XLP - State Street Cons Staples Sel Sec SPDR Inc ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

64.1%

Best CAGR

95

Total Months

9.9%

Avg CAGR

XLP 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 XLP

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist RSmean neg-pos 3 0.9 64.1 100.0 11.2 0.0 0.0 4.5 0.0
pair RSmean MACDhist neg-pos 3 0.9 64.1 100.0 11.2 0.0 0.0 4.5 0.0
pair LWTI RSmean neg-neg 2 0.6 46.9 100.0 6.9 0.0 0.0 5.7 0.0
pair RSmean LWTI neg-neg 2 0.6 46.9 100.0 6.9 0.0 0.0 5.7 0.0
pair SLmean RSI pos-neg 11 3.3 36.7 72.7 3.0 16.6 30.1 10.6 -1.2
pair RSI SLmean pos-neg 11 3.3 36.7 72.7 3.0 16.6 30.1 10.6 -1.2
pair MACDhist SLmean neg-pos 29 8.7 29.9 72.4 2.2 4.8 5.4 12.4 -5.5
pair SLmean MACDhist neg-pos 29 8.7 29.9 72.4 2.2 4.8 5.4 12.4 -5.5
pair MRmean SLmean neg-pos 10 3.0 28.3 80.0 2.4 10.8 7.8 10.7 -3.6
pair SLmean MRmean neg-pos 10 3.0 28.3 80.0 2.4 10.8 7.8 10.7 -3.6
pair RSmean SLmean pos-neg 10 3.0 27.7 70.0 2.6 7.5 10.2 9.7 -2.7
pair SLmean RSmean pos-neg 10 3.0 27.7 70.0 2.6 7.5 10.2 9.7 -2.7
pair RSI MRmean pos-neg 7 2.1 27.5 57.1 2.6 12.9 22.5 9.6 -1.2
pair MRmean RSI pos-neg 7 2.1 27.5 57.1 2.6 12.9 22.5 9.6 -1.2
pair MACDhist RSI neg-pos 2 0.6 27.3 50.0 2.1 0.0 0.0 12.1 0.0
pair RSI MACDhist neg-pos 2 0.6 27.3 50.0 2.1 0.0 0.0 12.1 0.0
pair RSIhist RSmean neg-pos 8 2.4 27.2 75.0 1.4 2.3 3.8 17.9 -7.3
pair RSmean RSIhist neg-pos 8 2.4 27.2 75.0 1.4 2.3 3.8 17.9 -7.3
pair MACD SLmean pos-neg 26 7.8 26.0 73.1 2.1 2.4 3.6 11.5 -7.3
pair SLmean MACD pos-neg 26 7.8 26.0 73.1 2.1 2.4 3.6 11.5 -7.3
pair LWTI RSIhist pos-neg 21 6.3 25.1 71.4 2.3 5.1 5.2 10.0 -4.8
pair RSIhist LWTI pos-neg 21 6.3 25.1 71.4 2.3 5.1 5.2 10.0 -4.8
pair MACD MACDhist neg-pos 10 3.0 25.0 70.0 3.1 63.0 100.7 7.2 -0.2
pair MACDhist MACD neg-pos 10 3.0 25.0 70.0 3.1 63.0 100.7 7.2 -0.2
pair SLmean LWTI pos-neg 19 5.7 24.5 73.7 2.3 4.6 5.1 10.0 -4.8
pair LWTI SLmean pos-neg 19 5.7 24.5 73.7 2.3 4.6 5.1 10.0 -4.8
pair MACDhist LWTI pos-neg 4 1.2 23.6 75.0 3.1 0.0 59.6 7.0 -0.4
pair LWTI MACDhist pos-neg 4 1.2 23.6 75.0 3.1 0.0 59.6 7.0 -0.4
pair RSIhist MACDhist pos-neg 55 16.5 22.8 70.9 1.9 4.6 4.1 11.0 -5.5
pair MACDhist RSIhist pos-neg 55 16.5 22.8 70.9 1.9 4.6 4.1 11.0 -5.5
pair SLmean MRmean pos-neg 36 10.8 22.7 69.4 1.4 1.8 1.5 15.0 -14.8
pair MRmean SLmean pos-neg 36 10.8 22.7 69.4 1.4 1.8 1.5 15.0 -14.8
pair MRmean MACD pos-neg 22 6.6 21.4 68.2 1.8 2.1 2.9 11.2 -7.4
pair MACD MRmean pos-neg 22 6.6 21.4 68.2 1.8 2.1 2.9 11.2 -7.4
pair RSmean RSI neg-pos 17 5.1 19.0 64.7 1.7 3.1 3.8 10.5 -5.0
pair RSI RSmean neg-pos 17 5.1 19.0 64.7 1.7 3.1 3.8 10.5 -5.0
pair RSI MACD neg-pos 15 4.5 18.7 73.3 1.5 1.5 2.6 12.2 -7.3
pair MACD RSI neg-pos 15 4.5 18.7 73.3 1.5 1.5 2.6 12.2 -7.3
pair MACD RSmean neg-pos 17 5.1 18.5 64.7 1.7 3.1 3.7 10.3 -5.0
pair RSmean MACD neg-pos 17 5.1 18.5 64.7 1.7 3.1 3.7 10.3 -5.0
pair MACD RSIhist neg-pos 32 9.6 18.5 71.9 1.2 1.2 1.1 15.3 -17.4
pair RSIhist MACD neg-pos 32 9.6 18.5 71.9 1.2 1.2 1.1 15.3 -17.4
pair RSI RSIhist neg-pos 17 5.1 18.3 70.6 1.0 1.0 1.1 18.1 -17.4
pair RSIhist RSI neg-pos 17 5.1 18.3 70.6 1.0 1.0 1.1 18.1 -17.4
pair SLmean RSI neg-pos 61 18.3 18.0 65.6 1.2 1.7 1.2 14.7 -14.8
pair RSI SLmean neg-pos 61 18.3 18.0 65.6 1.2 1.7 1.2 14.7 -14.8
pair MRmean RSIhist pos-neg 80 24.0 17.9 65.0 1.4 2.0 1.0 12.4 -18.5
pair RSIhist MRmean pos-neg 80 24.0 17.9 65.0 1.4 2.0 1.0 12.4 -18.5
pair MACD SLmean neg-pos 75 22.5 17.5 65.3 1.1 1.6 0.8 15.3 -21.1
pair SLmean MACD neg-pos 75 22.5 17.5 65.3 1.1 1.6 0.8 15.3 -21.1
pair MRmean LWTI pos-neg 15 4.5 17.5 66.7 1.9 3.4 3.6 8.9 -4.8
pair LWTI MRmean pos-neg 15 4.5 17.5 66.7 1.9 3.4 3.6 8.9 -4.8
pair MRmean RSmean pos-neg 13 3.9 16.8 53.8 1.3 2.8 2.7 12.2 -6.2
pair RSmean MRmean pos-neg 13 3.9 16.8 53.8 1.3 2.8 2.7 12.2 -6.2
pair RSI RSIhist pos-neg 110 32.9 16.4 64.5 1.3 1.9 1.0 12.7 -16.6
pair RSIhist RSI pos-neg 110 32.9 16.4 64.5 1.3 1.9 1.0 12.7 -16.6
pair MACD RSIhist pos-neg 124 37.1 16.3 64.5 1.2 1.7 0.7 13.3 -22.7
pair RSIhist MACD pos-neg 124 37.1 16.3 64.5 1.2 1.7 0.7 13.3 -22.7
pair MACD LWTI neg-neg 29 8.7 16.0 69.0 1.2 1.6 1.3 13.7 -12.5
pair LWTI MACD neg-neg 29 8.7 16.0 69.0 1.2 1.6 1.3 13.7 -12.5
pair RSI MACD pos-neg 14 4.2 15.4 64.3 0.9 1.1 0.8 18.3 -18.1
pair MACD RSI pos-neg 14 4.2 15.4 64.3 0.9 1.1 0.8 18.3 -18.1
pair LWTI RSI neg-neg 27 8.1 14.5 66.7 1.0 1.4 1.0 15.0 -14.7
pair RSI LWTI neg-neg 27 8.1 14.5 66.7 1.0 1.4 1.0 15.0 -14.7
pair RSIhist RSmean pos-neg 126 37.7 13.9 64.3 1.0 1.4 0.4 13.9 -31.6
pair RSmean RSIhist pos-neg 126 37.7 13.9 64.3 1.0 1.4 0.4 13.9 -31.6
pair SLmean RSIhist pos-neg 51 15.3 13.8 62.7 1.4 3.0 1.7 9.4 -8.0
pair RSIhist SLmean pos-neg 51 15.3 13.8 62.7 1.4 3.0 1.7 9.4 -8.0
pair LWTI RSIhist neg-pos 133 39.8 13.5 61.7 1.0 1.5 0.6 13.3 -23.6
pair RSIhist LWTI neg-pos 133 39.8 13.5 61.7 1.0 1.5 0.6 13.3 -23.6
pair MACDhist SLmean pos-neg 65 19.5 13.3 66.2 1.1 1.6 0.7 11.9 -19.0
pair SLmean MACDhist pos-neg 65 19.5 13.3 66.2 1.1 1.6 0.7 11.9 -19.0
single LWTI LWTI neg-neg 37 11.1 13.1 67.6 1.0 1.4 0.9 13.3 -14.7
pair MRmean MACD neg-pos 45 13.5 12.9 62.2 0.9 1.3 1.1 14.9 -11.2
pair MACD MRmean neg-pos 45 13.5 12.9 62.2 0.9 1.3 1.1 14.9 -11.2
pair RSmean SLmean neg-pos 85 25.4 12.1 64.7 0.8 1.1 0.4 16.2 -28.8
pair SLmean RSmean neg-pos 85 25.4 12.1 64.7 0.8 1.1 0.4 16.2 -28.8
pair MACDhist LWTI neg-neg 33 9.9 11.9 66.7 0.9 1.3 0.7 13.9 -17.4
pair LWTI MACDhist neg-neg 33 9.9 11.9 66.7 0.9 1.3 0.7 13.9 -17.4
pair RSI MRmean neg-pos 31 9.3 11.8 61.3 0.9 1.4 1.3 13.4 -8.9
single RSIhist RSIhist neg-neg 149 44.6 11.8 61.7 0.9 1.3 0.4 13.6 -29.6
pair MRmean RSI neg-pos 31 9.3 11.8 61.3 0.9 1.4 1.3 13.4 -8.9
pair RSmean LWTI pos-neg 35 10.5 11.4 65.7 0.9 1.2 0.8 13.5 -14.9
pair LWTI RSmean pos-neg 35 10.5 11.4 65.7 0.9 1.2 0.8 13.5 -14.9
pair SLmean LWTI neg-pos 88 26.3 10.9 61.4 0.7 1.0 0.4 16.1 -30.3
pair LWTI SLmean neg-pos 88 26.3 10.9 61.4 0.7 1.0 0.4 16.1 -30.3
pair RSIhist SLmean neg-neg 98 29.3 10.8 61.2 0.7 1.1 0.4 15.4 -27.5
pair SLmean RSIhist neg-neg 98 29.3 10.8 61.2 0.7 1.1 0.4 15.4 -27.5
pair MRmean RSIhist neg-pos 11 3.3 10.2 72.7 0.6 0.6 0.6 21.6 -17.4
pair RSIhist MRmean neg-pos 11 3.3 10.2 72.7 0.6 0.6 0.6 21.6 -17.4
pair LWTI MRmean neg-neg 22 6.6 10.1 68.2 0.7 1.1 0.6 15.8 -18.1
pair MRmean LWTI neg-neg 22 6.6 10.1 68.2 0.7 1.1 0.6 15.8 -18.1
pair RSIhist MACDhist neg-pos 48 14.4 10.1 70.8 0.7 0.9 0.6 15.0 -17.4
pair MACDhist RSIhist neg-pos 48 14.4 10.1 70.8 0.7 0.9 0.6 15.0 -17.4
pair MACD RSmean pos-neg 43 12.9 9.9 67.4 0.7 0.9 0.5 14.6 -21.3
pair RSmean MACD pos-neg 43 12.9 9.9 67.4 0.7 0.9 0.5 14.6 -21.3
pair MACD MACDhist pos-neg 95 28.4 9.7 62.1 0.7 1.0 0.4 14.1 -26.4
pair MACDhist MACD pos-neg 95 28.4 9.7 62.1 0.7 1.0 0.4 14.1 -26.4
pair RSI LWTI pos-neg 10 3.0 9.4 70.0 1.2 1.8 3.6 7.5 -2.6
pair LWTI RSI pos-neg 10 3.0 9.4 70.0 1.2 1.8 3.6 7.5 -2.6
single SLmean SLmean neg-neg 106 31.7 9.3 61.3 0.6 0.9 0.3 16.0 -31.0
pair MACDhist RSI pos-neg 88 26.3 9.0 62.5 0.7 1.0 0.4 13.6 -24.7
pair RSI MACDhist pos-neg 88 26.3 9.0 62.5 0.7 1.0 0.4 13.6 -24.7
pair RSI RSmean pos-neg 42 12.6 8.8 64.3 0.6 0.8 0.3 16.6 -25.2
pair RSmean RSI pos-neg 42 12.6 8.8 64.3 0.6 0.8 0.3 16.6 -25.2
pair RSmean MACDhist pos-neg 114 34.1 8.4 64.0 0.6 0.8 0.2 15.1 -44.0
pair MACDhist RSmean pos-neg 114 34.1 8.4 64.0 0.6 0.8 0.2 15.1 -44.0
pair MACDhist MRmean pos-neg 69 20.7 8.1 62.3 0.7 0.8 0.4 13.2 -22.9
pair MRmean MACDhist pos-neg 69 20.7 8.1 62.3 0.7 0.8 0.4 13.2 -22.9
single RSmean RSmean neg-neg 31 9.3 7.4 54.8 0.6 0.9 0.5 13.7 -14.4
pair MRmean RSmean neg-pos 62 18.6 7.3 61.3 0.5 0.7 0.3 16.2 -28.5
single MACDhist MACDhist neg-neg 142 42.5 7.3 61.3 0.6 0.8 0.2 14.8 -40.6
pair RSmean MRmean neg-pos 62 18.6 7.3 61.3 0.5 0.7 0.3 16.2 -28.5
single RSI RSI pos-pos 278 83.2 7.2 58.6 0.7 1.0 0.4 11.7 -19.4
single MRmean MRmean pos-pos 254 76.0 7.2 58.3 0.7 0.9 0.4 11.4 -17.4
pair LWTI RSI pos-pos 268 80.2 7.1 58.2 0.6 0.9 0.3 11.8 -20.3
pair LWTI MACD pos-pos 269 80.5 7.1 58.0 0.6 0.9 0.3 12.0 -24.0
pair MACD LWTI pos-pos 269 80.5 7.1 58.0 0.6 0.9 0.3 12.0 -24.0
pair RSI LWTI pos-pos 268 80.2 7.1 58.2 0.6 0.9 0.3 11.8 -20.3
single MACD MACD pos-pos 277 82.9 7.0 58.1 0.6 0.9 0.3 12.0 -24.0
pair benchmark___benchmark_ benchmark-benchmark 334 100.0 6.9 58.7 0.6 0.8 0.2 12.6 -32.6
pair benchmark___benchmark_ benchmark-benchmark 334 100.0 6.9 58.7 0.6 0.8 0.2 12.6 -32.6
pair MRmean MACDhist pos-pos 185 55.4 6.8 56.8 0.7 1.0 0.3 10.7 -21.5
pair MACDhist MRmean pos-pos 185 55.4 6.8 56.8 0.7 1.0 0.3 10.7 -21.5
single RSmean RSmean pos-pos 303 90.7 6.8 59.1 0.6 0.8 0.2 12.5 -33.9
pair MRmean RSmean pos-pos 241 72.2 6.7 58.5 0.6 0.9 0.4 11.4 -18.5
pair RSmean MRmean pos-pos 241 72.2 6.7 58.5 0.6 0.9 0.4 11.4 -18.5
pair MRmean RSI pos-pos 247 74.0 6.6 58.3 0.6 0.9 0.4 11.5 -17.4
pair RSI MACD pos-pos 263 78.7 6.6 57.8 0.6 0.9 0.3 11.6 -18.6
pair MACD RSI pos-pos 263 78.7 6.6 57.8 0.6 0.9 0.3 11.6 -18.6
pair RSI MRmean pos-pos 247 74.0 6.6 58.3 0.6 0.9 0.4 11.5 -17.4
pair MACDhist MRmean neg-neg 73 21.9 6.5 60.3 0.5 0.7 0.2 16.3 -30.3
pair MRmean LWTI pos-pos 239 71.6 6.5 57.7 0.6 0.9 0.4 11.6 -17.4
pair LWTI MRmean pos-pos 239 71.6 6.5 57.7 0.6 0.9 0.4 11.6 -17.4
pair MRmean MACDhist neg-neg 73 21.9 6.5 60.3 0.5 0.7 0.2 16.3 -30.3
pair RSI RSmean pos-pos 261 78.1 6.5 58.2 0.6 0.9 0.3 11.7 -22.6
pair RSmean RSI pos-pos 261 78.1 6.5 58.2 0.6 0.9 0.3 11.7 -22.6
single MACDhist MACDhist pos-pos 192 57.5 6.5 56.8 0.7 1.0 0.3 10.7 -24.5
pair MACDhist RSI pos-pos 190 56.9 6.3 56.8 0.6 1.0 0.3 10.7 -24.5
pair RSI MACDhist pos-pos 190 56.9 6.3 56.8 0.6 1.0 0.3 10.7 -24.5
pair MACD RSmean pos-pos 260 77.8 6.3 57.7 0.6 0.8 0.2 12.1 -26.8
pair RSmean MACD pos-pos 260 77.8 6.3 57.7 0.6 0.8 0.2 12.1 -26.8
pair MACDhist LWTI pos-pos 188 56.3 6.2 56.4 0.6 0.9 0.2 10.7 -24.5
pair LWTI MACDhist pos-pos 188 56.3 6.2 56.4 0.6 0.9 0.2 10.7 -24.5
pair RSmean LWTI pos-pos 268 80.2 6.2 58.2 0.6 0.8 0.2 12.4 -28.8
pair LWTI RSmean pos-pos 268 80.2 6.2 58.2 0.6 0.8 0.2 12.4 -28.8
single MACD MACD neg-neg 57 17.1 6.1 61.4 0.5 0.6 0.3 15.1 -22.6
single LWTI LWTI pos-pos 297 88.9 6.1 57.6 0.5 0.8 0.2 12.5 -33.7
single MRmean MRmean neg-neg 80 24.0 5.9 60.0 0.4 0.6 0.2 15.8 -27.5
pair MACDhist LWTI neg-pos 109 32.6 5.9 59.6 0.5 0.6 0.2 15.1 -36.7
pair MRmean MACD pos-pos 232 69.5 5.9 57.3 0.6 0.8 0.3 11.4 -19.7
pair MACD MRmean pos-pos 232 69.5 5.9 57.3 0.6 0.8 0.3 11.4 -19.7
pair LWTI MACDhist neg-pos 109 32.6 5.9 59.6 0.5 0.6 0.2 15.1 -36.7
pair RSmean MACDhist pos-pos 189 56.6 5.8 56.1 0.6 0.9 0.2 10.6 -24.5
pair MACDhist RSmean pos-pos 189 56.6 5.8 56.1 0.6 0.9 0.2 10.6 -24.5
pair MACDhist RSIhist neg-neg 94 28.1 5.8 56.4 0.5 0.6 0.1 14.8 -39.2
pair RSIhist MACDhist neg-neg 94 28.1 5.8 56.4 0.5 0.6 0.1 14.8 -39.2
single SLmean SLmean pos-pos 228 68.3 5.7 57.5 0.6 0.8 0.3 10.7 -17.4
pair MACD MACDhist pos-pos 182 54.5 5.6 56.0 0.6 0.9 0.2 10.8 -24.5
pair MACDhist MACD pos-pos 182 54.5 5.6 56.0 0.6 0.9 0.2 10.8 -24.5
pair MRmean RSIhist neg-neg 69 20.7 5.2 58.0 0.4 0.6 0.2 14.9 -28.5
pair RSIhist MRmean neg-neg 69 20.7 5.2 58.0 0.4 0.6 0.2 14.9 -28.5
pair LWTI RSmean neg-pos 29 8.7 5.2 51.7 0.4 0.7 0.4 13.9 -14.4
pair RSmean LWTI neg-pos 29 8.7 5.2 51.7 0.4 0.7 0.4 13.9 -14.4
single RSI RSI neg-neg 56 16.8 5.2 58.9 0.4 0.5 0.2 16.5 -25.2
pair SLmean RSmean pos-pos 218 65.3 4.8 56.9 0.5 0.7 0.2 10.7 -19.3
pair RSmean SLmean pos-pos 218 65.3 4.8 56.9 0.5 0.7 0.2 10.7 -19.3
pair SLmean MRmean pos-pos 218 65.3 4.8 56.4 0.5 0.7 0.3 10.6 -17.5
pair MRmean SLmean pos-pos 218 65.3 4.8 56.4 0.5 0.7 0.3 10.6 -17.5
pair RSI MACDhist neg-neg 54 16.2 4.4 59.3 0.3 0.5 0.2 16.7 -28.1
pair MACDhist RSI neg-neg 54 16.2 4.4 59.3 0.3 0.5 0.2 16.7 -28.1
pair RSI SLmean pos-pos 217 65.0 4.3 56.7 0.5 0.7 0.2 10.6 -17.4
pair SLmean RSI pos-pos 217 65.0 4.3 56.7 0.5 0.7 0.2 10.6 -17.4
pair MRmean LWTI neg-pos 58 17.4 4.3 56.9 0.3 0.5 0.1 15.9 -31.6
pair LWTI MRmean neg-pos 58 17.4 4.3 56.9 0.3 0.5 0.1 15.9 -31.6
pair LWTI SLmean pos-pos 209 62.6 4.2 56.0 0.4 0.6 0.2 10.6 -17.1
pair SLmean LWTI pos-pos 209 62.6 4.2 56.0 0.4 0.6 0.2 10.6 -17.1
pair RSIhist SLmean pos-pos 177 53.0 3.5 55.9 0.4 0.5 0.1 11.0 -27.1
pair SLmean RSIhist pos-pos 177 53.0 3.5 55.9 0.4 0.5 0.1 11.0 -27.1
pair SLmean MACD pos-pos 202 60.5 3.4 55.4 0.4 0.5 0.2 10.4 -13.8
pair MACD SLmean pos-pos 202 60.5 3.4 55.4 0.4 0.5 0.2 10.4 -13.8
pair LWTI MACD pos-neg 8 2.4 3.2 62.5 0.3 0.3 0.5 12.5 -7.2
pair MACD LWTI pos-neg 8 2.4 3.2 62.5 0.3 0.3 0.5 12.5 -7.2
single RSIhist RSIhist pos-pos 185 55.4 3.0 56.2 0.3 0.4 0.1 11.6 -27.1
pair MRmean SLmean neg-neg 70 21.0 3.0 57.1 0.3 0.4 0.1 16.3 -32.3
pair SLmean MRmean neg-neg 70 21.0 3.0 57.1 0.3 0.4 0.1 16.3 -32.3
pair MACDhist SLmean pos-pos 163 48.8 2.8 54.0 0.3 0.5 0.1 10.0 -30.7
pair SLmean MACDhist pos-pos 163 48.8 2.8 54.0 0.3 0.5 0.1 10.0 -30.7
pair MACDhist RSmean neg-neg 28 8.4 2.7 50.0 0.3 0.4 0.2 13.7 -14.4
pair RSmean MACDhist neg-neg 28 8.4 2.7 50.0 0.3 0.4 0.2 13.7 -14.4
pair MRmean RSIhist pos-pos 174 52.1 2.6 55.2 0.3 0.4 0.1 10.8 -27.1
pair RSIhist MRmean pos-pos 174 52.1 2.6 55.2 0.3 0.4 0.1 10.8 -27.1
pair MACD MACDhist neg-neg 47 14.1 2.5 59.6 0.2 0.3 0.1 16.2 -22.6
pair MACDhist MACD neg-neg 47 14.1 2.5 59.6 0.2 0.3 0.1 16.2 -22.6
pair MACDhist SLmean neg-neg 77 23.1 2.5 57.1 0.2 0.3 0.1 16.8 -38.9
pair SLmean MACDhist neg-neg 77 23.1 2.5 57.1 0.2 0.3 0.1 16.8 -38.9
pair RSI MRmean neg-neg 49 14.7 2.3 59.2 0.2 0.3 0.1 17.2 -29.6
pair MRmean RSI neg-neg 49 14.7 2.3 59.2 0.2 0.3 0.1 17.2 -29.6
pair SLmean LWTI neg-neg 18 5.4 2.2 61.1 0.2 0.3 0.1 15.9 -18.9
pair LWTI SLmean neg-neg 18 5.4 2.2 61.1 0.2 0.3 0.1 15.9 -18.9
pair RSI MACD neg-neg 42 12.6 2.0 57.1 0.2 0.3 0.1 16.0 -22.6
pair MACD RSI neg-neg 42 12.6 2.0 57.1 0.2 0.3 0.1 16.0 -22.6
pair RSIhist RSmean pos-pos 177 53.0 2.0 55.4 0.2 0.3 0.1 11.2 -27.8
pair RSmean RSIhist pos-pos 177 53.0 2.0 55.4 0.2 0.3 0.1 11.2 -27.8
pair RSI RSIhist pos-pos 168 50.3 1.6 54.8 0.2 0.3 0.1 10.7 -27.1
pair RSIhist RSI pos-pos 168 50.3 1.6 54.8 0.2 0.3 0.1 10.7 -27.1
pair RSIhist RSmean neg-neg 23 6.9 1.3 47.8 0.2 0.2 0.1 11.9 -14.5
pair RSmean RSIhist neg-neg 23 6.9 1.3 47.8 0.2 0.2 0.1 11.9 -14.5
pair RSmean MRmean neg-neg 18 5.4 1.2 55.6 0.1 0.2 0.1 14.8 -14.4
pair MRmean RSmean neg-neg 18 5.4 1.2 55.6 0.1 0.2 0.1 14.8 -14.4
pair RSIhist MACDhist pos-pos 137 41.0 0.6 51.1 0.1 0.1 0.0 10.1 -38.6
pair MACDhist RSIhist pos-pos 137 41.0 0.6 51.1 0.1 0.1 0.0 10.1 -38.6
pair LWTI RSIhist pos-pos 164 49.1 0.5 54.3 0.1 0.1 0.0 11.6 -30.1
pair RSIhist LWTI pos-pos 164 49.1 0.5 54.3 0.1 0.1 0.0 11.6 -30.1
pair MRmean MACDhist neg-pos 7 2.1 0.1 57.1 0.1 0.1 0.0 10.0 -5.8
pair MACDhist MRmean neg-pos 7 2.1 0.1 57.1 0.1 0.1 0.0 10.0 -5.8
pair MACD RSIhist pos-pos 153 45.8 0.0 52.9 0.1 0.1 0.0 10.5 -27.1
pair RSIhist MACD pos-pos 153 45.8 0.0 52.9 0.1 0.1 0.0 10.5 -27.1
pair RSI RSIhist neg-neg 39 11.7 -0.1 53.8 0.1 0.1 -0.0 15.8 -31.7
pair RSIhist RSI neg-neg 39 11.7 -0.1 53.8 0.1 0.1 -0.0 15.8 -31.7
pair LWTI RSIhist neg-neg 16 4.8 -0.9 62.5 0.0 0.0 -0.1 16.3 -18.9
pair RSIhist LWTI neg-neg 16 4.8 -0.9 62.5 0.0 0.0 -0.1 16.3 -18.9
pair RSmean SLmean neg-neg 21 6.3 -1.0 47.6 0.0 0.0 -0.1 14.9 -14.4
pair SLmean RSmean neg-neg 21 6.3 -1.0 47.6 0.0 0.0 -0.1 14.9 -14.4
pair SLmean RSI neg-neg 45 13.5 -1.4 55.6 0.0 0.0 -0.0 17.3 -34.9
pair RSI SLmean neg-neg 45 13.5 -1.4 55.6 0.0 0.0 -0.0 17.3 -34.9
pair MRmean MACD neg-neg 35 10.5 -2.5 57.1 -0.1 -0.1 -0.1 16.9 -23.1
pair MACD MRmean neg-neg 35 10.5 -2.5 57.1 -0.1 -0.1 -0.1 16.9 -23.1
pair LWTI RSI neg-pos 29 8.7 -2.8 51.7 -0.1 -0.1 -0.1 17.8 -28.2
pair RSI LWTI neg-pos 29 8.7 -2.8 51.7 -0.1 -0.1 -0.1 17.8 -28.2
pair MACD LWTI neg-pos 28 8.4 -3.2 53.6 -0.1 -0.1 -0.1 16.4 -22.6
pair LWTI MACD neg-pos 28 8.4 -3.2 53.6 -0.1 -0.1 -0.1 16.4 -22.6
pair MACD RSmean neg-neg 14 4.2 -4.6 42.9 -0.2 -0.3 -0.3 16.8 -14.4
pair RSmean MACD neg-neg 14 4.2 -4.6 42.9 -0.2 -0.3 -0.3 16.8 -14.4
pair RSmean RSI neg-neg 14 4.2 -5.0 42.9 -0.2 -0.3 -0.3 16.6 -14.4
pair RSI RSmean neg-neg 14 4.2 -5.0 42.9 -0.2 -0.3 -0.3 16.6 -14.4
pair RSIhist SLmean neg-pos 8 2.4 -7.2 62.5 -0.2 -0.3 -0.4 22.7 -17.4
pair SLmean RSIhist neg-pos 8 2.4 -7.2 62.5 -0.2 -0.3 -0.4 22.7 -17.4
pair MACD RSIhist neg-neg 25 7.5 -7.8 48.0 -0.5 -0.7 -0.3 14.1 -25.1
pair RSIhist MACD neg-neg 25 7.5 -7.8 48.0 -0.5 -0.7 -0.3 14.1 -25.1
pair MACD SLmean neg-neg 31 9.3 -8.1 51.6 -0.4 -0.6 -0.3 16.7 -28.7
pair SLmean MACD neg-neg 31 9.3 -8.1 51.6 -0.4 -0.6 -0.3 16.7 -28.7

All Contingency Tables for XLP

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.8% | Win 56%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.3
Vol 11% | MDD -17.5%
Months 218M (65%)
CAGR 22.7% | Win 69%
Sharpe 1.45 | Sortino 1.82 | Calmar 1.5
Vol 15% | MDD -14.8%
Months 36M (11%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 28.3% | Win 80%
Sharpe 2.39 | Sortino 10.76 | Calmar 7.8
Vol 11% | MDD -3.6%
Months 10M (3%)
CAGR 3.0% | Win 57%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 16% | MDD -32.3%
Months 70M (21%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
SLmean
only
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 6.7% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.4
Vol 11% | MDD -18.5%
Months 241M (72%)
CAGR 16.8% | Win 54%
Sharpe 1.34 | Sortino 2.84 | Calmar 2.7
Vol 12% | MDD -6.2%
Months 13M (4%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 7.3% | Win 61%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.3
Vol 16% | MDD -28.5%
Months 62M (19%)
CAGR 1.2% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 15% | MDD -14.4%
Months 18M (5%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
RSmean
only
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 57%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.3
Vol 11% | MDD -19.7%
Months 232M (70%)
CAGR 21.4% | Win 68%
Sharpe 1.80 | Sortino 2.06 | Calmar 2.9
Vol 11% | MDD -7.4%
Months 22M (7%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 12.9% | Win 62%
Sharpe 0.89 | Sortino 1.26 | Calmar 1.2
Vol 15% | MDD -11.2%
Months 45M (14%)
CAGR -2.5% | Win 57%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 17% | MDD -23.1%
Months 35M (10%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 6.6% | Win 58%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.4
Vol 12% | MDD -17.4%
Months 247M (74%)
CAGR 27.5% | Win 57%
Sharpe 2.58 | Sortino 12.86 | Calmar 22.5
Vol 10% | MDD -1.2%
Months 7M (2%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 11.8% | Win 61%
Sharpe 0.90 | Sortino 1.43 | Calmar 1.3
Vol 13% | MDD -8.9%
Months 31M (9%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.1
Vol 17% | MDD -29.6%
Months 49M (15%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 57%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.3
Vol 11% | MDD -21.5%
Months 185M (55%)
CAGR 8.1% | Win 62%
Sharpe 0.66 | Sortino 0.84 | Calmar 0.4
Vol 13% | MDD -22.9%
Months 69M (21%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 0.1% | Win 57%
Sharpe 0.06 | Sortino 0.06 | Calmar 0.0
Vol 10% | MDD -5.8%
Months 7M (2%)
CAGR 6.5% | Win 60%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.2
Vol 16% | MDD -30.3%
Months 73M (22%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
MACDhist
only
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 2.6% | Win 55%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 174M (52%)
CAGR 17.9% | Win 65%
Sharpe 1.40 | Sortino 2.04 | Calmar 1.0
Vol 12% | MDD -18.5%
Months 80M (24%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 10.2% | Win 73%
Sharpe 0.55 | Sortino 0.62 | Calmar 0.6
Vol 22% | MDD -17.4%
Months 11M (3%)
CAGR 5.2% | Win 58%
Sharpe 0.42 | Sortino 0.61 | Calmar 0.2
Vol 15% | MDD -28.5%
Months 69M (21%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.4
Vol 12% | MDD -17.4%
Months 239M (72%)
CAGR 17.5% | Win 67%
Sharpe 1.88 | Sortino 3.40 | Calmar 3.6
Vol 9% | MDD -4.8%
Months 15M (4%)
CAGR 7.2% | Win 58%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 254M (76%)
MRmean
neg
CAGR 4.3% | Win 57%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 16% | MDD -31.6%
Months 58M (17%)
CAGR 10.1% | Win 68%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.6
Vol 16% | MDD -18.1%
Months 22M (7%)
CAGR 5.9% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 80M (24%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 4.8% | Win 57%
Sharpe 0.49 | Sortino 0.71 | Calmar 0.2
Vol 11% | MDD -19.3%
Months 218M (65%)
CAGR 27.7% | Win 70%
Sharpe 2.59 | Sortino 7.54 | Calmar 10.1
Vol 10% | MDD -2.7%
Months 10M (3%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR 12.1% | Win 65%
Sharpe 0.79 | Sortino 1.06 | Calmar 0.4
Vol 16% | MDD -28.8%
Months 85M (25%)
CAGR -1.0% | Win 48%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 15% | MDD -14.4%
Months 21M (6%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
RSmean
only
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.4% | Win 55%
Sharpe 0.37 | Sortino 0.54 | Calmar 0.2
Vol 10% | MDD -13.8%
Months 202M (60%)
CAGR 26.0% | Win 73%
Sharpe 2.08 | Sortino 2.44 | Calmar 3.6
Vol 12% | MDD -7.3%
Months 26M (8%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR 17.5% | Win 65%
Sharpe 1.14 | Sortino 1.55 | Calmar 0.8
Vol 15% | MDD -21.1%
Months 75M (22%)
CAGR -8.1% | Win 52%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.3
Vol 17% | MDD -28.7%
Months 31M (9%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.3% | Win 57%
Sharpe 0.46 | Sortino 0.66 | Calmar 0.2
Vol 11% | MDD -17.4%
Months 217M (65%)
CAGR 36.7% | Win 73%
Sharpe 3.03 | Sortino 16.59 | Calmar 30.1
Vol 11% | MDD -1.2%
Months 11M (3%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR 18.0% | Win 66%
Sharpe 1.20 | Sortino 1.70 | Calmar 1.2
Vol 15% | MDD -14.8%
Months 61M (18%)
CAGR -1.4% | Win 56%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 17% | MDD -34.9%
Months 45M (14%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 10% | MDD -30.7%
Months 163M (49%)
CAGR 13.3% | Win 66%
Sharpe 1.11 | Sortino 1.63 | Calmar 0.7
Vol 12% | MDD -19.0%
Months 65M (20%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR 29.9% | Win 72%
Sharpe 2.19 | Sortino 4.76 | Calmar 5.4
Vol 12% | MDD -5.5%
Months 29M (9%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 17% | MDD -38.9%
Months 77M (23%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
MACDhist
only
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.5% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 177M (53%)
CAGR 13.8% | Win 63%
Sharpe 1.43 | Sortino 3.00 | Calmar 1.7
Vol 9% | MDD -8.0%
Months 51M (15%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR -7.2% | Win 62%
Sharpe -0.22 | Sortino -0.27 | Calmar -0.4
Vol 23% | MDD -17.4%
Months 8M (2%)
CAGR 10.8% | Win 61%
Sharpe 0.74 | Sortino 1.08 | Calmar 0.4
Vol 15% | MDD -27.5%
Months 98M (29%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.2% | Win 56%
Sharpe 0.44 | Sortino 0.63 | Calmar 0.2
Vol 11% | MDD -17.1%
Months 209M (63%)
CAGR 24.5% | Win 74%
Sharpe 2.26 | Sortino 4.62 | Calmar 5.1
Vol 10% | MDD -4.8%
Months 19M (6%)
CAGR 5.7% | Win 57%
Sharpe 0.57 | Sortino 0.84 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 228M (68%)
SLmean
neg
CAGR 10.9% | Win 61%
Sharpe 0.72 | Sortino 0.99 | Calmar 0.4
Vol 16% | MDD -30.3%
Months 88M (26%)
CAGR 2.2% | Win 61%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.1
Vol 16% | MDD -18.9%
Months 18M (5%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 106M (32%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 58%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 12% | MDD -26.8%
Months 260M (78%)
CAGR 9.9% | Win 67%
Sharpe 0.72 | Sortino 0.86 | Calmar 0.5
Vol 15% | MDD -21.3%
Months 43M (13%)
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
RSmean
neg
CAGR 18.5% | Win 65%
Sharpe 1.71 | Sortino 3.08 | Calmar 3.7
Vol 10% | MDD -5.0%
Months 17M (5%)
CAGR -4.6% | Win 43%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.3
Vol 17% | MDD -14.4%
Months 14M (4%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
MACD
only
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.5% | Win 58%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.3
Vol 12% | MDD -22.6%
Months 261M (78%)
CAGR 8.8% | Win 64%
Sharpe 0.59 | Sortino 0.75 | Calmar 0.4
Vol 17% | MDD -25.2%
Months 42M (13%)
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
RSmean
neg
CAGR 19.0% | Win 65%
Sharpe 1.72 | Sortino 3.14 | Calmar 3.8
Vol 10% | MDD -5.0%
Months 17M (5%)
CAGR -5.0% | Win 43%
Sharpe -0.23 | Sortino -0.35 | Calmar -0.3
Vol 17% | MDD -14.4%
Months 14M (4%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 56%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.2
Vol 11% | MDD -24.5%
Months 189M (57%)
CAGR 8.4% | Win 64%
Sharpe 0.61 | Sortino 0.81 | Calmar 0.2
Vol 15% | MDD -44.0%
Months 114M (34%)
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
RSmean
neg
CAGR 64.1% | Win 100%
Sharpe 11.16 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 3M (1%)
CAGR 2.7% | Win 50%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.2
Vol 14% | MDD -14.4%
Months 28M (8%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
MACDhist
only
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.0% | Win 55%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 11% | MDD -27.8%
Months 177M (53%)
CAGR 13.9% | Win 64%
Sharpe 1.01 | Sortino 1.44 | Calmar 0.4
Vol 14% | MDD -31.6%
Months 126M (38%)
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
RSmean
neg
CAGR 27.2% | Win 75%
Sharpe 1.44 | Sortino 2.32 | Calmar 3.7
Vol 18% | MDD -7.3%
Months 8M (2%)
CAGR 1.3% | Win 48%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.1
Vol 12% | MDD -14.5%
Months 23M (7%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 58%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.2
Vol 12% | MDD -28.8%
Months 268M (80%)
CAGR 11.4% | Win 66%
Sharpe 0.87 | Sortino 1.22 | Calmar 0.8
Vol 14% | MDD -14.9%
Months 35M (10%)
CAGR 6.8% | Win 59%
Sharpe 0.59 | Sortino 0.82 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 303M (91%)
RSmean
neg
CAGR 5.2% | Win 52%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.4
Vol 14% | MDD -14.4%
Months 29M (9%)
CAGR 46.9% | Win 100%
Sharpe 6.87 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 2M (1%)
CAGR 7.4% | Win 55%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.5
Vol 14% | MDD -14.4%
Months 31M (9%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 58%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.4
Vol 12% | MDD -18.6%
Months 263M (79%)
CAGR 15.4% | Win 64%
Sharpe 0.88 | Sortino 1.06 | Calmar 0.9
Vol 18% | MDD -18.1%
Months 14M (4%)
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
MACD
neg
CAGR 18.7% | Win 73%
Sharpe 1.48 | Sortino 1.47 | Calmar 2.6
Vol 12% | MDD -7.3%
Months 15M (4%)
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.1
Vol 16% | MDD -22.6%
Months 42M (13%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
RSI
only
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 11% | MDD -24.5%
Months 182M (54%)
CAGR 9.7% | Win 62%
Sharpe 0.73 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -26.4%
Months 95M (28%)
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
MACD
neg
CAGR 25.0% | Win 70%
Sharpe 3.15 | Sortino 63.01 | Calmar 100.7
Vol 7% | MDD -0.2%
Months 10M (3%)
CAGR 2.5% | Win 60%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 16% | MDD -22.6%
Months 47M (14%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
MACDhist
only
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 0.0% | Win 53%
Sharpe 0.06 | Sortino 0.08 | Calmar 0.0
Vol 10% | MDD -27.1%
Months 153M (46%)
CAGR 16.3% | Win 64%
Sharpe 1.21 | Sortino 1.71 | Calmar 0.7
Vol 13% | MDD -22.7%
Months 124M (37%)
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
MACD
neg
CAGR 18.5% | Win 72%
Sharpe 1.19 | Sortino 1.22 | Calmar 1.1
Vol 15% | MDD -17.4%
Months 32M (10%)
CAGR -7.8% | Win 48%
Sharpe -0.51 | Sortino -0.74 | Calmar -0.3
Vol 14% | MDD -25.1%
Months 25M (8%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 58%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 269M (80%)
CAGR 3.2% | Win 62%
Sharpe 0.31 | Sortino 0.32 | Calmar 0.4
Vol 12% | MDD -7.2%
Months 8M (2%)
CAGR 7.0% | Win 58%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 277M (83%)
MACD
neg
CAGR -3.2% | Win 54%
Sharpe -0.12 | Sortino -0.15 | Calmar -0.1
Vol 16% | MDD -22.6%
Months 28M (8%)
CAGR 16.0% | Win 69%
Sharpe 1.16 | Sortino 1.65 | Calmar 1.3
Vol 14% | MDD -12.5%
Months 29M (9%)
CAGR 6.1% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 15% | MDD -22.6%
Months 57M (17%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.3% | Win 57%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 190M (57%)
CAGR 9.0% | Win 62%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 88M (26%)
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
RSI
neg
CAGR 27.3% | Win 50%
Sharpe 2.06 | Sortino 0.00 | Calmar 0.0
Vol 12% | MDD 0.0%
Months 2M (1%)
CAGR 4.4% | Win 59%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.2
Vol 17% | MDD -28.1%
Months 54M (16%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
MACDhist
only
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.6% | Win 55%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 168M (50%)
CAGR 16.4% | Win 64%
Sharpe 1.27 | Sortino 1.90 | Calmar 1.0
Vol 13% | MDD -16.6%
Months 110M (33%)
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
RSI
neg
CAGR 18.3% | Win 71%
Sharpe 1.02 | Sortino 1.04 | Calmar 1.1
Vol 18% | MDD -17.4%
Months 17M (5%)
CAGR -0.1% | Win 54%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 16% | MDD -31.7%
Months 39M (12%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.1% | Win 58%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.4
Vol 12% | MDD -20.3%
Months 268M (80%)
CAGR 9.4% | Win 70%
Sharpe 1.23 | Sortino 1.78 | Calmar 3.6
Vol 8% | MDD -2.6%
Months 10M (3%)
CAGR 7.2% | Win 59%
Sharpe 0.66 | Sortino 0.96 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 278M (83%)
RSI
neg
CAGR -2.8% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 18% | MDD -28.2%
Months 29M (9%)
CAGR 14.5% | Win 67%
Sharpe 0.98 | Sortino 1.39 | Calmar 1.0
Vol 15% | MDD -14.7%
Months 27M (8%)
CAGR 5.2% | Win 59%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -25.2%
Months 56M (17%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 0.6% | Win 51%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 10% | MDD -38.6%
Months 137M (41%)
CAGR 22.8% | Win 71%
Sharpe 1.94 | Sortino 4.62 | Calmar 4.1
Vol 11% | MDD -5.5%
Months 55M (16%)
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
MACDhist
neg
CAGR 10.1% | Win 71%
Sharpe 0.72 | Sortino 0.92 | Calmar 0.6
Vol 15% | MDD -17.4%
Months 48M (14%)
CAGR 5.8% | Win 56%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.1
Vol 15% | MDD -39.2%
Months 94M (28%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
RSIhist
only
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.2% | Win 56%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 188M (56%)
CAGR 23.6% | Win 75%
Sharpe 3.06 | Sortino 0.00 | Calmar 59.6
Vol 7% | MDD -0.4%
Months 4M (1%)
CAGR 6.5% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 192M (58%)
MACDhist
neg
CAGR 5.9% | Win 60%
Sharpe 0.46 | Sortino 0.61 | Calmar 0.2
Vol 15% | MDD -36.7%
Months 109M (33%)
CAGR 11.9% | Win 67%
Sharpe 0.88 | Sortino 1.28 | Calmar 0.7
Vol 14% | MDD -17.4%
Months 33M (10%)
CAGR 7.3% | Win 61%
Sharpe 0.55 | Sortino 0.75 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 142M (42%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 0.5% | Win 54%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 12% | MDD -30.1%
Months 164M (49%)
CAGR 25.1% | Win 71%
Sharpe 2.30 | Sortino 5.10 | Calmar 5.2
Vol 10% | MDD -4.8%
Months 21M (6%)
CAGR 3.0% | Win 56%
Sharpe 0.31 | Sortino 0.42 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 185M (55%)
RSIhist
neg
CAGR 13.5% | Win 62%
Sharpe 1.02 | Sortino 1.48 | Calmar 0.6
Vol 13% | MDD -23.6%
Months 133M (40%)
CAGR -0.9% | Win 62%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 16% | MDD -18.9%
Months 16M (5%)
CAGR 11.8% | Win 62%
Sharpe 0.89 | Sortino 1.28 | Calmar 0.4
Vol 14% | MDD -29.6%
Months 149M (45%)
LWTI
only
CAGR 6.1% | Win 58%
Sharpe 0.54 | Sortino 0.75 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 297M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)