EIDO - iShares MSCI Indonesia ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

191.2%

Best CAGR

54

Total Months

4.2%

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 5.8 51.6 72.7 1.7 2.0 4.3 26.1 -11.9
pair MRmean RSIhist neg-pos 11 5.8 51.6 72.7 1.7 2.0 4.3 26.1 -11.9
pair MRmean LWTI neg-neg 31 16.4 45.0 74.2 1.6 2.3 2.1 24.7 -21.5
pair LWTI MRmean neg-neg 31 16.4 45.0 74.2 1.6 2.3 2.1 24.7 -21.5
pair RSIhist LWTI neg-neg 20 10.6 41.4 75.0 1.6 2.3 1.9 24.6 -21.5
pair LWTI RSIhist neg-neg 20 10.6 41.4 75.0 1.6 2.3 1.9 24.6 -21.5
pair SLmean LWTI neg-neg 24 12.7 38.5 70.8 1.5 2.2 1.8 23.2 -21.5
pair LWTI SLmean neg-neg 24 12.7 38.5 70.8 1.5 2.2 1.8 23.2 -21.5
pair SLmean RSmean neg-neg 15 7.9 37.9 73.3 1.5 2.7 2.8 23.2 -13.5
pair RSmean SLmean neg-neg 15 7.9 37.9 73.3 1.5 2.7 2.8 23.2 -13.5
pair MRmean SLmean neg-pos 12 6.3 36.6 75.0 1.4 1.8 3.1 25.5 -11.9
pair SLmean MRmean neg-pos 12 6.3 36.6 75.0 1.4 1.8 3.1 25.5 -11.9
pair LWTI RSI neg-neg 38 20.1 35.3 68.4 1.4 2.3 1.6 23.6 -21.5
pair RSI LWTI neg-neg 38 20.1 35.3 68.4 1.4 2.3 1.6 23.6 -21.5
pair MACD LWTI neg-neg 47 24.9 35.2 70.2 1.5 2.4 1.6 22.3 -21.5
pair LWTI MACD neg-neg 47 24.9 35.2 70.2 1.5 2.4 1.6 22.3 -21.5
pair RSmean MRmean neg-neg 14 7.4 35.2 71.4 1.4 2.8 2.6 24.4 -13.5
pair MRmean RSmean neg-neg 14 7.4 35.2 71.4 1.4 2.8 2.6 24.4 -13.5
pair LWTI MACDhist neg-neg 42 22.2 31.3 69.0 1.3 2.1 1.5 23.8 -21.5
pair MACDhist LWTI neg-neg 42 22.2 31.3 69.0 1.3 2.1 1.5 23.8 -21.5
pair SLmean RSI pos-neg 16 8.5 28.8 62.5 1.2 2.0 2.4 23.6 -11.9
pair RSI SLmean pos-neg 16 8.5 28.8 62.5 1.2 2.0 2.4 23.6 -11.9
single LWTI LWTI neg-neg 51 27.0 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair LWTI RSmean pos-neg 51 27.0 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair RSmean LWTI pos-neg 51 27.0 27.8 66.7 1.2 2.0 1.3 22.5 -21.5
pair RSmean MACD neg-neg 14 7.4 27.6 71.4 1.1 2.2 2.0 26.7 -13.5
pair MACD RSmean neg-neg 14 7.4 27.6 71.4 1.1 2.2 2.0 26.7 -13.5
pair RSmean RSIhist neg-neg 18 9.5 27.1 66.7 1.2 2.2 2.0 22.2 -13.5
pair RSIhist RSmean neg-neg 18 9.5 27.1 66.7 1.2 2.2 2.0 22.2 -13.5
pair MACDhist RSmean neg-neg 19 10.1 24.2 63.2 1.1 2.0 1.8 21.8 -13.5
pair RSmean MACDhist neg-neg 19 10.1 24.2 63.2 1.1 2.0 1.8 21.8 -13.5
pair RSI RSIhist neg-pos 20 10.6 23.0 60.0 1.0 1.9 1.9 22.5 -11.9
pair RSIhist RSI neg-pos 20 10.6 23.0 60.0 1.0 1.9 1.9 22.5 -11.9
pair MRmean MACD neg-neg 60 31.7 21.6 68.3 0.8 0.9 0.7 29.3 -31.9
pair MACD MRmean neg-neg 60 31.7 21.6 68.3 0.8 0.9 0.7 29.3 -31.9
pair MACDhist RSI neg-pos 12 6.3 20.1 66.7 1.4 3.7 3.8 14.2 -5.3
pair RSI MACDhist neg-pos 12 6.3 20.1 66.7 1.4 3.7 3.8 14.2 -5.3
pair RSIhist LWTI pos-neg 31 16.4 19.7 61.3 0.9 1.7 1.4 21.2 -14.2
pair LWTI RSIhist pos-neg 31 16.4 19.7 61.3 0.9 1.7 1.4 21.2 -14.2
pair SLmean LWTI pos-neg 27 14.3 19.0 63.0 0.9 1.6 1.6 22.1 -11.9
pair LWTI SLmean pos-neg 27 14.3 19.0 63.0 0.9 1.6 1.6 22.1 -11.9
pair MRmean RSI neg-pos 24 12.7 17.0 66.7 0.9 1.5 1.3 20.2 -13.5
pair RSI MRmean neg-pos 24 12.7 17.0 66.7 0.9 1.5 1.3 20.2 -13.5
pair RSIhist MACDhist neg-pos 31 16.4 16.6 58.1 0.8 1.6 0.9 21.8 -19.3
pair MACDhist RSIhist neg-pos 31 16.4 16.6 58.1 0.8 1.6 0.9 21.8 -19.3
pair RSI MACD neg-neg 58 30.7 15.9 63.8 0.7 0.8 0.5 28.5 -31.9
pair MACD RSI neg-neg 58 30.7 15.9 63.8 0.7 0.8 0.5 28.5 -31.9
pair MRmean MACDhist neg-pos 10 5.3 15.0 60.0 0.8 1.3 2.5 18.2 -6.1
pair MACDhist MRmean neg-pos 10 5.3 15.0 60.0 0.8 1.3 2.5 18.2 -6.1
pair MACD SLmean neg-neg 57 30.2 14.3 64.9 0.6 0.7 0.4 28.5 -33.8
pair SLmean MACD neg-neg 57 30.2 14.3 64.9 0.6 0.7 0.4 28.5 -33.8
pair MACD MACDhist neg-neg 76 40.2 13.1 64.5 0.6 0.7 0.4 28.9 -31.9
pair MACDhist MACD neg-neg 76 40.2 13.1 64.5 0.6 0.7 0.4 28.9 -31.9
pair LWTI MACDhist pos-neg 9 4.8 12.6 55.6 0.8 2.2 2.5 15.2 -5.1
pair MACDhist LWTI pos-neg 9 4.8 12.6 55.6 0.8 2.2 2.5 15.2 -5.1
single MRmean MRmean neg-neg 85 45.0 11.2 65.9 0.5 0.6 0.3 27.7 -42.4
pair LWTI RSmean neg-pos 21 11.1 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
pair RSmean LWTI neg-pos 21 11.1 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
single RSmean RSmean neg-neg 21 11.1 10.8 57.1 0.6 1.0 0.6 23.3 -19.7
pair MACDhist MRmean neg-neg 75 39.7 10.7 66.7 0.5 0.6 0.2 28.8 -44.0
pair MRmean MACDhist neg-neg 75 39.7 10.7 66.7 0.5 0.6 0.2 28.8 -44.0
pair MRmean RSI neg-neg 61 32.3 9.0 65.6 0.5 0.5 0.2 30.3 -39.1
pair RSI MRmean neg-neg 61 32.3 9.0 65.6 0.5 0.5 0.2 30.3 -39.1
pair RSI LWTI pos-neg 13 6.9 8.3 61.5 0.5 0.8 0.7 18.8 -11.6
pair LWTI RSI pos-neg 13 6.9 8.3 61.5 0.5 0.8 0.7 18.8 -11.6
pair MACD RSIhist neg-neg 59 31.2 8.1 64.4 0.4 0.5 0.2 30.2 -39.6
pair RSIhist MACD neg-neg 59 31.2 8.1 64.4 0.4 0.5 0.2 30.2 -39.6
single RSI RSI neg-neg 73 38.6 8.1 63.0 0.4 0.5 0.2 28.2 -39.1
pair RSIhist MACDhist pos-neg 16 8.5 7.9 68.8 0.7 0.9 1.3 12.5 -5.9
pair MACDhist RSIhist pos-neg 16 8.5 7.9 68.8 0.7 0.9 1.3 12.5 -5.9
single MACD MACD neg-neg 108 57.1 7.8 59.3 0.4 0.5 0.2 25.9 -37.5
pair MRmean SLmean neg-neg 73 38.6 7.5 64.4 0.4 0.5 0.2 28.1 -47.1
pair MACD RSIhist neg-pos 49 25.9 7.5 53.1 0.5 0.9 0.4 19.8 -17.0
pair RSIhist MACD neg-pos 49 25.9 7.5 53.1 0.5 0.9 0.4 19.8 -17.0
pair SLmean MRmean neg-neg 73 38.6 7.5 64.4 0.4 0.5 0.2 28.1 -47.1
pair MRmean RSmean neg-pos 71 37.6 7.0 64.8 0.4 0.4 0.2 28.3 -42.4
pair RSmean MRmean neg-pos 71 37.6 7.0 64.8 0.4 0.4 0.2 28.3 -42.4
pair RSI RSmean pos-neg 72 38.1 6.6 62.5 0.4 0.4 0.2 28.2 -39.1
pair RSmean RSI pos-neg 72 38.1 6.6 62.5 0.4 0.4 0.2 28.2 -39.1
pair RSI SLmean neg-pos 29 15.3 6.5 58.6 0.4 0.8 0.3 19.9 -18.8
pair SLmean RSI neg-pos 29 15.3 6.5 58.6 0.4 0.8 0.3 19.9 -18.8
pair RSIhist MRmean neg-neg 74 39.2 6.2 64.9 0.4 0.4 0.1 27.8 -54.4
pair MRmean RSIhist neg-neg 74 39.2 6.2 64.9 0.4 0.4 0.1 27.8 -54.4
pair MACDhist RSI neg-neg 61 32.3 5.8 62.3 0.3 0.4 0.1 30.2 -39.8
pair RSI MACDhist neg-neg 61 32.3 5.8 62.3 0.3 0.4 0.1 30.2 -39.8
pair MACDhist SLmean neg-neg 66 34.9 5.7 63.6 0.3 0.4 0.1 28.9 -48.5
pair SLmean MACDhist neg-neg 66 34.9 5.7 63.6 0.3 0.4 0.1 28.9 -48.5
pair RSmean RSI neg-pos 20 10.6 5.6 55.0 0.3 0.6 0.3 22.9 -19.7
pair RSI RSmean neg-pos 20 10.6 5.6 55.0 0.3 0.6 0.3 22.9 -19.7
single MACDhist MACDhist neg-neg 111 58.7 5.2 61.3 0.3 0.4 0.1 26.7 -45.0
pair MRmean LWTI pos-neg 20 10.6 5.1 55.0 0.4 0.8 0.4 17.5 -14.2
pair LWTI MRmean pos-neg 20 10.6 5.1 55.0 0.4 0.8 0.4 17.5 -14.2
pair MACD RSmean pos-neg 94 49.7 5.1 57.4 0.3 0.4 0.2 25.8 -31.9
pair RSmean MACD pos-neg 94 49.7 5.1 57.4 0.3 0.4 0.2 25.8 -31.9
pair RSIhist SLmean neg-neg 75 39.7 4.8 64.0 0.3 0.4 0.1 27.5 -52.3
pair SLmean RSIhist neg-neg 75 39.7 4.8 64.0 0.3 0.4 0.1 27.5 -52.3
pair RSI MACDhist pos-neg 50 26.5 4.4 60.0 0.3 0.4 0.1 22.0 -32.3
pair MACDhist RSI pos-neg 50 26.5 4.4 60.0 0.3 0.4 0.1 22.0 -32.3
pair MACDhist SLmean pos-neg 45 23.8 4.4 57.8 0.3 0.4 0.1 23.6 -33.9
pair SLmean MACDhist pos-neg 45 23.8 4.4 57.8 0.3 0.4 0.1 23.6 -33.9
single SLmean SLmean neg-neg 86 45.5 4.1 61.6 0.3 0.3 0.1 26.4 -48.8
pair MRmean RSI pos-neg 12 6.3 3.3 50.0 0.3 1.1 0.3 13.7 -11.8
pair RSI MRmean pos-neg 12 6.3 3.3 50.0 0.3 1.1 0.3 13.7 -11.8
pair RSI SLmean neg-neg 57 30.2 2.9 63.2 0.2 0.3 0.1 29.4 -39.1
pair RSI RSIhist neg-neg 53 28.0 2.9 64.2 0.3 0.3 0.1 30.1 -46.4
pair SLmean RSI neg-neg 57 30.2 2.9 63.2 0.2 0.3 0.1 29.4 -39.1
pair RSIhist RSI neg-neg 53 28.0 2.9 64.2 0.3 0.3 0.1 30.1 -46.4
single RSIhist RSIhist neg-neg 96 50.8 2.2 63.5 0.2 0.2 0.0 26.5 -55.7
pair MACDhist RSmean pos-neg 92 48.7 1.6 60.9 0.2 0.2 0.0 27.7 -45.0
pair RSmean MACDhist pos-neg 92 48.7 1.6 60.9 0.2 0.2 0.0 27.7 -45.0
pair RSI RSIhist pos-neg 43 22.8 1.3 62.8 0.2 0.2 0.0 21.4 -33.5
pair RSIhist RSI pos-neg 43 22.8 1.3 62.8 0.2 0.2 0.0 21.4 -33.5
pair RSIhist RSmean pos-pos 90 47.6 1.3 51.1 0.2 0.3 0.0 17.6 -31.5
pair RSmean RSIhist pos-pos 90 47.6 1.3 51.1 0.2 0.3 0.0 17.6 -31.5
pair SLmean MACD pos-neg 51 27.0 1.1 52.9 0.2 0.2 0.0 22.6 -40.6
pair MACD SLmean pos-neg 51 27.0 1.1 52.9 0.2 0.2 0.0 22.6 -40.6
pair RSIhist MACDhist neg-neg 80 42.3 1.1 62.5 0.2 0.2 0.0 28.5 -55.0
pair MACDhist RSIhist neg-neg 80 42.3 1.1 62.5 0.2 0.2 0.0 28.5 -55.0
pair benchmark___benchmark_ benchmark-benchmark 189 100.0 0.6 56.6 0.1 0.2 0.0 22.6 -53.8
pair benchmark___benchmark_ benchmark-benchmark 189 100.0 0.6 56.6 0.1 0.2 0.0 22.6 -53.8
pair RSmean SLmean pos-pos 97 51.3 0.3 54.6 0.1 0.1 0.0 18.9 -33.2
pair SLmean RSmean pos-pos 97 51.3 0.3 54.6 0.1 0.1 0.0 18.9 -33.2
single RSmean RSmean pos-pos 168 88.9 -0.7 56.5 0.1 0.1 -0.0 22.6 -48.6
pair RSIhist SLmean neg-pos 11 5.8 -0.7 45.5 0.0 0.1 -0.1 18.6 -15.2
pair SLmean RSIhist neg-pos 11 5.8 -0.7 45.5 0.0 0.1 -0.1 18.6 -15.2
pair RSI MACD neg-pos 50 26.5 -0.9 54.0 0.1 0.1 -0.0 22.4 -42.2
pair MACD RSI neg-pos 50 26.5 -0.9 54.0 0.1 0.1 -0.0 22.4 -42.2
pair SLmean RSIhist pos-pos 82 43.4 -1.1 50.0 0.0 0.0 -0.0 17.9 -30.5
pair RSIhist SLmean pos-pos 82 43.4 -1.1 50.0 0.0 0.0 -0.0 17.9 -30.5
single RSIhist RSIhist pos-pos 93 49.2 -1.1 49.5 0.0 0.0 -0.0 17.9 -34.8
pair MACDhist SLmean neg-pos 20 10.6 -1.2 55.0 0.0 0.0 -0.1 16.4 -10.0
pair SLmean MACDhist neg-pos 20 10.6 -1.2 55.0 0.0 0.0 -0.1 16.4 -10.0
pair SLmean RSmean neg-pos 71 37.6 -1.9 59.2 0.1 0.1 -0.0 26.9 -48.8
pair RSmean SLmean neg-pos 71 37.6 -1.9 59.2 0.1 0.1 -0.0 26.9 -48.8
single SLmean SLmean pos-pos 103 54.5 -2.3 52.4 -0.0 -0.0 -0.1 18.9 -33.9
pair RSmean RSIhist pos-neg 78 41.3 -2.9 62.8 0.0 0.0 -0.1 27.3 -56.0
pair RSIhist RSmean pos-neg 78 41.3 -2.9 62.8 0.0 0.0 -0.1 27.3 -56.0
pair MACDhist RSmean pos-pos 76 40.2 -3.3 51.3 -0.2 -0.3 -0.1 14.2 -28.7
pair RSmean MACDhist pos-pos 76 40.2 -3.3 51.3 -0.2 -0.3 -0.1 14.2 -28.7
pair MACDhist MACD neg-pos 32 16.9 -3.8 46.9 -0.2 -0.3 -0.2 16.2 -18.0
pair MACD MACDhist neg-pos 32 16.9 -3.8 46.9 -0.2 -0.3 -0.2 16.2 -18.0
single RSI RSI pos-pos 116 61.4 -3.9 52.6 -0.1 -0.2 -0.1 18.2 -52.2
pair MRmean LWTI neg-pos 54 28.6 -4.5 61.1 -0.0 -0.0 -0.1 28.6 -59.7
pair LWTI MRmean neg-pos 54 28.6 -4.5 61.1 -0.0 -0.0 -0.1 28.6 -59.7
pair RSI LWTI pos-pos 103 54.5 -5.3 51.5 -0.2 -0.3 -0.1 18.2 -56.2
pair LWTI RSI pos-pos 103 54.5 -5.3 51.5 -0.2 -0.3 -0.1 18.2 -56.2
pair SLmean MACD pos-pos 52 27.5 -5.5 51.9 -0.3 -0.5 -0.1 14.5 -37.1
pair MACD SLmean pos-pos 52 27.5 -5.5 51.9 -0.3 -0.5 -0.1 14.5 -37.1
pair MRmean MACDhist pos-neg 36 19.0 -5.5 50.0 -0.1 -0.2 -0.2 21.8 -30.9
pair MACDhist MRmean pos-neg 36 19.0 -5.5 50.0 -0.1 -0.2 -0.2 21.8 -30.9
single MACDhist MACDhist pos-pos 78 41.3 -5.7 50.0 -0.3 -0.5 -0.2 14.7 -35.0
pair RSmean RSI pos-pos 96 50.8 -5.8 52.1 -0.3 -0.3 -0.1 17.2 -42.6
pair RSI RSmean pos-pos 96 50.8 -5.8 52.1 -0.3 -0.3 -0.1 17.2 -42.6
pair RSmean MRmean pos-pos 97 51.3 -5.9 50.5 -0.3 -0.3 -0.1 17.1 -43.7
pair MRmean RSmean pos-pos 97 51.3 -5.9 50.5 -0.3 -0.3 -0.1 17.1 -43.7
pair MACD RSI pos-pos 66 34.9 -6.1 51.5 -0.4 -0.6 -0.1 14.3 -43.2
pair RSI MACD pos-pos 66 34.9 -6.1 51.5 -0.4 -0.6 -0.1 14.3 -43.2
pair LWTI RSIhist neg-pos 76 40.2 -6.2 60.5 -0.1 -0.1 -0.1 26.5 -61.0
pair RSIhist LWTI neg-pos 76 40.2 -6.2 60.5 -0.1 -0.1 -0.1 26.5 -61.0
pair MRmean SLmean pos-pos 91 48.1 -6.5 49.5 -0.3 -0.4 -0.1 17.6 -44.7
pair SLmean MRmean pos-pos 91 48.1 -6.5 49.5 -0.3 -0.4 -0.1 17.6 -44.7
pair MRmean RSIhist pos-pos 82 43.4 -6.6 46.3 -0.3 -0.6 -0.1 15.9 -43.4
pair RSIhist MRmean pos-pos 82 43.4 -6.6 46.3 -0.3 -0.6 -0.1 15.9 -43.4
pair MACD RSIhist pos-neg 37 19.6 -6.7 62.2 -0.3 -0.3 -0.2 19.1 -34.3
pair RSIhist SLmean pos-neg 21 11.1 -6.7 61.9 -0.2 -0.2 -0.2 22.8 -31.1
pair SLmean RSIhist pos-neg 21 11.1 -6.7 61.9 -0.2 -0.2 -0.2 22.8 -31.1
pair RSIhist MACD pos-neg 37 19.6 -6.7 62.2 -0.3 -0.3 -0.2 19.1 -34.3
pair LWTI SLmean neg-pos 62 32.8 -6.8 58.1 -0.1 -0.1 -0.1 27.1 -67.1
pair SLmean LWTI neg-pos 62 32.8 -6.8 58.1 -0.1 -0.1 -0.1 27.1 -67.1
pair MACD LWTI pos-pos 77 40.7 -6.8 54.5 -0.3 -0.4 -0.1 17.0 -54.2
pair RSI RSIhist pos-pos 73 38.6 -6.8 46.6 -0.4 -0.6 -0.2 16.1 -41.4
pair RSIhist RSI pos-pos 73 38.6 -6.8 46.6 -0.4 -0.6 -0.2 16.1 -41.4
pair LWTI MACD pos-pos 77 40.7 -6.8 54.5 -0.3 -0.4 -0.1 17.0 -54.2
pair MACD MACDhist pos-pos 46 24.3 -7.0 52.2 -0.5 -0.6 -0.3 13.7 -27.3
pair MACDhist MACD pos-pos 46 24.3 -7.0 52.2 -0.5 -0.6 -0.3 13.7 -27.3
pair SLmean RSI pos-pos 87 46.0 -7.1 50.6 -0.3 -0.4 -0.1 17.6 -46.0
pair RSI SLmean pos-pos 87 46.0 -7.1 50.6 -0.3 -0.4 -0.1 17.6 -46.0
pair MACDhist SLmean pos-pos 58 30.7 -7.2 48.3 -0.5 -0.6 -0.2 14.2 -33.1
pair SLmean MACDhist pos-pos 58 30.7 -7.2 48.3 -0.5 -0.6 -0.2 14.2 -33.1
pair MRmean MACD pos-neg 48 25.4 -7.3 47.9 -0.3 -0.3 -0.2 20.1 -36.3
pair MACD MRmean pos-neg 48 25.4 -7.3 47.9 -0.3 -0.3 -0.2 20.1 -36.3
single MRmean MRmean pos-pos 104 55.0 -7.4 49.0 -0.4 -0.5 -0.1 17.0 -52.6
pair MACD MRmean pos-pos 56 29.6 -7.5 50.0 -0.5 -0.7 -0.2 14.1 -43.0
pair MRmean MACD pos-pos 56 29.6 -7.5 50.0 -0.5 -0.7 -0.2 14.1 -43.0
pair RSmean MACD pos-pos 74 39.2 -7.6 55.4 -0.4 -0.4 -0.1 17.5 -54.1
pair MACD RSmean pos-pos 74 39.2 -7.6 55.4 -0.4 -0.4 -0.1 17.5 -54.1
pair MACDhist LWTI pos-pos 69 36.5 -7.8 49.3 -0.5 -0.7 -0.2 14.6 -40.5
pair LWTI MACDhist pos-pos 69 36.5 -7.8 49.3 -0.5 -0.7 -0.2 14.6 -40.5
single LWTI LWTI pos-pos 138 73.0 -8.0 52.9 -0.3 -0.3 -0.1 22.2 -77.4
pair MACDhist LWTI neg-pos 69 36.5 -8.1 56.5 -0.1 -0.2 -0.1 27.9 -64.2
pair LWTI MACDhist neg-pos 69 36.5 -8.1 56.5 -0.1 -0.2 -0.1 27.9 -64.2
pair MACDhist MRmean pos-pos 68 36.0 -8.4 48.5 -0.6 -0.8 -0.2 14.1 -41.6
pair MRmean MACDhist pos-pos 68 36.0 -8.4 48.5 -0.6 -0.8 -0.2 14.1 -41.6
single MACD MACD pos-pos 81 42.9 -8.4 53.1 -0.4 -0.5 -0.1 17.0 -56.8
pair MRmean RSI pos-pos 92 48.7 -8.7 48.9 -0.4 -0.5 -0.2 17.5 -54.1
pair RSI MRmean pos-pos 92 48.7 -8.7 48.9 -0.4 -0.5 -0.2 17.5 -54.1
pair LWTI SLmean pos-pos 76 40.2 -8.9 48.7 -0.5 -0.5 -0.2 17.3 -48.9
pair SLmean LWTI pos-pos 76 40.2 -8.9 48.7 -0.5 -0.5 -0.2 17.3 -48.9
pair RSIhist MACDhist pos-pos 62 32.8 -8.9 45.2 -0.5 -0.8 -0.2 15.1 -40.7
pair MACDhist RSIhist pos-pos 62 32.8 -8.9 45.2 -0.5 -0.8 -0.2 15.1 -40.7
pair MACD LWTI neg-pos 61 32.3 -9.4 50.8 -0.2 -0.2 -0.1 27.5 -62.5
pair LWTI MACD neg-pos 61 32.3 -9.4 50.8 -0.2 -0.2 -0.1 27.5 -62.5
pair MACDhist RSI pos-pos 66 34.9 -9.7 47.0 -0.6 -0.9 -0.2 14.5 -45.3
pair RSI MACDhist pos-pos 66 34.9 -9.7 47.0 -0.6 -0.9 -0.2 14.5 -45.3
pair MACD RSIhist pos-pos 44 23.3 -9.8 45.5 -0.6 -0.9 -0.2 15.3 -40.7
pair RSIhist MACD pos-pos 44 23.3 -9.8 45.5 -0.6 -0.9 -0.2 15.3 -40.7
pair LWTI RSIhist pos-pos 62 32.8 -10.1 43.5 -0.6 -0.9 -0.2 15.4 -47.9
pair RSIhist LWTI pos-pos 62 32.8 -10.1 43.5 -0.6 -0.9 -0.2 15.4 -47.9
pair LWTI MRmean pos-pos 84 44.4 -10.1 47.6 -0.5 -0.7 -0.2 16.9 -56.4
pair MRmean LWTI pos-pos 84 44.4 -10.1 47.6 -0.5 -0.7 -0.2 16.9 -56.4
pair MACDhist MACD pos-neg 35 18.5 -10.2 54.3 -0.4 -0.5 -0.2 20.8 -40.6
pair MACD MACDhist pos-neg 35 18.5 -10.2 54.3 -0.4 -0.5 -0.2 20.8 -40.6
pair MRmean MACD neg-pos 25 13.2 -10.3 60.0 -0.4 -0.4 -0.3 22.5 -34.4
pair MACD MRmean neg-pos 25 13.2 -10.3 60.0 -0.4 -0.4 -0.3 22.5 -34.4
pair RSIhist MRmean pos-neg 22 11.6 -10.3 59.1 -0.4 -0.3 -0.4 21.2 -28.0
pair MRmean RSIhist pos-neg 22 11.6 -10.3 59.1 -0.4 -0.3 -0.4 21.2 -28.0
pair LWTI RSmean pos-pos 117 61.9 -11.0 52.1 -0.4 -0.4 -0.1 21.9 -73.2
pair RSmean LWTI pos-pos 117 61.9 -11.0 52.1 -0.4 -0.4 -0.1 21.9 -73.2
pair SLmean MRmean pos-neg 13 6.9 -13.3 46.2 -1.0 -1.8 -0.7 13.1 -18.7
pair MRmean SLmean pos-neg 13 6.9 -13.3 46.2 -1.0 -1.8 -0.7 13.1 -18.7
pair MACD SLmean neg-pos 29 15.3 -13.3 55.2 -0.6 -0.6 -0.3 21.0 -38.6
pair SLmean MACD neg-pos 29 15.3 -13.3 55.2 -0.6 -0.6 -0.3 21.0 -38.6
pair LWTI RSI neg-pos 35 18.5 -15.3 57.1 -0.4 -0.4 -0.3 31.4 -58.7
pair RSI LWTI neg-pos 35 18.5 -15.3 57.1 -0.4 -0.4 -0.3 31.4 -58.7
pair MACD RSmean neg-pos 7 3.7 -16.5 28.6 -1.5 -3.1 -2.2 11.4 -7.4
pair RSmean MACD neg-pos 7 3.7 -16.5 28.6 -1.5 -3.1 -2.2 11.4 -7.4
pair MACD RSI pos-neg 15 7.9 -17.7 60.0 -0.6 -0.7 -1.0 26.3 -18.3
pair RSI MACD pos-neg 15 7.9 -17.7 60.0 -0.6 -0.7 -1.0 26.3 -18.3
pair MRmean RSmean pos-neg 7 3.7 -25.6 28.6 -1.7 -2.1 -1.3 16.4 -20.4
pair RSmean MRmean pos-neg 7 3.7 -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 3.2 -36.0 16.7 -2.8 -3.3 -2.0 15.1 -17.7
pair RSmean SLmean pos-neg 6 3.2 -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 1.1 -62.5 0.0 -6.4 -6.4 -12.9 14.5 -4.8
pair RSmean MACDhist neg-pos 2 1.1 -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 -6.5% | Win 50%
Sharpe -0.29 | Sortino -0.37 | Calmar -0.1
Vol 18% | MDD -44.7%
Months 91M (48%)
CAGR -13.3% | Win 46%
Sharpe -1.02 | Sortino -1.80 | Calmar -0.7
Vol 13% | MDD -18.7%
Months 13M (7%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (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 7.5% | Win 64%
Sharpe 0.41 | Sortino 0.47 | Calmar 0.2
Vol 28% | MDD -47.1%
Months 73M (39%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
SLmean
only
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (54%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -5.9% | Win 50%
Sharpe -0.27 | Sortino -0.35 | Calmar -0.1
Vol 17% | MDD -43.7%
Months 97M (51%)
CAGR -25.6% | Win 29%
Sharpe -1.71 | Sortino -2.11 | Calmar -1.3
Vol 16% | MDD -20.4%
Months 7M (4%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (55%)
MRmean
neg
CAGR 7.0% | Win 65%
Sharpe 0.39 | Sortino 0.44 | Calmar 0.2
Vol 28% | MDD -42.4%
Months 71M (38%)
CAGR 35.2% | Win 71%
Sharpe 1.36 | Sortino 2.80 | Calmar 2.6
Vol 24% | MDD -13.5%
Months 14M (7%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
RSmean
only
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 (30%)
CAGR -7.3% | Win 48%
Sharpe -0.27 | Sortino -0.34 | Calmar -0.2
Vol 20% | MDD -36.3%
Months 48M (25%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (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 21.6% | Win 68%
Sharpe 0.83 | Sortino 0.95 | Calmar 0.7
Vol 29% | MDD -31.9%
Months 60M (32%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
MACD
only
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (43%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
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 (49%)
CAGR 3.3% | Win 50%
Sharpe 0.30 | Sortino 1.13 | Calmar 0.3
Vol 14% | MDD -11.8%
Months 12M (6%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (55%)
MRmean
neg
CAGR 17.0% | Win 67%
Sharpe 0.88 | Sortino 1.46 | Calmar 1.3
Vol 20% | MDD -13.5%
Months 24M (13%)
CAGR 9.0% | Win 66%
Sharpe 0.45 | Sortino 0.52 | Calmar 0.2
Vol 30% | MDD -39.1%
Months 61M (32%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (61%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -8.4% | Win 48%
Sharpe -0.55 | Sortino -0.78 | Calmar -0.2
Vol 14% | MDD -41.6%
Months 68M (36%)
CAGR -5.5% | Win 50%
Sharpe -0.15 | Sortino -0.18 | Calmar -0.2
Vol 22% | MDD -30.9%
Months 36M (19%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (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 10.7% | Win 67%
Sharpe 0.51 | Sortino 0.60 | Calmar 0.2
Vol 29% | MDD -44.0%
Months 75M (40%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
MACDhist
only
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (59%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -6.6% | Win 46%
Sharpe -0.35 | Sortino -0.58 | Calmar -0.2
Vol 16% | MDD -43.4%
Months 82M (43%)
CAGR -10.3% | Win 59%
Sharpe -0.40 | Sortino -0.35 | Calmar -0.4
Vol 21% | MDD -28.0%
Months 22M (12%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (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 6.2% | Win 65%
Sharpe 0.36 | Sortino 0.43 | Calmar 0.1
Vol 28% | MDD -54.4%
Months 74M (39%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
RSIhist
only
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (51%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -10.1% | Win 48%
Sharpe -0.54 | Sortino -0.65 | Calmar -0.2
Vol 17% | MDD -56.4%
Months 84M (44%)
CAGR 5.1% | Win 55%
Sharpe 0.37 | Sortino 0.80 | Calmar 0.4
Vol 18% | MDD -14.2%
Months 20M (11%)
CAGR -7.4% | Win 49%
Sharpe -0.36 | Sortino -0.47 | Calmar -0.1
Vol 17% | MDD -52.6%
Months 104M (55%)
MRmean
neg
CAGR -4.5% | Win 61%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 29% | MDD -59.7%
Months 54M (29%)
CAGR 45.0% | Win 74%
Sharpe 1.65 | Sortino 2.27 | Calmar 2.1
Vol 25% | MDD -21.5%
Months 31M (16%)
CAGR 11.2% | Win 66%
Sharpe 0.53 | Sortino 0.63 | Calmar 0.3
Vol 28% | MDD -42.4%
Months 85M (45%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 0.3% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 19% | MDD -33.2%
Months 97M (51%)
CAGR -36.0% | Win 17%
Sharpe -2.84 | Sortino -3.27 | Calmar -2.0
Vol 15% | MDD -17.7%
Months 6M (3%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (54%)
SLmean
neg
CAGR -1.9% | Win 59%
Sharpe 0.07 | Sortino 0.08 | Calmar -0.0
Vol 27% | MDD -48.8%
Months 71M (38%)
CAGR 37.9% | Win 73%
Sharpe 1.51 | Sortino 2.71 | Calmar 2.8
Vol 23% | MDD -13.5%
Months 15M (8%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
RSmean
only
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 (28%)
CAGR 1.1% | Win 53%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -40.6%
Months 51M (27%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (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 14.3% | Win 65%
Sharpe 0.62 | Sortino 0.72 | Calmar 0.4
Vol 28% | MDD -33.8%
Months 57M (30%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
MACD
only
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (43%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
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 (46%)
CAGR 28.8% | Win 62%
Sharpe 1.19 | Sortino 2.02 | Calmar 2.4
Vol 24% | MDD -11.9%
Months 16M (8%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (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 2.9% | Win 63%
Sharpe 0.25 | Sortino 0.29 | Calmar 0.1
Vol 29% | MDD -39.1%
Months 57M (30%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (61%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -7.2% | Win 48%
Sharpe -0.45 | Sortino -0.63 | Calmar -0.2
Vol 14% | MDD -33.1%
Months 58M (31%)
CAGR 4.4% | Win 58%
Sharpe 0.30 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -33.9%
Months 45M (24%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (54%)
SLmean
neg
CAGR -1.2% | Win 55%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 16% | MDD -10.0%
Months 20M (11%)
CAGR 5.7% | Win 64%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 29% | MDD -48.5%
Months 66M (35%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
MACDhist
only
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (59%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR -1.1% | Win 50%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -30.5%
Months 82M (43%)
CAGR -6.7% | Win 62%
Sharpe -0.18 | Sortino -0.16 | Calmar -0.2
Vol 23% | MDD -31.1%
Months 21M (11%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (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 4.8% | Win 64%
Sharpe 0.32 | Sortino 0.37 | Calmar 0.1
Vol 28% | MDD -52.3%
Months 75M (40%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
RSIhist
only
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (51%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR -8.9% | Win 49%
Sharpe -0.45 | Sortino -0.53 | Calmar -0.2
Vol 17% | MDD -48.9%
Months 76M (40%)
CAGR 19.0% | Win 63%
Sharpe 0.90 | Sortino 1.62 | Calmar 1.6
Vol 22% | MDD -11.9%
Months 27M (14%)
CAGR -2.3% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 19% | MDD -33.9%
Months 103M (54%)
SLmean
neg
CAGR -6.8% | Win 58%
Sharpe -0.11 | Sortino -0.13 | Calmar -0.1
Vol 27% | MDD -67.1%
Months 62M (33%)
CAGR 38.5% | Win 71%
Sharpe 1.53 | Sortino 2.19 | Calmar 1.8
Vol 23% | MDD -21.5%
Months 24M (13%)
CAGR 4.1% | Win 62%
Sharpe 0.29 | Sortino 0.35 | Calmar 0.1
Vol 26% | MDD -48.8%
Months 86M (46%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 (39%)
CAGR 5.1% | Win 57%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.2
Vol 26% | MDD -31.9%
Months 94M (50%)
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 (43%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
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 (51%)
CAGR 6.6% | Win 62%
Sharpe 0.38 | Sortino 0.44 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 72M (38%)
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (89%)
RSmean
neg
CAGR 5.6% | Win 55%
Sharpe 0.34 | Sortino 0.63 | Calmar 0.3
Vol 23% | MDD -19.7%
Months 20M (11%)
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 (61%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -3.3% | Win 51%
Sharpe -0.17 | Sortino -0.26 | Calmar -0.1
Vol 14% | MDD -28.7%
Months 76M (40%)
CAGR 1.6% | Win 61%
Sharpe 0.20 | Sortino 0.24 | Calmar 0.0
Vol 28% | MDD -45.0%
Months 92M (49%)
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (59%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 1.3% | Win 51%
Sharpe 0.16 | Sortino 0.28 | Calmar 0.0
Vol 18% | MDD -31.5%
Months 90M (48%)
CAGR -2.9% | Win 63%
Sharpe 0.04 | Sortino 0.04 | Calmar -0.1
Vol 27% | MDD -56.0%
Months 78M (41%)
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 (10%)
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 -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (51%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -11.0% | Win 52%
Sharpe -0.41 | Sortino -0.44 | Calmar -0.1
Vol 22% | MDD -73.2%
Months 117M (62%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)
CAGR -0.7% | Win 56%
Sharpe 0.09 | Sortino 0.11 | Calmar -0.0
Vol 23% | MDD -48.6%
Months 168M (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 -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 (35%)
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 (43%)
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 15.9% | Win 64%
Sharpe 0.67 | Sortino 0.78 | Calmar 0.5
Vol 28% | MDD -31.9%
Months 58M (31%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
RSI
only
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (61%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
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 (43%)
MACD
neg
CAGR -3.8% | Win 47%
Sharpe -0.16 | Sortino -0.27 | Calmar -0.2
Vol 16% | MDD -18.0%
Months 32M (17%)
CAGR 13.1% | Win 64%
Sharpe 0.58 | Sortino 0.67 | Calmar 0.4
Vol 29% | MDD -31.9%
Months 76M (40%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
MACDhist
only
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (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 (20%)
CAGR -8.4% | Win 53%
Sharpe -0.42 | Sortino -0.52 | Calmar -0.1
Vol 17% | MDD -56.8%
Months 81M (43%)
MACD
neg
CAGR 7.5% | Win 53%
Sharpe 0.46 | Sortino 0.87 | Calmar 0.4
Vol 20% | MDD -17.0%
Months 49M (26%)
CAGR 8.1% | Win 64%
Sharpe 0.42 | Sortino 0.47 | Calmar 0.2
Vol 30% | MDD -39.6%
Months 59M (31%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
RSIhist
only
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (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 (41%)
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 (43%)
MACD
neg
CAGR -9.4% | Win 51%
Sharpe -0.21 | Sortino -0.24 | Calmar -0.2
Vol 28% | MDD -62.5%
Months 61M (32%)
CAGR 35.2% | Win 70%
Sharpe 1.48 | Sortino 2.37 | Calmar 1.6
Vol 22% | MDD -21.5%
Months 47M (25%)
CAGR 7.8% | Win 59%
Sharpe 0.43 | Sortino 0.52 | Calmar 0.2
Vol 26% | MDD -37.5%
Months 108M (57%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 (35%)
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 (61%)
RSI
neg
CAGR 20.1% | Win 67%
Sharpe 1.36 | Sortino 3.71 | Calmar 3.8
Vol 14% | MDD -5.3%
Months 12M (6%)
CAGR 5.8% | Win 62%
Sharpe 0.35 | Sortino 0.41 | Calmar 0.1
Vol 30% | MDD -39.8%
Months 61M (32%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
MACDhist
only
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (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 (39%)
CAGR 1.3% | Win 63%
Sharpe 0.17 | Sortino 0.19 | Calmar 0.0
Vol 21% | MDD -33.5%
Months 43M (23%)
CAGR -3.9% | Win 53%
Sharpe -0.12 | Sortino -0.17 | Calmar -0.1
Vol 18% | MDD -52.2%
Months 116M (61%)
RSI
neg
CAGR 23.0% | Win 60%
Sharpe 1.03 | Sortino 1.93 | Calmar 1.9
Vol 22% | MDD -11.9%
Months 20M (11%)
CAGR 2.9% | Win 64%
Sharpe 0.26 | Sortino 0.29 | Calmar 0.1
Vol 30% | MDD -46.4%
Months 53M (28%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
RSIhist
only
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (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 (61%)
RSI
neg
CAGR -15.3% | Win 57%
Sharpe -0.36 | Sortino -0.39 | Calmar -0.3
Vol 31% | MDD -58.7%
Months 35M (18%)
CAGR 35.3% | Win 68%
Sharpe 1.41 | Sortino 2.28 | Calmar 1.6
Vol 24% | MDD -21.5%
Months 38M (20%)
CAGR 8.1% | Win 63%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.2
Vol 28% | MDD -39.1%
Months 73M (39%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 -8.9% | Win 45%
Sharpe -0.54 | Sortino -0.80 | Calmar -0.2
Vol 15% | MDD -40.7%
Months 62M (33%)
CAGR 7.9% | Win 69%
Sharpe 0.67 | Sortino 0.92 | Calmar 1.3
Vol 12% | MDD -5.9%
Months 16M (8%)
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (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 1.1% | Win 62%
Sharpe 0.19 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -55.0%
Months 80M (42%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (59%)
RSIhist
only
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (51%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -7.8% | Win 49%
Sharpe -0.48 | Sortino -0.69 | Calmar -0.2
Vol 15% | MDD -40.5%
Months 69M (36%)
CAGR 12.6% | Win 56%
Sharpe 0.85 | Sortino 2.21 | Calmar 2.5
Vol 15% | MDD -5.1%
Months 9M (5%)
CAGR -5.7% | Win 50%
Sharpe -0.32 | Sortino -0.48 | Calmar -0.2
Vol 15% | MDD -35.0%
Months 78M (41%)
MACDhist
neg
CAGR -8.1% | Win 56%
Sharpe -0.15 | Sortino -0.17 | Calmar -0.1
Vol 28% | MDD -64.2%
Months 69M (36%)
CAGR 31.3% | Win 69%
Sharpe 1.27 | Sortino 2.10 | Calmar 1.5
Vol 24% | MDD -21.5%
Months 42M (22%)
CAGR 5.2% | Win 61%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 27% | MDD -45.0%
Months 111M (59%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (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 -10.1% | Win 44%
Sharpe -0.61 | Sortino -0.94 | Calmar -0.2
Vol 15% | MDD -47.9%
Months 62M (33%)
CAGR 19.7% | Win 61%
Sharpe 0.95 | Sortino 1.69 | Calmar 1.4
Vol 21% | MDD -14.2%
Months 31M (16%)
CAGR -1.1% | Win 50%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 18% | MDD -34.8%
Months 93M (49%)
RSIhist
neg
CAGR -6.2% | Win 60%
Sharpe -0.10 | Sortino -0.10 | Calmar -0.1
Vol 26% | MDD -61.0%
Months 76M (40%)
CAGR 41.4% | Win 75%
Sharpe 1.55 | Sortino 2.34 | Calmar 1.9
Vol 25% | MDD -21.5%
Months 20M (11%)
CAGR 2.2% | Win 64%
Sharpe 0.22 | Sortino 0.25 | Calmar 0.0
Vol 26% | MDD -55.7%
Months 96M (51%)
LWTI
only
CAGR -8.0% | Win 53%
Sharpe -0.26 | Sortino -0.29 | Calmar -0.1
Vol 22% | MDD -77.4%
Months 138M (73%)
CAGR 27.8% | Win 67%
Sharpe 1.21 | Sortino 2.01 | Calmar 1.3
Vol 22% | MDD -21.5%
Months 51M (27%)