EMHY - iShares JP Morgan EM High Yield Bond ETF

Signal Pair Analysis

MRmean-MACDhist

Best Pair

55.9%

Best CAGR

48

Total Months

6.8%

Avg CAGR

EMHY 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 EMHY

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MRmean MACDhist neg-pos 1 0.6 55.9 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist MRmean neg-pos 1 0.6 55.9 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSmean pos-neg 2 1.2 44.6 100.0 9.2 0.0 0.0 4.1 0.0
pair RSmean MRmean pos-neg 2 1.2 44.6 100.0 9.2 0.0 0.0 4.1 0.0
pair RSmean MACDhist neg-pos 1 0.6 31.2 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSmean neg-pos 1 0.6 31.2 100.0 0.0 0.0 0.0 - 0.0
pair RSmean SLmean pos-neg 3 1.8 29.1 100.0 4.0 0.0 0.0 6.5 0.0
pair SLmean RSmean pos-neg 3 1.8 29.1 100.0 4.0 0.0 0.0 6.5 0.0
pair RSI LWTI neg-pos 18 10.7 23.8 72.2 2.2 3.2 7.6 10.1 -3.2
pair LWTI RSI neg-pos 18 10.7 23.8 72.2 2.2 3.2 7.6 10.1 -3.2
pair RSI RSmean neg-pos 13 7.7 19.5 84.6 3.6 6.3 13.7 4.9 -1.4
pair RSmean RSI neg-pos 13 7.7 19.5 84.6 3.6 6.3 13.7 4.9 -1.4
pair RSI MACD pos-neg 15 8.9 19.2 66.7 1.9 2.8 4.3 9.6 -4.5
pair MACD RSI pos-neg 15 8.9 19.2 66.7 1.9 2.8 4.3 9.6 -4.5
pair SLmean RSI pos-neg 6 3.6 18.8 66.7 2.1 8.7 8.6 8.4 -2.2
pair RSI SLmean pos-neg 6 3.6 18.8 66.7 2.1 8.7 8.6 8.4 -2.2
pair MACDhist RSI neg-pos 5 3.0 16.4 40.0 1.4 9.5 10.8 11.1 -1.5
pair RSI MACDhist neg-pos 5 3.0 16.4 40.0 1.4 9.5 10.8 11.1 -1.5
pair RSmean MACD neg-pos 3 1.8 16.2 66.7 1.9 0.0 45.5 8.1 -0.4
pair MACD RSmean neg-pos 3 1.8 16.2 66.7 1.9 0.0 45.5 8.1 -0.4
pair RSmean RSIhist neg-pos 6 3.6 15.6 83.3 2.2 0.0 11.6 6.6 -1.3
pair RSIhist RSmean neg-pos 6 3.6 15.6 83.3 2.2 0.0 11.6 6.6 -1.3
pair LWTI RSmean neg-pos 16 9.5 15.4 75.0 1.9 2.1 10.8 7.7 -1.4
pair RSmean LWTI neg-pos 16 9.5 15.4 75.0 1.9 2.1 10.8 7.7 -1.4
single RSmean RSmean neg-neg 16 9.5 15.4 75.0 1.9 2.1 10.8 7.7 -1.4
pair RSmean MACD neg-neg 13 7.7 15.2 76.9 1.8 1.9 10.7 8.0 -1.4
pair RSIhist RSmean neg-neg 10 5.9 15.2 70.0 1.7 1.7 28.5 8.7 -0.5
pair RSmean RSIhist neg-neg 10 5.9 15.2 70.0 1.7 1.7 28.5 8.7 -0.5
pair MACD RSmean neg-neg 13 7.7 15.2 76.9 1.8 1.9 10.7 8.0 -1.4
pair RSI RSmean pos-neg 35 20.7 14.6 62.9 1.2 1.8 0.9 12.2 -16.1
pair RSmean RSI pos-neg 35 20.7 14.6 62.9 1.2 1.8 0.9 12.2 -16.1
pair MACDhist RSmean neg-neg 15 8.9 14.4 73.3 1.7 2.0 10.1 7.9 -1.4
pair RSmean MACDhist neg-neg 15 8.9 14.4 73.3 1.7 2.0 10.1 7.9 -1.4
pair RSI MRmean pos-neg 7 4.1 14.1 57.1 1.4 8.2 4.9 9.6 -2.9
pair MRmean RSI pos-neg 7 4.1 14.1 57.1 1.4 8.2 4.9 9.6 -2.9
pair RSIhist RSI neg-neg 31 18.3 13.9 61.3 1.1 1.7 0.9 13.2 -16.1
pair RSI RSIhist neg-neg 31 18.3 13.9 61.3 1.1 1.7 0.9 13.2 -16.1
single RSI RSI neg-neg 38 22.5 13.3 60.5 1.1 1.7 0.8 12.3 -16.1
pair MRmean RSI neg-neg 31 18.3 13.1 61.3 1.0 1.6 0.8 13.0 -16.1
pair RSI MRmean neg-neg 31 18.3 13.1 61.3 1.0 1.6 0.8 13.0 -16.1
pair MACDhist RSI neg-neg 33 19.5 12.9 63.6 1.0 1.5 0.8 12.7 -16.1
pair RSI MACDhist neg-neg 33 19.5 12.9 63.6 1.0 1.5 0.8 12.7 -16.1
pair MACD MACDhist neg-pos 9 5.3 12.8 44.4 1.2 6.2 3.0 10.2 -4.3
pair MACDhist MACD neg-pos 9 5.3 12.8 44.4 1.2 6.2 3.0 10.2 -4.3
pair SLmean RSmean neg-neg 13 7.7 12.4 69.2 1.5 1.7 8.7 8.0 -1.4
pair RSmean SLmean neg-neg 13 7.7 12.4 69.2 1.5 1.7 8.7 8.0 -1.4
pair SLmean RSI neg-neg 32 18.9 12.3 59.4 1.0 1.5 0.8 13.0 -16.1
pair RSI SLmean neg-neg 32 18.9 12.3 59.4 1.0 1.5 0.8 13.0 -16.1
pair RSmean MRmean neg-neg 14 8.3 11.7 71.4 1.5 1.6 8.2 7.7 -1.4
pair MRmean RSmean neg-neg 14 8.3 11.7 71.4 1.5 1.6 8.2 7.7 -1.4
pair RSIhist RSI neg-pos 7 4.1 10.6 57.1 1.3 6.2 4.8 8.0 -2.2
pair RSI RSIhist neg-pos 7 4.1 10.6 57.1 1.3 6.2 4.8 8.0 -2.2
pair MACD RSI neg-neg 23 13.6 9.6 56.5 0.7 1.2 0.8 14.0 -12.1
pair RSI MACD neg-neg 23 13.6 9.6 56.5 0.7 1.2 0.8 14.0 -12.1
pair SLmean RSIhist pos-neg 18 10.7 9.3 61.1 0.9 2.1 0.9 9.9 -9.9
pair RSIhist SLmean pos-neg 18 10.7 9.3 61.1 0.9 2.1 0.9 9.9 -9.9
pair SLmean RSIhist neg-pos 6 3.6 9.0 66.7 1.4 5.5 6.7 6.6 -1.3
pair RSIhist SLmean neg-pos 6 3.6 9.0 66.7 1.4 5.5 6.7 6.6 -1.3
pair LWTI MACD neg-pos 27 16.0 8.9 63.0 0.9 1.5 0.8 10.2 -11.0
pair MACD LWTI neg-pos 27 16.0 8.9 63.0 0.9 1.5 0.8 10.2 -11.0
pair MACD SLmean neg-neg 29 17.2 8.2 62.1 0.7 1.0 0.7 13.1 -12.3
pair SLmean MACD neg-neg 29 17.2 8.2 62.1 0.7 1.0 0.7 13.1 -12.3
pair MRmean MACD neg-neg 28 16.6 8.0 60.7 0.7 1.1 0.7 12.4 -12.1
pair MACD MRmean neg-neg 28 16.6 8.0 60.7 0.7 1.1 0.7 12.4 -12.1
pair SLmean LWTI pos-neg 14 8.3 7.9 50.0 0.8 2.5 1.6 10.1 -5.0
pair LWTI SLmean pos-neg 14 8.3 7.9 50.0 0.8 2.5 1.6 10.1 -5.0
pair MRmean LWTI pos-neg 13 7.7 7.2 53.8 0.9 2.0 1.6 8.4 -4.6
pair LWTI MRmean pos-neg 13 7.7 7.2 53.8 0.9 2.0 1.6 8.4 -4.6
pair MACD RSIhist neg-pos 19 11.2 7.0 57.9 0.9 2.4 1.5 8.2 -4.6
pair RSIhist MACD neg-pos 19 11.2 7.0 57.9 0.9 2.4 1.5 8.2 -4.6
pair SLmean MRmean neg-neg 47 27.8 6.9 59.6 0.6 1.0 0.3 11.7 -19.9
pair MRmean SLmean neg-neg 47 27.8 6.9 59.6 0.6 1.0 0.3 11.7 -19.9
pair SLmean MRmean pos-pos 97 57.4 6.8 61.9 1.0 1.9 1.1 6.7 -6.4
pair MRmean SLmean pos-pos 97 57.4 6.8 61.9 1.0 1.9 1.1 6.7 -6.4
pair LWTI MACD pos-neg 14 8.3 6.7 42.9 0.7 1.4 1.5 10.8 -4.5
pair MACD LWTI pos-neg 14 8.3 6.7 42.9 0.7 1.4 1.5 10.8 -4.5
pair SLmean MACDhist pos-pos 74 43.8 6.5 60.8 1.1 1.9 1.0 6.1 -6.2
pair MACDhist SLmean pos-pos 74 43.8 6.5 60.8 1.1 1.9 1.0 6.1 -6.2
single MACD MACD neg-neg 45 26.6 6.4 57.8 0.6 1.0 0.5 11.7 -12.1
pair SLmean MACD pos-pos 91 53.8 6.3 61.5 0.9 1.6 0.8 6.9 -8.3
pair MACD SLmean pos-pos 91 53.8 6.3 61.5 0.9 1.6 0.8 6.9 -8.3
pair MRmean LWTI neg-pos 38 22.5 6.2 63.2 0.7 1.1 0.6 9.7 -10.1
pair LWTI MRmean neg-pos 38 22.5 6.2 63.2 0.7 1.1 0.6 9.7 -10.1
pair MACDhist RSIhist pos-pos 69 40.8 6.1 58.0 0.9 1.8 1.1 6.4 -5.8
pair RSIhist MACDhist pos-pos 69 40.8 6.1 58.0 0.9 1.8 1.1 6.4 -5.8
pair RSIhist MACD neg-neg 26 15.4 6.0 57.7 0.5 0.8 0.4 13.9 -14.3
pair MACD RSIhist neg-neg 26 15.4 6.0 57.7 0.5 0.8 0.4 13.9 -14.3
single SLmean SLmean pos-pos 107 63.3 5.8 59.8 0.8 1.6 0.7 7.2 -8.3
pair RSIhist LWTI pos-pos 84 49.7 5.7 60.7 0.9 1.6 1.2 6.5 -4.6
pair LWTI RSIhist pos-pos 84 49.7 5.7 60.7 0.9 1.6 1.2 6.5 -4.6
pair MRmean RSIhist neg-pos 6 3.6 5.7 66.7 0.8 3.4 2.8 7.5 -2.0
pair RSIhist MRmean neg-pos 6 3.6 5.7 66.7 0.8 3.4 2.8 7.5 -2.0
pair LWTI MACDhist neg-neg 30 17.8 5.7 50.0 0.5 0.9 0.3 12.8 -16.1
pair MACDhist LWTI neg-neg 30 17.8 5.7 50.0 0.5 0.9 0.3 12.8 -16.1
pair RSIhist LWTI neg-neg 21 12.4 5.5 42.9 0.4 0.8 0.3 14.7 -16.1
pair LWTI RSIhist neg-neg 21 12.4 5.5 42.9 0.4 0.8 0.3 14.7 -16.1
pair SLmean LWTI pos-pos 93 55.0 5.5 61.3 0.8 1.4 0.7 6.8 -7.4
pair LWTI SLmean pos-pos 93 55.0 5.5 61.3 0.8 1.4 0.7 6.8 -7.4
single RSIhist RSIhist pos-pos 95 56.2 5.4 60.0 0.8 1.6 0.8 6.6 -6.5
pair RSIhist MRmean pos-pos 89 52.7 5.3 59.6 0.8 1.5 0.8 6.6 -6.5
pair MRmean RSIhist pos-pos 89 52.7 5.3 59.6 0.8 1.5 0.8 6.6 -6.5
pair SLmean RSmean pos-pos 104 61.5 5.2 58.7 0.7 1.4 0.6 7.2 -8.9
pair RSmean SLmean pos-pos 104 61.5 5.2 58.7 0.7 1.4 0.6 7.2 -8.9
pair MRmean MACDhist pos-neg 29 17.2 5.1 62.1 0.6 0.9 0.8 9.1 -6.1
pair SLmean RSIhist pos-pos 89 52.7 5.1 59.6 0.8 1.4 0.8 6.6 -6.5
pair LWTI MACDhist pos-pos 82 48.5 5.1 62.2 0.6 0.5 0.2 9.3 -21.0
pair MACDhist LWTI pos-pos 82 48.5 5.1 62.2 0.6 0.5 0.2 9.3 -21.0
pair MACDhist MRmean pos-neg 29 17.2 5.1 62.1 0.6 0.9 0.8 9.1 -6.1
pair RSI SLmean pos-pos 101 59.8 5.1 59.4 0.7 1.4 0.6 7.1 -9.0
pair RSIhist SLmean pos-pos 89 52.7 5.1 59.6 0.8 1.4 0.8 6.6 -6.5
pair SLmean RSI pos-pos 101 59.8 5.1 59.4 0.7 1.4 0.6 7.1 -9.0
pair MACDhist RSIhist neg-neg 59 34.9 5.0 54.2 0.5 0.8 0.2 12.0 -21.8
pair RSIhist MACDhist neg-neg 59 34.9 5.0 54.2 0.5 0.8 0.2 12.0 -21.8
single MRmean MRmean neg-neg 57 33.7 5.0 56.1 0.5 0.8 0.2 11.6 -21.8
pair MACD RSIhist pos-pos 76 45.0 5.0 60.5 0.8 1.4 0.8 6.2 -6.5
pair RSIhist MACD pos-pos 76 45.0 5.0 60.5 0.8 1.4 0.8 6.2 -6.5
pair MACDhist MACD neg-neg 36 21.3 4.9 61.1 0.5 0.7 0.4 12.2 -12.1
pair MACD MACDhist neg-neg 36 21.3 4.9 61.1 0.5 0.7 0.4 12.2 -12.1
pair RSIhist MRmean neg-neg 51 30.2 4.9 54.9 0.5 0.8 0.2 12.0 -21.8
pair MRmean RSIhist neg-neg 51 30.2 4.9 54.9 0.5 0.8 0.2 12.0 -21.8
pair RSI RSIhist pos-pos 88 52.1 4.9 60.2 0.8 1.4 0.6 6.5 -8.3
pair RSIhist RSI pos-pos 88 52.1 4.9 60.2 0.8 1.4 0.6 6.5 -8.3
pair RSmean RSIhist pos-pos 89 52.7 4.7 58.4 0.7 1.4 0.7 6.6 -6.7
pair RSIhist RSmean pos-pos 89 52.7 4.7 58.4 0.7 1.4 0.7 6.6 -6.7
pair SLmean MACDhist neg-neg 52 30.8 4.7 57.7 0.5 0.7 0.2 11.6 -19.9
pair MACDhist SLmean neg-neg 52 30.8 4.7 57.7 0.5 0.7 0.2 11.6 -19.9
single MACDhist MACDhist pos-pos 84 49.7 4.7 60.7 0.5 0.5 0.2 9.2 -22.7
pair LWTI RSI neg-neg 20 11.8 4.6 50.0 0.4 0.6 0.3 13.9 -16.1
pair RSI LWTI neg-neg 20 11.8 4.6 50.0 0.4 0.6 0.3 13.9 -16.1
single LWTI LWTI pos-pos 137 81.1 4.6 62.0 0.5 0.6 0.2 9.4 -21.2
pair benchmark___benchmark_ benchmark-benchmark 169 100.0 4.6 59.2 0.5 0.6 0.2 10.0 -24.7
pair benchmark___benchmark_ benchmark-benchmark 169 100.0 4.6 59.2 0.5 0.6 0.2 10.0 -24.7
pair MACD MRmean pos-pos 95 56.2 4.5 62.1 0.6 0.5 0.2 8.9 -19.7
pair MRmean MACD pos-pos 95 56.2 4.5 62.1 0.6 0.5 0.2 8.9 -19.7
single MACDhist MACDhist neg-neg 85 50.3 4.5 57.6 0.5 0.8 0.2 10.7 -21.8
single LWTI LWTI neg-neg 32 18.9 4.4 46.9 0.4 0.7 0.3 12.5 -16.1
pair RSmean MACDhist pos-pos 83 49.1 4.4 60.2 0.5 0.5 0.2 9.3 -23.2
pair MACDhist RSmean pos-pos 83 49.1 4.4 60.2 0.5 0.5 0.2 9.3 -23.2
pair LWTI RSmean pos-neg 32 18.9 4.4 46.9 0.4 0.7 0.3 12.5 -16.1
pair RSmean LWTI pos-neg 32 18.9 4.4 46.9 0.4 0.7 0.3 12.5 -16.1
single MRmean MRmean pos-pos 112 66.3 4.4 60.7 0.5 0.5 0.2 9.1 -19.7
pair SLmean MACDhist pos-neg 33 19.5 4.4 57.6 0.5 1.3 0.5 9.4 -8.1
pair MACDhist SLmean pos-neg 33 19.5 4.4 57.6 0.5 1.3 0.5 9.4 -8.1
pair MACDhist MACD pos-neg 49 29.0 4.3 55.1 0.5 0.9 0.4 9.7 -11.0
pair MACD MACDhist pos-neg 49 29.0 4.3 55.1 0.5 0.9 0.4 9.7 -11.0
pair MACDhist MRmean pos-pos 83 49.1 4.2 60.2 0.5 0.5 0.2 9.2 -24.3
pair RSI LWTI pos-neg 12 7.1 4.2 41.7 0.4 1.3 0.7 10.4 -5.6
pair MACDhist MRmean neg-neg 56 33.1 4.2 55.4 0.4 0.7 0.2 11.6 -21.8
pair MRmean MACDhist pos-pos 83 49.1 4.2 60.2 0.5 0.5 0.2 9.2 -24.3
pair LWTI RSI pos-neg 12 7.1 4.2 41.7 0.4 1.3 0.7 10.4 -5.6
pair MRmean MACDhist neg-neg 56 33.1 4.2 55.4 0.4 0.7 0.2 11.6 -21.8
pair MRmean LWTI pos-pos 99 58.6 4.1 61.6 0.5 0.5 0.2 9.3 -20.5
pair LWTI MRmean pos-pos 99 58.6 4.1 61.6 0.5 0.5 0.2 9.3 -20.5
pair MACDhist RSI pos-pos 79 46.7 4.0 62.0 0.5 0.4 0.2 9.2 -22.1
pair RSI MACDhist pos-pos 79 46.7 4.0 62.0 0.5 0.4 0.2 9.2 -22.1
single MACD MACD pos-pos 124 73.4 4.0 59.7 0.5 0.5 0.2 9.3 -19.7
pair LWTI MACDhist neg-pos 55 32.5 3.9 61.8 0.5 0.7 0.3 9.5 -11.6
pair MACDhist LWTI neg-pos 55 32.5 3.9 61.8 0.5 0.7 0.3 9.5 -11.6
pair MRmean RSmean pos-pos 110 65.1 3.8 60.0 0.5 0.5 0.2 9.1 -19.7
pair RSmean MRmean pos-pos 110 65.1 3.8 60.0 0.5 0.5 0.2 9.1 -19.7
pair MRmean MACD pos-neg 17 10.1 3.8 52.9 0.4 0.7 0.6 10.8 -6.5
pair MACD MRmean pos-neg 17 10.1 3.8 52.9 0.4 0.7 0.6 10.8 -6.5
pair MRmean RSI pos-pos 105 62.1 3.8 61.0 0.5 0.5 0.2 9.1 -19.7
pair RSI MRmean pos-pos 105 62.1 3.8 61.0 0.5 0.5 0.2 9.1 -19.7
pair MACD RSmean pos-pos 121 71.6 3.7 59.5 0.4 0.5 0.2 9.4 -19.7
pair RSmean MACD pos-pos 121 71.6 3.7 59.5 0.4 0.5 0.2 9.4 -19.7
pair MACD MACDhist pos-pos 75 44.4 3.7 62.7 0.5 0.4 0.2 9.2 -21.3
pair MACDhist MACD pos-pos 75 44.4 3.7 62.7 0.5 0.4 0.2 9.2 -21.3
single RSIhist RSIhist neg-neg 74 43.8 3.7 58.1 0.3 0.4 0.2 13.2 -22.6
pair MACD LWTI pos-pos 110 65.1 3.6 61.8 0.4 0.4 0.2 9.2 -21.2
pair LWTI MACD pos-pos 110 65.1 3.6 61.8 0.4 0.4 0.2 9.2 -21.2
pair RSIhist MACDhist neg-pos 26 15.4 3.5 65.4 0.5 1.0 0.5 7.2 -6.5
pair MACDhist RSIhist neg-pos 26 15.4 3.5 65.4 0.5 1.0 0.5 7.2 -6.5
single RSmean RSmean pos-pos 153 90.5 3.5 57.5 0.4 0.5 0.1 10.2 -24.7
pair LWTI RSmean pos-pos 121 71.6 3.3 60.3 0.4 0.4 0.2 9.5 -21.2
pair RSmean LWTI pos-pos 121 71.6 3.3 60.3 0.4 0.4 0.2 9.5 -21.2
pair MACD SLmean pos-neg 16 9.5 3.2 50.0 0.4 1.4 0.5 9.1 -6.3
pair SLmean MACD pos-neg 16 9.5 3.2 50.0 0.4 1.4 0.5 9.1 -6.3
pair MACD RSI neg-pos 22 13.0 3.1 59.1 0.4 0.6 0.2 9.1 -13.1
pair RSI MACD neg-pos 22 13.0 3.1 59.1 0.4 0.6 0.2 9.1 -13.1
pair RSmean MACD pos-neg 32 18.9 3.0 50.0 0.3 0.5 0.2 13.0 -12.1
pair MACD RSmean pos-neg 32 18.9 3.0 50.0 0.3 0.5 0.2 13.0 -12.1
pair RSIhist LWTI neg-pos 53 31.4 2.9 64.2 0.3 0.3 0.1 12.7 -21.1
pair LWTI RSIhist neg-pos 53 31.4 2.9 64.2 0.3 0.3 0.1 12.7 -21.1
pair RSmean MRmean neg-pos 43 25.4 2.9 51.2 0.3 0.5 0.1 12.6 -21.8
pair MRmean RSmean neg-pos 43 25.4 2.9 51.2 0.3 0.5 0.1 12.6 -21.8
pair SLmean LWTI neg-pos 44 26.0 2.9 63.6 0.3 0.3 0.2 13.4 -18.5
pair LWTI SLmean neg-pos 44 26.0 2.9 63.6 0.3 0.3 0.2 13.4 -18.5
pair LWTI MACD neg-neg 18 10.7 2.7 50.0 0.3 0.4 0.2 14.0 -12.1
pair MACD LWTI neg-neg 18 10.7 2.7 50.0 0.3 0.4 0.2 14.0 -12.1
single SLmean SLmean neg-neg 62 36.7 2.6 58.1 0.3 0.3 0.1 13.6 -27.0
pair MACDhist RSmean pos-neg 70 41.4 2.6 54.3 0.3 0.5 0.1 11.2 -21.8
pair RSmean MACDhist pos-neg 70 41.4 2.6 54.3 0.3 0.5 0.1 11.2 -21.8
pair MRmean LWTI neg-neg 19 11.2 2.6 42.1 0.2 0.5 0.2 14.9 -16.1
pair LWTI MRmean neg-neg 19 11.2 2.6 42.1 0.2 0.5 0.2 14.9 -16.1
pair LWTI RSIhist pos-neg 11 6.5 2.5 54.5 0.4 0.8 0.5 7.2 -4.6
pair RSIhist LWTI pos-neg 11 6.5 2.5 54.5 0.4 0.8 0.5 7.2 -4.6
pair MACD RSIhist pos-neg 48 28.4 2.4 58.3 0.2 0.3 0.1 12.9 -16.9
pair RSIhist MACD pos-neg 48 28.4 2.4 58.3 0.2 0.3 0.1 12.9 -16.9
single RSI RSI pos-pos 131 77.5 2.2 58.8 0.3 0.3 0.1 9.1 -22.1
pair MRmean MACD neg-pos 29 17.2 2.1 51.7 0.2 0.5 0.2 10.8 -11.0
pair MACD MRmean neg-pos 29 17.2 2.1 51.7 0.2 0.5 0.2 10.8 -11.0
pair RSI LWTI pos-pos 119 70.4 2.0 60.5 0.3 0.3 0.1 9.1 -27.1
pair LWTI RSI pos-pos 119 70.4 2.0 60.5 0.3 0.3 0.1 9.1 -27.1
pair RSI MACD pos-pos 109 64.5 2.0 58.7 0.3 0.3 0.1 9.2 -19.7
pair MACD RSI pos-pos 109 64.5 2.0 58.7 0.3 0.3 0.1 9.2 -19.7
pair RSmean RSIhist pos-neg 64 37.9 2.0 56.2 0.2 0.2 0.1 13.8 -22.6
pair RSIhist RSmean pos-neg 64 37.9 2.0 56.2 0.2 0.2 0.1 13.8 -22.6
pair SLmean RSIhist neg-neg 56 33.1 1.9 57.1 0.2 0.2 0.1 14.1 -27.0
pair RSIhist SLmean neg-neg 56 33.1 1.9 57.1 0.2 0.2 0.1 14.1 -27.0
pair LWTI SLmean neg-neg 18 10.7 1.8 44.4 0.2 0.3 0.1 14.3 -16.1
pair SLmean LWTI neg-neg 18 10.7 1.8 44.4 0.2 0.3 0.1 14.3 -16.1
pair RSIhist MRmean pos-neg 23 13.6 1.0 65.2 0.1 0.1 0.1 15.8 -16.9
pair MRmean RSIhist pos-neg 23 13.6 1.0 65.2 0.1 0.1 0.1 15.8 -16.9
pair RSI RSmean pos-pos 118 69.8 0.5 55.9 0.1 0.1 0.0 9.4 -23.8
pair RSmean RSI pos-pos 118 69.8 0.5 55.9 0.1 0.1 0.0 9.4 -23.8
pair RSmean SLmean neg-pos 49 29.0 0.1 55.1 0.1 0.1 0.0 14.7 -27.0
pair SLmean RSmean neg-pos 49 29.0 0.1 55.1 0.1 0.1 0.0 14.7 -27.0
pair RSI MACDhist pos-neg 52 30.8 -0.4 53.8 -0.0 -0.0 -0.0 9.1 -18.9
pair MACDhist RSI pos-neg 52 30.8 -0.4 53.8 -0.0 -0.0 -0.0 9.1 -18.9
pair RSI RSmean neg-neg 3 1.8 -0.9 33.3 0.0 0.0 -2.4 16.4 -0.4
pair RSmean RSI neg-neg 3 1.8 -0.9 33.3 0.0 0.0 -2.4 16.4 -0.4
pair MACDhist RSIhist pos-neg 15 8.9 -1.5 73.3 0.0 0.0 -0.1 17.5 -18.0
pair RSIhist MACDhist pos-neg 15 8.9 -1.5 73.3 0.0 0.0 -0.1 17.5 -18.0
pair MACD SLmean neg-pos 33 19.5 -2.1 54.5 -0.1 -0.1 -0.1 14.0 -16.9
pair SLmean MACD neg-pos 33 19.5 -2.1 54.5 -0.1 -0.1 -0.1 14.0 -16.9
pair RSIhist RSI pos-neg 43 25.4 -3.2 55.8 -0.2 -0.2 -0.1 13.0 -26.9
pair RSI RSIhist pos-neg 43 25.4 -3.2 55.8 -0.2 -0.2 -0.1 13.0 -26.9
pair SLmean MRmean neg-pos 10 5.9 -3.6 40.0 -0.3 -0.8 -0.3 11.2 -11.7
pair MRmean SLmean neg-pos 10 5.9 -3.6 40.0 -0.3 -0.8 -0.3 11.2 -11.7
pair RSI MRmean neg-pos 26 15.4 -4.0 50.0 -0.4 -0.7 -0.2 9.1 -20.0
pair MRmean RSI neg-pos 26 15.4 -4.0 50.0 -0.4 -0.7 -0.2 9.1 -20.0
pair SLmean RSI neg-pos 30 17.8 -6.9 56.7 -0.4 -0.4 -0.2 13.8 -28.7
pair RSI SLmean neg-pos 30 17.8 -6.9 56.7 -0.4 -0.4 -0.2 13.8 -28.7
pair MACDhist SLmean neg-pos 10 5.9 -7.6 60.0 -0.3 -0.2 -0.4 21.8 -20.0
pair SLmean MACDhist neg-pos 10 5.9 -7.6 60.0 -0.3 -0.2 -0.4 21.8 -20.0
pair SLmean MRmean pos-neg 15 8.9 -9.9 53.3 -0.5 -0.4 -0.5 18.3 -20.8
pair MRmean SLmean pos-neg 15 8.9 -9.9 53.3 -0.5 -0.4 -0.5 18.3 -20.8
pair LWTI MACDhist pos-neg 2 1.2 -12.5 0.0 -6.5 -6.5 -8.2 2.0 -1.5
pair MACDhist LWTI pos-neg 2 1.2 -12.5 0.0 -6.5 -6.5 -8.2 2.0 -1.5

All Contingency Tables for EMHY

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 6.8% | Win 62%
Sharpe 1.02 | Sortino 1.90 | Calmar 1.1
Vol 7% | MDD -6.4%
Months 97M (57%)
CAGR -9.9% | Win 53%
Sharpe -0.47 | Sortino -0.42 | Calmar -0.5
Vol 18% | MDD -20.8%
Months 15M (9%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR -3.6% | Win 40%
Sharpe -0.27 | Sortino -0.85 | Calmar -0.3
Vol 11% | MDD -11.7%
Months 10M (6%)
CAGR 6.9% | Win 60%
Sharpe 0.63 | Sortino 0.98 | Calmar 0.3
Vol 12% | MDD -19.9%
Months 47M (28%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
SLmean
only
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 60%
Sharpe 0.46 | Sortino 0.46 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 110M (65%)
CAGR 44.6% | Win 100%
Sharpe 9.20 | Sortino 0.00 | Calmar 0.0
Vol 4% | MDD 0.0%
Months 2M (1%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR 2.9% | Win 51%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.1
Vol 13% | MDD -21.8%
Months 43M (25%)
CAGR 11.7% | Win 71%
Sharpe 1.47 | Sortino 1.63 | Calmar 8.2
Vol 8% | MDD -1.4%
Months 14M (8%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
RSmean
only
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 4.5% | Win 62%
Sharpe 0.55 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 95M (56%)
CAGR 3.8% | Win 53%
Sharpe 0.40 | Sortino 0.70 | Calmar 0.6
Vol 11% | MDD -6.5%
Months 17M (10%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR 2.1% | Win 52%
Sharpe 0.25 | Sortino 0.46 | Calmar 0.2
Vol 11% | MDD -11.0%
Months 29M (17%)
CAGR 8.0% | Win 61%
Sharpe 0.68 | Sortino 1.08 | Calmar 0.7
Vol 12% | MDD -12.1%
Months 28M (17%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
MACD
only
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 3.8% | Win 61%
Sharpe 0.46 | Sortino 0.45 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 105M (62%)
CAGR 14.1% | Win 57%
Sharpe 1.42 | Sortino 8.22 | Calmar 4.9
Vol 10% | MDD -2.9%
Months 7M (4%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR -4.0% | Win 50%
Sharpe -0.40 | Sortino -0.73 | Calmar -0.2
Vol 9% | MDD -20.0%
Months 26M (15%)
CAGR 13.1% | Win 61%
Sharpe 1.02 | Sortino 1.57 | Calmar 0.8
Vol 13% | MDD -16.1%
Months 31M (18%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
RSI
only
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 4.2% | Win 60%
Sharpe 0.49 | Sortino 0.46 | Calmar 0.2
Vol 9% | MDD -24.3%
Months 83M (49%)
CAGR 5.1% | Win 62%
Sharpe 0.59 | Sortino 0.92 | Calmar 0.8
Vol 9% | MDD -6.1%
Months 29M (17%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR 55.9% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 4.2% | Win 55%
Sharpe 0.42 | Sortino 0.72 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 56M (33%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
MACDhist
only
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 5.3% | Win 60%
Sharpe 0.82 | Sortino 1.50 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 89M (53%)
CAGR 1.0% | Win 65%
Sharpe 0.14 | Sortino 0.12 | Calmar 0.1
Vol 16% | MDD -16.9%
Months 23M (14%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR 5.7% | Win 67%
Sharpe 0.77 | Sortino 3.43 | Calmar 2.8
Vol 8% | MDD -2.0%
Months 6M (4%)
CAGR 4.9% | Win 55%
Sharpe 0.46 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 51M (30%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 4.1% | Win 62%
Sharpe 0.48 | Sortino 0.46 | Calmar 0.2
Vol 9% | MDD -20.5%
Months 99M (59%)
CAGR 7.2% | Win 54%
Sharpe 0.86 | Sortino 2.05 | Calmar 1.6
Vol 8% | MDD -4.6%
Months 13M (8%)
CAGR 4.4% | Win 61%
Sharpe 0.52 | Sortino 0.52 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 112M (66%)
MRmean
neg
CAGR 6.2% | Win 63%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.6
Vol 10% | MDD -10.1%
Months 38M (22%)
CAGR 2.6% | Win 42%
Sharpe 0.24 | Sortino 0.46 | Calmar 0.2
Vol 15% | MDD -16.1%
Months 19M (11%)
CAGR 5.0% | Win 56%
Sharpe 0.48 | Sortino 0.83 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 57M (34%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 5.2% | Win 59%
Sharpe 0.74 | Sortino 1.41 | Calmar 0.6
Vol 7% | MDD -8.9%
Months 104M (62%)
CAGR 29.1% | Win 100%
Sharpe 4.01 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 3M (2%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR 0.1% | Win 55%
Sharpe 0.08 | Sortino 0.09 | Calmar 0.0
Vol 15% | MDD -27.0%
Months 49M (29%)
CAGR 12.4% | Win 69%
Sharpe 1.50 | Sortino 1.72 | Calmar 8.7
Vol 8% | MDD -1.4%
Months 13M (8%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
RSmean
only
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.3% | Win 62%
Sharpe 0.92 | Sortino 1.61 | Calmar 0.8
Vol 7% | MDD -8.3%
Months 91M (54%)
CAGR 3.2% | Win 50%
Sharpe 0.39 | Sortino 1.37 | Calmar 0.5
Vol 9% | MDD -6.3%
Months 16M (10%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR -2.1% | Win 55%
Sharpe -0.08 | Sortino -0.08 | Calmar -0.1
Vol 14% | MDD -16.9%
Months 33M (20%)
CAGR 8.2% | Win 62%
Sharpe 0.67 | Sortino 0.97 | Calmar 0.7
Vol 13% | MDD -12.3%
Months 29M (17%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
MACD
only
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 59%
Sharpe 0.73 | Sortino 1.36 | Calmar 0.6
Vol 7% | MDD -9.0%
Months 101M (60%)
CAGR 18.8% | Win 67%
Sharpe 2.11 | Sortino 8.69 | Calmar 8.6
Vol 8% | MDD -2.2%
Months 6M (4%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR -6.9% | Win 57%
Sharpe -0.44 | Sortino -0.40 | Calmar -0.2
Vol 14% | MDD -28.7%
Months 30M (18%)
CAGR 12.3% | Win 59%
Sharpe 0.96 | Sortino 1.52 | Calmar 0.8
Vol 13% | MDD -16.1%
Months 32M (19%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
RSI
only
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 6.5% | Win 61%
Sharpe 1.06 | Sortino 1.87 | Calmar 1.0
Vol 6% | MDD -6.2%
Months 74M (44%)
CAGR 4.4% | Win 58%
Sharpe 0.50 | Sortino 1.26 | Calmar 0.5
Vol 9% | MDD -8.1%
Months 33M (20%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR -7.6% | Win 60%
Sharpe -0.26 | Sortino -0.21 | Calmar -0.4
Vol 22% | MDD -20.0%
Months 10M (6%)
CAGR 4.7% | Win 58%
Sharpe 0.45 | Sortino 0.68 | Calmar 0.2
Vol 12% | MDD -19.9%
Months 52M (31%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
MACDhist
only
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 5.1% | Win 60%
Sharpe 0.79 | Sortino 1.45 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 89M (53%)
CAGR 9.3% | Win 61%
Sharpe 0.95 | Sortino 2.11 | Calmar 0.9
Vol 10% | MDD -9.9%
Months 18M (11%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR 9.0% | Win 67%
Sharpe 1.35 | Sortino 5.50 | Calmar 6.7
Vol 7% | MDD -1.3%
Months 6M (4%)
CAGR 1.9% | Win 57%
Sharpe 0.21 | Sortino 0.23 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 56M (33%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 5.5% | Win 61%
Sharpe 0.83 | Sortino 1.42 | Calmar 0.7
Vol 7% | MDD -7.4%
Months 93M (55%)
CAGR 7.9% | Win 50%
Sharpe 0.80 | Sortino 2.52 | Calmar 1.6
Vol 10% | MDD -5.0%
Months 14M (8%)
CAGR 5.8% | Win 60%
Sharpe 0.82 | Sortino 1.56 | Calmar 0.7
Vol 7% | MDD -8.3%
Months 107M (63%)
SLmean
neg
CAGR 2.9% | Win 64%
Sharpe 0.28 | Sortino 0.27 | Calmar 0.2
Vol 13% | MDD -18.5%
Months 44M (26%)
CAGR 1.8% | Win 44%
Sharpe 0.19 | Sortino 0.32 | Calmar 0.1
Vol 14% | MDD -16.1%
Months 18M (11%)
CAGR 2.6% | Win 58%
Sharpe 0.26 | Sortino 0.28 | Calmar 0.1
Vol 14% | MDD -27.0%
Months 62M (37%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.7% | Win 60%
Sharpe 0.43 | Sortino 0.46 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 121M (72%)
CAGR 3.0% | Win 50%
Sharpe 0.29 | Sortino 0.54 | Calmar 0.2
Vol 13% | MDD -12.1%
Months 32M (19%)
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
RSmean
neg
CAGR 16.2% | Win 67%
Sharpe 1.89 | Sortino 0.00 | Calmar 45.4
Vol 8% | MDD -0.4%
Months 3M (2%)
CAGR 15.2% | Win 77%
Sharpe 1.82 | Sortino 1.85 | Calmar 10.7
Vol 8% | MDD -1.4%
Months 13M (8%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
MACD
only
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 0.5% | Win 56%
Sharpe 0.10 | Sortino 0.11 | Calmar 0.0
Vol 9% | MDD -23.8%
Months 118M (70%)
CAGR 14.6% | Win 63%
Sharpe 1.19 | Sortino 1.83 | Calmar 0.9
Vol 12% | MDD -16.1%
Months 35M (21%)
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
RSmean
neg
CAGR 19.5% | Win 85%
Sharpe 3.65 | Sortino 6.29 | Calmar 13.7
Vol 5% | MDD -1.4%
Months 13M (8%)
CAGR -0.9% | Win 33%
Sharpe 0.00 | Sortino 0.00 | Calmar -2.4
Vol 16% | MDD -0.4%
Months 3M (2%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
RSI
only
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 4.4% | Win 60%
Sharpe 0.51 | Sortino 0.48 | Calmar 0.2
Vol 9% | MDD -23.2%
Months 83M (49%)
CAGR 2.6% | Win 54%
Sharpe 0.28 | Sortino 0.49 | Calmar 0.1
Vol 11% | MDD -21.8%
Months 70M (41%)
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
RSmean
neg
CAGR 31.2% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 14.4% | Win 73%
Sharpe 1.74 | Sortino 1.97 | Calmar 10.1
Vol 8% | MDD -1.4%
Months 15M (9%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
MACDhist
only
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 4.7% | Win 58%
Sharpe 0.73 | Sortino 1.35 | Calmar 0.7
Vol 7% | MDD -6.7%
Months 89M (53%)
CAGR 2.0% | Win 56%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.1
Vol 14% | MDD -22.6%
Months 64M (38%)
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
RSmean
neg
CAGR 15.6% | Win 83%
Sharpe 2.23 | Sortino 0.00 | Calmar 11.6
Vol 7% | MDD -1.3%
Months 6M (4%)
CAGR 15.2% | Win 70%
Sharpe 1.68 | Sortino 1.70 | Calmar 28.5
Vol 9% | MDD -0.5%
Months 10M (6%)
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 3.3% | Win 60%
Sharpe 0.39 | Sortino 0.41 | Calmar 0.2
Vol 10% | MDD -21.2%
Months 121M (72%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
CAGR 3.5% | Win 57%
Sharpe 0.40 | Sortino 0.48 | Calmar 0.1
Vol 10% | MDD -24.7%
Months 153M (90%)
RSmean
neg
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
-
CAGR 15.4% | Win 75%
Sharpe 1.90 | Sortino 2.09 | Calmar 10.8
Vol 8% | MDD -1.4%
Months 16M (10%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 2.0% | Win 59%
Sharpe 0.27 | Sortino 0.27 | Calmar 0.1
Vol 9% | MDD -19.7%
Months 109M (64%)
CAGR 19.2% | Win 67%
Sharpe 1.88 | Sortino 2.79 | Calmar 4.3
Vol 10% | MDD -4.5%
Months 15M (9%)
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
MACD
neg
CAGR 3.1% | Win 59%
Sharpe 0.38 | Sortino 0.62 | Calmar 0.2
Vol 9% | MDD -13.1%
Months 22M (13%)
CAGR 9.6% | Win 56%
Sharpe 0.73 | Sortino 1.21 | Calmar 0.8
Vol 14% | MDD -12.1%
Months 23M (14%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
RSI
only
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 3.7% | Win 63%
Sharpe 0.45 | Sortino 0.38 | Calmar 0.2
Vol 9% | MDD -21.3%
Months 75M (44%)
CAGR 4.3% | Win 55%
Sharpe 0.48 | Sortino 0.88 | Calmar 0.4
Vol 10% | MDD -11.0%
Months 49M (29%)
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
MACD
neg
CAGR 12.8% | Win 44%
Sharpe 1.23 | Sortino 6.15 | Calmar 3.0
Vol 10% | MDD -4.3%
Months 9M (5%)
CAGR 4.9% | Win 61%
Sharpe 0.45 | Sortino 0.72 | Calmar 0.4
Vol 12% | MDD -12.1%
Months 36M (21%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
MACDhist
only
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.0% | Win 60%
Sharpe 0.81 | Sortino 1.37 | Calmar 0.8
Vol 6% | MDD -6.5%
Months 76M (45%)
CAGR 2.4% | Win 58%
Sharpe 0.25 | Sortino 0.26 | Calmar 0.1
Vol 13% | MDD -16.9%
Months 48M (28%)
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
MACD
neg
CAGR 7.0% | Win 58%
Sharpe 0.86 | Sortino 2.43 | Calmar 1.5
Vol 8% | MDD -4.6%
Months 19M (11%)
CAGR 6.0% | Win 58%
Sharpe 0.48 | Sortino 0.80 | Calmar 0.4
Vol 14% | MDD -14.3%
Months 26M (15%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 3.6% | Win 62%
Sharpe 0.44 | Sortino 0.43 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 110M (65%)
CAGR 6.7% | Win 43%
Sharpe 0.65 | Sortino 1.42 | Calmar 1.5
Vol 11% | MDD -4.5%
Months 14M (8%)
CAGR 4.0% | Win 60%
Sharpe 0.47 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -19.7%
Months 124M (73%)
MACD
neg
CAGR 8.9% | Win 63%
Sharpe 0.89 | Sortino 1.46 | Calmar 0.8
Vol 10% | MDD -11.0%
Months 27M (16%)
CAGR 2.7% | Win 50%
Sharpe 0.26 | Sortino 0.43 | Calmar 0.2
Vol 14% | MDD -12.1%
Months 18M (11%)
CAGR 6.4% | Win 58%
Sharpe 0.59 | Sortino 0.98 | Calmar 0.5
Vol 12% | MDD -12.1%
Months 45M (27%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 4.0% | Win 62%
Sharpe 0.47 | Sortino 0.42 | Calmar 0.2
Vol 9% | MDD -22.1%
Months 79M (47%)
CAGR -0.4% | Win 54%
Sharpe -0.00 | Sortino -0.00 | Calmar -0.0
Vol 9% | MDD -18.9%
Months 52M (31%)
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
RSI
neg
CAGR 16.4% | Win 40%
Sharpe 1.42 | Sortino 9.48 | Calmar 10.8
Vol 11% | MDD -1.5%
Months 5M (3%)
CAGR 12.9% | Win 64%
Sharpe 1.02 | Sortino 1.54 | Calmar 0.8
Vol 13% | MDD -16.1%
Months 33M (20%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
MACDhist
only
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 4.9% | Win 60%
Sharpe 0.78 | Sortino 1.40 | Calmar 0.6
Vol 6% | MDD -8.3%
Months 88M (52%)
CAGR -3.2% | Win 56%
Sharpe -0.18 | Sortino -0.18 | Calmar -0.1
Vol 13% | MDD -26.9%
Months 43M (25%)
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
RSI
neg
CAGR 10.6% | Win 57%
Sharpe 1.30 | Sortino 6.25 | Calmar 4.8
Vol 8% | MDD -2.2%
Months 7M (4%)
CAGR 13.9% | Win 61%
Sharpe 1.06 | Sortino 1.66 | Calmar 0.9
Vol 13% | MDD -16.1%
Months 31M (18%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 2.0% | Win 60%
Sharpe 0.27 | Sortino 0.27 | Calmar 0.1
Vol 9% | MDD -27.1%
Months 119M (70%)
CAGR 4.2% | Win 42%
Sharpe 0.44 | Sortino 1.26 | Calmar 0.7
Vol 10% | MDD -5.6%
Months 12M (7%)
CAGR 2.2% | Win 59%
Sharpe 0.29 | Sortino 0.31 | Calmar 0.1
Vol 9% | MDD -22.1%
Months 131M (78%)
RSI
neg
CAGR 23.8% | Win 72%
Sharpe 2.18 | Sortino 3.24 | Calmar 7.6
Vol 10% | MDD -3.2%
Months 18M (11%)
CAGR 4.6% | Win 50%
Sharpe 0.39 | Sortino 0.64 | Calmar 0.3
Vol 14% | MDD -16.1%
Months 20M (12%)
CAGR 13.3% | Win 60%
Sharpe 1.08 | Sortino 1.71 | Calmar 0.8
Vol 12% | MDD -16.1%
Months 38M (22%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 6.1% | Win 58%
Sharpe 0.95 | Sortino 1.79 | Calmar 1.1
Vol 6% | MDD -5.8%
Months 69M (41%)
CAGR -1.5% | Win 73%
Sharpe 0.01 | Sortino 0.00 | Calmar -0.1
Vol 18% | MDD -18.0%
Months 15M (9%)
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
MACDhist
neg
CAGR 3.5% | Win 65%
Sharpe 0.52 | Sortino 1.02 | Calmar 0.5
Vol 7% | MDD -6.5%
Months 26M (15%)
CAGR 5.0% | Win 54%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 12% | MDD -21.8%
Months 59M (35%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
RSIhist
only
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 5.1% | Win 62%
Sharpe 0.59 | Sortino 0.53 | Calmar 0.2
Vol 9% | MDD -21.0%
Months 82M (48%)
CAGR -12.5% | Win 0%
Sharpe -6.51 | Sortino -6.51 | Calmar -8.2
Vol 2% | MDD -1.5%
Months 2M (1%)
CAGR 4.7% | Win 61%
Sharpe 0.54 | Sortino 0.50 | Calmar 0.2
Vol 9% | MDD -22.7%
Months 84M (50%)
MACDhist
neg
CAGR 3.9% | Win 62%
Sharpe 0.45 | Sortino 0.73 | Calmar 0.3
Vol 10% | MDD -11.6%
Months 55M (32%)
CAGR 5.7% | Win 50%
Sharpe 0.49 | Sortino 0.88 | Calmar 0.4
Vol 13% | MDD -16.1%
Months 30M (18%)
CAGR 4.5% | Win 58%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.2
Vol 11% | MDD -21.8%
Months 85M (50%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 5.7% | Win 61%
Sharpe 0.89 | Sortino 1.62 | Calmar 1.2
Vol 6% | MDD -4.6%
Months 84M (50%)
CAGR 2.5% | Win 55%
Sharpe 0.37 | Sortino 0.77 | Calmar 0.5
Vol 7% | MDD -4.6%
Months 11M (6%)
CAGR 5.4% | Win 60%
Sharpe 0.83 | Sortino 1.55 | Calmar 0.8
Vol 7% | MDD -6.5%
Months 95M (56%)
RSIhist
neg
CAGR 2.9% | Win 64%
Sharpe 0.29 | Sortino 0.29 | Calmar 0.1
Vol 13% | MDD -21.1%
Months 53M (31%)
CAGR 5.5% | Win 43%
Sharpe 0.43 | Sortino 0.81 | Calmar 0.3
Vol 15% | MDD -16.1%
Months 21M (12%)
CAGR 3.7% | Win 58%
Sharpe 0.34 | Sortino 0.40 | Calmar 0.2
Vol 13% | MDD -22.6%
Months 74M (44%)
LWTI
only
CAGR 4.6% | Win 62%
Sharpe 0.53 | Sortino 0.57 | Calmar 0.2
Vol 9% | MDD -21.2%
Months 137M (81%)
CAGR 4.4% | Win 47%
Sharpe 0.41 | Sortino 0.74 | Calmar 0.3
Vol 12% | MDD -16.1%
Months 32M (19%)