XLP - State Street Cons Staples Sel Sec SPDR Inc ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

64.0%

Best CAGR

95

Total Months

9.6%

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 64.0 100.0 11.2 0.0 0.0 4.5 0.0
pair RSmean MACDhist neg-pos 3 0.9 64.0 100.0 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 16.5 30.1 10.6 -1.2
pair RSI SLmean pos-neg 11 3.3 36.7 72.7 3.0 16.5 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 10.1 9.7 -2.7
pair SLmean RSmean pos-neg 10 3.0 27.7 70.0 2.6 7.5 10.1 9.7 -2.7
pair RSI MRmean pos-neg 7 2.1 27.5 57.1 2.6 12.8 22.6 9.6 -1.2
pair MRmean RSI pos-neg 7 2.1 27.5 57.1 2.6 12.8 22.6 9.6 -1.2
pair MACDhist RSI neg-pos 2 0.6 27.4 50.0 2.1 0.0 0.0 12.1 0.0
pair RSI MACDhist neg-pos 2 0.6 27.4 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 3.2 63.4 101.4 7.2 -0.2
pair MACDhist MACD neg-pos 10 3.0 25.0 70.0 3.2 63.4 101.4 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 23.7 75.0 3.1 0.0 60.2 7.0 -0.4
pair LWTI MACDhist pos-neg 4 1.2 23.7 75.0 3.1 0.0 60.2 7.0 -0.4
pair RSIhist MACDhist pos-neg 55 16.6 22.8 70.9 1.9 4.6 4.1 11.0 -5.5
pair MACDhist RSIhist pos-neg 55 16.6 22.8 70.9 1.9 4.6 4.1 11.0 -5.5
pair SLmean MRmean pos-neg 36 10.8 22.8 69.4 1.4 1.8 1.5 15.0 -14.8
pair MRmean SLmean pos-neg 36 10.8 22.8 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 2.0 2.9 11.2 -7.4
pair MACD MRmean pos-neg 22 6.6 21.4 68.2 1.8 2.0 2.9 11.2 -7.4
pair RSmean RSI neg-pos 17 5.1 18.9 64.7 1.7 3.1 3.8 10.5 -5.0
pair RSI RSmean neg-pos 17 5.1 18.9 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 MRmean RSIhist pos-neg 80 24.1 17.9 65.0 1.4 2.0 1.0 12.4 -18.5
pair RSIhist MRmean pos-neg 80 24.1 17.9 65.0 1.4 2.0 1.0 12.4 -18.5
pair MRmean LWTI pos-neg 15 4.5 17.6 66.7 1.9 3.4 3.6 8.9 -4.8
pair LWTI MRmean pos-neg 15 4.5 17.6 66.7 1.9 3.4 3.6 8.9 -4.8
pair MRmean RSmean pos-neg 13 3.9 16.7 53.8 1.3 2.8 2.7 12.2 -6.2
pair RSmean MRmean pos-neg 13 3.9 16.7 53.8 1.3 2.8 2.7 12.2 -6.2
pair MACD LWTI neg-neg 29 8.7 16.0 69.0 1.2 1.6 1.3 13.7 -12.6
pair LWTI MACD neg-neg 29 8.7 16.0 69.0 1.2 1.6 1.3 13.7 -12.6
pair SLmean RSI neg-pos 60 18.1 15.9 65.0 1.1 1.5 1.1 14.2 -14.8
pair RSI SLmean neg-pos 60 18.1 15.9 65.0 1.1 1.5 1.1 14.2 -14.8
pair MACD SLmean neg-pos 74 22.3 15.8 64.9 1.1 1.4 0.8 14.9 -21.1
pair SLmean MACD neg-pos 74 22.3 15.8 64.9 1.1 1.4 0.8 14.9 -21.1
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 MACD RSIhist pos-neg 123 37.0 15.2 64.2 1.2 1.6 0.7 13.0 -22.7
pair RSIhist MACD pos-neg 123 37.0 15.2 64.2 1.2 1.6 0.7 13.0 -22.7
pair RSI RSIhist pos-neg 109 32.8 15.2 64.2 1.2 1.8 0.9 12.3 -16.6
pair RSIhist RSI pos-neg 109 32.8 15.2 64.2 1.2 1.8 0.9 12.3 -16.6
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 SLmean RSIhist pos-neg 51 15.4 13.8 62.7 1.4 3.0 1.7 9.4 -8.0
pair RSIhist SLmean pos-neg 51 15.4 13.8 62.7 1.4 3.0 1.7 9.4 -8.0
pair MACDhist SLmean pos-neg 65 19.6 13.3 66.2 1.1 1.6 0.7 11.9 -19.0
pair SLmean MACDhist pos-neg 65 19.6 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 RSmean RSIhist pos-neg 125 37.7 12.8 64.0 1.0 1.3 0.4 13.6 -31.6
pair RSIhist RSmean pos-neg 125 37.7 12.8 64.0 1.0 1.3 0.4 13.6 -31.6
pair RSIhist LWTI neg-pos 132 39.8 12.5 61.4 1.0 1.4 0.5 13.0 -23.5
pair LWTI RSIhist neg-pos 132 39.8 12.5 61.4 1.0 1.4 0.5 13.0 -23.5
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 LWTI RSmean pos-neg 35 10.5 11.4 65.7 0.9 1.2 0.8 13.5 -14.9
pair RSmean LWTI pos-neg 35 10.5 11.4 65.7 0.9 1.2 0.8 13.5 -14.9
single RSIhist RSIhist neg-neg 148 44.6 11.0 61.5 0.8 1.2 0.4 13.4 -29.6
pair RSmean SLmean neg-pos 84 25.3 10.6 64.3 0.7 0.9 0.4 15.9 -28.8
pair SLmean RSmean neg-pos 84 25.3 10.6 64.3 0.7 0.9 0.4 15.9 -28.8
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 -18.2
pair MRmean LWTI neg-neg 22 6.6 10.1 68.2 0.7 1.1 0.6 15.8 -18.2
pair RSIhist MACDhist neg-pos 48 14.5 10.1 70.8 0.7 0.9 0.6 15.0 -17.4
pair MACDhist RSIhist neg-pos 48 14.5 10.1 70.8 0.7 0.9 0.6 15.0 -17.4
pair MRmean MACD neg-pos 44 13.3 10.0 61.4 0.8 1.0 0.9 14.1 -11.2
pair MACD MRmean neg-pos 44 13.3 10.0 61.4 0.8 1.0 0.9 14.1 -11.2
pair MACD RSmean pos-neg 43 13.0 9.9 67.4 0.7 0.9 0.5 14.6 -21.3
pair RSmean MACD pos-neg 43 13.0 9.9 67.4 0.7 0.9 0.5 14.6 -21.3
pair RSIhist SLmean neg-neg 97 29.2 9.5 60.8 0.7 1.0 0.3 15.1 -27.5
pair SLmean RSIhist neg-neg 97 29.2 9.5 60.8 0.7 1.0 0.3 15.1 -27.5
pair SLmean LWTI neg-pos 87 26.2 9.4 60.9 0.7 0.9 0.3 15.7 -30.2
pair LWTI SLmean neg-pos 87 26.2 9.4 60.9 0.7 0.9 0.3 15.7 -30.2
pair RSI LWTI pos-neg 10 3.0 9.3 70.0 1.2 1.8 3.6 7.5 -2.6
pair LWTI RSI pos-neg 10 3.0 9.3 70.0 1.2 1.8 3.6 7.5 -2.6
pair RSmean RSI pos-neg 42 12.7 8.8 64.3 0.6 0.8 0.3 16.6 -25.2
pair RSI RSmean pos-neg 42 12.7 8.8 64.3 0.6 0.8 0.3 16.6 -25.2
pair MACD MACDhist pos-neg 94 28.3 8.4 61.7 0.7 0.9 0.3 13.7 -26.4
pair MACDhist MACD pos-neg 94 28.3 8.4 61.7 0.7 0.9 0.3 13.7 -26.4
pair MACDhist MRmean pos-neg 69 20.8 8.1 62.3 0.7 0.8 0.4 13.2 -22.9
single SLmean SLmean neg-neg 105 31.6 8.1 61.0 0.6 0.8 0.3 15.7 -31.0
pair MRmean MACDhist pos-neg 69 20.8 8.1 62.3 0.7 0.8 0.4 13.2 -22.9
pair RSI MRmean neg-pos 30 9.0 7.6 60.0 0.7 1.0 0.8 11.9 -8.9
pair MACDhist RSI pos-neg 87 26.2 7.6 62.1 0.6 0.8 0.3 13.1 -24.7
pair MRmean RSI neg-pos 30 9.0 7.6 60.0 0.7 1.0 0.8 11.9 -8.9
pair RSI MACDhist pos-neg 87 26.2 7.6 62.1 0.6 0.8 0.3 13.1 -24.7
single MRmean MRmean pos-pos 253 76.2 7.5 58.9 0.7 1.0 0.4 11.4 -17.4
single RSmean RSmean neg-neg 31 9.3 7.4 54.8 0.6 0.9 0.5 13.7 -14.4
pair RSmean MACDhist pos-neg 113 34.0 7.3 63.7 0.6 0.7 0.2 14.8 -44.0
pair MACDhist RSmean pos-neg 113 34.0 7.3 63.7 0.6 0.7 0.2 14.8 -44.0
pair MACDhist MRmean pos-pos 184 55.4 7.2 57.6 0.7 1.1 0.3 10.7 -21.5
pair MRmean MACDhist pos-pos 184 55.4 7.2 57.6 0.7 1.1 0.3 10.7 -21.5
pair MRmean RSmean pos-pos 240 72.3 7.0 59.2 0.7 0.9 0.4 11.4 -18.5
pair RSmean MRmean pos-pos 240 72.3 7.0 59.2 0.7 0.9 0.4 11.4 -18.5
single RSI RSI pos-pos 276 83.1 7.0 59.1 0.7 0.9 0.4 11.5 -19.4
single MACDhist MACDhist pos-pos 191 57.5 6.9 57.6 0.7 1.1 0.3 10.6 -24.5
pair MRmean RSI pos-pos 246 74.1 6.9 58.9 0.7 0.9 0.4 11.4 -17.4
pair RSI LWTI pos-pos 266 80.1 6.9 58.6 0.6 0.9 0.3 11.6 -20.2
pair LWTI RSI pos-pos 266 80.1 6.9 58.6 0.6 0.9 0.3 11.6 -20.2
pair LWTI MACD pos-pos 267 80.4 6.9 58.4 0.6 0.9 0.3 11.8 -24.0
pair MACD LWTI pos-pos 267 80.4 6.9 58.4 0.6 0.9 0.3 11.8 -24.0
pair RSI MRmean pos-pos 246 74.1 6.9 58.9 0.7 0.9 0.4 11.4 -17.4
single MACD MACD pos-pos 275 82.8 6.8 58.5 0.6 0.9 0.3 11.8 -24.0
pair MRmean LWTI pos-pos 238 71.7 6.8 58.4 0.6 0.9 0.4 11.5 -17.4
pair LWTI MRmean pos-pos 238 71.7 6.8 58.4 0.6 0.9 0.4 11.5 -17.4
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 6.7 59.0 0.6 0.8 0.2 12.4 -32.6
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 6.7 59.0 0.6 0.8 0.2 12.4 -32.6
pair MACDhist RSI pos-pos 189 56.9 6.7 57.7 0.7 1.0 0.3 10.6 -24.5
pair RSI MACDhist pos-pos 189 56.9 6.7 57.7 0.7 1.0 0.3 10.6 -24.5
single RSmean RSmean pos-pos 301 90.7 6.6 59.5 0.6 0.8 0.2 12.3 -33.9
pair LWTI MACDhist pos-pos 187 56.3 6.6 57.2 0.7 1.0 0.3 10.7 -24.5
pair MACDhist LWTI pos-pos 187 56.3 6.6 57.2 0.7 1.0 0.3 10.7 -24.5
single MACDhist MACDhist neg-neg 141 42.5 6.4 61.0 0.5 0.7 0.2 14.6 -40.6
pair RSI MACD pos-pos 261 78.6 6.4 58.2 0.6 0.9 0.3 11.4 -18.6
pair MACD RSI pos-pos 261 78.6 6.4 58.2 0.6 0.9 0.3 11.4 -18.6
pair RSmean RSI pos-pos 259 78.0 6.3 58.7 0.6 0.8 0.3 11.5 -22.5
pair RSI RSmean pos-pos 259 78.0 6.3 58.7 0.6 0.8 0.3 11.5 -22.5
pair MACDhist RSmean pos-pos 188 56.6 6.2 56.9 0.6 0.9 0.2 10.6 -24.5
pair RSmean MACDhist pos-pos 188 56.6 6.2 56.9 0.6 0.9 0.2 10.6 -24.5
pair MRmean MACD pos-pos 231 69.6 6.2 58.0 0.6 0.8 0.3 11.4 -19.6
pair MACD MRmean pos-pos 231 69.6 6.2 58.0 0.6 0.8 0.3 11.4 -19.6
pair MACD RSmean pos-pos 258 77.7 6.1 58.1 0.6 0.8 0.2 11.9 -26.8
pair RSmean MACD pos-pos 258 77.7 6.1 58.1 0.6 0.8 0.2 11.9 -26.8
single MACD MACD neg-neg 57 17.2 6.1 61.4 0.5 0.6 0.3 15.1 -22.6
single SLmean SLmean pos-pos 227 68.4 6.0 58.1 0.6 0.9 0.3 10.6 -17.4
pair MACD MACDhist pos-pos 181 54.5 6.0 56.9 0.6 0.9 0.2 10.8 -24.5
pair MACDhist MACD pos-pos 181 54.5 6.0 56.9 0.6 0.9 0.2 10.8 -24.5
pair RSmean LWTI pos-pos 266 80.1 6.0 58.6 0.5 0.7 0.2 12.2 -28.7
pair LWTI RSmean pos-pos 266 80.1 6.0 58.6 0.5 0.7 0.2 12.2 -28.7
single LWTI LWTI pos-pos 295 88.9 5.9 58.0 0.5 0.7 0.2 12.3 -33.7
single RSI RSI neg-neg 56 16.9 5.2 58.9 0.4 0.5 0.2 16.5 -25.2
pair RSmean MRmean neg-pos 61 18.4 5.2 60.7 0.4 0.6 0.2 15.6 -28.5
pair MRmean RSmean neg-pos 61 18.4 5.2 60.7 0.4 0.6 0.2 15.6 -28.5
pair MRmean SLmean pos-pos 217 65.4 5.1 57.1 0.5 0.8 0.3 10.6 -17.5
pair SLmean MRmean pos-pos 217 65.4 5.1 57.1 0.5 0.8 0.3 10.6 -17.5
pair RSmean SLmean pos-pos 217 65.4 5.1 57.6 0.5 0.8 0.3 10.6 -19.3
pair SLmean RSmean pos-pos 217 65.4 5.1 57.6 0.5 0.8 0.3 10.6 -19.3
pair LWTI RSmean neg-pos 29 8.7 5.1 51.7 0.4 0.7 0.4 13.9 -14.4
pair RSmean LWTI neg-pos 29 8.7 5.1 51.7 0.4 0.7 0.4 13.9 -14.4
pair LWTI MACDhist neg-pos 108 32.5 4.8 59.3 0.4 0.5 0.1 14.8 -36.7
pair MACDhist LWTI neg-pos 108 32.5 4.8 59.3 0.4 0.5 0.1 14.8 -36.7
pair SLmean RSI pos-pos 216 65.1 4.7 57.4 0.5 0.7 0.3 10.5 -17.4
pair RSI SLmean pos-pos 216 65.1 4.7 57.4 0.5 0.7 0.3 10.5 -17.4
pair MRmean MACDhist neg-neg 72 21.7 4.7 59.7 0.4 0.5 0.2 15.8 -30.3
pair MACDhist MRmean neg-neg 72 21.7 4.7 59.7 0.4 0.5 0.2 15.8 -30.3
pair SLmean LWTI pos-pos 208 62.7 4.5 56.7 0.5 0.7 0.3 10.6 -17.1
pair LWTI SLmean pos-pos 208 62.7 4.5 56.7 0.5 0.7 0.3 10.6 -17.1
pair RSIhist MACDhist neg-neg 93 28.0 4.5 55.9 0.4 0.5 0.1 14.4 -39.2
pair MACDhist RSIhist neg-neg 93 28.0 4.5 55.9 0.4 0.5 0.1 14.4 -39.2
pair MACDhist RSI neg-neg 54 16.3 4.4 59.3 0.3 0.5 0.2 16.7 -28.1
pair RSI MACDhist neg-neg 54 16.3 4.4 59.3 0.3 0.5 0.2 16.7 -28.1
single MRmean MRmean neg-neg 79 23.8 4.3 59.5 0.3 0.5 0.2 15.4 -27.5
pair RSIhist SLmean pos-pos 176 53.0 3.9 56.8 0.4 0.6 0.1 10.9 -27.1
pair SLmean RSIhist pos-pos 176 53.0 3.9 56.8 0.4 0.6 0.1 10.9 -27.1
pair SLmean MACD pos-pos 201 60.5 3.7 56.2 0.4 0.6 0.3 10.4 -13.8
pair MACD SLmean pos-pos 201 60.5 3.7 56.2 0.4 0.6 0.3 10.4 -13.8
pair RSIhist MRmean neg-neg 68 20.5 3.4 57.4 0.3 0.4 0.1 14.3 -28.5
pair MRmean RSIhist neg-neg 68 20.5 3.4 57.4 0.3 0.4 0.1 14.3 -28.5
single RSIhist RSIhist pos-pos 184 55.4 3.4 57.1 0.3 0.5 0.1 11.6 -27.1
pair MACDhist SLmean pos-pos 162 48.8 3.3 54.9 0.4 0.5 0.1 10.0 -29.1
pair SLmean MACDhist pos-pos 162 48.8 3.3 54.9 0.4 0.5 0.1 10.0 -29.1
pair MACD LWTI pos-neg 8 2.4 3.2 62.5 0.3 0.3 0.5 12.5 -7.2
pair LWTI MACD pos-neg 8 2.4 3.2 62.5 0.3 0.3 0.5 12.5 -7.2
pair MRmean RSIhist pos-pos 173 52.1 3.0 56.1 0.3 0.5 0.1 10.7 -27.1
pair RSIhist MRmean pos-pos 173 52.1 3.0 56.1 0.3 0.5 0.1 10.7 -27.1
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 MACD MACDhist neg-neg 47 14.2 2.5 59.6 0.2 0.3 0.1 16.2 -22.6
pair MACDhist MACD neg-neg 47 14.2 2.5 59.6 0.2 0.3 0.1 16.2 -22.6
pair RSIhist RSmean pos-pos 176 53.0 2.4 56.2 0.3 0.3 0.1 11.2 -27.8
pair RSmean RSIhist pos-pos 176 53.0 2.4 56.2 0.3 0.3 0.1 11.2 -27.8
pair RSI MRmean neg-neg 49 14.8 2.3 59.2 0.2 0.3 0.1 17.2 -29.6
pair MRmean RSI neg-neg 49 14.8 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 LWTI MRmean neg-pos 57 17.2 2.1 56.1 0.2 0.3 0.1 15.3 -31.6
pair MRmean LWTI neg-pos 57 17.2 2.1 56.1 0.2 0.3 0.1 15.3 -31.6
pair RSI RSIhist pos-pos 167 50.3 2.0 55.7 0.2 0.3 0.1 10.7 -27.1
pair RSIhist RSI pos-pos 167 50.3 2.0 55.7 0.2 0.3 0.1 10.7 -27.1
pair RSI MACD neg-neg 42 12.7 2.0 57.1 0.2 0.3 0.1 16.0 -22.6
pair MACD RSI neg-neg 42 12.7 2.0 57.1 0.2 0.3 0.1 16.0 -22.6
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 MRmean SLmean neg-neg 69 20.8 1.2 56.5 0.2 0.2 0.0 15.8 -32.3
pair SLmean MRmean neg-neg 69 20.8 1.2 56.5 0.2 0.2 0.0 15.8 -32.3
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 136 41.0 1.1 52.2 0.2 0.2 0.0 10.1 -35.7
pair MACDhist RSIhist pos-pos 136 41.0 1.1 52.2 0.2 0.2 0.0 10.1 -35.7
pair LWTI RSIhist pos-pos 163 49.1 0.9 55.2 0.1 0.2 0.0 11.6 -30.1
pair RSIhist LWTI pos-pos 163 49.1 0.9 55.2 0.1 0.2 0.0 11.6 -30.1
pair MACDhist SLmean neg-neg 76 22.9 0.8 56.6 0.1 0.2 0.0 16.4 -38.9
pair SLmean MACDhist neg-neg 76 22.9 0.8 56.6 0.1 0.2 0.0 16.4 -38.9
pair MACD RSIhist pos-pos 152 45.8 0.4 53.9 0.1 0.1 0.0 10.5 -27.1
pair RSIhist MACD pos-pos 152 45.8 0.4 53.9 0.1 0.1 0.0 10.5 -27.1
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 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 13.6 -1.4 55.6 0.0 0.0 -0.0 17.3 -34.9
pair RSI SLmean neg-neg 45 13.6 -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 5.1% | Win 57%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.3
Vol 11% | MDD -17.5%
Months 217M (65%)
CAGR 22.8% | Win 69%
Sharpe 1.45 | Sortino 1.83 | Calmar 1.5
Vol 15% | MDD -14.8%
Months 36M (11%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 28.3% | Win 80%
Sharpe 2.39 | Sortino 10.75 | Calmar 7.8
Vol 11% | MDD -3.6%
Months 10M (3%)
CAGR 1.2% | Win 56%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.0
Vol 16% | MDD -32.3%
Months 69M (21%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
SLmean
only
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.4
Vol 11% | MDD -18.5%
Months 240M (72%)
CAGR 16.7% | Win 54%
Sharpe 1.34 | Sortino 2.84 | Calmar 2.7
Vol 12% | MDD -6.2%
Months 13M (4%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 5.2% | Win 61%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -28.5%
Months 61M (18%)
CAGR 1.2% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.1
Vol 15% | MDD -14.4%
Months 18M (5%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
RSmean
only
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (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 6.2% | Win 58%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.3
Vol 11% | MDD -19.6%
Months 231M (70%)
CAGR 21.4% | Win 68%
Sharpe 1.80 | Sortino 2.05 | Calmar 2.9
Vol 11% | MDD -7.4%
Months 22M (7%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 10.0% | Win 61%
Sharpe 0.75 | Sortino 1.01 | Calmar 0.9
Vol 14% | MDD -11.2%
Months 44M (13%)
CAGR -2.5% | Win 57%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 17% | MDD -23.1%
Months 35M (10%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
MACD
only
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 6.9% | Win 59%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 246M (74%)
CAGR 27.5% | Win 57%
Sharpe 2.59 | Sortino 12.78 | Calmar 22.6
Vol 10% | MDD -1.2%
Months 7M (2%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 7.6% | Win 60%
Sharpe 0.68 | Sortino 0.96 | Calmar 0.9
Vol 12% | MDD -8.9%
Months 30M (9%)
CAGR 2.3% | Win 59%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.1
Vol 17% | MDD -29.6%
Months 49M (15%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
RSI
only
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 7.2% | Win 58%
Sharpe 0.71 | Sortino 1.09 | Calmar 0.3
Vol 11% | MDD -21.5%
Months 184M (55%)
CAGR 8.1% | Win 62%
Sharpe 0.66 | Sortino 0.84 | Calmar 0.4
Vol 13% | MDD -22.9%
Months 69M (21%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 0.1% | Win 57%
Sharpe 0.05 | Sortino 0.06 | Calmar 0.0
Vol 10% | MDD -5.8%
Months 7M (2%)
CAGR 4.7% | Win 60%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 16% | MDD -30.3%
Months 72M (22%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
MACDhist
only
CAGR 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 3.0% | Win 56%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 173M (52%)
CAGR 17.9% | Win 65%
Sharpe 1.40 | Sortino 2.04 | Calmar 1.0
Vol 12% | MDD -18.5%
Months 80M (24%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (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 3.4% | Win 57%
Sharpe 0.30 | Sortino 0.43 | Calmar 0.1
Vol 14% | MDD -28.5%
Months 68M (20%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 58%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.4
Vol 12% | MDD -17.4%
Months 238M (72%)
CAGR 17.6% | Win 67%
Sharpe 1.88 | Sortino 3.39 | Calmar 3.6
Vol 9% | MDD -4.8%
Months 15M (4%)
CAGR 7.5% | Win 59%
Sharpe 0.69 | Sortino 0.99 | Calmar 0.4
Vol 11% | MDD -17.4%
Months 253M (76%)
MRmean
neg
CAGR 2.1% | Win 56%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.1
Vol 15% | MDD -31.6%
Months 57M (17%)
CAGR 10.1% | Win 68%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.6
Vol 16% | MDD -18.2%
Months 22M (7%)
CAGR 4.3% | Win 60%
Sharpe 0.35 | Sortino 0.48 | Calmar 0.2
Vol 15% | MDD -27.5%
Months 79M (24%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 5.1% | Win 58%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.3
Vol 11% | MDD -19.3%
Months 217M (65%)
CAGR 27.7% | Win 70%
Sharpe 2.59 | Sortino 7.55 | Calmar 10.1
Vol 10% | MDD -2.7%
Months 10M (3%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
SLmean
neg
CAGR 10.6% | Win 64%
Sharpe 0.71 | Sortino 0.94 | Calmar 0.4
Vol 16% | MDD -28.8%
Months 84M (25%)
CAGR -1.0% | Win 48%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 15% | MDD -14.4%
Months 21M (6%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
RSmean
only
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (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 3.7% | Win 56%
Sharpe 0.40 | Sortino 0.58 | Calmar 0.3
Vol 10% | MDD -13.8%
Months 201M (60%)
CAGR 26.0% | Win 73%
Sharpe 2.08 | Sortino 2.44 | Calmar 3.6
Vol 12% | MDD -7.3%
Months 26M (8%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
SLmean
neg
CAGR 15.8% | Win 65%
Sharpe 1.06 | Sortino 1.41 | Calmar 0.7
Vol 15% | MDD -21.1%
Months 74M (22%)
CAGR -8.1% | Win 52%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.3
Vol 17% | MDD -28.7%
Months 31M (9%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
MACD
only
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 4.7% | Win 57%
Sharpe 0.49 | Sortino 0.70 | Calmar 0.3
Vol 10% | MDD -17.4%
Months 216M (65%)
CAGR 36.7% | Win 73%
Sharpe 3.03 | Sortino 16.47 | Calmar 30.1
Vol 11% | MDD -1.2%
Months 11M (3%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
SLmean
neg
CAGR 15.9% | Win 65%
Sharpe 1.11 | Sortino 1.51 | Calmar 1.1
Vol 14% | MDD -14.8%
Months 60M (18%)
CAGR -1.4% | Win 56%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 17% | MDD -34.9%
Months 45M (14%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
RSI
only
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 3.3% | Win 55%
Sharpe 0.37 | Sortino 0.53 | Calmar 0.1
Vol 10% | MDD -29.1%
Months 162M (49%)
CAGR 13.3% | Win 66%
Sharpe 1.11 | Sortino 1.63 | Calmar 0.7
Vol 12% | MDD -19.0%
Months 65M (20%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (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 0.8% | Win 57%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 16% | MDD -38.9%
Months 76M (23%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
MACDhist
only
CAGR 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 3.9% | Win 57%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 176M (53%)
CAGR 13.8% | Win 63%
Sharpe 1.42 | Sortino 3.00 | Calmar 1.7
Vol 9% | MDD -8.0%
Months 51M (15%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
SLmean
neg
CAGR -7.2% | Win 62%
Sharpe -0.22 | Sortino -0.26 | Calmar -0.4
Vol 23% | MDD -17.4%
Months 8M (2%)
CAGR 9.5% | Win 61%
Sharpe 0.68 | Sortino 0.96 | Calmar 0.3
Vol 15% | MDD -27.5%
Months 97M (29%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 4.5% | Win 57%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.3
Vol 11% | MDD -17.1%
Months 208M (63%)
CAGR 24.5% | Win 74%
Sharpe 2.26 | Sortino 4.60 | Calmar 5.1
Vol 10% | MDD -4.8%
Months 19M (6%)
CAGR 6.0% | Win 58%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 11% | MDD -17.4%
Months 227M (68%)
SLmean
neg
CAGR 9.4% | Win 61%
Sharpe 0.65 | Sortino 0.87 | Calmar 0.3
Vol 16% | MDD -30.2%
Months 87M (26%)
CAGR 2.2% | Win 61%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.1
Vol 16% | MDD -18.9%
Months 18M (5%)
CAGR 8.1% | Win 61%
Sharpe 0.58 | Sortino 0.79 | Calmar 0.3
Vol 16% | MDD -31.0%
Months 105M (32%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 6.1% | Win 58%
Sharpe 0.56 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -26.8%
Months 258M (78%)
CAGR 9.9% | Win 67%
Sharpe 0.72 | Sortino 0.86 | Calmar 0.5
Vol 15% | MDD -21.3%
Months 43M (13%)
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (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 -0.31 | 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 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 6.3% | Win 59%
Sharpe 0.59 | Sortino 0.83 | Calmar 0.3
Vol 12% | MDD -22.5%
Months 259M (78%)
CAGR 8.8% | Win 64%
Sharpe 0.59 | Sortino 0.75 | Calmar 0.3
Vol 17% | MDD -25.2%
Months 42M (13%)
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (91%)
RSmean
neg
CAGR 18.9% | 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 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 6.2% | Win 57%
Sharpe 0.62 | Sortino 0.95 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 188M (57%)
CAGR 7.3% | Win 64%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -44.0%
Months 113M (34%)
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (91%)
RSmean
neg
CAGR 64.0% | Win 100%
Sharpe 11.19 | 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 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.4% | Win 56%
Sharpe 0.27 | Sortino 0.35 | Calmar 0.1
Vol 11% | MDD -27.8%
Months 176M (53%)
CAGR 12.8% | Win 64%
Sharpe 0.96 | Sortino 1.34 | Calmar 0.4
Vol 14% | MDD -31.6%
Months 125M (38%)
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (91%)
RSmean
neg
CAGR 27.2% | Win 75%
Sharpe 1.43 | 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 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.0% | Win 59%
Sharpe 0.54 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -28.7%
Months 266M (80%)
CAGR 11.4% | Win 66%
Sharpe 0.87 | Sortino 1.22 | Calmar 0.8
Vol 14% | MDD -14.9%
Months 35M (10%)
CAGR 6.6% | Win 60%
Sharpe 0.58 | Sortino 0.80 | Calmar 0.2
Vol 12% | MDD -33.9%
Months 301M (91%)
RSmean
neg
CAGR 5.1% | 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 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 6.4% | Win 58%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 11% | MDD -18.6%
Months 261M (79%)
CAGR 15.4% | Win 64%
Sharpe 0.88 | Sortino 1.06 | Calmar 0.8
Vol 18% | MDD -18.1%
Months 14M (4%)
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 6.0% | Win 57%
Sharpe 0.60 | Sortino 0.93 | Calmar 0.2
Vol 11% | MDD -24.5%
Months 181M (54%)
CAGR 8.4% | Win 62%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.3
Vol 14% | MDD -26.4%
Months 94M (28%)
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (83%)
MACD
neg
CAGR 25.0% | Win 70%
Sharpe 3.16 | Sortino 63.44 | Calmar 101.4
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 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 0.4% | Win 54%
Sharpe 0.10 | Sortino 0.13 | Calmar 0.0
Vol 10% | MDD -27.1%
Months 152M (46%)
CAGR 15.2% | Win 64%
Sharpe 1.16 | Sortino 1.61 | Calmar 0.7
Vol 13% | MDD -22.7%
Months 123M (37%)
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.9% | Win 58%
Sharpe 0.63 | Sortino 0.90 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 267M (80%)
CAGR 3.2% | Win 62%
Sharpe 0.31 | Sortino 0.32 | Calmar 0.4
Vol 12% | MDD -7.2%
Months 8M (2%)
CAGR 6.8% | Win 58%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -24.0%
Months 275M (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 -12.6%
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 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 6.7% | Win 58%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 189M (57%)
CAGR 7.6% | Win 62%
Sharpe 0.63 | Sortino 0.83 | Calmar 0.3
Vol 13% | MDD -24.7%
Months 87M (26%)
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (83%)
RSI
neg
CAGR 27.4% | 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 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 2.0% | Win 56%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 11% | MDD -27.1%
Months 167M (50%)
CAGR 15.2% | Win 64%
Sharpe 1.22 | Sortino 1.78 | Calmar 0.9
Vol 12% | MDD -16.6%
Months 109M (33%)
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.9% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 12% | MDD -20.2%
Months 266M (80%)
CAGR 9.3% | Win 70%
Sharpe 1.23 | Sortino 1.77 | Calmar 3.6
Vol 8% | MDD -2.6%
Months 10M (3%)
CAGR 7.0% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.4
Vol 12% | MDD -19.4%
Months 276M (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 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 1.1% | Win 52%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 10% | MDD -35.7%
Months 136M (41%)
CAGR 22.8% | Win 71%
Sharpe 1.94 | Sortino 4.62 | Calmar 4.1
Vol 11% | MDD -5.5%
Months 55M (17%)
CAGR 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (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 4.5% | Win 56%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.1
Vol 14% | MDD -39.2%
Months 93M (28%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
RSIhist
only
CAGR 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.6% | Win 57%
Sharpe 0.65 | Sortino 1.00 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 187M (56%)
CAGR 23.7% | Win 75%
Sharpe 3.07 | Sortino 0.00 | Calmar 60.2
Vol 7% | MDD -0.4%
Months 4M (1%)
CAGR 6.9% | Win 58%
Sharpe 0.68 | Sortino 1.05 | Calmar 0.3
Vol 11% | MDD -24.5%
Months 191M (58%)
MACDhist
neg
CAGR 4.8% | Win 59%
Sharpe 0.39 | Sortino 0.51 | Calmar 0.1
Vol 15% | MDD -36.7%
Months 108M (32%)
CAGR 11.9% | Win 67%
Sharpe 0.88 | Sortino 1.28 | Calmar 0.7
Vol 14% | MDD -17.4%
Months 33M (10%)
CAGR 6.4% | Win 61%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 141M (42%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (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 0.9% | Win 55%
Sharpe 0.13 | Sortino 0.17 | Calmar 0.0
Vol 12% | MDD -30.1%
Months 163M (49%)
CAGR 25.1% | Win 71%
Sharpe 2.30 | Sortino 5.09 | Calmar 5.2
Vol 10% | MDD -4.8%
Months 21M (6%)
CAGR 3.4% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 12% | MDD -27.1%
Months 184M (55%)
RSIhist
neg
CAGR 12.5% | Win 61%
Sharpe 0.98 | Sortino 1.38 | Calmar 0.5
Vol 13% | MDD -23.5%
Months 132M (40%)
CAGR -0.9% | Win 62%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 16% | MDD -18.9%
Months 16M (5%)
CAGR 11.0% | Win 62%
Sharpe 0.85 | Sortino 1.19 | Calmar 0.4
Vol 13% | MDD -29.6%
Months 148M (45%)
LWTI
only
CAGR 5.9% | Win 58%
Sharpe 0.53 | Sortino 0.73 | Calmar 0.2
Vol 12% | MDD -33.7%
Months 295M (89%)
CAGR 13.1% | Win 68%
Sharpe 0.99 | Sortino 1.37 | Calmar 0.9
Vol 13% | MDD -14.7%
Months 37M (11%)