EWC - iShares MSCI Canada ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

84.9%

Best CAGR

105

Total Months

11.5%

Avg CAGR

EWC 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 EWC

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 RSI neg-pos 2 0.5 84.9 100.0 5.6 0.0 0.0 11.3 0.0
pair RSI MACDhist neg-pos 2 0.5 84.9 100.0 5.6 0.0 0.0 11.3 0.0
pair MRmean RSIhist neg-pos 5 1.4 79.3 60.0 1.8 38.6 33.8 36.1 -2.3
pair RSIhist MRmean neg-pos 5 1.4 79.3 60.0 1.8 38.6 33.8 36.1 -2.3
pair SLmean RSIhist neg-pos 6 1.6 57.6 83.3 4.5 0.0 151.6 10.5 -0.4
pair RSIhist SLmean neg-pos 6 1.6 57.6 83.3 4.5 0.0 151.6 10.5 -0.4
pair MACDhist LWTI pos-neg 6 1.6 48.9 83.3 2.1 0.0 7.6 20.5 -6.4
pair LWTI MACDhist pos-neg 6 1.6 48.9 83.3 2.1 0.0 7.6 20.5 -6.4
pair RSI RSIhist neg-pos 15 4.1 43.3 73.3 1.5 4.4 5.6 26.1 -7.7
pair RSIhist RSI neg-pos 15 4.1 43.3 73.3 1.5 4.4 5.6 26.1 -7.7
pair MACD MACDhist neg-pos 18 4.9 34.2 77.8 1.9 2.8 4.8 16.1 -7.2
pair MACDhist MACD neg-pos 18 4.9 34.2 77.8 1.9 2.8 4.8 16.1 -7.2
pair MACD RSIhist neg-pos 37 10.1 32.8 70.3 1.5 3.5 4.3 20.2 -7.7
pair RSIhist MACD neg-pos 37 10.1 32.8 70.3 1.5 3.5 4.3 20.2 -7.7
pair RSI MACD neg-pos 32 8.7 25.8 65.6 1.5 2.9 2.8 16.8 -9.2
pair MACD RSI neg-pos 32 8.7 25.8 65.6 1.5 2.9 2.8 16.8 -9.2
pair SLmean RSI pos-neg 19 5.2 25.3 63.2 1.1 2.9 3.0 23.6 -8.4
pair RSI SLmean pos-neg 19 5.2 25.3 63.2 1.1 2.9 3.0 23.6 -8.4
pair MACD LWTI neg-neg 40 10.9 25.0 62.5 1.1 2.7 1.5 23.1 -17.0
pair LWTI MACD neg-neg 40 10.9 25.0 62.5 1.1 2.7 1.5 23.1 -17.0
pair MACD SLmean pos-neg 44 12.0 24.6 65.9 1.2 2.7 2.0 20.0 -12.4
pair SLmean MACD pos-neg 44 12.0 24.6 65.9 1.2 2.7 2.0 20.0 -12.4
pair LWTI RSI neg-neg 46 12.5 23.6 60.9 1.0 2.5 1.0 23.9 -23.1
pair RSI LWTI neg-neg 46 12.5 23.6 60.9 1.0 2.5 1.0 23.9 -23.1
pair MACD RSmean pos-neg 75 20.4 23.2 65.3 1.1 2.0 1.0 21.1 -24.0
pair RSmean MACD pos-neg 75 20.4 23.2 65.3 1.1 2.0 1.0 21.1 -24.0
pair MRmean MACD pos-neg 43 11.7 23.1 67.4 1.3 2.7 2.3 17.2 -10.1
pair MACD MRmean pos-neg 43 11.7 23.1 67.4 1.3 2.7 2.3 17.2 -10.1
pair MRmean RSmean neg-neg 15 4.1 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair RSmean MRmean neg-neg 15 4.1 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair SLmean RSmean neg-neg 15 4.1 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair RSmean SLmean neg-neg 15 4.1 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
single MACD MACD neg-neg 87 23.7 22.2 63.2 1.1 2.0 0.9 20.2 -24.0
pair MACD MRmean neg-neg 44 12.0 21.3 59.1 0.9 1.7 1.1 23.1 -19.0
pair MRmean MACD neg-neg 44 12.0 21.3 59.1 0.9 1.7 1.1 23.1 -19.0
pair RSI MRmean pos-neg 15 4.1 21.2 73.3 1.1 3.1 3.1 18.8 -6.9
pair MRmean RSI pos-neg 15 4.1 21.2 73.3 1.1 3.1 3.1 18.8 -6.9
pair RSmean RSI neg-neg 13 3.5 20.9 53.8 1.4 3.0 3.1 15.0 -6.8
pair RSI RSmean neg-neg 13 3.5 20.9 53.8 1.4 3.0 3.1 15.0 -6.8
pair LWTI RSmean neg-pos 23 6.3 20.9 60.9 1.5 3.0 2.2 13.7 -9.4
pair RSmean LWTI neg-pos 23 6.3 20.9 60.9 1.5 3.0 2.2 13.7 -9.4
pair MACD RSI neg-neg 55 15.0 20.1 61.8 0.9 1.7 0.8 22.1 -24.0
pair RSI MACD neg-neg 55 15.0 20.1 61.8 0.9 1.7 0.8 22.1 -24.0
pair LWTI MACD neg-pos 47 12.8 19.8 63.8 1.1 1.5 1.0 17.7 -19.0
pair MACD LWTI neg-pos 47 12.8 19.8 63.8 1.1 1.5 1.0 17.7 -19.0
pair SLmean MACD neg-neg 43 11.7 19.7 60.5 1.0 1.6 1.0 20.8 -19.0
pair MACD SLmean neg-neg 43 11.7 19.7 60.5 1.0 1.6 1.0 20.8 -19.0
pair MACDhist MACD neg-neg 69 18.8 19.2 59.4 0.9 1.7 0.8 21.2 -24.0
pair MACD MACDhist neg-neg 69 18.8 19.2 59.4 0.9 1.7 0.8 21.2 -24.0
single RSI RSI neg-neg 94 25.6 18.1 61.7 0.8 1.1 0.4 25.0 -49.1
pair RSmean RSI pos-neg 81 22.1 17.7 63.0 0.8 1.1 0.4 26.3 -49.1
pair RSI RSmean pos-neg 81 22.1 17.7 63.0 0.8 1.1 0.4 26.3 -49.1
pair MRmean RSI neg-neg 79 21.5 17.6 59.5 0.8 1.1 0.3 26.1 -50.4
pair RSI MRmean neg-neg 79 21.5 17.6 59.5 0.8 1.1 0.3 26.1 -50.4
pair MACD RSmean neg-pos 12 3.3 17.6 66.7 1.2 2.2 2.7 14.5 -6.6
pair RSmean MACD neg-pos 12 3.3 17.6 66.7 1.2 2.2 2.7 14.5 -6.6
pair MACDhist RSI neg-neg 92 25.1 17.0 60.9 0.8 1.1 0.3 25.2 -52.7
pair RSI MACDhist neg-neg 92 25.1 17.0 60.9 0.8 1.1 0.3 25.2 -52.7
pair RSmean MACDhist neg-neg 19 5.2 16.7 52.6 1.1 2.5 1.4 14.6 -11.7
pair MACDhist RSmean neg-neg 19 5.2 16.7 52.6 1.1 2.5 1.4 14.6 -11.7
pair LWTI MRmean neg-neg 38 10.4 16.6 55.3 0.7 1.7 0.6 25.2 -26.6
pair MRmean LWTI neg-neg 38 10.4 16.6 55.3 0.7 1.7 0.6 25.2 -26.6
single RSmean RSmean neg-neg 24 6.5 16.6 58.3 1.1 2.3 1.8 14.3 -9.4
pair RSmean RSIhist neg-neg 16 4.4 16.6 56.2 1.1 2.3 1.4 14.8 -11.7
pair RSIhist RSmean neg-pos 8 2.2 16.6 62.5 1.1 2.0 3.0 14.3 -5.5
pair RSmean RSIhist neg-pos 8 2.2 16.6 62.5 1.1 2.0 3.0 14.3 -5.5
pair RSIhist RSmean neg-neg 16 4.4 16.6 56.2 1.1 2.3 1.4 14.8 -11.7
pair MACDhist RSmean neg-pos 5 1.4 16.5 80.0 1.1 0.0 3.1 14.8 -5.3
pair RSmean MACDhist neg-pos 5 1.4 16.5 80.0 1.1 0.0 3.1 14.8 -5.3
pair RSI SLmean neg-neg 75 20.4 16.4 61.3 0.7 1.0 0.3 25.4 -48.0
pair SLmean RSI neg-neg 75 20.4 16.4 61.3 0.7 1.0 0.3 25.4 -48.0
pair MRmean MACDhist pos-pos 194 52.9 16.1 62.9 1.1 1.6 0.7 15.2 -22.4
pair MACDhist MRmean pos-pos 194 52.9 16.1 62.9 1.1 1.6 0.7 15.2 -22.4
pair MACDhist RSIhist pos-pos 154 42.0 15.9 61.7 1.1 1.7 1.0 14.9 -15.7
pair RSIhist MACDhist pos-pos 154 42.0 15.9 61.7 1.1 1.7 1.0 14.9 -15.7
pair RSmean MACD neg-neg 12 3.3 15.6 50.0 1.1 2.3 2.3 14.8 -6.8
pair MACD RSmean neg-neg 12 3.3 15.6 50.0 1.1 2.3 2.3 14.8 -6.8
pair SLmean MACDhist pos-pos 173 47.1 15.4 61.8 1.0 1.6 0.7 15.2 -21.1
pair MACD RSI pos-neg 39 10.6 15.4 61.5 0.7 0.8 0.3 28.8 -48.3
pair MACDhist SLmean pos-pos 173 47.1 15.4 61.8 1.0 1.6 0.7 15.2 -21.1
pair RSI MACD pos-neg 39 10.6 15.4 61.5 0.7 0.8 0.3 28.8 -48.3
pair MACD RSIhist neg-neg 50 13.6 14.8 58.0 0.8 1.3 0.8 20.3 -19.0
pair RSIhist MACD neg-neg 50 13.6 14.8 58.0 0.8 1.3 0.8 20.3 -19.0
pair LWTI RSIhist pos-pos 171 46.6 14.1 59.1 1.0 1.6 0.9 14.3 -16.5
pair RSIhist LWTI pos-pos 171 46.6 14.1 59.1 1.0 1.6 0.9 14.3 -16.5
pair RSI RSIhist neg-neg 79 21.5 13.9 59.5 0.7 0.9 0.3 24.8 -53.1
pair RSIhist RSI neg-neg 79 21.5 13.9 59.5 0.7 0.9 0.3 24.8 -53.1
single RSIhist RSIhist pos-pos 201 54.8 13.8 58.2 0.9 1.6 0.6 16.0 -25.0
pair RSmean RSIhist pos-pos 193 52.6 13.7 58.0 0.9 1.6 0.6 16.1 -23.7
pair RSIhist RSmean pos-pos 193 52.6 13.7 58.0 0.9 1.6 0.6 16.1 -23.7
single MACDhist MACDhist pos-pos 205 55.9 13.6 62.4 0.9 1.1 0.4 16.4 -35.2
pair MACDhist RSmean pos-pos 200 54.5 13.5 62.0 0.9 1.1 0.4 16.4 -37.9
pair SLmean MRmean neg-pos 12 3.3 13.5 41.7 0.6 3.1 1.4 25.4 -9.6
pair MRmean SLmean neg-pos 12 3.3 13.5 41.7 0.6 3.1 1.4 25.4 -9.6
pair RSmean MACDhist pos-pos 200 54.5 13.5 62.0 0.9 1.1 0.4 16.4 -37.9
pair LWTI RSI neg-pos 48 13.1 13.1 62.5 0.6 0.7 0.3 26.2 -42.1
pair RSI LWTI neg-pos 48 13.1 13.1 62.5 0.6 0.7 0.3 26.2 -42.1
pair RSI MACDhist pos-pos 203 55.3 13.0 62.1 0.8 1.1 0.3 16.4 -37.1
pair MACDhist RSI pos-pos 203 55.3 13.0 62.1 0.8 1.1 0.3 16.4 -37.1
pair LWTI SLmean neg-neg 34 9.3 12.8 55.9 0.6 1.4 0.5 23.4 -24.8
pair SLmean LWTI neg-neg 34 9.3 12.8 55.9 0.6 1.4 0.5 23.4 -24.8
pair RSIhist SLmean pos-pos 195 53.1 12.7 57.4 0.8 1.5 0.5 16.1 -25.0
pair SLmean RSIhist pos-pos 195 53.1 12.7 57.4 0.8 1.5 0.5 16.1 -25.0
pair LWTI MACDhist pos-pos 199 54.2 12.6 61.8 0.8 1.0 0.3 16.2 -37.3
pair MACDhist LWTI pos-pos 199 54.2 12.6 61.8 0.8 1.0 0.3 16.2 -37.3
pair RSIhist MRmean pos-pos 196 53.4 12.5 58.2 0.9 1.5 0.5 15.2 -25.0
pair MRmean RSIhist pos-pos 196 53.4 12.5 58.2 0.9 1.5 0.5 15.2 -25.0
pair LWTI RSIhist pos-neg 30 8.2 12.2 53.3 0.6 2.6 0.6 23.9 -19.5
pair RSIhist LWTI pos-neg 30 8.2 12.2 53.3 0.6 2.6 0.6 23.9 -19.5
pair MACD MACDhist pos-pos 187 51.0 11.8 61.0 0.8 1.0 0.3 16.3 -42.2
pair MACDhist MACD pos-pos 187 51.0 11.8 61.0 0.8 1.0 0.3 16.3 -42.2
pair RSmean RSI neg-pos 11 3.0 11.7 63.6 0.8 1.5 1.8 14.1 -6.6
pair RSI RSIhist pos-pos 186 50.7 11.7 57.0 0.8 1.4 0.5 14.8 -25.0
pair RSI RSmean neg-pos 11 3.0 11.7 63.6 0.8 1.5 1.8 14.1 -6.6
pair RSIhist RSI pos-pos 186 50.7 11.7 57.0 0.8 1.4 0.5 14.8 -25.0
pair SLmean LWTI pos-pos 209 56.9 11.4 58.4 0.8 1.1 0.4 15.6 -27.6
pair LWTI SLmean pos-pos 209 56.9 11.4 58.4 0.8 1.1 0.4 15.6 -27.6
pair LWTI MRmean pos-pos 232 63.2 11.4 59.5 0.8 1.1 0.3 15.7 -34.7
pair MRmean LWTI pos-pos 232 63.2 11.4 59.5 0.8 1.1 0.3 15.7 -34.7
pair RSmean LWTI pos-neg 67 18.3 11.0 55.2 0.6 1.5 0.4 22.7 -27.4
pair LWTI RSmean pos-neg 67 18.3 11.0 55.2 0.6 1.5 0.4 22.7 -27.4
pair SLmean RSmean pos-pos 234 63.8 10.9 57.7 0.7 1.2 0.3 16.7 -30.7
pair RSmean SLmean pos-pos 234 63.8 10.9 57.7 0.7 1.2 0.3 16.7 -30.7
single SLmean SLmean pos-pos 243 66.2 10.7 57.6 0.7 1.2 0.3 16.6 -31.9
pair SLmean MRmean pos-pos 231 62.9 10.6 58.4 0.7 1.1 0.3 16.1 -29.8
pair MRmean SLmean pos-pos 231 62.9 10.6 58.4 0.7 1.1 0.3 16.1 -29.8
pair MRmean RSmean pos-pos 253 68.9 10.4 58.9 0.7 1.1 0.3 16.2 -37.8
pair RSmean MRmean pos-pos 253 68.9 10.4 58.9 0.7 1.1 0.3 16.2 -37.8
single MRmean MRmean pos-pos 262 71.4 10.2 58.8 0.7 1.1 0.3 16.1 -37.8
pair MACD RSIhist pos-pos 164 44.7 10.0 55.5 0.7 1.2 0.4 14.8 -25.0
pair RSIhist MACD pos-pos 164 44.7 10.0 55.5 0.7 1.2 0.4 14.8 -25.0
pair MRmean MACDhist neg-neg 94 25.6 9.8 58.5 0.5 0.7 0.2 27.0 -53.9
pair MACDhist MRmean neg-neg 94 25.6 9.8 58.5 0.5 0.7 0.2 27.0 -53.9
single LWTI LWTI neg-neg 68 18.5 9.7 54.4 0.5 1.4 0.4 22.7 -27.4
pair RSI MRmean pos-pos 247 67.3 9.6 57.9 0.7 1.0 0.3 16.0 -34.7
pair MRmean RSI pos-pos 247 67.3 9.6 57.9 0.7 1.0 0.3 16.0 -34.7
pair SLmean RSI pos-pos 224 61.0 9.5 57.1 0.7 1.0 0.3 15.9 -31.9
pair RSI SLmean pos-pos 224 61.0 9.5 57.1 0.7 1.0 0.3 15.9 -31.9
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 9.0 58.6 0.5 0.7 0.2 19.9 -56.6
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 9.0 58.6 0.5 0.7 0.2 19.9 -56.6
single LWTI LWTI pos-pos 299 81.5 8.8 59.5 0.5 0.6 0.2 19.3 -51.8
single RSmean RSmean pos-pos 343 93.5 8.4 58.6 0.5 0.7 0.1 20.3 -55.9
pair RSI LWTI pos-pos 251 68.4 8.0 59.0 0.5 0.6 0.2 17.7 -37.9
pair LWTI RSI pos-pos 251 68.4 8.0 59.0 0.5 0.6 0.2 17.7 -37.9
pair SLmean MRmean pos-neg 31 8.4 8.0 61.3 0.6 0.9 0.5 16.1 -16.7
pair MRmean SLmean pos-neg 31 8.4 8.0 61.3 0.6 0.9 0.5 16.1 -16.7
pair MRmean MACD pos-pos 219 59.7 7.9 57.1 0.6 0.8 0.2 15.8 -34.7
pair MACD MRmean pos-pos 219 59.7 7.9 57.1 0.6 0.8 0.2 15.8 -34.7
pair RSIhist LWTI neg-neg 38 10.4 7.9 55.3 0.5 0.9 0.3 22.1 -24.8
pair LWTI RSIhist neg-neg 38 10.4 7.9 55.3 0.5 0.9 0.3 22.1 -24.8
pair RSmean LWTI pos-pos 276 75.2 7.8 59.4 0.5 0.6 0.1 19.6 -51.0
pair LWTI RSmean pos-pos 276 75.2 7.8 59.4 0.5 0.6 0.1 19.6 -51.0
pair MACD SLmean pos-pos 199 54.2 7.8 55.8 0.6 0.9 0.2 15.8 -35.5
pair SLmean MACD pos-pos 199 54.2 7.8 55.8 0.6 0.9 0.2 15.8 -35.5
pair MACDhist RSIhist neg-pos 47 12.8 7.4 46.8 0.5 1.4 0.4 19.2 -17.9
pair RSIhist MACDhist neg-pos 47 12.8 7.4 46.8 0.5 1.4 0.4 19.2 -17.9
pair MACDhist RSIhist pos-neg 51 13.9 6.9 64.7 0.4 0.5 0.2 20.1 -36.8
pair RSIhist MACDhist pos-neg 51 13.9 6.9 64.7 0.4 0.5 0.2 20.1 -36.8
pair LWTI SLmean pos-neg 34 9.3 6.8 52.9 0.4 1.4 0.3 22.4 -19.5
pair SLmean LWTI pos-neg 34 9.3 6.8 52.9 0.4 1.4 0.3 22.4 -19.5
pair MACD LWTI pos-pos 252 68.7 6.8 58.7 0.4 0.5 0.1 19.5 -53.5
pair LWTI MACD pos-pos 252 68.7 6.8 58.7 0.4 0.5 0.1 19.5 -53.5
pair SLmean RSmean pos-neg 9 2.5 6.6 55.6 0.5 0.9 0.8 15.4 -8.0
pair RSmean SLmean pos-neg 9 2.5 6.6 55.6 0.5 0.9 0.8 15.4 -8.0
pair MRmean RSmean pos-neg 9 2.5 6.6 55.6 0.5 0.9 0.8 15.4 -8.0
pair RSmean MRmean pos-neg 9 2.5 6.6 55.6 0.5 0.9 0.8 15.4 -8.0
pair LWTI MACDhist neg-neg 62 16.9 6.5 51.6 0.4 1.0 0.2 22.9 -27.4
pair MACDhist LWTI neg-neg 62 16.9 6.5 51.6 0.4 1.0 0.2 22.9 -27.4
pair SLmean MACDhist neg-neg 92 25.1 6.0 58.7 0.4 0.5 0.1 26.4 -56.5
pair MACDhist SLmean neg-neg 92 25.1 6.0 58.7 0.4 0.5 0.1 26.4 -56.5
single RSI RSI pos-pos 273 74.4 6.0 57.5 0.4 0.5 0.1 17.8 -52.2
single MRmean MRmean neg-neg 105 28.6 5.8 58.1 0.3 0.5 0.1 27.3 -53.9
pair RSmean RSI pos-pos 262 71.4 5.7 57.3 0.4 0.5 0.1 18.0 -55.2
pair RSI RSmean pos-pos 262 71.4 5.7 57.3 0.4 0.5 0.1 18.0 -55.2
single SLmean SLmean neg-neg 124 33.8 5.6 60.5 0.3 0.4 0.1 25.2 -50.9
single MACD MACD pos-pos 280 76.3 5.1 57.1 0.4 0.5 0.1 19.7 -57.7
pair MRmean SLmean neg-neg 93 25.3 4.8 60.2 0.3 0.4 0.1 27.6 -55.1
pair SLmean MRmean neg-neg 93 25.3 4.8 60.2 0.3 0.4 0.1 27.6 -55.1
pair MACD RSmean pos-pos 268 73.0 4.6 56.7 0.3 0.4 0.1 19.9 -59.5
pair RSmean MACD pos-pos 268 73.0 4.6 56.7 0.3 0.4 0.1 19.9 -59.5
pair SLmean MACDhist neg-pos 32 8.7 4.4 65.6 0.3 0.3 0.1 21.8 -34.0
pair MACDhist SLmean neg-pos 32 8.7 4.4 65.6 0.3 0.3 0.1 21.8 -34.0
pair RSIhist MRmean pos-neg 66 18.0 3.8 60.6 0.3 0.4 0.1 18.6 -40.2
pair MRmean RSIhist pos-neg 66 18.0 3.8 60.6 0.3 0.4 0.1 18.6 -40.2
pair RSI MACD pos-pos 241 65.7 3.6 56.4 0.3 0.4 0.1 17.9 -58.9
pair MACD RSI pos-pos 241 65.7 3.6 56.4 0.3 0.4 0.1 17.9 -58.9
pair SLmean RSIhist neg-neg 118 32.2 3.5 59.3 0.3 0.3 0.1 25.6 -50.9
pair RSIhist SLmean neg-neg 118 32.2 3.5 59.3 0.3 0.3 0.1 25.6 -50.9
pair SLmean RSmean neg-pos 109 29.7 3.4 60.6 0.3 0.3 0.1 26.4 -50.9
pair RSmean SLmean neg-pos 109 29.7 3.4 60.6 0.3 0.3 0.1 26.4 -50.9
single MACDhist MACDhist neg-neg 162 44.1 3.4 53.7 0.3 0.4 0.1 23.7 -61.4
single RSIhist RSIhist neg-neg 166 45.2 3.3 59.0 0.3 0.3 0.1 23.8 -54.4
pair MRmean RSmean neg-pos 90 24.5 3.1 57.8 0.3 0.3 0.1 28.9 -53.9
pair RSmean MRmean neg-pos 90 24.5 3.1 57.8 0.3 0.3 0.1 28.9 -53.9
pair LWTI SLmean neg-pos 90 24.5 3.0 62.2 0.2 0.3 0.1 25.9 -48.7
pair SLmean LWTI neg-pos 90 24.5 3.0 62.2 0.2 0.3 0.1 25.9 -48.7
pair MRmean RSIhist neg-neg 100 27.2 3.0 58.0 0.2 0.3 0.1 26.8 -56.5
pair RSIhist MRmean neg-neg 100 27.2 3.0 58.0 0.2 0.3 0.1 26.8 -56.5
pair RSIhist SLmean pos-neg 48 13.1 2.9 58.3 0.2 0.3 0.1 18.8 -32.7
pair SLmean RSIhist pos-neg 48 13.1 2.9 58.3 0.2 0.3 0.1 18.8 -32.7
pair RSIhist LWTI neg-pos 128 34.9 2.0 60.2 0.2 0.2 0.0 24.4 -56.2
pair LWTI RSIhist neg-pos 128 34.9 2.0 60.2 0.2 0.2 0.0 24.4 -56.2
pair RSmean RSIhist pos-neg 150 40.9 2.0 59.3 0.2 0.3 0.0 24.6 -55.9
pair RSIhist RSmean pos-neg 150 40.9 2.0 59.3 0.2 0.3 0.0 24.6 -55.9
pair RSIhist MACDhist neg-neg 115 31.3 1.8 56.5 0.2 0.3 0.0 25.3 -61.7
pair MACDhist RSIhist neg-neg 115 31.3 1.8 56.5 0.2 0.3 0.0 25.3 -61.7
pair RSmean MACDhist pos-neg 143 39.0 1.7 53.8 0.2 0.3 0.0 24.6 -60.7
pair MACDhist RSmean pos-neg 143 39.0 1.7 53.8 0.2 0.3 0.0 24.6 -60.7
pair LWTI MRmean pos-neg 30 8.2 1.6 53.3 0.2 0.7 0.1 19.3 -19.9
pair MRmean LWTI pos-neg 30 8.2 1.6 53.3 0.2 0.7 0.1 19.3 -19.9
pair LWTI MACDhist neg-pos 100 27.2 1.5 55.0 0.2 0.2 0.0 24.2 -58.3
pair MACDhist LWTI neg-pos 100 27.2 1.5 55.0 0.2 0.2 0.0 24.2 -58.3
pair LWTI MRmean neg-pos 67 18.3 0.1 59.7 0.1 0.2 0.0 28.5 -50.8
pair MRmean LWTI neg-pos 67 18.3 0.1 59.7 0.1 0.2 0.0 28.5 -50.8
pair SLmean MACDhist pos-neg 70 19.1 0.0 47.1 0.1 0.2 0.0 19.6 -31.7
pair MACDhist SLmean pos-neg 70 19.1 0.0 47.1 0.1 0.2 0.0 19.6 -31.7
pair SLmean MACD neg-pos 81 22.1 -1.2 60.5 0.1 0.1 -0.0 27.2 -53.0
pair MACD SLmean neg-pos 81 22.1 -1.2 60.5 0.1 0.1 -0.0 27.2 -53.0
pair RSIhist MACD pos-neg 116 31.6 -1.3 59.5 0.1 0.1 -0.0 25.1 -58.6
pair MACD RSIhist pos-neg 116 31.6 -1.3 59.5 0.1 0.1 -0.0 25.1 -58.6
pair MACD MRmean neg-pos 61 16.6 -4.1 57.4 0.0 0.0 -0.1 29.9 -58.0
pair MRmean MACD neg-pos 61 16.6 -4.1 57.4 0.0 0.0 -0.1 29.9 -58.0
pair MRmean MACDhist pos-neg 68 18.5 -4.9 47.1 -0.2 -0.3 -0.1 17.8 -41.0
pair MACDhist MRmean pos-neg 68 18.5 -4.9 47.1 -0.2 -0.3 -0.1 17.8 -41.0
pair RSIhist RSI pos-neg 87 23.7 -5.4 58.6 -0.1 -0.1 -0.1 22.7 -56.1
pair RSI RSIhist pos-neg 87 23.7 -5.4 58.6 -0.1 -0.1 -0.1 22.7 -56.1
pair MACDhist MACD pos-neg 93 25.3 -7.0 49.5 -0.2 -0.2 -0.1 25.0 -59.1
pair MACD MACDhist pos-neg 93 25.3 -7.0 49.5 -0.2 -0.2 -0.1 25.0 -59.1
pair MACD LWTI pos-neg 28 7.6 -8.8 42.9 -0.3 -0.8 -0.2 21.4 -38.0
pair LWTI MACD pos-neg 28 7.6 -8.8 42.9 -0.3 -0.8 -0.2 21.4 -38.0
pair RSI SLmean neg-pos 49 13.4 -9.0 59.2 -0.3 -0.3 -0.2 24.4 -48.8
pair SLmean RSI neg-pos 49 13.4 -9.0 59.2 -0.3 -0.3 -0.2 24.4 -48.8
pair RSI MACDhist pos-neg 70 19.1 -12.1 44.3 -0.5 -0.7 -0.2 20.7 -64.9
pair MACDhist RSI pos-neg 70 19.1 -12.1 44.3 -0.5 -0.7 -0.2 20.7 -64.9
pair LWTI RSI pos-neg 22 6.0 -14.4 40.9 -0.7 -1.8 -0.4 18.6 -35.0
pair RSI LWTI pos-neg 22 6.0 -14.4 40.9 -0.7 -1.8 -0.4 18.6 -35.0
pair MRmean MACDhist neg-pos 11 3.0 -23.2 54.5 -0.8 -0.7 -0.8 29.3 -30.9
pair MACDhist MRmean neg-pos 11 3.0 -23.2 54.5 -0.8 -0.7 -0.8 29.3 -30.9
pair MRmean RSI neg-pos 26 7.1 -23.3 53.8 -0.7 -0.8 -0.5 29.4 -50.2
pair RSI MRmean neg-pos 26 7.1 -23.3 53.8 -0.7 -0.8 -0.5 29.4 -50.2
pair RSmean LWTI neg-neg 1 0.3 -49.4 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -49.4 0.0 0.0 0.0 0.0 - 0.0

All Contingency Tables for EWC

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 58%
Sharpe 0.70 | Sortino 1.11 | Calmar 0.4
Vol 16% | MDD -29.8%
Months 231M (63%)
CAGR 8.0% | Win 61%
Sharpe 0.56 | Sortino 0.92 | Calmar 0.5
Vol 16% | MDD -16.7%
Months 31M (8%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR 13.5% | Win 42%
Sharpe 0.61 | Sortino 3.13 | Calmar 1.4
Vol 25% | MDD -9.6%
Months 12M (3%)
CAGR 4.8% | Win 60%
Sharpe 0.32 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -55.1%
Months 93M (25%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
SLmean
only
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 253M (69%)
CAGR 6.6% | Win 56%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.8
Vol 15% | MDD -8.0%
Months 9M (2%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR 3.1% | Win 58%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -53.9%
Months 90M (24%)
CAGR 23.1% | Win 60%
Sharpe 1.57 | Sortino 3.24 | Calmar 3.4
Vol 14% | MDD -6.8%
Months 15M (4%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
RSmean
only
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 7.9% | Win 57%
Sharpe 0.56 | Sortino 0.85 | Calmar 0.2
Vol 16% | MDD -34.7%
Months 219M (60%)
CAGR 23.1% | Win 67%
Sharpe 1.30 | Sortino 2.67 | Calmar 2.3
Vol 17% | MDD -10.1%
Months 43M (12%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR -4.1% | Win 57%
Sharpe 0.02 | Sortino 0.02 | Calmar -0.1
Vol 30% | MDD -58.0%
Months 61M (17%)
CAGR 21.3% | Win 59%
Sharpe 0.95 | Sortino 1.68 | Calmar 1.1
Vol 23% | MDD -19.0%
Months 44M (12%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
MACD
only
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 16% | MDD -34.7%
Months 247M (67%)
CAGR 21.2% | Win 73%
Sharpe 1.11 | Sortino 3.11 | Calmar 3.1
Vol 19% | MDD -6.9%
Months 15M (4%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR -23.3% | Win 54%
Sharpe -0.74 | Sortino -0.81 | Calmar -0.5
Vol 29% | MDD -50.2%
Months 26M (7%)
CAGR 17.6% | Win 60%
Sharpe 0.76 | Sortino 1.07 | Calmar 0.3
Vol 26% | MDD -50.4%
Months 79M (22%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
RSI
only
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 16.1% | Win 63%
Sharpe 1.06 | Sortino 1.63 | Calmar 0.7
Vol 15% | MDD -22.4%
Months 194M (53%)
CAGR -4.9% | Win 47%
Sharpe -0.19 | Sortino -0.34 | Calmar -0.1
Vol 18% | MDD -41.0%
Months 68M (18%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR -23.2% | Win 55%
Sharpe -0.75 | Sortino -0.68 | Calmar -0.8
Vol 29% | MDD -30.9%
Months 11M (3%)
CAGR 9.8% | Win 58%
Sharpe 0.49 | Sortino 0.66 | Calmar 0.2
Vol 27% | MDD -53.9%
Months 94M (26%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
MACDhist
only
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.5% | Win 58%
Sharpe 0.86 | Sortino 1.48 | Calmar 0.5
Vol 15% | MDD -25.0%
Months 196M (53%)
CAGR 3.8% | Win 61%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 19% | MDD -40.2%
Months 66M (18%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR 79.3% | Win 60%
Sharpe 1.79 | Sortino 38.62 | Calmar 33.8
Vol 36% | MDD -2.3%
Months 5M (1%)
CAGR 3.0% | Win 58%
Sharpe 0.25 | Sortino 0.31 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 100M (27%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.4% | Win 60%
Sharpe 0.77 | Sortino 1.14 | Calmar 0.3
Vol 16% | MDD -34.7%
Months 232M (63%)
CAGR 1.6% | Win 53%
Sharpe 0.17 | Sortino 0.66 | Calmar 0.1
Vol 19% | MDD -19.9%
Months 30M (8%)
CAGR 10.2% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 262M (71%)
MRmean
neg
CAGR 0.1% | Win 60%
Sharpe 0.15 | Sortino 0.17 | Calmar 0.0
Vol 28% | MDD -50.8%
Months 67M (18%)
CAGR 16.6% | Win 55%
Sharpe 0.73 | Sortino 1.68 | Calmar 0.6
Vol 25% | MDD -26.6%
Months 38M (10%)
CAGR 5.8% | Win 58%
Sharpe 0.35 | Sortino 0.45 | Calmar 0.1
Vol 27% | MDD -53.9%
Months 105M (29%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.9% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 234M (64%)
CAGR 6.6% | Win 56%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.8
Vol 15% | MDD -8.0%
Months 9M (2%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR 3.4% | Win 61%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.9%
Months 109M (30%)
CAGR 23.1% | Win 60%
Sharpe 1.57 | Sortino 3.24 | Calmar 3.4
Vol 14% | MDD -6.8%
Months 15M (4%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
RSmean
only
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 7.8% | Win 56%
Sharpe 0.56 | Sortino 0.87 | Calmar 0.2
Vol 16% | MDD -35.5%
Months 199M (54%)
CAGR 24.6% | Win 66%
Sharpe 1.21 | Sortino 2.68 | Calmar 2.0
Vol 20% | MDD -12.4%
Months 44M (12%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR -1.2% | Win 60%
Sharpe 0.10 | Sortino 0.12 | Calmar -0.0
Vol 27% | MDD -53.0%
Months 81M (22%)
CAGR 19.7% | Win 60%
Sharpe 0.97 | Sortino 1.57 | Calmar 1.0
Vol 21% | MDD -19.0%
Months 43M (12%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
MACD
only
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 9.5% | Win 57%
Sharpe 0.65 | Sortino 1.03 | Calmar 0.3
Vol 16% | MDD -31.9%
Months 224M (61%)
CAGR 25.3% | Win 63%
Sharpe 1.07 | Sortino 2.89 | Calmar 3.0
Vol 24% | MDD -8.4%
Months 19M (5%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR -9.0% | Win 59%
Sharpe -0.26 | Sortino -0.28 | Calmar -0.2
Vol 24% | MDD -48.8%
Months 49M (13%)
CAGR 16.4% | Win 61%
Sharpe 0.73 | Sortino 1.00 | Calmar 0.3
Vol 25% | MDD -48.0%
Months 75M (20%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
RSI
only
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 15.4% | Win 62%
Sharpe 1.02 | Sortino 1.61 | Calmar 0.7
Vol 15% | MDD -21.1%
Months 173M (47%)
CAGR 0.0% | Win 47%
Sharpe 0.09 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -31.7%
Months 70M (19%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR 4.4% | Win 66%
Sharpe 0.31 | Sortino 0.29 | Calmar 0.1
Vol 22% | MDD -34.0%
Months 32M (9%)
CAGR 6.0% | Win 59%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -56.5%
Months 92M (25%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
MACDhist
only
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 12.7% | Win 57%
Sharpe 0.83 | Sortino 1.53 | Calmar 0.5
Vol 16% | MDD -25.0%
Months 195M (53%)
CAGR 2.9% | Win 58%
Sharpe 0.25 | Sortino 0.35 | Calmar 0.1
Vol 19% | MDD -32.7%
Months 48M (13%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR 57.6% | Win 83%
Sharpe 4.47 | Sortino 0.00 | Calmar 151.6
Vol 10% | MDD -0.4%
Months 6M (2%)
CAGR 3.5% | Win 59%
Sharpe 0.27 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -50.9%
Months 118M (32%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.4% | Win 58%
Sharpe 0.77 | Sortino 1.15 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 209M (57%)
CAGR 6.8% | Win 53%
Sharpe 0.40 | Sortino 1.40 | Calmar 0.3
Vol 22% | MDD -19.5%
Months 34M (9%)
CAGR 10.7% | Win 58%
Sharpe 0.70 | Sortino 1.16 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 243M (66%)
SLmean
neg
CAGR 3.0% | Win 62%
Sharpe 0.25 | Sortino 0.28 | Calmar 0.1
Vol 26% | MDD -48.7%
Months 90M (24%)
CAGR 12.8% | Win 56%
Sharpe 0.63 | Sortino 1.37 | Calmar 0.5
Vol 23% | MDD -24.8%
Months 34M (9%)
CAGR 5.6% | Win 60%
Sharpe 0.35 | Sortino 0.43 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 124M (34%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.6% | Win 57%
Sharpe 0.33 | Sortino 0.41 | Calmar 0.1
Vol 20% | MDD -59.5%
Months 268M (73%)
CAGR 23.2% | Win 65%
Sharpe 1.10 | Sortino 1.99 | Calmar 1.0
Vol 21% | MDD -24.0%
Months 75M (20%)
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
RSmean
neg
CAGR 17.6% | Win 67%
Sharpe 1.20 | Sortino 2.20 | Calmar 2.7
Vol 14% | MDD -6.6%
Months 12M (3%)
CAGR 15.6% | Win 50%
Sharpe 1.05 | Sortino 2.31 | Calmar 2.3
Vol 15% | MDD -6.8%
Months 12M (3%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
MACD
only
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.7% | Win 57%
Sharpe 0.40 | Sortino 0.51 | Calmar 0.1
Vol 18% | MDD -55.2%
Months 262M (71%)
CAGR 17.7% | Win 63%
Sharpe 0.76 | Sortino 1.09 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 81M (22%)
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
RSmean
neg
CAGR 11.7% | Win 64%
Sharpe 0.85 | Sortino 1.53 | Calmar 1.8
Vol 14% | MDD -6.6%
Months 11M (3%)
CAGR 20.9% | Win 54%
Sharpe 1.35 | Sortino 2.99 | Calmar 3.1
Vol 15% | MDD -6.8%
Months 13M (4%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
RSI
only
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.5% | Win 62%
Sharpe 0.86 | Sortino 1.09 | Calmar 0.4
Vol 16% | MDD -37.9%
Months 200M (54%)
CAGR 1.7% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 25% | MDD -60.7%
Months 143M (39%)
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
RSmean
neg
CAGR 16.5% | Win 80%
Sharpe 1.10 | Sortino 0.00 | Calmar 3.1
Vol 15% | MDD -5.3%
Months 5M (1%)
CAGR 16.7% | Win 53%
Sharpe 1.13 | Sortino 2.45 | Calmar 1.4
Vol 15% | MDD -11.7%
Months 19M (5%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
MACDhist
only
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 13.7% | Win 58%
Sharpe 0.88 | Sortino 1.62 | Calmar 0.6
Vol 16% | MDD -23.7%
Months 193M (53%)
CAGR 2.0% | Win 59%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 25% | MDD -55.9%
Months 150M (41%)
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
RSmean
neg
CAGR 16.6% | Win 62%
Sharpe 1.15 | Sortino 2.02 | Calmar 3.0
Vol 14% | MDD -5.5%
Months 8M (2%)
CAGR 16.6% | Win 56%
Sharpe 1.12 | Sortino 2.27 | Calmar 1.4
Vol 15% | MDD -11.7%
Months 16M (4%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 59%
Sharpe 0.49 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -51.0%
Months 276M (75%)
CAGR 11.0% | Win 55%
Sharpe 0.57 | Sortino 1.47 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 67M (18%)
CAGR 8.4% | Win 59%
Sharpe 0.51 | Sortino 0.67 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 343M (94%)
RSmean
neg
CAGR 20.9% | Win 61%
Sharpe 1.47 | Sortino 3.03 | Calmar 2.2
Vol 14% | MDD -9.4%
Months 23M (6%)
CAGR -49.4% | Win 0%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (6%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.6% | Win 56%
Sharpe 0.29 | Sortino 0.36 | Calmar 0.1
Vol 18% | MDD -58.9%
Months 241M (66%)
CAGR 15.4% | Win 62%
Sharpe 0.65 | Sortino 0.84 | Calmar 0.3
Vol 29% | MDD -48.3%
Months 39M (11%)
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
MACD
neg
CAGR 25.8% | Win 66%
Sharpe 1.46 | Sortino 2.89 | Calmar 2.8
Vol 17% | MDD -9.2%
Months 32M (9%)
CAGR 20.1% | Win 62%
Sharpe 0.94 | Sortino 1.67 | Calmar 0.8
Vol 22% | MDD -24.0%
Months 55M (15%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
RSI
only
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.8% | Win 61%
Sharpe 0.77 | Sortino 0.97 | Calmar 0.3
Vol 16% | MDD -42.2%
Months 187M (51%)
CAGR -7.0% | Win 50%
Sharpe -0.16 | Sortino -0.22 | Calmar -0.1
Vol 25% | MDD -59.1%
Months 93M (25%)
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
MACD
neg
CAGR 34.2% | Win 78%
Sharpe 1.93 | Sortino 2.79 | Calmar 4.8
Vol 16% | MDD -7.2%
Months 18M (5%)
CAGR 19.2% | Win 59%
Sharpe 0.93 | Sortino 1.74 | Calmar 0.8
Vol 21% | MDD -24.0%
Months 69M (19%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
MACDhist
only
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.0% | Win 56%
Sharpe 0.72 | Sortino 1.22 | Calmar 0.4
Vol 15% | MDD -25.0%
Months 164M (45%)
CAGR -1.3% | Win 60%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 25% | MDD -58.6%
Months 116M (32%)
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
MACD
neg
CAGR 32.8% | Win 70%
Sharpe 1.51 | Sortino 3.52 | Calmar 4.3
Vol 20% | MDD -7.7%
Months 37M (10%)
CAGR 14.8% | Win 58%
Sharpe 0.79 | Sortino 1.29 | Calmar 0.8
Vol 20% | MDD -19.0%
Months 50M (14%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 59%
Sharpe 0.44 | Sortino 0.52 | Calmar 0.1
Vol 20% | MDD -53.5%
Months 252M (69%)
CAGR -8.8% | Win 43%
Sharpe -0.33 | Sortino -0.85 | Calmar -0.2
Vol 21% | MDD -38.0%
Months 28M (8%)
CAGR 5.1% | Win 57%
Sharpe 0.36 | Sortino 0.45 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 280M (76%)
MACD
neg
CAGR 19.8% | Win 64%
Sharpe 1.12 | Sortino 1.50 | Calmar 1.0
Vol 18% | MDD -19.0%
Months 47M (13%)
CAGR 25.0% | Win 62%
Sharpe 1.08 | Sortino 2.72 | Calmar 1.5
Vol 23% | MDD -17.0%
Months 40M (11%)
CAGR 22.2% | Win 63%
Sharpe 1.09 | Sortino 1.98 | Calmar 0.9
Vol 20% | MDD -24.0%
Months 87M (24%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.0% | Win 62%
Sharpe 0.84 | Sortino 1.07 | Calmar 0.4
Vol 16% | MDD -37.1%
Months 203M (55%)
CAGR -12.1% | Win 44%
Sharpe -0.52 | Sortino -0.69 | Calmar -0.2
Vol 21% | MDD -64.9%
Months 70M (19%)
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
RSI
neg
CAGR 84.9% | Win 100%
Sharpe 5.63 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (0%)
CAGR 17.0% | Win 61%
Sharpe 0.76 | Sortino 1.08 | Calmar 0.3
Vol 25% | MDD -52.7%
Months 92M (25%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
MACDhist
only
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 11.7% | Win 57%
Sharpe 0.82 | Sortino 1.42 | Calmar 0.5
Vol 15% | MDD -25.0%
Months 186M (51%)
CAGR -5.4% | Win 59%
Sharpe -0.13 | Sortino -0.15 | Calmar -0.1
Vol 23% | MDD -56.1%
Months 87M (24%)
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
RSI
neg
CAGR 43.3% | Win 73%
Sharpe 1.51 | Sortino 4.37 | Calmar 5.6
Vol 26% | MDD -7.7%
Months 15M (4%)
CAGR 13.9% | Win 60%
Sharpe 0.66 | Sortino 0.89 | Calmar 0.3
Vol 25% | MDD -53.1%
Months 79M (22%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.0% | Win 59%
Sharpe 0.53 | Sortino 0.64 | Calmar 0.2
Vol 18% | MDD -37.9%
Months 251M (68%)
CAGR -14.4% | Win 41%
Sharpe -0.74 | Sortino -1.81 | Calmar -0.4
Vol 19% | MDD -35.0%
Months 22M (6%)
CAGR 6.0% | Win 57%
Sharpe 0.42 | Sortino 0.53 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 273M (74%)
RSI
neg
CAGR 13.1% | Win 62%
Sharpe 0.61 | Sortino 0.70 | Calmar 0.3
Vol 26% | MDD -42.1%
Months 48M (13%)
CAGR 23.6% | Win 61%
Sharpe 1.01 | Sortino 2.50 | Calmar 1.0
Vol 24% | MDD -23.1%
Months 46M (12%)
CAGR 18.1% | Win 62%
Sharpe 0.80 | Sortino 1.14 | Calmar 0.4
Vol 25% | MDD -49.1%
Months 94M (26%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.9% | Win 62%
Sharpe 1.07 | Sortino 1.68 | Calmar 1.0
Vol 15% | MDD -15.7%
Months 154M (42%)
CAGR 6.9% | Win 65%
Sharpe 0.44 | Sortino 0.46 | Calmar 0.2
Vol 20% | MDD -36.8%
Months 51M (14%)
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
MACDhist
neg
CAGR 7.4% | Win 47%
Sharpe 0.46 | Sortino 1.42 | Calmar 0.4
Vol 19% | MDD -17.9%
Months 47M (13%)
CAGR 1.8% | Win 56%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 25% | MDD -61.7%
Months 115M (31%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
RSIhist
only
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.6% | Win 62%
Sharpe 0.82 | Sortino 1.03 | Calmar 0.3
Vol 16% | MDD -37.3%
Months 199M (54%)
CAGR 48.9% | Win 83%
Sharpe 2.06 | Sortino 0.00 | Calmar 7.6
Vol 20% | MDD -6.4%
Months 6M (2%)
CAGR 13.6% | Win 62%
Sharpe 0.86 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 205M (56%)
MACDhist
neg
CAGR 1.5% | Win 55%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 24% | MDD -58.3%
Months 100M (27%)
CAGR 6.5% | Win 52%
Sharpe 0.39 | Sortino 1.01 | Calmar 0.2
Vol 23% | MDD -27.4%
Months 62M (17%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (44%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 14.1% | Win 59%
Sharpe 1.00 | Sortino 1.60 | Calmar 0.9
Vol 14% | MDD -16.5%
Months 171M (47%)
CAGR 12.2% | Win 53%
Sharpe 0.59 | Sortino 2.61 | Calmar 0.6
Vol 24% | MDD -19.5%
Months 30M (8%)
CAGR 13.8% | Win 58%
Sharpe 0.89 | Sortino 1.65 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 201M (55%)
RSIhist
neg
CAGR 2.0% | Win 60%
Sharpe 0.21 | Sortino 0.25 | Calmar 0.0
Vol 24% | MDD -56.2%
Months 128M (35%)
CAGR 7.9% | Win 55%
Sharpe 0.45 | Sortino 0.92 | Calmar 0.3
Vol 22% | MDD -24.8%
Months 38M (10%)
CAGR 3.3% | Win 59%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 24% | MDD -54.4%
Months 166M (45%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.64 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 299M (82%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (18%)