EIS - iShares MSCI Israel ETF

Signal Pair Analysis

MACDhist-LWTI

Best Pair

67.6%

Best CAGR

63

Total Months

7.0%

Avg CAGR

EIS 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 EIS

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACDhist LWTI pos-neg 2 0.9 67.6 100.0 3.7 0.0 0.0 14.3 0.0
pair LWTI MACDhist pos-neg 2 0.9 67.6 100.0 3.7 0.0 0.0 14.3 0.0
pair MACDhist RSI neg-pos 4 1.8 65.8 100.0 4.1 0.0 0.0 12.7 0.0
pair RSI MACDhist neg-pos 4 1.8 65.8 100.0 4.1 0.0 0.0 12.7 0.0
pair RSI MRmean pos-neg 12 5.4 54.0 75.0 2.6 7.4 14.6 17.5 -3.7
pair MRmean RSI pos-neg 12 5.4 54.0 75.0 2.6 7.4 14.6 17.5 -3.7
pair SLmean RSI pos-neg 16 7.2 45.9 81.2 1.8 1.8 3.4 22.9 -13.4
pair RSI SLmean pos-neg 16 7.2 45.9 81.2 1.8 1.8 3.4 22.9 -13.4
pair RSI MACD pos-neg 26 11.8 39.0 76.9 1.6 2.1 3.1 22.5 -12.4
pair MACD RSI pos-neg 26 11.8 39.0 76.9 1.6 2.1 3.1 22.5 -12.4
pair RSmean RSI pos-neg 57 25.8 36.2 70.2 1.5 2.3 2.1 22.2 -17.4
pair RSI RSmean pos-neg 57 25.8 36.2 70.2 1.5 2.3 2.1 22.2 -17.4
pair MACDhist RSmean neg-pos 2 0.9 32.0 50.0 1.0 0.0 0.0 31.3 0.0
pair RSmean MACDhist neg-pos 2 0.9 32.0 50.0 1.0 0.0 0.0 31.3 0.0
pair RSI LWTI neg-pos 36 16.3 28.0 72.2 1.1 1.4 0.7 26.8 -38.2
pair LWTI RSI neg-pos 36 16.3 28.0 72.2 1.1 1.4 0.7 26.8 -38.2
pair RSI RSIhist neg-pos 13 5.9 27.0 69.2 1.1 1.4 2.0 25.1 -13.4
pair RSIhist RSI neg-pos 13 5.9 27.0 69.2 1.1 1.4 2.0 25.1 -13.4
pair MRmean LWTI pos-neg 16 7.2 26.2 56.2 1.5 5.3 2.9 16.4 -9.1
pair LWTI MRmean pos-neg 16 7.2 26.2 56.2 1.5 5.3 2.9 16.4 -9.1
pair MRmean MACD pos-neg 30 13.6 25.6 66.7 1.5 2.8 3.4 16.4 -7.4
pair MACD MRmean pos-neg 30 13.6 25.6 66.7 1.5 2.8 3.4 16.4 -7.4
pair MACD RSmean pos-neg 50 22.6 25.4 62.0 1.2 2.2 1.7 19.9 -14.6
pair RSmean MACD pos-neg 50 22.6 25.4 62.0 1.2 2.2 1.7 19.9 -14.6
pair SLmean RSIhist neg-pos 3 1.4 24.4 66.7 1.9 0.0 12.6 11.9 -1.9
pair RSIhist SLmean neg-pos 3 1.4 24.4 66.7 1.9 0.0 12.6 11.9 -1.9
pair RSIhist MACDhist neg-pos 35 15.8 20.7 62.9 1.1 1.6 1.6 18.8 -13.4
pair MACDhist RSIhist neg-pos 35 15.8 20.7 62.9 1.1 1.6 1.6 18.8 -13.4
pair MACD SLmean pos-neg 31 14.0 20.6 64.5 1.0 1.5 1.1 20.0 -17.9
pair SLmean MACD pos-neg 31 14.0 20.6 64.5 1.0 1.5 1.1 20.0 -17.9
single RSI RSI neg-neg 67 30.3 20.3 65.7 0.9 1.2 0.5 25.2 -38.2
pair RSI RSIhist neg-neg 54 24.4 18.8 64.8 0.8 1.1 0.5 25.4 -38.2
pair RSIhist RSI neg-neg 54 24.4 18.8 64.8 0.8 1.1 0.5 25.4 -38.2
pair RSmean RSIhist neg-pos 6 2.7 18.7 66.7 1.1 5.5 4.8 16.6 -3.9
pair RSIhist RSmean neg-pos 6 2.7 18.7 66.7 1.1 5.5 4.8 16.6 -3.9
pair MACDhist SLmean pos-neg 51 23.1 18.5 66.7 1.0 1.2 0.9 18.7 -19.9
pair SLmean MACDhist pos-neg 51 23.1 18.5 66.7 1.0 1.2 0.9 18.7 -19.9
pair RSIhist MACD neg-pos 33 14.9 18.1 63.6 1.0 1.4 1.0 19.2 -17.9
pair MACD RSIhist neg-pos 33 14.9 18.1 63.6 1.0 1.4 1.0 19.2 -17.9
pair MACDhist RSI neg-neg 63 28.5 17.9 63.5 0.8 1.1 0.5 25.7 -38.2
pair RSI MACDhist neg-neg 63 28.5 17.9 63.5 0.8 1.1 0.5 25.7 -38.2
pair MACDhist MRmean pos-neg 44 19.9 17.2 61.4 1.0 1.7 0.8 16.9 -21.0
pair MRmean MACDhist pos-neg 44 19.9 17.2 61.4 1.0 1.7 0.8 16.9 -21.0
pair RSmean MACDhist pos-neg 92 41.6 16.9 59.8 0.8 1.2 0.6 21.8 -29.2
pair MACDhist RSmean pos-neg 92 41.6 16.9 59.8 0.8 1.2 0.6 21.8 -29.2
pair MACDhist MACD neg-pos 13 5.9 16.3 61.5 1.0 1.7 2.2 16.6 -7.4
pair MACD MACDhist neg-pos 13 5.9 16.3 61.5 1.0 1.7 2.2 16.6 -7.4
pair MACD RSmean neg-pos 12 5.4 15.9 66.7 1.2 4.9 4.1 13.3 -3.9
pair RSmean MACD neg-pos 12 5.4 15.9 66.7 1.2 4.9 4.1 13.3 -3.9
pair RSmean SLmean pos-neg 10 4.5 14.6 70.0 1.1 3.9 3.8 13.0 -3.9
pair SLmean RSmean pos-neg 10 4.5 14.6 70.0 1.1 3.9 3.8 13.0 -3.9
pair LWTI RSmean pos-neg 41 18.6 14.5 56.1 0.8 1.1 0.7 20.9 -20.4
pair RSmean LWTI pos-neg 41 18.6 14.5 56.1 0.8 1.1 0.7 20.9 -20.4
pair MRmean RSI neg-neg 55 24.9 14.0 63.6 0.6 0.9 0.4 26.5 -38.2
pair RSI MRmean neg-neg 55 24.9 14.0 63.6 0.6 0.9 0.4 26.5 -38.2
pair RSIhist LWTI pos-neg 18 8.1 13.8 55.6 0.8 0.9 1.0 19.7 -13.4
pair LWTI RSIhist pos-neg 18 8.1 13.8 55.6 0.8 0.9 1.0 19.7 -13.4
pair RSIhist MRmean pos-pos 115 52.0 13.5 61.7 0.8 1.3 0.4 16.9 -32.6
pair MRmean RSIhist pos-pos 115 52.0 13.5 61.7 0.8 1.3 0.4 16.9 -32.6
pair LWTI SLmean pos-pos 116 52.5 13.3 63.8 0.8 1.2 0.6 17.0 -22.7
pair RSI SLmean neg-neg 51 23.1 13.3 60.8 0.6 0.9 0.3 25.9 -38.2
pair SLmean LWTI pos-pos 116 52.5 13.3 63.8 0.8 1.2 0.6 17.0 -22.7
pair SLmean RSI neg-neg 51 23.1 13.3 60.8 0.6 0.9 0.3 25.9 -38.2
pair SLmean MRmean pos-pos 123 55.7 13.2 62.6 0.8 1.3 0.6 16.8 -22.7
pair MRmean SLmean pos-pos 123 55.7 13.2 62.6 0.8 1.3 0.6 16.8 -22.7
pair LWTI MACD neg-neg 29 13.1 12.9 55.2 0.6 0.9 0.7 23.2 -19.3
pair MACD LWTI neg-neg 29 13.1 12.9 55.2 0.6 0.9 0.7 23.2 -19.3
single RSIhist RSIhist pos-pos 119 53.8 12.8 61.3 0.8 1.1 0.4 17.8 -32.6
pair LWTI RSIhist pos-pos 101 45.7 12.6 62.4 0.8 1.2 0.4 17.5 -32.6
pair RSIhist LWTI pos-pos 101 45.7 12.6 62.4 0.8 1.2 0.4 17.5 -32.6
pair RSmean RSIhist pos-pos 113 51.1 12.5 61.1 0.8 1.1 0.4 17.9 -34.0
pair RSIhist RSmean pos-pos 113 51.1 12.5 61.1 0.8 1.1 0.4 17.9 -34.0
pair RSIhist SLmean pos-pos 116 52.5 12.5 61.2 0.8 1.1 0.4 17.9 -32.6
pair SLmean RSIhist pos-pos 116 52.5 12.5 61.2 0.8 1.1 0.4 17.9 -32.6
pair MRmean RSmean pos-neg 10 4.5 12.4 70.0 0.9 5.3 2.8 13.5 -4.4
pair RSmean MRmean pos-neg 10 4.5 12.4 70.0 0.9 5.3 2.8 13.5 -4.4
single SLmean SLmean pos-pos 136 61.5 12.4 62.5 0.8 1.1 0.5 17.8 -22.7
pair RSmean SLmean pos-pos 126 57.0 12.2 61.9 0.7 1.0 0.5 18.2 -25.2
pair SLmean RSmean pos-pos 126 57.0 12.2 61.9 0.7 1.0 0.5 18.2 -25.2
pair RSI LWTI neg-neg 31 14.0 12.0 58.1 0.6 0.9 0.5 23.4 -22.8
pair LWTI RSI neg-neg 31 14.0 12.0 58.1 0.6 0.9 0.5 23.4 -22.8
pair SLmean RSIhist pos-neg 20 9.0 11.6 70.0 0.7 0.7 0.8 17.5 -13.6
pair RSIhist SLmean pos-neg 20 9.0 11.6 70.0 0.7 0.7 0.8 17.5 -13.6
single MRmean MRmean pos-pos 143 64.7 11.3 60.1 0.7 1.1 0.4 16.9 -28.6
pair MRmean RSmean pos-pos 133 60.2 11.3 59.4 0.7 1.1 0.4 17.2 -27.1
pair RSmean MRmean pos-pos 133 60.2 11.3 59.4 0.7 1.1 0.4 17.2 -27.1
pair RSIhist RSI pos-pos 106 48.0 11.2 60.4 0.7 1.1 0.3 16.7 -32.6
pair RSI RSIhist pos-pos 106 48.0 11.2 60.4 0.7 1.1 0.3 16.7 -32.6
pair RSIhist MACD pos-pos 86 38.9 10.8 60.5 0.7 1.0 0.3 17.3 -32.6
pair MACD RSIhist pos-pos 86 38.9 10.8 60.5 0.7 1.0 0.3 17.3 -32.6
pair MACDhist LWTI neg-pos 74 33.5 10.6 63.5 0.6 0.8 0.2 23.3 -47.3
pair LWTI MACDhist neg-pos 74 33.5 10.6 63.5 0.6 0.8 0.2 23.3 -47.3
single RSmean RSmean pos-pos 195 88.2 10.5 59.0 0.6 0.9 0.3 19.8 -36.5
pair MACDhist MACD pos-neg 65 29.4 10.1 60.0 0.6 0.8 0.4 20.9 -25.7
pair MACD MACDhist pos-neg 65 29.4 10.1 60.0 0.6 0.8 0.4 20.9 -25.7
pair MACD SLmean pos-pos 105 47.5 10.0 61.9 0.7 0.9 0.4 17.1 -22.7
pair SLmean MACD pos-pos 105 47.5 10.0 61.9 0.7 0.9 0.4 17.1 -22.7
pair RSI MACD neg-neg 41 18.6 9.8 58.5 0.5 0.7 0.3 26.7 -38.2
pair MACD RSI neg-neg 41 18.6 9.8 58.5 0.5 0.7 0.3 26.7 -38.2
pair RSIhist MACDhist pos-pos 84 38.0 9.7 60.7 0.6 0.9 0.3 17.4 -33.6
pair MACDhist RSIhist pos-pos 84 38.0 9.7 60.7 0.6 0.9 0.3 17.4 -33.6
pair MRmean LWTI pos-pos 127 57.5 9.6 60.6 0.6 1.0 0.3 17.0 -29.3
pair LWTI MRmean pos-pos 127 57.5 9.6 60.6 0.6 1.0 0.3 17.0 -29.3
pair LWTI RSmean pos-pos 154 69.7 9.5 59.7 0.6 0.8 0.3 19.5 -36.0
pair RSmean LWTI pos-pos 154 69.7 9.5 59.7 0.6 0.8 0.3 19.5 -36.0
pair MRmean MACDhist pos-pos 99 44.8 8.9 59.6 0.6 0.9 0.3 16.9 -32.9
pair MACDhist SLmean pos-pos 85 38.5 8.9 60.0 0.6 0.9 0.3 17.2 -34.3
pair SLmean MACDhist pos-pos 85 38.5 8.9 60.0 0.6 0.9 0.3 17.2 -34.3
pair RSmean MRmean neg-pos 62 28.1 8.9 58.1 0.5 0.6 0.3 24.6 -29.2
pair MRmean RSmean neg-pos 62 28.1 8.9 58.1 0.5 0.6 0.3 24.6 -29.2
pair MACDhist MRmean pos-pos 99 44.8 8.9 59.6 0.6 0.9 0.3 16.9 -32.9
single MACDhist MACDhist neg-neg 116 52.5 8.5 58.6 0.5 0.7 0.2 22.8 -47.3
pair RSI SLmean pos-pos 120 54.3 8.5 60.0 0.6 0.8 0.3 16.8 -25.9
pair SLmean RSI pos-pos 120 54.3 8.5 60.0 0.6 0.8 0.3 16.8 -25.9
single MACD MACD neg-neg 64 29.0 8.5 57.8 0.5 0.7 0.2 23.6 -47.3
pair MRmean RSI pos-pos 131 59.3 8.1 58.8 0.6 0.9 0.3 16.6 -30.3
pair RSI MRmean pos-pos 131 59.3 8.1 58.8 0.6 0.9 0.3 16.6 -30.3
pair RSIhist RSmean pos-neg 82 37.1 7.9 56.1 0.5 0.6 0.3 22.2 -28.8
pair RSmean RSIhist pos-neg 82 37.1 7.9 56.1 0.5 0.6 0.3 22.2 -28.8
pair MACD MRmean pos-pos 113 51.1 7.8 58.4 0.5 0.8 0.3 17.0 -28.6
pair MRmean MACD pos-pos 113 51.1 7.8 58.4 0.5 0.8 0.3 17.0 -28.6
pair LWTI MACD pos-pos 142 64.3 7.6 59.9 0.5 0.7 0.2 19.2 -38.3
pair MACD LWTI pos-pos 142 64.3 7.6 59.9 0.5 0.7 0.2 19.2 -38.3
pair SLmean RSmean neg-pos 69 31.2 7.5 53.6 0.4 0.7 0.3 22.5 -29.1
pair RSmean SLmean neg-pos 69 31.2 7.5 53.6 0.4 0.7 0.3 22.5 -29.1
pair SLmean LWTI pos-neg 20 9.0 7.3 55.0 0.4 0.5 0.4 22.3 -19.6
pair LWTI SLmean pos-neg 20 9.0 7.3 55.0 0.4 0.5 0.4 22.3 -19.6
single LWTI LWTI neg-neg 44 19.9 7.2 52.3 0.4 0.6 0.2 21.8 -32.6
pair LWTI SLmean neg-neg 24 10.9 7.2 50.0 0.4 0.7 0.4 21.9 -19.9
pair SLmean LWTI neg-neg 24 10.9 7.2 50.0 0.4 0.7 0.4 21.9 -19.9
pair benchmark___benchmark_ benchmark-benchmark 221 100.0 7.1 58.4 0.4 0.6 0.1 20.5 -47.3
pair benchmark___benchmark_ benchmark-benchmark 221 100.0 7.1 58.4 0.4 0.6 0.1 20.5 -47.3
single LWTI LWTI pos-pos 177 80.1 7.1 59.9 0.4 0.6 0.1 20.2 -47.3
pair MACDhist MACD neg-neg 51 23.1 6.6 56.9 0.4 0.5 0.1 25.2 -47.3
pair MACD MACDhist neg-neg 51 23.1 6.6 56.9 0.4 0.5 0.1 25.2 -47.3
single MACD MACD pos-pos 157 71.0 6.5 58.6 0.4 0.6 0.2 19.2 -32.7
pair MACD RSI neg-pos 23 10.4 6.3 56.5 0.4 0.7 0.4 17.2 -15.6
pair RSI MACD neg-pos 23 10.4 6.3 56.5 0.4 0.7 0.4 17.2 -15.6
pair RSmean RSI neg-pos 16 7.2 5.8 62.5 0.4 0.7 0.3 17.1 -19.6
pair RSI RSmean neg-pos 16 7.2 5.8 62.5 0.4 0.7 0.3 17.1 -19.6
pair MACD RSmean pos-pos 145 65.6 5.8 57.9 0.4 0.5 0.2 19.6 -32.7
pair RSmean MACD pos-pos 145 65.6 5.8 57.9 0.4 0.5 0.2 19.6 -32.7
single MACDhist MACDhist pos-pos 105 47.5 5.6 58.1 0.4 0.5 0.1 17.8 -46.4
pair RSmean MACDhist pos-pos 103 46.6 5.1 58.3 0.4 0.5 0.1 17.7 -44.4
pair MACDhist RSmean pos-pos 103 46.6 5.1 58.3 0.4 0.5 0.1 17.7 -44.4
pair LWTI MACDhist neg-neg 42 19.0 5.0 50.0 0.3 0.5 0.1 22.0 -32.6
pair MACD LWTI neg-pos 35 15.8 5.0 60.0 0.3 0.4 0.1 24.2 -47.3
pair LWTI MACD neg-pos 35 15.8 5.0 60.0 0.3 0.4 0.1 24.2 -47.3
pair MACDhist LWTI neg-neg 42 19.0 5.0 50.0 0.3 0.5 0.1 22.0 -32.6
pair MRmean SLmean neg-pos 13 5.9 4.9 61.5 0.3 0.3 0.3 26.5 -15.9
pair SLmean MRmean neg-pos 13 5.9 4.9 61.5 0.3 0.3 0.3 26.5 -15.9
pair LWTI MACDhist pos-pos 103 46.6 4.6 57.3 0.3 0.5 0.1 17.8 -50.0
pair MACDhist LWTI pos-pos 103 46.6 4.6 57.3 0.3 0.5 0.1 17.8 -50.0
pair MACDhist MACD pos-pos 92 41.6 4.1 57.6 0.3 0.4 0.1 18.0 -46.4
pair MACD MACDhist pos-pos 92 41.6 4.1 57.6 0.3 0.4 0.1 18.0 -46.4
pair MACDhist RSIhist neg-neg 81 36.7 3.7 56.8 0.3 0.4 0.1 24.3 -51.9
pair RSIhist MACDhist neg-neg 81 36.7 3.7 56.8 0.3 0.4 0.1 24.3 -51.9
pair MACDhist RSI pos-pos 101 45.7 3.7 56.4 0.3 0.4 0.1 17.8 -48.1
pair RSI MACDhist pos-pos 101 45.7 3.7 56.4 0.3 0.4 0.1 17.8 -48.1
pair MRmean MACDhist neg-neg 72 32.6 3.6 56.9 0.3 0.4 0.1 25.7 -47.3
pair MACDhist MRmean neg-neg 72 32.6 3.6 56.9 0.3 0.4 0.1 25.7 -47.3
pair MACD MRmean neg-pos 44 19.9 3.3 59.1 0.3 0.3 0.1 24.2 -26.3
pair MRmean MACD neg-pos 44 19.9 3.3 59.1 0.3 0.3 0.1 24.2 -26.3
pair LWTI RSIhist neg-neg 26 11.8 2.9 50.0 0.2 0.3 0.1 23.5 -26.9
pair RSIhist LWTI neg-neg 26 11.8 2.9 50.0 0.2 0.3 0.1 23.5 -26.9
pair RSIhist MRmean pos-neg 28 12.7 2.9 53.6 0.2 0.4 0.2 17.0 -14.3
pair MRmean RSIhist pos-neg 28 12.7 2.9 53.6 0.2 0.4 0.2 17.0 -14.3
pair RSI LWTI pos-pos 141 63.8 2.3 56.7 0.2 0.3 0.0 18.0 -52.9
pair LWTI RSI pos-pos 141 63.8 2.3 56.7 0.2 0.3 0.0 18.0 -52.9
single RSI RSI pos-pos 154 69.7 1.8 55.2 0.2 0.3 0.0 18.0 -50.7
pair RSIhist MACD pos-neg 71 32.1 1.6 56.3 0.2 0.2 0.1 21.4 -32.8
pair MACD RSIhist pos-neg 71 32.1 1.6 56.3 0.2 0.2 0.1 21.4 -32.8
pair RSmean RSI pos-pos 138 62.4 1.4 54.3 0.2 0.2 0.0 18.1 -57.4
pair RSI RSmean pos-pos 138 62.4 1.4 54.3 0.2 0.2 0.0 18.1 -57.4
pair SLmean MACDhist neg-neg 65 29.4 1.3 52.3 0.2 0.3 0.0 25.5 -51.7
pair MACDhist SLmean neg-neg 65 29.4 1.3 52.3 0.2 0.3 0.0 25.5 -51.7
pair RSI MACD pos-pos 131 59.3 1.1 55.0 0.1 0.2 0.0 18.2 -50.0
pair MACD RSI pos-pos 131 59.3 1.1 55.0 0.1 0.2 0.0 18.2 -50.0
pair MRmean LWTI neg-pos 50 22.6 0.9 58.0 0.2 0.2 0.0 27.0 -47.3
pair LWTI MRmean neg-pos 50 22.6 0.9 58.0 0.2 0.2 0.0 27.0 -47.3
single RSIhist RSIhist neg-neg 102 46.2 0.8 54.9 0.1 0.2 0.0 23.3 -52.7
pair MRmean SLmean pos-neg 20 9.0 0.6 45.0 0.1 0.2 0.0 17.9 -17.9
pair SLmean MRmean pos-neg 20 9.0 0.6 45.0 0.1 0.2 0.0 17.9 -17.9
pair LWTI RSIhist neg-pos 76 34.4 0.2 56.6 0.1 0.2 0.0 23.4 -53.3
pair RSIhist LWTI neg-pos 76 34.4 0.2 56.6 0.1 0.2 0.0 23.4 -53.3
pair MRmean RSIhist neg-neg 74 33.5 0.1 55.4 0.1 0.2 0.0 25.4 -48.7
pair RSIhist MRmean neg-neg 74 33.5 0.1 55.4 0.1 0.2 0.0 25.4 -48.7
pair SLmean MACD neg-pos 52 23.5 -0.2 51.9 0.1 0.1 -0.0 22.9 -35.5
pair MACD SLmean neg-pos 52 23.5 -0.2 51.9 0.1 0.1 -0.0 22.9 -35.5
single MRmean MRmean neg-neg 78 35.3 -0.2 55.1 0.1 0.2 -0.0 25.9 -47.3
pair MACD RSIhist neg-neg 31 14.0 -0.8 51.6 0.1 0.2 -0.0 27.7 -47.3
pair RSIhist MACD neg-neg 31 14.0 -0.8 51.6 0.1 0.2 -0.0 27.7 -47.3
single SLmean SLmean neg-neg 85 38.5 -0.8 51.8 0.1 0.1 -0.0 24.2 -54.4
pair SLmean MRmean neg-neg 65 29.4 -1.2 53.8 0.1 0.1 -0.0 26.0 -52.8
pair MRmean SLmean neg-neg 65 29.4 -1.2 53.8 0.1 0.1 -0.0 26.0 -52.8
pair RSIhist SLmean neg-neg 82 37.1 -1.6 51.2 0.1 0.1 -0.0 24.6 -54.4
pair SLmean RSIhist neg-neg 82 37.1 -1.6 51.2 0.1 0.1 -0.0 24.6 -54.4
pair MACDhist RSI pos-neg 53 24.0 -1.6 52.8 0.0 0.0 -0.1 18.4 -24.1
pair RSI MACDhist pos-neg 53 24.0 -1.6 52.8 0.0 0.0 -0.1 18.4 -24.1
pair SLmean MACD neg-neg 33 14.9 -1.8 51.5 0.1 0.1 -0.0 26.5 -47.3
pair MACD SLmean neg-neg 33 14.9 -1.8 51.5 0.1 0.1 -0.0 26.5 -47.3
pair LWTI MRmean neg-neg 28 12.7 -2.3 50.0 0.0 0.0 -0.1 24.3 -25.9
pair MRmean LWTI neg-neg 28 12.7 -2.3 50.0 0.0 0.0 -0.1 24.3 -25.9
pair LWTI MACD pos-neg 15 6.8 -2.9 46.7 -0.1 -0.1 -0.1 19.3 -19.9
pair MACD LWTI pos-neg 15 6.8 -2.9 46.7 -0.1 -0.1 -0.1 19.3 -19.9
pair RSI LWTI pos-neg 13 5.9 -3.3 38.5 -0.1 -0.1 -0.2 17.9 -20.3
pair LWTI RSI pos-neg 13 5.9 -3.3 38.5 -0.1 -0.1 -0.2 17.9 -20.3
pair SLmean LWTI neg-pos 61 27.6 -3.8 52.5 -0.0 -0.0 -0.1 25.2 -54.4
pair LWTI SLmean neg-pos 61 27.6 -3.8 52.5 -0.0 -0.0 -0.1 25.2 -54.4
pair MACD MRmean neg-neg 34 15.4 -4.6 50.0 -0.0 -0.0 -0.1 28.3 -47.3
pair MRmean MACD neg-neg 34 15.4 -4.6 50.0 -0.0 -0.0 -0.1 28.3 -47.3
pair MRmean RSIhist neg-pos 4 1.8 -5.7 50.0 -0.0 -0.0 -0.4 38.8 -15.0
pair RSIhist MRmean neg-pos 4 1.8 -5.7 50.0 -0.0 -0.0 -0.4 38.8 -15.0
pair MACDhist SLmean neg-pos 20 9.0 -7.4 50.0 -0.3 -0.3 -0.3 20.1 -26.9
pair SLmean MACDhist neg-pos 20 9.0 -7.4 50.0 -0.3 -0.3 -0.3 20.1 -26.9
pair LWTI RSmean neg-pos 23 10.4 -7.7 60.9 -0.2 -0.3 -0.2 24.8 -47.3
pair RSmean LWTI neg-pos 23 10.4 -7.7 60.9 -0.2 -0.3 -0.2 24.8 -47.3
pair RSIhist MACDhist pos-neg 21 9.5 -9.3 47.6 -0.4 -0.5 -0.3 19.3 -27.6
pair MACDhist RSIhist pos-neg 21 9.5 -9.3 47.6 -0.4 -0.5 -0.3 19.3 -27.6
single RSmean RSmean neg-neg 26 11.8 -15.3 53.8 -0.5 -0.7 -0.3 25.0 -47.3
pair RSIhist RSI pos-neg 48 21.7 -16.1 43.8 -0.8 -1.0 -0.3 19.5 -57.5
pair RSI RSIhist pos-neg 48 21.7 -16.1 43.8 -0.8 -1.0 -0.3 19.5 -57.5
pair MACDhist RSmean neg-neg 24 10.9 -18.4 54.2 -0.7 -0.9 -0.4 25.0 -47.3
pair RSmean MACDhist neg-neg 24 10.9 -18.4 54.2 -0.7 -0.9 -0.4 25.0 -47.3
pair RSI SLmean neg-pos 34 15.4 -18.7 38.2 -0.9 -1.2 -0.3 20.5 -54.4
pair SLmean RSI neg-pos 34 15.4 -18.7 38.2 -0.9 -1.2 -0.3 20.5 -54.4
pair RSIhist RSmean neg-neg 20 9.0 -23.5 50.0 -0.8 -1.2 -0.5 26.8 -47.3
pair RSmean RSIhist neg-neg 20 9.0 -23.5 50.0 -0.8 -1.2 -0.5 26.8 -47.3
pair MRmean RSI neg-pos 23 10.4 -27.5 34.8 -1.3 -1.5 -0.6 22.4 -50.1
pair RSI MRmean neg-pos 23 10.4 -27.5 34.8 -1.3 -1.5 -0.6 22.4 -50.1
pair RSmean MRmean neg-neg 16 7.2 -29.0 43.8 -1.0 -1.5 -0.6 29.6 -47.3
pair MRmean RSmean neg-neg 16 7.2 -29.0 43.8 -1.0 -1.5 -0.6 29.6 -47.3
pair RSmean SLmean neg-neg 16 7.2 -29.9 43.8 -1.0 -1.6 -0.6 29.6 -47.8
pair SLmean RSmean neg-neg 16 7.2 -29.9 43.8 -1.0 -1.6 -0.6 29.6 -47.8
pair MACD RSmean neg-neg 14 6.3 -35.3 42.9 -1.2 -2.0 -0.7 30.6 -50.0
pair RSmean MACD neg-neg 14 6.3 -35.3 42.9 -1.2 -2.0 -0.7 30.6 -50.0
pair MRmean MACDhist neg-pos 6 2.7 -36.3 33.3 -1.5 -1.4 -1.9 26.8 -19.5
pair MACDhist MRmean neg-pos 6 2.7 -36.3 33.3 -1.5 -1.4 -1.9 26.8 -19.5
pair RSmean RSI neg-neg 10 4.5 -40.7 40.0 -1.4 -2.1 -1.0 33.0 -41.3
pair RSI RSmean neg-neg 10 4.5 -40.7 40.0 -1.4 -2.1 -1.0 33.0 -41.3
pair RSmean LWTI neg-neg 3 1.4 -56.1 0.0 -3.6 -3.6 -3.4 21.7 -16.5
pair LWTI RSmean neg-neg 3 1.4 -56.1 0.0 -3.6 -3.6 -3.4 21.7 -16.5

All Contingency Tables for EIS

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 13.2% | Win 63%
Sharpe 0.83 | Sortino 1.26 | Calmar 0.6
Vol 17% | MDD -22.7%
Months 123M (56%)
CAGR 0.6% | Win 45%
Sharpe 0.12 | Sortino 0.24 | Calmar 0.0
Vol 18% | MDD -17.9%
Months 20M (9%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR 4.9% | Win 62%
Sharpe 0.31 | Sortino 0.35 | Calmar 0.3
Vol 26% | MDD -15.9%
Months 13M (6%)
CAGR -1.2% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 26% | MDD -52.8%
Months 65M (29%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
SLmean
only
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 59%
Sharpe 0.71 | Sortino 1.12 | Calmar 0.4
Vol 17% | MDD -27.1%
Months 133M (60%)
CAGR 12.4% | Win 70%
Sharpe 0.93 | Sortino 5.33 | Calmar 2.8
Vol 14% | MDD -4.4%
Months 10M (4%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR 8.9% | Win 58%
Sharpe 0.47 | Sortino 0.64 | Calmar 0.3
Vol 25% | MDD -29.2%
Months 62M (28%)
CAGR -29.0% | Win 44%
Sharpe -1.00 | Sortino -1.48 | Calmar -0.6
Vol 30% | MDD -47.3%
Months 16M (7%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
RSmean
only
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 58%
Sharpe 0.53 | Sortino 0.82 | Calmar 0.3
Vol 17% | MDD -28.6%
Months 113M (51%)
CAGR 25.6% | Win 67%
Sharpe 1.47 | Sortino 2.82 | Calmar 3.4
Vol 16% | MDD -7.4%
Months 30M (14%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.1
Vol 24% | MDD -26.3%
Months 44M (20%)
CAGR -4.6% | Win 50%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 28% | MDD -47.3%
Months 34M (15%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
MACD
only
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.1% | Win 59%
Sharpe 0.55 | Sortino 0.86 | Calmar 0.3
Vol 17% | MDD -30.3%
Months 131M (59%)
CAGR 54.0% | Win 75%
Sharpe 2.59 | Sortino 7.42 | Calmar 14.6
Vol 18% | MDD -3.7%
Months 12M (5%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR -27.5% | Win 35%
Sharpe -1.30 | Sortino -1.47 | Calmar -0.5
Vol 22% | MDD -50.1%
Months 23M (10%)
CAGR 14.0% | Win 64%
Sharpe 0.63 | Sortino 0.90 | Calmar 0.4
Vol 26% | MDD -38.2%
Months 55M (25%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
RSI
only
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 60%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.3
Vol 17% | MDD -32.9%
Months 99M (45%)
CAGR 17.2% | Win 61%
Sharpe 1.02 | Sortino 1.71 | Calmar 0.8
Vol 17% | MDD -21.0%
Months 44M (20%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR -36.3% | Win 33%
Sharpe -1.53 | Sortino -1.43 | Calmar -1.9
Vol 27% | MDD -19.5%
Months 6M (3%)
CAGR 3.6% | Win 57%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 26% | MDD -47.3%
Months 72M (33%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
MACDhist
only
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.5% | Win 62%
Sharpe 0.84 | Sortino 1.29 | Calmar 0.4
Vol 17% | MDD -32.6%
Months 115M (52%)
CAGR 2.9% | Win 54%
Sharpe 0.25 | Sortino 0.44 | Calmar 0.2
Vol 17% | MDD -14.3%
Months 28M (13%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR -5.7% | Win 50%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.4
Vol 39% | MDD -15.0%
Months 4M (2%)
CAGR 0.1% | Win 55%
Sharpe 0.13 | Sortino 0.18 | Calmar 0.0
Vol 25% | MDD -48.7%
Months 74M (34%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 61%
Sharpe 0.63 | Sortino 0.97 | Calmar 0.3
Vol 17% | MDD -29.3%
Months 127M (58%)
CAGR 26.2% | Win 56%
Sharpe 1.50 | Sortino 5.34 | Calmar 2.9
Vol 16% | MDD -9.1%
Months 16M (7%)
CAGR 11.3% | Win 60%
Sharpe 0.72 | Sortino 1.15 | Calmar 0.4
Vol 17% | MDD -28.6%
Months 143M (65%)
MRmean
neg
CAGR 0.9% | Win 58%
Sharpe 0.17 | Sortino 0.23 | Calmar 0.0
Vol 27% | MDD -47.3%
Months 50M (23%)
CAGR -2.3% | Win 50%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 24% | MDD -25.9%
Months 28M (13%)
CAGR -0.2% | Win 55%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 78M (35%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 12.2% | Win 62%
Sharpe 0.73 | Sortino 1.02 | Calmar 0.5
Vol 18% | MDD -25.2%
Months 126M (57%)
CAGR 14.6% | Win 70%
Sharpe 1.11 | Sortino 3.87 | Calmar 3.8
Vol 13% | MDD -3.9%
Months 10M (4%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR 7.5% | Win 54%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.3
Vol 22% | MDD -29.1%
Months 69M (31%)
CAGR -29.9% | Win 44%
Sharpe -1.04 | Sortino -1.59 | Calmar -0.6
Vol 30% | MDD -47.8%
Months 16M (7%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
RSmean
only
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 10.0% | Win 62%
Sharpe 0.65 | Sortino 0.88 | Calmar 0.4
Vol 17% | MDD -22.7%
Months 105M (48%)
CAGR 20.6% | Win 64%
Sharpe 1.04 | Sortino 1.53 | Calmar 1.1
Vol 20% | MDD -17.9%
Months 31M (14%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR -0.2% | Win 52%
Sharpe 0.11 | Sortino 0.15 | Calmar -0.0
Vol 23% | MDD -35.5%
Months 52M (24%)
CAGR -1.8% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 26% | MDD -47.3%
Months 33M (15%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
MACD
only
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.57 | Sortino 0.80 | Calmar 0.3
Vol 17% | MDD -25.9%
Months 120M (54%)
CAGR 45.9% | Win 81%
Sharpe 1.78 | Sortino 1.84 | Calmar 3.4
Vol 23% | MDD -13.4%
Months 16M (7%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR -18.7% | Win 38%
Sharpe -0.89 | Sortino -1.16 | Calmar -0.3
Vol 20% | MDD -54.4%
Months 34M (15%)
CAGR 13.3% | Win 61%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.3
Vol 26% | MDD -38.2%
Months 51M (23%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
RSI
only
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 8.9% | Win 60%
Sharpe 0.58 | Sortino 0.87 | Calmar 0.3
Vol 17% | MDD -34.3%
Months 85M (38%)
CAGR 18.5% | Win 67%
Sharpe 1.00 | Sortino 1.23 | Calmar 0.9
Vol 19% | MDD -19.9%
Months 51M (23%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR -7.4% | Win 50%
Sharpe -0.28 | Sortino -0.31 | Calmar -0.3
Vol 20% | MDD -26.9%
Months 20M (9%)
CAGR 1.3% | Win 52%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 26% | MDD -51.7%
Months 65M (29%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
MACDhist
only
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 12.5% | Win 61%
Sharpe 0.75 | Sortino 1.12 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 116M (52%)
CAGR 11.6% | Win 70%
Sharpe 0.71 | Sortino 0.69 | Calmar 0.9
Vol 18% | MDD -13.6%
Months 20M (9%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR 24.4% | Win 67%
Sharpe 1.89 | Sortino 0.00 | Calmar 12.6
Vol 12% | MDD -1.9%
Months 3M (1%)
CAGR -1.6% | Win 51%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 25% | MDD -54.4%
Months 82M (37%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.3% | Win 64%
Sharpe 0.82 | Sortino 1.24 | Calmar 0.6
Vol 17% | MDD -22.7%
Months 116M (52%)
CAGR 7.3% | Win 55%
Sharpe 0.42 | Sortino 0.49 | Calmar 0.4
Vol 22% | MDD -19.6%
Months 20M (9%)
CAGR 12.4% | Win 62%
Sharpe 0.75 | Sortino 1.05 | Calmar 0.5
Vol 18% | MDD -22.7%
Months 136M (62%)
SLmean
neg
CAGR -3.8% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 25% | MDD -54.4%
Months 61M (28%)
CAGR 7.2% | Win 50%
Sharpe 0.42 | Sortino 0.69 | Calmar 0.4
Vol 22% | MDD -19.9%
Months 24M (11%)
CAGR -0.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -54.4%
Months 85M (38%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 58%
Sharpe 0.39 | Sortino 0.52 | Calmar 0.2
Vol 20% | MDD -32.7%
Months 145M (66%)
CAGR 25.4% | Win 62%
Sharpe 1.25 | Sortino 2.17 | Calmar 1.7
Vol 20% | MDD -14.6%
Months 50M (23%)
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
RSmean
neg
CAGR 15.9% | Win 67%
Sharpe 1.18 | Sortino 4.89 | Calmar 4.1
Vol 13% | MDD -3.9%
Months 12M (5%)
CAGR -35.3% | Win 43%
Sharpe -1.25 | Sortino -1.99 | Calmar -0.7
Vol 31% | MDD -50.0%
Months 14M (6%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
MACD
only
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 1.4% | Win 54%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 18% | MDD -57.4%
Months 138M (62%)
CAGR 36.2% | Win 70%
Sharpe 1.52 | Sortino 2.29 | Calmar 2.1
Vol 22% | MDD -17.4%
Months 57M (26%)
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
RSmean
neg
CAGR 5.8% | Win 62%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 17% | MDD -19.6%
Months 16M (7%)
CAGR -40.7% | Win 40%
Sharpe -1.39 | Sortino -2.07 | Calmar -1.0
Vol 33% | MDD -41.3%
Months 10M (4%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
RSI
only
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 5.1% | Win 58%
Sharpe 0.37 | Sortino 0.50 | Calmar 0.1
Vol 18% | MDD -44.4%
Months 103M (47%)
CAGR 16.9% | Win 60%
Sharpe 0.83 | Sortino 1.23 | Calmar 0.6
Vol 22% | MDD -29.2%
Months 92M (42%)
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
RSmean
neg
CAGR 32.0% | Win 50%
Sharpe 0.97 | Sortino 0.00 | Calmar 0.0
Vol 31% | MDD 0.0%
Months 2M (1%)
CAGR -18.4% | Win 54%
Sharpe -0.68 | Sortino -0.87 | Calmar -0.4
Vol 25% | MDD -47.3%
Months 24M (11%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
MACDhist
only
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 12.5% | Win 61%
Sharpe 0.75 | Sortino 1.11 | Calmar 0.4
Vol 18% | MDD -34.0%
Months 113M (51%)
CAGR 7.9% | Win 56%
Sharpe 0.45 | Sortino 0.64 | Calmar 0.3
Vol 22% | MDD -28.8%
Months 82M (37%)
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
RSmean
neg
CAGR 18.7% | Win 67%
Sharpe 1.10 | Sortino 5.53 | Calmar 4.9
Vol 17% | MDD -3.9%
Months 6M (3%)
CAGR -23.5% | Win 50%
Sharpe -0.85 | Sortino -1.16 | Calmar -0.5
Vol 27% | MDD -47.3%
Months 20M (9%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.5% | Win 60%
Sharpe 0.56 | Sortino 0.80 | Calmar 0.3
Vol 20% | MDD -36.0%
Months 154M (70%)
CAGR 14.5% | Win 56%
Sharpe 0.75 | Sortino 1.06 | Calmar 0.7
Vol 21% | MDD -20.4%
Months 41M (19%)
CAGR 10.5% | Win 59%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.5%
Months 195M (88%)
RSmean
neg
CAGR -7.7% | Win 61%
Sharpe -0.20 | Sortino -0.26 | Calmar -0.2
Vol 25% | MDD -47.3%
Months 23M (10%)
CAGR -56.1% | Win 0%
Sharpe -3.59 | Sortino -3.59 | Calmar -3.4
Vol 22% | MDD -16.5%
Months 3M (1%)
CAGR -15.3% | Win 54%
Sharpe -0.53 | Sortino -0.71 | Calmar -0.3
Vol 25% | MDD -47.3%
Months 26M (12%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 1.1% | Win 55%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 18% | MDD -50.0%
Months 131M (59%)
CAGR 39.0% | Win 77%
Sharpe 1.59 | Sortino 2.12 | Calmar 3.1
Vol 22% | MDD -12.4%
Months 26M (12%)
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
MACD
neg
CAGR 6.3% | Win 56%
Sharpe 0.44 | Sortino 0.68 | Calmar 0.4
Vol 17% | MDD -15.6%
Months 23M (10%)
CAGR 9.8% | Win 58%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.3
Vol 27% | MDD -38.2%
Months 41M (19%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
RSI
only
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 4.1% | Win 58%
Sharpe 0.32 | Sortino 0.42 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 92M (42%)
CAGR 10.1% | Win 60%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.4
Vol 21% | MDD -25.7%
Months 65M (29%)
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
MACD
neg
CAGR 16.3% | Win 62%
Sharpe 0.99 | Sortino 1.71 | Calmar 2.2
Vol 17% | MDD -7.4%
Months 13M (6%)
CAGR 6.6% | Win 57%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 25% | MDD -47.3%
Months 51M (23%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
MACDhist
only
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.8% | Win 60%
Sharpe 0.68 | Sortino 1.02 | Calmar 0.3
Vol 17% | MDD -32.6%
Months 86M (39%)
CAGR 1.6% | Win 56%
Sharpe 0.18 | Sortino 0.24 | Calmar 0.0
Vol 21% | MDD -32.8%
Months 71M (32%)
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
MACD
neg
CAGR 18.1% | Win 64%
Sharpe 0.96 | Sortino 1.41 | Calmar 1.0
Vol 19% | MDD -17.9%
Months 33M (15%)
CAGR -0.8% | Win 52%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 28% | MDD -47.3%
Months 31M (14%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 7.6% | Win 60%
Sharpe 0.48 | Sortino 0.66 | Calmar 0.2
Vol 19% | MDD -38.3%
Months 142M (64%)
CAGR -2.9% | Win 47%
Sharpe -0.06 | Sortino -0.07 | Calmar -0.1
Vol 19% | MDD -19.9%
Months 15M (7%)
CAGR 6.5% | Win 59%
Sharpe 0.43 | Sortino 0.58 | Calmar 0.2
Vol 19% | MDD -32.7%
Months 157M (71%)
MACD
neg
CAGR 5.0% | Win 60%
Sharpe 0.32 | Sortino 0.44 | Calmar 0.1
Vol 24% | MDD -47.3%
Months 35M (16%)
CAGR 12.9% | Win 55%
Sharpe 0.64 | Sortino 0.94 | Calmar 0.7
Vol 23% | MDD -19.3%
Months 29M (13%)
CAGR 8.5% | Win 58%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -47.3%
Months 64M (29%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 3.7% | Win 56%
Sharpe 0.29 | Sortino 0.40 | Calmar 0.1
Vol 18% | MDD -48.1%
Months 101M (46%)
CAGR -1.6% | Win 53%
Sharpe 0.00 | Sortino 0.00 | Calmar -0.1
Vol 18% | MDD -24.1%
Months 53M (24%)
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
RSI
neg
CAGR 65.8% | Win 100%
Sharpe 4.12 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 4M (2%)
CAGR 17.9% | Win 64%
Sharpe 0.77 | Sortino 1.09 | Calmar 0.5
Vol 26% | MDD -38.2%
Months 63M (28%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
MACDhist
only
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.2% | Win 60%
Sharpe 0.72 | Sortino 1.08 | Calmar 0.3
Vol 17% | MDD -32.6%
Months 106M (48%)
CAGR -16.1% | Win 44%
Sharpe -0.79 | Sortino -0.97 | Calmar -0.3
Vol 20% | MDD -57.5%
Months 48M (22%)
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
RSI
neg
CAGR 27.0% | Win 69%
Sharpe 1.08 | Sortino 1.39 | Calmar 2.0
Vol 25% | MDD -13.4%
Months 13M (6%)
CAGR 18.8% | Win 65%
Sharpe 0.81 | Sortino 1.11 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 54M (24%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.3% | Win 57%
Sharpe 0.22 | Sortino 0.30 | Calmar 0.0
Vol 18% | MDD -52.9%
Months 141M (64%)
CAGR -3.3% | Win 38%
Sharpe -0.10 | Sortino -0.11 | Calmar -0.2
Vol 18% | MDD -20.3%
Months 13M (6%)
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -50.7%
Months 154M (70%)
RSI
neg
CAGR 28.0% | Win 72%
Sharpe 1.06 | Sortino 1.37 | Calmar 0.7
Vol 27% | MDD -38.2%
Months 36M (16%)
CAGR 12.0% | Win 58%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.5
Vol 23% | MDD -22.8%
Months 31M (14%)
CAGR 20.3% | Win 66%
Sharpe 0.87 | Sortino 1.19 | Calmar 0.5
Vol 25% | MDD -38.2%
Months 67M (30%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 9.7% | Win 61%
Sharpe 0.62 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -33.6%
Months 84M (38%)
CAGR -9.3% | Win 48%
Sharpe -0.41 | Sortino -0.45 | Calmar -0.3
Vol 19% | MDD -27.6%
Months 21M (10%)
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
MACDhist
neg
CAGR 20.7% | Win 63%
Sharpe 1.10 | Sortino 1.55 | Calmar 1.6
Vol 19% | MDD -13.4%
Months 35M (16%)
CAGR 3.7% | Win 57%
Sharpe 0.27 | Sortino 0.39 | Calmar 0.1
Vol 24% | MDD -51.9%
Months 81M (37%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
RSIhist
only
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 4.6% | Win 57%
Sharpe 0.34 | Sortino 0.47 | Calmar 0.1
Vol 18% | MDD -50.0%
Months 103M (47%)
CAGR 67.6% | Win 100%
Sharpe 3.74 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 2M (1%)
CAGR 5.6% | Win 58%
Sharpe 0.39 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 105M (48%)
MACDhist
neg
CAGR 10.6% | Win 64%
Sharpe 0.55 | Sortino 0.77 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 74M (34%)
CAGR 5.0% | Win 50%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 42M (19%)
CAGR 8.5% | Win 59%
Sharpe 0.47 | Sortino 0.66 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 116M (52%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 12.6% | Win 62%
Sharpe 0.77 | Sortino 1.19 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 101M (46%)
CAGR 13.8% | Win 56%
Sharpe 0.75 | Sortino 0.95 | Calmar 1.0
Vol 20% | MDD -13.4%
Months 18M (8%)
CAGR 12.8% | Win 61%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 18% | MDD -32.6%
Months 119M (54%)
RSIhist
neg
CAGR 0.2% | Win 57%
Sharpe 0.12 | Sortino 0.17 | Calmar 0.0
Vol 23% | MDD -53.3%
Months 76M (34%)
CAGR 2.9% | Win 50%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.1
Vol 24% | MDD -26.9%
Months 26M (12%)
CAGR 0.8% | Win 55%
Sharpe 0.15 | Sortino 0.21 | Calmar 0.0
Vol 23% | MDD -52.7%
Months 102M (46%)
LWTI
only
CAGR 7.1% | Win 60%
Sharpe 0.44 | Sortino 0.60 | Calmar 0.1
Vol 20% | MDD -47.3%
Months 177M (80%)
CAGR 7.2% | Win 52%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.2
Vol 22% | MDD -32.6%
Months 44M (20%)