Signal Pair Analysis

Performance Comparison by Signal Pairs

116

Total ETFs

36

Signal Pairs

20

Avg Months

4.1%

Avg CAGR

Signal Pair Performance Heatmaps

Average CAGR by signal pairs and conditions across all ETFs

Condition: pos-pos

Condition: pos-neg

Condition: neg-pos

Condition: neg-neg

Signal Pairs

All signal pairs ranked by average CAGR across all ETFs

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
benchmark All All All 20 100.0 17.1 75.0 1.6 2.2 3.1 10.3 -5.5
single RSmean RSmean pos-pos 21 100.0 16.1 71.4 1.6 2.1 2.9 9.7 -5.5
pair RSmean LWTI pos-pos 21 100.0 14.5 71.4 1.5 2.0 2.6 9.3 -5.5
single LWTI LWTI pos-pos 21 100.0 14.5 66.7 1.5 1.9 2.6 9.6 -5.5
pair LWTI RSmean pos-pos 21 100.0 14.5 71.4 1.5 2.0 2.6 9.3 -5.5
pair MACD RSmean pos-pos 21 100.0 13.8 71.4 1.4 2.0 2.6 9.3 -5.4
pair RSmean MACD pos-pos 21 100.0 13.8 71.4 1.4 2.0 2.6 9.3 -5.4
single MACD MACD pos-pos 21 100.0 13.7 71.4 1.4 2.0 2.5 9.6 -5.4
pair RSmean RSI pos-pos 21 100.0 13.6 66.7 1.4 1.9 2.5 9.1 -5.4
pair RSI RSmean pos-pos 21 100.0 13.6 66.7 1.4 1.9 2.5 9.1 -5.4
single RSI RSI pos-pos 21 100.0 13.5 66.7 1.4 1.9 2.5 9.4 -5.4
pair LWTI MACD pos-pos 21 100.0 13.4 71.4 1.4 1.9 2.5 9.4 -5.4
pair MACD LWTI pos-pos 21 100.0 13.4 71.4 1.4 1.9 2.5 9.4 -5.4
pair LWTI RSI pos-pos 21 100.0 13.3 66.7 1.4 1.8 2.5 9.2 -5.4
pair RSI LWTI pos-pos 21 100.0 13.3 66.7 1.4 1.8 2.5 9.2 -5.4
single MRmean MRmean pos-pos 21 100.0 13.1 66.7 1.5 1.8 2.5 8.6 -5.4
pair MRmean RSmean pos-pos 21 100.0 12.9 66.7 1.5 1.8 2.4 8.3 -5.3
pair RSmean MRmean pos-pos 21 100.0 12.9 66.7 1.5 1.8 2.4 8.3 -5.3
single MACDhist MACDhist pos-pos 21 100.0 12.7 66.7 1.6 1.9 2.5 8.0 -5.1
pair RSmean MACDhist pos-pos 21 100.0 12.6 66.7 1.6 1.9 2.5 7.9 -5.0
pair MRmean RSI pos-pos 21 100.0 12.6 66.7 1.4 1.8 2.4 8.4 -5.3
pair RSI MRmean pos-pos 21 100.0 12.6 66.7 1.4 1.8 2.4 8.4 -5.3
pair LWTI MRmean pos-pos 21 100.0 12.6 66.7 1.5 1.7 2.4 8.4 -5.4
pair MRmean LWTI pos-pos 21 100.0 12.6 66.7 1.5 1.7 2.4 8.4 -5.4
pair MACDhist RSmean pos-pos 21 100.0 12.6 66.7 1.6 1.9 2.5 7.9 -5.0
pair MACD RSI pos-pos 21 100.0 12.6 66.7 1.3 1.8 2.4 9.2 -5.4
pair RSI MACD pos-pos 21 100.0 12.6 66.7 1.3 1.8 2.4 9.2 -5.4
pair MACDhist LWTI pos-pos 21 100.0 12.2 66.7 1.5 1.8 2.4 7.9 -5.1
pair LWTI MACDhist pos-pos 21 100.0 12.2 66.7 1.5 1.8 2.4 7.9 -5.1
single SLmean SLmean pos-pos 21 100.0 12.2 71.4 1.5 1.7 2.3 8.0 -5.3
pair MRmean MACDhist pos-pos 21 100.0 12.1 66.7 1.5 1.8 2.4 7.6 -5.0
pair RSmean SLmean pos-pos 21 100.0 12.1 71.4 1.5 1.7 2.4 7.8 -5.1
pair MACDhist MRmean pos-pos 21 100.0 12.1 66.7 1.5 1.8 2.4 7.6 -5.0
pair SLmean RSmean pos-pos 21 100.0 12.1 71.4 1.5 1.7 2.4 7.8 -5.1
pair MRmean MACD pos-pos 21 100.0 11.8 66.7 1.4 1.7 2.3 8.3 -5.2
pair MACD MRmean pos-pos 21 100.0 11.8 66.7 1.4 1.7 2.3 8.3 -5.2
pair MACDhist RSI pos-pos 21 100.0 11.7 66.7 1.5 1.8 2.4 7.8 -5.0
pair RSI MACDhist pos-pos 21 100.0 11.7 66.7 1.5 1.8 2.4 7.8 -5.0
pair MRmean SLmean pos-pos 21 100.0 11.6 71.4 1.4 1.6 2.3 7.8 -5.1
pair SLmean MRmean pos-pos 21 100.0 11.6 71.4 1.4 1.6 2.3 7.8 -5.1
pair RSI SLmean pos-pos 21 100.0 11.4 71.4 1.4 1.6 2.2 7.8 -5.2
pair SLmean RSI pos-pos 21 100.0 11.4 71.4 1.4 1.6 2.2 7.8 -5.2
pair LWTI SLmean pos-pos 21 100.0 11.3 71.4 1.4 1.6 2.1 7.8 -5.3
pair MACD MACDhist pos-pos 21 100.0 11.3 61.9 1.4 1.8 2.3 7.7 -4.9
pair SLmean LWTI pos-pos 21 100.0 11.3 71.4 1.4 1.6 2.1 7.8 -5.3
pair MACDhist MACD pos-pos 21 100.0 11.3 61.9 1.4 1.8 2.3 7.7 -4.9
single RSIhist RSIhist pos-pos 21 100.0 10.8 76.2 1.5 1.5 1.9 7.0 -5.7
pair SLmean MACDhist pos-pos 21 100.0 10.8 71.4 1.5 1.6 2.2 7.1 -4.9
pair MACDhist SLmean pos-pos 21 100.0 10.8 71.4 1.5 1.6 2.2 7.1 -4.9
pair SLmean MACD pos-pos 21 100.0 10.6 71.4 1.4 1.5 2.1 7.6 -5.0
pair MACD SLmean pos-pos 21 100.0 10.6 71.4 1.4 1.5 2.1 7.6 -5.0
pair RSIhist RSmean pos-pos 21 100.0 10.6 76.2 1.5 1.4 1.9 6.9 -5.5
pair RSmean RSIhist pos-pos 21 100.0 10.6 76.2 1.5 1.4 1.9 6.9 -5.5
pair SLmean RSIhist pos-pos 21 100.0 10.4 76.2 1.5 1.4 1.8 6.9 -5.7
pair RSIhist SLmean pos-pos 21 100.0 10.4 76.2 1.5 1.4 1.8 6.9 -5.7
pair RSIhist MRmean pos-pos 21 100.0 10.3 76.2 1.4 1.4 1.8 6.9 -5.6
pair MRmean RSIhist pos-pos 21 100.0 10.3 76.2 1.4 1.4 1.8 6.9 -5.6
pair RSIhist LWTI pos-pos 21 100.0 10.1 76.2 1.4 1.4 1.8 6.8 -5.5
pair LWTI RSIhist pos-pos 21 100.0 10.1 76.2 1.4 1.4 1.8 6.8 -5.5
pair RSIhist RSI pos-pos 21 100.0 9.9 76.2 1.4 1.4 1.8 6.8 -5.5
pair RSIhist MACDhist pos-pos 21 100.0 9.9 76.2 1.5 1.4 2.0 6.4 -4.9
pair MACDhist RSIhist pos-pos 21 100.0 9.9 76.2 1.5 1.4 2.0 6.4 -4.9
pair RSI RSIhist pos-pos 21 100.0 9.9 76.2 1.4 1.4 1.8 6.8 -5.5
pair RSIhist MACD pos-pos 21 100.0 9.1 76.2 1.4 1.3 1.7 6.6 -5.3
pair MACD RSIhist pos-pos 21 100.0 9.1 76.2 1.4 1.3 1.7 6.6 -5.3
pair RSmean RSIhist pos-neg 21 100.0 5.2 61.9 1.1 1.9 1.6 5.0 -3.2
pair RSIhist RSmean pos-neg 21 100.0 5.2 61.9 1.1 1.9 1.6 5.0 -3.2
single RSIhist RSIhist neg-neg 21 100.0 5.1 66.7 1.0 1.7 1.3 5.2 -3.9
pair RSIhist MACD pos-neg 21 100.0 4.4 61.9 0.9 1.6 1.2 5.1 -3.7
pair MACD RSIhist pos-neg 21 100.0 4.4 61.9 0.9 1.6 1.2 5.1 -3.7
pair RSIhist LWTI neg-pos 21 100.0 4.1 66.7 0.8 1.4 1.1 5.0 -3.7
pair LWTI RSIhist neg-pos 21 100.0 4.1 66.7 0.8 1.4 1.1 5.0 -3.7
pair SLmean RSmean neg-pos 21 100.0 3.8 66.7 1.1 2.4 3.1 3.4 -1.2
pair RSmean SLmean neg-pos 21 100.0 3.8 66.7 1.1 2.4 3.1 3.4 -1.2
single SLmean SLmean neg-neg 21 100.0 3.7 71.4 1.1 3.5 2.1 3.5 -1.7
pair SLmean RSIhist neg-neg 21 100.0 3.4 61.9 1.0 2.2 2.0 3.4 -1.7
pair RSI RSIhist pos-neg 21 100.0 3.4 66.7 0.7 1.4 1.1 4.6 -3.2
pair RSIhist SLmean neg-neg 21 100.0 3.4 61.9 1.0 2.2 2.0 3.4 -1.7
pair RSIhist RSI pos-neg 21 100.0 3.4 66.7 0.7 1.4 1.1 4.6 -3.2
pair MACDhist RSmean pos-neg 21 100.0 3.3 61.9 1.2 1.7 1.5 2.7 -2.2
single MACDhist MACDhist neg-neg 21 100.0 3.3 61.9 1.1 1.4 1.2 3.0 -2.7
pair RSmean MACDhist pos-neg 21 100.0 3.3 61.9 1.2 1.7 1.5 2.7 -2.2
pair LWTI SLmean neg-pos 21 100.0 3.0 61.9 0.9 2.1 1.9 3.3 -1.5
pair RSmean MRmean neg-pos 21 100.0 3.0 61.9 1.3 2.0 2.2 2.2 -1.3
pair MRmean RSmean neg-pos 21 100.0 3.0 61.9 1.3 2.0 2.2 2.2 -1.3
pair SLmean MACD neg-pos 21 100.0 3.0 57.1 0.9 1.9 1.9 3.4 -1.5
pair SLmean LWTI neg-pos 21 100.0 3.0 61.9 0.9 2.1 1.9 3.3 -1.5
pair MACD SLmean neg-pos 21 100.0 3.0 57.1 0.9 1.9 1.9 3.4 -1.5
single MRmean MRmean neg-neg 21 100.0 2.9 61.9 1.2 1.8 1.7 2.3 -1.7
pair RSIhist MRmean pos-neg 21 100.0 2.7 61.9 0.8 1.6 1.2 3.3 -2.3
pair MRmean RSIhist pos-neg 21 100.0 2.7 61.9 0.8 1.6 1.2 3.3 -2.3
pair RSIhist MACDhist pos-neg 21 100.0 2.7 66.7 0.8 1.9 1.6 3.3 -1.6
pair MACDhist RSIhist pos-neg 21 100.0 2.7 66.7 0.8 1.9 1.6 3.3 -1.6
single RSI RSI neg-neg 21 100.0 2.5 76.2 2.0 3.7 3.1 1.2 -0.8
pair RSIhist MACDhist neg-neg 21 100.0 2.4 61.9 1.0 1.3 1.0 2.4 -2.3
pair MRmean RSIhist neg-neg 21 100.0 2.4 66.7 1.1 1.5 1.4 2.1 -1.7
pair RSIhist MRmean neg-neg 21 100.0 2.4 66.7 1.1 1.5 1.4 2.1 -1.7
pair MACDhist RSIhist neg-neg 21 100.0 2.4 61.9 1.0 1.3 1.0 2.4 -2.3
pair MRmean MACDhist neg-neg 21 100.0 2.3 66.7 1.3 2.0 1.6 1.8 -1.4
pair MRmean SLmean neg-neg 21 100.0 2.3 66.7 1.1 1.7 1.7 2.0 -1.4
pair SLmean MRmean neg-neg 21 100.0 2.3 66.7 1.1 1.7 1.7 2.0 -1.4
single MACD MACD neg-neg 21 100.0 2.3 71.4 2.3 5.5 4.7 1.0 -0.5
pair MACDhist MRmean neg-neg 21 100.0 2.3 66.7 1.3 2.0 1.6 1.8 -1.4
pair RSI RSmean pos-neg 21 100.0 2.3 76.2 2.0 4.6 3.3 1.1 -0.7
pair RSmean RSI pos-neg 21 100.0 2.3 76.2 2.0 4.6 3.3 1.1 -0.7
pair MACD MACDhist pos-neg 21 100.0 2.3 57.1 0.8 1.2 0.9 2.7 -2.6
pair MACDhist MACD pos-neg 21 100.0 2.3 57.1 0.8 1.2 0.9 2.7 -2.6
pair LWTI MACDhist neg-pos 21 100.0 2.2 61.9 0.9 1.1 0.9 2.4 -2.5
pair MACDhist LWTI neg-pos 21 100.0 2.2 61.9 0.9 1.1 0.9 2.4 -2.5
pair MACD RSmean pos-neg 21 100.0 2.1 71.4 2.4 5.7 5.7 0.9 -0.4
pair RSmean MACD pos-neg 21 100.0 2.1 71.4 2.4 5.7 5.7 0.9 -0.4
pair RSI SLmean neg-pos 21 100.0 2.0 57.1 0.7 1.3 2.0 3.0 -1.0
pair SLmean RSI neg-pos 21 100.0 2.0 57.1 0.7 1.3 2.0 3.0 -1.0
pair SLmean MACDhist neg-neg 21 100.0 1.9 57.1 1.0 1.7 1.2 1.9 -1.6
pair MACDhist SLmean neg-neg 21 100.0 1.9 57.1 1.0 1.7 1.2 1.9 -1.6
pair RSI MRmean neg-neg 21 100.0 1.9 76.2 1.8 2.5 2.4 1.0 -0.8
pair MRmean RSI neg-neg 21 100.0 1.9 76.2 1.8 2.5 2.4 1.0 -0.8
pair MRmean LWTI neg-pos 21 100.0 1.8 61.9 0.9 1.2 1.2 2.0 -1.5
pair SLmean MACDhist neg-pos 21 100.0 1.8 61.9 0.9 1.6 2.5 2.0 -0.7
pair MACDhist SLmean neg-pos 21 100.0 1.8 61.9 0.9 1.6 2.5 2.0 -0.7
pair LWTI MRmean neg-pos 21 100.0 1.8 61.9 0.9 1.2 1.2 2.0 -1.5
pair MACD MRmean neg-pos 21 100.0 1.8 66.7 0.9 1.3 1.2 2.0 -1.5
pair MRmean MACD neg-pos 21 100.0 1.8 66.7 0.9 1.3 1.2 2.0 -1.5
pair MACDhist RSI pos-neg 21 100.0 1.7 52.4 0.8 1.1 0.8 2.3 -2.1
pair RSI MACDhist pos-neg 21 100.0 1.7 52.4 0.8 1.1 0.8 2.3 -2.1
pair RSI RSIhist neg-neg 21 100.0 1.7 71.4 1.8 2.6 2.3 0.9 -0.7
pair SLmean RSI neg-neg 21 100.0 1.7 81.0 1.7 2.5 2.3 1.0 -0.7
pair SLmean RSIhist pos-neg 21 100.0 1.7 71.4 0.8 0.8 0.8 2.1 -2.2
pair RSI SLmean neg-neg 21 100.0 1.7 81.0 1.7 2.5 2.3 1.0 -0.7
pair RSIhist SLmean pos-neg 21 100.0 1.7 71.4 0.8 0.8 0.8 2.1 -2.2
pair RSIhist RSI neg-neg 21 100.0 1.7 71.4 1.8 2.6 2.3 0.9 -0.7
pair MACD RSIhist neg-pos 21 100.0 1.6 57.1 2.0 7.7 3.9 0.8 -0.4
pair RSIhist MACD neg-pos 21 100.0 1.6 57.1 2.0 7.7 3.9 0.8 -0.4
pair MACDhist RSI neg-neg 21 100.0 1.5 71.4 1.6 2.8 2.2 0.9 -0.7
pair RSI MACDhist neg-neg 21 100.0 1.5 71.4 1.6 2.8 2.2 0.9 -0.7
pair MACD SLmean pos-neg 21 100.0 1.5 76.2 2.0 5.8 5.2 0.7 -0.3
pair SLmean MACD pos-neg 21 100.0 1.5 76.2 2.0 5.8 5.2 0.7 -0.3
single LWTI LWTI neg-neg 21 100.0 1.5 52.4 1.7 7.4 5.2 0.9 -0.3
pair MACD RSI neg-neg 21 100.0 1.4 66.7 2.0 3.6 4.4 0.7 -0.3
pair MRmean SLmean pos-neg 21 100.0 1.4 52.4 0.8 2.0 2.1 1.7 -0.7
pair SLmean MRmean pos-neg 21 100.0 1.4 52.4 0.8 2.0 2.1 1.7 -0.7
pair RSmean LWTI pos-neg 21 100.0 1.4 52.4 1.6 6.8 4.9 0.9 -0.3
pair RSI MACD neg-neg 21 100.0 1.4 66.7 2.0 3.6 4.4 0.7 -0.3
pair LWTI RSmean pos-neg 21 100.0 1.4 52.4 1.6 6.8 4.9 0.9 -0.3
pair MACD MACDhist neg-pos 21 100.0 1.3 66.7 1.9 6.2 3.7 0.7 -0.4
pair SLmean MACDhist pos-neg 21 100.0 1.3 52.4 0.8 1.2 1.1 1.6 -1.2
pair MACDhist MACD neg-pos 21 100.0 1.3 66.7 1.9 6.2 3.7 0.7 -0.4
pair LWTI RSI neg-neg 21 100.0 1.3 61.9 2.0 5.8 5.8 0.6 -0.2
pair RSI LWTI neg-neg 21 100.0 1.3 61.9 2.0 5.8 5.8 0.6 -0.2
pair MACD LWTI neg-neg 21 100.0 1.3 57.1 2.2 5.0 5.8 0.6 -0.2
pair MACDhist SLmean pos-neg 21 100.0 1.3 52.4 0.8 1.2 1.1 1.6 -1.2
pair LWTI MACD neg-neg 21 100.0 1.3 57.1 2.2 5.0 5.8 0.6 -0.2
pair MRmean MACD pos-neg 21 100.0 1.2 76.2 1.9 6.5 3.8 0.7 -0.3
pair MACD MRmean pos-neg 21 100.0 1.2 76.2 1.9 6.5 3.8 0.7 -0.3
pair LWTI RSI neg-pos 21 100.0 1.1 71.4 1.6 2.3 2.0 0.7 -0.6
pair RSI LWTI neg-pos 21 100.0 1.1 71.4 1.6 2.3 2.0 0.7 -0.6
pair LWTI MACD neg-pos 21 100.0 1.0 66.7 2.0 6.1 1.9 0.5 -0.5
pair RSI MACD pos-neg 21 100.0 1.0 61.9 1.4 2.2 1.9 0.7 -0.5
pair MACD RSI pos-neg 21 100.0 1.0 61.9 1.4 2.2 1.9 0.7 -0.5
pair MRmean MACD neg-neg 21 100.0 1.0 71.4 1.9 2.3 3.1 0.6 -0.3
pair MACD MRmean neg-neg 21 100.0 1.0 71.4 1.9 2.3 3.1 0.6 -0.3
pair LWTI MRmean neg-neg 21 100.0 1.0 57.1 1.9 4.7 4.1 0.5 -0.3
pair MACDhist LWTI neg-neg 21 100.0 1.0 42.9 1.5 5.4 3.5 0.7 -0.3
pair LWTI MACDhist neg-neg 21 100.0 1.0 42.9 1.5 5.4 3.5 0.7 -0.3
pair MRmean LWTI neg-neg 21 100.0 1.0 57.1 1.9 4.7 4.1 0.5 -0.3
pair MACDhist MRmean pos-neg 21 100.0 1.0 57.1 0.7 1.0 0.7 1.5 -1.3
pair MACD LWTI neg-pos 21 100.0 1.0 66.7 2.0 6.1 1.9 0.5 -0.5
pair MRmean MACDhist pos-neg 21 100.0 1.0 57.1 0.7 1.0 0.7 1.5 -1.3
pair RSI MRmean neg-pos 21 100.0 0.9 52.4 0.6 0.8 1.0 1.6 -0.9
pair MACDhist RSIhist neg-pos 21 100.0 0.9 47.6 1.0 2.0 1.0 0.9 -0.9
pair LWTI RSIhist neg-neg 21 100.0 0.9 57.1 1.7 2.7 3.6 0.6 -0.3
pair MRmean RSI neg-pos 21 100.0 0.9 52.4 0.6 0.8 1.0 1.6 -0.9
pair RSI MACDhist neg-pos 21 100.0 0.9 61.9 1.8 5.3 8.0 0.5 -0.1
pair MACDhist RSI neg-pos 21 100.0 0.9 61.9 1.8 5.3 8.0 0.5 -0.1
pair RSIhist MACDhist neg-pos 21 100.0 0.9 47.6 1.0 2.0 1.0 0.9 -0.9
pair RSIhist LWTI neg-neg 21 100.0 0.9 57.1 1.7 2.7 3.6 0.6 -0.3
pair MACDhist MACD neg-neg 21 100.0 0.9 71.4 1.9 3.4 4.4 0.5 -0.2
pair MACD MACDhist neg-neg 21 100.0 0.9 71.4 1.9 3.4 4.4 0.5 -0.2
pair RSIhist RSI neg-pos 21 100.0 0.8 47.6 1.8 6.2 3.5 0.4 -0.2
pair SLmean RSI pos-neg 21 100.0 0.8 52.4 1.7 5.8 5.0 0.4 -0.2
pair RSI RSIhist neg-pos 21 100.0 0.8 47.6 1.8 6.2 3.5 0.4 -0.2
pair SLmean LWTI pos-neg 21 100.0 0.8 47.6 1.4 6.2 4.6 0.6 -0.2
pair MACD RSI neg-pos 21 100.0 0.8 71.4 2.0 7.7 5.0 0.4 -0.2
pair RSI MACD neg-pos 21 100.0 0.8 71.4 2.0 7.7 5.0 0.4 -0.2
pair LWTI SLmean pos-neg 21 100.0 0.8 47.6 1.4 6.2 4.6 0.6 -0.2
pair RSI SLmean pos-neg 21 100.0 0.8 52.4 1.7 5.8 5.0 0.4 -0.2
pair MACD SLmean neg-neg 21 100.0 0.8 71.4 1.7 2.1 2.8 0.4 -0.3
pair SLmean MACD neg-neg 21 100.0 0.8 71.4 1.7 2.1 2.8 0.4 -0.3
pair SLmean LWTI neg-neg 21 100.0 0.7 57.1 1.6 3.9 3.8 0.4 -0.2
pair RSIhist MACD neg-neg 21 100.0 0.7 66.7 1.6 2.0 2.6 0.4 -0.3
pair LWTI SLmean neg-neg 21 100.0 0.7 57.1 1.6 3.9 3.8 0.4 -0.2
pair MACD RSIhist neg-neg 21 100.0 0.7 66.7 1.6 2.0 2.6 0.4 -0.3
pair MACDhist MRmean neg-pos 21 100.0 0.6 61.9 0.9 1.0 1.8 0.7 -0.3
pair RSIhist LWTI pos-neg 21 100.0 0.6 33.3 1.2 4.3 2.0 0.5 -0.3
pair MRmean MACDhist neg-pos 21 100.0 0.6 61.9 0.9 1.0 1.8 0.7 -0.3
pair LWTI RSIhist pos-neg 21 100.0 0.6 33.3 1.2 4.3 2.0 0.5 -0.3
pair MRmean LWTI pos-neg 21 100.0 0.5 28.6 1.1 3.0 3.7 0.4 -0.1
pair MRmean RSI pos-neg 21 100.0 0.5 42.9 1.4 4.3 3.5 0.4 -0.2
pair SLmean MRmean neg-pos 21 100.0 0.5 47.6 1.1 1.6 1.6 0.5 -0.3
pair RSI MRmean pos-neg 21 100.0 0.5 42.9 1.4 4.3 3.5 0.4 -0.2
pair MRmean SLmean neg-pos 21 100.0 0.5 47.6 1.1 1.6 1.6 0.5 -0.3
pair MACDhist LWTI pos-neg 21 100.0 0.5 33.3 1.7 5.1 7.6 0.3 -0.1
pair LWTI MRmean pos-neg 21 100.0 0.5 28.6 1.1 3.0 3.7 0.4 -0.1
pair LWTI MACDhist pos-neg 21 100.0 0.5 33.3 1.7 5.1 7.6 0.3 -0.1
pair MRmean RSIhist neg-pos 21 100.0 0.5 33.3 1.5 4.6 3.5 0.3 -0.1
pair RSIhist MRmean neg-pos 21 100.0 0.5 33.3 1.5 4.6 3.5 0.3 -0.1
pair RSIhist SLmean neg-pos 21 100.0 0.3 28.6 1.2 6.7 8.9 0.3 -0.0
pair MACD LWTI pos-neg 21 100.0 0.3 33.3 0.6 0.9 0.9 0.5 -0.3
pair LWTI MACD pos-neg 21 100.0 0.3 33.3 0.6 0.9 0.9 0.5 -0.3
pair SLmean RSIhist neg-pos 21 100.0 0.3 28.6 1.2 6.7 8.9 0.3 -0.0
pair MRmean RSmean pos-neg 21 100.0 0.2 38.1 0.4 0.7 0.3 0.5 -0.6
pair RSmean MRmean pos-neg 21 100.0 0.2 38.1 0.4 0.7 0.3 0.5 -0.6
pair LWTI RSI pos-neg 21 100.0 0.2 33.3 0.5 0.7 1.0 0.4 -0.2
pair RSI LWTI pos-neg 21 100.0 0.2 33.3 0.5 0.7 1.0 0.4 -0.2
pair RSI RSmean neg-neg 21 100.0 0.2 33.3 0.7 1.4 0.8 0.2 -0.2
pair RSmean RSI neg-neg 21 100.0 0.2 33.3 0.7 1.4 0.8 0.2 -0.2
pair MACD RSmean neg-neg 21 100.0 0.2 57.1 0.8 2.1 1.4 0.2 -0.1
pair RSIhist RSmean neg-pos 21 100.0 0.2 33.3 0.7 1.4 0.7 0.3 -0.3
pair RSmean RSIhist neg-pos 21 100.0 0.2 33.3 0.7 1.4 0.7 0.3 -0.3
pair RSmean MACD neg-neg 21 100.0 0.2 57.1 0.8 2.1 1.4 0.2 -0.1
pair LWTI RSmean neg-neg 21 100.0 0.1 9.5 0.6 7.0 3.1 0.1 -0.0
pair MACDhist RSmean neg-pos 21 100.0 0.1 28.6 0.3 0.6 0.3 0.3 -0.4
single RSmean RSmean neg-neg 21 100.0 0.1 47.6 0.2 0.2 0.1 0.7 -1.0
pair RSmean LWTI neg-neg 21 100.0 0.1 9.5 0.6 7.0 3.1 0.1 -0.0
pair RSmean MACDhist neg-pos 21 100.0 0.1 28.6 0.3 0.6 0.3 0.3 -0.4
pair RSmean SLmean pos-neg 21 100.0 0.1 33.3 0.3 0.5 0.3 0.4 -0.5
pair SLmean RSmean pos-neg 21 100.0 0.1 33.3 0.3 0.5 0.3 0.4 -0.5
single RSI RSI pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSmean RSmean neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MRmean MRmean neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single SLmean SLmean pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair LWTI RSmean neg-pos 21 100.0 0.0 47.6 0.0 0.0 0.0 0.6 -1.0
pair RSmean LWTI neg-pos 21 100.0 0.0 47.6 0.0 0.0 0.0 0.6 -1.0
single RSIhist RSIhist neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSI RSI neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSmean RSmean pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACD MACD neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACDhist MACDhist pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACDhist MACDhist neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single LWTI LWTI pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single LWTI LWTI neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACD MACD pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair MACDhist RSmean neg-neg 21 100.0 0.0 57.1 0.0 0.0 0.0 0.5 -0.7
single RSIhist RSIhist pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair RSmean MACDhist neg-neg 21 100.0 0.0 57.1 0.0 0.0 0.0 0.5 -0.7
pair RSmean SLmean neg-neg 21 100.0 -0.0 61.9 -0.1 -0.1 -0.1 0.4 -0.5
pair SLmean RSmean neg-neg 21 100.0 -0.0 61.9 -0.1 -0.1 -0.1 0.4 -0.5
single SLmean SLmean neg-pos 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MRmean MRmean pos-neg 21 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair RSmean MACD neg-pos 21 100.0 -0.1 47.6 -0.1 -0.1 -0.1 0.6 -0.9
pair MACD RSmean neg-pos 21 100.0 -0.1 47.6 -0.1 -0.1 -0.1 0.6 -0.9
pair RSmean RSIhist neg-neg 21 100.0 -0.1 66.7 -0.2 -0.2 -0.1 0.5 -0.8
pair RSIhist RSmean neg-neg 21 100.0 -0.1 66.7 -0.2 -0.2 -0.1 0.5 -0.8
pair RSmean MRmean neg-neg 21 100.0 -0.1 57.1 -0.3 -0.2 -0.2 0.3 -0.4
pair MRmean RSmean neg-neg 21 100.0 -0.1 57.1 -0.3 -0.2 -0.2 0.3 -0.4
pair RSI RSmean neg-pos 21 100.0 -0.1 38.1 -0.1 -0.1 -0.1 0.5 -0.9
pair RSmean RSI neg-pos 21 100.0 -0.1 38.1 -0.1 -0.1 -0.1 0.5 -0.9

Contingency Tables by Signal Pair

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 71%
Sharpe 1.45 | Sortino 1.65 | Calmar 2.3
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 1.4% | Win 52%
Sharpe 0.82 | Sortino 2.04 | Calmar 2.1
Vol 2% | MDD -0.7%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 0.5% | Win 48%
Sharpe 1.09 | Sortino 1.55 | Calmar 1.6
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 2.3% | Win 67%
Sharpe 1.13 | Sortino 1.67 | Calmar 1.7
Vol 2% | MDD -1.4%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
SLmean
only
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.9% | Win 67%
Sharpe 1.51 | Sortino 1.81 | Calmar 2.4
Vol 8% | MDD -5.3%
Months 21M (100%)
CAGR 0.2% | Win 38%
Sharpe 0.40 | Sortino 0.69 | Calmar 0.3
Vol 0% | MDD -0.6%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 3.0% | Win 62%
Sharpe 1.34 | Sortino 1.96 | Calmar 2.2
Vol 2% | MDD -1.3%
Months 21M (100%)
CAGR -0.1% | Win 57%
Sharpe -0.29 | Sortino -0.22 | Calmar -0.2
Vol 0% | MDD -0.4%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
RSmean
only
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 11.8% | Win 67%
Sharpe 1.39 | Sortino 1.68 | Calmar 2.3
Vol 8% | MDD -5.2%
Months 21M (100%)
CAGR 1.2% | Win 76%
Sharpe 1.87 | Sortino 6.50 | Calmar 3.8
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 1.8% | Win 67%
Sharpe 0.90 | Sortino 1.34 | Calmar 1.2
Vol 2% | MDD -1.5%
Months 21M (100%)
CAGR 1.0% | Win 71%
Sharpe 1.85 | Sortino 2.33 | Calmar 3.2
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
MACD
only
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 67%
Sharpe 1.45 | Sortino 1.76 | Calmar 2.4
Vol 8% | MDD -5.3%
Months 21M (100%)
CAGR 0.5% | Win 43%
Sharpe 1.39 | Sortino 4.29 | Calmar 3.4
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 0.9% | Win 52%
Sharpe 0.62 | Sortino 0.82 | Calmar 1.0
Vol 2% | MDD -0.9%
Months 21M (100%)
CAGR 1.9% | Win 76%
Sharpe 1.82 | Sortino 2.50 | Calmar 2.4
Vol 1% | MDD -0.8%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
RSI
only
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 12.1% | Win 67%
Sharpe 1.54 | Sortino 1.83 | Calmar 2.4
Vol 8% | MDD -5.0%
Months 21M (100%)
CAGR 1.0% | Win 57%
Sharpe 0.65 | Sortino 1.01 | Calmar 0.7
Vol 2% | MDD -1.3%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 0.6% | Win 62%
Sharpe 0.86 | Sortino 1.00 | Calmar 1.8
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 2.3% | Win 67%
Sharpe 1.28 | Sortino 1.96 | Calmar 1.6
Vol 2% | MDD -1.4%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
MACDhist
only
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.3% | Win 76%
Sharpe 1.45 | Sortino 1.42 | Calmar 1.8
Vol 7% | MDD -5.6%
Months 21M (100%)
CAGR 2.7% | Win 62%
Sharpe 0.81 | Sortino 1.59 | Calmar 1.2
Vol 3% | MDD -2.3%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 0.5% | Win 33%
Sharpe 1.54 | Sortino 4.57 | Calmar 3.5
Vol 0% | MDD -0.1%
Months 21M (100%)
CAGR 2.4% | Win 67%
Sharpe 1.12 | Sortino 1.47 | Calmar 1.4
Vol 2% | MDD -1.7%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.6% | Win 67%
Sharpe 1.46 | Sortino 1.74 | Calmar 2.3
Vol 8% | MDD -5.4%
Months 21M (100%)
CAGR 0.5% | Win 29%
Sharpe 1.12 | Sortino 2.95 | Calmar 3.7
Vol 0% | MDD -0.1%
Months 21M (100%)
CAGR 13.1% | Win 67%
Sharpe 1.49 | Sortino 1.81 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
MRmean
neg
CAGR 1.8% | Win 62%
Sharpe 0.91 | Sortino 1.25 | Calmar 1.2
Vol 2% | MDD -1.5%
Months 21M (100%)
CAGR 1.0% | Win 57%
Sharpe 1.94 | Sortino 4.69 | Calmar 4.1
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 2.9% | Win 62%
Sharpe 1.24 | Sortino 1.79 | Calmar 1.7
Vol 2% | MDD -1.7%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.1% | Win 71%
Sharpe 1.51 | Sortino 1.69 | Calmar 2.4
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 0.1% | Win 33%
Sharpe 0.32 | Sortino 0.49 | Calmar 0.3
Vol 0% | MDD -0.5%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 3.8% | Win 67%
Sharpe 1.11 | Sortino 2.42 | Calmar 3.1
Vol 3% | MDD -1.2%
Months 21M (100%)
CAGR -0.0% | Win 62%
Sharpe -0.10 | Sortino -0.07 | Calmar -0.1
Vol 0% | MDD -0.5%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
RSmean
only
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 71%
Sharpe 1.36 | Sortino 1.54 | Calmar 2.1
Vol 8% | MDD -5.0%
Months 21M (100%)
CAGR 1.5% | Win 76%
Sharpe 2.05 | Sortino 5.84 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 3.0% | Win 57%
Sharpe 0.88 | Sortino 1.94 | Calmar 1.9
Vol 3% | MDD -1.5%
Months 21M (100%)
CAGR 0.8% | Win 71%
Sharpe 1.71 | Sortino 2.11 | Calmar 2.8
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
MACD
only
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 71%
Sharpe 1.42 | Sortino 1.63 | Calmar 2.2
Vol 8% | MDD -5.2%
Months 21M (100%)
CAGR 0.8% | Win 52%
Sharpe 1.71 | Sortino 5.76 | Calmar 5.0
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 2.0% | Win 57%
Sharpe 0.69 | Sortino 1.32 | Calmar 2.0
Vol 3% | MDD -1.0%
Months 21M (100%)
CAGR 1.7% | Win 81%
Sharpe 1.74 | Sortino 2.48 | Calmar 2.3
Vol 1% | MDD -0.7%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
RSI
only
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 10.8% | Win 71%
Sharpe 1.49 | Sortino 1.61 | Calmar 2.2
Vol 7% | MDD -4.9%
Months 21M (100%)
CAGR 1.3% | Win 52%
Sharpe 0.82 | Sortino 1.19 | Calmar 1.1
Vol 2% | MDD -1.2%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 1.8% | Win 62%
Sharpe 0.92 | Sortino 1.61 | Calmar 2.5
Vol 2% | MDD -0.7%
Months 21M (100%)
CAGR 1.9% | Win 57%
Sharpe 1.01 | Sortino 1.69 | Calmar 1.2
Vol 2% | MDD -1.6%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
MACDhist
only
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 76%
Sharpe 1.47 | Sortino 1.44 | Calmar 1.8
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 1.7% | Win 71%
Sharpe 0.82 | Sortino 0.81 | Calmar 0.8
Vol 2% | MDD -2.2%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 0.3% | Win 29%
Sharpe 1.20 | Sortino 6.72 | Calmar 8.9
Vol 0% | MDD -0.0%
Months 21M (100%)
CAGR 3.4% | Win 62%
Sharpe 1.00 | Sortino 2.16 | Calmar 2.0
Vol 3% | MDD -1.7%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 71%
Sharpe 1.42 | Sortino 1.58 | Calmar 2.1
Vol 8% | MDD -5.3%
Months 21M (100%)
CAGR 0.8% | Win 48%
Sharpe 1.42 | Sortino 6.21 | Calmar 4.6
Vol 1% | MDD -0.2%
Months 21M (100%)
CAGR 12.2% | Win 71%
Sharpe 1.48 | Sortino 1.70 | Calmar 2.3
Vol 8% | MDD -5.3%
Months 21M (100%)
SLmean
neg
CAGR 3.0% | Win 62%
Sharpe 0.91 | Sortino 2.06 | Calmar 1.9
Vol 3% | MDD -1.5%
Months 21M (100%)
CAGR 0.7% | Win 57%
Sharpe 1.60 | Sortino 3.94 | Calmar 3.8
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 3.7% | Win 71%
Sharpe 1.07 | Sortino 3.52 | Calmar 2.1
Vol 4% | MDD -1.7%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 13.8% | Win 71%
Sharpe 1.45 | Sortino 1.98 | Calmar 2.6
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.1% | Win 71%
Sharpe 2.42 | Sortino 5.68 | Calmar 5.7
Vol 1% | MDD -0.4%
Months 21M (100%)
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
RSmean
neg
CAGR -0.1% | Win 48%
Sharpe -0.12 | Sortino -0.12 | Calmar -0.1
Vol 1% | MDD -0.9%
Months 21M (100%)
CAGR 0.2% | Win 57%
Sharpe 0.84 | Sortino 2.14 | Calmar 1.4
Vol 0% | MDD -0.1%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
MACD
only
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.6% | Win 67%
Sharpe 1.45 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.3% | Win 76%
Sharpe 2.05 | Sortino 4.57 | Calmar 3.3
Vol 1% | MDD -0.7%
Months 21M (100%)
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
RSmean
neg
CAGR -0.1% | Win 38%
Sharpe -0.10 | Sortino -0.12 | Calmar -0.1
Vol 0% | MDD -0.9%
Months 21M (100%)
CAGR 0.2% | Win 33%
Sharpe 0.70 | Sortino 1.40 | Calmar 0.8
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
RSI
only
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 12.6% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.0%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.21 | Sortino 1.71 | Calmar 1.5
Vol 3% | MDD -2.2%
Months 21M (100%)
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
RSmean
neg
CAGR 0.1% | Win 29%
Sharpe 0.34 | Sortino 0.64 | Calmar 0.3
Vol 0% | MDD -0.4%
Months 21M (100%)
CAGR 0.0% | Win 57%
Sharpe 0.03 | Sortino 0.03 | Calmar 0.0
Vol 0% | MDD -0.7%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
MACDhist
only
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.6% | Win 76%
Sharpe 1.50 | Sortino 1.45 | Calmar 1.9
Vol 7% | MDD -5.5%
Months 21M (100%)
CAGR 5.2% | Win 62%
Sharpe 1.05 | Sortino 1.93 | Calmar 1.6
Vol 5% | MDD -3.2%
Months 21M (100%)
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
RSmean
neg
CAGR 0.2% | Win 33%
Sharpe 0.65 | Sortino 1.40 | Calmar 0.7
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR -0.1% | Win 67%
Sharpe -0.21 | Sortino -0.17 | Calmar -0.1
Vol 0% | MDD -0.8%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 14.5% | Win 71%
Sharpe 1.51 | Sortino 1.96 | Calmar 2.6
Vol 9% | MDD -5.5%
Months 21M (100%)
CAGR 1.4% | Win 52%
Sharpe 1.64 | Sortino 6.83 | Calmar 4.9
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 16.1% | Win 71%
Sharpe 1.59 | Sortino 2.14 | Calmar 2.9
Vol 10% | MDD -5.5%
Months 21M (100%)
RSmean
neg
CAGR 0.0% | Win 48%
Sharpe 0.03 | Sortino 0.03 | Calmar 0.0
Vol 1% | MDD -1.0%
Months 21M (100%)
CAGR 0.1% | Win 10%
Sharpe 0.63 | Sortino 6.97 | Calmar 3.1
Vol 0% | MDD -0.0%
Months 21M (100%)
CAGR 0.1% | Win 48%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.1
Vol 1% | MDD -1.0%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 12.6% | Win 67%
Sharpe 1.34 | Sortino 1.78 | Calmar 2.4
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 1.0% | Win 62%
Sharpe 1.40 | Sortino 2.23 | Calmar 1.9
Vol 1% | MDD -0.5%
Months 21M (100%)
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
MACD
neg
CAGR 0.8% | Win 71%
Sharpe 2.03 | Sortino 7.67 | Calmar 5.0
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 1.4% | Win 67%
Sharpe 2.05 | Sortino 3.62 | Calmar 4.4
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
RSI
only
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.3% | Win 62%
Sharpe 1.44 | Sortino 1.84 | Calmar 2.3
Vol 8% | MDD -4.9%
Months 21M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.85 | Sortino 1.21 | Calmar 0.9
Vol 3% | MDD -2.6%
Months 21M (100%)
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
MACD
neg
CAGR 1.3% | Win 67%
Sharpe 1.89 | Sortino 6.23 | Calmar 3.7
Vol 1% | MDD -0.4%
Months 21M (100%)
CAGR 0.9% | Win 71%
Sharpe 1.88 | Sortino 3.42 | Calmar 4.4
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
MACDhist
only
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 9.1% | Win 76%
Sharpe 1.36 | Sortino 1.31 | Calmar 1.7
Vol 7% | MDD -5.3%
Months 21M (100%)
CAGR 4.4% | Win 62%
Sharpe 0.87 | Sortino 1.57 | Calmar 1.2
Vol 5% | MDD -3.7%
Months 21M (100%)
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
MACD
neg
CAGR 1.6% | Win 57%
Sharpe 2.04 | Sortino 7.70 | Calmar 3.9
Vol 1% | MDD -0.4%
Months 21M (100%)
CAGR 0.7% | Win 67%
Sharpe 1.61 | Sortino 1.99 | Calmar 2.6
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 13.4% | Win 71%
Sharpe 1.39 | Sortino 1.94 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 0.3% | Win 33%
Sharpe 0.57 | Sortino 0.94 | Calmar 1.0
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 13.7% | Win 71%
Sharpe 1.40 | Sortino 1.99 | Calmar 2.5
Vol 10% | MDD -5.4%
Months 21M (100%)
MACD
neg
CAGR 1.0% | Win 67%
Sharpe 2.04 | Sortino 6.14 | Calmar 1.9
Vol 0% | MDD -0.5%
Months 21M (100%)
CAGR 1.3% | Win 57%
Sharpe 2.19 | Sortino 5.01 | Calmar 5.7
Vol 1% | MDD -0.2%
Months 21M (100%)
CAGR 2.3% | Win 71%
Sharpe 2.30 | Sortino 5.52 | Calmar 4.7
Vol 1% | MDD -0.5%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 11.7% | Win 67%
Sharpe 1.47 | Sortino 1.83 | Calmar 2.4
Vol 8% | MDD -5.0%
Months 21M (100%)
CAGR 1.7% | Win 52%
Sharpe 0.76 | Sortino 1.10 | Calmar 0.8
Vol 2% | MDD -2.1%
Months 21M (100%)
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
RSI
neg
CAGR 0.9% | Win 62%
Sharpe 1.77 | Sortino 5.33 | Calmar 8.0
Vol 0% | MDD -0.1%
Months 21M (100%)
CAGR 1.5% | Win 71%
Sharpe 1.64 | Sortino 2.77 | Calmar 2.2
Vol 1% | MDD -0.7%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
MACDhist
only
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.9% | Win 76%
Sharpe 1.43 | Sortino 1.40 | Calmar 1.8
Vol 7% | MDD -5.5%
Months 21M (100%)
CAGR 3.4% | Win 67%
Sharpe 0.74 | Sortino 1.40 | Calmar 1.1
Vol 5% | MDD -3.2%
Months 21M (100%)
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
RSI
neg
CAGR 0.8% | Win 48%
Sharpe 1.75 | Sortino 6.22 | Calmar 3.5
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 1.7% | Win 71%
Sharpe 1.80 | Sortino 2.56 | Calmar 2.3
Vol 1% | MDD -0.7%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 13.3% | Win 67%
Sharpe 1.40 | Sortino 1.84 | Calmar 2.4
Vol 9% | MDD -5.4%
Months 21M (100%)
CAGR 0.2% | Win 33%
Sharpe 0.52 | Sortino 0.70 | Calmar 1.0
Vol 0% | MDD -0.2%
Months 21M (100%)
CAGR 13.5% | Win 67%
Sharpe 1.40 | Sortino 1.88 | Calmar 2.5
Vol 9% | MDD -5.4%
Months 21M (100%)
RSI
neg
CAGR 1.1% | Win 71%
Sharpe 1.63 | Sortino 2.32 | Calmar 2.0
Vol 1% | MDD -0.6%
Months 21M (100%)
CAGR 1.3% | Win 62%
Sharpe 2.02 | Sortino 5.79 | Calmar 5.8
Vol 1% | MDD -0.2%
Months 21M (100%)
CAGR 2.5% | Win 76%
Sharpe 2.05 | Sortino 3.68 | Calmar 3.1
Vol 1% | MDD -0.8%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 9.9% | Win 76%
Sharpe 1.50 | Sortino 1.38 | Calmar 2.0
Vol 6% | MDD -4.9%
Months 21M (100%)
CAGR 2.7% | Win 67%
Sharpe 0.82 | Sortino 1.87 | Calmar 1.7
Vol 3% | MDD -1.6%
Months 21M (100%)
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
MACDhist
neg
CAGR 0.9% | Win 48%
Sharpe 0.96 | Sortino 2.04 | Calmar 1.0
Vol 1% | MDD -0.9%
Months 21M (100%)
CAGR 2.4% | Win 62%
Sharpe 1.00 | Sortino 1.29 | Calmar 1.0
Vol 2% | MDD -2.3%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
RSIhist
only
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.2% | Win 67%
Sharpe 1.50 | Sortino 1.84 | Calmar 2.4
Vol 8% | MDD -5.1%
Months 21M (100%)
CAGR 0.5% | Win 33%
Sharpe 1.70 | Sortino 5.12 | Calmar 7.6
Vol 0% | MDD -0.1%
Months 21M (100%)
CAGR 12.7% | Win 67%
Sharpe 1.55 | Sortino 1.92 | Calmar 2.5
Vol 8% | MDD -5.1%
Months 21M (100%)
MACDhist
neg
CAGR 2.2% | Win 62%
Sharpe 0.91 | Sortino 1.09 | Calmar 0.9
Vol 2% | MDD -2.5%
Months 21M (100%)
CAGR 1.0% | Win 43%
Sharpe 1.47 | Sortino 5.38 | Calmar 3.5
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 3.3% | Win 62%
Sharpe 1.08 | Sortino 1.44 | Calmar 1.2
Vol 3% | MDD -2.7%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.1% | Win 76%
Sharpe 1.45 | Sortino 1.39 | Calmar 1.8
Vol 7% | MDD -5.5%
Months 21M (100%)
CAGR 0.6% | Win 33%
Sharpe 1.22 | Sortino 4.29 | Calmar 2.0
Vol 0% | MDD -0.3%
Months 21M (100%)
CAGR 10.8% | Win 76%
Sharpe 1.50 | Sortino 1.49 | Calmar 1.9
Vol 7% | MDD -5.7%
Months 21M (100%)
RSIhist
neg
CAGR 4.1% | Win 67%
Sharpe 0.84 | Sortino 1.45 | Calmar 1.1
Vol 5% | MDD -3.7%
Months 21M (100%)
CAGR 0.9% | Win 57%
Sharpe 1.70 | Sortino 2.73 | Calmar 3.6
Vol 1% | MDD -0.3%
Months 21M (100%)
CAGR 5.1% | Win 67%
Sharpe 0.99 | Sortino 1.66 | Calmar 1.3
Vol 5% | MDD -3.9%
Months 21M (100%)
LWTI
only
CAGR 14.5% | Win 67%
Sharpe 1.46 | Sortino 1.91 | Calmar 2.6
Vol 10% | MDD -5.5%
Months 21M (100%)
CAGR 1.5% | Win 52%
Sharpe 1.71 | Sortino 7.40 | Calmar 5.2
Vol 1% | MDD -0.3%
Months 21M (100%)