EPHE - iShares MSCI Philippines ETF

Signal Pair Analysis

RSmean-RSI

Best Pair

61.6%

Best CAGR

54

Total Months

2.8%

Avg CAGR

EPHE 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 EPHE

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair RSmean RSI neg-neg 13 7.0 61.6 84.6 3.7 12.4 24.3 13.4 -2.5
pair RSI RSmean neg-neg 13 7.0 61.6 84.6 3.7 12.4 24.3 13.4 -2.5
pair RSmean MACDhist neg-pos 7 3.7 51.4 71.4 2.8 11.7 20.3 15.2 -2.5
pair MACDhist RSmean neg-pos 7 3.7 51.4 71.4 2.8 11.7 20.3 15.2 -2.5
pair SLmean LWTI neg-neg 20 10.7 38.2 75.0 1.5 1.6 2.4 23.6 -15.7
pair LWTI SLmean neg-neg 20 10.7 38.2 75.0 1.5 1.6 2.4 23.6 -15.7
pair RSIhist MRmean neg-pos 13 7.0 36.2 69.2 2.0 4.7 9.8 15.8 -3.7
pair MRmean RSIhist neg-pos 13 7.0 36.2 69.2 2.0 4.7 9.8 15.8 -3.7
pair MRmean LWTI neg-neg 26 13.9 33.6 69.2 1.4 1.7 2.1 22.0 -15.7
pair LWTI MRmean neg-neg 26 13.9 33.6 69.2 1.4 1.7 2.1 22.0 -15.7
pair RSmean RSIhist neg-pos 4 2.1 33.0 50.0 1.4 3.7 32.0 22.1 -1.0
pair RSIhist RSmean neg-pos 4 2.1 33.0 50.0 1.4 3.7 32.0 22.1 -1.0
pair LWTI RSI neg-neg 28 15.0 32.1 67.9 1.4 1.8 2.0 22.6 -15.7
pair RSI LWTI neg-neg 28 15.0 32.1 67.9 1.4 1.8 2.0 22.6 -15.7
pair RSIhist LWTI neg-neg 17 9.1 32.0 64.7 1.2 1.5 2.0 25.7 -15.7
pair LWTI RSIhist neg-neg 17 9.1 32.0 64.7 1.2 1.5 2.0 25.7 -15.7
pair RSI RSIhist neg-pos 23 12.3 28.4 69.6 1.5 2.3 2.4 17.7 -11.7
pair RSIhist RSI neg-pos 23 12.3 28.4 69.6 1.5 2.3 2.4 17.7 -11.7
pair MACD RSI neg-neg 70 37.4 27.8 72.9 1.3 1.4 1.1 21.4 -26.1
pair RSI MACD neg-neg 70 37.4 27.8 72.9 1.3 1.4 1.1 21.4 -26.1
pair RSIhist MACDhist neg-pos 40 21.4 26.8 70.0 1.6 3.4 3.6 15.4 -7.4
pair MACDhist RSIhist neg-pos 40 21.4 26.8 70.0 1.6 3.4 3.6 15.4 -7.4
pair RSI MACDhist neg-neg 63 33.7 26.7 68.3 1.2 1.4 1.0 21.6 -26.1
pair MACDhist RSI neg-neg 63 33.7 26.7 68.3 1.2 1.4 1.0 21.6 -26.1
pair MRmean SLmean neg-pos 13 7.0 25.2 53.8 1.5 4.7 4.8 15.6 -5.2
pair SLmean MRmean neg-pos 13 7.0 25.2 53.8 1.5 4.7 4.8 15.6 -5.2
pair RSIhist SLmean neg-pos 10 5.3 24.2 70.0 1.7 3.9 8.4 13.3 -2.9
pair SLmean RSIhist neg-pos 10 5.3 24.2 70.0 1.7 3.9 8.4 13.3 -2.9
pair LWTI MACDhist neg-neg 37 19.8 24.1 62.2 1.1 1.6 1.5 20.7 -15.7
pair MACDhist LWTI neg-neg 37 19.8 24.1 62.2 1.1 1.6 1.5 20.7 -15.7
pair RSI MRmean pos-neg 17 9.1 24.0 70.6 1.2 2.0 1.4 19.9 -17.1
pair MRmean RSI pos-neg 17 9.1 24.0 70.6 1.2 2.0 1.4 19.9 -17.1
pair MACDhist SLmean pos-neg 45 24.1 23.8 64.4 1.5 3.0 2.0 15.5 -11.7
pair SLmean MACDhist pos-neg 45 24.1 23.8 64.4 1.5 3.0 2.0 15.5 -11.7
pair SLmean RSI pos-neg 22 11.8 21.7 59.1 1.1 2.0 1.9 19.0 -11.7
pair RSI SLmean pos-neg 22 11.8 21.7 59.1 1.1 2.0 1.9 19.0 -11.7
pair LWTI MACD pos-neg 10 5.3 21.3 60.0 1.4 3.2 3.4 14.2 -6.3
pair MACD LWTI pos-neg 10 5.3 21.3 60.0 1.4 3.2 3.4 14.2 -6.3
single LWTI LWTI neg-neg 46 24.6 19.1 63.0 1.0 1.4 0.8 19.9 -22.8
pair LWTI RSmean pos-neg 46 24.6 19.1 63.0 1.0 1.4 0.8 19.9 -22.8
pair RSmean LWTI pos-neg 46 24.6 19.1 63.0 1.0 1.4 0.8 19.9 -22.8
pair LWTI MACD neg-neg 36 19.3 18.5 63.9 0.9 1.3 0.8 21.4 -22.8
pair MACD LWTI neg-neg 36 19.3 18.5 63.9 0.9 1.3 0.8 21.4 -22.8
pair RSmean MACDhist pos-neg 89 47.6 18.1 65.2 0.9 1.2 0.6 20.7 -28.9
pair MACDhist RSmean pos-neg 89 47.6 18.1 65.2 0.9 1.2 0.6 20.7 -28.9
pair MACDhist MRmean pos-neg 35 18.7 18.0 65.7 1.0 1.9 0.9 17.6 -20.0
pair MRmean MACDhist pos-neg 35 18.7 18.0 65.7 1.0 1.9 0.9 17.6 -20.0
single RSI RSI neg-neg 91 48.7 16.9 64.8 0.8 1.1 0.7 21.0 -26.1
pair MRmean MACD neg-neg 61 32.6 16.7 68.9 0.8 0.9 0.6 23.8 -26.1
pair MACD MRmean neg-neg 61 32.6 16.7 68.9 0.8 0.9 0.6 23.8 -26.1
pair MACDhist MACD neg-neg 74 39.6 16.0 66.2 0.8 0.9 0.6 23.0 -28.9
pair MACD MACDhist neg-neg 74 39.6 16.0 66.2 0.8 0.9 0.6 23.0 -28.9
pair MACD SLmean neg-neg 54 28.9 15.6 72.2 0.7 0.8 0.6 24.8 -26.7
pair SLmean MACD neg-neg 54 28.9 15.6 72.2 0.7 0.8 0.6 24.8 -26.7
pair SLmean RSI neg-neg 69 36.9 15.4 66.7 0.8 0.9 0.6 21.8 -26.9
pair RSI SLmean neg-neg 69 36.9 15.4 66.7 0.8 0.9 0.6 21.8 -26.9
pair MRmean RSI neg-neg 74 39.6 15.3 63.5 0.8 0.9 0.6 21.4 -26.1
pair RSI MRmean neg-neg 74 39.6 15.3 63.5 0.8 0.9 0.6 21.4 -26.1
pair RSIhist SLmean pos-neg 9 4.8 14.7 44.4 0.9 2.2 2.8 16.5 -5.2
pair SLmean RSIhist pos-neg 9 4.8 14.7 44.4 0.9 2.2 2.8 16.5 -5.2
pair RSIhist MACD neg-neg 52 27.8 14.3 69.2 0.7 0.8 0.5 25.3 -28.4
pair MACD RSIhist neg-neg 52 27.8 14.3 69.2 0.7 0.8 0.5 25.3 -28.4
pair MACD RSmean pos-neg 89 47.6 14.0 67.4 0.8 0.9 0.5 20.4 -26.8
pair RSmean MACD pos-neg 89 47.6 14.0 67.4 0.8 0.9 0.5 20.4 -26.8
pair RSI RSIhist neg-neg 68 36.4 13.2 63.2 0.7 0.8 0.5 22.1 -28.1
pair RSIhist RSI neg-neg 68 36.4 13.2 63.2 0.7 0.8 0.5 22.1 -28.1
single MACD MACD neg-neg 108 57.8 12.9 66.7 0.7 0.9 0.5 21.1 -26.8
single MACDhist MACDhist neg-neg 103 55.1 12.7 63.1 0.7 0.9 0.4 21.6 -28.9
pair LWTI RSIhist pos-neg 29 15.5 12.0 62.1 0.8 1.4 1.0 15.8 -12.2
pair RSIhist LWTI pos-neg 29 15.5 12.0 62.1 0.8 1.4 1.0 15.8 -12.2
pair RSIhist MACD neg-pos 56 29.9 11.5 64.3 0.7 1.2 0.5 16.6 -23.0
pair MACD RSIhist neg-pos 56 29.9 11.5 64.3 0.7 1.2 0.5 16.6 -23.0
pair RSmean SLmean pos-neg 3 1.6 11.5 33.3 0.5 1.4 11.2 25.4 -1.0
pair SLmean RSmean pos-neg 3 1.6 11.5 33.3 0.5 1.4 11.2 25.4 -1.0
pair LWTI RSI neg-pos 63 33.7 10.7 63.5 0.6 0.7 0.4 20.3 -29.8
pair RSI LWTI neg-pos 63 33.7 10.7 63.5 0.6 0.7 0.4 20.3 -29.8
pair RSmean RSI pos-neg 78 41.7 10.7 61.5 0.6 0.8 0.4 21.7 -26.1
pair RSI RSmean pos-neg 78 41.7 10.7 61.5 0.6 0.8 0.4 21.7 -26.1
pair MACD LWTI neg-pos 72 38.5 10.2 68.1 0.6 0.7 0.3 21.1 -31.2
pair LWTI MACD neg-pos 72 38.5 10.2 68.1 0.6 0.7 0.3 21.1 -31.2
pair MACDhist MRmean neg-neg 68 36.4 10.2 61.8 0.5 0.7 0.4 23.5 -26.1
pair MRmean MACDhist neg-neg 68 36.4 10.2 61.8 0.5 0.7 0.4 23.5 -26.1
pair MACD SLmean pos-neg 54 28.9 10.1 61.1 0.7 1.1 0.3 16.9 -29.0
pair SLmean MACD pos-neg 54 28.9 10.1 61.1 0.7 1.1 0.3 16.9 -29.0
pair MACD MRmean pos-neg 47 25.1 8.1 63.8 0.5 0.9 0.3 17.2 -23.3
pair MRmean MACD pos-neg 47 25.1 8.1 63.8 0.5 0.9 0.3 17.2 -23.3
pair RSmean MRmean neg-pos 69 36.9 8.1 60.9 0.5 0.6 0.3 22.0 -29.8
pair MRmean RSmean neg-pos 69 36.9 8.1 60.9 0.5 0.6 0.3 22.0 -29.8
pair RSmean MACD neg-neg 19 10.2 7.7 63.2 0.4 0.5 0.4 24.9 -18.5
pair MACD RSmean neg-neg 19 10.2 7.7 63.2 0.4 0.5 0.4 24.9 -18.5
single MRmean MRmean neg-neg 87 46.5 6.9 60.9 0.4 0.5 0.3 22.6 -26.1
pair MACDhist LWTI neg-pos 66 35.3 6.8 63.6 0.4 0.5 0.2 22.1 -39.1
pair LWTI MACDhist neg-pos 66 35.3 6.8 63.6 0.4 0.5 0.2 22.1 -39.1
pair MACD MACDhist neg-pos 34 18.2 6.4 67.6 0.5 0.6 0.5 16.6 -13.9
pair MACDhist MACD neg-pos 34 18.2 6.4 67.6 0.5 0.6 0.5 16.6 -13.9
pair SLmean LWTI pos-neg 26 13.9 6.2 53.8 0.5 0.8 0.4 16.1 -14.0
pair LWTI SLmean pos-neg 26 13.9 6.2 53.8 0.5 0.8 0.4 16.1 -14.0
pair MACDhist MACD pos-neg 29 15.5 4.9 55.2 0.3 0.6 0.3 17.9 -19.0
pair MACDhist SLmean neg-neg 58 31.0 4.9 62.1 0.3 0.4 0.2 25.4 -30.3
pair SLmean MACDhist neg-neg 58 31.0 4.9 62.1 0.3 0.4 0.2 25.4 -30.3
pair MACD MACDhist pos-neg 29 15.5 4.9 55.2 0.3 0.6 0.3 17.9 -19.0
pair RSIhist MACDhist neg-neg 63 33.7 4.7 58.7 0.3 0.4 0.1 24.7 -30.0
pair MACDhist RSIhist neg-neg 63 33.7 4.7 58.7 0.3 0.4 0.1 24.7 -30.0
pair MRmean SLmean neg-neg 74 39.6 4.0 62.2 0.3 0.4 0.1 23.6 -30.3
pair SLmean MRmean neg-neg 74 39.6 4.0 62.2 0.3 0.4 0.1 23.6 -30.3
single RSIhist RSIhist pos-pos 99 52.9 3.9 57.6 0.3 0.5 0.1 16.3 -28.1
single SLmean SLmean pos-pos 98 52.4 2.9 55.1 0.3 0.4 0.1 16.5 -35.6
pair RSIhist RSmean pos-pos 95 50.8 2.8 57.9 0.2 0.4 0.1 16.1 -37.5
pair RSmean RSIhist pos-pos 95 50.8 2.8 57.9 0.2 0.4 0.1 16.1 -37.5
pair RSmean SLmean pos-pos 95 50.8 2.7 55.8 0.2 0.4 0.1 16.3 -40.4
pair SLmean RSmean pos-pos 95 50.8 2.7 55.8 0.2 0.4 0.1 16.3 -40.4
pair RSmean MRmean neg-neg 18 9.6 2.6 61.1 0.2 0.3 0.1 25.3 -18.5
pair MRmean RSmean neg-neg 18 9.6 2.6 61.1 0.2 0.3 0.1 25.3 -18.5
pair MRmean LWTI pos-neg 20 10.7 2.5 55.0 0.2 0.4 0.2 16.1 -12.5
pair LWTI MRmean pos-neg 20 10.7 2.5 55.0 0.2 0.4 0.2 16.1 -12.5
pair MRmean RSIhist neg-neg 74 39.6 2.5 59.5 0.2 0.3 0.1 23.4 -33.9
pair RSIhist MRmean neg-neg 74 39.6 2.5 59.5 0.2 0.3 0.1 23.4 -33.9
single RSmean RSmean neg-neg 21 11.2 2.3 57.1 0.2 0.3 0.1 24.1 -22.3
pair RSmean LWTI neg-pos 21 11.2 2.3 57.1 0.2 0.3 0.1 24.1 -22.3
pair LWTI RSmean neg-pos 21 11.2 2.3 57.1 0.2 0.3 0.1 24.1 -22.3
pair RSIhist SLmean pos-pos 89 47.6 1.8 56.2 0.2 0.3 0.1 16.6 -35.7
pair SLmean RSIhist pos-pos 89 47.6 1.8 56.2 0.2 0.3 0.1 16.6 -35.7
pair SLmean LWTI pos-pos 72 38.5 1.8 55.6 0.2 0.3 0.1 16.8 -37.9
pair LWTI SLmean pos-pos 72 38.5 1.8 55.6 0.2 0.3 0.1 16.8 -37.9
pair RSI LWTI pos-neg 18 9.6 1.2 55.6 0.1 0.2 0.1 14.0 -14.0
pair LWTI RSI pos-neg 18 9.6 1.2 55.6 0.1 0.2 0.1 14.0 -14.0
pair benchmark___benchmark_ benchmark-benchmark 187 100.0 0.9 56.1 0.1 0.2 0.0 19.9 -43.7
pair benchmark___benchmark_ benchmark-benchmark 187 100.0 0.9 56.1 0.1 0.2 0.0 19.9 -43.7
pair SLmean RSmean neg-neg 18 9.6 0.9 61.1 0.2 0.2 0.1 24.7 -18.5
pair RSmean SLmean neg-neg 18 9.6 0.9 61.1 0.2 0.2 0.1 24.7 -18.5
single RSmean RSmean pos-pos 166 88.8 0.7 56.0 0.1 0.2 0.0 19.4 -52.3
pair RSIhist LWTI pos-pos 70 37.4 0.7 55.7 0.1 0.2 0.0 16.5 -37.2
pair LWTI RSIhist pos-pos 70 37.4 0.7 55.7 0.1 0.2 0.0 16.5 -37.2
pair RSmean MRmean pos-neg 3 1.6 0.6 33.3 0.1 0.2 0.6 20.1 -1.0
pair MRmean RSmean pos-neg 3 1.6 0.6 33.3 0.1 0.2 0.6 20.1 -1.0
pair LWTI MACDhist pos-neg 9 4.8 0.2 66.7 0.1 0.1 0.0 16.0 -13.5
pair MACDhist LWTI pos-neg 9 4.8 0.2 66.7 0.1 0.1 0.0 16.0 -13.5
pair MRmean SLmean pos-pos 85 45.5 -0.1 55.3 0.1 0.1 -0.0 16.6 -46.5
pair SLmean MRmean pos-pos 85 45.5 -0.1 55.3 0.1 0.1 -0.0 16.6 -46.5
pair MRmean RSIhist pos-pos 86 46.0 -0.3 55.8 0.1 0.1 -0.0 16.1 -44.8
pair RSIhist MRmean pos-pos 86 46.0 -0.3 55.8 0.1 0.1 -0.0 16.1 -44.8
single SLmean SLmean neg-neg 89 47.6 -1.3 57.3 0.1 0.1 -0.0 23.2 -43.7
pair RSmean SLmean neg-pos 71 38.0 -1.9 56.3 0.0 0.1 -0.1 23.0 -40.5
pair SLmean RSmean neg-pos 71 38.0 -1.9 56.3 0.0 0.1 -0.1 23.0 -40.5
pair RSI SLmean pos-pos 76 40.6 -1.9 53.9 -0.1 -0.1 -0.0 15.6 -50.2
pair SLmean RSI pos-pos 76 40.6 -1.9 53.9 -0.1 -0.1 -0.0 15.6 -50.2
pair RSmean RSIhist pos-neg 71 38.0 -2.0 53.5 0.0 0.0 -0.0 23.2 -44.6
pair RSIhist RSmean pos-neg 71 38.0 -2.0 53.5 0.0 0.0 -0.0 23.2 -44.6
single RSIhist RSIhist neg-neg 88 47.1 -2.4 54.5 0.0 0.0 -0.1 23.4 -43.4
pair RSI RSIhist pos-pos 76 40.6 -2.6 53.9 -0.1 -0.1 -0.1 15.5 -50.2
pair RSIhist RSI pos-pos 76 40.6 -2.6 53.9 -0.1 -0.1 -0.1 15.5 -50.2
pair MACDhist RSI neg-pos 28 15.0 -2.6 57.1 -0.1 -0.1 -0.1 18.8 -21.0
pair RSI MACDhist neg-pos 28 15.0 -2.6 57.1 -0.1 -0.1 -0.1 18.8 -21.0
pair LWTI MRmean neg-pos 61 32.6 -2.7 57.4 -0.0 -0.0 -0.1 22.4 -43.1
pair MRmean LWTI neg-pos 61 32.6 -2.7 57.4 -0.0 -0.0 -0.1 22.4 -43.1
pair RSmean RSIhist neg-neg 17 9.1 -3.8 58.8 -0.0 -0.0 -0.2 24.9 -18.7
pair RSIhist RSmean neg-neg 17 9.1 -3.8 58.8 -0.0 -0.0 -0.2 24.9 -18.7
pair MRmean MACDhist neg-pos 19 10.2 -3.9 57.9 -0.1 -0.2 -0.3 18.8 -12.6
pair MACDhist MRmean neg-pos 19 10.2 -3.9 57.9 -0.1 -0.2 -0.3 18.8 -12.6
pair RSIhist SLmean neg-neg 79 42.2 -4.1 55.7 -0.1 -0.1 -0.1 24.1 -46.7
pair SLmean RSIhist neg-neg 79 42.2 -4.1 55.7 -0.1 -0.1 -0.1 24.1 -46.7
single MRmean MRmean pos-pos 100 53.5 -4.1 52.0 -0.1 -0.2 -0.1 17.2 -60.6
pair MRmean RSmean pos-pos 97 51.9 -4.2 52.6 -0.2 -0.2 -0.1 17.2 -60.6
pair RSmean MRmean pos-pos 97 51.9 -4.2 52.6 -0.2 -0.2 -0.1 17.2 -60.6
single LWTI LWTI pos-pos 141 75.4 -4.4 53.9 -0.1 -0.2 -0.1 19.7 -68.4
pair MACD RSIhist pos-pos 43 23.0 -5.3 48.8 -0.3 -0.4 -0.1 15.7 -42.8
pair RSIhist MACD pos-pos 43 23.0 -5.3 48.8 -0.3 -0.4 -0.1 15.7 -42.8
pair MACD SLmean pos-pos 44 23.5 -5.3 47.7 -0.3 -0.4 -0.1 15.8 -43.0
pair SLmean MACD pos-pos 44 23.5 -5.3 47.7 -0.3 -0.4 -0.1 15.8 -43.0
pair RSmean LWTI pos-pos 120 64.2 -5.5 53.3 -0.2 -0.3 -0.1 18.9 -73.8
pair LWTI RSmean pos-pos 120 64.2 -5.5 53.3 -0.2 -0.3 -0.1 18.9 -73.8
pair MRmean LWTI pos-pos 80 42.8 -5.7 51.2 -0.2 -0.4 -0.1 17.6 -62.2
pair LWTI MRmean pos-pos 80 42.8 -5.7 51.2 -0.2 -0.4 -0.1 17.6 -62.2
pair RSI MACDhist pos-neg 40 21.4 -6.2 55.0 -0.2 -0.3 -0.2 20.7 -25.1
pair MACDhist RSI pos-neg 40 21.4 -6.2 55.0 -0.2 -0.3 -0.2 20.7 -25.1
pair RSmean RSI pos-pos 88 47.1 -7.4 51.1 -0.4 -0.6 -0.1 16.8 -65.0
pair RSI RSmean pos-pos 88 47.1 -7.4 51.1 -0.4 -0.6 -0.1 16.8 -65.0
pair RSI MRmean pos-pos 83 44.4 -9.0 48.2 -0.5 -0.7 -0.1 16.3 -67.9
pair MRmean RSI pos-pos 83 44.4 -9.0 48.2 -0.5 -0.7 -0.1 16.3 -67.9
pair LWTI RSIhist neg-pos 71 38.0 -9.2 52.1 -0.3 -0.4 -0.2 22.5 -55.2
pair RSIhist LWTI neg-pos 71 38.0 -9.2 52.1 -0.3 -0.4 -0.2 22.5 -55.2
pair RSIhist MACDhist pos-pos 59 31.6 -9.2 49.2 -0.5 -0.8 -0.2 15.8 -43.3
pair MACDhist RSIhist pos-pos 59 31.6 -9.2 49.2 -0.5 -0.8 -0.2 15.8 -43.3
pair MACD RSI neg-pos 38 20.3 -10.3 55.3 -0.5 -0.6 -0.4 19.2 -25.1
pair RSI MACD neg-pos 38 20.3 -10.3 55.3 -0.5 -0.6 -0.4 19.2 -25.1
pair LWTI SLmean neg-pos 69 36.9 -10.5 52.2 -0.4 -0.5 -0.2 22.4 -56.5
pair SLmean LWTI neg-pos 69 36.9 -10.5 52.2 -0.4 -0.5 -0.2 22.4 -56.5
pair SLmean MACDhist neg-pos 31 16.6 -11.9 48.4 -0.6 -0.8 -0.4 18.2 -30.9
pair MACDhist SLmean neg-pos 31 16.6 -11.9 48.4 -0.6 -0.8 -0.4 18.2 -30.9
pair MACDhist SLmean pos-pos 53 28.3 -12.0 47.2 -0.7 -1.0 -0.2 16.1 -48.0
pair SLmean MACDhist pos-pos 53 28.3 -12.0 47.2 -0.7 -1.0 -0.2 16.1 -48.0
single MACDhist MACDhist pos-pos 84 44.9 -12.0 47.6 -0.7 -0.9 -0.2 16.8 -60.1
single RSI RSI pos-pos 96 51.3 -12.2 47.9 -0.6 -0.9 -0.2 17.9 -67.1
pair MACD RSmean pos-pos 77 41.2 -12.7 42.9 -0.7 -1.0 -0.2 17.3 -70.4
pair RSmean MACD pos-pos 77 41.2 -12.7 42.9 -0.7 -1.0 -0.2 17.3 -70.4
pair MACD MRmean neg-pos 26 13.9 -12.9 42.3 -0.7 -1.0 -0.3 18.4 -41.2
pair MRmean MACD neg-pos 26 13.9 -12.9 42.3 -0.7 -1.0 -0.3 18.4 -41.2
pair LWTI MACDhist pos-pos 75 40.1 -13.3 45.3 -0.8 -1.1 -0.2 17.0 -60.1
pair MACDhist LWTI pos-pos 75 40.1 -13.3 45.3 -0.8 -1.1 -0.2 17.0 -60.1
pair MACD RSI pos-neg 21 11.2 -13.3 38.1 -0.7 -1.1 -0.4 17.5 -32.4
pair RSI MACD pos-neg 21 11.2 -13.3 38.1 -0.7 -1.1 -0.4 17.5 -32.4
single MACD MACD pos-pos 79 42.2 -13.4 41.8 -0.8 -1.1 -0.2 17.2 -71.1
pair RSI MACD pos-pos 58 31.0 -13.5 43.1 -0.8 -1.1 -0.2 17.3 -62.3
pair MACD RSI pos-pos 58 31.0 -13.5 43.1 -0.8 -1.1 -0.2 17.3 -62.3
pair MACD MRmean pos-pos 53 28.3 -13.7 41.5 -0.8 -1.1 -0.2 16.8 -60.4
pair MRmean MACD pos-pos 53 28.3 -13.7 41.5 -0.8 -1.1 -0.2 16.8 -60.4
pair MRmean MACDhist pos-pos 65 34.8 -14.2 44.6 -0.8 -1.2 -0.3 16.2 -54.0
pair MACDhist MRmean pos-pos 65 34.8 -14.2 44.6 -0.8 -1.2 -0.3 16.2 -54.0
pair RSI LWTI pos-pos 78 41.7 -15.1 46.2 -0.8 -1.1 -0.2 18.7 -67.7
pair LWTI RSI pos-pos 78 41.7 -15.1 46.2 -0.8 -1.1 -0.2 18.7 -67.7
pair MACDhist RSmean neg-neg 14 7.5 -15.9 50.0 -0.5 -0.8 -0.7 26.3 -22.3
pair RSmean MACDhist neg-neg 14 7.5 -15.9 50.0 -0.5 -0.8 -0.7 26.3 -22.3
pair RSmean MACDhist pos-pos 77 41.2 -16.2 45.5 -1.0 -1.3 -0.2 16.3 -68.6
pair MACDhist RSmean pos-pos 77 41.2 -16.2 45.5 -1.0 -1.3 -0.2 16.3 -68.6
pair MACDhist RSI pos-pos 56 29.9 -16.3 42.9 -1.0 -1.4 -0.3 15.7 -57.5
pair RSI MACDhist pos-pos 56 29.9 -16.3 42.9 -1.0 -1.4 -0.3 15.7 -57.5
pair LWTI MACD pos-pos 69 36.9 -17.6 39.1 -1.0 -1.5 -0.2 17.2 -75.0
pair MACD LWTI pos-pos 69 36.9 -17.6 39.1 -1.0 -1.5 -0.2 17.2 -75.0
pair MACDhist RSIhist pos-neg 25 13.4 -18.0 44.0 -0.9 -1.3 -0.5 19.1 -35.7
pair RSIhist MACDhist pos-neg 25 13.4 -18.0 44.0 -0.9 -1.3 -0.5 19.1 -35.7
pair RSIhist MACD pos-neg 36 19.3 -22.3 33.3 -1.2 -1.8 -0.5 18.6 -49.5
pair MACD RSIhist pos-neg 36 19.3 -22.3 33.3 -1.2 -1.8 -0.5 18.6 -49.5
pair MACD MACDhist pos-pos 50 26.7 -22.6 34.0 -1.5 -2.0 -0.3 16.1 -66.5
pair MACDhist MACD pos-pos 50 26.7 -22.6 34.0 -1.5 -2.0 -0.3 16.1 -66.5
pair MACD SLmean neg-pos 35 18.7 -22.7 34.3 -1.3 -1.9 -0.5 18.5 -49.3
pair SLmean MACD neg-pos 35 18.7 -22.7 34.3 -1.3 -1.9 -0.5 18.5 -49.3
pair SLmean MRmean pos-neg 15 8.0 -23.8 33.3 -1.2 -1.8 -0.9 20.0 -26.0
pair MRmean SLmean pos-neg 15 8.0 -23.8 33.3 -1.2 -1.8 -0.9 20.0 -26.0
pair RSIhist MRmean pos-neg 14 7.5 -24.4 28.6 -1.1 -1.9 -0.7 22.5 -36.4
pair MRmean RSIhist pos-neg 14 7.5 -24.4 28.6 -1.1 -1.9 -0.7 22.5 -36.4
pair RSI MRmean neg-pos 13 7.0 -30.3 46.2 -1.2 -2.2 -1.2 26.1 -25.6
pair MRmean RSI neg-pos 13 7.0 -30.3 46.2 -1.2 -2.2 -1.2 26.1 -25.6
pair MACD RSmean neg-pos 2 1.1 -36.8 0.0 -7.6 -7.6 -14.5 5.9 -2.5
pair RSmean MACD neg-pos 2 1.1 -36.8 0.0 -7.6 -7.6 -14.5 5.9 -2.5
pair RSIhist RSI pos-neg 20 10.7 -41.0 25.0 -2.2 -3.1 -0.8 22.5 -52.7
pair RSI RSIhist pos-neg 20 10.7 -41.0 25.0 -2.2 -3.1 -0.8 22.5 -52.7
pair SLmean RSI neg-pos 20 10.7 -42.4 25.0 -2.4 -3.5 -0.8 21.8 -54.6
pair RSI SLmean neg-pos 20 10.7 -42.4 25.0 -2.4 -3.5 -0.8 21.8 -54.6
pair RSmean RSI neg-pos 8 4.3 -51.3 12.5 -2.9 -3.8 -1.7 23.4 -29.5
pair RSI RSmean neg-pos 8 4.3 -51.3 12.5 -2.9 -3.8 -1.7 23.4 -29.5

All Contingency Tables for EPHE

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR -0.1% | Win 55%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 17% | MDD -46.5%
Months 85M (46%)
CAGR -23.8% | Win 33%
Sharpe -1.25 | Sortino -1.84 | Calmar -0.9
Vol 20% | MDD -26.0%
Months 15M (8%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR 25.2% | Win 54%
Sharpe 1.52 | Sortino 4.74 | Calmar 4.8
Vol 16% | MDD -5.2%
Months 13M (7%)
CAGR 4.0% | Win 62%
Sharpe 0.29 | Sortino 0.37 | Calmar 0.1
Vol 24% | MDD -30.3%
Months 74M (40%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
SLmean
only
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR -4.2% | Win 53%
Sharpe -0.16 | Sortino -0.25 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 97M (52%)
CAGR 0.6% | Win 33%
Sharpe 0.10 | Sortino 0.20 | Calmar 0.6
Vol 20% | MDD -1.0%
Months 3M (2%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR 8.1% | Win 61%
Sharpe 0.47 | Sortino 0.59 | Calmar 0.3
Vol 22% | MDD -29.8%
Months 69M (37%)
CAGR 2.6% | Win 61%
Sharpe 0.23 | Sortino 0.30 | Calmar 0.1
Vol 25% | MDD -18.5%
Months 18M (10%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
RSmean
only
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR -13.7% | Win 42%
Sharpe -0.79 | Sortino -1.14 | Calmar -0.2
Vol 17% | MDD -60.4%
Months 53M (28%)
CAGR 8.1% | Win 64%
Sharpe 0.54 | Sortino 0.89 | Calmar 0.3
Vol 17% | MDD -23.3%
Months 47M (25%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR -12.9% | Win 42%
Sharpe -0.66 | Sortino -0.99 | Calmar -0.3
Vol 18% | MDD -41.2%
Months 26M (14%)
CAGR 16.7% | Win 69%
Sharpe 0.78 | Sortino 0.88 | Calmar 0.6
Vol 24% | MDD -26.1%
Months 61M (33%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
MACD
only
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR -9.0% | Win 48%
Sharpe -0.49 | Sortino -0.72 | Calmar -0.1
Vol 16% | MDD -67.9%
Months 83M (44%)
CAGR 24.0% | Win 71%
Sharpe 1.19 | Sortino 2.00 | Calmar 1.4
Vol 20% | MDD -17.1%
Months 17M (9%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR -30.3% | Win 46%
Sharpe -1.24 | Sortino -2.18 | Calmar -1.2
Vol 26% | MDD -25.6%
Months 13M (7%)
CAGR 15.3% | Win 64%
Sharpe 0.78 | Sortino 0.95 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 74M (40%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
RSI
only
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR -14.2% | Win 45%
Sharpe -0.85 | Sortino -1.19 | Calmar -0.3
Vol 16% | MDD -54.0%
Months 65M (35%)
CAGR 18.0% | Win 66%
Sharpe 1.03 | Sortino 1.92 | Calmar 0.9
Vol 18% | MDD -20.0%
Months 35M (19%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR -3.9% | Win 58%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.3
Vol 19% | MDD -12.6%
Months 19M (10%)
CAGR 10.2% | Win 62%
Sharpe 0.53 | Sortino 0.66 | Calmar 0.4
Vol 24% | MDD -26.1%
Months 68M (36%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
MACDhist
only
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR -0.3% | Win 56%
Sharpe 0.06 | Sortino 0.10 | Calmar -0.0
Vol 16% | MDD -44.8%
Months 86M (46%)
CAGR -24.4% | Win 29%
Sharpe -1.12 | Sortino -1.85 | Calmar -0.7
Vol 22% | MDD -36.4%
Months 14M (8%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR 36.2% | Win 69%
Sharpe 2.05 | Sortino 4.69 | Calmar 9.8
Vol 16% | MDD -3.7%
Months 13M (7%)
CAGR 2.5% | Win 60%
Sharpe 0.23 | Sortino 0.29 | Calmar 0.1
Vol 23% | MDD -33.9%
Months 74M (40%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR -5.7% | Win 51%
Sharpe -0.24 | Sortino -0.37 | Calmar -0.1
Vol 18% | MDD -62.2%
Months 80M (43%)
CAGR 2.5% | Win 55%
Sharpe 0.23 | Sortino 0.38 | Calmar 0.2
Vol 16% | MDD -12.5%
Months 20M (11%)
CAGR -4.1% | Win 52%
Sharpe -0.15 | Sortino -0.24 | Calmar -0.1
Vol 17% | MDD -60.6%
Months 100M (54%)
MRmean
neg
CAGR -2.7% | Win 57%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 22% | MDD -43.1%
Months 61M (33%)
CAGR 33.6% | Win 69%
Sharpe 1.44 | Sortino 1.72 | Calmar 2.1
Vol 22% | MDD -15.7%
Months 26M (14%)
CAGR 6.9% | Win 61%
Sharpe 0.41 | Sortino 0.53 | Calmar 0.3
Vol 23% | MDD -26.1%
Months 87M (46%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 2.7% | Win 56%
Sharpe 0.24 | Sortino 0.38 | Calmar 0.1
Vol 16% | MDD -40.4%
Months 95M (51%)
CAGR 11.5% | Win 33%
Sharpe 0.51 | Sortino 1.36 | Calmar 11.2
Vol 25% | MDD -1.0%
Months 3M (2%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR -1.9% | Win 56%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 23% | MDD -40.5%
Months 71M (38%)
CAGR 0.9% | Win 61%
Sharpe 0.16 | Sortino 0.21 | Calmar 0.0
Vol 25% | MDD -18.5%
Months 18M (10%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
RSmean
only
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR -5.3% | Win 48%
Sharpe -0.26 | Sortino -0.40 | Calmar -0.1
Vol 16% | MDD -43.0%
Months 44M (24%)
CAGR 10.1% | Win 61%
Sharpe 0.66 | Sortino 1.07 | Calmar 0.3
Vol 17% | MDD -29.0%
Months 54M (29%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR -22.7% | Win 34%
Sharpe -1.28 | Sortino -1.86 | Calmar -0.5
Vol 18% | MDD -49.3%
Months 35M (19%)
CAGR 15.6% | Win 72%
Sharpe 0.72 | Sortino 0.85 | Calmar 0.6
Vol 25% | MDD -26.7%
Months 54M (29%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
MACD
only
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR -1.9% | Win 54%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.0
Vol 16% | MDD -50.2%
Months 76M (41%)
CAGR 21.7% | Win 59%
Sharpe 1.13 | Sortino 1.99 | Calmar 1.9
Vol 19% | MDD -11.7%
Months 22M (12%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR -42.4% | Win 25%
Sharpe -2.37 | Sortino -3.45 | Calmar -0.8
Vol 22% | MDD -54.6%
Months 20M (11%)
CAGR 15.4% | Win 67%
Sharpe 0.77 | Sortino 0.93 | Calmar 0.6
Vol 22% | MDD -26.9%
Months 69M (37%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
RSI
only
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR -12.0% | Win 47%
Sharpe -0.71 | Sortino -1.02 | Calmar -0.2
Vol 16% | MDD -48.0%
Months 53M (28%)
CAGR 23.8% | Win 64%
Sharpe 1.46 | Sortino 2.99 | Calmar 2.0
Vol 16% | MDD -11.7%
Months 45M (24%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR -11.9% | Win 48%
Sharpe -0.60 | Sortino -0.81 | Calmar -0.4
Vol 18% | MDD -30.9%
Months 31M (17%)
CAGR 4.9% | Win 62%
Sharpe 0.32 | Sortino 0.43 | Calmar 0.2
Vol 25% | MDD -30.3%
Months 58M (31%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
MACDhist
only
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.31 | Calmar 0.1
Vol 17% | MDD -35.7%
Months 89M (48%)
CAGR 14.7% | Win 44%
Sharpe 0.91 | Sortino 2.16 | Calmar 2.8
Vol 16% | MDD -5.2%
Months 9M (5%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR 24.2% | Win 70%
Sharpe 1.71 | Sortino 3.86 | Calmar 8.4
Vol 13% | MDD -2.9%
Months 10M (5%)
CAGR -4.1% | Win 56%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 24% | MDD -46.7%
Months 79M (42%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 1.8% | Win 56%
Sharpe 0.19 | Sortino 0.30 | Calmar 0.0
Vol 17% | MDD -37.9%
Months 72M (38%)
CAGR 6.2% | Win 54%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.4
Vol 16% | MDD -14.0%
Months 26M (14%)
CAGR 2.9% | Win 55%
Sharpe 0.26 | Sortino 0.42 | Calmar 0.1
Vol 16% | MDD -35.6%
Months 98M (52%)
SLmean
neg
CAGR -10.5% | Win 52%
Sharpe -0.38 | Sortino -0.51 | Calmar -0.2
Vol 22% | MDD -56.5%
Months 69M (37%)
CAGR 38.2% | Win 75%
Sharpe 1.50 | Sortino 1.64 | Calmar 2.4
Vol 24% | MDD -15.7%
Months 20M (11%)
CAGR -1.3% | Win 57%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 23% | MDD -43.7%
Months 89M (48%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -12.7% | Win 43%
Sharpe -0.69 | Sortino -1.01 | Calmar -0.2
Vol 17% | MDD -70.4%
Months 77M (41%)
CAGR 14.0% | Win 67%
Sharpe 0.75 | Sortino 0.94 | Calmar 0.5
Vol 20% | MDD -26.8%
Months 89M (48%)
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
RSmean
neg
CAGR -36.8% | Win 0%
Sharpe -7.62 | Sortino -7.62 | Calmar -14.5
Vol 6% | MDD -2.5%
Months 2M (1%)
CAGR 7.7% | Win 63%
Sharpe 0.42 | Sortino 0.54 | Calmar 0.4
Vol 25% | MDD -18.5%
Months 19M (10%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
MACD
only
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR -7.4% | Win 51%
Sharpe -0.37 | Sortino -0.55 | Calmar -0.1
Vol 17% | MDD -65.0%
Months 88M (47%)
CAGR 10.7% | Win 62%
Sharpe 0.58 | Sortino 0.75 | Calmar 0.4
Vol 22% | MDD -26.1%
Months 78M (42%)
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
RSmean
neg
CAGR -51.3% | Win 12%
Sharpe -2.88 | Sortino -3.80 | Calmar -1.7
Vol 23% | MDD -29.5%
Months 8M (4%)
CAGR 61.6% | Win 85%
Sharpe 3.71 | Sortino 12.38 | Calmar 24.3
Vol 13% | MDD -2.5%
Months 13M (7%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
RSI
only
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR -16.2% | Win 46%
Sharpe -0.99 | Sortino -1.34 | Calmar -0.2
Vol 16% | MDD -68.6%
Months 77M (41%)
CAGR 18.1% | Win 65%
Sharpe 0.91 | Sortino 1.18 | Calmar 0.6
Vol 21% | MDD -28.9%
Months 89M (48%)
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
RSmean
neg
CAGR 51.4% | Win 71%
Sharpe 2.84 | Sortino 11.69 | Calmar 20.3
Vol 15% | MDD -2.5%
Months 7M (4%)
CAGR -15.9% | Win 50%
Sharpe -0.53 | Sortino -0.78 | Calmar -0.7
Vol 26% | MDD -22.3%
Months 14M (8%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
MACDhist
only
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 2.8% | Win 58%
Sharpe 0.25 | Sortino 0.40 | Calmar 0.1
Vol 16% | MDD -37.5%
Months 95M (51%)
CAGR -2.0% | Win 54%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.0
Vol 23% | MDD -44.6%
Months 71M (38%)
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
RSmean
neg
CAGR 33.0% | Win 50%
Sharpe 1.39 | Sortino 3.66 | Calmar 32.0
Vol 22% | MDD -1.0%
Months 4M (2%)
CAGR -3.8% | Win 59%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.2
Vol 25% | MDD -18.7%
Months 17M (9%)
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR -5.5% | Win 53%
Sharpe -0.20 | Sortino -0.28 | Calmar -0.1
Vol 19% | MDD -73.8%
Months 120M (64%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
CAGR 0.7% | Win 56%
Sharpe 0.14 | Sortino 0.19 | Calmar 0.0
Vol 19% | MDD -52.3%
Months 166M (89%)
RSmean
neg
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
-
CAGR 2.3% | Win 57%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.1
Vol 24% | MDD -22.3%
Months 21M (11%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR -13.5% | Win 43%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -62.3%
Months 58M (31%)
CAGR -13.3% | Win 38%
Sharpe -0.73 | Sortino -1.07 | Calmar -0.4
Vol 18% | MDD -32.4%
Months 21M (11%)
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
MACD
neg
CAGR -10.3% | Win 55%
Sharpe -0.47 | Sortino -0.63 | Calmar -0.4
Vol 19% | MDD -25.1%
Months 38M (20%)
CAGR 27.8% | Win 73%
Sharpe 1.27 | Sortino 1.41 | Calmar 1.1
Vol 21% | MDD -26.1%
Months 70M (37%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
RSI
only
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR -22.6% | Win 34%
Sharpe -1.49 | Sortino -1.99 | Calmar -0.3
Vol 16% | MDD -66.5%
Months 50M (27%)
CAGR 4.9% | Win 55%
Sharpe 0.35 | Sortino 0.58 | Calmar 0.3
Vol 18% | MDD -19.0%
Months 29M (16%)
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
MACD
neg
CAGR 6.4% | Win 68%
Sharpe 0.45 | Sortino 0.62 | Calmar 0.5
Vol 17% | MDD -13.9%
Months 34M (18%)
CAGR 16.0% | Win 66%
Sharpe 0.77 | Sortino 0.94 | Calmar 0.6
Vol 23% | MDD -28.9%
Months 74M (40%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
MACDhist
only
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR -5.3% | Win 49%
Sharpe -0.27 | Sortino -0.41 | Calmar -0.1
Vol 16% | MDD -42.8%
Months 43M (23%)
CAGR -22.3% | Win 33%
Sharpe -1.25 | Sortino -1.80 | Calmar -0.5
Vol 19% | MDD -49.5%
Months 36M (19%)
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
MACD
neg
CAGR 11.5% | Win 64%
Sharpe 0.74 | Sortino 1.20 | Calmar 0.5
Vol 17% | MDD -23.0%
Months 56M (30%)
CAGR 14.3% | Win 69%
Sharpe 0.66 | Sortino 0.79 | Calmar 0.5
Vol 25% | MDD -28.4%
Months 52M (28%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR -17.6% | Win 39%
Sharpe -1.02 | Sortino -1.51 | Calmar -0.2
Vol 17% | MDD -75.0%
Months 69M (37%)
CAGR 21.3% | Win 60%
Sharpe 1.43 | Sortino 3.21 | Calmar 3.4
Vol 14% | MDD -6.3%
Months 10M (5%)
CAGR -13.4% | Win 42%
Sharpe -0.75 | Sortino -1.10 | Calmar -0.2
Vol 17% | MDD -71.1%
Months 79M (42%)
MACD
neg
CAGR 10.2% | Win 68%
Sharpe 0.57 | Sortino 0.67 | Calmar 0.3
Vol 21% | MDD -31.2%
Months 72M (38%)
CAGR 18.5% | Win 64%
Sharpe 0.90 | Sortino 1.29 | Calmar 0.8
Vol 21% | MDD -22.8%
Months 36M (19%)
CAGR 12.9% | Win 67%
Sharpe 0.68 | Sortino 0.86 | Calmar 0.5
Vol 21% | MDD -26.8%
Months 108M (58%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR -16.3% | Win 43%
Sharpe -1.04 | Sortino -1.41 | Calmar -0.3
Vol 16% | MDD -57.5%
Months 56M (30%)
CAGR -6.2% | Win 55%
Sharpe -0.20 | Sortino -0.30 | Calmar -0.2
Vol 21% | MDD -25.1%
Months 40M (21%)
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
RSI
neg
CAGR -2.6% | Win 57%
Sharpe -0.05 | Sortino -0.07 | Calmar -0.1
Vol 19% | MDD -21.0%
Months 28M (15%)
CAGR 26.7% | Win 68%
Sharpe 1.22 | Sortino 1.41 | Calmar 1.0
Vol 22% | MDD -26.1%
Months 63M (34%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
MACDhist
only
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR -2.6% | Win 54%
Sharpe -0.09 | Sortino -0.14 | Calmar -0.1
Vol 16% | MDD -50.2%
Months 76M (41%)
CAGR -41.0% | Win 25%
Sharpe -2.18 | Sortino -3.13 | Calmar -0.8
Vol 22% | MDD -52.7%
Months 20M (11%)
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
RSI
neg
CAGR 28.4% | Win 70%
Sharpe 1.51 | Sortino 2.27 | Calmar 2.4
Vol 18% | MDD -11.7%
Months 23M (12%)
CAGR 13.2% | Win 63%
Sharpe 0.68 | Sortino 0.84 | Calmar 0.5
Vol 22% | MDD -28.1%
Months 68M (36%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR -15.1% | Win 46%
Sharpe -0.77 | Sortino -1.11 | Calmar -0.2
Vol 19% | MDD -67.7%
Months 78M (42%)
CAGR 1.2% | Win 56%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.1
Vol 14% | MDD -14.0%
Months 18M (10%)
CAGR -12.2% | Win 48%
Sharpe -0.63 | Sortino -0.90 | Calmar -0.2
Vol 18% | MDD -67.1%
Months 96M (51%)
RSI
neg
CAGR 10.7% | Win 64%
Sharpe 0.60 | Sortino 0.74 | Calmar 0.4
Vol 20% | MDD -29.8%
Months 63M (34%)
CAGR 32.1% | Win 68%
Sharpe 1.36 | Sortino 1.78 | Calmar 2.0
Vol 23% | MDD -15.7%
Months 28M (15%)
CAGR 16.9% | Win 65%
Sharpe 0.85 | Sortino 1.08 | Calmar 0.6
Vol 21% | MDD -26.1%
Months 91M (49%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR -9.2% | Win 49%
Sharpe -0.53 | Sortino -0.76 | Calmar -0.2
Vol 16% | MDD -43.3%
Months 59M (32%)
CAGR -18.0% | Win 44%
Sharpe -0.94 | Sortino -1.30 | Calmar -0.5
Vol 19% | MDD -35.7%
Months 25M (13%)
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
MACDhist
neg
CAGR 26.8% | Win 70%
Sharpe 1.63 | Sortino 3.37 | Calmar 3.6
Vol 15% | MDD -7.4%
Months 40M (21%)
CAGR 4.7% | Win 59%
Sharpe 0.31 | Sortino 0.41 | Calmar 0.2
Vol 25% | MDD -30.0%
Months 63M (34%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
RSIhist
only
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR -13.3% | Win 45%
Sharpe -0.75 | Sortino -1.05 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 75M (40%)
CAGR 0.2% | Win 67%
Sharpe 0.09 | Sortino 0.12 | Calmar 0.0
Vol 16% | MDD -13.5%
Months 9M (5%)
CAGR -12.0% | Win 48%
Sharpe -0.67 | Sortino -0.94 | Calmar -0.2
Vol 17% | MDD -60.1%
Months 84M (45%)
MACDhist
neg
CAGR 6.8% | Win 64%
Sharpe 0.41 | Sortino 0.54 | Calmar 0.2
Vol 22% | MDD -39.1%
Months 66M (35%)
CAGR 24.1% | Win 62%
Sharpe 1.15 | Sortino 1.62 | Calmar 1.5
Vol 21% | MDD -15.7%
Months 37M (20%)
CAGR 12.7% | Win 63%
Sharpe 0.67 | Sortino 0.87 | Calmar 0.4
Vol 22% | MDD -28.9%
Months 103M (55%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 0.7% | Win 56%
Sharpe 0.12 | Sortino 0.19 | Calmar 0.0
Vol 16% | MDD -37.2%
Months 70M (37%)
CAGR 12.0% | Win 62%
Sharpe 0.80 | Sortino 1.41 | Calmar 1.0
Vol 16% | MDD -12.2%
Months 29M (16%)
CAGR 3.9% | Win 58%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 16% | MDD -28.1%
Months 99M (53%)
RSIhist
neg
CAGR -9.2% | Win 52%
Sharpe -0.31 | Sortino -0.42 | Calmar -0.2
Vol 22% | MDD -55.2%
Months 71M (38%)
CAGR 32.0% | Win 65%
Sharpe 1.22 | Sortino 1.48 | Calmar 2.0
Vol 26% | MDD -15.7%
Months 17M (9%)
CAGR -2.4% | Win 55%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 23% | MDD -43.4%
Months 88M (47%)
LWTI
only
CAGR -4.4% | Win 54%
Sharpe -0.13 | Sortino -0.18 | Calmar -0.1
Vol 20% | MDD -68.4%
Months 141M (75%)
CAGR 19.1% | Win 63%
Sharpe 0.98 | Sortino 1.39 | Calmar 0.8
Vol 20% | MDD -22.8%
Months 46M (25%)