EIDO - iShares MSCI Indonesia ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

191.2%

Best CAGR

55

Total Months

2.3%

Avg CAGR

EIDO 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 EIDO

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean RSI neg-neg 1 0.5 191.2 100.0 0.0 0.0 0.0 - 0.0
pair RSI RSmean neg-neg 1 0.5 191.2 100.0 0.0 0.0 0.0 - 0.0
pair RSIhist MRmean neg-pos 11 5.7 51.6 72.7 1.7 2.0 4.3 26.1 -11.9
pair MRmean RSIhist neg-pos 11 5.7 51.6 72.7 1.7 2.0 4.3 26.1 -11.9
pair MRmean LWTI neg-neg 31 16.1 45.0 74.2 1.6 2.3 2.1 24.7 -21.5
pair LWTI MRmean neg-neg 31 16.1 45.0 74.2 1.6 2.3 2.1 24.7 -21.5
pair RSIhist LWTI neg-neg 20 10.4 41.4 75.0 1.6 2.3 1.9 24.6 -21.5
pair LWTI RSIhist neg-neg 20 10.4 41.4 75.0 1.6 2.3 1.9 24.6 -21.5
pair SLmean LWTI neg-neg 24 12.5 38.5 70.8 1.5 2.2 1.8 23.2 -21.5
pair LWTI SLmean neg-neg 24 12.5 38.5 70.8 1.5 2.2 1.8 23.2 -21.5
pair SLmean RSmean neg-neg 15 7.8 37.9 73.3 1.5 2.7 2.8 23.2 -13.5
pair RSmean SLmean neg-neg 15 7.8 37.9 73.3 1.5 2.7 2.8 23.2 -13.5
pair MRmean SLmean neg-pos 12 6.2 36.6 75.0 1.4 1.8 3.1 25.5 -11.9
pair SLmean MRmean neg-pos 12 6.2 36.6 75.0 1.4 1.8 3.1 25.5 -11.9
pair LWTI RSI neg-neg 38 19.8 35.3 68.4 1.4 2.3 1.6 23.6 -21.5
pair RSI LWTI neg-neg 38 19.8 35.3 68.4 1.4 2.3 1.6 23.6 -21.5
pair MACD LWTI neg-neg 47 24.5 35.2 70.2 1.5 2.4 1.6 22.3 -21.5
pair LWTI MACD neg-neg 47 24.5 35.2 70.2 1.5 2.4 1.6 22.3 -21.5
pair RSmean MRmean neg-neg 14 7.3 35.2 71.4 1.4 2.8 2.6 24.4 -13.5
pair MRmean RSmean neg-neg 14 7.3 35.2 71.4 1.4 2.8 2.6 24.4 -13.5
pair LWTI MACDhist neg-neg 42 21.9 31.3 69.0 1.3 2.1 1.5 23.8 -21.5
pair MACDhist LWTI neg-neg 42 21.9 31.3 69.0 1.3 2.1 1.5 23.8 -21.5
single LWTI LWTI neg-neg 51 26.6 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair LWTI RSmean pos-neg 51 26.6 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair RSmean LWTI pos-neg 51 26.6 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair RSmean MACD neg-neg 14 7.3 27.6 71.4 1.1 2.2 2.0 26.7 -13.5
pair MACD RSmean neg-neg 14 7.3 27.6 71.4 1.1 2.2 2.0 26.7 -13.5
pair RSmean RSIhist neg-neg 18 9.4 27.1 66.7 1.2 2.2 2.0 22.2 -13.5
pair RSIhist RSmean neg-neg 18 9.4 27.1 66.7 1.2 2.2 2.0 22.2 -13.5
pair MACDhist RSmean neg-neg 19 9.9 24.2 63.2 1.1 2.0 1.8 21.8 -13.5
pair RSmean MACDhist neg-neg 19 9.9 24.2 63.2 1.1 2.0 1.8 21.8 -13.5
pair RSIhist LWTI pos-neg 31 16.1 19.7 61.3 0.9 1.7 1.4 21.2 -14.2
pair LWTI RSIhist pos-neg 31 16.1 19.7 61.3 0.9 1.7 1.4 21.2 -14.2
pair SLmean LWTI pos-neg 27 14.1 19.0 63.0 0.9 1.6 1.6 22.1 -11.9
pair LWTI SLmean pos-neg 27 14.1 19.0 63.0 0.9 1.6 1.6 22.1 -11.9
pair MRmean RSI neg-pos 24 12.5 17.0 66.7 0.9 1.5 1.3 20.2 -13.5
pair RSI MRmean neg-pos 24 12.5 17.0 66.7 0.9 1.5 1.3 20.2 -13.5
pair RSIhist MACDhist neg-pos 31 16.1 16.6 58.1 0.8 1.6 0.9 21.8 -19.3
pair MACDhist RSIhist neg-pos 31 16.1 16.6 58.1 0.8 1.6 0.9 21.8 -19.3
pair SLmean RSI pos-neg 17 8.9 16.5 58.8 0.7 1.2 1.2 25.6 -13.8
pair RSI SLmean pos-neg 17 8.9 16.5 58.8 0.7 1.2 1.2 25.6 -13.8
pair MRmean MACD neg-neg 62 32.3 15.9 66.1 0.7 0.8 0.5 29.9 -31.9
pair MACD MRmean neg-neg 62 32.3 15.9 66.1 0.7 0.8 0.5 29.9 -31.9
pair MRmean MACDhist neg-pos 10 5.2 15.0 60.0 0.8 1.3 2.5 18.2 -6.1
pair MACDhist MRmean neg-pos 10 5.2 15.0 60.0 0.8 1.3 2.5 18.2 -6.1
pair RSI RSIhist neg-pos 21 10.9 13.7 57.1 0.7 1.1 1.0 24.1 -14.0
pair RSIhist RSI neg-pos 21 10.9 13.7 57.1 0.7 1.1 1.0 24.1 -14.0
pair LWTI MACDhist pos-neg 9 4.7 12.6 55.6 0.8 2.2 2.5 15.2 -5.1
pair MACDhist LWTI pos-neg 9 4.7 12.6 55.6 0.8 2.2 2.5 15.2 -5.1
single RSmean RSmean neg-neg 21 10.9 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
pair LWTI RSmean neg-pos 21 10.9 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
pair RSmean LWTI neg-pos 21 10.9 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
pair MACDhist MACD neg-neg 78 40.6 9.1 62.8 0.5 0.5 0.3 29.3 -31.9
pair MACD MACDhist neg-neg 78 40.6 9.1 62.8 0.5 0.5 0.3 29.3 -31.9
pair MACD SLmean neg-neg 59 30.7 8.8 62.7 0.5 0.5 0.3 29.1 -33.8
pair SLmean MACD neg-neg 59 30.7 8.8 62.7 0.5 0.5 0.3 29.1 -33.8
pair RSI LWTI pos-neg 13 6.8 8.3 61.5 0.5 0.8 0.7 18.8 -11.6
pair LWTI RSI pos-neg 13 6.8 8.3 61.5 0.5 0.8 0.7 18.8 -11.6
pair RSIhist MACDhist pos-neg 16 8.3 7.9 68.8 0.7 0.9 1.3 12.5 -5.9
pair MACDhist RSIhist pos-neg 16 8.3 7.9 68.8 0.7 0.9 1.3 12.5 -5.9
pair MACD RSI neg-neg 61 31.8 7.7 60.7 0.4 0.5 0.2 29.4 -31.9
single MRmean MRmean neg-neg 87 45.3 7.7 64.4 0.4 0.5 0.2 28.1 -42.4
pair RSI MACD neg-neg 61 31.8 7.7 60.7 0.4 0.5 0.2 29.4 -31.9
pair MACDhist MRmean neg-neg 77 40.1 6.8 64.9 0.4 0.5 0.1 29.2 -44.0
pair MRmean MACDhist neg-neg 77 40.1 6.8 64.9 0.4 0.5 0.1 29.2 -44.0
pair RSI SLmean neg-pos 29 15.1 6.5 58.6 0.4 0.8 0.3 19.9 -18.8
pair SLmean RSI neg-pos 29 15.1 6.5 58.6 0.4 0.8 0.3 19.9 -18.8
pair MACDhist RSI neg-pos 13 6.8 5.9 61.5 0.4 0.5 0.5 18.4 -11.4
pair RSI MACDhist neg-pos 13 6.8 5.9 61.5 0.4 0.5 0.5 18.4 -11.4
pair RSmean RSI neg-pos 20 10.4 5.6 55.0 0.3 0.6 0.3 22.9 -19.7
pair RSI RSmean neg-pos 20 10.4 5.6 55.0 0.3 0.6 0.3 22.9 -19.7
pair MRmean LWTI pos-neg 20 10.4 5.1 55.0 0.4 0.8 0.4 17.5 -14.2
pair LWTI MRmean pos-neg 20 10.4 5.1 55.0 0.4 0.8 0.4 17.5 -14.2
pair MACDhist RSI pos-neg 50 26.0 4.4 60.0 0.3 0.4 0.1 22.0 -32.3
pair MACDhist SLmean pos-neg 45 23.4 4.4 57.8 0.3 0.4 0.1 23.6 -33.9
pair RSI MACDhist pos-neg 50 26.0 4.4 60.0 0.3 0.4 0.1 22.0 -32.3
pair SLmean MACDhist pos-neg 45 23.4 4.4 57.8 0.3 0.4 0.1 23.6 -33.9
pair MRmean RSI neg-neg 63 32.8 4.3 63.5 0.3 0.4 0.1 30.7 -39.1
pair RSI MRmean neg-neg 63 32.8 4.3 63.5 0.3 0.4 0.1 30.7 -39.1
pair RSIhist MACD neg-pos 50 26.0 4.2 52.0 0.3 0.5 0.2 20.4 -24.1
pair MACD RSIhist neg-pos 50 26.0 4.2 52.0 0.3 0.5 0.2 20.4 -24.1
single MACD MACD neg-neg 111 57.8 3.7 57.7 0.3 0.3 0.1 26.4 -40.5
pair MRmean SLmean neg-neg 75 39.1 3.7 62.7 0.3 0.3 0.1 28.5 -47.1
pair SLmean MRmean neg-neg 75 39.1 3.7 62.7 0.3 0.3 0.1 28.5 -47.1
pair MACD RSIhist neg-neg 61 31.8 3.4 62.3 0.3 0.3 0.1 30.6 -39.6
pair RSIhist MACD neg-neg 61 31.8 3.4 62.3 0.3 0.3 0.1 30.6 -39.6
pair MRmean RSmean neg-pos 73 38.0 3.1 63.0 0.3 0.3 0.1 28.7 -42.4
pair RSmean MRmean neg-pos 73 38.0 3.1 63.0 0.3 0.3 0.1 28.7 -42.4
single MACDhist MACDhist neg-neg 113 58.9 2.7 60.2 0.2 0.3 0.1 27.1 -45.0
pair RSIhist MRmean neg-neg 76 39.6 2.5 63.2 0.2 0.3 0.1 28.3 -54.4
pair MRmean RSIhist neg-neg 76 39.6 2.5 63.2 0.2 0.3 0.1 28.3 -54.4
single RSI RSI neg-neg 76 39.6 2.1 60.5 0.2 0.3 0.1 28.8 -39.1
pair MACDhist SLmean neg-neg 68 35.4 1.6 61.8 0.2 0.2 0.0 29.3 -48.5
pair SLmean MACDhist neg-neg 68 35.4 1.6 61.8 0.2 0.2 0.0 29.3 -48.5
pair RSI MACDhist neg-neg 63 32.8 1.4 60.3 0.2 0.3 0.0 30.6 -39.8
pair MACDhist RSI neg-neg 63 32.8 1.4 60.3 0.2 0.3 0.0 30.6 -39.8
pair RSI RSIhist pos-neg 43 22.4 1.3 62.8 0.2 0.2 0.0 21.4 -33.5
pair RSIhist RSI pos-neg 43 22.4 1.3 62.8 0.2 0.2 0.0 21.4 -33.5
pair RSIhist SLmean neg-neg 77 40.1 1.2 62.3 0.2 0.2 0.0 27.9 -52.3
pair SLmean RSIhist neg-neg 77 40.1 1.2 62.3 0.2 0.2 0.0 27.9 -52.3
single SLmean SLmean neg-neg 88 45.8 1.0 60.2 0.2 0.2 0.0 26.8 -48.8
pair MACD RSmean pos-neg 97 50.5 0.7 55.7 0.2 0.2 0.0 26.4 -40.5
pair RSI RSmean pos-neg 75 39.1 0.7 60.0 0.2 0.2 0.0 28.8 -39.1
pair RSmean RSI pos-neg 75 39.1 0.7 60.0 0.2 0.2 0.0 28.8 -39.1
pair RSmean MACD pos-neg 97 50.5 0.7 55.7 0.2 0.2 0.0 26.4 -40.5
pair RSIhist RSmean pos-pos 91 47.4 -0.3 50.5 0.1 0.1 -0.0 18.0 -37.4
pair RSmean RSIhist pos-pos 91 47.4 -0.3 50.5 0.1 0.1 -0.0 18.0 -37.4
single RSIhist RSIhist neg-neg 98 51.0 -0.5 62.2 0.1 0.1 -0.0 26.8 -55.7
pair RSIhist SLmean neg-pos 11 5.7 -0.7 45.5 0.0 0.1 -0.1 18.6 -15.2
pair SLmean RSIhist neg-pos 11 5.7 -0.7 45.5 0.0 0.1 -0.1 18.6 -15.2
pair MACD RSI neg-pos 50 26.0 -0.9 54.0 0.1 0.1 -0.0 22.4 -42.2
pair RSI MACD neg-pos 50 26.0 -0.9 54.0 0.1 0.1 -0.0 22.4 -42.2
pair MACDhist RSmean pos-neg 94 49.0 -1.2 59.6 0.1 0.1 -0.0 28.0 -45.0
pair RSmean MACDhist pos-neg 94 49.0 -1.2 59.6 0.1 0.1 -0.0 28.0 -45.0
pair MACDhist SLmean neg-pos 20 10.4 -1.2 55.0 0.0 0.0 -0.1 16.4 -10.0
pair SLmean MACDhist neg-pos 20 10.4 -1.2 55.0 0.0 0.0 -0.1 16.4 -10.0
pair SLmean RSmean pos-pos 98 51.0 -1.2 54.1 0.0 0.1 -0.0 19.2 -33.2
pair RSmean SLmean pos-pos 98 51.0 -1.2 54.1 0.0 0.1 -0.0 19.2 -33.2
pair benchmark___benchmark_ benchmark-benchmark 192 100.0 -1.5 55.7 0.1 0.1 -0.0 23.0 -53.8
pair benchmark___benchmark_ benchmark-benchmark 192 100.0 -1.5 55.7 0.1 0.1 -0.0 23.0 -53.8
pair SLmean RSI neg-neg 59 30.7 -1.7 61.0 0.1 0.1 -0.0 29.8 -39.1
pair RSI SLmean neg-neg 59 30.7 -1.7 61.0 0.1 0.1 -0.0 29.8 -39.1
pair SLmean MACD pos-neg 52 27.1 -1.7 51.9 0.0 0.1 -0.0 23.1 -40.6
pair MACD SLmean pos-neg 52 27.1 -1.7 51.9 0.0 0.1 -0.0 23.1 -40.6
pair RSI RSIhist neg-neg 55 28.6 -2.0 61.8 0.1 0.1 -0.0 30.6 -46.4
pair RSIhist RSI neg-neg 55 28.6 -2.0 61.8 0.1 0.1 -0.0 30.6 -46.4
pair RSIhist MACDhist neg-neg 82 42.7 -2.1 61.0 0.1 0.1 -0.0 28.8 -55.0
pair MACDhist RSIhist neg-neg 82 42.7 -2.1 61.0 0.1 0.1 -0.0 28.8 -55.0
single RSIhist RSIhist pos-pos 94 49.0 -2.6 48.9 -0.1 -0.1 -0.1 18.2 -40.4
pair SLmean RSIhist pos-pos 83 43.2 -2.8 49.4 -0.1 -0.1 -0.1 18.3 -38.4
pair RSIhist SLmean pos-pos 83 43.2 -2.8 49.4 -0.1 -0.1 -0.1 18.3 -38.4
single RSmean RSmean pos-pos 171 89.1 -3.0 55.6 -0.0 -0.0 -0.1 23.0 -48.6
single SLmean SLmean pos-pos 104 54.2 -3.6 51.9 -0.1 -0.1 -0.1 19.2 -33.9
single RSI RSI pos-pos 116 60.4 -3.9 52.6 -0.1 -0.2 -0.1 18.2 -52.2
pair RSmean MACDhist pos-pos 77 40.1 -5.1 50.6 -0.3 -0.4 -0.1 14.8 -36.2
pair MACDhist RSmean pos-pos 77 40.1 -5.1 50.6 -0.3 -0.4 -0.1 14.8 -36.2
pair RSI LWTI pos-pos 103 53.6 -5.3 51.5 -0.2 -0.3 -0.1 18.2 -56.2
pair LWTI RSI pos-pos 103 53.6 -5.3 51.5 -0.2 -0.3 -0.1 18.2 -56.2
pair SLmean RSmean neg-pos 73 38.0 -5.3 57.5 -0.1 -0.1 -0.1 27.3 -48.8
pair RSmean SLmean neg-pos 73 38.0 -5.3 57.5 -0.1 -0.1 -0.1 27.3 -48.8
pair SLmean MACD pos-pos 52 27.1 -5.5 51.9 -0.3 -0.5 -0.1 14.5 -37.1
pair MACD SLmean pos-pos 52 27.1 -5.5 51.9 -0.3 -0.5 -0.1 14.5 -37.1
pair MACDhist MRmean pos-neg 36 18.8 -5.5 50.0 -0.1 -0.2 -0.2 21.8 -30.9
pair MRmean MACDhist pos-neg 36 18.8 -5.5 50.0 -0.1 -0.2 -0.2 21.8 -30.9
pair RSI RSmean pos-pos 96 50.0 -5.8 52.1 -0.3 -0.3 -0.1 17.2 -42.6
pair RSmean RSI pos-pos 96 50.0 -5.8 52.1 -0.3 -0.3 -0.1 17.2 -42.6
pair RSIhist RSmean pos-neg 80 41.7 -5.9 61.2 -0.1 -0.1 -0.1 27.6 -56.0
pair RSmean RSIhist pos-neg 80 41.7 -5.9 61.2 -0.1 -0.1 -0.1 27.6 -56.0
pair MACD RSI pos-pos 66 34.4 -6.1 51.5 -0.4 -0.6 -0.1 14.3 -43.2
pair RSI MACD pos-pos 66 34.4 -6.1 51.5 -0.4 -0.6 -0.1 14.3 -43.2
pair MACD RSIhist pos-neg 37 19.3 -6.7 62.2 -0.3 -0.3 -0.2 19.1 -34.3
pair RSIhist MACD pos-neg 37 19.3 -6.7 62.2 -0.3 -0.3 -0.2 19.1 -34.3
pair RSIhist SLmean pos-neg 21 10.9 -6.7 61.9 -0.2 -0.2 -0.2 22.8 -31.1
pair SLmean RSIhist pos-neg 21 10.9 -6.7 61.9 -0.2 -0.2 -0.2 22.8 -31.1
pair LWTI MACD pos-pos 77 40.1 -6.8 54.5 -0.3 -0.4 -0.1 17.0 -54.2
pair MACD LWTI pos-pos 77 40.1 -6.8 54.5 -0.3 -0.4 -0.1 17.0 -54.2
pair RSI RSIhist pos-pos 73 38.0 -6.8 46.6 -0.4 -0.6 -0.2 16.1 -41.4
pair RSIhist RSI pos-pos 73 38.0 -6.8 46.6 -0.4 -0.6 -0.2 16.1 -41.4
pair MACD MACDhist pos-pos 46 24.0 -7.0 52.2 -0.5 -0.6 -0.3 13.7 -27.3
pair MACDhist MACD pos-pos 46 24.0 -7.0 52.2 -0.5 -0.6 -0.3 13.7 -27.3
pair RSI SLmean pos-pos 87 45.3 -7.1 50.6 -0.3 -0.4 -0.1 17.6 -46.0
pair SLmean RSI pos-pos 87 45.3 -7.1 50.6 -0.3 -0.4 -0.1 17.6 -46.0
pair MRmean RSmean pos-pos 98 51.0 -7.2 50.0 -0.3 -0.4 -0.1 17.4 -50.1
pair RSmean MRmean pos-pos 98 51.0 -7.2 50.0 -0.3 -0.4 -0.1 17.4 -50.1
single MACDhist MACDhist pos-pos 79 41.1 -7.3 49.4 -0.4 -0.6 -0.2 15.2 -41.8
pair MRmean MACD pos-pos 56 29.2 -7.5 50.0 -0.5 -0.7 -0.2 14.1 -43.0
pair MACD MRmean pos-pos 56 29.2 -7.5 50.0 -0.5 -0.7 -0.2 14.1 -43.0
pair MACD RSmean pos-pos 74 38.5 -7.6 55.4 -0.4 -0.4 -0.1 17.5 -54.1
pair RSmean MACD pos-pos 74 38.5 -7.6 55.4 -0.4 -0.4 -0.1 17.5 -54.1
pair MACD MACDhist neg-pos 33 17.2 -7.8 45.5 -0.4 -0.6 -0.3 17.3 -22.9
pair MACDhist MACD neg-pos 33 17.2 -7.8 45.5 -0.4 -0.6 -0.3 17.3 -22.9
pair RSI MRmean pos-neg 13 6.8 -7.9 46.2 -0.4 -0.6 -0.4 17.3 -20.2
pair SLmean MRmean pos-pos 92 47.9 -7.9 48.9 -0.4 -0.5 -0.1 17.9 -51.0
pair MRmean SLmean pos-pos 92 47.9 -7.9 48.9 -0.4 -0.5 -0.1 17.9 -51.0
pair MRmean RSI pos-neg 13 6.8 -7.9 46.2 -0.4 -0.6 -0.4 17.3 -20.2
pair MRmean RSIhist pos-pos 83 43.2 -8.1 45.8 -0.4 -0.7 -0.2 16.4 -49.9
pair RSIhist MRmean pos-pos 83 43.2 -8.1 45.8 -0.4 -0.7 -0.2 16.4 -49.9
single MACD MACD pos-pos 81 42.2 -8.4 53.1 -0.4 -0.5 -0.1 17.0 -56.8
single MRmean MRmean pos-pos 105 54.7 -8.6 48.6 -0.4 -0.6 -0.1 17.4 -58.0
pair LWTI MRmean neg-pos 56 29.2 -8.6 58.9 -0.2 -0.2 -0.1 29.0 -64.5
pair MRmean LWTI neg-pos 56 29.2 -8.6 58.9 -0.2 -0.2 -0.1 29.0 -64.5
pair RSI MRmean pos-pos 92 47.9 -8.7 48.9 -0.4 -0.5 -0.2 17.5 -54.1
pair MRmean RSI pos-pos 92 47.9 -8.7 48.9 -0.4 -0.5 -0.2 17.5 -54.1
pair LWTI RSIhist neg-pos 78 40.6 -9.1 59.0 -0.2 -0.2 -0.1 26.9 -65.6
pair RSIhist LWTI neg-pos 78 40.6 -9.1 59.0 -0.2 -0.2 -0.1 26.9 -65.6
pair MACDhist SLmean pos-pos 59 30.7 -9.3 47.5 -0.6 -0.8 -0.2 14.9 -40.7
pair SLmean MACDhist pos-pos 59 30.7 -9.3 47.5 -0.6 -0.8 -0.2 14.9 -40.7
pair LWTI MACDhist pos-pos 70 36.5 -9.6 48.6 -0.6 -0.8 -0.2 15.2 -46.8
pair MACDhist LWTI pos-pos 70 36.5 -9.6 48.6 -0.6 -0.8 -0.2 15.2 -46.8
pair RSI MACDhist pos-pos 66 34.4 -9.7 47.0 -0.6 -0.9 -0.2 14.5 -45.3
pair MACDhist RSI pos-pos 66 34.4 -9.7 47.0 -0.6 -0.9 -0.2 14.5 -45.3
pair RSIhist MACD pos-pos 44 22.9 -9.8 45.5 -0.6 -0.9 -0.2 15.3 -40.7
pair MACD RSIhist pos-pos 44 22.9 -9.8 45.5 -0.6 -0.9 -0.2 15.3 -40.7
pair MACD MRmean pos-neg 49 25.5 -9.8 46.9 -0.4 -0.5 -0.2 20.6 -39.6
pair MRmean MACD pos-neg 49 25.5 -9.8 46.9 -0.4 -0.5 -0.2 20.6 -39.6
pair MACD MACDhist pos-neg 35 18.2 -10.2 54.3 -0.4 -0.5 -0.2 20.8 -40.6
pair MRmean MACDhist pos-pos 69 35.9 -10.2 47.8 -0.7 -0.9 -0.2 14.7 -48.2
pair MACDhist MRmean pos-pos 69 35.9 -10.2 47.8 -0.7 -0.9 -0.2 14.7 -48.2
pair MACDhist MACD pos-neg 35 18.2 -10.2 54.3 -0.4 -0.5 -0.2 20.8 -40.6
pair MRmean RSIhist pos-neg 22 11.5 -10.3 59.1 -0.4 -0.3 -0.4 21.2 -28.0
pair MRmean MACD neg-pos 25 13.0 -10.3 60.0 -0.4 -0.4 -0.3 22.5 -34.4
pair MACD MRmean neg-pos 25 13.0 -10.3 60.0 -0.4 -0.4 -0.3 22.5 -34.4
pair RSIhist MRmean pos-neg 22 11.5 -10.3 59.1 -0.4 -0.3 -0.4 21.2 -28.0
pair LWTI SLmean neg-pos 64 33.3 -10.3 56.2 -0.2 -0.3 -0.1 27.5 -71.0
pair SLmean LWTI neg-pos 64 33.3 -10.3 56.2 -0.2 -0.3 -0.1 27.5 -71.0
single LWTI LWTI pos-pos 141 73.4 -10.4 51.8 -0.4 -0.4 -0.1 22.6 -83.4
pair LWTI SLmean pos-pos 77 40.1 -10.5 48.1 -0.5 -0.6 -0.2 17.7 -54.7
pair SLmean LWTI pos-pos 77 40.1 -10.5 48.1 -0.5 -0.6 -0.2 17.7 -54.7
pair RSIhist MACDhist pos-pos 63 32.8 -10.8 44.4 -0.7 -0.9 -0.2 15.7 -47.4
pair MACDhist RSIhist pos-pos 63 32.8 -10.8 44.4 -0.7 -0.9 -0.2 15.7 -47.4
pair LWTI MACDhist neg-pos 71 37.0 -11.2 54.9 -0.3 -0.3 -0.2 28.2 -68.7
pair MACDhist LWTI neg-pos 71 37.0 -11.2 54.9 -0.3 -0.3 -0.2 28.2 -68.7
pair LWTI MRmean pos-pos 85 44.3 -11.6 47.1 -0.6 -0.7 -0.2 17.3 -61.3
pair MRmean LWTI pos-pos 85 44.3 -11.6 47.1 -0.6 -0.7 -0.2 17.3 -61.3
pair LWTI RSIhist pos-pos 63 32.8 -12.0 42.9 -0.7 -1.1 -0.2 15.9 -53.9
pair RSIhist LWTI pos-pos 63 32.8 -12.0 42.9 -0.7 -1.1 -0.2 15.9 -53.9
pair SLmean MRmean pos-neg 13 6.8 -13.3 46.2 -1.0 -1.8 -0.7 13.1 -18.7
pair MRmean SLmean pos-neg 13 6.8 -13.3 46.2 -1.0 -1.8 -0.7 13.1 -18.7
pair MACD SLmean neg-pos 29 15.1 -13.3 55.2 -0.6 -0.6 -0.3 21.0 -38.6
pair SLmean MACD neg-pos 29 15.1 -13.3 55.2 -0.6 -0.6 -0.3 21.0 -38.6
pair LWTI RSmean pos-pos 120 62.5 -13.7 50.8 -0.5 -0.6 -0.2 22.4 -80.2
pair RSmean LWTI pos-pos 120 62.5 -13.7 50.8 -0.5 -0.6 -0.2 22.4 -80.2
pair MACD LWTI neg-pos 64 33.3 -14.6 48.4 -0.4 -0.5 -0.2 28.0 -72.3
pair LWTI MACD neg-pos 64 33.3 -14.6 48.4 -0.4 -0.5 -0.2 28.0 -72.3
pair MACD RSmean neg-pos 7 3.6 -16.5 28.6 -1.5 -3.1 -2.2 11.4 -7.4
pair RSmean MACD neg-pos 7 3.6 -16.5 28.6 -1.5 -3.1 -2.2 11.4 -7.4
pair MACD RSI pos-neg 15 7.8 -17.7 60.0 -0.6 -0.7 -1.0 26.3 -18.3
pair RSI MACD pos-neg 15 7.8 -17.7 60.0 -0.6 -0.7 -1.0 26.3 -18.3
pair LWTI RSI neg-pos 38 19.8 -22.9 52.6 -0.6 -0.8 -0.3 31.7 -67.7
pair RSI LWTI neg-pos 38 19.8 -22.9 52.6 -0.6 -0.8 -0.3 31.7 -67.7
pair MRmean RSmean pos-neg 7 3.6 -25.6 28.6 -1.7 -2.1 -1.3 16.4 -20.4
pair RSmean MRmean pos-neg 7 3.6 -25.6 28.6 -1.7 -2.1 -1.3 16.4 -20.4
pair MACD LWTI pos-neg 4 2.1 -34.2 25.0 -2.4 -2.8 -4.4 16.6 -7.8
pair LWTI MACD pos-neg 4 2.1 -34.2 25.0 -2.4 -2.8 -4.4 16.6 -7.8
pair SLmean RSmean pos-neg 6 3.1 -36.0 16.7 -2.8 -3.3 -2.0 15.1 -17.7
pair RSmean SLmean pos-neg 6 3.1 -36.0 16.7 -2.8 -3.3 -2.0 15.1 -17.7
pair RSIhist RSmean neg-pos 3 1.6 -51.5 0.0 -4.3 -4.3 -3.4 16.0 -15.1
pair RSmean RSIhist neg-pos 3 1.6 -51.5 0.0 -4.3 -4.3 -3.4 16.0 -15.1
pair MACDhist RSmean neg-pos 2 1.0 -62.5 0.0 -6.4 -6.4 -12.9 14.5 -4.8
pair RSmean MACDhist neg-pos 2 1.0 -62.5 0.0 -6.4 -6.4 -12.9 14.5 -4.8

All Contingency Tables for EIDO

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR -7.9% | Win 49%
Sharpe -0.37 | Sortino -0.46 | Calmar -0.2
Vol 18% | MDD -51.0%
Months 92M (48%)
CAGR -13.3% | Win 46%
Sharpe -1.02 | Sortino -1.80 | Calmar -0.7
Vol 13% | MDD -18.7%
Months 13M (7%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR 36.6% | Win 75%
Sharpe 1.35 | Sortino 1.75 | Calmar 3.1
Vol 26% | MDD -11.9%
Months 12M (6%)
CAGR 3.7% | Win 63%
Sharpe 0.28 | Sortino 0.33 | Calmar 0.1
Vol 28% | MDD -47.1%
Months 75M (39%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
SLmean
only
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -7.2% | Win 50%
Sharpe -0.34 | Sortino -0.44 | Calmar -0.1
Vol 17% | MDD -50.1%
Months 98M (51%)
CAGR -25.6% | Win 29%
Sharpe -1.71 | Sortino -2.11 | Calmar -1.3
Vol 16% | MDD -20.4%
Months 7M (4%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR 3.1% | Win 63%
Sharpe 0.26 | Sortino 0.30 | Calmar 0.1
Vol 29% | MDD -42.4%
Months 73M (38%)
CAGR 35.2% | Win 71%
Sharpe 1.36 | Sortino 2.80 | Calmar 2.6
Vol 24% | MDD -13.5%
Months 14M (7%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
RSmean
only
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -7.5% | Win 50%
Sharpe -0.48 | Sortino -0.70 | Calmar -0.2
Vol 14% | MDD -43.0%
Months 56M (29%)
CAGR -9.8% | Win 47%
Sharpe -0.40 | Sortino -0.49 | Calmar -0.2
Vol 21% | MDD -39.6%
Months 49M (26%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR -10.3% | Win 60%
Sharpe -0.36 | Sortino -0.40 | Calmar -0.3
Vol 22% | MDD -34.4%
Months 25M (13%)
CAGR 15.9% | Win 66%
Sharpe 0.65 | Sortino 0.79 | Calmar 0.5
Vol 30% | MDD -31.9%
Months 62M (32%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
MACD
only
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -8.7% | Win 49%
Sharpe -0.43 | Sortino -0.54 | Calmar -0.2
Vol 18% | MDD -54.1%
Months 92M (48%)
CAGR -7.9% | Win 46%
Sharpe -0.39 | Sortino -0.59 | Calmar -0.4
Vol 17% | MDD -20.2%
Months 13M (7%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR 17.0% | Win 67%
Sharpe 0.88 | Sortino 1.46 | Calmar 1.3
Vol 20% | MDD -13.5%
Months 24M (12%)
CAGR 4.3% | Win 64%
Sharpe 0.30 | Sortino 0.36 | Calmar 0.1
Vol 31% | MDD -39.1%
Months 63M (33%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -10.2% | Win 48%
Sharpe -0.65 | Sortino -0.90 | Calmar -0.2
Vol 15% | MDD -48.2%
Months 69M (36%)
CAGR -5.5% | Win 50%
Sharpe -0.15 | Sortino -0.18 | Calmar -0.2
Vol 22% | MDD -30.9%
Months 36M (19%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR 15.0% | Win 60%
Sharpe 0.85 | Sortino 1.30 | Calmar 2.4
Vol 18% | MDD -6.1%
Months 10M (5%)
CAGR 6.8% | Win 65%
Sharpe 0.38 | Sortino 0.46 | Calmar 0.2
Vol 29% | MDD -44.0%
Months 77M (40%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
MACDhist
only
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -8.1% | Win 46%
Sharpe -0.44 | Sortino -0.70 | Calmar -0.2
Vol 16% | MDD -49.9%
Months 83M (43%)
CAGR -10.3% | Win 59%
Sharpe -0.40 | Sortino -0.35 | Calmar -0.4
Vol 21% | MDD -28.0%
Months 22M (12%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR 51.6% | Win 73%
Sharpe 1.74 | Sortino 1.97 | Calmar 4.3
Vol 26% | MDD -11.9%
Months 11M (6%)
CAGR 2.5% | Win 63%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.0
Vol 28% | MDD -54.4%
Months 76M (40%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -11.6% | Win 47%
Sharpe -0.62 | Sortino -0.74 | Calmar -0.2
Vol 17% | MDD -61.3%
Months 85M (44%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.80 | Calmar 0.4
Vol 18% | MDD -14.2%
Months 20M (10%)
CAGR -8.6% | Win 49%
Sharpe -0.43 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -58.0%
Months 105M (55%)
MRmean
neg
CAGR -8.6% | Win 59%
Sharpe -0.16 | Sortino -0.18 | Calmar -0.1
Vol 29% | MDD -64.5%
Months 56M (29%)
CAGR 45.0% | Win 74%
Sharpe 1.65 | Sortino 2.27 | Calmar 2.1
Vol 25% | MDD -21.5%
Months 31M (16%)
CAGR 7.7% | Win 64%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 87M (45%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR -1.2% | Win 54%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 19% | MDD -33.2%
Months 98M (51%)
CAGR -36.0% | Win 17%
Sharpe -2.84 | Sortino -3.27 | Calmar -2.0
Vol 15% | MDD -17.7%
Months 6M (3%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR -5.3% | Win 57%
Sharpe -0.05 | Sortino -0.06 | Calmar -0.1
Vol 27% | MDD -48.8%
Months 73M (38%)
CAGR 37.9% | Win 73%
Sharpe 1.51 | Sortino 2.71 | Calmar 2.8
Vol 23% | MDD -13.5%
Months 15M (8%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
RSmean
only
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -5.5% | Win 52%
Sharpe -0.32 | Sortino -0.46 | Calmar -0.1
Vol 14% | MDD -37.1%
Months 52M (27%)
CAGR -1.7% | Win 52%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 23% | MDD -40.6%
Months 52M (27%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR -13.3% | Win 55%
Sharpe -0.57 | Sortino -0.64 | Calmar -0.3
Vol 21% | MDD -38.6%
Months 29M (15%)
CAGR 8.8% | Win 63%
Sharpe 0.45 | Sortino 0.54 | Calmar 0.3
Vol 29% | MDD -33.8%
Months 59M (31%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
MACD
only
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -7.1% | Win 51%
Sharpe -0.33 | Sortino -0.40 | Calmar -0.2
Vol 18% | MDD -46.0%
Months 87M (45%)
CAGR 16.5% | Win 59%
Sharpe 0.72 | Sortino 1.16 | Calmar 1.2
Vol 26% | MDD -13.8%
Months 17M (9%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR 6.5% | Win 59%
Sharpe 0.41 | Sortino 0.75 | Calmar 0.3
Vol 20% | MDD -18.8%
Months 29M (15%)
CAGR -1.7% | Win 61%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.0
Vol 30% | MDD -39.1%
Months 59M (31%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -9.3% | Win 48%
Sharpe -0.58 | Sortino -0.78 | Calmar -0.2
Vol 15% | MDD -40.7%
Months 59M (31%)
CAGR 4.4% | Win 58%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -33.9%
Months 45M (23%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR -1.2% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 16% | MDD -10.0%
Months 20M (10%)
CAGR 1.6% | Win 62%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -48.5%
Months 68M (35%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
MACDhist
only
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -2.8% | Win 49%
Sharpe -0.07 | Sortino -0.11 | Calmar -0.1
Vol 18% | MDD -38.4%
Months 83M (43%)
CAGR -6.7% | Win 62%
Sharpe -0.18 | Sortino -0.16 | Calmar -0.2
Vol 23% | MDD -31.1%
Months 21M (11%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR -0.7% | Win 46%
Sharpe 0.04 | Sortino 0.09 | Calmar -0.0
Vol 19% | MDD -15.2%
Months 11M (6%)
CAGR 1.2% | Win 62%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -52.3%
Months 77M (40%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -10.5% | Win 48%
Sharpe -0.53 | Sortino -0.63 | Calmar -0.2
Vol 18% | MDD -54.7%
Months 77M (40%)
CAGR 19.0% | Win 63%
Sharpe 0.90 | Sortino 1.62 | Calmar 1.6
Vol 22% | MDD -11.9%
Months 27M (14%)
CAGR -3.6% | Win 52%
Sharpe -0.10 | Sortino -0.13 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 104M (54%)
SLmean
neg
CAGR -10.3% | Win 56%
Sharpe -0.25 | Sortino -0.29 | Calmar -0.1
Vol 28% | MDD -71.0%
Months 64M (33%)
CAGR 38.5% | Win 71%
Sharpe 1.53 | Sortino 2.19 | Calmar 1.8
Vol 23% | MDD -21.5%
Months 24M (12%)
CAGR 1.0% | Win 60%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 27% | MDD -48.8%
Months 88M (46%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -7.6% | Win 55%
Sharpe -0.36 | Sortino -0.43 | Calmar -0.1
Vol 18% | MDD -54.1%
Months 74M (38%)
CAGR 0.7% | Win 56%
Sharpe 0.17 | Sortino 0.20 | Calmar 0.0
Vol 26% | MDD -40.5%
Months 97M (50%)
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
RSmean
neg
CAGR -16.5% | Win 29%
Sharpe -1.52 | Sortino -3.08 | Calmar -2.2
Vol 11% | MDD -7.4%
Months 7M (4%)
CAGR 27.6% | Win 71%
Sharpe 1.05 | Sortino 2.17 | Calmar 2.0
Vol 27% | MDD -13.5%
Months 14M (7%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
MACD
only
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -5.8% | Win 52%
Sharpe -0.26 | Sortino -0.32 | Calmar -0.1
Vol 17% | MDD -42.6%
Months 96M (50%)
CAGR 0.7% | Win 60%
Sharpe 0.18 | Sortino 0.21 | Calmar 0.0
Vol 29% | MDD -39.1%
Months 75M (39%)
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
RSmean
neg
CAGR 5.6% | Win 55%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.3
Vol 23% | MDD -19.7%
Months 20M (10%)
CAGR 191.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -5.1% | Win 51%
Sharpe -0.28 | Sortino -0.41 | Calmar -0.1
Vol 15% | MDD -36.2%
Months 77M (40%)
CAGR -1.2% | Win 60%
Sharpe 0.11 | Sortino 0.13 | Calmar -0.0
Vol 28% | MDD -45.0%
Months 94M (49%)
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
RSmean
neg
CAGR -62.5% | Win 0%
Sharpe -6.44 | Sortino -6.44 | Calmar -12.9
Vol 14% | MDD -4.8%
Months 2M (1%)
CAGR 24.2% | Win 63%
Sharpe 1.10 | Sortino 2.03 | Calmar 1.8
Vol 22% | MDD -13.5%
Months 19M (10%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
MACDhist
only
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR -0.3% | Win 50%
Sharpe 0.07 | Sortino 0.12 | Calmar -0.0
Vol 18% | MDD -37.4%
Months 91M (47%)
CAGR -5.9% | Win 61%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.1
Vol 28% | MDD -56.0%
Months 80M (42%)
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
RSmean
neg
CAGR -51.5% | Win 0%
Sharpe -4.34 | Sortino -4.34 | Calmar -3.4
Vol 16% | MDD -15.1%
Months 3M (2%)
CAGR 27.1% | Win 67%
Sharpe 1.20 | Sortino 2.21 | Calmar 2.0
Vol 22% | MDD -13.5%
Months 18M (9%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -13.7% | Win 51%
Sharpe -0.53 | Sortino -0.59 | Calmar -0.2
Vol 22% | MDD -80.2%
Months 120M (62%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
CAGR -3.0% | Win 56%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 23% | MDD -48.6%
Months 171M (89%)
RSmean
neg
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
-
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.03 | Calmar 0.5
Vol 23% | MDD -19.7%
Months 21M (11%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -6.1% | Win 52%
Sharpe -0.37 | Sortino -0.55 | Calmar -0.1
Vol 14% | MDD -43.2%
Months 66M (34%)
CAGR -17.7% | Win 60%
Sharpe -0.60 | Sortino -0.66 | Calmar -1.0
Vol 26% | MDD -18.3%
Months 15M (8%)
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
MACD
neg
CAGR -0.9% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -42.2%
Months 50M (26%)
CAGR 7.7% | Win 61%
Sharpe 0.41 | Sortino 0.50 | Calmar 0.2
Vol 29% | MDD -31.9%
Months 61M (32%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -7.0% | Win 52%
Sharpe -0.46 | Sortino -0.60 | Calmar -0.3
Vol 14% | MDD -27.3%
Months 46M (24%)
CAGR -10.2% | Win 54%
Sharpe -0.41 | Sortino -0.49 | Calmar -0.3
Vol 21% | MDD -40.6%
Months 35M (18%)
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
MACD
neg
CAGR -7.8% | Win 46%
Sharpe -0.38 | Sortino -0.59 | Calmar -0.3
Vol 17% | MDD -22.9%
Months 33M (17%)
CAGR 9.1% | Win 63%
Sharpe 0.45 | Sortino 0.54 | Calmar 0.3
Vol 29% | MDD -31.9%
Months 78M (41%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
MACDhist
only
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR -9.8% | Win 46%
Sharpe -0.60 | Sortino -0.86 | Calmar -0.2
Vol 15% | MDD -40.7%
Months 44M (23%)
CAGR -6.7% | Win 62%
Sharpe -0.26 | Sortino -0.28 | Calmar -0.2
Vol 19% | MDD -34.3%
Months 37M (19%)
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
MACD
neg
CAGR 4.2% | Win 52%
Sharpe 0.30 | Sortino 0.53 | Calmar 0.2
Vol 20% | MDD -24.1%
Months 50M (26%)
CAGR 3.4% | Win 62%
Sharpe 0.27 | Sortino 0.31 | Calmar 0.1
Vol 31% | MDD -39.6%
Months 61M (32%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -6.8% | Win 55%
Sharpe -0.32 | Sortino -0.39 | Calmar -0.1
Vol 17% | MDD -54.2%
Months 77M (40%)
CAGR -34.2% | Win 25%
Sharpe -2.40 | Sortino -2.75 | Calmar -4.4
Vol 17% | MDD -7.8%
Months 4M (2%)
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (42%)
MACD
neg
CAGR -14.6% | Win 48%
Sharpe -0.41 | Sortino -0.49 | Calmar -0.2
Vol 28% | MDD -72.3%
Months 64M (33%)
CAGR 35.2% | Win 70%
Sharpe 1.48 | Sortino 2.37 | Calmar 1.6
Vol 22% | MDD -21.5%
Months 47M (24%)
CAGR 3.7% | Win 58%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -40.5%
Months 111M (58%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -9.7% | Win 47%
Sharpe -0.63 | Sortino -0.89 | Calmar -0.2
Vol 14% | MDD -45.3%
Months 66M (34%)
CAGR 4.4% | Win 60%
Sharpe 0.31 | Sortino 0.38 | Calmar 0.1
Vol 22% | MDD -32.3%
Months 50M (26%)
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
RSI
neg
CAGR 5.9% | Win 62%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.5
Vol 18% | MDD -11.4%
Months 13M (7%)
CAGR 1.4% | Win 60%
Sharpe 0.21 | Sortino 0.26 | Calmar 0.0
Vol 31% | MDD -39.8%
Months 63M (33%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
MACDhist
only
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -6.8% | Win 47%
Sharpe -0.36 | Sortino -0.56 | Calmar -0.2
Vol 16% | MDD -41.4%
Months 73M (38%)
CAGR 1.3% | Win 63%
Sharpe 0.17 | Sortino 0.19 | Calmar 0.0
Vol 21% | MDD -33.5%
Months 43M (22%)
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
RSI
neg
CAGR 13.7% | Win 57%
Sharpe 0.65 | Sortino 1.10 | Calmar 1.0
Vol 24% | MDD -14.0%
Months 21M (11%)
CAGR -2.0% | Win 62%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.0
Vol 31% | MDD -46.4%
Months 55M (29%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -5.3% | Win 52%
Sharpe -0.21 | Sortino -0.27 | Calmar -0.1
Vol 18% | MDD -56.2%
Months 103M (54%)
CAGR 8.3% | Win 62%
Sharpe 0.51 | Sortino 0.80 | Calmar 0.7
Vol 19% | MDD -11.6%
Months 13M (7%)
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (60%)
RSI
neg
CAGR -22.9% | Win 53%
Sharpe -0.64 | Sortino -0.75 | Calmar -0.3
Vol 32% | MDD -67.7%
Months 38M (20%)
CAGR 35.3% | Win 68%
Sharpe 1.41 | Sortino 2.28 | Calmar 1.6
Vol 24% | MDD -21.5%
Months 38M (20%)
CAGR 2.1% | Win 60%
Sharpe 0.23 | Sortino 0.28 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 76M (40%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -10.8% | Win 44%
Sharpe -0.65 | Sortino -0.93 | Calmar -0.2
Vol 16% | MDD -47.4%
Months 63M (33%)
CAGR 7.9% | Win 69%
Sharpe 0.67 | Sortino 0.92 | Calmar 1.3
Vol 12% | MDD -5.9%
Months 16M (8%)
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
MACDhist
neg
CAGR 16.6% | Win 58%
Sharpe 0.81 | Sortino 1.55 | Calmar 0.9
Vol 22% | MDD -19.3%
Months 31M (16%)
CAGR -2.1% | Win 61%
Sharpe 0.08 | Sortino 0.09 | Calmar -0.0
Vol 29% | MDD -55.0%
Months 82M (43%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
RSIhist
only
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -9.6% | Win 49%
Sharpe -0.59 | Sortino -0.81 | Calmar -0.2
Vol 15% | MDD -46.8%
Months 70M (36%)
CAGR 12.6% | Win 56%
Sharpe 0.85 | Sortino 2.21 | Calmar 2.5
Vol 15% | MDD -5.1%
Months 9M (5%)
CAGR -7.3% | Win 49%
Sharpe -0.42 | Sortino -0.60 | Calmar -0.2
Vol 15% | MDD -41.8%
Months 79M (41%)
MACDhist
neg
CAGR -11.2% | Win 55%
Sharpe -0.27 | Sortino -0.31 | Calmar -0.2
Vol 28% | MDD -68.7%
Months 71M (37%)
CAGR 31.3% | Win 69%
Sharpe 1.27 | Sortino 2.10 | Calmar 1.5
Vol 24% | MDD -21.5%
Months 42M (22%)
CAGR 2.7% | Win 60%
Sharpe 0.24 | Sortino 0.29 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 113M (59%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR -12.0% | Win 43%
Sharpe -0.72 | Sortino -1.06 | Calmar -0.2
Vol 16% | MDD -53.9%
Months 63M (33%)
CAGR 19.7% | Win 61%
Sharpe 0.95 | Sortino 1.69 | Calmar 1.4
Vol 21% | MDD -14.2%
Months 31M (16%)
CAGR -2.6% | Win 49%
Sharpe -0.05 | Sortino -0.09 | Calmar -0.1
Vol 18% | MDD -40.4%
Months 94M (49%)
RSIhist
neg
CAGR -9.1% | Win 59%
Sharpe -0.21 | Sortino -0.23 | Calmar -0.1
Vol 27% | MDD -65.6%
Months 78M (41%)
CAGR 41.4% | Win 75%
Sharpe 1.55 | Sortino 2.34 | Calmar 1.9
Vol 25% | MDD -21.5%
Months 20M (10%)
CAGR -0.5% | Win 62%
Sharpe 0.12 | Sortino 0.14 | Calmar -0.0
Vol 27% | MDD -55.7%
Months 98M (51%)
LWTI
only
CAGR -10.4% | Win 52%
Sharpe -0.36 | Sortino -0.42 | Calmar -0.1
Vol 23% | MDD -83.4%
Months 141M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)