EFNL - iShares MSCI Finland ETF

Signal Pair Analysis

RSmean-RSIhist

Best Pair

63.5%

Best CAGR

48

Total Months

9.5%

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 1.8 63.5 100.0 7.1 0.0 0.0 7.1 0.0
pair RSmean RSIhist neg-pos 3 1.8 63.5 100.0 7.1 0.0 0.0 7.1 0.0
pair RSIhist MRmean neg-pos 3 1.8 58.9 100.0 5.5 0.0 0.0 8.6 0.0
pair MRmean RSIhist neg-pos 3 1.8 58.9 100.0 5.5 0.0 0.0 8.6 0.0
pair RSIhist SLmean neg-pos 4 2.4 45.8 100.0 4.5 0.0 0.0 8.7 0.0
pair SLmean RSIhist neg-pos 4 2.4 45.8 100.0 4.5 0.0 0.0 8.7 0.0
pair SLmean RSI pos-neg 8 4.7 39.4 75.0 3.0 12.1 30.1 11.3 -1.3
pair RSI SLmean pos-neg 8 4.7 39.4 75.0 3.0 12.1 30.1 11.3 -1.3
pair MACD RSI neg-neg 26 15.4 33.5 69.2 1.6 2.5 2.4 19.1 -14.2
pair RSI MACD neg-neg 26 15.4 33.5 69.2 1.6 2.5 2.4 19.1 -14.2
pair RSI LWTI neg-pos 29 17.2 28.1 69.0 1.3 1.5 1.6 20.9 -17.9
pair LWTI RSI neg-pos 29 17.2 28.1 69.0 1.3 1.5 1.6 20.9 -17.9
pair RSI MRmean pos-neg 7 4.1 27.3 71.4 2.8 8.7 20.8 8.8 -1.3
pair MRmean RSI pos-neg 7 4.1 27.3 71.4 2.8 8.7 20.8 8.8 -1.3
pair MACDhist LWTI pos-neg 4 2.4 26.6 75.0 1.9 0.0 0.0 13.1 0.0
pair LWTI MACDhist pos-neg 4 2.4 26.6 75.0 1.9 0.0 0.0 13.1 0.0
pair MRmean SLmean neg-pos 8 4.7 26.3 75.0 2.1 4.3 11.3 11.5 -2.3
pair SLmean MRmean neg-pos 8 4.7 26.3 75.0 2.1 4.3 11.3 11.5 -2.3
pair RSmean RSI pos-neg 34 20.1 24.8 61.8 1.2 2.1 1.2 19.7 -20.0
pair RSI RSmean pos-neg 34 20.1 24.8 61.8 1.2 2.1 1.2 19.7 -20.0
pair RSI MACDhist neg-neg 38 22.5 24.7 68.4 1.1 1.4 1.2 22.1 -20.0
pair MACDhist RSI neg-neg 38 22.5 24.7 68.4 1.1 1.4 1.2 22.1 -20.0
pair SLmean MACDhist neg-pos 10 5.9 24.2 70.0 1.2 3.1 3.2 18.8 -7.6
pair MACDhist SLmean neg-pos 10 5.9 24.2 70.0 1.2 3.1 3.2 18.8 -7.6
pair RSIhist RSI neg-neg 36 21.3 23.3 66.7 1.0 1.3 1.2 22.7 -20.0
pair RSI RSIhist neg-neg 36 21.3 23.3 66.7 1.0 1.3 1.2 22.7 -20.0
single RSI RSI neg-neg 43 25.4 22.9 67.4 1.1 1.3 1.1 21.0 -20.0
pair MRmean RSI neg-neg 36 21.3 22.1 66.7 1.0 1.3 1.1 22.7 -20.0
pair RSI MRmean neg-neg 36 21.3 22.1 66.7 1.0 1.3 1.1 22.7 -20.0
pair MACD MACDhist neg-neg 46 27.2 22.0 67.4 1.0 1.3 0.9 21.3 -23.5
pair MACDhist MACD neg-neg 46 27.2 22.0 67.4 1.0 1.3 0.9 21.3 -23.5
pair RSIhist RSI neg-pos 7 4.1 21.3 71.4 2.4 7.0 16.3 8.4 -1.3
pair RSI RSIhist neg-pos 7 4.1 21.3 71.4 2.4 7.0 16.3 8.4 -1.3
pair MACD RSIhist neg-neg 25 14.8 21.1 68.0 0.9 1.1 0.9 25.2 -23.5
pair RSIhist MACD neg-neg 25 14.8 21.1 68.0 0.9 1.1 0.9 25.2 -23.5
pair MACD LWTI neg-pos 39 23.1 20.2 69.2 1.0 1.2 0.9 21.3 -23.5
pair LWTI MACD neg-pos 39 23.1 20.2 69.2 1.0 1.2 0.9 21.3 -23.5
pair MRmean SLmean pos-neg 8 4.7 19.6 62.5 0.9 2.3 3.3 21.6 -5.9
pair SLmean MRmean pos-neg 8 4.7 19.6 62.5 0.9 2.3 3.3 21.6 -5.9
pair SLmean RSI neg-neg 35 20.7 19.5 65.7 0.9 1.2 0.8 22.7 -25.3
pair RSI SLmean neg-neg 35 20.7 19.5 65.7 0.9 1.2 0.8 22.7 -25.3
pair MACD MACDhist pos-pos 57 33.7 19.1 64.9 1.3 1.9 1.3 14.7 -14.3
pair MRmean MACD neg-neg 25 14.8 19.1 68.0 0.8 1.0 0.8 25.0 -23.5
pair MACD MRmean neg-neg 25 14.8 19.1 68.0 0.8 1.0 0.8 25.0 -23.5
pair MACD RSmean pos-neg 40 23.7 19.1 60.0 1.0 1.8 1.2 19.9 -16.5
pair RSmean MACD pos-neg 40 23.7 19.1 60.0 1.0 1.8 1.2 19.9 -16.5
pair MACDhist MACD pos-pos 57 33.7 19.1 64.9 1.3 1.9 1.3 14.7 -14.3
pair MRmean MACDhist neg-pos 5 3.0 19.0 60.0 1.4 8.9 10.5 13.3 -1.8
pair MACDhist MRmean neg-pos 5 3.0 19.0 60.0 1.4 8.9 10.5 13.3 -1.8
pair MACD SLmean neg-neg 26 15.4 18.0 69.2 0.8 0.9 0.8 24.3 -23.5
pair SLmean MACD neg-neg 26 15.4 18.0 69.2 0.8 0.9 0.8 24.3 -23.5
single MACD MACD neg-neg 53 31.4 17.9 66.0 0.9 1.2 0.8 20.8 -23.5
pair MACD SLmean pos-neg 27 16.0 17.8 63.0 1.0 1.9 2.2 17.2 -8.1
pair SLmean MACD pos-neg 27 16.0 17.8 63.0 1.0 1.9 2.2 17.2 -8.1
pair MRmean MACD pos-neg 28 16.6 16.8 64.3 1.0 1.8 2.1 16.6 -8.1
pair MACD MRmean pos-neg 28 16.6 16.8 64.3 1.0 1.8 2.1 16.6 -8.1
pair RSI MACDhist pos-pos 59 34.9 16.5 64.4 1.1 1.7 1.0 15.3 -16.2
pair MACDhist RSI pos-pos 59 34.9 16.5 64.4 1.1 1.7 1.0 15.3 -16.2
pair MACDhist RSIhist pos-pos 53 31.4 16.4 66.0 1.1 1.6 0.9 14.1 -18.0
pair RSIhist MACDhist pos-pos 53 31.4 16.4 66.0 1.1 1.6 0.9 14.1 -18.0
pair MACDhist RSmean pos-pos 64 37.9 16.1 64.1 1.1 1.7 0.9 14.9 -17.2
pair RSmean MACDhist pos-pos 64 37.9 16.1 64.1 1.1 1.7 0.9 14.9 -17.2
single MACDhist MACDhist pos-pos 64 37.9 16.1 64.1 1.1 1.7 0.9 14.9 -17.2
pair RSmean RSI neg-neg 9 5.3 16.0 88.9 0.7 0.0 0.9 26.6 -17.9
pair RSI RSmean neg-neg 9 5.3 16.0 88.9 0.7 0.0 0.9 26.6 -17.9
pair MRmean MACDhist pos-pos 59 34.9 15.8 64.4 1.1 1.6 0.8 15.2 -20.9
pair MACDhist MRmean pos-pos 59 34.9 15.8 64.4 1.1 1.6 0.8 15.2 -20.9
pair LWTI MACDhist pos-pos 60 35.5 15.4 63.3 1.0 1.6 0.7 15.1 -23.4
pair MACDhist LWTI pos-pos 60 35.5 15.4 63.3 1.0 1.6 0.7 15.1 -23.4
pair MACD RSIhist neg-pos 28 16.6 15.1 64.3 0.9 1.6 1.9 16.3 -8.1
pair RSIhist MACD neg-pos 28 16.6 15.1 64.3 0.9 1.6 1.9 16.3 -8.1
pair MACDhist SLmean pos-pos 54 32.0 14.6 63.0 1.0 1.5 0.7 14.3 -21.9
pair LWTI RSIhist pos-pos 78 46.2 14.6 61.5 1.0 1.5 0.9 14.5 -16.9
pair SLmean MACDhist pos-pos 54 32.0 14.6 63.0 1.0 1.5 0.7 14.3 -21.9
pair RSIhist LWTI pos-pos 78 46.2 14.6 61.5 1.0 1.5 0.9 14.5 -16.9
pair MACDhist RSIhist pos-neg 11 6.5 14.5 54.5 0.8 2.0 1.9 19.2 -7.6
pair RSIhist MACDhist pos-neg 11 6.5 14.5 54.5 0.8 2.0 1.9 19.2 -7.6
pair RSmean MACD neg-neg 13 7.7 14.2 84.6 0.7 0.5 0.6 24.2 -23.5
pair MACD RSmean neg-neg 13 7.7 14.2 84.6 0.7 0.5 0.6 24.2 -23.5
single RSIhist RSIhist pos-pos 89 52.7 13.6 60.7 1.0 1.5 0.9 14.0 -14.3
pair RSIhist RSI pos-pos 82 48.5 13.0 59.8 0.9 1.4 0.7 14.4 -20.0
pair RSI RSIhist pos-pos 82 48.5 13.0 59.8 0.9 1.4 0.7 14.4 -20.0
pair LWTI RSI neg-neg 14 8.3 12.9 64.3 0.7 0.9 0.7 21.9 -18.4
pair RSI LWTI neg-neg 14 8.3 12.9 64.3 0.7 0.9 0.7 21.9 -18.4
pair MACD RSIhist pos-pos 61 36.1 12.9 59.0 1.0 1.5 0.9 12.9 -13.8
pair RSIhist MACD pos-pos 61 36.1 12.9 59.0 1.0 1.5 0.9 12.9 -13.8
pair MRmean RSIhist pos-pos 86 50.9 12.3 59.3 0.9 1.4 0.9 14.1 -14.3
pair RSIhist MRmean pos-pos 86 50.9 12.3 59.3 0.9 1.4 0.9 14.1 -14.3
pair RSIhist SLmean pos-pos 85 50.3 12.3 58.8 0.9 1.4 0.9 14.1 -14.3
pair SLmean RSIhist pos-pos 85 50.3 12.3 58.8 0.9 1.4 0.9 14.1 -14.3
pair RSmean RSIhist pos-pos 86 50.9 12.2 59.3 0.9 1.4 0.8 14.1 -14.3
pair RSIhist RSmean pos-pos 86 50.9 12.2 59.3 0.9 1.4 0.8 14.1 -14.3
pair LWTI RSmean pos-pos 123 72.8 12.0 58.5 0.8 1.3 0.3 16.2 -36.8
pair RSmean LWTI pos-pos 123 72.8 12.0 58.5 0.8 1.3 0.3 16.2 -36.8
pair MRmean RSmean neg-pos 45 26.6 11.8 57.8 0.7 1.1 0.4 19.3 -27.9
pair RSmean MRmean neg-pos 45 26.6 11.8 57.8 0.7 1.1 0.4 19.3 -27.9
pair MACD LWTI neg-neg 14 8.3 11.6 57.1 0.7 1.0 1.1 19.8 -10.8
pair LWTI MACD neg-neg 14 8.3 11.6 57.1 0.7 1.0 1.1 19.8 -10.8
pair SLmean LWTI pos-pos 94 55.6 11.5 60.6 0.8 1.2 0.5 14.8 -24.9
pair LWTI SLmean pos-pos 94 55.6 11.5 60.6 0.8 1.2 0.5 14.8 -24.9
pair SLmean RSmean neg-pos 45 26.6 10.7 55.6 0.6 1.1 0.4 20.6 -27.9
single RSmean RSmean pos-pos 149 88.2 10.7 57.7 0.7 1.1 0.3 16.5 -36.6
pair RSmean SLmean pos-pos 104 61.5 10.7 58.7 0.8 1.2 0.5 14.5 -22.5
pair SLmean RSmean pos-pos 104 61.5 10.7 58.7 0.8 1.2 0.5 14.5 -22.5
pair RSmean SLmean neg-pos 45 26.6 10.7 55.6 0.6 1.1 0.4 20.6 -27.9
pair MACDhist RSI neg-pos 5 3.0 10.6 60.0 1.1 8.6 5.8 10.0 -1.8
pair MRmean LWTI pos-pos 96 56.8 10.6 59.4 0.7 1.1 0.4 15.5 -25.8
pair RSI MACDhist neg-pos 5 3.0 10.6 60.0 1.1 8.6 5.8 10.0 -1.8
pair LWTI MRmean pos-pos 96 56.8 10.6 59.4 0.7 1.1 0.4 15.5 -25.8
pair MRmean RSmean pos-pos 104 61.5 10.2 57.7 0.7 1.1 0.5 15.2 -21.4
pair LWTI SLmean neg-neg 13 7.7 10.2 61.5 0.5 0.8 0.6 23.0 -18.4
pair RSmean MRmean pos-pos 104 61.5 10.2 57.7 0.7 1.1 0.5 15.2 -21.4
pair SLmean LWTI neg-neg 13 7.7 10.2 61.5 0.5 0.8 0.6 23.0 -18.4
single LWTI LWTI pos-pos 142 84.0 9.8 60.6 0.6 0.8 0.3 17.8 -36.8
pair MACDhist RSIhist neg-pos 36 21.3 9.6 52.8 0.7 1.4 0.7 14.0 -13.0
single SLmean SLmean pos-pos 108 63.9 9.6 58.3 0.7 1.1 0.4 14.4 -22.5
pair RSIhist MACDhist neg-pos 36 21.3 9.6 52.8 0.7 1.4 0.7 14.0 -13.0
single MRmean MRmean pos-pos 108 63.9 9.1 57.4 0.7 1.0 0.4 15.1 -21.4
pair RSIhist RSmean pos-neg 63 37.3 8.7 55.6 0.5 0.9 0.3 19.4 -31.6
pair RSmean RSIhist pos-neg 63 37.3 8.7 55.6 0.5 0.9 0.3 19.4 -31.6
pair benchmark___benchmark_ benchmark-benchmark 169 100.0 8.7 59.2 0.6 0.8 0.2 17.7 -36.6
pair benchmark___benchmark_ benchmark-benchmark 169 100.0 8.7 59.2 0.6 0.8 0.2 17.7 -36.6
pair MRmean LWTI neg-neg 15 8.9 8.4 60.0 0.5 0.7 0.5 21.4 -18.4
pair LWTI MRmean neg-neg 15 8.9 8.4 60.0 0.5 0.7 0.5 21.4 -18.4
pair RSI MACD pos-neg 17 10.1 8.3 64.7 0.5 0.5 0.3 23.8 -26.7
pair MACD RSI pos-neg 17 10.1 8.3 64.7 0.5 0.5 0.3 23.8 -26.7
pair SLmean MRmean pos-pos 100 59.2 8.3 57.0 0.6 0.9 0.4 14.6 -22.5
pair MRmean SLmean pos-pos 100 59.2 8.3 57.0 0.6 0.9 0.4 14.6 -22.5
single MRmean MRmean neg-neg 61 36.1 8.1 62.3 0.5 0.6 0.3 21.6 -27.9
pair MRmean RSI pos-pos 101 59.8 8.0 56.4 0.6 0.9 0.3 15.5 -27.4
pair RSI MRmean pos-pos 101 59.8 8.0 56.4 0.6 0.9 0.3 15.5 -27.4
pair LWTI MRmean neg-pos 46 27.2 8.0 63.0 0.5 0.5 0.3 21.9 -23.5
pair MRmean LWTI neg-pos 46 27.2 8.0 63.0 0.5 0.5 0.3 21.9 -23.5
pair RSmean MACD pos-pos 109 64.5 7.7 56.9 0.6 0.8 0.2 15.1 -31.6
pair MACD RSmean pos-pos 109 64.5 7.7 56.9 0.6 0.8 0.2 15.1 -31.6
pair RSI SLmean pos-pos 100 59.2 7.5 57.0 0.6 0.8 0.3 14.6 -27.7
pair SLmean RSI pos-pos 100 59.2 7.5 57.0 0.6 0.8 0.3 14.6 -27.7
single SLmean SLmean neg-neg 61 36.1 7.3 60.7 0.4 0.6 0.3 22.5 -27.9
pair MRmean MACDhist neg-neg 56 33.1 7.2 62.5 0.4 0.5 0.3 22.3 -27.9
pair MACDhist MRmean neg-neg 56 33.1 7.2 62.5 0.4 0.5 0.3 22.3 -27.9
pair SLmean MACD pos-pos 81 47.9 6.9 56.8 0.6 0.8 0.4 13.4 -18.9
pair MACD SLmean pos-pos 81 47.9 6.9 56.8 0.6 0.8 0.4 13.4 -18.9
pair RSI RSmean pos-pos 115 68.0 6.8 56.5 0.5 0.8 0.2 15.3 -31.3
pair RSmean RSI pos-pos 115 68.0 6.8 56.5 0.5 0.8 0.2 15.3 -31.3
pair RSIhist LWTI pos-neg 11 6.5 6.8 54.5 0.7 1.9 1.8 10.5 -3.7
pair LWTI RSIhist pos-neg 11 6.5 6.8 54.5 0.7 1.9 1.8 10.5 -3.7
pair MACDhist RSmean pos-neg 85 50.3 6.8 52.9 0.5 0.8 0.2 17.6 -31.6
pair RSmean MACDhist pos-neg 85 50.3 6.8 52.9 0.5 0.8 0.2 17.6 -31.6
pair MACD MRmean pos-pos 80 47.3 6.6 55.0 0.5 0.8 0.3 14.6 -22.0
pair MRmean MACD pos-pos 80 47.3 6.6 55.0 0.5 0.8 0.3 14.6 -22.0
pair SLmean LWTI neg-pos 48 28.4 6.5 60.4 0.4 0.5 0.3 22.6 -23.5
pair LWTI SLmean neg-pos 48 28.4 6.5 60.4 0.4 0.5 0.3 22.6 -23.5
pair MACD LWTI pos-pos 103 60.9 6.1 57.3 0.5 0.6 0.2 16.2 -30.4
pair LWTI MACD pos-pos 103 60.9 6.1 57.3 0.5 0.6 0.2 16.2 -30.4
pair MRmean RSIhist neg-neg 58 34.3 6.0 60.3 0.4 0.5 0.2 22.0 -27.9
pair RSIhist MRmean neg-neg 58 34.3 6.0 60.3 0.4 0.5 0.2 22.0 -27.9
pair MACDhist LWTI neg-pos 82 48.5 5.8 58.5 0.4 0.5 0.2 19.5 -26.4
pair LWTI MACDhist neg-pos 82 48.5 5.8 58.5 0.4 0.5 0.2 19.5 -26.4
pair SLmean MRmean neg-neg 53 31.4 5.6 60.4 0.3 0.5 0.2 22.8 -29.6
pair MRmean SLmean neg-neg 53 31.4 5.6 60.4 0.3 0.5 0.2 22.8 -29.6
pair LWTI RSI pos-pos 113 66.9 5.5 58.4 0.4 0.5 0.2 16.8 -33.6
pair RSI LWTI pos-pos 113 66.9 5.5 58.4 0.4 0.5 0.2 16.8 -33.6
pair SLmean RSIhist neg-neg 57 33.7 5.0 57.9 0.3 0.5 0.2 23.1 -27.9
pair RSIhist SLmean neg-neg 57 33.7 5.0 57.9 0.3 0.5 0.2 23.1 -27.9
single MACD MACD pos-pos 116 68.6 4.8 56.0 0.4 0.5 0.1 16.1 -31.6
pair LWTI RSmean pos-neg 26 15.4 4.8 53.8 0.3 0.5 0.3 17.9 -18.4
pair RSmean LWTI pos-neg 26 15.4 4.8 53.8 0.3 0.5 0.3 17.9 -18.4
pair MACDhist SLmean pos-neg 54 32.0 4.7 53.7 0.4 0.6 0.2 14.6 -22.7
pair SLmean MACDhist pos-neg 54 32.0 4.7 53.7 0.4 0.6 0.2 14.6 -22.7
single MACDhist MACDhist neg-neg 105 62.1 4.5 56.2 0.3 0.4 0.1 19.2 -31.6
pair MACD RSI neg-pos 27 16.0 4.5 63.0 0.3 0.4 0.2 22.0 -23.5
pair RSI MACD neg-pos 27 16.0 4.5 63.0 0.3 0.4 0.2 22.0 -23.5
pair SLmean MACDhist neg-neg 51 30.2 4.3 58.8 0.3 0.4 0.1 23.2 -33.2
pair MACDhist SLmean neg-neg 51 30.2 4.3 58.8 0.3 0.4 0.1 23.2 -33.2
single RSI RSI pos-pos 126 74.6 4.3 56.3 0.3 0.5 0.1 16.3 -31.3
pair MACD RSI pos-pos 99 58.6 4.2 54.5 0.4 0.5 0.2 14.5 -25.7
pair LWTI RSIhist neg-pos 64 37.9 4.2 59.4 0.3 0.4 0.2 21.1 -26.4
pair RSIhist LWTI neg-pos 64 37.9 4.2 59.4 0.3 0.4 0.2 21.1 -26.4
pair RSI MACD pos-pos 99 58.6 4.2 54.5 0.4 0.5 0.2 14.5 -25.7
single RSIhist RSIhist neg-neg 80 47.3 3.6 57.5 0.3 0.4 0.1 21.1 -31.6
single LWTI LWTI neg-neg 27 16.0 3.5 51.9 0.3 0.4 0.2 17.6 -20.3
pair MACDhist RSIhist neg-neg 69 40.8 1.9 58.0 0.2 0.3 0.1 21.5 -31.6
pair RSIhist MACDhist neg-neg 69 40.8 1.9 58.0 0.2 0.3 0.1 21.5 -31.6
pair MACDhist MRmean pos-neg 49 29.0 1.6 49.0 0.2 0.3 0.1 15.0 -31.1
pair MRmean MACDhist pos-neg 49 29.0 1.6 49.0 0.2 0.3 0.1 15.0 -31.1
pair RSIhist LWTI neg-neg 16 9.5 1.3 50.0 0.2 0.2 0.1 21.6 -18.4
pair LWTI RSIhist neg-neg 16 9.5 1.3 50.0 0.2 0.2 0.1 21.6 -18.4
pair MACD MRmean neg-pos 36 21.3 1.0 58.3 0.1 0.2 0.0 19.1 -30.6
pair MRmean MACD neg-pos 36 21.3 1.0 58.3 0.1 0.2 0.0 19.1 -30.6
pair SLmean RSIhist pos-neg 23 13.6 0.1 56.5 0.1 0.1 0.0 15.5 -19.8
pair RSIhist SLmean pos-neg 23 13.6 0.1 56.5 0.1 0.1 0.0 15.5 -19.8
pair SLmean MACD neg-pos 35 20.7 0.0 54.3 0.1 0.1 0.0 21.2 -22.3
pair MACD SLmean neg-pos 35 20.7 0.0 54.3 0.1 0.1 0.0 21.2 -22.3
pair LWTI MACDhist neg-neg 23 13.6 -0.1 47.8 0.1 0.1 -0.0 18.4 -20.3
pair MACDhist LWTI neg-neg 23 13.6 -0.1 47.8 0.1 0.1 -0.0 18.4 -20.3
pair SLmean RSmean neg-neg 16 9.5 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair MRmean RSmean neg-neg 16 9.5 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair RSmean MRmean neg-neg 16 9.5 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair RSmean SLmean neg-neg 16 9.5 -1.7 75.0 0.1 0.1 -0.1 27.8 -23.5
pair SLmean LWTI pos-neg 14 8.3 -2.4 42.9 -0.2 -0.3 -0.3 11.3 -9.1
pair LWTI MRmean pos-neg 12 7.1 -2.4 41.7 -0.1 -0.3 -0.3 12.0 -9.1
pair MRmean LWTI pos-neg 12 7.1 -2.4 41.7 -0.1 -0.3 -0.3 12.0 -9.1
pair RSIhist MRmean pos-neg 22 13.0 -2.4 50.0 -0.0 -0.1 -0.1 18.9 -24.6
pair MRmean RSIhist pos-neg 22 13.0 -2.4 50.0 -0.0 -0.1 -0.1 18.9 -24.6
pair LWTI SLmean pos-neg 14 8.3 -2.4 42.9 -0.2 -0.3 -0.3 11.3 -9.1
pair LWTI RSmean neg-pos 19 11.2 -3.4 73.7 0.0 0.0 -0.1 25.9 -23.5
pair RSmean LWTI neg-pos 19 11.2 -3.4 73.7 0.0 0.0 -0.1 25.9 -23.5
pair MACD RSIhist pos-neg 55 32.5 -3.5 52.7 -0.1 -0.1 -0.1 18.8 -29.0
pair RSIhist MACD pos-neg 55 32.5 -3.5 52.7 -0.1 -0.1 -0.1 18.8 -29.0
pair LWTI MACD pos-neg 13 7.7 -4.6 46.2 -0.2 -0.3 -0.4 15.5 -11.4
pair MACD LWTI pos-neg 13 7.7 -4.6 46.2 -0.2 -0.3 -0.4 15.5 -11.4
single RSmean RSmean neg-neg 20 11.8 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair MACDhist RSmean neg-neg 20 11.8 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair RSmean MACDhist neg-neg 20 11.8 -4.6 70.0 -0.1 -0.1 -0.2 25.3 -23.5
pair RSI MACDhist pos-neg 67 39.6 -5.4 49.3 -0.2 -0.3 -0.1 16.8 -35.9
pair MACDhist RSI pos-neg 67 39.6 -5.4 49.3 -0.2 -0.3 -0.1 16.8 -35.9
pair MACDhist MACD neg-pos 7 4.1 -5.7 57.1 -0.3 -0.4 -1.3 16.4 -4.5
pair MACD MACDhist neg-pos 7 4.1 -5.7 57.1 -0.3 -0.4 -1.3 16.4 -4.5
pair LWTI RSI pos-neg 13 7.7 -5.8 38.5 -0.5 -0.8 -0.4 11.7 -14.5
pair RSI LWTI pos-neg 13 7.7 -5.8 38.5 -0.5 -0.8 -0.4 11.7 -14.5
pair SLmean RSI neg-pos 26 15.4 -7.1 53.8 -0.2 -0.3 -0.3 21.9 -23.5
pair RSI SLmean neg-pos 26 15.4 -7.1 53.8 -0.2 -0.3 -0.3 21.9 -23.5
pair MACDhist MACD pos-neg 59 34.9 -7.3 47.5 -0.4 -0.5 -0.2 16.7 -43.1
pair MACD MACDhist pos-neg 59 34.9 -7.3 47.5 -0.4 -0.5 -0.2 16.7 -43.1
pair RSI MRmean neg-pos 25 14.8 -9.3 56.0 -0.4 -0.4 -0.4 19.2 -23.5
pair MRmean RSI neg-pos 25 14.8 -9.3 56.0 -0.4 -0.4 -0.4 19.2 -23.5
pair RSIhist RSI pos-neg 44 26.0 -10.2 50.0 -0.5 -0.6 -0.3 18.9 -33.4
pair RSI RSIhist pos-neg 44 26.0 -10.2 50.0 -0.5 -0.6 -0.3 18.9 -33.4
pair RSIhist RSmean neg-neg 17 10.1 -13.3 64.7 -0.4 -0.4 -0.5 26.5 -25.4
pair RSmean RSIhist neg-neg 17 10.1 -13.3 64.7 -0.4 -0.4 -0.5 26.5 -25.4
pair MRmean RSmean pos-neg 4 2.4 -15.7 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean MRmean pos-neg 4 2.4 -15.7 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair SLmean RSmean pos-neg 4 2.4 -15.7 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean SLmean pos-neg 4 2.4 -15.7 50.0 -1.3 -1.4 -9.5 12.5 -1.7
pair RSmean RSI neg-pos 11 6.5 -18.8 54.5 -0.7 -0.8 -0.8 24.3 -23.5
pair RSI RSmean neg-pos 11 6.5 -18.8 54.5 -0.7 -0.8 -0.8 24.3 -23.5
pair RSmean LWTI neg-neg 1 0.6 -26.2 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.6 -26.2 0.0 0.0 0.0 0.0 - 0.0
pair MACD RSmean neg-pos 7 4.1 -31.8 42.9 -1.3 -1.3 -1.8 26.3 -18.1
pair RSmean MACD neg-pos 7 4.1 -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 8.3% | Win 57%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.4
Vol 15% | MDD -22.5%
Months 100M (59%)
CAGR 19.6% | Win 62%
Sharpe 0.92 | Sortino 2.28 | Calmar 3.3
Vol 22% | MDD -5.9%
Months 8M (5%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
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 (31%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
SLmean
only
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 58%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.5
Vol 15% | MDD -21.4%
Months 104M (62%)
CAGR -15.7% | Win 50%
Sharpe -1.30 | Sortino -1.43 | Calmar -9.5
Vol 12% | MDD -1.7%
Months 4M (2%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
MRmean
neg
CAGR 11.8% | Win 58%
Sharpe 0.67 | Sortino 1.15 | Calmar 0.4
Vol 19% | MDD -27.9%
Months 45M (27%)
CAGR -1.7% | Win 75%
Sharpe 0.08 | Sortino 0.08 | Calmar -0.1
Vol 28% | MDD -23.5%
Months 16M (10%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
RSmean
only
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.6% | Win 55%
Sharpe 0.51 | Sortino 0.77 | Calmar 0.3
Vol 15% | MDD -22.0%
Months 80M (47%)
CAGR 16.8% | Win 64%
Sharpe 1.02 | Sortino 1.76 | Calmar 2.1
Vol 17% | MDD -8.1%
Months 28M (17%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
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 (15%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (31%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.0% | Win 56%
Sharpe 0.57 | Sortino 0.92 | Calmar 0.3
Vol 16% | MDD -27.4%
Months 101M (60%)
CAGR 27.3% | Win 71%
Sharpe 2.79 | Sortino 8.70 | Calmar 20.8
Vol 9% | MDD -1.3%
Months 7M (4%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
MRmean
neg
CAGR -9.3% | Win 56%
Sharpe -0.41 | Sortino -0.43 | Calmar -0.4
Vol 19% | MDD -23.5%
Months 25M (15%)
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 (36%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (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 15.8% | Win 64%
Sharpe 1.05 | Sortino 1.58 | Calmar 0.8
Vol 15% | MDD -20.9%
Months 59M (35%)
CAGR 1.6% | Win 49%
Sharpe 0.18 | Sortino 0.28 | Calmar 0.1
Vol 15% | MDD -31.1%
Months 49M (29%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
MRmean
neg
CAGR 19.0% | Win 60%
Sharpe 1.36 | Sortino 8.89 | 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 (33%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
MACDhist
only
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.3% | Win 59%
Sharpe 0.90 | Sortino 1.39 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 86M (51%)
CAGR -2.4% | Win 50%
Sharpe -0.04 | Sortino -0.07 | Calmar -0.1
Vol 19% | MDD -24.6%
Months 22M (13%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
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 (34%)
CAGR 8.1% | Win 62%
Sharpe 0.47 | Sortino 0.58 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
RSIhist
only
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 59%
Sharpe 0.73 | Sortino 1.14 | Calmar 0.4
Vol 16% | MDD -25.8%
Months 96M (57%)
CAGR -2.4% | Win 42%
Sharpe -0.15 | Sortino -0.26 | Calmar -0.3
Vol 12% | MDD -9.1%
Months 12M (7%)
CAGR 9.1% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.4
Vol 15% | MDD -21.4%
Months 108M (64%)
MRmean
neg
CAGR 8.0% | Win 63%
Sharpe 0.46 | Sortino 0.54 | Calmar 0.3
Vol 22% | MDD -23.5%
Months 46M (27%)
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 (36%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.7% | Win 59%
Sharpe 0.78 | Sortino 1.16 | Calmar 0.5
Vol 14% | MDD -22.5%
Months 104M (62%)
CAGR -15.7% | Win 50%
Sharpe -1.30 | Sortino -1.43 | Calmar -9.5
Vol 12% | MDD -1.7%
Months 4M (2%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
SLmean
neg
CAGR 10.7% | Win 56%
Sharpe 0.59 | Sortino 1.13 | Calmar 0.4
Vol 21% | MDD -27.9%
Months 45M (27%)
CAGR -1.7% | Win 75%
Sharpe 0.08 | Sortino 0.08 | Calmar -0.1
Vol 28% | MDD -23.5%
Months 16M (10%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
RSmean
only
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.9% | Win 57%
Sharpe 0.57 | Sortino 0.79 | Calmar 0.4
Vol 13% | MDD -18.9%
Months 81M (48%)
CAGR 17.8% | Win 63%
Sharpe 1.04 | Sortino 1.86 | Calmar 2.2
Vol 17% | MDD -8.1%
Months 27M (16%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
SLmean
neg
CAGR 0.0% | Win 54%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 21% | MDD -22.3%
Months 35M (21%)
CAGR 18.0% | Win 69%
Sharpe 0.81 | Sortino 0.95 | Calmar 0.8
Vol 24% | MDD -23.5%
Months 26M (15%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (31%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 7.5% | Win 57%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.3
Vol 15% | MDD -27.7%
Months 100M (59%)
CAGR 39.4% | Win 75%
Sharpe 3.03 | Sortino 12.06 | Calmar 30.1
Vol 11% | MDD -1.3%
Months 8M (5%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
SLmean
neg
CAGR -7.1% | Win 54%
Sharpe -0.23 | Sortino -0.29 | Calmar -0.3
Vol 22% | MDD -23.5%
Months 26M (15%)
CAGR 19.5% | Win 66%
Sharpe 0.90 | Sortino 1.16 | Calmar 0.8
Vol 23% | MDD -25.3%
Months 35M (21%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (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 14.6% | Win 63%
Sharpe 1.03 | Sortino 1.46 | Calmar 0.7
Vol 14% | MDD -21.9%
Months 54M (32%)
CAGR 4.7% | Win 54%
Sharpe 0.39 | Sortino 0.60 | Calmar 0.2
Vol 15% | MDD -22.7%
Months 54M (32%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
SLmean
neg
CAGR 24.2% | Win 70%
Sharpe 1.25 | Sortino 3.13 | Calmar 3.2
Vol 19% | MDD -7.6%
Months 10M (6%)
CAGR 4.3% | Win 59%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.1
Vol 23% | MDD -33.2%
Months 51M (30%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
MACDhist
only
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 12.3% | Win 59%
Sharpe 0.89 | Sortino 1.39 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 85M (50%)
CAGR 0.1% | Win 56%
Sharpe 0.08 | Sortino 0.11 | Calmar 0.0
Vol 16% | MDD -19.8%
Months 23M (14%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
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 5.0% | Win 58%
Sharpe 0.33 | Sortino 0.45 | Calmar 0.2
Vol 23% | MDD -27.9%
Months 57M (34%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
RSIhist
only
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.5% | Win 61%
Sharpe 0.81 | Sortino 1.18 | Calmar 0.5
Vol 15% | MDD -24.9%
Months 94M (56%)
CAGR -2.4% | Win 43%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.3
Vol 11% | MDD -9.1%
Months 14M (8%)
CAGR 9.6% | Win 58%
Sharpe 0.71 | Sortino 1.06 | Calmar 0.4
Vol 14% | MDD -22.5%
Months 108M (64%)
SLmean
neg
CAGR 6.5% | Win 60%
Sharpe 0.40 | Sortino 0.50 | Calmar 0.3
Vol 23% | MDD -23.5%
Months 48M (28%)
CAGR 10.2% | Win 62%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.6
Vol 23% | MDD -18.4%
Months 13M (8%)
CAGR 7.3% | Win 61%
Sharpe 0.43 | Sortino 0.57 | Calmar 0.3
Vol 22% | MDD -27.9%
Months 61M (36%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 7.7% | Win 57%
Sharpe 0.57 | Sortino 0.85 | Calmar 0.2
Vol 15% | MDD -31.6%
Months 109M (64%)
CAGR 19.1% | Win 60%
Sharpe 0.98 | Sortino 1.83 | Calmar 1.2
Vol 20% | MDD -16.5%
Months 40M (24%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
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 (8%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (12%)
MACD
only
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (31%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 6.8% | Win 56%
Sharpe 0.51 | Sortino 0.79 | Calmar 0.2
Vol 15% | MDD -31.3%
Months 115M (68%)
CAGR 24.8% | Win 62%
Sharpe 1.23 | Sortino 2.09 | Calmar 1.2
Vol 20% | MDD -20.0%
Months 34M (20%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
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 (12%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (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 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 6.8% | Win 53%
Sharpe 0.46 | Sortino 0.77 | Calmar 0.2
Vol 18% | MDD -31.6%
Months 85M (50%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
RSmean
neg		-
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (12%)
CAGR -4.6% | Win 70%
Sharpe -0.06 | Sortino -0.06 | Calmar -0.2
Vol 25% | MDD -23.5%
Months 20M (12%)
MACDhist
only
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 59%
Sharpe 0.89 | Sortino 1.38 | Calmar 0.9
Vol 14% | MDD -14.3%
Months 86M (51%)
CAGR 8.7% | Win 56%
Sharpe 0.52 | Sortino 0.92 | Calmar 0.3
Vol 19% | MDD -31.6%
Months 63M (37%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
RSmean
neg
CAGR 63.5% | Win 100%
Sharpe 7.06 | 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 (12%)
RSIhist
only
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 12.0% | Win 58%
Sharpe 0.78 | Sortino 1.29 | Calmar 0.3
Vol 16% | MDD -36.8%
Months 123M (73%)
CAGR 4.8% | Win 54%
Sharpe 0.35 | Sortino 0.52 | Calmar 0.3
Vol 18% | MDD -18.4%
Months 26M (15%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.13 | Calmar 0.3
Vol 16% | MDD -36.6%
Months 149M (88%)
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 -26.2% | 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 (12%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.2% | Win 55%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.2
Vol 14% | MDD -25.7%
Months 99M (59%)
CAGR 8.3% | Win 65%
Sharpe 0.46 | Sortino 0.49 | Calmar 0.3
Vol 24% | MDD -26.7%
Months 17M (10%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
MACD
neg
CAGR 4.5% | Win 63%
Sharpe 0.31 | Sortino 0.39 | Calmar 0.2
Vol 22% | MDD -23.5%
Months 27M (16%)
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 (31%)
RSI
only
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (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 19.1% | Win 65%
Sharpe 1.26 | Sortino 1.94 | Calmar 1.3
Vol 15% | MDD -14.3%
Months 57M (34%)
CAGR -7.3% | Win 48%
Sharpe -0.37 | Sortino -0.46 | Calmar -0.2
Vol 17% | MDD -43.1%
Months 59M (35%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
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 (27%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (31%)
MACDhist
only
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 12.9% | Win 59%
Sharpe 1.01 | Sortino 1.47 | Calmar 0.9
Vol 13% | MDD -13.8%
Months 61M (36%)
CAGR -3.5% | Win 53%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -29.0%
Months 55M (32%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
MACD
neg
CAGR 15.1% | Win 64%
Sharpe 0.95 | Sortino 1.60 | Calmar 1.9
Vol 16% | MDD -8.1%
Months 28M (17%)
CAGR 21.1% | Win 68%
Sharpe 0.89 | Sortino 1.09 | Calmar 0.9
Vol 25% | MDD -23.5%
Months 25M (15%)
CAGR 17.9% | Win 66%
Sharpe 0.90 | Sortino 1.19 | Calmar 0.8
Vol 21% | MDD -23.5%
Months 53M (31%)
RSIhist
only
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.1% | Win 57%
Sharpe 0.45 | Sortino 0.58 | Calmar 0.2
Vol 16% | MDD -30.4%
Months 103M (61%)
CAGR -4.6% | Win 46%
Sharpe -0.23 | Sortino -0.32 | Calmar -0.4
Vol 16% | MDD -11.4%
Months 13M (8%)
CAGR 4.8% | Win 56%
Sharpe 0.37 | Sortino 0.49 | Calmar 0.2
Vol 16% | MDD -31.6%
Months 116M (69%)
MACD
neg
CAGR 20.2% | Win 69%
Sharpe 0.98 | Sortino 1.22 | Calmar 0.9
Vol 21% | MDD -23.5%
Months 39M (23%)
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 (31%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 16.5% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 1.0
Vol 15% | MDD -16.2%
Months 59M (35%)
CAGR -5.4% | Win 49%
Sharpe -0.25 | Sortino -0.32 | Calmar -0.2
Vol 17% | MDD -35.9%
Months 67M (40%)
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (75%)
RSI
neg
CAGR 10.6% | Win 60%
Sharpe 1.05 | Sortino 8.63 | Calmar 5.9
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 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 60%
Sharpe 0.92 | Sortino 1.45 | Calmar 0.6
Vol 14% | MDD -20.0%
Months 82M (48%)
CAGR -10.2% | Win 50%
Sharpe -0.47 | Sortino -0.60 | Calmar -0.3
Vol 19% | MDD -33.4%
Months 44M (26%)
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (75%)
RSI
neg
CAGR 21.3% | Win 71%
Sharpe 2.36 | Sortino 6.98 | Calmar 16.3
Vol 8% | MDD -1.3%
Months 7M (4%)
CAGR 23.3% | 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 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.5% | Win 58%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 17% | MDD -33.6%
Months 113M (67%)
CAGR -5.8% | Win 38%
Sharpe -0.45 | Sortino -0.85 | Calmar -0.4
Vol 12% | MDD -14.5%
Months 13M (8%)
CAGR 4.3% | Win 56%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 16% | MDD -31.3%
Months 126M (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 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 16.4% | Win 66%
Sharpe 1.15 | Sortino 1.57 | Calmar 0.9
Vol 14% | MDD -18.0%
Months 53M (31%)
CAGR 14.5% | Win 55%
Sharpe 0.79 | Sortino 1.98 | Calmar 1.9
Vol 19% | MDD -7.6%
Months 11M (6%)
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
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 (41%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
RSIhist
only
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 15.4% | Win 63%
Sharpe 1.03 | Sortino 1.58 | Calmar 0.7
Vol 15% | MDD -23.4%
Months 60M (36%)
CAGR 26.6% | Win 75%
Sharpe 1.86 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 4M (2%)
CAGR 16.1% | Win 64%
Sharpe 1.08 | Sortino 1.66 | Calmar 0.9
Vol 15% | MDD -17.2%
Months 64M (38%)
MACDhist
neg
CAGR 5.8% | Win 58%
Sharpe 0.39 | Sortino 0.49 | Calmar 0.2
Vol 20% | MDD -26.4%
Months 82M (48%)
CAGR -0.1% | Win 48%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 18% | MDD -20.3%
Months 23M (14%)
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.1
Vol 19% | MDD -31.6%
Months 105M (62%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 14.6% | Win 62%
Sharpe 1.02 | Sortino 1.53 | Calmar 0.9
Vol 14% | MDD -16.9%
Months 78M (46%)
CAGR 6.8% | Win 55%
Sharpe 0.68 | Sortino 1.86 | Calmar 1.8
Vol 10% | MDD -3.7%
Months 11M (6%)
CAGR 13.6% | Win 61%
Sharpe 0.98 | Sortino 1.52 | Calmar 1.0
Vol 14% | MDD -14.3%
Months 89M (53%)
RSIhist
neg
CAGR 4.2% | Win 59%
Sharpe 0.30 | Sortino 0.39 | Calmar 0.2
Vol 21% | MDD -26.4%
Months 64M (38%)
CAGR 1.3% | Win 50%
Sharpe 0.16 | Sortino 0.25 | Calmar 0.1
Vol 22% | MDD -18.4%
Months 16M (10%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.37 | Calmar 0.1
Vol 21% | MDD -31.6%
Months 80M (47%)
LWTI
only
CAGR 9.8% | Win 61%
Sharpe 0.62 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -36.8%
Months 142M (84%)
CAGR 3.5% | Win 52%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.2
Vol 18% | MDD -20.3%
Months 27M (16%)