EPU - iShares MSCI Peru and Global Exposure ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

130.4%

Best CAGR

58

Total Months

10.3%

Avg CAGR

EPU 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 EPU

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 0.5 130.4 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.5 130.4 100.0 0.0 0.0 0.0 - 0.0
pair MRmean RSIhist neg-pos 7 3.4 95.5 71.4 2.4 649.9 28.9 30.2 -3.3
pair RSIhist MRmean neg-pos 7 3.4 95.5 71.4 2.4 649.9 28.9 30.2 -3.3
pair RSI RSIhist neg-pos 14 6.9 61.8 64.3 1.8 7.4 8.9 29.9 -7.0
pair RSIhist RSI neg-pos 14 6.9 61.8 64.3 1.8 7.4 8.9 29.9 -7.0
pair MACD RSIhist neg-pos 35 17.2 48.2 65.7 1.7 5.5 4.9 25.7 -9.9
pair RSIhist MACD neg-pos 35 17.2 48.2 65.7 1.7 5.5 4.9 25.7 -9.9
pair RSIhist MACDhist neg-pos 31 15.3 45.6 67.7 1.6 5.8 4.7 24.9 -9.8
pair MACDhist RSIhist neg-pos 31 15.3 45.6 67.7 1.6 5.8 4.7 24.9 -9.8
pair LWTI RSIhist pos-neg 29 14.3 43.2 69.0 1.6 5.1 6.2 23.9 -7.0
pair RSIhist LWTI pos-neg 29 14.3 43.2 69.0 1.6 5.1 6.2 23.9 -7.0
pair SLmean RSI pos-neg 15 7.4 40.3 60.0 1.2 4.6 3.8 31.5 -10.6
pair RSI SLmean pos-neg 15 7.4 40.3 60.0 1.2 4.6 3.8 31.5 -10.6
pair SLmean RSIhist neg-pos 4 2.0 36.5 50.0 1.1 2.4 5.5 30.4 -6.7
pair RSIhist SLmean neg-pos 4 2.0 36.5 50.0 1.1 2.4 5.5 30.4 -6.7
pair RSmean MACD neg-neg 14 6.9 32.8 57.1 1.4 3.5 4.0 21.3 -8.2
pair MACD RSmean neg-neg 14 6.9 32.8 57.1 1.4 3.5 4.0 21.3 -8.2
pair LWTI SLmean neg-neg 26 12.8 32.0 61.5 1.2 2.3 1.0 25.3 -32.7
pair SLmean LWTI neg-neg 26 12.8 32.0 61.5 1.2 2.3 1.0 25.3 -32.7
pair RSI MRmean pos-neg 11 5.4 30.8 63.6 1.2 3.6 3.9 25.0 -7.9
pair MRmean RSI pos-neg 11 5.4 30.8 63.6 1.2 3.6 3.9 25.0 -7.9
pair LWTI RSI neg-neg 37 18.2 30.5 59.5 1.1 2.6 0.9 26.9 -34.9
pair RSI LWTI neg-neg 37 18.2 30.5 59.5 1.1 2.6 0.9 26.9 -34.9
pair MACD SLmean pos-neg 40 19.7 29.4 60.0 1.1 2.7 0.8 27.0 -35.6
pair SLmean MACD pos-neg 40 19.7 29.4 60.0 1.1 2.7 0.8 27.0 -35.6
pair RSmean LWTI pos-neg 54 26.6 28.8 63.0 1.1 2.6 0.8 24.9 -34.9
pair LWTI RSmean pos-neg 54 26.6 28.8 63.0 1.1 2.6 0.8 24.9 -34.9
pair RSmean RSIhist pos-pos 100 49.3 27.3 63.0 1.2 2.4 1.5 23.4 -18.3
pair RSIhist RSmean pos-pos 100 49.3 27.3 63.0 1.2 2.4 1.5 23.4 -18.3
pair MACD LWTI neg-neg 44 21.7 27.3 59.1 1.1 2.5 0.8 25.9 -34.9
pair LWTI MACD neg-neg 44 21.7 27.3 59.1 1.1 2.5 0.8 25.9 -34.9
pair MACDhist LWTI pos-neg 8 3.9 26.2 75.0 1.3 42.0 4.0 19.6 -6.6
pair LWTI MACDhist pos-neg 8 3.9 26.2 75.0 1.3 42.0 4.0 19.6 -6.6
pair MRmean LWTI pos-neg 23 11.3 26.1 65.2 1.2 3.1 2.6 21.3 -10.1
pair LWTI MRmean pos-neg 23 11.3 26.1 65.2 1.2 3.1 2.6 21.3 -10.1
pair RSI MACD neg-pos 40 19.7 26.0 60.0 1.1 2.2 1.1 23.7 -24.0
pair MACD RSI neg-pos 40 19.7 26.0 60.0 1.1 2.2 1.1 23.7 -24.0
single RSIhist RSIhist pos-pos 101 49.8 25.9 62.4 1.1 2.3 1.4 23.5 -18.3
single LWTI LWTI neg-neg 56 27.6 25.8 60.7 1.1 2.5 0.7 24.7 -34.9
pair LWTI MACDhist neg-neg 48 23.6 25.7 58.3 1.0 2.4 0.7 25.7 -34.9
pair MACDhist LWTI neg-neg 48 23.6 25.7 58.3 1.0 2.4 0.7 25.7 -34.9
pair LWTI MRmean neg-neg 33 16.3 25.6 57.6 1.0 2.3 0.7 27.2 -34.9
pair MRmean LWTI neg-neg 33 16.3 25.6 57.6 1.0 2.3 0.7 27.2 -34.9
pair RSIhist SLmean pos-pos 97 47.8 25.5 62.9 1.1 2.3 1.4 23.3 -18.7
pair SLmean RSIhist pos-pos 97 47.8 25.5 62.9 1.1 2.3 1.4 23.3 -18.7
pair MRmean SLmean neg-pos 10 4.9 23.9 50.0 0.8 2.8 1.0 31.8 -22.9
pair SLmean MRmean neg-pos 10 4.9 23.9 50.0 0.8 2.8 1.0 31.8 -22.9
pair MACDhist MACD neg-neg 75 36.9 23.0 57.3 0.9 1.4 0.6 28.0 -38.5
pair MACD MACDhist neg-neg 75 36.9 23.0 57.3 0.9 1.4 0.6 28.0 -38.5
pair RSIhist MRmean pos-pos 94 46.3 21.9 61.7 1.0 2.0 1.0 22.8 -22.8
pair MRmean RSIhist pos-pos 94 46.3 21.9 61.7 1.0 2.0 1.0 22.8 -22.8
pair RSI MRmean neg-pos 27 13.3 21.2 59.3 1.0 1.9 0.9 22.6 -23.0
pair MRmean RSI neg-pos 27 13.3 21.2 59.3 1.0 1.9 0.9 22.6 -23.0
pair RSIhist RSI pos-pos 87 42.9 21.0 62.1 1.0 1.9 1.1 22.2 -18.4
pair RSI RSIhist pos-pos 87 42.9 21.0 62.1 1.0 1.9 1.1 22.2 -18.4
pair SLmean LWTI pos-neg 30 14.8 20.7 60.0 0.9 2.8 1.3 24.6 -15.6
pair LWTI SLmean pos-neg 30 14.8 20.7 60.0 0.9 2.8 1.3 24.6 -15.6
pair MRmean MACD pos-neg 36 17.7 20.5 58.3 0.9 1.9 0.7 25.0 -30.0
pair MACD MRmean pos-neg 36 17.7 20.5 58.3 0.9 1.9 0.7 25.0 -30.0
pair LWTI MACD pos-neg 12 5.9 20.4 66.7 1.0 2.4 1.9 20.8 -10.9
pair MACD LWTI pos-neg 12 5.9 20.4 66.7 1.0 2.4 1.9 20.8 -10.9
pair LWTI RSIhist pos-pos 72 35.5 19.6 59.7 0.9 1.7 0.6 23.3 -34.3
pair RSIhist LWTI pos-pos 72 35.5 19.6 59.7 0.9 1.7 0.6 23.3 -34.3
single MACD MACD neg-neg 94 46.3 19.4 57.4 0.8 1.4 0.4 26.6 -45.2
pair MACDhist SLmean pos-neg 42 20.7 18.9 57.1 0.8 2.0 0.6 25.3 -32.2
pair SLmean MACDhist pos-neg 42 20.7 18.9 57.1 0.8 2.0 0.6 25.3 -32.2
pair MACD MRmean neg-neg 58 28.6 18.8 56.9 0.8 1.2 0.5 27.8 -40.2
pair SLmean RSmean pos-pos 112 55.2 18.8 59.8 0.8 1.7 0.5 23.9 -39.1
pair RSmean SLmean pos-pos 112 55.2 18.8 59.8 0.8 1.7 0.5 23.9 -39.1
pair MRmean MACD neg-neg 58 28.6 18.8 56.9 0.8 1.2 0.5 27.8 -40.2
pair MACDhist RSIhist pos-pos 70 34.5 18.1 60.0 0.8 1.6 0.8 22.7 -22.6
pair RSIhist MACDhist pos-pos 70 34.5 18.1 60.0 0.8 1.6 0.8 22.7 -22.6
pair MACD RSmean pos-neg 80 39.4 17.2 57.5 0.7 1.2 0.4 27.5 -44.9
pair RSI LWTI pos-neg 19 9.4 17.2 63.2 0.9 2.1 1.2 20.4 -13.7
single SLmean SLmean pos-pos 116 57.1 17.2 58.6 0.8 1.6 0.4 23.8 -41.3
pair LWTI RSI pos-neg 19 9.4 17.2 63.2 0.9 2.1 1.2 20.4 -13.7
pair RSmean MACD pos-neg 80 39.4 17.2 57.5 0.7 1.2 0.4 27.5 -44.9
pair MRmean SLmean pos-pos 106 52.2 16.6 59.4 0.8 1.5 0.5 23.1 -34.7
pair SLmean MRmean pos-pos 106 52.2 16.6 59.4 0.8 1.5 0.5 23.1 -34.7
pair MACDhist SLmean pos-pos 74 36.5 16.2 59.5 0.8 1.4 0.5 23.1 -31.2
pair SLmean MACDhist pos-pos 74 36.5 16.2 59.5 0.8 1.4 0.5 23.1 -31.2
pair LWTI SLmean pos-pos 86 42.4 16.0 58.1 0.7 1.4 0.4 23.7 -41.5
pair SLmean LWTI pos-pos 86 42.4 16.0 58.1 0.7 1.4 0.4 23.7 -41.5
pair RSIhist MACD pos-pos 66 32.5 15.5 60.6 0.8 1.4 0.4 22.0 -36.9
pair MACD RSIhist pos-pos 66 32.5 15.5 60.6 0.8 1.4 0.4 22.0 -36.9
pair MACDhist RSmean pos-neg 92 45.3 15.2 58.7 0.7 1.1 0.3 26.7 -46.2
pair RSmean MACDhist pos-neg 92 45.3 15.2 58.7 0.7 1.1 0.3 26.7 -46.2
pair RSI MACD neg-neg 54 26.6 14.8 55.6 0.6 1.0 0.3 28.8 -41.6
pair MACD RSI neg-neg 54 26.6 14.8 55.6 0.6 1.0 0.3 28.8 -41.6
pair RSI MACDhist pos-pos 83 40.9 14.1 59.0 0.7 1.3 0.4 22.5 -36.3
pair MACDhist RSI pos-pos 83 40.9 14.1 59.0 0.7 1.3 0.4 22.5 -36.3
pair SLmean RSI pos-pos 101 49.8 14.1 58.4 0.7 1.3 0.4 22.5 -36.4
pair RSI SLmean pos-pos 101 49.8 14.1 58.4 0.7 1.3 0.4 22.5 -36.4
pair RSI MACDhist neg-neg 62 30.5 14.1 56.5 0.6 1.0 0.3 28.4 -42.1
pair MACDhist RSI neg-neg 62 30.5 14.1 56.5 0.6 1.0 0.3 28.4 -42.1
pair RSmean MRmean pos-pos 113 55.7 13.6 58.4 0.7 1.3 0.4 22.7 -34.9
pair MRmean RSmean pos-pos 113 55.7 13.6 58.4 0.7 1.3 0.4 22.7 -34.9
pair MACDhist MRmean neg-neg 77 37.9 13.1 55.8 0.6 1.0 0.2 27.1 -51.9
pair MRmean MACDhist neg-neg 77 37.9 13.1 55.8 0.6 1.0 0.2 27.1 -51.9
pair MRmean MACDhist pos-pos 82 40.4 13.0 58.5 0.7 1.2 0.3 22.5 -38.0
pair MACDhist MRmean pos-pos 82 40.4 13.0 58.5 0.7 1.2 0.3 22.5 -38.0
pair RSI RSmean pos-pos 118 58.1 13.0 58.5 0.7 1.2 0.3 22.8 -41.4
pair RSmean RSI pos-pos 118 58.1 13.0 58.5 0.7 1.2 0.3 22.8 -41.4
pair MACD LWTI neg-pos 50 24.6 12.9 56.0 0.6 0.8 0.3 27.4 -38.8
pair LWTI MACD neg-pos 50 24.6 12.9 56.0 0.6 0.8 0.3 27.4 -38.8
pair MACD SLmean neg-neg 54 26.6 12.5 55.6 0.6 0.8 0.3 26.5 -45.7
pair SLmean MACD neg-neg 54 26.6 12.5 55.6 0.6 0.8 0.3 26.5 -45.7
single RSmean RSmean pos-pos 182 89.7 12.1 58.2 0.6 1.0 0.2 24.7 -54.0
single RSI RSI pos-pos 133 65.5 11.3 57.1 0.6 1.0 0.2 23.0 -47.3
pair MACD SLmean pos-pos 76 37.4 11.2 57.9 0.6 1.1 0.2 22.0 -46.9
pair SLmean MACD pos-pos 76 37.4 11.2 57.9 0.6 1.1 0.2 22.0 -46.9
pair MACD MACDhist pos-pos 72 35.5 11.0 58.3 0.6 0.9 0.2 23.4 -53.7
pair MACDhist MACD pos-pos 72 35.5 11.0 58.3 0.6 0.9 0.2 23.4 -53.7
pair MRmean RSmean neg-neg 17 8.4 10.9 47.1 0.6 1.2 0.7 22.8 -15.0
pair RSmean MRmean neg-neg 17 8.4 10.9 47.1 0.6 1.2 0.7 22.8 -15.0
single MRmean MRmean pos-pos 117 57.6 10.8 57.3 0.6 1.0 0.2 23.3 -45.3
single MACDhist MACDhist neg-neg 112 55.2 10.7 55.4 0.5 0.9 0.2 26.5 -48.1
pair RSmean RSI pos-neg 64 31.5 10.5 57.8 0.5 0.8 0.2 28.2 -43.7
pair RSI RSmean pos-neg 64 31.5 10.5 57.8 0.5 0.8 0.2 28.2 -43.7
pair benchmark___benchmark_ benchmark-benchmark 203 100.0 10.4 56.7 0.5 0.9 0.2 24.8 -56.6
pair benchmark___benchmark_ benchmark-benchmark 203 100.0 10.4 56.7 0.5 0.9 0.2 24.8 -56.6
pair LWTI RSI pos-pos 114 56.2 10.3 56.1 0.5 0.9 0.2 23.5 -56.1
pair RSI LWTI pos-pos 114 56.2 10.3 56.1 0.5 0.9 0.2 23.5 -56.1
single MACDhist MACDhist pos-pos 91 44.8 10.0 58.2 0.5 0.9 0.2 22.7 -47.1
single MRmean MRmean neg-neg 86 42.4 9.9 55.8 0.5 0.8 0.2 26.8 -53.3
pair MRmean RSmean neg-pos 69 34.0 9.7 58.0 0.5 0.7 0.2 27.9 -50.5
pair RSmean MRmean neg-pos 69 34.0 9.7 58.0 0.5 0.7 0.2 27.9 -50.5
pair RSIhist LWTI neg-neg 27 13.3 9.5 51.9 0.5 1.0 0.3 25.4 -32.7
pair LWTI RSIhist neg-neg 27 13.3 9.5 51.9 0.5 1.0 0.3 25.4 -32.7
pair MACDhist RSmean pos-pos 90 44.3 9.1 57.8 0.5 0.9 0.2 22.7 -47.1
pair RSmean MACDhist pos-pos 90 44.3 9.1 57.8 0.5 0.9 0.2 22.7 -47.1
pair RSI MRmean pos-pos 106 52.2 8.9 56.6 0.5 0.8 0.2 23.2 -55.6
pair MRmean RSI pos-pos 106 52.2 8.9 56.6 0.5 0.8 0.2 23.2 -55.6
single RSI RSI neg-neg 70 34.5 8.8 55.7 0.4 0.7 0.2 28.0 -45.7
pair LWTI MACDhist pos-pos 83 40.9 8.5 56.6 0.5 0.8 0.2 23.0 -54.4
pair MACDhist LWTI pos-pos 83 40.9 8.5 56.6 0.5 0.8 0.2 23.0 -54.4
pair RSmean MACD pos-pos 102 50.2 8.3 58.8 0.5 0.8 0.2 22.4 -52.3
pair MACD RSmean pos-pos 102 50.2 8.3 58.8 0.5 0.8 0.2 22.4 -52.3
pair SLmean MRmean neg-neg 76 37.4 8.2 56.6 0.4 0.7 0.1 26.3 -53.6
pair MRmean SLmean neg-neg 76 37.4 8.2 56.6 0.4 0.7 0.1 26.3 -53.6
pair MRmean LWTI pos-pos 94 46.3 7.3 55.3 0.4 0.7 0.1 23.8 -63.6
pair LWTI MRmean pos-pos 94 46.3 7.3 55.3 0.4 0.7 0.1 23.8 -63.6
pair MACDhist RSI pos-neg 50 24.6 6.7 54.0 0.4 0.7 0.2 24.1 -35.2
pair RSI MACDhist pos-neg 50 24.6 6.7 54.0 0.4 0.7 0.2 24.1 -35.2
pair MACD MRmean pos-pos 81 39.9 6.7 56.8 0.4 0.7 0.1 22.6 -53.3
pair MRmean MACD pos-pos 81 39.9 6.7 56.8 0.4 0.7 0.1 22.6 -53.3
pair MACD MACDhist neg-pos 19 9.4 6.3 57.9 0.4 1.0 0.4 20.3 -17.6
pair MACDhist MACD neg-pos 19 9.4 6.3 57.9 0.4 1.0 0.4 20.3 -17.6
pair MACDhist SLmean neg-neg 70 34.5 6.1 54.3 0.4 0.5 0.1 27.2 -52.1
pair SLmean MACDhist neg-neg 70 34.5 6.1 54.3 0.4 0.5 0.1 27.2 -52.1
pair RSmean LWTI pos-pos 128 63.1 5.8 56.2 0.3 0.6 0.1 24.6 -67.0
pair LWTI RSmean pos-pos 128 63.1 5.8 56.2 0.3 0.6 0.1 24.6 -67.0
pair MACDhist MRmean pos-neg 35 17.2 5.7 54.3 0.3 0.6 0.1 25.3 -40.8
pair MRmean MACDhist pos-neg 35 17.2 5.7 54.3 0.3 0.6 0.1 25.3 -40.8
pair RSI MACD pos-pos 93 45.8 5.5 55.9 0.3 0.6 0.1 22.7 -58.9
pair MACD RSI pos-pos 93 45.8 5.5 55.9 0.3 0.6 0.1 22.7 -58.9
pair MRmean RSI neg-neg 59 29.1 5.1 54.2 0.3 0.5 0.1 28.6 -46.7
pair RSI MRmean neg-neg 59 29.1 5.1 54.2 0.3 0.5 0.1 28.6 -46.7
pair RSIhist MACD neg-neg 59 29.1 5.0 52.5 0.3 0.5 0.1 26.7 -45.7
pair MACD RSIhist neg-neg 59 29.1 5.0 52.5 0.3 0.5 0.1 26.7 -45.7
single LWTI LWTI pos-pos 147 72.4 5.0 55.1 0.3 0.5 0.1 24.7 -76.3
pair MRmean RSIhist neg-neg 79 38.9 4.5 54.4 0.3 0.5 0.1 26.2 -59.5
pair RSIhist MRmean neg-neg 79 38.9 4.5 54.4 0.3 0.5 0.1 26.2 -59.5
single MACD MACD pos-pos 109 53.7 3.2 56.0 0.2 0.4 0.1 23.0 -64.3
pair RSI SLmean neg-pos 32 15.8 2.8 53.1 0.2 0.4 0.1 24.8 -29.7
pair SLmean RSI neg-pos 32 15.8 2.8 53.1 0.2 0.4 0.1 24.8 -29.7
pair RSmean SLmean neg-pos 70 34.5 2.3 55.7 0.2 0.3 0.0 26.0 -50.3
pair SLmean RSmean neg-pos 70 34.5 2.3 55.7 0.2 0.3 0.0 26.0 -50.3
single SLmean SLmean neg-neg 87 42.9 2.0 54.0 0.2 0.3 0.0 26.0 -55.0
pair SLmean RSI neg-neg 55 27.1 1.5 54.5 0.2 0.3 0.0 26.9 -44.7
pair RSI SLmean neg-neg 55 27.1 1.5 54.5 0.2 0.3 0.0 26.9 -44.7
pair LWTI MRmean neg-pos 53 26.1 1.2 54.7 0.2 0.2 0.0 26.6 -62.8
pair MRmean LWTI neg-pos 53 26.1 1.2 54.7 0.2 0.2 0.0 26.6 -62.8
pair LWTI MACD pos-pos 97 47.8 1.2 54.6 0.2 0.3 0.0 23.3 -65.9
pair MACD LWTI pos-pos 97 47.8 1.2 54.6 0.2 0.3 0.0 23.3 -65.9
pair RSmean SLmean neg-neg 17 8.4 0.7 47.1 0.1 0.2 0.0 26.7 -25.9
pair SLmean RSmean neg-neg 17 8.4 0.7 47.1 0.1 0.2 0.0 26.7 -25.9
pair LWTI MACDhist neg-pos 64 31.5 0.7 53.1 0.2 0.2 0.0 26.9 -61.1
pair MACDhist LWTI neg-pos 64 31.5 0.7 53.1 0.2 0.2 0.0 26.9 -61.1
pair RSmean RSIhist neg-neg 20 9.9 0.6 45.0 0.1 0.2 0.0 25.4 -30.8
pair RSIhist RSmean neg-neg 20 9.9 0.6 45.0 0.1 0.2 0.0 25.4 -30.8
pair SLmean RSIhist neg-neg 83 40.9 0.5 54.2 0.1 0.2 0.0 25.9 -55.0
pair RSIhist SLmean neg-neg 83 40.9 0.5 54.2 0.1 0.2 0.0 25.9 -55.0
pair RSmean LWTI neg-pos 19 9.4 0.4 47.4 0.1 0.2 0.0 26.5 -31.1
pair LWTI RSmean neg-pos 19 9.4 0.4 47.4 0.1 0.2 0.0 26.5 -31.1
pair RSIhist MACDhist neg-neg 81 39.9 -0.3 50.6 0.1 0.2 -0.0 26.6 -60.5
pair MACDhist RSIhist neg-neg 81 39.9 -0.3 50.6 0.1 0.2 -0.0 26.6 -60.5
pair RSmean RSI neg-pos 15 7.4 -1.5 46.7 0.1 0.1 -0.1 25.6 -26.3
pair RSI RSmean neg-pos 15 7.4 -1.5 46.7 0.1 0.1 -0.1 25.6 -26.3
pair RSI RSIhist neg-neg 56 27.6 -1.5 53.6 0.1 0.1 -0.0 27.0 -49.5
pair RSIhist RSI neg-neg 56 27.6 -1.5 53.6 0.1 0.1 -0.0 27.0 -49.5
single RSIhist RSIhist neg-neg 102 50.2 -3.1 51.0 0.0 0.0 -0.1 25.6 -66.2
single RSmean RSmean neg-neg 21 10.3 -3.5 42.9 -0.0 -0.0 -0.1 25.4 -35.7
pair RSmean RSIhist pos-neg 82 40.4 -4.0 52.4 -0.0 -0.0 -0.1 25.8 -59.1
pair RSIhist RSmean pos-neg 82 40.4 -4.0 52.4 -0.0 -0.0 -0.1 25.8 -59.1
pair RSIhist RSI pos-neg 46 22.7 -5.0 47.8 -0.1 -0.2 -0.1 24.1 -48.6
pair RSI RSIhist pos-neg 46 22.7 -5.0 47.8 -0.1 -0.2 -0.1 24.1 -48.6
pair MACD MRmean neg-pos 28 13.8 -6.3 53.6 -0.1 -0.3 -0.1 24.3 -45.3
pair MRmean MACD neg-pos 28 13.8 -6.3 53.6 -0.1 -0.3 -0.1 24.3 -45.3
pair RSIhist LWTI neg-pos 75 36.9 -7.2 50.7 -0.2 -0.2 -0.1 25.7 -72.2
pair LWTI RSIhist neg-pos 75 36.9 -7.2 50.7 -0.2 -0.2 -0.1 25.7 -72.2
pair MACDhist RSmean neg-neg 20 9.9 -7.6 40.0 -0.2 -0.3 -0.2 25.4 -35.7
pair RSmean MACDhist neg-neg 20 9.9 -7.6 40.0 -0.2 -0.3 -0.2 25.4 -35.7
pair RSmean RSI neg-neg 6 3.0 -8.3 33.3 -0.2 -0.6 -0.7 27.3 -12.7
pair RSI RSmean neg-neg 6 3.0 -8.3 33.3 -0.2 -0.6 -0.7 27.3 -12.7
pair LWTI SLmean neg-pos 61 30.0 -8.6 50.8 -0.2 -0.3 -0.1 25.8 -65.1
pair SLmean LWTI neg-pos 61 30.0 -8.6 50.8 -0.2 -0.3 -0.1 25.8 -65.1
pair MACD RSI pos-neg 16 7.9 -9.3 56.2 -0.3 -0.5 -0.3 25.2 -26.3
pair RSI MACD pos-neg 16 7.9 -9.3 56.2 -0.3 -0.5 -0.3 25.2 -26.3
pair MACDhist MACD pos-neg 37 18.2 -10.5 51.4 -0.4 -0.7 -0.2 21.9 -41.4
pair MACD MACDhist pos-neg 37 18.2 -10.5 51.4 -0.4 -0.7 -0.2 21.9 -41.4
pair LWTI RSI neg-pos 33 16.3 -11.2 51.5 -0.3 -0.4 -0.2 28.5 -54.5
pair RSI LWTI neg-pos 33 16.3 -11.2 51.5 -0.3 -0.4 -0.2 28.5 -54.5
pair SLmean MACD neg-pos 33 16.3 -13.2 51.5 -0.4 -0.8 -0.3 24.9 -48.2
pair MACD SLmean neg-pos 33 16.3 -13.2 51.5 -0.4 -0.8 -0.3 24.9 -48.2
pair RSIhist MACD pos-neg 43 21.2 -13.2 48.8 -0.5 -0.8 -0.2 23.9 -56.4
pair MACD RSIhist pos-neg 43 21.2 -13.2 48.8 -0.5 -0.8 -0.2 23.9 -56.4
pair MACDhist RSIhist pos-neg 21 10.3 -13.2 52.4 -0.5 -0.8 -0.3 21.7 -38.0
pair RSIhist MACDhist pos-neg 21 10.3 -13.2 52.4 -0.5 -0.8 -0.3 21.7 -38.0
pair SLmean MACDhist neg-pos 17 8.4 -13.4 52.9 -0.6 -0.9 -0.5 20.0 -28.6
pair MACDhist SLmean neg-pos 17 8.4 -13.4 52.9 -0.6 -0.9 -0.5 20.0 -28.6
pair MRmean MACDhist neg-pos 9 4.4 -13.9 55.6 -0.5 -0.7 -0.5 24.3 -26.4
pair MACDhist MRmean neg-pos 9 4.4 -13.9 55.6 -0.5 -0.7 -0.5 24.3 -26.4
pair RSIhist SLmean pos-neg 19 9.4 -17.5 36.8 -0.7 -1.2 -0.4 24.3 -48.8
pair SLmean RSIhist pos-neg 19 9.4 -17.5 36.8 -0.7 -1.2 -0.4 24.3 -48.8
pair SLmean RSmean pos-neg 4 2.0 -19.4 25.0 -0.9 -2.7 -1.9 21.3 -10.0
pair RSmean SLmean pos-neg 4 2.0 -19.4 25.0 -0.9 -2.7 -1.9 21.3 -10.0
pair RSI MACDhist neg-pos 8 3.9 -24.9 50.0 -1.1 -1.4 -1.2 23.2 -21.3
pair MACDhist RSI neg-pos 8 3.9 -24.9 50.0 -1.1 -1.4 -1.2 23.2 -21.3
pair RSIhist MRmean pos-neg 23 11.3 -25.1 39.1 -1.2 -1.7 -0.5 22.4 -55.7
pair MRmean RSIhist pos-neg 23 11.3 -25.1 39.1 -1.2 -1.7 -0.5 22.4 -55.7
pair SLmean MRmean pos-neg 11 5.4 -32.3 36.4 -1.7 -2.2 -1.3 21.1 -25.1
pair MRmean SLmean pos-neg 11 5.4 -32.3 36.4 -1.7 -2.2 -1.3 21.1 -25.1
pair RSmean LWTI neg-neg 2 1.0 -33.7 0.0 -40.7 -40.7 -10.7 1.0 -3.2
pair LWTI RSmean neg-neg 2 1.0 -33.7 0.0 -40.7 -40.7 -10.7 1.0 -3.2
pair MRmean RSmean pos-neg 4 2.0 -46.5 25.0 -1.7 -2.5 -4.7 33.2 -10.0
pair RSmean MRmean pos-neg 4 2.0 -46.5 25.0 -1.7 -2.5 -4.7 33.2 -10.0
pair RSmean MACD neg-pos 7 3.4 -49.0 14.3 -2.6 -3.7 -1.9 24.4 -25.1
pair MACD RSmean neg-pos 7 3.4 -49.0 14.3 -2.6 -3.7 -1.9 24.4 -25.1
pair RSmean RSIhist neg-pos 1 0.5 -58.4 0.0 0.0 0.0 0.0 - 0.0
pair RSIhist RSmean neg-pos 1 0.5 -58.4 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for EPU

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 16.6% | Win 59%
Sharpe 0.78 | Sortino 1.48 | Calmar 0.5
Vol 23% | MDD -34.7%
Months 106M (52%)
CAGR -32.3% | Win 36%
Sharpe -1.72 | Sortino -2.17 | Calmar -1.3
Vol 21% | MDD -25.1%
Months 11M (5%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR 23.9% | Win 50%
Sharpe 0.81 | Sortino 2.83 | Calmar 1.0
Vol 32% | MDD -22.9%
Months 10M (5%)
CAGR 8.2% | Win 57%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 26% | MDD -53.6%
Months 76M (37%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
SLmean
only
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 13.6% | Win 58%
Sharpe 0.68 | Sortino 1.29 | Calmar 0.4
Vol 23% | MDD -34.9%
Months 113M (56%)
CAGR -46.5% | Win 25%
Sharpe -1.71 | Sortino -2.51 | Calmar -4.7
Vol 33% | MDD -10.0%
Months 4M (2%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR 9.7% | Win 58%
Sharpe 0.47 | Sortino 0.74 | Calmar 0.2
Vol 28% | MDD -50.5%
Months 69M (34%)
CAGR 10.9% | Win 47%
Sharpe 0.56 | Sortino 1.25 | Calmar 0.7
Vol 23% | MDD -15.0%
Months 17M (8%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
RSmean
only
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 6.7% | Win 57%
Sharpe 0.40 | Sortino 0.66 | Calmar 0.1
Vol 23% | MDD -53.3%
Months 81M (40%)
CAGR 20.5% | Win 58%
Sharpe 0.87 | Sortino 1.92 | Calmar 0.7
Vol 25% | MDD -30.0%
Months 36M (18%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR -6.3% | Win 54%
Sharpe -0.15 | Sortino -0.28 | Calmar -0.1
Vol 24% | MDD -45.3%
Months 28M (14%)
CAGR 18.8% | Win 57%
Sharpe 0.76 | Sortino 1.16 | Calmar 0.5
Vol 28% | MDD -40.2%
Months 58M (29%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
MACD
only
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 57%
Sharpe 0.48 | Sortino 0.85 | Calmar 0.2
Vol 23% | MDD -55.6%
Months 106M (52%)
CAGR 30.8% | Win 64%
Sharpe 1.19 | Sortino 3.62 | Calmar 3.9
Vol 25% | MDD -7.9%
Months 11M (5%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR 21.2% | Win 59%
Sharpe 0.96 | Sortino 1.85 | Calmar 0.9
Vol 23% | MDD -23.0%
Months 27M (13%)
CAGR 5.1% | Win 54%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 29% | MDD -46.7%
Months 59M (29%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
RSI
only
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 13.0% | Win 58%
Sharpe 0.66 | Sortino 1.21 | Calmar 0.3
Vol 22% | MDD -38.0%
Months 82M (40%)
CAGR 5.7% | Win 54%
Sharpe 0.34 | Sortino 0.59 | Calmar 0.1
Vol 25% | MDD -40.8%
Months 35M (17%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR -13.9% | Win 56%
Sharpe -0.50 | Sortino -0.67 | Calmar -0.5
Vol 24% | MDD -26.4%
Months 9M (4%)
CAGR 13.1% | Win 56%
Sharpe 0.59 | Sortino 0.97 | Calmar 0.3
Vol 27% | MDD -51.9%
Months 77M (38%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
MACDhist
only
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 21.9% | Win 62%
Sharpe 0.98 | Sortino 1.97 | Calmar 1.0
Vol 23% | MDD -22.8%
Months 94M (46%)
CAGR -25.1% | Win 39%
Sharpe -1.16 | Sortino -1.69 | Calmar -0.5
Vol 22% | MDD -55.7%
Months 23M (11%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR 95.5% | Win 71%
Sharpe 2.40 | Sortino 649.92 | Calmar 28.9
Vol 30% | MDD -3.3%
Months 7M (3%)
CAGR 4.5% | Win 54%
Sharpe 0.30 | Sortino 0.46 | Calmar 0.1
Vol 26% | MDD -59.5%
Months 79M (39%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 7.3% | Win 55%
Sharpe 0.41 | Sortino 0.72 | Calmar 0.1
Vol 24% | MDD -63.6%
Months 94M (46%)
CAGR 26.1% | Win 65%
Sharpe 1.20 | Sortino 3.14 | Calmar 2.6
Vol 21% | MDD -10.1%
Months 23M (11%)
CAGR 10.8% | Win 57%
Sharpe 0.55 | Sortino 1.00 | Calmar 0.2
Vol 23% | MDD -45.3%
Months 117M (58%)
MRmean
neg
CAGR 1.2% | Win 55%
Sharpe 0.18 | Sortino 0.25 | Calmar 0.0
Vol 27% | MDD -62.8%
Months 53M (26%)
CAGR 25.6% | Win 58%
Sharpe 0.98 | Sortino 2.29 | Calmar 0.7
Vol 27% | MDD -34.9%
Months 33M (16%)
CAGR 9.9% | Win 56%
Sharpe 0.49 | Sortino 0.79 | Calmar 0.2
Vol 27% | MDD -53.3%
Months 86M (42%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 18.8% | Win 60%
Sharpe 0.84 | Sortino 1.66 | Calmar 0.5
Vol 24% | MDD -39.1%
Months 112M (55%)
CAGR -19.4% | Win 25%
Sharpe -0.92 | Sortino -2.66 | Calmar -1.9
Vol 21% | MDD -10.0%
Months 4M (2%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR 2.3% | Win 56%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.0
Vol 26% | MDD -50.3%
Months 70M (34%)
CAGR 0.7% | Win 47%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.0
Vol 27% | MDD -25.9%
Months 17M (8%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
RSmean
only
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 58%
Sharpe 0.59 | Sortino 1.05 | Calmar 0.2
Vol 22% | MDD -46.9%
Months 76M (37%)
CAGR 29.4% | Win 60%
Sharpe 1.09 | Sortino 2.74 | Calmar 0.8
Vol 27% | MDD -35.6%
Months 40M (20%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR -13.2% | Win 52%
Sharpe -0.44 | Sortino -0.76 | Calmar -0.3
Vol 25% | MDD -48.2%
Months 33M (16%)
CAGR 12.5% | Win 56%
Sharpe 0.58 | Sortino 0.82 | Calmar 0.3
Vol 26% | MDD -45.7%
Months 54M (27%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
MACD
only
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 14.1% | Win 58%
Sharpe 0.70 | Sortino 1.28 | Calmar 0.4
Vol 22% | MDD -36.4%
Months 101M (50%)
CAGR 40.3% | Win 60%
Sharpe 1.23 | Sortino 4.60 | Calmar 3.8
Vol 32% | MDD -10.6%
Months 15M (7%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR 2.8% | Win 53%
Sharpe 0.23 | Sortino 0.39 | Calmar 0.1
Vol 25% | MDD -29.7%
Months 32M (16%)
CAGR 1.5% | Win 55%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 27% | MDD -44.7%
Months 55M (27%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
RSI
only
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 16.2% | Win 60%
Sharpe 0.77 | Sortino 1.38 | Calmar 0.5
Vol 23% | MDD -31.2%
Months 74M (36%)
CAGR 18.9% | Win 57%
Sharpe 0.81 | Sortino 2.01 | Calmar 0.6
Vol 25% | MDD -32.2%
Months 42M (21%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR -13.4% | Win 53%
Sharpe -0.62 | Sortino -0.95 | Calmar -0.5
Vol 20% | MDD -28.6%
Months 17M (8%)
CAGR 6.1% | Win 54%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 27% | MDD -52.1%
Months 70M (34%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
MACDhist
only
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 25.5% | Win 63%
Sharpe 1.09 | Sortino 2.29 | Calmar 1.4
Vol 23% | MDD -18.7%
Months 97M (48%)
CAGR -17.5% | Win 37%
Sharpe -0.67 | Sortino -1.21 | Calmar -0.4
Vol 24% | MDD -48.8%
Months 19M (9%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR 36.5% | Win 50%
Sharpe 1.15 | Sortino 2.38 | Calmar 5.5
Vol 30% | MDD -6.7%
Months 4M (2%)
CAGR 0.5% | Win 54%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 83M (41%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 16.0% | Win 58%
Sharpe 0.74 | Sortino 1.36 | Calmar 0.4
Vol 24% | MDD -41.5%
Months 86M (42%)
CAGR 20.7% | Win 60%
Sharpe 0.88 | Sortino 2.84 | Calmar 1.3
Vol 25% | MDD -15.6%
Months 30M (15%)
CAGR 17.2% | Win 59%
Sharpe 0.79 | Sortino 1.58 | Calmar 0.4
Vol 24% | MDD -41.3%
Months 116M (57%)
SLmean
neg
CAGR -8.6% | Win 51%
Sharpe -0.22 | Sortino -0.30 | Calmar -0.1
Vol 26% | MDD -65.1%
Months 61M (30%)
CAGR 32.0% | Win 62%
Sharpe 1.23 | Sortino 2.28 | Calmar 1.0
Vol 25% | MDD -32.7%
Months 26M (13%)
CAGR 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 26% | MDD -55.0%
Months 87M (43%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 8.3% | Win 59%
Sharpe 0.47 | Sortino 0.80 | Calmar 0.2
Vol 22% | MDD -52.3%
Months 102M (50%)
CAGR 17.2% | Win 57%
Sharpe 0.72 | Sortino 1.20 | Calmar 0.4
Vol 28% | MDD -44.9%
Months 80M (39%)
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
RSmean
neg
CAGR -49.0% | Win 14%
Sharpe -2.57 | Sortino -3.74 | Calmar -2.0
Vol 24% | MDD -25.1%
Months 7M (3%)
CAGR 32.8% | Win 57%
Sharpe 1.44 | Sortino 3.46 | Calmar 4.0
Vol 21% | MDD -8.2%
Months 14M (7%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
MACD
only
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 13.0% | Win 58%
Sharpe 0.65 | Sortino 1.22 | Calmar 0.3
Vol 23% | MDD -41.4%
Months 118M (58%)
CAGR 10.5% | Win 58%
Sharpe 0.50 | Sortino 0.77 | Calmar 0.2
Vol 28% | MDD -43.7%
Months 64M (32%)
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
RSmean
neg
CAGR -1.5% | Win 47%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.1
Vol 26% | MDD -26.3%
Months 15M (7%)
CAGR -8.3% | Win 33%
Sharpe -0.20 | Sortino -0.56 | Calmar -0.7
Vol 27% | MDD -12.7%
Months 6M (3%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
RSI
only
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.1% | Win 58%
Sharpe 0.50 | Sortino 0.88 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 90M (44%)
CAGR 15.2% | Win 59%
Sharpe 0.67 | Sortino 1.09 | Calmar 0.3
Vol 27% | MDD -46.2%
Months 92M (45%)
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
RSmean
neg
CAGR 130.4% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR -7.6% | Win 40%
Sharpe -0.19 | Sortino -0.32 | Calmar -0.2
Vol 25% | MDD -35.7%
Months 20M (10%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
MACDhist
only
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 27.3% | Win 63%
Sharpe 1.16 | Sortino 2.42 | Calmar 1.5
Vol 23% | MDD -18.3%
Months 100M (49%)
CAGR -4.0% | Win 52%
Sharpe -0.03 | Sortino -0.04 | Calmar -0.1
Vol 26% | MDD -59.1%
Months 82M (40%)
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
RSmean
neg
CAGR -58.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 0.6% | Win 45%
Sharpe 0.15 | Sortino 0.24 | Calmar 0.0
Vol 25% | MDD -30.8%
Months 20M (10%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 5.8% | Win 56%
Sharpe 0.35 | Sortino 0.55 | Calmar 0.1
Vol 25% | MDD -67.0%
Months 128M (63%)
CAGR 28.8% | Win 63%
Sharpe 1.15 | Sortino 2.61 | Calmar 0.8
Vol 25% | MDD -34.9%
Months 54M (27%)
CAGR 12.1% | Win 58%
Sharpe 0.59 | Sortino 0.99 | Calmar 0.2
Vol 25% | MDD -54.0%
Months 182M (90%)
RSmean
neg
CAGR 0.4% | Win 47%
Sharpe 0.14 | Sortino 0.23 | Calmar 0.0
Vol 26% | MDD -31.1%
Months 19M (9%)
CAGR -33.7% | Win 0%
Sharpe -40.69 | Sortino -40.69 | Calmar -10.7
Vol 1% | MDD -3.2%
Months 2M (1%)
CAGR -3.5% | Win 43%
Sharpe -0.02 | Sortino -0.03 | Calmar -0.1
Vol 25% | MDD -35.7%
Months 21M (10%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 5.5% | Win 56%
Sharpe 0.35 | Sortino 0.59 | Calmar 0.1
Vol 23% | MDD -58.9%
Months 93M (46%)
CAGR -9.3% | Win 56%
Sharpe -0.26 | Sortino -0.48 | Calmar -0.4
Vol 25% | MDD -26.3%
Months 16M (8%)
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
MACD
neg
CAGR 26.0% | Win 60%
Sharpe 1.10 | Sortino 2.19 | Calmar 1.1
Vol 24% | MDD -24.0%
Months 40M (20%)
CAGR 14.8% | Win 56%
Sharpe 0.63 | Sortino 0.99 | Calmar 0.4
Vol 29% | MDD -41.6%
Months 54M (27%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
RSI
only
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.0% | Win 58%
Sharpe 0.56 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -53.7%
Months 72M (36%)
CAGR -10.5% | Win 51%
Sharpe -0.40 | Sortino -0.66 | Calmar -0.3
Vol 22% | MDD -41.4%
Months 37M (18%)
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
MACD
neg
CAGR 6.3% | Win 58%
Sharpe 0.40 | Sortino 1.02 | Calmar 0.4
Vol 20% | MDD -17.6%
Months 19M (9%)
CAGR 23.0% | Win 57%
Sharpe 0.88 | Sortino 1.42 | Calmar 0.6
Vol 28% | MDD -38.5%
Months 75M (37%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
MACDhist
only
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 15.5% | Win 61%
Sharpe 0.77 | Sortino 1.35 | Calmar 0.4
Vol 22% | MDD -36.9%
Months 66M (32%)
CAGR -13.2% | Win 49%
Sharpe -0.47 | Sortino -0.80 | Calmar -0.2
Vol 24% | MDD -56.4%
Months 43M (21%)
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
MACD
neg
CAGR 48.2% | Win 66%
Sharpe 1.68 | Sortino 5.47 | Calmar 4.9
Vol 26% | MDD -9.9%
Months 35M (17%)
CAGR 5.0% | Win 52%
Sharpe 0.32 | Sortino 0.47 | Calmar 0.1
Vol 27% | MDD -45.7%
Months 59M (29%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 1.2% | Win 55%
Sharpe 0.17 | Sortino 0.28 | Calmar 0.0
Vol 23% | MDD -65.9%
Months 97M (48%)
CAGR 20.4% | Win 67%
Sharpe 0.99 | Sortino 2.44 | Calmar 1.9
Vol 21% | MDD -10.9%
Months 12M (6%)
CAGR 3.2% | Win 56%
Sharpe 0.25 | Sortino 0.42 | Calmar 0.0
Vol 23% | MDD -64.3%
Months 109M (54%)
MACD
neg
CAGR 12.9% | Win 56%
Sharpe 0.58 | Sortino 0.83 | Calmar 0.3
Vol 27% | MDD -38.8%
Months 50M (25%)
CAGR 27.3% | Win 59%
Sharpe 1.06 | Sortino 2.46 | Calmar 0.8
Vol 26% | MDD -34.9%
Months 44M (22%)
CAGR 19.4% | Win 57%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 27% | MDD -45.2%
Months 94M (46%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 14.1% | Win 59%
Sharpe 0.70 | Sortino 1.29 | Calmar 0.4
Vol 22% | MDD -36.3%
Months 83M (41%)
CAGR 6.7% | Win 54%
Sharpe 0.39 | Sortino 0.66 | Calmar 0.2
Vol 24% | MDD -35.2%
Months 50M (25%)
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
RSI
neg
CAGR -24.9% | Win 50%
Sharpe -1.11 | Sortino -1.43 | Calmar -1.2
Vol 23% | MDD -21.3%
Months 8M (4%)
CAGR 14.1% | Win 56%
Sharpe 0.61 | Sortino 0.99 | Calmar 0.3
Vol 28% | MDD -42.1%
Months 62M (30%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
MACDhist
only
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 21.0% | Win 62%
Sharpe 0.97 | Sortino 1.85 | Calmar 1.1
Vol 22% | MDD -18.4%
Months 87M (43%)
CAGR -5.0% | Win 48%
Sharpe -0.09 | Sortino -0.16 | Calmar -0.1
Vol 24% | MDD -48.6%
Months 46M (23%)
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
RSI
neg
CAGR 61.8% | Win 64%
Sharpe 1.77 | Sortino 7.40 | Calmar 8.9
Vol 30% | MDD -7.0%
Months 14M (7%)
CAGR -1.5% | Win 54%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 27% | MDD -49.5%
Months 56M (28%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 10.3% | Win 56%
Sharpe 0.53 | Sortino 0.93 | Calmar 0.2
Vol 24% | MDD -56.1%
Months 114M (56%)
CAGR 17.2% | Win 63%
Sharpe 0.88 | Sortino 2.15 | Calmar 1.3
Vol 20% | MDD -13.7%
Months 19M (9%)
CAGR 11.3% | Win 57%
Sharpe 0.58 | Sortino 1.03 | Calmar 0.2
Vol 23% | MDD -47.3%
Months 133M (66%)
RSI
neg
CAGR -11.2% | Win 52%
Sharpe -0.27 | Sortino -0.37 | Calmar -0.2
Vol 28% | MDD -54.5%
Months 33M (16%)
CAGR 30.5% | Win 60%
Sharpe 1.13 | Sortino 2.58 | Calmar 0.9
Vol 27% | MDD -34.9%
Months 37M (18%)
CAGR 8.8% | Win 56%
Sharpe 0.44 | Sortino 0.72 | Calmar 0.2
Vol 28% | MDD -45.7%
Months 70M (34%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 18.1% | Win 60%
Sharpe 0.85 | Sortino 1.57 | Calmar 0.8
Vol 23% | MDD -22.6%
Months 70M (34%)
CAGR -13.2% | Win 52%
Sharpe -0.54 | Sortino -0.83 | Calmar -0.3
Vol 22% | MDD -38.0%
Months 21M (10%)
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
MACDhist
neg
CAGR 45.6% | Win 68%
Sharpe 1.64 | Sortino 5.84 | Calmar 4.7
Vol 25% | MDD -9.8%
Months 31M (15%)
CAGR -0.3% | Win 51%
Sharpe 0.12 | Sortino 0.19 | Calmar -0.0
Vol 27% | MDD -60.5%
Months 81M (40%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
RSIhist
only
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 8.5% | Win 57%
Sharpe 0.47 | Sortino 0.82 | Calmar 0.2
Vol 23% | MDD -54.4%
Months 83M (41%)
CAGR 26.2% | Win 75%
Sharpe 1.29 | Sortino 42.05 | Calmar 4.0
Vol 20% | MDD -6.6%
Months 8M (4%)
CAGR 10.0% | Win 58%
Sharpe 0.53 | Sortino 0.94 | Calmar 0.2
Vol 23% | MDD -47.1%
Months 91M (45%)
MACDhist
neg
CAGR 0.7% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar 0.0
Vol 27% | MDD -61.1%
Months 64M (32%)
CAGR 25.7% | Win 58%
Sharpe 1.02 | Sortino 2.39 | Calmar 0.7
Vol 26% | MDD -34.9%
Months 48M (24%)
CAGR 10.7% | Win 55%
Sharpe 0.52 | Sortino 0.86 | Calmar 0.2
Vol 26% | MDD -48.1%
Months 112M (55%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 19.6% | Win 60%
Sharpe 0.89 | Sortino 1.70 | Calmar 0.6
Vol 23% | MDD -34.3%
Months 72M (36%)
CAGR 43.2% | Win 69%
Sharpe 1.63 | Sortino 5.12 | Calmar 6.2
Vol 24% | MDD -7.0%
Months 29M (14%)
CAGR 25.9% | Win 62%
Sharpe 1.10 | Sortino 2.33 | Calmar 1.4
Vol 24% | MDD -18.3%
Months 101M (50%)
RSIhist
neg
CAGR -7.2% | Win 51%
Sharpe -0.16 | Sortino -0.23 | Calmar -0.1
Vol 26% | MDD -72.2%
Months 75M (37%)
CAGR 9.5% | Win 52%
Sharpe 0.48 | Sortino 1.03 | Calmar 0.3
Vol 25% | MDD -32.7%
Months 27M (13%)
CAGR -3.1% | Win 51%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.0
Vol 26% | MDD -66.2%
Months 102M (50%)
LWTI
only
CAGR 5.0% | Win 55%
Sharpe 0.32 | Sortino 0.51 | Calmar 0.1
Vol 25% | MDD -76.3%
Months 147M (72%)
CAGR 25.8% | Win 61%
Sharpe 1.05 | Sortino 2.46 | Calmar 0.7
Vol 25% | MDD -34.9%
Months 56M (28%)