XTL - State Street SPDR S&P Telecom ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

475.9%

Best CAGR

52

Total Months

15.0%

Avg CAGR

XTL 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 XTL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean MACDhist neg-pos 1 0.6 475.9 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.6 475.9 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MACD neg-pos 2 1.1 222.5 100.0 4.8 0.0 0.0 26.1 0.0
pair MACD MACDhist neg-pos 2 1.1 222.5 100.0 4.8 0.0 0.0 26.1 0.0
pair MRmean MACDhist neg-pos 2 1.1 186.3 100.0 3.6 0.0 0.0 31.3 0.0
pair MACDhist MRmean neg-pos 2 1.1 186.3 100.0 3.6 0.0 0.0 31.3 0.0
pair RSI MACDhist neg-pos 2 1.1 150.7 100.0 2.7 0.0 0.0 36.8 0.0
pair MACDhist RSI neg-pos 2 1.1 150.7 100.0 2.7 0.0 0.0 36.8 0.0
pair RSI MACD pos-neg 17 9.4 62.3 82.4 2.2 3.1 6.4 23.8 -9.7
pair MACD RSI pos-neg 17 9.4 62.3 82.4 2.2 3.1 6.4 23.8 -9.7
pair RSIhist MACDhist pos-neg 17 9.4 43.5 76.5 2.1 7.2 12.5 17.9 -3.5
pair MACDhist RSIhist pos-neg 17 9.4 43.5 76.5 2.1 7.2 12.5 17.9 -3.5
pair RSIhist RSI neg-neg 39 21.5 38.5 69.2 1.4 2.8 2.2 25.7 -17.7
pair RSI RSIhist neg-neg 39 21.5 38.5 69.2 1.4 2.8 2.2 25.7 -17.7
pair SLmean MACDhist neg-pos 12 6.6 38.3 75.0 2.0 5.7 11.0 17.0 -3.5
pair MACDhist SLmean neg-pos 12 6.6 38.3 75.0 2.0 5.7 11.0 17.0 -3.5
pair RSIhist LWTI neg-neg 15 8.3 37.3 66.7 1.2 2.5 3.2 30.2 -11.7
pair LWTI RSIhist neg-neg 15 8.3 37.3 66.7 1.2 2.5 3.2 30.2 -11.7
pair SLmean LWTI neg-neg 15 8.3 37.0 66.7 1.2 2.6 3.4 30.3 -10.9
pair LWTI SLmean neg-neg 15 8.3 37.0 66.7 1.2 2.6 3.4 30.3 -10.9
pair RSI LWTI neg-neg 16 8.8 34.9 62.5 1.2 2.6 2.3 28.7 -14.9
pair LWTI RSI neg-neg 16 8.8 34.9 62.5 1.2 2.6 2.3 28.7 -14.9
pair RSmean RSI pos-neg 40 22.1 34.4 70.0 1.3 2.9 2.1 24.6 -16.3
pair RSI RSmean pos-neg 40 22.1 34.4 70.0 1.3 2.9 2.1 24.6 -16.3
pair SLmean RSI neg-neg 39 21.5 33.5 66.7 1.2 2.4 1.9 26.0 -17.7
pair RSI SLmean neg-neg 39 21.5 33.5 66.7 1.2 2.4 1.9 26.0 -17.7
pair MRmean RSI neg-neg 41 22.7 28.2 63.4 1.1 2.2 1.5 26.5 -18.4
pair RSI MRmean neg-neg 41 22.7 28.2 63.4 1.1 2.2 1.5 26.5 -18.4
pair RSIhist RSmean pos-neg 62 34.3 28.2 71.0 1.2 1.9 1.7 22.6 -16.8
pair RSmean RSIhist pos-neg 62 34.3 28.2 71.0 1.2 1.9 1.7 22.6 -16.8
pair SLmean RSmean neg-pos 49 27.1 26.5 73.5 1.1 1.9 1.6 24.2 -16.1
pair RSmean SLmean neg-pos 49 27.1 26.5 73.5 1.1 1.9 1.6 24.2 -16.1
single RSI RSI neg-neg 51 28.2 23.7 62.7 1.0 2.0 1.3 24.5 -18.4
pair RSmean MRmean neg-pos 42 23.2 21.3 69.0 0.8 2.4 1.3 27.2 -16.1
pair MRmean RSmean neg-pos 42 23.2 21.3 69.0 0.8 2.4 1.3 27.2 -16.1
pair LWTI MACDhist pos-pos 74 40.9 20.7 66.2 1.1 2.1 1.0 18.2 -20.9
pair MACDhist LWTI pos-pos 74 40.9 20.7 66.2 1.1 2.1 1.0 18.2 -20.9
single MACDhist MACDhist pos-pos 74 40.9 20.7 66.2 1.1 2.1 1.0 18.2 -20.9
pair MACDhist RSI neg-neg 49 27.1 20.2 61.2 0.9 1.7 1.1 24.0 -18.4
pair RSI MACDhist neg-neg 49 27.1 20.2 61.2 0.9 1.7 1.1 24.0 -18.4
pair LWTI RSI neg-pos 35 19.3 18.9 62.9 0.9 1.6 1.1 22.7 -17.7
pair RSI LWTI neg-pos 35 19.3 18.9 62.9 0.9 1.6 1.1 22.7 -17.7
pair MACDhist RSI pos-pos 72 39.8 18.2 65.3 1.1 1.9 0.9 17.5 -20.9
pair RSI MACDhist pos-pos 72 39.8 18.2 65.3 1.1 1.9 0.9 17.5 -20.9
pair MACDhist RSmean pos-pos 73 40.3 18.1 65.8 1.1 1.9 0.9 17.4 -20.9
pair RSmean MACDhist pos-pos 73 40.3 18.1 65.8 1.1 1.9 0.9 17.4 -20.9
pair MRmean MACD pos-neg 17 9.4 18.1 64.7 1.0 2.5 2.6 17.7 -7.0
pair MACD MRmean pos-neg 17 9.4 18.1 64.7 1.0 2.5 2.6 17.7 -7.0
pair MRmean LWTI neg-neg 17 9.4 17.9 58.8 0.7 1.8 1.2 30.9 -14.9
pair LWTI MRmean neg-neg 17 9.4 17.9 58.8 0.7 1.8 1.2 30.9 -14.9
pair SLmean RSIhist pos-neg 20 11.0 17.9 60.0 1.1 3.0 2.8 15.8 -6.4
pair RSIhist SLmean pos-neg 20 11.0 17.9 60.0 1.1 3.0 2.8 15.8 -6.4
pair MACDhist MRmean pos-pos 72 39.8 17.8 65.3 1.0 1.8 0.8 17.5 -20.9
pair MRmean MACDhist pos-pos 72 39.8 17.8 65.3 1.0 1.8 0.8 17.5 -20.9
pair MACDhist SLmean pos-pos 62 34.3 17.5 64.5 1.0 1.8 0.9 18.4 -20.1
pair SLmean MACDhist pos-pos 62 34.3 17.5 64.5 1.0 1.8 0.9 18.4 -20.1
pair MACD MACDhist pos-pos 72 39.8 17.4 65.3 1.0 1.8 0.8 17.5 -20.9
pair MACDhist MACD pos-pos 72 39.8 17.4 65.3 1.0 1.8 0.8 17.5 -20.9
pair RSmean LWTI pos-pos 131 72.4 16.2 65.6 0.9 1.5 0.7 17.9 -24.3
pair LWTI RSmean pos-pos 131 72.4 16.2 65.6 0.9 1.5 0.7 17.9 -24.3
pair MACD RSmean pos-neg 31 17.1 15.9 61.3 0.8 1.6 1.0 22.2 -16.3
pair RSmean MACD pos-neg 31 17.1 15.9 61.3 0.8 1.6 1.0 22.2 -16.3
single RSmean RSmean pos-pos 151 83.4 15.5 63.6 0.8 1.4 0.7 19.6 -22.7
pair MACD RSmean pos-pos 120 66.3 15.4 64.2 0.8 1.3 0.7 19.0 -22.6
pair RSmean MACD pos-pos 120 66.3 15.4 64.2 0.8 1.3 0.7 19.0 -22.6
pair RSIhist MACD pos-neg 58 32.0 15.1 65.5 0.8 1.1 0.9 20.7 -16.8
pair MACD RSIhist pos-neg 58 32.0 15.1 65.5 0.8 1.1 0.9 20.7 -16.8
pair RSIhist MRmean neg-neg 56 30.9 14.8 60.7 0.7 1.3 0.5 25.3 -28.8
pair MRmean RSIhist neg-neg 56 30.9 14.8 60.7 0.7 1.3 0.5 25.3 -28.8
pair MACDhist RSIhist pos-pos 57 31.5 14.6 63.2 0.8 1.6 0.6 18.2 -22.9
pair RSIhist MACDhist pos-pos 57 31.5 14.6 63.2 0.8 1.6 0.6 18.2 -22.9
pair SLmean LWTI pos-pos 105 58.0 14.4 61.9 0.9 1.5 0.7 17.0 -20.4
pair LWTI SLmean pos-pos 105 58.0 14.4 61.9 0.9 1.5 0.7 17.0 -20.4
pair MRmean MACD neg-pos 30 16.6 14.3 66.7 0.7 1.2 0.9 25.4 -16.1
pair MACD MRmean neg-pos 30 16.6 14.3 66.7 0.7 1.2 0.9 25.4 -16.1
single RSIhist RSIhist neg-neg 85 47.0 13.9 61.2 0.7 1.1 0.5 22.3 -28.8
pair MRmean RSmean pos-pos 109 60.2 13.4 61.5 0.9 1.4 0.8 15.8 -16.5
pair RSmean MRmean pos-pos 109 60.2 13.4 61.5 0.9 1.4 0.8 15.8 -16.5
pair LWTI MRmean pos-pos 115 63.5 13.2 62.6 0.8 1.3 0.6 16.7 -23.2
pair MRmean LWTI pos-pos 115 63.5 13.2 62.6 0.8 1.3 0.6 16.7 -23.2
pair SLmean MACD neg-pos 40 22.1 13.2 67.5 0.7 1.0 0.8 23.0 -16.1
pair MACD SLmean neg-pos 40 22.1 13.2 67.5 0.7 1.0 0.8 23.0 -16.1
pair MACDhist RSmean pos-neg 78 43.1 13.1 61.5 0.7 1.1 0.8 21.5 -16.9
pair RSmean MACDhist pos-neg 78 43.1 13.1 61.5 0.7 1.1 0.8 21.5 -16.9
pair SLmean RSIhist neg-neg 65 35.9 12.7 61.5 0.6 1.1 0.4 24.0 -28.8
pair RSIhist SLmean neg-neg 65 35.9 12.7 61.5 0.6 1.1 0.4 24.0 -28.8
pair RSIhist LWTI pos-pos 89 49.2 12.2 61.8 0.8 1.2 0.5 17.3 -24.0
pair LWTI RSIhist pos-pos 89 49.2 12.2 61.8 0.8 1.2 0.5 17.3 -24.0
pair MRmean RSIhist pos-neg 29 16.0 12.2 62.1 0.8 1.2 0.7 15.2 -18.7
pair RSIhist MRmean pos-neg 29 16.0 12.2 62.1 0.8 1.2 0.7 15.2 -18.7
pair LWTI MACD neg-neg 13 7.2 12.1 53.8 0.6 1.1 0.8 26.7 -14.9
pair MACD LWTI neg-neg 13 7.2 12.1 53.8 0.6 1.1 0.8 26.7 -14.9
pair LWTI MACD pos-pos 124 68.5 12.1 62.9 0.7 1.1 0.5 17.7 -24.0
pair MACD LWTI pos-pos 124 68.5 12.1 62.9 0.7 1.1 0.5 17.7 -24.0
pair MRmean SLmean neg-neg 56 30.9 12.0 58.9 0.6 1.1 0.4 25.4 -28.8
pair SLmean MRmean neg-neg 56 30.9 12.0 58.9 0.6 1.1 0.4 25.4 -28.8
pair MRmean SLmean pos-pos 107 59.1 11.7 58.9 0.7 1.3 0.4 16.8 -26.6
pair SLmean MRmean pos-pos 107 59.1 11.7 58.9 0.7 1.3 0.4 16.8 -26.6
pair RSI SLmean pos-pos 100 55.2 11.6 59.0 0.7 1.3 0.4 17.2 -30.1
pair SLmean RSI pos-pos 100 55.2 11.6 59.0 0.7 1.3 0.4 17.2 -30.1
pair RSI MRmean pos-pos 110 60.8 11.5 60.0 0.7 1.2 0.5 16.9 -23.2
pair MRmean RSI pos-pos 110 60.8 11.5 60.0 0.7 1.2 0.5 16.9 -23.2
pair RSIhist MACD neg-neg 27 14.9 11.4 51.9 0.5 1.1 0.4 25.7 -28.8
pair MACD RSIhist neg-neg 27 14.9 11.4 51.9 0.5 1.1 0.4 25.7 -28.8
single MRmean MRmean pos-pos 120 66.3 11.1 60.0 0.7 1.2 0.5 16.6 -23.2
single LWTI LWTI pos-pos 159 87.8 11.0 61.0 0.7 1.0 0.3 18.6 -31.2
single MACD MACD pos-pos 133 73.5 11.0 60.9 0.7 1.0 0.5 18.8 -24.0
single SLmean SLmean neg-neg 69 38.1 10.9 60.9 0.6 0.9 0.4 23.7 -28.8
pair RSmean LWTI pos-neg 20 11.0 10.9 50.0 0.5 1.1 0.7 28.8 -14.9
pair LWTI RSmean pos-neg 20 11.0 10.9 50.0 0.5 1.1 0.7 28.8 -14.9
pair RSIhist MRmean pos-pos 91 50.3 10.8 59.3 0.7 1.2 0.4 17.1 -25.7
pair MRmean RSIhist pos-pos 91 50.3 10.8 59.3 0.7 1.2 0.4 17.1 -25.7
pair SLmean RSmean pos-pos 102 56.4 10.6 58.8 0.7 1.1 0.3 16.9 -36.9
pair RSmean SLmean pos-pos 102 56.4 10.6 58.8 0.7 1.1 0.3 16.9 -36.9
pair RSIhist RSI pos-pos 84 46.4 10.6 59.5 0.7 1.1 0.3 17.5 -31.4
pair RSI RSIhist pos-pos 84 46.4 10.6 59.5 0.7 1.1 0.3 17.5 -31.4
pair benchmark___benchmark_ benchmark-benchmark 181 100.0 10.3 59.1 0.6 1.0 0.3 19.9 -34.1
pair benchmark___benchmark_ benchmark-benchmark 181 100.0 10.3 59.1 0.6 1.0 0.3 19.9 -34.1
pair SLmean MACD pos-pos 93 51.4 10.0 58.1 0.7 1.1 0.4 16.8 -27.3
pair MACD SLmean pos-pos 93 51.4 10.0 58.1 0.7 1.1 0.4 16.8 -27.3
pair MACD MRmean pos-pos 103 56.9 10.0 59.2 0.7 1.0 0.4 16.5 -23.2
pair MRmean MACD pos-pos 103 56.9 10.0 59.2 0.7 1.0 0.4 16.5 -23.2
single SLmean SLmean pos-pos 112 61.9 9.9 58.0 0.6 1.1 0.2 17.2 -40.7
pair MACD RSI neg-pos 14 7.7 9.6 57.1 0.6 1.1 0.7 20.0 -13.4
pair RSI MACD neg-pos 14 7.7 9.6 57.1 0.6 1.1 0.7 20.0 -13.4
pair RSIhist LWTI neg-pos 70 38.7 9.4 60.0 0.6 0.8 0.3 20.2 -28.8
pair LWTI RSIhist neg-pos 70 38.7 9.4 60.0 0.6 0.8 0.3 20.2 -28.8
pair RSmean RSI pos-pos 111 61.3 9.4 61.3 0.6 0.9 0.3 17.2 -35.3
pair MACD SLmean pos-neg 19 10.5 9.4 57.9 0.6 1.2 0.5 19.7 -18.4
pair SLmean MACD pos-neg 19 10.5 9.4 57.9 0.6 1.2 0.5 19.7 -18.4
pair RSI RSmean pos-pos 111 61.3 9.4 61.3 0.6 0.9 0.3 17.2 -35.3
pair RSI LWTI pos-pos 124 68.5 8.8 60.5 0.6 0.9 0.3 17.3 -31.5
pair LWTI RSI pos-pos 124 68.5 8.8 60.5 0.6 0.9 0.3 17.3 -31.5
single MRmean MRmean neg-neg 61 33.7 8.7 57.4 0.5 0.9 0.3 25.3 -28.8
single MACD MACD neg-neg 48 26.5 8.5 54.2 0.5 0.9 0.3 22.9 -28.8
pair SLmean RSIhist pos-pos 92 50.8 8.2 57.6 0.5 0.9 0.2 17.6 -36.7
pair RSIhist SLmean pos-pos 92 50.8 8.2 57.6 0.5 0.9 0.2 17.6 -36.7
pair RSI MACD neg-neg 34 18.8 8.0 52.9 0.4 0.9 0.4 24.2 -18.1
pair MACD RSI neg-neg 34 18.8 8.0 52.9 0.4 0.9 0.4 24.2 -18.1
pair SLmean MACD neg-neg 29 16.0 7.9 51.7 0.4 0.8 0.3 25.1 -28.8
pair MACD SLmean neg-neg 29 16.0 7.9 51.7 0.4 0.8 0.3 25.1 -28.8
pair RSIhist MACD pos-pos 75 41.4 7.8 57.3 0.5 0.8 0.3 17.2 -28.9
pair MACD RSIhist pos-pos 75 41.4 7.8 57.3 0.5 0.8 0.3 17.2 -28.9
pair MACDhist RSIhist neg-neg 68 37.6 7.5 57.4 0.4 0.7 0.3 23.1 -28.8
pair RSIhist MACDhist neg-neg 68 37.6 7.5 57.4 0.4 0.7 0.3 23.1 -28.8
pair RSmean RSIhist pos-pos 89 49.2 7.4 58.4 0.5 0.8 0.2 17.0 -38.2
pair RSIhist RSmean pos-pos 89 49.2 7.4 58.4 0.5 0.8 0.2 17.0 -38.2
single RSIhist RSIhist pos-pos 96 53.0 7.2 57.3 0.5 0.8 0.2 17.5 -42.6
pair MACD LWTI neg-pos 35 19.3 7.2 54.3 0.4 0.8 0.2 21.7 -28.8
pair LWTI MACD neg-pos 35 19.3 7.2 54.3 0.4 0.8 0.2 21.7 -28.8
pair MRmean RSI pos-neg 10 5.5 7.1 60.0 0.6 0.8 1.0 13.7 -7.0
pair RSI MRmean pos-neg 10 5.5 7.1 60.0 0.6 0.8 1.0 13.7 -7.0
pair MRmean SLmean pos-neg 13 7.2 6.4 69.2 0.5 0.4 0.6 14.8 -11.5
pair SLmean MRmean pos-neg 13 7.2 6.4 69.2 0.5 0.4 0.6 14.8 -11.5
pair SLmean MACDhist neg-neg 57 31.5 5.9 57.9 0.3 0.6 0.2 24.8 -28.8
pair MACDhist SLmean neg-neg 57 31.5 5.9 57.9 0.3 0.6 0.2 24.8 -28.8
pair LWTI MACDhist neg-neg 22 12.2 5.5 45.5 0.3 0.7 0.3 28.0 -16.4
pair MACDhist LWTI neg-neg 22 12.2 5.5 45.5 0.3 0.7 0.3 28.0 -16.4
single LWTI LWTI neg-neg 22 12.2 5.5 45.5 0.3 0.7 0.3 28.0 -16.4
single RSI RSI pos-pos 130 71.8 5.4 57.7 0.4 0.6 0.1 17.6 -46.3
pair LWTI MRmean neg-pos 44 24.3 5.3 56.8 0.3 0.6 0.2 23.1 -28.8
pair MRmean LWTI neg-pos 44 24.3 5.3 56.8 0.3 0.6 0.2 23.1 -28.8
pair MRmean MACDhist neg-neg 59 32.6 5.2 55.9 0.3 0.6 0.2 24.8 -28.8
pair MACDhist MRmean neg-neg 59 32.6 5.2 55.9 0.3 0.6 0.2 24.8 -28.8
pair RSI MACD pos-pos 116 64.1 4.9 57.8 0.4 0.5 0.1 17.4 -44.3
pair MACD RSI pos-pos 116 64.1 4.9 57.8 0.4 0.5 0.1 17.4 -44.3
pair MACD RSIhist neg-pos 21 11.6 4.8 57.1 0.3 0.6 0.2 19.1 -22.0
pair RSIhist MACD neg-pos 21 11.6 4.8 57.1 0.3 0.6 0.2 19.1 -22.0
pair LWTI SLmean neg-pos 54 29.8 4.6 59.3 0.3 0.5 0.2 21.5 -28.8
pair SLmean LWTI neg-pos 54 29.8 4.6 59.3 0.3 0.5 0.2 21.5 -28.8
pair RSIhist RSmean neg-pos 7 3.9 4.0 42.9 0.3 0.6 0.3 25.3 -12.3
pair RSmean RSIhist neg-pos 7 3.9 4.0 42.9 0.3 0.6 0.3 25.3 -12.3
pair MACDhist MACD pos-neg 61 33.7 3.8 55.7 0.3 0.4 0.1 20.2 -25.0
pair MACD MACDhist pos-neg 61 33.7 3.8 55.7 0.3 0.4 0.1 20.2 -25.0
pair MACD MRmean neg-neg 31 17.1 3.6 48.4 0.3 0.5 0.1 25.4 -28.8
pair MRmean MACD neg-neg 31 17.1 3.6 48.4 0.3 0.5 0.1 25.4 -28.8
single MACDhist MACDhist neg-neg 107 59.1 3.6 54.2 0.3 0.5 0.1 20.8 -28.8
pair MACDhist MACD neg-neg 46 25.4 3.5 52.2 0.3 0.5 0.1 21.9 -28.8
pair MACD MACDhist neg-neg 46 25.4 3.5 52.2 0.3 0.5 0.1 21.9 -28.8
pair MACDhist LWTI neg-pos 85 47.0 3.2 56.5 0.3 0.4 0.1 18.8 -28.8
pair SLmean RSmean pos-neg 10 5.5 3.2 50.0 0.2 0.5 0.2 21.0 -13.0
pair RSmean SLmean pos-neg 10 5.5 3.2 50.0 0.2 0.5 0.2 21.0 -13.0
pair LWTI MACDhist neg-pos 85 47.0 3.2 56.5 0.3 0.4 0.1 18.8 -28.8
pair MACDhist MRmean pos-neg 48 26.5 1.8 52.1 0.2 0.3 0.1 14.9 -16.5
pair MRmean MACDhist pos-neg 48 26.5 1.8 52.1 0.2 0.3 0.1 14.9 -16.5
pair MACDhist SLmean pos-neg 50 27.6 1.1 50.0 0.1 0.2 0.0 15.3 -29.9
pair SLmean MACDhist pos-neg 50 27.6 1.1 50.0 0.1 0.2 0.0 15.3 -29.9
pair MACDhist RSIhist neg-pos 39 21.5 -2.8 48.7 -0.1 -0.1 -0.1 16.4 -35.7
pair RSIhist MACDhist neg-pos 39 21.5 -2.8 48.7 -0.1 -0.1 -0.1 16.4 -35.7
pair LWTI MACD pos-neg 9 5.0 -3.3 33.3 0.0 0.1 -0.3 31.1 -11.7
pair MACD LWTI pos-neg 9 5.0 -3.3 33.3 0.0 0.1 -0.3 31.1 -11.7
pair RSI SLmean pos-neg 12 6.6 -3.3 50.0 -0.1 -0.2 -0.2 17.6 -15.1
pair SLmean RSI pos-neg 12 6.6 -3.3 50.0 -0.1 -0.2 -0.2 17.6 -15.1
pair RSIhist RSI pos-neg 46 25.4 -3.5 54.3 -0.1 -0.1 -0.1 17.7 -34.9
pair RSI RSIhist pos-neg 46 25.4 -3.5 54.3 -0.1 -0.1 -0.1 17.7 -34.9
pair MACD RSmean neg-neg 17 9.4 -3.8 41.2 -0.1 -0.1 -0.1 24.4 -28.8
pair RSmean MACD neg-neg 17 9.4 -3.8 41.2 -0.1 -0.1 -0.1 24.4 -28.8
pair RSmean RSI neg-neg 11 6.1 -8.4 36.4 -0.3 -0.4 -0.5 23.0 -17.7
pair RSI RSmean neg-neg 11 6.1 -8.4 36.4 -0.3 -0.4 -0.5 23.0 -17.7
pair MACDhist RSI pos-neg 58 32.0 -8.6 48.3 -0.4 -0.6 -0.2 17.0 -44.7
pair RSI MACDhist pos-neg 58 32.0 -8.6 48.3 -0.4 -0.6 -0.2 17.0 -44.7
pair RSmean MRmean pos-neg 11 6.1 -8.9 45.5 -0.3 -0.5 -0.7 22.9 -13.0
pair MRmean RSmean pos-neg 11 6.1 -8.9 45.5 -0.3 -0.5 -0.7 22.9 -13.0
pair LWTI RSmean neg-pos 28 15.5 -10.6 39.3 -0.4 -0.7 -0.3 20.7 -39.0
pair RSmean LWTI neg-pos 28 15.5 -10.6 39.3 -0.4 -0.7 -0.3 20.7 -39.0
single RSmean RSmean neg-neg 30 16.6 -12.6 36.7 -0.6 -0.9 -0.3 20.2 -43.4
pair SLmean RSI neg-pos 30 16.6 -12.8 53.3 -0.7 -0.8 -0.3 18.2 -36.6
pair RSI SLmean neg-pos 30 16.6 -12.8 53.3 -0.7 -0.8 -0.3 18.2 -36.6
pair RSI RSIhist neg-pos 12 6.6 -14.1 41.7 -0.8 -1.2 -0.8 16.9 -18.8
pair RSIhist RSI neg-pos 12 6.6 -14.1 41.7 -0.8 -1.2 -0.8 16.9 -18.8
pair SLmean RSIhist neg-pos 4 2.2 -14.5 50.0 -0.8 -0.8 -1.5 17.9 -9.4
pair RSIhist SLmean neg-pos 4 2.2 -14.5 50.0 -0.8 -0.8 -1.5 17.9 -9.4
pair MRmean RSmean neg-neg 19 10.5 -14.7 31.6 -0.7 -1.1 -0.5 19.1 -28.8
pair RSmean MRmean neg-neg 19 10.5 -14.7 31.6 -0.7 -1.1 -0.5 19.1 -28.8
pair RSmean RSI neg-pos 19 10.5 -14.9 36.8 -0.8 -1.2 -0.4 19.1 -34.1
pair RSI RSmean neg-pos 19 10.5 -14.9 36.8 -0.8 -1.2 -0.4 19.1 -34.1
pair RSmean RSIhist neg-neg 23 12.7 -17.1 34.8 -0.9 -1.3 -0.5 18.8 -35.2
pair RSIhist RSmean neg-neg 23 12.7 -17.1 34.8 -0.9 -1.3 -0.5 18.8 -35.2
pair MACDhist RSmean neg-neg 29 16.0 -18.1 34.5 -1.1 -1.5 -0.4 17.3 -43.4
pair RSmean MACDhist neg-neg 29 16.0 -18.1 34.5 -1.1 -1.5 -0.4 17.3 -43.4
pair RSmean SLmean neg-neg 20 11.0 -19.5 30.0 -1.0 -1.5 -0.6 19.9 -35.4
pair SLmean RSmean neg-neg 20 11.0 -19.5 30.0 -1.0 -1.5 -0.6 19.9 -35.4
pair MRmean SLmean neg-pos 5 2.8 -22.5 40.0 -1.0 -3.9 -1.2 23.9 -19.2
pair SLmean MRmean neg-pos 5 2.8 -22.5 40.0 -1.0 -3.9 -1.2 23.9 -19.2
pair RSI MRmean neg-pos 20 11.0 -22.5 45.0 -1.2 -1.6 -0.6 19.5 -36.2
pair MRmean RSI neg-pos 20 11.0 -22.5 45.0 -1.2 -1.6 -0.6 19.5 -36.2
pair MACD RSmean neg-pos 13 7.2 -22.8 30.8 -1.9 -2.1 -1.2 12.8 -18.6
pair RSmean MACD neg-pos 13 7.2 -22.8 30.8 -1.9 -2.1 -1.2 12.8 -18.6
pair LWTI MRmean pos-neg 5 2.8 -27.7 0.0 -3.9 -3.9 -2.3 8.1 -11.9
pair MRmean LWTI pos-neg 5 2.8 -27.7 0.0 -3.9 -3.9 -2.3 8.1 -11.9
pair LWTI RSmean neg-neg 2 1.1 -35.8 0.0 -3.6 -3.6 -31.2 12.0 -1.1
pair RSmean LWTI neg-neg 2 1.1 -35.8 0.0 -3.6 -3.6 -31.2 12.0 -1.1
pair LWTI SLmean pos-neg 7 3.9 -39.6 0.0 -4.5 -4.5 -1.6 10.9 -24.9
pair SLmean LWTI pos-neg 7 3.9 -39.6 0.0 -4.5 -4.5 -1.6 10.9 -24.9
pair RSIhist LWTI pos-neg 7 3.9 -40.0 0.0 -4.6 -4.6 -1.6 10.7 -25.4
pair LWTI RSIhist pos-neg 7 3.9 -40.0 0.0 -4.6 -4.6 -1.6 10.7 -25.4
pair MRmean RSIhist neg-pos 5 2.8 -41.3 20.0 -2.7 -4.2 -1.8 18.5 -22.7
pair RSIhist MRmean neg-pos 5 2.8 -41.3 20.0 -2.7 -4.2 -1.8 18.5 -22.7
pair LWTI RSI pos-neg 6 3.3 -45.2 0.0 -4.2 -4.2 -1.8 13.7 -25.4
pair RSI LWTI pos-neg 6 3.3 -45.2 0.0 -4.2 -4.2 -1.8 13.7 -25.4

All Contingency Tables for XTL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.7% | Win 59%
Sharpe 0.74 | Sortino 1.31 | Calmar 0.4
Vol 17% | MDD -26.6%
Months 107M (59%)
CAGR 6.4% | Win 69%
Sharpe 0.49 | Sortino 0.44 | Calmar 0.6
Vol 15% | MDD -11.5%
Months 13M (7%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR -22.5% | Win 40%
Sharpe -0.96 | Sortino -3.92 | Calmar -1.2
Vol 24% | MDD -19.2%
Months 5M (3%)
CAGR 12.0% | Win 59%
Sharpe 0.57 | Sortino 1.06 | Calmar 0.4
Vol 25% | MDD -28.8%
Months 56M (31%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
SLmean
only
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.4% | Win 62%
Sharpe 0.87 | Sortino 1.45 | Calmar 0.8
Vol 16% | MDD -16.5%
Months 109M (60%)
CAGR -8.9% | Win 46%
Sharpe -0.30 | Sortino -0.52 | Calmar -0.7
Vol 23% | MDD -13.0%
Months 11M (6%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR 21.3% | Win 69%
Sharpe 0.85 | Sortino 2.36 | Calmar 1.3
Vol 27% | MDD -16.1%
Months 42M (23%)
CAGR -14.7% | Win 32%
Sharpe -0.73 | Sortino -1.14 | Calmar -0.5
Vol 19% | MDD -28.8%
Months 19M (10%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
RSmean
only
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 10.0% | Win 59%
Sharpe 0.66 | Sortino 1.04 | Calmar 0.4
Vol 16% | MDD -23.2%
Months 103M (57%)
CAGR 18.1% | Win 65%
Sharpe 1.02 | Sortino 2.50 | Calmar 2.6
Vol 18% | MDD -7.0%
Months 17M (9%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR 14.3% | Win 67%
Sharpe 0.65 | Sortino 1.17 | Calmar 0.9
Vol 25% | MDD -16.1%
Months 30M (17%)
CAGR 3.6% | Win 48%
Sharpe 0.26 | Sortino 0.53 | Calmar 0.1
Vol 25% | MDD -28.8%
Months 31M (17%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
MACD
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 11.5% | Win 60%
Sharpe 0.73 | Sortino 1.21 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 110M (61%)
CAGR 7.1% | Win 60%
Sharpe 0.56 | Sortino 0.83 | Calmar 1.0
Vol 14% | MDD -7.0%
Months 10M (6%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR -22.5% | Win 45%
Sharpe -1.20 | Sortino -1.65 | Calmar -0.6
Vol 20% | MDD -36.2%
Months 20M (11%)
CAGR 28.2% | Win 63%
Sharpe 1.07 | Sortino 2.25 | Calmar 1.5
Vol 26% | MDD -18.4%
Months 41M (23%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
RSI
only
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 17.8% | Win 65%
Sharpe 1.03 | Sortino 1.84 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 72M (40%)
CAGR 1.8% | Win 52%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.1
Vol 15% | MDD -16.5%
Months 48M (26%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR 186.3% | Win 100%
Sharpe 3.59 | Sortino 0.00 | Calmar 0.0
Vol 31% | MDD 0.0%
Months 2M (1%)
CAGR 5.2% | Win 56%
Sharpe 0.33 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -28.8%
Months 59M (33%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
MACDhist
only
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.8% | Win 59%
Sharpe 0.69 | Sortino 1.17 | Calmar 0.4
Vol 17% | MDD -25.7%
Months 91M (50%)
CAGR 12.2% | Win 62%
Sharpe 0.83 | Sortino 1.24 | Calmar 0.7
Vol 15% | MDD -18.7%
Months 29M (16%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR -41.3% | Win 20%
Sharpe -2.74 | Sortino -4.21 | Calmar -1.8
Vol 18% | MDD -22.7%
Months 5M (3%)
CAGR 14.8% | Win 61%
Sharpe 0.67 | Sortino 1.26 | Calmar 0.5
Vol 25% | MDD -28.8%
Months 56M (31%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 13.2% | Win 63%
Sharpe 0.83 | Sortino 1.34 | Calmar 0.6
Vol 17% | MDD -23.2%
Months 115M (64%)
CAGR -27.7% | Win 0%
Sharpe -3.90 | Sortino -3.90 | Calmar -2.3
Vol 8% | MDD -11.9%
Months 5M (3%)
CAGR 11.1% | Win 60%
Sharpe 0.72 | Sortino 1.19 | Calmar 0.5
Vol 17% | MDD -23.2%
Months 120M (66%)
MRmean
neg
CAGR 5.3% | Win 57%
Sharpe 0.34 | Sortino 0.58 | Calmar 0.2
Vol 23% | MDD -28.8%
Months 44M (24%)
CAGR 17.9% | Win 59%
Sharpe 0.68 | Sortino 1.83 | Calmar 1.2
Vol 31% | MDD -14.9%
Months 17M (9%)
CAGR 8.7% | Win 57%
Sharpe 0.45 | Sortino 0.88 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 61M (34%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 59%
Sharpe 0.68 | Sortino 1.15 | Calmar 0.3
Vol 17% | MDD -36.9%
Months 102M (56%)
CAGR 3.2% | Win 50%
Sharpe 0.24 | Sortino 0.54 | Calmar 0.2
Vol 21% | MDD -13.0%
Months 10M (6%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR 26.5% | Win 74%
Sharpe 1.10 | Sortino 1.88 | Calmar 1.6
Vol 24% | MDD -16.1%
Months 49M (27%)
CAGR -19.5% | Win 30%
Sharpe -0.98 | Sortino -1.48 | Calmar -0.6
Vol 20% | MDD -35.4%
Months 20M (11%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
RSmean
only
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 58%
Sharpe 0.65 | Sortino 1.10 | Calmar 0.4
Vol 17% | MDD -27.3%
Months 93M (51%)
CAGR 9.4% | Win 58%
Sharpe 0.55 | Sortino 1.21 | Calmar 0.5
Vol 20% | MDD -18.4%
Months 19M (10%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR 13.2% | Win 68%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.8
Vol 23% | MDD -16.1%
Months 40M (22%)
CAGR 7.9% | Win 52%
Sharpe 0.42 | Sortino 0.81 | Calmar 0.3
Vol 25% | MDD -28.8%
Months 29M (16%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
MACD
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.6% | Win 59%
Sharpe 0.72 | Sortino 1.28 | Calmar 0.4
Vol 17% | MDD -30.1%
Months 100M (55%)
CAGR -3.3% | Win 50%
Sharpe -0.11 | Sortino -0.18 | Calmar -0.2
Vol 18% | MDD -15.1%
Months 12M (7%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR -12.8% | Win 53%
Sharpe -0.65 | Sortino -0.79 | Calmar -0.3
Vol 18% | MDD -36.6%
Months 30M (17%)
CAGR 33.5% | Win 67%
Sharpe 1.25 | Sortino 2.42 | Calmar 1.9
Vol 26% | MDD -17.7%
Months 39M (22%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
RSI
only
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 17.5% | Win 64%
Sharpe 0.97 | Sortino 1.80 | Calmar 0.9
Vol 18% | MDD -20.1%
Months 62M (34%)
CAGR 1.1% | Win 50%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 15% | MDD -29.9%
Months 50M (28%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR 38.3% | Win 75%
Sharpe 2.00 | Sortino 5.68 | Calmar 11.0
Vol 17% | MDD -3.5%
Months 12M (7%)
CAGR 5.9% | Win 58%
Sharpe 0.35 | Sortino 0.63 | Calmar 0.2
Vol 25% | MDD -28.8%
Months 57M (32%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
MACDhist
only
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.2% | Win 58%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.2
Vol 18% | MDD -36.7%
Months 92M (51%)
CAGR 17.9% | Win 60%
Sharpe 1.12 | Sortino 3.00 | Calmar 2.8
Vol 16% | MDD -6.4%
Months 20M (11%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR -14.5% | Win 50%
Sharpe -0.80 | Sortino -0.81 | Calmar -1.5
Vol 18% | MDD -9.4%
Months 4M (2%)
CAGR 12.7% | Win 62%
Sharpe 0.62 | Sortino 1.05 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 65M (36%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 14.4% | Win 62%
Sharpe 0.88 | Sortino 1.54 | Calmar 0.7
Vol 17% | MDD -20.4%
Months 105M (58%)
CAGR -39.6% | Win 0%
Sharpe -4.47 | Sortino -4.47 | Calmar -1.6
Vol 11% | MDD -24.9%
Months 7M (4%)
CAGR 9.9% | Win 58%
Sharpe 0.64 | Sortino 1.11 | Calmar 0.2
Vol 17% | MDD -40.7%
Months 112M (62%)
SLmean
neg
CAGR 4.6% | Win 59%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.2
Vol 22% | MDD -28.8%
Months 54M (30%)
CAGR 37.0% | Win 67%
Sharpe 1.19 | Sortino 2.59 | Calmar 3.4
Vol 30% | MDD -10.9%
Months 15M (8%)
CAGR 10.9% | Win 61%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.4
Vol 24% | MDD -28.8%
Months 69M (38%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 15.4% | Win 64%
Sharpe 0.85 | Sortino 1.32 | Calmar 0.7
Vol 19% | MDD -22.6%
Months 120M (66%)
CAGR 15.9% | Win 61%
Sharpe 0.78 | Sortino 1.62 | Calmar 1.0
Vol 22% | MDD -16.3%
Months 31M (17%)
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
RSmean
neg
CAGR -22.8% | Win 31%
Sharpe -1.94 | Sortino -2.11 | Calmar -1.2
Vol 13% | MDD -18.6%
Months 13M (7%)
CAGR -3.8% | Win 41%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 24% | MDD -28.8%
Months 17M (9%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
MACD
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 9.4% | Win 61%
Sharpe 0.61 | Sortino 0.89 | Calmar 0.3
Vol 17% | MDD -35.3%
Months 111M (61%)
CAGR 34.4% | Win 70%
Sharpe 1.33 | Sortino 2.94 | Calmar 2.1
Vol 25% | MDD -16.3%
Months 40M (22%)
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
RSmean
neg
CAGR -14.9% | Win 37%
Sharpe -0.75 | Sortino -1.25 | Calmar -0.4
Vol 19% | MDD -34.1%
Months 19M (10%)
CAGR -8.4% | Win 36%
Sharpe -0.28 | Sortino -0.44 | Calmar -0.5
Vol 23% | MDD -17.7%
Months 11M (6%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
RSI
only
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 18.1% | Win 66%
Sharpe 1.05 | Sortino 1.87 | Calmar 0.9
Vol 17% | MDD -20.9%
Months 73M (40%)
CAGR 13.1% | Win 62%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.8
Vol 22% | MDD -16.9%
Months 78M (43%)
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
RSmean
neg
CAGR 475.9% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -18.1% | Win 34%
Sharpe -1.06 | Sortino -1.49 | Calmar -0.4
Vol 17% | MDD -43.4%
Months 29M (16%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
MACDhist
only
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 58%
Sharpe 0.51 | Sortino 0.81 | Calmar 0.2
Vol 17% | MDD -38.2%
Months 89M (49%)
CAGR 28.2% | Win 71%
Sharpe 1.22 | Sortino 1.95 | Calmar 1.7
Vol 23% | MDD -16.8%
Months 62M (34%)
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
RSmean
neg
CAGR 4.0% | Win 43%
Sharpe 0.26 | Sortino 0.61 | Calmar 0.3
Vol 25% | MDD -12.3%
Months 7M (4%)
CAGR -17.1% | Win 35%
Sharpe -0.90 | Sortino -1.30 | Calmar -0.5
Vol 19% | MDD -35.2%
Months 23M (13%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 16.2% | Win 66%
Sharpe 0.93 | Sortino 1.46 | Calmar 0.7
Vol 18% | MDD -24.3%
Months 131M (72%)
CAGR 10.9% | Win 50%
Sharpe 0.50 | Sortino 1.06 | Calmar 0.7
Vol 29% | MDD -14.9%
Months 20M (11%)
CAGR 15.5% | Win 64%
Sharpe 0.84 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -22.7%
Months 151M (83%)
RSmean
neg
CAGR -10.6% | Win 39%
Sharpe -0.44 | Sortino -0.72 | Calmar -0.3
Vol 21% | MDD -39.0%
Months 28M (16%)
CAGR -35.8% | Win 0%
Sharpe -3.60 | Sortino -3.60 | Calmar -31.2
Vol 12% | MDD -1.1%
Months 2M (1%)
CAGR -12.6% | Win 37%
Sharpe -0.56 | Sortino -0.93 | Calmar -0.3
Vol 20% | MDD -43.4%
Months 30M (17%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.9% | Win 58%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 17% | MDD -44.3%
Months 116M (64%)
CAGR 62.3% | Win 82%
Sharpe 2.19 | Sortino 3.08 | Calmar 6.4
Vol 24% | MDD -9.7%
Months 17M (9%)
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
MACD
neg
CAGR 9.6% | Win 57%
Sharpe 0.55 | Sortino 1.11 | Calmar 0.7
Vol 20% | MDD -13.4%
Months 14M (8%)
CAGR 8.0% | Win 53%
Sharpe 0.44 | Sortino 0.87 | Calmar 0.4
Vol 24% | MDD -18.1%
Months 34M (19%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
RSI
only
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 17.4% | Win 65%
Sharpe 1.01 | Sortino 1.81 | Calmar 0.8
Vol 18% | MDD -20.9%
Months 72M (40%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 20% | MDD -25.0%
Months 61M (34%)
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
MACD
neg
CAGR 222.5% | Win 100%
Sharpe 4.77 | Sortino 0.00 | Calmar 0.0
Vol 26% | MDD 0.0%
Months 2M (1%)
CAGR 3.5% | Win 52%
Sharpe 0.26 | Sortino 0.49 | Calmar 0.1
Vol 22% | MDD -28.8%
Months 46M (25%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
MACDhist
only
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.8% | Win 57%
Sharpe 0.53 | Sortino 0.85 | Calmar 0.3
Vol 17% | MDD -28.9%
Months 75M (41%)
CAGR 15.1% | Win 66%
Sharpe 0.78 | Sortino 1.14 | Calmar 0.9
Vol 21% | MDD -16.8%
Months 58M (32%)
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
MACD
neg
CAGR 4.8% | Win 57%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.2
Vol 19% | MDD -22.0%
Months 21M (12%)
CAGR 11.4% | Win 52%
Sharpe 0.54 | Sortino 1.11 | Calmar 0.4
Vol 26% | MDD -28.8%
Months 27M (15%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 12.1% | Win 63%
Sharpe 0.73 | Sortino 1.10 | Calmar 0.5
Vol 18% | MDD -24.0%
Months 124M (68%)
CAGR -3.3% | Win 33%
Sharpe 0.03 | Sortino 0.06 | Calmar -0.3
Vol 31% | MDD -11.7%
Months 9M (5%)
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.5
Vol 19% | MDD -24.0%
Months 133M (74%)
MACD
neg
CAGR 7.2% | Win 54%
Sharpe 0.42 | Sortino 0.82 | Calmar 0.2
Vol 22% | MDD -28.8%
Months 35M (19%)
CAGR 12.1% | Win 54%
Sharpe 0.55 | Sortino 1.10 | Calmar 0.8
Vol 27% | MDD -14.9%
Months 13M (7%)
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.92 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 48M (26%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 18.2% | Win 65%
Sharpe 1.05 | Sortino 1.88 | Calmar 0.9
Vol 18% | MDD -20.9%
Months 72M (40%)
CAGR -8.6% | Win 48%
Sharpe -0.44 | Sortino -0.58 | Calmar -0.2
Vol 17% | MDD -44.7%
Months 58M (32%)
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
RSI
neg
CAGR 150.7% | Win 100%
Sharpe 2.68 | Sortino 0.00 | Calmar 0.0
Vol 37% | MDD 0.0%
Months 2M (1%)
CAGR 20.2% | Win 61%
Sharpe 0.89 | Sortino 1.72 | Calmar 1.1
Vol 24% | MDD -18.4%
Months 49M (27%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
MACDhist
only
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 10.6% | Win 60%
Sharpe 0.66 | Sortino 1.13 | Calmar 0.3
Vol 18% | MDD -31.4%
Months 84M (46%)
CAGR -3.5% | Win 54%
Sharpe -0.11 | Sortino -0.14 | Calmar -0.1
Vol 18% | MDD -34.9%
Months 46M (25%)
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
RSI
neg
CAGR -14.1% | Win 42%
Sharpe -0.82 | Sortino -1.17 | Calmar -0.8
Vol 17% | MDD -18.8%
Months 12M (7%)
CAGR 38.5% | Win 69%
Sharpe 1.41 | Sortino 2.81 | Calmar 2.2
Vol 26% | MDD -17.7%
Months 39M (22%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.8% | Win 60%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -31.5%
Months 124M (68%)
CAGR -45.2% | Win 0%
Sharpe -4.21 | Sortino -4.21 | Calmar -1.8
Vol 14% | MDD -25.4%
Months 6M (3%)
CAGR 5.4% | Win 58%
Sharpe 0.39 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -46.3%
Months 130M (72%)
RSI
neg
CAGR 18.9% | Win 63%
Sharpe 0.88 | Sortino 1.60 | Calmar 1.1
Vol 23% | MDD -17.7%
Months 35M (19%)
CAGR 34.9% | Win 62%
Sharpe 1.19 | Sortino 2.57 | Calmar 2.3
Vol 29% | MDD -14.9%
Months 16M (9%)
CAGR 23.7% | Win 63%
Sharpe 0.99 | Sortino 1.96 | Calmar 1.3
Vol 24% | MDD -18.4%
Months 51M (28%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 14.6% | Win 63%
Sharpe 0.84 | Sortino 1.55 | Calmar 0.6
Vol 18% | MDD -22.9%
Months 57M (32%)
CAGR 43.5% | Win 76%
Sharpe 2.12 | Sortino 7.20 | Calmar 12.5
Vol 18% | MDD -3.5%
Months 17M (9%)
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
MACDhist
neg
CAGR -2.8% | Win 49%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 16% | MDD -35.7%
Months 39M (22%)
CAGR 7.5% | Win 57%
Sharpe 0.43 | Sortino 0.74 | Calmar 0.3
Vol 23% | MDD -28.8%
Months 68M (38%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
RSIhist
only
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
-
CAGR 20.7% | Win 66%
Sharpe 1.13 | Sortino 2.10 | Calmar 1.0
Vol 18% | MDD -20.9%
Months 74M (41%)
MACDhist
neg
CAGR 3.2% | Win 56%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 19% | MDD -28.8%
Months 85M (47%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
CAGR 3.6% | Win 54%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 21% | MDD -28.8%
Months 107M (59%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.2% | Win 62%
Sharpe 0.75 | Sortino 1.23 | Calmar 0.5
Vol 17% | MDD -24.0%
Months 89M (49%)
CAGR -40.0% | Win 0%
Sharpe -4.61 | Sortino -4.61 | Calmar -1.6
Vol 11% | MDD -25.4%
Months 7M (4%)
CAGR 7.2% | Win 57%
Sharpe 0.48 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -42.6%
Months 96M (53%)
RSIhist
neg
CAGR 9.4% | Win 60%
Sharpe 0.55 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -28.8%
Months 70M (39%)
CAGR 37.3% | Win 67%
Sharpe 1.20 | Sortino 2.53 | Calmar 3.2
Vol 30% | MDD -11.7%
Months 15M (8%)
CAGR 13.9% | Win 61%
Sharpe 0.70 | Sortino 1.15 | Calmar 0.5
Vol 22% | MDD -28.8%
Months 85M (47%)
LWTI
only
CAGR 11.0% | Win 61%
Sharpe 0.65 | Sortino 1.04 | Calmar 0.4
Vol 19% | MDD -31.2%
Months 159M (88%)
CAGR 5.5% | Win 46%
Sharpe 0.32 | Sortino 0.69 | Calmar 0.3
Vol 28% | MDD -16.4%
Months 22M (12%)