XLK - State Street Technology Select Sector SPDR ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

152.7%

Best CAGR

94

Total Months

14.5%

Avg CAGR

XLK 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 XLK

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI RSmean neg-neg 2 0.6 152.7 100.0 2.7 0.0 0.0 37.2 0.0
pair RSmean RSI neg-neg 2 0.6 152.7 100.0 2.7 0.0 0.0 37.2 0.0
pair RSIhist RSmean neg-pos 5 1.5 68.0 60.0 2.1 104.4 24.6 26.4 -2.8
pair RSmean RSIhist neg-pos 5 1.5 68.0 60.0 2.1 104.4 24.6 26.4 -2.8
pair MRmean RSmean neg-neg 12 3.7 65.1 75.0 2.1 3.0 6.6 25.8 -9.9
pair RSmean MRmean neg-neg 12 3.7 65.1 75.0 2.1 3.0 6.6 25.8 -9.9
pair SLmean RSmean neg-neg 12 3.7 65.1 75.0 2.1 3.0 6.6 25.8 -9.9
pair RSmean SLmean neg-neg 12 3.7 65.1 75.0 2.1 3.0 6.6 25.8 -9.9
pair MRmean LWTI pos-neg 9 2.7 64.3 88.9 4.2 0.0 540.0 12.2 -0.1
pair LWTI MRmean pos-neg 9 2.7 64.3 88.9 4.2 0.0 540.0 12.2 -0.1
pair RSmean MACDhist neg-neg 15 4.6 60.0 73.3 2.1 3.3 6.0 24.3 -9.9
pair MACDhist RSmean neg-neg 15 4.6 60.0 73.3 2.1 3.3 6.0 24.3 -9.9
pair RSmean MACD neg-neg 13 4.0 59.9 76.9 2.0 2.8 6.0 25.0 -9.9
pair MACD RSmean neg-neg 13 4.0 59.9 76.9 2.0 2.8 6.0 25.0 -9.9
pair RSI MRmean pos-neg 12 3.7 56.7 91.7 4.5 0.0 66.1 10.2 -0.9
pair MRmean RSI pos-neg 12 3.7 56.7 91.7 4.5 0.0 66.1 10.2 -0.9
pair RSmean LWTI neg-pos 16 4.9 53.9 68.8 1.9 3.4 5.4 24.0 -9.9
pair LWTI RSmean neg-pos 16 4.9 53.9 68.8 1.9 3.4 5.4 24.0 -9.9
single RSmean RSmean neg-neg 17 5.2 50.8 70.6 1.9 3.2 5.1 23.4 -9.9
pair SLmean RSI pos-neg 15 4.6 48.4 80.0 1.9 1.8 3.7 22.9 -13.2
pair RSI SLmean pos-neg 15 4.6 48.4 80.0 1.9 1.8 3.7 22.9 -13.2
pair RSmean RSIhist neg-neg 12 3.7 44.1 75.0 1.7 2.2 4.5 23.1 -9.9
pair RSIhist RSmean neg-neg 12 3.7 44.1 75.0 1.7 2.2 4.5 23.1 -9.9
pair SLmean LWTI pos-neg 16 4.9 42.9 75.0 1.5 1.9 3.2 25.6 -13.2
pair LWTI SLmean pos-neg 16 4.9 42.9 75.0 1.5 1.9 3.2 25.6 -13.2
pair RSmean RSI neg-pos 15 4.6 40.7 66.7 1.7 2.7 14.8 22.0 -2.8
pair RSI RSmean neg-pos 15 4.6 40.7 66.7 1.7 2.7 14.8 22.0 -2.8
pair SLmean MRmean pos-neg 29 8.8 38.9 79.3 1.7 4.0 3.2 20.9 -12.1
pair MRmean SLmean pos-neg 29 8.8 38.9 79.3 1.7 4.0 3.2 20.9 -12.1
pair SLmean RSI neg-pos 58 17.7 36.0 70.7 1.4 2.6 1.5 23.3 -23.4
pair RSI SLmean neg-pos 58 17.7 36.0 70.7 1.4 2.6 1.5 23.3 -23.4
pair RSI LWTI pos-neg 7 2.1 33.2 71.4 1.4 1.6 4.0 22.0 -8.2
pair LWTI RSI pos-neg 7 2.1 33.2 71.4 1.4 1.6 4.0 22.0 -8.2
pair SLmean LWTI neg-pos 77 23.5 32.4 67.5 1.2 2.0 1.0 25.5 -32.5
pair LWTI SLmean neg-pos 77 23.5 32.4 67.5 1.2 2.0 1.0 25.5 -32.5
pair RSI MRmean neg-pos 36 11.0 31.3 63.9 1.2 2.1 1.0 25.2 -31.7
pair SLmean RSIhist neg-pos 12 3.7 31.3 66.7 1.2 1.5 1.9 25.1 -16.9
pair RSIhist SLmean neg-pos 12 3.7 31.3 66.7 1.2 1.5 1.9 25.1 -16.9
pair MRmean RSI neg-pos 36 11.0 31.3 63.9 1.2 2.1 1.0 25.2 -31.7
pair MRmean LWTI neg-pos 51 15.5 28.8 60.8 1.1 1.7 0.9 27.7 -32.5
pair LWTI MRmean neg-pos 51 15.5 28.8 60.8 1.1 1.7 0.9 27.7 -32.5
pair RSI LWTI neg-pos 25 7.6 27.3 64.0 1.0 1.3 1.0 28.1 -28.4
pair LWTI RSI neg-pos 25 7.6 27.3 64.0 1.0 1.3 1.0 28.1 -28.4
pair RSmean MACD neg-pos 4 1.2 24.5 50.0 1.3 43.8 16.3 18.6 -1.5
pair MACD RSmean neg-pos 4 1.2 24.5 50.0 1.3 43.8 16.3 18.6 -1.5
pair MACDhist MRmean neg-pos 17 5.2 23.6 58.8 1.0 1.6 5.3 23.4 -4.4
pair MRmean MACDhist neg-pos 17 5.2 23.6 58.8 1.0 1.6 5.3 23.4 -4.4
pair SLmean MRmean neg-pos 10 3.0 22.6 60.0 0.8 1.6 1.6 32.8 -13.9
pair MACD SLmean neg-pos 60 18.3 22.6 66.7 0.9 1.2 1.5 25.9 -14.9
pair MRmean SLmean neg-pos 10 3.0 22.6 60.0 0.8 1.6 1.6 32.8 -13.9
pair SLmean MACD neg-pos 60 18.3 22.6 66.7 0.9 1.2 1.5 25.9 -14.9
pair MACDhist SLmean neg-pos 37 11.3 22.5 67.6 1.2 2.5 1.9 18.3 -12.1
pair SLmean MACDhist neg-pos 37 11.3 22.5 67.6 1.2 2.5 1.9 18.3 -12.1
pair MACDhist RSI neg-pos 21 6.4 22.0 66.7 1.2 1.4 5.0 18.2 -4.4
pair RSI MACDhist neg-pos 21 6.4 22.0 66.7 1.2 1.4 5.0 18.2 -4.4
pair RSmean SLmean pos-neg 5 1.5 21.1 60.0 1.2 38.2 7.7 16.2 -2.8
pair MRmean RSmean pos-neg 5 1.5 21.1 60.0 1.2 38.2 7.7 16.2 -2.8
pair RSmean MRmean pos-neg 5 1.5 21.1 60.0 1.2 38.2 7.7 16.2 -2.8
pair SLmean RSmean pos-neg 5 1.5 21.1 60.0 1.2 38.2 7.7 16.2 -2.8
pair RSI RSIhist neg-pos 20 6.1 19.5 65.0 0.9 1.1 1.2 23.7 -16.4
pair MRmean RSIhist neg-pos 12 3.7 19.5 50.0 0.7 1.1 1.1 33.3 -18.3
pair RSIhist RSI neg-pos 20 6.1 19.5 65.0 0.9 1.1 1.2 23.7 -16.4
pair RSIhist MRmean neg-pos 12 3.7 19.5 50.0 0.7 1.1 1.1 33.3 -18.3
pair RSIhist LWTI pos-neg 18 5.5 18.8 61.1 0.8 1.0 1.1 25.3 -16.4
pair LWTI RSIhist pos-neg 18 5.5 18.8 61.1 0.8 1.0 1.1 25.3 -16.4
pair RSIhist LWTI neg-pos 107 32.6 18.7 62.6 0.8 1.2 0.4 25.4 -44.6
pair LWTI RSIhist neg-pos 107 32.6 18.7 62.6 0.8 1.2 0.4 25.4 -44.6
pair RSIhist MACDhist pos-neg 46 14.0 18.6 65.2 0.9 1.8 1.1 20.3 -17.5
pair MACDhist RSIhist pos-neg 46 14.0 18.6 65.2 0.9 1.8 1.1 20.3 -17.5
pair RSIhist MACD pos-neg 91 27.7 18.1 63.7 0.8 1.1 0.7 24.7 -26.2
pair MACD RSIhist pos-neg 91 27.7 18.1 63.7 0.8 1.1 0.7 24.7 -26.2
pair MRmean MACD neg-pos 40 12.2 17.6 60.0 0.7 0.9 1.0 28.7 -17.4
pair RSI RSIhist pos-neg 91 27.7 17.6 63.7 0.8 1.3 0.4 24.1 -40.3
pair RSIhist RSI pos-neg 91 27.7 17.6 63.7 0.8 1.3 0.4 24.1 -40.3
pair MACD MRmean neg-pos 40 12.2 17.6 60.0 0.7 0.9 1.0 28.7 -17.4
pair MACDhist RSI pos-neg 71 21.6 16.5 60.6 0.7 1.2 0.4 25.6 -39.5
pair RSI MACDhist pos-neg 71 21.6 16.5 60.6 0.7 1.2 0.4 25.6 -39.5
pair RSIhist MRmean pos-neg 59 18.0 16.4 66.1 0.8 1.2 0.6 23.8 -27.6
pair MRmean RSIhist pos-neg 59 18.0 16.4 66.1 0.8 1.2 0.6 23.8 -27.6
pair LWTI MACDhist neg-pos 77 23.5 16.1 59.7 0.7 1.1 0.3 28.0 -48.3
pair MACDhist LWTI neg-pos 77 23.5 16.1 59.7 0.7 1.1 0.3 28.0 -48.3
pair MACDhist MACD pos-neg 63 19.2 15.3 61.9 0.7 0.9 0.6 26.1 -25.3
pair MACD MACDhist pos-neg 63 19.2 15.3 61.9 0.7 0.9 0.6 26.1 -25.3
pair LWTI MACD pos-pos 228 69.5 15.2 61.4 0.9 1.5 0.5 17.5 -31.2
pair MACD LWTI pos-pos 228 69.5 15.2 61.4 0.9 1.5 0.5 17.5 -31.2
pair RSI MACD pos-pos 223 68.0 15.0 61.9 0.9 1.4 0.3 17.5 -44.3
pair MACD RSI pos-pos 223 68.0 15.0 61.9 0.9 1.4 0.3 17.5 -44.3
pair MRmean MACDhist pos-neg 43 13.1 14.7 62.8 0.7 1.0 0.5 25.4 -27.8
pair RSIhist MACD neg-pos 40 12.2 14.7 60.0 0.7 1.1 0.6 23.0 -25.8
pair MACD RSIhist neg-pos 40 12.2 14.7 60.0 0.7 1.1 0.6 23.0 -25.8
pair MACDhist MRmean pos-neg 43 13.1 14.7 62.8 0.7 1.0 0.5 25.4 -27.8
pair RSIhist MACDhist neg-pos 25 7.6 14.3 56.0 0.6 1.1 0.6 26.1 -23.6
pair MACDhist RSIhist neg-pos 25 7.6 14.3 56.0 0.6 1.1 0.6 26.1 -23.6
single LWTI LWTI pos-pos 277 84.5 14.2 61.0 0.8 1.2 0.3 19.7 -48.3
single MACD MACD pos-pos 239 72.9 14.0 61.5 0.8 1.1 0.5 18.8 -31.2
pair RSmean MACD pos-pos 235 71.6 13.8 61.7 0.8 1.1 0.4 18.9 -31.2
pair MACD RSmean pos-pos 235 71.6 13.8 61.7 0.8 1.1 0.4 18.9 -31.2
pair LWTI MACDhist pos-pos 200 61.0 13.5 61.5 0.9 1.5 0.7 15.5 -18.8
pair MACD MACDhist pos-pos 176 53.7 13.5 61.4 0.9 1.5 0.7 15.5 -19.4
pair MACDhist MACD pos-pos 176 53.7 13.5 61.4 0.9 1.5 0.7 15.5 -19.4
single RSI RSI pos-pos 259 79.0 13.5 61.0 0.8 1.2 0.3 18.8 -44.3
pair MACDhist LWTI pos-pos 200 61.0 13.5 61.5 0.9 1.5 0.7 15.5 -18.8
pair RSmean MACDhist pos-pos 207 63.1 13.5 61.8 0.9 1.4 0.8 15.9 -17.7
pair MACDhist RSmean pos-pos 207 63.1 13.5 61.8 0.9 1.4 0.8 15.9 -17.7
pair MACD MRmean pos-pos 199 60.7 13.3 61.8 0.8 1.4 0.4 16.2 -31.1
pair MRmean MACD pos-pos 199 60.7 13.3 61.8 0.8 1.4 0.4 16.2 -31.1
single MACDhist MACDhist pos-pos 209 63.7 13.3 61.7 0.9 1.4 0.8 15.8 -17.7
pair LWTI RSI pos-pos 252 76.8 13.0 60.7 0.8 1.2 0.3 18.7 -39.4
pair RSI LWTI pos-pos 252 76.8 13.0 60.7 0.8 1.2 0.3 18.7 -39.4
single MRmean MRmean pos-pos 235 71.6 12.9 62.1 0.8 1.2 0.5 17.3 -25.5
pair MRmean RSmean pos-pos 230 70.1 12.7 62.2 0.8 1.2 0.5 17.4 -25.5
pair RSmean MRmean pos-pos 230 70.1 12.7 62.2 0.8 1.2 0.5 17.4 -25.5
pair MRmean MACDhist pos-pos 192 58.5 12.5 62.0 0.9 1.4 0.7 15.0 -18.5
pair MACDhist MRmean pos-pos 192 58.5 12.5 62.0 0.9 1.4 0.7 15.0 -18.5
pair RSI MACDhist pos-pos 188 57.3 12.4 61.2 0.8 1.4 0.7 15.6 -18.5
pair MACDhist RSI pos-pos 188 57.3 12.4 61.2 0.8 1.4 0.7 15.6 -18.5
pair MACD MACDhist neg-pos 33 10.1 12.3 63.6 0.8 1.1 1.0 17.6 -12.6
pair MACDhist MACD neg-pos 33 10.1 12.3 63.6 0.8 1.1 1.0 17.6 -12.6
single RSIhist RSIhist pos-pos 188 57.3 12.2 60.1 0.8 1.2 0.5 16.3 -25.8
pair LWTI RSmean pos-pos 261 79.6 12.2 60.5 0.7 1.0 0.2 19.4 -48.3
pair RSmean LWTI pos-pos 261 79.6 12.2 60.5 0.7 1.0 0.2 19.4 -48.3
pair RSI RSmean pos-pos 244 74.4 12.0 60.7 0.7 1.1 0.3 18.6 -44.3
pair RSmean RSI pos-pos 244 74.4 12.0 60.7 0.7 1.1 0.3 18.6 -44.3
pair MACDhist RSIhist pos-pos 163 49.7 11.9 60.7 0.9 1.3 0.8 14.4 -15.7
pair RSIhist MACDhist pos-pos 163 49.7 11.9 60.7 0.9 1.3 0.8 14.4 -15.7
pair RSIhist MRmean pos-pos 176 53.7 11.7 60.8 0.8 1.3 0.6 14.6 -20.3
pair MRmean RSIhist pos-pos 176 53.7 11.7 60.8 0.8 1.3 0.6 14.6 -20.3
pair RSIhist LWTI pos-pos 170 51.8 11.5 60.0 0.8 1.3 0.7 15.1 -17.4
pair LWTI RSIhist pos-pos 170 51.8 11.5 60.0 0.8 1.3 0.7 15.1 -17.4
pair RSIhist MACD pos-pos 148 45.1 11.5 60.1 0.8 1.3 0.6 14.0 -18.1
pair MACD RSIhist pos-pos 148 45.1 11.5 60.1 0.8 1.3 0.6 14.0 -18.1
pair RSIhist RSI pos-pos 168 51.2 11.4 59.5 0.8 1.3 0.6 15.3 -20.2
pair RSI RSIhist pos-pos 168 51.2 11.4 59.5 0.8 1.3 0.6 15.3 -20.2
pair MACDhist SLmean pos-pos 172 52.4 11.4 60.5 0.8 1.2 0.5 15.2 -22.9
pair SLmean MACDhist pos-pos 172 52.4 11.4 60.5 0.8 1.2 0.5 15.2 -22.9
pair MACD SLmean pos-pos 179 54.6 11.3 59.8 0.8 1.2 0.4 15.8 -28.6
pair SLmean MACD pos-pos 179 54.6 11.3 59.8 0.8 1.2 0.4 15.8 -28.6
pair LWTI MRmean pos-pos 226 68.9 11.2 61.1 0.7 1.1 0.4 17.4 -30.5
pair MRmean LWTI pos-pos 226 68.9 11.2 61.1 0.7 1.1 0.4 17.4 -30.5
pair SLmean RSIhist pos-pos 176 53.7 11.0 59.7 0.8 1.1 0.5 15.6 -22.9
pair RSIhist SLmean pos-pos 176 53.7 11.0 59.7 0.8 1.1 0.5 15.6 -22.9
pair RSIhist RSmean pos-pos 183 55.8 11.0 60.1 0.7 1.1 0.4 15.9 -25.8
pair RSmean RSIhist pos-pos 183 55.8 11.0 60.1 0.7 1.1 0.4 15.9 -25.8
pair MRmean RSI pos-pos 223 68.0 10.9 60.5 0.7 1.0 0.3 17.5 -32.8
pair RSI MRmean pos-pos 223 68.0 10.9 60.5 0.7 1.0 0.3 17.5 -32.8
pair MRmean MACD pos-neg 36 11.0 10.5 63.9 0.6 0.8 0.5 22.8 -23.4
pair MACD MRmean pos-neg 36 11.0 10.5 63.9 0.6 0.8 0.5 22.8 -23.4
single SLmean SLmean pos-pos 216 65.9 10.2 59.7 0.6 0.9 0.3 17.6 -38.2
pair MACD LWTI neg-pos 49 14.9 10.0 59.2 0.5 0.7 0.2 28.2 -48.3
pair LWTI MACD neg-pos 49 14.9 10.0 59.2 0.5 0.7 0.2 28.2 -48.3
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.9 59.5 0.5 0.8 0.1 23.0 -80.5
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.9 59.5 0.5 0.8 0.1 23.0 -80.5
pair RSmean SLmean pos-pos 211 64.3 9.9 59.7 0.6 0.9 0.3 17.7 -38.2
pair SLmean RSmean pos-pos 211 64.3 9.9 59.7 0.6 0.9 0.3 17.7 -38.2
pair MRmean SLmean pos-pos 206 62.8 9.6 59.7 0.6 0.9 0.3 16.7 -36.8
pair SLmean MRmean pos-pos 206 62.8 9.6 59.7 0.6 0.9 0.3 16.7 -36.8
single SLmean SLmean neg-neg 112 34.1 9.3 58.9 0.4 0.7 0.1 30.8 -73.9
pair LWTI RSmean neg-neg 1 0.3 8.7 100.0 0.0 0.0 0.0 - 0.0
pair LWTI MACDhist pos-neg 9 2.7 8.7 66.7 0.5 0.5 2.6 23.2 -3.4
pair MACDhist LWTI pos-neg 9 2.7 8.7 66.7 0.5 0.5 2.6 23.2 -3.4
pair RSmean LWTI neg-neg 1 0.3 8.7 100.0 0.0 0.0 0.0 - 0.0
single RSmean RSmean pos-pos 311 94.8 8.0 58.8 0.5 0.6 0.1 22.9 -80.5
pair SLmean LWTI pos-pos 200 61.0 7.9 58.5 0.5 0.8 0.2 16.7 -39.2
pair LWTI SLmean pos-pos 200 61.0 7.9 58.5 0.5 0.8 0.2 16.7 -39.2
pair SLmean RSI pos-pos 201 61.3 7.8 58.2 0.5 0.8 0.2 17.0 -49.1
pair RSI SLmean pos-pos 201 61.3 7.8 58.2 0.5 0.8 0.2 17.0 -49.1
pair SLmean RSIhist neg-neg 100 30.5 6.9 58.0 0.4 0.6 0.1 31.5 -70.2
pair RSIhist SLmean neg-neg 100 30.5 6.9 58.0 0.4 0.6 0.1 31.5 -70.2
single RSIhist RSIhist neg-neg 140 42.7 6.8 58.6 0.4 0.6 0.1 29.7 -77.3
pair SLmean RSIhist pos-neg 40 12.2 6.6 60.0 0.4 0.6 0.2 24.9 -39.3
pair RSIhist SLmean pos-neg 40 12.2 6.6 60.0 0.4 0.6 0.2 24.9 -39.3
pair MACDhist SLmean pos-neg 44 13.4 5.4 56.8 0.3 0.5 0.1 25.0 -38.2
pair SLmean MACDhist pos-neg 44 13.4 5.4 56.8 0.3 0.5 0.1 25.0 -38.2
pair MACD SLmean pos-neg 37 11.3 5.1 59.5 0.3 0.5 0.1 24.9 -38.2
pair SLmean MACD pos-neg 37 11.3 5.1 59.5 0.3 0.5 0.1 24.9 -38.2
pair RSI MACD neg-pos 36 11.0 5.0 55.6 0.3 0.5 0.1 25.5 -33.7
pair MACD RSI neg-pos 36 11.0 5.0 55.6 0.3 0.5 0.1 25.5 -33.7
single MACDhist MACDhist neg-neg 119 36.3 4.1 55.5 0.3 0.5 0.1 31.9 -81.2
pair SLmean RSmean neg-pos 100 30.5 4.0 57.0 0.3 0.4 0.1 31.2 -73.9
pair RSmean SLmean neg-pos 100 30.5 4.0 57.0 0.3 0.4 0.1 31.2 -73.9
pair RSmean RSIhist pos-neg 128 39.0 3.9 57.0 0.3 0.4 0.1 30.2 -77.3
pair RSIhist RSmean pos-neg 128 39.0 3.9 57.0 0.3 0.4 0.1 30.2 -77.3
pair MACDhist SLmean neg-neg 75 22.9 3.3 54.7 0.3 0.4 0.0 35.5 -78.4
pair SLmean MACDhist neg-neg 75 22.9 3.3 54.7 0.3 0.4 0.0 35.5 -78.4
single MRmean MRmean neg-neg 93 28.4 2.7 52.7 0.2 0.4 0.0 33.3 -74.5
pair MACDhist RSIhist neg-neg 94 28.7 1.5 55.3 0.2 0.3 0.0 33.4 -78.1
pair RSIhist MACDhist neg-neg 94 28.7 1.5 55.3 0.2 0.3 0.0 33.4 -78.1
pair RSI MACD pos-neg 16 4.9 1.5 56.2 0.2 0.2 0.1 32.6 -13.1
pair MACD RSI pos-neg 16 4.9 1.5 56.2 0.2 0.2 0.1 32.6 -13.1
pair SLmean MRmean neg-neg 83 25.3 0.5 51.8 0.2 0.3 0.0 33.5 -74.6
pair MRmean SLmean neg-neg 83 25.3 0.5 51.8 0.2 0.3 0.0 33.5 -74.6
pair RSIhist MRmean neg-neg 81 24.7 0.4 53.1 0.2 0.3 0.0 33.4 -71.8
pair MRmean RSIhist neg-neg 81 24.7 0.4 53.1 0.2 0.3 0.0 33.4 -71.8
single MACD MACD neg-neg 89 27.1 -0.5 53.9 0.1 0.2 -0.0 31.5 -74.0
pair MACDhist MRmean neg-neg 76 23.2 -1.5 51.3 0.1 0.2 -0.0 35.1 -74.5
pair MRmean MACDhist neg-neg 76 23.2 -1.5 51.3 0.1 0.2 -0.0 35.1 -74.5
pair RSmean MACDhist pos-neg 104 31.7 -2.2 52.9 0.1 0.2 -0.0 32.6 -81.2
pair MACDhist RSmean pos-neg 104 31.7 -2.2 52.9 0.1 0.2 -0.0 32.6 -81.2
single RSI RSI neg-neg 69 21.0 -2.8 53.6 0.1 0.1 -0.0 34.4 -72.9
pair MACDhist RSmean neg-pos 2 0.6 -3.5 50.0 -0.7 0.0 -2.7 4.8 -1.3
pair RSmean MACDhist neg-pos 2 0.6 -3.5 50.0 -0.7 0.0 -2.7 4.8 -1.3
pair MACD RSI neg-neg 53 16.2 -4.0 52.8 0.1 0.1 -0.1 35.2 -64.0
pair RSI MACD neg-neg 53 16.2 -4.0 52.8 0.1 0.1 -0.1 35.2 -64.0
pair SLmean MACD neg-neg 52 15.9 -4.2 50.0 0.1 0.1 -0.1 35.7 -65.3
pair MACD SLmean neg-neg 52 15.9 -4.2 50.0 0.1 0.1 -0.1 35.7 -65.3
pair RSmean MRmean neg-pos 81 24.7 -4.3 49.4 0.0 0.1 -0.1 33.9 -72.9
pair MRmean RSmean neg-pos 81 24.7 -4.3 49.4 0.0 0.1 -0.1 33.9 -72.9
pair RSmean RSI pos-neg 67 20.4 -5.5 52.2 0.0 0.0 -0.1 34.3 -68.3
pair RSI RSmean pos-neg 67 20.4 -5.5 52.2 0.0 0.0 -0.1 34.3 -68.3
pair MACD MRmean neg-neg 53 16.2 -7.3 47.2 -0.0 -0.1 -0.1 36.4 -66.0
pair MACD MACDhist neg-neg 56 17.1 -7.3 48.2 -0.0 -0.0 -0.1 37.4 -74.0
pair MACDhist MACD neg-neg 56 17.1 -7.3 48.2 -0.0 -0.0 -0.1 37.4 -74.0
pair MRmean MACD neg-neg 53 16.2 -7.3 47.2 -0.0 -0.1 -0.1 36.4 -66.0
pair LWTI MACD pos-neg 11 3.4 -7.6 63.6 -0.0 -0.0 -0.6 38.4 -12.5
pair MACD LWTI pos-neg 11 3.4 -7.6 63.6 -0.0 -0.0 -0.6 38.4 -12.5
pair MACD RSmean pos-neg 76 23.2 -8.2 50.0 -0.1 -0.2 -0.1 32.1 -74.0
pair RSmean MACD pos-neg 76 23.2 -8.2 50.0 -0.1 -0.2 -0.1 32.1 -74.0
pair RSIhist RSI neg-neg 49 14.9 -10.6 49.0 -0.1 -0.2 -0.1 37.9 -70.8
pair RSI RSIhist neg-neg 49 14.9 -10.6 49.0 -0.1 -0.2 -0.1 37.9 -70.8
single LWTI LWTI neg-neg 51 15.5 -11.0 51.0 -0.1 -0.2 -0.2 35.6 -62.1
pair MACD RSIhist neg-neg 49 14.9 -11.3 49.0 -0.1 -0.3 -0.2 37.0 -66.9
pair RSIhist MACD neg-neg 49 14.9 -11.3 49.0 -0.1 -0.3 -0.2 37.0 -66.9
pair LWTI RSmean pos-neg 50 15.2 -11.4 50.0 -0.1 -0.3 -0.2 35.9 -62.4
pair RSmean LWTI pos-neg 50 15.2 -11.4 50.0 -0.1 -0.3 -0.2 35.9 -62.4
pair LWTI MACD neg-neg 40 12.2 -11.9 47.5 -0.2 -0.3 -0.2 35.2 -58.9
pair MACD LWTI neg-neg 40 12.2 -11.9 47.5 -0.2 -0.3 -0.2 35.2 -58.9
pair MACDhist RSI neg-neg 48 14.6 -11.9 47.9 -0.1 -0.2 -0.2 39.4 -74.0
pair RSI MACDhist neg-neg 48 14.6 -11.9 47.9 -0.1 -0.2 -0.2 39.4 -74.0
pair RSI MRmean neg-neg 57 17.4 -12.1 45.6 -0.2 -0.3 -0.2 37.1 -75.0
pair MRmean RSI neg-neg 57 17.4 -12.1 45.6 -0.2 -0.3 -0.2 37.1 -75.0
pair SLmean RSI neg-neg 54 16.5 -13.5 46.3 -0.2 -0.3 -0.2 36.5 -73.5
pair RSI SLmean neg-neg 54 16.5 -13.5 46.3 -0.2 -0.3 -0.2 36.5 -73.5
pair MACDhist LWTI neg-neg 42 12.8 -14.7 47.6 -0.2 -0.4 -0.2 37.8 -62.2
pair LWTI MACDhist neg-neg 42 12.8 -14.7 47.6 -0.2 -0.4 -0.2 37.8 -62.2
pair RSI LWTI neg-neg 44 13.4 -16.5 47.7 -0.3 -0.5 -0.3 37.2 -62.1
pair LWTI RSI neg-neg 44 13.4 -16.5 47.7 -0.3 -0.5 -0.3 37.2 -62.1
pair MRmean LWTI neg-neg 42 12.8 -22.0 42.9 -0.5 -0.8 -0.3 38.0 -65.4
pair LWTI MRmean neg-neg 42 12.8 -22.0 42.9 -0.5 -0.8 -0.3 38.0 -65.4
pair LWTI RSIhist neg-neg 33 10.1 -24.0 45.5 -0.5 -0.9 -0.4 39.9 -61.2
pair RSIhist LWTI neg-neg 33 10.1 -24.0 45.5 -0.5 -0.9 -0.4 39.9 -61.2
pair SLmean LWTI neg-neg 35 10.7 -28.3 40.0 -0.7 -1.2 -0.4 38.2 -64.8
pair LWTI SLmean neg-neg 35 10.7 -28.3 40.0 -0.7 -1.2 -0.4 38.2 -64.8

All Contingency Tables for XLK

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 60%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -36.8%
Months 206M (63%)
CAGR 38.9% | Win 79%
Sharpe 1.69 | Sortino 4.03 | Calmar 3.2
Vol 21% | MDD -12.1%
Months 29M (9%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 22.6% | Win 60%
Sharpe 0.77 | Sortino 1.60 | Calmar 1.6
Vol 33% | MDD -13.9%
Months 10M (3%)
CAGR 0.5% | Win 52%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 34% | MDD -74.6%
Months 83M (25%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
SLmean
only
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.7% | Win 62%
Sharpe 0.78 | Sortino 1.16 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 230M (70%)
CAGR 21.1% | Win 60%
Sharpe 1.25 | Sortino 38.18 | Calmar 7.7
Vol 16% | MDD -2.8%
Months 5M (2%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR -4.3% | Win 49%
Sharpe 0.04 | Sortino 0.07 | Calmar -0.1
Vol 34% | MDD -72.9%
Months 81M (25%)
CAGR 65.1% | Win 75%
Sharpe 2.10 | Sortino 2.96 | Calmar 6.6
Vol 26% | MDD -9.9%
Months 12M (4%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
RSmean
only
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 13.3% | Win 62%
Sharpe 0.85 | Sortino 1.36 | Calmar 0.4
Vol 16% | MDD -31.1%
Months 199M (61%)
CAGR 10.5% | Win 64%
Sharpe 0.56 | Sortino 0.79 | Calmar 0.5
Vol 23% | MDD -23.4%
Months 36M (11%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 17.6% | Win 60%
Sharpe 0.71 | Sortino 0.93 | Calmar 1.0
Vol 29% | MDD -17.4%
Months 40M (12%)
CAGR -7.3% | Win 47%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 36% | MDD -66.0%
Months 53M (16%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
MACD
only
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 60%
Sharpe 0.68 | Sortino 1.03 | Calmar 0.3
Vol 18% | MDD -32.8%
Months 223M (68%)
CAGR 56.7% | Win 92%
Sharpe 4.53 | Sortino 0.00 | Calmar 66.1
Vol 10% | MDD -0.9%
Months 12M (4%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 31.3% | Win 64%
Sharpe 1.21 | Sortino 2.14 | Calmar 1.0
Vol 25% | MDD -31.7%
Months 36M (11%)
CAGR -12.1% | Win 46%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.2
Vol 37% | MDD -75.0%
Months 57M (17%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
RSI
only
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 62%
Sharpe 0.86 | Sortino 1.36 | Calmar 0.7
Vol 15% | MDD -18.5%
Months 192M (58%)
CAGR 14.7% | Win 63%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.5
Vol 25% | MDD -27.8%
Months 43M (13%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 23.6% | Win 59%
Sharpe 1.02 | Sortino 1.64 | Calmar 5.3
Vol 23% | MDD -4.4%
Months 17M (5%)
CAGR -1.5% | Win 51%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 35% | MDD -74.5%
Months 76M (23%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
MACDhist
only
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.83 | Sortino 1.30 | Calmar 0.6
Vol 15% | MDD -20.3%
Months 176M (54%)
CAGR 16.4% | Win 66%
Sharpe 0.76 | Sortino 1.17 | Calmar 0.6
Vol 24% | MDD -27.6%
Months 59M (18%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 19.5% | Win 50%
Sharpe 0.69 | Sortino 1.13 | Calmar 1.1
Vol 33% | MDD -18.3%
Months 12M (4%)
CAGR 0.4% | Win 53%
Sharpe 0.18 | Sortino 0.29 | Calmar 0.0
Vol 33% | MDD -71.8%
Months 81M (25%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.2% | Win 61%
Sharpe 0.70 | Sortino 1.05 | Calmar 0.4
Vol 17% | MDD -30.5%
Months 226M (69%)
CAGR 64.3% | Win 89%
Sharpe 4.21 | Sortino 0.00 | Calmar 540.0
Vol 12% | MDD -0.1%
Months 9M (3%)
CAGR 12.9% | Win 62%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 17% | MDD -25.5%
Months 235M (72%)
MRmean
neg
CAGR 28.8% | Win 61%
Sharpe 1.06 | Sortino 1.66 | Calmar 0.9
Vol 28% | MDD -32.5%
Months 51M (16%)
CAGR -22.0% | Win 43%
Sharpe -0.46 | Sortino -0.81 | Calmar -0.3
Vol 38% | MDD -65.4%
Months 42M (13%)
CAGR 2.7% | Win 53%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.0
Vol 33% | MDD -74.5%
Months 93M (28%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 60%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 211M (64%)
CAGR 21.1% | Win 60%
Sharpe 1.25 | Sortino 38.18 | Calmar 7.7
Vol 16% | MDD -2.8%
Months 5M (2%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 4.0% | Win 57%
Sharpe 0.28 | Sortino 0.44 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 100M (30%)
CAGR 65.1% | Win 75%
Sharpe 2.10 | Sortino 2.96 | Calmar 6.6
Vol 26% | MDD -9.9%
Months 12M (4%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
RSmean
only
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 60%
Sharpe 0.76 | Sortino 1.17 | Calmar 0.4
Vol 16% | MDD -28.6%
Months 179M (55%)
CAGR 5.1% | Win 60%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.1
Vol 25% | MDD -38.2%
Months 37M (11%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 22.6% | Win 67%
Sharpe 0.92 | Sortino 1.20 | Calmar 1.5
Vol 26% | MDD -14.9%
Months 60M (18%)
CAGR -4.2% | Win 50%
Sharpe 0.05 | Sortino 0.10 | Calmar -0.1
Vol 36% | MDD -65.3%
Months 52M (16%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
MACD
only
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 58%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 17% | MDD -49.1%
Months 201M (61%)
CAGR 48.4% | Win 80%
Sharpe 1.86 | Sortino 1.81 | Calmar 3.7
Vol 23% | MDD -13.2%
Months 15M (5%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 36.0% | Win 71%
Sharpe 1.45 | Sortino 2.59 | Calmar 1.5
Vol 23% | MDD -23.4%
Months 58M (18%)
CAGR -13.5% | Win 46%
Sharpe -0.21 | Sortino -0.35 | Calmar -0.2
Vol 36% | MDD -73.5%
Months 54M (16%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
RSI
only
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 60%
Sharpe 0.79 | Sortino 1.19 | Calmar 0.5
Vol 15% | MDD -22.9%
Months 172M (52%)
CAGR 5.4% | Win 57%
Sharpe 0.33 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -38.2%
Months 44M (13%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 22.5% | Win 68%
Sharpe 1.20 | Sortino 2.55 | Calmar 1.9
Vol 18% | MDD -12.1%
Months 37M (11%)
CAGR 3.3% | Win 55%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.0
Vol 36% | MDD -78.4%
Months 75M (23%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
MACDhist
only
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 60%
Sharpe 0.75 | Sortino 1.15 | Calmar 0.5
Vol 16% | MDD -22.9%
Months 176M (54%)
CAGR 6.6% | Win 60%
Sharpe 0.38 | Sortino 0.57 | Calmar 0.2
Vol 25% | MDD -39.3%
Months 40M (12%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 31.3% | Win 67%
Sharpe 1.21 | Sortino 1.54 | Calmar 1.9
Vol 25% | MDD -16.9%
Months 12M (4%)
CAGR 6.9% | Win 58%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 32% | MDD -70.2%
Months 100M (30%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 58%
Sharpe 0.54 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -39.2%
Months 200M (61%)
CAGR 42.9% | Win 75%
Sharpe 1.54 | Sortino 1.91 | Calmar 3.2
Vol 26% | MDD -13.2%
Months 16M (5%)
CAGR 10.2% | Win 60%
Sharpe 0.64 | Sortino 0.93 | Calmar 0.3
Vol 18% | MDD -38.2%
Months 216M (66%)
SLmean
neg
CAGR 32.4% | Win 68%
Sharpe 1.24 | Sortino 1.96 | Calmar 1.0
Vol 26% | MDD -32.5%
Months 77M (24%)
CAGR -28.3% | Win 40%
Sharpe -0.67 | Sortino -1.16 | Calmar -0.4
Vol 38% | MDD -64.8%
Months 35M (11%)
CAGR 9.3% | Win 59%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.1
Vol 31% | MDD -73.9%
Months 112M (34%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 13.8% | Win 62%
Sharpe 0.79 | Sortino 1.10 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 235M (72%)
CAGR -8.2% | Win 50%
Sharpe -0.11 | Sortino -0.18 | Calmar -0.1
Vol 32% | MDD -74.0%
Months 76M (23%)
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
RSmean
neg
CAGR 24.5% | Win 50%
Sharpe 1.26 | Sortino 43.80 | Calmar 16.3
Vol 19% | MDD -1.5%
Months 4M (1%)
CAGR 59.9% | Win 77%
Sharpe 2.02 | Sortino 2.77 | Calmar 6.0
Vol 25% | MDD -9.9%
Months 13M (4%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
MACD
only
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 12.0% | Win 61%
Sharpe 0.71 | Sortino 1.10 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 244M (74%)
CAGR -5.5% | Win 52%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 34% | MDD -68.3%
Months 67M (20%)
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
RSmean
neg
CAGR 40.7% | Win 67%
Sharpe 1.68 | Sortino 2.68 | Calmar 14.8
Vol 22% | MDD -2.8%
Months 15M (5%)
CAGR 152.7% | Win 100%
Sharpe 2.67 | Sortino 0.00 | Calmar 0.0
Vol 37% | MDD 0.0%
Months 2M (1%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
RSI
only
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.5% | Win 62%
Sharpe 0.88 | Sortino 1.41 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 207M (63%)
CAGR -2.2% | Win 53%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 33% | MDD -81.2%
Months 104M (32%)
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
RSmean
neg
CAGR -3.5% | Win 50%
Sharpe -0.72 | Sortino 0.00 | Calmar -2.7
Vol 5% | MDD -1.3%
Months 2M (1%)
CAGR 60.0% | Win 73%
Sharpe 2.08 | Sortino 3.27 | Calmar 6.1
Vol 24% | MDD -9.9%
Months 15M (5%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
MACDhist
only
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.0% | Win 60%
Sharpe 0.74 | Sortino 1.09 | Calmar 0.4
Vol 16% | MDD -25.8%
Months 183M (56%)
CAGR 3.9% | Win 57%
Sharpe 0.28 | Sortino 0.44 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 128M (39%)
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
RSmean
neg
CAGR 68.0% | Win 60%
Sharpe 2.11 | Sortino 104.43 | Calmar 24.6
Vol 26% | MDD -2.8%
Months 5M (2%)
CAGR 44.1% | Win 75%
Sharpe 1.71 | Sortino 2.16 | Calmar 4.4
Vol 23% | MDD -9.9%
Months 12M (4%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 60%
Sharpe 0.69 | Sortino 1.04 | Calmar 0.3
Vol 19% | MDD -48.3%
Months 261M (80%)
CAGR -11.4% | Win 50%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.2
Vol 36% | MDD -62.4%
Months 50M (15%)
CAGR 8.0% | Win 59%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -80.5%
Months 311M (95%)
RSmean
neg
CAGR 53.9% | Win 69%
Sharpe 1.94 | Sortino 3.38 | Calmar 5.4
Vol 24% | MDD -9.9%
Months 16M (5%)
CAGR 8.7% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 50.8% | Win 71%
Sharpe 1.89 | Sortino 3.22 | Calmar 5.1
Vol 23% | MDD -9.9%
Months 17M (5%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 15.0% | Win 62%
Sharpe 0.89 | Sortino 1.43 | Calmar 0.3
Vol 18% | MDD -44.3%
Months 223M (68%)
CAGR 1.5% | Win 56%
Sharpe 0.21 | Sortino 0.23 | Calmar 0.1
Vol 33% | MDD -13.1%
Months 16M (5%)
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
MACD
neg
CAGR 5.0% | Win 56%
Sharpe 0.32 | Sortino 0.52 | Calmar 0.1
Vol 26% | MDD -33.7%
Months 36M (11%)
CAGR -4.0% | Win 53%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.1
Vol 35% | MDD -64.0%
Months 53M (16%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
RSI
only
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 13.5% | Win 61%
Sharpe 0.90 | Sortino 1.48 | Calmar 0.7
Vol 16% | MDD -19.4%
Months 176M (54%)
CAGR 15.3% | Win 62%
Sharpe 0.68 | Sortino 0.91 | Calmar 0.6
Vol 26% | MDD -25.3%
Months 63M (19%)
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
MACD
neg
CAGR 12.3% | Win 64%
Sharpe 0.75 | Sortino 1.06 | Calmar 1.0
Vol 18% | MDD -12.6%
Months 33M (10%)
CAGR -7.3% | Win 48%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 37% | MDD -74.0%
Months 56M (17%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
MACDhist
only
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.5% | Win 60%
Sharpe 0.85 | Sortino 1.31 | Calmar 0.6
Vol 14% | MDD -18.1%
Months 148M (45%)
CAGR 18.1% | Win 64%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.7
Vol 25% | MDD -26.2%
Months 91M (28%)
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
MACD
neg
CAGR 14.7% | Win 60%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 40M (12%)
CAGR -11.3% | Win 49%
Sharpe -0.14 | Sortino -0.27 | Calmar -0.2
Vol 37% | MDD -66.9%
Months 49M (15%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 15.2% | Win 61%
Sharpe 0.90 | Sortino 1.49 | Calmar 0.5
Vol 18% | MDD -31.2%
Months 228M (70%)
CAGR -7.6% | Win 64%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.6
Vol 38% | MDD -12.5%
Months 11M (3%)
CAGR 14.0% | Win 62%
Sharpe 0.80 | Sortino 1.12 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 239M (73%)
MACD
neg
CAGR 10.0% | Win 59%
Sharpe 0.48 | Sortino 0.73 | Calmar 0.2
Vol 28% | MDD -48.3%
Months 49M (15%)
CAGR -11.9% | Win 48%
Sharpe -0.19 | Sortino -0.35 | Calmar -0.2
Vol 35% | MDD -58.9%
Months 40M (12%)
CAGR -0.5% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 32% | MDD -74.0%
Months 89M (27%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.4% | Win 61%
Sharpe 0.83 | Sortino 1.38 | Calmar 0.7
Vol 16% | MDD -18.5%
Months 188M (57%)
CAGR 16.5% | Win 61%
Sharpe 0.73 | Sortino 1.19 | Calmar 0.4
Vol 26% | MDD -39.5%
Months 71M (22%)
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
RSI
neg
CAGR 22.0% | Win 67%
Sharpe 1.19 | Sortino 1.42 | Calmar 5.0
Vol 18% | MDD -4.4%
Months 21M (6%)
CAGR -11.9% | Win 48%
Sharpe -0.13 | Sortino -0.22 | Calmar -0.2
Vol 39% | MDD -74.0%
Months 48M (15%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
MACDhist
only
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.4% | Win 60%
Sharpe 0.78 | Sortino 1.27 | Calmar 0.6
Vol 15% | MDD -20.2%
Months 168M (51%)
CAGR 17.6% | Win 64%
Sharpe 0.80 | Sortino 1.30 | Calmar 0.4
Vol 24% | MDD -40.3%
Months 91M (28%)
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
RSI
neg
CAGR 19.5% | Win 65%
Sharpe 0.87 | Sortino 1.06 | Calmar 1.2
Vol 24% | MDD -16.4%
Months 20M (6%)
CAGR -10.6% | Win 49%
Sharpe -0.10 | Sortino -0.18 | Calmar -0.1
Vol 38% | MDD -70.8%
Months 49M (15%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 61%
Sharpe 0.75 | Sortino 1.18 | Calmar 0.3
Vol 19% | MDD -39.4%
Months 252M (77%)
CAGR 33.2% | Win 71%
Sharpe 1.41 | Sortino 1.57 | Calmar 4.0
Vol 22% | MDD -8.2%
Months 7M (2%)
CAGR 13.5% | Win 61%
Sharpe 0.77 | Sortino 1.21 | Calmar 0.3
Vol 19% | MDD -44.3%
Months 259M (79%)
RSI
neg
CAGR 27.3% | Win 64%
Sharpe 1.00 | Sortino 1.30 | Calmar 1.0
Vol 28% | MDD -28.4%
Months 25M (8%)
CAGR -16.5% | Win 48%
Sharpe -0.30 | Sortino -0.51 | Calmar -0.3
Vol 37% | MDD -62.1%
Months 44M (13%)
CAGR -2.8% | Win 54%
Sharpe 0.09 | Sortino 0.14 | Calmar -0.0
Vol 34% | MDD -72.9%
Months 69M (21%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.9% | Win 61%
Sharpe 0.86 | Sortino 1.30 | Calmar 0.8
Vol 14% | MDD -15.7%
Months 163M (50%)
CAGR 18.6% | Win 65%
Sharpe 0.94 | Sortino 1.78 | Calmar 1.1
Vol 20% | MDD -17.5%
Months 46M (14%)
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
MACDhist
neg
CAGR 14.3% | Win 56%
Sharpe 0.64 | Sortino 1.13 | Calmar 0.6
Vol 26% | MDD -23.6%
Months 25M (8%)
CAGR 1.5% | Win 55%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.0
Vol 33% | MDD -78.1%
Months 94M (29%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.5% | Win 62%
Sharpe 0.90 | Sortino 1.50 | Calmar 0.7
Vol 16% | MDD -18.8%
Months 200M (61%)
CAGR 8.7% | Win 67%
Sharpe 0.47 | Sortino 0.48 | Calmar 2.6
Vol 23% | MDD -3.4%
Months 9M (3%)
CAGR 13.3% | Win 62%
Sharpe 0.87 | Sortino 1.39 | Calmar 0.8
Vol 16% | MDD -17.7%
Months 209M (64%)
MACDhist
neg
CAGR 16.1% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.3
Vol 28% | MDD -48.3%
Months 77M (24%)
CAGR -14.7% | Win 48%
Sharpe -0.23 | Sortino -0.40 | Calmar -0.2
Vol 38% | MDD -62.2%
Months 42M (13%)
CAGR 4.1% | Win 56%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -81.2%
Months 119M (36%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 11.5% | Win 60%
Sharpe 0.80 | Sortino 1.29 | Calmar 0.7
Vol 15% | MDD -17.4%
Months 170M (52%)
CAGR 18.8% | Win 61%
Sharpe 0.81 | Sortino 1.02 | Calmar 1.1
Vol 25% | MDD -16.4%
Months 18M (6%)
CAGR 12.2% | Win 60%
Sharpe 0.79 | Sortino 1.21 | Calmar 0.5
Vol 16% | MDD -25.8%
Months 188M (57%)
RSIhist
neg
CAGR 18.7% | Win 63%
Sharpe 0.81 | Sortino 1.25 | Calmar 0.4
Vol 25% | MDD -44.6%
Months 107M (33%)
CAGR -24.0% | Win 46%
Sharpe -0.48 | Sortino -0.93 | Calmar -0.4
Vol 40% | MDD -61.2%
Months 33M (10%)
CAGR 6.8% | Win 59%
Sharpe 0.37 | Sortino 0.58 | Calmar 0.1
Vol 30% | MDD -77.3%
Months 140M (43%)
LWTI
only
CAGR 14.2% | Win 61%
Sharpe 0.78 | Sortino 1.18 | Calmar 0.3
Vol 20% | MDD -48.3%
Months 277M (84%)
CAGR -11.0% | Win 51%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.2
Vol 36% | MDD -62.1%
Months 51M (16%)