EPOL - iShares MSCI Poland ETF

Signal Pair Analysis

RSmean-LWTI

Best Pair

127.7%

Best CAGR

54

Total Months

12.1%

Avg CAGR

EPOL 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 EPOL

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair LWTI RSmean neg-neg 5 2.6 127.7 100.0 6.6 0.0 0.0 12.9 0.0
pair RSmean LWTI neg-neg 5 2.6 127.7 100.0 6.6 0.0 0.0 12.9 0.0
pair RSI RSmean neg-neg 6 3.1 124.5 83.3 2.8 0.0 0.0 31.6 0.0
pair RSmean RSI neg-neg 6 3.1 124.5 83.3 2.8 0.0 0.0 31.6 0.0
pair MACDhist RSmean neg-pos 4 2.1 96.6 75.0 3.8 0.0 73.5 18.6 -1.3
pair RSmean MACDhist neg-pos 4 2.1 96.6 75.0 3.8 0.0 73.5 18.6 -1.3
pair MACDhist RSI neg-pos 11 5.8 81.1 72.7 2.4 5.9 10.4 26.8 -7.8
pair RSI MACDhist neg-pos 11 5.8 81.1 72.7 2.4 5.9 10.4 26.8 -7.8
pair MACDhist LWTI pos-neg 5 2.6 66.6 60.0 1.8 3.8 36.2 31.8 -1.8
pair LWTI MACDhist pos-neg 5 2.6 66.6 60.0 1.8 3.8 36.2 31.8 -1.8
pair RSmean MACD neg-neg 16 8.4 65.2 68.8 1.8 4.2 5.8 30.6 -11.3
pair MACD RSmean neg-neg 16 8.4 65.2 68.8 1.8 4.2 5.8 30.6 -11.3
pair MACD MACDhist neg-pos 19 9.9 63.5 63.2 2.2 6.3 8.1 24.4 -7.8
pair MACDhist MACD neg-pos 19 9.9 63.5 63.2 2.2 6.3 8.1 24.4 -7.8
pair SLmean RSmean neg-neg 15 7.9 56.2 73.3 1.6 4.0 5.0 30.3 -11.3
pair RSmean SLmean neg-neg 15 7.9 56.2 73.3 1.6 4.0 5.0 30.3 -11.3
pair MRmean RSmean neg-neg 15 7.9 56.2 73.3 1.6 4.0 5.0 30.3 -11.3
pair RSmean MRmean neg-neg 15 7.9 56.2 73.3 1.6 4.0 5.0 30.3 -11.3
pair RSmean RSIhist neg-neg 12 6.3 55.8 75.0 1.5 4.5 4.9 32.7 -11.3
pair RSIhist RSmean neg-neg 12 6.3 55.8 75.0 1.5 4.5 4.9 32.7 -11.3
single RSmean RSmean neg-neg 20 10.5 55.4 70.0 1.7 4.1 4.9 28.5 -11.3
pair RSIhist RSmean neg-pos 8 4.2 54.9 62.5 2.0 5.8 9.2 22.9 -5.9
pair RSmean RSIhist neg-pos 8 4.2 54.9 62.5 2.0 5.8 9.2 22.9 -5.9
pair MRmean RSmean pos-neg 5 2.6 53.2 60.0 1.8 4.0 9.0 25.2 -5.9
pair RSmean SLmean pos-neg 5 2.6 53.2 60.0 1.8 4.0 9.0 25.2 -5.9
pair RSmean MRmean pos-neg 5 2.6 53.2 60.0 1.8 4.0 9.0 25.2 -5.9
pair SLmean RSmean pos-neg 5 2.6 53.2 60.0 1.8 4.0 9.0 25.2 -5.9
pair RSmean MACDhist neg-neg 16 8.4 46.6 68.8 1.4 4.1 4.1 30.8 -11.3
pair MACDhist RSmean neg-neg 16 8.4 46.6 68.8 1.4 4.1 4.1 30.8 -11.3
pair RSI MRmean pos-neg 16 8.4 42.2 56.2 1.4 4.6 2.9 27.9 -14.5
pair MRmean RSI pos-neg 16 8.4 42.2 56.2 1.4 4.6 2.9 27.9 -14.5
pair RSmean LWTI neg-pos 15 7.9 36.9 60.0 1.1 3.0 3.3 31.6 -11.3
pair LWTI RSmean neg-pos 15 7.9 36.9 60.0 1.1 3.0 3.3 31.6 -11.3
pair RSmean RSI neg-pos 14 7.3 32.8 64.3 1.2 2.4 2.9 26.8 -11.3
pair RSI RSmean neg-pos 14 7.3 32.8 64.3 1.2 2.4 2.9 26.8 -11.3
pair RSIhist MACD neg-pos 40 20.9 27.0 57.5 1.1 3.1 1.1 23.5 -24.0
pair MACD RSIhist neg-pos 40 20.9 27.0 57.5 1.1 3.1 1.1 23.5 -24.0
pair RSI RSIhist neg-pos 20 10.5 25.5 65.0 1.1 2.7 1.2 24.4 -20.9
pair RSIhist RSI neg-pos 20 10.5 25.5 65.0 1.1 2.7 1.2 24.4 -20.9
pair MACD RSI neg-pos 28 14.7 21.8 53.6 0.9 1.9 0.9 27.1 -23.9
pair RSmean MACD neg-pos 4 2.1 21.8 75.0 1.1 0.0 3.7 19.0 -5.9
pair RSI MACD neg-pos 28 14.7 21.8 53.6 0.9 1.9 0.9 27.1 -23.9
pair MACD RSmean neg-pos 4 2.1 21.8 75.0 1.1 0.0 3.7 19.0 -5.9
pair MACD SLmean pos-neg 41 21.5 19.7 51.2 0.9 2.6 1.0 22.8 -19.3
pair SLmean MACD pos-neg 41 21.5 19.7 51.2 0.9 2.6 1.0 22.8 -19.3
pair SLmean MACDhist pos-pos 70 36.6 19.5 58.6 0.9 1.7 1.0 21.1 -18.9
pair MACDhist SLmean pos-pos 70 36.6 19.5 58.6 0.9 1.7 1.0 21.1 -18.9
pair MRmean MACD pos-neg 33 17.3 19.3 48.5 0.8 2.0 0.9 25.7 -20.4
pair MACD MRmean pos-neg 33 17.3 19.3 48.5 0.8 2.0 0.9 25.7 -20.4
pair MRmean MACDhist pos-pos 75 39.3 19.0 56.0 0.9 1.8 1.0 21.4 -19.5
pair MACDhist MRmean pos-pos 75 39.3 19.0 56.0 0.9 1.8 1.0 21.4 -19.5
pair MACD LWTI neg-pos 40 20.9 18.4 57.5 0.7 1.1 0.4 32.2 -42.4
pair LWTI MACD neg-pos 40 20.9 18.4 57.5 0.7 1.1 0.4 32.2 -42.4
pair MACDhist RSIhist pos-pos 70 36.6 17.7 57.1 0.9 1.6 0.9 21.2 -19.6
pair RSIhist MACDhist pos-pos 70 36.6 17.7 57.1 0.9 1.6 0.9 21.2 -19.6
single MACDhist MACDhist pos-pos 86 45.0 16.9 57.0 0.8 1.5 0.6 22.0 -27.6
pair SLmean RSI pos-neg 25 13.1 16.2 56.0 0.8 2.0 1.0 22.3 -15.9
pair RSI SLmean pos-neg 25 13.1 16.2 56.0 0.8 2.0 1.0 22.3 -15.9
pair RSIhist LWTI pos-pos 77 40.3 15.1 55.8 0.8 1.5 0.8 20.5 -19.8
pair LWTI RSIhist pos-pos 77 40.3 15.1 55.8 0.8 1.5 0.8 20.5 -19.8
pair RSIhist SLmean pos-pos 90 47.1 15.1 56.7 0.8 1.5 0.6 21.3 -25.9
pair SLmean RSIhist pos-pos 90 47.1 15.1 56.7 0.8 1.5 0.6 21.3 -25.9
pair LWTI SLmean pos-pos 75 39.3 14.9 56.0 0.8 1.4 0.7 20.3 -20.5
pair SLmean LWTI pos-pos 75 39.3 14.9 56.0 0.8 1.4 0.7 20.3 -20.5
pair MACDhist LWTI pos-pos 81 42.4 14.4 56.8 0.7 1.3 0.5 21.4 -28.9
pair LWTI MACDhist pos-pos 81 42.4 14.4 56.8 0.7 1.3 0.5 21.4 -28.9
pair RSIhist MRmean pos-pos 87 45.5 14.1 54.0 0.7 1.5 0.5 21.5 -26.8
pair MRmean RSIhist pos-pos 87 45.5 14.1 54.0 0.7 1.5 0.5 21.5 -26.8
pair MACDhist RSmean pos-pos 82 42.9 14.0 56.1 0.7 1.3 0.5 22.0 -26.7
pair RSmean MACDhist pos-pos 82 42.9 14.0 56.1 0.7 1.3 0.5 22.0 -26.7
single RSIhist RSIhist pos-pos 97 50.8 13.9 55.7 0.7 1.4 0.4 21.2 -34.4
pair MACDhist RSIhist pos-neg 16 8.4 13.6 56.2 0.6 1.1 0.6 26.1 -23.6
pair RSIhist MACDhist pos-neg 16 8.4 13.6 56.2 0.6 1.1 0.6 26.1 -23.6
pair MRmean SLmean pos-pos 90 47.1 13.1 53.3 0.7 1.4 0.4 21.3 -32.5
pair SLmean MRmean pos-pos 90 47.1 13.1 53.3 0.7 1.4 0.4 21.3 -32.5
pair MRmean RSIhist neg-pos 10 5.2 11.7 70.0 0.6 1.3 0.9 20.4 -13.1
pair RSIhist MRmean neg-pos 10 5.2 11.7 70.0 0.6 1.3 0.9 20.4 -13.1
single SLmean SLmean pos-pos 101 52.9 11.4 53.5 0.6 1.3 0.4 20.6 -30.4
pair LWTI MRmean pos-pos 81 42.4 11.0 53.1 0.6 1.1 0.4 21.6 -24.9
pair MRmean LWTI pos-pos 81 42.4 11.0 53.1 0.6 1.1 0.4 21.6 -24.9
pair RSIhist RSI pos-pos 77 40.3 11.0 53.2 0.6 1.2 0.4 20.4 -25.6
pair RSI RSIhist pos-pos 77 40.3 11.0 53.2 0.6 1.2 0.4 20.4 -25.6
pair RSIhist RSmean pos-pos 89 46.6 10.8 55.1 0.6 1.1 0.3 21.0 -37.9
pair RSmean RSIhist pos-pos 89 46.6 10.8 55.1 0.6 1.1 0.3 21.0 -37.9
pair RSI MRmean neg-pos 25 13.1 10.6 52.0 0.5 0.9 0.4 26.8 -28.6
pair MRmean RSI neg-pos 25 13.1 10.6 52.0 0.5 0.9 0.4 26.8 -28.6
pair SLmean RSI pos-pos 76 39.8 9.9 52.6 0.6 1.1 0.3 20.2 -31.0
pair RSI SLmean pos-pos 76 39.8 9.9 52.6 0.6 1.1 0.3 20.2 -31.0
single MACD MACD neg-neg 98 51.3 9.8 52.0 0.5 0.8 0.2 32.6 -44.3
single MRmean MRmean pos-pos 97 50.8 9.8 50.5 0.5 1.1 0.3 22.1 -36.3
pair RSI MACDhist pos-pos 75 39.3 9.7 54.7 0.6 0.9 0.3 20.7 -33.1
pair MACDhist RSI pos-pos 75 39.3 9.7 54.7 0.6 0.9 0.3 20.7 -33.1
pair SLmean RSmean pos-pos 96 50.3 9.6 53.1 0.6 1.1 0.3 20.4 -29.9
pair RSmean SLmean pos-pos 96 50.3 9.6 53.1 0.6 1.1 0.3 20.4 -29.9
pair RSIhist LWTI pos-neg 20 10.5 9.2 55.0 0.5 1.2 0.4 24.4 -22.1
pair LWTI RSIhist pos-neg 20 10.5 9.2 55.0 0.5 1.2 0.4 24.4 -22.1
pair LWTI RSI pos-pos 99 51.8 9.1 52.5 0.5 0.9 0.2 22.3 -38.4
pair RSI LWTI pos-pos 99 51.8 9.1 52.5 0.5 0.9 0.2 22.3 -38.4
pair MRmean RSmean pos-pos 92 48.2 7.8 50.0 0.5 0.9 0.2 22.0 -37.8
pair RSmean MRmean pos-pos 92 48.2 7.8 50.0 0.5 0.9 0.2 22.0 -37.8
single LWTI LWTI pos-pos 124 64.9 7.5 53.2 0.4 0.7 0.2 25.6 -47.6
pair LWTI RSI neg-neg 60 31.4 7.0 51.7 0.4 0.7 0.2 32.5 -41.7
pair RSI LWTI neg-neg 60 31.4 7.0 51.7 0.4 0.7 0.2 32.5 -41.7
pair MACDhist SLmean neg-pos 16 8.4 6.4 50.0 0.4 0.7 0.3 26.2 -21.6
pair SLmean MACDhist neg-pos 16 8.4 6.4 50.0 0.4 0.7 0.3 26.2 -21.6
pair MACD MACDhist pos-pos 67 35.1 6.3 55.2 0.4 0.6 0.1 20.6 -47.1
pair MACDhist MACD pos-pos 67 35.1 6.3 55.2 0.4 0.6 0.1 20.6 -47.1
pair MACD SLmean pos-pos 60 31.4 6.1 55.0 0.4 0.7 0.1 19.0 -41.9
pair SLmean MACD pos-pos 60 31.4 6.1 55.0 0.4 0.7 0.1 19.0 -41.9
single RSI RSI pos-pos 106 55.5 5.8 50.0 0.4 0.7 0.1 22.1 -50.1
pair RSIhist MACD pos-pos 57 29.8 5.5 54.4 0.4 0.6 0.1 19.4 -37.6
pair MACD RSIhist pos-pos 57 29.8 5.5 54.4 0.4 0.6 0.1 19.4 -37.6
pair benchmark___benchmark_ benchmark-benchmark 191 100.0 5.5 51.3 0.3 0.6 0.1 27.7 -63.5
pair benchmark___benchmark_ benchmark-benchmark 191 100.0 5.5 51.3 0.3 0.6 0.1 27.7 -63.5
pair MACD RSI neg-neg 70 36.6 5.3 51.4 0.3 0.6 0.1 34.6 -43.9
pair RSI MACD neg-neg 70 36.6 5.3 51.4 0.3 0.6 0.1 34.6 -43.9
single RSI RSI neg-neg 85 44.5 5.2 52.9 0.3 0.6 0.1 33.6 -43.3
pair MACD MRmean neg-neg 65 34.0 5.2 53.8 0.3 0.6 0.1 35.7 -41.9
pair MRmean MACD neg-neg 65 34.0 5.2 53.8 0.3 0.6 0.1 35.7 -41.9
pair MRmean MACD pos-pos 64 33.5 5.1 51.6 0.3 0.6 0.1 20.1 -44.8
pair MACD MRmean pos-pos 64 33.5 5.1 51.6 0.3 0.6 0.1 20.1 -44.8
pair RSI MACD pos-neg 15 7.9 4.7 60.0 0.3 0.5 0.2 29.3 -18.6
pair MACD RSI pos-neg 15 7.9 4.7 60.0 0.3 0.5 0.2 29.3 -18.6
pair MACDhist RSIhist neg-pos 27 14.1 4.5 51.9 0.3 0.9 0.1 21.6 -30.3
pair RSIhist MACDhist neg-pos 27 14.1 4.5 51.9 0.3 0.9 0.1 21.6 -30.3
pair MRmean RSI pos-pos 81 42.4 4.3 49.4 0.3 0.6 0.1 20.7 -34.2
pair RSI MRmean pos-pos 81 42.4 4.3 49.4 0.3 0.6 0.1 20.7 -34.2
pair MACD LWTI neg-neg 58 30.4 4.2 48.3 0.3 0.5 0.1 33.0 -47.2
pair LWTI MACD neg-neg 58 30.4 4.2 48.3 0.3 0.5 0.1 33.0 -47.2
pair RSmean LWTI pos-pos 109 57.1 4.0 52.3 0.3 0.4 0.1 24.7 -42.9
pair LWTI RSmean pos-pos 109 57.1 4.0 52.3 0.3 0.4 0.1 24.7 -42.9
pair MRmean MACDhist neg-pos 11 5.8 3.7 63.6 0.3 0.4 0.2 26.6 -18.2
pair MACDhist MRmean neg-pos 11 5.8 3.7 63.6 0.3 0.4 0.2 26.6 -18.2
pair MRmean LWTI pos-neg 16 8.4 3.7 37.5 0.3 0.8 0.2 25.5 -22.4
pair LWTI MRmean pos-neg 16 8.4 3.7 37.5 0.3 0.8 0.2 25.5 -22.4
pair SLmean MACD neg-neg 57 29.8 3.2 52.6 0.3 0.5 0.1 38.2 -46.7
pair MACD SLmean neg-neg 57 29.8 3.2 52.6 0.3 0.5 0.1 38.2 -46.7
pair LWTI MACD pos-pos 84 44.0 2.6 51.2 0.2 0.4 0.1 21.9 -54.6
pair MACD LWTI pos-pos 84 44.0 2.6 51.2 0.2 0.4 0.1 21.9 -54.6
pair RSmean RSI pos-pos 92 48.2 2.2 47.8 0.2 0.4 0.0 21.3 -49.2
pair RSI RSmean pos-pos 92 48.2 2.2 47.8 0.2 0.4 0.0 21.3 -49.2
pair LWTI SLmean neg-neg 41 21.5 2.1 48.8 0.2 0.4 0.1 36.6 -39.2
pair SLmean LWTI neg-neg 41 21.5 2.1 48.8 0.2 0.4 0.1 36.6 -39.2
single LWTI LWTI neg-neg 67 35.1 2.0 47.8 0.2 0.4 0.0 31.5 -49.9
pair SLmean LWTI pos-neg 26 13.6 1.8 46.2 0.2 0.5 0.1 21.6 -23.1
pair LWTI SLmean pos-neg 26 13.6 1.8 46.2 0.2 0.5 0.1 21.6 -23.1
pair MRmean SLmean neg-neg 83 43.5 1.7 51.8 0.2 0.4 0.0 34.4 -57.4
pair SLmean MRmean neg-neg 83 43.5 1.7 51.8 0.2 0.4 0.0 34.4 -57.4
pair LWTI MRmean neg-neg 51 26.7 1.5 51.0 0.2 0.3 0.0 33.3 -42.3
pair MRmean LWTI neg-neg 51 26.7 1.5 51.0 0.2 0.3 0.0 33.3 -42.3
pair MACD RSmean pos-neg 82 42.9 1.4 48.8 0.2 0.3 0.0 32.6 -44.8
pair RSmean MACD pos-neg 82 42.9 1.4 48.8 0.2 0.3 0.0 32.6 -44.8
single MRmean MRmean neg-neg 94 49.2 1.3 52.1 0.2 0.3 0.0 32.7 -58.1
single MACD MACD pos-pos 93 48.7 1.2 50.5 0.2 0.3 0.0 21.6 -58.1
pair LWTI MRmean neg-pos 43 22.5 1.1 53.5 0.2 0.3 0.0 32.2 -41.0
pair MRmean LWTI neg-pos 43 22.5 1.1 53.5 0.2 0.3 0.0 32.2 -41.0
pair LWTI RSI neg-pos 25 13.1 1.1 56.0 0.2 0.3 0.0 36.7 -25.4
pair RSI LWTI neg-pos 25 13.1 1.1 56.0 0.2 0.3 0.0 36.7 -25.4
pair RSI SLmean neg-neg 60 31.4 1.0 51.7 0.2 0.4 0.0 37.4 -46.0
pair SLmean RSI neg-neg 60 31.4 1.0 51.7 0.2 0.4 0.0 37.4 -46.0
pair MACDhist MRmean neg-neg 83 43.5 1.0 50.6 0.2 0.3 0.0 33.5 -55.7
pair MRmean MACDhist neg-neg 83 43.5 1.0 50.6 0.2 0.3 0.0 33.5 -55.7
single RSmean RSmean pos-pos 171 89.5 0.9 49.1 0.2 0.3 0.0 27.4 -71.8
pair MACD RSI pos-pos 78 40.8 0.5 48.7 0.1 0.2 0.0 20.0 -58.2
pair RSI MACD pos-pos 78 40.8 0.5 48.7 0.1 0.2 0.0 20.0 -58.2
pair RSmean MACD pos-pos 89 46.6 0.4 49.4 0.1 0.2 0.0 21.8 -58.5
pair MACD RSmean pos-pos 89 46.6 0.4 49.4 0.1 0.2 0.0 21.8 -58.5
pair RSIhist MRmean neg-neg 84 44.0 0.1 50.0 0.2 0.3 0.0 33.9 -57.2
pair MRmean RSIhist neg-neg 84 44.0 0.1 50.0 0.2 0.3 0.0 33.9 -57.2
pair MACDhist MACD neg-neg 79 41.4 -0.2 49.4 0.2 0.3 -0.0 33.8 -57.5
pair MACD MACDhist neg-neg 79 41.4 -0.2 49.4 0.2 0.3 -0.0 33.8 -57.5
pair RSIhist RSI neg-neg 65 34.0 -0.3 49.2 0.2 0.3 -0.0 36.0 -50.4
pair RSI RSIhist neg-neg 65 34.0 -0.3 49.2 0.2 0.3 -0.0 36.0 -50.4
pair SLmean RSIhist neg-neg 83 43.5 -0.6 49.4 0.1 0.3 -0.0 35.0 -60.3
pair RSIhist SLmean neg-neg 83 43.5 -0.6 49.4 0.1 0.3 -0.0 35.0 -60.3
pair RSmean RSI pos-neg 79 41.4 -0.7 50.6 0.1 0.2 -0.0 33.3 -57.4
pair RSI RSmean pos-neg 79 41.4 -0.7 50.6 0.1 0.2 -0.0 33.3 -57.4
single SLmean SLmean neg-neg 90 47.1 -0.7 48.9 0.1 0.3 -0.0 34.1 -65.9
pair MACD RSIhist neg-neg 58 30.4 -0.7 48.3 0.2 0.3 -0.0 37.6 -48.7
pair RSIhist MACD neg-neg 58 30.4 -0.7 48.3 0.2 0.3 -0.0 37.6 -48.7
pair RSIhist LWTI neg-neg 47 24.6 -0.9 44.7 0.1 0.2 -0.0 34.3 -43.3
pair LWTI RSIhist neg-neg 47 24.6 -0.9 44.7 0.1 0.2 -0.0 34.3 -43.3
pair RSIhist SLmean neg-pos 7 3.7 -1.3 42.9 0.0 0.1 -0.1 21.8 -16.1
pair SLmean RSIhist neg-pos 7 3.7 -1.3 42.9 0.0 0.1 -0.1 21.8 -16.1
pair SLmean MRmean neg-pos 11 5.8 -1.8 54.5 -0.1 -0.1 -0.1 13.8 -13.3
pair MRmean SLmean neg-pos 11 5.8 -1.8 54.5 -0.1 -0.1 -0.1 13.8 -13.3
pair RSI MRmean neg-neg 69 36.1 -1.9 52.2 0.1 0.2 -0.0 34.7 -43.9
pair MRmean RSI neg-neg 69 36.1 -1.9 52.2 0.1 0.2 -0.0 34.7 -43.9
pair LWTI MACDhist neg-neg 62 32.5 -1.9 46.8 0.1 0.2 -0.0 31.4 -54.7
pair MACDhist LWTI neg-neg 62 32.5 -1.9 46.8 0.1 0.2 -0.0 31.4 -54.7
pair MACDhist SLmean neg-neg 74 38.7 -2.2 48.6 0.1 0.2 -0.0 35.7 -63.8
pair SLmean MACDhist neg-neg 74 38.7 -2.2 48.6 0.1 0.2 -0.0 35.7 -63.8
single RSIhist RSIhist neg-neg 94 49.2 -2.4 46.8 0.1 0.1 -0.0 33.2 -67.6
pair RSI MACDhist neg-neg 74 38.7 -2.9 50.0 0.1 0.1 -0.1 34.0 -53.2
pair MACDhist RSI neg-neg 74 38.7 -2.9 50.0 0.1 0.1 -0.1 34.0 -53.2
pair SLmean LWTI neg-pos 49 25.7 -3.0 49.0 0.1 0.1 -0.1 32.2 -55.6
pair LWTI SLmean neg-pos 49 25.7 -3.0 49.0 0.1 0.1 -0.1 32.2 -55.6
single MACDhist MACDhist neg-neg 105 55.0 -3.0 46.7 0.1 0.1 -0.0 31.6 -72.1
pair RSI MACDhist pos-neg 31 16.2 -3.1 38.7 -0.0 -0.0 -0.1 25.4 -45.1
pair MACDhist RSI pos-neg 31 16.2 -3.1 38.7 -0.0 -0.0 -0.1 25.4 -45.1
pair RSI SLmean neg-pos 30 15.7 -4.0 43.3 -0.0 -0.0 -0.1 26.7 -42.3
pair SLmean RSI neg-pos 30 15.7 -4.0 43.3 -0.0 -0.0 -0.1 26.7 -42.3
pair RSIhist LWTI neg-pos 47 24.6 -4.0 48.9 0.0 0.1 -0.1 32.4 -53.0
pair LWTI RSIhist neg-pos 47 24.6 -4.0 48.9 0.0 0.1 -0.1 32.4 -53.0
pair LWTI RSmean pos-neg 62 32.5 -4.4 43.5 0.0 0.0 -0.1 31.9 -63.2
pair RSmean LWTI pos-neg 62 32.5 -4.4 43.5 0.0 0.0 -0.1 31.9 -63.2
pair LWTI MACDhist neg-pos 43 22.5 -4.5 46.5 0.0 0.0 -0.1 32.3 -54.9
pair MACDhist LWTI neg-pos 43 22.5 -4.5 46.5 0.0 0.0 -0.1 32.3 -54.9
pair SLmean MACDhist pos-neg 31 16.2 -4.9 41.9 -0.2 -0.5 -0.1 19.0 -35.6
pair MACDhist SLmean pos-neg 31 16.2 -4.9 41.9 -0.2 -0.5 -0.1 19.0 -35.6
pair RSIhist MACD pos-neg 36 18.8 -5.2 44.4 -0.1 -0.1 -0.1 24.9 -44.2
pair MACD RSIhist pos-neg 36 18.8 -5.2 44.4 -0.1 -0.1 -0.1 24.9 -44.2
pair RSIhist MACDhist neg-neg 78 40.8 -5.4 44.9 0.0 0.0 -0.1 34.5 -66.8
pair MACDhist RSIhist neg-neg 78 40.8 -5.4 44.9 0.0 0.0 -0.1 34.5 -66.8
pair MRmean RSmean neg-pos 79 41.4 -6.7 48.1 -0.1 -0.1 -0.1 32.7 -63.8
pair RSmean MRmean neg-pos 79 41.4 -6.7 48.1 -0.1 -0.1 -0.1 32.7 -63.8
pair RSIhist RSI pos-neg 29 15.2 -7.0 41.4 -0.1 -0.3 -0.2 26.2 -41.3
pair RSI RSIhist pos-neg 29 15.2 -7.0 41.4 -0.1 -0.3 -0.2 26.2 -41.3
pair MACD MRmean neg-pos 29 15.2 -7.0 48.3 -0.2 -0.2 -0.2 24.9 -36.6
pair MRmean MACD neg-pos 29 15.2 -7.0 48.3 -0.2 -0.2 -0.2 24.9 -36.6
pair SLmean MACD neg-pos 33 17.3 -7.1 42.4 -0.2 -0.3 -0.2 25.8 -40.9
pair MACD SLmean neg-pos 33 17.3 -7.1 42.4 -0.2 -0.3 -0.2 25.8 -40.9
pair RSmean RSIhist pos-neg 82 42.9 -8.9 42.7 -0.1 -0.2 -0.1 33.0 -69.7
pair RSIhist RSmean pos-neg 82 42.9 -8.9 42.7 -0.1 -0.2 -0.1 33.0 -69.7
pair SLmean RSmean neg-pos 75 39.3 -9.3 44.0 -0.1 -0.2 -0.1 34.4 -66.8
pair RSmean SLmean neg-pos 75 39.3 -9.3 44.0 -0.1 -0.2 -0.1 34.4 -66.8
pair RSmean MACDhist pos-neg 89 46.6 -9.9 42.7 -0.2 -0.3 -0.1 31.5 -73.0
pair MACDhist RSmean pos-neg 89 46.6 -9.9 42.7 -0.2 -0.3 -0.1 31.5 -73.0
pair MACDhist MACD pos-neg 26 13.6 -10.9 38.5 -0.4 -0.6 -0.3 24.1 -33.2
pair MACD MACDhist pos-neg 26 13.6 -10.9 38.5 -0.4 -0.6 -0.3 24.1 -33.2
pair MACD LWTI pos-neg 9 4.7 -11.2 44.4 -0.5 -1.0 -1.1 19.3 -10.0
pair LWTI MACD pos-neg 9 4.7 -11.2 44.4 -0.5 -1.0 -1.1 19.3 -10.0
pair RSIhist SLmean pos-neg 11 5.8 -15.1 27.3 -1.4 -3.1 -0.7 11.5 -21.3
pair SLmean RSIhist pos-neg 11 5.8 -15.1 27.3 -1.4 -3.1 -0.7 11.5 -21.3
pair MRmean MACDhist pos-neg 22 11.5 -16.7 31.8 -0.7 -1.7 -0.4 23.1 -40.3
pair MACDhist MRmean pos-neg 22 11.5 -16.7 31.8 -0.7 -1.7 -0.4 23.1 -40.3
pair RSIhist MRmean pos-neg 10 5.2 -21.7 20.0 -0.8 -1.7 -0.9 26.7 -23.4
pair MRmean RSIhist pos-neg 10 5.2 -21.7 20.0 -0.8 -1.7 -0.9 26.7 -23.4
pair SLmean MRmean pos-neg 7 3.7 -25.5 14.3 -0.8 -1.7 -1.5 30.9 -16.6
pair MRmean SLmean pos-neg 7 3.7 -25.5 14.3 -0.8 -1.7 -1.5 30.9 -16.6
pair LWTI RSI pos-neg 7 3.7 -32.2 14.3 -2.2 -3.5 -1.7 16.6 -19.1
pair RSI LWTI pos-neg 7 3.7 -32.2 14.3 -2.2 -3.5 -1.7 16.6 -19.1

All Contingency Tables for EPOL

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 13.1% | Win 53%
Sharpe 0.69 | Sortino 1.42 | Calmar 0.4
Vol 21% | MDD -32.5%
Months 90M (47%)
CAGR -25.5% | Win 14%
Sharpe -0.81 | Sortino -1.67 | Calmar -1.5
Vol 31% | MDD -16.6%
Months 7M (4%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR -1.8% | Win 55%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 14% | MDD -13.3%
Months 11M (6%)
CAGR 1.7% | Win 52%
Sharpe 0.22 | Sortino 0.38 | Calmar 0.0
Vol 34% | MDD -57.4%
Months 83M (44%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
SLmean
only
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 7.8% | Win 50%
Sharpe 0.45 | Sortino 0.91 | Calmar 0.2
Vol 22% | MDD -37.8%
Months 92M (48%)
CAGR 53.2% | Win 60%
Sharpe 1.82 | Sortino 4.05 | Calmar 9.0
Vol 25% | MDD -5.9%
Months 5M (3%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR -6.7% | Win 48%
Sharpe -0.05 | Sortino -0.08 | Calmar -0.1
Vol 33% | MDD -63.8%
Months 79M (41%)
CAGR 56.2% | Win 73%
Sharpe 1.63 | Sortino 4.05 | Calmar 5.0
Vol 30% | MDD -11.3%
Months 15M (8%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
RSmean
only
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.1% | Win 52%
Sharpe 0.35 | Sortino 0.63 | Calmar 0.1
Vol 20% | MDD -44.8%
Months 64M (34%)
CAGR 19.3% | Win 48%
Sharpe 0.81 | Sortino 1.99 | Calmar 0.9
Vol 26% | MDD -20.4%
Months 33M (17%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR -7.0% | Win 48%
Sharpe -0.17 | Sortino -0.24 | Calmar -0.2
Vol 25% | MDD -36.6%
Months 29M (15%)
CAGR 5.2% | Win 54%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 36% | MDD -41.9%
Months 65M (34%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
MACD
only
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 4.3% | Win 49%
Sharpe 0.31 | Sortino 0.56 | Calmar 0.1
Vol 21% | MDD -34.2%
Months 81M (42%)
CAGR 42.2% | Win 56%
Sharpe 1.41 | Sortino 4.58 | Calmar 2.9
Vol 28% | MDD -14.5%
Months 16M (8%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR 10.6% | Win 52%
Sharpe 0.50 | Sortino 0.89 | Calmar 0.4
Vol 27% | MDD -28.6%
Months 25M (13%)
CAGR -1.9% | Win 52%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 35% | MDD -43.9%
Months 69M (36%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
RSI
only
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 19.0% | Win 56%
Sharpe 0.92 | Sortino 1.77 | Calmar 1.0
Vol 21% | MDD -19.5%
Months 75M (39%)
CAGR -16.7% | Win 32%
Sharpe -0.67 | Sortino -1.66 | Calmar -0.4
Vol 23% | MDD -40.3%
Months 22M (12%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR 3.7% | Win 64%
Sharpe 0.26 | Sortino 0.40 | Calmar 0.2
Vol 27% | MDD -18.2%
Months 11M (6%)
CAGR 1.0% | Win 51%
Sharpe 0.20 | Sortino 0.32 | Calmar 0.0
Vol 34% | MDD -55.7%
Months 83M (44%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
MACDhist
only
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 14.1% | Win 54%
Sharpe 0.72 | Sortino 1.46 | Calmar 0.5
Vol 22% | MDD -26.8%
Months 87M (46%)
CAGR -21.7% | Win 20%
Sharpe -0.79 | Sortino -1.70 | Calmar -0.9
Vol 27% | MDD -23.4%
Months 10M (5%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR 11.7% | Win 70%
Sharpe 0.64 | Sortino 1.31 | Calmar 0.9
Vol 20% | MDD -13.1%
Months 10M (5%)
CAGR 0.1% | Win 50%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 34% | MDD -57.2%
Months 84M (44%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.0% | Win 53%
Sharpe 0.59 | Sortino 1.11 | Calmar 0.4
Vol 22% | MDD -24.9%
Months 81M (42%)
CAGR 3.7% | Win 38%
Sharpe 0.26 | Sortino 0.84 | Calmar 0.2
Vol 26% | MDD -22.4%
Months 16M (8%)
CAGR 9.8% | Win 50%
Sharpe 0.53 | Sortino 1.09 | Calmar 0.3
Vol 22% | MDD -36.3%
Months 97M (51%)
MRmean
neg
CAGR 1.1% | Win 54%
Sharpe 0.19 | Sortino 0.31 | Calmar 0.0
Vol 32% | MDD -41.0%
Months 43M (22%)
CAGR 1.5% | Win 51%
Sharpe 0.21 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -42.3%
Months 51M (27%)
CAGR 1.3% | Win 52%
Sharpe 0.20 | Sortino 0.33 | Calmar 0.0
Vol 33% | MDD -58.1%
Months 94M (49%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 9.6% | Win 53%
Sharpe 0.55 | Sortino 1.09 | Calmar 0.3
Vol 20% | MDD -29.9%
Months 96M (50%)
CAGR 53.2% | Win 60%
Sharpe 1.82 | Sortino 4.05 | Calmar 9.0
Vol 25% | MDD -5.9%
Months 5M (3%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR -9.3% | Win 44%
Sharpe -0.11 | Sortino -0.19 | Calmar -0.1
Vol 34% | MDD -66.8%
Months 75M (39%)
CAGR 56.2% | Win 73%
Sharpe 1.63 | Sortino 4.05 | Calmar 5.0
Vol 30% | MDD -11.3%
Months 15M (8%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
RSmean
only
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.1% | Win 55%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.1
Vol 19% | MDD -41.9%
Months 60M (31%)
CAGR 19.7% | Win 51%
Sharpe 0.90 | Sortino 2.62 | Calmar 1.0
Vol 23% | MDD -19.3%
Months 41M (22%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR -7.1% | Win 42%
Sharpe -0.16 | Sortino -0.26 | Calmar -0.2
Vol 26% | MDD -40.9%
Months 33M (17%)
CAGR 3.2% | Win 53%
Sharpe 0.27 | Sortino 0.48 | Calmar 0.1
Vol 38% | MDD -46.7%
Months 57M (30%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
MACD
only
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.9% | Win 53%
Sharpe 0.57 | Sortino 1.07 | Calmar 0.3
Vol 20% | MDD -31.0%
Months 76M (40%)
CAGR 16.2% | Win 56%
Sharpe 0.78 | Sortino 1.99 | Calmar 1.0
Vol 22% | MDD -15.9%
Months 25M (13%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR -4.0% | Win 43%
Sharpe -0.02 | Sortino -0.04 | Calmar -0.1
Vol 27% | MDD -42.3%
Months 30M (16%)
CAGR 1.0% | Win 52%
Sharpe 0.21 | Sortino 0.37 | Calmar 0.0
Vol 37% | MDD -46.0%
Months 60M (31%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
RSI
only
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 19.5% | Win 59%
Sharpe 0.95 | Sortino 1.70 | Calmar 1.0
Vol 21% | MDD -18.9%
Months 70M (37%)
CAGR -4.9% | Win 42%
Sharpe -0.18 | Sortino -0.47 | Calmar -0.1
Vol 19% | MDD -35.6%
Months 31M (16%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR 6.4% | Win 50%
Sharpe 0.36 | Sortino 0.65 | Calmar 0.3
Vol 26% | MDD -21.6%
Months 16M (8%)
CAGR -2.2% | Win 49%
Sharpe 0.12 | Sortino 0.20 | Calmar -0.0
Vol 36% | MDD -63.8%
Months 74M (39%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
MACDhist
only
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 15.1% | Win 57%
Sharpe 0.77 | Sortino 1.52 | Calmar 0.6
Vol 21% | MDD -25.9%
Months 90M (47%)
CAGR -15.1% | Win 27%
Sharpe -1.35 | Sortino -3.09 | Calmar -0.7
Vol 12% | MDD -21.3%
Months 11M (6%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR -1.3% | Win 43%
Sharpe 0.03 | Sortino 0.07 | Calmar -0.1
Vol 22% | MDD -16.1%
Months 7M (4%)
CAGR -0.6% | Win 49%
Sharpe 0.15 | Sortino 0.27 | Calmar -0.0
Vol 35% | MDD -60.3%
Months 83M (44%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 14.9% | Win 56%
Sharpe 0.79 | Sortino 1.45 | Calmar 0.7
Vol 20% | MDD -20.5%
Months 75M (39%)
CAGR 1.8% | Win 46%
Sharpe 0.19 | Sortino 0.49 | Calmar 0.1
Vol 22% | MDD -23.1%
Months 26M (14%)
CAGR 11.4% | Win 54%
Sharpe 0.63 | Sortino 1.27 | Calmar 0.4
Vol 21% | MDD -30.4%
Months 101M (53%)
SLmean
neg
CAGR -3.0% | Win 49%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.1
Vol 32% | MDD -55.6%
Months 49M (26%)
CAGR 2.1% | Win 49%
Sharpe 0.23 | Sortino 0.41 | Calmar 0.1
Vol 37% | MDD -39.2%
Months 41M (22%)
CAGR -0.7% | Win 49%
Sharpe 0.15 | Sortino 0.26 | Calmar -0.0
Vol 34% | MDD -65.9%
Months 90M (47%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 0.4% | Win 49%
Sharpe 0.12 | Sortino 0.20 | Calmar 0.0
Vol 22% | MDD -58.5%
Months 89M (47%)
CAGR 1.4% | Win 49%
Sharpe 0.20 | Sortino 0.35 | Calmar 0.0
Vol 33% | MDD -44.8%
Months 82M (43%)
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
RSmean
neg
CAGR 21.8% | Win 75%
Sharpe 1.12 | Sortino 0.00 | Calmar 3.7
Vol 19% | MDD -5.9%
Months 4M (2%)
CAGR 65.2% | Win 69%
Sharpe 1.81 | Sortino 4.17 | Calmar 5.8
Vol 31% | MDD -11.3%
Months 16M (8%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
MACD
only
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 2.2% | Win 48%
Sharpe 0.21 | Sortino 0.36 | Calmar 0.0
Vol 21% | MDD -49.2%
Months 92M (48%)
CAGR -0.7% | Win 51%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 33% | MDD -57.4%
Months 79M (41%)
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
RSmean
neg
CAGR 32.8% | Win 64%
Sharpe 1.19 | Sortino 2.42 | Calmar 2.9
Vol 27% | MDD -11.3%
Months 14M (7%)
CAGR 124.5% | Win 83%
Sharpe 2.77 | Sortino 0.00 | Calmar 0.0
Vol 32% | MDD 0.0%
Months 6M (3%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
RSI
only
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 14.0% | Win 56%
Sharpe 0.71 | Sortino 1.26 | Calmar 0.5
Vol 22% | MDD -26.7%
Months 82M (43%)
CAGR -9.9% | Win 43%
Sharpe -0.17 | Sortino -0.29 | Calmar -0.1
Vol 32% | MDD -73.0%
Months 89M (47%)
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
RSmean
neg
CAGR 96.6% | Win 75%
Sharpe 3.81 | Sortino 0.00 | Calmar 73.5
Vol 19% | MDD -1.3%
Months 4M (2%)
CAGR 46.6% | Win 69%
Sharpe 1.40 | Sortino 4.06 | Calmar 4.1
Vol 31% | MDD -11.3%
Months 16M (8%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
MACDhist
only
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 55%
Sharpe 0.59 | Sortino 1.15 | Calmar 0.3
Vol 21% | MDD -37.9%
Months 89M (47%)
CAGR -8.9% | Win 43%
Sharpe -0.12 | Sortino -0.20 | Calmar -0.1
Vol 33% | MDD -69.7%
Months 82M (43%)
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
RSmean
neg
CAGR 54.9% | Win 62%
Sharpe 2.04 | Sortino 5.78 | Calmar 9.2
Vol 23% | MDD -5.9%
Months 8M (4%)
CAGR 55.8% | Win 75%
Sharpe 1.52 | Sortino 4.45 | Calmar 4.9
Vol 33% | MDD -11.3%
Months 12M (6%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 4.0% | Win 52%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -42.9%
Months 109M (57%)
CAGR -4.4% | Win 44%
Sharpe 0.01 | Sortino 0.03 | Calmar -0.1
Vol 32% | MDD -63.2%
Months 62M (32%)
CAGR 0.9% | Win 49%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -71.8%
Months 171M (90%)
RSmean
neg
CAGR 36.9% | Win 60%
Sharpe 1.15 | Sortino 3.04 | Calmar 3.3
Vol 32% | MDD -11.3%
Months 15M (8%)
CAGR 127.7% | Win 100%
Sharpe 6.63 | Sortino 0.00 | Calmar 0.0
Vol 13% | MDD 0.0%
Months 5M (3%)
CAGR 55.4% | Win 70%
Sharpe 1.71 | Sortino 4.08 | Calmar 4.9
Vol 28% | MDD -11.3%
Months 20M (10%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 0.5% | Win 49%
Sharpe 0.13 | Sortino 0.21 | Calmar 0.0
Vol 20% | MDD -58.2%
Months 78M (41%)
CAGR 4.7% | Win 60%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.3
Vol 29% | MDD -18.6%
Months 15M (8%)
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
MACD
neg
CAGR 21.8% | Win 54%
Sharpe 0.86 | Sortino 1.85 | Calmar 0.9
Vol 27% | MDD -23.9%
Months 28M (15%)
CAGR 5.3% | Win 51%
Sharpe 0.32 | Sortino 0.56 | Calmar 0.1
Vol 35% | MDD -43.9%
Months 70M (37%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
RSI
only
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 6.3% | Win 55%
Sharpe 0.40 | Sortino 0.64 | Calmar 0.1
Vol 21% | MDD -47.1%
Months 67M (35%)
CAGR -10.9% | Win 38%
Sharpe -0.36 | Sortino -0.60 | Calmar -0.3
Vol 24% | MDD -33.2%
Months 26M (14%)
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
MACD
neg
CAGR 63.5% | Win 63%
Sharpe 2.17 | Sortino 6.27 | Calmar 8.1
Vol 24% | MDD -7.8%
Months 19M (10%)
CAGR -0.2% | Win 49%
Sharpe 0.16 | Sortino 0.28 | Calmar -0.0
Vol 34% | MDD -57.5%
Months 79M (41%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
MACDhist
only
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 54%
Sharpe 0.37 | Sortino 0.61 | Calmar 0.1
Vol 19% | MDD -37.6%
Months 57M (30%)
CAGR -5.2% | Win 44%
Sharpe -0.09 | Sortino -0.15 | Calmar -0.1
Vol 25% | MDD -44.2%
Months 36M (19%)
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
MACD
neg
CAGR 27.0% | Win 57%
Sharpe 1.14 | Sortino 3.07 | Calmar 1.1
Vol 24% | MDD -24.0%
Months 40M (21%)
CAGR -0.7% | Win 48%
Sharpe 0.17 | Sortino 0.29 | Calmar -0.0
Vol 38% | MDD -48.7%
Months 58M (30%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 2.6% | Win 51%
Sharpe 0.23 | Sortino 0.36 | Calmar 0.0
Vol 22% | MDD -54.6%
Months 84M (44%)
CAGR -11.2% | Win 44%
Sharpe -0.53 | Sortino -0.96 | Calmar -1.1
Vol 19% | MDD -10.0%
Months 9M (5%)
CAGR 1.2% | Win 50%
Sharpe 0.16 | Sortino 0.26 | Calmar 0.0
Vol 22% | MDD -58.1%
Months 93M (49%)
MACD
neg
CAGR 18.4% | Win 57%
Sharpe 0.69 | Sortino 1.15 | Calmar 0.4
Vol 32% | MDD -42.4%
Months 40M (21%)
CAGR 4.2% | Win 48%
Sharpe 0.29 | Sortino 0.52 | Calmar 0.1
Vol 33% | MDD -47.2%
Months 58M (30%)
CAGR 9.8% | Win 52%
Sharpe 0.45 | Sortino 0.79 | Calmar 0.2
Vol 33% | MDD -44.3%
Months 98M (51%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.7% | Win 55%
Sharpe 0.55 | Sortino 0.91 | Calmar 0.3
Vol 21% | MDD -33.1%
Months 75M (39%)
CAGR -3.1% | Win 39%
Sharpe -0.01 | Sortino -0.01 | Calmar -0.1
Vol 25% | MDD -45.1%
Months 31M (16%)
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
RSI
neg
CAGR 81.1% | Win 73%
Sharpe 2.39 | Sortino 5.87 | Calmar 10.4
Vol 27% | MDD -7.8%
Months 11M (6%)
CAGR -2.9% | Win 50%
Sharpe 0.08 | Sortino 0.14 | Calmar -0.1
Vol 34% | MDD -53.2%
Months 74M (39%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
MACDhist
only
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.0% | Win 53%
Sharpe 0.61 | Sortino 1.18 | Calmar 0.4
Vol 20% | MDD -25.6%
Months 77M (40%)
CAGR -7.0% | Win 41%
Sharpe -0.15 | Sortino -0.27 | Calmar -0.2
Vol 26% | MDD -41.3%
Months 29M (15%)
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
RSI
neg
CAGR 25.5% | Win 65%
Sharpe 1.05 | Sortino 2.73 | Calmar 1.2
Vol 24% | MDD -20.9%
Months 20M (10%)
CAGR -0.3% | Win 49%
Sharpe 0.17 | Sortino 0.29 | Calmar -0.0
Vol 36% | MDD -50.4%
Months 65M (34%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 9.1% | Win 52%
Sharpe 0.50 | Sortino 0.90 | Calmar 0.2
Vol 22% | MDD -38.4%
Months 99M (52%)
CAGR -32.2% | Win 14%
Sharpe -2.24 | Sortino -3.48 | Calmar -1.7
Vol 17% | MDD -19.1%
Months 7M (4%)
CAGR 5.8% | Win 50%
Sharpe 0.36 | Sortino 0.66 | Calmar 0.1
Vol 22% | MDD -50.1%
Months 106M (56%)
RSI
neg
CAGR 1.1% | Win 56%
Sharpe 0.21 | Sortino 0.35 | Calmar 0.0
Vol 37% | MDD -25.4%
Months 25M (13%)
CAGR 7.0% | Win 52%
Sharpe 0.37 | Sortino 0.65 | Calmar 0.2
Vol 32% | MDD -41.7%
Months 60M (31%)
CAGR 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.55 | Calmar 0.1
Vol 34% | MDD -43.3%
Months 85M (44%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 17.7% | Win 57%
Sharpe 0.88 | Sortino 1.59 | Calmar 0.9
Vol 21% | MDD -19.6%
Months 70M (37%)
CAGR 13.6% | Win 56%
Sharpe 0.61 | Sortino 1.06 | Calmar 0.6
Vol 26% | MDD -23.6%
Months 16M (8%)
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
MACDhist
neg
CAGR 4.5% | Win 52%
Sharpe 0.31 | Sortino 0.93 | Calmar 0.1
Vol 22% | MDD -30.3%
Months 27M (14%)
CAGR -5.4% | Win 45%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 34% | MDD -66.8%
Months 78M (41%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
RSIhist
only
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.4% | Win 57%
Sharpe 0.74 | Sortino 1.27 | Calmar 0.5
Vol 21% | MDD -28.9%
Months 81M (42%)
CAGR 66.6% | Win 60%
Sharpe 1.76 | Sortino 3.84 | Calmar 36.2
Vol 32% | MDD -1.8%
Months 5M (3%)
CAGR 16.9% | Win 57%
Sharpe 0.82 | Sortino 1.48 | Calmar 0.6
Vol 22% | MDD -27.6%
Months 86M (45%)
MACDhist
neg
CAGR -4.5% | Win 46%
Sharpe 0.02 | Sortino 0.03 | Calmar -0.1
Vol 32% | MDD -54.9%
Months 43M (22%)
CAGR -1.9% | Win 47%
Sharpe 0.09 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -54.7%
Months 62M (32%)
CAGR -3.0% | Win 47%
Sharpe 0.06 | Sortino 0.11 | Calmar -0.0
Vol 32% | MDD -72.1%
Months 105M (55%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 15.1% | Win 56%
Sharpe 0.79 | Sortino 1.51 | Calmar 0.8
Vol 20% | MDD -19.8%
Months 77M (40%)
CAGR 9.2% | Win 55%
Sharpe 0.48 | Sortino 1.24 | Calmar 0.4
Vol 24% | MDD -22.1%
Months 20M (10%)
CAGR 13.9% | Win 56%
Sharpe 0.72 | Sortino 1.44 | Calmar 0.4
Vol 21% | MDD -34.4%
Months 97M (51%)
RSIhist
neg
CAGR -4.0% | Win 49%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 32% | MDD -53.0%
Months 47M (25%)
CAGR -0.9% | Win 45%
Sharpe 0.14 | Sortino 0.24 | Calmar -0.0
Vol 34% | MDD -43.3%
Months 47M (25%)
CAGR -2.4% | Win 47%
Sharpe 0.09 | Sortino 0.15 | Calmar -0.0
Vol 33% | MDD -67.6%
Months 94M (49%)
LWTI
only
CAGR 7.5% | Win 53%
Sharpe 0.41 | Sortino 0.67 | Calmar 0.2
Vol 26% | MDD -47.6%
Months 124M (65%)
CAGR 2.0% | Win 48%
Sharpe 0.22 | Sortino 0.39 | Calmar 0.0
Vol 32% | MDD -49.9%
Months 67M (35%)