Signal Pair Analysis

Performance Comparison by Signal Pairs

149

Total ETFs

36

Signal Pairs

47

Avg Months

2.4%

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 47 100.0 9.3 63.8 0.7 1.2 0.5 13.7 -18.8
single RSmean RSmean pos-pos 48 100.0 8.9 64.6 0.7 1.3 0.5 12.9 -17.8
single LWTI LWTI pos-pos 48 100.0 7.4 60.4 0.8 1.2 0.6 9.4 -11.5
pair RSmean LWTI pos-pos 48 100.0 7.0 60.4 0.8 1.2 0.7 8.8 -10.5
pair LWTI RSmean pos-pos 48 100.0 7.0 60.4 0.8 1.2 0.7 8.8 -10.5
single MACDhist MACDhist pos-pos 48 100.0 6.5 64.6 1.1 1.9 1.0 6.1 -6.3
pair LWTI MACDhist pos-pos 48 100.0 6.2 64.6 1.1 1.9 1.0 5.8 -6.2
pair MACDhist LWTI pos-pos 48 100.0 6.2 64.6 1.1 1.9 1.0 5.8 -6.2
pair MACD LWTI pos-pos 48 100.0 6.1 60.4 0.8 1.1 0.6 7.8 -10.8
pair LWTI MACD pos-pos 48 100.0 6.1 60.4 0.8 1.1 0.6 7.8 -10.8
pair RSmean MACD pos-pos 48 100.0 6.0 64.6 0.7 0.9 0.4 9.1 -14.2
pair RSmean MACDhist pos-pos 48 100.0 6.0 64.6 1.0 1.8 1.0 5.9 -6.2
pair MACD RSmean pos-pos 48 100.0 6.0 64.6 0.7 0.9 0.4 9.1 -14.2
single MACD MACD pos-pos 48 100.0 6.0 60.4 0.7 0.9 0.4 9.5 -15.0
pair MACDhist RSmean pos-pos 48 100.0 6.0 64.6 1.0 1.8 1.0 5.9 -6.2
single MRmean MRmean pos-pos 48 100.0 5.7 62.5 0.8 1.6 0.6 7.0 -9.7
pair MACD MACDhist pos-pos 48 100.0 5.5 62.5 1.1 1.9 1.2 5.0 -4.7
pair MACDhist MACD pos-pos 48 100.0 5.5 62.5 1.1 1.9 1.2 5.0 -4.7
pair MACDhist RSI pos-pos 48 100.0 5.5 64.6 1.0 1.9 0.9 5.3 -5.9
pair RSI MACDhist pos-pos 48 100.0 5.5 64.6 1.0 1.9 0.9 5.3 -5.9
pair MACDhist MRmean pos-pos 48 100.0 5.4 64.6 1.0 1.7 0.8 5.5 -6.9
pair MRmean MACDhist pos-pos 48 100.0 5.4 64.6 1.0 1.7 0.8 5.5 -6.9
single RSIhist RSIhist pos-pos 48 100.0 5.4 64.6 0.9 1.6 0.9 6.1 -5.7
pair LWTI MRmean pos-pos 48 100.0 5.4 62.5 0.9 1.5 0.6 6.3 -9.4
pair MRmean LWTI pos-pos 48 100.0 5.4 62.5 0.9 1.5 0.6 6.3 -9.4
pair RSmean MRmean pos-pos 48 100.0 5.3 62.5 0.8 1.5 0.6 6.5 -8.5
pair MRmean RSmean pos-pos 48 100.0 5.3 62.5 0.8 1.5 0.6 6.5 -8.5
pair RSI MRmean pos-pos 48 100.0 5.1 62.5 0.8 1.5 0.5 6.3 -9.5
pair RSIhist MRmean pos-pos 48 100.0 5.1 60.4 0.9 1.5 0.9 5.7 -5.7
pair MRmean RSIhist pos-pos 48 100.0 5.1 60.4 0.9 1.5 0.9 5.7 -5.7
pair LWTI RSI pos-pos 48 100.0 5.1 60.4 0.7 1.1 0.5 7.1 -11.5
pair RSI LWTI pos-pos 48 100.0 5.1 60.4 0.7 1.1 0.5 7.1 -11.5
pair LWTI RSIhist pos-pos 48 100.0 5.1 64.6 1.0 1.6 1.0 5.2 -5.3
pair RSIhist LWTI pos-pos 48 100.0 5.1 64.6 1.0 1.6 1.0 5.2 -5.3
pair MRmean RSI pos-pos 48 100.0 5.1 62.5 0.8 1.5 0.5 6.3 -9.5
pair LWTI SLmean pos-pos 48 100.0 5.0 60.4 0.9 1.5 0.7 5.7 -7.7
pair SLmean MRmean pos-pos 48 100.0 5.0 60.4 0.8 1.4 0.6 6.2 -7.8
pair SLmean LWTI pos-pos 48 100.0 5.0 60.4 0.9 1.5 0.7 5.7 -7.7
pair MRmean SLmean pos-pos 48 100.0 5.0 60.4 0.8 1.4 0.6 6.2 -7.8
pair RSIhist SLmean pos-pos 48 100.0 4.9 60.4 0.8 1.4 0.8 5.9 -6.4
pair MRmean MACD pos-pos 48 100.0 4.9 62.5 0.9 1.5 0.6 5.6 -8.4
pair MACD MRmean pos-pos 48 100.0 4.9 62.5 0.9 1.5 0.6 5.6 -8.4
pair RSIhist MACDhist pos-pos 48 100.0 4.9 60.4 1.0 1.6 1.0 4.8 -5.0
pair MACDhist RSIhist pos-pos 48 100.0 4.9 60.4 1.0 1.6 1.0 4.8 -5.0
pair SLmean RSIhist pos-pos 48 100.0 4.9 60.4 0.8 1.4 0.8 5.9 -6.4
pair MACDhist SLmean pos-pos 48 100.0 4.8 62.5 1.0 1.6 0.8 4.9 -6.0
pair SLmean MACDhist pos-pos 48 100.0 4.8 62.5 1.0 1.6 0.8 4.9 -6.0
single SLmean SLmean pos-pos 48 100.0 4.8 62.5 0.7 1.4 0.5 6.9 -10.0
pair RSIhist RSmean pos-pos 48 100.0 4.8 62.5 0.8 1.4 0.9 5.7 -5.5
pair RSmean RSIhist pos-pos 48 100.0 4.8 62.5 0.8 1.4 0.9 5.7 -5.5
single RSI RSI neg-neg 48 100.0 4.7 58.3 0.6 1.0 0.6 7.5 -7.6
single RSI RSI pos-pos 48 100.0 4.7 60.4 0.6 1.0 0.3 7.7 -13.8
pair SLmean RSmean neg-pos 48 100.0 4.6 54.2 0.6 0.7 0.4 8.8 -11.3
pair RSmean SLmean neg-pos 48 100.0 4.6 54.2 0.6 0.7 0.4 8.8 -11.3
pair RSIhist RSI pos-pos 48 100.0 4.6 60.4 0.9 1.5 0.7 5.1 -6.1
pair RSI RSIhist pos-pos 48 100.0 4.6 60.4 0.9 1.5 0.7 5.1 -6.1
pair RSI RSmean pos-neg 48 100.0 4.5 56.2 0.6 1.0 0.6 7.3 -7.4
pair RSI RSmean pos-pos 48 100.0 4.5 62.5 0.7 1.1 0.4 7.2 -12.3
pair RSmean RSI pos-pos 48 100.0 4.5 62.5 0.7 1.1 0.4 7.2 -12.3
pair RSmean RSI pos-neg 48 100.0 4.5 56.2 0.6 1.0 0.6 7.3 -7.4
pair RSI MACD pos-pos 48 100.0 4.4 60.4 0.7 1.0 0.3 7.1 -12.6
pair MACD RSI pos-pos 48 100.0 4.4 60.4 0.7 1.0 0.3 7.1 -12.6
pair RSmean SLmean pos-pos 48 100.0 4.4 62.5 0.7 1.4 0.5 6.4 -8.7
pair SLmean RSmean pos-pos 48 100.0 4.4 62.5 0.7 1.4 0.5 6.4 -8.7
single SLmean SLmean neg-neg 48 100.0 4.4 54.2 0.5 0.7 0.4 9.0 -11.8
pair MACD RSIhist pos-pos 48 100.0 4.3 58.3 1.0 1.7 0.9 4.4 -4.9
pair RSIhist MACD pos-pos 48 100.0 4.3 58.3 1.0 1.7 0.9 4.4 -4.9
pair RSI MRmean neg-neg 48 100.0 4.1 58.3 0.6 0.9 0.5 7.0 -7.6
pair SLmean RSI pos-pos 48 100.0 4.1 60.4 0.7 1.3 0.4 5.8 -9.8
pair RSI SLmean pos-pos 48 100.0 4.1 60.4 0.7 1.3 0.4 5.8 -9.8
pair RSIhist RSmean pos-neg 48 100.0 4.1 58.3 0.5 0.6 0.3 9.6 -15.1
pair MRmean RSI neg-neg 48 100.0 4.1 58.3 0.6 0.9 0.5 7.0 -7.6
pair RSmean RSIhist pos-neg 48 100.0 4.1 58.3 0.5 0.6 0.3 9.6 -15.1
pair RSI SLmean neg-neg 48 100.0 4.0 56.2 0.6 0.8 0.6 6.7 -6.8
pair SLmean RSI neg-neg 48 100.0 4.0 56.2 0.6 0.8 0.6 6.7 -6.8
pair RSIhist SLmean neg-neg 48 100.0 3.9 54.2 0.5 0.6 0.3 8.9 -11.7
pair SLmean RSIhist neg-neg 48 100.0 3.9 54.2 0.5 0.6 0.3 8.9 -11.7
pair SLmean MACD pos-pos 48 100.0 3.9 58.3 0.8 1.3 0.5 5.2 -8.7
pair MACD SLmean pos-pos 48 100.0 3.9 58.3 0.8 1.3 0.5 5.2 -8.7
pair RSIhist RSI neg-neg 48 100.0 3.8 54.2 0.6 0.8 0.5 6.9 -7.6
pair RSI RSIhist neg-neg 48 100.0 3.8 54.2 0.6 0.8 0.5 6.9 -7.6
single RSIhist RSIhist neg-neg 48 100.0 3.8 58.3 0.4 0.5 0.2 10.0 -16.0
pair SLmean MRmean neg-neg 48 100.0 3.8 56.2 0.5 0.6 0.3 8.0 -11.0
pair MRmean SLmean neg-neg 48 100.0 3.8 56.2 0.5 0.6 0.3 8.0 -11.0
pair MRmean RSmean neg-pos 48 100.0 3.7 60.4 0.5 0.6 0.3 8.4 -12.3
pair RSmean MRmean neg-pos 48 100.0 3.7 60.4 0.5 0.6 0.3 8.4 -12.3
pair MACDhist RSI neg-neg 48 100.0 3.7 58.3 0.6 0.8 0.5 7.0 -7.8
pair RSI MACDhist neg-neg 48 100.0 3.7 58.3 0.6 0.8 0.5 7.0 -7.8
single MRmean MRmean neg-neg 48 100.0 3.6 60.4 0.5 0.6 0.3 8.7 -12.8
pair RSIhist MRmean neg-neg 48 100.0 3.3 56.2 0.4 0.5 0.3 8.4 -12.7
pair MRmean RSIhist neg-neg 48 100.0 3.3 56.2 0.4 0.5 0.3 8.4 -12.7
single MACD MACD neg-neg 48 100.0 3.3 62.5 0.7 1.2 0.6 5.2 -5.2
pair RSI MACD neg-neg 48 100.0 3.1 60.4 0.7 1.2 0.7 4.6 -4.2
pair MACD RSI neg-neg 48 100.0 3.1 60.4 0.7 1.2 0.7 4.6 -4.2
pair MACD RSmean pos-neg 48 100.0 3.0 60.4 0.6 1.1 0.7 4.9 -4.6
pair RSmean MACD pos-neg 48 100.0 3.0 60.4 0.6 1.1 0.7 4.9 -4.6
pair RSmean MACDhist pos-neg 48 100.0 3.0 54.2 0.4 0.5 0.2 9.0 -14.4
pair MACDhist RSmean pos-neg 48 100.0 3.0 54.2 0.4 0.5 0.2 9.0 -14.4
pair MACDhist SLmean neg-neg 48 100.0 2.8 52.1 0.4 0.5 0.2 7.6 -11.6
pair SLmean MACDhist neg-neg 48 100.0 2.8 52.1 0.4 0.5 0.2 7.6 -11.6
single MACDhist MACDhist neg-neg 48 100.0 2.8 54.2 0.3 0.4 0.2 9.5 -15.3
pair MRmean MACD neg-neg 48 100.0 2.6 58.3 0.7 1.0 0.7 4.0 -3.9
pair MACD MRmean neg-neg 48 100.0 2.6 58.3 0.7 1.0 0.7 4.0 -3.9
pair MACDhist MRmean neg-neg 48 100.0 2.6 56.2 0.3 0.4 0.2 8.1 -12.9
pair MRmean MACDhist neg-neg 48 100.0 2.6 56.2 0.3 0.4 0.2 8.1 -12.9
pair SLmean MACD neg-neg 48 100.0 2.4 60.4 0.7 0.9 0.7 3.8 -3.6
pair MACD SLmean neg-neg 48 100.0 2.4 60.4 0.7 0.9 0.7 3.8 -3.6
pair LWTI SLmean neg-pos 48 100.0 2.4 56.2 0.5 0.6 0.4 5.5 -6.6
pair SLmean LWTI neg-pos 48 100.0 2.4 56.2 0.5 0.6 0.4 5.5 -6.6
pair LWTI RSI neg-neg 48 100.0 2.4 56.2 0.5 0.7 0.4 5.4 -6.5
pair RSI LWTI neg-neg 48 100.0 2.4 56.2 0.5 0.7 0.4 5.4 -6.5
pair LWTI RSI neg-pos 48 100.0 2.3 58.3 0.7 1.3 0.7 3.2 -3.2
pair RSI LWTI neg-pos 48 100.0 2.3 58.3 0.7 1.3 0.7 3.2 -3.2
pair RSIhist MACDhist neg-neg 48 100.0 2.3 54.2 0.3 0.4 0.2 8.4 -14.7
pair MACDhist RSIhist neg-neg 48 100.0 2.3 54.2 0.3 0.4 0.2 8.4 -14.7
pair RSIhist LWTI neg-pos 48 100.0 2.3 60.4 0.4 0.5 0.3 6.2 -9.2
pair LWTI RSIhist neg-pos 48 100.0 2.3 60.4 0.4 0.5 0.3 6.2 -9.2
pair MACD MACDhist neg-neg 48 100.0 2.3 56.2 0.5 0.9 0.6 4.5 -4.1
pair MACDhist MACD neg-neg 48 100.0 2.3 56.2 0.5 0.9 0.6 4.5 -4.1
pair MACD RSIhist neg-neg 48 100.0 2.2 56.2 0.6 0.9 0.6 3.8 -3.8
pair RSIhist MACD neg-neg 48 100.0 2.2 56.2 0.6 0.9 0.6 3.8 -3.8
pair SLmean LWTI neg-neg 48 100.0 2.1 58.3 0.5 0.6 0.4 4.8 -5.9
pair LWTI SLmean neg-neg 48 100.0 2.1 58.3 0.5 0.6 0.4 4.8 -5.9
pair SLmean MACD neg-pos 48 100.0 2.1 52.1 0.4 0.5 0.2 6.1 -8.5
pair MACD SLmean neg-pos 48 100.0 2.1 52.1 0.4 0.5 0.2 6.1 -8.5
pair LWTI RSmean pos-neg 48 100.0 2.1 56.2 0.4 0.5 0.3 6.2 -7.7
pair RSmean LWTI pos-neg 48 100.0 2.1 56.2 0.4 0.5 0.3 6.2 -7.7
pair MACD LWTI neg-neg 48 100.0 2.0 56.2 0.5 0.8 0.5 3.9 -3.7
pair LWTI MACD neg-neg 48 100.0 2.0 56.2 0.5 0.8 0.5 3.9 -3.7
pair MRmean LWTI neg-pos 48 100.0 2.0 60.4 0.5 0.6 0.3 4.4 -6.1
pair LWTI MRmean neg-pos 48 100.0 2.0 60.4 0.5 0.6 0.3 4.4 -6.1
single LWTI LWTI neg-neg 48 100.0 1.9 56.2 0.3 0.5 0.2 6.2 -7.8
pair MACDhist SLmean neg-pos 48 100.0 1.7 50.0 0.8 1.4 0.7 2.2 -2.3
pair RSIhist MACD pos-neg 48 100.0 1.7 62.5 0.3 0.3 0.1 7.0 -12.5
pair LWTI MRmean neg-neg 48 100.0 1.7 58.3 0.3 0.4 0.2 5.4 -7.2
pair MRmean LWTI neg-neg 48 100.0 1.7 58.3 0.3 0.4 0.2 5.4 -7.2
pair SLmean MACDhist neg-pos 48 100.0 1.7 50.0 0.8 1.4 0.7 2.2 -2.3
pair MACD RSIhist pos-neg 48 100.0 1.7 62.5 0.3 0.3 0.1 7.0 -12.5
pair LWTI MACDhist neg-neg 48 100.0 1.6 58.3 0.3 0.4 0.2 6.1 -7.6
pair MACD RSI pos-neg 48 100.0 1.6 56.2 0.5 0.6 0.4 3.7 -4.3
pair LWTI RSIhist neg-neg 48 100.0 1.6 56.2 0.3 0.4 0.2 5.2 -7.1
pair RSIhist LWTI neg-neg 48 100.0 1.6 56.2 0.3 0.4 0.2 5.2 -7.1
pair MACDhist RSIhist pos-neg 48 100.0 1.6 64.6 0.7 1.1 0.9 2.3 -1.9
pair MACDhist LWTI neg-neg 48 100.0 1.6 58.3 0.3 0.4 0.2 6.1 -7.6
pair RSIhist MACDhist pos-neg 48 100.0 1.6 64.6 0.7 1.1 0.9 2.3 -1.9
pair RSI MACD pos-neg 48 100.0 1.6 56.2 0.5 0.6 0.4 3.7 -4.3
pair MACD LWTI neg-pos 48 100.0 1.4 66.7 0.6 1.0 0.4 2.2 -3.5
pair LWTI MACD neg-pos 48 100.0 1.4 66.7 0.6 1.0 0.4 2.2 -3.5
pair LWTI MACDhist neg-pos 48 100.0 1.3 54.2 0.3 0.4 0.2 4.5 -7.9
pair MACDhist LWTI neg-pos 48 100.0 1.3 54.2 0.3 0.4 0.2 4.5 -7.9
pair MRmean MACD neg-pos 48 100.0 1.2 60.4 0.2 0.2 0.1 5.5 -9.2
pair MACD MRmean neg-pos 48 100.0 1.2 60.4 0.2 0.2 0.1 5.5 -9.2
pair MACD RSIhist neg-pos 48 100.0 1.1 58.3 0.5 0.6 0.5 2.3 -2.3
pair MRmean MACDhist neg-pos 48 100.0 1.1 52.1 1.0 2.3 1.9 1.1 -0.6
pair RSIhist MACD neg-pos 48 100.0 1.1 58.3 0.5 0.6 0.5 2.3 -2.3
pair MACDhist MRmean neg-pos 48 100.0 1.1 52.1 1.0 2.3 1.9 1.1 -0.6
pair RSI MACDhist neg-pos 48 100.0 1.0 56.2 0.9 1.3 0.6 1.0 -1.6
pair MACDhist MACD neg-pos 48 100.0 1.0 64.6 0.7 1.0 0.4 1.3 -2.3
pair MACD MACDhist neg-pos 48 100.0 1.0 64.6 0.7 1.0 0.4 1.3 -2.3
pair MACDhist RSI neg-pos 48 100.0 1.0 56.2 0.9 1.3 0.6 1.0 -1.6
pair MACD SLmean pos-neg 48 100.0 0.9 58.3 0.4 0.6 0.4 2.2 -2.1
pair SLmean MACD pos-neg 48 100.0 0.9 58.3 0.4 0.6 0.4 2.2 -2.1
pair MRmean MACD pos-neg 48 100.0 0.8 58.3 0.4 0.6 0.3 1.8 -2.5
pair RSI RSIhist neg-pos 48 100.0 0.8 52.1 0.6 1.0 0.6 1.4 -1.3
pair RSIhist RSI neg-pos 48 100.0 0.8 52.1 0.6 1.0 0.6 1.4 -1.3
pair MACD MRmean pos-neg 48 100.0 0.8 58.3 0.4 0.6 0.3 1.8 -2.5
pair RSI SLmean pos-neg 48 100.0 0.7 50.0 0.5 0.7 0.7 1.6 -1.0
pair MRmean SLmean pos-neg 48 100.0 0.7 50.0 0.5 0.6 0.3 1.6 -2.3
pair SLmean RSI pos-neg 48 100.0 0.7 50.0 0.5 0.7 0.7 1.6 -1.0
pair SLmean MRmean pos-neg 48 100.0 0.7 50.0 0.5 0.6 0.3 1.6 -2.3
pair MRmean RSIhist pos-neg 48 100.0 0.6 60.4 0.3 0.3 0.1 2.1 -4.1
pair MACD MACDhist pos-neg 48 100.0 0.6 56.2 0.1 0.1 0.1 5.9 -11.5
pair SLmean RSI neg-pos 48 100.0 0.6 54.2 0.2 0.2 0.1 2.9 -5.1
pair RSmean RSIhist neg-pos 48 100.0 0.6 54.2 0.7 1.9 1.0 0.9 -0.6
pair RSIhist RSmean neg-pos 48 100.0 0.6 54.2 0.7 1.9 1.0 0.9 -0.6
pair RSI SLmean neg-pos 48 100.0 0.6 54.2 0.2 0.2 0.1 2.9 -5.1
pair RSIhist MRmean pos-neg 48 100.0 0.6 60.4 0.3 0.3 0.1 2.1 -4.1
pair MRmean RSI pos-neg 48 100.0 0.6 50.0 0.6 0.8 0.4 1.1 -1.6
pair MACDhist MACD pos-neg 48 100.0 0.6 56.2 0.1 0.1 0.1 5.9 -11.5
pair RSI MRmean pos-neg 48 100.0 0.6 50.0 0.6 0.8 0.4 1.1 -1.6
pair LWTI RSmean neg-pos 48 100.0 0.5 52.1 0.4 0.9 0.4 1.1 -1.2
pair RSIhist SLmean neg-pos 48 100.0 0.5 41.7 0.8 1.3 0.6 0.6 -0.9
pair SLmean RSIhist neg-pos 48 100.0 0.5 41.7 0.8 1.3 0.6 0.6 -0.9
pair MACDhist RSIhist neg-pos 48 100.0 0.5 54.2 0.2 0.3 0.2 2.5 -2.5
pair RSIhist MACDhist neg-pos 48 100.0 0.5 54.2 0.2 0.3 0.2 2.5 -2.5
pair MACDhist RSmean neg-pos 48 100.0 0.5 50.0 1.0 3.2 1.7 0.5 -0.3
pair RSmean LWTI neg-pos 48 100.0 0.5 52.1 0.4 0.9 0.4 1.1 -1.2
pair RSmean MACDhist neg-pos 48 100.0 0.5 50.0 1.0 3.2 1.7 0.5 -0.3
pair MRmean RSmean pos-neg 48 100.0 0.4 45.8 0.4 1.0 0.3 1.0 -1.3
pair SLmean RSmean pos-neg 48 100.0 0.4 50.0 0.5 1.2 0.3 1.0 -1.3
pair RSmean MRmean pos-neg 48 100.0 0.4 45.8 0.4 1.0 0.3 1.0 -1.3
pair RSmean SLmean pos-neg 48 100.0 0.4 50.0 0.5 1.2 0.3 1.0 -1.3
single RSmean RSmean neg-neg 48 100.0 0.3 50.0 0.3 0.6 0.2 1.1 -2.0
pair MRmean RSIhist neg-pos 48 100.0 0.3 47.9 0.4 0.4 0.4 0.8 -0.8
pair RSIhist LWTI pos-neg 48 100.0 0.3 47.9 0.2 0.2 0.1 2.0 -2.3
pair LWTI RSIhist pos-neg 48 100.0 0.3 47.9 0.2 0.2 0.1 2.0 -2.3
pair RSmean MACD neg-neg 48 100.0 0.3 50.0 0.5 1.0 0.5 0.5 -0.6
pair MACD RSmean neg-neg 48 100.0 0.3 50.0 0.5 1.0 0.5 0.5 -0.6
pair MACDhist MRmean pos-neg 48 100.0 0.3 52.1 0.1 0.2 0.1 2.4 -3.0
pair RSIhist MRmean neg-pos 48 100.0 0.3 47.9 0.4 0.4 0.4 0.8 -0.8
pair MRmean MACDhist pos-neg 48 100.0 0.3 52.1 0.1 0.2 0.1 2.4 -3.0
pair MACDhist LWTI pos-neg 48 100.0 0.3 37.5 0.7 1.4 0.6 0.4 -0.5
pair LWTI MACDhist pos-neg 48 100.0 0.3 37.5 0.7 1.4 0.6 0.4 -0.5
pair RSI RSmean neg-neg 48 100.0 0.2 50.0 0.4 0.5 0.3 0.4 -0.6
pair RSmean RSI neg-neg 48 100.0 0.2 50.0 0.4 0.5 0.3 0.4 -0.6
pair MACD RSI neg-pos 48 100.0 0.2 56.2 0.2 0.2 0.2 1.0 -1.4
pair MRmean LWTI pos-neg 48 100.0 0.2 43.8 0.2 0.2 0.1 1.5 -2.0
pair RSI RSIhist pos-neg 48 100.0 0.2 60.4 0.1 0.1 0.0 3.8 -8.8
pair RSIhist RSI pos-neg 48 100.0 0.2 60.4 0.1 0.1 0.0 3.8 -8.8
pair LWTI MRmean pos-neg 48 100.0 0.2 43.8 0.2 0.2 0.1 1.5 -2.0
pair RSI MACD neg-pos 48 100.0 0.2 56.2 0.2 0.2 0.2 1.0 -1.4
pair RSI RSmean neg-pos 48 100.0 0.1 50.0 0.2 0.3 0.1 0.9 -1.8
pair SLmean MACDhist pos-neg 48 100.0 0.1 54.2 0.1 0.1 0.0 3.2 -4.7
pair MACDhist SLmean pos-neg 48 100.0 0.1 54.2 0.1 0.1 0.0 3.2 -4.7
pair RSmean RSI neg-pos 48 100.0 0.1 50.0 0.2 0.3 0.1 0.9 -1.8
single MACDhist MACDhist pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACDhist MACDhist neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MRmean MRmean pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MRmean MRmean neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single SLmean SLmean neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single SLmean SLmean pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSmean RSmean pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSmean RSmean neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single LWTI LWTI pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single LWTI LWTI neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair MACD RSmean neg-pos 48 100.0 0.0 45.8 0.0 0.1 0.0 0.7 -1.5
pair MACD LWTI pos-neg 48 100.0 0.0 35.4 0.0 0.0 0.0 2.6 -4.4
pair LWTI MACD pos-neg 48 100.0 0.0 35.4 0.0 0.0 0.0 2.6 -4.4
pair RSIhist SLmean pos-neg 48 100.0 0.0 56.2 0.0 0.0 0.0 1.8 -4.7
single RSIhist RSIhist neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSIhist RSIhist pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair SLmean RSIhist pos-neg 48 100.0 0.0 56.2 0.0 0.0 0.0 1.8 -4.7
pair RSmean MACD neg-pos 48 100.0 0.0 45.8 0.0 0.1 0.0 0.7 -1.5
single MACD MACD pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single MACD MACD neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSI RSI neg-pos 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
single RSI RSI pos-neg 48 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
pair SLmean MRmean neg-pos 48 100.0 -0.1 50.0 -0.1 -0.1 -0.1 1.4 -2.3
pair MRmean SLmean neg-pos 48 100.0 -0.1 50.0 -0.1 -0.1 -0.1 1.4 -2.3
pair MRmean RSmean neg-neg 48 100.0 -0.1 41.7 -0.2 -0.2 -0.1 0.4 -0.8
pair RSmean MRmean neg-neg 48 100.0 -0.1 41.7 -0.2 -0.2 -0.1 0.4 -0.8
pair RSmean LWTI neg-neg 48 100.0 -0.1 18.8 -0.6 -0.6 -0.2 0.2 -0.9
pair LWTI RSmean neg-neg 48 100.0 -0.1 18.8 -0.6 -0.6 -0.2 0.2 -0.9
pair RSmean SLmean neg-neg 48 100.0 -0.1 39.6 -0.3 -0.3 -0.1 0.4 -1.1
pair SLmean RSmean neg-neg 48 100.0 -0.1 39.6 -0.3 -0.3 -0.1 0.4 -1.1
pair MACDhist RSmean neg-neg 48 100.0 -0.2 39.6 -0.2 -0.3 -0.1 0.8 -1.8
pair RSmean MACDhist neg-neg 48 100.0 -0.2 39.6 -0.2 -0.3 -0.1 0.8 -1.8
pair SLmean LWTI pos-neg 48 100.0 -0.2 45.8 -0.1 -0.1 -0.1 2.2 -3.0
pair LWTI SLmean pos-neg 48 100.0 -0.2 45.8 -0.1 -0.1 -0.1 2.2 -3.0
pair RSI MRmean neg-pos 48 100.0 -0.3 64.6 -0.1 -0.1 -0.1 2.1 -5.6
pair MRmean RSI neg-pos 48 100.0 -0.3 64.6 -0.1 -0.1 -0.1 2.1 -5.6
pair RSIhist RSmean neg-neg 48 100.0 -0.3 45.8 -0.5 -0.5 -0.2 0.6 -1.7
pair RSmean RSIhist neg-neg 48 100.0 -0.3 45.8 -0.5 -0.5 -0.2 0.6 -1.7
pair LWTI RSI pos-neg 48 100.0 -0.4 39.6 -0.3 -0.3 -0.1 1.2 -2.8
pair RSI LWTI pos-neg 48 100.0 -0.4 39.6 -0.3 -0.3 -0.1 1.2 -2.8
pair MACDhist RSI pos-neg 48 100.0 -0.7 47.9 -0.2 -0.2 -0.1 3.2 -9.2
pair RSI MACDhist pos-neg 48 100.0 -0.7 47.9 -0.2 -0.2 -0.1 3.2 -9.2

Contingency Tables by Signal Pair

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.0% | Win 60%
Sharpe 0.81 | Sortino 1.40 | Calmar 0.6
Vol 6% | MDD -7.8%
Months 48M (100%)
CAGR 0.7% | Win 50%
Sharpe 0.45 | Sortino 0.57 | Calmar 0.3
Vol 2% | MDD -2.3%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR -0.1% | Win 50%
Sharpe -0.07 | Sortino -0.07 | Calmar -0.0
Vol 1% | MDD -2.3%
Months 48M (100%)
CAGR 3.8% | Win 56%
Sharpe 0.50 | Sortino 0.62 | Calmar 0.3
Vol 8% | MDD -11.0%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
SLmean
only
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 62%
Sharpe 0.83 | Sortino 1.54 | Calmar 0.6
Vol 6% | MDD -8.5%
Months 48M (100%)
CAGR 0.4% | Win 46%
Sharpe 0.39 | Sortino 1.02 | Calmar 0.3
Vol 1% | MDD -1.3%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR 3.7% | Win 60%
Sharpe 0.47 | Sortino 0.60 | Calmar 0.3
Vol 8% | MDD -12.3%
Months 48M (100%)
CAGR -0.1% | Win 42%
Sharpe -0.17 | Sortino -0.23 | Calmar -0.1
Vol 0% | MDD -0.8%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
RSmean
only
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.9% | Win 62%
Sharpe 0.88 | Sortino 1.54 | Calmar 0.6
Vol 6% | MDD -8.4%
Months 48M (100%)
CAGR 0.8% | Win 58%
Sharpe 0.44 | Sortino 0.56 | Calmar 0.3
Vol 2% | MDD -2.5%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR 1.2% | Win 60%
Sharpe 0.24 | Sortino 0.25 | Calmar 0.1
Vol 6% | MDD -9.2%
Months 48M (100%)
CAGR 2.6% | Win 58%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.7
Vol 4% | MDD -3.9%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
MACD
only
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 62%
Sharpe 0.82 | Sortino 1.49 | Calmar 0.5
Vol 6% | MDD -9.5%
Months 48M (100%)
CAGR 0.6% | Win 50%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.4
Vol 1% | MDD -1.6%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR -0.3% | Win 65%
Sharpe -0.15 | Sortino -0.13 | Calmar -0.1
Vol 2% | MDD -5.6%
Months 48M (100%)
CAGR 4.1% | Win 58%
Sharpe 0.60 | Sortino 0.86 | Calmar 0.5
Vol 7% | MDD -7.6%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
RSI
only
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 5.4% | Win 65%
Sharpe 0.99 | Sortino 1.73 | Calmar 0.8
Vol 6% | MDD -6.9%
Months 48M (100%)
CAGR 0.3% | Win 52%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.1
Vol 2% | MDD -3.0%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR 1.1% | Win 52%
Sharpe 1.02 | Sortino 2.26 | Calmar 1.9
Vol 1% | MDD -0.6%
Months 48M (100%)
CAGR 2.6% | Win 56%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.2
Vol 8% | MDD -12.9%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
MACDhist
only
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 60%
Sharpe 0.90 | Sortino 1.53 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 0.6% | Win 60%
Sharpe 0.30 | Sortino 0.35 | Calmar 0.1
Vol 2% | MDD -4.1%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR 0.3% | Win 48%
Sharpe 0.39 | Sortino 0.42 | Calmar 0.4
Vol 1% | MDD -0.8%
Months 48M (100%)
CAGR 3.3% | Win 56%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.3
Vol 8% | MDD -12.7%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 5.4% | Win 62%
Sharpe 0.87 | Sortino 1.51 | Calmar 0.6
Vol 6% | MDD -9.4%
Months 48M (100%)
CAGR 0.2% | Win 44%
Sharpe 0.16 | Sortino 0.15 | Calmar 0.1
Vol 2% | MDD -2.0%
Months 48M (100%)
CAGR 5.7% | Win 62%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.6
Vol 7% | MDD -9.7%
Months 48M (100%)
MRmean
neg
CAGR 2.0% | Win 60%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.3
Vol 4% | MDD -6.1%
Months 48M (100%)
CAGR 1.7% | Win 58%
Sharpe 0.34 | Sortino 0.44 | Calmar 0.2
Vol 5% | MDD -7.2%
Months 48M (100%)
CAGR 3.6% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.3
Vol 9% | MDD -12.8%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 4.4% | Win 62%
Sharpe 0.71 | Sortino 1.42 | Calmar 0.5
Vol 6% | MDD -8.7%
Months 48M (100%)
CAGR 0.4% | Win 50%
Sharpe 0.45 | Sortino 1.16 | Calmar 0.3
Vol 1% | MDD -1.3%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 4.6% | Win 54%
Sharpe 0.55 | Sortino 0.73 | Calmar 0.4
Vol 9% | MDD -11.3%
Months 48M (100%)
CAGR -0.1% | Win 40%
Sharpe -0.30 | Sortino -0.35 | Calmar -0.1
Vol 0% | MDD -1.1%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
RSmean
only
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 3.9% | Win 58%
Sharpe 0.76 | Sortino 1.31 | Calmar 0.5
Vol 5% | MDD -8.7%
Months 48M (100%)
CAGR 0.9% | Win 58%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.4
Vol 2% | MDD -2.1%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 2.1% | Win 52%
Sharpe 0.38 | Sortino 0.45 | Calmar 0.3
Vol 6% | MDD -8.5%
Months 48M (100%)
CAGR 2.4% | Win 60%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.7
Vol 4% | MDD -3.6%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
MACD
only
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 4.1% | Win 60%
Sharpe 0.72 | Sortino 1.27 | Calmar 0.4
Vol 6% | MDD -9.8%
Months 48M (100%)
CAGR 0.7% | Win 50%
Sharpe 0.46 | Sortino 0.74 | Calmar 0.7
Vol 2% | MDD -1.0%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 0.6% | Win 54%
Sharpe 0.21 | Sortino 0.24 | Calmar 0.1
Vol 3% | MDD -5.1%
Months 48M (100%)
CAGR 4.0% | Win 56%
Sharpe 0.61 | Sortino 0.84 | Calmar 0.6
Vol 7% | MDD -6.8%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
RSI
only
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 4.8% | Win 62%
Sharpe 0.98 | Sortino 1.56 | Calmar 0.8
Vol 5% | MDD -6.0%
Months 48M (100%)
CAGR 0.1% | Win 54%
Sharpe 0.05 | Sortino 0.07 | Calmar 0.0
Vol 3% | MDD -4.7%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 1.7% | Win 50%
Sharpe 0.77 | Sortino 1.40 | Calmar 0.7
Vol 2% | MDD -2.3%
Months 48M (100%)
CAGR 2.8% | Win 52%
Sharpe 0.40 | Sortino 0.47 | Calmar 0.2
Vol 8% | MDD -11.6%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
MACDhist
only
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 4.9% | Win 60%
Sharpe 0.84 | Sortino 1.41 | Calmar 0.8
Vol 6% | MDD -6.4%
Months 48M (100%)
CAGR 0.0% | Win 56%
Sharpe 0.01 | Sortino 0.01 | Calmar 0.0
Vol 2% | MDD -4.7%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 0.5% | Win 42%
Sharpe 0.83 | Sortino 1.27 | Calmar 0.6
Vol 1% | MDD -0.9%
Months 48M (100%)
CAGR 3.9% | Win 54%
Sharpe 0.48 | Sortino 0.61 | Calmar 0.3
Vol 9% | MDD -11.7%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.0% | Win 60%
Sharpe 0.88 | Sortino 1.53 | Calmar 0.7
Vol 6% | MDD -7.7%
Months 48M (100%)
CAGR -0.2% | Win 46%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.1
Vol 2% | MDD -3.0%
Months 48M (100%)
CAGR 4.8% | Win 62%
Sharpe 0.72 | Sortino 1.42 | Calmar 0.5
Vol 7% | MDD -10.0%
Months 48M (100%)
SLmean
neg
CAGR 2.4% | Win 56%
Sharpe 0.46 | Sortino 0.64 | Calmar 0.4
Vol 6% | MDD -6.6%
Months 48M (100%)
CAGR 2.1% | Win 58%
Sharpe 0.46 | Sortino 0.56 | Calmar 0.4
Vol 5% | MDD -5.9%
Months 48M (100%)
CAGR 4.4% | Win 54%
Sharpe 0.52 | Sortino 0.68 | Calmar 0.4
Vol 9% | MDD -11.8%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.0% | Win 65%
Sharpe 0.69 | Sortino 0.91 | Calmar 0.4
Vol 9% | MDD -14.2%
Months 48M (100%)
CAGR 3.0% | Win 60%
Sharpe 0.64 | Sortino 1.15 | Calmar 0.7
Vol 5% | MDD -4.6%
Months 48M (100%)
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
RSmean
neg
CAGR 0.0% | Win 46%
Sharpe 0.04 | Sortino 0.07 | Calmar 0.0
Vol 1% | MDD -1.5%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.54 | Sortino 1.01 | Calmar 0.4
Vol 0% | MDD -0.6%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
MACD
only
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.5% | Win 62%
Sharpe 0.65 | Sortino 1.06 | Calmar 0.4
Vol 7% | MDD -12.3%
Months 48M (100%)
CAGR 4.5% | Win 56%
Sharpe 0.64 | Sortino 0.99 | Calmar 0.6
Vol 7% | MDD -7.4%
Months 48M (100%)
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
RSmean
neg
CAGR 0.1% | Win 50%
Sharpe 0.17 | Sortino 0.32 | Calmar 0.1
Vol 1% | MDD -1.8%
Months 48M (100%)
CAGR 0.2% | Win 50%
Sharpe 0.42 | Sortino 0.50 | Calmar 0.3
Vol 0% | MDD -0.6%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
RSI
only
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 6.0% | Win 65%
Sharpe 1.02 | Sortino 1.76 | Calmar 1.0
Vol 6% | MDD -6.2%
Months 48M (100%)
CAGR 3.0% | Win 54%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.2
Vol 9% | MDD -14.4%
Months 48M (100%)
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
RSmean
neg
CAGR 0.5% | Win 50%
Sharpe 1.00 | Sortino 3.25 | Calmar 1.7
Vol 0% | MDD -0.3%
Months 48M (100%)
CAGR -0.2% | Win 40%
Sharpe -0.19 | Sortino -0.31 | Calmar -0.1
Vol 1% | MDD -1.8%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
MACDhist
only
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 4.8% | Win 62%
Sharpe 0.85 | Sortino 1.42 | Calmar 0.9
Vol 6% | MDD -5.5%
Months 48M (100%)
CAGR 4.1% | Win 58%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 10% | MDD -15.1%
Months 48M (100%)
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
RSmean
neg
CAGR 0.6% | Win 54%
Sharpe 0.65 | Sortino 1.87 | Calmar 1.0
Vol 1% | MDD -0.6%
Months 48M (100%)
CAGR -0.3% | Win 46%
Sharpe -0.48 | Sortino -0.54 | Calmar -0.2
Vol 1% | MDD -1.7%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.0% | Win 60%
Sharpe 0.81 | Sortino 1.24 | Calmar 0.7
Vol 9% | MDD -10.5%
Months 48M (100%)
CAGR 2.1% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.3
Vol 6% | MDD -7.7%
Months 48M (100%)
CAGR 8.9% | Win 65%
Sharpe 0.72 | Sortino 1.26 | Calmar 0.5
Vol 13% | MDD -17.8%
Months 48M (100%)
RSmean
neg
CAGR 0.5% | Win 52%
Sharpe 0.42 | Sortino 0.93 | Calmar 0.4
Vol 1% | MDD -1.2%
Months 48M (100%)
CAGR -0.1% | Win 19%
Sharpe -0.59 | Sortino -0.58 | Calmar -0.2
Vol 0% | MDD -0.9%
Months 48M (100%)
CAGR 0.3% | Win 50%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.2
Vol 1% | MDD -2.0%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.4% | Win 60%
Sharpe 0.65 | Sortino 0.98 | Calmar 0.4
Vol 7% | MDD -12.6%
Months 48M (100%)
CAGR 1.6% | Win 56%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.4
Vol 4% | MDD -4.3%
Months 48M (100%)
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
MACD
neg
CAGR 0.2% | Win 56%
Sharpe 0.24 | Sortino 0.25 | Calmar 0.2
Vol 1% | MDD -1.4%
Months 48M (100%)
CAGR 3.1% | Win 60%
Sharpe 0.68 | Sortino 1.19 | Calmar 0.7
Vol 5% | MDD -4.2%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
RSI
only
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 62%
Sharpe 1.11 | Sortino 1.88 | Calmar 1.2
Vol 5% | MDD -4.7%
Months 48M (100%)
CAGR 0.6% | Win 56%
Sharpe 0.13 | Sortino 0.13 | Calmar 0.1
Vol 6% | MDD -11.5%
Months 48M (100%)
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
MACD
neg
CAGR 1.0% | Win 65%
Sharpe 0.73 | Sortino 1.02 | Calmar 0.4
Vol 1% | MDD -2.3%
Months 48M (100%)
CAGR 2.3% | Win 56%
Sharpe 0.54 | Sortino 0.91 | Calmar 0.6
Vol 4% | MDD -4.1%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
MACDhist
only
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.3% | Win 58%
Sharpe 0.99 | Sortino 1.68 | Calmar 0.9
Vol 4% | MDD -4.9%
Months 48M (100%)
CAGR 1.7% | Win 62%
Sharpe 0.28 | Sortino 0.29 | Calmar 0.1
Vol 7% | MDD -12.5%
Months 48M (100%)
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
MACD
neg
CAGR 1.1% | Win 58%
Sharpe 0.49 | Sortino 0.64 | Calmar 0.5
Vol 2% | MDD -2.3%
Months 48M (100%)
CAGR 2.2% | Win 56%
Sharpe 0.59 | Sortino 0.89 | Calmar 0.6
Vol 4% | MDD -3.8%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 60%
Sharpe 0.80 | Sortino 1.10 | Calmar 0.6
Vol 8% | MDD -10.8%
Months 48M (100%)
CAGR 0.0% | Win 35%
Sharpe 0.02 | Sortino 0.02 | Calmar 0.0
Vol 3% | MDD -4.4%
Months 48M (100%)
CAGR 6.0% | Win 60%
Sharpe 0.66 | Sortino 0.86 | Calmar 0.4
Vol 10% | MDD -15.0%
Months 48M (100%)
MACD
neg
CAGR 1.4% | Win 67%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.4
Vol 2% | MDD -3.5%
Months 48M (100%)
CAGR 2.0% | Win 56%
Sharpe 0.52 | Sortino 0.83 | Calmar 0.5
Vol 4% | MDD -3.7%
Months 48M (100%)
CAGR 3.3% | Win 62%
Sharpe 0.66 | Sortino 1.22 | Calmar 0.6
Vol 5% | MDD -5.2%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 5.5% | Win 65%
Sharpe 1.04 | Sortino 1.85 | Calmar 0.9
Vol 5% | MDD -5.9%
Months 48M (100%)
CAGR -0.7% | Win 48%
Sharpe -0.21 | Sortino -0.23 | Calmar -0.1
Vol 3% | MDD -9.2%
Months 48M (100%)
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
RSI
neg
CAGR 1.0% | Win 56%
Sharpe 0.94 | Sortino 1.29 | Calmar 0.6
Vol 1% | MDD -1.6%
Months 48M (100%)
CAGR 3.7% | Win 58%
Sharpe 0.56 | Sortino 0.80 | Calmar 0.5
Vol 7% | MDD -7.8%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
MACDhist
only
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.6% | Win 60%
Sharpe 0.90 | Sortino 1.50 | Calmar 0.7
Vol 5% | MDD -6.1%
Months 48M (100%)
CAGR 0.2% | Win 60%
Sharpe 0.07 | Sortino 0.07 | Calmar 0.0
Vol 4% | MDD -8.8%
Months 48M (100%)
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
RSI
neg
CAGR 0.8% | Win 52%
Sharpe 0.59 | Sortino 0.97 | Calmar 0.6
Vol 1% | MDD -1.3%
Months 48M (100%)
CAGR 3.8% | Win 54%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.5
Vol 7% | MDD -7.6%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.1% | Win 60%
Sharpe 0.74 | Sortino 1.11 | Calmar 0.4
Vol 7% | MDD -11.5%
Months 48M (100%)
CAGR -0.4% | Win 40%
Sharpe -0.34 | Sortino -0.28 | Calmar -0.1
Vol 1% | MDD -2.8%
Months 48M (100%)
CAGR 4.7% | Win 60%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.3
Vol 8% | MDD -13.8%
Months 48M (100%)
RSI
neg
CAGR 2.3% | Win 58%
Sharpe 0.73 | Sortino 1.27 | Calmar 0.7
Vol 3% | MDD -3.2%
Months 48M (100%)
CAGR 2.4% | Win 56%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.4
Vol 5% | MDD -6.5%
Months 48M (100%)
CAGR 4.7% | Win 58%
Sharpe 0.65 | Sortino 0.99 | Calmar 0.6
Vol 8% | MDD -7.6%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 4.9% | Win 60%
Sharpe 1.03 | Sortino 1.60 | Calmar 1.0
Vol 5% | MDD -5.0%
Months 48M (100%)
CAGR 1.6% | Win 65%
Sharpe 0.68 | Sortino 1.12 | Calmar 0.9
Vol 2% | MDD -1.9%
Months 48M (100%)
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
MACDhist
neg
CAGR 0.5% | Win 54%
Sharpe 0.22 | Sortino 0.26 | Calmar 0.2
Vol 2% | MDD -2.5%
Months 48M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.31 | Sortino 0.37 | Calmar 0.2
Vol 8% | MDD -14.7%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
RSIhist
only
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 6.2% | Win 65%
Sharpe 1.06 | Sortino 1.86 | Calmar 1.0
Vol 6% | MDD -6.2%
Months 48M (100%)
CAGR 0.3% | Win 38%
Sharpe 0.72 | Sortino 1.39 | Calmar 0.6
Vol 0% | MDD -0.5%
Months 48M (100%)
CAGR 6.5% | Win 65%
Sharpe 1.07 | Sortino 1.89 | Calmar 1.0
Vol 6% | MDD -6.3%
Months 48M (100%)
MACDhist
neg
CAGR 1.3% | Win 54%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.2
Vol 4% | MDD -7.9%
Months 48M (100%)
CAGR 1.6% | Win 58%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.2
Vol 6% | MDD -7.6%
Months 48M (100%)
CAGR 2.8% | Win 54%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.2
Vol 10% | MDD -15.3%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.1% | Win 65%
Sharpe 0.98 | Sortino 1.65 | Calmar 1.0
Vol 5% | MDD -5.3%
Months 48M (100%)
CAGR 0.3% | Win 48%
Sharpe 0.17 | Sortino 0.19 | Calmar 0.1
Vol 2% | MDD -2.3%
Months 48M (100%)
CAGR 5.4% | Win 65%
Sharpe 0.89 | Sortino 1.59 | Calmar 0.9
Vol 6% | MDD -5.7%
Months 48M (100%)
RSIhist
neg
CAGR 2.3% | Win 60%
Sharpe 0.41 | Sortino 0.49 | Calmar 0.3
Vol 6% | MDD -9.2%
Months 48M (100%)
CAGR 1.6% | Win 56%
Sharpe 0.34 | Sortino 0.43 | Calmar 0.2
Vol 5% | MDD -7.1%
Months 48M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.2
Vol 10% | MDD -16.0%
Months 48M (100%)
LWTI
only
CAGR 7.4% | Win 60%
Sharpe 0.81 | Sortino 1.22 | Calmar 0.6
Vol 9% | MDD -11.5%
Months 48M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.2
Vol 6% | MDD -7.8%
Months 48M (100%)