Signal Pair Analysis

Performance Comparison by Signal Pairs

149

Total ETFs

36

Signal Pairs

336

Avg Months

5.5%

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 RSIhist neg-pos 241 100.0 14.2 62.2 0.8 1.1 0.4 19.7 -34.0
pair RSIhist RSmean neg-pos 241 100.0 14.2 62.2 0.8 1.1 0.4 19.7 -34.0
pair RSI MACDhist neg-pos 258 100.0 13.6 57.8 0.6 1.1 0.3 26.6 -52.1
pair MACDhist RSI neg-pos 258 100.0 13.6 57.8 0.6 1.1 0.3 26.6 -52.1
pair RSmean MACDhist neg-pos 155 100.0 13.3 60.6 0.7 0.9 0.4 20.6 -35.2
pair MACDhist RSmean neg-pos 155 100.0 13.3 60.6 0.7 0.9 0.4 20.6 -35.2
pair LWTI MACDhist pos-neg 188 100.0 10.3 52.7 0.4 1.1 0.2 35.4 -49.0
pair MACDhist LWTI pos-neg 188 100.0 10.3 52.7 0.4 1.1 0.2 35.4 -49.0
pair MACDhist RSmean pos-pos 357 100.0 10.1 65.8 0.7 1.1 0.2 14.8 -43.2
pair MACD SLmean pos-neg 340 100.0 10.1 58.2 0.6 1.0 0.3 18.8 -37.5
single RSIhist RSIhist pos-pos 369 100.0 10.1 62.1 0.7 1.0 0.3 16.7 -36.6
pair RSmean MACDhist pos-pos 357 100.0 10.1 65.8 0.7 1.1 0.2 14.8 -43.2
pair SLmean MACD pos-neg 340 100.0 10.1 58.2 0.6 1.0 0.3 18.8 -37.5
single MACDhist MACDhist pos-pos 360 100.0 10.0 66.1 0.7 1.1 0.2 14.8 -41.6
single SLmean SLmean pos-pos 375 100.0 9.3 63.5 0.7 1.0 0.2 14.0 -43.7
pair RSIhist MACDhist pos-neg 303 100.0 9.3 60.7 0.6 0.9 0.2 16.1 -42.0
pair MACDhist RSIhist pos-neg 303 100.0 9.3 60.7 0.6 0.9 0.2 16.1 -42.0
pair LWTI MACDhist pos-pos 360 100.0 9.2 65.8 0.7 1.0 0.2 14.1 -44.3
pair RSI SLmean pos-neg 263 100.0 9.2 57.0 0.5 0.8 0.2 23.3 -49.4
pair MRmean MACD pos-neg 339 100.0 9.2 59.6 0.6 0.9 0.2 17.8 -41.5
pair MACD MRmean pos-neg 339 100.0 9.2 59.6 0.6 0.9 0.2 17.8 -41.5
pair SLmean RSI pos-neg 263 100.0 9.2 57.0 0.5 0.8 0.2 23.3 -49.4
pair MACDhist LWTI pos-pos 360 100.0 9.2 65.8 0.7 1.0 0.2 14.1 -44.3
pair RSI MRmean pos-neg 243 100.0 9.1 57.2 0.5 0.8 0.2 24.2 -49.4
pair MRmean RSI pos-neg 243 100.0 9.1 57.2 0.5 0.8 0.2 24.2 -49.4
pair SLmean RSmean pos-pos 373 100.0 9.1 63.0 0.7 1.0 0.2 14.0 -45.5
pair RSmean RSIhist pos-pos 366 100.0 9.1 62.0 0.6 0.9 0.2 16.4 -38.5
pair RSIhist RSmean pos-pos 366 100.0 9.1 62.0 0.6 0.9 0.2 16.4 -38.5
pair RSmean SLmean pos-pos 373 100.0 9.1 63.0 0.7 1.0 0.2 14.0 -45.5
pair RSIhist MACD neg-pos 340 100.0 9.0 59.4 0.5 0.8 0.2 20.5 -47.7
pair MACDhist MACD neg-pos 281 100.0 9.0 60.9 0.5 0.8 0.2 22.6 -44.0
pair MACD RSIhist neg-pos 340 100.0 9.0 59.4 0.5 0.8 0.2 20.5 -47.7
single MRmean MRmean pos-pos 380 100.0 9.0 64.5 0.7 1.0 0.2 13.5 -40.3
pair MACD MACDhist neg-pos 281 100.0 9.0 60.9 0.5 0.8 0.2 22.6 -44.0
pair SLmean MRmean pos-pos 375 100.0 8.8 63.7 0.7 0.9 0.2 13.5 -47.0
pair RSmean MRmean pos-pos 378 100.0 8.8 64.3 0.7 1.0 0.2 13.6 -43.2
pair MRmean SLmean pos-pos 375 100.0 8.8 63.7 0.7 0.9 0.2 13.5 -47.0
pair MRmean RSmean pos-pos 378 100.0 8.8 64.3 0.7 1.0 0.2 13.6 -43.2
pair MACD MACDhist pos-pos 352 100.0 8.8 66.2 0.7 1.0 0.2 13.4 -47.9
pair MACDhist MACD pos-pos 352 100.0 8.8 66.2 0.7 1.0 0.2 13.4 -47.9
pair MRmean LWTI pos-pos 380 100.0 8.7 65.0 0.7 1.0 0.2 13.1 -41.4
pair LWTI MRmean pos-pos 380 100.0 8.7 65.0 0.7 1.0 0.2 13.1 -41.4
pair MACDhist MRmean pos-pos 354 100.0 8.7 66.4 0.7 1.0 0.2 14.0 -55.1
pair MRmean MACDhist pos-pos 354 100.0 8.7 66.4 0.7 1.0 0.2 14.0 -55.1
pair MRmean RSI pos-pos 378 100.0 8.6 64.8 0.7 1.0 0.2 12.9 -41.3
pair RSmean MACD pos-pos 372 100.0 8.6 65.3 0.7 0.8 0.2 13.9 -43.7
pair MACD RSmean pos-pos 372 100.0 8.6 65.3 0.7 0.8 0.2 13.9 -43.7
pair RSI MRmean pos-pos 378 100.0 8.6 64.8 0.7 1.0 0.2 12.9 -41.3
pair SLmean LWTI pos-pos 375 100.0 8.5 64.5 0.7 0.9 0.2 13.1 -48.9
pair RSI RSmean pos-pos 381 100.0 8.5 64.8 0.7 0.9 0.2 13.1 -41.9
pair RSmean RSI pos-pos 381 100.0 8.5 64.8 0.7 0.9 0.2 13.1 -41.9
pair MACD RSI pos-pos 370 100.0 8.5 64.1 0.7 0.9 0.2 13.1 -44.3
pair RSI MACD pos-pos 370 100.0 8.5 64.1 0.7 0.9 0.2 13.1 -44.3
pair LWTI RSI pos-pos 383 100.0 8.5 64.2 0.7 0.9 0.2 12.3 -34.4
pair RSI LWTI pos-pos 383 100.0 8.5 64.2 0.7 0.9 0.2 12.3 -34.4
pair LWTI SLmean pos-pos 375 100.0 8.5 64.5 0.7 0.9 0.2 13.1 -48.9
pair MACD MRmean pos-pos 370 100.0 8.5 64.3 0.7 0.9 0.2 12.7 -45.9
pair MRmean MACD pos-pos 370 100.0 8.5 64.3 0.7 0.9 0.2 12.7 -45.9
single RSmean RSmean pos-pos 383 100.0 8.5 62.9 0.6 0.8 0.2 15.5 -47.6
pair RSIhist MACDhist pos-pos 336 100.0 8.5 64.0 0.6 0.9 0.2 15.3 -47.4
pair MACDhist RSIhist pos-pos 336 100.0 8.5 64.0 0.6 0.9 0.2 15.3 -47.4
pair LWTI MACD pos-pos 372 100.0 8.4 62.9 0.7 0.8 0.2 13.6 -42.5
pair MACD LWTI pos-pos 372 100.0 8.4 62.9 0.7 0.8 0.2 13.6 -42.5
pair SLmean RSI pos-pos 373 100.0 8.3 64.3 0.7 0.9 0.2 13.0 -49.7
benchmark All All All 397 100.0 8.3 62.5 0.6 0.8 0.2 15.1 -47.5
single RSI RSI pos-pos 384 100.0 8.3 65.1 0.7 0.9 0.2 12.3 -34.4
single MACD MACD pos-pos 372 100.0 8.3 64.8 0.7 0.8 0.2 13.8 -43.6
pair RSI SLmean pos-pos 373 100.0 8.3 64.3 0.7 0.9 0.2 13.0 -49.7
pair RSIhist SLmean pos-pos 362 100.0 8.1 63.0 0.6 0.8 0.2 14.3 -39.8
pair SLmean RSIhist pos-pos 362 100.0 8.1 63.0 0.6 0.8 0.2 14.3 -39.8
pair MRmean RSIhist neg-pos 270 100.0 8.0 57.4 0.4 0.8 0.1 32.4 -61.0
pair SLmean MACDhist pos-pos 351 100.0 8.0 64.4 0.6 0.9 0.1 14.3 -61.2
pair LWTI RSmean pos-pos 383 100.0 8.0 64.2 0.6 0.8 0.2 14.2 -40.2
pair RSmean LWTI pos-pos 383 100.0 8.0 64.2 0.6 0.8 0.2 14.2 -40.2
pair RSIhist MRmean neg-pos 270 100.0 8.0 57.4 0.4 0.8 0.1 32.4 -61.0
pair MACDhist SLmean pos-pos 351 100.0 8.0 64.4 0.6 0.9 0.1 14.3 -61.2
pair RSI MACDhist pos-pos 351 100.0 7.9 66.1 0.6 0.8 0.1 13.6 -54.6
pair LWTI RSIhist pos-pos 366 100.0 7.9 62.8 0.6 0.8 0.2 14.6 -46.2
pair MACDhist RSI pos-pos 351 100.0 7.9 66.1 0.6 0.8 0.1 13.6 -54.6
pair RSIhist LWTI pos-pos 366 100.0 7.9 62.8 0.6 0.8 0.2 14.6 -46.2
single LWTI LWTI pos-pos 397 100.0 7.8 64.0 0.6 0.7 0.2 14.0 -42.6
pair RSIhist LWTI pos-neg 255 100.0 7.8 54.9 0.4 0.8 0.1 23.1 -62.3
pair LWTI RSIhist pos-neg 255 100.0 7.8 54.9 0.4 0.8 0.1 23.1 -62.3
pair MACD SLmean pos-pos 366 100.0 7.6 64.5 0.6 0.8 0.1 12.9 -51.4
pair SLmean MACD pos-pos 366 100.0 7.6 64.5 0.6 0.8 0.1 12.9 -51.4
pair MACDhist SLmean neg-pos 287 100.0 7.6 55.7 0.4 0.8 0.2 21.9 -36.8
pair SLmean MACDhist neg-pos 287 100.0 7.6 55.7 0.4 0.8 0.2 21.9 -36.8
pair RSI MACD neg-pos 357 100.0 7.6 61.6 0.6 0.7 0.2 15.3 -34.4
pair MACD RSI neg-pos 357 100.0 7.6 61.6 0.6 0.7 0.2 15.3 -34.4
pair RSI RSIhist neg-pos 287 100.0 7.3 56.4 0.4 0.7 0.1 26.0 -58.4
pair RSIhist RSI neg-pos 287 100.0 7.3 56.4 0.4 0.7 0.1 26.0 -58.4
pair MRmean RSIhist pos-pos 364 100.0 7.1 61.0 0.6 0.8 0.2 14.1 -41.3
pair RSIhist MRmean pos-pos 364 100.0 7.1 61.0 0.6 0.8 0.2 14.1 -41.3
pair MACDhist RSIhist neg-pos 352 100.0 6.8 58.8 0.5 0.7 0.2 17.1 -39.5
pair RSIhist MACDhist neg-pos 352 100.0 6.8 58.8 0.5 0.7 0.2 17.1 -39.5
pair LWTI MACD neg-pos 384 100.0 6.8 60.9 0.5 0.6 0.1 17.7 -48.7
pair MACD LWTI neg-pos 384 100.0 6.8 60.9 0.5 0.6 0.1 17.7 -48.7
pair MRmean RSI neg-pos 348 100.0 6.6 60.6 0.5 0.6 0.2 14.5 -41.8
pair RSI MRmean neg-pos 348 100.0 6.6 60.6 0.5 0.6 0.2 14.5 -41.8
single MACD MACD neg-neg 384 100.0 6.5 60.4 0.4 0.6 0.1 18.5 -45.4
pair MRmean RSIhist pos-neg 342 100.0 6.4 61.4 0.5 0.7 0.2 13.4 -33.7
pair RSIhist MRmean pos-neg 342 100.0 6.4 61.4 0.5 0.7 0.2 13.4 -33.7
pair RSI MACDhist pos-neg 378 100.0 6.2 61.1 0.6 0.7 0.2 12.4 -30.1
pair MACDhist RSI pos-neg 378 100.0 6.2 61.1 0.6 0.7 0.2 12.4 -30.1
pair RSIhist RSI pos-pos 362 100.0 6.2 61.3 0.5 0.7 0.1 13.1 -46.2
pair RSI RSIhist pos-pos 362 100.0 6.2 61.3 0.5 0.7 0.1 13.1 -46.2
pair RSmean MACD pos-neg 358 100.0 6.0 58.9 0.4 0.6 0.1 20.1 -44.8
pair MACDhist MACD neg-neg 379 100.0 6.0 59.1 0.4 0.6 0.1 18.5 -45.4
pair MACD MACDhist neg-neg 379 100.0 6.0 59.1 0.4 0.6 0.1 18.5 -45.4
pair MACD RSmean pos-neg 358 100.0 6.0 58.9 0.4 0.6 0.1 20.1 -44.8
single MACDhist MACDhist neg-neg 392 100.0 5.8 58.9 0.4 0.5 0.1 15.7 -48.6
pair RSIhist MACD pos-pos 348 100.0 5.6 62.6 0.5 0.6 0.1 12.8 -50.1
pair MACD RSIhist pos-pos 348 100.0 5.6 62.6 0.5 0.6 0.1 12.8 -50.1
pair RSmean SLmean pos-neg 212 100.0 5.5 57.1 0.4 0.5 0.1 19.1 -38.6
pair SLmean RSmean pos-neg 212 100.0 5.5 57.1 0.4 0.5 0.1 19.1 -38.6
pair MACDhist RSmean pos-neg 366 100.0 5.5 58.5 0.4 0.5 0.1 16.2 -48.9
pair RSmean MACDhist pos-neg 366 100.0 5.5 58.5 0.4 0.5 0.1 16.2 -48.9
pair RSIhist RSI pos-neg 368 100.0 5.5 62.5 0.5 0.6 0.1 13.4 -45.5
pair RSI RSIhist pos-neg 368 100.0 5.5 62.5 0.5 0.6 0.1 13.4 -45.5
pair MACDhist SLmean pos-neg 357 100.0 5.5 60.5 0.4 0.6 0.1 14.7 -48.4
pair SLmean MACDhist pos-neg 357 100.0 5.5 60.5 0.4 0.6 0.1 14.7 -48.4
pair MACDhist MRmean pos-neg 361 100.0 5.1 61.2 0.4 0.6 0.1 13.6 -37.2
pair MRmean MACDhist pos-neg 361 100.0 5.1 61.2 0.4 0.6 0.1 13.6 -37.2
pair LWTI SLmean pos-neg 253 100.0 5.1 56.9 0.3 0.5 0.1 21.1 -45.7
pair SLmean LWTI pos-neg 253 100.0 5.1 56.9 0.3 0.5 0.1 21.1 -45.7
pair MACDhist LWTI neg-pos 392 100.0 5.1 61.5 0.4 0.5 0.1 14.6 -45.6
pair LWTI MACDhist neg-pos 392 100.0 5.1 61.5 0.4 0.5 0.1 14.6 -45.6
pair SLmean RSI neg-pos 354 100.0 5.0 58.8 0.4 0.6 0.1 13.5 -37.2
pair RSI SLmean neg-pos 354 100.0 5.0 58.8 0.4 0.6 0.1 13.5 -37.2
pair SLmean RSIhist pos-neg 335 100.0 4.9 61.2 0.4 0.5 0.1 15.5 -44.1
pair RSIhist SLmean pos-neg 335 100.0 4.9 61.2 0.4 0.5 0.1 15.5 -44.1
pair LWTI MRmean pos-neg 223 100.0 4.8 58.3 0.3 0.5 0.1 19.1 -38.3
pair MRmean LWTI pos-neg 223 100.0 4.8 58.3 0.3 0.5 0.1 19.1 -38.3
pair RSmean RSI neg-pos 338 100.0 4.7 58.9 0.4 0.5 0.1 13.9 -44.4
pair RSI RSmean neg-pos 338 100.0 4.7 58.9 0.4 0.5 0.1 13.9 -44.4
pair MRmean RSmean pos-neg 232 100.0 4.5 53.9 0.3 0.5 0.1 17.3 -41.7
pair RSmean MRmean pos-neg 232 100.0 4.5 53.9 0.3 0.5 0.1 17.3 -41.7
pair RSI LWTI neg-neg 301 100.0 4.5 54.2 0.3 0.5 0.1 25.9 -62.0
pair LWTI RSI neg-neg 301 100.0 4.5 54.2 0.3 0.5 0.1 25.9 -62.0
pair RSmean MACD neg-neg 345 100.0 4.4 56.8 0.3 0.4 0.1 19.6 -49.7
pair MACD RSmean neg-neg 345 100.0 4.4 56.8 0.3 0.4 0.1 19.6 -49.7
pair LWTI MACD neg-neg 295 100.0 4.3 54.9 0.3 0.4 0.1 24.7 -61.3
pair MACD LWTI neg-neg 295 100.0 4.3 54.9 0.3 0.4 0.1 24.7 -61.3
pair LWTI MRmean neg-neg 300 100.0 4.3 55.0 0.3 0.5 0.1 25.7 -57.8
pair MRmean LWTI neg-neg 300 100.0 4.3 55.0 0.3 0.5 0.1 25.7 -57.8
pair RSmean LWTI neg-pos 361 100.0 4.2 57.3 0.3 0.4 0.1 16.8 -49.3
pair LWTI RSmean neg-pos 361 100.0 4.2 57.3 0.3 0.4 0.1 16.8 -49.3
pair LWTI RSIhist neg-pos 382 100.0 4.2 59.7 0.3 0.4 0.1 15.0 -47.9
pair RSIhist LWTI neg-pos 382 100.0 4.2 59.7 0.3 0.4 0.1 15.0 -47.9
pair SLmean RSIhist neg-pos 275 100.0 4.2 53.5 0.3 0.5 0.1 33.1 -63.8
pair RSIhist SLmean neg-pos 275 100.0 4.2 53.5 0.3 0.5 0.1 33.1 -63.8
pair MACD RSIhist neg-neg 378 100.0 4.0 56.9 0.3 0.4 0.1 19.5 -49.8
pair RSIhist MACD neg-neg 378 100.0 4.0 56.9 0.3 0.4 0.1 19.5 -49.8
single RSIhist RSIhist neg-neg 382 100.0 4.0 57.9 0.3 0.4 0.1 16.2 -51.2
single RSmean RSmean neg-neg 361 100.0 3.9 56.2 0.3 0.4 0.1 16.7 -47.7
pair LWTI RSmean pos-neg 310 100.0 3.8 57.4 0.3 0.4 0.1 22.9 -60.2
pair RSmean LWTI pos-neg 310 100.0 3.8 57.4 0.3 0.4 0.1 22.9 -60.2
pair RSmean RSIhist pos-neg 358 100.0 3.8 58.1 0.3 0.4 0.1 16.9 -57.8
pair RSIhist RSmean pos-neg 358 100.0 3.8 58.1 0.3 0.4 0.1 16.9 -57.8
pair MACDhist MACD pos-neg 338 100.0 3.7 59.2 0.3 0.4 0.1 14.8 -47.2
pair MACD MACDhist pos-neg 338 100.0 3.7 59.2 0.3 0.4 0.1 14.8 -47.2
pair SLmean MRmean pos-neg 299 100.0 3.6 58.2 0.3 0.4 0.1 15.8 -35.4
pair MRmean SLmean pos-neg 299 100.0 3.6 58.2 0.3 0.4 0.1 15.8 -35.4
single LWTI LWTI neg-neg 315 100.0 3.5 55.6 0.3 0.4 0.1 22.4 -60.8
pair MACDhist RSIhist neg-neg 382 100.0 3.5 57.3 0.3 0.3 0.1 16.9 -50.7
pair RSIhist MACDhist neg-neg 382 100.0 3.5 57.3 0.3 0.3 0.1 16.9 -50.7
pair MRmean MACD neg-neg 372 100.0 3.4 57.3 0.3 0.3 0.1 20.3 -62.5
pair MACD MRmean neg-neg 372 100.0 3.4 57.3 0.3 0.3 0.1 20.3 -62.5
pair RSmean MRmean neg-neg 345 100.0 3.3 56.5 0.3 0.3 0.1 18.0 -50.0
pair RSIhist MACD pos-neg 338 100.0 3.3 60.7 0.3 0.3 0.1 15.7 -55.9
pair MACD RSIhist pos-neg 338 100.0 3.3 60.7 0.3 0.3 0.1 15.7 -55.9
pair MRmean RSmean neg-neg 345 100.0 3.3 56.5 0.3 0.3 0.1 18.0 -50.0
pair MRmean MACDhist neg-pos 233 100.0 3.2 51.5 0.2 0.4 0.1 24.4 -65.9
pair MACDhist MRmean neg-pos 233 100.0 3.2 51.5 0.2 0.4 0.1 24.4 -65.9
pair RSmean MACDhist neg-neg 358 100.0 3.0 55.0 0.3 0.3 0.1 16.9 -49.1
pair LWTI MRmean neg-pos 371 100.0 3.0 57.4 0.3 0.3 0.1 17.2 -54.7
pair MRmean LWTI neg-pos 371 100.0 3.0 57.4 0.3 0.3 0.1 17.2 -54.7
pair MACDhist RSmean neg-neg 358 100.0 3.0 55.0 0.3 0.3 0.1 16.9 -49.1
single MRmean MRmean neg-neg 375 100.0 2.8 57.3 0.2 0.3 0.0 18.5 -64.1
single RSI RSI neg-neg 371 100.0 2.8 57.1 0.2 0.3 0.0 20.7 -63.5
pair SLmean MRmean neg-pos 233 100.0 2.7 56.2 0.2 0.3 0.1 20.6 -46.5
pair MRmean SLmean neg-pos 233 100.0 2.7 56.2 0.2 0.3 0.1 20.6 -46.5
pair MACD RSI neg-neg 371 100.0 2.7 56.9 0.2 0.3 0.0 21.5 -62.9
pair RSI MACD neg-neg 371 100.0 2.7 56.9 0.2 0.3 0.0 21.5 -62.9
pair RSmean RSI pos-neg 339 100.0 2.6 55.2 0.2 0.3 0.0 23.7 -64.3
pair RSI RSmean pos-neg 339 100.0 2.6 55.2 0.2 0.3 0.0 23.7 -64.3
pair MRmean MACDhist neg-neg 375 100.0 2.6 57.6 0.2 0.3 0.0 18.6 -66.5
pair MACDhist MRmean neg-neg 375 100.0 2.6 57.6 0.2 0.3 0.0 18.6 -66.5
pair LWTI SLmean neg-pos 374 100.0 2.3 57.5 0.2 0.2 0.0 16.8 -51.2
pair SLmean LWTI neg-pos 374 100.0 2.3 57.5 0.2 0.2 0.0 16.8 -51.2
pair RSmean SLmean neg-neg 346 100.0 2.2 54.6 0.2 0.3 0.0 17.6 -54.8
pair SLmean LWTI neg-neg 282 100.0 2.2 53.5 0.2 0.3 0.0 26.6 -60.5
pair LWTI SLmean neg-neg 282 100.0 2.2 53.5 0.2 0.3 0.0 26.6 -60.5
pair SLmean RSmean neg-neg 346 100.0 2.2 54.6 0.2 0.3 0.0 17.6 -54.8
pair LWTI MACDhist neg-neg 311 100.0 2.1 54.7 0.2 0.3 0.0 22.0 -60.8
pair MACDhist LWTI neg-neg 311 100.0 2.1 54.7 0.2 0.3 0.0 22.0 -60.8
pair RSIhist MRmean neg-neg 373 100.0 2.1 56.8 0.2 0.2 0.0 18.8 -70.0
pair SLmean MACD neg-neg 374 100.0 2.1 57.0 0.2 0.2 0.0 20.7 -64.0
pair MACD SLmean neg-neg 374 100.0 2.1 57.0 0.2 0.2 0.0 20.7 -64.0
pair MRmean RSIhist neg-neg 373 100.0 2.1 56.8 0.2 0.2 0.0 18.8 -70.0
pair MACD SLmean neg-pos 321 100.0 2.0 56.7 0.2 0.2 0.0 16.2 -50.8
pair SLmean MACD neg-pos 321 100.0 2.0 56.7 0.2 0.2 0.0 16.2 -50.8
single SLmean SLmean neg-neg 376 100.0 1.8 56.6 0.2 0.2 0.0 18.1 -64.5
pair MACD MRmean neg-pos 301 100.0 1.7 57.8 0.2 0.2 0.0 17.9 -55.7
pair MRmean MACD neg-pos 301 100.0 1.7 57.8 0.2 0.2 0.0 17.9 -55.7
pair RSIhist RSmean neg-neg 355 100.0 1.7 56.3 0.2 0.2 0.0 16.9 -50.9
pair RSmean RSIhist neg-neg 355 100.0 1.7 56.3 0.2 0.2 0.0 16.9 -50.9
pair SLmean RSIhist neg-neg 376 100.0 1.7 56.1 0.2 0.2 0.0 18.0 -65.9
pair RSIhist SLmean neg-neg 376 100.0 1.7 56.1 0.2 0.2 0.0 18.0 -65.9
pair MRmean SLmean neg-neg 373 100.0 1.6 57.1 0.2 0.2 0.0 18.9 -68.5
pair SLmean MRmean neg-neg 373 100.0 1.6 57.1 0.2 0.2 0.0 18.9 -68.5
pair LWTI RSI pos-neg 218 100.0 1.3 53.2 0.2 0.2 0.0 15.9 -37.6
pair RSI LWTI pos-neg 218 100.0 1.3 53.2 0.2 0.2 0.0 15.9 -37.6
pair SLmean RSmean neg-pos 347 100.0 1.2 55.6 0.2 0.2 0.0 19.5 -66.8
pair RSmean SLmean neg-pos 347 100.0 1.2 55.6 0.2 0.2 0.0 19.5 -66.8
pair MACDhist SLmean neg-neg 376 100.0 1.2 56.4 0.2 0.2 0.0 18.4 -66.0
pair SLmean MACDhist neg-neg 376 100.0 1.2 56.4 0.2 0.2 0.0 18.4 -66.0
pair LWTI RSI neg-pos 364 100.0 1.0 56.6 0.2 0.2 0.0 21.5 -68.7
pair RSI LWTI neg-pos 364 100.0 1.0 56.6 0.2 0.2 0.0 21.5 -68.7
pair LWTI RSIhist neg-neg 282 100.0 1.0 53.9 0.2 0.2 0.0 23.7 -64.8
pair RSIhist LWTI neg-neg 282 100.0 1.0 53.9 0.2 0.2 0.0 23.7 -64.8
pair MRmean RSmean neg-pos 345 100.0 1.0 56.2 0.2 0.2 0.0 20.1 -67.7
pair RSmean MRmean neg-pos 345 100.0 1.0 56.2 0.2 0.2 0.0 20.1 -67.7
pair RSI MRmean neg-neg 369 100.0 1.0 56.4 0.1 0.2 0.0 21.1 -67.1
pair MRmean RSI neg-neg 369 100.0 1.0 56.4 0.1 0.2 0.0 21.1 -67.1
pair MACDhist RSI neg-neg 370 100.0 0.8 56.8 0.1 0.2 0.0 20.5 -64.8
pair RSI MACDhist neg-neg 370 100.0 0.8 56.8 0.1 0.2 0.0 20.5 -64.8
pair RSmean MACD neg-pos 242 100.0 0.6 53.7 0.1 0.1 0.0 15.9 -48.0
pair MACD RSmean neg-pos 242 100.0 0.6 53.7 0.1 0.1 0.0 15.9 -48.0
pair RSmean RSI neg-neg 311 100.0 0.6 54.7 0.1 0.2 0.0 23.6 -58.0
pair RSI RSmean neg-neg 311 100.0 0.6 54.7 0.1 0.2 0.0 23.6 -58.0
pair MACD RSI pos-neg 250 100.0 0.3 54.8 0.1 0.2 0.0 21.5 -60.0
pair RSI MACD pos-neg 250 100.0 0.3 54.8 0.1 0.2 0.0 21.5 -60.0
pair SLmean RSI neg-neg 365 100.0 -0.1 55.1 0.1 0.1 -0.0 21.7 -70.4
pair RSI SLmean neg-neg 365 100.0 -0.1 55.1 0.1 0.1 -0.0 21.7 -70.4
pair MACD LWTI pos-neg 230 100.0 -0.4 53.0 0.1 0.1 -0.0 18.5 -52.4
pair LWTI MACD pos-neg 230 100.0 -0.4 53.0 0.1 0.1 -0.0 18.5 -52.4
pair RSI RSIhist neg-neg 362 100.0 -0.7 55.0 0.1 0.1 -0.0 21.5 -75.6
pair RSIhist RSI neg-neg 362 100.0 -0.7 55.0 0.1 0.1 -0.0 21.5 -75.6
pair RSmean LWTI neg-neg 133 100.0 -1.1 48.9 0.1 0.1 -0.0 23.2 -49.1
pair LWTI RSmean neg-neg 133 100.0 -1.1 48.9 0.1 0.1 -0.0 23.2 -49.1

Contingency Tables by Signal Pair

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 64%
Sharpe 0.69 | Sortino 0.94 | Calmar 0.2
Vol 14% | MDD -47.0%
Months 375M (100%)
CAGR 3.6% | Win 58%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 16% | MDD -35.4%
Months 299M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 2.7% | Win 56%
Sharpe 0.23 | Sortino 0.32 | Calmar 0.1
Vol 21% | MDD -46.5%
Months 233M (100%)
CAGR 1.6% | Win 57%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.0
Vol 19% | MDD -68.5%
Months 373M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
SLmean
only
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.8% | Win 64%
Sharpe 0.69 | Sortino 0.96 | Calmar 0.2
Vol 14% | MDD -43.2%
Months 378M (100%)
CAGR 4.5% | Win 54%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 17% | MDD -41.7%
Months 232M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 1.0% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -67.7%
Months 345M (100%)
CAGR 3.3% | Win 56%
Sharpe 0.27 | Sortino 0.33 | Calmar 0.1
Vol 18% | MDD -50.0%
Months 345M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
RSmean
only
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 64%
Sharpe 0.70 | Sortino 0.94 | Calmar 0.2
Vol 13% | MDD -45.9%
Months 370M (100%)
CAGR 9.2% | Win 60%
Sharpe 0.58 | Sortino 0.93 | Calmar 0.2
Vol 18% | MDD -41.5%
Months 339M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 1.7% | Win 58%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -55.7%
Months 301M (100%)
CAGR 3.4% | Win 57%
Sharpe 0.27 | Sortino 0.33 | Calmar 0.1
Vol 20% | MDD -62.5%
Months 372M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
MACD
only
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 65%
Sharpe 0.71 | Sortino 0.96 | Calmar 0.2
Vol 13% | MDD -41.3%
Months 378M (100%)
CAGR 9.1% | Win 57%
Sharpe 0.48 | Sortino 0.77 | Calmar 0.2
Vol 24% | MDD -49.4%
Months 243M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 6.6% | Win 61%
Sharpe 0.52 | Sortino 0.64 | Calmar 0.2
Vol 14% | MDD -41.8%
Months 348M (100%)
CAGR 1.0% | Win 56%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 21% | MDD -67.1%
Months 369M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
RSI
only
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 66%
Sharpe 0.67 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -55.1%
Months 354M (100%)
CAGR 5.1% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.1
Vol 14% | MDD -37.2%
Months 361M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 3.2% | Win 52%
Sharpe 0.24 | Sortino 0.43 | Calmar 0.0
Vol 24% | MDD -65.9%
Months 233M (100%)
CAGR 2.6% | Win 58%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.0
Vol 19% | MDD -66.5%
Months 375M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
MACDhist
only
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 7.1% | Win 61%
Sharpe 0.56 | Sortino 0.75 | Calmar 0.2
Vol 14% | MDD -41.3%
Months 364M (100%)
CAGR 6.4% | Win 61%
Sharpe 0.54 | Sortino 0.68 | Calmar 0.2
Vol 13% | MDD -33.7%
Months 342M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 8.0% | Win 57%
Sharpe 0.36 | Sortino 0.77 | Calmar 0.1
Vol 32% | MDD -61.0%
Months 270M (100%)
CAGR 2.1% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 19% | MDD -70.0%
Months 373M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 65%
Sharpe 0.71 | Sortino 0.96 | Calmar 0.2
Vol 13% | MDD -41.4%
Months 380M (100%)
CAGR 4.8% | Win 58%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 19% | MDD -38.3%
Months 223M (100%)
CAGR 9.0% | Win 64%
Sharpe 0.71 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -40.3%
Months 380M (100%)
MRmean
neg
CAGR 3.0% | Win 57%
Sharpe 0.26 | Sortino 0.30 | Calmar 0.1
Vol 17% | MDD -54.7%
Months 371M (100%)
CAGR 4.3% | Win 55%
Sharpe 0.29 | Sortino 0.46 | Calmar 0.1
Vol 26% | MDD -57.8%
Months 300M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.25 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -64.1%
Months 375M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 63%
Sharpe 0.69 | Sortino 0.97 | Calmar 0.2
Vol 14% | MDD -45.5%
Months 373M (100%)
CAGR 5.5% | Win 57%
Sharpe 0.38 | Sortino 0.50 | Calmar 0.1
Vol 19% | MDD -38.6%
Months 212M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 1.2% | Win 56%
Sharpe 0.16 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -66.8%
Months 347M (100%)
CAGR 2.2% | Win 55%
Sharpe 0.22 | Sortino 0.27 | Calmar 0.0
Vol 18% | MDD -54.8%
Months 346M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
RSmean
only
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 64%
Sharpe 0.63 | Sortino 0.81 | Calmar 0.1
Vol 13% | MDD -51.4%
Months 366M (100%)
CAGR 10.1% | Win 58%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 19% | MDD -37.5%
Months 340M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 2.0% | Win 57%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 16% | MDD -50.8%
Months 321M (100%)
CAGR 2.1% | Win 57%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 21% | MDD -64.0%
Months 374M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
MACD
only
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.3% | Win 64%
Sharpe 0.68 | Sortino 0.88 | Calmar 0.2
Vol 13% | MDD -49.7%
Months 373M (100%)
CAGR 9.2% | Win 57%
Sharpe 0.49 | Sortino 0.78 | Calmar 0.2
Vol 23% | MDD -49.4%
Months 263M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 5.0% | Win 59%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 14% | MDD -37.2%
Months 354M (100%)
CAGR -0.1% | Win 55%
Sharpe 0.11 | Sortino 0.14 | Calmar -0.0
Vol 22% | MDD -70.4%
Months 365M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
RSI
only
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.0% | Win 64%
Sharpe 0.61 | Sortino 0.88 | Calmar 0.1
Vol 14% | MDD -61.2%
Months 351M (100%)
CAGR 5.5% | Win 60%
Sharpe 0.44 | Sortino 0.57 | Calmar 0.1
Vol 15% | MDD -48.4%
Months 357M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 7.6% | Win 56%
Sharpe 0.43 | Sortino 0.78 | Calmar 0.2
Vol 22% | MDD -36.8%
Months 287M (100%)
CAGR 1.2% | Win 56%
Sharpe 0.16 | Sortino 0.18 | Calmar 0.0
Vol 18% | MDD -66.0%
Months 376M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
MACDhist
only
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 63%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.2
Vol 14% | MDD -39.8%
Months 362M (100%)
CAGR 4.9% | Win 61%
Sharpe 0.39 | Sortino 0.45 | Calmar 0.1
Vol 16% | MDD -44.1%
Months 335M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 4.2% | Win 54%
Sharpe 0.26 | Sortino 0.46 | Calmar 0.1
Vol 33% | MDD -63.8%
Months 275M (100%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.21 | Calmar 0.0
Vol 18% | MDD -65.9%
Months 376M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 64%
Sharpe 0.69 | Sortino 0.90 | Calmar 0.2
Vol 13% | MDD -48.9%
Months 375M (100%)
CAGR 5.1% | Win 57%
Sharpe 0.34 | Sortino 0.52 | Calmar 0.1
Vol 21% | MDD -45.7%
Months 253M (100%)
CAGR 9.3% | Win 64%
Sharpe 0.71 | Sortino 0.98 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 375M (100%)
SLmean
neg
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 17% | MDD -51.2%
Months 374M (100%)
CAGR 2.2% | Win 54%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -60.5%
Months 282M (100%)
CAGR 1.8% | Win 57%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -64.5%
Months 376M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.6% | Win 65%
Sharpe 0.67 | Sortino 0.81 | Calmar 0.2
Vol 14% | MDD -43.7%
Months 372M (100%)
CAGR 6.0% | Win 59%
Sharpe 0.39 | Sortino 0.55 | Calmar 0.1
Vol 20% | MDD -44.8%
Months 358M (100%)
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
RSmean
neg
CAGR 0.6% | Win 54%
Sharpe 0.12 | Sortino 0.15 | Calmar 0.0
Vol 16% | MDD -48.0%
Months 242M (100%)
CAGR 4.4% | Win 57%
Sharpe 0.32 | Sortino 0.39 | Calmar 0.1
Vol 20% | MDD -49.7%
Months 345M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
MACD
only
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 8.5% | Win 65%
Sharpe 0.69 | Sortino 0.92 | Calmar 0.2
Vol 13% | MDD -41.9%
Months 381M (100%)
CAGR 2.6% | Win 55%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.0
Vol 24% | MDD -64.3%
Months 339M (100%)
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
RSmean
neg
CAGR 4.7% | Win 59%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.1
Vol 14% | MDD -44.4%
Months 338M (100%)
CAGR 0.6% | Win 55%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 24% | MDD -58.0%
Months 311M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
RSI
only
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.1% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -43.2%
Months 357M (100%)
CAGR 5.5% | Win 58%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.1
Vol 16% | MDD -48.9%
Months 366M (100%)
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
RSmean
neg
CAGR 13.3% | Win 61%
Sharpe 0.71 | Sortino 0.90 | Calmar 0.4
Vol 21% | MDD -35.2%
Months 155M (100%)
CAGR 3.0% | Win 55%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.1
Vol 17% | MDD -49.1%
Months 358M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
MACDhist
only
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 62%
Sharpe 0.61 | Sortino 0.93 | Calmar 0.2
Vol 16% | MDD -38.5%
Months 366M (100%)
CAGR 3.8% | Win 58%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -57.8%
Months 358M (100%)
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
RSmean
neg
CAGR 14.2% | Win 62%
Sharpe 0.77 | Sortino 1.13 | Calmar 0.4
Vol 20% | MDD -34.0%
Months 241M (100%)
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 17% | MDD -50.9%
Months 355M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.0% | Win 64%
Sharpe 0.62 | Sortino 0.77 | Calmar 0.2
Vol 14% | MDD -40.2%
Months 383M (100%)
CAGR 3.8% | Win 57%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -60.2%
Months 310M (100%)
CAGR 8.5% | Win 63%
Sharpe 0.61 | Sortino 0.79 | Calmar 0.2
Vol 16% | MDD -47.6%
Months 383M (100%)
RSmean
neg
CAGR 4.2% | Win 57%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 17% | MDD -49.3%
Months 361M (100%)
CAGR -1.1% | Win 49%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 23% | MDD -49.1%
Months 133M (100%)
CAGR 3.9% | Win 56%
Sharpe 0.32 | Sortino 0.38 | Calmar 0.1
Vol 17% | MDD -47.7%
Months 361M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 8.5% | Win 64%
Sharpe 0.69 | Sortino 0.91 | Calmar 0.2
Vol 13% | MDD -44.3%
Months 370M (100%)
CAGR 0.3% | Win 55%
Sharpe 0.13 | Sortino 0.16 | Calmar 0.0
Vol 22% | MDD -60.0%
Months 250M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
MACD
neg
CAGR 7.6% | Win 62%
Sharpe 0.56 | Sortino 0.74 | Calmar 0.2
Vol 15% | MDD -34.4%
Months 357M (100%)
CAGR 2.7% | Win 57%
Sharpe 0.23 | Sortino 0.31 | Calmar 0.0
Vol 22% | MDD -62.9%
Months 371M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
RSI
only
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 8.8% | Win 66%
Sharpe 0.70 | Sortino 0.98 | Calmar 0.2
Vol 13% | MDD -47.9%
Months 352M (100%)
CAGR 3.7% | Win 59%
Sharpe 0.32 | Sortino 0.36 | Calmar 0.1
Vol 15% | MDD -47.2%
Months 338M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
MACD
neg
CAGR 9.0% | Win 61%
Sharpe 0.49 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -44.0%
Months 281M (100%)
CAGR 6.0% | Win 59%
Sharpe 0.41 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 379M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
MACDhist
only
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.6% | Win 63%
Sharpe 0.49 | Sortino 0.62 | Calmar 0.1
Vol 13% | MDD -50.1%
Months 348M (100%)
CAGR 3.3% | Win 61%
Sharpe 0.29 | Sortino 0.32 | Calmar 0.1
Vol 16% | MDD -55.9%
Months 338M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
MACD
neg
CAGR 9.0% | Win 59%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -47.7%
Months 340M (100%)
CAGR 4.0% | Win 57%
Sharpe 0.30 | Sortino 0.40 | Calmar 0.1
Vol 20% | MDD -49.8%
Months 378M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 8.4% | Win 63%
Sharpe 0.66 | Sortino 0.81 | Calmar 0.2
Vol 14% | MDD -42.5%
Months 372M (100%)
CAGR -0.4% | Win 53%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 18% | MDD -52.4%
Months 230M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.2
Vol 14% | MDD -43.6%
Months 372M (100%)
MACD
neg
CAGR 6.8% | Win 61%
Sharpe 0.46 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -48.7%
Months 384M (100%)
CAGR 4.3% | Win 55%
Sharpe 0.29 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -61.3%
Months 295M (100%)
CAGR 6.5% | Win 60%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.1
Vol 18% | MDD -45.4%
Months 384M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 7.9% | Win 66%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.1
Vol 14% | MDD -54.6%
Months 351M (100%)
CAGR 6.2% | Win 61%
Sharpe 0.55 | Sortino 0.68 | Calmar 0.2
Vol 12% | MDD -30.1%
Months 378M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
RSI
neg
CAGR 13.6% | Win 58%
Sharpe 0.60 | Sortino 1.10 | Calmar 0.3
Vol 27% | MDD -52.1%
Months 258M (100%)
CAGR 0.8% | Win 57%
Sharpe 0.14 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -64.8%
Months 370M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
MACDhist
only
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 6.2% | Win 61%
Sharpe 0.53 | Sortino 0.66 | Calmar 0.1
Vol 13% | MDD -46.2%
Months 362M (100%)
CAGR 5.5% | Win 62%
Sharpe 0.47 | Sortino 0.56 | Calmar 0.1
Vol 13% | MDD -45.5%
Months 368M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
RSI
neg
CAGR 7.3% | Win 56%
Sharpe 0.39 | Sortino 0.68 | Calmar 0.1
Vol 26% | MDD -58.4%
Months 287M (100%)
CAGR -0.7% | Win 55%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 22% | MDD -75.6%
Months 362M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 64%
Sharpe 0.73 | Sortino 0.94 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 383M (100%)
CAGR 1.3% | Win 53%
Sharpe 0.16 | Sortino 0.22 | Calmar 0.0
Vol 16% | MDD -37.6%
Months 218M (100%)
CAGR 8.3% | Win 65%
Sharpe 0.71 | Sortino 0.93 | Calmar 0.2
Vol 12% | MDD -34.4%
Months 384M (100%)
RSI
neg
CAGR 1.0% | Win 57%
Sharpe 0.16 | Sortino 0.19 | Calmar 0.0
Vol 22% | MDD -68.7%
Months 364M (100%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.47 | Calmar 0.1
Vol 26% | MDD -62.0%
Months 301M (100%)
CAGR 2.8% | Win 57%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.0
Vol 21% | MDD -63.5%
Months 371M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 64%
Sharpe 0.61 | Sortino 0.92 | Calmar 0.2
Vol 15% | MDD -47.4%
Months 336M (100%)
CAGR 9.3% | Win 61%
Sharpe 0.63 | Sortino 0.94 | Calmar 0.2
Vol 16% | MDD -42.0%
Months 303M (100%)
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
MACDhist
neg
CAGR 6.8% | Win 59%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 17% | MDD -39.5%
Months 352M (100%)
CAGR 3.5% | Win 57%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 17% | MDD -50.7%
Months 382M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
RSIhist
only
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.2% | Win 66%
Sharpe 0.70 | Sortino 1.00 | Calmar 0.2
Vol 14% | MDD -44.3%
Months 360M (100%)
CAGR 10.3% | Win 53%
Sharpe 0.41 | Sortino 1.11 | Calmar 0.2
Vol 35% | MDD -49.0%
Months 188M (100%)
CAGR 10.0% | Win 66%
Sharpe 0.72 | Sortino 1.11 | Calmar 0.2
Vol 15% | MDD -41.6%
Months 360M (100%)
MACDhist
neg
CAGR 5.1% | Win 62%
Sharpe 0.42 | Sortino 0.48 | Calmar 0.1
Vol 15% | MDD -45.6%
Months 392M (100%)
CAGR 2.1% | Win 55%
Sharpe 0.21 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -60.8%
Months 311M (100%)
CAGR 5.8% | Win 59%
Sharpe 0.44 | Sortino 0.54 | Calmar 0.1
Vol 16% | MDD -48.6%
Months 392M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 7.9% | Win 63%
Sharpe 0.60 | Sortino 0.77 | Calmar 0.2
Vol 15% | MDD -46.2%
Months 366M (100%)
CAGR 7.8% | Win 55%
Sharpe 0.43 | Sortino 0.78 | Calmar 0.1
Vol 23% | MDD -62.3%
Months 255M (100%)
CAGR 10.1% | Win 62%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 369M (100%)
RSIhist
neg
CAGR 4.2% | Win 60%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 15% | MDD -47.9%
Months 382M (100%)
CAGR 1.0% | Win 54%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 24% | MDD -64.8%
Months 282M (100%)
CAGR 4.0% | Win 58%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -51.2%
Months 382M (100%)
LWTI
only
CAGR 7.8% | Win 64%
Sharpe 0.61 | Sortino 0.73 | Calmar 0.2
Vol 14% | MDD -42.6%
Months 397M (100%)
CAGR 3.5% | Win 56%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 22% | MDD -60.8%
Months 315M (100%)