EMXC - iShares MSCI Emerging Markets ex China ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

101.6%

Best CAGR

30

Total Months

7.9%

Avg CAGR

EMXC 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 EMXC

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 RSmean neg-pos 1 1.0 101.6 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 1.0 101.6 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 3 2.9 61.7 33.3 1.8 26.4 63.5 29.3 -1.0
pair LWTI MACDhist pos-neg 3 2.9 61.7 33.3 1.8 26.4 63.5 29.3 -1.0
pair LWTI RSmean neg-neg 2 1.9 44.8 100.0 3.4 0.0 0.0 11.3 0.0
pair RSmean LWTI neg-neg 2 1.9 44.8 100.0 3.4 0.0 0.0 11.3 0.0
pair RSmean SLmean pos-neg 4 3.8 27.9 75.0 1.9 0.0 0.0 13.5 0.0
pair SLmean RSmean pos-neg 4 3.8 27.9 75.0 1.9 0.0 0.0 13.5 0.0
pair RSmean MRmean pos-neg 4 3.8 27.9 75.0 1.9 0.0 0.0 13.5 0.0
pair MRmean RSmean pos-neg 4 3.8 27.9 75.0 1.9 0.0 0.0 13.5 0.0
pair MACD LWTI neg-neg 19 18.1 26.6 57.9 1.4 3.2 4.8 18.2 -5.6
pair LWTI MACD neg-neg 19 18.1 26.6 57.9 1.4 3.2 4.8 18.2 -5.6
pair MACD RSmean pos-neg 35 33.3 25.5 60.0 1.4 3.0 2.4 18.1 -10.8
pair RSmean MACD pos-neg 35 33.3 25.5 60.0 1.4 3.0 2.4 18.1 -10.8
pair MACD RSmean neg-pos 2 1.9 23.3 50.0 1.7 0.0 0.0 12.8 0.0
pair RSmean MACD neg-pos 2 1.9 23.3 50.0 1.7 0.0 0.0 12.8 0.0
pair MACDhist MRmean neg-pos 1 1.0 23.1 100.0 0.0 0.0 0.0 - 0.0
pair MRmean MACDhist neg-pos 1 1.0 23.1 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSIhist pos-pos 35 33.3 21.5 65.7 1.3 2.2 1.9 16.7 -11.1
pair RSIhist MACDhist pos-pos 35 33.3 21.5 65.7 1.3 2.2 1.9 16.7 -11.1
pair RSIhist LWTI neg-neg 12 11.4 21.0 66.7 0.9 1.2 1.2 23.6 -17.9
pair LWTI RSIhist neg-neg 12 11.4 21.0 66.7 0.9 1.2 1.2 23.6 -17.9
pair LWTI SLmean neg-neg 13 12.4 19.2 61.5 0.9 1.1 1.1 22.7 -17.9
pair SLmean LWTI neg-neg 13 12.4 19.2 61.5 0.9 1.1 1.1 22.7 -17.9
pair LWTI SLmean pos-pos 46 43.8 19.1 65.2 1.2 2.2 1.9 15.3 -10.3
pair SLmean LWTI pos-pos 46 43.8 19.1 65.2 1.2 2.2 1.9 15.3 -10.3
pair SLmean MACDhist pos-pos 37 35.2 18.9 62.2 1.1 2.1 1.3 16.5 -14.1
pair MACDhist SLmean pos-pos 37 35.2 18.9 62.2 1.1 2.1 1.3 16.5 -14.1
pair MACD MRmean pos-pos 41 39.0 18.6 63.4 1.1 2.2 1.7 16.9 -10.7
pair MRmean MACD pos-pos 41 39.0 18.6 63.4 1.1 2.2 1.7 16.9 -10.7
pair RSI MACDhist pos-pos 45 42.9 18.5 60.0 1.1 2.3 1.4 17.3 -12.9
pair MACDhist RSI pos-pos 45 42.9 18.5 60.0 1.1 2.3 1.4 17.3 -12.9
pair LWTI MRmean pos-pos 52 49.5 18.1 61.5 1.1 2.3 1.7 16.5 -10.8
pair MRmean LWTI pos-pos 52 49.5 18.1 61.5 1.1 2.3 1.7 16.5 -10.8
pair MACDhist MACD pos-pos 39 37.1 18.1 64.1 1.1 2.2 1.8 16.4 -10.3
pair MACD MACDhist pos-pos 39 37.1 18.1 64.1 1.1 2.2 1.8 16.4 -10.3
pair RSIhist LWTI pos-pos 42 40.0 18.1 66.7 1.1 1.9 1.4 16.2 -12.6
pair LWTI RSIhist pos-pos 42 40.0 18.1 66.7 1.1 1.9 1.4 16.2 -12.6
pair RSIhist MRmean pos-pos 49 46.7 18.0 63.3 1.1 2.1 1.8 16.5 -10.3
pair MRmean RSIhist pos-pos 49 46.7 18.0 63.3 1.1 2.1 1.8 16.5 -10.3
pair RSIhist SLmean pos-pos 50 47.6 17.5 64.0 1.1 2.0 1.3 16.5 -13.7
pair SLmean RSIhist pos-pos 50 47.6 17.5 64.0 1.1 2.0 1.3 16.5 -13.7
pair SLmean MACD pos-pos 35 33.3 17.4 65.7 1.1 1.9 1.5 15.6 -11.7
pair MACD SLmean pos-pos 35 33.3 17.4 65.7 1.1 1.9 1.5 15.6 -11.7
pair MRmean SLmean pos-pos 52 49.5 17.2 61.5 1.1 2.0 1.2 16.2 -14.5
pair SLmean MRmean pos-pos 52 49.5 17.2 61.5 1.1 2.0 1.2 16.2 -14.5
pair RSmean RSI pos-neg 29 27.6 17.0 62.1 0.9 1.3 0.9 20.1 -18.0
pair RSI RSmean pos-neg 29 27.6 17.0 62.1 0.9 1.3 0.9 20.1 -18.0
single MACDhist MACDhist pos-pos 46 43.8 17.0 58.7 1.0 2.2 1.1 17.3 -15.7
pair MRmean MACDhist pos-pos 45 42.9 16.9 57.8 1.0 2.2 1.1 17.5 -15.7
pair RSI SLmean pos-pos 47 44.8 16.9 59.6 1.0 2.0 1.6 16.3 -10.7
pair RSIhist RSmean neg-pos 3 2.9 16.9 66.7 1.1 0.0 0.0 15.3 0.0
pair RSmean RSIhist neg-pos 3 2.9 16.9 66.7 1.1 0.0 0.0 15.3 0.0
pair MACDhist MRmean pos-pos 45 42.9 16.9 57.8 1.0 2.2 1.1 17.5 -15.7
pair SLmean RSI pos-pos 47 44.8 16.9 59.6 1.0 2.0 1.6 16.3 -10.7
pair MACD RSIhist pos-pos 32 30.5 16.7 68.8 1.0 1.6 1.6 16.6 -10.3
pair MRmean RSI pos-pos 54 51.4 16.7 57.4 1.0 2.2 1.6 17.2 -10.7
pair RSIhist MACD pos-pos 32 30.5 16.7 68.8 1.0 1.6 1.6 16.6 -10.3
pair RSI MRmean pos-pos 54 51.4 16.7 57.4 1.0 2.2 1.6 17.2 -10.7
pair RSmean LWTI pos-pos 64 61.0 16.3 62.5 1.0 1.9 1.1 17.1 -14.7
pair LWTI RSmean pos-pos 64 61.0 16.3 62.5 1.0 1.9 1.1 17.1 -14.7
pair RSI MACD neg-neg 31 29.5 16.1 67.7 0.8 0.9 0.8 22.1 -20.8
pair MACD RSI neg-neg 31 29.5 16.1 67.7 0.8 0.9 0.8 22.1 -20.8
single MRmean MRmean pos-pos 60 57.1 15.9 58.3 0.9 2.1 1.3 17.0 -12.1
pair RSmean MACDhist pos-pos 45 42.9 15.6 57.8 0.9 2.1 0.9 17.3 -17.7
pair MACDhist RSmean pos-pos 45 42.9 15.6 57.8 0.9 2.1 0.9 17.3 -17.7
pair MRmean RSmean pos-pos 56 53.3 15.1 57.1 0.9 2.0 1.0 17.3 -15.0
pair RSmean MRmean pos-pos 56 53.3 15.1 57.1 0.9 2.0 1.0 17.3 -15.0
single SLmean SLmean pos-pos 56 53.3 15.1 60.7 0.9 1.9 0.8 16.1 -19.0
pair RSI RSIhist pos-pos 45 42.9 15.1 60.0 0.9 1.7 1.1 17.1 -13.9
pair RSIhist RSI pos-pos 45 42.9 15.1 60.0 0.9 1.7 1.1 17.1 -13.9
pair LWTI MACDhist pos-pos 43 41.0 14.4 60.5 0.9 1.9 0.9 16.5 -15.7
pair MACDhist LWTI pos-pos 43 41.0 14.4 60.5 0.9 1.9 0.9 16.5 -15.7
pair RSmean RSIhist pos-neg 35 33.3 14.3 57.1 0.8 1.3 0.6 20.3 -25.7
pair RSIhist RSmean pos-neg 35 33.3 14.3 57.1 0.8 1.3 0.6 20.3 -25.7
pair RSI LWTI pos-neg 5 4.8 14.3 20.0 0.6 2.5 2.6 25.3 -5.6
pair LWTI RSI pos-neg 5 4.8 14.3 20.0 0.6 2.5 2.6 25.3 -5.6
pair RSmean SLmean pos-pos 52 49.5 14.1 59.6 0.9 1.7 0.8 16.4 -19.0
pair SLmean RSmean pos-pos 52 49.5 14.1 59.6 0.9 1.7 0.8 16.4 -19.0
pair MACD RSIhist neg-neg 32 30.5 13.9 62.5 0.7 0.8 0.6 21.7 -24.3
pair RSIhist MACD neg-neg 32 30.5 13.9 62.5 0.7 0.8 0.6 21.7 -24.3
single RSmean RSmean pos-pos 85 81.0 13.8 58.8 0.8 1.4 0.5 18.3 -27.4
single RSIhist RSIhist pos-pos 53 50.5 13.7 60.4 0.9 1.6 1.0 16.7 -13.7
pair RSmean RSIhist pos-pos 50 47.6 13.5 60.0 0.8 1.5 0.9 16.9 -15.1
pair RSIhist RSmean pos-pos 50 47.6 13.5 60.0 0.8 1.5 0.9 16.9 -15.1
pair LWTI MRmean neg-neg 15 14.3 13.4 60.0 0.7 0.9 0.8 21.9 -17.9
pair MRmean LWTI neg-neg 15 14.3 13.4 60.0 0.7 0.9 0.8 21.9 -17.9
pair RSI MACD pos-pos 47 44.8 13.3 61.7 0.8 1.5 0.9 16.9 -14.3
pair RSmean SLmean neg-pos 33 31.4 13.3 57.6 0.7 1.2 0.6 21.2 -23.2
pair SLmean RSmean neg-pos 33 31.4 13.3 57.6 0.7 1.2 0.6 21.2 -23.2
pair MACD RSI pos-pos 47 44.8 13.3 61.7 0.8 1.5 0.9 16.9 -14.3
pair MACD MRmean neg-neg 34 32.4 13.0 61.8 0.7 0.8 0.6 21.2 -22.8
pair LWTI MACD pos-pos 48 45.7 13.0 60.4 0.8 1.5 0.9 16.7 -14.4
pair MRmean MACD neg-neg 34 32.4 13.0 61.8 0.7 0.8 0.6 21.2 -22.8
pair MACD LWTI pos-pos 48 45.7 13.0 60.4 0.8 1.5 0.9 16.7 -14.4
pair MRmean MACDhist pos-neg 15 14.3 12.9 60.0 0.8 1.8 1.7 15.9 -7.5
pair MACDhist MRmean pos-neg 15 14.3 12.9 60.0 0.8 1.8 1.7 15.9 -7.5
pair SLmean MACD neg-neg 32 30.5 12.6 59.4 0.7 0.8 0.5 21.6 -24.5
pair MACD SLmean neg-neg 32 30.5 12.6 59.4 0.7 0.8 0.5 21.6 -24.5
pair RSmean RSI pos-pos 56 53.3 12.2 57.1 0.8 1.5 0.7 17.4 -17.2
pair RSI RSmean pos-pos 56 53.3 12.2 57.1 0.8 1.5 0.7 17.4 -17.2
pair MACDhist MACD neg-neg 46 43.8 12.1 60.9 0.7 0.8 0.5 19.6 -25.0
pair MACD MACDhist neg-neg 46 43.8 12.1 60.9 0.7 0.8 0.5 19.6 -25.0
single MACD MACD neg-neg 53 50.5 12.0 56.6 0.7 0.9 0.5 19.9 -25.0
pair RSmean MACDhist pos-neg 40 38.1 11.8 60.0 0.7 1.1 0.5 19.5 -23.2
pair MACDhist RSmean pos-neg 40 38.1 11.8 60.0 0.7 1.1 0.5 19.5 -23.2
pair MACDhist MACD neg-pos 7 6.7 11.6 28.6 0.6 1.9 1.1 23.3 -10.8
pair MACD MACDhist neg-pos 7 6.7 11.6 28.6 0.6 1.9 1.1 23.3 -10.8
pair MRmean RSmean neg-pos 29 27.6 11.5 62.1 0.6 0.9 0.5 20.4 -23.2
pair RSmean MRmean neg-pos 29 27.6 11.5 62.1 0.6 0.9 0.5 20.4 -23.2
pair MACD SLmean pos-neg 21 20.0 11.2 52.4 0.7 1.7 1.1 17.3 -10.5
pair SLmean MACD pos-neg 21 20.0 11.2 52.4 0.7 1.7 1.1 17.3 -10.5
single RSI RSI pos-pos 69 65.7 11.1 55.1 0.7 1.4 0.5 16.7 -24.8
pair RSI LWTI pos-pos 64 61.0 10.9 57.8 0.7 1.4 0.6 16.1 -19.4
pair LWTI RSI pos-pos 64 61.0 10.9 57.8 0.7 1.4 0.6 16.1 -19.4
pair MRmean MACD pos-neg 19 18.1 10.3 47.4 0.6 1.7 0.9 17.6 -10.8
pair MACD MRmean pos-neg 19 18.1 10.3 47.4 0.6 1.7 0.9 17.6 -10.8
pair SLmean MACDhist neg-pos 9 8.6 9.7 44.4 0.5 5.5 0.8 21.2 -11.4
pair MACDhist SLmean neg-pos 9 8.6 9.7 44.4 0.5 5.5 0.8 21.2 -11.4
single LWTI LWTI neg-neg 23 21.9 9.6 52.2 0.5 0.8 0.5 21.1 -17.9
pair benchmark___benchmark_ benchmark-benchmark 105 100.0 9.5 57.1 0.6 0.8 0.3 18.9 -34.4
pair benchmark___benchmark_ benchmark-benchmark 105 100.0 9.5 57.1 0.6 0.8 0.3 18.9 -34.4
single LWTI LWTI pos-pos 82 78.1 9.4 58.5 0.6 0.8 0.2 18.4 -41.1
pair MACD RSIhist neg-pos 21 20.0 9.3 47.6 0.6 1.4 0.9 17.1 -10.5
pair RSIhist MACD neg-pos 21 20.0 9.3 47.6 0.6 1.4 0.9 17.1 -10.5
pair MRmean RSI pos-neg 6 5.7 8.6 66.7 0.6 1.7 1.6 16.4 -5.6
pair RSI MRmean pos-neg 6 5.7 8.6 66.7 0.6 1.7 1.6 16.4 -5.6
pair RSI LWTI neg-neg 18 17.1 8.4 61.1 0.5 0.7 0.5 20.6 -17.9
pair LWTI RSI neg-neg 18 17.1 8.4 61.1 0.5 0.7 0.5 20.6 -17.9
pair SLmean MRmean pos-neg 8 7.6 8.1 37.5 0.4 4.9 0.6 22.6 -12.9
pair MRmean SLmean pos-neg 8 7.6 8.1 37.5 0.4 4.9 0.6 22.6 -12.9
pair MACDhist SLmean pos-neg 19 18.1 8.0 57.9 0.6 1.3 0.8 15.5 -10.5
pair SLmean MACDhist pos-neg 19 18.1 8.0 57.9 0.6 1.3 0.8 15.5 -10.5
pair RSI MACDhist neg-neg 35 33.3 7.8 62.9 0.5 0.5 0.4 23.1 -20.8
pair MACDhist RSI neg-neg 35 33.3 7.8 62.9 0.5 0.5 0.4 23.1 -20.8
single MACD MACD pos-pos 52 49.5 6.9 57.7 0.5 0.7 0.2 18.0 -29.7
pair MRmean RSIhist pos-neg 11 10.5 6.8 36.4 0.4 2.0 0.5 19.9 -13.3
pair RSIhist MRmean pos-neg 11 10.5 6.8 36.4 0.4 2.0 0.5 19.9 -13.3
pair LWTI RSmean pos-neg 21 20.0 6.8 47.6 0.4 0.7 0.4 21.8 -17.9
pair RSmean LWTI pos-neg 21 20.0 6.8 47.6 0.4 0.7 0.4 21.8 -17.9
pair RSmean RSI neg-pos 13 12.4 6.6 46.2 0.5 0.9 0.5 13.4 -14.2
pair RSI RSmean neg-pos 13 12.4 6.6 46.2 0.5 0.9 0.5 13.4 -14.2
pair MACD RSI neg-pos 22 21.0 6.6 40.9 0.5 1.1 0.3 16.5 -19.2
pair RSI MACD neg-pos 22 21.0 6.6 40.9 0.5 1.1 0.3 16.5 -19.2
pair SLmean RSI neg-neg 27 25.7 6.6 59.3 0.4 0.4 0.3 25.1 -22.4
pair RSI SLmean neg-neg 27 25.7 6.6 59.3 0.4 0.4 0.3 25.1 -22.4
pair SLmean RSIhist neg-neg 46 43.8 6.5 56.5 0.4 0.5 0.2 22.0 -27.0
pair RSIhist SLmean neg-neg 46 43.8 6.5 56.5 0.4 0.5 0.2 22.0 -27.0
single RSI RSI neg-neg 36 34.3 6.4 61.1 0.4 0.5 0.3 22.8 -20.8
pair RSI RSIhist neg-pos 8 7.6 6.4 62.5 0.5 0.7 0.6 15.1 -10.5
pair RSI RSIhist neg-neg 28 26.7 6.4 60.7 0.4 0.5 0.3 24.8 -21.1
pair RSIhist RSI neg-neg 28 26.7 6.4 60.7 0.4 0.5 0.3 24.8 -21.1
pair RSIhist RSI neg-pos 8 7.6 6.4 62.5 0.5 0.7 0.6 15.1 -10.5
pair RSmean MACD pos-pos 50 47.6 6.3 58.0 0.4 0.7 0.2 18.3 -29.1
pair MACD RSmean pos-pos 50 47.6 6.3 58.0 0.4 0.7 0.2 18.3 -29.1
pair RSI MRmean neg-neg 30 28.6 6.0 60.0 0.4 0.4 0.3 24.2 -21.1
pair MRmean RSI neg-neg 30 28.6 6.0 60.0 0.4 0.4 0.3 24.2 -21.1
pair SLmean RSI pos-neg 9 8.6 6.0 66.7 0.5 1.7 0.6 15.4 -10.5
pair RSI SLmean pos-neg 9 8.6 6.0 66.7 0.5 1.7 0.6 15.4 -10.5
pair MACDhist RSIhist neg-neg 41 39.0 5.7 58.5 0.4 0.4 0.2 21.7 -29.9
pair RSIhist MACDhist neg-neg 41 39.0 5.7 58.5 0.4 0.4 0.2 21.7 -29.9
single RSIhist RSIhist neg-neg 52 49.5 5.3 53.8 0.3 0.5 0.2 21.1 -31.3
pair RSIhist MRmean neg-neg 41 39.0 4.9 58.5 0.3 0.4 0.2 21.6 -29.9
pair MRmean RSIhist neg-neg 41 39.0 4.9 58.5 0.3 0.4 0.2 21.6 -29.9
pair MACD LWTI neg-pos 34 32.4 4.7 55.9 0.3 0.4 0.1 20.7 -32.6
pair LWTI MACD neg-pos 34 32.4 4.7 55.9 0.3 0.4 0.1 20.7 -32.6
pair LWTI RSI neg-pos 18 17.1 4.5 61.1 0.3 0.3 0.2 25.5 -27.6
pair RSI LWTI neg-pos 18 17.1 4.5 61.1 0.3 0.3 0.2 25.5 -27.6
pair MACDhist LWTI neg-pos 39 37.1 4.2 56.4 0.3 0.4 0.1 20.4 -41.1
pair LWTI MACDhist neg-pos 39 37.1 4.2 56.4 0.3 0.4 0.1 20.4 -41.1
pair RSIhist RSI pos-neg 24 22.9 4.1 45.8 0.3 0.7 0.2 16.0 -23.6
pair RSI RSIhist pos-neg 24 22.9 4.1 45.8 0.3 0.7 0.2 16.0 -23.6
pair MACDhist RSIhist pos-neg 11 10.5 3.9 36.4 0.3 1.3 0.3 19.5 -11.8
pair RSIhist MACDhist pos-neg 11 10.5 3.9 36.4 0.3 1.3 0.3 19.5 -11.8
single MACDhist MACDhist neg-neg 59 56.2 3.9 55.9 0.3 0.4 0.1 20.1 -34.4
single SLmean SLmean neg-neg 49 46.7 3.4 53.1 0.3 0.3 0.1 21.7 -32.4
pair MACDhist LWTI neg-neg 20 19.0 3.4 55.0 0.3 0.4 0.2 20.0 -17.9
pair LWTI MACDhist neg-neg 20 19.0 3.4 55.0 0.3 0.4 0.2 20.0 -17.9
pair LWTI MRmean pos-neg 8 7.6 2.8 37.5 0.2 0.6 0.5 20.9 -5.6
pair MRmean LWTI pos-neg 8 7.6 2.8 37.5 0.2 0.6 0.5 20.9 -5.6
pair SLmean MRmean neg-neg 41 39.0 2.5 56.1 0.2 0.3 0.1 21.9 -35.3
pair MRmean SLmean neg-neg 41 39.0 2.5 56.1 0.2 0.3 0.1 21.9 -35.3
pair MACDhist SLmean neg-neg 40 38.1 2.1 55.0 0.2 0.2 0.1 22.1 -35.3
pair SLmean MACDhist neg-neg 40 38.1 2.1 55.0 0.2 0.2 0.1 22.1 -35.3
single MRmean MRmean neg-neg 45 42.9 1.5 55.6 0.2 0.2 0.0 21.2 -33.8
pair LWTI RSIhist neg-pos 40 38.1 1.0 50.0 0.1 0.2 0.0 20.4 -35.0
pair MACDhist MRmean neg-neg 44 41.9 1.0 54.5 0.2 0.2 0.0 21.4 -33.8
pair MRmean MACDhist neg-neg 44 41.9 1.0 54.5 0.2 0.2 0.0 21.4 -33.8
pair RSIhist LWTI neg-pos 40 38.1 1.0 50.0 0.1 0.2 0.0 20.4 -35.0
pair RSIhist MACDhist neg-pos 18 17.1 -0.1 50.0 0.1 0.1 -0.0 16.4 -16.2
pair MACDhist RSIhist neg-pos 18 17.1 -0.1 50.0 0.1 0.1 -0.0 16.4 -16.2
pair SLmean RSI neg-pos 22 21.0 -0.3 45.5 0.1 0.1 -0.0 17.3 -26.7
pair RSI SLmean neg-pos 22 21.0 -0.3 45.5 0.1 0.1 -0.0 17.3 -26.7
pair MACDhist RSI pos-neg 24 22.9 -1.5 45.8 -0.0 -0.1 -0.1 15.1 -29.3
pair RSI MACDhist pos-neg 24 22.9 -1.5 45.8 -0.0 -0.1 -0.1 15.1 -29.3
pair LWTI RSIhist pos-neg 11 10.5 -1.6 36.4 -0.0 -0.0 -0.1 18.6 -10.5
pair RSIhist LWTI pos-neg 11 10.5 -1.6 36.4 -0.0 -0.0 -0.1 18.6 -10.5
pair SLmean LWTI neg-pos 36 34.3 -1.7 50.0 0.0 0.0 -0.0 21.5 -39.9
pair LWTI SLmean neg-pos 36 34.3 -1.7 50.0 0.0 0.0 -0.0 21.5 -39.9
pair SLmean LWTI pos-neg 10 9.5 -1.7 40.0 -0.0 -0.0 -0.2 19.6 -10.5
pair LWTI SLmean pos-neg 10 9.5 -1.7 40.0 -0.0 -0.0 -0.2 19.6 -10.5
pair SLmean RSIhist pos-neg 6 5.7 -3.4 33.3 -0.2 -0.5 -0.6 12.3 -6.1
pair RSIhist SLmean pos-neg 6 5.7 -3.4 33.3 -0.2 -0.5 -0.6 12.3 -6.1
pair MRmean LWTI neg-pos 30 28.6 -4.0 53.3 -0.1 -0.1 -0.1 21.1 -39.7
pair LWTI MRmean neg-pos 30 28.6 -4.0 53.3 -0.1 -0.1 -0.1 21.1 -39.7
pair RSI MRmean neg-pos 15 14.3 -7.0 46.7 -0.5 -0.6 -0.3 13.8 -23.4
pair MRmean RSI neg-pos 15 14.3 -7.0 46.7 -0.5 -0.6 -0.3 13.8 -23.4
pair MACD RSIhist pos-neg 20 19.0 -7.1 40.0 -0.3 -0.4 -0.2 19.9 -30.5
pair RSIhist MACD pos-neg 20 19.0 -7.1 40.0 -0.3 -0.4 -0.2 19.9 -30.5
single RSmean RSmean neg-neg 20 19.0 -7.2 50.0 -0.2 -0.2 -0.2 21.2 -31.0
pair SLmean MRmean neg-pos 4 3.8 -8.7 50.0 -0.6 -1.8 -1.7 14.8 -5.2
pair MRmean SLmean neg-pos 4 3.8 -8.7 50.0 -0.6 -1.8 -1.7 14.8 -5.2
pair MACD RSmean neg-neg 18 17.1 -10.1 50.0 -0.4 -0.4 -0.3 22.1 -30.4
pair RSmean MACD neg-neg 18 17.1 -10.1 50.0 -0.4 -0.4 -0.3 22.1 -30.4
pair RSIhist RSmean neg-neg 17 16.2 -10.9 47.1 -0.4 -0.4 -0.4 22.3 -29.0
pair RSmean RSIhist neg-neg 17 16.2 -10.9 47.1 -0.4 -0.4 -0.4 22.3 -29.0
pair MACDhist RSmean neg-neg 19 18.1 -10.9 47.4 -0.4 -0.4 -0.3 21.2 -31.0
pair RSmean MACDhist neg-neg 19 18.1 -10.9 47.4 -0.4 -0.4 -0.3 21.2 -31.0
pair LWTI RSmean neg-pos 18 17.1 -11.7 44.4 -0.5 -0.5 -0.3 21.8 -34.6
pair RSmean LWTI neg-pos 18 17.1 -11.7 44.4 -0.5 -0.5 -0.3 21.8 -34.6
pair SLmean MACD neg-pos 17 16.2 -11.8 41.2 -0.5 -0.7 -0.4 21.8 -28.1
pair MACD SLmean neg-pos 17 16.2 -11.8 41.2 -0.5 -0.7 -0.4 21.8 -28.1
pair RSmean MRmean neg-neg 16 15.2 -14.4 43.8 -0.6 -0.6 -0.5 22.6 -29.0
pair MRmean RSmean neg-neg 16 15.2 -14.4 43.8 -0.6 -0.6 -0.5 22.6 -29.0
pair RSmean SLmean neg-neg 16 15.2 -14.4 43.8 -0.6 -0.6 -0.5 22.6 -29.0
pair SLmean RSmean neg-neg 16 15.2 -14.4 43.8 -0.6 -0.6 -0.5 22.6 -29.0
pair MACDhist MACD pos-neg 13 12.4 -20.5 38.5 -1.0 -1.4 -0.7 20.8 -29.4
pair MACD MACDhist pos-neg 13 12.4 -20.5 38.5 -1.0 -1.4 -0.7 20.8 -29.4
pair MACD MRmean neg-pos 11 10.5 -27.3 36.4 -1.6 -1.9 -1.1 18.8 -23.8
pair MRmean MACD neg-pos 11 10.5 -27.3 36.4 -1.6 -1.9 -1.1 18.8 -23.8
pair RSIhist MRmean neg-pos 4 3.8 -28.0 25.0 -2.1 -2.4 -2.3 15.2 -12.2
pair MRmean RSIhist neg-pos 4 3.8 -28.0 25.0 -2.1 -2.4 -2.3 15.2 -12.2
pair RSmean RSI neg-neg 7 6.7 -28.2 57.1 -0.9 -0.8 -1.2 31.5 -24.5
pair RSI RSmean neg-neg 7 6.7 -28.2 57.1 -0.9 -0.8 -1.2 31.5 -24.5
pair RSI MACDhist neg-pos 1 1.0 -32.7 0.0 0.0 0.0 0.0 - 0.0
pair MACDhist RSI neg-pos 1 1.0 -32.7 0.0 0.0 0.0 0.0 - 0.0
pair RSIhist SLmean neg-pos 3 2.9 -34.4 0.0 -3.2 -3.2 -3.5 12.7 -9.9
pair SLmean RSIhist neg-pos 3 2.9 -34.4 0.0 -3.2 -3.2 -3.5 12.7 -9.9
pair MACD RSI pos-neg 5 4.8 -37.8 20.0 -1.9 -2.2 -2.1 23.7 -17.9
pair RSI MACD pos-neg 5 4.8 -37.8 20.0 -1.9 -2.2 -2.1 23.7 -17.9
pair MACD LWTI pos-neg 4 3.8 -44.6 25.0 -2.1 -3.0 -3.9 26.2 -11.4
pair LWTI MACD pos-neg 4 3.8 -44.6 25.0 -2.1 -3.0 -3.9 26.2 -11.4

All Contingency Tables for EMXC

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 17.2% | Win 62%
Sharpe 1.06 | Sortino 2.03 | Calmar 1.2
Vol 16% | MDD -14.5%
Months 52M (50%)
CAGR 8.1% | Win 38%
Sharpe 0.44 | Sortino 4.88 | Calmar 0.6
Vol 23% | MDD -12.9%
Months 8M (8%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR -8.7% | Win 50%
Sharpe -0.56 | Sortino -1.81 | Calmar -1.7
Vol 15% | MDD -5.2%
Months 4M (4%)
CAGR 2.5% | Win 56%
Sharpe 0.23 | Sortino 0.27 | Calmar 0.1
Vol 22% | MDD -35.3%
Months 41M (39%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
SLmean
only
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 15.1% | Win 57%
Sharpe 0.90 | Sortino 2.00 | Calmar 1.0
Vol 17% | MDD -15.0%
Months 56M (53%)
CAGR 27.9% | Win 75%
Sharpe 1.89 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 4M (4%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR 11.5% | Win 62%
Sharpe 0.63 | Sortino 0.94 | Calmar 0.5
Vol 20% | MDD -23.2%
Months 29M (28%)
CAGR -14.4% | Win 44%
Sharpe -0.57 | Sortino -0.58 | Calmar -0.5
Vol 23% | MDD -29.0%
Months 16M (15%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
RSmean
only
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 18.6% | Win 63%
Sharpe 1.10 | Sortino 2.21 | Calmar 1.7
Vol 17% | MDD -10.7%
Months 41M (39%)
CAGR 10.3% | Win 47%
Sharpe 0.64 | Sortino 1.70 | Calmar 1.0
Vol 18% | MDD -10.8%
Months 19M (18%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR -27.3% | Win 36%
Sharpe -1.58 | Sortino -1.87 | Calmar -1.1
Vol 19% | MDD -23.8%
Months 11M (10%)
CAGR 13.0% | Win 62%
Sharpe 0.69 | Sortino 0.78 | Calmar 0.6
Vol 21% | MDD -22.8%
Months 34M (32%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
MACD
only
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 16.7% | Win 57%
Sharpe 0.99 | Sortino 2.21 | Calmar 1.6
Vol 17% | MDD -10.7%
Months 54M (51%)
CAGR 8.6% | Win 67%
Sharpe 0.57 | Sortino 1.66 | Calmar 1.6
Vol 16% | MDD -5.6%
Months 6M (6%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR -7.0% | Win 47%
Sharpe -0.45 | Sortino -0.61 | Calmar -0.3
Vol 14% | MDD -23.4%
Months 15M (14%)
CAGR 6.0% | Win 60%
Sharpe 0.36 | Sortino 0.43 | Calmar 0.3
Vol 24% | MDD -21.1%
Months 30M (29%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
RSI
only
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 16.9% | Win 58%
Sharpe 0.98 | Sortino 2.21 | Calmar 1.1
Vol 18% | MDD -15.7%
Months 45M (43%)
CAGR 12.9% | Win 60%
Sharpe 0.84 | Sortino 1.83 | Calmar 1.7
Vol 16% | MDD -7.5%
Months 15M (14%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR 23.1% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 1.0% | Win 55%
Sharpe 0.16 | Sortino 0.19 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 44M (42%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
MACDhist
only
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 18.0% | Win 63%
Sharpe 1.09 | Sortino 2.09 | Calmar 1.8
Vol 16% | MDD -10.3%
Months 49M (47%)
CAGR 6.8% | Win 36%
Sharpe 0.42 | Sortino 2.03 | Calmar 0.5
Vol 20% | MDD -13.3%
Months 11M (10%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR -28.0% | Win 25%
Sharpe -2.08 | Sortino -2.43 | Calmar -2.3
Vol 15% | MDD -12.2%
Months 4M (4%)
CAGR 4.9% | Win 58%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.2
Vol 22% | MDD -29.9%
Months 41M (39%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 18.1% | Win 62%
Sharpe 1.09 | Sortino 2.34 | Calmar 1.7
Vol 16% | MDD -10.8%
Months 52M (50%)
CAGR 2.8% | Win 38%
Sharpe 0.22 | Sortino 0.57 | Calmar 0.5
Vol 21% | MDD -5.6%
Months 8M (8%)
CAGR 15.9% | Win 58%
Sharpe 0.95 | Sortino 2.13 | Calmar 1.3
Vol 17% | MDD -12.1%
Months 60M (57%)
MRmean
neg
CAGR -4.0% | Win 53%
Sharpe -0.09 | Sortino -0.10 | Calmar -0.1
Vol 21% | MDD -39.7%
Months 30M (29%)
CAGR 13.4% | Win 60%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.8
Vol 22% | MDD -17.9%
Months 15M (14%)
CAGR 1.5% | Win 56%
Sharpe 0.18 | Sortino 0.22 | Calmar 0.0
Vol 21% | MDD -33.8%
Months 45M (43%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 14.1% | Win 60%
Sharpe 0.89 | Sortino 1.73 | Calmar 0.7
Vol 16% | MDD -19.0%
Months 52M (50%)
CAGR 27.9% | Win 75%
Sharpe 1.89 | Sortino 0.00 | Calmar 0.0
Vol 14% | MDD 0.0%
Months 4M (4%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR 13.3% | Win 58%
Sharpe 0.70 | Sortino 1.17 | Calmar 0.6
Vol 21% | MDD -23.2%
Months 33M (31%)
CAGR -14.4% | Win 44%
Sharpe -0.57 | Sortino -0.58 | Calmar -0.5
Vol 23% | MDD -29.0%
Months 16M (15%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
RSmean
only
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 17.4% | Win 66%
Sharpe 1.11 | Sortino 1.85 | Calmar 1.5
Vol 16% | MDD -11.7%
Months 35M (33%)
CAGR 11.2% | Win 52%
Sharpe 0.70 | Sortino 1.69 | Calmar 1.1
Vol 17% | MDD -10.5%
Months 21M (20%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR -11.8% | Win 41%
Sharpe -0.47 | Sortino -0.74 | Calmar -0.4
Vol 22% | MDD -28.1%
Months 17M (16%)
CAGR 12.6% | Win 59%
Sharpe 0.66 | Sortino 0.76 | Calmar 0.5
Vol 22% | MDD -24.5%
Months 32M (30%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
MACD
only
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 16.9% | Win 60%
Sharpe 1.04 | Sortino 2.01 | Calmar 1.6
Vol 16% | MDD -10.7%
Months 47M (45%)
CAGR 6.0% | Win 67%
Sharpe 0.45 | Sortino 1.68 | Calmar 0.6
Vol 15% | MDD -10.5%
Months 9M (9%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR -0.3% | Win 46%
Sharpe 0.06 | Sortino 0.13 | Calmar -0.0
Vol 17% | MDD -26.7%
Months 22M (21%)
CAGR 6.6% | Win 59%
Sharpe 0.38 | Sortino 0.44 | Calmar 0.3
Vol 25% | MDD -22.4%
Months 27M (26%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
RSI
only
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 18.9% | Win 62%
Sharpe 1.14 | Sortino 2.06 | Calmar 1.3
Vol 16% | MDD -14.1%
Months 37M (35%)
CAGR 8.0% | Win 58%
Sharpe 0.57 | Sortino 1.34 | Calmar 0.8
Vol 16% | MDD -10.5%
Months 19M (18%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR 9.7% | Win 44%
Sharpe 0.52 | Sortino 5.50 | Calmar 0.9
Vol 21% | MDD -11.4%
Months 9M (9%)
CAGR 2.1% | Win 55%
Sharpe 0.20 | Sortino 0.25 | Calmar 0.1
Vol 22% | MDD -35.3%
Months 40M (38%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
MACDhist
only
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 17.5% | Win 64%
Sharpe 1.07 | Sortino 2.00 | Calmar 1.3
Vol 16% | MDD -13.7%
Months 50M (48%)
CAGR -3.4% | Win 33%
Sharpe -0.23 | Sortino -0.52 | Calmar -0.6
Vol 12% | MDD -6.1%
Months 6M (6%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR -34.4% | Win 0%
Sharpe -3.20 | Sortino -3.20 | Calmar -3.5
Vol 13% | MDD -9.9%
Months 3M (3%)
CAGR 6.5% | Win 56%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.2
Vol 22% | MDD -27.0%
Months 46M (44%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 19.1% | Win 65%
Sharpe 1.22 | Sortino 2.19 | Calmar 1.9
Vol 15% | MDD -10.3%
Months 46M (44%)
CAGR -1.7% | Win 40%
Sharpe -0.00 | Sortino -0.01 | Calmar -0.2
Vol 20% | MDD -10.5%
Months 10M (10%)
CAGR 15.1% | Win 61%
Sharpe 0.95 | Sortino 1.87 | Calmar 0.8
Vol 16% | MDD -19.0%
Months 56M (53%)
SLmean
neg
CAGR -1.7% | Win 50%
Sharpe 0.03 | Sortino 0.03 | Calmar -0.0
Vol 22% | MDD -39.9%
Months 36M (34%)
CAGR 19.2% | Win 62%
Sharpe 0.89 | Sortino 1.08 | Calmar 1.1
Vol 23% | MDD -17.9%
Months 13M (12%)
CAGR 3.4% | Win 53%
Sharpe 0.26 | Sortino 0.35 | Calmar 0.1
Vol 22% | MDD -32.4%
Months 49M (47%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 6.3% | Win 58%
Sharpe 0.42 | Sortino 0.67 | Calmar 0.2
Vol 18% | MDD -29.1%
Months 50M (48%)
CAGR 25.5% | Win 60%
Sharpe 1.35 | Sortino 3.03 | Calmar 2.4
Vol 18% | MDD -10.8%
Months 35M (33%)
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
RSmean
neg
CAGR 23.3% | Win 50%
Sharpe 1.68 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 2M (2%)
CAGR -10.1% | Win 50%
Sharpe -0.37 | Sortino -0.37 | Calmar -0.3
Vol 22% | MDD -30.4%
Months 18M (17%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
MACD
only
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 12.2% | Win 57%
Sharpe 0.75 | Sortino 1.53 | Calmar 0.7
Vol 17% | MDD -17.2%
Months 56M (53%)
CAGR 17.0% | Win 62%
Sharpe 0.89 | Sortino 1.33 | Calmar 0.9
Vol 20% | MDD -18.0%
Months 29M (28%)
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
RSmean
neg
CAGR 6.6% | Win 46%
Sharpe 0.54 | Sortino 0.94 | Calmar 0.5
Vol 13% | MDD -14.2%
Months 13M (12%)
CAGR -28.2% | Win 57%
Sharpe -0.89 | Sortino -0.85 | Calmar -1.2
Vol 32% | MDD -24.5%
Months 7M (7%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
RSI
only
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.6% | Win 58%
Sharpe 0.93 | Sortino 2.06 | Calmar 0.9
Vol 17% | MDD -17.7%
Months 45M (43%)
CAGR 11.8% | Win 60%
Sharpe 0.67 | Sortino 1.08 | Calmar 0.5
Vol 20% | MDD -23.2%
Months 40M (38%)
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
RSmean
neg
CAGR 101.6% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR -10.9% | Win 47%
Sharpe -0.43 | Sortino -0.44 | Calmar -0.4
Vol 21% | MDD -31.0%
Months 19M (18%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
MACDhist
only
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.5% | Win 60%
Sharpe 0.84 | Sortino 1.52 | Calmar 0.9
Vol 17% | MDD -15.1%
Months 50M (48%)
CAGR 14.3% | Win 57%
Sharpe 0.76 | Sortino 1.30 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 35M (33%)
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
RSmean
neg
CAGR 16.9% | Win 67%
Sharpe 1.08 | Sortino 0.00 | Calmar 0.0
Vol 15% | MDD 0.0%
Months 3M (3%)
CAGR -10.9% | Win 47%
Sharpe -0.40 | Sortino -0.40 | Calmar -0.4
Vol 22% | MDD -29.0%
Months 17M (16%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 16.3% | Win 62%
Sharpe 0.97 | Sortino 1.88 | Calmar 1.1
Vol 17% | MDD -14.7%
Months 64M (61%)
CAGR 6.8% | Win 48%
Sharpe 0.40 | Sortino 0.65 | Calmar 0.4
Vol 22% | MDD -17.9%
Months 21M (20%)
CAGR 13.8% | Win 59%
Sharpe 0.80 | Sortino 1.42 | Calmar 0.5
Vol 18% | MDD -27.4%
Months 85M (81%)
RSmean
neg
CAGR -11.7% | Win 44%
Sharpe -0.45 | Sortino -0.47 | Calmar -0.3
Vol 22% | MDD -34.6%
Months 18M (17%)
CAGR 44.8% | Win 100%
Sharpe 3.37 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (2%)
CAGR -7.2% | Win 50%
Sharpe -0.24 | Sortino -0.24 | Calmar -0.2
Vol 21% | MDD -31.0%
Months 20M (19%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 13.3% | Win 62%
Sharpe 0.82 | Sortino 1.54 | Calmar 0.9
Vol 17% | MDD -14.3%
Months 47M (45%)
CAGR -37.8% | Win 20%
Sharpe -1.86 | Sortino -2.21 | Calmar -2.1
Vol 24% | MDD -17.9%
Months 5M (5%)
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
MACD
neg
CAGR 6.6% | Win 41%
Sharpe 0.47 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -19.2%
Months 22M (21%)
CAGR 16.1% | Win 68%
Sharpe 0.79 | Sortino 0.88 | Calmar 0.8
Vol 22% | MDD -20.8%
Months 31M (30%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
RSI
only
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 18.1% | Win 64%
Sharpe 1.10 | Sortino 2.16 | Calmar 1.8
Vol 16% | MDD -10.3%
Months 39M (37%)
CAGR -20.5% | Win 38%
Sharpe -0.99 | Sortino -1.41 | Calmar -0.7
Vol 21% | MDD -29.4%
Months 13M (12%)
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
MACD
neg
CAGR 11.6% | Win 29%
Sharpe 0.57 | Sortino 1.94 | Calmar 1.1
Vol 23% | MDD -10.8%
Months 7M (7%)
CAGR 12.1% | Win 61%
Sharpe 0.69 | Sortino 0.82 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 46M (44%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
MACDhist
only
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 16.7% | Win 69%
Sharpe 1.02 | Sortino 1.61 | Calmar 1.6
Vol 17% | MDD -10.3%
Months 32M (30%)
CAGR -7.1% | Win 40%
Sharpe -0.27 | Sortino -0.42 | Calmar -0.2
Vol 20% | MDD -30.5%
Months 20M (19%)
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
MACD
neg
CAGR 9.3% | Win 48%
Sharpe 0.60 | Sortino 1.38 | Calmar 0.9
Vol 17% | MDD -10.5%
Months 21M (20%)
CAGR 13.9% | Win 62%
Sharpe 0.71 | Sortino 0.81 | Calmar 0.6
Vol 22% | MDD -24.3%
Months 32M (30%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 13.0% | Win 60%
Sharpe 0.81 | Sortino 1.49 | Calmar 0.9
Vol 17% | MDD -14.4%
Months 48M (46%)
CAGR -44.6% | Win 25%
Sharpe -2.09 | Sortino -2.96 | Calmar -3.9
Vol 26% | MDD -11.4%
Months 4M (4%)
CAGR 6.9% | Win 58%
Sharpe 0.46 | Sortino 0.72 | Calmar 0.2
Vol 18% | MDD -29.7%
Months 52M (50%)
MACD
neg
CAGR 4.7% | Win 56%
Sharpe 0.33 | Sortino 0.39 | Calmar 0.1
Vol 21% | MDD -32.6%
Months 34M (32%)
CAGR 26.6% | Win 58%
Sharpe 1.39 | Sortino 3.23 | Calmar 4.8
Vol 18% | MDD -5.6%
Months 19M (18%)
CAGR 12.0% | Win 57%
Sharpe 0.68 | Sortino 0.90 | Calmar 0.5
Vol 20% | MDD -25.0%
Months 53M (50%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 18.5% | Win 60%
Sharpe 1.07 | Sortino 2.31 | Calmar 1.4
Vol 17% | MDD -12.9%
Months 45M (43%)
CAGR -1.5% | Win 46%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 15% | MDD -29.3%
Months 24M (23%)
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
RSI
neg
CAGR -32.7% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (1%)
CAGR 7.8% | Win 63%
Sharpe 0.45 | Sortino 0.52 | Calmar 0.4
Vol 23% | MDD -20.8%
Months 35M (33%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
MACDhist
only
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 15.1% | Win 60%
Sharpe 0.91 | Sortino 1.71 | Calmar 1.1
Vol 17% | MDD -13.9%
Months 45M (43%)
CAGR 4.1% | Win 46%
Sharpe 0.32 | Sortino 0.72 | Calmar 0.2
Vol 16% | MDD -23.6%
Months 24M (23%)
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
RSI
neg
CAGR 6.4% | Win 62%
Sharpe 0.47 | Sortino 0.67 | Calmar 0.6
Vol 15% | MDD -10.5%
Months 8M (8%)
CAGR 6.4% | Win 61%
Sharpe 0.38 | Sortino 0.45 | Calmar 0.3
Vol 25% | MDD -21.1%
Months 28M (27%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.9% | Win 58%
Sharpe 0.72 | Sortino 1.37 | Calmar 0.6
Vol 16% | MDD -19.4%
Months 64M (61%)
CAGR 14.3% | Win 20%
Sharpe 0.63 | Sortino 2.46 | Calmar 2.6
Vol 25% | MDD -5.6%
Months 5M (5%)
CAGR 11.1% | Win 55%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 17% | MDD -24.8%
Months 69M (66%)
RSI
neg
CAGR 4.5% | Win 61%
Sharpe 0.30 | Sortino 0.33 | Calmar 0.2
Vol 26% | MDD -27.6%
Months 18M (17%)
CAGR 8.4% | Win 61%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 18M (17%)
CAGR 6.4% | Win 61%
Sharpe 0.39 | Sortino 0.47 | Calmar 0.3
Vol 23% | MDD -20.8%
Months 36M (34%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 21.5% | Win 66%
Sharpe 1.26 | Sortino 2.23 | Calmar 1.9
Vol 17% | MDD -11.1%
Months 35M (33%)
CAGR 3.9% | Win 36%
Sharpe 0.28 | Sortino 1.32 | Calmar 0.3
Vol 20% | MDD -11.8%
Months 11M (10%)
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
MACDhist
neg
CAGR -0.1% | Win 50%
Sharpe 0.07 | Sortino 0.14 | Calmar -0.0
Vol 16% | MDD -16.2%
Months 18M (17%)
CAGR 5.7% | Win 58%
Sharpe 0.37 | Sortino 0.43 | Calmar 0.2
Vol 22% | MDD -29.9%
Months 41M (39%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
RSIhist
only
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.4% | Win 60%
Sharpe 0.90 | Sortino 1.92 | Calmar 0.9
Vol 16% | MDD -15.7%
Months 43M (41%)
CAGR 61.7% | Win 33%
Sharpe 1.76 | Sortino 26.37 | Calmar 63.5
Vol 29% | MDD -1.0%
Months 3M (3%)
CAGR 17.0% | Win 59%
Sharpe 1.00 | Sortino 2.22 | Calmar 1.1
Vol 17% | MDD -15.7%
Months 46M (44%)
MACDhist
neg
CAGR 4.2% | Win 56%
Sharpe 0.31 | Sortino 0.36 | Calmar 0.1
Vol 20% | MDD -41.1%
Months 39M (37%)
CAGR 3.4% | Win 55%
Sharpe 0.26 | Sortino 0.39 | Calmar 0.2
Vol 20% | MDD -17.9%
Months 20M (19%)
CAGR 3.9% | Win 56%
Sharpe 0.29 | Sortino 0.38 | Calmar 0.1
Vol 20% | MDD -34.4%
Months 59M (56%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 18.1% | Win 67%
Sharpe 1.11 | Sortino 1.90 | Calmar 1.4
Vol 16% | MDD -12.6%
Months 42M (40%)
CAGR -1.6% | Win 36%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.2
Vol 19% | MDD -10.5%
Months 11M (10%)
CAGR 13.7% | Win 60%
Sharpe 0.86 | Sortino 1.58 | Calmar 1.0
Vol 17% | MDD -13.7%
Months 53M (50%)
RSIhist
neg
CAGR 1.0% | Win 50%
Sharpe 0.15 | Sortino 0.20 | Calmar 0.0
Vol 20% | MDD -35.0%
Months 40M (38%)
CAGR 21.0% | Win 67%
Sharpe 0.93 | Sortino 1.18 | Calmar 1.2
Vol 24% | MDD -17.9%
Months 12M (11%)
CAGR 5.3% | Win 54%
Sharpe 0.35 | Sortino 0.46 | Calmar 0.2
Vol 21% | MDD -31.3%
Months 52M (50%)
LWTI
only
CAGR 9.4% | Win 58%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -41.1%
Months 82M (78%)
CAGR 9.6% | Win 52%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.5
Vol 21% | MDD -17.9%
Months 23M (22%)