XLI - State Street Industrial Select Sector SPDR ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

69.1%

Best CAGR

94

Total Months

10.9%

Avg CAGR

XLI 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 XLI

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSI neg-pos 4 1.2 69.1 75.0 2.5 0.0 17.4 22.5 -4.0
pair RSI MACDhist neg-pos 4 1.2 69.1 75.0 2.5 0.0 17.4 22.5 -4.0
pair MACDhist LWTI pos-neg 6 1.8 65.5 66.7 2.2 7.6 16.4 24.8 -4.0
pair LWTI MACDhist pos-neg 6 1.8 65.5 66.7 2.2 7.6 16.4 24.8 -4.0
pair RSI LWTI neg-pos 18 5.5 52.7 83.3 1.5 1.5 2.8 30.9 -18.6
pair LWTI RSI neg-pos 18 5.5 52.7 83.3 1.5 1.5 2.8 30.9 -18.6
pair MACD MACDhist neg-pos 13 4.0 45.9 76.9 2.8 9.0 11.5 14.2 -4.0
pair MACDhist MACD neg-pos 13 4.0 45.9 76.9 2.8 9.0 11.5 14.2 -4.0
pair RSI MRmean pos-neg 9 2.7 40.4 77.8 1.9 5.0 10.1 19.3 -4.0
pair MRmean RSI pos-neg 9 2.7 40.4 77.8 1.9 5.0 10.1 19.3 -4.0
pair SLmean RSI pos-neg 14 4.3 37.2 78.6 2.2 3.7 5.4 15.2 -6.9
pair RSI SLmean pos-neg 14 4.3 37.2 78.6 2.2 3.7 5.4 15.2 -6.9
pair SLmean LWTI pos-neg 25 7.6 36.9 68.0 1.8 4.0 3.5 18.2 -10.4
pair LWTI SLmean pos-neg 25 7.6 36.9 68.0 1.8 4.0 3.5 18.2 -10.4
pair RSI RSIhist neg-pos 11 3.4 32.0 72.7 1.7 3.3 8.1 17.1 -4.0
pair RSIhist RSI neg-pos 11 3.4 32.0 72.7 1.7 3.3 8.1 17.1 -4.0
pair MRmean LWTI pos-neg 19 5.8 30.1 63.2 1.4 3.3 4.4 19.8 -6.9
pair LWTI MRmean pos-neg 19 5.8 30.1 63.2 1.4 3.3 4.4 19.8 -6.9
pair LWTI RSIhist pos-neg 21 6.4 28.7 61.9 1.4 3.3 4.2 19.2 -6.9
pair RSIhist LWTI pos-neg 21 6.4 28.7 61.9 1.4 3.3 4.2 19.2 -6.9
pair MRmean SLmean pos-neg 29 8.8 26.8 62.1 1.4 2.5 2.2 18.8 -12.1
pair SLmean MRmean pos-neg 29 8.8 26.8 62.1 1.4 2.5 2.2 18.8 -12.1
pair RSI MACD pos-neg 19 5.8 25.1 78.9 0.8 2.7 0.7 36.7 -35.3
pair MACD RSI pos-neg 19 5.8 25.1 78.9 0.8 2.7 0.7 36.7 -35.3
pair SLmean LWTI neg-pos 75 22.9 24.6 62.7 1.1 1.6 1.3 22.5 -18.6
pair LWTI SLmean neg-pos 75 22.9 24.6 62.7 1.1 1.6 1.3 22.5 -18.6
pair SLmean MRmean neg-pos 10 3.0 22.4 70.0 1.1 1.3 2.1 19.4 -10.7
pair MRmean SLmean neg-pos 10 3.0 22.4 70.0 1.1 1.3 2.1 19.4 -10.7
pair LWTI MACD neg-pos 34 10.4 21.9 58.8 1.2 3.0 1.6 18.3 -13.3
pair MACD LWTI neg-pos 34 10.4 21.9 58.8 1.2 3.0 1.6 18.3 -13.3
pair MACD SLmean pos-neg 33 10.1 21.5 66.7 1.3 2.5 2.1 16.5 -10.4
pair SLmean MACD pos-neg 33 10.1 21.5 66.7 1.3 2.5 2.1 16.5 -10.4
pair SLmean RSmean neg-neg 19 5.8 20.5 57.9 1.3 5.0 2.7 15.2 -7.6
pair RSmean SLmean neg-neg 19 5.8 20.5 57.9 1.3 5.0 2.7 15.2 -7.6
pair RSmean MACD neg-neg 15 4.6 20.4 60.0 1.2 5.3 2.7 16.7 -7.6
pair MACD RSmean neg-neg 15 4.6 20.4 60.0 1.2 5.3 2.7 16.7 -7.6
pair MRmean LWTI neg-pos 50 15.2 19.2 62.0 0.8 1.2 0.9 24.7 -21.6
pair LWTI MRmean neg-pos 50 15.2 19.2 62.0 0.8 1.2 0.9 24.7 -21.6
pair MRmean MACD pos-neg 29 8.8 18.1 65.5 1.1 2.1 1.4 16.7 -12.8
pair MACD MRmean pos-neg 29 8.8 18.1 65.5 1.1 2.1 1.4 16.7 -12.8
pair MACDhist SLmean neg-pos 22 6.7 17.3 59.1 0.9 1.7 1.1 20.4 -15.3
pair SLmean MACDhist neg-pos 22 6.7 17.3 59.1 0.9 1.7 1.1 20.4 -15.3
pair LWTI RSIhist neg-pos 107 32.6 17.1 62.6 0.9 1.2 0.9 21.1 -18.6
pair RSIhist LWTI neg-pos 107 32.6 17.1 62.6 0.9 1.2 0.9 21.1 -18.6
pair RSmean RSI pos-neg 52 15.9 16.1 67.3 0.6 1.0 0.3 30.6 -56.1
pair RSI RSmean pos-neg 52 15.9 16.1 67.3 0.6 1.0 0.3 30.6 -56.1
pair RSI MACD neg-pos 32 9.8 15.5 56.2 0.9 2.1 1.0 17.9 -15.9
pair MACD RSI neg-pos 32 9.8 15.5 56.2 0.9 2.1 1.0 17.9 -15.9
single RSI RSI neg-neg 56 17.1 15.4 67.9 0.6 0.9 0.3 29.5 -55.9
pair MRmean RSIhist pos-neg 60 18.3 15.1 61.7 0.9 1.4 0.9 17.6 -17.2
pair RSIhist MRmean pos-neg 60 18.3 15.1 61.7 0.9 1.4 0.9 17.6 -17.2
pair RSI LWTI pos-neg 14 4.3 14.7 50.0 0.7 1.3 1.4 24.2 -10.4
pair LWTI RSI pos-neg 14 4.3 14.7 50.0 0.7 1.3 1.4 24.2 -10.4
pair MACD SLmean neg-pos 66 20.1 14.6 62.1 0.7 0.9 0.4 25.6 -33.6
pair SLmean MACD neg-pos 66 20.1 14.6 62.1 0.7 0.9 0.4 25.6 -33.6
pair RSIhist MACDhist pos-neg 30 9.1 14.3 53.3 0.8 1.8 0.9 17.7 -15.3
pair MACDhist RSIhist pos-neg 30 9.1 14.3 53.3 0.8 1.8 0.9 17.7 -15.3
pair MRmean RSIhist neg-pos 5 1.5 14.2 40.0 0.9 14.5 6.4 16.7 -2.2
pair RSIhist MRmean neg-pos 5 1.5 14.2 40.0 0.9 14.5 6.4 16.7 -2.2
pair MRmean MACDhist pos-pos 167 50.9 13.8 61.7 1.0 1.7 0.7 14.6 -18.9
pair MACDhist MRmean pos-pos 167 50.9 13.8 61.7 1.0 1.7 0.7 14.6 -18.9
pair RSmean MACDhist neg-pos 4 1.2 13.5 50.0 0.9 2.0 16.0 15.7 -0.8
pair MACDhist RSmean neg-pos 4 1.2 13.5 50.0 0.9 2.0 16.0 15.7 -0.8
pair RSIhist SLmean neg-neg 99 30.2 13.3 60.6 0.6 0.9 0.3 25.9 -52.1
pair SLmean RSIhist neg-neg 99 30.2 13.3 60.6 0.6 0.9 0.3 25.9 -52.1
pair SLmean RSI neg-pos 60 18.3 13.1 55.0 0.7 1.4 0.7 19.5 -18.7
pair RSI SLmean neg-pos 60 18.3 13.1 55.0 0.7 1.4 0.7 19.5 -18.7
pair RSIhist MACD neg-pos 32 9.8 13.0 59.4 0.8 1.7 0.5 16.0 -26.8
pair MACD RSIhist neg-pos 32 9.8 13.0 59.4 0.8 1.7 0.5 16.0 -26.8
pair RSIhist MACD neg-neg 37 11.3 12.9 59.5 0.6 0.9 0.3 26.5 -41.5
pair MACD RSIhist neg-neg 37 11.3 12.9 59.5 0.6 0.9 0.3 26.5 -41.5
single MACD MACD neg-neg 69 21.0 12.9 59.4 0.7 1.1 0.4 22.1 -31.8
pair RSmean MACDhist pos-pos 168 51.2 12.4 61.9 0.9 1.4 0.4 14.9 -29.3
pair MACDhist RSmean pos-pos 168 51.2 12.4 61.9 0.9 1.4 0.4 14.9 -29.3
single MACDhist MACDhist pos-pos 172 52.4 12.4 61.6 0.9 1.4 0.4 14.8 -29.3
pair MACDhist RSI neg-neg 52 15.9 12.1 67.3 0.5 0.8 0.2 29.9 -57.3
pair RSI MACDhist neg-neg 52 15.9 12.1 67.3 0.5 0.8 0.2 29.9 -57.3
pair RSIhist MACDhist pos-pos 142 43.3 12.0 63.4 0.9 1.4 0.6 14.2 -21.2
pair MACDhist RSIhist pos-pos 142 43.3 12.0 63.4 0.9 1.4 0.6 14.2 -21.2
pair SLmean MACDhist pos-pos 150 45.7 11.7 62.0 0.9 1.4 0.6 13.9 -19.1
pair RSI RSIhist neg-neg 45 13.7 11.7 66.7 0.5 0.8 0.2 31.9 -56.4
pair RSIhist RSI neg-neg 45 13.7 11.7 66.7 0.5 0.8 0.2 31.9 -56.4
pair MACDhist SLmean pos-pos 150 45.7 11.7 62.0 0.9 1.4 0.6 13.9 -19.1
pair MACDhist RSI pos-pos 168 51.2 11.3 61.3 0.8 1.3 0.4 14.6 -29.3
single SLmean SLmean neg-neg 102 31.1 11.3 58.8 0.6 0.8 0.2 25.7 -52.1
pair RSI MACDhist pos-pos 168 51.2 11.3 61.3 0.8 1.3 0.4 14.6 -29.3
pair MRmean RSI neg-neg 47 14.3 11.1 66.0 0.5 0.7 0.2 31.1 -56.4
pair RSI MRmean neg-neg 47 14.3 11.1 66.0 0.5 0.7 0.2 31.1 -56.4
pair MACDhist LWTI pos-pos 166 50.6 10.9 61.4 0.8 1.3 0.4 14.3 -28.5
pair LWTI MACDhist pos-pos 166 50.6 10.9 61.4 0.8 1.3 0.4 14.3 -28.5
pair MACD RSmean pos-neg 54 16.5 10.9 59.3 0.6 0.9 0.3 23.5 -32.1
pair RSmean MACD pos-neg 54 16.5 10.9 59.3 0.6 0.9 0.3 23.5 -32.1
pair LWTI RSmean pos-pos 249 75.9 10.9 62.7 0.7 1.0 0.4 16.7 -27.2
pair RSmean LWTI pos-pos 249 75.9 10.9 62.7 0.7 1.0 0.4 16.7 -27.2
pair RSIhist RSmean pos-neg 118 36.0 10.9 61.9 0.6 0.8 0.2 24.6 -56.3
pair RSmean RSIhist pos-neg 118 36.0 10.9 61.9 0.6 0.8 0.2 24.6 -56.3
pair MACD RSI neg-neg 37 11.3 10.7 62.2 0.5 0.8 0.3 25.4 -40.7
pair RSI MACD neg-neg 37 11.3 10.7 62.2 0.5 0.8 0.3 25.4 -40.7
pair RSmean MRmean pos-pos 234 71.3 10.6 62.0 0.8 1.2 0.5 15.0 -22.8
single RSIhist RSIhist neg-neg 138 42.1 10.6 60.9 0.6 0.8 0.2 23.8 -55.6
pair MRmean RSmean pos-pos 234 71.3 10.6 62.0 0.8 1.2 0.5 15.0 -22.8
pair MRmean RSmean neg-neg 17 5.2 10.4 52.9 0.6 1.0 1.0 18.9 -10.7
pair RSmean MRmean neg-neg 17 5.2 10.4 52.9 0.6 1.0 1.0 18.9 -10.7
single LWTI LWTI pos-pos 276 84.1 10.3 61.6 0.7 1.0 0.4 16.7 -27.2
pair RSI RSIhist pos-neg 93 28.4 10.1 58.1 0.6 1.0 0.4 18.8 -25.9
pair RSIhist RSI pos-neg 93 28.4 10.1 58.1 0.6 1.0 0.4 18.8 -25.9
pair MACDhist MRmean neg-neg 78 23.8 10.1 59.0 0.5 0.7 0.2 27.5 -54.5
pair MRmean MACDhist neg-neg 78 23.8 10.1 59.0 0.5 0.7 0.2 27.5 -54.5
pair RSmean SLmean pos-pos 217 66.2 10.0 62.7 0.7 1.1 0.4 14.2 -22.9
pair SLmean RSmean pos-pos 217 66.2 10.0 62.7 0.7 1.1 0.4 14.2 -22.9
pair MACD MACDhist pos-pos 159 48.5 10.0 60.4 0.7 1.2 0.3 14.7 -29.3
pair MACDhist MACD pos-pos 159 48.5 10.0 60.4 0.7 1.2 0.3 14.7 -29.3
single MRmean MRmean pos-pos 245 74.7 9.9 61.6 0.7 1.1 0.4 14.9 -27.5
single RSmean RSmean pos-pos 300 91.5 9.8 61.7 0.6 0.8 0.2 18.9 -57.2
pair SLmean MACDhist neg-neg 80 24.4 9.7 58.8 0.5 0.7 0.2 27.1 -53.2
pair MACDhist SLmean neg-neg 80 24.4 9.7 58.8 0.5 0.7 0.2 27.1 -53.2
pair RSIhist MACD pos-neg 101 30.8 9.7 61.4 0.5 0.7 0.3 22.8 -36.4
pair MACD RSIhist pos-neg 101 30.8 9.7 61.4 0.5 0.7 0.3 22.8 -36.4
pair MACDhist RSIhist neg-neg 108 32.9 9.6 63.0 0.5 0.7 0.2 25.2 -55.1
pair RSIhist MACDhist neg-neg 108 32.9 9.6 63.0 0.5 0.7 0.2 25.2 -55.1
pair MACD RSmean pos-pos 246 75.0 9.5 62.2 0.6 0.8 0.2 17.8 -47.1
pair RSmean MACD pos-pos 246 75.0 9.5 62.2 0.6 0.8 0.2 17.8 -47.1
pair SLmean RSIhist pos-pos 187 57.0 9.4 62.0 0.7 1.1 0.3 14.0 -29.2
pair RSIhist SLmean pos-pos 187 57.0 9.4 62.0 0.7 1.1 0.3 14.0 -29.2
pair MACDhist LWTI neg-pos 110 33.5 9.4 61.8 0.6 0.7 0.4 20.0 -23.8
pair LWTI MACDhist neg-pos 110 33.5 9.4 61.8 0.6 0.7 0.4 20.0 -23.8
pair SLmean RSmean neg-pos 83 25.3 9.4 59.0 0.5 0.7 0.2 27.7 -53.0
pair RSmean SLmean neg-pos 83 25.3 9.4 59.0 0.5 0.7 0.2 27.7 -53.0
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.3 61.0 0.6 0.8 0.2 18.7 -57.2
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.3 61.0 0.6 0.8 0.2 18.7 -57.2
pair MRmean MACD neg-neg 40 12.2 9.3 55.0 0.5 0.8 0.2 25.5 -41.5
pair MACD MRmean neg-neg 40 12.2 9.3 55.0 0.5 0.8 0.2 25.5 -41.5
pair RSIhist RSmean pos-pos 182 55.5 9.1 61.5 0.7 1.1 0.4 14.0 -24.5
pair RSmean RSIhist pos-pos 182 55.5 9.1 61.5 0.7 1.1 0.4 14.0 -24.5
pair SLmean RSI neg-neg 42 12.8 8.9 64.3 0.4 0.7 0.2 32.9 -57.2
pair RSI SLmean neg-neg 42 12.8 8.9 64.3 0.4 0.7 0.2 32.9 -57.2
pair RSI MRmean pos-pos 236 72.0 8.9 61.0 0.7 1.0 0.4 14.7 -24.4
pair MRmean RSI pos-pos 236 72.0 8.9 61.0 0.7 1.0 0.4 14.7 -24.4
pair MRmean MACD pos-pos 216 65.9 8.9 61.1 0.7 1.0 0.3 14.7 -32.0
pair MACD MRmean pos-pos 216 65.9 8.9 61.1 0.7 1.0 0.3 14.7 -32.0
pair MACD LWTI pos-pos 242 73.8 8.7 62.0 0.6 0.8 0.3 16.5 -28.4
pair LWTI MACD pos-pos 242 73.8 8.7 62.0 0.6 0.8 0.3 16.5 -28.4
pair RSmean RSIhist neg-neg 20 6.1 8.5 55.0 0.5 0.8 0.5 18.6 -16.3
pair RSIhist RSmean neg-neg 20 6.1 8.5 55.0 0.5 0.8 0.5 18.6 -16.3
pair RSI RSmean pos-pos 248 75.6 8.5 60.5 0.6 0.9 0.4 15.4 -23.7
pair RSmean RSI pos-pos 248 75.6 8.5 60.5 0.6 0.9 0.4 15.4 -23.7
single SLmean SLmean pos-pos 226 68.9 8.4 61.9 0.6 0.9 0.3 14.5 -31.1
single MACD MACD pos-pos 259 79.0 8.4 61.4 0.6 0.7 0.2 17.7 -47.1
pair MRmean LWTI pos-pos 226 68.9 8.4 61.5 0.6 0.9 0.4 14.4 -23.0
pair LWTI MRmean pos-pos 226 68.9 8.4 61.5 0.6 0.9 0.4 14.4 -23.0
single RSIhist RSIhist pos-pos 190 57.9 8.4 61.1 0.7 1.0 0.2 14.0 -35.5
pair RSIhist MRmean pos-pos 185 56.4 8.3 61.6 0.6 1.0 0.3 14.0 -29.2
pair MRmean RSIhist pos-pos 185 56.4 8.3 61.6 0.6 1.0 0.3 14.0 -29.2
single RSI RSI pos-pos 272 82.9 8.1 59.6 0.6 0.9 0.3 15.7 -29.5
pair RSI LWTI pos-pos 258 78.7 7.8 60.1 0.6 0.9 0.3 15.1 -26.8
pair LWTI RSI pos-pos 258 78.7 7.8 60.1 0.6 0.9 0.3 15.1 -26.8
pair MRmean SLmean pos-pos 216 65.9 7.8 61.6 0.6 0.9 0.3 14.3 -22.9
pair SLmean MRmean pos-pos 216 65.9 7.8 61.6 0.6 0.9 0.3 14.3 -22.9
single MRmean MRmean neg-neg 83 25.3 7.6 59.0 0.4 0.6 0.1 27.1 -52.2
pair RSIhist MACD pos-pos 158 48.2 7.5 61.4 0.6 0.9 0.3 13.6 -24.5
pair MACD RSIhist pos-pos 158 48.2 7.5 61.4 0.6 0.9 0.3 13.6 -24.5
pair RSIhist MRmean neg-neg 78 23.8 7.2 60.3 0.4 0.6 0.1 27.7 -52.2
pair RSI RSmean neg-neg 4 1.2 7.2 75.0 1.6 0.0 0.0 4.6 0.0
pair MACD RSI pos-pos 240 73.2 7.2 60.0 0.5 0.8 0.2 15.3 -33.9
pair RSI MACD pos-pos 240 73.2 7.2 60.0 0.5 0.8 0.2 15.3 -33.9
pair RSmean RSI neg-neg 4 1.2 7.2 75.0 1.6 0.0 0.0 4.6 0.0
pair MRmean RSIhist neg-neg 78 23.8 7.2 60.3 0.4 0.6 0.1 27.7 -52.2
pair RSIhist RSI pos-pos 179 54.6 7.1 60.3 0.6 0.9 0.2 13.8 -30.7
pair RSI RSIhist pos-pos 179 54.6 7.1 60.3 0.6 0.9 0.2 13.8 -30.7
pair RSmean MRmean neg-pos 66 20.1 6.9 60.6 0.4 0.6 0.1 28.9 -52.2
pair MRmean RSmean neg-pos 66 20.1 6.9 60.6 0.4 0.6 0.1 28.9 -52.2
pair RSI SLmean pos-pos 212 64.6 6.8 60.8 0.5 0.8 0.2 14.4 -31.1
pair SLmean RSI pos-pos 212 64.6 6.8 60.8 0.5 0.8 0.2 14.4 -31.1
pair MACDhist RSmean pos-neg 132 40.2 6.6 61.4 0.4 0.5 0.1 23.0 -57.4
pair RSmean MACDhist pos-neg 132 40.2 6.6 61.4 0.4 0.5 0.1 23.0 -57.4
pair MACDhist MACD neg-neg 56 17.1 6.4 55.4 0.4 0.6 0.1 23.3 -43.4
pair MACD SLmean pos-pos 193 58.8 6.4 61.1 0.5 0.7 0.2 14.1 -31.1
pair SLmean MACD pos-pos 193 58.8 6.4 61.1 0.5 0.7 0.2 14.1 -31.1
pair MACD MACDhist neg-neg 56 17.1 6.4 55.4 0.4 0.6 0.1 23.3 -43.4
pair RSIhist LWTI pos-pos 169 51.5 6.2 60.9 0.5 0.8 0.2 13.2 -28.0
pair LWTI RSIhist pos-pos 169 51.5 6.2 60.9 0.5 0.8 0.2 13.2 -28.0
pair MRmean MACD neg-pos 43 13.1 6.1 62.8 0.3 0.5 0.1 28.8 -42.1
pair MACD MRmean neg-pos 43 13.1 6.1 62.8 0.3 0.5 0.1 28.8 -42.1
single MACDhist MACDhist neg-neg 156 47.6 6.0 60.3 0.4 0.5 0.1 22.3 -59.3
pair MACDhist MACD pos-neg 100 30.5 5.8 63.0 0.4 0.5 0.2 21.8 -36.6
pair MACD MACDhist pos-neg 100 30.5 5.8 63.0 0.4 0.5 0.2 21.8 -36.6
pair MRmean SLmean neg-neg 73 22.3 5.7 57.5 0.3 0.5 0.1 28.0 -56.0
pair SLmean MRmean neg-neg 73 22.3 5.7 57.5 0.3 0.5 0.1 28.0 -56.0
pair MACD SLmean neg-neg 36 11.0 5.6 52.8 0.3 0.6 0.1 26.4 -41.5
pair SLmean MACD neg-neg 36 11.0 5.6 52.8 0.3 0.6 0.1 26.4 -41.5
pair RSmean LWTI neg-neg 1 0.3 5.3 100.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 5.3 100.0 0.0 0.0 0.0 - 0.0
pair SLmean LWTI pos-pos 201 61.3 5.3 61.2 0.5 0.6 0.1 13.8 -39.5
pair LWTI SLmean pos-pos 201 61.3 5.3 61.2 0.5 0.6 0.1 13.8 -39.5
pair LWTI MACD neg-neg 35 10.7 4.8 60.0 0.3 0.5 0.1 25.3 -39.3
pair MACD LWTI neg-neg 35 10.7 4.8 60.0 0.3 0.5 0.1 25.3 -39.3
single LWTI LWTI neg-neg 52 15.9 4.6 57.7 0.3 0.5 0.1 27.1 -55.2
pair RSmean LWTI pos-neg 51 15.5 4.6 56.9 0.3 0.5 0.1 27.3 -55.3
pair LWTI RSmean pos-neg 51 15.5 4.6 56.9 0.3 0.5 0.1 27.3 -55.3
single RSmean RSmean neg-neg 28 8.5 4.5 53.6 0.3 0.5 0.2 17.3 -19.0
pair LWTI RSmean neg-pos 27 8.2 4.5 51.9 0.3 0.5 0.2 17.6 -19.3
pair RSmean LWTI neg-pos 27 8.2 4.5 51.9 0.3 0.5 0.2 17.6 -19.3
pair RSI RSmean neg-pos 24 7.3 4.1 50.0 0.3 0.5 0.2 18.6 -19.3
pair RSmean RSI neg-pos 24 7.3 4.1 50.0 0.3 0.5 0.2 18.6 -19.3
pair MACD LWTI pos-neg 17 5.2 4.0 52.9 0.3 0.4 0.1 31.2 -32.3
pair LWTI MACD pos-neg 17 5.2 4.0 52.9 0.3 0.4 0.1 31.2 -32.3
pair RSIhist SLmean pos-neg 39 11.9 4.0 61.5 0.3 0.4 0.2 17.2 -23.3
pair SLmean RSIhist pos-neg 39 11.9 4.0 61.5 0.3 0.4 0.2 17.2 -23.3
pair MRmean RSI neg-pos 36 11.0 3.2 50.0 0.2 0.5 0.1 21.0 -25.3
pair RSI MRmean neg-pos 36 11.0 3.2 50.0 0.2 0.5 0.1 21.0 -25.3
pair RSI MACDhist pos-neg 104 31.7 3.2 56.7 0.3 0.4 0.1 17.3 -29.5
pair MACDhist RSI pos-neg 104 31.7 3.2 56.7 0.3 0.4 0.1 17.3 -29.5
pair MACDhist RSmean neg-neg 24 7.3 3.1 54.2 0.3 0.4 0.2 17.8 -15.3
pair RSmean MACDhist neg-neg 24 7.3 3.1 54.2 0.3 0.4 0.2 17.8 -15.3
pair SLmean MACDhist pos-neg 76 23.2 2.3 61.8 0.2 0.3 0.1 15.7 -21.3
pair MACDhist SLmean pos-neg 76 23.2 2.3 61.8 0.2 0.3 0.1 15.7 -21.3
pair MRmean MACDhist pos-neg 78 23.8 2.1 61.5 0.2 0.3 0.1 15.5 -27.5
pair MACDhist MRmean pos-neg 78 23.8 2.1 61.5 0.2 0.3 0.1 15.5 -27.5
pair RSI LWTI neg-neg 38 11.6 1.1 60.5 0.2 0.3 0.0 28.3 -56.2
pair LWTI RSI neg-neg 38 11.6 1.1 60.5 0.2 0.3 0.0 28.3 -56.2
pair MACDhist LWTI neg-neg 46 14.0 -1.5 56.5 0.1 0.1 -0.0 27.1 -58.2
pair LWTI MACDhist neg-neg 46 14.0 -1.5 56.5 0.1 0.1 -0.0 27.1 -58.2
pair MACDhist RSIhist neg-pos 48 14.6 -1.5 54.2 -0.1 -0.1 -0.0 13.2 -35.5
pair RSIhist MACDhist neg-pos 48 14.6 -1.5 54.2 -0.1 -0.1 -0.0 13.2 -35.5
pair MRmean RSmean pos-neg 11 3.4 -3.9 54.5 -0.2 -0.3 -0.3 14.8 -12.8
pair RSmean MRmean pos-neg 11 3.4 -3.9 54.5 -0.2 -0.3 -0.3 14.8 -12.8
pair RSmean RSIhist neg-pos 8 2.4 -4.7 50.0 -0.3 -0.6 -0.5 14.1 -9.2
pair RSIhist RSmean neg-pos 8 2.4 -4.7 50.0 -0.3 -0.6 -0.5 14.1 -9.2
pair MRmean LWTI neg-neg 33 10.1 -7.8 54.5 -0.1 -0.2 -0.1 30.3 -56.8
pair LWTI MRmean neg-neg 33 10.1 -7.8 54.5 -0.1 -0.2 -0.1 30.3 -56.8
pair LWTI RSIhist neg-neg 31 9.5 -9.1 54.8 -0.1 -0.3 -0.2 31.1 -56.8
pair RSIhist LWTI neg-neg 31 9.5 -9.1 54.8 -0.1 -0.3 -0.2 31.1 -56.8
pair RSmean MACD neg-pos 13 4.0 -11.1 46.2 -0.6 -0.8 -0.6 17.3 -18.4
pair MACD RSmean neg-pos 13 4.0 -11.1 46.2 -0.6 -0.8 -0.6 17.3 -18.4
pair SLmean LWTI neg-neg 27 8.2 -18.5 48.1 -0.5 -0.8 -0.3 32.1 -56.8
pair LWTI SLmean neg-neg 27 8.2 -18.5 48.1 -0.5 -0.8 -0.3 32.1 -56.8
pair SLmean RSmean pos-neg 9 2.7 -22.5 44.4 -1.2 -1.9 -0.9 19.2 -25.3
pair RSmean SLmean pos-neg 9 2.7 -22.5 44.4 -1.2 -1.9 -0.9 19.2 -25.3
pair MRmean MACDhist neg-pos 5 1.5 -24.3 60.0 -1.4 -3.9 -1.6 19.2 -15.3
pair MACDhist MRmean neg-pos 5 1.5 -24.3 60.0 -1.4 -3.9 -1.6 19.2 -15.3
pair RSIhist SLmean neg-pos 3 0.9 -37.0 0.0 -4.8 -4.8 -4.1 9.4 -8.9
pair SLmean RSIhist neg-pos 3 0.9 -37.0 0.0 -4.8 -4.8 -4.1 9.4 -8.9

All Contingency Tables for XLI

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 62%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.3
Vol 14% | MDD -22.9%
Months 216M (66%)
CAGR 26.8% | Win 62%
Sharpe 1.37 | Sortino 2.52 | Calmar 2.2
Vol 19% | MDD -12.1%
Months 29M (9%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 22.4% | Win 70%
Sharpe 1.14 | Sortino 1.31 | Calmar 2.1
Vol 19% | MDD -10.7%
Months 10M (3%)
CAGR 5.7% | Win 57%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 28% | MDD -56.0%
Months 73M (22%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
SLmean
only
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 62%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.5
Vol 15% | MDD -22.8%
Months 234M (71%)
CAGR -3.9% | Win 55%
Sharpe -0.20 | Sortino -0.28 | Calmar -0.3
Vol 15% | MDD -12.8%
Months 11M (3%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 6.9% | Win 61%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.1
Vol 29% | MDD -52.2%
Months 66M (20%)
CAGR 10.4% | Win 53%
Sharpe 0.61 | Sortino 0.99 | Calmar 1.0
Vol 19% | MDD -10.7%
Months 17M (5%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
RSmean
only
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 61%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.3
Vol 15% | MDD -32.0%
Months 216M (66%)
CAGR 18.1% | Win 66%
Sharpe 1.08 | Sortino 2.14 | Calmar 1.4
Vol 17% | MDD -12.8%
Months 29M (9%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 6.1% | Win 63%
Sharpe 0.35 | Sortino 0.49 | Calmar 0.1
Vol 29% | MDD -42.1%
Months 43M (13%)
CAGR 9.3% | Win 55%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 26% | MDD -41.5%
Months 40M (12%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
MACD
only
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 61%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 236M (72%)
CAGR 40.4% | Win 78%
Sharpe 1.87 | Sortino 5.05 | Calmar 10.1
Vol 19% | MDD -4.0%
Months 9M (3%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 3.2% | Win 50%
Sharpe 0.25 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -25.3%
Months 36M (11%)
CAGR 11.1% | Win 66%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.2
Vol 31% | MDD -56.4%
Months 47M (14%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
RSI
only
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.8% | Win 62%
Sharpe 0.96 | Sortino 1.66 | Calmar 0.7
Vol 15% | MDD -18.9%
Months 167M (51%)
CAGR 2.1% | Win 62%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -27.5%
Months 78M (24%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR -24.3% | Win 60%
Sharpe -1.36 | Sortino -3.88 | Calmar -1.6
Vol 19% | MDD -15.3%
Months 5M (2%)
CAGR 10.1% | Win 59%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.2
Vol 28% | MDD -54.5%
Months 78M (24%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
MACDhist
only
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 8.3% | Win 62%
Sharpe 0.64 | Sortino 0.99 | Calmar 0.3
Vol 14% | MDD -29.2%
Months 185M (56%)
CAGR 15.1% | Win 62%
Sharpe 0.89 | Sortino 1.37 | Calmar 0.9
Vol 18% | MDD -17.2%
Months 60M (18%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 14.2% | Win 40%
Sharpe 0.86 | Sortino 14.54 | Calmar 6.4
Vol 17% | MDD -2.2%
Months 5M (2%)
CAGR 7.2% | Win 60%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.1
Vol 28% | MDD -52.2%
Months 78M (24%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.4
Vol 14% | MDD -23.0%
Months 226M (69%)
CAGR 30.1% | Win 63%
Sharpe 1.44 | Sortino 3.27 | Calmar 4.4
Vol 20% | MDD -6.9%
Months 19M (6%)
CAGR 9.9% | Win 62%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 245M (75%)
MRmean
neg
CAGR 19.2% | Win 62%
Sharpe 0.84 | Sortino 1.17 | Calmar 0.9
Vol 25% | MDD -21.6%
Months 50M (15%)
CAGR -7.8% | Win 55%
Sharpe -0.12 | Sortino -0.19 | Calmar -0.1
Vol 30% | MDD -56.8%
Months 33M (10%)
CAGR 7.6% | Win 59%
Sharpe 0.41 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.2%
Months 83M (25%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 63%
Sharpe 0.74 | Sortino 1.10 | Calmar 0.4
Vol 14% | MDD -22.9%
Months 217M (66%)
CAGR -22.5% | Win 44%
Sharpe -1.22 | Sortino -1.85 | Calmar -0.9
Vol 19% | MDD -25.3%
Months 9M (3%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR 9.4% | Win 59%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -53.0%
Months 83M (25%)
CAGR 20.5% | Win 58%
Sharpe 1.30 | Sortino 5.01 | Calmar 2.7
Vol 15% | MDD -7.6%
Months 19M (6%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
RSmean
only
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.4% | Win 61%
Sharpe 0.51 | Sortino 0.71 | Calmar 0.2
Vol 14% | MDD -31.1%
Months 193M (59%)
CAGR 21.5% | Win 67%
Sharpe 1.27 | Sortino 2.50 | Calmar 2.1
Vol 16% | MDD -10.4%
Months 33M (10%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR 14.6% | Win 62%
Sharpe 0.67 | Sortino 0.91 | Calmar 0.4
Vol 26% | MDD -33.6%
Months 66M (20%)
CAGR 5.6% | Win 53%
Sharpe 0.34 | Sortino 0.56 | Calmar 0.1
Vol 26% | MDD -41.5%
Months 36M (11%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
MACD
only
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.8% | Win 61%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 14% | MDD -31.1%
Months 212M (65%)
CAGR 37.2% | Win 79%
Sharpe 2.17 | Sortino 3.67 | Calmar 5.4
Vol 15% | MDD -6.9%
Months 14M (4%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR 13.1% | Win 55%
Sharpe 0.73 | Sortino 1.36 | Calmar 0.7
Vol 20% | MDD -18.7%
Months 60M (18%)
CAGR 8.9% | Win 64%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 33% | MDD -57.2%
Months 42M (13%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
RSI
only
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.7% | Win 62%
Sharpe 0.87 | Sortino 1.42 | Calmar 0.6
Vol 14% | MDD -19.1%
Months 150M (46%)
CAGR 2.3% | Win 62%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 16% | MDD -21.3%
Months 76M (23%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR 17.3% | Win 59%
Sharpe 0.89 | Sortino 1.74 | Calmar 1.1
Vol 20% | MDD -15.3%
Months 22M (7%)
CAGR 9.7% | Win 59%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -53.2%
Months 80M (24%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
MACDhist
only
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.4% | Win 62%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.3
Vol 14% | MDD -29.2%
Months 187M (57%)
CAGR 4.0% | Win 62%
Sharpe 0.32 | Sortino 0.41 | Calmar 0.2
Vol 17% | MDD -23.3%
Months 39M (12%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR -37.0% | Win 0%
Sharpe -4.82 | Sortino -4.82 | Calmar -4.1
Vol 9% | MDD -8.9%
Months 3M (1%)
CAGR 13.3% | Win 61%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 26% | MDD -52.1%
Months 99M (30%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.3% | Win 61%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.1
Vol 14% | MDD -39.5%
Months 201M (61%)
CAGR 36.9% | Win 68%
Sharpe 1.83 | Sortino 4.03 | Calmar 3.5
Vol 18% | MDD -10.4%
Months 25M (8%)
CAGR 8.4% | Win 62%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.3
Vol 14% | MDD -31.1%
Months 226M (69%)
SLmean
neg
CAGR 24.6% | Win 63%
Sharpe 1.10 | Sortino 1.62 | Calmar 1.3
Vol 22% | MDD -18.6%
Months 75M (23%)
CAGR -18.5% | Win 48%
Sharpe -0.47 | Sortino -0.84 | Calmar -0.3
Vol 32% | MDD -56.8%
Months 27M (8%)
CAGR 11.3% | Win 59%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -52.1%
Months 102M (31%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 62%
Sharpe 0.60 | Sortino 0.80 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 246M (75%)
CAGR 10.9% | Win 59%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 24% | MDD -32.1%
Months 54M (16%)
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
RSmean
neg
CAGR -11.1% | Win 46%
Sharpe -0.60 | Sortino -0.75 | Calmar -0.6
Vol 17% | MDD -18.4%
Months 13M (4%)
CAGR 20.4% | Win 60%
Sharpe 1.19 | Sortino 5.30 | Calmar 2.7
Vol 17% | MDD -7.6%
Months 15M (5%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
MACD
only
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.4
Vol 15% | MDD -23.7%
Months 248M (76%)
CAGR 16.1% | Win 67%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.3
Vol 31% | MDD -56.1%
Months 52M (16%)
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
RSmean
neg
CAGR 4.1% | Win 50%
Sharpe 0.30 | Sortino 0.51 | Calmar 0.2
Vol 19% | MDD -19.3%
Months 24M (7%)
CAGR 7.2% | Win 75%
Sharpe 1.55 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 4M (1%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
RSI
only
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.4% | Win 62%
Sharpe 0.86 | Sortino 1.44 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 168M (51%)
CAGR 6.6% | Win 61%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 23% | MDD -57.4%
Months 132M (40%)
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
RSmean
neg
CAGR 13.5% | Win 50%
Sharpe 0.87 | Sortino 2.05 | Calmar 16.0
Vol 16% | MDD -0.8%
Months 4M (1%)
CAGR 3.1% | Win 54%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.2
Vol 18% | MDD -15.3%
Months 24M (7%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
MACDhist
only
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 62%
Sharpe 0.69 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -24.5%
Months 182M (56%)
CAGR 10.9% | Win 62%
Sharpe 0.55 | Sortino 0.79 | Calmar 0.2
Vol 25% | MDD -56.3%
Months 118M (36%)
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
RSmean
neg
CAGR -4.7% | Win 50%
Sharpe -0.28 | Sortino -0.60 | Calmar -0.5
Vol 14% | MDD -9.2%
Months 8M (2%)
CAGR 8.5% | Win 55%
Sharpe 0.53 | Sortino 0.77 | Calmar 0.5
Vol 19% | MDD -16.3%
Months 20M (6%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.9% | Win 63%
Sharpe 0.71 | Sortino 0.99 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 249M (76%)
CAGR 4.6% | Win 57%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -55.3%
Months 51M (16%)
CAGR 9.8% | Win 62%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 19% | MDD -57.2%
Months 300M (92%)
RSmean
neg
CAGR 4.5% | Win 52%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 18% | MDD -19.3%
Months 27M (8%)
CAGR 5.3% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -19.0%
Months 28M (8%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 60%
Sharpe 0.53 | Sortino 0.78 | Calmar 0.2
Vol 15% | MDD -33.9%
Months 240M (73%)
CAGR 25.1% | Win 79%
Sharpe 0.80 | Sortino 2.71 | Calmar 0.7
Vol 37% | MDD -35.3%
Months 19M (6%)
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
MACD
neg
CAGR 15.5% | Win 56%
Sharpe 0.89 | Sortino 2.11 | Calmar 1.0
Vol 18% | MDD -15.9%
Months 32M (10%)
CAGR 10.7% | Win 62%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.3
Vol 25% | MDD -40.7%
Months 37M (11%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
RSI
only
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 60%
Sharpe 0.72 | Sortino 1.18 | Calmar 0.3
Vol 15% | MDD -29.3%
Months 159M (48%)
CAGR 5.8% | Win 63%
Sharpe 0.37 | Sortino 0.46 | Calmar 0.2
Vol 22% | MDD -36.6%
Months 100M (30%)
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
MACD
neg
CAGR 45.9% | Win 77%
Sharpe 2.77 | Sortino 9.04 | Calmar 11.5
Vol 14% | MDD -4.0%
Months 13M (4%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -43.4%
Months 56M (17%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
MACDhist
only
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.5% | Win 61%
Sharpe 0.60 | Sortino 0.90 | Calmar 0.3
Vol 14% | MDD -24.5%
Months 158M (48%)
CAGR 9.7% | Win 61%
Sharpe 0.53 | Sortino 0.70 | Calmar 0.3
Vol 23% | MDD -36.4%
Months 101M (31%)
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
MACD
neg
CAGR 13.0% | Win 59%
Sharpe 0.84 | Sortino 1.70 | Calmar 0.5
Vol 16% | MDD -26.8%
Months 32M (10%)
CAGR 12.9% | Win 60%
Sharpe 0.59 | Sortino 0.95 | Calmar 0.3
Vol 26% | MDD -41.5%
Months 37M (11%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.7% | Win 62%
Sharpe 0.59 | Sortino 0.80 | Calmar 0.3
Vol 16% | MDD -28.4%
Months 242M (74%)
CAGR 4.0% | Win 53%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 31% | MDD -32.3%
Months 17M (5%)
CAGR 8.4% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -47.1%
Months 259M (79%)
MACD
neg
CAGR 21.9% | Win 59%
Sharpe 1.18 | Sortino 3.00 | Calmar 1.6
Vol 18% | MDD -13.3%
Months 34M (10%)
CAGR 4.8% | Win 60%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -39.3%
Months 35M (11%)
CAGR 12.9% | Win 59%
Sharpe 0.66 | Sortino 1.08 | Calmar 0.4
Vol 22% | MDD -31.8%
Months 69M (21%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.3% | Win 61%
Sharpe 0.81 | Sortino 1.33 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 168M (51%)
CAGR 3.2% | Win 57%
Sharpe 0.27 | Sortino 0.40 | Calmar 0.1
Vol 17% | MDD -29.5%
Months 104M (32%)
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
RSI
neg
CAGR 69.1% | Win 75%
Sharpe 2.47 | Sortino 0.00 | Calmar 17.4
Vol 22% | MDD -4.0%
Months 4M (1%)
CAGR 12.1% | Win 67%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -57.3%
Months 52M (16%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
MACDhist
only
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.1% | Win 60%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -30.7%
Months 179M (55%)
CAGR 10.1% | Win 58%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.4
Vol 19% | MDD -25.9%
Months 93M (28%)
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
RSI
neg
CAGR 32.0% | Win 73%
Sharpe 1.72 | Sortino 3.27 | Calmar 8.0
Vol 17% | MDD -4.0%
Months 11M (3%)
CAGR 11.7% | Win 67%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.2
Vol 32% | MDD -56.4%
Months 45M (14%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.8% | Win 60%
Sharpe 0.57 | Sortino 0.87 | Calmar 0.3
Vol 15% | MDD -26.8%
Months 258M (79%)
CAGR 14.7% | Win 50%
Sharpe 0.68 | Sortino 1.33 | Calmar 1.4
Vol 24% | MDD -10.4%
Months 14M (4%)
CAGR 8.1% | Win 60%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -29.5%
Months 272M (83%)
RSI
neg
CAGR 52.7% | Win 83%
Sharpe 1.54 | Sortino 1.50 | Calmar 2.8
Vol 31% | MDD -18.6%
Months 18M (6%)
CAGR 1.1% | Win 60%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -56.2%
Months 38M (12%)
CAGR 15.4% | Win 68%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 30% | MDD -55.9%
Months 56M (17%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 12.0% | Win 63%
Sharpe 0.87 | Sortino 1.37 | Calmar 0.6
Vol 14% | MDD -21.2%
Months 142M (43%)
CAGR 14.3% | Win 53%
Sharpe 0.84 | Sortino 1.76 | Calmar 0.9
Vol 18% | MDD -15.3%
Months 30M (9%)
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
MACDhist
neg
CAGR -1.5% | Win 54%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.0
Vol 13% | MDD -35.5%
Months 48M (15%)
CAGR 9.6% | Win 63%
Sharpe 0.49 | Sortino 0.68 | Calmar 0.2
Vol 25% | MDD -55.1%
Months 108M (33%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
RSIhist
only
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.9% | Win 61%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.4
Vol 14% | MDD -28.5%
Months 166M (51%)
CAGR 65.5% | Win 67%
Sharpe 2.17 | Sortino 7.62 | Calmar 16.4
Vol 25% | MDD -4.0%
Months 6M (2%)
CAGR 12.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.4
Vol 15% | MDD -29.3%
Months 172M (52%)
MACDhist
neg
CAGR 9.4% | Win 62%
Sharpe 0.55 | Sortino 0.74 | Calmar 0.4
Vol 20% | MDD -23.8%
Months 110M (34%)
CAGR -1.5% | Win 56%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 27% | MDD -58.2%
Months 46M (14%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 22% | MDD -59.3%
Months 156M (48%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 6.2% | Win 61%
Sharpe 0.52 | Sortino 0.76 | Calmar 0.2
Vol 13% | MDD -28.0%
Months 169M (52%)
CAGR 28.7% | Win 62%
Sharpe 1.42 | Sortino 3.28 | Calmar 4.2
Vol 19% | MDD -6.9%
Months 21M (6%)
CAGR 8.4% | Win 61%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.2
Vol 14% | MDD -35.5%
Months 190M (58%)
RSIhist
neg
CAGR 17.1% | Win 63%
Sharpe 0.86 | Sortino 1.22 | Calmar 0.9
Vol 21% | MDD -18.6%
Months 107M (33%)
CAGR -9.1% | Win 55%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.2
Vol 31% | MDD -56.8%
Months 31M (10%)
CAGR 10.6% | Win 61%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -55.6%
Months 138M (42%)
LWTI
only
CAGR 10.3% | Win 62%
Sharpe 0.67 | Sortino 0.96 | Calmar 0.4
Vol 17% | MDD -27.2%
Months 276M (84%)
CAGR 4.6% | Win 58%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 27% | MDD -55.2%
Months 52M (16%)