XRT - State Street PDR S&P Retail ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

90.0%

Best CAGR

68

Total Months

9.7%

Avg CAGR

XRT 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 XRT

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 2 0.8 90.0 100.0 3.1 0.0 0.0 21.9 0.0
pair RSI MACDhist neg-pos 2 0.8 90.0 100.0 3.1 0.0 0.0 21.9 0.0
pair MACD MACDhist neg-pos 11 4.6 65.6 81.8 3.0 5.3 12.8 17.3 -5.1
pair MACDhist MACD neg-pos 11 4.6 65.6 81.8 3.0 5.3 12.8 17.3 -5.1
pair RSIhist RSmean neg-pos 5 2.1 55.9 80.0 2.2 0.0 17.2 20.9 -3.2
pair RSmean RSIhist neg-pos 5 2.1 55.9 80.0 2.2 0.0 17.2 20.9 -3.2
pair MRmean SLmean neg-pos 11 4.6 49.7 72.7 1.6 3.3 5.3 28.0 -9.4
pair SLmean MRmean neg-pos 11 4.6 49.7 72.7 1.6 3.3 5.3 28.0 -9.4
pair MACD SLmean pos-neg 29 12.2 43.7 69.0 1.6 4.0 3.1 24.5 -14.2
pair SLmean MACD pos-neg 29 12.2 43.7 69.0 1.6 4.0 3.1 24.5 -14.2
pair SLmean RSI pos-neg 17 7.1 41.4 70.6 1.5 3.6 4.0 25.4 -10.2
pair RSI SLmean pos-neg 17 7.1 41.4 70.6 1.5 3.6 4.0 25.4 -10.2
pair RSmean SLmean pos-neg 4 1.7 39.4 50.0 1.3 4.3 24.7 27.3 -1.6
pair SLmean RSmean pos-neg 4 1.7 39.4 50.0 1.3 4.3 24.7 27.3 -1.6
pair MACDhist LWTI pos-neg 4 1.7 31.1 75.0 1.2 0.0 4.8 24.1 -6.4
pair LWTI MACDhist pos-neg 4 1.7 31.1 75.0 1.2 0.0 4.8 24.1 -6.4
pair RSI MACD neg-pos 25 10.5 29.8 68.0 1.5 2.9 2.6 18.9 -11.6
pair MACD RSI neg-pos 25 10.5 29.8 68.0 1.5 2.9 2.6 18.9 -11.6
pair MRmean MACD pos-neg 24 10.1 29.5 62.5 1.3 3.4 2.4 21.5 -12.2
pair MACD MRmean pos-neg 24 10.1 29.5 62.5 1.3 3.4 2.4 21.5 -12.2
pair SLmean MACDhist neg-pos 18 7.6 24.9 66.7 1.0 1.8 1.4 25.0 -17.5
pair MACDhist SLmean neg-pos 18 7.6 24.9 66.7 1.0 1.8 1.4 25.0 -17.5
pair MRmean RSmean pos-neg 5 2.1 23.7 40.0 0.9 3.1 3.0 25.2 -8.0
pair RSmean MRmean pos-neg 5 2.1 23.7 40.0 0.9 3.1 3.0 25.2 -8.0
pair MACD RSmean neg-neg 16 6.7 21.0 62.5 1.2 3.4 3.4 16.6 -6.3
pair RSmean MACD neg-neg 16 6.7 21.0 62.5 1.2 3.4 3.4 16.6 -6.3
pair MRmean SLmean pos-neg 22 9.2 20.1 63.6 1.1 1.8 1.2 17.3 -16.7
pair SLmean MRmean pos-neg 22 9.2 20.1 63.6 1.1 1.8 1.2 17.3 -16.7
pair RSI RSmean neg-pos 12 5.0 18.6 58.3 1.2 4.3 2.4 15.3 -7.7
pair RSmean RSI neg-pos 12 5.0 18.6 58.3 1.2 4.3 2.4 15.3 -7.7
pair LWTI MACD neg-pos 41 17.2 17.7 58.5 0.7 1.0 0.5 27.9 -33.4
pair MACD LWTI neg-pos 41 17.2 17.7 58.5 0.7 1.0 0.5 27.9 -33.4
pair RSIhist LWTI pos-pos 101 42.4 17.0 61.4 0.8 1.8 1.0 23.0 -16.5
pair LWTI RSIhist pos-pos 101 42.4 17.0 61.4 0.8 1.8 1.0 23.0 -16.5
pair SLmean MACDhist pos-neg 43 18.1 16.2 58.1 0.8 1.7 0.7 22.5 -25.1
pair MACDhist SLmean pos-neg 43 18.1 16.2 58.1 0.8 1.7 0.7 22.5 -25.1
pair MACDhist RSIhist pos-pos 88 37.0 15.2 60.2 0.7 1.6 0.7 23.5 -20.5
pair RSIhist MACDhist pos-pos 88 37.0 15.2 60.2 0.7 1.6 0.7 23.5 -20.5
pair MRmean RSIhist pos-pos 110 46.2 15.0 59.1 0.7 1.7 0.6 22.7 -25.6
pair RSIhist MRmean pos-pos 110 46.2 15.0 59.1 0.7 1.7 0.6 22.7 -25.6
pair SLmean RSIhist pos-pos 110 46.2 14.8 58.2 0.7 1.6 0.6 23.8 -26.0
pair RSIhist SLmean pos-pos 110 46.2 14.8 58.2 0.7 1.6 0.6 23.8 -26.0
pair RSIhist LWTI neg-neg 34 14.3 14.7 58.8 0.6 0.9 0.6 28.7 -23.9
pair LWTI RSIhist neg-neg 34 14.3 14.7 58.8 0.6 0.9 0.6 28.7 -23.9
pair RSIhist RSI pos-pos 106 44.5 14.3 59.4 0.7 1.6 0.7 22.7 -21.3
pair RSI RSIhist pos-pos 106 44.5 14.3 59.4 0.7 1.6 0.7 22.7 -21.3
pair MACDhist MRmean pos-pos 109 45.8 14.2 59.6 0.7 1.5 0.7 22.3 -19.2
pair MRmean MACDhist pos-pos 109 45.8 14.2 59.6 0.7 1.5 0.7 22.3 -19.2
pair RSIhist MACD neg-neg 45 18.9 14.2 57.8 0.6 0.8 0.4 31.2 -34.4
pair MACD RSIhist neg-neg 45 18.9 14.2 57.8 0.6 0.8 0.4 31.2 -34.4
single MACDhist MACDhist pos-pos 113 47.5 14.0 59.3 0.7 1.4 0.5 23.0 -25.8
pair RSmean MACDhist pos-pos 113 47.5 14.0 59.3 0.7 1.4 0.5 23.0 -25.8
pair MACDhist RSmean pos-pos 113 47.5 14.0 59.3 0.7 1.4 0.5 23.0 -25.8
pair MRmean LWTI pos-pos 136 57.1 13.9 59.6 0.7 1.4 0.6 21.7 -23.5
pair LWTI MRmean pos-pos 136 57.1 13.9 59.6 0.7 1.4 0.6 21.7 -23.5
single MACD MACD neg-neg 78 32.8 13.5 59.0 0.6 0.8 0.2 29.9 -58.3
pair MACDhist LWTI pos-pos 109 45.8 13.5 58.7 0.7 1.4 0.7 23.1 -20.7
pair LWTI MACDhist pos-pos 109 45.8 13.5 58.7 0.7 1.4 0.7 23.1 -20.7
pair SLmean LWTI pos-pos 118 49.6 13.4 58.5 0.7 1.4 0.5 22.4 -25.3
pair LWTI SLmean pos-pos 118 49.6 13.4 58.5 0.7 1.4 0.5 22.4 -25.3
single SLmean SLmean pos-pos 138 58.0 13.4 58.0 0.7 1.4 0.5 22.6 -26.5
pair SLmean LWTI pos-neg 20 8.4 13.3 55.0 0.6 1.6 0.9 23.9 -14.2
pair LWTI SLmean pos-neg 20 8.4 13.3 55.0 0.6 1.6 0.9 23.9 -14.2
pair RSI MACDhist pos-pos 111 46.6 13.0 58.6 0.6 1.3 0.5 23.0 -25.8
pair MACDhist RSI pos-pos 111 46.6 13.0 58.6 0.6 1.3 0.5 23.0 -25.8
pair RSI MRmean pos-pos 139 58.4 12.8 59.0 0.7 1.4 0.5 21.6 -24.4
pair MRmean RSI pos-pos 139 58.4 12.8 59.0 0.7 1.4 0.5 21.6 -24.4
pair RSmean SLmean pos-pos 134 56.3 12.7 58.2 0.6 1.4 0.3 22.5 -35.8
pair SLmean RSmean pos-pos 134 56.3 12.7 58.2 0.6 1.4 0.3 22.5 -35.8
pair MACD RSIhist neg-pos 33 13.9 12.6 60.6 0.6 0.8 0.3 28.5 -36.5
pair RSIhist MACD neg-pos 33 13.9 12.6 60.6 0.6 0.8 0.3 28.5 -36.5
pair SLmean MACDhist pos-pos 95 39.9 12.1 57.9 0.6 1.3 0.4 22.7 -32.0
pair LWTI RSI pos-pos 154 64.7 12.1 57.8 0.6 1.3 0.3 21.9 -36.1
pair RSI LWTI pos-pos 154 64.7 12.1 57.8 0.6 1.3 0.3 21.9 -36.1
pair MACDhist SLmean pos-pos 95 39.9 12.1 57.9 0.6 1.3 0.4 22.7 -32.0
single MRmean MRmean pos-pos 149 62.6 12.0 57.7 0.6 1.3 0.4 21.3 -32.6
pair LWTI RSmean pos-pos 165 69.3 11.8 57.0 0.6 1.0 0.3 24.0 -41.7
pair RSmean LWTI pos-pos 165 69.3 11.8 57.0 0.6 1.0 0.3 24.0 -41.7
pair RSIhist RSI neg-neg 61 25.6 11.7 54.1 0.5 0.8 0.3 29.7 -34.4
pair RSI RSIhist neg-neg 61 25.6 11.7 54.1 0.5 0.8 0.3 29.7 -34.4
pair SLmean RSI neg-pos 42 17.6 11.7 57.1 0.7 1.3 0.3 20.3 -37.8
pair RSI SLmean neg-pos 42 17.6 11.7 57.1 0.7 1.3 0.3 20.3 -37.8
pair MACD RSmean pos-neg 62 26.1 11.6 58.1 0.5 0.7 0.2 32.6 -52.9
pair RSmean MACD pos-neg 62 26.1 11.6 58.1 0.5 0.7 0.2 32.6 -52.9
pair MRmean RSmean pos-pos 144 60.5 11.6 58.3 0.6 1.3 0.4 21.3 -31.2
pair RSmean MRmean pos-pos 144 60.5 11.6 58.3 0.6 1.3 0.4 21.3 -31.2
single LWTI LWTI pos-pos 185 77.7 11.3 56.2 0.6 1.0 0.2 23.3 -50.9
single RSIhist RSIhist pos-pos 120 50.4 11.1 58.3 0.6 1.0 0.3 24.5 -36.5
pair MRmean SLmean pos-pos 127 53.4 10.7 56.7 0.6 1.2 0.3 22.0 -34.9
pair SLmean MRmean pos-pos 127 53.4 10.7 56.7 0.6 1.2 0.3 22.0 -34.9
pair MACD RSIhist pos-pos 87 36.6 10.6 57.5 0.6 1.2 0.4 23.0 -28.6
pair RSIhist MACD pos-pos 87 36.6 10.6 57.5 0.6 1.2 0.4 23.0 -28.6
single RSI RSI pos-pos 163 68.5 10.4 56.4 0.6 1.2 0.2 21.6 -43.0
pair RSmean RSIhist pos-neg 102 42.9 10.2 54.9 0.5 0.7 0.3 26.5 -39.4
pair RSIhist RSmean pos-neg 102 42.9 10.2 54.9 0.5 0.7 0.3 26.5 -39.4
pair RSI RSmean pos-neg 66 27.7 10.0 56.1 0.5 0.6 0.2 32.2 -52.7
pair RSmean RSI pos-neg 66 27.7 10.0 56.1 0.5 0.6 0.2 32.2 -52.7
pair RSIhist MACDhist pos-neg 25 10.5 10.0 56.0 0.5 0.9 0.5 21.8 -20.4
pair MACDhist RSIhist pos-neg 25 10.5 10.0 56.0 0.5 0.9 0.5 21.8 -20.4
pair RSI SLmean pos-pos 121 50.8 9.9 56.2 0.5 1.1 0.3 22.1 -28.6
pair SLmean RSI pos-pos 121 50.8 9.9 56.2 0.5 1.1 0.3 22.1 -28.6
single RSmean RSmean pos-pos 217 91.2 9.8 56.2 0.5 0.8 0.2 25.5 -52.9
pair MACDhist MRmean neg-pos 4 1.7 9.8 50.0 0.4 1.4 0.6 43.9 -17.0
pair MRmean MACDhist neg-pos 4 1.7 9.8 50.0 0.4 1.4 0.6 43.9 -17.0
pair RSI RSmean pos-pos 151 63.4 9.7 56.3 0.5 1.1 0.2 22.0 -40.3
pair RSmean RSI pos-pos 151 63.4 9.7 56.3 0.5 1.1 0.2 22.0 -40.3
pair MACD SLmean neg-pos 51 21.4 9.5 51.0 0.5 1.0 0.2 22.7 -38.2
pair SLmean MACD neg-pos 51 21.4 9.5 51.0 0.5 1.0 0.2 22.7 -38.2
pair MACD LWTI pos-pos 144 60.5 9.5 55.6 0.5 1.1 0.2 21.9 -40.2
pair LWTI MACD pos-pos 144 60.5 9.5 55.6 0.5 1.1 0.2 21.9 -40.2
pair RSIhist RSmean pos-pos 115 48.3 9.5 57.4 0.5 0.8 0.3 24.7 -35.1
pair RSmean RSIhist pos-pos 115 48.3 9.5 57.4 0.5 0.8 0.3 24.7 -35.1
pair MACD MACDhist pos-pos 102 42.9 9.5 56.9 0.5 1.1 0.3 23.3 -28.7
pair MACDhist MACD pos-pos 102 42.9 9.5 56.9 0.5 1.1 0.3 23.3 -28.7
pair benchmark___benchmark_ benchmark-benchmark 238 100.0 9.4 55.5 0.5 0.8 0.2 24.8 -58.3
pair benchmark___benchmark_ benchmark-benchmark 238 100.0 9.4 55.5 0.5 0.8 0.2 24.8 -58.3
pair RSIhist MRmean neg-neg 79 33.2 9.4 51.9 0.5 0.7 0.3 28.5 -34.4
pair MRmean RSIhist neg-neg 79 33.2 9.4 51.9 0.5 0.7 0.3 28.5 -34.4
pair RSmean MACD pos-pos 155 65.1 9.1 55.5 0.5 1.0 0.2 22.1 -45.6
pair MACD RSmean pos-pos 155 65.1 9.1 55.5 0.5 1.0 0.2 22.1 -45.6
pair RSI MACD pos-neg 22 9.2 9.0 50.0 0.5 0.8 0.4 22.4 -24.5
pair MACD RSI pos-neg 22 9.2 9.0 50.0 0.5 0.8 0.4 22.4 -24.5
pair LWTI MACD neg-neg 37 15.5 9.0 59.5 0.4 0.6 0.2 32.4 -45.3
pair MACD LWTI neg-neg 37 15.5 9.0 59.5 0.4 0.6 0.2 32.4 -45.3
pair MACD MRmean pos-pos 125 52.5 8.9 56.8 0.5 1.0 0.2 21.3 -38.9
pair MRmean MACD pos-pos 125 52.5 8.9 56.8 0.5 1.0 0.2 21.3 -38.9
pair LWTI MACDhist neg-pos 76 31.9 8.3 52.6 0.5 0.7 0.2 23.9 -45.3
pair MACDhist LWTI neg-pos 76 31.9 8.3 52.6 0.5 0.7 0.2 23.9 -45.3
pair RSI MRmean neg-neg 65 27.3 8.1 55.4 0.4 0.6 0.1 32.4 -52.9
pair MRmean RSI neg-neg 65 27.3 8.1 55.4 0.4 0.6 0.1 32.4 -52.9
pair RSIhist SLmean pos-neg 28 11.8 7.8 57.1 0.5 0.8 0.5 17.2 -14.9
pair SLmean RSIhist pos-neg 28 11.8 7.8 57.1 0.5 0.8 0.5 17.2 -14.9
pair SLmean LWTI neg-pos 67 28.2 7.8 52.2 0.4 0.6 0.2 25.0 -42.4
pair LWTI SLmean neg-pos 67 28.2 7.8 52.2 0.4 0.6 0.2 25.0 -42.4
pair LWTI RSI neg-pos 31 13.0 7.7 48.4 0.4 0.6 0.2 30.1 -34.6
pair RSI LWTI neg-pos 31 13.0 7.7 48.4 0.4 0.6 0.2 30.1 -34.6
single RSIhist RSIhist neg-neg 118 49.6 7.6 52.5 0.4 0.6 0.2 25.2 -44.3
pair RSIhist SLmean neg-neg 90 37.8 7.6 51.1 0.4 0.6 0.2 27.3 -43.4
pair SLmean RSIhist neg-neg 90 37.8 7.6 51.1 0.4 0.6 0.2 27.3 -43.4
single MACD MACD pos-pos 160 67.2 7.4 53.8 0.4 0.9 0.2 22.0 -45.6
single RSI RSI neg-neg 75 31.5 7.2 53.3 0.4 0.5 0.1 30.9 -52.9
pair MACD RSI pos-pos 138 58.0 7.2 54.3 0.4 0.9 0.1 22.0 -51.2
pair RSI MACD pos-pos 138 58.0 7.2 54.3 0.4 0.9 0.1 22.0 -51.2
pair RSmean LWTI neg-pos 20 8.4 7.1 50.0 0.5 1.1 0.4 16.9 -18.5
pair LWTI RSmean neg-pos 20 8.4 7.1 50.0 0.5 1.1 0.4 16.9 -18.5
pair MACD MRmean neg-neg 54 22.7 7.0 57.4 0.4 0.5 0.1 33.1 -54.4
pair MACDhist RSIhist neg-neg 93 39.1 7.0 51.6 0.4 0.6 0.2 26.1 -37.6
pair RSIhist MACDhist neg-neg 93 39.1 7.0 51.6 0.4 0.6 0.2 26.1 -37.6
pair MRmean MACD neg-neg 54 22.7 7.0 57.4 0.4 0.5 0.1 33.1 -54.4
pair LWTI RSI neg-neg 44 18.5 6.9 56.8 0.4 0.5 0.1 31.8 -45.3
pair RSI LWTI neg-neg 44 18.5 6.9 56.8 0.4 0.5 0.1 31.8 -45.3
pair MACDhist MACD neg-neg 67 28.2 6.7 55.2 0.4 0.5 0.1 31.3 -58.3
pair MACD MACDhist neg-neg 67 28.2 6.7 55.2 0.4 0.5 0.1 31.3 -58.3
pair MACD RSI neg-neg 53 22.3 6.5 54.7 0.4 0.5 0.1 34.0 -52.9
pair RSI MACD neg-neg 53 22.3 6.5 54.7 0.4 0.5 0.1 34.0 -52.9
pair SLmean MACD pos-pos 109 45.8 6.4 55.0 0.4 0.8 0.2 21.7 -35.2
pair MACD SLmean pos-pos 109 45.8 6.4 55.0 0.4 0.8 0.2 21.7 -35.2
pair MACDhist MRmean pos-neg 40 16.8 6.3 52.5 0.4 0.8 0.2 18.7 -31.1
pair MRmean MACDhist pos-neg 40 16.8 6.3 52.5 0.4 0.8 0.2 18.7 -31.1
pair MRmean RSmean neg-pos 73 30.7 6.3 52.1 0.3 0.5 0.1 32.4 -52.7
pair RSmean MRmean neg-pos 73 30.7 6.3 52.1 0.3 0.5 0.1 32.4 -52.7
pair MRmean LWTI neg-neg 40 16.8 5.9 57.5 0.3 0.5 0.1 32.8 -45.3
pair LWTI MRmean neg-neg 40 16.8 5.9 57.5 0.3 0.5 0.1 32.8 -45.3
pair RSI MACDhist neg-neg 73 30.7 5.6 52.1 0.3 0.5 0.1 31.1 -52.9
pair MACDhist RSI neg-neg 73 30.7 5.6 52.1 0.3 0.5 0.1 31.1 -52.9
pair MACDhist RSmean pos-neg 104 43.7 5.4 52.9 0.3 0.5 0.1 28.0 -52.9
pair RSmean SLmean neg-pos 83 34.9 5.4 53.0 0.3 0.5 0.1 29.8 -50.6
pair SLmean RSmean neg-pos 83 34.9 5.4 53.0 0.3 0.5 0.1 29.8 -50.6
pair RSmean MACDhist pos-neg 104 43.7 5.4 52.9 0.3 0.5 0.1 28.0 -52.9
single MACDhist MACDhist neg-neg 125 52.5 5.3 52.0 0.3 0.5 0.1 26.4 -58.3
single MRmean MRmean neg-neg 89 37.4 5.1 51.7 0.3 0.5 0.1 29.9 -54.4
pair MACDhist RSI pos-neg 52 21.8 5.0 51.9 0.4 0.7 0.1 18.2 -42.1
pair RSI MACDhist pos-neg 52 21.8 5.0 51.9 0.4 0.7 0.1 18.2 -42.1
pair MRmean MACDhist neg-neg 85 35.7 4.9 51.8 0.3 0.4 0.1 29.4 -54.4
pair MACDhist MRmean neg-neg 85 35.7 4.9 51.8 0.3 0.4 0.1 29.4 -54.4
pair LWTI RSIhist neg-pos 84 35.3 4.9 50.0 0.3 0.5 0.1 23.7 -50.9
pair RSIhist LWTI neg-pos 84 35.3 4.9 50.0 0.3 0.5 0.1 23.7 -50.9
single RSmean RSmean neg-neg 21 8.8 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
pair MACDhist RSmean neg-neg 21 8.8 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
pair RSmean MACDhist neg-neg 21 8.8 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
pair LWTI MRmean neg-pos 49 20.6 4.5 46.9 0.3 0.5 0.1 27.6 -35.9
pair MRmean LWTI neg-pos 49 20.6 4.5 46.9 0.3 0.5 0.1 27.6 -35.9
single SLmean SLmean neg-neg 100 42.0 4.1 52.0 0.3 0.4 0.1 27.7 -52.3
pair RSIhist MRmean pos-neg 39 16.4 4.1 53.8 0.3 0.5 0.1 16.8 -32.0
pair MRmean RSIhist pos-neg 39 16.4 4.1 53.8 0.3 0.5 0.1 16.8 -32.0
pair MACD MACDhist pos-neg 58 24.4 3.8 48.3 0.3 0.5 0.1 19.5 -42.4
pair MACDhist MACD pos-neg 58 24.4 3.8 48.3 0.3 0.5 0.1 19.5 -42.4
pair MACD RSIhist pos-neg 73 30.7 3.7 49.3 0.3 0.5 0.1 20.7 -49.3
pair LWTI RSmean pos-neg 52 21.8 3.7 53.8 0.3 0.4 0.1 29.8 -45.3
pair RSmean LWTI pos-neg 52 21.8 3.7 53.8 0.3 0.4 0.1 29.8 -45.3
pair RSIhist MACD pos-neg 73 30.7 3.7 49.3 0.3 0.5 0.1 20.7 -49.3
pair RSI RSIhist pos-neg 57 23.9 3.4 50.9 0.3 0.5 0.1 19.3 -51.7
pair RSIhist RSI pos-neg 57 23.9 3.4 50.9 0.3 0.5 0.1 19.3 -51.7
single LWTI LWTI neg-neg 53 22.3 2.9 52.8 0.2 0.3 0.1 29.6 -45.3
pair MRmean MACD neg-pos 35 14.7 2.2 42.9 0.2 0.4 0.1 24.5 -39.3
pair MACD MRmean neg-pos 35 14.7 2.2 42.9 0.2 0.4 0.1 24.5 -39.3
pair RSI MRmean pos-neg 10 4.2 1.8 40.0 0.2 0.4 0.2 18.7 -10.8
pair MRmean RSI pos-neg 10 4.2 1.8 40.0 0.2 0.4 0.2 18.7 -10.8
pair MACDhist LWTI neg-neg 49 20.6 0.9 51.0 0.2 0.3 0.0 30.2 -45.3
pair LWTI MACDhist neg-neg 49 20.6 0.9 51.0 0.2 0.3 0.0 30.2 -45.3
pair MACDhist RSIhist neg-pos 32 13.4 0.7 53.1 0.2 0.2 0.0 27.5 -36.5
pair RSIhist MACDhist neg-pos 32 13.4 0.7 53.1 0.2 0.2 0.0 27.5 -36.5
pair SLmean MACDhist neg-neg 82 34.5 0.0 48.8 0.1 0.2 0.0 28.3 -52.3
pair MACDhist SLmean neg-neg 82 34.5 0.0 48.8 0.1 0.2 0.0 28.3 -52.3
pair SLmean MRmean neg-neg 78 32.8 -0.0 48.7 0.1 0.2 -0.0 30.0 -52.3
pair MRmean SLmean neg-neg 78 32.8 -0.0 48.7 0.1 0.2 -0.0 30.0 -52.3
pair MRmean RSmean neg-neg 16 6.7 -0.5 50.0 0.0 0.1 -0.0 13.8 -16.7
pair RSmean MRmean neg-neg 16 6.7 -0.5 50.0 0.0 0.1 -0.0 13.8 -16.7
pair RSI SLmean neg-neg 58 24.4 -1.1 48.3 0.1 0.2 -0.0 32.1 -50.7
pair SLmean RSI neg-neg 58 24.4 -1.1 48.3 0.1 0.2 -0.0 32.1 -50.7
pair SLmean MACD neg-neg 49 20.6 -1.3 53.1 0.1 0.2 -0.0 32.3 -52.3
pair MACD SLmean neg-neg 49 20.6 -1.3 53.1 0.1 0.2 -0.0 32.3 -52.3
pair RSmean SLmean neg-neg 17 7.1 -2.0 47.1 -0.1 -0.2 -0.1 13.6 -18.5
pair SLmean RSmean neg-neg 17 7.1 -2.0 47.1 -0.1 -0.2 -0.1 13.6 -18.5
pair RSI MRmean neg-pos 24 10.1 -2.7 41.7 -0.0 -0.1 -0.1 21.9 -39.4
pair MRmean RSI neg-pos 24 10.1 -2.7 41.7 -0.0 -0.1 -0.1 21.9 -39.4
pair LWTI SLmean neg-neg 33 13.9 -3.0 51.5 0.1 0.1 -0.1 32.9 -42.8
pair SLmean LWTI neg-neg 33 13.9 -3.0 51.5 0.1 0.1 -0.1 32.9 -42.8
pair LWTI MRmean pos-neg 13 5.5 -5.8 38.5 -0.3 -0.6 -0.3 16.9 -19.2
pair MRmean LWTI pos-neg 13 5.5 -5.8 38.5 -0.3 -0.6 -0.3 16.9 -19.2
pair RSIhist RSmean neg-neg 16 6.7 -7.4 37.5 -0.5 -0.9 -0.3 14.0 -21.3
pair RSmean RSIhist neg-neg 16 6.7 -7.4 37.5 -0.5 -0.9 -0.3 14.0 -21.3
pair MACD LWTI pos-neg 16 6.7 -9.9 37.5 -0.4 -0.6 -0.4 22.2 -24.0
pair LWTI MACD pos-neg 16 6.7 -9.9 37.5 -0.4 -0.6 -0.4 22.2 -24.0
pair RSIhist RSI neg-pos 14 5.9 -10.2 50.0 -0.1 -0.2 -0.4 36.2 -24.8
pair RSI RSIhist neg-pos 14 5.9 -10.2 50.0 -0.1 -0.2 -0.4 36.2 -24.8
pair RSI RSmean neg-neg 9 3.8 -11.1 33.3 -0.6 -1.4 -0.8 18.3 -14.5
pair RSmean RSI neg-neg 9 3.8 -11.1 33.3 -0.6 -1.4 -0.8 18.3 -14.5
pair LWTI RSI pos-neg 9 3.8 -14.7 33.3 -1.0 -2.1 -0.9 15.0 -15.5
pair RSI LWTI pos-neg 9 3.8 -14.7 33.3 -1.0 -2.1 -0.9 15.0 -15.5
pair RSIhist LWTI pos-neg 19 8.0 -15.3 42.1 -0.4 -0.5 -0.6 31.1 -24.8
pair LWTI RSIhist pos-neg 19 8.0 -15.3 42.1 -0.4 -0.5 -0.6 31.1 -24.8
pair SLmean RSIhist neg-pos 10 4.2 -22.5 60.0 -0.6 -0.6 -0.7 31.7 -32.6
pair RSIhist SLmean neg-pos 10 4.2 -22.5 60.0 -0.6 -0.6 -0.7 31.7 -32.6
pair MRmean RSIhist neg-pos 10 4.2 -23.5 50.0 -0.5 -0.6 -0.8 39.9 -30.4
pair RSIhist MRmean neg-pos 10 4.2 -23.5 50.0 -0.5 -0.6 -0.8 39.9 -30.4
pair RSmean LWTI neg-neg 1 0.4 -31.8 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.4 -31.8 0.0 0.0 0.0 0.0 - 0.0
pair MACD RSmean neg-pos 5 2.1 -33.8 0.0 -4.8 -4.8 -2.6 8.3 -13.2
pair RSmean MACD neg-pos 5 2.1 -33.8 0.0 -4.8 -4.8 -2.6 8.3 -13.2

All Contingency Tables for XRT

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.7% | Win 57%
Sharpe 0.57 | Sortino 1.21 | Calmar 0.3
Vol 22% | MDD -34.9%
Months 127M (53%)
CAGR 20.1% | Win 64%
Sharpe 1.15 | Sortino 1.83 | Calmar 1.2
Vol 17% | MDD -16.7%
Months 22M (9%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR 49.7% | Win 73%
Sharpe 1.58 | Sortino 3.26 | Calmar 5.3
Vol 28% | MDD -9.4%
Months 11M (5%)
CAGR -0.0% | Win 49%
Sharpe 0.15 | Sortino 0.22 | Calmar -0.0
Vol 30% | MDD -52.3%
Months 78M (33%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
SLmean
only
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 58%
Sharpe 0.62 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -31.2%
Months 144M (60%)
CAGR 23.7% | Win 40%
Sharpe 0.95 | Sortino 3.11 | Calmar 3.0
Vol 25% | MDD -8.0%
Months 5M (2%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR 6.3% | Win 52%
Sharpe 0.35 | Sortino 0.53 | Calmar 0.1
Vol 32% | MDD -52.7%
Months 73M (31%)
CAGR -0.5% | Win 50%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.0
Vol 14% | MDD -16.7%
Months 16M (7%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
RSmean
only
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 57%
Sharpe 0.50 | Sortino 1.01 | Calmar 0.2
Vol 21% | MDD -38.9%
Months 125M (52%)
CAGR 29.5% | Win 62%
Sharpe 1.32 | Sortino 3.35 | Calmar 2.4
Vol 22% | MDD -12.2%
Months 24M (10%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR 2.2% | Win 43%
Sharpe 0.20 | Sortino 0.41 | Calmar 0.1
Vol 24% | MDD -39.3%
Months 35M (15%)
CAGR 7.0% | Win 57%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.1
Vol 33% | MDD -54.4%
Months 54M (23%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
MACD
only
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.8% | Win 59%
Sharpe 0.66 | Sortino 1.35 | Calmar 0.5
Vol 22% | MDD -24.4%
Months 139M (58%)
CAGR 1.8% | Win 40%
Sharpe 0.18 | Sortino 0.43 | Calmar 0.2
Vol 19% | MDD -10.8%
Months 10M (4%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR -2.7% | Win 42%
Sharpe -0.02 | Sortino -0.05 | Calmar -0.1
Vol 22% | MDD -39.4%
Months 24M (10%)
CAGR 8.1% | Win 55%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 32% | MDD -52.9%
Months 65M (27%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
RSI
only
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 14.2% | Win 60%
Sharpe 0.70 | Sortino 1.48 | Calmar 0.7
Vol 22% | MDD -19.2%
Months 109M (46%)
CAGR 6.3% | Win 52%
Sharpe 0.42 | Sortino 0.79 | Calmar 0.2
Vol 19% | MDD -31.1%
Months 40M (17%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR 9.8% | Win 50%
Sharpe 0.37 | Sortino 1.45 | Calmar 0.6
Vol 44% | MDD -17.0%
Months 4M (2%)
CAGR 4.9% | Win 52%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 29% | MDD -54.4%
Months 85M (36%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
MACDhist
only
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 15.0% | Win 59%
Sharpe 0.72 | Sortino 1.66 | Calmar 0.6
Vol 23% | MDD -25.6%
Months 110M (46%)
CAGR 4.1% | Win 54%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 17% | MDD -32.0%
Months 39M (16%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR -23.5% | Win 50%
Sharpe -0.48 | Sortino -0.61 | Calmar -0.8
Vol 40% | MDD -30.4%
Months 10M (4%)
CAGR 9.4% | Win 52%
Sharpe 0.46 | Sortino 0.71 | Calmar 0.3
Vol 28% | MDD -34.4%
Months 79M (33%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.9% | Win 60%
Sharpe 0.70 | Sortino 1.43 | Calmar 0.6
Vol 22% | MDD -23.5%
Months 136M (57%)
CAGR -5.8% | Win 38%
Sharpe -0.27 | Sortino -0.63 | Calmar -0.3
Vol 17% | MDD -19.2%
Months 13M (6%)
CAGR 12.0% | Win 58%
Sharpe 0.64 | Sortino 1.32 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 149M (63%)
MRmean
neg
CAGR 4.5% | Win 47%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 28% | MDD -35.9%
Months 49M (21%)
CAGR 5.9% | Win 57%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 33% | MDD -45.3%
Months 40M (17%)
CAGR 5.1% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 89M (37%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.7% | Win 58%
Sharpe 0.64 | Sortino 1.37 | Calmar 0.4
Vol 22% | MDD -35.8%
Months 134M (56%)
CAGR 39.4% | Win 50%
Sharpe 1.33 | Sortino 4.29 | Calmar 24.7
Vol 27% | MDD -1.6%
Months 4M (2%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR 5.4% | Win 53%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -50.6%
Months 83M (35%)
CAGR -2.0% | Win 47%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 14% | MDD -18.5%
Months 17M (7%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
RSmean
only
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.4% | Win 55%
Sharpe 0.39 | Sortino 0.81 | Calmar 0.2
Vol 22% | MDD -35.2%
Months 109M (46%)
CAGR 43.7% | Win 69%
Sharpe 1.61 | Sortino 3.97 | Calmar 3.1
Vol 24% | MDD -14.2%
Months 29M (12%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR 9.5% | Win 51%
Sharpe 0.51 | Sortino 0.96 | Calmar 0.2
Vol 23% | MDD -38.2%
Months 51M (21%)
CAGR -1.3% | Win 53%
Sharpe 0.12 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -52.3%
Months 49M (21%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
MACD
only
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 56%
Sharpe 0.53 | Sortino 1.13 | Calmar 0.3
Vol 22% | MDD -28.6%
Months 121M (51%)
CAGR 41.4% | Win 71%
Sharpe 1.50 | Sortino 3.58 | Calmar 4.0
Vol 25% | MDD -10.2%
Months 17M (7%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR 11.7% | Win 57%
Sharpe 0.65 | Sortino 1.26 | Calmar 0.3
Vol 20% | MDD -37.8%
Months 42M (18%)
CAGR -1.1% | Win 48%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 32% | MDD -50.7%
Months 58M (24%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
RSI
only
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 58%
Sharpe 0.61 | Sortino 1.33 | Calmar 0.4
Vol 23% | MDD -32.0%
Months 95M (40%)
CAGR 16.2% | Win 58%
Sharpe 0.78 | Sortino 1.66 | Calmar 0.6
Vol 22% | MDD -25.1%
Months 43M (18%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR 24.9% | Win 67%
Sharpe 1.01 | Sortino 1.78 | Calmar 1.4
Vol 25% | MDD -17.5%
Months 18M (8%)
CAGR 0.0% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -52.3%
Months 82M (34%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
MACDhist
only
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.8% | Win 58%
Sharpe 0.70 | Sortino 1.64 | Calmar 0.6
Vol 24% | MDD -26.0%
Months 110M (46%)
CAGR 7.8% | Win 57%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.5
Vol 17% | MDD -14.9%
Months 28M (12%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR -22.5% | Win 60%
Sharpe -0.63 | Sortino -0.56 | Calmar -0.7
Vol 32% | MDD -32.6%
Months 10M (4%)
CAGR 7.6% | Win 51%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.2
Vol 27% | MDD -43.4%
Months 90M (38%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.41 | Calmar 0.5
Vol 22% | MDD -25.3%
Months 118M (50%)
CAGR 13.3% | Win 55%
Sharpe 0.64 | Sortino 1.60 | Calmar 0.9
Vol 24% | MDD -14.2%
Months 20M (8%)
CAGR 13.4% | Win 58%
Sharpe 0.67 | Sortino 1.45 | Calmar 0.5
Vol 23% | MDD -26.5%
Months 138M (58%)
SLmean
neg
CAGR 7.8% | Win 52%
Sharpe 0.42 | Sortino 0.64 | Calmar 0.2
Vol 25% | MDD -42.4%
Months 67M (28%)
CAGR -3.0% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -42.8%
Months 33M (14%)
CAGR 4.1% | Win 52%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 100M (42%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 56%
Sharpe 0.50 | Sortino 0.99 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 155M (65%)
CAGR 11.6% | Win 58%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 33% | MDD -52.9%
Months 62M (26%)
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
RSmean
neg
CAGR -33.8% | Win 0%
Sharpe -4.83 | Sortino -4.83 | Calmar -2.6
Vol 8% | MDD -13.2%
Months 5M (2%)
CAGR 21.0% | Win 62%
Sharpe 1.23 | Sortino 3.37 | Calmar 3.3
Vol 17% | MDD -6.3%
Months 16M (7%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
MACD
only
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.7% | Win 56%
Sharpe 0.53 | Sortino 1.11 | Calmar 0.2
Vol 22% | MDD -40.3%
Months 151M (63%)
CAGR 10.0% | Win 56%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -52.7%
Months 66M (28%)
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
RSmean
neg
CAGR 18.6% | Win 58%
Sharpe 1.19 | Sortino 4.27 | Calmar 2.4
Vol 15% | MDD -7.7%
Months 12M (5%)
CAGR -11.1% | Win 33%
Sharpe -0.56 | Sortino -1.43 | Calmar -0.8
Vol 18% | MDD -14.5%
Months 9M (4%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
RSI
only
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.4% | Win 53%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -52.9%
Months 104M (44%)
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
RSmean
neg		-
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
MACDhist
only
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 57%
Sharpe 0.49 | Sortino 0.85 | Calmar 0.3
Vol 25% | MDD -35.1%
Months 115M (48%)
CAGR 10.2% | Win 55%
Sharpe 0.50 | Sortino 0.74 | Calmar 0.3
Vol 26% | MDD -39.4%
Months 102M (43%)
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
RSmean
neg
CAGR 55.9% | Win 80%
Sharpe 2.25 | Sortino 0.00 | Calmar 17.2
Vol 21% | MDD -3.2%
Months 5M (2%)
CAGR -7.4% | Win 38%
Sharpe -0.48 | Sortino -0.93 | Calmar -0.3
Vol 14% | MDD -21.3%
Months 16M (7%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.8% | Win 57%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -41.7%
Months 165M (69%)
CAGR 3.7% | Win 54%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 52M (22%)
CAGR 9.8% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 217M (91%)
RSmean
neg
CAGR 7.1% | Win 50%
Sharpe 0.49 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -18.5%
Months 20M (8%)
CAGR -31.8% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 4.8% | Win 48%
Sharpe 0.36 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -21.1%
Months 21M (9%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 54%
Sharpe 0.42 | Sortino 0.88 | Calmar 0.1
Vol 22% | MDD -51.2%
Months 138M (58%)
CAGR 9.0% | Win 50%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.4
Vol 22% | MDD -24.5%
Months 22M (9%)
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
MACD
neg
CAGR 29.8% | Win 68%
Sharpe 1.48 | Sortino 2.88 | Calmar 2.6
Vol 19% | MDD -11.6%
Months 25M (10%)
CAGR 6.5% | Win 55%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 34% | MDD -52.9%
Months 53M (22%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
RSI
only
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.5% | Win 57%
Sharpe 0.50 | Sortino 1.05 | Calmar 0.3
Vol 23% | MDD -28.7%
Months 102M (43%)
CAGR 3.8% | Win 48%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -42.4%
Months 58M (24%)
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
MACD
neg
CAGR 65.6% | Win 82%
Sharpe 3.05 | Sortino 5.31 | Calmar 12.8
Vol 17% | MDD -5.1%
Months 11M (5%)
CAGR 6.7% | Win 55%
Sharpe 0.36 | Sortino 0.51 | Calmar 0.1
Vol 31% | MDD -58.3%
Months 67M (28%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
MACDhist
only
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.6% | Win 57%
Sharpe 0.55 | Sortino 1.23 | Calmar 0.4
Vol 23% | MDD -28.6%
Months 87M (37%)
CAGR 3.7% | Win 49%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 21% | MDD -49.3%
Months 73M (31%)
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
MACD
neg
CAGR 12.6% | Win 61%
Sharpe 0.56 | Sortino 0.76 | Calmar 0.3
Vol 28% | MDD -36.5%
Months 33M (14%)
CAGR 14.2% | Win 58%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.4
Vol 31% | MDD -34.4%
Months 45M (19%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.5% | Win 56%
Sharpe 0.52 | Sortino 1.08 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 144M (60%)
CAGR -9.9% | Win 38%
Sharpe -0.36 | Sortino -0.58 | Calmar -0.4
Vol 22% | MDD -24.0%
Months 16M (7%)
CAGR 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 160M (67%)
MACD
neg
CAGR 17.7% | Win 58%
Sharpe 0.73 | Sortino 0.99 | Calmar 0.5
Vol 28% | MDD -33.4%
Months 41M (17%)
CAGR 9.0% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 32% | MDD -45.3%
Months 37M (16%)
CAGR 13.5% | Win 59%
Sharpe 0.58 | Sortino 0.78 | Calmar 0.2
Vol 30% | MDD -58.3%
Months 78M (33%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 59%
Sharpe 0.64 | Sortino 1.34 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.0% | Win 52%
Sharpe 0.36 | Sortino 0.71 | Calmar 0.1
Vol 18% | MDD -42.1%
Months 52M (22%)
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
RSI
neg
CAGR 90.0% | Win 100%
Sharpe 3.06 | Sortino 0.00 | Calmar 0.0
Vol 22% | MDD 0.0%
Months 2M (1%)
CAGR 5.6% | Win 52%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 73M (31%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
MACDhist
only
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 14.3% | Win 59%
Sharpe 0.70 | Sortino 1.59 | Calmar 0.7
Vol 23% | MDD -21.3%
Months 106M (44%)
CAGR 3.4% | Win 51%
Sharpe 0.27 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -51.7%
Months 57M (24%)
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
RSI
neg
CAGR -10.2% | Win 50%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.4
Vol 36% | MDD -24.8%
Months 14M (6%)
CAGR 11.7% | Win 54%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.3
Vol 30% | MDD -34.4%
Months 61M (26%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 12.1% | Win 58%
Sharpe 0.63 | Sortino 1.29 | Calmar 0.3
Vol 22% | MDD -36.1%
Months 154M (65%)
CAGR -14.7% | Win 33%
Sharpe -0.99 | Sortino -2.15 | Calmar -0.9
Vol 15% | MDD -15.5%
Months 9M (4%)
CAGR 10.4% | Win 56%
Sharpe 0.56 | Sortino 1.17 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 163M (68%)
RSI
neg
CAGR 7.7% | Win 48%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.2
Vol 30% | MDD -34.6%
Months 31M (13%)
CAGR 6.9% | Win 57%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 32% | MDD -45.3%
Months 44M (18%)
CAGR 7.2% | Win 53%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 31% | MDD -52.9%
Months 75M (32%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.2% | Win 60%
Sharpe 0.71 | Sortino 1.61 | Calmar 0.7
Vol 24% | MDD -20.5%
Months 88M (37%)
CAGR 10.0% | Win 56%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.5
Vol 22% | MDD -20.4%
Months 25M (10%)
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
MACDhist
neg
CAGR 0.7% | Win 53%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -36.5%
Months 32M (13%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.2
Vol 26% | MDD -37.6%
Months 93M (39%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
RSIhist
only
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.5% | Win 59%
Sharpe 0.66 | Sortino 1.37 | Calmar 0.6
Vol 23% | MDD -20.7%
Months 109M (46%)
CAGR 31.1% | Win 75%
Sharpe 1.23 | Sortino 0.00 | Calmar 4.9
Vol 24% | MDD -6.4%
Months 4M (2%)
CAGR 14.0% | Win 59%
Sharpe 0.68 | Sortino 1.42 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 113M (48%)
MACDhist
neg
CAGR 8.3% | Win 53%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.2
Vol 24% | MDD -45.3%
Months 76M (32%)
CAGR 0.9% | Win 51%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -45.3%
Months 49M (21%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (52%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 17.0% | Win 61%
Sharpe 0.79 | Sortino 1.80 | Calmar 1.0
Vol 23% | MDD -16.5%
Months 101M (42%)
CAGR -15.3% | Win 42%
Sharpe -0.38 | Sortino -0.51 | Calmar -0.6
Vol 31% | MDD -24.8%
Months 19M (8%)
CAGR 11.1% | Win 58%
Sharpe 0.55 | Sortino 0.97 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 120M (50%)
RSIhist
neg
CAGR 4.9% | Win 50%
Sharpe 0.32 | Sortino 0.48 | Calmar 0.1
Vol 24% | MDD -50.9%
Months 84M (35%)
CAGR 14.7% | Win 59%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.6
Vol 29% | MDD -23.9%
Months 34M (14%)
CAGR 7.6% | Win 52%
Sharpe 0.42 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 118M (50%)
LWTI
only
CAGR 11.3% | Win 56%
Sharpe 0.57 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 185M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)