XLF - State Street Financial Sel Sec SPDR ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

34.3%

Best CAGR

94

Total Months

5.2%

Avg CAGR

XLF 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 XLF

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean RSIhist neg-pos 5 1.5 34.3 80.0 3.9 0.0 50.2 7.7 -0.7
pair RSIhist RSmean neg-pos 5 1.5 34.3 80.0 3.9 0.0 50.2 7.7 -0.7
pair RSIhist MRmean neg-pos 8 2.4 33.9 62.5 1.4 3.7 3.6 22.6 -9.5
pair MRmean RSIhist neg-pos 8 2.4 33.9 62.5 1.4 3.7 3.6 22.6 -9.5
pair RSmean SLmean pos-neg 7 2.1 29.8 85.7 4.0 0.0 43.6 6.6 -0.7
pair SLmean RSmean pos-neg 7 2.1 29.8 85.7 4.0 0.0 43.6 6.6 -0.7
pair RSmean MACDhist neg-pos 4 1.2 24.0 75.0 3.4 0.0 35.1 6.5 -0.7
pair MACDhist RSmean neg-pos 4 1.2 24.0 75.0 3.4 0.0 35.1 6.5 -0.7
pair RSmean RSI neg-neg 7 2.1 22.2 57.1 1.0 2.9 4.2 23.2 -5.2
pair RSI RSmean neg-neg 7 2.1 22.2 57.1 1.0 2.9 4.2 23.2 -5.2
pair SLmean RSI pos-neg 24 7.3 21.5 58.3 1.0 2.2 1.3 22.1 -16.3
pair RSI SLmean pos-neg 24 7.3 21.5 58.3 1.0 2.2 1.3 22.1 -16.3
pair RSI RSIhist neg-pos 22 6.7 18.1 54.5 0.8 1.9 0.9 23.1 -21.1
pair RSIhist RSI neg-pos 22 6.7 18.1 54.5 0.8 1.9 0.9 23.1 -21.1
pair SLmean LWTI pos-neg 26 7.9 16.9 53.8 0.9 2.2 1.3 20.5 -12.8
pair LWTI SLmean pos-neg 26 7.9 16.9 53.8 0.9 2.2 1.3 20.5 -12.8
pair MACD SLmean pos-neg 49 14.9 14.8 59.2 0.8 1.6 0.9 18.4 -16.3
pair SLmean MACD pos-neg 49 14.9 14.8 59.2 0.8 1.6 0.9 18.4 -16.3
pair RSmean MRmean neg-neg 19 5.8 14.2 57.9 0.8 2.3 0.8 19.9 -16.6
pair MRmean RSmean neg-neg 19 5.8 14.2 57.9 0.8 2.3 0.8 19.9 -16.6
pair MACDhist MACD pos-pos 130 39.6 12.8 60.8 1.0 1.5 0.6 13.2 -21.6
pair MACD MACDhist pos-pos 130 39.6 12.8 60.8 1.0 1.5 0.6 13.2 -21.6
pair MRmean SLmean neg-pos 19 5.8 12.7 57.9 0.7 1.2 1.1 19.9 -11.5
pair SLmean MRmean neg-pos 19 5.8 12.7 57.9 0.7 1.2 1.1 19.9 -11.5
pair LWTI RSIhist pos-neg 23 7.0 12.1 47.8 0.6 1.6 0.7 21.3 -17.2
pair RSIhist LWTI pos-neg 23 7.0 12.1 47.8 0.6 1.6 0.7 21.3 -17.2
pair MACD RSIhist neg-pos 47 14.3 12.0 55.3 0.7 1.3 0.6 18.9 -21.1
pair RSIhist MACD neg-pos 47 14.3 12.0 55.3 0.7 1.3 0.6 18.9 -21.1
pair RSI MACDhist pos-pos 146 44.5 11.8 60.3 0.9 1.4 0.6 13.2 -21.6
pair MACDhist RSI pos-pos 146 44.5 11.8 60.3 0.9 1.4 0.6 13.2 -21.6
pair MACDhist SLmean pos-pos 145 44.2 11.5 60.0 0.8 1.3 0.6 14.0 -19.0
pair SLmean MACDhist pos-pos 145 44.2 11.5 60.0 0.8 1.3 0.6 14.0 -19.0
pair MACDhist RSIhist pos-pos 129 39.3 10.8 58.9 0.8 1.3 0.5 14.3 -21.1
pair RSIhist MACDhist pos-pos 129 39.3 10.8 58.9 0.8 1.3 0.5 14.3 -21.1
pair SLmean RSIhist pos-pos 170 51.8 10.4 56.5 0.7 1.3 0.4 15.8 -24.0
pair RSIhist SLmean pos-pos 170 51.8 10.4 56.5 0.7 1.3 0.4 15.8 -24.0
pair MACDhist MRmean pos-pos 159 48.5 10.2 59.1 0.8 1.2 0.4 14.0 -24.8
pair MRmean MACDhist pos-pos 159 48.5 10.2 59.1 0.8 1.2 0.4 14.0 -24.8
pair LWTI MACDhist pos-pos 158 48.2 10.1 59.5 0.7 1.1 0.3 14.4 -29.2
pair MACDhist LWTI pos-pos 158 48.2 10.1 59.5 0.7 1.1 0.3 14.4 -29.2
single SLmean SLmean pos-pos 212 64.6 9.9 58.0 0.7 1.2 0.3 15.2 -29.4
pair MACD RSI pos-neg 20 6.1 9.7 60.0 0.5 0.6 0.3 29.7 -31.0
pair RSI MACD pos-neg 20 6.1 9.7 60.0 0.5 0.6 0.3 29.7 -31.0
single RSIhist RSIhist pos-pos 173 52.7 9.6 55.5 0.7 1.2 0.4 15.8 -24.3
pair SLmean MRmean pos-pos 193 58.8 9.6 58.0 0.7 1.2 0.3 14.8 -30.7
pair MRmean SLmean pos-pos 193 58.8 9.6 58.0 0.7 1.2 0.3 14.8 -30.7
single MACDhist MACDhist pos-pos 166 50.6 9.4 59.0 0.7 1.0 0.3 14.6 -32.6
pair RSmean SLmean pos-pos 205 62.5 9.2 57.1 0.7 1.1 0.3 15.4 -29.4
pair LWTI RSIhist pos-pos 150 45.7 9.2 56.7 0.7 1.1 0.4 14.9 -21.1
pair RSIhist LWTI pos-pos 150 45.7 9.2 56.7 0.7 1.1 0.4 14.9 -21.1
pair RSmean MACD neg-neg 18 5.5 9.2 55.6 0.5 1.6 0.6 19.9 -16.6
pair MACD RSmean neg-neg 18 5.5 9.2 55.6 0.5 1.6 0.6 19.9 -16.6
pair SLmean RSmean pos-pos 205 62.5 9.2 57.1 0.7 1.1 0.3 15.4 -29.4
pair MACDhist RSmean pos-pos 162 49.4 9.1 58.6 0.7 1.0 0.3 14.7 -32.6
pair RSI LWTI neg-pos 42 12.8 9.1 54.8 0.5 0.7 0.4 28.0 -23.4
pair RSmean MACDhist pos-pos 162 49.4 9.1 58.6 0.7 1.0 0.3 14.7 -32.6
pair LWTI RSI neg-pos 42 12.8 9.1 54.8 0.5 0.7 0.4 28.0 -23.4
pair SLmean LWTI pos-pos 186 56.7 8.9 58.6 0.7 1.0 0.3 14.4 -29.4
pair RSmean RSIhist pos-pos 168 51.2 8.9 54.8 0.6 1.1 0.4 16.0 -24.3
pair LWTI SLmean pos-pos 186 56.7 8.9 58.6 0.7 1.0 0.3 14.4 -29.4
pair RSIhist RSmean pos-pos 168 51.2 8.9 54.8 0.6 1.1 0.4 16.0 -24.3
pair MACD RSIhist pos-pos 126 38.4 8.7 55.6 0.6 1.1 0.4 14.6 -21.9
pair RSIhist MACD pos-pos 126 38.4 8.7 55.6 0.6 1.1 0.4 14.6 -21.9
pair MRmean RSIhist pos-pos 165 50.3 8.5 55.2 0.6 1.1 0.4 15.5 -22.3
pair SLmean RSI pos-pos 188 57.3 8.5 58.0 0.7 1.0 0.3 14.2 -29.4
pair RSI SLmean pos-pos 188 57.3 8.5 58.0 0.7 1.0 0.3 14.2 -29.4
pair RSIhist MRmean pos-pos 165 50.3 8.5 55.2 0.6 1.1 0.4 15.5 -22.3
pair RSIhist RSI pos-pos 151 46.0 8.4 55.6 0.6 1.1 0.4 14.5 -21.9
pair MACD SLmean pos-pos 163 49.7 8.4 57.7 0.6 1.0 0.3 14.2 -30.7
pair RSI RSIhist pos-pos 151 46.0 8.4 55.6 0.6 1.1 0.4 14.5 -21.9
pair SLmean MACD pos-pos 163 49.7 8.4 57.7 0.6 1.0 0.3 14.2 -30.7
pair MRmean RSmean pos-pos 213 64.9 8.2 55.9 0.6 1.0 0.3 14.8 -26.0
pair RSmean MRmean pos-pos 213 64.9 8.2 55.9 0.6 1.0 0.3 14.8 -26.0
pair RSI MRmean pos-pos 203 61.9 8.0 57.1 0.6 1.0 0.3 14.2 -25.3
pair MRmean RSI pos-pos 203 61.9 8.0 57.1 0.6 1.0 0.3 14.2 -25.3
pair MACD LWTI neg-pos 59 18.0 7.8 54.2 0.5 0.9 0.3 21.7 -29.2
pair LWTI MACD neg-pos 59 18.0 7.8 54.2 0.5 0.9 0.3 21.7 -29.2
pair RSI MACD neg-pos 37 11.3 7.8 56.8 0.6 1.0 0.4 16.0 -19.3
pair MACD RSI neg-pos 37 11.3 7.8 56.8 0.6 1.0 0.4 16.0 -19.3
pair MRmean MACD pos-pos 177 54.0 7.7 57.1 0.6 0.9 0.3 14.1 -25.3
pair SLmean RSIhist pos-neg 42 12.8 7.7 64.3 0.7 0.7 0.4 12.7 -21.5
pair MACD MRmean pos-pos 177 54.0 7.7 57.1 0.6 0.9 0.3 14.1 -25.3
pair RSIhist SLmean pos-neg 42 12.8 7.7 64.3 0.7 0.7 0.4 12.7 -21.5
pair MRmean LWTI pos-pos 201 61.3 7.6 57.2 0.6 0.9 0.3 14.5 -24.6
single MRmean MRmean pos-pos 221 67.4 7.6 56.1 0.6 0.9 0.3 14.9 -26.0
pair LWTI MRmean pos-pos 201 61.3 7.6 57.2 0.6 0.9 0.3 14.5 -24.6
pair LWTI RSmean neg-pos 27 8.2 7.5 59.3 0.5 1.1 0.5 19.1 -16.6
pair RSmean LWTI neg-pos 27 8.2 7.5 59.3 0.5 1.1 0.5 19.1 -16.6
single RSmean RSmean neg-neg 27 8.2 7.5 59.3 0.5 1.1 0.5 19.1 -16.6
single LWTI LWTI pos-pos 268 81.7 7.3 57.5 0.5 0.7 0.2 17.4 -35.6
pair RSmean RSI pos-pos 224 68.3 7.3 56.7 0.6 0.9 0.2 14.6 -31.4
pair RSI RSmean pos-pos 224 68.3 7.3 56.7 0.6 0.9 0.2 14.6 -31.4
pair LWTI RSmean pos-pos 241 73.5 7.2 57.3 0.5 0.7 0.2 17.2 -38.5
pair RSmean LWTI pos-pos 241 73.5 7.2 57.3 0.5 0.7 0.2 17.2 -38.5
pair MACD RSmean pos-pos 218 66.5 7.2 56.9 0.5 0.7 0.2 16.4 -32.9
pair RSmean MACD pos-pos 218 66.5 7.2 56.9 0.5 0.7 0.2 16.4 -32.9
pair MRmean MACD pos-neg 44 13.4 7.1 52.3 0.5 0.9 0.3 17.9 -22.3
pair MACD LWTI pos-pos 209 63.7 7.1 58.4 0.5 0.7 0.2 16.0 -32.6
single MACD MACD pos-pos 227 69.2 7.1 57.3 0.5 0.7 0.2 16.4 -31.8
pair LWTI MACD pos-pos 209 63.7 7.1 58.4 0.5 0.7 0.2 16.0 -32.6
pair MACD MRmean pos-neg 44 13.4 7.1 52.3 0.5 0.9 0.3 17.9 -22.3
single RSI RSI pos-pos 244 74.4 7.0 57.0 0.5 0.8 0.2 14.8 -31.4
pair RSI LWTI pos-neg 18 5.5 7.0 44.4 0.5 0.9 0.6 17.6 -11.3
pair LWTI RSI pos-neg 18 5.5 7.0 44.4 0.5 0.9 0.6 17.6 -11.3
pair MRmean LWTI pos-neg 20 6.1 7.0 45.0 0.5 0.9 0.4 18.7 -16.0
pair LWTI MRmean pos-neg 20 6.1 7.0 45.0 0.5 0.9 0.4 18.7 -16.0
pair LWTI RSI pos-pos 226 68.9 6.9 58.0 0.5 0.8 0.2 14.6 -35.1
pair RSI LWTI pos-pos 226 68.9 6.9 58.0 0.5 0.8 0.2 14.6 -35.1
pair RSI MACD pos-pos 207 63.1 6.8 57.0 0.5 0.8 0.2 14.6 -31.4
pair MACD RSI pos-pos 207 63.1 6.8 57.0 0.5 0.8 0.2 14.6 -31.4
pair SLmean MACDhist pos-neg 67 20.4 6.4 53.7 0.4 0.8 0.3 17.7 -21.6
pair MACDhist SLmean pos-neg 67 20.4 6.4 53.7 0.4 0.8 0.3 17.7 -21.6
pair LWTI MRmean neg-pos 67 20.4 6.2 58.2 0.4 0.6 0.3 24.0 -24.2
pair MRmean LWTI neg-pos 67 20.4 6.2 58.2 0.4 0.6 0.3 24.0 -24.2
pair LWTI MACD pos-neg 18 5.5 6.1 44.4 0.4 0.7 0.3 21.5 -17.9
pair MACD LWTI pos-neg 18 5.5 6.1 44.4 0.4 0.7 0.3 21.5 -17.9
pair MACD MACDhist neg-neg 65 19.8 5.9 53.8 0.3 0.5 0.1 33.2 -70.5
pair MACDhist MACD neg-neg 65 19.8 5.9 53.8 0.3 0.5 0.1 33.2 -70.5
pair MACDhist RSIhist neg-pos 44 13.4 5.8 45.5 0.4 0.9 0.2 19.9 -24.3
pair RSIhist MACDhist neg-pos 44 13.4 5.8 45.5 0.4 0.9 0.2 19.9 -24.3
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 5.8 56.1 0.4 0.5 0.1 21.0 -78.6
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 5.8 56.1 0.4 0.5 0.1 21.0 -78.6
single RSmean RSmean pos-pos 301 91.8 5.6 55.8 0.4 0.5 0.1 21.2 -78.6
pair MACDhist RSI neg-neg 64 19.5 5.4 54.7 0.3 0.5 0.1 35.8 -74.4
pair RSI MACDhist neg-neg 64 19.5 5.4 54.7 0.3 0.5 0.1 35.8 -74.4
pair MACD RSIhist pos-neg 101 30.8 5.1 59.4 0.4 0.5 0.2 18.5 -28.0
pair RSIhist MACD pos-neg 101 30.8 5.1 59.4 0.4 0.5 0.2 18.5 -28.0
pair MRmean RSIhist pos-neg 56 17.1 5.0 58.9 0.4 0.6 0.3 13.2 -15.3
pair RSIhist MRmean pos-neg 56 17.1 5.0 58.9 0.4 0.6 0.3 13.2 -15.3
pair LWTI RSIhist neg-pos 118 36.0 4.9 58.5 0.3 0.5 0.2 20.1 -29.9
pair RSIhist LWTI neg-pos 118 36.0 4.9 58.5 0.3 0.5 0.2 20.1 -29.9
pair RSmean MACDhist neg-neg 23 7.0 4.9 56.5 0.3 1.0 0.2 20.6 -19.3
pair MACDhist RSmean neg-neg 23 7.0 4.9 56.5 0.3 1.0 0.2 20.6 -19.3
pair RSI RSIhist pos-neg 93 28.4 4.7 59.1 0.4 0.5 0.2 15.3 -20.3
pair MRmean MACD neg-pos 50 15.2 4.7 58.0 0.3 0.4 0.2 23.0 -29.8
pair MACD MRmean neg-pos 50 15.2 4.7 58.0 0.3 0.4 0.2 23.0 -29.8
pair RSIhist RSI pos-neg 93 28.4 4.7 59.1 0.4 0.5 0.2 15.3 -20.3
pair RSIhist MACDhist pos-neg 37 11.3 4.6 59.5 0.4 0.4 0.2 15.8 -22.8
pair MACDhist RSIhist pos-neg 37 11.3 4.6 59.5 0.4 0.4 0.2 15.8 -22.8
pair RSmean MACD neg-pos 9 2.7 4.3 66.7 0.3 0.6 0.3 18.6 -13.2
pair MACD RSmean neg-pos 9 2.7 4.3 66.7 0.3 0.6 0.3 18.6 -13.2
pair LWTI SLmean neg-pos 82 25.0 3.6 54.9 0.3 0.4 0.1 22.8 -42.3
pair MACD SLmean neg-pos 64 19.5 3.6 56.2 0.3 0.4 0.1 21.3 -30.1
pair SLmean MACD neg-pos 64 19.5 3.6 56.2 0.3 0.4 0.1 21.3 -30.1
pair SLmean LWTI neg-pos 82 25.0 3.6 54.9 0.3 0.4 0.1 22.8 -42.3
pair MACDhist LWTI neg-pos 110 33.5 3.3 54.5 0.3 0.4 0.1 21.0 -23.5
pair LWTI MACDhist neg-pos 110 33.5 3.3 54.5 0.3 0.4 0.1 21.0 -23.5
single MACD MACD neg-neg 101 30.8 3.0 53.5 0.2 0.3 0.0 28.8 -70.5
pair MRmean RSI pos-neg 18 5.5 2.9 44.4 0.2 0.5 0.1 21.7 -21.1
pair RSI MRmean pos-neg 18 5.5 2.9 44.4 0.2 0.5 0.1 21.7 -21.1
pair RSI RSmean neg-pos 20 6.1 2.8 60.0 0.2 0.6 0.1 18.0 -21.4
pair RSmean RSI neg-pos 20 6.1 2.8 60.0 0.2 0.6 0.1 18.0 -21.4
pair MRmean MACDhist neg-neg 100 30.5 2.8 56.0 0.2 0.3 0.0 30.3 -77.2
pair MACDhist MRmean neg-neg 100 30.5 2.8 56.0 0.2 0.3 0.0 30.3 -77.2
single RSI RSI neg-neg 84 25.6 2.5 53.6 0.2 0.3 0.0 33.0 -74.4
pair RSI MRmean neg-neg 66 20.1 2.3 56.1 0.2 0.3 0.0 35.6 -75.7
pair MRmean RSI neg-neg 66 20.1 2.3 56.1 0.2 0.3 0.0 35.6 -75.7
single MACDhist MACDhist neg-neg 162 49.4 2.2 53.1 0.2 0.3 0.0 26.0 -76.7
pair RSmean RSIhist neg-neg 22 6.7 2.2 54.5 0.2 0.6 0.1 20.7 -19.3
pair RSIhist RSmean neg-neg 22 6.7 2.2 54.5 0.2 0.6 0.1 20.7 -19.3
single MRmean MRmean neg-neg 107 32.6 2.1 56.1 0.2 0.3 0.0 30.0 -77.2
pair RSI SLmean neg-pos 56 17.1 2.0 53.6 0.2 0.3 0.1 16.9 -22.8
pair SLmean RSI neg-pos 56 17.1 2.0 53.6 0.2 0.3 0.1 16.9 -22.8
pair MRmean RSI neg-pos 41 12.5 1.9 56.1 0.2 0.3 0.1 17.6 -19.4
pair RSI MRmean neg-pos 41 12.5 1.9 56.1 0.2 0.3 0.1 17.6 -19.4
pair MACD RSmean pos-neg 83 25.3 1.7 53.0 0.2 0.3 0.0 30.5 -70.5
pair RSmean MACD pos-neg 83 25.3 1.7 53.0 0.2 0.3 0.0 30.5 -70.5
pair MACDhist RSmean pos-neg 139 42.4 1.7 52.5 0.2 0.3 0.0 26.8 -76.7
pair RSmean MACDhist pos-neg 139 42.4 1.7 52.5 0.2 0.3 0.0 26.8 -76.7
single RSIhist RSIhist neg-neg 155 47.3 1.7 56.8 0.2 0.3 0.0 25.6 -77.7
pair RSmean RSIhist pos-neg 133 40.5 1.6 57.1 0.2 0.2 0.0 26.4 -77.7
pair RSIhist RSmean pos-neg 133 40.5 1.6 57.1 0.2 0.2 0.0 26.4 -77.7
pair MACDhist MRmean pos-neg 62 18.9 1.1 48.4 0.1 0.3 0.1 17.0 -20.2
pair MRmean MACDhist pos-neg 62 18.9 1.1 48.4 0.1 0.3 0.1 17.0 -20.2
pair RSIhist MACDhist neg-neg 118 36.0 0.9 55.9 0.2 0.2 0.0 28.0 -76.7
pair MACDhist RSIhist neg-neg 118 36.0 0.9 55.9 0.2 0.2 0.0 28.0 -76.7
pair RSI RSmean pos-neg 77 23.5 0.8 53.2 0.2 0.3 0.0 33.9 -74.4
pair RSmean RSI pos-neg 77 23.5 0.8 53.2 0.2 0.3 0.0 33.9 -74.4
pair RSmean SLmean neg-neg 20 6.1 0.7 50.0 0.1 0.4 0.0 21.7 -21.6
pair SLmean RSmean neg-neg 20 6.1 0.7 50.0 0.1 0.4 0.0 21.7 -21.6
pair RSI MACD neg-neg 64 19.5 0.3 51.6 0.2 0.3 0.0 34.2 -70.5
pair MACD RSI neg-neg 64 19.5 0.3 51.6 0.2 0.3 0.0 34.2 -70.5
pair RSI MACDhist pos-neg 98 29.9 0.1 52.0 0.1 0.2 0.0 16.8 -24.5
pair MACDhist RSI pos-neg 98 29.9 0.1 52.0 0.1 0.2 0.0 16.8 -24.5
pair MRmean SLmean neg-neg 88 26.8 0.0 55.7 0.2 0.2 0.0 31.8 -76.7
pair SLmean MRmean neg-neg 88 26.8 0.0 55.7 0.2 0.2 0.0 31.8 -76.7
pair MACD MRmean neg-neg 57 17.4 -0.1 54.4 0.2 0.3 -0.0 35.1 -70.5
pair MRmean MACD neg-neg 57 17.4 -0.1 54.4 0.2 0.3 -0.0 35.1 -70.5
pair MRmean RSIhist neg-neg 99 30.2 -0.1 55.6 0.1 0.2 -0.0 30.5 -76.7
pair RSIhist MRmean neg-neg 99 30.2 -0.1 55.6 0.1 0.2 -0.0 30.5 -76.7
pair MACDhist LWTI neg-neg 52 15.9 -0.2 50.0 0.2 0.2 -0.0 34.5 -73.8
pair LWTI MACDhist neg-neg 52 15.9 -0.2 50.0 0.2 0.2 -0.0 34.5 -73.8
pair MRmean RSmean neg-pos 88 26.8 -0.3 55.7 0.1 0.2 -0.0 31.8 -77.2
pair RSmean MRmean neg-pos 88 26.8 -0.3 55.7 0.1 0.2 -0.0 31.8 -77.2
pair MACDhist MACD pos-neg 97 29.6 -0.3 52.6 0.1 0.1 -0.0 19.9 -34.0
pair MACD MACDhist pos-neg 97 29.6 -0.3 52.6 0.1 0.1 -0.0 19.9 -34.0
pair SLmean RSIhist neg-neg 113 34.5 -0.4 54.0 0.1 0.2 -0.0 29.0 -77.9
pair RSIhist SLmean neg-neg 113 34.5 -0.4 54.0 0.1 0.2 -0.0 29.0 -77.9
pair SLmean MACDhist neg-neg 95 29.0 -0.7 52.6 0.1 0.2 -0.0 30.6 -76.7
pair MACDhist SLmean neg-neg 95 29.0 -0.7 52.6 0.1 0.2 -0.0 30.6 -76.7
single LWTI LWTI neg-neg 60 18.3 -0.7 50.0 0.1 0.2 -0.0 32.8 -72.8
pair RSmean LWTI pos-neg 60 18.3 -0.7 50.0 0.1 0.2 -0.0 32.8 -72.8
pair LWTI RSmean pos-neg 60 18.3 -0.7 50.0 0.1 0.2 -0.0 32.8 -72.8
single SLmean SLmean neg-neg 116 35.4 -1.3 52.6 0.1 0.1 -0.0 28.7 -77.9
pair RSmean SLmean neg-pos 96 29.3 -1.7 53.1 0.1 0.1 -0.0 30.0 -77.9
pair SLmean RSmean neg-pos 96 29.3 -1.7 53.1 0.1 0.1 -0.0 30.0 -77.9
pair MACDhist MACD neg-pos 36 11.0 -2.2 52.8 -0.0 -0.0 -0.1 18.7 -32.6
pair MACD MACDhist neg-pos 36 11.0 -2.2 52.8 -0.0 -0.0 -0.1 18.7 -32.6
pair RSI RSIhist neg-neg 62 18.9 -2.6 53.2 0.1 0.2 -0.0 36.0 -74.3
pair RSIhist RSI neg-neg 62 18.9 -2.6 53.2 0.1 0.2 -0.0 36.0 -74.3
pair LWTI MACD neg-neg 42 12.8 -3.4 52.4 0.1 0.1 -0.1 36.9 -70.5
pair MACD LWTI neg-neg 42 12.8 -3.4 52.4 0.1 0.1 -0.1 36.9 -70.5
pair LWTI MACDhist pos-neg 8 2.4 -3.6 50.0 -0.1 -0.2 -0.3 19.6 -12.9
pair MACDhist LWTI pos-neg 8 2.4 -3.6 50.0 -0.1 -0.2 -0.3 19.6 -12.9
pair RSI LWTI neg-neg 42 12.8 -3.8 52.4 0.1 0.1 -0.1 37.7 -72.8
pair LWTI RSI neg-neg 42 12.8 -3.8 52.4 0.1 0.1 -0.1 37.7 -72.8
pair MACDhist SLmean neg-pos 21 6.4 -4.0 52.4 -0.1 -0.2 -0.1 18.3 -27.6
pair SLmean MACDhist neg-pos 21 6.4 -4.0 52.4 -0.1 -0.2 -0.1 18.3 -27.6
pair MACD RSIhist neg-neg 54 16.5 -4.3 51.9 0.1 0.1 -0.1 35.4 -70.5
pair RSIhist MACD neg-neg 54 16.5 -4.3 51.9 0.1 0.1 -0.1 35.4 -70.5
pair LWTI MRmean neg-neg 40 12.2 -4.3 52.5 0.1 0.1 -0.1 38.2 -74.5
pair MRmean LWTI neg-neg 40 12.2 -4.3 52.5 0.1 0.1 -0.1 38.2 -74.5
pair RSI SLmean neg-neg 60 18.3 -4.3 51.7 0.1 0.1 -0.1 36.6 -75.2
pair SLmean RSI neg-neg 60 18.3 -4.3 51.7 0.1 0.1 -0.1 36.6 -75.2
pair SLmean MRmean pos-neg 28 8.5 -5.4 42.9 -0.3 -0.4 -0.2 15.6 -26.6
pair MRmean SLmean pos-neg 28 8.5 -5.4 42.9 -0.3 -0.4 -0.2 15.6 -26.6
pair RSI MACDhist neg-pos 20 6.1 -6.4 50.0 -0.2 -0.3 -0.3 22.3 -23.2
pair MACDhist RSI neg-pos 20 6.1 -6.4 50.0 -0.2 -0.3 -0.3 22.3 -23.2
pair MRmean RSmean pos-neg 8 2.4 -6.8 62.5 -0.3 -0.6 -0.5 17.7 -12.9
pair RSmean MRmean pos-neg 8 2.4 -6.8 62.5 -0.3 -0.6 -0.5 17.7 -12.9
pair SLmean MACD neg-neg 52 15.9 -7.1 48.1 -0.0 -0.0 -0.1 36.0 -70.5
pair MACD SLmean neg-neg 52 15.9 -7.1 48.1 -0.0 -0.0 -0.1 36.0 -70.5
pair MACDhist MRmean neg-pos 7 2.1 -7.2 57.1 -0.2 -0.2 -0.3 25.6 -20.4
pair MRmean MACDhist neg-pos 7 2.1 -7.2 57.1 -0.2 -0.2 -0.3 25.6 -20.4
pair LWTI RSIhist neg-neg 37 11.3 -7.9 51.4 -0.0 -0.0 -0.1 38.5 -72.8
pair RSIhist LWTI neg-neg 37 11.3 -7.9 51.4 -0.0 -0.0 -0.1 38.5 -72.8
pair LWTI SLmean neg-neg 34 10.4 -12.3 47.1 -0.1 -0.2 -0.2 39.9 -72.8
pair SLmean LWTI neg-neg 34 10.4 -12.3 47.1 -0.1 -0.2 -0.2 39.9 -72.8
pair SLmean RSIhist neg-pos 3 0.9 -30.2 0.0 -3.7 -3.7 -3.6 9.4 -8.3
pair RSIhist SLmean neg-pos 3 0.9 -30.2 0.0 -3.7 -3.7 -3.6 9.4 -8.3

All Contingency Tables for XLF

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -30.7%
Months 193M (59%)
CAGR -5.4% | Win 43%
Sharpe -0.28 | Sortino -0.43 | Calmar -0.2
Vol 16% | MDD -26.6%
Months 28M (8%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR 12.7% | Win 58%
Sharpe 0.70 | Sortino 1.18 | Calmar 1.1
Vol 20% | MDD -11.5%
Months 19M (6%)
CAGR 0.0% | Win 56%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 32% | MDD -76.7%
Months 88M (27%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
SLmean
only
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 56%
Sharpe 0.60 | Sortino 1.02 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 213M (65%)
CAGR -6.8% | Win 62%
Sharpe -0.32 | Sortino -0.55 | Calmar -0.5
Vol 18% | MDD -12.9%
Months 8M (2%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR -0.3% | Win 56%
Sharpe 0.15 | Sortino 0.21 | Calmar -0.0
Vol 32% | MDD -77.2%
Months 88M (27%)
CAGR 14.2% | Win 58%
Sharpe 0.76 | Sortino 2.31 | Calmar 0.9
Vol 20% | MDD -16.6%
Months 19M (6%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
RSmean
only
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 57%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -25.3%
Months 177M (54%)
CAGR 7.1% | Win 52%
Sharpe 0.47 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -22.3%
Months 44M (13%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR 4.7% | Win 58%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.2
Vol 23% | MDD -29.8%
Months 50M (15%)
CAGR -0.1% | Win 54%
Sharpe 0.18 | Sortino 0.26 | Calmar -0.0
Vol 35% | MDD -70.5%
Months 57M (17%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
MACD
only
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.0% | Win 57%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.3
Vol 14% | MDD -25.3%
Months 203M (62%)
CAGR 2.9% | Win 44%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.1
Vol 22% | MDD -21.1%
Months 18M (6%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR 1.9% | Win 56%
Sharpe 0.19 | Sortino 0.33 | Calmar 0.1
Vol 18% | MDD -19.4%
Months 41M (12%)
CAGR 2.3% | Win 56%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 36% | MDD -75.7%
Months 66M (20%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
RSI
only
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 59%
Sharpe 0.77 | Sortino 1.17 | Calmar 0.4
Vol 14% | MDD -24.8%
Months 159M (48%)
CAGR 1.1% | Win 48%
Sharpe 0.15 | Sortino 0.29 | Calmar 0.1
Vol 17% | MDD -20.2%
Months 62M (19%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR -7.2% | Win 57%
Sharpe -0.18 | Sortino -0.23 | Calmar -0.4
Vol 26% | MDD -20.4%
Months 7M (2%)
CAGR 2.8% | Win 56%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 100M (30%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
MACDhist
only
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 55%
Sharpe 0.60 | Sortino 1.08 | Calmar 0.4
Vol 16% | MDD -22.3%
Months 165M (50%)
CAGR 5.0% | Win 59%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.3
Vol 13% | MDD -15.3%
Months 56M (17%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR 33.9% | Win 62%
Sharpe 1.40 | Sortino 3.71 | Calmar 3.6
Vol 23% | MDD -9.5%
Months 8M (2%)
CAGR -0.1% | Win 56%
Sharpe 0.15 | Sortino 0.21 | Calmar -0.0
Vol 30% | MDD -76.7%
Months 99M (30%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 57%
Sharpe 0.58 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -24.6%
Months 201M (61%)
CAGR 7.0% | Win 45%
Sharpe 0.45 | Sortino 0.93 | Calmar 0.4
Vol 19% | MDD -16.0%
Months 20M (6%)
CAGR 7.6% | Win 56%
Sharpe 0.57 | Sortino 0.94 | Calmar 0.3
Vol 15% | MDD -26.0%
Months 221M (67%)
MRmean
neg
CAGR 6.2% | Win 58%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.3
Vol 24% | MDD -24.2%
Months 67M (20%)
CAGR -4.3% | Win 52%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.1
Vol 38% | MDD -74.5%
Months 40M (12%)
CAGR 2.1% | Win 56%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 30% | MDD -77.2%
Months 107M (33%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.2% | Win 57%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 205M (62%)
CAGR 29.8% | Win 86%
Sharpe 4.00 | Sortino 0.00 | Calmar 43.6
Vol 7% | MDD -0.7%
Months 7M (2%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR -1.7% | Win 53%
Sharpe 0.10 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -77.9%
Months 96M (29%)
CAGR 0.7% | Win 50%
Sharpe 0.13 | Sortino 0.41 | Calmar 0.0
Vol 22% | MDD -21.6%
Months 20M (6%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
RSmean
only
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 58%
Sharpe 0.64 | Sortino 1.02 | Calmar 0.3
Vol 14% | MDD -30.7%
Months 163M (50%)
CAGR 14.8% | Win 59%
Sharpe 0.84 | Sortino 1.56 | Calmar 0.9
Vol 18% | MDD -16.3%
Months 49M (15%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR 3.6% | Win 56%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -30.1%
Months 64M (20%)
CAGR -7.1% | Win 48%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 36% | MDD -70.5%
Months 52M (16%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
MACD
only
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 58%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 188M (57%)
CAGR 21.5% | Win 58%
Sharpe 0.99 | Sortino 2.17 | Calmar 1.3
Vol 22% | MDD -16.3%
Months 24M (7%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.34 | Calmar 0.1
Vol 17% | MDD -22.8%
Months 56M (17%)
CAGR -4.3% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 37% | MDD -75.2%
Months 60M (18%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
RSI
only
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 60%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -19.0%
Months 145M (44%)
CAGR 6.4% | Win 54%
Sharpe 0.44 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -21.6%
Months 67M (20%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR -4.0% | Win 52%
Sharpe -0.14 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -27.6%
Months 21M (6%)
CAGR -0.7% | Win 53%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -76.7%
Months 95M (29%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
MACDhist
only
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 56%
Sharpe 0.71 | Sortino 1.30 | Calmar 0.4
Vol 16% | MDD -24.0%
Months 170M (52%)
CAGR 7.7% | Win 64%
Sharpe 0.65 | Sortino 0.71 | Calmar 0.4
Vol 13% | MDD -21.5%
Months 42M (13%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR -30.2% | Win 0%
Sharpe -3.73 | Sortino -3.73 | Calmar -3.6
Vol 9% | MDD -8.3%
Months 3M (1%)
CAGR -0.4% | Win 54%
Sharpe 0.14 | Sortino 0.19 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 113M (34%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.9% | Win 59%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 186M (57%)
CAGR 16.9% | Win 54%
Sharpe 0.86 | Sortino 2.19 | Calmar 1.3
Vol 20% | MDD -12.8%
Months 26M (8%)
CAGR 9.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 15% | MDD -29.4%
Months 212M (65%)
SLmean
neg
CAGR 3.6% | Win 55%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 23% | MDD -42.3%
Months 82M (25%)
CAGR -12.3% | Win 47%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.2
Vol 40% | MDD -72.8%
Months 34M (10%)
CAGR -1.3% | Win 53%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 29% | MDD -77.9%
Months 116M (35%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 57%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -32.9%
Months 218M (66%)
CAGR 1.7% | Win 53%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 30% | MDD -70.5%
Months 83M (25%)
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
RSmean
neg
CAGR 4.3% | Win 67%
Sharpe 0.31 | Sortino 0.56 | Calmar 0.3
Vol 19% | MDD -13.2%
Months 9M (3%)
CAGR 9.2% | Win 56%
Sharpe 0.53 | Sortino 1.62 | Calmar 0.6
Vol 20% | MDD -16.6%
Months 18M (6%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
MACD
only
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 57%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 224M (68%)
CAGR 0.8% | Win 53%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -74.4%
Months 77M (24%)
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
RSmean
neg
CAGR 2.8% | Win 60%
Sharpe 0.24 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -21.4%
Months 20M (6%)
CAGR 22.2% | Win 57%
Sharpe 0.96 | Sortino 2.85 | Calmar 4.2
Vol 23% | MDD -5.2%
Months 7M (2%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
RSI
only
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 59%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 162M (49%)
CAGR 1.7% | Win 52%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -76.7%
Months 139M (42%)
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
RSmean
neg
CAGR 24.0% | Win 75%
Sharpe 3.37 | Sortino 0.00 | Calmar 35.1
Vol 6% | MDD -0.7%
Months 4M (1%)
CAGR 4.9% | Win 56%
Sharpe 0.33 | Sortino 0.98 | Calmar 0.3
Vol 21% | MDD -19.3%
Months 23M (7%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
MACDhist
only
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 55%
Sharpe 0.61 | Sortino 1.14 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 168M (51%)
CAGR 1.6% | Win 57%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 133M (40%)
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
RSmean
neg
CAGR 34.3% | Win 80%
Sharpe 3.89 | Sortino 0.00 | Calmar 50.2
Vol 8% | MDD -0.7%
Months 5M (2%)
CAGR 2.2% | Win 55%
Sharpe 0.20 | Sortino 0.61 | Calmar 0.1
Vol 21% | MDD -19.3%
Months 22M (7%)
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 57%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -38.5%
Months 241M (74%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
CAGR 5.6% | Win 56%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -78.6%
Months 301M (92%)
RSmean
neg
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
-
CAGR 7.5% | Win 59%
Sharpe 0.47 | Sortino 1.13 | Calmar 0.5
Vol 19% | MDD -16.6%
Months 27M (8%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 57%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 207M (63%)
CAGR 9.7% | Win 60%
Sharpe 0.46 | Sortino 0.60 | Calmar 0.3
Vol 30% | MDD -31.0%
Months 20M (6%)
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
MACD
neg
CAGR 7.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.4
Vol 16% | MDD -19.3%
Months 37M (11%)
CAGR 0.3% | Win 52%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 34% | MDD -70.5%
Months 64M (20%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
RSI
only
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 12.8% | Win 61%
Sharpe 0.99 | Sortino 1.51 | Calmar 0.6
Vol 13% | MDD -21.6%
Months 130M (40%)
CAGR -0.3% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 20% | MDD -34.0%
Months 97M (30%)
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
MACD
neg
CAGR -2.2% | Win 53%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -32.6%
Months 36M (11%)
CAGR 5.9% | Win 54%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 33% | MDD -70.5%
Months 65M (20%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
MACDhist
only
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.7% | Win 56%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.4
Vol 15% | MDD -21.9%
Months 126M (38%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.2
Vol 18% | MDD -28.0%
Months 101M (31%)
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
MACD
neg
CAGR 12.0% | Win 55%
Sharpe 0.69 | Sortino 1.34 | Calmar 0.6
Vol 19% | MDD -21.1%
Months 47M (14%)
CAGR -4.3% | Win 52%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.1
Vol 35% | MDD -70.5%
Months 54M (16%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 58%
Sharpe 0.51 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -32.6%
Months 209M (64%)
CAGR 6.1% | Win 44%
Sharpe 0.38 | Sortino 0.68 | Calmar 0.3
Vol 22% | MDD -17.9%
Months 18M (6%)
CAGR 7.1% | Win 57%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 16% | MDD -31.8%
Months 227M (69%)
MACD
neg
CAGR 7.8% | Win 54%
Sharpe 0.45 | Sortino 0.89 | Calmar 0.3
Vol 22% | MDD -29.2%
Months 59M (18%)
CAGR -3.4% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 37% | MDD -70.5%
Months 42M (13%)
CAGR 3.0% | Win 54%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.0
Vol 29% | MDD -70.5%
Months 101M (31%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.8% | Win 60%
Sharpe 0.91 | Sortino 1.38 | Calmar 0.5
Vol 13% | MDD -21.6%
Months 146M (44%)
CAGR 0.1% | Win 52%
Sharpe 0.09 | Sortino 0.16 | Calmar 0.0
Vol 17% | MDD -24.5%
Months 98M (30%)
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
RSI
neg
CAGR -6.4% | Win 50%
Sharpe -0.19 | Sortino -0.32 | Calmar -0.3
Vol 22% | MDD -23.2%
Months 20M (6%)
CAGR 5.4% | Win 55%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 36% | MDD -74.4%
Months 64M (20%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
MACDhist
only
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 56%
Sharpe 0.63 | Sortino 1.10 | Calmar 0.4
Vol 14% | MDD -21.9%
Months 151M (46%)
CAGR 4.7% | Win 59%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.2
Vol 15% | MDD -20.3%
Months 93M (28%)
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
RSI
neg
CAGR 18.1% | Win 55%
Sharpe 0.83 | Sortino 1.88 | Calmar 0.9
Vol 23% | MDD -21.1%
Months 22M (7%)
CAGR -2.6% | Win 53%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 36% | MDD -74.3%
Months 62M (19%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.9% | Win 58%
Sharpe 0.53 | Sortino 0.83 | Calmar 0.2
Vol 15% | MDD -35.1%
Months 226M (69%)
CAGR 7.0% | Win 44%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.6
Vol 18% | MDD -11.3%
Months 18M (6%)
CAGR 7.0% | Win 57%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 244M (74%)
RSI
neg
CAGR 9.1% | Win 55%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.4
Vol 28% | MDD -23.4%
Months 42M (13%)
CAGR -3.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.1
Vol 38% | MDD -72.8%
Months 42M (13%)
CAGR 2.5% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -74.4%
Months 84M (26%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.8% | Win 59%
Sharpe 0.80 | Sortino 1.31 | Calmar 0.5
Vol 14% | MDD -21.1%
Months 129M (39%)
CAGR 4.6% | Win 60%
Sharpe 0.36 | Sortino 0.40 | Calmar 0.2
Vol 16% | MDD -22.8%
Months 37M (11%)
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
MACDhist
neg
CAGR 5.8% | Win 46%
Sharpe 0.38 | Sortino 0.89 | Calmar 0.2
Vol 20% | MDD -24.3%
Months 44M (13%)
CAGR 0.9% | Win 56%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -76.7%
Months 118M (36%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
RSIhist
only
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 60%
Sharpe 0.74 | Sortino 1.08 | Calmar 0.3
Vol 14% | MDD -29.2%
Months 158M (48%)
CAGR -3.6% | Win 50%
Sharpe -0.10 | Sortino -0.16 | Calmar -0.3
Vol 20% | MDD -12.9%
Months 8M (2%)
CAGR 9.4% | Win 59%
Sharpe 0.69 | Sortino 1.00 | Calmar 0.3
Vol 15% | MDD -32.6%
Months 166M (51%)
MACDhist
neg
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.43 | Calmar 0.1
Vol 21% | MDD -23.5%
Months 110M (34%)
CAGR -0.2% | Win 50%
Sharpe 0.17 | Sortino 0.23 | Calmar -0.0
Vol 34% | MDD -73.8%
Months 52M (16%)
CAGR 2.2% | Win 53%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 26% | MDD -76.7%
Months 162M (49%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 9.2% | Win 57%
Sharpe 0.66 | Sortino 1.14 | Calmar 0.4
Vol 15% | MDD -21.1%
Months 150M (46%)
CAGR 12.1% | Win 48%
Sharpe 0.64 | Sortino 1.62 | Calmar 0.7
Vol 21% | MDD -17.2%
Months 23M (7%)
CAGR 9.6% | Win 56%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -24.3%
Months 173M (53%)
RSIhist
neg
CAGR 4.9% | Win 58%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.2
Vol 20% | MDD -29.9%
Months 118M (36%)
CAGR -7.9% | Win 51%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.1
Vol 38% | MDD -72.8%
Months 37M (11%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 26% | MDD -77.7%
Months 155M (47%)
LWTI
only
CAGR 7.3% | Win 57%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.2
Vol 17% | MDD -35.6%
Months 268M (82%)
CAGR -0.7% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar -0.0
Vol 33% | MDD -72.8%
Months 60M (18%)