EWC - iShares MSCI Canada ETF

Signal Pair Analysis

RSI-MACDhist

Best Pair

84.8%

Best CAGR

102

Total Months

11.6%

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 0.6 84.8 100.0 5.6 0.0 0.0 11.3 0.0
pair RSI MACDhist neg-pos 2 0.6 84.8 100.0 5.6 0.0 0.0 11.3 0.0
pair RSI RSmean neg-neg 3 0.8 63.8 100.0 8.0 0.0 0.0 6.3 0.0
pair RSmean RSI neg-neg 3 0.8 63.8 100.0 8.0 0.0 0.0 6.3 0.0
pair MRmean RSIhist neg-pos 6 1.7 59.5 50.0 1.5 21.7 25.4 33.5 -2.3
pair RSIhist MRmean neg-pos 6 1.7 59.5 50.0 1.5 21.7 25.4 33.5 -2.3
pair MACDhist LWTI pos-neg 6 1.7 48.9 83.3 2.1 0.0 7.6 20.5 -6.4
pair LWTI MACDhist pos-neg 6 1.7 48.9 83.3 2.1 0.0 7.6 20.5 -6.4
pair SLmean RSIhist neg-pos 7 1.9 45.2 71.4 3.4 26.9 118.1 11.5 -0.4
pair RSIhist SLmean neg-pos 7 1.9 45.2 71.4 3.4 26.9 118.1 11.5 -0.4
pair RSI RSIhist neg-pos 15 4.2 43.3 73.3 1.5 4.4 5.6 26.1 -7.7
pair RSIhist RSI neg-pos 15 4.2 43.3 73.3 1.5 4.4 5.6 26.1 -7.7
pair MACD MACDhist neg-pos 18 5.0 34.2 77.8 1.9 2.8 4.8 16.1 -7.2
pair MACDhist MACD neg-pos 18 5.0 34.2 77.8 1.9 2.8 4.8 16.1 -7.2
pair MACD RSIhist neg-pos 40 11.1 30.3 67.5 1.4 3.3 3.9 20.3 -7.7
pair RSIhist MACD neg-pos 40 11.1 30.3 67.5 1.4 3.3 3.9 20.3 -7.7
pair SLmean RSI pos-neg 19 5.3 25.3 63.2 1.1 2.9 3.0 23.6 -8.4
pair RSI SLmean pos-neg 19 5.3 25.3 63.2 1.1 2.9 3.0 23.6 -8.4
pair MACD LWTI neg-neg 40 11.1 25.0 62.5 1.1 2.7 1.5 23.1 -17.0
pair LWTI MACD neg-neg 40 11.1 25.0 62.5 1.1 2.7 1.5 23.1 -17.0
pair MACD SLmean pos-neg 44 12.3 24.6 65.9 1.2 2.7 2.0 19.9 -12.4
pair SLmean MACD pos-neg 44 12.3 24.6 65.9 1.2 2.7 2.0 19.9 -12.4
pair LWTI RSI neg-neg 46 12.8 23.6 60.9 1.0 2.5 1.0 23.9 -23.1
pair RSI LWTI neg-neg 46 12.8 23.6 60.9 1.0 2.5 1.0 23.9 -23.1
pair MACD RSmean pos-neg 75 20.9 23.2 65.3 1.1 2.0 1.0 21.0 -24.0
pair RSmean MACD pos-neg 75 20.9 23.2 65.3 1.1 2.0 1.0 21.0 -24.0
pair MRmean MACD pos-neg 43 12.0 23.1 67.4 1.3 2.7 2.3 17.2 -10.1
pair MACD MRmean pos-neg 43 12.0 23.1 67.4 1.3 2.7 2.3 17.2 -10.1
pair MRmean RSmean neg-neg 15 4.2 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair RSmean MRmean neg-neg 15 4.2 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair SLmean RSmean neg-neg 15 4.2 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair RSmean SLmean neg-neg 15 4.2 23.1 60.0 1.6 3.2 3.4 13.9 -6.8
pair MACD RSI neg-neg 44 12.3 22.4 65.9 1.0 1.7 0.9 23.6 -24.0
pair RSI MACD neg-neg 44 12.3 22.4 65.9 1.0 1.7 0.9 23.6 -24.0
single MACD MACD neg-neg 87 24.2 22.2 63.2 1.1 2.0 0.9 20.2 -24.0
pair RSI MACD neg-pos 43 12.0 21.9 60.5 1.3 2.7 2.4 16.3 -9.2
pair MACD RSI neg-pos 43 12.0 21.9 60.5 1.3 2.7 2.4 16.3 -9.2
pair MACD MRmean neg-neg 44 12.3 21.3 59.1 0.9 1.7 1.1 23.1 -19.0
pair RSI MRmean pos-neg 14 3.9 21.3 71.4 1.1 3.1 3.1 19.5 -6.9
pair MRmean RSI pos-neg 14 3.9 21.3 71.4 1.1 3.1 3.1 19.5 -6.9
pair MRmean MACD neg-neg 44 12.3 21.3 59.1 0.9 1.7 1.1 23.1 -19.0
pair LWTI RSmean neg-pos 23 6.4 20.9 60.9 1.5 3.0 2.2 13.7 -9.4
pair RSmean LWTI neg-pos 23 6.4 20.9 60.9 1.5 3.0 2.2 13.7 -9.4
pair LWTI MACD neg-pos 47 13.1 19.8 63.8 1.1 1.5 1.0 17.6 -19.0
pair MACD LWTI neg-pos 47 13.1 19.8 63.8 1.1 1.5 1.0 17.6 -19.0
pair SLmean MACD neg-neg 43 12.0 19.7 60.5 1.0 1.6 1.0 20.8 -19.0
pair MACD SLmean neg-neg 43 12.0 19.7 60.5 1.0 1.6 1.0 20.8 -19.0
pair MACDhist MACD neg-neg 69 19.2 19.2 59.4 0.9 1.7 0.8 21.2 -24.0
pair MACD MACDhist neg-neg 69 19.2 19.2 59.4 0.9 1.7 0.8 21.2 -24.0
single RSI RSI neg-neg 83 23.1 19.1 63.9 0.8 1.1 0.4 26.0 -49.1
pair RSmean RSIhist neg-neg 15 4.2 18.8 60.0 1.2 2.5 1.7 15.2 -10.9
pair RSIhist RSmean neg-neg 15 4.2 18.8 60.0 1.2 2.5 1.7 15.2 -10.9
pair MRmean RSI neg-neg 69 19.2 18.6 62.3 0.8 1.1 0.4 27.3 -50.4
pair RSI MRmean neg-neg 69 19.2 18.6 62.3 0.8 1.1 0.4 27.3 -50.4
pair MACDhist RSI neg-neg 81 22.6 17.8 63.0 0.8 1.1 0.3 26.3 -52.7
pair RSI MACDhist neg-neg 81 22.6 17.8 63.0 0.8 1.1 0.3 26.3 -52.7
pair RSmean RSI pos-neg 80 22.3 17.7 62.5 0.8 1.1 0.4 26.5 -49.1
pair RSI RSmean pos-neg 80 22.3 17.7 62.5 0.8 1.1 0.4 26.5 -49.1
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 RSIhist pos-pos 150 41.8 17.4 62.7 1.2 1.8 1.1 14.9 -15.7
pair RSIhist MACDhist pos-pos 150 41.8 17.4 62.7 1.2 1.8 1.1 14.9 -15.7
pair RSI SLmean neg-neg 64 17.8 17.3 64.1 0.7 1.0 0.4 26.9 -48.0
pair SLmean RSI neg-neg 64 17.8 17.3 64.1 0.7 1.0 0.4 26.9 -48.0
pair LWTI MRmean neg-neg 38 10.6 16.6 55.3 0.7 1.7 0.6 25.2 -26.6
pair MRmean LWTI neg-neg 38 10.6 16.6 55.3 0.7 1.7 0.6 25.2 -26.6
single RSmean RSmean neg-neg 24 6.7 16.6 58.3 1.1 2.3 1.8 14.3 -9.4
pair RSmean MACDhist neg-neg 19 5.3 16.6 52.6 1.1 2.4 1.4 14.6 -11.7
pair MACDhist RSmean neg-neg 19 5.3 16.6 52.6 1.1 2.4 1.4 14.6 -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 MRmean MACDhist pos-pos 186 51.8 16.5 62.9 1.1 1.6 0.7 15.2 -22.4
pair MACDhist MRmean pos-pos 186 51.8 16.5 62.9 1.1 1.6 0.7 15.2 -22.4
pair RSmean MACDhist neg-pos 5 1.4 16.5 80.0 1.1 0.0 3.1 14.8 -5.3
pair SLmean MACDhist pos-pos 166 46.2 16.0 62.0 1.1 1.6 0.8 15.2 -21.1
pair MACDhist SLmean pos-pos 166 46.2 16.0 62.0 1.1 1.6 0.8 15.2 -21.1
pair RSmean MACD neg-neg 12 3.3 15.6 50.0 1.1 2.3 2.3 14.8 -6.8
pair RSIhist MACD neg-neg 47 13.1 15.6 59.6 0.8 1.3 0.8 20.2 -19.0
pair MACD RSmean neg-neg 12 3.3 15.6 50.0 1.1 2.3 2.3 14.8 -6.8
pair MACD RSIhist neg-neg 47 13.1 15.6 59.6 0.8 1.3 0.8 20.2 -19.0
pair RSI MACD pos-neg 39 10.9 15.4 61.5 0.7 0.8 0.3 28.8 -48.3
pair MACD RSI pos-neg 39 10.9 15.4 61.5 0.7 0.8 0.3 28.8 -48.3
pair LWTI RSIhist pos-pos 170 47.4 15.2 59.4 1.1 1.7 0.9 14.4 -16.5
pair RSIhist LWTI pos-pos 170 47.4 15.2 59.4 1.1 1.7 0.9 14.4 -16.5
pair RSIhist RSmean pos-pos 191 53.2 14.9 58.6 0.9 1.7 0.6 16.2 -23.7
pair RSmean RSIhist pos-pos 191 53.2 14.9 58.6 0.9 1.7 0.6 16.2 -23.7
single RSIhist RSIhist pos-pos 200 55.7 14.8 58.5 0.9 1.7 0.6 16.1 -25.0
pair RSI RSIhist neg-neg 68 18.9 14.3 61.8 0.7 0.9 0.3 26.1 -53.1
pair RSIhist RSI neg-neg 68 18.9 14.3 61.8 0.7 0.9 0.3 26.1 -53.1
pair RSIhist SLmean pos-pos 193 53.8 13.8 58.0 0.9 1.6 0.6 16.2 -25.0
pair SLmean RSIhist pos-pos 193 53.8 13.8 58.0 0.9 1.6 0.6 16.2 -25.0
single MACDhist MACDhist pos-pos 197 54.9 13.8 62.4 0.9 1.1 0.4 16.4 -35.2
pair MACDhist RSmean pos-pos 192 53.5 13.7 62.0 0.9 1.1 0.4 16.5 -37.9
pair RSmean MACDhist pos-pos 192 53.5 13.7 62.0 0.9 1.1 0.4 16.5 -37.9
pair LWTI RSI neg-pos 37 10.3 13.7 67.6 0.6 0.7 0.3 28.8 -42.1
pair RSI LWTI neg-pos 37 10.3 13.7 67.6 0.6 0.7 0.3 28.8 -42.1
pair RSIhist MRmean pos-pos 194 54.0 13.6 58.8 0.9 1.6 0.6 15.3 -25.0
pair MRmean RSIhist pos-pos 194 54.0 13.6 58.8 0.9 1.6 0.6 15.3 -25.0
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 RSI MACDhist pos-pos 195 54.3 13.2 62.1 0.8 1.1 0.4 16.4 -37.1
pair MACDhist RSI pos-pos 195 54.3 13.2 62.1 0.8 1.1 0.4 16.4 -37.1
pair RSmean RSIhist neg-pos 9 2.5 13.1 55.6 1.0 1.8 2.4 13.6 -5.5
pair RSIhist RSmean neg-pos 9 2.5 13.1 55.6 1.0 1.8 2.4 13.6 -5.5
pair LWTI MACDhist pos-pos 191 53.2 12.9 61.8 0.8 1.0 0.3 16.3 -37.3
pair MACDhist LWTI pos-pos 191 53.2 12.9 61.8 0.8 1.0 0.3 16.3 -37.3
pair LWTI SLmean neg-neg 34 9.5 12.8 55.9 0.6 1.4 0.5 23.4 -24.8
pair SLmean LWTI neg-neg 34 9.5 12.8 55.9 0.6 1.4 0.5 23.4 -24.8
pair RSI RSIhist pos-pos 185 51.5 12.7 57.3 0.9 1.5 0.5 14.9 -25.0
pair RSIhist RSI pos-pos 185 51.5 12.7 57.3 0.9 1.5 0.5 14.9 -25.0
pair LWTI RSIhist pos-neg 30 8.4 12.2 53.3 0.6 2.6 0.6 23.9 -19.5
pair RSIhist LWTI pos-neg 30 8.4 12.2 53.3 0.6 2.6 0.6 23.9 -19.5
pair MACD MACDhist pos-pos 179 49.9 11.9 60.9 0.8 1.0 0.3 16.4 -42.2
pair MACDhist MACD pos-pos 179 49.9 11.9 60.9 0.8 1.0 0.3 16.4 -42.2
pair SLmean LWTI pos-pos 202 56.3 11.7 58.4 0.8 1.2 0.4 15.6 -27.6
pair LWTI SLmean pos-pos 202 56.3 11.7 58.4 0.8 1.2 0.4 15.6 -27.6
pair LWTI MRmean pos-pos 224 62.4 11.6 59.4 0.8 1.1 0.3 15.7 -34.7
pair MRmean LWTI pos-pos 224 62.4 11.6 59.4 0.8 1.1 0.3 15.7 -34.7
pair SLmean RSmean pos-pos 227 63.2 11.2 57.7 0.7 1.2 0.4 16.8 -30.7
pair RSmean SLmean pos-pos 227 63.2 11.2 57.7 0.7 1.2 0.4 16.8 -30.7
pair MACD RSIhist pos-pos 160 44.6 11.2 56.2 0.8 1.4 0.5 14.7 -25.0
pair RSIhist MACD pos-pos 160 44.6 11.2 56.2 0.8 1.4 0.5 14.7 -25.0
pair RSmean RSI neg-pos 21 5.8 11.1 52.4 0.8 1.6 1.2 14.7 -9.4
pair RSI RSmean neg-pos 21 5.8 11.1 52.4 0.8 1.6 1.2 14.7 -9.4
pair RSmean LWTI pos-neg 67 18.7 11.0 55.2 0.6 1.5 0.4 22.7 -27.4
pair LWTI RSmean pos-neg 67 18.7 11.0 55.2 0.6 1.5 0.4 22.7 -27.4
single SLmean SLmean pos-pos 236 65.7 11.0 57.6 0.7 1.2 0.3 16.7 -31.9
pair SLmean MRmean pos-pos 224 62.4 10.8 58.5 0.7 1.1 0.4 16.2 -29.8
pair MRmean SLmean pos-pos 224 62.4 10.8 58.5 0.7 1.1 0.4 16.2 -29.8
pair MRmean RSmean pos-pos 245 68.2 10.5 58.8 0.7 1.1 0.3 16.2 -37.8
pair RSmean MRmean pos-pos 245 68.2 10.5 58.8 0.7 1.1 0.3 16.2 -37.8
single MRmean MRmean pos-pos 254 70.8 10.3 58.7 0.7 1.1 0.3 16.2 -37.8
pair MRmean MACDhist neg-neg 94 26.2 9.8 58.5 0.5 0.7 0.2 27.0 -53.9
pair SLmean RSI pos-pos 217 60.4 9.8 57.1 0.7 1.0 0.3 16.0 -31.9
pair RSI SLmean pos-pos 217 60.4 9.8 57.1 0.7 1.0 0.3 16.0 -31.9
pair MACDhist MRmean neg-neg 94 26.2 9.8 58.5 0.5 0.7 0.2 27.0 -53.9
single LWTI LWTI neg-neg 68 18.9 9.7 54.4 0.5 1.4 0.4 22.7 -27.4
pair RSI MRmean pos-pos 240 66.9 9.7 57.9 0.7 1.0 0.3 16.0 -34.7
pair MRmean RSI pos-pos 240 66.9 9.7 57.9 0.7 1.0 0.3 16.0 -34.7
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 9.0 58.5 0.5 0.7 0.2 20.0 -56.6
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 9.0 58.5 0.5 0.7 0.2 20.0 -56.6
single LWTI LWTI pos-pos 291 81.1 8.8 59.5 0.5 0.6 0.2 19.4 -51.8
single RSmean RSmean pos-pos 335 93.3 8.5 58.5 0.5 0.7 0.1 20.4 -55.9
pair RSI LWTI pos-pos 254 70.8 8.1 58.3 0.5 0.7 0.2 17.6 -37.9
pair LWTI RSI pos-pos 254 70.8 8.1 58.3 0.5 0.7 0.2 17.6 -37.9
pair MACD SLmean pos-pos 192 53.5 8.1 55.7 0.6 0.9 0.2 15.8 -35.5
pair SLmean MACD pos-pos 192 53.5 8.1 55.7 0.6 0.9 0.2 15.8 -35.5
pair MRmean MACD pos-pos 211 58.8 7.9 56.9 0.6 0.8 0.2 15.9 -34.7
pair MACD MRmean pos-pos 211 58.8 7.9 56.9 0.6 0.8 0.2 15.9 -34.7
pair RSIhist LWTI neg-neg 38 10.6 7.9 55.3 0.5 0.9 0.3 22.1 -24.8
pair LWTI RSIhist neg-neg 38 10.6 7.9 55.3 0.5 0.9 0.3 22.1 -24.8
pair RSmean LWTI pos-pos 268 74.7 7.8 59.3 0.5 0.6 0.1 19.8 -51.0
pair LWTI RSmean pos-pos 268 74.7 7.8 59.3 0.5 0.6 0.1 19.8 -51.0
pair MACDhist RSIhist neg-pos 50 13.9 7.1 46.0 0.5 1.3 0.4 19.3 -17.9
pair RSIhist MACDhist neg-pos 50 13.9 7.1 46.0 0.5 1.3 0.4 19.3 -17.9
pair MACD LWTI pos-pos 244 68.0 6.8 58.6 0.4 0.5 0.1 19.7 -53.5
pair LWTI MACD pos-pos 244 68.0 6.8 58.6 0.4 0.5 0.1 19.7 -53.5
pair LWTI SLmean pos-neg 34 9.5 6.8 52.9 0.4 1.4 0.3 22.4 -19.5
pair SLmean LWTI pos-neg 34 9.5 6.8 52.9 0.4 1.4 0.3 22.4 -19.5
pair SLmean MRmean pos-neg 30 8.4 6.6 60.0 0.5 0.8 0.4 16.3 -16.7
pair MRmean SLmean pos-neg 30 8.4 6.6 60.0 0.5 0.8 0.4 16.3 -16.7
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 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 LWTI MACDhist neg-neg 62 17.3 6.6 51.6 0.4 1.0 0.2 22.9 -27.4
pair MACDhist LWTI neg-neg 62 17.3 6.6 51.6 0.4 1.0 0.2 22.9 -27.4
single RSI RSI pos-pos 276 76.9 6.1 56.9 0.4 0.6 0.1 17.8 -52.2
pair MACDhist SLmean neg-neg 92 25.6 6.0 58.7 0.4 0.5 0.1 26.4 -56.5
pair SLmean MACDhist neg-neg 92 25.6 6.0 58.7 0.4 0.5 0.1 26.4 -56.5
single MRmean MRmean neg-neg 105 29.2 5.8 58.1 0.3 0.5 0.1 27.3 -53.9
pair RSmean RSI pos-pos 255 71.0 5.7 57.3 0.4 0.5 0.1 18.0 -55.2
pair RSI RSmean pos-pos 255 71.0 5.7 57.3 0.4 0.5 0.1 18.0 -55.2
single SLmean SLmean neg-neg 123 34.3 5.3 60.2 0.3 0.4 0.1 25.3 -50.9
single MACD MACD pos-pos 272 75.8 5.1 57.0 0.3 0.4 0.1 19.9 -57.7
pair MRmean SLmean neg-neg 93 25.9 4.8 60.2 0.3 0.4 0.1 27.6 -55.1
pair SLmean MRmean neg-neg 93 25.9 4.8 60.2 0.3 0.4 0.1 27.6 -55.1
pair MACD RSmean pos-pos 260 72.4 4.5 56.5 0.3 0.4 0.1 20.1 -59.5
pair RSmean MACD pos-pos 260 72.4 4.5 56.5 0.3 0.4 0.1 20.1 -59.5
pair RSI MACD pos-pos 233 64.9 3.4 56.2 0.3 0.3 0.1 18.0 -58.9
pair MACD RSI pos-pos 233 64.9 3.4 56.2 0.3 0.3 0.1 18.0 -58.9
single MACDhist MACDhist neg-neg 162 45.1 3.4 53.7 0.3 0.4 0.1 23.7 -61.4
pair RSIhist MRmean neg-neg 99 27.6 3.2 58.6 0.3 0.3 0.1 26.9 -56.5
pair MRmean RSIhist neg-neg 99 27.6 3.2 58.6 0.3 0.3 0.1 26.9 -56.5
pair RSIhist SLmean neg-neg 116 32.3 3.2 59.5 0.3 0.3 0.1 25.8 -50.9
pair SLmean RSIhist neg-neg 116 32.3 3.2 59.5 0.3 0.3 0.1 25.8 -50.9
pair RSmean MRmean neg-pos 90 25.1 3.1 57.8 0.3 0.3 0.1 28.9 -53.9
pair MRmean RSmean neg-pos 90 25.1 3.1 57.8 0.3 0.3 0.1 28.9 -53.9
pair RSmean SLmean neg-pos 108 30.1 3.0 60.2 0.2 0.3 0.1 26.5 -50.9
pair SLmean MACDhist neg-pos 31 8.6 3.0 64.5 0.2 0.2 0.1 22.1 -34.0
pair MACDhist SLmean neg-pos 31 8.6 3.0 64.5 0.2 0.2 0.1 22.1 -34.0
pair SLmean RSmean neg-pos 108 30.1 3.0 60.2 0.2 0.3 0.1 26.5 -50.9
pair RSIhist MACDhist pos-neg 47 13.1 3.0 61.7 0.2 0.3 0.1 20.6 -36.8
pair MACDhist RSIhist pos-neg 47 13.1 3.0 61.7 0.2 0.3 0.1 20.6 -36.8
pair SLmean LWTI neg-pos 89 24.8 2.5 61.8 0.2 0.3 0.1 26.1 -48.7
pair LWTI SLmean neg-pos 89 24.8 2.5 61.8 0.2 0.3 0.1 26.1 -48.7
single RSIhist RSIhist neg-neg 159 44.3 2.1 58.5 0.2 0.3 0.0 24.0 -54.4
pair RSIhist MACDhist neg-neg 112 31.2 1.7 57.1 0.2 0.3 0.0 25.4 -61.7
pair MACDhist RSIhist neg-neg 112 31.2 1.7 57.1 0.2 0.3 0.0 25.4 -61.7
pair RSmean MACDhist pos-neg 143 39.8 1.7 53.8 0.2 0.3 0.0 24.6 -60.7
pair MACDhist RSmean pos-neg 143 39.8 1.7 53.8 0.2 0.3 0.0 24.6 -60.7
pair LWTI MRmean pos-neg 30 8.4 1.6 53.3 0.2 0.7 0.1 19.3 -19.9
pair MRmean LWTI pos-neg 30 8.4 1.6 53.3 0.2 0.7 0.1 19.3 -19.9
pair LWTI MACDhist neg-pos 100 27.9 1.5 55.0 0.2 0.2 0.0 24.2 -58.3
pair MACDhist LWTI neg-pos 100 27.9 1.5 55.0 0.2 0.2 0.0 24.2 -58.3
pair RSmean RSIhist pos-neg 144 40.1 0.5 58.3 0.1 0.2 0.0 24.8 -55.9
pair RSIhist RSmean pos-neg 144 40.1 0.5 58.3 0.1 0.2 0.0 24.8 -55.9
pair RSIhist LWTI neg-pos 121 33.7 0.4 59.5 0.1 0.2 0.0 24.7 -56.2
pair LWTI RSIhist neg-pos 121 33.7 0.4 59.5 0.1 0.2 0.0 24.7 -56.2
pair RSIhist MRmean pos-neg 60 16.7 0.3 58.3 0.1 0.2 0.0 18.6 -39.6
pair MRmean RSIhist pos-neg 60 16.7 0.3 58.3 0.1 0.2 0.0 18.6 -39.6
pair LWTI MRmean neg-pos 67 18.7 0.1 59.7 0.1 0.2 0.0 28.5 -50.8
pair MRmean LWTI neg-pos 67 18.7 0.1 59.7 0.1 0.2 0.0 28.5 -50.8
pair SLmean MACDhist pos-neg 70 19.5 0.0 47.1 0.1 0.2 0.0 19.6 -31.7
pair MACDhist SLmean pos-neg 70 19.5 0.0 47.1 0.1 0.2 0.0 19.6 -31.7
pair RSIhist SLmean pos-neg 43 12.0 -0.9 55.8 0.1 0.1 -0.0 18.6 -28.3
pair SLmean RSIhist pos-neg 43 12.0 -0.9 55.8 0.1 0.1 -0.0 18.6 -28.3
pair SLmean MACD neg-pos 80 22.3 -1.8 60.0 0.1 0.1 -0.0 27.4 -53.0
pair MACD SLmean neg-pos 80 22.3 -1.8 60.0 0.1 0.1 -0.0 27.4 -53.0
pair RSIhist MACD pos-neg 112 31.2 -3.1 58.0 0.0 0.0 -0.1 25.4 -58.6
pair MACD RSIhist pos-neg 112 31.2 -3.1 58.0 0.0 0.0 -0.1 25.4 -58.6
pair MACD MRmean neg-pos 61 17.0 -4.1 57.4 0.0 0.0 -0.1 29.9 -58.0
pair MRmean MACD neg-pos 61 17.0 -4.1 57.4 0.0 0.0 -0.1 29.9 -58.0
pair MRmean MACDhist pos-neg 68 18.9 -4.9 47.1 -0.2 -0.3 -0.1 17.8 -40.9
pair MACDhist MRmean pos-neg 68 18.9 -4.9 47.1 -0.2 -0.3 -0.1 17.8 -40.9
pair RSIhist RSI pos-neg 91 25.3 -6.2 56.0 -0.2 -0.2 -0.1 22.2 -56.1
pair RSI RSIhist pos-neg 91 25.3 -6.2 56.0 -0.2 -0.2 -0.1 22.2 -56.1
pair RSI SLmean neg-pos 59 16.4 -6.4 55.9 -0.2 -0.2 -0.1 23.1 -48.8
pair SLmean RSI neg-pos 59 16.4 -6.4 55.9 -0.2 -0.2 -0.1 23.1 -48.8
pair MACDhist MACD pos-neg 93 25.9 -7.0 49.5 -0.2 -0.2 -0.1 25.0 -59.1
pair MACD MACDhist pos-neg 93 25.9 -7.0 49.5 -0.2 -0.2 -0.1 25.0 -59.1
pair MACD LWTI pos-neg 28 7.8 -8.8 42.9 -0.3 -0.8 -0.2 21.4 -38.0
pair LWTI MACD pos-neg 28 7.8 -8.8 42.9 -0.3 -0.8 -0.2 21.4 -38.0
pair RSI MACDhist pos-neg 81 22.6 -9.3 44.4 -0.4 -0.5 -0.1 20.1 -64.9
pair MACDhist RSI pos-neg 81 22.6 -9.3 44.4 -0.4 -0.5 -0.1 20.1 -64.9
pair LWTI RSI pos-neg 22 6.1 -14.4 40.9 -0.7 -1.8 -0.4 18.6 -35.0
pair RSI LWTI pos-neg 22 6.1 -14.4 40.9 -0.7 -1.8 -0.4 18.6 -35.0
pair MRmean RSI neg-pos 36 10.0 -15.1 50.0 -0.5 -0.5 -0.3 26.5 -50.2
pair RSI MRmean neg-pos 36 10.0 -15.1 50.0 -0.5 -0.5 -0.3 26.5 -50.2
pair MRmean MACDhist neg-pos 11 3.1 -23.2 54.5 -0.8 -0.7 -0.8 29.3 -30.9
pair MACDhist MRmean neg-pos 11 3.1 -23.2 54.5 -0.8 -0.7 -0.8 29.3 -30.9
pair RSmean LWTI neg-neg 1 0.3 -49.3 0.0 0.0 0.0 0.0 - 0.0
pair LWTI RSmean neg-neg 1 0.3 -49.3 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 10.8% | Win 58%
Sharpe 0.72 | Sortino 1.13 | Calmar 0.4
Vol 16% | MDD -29.8%
Months 224M (62%)
CAGR 6.6% | Win 60%
Sharpe 0.47 | Sortino 0.79 | Calmar 0.4
Vol 16% | MDD -16.7%
Months 30M (8%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (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 (26%)
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 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.5% | Win 59%
Sharpe 0.70 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 245M (68%)
CAGR 6.6% | Win 56%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.8
Vol 15% | MDD -8.0%
Months 9M (2%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (71%)
MRmean
neg
CAGR 3.1% | Win 58%
Sharpe 0.26 | Sortino 0.34 | Calmar 0.1
Vol 29% | MDD -53.9%
Months 90M (25%)
CAGR 23.1% | Win 60%
Sharpe 1.57 | Sortino 3.22 | 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 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (7%)
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 211M (59%)
CAGR 23.1% | Win 67%
Sharpe 1.30 | Sortino 2.67 | Calmar 2.3
Vol 17% | MDD -10.1%
Months 43M (12%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (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 1.67 | 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 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (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 9.7% | Win 58%
Sharpe 0.66 | Sortino 1.03 | Calmar 0.3
Vol 16% | MDD -34.7%
Months 240M (67%)
CAGR 21.3% | Win 71%
Sharpe 1.08 | Sortino 3.13 | Calmar 3.1
Vol 20% | MDD -6.9%
Months 14M (4%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (71%)
MRmean
neg
CAGR -15.1% | Win 50%
Sharpe -0.47 | Sortino -0.52 | Calmar -0.3
Vol 26% | MDD -50.2%
Months 36M (10%)
CAGR 18.6% | Win 62%
Sharpe 0.77 | Sortino 1.07 | Calmar 0.4
Vol 27% | MDD -50.4%
Months 69M (19%)
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 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 16.5% | Win 63%
Sharpe 1.08 | Sortino 1.64 | Calmar 0.7
Vol 15% | MDD -22.4%
Months 186M (52%)
CAGR -4.9% | Win 47%
Sharpe -0.19 | Sortino -0.34 | Calmar -0.1
Vol 18% | MDD -40.9%
Months 68M (19%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (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 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.6% | Win 59%
Sharpe 0.92 | Sortino 1.58 | Calmar 0.5
Vol 15% | MDD -25.0%
Months 194M (54%)
CAGR 0.3% | Win 58%
Sharpe 0.11 | Sortino 0.17 | Calmar 0.0
Vol 19% | MDD -39.6%
Months 60M (17%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (71%)
MRmean
neg
CAGR 59.5% | Win 50%
Sharpe 1.54 | Sortino 21.68 | Calmar 25.4
Vol 34% | MDD -2.3%
Months 6M (2%)
CAGR 3.2% | Win 59%
Sharpe 0.26 | Sortino 0.32 | Calmar 0.1
Vol 27% | MDD -56.5%
Months 99M (28%)
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 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 11.6% | Win 59%
Sharpe 0.78 | Sortino 1.14 | Calmar 0.3
Vol 16% | MDD -34.7%
Months 224M (62%)
CAGR 1.6% | Win 53%
Sharpe 0.17 | Sortino 0.66 | Calmar 0.1
Vol 19% | MDD -19.9%
Months 30M (8%)
CAGR 10.3% | Win 59%
Sharpe 0.69 | Sortino 1.09 | Calmar 0.3
Vol 16% | MDD -37.8%
Months 254M (71%)
MRmean
neg
CAGR 0.1% | Win 60%
Sharpe 0.15 | Sortino 0.17 | Calmar 0.0
Vol 28% | MDD -50.8%
Months 67M (19%)
CAGR 16.6% | Win 55%
Sharpe 0.73 | Sortino 1.68 | Calmar 0.6
Vol 25% | MDD -26.6%
Months 38M (11%)
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 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 11.2% | Win 58%
Sharpe 0.72 | Sortino 1.18 | Calmar 0.4
Vol 17% | MDD -30.7%
Months 227M (63%)
CAGR 6.6% | Win 56%
Sharpe 0.48 | Sortino 0.94 | Calmar 0.8
Vol 15% | MDD -8.0%
Months 9M (2%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR 3.0% | Win 60%
Sharpe 0.25 | Sortino 0.32 | Calmar 0.1
Vol 26% | MDD -50.9%
Months 108M (30%)
CAGR 23.1% | Win 60%
Sharpe 1.57 | Sortino 3.22 | Calmar 3.4
Vol 14% | MDD -6.8%
Months 15M (4%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
RSmean
only
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 8.1% | Win 56%
Sharpe 0.57 | Sortino 0.88 | Calmar 0.2
Vol 16% | MDD -35.5%
Months 192M (54%)
CAGR 24.6% | Win 66%
Sharpe 1.21 | Sortino 2.69 | Calmar 2.0
Vol 20% | MDD -12.4%
Months 44M (12%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR -1.8% | Win 60%
Sharpe 0.08 | Sortino 0.10 | Calmar -0.0
Vol 27% | MDD -53.0%
Months 80M (22%)
CAGR 19.7% | Win 60%
Sharpe 0.97 | Sortino 1.57 | Calmar 1.0
Vol 21% | MDD -19.0%
Months 43M (12%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
MACD
only
CAGR 5.1% | Win 57%
Sharpe 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (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 9.8% | Win 57%
Sharpe 0.67 | Sortino 1.04 | Calmar 0.3
Vol 16% | MDD -31.9%
Months 217M (60%)
CAGR 25.3% | Win 63%
Sharpe 1.07 | Sortino 2.89 | Calmar 3.0
Vol 24% | MDD -8.4%
Months 19M (5%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR -6.4% | Win 56%
Sharpe -0.16 | Sortino -0.18 | Calmar -0.1
Vol 23% | MDD -48.8%
Months 59M (16%)
CAGR 17.3% | Win 64%
Sharpe 0.74 | Sortino 1.02 | Calmar 0.4
Vol 27% | MDD -48.0%
Months 64M (18%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 16.0% | Win 62%
Sharpe 1.06 | Sortino 1.64 | Calmar 0.8
Vol 15% | MDD -21.1%
Months 166M (46%)
CAGR 0.0% | Win 47%
Sharpe 0.10 | Sortino 0.18 | Calmar 0.0
Vol 20% | MDD -31.7%
Months 70M (20%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR 3.0% | Win 64%
Sharpe 0.25 | Sortino 0.24 | Calmar 0.1
Vol 22% | MDD -34.0%
Months 31M (9%)
CAGR 6.0% | Win 59%
Sharpe 0.36 | Sortino 0.48 | Calmar 0.1
Vol 26% | MDD -56.5%
Months 92M (26%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
MACDhist
only
CAGR 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.8% | Win 58%
Sharpe 0.88 | Sortino 1.63 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 193M (54%)
CAGR -0.9% | Win 56%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.0
Vol 19% | MDD -28.3%
Months 43M (12%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR 45.2% | Win 71%
Sharpe 3.35 | Sortino 26.95 | Calmar 118.1
Vol 12% | MDD -0.4%
Months 7M (2%)
CAGR 3.2% | Win 60%
Sharpe 0.26 | Sortino 0.33 | Calmar 0.1
Vol 26% | MDD -50.9%
Months 116M (32%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
RSIhist
only
CAGR 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.7% | Win 58%
Sharpe 0.79 | Sortino 1.16 | Calmar 0.4
Vol 16% | MDD -27.6%
Months 202M (56%)
CAGR 6.8% | Win 53%
Sharpe 0.40 | Sortino 1.40 | Calmar 0.3
Vol 22% | MDD -19.5%
Months 34M (10%)
CAGR 11.0% | Win 58%
Sharpe 0.71 | Sortino 1.17 | Calmar 0.3
Vol 17% | MDD -31.9%
Months 236M (66%)
SLmean
neg
CAGR 2.5% | Win 62%
Sharpe 0.23 | Sortino 0.26 | Calmar 0.1
Vol 26% | MDD -48.7%
Months 89M (25%)
CAGR 12.8% | Win 56%
Sharpe 0.63 | Sortino 1.37 | Calmar 0.5
Vol 23% | MDD -24.8%
Months 34M (10%)
CAGR 5.3% | Win 60%
Sharpe 0.34 | Sortino 0.42 | Calmar 0.1
Vol 25% | MDD -50.9%
Months 123M (34%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 4.5% | Win 56%
Sharpe 0.33 | Sortino 0.40 | Calmar 0.1
Vol 20% | MDD -59.5%
Months 260M (72%)
CAGR 23.2% | Win 65%
Sharpe 1.10 | Sortino 1.99 | Calmar 1.0
Vol 21% | MDD -24.0%
Months 75M (21%)
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
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 2.30 | 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 (7%)
MACD
only
CAGR 5.1% | Win 57%
Sharpe 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (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 255M (71%)
CAGR 17.7% | Win 62%
Sharpe 0.75 | Sortino 1.09 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 80M (22%)
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
RSmean
neg
CAGR 11.1% | Win 52%
Sharpe 0.79 | Sortino 1.64 | Calmar 1.2
Vol 15% | MDD -9.4%
Months 21M (6%)
CAGR 63.8% | Win 100%
Sharpe 8.02 | Sortino 0.00 | Calmar 0.0
Vol 6% | MDD 0.0%
Months 3M (1%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (7%)
RSI
only
CAGR 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 13.7% | Win 62%
Sharpe 0.87 | Sortino 1.09 | Calmar 0.4
Vol 16% | MDD -37.9%
Months 192M (54%)
CAGR 1.7% | Win 54%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 25% | MDD -60.7%
Months 143M (40%)
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
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 16.6% | Win 53%
Sharpe 1.13 | Sortino 2.44 | 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 (7%)
MACDhist
only
CAGR 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 14.9% | Win 59%
Sharpe 0.94 | Sortino 1.72 | Calmar 0.6
Vol 16% | MDD -23.7%
Months 191M (53%)
CAGR 0.5% | Win 58%
Sharpe 0.15 | Sortino 0.19 | Calmar 0.0
Vol 25% | MDD -55.9%
Months 144M (40%)
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
RSmean
neg
CAGR 13.1% | Win 56%
Sharpe 0.97 | Sortino 1.80 | Calmar 2.4
Vol 14% | MDD -5.5%
Months 9M (2%)
CAGR 18.8% | Win 60%
Sharpe 1.21 | Sortino 2.49 | Calmar 1.7
Vol 15% | MDD -10.9%
Months 15M (4%)
CAGR 16.6% | Win 58%
Sharpe 1.15 | Sortino 2.33 | Calmar 1.8
Vol 14% | MDD -9.4%
Months 24M (7%)
RSIhist
only
CAGR 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 7.8% | Win 59%
Sharpe 0.48 | Sortino 0.57 | Calmar 0.2
Vol 20% | MDD -51.0%
Months 268M (75%)
CAGR 11.0% | Win 55%
Sharpe 0.57 | Sortino 1.47 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 67M (19%)
CAGR 8.5% | Win 58%
Sharpe 0.50 | Sortino 0.66 | Calmar 0.2
Vol 20% | MDD -55.9%
Months 335M (93%)
RSmean
neg
CAGR 20.9% | Win 61%
Sharpe 1.46 | Sortino 3.02 | Calmar 2.2
Vol 14% | MDD -9.4%
Months 23M (6%)
CAGR -49.3% | 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 (7%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.4% | Win 56%
Sharpe 0.28 | Sortino 0.35 | Calmar 0.1
Vol 18% | MDD -58.9%
Months 233M (65%)
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 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (76%)
MACD
neg
CAGR 21.9% | Win 60%
Sharpe 1.30 | Sortino 2.66 | Calmar 2.4
Vol 16% | MDD -9.2%
Months 43M (12%)
CAGR 22.4% | Win 66%
Sharpe 0.97 | Sortino 1.74 | Calmar 0.9
Vol 24% | MDD -24.0%
Months 44M (12%)
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 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 11.9% | Win 61%
Sharpe 0.77 | Sortino 0.96 | Calmar 0.3
Vol 16% | MDD -42.2%
Months 179M (50%)
CAGR -7.0% | Win 50%
Sharpe -0.16 | Sortino -0.22 | Calmar -0.1
Vol 25% | MDD -59.1%
Months 93M (26%)
CAGR 5.1% | Win 57%
Sharpe 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (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 0.94 | 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 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 11.2% | Win 56%
Sharpe 0.80 | Sortino 1.35 | Calmar 0.4
Vol 15% | MDD -25.0%
Months 160M (45%)
CAGR -3.1% | Win 58%
Sharpe 0.01 | Sortino 0.01 | Calmar -0.1
Vol 25% | MDD -58.6%
Months 112M (31%)
CAGR 5.1% | Win 57%
Sharpe 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (76%)
MACD
neg
CAGR 30.3% | Win 68%
Sharpe 1.41 | Sortino 3.27 | Calmar 3.9
Vol 20% | MDD -7.7%
Months 40M (11%)
CAGR 15.6% | Win 60%
Sharpe 0.82 | Sortino 1.31 | Calmar 0.8
Vol 20% | MDD -19.0%
Months 47M (13%)
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 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 6.8% | Win 59%
Sharpe 0.44 | Sortino 0.51 | Calmar 0.1
Vol 20% | MDD -53.5%
Months 244M (68%)
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 0.35 | Sortino 0.44 | Calmar 0.1
Vol 20% | MDD -57.7%
Months 272M (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 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.2% | Win 62%
Sharpe 0.84 | Sortino 1.07 | Calmar 0.4
Vol 16% | MDD -37.1%
Months 195M (54%)
CAGR -9.3% | Win 44%
Sharpe -0.38 | Sortino -0.51 | Calmar -0.1
Vol 20% | MDD -64.9%
Months 81M (23%)
CAGR 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
RSI
neg
CAGR 84.8% | Win 100%
Sharpe 5.62 | Sortino 0.00 | Calmar 0.0
Vol 11% | MDD 0.0%
Months 2M (1%)
CAGR 17.8% | Win 63%
Sharpe 0.76 | Sortino 1.09 | Calmar 0.3
Vol 26% | MDD -52.7%
Months 81M (23%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
MACDhist
only
CAGR 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 12.7% | Win 57%
Sharpe 0.88 | Sortino 1.51 | Calmar 0.5
Vol 15% | MDD -25.0%
Months 185M (52%)
CAGR -6.2% | Win 56%
Sharpe -0.17 | Sortino -0.20 | Calmar -0.1
Vol 22% | MDD -56.1%
Months 91M (25%)
CAGR 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
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 14.3% | Win 62%
Sharpe 0.65 | Sortino 0.88 | Calmar 0.3
Vol 26% | MDD -53.1%
Months 68M (19%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
RSIhist
only
CAGR 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.1% | Win 58%
Sharpe 0.53 | Sortino 0.65 | Calmar 0.2
Vol 18% | MDD -37.9%
Months 254M (71%)
CAGR -14.4% | Win 41%
Sharpe -0.74 | Sortino -1.81 | Calmar -0.4
Vol 19% | MDD -35.0%
Months 22M (6%)
CAGR 6.1% | Win 57%
Sharpe 0.43 | Sortino 0.55 | Calmar 0.1
Vol 18% | MDD -52.2%
Months 276M (77%)
RSI
neg
CAGR 13.7% | Win 68%
Sharpe 0.60 | Sortino 0.69 | Calmar 0.3
Vol 29% | MDD -42.1%
Months 37M (10%)
CAGR 23.6% | Win 61%
Sharpe 1.01 | Sortino 2.50 | Calmar 1.0
Vol 24% | MDD -23.1%
Months 46M (13%)
CAGR 19.1% | Win 64%
Sharpe 0.81 | Sortino 1.15 | Calmar 0.4
Vol 26% | MDD -49.1%
Months 83M (23%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 17.4% | Win 63%
Sharpe 1.16 | Sortino 1.80 | Calmar 1.1
Vol 15% | MDD -15.7%
Months 150M (42%)
CAGR 3.0% | Win 62%
Sharpe 0.25 | Sortino 0.27 | Calmar 0.1
Vol 21% | MDD -36.8%
Months 47M (13%)
CAGR 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
MACDhist
neg
CAGR 7.1% | Win 46%
Sharpe 0.45 | Sortino 1.32 | Calmar 0.4
Vol 19% | MDD -17.9%
Months 50M (14%)
CAGR 1.7% | Win 57%
Sharpe 0.20 | Sortino 0.27 | Calmar 0.0
Vol 25% | MDD -61.7%
Months 112M (31%)
CAGR 3.4% | Win 54%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 24% | MDD -61.4%
Months 162M (45%)
RSIhist
only
CAGR 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 12.9% | Win 62%
Sharpe 0.83 | Sortino 1.03 | Calmar 0.3
Vol 16% | MDD -37.3%
Months 191M (53%)
CAGR 48.9% | Win 83%
Sharpe 2.06 | Sortino 0.00 | Calmar 7.6
Vol 20% | MDD -6.4%
Months 6M (2%)
CAGR 13.8% | Win 62%
Sharpe 0.88 | Sortino 1.10 | Calmar 0.4
Vol 16% | MDD -35.2%
Months 197M (55%)
MACDhist
neg
CAGR 1.5% | Win 55%
Sharpe 0.19 | Sortino 0.23 | Calmar 0.0
Vol 24% | MDD -58.3%
Months 100M (28%)
CAGR 6.6% | 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 (45%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 15.2% | Win 59%
Sharpe 1.06 | Sortino 1.70 | Calmar 0.9
Vol 14% | MDD -16.5%
Months 170M (47%)
CAGR 12.2% | Win 53%
Sharpe 0.59 | Sortino 2.60 | Calmar 0.6
Vol 24% | MDD -19.5%
Months 30M (8%)
CAGR 14.8% | Win 58%
Sharpe 0.94 | Sortino 1.73 | Calmar 0.6
Vol 16% | MDD -25.0%
Months 200M (56%)
RSIhist
neg
CAGR 0.4% | Win 60%
Sharpe 0.14 | Sortino 0.17 | Calmar 0.0
Vol 25% | MDD -56.2%
Months 121M (34%)
CAGR 7.9% | Win 55%
Sharpe 0.45 | Sortino 0.92 | Calmar 0.3
Vol 22% | MDD -24.8%
Months 38M (11%)
CAGR 2.1% | Win 58%
Sharpe 0.21 | Sortino 0.27 | Calmar 0.0
Vol 24% | MDD -54.4%
Months 159M (44%)
LWTI
only
CAGR 8.8% | Win 60%
Sharpe 0.54 | Sortino 0.63 | Calmar 0.2
Vol 19% | MDD -51.8%
Months 291M (81%)
CAGR 9.7% | Win 54%
Sharpe 0.52 | Sortino 1.35 | Calmar 0.4
Vol 23% | MDD -27.4%
Months 68M (19%)