XLY - State Street Cons Disc Sel Sect SPDR Income ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

114.5%

Best CAGR

95

Total Months

14.0%

Avg CAGR

XLY 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 XLY

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 RSI neg-pos 3 0.9 114.5 100.0 5.9 0.0 0.0 13.4 0.0
pair RSI MACDhist neg-pos 3 0.9 114.5 100.0 5.9 0.0 0.0 13.4 0.0
pair SLmean RSIhist neg-pos 4 1.2 96.7 75.0 2.4 0.0 0.0 30.1 0.0
pair RSIhist SLmean neg-pos 4 1.2 96.7 75.0 2.4 0.0 0.0 30.1 0.0
pair RSI MRmean pos-neg 7 2.1 60.7 71.4 2.8 52.0 54.0 18.0 -1.1
pair MRmean RSI pos-neg 7 2.1 60.7 71.4 2.8 52.0 54.0 18.0 -1.1
pair MACDhist LWTI pos-neg 4 1.2 59.1 100.0 8.4 0.0 0.0 5.6 0.0
pair LWTI MACDhist pos-neg 4 1.2 59.1 100.0 8.4 0.0 0.0 5.6 0.0
pair LWTI RSmean neg-neg 2 0.6 52.5 100.0 8.4 0.0 0.0 5.1 0.0
pair RSmean LWTI neg-neg 2 0.6 52.5 100.0 8.4 0.0 0.0 5.1 0.0
pair RSIhist RSmean neg-pos 5 1.5 51.3 100.0 12.2 0.0 0.0 3.5 0.0
pair RSmean RSIhist neg-pos 5 1.5 51.3 100.0 12.2 0.0 0.0 3.5 0.0
pair MACD MACDhist neg-pos 10 3.0 50.5 80.0 3.4 33.3 17.5 12.6 -2.9
pair MACDhist MACD neg-pos 10 3.0 50.5 80.0 3.4 33.3 17.5 12.6 -2.9
pair RSI RSIhist neg-pos 14 4.2 44.7 64.3 1.5 3.0 2.8 26.7 -16.0
pair RSIhist RSI neg-pos 14 4.2 44.7 64.3 1.5 3.0 2.8 26.7 -16.0
pair LWTI RSIhist pos-neg 19 5.7 42.9 68.4 1.7 3.4 5.0 22.8 -8.5
pair RSIhist LWTI pos-neg 19 5.7 42.9 68.4 1.7 3.4 5.0 22.8 -8.5
pair MACDhist RSmean neg-pos 1 0.3 39.1 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 39.1 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 8 2.4 37.1 62.5 1.4 4.2 6.7 23.8 -5.6
pair RSmean RSI neg-neg 8 2.4 37.1 62.5 1.4 4.2 6.7 23.8 -5.6
pair MRmean LWTI pos-neg 13 3.9 34.6 69.2 1.8 3.0 23.8 17.5 -1.5
pair LWTI MRmean pos-neg 13 3.9 34.6 69.2 1.8 3.0 23.8 17.5 -1.5
pair MRmean RSIhist neg-pos 7 2.1 30.2 57.1 0.9 2.5 1.9 34.7 -16.0
pair RSIhist MRmean neg-pos 7 2.1 30.2 57.1 0.9 2.5 1.9 34.7 -16.0
pair MACD RSIhist neg-pos 30 9.0 28.2 66.7 1.2 2.0 3.3 22.7 -8.5
pair RSIhist MACD neg-pos 30 9.0 28.2 66.7 1.2 2.0 3.3 22.7 -8.5
pair MRmean MACD pos-neg 25 7.5 20.6 64.0 1.1 1.6 1.4 18.9 -15.2
pair MACD MRmean pos-neg 25 7.5 20.6 64.0 1.1 1.6 1.4 18.9 -15.2
pair MACDhist MRmean neg-pos 6 1.8 20.0 66.7 0.8 0.8 197.4 27.8 -0.1
pair MRmean MACDhist neg-pos 6 1.8 20.0 66.7 0.8 0.8 197.4 27.8 -0.1
pair RSI MRmean neg-pos 33 9.9 18.5 66.7 0.9 1.2 1.2 21.2 -15.2
pair MRmean RSI neg-pos 33 9.9 18.5 66.7 0.9 1.2 1.2 21.2 -15.2
pair MACD RSI neg-neg 48 14.5 18.1 60.4 0.7 1.2 0.4 27.9 -44.9
pair RSI MACD neg-neg 48 14.5 18.1 60.4 0.7 1.2 0.4 27.9 -44.9
pair MACD RSmean neg-pos 8 2.4 17.9 75.0 2.0 5.8 21.0 8.7 -0.9
pair RSmean MACD neg-pos 8 2.4 17.9 75.0 2.0 5.8 21.0 8.7 -0.9
pair SLmean LWTI pos-neg 16 4.8 17.7 62.5 0.8 1.2 0.9 23.5 -19.4
pair LWTI SLmean pos-neg 16 4.8 17.7 62.5 0.8 1.2 0.9 23.5 -19.4
pair MRmean RSmean neg-neg 19 5.7 17.6 57.9 0.9 2.2 1.4 20.2 -12.3
pair RSmean MRmean neg-neg 19 5.7 17.6 57.9 0.9 2.2 1.4 20.2 -12.3
pair SLmean RSmean neg-neg 19 5.7 17.6 57.9 0.9 2.2 1.4 20.2 -12.3
pair RSmean SLmean neg-neg 19 5.7 17.6 57.9 0.9 2.2 1.4 20.2 -12.3
pair MRmean LWTI neg-pos 58 17.5 17.5 60.3 0.8 1.3 0.8 25.6 -22.5
pair LWTI MRmean neg-pos 58 17.5 17.5 60.3 0.8 1.3 0.8 25.6 -22.5
pair SLmean MACD neg-neg 45 13.6 17.2 60.0 0.7 1.2 0.5 26.7 -36.7
pair MACD SLmean neg-neg 45 13.6 17.2 60.0 0.7 1.2 0.5 26.7 -36.7
pair RSI LWTI neg-pos 25 7.5 16.2 52.0 0.6 1.5 0.8 30.9 -21.4
pair LWTI RSI neg-pos 25 7.5 16.2 52.0 0.6 1.5 0.8 30.9 -21.4
single RSmean RSmean neg-neg 28 8.4 16.0 60.7 0.9 2.1 1.3 17.8 -12.4
pair MACD RSmean neg-neg 20 6.0 15.2 55.0 0.8 2.1 1.2 20.5 -12.4
pair RSmean MACDhist neg-neg 27 8.1 15.2 59.3 0.9 2.0 1.2 18.1 -12.4
pair RSmean MACD neg-neg 20 6.0 15.2 55.0 0.8 2.1 1.2 20.5 -12.4
pair MACDhist RSmean neg-neg 27 8.1 15.2 59.3 0.9 2.0 1.2 18.1 -12.4
pair MACD LWTI neg-pos 36 10.8 14.7 58.3 0.8 1.5 0.7 21.3 -21.3
pair LWTI MACD neg-pos 36 10.8 14.7 58.3 0.8 1.5 0.7 21.3 -21.3
pair MRmean SLmean neg-neg 81 24.4 14.5 60.5 0.6 1.1 0.4 27.0 -40.0
pair SLmean MRmean neg-neg 81 24.4 14.5 60.5 0.6 1.1 0.4 27.0 -40.0
single MACD MACD neg-neg 75 22.6 14.3 60.0 0.7 1.1 0.3 24.8 -44.9
pair SLmean MACDhist neg-neg 86 25.9 14.1 57.0 0.6 1.1 0.3 25.8 -41.5
pair MACDhist SLmean neg-neg 86 25.9 14.1 57.0 0.6 1.1 0.3 25.8 -41.5
pair LWTI MACD neg-neg 39 11.7 14.0 61.5 0.6 0.9 0.3 28.0 -44.9
pair MACD LWTI neg-neg 39 11.7 14.0 61.5 0.6 0.9 0.3 28.0 -44.9
pair SLmean LWTI neg-pos 80 24.1 14.0 56.2 0.7 1.2 0.6 23.6 -22.5
pair LWTI SLmean neg-pos 80 24.1 14.0 56.2 0.7 1.2 0.6 23.6 -22.5
pair MACD RSmean pos-neg 55 16.6 14.0 61.8 0.6 1.0 0.3 26.4 -44.9
pair RSmean MACD pos-neg 55 16.6 14.0 61.8 0.6 1.0 0.3 26.4 -44.9
pair LWTI RSmean neg-pos 26 7.8 13.6 57.7 0.8 1.8 1.1 18.3 -12.4
pair RSmean LWTI neg-pos 26 7.8 13.6 57.7 0.8 1.8 1.1 18.3 -12.4
pair RSIhist MACDhist neg-pos 40 12.0 12.8 60.0 0.7 1.1 1.0 20.6 -12.7
pair MACDhist RSIhist neg-pos 40 12.0 12.8 60.0 0.7 1.1 1.0 20.6 -12.7
pair RSmean SLmean pos-neg 9 2.7 12.6 66.7 1.0 1.5 2.3 12.2 -5.4
pair SLmean RSmean pos-neg 9 2.7 12.6 66.7 1.0 1.5 2.3 12.2 -5.4
pair MRmean RSmean pos-neg 9 2.7 12.6 66.7 1.0 1.5 2.3 12.2 -5.4
pair RSmean MRmean pos-neg 9 2.7 12.6 66.7 1.0 1.5 2.3 12.2 -5.4
pair LWTI RSIhist neg-pos 126 38.0 12.5 56.3 0.7 1.1 0.4 20.8 -28.2
pair RSIhist LWTI neg-pos 126 38.0 12.5 56.3 0.7 1.1 0.4 20.8 -28.2
pair RSI SLmean neg-neg 50 15.1 11.7 56.0 0.5 1.0 0.3 30.1 -36.7
pair SLmean RSI neg-neg 50 15.1 11.7 56.0 0.5 1.0 0.3 30.1 -36.7
single RSI RSI neg-neg 63 19.0 11.6 55.6 0.5 1.0 0.2 29.2 -48.2
pair MACD MRmean neg-neg 50 15.1 11.4 58.0 0.5 0.9 0.2 27.5 -44.9
pair MRmean MACD neg-neg 50 15.1 11.4 58.0 0.5 0.9 0.2 27.5 -44.9
single SLmean SLmean neg-neg 108 32.5 11.3 56.5 0.6 0.9 0.3 25.0 -41.1
pair MACDhist LWTI neg-pos 110 33.1 11.2 56.4 0.6 1.0 0.3 20.8 -33.5
pair LWTI MACDhist neg-pos 110 33.1 11.2 56.4 0.6 1.0 0.3 20.8 -33.5
pair SLmean RSI pos-neg 13 3.9 11.0 53.8 0.5 0.9 0.4 26.4 -26.2
pair RSI SLmean pos-neg 13 3.9 11.0 53.8 0.5 0.9 0.4 26.4 -26.2
pair SLmean RSI neg-pos 58 17.5 11.0 56.9 0.6 0.9 0.5 19.8 -23.2
pair RSI SLmean neg-pos 58 17.5 11.0 56.9 0.6 0.9 0.5 19.8 -23.2
single MRmean MRmean neg-neg 89 26.8 10.9 58.4 0.5 0.9 0.2 27.1 -51.3
single RSIhist RSIhist pos-pos 181 54.5 10.7 60.8 0.7 1.1 0.5 16.0 -20.8
pair SLmean MACDhist pos-pos 160 48.2 10.7 61.2 0.8 1.2 0.4 14.4 -25.2
pair MACDhist SLmean pos-pos 160 48.2 10.7 61.2 0.8 1.2 0.4 14.4 -25.2
pair MACDhist RSI pos-neg 90 27.1 10.4 57.8 0.7 0.9 0.3 17.2 -29.9
pair RSI MACDhist pos-neg 90 27.1 10.4 57.8 0.7 0.9 0.3 17.2 -29.9
pair MACDhist MRmean neg-neg 83 25.0 10.3 57.8 0.5 0.9 0.2 27.2 -51.3
pair MRmean MACDhist neg-neg 83 25.0 10.3 57.8 0.5 0.9 0.2 27.2 -51.3
pair RSI RSIhist pos-neg 102 30.7 10.3 56.9 0.6 0.9 0.4 17.9 -24.8
pair RSIhist RSI pos-neg 102 30.7 10.3 56.9 0.6 0.9 0.4 17.9 -24.8
pair MACD MRmean neg-pos 39 11.7 10.3 59.0 0.5 0.8 0.6 27.0 -17.4
pair MRmean MACD neg-pos 39 11.7 10.3 59.0 0.5 0.8 0.6 27.0 -17.4
pair MACD SLmean pos-neg 30 9.0 10.1 60.0 0.6 0.8 0.5 22.2 -19.4
pair SLmean MACD pos-neg 30 9.0 10.1 60.0 0.6 0.8 0.5 22.2 -19.4
pair MACDhist RSIhist pos-pos 141 42.5 10.1 61.0 0.7 1.1 0.5 14.5 -20.8
pair RSIhist MACDhist pos-pos 141 42.5 10.1 61.0 0.7 1.1 0.5 14.5 -20.8
pair RSmean SLmean neg-pos 89 26.8 10.0 56.2 0.5 0.8 0.2 26.0 -41.1
pair SLmean RSmean neg-pos 89 26.8 10.0 56.2 0.5 0.8 0.2 26.0 -41.1
pair MRmean RSIhist pos-pos 174 52.4 9.9 60.9 0.7 1.1 0.5 14.9 -20.8
pair RSIhist MRmean pos-pos 174 52.4 9.9 60.9 0.7 1.1 0.5 14.9 -20.8
pair MRmean SLmean pos-pos 216 65.1 9.8 60.2 0.7 1.0 0.5 14.9 -21.2
pair SLmean MRmean pos-pos 216 65.1 9.8 60.2 0.7 1.0 0.5 14.9 -21.2
pair RSmean RSIhist pos-pos 176 53.0 9.7 59.7 0.7 1.0 0.4 16.2 -21.9
pair RSIhist RSmean pos-pos 176 53.0 9.7 59.7 0.7 1.0 0.4 16.2 -21.9
pair MACD MACDhist neg-neg 65 19.6 9.6 56.9 0.5 0.8 0.2 26.1 -44.9
pair LWTI RSI pos-neg 6 1.8 9.6 66.7 0.6 0.7 6.6 16.1 -1.5
single LWTI LWTI pos-pos 288 86.7 9.6 58.3 0.6 0.9 0.3 17.7 -35.7
pair RSI LWTI pos-neg 6 1.8 9.6 66.7 0.6 0.7 6.6 16.1 -1.5
pair MACDhist MACD neg-neg 65 19.6 9.6 56.9 0.5 0.8 0.2 26.1 -44.9
single MACDhist MACDhist pos-pos 182 54.8 9.5 60.4 0.7 1.0 0.4 15.4 -23.9
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 9.5 58.4 0.6 0.9 0.2 19.1 -55.1
pair benchmark___benchmark_ benchmark-benchmark 332 100.0 9.5 58.4 0.6 0.9 0.2 19.1 -55.1
pair RSmean RSIhist neg-neg 23 6.9 9.5 52.2 0.6 1.4 0.6 19.2 -14.9
pair RSIhist RSmean neg-neg 23 6.9 9.5 52.2 0.6 1.4 0.6 19.2 -14.9
pair MRmean RSIhist neg-neg 82 24.7 9.4 58.5 0.5 0.8 0.2 26.6 -46.9
pair RSIhist MRmean neg-neg 82 24.7 9.4 58.5 0.5 0.8 0.2 26.6 -46.9
pair MACDhist RSmean pos-pos 181 54.5 9.4 60.2 0.7 1.0 0.4 15.5 -23.9
pair RSmean MACDhist pos-pos 181 54.5 9.4 60.2 0.7 1.0 0.4 15.5 -23.9
single MACDhist MACDhist neg-neg 150 45.2 9.4 56.0 0.5 0.8 0.2 22.9 -51.7
pair MACD MACDhist pos-neg 85 25.6 9.3 55.3 0.5 0.8 0.4 20.2 -25.5
pair MACDhist MACD pos-neg 85 25.6 9.3 55.3 0.5 0.8 0.4 20.2 -25.5
pair RSmean LWTI pos-pos 262 78.9 9.2 58.4 0.6 0.9 0.3 17.7 -32.5
pair LWTI RSmean pos-pos 262 78.9 9.2 58.4 0.6 0.9 0.3 17.7 -32.5
pair SLmean RSIhist pos-pos 177 53.3 9.2 60.5 0.7 1.0 0.4 15.5 -20.8
pair MRmean MACDhist pos-pos 176 53.0 9.2 60.2 0.7 1.0 0.4 15.0 -23.9
pair MACDhist MRmean pos-pos 176 53.0 9.2 60.2 0.7 1.0 0.4 15.0 -23.9
pair RSIhist SLmean pos-pos 177 53.3 9.2 60.5 0.7 1.0 0.4 15.5 -20.8
pair RSI MACD pos-pos 242 72.9 9.1 59.1 0.6 0.9 0.3 15.7 -33.2
pair MACD RSI pos-pos 242 72.9 9.1 59.1 0.6 0.9 0.3 15.7 -33.2
pair RSmean MRmean neg-pos 70 21.1 9.1 58.6 0.5 0.8 0.2 28.8 -51.3
pair MRmean RSmean neg-pos 70 21.1 9.1 58.6 0.5 0.8 0.2 28.8 -51.3
pair RSI RSmean pos-pos 249 75.0 9.0 59.0 0.6 0.9 0.3 16.0 -31.6
pair RSmean RSI pos-pos 249 75.0 9.0 59.0 0.6 0.9 0.3 16.0 -31.6
single RSI RSI pos-pos 269 81.0 9.0 59.1 0.6 0.9 0.2 15.9 -37.9
pair RSI LWTI pos-pos 263 79.2 9.0 58.9 0.6 0.9 0.2 16.0 -35.3
pair LWTI RSI pos-pos 263 79.2 9.0 58.9 0.6 0.9 0.2 16.0 -35.3
pair MACD RSIhist pos-neg 106 31.9 9.0 55.7 0.5 0.8 0.3 20.6 -25.5
pair RSIhist MACD pos-neg 106 31.9 9.0 55.7 0.5 0.8 0.3 20.6 -25.5
pair SLmean RSIhist neg-neg 104 31.3 8.9 55.8 0.5 0.8 0.2 24.7 -41.1
pair RSIhist SLmean neg-neg 104 31.3 8.9 55.8 0.5 0.8 0.2 24.7 -41.1
single MRmean MRmean pos-pos 243 73.2 8.9 58.4 0.6 1.0 0.4 15.2 -24.4
single RSmean RSmean pos-pos 304 91.6 8.9 58.2 0.5 0.8 0.2 19.3 -55.1
pair MACD LWTI pos-pos 252 75.9 8.9 58.3 0.6 0.9 0.2 17.2 -39.6
pair LWTI MACD pos-pos 252 75.9 8.9 58.3 0.6 0.9 0.2 17.2 -39.6
single LWTI LWTI neg-neg 44 13.3 8.8 59.1 0.4 0.7 0.2 27.0 -45.3
pair MRmean RSmean pos-pos 234 70.5 8.8 58.1 0.6 1.0 0.4 15.4 -24.4
pair RSmean MRmean pos-pos 234 70.5 8.8 58.1 0.6 1.0 0.4 15.4 -24.4
pair LWTI RSI neg-neg 38 11.4 8.6 57.9 0.4 0.7 0.2 28.5 -45.3
pair MACDhist LWTI pos-pos 178 53.6 8.6 59.6 0.6 0.9 0.4 15.5 -23.9
single SLmean SLmean pos-pos 224 67.5 8.6 59.4 0.6 0.9 0.3 15.6 -26.4
pair RSI LWTI neg-neg 38 11.4 8.6 57.9 0.4 0.7 0.2 28.5 -45.3
pair LWTI MACDhist pos-pos 178 53.6 8.6 59.6 0.6 0.9 0.4 15.5 -23.9
pair RSI RSmean neg-pos 20 6.0 8.5 60.0 0.6 1.1 0.8 15.0 -11.0
pair RSmean RSI neg-pos 20 6.0 8.5 60.0 0.6 1.1 0.8 15.0 -11.0
pair RSmean SLmean pos-pos 215 64.8 8.4 59.1 0.6 0.9 0.3 15.7 -26.4
pair SLmean RSmean pos-pos 215 64.8 8.4 59.1 0.6 0.9 0.3 15.7 -26.4
pair SLmean RSI pos-pos 211 63.6 8.4 59.7 0.6 0.9 0.3 14.8 -27.8
pair RSI SLmean pos-pos 211 63.6 8.4 59.7 0.6 0.9 0.3 14.8 -27.8
pair MRmean MACDhist pos-neg 67 20.2 8.4 53.7 0.6 0.8 0.5 16.0 -17.9
pair MACDhist MRmean pos-neg 67 20.2 8.4 53.7 0.6 0.8 0.5 16.0 -17.9
pair MACDhist RSI pos-pos 179 53.9 8.3 59.8 0.6 0.9 0.3 15.3 -23.9
pair RSI MACDhist pos-pos 179 53.9 8.3 59.8 0.6 0.9 0.3 15.3 -23.9
pair RSI RSmean pos-neg 55 16.6 8.3 54.5 0.4 0.8 0.2 30.0 -48.2
pair RSmean RSI pos-neg 55 16.6 8.3 54.5 0.4 0.8 0.2 30.0 -48.2
pair MACD SLmean pos-pos 194 58.4 8.3 59.3 0.6 0.9 0.3 14.4 -29.4
pair SLmean MACD pos-pos 194 58.4 8.3 59.3 0.6 0.9 0.3 14.4 -29.4
pair RSmean MACDhist pos-neg 123 37.0 8.2 55.3 0.5 0.7 0.2 23.8 -51.7
pair MACDhist RSmean pos-neg 123 37.0 8.2 55.3 0.5 0.7 0.2 23.8 -51.7
pair RSIhist MACDhist neg-neg 110 33.1 8.2 54.5 0.5 0.7 0.2 23.7 -47.4
pair MACDhist RSIhist neg-neg 110 33.1 8.2 54.5 0.5 0.7 0.2 23.7 -47.4
pair RSI RSIhist pos-pos 167 50.3 8.2 60.5 0.6 0.9 0.4 14.7 -20.8
pair RSIhist RSI pos-pos 167 50.3 8.2 60.5 0.6 0.9 0.4 14.7 -20.8
single MACD MACD pos-pos 257 77.4 8.1 58.0 0.5 0.8 0.2 17.1 -39.6
single RSIhist RSIhist neg-neg 151 45.5 8.1 55.6 0.5 0.7 0.2 22.4 -47.4
pair MACDhist RSI neg-neg 60 18.1 8.0 53.3 0.4 0.8 0.2 29.5 -48.2
pair RSI MACDhist neg-neg 60 18.1 8.0 53.3 0.4 0.8 0.2 29.5 -48.2
pair SLmean LWTI pos-pos 208 62.7 7.9 59.1 0.6 0.8 0.3 14.9 -27.8
pair LWTI SLmean pos-pos 208 62.7 7.9 59.1 0.6 0.8 0.3 14.9 -27.8
pair MACD RSI neg-pos 27 8.1 7.9 59.3 0.5 0.8 0.3 18.5 -27.6
pair RSI MACD neg-pos 27 8.1 7.9 59.3 0.5 0.8 0.3 18.5 -27.6
pair RSmean RSIhist pos-neg 128 38.6 7.8 56.2 0.4 0.7 0.2 22.9 -47.4
pair RSIhist RSmean pos-neg 128 38.6 7.8 56.2 0.4 0.7 0.2 22.9 -47.4
pair MACD RSmean pos-pos 249 75.0 7.8 57.4 0.5 0.8 0.2 17.3 -39.6
pair RSmean MACD pos-pos 249 75.0 7.8 57.4 0.5 0.8 0.2 17.3 -39.6
pair MRmean LWTI pos-pos 230 69.3 7.7 57.8 0.6 0.8 0.2 15.1 -31.4
pair LWTI MRmean pos-pos 230 69.3 7.7 57.8 0.6 0.8 0.2 15.1 -31.4
pair MACDhist RSIhist pos-neg 41 12.3 7.7 58.5 0.5 0.7 0.8 18.5 -9.4
pair RSIhist MACDhist pos-neg 41 12.3 7.7 58.5 0.5 0.7 0.8 18.5 -9.4
pair MRmean MACD pos-pos 218 65.7 7.7 57.8 0.6 0.9 0.2 14.8 -33.0
pair MACD MRmean pos-pos 218 65.7 7.7 57.8 0.6 0.9 0.2 14.8 -33.0
pair RSI MRmean pos-pos 236 71.1 7.7 58.1 0.6 0.8 0.2 15.1 -31.4
pair MRmean RSI pos-pos 236 71.1 7.7 58.1 0.6 0.8 0.2 15.1 -31.4
pair MACD MACDhist pos-pos 172 51.8 7.5 59.3 0.6 0.8 0.3 15.5 -23.9
pair MACDhist MACD pos-pos 172 51.8 7.5 59.3 0.6 0.8 0.3 15.5 -23.9
pair MACD RSIhist pos-pos 151 45.5 7.5 59.6 0.6 0.9 0.3 14.2 -21.0
pair RSIhist MACD pos-pos 151 45.5 7.5 59.6 0.6 0.9 0.3 14.2 -21.0
pair LWTI RSIhist pos-pos 162 48.8 7.4 59.9 0.6 0.8 0.3 14.8 -20.8
pair RSIhist LWTI pos-pos 162 48.8 7.4 59.9 0.6 0.8 0.3 14.8 -20.8
pair SLmean MACD neg-pos 63 19.0 7.3 54.0 0.4 0.7 0.3 23.9 -25.8
pair MACD SLmean neg-pos 63 19.0 7.3 54.0 0.4 0.7 0.3 23.9 -25.8
pair LWTI RSmean pos-neg 42 12.7 7.0 57.1 0.4 0.6 0.1 27.5 -45.3
pair RSmean LWTI pos-neg 42 12.7 7.0 57.1 0.4 0.6 0.1 27.5 -45.3
pair RSI MRmean neg-neg 56 16.9 6.6 53.6 0.4 0.7 0.1 30.2 -48.2
pair MRmean RSI neg-neg 56 16.9 6.6 53.6 0.4 0.7 0.1 30.2 -48.2
pair RSIhist MRmean pos-neg 69 20.8 6.5 52.2 0.5 0.8 0.2 16.1 -27.5
pair MRmean RSIhist pos-neg 69 20.8 6.5 52.2 0.5 0.8 0.2 16.1 -27.5
pair RSIhist SLmean pos-neg 47 14.2 6.2 55.3 0.5 0.6 0.4 16.2 -15.9
pair SLmean RSIhist pos-neg 47 14.2 6.2 55.3 0.5 0.6 0.4 16.2 -15.9
pair MACD RSIhist neg-neg 45 13.6 6.0 55.6 0.3 0.6 0.1 26.2 -40.1
pair RSIhist MACD neg-neg 45 13.6 6.0 55.6 0.3 0.6 0.1 26.2 -40.1
pair MACDhist LWTI neg-neg 40 12.0 4.7 55.0 0.3 0.5 0.1 28.1 -45.3
pair LWTI MACDhist neg-neg 40 12.0 4.7 55.0 0.3 0.5 0.1 28.1 -45.3
pair SLmean LWTI neg-neg 28 8.4 4.0 57.1 0.3 0.4 0.1 29.1 -36.7
pair LWTI SLmean neg-neg 28 8.4 4.0 57.1 0.3 0.4 0.1 29.1 -36.7
pair RSI RSIhist neg-neg 49 14.8 3.6 53.1 0.3 0.5 0.1 29.8 -43.6
pair RSIhist RSI neg-neg 49 14.8 3.6 53.1 0.3 0.5 0.1 29.8 -43.6
pair SLmean MACDhist pos-neg 64 19.3 3.4 54.7 0.3 0.4 0.2 18.3 -19.4
pair MACDhist SLmean pos-neg 64 19.3 3.4 54.7 0.3 0.4 0.2 18.3 -19.4
pair SLmean MRmean pos-neg 27 8.1 2.4 44.4 0.2 0.4 0.1 17.8 -20.0
pair MRmean SLmean pos-neg 27 8.1 2.4 44.4 0.2 0.4 0.1 17.8 -20.0
pair SLmean MACDhist neg-pos 22 6.6 1.1 54.5 0.1 0.3 0.1 21.9 -9.4
pair MACDhist SLmean neg-pos 22 6.6 1.1 54.5 0.1 0.3 0.1 21.9 -9.4
pair MRmean LWTI neg-neg 31 9.3 -0.6 54.8 0.1 0.2 -0.0 30.0 -45.3
pair LWTI MRmean neg-neg 31 9.3 -0.6 54.8 0.1 0.2 -0.0 30.0 -45.3
pair MACD RSI pos-neg 15 4.5 -7.1 40.0 -0.1 -0.2 -0.4 33.7 -18.6
pair RSI MACD pos-neg 15 4.5 -7.1 40.0 -0.1 -0.2 -0.4 33.7 -18.6
pair LWTI RSIhist neg-neg 25 7.5 -11.6 52.0 -0.3 -0.5 -0.3 28.9 -44.0
pair RSIhist LWTI neg-neg 25 7.5 -11.6 52.0 -0.3 -0.5 -0.3 28.9 -44.0
pair SLmean MRmean neg-pos 8 2.4 -19.9 37.5 -0.6 -1.4 -0.8 28.6 -26.1
pair MRmean SLmean neg-pos 8 2.4 -19.9 37.5 -0.6 -1.4 -0.8 28.6 -26.1
pair MACD LWTI pos-neg 5 1.5 -24.5 40.0 -2.0 -2.4 -2.5 13.8 -9.9
pair LWTI MACD pos-neg 5 1.5 -24.5 40.0 -2.0 -2.4 -2.5 13.8 -9.9

All Contingency Tables for XLY

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.8% | Win 60%
Sharpe 0.70 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -21.2%
Months 216M (65%)
CAGR 2.4% | Win 44%
Sharpe 0.21 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -20.0%
Months 27M (8%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR -19.9% | Win 38%
Sharpe -0.64 | Sortino -1.44 | Calmar -0.8
Vol 29% | MDD -26.1%
Months 8M (2%)
CAGR 14.5% | Win 60%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.4
Vol 27% | MDD -40.0%
Months 81M (24%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
SLmean
only
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 58%
Sharpe 0.63 | Sortino 0.96 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 234M (70%)
CAGR 12.6% | Win 67%
Sharpe 1.03 | Sortino 1.54 | Calmar 2.3
Vol 12% | MDD -5.4%
Months 9M (3%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 9.1% | Win 59%
Sharpe 0.45 | Sortino 0.77 | Calmar 0.2
Vol 29% | MDD -51.3%
Months 70M (21%)
CAGR 17.6% | Win 58%
Sharpe 0.90 | Sortino 2.25 | Calmar 1.4
Vol 20% | MDD -12.3%
Months 19M (6%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
RSmean
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 58%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -33.0%
Months 218M (66%)
CAGR 20.6% | Win 64%
Sharpe 1.09 | Sortino 1.56 | Calmar 1.4
Vol 19% | MDD -15.2%
Months 25M (8%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 10.3% | Win 59%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.6
Vol 27% | MDD -17.4%
Months 39M (12%)
CAGR 11.4% | Win 58%
Sharpe 0.53 | Sortino 0.92 | Calmar 0.3
Vol 28% | MDD -44.9%
Months 50M (15%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
MACD
only
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 58%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 236M (71%)
CAGR 60.7% | Win 71%
Sharpe 2.76 | Sortino 51.96 | Calmar 54.0
Vol 18% | MDD -1.1%
Months 7M (2%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 18.5% | Win 67%
Sharpe 0.91 | Sortino 1.17 | Calmar 1.2
Vol 21% | MDD -15.2%
Months 33M (10%)
CAGR 6.6% | Win 54%
Sharpe 0.36 | Sortino 0.70 | Calmar 0.1
Vol 30% | MDD -48.2%
Months 56M (17%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
RSI
only
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 176M (53%)
CAGR 8.4% | Win 54%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.5
Vol 16% | MDD -17.9%
Months 67M (20%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 20.0% | Win 67%
Sharpe 0.78 | Sortino 0.75 | Calmar 197.4
Vol 28% | MDD -0.1%
Months 6M (2%)
CAGR 10.3% | Win 58%
Sharpe 0.49 | Sortino 0.87 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 83M (25%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 61%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.5
Vol 15% | MDD -20.8%
Months 174M (52%)
CAGR 6.5% | Win 52%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 69M (21%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 30.2% | Win 57%
Sharpe 0.91 | Sortino 2.54 | Calmar 1.9
Vol 35% | MDD -16.0%
Months 7M (2%)
CAGR 9.4% | Win 58%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -46.9%
Months 82M (25%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.7% | Win 58%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 230M (69%)
CAGR 34.6% | Win 69%
Sharpe 1.80 | Sortino 3.00 | Calmar 23.8
Vol 18% | MDD -1.5%
Months 13M (4%)
CAGR 8.9% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 243M (73%)
MRmean
neg
CAGR 17.5% | Win 60%
Sharpe 0.76 | Sortino 1.34 | Calmar 0.8
Vol 26% | MDD -22.5%
Months 58M (18%)
CAGR -0.6% | Win 55%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 30% | MDD -45.3%
Months 31M (9%)
CAGR 10.9% | Win 58%
Sharpe 0.52 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 89M (27%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 59%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 215M (65%)
CAGR 12.6% | Win 67%
Sharpe 1.03 | Sortino 1.54 | Calmar 2.3
Vol 12% | MDD -5.4%
Months 9M (3%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -41.1%
Months 89M (27%)
CAGR 17.6% | Win 58%
Sharpe 0.90 | Sortino 2.25 | Calmar 1.4
Vol 20% | MDD -12.3%
Months 19M (6%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
RSmean
only
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.3% | Win 59%
Sharpe 0.63 | Sortino 0.94 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 194M (58%)
CAGR 10.1% | Win 60%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.5
Vol 22% | MDD -19.4%
Months 30M (9%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 7.3% | Win 54%
Sharpe 0.41 | Sortino 0.68 | Calmar 0.3
Vol 24% | MDD -25.8%
Months 63M (19%)
CAGR 17.2% | Win 60%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.5
Vol 27% | MDD -36.7%
Months 45M (14%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
MACD
only
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 15% | MDD -27.8%
Months 211M (64%)
CAGR 11.0% | Win 54%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.4
Vol 26% | MDD -26.2%
Months 13M (4%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 11.0% | Win 57%
Sharpe 0.63 | Sortino 0.93 | Calmar 0.5
Vol 20% | MDD -23.2%
Months 58M (18%)
CAGR 11.7% | Win 56%
Sharpe 0.52 | Sortino 0.97 | Calmar 0.3
Vol 30% | MDD -36.7%
Months 50M (15%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
RSI
only
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 61%
Sharpe 0.78 | Sortino 1.21 | Calmar 0.4
Vol 14% | MDD -25.2%
Months 160M (48%)
CAGR 3.4% | Win 55%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.2
Vol 18% | MDD -19.4%
Months 64M (19%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.26 | Calmar 0.1
Vol 22% | MDD -9.4%
Months 22M (7%)
CAGR 14.1% | Win 57%
Sharpe 0.64 | Sortino 1.05 | Calmar 0.3
Vol 26% | MDD -41.5%
Months 86M (26%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.4
Vol 16% | MDD -20.8%
Months 177M (53%)
CAGR 6.2% | Win 55%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.4
Vol 16% | MDD -15.9%
Months 47M (14%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 96.7% | Win 75%
Sharpe 2.42 | Sortino 0.00 | Calmar 0.0
Vol 30% | MDD 0.0%
Months 4M (1%)
CAGR 8.9% | Win 56%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 25% | MDD -41.1%
Months 104M (31%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.9% | Win 59%
Sharpe 0.59 | Sortino 0.85 | Calmar 0.3
Vol 15% | MDD -27.8%
Months 208M (63%)
CAGR 17.7% | Win 62%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.9
Vol 24% | MDD -19.4%
Months 16M (5%)
CAGR 8.6% | Win 59%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 224M (68%)
SLmean
neg
CAGR 14.0% | Win 56%
Sharpe 0.68 | Sortino 1.19 | Calmar 0.6
Vol 24% | MDD -22.5%
Months 80M (24%)
CAGR 4.0% | Win 57%
Sharpe 0.27 | Sortino 0.43 | Calmar 0.1
Vol 29% | MDD -36.7%
Months 28M (8%)
CAGR 11.3% | Win 56%
Sharpe 0.55 | Sortino 0.92 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 108M (32%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 57%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 249M (75%)
CAGR 14.0% | Win 62%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.3
Vol 26% | MDD -44.9%
Months 55M (17%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
RSmean
neg
CAGR 17.9% | Win 75%
Sharpe 1.96 | Sortino 5.85 | Calmar 21.0
Vol 9% | MDD -0.9%
Months 8M (2%)
CAGR 15.2% | Win 55%
Sharpe 0.79 | Sortino 2.08 | Calmar 1.2
Vol 20% | MDD -12.4%
Months 20M (6%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
MACD
only
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.89 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 249M (75%)
CAGR 8.3% | Win 55%
Sharpe 0.41 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -48.2%
Months 55M (17%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
RSmean
neg
CAGR 8.5% | Win 60%
Sharpe 0.61 | Sortino 1.12 | Calmar 0.8
Vol 15% | MDD -11.0%
Months 20M (6%)
CAGR 37.1% | Win 62%
Sharpe 1.44 | Sortino 4.25 | Calmar 6.7
Vol 24% | MDD -5.6%
Months 8M (2%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
RSI
only
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 60%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.4
Vol 16% | MDD -23.9%
Months 181M (54%)
CAGR 8.2% | Win 55%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -51.7%
Months 123M (37%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
RSmean
neg
CAGR 39.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 15.2% | Win 59%
Sharpe 0.87 | Sortino 2.00 | Calmar 1.2
Vol 18% | MDD -12.4%
Months 27M (8%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.7% | Win 60%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 16% | MDD -21.9%
Months 176M (53%)
CAGR 7.8% | Win 56%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 128M (39%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
RSmean
neg
CAGR 51.3% | Win 100%
Sharpe 12.22 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR 9.5% | Win 52%
Sharpe 0.56 | Sortino 1.37 | Calmar 0.6
Vol 19% | MDD -14.9%
Months 23M (7%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 58%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.3
Vol 18% | MDD -32.5%
Months 262M (79%)
CAGR 7.0% | Win 57%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.2
Vol 28% | MDD -45.3%
Months 42M (13%)
CAGR 8.9% | Win 58%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 304M (92%)
RSmean
neg
CAGR 13.6% | Win 58%
Sharpe 0.78 | Sortino 1.82 | Calmar 1.1
Vol 18% | MDD -12.4%
Months 26M (8%)
CAGR 52.5% | Win 100%
Sharpe 8.39 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 16.0% | Win 61%
Sharpe 0.92 | Sortino 2.08 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 28M (8%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.1% | Win 59%
Sharpe 0.64 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -33.2%
Months 242M (73%)
CAGR -7.1% | Win 40%
Sharpe -0.07 | Sortino -0.16 | Calmar -0.4
Vol 34% | MDD -18.6%
Months 15M (4%)
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
MACD
neg
CAGR 7.9% | Win 59%
Sharpe 0.50 | Sortino 0.78 | Calmar 0.3
Vol 18% | MDD -27.6%
Months 27M (8%)
CAGR 18.1% | Win 60%
Sharpe 0.74 | Sortino 1.22 | Calmar 0.4
Vol 28% | MDD -44.9%
Months 48M (14%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
RSI
only
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.5% | Win 59%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.3
Vol 16% | MDD -23.9%
Months 172M (52%)
CAGR 9.3% | Win 55%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.4
Vol 20% | MDD -25.5%
Months 85M (26%)
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
MACD
neg
CAGR 50.5% | Win 80%
Sharpe 3.37 | Sortino 33.28 | Calmar 17.5
Vol 13% | MDD -2.9%
Months 10M (3%)
CAGR 9.6% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 26% | MDD -44.9%
Months 65M (20%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.5% | Win 60%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.4
Vol 14% | MDD -21.0%
Months 151M (46%)
CAGR 9.0% | Win 56%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.4
Vol 21% | MDD -25.5%
Months 106M (32%)
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
MACD
neg
CAGR 28.2% | Win 67%
Sharpe 1.21 | Sortino 1.97 | Calmar 3.3
Vol 23% | MDD -8.5%
Months 30M (9%)
CAGR 6.0% | Win 56%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.1
Vol 26% | MDD -40.1%
Months 45M (14%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.9% | Win 58%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 252M (76%)
CAGR -24.5% | Win 40%
Sharpe -1.96 | Sortino -2.38 | Calmar -2.5
Vol 14% | MDD -9.9%
Months 5M (2%)
CAGR 8.1% | Win 58%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 257M (77%)
MACD
neg
CAGR 14.7% | Win 58%
Sharpe 0.75 | Sortino 1.50 | Calmar 0.7
Vol 21% | MDD -21.3%
Months 36M (11%)
CAGR 14.0% | Win 62%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.3
Vol 28% | MDD -44.9%
Months 39M (12%)
CAGR 14.3% | Win 60%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 25% | MDD -44.9%
Months 75M (23%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 8.3% | Win 60%
Sharpe 0.60 | Sortino 0.90 | Calmar 0.3
Vol 15% | MDD -23.9%
Months 179M (54%)
CAGR 10.4% | Win 58%
Sharpe 0.66 | Sortino 0.91 | Calmar 0.3
Vol 17% | MDD -29.9%
Months 90M (27%)
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
RSI
neg
CAGR 114.5% | Win 100%
Sharpe 5.90 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 3M (1%)
CAGR 8.0% | Win 53%
Sharpe 0.41 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -48.2%
Months 60M (18%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.2% | Win 60%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 167M (50%)
CAGR 10.3% | Win 57%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.4
Vol 18% | MDD -24.8%
Months 102M (31%)
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
RSI
neg
CAGR 44.7% | Win 64%
Sharpe 1.52 | Sortino 3.02 | Calmar 2.8
Vol 27% | MDD -16.0%
Months 14M (4%)
CAGR 3.6% | Win 53%
Sharpe 0.26 | Sortino 0.49 | Calmar 0.1
Vol 30% | MDD -43.6%
Months 49M (15%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 263M (79%)
CAGR 9.6% | Win 67%
Sharpe 0.64 | Sortino 0.74 | Calmar 6.6
Vol 16% | MDD -1.5%
Months 6M (2%)
CAGR 9.0% | Win 59%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 269M (81%)
RSI
neg
CAGR 16.2% | Win 52%
Sharpe 0.63 | Sortino 1.52 | Calmar 0.8
Vol 31% | MDD -21.4%
Months 25M (8%)
CAGR 8.6% | Win 58%
Sharpe 0.43 | Sortino 0.68 | Calmar 0.2
Vol 28% | MDD -45.3%
Months 38M (11%)
CAGR 11.6% | Win 56%
Sharpe 0.52 | Sortino 0.96 | Calmar 0.2
Vol 29% | MDD -48.2%
Months 63M (19%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.1% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 14% | MDD -20.8%
Months 141M (42%)
CAGR 7.7% | Win 58%
Sharpe 0.49 | Sortino 0.74 | Calmar 0.8
Vol 18% | MDD -9.4%
Months 41M (12%)
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
MACDhist
neg
CAGR 12.8% | Win 60%
Sharpe 0.69 | Sortino 1.09 | Calmar 1.0
Vol 21% | MDD -12.7%
Months 40M (12%)
CAGR 8.2% | Win 55%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 24% | MDD -47.4%
Months 110M (33%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
RSIhist
only
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.6% | Win 60%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.4
Vol 16% | MDD -23.9%
Months 178M (54%)
CAGR 59.1% | Win 100%
Sharpe 8.44 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 4M (1%)
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (55%)
MACDhist
neg
CAGR 11.2% | Win 56%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 21% | MDD -33.5%
Months 110M (33%)
CAGR 4.7% | Win 55%
Sharpe 0.30 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -45.3%
Months 40M (12%)
CAGR 9.4% | Win 56%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 150M (45%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.4% | Win 60%
Sharpe 0.56 | Sortino 0.80 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 162M (49%)
CAGR 42.9% | Win 68%
Sharpe 1.70 | Sortino 3.37 | Calmar 5.1
Vol 23% | MDD -8.5%
Months 19M (6%)
CAGR 10.7% | Win 61%
Sharpe 0.71 | Sortino 1.11 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 181M (54%)
RSIhist
neg
CAGR 12.5% | Win 56%
Sharpe 0.67 | Sortino 1.11 | Calmar 0.4
Vol 21% | MDD -28.2%
Months 126M (38%)
CAGR -11.6% | Win 52%
Sharpe -0.28 | Sortino -0.45 | Calmar -0.3
Vol 29% | MDD -44.0%
Months 25M (8%)
CAGR 8.1% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -47.4%
Months 151M (46%)
LWTI
only
CAGR 9.6% | Win 58%
Sharpe 0.61 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -35.7%
Months 288M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.44 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)