XLV - State Street Health Care Select Sector SPDR ETF

Signal Pair Analysis

MRmean-RSIhist

Best Pair

61.5%

Best CAGR

94

Total Months

10.4%

Avg CAGR

XLV 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 XLV

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean RSIhist neg-pos 5 1.5 61.5 100.0 10.9 0.0 0.0 4.5 0.0
pair RSIhist MRmean neg-pos 5 1.5 61.5 100.0 10.9 0.0 0.0 4.5 0.0
pair RSI RSIhist neg-pos 8 2.4 54.6 87.5 4.4 0.0 73.2 10.3 -0.7
pair RSIhist RSI neg-pos 8 2.4 54.6 87.5 4.4 0.0 73.2 10.3 -0.7
pair SLmean RSI pos-neg 10 3.0 50.6 90.0 4.5 0.0 67.8 9.2 -0.7
pair RSI SLmean pos-neg 10 3.0 50.6 90.0 4.5 0.0 67.8 9.2 -0.7
pair MRmean SLmean neg-pos 7 2.1 50.2 100.0 8.0 0.0 0.0 5.2 0.0
pair SLmean MRmean neg-pos 7 2.1 50.2 100.0 8.0 0.0 0.0 5.2 0.0
pair RSI MRmean pos-neg 6 1.8 47.5 83.3 3.5 0.0 0.0 11.3 0.0
pair MRmean RSI pos-neg 6 1.8 47.5 83.3 3.5 0.0 0.0 11.3 0.0
pair LWTI MACD pos-neg 14 4.3 37.8 78.6 2.4 2.6 5.1 14.1 -7.4
pair MACD LWTI pos-neg 14 4.3 37.8 78.6 2.4 2.6 5.1 14.1 -7.4
pair LWTI RSIhist pos-neg 20 6.1 30.6 75.0 2.2 2.8 4.1 12.4 -7.4
pair RSIhist LWTI pos-neg 20 6.1 30.6 75.0 2.2 2.8 4.1 12.4 -7.4
pair SLmean LWTI pos-neg 23 7.0 30.1 78.3 2.4 2.7 4.0 11.6 -7.4
pair LWTI SLmean pos-neg 23 7.0 30.1 78.3 2.4 2.7 4.0 11.6 -7.4
pair RSmean LWTI pos-neg 33 10.1 27.0 72.7 1.6 1.7 1.4 15.6 -19.5
pair LWTI RSmean pos-neg 33 10.1 27.0 72.7 1.6 1.7 1.4 15.6 -19.5
pair MACD RSIhist neg-pos 19 5.8 25.8 73.7 2.1 5.2 6.9 11.2 -3.8
pair RSIhist MACD neg-pos 19 5.8 25.8 73.7 2.1 5.2 6.9 11.2 -3.8
pair LWTI MACDhist neg-neg 28 8.5 25.3 75.0 1.3 1.4 0.9 18.8 -28.8
pair MACDhist LWTI neg-neg 28 8.5 25.3 75.0 1.3 1.4 0.9 18.8 -28.8
pair RSI LWTI pos-neg 17 5.2 23.5 70.6 1.7 2.2 2.7 12.9 -8.8
pair LWTI RSI pos-neg 17 5.2 23.5 70.6 1.7 2.2 2.7 12.9 -8.8
pair RSIhist RSmean neg-pos 6 1.8 22.9 83.3 1.9 0.0 5.4 10.9 -4.3
pair RSmean RSIhist neg-pos 6 1.8 22.9 83.3 1.9 0.0 5.4 10.9 -4.3
pair MACD RSI neg-neg 28 8.5 22.9 67.9 1.1 1.4 1.0 19.7 -23.1
pair RSI MACD neg-neg 28 8.5 22.9 67.9 1.1 1.4 1.0 19.7 -23.1
pair MRmean LWTI pos-neg 17 5.2 22.8 70.6 1.7 2.2 3.1 12.8 -7.4
pair LWTI MRmean pos-neg 17 5.2 22.8 70.6 1.7 2.2 3.1 12.8 -7.4
pair RSI MRmean neg-pos 50 15.2 22.3 68.0 1.5 3.6 2.6 14.1 -8.6
pair MRmean RSI neg-pos 50 15.2 22.3 68.0 1.5 3.6 2.6 14.1 -8.6
pair MRmean RSmean neg-pos 76 23.2 21.9 68.4 1.3 1.7 1.4 16.4 -15.1
pair RSmean MRmean neg-pos 76 23.2 21.9 68.4 1.3 1.7 1.4 16.4 -15.1
single LWTI LWTI neg-neg 35 10.7 21.5 71.4 1.2 1.3 0.8 17.1 -28.8
pair LWTI MRmean neg-neg 18 5.5 20.3 72.2 1.0 1.1 0.9 20.8 -23.1
pair MRmean LWTI neg-neg 18 5.5 20.3 72.2 1.0 1.1 0.9 20.8 -23.1
pair MRmean MACDhist neg-neg 76 23.2 20.1 69.7 1.1 1.5 0.8 17.4 -24.9
pair MACDhist MRmean neg-neg 76 23.2 20.1 69.7 1.1 1.5 0.8 17.4 -24.9
pair LWTI RSI neg-neg 18 5.5 19.6 72.2 1.0 1.0 0.8 20.8 -23.1
pair RSI LWTI neg-neg 18 5.5 19.6 72.2 1.0 1.0 0.8 20.8 -23.1
pair RSmean MACDhist neg-pos 2 0.6 19.2 100.0 9.2 0.0 0.0 1.9 0.0
pair MACDhist RSmean neg-pos 2 0.6 19.2 100.0 9.2 0.0 0.0 1.9 0.0
pair MRmean MACD neg-pos 56 17.1 18.6 67.9 1.2 1.7 0.8 15.9 -22.3
pair MACD MRmean neg-pos 56 17.1 18.6 67.9 1.2 1.7 0.8 15.9 -22.3
single MRmean MRmean neg-neg 91 27.7 17.2 65.9 1.0 1.4 0.7 16.9 -24.9
pair RSmean RSI pos-neg 43 13.1 16.6 65.1 0.9 1.2 1.1 18.5 -14.5
pair RSI RSmean pos-neg 43 13.1 16.6 65.1 0.9 1.2 1.1 18.5 -14.5
pair MRmean LWTI neg-pos 73 22.3 16.4 64.4 1.0 1.7 0.9 15.9 -18.8
pair LWTI MRmean neg-pos 73 22.3 16.4 64.4 1.0 1.7 0.9 15.9 -18.8
pair RSI MACDhist neg-neg 39 11.9 16.2 69.2 0.9 1.0 0.7 19.3 -23.1
pair MACDhist RSI neg-neg 39 11.9 16.2 69.2 0.9 1.0 0.7 19.3 -23.1
pair RSmean SLmean neg-pos 97 29.6 16.1 64.9 1.0 1.5 0.8 16.7 -20.6
pair SLmean RSmean neg-pos 97 29.6 16.1 64.9 1.0 1.5 0.8 16.7 -20.6
pair MACD RSmean pos-neg 44 13.4 15.5 61.4 1.0 1.4 1.1 16.3 -13.4
pair RSmean MACD pos-neg 44 13.4 15.5 61.4 1.0 1.4 1.1 16.3 -13.4
single RSI RSI neg-neg 47 14.3 15.3 66.0 0.8 1.0 0.7 19.1 -23.1
pair MRmean RSIhist neg-neg 86 26.2 15.0 64.0 0.9 1.3 0.6 17.2 -24.9
pair RSIhist MRmean neg-neg 86 26.2 15.0 64.0 0.9 1.3 0.6 17.2 -24.9
pair SLmean RSI neg-pos 78 23.8 14.9 64.1 1.0 2.3 0.8 14.9 -18.8
pair RSI SLmean neg-pos 78 23.8 14.9 64.1 1.0 2.3 0.8 14.9 -18.8
pair RSIhist MACDhist pos-neg 52 15.9 14.8 69.2 1.1 2.4 1.7 13.2 -8.7
pair MACD MRmean neg-neg 35 10.7 14.8 62.9 0.8 1.1 0.6 18.5 -23.1
pair MACDhist RSIhist pos-neg 52 15.9 14.8 69.2 1.1 2.4 1.7 13.2 -8.7
pair SLmean MRmean neg-neg 84 25.6 14.8 63.1 0.9 1.3 0.6 17.4 -26.4
pair MRmean SLmean neg-neg 84 25.6 14.8 63.1 0.9 1.3 0.6 17.4 -26.4
pair MRmean MACD neg-neg 35 10.7 14.8 62.9 0.8 1.1 0.6 18.5 -23.1
pair SLmean MACDhist neg-neg 78 23.8 14.3 64.1 0.8 1.2 0.5 17.8 -26.4
pair MACDhist SLmean neg-neg 78 23.8 14.3 64.1 0.8 1.2 0.5 17.8 -26.4
pair RSIhist MACDhist neg-pos 36 11.0 14.0 58.3 1.1 2.2 1.8 12.3 -7.8
pair MACDhist RSIhist neg-pos 36 11.0 14.0 58.3 1.1 2.2 1.8 12.3 -7.8
pair SLmean MACD neg-neg 34 10.4 13.7 61.8 0.8 1.1 0.6 19.1 -23.1
pair MACD SLmean neg-neg 34 10.4 13.7 61.8 0.8 1.1 0.6 19.1 -23.1
pair MACDhist MACD neg-pos 10 3.0 13.6 70.0 1.0 1.4 2.2 14.0 -6.2
pair MACD MACDhist neg-pos 10 3.0 13.6 70.0 1.0 1.4 2.2 14.0 -6.2
pair RSmean RSIhist pos-neg 131 39.9 13.5 64.1 0.9 1.4 0.7 15.8 -19.0
pair RSIhist RSmean pos-neg 131 39.9 13.5 64.1 0.9 1.4 0.7 15.8 -19.0
pair RSIhist SLmean neg-neg 114 34.8 13.3 63.2 0.8 1.3 0.5 16.8 -29.7
pair SLmean RSIhist neg-neg 114 34.8 13.3 63.2 0.8 1.3 0.5 16.8 -29.7
pair SLmean LWTI neg-pos 103 31.4 13.1 63.1 0.9 1.5 0.5 15.9 -24.0
pair LWTI SLmean neg-pos 103 31.4 13.1 63.1 0.9 1.5 0.5 15.9 -24.0
pair LWTI RSI neg-pos 29 8.8 12.7 62.1 0.7 1.0 0.9 18.3 -14.5
pair MACDhist RSmean pos-neg 111 33.8 12.7 59.5 0.8 1.3 0.6 16.0 -21.4
pair RSmean MACDhist pos-neg 111 33.8 12.7 59.5 0.8 1.3 0.6 16.0 -21.4
pair RSI LWTI neg-pos 29 8.8 12.7 62.1 0.7 1.0 0.9 18.3 -14.5
single SLmean SLmean neg-neg 115 35.1 12.4 62.6 0.8 1.2 0.4 16.9 -29.7
pair SLmean MACD neg-pos 81 24.7 11.8 63.0 0.8 1.3 0.6 16.0 -21.2
pair MACD SLmean neg-pos 81 24.7 11.8 63.0 0.8 1.3 0.6 16.0 -21.2
pair MACD LWTI neg-neg 21 6.4 11.7 66.7 0.7 0.7 0.5 18.9 -23.1
pair LWTI MACD neg-neg 21 6.4 11.7 66.7 0.7 0.7 0.5 18.9 -23.1
pair MRmean RSI neg-neg 41 12.5 11.2 63.4 0.6 0.8 0.5 19.9 -23.1
pair RSI MRmean neg-neg 41 12.5 11.2 63.4 0.6 0.8 0.5 19.9 -23.1
single MACD MACD neg-neg 59 18.0 11.2 61.0 0.7 1.0 0.5 17.1 -23.1
pair RSI MACDhist neg-pos 8 2.4 11.1 50.0 0.6 1.7 1.8 19.2 -6.2
pair MACDhist RSI neg-pos 8 2.4 11.1 50.0 0.6 1.7 1.8 19.2 -6.2
pair RSIhist MACD pos-neg 117 35.7 10.9 63.2 0.8 1.3 0.5 14.9 -21.2
pair MACD LWTI neg-pos 38 11.6 10.9 57.9 0.7 1.4 0.8 16.3 -13.2
pair LWTI MACD neg-pos 38 11.6 10.9 57.9 0.7 1.4 0.8 16.3 -13.2
pair MACD RSIhist pos-neg 117 35.7 10.9 63.2 0.8 1.3 0.5 14.9 -21.2
pair MACDhist MACD neg-neg 49 14.9 10.7 59.2 0.7 0.9 0.5 17.8 -23.1
pair MACD MACDhist neg-neg 49 14.9 10.7 59.2 0.7 0.9 0.5 17.8 -23.1
pair LWTI RSIhist neg-neg 15 4.6 10.3 66.7 0.6 0.6 0.5 22.2 -23.1
pair RSIhist LWTI neg-neg 15 4.6 10.3 66.7 0.6 0.6 0.5 22.2 -23.1
pair RSIhist RSI pos-neg 118 36.0 9.6 61.0 0.7 1.4 0.4 14.5 -22.3
pair RSI RSIhist pos-neg 118 36.0 9.6 61.0 0.7 1.4 0.4 14.5 -22.3
single RSmean RSmean pos-pos 296 90.2 9.5 60.5 0.7 1.1 0.3 14.0 -28.3
single RSIhist RSIhist neg-neg 157 47.9 9.3 61.1 0.6 1.0 0.3 16.0 -28.3
pair RSIhist LWTI neg-pos 142 43.3 9.2 60.6 0.7 1.1 0.3 15.3 -27.6
pair LWTI RSIhist neg-pos 142 43.3 9.2 60.6 0.7 1.1 0.3 15.3 -27.6
single MACDhist MACDhist neg-neg 141 43.0 8.5 57.4 0.6 0.9 0.3 16.1 -30.5
pair MACDhist SLmean neg-pos 37 11.3 8.5 59.5 0.6 1.3 0.6 14.8 -13.6
pair SLmean MACDhist neg-pos 37 11.3 8.5 59.5 0.6 1.3 0.6 14.8 -13.6
pair MACD RSmean pos-pos 252 76.8 8.5 60.3 0.7 1.1 0.3 13.6 -28.4
pair RSmean MACD pos-pos 252 76.8 8.5 60.3 0.7 1.1 0.3 13.6 -28.4
pair RSIhist RSI neg-neg 39 11.9 8.5 61.5 0.5 0.7 0.4 20.1 -23.5
pair RSI RSIhist neg-neg 39 11.9 8.5 61.5 0.5 0.7 0.4 20.1 -23.5
pair RSmean RSI pos-pos 253 77.1 8.3 59.7 0.7 1.1 0.3 13.1 -23.7
pair RSI RSmean pos-pos 253 77.1 8.3 59.7 0.7 1.1 0.3 13.1 -23.7
pair MRmean MACDhist pos-pos 172 52.4 8.1 62.8 0.7 1.1 0.5 12.6 -17.3
pair MACDhist MRmean pos-pos 172 52.4 8.1 62.8 0.7 1.1 0.5 12.6 -17.3
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 8.1 59.8 0.6 1.0 0.2 14.2 -35.5
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 8.1 59.8 0.6 1.0 0.2 14.2 -35.5
pair SLmean MACD pos-neg 25 7.6 7.7 60.0 0.6 0.9 0.4 14.3 -21.3
pair MACD SLmean pos-neg 25 7.6 7.7 60.0 0.6 0.9 0.4 14.3 -21.3
single MACDhist MACDhist pos-pos 187 57.0 7.7 61.5 0.7 1.0 0.4 12.6 -17.6
pair LWTI MACDhist pos-pos 180 54.9 7.7 61.7 0.7 1.0 0.5 12.8 -16.4
pair MACDhist LWTI pos-pos 180 54.9 7.7 61.7 0.7 1.0 0.5 12.8 -16.4
pair RSmean MACDhist pos-pos 185 56.4 7.6 61.1 0.6 1.0 0.4 12.7 -17.6
pair MACDhist RSmean pos-pos 185 56.4 7.6 61.1 0.6 1.0 0.4 12.7 -17.6
pair MACDhist RSI pos-pos 179 54.6 7.6 62.0 0.7 1.0 0.4 12.3 -17.6
pair RSI MACDhist pos-pos 179 54.6 7.6 62.0 0.7 1.0 0.4 12.3 -17.6
pair RSI MACD pos-pos 250 76.2 7.6 59.2 0.6 1.1 0.3 13.1 -23.2
pair MACD RSI pos-pos 250 76.2 7.6 59.2 0.6 1.1 0.3 13.1 -23.2
pair MACDhist SLmean pos-pos 150 45.7 7.6 62.0 0.7 1.0 0.3 12.1 -23.8
pair SLmean MACDhist pos-pos 150 45.7 7.6 62.0 0.7 1.0 0.3 12.1 -23.8
pair RSIhist SLmean pos-pos 170 51.8 7.5 58.8 0.7 1.0 0.3 12.2 -21.3
pair SLmean RSIhist pos-pos 170 51.8 7.5 58.8 0.7 1.0 0.3 12.2 -21.3
pair MACDhist LWTI pos-neg 7 2.1 7.5 57.1 1.0 2.9 2.2 7.7 -3.5
pair RSmean LWTI pos-pos 263 80.2 7.5 58.9 0.6 1.0 0.3 13.7 -28.1
pair LWTI RSmean pos-pos 263 80.2 7.5 58.9 0.6 1.0 0.3 13.7 -28.1
pair LWTI MACDhist pos-neg 7 2.1 7.5 57.1 1.0 2.9 2.2 7.7 -3.5
pair MACD MACDhist pos-pos 177 54.0 7.4 61.0 0.6 1.0 0.4 12.6 -17.6
pair MACDhist MACD pos-neg 92 28.0 7.4 56.5 0.6 0.9 0.3 15.3 -23.1
pair MACD MACDhist pos-neg 92 28.0 7.4 56.5 0.6 0.9 0.3 15.3 -23.1
pair MACDhist MACD pos-pos 177 54.0 7.4 61.0 0.6 1.0 0.4 12.6 -17.6
single MACD MACD pos-pos 269 82.0 7.4 59.5 0.6 0.9 0.2 13.5 -32.1
pair SLmean RSI neg-neg 37 11.3 7.2 59.5 0.4 0.6 0.3 20.6 -27.3
pair RSI SLmean neg-neg 37 11.3 7.2 59.5 0.4 0.6 0.3 20.6 -27.3
single RSIhist RSIhist pos-pos 171 52.1 6.9 58.5 0.6 0.9 0.3 12.3 -21.3
single RSI RSI pos-pos 281 85.7 6.9 58.7 0.6 1.0 0.2 13.2 -27.5
pair RSIhist MACDhist neg-neg 105 32.0 6.7 57.1 0.5 0.7 0.3 17.3 -24.9
pair MACDhist RSIhist neg-neg 105 32.0 6.7 57.1 0.5 0.7 0.3 17.3 -24.9
single LWTI LWTI pos-pos 293 89.3 6.6 58.4 0.5 0.9 0.2 13.8 -35.4
pair LWTI SLmean neg-neg 12 3.7 6.5 58.3 0.4 0.5 0.3 24.9 -23.1
pair SLmean LWTI neg-neg 12 3.7 6.5 58.3 0.4 0.5 0.3 24.9 -23.1
pair RSmean RSIhist pos-pos 165 50.3 6.4 57.6 0.6 0.9 0.3 12.4 -21.2
pair RSIhist RSmean pos-pos 165 50.3 6.4 57.6 0.6 0.9 0.3 12.4 -21.2
pair SLmean RSmean pos-pos 199 60.7 6.4 58.3 0.6 0.9 0.3 12.4 -22.9
pair RSmean SLmean pos-pos 199 60.7 6.4 58.3 0.6 0.9 0.3 12.4 -22.9
pair MRmean SLmean pos-neg 31 9.5 6.2 61.3 0.5 1.0 0.3 15.6 -17.6
pair SLmean MRmean pos-neg 31 9.5 6.2 61.3 0.5 1.0 0.3 15.6 -17.6
pair MACD MRmean pos-neg 24 7.3 6.0 58.3 0.5 0.7 0.4 15.0 -16.2
pair LWTI MACD pos-pos 255 77.7 6.0 58.4 0.5 0.8 0.2 13.4 -36.4
pair MACD LWTI pos-pos 255 77.7 6.0 58.4 0.5 0.8 0.2 13.4 -36.4
pair MRmean MACD pos-neg 24 7.3 6.0 58.3 0.5 0.7 0.4 15.0 -16.2
pair LWTI RSI pos-pos 264 80.5 5.9 58.0 0.5 0.9 0.2 13.2 -37.9
pair RSI LWTI pos-pos 264 80.5 5.9 58.0 0.5 0.9 0.2 13.2 -37.9
pair MACDhist RSI pos-neg 102 31.1 5.8 52.9 0.5 0.9 0.2 14.7 -24.3
pair RSI MACDhist pos-neg 102 31.1 5.8 52.9 0.5 0.9 0.2 14.7 -24.3
single SLmean SLmean pos-pos 213 64.9 5.8 58.2 0.5 0.8 0.2 12.5 -27.8
pair RSIhist MRmean pos-pos 166 50.6 5.6 57.2 0.5 0.8 0.3 12.3 -21.3
pair MRmean RSIhist pos-pos 166 50.6 5.6 57.2 0.5 0.8 0.3 12.3 -21.3
pair MACD SLmean pos-pos 188 57.3 5.6 58.0 0.5 0.8 0.2 12.3 -27.8
pair SLmean MACD pos-pos 188 57.3 5.6 58.0 0.5 0.8 0.2 12.3 -27.8
pair RSmean MRmean pos-pos 220 67.1 5.5 57.7 0.5 0.8 0.3 12.9 -19.4
pair MRmean RSmean pos-pos 220 67.1 5.5 57.7 0.5 0.8 0.3 12.9 -19.4
pair RSIhist MACDhist pos-pos 135 41.2 5.1 58.5 0.5 0.7 0.2 12.4 -25.1
pair MACDhist RSIhist pos-pos 135 41.2 5.1 58.5 0.5 0.7 0.2 12.4 -25.1
pair RSI RSIhist pos-pos 163 49.7 5.0 57.1 0.5 0.7 0.2 12.2 -21.3
pair RSIhist RSI pos-pos 163 49.7 5.0 57.1 0.5 0.7 0.2 12.2 -21.3
pair MACD RSI pos-neg 19 5.8 4.9 63.2 0.3 0.4 0.2 18.3 -19.6
pair RSI MACD pos-neg 19 5.8 4.9 63.2 0.3 0.4 0.2 18.3 -19.6
pair MACD RSIhist neg-neg 40 12.2 4.8 55.0 0.3 0.5 0.2 19.2 -23.1
pair RSIhist MACD neg-neg 40 12.2 4.8 55.0 0.3 0.5 0.2 19.2 -23.1
pair LWTI MACDhist neg-pos 113 34.5 4.8 53.1 0.4 0.7 0.1 15.3 -31.7
pair MACDhist LWTI neg-pos 113 34.5 4.8 53.1 0.4 0.7 0.1 15.3 -31.7
single MRmean MRmean pos-pos 237 72.3 4.8 57.4 0.4 0.7 0.2 13.0 -26.8
pair RSIhist MACD pos-pos 152 46.3 4.8 56.6 0.4 0.7 0.2 12.4 -21.6
pair MACD RSIhist pos-pos 152 46.3 4.8 56.6 0.4 0.7 0.2 12.4 -21.6
pair MACD MRmean pos-pos 213 64.9 4.7 57.3 0.4 0.7 0.2 12.8 -23.5
pair MRmean MACD pos-pos 213 64.9 4.7 57.3 0.4 0.7 0.2 12.8 -23.5
pair SLmean MRmean pos-pos 206 62.8 4.6 56.8 0.4 0.7 0.2 12.6 -27.8
pair MRmean SLmean pos-pos 206 62.8 4.6 56.8 0.4 0.7 0.2 12.6 -27.8
pair RSIhist LWTI pos-pos 151 46.0 4.1 56.3 0.4 0.6 0.2 12.2 -22.2
pair LWTI RSIhist pos-pos 151 46.0 4.1 56.3 0.4 0.6 0.2 12.2 -22.2
pair RSI SLmean pos-pos 203 61.9 4.0 56.7 0.4 0.6 0.1 12.5 -27.8
pair SLmean RSI pos-pos 203 61.9 4.0 56.7 0.4 0.6 0.1 12.5 -27.8
pair MRmean RSI pos-pos 231 70.4 3.9 56.7 0.4 0.6 0.1 12.9 -30.0
pair RSI MRmean pos-pos 231 70.4 3.9 56.7 0.4 0.6 0.1 12.9 -30.0
pair LWTI MRmean pos-pos 220 67.1 3.5 56.4 0.3 0.5 0.1 12.9 -34.9
pair MRmean LWTI pos-pos 220 67.1 3.5 56.4 0.3 0.5 0.1 12.9 -34.9
pair MACDhist MRmean neg-pos 15 4.6 3.3 46.7 0.3 0.7 0.4 13.8 -8.3
pair MRmean MACDhist neg-pos 15 4.6 3.3 46.7 0.3 0.7 0.4 13.8 -8.3
pair LWTI SLmean pos-pos 190 57.9 3.2 55.8 0.3 0.5 0.1 12.5 -35.6
pair SLmean LWTI pos-pos 190 57.9 3.2 55.8 0.3 0.5 0.1 12.5 -35.6
pair MRmean RSIhist pos-neg 71 21.6 2.9 57.7 0.3 0.5 0.1 14.4 -21.0
pair RSIhist MRmean pos-neg 71 21.6 2.9 57.7 0.3 0.5 0.1 14.4 -21.0
pair RSmean RSI neg-neg 4 1.2 2.1 75.0 0.2 0.0 0.2 27.6 -11.5
pair RSI RSmean neg-neg 4 1.2 2.1 75.0 0.2 0.0 0.2 27.6 -11.5
pair MACDhist SLmean pos-neg 63 19.2 1.8 49.2 0.2 0.3 0.1 13.6 -22.8
pair SLmean MACDhist pos-neg 63 19.2 1.8 49.2 0.2 0.3 0.1 13.6 -22.8
pair RSI MACD neg-pos 31 9.5 1.5 54.8 0.2 0.3 0.1 14.1 -13.2
pair MACD RSI neg-pos 31 9.5 1.5 54.8 0.2 0.3 0.1 14.1 -13.2
pair SLmean RSIhist pos-neg 43 13.1 -0.4 55.8 0.0 0.1 -0.0 13.6 -15.8
pair RSIhist SLmean pos-neg 43 13.1 -0.4 55.8 0.0 0.1 -0.0 13.6 -15.8
pair MACD RSmean neg-neg 15 4.6 -0.6 60.0 0.1 0.1 -0.0 19.3 -16.9
pair RSmean MACD neg-neg 15 4.6 -0.6 60.0 0.1 0.1 -0.0 19.3 -16.9
pair LWTI RSmean neg-pos 30 9.1 -0.9 53.3 0.0 0.0 -0.0 14.4 -20.2
pair RSmean LWTI neg-pos 30 9.1 -0.9 53.3 0.0 0.0 -0.0 14.4 -20.2
pair RSmean SLmean pos-neg 14 4.3 -1.7 57.1 -0.1 -0.1 -0.2 14.3 -8.2
pair SLmean RSmean pos-neg 14 4.3 -1.7 57.1 -0.1 -0.1 -0.2 14.3 -8.2
pair MACDhist MRmean pos-neg 65 19.8 -3.6 43.1 -0.2 -0.3 -0.1 13.8 -28.9
pair MRmean MACDhist pos-neg 65 19.8 -3.6 43.1 -0.2 -0.3 -0.1 13.8 -28.9
pair RSmean MRmean pos-neg 17 5.2 -4.1 52.9 -0.2 -0.3 -0.3 13.5 -12.3
pair MRmean RSmean pos-neg 17 5.2 -4.1 52.9 -0.2 -0.3 -0.3 13.5 -12.3
single RSmean RSmean neg-neg 32 9.8 -4.1 53.1 -0.2 -0.3 -0.1 15.8 -27.0
pair RSmean MRmean neg-neg 15 4.6 -4.2 53.3 -0.1 -0.2 -0.2 18.5 -20.7
pair MRmean RSmean neg-neg 15 4.6 -4.2 53.3 -0.1 -0.2 -0.2 18.5 -20.7
pair RSI RSmean neg-pos 28 8.5 -5.0 50.0 -0.3 -0.5 -0.2 14.1 -20.2
pair RSmean RSI neg-pos 28 8.5 -5.0 50.0 -0.3 -0.5 -0.2 14.1 -20.2
pair MACDhist RSmean neg-neg 30 9.1 -5.5 50.0 -0.3 -0.4 -0.2 16.2 -29.1
pair RSmean MACDhist neg-neg 30 9.1 -5.5 50.0 -0.3 -0.4 -0.2 16.2 -29.1
pair RSmean SLmean neg-neg 18 5.5 -5.9 50.0 -0.3 -0.4 -0.2 17.2 -23.7
pair SLmean RSmean neg-neg 18 5.5 -5.9 50.0 -0.3 -0.4 -0.2 17.2 -23.7
pair RSmean MACD neg-pos 17 5.2 -7.2 47.1 -0.5 -0.9 -0.6 12.3 -12.3
pair MACD RSmean neg-pos 17 5.2 -7.2 47.1 -0.5 -0.9 -0.6 12.3 -12.3
pair RSIhist RSmean neg-neg 26 7.9 -9.5 46.2 -0.5 -0.8 -0.3 16.4 -32.5
pair RSmean RSIhist neg-neg 26 7.9 -9.5 46.2 -0.5 -0.8 -0.3 16.4 -32.5
pair RSmean LWTI neg-neg 2 0.6 -41.6 50.0 -1.4 0.0 -3.6 36.2 -11.5
pair LWTI RSmean neg-neg 2 0.6 -41.6 50.0 -1.4 0.0 -3.6 36.2 -11.5
pair RSIhist SLmean neg-pos 1 0.3 -55.4 0.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist neg-pos 1 0.3 -55.4 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for XLV

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 4.6% | Win 57%
Sharpe 0.42 | Sortino 0.65 | Calmar 0.2
Vol 13% | MDD -27.8%
Months 206M (63%)
CAGR 6.2% | Win 61%
Sharpe 0.46 | Sortino 1.01 | Calmar 0.4
Vol 16% | MDD -17.6%
Months 31M (10%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 50.2% | Win 100%
Sharpe 7.96 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 7M (2%)
CAGR 14.8% | Win 63%
Sharpe 0.88 | Sortino 1.28 | Calmar 0.6
Vol 17% | MDD -26.4%
Months 84M (26%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
SLmean
only
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.5% | Win 58%
Sharpe 0.48 | Sortino 0.79 | Calmar 0.3
Vol 13% | MDD -19.4%
Months 220M (67%)
CAGR -4.1% | Win 53%
Sharpe -0.24 | Sortino -0.32 | Calmar -0.3
Vol 14% | MDD -12.3%
Months 17M (5%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 21.9% | Win 68%
Sharpe 1.30 | Sortino 1.74 | Calmar 1.4
Vol 16% | MDD -15.1%
Months 76M (23%)
CAGR -4.2% | Win 53%
Sharpe -0.14 | Sortino -0.23 | Calmar -0.2
Vol 18% | MDD -20.7%
Months 15M (5%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
RSmean
only
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.7% | Win 57%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 13% | MDD -23.5%
Months 213M (65%)
CAGR 6.0% | Win 58%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.4
Vol 15% | MDD -16.2%
Months 24M (7%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 18.6% | Win 68%
Sharpe 1.16 | Sortino 1.70 | Calmar 0.8
Vol 16% | MDD -22.3%
Months 56M (17%)
CAGR 14.8% | Win 63%
Sharpe 0.84 | Sortino 1.13 | Calmar 0.6
Vol 18% | MDD -23.1%
Months 35M (11%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
MACD
only
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.9% | Win 57%
Sharpe 0.36 | Sortino 0.57 | Calmar 0.1
Vol 13% | MDD -30.0%
Months 231M (70%)
CAGR 47.5% | Win 83%
Sharpe 3.53 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 6M (2%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 22.3% | Win 68%
Sharpe 1.51 | Sortino 3.63 | Calmar 2.6
Vol 14% | MDD -8.6%
Months 50M (15%)
CAGR 11.2% | Win 63%
Sharpe 0.64 | Sortino 0.81 | Calmar 0.5
Vol 20% | MDD -23.1%
Months 41M (12%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
RSI
only
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.1% | Win 63%
Sharpe 0.69 | Sortino 1.06 | Calmar 0.5
Vol 13% | MDD -17.3%
Months 172M (52%)
CAGR -3.6% | Win 43%
Sharpe -0.20 | Sortino -0.33 | Calmar -0.1
Vol 14% | MDD -28.9%
Months 65M (20%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 3.3% | Win 47%
Sharpe 0.30 | Sortino 0.67 | Calmar 0.4
Vol 14% | MDD -8.3%
Months 15M (5%)
CAGR 20.1% | Win 70%
Sharpe 1.15 | Sortino 1.51 | Calmar 0.8
Vol 17% | MDD -24.9%
Months 76M (23%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
MACDhist
only
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.6% | Win 57%
Sharpe 0.51 | Sortino 0.78 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 166M (51%)
CAGR 2.9% | Win 58%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 14% | MDD -21.0%
Months 71M (22%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 61.5% | Win 100%
Sharpe 10.93 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR 15.0% | Win 64%
Sharpe 0.90 | Sortino 1.29 | Calmar 0.6
Vol 17% | MDD -24.9%
Months 86M (26%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 3.5% | Win 56%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 13% | MDD -34.9%
Months 220M (67%)
CAGR 22.8% | Win 71%
Sharpe 1.68 | Sortino 2.16 | Calmar 3.1
Vol 13% | MDD -7.4%
Months 17M (5%)
CAGR 4.8% | Win 57%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -26.8%
Months 237M (72%)
MRmean
neg
CAGR 16.4% | Win 64%
Sharpe 1.04 | Sortino 1.70 | Calmar 0.9
Vol 16% | MDD -18.8%
Months 73M (22%)
CAGR 20.3% | Win 72%
Sharpe 0.99 | Sortino 1.06 | Calmar 0.9
Vol 21% | MDD -23.1%
Months 18M (6%)
CAGR 17.2% | Win 66%
Sharpe 1.03 | Sortino 1.45 | Calmar 0.7
Vol 17% | MDD -24.9%
Months 91M (28%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 6.4% | Win 58%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.3
Vol 12% | MDD -22.9%
Months 199M (61%)
CAGR -1.7% | Win 57%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.2
Vol 14% | MDD -8.2%
Months 14M (4%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR 16.1% | Win 65%
Sharpe 0.98 | Sortino 1.51 | Calmar 0.8
Vol 17% | MDD -20.6%
Months 97M (30%)
CAGR -5.9% | Win 50%
Sharpe -0.27 | Sortino -0.43 | Calmar -0.3
Vol 17% | MDD -23.7%
Months 18M (6%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
RSmean
only
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.6% | Win 58%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 188M (57%)
CAGR 7.7% | Win 60%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.4
Vol 14% | MDD -21.3%
Months 25M (8%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR 11.8% | Win 63%
Sharpe 0.78 | Sortino 1.32 | Calmar 0.6
Vol 16% | MDD -21.2%
Months 81M (25%)
CAGR 13.7% | Win 62%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.6
Vol 19% | MDD -23.1%
Months 34M (10%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
MACD
only
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.0% | Win 57%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.1
Vol 12% | MDD -27.8%
Months 203M (62%)
CAGR 50.6% | Win 90%
Sharpe 4.54 | Sortino 0.00 | Calmar 67.8
Vol 9% | MDD -0.7%
Months 10M (3%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR 14.9% | Win 64%
Sharpe 1.01 | Sortino 2.32 | Calmar 0.8
Vol 15% | MDD -18.8%
Months 78M (24%)
CAGR 7.2% | Win 60%
Sharpe 0.44 | Sortino 0.58 | Calmar 0.3
Vol 21% | MDD -27.3%
Months 37M (11%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
RSI
only
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 62%
Sharpe 0.67 | Sortino 0.98 | Calmar 0.3
Vol 12% | MDD -23.8%
Months 150M (46%)
CAGR 1.8% | Win 49%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.1
Vol 14% | MDD -22.8%
Months 63M (19%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR 8.5% | Win 60%
Sharpe 0.62 | Sortino 1.34 | Calmar 0.6
Vol 15% | MDD -13.6%
Months 37M (11%)
CAGR 14.3% | Win 64%
Sharpe 0.84 | Sortino 1.21 | Calmar 0.5
Vol 18% | MDD -26.4%
Months 78M (24%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
MACDhist
only
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 59%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.4
Vol 12% | MDD -21.3%
Months 170M (52%)
CAGR -0.4% | Win 56%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.0
Vol 14% | MDD -15.8%
Months 43M (13%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR -55.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 13.3% | Win 63%
Sharpe 0.83 | Sortino 1.29 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 114M (35%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 3.2% | Win 56%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.1
Vol 12% | MDD -35.6%
Months 190M (58%)
CAGR 30.1% | Win 78%
Sharpe 2.35 | Sortino 2.74 | Calmar 4.1
Vol 12% | MDD -7.4%
Months 23M (7%)
CAGR 5.8% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -27.8%
Months 213M (65%)
SLmean
neg
CAGR 13.1% | Win 63%
Sharpe 0.86 | Sortino 1.53 | Calmar 0.5
Vol 16% | MDD -24.0%
Months 103M (31%)
CAGR 6.5% | Win 58%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.3
Vol 25% | MDD -23.1%
Months 12M (4%)
CAGR 12.4% | Win 63%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.4
Vol 17% | MDD -29.7%
Months 115M (35%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.67 | Sortino 1.05 | Calmar 0.3
Vol 14% | MDD -28.4%
Months 252M (77%)
CAGR 15.5% | Win 61%
Sharpe 0.97 | Sortino 1.44 | Calmar 1.1
Vol 16% | MDD -13.4%
Months 44M (13%)
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
RSmean
neg
CAGR -7.2% | Win 47%
Sharpe -0.54 | Sortino -0.89 | Calmar -0.6
Vol 12% | MDD -12.3%
Months 17M (5%)
CAGR -0.6% | Win 60%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 19% | MDD -16.9%
Months 15M (5%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
MACD
only
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 60%
Sharpe 0.68 | Sortino 1.15 | Calmar 0.4
Vol 13% | MDD -23.7%
Months 253M (77%)
CAGR 16.6% | Win 65%
Sharpe 0.93 | Sortino 1.17 | Calmar 1.1
Vol 18% | MDD -14.5%
Months 43M (13%)
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
RSmean
neg
CAGR -5.0% | Win 50%
Sharpe -0.29 | Sortino -0.49 | Calmar -0.2
Vol 14% | MDD -20.2%
Months 28M (8%)
CAGR 2.1% | Win 75%
Sharpe 0.18 | Sortino 0.00 | Calmar 0.2
Vol 28% | MDD -11.5%
Months 4M (1%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
RSI
only
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 7.6% | Win 61%
Sharpe 0.64 | Sortino 1.03 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 185M (56%)
CAGR 12.7% | Win 60%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.6
Vol 16% | MDD -21.4%
Months 111M (34%)
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
RSmean
neg
CAGR 19.2% | Win 100%
Sharpe 9.19 | Sortino 0.00 | Calmar 0.0
Vol 2% | MDD 0.0%
Months 2M (1%)
CAGR -5.5% | Win 50%
Sharpe -0.27 | Sortino -0.41 | Calmar -0.2
Vol 16% | MDD -29.1%
Months 30M (9%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
MACDhist
only
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.4% | Win 58%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 12% | MDD -21.2%
Months 165M (50%)
CAGR 13.5% | Win 64%
Sharpe 0.89 | Sortino 1.39 | Calmar 0.7
Vol 16% | MDD -19.0%
Months 131M (40%)
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
RSmean
neg
CAGR 22.9% | Win 83%
Sharpe 1.95 | Sortino 0.00 | Calmar 5.4
Vol 11% | MDD -4.3%
Months 6M (2%)
CAGR -9.5% | Win 46%
Sharpe -0.52 | Sortino -0.78 | Calmar -0.3
Vol 16% | MDD -32.5%
Months 26M (8%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.5% | Win 59%
Sharpe 0.59 | Sortino 0.97 | Calmar 0.3
Vol 14% | MDD -28.1%
Months 263M (80%)
CAGR 27.0% | Win 73%
Sharpe 1.62 | Sortino 1.74 | Calmar 1.4
Vol 16% | MDD -19.5%
Months 33M (10%)
CAGR 9.5% | Win 60%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -28.3%
Months 296M (90%)
RSmean
neg
CAGR -0.9% | Win 53%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 14% | MDD -20.2%
Months 30M (9%)
CAGR -41.6% | Win 50%
Sharpe -1.36 | Sortino 0.00 | Calmar -3.6
Vol 36% | MDD -11.5%
Months 2M (1%)
CAGR -4.1% | Win 53%
Sharpe -0.19 | Sortino -0.28 | Calmar -0.2
Vol 16% | MDD -27.0%
Months 32M (10%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.6% | Win 59%
Sharpe 0.62 | Sortino 1.05 | Calmar 0.3
Vol 13% | MDD -23.2%
Months 250M (76%)
CAGR 4.9% | Win 63%
Sharpe 0.35 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -19.6%
Months 19M (6%)
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
MACD
neg
CAGR 1.5% | Win 55%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -13.2%
Months 31M (10%)
CAGR 22.9% | Win 68%
Sharpe 1.15 | Sortino 1.37 | Calmar 1.0
Vol 20% | MDD -23.1%
Months 28M (8%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
RSI
only
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.4% | Win 61%
Sharpe 0.63 | Sortino 1.01 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 177M (54%)
CAGR 7.4% | Win 56%
Sharpe 0.55 | Sortino 0.88 | Calmar 0.3
Vol 15% | MDD -23.1%
Months 92M (28%)
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
MACD
neg
CAGR 13.6% | Win 70%
Sharpe 0.98 | Sortino 1.37 | Calmar 2.2
Vol 14% | MDD -6.2%
Months 10M (3%)
CAGR 10.7% | Win 59%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.5
Vol 18% | MDD -23.1%
Months 49M (15%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
MACDhist
only
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.8% | Win 57%
Sharpe 0.44 | Sortino 0.67 | Calmar 0.2
Vol 12% | MDD -21.6%
Months 152M (46%)
CAGR 10.9% | Win 63%
Sharpe 0.78 | Sortino 1.28 | Calmar 0.5
Vol 15% | MDD -21.2%
Months 117M (36%)
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
MACD
neg
CAGR 25.8% | Win 74%
Sharpe 2.13 | Sortino 5.24 | Calmar 6.9
Vol 11% | MDD -3.8%
Months 19M (6%)
CAGR 4.8% | Win 55%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.2
Vol 19% | MDD -23.1%
Months 40M (12%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 58%
Sharpe 0.50 | Sortino 0.79 | Calmar 0.2
Vol 13% | MDD -36.4%
Months 255M (78%)
CAGR 37.8% | Win 79%
Sharpe 2.38 | Sortino 2.57 | Calmar 5.1
Vol 14% | MDD -7.4%
Months 14M (4%)
CAGR 7.4% | Win 60%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.2
Vol 14% | MDD -32.1%
Months 269M (82%)
MACD
neg
CAGR 10.9% | Win 58%
Sharpe 0.71 | Sortino 1.42 | Calmar 0.8
Vol 16% | MDD -13.2%
Months 38M (12%)
CAGR 11.7% | Win 67%
Sharpe 0.68 | Sortino 0.71 | Calmar 0.5
Vol 19% | MDD -23.1%
Months 21M (6%)
CAGR 11.2% | Win 61%
Sharpe 0.71 | Sortino 1.01 | Calmar 0.5
Vol 17% | MDD -23.1%
Months 59M (18%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.6% | Win 62%
Sharpe 0.66 | Sortino 1.01 | Calmar 0.4
Vol 12% | MDD -17.6%
Months 179M (55%)
CAGR 5.8% | Win 53%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -24.3%
Months 102M (31%)
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
RSI
neg
CAGR 11.1% | Win 50%
Sharpe 0.63 | Sortino 1.66 | Calmar 1.8
Vol 19% | MDD -6.2%
Months 8M (2%)
CAGR 16.2% | Win 69%
Sharpe 0.88 | Sortino 0.97 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 39M (12%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
MACDhist
only
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 5.0% | Win 57%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 12% | MDD -21.3%
Months 163M (50%)
CAGR 9.6% | Win 61%
Sharpe 0.71 | Sortino 1.37 | Calmar 0.4
Vol 14% | MDD -22.3%
Months 118M (36%)
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
RSI
neg
CAGR 54.6% | Win 88%
Sharpe 4.36 | Sortino 0.00 | Calmar 73.2
Vol 10% | MDD -0.7%
Months 8M (2%)
CAGR 8.5% | Win 62%
Sharpe 0.51 | Sortino 0.65 | Calmar 0.4
Vol 20% | MDD -23.5%
Months 39M (12%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.9% | Win 58%
Sharpe 0.50 | Sortino 0.86 | Calmar 0.2
Vol 13% | MDD -37.9%
Months 264M (80%)
CAGR 23.5% | Win 71%
Sharpe 1.71 | Sortino 2.22 | Calmar 2.7
Vol 13% | MDD -8.8%
Months 17M (5%)
CAGR 6.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.3
Vol 13% | MDD -27.5%
Months 281M (86%)
RSI
neg
CAGR 12.7% | Win 62%
Sharpe 0.74 | Sortino 1.00 | Calmar 0.9
Vol 18% | MDD -14.5%
Months 29M (9%)
CAGR 19.6% | Win 72%
Sharpe 0.97 | Sortino 1.03 | Calmar 0.9
Vol 21% | MDD -23.1%
Months 18M (6%)
CAGR 15.3% | Win 66%
Sharpe 0.84 | Sortino 1.04 | Calmar 0.7
Vol 19% | MDD -23.1%
Months 47M (14%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 5.1% | Win 58%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 12% | MDD -25.1%
Months 135M (41%)
CAGR 14.8% | Win 69%
Sharpe 1.11 | Sortino 2.35 | Calmar 1.7
Vol 13% | MDD -8.7%
Months 52M (16%)
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
MACDhist
neg
CAGR 14.0% | Win 58%
Sharpe 1.13 | Sortino 2.18 | Calmar 1.8
Vol 12% | MDD -7.8%
Months 36M (11%)
CAGR 6.7% | Win 57%
Sharpe 0.47 | Sortino 0.71 | Calmar 0.3
Vol 17% | MDD -24.9%
Months 105M (32%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
RSIhist
only
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 7.7% | Win 62%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.5
Vol 13% | MDD -16.4%
Months 180M (55%)
CAGR 7.5% | Win 57%
Sharpe 0.97 | Sortino 2.93 | Calmar 2.2
Vol 8% | MDD -3.5%
Months 7M (2%)
CAGR 7.7% | Win 62%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 13% | MDD -17.6%
Months 187M (57%)
MACDhist
neg
CAGR 4.8% | Win 53%
Sharpe 0.38 | Sortino 0.65 | Calmar 0.1
Vol 15% | MDD -31.7%
Months 113M (34%)
CAGR 25.3% | Win 75%
Sharpe 1.30 | Sortino 1.37 | Calmar 0.9
Vol 19% | MDD -28.8%
Months 28M (8%)
CAGR 8.5% | Win 57%
Sharpe 0.59 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -30.5%
Months 141M (43%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 4.1% | Win 56%
Sharpe 0.40 | Sortino 0.61 | Calmar 0.2
Vol 12% | MDD -22.2%
Months 151M (46%)
CAGR 30.6% | Win 75%
Sharpe 2.23 | Sortino 2.79 | Calmar 4.1
Vol 12% | MDD -7.4%
Months 20M (6%)
CAGR 6.9% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 12% | MDD -21.3%
Months 171M (52%)
RSIhist
neg
CAGR 9.2% | Win 61%
Sharpe 0.66 | Sortino 1.14 | Calmar 0.3
Vol 15% | MDD -27.6%
Months 142M (43%)
CAGR 10.3% | Win 67%
Sharpe 0.55 | Sortino 0.63 | Calmar 0.4
Vol 22% | MDD -23.1%
Months 15M (5%)
CAGR 9.3% | Win 61%
Sharpe 0.64 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 157M (48%)
LWTI
only
CAGR 6.6% | Win 58%
Sharpe 0.53 | Sortino 0.88 | Calmar 0.2
Vol 14% | MDD -35.4%
Months 293M (89%)
CAGR 21.5% | Win 71%
Sharpe 1.23 | Sortino 1.30 | Calmar 0.7
Vol 17% | MDD -28.8%
Months 35M (11%)