EDEN - iShares MSCI Denmark ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

311.9%

Best CAGR

52

Total Months

27.3%

Avg CAGR

EDEN 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 EDEN

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 MACD neg-neg 1 0.6 311.9 100.0 0.0 0.0 0.0 - 0.0
pair MACD RSI neg-neg 1 0.6 311.9 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSI neg-neg 1 0.6 311.9 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 0.6 311.9 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MRmean neg-pos 1 0.6 192.0 100.0 0.0 0.0 0.0 - 0.0
pair MRmean MACDhist neg-pos 1 0.6 192.0 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-pos 1 0.6 192.0 100.0 0.0 0.0 0.0 - 0.0
pair RSI MACDhist neg-pos 1 0.6 192.0 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist SLmean neg-pos 1 0.6 176.6 100.0 0.0 0.0 0.0 - 0.0
pair SLmean RSIhist neg-pos 1 0.6 176.6 100.0 0.0 0.0 0.0 - 0.0
pair RSmean RSIhist neg-pos 2 1.2 114.9 100.0 7.2 0.0 0.0 11.0 0.0
pair RSIhist RSmean neg-pos 2 1.2 114.9 100.0 7.2 0.0 0.0 11.0 0.0
pair MRmean RSIhist neg-pos 2 1.2 82.6 100.0 3.5 0.0 0.0 17.8 0.0
pair RSIhist MRmean neg-pos 2 1.2 82.6 100.0 3.5 0.0 0.0 17.8 0.0
pair LWTI RSI neg-pos 9 5.2 63.7 77.8 3.1 7.0 19.6 16.7 -3.3
pair RSI LWTI neg-pos 9 5.2 63.7 77.8 3.1 7.0 19.6 16.7 -3.3
pair MRmean RSI neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair RSI MRmean neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair RSI SLmean neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair SLmean RSI neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair RSIhist RSI neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair RSI RSIhist neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
single RSI RSI neg-neg 19 11.0 62.0 78.9 2.4 2.5 4.6 21.9 -13.5
pair RSI LWTI neg-neg 10 5.8 60.5 80.0 1.9 1.9 4.5 26.7 -13.5
pair LWTI RSI neg-neg 10 5.8 60.5 80.0 1.9 1.9 4.5 26.7 -13.5
pair MACDhist RSI neg-neg 18 10.5 56.8 77.8 2.2 2.3 4.2 22.1 -13.5
pair RSI MACDhist neg-neg 18 10.5 56.8 77.8 2.2 2.3 4.2 22.1 -13.5
pair RSI MACD pos-neg 18 10.5 53.8 77.8 2.1 2.2 4.0 21.4 -13.5
pair RSI RSmean pos-neg 18 10.5 53.8 77.8 2.1 2.2 4.0 21.4 -13.5
pair RSmean RSI pos-neg 18 10.5 53.8 77.8 2.1 2.2 4.0 21.4 -13.5
pair MACD RSI pos-neg 18 10.5 53.8 77.8 2.1 2.2 4.0 21.4 -13.5
pair SLmean LWTI neg-neg 13 7.6 51.0 76.9 1.9 1.8 3.8 23.7 -13.5
pair LWTI SLmean neg-neg 13 7.6 51.0 76.9 1.9 1.8 3.8 23.7 -13.5
pair MACD RSIhist neg-pos 12 7.0 45.2 75.0 2.5 4.7 10.1 15.4 -4.5
pair RSIhist MACD neg-pos 12 7.0 45.2 75.0 2.5 4.7 10.1 15.4 -4.5
pair MRmean MACD pos-neg 13 7.6 42.3 76.9 2.4 4.5 9.4 15.1 -4.5
pair MACD RSmean pos-neg 13 7.6 42.3 76.9 2.4 4.5 9.4 15.1 -4.5
pair RSmean MACD pos-neg 13 7.6 42.3 76.9 2.4 4.5 9.4 15.1 -4.5
pair MACD MRmean pos-neg 13 7.6 42.3 76.9 2.4 4.5 9.4 15.1 -4.5
pair MACD SLmean neg-neg 13 7.6 41.7 76.9 2.0 1.8 4.6 18.5 -9.1
pair SLmean MACD neg-neg 13 7.6 41.7 76.9 2.0 1.8 4.6 18.5 -9.1
pair MACDhist MACD neg-neg 25 14.5 38.1 76.0 2.1 2.5 4.2 16.3 -9.1
pair MACD MACDhist neg-neg 25 14.5 38.1 76.0 2.1 2.5 4.2 16.3 -9.1
pair LWTI MACD neg-pos 25 14.5 38.1 76.0 2.1 2.5 4.2 16.3 -9.1
single MACD MACD neg-neg 25 14.5 38.1 76.0 2.1 2.5 4.2 16.3 -9.1
pair MACD LWTI neg-pos 25 14.5 38.1 76.0 2.1 2.5 4.2 16.3 -9.1
pair MACD SLmean pos-neg 12 7.0 34.3 75.0 2.1 3.7 7.7 14.3 -4.5
pair SLmean MACD pos-neg 12 7.0 34.3 75.0 2.1 3.7 7.7 14.3 -4.5
pair MRmean MACD neg-neg 12 7.0 33.6 75.0 1.7 1.5 3.7 18.2 -9.1
pair MACD MRmean neg-neg 12 7.0 33.6 75.0 1.7 1.5 3.7 18.2 -9.1
pair RSmean MACD neg-neg 12 7.0 33.6 75.0 1.7 1.5 3.7 18.2 -9.1
pair MACD RSmean neg-neg 12 7.0 33.6 75.0 1.7 1.5 3.7 18.2 -9.1
pair RSIhist LWTI neg-neg 16 9.3 32.7 68.8 1.3 1.6 1.6 23.8 -20.7
pair LWTI RSIhist neg-neg 16 9.3 32.7 68.8 1.3 1.6 1.6 23.8 -20.7
pair MACD RSI neg-pos 24 14.0 31.9 75.0 1.9 2.2 3.5 15.0 -9.1
pair RSI MACD neg-pos 24 14.0 31.9 75.0 1.9 2.2 3.5 15.0 -9.1
pair LWTI MRmean neg-neg 17 9.9 31.9 70.6 1.3 1.5 1.5 23.0 -20.7
pair MRmean LWTI neg-neg 17 9.9 31.9 70.6 1.3 1.5 1.5 23.0 -20.7
pair RSIhist MACD neg-neg 13 7.6 31.8 76.9 1.7 1.4 3.5 17.6 -9.1
pair MACD RSIhist neg-neg 13 7.6 31.8 76.9 1.7 1.4 3.5 17.6 -9.1
pair SLmean MRmean neg-neg 49 28.5 24.4 67.3 1.2 1.7 1.3 20.7 -18.5
pair MRmean SLmean neg-neg 49 28.5 24.4 67.3 1.2 1.7 1.3 20.7 -18.5
pair MRmean RSmean neg-pos 38 22.1 22.2 65.8 1.1 1.7 0.9 21.0 -25.2
pair RSmean MRmean neg-pos 38 22.1 22.2 65.8 1.1 1.7 0.9 21.0 -25.2
pair LWTI RSmean pos-neg 25 14.5 21.6 68.0 1.0 1.4 1.0 21.7 -20.7
pair RSmean LWTI pos-neg 25 14.5 21.6 68.0 1.0 1.4 1.0 21.7 -20.7
pair MACDhist RSIhist neg-pos 37 21.5 21.2 67.6 1.4 2.5 2.5 14.7 -8.6
pair RSIhist MACDhist neg-pos 37 21.5 21.2 67.6 1.4 2.5 2.5 14.7 -8.6
pair LWTI MACD pos-neg 27 15.7 20.9 66.7 1.0 1.3 1.0 20.9 -20.7
pair LWTI MACDhist neg-neg 27 15.7 20.9 66.7 1.0 1.3 1.0 20.9 -20.7
single LWTI LWTI neg-neg 27 15.7 20.9 66.7 1.0 1.3 1.0 20.9 -20.7
pair MACDhist LWTI neg-neg 27 15.7 20.9 66.7 1.0 1.3 1.0 20.9 -20.7
pair MACD LWTI pos-neg 27 15.7 20.9 66.7 1.0 1.3 1.0 20.9 -20.7
single MRmean MRmean neg-neg 54 31.4 20.5 66.7 1.0 1.5 0.8 20.4 -25.2
pair MRmean RSIhist neg-neg 52 30.2 18.6 65.4 0.9 1.4 0.7 20.5 -25.2
pair RSIhist MRmean neg-neg 52 30.2 18.6 65.4 0.9 1.4 0.7 20.5 -25.2
pair MACDhist MRmean neg-neg 53 30.8 18.5 66.0 0.9 1.4 0.7 20.2 -25.2
pair MRmean MACDhist neg-neg 53 30.8 18.5 66.0 0.9 1.4 0.7 20.2 -25.2
pair RSIhist LWTI pos-pos 72 41.9 17.5 68.1 1.2 2.1 1.6 14.9 -11.3
pair LWTI RSIhist pos-pos 72 41.9 17.5 68.1 1.2 2.1 1.6 14.9 -11.3
pair MRmean MACD neg-pos 42 24.4 16.9 64.3 0.8 1.3 0.7 21.1 -25.2
pair MACD MRmean neg-pos 42 24.4 16.9 64.3 0.8 1.3 0.7 21.1 -25.2
pair MACDhist SLmean neg-neg 59 34.3 16.8 59.3 0.9 1.4 0.9 19.6 -18.5
pair SLmean MACDhist neg-neg 59 34.3 16.8 59.3 0.9 1.4 0.9 19.6 -18.5
pair RSmean SLmean neg-pos 51 29.7 16.5 56.9 0.9 1.5 0.9 19.6 -18.5
pair SLmean RSmean neg-pos 51 29.7 16.5 56.9 0.9 1.5 0.9 19.6 -18.5
pair MRmean RSmean neg-neg 16 9.3 16.4 68.8 0.9 0.9 1.6 19.2 -10.5
pair RSmean MRmean neg-neg 16 9.3 16.4 68.8 0.9 0.9 1.6 19.2 -10.5
pair RSIhist RSI pos-pos 83 48.3 15.8 67.5 1.1 1.9 0.9 15.0 -17.2
single RSIhist RSIhist pos-pos 83 48.3 15.8 67.5 1.1 1.9 0.9 15.0 -17.2
pair RSI RSIhist pos-pos 83 48.3 15.8 67.5 1.1 1.9 0.9 15.0 -17.2
pair RSmean MACDhist pos-neg 92 53.5 15.7 60.9 1.0 1.5 0.6 16.7 -25.2
pair MACDhist RSmean pos-neg 92 53.5 15.7 60.9 1.0 1.5 0.6 16.7 -25.2
pair MRmean LWTI neg-pos 37 21.5 15.5 64.9 0.8 1.4 0.9 19.2 -16.3
pair LWTI MRmean neg-pos 37 21.5 15.5 64.9 0.8 1.4 0.9 19.2 -16.3
single SLmean SLmean neg-neg 66 38.4 15.2 57.6 0.8 1.3 0.8 19.7 -18.5
pair RSIhist SLmean pos-pos 82 47.7 14.6 67.1 1.0 1.7 0.8 14.8 -17.2
pair SLmean RSIhist pos-pos 82 47.7 14.6 67.1 1.0 1.7 0.8 14.8 -17.2
pair MRmean RSIhist pos-pos 81 47.1 14.5 66.7 1.0 1.7 0.8 14.9 -17.2
pair RSIhist MRmean pos-pos 81 47.1 14.5 66.7 1.0 1.7 0.8 14.9 -17.2
single MACDhist MACDhist neg-neg 113 65.7 14.5 61.1 0.9 1.4 0.6 16.9 -25.9
pair RSmean RSIhist pos-pos 81 47.1 14.1 66.7 1.0 1.7 0.7 14.8 -20.7
pair RSIhist RSmean pos-pos 81 47.1 14.1 66.7 1.0 1.7 0.7 14.8 -20.7
pair RSIhist SLmean neg-neg 65 37.8 13.7 56.9 0.8 1.2 0.7 19.6 -18.5
pair SLmean RSIhist neg-neg 65 37.8 13.7 56.9 0.8 1.2 0.7 19.6 -18.5
single RSmean RSmean pos-pos 151 87.8 12.6 61.6 0.8 1.3 0.4 16.7 -34.4
pair LWTI MACDhist neg-pos 86 50.0 12.6 59.3 0.8 1.4 0.6 15.5 -19.9
pair MACDhist LWTI neg-pos 86 50.0 12.6 59.3 0.8 1.4 0.6 15.5 -19.9
pair LWTI RSmean neg-neg 2 1.2 12.5 50.0 1.8 0.0 0.0 6.6 0.0
pair RSmean LWTI neg-neg 2 1.2 12.5 50.0 1.8 0.0 0.0 6.6 0.0
pair LWTI SLmean pos-pos 92 53.5 12.3 65.2 0.9 1.5 0.5 14.6 -23.7
pair SLmean LWTI pos-pos 92 53.5 12.3 65.2 0.9 1.5 0.5 14.6 -23.7
pair benchmark___benchmark_ benchmark-benchmark 172 100.0 12.2 61.6 0.8 1.2 0.3 16.8 -34.4
pair benchmark___benchmark_ benchmark-benchmark 172 100.0 12.2 61.6 0.8 1.2 0.3 16.8 -34.4
pair MACDhist SLmean pos-neg 54 31.4 12.0 63.0 0.9 1.4 0.9 13.4 -13.8
pair SLmean MACDhist pos-neg 54 31.4 12.0 63.0 0.9 1.4 0.9 13.4 -13.8
pair MACDhist RSIhist pos-pos 46 26.7 11.7 67.4 0.8 1.4 0.6 15.3 -18.5
pair RSIhist MACDhist pos-pos 46 26.7 11.7 67.4 0.8 1.4 0.6 15.3 -18.5
pair SLmean MRmean pos-pos 101 58.7 11.6 64.4 0.8 1.4 0.6 14.8 -20.9
pair MRmean SLmean pos-pos 101 58.7 11.6 64.4 0.8 1.4 0.6 14.8 -20.9
pair MACD RSIhist pos-pos 71 41.3 11.5 66.2 0.8 1.4 0.7 14.7 -17.2
pair RSIhist MACD pos-pos 71 41.3 11.5 66.2 0.8 1.4 0.7 14.7 -17.2
pair RSIhist MACDhist neg-neg 76 44.2 11.4 57.9 0.7 1.0 0.5 17.9 -25.2
pair MACDhist RSIhist neg-neg 76 44.2 11.4 57.9 0.7 1.0 0.5 17.9 -25.2
pair MACDhist MRmean pos-neg 60 34.9 11.1 56.7 0.9 1.6 0.8 13.3 -13.9
pair MRmean MACDhist pos-neg 60 34.9 11.1 56.7 0.9 1.6 0.8 13.3 -13.9
pair LWTI RSmean pos-pos 126 73.3 10.9 60.3 0.7 1.3 0.4 15.6 -29.5
pair RSmean LWTI pos-pos 126 73.3 10.9 60.3 0.7 1.3 0.4 15.6 -29.5
pair RSmean SLmean neg-neg 15 8.7 10.9 60.0 0.6 0.8 0.7 20.6 -14.8
pair SLmean RSmean neg-neg 15 8.7 10.9 60.0 0.6 0.8 0.7 20.6 -14.8
pair RSIhist RSmean pos-neg 70 40.7 10.9 55.7 0.7 1.1 0.3 18.8 -33.8
pair RSmean RSIhist pos-neg 70 40.7 10.9 55.7 0.7 1.1 0.3 18.8 -33.8
single LWTI LWTI pos-pos 145 84.3 10.6 60.7 0.7 1.2 0.4 16.0 -28.7
pair SLmean RSmean pos-pos 100 58.1 10.6 64.0 0.8 1.2 0.4 15.1 -27.4
pair RSmean SLmean pos-pos 100 58.1 10.6 64.0 0.8 1.2 0.4 15.1 -27.4
pair SLmean RSI pos-pos 106 61.6 10.3 64.2 0.7 1.2 0.4 14.8 -27.4
pair RSI SLmean pos-pos 106 61.6 10.3 64.2 0.7 1.2 0.4 14.8 -27.4
single SLmean SLmean pos-pos 106 61.6 10.3 64.2 0.7 1.2 0.4 14.8 -27.4
pair MACD RSmean pos-pos 138 80.2 10.1 60.1 0.7 1.1 0.3 16.8 -34.4
pair RSmean MACD pos-pos 138 80.2 10.1 60.1 0.7 1.1 0.3 16.8 -34.4
single RSmean RSmean neg-neg 21 12.2 9.5 61.9 0.6 0.7 0.5 18.0 -19.0
pair RSmean MACDhist neg-neg 21 12.2 9.5 61.9 0.6 0.7 0.5 18.0 -19.0
pair MACDhist RSmean neg-neg 21 12.2 9.5 61.9 0.6 0.7 0.5 18.0 -19.0
pair SLmean MACD neg-pos 53 30.8 9.5 52.8 0.6 0.9 0.5 19.9 -18.5
pair MRmean RSmean pos-pos 113 65.7 9.5 60.2 0.7 1.2 0.4 15.0 -24.1
pair RSmean MRmean pos-pos 113 65.7 9.5 60.2 0.7 1.2 0.4 15.0 -24.1
pair MACD SLmean neg-pos 53 30.8 9.5 52.8 0.6 0.9 0.5 19.9 -18.5
pair LWTI RSmean neg-pos 19 11.0 9.2 63.2 0.6 0.7 0.5 18.9 -18.7
pair RSmean LWTI neg-pos 19 11.0 9.2 63.2 0.6 0.7 0.5 18.9 -18.7
pair MRmean LWTI pos-pos 108 62.8 9.0 59.3 0.7 1.2 0.5 14.8 -18.0
pair LWTI MRmean pos-pos 108 62.8 9.0 59.3 0.7 1.2 0.5 14.8 -18.0
single RSIhist RSIhist neg-neg 89 51.7 8.9 56.2 0.6 0.9 0.3 18.4 -33.8
pair RSI MRmean pos-pos 118 68.6 8.6 59.3 0.6 1.1 0.4 14.9 -20.8
pair MRmean RSI pos-pos 118 68.6 8.6 59.3 0.6 1.1 0.4 14.9 -20.8
pair MACD MACDhist pos-neg 88 51.2 8.6 56.8 0.6 0.9 0.3 16.8 -25.9
pair MACDhist MACD pos-neg 88 51.2 8.6 56.8 0.6 0.9 0.3 16.8 -25.9
single MRmean MRmean pos-pos 118 68.6 8.6 59.3 0.6 1.1 0.4 14.9 -20.8
pair SLmean MACDhist pos-pos 52 30.2 8.6 65.4 0.6 1.0 0.4 16.3 -23.7
pair MACDhist SLmean pos-pos 52 30.2 8.6 65.4 0.6 1.0 0.4 16.3 -23.7
single MACD MACD pos-pos 147 85.5 8.3 59.2 0.6 0.9 0.2 16.8 -34.4
pair RSmean MACDhist pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair MACDhist RSmean pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair RSmean RSI pos-pos 133 77.3 7.9 59.4 0.6 1.0 0.2 15.7 -34.2
pair RSI RSmean pos-pos 133 77.3 7.9 59.4 0.6 1.0 0.2 15.7 -34.2
single MACDhist MACDhist pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair MACDhist LWTI pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair RSI MACDhist pos-neg 95 55.2 7.9 57.9 0.6 0.9 0.3 15.2 -28.3
pair MACDhist RSI pos-neg 95 55.2 7.9 57.9 0.6 0.9 0.3 15.2 -28.3
pair LWTI MACDhist pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair MACDhist MACD pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair MACD MACDhist pos-pos 59 34.3 7.9 62.7 0.5 1.0 0.4 16.8 -22.1
pair RSI LWTI pos-pos 136 79.1 7.8 59.6 0.6 0.9 0.3 15.7 -28.7
pair SLmean LWTI neg-pos 53 30.8 7.8 52.8 0.5 0.9 0.3 18.3 -22.3
pair LWTI SLmean neg-pos 53 30.8 7.8 52.8 0.5 0.9 0.3 18.3 -22.3
pair LWTI RSI pos-pos 136 79.1 7.8 59.6 0.6 0.9 0.3 15.7 -28.7
pair SLmean MACD pos-pos 94 54.7 7.6 62.8 0.6 0.9 0.3 14.8 -27.4
pair MACD SLmean pos-pos 94 54.7 7.6 62.8 0.6 0.9 0.3 14.8 -27.4
single RSI RSI pos-pos 153 89.0 7.2 59.5 0.5 0.8 0.2 15.6 -30.6
pair RSI MACDhist pos-pos 58 33.7 6.1 62.1 0.4 0.8 0.3 16.5 -22.1
pair MACDhist RSI pos-pos 58 33.7 6.1 62.1 0.4 0.8 0.3 16.5 -22.1
pair MACDhist MRmean pos-pos 58 33.7 6.1 62.1 0.4 0.8 0.3 16.5 -22.1
pair MRmean MACDhist pos-pos 58 33.7 6.1 62.1 0.4 0.8 0.3 16.5 -22.1
pair RSmean SLmean pos-neg 6 3.5 6.0 66.7 0.6 0.6 1.2 10.4 -4.9
pair SLmean RSmean pos-neg 6 3.5 6.0 66.7 0.6 0.6 1.2 10.4 -4.9
pair LWTI MACD pos-pos 120 69.8 5.7 57.5 0.4 0.7 0.2 15.7 -28.7
pair MACD LWTI pos-pos 120 69.8 5.7 57.5 0.4 0.7 0.2 15.7 -28.7
pair RSIhist LWTI pos-neg 11 6.4 5.6 63.6 0.4 0.6 0.7 15.9 -8.6
pair LWTI RSIhist pos-neg 11 6.4 5.6 63.6 0.4 0.6 0.7 15.9 -8.6
pair RSIhist MACD pos-neg 76 44.2 5.4 52.6 0.4 0.6 0.2 18.5 -33.8
pair MACD RSIhist pos-neg 76 44.2 5.4 52.6 0.4 0.6 0.2 18.5 -33.8
pair MACD MRmean pos-pos 105 61.0 5.0 57.1 0.4 0.7 0.2 14.7 -20.8
pair MRmean MACD pos-pos 105 61.0 5.0 57.1 0.4 0.7 0.2 14.7 -20.8
pair RSIhist LWTI neg-pos 73 42.4 4.3 53.4 0.3 0.5 0.1 17.0 -31.2
pair LWTI RSIhist neg-pos 73 42.4 4.3 53.4 0.3 0.5 0.1 17.0 -31.2
pair LWTI MRmean pos-neg 10 5.8 4.2 60.0 0.3 0.5 0.5 16.7 -8.6
pair MRmean LWTI pos-neg 10 5.8 4.2 60.0 0.3 0.5 0.5 16.7 -8.6
pair MACD RSI pos-pos 129 75.0 3.1 56.6 0.3 0.5 0.1 15.5 -30.6
pair RSI MACD pos-pos 129 75.0 3.1 56.6 0.3 0.5 0.1 15.5 -30.6
pair SLmean MACDhist neg-pos 7 4.1 2.8 42.9 0.2 0.5 0.3 22.0 -8.3
pair MACDhist SLmean neg-pos 7 4.1 2.8 42.9 0.2 0.5 0.3 22.0 -8.3
pair MRmean RSI neg-pos 35 20.3 2.6 60.0 0.2 0.3 0.1 18.0 -26.2
pair RSI MRmean neg-pos 35 20.3 2.6 60.0 0.2 0.3 0.1 18.0 -26.2
pair RSI RSmean neg-pos 20 11.6 2.5 60.0 0.2 0.3 0.1 15.9 -19.0
pair RSmean RSI neg-pos 20 11.6 2.5 60.0 0.2 0.3 0.1 15.9 -19.0
pair LWTI RSI pos-neg 17 9.9 2.4 58.8 0.2 0.3 0.2 15.2 -11.1
pair RSI LWTI pos-neg 17 9.9 2.4 58.8 0.2 0.3 0.2 15.2 -11.1
pair RSmean RSIhist neg-neg 19 11.0 2.0 57.9 0.2 0.2 0.1 17.5 -19.0
pair RSIhist RSmean neg-neg 19 11.0 2.0 57.9 0.2 0.2 0.1 17.5 -19.0
pair RSI SLmean neg-pos 47 27.3 0.4 48.9 0.1 0.2 0.0 17.4 -31.8
pair SLmean RSI neg-pos 47 27.3 0.4 48.9 0.1 0.2 0.0 17.4 -31.8
pair SLmean LWTI pos-neg 14 8.1 -1.6 57.1 -0.0 -0.0 -0.1 16.3 -15.9
pair LWTI SLmean pos-neg 14 8.1 -1.6 57.1 -0.0 -0.0 -0.1 16.3 -15.9
pair RSI RSIhist pos-neg 70 40.7 -2.2 50.0 -0.1 -0.1 -0.1 16.1 -43.8
pair RSIhist RSI pos-neg 70 40.7 -2.2 50.0 -0.1 -0.1 -0.1 16.1 -43.8
pair RSIhist SLmean pos-neg 24 14.0 -3.0 54.2 -0.1 -0.2 -0.1 14.6 -22.7
pair SLmean RSIhist pos-neg 24 14.0 -3.0 54.2 -0.1 -0.2 -0.1 14.6 -22.7
pair MRmean RSIhist pos-neg 37 21.5 -3.3 43.2 -0.2 -0.3 -0.1 14.7 -23.5
pair RSIhist MRmean pos-neg 37 21.5 -3.3 43.2 -0.2 -0.3 -0.1 14.7 -23.5
pair MACDhist RSIhist pos-neg 13 7.6 -4.4 46.2 -0.1 -0.2 -0.2 22.0 -18.0
pair RSIhist MACDhist pos-neg 13 7.6 -4.4 46.2 -0.1 -0.2 -0.2 22.0 -18.0
pair SLmean MRmean pos-neg 17 9.9 -7.5 29.4 -0.5 -0.8 -0.4 15.1 -20.7
pair MRmean SLmean pos-neg 17 9.9 -7.5 29.4 -0.5 -0.8 -0.4 15.1 -20.7
pair RSmean MRmean pos-neg 5 2.9 -9.9 40.0 -0.7 -1.1 -1.1 13.5 -9.4
pair MRmean RSmean pos-neg 5 2.9 -9.9 40.0 -0.7 -1.1 -1.1 13.5 -9.4
pair SLmean MRmean neg-pos 5 2.9 -12.0 60.0 -0.8 -0.6 -1.4 14.7 -8.8
pair MRmean SLmean neg-pos 5 2.9 -12.0 60.0 -0.8 -0.6 -1.4 14.7 -8.8
pair RSmean MACD neg-pos 9 5.2 -16.1 44.4 -1.1 -1.2 -0.8 15.4 -19.0
pair MACD RSmean neg-pos 9 5.2 -16.1 44.4 -1.1 -1.2 -0.8 15.4 -19.0

All Contingency Tables for EDEN

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 64%
Sharpe 0.82 | Sortino 1.36 | Calmar 0.6
Vol 15% | MDD -20.9%
Months 101M (59%)
CAGR -7.5% | Win 29%
Sharpe -0.45 | Sortino -0.85 | Calmar -0.4
Vol 15% | MDD -20.7%
Months 17M (10%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR -12.0% | Win 60%
Sharpe -0.81 | Sortino -0.63 | Calmar -1.4
Vol 15% | MDD -8.8%
Months 5M (3%)
CAGR 24.4% | Win 67%
Sharpe 1.16 | Sortino 1.72 | Calmar 1.3
Vol 21% | MDD -18.5%
Months 49M (28%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
SLmean
only
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 60%
Sharpe 0.68 | Sortino 1.17 | Calmar 0.4
Vol 15% | MDD -24.1%
Months 113M (66%)
CAGR -9.9% | Win 40%
Sharpe -0.71 | Sortino -1.14 | Calmar -1.1
Vol 14% | MDD -9.4%
Months 5M (3%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 22.2% | Win 66%
Sharpe 1.06 | Sortino 1.69 | Calmar 0.9
Vol 21% | MDD -25.2%
Months 38M (22%)
CAGR 16.4% | Win 69%
Sharpe 0.88 | Sortino 0.92 | Calmar 1.6
Vol 19% | MDD -10.5%
Months 16M (9%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
RSmean
only
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.0% | Win 57%
Sharpe 0.41 | Sortino 0.69 | Calmar 0.2
Vol 15% | MDD -20.8%
Months 105M (61%)
CAGR 42.3% | Win 77%
Sharpe 2.44 | Sortino 4.46 | Calmar 9.4
Vol 15% | MDD -4.5%
Months 13M (8%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 16.9% | Win 64%
Sharpe 0.85 | Sortino 1.29 | Calmar 0.7
Vol 21% | MDD -25.2%
Months 42M (24%)
CAGR 33.6% | Win 75%
Sharpe 1.70 | Sortino 1.50 | Calmar 3.7
Vol 18% | MDD -9.1%
Months 12M (7%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
MACD
only
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
-
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 2.6% | Win 60%
Sharpe 0.23 | Sortino 0.33 | Calmar 0.1
Vol 18% | MDD -26.2%
Months 35M (20%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
RSI
only
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 6.1% | Win 62%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.3
Vol 16% | MDD -22.1%
Months 58M (34%)
CAGR 11.1% | Win 57%
Sharpe 0.86 | Sortino 1.64 | Calmar 0.8
Vol 13% | MDD -13.9%
Months 60M (35%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 192.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 18.5% | Win 66%
Sharpe 0.94 | Sortino 1.36 | Calmar 0.7
Vol 20% | MDD -25.2%
Months 53M (31%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
MACDhist
only
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 14.5% | Win 67%
Sharpe 0.99 | Sortino 1.73 | Calmar 0.8
Vol 15% | MDD -17.2%
Months 81M (47%)
CAGR -3.3% | Win 43%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.1
Vol 15% | MDD -23.5%
Months 37M (22%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 82.6% | Win 100%
Sharpe 3.50 | Sortino 0.00 | Calmar 0.0
Vol 18% | MDD 0.0%
Months 2M (1%)
CAGR 18.6% | Win 65%
Sharpe 0.94 | Sortino 1.37 | Calmar 0.7
Vol 20% | MDD -25.2%
Months 52M (30%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 59%
Sharpe 0.66 | Sortino 1.16 | Calmar 0.5
Vol 15% | MDD -18.0%
Months 108M (63%)
CAGR 4.2% | Win 60%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.5
Vol 17% | MDD -8.6%
Months 10M (6%)
CAGR 8.6% | Win 59%
Sharpe 0.63 | Sortino 1.09 | Calmar 0.4
Vol 15% | MDD -20.8%
Months 118M (69%)
MRmean
neg
CAGR 15.5% | Win 65%
Sharpe 0.85 | Sortino 1.38 | Calmar 1.0
Vol 19% | MDD -16.3%
Months 37M (22%)
CAGR 31.9% | Win 71%
Sharpe 1.33 | Sortino 1.54 | Calmar 1.5
Vol 23% | MDD -20.7%
Months 17M (10%)
CAGR 20.5% | Win 67%
Sharpe 1.02 | Sortino 1.49 | Calmar 0.8
Vol 20% | MDD -25.2%
Months 54M (31%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 64%
Sharpe 0.75 | Sortino 1.22 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 100M (58%)
CAGR 6.0% | Win 67%
Sharpe 0.61 | Sortino 0.63 | Calmar 1.2
Vol 10% | MDD -4.9%
Months 6M (4%)
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 16.5% | Win 57%
Sharpe 0.88 | Sortino 1.50 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 51M (30%)
CAGR 10.9% | Win 60%
Sharpe 0.60 | Sortino 0.78 | Calmar 0.7
Vol 21% | MDD -14.8%
Months 15M (9%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
RSmean
only
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.6% | Win 63%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.3
Vol 15% | MDD -27.4%
Months 94M (55%)
CAGR 34.3% | Win 75%
Sharpe 2.15 | Sortino 3.72 | Calmar 7.6
Vol 14% | MDD -4.5%
Months 12M (7%)
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 9.5% | Win 53%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.5
Vol 20% | MDD -18.5%
Months 53M (31%)
CAGR 41.7% | Win 77%
Sharpe 1.99 | Sortino 1.79 | Calmar 4.6
Vol 18% | MDD -9.1%
Months 13M (8%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
MACD
only
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
-
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 0.4% | Win 49%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 17% | MDD -31.8%
Months 47M (27%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
RSI
only
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.6% | Win 65%
Sharpe 0.59 | Sortino 1.03 | Calmar 0.4
Vol 16% | MDD -23.7%
Months 52M (30%)
CAGR 12.0% | Win 63%
Sharpe 0.92 | Sortino 1.44 | Calmar 0.9
Vol 13% | MDD -13.8%
Months 54M (31%)
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 2.8% | Win 43%
Sharpe 0.22 | Sortino 0.47 | Calmar 0.3
Vol 22% | MDD -8.3%
Months 7M (4%)
CAGR 16.8% | Win 59%
Sharpe 0.89 | Sortino 1.38 | Calmar 0.9
Vol 20% | MDD -18.5%
Months 59M (34%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
MACDhist
only
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.6% | Win 67%
Sharpe 1.00 | Sortino 1.73 | Calmar 0.8
Vol 15% | MDD -17.2%
Months 82M (48%)
CAGR -3.0% | Win 54%
Sharpe -0.14 | Sortino -0.18 | Calmar -0.1
Vol 15% | MDD -22.7%
Months 24M (14%)
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 176.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 13.7% | Win 57%
Sharpe 0.76 | Sortino 1.21 | Calmar 0.7
Vol 20% | MDD -18.5%
Months 65M (38%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 65%
Sharpe 0.87 | Sortino 1.48 | Calmar 0.5
Vol 15% | MDD -23.7%
Months 92M (54%)
CAGR -1.6% | Win 57%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 16% | MDD -15.9%
Months 14M (8%)
CAGR 10.3% | Win 64%
Sharpe 0.74 | Sortino 1.19 | Calmar 0.4
Vol 15% | MDD -27.4%
Months 106M (62%)
SLmean
neg
CAGR 7.8% | Win 53%
Sharpe 0.50 | Sortino 0.87 | Calmar 0.4
Vol 18% | MDD -22.3%
Months 53M (31%)
CAGR 51.0% | Win 77%
Sharpe 1.88 | Sortino 1.81 | Calmar 3.8
Vol 24% | MDD -13.5%
Months 13M (8%)
CAGR 15.2% | Win 58%
Sharpe 0.82 | Sortino 1.33 | Calmar 0.8
Vol 20% | MDD -18.5%
Months 66M (38%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 10.1% | Win 60%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.3
Vol 17% | MDD -34.4%
Months 138M (80%)
CAGR 42.3% | Win 77%
Sharpe 2.44 | Sortino 4.46 | Calmar 9.4
Vol 15% | MDD -4.5%
Months 13M (8%)
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
RSmean
neg
CAGR -16.1% | Win 44%
Sharpe -1.06 | Sortino -1.16 | Calmar -0.8
Vol 15% | MDD -19.0%
Months 9M (5%)
CAGR 33.6% | Win 75%
Sharpe 1.70 | Sortino 1.50 | Calmar 3.7
Vol 18% | MDD -9.1%
Months 12M (7%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
MACD
only
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 59%
Sharpe 0.57 | Sortino 0.97 | Calmar 0.2
Vol 16% | MDD -34.2%
Months 133M (77%)
CAGR 53.8% | Win 78%
Sharpe 2.15 | Sortino 2.24 | Calmar 4.0
Vol 21% | MDD -13.5%
Months 18M (10%)
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
RSmean
neg
CAGR 2.5% | Win 60%
Sharpe 0.23 | Sortino 0.26 | Calmar 0.1
Vol 16% | MDD -19.0%
Months 20M (12%)
CAGR 311.9% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
RSI
only
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 15.7% | Win 61%
Sharpe 0.96 | Sortino 1.54 | Calmar 0.6
Vol 17% | MDD -25.2%
Months 92M (54%)
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
RSmean
neg		-
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
MACDhist
only
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 14.1% | Win 67%
Sharpe 0.96 | Sortino 1.68 | Calmar 0.7
Vol 15% | MDD -20.7%
Months 81M (47%)
CAGR 10.9% | Win 56%
Sharpe 0.65 | Sortino 1.07 | Calmar 0.3
Vol 19% | MDD -33.8%
Months 70M (41%)
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
RSmean
neg
CAGR 114.9% | Win 100%
Sharpe 7.21 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (1%)
CAGR 2.0% | Win 58%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.1
Vol 18% | MDD -19.0%
Months 19M (11%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 10.9% | Win 60%
Sharpe 0.74 | Sortino 1.32 | Calmar 0.4
Vol 16% | MDD -29.5%
Months 126M (73%)
CAGR 21.6% | Win 68%
Sharpe 1.01 | Sortino 1.38 | Calmar 1.0
Vol 22% | MDD -20.7%
Months 25M (14%)
CAGR 12.6% | Win 62%
Sharpe 0.80 | Sortino 1.32 | Calmar 0.4
Vol 17% | MDD -34.4%
Months 151M (88%)
RSmean
neg
CAGR 9.2% | Win 63%
Sharpe 0.56 | Sortino 0.74 | Calmar 0.5
Vol 19% | MDD -18.7%
Months 19M (11%)
CAGR 12.5% | Win 50%
Sharpe 1.81 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 2M (1%)
CAGR 9.5% | Win 62%
Sharpe 0.59 | Sortino 0.74 | Calmar 0.5
Vol 18% | MDD -19.0%
Months 21M (12%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.1% | Win 57%
Sharpe 0.28 | Sortino 0.45 | Calmar 0.1
Vol 16% | MDD -30.6%
Months 129M (75%)
CAGR 53.8% | Win 78%
Sharpe 2.15 | Sortino 2.24 | Calmar 4.0
Vol 21% | MDD -13.5%
Months 18M (10%)
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
MACD
neg
CAGR 31.9% | Win 75%
Sharpe 1.93 | Sortino 2.19 | Calmar 3.5
Vol 15% | MDD -9.1%
Months 24M (14%)
CAGR 311.9% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
RSI
only
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 8.6% | Win 57%
Sharpe 0.57 | Sortino 0.89 | Calmar 0.3
Vol 17% | MDD -25.9%
Months 88M (51%)
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
MACD
neg		-
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
MACDhist
only
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.5% | Win 66%
Sharpe 0.81 | Sortino 1.43 | Calmar 0.7
Vol 15% | MDD -17.2%
Months 71M (41%)
CAGR 5.4% | Win 53%
Sharpe 0.38 | Sortino 0.60 | Calmar 0.2
Vol 18% | MDD -33.8%
Months 76M (44%)
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
MACD
neg
CAGR 45.2% | Win 75%
Sharpe 2.53 | Sortino 4.71 | Calmar 10.1
Vol 15% | MDD -4.5%
Months 12M (7%)
CAGR 31.8% | Win 77%
Sharpe 1.67 | Sortino 1.43 | Calmar 3.5
Vol 18% | MDD -9.1%
Months 13M (8%)
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 5.7% | Win 57%
Sharpe 0.43 | Sortino 0.74 | Calmar 0.2
Vol 16% | MDD -28.7%
Months 120M (70%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
CAGR 8.3% | Win 59%
Sharpe 0.56 | Sortino 0.91 | Calmar 0.2
Vol 17% | MDD -34.4%
Months 147M (86%)
MACD
neg
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
-
CAGR 38.1% | Win 76%
Sharpe 2.08 | Sortino 2.55 | Calmar 4.2
Vol 16% | MDD -9.1%
Months 25M (14%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 6.1% | Win 62%
Sharpe 0.44 | Sortino 0.78 | Calmar 0.3
Vol 16% | MDD -22.1%
Months 58M (34%)
CAGR 7.9% | Win 58%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 15% | MDD -28.3%
Months 95M (55%)
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
RSI
neg
CAGR 192.0% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 56.8% | Win 78%
Sharpe 2.17 | Sortino 2.34 | Calmar 4.2
Vol 22% | MDD -13.5%
Months 18M (10%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
MACDhist
only
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR -2.2% | Win 50%
Sharpe -0.06 | Sortino -0.09 | Calmar -0.1
Vol 16% | MDD -43.8%
Months 70M (41%)
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
RSI
neg		-
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 7.8% | Win 60%
Sharpe 0.56 | Sortino 0.93 | Calmar 0.3
Vol 16% | MDD -28.7%
Months 136M (79%)
CAGR 2.4% | Win 59%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.2
Vol 15% | MDD -11.1%
Months 17M (10%)
CAGR 7.2% | Win 60%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 16% | MDD -30.6%
Months 153M (89%)
RSI
neg
CAGR 63.7% | Win 78%
Sharpe 3.09 | Sortino 7.00 | Calmar 19.6
Vol 17% | MDD -3.3%
Months 9M (5%)
CAGR 60.5% | Win 80%
Sharpe 1.93 | Sortino 1.88 | Calmar 4.5
Vol 27% | MDD -13.5%
Months 10M (6%)
CAGR 62.0% | Win 79%
Sharpe 2.35 | Sortino 2.51 | Calmar 4.6
Vol 22% | MDD -13.5%
Months 19M (11%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 11.7% | Win 67%
Sharpe 0.80 | Sortino 1.40 | Calmar 0.6
Vol 15% | MDD -18.5%
Months 46M (27%)
CAGR -4.4% | Win 46%
Sharpe -0.10 | Sortino -0.21 | Calmar -0.2
Vol 22% | MDD -18.0%
Months 13M (8%)
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
MACDhist
neg
CAGR 21.2% | Win 68%
Sharpe 1.38 | Sortino 2.46 | Calmar 2.5
Vol 15% | MDD -8.6%
Months 37M (22%)
CAGR 11.4% | Win 58%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.5
Vol 18% | MDD -25.2%
Months 76M (44%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
RSIhist
only
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
-
CAGR 7.9% | Win 63%
Sharpe 0.54 | Sortino 0.97 | Calmar 0.4
Vol 17% | MDD -22.1%
Months 59M (34%)
MACDhist
neg
CAGR 12.6% | Win 59%
Sharpe 0.84 | Sortino 1.40 | Calmar 0.6
Vol 16% | MDD -19.9%
Months 86M (50%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
CAGR 14.5% | Win 61%
Sharpe 0.89 | Sortino 1.36 | Calmar 0.6
Vol 17% | MDD -25.9%
Months 113M (66%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 17.5% | Win 68%
Sharpe 1.16 | Sortino 2.14 | Calmar 1.6
Vol 15% | MDD -11.3%
Months 72M (42%)
CAGR 5.6% | Win 64%
Sharpe 0.42 | Sortino 0.55 | Calmar 0.7
Vol 16% | MDD -8.6%
Months 11M (6%)
CAGR 15.8% | Win 68%
Sharpe 1.06 | Sortino 1.86 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 83M (48%)
RSIhist
neg
CAGR 4.3% | Win 53%
Sharpe 0.33 | Sortino 0.54 | Calmar 0.1
Vol 17% | MDD -31.2%
Months 73M (42%)
CAGR 32.7% | Win 69%
Sharpe 1.32 | Sortino 1.58 | Calmar 1.6
Vol 24% | MDD -20.7%
Months 16M (9%)
CAGR 8.9% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.8%
Months 89M (52%)
LWTI
only
CAGR 10.6% | Win 61%
Sharpe 0.71 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -28.7%
Months 145M (84%)
CAGR 20.9% | Win 67%
Sharpe 1.02 | Sortino 1.33 | Calmar 1.0
Vol 21% | MDD -20.7%
Months 27M (16%)