EIRL - iShares MSCI Ireland ETF

Signal Pair Analysis

MACD-MACDhist

Best Pair

140.7%

Best CAGR

55

Total Months

16.4%

Avg CAGR

EIRL 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 EIRL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACD MACDhist neg-pos 3 1.5 140.7 100.0 3.9 0.0 0.0 24.0 0.0
pair MACDhist MACD neg-pos 3 1.5 140.7 100.0 3.9 0.0 0.0 24.0 0.0
pair MACDhist LWTI pos-neg 3 1.5 140.7 100.0 3.9 0.0 0.0 24.0 0.0
pair LWTI MACDhist pos-neg 3 1.5 140.7 100.0 3.9 0.0 0.0 24.0 0.0
pair RSI RSmean neg-neg 5 2.6 88.6 80.0 3.2 0.0 0.0 21.1 0.0
pair RSmean RSI neg-neg 5 2.6 88.6 80.0 3.2 0.0 0.0 21.1 0.0
pair RSI RSIhist neg-pos 4 2.1 77.0 75.0 2.6 0.0 47.7 23.1 -1.6
pair RSIhist RSI neg-pos 4 2.1 77.0 75.0 2.6 0.0 47.7 23.1 -1.6
pair RSI MRmean pos-neg 3 1.5 73.8 66.7 2.1 0.0 45.8 28.2 -1.6
pair MRmean RSI pos-neg 3 1.5 73.8 66.7 2.1 0.0 45.8 28.2 -1.6
pair SLmean RSI pos-neg 9 4.6 62.1 77.8 2.5 7.1 38.5 20.3 -1.6
pair RSI SLmean pos-neg 9 4.6 62.1 77.8 2.5 7.1 38.5 20.3 -1.6
pair RSIhist RSmean neg-pos 5 2.6 61.6 60.0 2.1 68.3 21.3 24.5 -2.9
pair RSmean RSIhist neg-pos 5 2.6 61.6 60.0 2.1 68.3 21.3 24.5 -2.9
pair LWTI RSmean neg-neg 2 1.0 60.6 100.0 7.5 0.0 0.0 6.4 0.0
pair RSmean LWTI neg-neg 2 1.0 60.6 100.0 7.5 0.0 0.0 6.4 0.0
pair MACD RSI neg-neg 24 12.3 49.8 66.7 1.8 3.2 3.6 23.8 -13.8
pair RSI MACD neg-neg 24 12.3 49.8 66.7 1.8 3.2 3.6 23.8 -13.8
pair MACD LWTI neg-neg 14 7.2 48.0 57.1 1.6 2.8 3.5 27.0 -13.8
pair LWTI MACD neg-neg 14 7.2 48.0 57.1 1.6 2.8 3.5 27.0 -13.8
pair SLmean LWTI pos-neg 22 11.3 42.9 68.2 2.0 8.0 6.0 18.4 -7.2
pair LWTI SLmean pos-neg 22 11.3 42.9 68.2 2.0 8.0 6.0 18.4 -7.2
pair MRmean SLmean neg-pos 9 4.6 38.6 77.8 2.1 8.3 13.5 16.4 -2.9
pair SLmean MRmean neg-pos 9 4.6 38.6 77.8 2.1 8.3 13.5 16.4 -2.9
pair MACD SLmean pos-neg 18 9.2 36.6 55.6 1.4 2.8 2.9 25.2 -12.5
pair SLmean MACD pos-neg 18 9.2 36.6 55.6 1.4 2.8 2.9 25.2 -12.5
pair RSI LWTI pos-neg 18 9.2 34.7 61.1 1.7 6.7 4.8 18.4 -7.2
pair LWTI RSI pos-neg 18 9.2 34.7 61.1 1.7 6.7 4.8 18.4 -7.2
pair MRmean LWTI pos-neg 17 8.7 33.8 58.8 1.6 6.6 4.7 19.5 -7.2
pair LWTI MRmean pos-neg 17 8.7 33.8 58.8 1.6 6.6 4.7 19.5 -7.2
pair MRmean RSIhist neg-pos 4 2.1 33.2 50.0 1.3 41.4 11.5 23.9 -2.9
pair RSIhist MRmean neg-pos 4 2.1 33.2 50.0 1.3 41.4 11.5 23.9 -2.9
pair LWTI RSIhist pos-neg 17 8.7 32.7 58.8 1.6 6.5 4.5 19.3 -7.2
pair RSIhist LWTI pos-neg 17 8.7 32.7 58.8 1.6 6.5 4.5 19.3 -7.2
single LWTI LWTI neg-neg 35 17.9 32.3 65.7 1.4 2.0 1.5 22.4 -21.2
pair RSI MACDhist neg-neg 39 20.0 32.2 69.2 1.4 2.0 1.5 22.6 -21.6
pair MACDhist RSI neg-neg 39 20.0 32.2 69.2 1.4 2.0 1.5 22.6 -21.6
pair LWTI RSIhist neg-neg 18 9.2 31.9 72.2 1.2 1.4 1.5 25.6 -21.2
pair RSIhist LWTI neg-neg 18 9.2 31.9 72.2 1.2 1.4 1.5 25.6 -21.2
pair LWTI MRmean neg-neg 18 9.2 30.9 72.2 1.2 1.4 1.5 25.5 -21.2
pair MRmean LWTI neg-neg 18 9.2 30.9 72.2 1.2 1.4 1.5 25.5 -21.2
pair LWTI RSmean pos-neg 33 16.9 30.8 63.6 1.3 1.9 1.4 23.1 -21.2
pair RSmean LWTI pos-neg 33 16.9 30.8 63.6 1.3 1.9 1.4 23.1 -21.2
pair RSmean MACD neg-neg 14 7.2 30.6 64.3 1.2 2.5 2.8 25.8 -10.8
pair MACD RSmean neg-neg 14 7.2 30.6 64.3 1.2 2.5 2.8 25.8 -10.8
pair RSIhist MACD neg-pos 19 9.7 30.3 52.6 1.2 2.6 2.4 24.5 -12.5
pair MACD RSIhist neg-pos 19 9.7 30.3 52.6 1.2 2.6 2.4 24.5 -12.5
pair LWTI RSI neg-neg 17 8.7 29.7 70.6 1.1 1.3 1.4 26.6 -21.2
pair RSI LWTI neg-neg 17 8.7 29.7 70.6 1.1 1.3 1.4 26.6 -21.2
pair MRmean MACD pos-neg 15 7.7 29.5 53.3 1.1 2.2 2.4 25.5 -12.5
pair MACD MRmean pos-neg 15 7.7 29.5 53.3 1.1 2.2 2.4 25.5 -12.5
single MACD MACD neg-neg 45 23.1 25.5 57.8 1.0 2.0 1.1 25.0 -22.4
pair LWTI MACDhist neg-neg 32 16.4 25.1 62.5 1.1 1.6 1.2 21.9 -21.2
pair MACDhist LWTI neg-neg 32 16.4 25.1 62.5 1.1 1.6 1.2 21.9 -21.2
pair MACD MRmean neg-neg 30 15.4 23.6 60.0 1.0 1.8 1.4 25.2 -17.5
pair MRmean MACD neg-neg 30 15.4 23.6 60.0 1.0 1.8 1.4 25.2 -17.5
pair MACD RSmean pos-neg 31 15.9 23.3 54.8 1.0 1.7 1.2 25.0 -19.7
pair RSmean MACD pos-neg 31 15.9 23.3 54.8 1.0 1.7 1.2 25.0 -19.7
pair LWTI MACD pos-neg 21 10.8 22.8 71.4 1.2 1.3 1.2 19.2 -18.8
pair MACD LWTI pos-neg 21 10.8 22.8 71.4 1.2 1.3 1.2 19.2 -18.8
pair RSmean MRmean neg-neg 14 7.2 22.2 64.3 0.9 1.9 2.1 24.4 -10.8
pair MRmean RSmean neg-neg 14 7.2 22.2 64.3 0.9 1.9 2.1 24.4 -10.8
pair MACD RSIhist neg-neg 26 13.3 22.1 61.5 0.9 1.7 1.5 25.8 -15.0
pair RSIhist MACD neg-neg 26 13.3 22.1 61.5 0.9 1.7 1.5 25.8 -15.0
pair SLmean RSIhist neg-pos 4 2.1 22.0 50.0 0.9 29.3 7.6 23.1 -2.9
pair RSIhist SLmean neg-pos 4 2.1 22.0 50.0 0.9 29.3 7.6 23.1 -2.9
single RSI RSI neg-neg 41 21.0 21.8 68.3 0.9 1.1 1.0 25.9 -22.6
pair RSIhist MACDhist neg-pos 34 17.4 21.2 55.9 1.1 2.2 1.7 18.3 -12.5
pair MACDhist RSIhist neg-pos 34 17.4 21.2 55.9 1.1 2.2 1.7 18.3 -12.5
pair MACDhist MACD neg-neg 42 21.5 19.8 54.8 0.9 1.6 0.9 24.8 -22.4
pair MACD MACDhist neg-neg 42 21.5 19.8 54.8 0.9 1.6 0.9 24.8 -22.4
single RSIhist RSIhist pos-pos 103 52.8 19.7 62.1 1.1 2.1 1.4 17.2 -14.1
pair RSIhist SLmean pos-pos 99 50.8 19.6 62.6 1.1 2.0 1.4 17.1 -14.1
pair SLmean RSIhist pos-pos 99 50.8 19.6 62.6 1.1 2.0 1.4 17.1 -14.1
pair RSIhist MRmean pos-pos 99 50.8 19.2 62.6 1.1 2.0 1.0 17.0 -18.4
pair MRmean RSIhist pos-pos 99 50.8 19.2 62.6 1.1 2.0 1.0 17.0 -18.4
pair MACDhist RSIhist pos-pos 69 35.4 18.9 65.2 1.1 2.0 1.2 16.7 -15.7
pair RSIhist MACDhist pos-pos 69 35.4 18.9 65.2 1.1 2.0 1.2 16.7 -15.7
pair MACDhist SLmean pos-neg 47 24.1 18.9 59.6 1.1 1.7 1.3 17.6 -15.0
pair SLmean MACDhist pos-neg 47 24.1 18.9 59.6 1.1 1.7 1.3 17.6 -15.0
pair SLmean MACD neg-neg 27 13.8 18.6 59.3 0.8 1.5 1.1 25.2 -17.5
pair MACD SLmean neg-neg 27 13.8 18.6 59.3 0.8 1.5 1.1 25.2 -17.5
pair MRmean RSI neg-neg 38 19.5 18.5 68.4 0.8 0.9 0.8 26.0 -22.6
pair RSI MRmean neg-neg 38 19.5 18.5 68.4 0.8 0.9 0.8 26.0 -22.6
pair RSmean RSIhist pos-pos 98 50.3 17.9 62.2 1.1 1.8 1.0 16.8 -18.4
pair RSIhist RSmean pos-pos 98 50.3 17.9 62.2 1.1 1.8 1.0 16.8 -18.4
pair RSIhist RSI pos-pos 99 50.8 17.8 61.6 1.1 1.9 1.0 16.9 -18.4
pair RSI RSIhist pos-pos 99 50.8 17.8 61.6 1.1 1.9 1.0 16.9 -18.4
pair RSIhist MACD pos-pos 84 43.1 17.4 64.3 1.1 1.9 0.8 15.2 -21.7
pair MACD RSIhist pos-pos 84 43.1 17.4 64.3 1.1 1.9 0.8 15.2 -21.7
pair LWTI RSIhist pos-pos 86 44.1 17.3 62.8 1.0 1.7 1.4 16.8 -12.4
pair RSIhist LWTI pos-pos 86 44.1 17.3 62.8 1.0 1.7 1.4 16.8 -12.4
pair RSIhist RSI neg-neg 37 19.0 17.0 67.6 0.7 0.9 0.8 26.2 -22.6
pair RSI RSIhist neg-neg 37 19.0 17.0 67.6 0.7 0.9 0.8 26.2 -22.6
pair LWTI MACD neg-pos 31 15.9 16.5 58.1 0.8 1.5 0.7 24.2 -22.4
pair MACD LWTI neg-pos 31 15.9 16.5 58.1 0.8 1.5 0.7 24.2 -22.4
pair RSI LWTI neg-pos 24 12.3 16.5 66.7 0.7 0.8 0.6 25.9 -30.3
pair LWTI RSI neg-pos 24 12.3 16.5 66.7 0.7 0.8 0.6 25.9 -30.3
pair LWTI SLmean neg-neg 13 6.7 16.1 61.5 0.7 0.8 0.8 28.5 -21.2
pair SLmean LWTI neg-neg 13 6.7 16.1 61.5 0.7 0.8 0.8 28.5 -21.2
pair SLmean RSmean pos-pos 117 60.0 15.0 60.7 0.9 1.5 0.7 17.1 -20.5
pair RSmean SLmean pos-pos 117 60.0 15.0 60.7 0.9 1.5 0.7 17.1 -20.5
pair RSmean RSI pos-neg 36 18.5 14.7 66.7 0.7 0.8 0.7 26.3 -22.6
pair RSI RSmean pos-neg 36 18.5 14.7 66.7 0.7 0.8 0.7 26.3 -22.6
single SLmean SLmean pos-pos 125 64.1 14.4 60.0 0.9 1.4 0.7 17.3 -19.7
pair MRmean MACDhist neg-neg 63 32.3 14.0 60.3 0.7 1.2 0.5 22.1 -27.4
pair MACDhist MRmean neg-neg 63 32.3 14.0 60.3 0.7 1.2 0.5 22.1 -27.4
pair RSmean MACDhist pos-neg 83 42.6 13.6 57.8 0.8 1.2 0.4 19.5 -31.5
pair MACDhist RSmean pos-neg 83 42.6 13.6 57.8 0.8 1.2 0.4 19.5 -31.5
single MACDhist MACDhist neg-neg 103 52.8 13.1 57.3 0.7 1.2 0.4 20.4 -31.5
pair SLmean MRmean pos-pos 116 59.5 12.7 58.6 0.8 1.2 0.7 17.4 -19.7
pair MRmean SLmean pos-pos 116 59.5 12.7 58.6 0.8 1.2 0.7 17.4 -19.7
pair RSI SLmean neg-neg 32 16.4 12.4 65.6 0.6 0.7 0.5 27.2 -24.7
pair SLmean RSI neg-neg 32 16.4 12.4 65.6 0.6 0.7 0.5 27.2 -24.7
pair MACDhist RSI pos-pos 90 46.2 12.4 60.0 0.8 1.3 0.6 17.6 -19.5
pair RSI MACDhist pos-pos 90 46.2 12.4 60.0 0.8 1.3 0.6 17.6 -19.5
pair RSmean MRmean pos-pos 122 62.6 12.2 59.0 0.8 1.3 0.5 16.9 -24.3
pair MRmean RSmean pos-pos 122 62.6 12.2 59.0 0.8 1.3 0.5 16.9 -24.3
single MRmean MRmean neg-neg 66 33.8 11.8 60.6 0.6 0.8 0.4 24.4 -27.4
pair MACDhist MRmean pos-neg 40 20.5 11.8 52.5 0.7 1.1 0.7 17.8 -16.0
pair MACDhist SLmean pos-pos 78 40.0 11.8 60.3 0.7 1.2 0.6 17.2 -18.4
pair SLmean MACDhist pos-pos 78 40.0 11.8 60.3 0.7 1.2 0.6 17.2 -18.4
pair MRmean MACDhist pos-neg 40 20.5 11.8 52.5 0.7 1.1 0.7 17.8 -16.0
pair RSmean SLmean neg-neg 13 6.7 11.5 53.8 0.5 1.2 1.1 25.7 -10.8
pair SLmean RSmean neg-neg 13 6.7 11.5 53.8 0.5 1.2 1.1 25.7 -10.8
pair RSI SLmean pos-pos 116 59.5 11.4 58.6 0.7 1.1 0.6 16.9 -19.7
pair SLmean RSI pos-pos 116 59.5 11.4 58.6 0.7 1.1 0.6 16.9 -19.7
single RSmean RSmean pos-pos 174 89.2 11.3 59.2 0.7 0.9 0.3 19.4 -39.2
pair MACDhist RSmean neg-neg 20 10.3 11.0 55.0 0.5 1.0 0.7 24.3 -15.2
pair RSmean MACDhist neg-neg 20 10.3 11.0 55.0 0.5 1.0 0.7 24.3 -15.2
pair MACD SLmean pos-pos 107 54.9 11.0 60.7 0.8 1.1 0.6 15.6 -19.7
pair SLmean MACD pos-pos 107 54.9 11.0 60.7 0.8 1.1 0.6 15.6 -19.7
pair benchmark___benchmark_ benchmark-benchmark 195 100.0 11.0 58.5 0.6 0.9 0.3 19.9 -39.2
pair benchmark___benchmark_ benchmark-benchmark 195 100.0 11.0 58.5 0.6 0.9 0.3 19.9 -39.2
single MRmean MRmean pos-pos 129 66.2 10.7 57.4 0.7 1.1 0.4 17.3 -26.1
pair RSIhist MRmean neg-neg 62 31.8 10.5 61.3 0.5 0.7 0.4 24.6 -27.4
pair MRmean RSIhist neg-neg 62 31.8 10.5 61.3 0.5 0.7 0.4 24.6 -27.4
pair RSI RSmean pos-pos 138 70.8 10.4 57.2 0.7 1.1 0.4 17.3 -23.8
pair RSmean RSI pos-pos 138 70.8 10.4 57.2 0.7 1.1 0.4 17.3 -23.8
pair MRmean MACDhist pos-pos 89 45.6 10.2 59.6 0.7 1.1 0.4 17.1 -23.1
pair MACDhist MRmean pos-pos 89 45.6 10.2 59.6 0.7 1.1 0.4 17.1 -23.1
pair MRmean RSI pos-pos 126 64.6 9.5 57.1 0.6 1.0 0.4 17.0 -26.1
pair RSI MRmean pos-pos 126 64.6 9.5 57.1 0.6 1.0 0.4 17.0 -26.1
pair MACDhist RSIhist neg-neg 69 35.4 9.3 58.0 0.5 0.8 0.3 21.4 -27.4
pair RSIhist MACDhist neg-neg 69 35.4 9.3 58.0 0.5 0.8 0.3 21.4 -27.4
pair RSI MACD pos-pos 133 68.2 9.3 57.1 0.6 1.1 0.3 16.6 -30.7
pair MACD RSI pos-pos 133 68.2 9.3 57.1 0.6 1.1 0.3 16.6 -30.7
pair RSmean MACDhist pos-pos 91 46.7 9.2 60.4 0.6 0.7 0.3 19.5 -35.1
pair MACDhist RSmean pos-pos 91 46.7 9.2 60.4 0.6 0.7 0.3 19.5 -35.1
single RSmean RSmean neg-neg 21 10.8 9.2 52.4 0.5 0.9 0.6 23.8 -15.2
pair MRmean RSmean neg-pos 52 26.7 9.1 59.6 0.5 0.6 0.3 24.6 -27.4
pair RSmean MRmean neg-pos 52 26.7 9.1 59.6 0.5 0.6 0.3 24.6 -27.4
pair SLmean LWTI pos-pos 103 52.8 9.1 58.3 0.6 0.9 0.4 16.9 -21.9
pair LWTI SLmean pos-pos 103 52.8 9.1 58.3 0.6 0.9 0.4 16.9 -21.9
pair MACD RSmean pos-pos 143 73.3 8.8 60.1 0.6 0.8 0.2 18.0 -47.4
pair RSmean MACD pos-pos 143 73.3 8.8 60.1 0.6 0.8 0.2 18.0 -47.4
single MACDhist MACDhist pos-pos 92 47.2 8.8 59.8 0.5 0.7 0.2 19.4 -36.4
pair MACDhist MACD pos-neg 61 31.3 8.7 59.0 0.6 0.8 0.3 16.9 -29.8
pair MACD MACDhist pos-neg 61 31.3 8.7 59.0 0.6 0.8 0.3 16.9 -29.8
pair MACDhist SLmean neg-neg 56 28.7 8.5 55.4 0.5 0.8 0.3 22.6 -27.4
pair SLmean MACDhist neg-neg 56 28.7 8.5 55.4 0.5 0.8 0.3 22.6 -27.4
pair MACD MRmean pos-pos 114 58.5 8.4 57.9 0.6 0.9 0.3 15.9 -28.3
pair MRmean MACD pos-pos 114 58.5 8.4 57.9 0.6 0.9 0.3 15.9 -28.3
single RSI RSI pos-pos 154 79.0 8.3 55.8 0.5 0.9 0.3 18.0 -25.3
pair MRmean SLmean neg-neg 57 29.2 8.1 57.9 0.4 0.6 0.2 25.4 -32.3
pair SLmean MRmean neg-neg 57 29.2 8.1 57.9 0.4 0.6 0.2 25.4 -32.3
pair LWTI MACDhist neg-pos 71 36.4 8.1 54.9 0.5 0.9 0.4 19.7 -22.4
pair MACDhist LWTI neg-pos 71 36.4 8.1 54.9 0.5 0.9 0.4 19.7 -22.4
pair MRmean LWTI pos-pos 112 57.4 7.5 57.1 0.5 0.8 0.3 16.8 -28.1
pair LWTI MRmean pos-pos 112 57.4 7.5 57.1 0.5 0.8 0.3 16.8 -28.1
pair RSmean LWTI pos-pos 141 72.3 7.2 58.2 0.5 0.7 0.2 18.4 -42.8
pair LWTI RSmean pos-pos 141 72.3 7.2 58.2 0.5 0.7 0.2 18.4 -42.8
single MACD MACD pos-pos 150 76.9 7.0 58.7 0.5 0.6 0.1 18.0 -48.4
single LWTI LWTI pos-pos 160 82.1 6.9 56.9 0.5 0.7 0.2 19.2 -43.9
pair MACDhist LWTI pos-pos 89 45.6 5.9 58.4 0.4 0.5 0.2 18.9 -36.4
pair LWTI MACDhist pos-pos 89 45.6 5.9 58.4 0.4 0.5 0.2 18.9 -36.4
pair MACD MACDhist pos-pos 89 45.6 5.9 58.4 0.4 0.5 0.2 18.9 -36.4
pair MACDhist MACD pos-pos 89 45.6 5.9 58.4 0.4 0.5 0.2 18.9 -36.4
pair SLmean RSmean pos-neg 8 4.1 5.6 50.0 0.3 0.5 0.4 22.2 -13.1
pair RSmean SLmean pos-neg 8 4.1 5.6 50.0 0.3 0.5 0.4 22.2 -13.1
pair LWTI MRmean neg-pos 48 24.6 5.4 56.2 0.3 0.5 0.1 24.0 -36.7
pair MRmean LWTI neg-pos 48 24.6 5.4 56.2 0.3 0.5 0.1 24.0 -36.7
single SLmean SLmean neg-neg 70 35.9 5.3 55.7 0.3 0.5 0.1 23.9 -35.8
pair LWTI RSI pos-pos 136 69.7 5.3 55.1 0.4 0.6 0.2 17.8 -26.2
pair RSI LWTI pos-pos 136 69.7 5.3 55.1 0.4 0.6 0.2 17.8 -26.2
pair RSmean LWTI neg-pos 19 9.7 4.9 47.4 0.3 0.6 0.3 24.8 -16.9
pair LWTI RSmean neg-pos 19 9.7 4.9 47.4 0.3 0.6 0.3 24.8 -16.9
pair MACD LWTI pos-pos 129 66.2 4.7 56.6 0.3 0.5 0.1 17.8 -48.2
pair LWTI MACD pos-pos 129 66.2 4.7 56.6 0.3 0.5 0.1 17.8 -48.2
pair RSIhist SLmean neg-neg 66 33.8 4.4 56.1 0.3 0.4 0.1 24.1 -37.2
pair SLmean RSIhist neg-neg 66 33.8 4.4 56.1 0.3 0.4 0.1 24.1 -37.2
pair RSmean SLmean neg-pos 57 29.2 3.9 56.1 0.3 0.4 0.1 23.7 -35.8
pair SLmean RSmean neg-pos 57 29.2 3.9 56.1 0.3 0.4 0.1 23.7 -35.8
pair RSIhist RSmean pos-neg 76 39.0 3.3 55.3 0.3 0.4 0.1 22.4 -38.2
pair RSmean RSIhist pos-neg 76 39.0 3.3 55.3 0.3 0.4 0.1 22.4 -38.2
pair RSI MRmean neg-pos 28 14.4 3.3 50.0 0.2 0.5 0.2 22.3 -16.6
pair MRmean RSI neg-pos 28 14.4 3.3 50.0 0.2 0.5 0.2 22.3 -16.6
pair SLmean LWTI neg-pos 57 29.2 3.0 54.4 0.2 0.4 0.1 22.9 -37.8
pair LWTI SLmean neg-pos 57 29.2 3.0 54.4 0.2 0.4 0.1 22.9 -37.8
pair MACDhist RSI pos-neg 64 32.8 2.8 50.0 0.2 0.4 0.1 18.5 -24.5
pair MACD MRmean neg-pos 36 18.5 2.8 61.1 0.2 0.3 0.1 23.8 -34.7
pair MRmean MACD neg-pos 36 18.5 2.8 61.1 0.2 0.3 0.1 23.8 -34.7
pair RSI MACDhist pos-neg 64 32.8 2.8 50.0 0.2 0.4 0.1 18.5 -24.5
pair RSI MACD neg-pos 21 10.8 2.5 47.6 0.2 0.4 0.2 25.6 -16.1
pair MACD RSI neg-pos 21 10.8 2.5 47.6 0.2 0.4 0.2 25.6 -16.1
single RSIhist RSIhist neg-neg 92 47.2 2.1 54.3 0.2 0.3 0.1 22.4 -39.3
pair RSI SLmean neg-pos 38 19.5 -0.4 47.4 0.1 0.2 -0.0 21.0 -21.4
pair SLmean RSI neg-pos 38 19.5 -0.4 47.4 0.1 0.2 -0.0 21.0 -21.4
pair SLmean MACD neg-pos 43 22.1 -2.3 53.5 0.0 0.0 -0.1 23.1 -44.5
pair MACD SLmean neg-pos 43 22.1 -2.3 53.5 0.0 0.0 -0.1 23.1 -44.5
pair RSIhist SLmean pos-neg 26 13.3 -3.3 50.0 -0.1 -0.1 -0.2 17.8 -15.4
pair SLmean RSIhist pos-neg 26 13.3 -3.3 50.0 -0.1 -0.1 -0.2 17.8 -15.4
pair RSIhist RSmean neg-neg 16 8.2 -3.4 50.0 -0.0 -0.1 -0.2 23.2 -15.2
pair RSmean RSIhist neg-neg 16 8.2 -3.4 50.0 -0.0 -0.1 -0.2 23.2 -15.2
pair RSIhist LWTI neg-pos 74 37.9 -4.0 50.0 -0.1 -0.1 -0.1 21.4 -40.4
pair LWTI RSIhist neg-pos 74 37.9 -4.0 50.0 -0.1 -0.1 -0.1 21.4 -40.4
pair RSIhist MACD pos-neg 66 33.8 -4.8 51.5 -0.1 -0.2 -0.1 20.8 -49.3
pair MACD RSIhist pos-neg 66 33.8 -4.8 51.5 -0.1 -0.2 -0.1 20.8 -49.3
pair SLmean MRmean pos-neg 13 6.7 -6.0 46.2 -0.3 -0.9 -0.4 15.8 -13.6
pair MRmean SLmean pos-neg 13 6.7 -6.0 46.2 -0.3 -0.9 -0.4 15.8 -13.6
pair SLmean MACDhist neg-pos 14 7.2 -6.6 57.1 -0.1 -0.1 -0.3 29.3 -23.1
pair MACDhist SLmean neg-pos 14 7.2 -6.6 57.1 -0.1 -0.1 -0.3 29.3 -23.1
pair RSIhist RSI pos-neg 55 28.2 -6.8 45.5 -0.3 -0.5 -0.2 19.2 -37.3
pair RSI RSIhist pos-neg 55 28.2 -6.8 45.5 -0.3 -0.5 -0.2 19.2 -37.3
pair RSI RSmean neg-pos 16 8.2 -8.0 43.8 -0.2 -0.4 -0.5 22.9 -15.2
pair RSmean RSI neg-pos 16 8.2 -8.0 43.8 -0.2 -0.4 -0.5 22.9 -15.2
pair MACD RSI pos-neg 17 8.7 -9.0 70.6 -0.2 -0.2 -0.3 27.2 -34.2
pair RSI MACD pos-neg 17 8.7 -9.0 70.6 -0.2 -0.2 -0.3 27.2 -34.2
pair MRmean RSmean pos-neg 7 3.6 -12.8 28.6 -0.5 -0.8 -0.8 22.9 -16.9
pair RSmean MRmean pos-neg 7 3.6 -12.8 28.6 -0.5 -0.8 -0.8 22.9 -16.9
pair RSIhist MRmean pos-neg 30 15.4 -13.3 40.0 -0.8 -1.1 -0.3 16.4 -39.4
pair MRmean RSIhist pos-neg 30 15.4 -13.3 40.0 -0.8 -1.1 -0.3 16.4 -39.4
pair MACDhist RSIhist pos-neg 23 11.8 -16.7 43.5 -0.6 -0.7 -0.4 24.9 -37.8
pair RSIhist MACDhist pos-neg 23 11.8 -16.7 43.5 -0.6 -0.7 -0.4 24.9 -37.8
pair RSmean MACDhist neg-pos 1 0.5 -20.7 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.5 -20.7 0.0 0.0 0.0 0.0 - 0.0
pair RSmean MACD neg-pos 7 3.6 -23.7 28.6 -1.6 -1.8 -1.8 15.6 -13.1
pair MACD RSmean neg-pos 7 3.6 -23.7 28.6 -1.6 -1.8 -1.8 15.6 -13.1
pair MRmean MACDhist neg-pos 3 1.5 -25.6 66.7 -0.2 0.0 0.0 64.4 0.0
pair MACDhist MRmean neg-pos 3 1.5 -25.6 66.7 -0.2 0.0 0.0 64.4 0.0
pair RSI MACDhist neg-pos 2 1.0 -75.4 50.0 -2.0 0.0 0.0 61.1 0.0
pair MACDhist RSI neg-pos 2 1.0 -75.4 50.0 -2.0 0.0 0.0 61.1 0.0

All Contingency Tables for EIRL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 12.7% | Win 59%
Sharpe 0.78 | Sortino 1.25 | Calmar 0.6
Vol 17% | MDD -19.7%
Months 116M (60%)
CAGR -6.0% | Win 46%
Sharpe -0.32 | Sortino -0.87 | Calmar -0.4
Vol 16% | MDD -13.6%
Months 13M (7%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 38.6% | Win 78%
Sharpe 2.08 | Sortino 8.31 | Calmar 13.5
Vol 16% | MDD -2.9%
Months 9M (5%)
CAGR 8.1% | Win 58%
Sharpe 0.43 | Sortino 0.62 | Calmar 0.2
Vol 25% | MDD -32.3%
Months 57M (29%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
SLmean
only
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 12.2% | Win 59%
Sharpe 0.77 | Sortino 1.30 | Calmar 0.5
Vol 17% | MDD -24.3%
Months 122M (63%)
CAGR -12.8% | Win 29%
Sharpe -0.50 | Sortino -0.80 | Calmar -0.8
Vol 23% | MDD -16.9%
Months 7M (4%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 9.1% | Win 60%
Sharpe 0.48 | Sortino 0.64 | Calmar 0.3
Vol 25% | MDD -27.4%
Months 52M (27%)
CAGR 22.2% | Win 64%
Sharpe 0.94 | Sortino 1.93 | Calmar 2.1
Vol 24% | MDD -10.8%
Months 14M (7%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
RSmean
only
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 8.4% | Win 58%
Sharpe 0.59 | Sortino 0.94 | Calmar 0.3
Vol 16% | MDD -28.3%
Months 114M (58%)
CAGR 29.5% | Win 53%
Sharpe 1.14 | Sortino 2.19 | Calmar 2.4
Vol 26% | MDD -12.5%
Months 15M (8%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 2.8% | Win 61%
Sharpe 0.24 | Sortino 0.28 | Calmar 0.1
Vol 24% | MDD -34.7%
Months 36M (18%)
CAGR 23.6% | Win 60%
Sharpe 0.97 | Sortino 1.84 | Calmar 1.3
Vol 25% | MDD -17.5%
Months 30M (15%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
MACD
only
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.5% | Win 57%
Sharpe 0.62 | Sortino 1.02 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 126M (65%)
CAGR 73.8% | Win 67%
Sharpe 2.09 | Sortino 0.00 | Calmar 45.8
Vol 28% | MDD -1.6%
Months 3M (2%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 3.3% | Win 50%
Sharpe 0.25 | Sortino 0.52 | Calmar 0.2
Vol 22% | MDD -16.6%
Months 28M (14%)
CAGR 18.5% | Win 68%
Sharpe 0.79 | Sortino 0.91 | Calmar 0.8
Vol 26% | MDD -22.6%
Months 38M (20%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
RSI
only
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.2% | Win 60%
Sharpe 0.65 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -23.1%
Months 89M (46%)
CAGR 11.8% | Win 52%
Sharpe 0.71 | Sortino 1.15 | Calmar 0.7
Vol 18% | MDD -16.0%
Months 40M (20%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR -25.6% | Win 67%
Sharpe -0.22 | Sortino 0.00 | Calmar 0.0
Vol 64% | MDD 0.0%
Months 3M (2%)
CAGR 14.0% | Win 60%
Sharpe 0.70 | Sortino 1.22 | Calmar 0.5
Vol 22% | MDD -27.4%
Months 63M (32%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
MACDhist
only
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 19.2% | Win 63%
Sharpe 1.12 | Sortino 1.96 | Calmar 1.0
Vol 17% | MDD -18.4%
Months 99M (51%)
CAGR -13.3% | Win 40%
Sharpe -0.78 | Sortino -1.12 | Calmar -0.3
Vol 16% | MDD -39.4%
Months 30M (15%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 33.2% | Win 50%
Sharpe 1.30 | Sortino 41.37 | Calmar 11.5
Vol 24% | MDD -2.9%
Months 4M (2%)
CAGR 10.5% | Win 61%
Sharpe 0.53 | Sortino 0.74 | Calmar 0.4
Vol 25% | MDD -27.4%
Months 62M (32%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.5% | Win 57%
Sharpe 0.52 | Sortino 0.81 | Calmar 0.3
Vol 17% | MDD -28.1%
Months 112M (57%)
CAGR 33.8% | Win 59%
Sharpe 1.60 | Sortino 6.63 | Calmar 4.7
Vol 20% | MDD -7.2%
Months 17M (9%)
CAGR 10.7% | Win 57%
Sharpe 0.68 | Sortino 1.13 | Calmar 0.4
Vol 17% | MDD -26.1%
Months 129M (66%)
MRmean
neg
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -36.7%
Months 48M (25%)
CAGR 30.9% | Win 72%
Sharpe 1.19 | Sortino 1.37 | Calmar 1.5
Vol 26% | MDD -21.2%
Months 18M (9%)
CAGR 11.8% | Win 61%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.4
Vol 24% | MDD -27.4%
Months 66M (34%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 15.0% | Win 61%
Sharpe 0.91 | Sortino 1.52 | Calmar 0.7
Vol 17% | MDD -20.5%
Months 117M (60%)
CAGR 5.6% | Win 50%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.4
Vol 22% | MDD -13.1%
Months 8M (4%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR 3.9% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 57M (29%)
CAGR 11.5% | Win 54%
Sharpe 0.54 | Sortino 1.25 | Calmar 1.1
Vol 26% | MDD -10.8%
Months 13M (7%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
RSmean
only
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.0% | Win 61%
Sharpe 0.75 | Sortino 1.12 | Calmar 0.6
Vol 16% | MDD -19.7%
Months 107M (55%)
CAGR 36.6% | Win 56%
Sharpe 1.37 | Sortino 2.80 | Calmar 2.9
Vol 25% | MDD -12.5%
Months 18M (9%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR -2.3% | Win 54%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -44.5%
Months 43M (22%)
CAGR 18.6% | Win 59%
Sharpe 0.80 | Sortino 1.46 | Calmar 1.1
Vol 25% | MDD -17.5%
Months 27M (14%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
MACD
only
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 59%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.6
Vol 17% | MDD -19.7%
Months 116M (60%)
CAGR 62.1% | Win 78%
Sharpe 2.51 | Sortino 7.12 | Calmar 38.5
Vol 20% | MDD -1.6%
Months 9M (5%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR -0.4% | Win 47%
Sharpe 0.08 | Sortino 0.18 | Calmar -0.0
Vol 21% | MDD -21.4%
Months 38M (20%)
CAGR 12.4% | Win 66%
Sharpe 0.57 | Sortino 0.66 | Calmar 0.5
Vol 27% | MDD -24.7%
Months 32M (16%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
RSI
only
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.8% | Win 60%
Sharpe 0.73 | Sortino 1.21 | Calmar 0.6
Vol 17% | MDD -18.4%
Months 78M (40%)
CAGR 18.9% | Win 60%
Sharpe 1.07 | Sortino 1.70 | Calmar 1.3
Vol 18% | MDD -15.0%
Months 47M (24%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR -6.6% | Win 57%
Sharpe -0.08 | Sortino -0.09 | Calmar -0.3
Vol 29% | MDD -23.1%
Months 14M (7%)
CAGR 8.5% | Win 55%
Sharpe 0.47 | Sortino 0.83 | Calmar 0.3
Vol 23% | MDD -27.4%
Months 56M (29%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
MACDhist
only
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 19.6% | Win 63%
Sharpe 1.14 | Sortino 1.99 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 99M (51%)
CAGR -3.3% | Win 50%
Sharpe -0.10 | Sortino -0.14 | Calmar -0.2
Vol 18% | MDD -15.4%
Months 26M (13%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR 22.0% | Win 50%
Sharpe 0.95 | Sortino 29.28 | Calmar 7.6
Vol 23% | MDD -2.9%
Months 4M (2%)
CAGR 4.4% | Win 56%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 24% | MDD -37.2%
Months 66M (34%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 9.1% | Win 58%
Sharpe 0.60 | Sortino 0.91 | Calmar 0.4
Vol 17% | MDD -21.9%
Months 103M (53%)
CAGR 42.9% | Win 68%
Sharpe 2.05 | Sortino 8.03 | Calmar 6.0
Vol 18% | MDD -7.2%
Months 22M (11%)
CAGR 14.4% | Win 60%
Sharpe 0.87 | Sortino 1.41 | Calmar 0.7
Vol 17% | MDD -19.7%
Months 125M (64%)
SLmean
neg
CAGR 3.0% | Win 54%
Sharpe 0.24 | Sortino 0.37 | Calmar 0.1
Vol 23% | MDD -37.8%
Months 57M (29%)
CAGR 16.1% | Win 62%
Sharpe 0.66 | Sortino 0.85 | Calmar 0.8
Vol 28% | MDD -21.2%
Months 13M (7%)
CAGR 5.3% | Win 56%
Sharpe 0.34 | Sortino 0.50 | Calmar 0.1
Vol 24% | MDD -35.8%
Months 70M (36%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.8% | Win 60%
Sharpe 0.56 | Sortino 0.76 | Calmar 0.2
Vol 18% | MDD -47.4%
Months 143M (73%)
CAGR 23.3% | Win 55%
Sharpe 0.96 | Sortino 1.74 | Calmar 1.2
Vol 25% | MDD -19.7%
Months 31M (16%)
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
RSmean
neg
CAGR -23.7% | Win 29%
Sharpe -1.64 | Sortino -1.79 | Calmar -1.8
Vol 16% | MDD -13.1%
Months 7M (4%)
CAGR 30.6% | Win 64%
Sharpe 1.17 | Sortino 2.52 | Calmar 2.8
Vol 26% | MDD -10.8%
Months 14M (7%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
MACD
only
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 10.4% | Win 57%
Sharpe 0.66 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -23.8%
Months 138M (71%)
CAGR 14.7% | Win 67%
Sharpe 0.66 | Sortino 0.75 | Calmar 0.6
Vol 26% | MDD -22.6%
Months 36M (18%)
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
RSmean
neg
CAGR -8.0% | Win 44%
Sharpe -0.25 | Sortino -0.42 | Calmar -0.5
Vol 23% | MDD -15.2%
Months 16M (8%)
CAGR 88.6% | Win 80%
Sharpe 3.17 | Sortino 0.00 | Calmar 0.0
Vol 21% | MDD 0.0%
Months 5M (3%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
RSI
only
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 60%
Sharpe 0.55 | Sortino 0.73 | Calmar 0.3
Vol 20% | MDD -35.1%
Months 91M (47%)
CAGR 13.6% | Win 58%
Sharpe 0.76 | Sortino 1.20 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 83M (43%)
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
RSmean
neg
CAGR -20.7% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 11.0% | Win 55%
Sharpe 0.54 | Sortino 1.00 | Calmar 0.7
Vol 24% | MDD -15.2%
Months 20M (10%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
MACDhist
only
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 17.9% | Win 62%
Sharpe 1.07 | Sortino 1.84 | Calmar 1.0
Vol 17% | MDD -18.4%
Months 98M (50%)
CAGR 3.3% | Win 55%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 22% | MDD -38.2%
Months 76M (39%)
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
RSmean
neg
CAGR 61.6% | Win 60%
Sharpe 2.09 | Sortino 68.32 | Calmar 21.3
Vol 24% | MDD -2.9%
Months 5M (3%)
CAGR -3.4% | Win 50%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.2
Vol 23% | MDD -15.2%
Months 16M (8%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.2% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 18% | MDD -42.8%
Months 141M (72%)
CAGR 30.8% | Win 64%
Sharpe 1.29 | Sortino 1.89 | Calmar 1.5
Vol 23% | MDD -21.2%
Months 33M (17%)
CAGR 11.3% | Win 59%
Sharpe 0.65 | Sortino 0.94 | Calmar 0.3
Vol 19% | MDD -39.2%
Months 174M (89%)
RSmean
neg
CAGR 4.9% | Win 47%
Sharpe 0.31 | Sortino 0.59 | Calmar 0.3
Vol 25% | MDD -16.9%
Months 19M (10%)
CAGR 60.6% | Win 100%
Sharpe 7.51 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 2M (1%)
CAGR 9.2% | Win 52%
Sharpe 0.48 | Sortino 0.89 | Calmar 0.6
Vol 24% | MDD -15.2%
Months 21M (11%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 9.3% | Win 57%
Sharpe 0.62 | Sortino 1.06 | Calmar 0.3
Vol 17% | MDD -30.7%
Months 133M (68%)
CAGR -9.0% | Win 71%
Sharpe -0.21 | Sortino -0.19 | Calmar -0.3
Vol 27% | MDD -34.2%
Months 17M (9%)
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
MACD
neg
CAGR 2.5% | Win 48%
Sharpe 0.22 | Sortino 0.42 | Calmar 0.2
Vol 26% | MDD -16.1%
Months 21M (11%)
CAGR 49.8% | Win 67%
Sharpe 1.84 | Sortino 3.18 | Calmar 3.6
Vol 24% | MDD -13.8%
Months 24M (12%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
RSI
only
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 5.9% | Win 58%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 89M (46%)
CAGR 8.7% | Win 59%
Sharpe 0.58 | Sortino 0.83 | Calmar 0.3
Vol 17% | MDD -29.8%
Months 61M (31%)
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
MACD
neg
CAGR 140.7% | Win 100%
Sharpe 3.86 | Sortino 0.00 | Calmar 0.0
Vol 24% | MDD 0.0%
Months 3M (2%)
CAGR 19.8% | Win 55%
Sharpe 0.86 | Sortino 1.60 | Calmar 0.9
Vol 25% | MDD -22.4%
Months 42M (22%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
MACDhist
only
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 17.4% | Win 64%
Sharpe 1.14 | Sortino 1.92 | Calmar 0.8
Vol 15% | MDD -21.7%
Months 84M (43%)
CAGR -4.8% | Win 52%
Sharpe -0.13 | Sortino -0.17 | Calmar -0.1
Vol 21% | MDD -49.3%
Months 66M (34%)
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
MACD
neg
CAGR 30.3% | Win 53%
Sharpe 1.20 | Sortino 2.56 | Calmar 2.4
Vol 24% | MDD -12.5%
Months 19M (10%)
CAGR 22.1% | Win 62%
Sharpe 0.91 | Sortino 1.67 | Calmar 1.5
Vol 26% | MDD -15.0%
Months 26M (13%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.7% | Win 57%
Sharpe 0.35 | Sortino 0.47 | Calmar 0.1
Vol 18% | MDD -48.2%
Months 129M (66%)
CAGR 22.8% | Win 71%
Sharpe 1.17 | Sortino 1.32 | Calmar 1.2
Vol 19% | MDD -18.8%
Months 21M (11%)
CAGR 7.0% | Win 59%
Sharpe 0.47 | Sortino 0.63 | Calmar 0.1
Vol 18% | MDD -48.4%
Months 150M (77%)
MACD
neg
CAGR 16.5% | Win 58%
Sharpe 0.75 | Sortino 1.53 | Calmar 0.7
Vol 24% | MDD -22.4%
Months 31M (16%)
CAGR 48.0% | Win 57%
Sharpe 1.60 | Sortino 2.78 | Calmar 3.5
Vol 27% | MDD -13.8%
Months 14M (7%)
CAGR 25.5% | Win 58%
Sharpe 1.04 | Sortino 1.96 | Calmar 1.1
Vol 25% | MDD -22.4%
Months 45M (23%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 12.4% | Win 60%
Sharpe 0.76 | Sortino 1.34 | Calmar 0.6
Vol 18% | MDD -19.5%
Months 90M (46%)
CAGR 2.8% | Win 50%
Sharpe 0.24 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -24.5%
Months 64M (33%)
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
RSI
neg
CAGR -75.4% | Win 50%
Sharpe -1.99 | Sortino 0.00 | Calmar 0.0
Vol 61% | MDD 0.0%
Months 2M (1%)
CAGR 32.2% | Win 69%
Sharpe 1.36 | Sortino 2.03 | Calmar 1.5
Vol 23% | MDD -21.6%
Months 39M (20%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
MACDhist
only
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 17.8% | Win 62%
Sharpe 1.06 | Sortino 1.87 | Calmar 1.0
Vol 17% | MDD -18.4%
Months 99M (51%)
CAGR -6.8% | Win 46%
Sharpe -0.27 | Sortino -0.46 | Calmar -0.2
Vol 19% | MDD -37.3%
Months 55M (28%)
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
RSI
neg
CAGR 77.0% | Win 75%
Sharpe 2.62 | Sortino 0.00 | Calmar 47.7
Vol 23% | MDD -1.6%
Months 4M (2%)
CAGR 17.0% | Win 68%
Sharpe 0.74 | Sortino 0.86 | Calmar 0.8
Vol 26% | MDD -22.6%
Months 37M (19%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 5.3% | Win 55%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.2
Vol 18% | MDD -26.2%
Months 136M (70%)
CAGR 34.7% | Win 61%
Sharpe 1.72 | Sortino 6.71 | Calmar 4.8
Vol 18% | MDD -7.2%
Months 18M (9%)
CAGR 8.3% | Win 56%
Sharpe 0.54 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -25.3%
Months 154M (79%)
RSI
neg
CAGR 16.5% | Win 67%
Sharpe 0.73 | Sortino 0.79 | Calmar 0.5
Vol 26% | MDD -30.3%
Months 24M (12%)
CAGR 29.7% | Win 71%
Sharpe 1.11 | Sortino 1.34 | Calmar 1.4
Vol 27% | MDD -21.2%
Months 17M (9%)
CAGR 21.8% | Win 68%
Sharpe 0.90 | Sortino 1.05 | Calmar 1.0
Vol 26% | MDD -22.6%
Months 41M (21%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 18.9% | Win 65%
Sharpe 1.12 | Sortino 1.99 | Calmar 1.2
Vol 17% | MDD -15.7%
Months 69M (35%)
CAGR -16.7% | Win 44%
Sharpe -0.60 | Sortino -0.73 | Calmar -0.4
Vol 25% | MDD -37.8%
Months 23M (12%)
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
MACDhist
neg
CAGR 21.2% | Win 56%
Sharpe 1.15 | Sortino 2.16 | Calmar 1.7
Vol 18% | MDD -12.5%
Months 34M (17%)
CAGR 9.3% | Win 58%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.3
Vol 21% | MDD -27.4%
Months 69M (35%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
RSIhist
only
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.9% | Win 58%
Sharpe 0.40 | Sortino 0.52 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 89M (46%)
CAGR 140.7% | Win 100%
Sharpe 3.86 | Sortino 0.00 | Calmar 0.0
Vol 24% | MDD 0.0%
Months 3M (2%)
CAGR 8.8% | Win 60%
Sharpe 0.53 | Sortino 0.71 | Calmar 0.2
Vol 19% | MDD -36.4%
Months 92M (47%)
MACDhist
neg
CAGR 8.1% | Win 55%
Sharpe 0.49 | Sortino 0.87 | Calmar 0.4
Vol 20% | MDD -22.4%
Months 71M (36%)
CAGR 25.1% | Win 62%
Sharpe 1.14 | Sortino 1.58 | Calmar 1.2
Vol 22% | MDD -21.2%
Months 32M (16%)
CAGR 13.1% | Win 57%
Sharpe 0.71 | Sortino 1.16 | Calmar 0.4
Vol 20% | MDD -31.5%
Months 103M (53%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 17.3% | Win 63%
Sharpe 1.04 | Sortino 1.72 | Calmar 1.4
Vol 17% | MDD -12.4%
Months 86M (44%)
CAGR 32.7% | Win 59%
Sharpe 1.57 | Sortino 6.45 | Calmar 4.5
Vol 19% | MDD -7.2%
Months 17M (9%)
CAGR 19.7% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.4
Vol 17% | MDD -14.1%
Months 103M (53%)
RSIhist
neg
CAGR -4.0% | Win 50%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.1
Vol 21% | MDD -40.4%
Months 74M (38%)
CAGR 31.9% | Win 72%
Sharpe 1.22 | Sortino 1.41 | Calmar 1.5
Vol 26% | MDD -21.2%
Months 18M (9%)
CAGR 2.1% | Win 54%
Sharpe 0.21 | Sortino 0.30 | Calmar 0.1
Vol 22% | MDD -39.3%
Months 92M (47%)
LWTI
only
CAGR 6.9% | Win 57%
Sharpe 0.45 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -43.9%
Months 160M (82%)
CAGR 32.3% | Win 66%
Sharpe 1.37 | Sortino 1.96 | Calmar 1.5
Vol 22% | MDD -21.2%
Months 35M (18%)