XLY - State Street Cons Disc Sel Sect SPDR Income ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

114.5%

Best CAGR

94

Total Months

14.1%

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 96.8 75.0 2.4 0.0 0.0 30.1 0.0
pair RSIhist SLmean neg-pos 4 1.2 96.8 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 51.9 54.0 18.0 -1.1
pair MRmean RSI pos-neg 7 2.1 60.7 71.4 2.8 51.9 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 52.6 100.0 8.3 0.0 0.0 5.2 0.0
pair RSmean LWTI neg-neg 2 0.6 52.6 100.0 8.3 0.0 0.0 5.2 0.0
pair RSIhist RSmean neg-pos 5 1.5 51.4 100.0 12.2 0.0 0.0 3.5 0.0
pair RSmean RSIhist neg-pos 5 1.5 51.4 100.0 12.2 0.0 0.0 3.5 0.0
pair MACD MACDhist neg-pos 10 3.0 50.5 80.0 3.4 32.8 17.5 12.6 -2.9
pair MACDhist MACD neg-pos 10 3.0 50.5 80.0 3.4 32.8 17.5 12.6 -2.9
pair RSI RSIhist neg-pos 14 4.3 44.7 64.3 1.5 3.0 2.8 26.7 -16.0
pair RSIhist RSI neg-pos 14 4.3 44.7 64.3 1.5 3.0 2.8 26.7 -16.0
pair LWTI RSIhist pos-neg 19 5.8 42.9 68.4 1.7 3.4 5.0 22.8 -8.5
pair RSIhist LWTI pos-neg 19 5.8 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 4.0 34.6 69.2 1.8 3.0 23.7 17.5 -1.5
pair LWTI MRmean pos-neg 13 4.0 34.6 69.2 1.8 3.0 23.7 17.5 -1.5
pair MRmean RSIhist neg-pos 7 2.1 30.3 57.1 0.9 2.5 1.9 34.7 -16.0
pair RSIhist MRmean neg-pos 7 2.1 30.3 57.1 0.9 2.5 1.9 34.7 -16.0
pair MACD RSIhist neg-pos 30 9.1 28.2 66.7 1.2 2.0 3.3 22.7 -8.5
pair RSIhist MACD neg-pos 30 9.1 28.2 66.7 1.2 2.0 3.3 22.7 -8.5
pair MRmean MACD pos-neg 25 7.6 20.6 64.0 1.1 1.6 1.4 18.9 -15.2
pair MACD MRmean pos-neg 25 7.6 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 0.8 197.7 27.8 -0.1
pair MRmean MACDhist neg-pos 6 1.8 20.0 66.7 0.8 0.8 197.7 27.8 -0.1
pair MACD RSmean neg-pos 7 2.1 18.8 71.4 1.9 6.1 22.0 9.3 -0.9
pair RSmean MACD neg-pos 7 2.1 18.8 71.4 1.9 6.1 22.0 9.3 -0.9
pair RSI MRmean neg-pos 32 9.8 18.7 65.6 0.9 1.2 1.2 21.6 -15.2
pair MRmean RSI neg-pos 32 9.8 18.7 65.6 0.9 1.2 1.2 21.6 -15.2
pair MACD RSI neg-neg 48 14.6 18.2 60.4 0.7 1.2 0.4 27.9 -44.9
pair RSI MACD neg-neg 48 14.6 18.2 60.4 0.7 1.2 0.4 27.9 -44.9
pair SLmean RSmean neg-neg 18 5.5 17.9 55.6 0.9 2.3 1.5 20.7 -12.3
pair RSmean SLmean neg-neg 18 5.5 17.9 55.6 0.9 2.3 1.5 20.7 -12.3
pair MRmean RSmean neg-neg 18 5.5 17.9 55.6 0.9 2.3 1.5 20.7 -12.3
pair RSmean MRmean neg-neg 18 5.5 17.9 55.6 0.9 2.3 1.5 20.7 -12.3
pair SLmean LWTI pos-neg 16 4.9 17.7 62.5 0.8 1.2 0.9 23.5 -19.4
pair LWTI SLmean pos-neg 16 4.9 17.7 62.5 0.8 1.2 0.9 23.5 -19.4
pair MRmean LWTI neg-pos 57 17.4 17.6 59.6 0.8 1.4 0.8 25.8 -22.6
pair LWTI MRmean neg-pos 57 17.4 17.6 59.6 0.8 1.4 0.8 25.8 -22.6
pair SLmean MACD neg-neg 45 13.7 17.3 60.0 0.7 1.2 0.5 26.7 -36.7
pair MACD SLmean neg-neg 45 13.7 17.3 60.0 0.7 1.2 0.5 26.7 -36.7
pair RSI LWTI neg-pos 25 7.6 16.2 52.0 0.6 1.5 0.8 30.9 -21.4
pair LWTI RSI neg-pos 25 7.6 16.2 52.0 0.6 1.5 0.8 30.9 -21.4
single RSmean RSmean neg-neg 27 8.2 16.1 59.3 0.9 2.1 1.3 18.1 -12.4
pair RSmean MACDhist neg-neg 26 7.9 15.3 57.7 0.9 2.0 1.2 18.4 -12.4
pair MACDhist RSmean neg-neg 26 7.9 15.3 57.7 0.9 2.0 1.2 18.4 -12.4
pair MACD RSmean neg-neg 20 6.1 15.2 55.0 0.8 2.1 1.2 20.5 -12.4
pair RSmean MACD neg-neg 20 6.1 15.2 55.0 0.8 2.1 1.2 20.5 -12.4
pair MACD LWTI neg-pos 36 11.0 14.7 58.3 0.8 1.5 0.7 21.3 -21.4
pair LWTI MACD neg-pos 36 11.0 14.7 58.3 0.8 1.5 0.7 21.3 -21.4
pair MRmean SLmean neg-neg 80 24.4 14.5 60.0 0.6 1.1 0.4 27.2 -40.0
pair SLmean MACDhist neg-neg 84 25.6 14.5 57.1 0.7 1.1 0.3 26.1 -41.5
pair MACDhist SLmean neg-neg 84 25.6 14.5 57.1 0.7 1.1 0.3 26.1 -41.5
pair SLmean MRmean neg-neg 80 24.4 14.5 60.0 0.6 1.1 0.4 27.2 -40.0
pair SLmean LWTI neg-pos 78 23.8 14.4 56.4 0.7 1.2 0.6 23.8 -22.6
pair LWTI SLmean neg-pos 78 23.8 14.4 56.4 0.7 1.2 0.6 23.8 -22.6
single MACD MACD neg-neg 75 22.9 14.3 60.0 0.7 1.1 0.3 24.8 -44.9
pair RSIhist MACDhist neg-pos 39 11.9 14.1 61.5 0.7 1.1 1.1 20.8 -12.7
pair MACDhist RSIhist neg-pos 39 11.9 14.1 61.5 0.7 1.1 1.1 20.8 -12.7
pair MACD RSmean pos-neg 55 16.8 14.0 61.8 0.6 1.0 0.3 26.4 -44.9
pair RSmean MACD pos-neg 55 16.8 14.0 61.8 0.6 1.0 0.3 26.4 -44.9
pair LWTI MACD neg-neg 39 11.9 14.0 61.5 0.6 0.9 0.3 28.0 -44.9
pair MACD LWTI neg-neg 39 11.9 14.0 61.5 0.6 0.9 0.3 28.0 -44.9
pair LWTI RSmean neg-pos 25 7.6 13.6 56.0 0.8 1.8 1.1 18.7 -12.4
pair RSmean LWTI neg-pos 25 7.6 13.6 56.0 0.8 1.8 1.1 18.7 -12.4
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 123 37.5 12.6 56.1 0.7 1.1 0.4 21.0 -28.3
pair RSIhist LWTI neg-pos 123 37.5 12.6 56.1 0.7 1.1 0.4 21.0 -28.3
pair MACDhist LWTI neg-pos 106 32.3 11.7 56.6 0.6 1.0 0.3 21.1 -33.5
pair LWTI MACDhist neg-pos 106 32.3 11.7 56.6 0.6 1.0 0.3 21.1 -33.5
pair RSI SLmean neg-neg 50 15.2 11.7 56.0 0.5 1.0 0.3 30.1 -36.7
pair SLmean RSI neg-neg 50 15.2 11.7 56.0 0.5 1.0 0.3 30.1 -36.7
single SLmean SLmean neg-neg 106 32.3 11.6 56.6 0.6 0.9 0.3 25.2 -41.1
single RSI RSI neg-neg 63 19.2 11.6 55.6 0.5 1.0 0.2 29.2 -48.2
pair RSI SLmean neg-pos 56 17.1 11.4 57.1 0.6 1.0 0.5 20.1 -23.2
pair SLmean RSI neg-pos 56 17.1 11.4 57.1 0.6 1.0 0.5 20.1 -23.2
pair MACD MRmean neg-neg 50 15.2 11.4 58.0 0.5 0.9 0.2 27.5 -44.9
pair MRmean MACD neg-neg 50 15.2 11.4 58.0 0.5 0.9 0.2 27.5 -44.9
pair MACDhist RSI pos-neg 86 26.2 11.0 58.1 0.7 0.9 0.4 17.5 -30.0
pair RSI MACDhist pos-neg 86 26.2 11.0 58.1 0.7 0.9 0.4 17.5 -30.0
pair RSI SLmean pos-neg 13 4.0 11.0 53.8 0.5 0.9 0.4 26.5 -26.3
pair SLmean RSI pos-neg 13 4.0 11.0 53.8 0.5 0.9 0.4 26.5 -26.3
single RSIhist RSIhist pos-pos 180 54.9 10.9 61.1 0.7 1.1 0.5 16.0 -20.8
single MRmean MRmean neg-neg 88 26.8 10.9 58.0 0.5 0.9 0.2 27.3 -51.3
pair SLmean MACDhist pos-pos 160 48.8 10.7 61.2 0.8 1.2 0.4 14.4 -25.2
pair MACDhist SLmean pos-pos 160 48.8 10.7 61.2 0.8 1.2 0.4 14.4 -25.2
pair RSmean SLmean neg-pos 88 26.8 10.3 56.8 0.5 0.8 0.2 26.1 -41.1
pair SLmean RSmean neg-pos 88 26.8 10.3 56.8 0.5 0.8 0.2 26.1 -41.1
pair RSI RSIhist pos-neg 99 30.2 10.3 56.6 0.6 0.9 0.4 18.1 -24.8
pair RSIhist RSI pos-neg 99 30.2 10.3 56.6 0.6 0.9 0.4 18.1 -24.8
pair MACD MRmean neg-pos 38 11.6 10.2 57.9 0.5 0.8 0.6 27.4 -17.4
pair MRmean MACD neg-pos 38 11.6 10.2 57.9 0.5 0.8 0.6 27.4 -17.4
pair RSIhist MRmean pos-pos 173 52.7 10.2 61.3 0.7 1.1 0.5 15.0 -20.8
pair MRmean RSIhist pos-pos 173 52.7 10.2 61.3 0.7 1.1 0.5 15.0 -20.8
pair MRmean MACDhist neg-neg 82 25.0 10.2 57.3 0.5 0.9 0.2 27.4 -51.3
pair MACDhist MRmean neg-neg 82 25.0 10.2 57.3 0.5 0.9 0.2 27.4 -51.3
pair MACD SLmean pos-neg 30 9.1 10.1 60.0 0.6 0.8 0.5 22.2 -19.4
pair SLmean MACD pos-neg 30 9.1 10.1 60.0 0.6 0.8 0.5 22.2 -19.4
pair MACDhist RSIhist pos-pos 141 43.0 10.1 61.0 0.7 1.1 0.5 14.5 -20.8
pair RSIhist MACDhist pos-pos 141 43.0 10.1 61.0 0.7 1.1 0.5 14.5 -20.8
pair MACD MACDhist pos-neg 81 24.7 9.9 55.6 0.6 0.8 0.4 20.6 -25.5
pair MACDhist MACD pos-neg 81 24.7 9.9 55.6 0.6 0.8 0.4 20.6 -25.5
pair MRmean SLmean pos-pos 214 65.2 9.9 60.3 0.7 1.0 0.5 15.0 -21.2
pair SLmean MRmean pos-pos 214 65.2 9.9 60.3 0.7 1.0 0.5 15.0 -21.2
pair RSIhist RSmean pos-pos 175 53.4 9.9 60.0 0.7 1.0 0.5 16.2 -21.9
pair RSmean RSIhist pos-pos 175 53.4 9.9 60.0 0.7 1.0 0.5 16.2 -21.9
single MACDhist MACDhist neg-neg 146 44.5 9.8 56.2 0.5 0.8 0.2 23.1 -51.7
single LWTI LWTI pos-pos 284 86.6 9.7 58.5 0.6 0.9 0.3 17.8 -35.8
pair MACD MACDhist neg-neg 65 19.8 9.6 56.9 0.5 0.8 0.2 26.1 -44.9
pair MACDhist MACD neg-neg 65 19.8 9.6 56.9 0.5 0.8 0.2 26.1 -44.9
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.6 58.5 0.6 0.9 0.2 19.2 -55.1
pair benchmark___benchmark_ benchmark-benchmark 328 100.0 9.6 58.5 0.6 0.9 0.2 19.2 -55.1
pair RSIhist SLmean pos-pos 176 53.7 9.5 60.8 0.7 1.0 0.5 15.5 -20.8
pair SLmean RSIhist pos-pos 176 53.7 9.5 60.8 0.7 1.0 0.5 15.5 -20.8
pair LWTI RSI pos-neg 6 1.8 9.5 66.7 0.6 0.7 6.5 16.1 -1.5
pair RSI LWTI pos-neg 6 1.8 9.5 66.7 0.6 0.7 6.5 16.1 -1.5
single MACDhist MACDhist pos-pos 182 55.5 9.5 60.4 0.7 1.0 0.4 15.4 -23.9
pair LWTI RSmean pos-pos 259 79.0 9.4 58.7 0.6 0.9 0.3 17.7 -32.5
pair RSmean MACDhist pos-pos 181 55.2 9.4 60.2 0.7 1.0 0.4 15.5 -23.9
pair RSmean LWTI pos-pos 259 79.0 9.4 58.7 0.6 0.9 0.3 17.7 -32.5
pair MACDhist RSmean pos-pos 181 55.2 9.4 60.2 0.7 1.0 0.4 15.5 -23.9
pair RSI MACD pos-pos 238 72.6 9.3 59.2 0.7 0.9 0.3 15.8 -33.2
pair RSIhist RSmean neg-neg 22 6.7 9.3 50.0 0.6 1.4 0.6 19.7 -14.9
pair RSmean RSIhist neg-neg 22 6.7 9.3 50.0 0.6 1.4 0.6 19.7 -14.9
pair MACD RSI pos-pos 238 72.6 9.3 59.2 0.7 0.9 0.3 15.8 -33.2
pair RSIhist MRmean neg-neg 81 24.7 9.3 58.0 0.5 0.8 0.2 26.8 -46.9
pair MRmean RSIhist neg-neg 81 24.7 9.3 58.0 0.5 0.8 0.2 26.8 -46.9
single RSI RSI pos-pos 265 80.8 9.2 59.2 0.6 0.9 0.2 16.0 -37.9
pair RSmean RSI pos-pos 246 75.0 9.2 59.3 0.6 0.9 0.3 16.1 -31.6
pair MACDhist MRmean pos-pos 176 53.7 9.2 60.2 0.7 1.0 0.4 15.0 -23.9
single MRmean MRmean pos-pos 240 73.2 9.2 58.8 0.7 1.0 0.4 15.3 -24.4
pair RSI RSmean pos-pos 246 75.0 9.2 59.3 0.6 0.9 0.3 16.1 -31.6
pair MRmean MACDhist pos-pos 176 53.7 9.2 60.2 0.7 1.0 0.4 15.0 -23.9
pair LWTI RSI pos-pos 259 79.0 9.1 59.1 0.6 0.9 0.3 16.1 -35.3
pair RSI LWTI pos-pos 259 79.0 9.1 59.1 0.6 0.9 0.3 16.1 -35.3
single RSmean RSmean pos-pos 301 91.8 9.1 58.5 0.6 0.8 0.2 19.3 -55.1
pair SLmean RSIhist neg-neg 102 31.1 9.1 55.9 0.5 0.8 0.2 24.9 -41.1
pair RSIhist SLmean neg-neg 102 31.1 9.1 55.9 0.5 0.8 0.2 24.9 -41.1
pair MRmean RSmean neg-pos 70 21.3 9.1 58.6 0.5 0.8 0.2 28.8 -51.3
pair RSmean MRmean neg-pos 70 21.3 9.1 58.6 0.5 0.8 0.2 28.8 -51.3
pair MRmean MACDhist pos-neg 64 19.5 9.1 54.7 0.6 0.9 0.5 16.3 -17.9
pair MACDhist MRmean pos-neg 64 19.5 9.1 54.7 0.6 0.9 0.5 16.3 -17.9
pair RSmean MRmean pos-pos 231 70.4 9.0 58.4 0.6 1.0 0.4 15.4 -24.4
pair MRmean RSmean pos-pos 231 70.4 9.0 58.4 0.6 1.0 0.4 15.4 -24.4
pair MACD LWTI pos-pos 248 75.6 9.0 58.5 0.6 0.9 0.2 17.3 -39.6
pair LWTI MACD pos-pos 248 75.6 9.0 58.5 0.6 0.9 0.2 17.3 -39.6
pair MACD RSIhist pos-neg 103 31.4 9.0 55.3 0.5 0.8 0.3 20.9 -25.5
pair RSIhist MACD pos-neg 103 31.4 9.0 55.3 0.5 0.8 0.3 20.9 -25.5
single LWTI LWTI neg-neg 44 13.4 8.8 59.1 0.5 0.7 0.2 27.0 -45.3
single SLmean SLmean pos-pos 222 67.7 8.7 59.5 0.6 0.9 0.3 15.6 -26.4
pair SLmean RSI pos-pos 209 63.7 8.6 59.8 0.6 0.9 0.3 14.8 -27.8
pair RSI SLmean pos-pos 209 63.7 8.6 59.8 0.6 0.9 0.3 14.8 -27.8
pair RSmean MACDhist pos-neg 120 36.6 8.6 55.8 0.5 0.7 0.2 24.1 -51.7
pair MACDhist RSmean pos-neg 120 36.6 8.6 55.8 0.5 0.7 0.2 24.1 -51.7
pair RSI LWTI neg-neg 38 11.6 8.6 57.9 0.4 0.7 0.2 28.5 -45.3
pair LWTI RSI neg-neg 38 11.6 8.6 57.9 0.4 0.7 0.2 28.5 -45.3
pair MACDhist LWTI pos-pos 178 54.3 8.6 59.6 0.6 0.9 0.4 15.5 -23.9
pair LWTI MACDhist pos-pos 178 54.3 8.6 59.6 0.6 0.9 0.4 15.5 -23.9
pair RSmean SLmean pos-pos 213 64.9 8.5 59.2 0.6 0.9 0.3 15.8 -26.4
pair SLmean RSmean pos-pos 213 64.9 8.5 59.2 0.6 0.9 0.3 15.8 -26.4
pair RSI RSIhist pos-pos 166 50.6 8.5 60.8 0.6 0.9 0.4 14.7 -20.8
pair RSIhist RSI pos-pos 166 50.6 8.5 60.8 0.6 0.9 0.4 14.7 -20.8
pair MACD SLmean pos-pos 192 58.5 8.5 59.4 0.6 0.9 0.3 14.4 -29.4
pair SLmean MACD pos-pos 192 58.5 8.5 59.4 0.6 0.9 0.3 14.4 -29.4
pair RSI RSmean pos-neg 55 16.8 8.3 54.5 0.4 0.8 0.2 30.0 -48.2
pair RSmean RSI pos-neg 55 16.8 8.3 54.5 0.4 0.8 0.2 30.0 -48.2
pair RSI RSmean neg-pos 19 5.8 8.3 57.9 0.6 1.1 0.8 15.4 -11.0
pair RSmean RSI neg-pos 19 5.8 8.3 57.9 0.6 1.1 0.8 15.4 -11.0
single MACD MACD pos-pos 253 77.1 8.3 58.1 0.6 0.8 0.2 17.2 -39.6
pair RSI MACDhist pos-pos 179 54.6 8.3 59.8 0.6 0.9 0.3 15.3 -23.9
pair MACDhist RSI pos-pos 179 54.6 8.3 59.8 0.6 0.9 0.3 15.3 -23.9
pair MACDhist RSIhist neg-neg 107 32.6 8.2 54.2 0.5 0.7 0.2 24.0 -47.4
pair RSIhist MACDhist neg-neg 107 32.6 8.2 54.2 0.5 0.7 0.2 24.0 -47.4
pair RSI MACDhist neg-neg 60 18.3 8.0 53.3 0.4 0.8 0.2 29.5 -48.2
pair MACDhist RSI neg-neg 60 18.3 8.0 53.3 0.4 0.8 0.2 29.5 -48.2
single RSIhist RSIhist neg-neg 148 45.1 8.0 55.4 0.5 0.7 0.2 22.6 -47.4
pair MACD RSmean pos-pos 246 75.0 8.0 57.7 0.5 0.8 0.2 17.4 -39.6
pair RSmean MACD pos-pos 246 75.0 8.0 57.7 0.5 0.8 0.2 17.4 -39.6
pair SLmean LWTI pos-pos 206 62.8 8.0 59.2 0.6 0.9 0.3 14.9 -27.8
pair LWTI SLmean pos-pos 206 62.8 8.0 59.2 0.6 0.9 0.3 14.9 -27.8
pair MRmean LWTI pos-pos 227 69.2 7.9 58.1 0.6 0.9 0.2 15.1 -31.4
pair LWTI MRmean pos-pos 227 69.2 7.9 58.1 0.6 0.9 0.2 15.1 -31.4
pair MACD RSI neg-pos 27 8.2 7.9 59.3 0.5 0.8 0.3 18.5 -27.6
pair RSI MACD neg-pos 27 8.2 7.9 59.3 0.5 0.8 0.3 18.5 -27.6
pair MRmean MACD pos-pos 215 65.5 7.9 58.1 0.6 0.9 0.2 14.9 -33.0
pair MACD MRmean pos-pos 215 65.5 7.9 58.1 0.6 0.9 0.2 14.9 -33.0
pair RSI MRmean pos-pos 233 71.0 7.9 58.4 0.6 0.9 0.2 15.1 -31.4
pair MRmean RSI pos-pos 233 71.0 7.9 58.4 0.6 0.9 0.2 15.1 -31.4
pair RSmean RSIhist pos-neg 126 38.4 7.8 56.3 0.4 0.7 0.2 23.1 -47.4
pair RSIhist RSmean pos-neg 126 38.4 7.8 56.3 0.4 0.7 0.2 23.1 -47.4
pair MACD RSIhist pos-pos 150 45.7 7.8 60.0 0.6 0.9 0.4 14.2 -21.0
pair RSIhist MACD pos-pos 150 45.7 7.8 60.0 0.6 0.9 0.4 14.2 -21.0
pair LWTI RSIhist pos-pos 161 49.1 7.7 60.2 0.6 0.8 0.4 14.9 -20.8
pair RSIhist LWTI pos-pos 161 49.1 7.7 60.2 0.6 0.8 0.4 14.9 -20.8
pair MACDhist RSIhist pos-neg 41 12.5 7.7 58.5 0.5 0.7 0.8 18.5 -9.4
pair RSIhist MACDhist pos-neg 41 12.5 7.7 58.5 0.5 0.7 0.8 18.5 -9.4
pair SLmean MACD neg-pos 61 18.6 7.6 54.1 0.4 0.7 0.3 24.2 -25.8
pair MACD SLmean neg-pos 61 18.6 7.6 54.1 0.4 0.7 0.3 24.2 -25.8
pair MACD MACDhist pos-pos 172 52.4 7.5 59.3 0.6 0.8 0.3 15.5 -23.9
pair MACDhist MACD pos-pos 172 52.4 7.5 59.3 0.6 0.8 0.3 15.5 -23.9
pair LWTI RSmean pos-neg 42 12.8 7.0 57.1 0.4 0.6 0.1 27.5 -45.3
pair RSmean LWTI pos-neg 42 12.8 7.0 57.1 0.4 0.6 0.1 27.5 -45.3
pair RSI MRmean neg-neg 56 17.1 6.6 53.6 0.4 0.7 0.1 30.2 -48.2
pair MRmean RSI neg-neg 56 17.1 6.6 53.6 0.4 0.7 0.1 30.2 -48.2
pair RSIhist MRmean pos-neg 67 20.4 6.5 52.2 0.5 0.8 0.2 16.3 -27.5
pair MRmean RSIhist pos-neg 67 20.4 6.5 52.2 0.5 0.8 0.2 16.3 -27.5
pair MACD RSIhist neg-neg 45 13.7 6.0 55.6 0.3 0.6 0.1 26.2 -40.1
pair RSIhist MACD neg-neg 45 13.7 6.0 55.6 0.3 0.6 0.1 26.2 -40.1
pair RSIhist SLmean pos-neg 46 14.0 5.7 54.3 0.4 0.6 0.4 16.3 -15.9
pair SLmean RSIhist pos-neg 46 14.0 5.7 54.3 0.4 0.6 0.4 16.3 -15.9
pair MACDhist LWTI neg-neg 40 12.2 4.7 55.0 0.3 0.5 0.1 28.1 -45.3
pair LWTI MACDhist neg-neg 40 12.2 4.7 55.0 0.3 0.5 0.1 28.1 -45.3
pair SLmean LWTI neg-neg 28 8.5 4.0 57.1 0.3 0.4 0.1 29.1 -36.7
pair LWTI SLmean neg-neg 28 8.5 4.0 57.1 0.3 0.4 0.1 29.1 -36.7
pair SLmean MACDhist pos-neg 62 18.9 3.6 54.8 0.3 0.4 0.2 18.5 -19.4
pair MACDhist SLmean pos-neg 62 18.9 3.6 54.8 0.3 0.4 0.2 18.5 -19.4
pair RSI RSIhist neg-neg 49 14.9 3.6 53.1 0.3 0.5 0.1 29.8 -43.6
pair RSIhist RSI neg-neg 49 14.9 3.6 53.1 0.3 0.5 0.1 29.8 -43.6
pair SLmean MRmean pos-neg 26 7.9 2.9 46.2 0.2 0.5 0.1 18.2 -19.2
pair MRmean SLmean pos-neg 26 7.9 2.9 46.2 0.2 0.5 0.1 18.2 -19.2
pair SLmean MACDhist neg-pos 22 6.7 1.1 54.5 0.1 0.3 0.1 21.9 -9.4
pair MACDhist SLmean neg-pos 22 6.7 1.1 54.5 0.1 0.3 0.1 21.9 -9.4
pair MRmean LWTI neg-neg 31 9.5 -0.5 54.8 0.1 0.2 -0.0 30.0 -45.3
pair LWTI MRmean neg-neg 31 9.5 -0.5 54.8 0.1 0.2 -0.0 30.0 -45.3
pair MACD RSI pos-neg 15 4.6 -7.1 40.0 -0.1 -0.2 -0.4 33.7 -18.6
pair RSI MACD pos-neg 15 4.6 -7.1 40.0 -0.1 -0.2 -0.4 33.7 -18.6
pair LWTI RSIhist neg-neg 25 7.6 -11.6 52.0 -0.3 -0.5 -0.3 28.9 -44.0
pair RSIhist LWTI neg-neg 25 7.6 -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 -9.8
pair LWTI MACD pos-neg 5 1.5 -24.5 40.0 -2.0 -2.4 -2.5 13.8 -9.8

All Contingency Tables for XLY

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 60%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.5
Vol 15% | MDD -21.2%
Months 214M (65%)
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.2
Vol 18% | MDD -19.2%
Months 26M (8%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (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 1.06 | Calmar 0.4
Vol 27% | MDD -40.0%
Months 80M (24%)
CAGR 10.9% | Win 58%
Sharpe 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
SLmean
only
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 58%
Sharpe 0.64 | Sortino 0.97 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 231M (70%)
CAGR 12.6% | Win 67%
Sharpe 1.03 | Sortino 1.54 | Calmar 2.3
Vol 12% | MDD -5.4%
Months 9M (3%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (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 17.9% | Win 56%
Sharpe 0.90 | Sortino 2.30 | Calmar 1.5
Vol 21% | MDD -12.3%
Months 18M (6%)
CAGR 10.9% | Win 58%
Sharpe 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
RSmean
only
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 58%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.2
Vol 15% | MDD -33.0%
Months 215M (66%)
CAGR 20.6% | Win 64%
Sharpe 1.09 | Sortino 1.56 | Calmar 1.4
Vol 19% | MDD -15.2%
Months 25M (8%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (73%)
MRmean
neg
CAGR 10.2% | Win 58%
Sharpe 0.49 | Sortino 0.82 | Calmar 0.6
Vol 27% | MDD -17.4%
Months 38M (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 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
MACD
only
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (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 7.9% | Win 58%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.3
Vol 15% | MDD -31.4%
Months 233M (71%)
CAGR 60.7% | Win 71%
Sharpe 2.76 | Sortino 51.87 | Calmar 54.0
Vol 18% | MDD -1.1%
Months 7M (2%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (73%)
MRmean
neg
CAGR 18.7% | Win 66%
Sharpe 0.91 | Sortino 1.19 | Calmar 1.2
Vol 22% | MDD -15.2%
Months 32M (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 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
RSI
only
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 (54%)
CAGR 9.1% | Win 55%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.5
Vol 16% | MDD -17.9%
Months 64M (20%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (73%)
MRmean
neg
CAGR 20.0% | Win 67%
Sharpe 0.78 | Sortino 0.75 | Calmar 197.7
Vol 28% | MDD -0.1%
Months 6M (2%)
CAGR 10.2% | Win 57%
Sharpe 0.49 | Sortino 0.87 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 82M (25%)
CAGR 10.9% | Win 58%
Sharpe 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (56%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 61%
Sharpe 0.73 | Sortino 1.07 | Calmar 0.5
Vol 15% | MDD -20.8%
Months 173M (53%)
CAGR 6.5% | Win 52%
Sharpe 0.47 | Sortino 0.75 | Calmar 0.2
Vol 16% | MDD -27.5%
Months 67M (20%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (73%)
MRmean
neg
CAGR 30.3% | Win 57%
Sharpe 0.91 | Sortino 2.54 | Calmar 1.9
Vol 35% | MDD -16.0%
Months 7M (2%)
CAGR 9.3% | Win 58%
Sharpe 0.47 | Sortino 0.77 | Calmar 0.2
Vol 27% | MDD -46.9%
Months 81M (25%)
CAGR 10.9% | Win 58%
Sharpe 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
RSIhist
only
CAGR 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 58%
Sharpe 0.58 | Sortino 0.86 | Calmar 0.2
Vol 15% | MDD -31.4%
Months 227M (69%)
CAGR 34.6% | Win 69%
Sharpe 1.80 | Sortino 3.00 | Calmar 23.7
Vol 18% | MDD -1.5%
Months 13M (4%)
CAGR 9.2% | Win 59%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.4
Vol 15% | MDD -24.4%
Months 240M (73%)
MRmean
neg
CAGR 17.6% | Win 60%
Sharpe 0.76 | Sortino 1.35 | Calmar 0.8
Vol 26% | MDD -22.6%
Months 57M (17%)
CAGR -0.5% | Win 55%
Sharpe 0.13 | Sortino 0.22 | Calmar -0.0
Vol 30% | MDD -45.3%
Months 31M (10%)
CAGR 10.9% | Win 58%
Sharpe 0.51 | Sortino 0.89 | Calmar 0.2
Vol 27% | MDD -51.3%
Months 88M (27%)
LWTI
only
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 8.5% | Win 59%
Sharpe 0.60 | Sortino 0.88 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 213M (65%)
CAGR 12.6% | Win 67%
Sharpe 1.03 | Sortino 1.54 | Calmar 2.3
Vol 12% | MDD -5.4%
Months 9M (3%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
SLmean
neg
CAGR 10.3% | Win 57%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.3
Vol 26% | MDD -41.1%
Months 88M (27%)
CAGR 17.9% | Win 56%
Sharpe 0.90 | Sortino 2.30 | Calmar 1.5
Vol 21% | MDD -12.3%
Months 18M (6%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
RSmean
only
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 59%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.3
Vol 14% | MDD -29.4%
Months 192M (58%)
CAGR 10.1% | Win 60%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.5
Vol 22% | MDD -19.4%
Months 30M (9%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
SLmean
neg
CAGR 7.6% | Win 54%
Sharpe 0.42 | Sortino 0.70 | Calmar 0.3
Vol 24% | MDD -25.8%
Months 61M (19%)
CAGR 17.3% | Win 60%
Sharpe 0.73 | Sortino 1.20 | Calmar 0.5
Vol 27% | MDD -36.7%
Months 45M (14%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
MACD
only
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (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 8.6% | Win 60%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.3
Vol 15% | MDD -27.8%
Months 209M (64%)
CAGR 11.0% | Win 54%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.4
Vol 26% | MDD -26.3%
Months 13M (4%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
SLmean
neg
CAGR 11.4% | Win 57%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.5
Vol 20% | MDD -23.2%
Months 56M (17%)
CAGR 11.7% | Win 56%
Sharpe 0.52 | Sortino 0.97 | Calmar 0.3
Vol 30% | MDD -36.7%
Months 50M (15%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
RSI
only
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 (49%)
CAGR 3.6% | Win 55%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.2
Vol 18% | MDD -19.4%
Months 62M (19%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (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 14.5% | Win 57%
Sharpe 0.65 | Sortino 1.08 | Calmar 0.3
Vol 26% | MDD -41.5%
Months 84M (26%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (56%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 61%
Sharpe 0.67 | Sortino 0.99 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 176M (54%)
CAGR 5.7% | Win 54%
Sharpe 0.42 | Sortino 0.58 | Calmar 0.4
Vol 16% | MDD -15.9%
Months 46M (14%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
SLmean
neg
CAGR 96.8% | Win 75%
Sharpe 2.42 | Sortino 0.00 | Calmar 0.0
Vol 30% | MDD 0.0%
Months 4M (1%)
CAGR 9.1% | Win 56%
Sharpe 0.47 | Sortino 0.78 | Calmar 0.2
Vol 25% | MDD -41.1%
Months 102M (31%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
RSIhist
only
CAGR 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 59%
Sharpe 0.59 | Sortino 0.86 | Calmar 0.3
Vol 15% | MDD -27.8%
Months 206M (63%)
CAGR 17.7% | Win 62%
Sharpe 0.81 | Sortino 1.23 | Calmar 0.9
Vol 24% | MDD -19.4%
Months 16M (5%)
CAGR 8.7% | Win 60%
Sharpe 0.61 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -26.4%
Months 222M (68%)
SLmean
neg
CAGR 14.4% | Win 56%
Sharpe 0.69 | Sortino 1.22 | Calmar 0.6
Vol 24% | MDD -22.6%
Months 78M (24%)
CAGR 4.0% | Win 57%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 29% | MDD -36.7%
Months 28M (8%)
CAGR 11.6% | Win 57%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.3
Vol 25% | MDD -41.1%
Months 106M (32%)
LWTI
only
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 8.0% | Win 58%
Sharpe 0.53 | Sortino 0.80 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 246M (75%)
CAGR 14.0% | Win 62%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.3
Vol 26% | MDD -44.9%
Months 55M (17%)
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
RSmean
neg
CAGR 18.8% | Win 71%
Sharpe 1.90 | Sortino 6.12 | Calmar 22.0
Vol 9% | MDD -0.9%
Months 7M (2%)
CAGR 15.2% | Win 55%
Sharpe 0.79 | Sortino 2.09 | Calmar 1.2
Vol 20% | MDD -12.4%
Months 20M (6%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
MACD
only
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (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 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.90 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 246M (75%)
CAGR 8.3% | Win 55%
Sharpe 0.41 | Sortino 0.76 | Calmar 0.2
Vol 30% | MDD -48.2%
Months 55M (17%)
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
RSmean
neg
CAGR 8.3% | Win 58%
Sharpe 0.59 | Sortino 1.10 | Calmar 0.8
Vol 15% | MDD -11.0%
Months 19M (6%)
CAGR 37.1% | Win 62%
Sharpe 1.44 | Sortino 4.25 | Calmar 6.7
Vol 24% | MDD -5.6%
Months 8M (2%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
RSI
only
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 (55%)
CAGR 8.6% | Win 56%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 24% | MDD -51.7%
Months 120M (37%)
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (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 15.3% | Win 58%
Sharpe 0.86 | Sortino 2.02 | Calmar 1.2
Vol 18% | MDD -12.4%
Months 26M (8%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
MACDhist
only
CAGR 9.5% | Win 60%
Sharpe 0.67 | Sortino 1.02 | Calmar 0.4
Vol 15% | MDD -23.9%
Months 182M (56%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.9% | Win 60%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.5
Vol 16% | MDD -21.9%
Months 175M (53%)
CAGR 7.8% | Win 56%
Sharpe 0.44 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 126M (38%)
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
RSmean
neg
CAGR 51.4% | Win 100%
Sharpe 12.16 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 5M (2%)
CAGR 9.3% | Win 50%
Sharpe 0.55 | Sortino 1.36 | Calmar 0.6
Vol 20% | MDD -14.9%
Months 22M (7%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
RSIhist
only
CAGR 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 59%
Sharpe 0.60 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -32.5%
Months 259M (79%)
CAGR 7.0% | Win 57%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.2
Vol 28% | MDD -45.3%
Months 42M (13%)
CAGR 9.1% | Win 58%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.2
Vol 19% | MDD -55.1%
Months 301M (92%)
RSmean
neg
CAGR 13.6% | Win 56%
Sharpe 0.77 | Sortino 1.83 | Calmar 1.1
Vol 19% | MDD -12.4%
Months 25M (8%)
CAGR 52.6% | Win 100%
Sharpe 8.35 | Sortino 0.00 | Calmar 0.0
Vol 5% | MDD 0.0%
Months 2M (1%)
CAGR 16.1% | Win 59%
Sharpe 0.92 | Sortino 2.10 | Calmar 1.3
Vol 18% | MDD -12.4%
Months 27M (8%)
LWTI
only
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 9.3% | Win 59%
Sharpe 0.65 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -33.2%
Months 238M (73%)
CAGR -7.1% | Win 40%
Sharpe -0.07 | Sortino -0.16 | Calmar -0.4
Vol 34% | MDD -18.6%
Months 15M (5%)
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (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 18.2% | Win 60%
Sharpe 0.74 | Sortino 1.22 | Calmar 0.4
Vol 28% | MDD -44.9%
Months 48M (15%)
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 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 9.9% | Win 56%
Sharpe 0.56 | Sortino 0.84 | Calmar 0.4
Vol 21% | MDD -25.5%
Months 81M (25%)
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (77%)
MACD
neg
CAGR 50.5% | Win 80%
Sharpe 3.37 | Sortino 32.83 | 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 (56%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 60%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.4
Vol 14% | MDD -21.0%
Months 150M (46%)
CAGR 9.0% | Win 55%
Sharpe 0.52 | Sortino 0.80 | Calmar 0.4
Vol 21% | MDD -25.5%
Months 103M (31%)
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (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 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.0% | Win 58%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 248M (76%)
CAGR -24.5% | Win 40%
Sharpe -1.96 | Sortino -2.38 | Calmar -2.5
Vol 14% | MDD -9.8%
Months 5M (2%)
CAGR 8.3% | Win 58%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 17% | MDD -39.6%
Months 253M (77%)
MACD
neg
CAGR 14.7% | Win 58%
Sharpe 0.75 | Sortino 1.50 | Calmar 0.7
Vol 21% | MDD -21.4%
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 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 (55%)
CAGR 11.0% | Win 58%
Sharpe 0.68 | Sortino 0.94 | Calmar 0.4
Vol 18% | MDD -30.0%
Months 86M (26%)
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 (56%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 61%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 166M (51%)
CAGR 10.3% | Win 57%
Sharpe 0.63 | Sortino 0.94 | Calmar 0.4
Vol 18% | MDD -24.8%
Months 99M (30%)
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.1% | Win 59%
Sharpe 0.63 | Sortino 0.91 | Calmar 0.3
Vol 16% | MDD -35.3%
Months 259M (79%)
CAGR 9.5% | Win 67%
Sharpe 0.64 | Sortino 0.74 | Calmar 6.5
Vol 16% | MDD -1.5%
Months 6M (2%)
CAGR 9.2% | Win 59%
Sharpe 0.63 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -37.9%
Months 265M (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 (12%)
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 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 (43%)
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 (56%)
MACDhist
neg
CAGR 14.1% | Win 62%
Sharpe 0.74 | Sortino 1.15 | Calmar 1.1
Vol 21% | MDD -12.7%
Months 39M (12%)
CAGR 8.2% | Win 54%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 24% | MDD -47.4%
Months 107M (33%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
RSIhist
only
CAGR 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
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 (56%)
MACDhist
neg
CAGR 11.7% | Win 57%
Sharpe 0.63 | Sortino 1.01 | Calmar 0.3
Vol 21% | MDD -33.5%
Months 106M (32%)
CAGR 4.7% | Win 55%
Sharpe 0.30 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -45.3%
Months 40M (12%)
CAGR 9.8% | Win 56%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.2
Vol 23% | MDD -51.7%
Months 146M (44%)
LWTI
only
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | 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 7.7% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 161M (49%)
CAGR 42.9% | Win 68%
Sharpe 1.70 | Sortino 3.37 | Calmar 5.1
Vol 23% | MDD -8.5%
Months 19M (6%)
CAGR 10.9% | Win 61%
Sharpe 0.73 | Sortino 1.13 | Calmar 0.5
Vol 16% | MDD -20.8%
Months 180M (55%)
RSIhist
neg
CAGR 12.6% | Win 56%
Sharpe 0.67 | Sortino 1.11 | Calmar 0.4
Vol 21% | MDD -28.3%
Months 123M (38%)
CAGR -11.6% | Win 52%
Sharpe -0.28 | Sortino -0.45 | Calmar -0.3
Vol 29% | MDD -44.0%
Months 25M (8%)
CAGR 8.0% | Win 55%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 148M (45%)
LWTI
only
CAGR 9.7% | Win 58%
Sharpe 0.61 | Sortino 0.95 | Calmar 0.3
Vol 18% | MDD -35.8%
Months 284M (87%)
CAGR 8.8% | Win 59%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 27% | MDD -45.3%
Months 44M (13%)