Signal Pair Analysis

Performance Comparison by Signal Pairs

146

Total ETFs

36

Signal Pairs

317

Avg Months

5.2%

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 153 100.0 12.4 59.5 0.7 0.9 0.4 20.2 -29.0
pair MACDhist RSmean neg-pos 153 100.0 12.4 59.5 0.7 0.9 0.4 20.2 -29.0
single RSIhist RSIhist pos-pos 338 100.0 10.3 62.4 0.6 0.9 0.2 19.0 -50.6
pair RSIhist MACD neg-pos 328 100.0 10.0 61.0 0.6 0.8 0.2 21.3 -43.7
pair MACD RSIhist neg-pos 328 100.0 10.0 61.0 0.6 0.8 0.2 21.3 -43.7
pair RSIhist RSmean neg-pos 226 100.0 9.6 58.4 0.5 0.8 0.2 21.8 -40.1
pair MACDhist RSI neg-pos 260 100.0 9.6 58.5 0.5 0.8 0.2 25.1 -53.8
pair RSmean RSIhist neg-pos 226 100.0 9.6 58.4 0.5 0.8 0.2 21.8 -40.1
pair RSI MACDhist neg-pos 260 100.0 9.6 58.5 0.5 0.8 0.2 25.1 -53.8
pair MACD SLmean pos-neg 333 100.0 9.5 59.5 0.6 0.8 0.2 19.4 -51.4
pair MACDhist LWTI pos-neg 188 100.0 9.5 52.1 0.4 1.1 0.2 35.1 -53.7
pair LWTI RSI pos-pos 346 100.0 9.5 63.6 0.7 0.9 0.2 15.3 -38.0
pair RSI LWTI pos-pos 346 100.0 9.5 63.6 0.7 0.9 0.2 15.3 -38.0
pair LWTI MACDhist pos-neg 188 100.0 9.5 52.1 0.4 1.1 0.2 35.1 -53.7
pair SLmean MACD pos-neg 333 100.0 9.5 59.5 0.6 0.8 0.2 19.4 -51.4
single RSI RSI pos-pos 347 100.0 8.9 63.4 0.6 0.9 0.2 15.3 -38.3
pair MACD RSI neg-pos 330 100.0 8.6 62.1 0.6 0.8 0.2 16.6 -35.2
pair RSI MACD neg-pos 330 100.0 8.6 62.1 0.6 0.8 0.2 16.6 -35.2
pair LWTI RSIhist pos-pos 334 100.0 8.5 63.2 0.6 0.8 0.2 16.5 -46.6
pair RSIhist LWTI pos-pos 334 100.0 8.5 63.2 0.6 0.8 0.2 16.5 -46.6
pair LWTI RSIhist pos-neg 248 100.0 8.4 55.6 0.5 0.8 0.1 23.8 -57.0
pair RSIhist LWTI pos-neg 248 100.0 8.4 55.6 0.5 0.8 0.1 23.8 -57.0
pair MACD MRmean pos-neg 331 100.0 8.2 61.0 0.5 0.7 0.1 18.7 -57.4
pair MRmean MACD pos-neg 331 100.0 8.2 61.0 0.5 0.7 0.1 18.7 -57.4
pair RSIhist RSmean pos-pos 335 100.0 8.2 62.1 0.5 0.7 0.2 17.7 -53.0
pair MACDhist RSIhist pos-pos 314 100.0 8.2 64.6 0.6 0.9 0.2 16.6 -47.6
pair RSIhist MACDhist pos-pos 314 100.0 8.2 64.6 0.6 0.9 0.2 16.6 -47.6
single MACDhist MACDhist pos-pos 322 100.0 8.2 64.3 0.6 0.9 0.2 15.6 -41.4
pair MACDhist RSmean pos-pos 319 100.0 8.2 63.9 0.6 0.9 0.2 15.6 -43.2
pair RSmean RSIhist pos-pos 335 100.0 8.2 62.1 0.5 0.7 0.2 17.7 -53.0
pair RSmean MACDhist pos-pos 319 100.0 8.2 63.9 0.6 0.9 0.2 15.6 -43.2
pair RSI MRmean neg-pos 330 100.0 8.1 60.6 0.5 0.7 0.2 17.1 -42.1
pair MRmean RSI neg-pos 330 100.0 8.1 60.6 0.5 0.7 0.2 17.1 -42.1
pair MACDhist MACD neg-pos 283 100.0 8.0 61.1 0.5 0.7 0.2 21.8 -45.2
pair MACD MACDhist neg-pos 283 100.0 8.0 61.1 0.5 0.7 0.2 21.8 -45.2
pair MRmean RSIhist neg-pos 255 100.0 7.9 53.7 0.4 0.8 0.1 33.7 -61.4
pair RSIhist MRmean neg-pos 255 100.0 7.9 53.7 0.4 0.8 0.1 33.7 -61.4
pair MACDhist SLmean neg-pos 278 100.0 7.8 56.5 0.5 0.9 0.2 21.5 -35.1
pair SLmean MACDhist neg-pos 278 100.0 7.8 56.5 0.5 0.9 0.2 21.5 -35.1
single RSmean RSmean pos-pos 349 100.0 7.8 61.0 0.5 0.7 0.1 16.5 -52.7
pair RSI SLmean pos-neg 259 100.0 7.7 56.0 0.4 0.6 0.1 23.5 -54.0
pair SLmean RSI pos-neg 259 100.0 7.7 56.0 0.4 0.6 0.1 23.5 -54.0
pair RSI RSmean neg-pos 315 100.0 7.6 57.5 0.5 0.8 0.2 16.9 -36.5
pair RSmean RSI neg-pos 315 100.0 7.6 57.5 0.5 0.8 0.2 16.9 -36.5
pair SLmean LWTI pos-pos 342 100.0 7.6 62.9 0.6 0.8 0.1 14.4 -49.7
pair LWTI SLmean pos-pos 342 100.0 7.6 62.9 0.6 0.8 0.1 14.4 -49.7
benchmark All All All 361 100.0 7.6 60.4 0.5 0.7 0.1 16.2 -52.1
pair RSIhist MACDhist neg-pos 333 100.0 7.6 58.9 0.5 0.7 0.1 19.0 -49.0
pair MACDhist RSIhist neg-pos 333 100.0 7.6 58.9 0.5 0.7 0.1 19.0 -49.0
pair LWTI MRmean pos-pos 346 100.0 7.5 63.9 0.6 0.8 0.2 14.8 -44.5
single LWTI LWTI pos-pos 361 100.0 7.5 62.9 0.6 0.7 0.1 15.6 -50.4
pair MRmean LWTI pos-pos 346 100.0 7.5 63.9 0.6 0.8 0.2 14.8 -44.5
pair RSmean LWTI pos-pos 349 100.0 7.4 62.8 0.5 0.7 0.1 15.6 -50.9
pair LWTI RSmean pos-pos 349 100.0 7.4 62.8 0.5 0.7 0.1 15.6 -50.9
single MRmean MRmean pos-pos 346 100.0 7.4 61.6 0.6 0.7 0.2 14.9 -46.5
pair MACDhist LWTI pos-pos 319 100.0 7.3 62.7 0.6 0.8 0.2 14.6 -44.1
pair LWTI MACDhist pos-pos 319 100.0 7.3 62.7 0.6 0.8 0.2 14.6 -44.1
pair SLmean RSmean pos-pos 343 100.0 7.2 61.8 0.5 0.6 0.1 16.2 -54.6
pair RSmean SLmean pos-pos 343 100.0 7.2 61.8 0.5 0.6 0.1 16.2 -54.6
single SLmean SLmean pos-pos 343 100.0 7.2 62.4 0.5 0.6 0.1 16.2 -54.0
pair RSI MRmean pos-neg 240 100.0 7.1 57.9 0.4 0.6 0.1 24.0 -56.8
pair MRmean RSI pos-pos 344 100.0 7.1 61.6 0.6 0.7 0.2 14.2 -41.9
pair RSI MRmean pos-pos 344 100.0 7.1 61.6 0.6 0.7 0.2 14.2 -41.9
pair RSmean MRmean pos-pos 346 100.0 7.1 61.8 0.5 0.7 0.1 15.2 -49.6
pair MRmean RSI pos-neg 240 100.0 7.1 57.9 0.4 0.6 0.1 24.0 -56.8
pair MRmean RSmean pos-pos 346 100.0 7.1 61.8 0.5 0.7 0.1 15.2 -49.6
pair SLmean RSI neg-pos 334 100.0 7.0 58.4 0.5 0.7 0.2 16.5 -38.9
pair MACDhist RSI pos-neg 344 100.0 7.0 60.2 0.5 0.7 0.2 15.2 -38.2
pair RSI SLmean neg-pos 334 100.0 7.0 58.4 0.5 0.7 0.2 16.5 -38.9
pair RSI MACDhist pos-neg 344 100.0 7.0 60.2 0.5 0.7 0.2 15.2 -38.2
pair RSmean RSI pos-pos 345 100.0 6.9 63.2 0.5 0.7 0.1 14.5 -47.5
pair RSI SLmean pos-pos 340 100.0 6.9 62.4 0.6 0.7 0.1 14.0 -49.8
pair RSI RSmean pos-pos 345 100.0 6.9 63.2 0.5 0.7 0.1 14.5 -47.5
pair SLmean RSI pos-pos 340 100.0 6.9 62.4 0.6 0.7 0.1 14.0 -49.8
pair MACD LWTI neg-pos 361 100.0 6.8 60.7 0.5 0.6 0.1 17.8 -49.2
pair LWTI MACD neg-pos 361 100.0 6.8 60.7 0.5 0.6 0.1 17.8 -49.2
pair RSIhist RSI pos-pos 329 100.0 6.7 61.7 0.5 0.7 0.1 15.1 -46.2
pair RSI RSIhist pos-pos 329 100.0 6.7 61.7 0.5 0.7 0.1 15.1 -46.2
pair MACD MACDhist neg-neg 356 100.0 6.7 58.4 0.4 0.6 0.1 18.4 -49.0
pair MACDhist MACD neg-neg 356 100.0 6.7 58.4 0.4 0.6 0.1 18.4 -49.0
pair MACDhist MACD pos-pos 310 100.0 6.6 63.2 0.5 0.7 0.1 13.9 -47.7
pair MACD MACDhist pos-pos 310 100.0 6.6 63.2 0.5 0.7 0.1 13.9 -47.7
single MACD MACD neg-neg 361 100.0 6.6 59.0 0.4 0.6 0.1 18.4 -49.0
pair RSIhist MACDhist pos-neg 278 100.0 6.5 60.8 0.5 0.7 0.2 15.7 -40.1
pair MACDhist RSIhist pos-neg 278 100.0 6.5 60.8 0.5 0.7 0.2 15.7 -40.1
pair MACD RSmean pos-neg 349 100.0 6.5 59.6 0.4 0.6 0.1 19.7 -49.8
pair RSmean MACD pos-neg 349 100.0 6.5 59.6 0.4 0.6 0.1 19.7 -49.8
pair RSIhist RSI pos-neg 338 100.0 6.4 62.1 0.5 0.6 0.1 15.4 -47.9
pair RSI RSIhist pos-neg 338 100.0 6.4 62.1 0.5 0.6 0.1 15.4 -47.9
pair MRmean SLmean pos-pos 343 100.0 6.4 61.8 0.5 0.6 0.1 15.6 -54.8
pair SLmean MRmean pos-pos 343 100.0 6.4 61.8 0.5 0.6 0.1 15.6 -54.8
pair RSIhist SLmean pos-pos 332 100.0 6.4 62.0 0.5 0.6 0.1 15.9 -58.9
pair SLmean RSIhist pos-pos 332 100.0 6.4 62.0 0.5 0.6 0.1 15.9 -58.9
pair RSmean MACDhist pos-neg 349 100.0 6.2 58.5 0.5 0.6 0.1 16.6 -51.8
pair MACDhist RSmean pos-neg 349 100.0 6.2 58.5 0.5 0.6 0.1 16.6 -51.8
pair MACD RSmean pos-pos 336 100.0 6.2 62.8 0.5 0.6 0.1 14.8 -49.9
pair RSmean MACD pos-pos 336 100.0 6.2 62.8 0.5 0.6 0.1 14.8 -49.9
pair MRmean MACDhist pos-pos 316 100.0 6.2 64.2 0.5 0.7 0.1 14.9 -55.0
pair MACDhist MRmean pos-pos 316 100.0 6.2 64.2 0.5 0.7 0.1 14.9 -55.0
single MACDhist MACDhist neg-neg 361 100.0 6.1 59.8 0.5 0.6 0.1 16.3 -51.3
pair MACD RSI pos-pos 332 100.0 6.0 61.7 0.5 0.6 0.1 14.2 -44.0
pair RSI MACD pos-pos 332 100.0 6.0 61.7 0.5 0.6 0.1 14.2 -44.0
single MACD MACD pos-pos 336 100.0 6.0 61.9 0.5 0.6 0.1 14.8 -49.6
pair RSI MACDhist pos-pos 310 100.0 6.0 62.9 0.5 0.7 0.1 14.2 -54.5
pair MACDhist RSI pos-pos 310 100.0 6.0 62.9 0.5 0.7 0.1 14.2 -54.5
pair LWTI MACD pos-pos 332 100.0 5.8 60.5 0.5 0.6 0.1 14.8 -49.7
pair MACD LWTI pos-pos 332 100.0 5.8 60.5 0.5 0.6 0.1 14.8 -49.7
pair SLmean MACDhist pos-pos 313 100.0 5.8 62.0 0.5 0.7 0.1 15.0 -61.3
pair MACDhist SLmean pos-pos 313 100.0 5.8 62.0 0.5 0.7 0.1 15.0 -61.3
pair MRmean RSIhist pos-pos 332 100.0 5.7 60.8 0.4 0.5 0.1 15.9 -61.6
pair RSIhist MRmean pos-pos 332 100.0 5.7 60.8 0.4 0.5 0.1 15.9 -61.6
pair MACDhist MRmean pos-neg 345 100.0 5.6 60.6 0.4 0.6 0.1 15.0 -47.4
pair MRmean MACDhist pos-neg 345 100.0 5.6 60.6 0.4 0.6 0.1 15.0 -47.4
pair LWTI RSIhist neg-pos 360 100.0 5.6 59.2 0.4 0.5 0.1 16.1 -51.5
pair RSIhist LWTI neg-pos 360 100.0 5.6 59.2 0.4 0.5 0.1 16.1 -51.5
pair SLmean MACDhist pos-neg 342 100.0 5.6 59.4 0.4 0.5 0.1 16.4 -52.4
pair MACDhist SLmean pos-neg 342 100.0 5.6 59.4 0.4 0.5 0.1 16.4 -52.4
pair RSmean LWTI neg-pos 345 100.0 5.5 56.8 0.4 0.5 0.1 17.6 -45.1
pair LWTI RSmean neg-pos 345 100.0 5.5 56.8 0.4 0.5 0.1 17.6 -45.1
pair RSmean MACD neg-neg 338 100.0 5.4 56.8 0.4 0.5 0.1 19.2 -48.4
pair MACD RSmean neg-neg 338 100.0 5.4 56.8 0.4 0.5 0.1 19.2 -48.4
pair MACD RSIhist neg-neg 356 100.0 5.4 55.6 0.4 0.5 0.1 19.4 -50.5
pair RSIhist MACD neg-neg 356 100.0 5.4 55.6 0.4 0.5 0.1 19.4 -50.5
pair MACDhist LWTI neg-pos 361 100.0 5.4 60.4 0.4 0.5 0.1 15.7 -50.1
pair LWTI MACDhist neg-pos 361 100.0 5.4 60.4 0.4 0.5 0.1 15.7 -50.1
pair RSIhist MACDhist neg-neg 360 100.0 5.3 57.2 0.4 0.5 0.1 17.5 -52.7
pair MACDhist RSIhist neg-neg 360 100.0 5.3 57.2 0.4 0.5 0.1 17.5 -52.7
pair MACD MRmean pos-pos 330 100.0 5.3 61.2 0.5 0.6 0.1 13.7 -48.3
pair MRmean MACD pos-pos 330 100.0 5.3 61.2 0.5 0.6 0.1 13.7 -48.3
pair RSIhist MRmean pos-neg 317 100.0 5.3 60.6 0.4 0.5 0.1 14.7 -37.2
pair MRmean RSIhist pos-neg 317 100.0 5.3 60.6 0.4 0.5 0.1 14.7 -37.2
pair MRmean RSmean neg-neg 333 100.0 5.3 55.9 0.4 0.5 0.1 18.2 -46.5
pair RSmean MRmean neg-neg 333 100.0 5.3 55.9 0.4 0.5 0.1 18.2 -46.5
pair LWTI SLmean pos-neg 249 100.0 5.2 57.4 0.3 0.5 0.1 22.3 -48.3
pair SLmean LWTI pos-neg 249 100.0 5.2 57.4 0.3 0.5 0.1 22.3 -48.3
single RSIhist RSIhist neg-neg 360 100.0 5.2 57.5 0.4 0.5 0.1 17.0 -53.0
single RSmean RSmean neg-neg 346 100.0 5.1 55.2 0.4 0.5 0.1 17.6 -44.6
pair RSI RSIhist neg-pos 274 100.0 5.0 55.5 0.3 0.5 0.1 26.0 -68.2
pair RSIhist RSI neg-pos 274 100.0 5.0 55.5 0.3 0.5 0.1 26.0 -68.2
pair SLmean RSIhist neg-pos 256 100.0 5.0 51.2 0.3 0.6 0.1 33.8 -54.2
pair RSIhist SLmean neg-pos 256 100.0 5.0 51.2 0.3 0.6 0.1 33.8 -54.2
pair MACD SLmean pos-pos 327 100.0 4.8 61.2 0.4 0.5 0.1 13.6 -51.1
pair SLmean MACD pos-pos 327 100.0 4.8 61.2 0.4 0.5 0.1 13.6 -51.1
pair SLmean MRmean pos-neg 284 100.0 4.8 58.5 0.3 0.5 0.1 18.2 -43.0
pair MRmean SLmean pos-neg 284 100.0 4.8 58.5 0.3 0.5 0.1 18.2 -43.0
pair RSIhist MACD pos-pos 317 100.0 4.5 61.2 0.4 0.5 0.1 13.6 -50.5
pair MACD RSIhist pos-pos 317 100.0 4.5 61.2 0.4 0.5 0.1 13.6 -50.5
pair MACDhist RSmean neg-neg 344 100.0 4.4 55.8 0.3 0.4 0.1 17.7 -47.3
pair RSmean MACDhist neg-neg 344 100.0 4.4 55.8 0.3 0.4 0.1 17.7 -47.3
pair RSmean SLmean neg-neg 333 100.0 4.3 55.0 0.3 0.4 0.1 17.8 -48.9
pair SLmean RSmean neg-neg 333 100.0 4.3 55.0 0.3 0.4 0.1 17.8 -48.9
pair RSI LWTI neg-neg 304 100.0 4.3 54.6 0.3 0.5 0.1 25.3 -62.8
pair LWTI RSI neg-neg 304 100.0 4.3 54.6 0.3 0.5 0.1 25.3 -62.8
pair MACDhist MRmean neg-pos 230 100.0 4.3 53.9 0.3 0.5 0.1 23.1 -59.4
pair MRmean MACDhist neg-pos 230 100.0 4.3 53.9 0.3 0.5 0.1 23.1 -59.4
pair RSIhist SLmean pos-neg 314 100.0 4.1 60.5 0.3 0.4 0.1 17.7 -53.9
pair SLmean RSIhist pos-neg 314 100.0 4.1 60.5 0.3 0.4 0.1 17.7 -53.9
pair LWTI MRmean pos-neg 217 100.0 3.8 57.6 0.3 0.4 0.1 20.7 -48.6
pair MRmean LWTI pos-neg 217 100.0 3.8 57.6 0.3 0.4 0.1 20.7 -48.6
pair MRmean LWTI neg-pos 357 100.0 3.8 57.7 0.3 0.3 0.1 17.7 -54.1
pair LWTI MRmean neg-pos 357 100.0 3.8 57.7 0.3 0.3 0.1 17.7 -54.1
pair RSIhist RSmean neg-neg 339 100.0 3.7 54.9 0.3 0.4 0.1 17.6 -46.4
pair RSmean RSIhist neg-neg 339 100.0 3.7 54.9 0.3 0.4 0.1 17.6 -46.4
pair LWTI MACD neg-neg 302 100.0 3.7 54.0 0.3 0.4 0.1 24.3 -61.3
pair MACD LWTI neg-neg 302 100.0 3.7 54.0 0.3 0.4 0.1 24.3 -61.3
pair MACD MRmean neg-neg 358 100.0 3.7 55.0 0.3 0.4 0.1 20.2 -62.5
pair MRmean MACD neg-neg 358 100.0 3.7 55.0 0.3 0.4 0.1 20.2 -62.5
pair MRmean SLmean neg-pos 221 100.0 3.7 57.9 0.3 0.4 0.1 22.4 -48.7
pair SLmean MRmean neg-pos 221 100.0 3.7 57.9 0.3 0.4 0.1 22.4 -48.7
pair RSmean RSIhist pos-neg 340 100.0 3.7 58.5 0.3 0.4 0.1 17.6 -56.9
pair RSIhist RSmean pos-neg 340 100.0 3.7 58.5 0.3 0.4 0.1 17.6 -56.9
pair LWTI RSmean pos-neg 311 100.0 3.6 55.9 0.3 0.4 0.1 22.7 -62.5
pair RSmean LWTI pos-neg 311 100.0 3.6 55.9 0.3 0.4 0.1 22.7 -62.5
pair SLmean LWTI neg-pos 359 100.0 3.3 57.4 0.3 0.3 0.1 17.5 -51.9
pair LWTI SLmean neg-pos 359 100.0 3.3 57.4 0.3 0.3 0.1 17.5 -51.9
pair MACDhist MACD pos-neg 329 100.0 3.2 59.0 0.3 0.3 0.1 15.8 -52.4
pair MACD MACDhist pos-neg 329 100.0 3.2 59.0 0.3 0.3 0.1 15.8 -52.4
pair MRmean RSmean pos-neg 222 100.0 3.1 54.1 0.3 0.4 0.1 17.8 -34.6
pair RSmean MRmean pos-neg 222 100.0 3.1 54.1 0.3 0.4 0.1 17.8 -34.6
single LWTI LWTI neg-neg 315 100.0 3.1 55.2 0.2 0.3 0.1 22.2 -62.5
single MRmean MRmean neg-neg 361 100.0 3.1 56.8 0.3 0.3 0.1 18.8 -63.8
pair MACDhist MRmean neg-neg 361 100.0 3.0 57.3 0.2 0.3 0.0 18.9 -66.3
pair MRmean MACDhist neg-neg 361 100.0 3.0 57.3 0.2 0.3 0.0 18.9 -66.3
pair MRmean RSIhist neg-neg 358 100.0 2.9 56.1 0.2 0.3 0.1 18.8 -64.3
pair RSIhist MRmean neg-neg 358 100.0 2.9 56.1 0.2 0.3 0.1 18.8 -64.3
pair MRmean LWTI neg-neg 298 100.0 2.9 54.4 0.2 0.4 0.1 25.7 -62.8
pair LWTI MRmean neg-neg 298 100.0 2.9 54.4 0.2 0.4 0.1 25.7 -62.8
pair SLmean RSIhist neg-neg 360 100.0 2.7 56.4 0.2 0.3 0.0 18.6 -64.7
pair RSIhist SLmean neg-neg 360 100.0 2.7 56.4 0.2 0.3 0.0 18.6 -64.7
pair RSmean RSI neg-neg 295 100.0 2.7 54.2 0.2 0.3 0.1 22.5 -52.9
pair RSI RSmean neg-neg 295 100.0 2.7 54.2 0.2 0.3 0.1 22.5 -52.9
pair RSI RSmean pos-neg 336 100.0 2.7 56.2 0.2 0.3 0.0 23.1 -64.1
pair RSmean RSI pos-neg 336 100.0 2.7 56.2 0.2 0.3 0.0 23.1 -64.1
pair SLmean MACD neg-neg 359 100.0 2.6 56.3 0.2 0.3 0.0 20.6 -64.0
pair MACD SLmean neg-neg 359 100.0 2.6 56.3 0.2 0.3 0.0 20.6 -64.0
pair RSI MACD neg-neg 360 100.0 2.5 57.8 0.2 0.3 0.0 21.3 -62.9
pair MACD RSI neg-neg 360 100.0 2.5 57.8 0.2 0.3 0.0 21.3 -62.9
single SLmean SLmean neg-neg 361 100.0 2.5 56.8 0.2 0.3 0.0 18.6 -64.4
single RSI RSI neg-neg 360 100.0 2.5 56.9 0.2 0.3 0.0 20.7 -63.5
pair MACDhist SLmean neg-neg 361 100.0 2.4 56.0 0.2 0.3 0.0 19.0 -66.0
pair SLmean MACDhist neg-neg 361 100.0 2.4 56.0 0.2 0.3 0.0 19.0 -66.0
pair SLmean RSmean pos-neg 210 100.0 2.4 54.3 0.2 0.3 0.1 19.1 -39.0
pair RSmean SLmean pos-neg 210 100.0 2.4 54.3 0.2 0.3 0.1 19.1 -39.0
pair MRmean SLmean neg-neg 359 100.0 2.0 56.5 0.2 0.2 0.0 19.2 -68.2
pair SLmean MRmean neg-neg 359 100.0 2.0 56.5 0.2 0.2 0.0 19.2 -68.2
pair MACDhist RSI neg-neg 357 100.0 1.7 56.0 0.2 0.2 0.0 20.2 -65.8
pair RSI MACDhist neg-neg 357 100.0 1.7 56.0 0.2 0.2 0.0 20.2 -65.8
pair SLmean MACD neg-pos 309 100.0 1.7 58.6 0.2 0.2 0.0 16.9 -56.4
pair MACD SLmean neg-pos 309 100.0 1.7 58.6 0.2 0.2 0.0 16.9 -56.4
pair LWTI RSI pos-neg 203 100.0 1.7 54.7 0.2 0.2 0.0 17.8 -37.6
pair RSI LWTI pos-neg 203 100.0 1.7 54.7 0.2 0.2 0.0 17.8 -37.6
pair RSIhist MACD pos-neg 318 100.0 1.5 59.1 0.2 0.2 0.0 16.5 -52.0
pair MACD RSIhist pos-neg 318 100.0 1.5 59.1 0.2 0.2 0.0 16.5 -52.0
pair RSmean MACD neg-pos 235 100.0 1.5 54.5 0.2 0.2 0.0 16.8 -38.1
pair MACD RSmean neg-pos 235 100.0 1.5 54.5 0.2 0.2 0.0 16.8 -38.1
pair MACD LWTI pos-neg 215 100.0 1.5 54.0 0.2 0.3 0.0 19.8 -49.8
pair LWTI MACD pos-neg 215 100.0 1.5 54.0 0.2 0.3 0.0 19.8 -49.8
pair MACDhist LWTI neg-neg 311 100.0 1.4 53.4 0.2 0.2 0.0 22.0 -63.5
pair LWTI MACDhist neg-neg 311 100.0 1.4 53.4 0.2 0.2 0.0 22.0 -63.5
pair MACD MRmean neg-pos 291 100.0 1.3 58.1 0.2 0.2 0.0 18.4 -57.4
pair MRmean MACD neg-pos 291 100.0 1.3 58.1 0.2 0.2 0.0 18.4 -57.4
pair RSI MRmean neg-neg 354 100.0 1.1 55.6 0.2 0.2 0.0 21.0 -67.0
pair MRmean RSI neg-neg 354 100.0 1.1 55.6 0.2 0.2 0.0 21.0 -67.0
pair LWTI RSI neg-pos 348 100.0 1.1 56.0 0.2 0.2 0.0 21.3 -70.6
pair RSI LWTI neg-pos 348 100.0 1.1 56.0 0.2 0.2 0.0 21.3 -70.6
pair SLmean RSmean neg-pos 341 100.0 1.0 56.0 0.1 0.2 0.0 19.9 -66.8
pair RSmean SLmean neg-pos 341 100.0 1.0 56.0 0.1 0.2 0.0 19.9 -66.8
pair RSI RSIhist neg-neg 346 100.0 0.8 55.8 0.1 0.2 0.0 20.5 -67.1
pair RSIhist RSI neg-neg 346 100.0 0.8 55.8 0.1 0.2 0.0 20.5 -67.1
pair MRmean RSmean neg-pos 339 100.0 0.2 56.9 0.1 0.1 0.0 20.3 -68.5
pair RSmean MRmean neg-pos 339 100.0 0.2 56.9 0.1 0.1 0.0 20.3 -68.5
pair SLmean LWTI neg-neg 281 100.0 0.1 53.4 0.1 0.2 0.0 26.3 -68.1
pair LWTI SLmean neg-neg 281 100.0 0.1 53.4 0.1 0.2 0.0 26.3 -68.1
pair MACD RSI pos-neg 249 100.0 -0.2 53.0 0.1 0.1 -0.0 21.2 -65.4
pair RSI MACD pos-neg 249 100.0 -0.2 53.0 0.1 0.1 -0.0 21.2 -65.4
pair SLmean RSI neg-neg 352 100.0 -1.0 54.3 0.1 0.1 -0.0 21.7 -74.5
pair RSI SLmean neg-neg 352 100.0 -1.0 54.3 0.1 0.1 -0.0 21.7 -74.5
pair LWTI RSIhist neg-neg 282 100.0 -1.0 52.5 0.1 0.1 -0.0 23.4 -75.4
pair RSIhist LWTI neg-neg 282 100.0 -1.0 52.5 0.1 0.1 -0.0 23.4 -75.4
pair RSmean LWTI neg-neg 120 100.0 -3.2 48.3 -0.0 -0.0 -0.1 24.2 -53.7
pair LWTI RSmean neg-neg 120 100.0 -3.2 48.3 -0.0 -0.0 -0.1 24.2 -53.7

Contingency Tables by Signal Pair

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 6.4% | Win 62%
Sharpe 0.48 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -54.8%
Months 343M (100%)
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -43.0%
Months 284M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -48.7%
Months 221M (100%)
CAGR 2.0% | Win 56%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 19% | MDD -68.2%
Months 359M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
SLmean
only
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.1% | Win 62%
Sharpe 0.53 | Sortino 0.68 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 346M (100%)
CAGR 3.1% | Win 54%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -34.6%
Months 222M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 0.2% | Win 57%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -68.5%
Months 339M (100%)
CAGR 5.3% | Win 56%
Sharpe 0.38 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -46.5%
Months 333M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
RSmean
only
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 61%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.1
Vol 14% | MDD -48.3%
Months 330M (100%)
CAGR 8.2% | Win 61%
Sharpe 0.52 | Sortino 0.69 | Calmar 0.1
Vol 19% | MDD -57.4%
Months 331M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 1.3% | Win 58%
Sharpe 0.16 | Sortino 0.19 | Calmar 0.0
Vol 18% | MDD -57.4%
Months 291M (100%)
CAGR 3.7% | Win 55%
Sharpe 0.28 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -62.5%
Months 358M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
MACD
only
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 7.1% | Win 62%
Sharpe 0.56 | Sortino 0.74 | Calmar 0.2
Vol 14% | MDD -41.9%
Months 344M (100%)
CAGR 7.1% | Win 58%
Sharpe 0.41 | Sortino 0.59 | Calmar 0.1
Vol 24% | MDD -56.8%
Months 240M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 8.1% | Win 61%
Sharpe 0.54 | Sortino 0.73 | Calmar 0.2
Vol 17% | MDD -42.1%
Months 330M (100%)
CAGR 1.1% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -67.0%
Months 354M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
RSI
only
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.2% | Win 64%
Sharpe 0.48 | Sortino 0.68 | Calmar 0.1
Vol 15% | MDD -55.0%
Months 316M (100%)
CAGR 5.6% | Win 61%
Sharpe 0.44 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -47.4%
Months 345M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 4.3% | Win 54%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -59.4%
Months 230M (100%)
CAGR 3.0% | Win 57%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 19% | MDD -66.3%
Months 361M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
MACDhist
only
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 61%
Sharpe 0.43 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -61.6%
Months 332M (100%)
CAGR 5.3% | Win 61%
Sharpe 0.43 | Sortino 0.54 | Calmar 0.1
Vol 15% | MDD -37.2%
Months 317M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 7.9% | Win 54%
Sharpe 0.36 | Sortino 0.80 | Calmar 0.1
Vol 34% | MDD -61.4%
Months 255M (100%)
CAGR 2.9% | Win 56%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.0
Vol 19% | MDD -64.3%
Months 358M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 64%
Sharpe 0.57 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -44.5%
Months 346M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.29 | Sortino 0.39 | Calmar 0.1
Vol 21% | MDD -48.6%
Months 217M (100%)
CAGR 7.4% | Win 62%
Sharpe 0.56 | Sortino 0.73 | Calmar 0.2
Vol 15% | MDD -46.5%
Months 346M (100%)
MRmean
neg
CAGR 3.8% | Win 58%
Sharpe 0.30 | Sortino 0.35 | Calmar 0.1
Vol 18% | MDD -54.1%
Months 357M (100%)
CAGR 2.9% | Win 54%
Sharpe 0.23 | Sortino 0.37 | Calmar 0.0
Vol 26% | MDD -62.8%
Months 298M (100%)
CAGR 3.1% | Win 57%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.0
Vol 19% | MDD -63.8%
Months 361M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.62 | Calmar 0.1
Vol 16% | MDD -54.6%
Months 343M (100%)
CAGR 2.4% | Win 54%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.1
Vol 19% | MDD -39.0%
Months 210M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 1.0% | Win 56%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -66.8%
Months 341M (100%)
CAGR 4.3% | Win 55%
Sharpe 0.33 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -48.9%
Months 333M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
RSmean
only
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 4.8% | Win 61%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.1
Vol 14% | MDD -51.1%
Months 327M (100%)
CAGR 9.5% | Win 60%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -51.4%
Months 333M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 1.7% | Win 59%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 17% | MDD -56.4%
Months 309M (100%)
CAGR 2.6% | Win 56%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.0
Vol 21% | MDD -64.0%
Months 359M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
MACD
only
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 62%
Sharpe 0.55 | Sortino 0.72 | Calmar 0.1
Vol 14% | MDD -49.8%
Months 340M (100%)
CAGR 7.7% | Win 56%
Sharpe 0.43 | Sortino 0.63 | Calmar 0.1
Vol 24% | MDD -54.0%
Months 259M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 7.0% | Win 58%
Sharpe 0.49 | Sortino 0.69 | Calmar 0.2
Vol 16% | MDD -38.9%
Months 334M (100%)
CAGR -1.0% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -74.5%
Months 352M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
RSI
only
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 5.8% | Win 62%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.1
Vol 15% | MDD -61.3%
Months 313M (100%)
CAGR 5.6% | Win 59%
Sharpe 0.42 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -52.4%
Months 342M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 7.8% | Win 56%
Sharpe 0.45 | Sortino 0.86 | Calmar 0.2
Vol 22% | MDD -35.1%
Months 278M (100%)
CAGR 2.4% | Win 56%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -66.0%
Months 361M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
MACDhist
only
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 6.4% | Win 62%
Sharpe 0.47 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -58.9%
Months 332M (100%)
CAGR 4.1% | Win 60%
Sharpe 0.32 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -53.9%
Months 314M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 5.0% | Win 51%
Sharpe 0.28 | Sortino 0.56 | Calmar 0.1
Vol 34% | MDD -54.2%
Months 256M (100%)
CAGR 2.7% | Win 56%
Sharpe 0.24 | Sortino 0.28 | Calmar 0.0
Vol 19% | MDD -64.7%
Months 360M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 63%
Sharpe 0.59 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -49.7%
Months 342M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 22% | MDD -48.3%
Months 249M (100%)
CAGR 7.2% | Win 62%
Sharpe 0.52 | Sortino 0.61 | Calmar 0.1
Vol 16% | MDD -54.0%
Months 343M (100%)
SLmean
neg
CAGR 3.3% | Win 57%
Sharpe 0.28 | Sortino 0.32 | Calmar 0.1
Vol 18% | MDD -51.9%
Months 359M (100%)
CAGR 0.1% | Win 53%
Sharpe 0.13 | Sortino 0.21 | Calmar 0.0
Vol 26% | MDD -68.1%
Months 281M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.0
Vol 19% | MDD -64.4%
Months 361M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.2% | Win 63%
Sharpe 0.48 | Sortino 0.59 | Calmar 0.1
Vol 15% | MDD -49.9%
Months 336M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.42 | Sortino 0.59 | Calmar 0.1
Vol 20% | MDD -49.8%
Months 349M (100%)
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
RSmean
neg
CAGR 1.5% | Win 55%
Sharpe 0.17 | Sortino 0.21 | Calmar 0.0
Vol 17% | MDD -38.1%
Months 235M (100%)
CAGR 5.4% | Win 57%
Sharpe 0.37 | Sortino 0.47 | Calmar 0.1
Vol 19% | MDD -48.4%
Months 338M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
MACD
only
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.9% | Win 63%
Sharpe 0.54 | Sortino 0.71 | Calmar 0.1
Vol 14% | MDD -47.5%
Months 345M (100%)
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 23% | MDD -64.1%
Months 336M (100%)
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
RSmean
neg
CAGR 7.6% | Win 57%
Sharpe 0.52 | Sortino 0.75 | Calmar 0.2
Vol 17% | MDD -36.5%
Months 315M (100%)
CAGR 2.7% | Win 54%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.1
Vol 22% | MDD -52.9%
Months 295M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
RSI
only
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.90 | Calmar 0.2
Vol 16% | MDD -43.2%
Months 319M (100%)
CAGR 6.2% | Win 58%
Sharpe 0.45 | Sortino 0.56 | Calmar 0.1
Vol 17% | MDD -51.8%
Months 349M (100%)
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
RSmean
neg
CAGR 12.4% | Win 60%
Sharpe 0.68 | Sortino 0.89 | Calmar 0.4
Vol 20% | MDD -29.0%
Months 153M (100%)
CAGR 4.4% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 18% | MDD -47.3%
Months 344M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
MACDhist
only
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 62%
Sharpe 0.54 | Sortino 0.73 | Calmar 0.2
Vol 18% | MDD -53.0%
Months 335M (100%)
CAGR 3.7% | Win 58%
Sharpe 0.30 | Sortino 0.37 | Calmar 0.1
Vol 18% | MDD -56.9%
Months 340M (100%)
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
RSmean
neg
CAGR 9.6% | Win 58%
Sharpe 0.53 | Sortino 0.79 | Calmar 0.2
Vol 22% | MDD -40.1%
Months 226M (100%)
CAGR 3.7% | Win 55%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 339M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.4% | Win 63%
Sharpe 0.54 | Sortino 0.65 | Calmar 0.1
Vol 16% | MDD -50.9%
Months 349M (100%)
CAGR 3.6% | Win 56%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -62.5%
Months 311M (100%)
CAGR 7.8% | Win 61%
Sharpe 0.54 | Sortino 0.70 | Calmar 0.1
Vol 16% | MDD -52.7%
Months 349M (100%)
RSmean
neg
CAGR 5.5% | Win 57%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -45.1%
Months 345M (100%)
CAGR -3.2% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 24% | MDD -53.7%
Months 120M (100%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.48 | Calmar 0.1
Vol 18% | MDD -44.6%
Months 346M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 62%
Sharpe 0.49 | Sortino 0.63 | Calmar 0.1
Vol 14% | MDD -44.0%
Months 332M (100%)
CAGR -0.2% | Win 53%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.0
Vol 21% | MDD -65.4%
Months 249M (100%)
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
MACD
neg
CAGR 8.6% | Win 62%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.2
Vol 17% | MDD -35.2%
Months 330M (100%)
CAGR 2.5% | Win 58%
Sharpe 0.22 | Sortino 0.29 | Calmar 0.0
Vol 21% | MDD -62.9%
Months 360M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
RSI
only
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (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 310M (100%)
CAGR 3.2% | Win 59%
Sharpe 0.28 | Sortino 0.34 | Calmar 0.1
Vol 16% | MDD -52.4%
Months 329M (100%)
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
MACD
neg
CAGR 8.0% | Win 61%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 22% | MDD -45.2%
Months 283M (100%)
CAGR 6.7% | Win 58%
Sharpe 0.45 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 356M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
MACDhist
only
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 61%
Sharpe 0.39 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -50.5%
Months 317M (100%)
CAGR 1.5% | Win 59%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.0
Vol 16% | MDD -52.0%
Months 318M (100%)
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
MACD
neg
CAGR 10.0% | Win 61%
Sharpe 0.55 | Sortino 0.83 | Calmar 0.2
Vol 21% | MDD -43.7%
Months 328M (100%)
CAGR 5.4% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.1
Vol 19% | MDD -50.5%
Months 356M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.8% | Win 60%
Sharpe 0.46 | Sortino 0.55 | Calmar 0.1
Vol 15% | MDD -49.7%
Months 332M (100%)
CAGR 1.5% | Win 54%
Sharpe 0.18 | Sortino 0.26 | Calmar 0.0
Vol 20% | MDD -49.8%
Months 215M (100%)
CAGR 6.0% | Win 62%
Sharpe 0.47 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -49.6%
Months 336M (100%)
MACD
neg
CAGR 6.8% | Win 61%
Sharpe 0.46 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -49.2%
Months 361M (100%)
CAGR 3.7% | Win 54%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 24% | MDD -61.3%
Months 302M (100%)
CAGR 6.6% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.1
Vol 18% | MDD -49.0%
Months 361M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.0% | Win 63%
Sharpe 0.48 | Sortino 0.65 | Calmar 0.1
Vol 14% | MDD -54.5%
Months 310M (100%)
CAGR 7.0% | Win 60%
Sharpe 0.52 | Sortino 0.71 | Calmar 0.2
Vol 15% | MDD -38.2%
Months 344M (100%)
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
RSI
neg
CAGR 9.6% | Win 58%
Sharpe 0.48 | Sortino 0.84 | Calmar 0.2
Vol 25% | MDD -53.8%
Months 260M (100%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.24 | Calmar 0.0
Vol 20% | MDD -65.8%
Months 357M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
MACDhist
only
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.7% | Win 62%
Sharpe 0.51 | Sortino 0.69 | Calmar 0.1
Vol 15% | MDD -46.2%
Months 329M (100%)
CAGR 6.4% | Win 62%
Sharpe 0.48 | Sortino 0.61 | Calmar 0.1
Vol 15% | MDD -47.9%
Months 338M (100%)
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
RSI
neg
CAGR 5.0% | Win 56%
Sharpe 0.31 | Sortino 0.52 | Calmar 0.1
Vol 26% | MDD -68.2%
Months 274M (100%)
CAGR 0.8% | Win 56%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 20% | MDD -67.1%
Months 346M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.5% | Win 64%
Sharpe 0.67 | Sortino 0.94 | Calmar 0.2
Vol 15% | MDD -38.0%
Months 346M (100%)
CAGR 1.7% | Win 55%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 18% | MDD -37.6%
Months 203M (100%)
CAGR 8.9% | Win 63%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.2
Vol 15% | MDD -38.3%
Months 347M (100%)
RSI
neg
CAGR 1.1% | Win 56%
Sharpe 0.17 | Sortino 0.19 | Calmar 0.0
Vol 21% | MDD -70.6%
Months 348M (100%)
CAGR 4.3% | Win 55%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -62.8%
Months 304M (100%)
CAGR 2.5% | Win 57%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 360M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.2% | Win 65%
Sharpe 0.56 | Sortino 0.88 | Calmar 0.2
Vol 17% | MDD -47.6%
Months 314M (100%)
CAGR 6.5% | Win 61%
Sharpe 0.48 | Sortino 0.71 | Calmar 0.2
Vol 16% | MDD -40.1%
Months 278M (100%)
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
MACDhist
neg
CAGR 7.6% | Win 59%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.2
Vol 19% | MDD -49.0%
Months 333M (100%)
CAGR 5.3% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 18% | MDD -52.7%
Months 360M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
RSIhist
only
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (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 319M (100%)
CAGR 9.5% | Win 52%
Sharpe 0.39 | Sortino 1.09 | Calmar 0.2
Vol 35% | MDD -53.7%
Months 188M (100%)
CAGR 8.2% | Win 64%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -41.4%
Months 322M (100%)
MACDhist
neg
CAGR 5.4% | Win 60%
Sharpe 0.42 | Sortino 0.50 | Calmar 0.1
Vol 16% | MDD -50.1%
Months 361M (100%)
CAGR 1.4% | Win 53%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 22% | MDD -63.5%
Months 311M (100%)
CAGR 6.1% | Win 60%
Sharpe 0.45 | Sortino 0.55 | Calmar 0.1
Vol 16% | MDD -51.3%
Months 361M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 8.5% | Win 63%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 16% | MDD -46.6%
Months 334M (100%)
CAGR 8.4% | Win 56%
Sharpe 0.45 | Sortino 0.78 | Calmar 0.1
Vol 24% | MDD -57.0%
Months 248M (100%)
CAGR 10.3% | Win 62%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.2
Vol 19% | MDD -50.6%
Months 338M (100%)
RSIhist
neg
CAGR 5.6% | Win 59%
Sharpe 0.42 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -51.5%
Months 360M (100%)
CAGR -1.0% | Win 52%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 23% | MDD -75.4%
Months 282M (100%)
CAGR 5.2% | Win 57%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.1
Vol 17% | MDD -53.0%
Months 360M (100%)
LWTI
only
CAGR 7.5% | Win 63%
Sharpe 0.55 | Sortino 0.67 | Calmar 0.1
Vol 16% | MDD -50.4%
Months 361M (100%)
CAGR 3.1% | Win 55%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -62.5%
Months 315M (100%)