XRT - State Street PDR S&P Retail ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

89.9%

Best CAGR

68

Total Months

9.5%

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 89.9 100.0 3.0 0.0 0.0 21.9 0.0
pair RSI MACDhist neg-pos 2 0.8 89.9 100.0 3.0 0.0 0.0 21.9 0.0
pair MACD MACDhist neg-pos 11 4.7 65.6 81.8 3.0 5.3 12.8 17.3 -5.1
pair MACDhist MACD neg-pos 11 4.7 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 17.3 20.9 -3.2
pair RSmean RSIhist neg-pos 5 2.1 55.9 80.0 2.2 0.0 17.3 20.9 -3.2
pair MRmean SLmean neg-pos 11 4.7 49.7 72.7 1.6 3.3 5.3 28.0 -9.3
pair SLmean MRmean neg-pos 11 4.7 49.7 72.7 1.6 3.3 5.3 28.0 -9.3
pair MACD SLmean pos-neg 29 12.3 43.7 69.0 1.6 4.0 3.1 24.5 -14.2
pair SLmean MACD pos-neg 29 12.3 43.7 69.0 1.6 4.0 3.1 24.5 -14.2
pair SLmean RSI pos-neg 17 7.2 41.4 70.6 1.5 3.6 4.0 25.4 -10.2
pair RSI SLmean pos-neg 17 7.2 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 10.6 29.8 68.0 1.5 2.9 2.6 18.9 -11.6
pair MACD RSI neg-pos 25 10.6 29.8 68.0 1.5 2.9 2.6 18.9 -11.6
pair MRmean MACD pos-neg 24 10.2 29.5 62.5 1.3 3.4 2.4 21.5 -12.2
pair MACD MRmean pos-neg 24 10.2 29.5 62.5 1.3 3.4 2.4 21.5 -12.2
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 6.8 21.0 62.5 1.2 3.4 3.4 16.6 -6.3
pair RSmean MACD neg-neg 16 6.8 21.0 62.5 1.2 3.4 3.4 16.6 -6.3
pair SLmean MACDhist neg-pos 17 7.2 21.0 64.7 0.9 1.6 1.2 25.5 -17.5
pair MACDhist SLmean neg-pos 17 7.2 21.0 64.7 0.9 1.6 1.2 25.5 -17.5
pair MRmean SLmean pos-neg 22 9.3 20.1 63.6 1.1 1.8 1.2 17.3 -16.7
pair SLmean MRmean pos-neg 22 9.3 20.1 63.6 1.1 1.8 1.2 17.3 -16.7
pair RSI RSmean neg-pos 12 5.1 18.6 58.3 1.2 4.3 2.4 15.3 -7.7
pair RSmean RSI neg-pos 12 5.1 18.6 58.3 1.2 4.3 2.4 15.3 -7.7
pair RSIhist LWTI pos-pos 100 42.4 18.2 62.0 0.8 1.9 1.1 22.9 -16.5
pair LWTI RSIhist pos-pos 100 42.4 18.2 62.0 0.8 1.9 1.1 22.9 -16.5
pair LWTI MACD neg-pos 41 17.4 17.7 58.5 0.7 1.0 0.5 27.9 -33.3
pair MACD LWTI neg-pos 41 17.4 17.7 58.5 0.7 1.0 0.5 27.9 -33.3
pair MACDhist RSIhist pos-pos 87 36.9 16.6 60.9 0.8 1.7 1.0 23.4 -17.1
pair RSIhist MACDhist pos-pos 87 36.9 16.6 60.9 0.8 1.7 1.0 23.4 -17.1
pair SLmean MACDhist pos-neg 43 18.2 16.2 58.1 0.8 1.7 0.7 22.5 -25.1
pair MACDhist SLmean pos-neg 43 18.2 16.2 58.1 0.8 1.7 0.7 22.5 -25.1
pair MRmean RSIhist pos-pos 109 46.2 16.1 59.6 0.8 1.8 0.6 22.7 -25.6
pair RSIhist MRmean pos-pos 109 46.2 16.1 59.6 0.8 1.8 0.6 22.7 -25.6
pair SLmean RSIhist pos-pos 109 46.2 15.9 58.7 0.7 1.7 0.6 23.7 -26.0
pair RSIhist SLmean pos-pos 109 46.2 15.9 58.7 0.7 1.7 0.6 23.7 -26.0
pair RSIhist RSI pos-pos 105 44.5 15.4 60.0 0.7 1.7 0.7 22.7 -21.3
pair RSI RSIhist pos-pos 105 44.5 15.4 60.0 0.7 1.7 0.7 22.7 -21.3
pair MACDhist MRmean pos-pos 108 45.8 15.3 60.2 0.8 1.6 0.8 22.2 -19.3
pair MRmean MACDhist pos-pos 108 45.8 15.3 60.2 0.8 1.6 0.8 22.2 -19.3
pair MRmean LWTI pos-pos 135 57.2 14.8 60.0 0.7 1.5 0.6 21.6 -23.5
pair LWTI MRmean pos-pos 135 57.2 14.8 60.0 0.7 1.5 0.6 21.6 -23.5
pair RSIhist LWTI neg-neg 34 14.4 14.7 58.8 0.6 0.9 0.6 28.7 -24.0
pair LWTI RSIhist neg-neg 34 14.4 14.7 58.8 0.6 0.9 0.6 28.7 -24.0
pair SLmean LWTI pos-pos 117 49.6 14.4 59.0 0.7 1.5 0.6 22.4 -25.3
pair LWTI SLmean pos-pos 117 49.6 14.4 59.0 0.7 1.5 0.6 22.4 -25.3
pair MACDhist RSmean pos-pos 111 47.0 14.4 59.5 0.7 1.4 0.6 23.0 -25.8
single MACDhist MACDhist pos-pos 111 47.0 14.4 59.5 0.7 1.4 0.6 23.0 -25.8
pair RSmean MACDhist pos-pos 111 47.0 14.4 59.5 0.7 1.4 0.6 23.0 -25.8
single SLmean SLmean pos-pos 137 58.1 14.2 58.4 0.7 1.5 0.5 22.5 -26.5
pair RSIhist MACD neg-neg 45 19.1 14.2 57.8 0.6 0.8 0.4 31.2 -34.4
pair MACD RSIhist neg-neg 45 19.1 14.2 57.8 0.6 0.8 0.4 31.2 -34.4
pair MACDhist LWTI pos-pos 107 45.3 13.9 58.9 0.7 1.4 0.7 23.0 -20.7
pair LWTI MACDhist pos-pos 107 45.3 13.9 58.9 0.7 1.4 0.7 23.0 -20.7
pair RSI MRmean pos-pos 138 58.5 13.6 59.4 0.7 1.4 0.6 21.5 -24.4
pair MRmean RSI pos-pos 138 58.5 13.6 59.4 0.7 1.4 0.6 21.5 -24.4
pair RSmean SLmean pos-pos 133 56.4 13.5 58.6 0.7 1.4 0.4 22.4 -35.8
pair SLmean RSmean pos-pos 133 56.4 13.5 58.6 0.7 1.4 0.4 22.4 -35.8
single MACD MACD neg-neg 78 33.1 13.5 59.0 0.6 0.8 0.2 29.9 -58.3
pair RSI MACDhist pos-pos 109 46.2 13.4 58.7 0.7 1.4 0.5 23.0 -25.8
pair MACDhist RSI pos-pos 109 46.2 13.4 58.7 0.7 1.4 0.5 23.0 -25.8
pair SLmean LWTI pos-neg 20 8.5 13.3 55.0 0.6 1.6 0.9 23.9 -14.2
pair SLmean MACDhist pos-pos 94 39.8 13.3 58.5 0.7 1.4 0.5 22.6 -29.1
pair LWTI SLmean pos-neg 20 8.5 13.3 55.0 0.6 1.6 0.9 23.9 -14.2
pair MACDhist SLmean pos-pos 94 39.8 13.3 58.5 0.7 1.4 0.5 22.6 -29.1
single MRmean MRmean pos-pos 148 62.7 12.8 58.1 0.7 1.4 0.4 21.3 -32.6
pair RSIhist MACD neg-pos 33 14.0 12.6 60.6 0.6 0.8 0.3 28.5 -36.5
pair MACD RSIhist neg-pos 33 14.0 12.6 60.6 0.6 0.8 0.3 28.5 -36.5
pair MRmean RSmean pos-pos 143 60.6 12.4 58.7 0.7 1.3 0.4 21.2 -31.2
pair RSmean MRmean pos-pos 143 60.6 12.4 58.7 0.7 1.3 0.4 21.2 -31.2
pair LWTI RSI pos-pos 152 64.4 12.3 57.9 0.6 1.3 0.3 21.8 -36.1
pair RSI LWTI pos-pos 152 64.4 12.3 57.9 0.6 1.3 0.3 21.8 -36.1
single RSIhist RSIhist pos-pos 119 50.4 12.1 58.8 0.6 1.0 0.3 24.5 -36.5
pair RSmean LWTI pos-pos 163 69.1 12.1 57.1 0.6 1.0 0.3 24.0 -41.7
pair LWTI RSmean pos-pos 163 69.1 12.1 57.1 0.6 1.0 0.3 24.0 -41.7
pair RSIhist MACD pos-pos 86 36.4 11.9 58.1 0.6 1.3 0.4 23.0 -28.6
pair MACD RSIhist pos-pos 86 36.4 11.9 58.1 0.6 1.3 0.4 23.0 -28.6
pair RSIhist RSI neg-neg 61 25.8 11.7 54.1 0.5 0.8 0.3 29.7 -34.4
pair RSI RSIhist neg-neg 61 25.8 11.7 54.1 0.5 0.8 0.3 29.7 -34.4
pair MACD RSmean pos-neg 62 26.3 11.6 58.1 0.5 0.7 0.2 32.6 -52.9
pair MRmean SLmean pos-pos 126 53.4 11.6 57.1 0.6 1.3 0.3 21.9 -34.9
pair SLmean MRmean pos-pos 126 53.4 11.6 57.1 0.6 1.3 0.3 21.9 -34.9
pair RSmean MACD pos-neg 62 26.3 11.6 58.1 0.5 0.7 0.2 32.6 -52.9
single LWTI LWTI pos-pos 183 77.5 11.5 56.3 0.6 1.0 0.2 23.3 -50.9
pair SLmean RSI pos-pos 120 50.8 10.8 56.7 0.6 1.2 0.4 22.0 -28.6
pair RSI SLmean pos-pos 120 50.8 10.8 56.7 0.6 1.2 0.4 22.0 -28.6
single RSI RSI pos-pos 161 68.2 10.6 56.5 0.6 1.2 0.2 21.5 -43.0
pair RSIhist RSmean pos-pos 114 48.3 10.5 57.9 0.5 0.9 0.3 24.6 -35.1
pair RSmean RSIhist pos-pos 114 48.3 10.5 57.9 0.5 0.9 0.3 24.6 -35.1
pair RSmean RSI pos-neg 66 28.0 10.0 56.1 0.5 0.6 0.2 32.2 -52.7
pair RSmean RSI pos-pos 149 63.1 10.0 56.4 0.5 1.1 0.2 22.0 -40.3
pair RSI RSmean pos-pos 149 63.1 10.0 56.4 0.5 1.1 0.2 22.0 -40.3
pair RSI RSmean pos-neg 66 28.0 10.0 56.1 0.5 0.6 0.2 32.2 -52.7
single RSmean RSmean pos-pos 215 91.1 10.0 56.3 0.5 0.8 0.2 25.5 -52.9
pair RSI SLmean neg-pos 41 17.4 10.0 56.1 0.6 1.1 0.3 20.3 -37.8
pair SLmean RSI neg-pos 41 17.4 10.0 56.1 0.6 1.1 0.3 20.3 -37.8
pair MACDhist MACD pos-pos 100 42.4 9.9 57.0 0.5 1.1 0.3 23.3 -28.7
pair MACD MACDhist pos-pos 100 42.4 9.9 57.0 0.5 1.1 0.3 23.3 -28.7
pair LWTI MACD pos-pos 142 60.2 9.8 55.6 0.5 1.1 0.2 21.9 -40.2
pair MACD LWTI pos-pos 142 60.2 9.8 55.6 0.5 1.1 0.2 21.9 -40.2
pair MACD MRmean pos-pos 124 52.5 9.8 57.3 0.5 1.1 0.2 21.2 -38.9
pair MRmean MACD pos-pos 124 52.5 9.8 57.3 0.5 1.1 0.2 21.2 -38.9
pair benchmark___benchmark_ benchmark-benchmark 236 100.0 9.5 55.5 0.5 0.8 0.2 24.8 -58.3
pair benchmark___benchmark_ benchmark-benchmark 236 100.0 9.5 55.5 0.5 0.8 0.2 24.8 -58.3
pair RSIhist RSmean pos-neg 101 42.8 9.4 54.5 0.5 0.7 0.2 26.5 -39.4
pair RSmean RSIhist pos-neg 101 42.8 9.4 54.5 0.5 0.7 0.2 26.5 -39.4
pair MACD RSmean pos-pos 153 64.8 9.3 55.6 0.5 1.0 0.2 22.1 -45.6
pair RSmean MACD pos-pos 153 64.8 9.3 55.6 0.5 1.0 0.2 22.1 -45.6
pair MACD RSI pos-neg 22 9.3 9.0 50.0 0.5 0.8 0.4 22.4 -24.5
pair RSI MACD pos-neg 22 9.3 9.0 50.0 0.5 0.8 0.4 22.4 -24.5
pair LWTI MACD neg-neg 37 15.7 9.0 59.5 0.4 0.6 0.2 32.4 -45.3
pair MACD LWTI neg-neg 37 15.7 9.0 59.5 0.4 0.6 0.2 32.4 -45.3
pair MRmean RSIhist neg-neg 78 33.1 8.5 51.3 0.4 0.7 0.2 28.6 -34.4
pair RSIhist MRmean neg-neg 78 33.1 8.5 51.3 0.4 0.7 0.2 28.6 -34.4
pair LWTI MACDhist neg-pos 76 32.2 8.3 52.6 0.5 0.7 0.2 23.9 -45.3
pair MACDhist LWTI neg-pos 76 32.2 8.3 52.6 0.5 0.7 0.2 23.9 -45.3
pair SLmean MACD neg-pos 50 21.2 8.1 50.0 0.5 0.8 0.2 22.7 -38.2
pair MACD SLmean neg-pos 50 21.2 8.1 50.0 0.5 0.8 0.2 22.7 -38.2
pair MRmean RSI neg-neg 65 27.5 8.1 55.4 0.4 0.6 0.1 32.4 -52.9
pair RSI MRmean neg-neg 65 27.5 8.1 55.4 0.4 0.6 0.1 32.4 -52.9
pair RSI LWTI neg-pos 31 13.1 7.7 48.4 0.4 0.6 0.2 30.1 -34.6
pair LWTI RSI neg-pos 31 13.1 7.7 48.4 0.4 0.6 0.2 30.1 -34.6
pair RSIhist SLmean pos-neg 28 11.9 7.7 57.1 0.5 0.8 0.5 17.2 -14.9
pair SLmean RSIhist pos-neg 28 11.9 7.7 57.1 0.5 0.8 0.5 17.2 -14.9
single MACD MACD pos-pos 158 66.9 7.6 53.8 0.4 0.9 0.2 21.9 -45.6
pair SLmean MACD pos-pos 108 45.8 7.4 55.6 0.4 0.9 0.2 21.7 -35.2
pair RSI MACD pos-pos 136 57.6 7.4 54.4 0.4 0.9 0.1 22.0 -51.2
pair MACD RSI pos-pos 136 57.6 7.4 54.4 0.4 0.9 0.1 22.0 -51.2
pair MACD SLmean pos-pos 108 45.8 7.4 55.6 0.4 0.9 0.2 21.7 -35.2
single RSI RSI neg-neg 75 31.8 7.2 53.3 0.4 0.5 0.1 30.9 -52.9
pair LWTI RSmean neg-pos 20 8.5 7.1 50.0 0.5 1.1 0.4 16.9 -18.5
pair RSmean LWTI neg-pos 20 8.5 7.1 50.0 0.5 1.1 0.4 16.9 -18.5
pair MACDhist RSIhist neg-neg 93 39.4 7.0 51.6 0.4 0.6 0.2 26.1 -37.6
pair MACD MRmean neg-neg 54 22.9 7.0 57.4 0.4 0.5 0.1 33.1 -54.4
single RSIhist RSIhist neg-neg 117 49.6 7.0 52.1 0.4 0.6 0.2 25.2 -44.3
pair RSIhist MACDhist neg-neg 93 39.4 7.0 51.6 0.4 0.6 0.2 26.1 -37.6
pair RSIhist MACDhist pos-neg 24 10.2 7.0 54.2 0.4 0.7 0.3 21.8 -20.4
pair MACDhist RSIhist pos-neg 24 10.2 7.0 54.2 0.4 0.7 0.3 21.8 -20.4
pair MRmean MACD neg-neg 54 22.9 7.0 57.4 0.4 0.5 0.1 33.1 -54.4
pair LWTI RSI neg-neg 44 18.6 6.9 56.8 0.4 0.5 0.1 31.8 -45.3
pair RSI LWTI neg-neg 44 18.6 6.9 56.8 0.4 0.5 0.1 31.8 -45.3
pair MACDhist MACD neg-neg 67 28.4 6.7 55.2 0.4 0.5 0.1 31.3 -58.3
pair MACD MACDhist neg-neg 67 28.4 6.7 55.2 0.4 0.5 0.1 31.3 -58.3
pair RSIhist SLmean neg-neg 89 37.7 6.7 50.6 0.4 0.6 0.1 27.4 -43.4
pair SLmean RSIhist neg-neg 89 37.7 6.7 50.6 0.4 0.6 0.1 27.4 -43.4
pair LWTI SLmean neg-pos 66 28.0 6.6 51.5 0.4 0.6 0.2 25.1 -42.4
pair SLmean LWTI neg-pos 66 28.0 6.6 51.5 0.4 0.6 0.2 25.1 -42.4
pair MACD RSI neg-neg 53 22.5 6.5 54.7 0.4 0.5 0.1 34.0 -52.9
pair RSI MACD neg-neg 53 22.5 6.5 54.7 0.4 0.5 0.1 34.0 -52.9
pair MRmean MACDhist pos-neg 40 16.9 6.3 52.5 0.4 0.8 0.2 18.7 -31.1
pair MACDhist MRmean pos-neg 40 16.9 6.3 52.5 0.4 0.8 0.2 18.7 -31.1
pair MRmean LWTI neg-neg 40 16.9 5.9 57.5 0.3 0.5 0.1 32.8 -45.3
pair LWTI MRmean neg-neg 40 16.9 5.9 57.5 0.3 0.5 0.1 32.8 -45.3
pair RSI MACDhist neg-neg 73 30.9 5.6 52.1 0.3 0.5 0.1 31.1 -52.9
pair MACDhist RSI neg-neg 73 30.9 5.6 52.1 0.3 0.5 0.1 31.1 -52.9
pair MACDhist RSmean pos-neg 104 44.1 5.4 52.9 0.3 0.5 0.1 28.0 -52.9
pair RSmean MACDhist pos-neg 104 44.1 5.4 52.9 0.3 0.5 0.1 28.0 -52.9
single MACDhist MACDhist neg-neg 125 53.0 5.3 52.0 0.3 0.5 0.1 26.4 -58.3
pair RSmean MRmean neg-pos 72 30.5 5.3 51.4 0.3 0.5 0.1 32.5 -52.7
pair MRmean RSmean neg-pos 72 30.5 5.3 51.4 0.3 0.5 0.1 32.5 -52.7
pair RSI MACDhist pos-neg 52 22.0 5.0 51.9 0.4 0.7 0.1 18.2 -42.1
pair MACDhist RSI pos-neg 52 22.0 5.0 51.9 0.4 0.7 0.1 18.2 -42.1
pair MACDhist MRmean neg-neg 85 36.0 4.9 51.8 0.3 0.4 0.1 29.4 -54.4
pair MRmean MACDhist neg-neg 85 36.0 4.9 51.8 0.3 0.4 0.1 29.4 -54.4
pair MACDhist RSmean neg-neg 21 8.9 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
pair RSmean MACDhist neg-neg 21 8.9 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
single RSmean RSmean neg-neg 21 8.9 4.8 47.6 0.4 0.9 0.2 16.7 -21.1
pair SLmean RSmean neg-pos 82 34.7 4.5 52.4 0.3 0.4 0.1 29.9 -50.6
pair RSmean SLmean neg-pos 82 34.7 4.5 52.4 0.3 0.4 0.1 29.9 -50.6
single MRmean MRmean neg-neg 88 37.3 4.2 51.1 0.3 0.4 0.1 30.0 -54.4
pair MRmean RSIhist pos-neg 39 16.5 4.1 53.8 0.3 0.5 0.1 16.8 -32.0
pair RSIhist MRmean pos-neg 39 16.5 4.1 53.8 0.3 0.5 0.1 16.8 -32.0
pair RSIhist LWTI neg-pos 83 35.2 4.0 49.4 0.3 0.4 0.1 23.8 -50.9
pair LWTI RSIhist neg-pos 83 35.2 4.0 49.4 0.3 0.4 0.1 23.8 -50.9
pair MACDhist MACD pos-neg 58 24.6 3.8 48.3 0.3 0.5 0.1 19.5 -42.4
pair MACD MACDhist pos-neg 58 24.6 3.8 48.3 0.3 0.5 0.1 19.5 -42.4
pair LWTI RSmean pos-neg 52 22.0 3.7 53.8 0.3 0.4 0.1 29.8 -45.3
pair RSmean LWTI pos-neg 52 22.0 3.7 53.8 0.3 0.4 0.1 29.8 -45.3
single SLmean SLmean neg-neg 99 41.9 3.3 51.5 0.3 0.4 0.1 27.8 -52.3
single LWTI LWTI neg-neg 53 22.5 2.9 52.8 0.2 0.3 0.1 29.6 -45.3
pair LWTI MRmean neg-pos 48 20.3 2.9 45.8 0.2 0.4 0.1 27.7 -35.9
pair MRmean LWTI neg-pos 48 20.3 2.9 45.8 0.2 0.4 0.1 27.7 -35.9
pair RSIhist MACD pos-neg 72 30.5 2.7 48.6 0.2 0.4 0.1 20.7 -49.3
pair MACD RSIhist pos-neg 72 30.5 2.7 48.6 0.2 0.4 0.1 20.7 -49.3
pair RSIhist RSI pos-neg 56 23.7 2.1 50.0 0.2 0.3 0.0 19.3 -51.7
pair RSI RSIhist pos-neg 56 23.7 2.1 50.0 0.2 0.3 0.0 19.3 -51.7
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 20.8 0.9 51.0 0.2 0.3 0.0 30.2 -45.3
pair LWTI MACDhist neg-neg 49 20.8 0.9 51.0 0.2 0.3 0.0 30.2 -45.3
pair MACDhist RSIhist neg-pos 32 13.6 0.7 53.1 0.2 0.2 0.0 27.5 -36.5
pair RSIhist MACDhist neg-pos 32 13.6 0.7 53.1 0.2 0.2 0.0 27.5 -36.5
pair SLmean MACDhist neg-neg 82 34.7 0.0 48.8 0.1 0.2 0.0 28.3 -52.3
pair MACDhist SLmean neg-neg 82 34.7 0.0 48.8 0.1 0.2 0.0 28.3 -52.3
pair MRmean MACD neg-pos 34 14.4 -0.1 41.2 0.1 0.2 -0.0 24.6 -39.3
pair MACD MRmean neg-pos 34 14.4 -0.1 41.2 0.1 0.2 -0.0 24.6 -39.3
pair MRmean RSmean neg-neg 16 6.8 -0.5 50.0 0.0 0.1 -0.0 13.8 -16.7
pair RSmean MRmean neg-neg 16 6.8 -0.5 50.0 0.0 0.1 -0.0 13.8 -16.7
pair SLmean MRmean neg-neg 77 32.6 -1.0 48.1 0.1 0.2 -0.0 30.1 -52.3
pair MRmean SLmean neg-neg 77 32.6 -1.0 48.1 0.1 0.2 -0.0 30.1 -52.3
pair RSI SLmean neg-neg 58 24.6 -1.1 48.3 0.1 0.2 -0.0 32.2 -50.7
pair SLmean RSI neg-neg 58 24.6 -1.1 48.3 0.1 0.2 -0.0 32.2 -50.7
pair SLmean MACD neg-neg 49 20.8 -1.3 53.1 0.1 0.2 -0.0 32.3 -52.3
pair MACD SLmean neg-neg 49 20.8 -1.3 53.1 0.1 0.2 -0.0 32.3 -52.3
pair RSmean SLmean neg-neg 17 7.2 -2.0 47.1 -0.1 -0.2 -0.1 13.6 -18.5
pair SLmean RSmean neg-neg 17 7.2 -2.0 47.1 -0.1 -0.2 -0.1 13.6 -18.5
pair LWTI SLmean neg-neg 33 14.0 -3.0 51.5 0.1 0.1 -0.1 32.9 -42.8
pair SLmean LWTI neg-neg 33 14.0 -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 RSI MRmean neg-pos 23 9.7 -6.0 39.1 -0.2 -0.4 -0.1 21.8 -39.4
pair MRmean RSI neg-pos 23 9.7 -6.0 39.1 -0.2 -0.4 -0.1 21.8 -39.4
pair RSIhist RSmean neg-neg 16 6.8 -7.4 37.5 -0.5 -0.9 -0.3 14.0 -21.3
pair RSmean RSIhist neg-neg 16 6.8 -7.4 37.5 -0.5 -0.9 -0.3 14.0 -21.3
pair MACD LWTI pos-neg 16 6.8 -9.9 37.5 -0.4 -0.6 -0.4 22.2 -24.0
pair LWTI MACD pos-neg 16 6.8 -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 MACDhist MRmean neg-pos 3 1.3 -12.3 33.3 -0.1 -0.4 -0.7 51.7 -17.0
pair MRmean MACDhist neg-pos 3 1.3 -12.3 33.3 -0.1 -0.4 -0.7 51.7 -17.0
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 8.1 -15.3 42.1 -0.4 -0.5 -0.6 31.1 -24.8
pair LWTI RSIhist pos-neg 19 8.1 -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 11.6% | Win 57%
Sharpe 0.60 | Sortino 1.29 | Calmar 0.3
Vol 22% | MDD -34.9%
Months 126M (53%)
CAGR 20.1% | Win 64%
Sharpe 1.15 | Sortino 1.83 | Calmar 1.2
Vol 17% | MDD -16.7%
Months 22M (9%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR 49.7% | Win 73%
Sharpe 1.59 | Sortino 3.26 | Calmar 5.3
Vol 28% | MDD -9.3%
Months 11M (5%)
CAGR -1.0% | Win 48%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 30% | MDD -52.3%
Months 77M (33%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
SLmean
only
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 59%
Sharpe 0.65 | Sortino 1.33 | Calmar 0.4
Vol 21% | MDD -31.2%
Months 143M (61%)
CAGR 23.7% | Win 40%
Sharpe 0.95 | Sortino 3.11 | Calmar 3.0
Vol 25% | MDD -8.0%
Months 5M (2%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR 5.3% | Win 51%
Sharpe 0.32 | Sortino 0.48 | Calmar 0.1
Vol 32% | MDD -52.7%
Months 72M (30%)
CAGR -0.5% | Win 50%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.0
Vol 14% | MDD -16.7%
Months 16M (7%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
RSmean
only
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (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 9.8% | Win 57%
Sharpe 0.54 | Sortino 1.08 | Calmar 0.3
Vol 21% | MDD -38.9%
Months 124M (52%)
CAGR 29.5% | Win 62%
Sharpe 1.32 | Sortino 3.35 | Calmar 2.4
Vol 22% | MDD -12.2%
Months 24M (10%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR -0.1% | Win 41%
Sharpe 0.12 | Sortino 0.23 | Calmar -0.0
Vol 25% | MDD -39.3%
Months 34M (14%)
CAGR 7.0% | Win 57%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.1
Vol 33% | MDD -54.4%
Months 54M (23%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
MACD
only
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (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 13.6% | Win 59%
Sharpe 0.70 | Sortino 1.42 | Calmar 0.6
Vol 22% | MDD -24.4%
Months 138M (58%)
CAGR 1.8% | Win 40%
Sharpe 0.18 | Sortino 0.43 | Calmar 0.2
Vol 19% | MDD -10.8%
Months 10M (4%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR -6.0% | Win 39%
Sharpe -0.18 | Sortino -0.40 | Calmar -0.2
Vol 22% | MDD -39.4%
Months 23M (10%)
CAGR 8.1% | Win 55%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 32% | MDD -52.9%
Months 65M (28%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
RSI
only
CAGR 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 15.3% | Win 60%
Sharpe 0.75 | Sortino 1.57 | Calmar 0.8
Vol 22% | MDD -19.3%
Months 108M (46%)
CAGR 6.3% | Win 52%
Sharpe 0.42 | Sortino 0.79 | Calmar 0.2
Vol 19% | MDD -31.1%
Months 40M (17%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR -12.3% | Win 33%
Sharpe -0.09 | Sortino -0.40 | Calmar -0.7
Vol 52% | MDD -17.0%
Months 3M (1%)
CAGR 4.9% | Win 52%
Sharpe 0.31 | Sortino 0.44 | Calmar 0.1
Vol 29% | MDD -54.4%
Months 85M (36%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
MACDhist
only
CAGR 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 16.1% | Win 60%
Sharpe 0.77 | Sortino 1.76 | Calmar 0.6
Vol 23% | MDD -25.6%
Months 109M (46%)
CAGR 4.1% | Win 54%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 17% | MDD -32.0%
Months 39M (16%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (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 8.5% | Win 51%
Sharpe 0.43 | Sortino 0.66 | Calmar 0.2
Vol 29% | MDD -34.4%
Months 78M (33%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
RSIhist
only
CAGR 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 14.8% | Win 60%
Sharpe 0.74 | Sortino 1.50 | Calmar 0.6
Vol 22% | MDD -23.5%
Months 135M (57%)
CAGR -5.8% | Win 38%
Sharpe -0.27 | Sortino -0.63 | Calmar -0.3
Vol 17% | MDD -19.2%
Months 13M (6%)
CAGR 12.8% | Win 58%
Sharpe 0.67 | Sortino 1.38 | Calmar 0.4
Vol 21% | MDD -32.6%
Months 148M (63%)
MRmean
neg
CAGR 2.9% | Win 46%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 28% | MDD -35.9%
Months 48M (20%)
CAGR 5.9% | Win 57%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 33% | MDD -45.3%
Months 40M (17%)
CAGR 4.2% | Win 51%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 30% | MDD -54.4%
Months 88M (37%)
LWTI
only
CAGR 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 13.5% | Win 59%
Sharpe 0.67 | Sortino 1.44 | Calmar 0.4
Vol 22% | MDD -35.8%
Months 133M (56%)
CAGR 39.4% | Win 50%
Sharpe 1.33 | Sortino 4.29 | Calmar 24.7
Vol 27% | MDD -1.6%
Months 4M (2%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
SLmean
neg
CAGR 4.5% | Win 52%
Sharpe 0.30 | Sortino 0.42 | Calmar 0.1
Vol 30% | MDD -50.6%
Months 82M (35%)
CAGR -2.0% | Win 47%
Sharpe -0.08 | Sortino -0.16 | Calmar -0.1
Vol 14% | MDD -18.5%
Months 17M (7%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
RSmean
only
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (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 7.4% | Win 56%
Sharpe 0.43 | Sortino 0.89 | Calmar 0.2
Vol 22% | MDD -35.2%
Months 108M (46%)
CAGR 43.7% | Win 69%
Sharpe 1.61 | Sortino 3.97 | Calmar 3.1
Vol 24% | MDD -14.2%
Months 29M (12%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
SLmean
neg
CAGR 8.1% | Win 50%
Sharpe 0.45 | Sortino 0.85 | Calmar 0.2
Vol 23% | MDD -38.2%
Months 50M (21%)
CAGR -1.3% | Win 53%
Sharpe 0.12 | Sortino 0.16 | Calmar -0.0
Vol 32% | MDD -52.3%
Months 49M (21%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
MACD
only
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (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 10.8% | Win 57%
Sharpe 0.57 | Sortino 1.21 | Calmar 0.4
Vol 22% | MDD -28.6%
Months 120M (51%)
CAGR 41.4% | Win 71%
Sharpe 1.50 | Sortino 3.58 | Calmar 4.0
Vol 25% | MDD -10.2%
Months 17M (7%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
SLmean
neg
CAGR 10.0% | Win 56%
Sharpe 0.57 | Sortino 1.10 | Calmar 0.3
Vol 20% | MDD -37.8%
Months 41M (17%)
CAGR -1.1% | Win 48%
Sharpe 0.13 | Sortino 0.18 | Calmar -0.0
Vol 32% | MDD -50.7%
Months 58M (25%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
RSI
only
CAGR 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 13.3% | Win 58%
Sharpe 0.66 | Sortino 1.44 | Calmar 0.5
Vol 23% | MDD -29.1%
Months 94M (40%)
CAGR 16.2% | Win 58%
Sharpe 0.78 | Sortino 1.66 | Calmar 0.6
Vol 22% | MDD -25.1%
Months 43M (18%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
SLmean
neg
CAGR 21.0% | Win 65%
Sharpe 0.87 | Sortino 1.56 | Calmar 1.2
Vol 26% | MDD -17.5%
Months 17M (7%)
CAGR 0.0% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 28% | MDD -52.3%
Months 82M (35%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
MACDhist
only
CAGR 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.9% | Win 59%
Sharpe 0.74 | Sortino 1.73 | Calmar 0.6
Vol 24% | MDD -26.0%
Months 109M (46%)
CAGR 7.7% | Win 57%
Sharpe 0.52 | Sortino 0.78 | Calmar 0.5
Vol 17% | MDD -14.9%
Months 28M (12%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (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 6.7% | Win 51%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.2
Vol 27% | MDD -43.4%
Months 89M (38%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
RSIhist
only
CAGR 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 14.4% | Win 59%
Sharpe 0.71 | Sortino 1.49 | Calmar 0.6
Vol 22% | MDD -25.3%
Months 117M (50%)
CAGR 13.3% | Win 55%
Sharpe 0.64 | Sortino 1.60 | Calmar 0.9
Vol 24% | MDD -14.2%
Months 20M (8%)
CAGR 14.2% | Win 58%
Sharpe 0.70 | Sortino 1.52 | Calmar 0.5
Vol 22% | MDD -26.5%
Months 137M (58%)
SLmean
neg
CAGR 6.6% | Win 52%
Sharpe 0.38 | Sortino 0.58 | Calmar 0.2
Vol 25% | MDD -42.4%
Months 66M (28%)
CAGR -3.0% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.1
Vol 33% | MDD -42.8%
Months 33M (14%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 99M (42%)
LWTI
only
CAGR 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 9.3% | Win 56%
Sharpe 0.51 | Sortino 1.01 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 153M (65%)
CAGR 11.6% | Win 58%
Sharpe 0.50 | Sortino 0.70 | Calmar 0.2
Vol 33% | MDD -52.9%
Months 62M (26%)
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (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 3.4
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 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (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 10.0% | Win 56%
Sharpe 0.54 | Sortino 1.13 | Calmar 0.2
Vol 22% | MDD -40.3%
Months 149M (63%)
CAGR 10.0% | Win 56%
Sharpe 0.46 | Sortino 0.63 | Calmar 0.2
Vol 32% | MDD -52.7%
Months 66M (28%)
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (91%)
RSmean
neg
CAGR 18.6% | Win 58%
Sharpe 1.19 | Sortino 4.28 | 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 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.4% | Win 53%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 28% | MDD -52.9%
Months 104M (44%)
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (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 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.5% | Win 58%
Sharpe 0.52 | Sortino 0.91 | Calmar 0.3
Vol 25% | MDD -35.1%
Months 114M (48%)
CAGR 9.4% | Win 55%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 26% | MDD -39.4%
Months 101M (43%)
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (91%)
RSmean
neg
CAGR 55.9% | Win 80%
Sharpe 2.25 | Sortino 0.00 | Calmar 17.3
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 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.1% | Win 57%
Sharpe 0.59 | Sortino 1.03 | Calmar 0.3
Vol 24% | MDD -41.7%
Months 163M (69%)
CAGR 3.7% | Win 54%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 52M (22%)
CAGR 10.0% | Win 56%
Sharpe 0.50 | Sortino 0.80 | Calmar 0.2
Vol 26% | MDD -52.9%
Months 215M (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 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 7.4% | Win 54%
Sharpe 0.43 | Sortino 0.90 | Calmar 0.1
Vol 22% | MDD -51.2%
Months 136M (58%)
CAGR 9.0% | Win 50%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.4
Vol 22% | MDD -24.5%
Months 22M (9%)
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (67%)
MACD
neg
CAGR 29.8% | Win 68%
Sharpe 1.48 | Sortino 2.89 | Calmar 2.6
Vol 19% | MDD -11.6%
Months 25M (11%)
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 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 9.9% | Win 57%
Sharpe 0.51 | Sortino 1.07 | Calmar 0.3
Vol 23% | MDD -28.7%
Months 100M (42%)
CAGR 3.8% | Win 48%
Sharpe 0.29 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -42.4%
Months 58M (25%)
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (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 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.9% | Win 58%
Sharpe 0.60 | Sortino 1.34 | Calmar 0.4
Vol 23% | MDD -28.6%
Months 86M (36%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.1
Vol 21% | MDD -49.3%
Months 72M (30%)
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (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 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.8% | Win 56%
Sharpe 0.53 | Sortino 1.10 | Calmar 0.2
Vol 22% | MDD -40.2%
Months 142M (60%)
CAGR -9.9% | Win 38%
Sharpe -0.36 | Sortino -0.58 | Calmar -0.4
Vol 22% | MDD -24.0%
Months 16M (7%)
CAGR 7.6% | Win 54%
Sharpe 0.44 | Sortino 0.88 | Calmar 0.2
Vol 22% | MDD -45.6%
Months 158M (67%)
MACD
neg
CAGR 17.7% | Win 58%
Sharpe 0.73 | Sortino 0.99 | Calmar 0.5
Vol 28% | MDD -33.3%
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 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 13.4% | Win 59%
Sharpe 0.66 | Sortino 1.37 | Calmar 0.5
Vol 23% | MDD -25.8%
Months 109M (46%)
CAGR 5.0% | Win 52%
Sharpe 0.36 | Sortino 0.71 | Calmar 0.1
Vol 18% | MDD -42.1%
Months 52M (22%)
CAGR 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (68%)
RSI
neg
CAGR 89.9% | Win 100%
Sharpe 3.05 | 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 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
CAGR 5.3% | Win 52%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -58.3%
Months 125M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.4% | Win 60%
Sharpe 0.74 | Sortino 1.69 | Calmar 0.7
Vol 23% | MDD -21.3%
Months 105M (44%)
CAGR 2.1% | Win 50%
Sharpe 0.20 | Sortino 0.35 | Calmar 0.0
Vol 19% | MDD -51.7%
Months 56M (24%)
CAGR 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 12.3% | Win 58%
Sharpe 0.64 | Sortino 1.31 | Calmar 0.3
Vol 22% | MDD -36.1%
Months 152M (64%)
CAGR -14.7% | Win 33%
Sharpe -0.99 | Sortino -2.15 | Calmar -0.9
Vol 15% | MDD -15.5%
Months 9M (4%)
CAGR 10.6% | Win 56%
Sharpe 0.57 | Sortino 1.19 | Calmar 0.2
Vol 22% | MDD -43.0%
Months 161M (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 (19%)
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 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 16.6% | Win 61%
Sharpe 0.77 | Sortino 1.72 | Calmar 1.0
Vol 23% | MDD -17.1%
Months 87M (37%)
CAGR 7.0% | Win 54%
Sharpe 0.41 | Sortino 0.68 | Calmar 0.3
Vol 22% | MDD -20.4%
Months 24M (10%)
CAGR 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
MACDhist
neg
CAGR 0.7% | Win 53%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -36.5%
Months 32M (14%)
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 (53%)
RSIhist
only
CAGR 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 13.9% | Win 59%
Sharpe 0.67 | Sortino 1.40 | Calmar 0.7
Vol 23% | MDD -20.7%
Months 107M (45%)
CAGR 31.1% | Win 75%
Sharpe 1.22 | Sortino 0.00 | Calmar 4.8
Vol 24% | MDD -6.4%
Months 4M (2%)
CAGR 14.4% | Win 60%
Sharpe 0.70 | Sortino 1.45 | Calmar 0.6
Vol 23% | MDD -25.8%
Months 111M (47%)
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 (53%)
LWTI
only
CAGR 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (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 18.2% | Win 62%
Sharpe 0.84 | Sortino 1.90 | Calmar 1.1
Vol 23% | MDD -16.5%
Months 100M (42%)
CAGR -15.3% | Win 42%
Sharpe -0.38 | Sortino -0.51 | Calmar -0.6
Vol 31% | MDD -24.8%
Months 19M (8%)
CAGR 12.1% | Win 59%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.3
Vol 24% | MDD -36.5%
Months 119M (50%)
RSIhist
neg
CAGR 4.0% | Win 49%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -50.9%
Months 83M (35%)
CAGR 14.7% | Win 59%
Sharpe 0.62 | Sortino 0.93 | Calmar 0.6
Vol 29% | MDD -24.0%
Months 34M (14%)
CAGR 7.0% | Win 52%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.2
Vol 25% | MDD -44.3%
Months 117M (50%)
LWTI
only
CAGR 11.5% | Win 56%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.2
Vol 23% | MDD -50.9%
Months 183M (78%)
CAGR 2.9% | Win 53%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.1
Vol 30% | MDD -45.3%
Months 53M (22%)