ECH - iShares MSCI Chile ETF

Signal Pair Analysis

MRmean-RSI

Best Pair

35.1%

Best CAGR

63

Total Months

1.5%

Avg CAGR

ECH Signal Pair Performance Heatmaps

CAGR by signal pairs and conditions for this ETF

Condition: pos-pos

Condition: pos-neg

Condition: neg-pos

Condition: neg-neg

Signal Pairs for ECH

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSI MRmean pos-neg 19 8.6 35.1 63.2 1.4 2.7 2.3 24.3 -15.1
pair MRmean RSI pos-neg 19 8.6 35.1 63.2 1.4 2.7 2.3 24.3 -15.1
pair MACDhist MRmean pos-neg 31 14.0 34.6 67.7 1.6 2.9 2.5 20.8 -13.6
pair MRmean MACDhist pos-neg 31 14.0 34.6 67.7 1.6 2.9 2.5 20.8 -13.6
pair MRmean SLmean pos-neg 13 5.9 27.9 61.5 1.1 2.7 2.5 24.1 -11.1
pair SLmean MRmean pos-neg 13 5.9 27.9 61.5 1.1 2.7 2.5 24.1 -11.1
pair RSI MACD pos-neg 22 10.0 27.0 50.0 1.1 2.5 1.5 23.5 -17.5
pair MACD RSI pos-neg 22 10.0 27.0 50.0 1.1 2.5 1.5 23.5 -17.5
pair MACDhist MRmean neg-pos 15 6.8 26.8 60.0 1.0 4.1 1.9 27.4 -13.9
pair MRmean MACDhist neg-pos 15 6.8 26.8 60.0 1.0 4.1 1.9 27.4 -13.9
pair MACDhist SLmean neg-pos 27 12.2 25.5 59.3 1.0 3.1 1.8 25.8 -14.1
pair SLmean MACDhist neg-pos 27 12.2 25.5 59.3 1.0 3.1 1.8 25.8 -14.1
pair MRmean RSIhist pos-neg 17 7.7 25.1 58.8 1.1 2.4 2.3 22.1 -10.7
pair RSIhist MRmean pos-neg 17 7.7 25.1 58.8 1.1 2.4 2.3 22.1 -10.7
pair MACDhist SLmean pos-neg 43 19.5 23.3 60.5 1.1 2.2 1.1 20.5 -21.7
pair SLmean MACDhist pos-neg 43 19.5 23.3 60.5 1.1 2.2 1.1 20.5 -21.7
pair SLmean RSI pos-neg 22 10.0 21.4 50.0 0.9 2.0 2.0 24.1 -10.8
pair RSI SLmean pos-neg 22 10.0 21.4 50.0 0.9 2.0 2.0 24.1 -10.8
pair RSIhist MACDhist neg-pos 40 18.1 21.1 60.0 1.0 2.1 1.0 21.4 -21.4
pair MACDhist RSIhist neg-pos 40 18.1 21.1 60.0 1.0 2.1 1.0 21.4 -21.4
pair RSI RSIhist neg-pos 33 14.9 20.3 54.5 0.9 2.1 1.1 23.3 -18.1
pair RSIhist RSI neg-pos 33 14.9 20.3 54.5 0.9 2.1 1.1 23.3 -18.1
pair MACD RSmean neg-pos 8 3.6 19.4 62.5 1.6 6.9 8.0 11.6 -2.4
pair RSmean MACD neg-pos 8 3.6 19.4 62.5 1.6 6.9 8.0 11.6 -2.4
pair MRmean RSmean pos-neg 6 2.7 18.3 83.3 0.8 0.0 1.4 26.2 -13.6
pair RSmean MRmean pos-neg 6 2.7 18.3 83.3 0.8 0.0 1.4 26.2 -13.6
pair SLmean RSIhist neg-pos 14 6.3 17.0 57.1 0.8 2.1 1.3 22.9 -12.9
pair RSIhist SLmean neg-pos 14 6.3 17.0 57.1 0.8 2.1 1.3 22.9 -12.9
pair RSIhist MACDhist pos-neg 24 10.9 16.4 54.2 0.7 2.0 0.9 25.9 -17.2
pair MACDhist RSIhist pos-neg 24 10.9 16.4 54.2 0.7 2.0 0.9 25.9 -17.2
pair MACDhist RSI neg-pos 30 13.6 16.1 56.7 0.8 1.7 0.8 23.3 -19.7
pair RSI MACDhist neg-pos 30 13.6 16.1 56.7 0.8 1.7 0.8 23.3 -19.7
pair MRmean RSIhist neg-pos 17 7.7 13.6 52.9 0.7 1.7 0.8 21.7 -16.2
pair RSIhist MRmean neg-pos 17 7.7 13.6 52.9 0.7 1.7 0.8 21.7 -16.2
pair MACDhist RSmean neg-pos 5 2.3 12.7 80.0 0.5 0.0 0.9 30.6 -13.6
pair RSmean MACDhist neg-pos 5 2.3 12.7 80.0 0.5 0.0 0.9 30.6 -13.6
pair LWTI MRmean pos-pos 92 41.6 12.2 58.7 0.7 1.1 0.3 21.2 -37.4
pair MRmean LWTI pos-pos 92 41.6 12.2 58.7 0.7 1.1 0.3 21.2 -37.4
pair RSmean RSI pos-neg 97 43.9 11.3 50.5 0.5 1.0 0.2 26.6 -49.7
pair RSI RSmean pos-neg 97 43.9 11.3 50.5 0.5 1.0 0.2 26.6 -49.7
pair RSIhist LWTI pos-pos 77 34.8 10.1 58.4 0.6 0.9 0.2 20.9 -42.7
pair LWTI RSIhist pos-pos 77 34.8 10.1 58.4 0.6 0.9 0.2 20.9 -42.7
pair LWTI SLmean pos-pos 83 37.6 8.7 57.8 0.5 0.8 0.3 20.5 -32.7
pair SLmean LWTI pos-pos 83 37.6 8.7 57.8 0.5 0.8 0.3 20.5 -32.7
pair MACD MRmean pos-pos 73 33.0 8.6 54.8 0.5 0.8 0.3 20.7 -31.5
pair MRmean MACD pos-pos 73 33.0 8.6 54.8 0.5 0.8 0.3 20.7 -31.5
pair RSI LWTI neg-pos 45 20.4 8.6 55.6 0.5 0.6 0.2 25.2 -37.7
pair LWTI RSI neg-pos 45 20.4 8.6 55.6 0.5 0.6 0.2 25.2 -37.7
pair RSmean SLmean pos-neg 6 2.7 8.4 83.3 0.4 0.0 0.6 25.4 -13.6
pair SLmean RSmean pos-neg 6 2.7 8.4 83.3 0.4 0.0 0.6 25.4 -13.6
single MRmean MRmean pos-pos 110 49.8 8.1 56.4 0.5 0.7 0.1 23.0 -52.3
pair RSmean RSIhist neg-pos 5 2.3 7.8 80.0 0.4 0.0 0.6 28.4 -13.6
pair SLmean RSIhist pos-neg 14 6.3 7.8 50.0 0.5 0.8 0.5 18.4 -15.7
pair RSIhist RSmean neg-pos 5 2.3 7.8 80.0 0.4 0.0 0.6 28.4 -13.6
pair RSIhist SLmean pos-neg 14 6.3 7.8 50.0 0.5 0.8 0.5 18.4 -15.7
pair MRmean RSmean pos-pos 104 47.1 7.5 54.8 0.4 0.7 0.2 22.9 -47.4
pair RSmean MRmean pos-pos 104 47.1 7.5 54.8 0.4 0.7 0.2 22.9 -47.4
pair MRmean MACD pos-neg 37 16.7 7.0 59.5 0.4 0.6 0.1 27.2 -52.3
pair MACD RSIhist neg-pos 52 23.5 7.0 55.8 0.4 0.7 0.1 25.5 -46.8
single RSI RSI neg-neg 114 51.6 7.0 49.1 0.4 0.6 0.1 26.7 -50.8
pair RSIhist MACD neg-pos 52 23.5 7.0 55.8 0.4 0.7 0.1 25.5 -46.8
pair MACD MRmean pos-neg 37 16.7 7.0 59.5 0.4 0.6 0.1 27.2 -52.3
pair LWTI RSmean pos-pos 116 52.5 6.6 55.2 0.4 0.7 0.1 22.9 -46.3
pair RSmean LWTI pos-pos 116 52.5 6.6 55.2 0.4 0.7 0.1 22.9 -46.3
single RSIhist RSIhist pos-pos 110 49.8 6.5 55.5 0.4 0.6 0.1 22.9 -53.0
pair RSIhist RSmean pos-pos 105 47.5 6.4 54.3 0.4 0.7 0.1 22.7 -50.0
pair RSmean RSIhist pos-pos 105 47.5 6.4 54.3 0.4 0.7 0.1 22.7 -50.0
pair RSIhist MACD pos-pos 58 26.2 6.0 55.2 0.4 0.6 0.1 20.4 -39.3
pair RSI LWTI neg-neg 69 31.2 6.0 44.9 0.3 0.6 0.1 27.8 -56.0
pair MACD RSIhist pos-pos 58 26.2 6.0 55.2 0.4 0.6 0.1 20.4 -39.3
pair LWTI RSI neg-neg 69 31.2 6.0 44.9 0.3 0.6 0.1 27.8 -56.0
pair SLmean MACD pos-pos 70 31.7 5.9 54.3 0.4 0.6 0.2 19.6 -29.7
pair MACD SLmean pos-pos 70 31.7 5.9 54.3 0.4 0.6 0.2 19.6 -29.7
pair MRmean SLmean pos-pos 97 43.9 5.7 55.7 0.3 0.6 0.1 22.9 -49.6
pair MACDhist LWTI pos-pos 79 35.7 5.7 55.7 0.4 0.7 0.2 22.3 -35.8
pair LWTI MACDhist pos-pos 79 35.7 5.7 55.7 0.4 0.7 0.2 22.3 -35.8
pair SLmean MRmean pos-pos 97 43.9 5.7 55.7 0.3 0.6 0.1 22.9 -49.6
pair MACD LWTI pos-pos 92 41.6 5.4 54.3 0.3 0.5 0.1 22.6 -41.2
pair MACD MACDhist pos-pos 53 24.0 5.4 52.8 0.3 0.6 0.1 22.1 -36.1
pair LWTI MACD pos-pos 92 41.6 5.4 54.3 0.3 0.5 0.1 22.6 -41.2
pair MACDhist MACD pos-pos 53 24.0 5.4 52.8 0.3 0.6 0.1 22.1 -36.1
single SLmean SLmean pos-pos 110 49.8 5.4 54.5 0.3 0.5 0.1 22.3 -51.3
pair RSIhist MRmean pos-pos 93 42.1 5.2 55.9 0.3 0.5 0.1 23.2 -57.0
pair MRmean RSIhist pos-pos 93 42.1 5.2 55.9 0.3 0.5 0.1 23.2 -57.0
pair RSmean SLmean pos-pos 104 47.1 5.2 52.9 0.3 0.6 0.1 22.3 -49.3
pair SLmean RSmean pos-pos 104 47.1 5.2 52.9 0.3 0.6 0.1 22.3 -49.3
pair SLmean RSIhist pos-pos 96 43.4 5.0 55.2 0.3 0.5 0.1 22.9 -54.5
pair RSIhist SLmean pos-pos 96 43.4 5.0 55.2 0.3 0.5 0.1 22.9 -54.5
pair MACDhist RSmean pos-neg 106 48.0 5.0 50.9 0.3 0.5 0.1 26.3 -70.8
pair RSmean MACDhist pos-neg 106 48.0 5.0 50.9 0.3 0.5 0.1 26.3 -70.8
single MACD MACD pos-pos 107 48.4 4.6 52.3 0.3 0.5 0.1 22.6 -44.3
pair SLmean MACD pos-neg 40 18.1 4.4 55.0 0.3 0.5 0.1 26.7 -49.6
pair MACD SLmean pos-neg 40 18.1 4.4 55.0 0.3 0.5 0.1 26.7 -49.6
pair RSmean MACD pos-neg 96 43.4 4.3 51.0 0.3 0.5 0.1 27.1 -49.7
pair MACD RSmean pos-neg 96 43.4 4.3 51.0 0.3 0.5 0.1 27.1 -49.7
pair MACDhist RSI neg-neg 84 38.0 3.9 46.4 0.3 0.4 0.1 27.9 -53.8
single RSmean RSmean pos-pos 195 88.2 3.9 51.3 0.3 0.5 0.1 25.2 -69.6
pair RSI MACDhist neg-neg 84 38.0 3.9 46.4 0.3 0.4 0.1 27.9 -53.8
pair MACDhist MACD pos-neg 54 24.4 3.9 51.9 0.3 0.4 0.1 23.3 -34.2
pair MACD MACDhist pos-neg 54 24.4 3.9 51.9 0.3 0.4 0.1 23.3 -34.2
pair SLmean RSI neg-neg 92 41.6 3.8 48.9 0.3 0.4 0.1 27.4 -51.1
pair RSI SLmean neg-neg 92 41.6 3.8 48.9 0.3 0.4 0.1 27.4 -51.1
pair RSmean MACD pos-pos 99 44.8 3.5 51.5 0.3 0.4 0.1 23.3 -47.9
pair MACD RSmean pos-pos 99 44.8 3.5 51.5 0.3 0.4 0.1 23.3 -47.9
pair SLmean MRmean neg-pos 13 5.9 3.3 46.2 0.3 0.5 0.3 18.7 -9.9
pair MRmean SLmean neg-pos 13 5.9 3.3 46.2 0.3 0.5 0.3 18.7 -9.9
pair MRmean RSI pos-pos 91 41.2 3.2 54.9 0.2 0.4 0.1 22.6 -56.1
pair RSI MRmean pos-pos 91 41.2 3.2 54.9 0.2 0.4 0.1 22.6 -56.1
single MACDhist MACDhist pos-pos 94 42.5 3.1 53.2 0.2 0.4 0.1 24.1 -39.2
pair RSIhist MACD pos-neg 49 22.2 3.0 49.0 0.2 0.4 0.1 25.2 -31.9
pair MACD RSIhist pos-neg 49 22.2 3.0 49.0 0.2 0.4 0.1 25.2 -31.9
pair RSI MACD neg-neg 92 41.6 2.7 48.9 0.2 0.4 0.1 27.4 -53.8
pair MACD RSI neg-neg 92 41.6 2.7 48.9 0.2 0.4 0.1 27.4 -53.8
pair MACDhist RSmean pos-pos 89 40.3 2.6 51.7 0.2 0.4 0.1 23.9 -42.2
single LWTI LWTI pos-pos 140 63.3 2.6 54.3 0.2 0.3 0.1 23.5 -43.5
pair RSmean MACDhist pos-pos 89 40.3 2.6 51.7 0.2 0.4 0.1 23.9 -42.2
pair MRmean LWTI neg-neg 63 28.5 2.4 44.4 0.2 0.4 0.0 27.4 -56.7
pair LWTI MRmean neg-neg 63 28.5 2.4 44.4 0.2 0.4 0.0 27.4 -56.7
pair RSmean SLmean neg-pos 91 41.2 2.4 49.5 0.2 0.4 0.0 28.2 -58.8
pair SLmean RSmean neg-pos 91 41.2 2.4 49.5 0.2 0.4 0.0 28.2 -58.8
pair MACD SLmean neg-pos 37 16.7 2.2 48.6 0.2 0.3 0.1 27.7 -29.9
pair SLmean MACD neg-pos 37 16.7 2.2 48.6 0.2 0.3 0.1 27.7 -29.9
pair MRmean RSI neg-neg 95 43.0 2.1 46.3 0.2 0.3 0.0 27.1 -56.6
pair RSI MRmean neg-neg 95 43.0 2.1 46.3 0.2 0.3 0.0 27.1 -56.6
pair RSIhist RSI neg-neg 81 36.7 2.0 46.9 0.2 0.3 0.0 28.0 -57.7
pair RSI RSIhist neg-neg 81 36.7 2.0 46.9 0.2 0.3 0.0 28.0 -57.7
pair SLmean RSI pos-pos 88 39.8 1.7 55.7 0.2 0.3 0.0 21.9 -56.5
pair RSI SLmean pos-pos 88 39.8 1.7 55.7 0.2 0.3 0.0 21.9 -56.5
pair MACDhist LWTI neg-neg 66 29.9 1.5 45.5 0.2 0.3 0.0 27.1 -60.3
pair LWTI MACDhist neg-neg 66 29.9 1.5 45.5 0.2 0.3 0.0 27.1 -60.3
pair benchmark___benchmark_ benchmark-benchmark 221 100.0 1.4 50.7 0.2 0.3 0.0 25.2 -68.2
pair benchmark___benchmark_ benchmark-benchmark 221 100.0 1.4 50.7 0.2 0.3 0.0 25.2 -68.2
pair SLmean LWTI neg-neg 54 24.4 1.2 44.4 0.2 0.3 0.0 28.4 -52.7
pair LWTI SLmean neg-neg 54 24.4 1.2 44.4 0.2 0.3 0.0 28.4 -52.7
pair RSIhist RSI pos-pos 77 34.8 1.1 55.8 0.2 0.2 0.0 22.6 -61.0
pair RSI RSIhist pos-pos 77 34.8 1.1 55.8 0.2 0.2 0.0 22.6 -61.0
pair RSmean RSIhist pos-neg 90 40.7 1.0 47.8 0.2 0.3 0.0 27.9 -65.0
pair RSIhist RSmean pos-neg 90 40.7 1.0 47.8 0.2 0.3 0.0 27.9 -65.0
pair MACD MACDhist neg-pos 41 18.6 0.3 53.7 0.1 0.2 0.0 26.7 -32.9
pair MACDhist MACD neg-pos 41 18.6 0.3 53.7 0.1 0.2 0.0 26.7 -32.9
single MACDhist MACDhist neg-neg 127 57.5 0.2 48.8 0.1 0.2 0.0 26.0 -69.5
pair MACD LWTI pos-neg 15 6.8 0.1 40.0 0.1 0.2 0.0 23.5 -20.0
pair LWTI MACD pos-neg 15 6.8 0.1 40.0 0.1 0.2 0.0 23.5 -20.0
pair RSI LWTI pos-pos 95 43.0 -0.0 53.7 0.1 0.2 -0.0 22.7 -59.9
pair LWTI RSI pos-pos 95 43.0 -0.0 53.7 0.1 0.2 -0.0 22.7 -59.9
pair LWTI RSIhist neg-neg 48 21.7 -0.1 41.7 0.1 0.2 -0.0 28.8 -57.6
pair RSIhist LWTI neg-neg 48 21.7 -0.1 41.7 0.1 0.2 -0.0 28.8 -57.6
pair LWTI RSmean pos-neg 79 35.7 -0.1 45.6 0.1 0.2 -0.0 28.3 -61.2
pair RSmean LWTI pos-neg 79 35.7 -0.1 45.6 0.1 0.2 -0.0 28.3 -61.2
pair MRmean RSmean neg-pos 91 41.2 -0.1 47.3 0.1 0.2 -0.0 27.6 -65.7
pair RSmean MRmean neg-pos 91 41.2 -0.1 47.3 0.1 0.2 -0.0 27.6 -65.7
pair MACD RSI pos-pos 85 38.5 -0.5 52.9 0.1 0.1 -0.0 22.3 -58.0
pair RSI MACD pos-pos 85 38.5 -0.5 52.9 0.1 0.1 -0.0 22.3 -58.0
single LWTI LWTI neg-neg 81 36.7 -0.7 44.4 0.1 0.2 -0.0 28.0 -62.8
pair MACD LWTI neg-neg 66 29.9 -0.8 45.5 0.1 0.2 -0.0 29.1 -55.6
pair LWTI MACD neg-neg 66 29.9 -0.8 45.5 0.1 0.2 -0.0 29.1 -55.6
pair MACDhist MRmean pos-pos 79 35.7 -0.9 51.9 0.1 0.1 -0.0 23.4 -56.6
pair MRmean MACDhist pos-pos 79 35.7 -0.9 51.9 0.1 0.1 -0.0 23.4 -56.6
pair RSIhist MACDhist pos-pos 70 31.7 -1.1 52.9 0.1 0.1 -0.0 23.5 -53.1
pair MACDhist RSIhist pos-pos 70 31.7 -1.1 52.9 0.1 0.1 -0.0 23.5 -53.1
pair LWTI MACDhist neg-pos 61 27.6 -1.2 52.5 0.1 0.1 -0.0 25.0 -43.5
pair MACDhist LWTI neg-pos 61 27.6 -1.2 52.5 0.1 0.1 -0.0 25.0 -43.5
single MACD MACD neg-neg 114 51.6 -1.5 49.1 0.1 0.1 -0.0 27.4 -50.9
pair LWTI RSIhist pos-neg 33 14.9 -1.5 48.5 0.1 0.1 -0.1 27.1 -31.6
pair RSIhist LWTI pos-neg 33 14.9 -1.5 48.5 0.1 0.1 -0.1 27.1 -31.6
pair LWTI MACD neg-pos 48 21.7 -2.4 54.2 0.0 0.1 -0.1 25.3 -43.5
pair MACD LWTI neg-pos 48 21.7 -2.4 54.2 0.0 0.1 -0.1 25.3 -43.5
single SLmean SLmean neg-neg 111 50.2 -2.4 46.8 0.1 0.1 -0.0 27.7 -71.7
pair MACD MACDhist neg-neg 73 33.0 -2.5 46.6 0.1 0.1 -0.1 28.0 -53.7
pair MACDhist MACD neg-neg 73 33.0 -2.5 46.6 0.1 0.1 -0.1 28.0 -53.7
pair RSI MACDhist pos-pos 64 29.0 -2.5 51.6 0.0 0.0 -0.0 24.5 -55.5
pair MACDhist RSI pos-pos 64 29.0 -2.5 51.6 0.0 0.0 -0.0 24.5 -55.5
pair RSI RSmean pos-pos 98 44.3 -3.0 52.0 -0.0 -0.0 -0.0 23.5 -71.6
pair RSmean RSI pos-pos 98 44.3 -3.0 52.0 -0.0 -0.0 -0.0 23.5 -71.6
single RSIhist RSIhist neg-neg 111 50.2 -3.4 45.9 0.0 0.0 -0.0 27.3 -75.5
pair MACD MRmean neg-pos 34 15.4 -3.5 47.1 -0.0 -0.0 -0.1 26.5 -32.1
pair MRmean MACD neg-pos 34 15.4 -3.5 47.1 -0.0 -0.0 -0.1 26.5 -32.1
single RSI RSI pos-pos 107 48.4 -4.2 52.3 -0.1 -0.1 -0.1 23.4 -73.0
pair LWTI SLmean pos-neg 27 12.2 -4.3 44.4 -0.0 -0.0 -0.1 27.6 -40.0
pair SLmean LWTI pos-neg 27 12.2 -4.3 44.4 -0.0 -0.0 -0.1 27.6 -40.0
pair MACD SLmean neg-neg 74 33.5 -4.6 45.9 -0.0 -0.0 -0.1 27.9 -67.4
pair SLmean MACD neg-neg 74 33.5 -4.6 45.9 -0.0 -0.0 -0.1 27.9 -67.4
pair MACDhist SLmean pos-pos 67 30.3 -4.7 50.7 -0.1 -0.1 -0.1 23.2 -54.9
pair SLmean MACDhist pos-pos 67 30.3 -4.7 50.7 -0.1 -0.1 -0.1 23.2 -54.9
single MRmean MRmean neg-neg 111 50.2 -4.8 45.0 -0.0 -0.1 -0.1 27.2 -76.0
pair RSIhist SLmean neg-neg 97 43.9 -4.9 45.4 -0.0 -0.1 -0.1 28.4 -74.1
pair SLmean RSIhist neg-neg 97 43.9 -4.9 45.4 -0.0 -0.1 -0.1 28.4 -74.1
pair MACD MRmean neg-neg 77 34.8 -5.3 44.2 -0.1 -0.1 -0.1 27.6 -68.4
pair MRmean MACD neg-neg 77 34.8 -5.3 44.2 -0.1 -0.1 -0.1 27.6 -68.4
pair SLmean LWTI neg-pos 57 25.8 -5.6 49.1 -0.1 -0.1 -0.1 27.3 -53.5
pair LWTI SLmean neg-pos 57 25.8 -5.6 49.1 -0.1 -0.1 -0.1 27.3 -53.5
pair SLmean MRmean neg-neg 98 44.3 -5.8 44.9 -0.1 -0.1 -0.1 28.2 -75.9
pair RSIhist LWTI neg-pos 63 28.5 -5.8 49.2 -0.1 -0.1 -0.1 26.3 -57.3
pair LWTI RSIhist neg-pos 63 28.5 -5.8 49.2 -0.1 -0.1 -0.1 26.3 -57.3
pair MRmean SLmean neg-neg 98 44.3 -5.8 44.9 -0.1 -0.1 -0.1 28.2 -75.9
pair MACDhist RSI pos-neg 43 19.5 -6.8 53.5 -0.2 -0.3 -0.1 21.9 -51.7
pair RSI MACDhist pos-neg 43 19.5 -6.8 53.5 -0.2 -0.3 -0.1 21.9 -51.7
pair RSIhist MRmean neg-neg 94 42.5 -7.8 43.6 -0.1 -0.2 -0.1 28.1 -78.6
pair MRmean RSIhist neg-neg 94 42.5 -7.8 43.6 -0.1 -0.2 -0.1 28.1 -78.6
pair RSIhist MACD neg-neg 62 28.1 -8.1 43.5 -0.1 -0.2 -0.1 29.0 -71.8
pair MACD RSIhist neg-neg 62 28.1 -8.1 43.5 -0.1 -0.2 -0.1 29.0 -71.8
pair MACDhist RSIhist neg-neg 87 39.4 -8.2 43.7 -0.2 -0.2 -0.1 27.7 -76.8
pair RSIhist MACDhist neg-neg 87 39.4 -8.2 43.7 -0.2 -0.2 -0.1 27.7 -76.8
pair MRmean MACDhist neg-neg 96 43.4 -8.9 42.7 -0.2 -0.3 -0.1 27.0 -76.1
pair MACDhist MRmean neg-neg 96 43.4 -8.9 42.7 -0.2 -0.3 -0.1 27.0 -76.1
pair MACDhist LWTI pos-neg 15 6.8 -9.6 40.0 -0.1 -0.3 -0.5 32.6 -19.7
pair LWTI MACDhist pos-neg 15 6.8 -9.6 40.0 -0.1 -0.3 -0.5 32.6 -19.7
pair SLmean MACDhist neg-neg 84 38.0 -9.9 42.9 -0.2 -0.3 -0.1 28.1 -74.7
pair MACDhist SLmean neg-neg 84 38.0 -9.9 42.9 -0.2 -0.3 -0.1 28.1 -74.7
pair MRmean LWTI pos-neg 18 8.1 -10.8 44.4 -0.2 -0.3 -0.3 30.7 -37.2
pair LWTI MRmean pos-neg 18 8.1 -10.8 44.4 -0.2 -0.3 -0.3 30.7 -37.2
pair MRmean LWTI neg-pos 48 21.7 -13.4 45.8 -0.4 -0.5 -0.2 27.0 -60.9
pair LWTI MRmean neg-pos 48 21.7 -13.4 45.8 -0.4 -0.5 -0.2 27.0 -60.9
pair RSmean RSI neg-neg 17 7.7 -14.6 41.2 -0.4 -0.5 -0.4 26.9 -40.4
pair RSI RSmean neg-neg 17 7.7 -14.6 41.2 -0.4 -0.5 -0.4 26.9 -40.4
pair LWTI RSmean neg-pos 24 10.9 -14.7 50.0 -0.5 -0.5 -0.3 26.1 -44.8
pair RSmean LWTI neg-pos 24 10.9 -14.7 50.0 -0.5 -0.5 -0.3 26.1 -44.8
single RSmean RSmean neg-neg 26 11.8 -15.3 46.2 -0.5 -0.6 -0.3 25.0 -45.9
pair RSIhist RSI pos-neg 30 13.6 -16.6 43.3 -0.6 -0.8 -0.3 25.3 -47.0
pair RSI RSIhist pos-neg 30 13.6 -16.6 43.3 -0.6 -0.8 -0.3 25.3 -47.0
pair RSI RSmean neg-pos 9 4.1 -16.6 55.6 -0.7 -0.7 -0.9 22.7 -18.3
pair RSmean RSI neg-pos 9 4.1 -16.6 55.6 -0.7 -0.7 -0.9 22.7 -18.3
pair MACD RSI neg-pos 22 10.0 -17.3 50.0 -0.6 -0.8 -0.4 27.5 -46.6
pair RSI MACD neg-pos 22 10.0 -17.3 50.0 -0.6 -0.8 -0.4 27.5 -46.6
pair RSIhist RSmean neg-neg 21 9.5 -20.0 38.1 -0.8 -0.8 -0.4 24.7 -45.9
pair RSmean RSIhist neg-neg 21 9.5 -20.0 38.1 -0.8 -0.8 -0.4 24.7 -45.9
pair MACDhist RSmean neg-neg 21 9.5 -20.9 38.1 -0.8 -0.9 -0.5 24.0 -45.9
pair RSmean MACDhist neg-neg 21 9.5 -20.9 38.1 -0.8 -0.9 -0.5 24.0 -45.9
pair RSmean SLmean neg-neg 20 9.0 -21.3 35.0 -0.8 -0.9 -0.5 25.2 -45.9
pair SLmean RSmean neg-neg 20 9.0 -21.3 35.0 -0.8 -0.9 -0.5 25.2 -45.9
pair RSmean LWTI neg-neg 2 0.9 -22.3 0.0 -23.3 -23.3 -9.7 1.1 -2.3
pair LWTI RSmean neg-neg 2 0.9 -22.3 0.0 -23.3 -23.3 -9.7 1.1 -2.3
pair RSmean MRmean neg-neg 20 9.0 -23.4 35.0 -0.9 -1.0 -0.5 24.6 -47.1
pair MRmean RSmean neg-neg 20 9.0 -23.4 35.0 -0.9 -1.0 -0.5 24.6 -47.1
pair MACD RSmean neg-neg 18 8.1 -27.3 38.9 -1.0 -1.1 -0.6 28.5 -44.9
pair RSmean MACD neg-neg 18 8.1 -27.3 38.9 -1.0 -1.1 -0.6 28.5 -44.9
pair RSI SLmean neg-pos 19 8.6 -27.5 36.8 -1.0 -1.4 -0.6 28.8 -47.4
pair SLmean RSI neg-pos 19 8.6 -27.5 36.8 -1.0 -1.4 -0.6 28.8 -47.4
pair LWTI RSI pos-neg 12 5.4 -31.7 41.7 -1.2 -1.6 -0.8 27.6 -42.1
pair RSI LWTI pos-neg 12 5.4 -31.7 41.7 -1.2 -1.6 -0.8 27.6 -42.1
pair MRmean RSI neg-pos 16 7.2 -37.2 37.5 -1.7 -2.0 -0.8 25.2 -47.5
pair RSI MRmean neg-pos 16 7.2 -37.2 37.5 -1.7 -2.0 -0.8 25.2 -47.5

All Contingency Tables for ECH

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 5.7% | Win 56%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 23% | MDD -49.6%
Months 97M (44%)
CAGR 27.9% | Win 62%
Sharpe 1.14 | Sortino 2.68 | Calmar 2.5
Vol 24% | MDD -11.1%
Months 13M (6%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR 3.3% | Win 46%
Sharpe 0.26 | Sortino 0.48 | Calmar 0.3
Vol 19% | MDD -9.9%
Months 13M (6%)
CAGR -5.8% | Win 45%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 28% | MDD -75.9%
Months 98M (44%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
SLmean
only
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 55%
Sharpe 0.43 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -47.4%
Months 104M (47%)
CAGR 18.3% | Win 83%
Sharpe 0.76 | Sortino 0.00 | Calmar 1.4
Vol 26% | MDD -13.6%
Months 6M (3%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR -0.1% | Win 47%
Sharpe 0.13 | Sortino 0.23 | Calmar -0.0
Vol 28% | MDD -65.7%
Months 91M (41%)
CAGR -23.4% | Win 35%
Sharpe -0.94 | Sortino -1.03 | Calmar -0.5
Vol 25% | MDD -47.1%
Months 20M (9%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
RSmean
only
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 55%
Sharpe 0.50 | Sortino 0.85 | Calmar 0.3
Vol 21% | MDD -31.5%
Months 73M (33%)
CAGR 7.0% | Win 60%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.1
Vol 27% | MDD -52.3%
Months 37M (17%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR -3.5% | Win 47%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.1
Vol 26% | MDD -32.1%
Months 34M (15%)
CAGR -5.3% | Win 44%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 28% | MDD -68.4%
Months 77M (35%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
MACD
only
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.2% | Win 55%
Sharpe 0.25 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -56.1%
Months 91M (41%)
CAGR 35.1% | Win 63%
Sharpe 1.37 | Sortino 2.66 | Calmar 2.3
Vol 24% | MDD -15.1%
Months 19M (9%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR -37.2% | Win 38%
Sharpe -1.68 | Sortino -2.05 | Calmar -0.8
Vol 25% | MDD -47.5%
Months 16M (7%)
CAGR 2.1% | Win 46%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -56.6%
Months 95M (43%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
RSI
only
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -0.9% | Win 52%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 23% | MDD -56.6%
Months 79M (36%)
CAGR 34.6% | Win 68%
Sharpe 1.55 | Sortino 2.87 | Calmar 2.5
Vol 21% | MDD -13.6%
Months 31M (14%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR 26.8% | Win 60%
Sharpe 1.00 | Sortino 4.14 | Calmar 1.9
Vol 27% | MDD -13.9%
Months 15M (7%)
CAGR -8.9% | Win 43%
Sharpe -0.21 | Sortino -0.30 | Calmar -0.1
Vol 27% | MDD -76.1%
Months 96M (43%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
MACDhist
only
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.2% | Win 56%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -57.0%
Months 93M (42%)
CAGR 25.1% | Win 59%
Sharpe 1.12 | Sortino 2.36 | Calmar 2.3
Vol 22% | MDD -10.7%
Months 17M (8%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR 13.6% | Win 53%
Sharpe 0.69 | Sortino 1.72 | Calmar 0.8
Vol 22% | MDD -16.2%
Months 17M (8%)
CAGR -7.8% | Win 44%
Sharpe -0.15 | Sortino -0.22 | Calmar -0.1
Vol 28% | MDD -78.6%
Months 94M (42%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 59%
Sharpe 0.65 | Sortino 1.11 | Calmar 0.3
Vol 21% | MDD -37.4%
Months 92M (42%)
CAGR -10.8% | Win 44%
Sharpe -0.22 | Sortino -0.34 | Calmar -0.3
Vol 31% | MDD -37.2%
Months 18M (8%)
CAGR 8.1% | Win 56%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.2
Vol 23% | MDD -52.3%
Months 110M (50%)
MRmean
neg
CAGR -13.4% | Win 46%
Sharpe -0.39 | Sortino -0.52 | Calmar -0.2
Vol 27% | MDD -60.9%
Months 48M (22%)
CAGR 2.4% | Win 44%
Sharpe 0.22 | Sortino 0.40 | Calmar 0.0
Vol 27% | MDD -56.7%
Months 63M (28%)
CAGR -4.8% | Win 45%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 27% | MDD -76.0%
Months 111M (50%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 5.2% | Win 53%
Sharpe 0.34 | Sortino 0.55 | Calmar 0.1
Vol 22% | MDD -49.3%
Months 104M (47%)
CAGR 8.4% | Win 83%
Sharpe 0.43 | Sortino 0.00 | Calmar 0.6
Vol 25% | MDD -13.6%
Months 6M (3%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR 2.4% | Win 50%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 28% | MDD -58.8%
Months 91M (41%)
CAGR -21.3% | Win 35%
Sharpe -0.81 | Sortino -0.91 | Calmar -0.5
Vol 25% | MDD -45.9%
Months 20M (9%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
RSmean
only
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 5.9% | Win 54%
Sharpe 0.39 | Sortino 0.61 | Calmar 0.2
Vol 20% | MDD -29.7%
Months 70M (32%)
CAGR 4.4% | Win 55%
Sharpe 0.29 | Sortino 0.48 | Calmar 0.1
Vol 27% | MDD -49.6%
Months 40M (18%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR 2.2% | Win 49%
Sharpe 0.21 | Sortino 0.35 | Calmar 0.1
Vol 28% | MDD -29.9%
Months 37M (17%)
CAGR -4.6% | Win 46%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 28% | MDD -67.4%
Months 74M (34%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
MACD
only
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 1.7% | Win 56%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 22% | MDD -56.5%
Months 88M (40%)
CAGR 21.4% | Win 50%
Sharpe 0.92 | Sortino 1.99 | Calmar 2.0
Vol 24% | MDD -10.8%
Months 22M (10%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR -27.5% | Win 37%
Sharpe -0.96 | Sortino -1.42 | Calmar -0.6
Vol 29% | MDD -47.4%
Months 19M (9%)
CAGR 3.8% | Win 49%
Sharpe 0.27 | Sortino 0.44 | Calmar 0.1
Vol 27% | MDD -51.1%
Months 92M (42%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
RSI
only
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -4.7% | Win 51%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 23% | MDD -54.9%
Months 67M (30%)
CAGR 23.3% | Win 60%
Sharpe 1.13 | Sortino 2.22 | Calmar 1.1
Vol 20% | MDD -21.7%
Months 43M (20%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR 25.5% | Win 59%
Sharpe 1.01 | Sortino 3.10 | Calmar 1.8
Vol 26% | MDD -14.1%
Months 27M (12%)
CAGR -9.9% | Win 43%
Sharpe -0.23 | Sortino -0.33 | Calmar -0.1
Vol 28% | MDD -74.7%
Months 84M (38%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
MACDhist
only
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.0% | Win 55%
Sharpe 0.33 | Sortino 0.52 | Calmar 0.1
Vol 23% | MDD -54.5%
Months 96M (43%)
CAGR 7.8% | Win 50%
Sharpe 0.49 | Sortino 0.84 | Calmar 0.5
Vol 18% | MDD -15.7%
Months 14M (6%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR 17.0% | Win 57%
Sharpe 0.79 | Sortino 2.13 | Calmar 1.3
Vol 23% | MDD -12.9%
Months 14M (6%)
CAGR -4.9% | Win 45%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 28% | MDD -74.1%
Months 97M (44%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 8.7% | Win 58%
Sharpe 0.51 | Sortino 0.82 | Calmar 0.3
Vol 20% | MDD -32.7%
Months 83M (38%)
CAGR -4.3% | Win 44%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 28% | MDD -40.0%
Months 27M (12%)
CAGR 5.4% | Win 55%
Sharpe 0.35 | Sortino 0.54 | Calmar 0.1
Vol 22% | MDD -51.3%
Months 110M (50%)
SLmean
neg
CAGR -5.6% | Win 49%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 27% | MDD -53.5%
Months 57M (26%)
CAGR 1.2% | Win 44%
Sharpe 0.18 | Sortino 0.32 | Calmar 0.0
Vol 28% | MDD -52.7%
Months 54M (24%)
CAGR -2.4% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -71.7%
Months 111M (50%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.5% | Win 52%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 23% | MDD -47.9%
Months 99M (45%)
CAGR 4.3% | Win 51%
Sharpe 0.29 | Sortino 0.50 | Calmar 0.1
Vol 27% | MDD -49.7%
Months 96M (43%)
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
RSmean
neg
CAGR 19.4% | Win 62%
Sharpe 1.59 | Sortino 6.91 | Calmar 8.0
Vol 12% | MDD -2.4%
Months 8M (4%)
CAGR -27.3% | Win 39%
Sharpe -0.96 | Sortino -1.10 | Calmar -0.6
Vol 28% | MDD -44.9%
Months 18M (8%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
MACD
only
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -3.0% | Win 52%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.0
Vol 24% | MDD -71.6%
Months 98M (44%)
CAGR 11.3% | Win 50%
Sharpe 0.54 | Sortino 0.99 | Calmar 0.2
Vol 27% | MDD -49.7%
Months 97M (44%)
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
RSmean
neg
CAGR -16.6% | Win 56%
Sharpe -0.69 | Sortino -0.71 | Calmar -0.9
Vol 23% | MDD -18.3%
Months 9M (4%)
CAGR -14.6% | Win 41%
Sharpe -0.44 | Sortino -0.49 | Calmar -0.4
Vol 27% | MDD -40.4%
Months 17M (8%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
RSI
only
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 2.6% | Win 52%
Sharpe 0.23 | Sortino 0.40 | Calmar 0.1
Vol 24% | MDD -42.2%
Months 89M (40%)
CAGR 5.0% | Win 51%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 26% | MDD -70.8%
Months 106M (48%)
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
RSmean
neg
CAGR 12.7% | Win 80%
Sharpe 0.52 | Sortino 0.00 | Calmar 0.9
Vol 31% | MDD -13.6%
Months 5M (2%)
CAGR -20.9% | Win 38%
Sharpe -0.84 | Sortino -0.89 | Calmar -0.5
Vol 24% | MDD -45.9%
Months 21M (10%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
MACDhist
only
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 6.4% | Win 54%
Sharpe 0.39 | Sortino 0.65 | Calmar 0.1
Vol 23% | MDD -50.0%
Months 105M (48%)
CAGR 1.0% | Win 48%
Sharpe 0.17 | Sortino 0.29 | Calmar 0.0
Vol 28% | MDD -65.0%
Months 90M (41%)
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
RSmean
neg
CAGR 7.8% | Win 80%
Sharpe 0.39 | Sortino 0.00 | Calmar 0.6
Vol 28% | MDD -13.6%
Months 5M (2%)
CAGR -20.0% | Win 38%
Sharpe -0.77 | Sortino -0.84 | Calmar -0.4
Vol 25% | MDD -45.9%
Months 21M (10%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 6.6% | Win 55%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.1
Vol 23% | MDD -46.3%
Months 116M (52%)
CAGR -0.1% | Win 46%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 28% | MDD -61.2%
Months 79M (36%)
CAGR 3.9% | Win 51%
Sharpe 0.28 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -69.6%
Months 195M (88%)
RSmean
neg
CAGR -14.7% | Win 50%
Sharpe -0.47 | Sortino -0.50 | Calmar -0.3
Vol 26% | MDD -44.8%
Months 24M (11%)
CAGR -22.3% | Win 0%
Sharpe -23.32 | Sortino -23.32 | Calmar -9.7
Vol 1% | MDD -2.3%
Months 2M (1%)
CAGR -15.3% | Win 46%
Sharpe -0.53 | Sortino -0.57 | Calmar -0.3
Vol 25% | MDD -45.9%
Months 26M (12%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -0.5% | Win 53%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 22% | MDD -58.0%
Months 85M (38%)
CAGR 27.0% | Win 50%
Sharpe 1.14 | Sortino 2.52 | Calmar 1.5
Vol 24% | MDD -17.5%
Months 22M (10%)
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
MACD
neg
CAGR -17.3% | Win 50%
Sharpe -0.55 | Sortino -0.84 | Calmar -0.4
Vol 28% | MDD -46.6%
Months 22M (10%)
CAGR 2.7% | Win 49%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -53.8%
Months 92M (42%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
RSI
only
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.4% | Win 53%
Sharpe 0.34 | Sortino 0.62 | Calmar 0.1
Vol 22% | MDD -36.1%
Months 53M (24%)
CAGR 3.9% | Win 52%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 23% | MDD -34.2%
Months 54M (24%)
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
MACD
neg
CAGR 0.3% | Win 54%
Sharpe 0.14 | Sortino 0.24 | Calmar 0.0
Vol 27% | MDD -32.9%
Months 41M (19%)
CAGR -2.5% | Win 47%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.0
Vol 28% | MDD -53.7%
Months 73M (33%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
MACDhist
only
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 6.0% | Win 55%
Sharpe 0.39 | Sortino 0.62 | Calmar 0.2
Vol 20% | MDD -39.3%
Months 58M (26%)
CAGR 3.0% | Win 49%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 25% | MDD -31.9%
Months 49M (22%)
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
MACD
neg
CAGR 7.0% | Win 56%
Sharpe 0.39 | Sortino 0.66 | Calmar 0.1
Vol 26% | MDD -46.8%
Months 52M (24%)
CAGR -8.1% | Win 44%
Sharpe -0.14 | Sortino -0.22 | Calmar -0.1
Vol 29% | MDD -71.8%
Months 62M (28%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.4% | Win 54%
Sharpe 0.34 | Sortino 0.53 | Calmar 0.1
Vol 23% | MDD -41.2%
Months 92M (42%)
CAGR 0.1% | Win 40%
Sharpe 0.11 | Sortino 0.19 | Calmar 0.0
Vol 24% | MDD -20.0%
Months 15M (7%)
CAGR 4.6% | Win 52%
Sharpe 0.31 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -44.3%
Months 107M (48%)
MACD
neg
CAGR -2.4% | Win 54%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 25% | MDD -43.5%
Months 48M (22%)
CAGR -0.8% | Win 46%
Sharpe 0.11 | Sortino 0.20 | Calmar -0.0
Vol 29% | MDD -55.6%
Months 66M (30%)
CAGR -1.5% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -50.9%
Months 114M (52%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -2.5% | Win 52%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.0
Vol 24% | MDD -55.5%
Months 64M (29%)
CAGR -6.8% | Win 54%
Sharpe -0.21 | Sortino -0.26 | Calmar -0.1
Vol 22% | MDD -51.7%
Months 43M (20%)
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
RSI
neg
CAGR 16.1% | Win 57%
Sharpe 0.75 | Sortino 1.71 | Calmar 0.8
Vol 23% | MDD -19.7%
Months 30M (14%)
CAGR 3.9% | Win 46%
Sharpe 0.28 | Sortino 0.44 | Calmar 0.1
Vol 28% | MDD -53.8%
Months 84M (38%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
MACDhist
only
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 1.1% | Win 56%
Sharpe 0.16 | Sortino 0.24 | Calmar 0.0
Vol 23% | MDD -61.0%
Months 77M (35%)
CAGR -16.6% | Win 43%
Sharpe -0.58 | Sortino -0.82 | Calmar -0.4
Vol 25% | MDD -47.0%
Months 30M (14%)
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
RSI
neg
CAGR 20.3% | Win 55%
Sharpe 0.91 | Sortino 2.06 | Calmar 1.1
Vol 23% | MDD -18.1%
Months 33M (15%)
CAGR 2.0% | Win 47%
Sharpe 0.21 | Sortino 0.33 | Calmar 0.0
Vol 28% | MDD -57.7%
Months 81M (37%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -0.0% | Win 54%
Sharpe 0.11 | Sortino 0.17 | Calmar -0.0
Vol 23% | MDD -59.9%
Months 95M (43%)
CAGR -31.7% | Win 42%
Sharpe -1.23 | Sortino -1.62 | Calmar -0.8
Vol 28% | MDD -42.1%
Months 12M (5%)
CAGR -4.2% | Win 52%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 23% | MDD -73.0%
Months 107M (48%)
RSI
neg
CAGR 8.6% | Win 56%
Sharpe 0.45 | Sortino 0.61 | Calmar 0.2
Vol 25% | MDD -37.7%
Months 45M (20%)
CAGR 6.0% | Win 45%
Sharpe 0.35 | Sortino 0.63 | Calmar 0.1
Vol 28% | MDD -56.0%
Months 69M (31%)
CAGR 7.0% | Win 49%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.1
Vol 27% | MDD -50.8%
Months 114M (52%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -1.1% | Win 53%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 24% | MDD -53.1%
Months 70M (32%)
CAGR 16.4% | Win 54%
Sharpe 0.71 | Sortino 2.03 | Calmar 1.0
Vol 26% | MDD -17.2%
Months 24M (11%)
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
MACDhist
neg
CAGR 21.1% | Win 60%
Sharpe 1.00 | Sortino 2.14 | Calmar 1.0
Vol 21% | MDD -21.4%
Months 40M (18%)
CAGR -8.2% | Win 44%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.1
Vol 28% | MDD -76.8%
Months 87M (39%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
RSIhist
only
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.2
Vol 22% | MDD -35.8%
Months 79M (36%)
CAGR -9.6% | Win 40%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.5
Vol 33% | MDD -19.7%
Months 15M (7%)
CAGR 3.1% | Win 53%
Sharpe 0.25 | Sortino 0.43 | Calmar 0.1
Vol 24% | MDD -39.2%
Months 94M (42%)
MACDhist
neg
CAGR -1.2% | Win 52%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 25% | MDD -43.5%
Months 61M (28%)
CAGR 1.5% | Win 46%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 66M (30%)
CAGR 0.2% | Win 49%
Sharpe 0.14 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -69.5%
Months 127M (58%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 10.1% | Win 58%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.2
Vol 21% | MDD -42.7%
Months 77M (35%)
CAGR -1.5% | Win 48%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 27% | MDD -31.6%
Months 33M (15%)
CAGR 6.5% | Win 56%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.1
Vol 23% | MDD -53.0%
Months 110M (50%)
RSIhist
neg
CAGR -5.8% | Win 49%
Sharpe -0.09 | Sortino -0.13 | Calmar -0.1
Vol 26% | MDD -57.3%
Months 63M (28%)
CAGR -0.1% | Win 42%
Sharpe 0.14 | Sortino 0.23 | Calmar -0.0
Vol 29% | MDD -57.6%
Months 48M (22%)
CAGR -3.4% | Win 46%
Sharpe 0.01 | Sortino 0.02 | Calmar -0.0
Vol 27% | MDD -75.5%
Months 111M (50%)
LWTI
only
CAGR 2.6% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -43.5%
Months 140M (63%)
CAGR -0.7% | Win 44%
Sharpe 0.11 | Sortino 0.19 | Calmar -0.0
Vol 28% | MDD -62.8%
Months 81M (37%)