EFNL - iShares MSCI Finland ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

63.6%

Best CAGR

50

Total Months

9.9%

Avg CAGR

EFNL 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 EFNL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSIhist RSmean neg-pos 3 1.7 63.6 100.0 7.0 0.0 0.0 7.1 0.0
pair RSmean RSIhist neg-pos 3 1.7 63.6 100.0 7.0 0.0 0.0 7.1 0.0
pair RSIhist MRmean neg-pos 3 1.7 58.9 100.0 5.5 0.0 0.0 8.6 0.0
pair MRmean RSIhist neg-pos 3 1.7 58.9 100.0 5.5 0.0 0.0 8.6 0.0
pair RSIhist SLmean neg-pos 4 2.3 45.8 100.0 4.5 0.0 0.0 8.7 0.0
pair SLmean RSIhist neg-pos 4 2.3 45.8 100.0 4.5 0.0 0.0 8.7 0.0
pair SLmean RSI pos-neg 8 4.6 39.4 75.0 3.0 12.0 30.1 11.3 -1.3
pair RSI SLmean pos-neg 8 4.6 39.4 75.0 3.0 12.0 30.1 11.3 -1.3
pair MACD RSI neg-neg 26 14.9 33.5 69.2 1.6 2.5 2.4 19.1 -14.2
pair RSI MACD neg-neg 26 14.9 33.5 69.2 1.6 2.5 2.4 19.1 -14.2
pair SLmean MACDhist neg-pos 11 6.3 29.8 72.7 1.5 3.7 3.9 18.3 -7.6
pair MACDhist SLmean neg-pos 11 6.3 29.8 72.7 1.5 3.7 3.9 18.3 -7.6
pair RSI LWTI neg-pos 29 16.6 28.1 69.0 1.3 1.5 1.6 20.9 -17.9
pair LWTI RSI neg-pos 29 16.6 28.1 69.0 1.3 1.5 1.6 20.9 -17.9
pair RSI MRmean pos-neg 7 4.0 27.3 71.4 2.8 8.7 20.8 8.8 -1.3
pair MRmean RSI pos-neg 7 4.0 27.3 71.4 2.8 8.7 20.8 8.8 -1.3
pair SLmean MRmean pos-neg 9 5.1 26.7 66.7 1.2 2.9 4.5 20.9 -5.9
pair MRmean SLmean pos-neg 9 5.1 26.7 66.7 1.2 2.9 4.5 20.9 -5.9
pair MACDhist LWTI pos-neg 4 2.3 26.6 75.0 1.9 0.0 0.0 13.1 0.0
pair LWTI MACDhist pos-neg 4 2.3 26.6 75.0 1.9 0.0 0.0 13.1 0.0
pair SLmean MRmean neg-pos 8 4.6 26.3 75.0 2.1 4.3 11.3 11.5 -2.3
pair MRmean SLmean neg-pos 8 4.6 26.3 75.0 2.1 4.3 11.3 11.5 -2.3
pair RSIhist MACDhist pos-neg 14 8.0 25.6 57.1 1.2 3.6 3.4 20.4 -7.6
pair MACDhist RSIhist pos-neg 14 8.0 25.6 57.1 1.2 3.6 3.4 20.4 -7.6
pair RSmean RSI pos-neg 34 19.4 24.8 61.8 1.2 2.1 1.2 19.7 -20.0
pair RSI RSmean pos-neg 34 19.4 24.8 61.8 1.2 2.1 1.2 19.7 -20.0
pair RSI MACDhist neg-neg 38 21.7 24.7 68.4 1.1 1.4 1.2 22.1 -20.0
pair MACDhist RSI neg-neg 38 21.7 24.7 68.4 1.1 1.4 1.2 22.1 -20.0
pair RSIhist RSI neg-neg 36 20.6 23.2 66.7 1.0 1.3 1.2 22.8 -20.0
pair RSI RSIhist neg-neg 36 20.6 23.2 66.7 1.0 1.3 1.2 22.8 -20.0
single RSI RSI neg-neg 43 24.6 22.9 67.4 1.1 1.3 1.1 21.0 -20.0
pair MRmean RSI neg-neg 36 20.6 22.1 66.7 1.0 1.3 1.1 22.7 -20.0
pair RSI MRmean neg-neg 36 20.6 22.1 66.7 1.0 1.3 1.1 22.7 -20.0
pair MACD MACDhist neg-neg 46 26.3 22.0 67.4 1.0 1.3 0.9 21.3 -23.5
pair MACDhist MACD neg-neg 46 26.3 22.0 67.4 1.0 1.3 0.9 21.3 -23.5
pair RSIhist RSI neg-pos 7 4.0 21.3 71.4 2.4 7.0 16.3 8.4 -1.3
pair RSI RSIhist neg-pos 7 4.0 21.3 71.4 2.4 7.0 16.3 8.4 -1.3
pair MACD RSIhist neg-neg 25 14.3 21.1 68.0 0.9 1.1 0.9 25.2 -23.5
pair RSIhist MACD neg-neg 25 14.3 21.1 68.0 0.9 1.1 0.9 25.2 -23.5
pair MACD LWTI neg-pos 39 22.3 20.2 69.2 1.0 1.2 0.9 21.3 -23.5
pair LWTI MACD neg-pos 39 22.3 20.2 69.2 1.0 1.2 0.9 21.3 -23.5
pair SLmean RSI neg-neg 35 20.0 19.5 65.7 0.9 1.1 0.8 22.7 -25.3
pair RSI SLmean neg-neg 35 20.0 19.5 65.7 0.9 1.1 0.8 22.7 -25.3
pair MRmean MACD neg-neg 25 14.3 19.1 68.0 0.8 1.0 0.8 25.0 -23.5
pair MACD RSmean pos-neg 40 22.9 19.1 60.0 1.0 1.8 1.2 19.9 -16.5
pair RSmean MACD pos-neg 40 22.9 19.1 60.0 1.0 1.8 1.2 19.9 -16.5
pair MACD MRmean neg-neg 25 14.3 19.1 68.0 0.8 1.0 0.8 25.0 -23.5
pair MRmean MACDhist neg-pos 5 2.9 18.9 60.0 1.4 8.9 10.5 13.4 -1.8
pair MACD MACDhist pos-pos 63 36.0 18.9 63.5 1.2 2.0 1.3 15.5 -14.3
pair MACDhist MACD pos-pos 63 36.0 18.9 63.5 1.2 2.0 1.3 15.5 -14.3
pair MACDhist MRmean neg-pos 5 2.9 18.9 60.0 1.4 8.9 10.5 13.4 -1.8
pair MACD SLmean neg-neg 26 14.9 18.0 69.2 0.8 0.9 0.8 24.3 -23.5
pair SLmean MACD neg-neg 26 14.9 18.0 69.2 0.8 0.9 0.8 24.3 -23.5
single MACD MACD neg-neg 53 30.3 17.9 66.0 0.9 1.2 0.8 20.8 -23.5
pair MACD SLmean pos-neg 27 15.4 17.8 63.0 1.0 1.9 2.2 17.2 -8.1
pair SLmean MACD pos-neg 27 15.4 17.8 63.0 1.0 1.9 2.2 17.2 -8.1
pair MRmean MACD pos-neg 28 16.0 16.8 64.3 1.0 1.8 2.1 16.6 -8.1
pair MACD MRmean pos-neg 28 16.0 16.8 64.3 1.0 1.8 2.1 16.6 -8.1
pair RSI MACDhist pos-pos 65 37.1 16.6 63.1 1.0 1.8 1.0 16.0 -16.2
pair MACDhist RSI pos-pos 65 37.1 16.6 63.1 1.0 1.8 1.0 16.0 -16.2
pair MACDhist RSmean pos-pos 70 40.0 16.2 62.9 1.0 1.8 0.9 15.6 -17.2
pair RSmean MACDhist pos-pos 70 40.0 16.2 62.9 1.0 1.8 0.9 15.6 -17.2
single MACDhist MACDhist pos-pos 70 40.0 16.2 62.9 1.0 1.8 0.9 15.6 -17.2
pair MRmean MACDhist pos-pos 65 37.1 16.0 63.1 1.0 1.7 0.8 15.9 -20.9
pair RSmean RSI neg-neg 9 5.1 16.0 88.9 0.7 0.0 0.9 26.6 -17.9
pair RSI RSmean neg-neg 9 5.1 16.0 88.9 0.7 0.0 0.9 26.6 -17.9
pair MACDhist MRmean pos-pos 65 37.1 16.0 63.1 1.0 1.7 0.8 15.9 -20.9
pair LWTI MACDhist pos-pos 66 37.7 15.6 62.1 1.0 1.7 0.7 15.8 -23.4
pair MACDhist LWTI pos-pos 66 37.7 15.6 62.1 1.0 1.7 0.7 15.8 -23.4
pair MACD RSIhist neg-pos 28 16.0 15.1 64.3 0.9 1.6 1.9 16.3 -8.1
pair RSIhist MACD neg-pos 28 16.0 15.1 64.3 0.9 1.6 1.9 16.3 -8.1
pair RSmean MACD neg-neg 13 7.4 14.2 84.6 0.7 0.5 0.6 24.2 -23.5
pair MACD RSmean neg-neg 13 7.4 14.2 84.6 0.7 0.5 0.6 24.2 -23.5
pair RSIhist MACDhist pos-pos 56 32.0 13.9 64.3 1.0 1.4 0.8 14.3 -18.0
pair MACDhist RSIhist pos-pos 56 32.0 13.9 64.3 1.0 1.4 0.8 14.3 -18.0
pair MACDhist SLmean pos-pos 59 33.7 13.8 61.0 0.9 1.5 0.6 15.1 -21.9
pair SLmean MACDhist pos-pos 59 33.7 13.8 61.0 0.9 1.5 0.6 15.1 -21.9
pair LWTI RSIhist pos-pos 81 46.3 13.0 60.5 0.9 1.4 0.8 14.6 -16.9
pair RSIhist LWTI pos-pos 81 46.3 13.0 60.5 0.9 1.4 0.8 14.6 -16.9
pair RSI LWTI neg-neg 14 8.0 12.9 64.3 0.7 0.9 0.7 21.9 -18.4
pair LWTI RSI neg-neg 14 8.0 12.9 64.3 0.7 0.9 0.7 21.9 -18.4
single RSIhist RSIhist pos-pos 92 52.6 12.2 59.8 0.9 1.4 0.9 14.1 -14.3
pair SLmean RSmean neg-pos 46 26.3 12.2 56.5 0.7 1.2 0.4 20.5 -27.9
pair RSmean SLmean neg-pos 46 26.3 12.2 56.5 0.7 1.2 0.4 20.5 -27.9
pair LWTI RSmean pos-pos 129 73.7 12.2 58.1 0.8 1.3 0.3 16.5 -36.8
pair RSmean LWTI pos-pos 129 73.7 12.2 58.1 0.8 1.3 0.3 16.5 -36.8
pair MRmean RSmean neg-pos 45 25.7 11.8 57.8 0.7 1.1 0.4 19.3 -27.9
pair RSmean MRmean neg-pos 45 25.7 11.8 57.8 0.7 1.1 0.4 19.3 -27.9
pair LWTI MACD neg-neg 14 8.0 11.6 57.1 0.7 1.0 1.1 19.8 -10.8
pair MACD LWTI neg-neg 14 8.0 11.6 57.1 0.7 1.0 1.1 19.8 -10.8
pair RSI RSIhist pos-pos 85 48.6 11.5 58.8 0.8 1.3 0.6 14.5 -20.0
pair RSIhist RSI pos-pos 85 48.6 11.5 58.8 0.8 1.3 0.6 14.5 -20.0
pair RSIhist RSmean pos-neg 66 37.7 11.1 56.1 0.6 1.1 0.3 19.7 -31.6
pair RSmean RSIhist pos-neg 66 37.7 11.1 56.1 0.6 1.1 0.3 19.7 -31.6
pair SLmean LWTI pos-pos 99 56.6 11.1 59.6 0.8 1.2 0.5 15.3 -24.9
pair LWTI SLmean pos-pos 99 56.6 11.1 59.6 0.8 1.2 0.5 15.3 -24.9
pair MRmean LWTI pos-pos 102 58.3 11.0 58.8 0.7 1.2 0.4 15.9 -25.7
pair LWTI MRmean pos-pos 102 58.3 11.0 58.8 0.7 1.2 0.4 15.9 -25.7
pair RSIhist MACD pos-pos 64 36.6 11.0 57.8 0.9 1.3 0.8 13.2 -13.8
pair MACD RSIhist pos-pos 64 36.6 11.0 57.8 0.9 1.3 0.8 13.2 -13.8
pair MRmean RSIhist pos-pos 89 50.9 10.9 58.4 0.8 1.3 0.8 14.2 -14.3
single RSmean RSmean pos-pos 155 88.6 10.9 57.4 0.7 1.2 0.3 16.7 -36.6
pair RSIhist SLmean pos-pos 88 50.3 10.9 58.0 0.8 1.3 0.8 14.3 -14.3
pair SLmean RSIhist pos-pos 88 50.3 10.9 58.0 0.8 1.3 0.8 14.3 -14.3
pair RSIhist MRmean pos-pos 89 50.9 10.9 58.4 0.8 1.3 0.8 14.2 -14.3
pair RSIhist RSmean pos-pos 89 50.9 10.8 58.4 0.8 1.3 0.8 14.2 -14.3
pair RSmean RSIhist pos-pos 89 50.9 10.8 58.4 0.8 1.3 0.8 14.2 -14.3
pair RSmean MRmean pos-pos 110 62.9 10.6 57.3 0.7 1.2 0.5 15.6 -21.4
pair MRmean RSmean pos-pos 110 62.9 10.6 57.3 0.7 1.2 0.5 15.6 -21.4
pair MACDhist RSI neg-pos 5 2.9 10.5 60.0 1.1 8.6 5.8 10.0 -1.8
pair RSI MACDhist neg-pos 5 2.9 10.5 60.0 1.1 8.6 5.8 10.0 -1.8
pair SLmean RSmean pos-pos 109 62.3 10.4 57.8 0.7 1.2 0.5 14.9 -22.5
pair RSmean SLmean pos-pos 109 62.3 10.4 57.8 0.7 1.2 0.5 14.9 -22.5
pair LWTI SLmean neg-neg 13 7.4 10.2 61.5 0.5 0.8 0.6 23.0 -18.4
pair SLmean LWTI neg-neg 13 7.4 10.2 61.5 0.5 0.8 0.6 23.0 -18.4
single LWTI LWTI pos-pos 148 84.6 10.1 60.1 0.6 0.8 0.3 17.9 -36.8
pair RSIhist MACDhist neg-pos 36 20.6 9.6 52.8 0.7 1.4 0.7 14.0 -13.0
pair MACDhist RSIhist neg-pos 36 20.6 9.6 52.8 0.7 1.4 0.7 14.0 -13.0
single MRmean MRmean pos-pos 114 65.1 9.5 57.0 0.7 1.1 0.5 15.6 -21.4
single SLmean SLmean pos-pos 113 64.6 9.4 57.5 0.7 1.1 0.4 14.9 -22.5
pair benchmark___benchmark_ benchmark-benchmark 175 100.0 9.0 58.9 0.6 0.8 0.2 17.8 -36.6
pair benchmark___benchmark_ benchmark-benchmark 175 100.0 9.0 58.9 0.6 0.8 0.2 17.8 -36.6
pair RSI MRmean pos-pos 107 61.1 8.5 56.1 0.6 1.0 0.3 15.9 -27.4
pair MRmean RSI pos-pos 107 61.1 8.5 56.1 0.6 1.0 0.3 15.9 -27.4
single SLmean SLmean neg-neg 62 35.4 8.4 61.3 0.5 0.6 0.3 22.4 -27.9
pair LWTI MRmean neg-neg 15 8.6 8.4 60.0 0.5 0.7 0.5 21.4 -18.4
pair MRmean LWTI neg-neg 15 8.6 8.4 60.0 0.5 0.7 0.5 21.4 -18.4
pair MACD RSI pos-neg 17 9.7 8.3 64.7 0.5 0.5 0.3 23.8 -26.7
pair RSI MACD pos-neg 17 9.7 8.3 64.7 0.5 0.5 0.3 23.8 -26.7
pair MRmean SLmean pos-pos 105 60.0 8.2 56.2 0.6 0.9 0.4 15.1 -22.5
pair SLmean MRmean pos-pos 105 60.0 8.2 56.2 0.6 0.9 0.4 15.1 -22.5
pair MACD RSmean pos-pos 115 65.7 8.2 56.5 0.6 0.9 0.3 15.5 -31.6
pair RSmean MACD pos-pos 115 65.7 8.2 56.5 0.6 0.9 0.3 15.5 -31.6
single MRmean MRmean neg-neg 61 34.9 8.1 62.3 0.5 0.6 0.3 21.6 -27.9
pair LWTI MRmean neg-pos 46 26.3 8.0 63.0 0.5 0.5 0.3 21.9 -23.5
pair MRmean LWTI neg-pos 46 26.3 8.0 63.0 0.5 0.5 0.3 21.9 -23.5
pair SLmean LWTI neg-pos 49 28.0 7.9 61.2 0.5 0.6 0.3 22.5 -23.5
pair LWTI SLmean neg-pos 49 28.0 7.9 61.2 0.5 0.6 0.3 22.5 -23.5
pair SLmean RSI pos-pos 105 60.0 7.4 56.2 0.6 0.9 0.3 15.0 -27.7
pair RSI SLmean pos-pos 105 60.0 7.4 56.2 0.6 0.9 0.3 15.0 -27.7
pair RSI RSmean pos-pos 121 69.1 7.3 56.2 0.5 0.9 0.2 15.7 -31.3
pair RSmean RSI pos-pos 121 69.1 7.3 56.2 0.5 0.9 0.2 15.7 -31.3
pair MACD MRmean pos-pos 86 49.1 7.3 54.7 0.5 0.9 0.3 15.3 -22.0
pair MRmean MACD pos-pos 86 49.1 7.3 54.7 0.5 0.9 0.3 15.3 -22.0
pair MRmean MACDhist neg-neg 56 32.0 7.2 62.5 0.4 0.5 0.3 22.3 -27.9
pair MACDhist MRmean neg-neg 56 32.0 7.2 62.5 0.4 0.5 0.3 22.3 -27.9
pair SLmean MACD pos-pos 86 49.1 6.9 55.8 0.5 0.8 0.4 14.1 -18.9
pair MACD SLmean pos-pos 86 49.1 6.9 55.8 0.5 0.8 0.4 14.1 -18.9
pair RSIhist LWTI pos-neg 11 6.3 6.8 54.5 0.7 1.9 1.8 10.5 -3.7
pair LWTI RSIhist pos-neg 11 6.3 6.8 54.5 0.7 1.9 1.8 10.5 -3.7
pair MACDhist RSmean pos-neg 85 48.6 6.8 52.9 0.5 0.8 0.2 17.6 -31.6
pair RSmean MACDhist pos-neg 85 48.6 6.8 52.9 0.5 0.8 0.2 17.6 -31.6
pair MACD LWTI pos-pos 109 62.3 6.7 56.9 0.5 0.7 0.2 16.5 -30.4
pair LWTI MACD pos-pos 109 62.3 6.7 56.9 0.5 0.7 0.2 16.5 -30.4
pair LWTI RSIhist neg-pos 67 38.3 6.7 59.7 0.4 0.5 0.2 21.4 -26.4
pair RSIhist LWTI neg-pos 67 38.3 6.7 59.7 0.4 0.5 0.2 21.4 -26.4
pair SLmean RSIhist neg-neg 58 33.1 6.2 58.6 0.4 0.5 0.2 23.0 -27.9
pair RSIhist SLmean neg-neg 58 33.1 6.2 58.6 0.4 0.5 0.2 23.0 -27.9
pair LWTI RSI pos-pos 119 68.0 6.1 58.0 0.4 0.6 0.2 17.1 -33.6
pair RSI LWTI pos-pos 119 68.0 6.1 58.0 0.4 0.6 0.2 17.1 -33.6
pair MRmean RSIhist neg-neg 58 33.1 6.0 60.3 0.4 0.5 0.2 22.0 -27.9
pair RSIhist MRmean neg-neg 58 33.1 6.0 60.3 0.4 0.5 0.2 22.0 -27.9
pair MACDhist LWTI neg-pos 82 46.9 5.8 58.5 0.4 0.5 0.2 19.5 -26.4
pair LWTI MACDhist neg-pos 82 46.9 5.8 58.5 0.4 0.5 0.2 19.5 -26.4
pair SLmean MRmean neg-neg 53 30.3 5.6 60.4 0.3 0.5 0.2 22.8 -29.6
pair MRmean SLmean neg-neg 53 30.3 5.6 60.4 0.3 0.5 0.2 22.8 -29.6
single RSIhist RSIhist neg-neg 83 47.4 5.6 57.8 0.4 0.5 0.2 21.3 -31.6
single MACD MACD pos-pos 122 69.7 5.4 55.7 0.4 0.6 0.2 16.4 -31.6
pair RSI MACD pos-pos 105 60.0 4.9 54.3 0.4 0.6 0.2 15.0 -25.7
pair MACD RSI pos-pos 105 60.0 4.9 54.3 0.4 0.6 0.2 15.0 -25.7
single RSI RSI pos-pos 132 75.4 4.8 56.1 0.4 0.5 0.1 16.6 -31.3
pair LWTI RSmean pos-neg 26 14.9 4.8 53.8 0.3 0.5 0.3 17.9 -18.4
pair RSmean LWTI pos-neg 26 14.9 4.8 53.8 0.3 0.5 0.3 17.9 -18.4
pair MRmean RSIhist pos-neg 25 14.3 4.8 52.0 0.3 0.7 0.2 20.0 -24.6
pair RSIhist MRmean pos-neg 25 14.3 4.8 52.0 0.3 0.7 0.2 20.0 -24.6
pair MACDhist SLmean pos-neg 54 30.9 4.7 53.7 0.4 0.6 0.2 14.6 -22.7
pair SLmean MACDhist pos-neg 54 30.9 4.7 53.7 0.4 0.6 0.2 14.6 -22.7
pair RSI MACD neg-pos 27 15.4 4.6 63.0 0.3 0.4 0.2 22.0 -23.5
pair MACD RSI neg-pos 27 15.4 4.6 63.0 0.3 0.4 0.2 22.0 -23.5
single MACDhist MACDhist neg-neg 105 60.0 4.5 56.2 0.3 0.4 0.1 19.2 -31.6
pair SLmean MACDhist neg-neg 51 29.1 4.3 58.8 0.3 0.4 0.1 23.2 -33.2
pair MACDhist SLmean neg-neg 51 29.1 4.3 58.8 0.3 0.4 0.1 23.2 -33.2
pair RSIhist SLmean pos-neg 25 14.3 4.2 56.0 0.3 0.5 0.2 17.1 -19.8
pair SLmean RSIhist pos-neg 25 14.3 4.2 56.0 0.3 0.5 0.2 17.1 -19.8
single LWTI LWTI neg-neg 27 15.4 3.5 51.9 0.3 0.4 0.2 17.6 -20.3
pair SLmean MACD neg-pos 36 20.6 2.0 55.6 0.2 0.3 0.1 21.1 -22.3
pair MACD SLmean neg-pos 36 20.6 2.0 55.6 0.2 0.3 0.1 21.1 -22.3
pair MACDhist RSIhist neg-neg 69 39.4 1.9 58.0 0.2 0.3 0.1 21.5 -31.6
pair RSIhist MACDhist neg-neg 69 39.4 1.9 58.0 0.2 0.3 0.1 21.5 -31.6
pair MACDhist MRmean pos-neg 49 28.0 1.6 49.0 0.2 0.3 0.1 15.0 -31.1
pair MRmean MACDhist pos-neg 49 28.0 1.6 49.0 0.2 0.3 0.1 15.0 -31.1
pair RSIhist LWTI neg-neg 16 9.1 1.3 50.0 0.2 0.2 0.1 21.6 -18.4
pair LWTI RSIhist neg-neg 16 9.1 1.3 50.0 0.2 0.2 0.1 21.6 -18.4
pair MACD MRmean neg-pos 36 20.6 1.0 58.3 0.1 0.2 0.0 19.1 -30.6
pair MRmean MACD neg-pos 36 20.6 1.0 58.3 0.1 0.2 0.0 19.1 -30.6
pair LWTI MACDhist neg-neg 23 13.1 -0.1 47.8 0.1 0.1 -0.0 18.4 -20.3
pair MACDhist LWTI neg-neg 23 13.1 -0.1 47.8 0.1 0.1 -0.0 18.4 -20.3
pair MACD RSIhist pos-neg 58 33.1 -0.5 53.4 0.1 0.1 -0.0 19.4 -29.0
pair RSIhist MACD pos-neg 58 33.1 -0.5 53.4 0.1 0.1 -0.0 19.4 -29.0
pair RSmean MRmean neg-neg 16 9.1 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair MRmean RSmean neg-neg 16 9.1 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair SLmean RSmean neg-neg 16 9.1 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair RSmean SLmean neg-neg 16 9.1 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair MRmean LWTI pos-neg 12 6.9 -2.4 41.7 -0.1 -0.3 -0.3 12.0 -9.1
pair LWTI MRmean pos-neg 12 6.9 -2.4 41.7 -0.1 -0.3 -0.3 12.0 -9.1
pair SLmean LWTI pos-neg 14 8.0 -2.4 42.9 -0.2 -0.3 -0.3 11.3 -9.1
pair LWTI SLmean pos-neg 14 8.0 -2.4 42.9 -0.2 -0.3 -0.3 11.3 -9.1
pair LWTI RSmean neg-pos 19 10.9 -3.4 73.7 0.0 0.0 -0.1 25.9 -23.5
pair RSmean LWTI neg-pos 19 10.9 -3.4 73.7 0.0 0.0 -0.1 25.9 -23.5
pair RSI SLmean neg-pos 27 15.4 -4.4 55.6 -0.1 -0.1 -0.2 21.9 -23.5
pair SLmean RSI neg-pos 27 15.4 -4.4 55.6 -0.1 -0.1 -0.2 21.9 -23.5
single RSmean RSmean neg-neg 20 11.4 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair MACD LWTI pos-neg 13 7.4 -4.6 46.2 -0.2 -0.3 -0.4 15.5 -11.4
pair LWTI MACD pos-neg 13 7.4 -4.6 46.2 -0.2 -0.3 -0.4 15.5 -11.4
pair MACDhist RSmean neg-neg 20 11.4 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair RSmean MACDhist neg-neg 20 11.4 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair RSI MACDhist pos-neg 67 38.3 -5.4 49.3 -0.2 -0.3 -0.1 16.8 -35.9
pair MACDhist RSI pos-neg 67 38.3 -5.4 49.3 -0.2 -0.3 -0.1 16.8 -35.9
pair MACDhist MACD neg-pos 7 4.0 -5.7 57.1 -0.3 -0.4 -1.3 16.4 -4.5
pair MACD MACDhist neg-pos 7 4.0 -5.7 57.1 -0.3 -0.4 -1.3 16.4 -4.5
pair LWTI RSI pos-neg 13 7.4 -5.8 38.5 -0.5 -0.8 -0.4 11.7 -14.5
pair RSI LWTI pos-neg 13 7.4 -5.8 38.5 -0.5 -0.8 -0.4 11.7 -14.5
pair RSIhist RSI pos-neg 47 26.9 -6.2 51.1 -0.2 -0.3 -0.2 19.6 -33.4
pair RSI RSIhist pos-neg 47 26.9 -6.2 51.1 -0.2 -0.3 -0.2 19.6 -33.4
pair MACDhist MACD pos-neg 59 33.7 -7.3 47.5 -0.4 -0.5 -0.2 16.7 -43.1
pair MACD MACDhist pos-neg 59 33.7 -7.3 47.5 -0.4 -0.5 -0.2 16.7 -43.1
pair RSI MRmean neg-pos 25 14.3 -9.3 56.0 -0.4 -0.4 -0.4 19.2 -23.5
pair MRmean RSI neg-pos 25 14.3 -9.3 56.0 -0.4 -0.4 -0.4 19.2 -23.5
pair RSIhist RSmean neg-neg 17 9.7 -13.3 64.7 -0.4 -0.4 -0.5 26.5 -25.4
pair RSmean RSIhist neg-neg 17 9.7 -13.3 64.7 -0.4 -0.4 -0.5 26.5 -25.4
pair MRmean RSmean pos-neg 4 2.3 -15.6 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean MRmean pos-neg 4 2.3 -15.6 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair SLmean RSmean pos-neg 4 2.3 -15.6 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean SLmean pos-neg 4 2.3 -15.6 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean RSI neg-pos 11 6.3 -18.8 54.5 -0.7 -0.8 -0.8 24.3 -23.5
pair RSI RSmean neg-pos 11 6.3 -18.8 54.5 -0.7 -0.8 -0.8 24.3 -23.5
pair RSmean LWTI neg-neg 1 0.6 -26.1 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.6 -26.1 0.0 0.0 0.0 0.0 - 0.0
pair MACD RSmean neg-pos 7 4.0 -31.8 42.9 -1.3 -1.3 -1.8 26.3 -18.1
pair RSmean MACD neg-pos 7 4.0 -31.8 42.9 -1.3 -1.3 -1.8 26.3 -18.1

All Contingency Tables for EFNL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 8.2% | Win 56%
Sharpe 0.60 | Sortino 0.95 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 105M (60%)
CAGR 26.7% | Win 67%
Sharpe 1.24 | Sortino 2.94 | Calmar 4.5
Vol 21% | MDD -5.9%
Months 9M (5%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 26.3% | Win 75%
Sharpe 2.09 | Sortino 4.29 | Calmar 11.3
Vol 12% | MDD -2.3%
Months 8M (5%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.2
Vol 23% | MDD -29.6%
Months 53M (30%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
SLmean
only
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 57%
Sharpe 0.72 | Sortino 1.20 | Calmar 0.5
Vol 16% | MDD -21.4%
Months 110M (63%)
CAGR -15.6% | Win 50%
Sharpe -1.30 | Sortino -1.43 | Calmar -9.5
Vol 12% | MDD -1.7%
Months 4M (2%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 11.8% | Win 58%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.4
Vol 19% | MDD -27.9%
Months 45M (26%)
CAGR -1.7% | Win 75%
Sharpe 0.08 | Sortino 0.08 | Calmar -0.1
Vol 28% | MDD -23.5%
Months 16M (9%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
RSmean
only
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 55%
Sharpe 0.54 | Sortino 0.87 | Calmar 0.3
Vol 15% | MDD -22.0%
Months 86M (49%)
CAGR 16.8% | Win 64%
Sharpe 1.02 | Sortino 1.76 | Calmar 2.1
Vol 17% | MDD -8.1%
Months 28M (16%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 1.0% | Win 58%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 19% | MDD -30.6%
Months 36M (21%)
CAGR 19.1% | Win 68%
Sharpe 0.83 | Sortino 1.00 | Calmar 0.8
Vol 25% | MDD -23.5%
Months 25M (14%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 56%
Sharpe 0.59 | Sortino 1.00 | Calmar 0.3
Vol 16% | MDD -27.4%
Months 107M (61%)
CAGR 27.3% | Win 71%
Sharpe 2.79 | Sortino 8.68 | Calmar 20.8
Vol 9% | MDD -1.3%
Months 7M (4%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR -9.3% | Win 56%
Sharpe -0.41 | Sortino -0.43 | Calmar -0.4
Vol 19% | MDD -23.5%
Months 25M (14%)
CAGR 22.1% | Win 67%
Sharpe 1.00 | Sortino 1.28 | Calmar 1.1
Vol 23% | MDD -20.0%
Months 36M (21%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
RSI
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 16.0% | Win 63%
Sharpe 1.02 | Sortino 1.69 | Calmar 0.8
Vol 16% | MDD -20.9%
Months 65M (37%)
CAGR 1.6% | Win 49%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.1
Vol 15% | MDD -31.1%
Months 49M (28%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 18.9% | Win 60%
Sharpe 1.36 | Sortino 8.86 | Calmar 10.5
Vol 13% | MDD -1.8%
Months 5M (3%)
CAGR 7.2% | Win 62%
Sharpe 0.42 | Sortino 0.52 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 56M (32%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
MACDhist
only
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 10.9% | Win 58%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.8
Vol 14% | MDD -14.3%
Months 89M (51%)
CAGR 4.8% | Win 52%
Sharpe 0.33 | Sortino 0.65 | Calmar 0.2
Vol 20% | MDD -24.6%
Months 25M (14%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 58.9% | Win 100%
Sharpe 5.53 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 3M (2%)
CAGR 6.0% | Win 60%
Sharpe 0.38 | Sortino 0.47 | Calmar 0.2
Vol 22% | MDD -27.9%
Months 58M (33%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.0% | Win 59%
Sharpe 0.74 | Sortino 1.21 | Calmar 0.4
Vol 16% | MDD -25.7%
Months 102M (58%)
CAGR -2.4% | Win 42%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.3
Vol 12% | MDD -9.1%
Months 12M (7%)
CAGR 9.5% | Win 57%
Sharpe 0.66 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -21.4%
Months 114M (65%)
MRmean
neg
CAGR 8.0% | Win 63%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.3
Vol 22% | MDD -23.5%
Months 46M (26%)
CAGR 8.4% | Win 60%
Sharpe 0.48 | Sortino 0.69 | Calmar 0.5
Vol 21% | MDD -18.4%
Months 15M (9%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (35%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 58%
Sharpe 0.74 | Sortino 1.17 | Calmar 0.5
Vol 15% | MDD -22.5%
Months 109M (62%)
CAGR -15.6% | Win 50%
Sharpe -1.30 | Sortino -1.43 | Calmar -9.5
Vol 12% | MDD -1.7%
Months 4M (2%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR 12.2% | Win 56%
Sharpe 0.66 | Sortino 1.25 | Calmar 0.4
Vol 20% | MDD -27.9%
Months 46M (26%)
CAGR -1.7% | Win 75%
Sharpe 0.08 | Sortino 0.08 | Calmar -0.1
Vol 28% | MDD -23.5%
Months 16M (9%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
RSmean
only
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 56%
Sharpe 0.54 | Sortino 0.81 | Calmar 0.4
Vol 14% | MDD -18.9%
Months 86M (49%)
CAGR 17.8% | Win 63%
Sharpe 1.04 | Sortino 1.86 | Calmar 2.2
Vol 17% | MDD -8.1%
Months 27M (15%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR 2.0% | Win 56%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.1
Vol 21% | MDD -22.3%
Months 36M (21%)
CAGR 18.0% | Win 69%
Sharpe 0.81 | Sortino 0.95 | Calmar 0.8
Vol 24% | MDD -23.5%
Months 26M (15%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.4% | Win 56%
Sharpe 0.55 | Sortino 0.87 | Calmar 0.3
Vol 15% | MDD -27.7%
Months 105M (60%)
CAGR 39.4% | Win 75%
Sharpe 3.03 | Sortino 12.03 | Calmar 30.1
Vol 11% | MDD -1.3%
Months 8M (5%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR -4.4% | Win 56%
Sharpe -0.10 | Sortino -0.12 | Calmar -0.2
Vol 22% | MDD -23.5%
Months 27M (15%)
CAGR 19.5% | Win 66%
Sharpe 0.90 | Sortino 1.15 | Calmar 0.8
Vol 23% | MDD -25.3%
Months 35M (20%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
RSI
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 13.8% | Win 61%
Sharpe 0.93 | Sortino 1.48 | Calmar 0.6
Vol 15% | MDD -21.9%
Months 59M (34%)
CAGR 4.7% | Win 54%
Sharpe 0.39 | Sortino 0.60 | Calmar 0.2
Vol 15% | MDD -22.7%
Months 54M (31%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR 29.8% | Win 73%
Sharpe 1.52 | Sortino 3.73 | Calmar 3.9
Vol 18% | MDD -7.6%
Months 11M (6%)
CAGR 4.3% | Win 59%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -33.2%
Months 51M (29%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
MACDhist
only
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 58%
Sharpe 0.80 | Sortino 1.27 | Calmar 0.8
Vol 14% | MDD -14.3%
Months 88M (50%)
CAGR 4.2% | Win 56%
Sharpe 0.32 | Sortino 0.50 | Calmar 0.2
Vol 17% | MDD -19.8%
Months 25M (14%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR 45.8% | Win 100%
Sharpe 4.45 | Sortino 0.00 | Calmar 0.0
Vol 9% | MDD 0.0%
Months 4M (2%)
CAGR 6.2% | Win 59%
Sharpe 0.38 | Sortino 0.52 | Calmar 0.2
Vol 23% | MDD -27.9%
Months 58M (33%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.1% | Win 60%
Sharpe 0.77 | Sortino 1.20 | Calmar 0.4
Vol 15% | MDD -24.9%
Months 99M (57%)
CAGR -2.4% | Win 43%
Sharpe -0.16 | Sortino -0.28 | Calmar -0.3
Vol 11% | MDD -9.1%
Months 14M (8%)
CAGR 9.4% | Win 57%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 113M (65%)
SLmean
neg
CAGR 7.9% | Win 61%
Sharpe 0.45 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -23.5%
Months 49M (28%)
CAGR 10.2% | Win 62%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.6
Vol 23% | MDD -18.4%
Months 13M (7%)
CAGR 8.4% | Win 61%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 62M (35%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 56%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -31.6%
Months 115M (66%)
CAGR 19.1% | Win 60%
Sharpe 0.98 | Sortino 1.83 | Calmar 1.2
Vol 20% | MDD -16.5%
Months 40M (23%)
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
RSmean
neg
CAGR -31.8% | Win 43%
Sharpe -1.31 | Sortino -1.33 | Calmar -1.8
Vol 26% | MDD -18.1%
Months 7M (4%)
CAGR 14.2% | Win 85%
Sharpe 0.67 | Sortino 0.54 | Calmar 0.6
Vol 24% | MDD -23.5%
Months 13M (7%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
MACD
only
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.3% | Win 56%
Sharpe 0.53 | Sortino 0.86 | Calmar 0.2
Vol 16% | MDD -31.3%
Months 121M (69%)
CAGR 24.8% | Win 62%
Sharpe 1.23 | Sortino 2.09 | Calmar 1.2
Vol 20% | MDD -20.0%
Months 34M (19%)
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
RSmean
neg
CAGR -18.8% | Win 55%
Sharpe -0.73 | Sortino -0.76 | Calmar -0.8
Vol 24% | MDD -23.5%
Months 11M (6%)
CAGR 16.0% | Win 89%
Sharpe 0.69 | Sortino 0.00 | Calmar 0.9
Vol 27% | MDD -17.9%
Months 9M (5%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
RSI
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 6.8% | Win 53%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -31.6%
Months 85M (49%)
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
RSmean
neg		-
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
MACDhist
only
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 58%
Sharpe 0.80 | Sortino 1.26 | Calmar 0.8
Vol 14% | MDD -14.3%
Months 89M (51%)
CAGR 11.1% | Win 56%
Sharpe 0.63 | Sortino 1.15 | Calmar 0.4
Vol 20% | MDD -31.6%
Months 66M (38%)
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
RSmean
neg
CAGR 63.6% | Win 100%
Sharpe 7.05 | Sortino 0.00 | Calmar 0.0
Vol 7% | MDD 0.0%
Months 3M (2%)
CAGR -13.3% | Win 65%
Sharpe -0.40 | Sortino -0.41 | Calmar -0.5
Vol 26% | MDD -25.4%
Months 17M (10%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 58%
Sharpe 0.78 | Sortino 1.34 | Calmar 0.3
Vol 16% | MDD -36.8%
Months 129M (74%)
CAGR 4.8% | Win 54%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.3
Vol 18% | MDD -18.4%
Months 26M (15%)
CAGR 10.9% | Win 57%
Sharpe 0.71 | Sortino 1.18 | Calmar 0.3
Vol 17% | MDD -36.6%
Months 155M (89%)
RSmean
neg
CAGR -3.4% | Win 74%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 26% | MDD -23.5%
Months 19M (11%)
CAGR -26.1% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (11%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.9% | Win 54%
Sharpe 0.40 | Sortino 0.62 | Calmar 0.2
Vol 15% | MDD -25.7%
Months 105M (60%)
CAGR 8.3% | Win 65%
Sharpe 0.46 | Sortino 0.49 | Calmar 0.3
Vol 24% | MDD -26.7%
Months 17M (10%)
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
MACD
neg
CAGR 4.6% | Win 63%
Sharpe 0.31 | Sortino 0.39 | Calmar 0.2
Vol 22% | MDD -23.5%
Months 27M (15%)
CAGR 33.5% | Win 69%
Sharpe 1.62 | Sortino 2.52 | Calmar 2.4
Vol 19% | MDD -14.2%
Months 26M (15%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
RSI
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 18.9% | Win 64%
Sharpe 1.20 | Sortino 2.03 | Calmar 1.3
Vol 16% | MDD -14.3%
Months 63M (36%)
CAGR -7.3% | Win 48%
Sharpe -0.37 | Sortino -0.46 | Calmar -0.2
Vol 17% | MDD -43.1%
Months 59M (34%)
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
MACD
neg
CAGR -5.7% | Win 57%
Sharpe -0.29 | Sortino -0.44 | Calmar -1.3
Vol 16% | MDD -4.5%
Months 7M (4%)
CAGR 22.0% | Win 67%
Sharpe 1.04 | Sortino 1.32 | Calmar 0.9
Vol 21% | MDD -23.5%
Months 46M (26%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
MACDhist
only
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.0% | Win 58%
Sharpe 0.86 | Sortino 1.29 | Calmar 0.8
Vol 13% | MDD -13.8%
Months 64M (37%)
CAGR -0.5% | Win 53%
Sharpe 0.07 | Sortino 0.10 | Calmar -0.0
Vol 19% | MDD -29.0%
Months 58M (33%)
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
MACD
neg
CAGR 15.1% | Win 64%
Sharpe 0.95 | Sortino 1.60 | Calmar 1.9
Vol 16% | MDD -8.1%
Months 28M (16%)
CAGR 21.1% | Win 68%
Sharpe 0.89 | Sortino 1.09 | Calmar 0.9
Vol 25% | MDD -23.5%
Months 25M (14%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.7% | Win 57%
Sharpe 0.47 | Sortino 0.65 | Calmar 0.2
Vol 16% | MDD -30.4%
Months 109M (62%)
CAGR -4.6% | Win 46%
Sharpe -0.23 | Sortino -0.32 | Calmar -0.4
Vol 16% | MDD -11.4%
Months 13M (7%)
CAGR 5.4% | Win 56%
Sharpe 0.40 | Sortino 0.56 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 122M (70%)
MACD
neg
CAGR 20.2% | Win 69%
Sharpe 0.98 | Sortino 1.22 | Calmar 0.9
Vol 21% | MDD -23.5%
Months 39M (22%)
CAGR 11.6% | Win 57%
Sharpe 0.65 | Sortino 0.97 | Calmar 1.1
Vol 20% | MDD -10.8%
Months 14M (8%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (30%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.6% | Win 63%
Sharpe 1.04 | Sortino 1.77 | Calmar 1.0
Vol 16% | MDD -16.2%
Months 65M (37%)
CAGR -5.4% | Win 49%
Sharpe -0.25 | Sortino -0.32 | Calmar -0.2
Vol 17% | MDD -35.9%
Months 67M (38%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
RSI
neg
CAGR 10.5% | Win 60%
Sharpe 1.05 | Sortino 8.59 | Calmar 5.8
Vol 10% | MDD -1.8%
Months 5M (3%)
CAGR 24.7% | Win 68%
Sharpe 1.12 | Sortino 1.36 | Calmar 1.2
Vol 22% | MDD -20.0%
Months 38M (22%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
MACDhist
only
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.5% | Win 59%
Sharpe 0.82 | Sortino 1.32 | Calmar 0.6
Vol 14% | MDD -20.0%
Months 85M (49%)
CAGR -6.2% | Win 51%
Sharpe -0.23 | Sortino -0.31 | Calmar -0.2
Vol 20% | MDD -33.4%
Months 47M (27%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
RSI
neg
CAGR 21.3% | Win 71%
Sharpe 2.36 | Sortino 6.96 | Calmar 16.3
Vol 8% | MDD -1.3%
Months 7M (4%)
CAGR 23.2% | Win 67%
Sharpe 1.04 | Sortino 1.33 | Calmar 1.2
Vol 23% | MDD -20.0%
Months 36M (21%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 6.1% | Win 58%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 17% | MDD -33.6%
Months 119M (68%)
CAGR -5.8% | Win 38%
Sharpe -0.45 | Sortino -0.85 | Calmar -0.4
Vol 12% | MDD -14.5%
Months 13M (7%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.52 | Calmar 0.2
Vol 17% | MDD -31.3%
Months 132M (75%)
RSI
neg
CAGR 28.1% | Win 69%
Sharpe 1.30 | Sortino 1.46 | Calmar 1.6
Vol 21% | MDD -17.9%
Months 29M (17%)
CAGR 12.9% | Win 64%
Sharpe 0.66 | Sortino 0.88 | Calmar 0.7
Vol 22% | MDD -18.4%
Months 14M (8%)
CAGR 22.9% | Win 67%
Sharpe 1.10 | Sortino 1.33 | Calmar 1.1
Vol 21% | MDD -20.0%
Months 43M (25%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 13.9% | Win 64%
Sharpe 0.98 | Sortino 1.42 | Calmar 0.8
Vol 14% | MDD -18.0%
Months 56M (32%)
CAGR 25.6% | Win 57%
Sharpe 1.22 | Sortino 3.62 | Calmar 3.4
Vol 20% | MDD -7.6%
Months 14M (8%)
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
MACDhist
neg
CAGR 9.6% | Win 53%
Sharpe 0.73 | Sortino 1.35 | Calmar 0.7
Vol 14% | MDD -13.0%
Months 36M (21%)
CAGR 1.9% | Win 58%
Sharpe 0.20 | Sortino 0.26 | Calmar 0.1
Vol 22% | MDD -31.6%
Months 69M (39%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
RSIhist
only
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 15.6% | Win 62%
Sharpe 1.00 | Sortino 1.69 | Calmar 0.7
Vol 16% | MDD -23.4%
Months 66M (38%)
CAGR 26.6% | Win 75%
Sharpe 1.86 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 4M (2%)
CAGR 16.2% | Win 63%
Sharpe 1.04 | Sortino 1.76 | Calmar 0.9
Vol 16% | MDD -17.2%
Months 70M (40%)
MACDhist
neg
CAGR 5.8% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.2
Vol 20% | MDD -26.4%
Months 82M (47%)
CAGR -0.1% | Win 48%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 18% | MDD -20.3%
Months 23M (13%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (60%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 13.0% | Win 60%
Sharpe 0.91 | Sortino 1.41 | Calmar 0.8
Vol 15% | MDD -16.9%
Months 81M (46%)
CAGR 6.8% | Win 55%
Sharpe 0.68 | Sortino 1.86 | Calmar 1.8
Vol 10% | MDD -3.7%
Months 11M (6%)
CAGR 12.2% | Win 60%
Sharpe 0.89 | Sortino 1.40 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 92M (53%)
RSIhist
neg
CAGR 6.7% | Win 60%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.3
Vol 21% | MDD -26.4%
Months 67M (38%)
CAGR 1.3% | Win 50%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.1
Vol 22% | MDD -18.4%
Months 16M (9%)
CAGR 5.6% | Win 58%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.2
Vol 21% | MDD -31.6%
Months 83M (47%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.63 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 148M (85%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (15%)