 6.0 15.7 60.0 0.8 1.3 0.9 22.7 -16.5
pair RSmean RSIhist neg-neg 20 6.0 15.7 60.0 0.8 1.3 0.9 22.7 -16.5
pair LWTI MACDhist pos-pos 151 45.2 15.5 62.9 0.7 1.2 0.5 23.3 -30.7
pair MACDhist LWTI pos-pos 151 45.2 15.5 62.9 0.7 1.2 0.5 23.3 -30.7
pair SLmean LWTI pos-neg 33 9.9 15.1 57.6 0.8 1.3 0.9 21.2 -17.4
pair LWTI SLmean pos-neg 33 9.9 15.1 57.6 0.8 1.3 0.9 21.2 -17.4
pair RSI MRmean pos-neg 20 6.0 15.0 55.0 0.7 1.3 1.2 23.1 -12.4
pair MRmean RSI pos-neg 20 6.0 15.0 55.0 0.7 1.3 1.2 23.1 -12.4
pair RSIhist MACDhist pos-pos 121 36.2 14.6 62.8 0.7 1.1 0.4 22.6 -39.1
pair MACDhist RSIhist pos-pos 121 36.2 14.6 62.8 0.7 1.1 0.4 22.6 -39.1
pair LWTI RSI pos-pos 219 65.6 14.0 59.4 0.7 1.1 0.4 22.3 -36.0
pair MACD MRmean pos-pos 163 48.8 14.0 58.9 0.7 1.1 0.4 22.9 -32.6
pair MRmean MACD pos-pos 163 48.8 14.0 58.9 0.7 1.1 0.4 22.9 -32.6
pair RSI LWTI pos-pos 219 65.6 14.0 59.4 0.7 1.1 0.4 22.3 -36.0
pair LWTI MRmean pos-pos 194 58.1 13.8 59.3 0.7 1.1 0.5 22.5 -28.4
pair MRmean LWTI pos-pos 194 58.1 13.8 59.3 0.7 1.1 0.5 22.5 -28.4
pair MACD LWTI neg-pos 57 17.1 13.6 57.9 0.7 1.3 0.8 22.2 -16.7
pair LWTI MACD neg-pos 57 17.1 13.6 57.9 0.7 1.3 0.8 22.2 -16.7
pair MACD RSI neg-pos 45 13.5 13.5 57.8 0.7 1.6 1.2 19.8 -11.5
pair RSI MACD neg-pos 45 13.5 13.5 57.8 0.7 1.6 1.2 19.8 -11.5
single MRmean MRmean pos-pos 218 65.3 13.4 58.3 0.7 1.1 0.5 22.3 -29.6
single RSmean RSmean neg-neg 24 7.2 13.3 58.3 0.7 1.1 0.8 20.8 -15.9
pair RSI MRmean pos-pos 198 59.3 13.2 58.6 0.7 1.1 0.4 22.3 -30.1
pair SLmean MACDhist pos-pos 136 40.7 13.2 62.5 0.7 1.1 0.4 22.6 -33.1
pair MRmean RSI pos-pos 198 59.3 13.2 58.6 0.7 1.1 0.4 22.3 -30.1
pair MACDhist SLmean pos-pos 136 40.7 13.2 62.5 0.7 1.1 0.4 22.6 -33.1
pair RSI RSIhist neg-pos 28 8.4 13.1 57.1 0.7 1.1 0.6 22.2 -22.1
pair RSIhist RSI neg-pos 28 8.4 13.1 57.1 0.7 1.1 0.6 22.2 -22.1
pair MRmean RSmean pos-pos 215 64.4 13.0 57.7 0.7 1.1 0.4 22.5 -29.6
pair RSmean RSI pos-pos 210 62.9 13.0 58.6 0.7 1.1 0.4 22.6 -34.4
pair RSmean MRmean pos-pos 215 64.4 13.0 57.7 0.7 1.1 0.4 22.5 -29.6
pair RSI RSmean pos-pos 210 62.9 13.0 58.6 0.7 1.1 0.4 22.6 -34.4
single RSI RSI pos-pos 228 68.3 12.9 58.8 0.7 1.1 0.4 22.2 -36.0
pair MACD RSI pos-pos 183 54.8 12.8 59.0 0.6 1.0 0.3 22.8 -37.4
pair RSI MACD pos-pos 183 54.8 12.8 59.0 0.6 1.0 0.3 22.8 -37.4
pair MACD RSIhist pos-neg 92 27.5 12.8 59.8 0.6 0.9 0.3 24.2 -44.8
pair RSIhist MACD pos-neg 92 27.5 12.8 59.8 0.6 0.9 0.3 24.2 -44.8
pair RSI RSmean neg-pos 18 5.4 12.2 61.1 0.8 1.0 1.1 17.4 -11.6
pair RSmean RSI neg-pos 18 5.4 12.2 61.1 0.8 1.0 1.1 17.4 -11.6
pair SLmean RSIhist neg-pos 9 2.7 11.9 44.4 1.0 5.3 4.6 11.4 -2.6
single LWTI LWTI pos-pos 255 76.3 11.9 58.0 0.6 0.9 0.2 23.1 -51.7
pair RSIhist SLmean neg-pos 9 2.7 11.9 44.4 1.0 5.3 4.6 11.4 -2.6
pair SLmean RSI pos-neg 30 9.0 11.7 56.7 0.6 1.0 0.6 22.2 -20.2
pair RSI SLmean pos-neg 30 9.0 11.7 56.7 0.6 1.0 0.6 22.2 -20.2
pair MRmean MACD pos-neg 55 16.5 11.6 56.4 0.6 1.3 0.6 20.9 -18.1
pair MACD MRmean pos-neg 55 16.5 11.6 56.4 0.6 1.3 0.6 20.9 -18.1
pair LWTI MACD pos-pos 198 59.3 11.4 58.1 0.6 0.9 0.2 23.4 -48.4
pair MACD LWTI pos-pos 198 59.3 11.4 58.1 0.6 0.9 0.2 23.4 -48.4
pair MRmean MACDhist neg-pos 12 3.6 11.2 50.0 0.6 1.6 1.1 19.5 -9.8
pair MACDhist MRmean neg-pos 12 3.6 11.2 50.0 0.6 1.6 1.1 19.5 -9.8
pair MRmean RSI neg-pos 30 9.0 11.1 60.0 0.6 0.8 0.5 21.6 -24.3
pair RSI MRmean neg-pos 30 9.0 11.1 60.0 0.6 0.8 0.5 21.6 -24.3
pair SLmean MACD pos-pos 147 44.0 11.0 58.5 0.6 0.9 0.3 21.8 -36.3
pair MACD SLmean pos-pos 147 44.0 11.0 58.5 0.6 0.9 0.3 21.8 -36.3
single RSIhist RSIhist neg-neg 158 47.3 10.9 57.0 0.5 0.7 0.2 28.5 -50.3
pair LWTI RSmean pos-pos 233 69.8 10.5 57.5 0.5 0.9 0.2 23.5 -51.7
pair RSmean LWTI pos-pos 233 69.8 10.5 57.5 0.5 0.9 0.2 23.5 -51.7
pair SLmean MACD neg-neg 65 19.5 10.4 53.8 0.5 0.7 0.2 33.6 -47.3
pair MACD SLmean neg-neg 65 19.5 10.4 53.8 0.5 0.7 0.2 33.6 -47.3
pair LWTI RSIhist pos-neg 31 9.3 10.3 54.8 0.6 0.9 0.5 21.0 -22.1
pair RSIhist LWTI pos-neg 31 9.3 10.3 54.8 0.6 0.9 0.5 21.0 -22.1
pair RSmean RSIhist pos-neg 138 41.3 10.2 56.5 0.5 0.7 0.2 29.3 -49.3
pair RSIhist RSmean pos-neg 138 41.3 10.2 56.5 0.5 0.7 0.2 29.3 -49.3
pair MACD RSmean pos-pos 196 58.7 10.1 56.6 0.5 0.8 0.2 23.7 -49.9
pair RSmean MACD pos-pos 196 58.7 10.1 56.6 0.5 0.8 0.2 23.7 -49.9
single MACD MACD pos-pos 206 61.7 10.1 57.3 0.5 0.8 0.2 23.4 -51.3
pair MRmean LWTI pos-neg 24 7.2 10.0 50.0 0.6 1.0 0.8 21.1 -12.4
pair LWTI MRmean pos-neg 24 7.2 10.0 50.0 0.6 1.0 0.8 21.1 -12.4
pair SLmean RSmean neg-pos 105 31.4 9.9 55.2 0.5 0.7 0.2 31.9 -45.8
pair RSmean SLmean neg-pos 105 31.4 9.9 55.2 0.5 0.7 0.2 31.9 -45.8
pair RSmean MRmean neg-neg 21 6.3 9.7 52.4 0.5 0.9 0.6 22.1 -16.5
pair MRmean RSmean neg-neg 21 6.3 9.7 52.4 0.5 0.9 0.6 22.1 -16.5
single SLmean SLmean pos-pos 210 62.9 9.6 57.6 0.5 0.9 0.3 21.2 -36.3
pair RSmean MACD neg-pos 10 3.0 9.6 70.0 0.7 0.5 0.9 15.8 -10.7
pair MACD RSmean neg-pos 10 3.0 9.6 70.0 0.7 0.5 0.9 15.8 -10.7
pair benchmark___benchmark_ benchmark-benchmark 334 100.0 9.4 56.3 0.5 0.7 0.1 25.1 -64.0
pair benchmark___benchmark_ benchmark-benchmark 334 100.0 9.4 56.3 0.5 0.7 0.1 25.1 -64.0
pair SLmean RSI pos-pos 180 53.9 9.3 57.8 0.5 0.8 0.3 21.1 -36.3
pair RSI SLmean pos-pos 180 53.9 9.3 57.8 0.5 0.8 0.3 21.1 -36.3
single RSmean RSmean pos-pos 310 92.8 9.2 56.1 0.5 0.7 0.1 25.4 -60.7
single SLmean SLmean neg-neg 124 37.1 9.1 54.0 0.4 0.6 0.2 30.6 -51.1
pair SLmean RSIhist neg-neg 115 34.4 8.9 54.8 0.4 0.6 0.2 31.7 -56.7
pair RSIhist SLmean neg-neg 115 34.4 8.9 54.8 0.4 0.6 0.2 31.7 -56.7
pair RSmean SLmean pos-pos 205 61.4 8.8 56.6 0.5 0.8 0.2 21.4 -41.7
pair SLmean RSmean pos-pos 205 61.4 8.8 56.6 0.5 0.8 0.2 21.4 -41.7
pair SLmean LWTI pos-pos 177 53.0 8.6 57.6 0.5 0.8 0.2 21.3 -36.3
pair LWTI SLmean pos-pos 177 53.0 8.6 57.6 0.5 0.8 0.2 21.3 -36.3
pair MRmean SLmean pos-pos 195 58.4 8.6 56.4 0.5 0.8 0.2 21.4 -36.3
pair SLmean MRmean pos-pos 195 58.4 8.6 56.4 0.5 0.8 0.2 21.4 -36.3
single MACD MACD neg-neg 128 38.3 8.4 54.7 0.4 0.6 0.2 27.7 -52.4
pair MACD RSIhist neg-pos 62 18.6 8.4 56.5 0.5 0.9 0.4 19.5 -22.1
pair RSIhist MACD neg-pos 62 18.6 8.4 56.5 0.5 0.9 0.4 19.5 -22.1
pair RSIhist MACD neg-neg 66 19.8 8.4 53.0 0.4 0.6 0.2 33.8 -44.4
pair MACDhist RSmean neg-neg 23 6.9 8.4 56.5 0.5 0.8 0.5 20.2 -16.8
pair RSmean MACDhist neg-neg 23 6.9 8.4 56.5 0.5 0.8 0.5 20.2 -16.8
pair MACD RSIhist neg-neg 66 19.8 8.4 53.0 0.4 0.6 0.2 33.8 -44.4
pair RSIhist MRmean pos-pos 165 49.4 8.3 55.8 0.5 0.8 0.2 22.0 -38.9
pair RSIhist RSmean pos-pos 172 51.5 8.3 55.8 0.5 0.8 0.2 21.9 -39.9
pair RSmean RSIhist pos-pos 172 51.5 8.3 55.8 0.5 0.8 0.2 21.9 -39.9
pair MRmean RSIhist pos-pos 165 49.4 8.3 55.8 0.5 0.8 0.2 22.0 -38.9
single RSIhist RSIhist pos-pos 176 52.7 8.1 55.7 0.5 0.7 0.2 21.7 -38.9
pair MACD RSIhist pos-pos 114 34.1 8.0 55.3 0.5 0.7 0.2 22.8 -38.9
pair RSIhist MACD pos-pos 114 34.1 8.0 55.3 0.5 0.7 0.2 22.8 -38.9
pair SLmean RSIhist pos-pos 167 50.0 7.9 56.3 0.5 0.7 0.2 22.1 -38.9
pair RSIhist SLmean pos-pos 167 50.0 7.9 56.3 0.5 0.7 0.2 22.1 -38.9
pair SLmean MACD neg-pos 59 17.7 7.8 54.2 0.4 0.6 0.2 27.2 -49.6
pair MACD SLmean neg-pos 59 17.7 7.8 54.2 0.4 0.6 0.2 27.2 -49.6
pair LWTI RSIhist pos-pos 145 43.4 7.7 55.9 0.5 0.7 0.2 21.9 -38.9
pair RSIhist LWTI pos-pos 145 43.4 7.7 55.9 0.5 0.7 0.2 21.9 -38.9
pair RSmean MACD pos-neg 114 34.1 7.5 55.3 0.4 0.6 0.1 28.2 -50.5
pair MACD RSmean pos-neg 114 34.1 7.5 55.3 0.4 0.6 0.1 28.2 -50.5
pair MACDhist RSI pos-neg 85 25.4 7.3 49.4 0.5 0.7 0.3 20.1 -21.7
pair RSI MACDhist pos-neg 85 25.4 7.3 49.4 0.5 0.7 0.3 20.1 -21.7
pair RSI RSIhist pos-pos 148 44.3 7.2 55.4 0.4 0.7 0.2 21.6 -38.9
pair RSIhist RSI pos-pos 148 44.3 7.2 55.4 0.4 0.7 0.2 21.6 -38.9
pair MACDhist LWTI neg-pos 104 31.1 7.0 51.0 0.4 0.6 0.2 22.9 -37.2
pair LWTI MACDhist neg-pos 104 31.1 7.0 51.0 0.4 0.6 0.2 22.9 -37.2
pair SLmean MACD pos-neg 63 18.9 6.4 55.6 0.4 0.7 0.3 20.0 -20.5
pair MACD SLmean pos-neg 63 18.9 6.4 55.6 0.4 0.7 0.3 20.0 -20.5
pair MRmean LWTI neg-pos 61 18.3 6.1 54.1 0.4 0.5 0.1 25.0 -46.6
pair LWTI MRmean neg-pos 61 18.3 6.1 54.1 0.4 0.5 0.1 25.0 -46.6
pair MACD MRmean neg-neg 73 21.9 6.1 53.4 0.3 0.5 0.1 32.0 -45.7
pair MRmean MACD neg-neg 73 21.9 6.1 53.4 0.3 0.5 0.1 32.0 -45.7
pair RSIhist MACDhist neg-neg 116 34.7 5.9 54.3 0.3 0.5 0.1 29.5 -48.6
pair MACDhist RSIhist neg-neg 116 34.7 5.9 54.3 0.3 0.5 0.1 29.5 -48.6
pair RSI MACD neg-neg 83 24.9 5.7 53.0 0.3 0.5 0.1 31.2 -52.4
pair MACD RSI neg-neg 83 24.9 5.7 53.0 0.3 0.5 0.1 31.2 -52.4
pair LWTI RSmean pos-neg 77 23.1 5.1 51.9 0.3 0.4 0.1 30.6 -41.6
pair RSmean LWTI pos-neg 77 23.1 5.1 51.9 0.3 0.4 0.1 30.6 -41.6
pair MRmean RSIhist neg-pos 11 3.3 5.1 54.5 0.4 0.4 0.5 17.8 -11.1
pair RSIhist MRmean neg-pos 11 3.3 5.1 54.5 0.4 0.4 0.5 17.8 -11.1
pair RSmean SLmean neg-neg 19 5.7 5.0 47.4 0.3 0.6 0.3 22.9 -18.7
pair SLmean RSmean neg-neg 19 5.7 5.0 47.4 0.3 0.6 0.3 22.9 -18.7
pair LWTI MACD neg-neg 71 21.3 4.4 52.1 0.3 0.4 0.1 31.6 -43.8
pair MACD LWTI neg-neg 71 21.3 4.4 52.1 0.3 0.4 0.1 31.6 -43.8
pair RSI LWTI neg-neg 70 21.0 3.6 51.4 0.3 0.4 0.1 32.1 -47.2
pair LWTI RSI neg-neg 70 21.0 3.6 51.4 0.3 0.4 0.1 32.1 -47.2
pair MRmean MACDhist pos-neg 67 20.1 3.6 44.8 0.3 0.5 0.1 19.1 -25.8
pair MACDhist MRmean pos-neg 67 20.1 3.6 44.8 0.3 0.5 0.1 19.1 -25.8
pair SLmean MACDhist pos-neg 74 22.2 3.3 48.6 0.3 0.4 0.1 18.4 -31.4
pair MACDhist SLmean pos-neg 74 22.2 3.3 48.6 0.3 0.4 0.1 18.4 -31.4
pair MACD MACDhist neg-neg 89 26.6 3.2 50.6 0.3 0.4 0.1 30.2 -52.4
pair MACDhist MACD neg-neg 89 26.6 3.2 50.6 0.3 0.4 0.1 30.2 -52.4
single MRmean MRmean neg-neg 116 34.7 2.4 52.6 0.2 0.3 0.1 29.6 -49.6
single RSI RSI neg-neg 106 31.7 2.3 50.9 0.2 0.3 0.0 30.5 -52.4
single MACDhist MACDhist neg-neg 171 51.2 2.3 49.7 0.2 0.3 0.0 26.6 -56.2
pair RSIhist MRmean neg-neg 105 31.4 2.1 52.4 0.2 0.3 0.0 30.6 -48.4
pair MRmean RSIhist neg-neg 105 31.4 2.1 52.4 0.2 0.3 0.0 30.6 -48.4
pair RSIhist RSmean neg-pos 4 1.2 2.0 50.0 0.5 0.6 12.2 4.6 -0.2
pair RSmean RSIhist neg-pos 4 1.2 2.0 50.0 0.5 0.6 12.2 4.6 -0.2
single LWTI LWTI neg-neg 79 23.7 1.8 50.6 0.2 0.3 0.0 30.7 -47.9
pair MACDhist SLmean neg-neg 97 29.0 1.5 50.5 0.2 0.3 0.0 31.6 -61.3
pair SLmean MACDhist neg-neg 97 29.0 1.5 50.5 0.2 0.3 0.0 31.6 -61.3
pair RSI RSmean pos-neg 100 29.9 1.5 51.0 0.2 0.3 0.0 30.6 -50.5
pair RSmean RSI pos-neg 100 29.9 1.5 51.0 0.2 0.3 0.0 30.6 -50.5
pair RSmean MACDhist pos-neg 148 44.3 1.4 48.6 0.2 0.3 0.0 27.5 -52.3
pair MACDhist RSmean pos-neg 148 44.3 1.4 48.6 0.2 0.3 0.0 27.5 -52.3
pair MACDhist MRmean neg-neg 104 31.1 1.4 52.9 0.2 0.3 0.0 30.6 -52.9
pair MRmean MACDhist neg-neg 104 31.1 1.4 52.9 0.2 0.3 0.0 30.6 -52.9
pair MACDhist MACD pos-neg 82 24.6 1.3 48.8 0.2 0.2 0.0 22.3 -38.2
pair MACD MACDhist pos-neg 82 24.6 1.3 48.8 0.2 0.2 0.0 22.3 -38.2
pair MRmean RSmean neg-pos 95 28.4 0.9 52.6 0.2 0.3 0.0 31.1 -49.0
pair RSmean MRmean neg-pos 95 28.4 0.9 52.6 0.2 0.3 0.0 31.1 -49.0
pair LWTI RSI neg-pos 36 10.8 -0.2 50.0 0.1 0.2 -0.0 27.5 -34.1
pair RSI LWTI neg-pos 36 10.8 -0.2 50.0 0.1 0.2 -0.0 27.5 -34.1
pair MRmean SLmean neg-neg 101 30.2 -0.5 49.5 0.1 0.2 -0.0 30.9 -56.9
pair SLmean MRmean neg-neg 101 30.2 -0.5 49.5 0.1 0.2 -0.0 30.9 -56.9
pair RSI MRmean neg-neg 86 25.7 -0.5 50.0 0.1 0.2 -0.0 32.0 -49.4
pair MRmean RSI neg-neg 86 25.7 -0.5 50.0 0.1 0.2 -0.0 32.0 -49.4
pair SLmean RSI neg-neg 76 22.8 -1.2 48.7 0.1 0.2 -0.0 33.3 -47.3
pair RSI SLmean neg-neg 76 22.8 -1.2 48.7 0.1 0.2 -0.0 33.3 -47.3
pair RSI RSIhist neg-neg 78 23.4 -1.4 48.7 0.1 0.2 -0.0 33.0 -47.8
pair RSIhist RSI neg-neg 78 23.4 -1.4 48.7 0.1 0.2 -0.0 33.0 -47.8
pair MRmean LWTI neg-neg 55 16.5 -1.5 50.9 0.1 0.2 -0.0 34.2 -45.8
pair LWTI MRmean neg-neg 55 16.5 -1.5 50.9 0.1 0.2 -0.0 34.2 -45.8
pair MACDhist RSI neg-neg 86 25.7 -2.4 50.0 0.1 0.1 -0.1 31.9 -52.4
pair RSI MACDhist neg-neg 86 25.7 -2.4 50.0 0.1 0.1 -0.1 31.9 -52.4
pair LWTI RSIhist neg-neg 48 14.4 -3.3 47.9 0.1 0.1 -0.1 35.8 -44.5
pair RSIhist LWTI neg-neg 48 14.4 -3.3 47.9 0.1 0.1 -0.1 35.8 -44.5
pair MACD MRmean neg-pos 43 12.9 -3.5 51.2 -0.0 -0.0 -0.1 25.2 -41.8
pair MRmean MACD neg-pos 43 12.9 -3.5 51.2 -0.0 -0.0 -0.1 25.2 -41.8
pair MACDhist LWTI neg-neg 67 20.1 -4.6 47.8 0.0 0.0 -0.1 31.7 -54.5
pair LWTI MACDhist neg-neg 67 20.1 -4.6 47.8 0.0 0.0 -0.1 31.7 -54.5
pair MACDhist RSIhist neg-pos 55 16.5 -4.9 40.0 -0.2 -0.2 -0.1 19.1 -33.9
pair RSIhist MACDhist neg-pos 55 16.5 -4.9 40.0 -0.2 -0.2 -0.1 19.1 -33.9
pair SLmean LWTI neg-neg 46 13.8 -6.7 45.7 -0.0 -0.0 -0.1 36.1 -47.7
pair LWTI SLmean neg-neg 46 13.8 -6.7 45.7 -0.0 -0.0 -0.1 36.1 -47.7
pair MACD RSI pos-neg 23 6.9 -9.2 43.5 -0.2 -0.3 -0.4 27.8 -25.2
pair RSI MACD pos-neg 23 6.9 -9.2 43.5 -0.2 -0.3 -0.4 27.8 -25.2
pair LWTI RSI pos-neg 9 2.7 -10.7 44.4 -0.6 -0.7 -0.7 17.4 -16.6
pair RSI LWTI pos-neg 9 2.7 -10.7 44.4 -0.6 -0.7 -0.7 17.4 -16.6
pair MACD LWTI pos-neg 8 2.4 -18.3 37.5 -0.8 -1.3 -0.9 22.1 -20.2
pair LWTI MACD pos-neg 8 2.4 -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 8.6% | Win 56%
Sharpe 0.49 | Sortino 0.80 | Calmar 0.2
Vol 21% | MDD -36.3%
Months 195M (58%)
CAGR 63.4% | Win 74%
Sharpe 1.97 | Sortino 3.06 | Calmar 4.2
Vol 27% | MDD -15.0%
Months 23M (7%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
MRmean
neg
CAGR 23.8% | Win 73%
Sharpe 1.23 | Sortino 1.45 | Calmar 1.7
Vol 19% | MDD -14.0%
Months 15M (4%)
CAGR -0.5% | Win 50%
Sharpe 0.14 | Sortino 0.20 | Calmar -0.0
Vol 31% | MDD -56.9%
Months 101M (30%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (35%)
SLmean
only
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.0% | Win 58%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 22% | MDD -29.6%
Months 215M (64%)
CAGR 42.3% | Win 100%
Sharpe 8.80 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (1%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
MRmean
neg
CAGR 0.9% | Win 53%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 31% | MDD -49.0%
Months 95M (28%)
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 (35%)
RSmean
only
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (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 14.0% | Win 59%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.4
Vol 23% | MDD -32.6%
Months 163M (49%)
CAGR 11.6% | Win 56%
Sharpe 0.62 | Sortino 1.26 | Calmar 0.6
Vol 21% | MDD -18.1%
Months 55M (16%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
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 (35%)
MACD
only
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (38%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 13.2% | Win 59%
Sharpe 0.67 | Sortino 1.10 | Calmar 0.4
Vol 22% | MDD -30.1%
Months 198M (59%)
CAGR 15.0% | Win 55%
Sharpe 0.71 | Sortino 1.34 | Calmar 1.2
Vol 23% | MDD -12.4%
Months 20M (6%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
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 (35%)
RSI
only
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (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 18.0% | Win 64%
Sharpe 0.82 | Sortino 1.35 | Calmar 0.7
Vol 24% | MDD -26.7%
Months 151M (45%)
CAGR 3.6% | Win 45%
Sharpe 0.28 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -25.8%
Months 67M (20%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
MRmean
neg
CAGR 11.2% | Win 50%
Sharpe 0.63 | 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 (31%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (35%)
MACDhist
only
CAGR 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 56%
Sharpe 0.47 | Sortino 0.76 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 165M (49%)
CAGR 30.7% | Win 66%
Sharpe 1.27 | Sortino 2.37 | Calmar 2.1
Vol 23% | MDD -14.8%
Months 53M (16%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
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 -48.4%
Months 105M (31%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (35%)
RSIhist
only
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 59%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.5
Vol 22% | MDD -28.4%
Months 194M (58%)
CAGR 10.0% | Win 50%
Sharpe 0.55 | Sortino 1.04 | Calmar 0.8
Vol 21% | MDD -12.4%
Months 24M (7%)
CAGR 13.4% | Win 58%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.5
Vol 22% | MDD -29.6%
Months 218M (65%)
MRmean
neg
CAGR 6.1% | Win 54%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 25% | MDD -46.6%
Months 61M (18%)
CAGR -1.5% | Win 51%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 34% | MDD -45.8%
Months 55M (16%)
CAGR 2.4% | Win 53%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 30% | MDD -49.6%
Months 116M (35%)
LWTI
only
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 8.8% | Win 57%
Sharpe 0.50 | Sortino 0.81 | Calmar 0.2
Vol 21% | MDD -41.7%
Months 205M (61%)
CAGR 51.3% | Win 100%
Sharpe 7.68 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 5M (2%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 9.9% | Win 55%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.2
Vol 32% | MDD -45.8%
Months 105M (31%)
CAGR 5.0% | Win 47%
Sharpe 0.32 | Sortino 0.57 | Calmar 0.3
Vol 23% | MDD -18.7%
Months 19M (6%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
RSmean
only
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (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 11.0% | Win 58%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 147M (44%)
CAGR 6.4% | Win 56%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 20% | MDD -20.5%
Months 63M (19%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 7.8% | Win 54%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.2
Vol 27% | MDD -49.6%
Months 59M (18%)
CAGR 10.4% | Win 54%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 34% | MDD -47.3%
Months 65M (20%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
MACD
only
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (38%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.3% | Win 58%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 180M (54%)
CAGR 11.7% | Win 57%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.6
Vol 22% | MDD -20.2%
Months 30M (9%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 27.8% | Win 62%
Sharpe 1.09 | Sortino 1.73 | Calmar 0.7
Vol 26% | MDD -40.0%
Months 48M (14%)
CAGR -1.2% | Win 49%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 33% | MDD -47.3%
Months 76M (23%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
RSI
only
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (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 13.2% | Win 62%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 23% | MDD -33.1%
Months 136M (41%)
CAGR 3.3% | Win 49%
Sharpe 0.27 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -31.4%
Months 74M (22%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 41.7% | Win 67%
Sharpe 1.47 | Sortino 2.64 | Calmar 2.9
Vol 26% | MDD -14.4%
Months 27M (8%)
CAGR 1.5% | Win 50%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 32% | MDD -61.3%
Months 97M (29%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
MACDhist
only
CAGR 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 56%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 167M (50%)
CAGR 16.5% | Win 63%
Sharpe 0.96 | Sortino 1.72 | Calmar 1.2
Vol 18% | MDD -14.0%
Months 43M (13%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 11.9% | Win 44%
Sharpe 1.04 | Sortino 5.29 | Calmar 4.6
Vol 11% | MDD -2.6%
Months 9M (3%)
CAGR 8.9% | Win 55%
Sharpe 0.43 | Sortino 0.64 | Calmar 0.2
Vol 32% | MDD -56.7%
Months 115M (34%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
RSIhist
only
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 58%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 21% | MDD -36.3%
Months 177M (53%)
CAGR 15.1% | Win 58%
Sharpe 0.76 | Sortino 1.27 | Calmar 0.9
Vol 21% | MDD -17.4%
Months 33M (10%)
CAGR 9.6% | Win 58%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.3
Vol 21% | MDD -36.3%
Months 210M (63%)
SLmean
neg
CAGR 19.7% | Win 59%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.5
Vol 27% | MDD -37.5%
Months 78M (23%)
CAGR -6.7% | Win 46%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 36% | MDD -47.7%
Months 46M (14%)
CAGR 9.1% | Win 54%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 31% | MDD -51.1%
Months 124M (37%)
LWTI
only
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.2
Vol 24% | MDD -49.9%
Months 196M (59%)
CAGR 7.5% | Win 55%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.1
Vol 28% | MDD -50.5%
Months 114M (34%)
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (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 1.63 | 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 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (38%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.0% | Win 59%
Sharpe 0.66 | Sortino 1.07 | Calmar 0.4
Vol 23% | MDD -34.4%
Months 210M (63%)
CAGR 1.5% | Win 51%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 31% | MDD -50.5%
Months 100M (30%)
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (93%)
RSmean
neg
CAGR 12.2% | Win 61%
Sharpe 0.75 | Sortino 1.02 | Calmar 1.0
Vol 17% | MDD -11.6%
Months 18M (5%)
CAGR 16.6% | Win 50%
Sharpe 0.62 | 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 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (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 16.8% | Win 63%
Sharpe 0.79 | Sortino 1.31 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 162M (48%)
CAGR 1.4% | Win 49%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -52.3%
Months 148M (44%)
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (93%)
RSmean
neg
CAGR 213.7% | 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 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 56%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 22% | MDD -39.9%
Months 172M (52%)
CAGR 10.2% | Win 56%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.2
Vol 29% | MDD -49.3%
Months 138M (41%)
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (93%)
RSmean
neg
CAGR 2.0% | Win 50%
Sharpe 0.45 | Sortino 0.64 | Calmar 12.2
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 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.5% | Win 57%
Sharpe 0.54 | Sortino 0.86 | Calmar 0.2
Vol 24% | MDD -51.7%
Months 233M (70%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 31% | MDD -41.6%
Months 77M (23%)
CAGR 9.2% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 25% | MDD -60.7%
Months 310M (93%)
RSmean
neg
CAGR 27.8% | Win 64%
Sharpe 1.45 | Sortino 3.41 | Calmar 4.2
Vol 18% | MDD -6.6%
Months 22M (7%)
CAGR -69.9% | Win 0%
Sharpe -19.75 | Sortino -19.75 | 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 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 12.8% | Win 59%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 23% | MDD -37.4%
Months 183M (55%)
CAGR -9.2% | Win 44%
Sharpe -0.21 | Sortino -0.33 | Calmar -0.4
Vol 28% | MDD -25.2%
Months 23M (7%)
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
MACD
neg
CAGR 13.5% | Win 58%
Sharpe 0.74 | Sortino 1.59 | Calmar 1.2
Vol 20% | MDD -11.5%
Months 45M (14%)
CAGR 5.7% | Win 53%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 31% | MDD -52.4%
Months 83M (25%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (38%)
RSI
only
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (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 16.3% | Win 63%
Sharpe 0.75 | Sortino 1.23 | Calmar 0.6
Vol 24% | MDD -29.3%
Months 124M (37%)
CAGR 1.3% | Win 49%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 22% | MDD -38.2%
Months 82M (25%)
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
MACD
neg
CAGR 21.3% | 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 (38%)
MACDhist
only
CAGR 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.0% | Win 55%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 23% | MDD -38.9%
Months 114M (34%)
CAGR 12.8% | Win 60%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.3
Vol 24% | MDD -44.8%
Months 92M (28%)
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
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 (38%)
RSIhist
only
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 11.4% | Win 58%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -48.4%
Months 198M (59%)
CAGR -18.3% | Win 38%
Sharpe -0.81 | Sortino -1.34 | Calmar -0.9
Vol 22% | MDD -20.2%
Months 8M (2%)
CAGR 10.1% | Win 57%
Sharpe 0.53 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.3%
Months 206M (62%)
MACD
neg
CAGR 13.6% | Win 58%
Sharpe 0.69 | Sortino 1.26 | Calmar 0.8
Vol 22% | MDD -16.7%
Months 57M (17%)
CAGR 4.4% | Win 52%
Sharpe 0.29 | Sortino 0.41 | Calmar 0.1
Vol 32% | MDD -43.8%
Months 71M (21%)
CAGR 8.4% | Win 55%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.2
Vol 28% | MDD -52.4%
Months 128M (38%)
LWTI
only
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 16.5% | Win 64%
Sharpe 0.77 | Sortino 1.24 | Calmar 0.6
Vol 23% | MDD -26.7%
Months 143M (43%)
CAGR 7.3% | Win 49%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -21.7%
Months 85M (25%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (68%)
RSI
neg
CAGR 25.2% | Win 55%
Sharpe 1.08 | Sortino 3.45 | Calmar 3.9
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 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 55%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 148M (44%)
CAGR 24.4% | Win 65%
Sharpe 1.07 | Sortino 1.77 | Calmar 0.8
Vol 23% | MDD -31.9%
Months 80M (24%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (68%)
RSI
neg
CAGR 13.1% | Win 57%
Sharpe 0.66 | Sortino 1.09 | Calmar 0.6
Vol 22% | MDD -22.1%
Months 28M (8%)
CAGR -1.4% | Win 49%
Sharpe 0.12 | Sortino 0.18 | Calmar -0.0
Vol 33% | MDD -47.8%
Months 78M (23%)
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 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 14.0% | Win 59%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 219M (66%)
CAGR -10.7% | Win 44%
Sharpe -0.57 | Sortino -0.70 | Calmar -0.6
Vol 17% | MDD -16.6%
Months 9M (3%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.06 | Calmar 0.4
Vol 22% | MDD -36.0%
Months 228M (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 (21%)
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 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 14.6% | Win 63%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.4
Vol 23% | MDD -39.1%
Months 121M (36%)
CAGR 26.2% | Win 64%
Sharpe 1.05 | Sortino 2.05 | Calmar 1.2
Vol 25% | MDD -21.3%
Months 42M (13%)
CAGR 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
MACDhist
neg
CAGR -4.9% | Win 40%
Sharpe -0.17 | Sortino -0.25 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 55M (16%)
CAGR 5.9% | Win 54%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 30% | MDD -48.6%
Months 116M (35%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
RSIhist
only
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 15.5% | Win 63%
Sharpe 0.73 | Sortino 1.22 | Calmar 0.5
Vol 23% | MDD -30.7%
Months 151M (45%)
CAGR 46.3% | Win 67%
Sharpe 1.77 | Sortino 9.64 | Calmar 13.1
Vol 23% | MDD -3.5%
Months 12M (4%)
CAGR 17.5% | Win 63%
Sharpe 0.81 | Sortino 1.36 | Calmar 0.7
Vol 23% | MDD -26.7%
Months 163M (49%)
MACDhist
neg
CAGR 7.0% | Win 51%
Sharpe 0.41 | Sortino 0.61 | Calmar 0.2
Vol 23% | MDD -37.2%
Months 104M (31%)
CAGR -4.6% | Win 48%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 32% | MDD -54.5%
Months 67M (20%)
CAGR 2.3% | Win 50%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -56.2%
Months 171M (51%)
LWTI
only
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (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 7.7% | Win 56%
Sharpe 0.45 | Sortino 0.70 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 145M (43%)
CAGR 10.3% | Win 55%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.5
Vol 21% | MDD -22.1%
Months 31M (9%)
CAGR 8.1% | Win 56%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 22% | MDD -38.9%
Months 176M (53%)
RSIhist
neg
CAGR 17.8% | Win 61%
Sharpe 0.79 | Sortino 1.24 | Calmar 0.5
Vol 25% | MDD -39.3%
Months 110M (33%)
CAGR -3.3% | Win 48%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.1
Vol 36% | MDD -44.5%
Months 48M (14%)
CAGR 10.9% | Win 57%
Sharpe 0.51 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.3%
Months 158M (47%)
LWTI
only
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 255M (76%)
CAGR 1.8% | Win 51%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 31% | MDD -47.9%
Months 79M (24%)