XLU - State Street Utilities Select Sector SPDR ETF

Signal Pair Analysis

MRmean-MACDhist

Best Pair

60.0%

Best CAGR

94

Total Months

6.3%

Avg CAGR

XLU 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 XLU

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 MRmean neg-pos 2 0.6 60.0 100.0 2.9 0.0 0.0 16.7 0.0
pair MRmean MACDhist neg-pos 2 0.6 60.0 100.0 2.9 0.0 0.0 16.7 0.0
pair MRmean LWTI pos-neg 13 4.0 30.1 69.2 1.4 3.3 4.5 19.6 -6.7
pair LWTI MRmean pos-neg 13 4.0 30.1 69.2 1.4 3.3 4.5 19.6 -6.7
pair LWTI RSIhist pos-neg 19 5.8 29.2 73.7 1.5 3.2 4.4 18.3 -6.7
pair RSIhist LWTI pos-neg 19 5.8 29.2 73.7 1.5 3.2 4.4 18.3 -6.7
pair SLmean RSI pos-neg 16 4.9 27.6 81.2 1.6 4.0 4.1 15.7 -6.7
pair RSI SLmean pos-neg 16 4.9 27.6 81.2 1.6 4.0 4.1 15.7 -6.7
pair RSI LWTI pos-neg 7 2.1 25.8 57.1 1.1 2.7 2.9 23.4 -8.9
pair LWTI RSI pos-neg 7 2.1 25.8 57.1 1.1 2.7 2.9 23.4 -8.9
pair RSI MRmean pos-neg 14 4.3 25.7 71.4 1.6 2.6 3.9 14.8 -6.7
pair MRmean RSI pos-neg 14 4.3 25.7 71.4 1.6 2.6 3.9 14.8 -6.7
pair SLmean RSIhist neg-pos 11 3.4 25.7 72.7 1.9 7.0 4.8 12.8 -5.4
pair RSIhist SLmean neg-pos 11 3.4 25.7 72.7 1.9 7.0 4.8 12.8 -5.4
pair RSI RSIhist neg-pos 20 6.1 25.0 75.0 1.6 2.9 3.8 15.2 -6.7
pair RSIhist RSI neg-pos 20 6.1 25.0 75.0 1.6 2.9 3.8 15.2 -6.7
pair MACDhist SLmean neg-pos 28 8.5 22.7 71.4 1.5 1.9 1.7 14.0 -13.2
pair SLmean MACDhist neg-pos 28 8.5 22.7 71.4 1.5 1.9 1.7 14.0 -13.2
pair RSIhist MACDhist pos-neg 44 13.4 21.2 72.7 1.4 2.1 2.1 14.8 -10.0
pair MACDhist RSIhist pos-neg 44 13.4 21.2 72.7 1.4 2.1 2.1 14.8 -10.0
pair MACDhist RSI neg-pos 10 3.0 19.8 70.0 1.4 1.7 3.0 13.9 -6.7
pair RSI MACDhist neg-pos 10 3.0 19.8 70.0 1.4 1.7 3.0 13.9 -6.7
pair SLmean LWTI pos-neg 18 5.5 18.9 66.7 1.0 2.3 1.7 19.4 -10.9
pair LWTI SLmean pos-neg 18 5.5 18.9 66.7 1.0 2.3 1.7 19.4 -10.9
pair SLmean RSI neg-pos 58 17.7 18.2 70.7 1.2 1.6 1.5 14.6 -12.1
pair RSI SLmean neg-pos 58 17.7 18.2 70.7 1.2 1.6 1.5 14.6 -12.1
pair MRmean SLmean pos-neg 34 10.4 18.1 67.6 1.3 1.8 1.7 13.4 -10.8
pair SLmean MRmean pos-neg 34 10.4 18.1 67.6 1.3 1.8 1.7 13.4 -10.8
pair MACD SLmean pos-neg 34 10.4 17.0 67.6 1.1 2.1 1.4 15.9 -12.6
pair SLmean MACD pos-neg 34 10.4 17.0 67.6 1.1 2.1 1.4 15.9 -12.6
pair RSIhist MACDhist neg-pos 40 12.2 16.5 62.5 1.1 2.3 0.9 15.2 -17.6
pair MACDhist RSIhist neg-pos 40 12.2 16.5 62.5 1.1 2.3 0.9 15.2 -17.6
pair MACDhist LWTI pos-neg 4 1.2 16.1 75.0 0.8 0.0 2.4 22.2 -6.7
pair LWTI MACDhist pos-neg 4 1.2 16.1 75.0 0.8 0.0 2.4 22.2 -6.7
pair MRmean MACD pos-neg 32 9.8 15.6 62.5 1.0 2.0 2.2 15.6 -7.1
pair MACD MRmean pos-neg 32 9.8 15.6 62.5 1.0 2.0 2.2 15.6 -7.1
pair MACD SLmean neg-pos 65 19.8 15.1 69.2 1.0 1.2 0.5 15.7 -28.2
pair SLmean MACD neg-pos 65 19.8 15.1 69.2 1.0 1.2 0.5 15.7 -28.2
pair MACD RSIhist neg-pos 40 12.2 14.9 65.0 1.0 2.0 1.2 15.5 -12.6
pair RSIhist MACD neg-pos 40 12.2 14.9 65.0 1.0 2.0 1.2 15.5 -12.6
pair MACD MACDhist neg-pos 20 6.1 14.7 75.0 1.1 1.6 2.1 12.9 -7.1
pair MACDhist MACD neg-pos 20 6.1 14.7 75.0 1.1 1.6 2.1 12.9 -7.1
pair RSI RSIhist pos-neg 103 31.4 13.3 67.0 0.9 1.5 0.7 14.4 -18.2
pair RSIhist RSI pos-neg 103 31.4 13.3 67.0 0.9 1.5 0.7 14.4 -18.2
pair SLmean LWTI neg-pos 78 23.8 12.0 64.1 0.8 1.0 0.4 16.7 -32.7
pair LWTI SLmean neg-pos 78 23.8 12.0 64.1 0.8 1.0 0.4 16.7 -32.7
pair MRmean RSIhist pos-neg 76 23.2 11.6 64.5 0.9 1.5 0.7 13.7 -16.4
pair RSIhist MRmean pos-neg 76 23.2 11.6 64.5 0.9 1.5 0.7 13.7 -16.4
pair LWTI RSIhist neg-pos 120 36.6 11.6 65.0 0.8 1.1 0.4 15.8 -29.4
pair RSIhist LWTI neg-pos 120 36.6 11.6 65.0 0.8 1.1 0.4 15.8 -29.4
pair RSI RSmean pos-pos 245 74.7 11.4 66.1 0.8 1.2 0.4 14.0 -26.0
pair RSmean RSI pos-pos 245 74.7 11.4 66.1 0.8 1.2 0.4 14.0 -26.0
pair MACDhist MRmean pos-neg 64 19.5 11.3 59.4 0.9 1.7 1.1 13.5 -10.3
pair MRmean MACDhist pos-neg 64 19.5 11.3 59.4 0.9 1.7 1.1 13.5 -10.3
pair RSIhist RSmean pos-neg 128 39.0 11.3 67.2 0.7 0.9 0.2 16.9 -47.0
pair RSmean RSIhist pos-neg 128 39.0 11.3 67.2 0.7 0.9 0.2 16.9 -47.0
pair MACD RSIhist pos-neg 112 34.1 11.3 66.1 0.8 1.1 0.4 15.0 -28.9
pair RSIhist MACD pos-neg 112 34.1 11.3 66.1 0.8 1.1 0.4 15.0 -28.9
pair RSI MRmean neg-pos 31 9.5 11.3 67.7 0.7 1.1 0.9 16.2 -12.5
pair MRmean RSI neg-pos 31 9.5 11.3 67.7 0.7 1.1 0.9 16.2 -12.5
pair RSmean MRmean pos-pos 234 71.3 10.9 65.8 0.8 1.3 0.5 13.8 -21.0
pair MRmean RSmean pos-pos 234 71.3 10.9 65.8 0.8 1.3 0.5 13.8 -21.0
pair RSmean SLmean neg-pos 91 27.7 10.8 65.9 0.7 0.8 0.2 18.1 -45.5
pair SLmean RSmean neg-pos 91 27.7 10.8 65.9 0.7 0.8 0.2 18.1 -45.5
pair RSmean MACD pos-pos 238 72.6 10.8 66.8 0.8 1.1 0.4 14.0 -30.2
pair MACD RSmean pos-pos 238 72.6 10.8 66.8 0.8 1.1 0.4 14.0 -30.2
pair LWTI RSmean pos-pos 255 77.7 10.4 65.9 0.8 1.1 0.3 14.4 -31.2
pair RSmean LWTI pos-pos 255 77.7 10.4 65.9 0.8 1.1 0.3 14.4 -31.2
pair SLmean RSIhist pos-neg 52 15.9 10.3 65.4 0.8 1.6 0.8 13.9 -13.7
pair RSIhist SLmean pos-neg 52 15.9 10.3 65.4 0.8 1.6 0.8 13.9 -13.7
pair MACDhist RSmean pos-neg 122 37.2 10.2 63.9 0.7 0.8 0.2 17.0 -46.7
pair RSmean MACDhist pos-neg 122 37.2 10.2 63.9 0.7 0.8 0.2 17.0 -46.7
single RSmean RSmean pos-pos 302 92.1 10.0 65.6 0.7 0.9 0.2 15.2 -43.0
pair RSI MACD pos-pos 239 72.9 9.8 65.3 0.8 1.1 0.5 13.8 -21.4
pair MACDhist RSmean pos-pos 180 54.9 9.8 66.7 0.7 1.1 0.4 13.9 -22.5
pair RSmean MACDhist pos-pos 180 54.9 9.8 66.7 0.7 1.1 0.4 13.9 -22.5
pair MACD RSI pos-pos 239 72.9 9.8 65.3 0.8 1.1 0.5 13.8 -21.4
single MRmean MRmean pos-pos 244 74.4 9.8 64.3 0.8 1.2 0.4 13.7 -24.7
single MACDhist MACDhist pos-pos 182 55.5 9.7 66.5 0.7 1.1 0.4 13.9 -22.5
pair LWTI MACDhist pos-pos 178 54.3 9.6 66.3 0.7 1.1 0.4 13.7 -22.5
pair SLmean RSmean pos-pos 211 64.3 9.6 65.4 0.7 1.1 0.3 13.9 -27.8
pair MACDhist LWTI pos-pos 178 54.3 9.6 66.3 0.7 1.1 0.4 13.7 -22.5
pair MACDhist SLmean pos-neg 65 19.8 9.6 60.0 0.7 1.3 0.6 14.2 -17.6
pair SLmean MACDhist pos-neg 65 19.8 9.6 60.0 0.7 1.3 0.6 14.2 -17.6
pair RSmean SLmean pos-pos 211 64.3 9.6 65.4 0.7 1.1 0.3 13.9 -27.8
pair MRmean MACDhist pos-pos 180 54.9 9.3 66.1 0.7 1.0 0.4 13.8 -22.5
pair MACDhist MRmean pos-pos 180 54.9 9.3 66.1 0.7 1.0 0.4 13.8 -22.5
pair RSI MACDhist pos-neg 89 27.1 9.2 60.7 0.7 1.1 0.5 14.2 -18.3
single RSI RSI pos-pos 261 79.6 9.2 64.4 0.7 1.1 0.3 13.9 -26.0
pair MACDhist RSI pos-neg 89 27.1 9.2 60.7 0.7 1.1 0.5 14.2 -18.3
pair RSI MACDhist pos-pos 172 52.4 9.2 66.3 0.7 1.0 0.4 13.9 -22.5
pair MACDhist RSI pos-pos 172 52.4 9.2 66.3 0.7 1.0 0.4 13.9 -22.5
pair MACDhist MACD pos-pos 162 49.4 9.1 65.4 0.7 1.0 0.4 14.0 -22.5
pair MACD MACDhist pos-pos 162 49.4 9.1 65.4 0.7 1.0 0.4 14.0 -22.5
pair RSIhist RSmean pos-pos 174 53.0 9.0 64.4 0.7 1.0 0.2 14.0 -39.3
pair RSmean RSIhist pos-pos 174 53.0 9.0 64.4 0.7 1.0 0.2 14.0 -39.3
pair MACD LWTI pos-pos 240 73.2 9.0 65.0 0.7 1.0 0.3 14.0 -31.6
pair LWTI MACD pos-pos 240 73.2 9.0 65.0 0.7 1.0 0.3 14.0 -31.6
pair RSIhist MRmean pos-pos 168 51.2 9.0 64.3 0.7 1.0 0.2 13.8 -35.4
pair MRmean RSIhist pos-pos 168 51.2 9.0 64.3 0.7 1.0 0.2 13.8 -35.4
pair MACD MRmean pos-pos 212 64.6 9.0 64.6 0.7 1.0 0.4 13.5 -24.7
pair MRmean MACD pos-pos 212 64.6 9.0 64.6 0.7 1.0 0.4 13.5 -24.7
pair MRmean RSI pos-pos 230 70.1 8.9 63.9 0.7 1.1 0.4 13.7 -24.7
pair RSI MRmean pos-pos 230 70.1 8.9 63.9 0.7 1.1 0.4 13.7 -24.7
pair LWTI MRmean pos-pos 231 70.4 8.8 64.1 0.7 1.0 0.3 13.3 -25.4
pair MRmean LWTI pos-pos 231 70.4 8.8 64.1 0.7 1.0 0.3 13.3 -25.4
single MACD MACD pos-pos 250 76.2 8.8 64.8 0.7 0.9 0.3 14.1 -30.2
pair LWTI RSI pos-pos 254 77.4 8.8 64.6 0.7 1.0 0.3 13.7 -26.0
pair RSI LWTI pos-pos 254 77.4 8.8 64.6 0.7 1.0 0.3 13.7 -26.0
single LWTI LWTI pos-pos 279 85.1 8.5 63.8 0.7 0.9 0.3 14.3 -31.6
pair SLmean MRmean pos-pos 210 64.0 8.5 63.8 0.7 1.0 0.3 13.8 -32.2
pair MRmean SLmean pos-pos 210 64.0 8.5 63.8 0.7 1.0 0.3 13.8 -32.2
single RSIhist RSIhist pos-pos 178 54.3 8.5 64.0 0.7 1.0 0.2 13.9 -39.3
pair MACDhist MACD pos-neg 88 26.8 8.1 63.6 0.6 0.8 0.3 14.4 -28.9
single SLmean SLmean pos-pos 219 66.8 8.1 63.9 0.6 1.0 0.2 13.9 -39.1
pair MACD MACDhist pos-neg 88 26.8 8.1 63.6 0.6 0.8 0.3 14.4 -28.9
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 7.9 63.4 0.6 0.8 0.2 15.2 -43.5
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 7.9 63.4 0.6 0.8 0.2 15.2 -43.5
pair RSmean LWTI pos-neg 47 14.3 7.6 63.8 0.5 0.6 0.2 19.3 -35.0
pair LWTI RSmean pos-neg 47 14.3 7.6 63.8 0.5 0.6 0.2 19.3 -35.0
pair MRmean MACD neg-pos 38 11.6 7.6 65.8 0.5 0.7 0.3 17.5 -23.4
pair MACD MRmean neg-pos 38 11.6 7.6 65.8 0.5 0.7 0.3 17.5 -23.4
pair LWTI MRmean neg-pos 48 14.6 7.5 62.5 0.5 0.7 0.2 18.6 -31.6
pair MRmean LWTI neg-pos 48 14.6 7.5 62.5 0.5 0.7 0.2 18.6 -31.6
pair MACDhist SLmean pos-pos 154 47.0 7.5 65.6 0.6 0.9 0.3 13.8 -26.8
pair SLmean MACDhist pos-pos 154 47.0 7.5 65.6 0.6 0.9 0.3 13.8 -26.8
pair RSIhist SLmean pos-pos 167 50.9 7.5 63.5 0.6 0.9 0.2 13.9 -39.3
pair SLmean RSIhist pos-pos 167 50.9 7.5 63.5 0.6 0.9 0.2 13.9 -39.3
single SLmean SLmean neg-neg 109 33.2 7.3 62.4 0.5 0.6 0.1 17.6 -47.9
pair SLmean LWTI pos-pos 201 61.3 7.2 63.7 0.6 0.9 0.2 13.3 -38.4
pair LWTI SLmean pos-pos 201 61.3 7.2 63.7 0.6 0.9 0.2 13.3 -38.4
single RSIhist RSIhist neg-neg 150 45.7 7.1 62.7 0.5 0.7 0.1 16.7 -46.3
pair MACD RSmean pos-neg 64 19.5 7.0 60.9 0.5 0.6 0.2 19.2 -36.5
pair RSmean MACD pos-neg 64 19.5 7.0 60.9 0.5 0.6 0.2 19.2 -36.5
pair MACDhist LWTI neg-pos 101 30.8 6.7 59.4 0.5 0.7 0.2 15.4 -31.1
pair LWTI MACDhist neg-pos 101 30.8 6.7 59.4 0.5 0.7 0.2 15.4 -31.1
pair RSIhist MACD pos-pos 138 42.1 6.7 63.8 0.6 0.8 0.2 13.4 -37.5
pair MACD RSIhist pos-pos 138 42.1 6.7 63.8 0.6 0.8 0.2 13.4 -37.5
pair RSmean MRmean neg-pos 68 20.7 6.7 64.7 0.4 0.5 0.1 19.4 -47.0
pair MRmean RSmean neg-pos 68 20.7 6.7 64.7 0.4 0.5 0.1 19.4 -47.0
pair SLmean RSI pos-pos 203 61.9 6.7 62.6 0.6 0.8 0.2 13.7 -40.2
pair RSI SLmean pos-pos 203 61.9 6.7 62.6 0.6 0.8 0.2 13.7 -40.2
pair RSI RSIhist pos-pos 158 48.2 6.6 62.7 0.5 0.8 0.2 13.7 -39.3
pair RSIhist RSI pos-pos 158 48.2 6.6 62.7 0.5 0.8 0.2 13.7 -39.3
pair MACD SLmean pos-pos 185 56.4 6.6 63.2 0.5 0.8 0.2 13.5 -38.4
pair SLmean MACD pos-pos 185 56.4 6.6 63.2 0.5 0.8 0.2 13.5 -38.4
pair LWTI RSIhist pos-pos 159 48.5 6.3 62.9 0.5 0.8 0.1 13.2 -41.4
pair RSIhist LWTI pos-pos 159 48.5 6.3 62.9 0.5 0.8 0.1 13.2 -41.4
pair RSIhist MACDhist pos-pos 138 42.1 6.3 64.5 0.5 0.7 0.2 13.5 -36.4
pair MACDhist RSIhist pos-pos 138 42.1 6.3 64.5 0.5 0.7 0.2 13.5 -36.4
pair RSI LWTI neg-pos 25 7.6 6.3 56.0 0.4 0.5 0.4 20.4 -15.6
pair LWTI RSI neg-pos 25 7.6 6.3 56.0 0.4 0.5 0.4 20.4 -15.6
pair MACD RSI neg-neg 56 17.1 6.1 60.7 0.4 0.5 0.2 19.5 -35.0
pair RSI MACD neg-neg 56 17.1 6.1 60.7 0.4 0.5 0.2 19.5 -35.0
pair MACD LWTI neg-pos 39 11.9 5.9 56.4 0.4 0.7 0.3 16.2 -19.9
pair LWTI MACD neg-pos 39 11.9 5.9 56.4 0.4 0.7 0.3 16.2 -19.9
single MACDhist MACDhist neg-neg 146 44.5 5.6 59.6 0.4 0.6 0.1 16.7 -45.9
pair RSIhist SLmean neg-neg 98 29.9 5.4 61.2 0.4 0.5 0.1 18.0 -51.9
pair SLmean RSIhist neg-neg 98 29.9 5.4 61.2 0.4 0.5 0.1 18.0 -51.9
single MACD MACD neg-neg 78 23.8 5.1 59.0 0.4 0.5 0.1 18.3 -36.5
pair MACDhist RSmean neg-pos 2 0.6 4.5 50.0 0.8 0.0 0.0 5.3 0.0
pair RSmean MACDhist neg-pos 2 0.6 4.5 50.0 0.8 0.0 0.0 5.3 0.0
pair RSmean RSI pos-neg 57 17.4 4.2 63.2 0.3 0.4 0.1 19.9 -37.1
pair RSI RSmean pos-neg 57 17.4 4.2 63.2 0.3 0.4 0.1 19.9 -37.1
pair LWTI MACD neg-neg 39 11.9 4.2 61.5 0.3 0.4 0.1 20.5 -35.0
pair MACD LWTI neg-neg 39 11.9 4.2 61.5 0.3 0.4 0.1 20.5 -35.0
single LWTI LWTI neg-neg 49 14.9 4.1 61.2 0.3 0.4 0.1 19.5 -35.0
pair LWTI MACD pos-neg 10 3.0 3.7 60.0 0.3 0.6 0.3 16.1 -11.4
pair MACD LWTI pos-neg 10 3.0 3.7 60.0 0.3 0.6 0.3 16.1 -11.4
pair LWTI MACDhist neg-neg 45 13.7 3.1 60.0 0.3 0.3 0.1 19.5 -35.0
pair MACDhist LWTI neg-neg 45 13.7 3.1 60.0 0.3 0.3 0.1 19.5 -35.0
single RSI RSI neg-neg 67 20.4 2.9 59.7 0.2 0.3 0.1 19.4 -37.1
pair SLmean MRmean neg-neg 75 22.9 2.7 60.0 0.2 0.3 0.1 19.1 -49.1
pair MRmean SLmean neg-neg 75 22.9 2.7 60.0 0.2 0.3 0.1 19.1 -49.1
pair RSIhist MRmean neg-neg 74 22.6 2.6 60.8 0.2 0.3 0.1 19.3 -51.4
pair MRmean RSIhist neg-neg 74 22.6 2.6 60.8 0.2 0.3 0.1 19.3 -51.4
pair MACDhist SLmean neg-neg 81 24.7 2.5 59.3 0.2 0.3 0.1 18.6 -50.0
pair SLmean MACDhist neg-neg 81 24.7 2.5 59.3 0.2 0.3 0.1 18.6 -50.0
pair MACD RSI neg-pos 22 6.7 2.5 54.5 0.2 0.5 0.2 15.4 -10.8
pair RSI MACD neg-pos 22 6.7 2.5 54.5 0.2 0.5 0.2 15.4 -10.8
single MRmean MRmean neg-neg 84 25.6 2.4 60.7 0.2 0.3 0.1 18.8 -50.3
pair MACDhist MACD neg-neg 58 17.7 1.9 53.4 0.2 0.3 0.1 19.9 -36.5
pair MACD MACDhist neg-neg 58 17.7 1.9 53.4 0.2 0.3 0.1 19.9 -36.5
pair MACDhist RSIhist neg-neg 106 32.3 1.7 58.5 0.2 0.2 0.0 17.2 -50.1
pair RSIhist MACDhist neg-neg 106 32.3 1.7 58.5 0.2 0.2 0.0 17.2 -50.1
pair MRmean MACDhist neg-neg 82 25.0 1.3 59.8 0.2 0.2 0.0 18.9 -50.3
pair MACDhist MRmean neg-neg 82 25.0 1.3 59.8 0.2 0.2 0.0 18.9 -50.3
pair LWTI RSI neg-neg 42 12.8 0.9 61.9 0.1 0.2 0.0 18.9 -35.0
pair RSIhist MRmean neg-pos 10 3.0 0.9 60.0 0.1 0.3 0.1 16.2 -6.3
pair MRmean RSIhist neg-pos 10 3.0 0.9 60.0 0.1 0.3 0.1 16.2 -6.3
pair RSI LWTI neg-neg 42 12.8 0.9 61.9 0.1 0.2 0.0 18.9 -35.0
pair RSI MACDhist neg-neg 57 17.4 0.1 57.9 0.1 0.1 0.0 20.2 -38.3
pair MACDhist RSI neg-neg 57 17.4 0.1 57.9 0.1 0.1 0.0 20.2 -38.3
pair MRmean SLmean neg-pos 9 2.7 -0.2 66.7 0.1 13.0 -0.0 17.0 -11.9
pair SLmean MRmean neg-pos 9 2.7 -0.2 66.7 0.1 13.0 -0.0 17.0 -11.9
pair MACD MRmean neg-neg 46 14.0 -1.7 56.5 0.0 0.0 -0.0 20.0 -37.7
pair MRmean MACD neg-neg 46 14.0 -1.7 56.5 0.0 0.0 -0.0 20.0 -37.7
pair MRmean RSI neg-neg 53 16.2 -2.4 56.6 -0.0 -0.0 -0.1 20.3 -44.6
pair RSI MRmean neg-neg 53 16.2 -2.4 56.6 -0.0 -0.0 -0.1 20.3 -44.6
pair MACD RSmean neg-neg 14 4.3 -3.2 50.0 -0.2 -0.4 -0.4 14.0 -8.9
pair RSmean MACD neg-neg 14 4.3 -3.2 50.0 -0.2 -0.4 -0.4 14.0 -8.9
pair SLmean MACD neg-neg 44 13.4 -3.3 52.3 -0.1 -0.1 -0.1 19.9 -34.9
pair MACD SLmean neg-neg 44 13.4 -3.3 52.3 -0.1 -0.1 -0.1 19.9 -34.9
pair LWTI SLmean neg-neg 31 9.5 -3.6 58.1 -0.1 -0.1 -0.1 19.5 -30.8
pair SLmean LWTI neg-neg 31 9.5 -3.6 58.1 -0.1 -0.1 -0.1 19.5 -30.8
pair LWTI MRmean neg-neg 36 11.0 -3.9 58.3 -0.1 -0.1 -0.1 19.2 -35.0
pair MRmean LWTI neg-neg 36 11.0 -3.9 58.3 -0.1 -0.1 -0.1 19.2 -35.0
pair RSI SLmean neg-neg 51 15.5 -3.9 52.9 -0.1 -0.1 -0.1 20.2 -42.1
pair SLmean RSI neg-neg 51 15.5 -3.9 52.9 -0.1 -0.1 -0.1 20.2 -42.1
pair RSmean RSI neg-neg 10 3.0 -4.2 40.0 -0.2 -0.4 -0.5 16.6 -8.9
pair RSI RSmean neg-neg 10 3.0 -4.2 40.0 -0.2 -0.4 -0.5 16.6 -8.9
pair RSIhist MACD neg-neg 38 11.6 -4.4 52.6 -0.1 -0.1 -0.1 20.9 -39.1
pair MACD RSIhist neg-neg 38 11.6 -4.4 52.6 -0.1 -0.1 -0.1 20.9 -39.1
pair RSIhist RSI neg-neg 47 14.3 -5.3 53.2 -0.2 -0.2 -0.1 20.6 -47.4
pair RSI RSIhist neg-neg 47 14.3 -5.3 53.2 -0.2 -0.2 -0.1 20.6 -47.4
pair SLmean RSmean neg-neg 18 5.5 -8.9 44.4 -0.6 -1.2 -0.6 14.0 -15.6
pair RSmean SLmean neg-neg 18 5.5 -8.9 44.4 -0.6 -1.2 -0.6 14.0 -15.6
pair RSIhist LWTI neg-neg 30 9.1 -9.2 53.3 -0.4 -0.5 -0.3 19.5 -35.7
pair LWTI RSIhist neg-neg 30 9.1 -9.2 53.3 -0.4 -0.5 -0.3 19.5 -35.7
pair LWTI RSmean neg-pos 24 7.3 -9.5 41.7 -0.7 -1.3 -0.5 12.8 -20.4
pair RSmean LWTI neg-pos 24 7.3 -9.5 41.7 -0.7 -1.3 -0.5 12.8 -20.4
pair RSmean RSIhist neg-pos 4 1.2 -10.2 50.0 -1.4 -3.9 -1.9 7.7 -5.4
pair RSIhist RSmean neg-pos 4 1.2 -10.2 50.0 -1.4 -3.9 -1.9 7.7 -5.4
pair RSI MACD pos-neg 11 3.4 -12.2 54.5 -0.6 -0.7 -0.8 19.0 -16.1
pair MACD RSI pos-neg 11 3.4 -12.2 54.5 -0.6 -0.7 -0.8 19.0 -16.1
pair RSmean MRmean pos-neg 10 3.0 -13.6 30.0 -1.6 -1.9 -0.9 9.0 -14.3
pair MRmean RSmean pos-neg 10 3.0 -13.6 30.0 -1.6 -1.9 -0.9 9.0 -14.3
pair MRmean RSmean neg-neg 16 4.9 -13.8 43.8 -0.9 -2.3 -0.7 15.6 -20.4
pair RSmean MRmean neg-neg 16 4.9 -13.8 43.8 -0.9 -2.3 -0.7 15.6 -20.4
single RSmean RSmean neg-neg 26 7.9 -13.8 38.5 -1.1 -1.9 -0.5 13.2 -29.5
pair RSIhist RSmean neg-neg 22 6.7 -14.4 36.4 -1.0 -1.9 -0.5 14.1 -27.2
pair RSmean RSIhist neg-neg 22 6.7 -14.4 36.4 -1.0 -1.9 -0.5 14.1 -27.2
pair MACDhist RSmean neg-neg 24 7.3 -15.1 37.5 -1.1 -2.2 -0.5 13.6 -30.0
pair RSmean MACDhist neg-neg 24 7.3 -15.1 37.5 -1.1 -2.2 -0.5 13.6 -30.0
pair RSI RSmean neg-pos 16 4.9 -19.2 37.5 -1.9 -2.8 -0.8 10.7 -25.0
pair RSmean RSI neg-pos 16 4.9 -19.2 37.5 -1.9 -2.8 -0.8 10.7 -25.0
pair SLmean RSmean pos-neg 8 2.4 -23.7 25.0 -2.4 -3.2 -1.2 11.1 -19.6
pair RSmean SLmean pos-neg 8 2.4 -23.7 25.0 -2.4 -3.2 -1.2 11.1 -19.6
pair RSmean MACD neg-pos 12 3.7 -24.6 25.0 -2.4 -3.4 -0.9 11.6 -27.2
pair MACD RSmean neg-pos 12 3.7 -24.6 25.0 -2.4 -3.4 -0.9 11.6 -27.2
pair RSmean LWTI neg-neg 2 0.6 -51.7 0.0 -59.1 -59.1 -9.2 1.2 -5.6
pair LWTI RSmean neg-neg 2 0.6 -51.7 0.0 -59.1 -59.1 -9.2 1.2 -5.6

All Contingency Tables for XLU

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.3
Vol 14% | MDD -32.2%
Months 210M (64%)
CAGR 18.1% | Win 68%
Sharpe 1.31 | Sortino 1.79 | Calmar 1.7
Vol 13% | MDD -10.8%
Months 34M (10%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR -0.2% | Win 67%
Sharpe 0.07 | Sortino 13.03 | Calmar -0.0
Vol 17% | MDD -11.9%
Months 9M (3%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.30 | Calmar 0.1
Vol 19% | MDD -49.1%
Months 75M (23%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
SLmean
only
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 66%
Sharpe 0.82 | Sortino 1.26 | Calmar 0.5
Vol 14% | MDD -21.0%
Months 234M (71%)
CAGR -13.6% | Win 30%
Sharpe -1.57 | Sortino -1.95 | Calmar -1.0
Vol 9% | MDD -14.3%
Months 10M (3%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 6.7% | Win 65%
Sharpe 0.43 | Sortino 0.51 | Calmar 0.1
Vol 19% | MDD -47.0%
Months 68M (21%)
CAGR -13.8% | Win 44%
Sharpe -0.88 | Sortino -2.33 | Calmar -0.7
Vol 16% | MDD -20.4%
Months 16M (5%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
RSmean
only
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 65%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 212M (65%)
CAGR 15.6% | Win 62%
Sharpe 1.01 | Sortino 1.99 | Calmar 2.2
Vol 16% | MDD -7.1%
Months 32M (10%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 7.6% | Win 66%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.3
Vol 18% | MDD -23.4%
Months 38M (12%)
CAGR -1.7% | Win 56%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.0
Vol 20% | MDD -37.7%
Months 46M (14%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
MACD
only
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 64%
Sharpe 0.69 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 230M (70%)
CAGR 25.7% | Win 71%
Sharpe 1.62 | Sortino 2.59 | Calmar 3.8
Vol 15% | MDD -6.7%
Months 14M (4%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 11.3% | Win 68%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.9
Vol 16% | MDD -12.5%
Months 31M (10%)
CAGR -2.4% | Win 57%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 20% | MDD -44.6%
Months 53M (16%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.3% | Win 66%
Sharpe 0.71 | Sortino 1.03 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 180M (55%)
CAGR 11.3% | Win 59%
Sharpe 0.86 | Sortino 1.71 | Calmar 1.1
Vol 14% | MDD -10.3%
Months 64M (20%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 60.0% | Win 100%
Sharpe 2.90 | Sortino 0.00 | Calmar 0.0
Vol 17% | MDD 0.0%
Months 2M (1%)
CAGR 1.3% | Win 60%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 82M (25%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
MACDhist
only
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 64%
Sharpe 0.70 | Sortino 1.03 | Calmar 0.3
Vol 14% | MDD -35.4%
Months 168M (51%)
CAGR 11.6% | Win 64%
Sharpe 0.87 | Sortino 1.47 | Calmar 0.7
Vol 14% | MDD -16.4%
Months 76M (23%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 0.9% | Win 60%
Sharpe 0.13 | Sortino 0.30 | Calmar 0.1
Vol 16% | MDD -6.3%
Months 10M (3%)
CAGR 2.6% | Win 61%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 19% | MDD -51.4%
Months 74M (23%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 64%
Sharpe 0.70 | Sortino 1.04 | Calmar 0.3
Vol 13% | MDD -25.4%
Months 231M (70%)
CAGR 30.1% | Win 69%
Sharpe 1.45 | Sortino 3.29 | Calmar 4.5
Vol 20% | MDD -6.7%
Months 13M (4%)
CAGR 9.8% | Win 64%
Sharpe 0.75 | Sortino 1.16 | Calmar 0.4
Vol 14% | MDD -24.7%
Months 244M (74%)
MRmean
neg
CAGR 7.5% | Win 62%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -31.6%
Months 48M (15%)
CAGR -3.9% | Win 58%
Sharpe -0.11 | Sortino -0.14 | Calmar -0.1
Vol 19% | MDD -35.0%
Months 36M (11%)
CAGR 2.4% | Win 61%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.3%
Months 84M (26%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.6% | Win 65%
Sharpe 0.73 | Sortino 1.14 | Calmar 0.3
Vol 14% | MDD -27.8%
Months 211M (64%)
CAGR -23.7% | Win 25%
Sharpe -2.37 | Sortino -3.24 | Calmar -1.2
Vol 11% | MDD -19.6%
Months 8M (2%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 10.8% | Win 66%
Sharpe 0.66 | Sortino 0.76 | Calmar 0.2
Vol 18% | MDD -45.5%
Months 91M (28%)
CAGR -8.9% | Win 44%
Sharpe -0.60 | Sortino -1.18 | Calmar -0.6
Vol 14% | MDD -15.6%
Months 18M (6%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
RSmean
only
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.6% | Win 63%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 14% | MDD -38.4%
Months 185M (56%)
CAGR 17.0% | Win 68%
Sharpe 1.07 | Sortino 2.10 | Calmar 1.3
Vol 16% | MDD -12.6%
Months 34M (10%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 15.1% | Win 69%
Sharpe 0.98 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -28.2%
Months 65M (20%)
CAGR -3.3% | Win 52%
Sharpe -0.07 | Sortino -0.09 | Calmar -0.1
Vol 20% | MDD -34.9%
Months 44M (13%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
MACD
only
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.7% | Win 63%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.2
Vol 14% | MDD -40.2%
Months 203M (62%)
CAGR 27.6% | Win 81%
Sharpe 1.65 | Sortino 4.00 | Calmar 4.1
Vol 16% | MDD -6.7%
Months 16M (5%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 18.2% | Win 71%
Sharpe 1.22 | Sortino 1.61 | Calmar 1.5
Vol 15% | MDD -12.1%
Months 58M (18%)
CAGR -3.9% | Win 53%
Sharpe -0.09 | Sortino -0.12 | Calmar -0.1
Vol 20% | MDD -42.1%
Months 51M (16%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 66%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 14% | MDD -26.8%
Months 154M (47%)
CAGR 9.6% | Win 60%
Sharpe 0.72 | Sortino 1.34 | Calmar 0.5
Vol 14% | MDD -17.6%
Months 65M (20%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 22.7% | Win 71%
Sharpe 1.54 | Sortino 1.90 | Calmar 1.7
Vol 14% | MDD -13.2%
Months 28M (8%)
CAGR 2.5% | Win 59%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.0
Vol 19% | MDD -50.0%
Months 81M (25%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
MACDhist
only
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 64%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 167M (51%)
CAGR 10.3% | Win 65%
Sharpe 0.78 | Sortino 1.55 | Calmar 0.8
Vol 14% | MDD -13.7%
Months 52M (16%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 25.7% | Win 73%
Sharpe 1.86 | Sortino 6.96 | Calmar 4.8
Vol 13% | MDD -5.4%
Months 11M (3%)
CAGR 5.4% | Win 61%
Sharpe 0.39 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -51.9%
Months 98M (30%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.2% | Win 64%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.2
Vol 13% | MDD -38.4%
Months 201M (61%)
CAGR 18.9% | Win 67%
Sharpe 0.99 | Sortino 2.32 | Calmar 1.7
Vol 19% | MDD -10.9%
Months 18M (6%)
CAGR 8.1% | Win 64%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.1%
Months 219M (67%)
SLmean
neg
CAGR 12.0% | Win 64%
Sharpe 0.76 | Sortino 1.01 | Calmar 0.4
Vol 17% | MDD -32.7%
Months 78M (24%)
CAGR -3.6% | Win 58%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.1
Vol 20% | MDD -30.8%
Months 31M (10%)
CAGR 7.3% | Win 62%
Sharpe 0.49 | Sortino 0.61 | Calmar 0.2
Vol 18% | MDD -47.9%
Months 109M (33%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 67%
Sharpe 0.80 | Sortino 1.11 | Calmar 0.4
Vol 14% | MDD -30.2%
Months 238M (73%)
CAGR 7.0% | Win 61%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -36.5%
Months 64M (20%)
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
RSmean
neg
CAGR -24.6% | Win 25%
Sharpe -2.36 | Sortino -3.37 | Calmar -0.9
Vol 12% | MDD -27.2%
Months 12M (4%)
CAGR -3.2% | Win 50%
Sharpe -0.17 | Sortino -0.37 | Calmar -0.4
Vol 14% | MDD -8.9%
Months 14M (4%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
MACD
only
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 11.4% | Win 66%
Sharpe 0.84 | Sortino 1.25 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 245M (75%)
CAGR 4.2% | Win 63%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.1
Vol 20% | MDD -37.1%
Months 57M (17%)
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
RSmean
neg
CAGR -19.2% | Win 38%
Sharpe -1.93 | Sortino -2.77 | Calmar -0.8
Vol 11% | MDD -25.0%
Months 16M (5%)
CAGR -4.2% | Win 40%
Sharpe -0.18 | Sortino -0.41 | Calmar -0.5
Vol 17% | MDD -8.9%
Months 10M (3%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.8% | Win 67%
Sharpe 0.74 | Sortino 1.08 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 180M (55%)
CAGR 10.2% | Win 64%
Sharpe 0.66 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -46.7%
Months 122M (37%)
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
RSmean
neg
CAGR 4.5% | Win 50%
Sharpe 0.85 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR -15.1% | Win 38%
Sharpe -1.13 | Sortino -2.21 | Calmar -0.5
Vol 14% | MDD -30.0%
Months 24M (7%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
MACDhist
only
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 64%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 174M (53%)
CAGR 11.3% | Win 67%
Sharpe 0.72 | Sortino 0.87 | Calmar 0.2
Vol 17% | MDD -47.0%
Months 128M (39%)
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
RSmean
neg
CAGR -10.2% | Win 50%
Sharpe -1.36 | Sortino -3.85 | Calmar -1.9
Vol 8% | MDD -5.4%
Months 4M (1%)
CAGR -14.4% | Win 36%
Sharpe -1.03 | Sortino -1.90 | Calmar -0.5
Vol 14% | MDD -27.2%
Months 22M (7%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.4% | Win 66%
Sharpe 0.76 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -31.2%
Months 255M (78%)
CAGR 7.6% | Win 64%
Sharpe 0.48 | Sortino 0.59 | Calmar 0.2
Vol 19% | MDD -35.0%
Months 47M (14%)
CAGR 10.0% | Win 66%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -43.0%
Months 302M (92%)
RSmean
neg
CAGR -9.5% | Win 42%
Sharpe -0.71 | Sortino -1.32 | Calmar -0.5
Vol 13% | MDD -20.4%
Months 24M (7%)
CAGR -51.7% | Win 0%
Sharpe -59.12 | Sortino -59.12 | Calmar -9.2
Vol 1% | MDD -5.6%
Months 2M (1%)
CAGR -13.8% | Win 38%
Sharpe -1.05 | Sortino -1.92 | Calmar -0.5
Vol 13% | MDD -29.5%
Months 26M (8%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.8% | Win 65%
Sharpe 0.75 | Sortino 1.09 | Calmar 0.5
Vol 14% | MDD -21.4%
Months 239M (73%)
CAGR -12.2% | Win 55%
Sharpe -0.59 | Sortino -0.73 | Calmar -0.8
Vol 19% | MDD -16.1%
Months 11M (3%)
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
MACD
neg
CAGR 2.5% | Win 55%
Sharpe 0.23 | Sortino 0.50 | Calmar 0.2
Vol 15% | MDD -10.8%
Months 22M (7%)
CAGR 6.1% | Win 61%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 20% | MDD -35.0%
Months 56M (17%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
RSI
only
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.1% | Win 65%
Sharpe 0.70 | Sortino 1.00 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 162M (49%)
CAGR 8.1% | Win 64%
Sharpe 0.61 | Sortino 0.84 | Calmar 0.3
Vol 14% | MDD -28.9%
Months 88M (27%)
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
MACD
neg
CAGR 14.7% | Win 75%
Sharpe 1.13 | Sortino 1.59 | Calmar 2.1
Vol 13% | MDD -7.1%
Months 20M (6%)
CAGR 1.9% | Win 53%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.1
Vol 20% | MDD -36.5%
Months 58M (18%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
MACDhist
only
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.7% | Win 64%
Sharpe 0.56 | Sortino 0.77 | Calmar 0.2
Vol 13% | MDD -37.5%
Months 138M (42%)
CAGR 11.3% | Win 66%
Sharpe 0.79 | Sortino 1.14 | Calmar 0.4
Vol 15% | MDD -28.9%
Months 112M (34%)
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
MACD
neg
CAGR 14.9% | Win 65%
Sharpe 0.98 | Sortino 2.02 | Calmar 1.2
Vol 16% | MDD -12.6%
Months 40M (12%)
CAGR -4.4% | Win 53%
Sharpe -0.11 | Sortino -0.14 | Calmar -0.1
Vol 21% | MDD -39.1%
Months 38M (12%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 65%
Sharpe 0.68 | Sortino 0.96 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 240M (73%)
CAGR 3.7% | Win 60%
Sharpe 0.30 | Sortino 0.56 | Calmar 0.3
Vol 16% | MDD -11.4%
Months 10M (3%)
CAGR 8.8% | Win 65%
Sharpe 0.67 | Sortino 0.95 | Calmar 0.3
Vol 14% | MDD -30.2%
Months 250M (76%)
MACD
neg
CAGR 5.9% | Win 56%
Sharpe 0.43 | Sortino 0.69 | Calmar 0.3
Vol 16% | MDD -19.9%
Months 39M (12%)
CAGR 4.2% | Win 62%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 39M (12%)
CAGR 5.1% | Win 59%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -36.5%
Months 78M (24%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.2% | Win 66%
Sharpe 0.70 | Sortino 1.02 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 172M (52%)
CAGR 9.2% | Win 61%
Sharpe 0.69 | Sortino 1.14 | Calmar 0.5
Vol 14% | MDD -18.3%
Months 89M (27%)
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
RSI
neg
CAGR 19.8% | Win 70%
Sharpe 1.37 | Sortino 1.68 | Calmar 3.0
Vol 14% | MDD -6.7%
Months 10M (3%)
CAGR 0.1% | Win 58%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 20% | MDD -38.3%
Months 57M (17%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
MACDhist
only
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.6% | Win 63%
Sharpe 0.54 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 158M (48%)
CAGR 13.3% | Win 67%
Sharpe 0.94 | Sortino 1.47 | Calmar 0.7
Vol 14% | MDD -18.2%
Months 103M (31%)
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
RSI
neg
CAGR 25.0% | Win 75%
Sharpe 1.55 | Sortino 2.88 | Calmar 3.8
Vol 15% | MDD -6.7%
Months 20M (6%)
CAGR -5.3% | Win 53%
Sharpe -0.16 | Sortino -0.20 | Calmar -0.1
Vol 21% | MDD -47.4%
Months 47M (14%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.8% | Win 65%
Sharpe 0.69 | Sortino 1.01 | Calmar 0.3
Vol 14% | MDD -26.0%
Months 254M (77%)
CAGR 25.8% | Win 57%
Sharpe 1.09 | Sortino 2.67 | Calmar 2.9
Vol 23% | MDD -8.9%
Months 7M (2%)
CAGR 9.2% | Win 64%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -26.0%
Months 261M (80%)
RSI
neg
CAGR 6.3% | Win 56%
Sharpe 0.40 | Sortino 0.54 | Calmar 0.4
Vol 20% | MDD -15.6%
Months 25M (8%)
CAGR 0.9% | Win 62%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 19% | MDD -35.0%
Months 42M (13%)
CAGR 2.9% | Win 60%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 19% | MDD -37.1%
Months 67M (20%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 6.3% | Win 64%
Sharpe 0.52 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -36.4%
Months 138M (42%)
CAGR 21.2% | Win 73%
Sharpe 1.38 | Sortino 2.10 | Calmar 2.1
Vol 15% | MDD -10.0%
Months 44M (13%)
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
MACDhist
neg
CAGR 16.5% | Win 62%
Sharpe 1.09 | Sortino 2.26 | Calmar 0.9
Vol 15% | MDD -17.6%
Months 40M (12%)
CAGR 1.7% | Win 58%
Sharpe 0.19 | Sortino 0.24 | Calmar 0.0
Vol 17% | MDD -50.1%
Months 106M (32%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
RSIhist
only
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.6% | Win 66%
Sharpe 0.74 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 178M (54%)
CAGR 16.1% | Win 75%
Sharpe 0.76 | Sortino 0.00 | Calmar 2.4
Vol 22% | MDD -6.7%
Months 4M (1%)
CAGR 9.7% | Win 66%
Sharpe 0.74 | Sortino 1.07 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 182M (56%)
MACDhist
neg
CAGR 6.7% | Win 59%
Sharpe 0.50 | Sortino 0.71 | Calmar 0.2
Vol 15% | MDD -31.1%
Months 101M (31%)
CAGR 3.1% | Win 60%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 45M (14%)
CAGR 5.6% | Win 60%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -45.9%
Months 146M (44%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 6.3% | Win 63%
Sharpe 0.53 | Sortino 0.75 | Calmar 0.2
Vol 13% | MDD -41.4%
Months 159M (48%)
CAGR 29.2% | Win 74%
Sharpe 1.50 | Sortino 3.21 | Calmar 4.4
Vol 18% | MDD -6.7%
Months 19M (6%)
CAGR 8.5% | Win 64%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -39.3%
Months 178M (54%)
RSIhist
neg
CAGR 11.6% | Win 65%
Sharpe 0.78 | Sortino 1.11 | Calmar 0.4
Vol 16% | MDD -29.4%
Months 120M (37%)
CAGR -9.2% | Win 53%
Sharpe -0.39 | Sortino -0.47 | Calmar -0.3
Vol 20% | MDD -35.7%
Months 30M (9%)
CAGR 7.1% | Win 63%
Sharpe 0.50 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -46.3%
Months 150M (46%)
LWTI
only
CAGR 8.5% | Win 64%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 14% | MDD -31.6%
Months 279M (85%)
CAGR 4.1% | Win 61%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -35.0%
Months 49M (15%)