Signal Pair Analysis

Performance Comparison by Signal Pairs

116

Total ETFs

36

Signal Pairs

314

Avg Months

4.9%

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 (%)
pair RSmean MACDhist neg-pos 142 100.0 11.8 59.9 0.7 0.8 0.4 20.6 -29.5
pair MACDhist RSmean neg-pos 142 100.0 11.8 59.9 0.7 0.8 0.4 20.6 -29.5
single RSIhist RSIhist pos-pos 338 100.0 10.2 61.8 0.6 0.9 0.2 18.6 -48.8
pair MACDhist RSI neg-pos 254 100.0 10.1 58.3 0.5 0.8 0.2 25.7 -57.4
pair RSI MACDhist neg-pos 254 100.0 10.1 58.3 0.5 0.8 0.2 25.7 -57.4
pair MACD SLmean pos-neg 330 100.0 9.7 60.9 0.6 0.8 0.2 19.9 -52.3
pair SLmean MACD pos-neg 330 100.0 9.7 60.9 0.6 0.8 0.2 19.9 -52.3
pair RSIhist MACD neg-pos 324 100.0 9.6 59.9 0.5 0.8 0.2 21.2 -45.8
pair MACD RSIhist neg-pos 324 100.0 9.6 59.9 0.5 0.8 0.2 21.2 -45.8
pair MRmean MACD pos-neg 330 100.0 9.4 60.3 0.6 0.8 0.2 19.8 -57.9
pair MACD MRmean pos-neg 330 100.0 9.4 60.3 0.6 0.8 0.2 19.8 -57.9
pair LWTI RSI pos-pos 347 100.0 9.3 63.4 0.7 0.9 0.2 15.3 -38.8
pair RSI LWTI pos-pos 347 100.0 9.3 63.4 0.7 0.9 0.2 15.3 -38.8
pair MACD RSI neg-pos 322 100.0 9.2 61.2 0.6 0.9 0.3 16.9 -35.2
pair RSI MACD neg-pos 322 100.0 9.2 61.2 0.6 0.9 0.3 16.9 -35.2
pair LWTI MACDhist pos-neg 186 100.0 8.9 53.8 0.4 1.0 0.2 35.5 -56.8
pair RSIhist RSmean pos-pos 336 100.0 8.9 62.2 0.6 0.8 0.2 17.9 -51.4
pair MACDhist LWTI pos-neg 186 100.0 8.9 53.8 0.4 1.0 0.2 35.5 -56.8
pair RSmean RSIhist pos-pos 336 100.0 8.9 62.2 0.6 0.8 0.2 17.9 -51.4
single RSI RSI pos-pos 347 100.0 8.7 62.2 0.6 0.9 0.2 15.3 -40.6
pair RSI SLmean pos-neg 254 100.0 8.6 55.9 0.5 0.7 0.2 23.6 -53.8
pair SLmean RSI pos-neg 254 100.0 8.6 55.9 0.5 0.7 0.2 23.6 -53.8
pair RSIhist LWTI pos-neg 243 100.0 8.6 54.7 0.5 0.8 0.1 24.2 -58.1
pair LWTI RSIhist pos-neg 243 100.0 8.6 54.7 0.5 0.8 0.1 24.2 -58.1
pair MACDhist RSmean pos-pos 320 100.0 8.5 64.1 0.6 0.9 0.2 15.7 -42.6
pair RSmean MACDhist pos-pos 320 100.0 8.5 64.1 0.6 0.9 0.2 15.7 -42.6
pair RSIhist MACDhist pos-pos 314 100.0 8.5 64.3 0.6 0.9 0.2 16.7 -48.5
pair MACDhist RSIhist pos-pos 314 100.0 8.5 64.3 0.6 0.9 0.2 16.7 -48.5
single MACDhist MACDhist pos-pos 323 100.0 8.4 64.7 0.6 0.9 0.2 15.6 -40.9
single RSmean RSmean pos-pos 350 100.0 8.1 61.4 0.6 0.7 0.1 16.6 -52.8
pair SLmean LWTI pos-pos 343 100.0 8.1 61.2 0.6 0.8 0.2 14.4 -47.2
pair LWTI SLmean pos-pos 343 100.0 8.1 61.2 0.6 0.8 0.2 14.4 -47.2
pair RSIhist LWTI pos-pos 333 100.0 7.9 61.9 0.6 0.8 0.2 15.9 -50.0
pair LWTI MRmean pos-pos 347 100.0 7.9 62.8 0.6 0.8 0.2 14.9 -43.6
pair MACDhist MACD neg-pos 278 100.0 7.9 60.4 0.5 0.7 0.2 22.3 -45.2
pair LWTI RSIhist pos-pos 333 100.0 7.9 61.9 0.6 0.8 0.2 15.9 -50.0
single MRmean MRmean pos-pos 347 100.0 7.9 61.4 0.6 0.8 0.2 15.0 -45.8
pair MACD MACDhist neg-pos 278 100.0 7.9 60.4 0.5 0.7 0.2 22.3 -45.2
pair MRmean LWTI pos-pos 347 100.0 7.9 62.8 0.6 0.8 0.2 14.9 -43.6
single SLmean SLmean pos-pos 344 100.0 7.7 61.3 0.5 0.7 0.1 16.3 -54.0
pair MRmean RSI pos-neg 236 100.0 7.7 56.4 0.4 0.6 0.1 24.4 -55.7
pair SLmean RSmean pos-pos 344 100.0 7.7 61.9 0.5 0.7 0.1 16.3 -54.8
pair RSmean SLmean pos-pos 344 100.0 7.7 61.9 0.5 0.7 0.1 16.3 -54.8
pair RSI MRmean pos-neg 236 100.0 7.7 56.4 0.4 0.6 0.1 24.4 -55.7
benchmark All All All 362 100.0 7.7 60.8 0.5 0.7 0.1 16.3 -51.7
pair RSIhist MACDhist neg-pos 326 100.0 7.6 59.8 0.5 0.7 0.2 18.8 -48.3
pair MACDhist RSIhist neg-pos 326 100.0 7.6 59.8 0.5 0.7 0.2 18.8 -48.3
pair RSmean MRmean pos-pos 347 100.0 7.6 61.4 0.6 0.7 0.2 15.3 -49.1
pair MRmean RSmean pos-pos 347 100.0 7.6 61.4 0.6 0.7 0.2 15.3 -49.1
pair RSmean RSI neg-pos 301 100.0 7.5 57.1 0.5 0.8 0.3 17.8 -28.6
pair RSI RSmean neg-pos 301 100.0 7.5 57.1 0.5 0.8 0.3 17.8 -28.6
pair LWTI RSmean pos-pos 350 100.0 7.5 62.6 0.5 0.7 0.1 15.7 -50.9
pair RSmean LWTI pos-pos 350 100.0 7.5 62.6 0.5 0.7 0.1 15.7 -50.9
pair RSI MRmean pos-pos 345 100.0 7.4 61.7 0.6 0.8 0.2 14.2 -41.0
pair MRmean RSI pos-pos 345 100.0 7.4 61.7 0.6 0.8 0.2 14.2 -41.0
single LWTI LWTI pos-pos 362 100.0 7.4 62.7 0.5 0.7 0.1 15.7 -49.7
pair SLmean RSI pos-pos 341 100.0 7.3 61.6 0.6 0.8 0.1 14.0 -47.6
pair LWTI MACDhist pos-pos 320 100.0 7.3 63.1 0.6 0.8 0.2 14.6 -44.1
pair MACDhist LWTI pos-pos 320 100.0 7.3 63.1 0.6 0.8 0.2 14.6 -44.1
pair RSI SLmean pos-pos 341 100.0 7.3 61.6 0.6 0.8 0.1 14.0 -47.6
pair RSIhist RSI pos-pos 330 100.0 7.2 61.8 0.5 0.7 0.2 15.1 -44.5
pair MACD RSmean pos-neg 350 100.0 7.2 57.7 0.5 0.6 0.1 20.2 -49.1
pair RSmean MACD pos-neg 350 100.0 7.2 57.7 0.5 0.6 0.1 20.2 -49.1
pair MACDhist SLmean neg-pos 274 100.0 7.2 58.4 0.4 0.8 0.2 22.0 -35.1
pair SLmean MACDhist neg-pos 274 100.0 7.2 58.4 0.4 0.8 0.2 22.0 -35.1
pair RSI RSIhist pos-pos 330 100.0 7.2 61.8 0.5 0.7 0.2 15.1 -44.5
pair MRmean RSIhist neg-pos 239 100.0 7.0 52.7 0.3 0.8 0.1 34.4 -61.4
pair MRmean SLmean pos-pos 344 100.0 7.0 61.3 0.5 0.6 0.1 15.7 -54.5
pair RSIhist MRmean neg-pos 239 100.0 7.0 52.7 0.3 0.8 0.1 34.4 -61.4
pair RSIhist SLmean pos-pos 333 100.0 7.0 61.6 0.5 0.6 0.1 16.0 -57.7
pair RSI RSmean pos-pos 345 100.0 7.0 61.2 0.5 0.7 0.1 14.5 -47.5
pair RSmean RSI pos-pos 345 100.0 7.0 61.2 0.5 0.7 0.1 14.5 -47.5
pair SLmean MRmean pos-pos 344 100.0 7.0 61.3 0.5 0.6 0.1 15.7 -54.5
pair SLmean RSIhist pos-pos 333 100.0 7.0 61.6 0.5 0.6 0.1 16.0 -57.7
pair RSmean RSIhist neg-pos 212 100.0 6.9 56.1 0.4 0.6 0.2 21.1 -37.6
pair RSIhist RSmean neg-pos 212 100.0 6.9 56.1 0.4 0.6 0.2 21.1 -37.6
pair MACDhist RSI pos-neg 344 100.0 6.8 60.5 0.5 0.7 0.2 15.4 -39.1
pair RSI MACDhist pos-neg 344 100.0 6.8 60.5 0.5 0.7 0.2 15.4 -39.1
pair MACD MACDhist pos-pos 311 100.0 6.6 63.0 0.5 0.7 0.1 13.8 -47.7
pair MACDhist MACD pos-pos 311 100.0 6.6 63.0 0.5 0.7 0.1 13.8 -47.7
pair MACDhist RSmean pos-neg 350 100.0 6.6 58.9 0.5 0.6 0.1 16.8 -52.3
pair RSmean MACDhist pos-neg 350 100.0 6.6 58.9 0.5 0.6 0.1 16.8 -52.3
pair RSIhist MRmean pos-pos 333 100.0 6.5 61.0 0.5 0.6 0.1 15.9 -60.7
pair MRmean RSIhist pos-pos 333 100.0 6.5 61.0 0.5 0.6 0.1 15.9 -60.7
pair MRmean MACDhist pos-pos 317 100.0 6.3 63.7 0.5 0.7 0.1 14.9 -55.0
single MACD MACD neg-neg 362 100.0 6.3 56.6 0.4 0.6 0.1 18.9 -48.4
pair MACDhist MRmean pos-pos 317 100.0 6.3 63.7 0.5 0.7 0.1 14.9 -55.0
pair MACDhist MRmean pos-neg 345 100.0 6.2 60.9 0.5 0.6 0.1 15.4 -47.6
pair MRmean MACDhist pos-neg 345 100.0 6.2 60.9 0.5 0.6 0.1 15.4 -47.6
pair MACD RSmean pos-pos 337 100.0 6.2 63.5 0.5 0.6 0.1 14.9 -50.2
pair RSmean MACD pos-pos 337 100.0 6.2 63.5 0.5 0.6 0.1 14.9 -50.2
pair LWTI MACD neg-pos 354 100.0 6.1 58.5 0.4 0.6 0.1 18.2 -53.0
pair MACD LWTI neg-pos 354 100.0 6.1 58.5 0.4 0.6 0.1 18.2 -53.0
pair RSI MACDhist pos-pos 311 100.0 6.0 63.0 0.5 0.7 0.1 14.2 -54.5
pair MACDhist RSI pos-pos 311 100.0 6.0 63.0 0.5 0.7 0.1 14.2 -54.5
single MACD MACD pos-pos 337 100.0 6.0 62.6 0.5 0.6 0.1 14.8 -49.7
pair MACDhist MACD neg-neg 357 100.0 6.0 56.9 0.4 0.5 0.1 18.9 -48.4
pair SLmean MACDhist pos-pos 314 100.0 6.0 61.8 0.5 0.7 0.1 15.0 -61.6
pair MACDhist SLmean pos-pos 314 100.0 6.0 61.8 0.5 0.7 0.1 15.0 -61.6
pair RSI MRmean neg-pos 320 100.0 6.0 58.4 0.4 0.5 0.1 18.1 -50.7
pair MACD MACDhist neg-neg 357 100.0 6.0 56.9 0.4 0.5 0.1 18.9 -48.4
pair MACD RSI pos-pos 333 100.0 6.0 61.9 0.5 0.6 0.1 14.2 -44.0
pair RSI MACD pos-pos 333 100.0 6.0 61.9 0.5 0.6 0.1 14.2 -44.0
pair MRmean RSI neg-pos 320 100.0 6.0 58.4 0.4 0.5 0.1 18.1 -50.7
single MACDhist MACDhist neg-neg 362 100.0 5.9 58.8 0.4 0.5 0.1 16.5 -51.2
pair MACDhist SLmean pos-neg 340 100.0 5.9 58.5 0.4 0.5 0.1 16.7 -52.7
pair SLmean MACDhist pos-neg 340 100.0 5.9 58.5 0.4 0.5 0.1 16.7 -52.7
pair MACD LWTI pos-pos 333 100.0 5.8 61.6 0.5 0.6 0.1 14.8 -49.1
pair LWTI MACD pos-pos 333 100.0 5.8 61.6 0.5 0.6 0.1 14.8 -49.1
pair RSI SLmean neg-pos 326 100.0 5.8 58.3 0.4 0.6 0.1 17.0 -39.6
pair SLmean RSI neg-pos 326 100.0 5.8 58.3 0.4 0.6 0.1 17.0 -39.6
pair RSIhist MACDhist pos-neg 277 100.0 5.8 60.3 0.4 0.6 0.1 15.9 -40.1
pair MACDhist RSIhist pos-neg 277 100.0 5.8 60.3 0.4 0.6 0.1 15.9 -40.1
pair SLmean RSIhist neg-pos 244 100.0 5.7 51.6 0.3 0.6 0.1 34.3 -51.6
pair RSIhist SLmean neg-pos 244 100.0 5.7 51.6 0.3 0.6 0.1 34.3 -51.6
pair RSI RSIhist pos-neg 337 100.0 5.4 60.5 0.4 0.5 0.1 15.9 -54.7
pair RSIhist RSI pos-neg 337 100.0 5.4 60.5 0.4 0.5 0.1 15.9 -54.7
pair RSI RSIhist neg-pos 268 100.0 5.4 54.1 0.3 0.6 0.1 26.1 -69.0
pair RSIhist RSI neg-pos 268 100.0 5.4 54.1 0.3 0.6 0.1 26.1 -69.0
pair MACD MRmean pos-pos 331 100.0 5.3 60.4 0.5 0.6 0.1 13.7 -48.6
pair MRmean MACD pos-pos 331 100.0 5.3 60.4 0.5 0.6 0.1 13.7 -48.6
pair SLmean MACD pos-pos 328 100.0 5.0 60.7 0.4 0.6 0.1 13.5 -51.3
pair MACD SLmean pos-pos 328 100.0 5.0 60.7 0.4 0.6 0.1 13.5 -51.3
pair SLmean LWTI pos-neg 244 100.0 4.9 57.0 0.3 0.5 0.1 22.9 -53.2
pair LWTI SLmean pos-neg 244 100.0 4.9 57.0 0.3 0.5 0.1 22.9 -53.2
pair RSIhist MACD pos-pos 318 100.0 4.9 61.3 0.4 0.5 0.1 13.5 -50.7
pair MACD RSIhist pos-pos 318 100.0 4.9 61.3 0.4 0.5 0.1 13.5 -50.7
pair RSI LWTI neg-neg 303 100.0 4.9 54.5 0.3 0.5 0.1 25.5 -63.4
pair LWTI RSI neg-neg 303 100.0 4.9 54.5 0.3 0.5 0.1 25.5 -63.4
pair SLmean MRmean pos-neg 282 100.0 4.8 58.2 0.3 0.5 0.1 18.4 -42.7
pair MRmean SLmean pos-neg 282 100.0 4.8 58.2 0.3 0.5 0.1 18.4 -42.7
pair MACD RSIhist neg-neg 356 100.0 4.7 54.5 0.3 0.4 0.1 20.4 -54.0
pair RSIhist MACD neg-neg 356 100.0 4.7 54.5 0.3 0.4 0.1 20.4 -54.0
pair RSIhist MRmean pos-neg 316 100.0 4.7 59.2 0.4 0.5 0.1 15.0 -44.4
pair MRmean RSIhist pos-neg 316 100.0 4.7 59.2 0.4 0.5 0.1 15.0 -44.4
pair MACDhist LWTI neg-pos 362 100.0 4.6 58.8 0.4 0.4 0.1 16.1 -55.0
pair LWTI MACDhist neg-pos 362 100.0 4.6 58.8 0.4 0.4 0.1 16.1 -55.0
single RSIhist RSIhist neg-neg 361 100.0 4.5 57.9 0.3 0.4 0.1 17.5 -58.0
pair MACD LWTI neg-neg 300 100.0 4.4 55.0 0.3 0.4 0.1 24.5 -61.3
pair RSIhist MACDhist neg-neg 361 100.0 4.4 56.8 0.3 0.4 0.1 18.0 -57.0
pair MACDhist RSIhist neg-neg 361 100.0 4.4 56.8 0.3 0.4 0.1 18.0 -57.0
pair RSIhist SLmean pos-neg 312 100.0 4.4 60.3 0.3 0.4 0.1 17.8 -54.1
pair SLmean RSIhist pos-neg 312 100.0 4.4 60.3 0.3 0.4 0.1 17.8 -54.1
pair LWTI MACD neg-neg 300 100.0 4.4 55.0 0.3 0.4 0.1 24.5 -61.3
pair RSmean LWTI pos-neg 306 100.0 3.8 54.6 0.3 0.4 0.1 22.9 -63.8
pair LWTI RSmean pos-neg 306 100.0 3.8 54.6 0.3 0.4 0.1 22.9 -63.8
pair RSIhist LWTI neg-pos 361 100.0 3.8 59.6 0.3 0.3 0.1 17.3 -63.5
pair MRmean LWTI pos-neg 211 100.0 3.8 56.9 0.3 0.4 0.1 21.0 -49.6
pair LWTI MRmean pos-neg 211 100.0 3.8 56.9 0.3 0.4 0.1 21.0 -49.6
pair LWTI RSIhist neg-pos 361 100.0 3.8 59.6 0.3 0.3 0.1 17.3 -63.5
pair LWTI MRmean neg-neg 297 100.0 3.6 53.5 0.3 0.4 0.1 25.9 -65.8
pair MRmean LWTI neg-neg 297 100.0 3.6 53.5 0.3 0.4 0.1 25.9 -65.8
pair RSIhist RSmean pos-neg 340 100.0 3.6 58.5 0.3 0.4 0.1 17.7 -57.5
pair RSmean RSIhist pos-neg 340 100.0 3.6 58.5 0.3 0.4 0.1 17.7 -57.5
single LWTI LWTI neg-neg 312 100.0 3.5 53.8 0.3 0.4 0.1 22.4 -63.0
pair RSI RSmean pos-neg 331 100.0 3.4 55.9 0.3 0.4 0.1 23.5 -64.2
pair RSmean RSI pos-neg 331 100.0 3.4 55.9 0.3 0.4 0.1 23.5 -64.2
pair MACDhist MRmean neg-pos 220 100.0 3.4 54.5 0.2 0.4 0.1 23.6 -64.3
pair MRmean MACDhist neg-pos 220 100.0 3.4 54.5 0.2 0.4 0.1 23.6 -64.3
pair SLmean MRmean neg-pos 215 100.0 3.4 55.3 0.3 0.4 0.1 23.0 -48.0
pair MRmean SLmean neg-pos 215 100.0 3.4 55.3 0.3 0.4 0.1 23.0 -48.0
pair MACDhist MACD pos-neg 325 100.0 3.3 58.5 0.3 0.3 0.1 16.0 -53.2
pair MACD MACDhist pos-neg 325 100.0 3.3 58.5 0.3 0.3 0.1 16.0 -53.2
single RSI RSI neg-neg 357 100.0 3.2 57.1 0.3 0.3 0.1 21.2 -63.2
pair MRmean RSmean pos-neg 215 100.0 3.0 54.4 0.3 0.3 0.1 18.2 -43.9
pair RSI MACD neg-neg 357 100.0 3.0 56.0 0.2 0.3 0.1 21.9 -62.6
pair MACD RSI neg-neg 357 100.0 3.0 56.0 0.2 0.3 0.1 21.9 -62.6
pair RSmean MRmean pos-neg 215 100.0 3.0 54.4 0.3 0.3 0.1 18.2 -43.9
pair MRmean MACD neg-neg 359 100.0 2.9 54.6 0.2 0.3 0.0 20.9 -65.9
pair MACD MRmean neg-neg 359 100.0 2.9 54.6 0.2 0.3 0.0 20.9 -65.9
pair MACD SLmean neg-neg 359 100.0 2.5 55.2 0.2 0.3 0.0 21.6 -67.4
pair SLmean MACD neg-neg 359 100.0 2.5 55.2 0.2 0.3 0.0 21.6 -67.4
pair SLmean RSmean pos-neg 203 100.0 2.4 55.2 0.2 0.3 0.1 19.5 -42.8
pair RSmean SLmean pos-neg 203 100.0 2.4 55.2 0.2 0.3 0.1 19.5 -42.8
single MRmean MRmean neg-neg 362 100.0 2.3 56.6 0.2 0.3 0.0 19.2 -69.9
pair MACDhist MRmean neg-neg 362 100.0 2.3 56.6 0.2 0.3 0.0 19.3 -72.3
pair MRmean MACDhist neg-neg 362 100.0 2.3 56.6 0.2 0.3 0.0 19.3 -72.3
single RSmean RSmean neg-neg 338 100.0 2.3 53.8 0.2 0.3 0.0 18.8 -61.1
pair LWTI MACDhist neg-neg 308 100.0 2.1 53.6 0.2 0.3 0.0 22.2 -65.2
pair MACDhist LWTI neg-neg 308 100.0 2.1 53.6 0.2 0.3 0.0 22.2 -65.2
pair RSIhist MRmean neg-neg 359 100.0 2.0 56.0 0.2 0.2 0.0 19.5 -72.6
pair MRmean RSIhist neg-neg 359 100.0 2.0 56.0 0.2 0.2 0.0 19.5 -72.6
pair LWTI RSmean neg-pos 332 100.0 2.0 53.3 0.2 0.3 0.0 18.8 -62.0
pair RSmean LWTI neg-pos 332 100.0 2.0 53.3 0.2 0.3 0.0 18.8 -62.0
pair MACD RSmean neg-neg 325 100.0 2.0 54.2 0.2 0.2 0.0 20.9 -59.7
pair RSmean MACD neg-neg 325 100.0 2.0 54.2 0.2 0.2 0.0 20.9 -59.7
pair RSI MACDhist neg-neg 352 100.0 1.9 56.2 0.2 0.3 0.0 20.7 -65.2
pair MACDhist RSI neg-neg 352 100.0 1.9 56.2 0.2 0.3 0.0 20.7 -65.2
pair MACD RSIhist pos-neg 318 100.0 1.8 60.1 0.2 0.2 0.0 16.5 -50.3
pair SLmean LWTI neg-pos 357 100.0 1.8 56.0 0.2 0.2 0.0 18.6 -66.7
pair LWTI SLmean neg-pos 357 100.0 1.8 56.0 0.2 0.2 0.0 18.6 -66.7
pair RSIhist MACD pos-neg 318 100.0 1.8 60.1 0.2 0.2 0.0 16.5 -50.3
single SLmean SLmean neg-neg 362 100.0 1.8 56.9 0.2 0.2 0.0 19.3 -70.7
pair SLmean RSIhist neg-neg 361 100.0 1.8 56.2 0.2 0.2 0.0 19.2 -71.9
pair RSIhist SLmean neg-neg 361 100.0 1.8 56.2 0.2 0.2 0.0 19.2 -71.9
pair SLmean MACD neg-pos 308 100.0 1.6 58.8 0.2 0.2 0.0 17.0 -56.5
pair MACD SLmean neg-pos 308 100.0 1.6 58.8 0.2 0.2 0.0 17.0 -56.5
pair MACDhist SLmean neg-neg 362 100.0 1.5 55.2 0.2 0.2 0.0 19.5 -72.9
pair SLmean MACDhist neg-neg 362 100.0 1.5 55.2 0.2 0.2 0.0 19.5 -72.9
pair LWTI MRmean neg-pos 355 100.0 1.5 57.5 0.2 0.2 0.0 18.8 -71.2
pair MRmean LWTI neg-pos 355 100.0 1.5 57.5 0.2 0.2 0.0 18.8 -71.2
pair MACD MRmean neg-pos 289 100.0 1.4 58.5 0.2 0.2 0.0 18.4 -57.7
pair MRmean MACD neg-pos 289 100.0 1.4 58.5 0.2 0.2 0.0 18.4 -57.7
pair MRmean RSmean neg-neg 322 100.0 1.4 54.0 0.2 0.2 0.0 20.3 -62.6
pair RSmean MRmean neg-neg 322 100.0 1.4 54.0 0.2 0.2 0.0 20.3 -62.6
pair RSmean RSI neg-neg 283 100.0 1.4 51.9 0.2 0.2 0.0 23.6 -54.4
pair RSI RSmean neg-neg 283 100.0 1.4 51.9 0.2 0.2 0.0 23.6 -54.4
pair MACD LWTI pos-neg 214 100.0 1.3 51.9 0.2 0.2 0.0 20.0 -53.5
pair LWTI MACD pos-neg 214 100.0 1.3 51.9 0.2 0.2 0.0 20.0 -53.5
pair RSI RSIhist neg-neg 342 100.0 1.2 56.7 0.2 0.2 0.0 21.0 -66.9
pair RSIhist RSI neg-neg 342 100.0 1.2 56.7 0.2 0.2 0.0 21.0 -66.9
pair MRmean SLmean neg-neg 360 100.0 1.2 56.1 0.2 0.2 0.0 19.8 -74.8
pair SLmean MRmean neg-neg 360 100.0 1.2 56.1 0.2 0.2 0.0 19.8 -74.8
pair RSmean SLmean neg-pos 340 100.0 1.1 56.8 0.2 0.2 0.0 20.1 -66.8
pair SLmean RSmean neg-pos 340 100.0 1.1 56.8 0.2 0.2 0.0 20.1 -66.8
pair RSI MRmean neg-neg 349 100.0 1.0 56.2 0.2 0.2 0.0 21.6 -66.7
pair MRmean RSI neg-neg 349 100.0 1.0 56.2 0.2 0.2 0.0 21.6 -66.7
pair RSmean SLmean neg-neg 320 100.0 0.9 52.5 0.1 0.2 0.0 19.6 -60.4
pair SLmean RSmean neg-neg 320 100.0 0.9 52.5 0.1 0.2 0.0 19.6 -60.4
pair MACDhist RSmean neg-neg 336 100.0 0.9 53.6 0.1 0.2 0.0 19.4 -68.9
pair RSmean MACDhist neg-neg 336 100.0 0.9 53.6 0.1 0.2 0.0 19.4 -68.9
pair LWTI RSI neg-pos 343 100.0 0.8 56.3 0.2 0.2 0.0 22.1 -70.9
pair RSI LWTI neg-pos 343 100.0 0.8 56.3 0.2 0.2 0.0 22.1 -70.9
pair SLmean LWTI neg-neg 277 100.0 0.8 52.7 0.2 0.2 0.0 26.6 -70.3
pair LWTI SLmean neg-neg 277 100.0 0.8 52.7 0.2 0.2 0.0 26.6 -70.3
pair MACD RSI pos-neg 248 100.0 0.6 54.4 0.1 0.2 0.0 21.3 -64.5
pair RSI MACD pos-neg 248 100.0 0.6 54.4 0.1 0.2 0.0 21.3 -64.5
pair LWTI RSI pos-neg 193 100.0 0.5 51.8 0.1 0.2 0.0 18.1 -37.6
pair RSI LWTI pos-neg 193 100.0 0.5 51.8 0.1 0.2 0.0 18.1 -37.6
pair RSIhist RSmean neg-neg 329 100.0 0.5 54.1 0.1 0.2 0.0 19.6 -61.5
pair RSmean RSIhist neg-neg 329 100.0 0.5 54.1 0.1 0.2 0.0 19.6 -61.5
pair RSmean MACD neg-pos 225 100.0 0.3 53.8 0.1 0.1 0.0 17.3 -48.0
pair MACD RSmean neg-pos 225 100.0 0.3 53.8 0.1 0.1 0.0 17.3 -48.0
pair MRmean RSmean neg-pos 332 100.0 0.2 56.6 0.1 0.1 0.0 20.5 -71.4
pair RSmean MRmean neg-pos 332 100.0 0.2 56.6 0.1 0.1 0.0 20.5 -71.4
pair LWTI RSIhist neg-neg 280 100.0 -0.6 51.8 0.1 0.1 -0.0 23.7 -77.2
pair RSIhist LWTI neg-neg 280 100.0 -0.6 51.8 0.1 0.1 -0.0 23.7 -77.2
pair SLmean RSI neg-neg 345 100.0 -0.7 55.4 0.1 0.1 -0.0 22.5 -73.9
pair RSI SLmean neg-neg 345 100.0 -0.7 55.4 0.1 0.1 -0.0 22.5 -73.9
pair RSmean LWTI neg-neg 115 100.0 -1.1 49.6 0.1 0.1 -0.0 24.7 -48.5
pair LWTI RSmean neg-neg 115 100.0 -1.1 49.6 0.1 0.1 -0.0 24.7 -48.5

Contingency Tables by Signal Pair

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 7.0% | Win 61%
Sharpe 0.51 | Sortino 0.60 | Calmar 0.1
Vol 16% | MDD -54.5%
Months 344M (100%)
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -42.7%
Months 282M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 3.4% | Win 55%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 23% | MDD -48.0%
Months 215M (100%)
CAGR 1.2% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 360M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
SLmean
only
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.6% | Win 61%
Sharpe 0.56 | Sortino 0.72 | Calmar 0.2
Vol 15% | MDD -49.1%
Months 347M (100%)
CAGR 3.0% | Win 54%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 18% | MDD -43.9%
Months 215M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 0.2% | Win 57%
Sharpe 0.11 | Sortino 0.14 | Calmar 0.0
Vol 20% | MDD -71.4%
Months 332M (100%)
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.0
Vol 20% | MDD -62.6%
Months 322M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
RSmean
only
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 60%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.1
Vol 14% | MDD -48.6%
Months 331M (100%)
CAGR 9.4% | Win 60%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.2
Vol 20% | MDD -57.9%
Months 330M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 1.4% | Win 58%
Sharpe 0.17 | Sortino 0.20 | Calmar 0.0
Vol 18% | MDD -57.7%
Months 289M (100%)
CAGR 2.9% | Win 55%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -65.9%
Months 359M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
MACD
only
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.4% | Win 62%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 14% | MDD -41.0%
Months 345M (100%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 24% | MDD -55.7%
Months 236M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 6.0% | Win 58%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -50.7%
Months 320M (100%)
CAGR 1.0% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 22% | MDD -66.7%
Months 349M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
RSI
only
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.3% | Win 64%
Sharpe 0.48 | Sortino 0.70 | Calmar 0.1
Vol 15% | MDD -55.0%
Months 317M (100%)
CAGR 6.2% | Win 61%
Sharpe 0.47 | Sortino 0.61 | Calmar 0.1
Vol 15% | MDD -47.6%
Months 345M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 3.4% | Win 55%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.1
Vol 24% | MDD -64.3%
Months 220M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -72.3%
Months 362M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
MACDhist
only
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 6.5% | Win 61%
Sharpe 0.48 | Sortino 0.56 | Calmar 0.1
Vol 16% | MDD -60.7%
Months 333M (100%)
CAGR 4.7% | Win 59%
Sharpe 0.38 | Sortino 0.48 | Calmar 0.1
Vol 15% | MDD -44.4%
Months 316M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 7.0% | Win 53%
Sharpe 0.33 | Sortino 0.76 | Calmar 0.1
Vol 34% | MDD -61.4%
Months 239M (100%)
CAGR 2.0% | Win 56%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 20% | MDD -72.6%
Months 359M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 63%
Sharpe 0.59 | Sortino 0.80 | Calmar 0.2
Vol 15% | MDD -43.6%
Months 347M (100%)
CAGR 3.8% | Win 57%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.1
Vol 21% | MDD -49.6%
Months 211M (100%)
CAGR 7.9% | Win 61%
Sharpe 0.58 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -45.8%
Months 347M (100%)
MRmean
neg
CAGR 1.5% | Win 57%
Sharpe 0.18 | Sortino 0.20 | Calmar 0.0
Vol 19% | MDD -71.2%
Months 355M (100%)
CAGR 3.6% | Win 54%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 26% | MDD -65.8%
Months 297M (100%)
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -69.9%
Months 362M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.7% | Win 62%
Sharpe 0.54 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -54.8%
Months 344M (100%)
CAGR 2.4% | Win 55%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 20% | MDD -42.8%
Months 203M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 1.1% | Win 57%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -66.8%
Months 340M (100%)
CAGR 0.9% | Win 52%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 20% | MDD -60.4%
Months 320M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
RSmean
only
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.0% | Win 61%
Sharpe 0.43 | Sortino 0.56 | Calmar 0.1
Vol 14% | MDD -51.3%
Months 328M (100%)
CAGR 9.7% | Win 61%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.2
Vol 20% | MDD -52.3%
Months 330M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 1.6% | Win 59%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 17% | MDD -56.5%
Months 308M (100%)
CAGR 2.5% | Win 55%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -67.4%
Months 359M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
MACD
only
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.3% | Win 62%
Sharpe 0.57 | Sortino 0.76 | Calmar 0.2
Vol 14% | MDD -47.6%
Months 341M (100%)
CAGR 8.6% | Win 56%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 24% | MDD -53.8%
Months 254M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 5.8% | Win 58%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 17% | MDD -39.6%
Months 326M (100%)
CAGR -0.7% | Win 55%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 22% | MDD -73.9%
Months 345M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
RSI
only
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 6.0% | Win 62%
Sharpe 0.46 | Sortino 0.67 | Calmar 0.1
Vol 15% | MDD -61.6%
Months 314M (100%)
CAGR 5.9% | Win 58%
Sharpe 0.43 | Sortino 0.53 | Calmar 0.1
Vol 17% | MDD -52.7%
Months 340M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 7.2% | Win 58%
Sharpe 0.42 | Sortino 0.77 | Calmar 0.2
Vol 22% | MDD -35.1%
Months 274M (100%)
CAGR 1.5% | Win 55%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.0
Vol 20% | MDD -72.9%
Months 362M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
MACDhist
only
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 7.0% | Win 62%
Sharpe 0.51 | Sortino 0.59 | Calmar 0.1
Vol 16% | MDD -57.7%
Months 333M (100%)
CAGR 4.4% | Win 60%
Sharpe 0.34 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -54.1%
Months 312M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 5.7% | Win 52%
Sharpe 0.29 | Sortino 0.61 | Calmar 0.1
Vol 34% | MDD -51.6%
Months 244M (100%)
CAGR 1.8% | Win 56%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -71.9%
Months 361M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 61%
Sharpe 0.62 | Sortino 0.84 | Calmar 0.2
Vol 14% | MDD -47.2%
Months 343M (100%)
CAGR 4.9% | Win 57%
Sharpe 0.32 | Sortino 0.48 | Calmar 0.1
Vol 23% | MDD -53.2%
Months 244M (100%)
CAGR 7.7% | Win 61%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 344M (100%)
SLmean
neg
CAGR 1.8% | Win 56%
Sharpe 0.20 | Sortino 0.22 | Calmar 0.0
Vol 19% | MDD -66.7%
Months 357M (100%)
CAGR 0.8% | Win 53%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.0
Vol 27% | MDD -70.3%
Months 277M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.20 | Sortino 0.23 | Calmar 0.0
Vol 19% | MDD -70.7%
Months 362M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 64%
Sharpe 0.48 | Sortino 0.59 | Calmar 0.1
Vol 15% | MDD -50.2%
Months 337M (100%)
CAGR 7.2% | Win 58%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.1
Vol 20% | MDD -49.1%
Months 350M (100%)
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
RSmean
neg
CAGR 0.3% | Win 54%
Sharpe 0.11 | Sortino 0.13 | Calmar 0.0
Vol 17% | MDD -48.0%
Months 225M (100%)
CAGR 2.0% | Win 54%
Sharpe 0.20 | Sortino 0.25 | Calmar 0.0
Vol 21% | MDD -59.7%
Months 325M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
MACD
only
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.0% | Win 61%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.1
Vol 14% | MDD -47.5%
Months 345M (100%)
CAGR 3.4% | Win 56%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -64.2%
Months 331M (100%)
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
RSmean
neg
CAGR 7.5% | Win 57%
Sharpe 0.50 | Sortino 0.75 | Calmar 0.3
Vol 18% | MDD -28.6%
Months 301M (100%)
CAGR 1.4% | Win 52%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 283M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
RSI
only
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 64%
Sharpe 0.60 | Sortino 0.92 | Calmar 0.2
Vol 16% | MDD -42.6%
Months 320M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.46 | Sortino 0.58 | Calmar 0.1
Vol 17% | MDD -52.3%
Months 350M (100%)
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
RSmean
neg
CAGR 11.8% | Win 60%
Sharpe 0.65 | Sortino 0.83 | Calmar 0.4
Vol 21% | MDD -29.5%
Months 142M (100%)
CAGR 0.9% | Win 54%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 19% | MDD -68.9%
Months 336M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
MACDhist
only
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 62%
Sharpe 0.57 | Sortino 0.79 | Calmar 0.2
Vol 18% | MDD -51.4%
Months 336M (100%)
CAGR 3.6% | Win 58%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -57.5%
Months 340M (100%)
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
RSmean
neg
CAGR 6.9% | Win 56%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 21% | MDD -37.6%
Months 212M (100%)
CAGR 0.5% | Win 54%
Sharpe 0.13 | Sortino 0.16 | Calmar 0.0
Vol 20% | MDD -61.5%
Months 329M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.5% | Win 63%
Sharpe 0.54 | Sortino 0.66 | Calmar 0.1
Vol 16% | MDD -50.9%
Months 350M (100%)
CAGR 3.8% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 306M (100%)
CAGR 8.1% | Win 61%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.2
Vol 17% | MDD -52.8%
Months 350M (100%)
RSmean
neg
CAGR 2.0% | Win 53%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 19% | MDD -62.0%
Months 332M (100%)
CAGR -1.1% | Win 50%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 25% | MDD -48.5%
Months 115M (100%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -61.1%
Months 338M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 62%
Sharpe 0.48 | Sortino 0.62 | Calmar 0.1
Vol 14% | MDD -44.0%
Months 333M (100%)
CAGR 0.6% | Win 54%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 21% | MDD -64.5%
Months 248M (100%)
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
MACD
neg
CAGR 9.2% | Win 61%
Sharpe 0.60 | Sortino 0.90 | Calmar 0.3
Vol 17% | MDD -35.2%
Months 322M (100%)
CAGR 3.0% | Win 56%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.0
Vol 22% | MDD -62.6%
Months 357M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
RSI
only
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.6% | Win 63%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.1
Vol 14% | MDD -47.7%
Months 311M (100%)
CAGR 3.3% | Win 58%
Sharpe 0.29 | Sortino 0.34 | Calmar 0.1
Vol 16% | MDD -53.2%
Months 325M (100%)
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
MACD
neg
CAGR 7.9% | Win 60%
Sharpe 0.45 | Sortino 0.71 | Calmar 0.2
Vol 22% | MDD -45.2%
Months 278M (100%)
CAGR 6.0% | Win 57%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 357M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
MACDhist
only
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.9% | Win 61%
Sharpe 0.42 | Sortino 0.54 | Calmar 0.1
Vol 14% | MDD -50.7%
Months 318M (100%)
CAGR 1.8% | Win 60%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 16% | MDD -50.3%
Months 318M (100%)
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
MACD
neg
CAGR 9.6% | Win 60%
Sharpe 0.54 | Sortino 0.83 | Calmar 0.2
Vol 21% | MDD -45.8%
Months 324M (100%)
CAGR 4.7% | Win 55%
Sharpe 0.33 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -54.0%
Months 356M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.8% | Win 62%
Sharpe 0.46 | Sortino 0.55 | Calmar 0.1
Vol 15% | MDD -49.1%
Months 333M (100%)
CAGR 1.3% | Win 52%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 20% | MDD -53.5%
Months 214M (100%)
CAGR 6.0% | Win 63%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 337M (100%)
MACD
neg
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -53.0%
Months 354M (100%)
CAGR 4.4% | Win 55%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 24% | MDD -61.3%
Months 300M (100%)
CAGR 6.3% | Win 57%
Sharpe 0.42 | Sortino 0.57 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 362M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.0% | Win 63%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.1
Vol 14% | MDD -54.5%
Months 311M (100%)
CAGR 6.8% | Win 60%
Sharpe 0.50 | Sortino 0.69 | Calmar 0.2
Vol 15% | MDD -39.1%
Months 344M (100%)
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
RSI
neg
CAGR 10.1% | Win 58%
Sharpe 0.50 | Sortino 0.84 | Calmar 0.2
Vol 26% | MDD -57.4%
Months 254M (100%)
CAGR 1.9% | Win 56%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.0
Vol 21% | MDD -65.2%
Months 352M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
MACDhist
only
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 7.2% | Win 62%
Sharpe 0.54 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -44.5%
Months 330M (100%)
CAGR 5.4% | Win 60%
Sharpe 0.41 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -54.7%
Months 337M (100%)
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
RSI
neg
CAGR 5.4% | Win 54%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 26% | MDD -69.0%
Months 268M (100%)
CAGR 1.2% | Win 57%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.0
Vol 21% | MDD -66.9%
Months 342M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.3% | Win 63%
Sharpe 0.66 | Sortino 0.92 | Calmar 0.2
Vol 15% | MDD -38.8%
Months 347M (100%)
CAGR 0.5% | Win 52%
Sharpe 0.12 | Sortino 0.16 | Calmar 0.0
Vol 18% | MDD -37.6%
Months 193M (100%)
CAGR 8.7% | Win 62%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.2
Vol 15% | MDD -40.6%
Months 347M (100%)
RSI
neg
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 22% | MDD -70.9%
Months 343M (100%)
CAGR 4.9% | Win 55%
Sharpe 0.31 | Sortino 0.50 | Calmar 0.1
Vol 26% | MDD -63.4%
Months 303M (100%)
CAGR 3.2% | Win 57%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 21% | MDD -63.2%
Months 357M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 64%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.2
Vol 17% | MDD -48.5%
Months 314M (100%)
CAGR 5.8% | Win 60%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -40.1%
Months 277M (100%)
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
MACDhist
neg
CAGR 7.6% | Win 60%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.2
Vol 19% | MDD -48.3%
Months 326M (100%)
CAGR 4.4% | Win 57%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 18% | MDD -57.0%
Months 361M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
RSIhist
only
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 7.3% | Win 63%
Sharpe 0.56 | Sortino 0.79 | Calmar 0.2
Vol 15% | MDD -44.1%
Months 320M (100%)
CAGR 8.9% | Win 54%
Sharpe 0.37 | Sortino 1.01 | Calmar 0.2
Vol 36% | MDD -56.8%
Months 186M (100%)
CAGR 8.4% | Win 65%
Sharpe 0.59 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -40.9%
Months 323M (100%)
MACDhist
neg
CAGR 4.6% | Win 59%
Sharpe 0.36 | Sortino 0.43 | Calmar 0.1
Vol 16% | MDD -55.0%
Months 362M (100%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 22% | MDD -65.2%
Months 308M (100%)
CAGR 5.9% | Win 59%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 362M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.9% | Win 62%
Sharpe 0.56 | Sortino 0.76 | Calmar 0.2
Vol 16% | MDD -50.0%
Months 333M (100%)
CAGR 8.6% | Win 55%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.1
Vol 24% | MDD -58.1%
Months 243M (100%)
CAGR 10.2% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -48.8%
Months 338M (100%)
RSIhist
neg
CAGR 3.8% | Win 60%
Sharpe 0.30 | Sortino 0.35 | Calmar 0.1
Vol 17% | MDD -63.5%
Months 361M (100%)
CAGR -0.6% | Win 52%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 24% | MDD -77.2%
Months 280M (100%)
CAGR 4.5% | Win 58%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -58.0%
Months 361M (100%)
LWTI
only
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -49.7%
Months 362M (100%)
CAGR 3.5% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -63.0%
Months 312M (100%)