XME - State Street SPDR S&P Metals & Mining ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

77.7%

Best CAGR

69

Total Months

7.1%

Avg CAGR

XME 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 XME

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 LWTI pos-neg 11 4.5 77.7 63.6 1.8 4.5 6.6 36.1 -11.7
pair LWTI MACDhist pos-neg 11 4.5 77.7 63.6 1.8 4.5 6.6 36.1 -11.7
pair RSI MRmean pos-neg 27 11.2 74.0 66.7 1.9 5.5 7.0 31.7 -10.5
pair MRmean RSI pos-neg 27 11.2 74.0 66.7 1.9 5.5 7.0 31.7 -10.5
pair MRmean RSIhist neg-pos 10 4.1 72.7 70.0 1.9 11.8 4.9 32.2 -14.8
pair RSIhist MRmean neg-pos 10 4.1 72.7 70.0 1.9 11.8 4.9 32.2 -14.8
pair RSI RSIhist neg-pos 33 13.6 72.4 66.7 1.9 5.8 5.0 32.3 -14.3
pair RSIhist RSI neg-pos 33 13.6 72.4 66.7 1.9 5.8 5.0 32.3 -14.3
pair MRmean SLmean neg-pos 12 5.0 67.3 58.3 1.8 11.0 8.4 32.6 -8.0
pair SLmean MRmean neg-pos 12 5.0 67.3 58.3 1.8 11.0 8.4 32.6 -8.0
pair SLmean RSI pos-neg 35 14.5 63.2 62.9 1.8 5.6 6.0 31.2 -10.6
pair RSI SLmean pos-neg 35 14.5 63.2 62.9 1.8 5.6 6.0 31.2 -10.6
pair SLmean LWTI pos-neg 30 12.4 59.8 60.0 1.5 3.8 4.0 34.7 -15.0
pair LWTI SLmean pos-neg 30 12.4 59.8 60.0 1.5 3.8 4.0 34.7 -15.0
pair LWTI RSIhist pos-neg 28 11.6 55.4 60.7 1.5 3.4 3.7 34.4 -15.0
pair RSIhist LWTI pos-neg 28 11.6 55.4 60.7 1.5 3.4 3.7 34.4 -15.0
pair MRmean LWTI pos-neg 22 9.1 52.8 59.1 1.4 3.0 3.5 34.3 -15.0
pair LWTI MRmean pos-neg 22 9.1 52.8 59.1 1.4 3.0 3.5 34.3 -15.0
pair SLmean MRmean pos-neg 23 9.5 50.1 65.2 1.3 3.4 2.0 36.1 -24.9
pair MRmean SLmean pos-neg 23 9.5 50.1 65.2 1.3 3.4 2.0 36.1 -24.9
pair MACDhist RSI neg-pos 22 9.1 42.6 63.6 1.1 1.8 1.6 38.1 -27.6
pair RSI MACDhist neg-pos 22 9.1 42.6 63.6 1.1 1.8 1.6 38.1 -27.6
pair MRmean RSIhist pos-neg 29 12.0 39.5 69.0 1.1 2.5 2.1 34.6 -18.7
pair RSIhist MRmean pos-neg 29 12.0 39.5 69.0 1.1 2.5 2.1 34.6 -18.7
pair MACDhist SLmean neg-pos 24 9.9 37.3 66.7 1.0 1.6 1.1 38.0 -35.3
pair SLmean MACDhist neg-pos 24 9.9 37.3 66.7 1.0 1.6 1.1 38.0 -35.3
pair MRmean MACD pos-neg 54 22.3 31.0 55.6 1.0 2.0 1.7 32.8 -18.3
pair MACD MRmean pos-neg 54 22.3 31.0 55.6 1.0 2.0 1.7 32.8 -18.3
pair MACDhist SLmean pos-neg 43 17.8 30.5 53.5 1.0 2.3 1.9 31.0 -16.0
pair SLmean MACDhist pos-neg 43 17.8 30.5 53.5 1.0 2.3 1.9 31.0 -16.0
pair MACD SLmean pos-neg 54 22.3 30.3 55.6 1.0 2.0 1.4 33.5 -21.5
pair SLmean MACD pos-neg 54 22.3 30.3 55.6 1.0 2.0 1.4 33.5 -21.5
pair MACD MACDhist neg-pos 33 13.6 29.7 54.5 0.9 2.1 1.0 33.3 -30.4
pair MACDhist MACD neg-pos 33 13.6 29.7 54.5 0.9 2.1 1.0 33.3 -30.4
pair MACD RSIhist neg-pos 60 24.8 28.2 55.0 0.9 2.0 1.5 32.8 -19.3
pair RSIhist MACD neg-pos 60 24.8 28.2 55.0 0.9 2.0 1.5 32.8 -19.3
pair RSIhist MACDhist neg-pos 36 14.9 26.0 52.8 0.9 1.9 1.5 30.9 -17.7
pair MACDhist RSIhist neg-pos 36 14.9 26.0 52.8 0.9 1.9 1.5 30.9 -17.7
pair RSIhist MACDhist pos-neg 25 10.3 24.7 68.0 0.8 1.1 0.7 37.2 -35.5
pair MACDhist RSIhist pos-neg 25 10.3 24.7 68.0 0.8 1.1 0.7 37.2 -35.5
pair RSI RSIhist pos-neg 44 18.2 19.1 65.9 0.7 0.9 0.4 37.4 -45.2
pair RSIhist RSI pos-neg 44 18.2 19.1 65.9 0.7 0.9 0.4 37.4 -45.2
pair RSmean MRmean pos-pos 143 59.1 18.8 54.5 0.7 1.4 0.6 30.6 -32.5
pair MRmean RSmean pos-pos 143 59.1 18.8 54.5 0.7 1.4 0.6 30.6 -32.5
pair MACDhist MRmean pos-neg 37 15.3 18.2 51.4 0.7 1.4 0.7 30.9 -25.8
pair MRmean MACDhist pos-neg 37 15.3 18.2 51.4 0.7 1.4 0.7 30.9 -25.8
pair SLmean RSmean pos-pos 132 54.5 17.6 53.0 0.7 1.4 0.5 29.8 -35.1
single MRmean MRmean pos-pos 145 59.9 17.6 53.8 0.7 1.4 0.5 30.5 -33.8
pair RSmean SLmean pos-pos 132 54.5 17.6 53.0 0.7 1.4 0.5 29.8 -35.1
pair MACDhist MRmean pos-pos 108 44.6 17.4 54.6 0.7 1.4 0.4 30.5 -39.1
pair MRmean MACDhist pos-pos 108 44.6 17.4 54.6 0.7 1.4 0.4 30.5 -39.1
pair RSIhist RSmean pos-pos 121 50.0 17.3 52.1 0.7 1.4 0.5 30.0 -33.2
pair RSmean RSIhist pos-pos 121 50.0 17.3 52.1 0.7 1.4 0.5 30.0 -33.2
pair RSIhist SLmean pos-pos 117 48.3 16.9 52.1 0.7 1.4 0.5 29.4 -37.9
pair SLmean RSIhist pos-pos 117 48.3 16.9 52.1 0.7 1.4 0.5 29.4 -37.9
pair SLmean RSI neg-pos 38 15.7 16.5 63.2 0.6 0.8 0.3 37.5 -53.3
single RSIhist RSIhist pos-pos 126 52.1 16.5 51.6 0.7 1.4 0.4 29.7 -37.9
pair RSI SLmean neg-pos 38 15.7 16.5 63.2 0.6 0.8 0.3 37.5 -53.3
single SLmean SLmean pos-pos 134 55.4 16.4 52.2 0.7 1.3 0.4 29.7 -39.6
pair MACDhist RSmean pos-pos 114 47.1 15.8 55.3 0.6 1.1 0.3 31.2 -52.5
pair RSmean MACDhist pos-pos 114 47.1 15.8 55.3 0.6 1.1 0.3 31.2 -52.5
single MACDhist MACDhist pos-pos 115 47.5 15.4 54.8 0.6 1.1 0.3 31.1 -53.5
pair LWTI RSI neg-neg 74 30.6 14.9 56.8 0.6 1.0 0.2 36.5 -58.7
pair RSI LWTI neg-neg 74 30.6 14.9 56.8 0.6 1.0 0.2 36.5 -58.7
pair MACD RSI neg-neg 87 36.0 13.7 56.3 0.5 1.0 0.2 36.5 -63.9
pair RSI MACD neg-neg 87 36.0 13.7 56.3 0.5 1.0 0.2 36.5 -63.9
pair MACD LWTI neg-neg 69 28.5 13.7 58.0 0.5 0.9 0.2 38.0 -55.1
pair LWTI MACD neg-neg 69 28.5 13.7 58.0 0.5 0.9 0.2 38.0 -55.1
pair RSmean RSI neg-pos 9 3.7 13.4 55.6 0.7 2.0 1.0 21.8 -13.9
pair RSI RSmean neg-pos 9 3.7 13.4 55.6 0.7 2.0 1.0 21.8 -13.9
pair MACDhist RSIhist pos-pos 90 37.2 13.0 51.1 0.6 1.2 0.4 29.4 -35.8
pair RSIhist MACDhist pos-pos 90 37.2 13.0 51.1 0.6 1.2 0.4 29.4 -35.8
pair RSmean LWTI pos-neg 73 30.2 12.9 57.5 0.5 0.9 0.2 37.3 -57.0
pair LWTI RSmean pos-neg 73 30.2 12.9 57.5 0.5 0.9 0.2 37.3 -57.0
pair RSIhist SLmean pos-neg 17 7.0 12.7 52.9 0.5 0.9 0.5 32.2 -25.4
pair SLmean RSIhist pos-neg 17 7.0 12.7 52.9 0.5 0.9 0.5 32.2 -25.4
pair RSIhist MRmean pos-pos 116 47.9 12.6 50.0 0.6 1.1 0.3 29.4 -37.9
pair MRmean RSIhist pos-pos 116 47.9 12.6 50.0 0.6 1.1 0.3 29.4 -37.9
pair SLmean MRmean pos-pos 122 50.4 12.3 51.6 0.5 1.0 0.3 29.3 -38.4
pair MRmean SLmean pos-pos 122 50.4 12.3 51.6 0.5 1.0 0.3 29.3 -38.4
pair MRmean LWTI pos-pos 123 50.8 12.2 52.8 0.5 1.1 0.3 29.7 -43.4
pair LWTI MRmean pos-pos 123 50.8 12.2 52.8 0.5 1.1 0.3 29.7 -43.4
pair MACD RSmean pos-neg 106 43.8 11.8 55.7 0.5 0.9 0.2 35.9 -70.0
single LWTI LWTI neg-neg 75 31.0 11.8 56.0 0.5 0.8 0.2 36.9 -58.7
pair SLmean RSIhist neg-pos 9 3.7 11.8 44.4 0.5 1.3 0.5 35.2 -23.8
pair RSIhist SLmean neg-pos 9 3.7 11.8 44.4 0.5 1.3 0.5 35.2 -23.8
pair RSmean MACD pos-neg 106 43.8 11.8 55.7 0.5 0.9 0.2 35.9 -70.0
single MACD MACD neg-neg 121 50.0 11.4 54.5 0.5 0.9 0.2 34.8 -70.7
pair MACDhist LWTI pos-pos 104 43.0 10.3 53.8 0.5 0.8 0.2 30.4 -56.8
pair LWTI MACDhist pos-pos 104 43.0 10.3 53.8 0.5 0.8 0.2 30.4 -56.8
pair MACD MRmean pos-pos 91 37.6 10.3 52.7 0.5 1.0 0.3 29.1 -32.7
pair MRmean MACD pos-pos 91 37.6 10.3 52.7 0.5 1.0 0.3 29.1 -32.7
pair SLmean MACDhist pos-pos 91 37.6 10.2 51.6 0.5 0.9 0.2 29.1 -46.8
pair MACDhist SLmean pos-pos 91 37.6 10.2 51.6 0.5 0.9 0.2 29.1 -46.8
pair MACDhist MACD pos-pos 82 33.9 10.1 54.9 0.5 0.8 0.2 30.3 -48.4
pair MACD MACDhist pos-pos 82 33.9 10.1 54.9 0.5 0.8 0.2 30.3 -48.4
pair RSI MACDhist pos-pos 93 38.4 9.8 52.7 0.5 0.9 0.2 29.2 -47.3
pair MACDhist RSI pos-pos 93 38.4 9.8 52.7 0.5 0.9 0.2 29.2 -47.3
pair RSmean MACD neg-neg 15 6.2 8.5 46.7 0.4 1.0 0.5 26.3 -17.8
pair MACD RSmean neg-neg 15 6.2 8.5 46.7 0.4 1.0 0.5 26.3 -17.8
pair LWTI RSI pos-pos 136 56.2 8.4 52.9 0.4 0.7 0.1 30.9 -66.2
pair RSI LWTI pos-pos 136 56.2 8.4 52.9 0.4 0.7 0.1 30.9 -66.2
pair MACD LWTI neg-pos 52 21.5 8.3 50.0 0.4 0.9 0.2 30.2 -44.7
pair LWTI MACD neg-pos 52 21.5 8.3 50.0 0.4 0.9 0.2 30.2 -44.7
pair SLmean MACD pos-pos 80 33.1 7.8 50.0 0.4 0.8 0.2 26.7 -39.6
pair MACD SLmean pos-pos 80 33.1 7.8 50.0 0.4 0.8 0.2 26.7 -39.6
pair MRmean RSI pos-pos 118 48.8 7.5 50.8 0.4 0.7 0.1 29.7 -53.1
pair RSI MRmean pos-pos 118 48.8 7.5 50.8 0.4 0.7 0.1 29.7 -53.1
pair LWTI RSIhist pos-pos 98 40.5 7.3 49.0 0.4 0.8 0.2 27.9 -37.9
pair RSIhist LWTI pos-pos 98 40.5 7.3 49.0 0.4 0.8 0.2 27.9 -37.9
pair MACD RSI pos-pos 103 42.6 7.1 53.4 0.4 0.6 0.1 31.6 -47.6
pair RSI MACD pos-pos 103 42.6 7.1 53.4 0.4 0.6 0.1 31.6 -47.6
pair SLmean RSmean neg-neg 15 6.2 6.8 46.7 0.4 0.9 0.3 26.6 -19.3
pair RSmean SLmean neg-neg 15 6.2 6.8 46.7 0.4 0.9 0.3 26.6 -19.3
single RSI RSI pos-pos 137 56.6 6.8 52.6 0.4 0.6 0.1 31.2 -68.9
pair MRmean RSmean neg-neg 15 6.2 6.8 46.7 0.4 0.9 0.3 26.6 -19.3
pair MACD RSIhist pos-pos 66 27.3 6.8 48.5 0.4 0.8 0.2 26.6 -37.9
pair RSIhist MACD pos-pos 66 27.3 6.8 48.5 0.4 0.8 0.2 26.6 -37.9
pair RSmean MRmean neg-neg 15 6.2 6.8 46.7 0.4 0.9 0.3 26.6 -19.3
pair RSmean RSI pos-pos 128 52.9 6.3 52.3 0.3 0.6 0.1 31.8 -68.2
pair RSI RSmean pos-pos 128 52.9 6.3 52.3 0.3 0.6 0.1 31.8 -68.2
pair LWTI SLmean pos-pos 104 43.0 6.2 50.0 0.3 0.7 0.2 27.6 -39.6
pair SLmean LWTI pos-pos 104 43.0 6.2 50.0 0.3 0.7 0.2 27.6 -39.6
single RSmean RSmean pos-pos 225 93.0 6.2 53.8 0.3 0.6 0.1 35.2 -82.6
pair RSI RSmean pos-neg 97 40.1 6.1 55.7 0.3 0.6 0.1 39.5 -67.8
pair RSmean RSI pos-neg 97 40.1 6.1 55.7 0.3 0.6 0.1 39.5 -67.8
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 5.7 52.9 0.3 0.6 0.1 34.6 -83.7
pair benchmark___benchmark_ benchmark-benchmark 242 100.0 5.7 52.9 0.3 0.6 0.1 34.6 -83.7
pair MACD RSI neg-pos 34 14.0 5.6 50.0 0.3 0.6 0.1 30.4 -42.5
pair RSI MACD neg-pos 34 14.0 5.6 50.0 0.3 0.6 0.1 30.4 -42.5
pair MACDhist MACD neg-neg 88 36.4 5.2 54.5 0.3 0.6 0.1 35.4 -65.8
pair MACD MACDhist neg-neg 88 36.4 5.2 54.5 0.3 0.6 0.1 35.4 -65.8
single RSI RSI neg-neg 105 43.4 4.4 53.3 0.3 0.5 0.1 38.8 -69.1
pair RSI SLmean pos-pos 99 40.9 3.3 48.5 0.2 0.5 0.1 28.5 -41.6
pair SLmean RSI pos-pos 99 40.9 3.3 48.5 0.2 0.5 0.1 28.5 -41.6
pair RSmean LWTI pos-pos 152 62.8 3.2 52.0 0.3 0.4 0.0 34.2 -82.8
pair LWTI MACDhist neg-neg 64 26.4 3.2 54.7 0.3 0.5 0.1 36.8 -61.1
pair MACDhist LWTI neg-neg 64 26.4 3.2 54.7 0.3 0.5 0.1 36.8 -61.1
pair LWTI RSmean pos-pos 152 62.8 3.2 52.0 0.3 0.4 0.0 34.2 -82.8
single LWTI LWTI pos-pos 167 69.0 3.1 51.5 0.3 0.4 0.0 33.6 -83.2
pair RSmean LWTI neg-pos 15 6.2 2.5 46.7 0.2 0.6 0.1 27.3 -23.4
pair LWTI RSmean neg-pos 15 6.2 2.5 46.7 0.2 0.6 0.1 27.3 -23.4
pair RSI MRmean neg-pos 19 7.9 2.4 63.2 0.3 0.3 0.1 39.7 -39.5
pair MRmean RSI neg-pos 19 7.9 2.4 63.2 0.3 0.3 0.1 39.7 -39.5
pair MACD RSmean pos-pos 119 49.2 1.5 52.1 0.2 0.3 0.0 34.7 -71.8
pair RSmean MACD pos-pos 119 49.2 1.5 52.1 0.2 0.3 0.0 34.7 -71.8
pair RSI RSIhist pos-pos 93 38.4 1.4 46.2 0.2 0.3 0.0 27.8 -43.8
pair RSIhist RSI pos-pos 93 38.4 1.4 46.2 0.2 0.3 0.0 27.8 -43.8
pair MACD LWTI pos-pos 115 47.5 0.9 52.2 0.2 0.3 0.0 35.2 -73.4
pair LWTI MACD pos-pos 115 47.5 0.9 52.2 0.2 0.3 0.0 35.2 -73.4
pair MACDhist RSmean neg-neg 16 6.6 0.8 43.8 0.1 0.4 0.0 26.5 -25.0
pair RSmean MACDhist neg-neg 16 6.6 0.8 43.8 0.1 0.4 0.0 26.5 -25.0
pair RSI MACDhist pos-neg 44 18.2 0.7 52.3 0.2 0.3 0.0 35.2 -67.1
pair MACDhist RSI pos-neg 44 18.2 0.7 52.3 0.2 0.3 0.0 35.2 -67.1
single MACD MACD pos-pos 121 50.0 0.4 51.2 0.2 0.3 0.0 34.5 -72.9
pair RSmean RSIhist neg-neg 12 5.0 -0.7 41.7 0.1 0.2 -0.1 27.3 -14.6
pair RSIhist RSmean neg-neg 12 5.0 -0.7 41.7 0.1 0.2 -0.1 27.3 -14.6
single RSmean RSmean neg-neg 17 7.0 -0.7 41.2 0.1 0.2 -0.0 25.8 -26.5
pair RSmean RSIhist neg-pos 5 2.1 -0.8 40.0 0.1 0.2 -0.1 24.5 -13.9
pair RSIhist RSmean neg-pos 5 2.1 -0.8 40.0 0.1 0.2 -0.1 24.5 -13.9
pair SLmean LWTI neg-pos 63 26.0 -1.7 54.0 0.2 0.3 -0.0 41.9 -79.3
pair LWTI SLmean neg-pos 63 26.0 -1.7 54.0 0.2 0.3 -0.0 41.9 -79.3
pair LWTI MRmean neg-neg 53 21.9 -1.8 54.7 0.1 0.2 -0.0 37.6 -59.9
pair MRmean LWTI neg-neg 53 21.9 -1.8 54.7 0.1 0.2 -0.0 37.6 -59.9
pair SLmean MACD neg-neg 67 27.7 -1.9 53.7 0.1 0.2 -0.0 35.6 -67.1
pair MACD SLmean neg-neg 67 27.7 -1.9 53.7 0.1 0.2 -0.0 35.6 -67.1
single MACDhist MACDhist neg-neg 127 52.5 -2.3 51.2 0.1 0.2 -0.0 37.5 -83.7
pair MRmean MACD neg-neg 67 27.7 -2.3 53.7 0.1 0.2 -0.0 36.1 -66.6
pair MACD MRmean neg-neg 67 27.7 -2.3 53.7 0.1 0.2 -0.0 36.1 -66.6
pair RSIhist LWTI neg-pos 69 28.5 -2.5 55.1 0.1 0.2 -0.0 40.5 -80.3
pair LWTI RSIhist neg-pos 69 28.5 -2.5 55.1 0.1 0.2 -0.0 40.5 -80.3
pair MACDhist RSmean pos-neg 111 45.9 -2.8 52.3 0.1 0.2 -0.0 38.9 -80.9
pair RSmean MACDhist pos-neg 111 45.9 -2.8 52.3 0.1 0.2 -0.0 38.9 -80.9
pair RSIhist MACD neg-neg 61 25.2 -3.1 54.1 0.1 0.2 -0.0 36.4 -72.0
pair MACD RSIhist neg-neg 61 25.2 -3.1 54.1 0.1 0.2 -0.0 36.4 -72.0
pair RSI MACDhist neg-neg 83 34.3 -3.9 50.6 0.1 0.1 -0.1 38.9 -68.9
pair MACDhist RSI neg-neg 83 34.3 -3.9 50.6 0.1 0.1 -0.1 38.9 -68.9
single RSIhist RSIhist neg-neg 116 47.9 -4.9 54.3 0.1 0.1 -0.1 39.2 -88.9
pair RSmean RSIhist pos-neg 104 43.0 -5.3 55.8 0.1 0.1 -0.1 40.4 -87.0
pair RSIhist RSmean pos-neg 104 43.0 -5.3 55.8 0.1 0.1 -0.1 40.4 -87.0
single SLmean SLmean neg-neg 108 44.6 -6.1 53.7 0.1 0.1 -0.1 39.8 -89.8
pair MACD RSIhist pos-neg 55 22.7 -6.8 54.5 0.1 0.1 -0.1 42.4 -72.6
pair RSIhist MACD pos-neg 55 22.7 -6.8 54.5 0.1 0.1 -0.1 42.4 -72.6
pair RSIhist SLmean neg-neg 99 40.9 -7.6 54.5 0.0 0.0 -0.1 40.4 -90.0
pair SLmean RSIhist neg-neg 99 40.9 -7.6 54.5 0.0 0.0 -0.1 40.4 -90.0
pair MACDhist LWTI neg-pos 63 26.0 -7.7 47.6 -0.0 -0.0 -0.1 38.4 -82.6
pair LWTI MACDhist neg-pos 63 26.0 -7.7 47.6 -0.0 -0.0 -0.1 38.4 -82.6
pair LWTI MACD pos-neg 6 2.5 -7.9 33.3 -0.3 -2.9 -0.6 20.1 -13.3
pair MACD LWTI pos-neg 6 2.5 -7.9 33.3 -0.3 -2.9 -0.6 20.1 -13.3
pair RSmean SLmean neg-pos 93 38.4 -8.0 54.8 0.0 0.0 -0.1 41.7 -88.1
pair SLmean RSmean neg-pos 93 38.4 -8.0 54.8 0.0 0.0 -0.1 41.7 -88.1
pair RSIhist LWTI neg-neg 47 19.4 -8.2 53.2 -0.0 -0.1 -0.1 37.5 -66.0
pair LWTI RSIhist neg-neg 47 19.4 -8.2 53.2 -0.0 -0.1 -0.1 37.5 -66.0
pair MACDhist MRmean neg-neg 90 37.2 -9.7 51.1 -0.1 -0.1 -0.1 39.9 -82.0
pair MRmean MACDhist neg-neg 90 37.2 -9.7 51.1 -0.1 -0.1 -0.1 39.9 -82.0
single MRmean MRmean neg-neg 97 40.1 -9.8 51.5 -0.1 -0.1 -0.1 39.8 -84.8
pair MRmean MACDhist neg-pos 7 2.9 -11.0 57.1 -0.1 -0.1 -0.5 41.3 -23.7
pair MACDhist MRmean neg-pos 7 2.9 -11.0 57.1 -0.1 -0.1 -0.5 41.3 -23.7
pair RSIhist MACDhist neg-neg 91 37.6 -11.7 50.5 -0.1 -0.2 -0.1 39.7 -87.1
pair MACDhist RSIhist neg-neg 91 37.6 -11.7 50.5 -0.1 -0.2 -0.1 39.7 -87.1
pair SLmean LWTI neg-neg 45 18.6 -11.9 53.3 -0.1 -0.2 -0.2 37.1 -64.8
pair LWTI SLmean neg-neg 45 18.6 -11.9 53.3 -0.1 -0.2 -0.2 37.1 -64.8
pair MRmean RSmean neg-pos 82 33.9 -12.5 52.4 -0.1 -0.1 -0.2 41.8 -72.2
pair RSmean MRmean neg-pos 82 33.9 -12.5 52.4 -0.1 -0.1 -0.2 41.8 -72.2
pair RSI MRmean neg-neg 78 32.2 -12.5 48.7 -0.1 -0.2 -0.2 40.0 -75.8
pair MRmean RSI neg-neg 78 32.2 -12.5 48.7 -0.1 -0.2 -0.2 40.0 -75.8
pair SLmean MACD neg-pos 41 16.9 -12.6 53.7 -0.0 -0.1 -0.2 46.4 -75.2
pair MACD SLmean neg-pos 41 16.9 -12.6 53.7 -0.0 -0.1 -0.2 46.4 -75.2
pair RSmean RSI neg-neg 8 3.3 -14.5 25.0 -0.4 -0.9 -1.0 30.6 -14.6
pair RSI RSmean neg-neg 8 3.3 -14.5 25.0 -0.4 -0.9 -1.0 30.6 -14.6
pair MACDhist SLmean neg-neg 84 34.7 -15.8 50.0 -0.2 -0.3 -0.2 40.0 -89.1
pair SLmean MACDhist neg-neg 84 34.7 -15.8 50.0 -0.2 -0.3 -0.2 40.0 -89.1
pair MRmean RSIhist neg-neg 87 36.0 -16.3 49.4 -0.2 -0.3 -0.2 40.2 -86.5
pair RSIhist MRmean neg-neg 87 36.0 -16.3 49.4 -0.2 -0.3 -0.2 40.2 -86.5
pair SLmean RSI neg-neg 70 28.9 -16.5 48.6 -0.2 -0.4 -0.2 40.9 -78.2
pair RSI SLmean neg-neg 70 28.9 -16.5 48.6 -0.2 -0.4 -0.2 40.9 -78.2
pair RSI RSIhist neg-neg 72 29.8 -17.0 47.2 -0.3 -0.4 -0.2 40.0 -79.7
pair RSIhist RSI neg-neg 72 29.8 -17.0 47.2 -0.3 -0.4 -0.2 40.0 -79.7
pair LWTI RSI neg-pos 31 12.8 -17.0 45.2 -0.2 -0.3 -0.3 43.8 -53.6
pair RSI LWTI neg-pos 31 12.8 -17.0 45.2 -0.2 -0.3 -0.3 43.8 -53.6
pair MRmean SLmean neg-neg 85 35.1 -17.3 50.6 -0.3 -0.4 -0.2 40.3 -89.2
pair SLmean MRmean neg-neg 85 35.1 -17.3 50.6 -0.3 -0.4 -0.2 40.3 -89.2
pair MACDhist MACD pos-neg 39 16.1 -17.3 43.6 -0.2 -0.3 -0.2 42.1 -69.5
pair MACD MACDhist pos-neg 39 16.1 -17.3 43.6 -0.2 -0.3 -0.2 42.1 -69.5
pair LWTI MRmean neg-pos 44 18.2 -18.5 47.7 -0.2 -0.3 -0.2 42.5 -77.5
pair MRmean LWTI neg-pos 44 18.2 -18.5 47.7 -0.2 -0.3 -0.2 42.5 -77.5
pair RSmean MACDhist neg-pos 1 0.4 -21.6 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.4 -21.6 0.0 0.0 0.0 0.0 - 0.0
pair RSmean LWTI neg-neg 2 0.8 -21.7 0.0 -2.7 -2.7 -128.2 9.0 -0.2
pair LWTI RSmean neg-neg 2 0.8 -21.7 0.0 -2.7 -2.7 -128.2 9.0 -0.2
pair MACD MRmean neg-pos 30 12.4 -24.5 46.7 -0.3 -0.4 -0.5 47.5 -54.5
pair MRmean MACD neg-pos 30 12.4 -24.5 46.7 -0.3 -0.4 -0.5 47.5 -54.5
pair MACD RSI pos-neg 18 7.4 -30.8 38.9 -0.5 -0.7 -1.0 48.4 -32.1
pair RSI MACD pos-neg 18 7.4 -30.8 38.9 -0.5 -0.7 -1.0 48.4 -32.1
pair MRmean RSmean pos-neg 2 0.8 -42.7 0.0 -4.4 -4.4 -6.1 12.2 -7.0
pair RSmean MRmean pos-neg 2 0.8 -42.7 0.0 -4.4 -4.4 -6.1 12.2 -7.0
pair SLmean RSmean pos-neg 2 0.8 -42.7 0.0 -4.4 -4.4 -6.1 12.2 -7.0
pair RSmean SLmean pos-neg 2 0.8 -42.7 0.0 -4.4 -4.4 -6.1 12.2 -7.0
pair RSmean MACD neg-pos 2 0.8 -48.8 0.0 -8.4 -8.4 -7.0 7.7 -7.0
pair MACD RSmean neg-pos 2 0.8 -48.8 0.0 -8.4 -8.4 -7.0 7.7 -7.0
pair LWTI RSI pos-neg 1 0.4 -85.8 0.0 0.0 0.0 0.0 - 0.0
pair RSI LWTI pos-neg 1 0.4 -85.8 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for XME

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 52%
Sharpe 0.54 | Sortino 1.04 | Calmar 0.3
Vol 29% | MDD -38.4%
Months 122M (50%)
CAGR 50.1% | Win 65%
Sharpe 1.31 | Sortino 3.41 | Calmar 2.0
Vol 36% | MDD -24.9%
Months 23M (10%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR 67.3% | Win 58%
Sharpe 1.75 | Sortino 11.02 | Calmar 8.4
Vol 33% | MDD -8.0%
Months 12M (5%)
CAGR -17.3% | Win 51%
Sharpe -0.26 | Sortino -0.38 | Calmar -0.2
Vol 40% | MDD -89.2%
Months 85M (35%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
SLmean
only
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 18.8% | Win 55%
Sharpe 0.71 | Sortino 1.44 | Calmar 0.6
Vol 31% | MDD -32.5%
Months 143M (59%)
CAGR -42.7% | Win 0%
Sharpe -4.43 | Sortino -4.43 | Calmar -6.1
Vol 12% | MDD -7.0%
Months 2M (1%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR -12.5% | Win 52%
Sharpe -0.10 | Sortino -0.15 | Calmar -0.2
Vol 42% | MDD -72.2%
Months 82M (34%)
CAGR 6.8% | Win 47%
Sharpe 0.37 | Sortino 0.90 | Calmar 0.4
Vol 27% | MDD -19.3%
Months 15M (6%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
RSmean
only
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 53%
Sharpe 0.48 | Sortino 0.96 | Calmar 0.3
Vol 29% | MDD -32.7%
Months 91M (38%)
CAGR 31.0% | Win 56%
Sharpe 0.99 | Sortino 1.99 | Calmar 1.7
Vol 33% | MDD -18.3%
Months 54M (22%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR -24.5% | Win 47%
Sharpe -0.33 | Sortino -0.42 | Calmar -0.4
Vol 48% | MDD -54.5%
Months 30M (12%)
CAGR -2.3% | Win 54%
Sharpe 0.11 | Sortino 0.21 | Calmar -0.0
Vol 36% | MDD -66.6%
Months 67M (28%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
MACD
only
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 51%
Sharpe 0.39 | Sortino 0.74 | Calmar 0.1
Vol 30% | MDD -53.1%
Months 118M (49%)
CAGR 74.0% | Win 67%
Sharpe 1.93 | Sortino 5.53 | Calmar 7.0
Vol 32% | MDD -10.5%
Months 27M (11%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR 2.4% | Win 63%
Sharpe 0.28 | Sortino 0.28 | Calmar 0.1
Vol 40% | MDD -39.5%
Months 19M (8%)
CAGR -12.5% | Win 49%
Sharpe -0.13 | Sortino -0.21 | Calmar -0.2
Vol 40% | MDD -75.8%
Months 78M (32%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
RSI
only
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 17.4% | Win 55%
Sharpe 0.68 | Sortino 1.36 | Calmar 0.4
Vol 30% | MDD -39.1%
Months 108M (45%)
CAGR 18.2% | Win 51%
Sharpe 0.69 | Sortino 1.42 | Calmar 0.7
Vol 31% | MDD -25.8%
Months 37M (15%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR -11.0% | Win 57%
Sharpe -0.09 | Sortino -0.09 | Calmar -0.5
Vol 41% | MDD -23.7%
Months 7M (3%)
CAGR -9.7% | Win 51%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 40% | MDD -82.0%
Months 90M (37%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
MACDhist
only
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 50%
Sharpe 0.55 | Sortino 1.12 | Calmar 0.3
Vol 29% | MDD -37.9%
Months 116M (48%)
CAGR 39.5% | Win 69%
Sharpe 1.14 | Sortino 2.49 | Calmar 2.1
Vol 35% | MDD -18.7%
Months 29M (12%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR 72.7% | Win 70%
Sharpe 1.87 | Sortino 11.76 | Calmar 4.9
Vol 32% | MDD -14.8%
Months 10M (4%)
CAGR -16.3% | Win 49%
Sharpe -0.23 | Sortino -0.34 | Calmar -0.2
Vol 40% | MDD -86.5%
Months 87M (36%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 53%
Sharpe 0.53 | Sortino 1.06 | Calmar 0.3
Vol 30% | MDD -43.4%
Months 123M (51%)
CAGR 52.8% | Win 59%
Sharpe 1.42 | Sortino 2.97 | Calmar 3.5
Vol 34% | MDD -15.0%
Months 22M (9%)
CAGR 17.6% | Win 54%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -33.8%
Months 145M (60%)
MRmean
neg
CAGR -18.5% | Win 48%
Sharpe -0.25 | Sortino -0.34 | Calmar -0.2
Vol 42% | MDD -77.5%
Months 44M (18%)
CAGR -1.8% | Win 55%
Sharpe 0.14 | Sortino 0.23 | Calmar -0.0
Vol 38% | MDD -59.9%
Months 53M (22%)
CAGR -9.8% | Win 52%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 40% | MDD -84.8%
Months 97M (40%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 17.6% | Win 53%
Sharpe 0.69 | Sortino 1.38 | Calmar 0.5
Vol 30% | MDD -35.1%
Months 132M (54%)
CAGR -42.7% | Win 0%
Sharpe -4.43 | Sortino -4.43 | Calmar -6.1
Vol 12% | MDD -7.0%
Months 2M (1%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR -8.0% | Win 55%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 42% | MDD -88.1%
Months 93M (38%)
CAGR 6.8% | Win 47%
Sharpe 0.37 | Sortino 0.90 | Calmar 0.4
Vol 27% | MDD -19.3%
Months 15M (6%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
RSmean
only
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 50%
Sharpe 0.41 | Sortino 0.78 | Calmar 0.2
Vol 27% | MDD -39.6%
Months 80M (33%)
CAGR 30.3% | Win 56%
Sharpe 0.96 | Sortino 1.99 | Calmar 1.4
Vol 34% | MDD -21.5%
Months 54M (22%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR -12.6% | Win 54%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.2
Vol 46% | MDD -75.2%
Months 41M (17%)
CAGR -1.9% | Win 54%
Sharpe 0.12 | Sortino 0.22 | Calmar -0.0
Vol 36% | MDD -67.1%
Months 67M (28%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
MACD
only
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 3.3% | Win 48%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -41.6%
Months 99M (41%)
CAGR 63.2% | Win 63%
Sharpe 1.75 | Sortino 5.64 | Calmar 6.0
Vol 31% | MDD -10.6%
Months 35M (14%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR 16.5% | Win 63%
Sharpe 0.60 | Sortino 0.81 | Calmar 0.3
Vol 38% | MDD -53.3%
Months 38M (16%)
CAGR -16.5% | Win 49%
Sharpe -0.23 | Sortino -0.37 | Calmar -0.2
Vol 41% | MDD -78.2%
Months 70M (29%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
RSI
only
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.2% | Win 52%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 29% | MDD -46.8%
Months 91M (38%)
CAGR 30.5% | Win 54%
Sharpe 1.01 | Sortino 2.26 | Calmar 1.9
Vol 31% | MDD -16.0%
Months 43M (18%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR 37.3% | Win 67%
Sharpe 1.03 | Sortino 1.62 | Calmar 1.1
Vol 38% | MDD -35.3%
Months 24M (10%)
CAGR -15.8% | Win 50%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.2
Vol 40% | MDD -89.1%
Months 84M (35%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
MACDhist
only
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 16.9% | Win 52%
Sharpe 0.68 | Sortino 1.38 | Calmar 0.4
Vol 29% | MDD -37.9%
Months 117M (48%)
CAGR 12.7% | Win 53%
Sharpe 0.53 | Sortino 0.89 | Calmar 0.5
Vol 32% | MDD -25.4%
Months 17M (7%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR 11.8% | Win 44%
Sharpe 0.47 | Sortino 1.32 | Calmar 0.5
Vol 35% | MDD -23.8%
Months 9M (4%)
CAGR -7.6% | Win 55%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.1
Vol 40% | MDD -90.0%
Months 99M (41%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 6.2% | Win 50%
Sharpe 0.35 | Sortino 0.65 | Calmar 0.2
Vol 28% | MDD -39.6%
Months 104M (43%)
CAGR 59.8% | Win 60%
Sharpe 1.54 | Sortino 3.78 | Calmar 4.0
Vol 35% | MDD -15.0%
Months 30M (12%)
CAGR 16.4% | Win 52%
Sharpe 0.66 | Sortino 1.31 | Calmar 0.4
Vol 30% | MDD -39.6%
Months 134M (55%)
SLmean
neg
CAGR -1.7% | Win 54%
Sharpe 0.18 | Sortino 0.27 | Calmar -0.0
Vol 42% | MDD -79.3%
Months 63M (26%)
CAGR -11.9% | Win 53%
Sharpe -0.15 | Sortino -0.25 | Calmar -0.2
Vol 37% | MDD -64.8%
Months 45M (19%)
CAGR -6.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 40% | MDD -89.8%
Months 108M (45%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 1.5% | Win 52%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.0
Vol 35% | MDD -71.8%
Months 119M (49%)
CAGR 11.8% | Win 56%
Sharpe 0.49 | Sortino 0.91 | Calmar 0.2
Vol 36% | MDD -70.0%
Months 106M (44%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
RSmean
neg
CAGR -48.8% | Win 0%
Sharpe -8.42 | Sortino -8.42 | Calmar -7.0
Vol 8% | MDD -7.0%
Months 2M (1%)
CAGR 8.5% | Win 47%
Sharpe 0.43 | Sortino 0.98 | Calmar 0.5
Vol 26% | MDD -17.8%
Months 15M (6%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
MACD
only
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 52%
Sharpe 0.35 | Sortino 0.57 | Calmar 0.1
Vol 32% | MDD -68.2%
Months 128M (53%)
CAGR 6.1% | Win 56%
Sharpe 0.35 | Sortino 0.57 | Calmar 0.1
Vol 40% | MDD -67.8%
Months 97M (40%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
RSmean
neg
CAGR 13.4% | Win 56%
Sharpe 0.68 | Sortino 2.02 | Calmar 1.0
Vol 22% | MDD -13.9%
Months 9M (4%)
CAGR -14.5% | Win 25%
Sharpe -0.38 | Sortino -0.89 | Calmar -1.0
Vol 31% | MDD -14.6%
Months 8M (3%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
RSI
only
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.8% | Win 55%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.3
Vol 31% | MDD -52.5%
Months 114M (47%)
CAGR -2.8% | Win 52%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 39% | MDD -80.9%
Months 111M (46%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
RSmean
neg
CAGR -21.6% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 0.8% | Win 44%
Sharpe 0.15 | Sortino 0.39 | Calmar 0.0
Vol 26% | MDD -25.0%
Months 16M (7%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
MACDhist
only
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 17.3% | Win 52%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 30% | MDD -33.2%
Months 121M (50%)
CAGR -5.3% | Win 56%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 40% | MDD -87.0%
Months 104M (43%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
RSmean
neg
CAGR -0.8% | Win 40%
Sharpe 0.07 | Sortino 0.18 | Calmar -0.1
Vol 24% | MDD -13.9%
Months 5M (2%)
CAGR -0.7% | Win 42%
Sharpe 0.10 | Sortino 0.23 | Calmar -0.0
Vol 27% | MDD -14.6%
Months 12M (5%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.2% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -82.8%
Months 152M (63%)
CAGR 12.9% | Win 57%
Sharpe 0.51 | Sortino 0.91 | Calmar 0.2
Vol 37% | MDD -57.0%
Months 73M (30%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -82.6%
Months 225M (93%)
RSmean
neg
CAGR 2.5% | Win 47%
Sharpe 0.22 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -23.4%
Months 15M (6%)
CAGR -21.7% | Win 0%
Sharpe -2.68 | Sortino -2.68 | Calmar -128.3
Vol 9% | MDD -0.2%
Months 2M (1%)
CAGR -0.7% | Win 41%
Sharpe 0.09 | Sortino 0.22 | Calmar -0.0
Vol 26% | MDD -26.5%
Months 17M (7%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.1% | Win 53%
Sharpe 0.38 | Sortino 0.59 | Calmar 0.1
Vol 32% | MDD -47.6%
Months 103M (43%)
CAGR -30.8% | Win 39%
Sharpe -0.50 | Sortino -0.69 | Calmar -1.0
Vol 48% | MDD -32.1%
Months 18M (7%)
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
MACD
neg
CAGR 5.6% | Win 50%
Sharpe 0.33 | Sortino 0.57 | Calmar 0.1
Vol 30% | MDD -42.5%
Months 34M (14%)
CAGR 13.7% | Win 56%
Sharpe 0.53 | Sortino 1.01 | Calmar 0.2
Vol 36% | MDD -63.9%
Months 87M (36%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
RSI
only
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.1% | Win 55%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 30% | MDD -48.4%
Months 82M (34%)
CAGR -17.3% | Win 44%
Sharpe -0.22 | Sortino -0.30 | Calmar -0.2
Vol 42% | MDD -69.5%
Months 39M (16%)
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
MACD
neg
CAGR 29.7% | Win 55%
Sharpe 0.95 | Sortino 2.10 | Calmar 1.0
Vol 33% | MDD -30.4%
Months 33M (14%)
CAGR 5.2% | Win 55%
Sharpe 0.32 | Sortino 0.57 | Calmar 0.1
Vol 35% | MDD -65.8%
Months 88M (36%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
MACDhist
only
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 48%
Sharpe 0.38 | Sortino 0.76 | Calmar 0.2
Vol 27% | MDD -37.9%
Months 66M (27%)
CAGR -6.8% | Win 55%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.1
Vol 42% | MDD -72.6%
Months 55M (23%)
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
MACD
neg
CAGR 28.2% | Win 55%
Sharpe 0.92 | Sortino 1.96 | Calmar 1.5
Vol 33% | MDD -19.3%
Months 60M (25%)
CAGR -3.1% | Win 54%
Sharpe 0.10 | Sortino 0.17 | Calmar -0.0
Vol 36% | MDD -72.0%
Months 61M (25%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 0.9% | Win 52%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.0
Vol 35% | MDD -73.4%
Months 115M (48%)
CAGR -7.9% | Win 33%
Sharpe -0.33 | Sortino -2.93 | Calmar -0.6
Vol 20% | MDD -13.3%
Months 6M (2%)
CAGR 0.4% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -72.9%
Months 121M (50%)
MACD
neg
CAGR 8.3% | Win 50%
Sharpe 0.41 | Sortino 0.88 | Calmar 0.2
Vol 30% | MDD -44.7%
Months 52M (22%)
CAGR 13.7% | Win 58%
Sharpe 0.53 | Sortino 0.93 | Calmar 0.2
Vol 38% | MDD -55.1%
Months 69M (28%)
CAGR 11.4% | Win 55%
Sharpe 0.48 | Sortino 0.90 | Calmar 0.2
Vol 35% | MDD -70.7%
Months 121M (50%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.8% | Win 53%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.2
Vol 29% | MDD -47.3%
Months 93M (38%)
CAGR 0.7% | Win 52%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 35% | MDD -67.1%
Months 44M (18%)
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
RSI
neg
CAGR 42.6% | Win 64%
Sharpe 1.13 | Sortino 1.79 | Calmar 1.5
Vol 38% | MDD -27.6%
Months 22M (9%)
CAGR -3.9% | Win 51%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.1
Vol 39% | MDD -68.9%
Months 83M (34%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
MACDhist
only
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.4% | Win 46%
Sharpe 0.19 | Sortino 0.35 | Calmar 0.0
Vol 28% | MDD -43.8%
Months 93M (38%)
CAGR 19.1% | Win 66%
Sharpe 0.66 | Sortino 0.89 | Calmar 0.4
Vol 37% | MDD -45.2%
Months 44M (18%)
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
RSI
neg
CAGR 72.4% | Win 67%
Sharpe 1.87 | Sortino 5.84 | Calmar 5.1
Vol 32% | MDD -14.3%
Months 33M (14%)
CAGR -17.0% | Win 47%
Sharpe -0.26 | Sortino -0.41 | Calmar -0.2
Vol 40% | MDD -79.7%
Months 72M (30%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 53%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.1
Vol 31% | MDD -66.2%
Months 136M (56%)
CAGR -85.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 6.8% | Win 53%
Sharpe 0.37 | Sortino 0.59 | Calmar 0.1
Vol 31% | MDD -68.9%
Months 137M (57%)
RSI
neg
CAGR -17.0% | Win 45%
Sharpe -0.20 | Sortino -0.31 | Calmar -0.3
Vol 44% | MDD -53.6%
Months 31M (13%)
CAGR 14.9% | Win 57%
Sharpe 0.56 | Sortino 0.99 | Calmar 0.3
Vol 36% | MDD -58.7%
Months 74M (31%)
CAGR 4.4% | Win 53%
Sharpe 0.31 | Sortino 0.51 | Calmar 0.1
Vol 39% | MDD -69.1%
Months 105M (43%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.0% | Win 51%
Sharpe 0.56 | Sortino 1.16 | Calmar 0.4
Vol 29% | MDD -35.8%
Months 90M (37%)
CAGR 24.7% | Win 68%
Sharpe 0.78 | Sortino 1.11 | Calmar 0.7
Vol 37% | MDD -35.5%
Months 25M (10%)
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
MACDhist
neg
CAGR 26.0% | Win 53%
Sharpe 0.90 | Sortino 1.90 | Calmar 1.5
Vol 31% | MDD -17.7%
Months 36M (15%)
CAGR -11.7% | Win 50%
Sharpe -0.11 | Sortino -0.16 | Calmar -0.1
Vol 40% | MDD -87.1%
Months 91M (38%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
RSIhist
only
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.3% | Win 54%
Sharpe 0.47 | Sortino 0.83 | Calmar 0.2
Vol 30% | MDD -56.8%
Months 104M (43%)
CAGR 77.7% | Win 64%
Sharpe 1.79 | Sortino 4.55 | Calmar 6.6
Vol 36% | MDD -11.7%
Months 11M (4%)
CAGR 15.4% | Win 55%
Sharpe 0.62 | Sortino 1.12 | Calmar 0.3
Vol 31% | MDD -53.5%
Months 115M (48%)
MACDhist
neg
CAGR -7.7% | Win 48%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.1
Vol 38% | MDD -82.6%
Months 63M (26%)
CAGR 3.2% | Win 55%
Sharpe 0.27 | Sortino 0.45 | Calmar 0.1
Vol 37% | MDD -61.1%
Months 64M (26%)
CAGR -2.3% | Win 51%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 38% | MDD -83.7%
Months 127M (52%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.3% | Win 49%
Sharpe 0.39 | Sortino 0.77 | Calmar 0.2
Vol 28% | MDD -37.9%
Months 98M (40%)
CAGR 55.4% | Win 61%
Sharpe 1.47 | Sortino 3.41 | Calmar 3.7
Vol 34% | MDD -15.0%
Months 28M (12%)
CAGR 16.5% | Win 52%
Sharpe 0.66 | Sortino 1.39 | Calmar 0.4
Vol 30% | MDD -37.9%
Months 126M (52%)
RSIhist
neg
CAGR -2.5% | Win 55%
Sharpe 0.15 | Sortino 0.22 | Calmar -0.0
Vol 40% | MDD -80.3%
Months 69M (28%)
CAGR -8.2% | Win 53%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 38% | MDD -66.0%
Months 47M (19%)
CAGR -4.9% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.1
Vol 39% | MDD -88.9%
Months 116M (48%)
LWTI
only
CAGR 3.1% | Win 52%
Sharpe 0.27 | Sortino 0.41 | Calmar 0.0
Vol 34% | MDD -83.2%
Months 167M (69%)
CAGR 11.8% | Win 56%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 37% | MDD -58.7%
Months 75M (31%)