EWD - iShares MSCI Sweden ETF

Signal Pair Analysis

RSmean-MACDhist

Best Pair

90.8%

Best CAGR

105

Total Months

12.9%

Avg CAGR

EWD 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 EWD

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 0.3 90.8 100.0 0.0 0.0 0.0 - 0.0
pair RSmean MACDhist neg-pos 1 0.3 90.8 100.0 0.0 0.0 0.0 - 0.0
pair MACDhist LWTI pos-neg 6 1.6 67.7 66.7 1.9 15.2 72.0 29.0 -0.9
pair LWTI MACDhist pos-neg 6 1.6 67.7 66.7 1.9 15.2 72.0 29.0 -0.9
pair MACDhist RSI neg-pos 7 1.9 60.2 57.1 1.9 17.6 57.4 27.2 -1.0
pair RSI MACDhist neg-pos 7 1.9 60.2 57.1 1.9 17.6 57.4 27.2 -1.0
pair RSmean RSI neg-pos 8 2.2 58.6 75.0 2.7 3.8 11.1 18.0 -5.3
pair RSI RSmean neg-pos 8 2.2 58.6 75.0 2.7 3.8 11.1 18.0 -5.3
pair RSmean SLmean pos-neg 10 2.7 58.1 80.0 3.0 3.8 11.0 16.2 -5.3
pair SLmean RSmean pos-neg 10 2.7 58.1 80.0 3.0 3.8 11.0 16.2 -5.3
pair RSIhist RSmean neg-pos 8 2.2 54.9 75.0 2.5 3.6 10.4 18.2 -5.3
pair RSmean RSIhist neg-pos 8 2.2 54.9 75.0 2.5 3.6 10.4 18.2 -5.3
pair LWTI RSmean neg-neg 6 1.6 47.4 83.3 3.2 0.0 425.8 12.4 -0.1
pair RSmean LWTI neg-neg 6 1.6 47.4 83.3 3.2 0.0 425.8 12.4 -0.1
pair RSmean MRmean pos-neg 8 2.2 47.1 75.0 2.3 3.2 8.9 17.6 -5.3
pair MRmean RSmean pos-neg 8 2.2 47.1 75.0 2.3 3.2 8.9 17.6 -5.3
pair RSmean MACD neg-neg 19 5.2 43.1 84.2 3.0 6.2 12.7 12.2 -3.4
pair MACD RSmean neg-neg 19 5.2 43.1 84.2 3.0 6.2 12.7 12.2 -3.4
single RSmean RSmean neg-neg 27 7.4 39.2 77.8 2.6 4.7 4.8 13.4 -8.2
pair RSmean MACDhist neg-neg 26 7.1 37.5 76.9 2.4 4.5 4.6 13.6 -8.2
pair MACDhist RSmean neg-neg 26 7.1 37.5 76.9 2.4 4.5 4.6 13.6 -8.2
pair RSmean LWTI neg-pos 21 5.7 36.9 76.2 2.4 4.5 4.5 14.0 -8.2
pair LWTI RSmean neg-pos 21 5.7 36.9 76.2 2.4 4.5 4.5 14.0 -8.2
pair RSmean MRmean neg-neg 19 5.2 36.0 78.9 2.7 5.7 10.6 11.7 -3.4
pair MRmean RSmean neg-neg 19 5.2 36.0 78.9 2.7 5.7 10.6 11.7 -3.4
pair MACD RSI neg-pos 37 10.1 35.3 75.7 1.7 3.4 2.7 19.2 -13.2
pair RSI MACD neg-pos 37 10.1 35.3 75.7 1.7 3.4 2.7 19.2 -13.2
pair RSmean RSIhist neg-neg 19 5.2 33.1 78.9 2.6 5.3 9.8 11.1 -3.4
pair RSIhist RSmean neg-neg 19 5.2 33.1 78.9 2.6 5.3 9.8 11.1 -3.4
pair MACDhist MACD neg-pos 25 6.8 32.4 68.0 1.5 3.2 2.9 19.9 -11.4
pair MACD MACDhist neg-pos 25 6.8 32.4 68.0 1.5 3.2 2.9 19.9 -11.4
pair RSI RSmean neg-neg 19 5.2 31.7 78.9 2.6 5.1 9.4 11.1 -3.4
pair RSmean RSI neg-neg 19 5.2 31.7 78.9 2.6 5.1 9.4 11.1 -3.4
pair RSmean MACD neg-pos 8 2.2 30.2 62.5 1.7 3.1 3.7 16.7 -8.2
pair MACD RSmean neg-pos 8 2.2 30.2 62.5 1.7 3.1 3.7 16.7 -8.2
pair MACD LWTI neg-pos 55 15.0 29.8 70.9 1.4 2.0 1.9 20.3 -15.9
pair LWTI MACD neg-pos 55 15.0 29.8 70.9 1.4 2.0 1.9 20.3 -15.9
pair SLmean RSmean neg-neg 17 4.6 29.2 76.5 2.3 4.7 8.6 11.4 -3.4
pair RSmean SLmean neg-neg 17 4.6 29.2 76.5 2.3 4.7 8.6 11.4 -3.4
pair MACD SLmean pos-neg 51 13.9 26.8 66.7 1.1 2.1 1.5 23.3 -18.0
pair SLmean MACD pos-neg 51 13.9 26.8 66.7 1.1 2.1 1.5 23.3 -18.0
pair SLmean MRmean neg-pos 15 4.1 24.5 73.3 0.9 1.4 1.7 28.0 -14.1
pair MRmean SLmean neg-pos 15 4.1 24.5 73.3 0.9 1.4 1.7 28.0 -14.1
pair RSI LWTI neg-pos 39 10.6 23.7 69.2 1.1 1.4 1.1 21.5 -21.1
pair LWTI RSI neg-pos 39 10.6 23.7 69.2 1.1 1.4 1.1 21.5 -21.1
pair SLmean MRmean pos-neg 32 8.7 23.4 59.4 0.9 1.6 1.2 25.5 -18.8
pair MRmean SLmean pos-neg 32 8.7 23.4 59.4 0.9 1.6 1.2 25.5 -18.8
pair RSIhist MACD neg-pos 48 13.1 22.7 64.6 1.1 1.8 0.8 20.5 -27.7
pair MACD RSIhist neg-pos 48 13.1 22.7 64.6 1.1 1.8 0.8 20.5 -27.7
pair MRmean MACD pos-neg 49 13.4 21.7 65.3 1.0 1.8 0.8 22.7 -27.5
pair MACD MRmean pos-neg 49 13.4 21.7 65.3 1.0 1.8 0.8 22.7 -27.5
pair MACDhist SLmean neg-pos 34 9.3 20.0 55.9 0.8 1.4 1.1 27.4 -18.4
pair SLmean MACDhist neg-pos 34 9.3 20.0 55.9 0.8 1.4 1.1 27.4 -18.4
single MACD MACD neg-neg 109 29.7 18.3 64.2 0.8 1.1 0.4 27.7 -45.6
pair RSIhist LWTI pos-pos 152 41.4 17.7 61.2 1.0 1.9 0.8 18.5 -21.6
pair LWTI RSIhist pos-pos 152 41.4 17.7 61.2 1.0 1.9 0.8 18.5 -21.6
pair MRmean RSIhist neg-pos 10 2.7 16.0 50.0 1.1 3.1 2.2 14.2 -7.1
pair RSIhist MRmean neg-pos 10 2.7 16.0 50.0 1.1 3.1 2.2 14.2 -7.1
pair MACDhist RSIhist pos-pos 139 37.9 15.9 60.4 0.9 1.7 0.7 18.4 -23.9
pair RSIhist MACDhist pos-pos 139 37.9 15.9 60.4 0.9 1.7 0.7 18.4 -23.9
pair MRmean MACDhist pos-pos 184 50.1 15.6 58.7 0.8 1.5 0.6 19.5 -26.2
pair MACDhist MRmean pos-pos 184 50.1 15.6 58.7 0.8 1.5 0.6 19.5 -26.2
pair MACD MRmean neg-neg 60 16.3 15.5 63.3 0.6 0.8 0.4 31.3 -38.2
pair MRmean MACD neg-neg 60 16.3 15.5 63.3 0.6 0.8 0.4 31.3 -38.2
single MACDhist MACDhist pos-pos 191 52.0 15.4 58.1 0.8 1.5 0.6 20.0 -25.7
pair RSmean MACDhist pos-pos 190 51.8 15.1 57.9 0.8 1.4 0.6 20.1 -25.7
pair MACDhist RSmean pos-pos 190 51.8 15.1 57.9 0.8 1.4 0.6 20.1 -25.7
pair LWTI MRmean pos-pos 215 58.6 15.0 58.1 0.8 1.4 0.5 20.0 -30.0
pair MRmean LWTI pos-pos 215 58.6 15.0 58.1 0.8 1.4 0.5 20.0 -30.0
pair RSIhist MACD neg-neg 61 16.6 14.9 63.9 0.6 0.9 0.4 32.4 -39.7
pair MACD RSIhist neg-neg 61 16.6 14.9 63.9 0.6 0.9 0.4 32.4 -39.7
pair SLmean MACDhist pos-pos 157 42.8 14.4 58.6 0.8 1.6 0.4 18.2 -34.8
pair MACDhist MACD neg-neg 84 22.9 14.4 63.1 0.6 0.9 0.2 29.7 -60.8
pair MACD MACDhist neg-neg 84 22.9 14.4 63.1 0.6 0.9 0.2 29.7 -60.8
pair MACDhist SLmean pos-pos 157 42.8 14.4 58.6 0.8 1.6 0.4 18.2 -34.8
pair RSIhist RSI pos-pos 163 44.4 14.3 59.5 0.8 1.5 0.5 18.5 -30.9
pair RSI RSIhist pos-pos 163 44.4 14.3 59.5 0.8 1.5 0.5 18.5 -30.9
pair MACDhist RSIhist pos-neg 52 14.2 14.0 51.9 0.7 1.1 0.6 24.0 -24.4
pair LWTI MACDhist pos-pos 185 50.4 14.0 57.8 0.8 1.3 0.6 19.7 -25.7
pair RSIhist MACDhist pos-neg 52 14.2 14.0 51.9 0.7 1.1 0.6 24.0 -24.4
pair MACDhist LWTI pos-pos 185 50.4 14.0 57.8 0.8 1.3 0.6 19.7 -25.7
pair RSI MACDhist pos-pos 184 50.1 13.9 58.2 0.8 1.3 0.5 19.7 -26.2
pair MACDhist RSI pos-pos 184 50.1 13.9 58.2 0.8 1.3 0.5 19.7 -26.2
pair RSIhist SLmean pos-pos 178 48.5 13.8 59.0 0.8 1.4 0.5 19.4 -30.9
pair SLmean RSIhist pos-pos 178 48.5 13.8 59.0 0.8 1.4 0.5 19.4 -30.9
pair LWTI SLmean pos-pos 185 50.4 13.7 57.8 0.8 1.4 0.4 18.9 -31.1
pair SLmean LWTI pos-pos 185 50.4 13.7 57.8 0.8 1.4 0.4 18.9 -31.1
pair RSmean MACD pos-neg 90 24.5 13.6 60.0 0.6 0.9 0.3 29.9 -45.6
pair MACD RSmean pos-neg 90 24.5 13.6 60.0 0.6 0.9 0.3 29.9 -45.6
single RSIhist RSIhist pos-pos 184 50.1 13.4 58.2 0.8 1.4 0.4 19.2 -30.9
pair SLmean RSI pos-neg 24 6.5 13.3 58.3 0.6 1.0 0.8 28.0 -16.1
pair RSI SLmean pos-neg 24 6.5 13.3 58.3 0.6 1.0 0.8 28.0 -16.1
pair RSIhist MRmean pos-pos 174 47.4 13.3 58.6 0.7 1.3 0.4 19.5 -32.6
pair MRmean RSIhist pos-pos 174 47.4 13.3 58.6 0.7 1.3 0.4 19.5 -32.6
pair MACD MACDhist pos-pos 166 45.2 13.0 56.6 0.7 1.3 0.5 20.1 -25.7
pair MACDhist MACD pos-pos 166 45.2 13.0 56.6 0.7 1.3 0.5 20.1 -25.7
single LWTI LWTI pos-pos 275 74.9 12.9 58.5 0.7 1.1 0.3 20.7 -39.6
pair RSI MRmean pos-pos 227 61.9 12.4 57.3 0.7 1.1 0.3 20.2 -43.3
pair MRmean RSI pos-pos 227 61.9 12.4 57.3 0.7 1.1 0.3 20.2 -43.3
pair RSIhist RSmean pos-pos 176 48.0 11.8 57.4 0.7 1.2 0.4 19.2 -31.1
pair RSmean RSIhist pos-pos 176 48.0 11.8 57.4 0.7 1.2 0.4 19.2 -31.1
pair LWTI SLmean neg-pos 90 24.5 11.5 60.0 0.6 0.8 0.3 24.1 -38.2
single MRmean MRmean pos-pos 241 65.7 11.5 56.4 0.6 1.0 0.3 20.7 -44.2
pair SLmean LWTI neg-pos 90 24.5 11.5 60.0 0.6 0.8 0.3 24.1 -38.2
pair LWTI RSI pos-pos 236 64.3 11.3 56.8 0.6 1.0 0.3 20.6 -39.6
pair RSI LWTI pos-pos 236 64.3 11.3 56.8 0.6 1.0 0.3 20.6 -39.6
pair SLmean MACD neg-neg 58 15.8 11.3 62.1 0.5 0.7 0.2 31.2 -48.0
pair MACD SLmean neg-neg 58 15.8 11.3 62.1 0.5 0.7 0.2 31.2 -48.0
pair LWTI RSmean pos-pos 254 69.2 11.2 57.1 0.6 1.0 0.3 21.1 -39.6
pair RSmean LWTI pos-pos 254 69.2 11.2 57.1 0.6 1.0 0.3 21.1 -39.6
pair LWTI MACDhist neg-pos 90 24.5 10.8 60.0 0.6 0.8 0.3 22.7 -36.1
pair MACDhist LWTI neg-pos 90 24.5 10.8 60.0 0.6 0.8 0.3 22.7 -36.1
pair RSI MRmean neg-neg 93 25.3 10.7 61.3 0.5 0.7 0.2 30.8 -52.9
pair MRmean RSI neg-neg 93 25.3 10.7 61.3 0.5 0.7 0.2 30.8 -52.9
single SLmean SLmean pos-pos 224 61.0 10.7 57.1 0.6 1.0 0.3 20.5 -32.8
pair MACD RSI neg-neg 72 19.6 10.4 58.3 0.5 0.7 0.2 31.1 -52.0
pair MACD RSIhist pos-pos 136 37.1 10.4 55.9 0.6 1.2 0.3 18.7 -32.6
pair RSIhist MACD pos-pos 136 37.1 10.4 55.9 0.6 1.2 0.3 18.7 -32.6
pair RSI MACD neg-neg 72 19.6 10.4 58.3 0.5 0.7 0.2 31.1 -52.0
pair MRmean RSmean pos-pos 233 63.5 10.4 55.8 0.6 0.9 0.2 20.8 -44.2
pair SLmean RSI pos-pos 200 54.5 10.4 57.0 0.6 1.0 0.3 19.5 -31.9
pair RSI SLmean pos-pos 200 54.5 10.4 57.0 0.6 1.0 0.3 19.5 -31.9
pair RSmean MRmean pos-pos 233 63.5 10.4 55.8 0.6 0.9 0.2 20.8 -44.2
pair MACDhist MRmean neg-pos 7 1.9 10.2 42.9 0.4 0.9 0.8 33.6 -12.1
pair MRmean MACDhist neg-pos 7 1.9 10.2 42.9 0.4 0.9 0.8 33.6 -12.1
pair SLmean MRmean pos-pos 209 56.9 9.7 56.0 0.6 0.9 0.3 19.9 -35.1
pair MRmean SLmean pos-pos 209 56.9 9.7 56.0 0.6 0.9 0.3 19.9 -35.1
pair RSIhist RSI neg-neg 86 23.4 9.3 61.6 0.4 0.6 0.2 32.0 -54.1
pair RSI RSIhist neg-neg 86 23.4 9.3 61.6 0.4 0.6 0.2 32.0 -54.1
pair MACD LWTI pos-pos 220 59.9 9.1 55.5 0.5 0.8 0.2 20.7 -39.6
pair LWTI MACD pos-pos 220 59.9 9.1 55.5 0.5 0.8 0.2 20.7 -39.6
pair MACD MRmean pos-pos 192 52.3 9.0 54.2 0.5 0.8 0.2 20.2 -43.3
pair MRmean MACD pos-pos 192 52.3 9.0 54.2 0.5 0.8 0.2 20.2 -43.3
single RSI RSI neg-neg 107 29.2 8.8 58.9 0.4 0.6 0.1 30.5 -62.5
pair SLmean RSmean pos-pos 214 58.3 8.8 56.1 0.5 0.8 0.2 20.6 -35.6
pair RSmean SLmean pos-pos 214 58.3 8.8 56.1 0.5 0.8 0.2 20.6 -35.6
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 8.5 56.9 0.5 0.7 0.1 24.1 -69.7
pair benchmark___benchmark_ benchmark-benchmark 367 100.0 8.5 56.9 0.5 0.7 0.1 24.1 -69.7
single RSI RSI pos-pos 260 70.8 8.4 56.2 0.5 0.8 0.2 21.0 -47.6
pair MACD LWTI neg-neg 54 14.7 7.6 57.4 0.4 0.6 0.2 33.6 -39.7
pair LWTI MACD neg-neg 54 14.7 7.6 57.4 0.4 0.6 0.2 33.6 -39.7
pair SLmean RSI neg-neg 83 22.6 7.5 59.0 0.4 0.5 0.1 31.3 -61.4
pair RSI SLmean neg-neg 83 22.6 7.5 59.0 0.4 0.5 0.1 31.3 -61.4
pair LWTI RSIhist neg-pos 123 33.5 7.3 55.3 0.4 0.6 0.2 23.1 -39.3
pair RSIhist LWTI neg-pos 123 33.5 7.3 55.3 0.4 0.6 0.2 23.1 -39.3
pair RSmean RSI pos-pos 252 68.7 7.1 55.6 0.4 0.7 0.1 21.1 -47.6
pair RSI RSmean pos-pos 252 68.7 7.1 55.6 0.4 0.7 0.1 21.1 -47.6
pair RSI RSIhist neg-pos 21 5.7 6.9 47.6 0.4 0.6 0.2 24.1 -27.7
pair RSIhist RSI neg-pos 21 5.7 6.9 47.6 0.4 0.6 0.2 24.1 -27.7
pair MRmean RSIhist pos-neg 67 18.3 6.8 50.7 0.4 0.6 0.2 23.8 -28.3
pair RSIhist MRmean pos-neg 67 18.3 6.8 50.7 0.4 0.6 0.2 23.8 -28.3
single RSmean RSmean pos-pos 340 92.6 6.4 55.3 0.4 0.6 0.1 24.7 -69.7
pair MACD SLmean pos-pos 173 47.1 6.3 54.3 0.4 0.6 0.2 19.5 -36.4
pair SLmean MACD pos-pos 173 47.1 6.3 54.3 0.4 0.6 0.2 19.5 -36.4
pair RSIhist MACDhist neg-pos 45 12.3 6.2 51.1 0.4 0.6 0.2 21.5 -29.8
pair MACDhist RSIhist neg-pos 45 12.3 6.2 51.1 0.4 0.6 0.2 21.5 -29.8
pair MACDhist RSI neg-neg 100 27.2 5.9 59.0 0.3 0.5 0.1 30.7 -71.0
pair RSI MACDhist neg-neg 100 27.2 5.9 59.0 0.3 0.5 0.1 30.7 -71.0
pair LWTI MRmean neg-pos 60 16.3 5.8 60.0 0.4 0.5 0.1 23.2 -40.6
pair MRmean LWTI neg-pos 60 16.3 5.8 60.0 0.4 0.5 0.1 23.2 -40.6
pair RSI MACD pos-neg 35 9.5 5.5 60.0 0.3 0.4 0.1 29.6 -36.3
pair MACD RSI pos-neg 35 9.5 5.5 60.0 0.3 0.4 0.1 29.6 -36.3
pair RSIhist SLmean neg-neg 137 37.3 5.4 57.7 0.3 0.5 0.1 29.6 -69.2
pair SLmean RSIhist neg-neg 137 37.3 5.4 57.7 0.3 0.5 0.1 29.6 -69.2
single SLmean SLmean neg-neg 143 39.0 5.3 56.6 0.3 0.5 0.1 29.0 -69.3
single MACD MACD pos-pos 258 70.3 4.7 53.9 0.3 0.5 0.1 22.4 -50.9
pair RSI MACD pos-pos 223 60.8 4.5 52.9 0.3 0.5 0.1 21.2 -47.6
pair MACD RSI pos-pos 223 60.8 4.5 52.9 0.3 0.5 0.1 21.2 -47.6
pair RSI RSmean pos-neg 88 24.0 4.4 54.5 0.3 0.5 0.1 33.2 -62.6
pair RSmean RSI pos-neg 88 24.0 4.4 54.5 0.3 0.5 0.1 33.2 -62.6
pair MACD RSmean pos-pos 250 68.1 3.9 53.6 0.3 0.4 0.1 22.6 -50.9
pair RSmean MACD pos-pos 250 68.1 3.9 53.6 0.3 0.4 0.1 22.6 -50.9
single RSIhist RSIhist neg-neg 183 49.9 3.8 55.7 0.3 0.4 0.1 28.3 -65.0
single MRmean MRmean neg-neg 126 34.3 3.2 57.9 0.3 0.4 0.1 29.7 -63.1
pair RSIhist SLmean neg-pos 6 1.6 3.1 33.3 0.3 0.7 0.4 12.5 -7.1
pair SLmean RSIhist neg-pos 6 1.6 3.1 33.3 0.3 0.7 0.4 12.5 -7.1
pair MACDhist MRmean neg-neg 119 32.4 2.8 58.8 0.2 0.3 0.0 29.6 -68.7
pair MRmean MACDhist neg-neg 119 32.4 2.8 58.8 0.2 0.3 0.0 29.6 -68.7
pair SLmean RSmean neg-pos 126 34.3 2.4 54.0 0.2 0.3 0.0 30.6 -69.3
pair RSmean SLmean neg-pos 126 34.3 2.4 54.0 0.2 0.3 0.0 30.6 -69.3
pair SLmean MACDhist pos-neg 67 18.3 2.4 53.7 0.2 0.3 0.1 25.2 -39.3
pair MACDhist SLmean pos-neg 67 18.3 2.4 53.7 0.2 0.3 0.1 25.2 -39.3
pair RSI SLmean neg-pos 60 16.3 2.2 53.3 0.2 0.3 0.1 25.7 -38.2
pair SLmean RSI neg-pos 60 16.3 2.2 53.3 0.2 0.3 0.1 25.7 -38.2
pair MRmean RSIhist neg-neg 116 31.6 2.1 58.6 0.2 0.3 0.0 30.7 -64.1
pair RSIhist MRmean neg-neg 116 31.6 2.1 58.6 0.2 0.3 0.0 30.7 -64.1
single MACDhist MACDhist neg-neg 176 48.0 1.6 55.7 0.2 0.3 0.0 27.9 -79.5
pair MACD SLmean neg-pos 85 23.2 1.4 52.9 0.2 0.3 0.0 27.6 -40.9
pair SLmean MACD neg-pos 85 23.2 1.4 52.9 0.2 0.3 0.0 27.6 -40.9
pair LWTI RSI neg-neg 68 18.5 1.1 52.9 0.2 0.3 0.0 34.6 -54.3
pair RSI LWTI neg-neg 68 18.5 1.1 52.9 0.2 0.3 0.0 34.6 -54.3
pair SLmean MACDhist neg-neg 109 29.7 1.1 56.9 0.2 0.3 0.0 29.5 -71.0
pair MACDhist SLmean neg-neg 109 29.7 1.1 56.9 0.2 0.3 0.0 29.5 -71.0
pair RSIhist RSmean pos-neg 164 44.7 0.9 53.0 0.2 0.3 0.0 29.6 -65.1
pair RSmean RSIhist pos-neg 164 44.7 0.9 53.0 0.2 0.3 0.0 29.6 -65.1
pair LWTI MRmean neg-neg 66 18.0 0.8 56.1 0.2 0.3 0.0 34.7 -52.4
pair MRmean LWTI neg-neg 66 18.0 0.8 56.1 0.2 0.3 0.0 34.7 -52.4
pair SLmean MRmean neg-neg 111 30.2 0.6 55.9 0.2 0.2 0.0 29.9 -65.9
pair MRmean SLmean neg-neg 111 30.2 0.6 55.9 0.2 0.2 0.0 29.9 -65.9
pair MACDhist RSIhist neg-neg 131 35.7 0.0 57.3 0.1 0.2 0.0 29.8 -73.2
pair RSIhist MACDhist neg-neg 131 35.7 0.0 57.3 0.1 0.2 0.0 29.8 -73.2
pair SLmean RSIhist pos-neg 46 12.5 -0.7 50.0 0.1 0.1 -0.0 24.3 -31.3
pair RSIhist SLmean pos-neg 46 12.5 -0.7 50.0 0.1 0.1 -0.0 24.3 -31.3
pair RSI RSIhist pos-neg 97 26.4 -0.8 50.5 0.1 0.1 -0.0 24.6 -43.9
pair RSIhist RSI pos-neg 97 26.4 -0.8 50.5 0.1 0.1 -0.0 24.6 -43.9
pair MACDhist MRmean pos-neg 57 15.5 -0.9 49.1 0.1 0.1 -0.0 24.2 -45.9
pair MRmean MACDhist pos-neg 57 15.5 -0.9 49.1 0.1 0.1 -0.0 24.2 -45.9
pair MACD RSIhist pos-neg 122 33.2 -1.4 51.6 0.1 0.1 -0.0 26.0 -47.4
pair RSIhist MACD pos-neg 122 33.2 -1.4 51.6 0.1 0.1 -0.0 26.0 -47.4
pair RSmean MRmean neg-pos 107 29.2 -1.8 54.2 0.1 0.1 -0.0 31.7 -63.2
pair MRmean RSmean neg-pos 107 29.2 -1.8 54.2 0.1 0.1 -0.0 31.7 -63.2
pair SLmean LWTI pos-neg 39 10.6 -2.5 53.8 0.0 0.1 -0.1 26.9 -33.2
pair LWTI SLmean pos-neg 39 10.6 -2.5 53.8 0.0 0.1 -0.1 26.9 -33.2
pair RSI MRmean pos-neg 14 3.8 -3.1 42.9 0.0 0.0 -0.1 29.0 -27.5
pair MRmean RSI pos-neg 14 3.8 -3.1 42.9 0.0 0.0 -0.1 29.0 -27.5
pair RSIhist LWTI neg-neg 60 16.3 -3.1 56.7 0.1 0.2 -0.1 36.9 -61.1
pair LWTI RSIhist neg-neg 60 16.3 -3.1 56.7 0.1 0.2 -0.1 36.9 -61.1
pair MACDhist RSmean pos-neg 150 40.9 -3.6 52.0 0.0 0.0 -0.1 29.5 -79.8
pair RSmean MACDhist pos-neg 150 40.9 -3.6 52.0 0.0 0.0 -0.1 29.5 -79.8
single LWTI LWTI neg-neg 92 25.1 -3.6 52.2 0.1 0.1 -0.1 32.3 -69.7
pair RSI MACDhist pos-neg 76 20.7 -3.9 51.3 -0.0 -0.1 -0.1 23.8 -59.9
pair MACDhist RSI pos-neg 76 20.7 -3.9 51.3 -0.0 -0.1 -0.1 23.8 -59.9
pair SLmean LWTI neg-neg 53 14.4 -4.5 50.9 0.1 0.1 -0.1 36.0 -55.9
pair LWTI SLmean neg-neg 53 14.4 -4.5 50.9 0.1 0.1 -0.1 36.0 -55.9
pair RSIhist LWTI pos-neg 32 8.7 -4.7 43.8 -0.1 -0.2 -0.2 21.8 -27.7
pair LWTI RSIhist pos-neg 32 8.7 -4.7 43.8 -0.1 -0.2 -0.2 21.8 -27.7
pair LWTI RSmean pos-neg 86 23.4 -6.5 50.0 -0.0 -0.1 -0.1 33.2 -69.8
pair RSmean LWTI pos-neg 86 23.4 -6.5 50.0 -0.0 -0.1 -0.1 33.2 -69.8
pair MACD MRmean neg-pos 66 18.0 -7.0 53.0 -0.1 -0.2 -0.1 27.9 -54.5
pair MRmean MACD neg-pos 66 18.0 -7.0 53.0 -0.1 -0.2 -0.1 27.9 -54.5
pair MACDhist LWTI neg-neg 86 23.4 -7.3 51.2 -0.1 -0.1 -0.1 32.4 -75.4
pair LWTI MACDhist neg-neg 86 23.4 -7.3 51.2 -0.1 -0.1 -0.1 32.4 -75.4
pair MACDhist MACD pos-neg 92 25.1 -8.9 48.9 -0.2 -0.3 -0.2 25.9 -57.0
pair MACD MACDhist pos-neg 92 25.1 -8.9 48.9 -0.2 -0.3 -0.2 25.9 -57.0
pair LWTI MRmean pos-neg 26 7.1 -14.1 42.3 -0.5 -0.7 -0.4 25.5 -38.2
pair MRmean LWTI pos-neg 26 7.1 -14.1 42.3 -0.5 -0.7 -0.4 25.5 -38.2
pair MRmean RSI neg-pos 33 9.0 -15.5 48.5 -0.5 -0.8 -0.3 25.6 -49.9
pair RSI MRmean neg-pos 33 9.0 -15.5 48.5 -0.5 -0.8 -0.3 25.6 -49.9
pair LWTI RSI pos-neg 24 6.5 -15.9 50.0 -0.6 -0.7 -0.4 24.6 -40.9
pair RSI LWTI pos-neg 24 6.5 -15.9 50.0 -0.6 -0.7 -0.4 24.6 -40.9
pair MACD LWTI pos-neg 38 10.4 -17.7 44.7 -0.5 -0.7 -0.3 30.2 -52.0
pair LWTI MACD pos-neg 38 10.4 -17.7 44.7 -0.5 -0.7 -0.3 30.2 -52.0

All Contingency Tables for EWD

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 9.7% | Win 56%
Sharpe 0.57 | Sortino 0.93 | Calmar 0.3
Vol 20% | MDD -35.1%
Months 209M (57%)
CAGR 23.4% | Win 59%
Sharpe 0.95 | Sortino 1.55 | Calmar 1.2
Vol 26% | MDD -18.8%
Months 32M (9%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR 24.5% | Win 73%
Sharpe 0.92 | Sortino 1.42 | Calmar 1.7
Vol 28% | MDD -14.1%
Months 15M (4%)
CAGR 0.6% | Win 56%
Sharpe 0.17 | Sortino 0.24 | Calmar 0.0
Vol 30% | MDD -65.9%
Months 111M (30%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
SLmean
only
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 56%
Sharpe 0.58 | Sortino 0.95 | Calmar 0.2
Vol 21% | MDD -44.2%
Months 233M (64%)
CAGR 47.1% | Win 75%
Sharpe 2.30 | Sortino 3.20 | Calmar 8.9
Vol 18% | MDD -5.3%
Months 8M (2%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR -1.8% | Win 54%
Sharpe 0.10 | Sortino 0.15 | Calmar -0.0
Vol 32% | MDD -63.2%
Months 107M (29%)
CAGR 36.0% | Win 79%
Sharpe 2.71 | Sortino 5.67 | Calmar 10.6
Vol 12% | MDD -3.4%
Months 19M (5%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
RSmean
only
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 9.0% | Win 54%
Sharpe 0.53 | Sortino 0.84 | Calmar 0.2
Vol 20% | MDD -43.3%
Months 192M (52%)
CAGR 21.7% | Win 65%
Sharpe 0.98 | Sortino 1.80 | Calmar 0.8
Vol 23% | MDD -27.5%
Months 49M (13%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR -7.0% | Win 53%
Sharpe -0.12 | Sortino -0.16 | Calmar -0.1
Vol 28% | MDD -54.5%
Months 66M (18%)
CAGR 15.5% | Win 63%
Sharpe 0.62 | Sortino 0.83 | Calmar 0.4
Vol 31% | MDD -38.2%
Months 60M (16%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
MACD
only
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 12.4% | Win 57%
Sharpe 0.68 | Sortino 1.11 | Calmar 0.3
Vol 20% | MDD -43.3%
Months 227M (62%)
CAGR -3.1% | Win 43%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.1
Vol 29% | MDD -27.5%
Months 14M (4%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR -15.5% | Win 48%
Sharpe -0.52 | Sortino -0.80 | Calmar -0.3
Vol 26% | MDD -49.9%
Months 33M (9%)
CAGR 10.7% | Win 61%
Sharpe 0.49 | Sortino 0.65 | Calmar 0.2
Vol 31% | MDD -52.9%
Months 93M (25%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
RSI
only
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 15.6% | Win 59%
Sharpe 0.84 | Sortino 1.49 | Calmar 0.6
Vol 20% | MDD -26.2%
Months 184M (50%)
CAGR -0.9% | Win 49%
Sharpe 0.08 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -45.9%
Months 57M (16%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR 10.2% | Win 43%
Sharpe 0.42 | Sortino 0.95 | Calmar 0.8
Vol 34% | MDD -12.1%
Months 7M (2%)
CAGR 2.8% | Win 59%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 30% | MDD -68.7%
Months 119M (32%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
MACDhist
only
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.3% | Win 59%
Sharpe 0.74 | Sortino 1.33 | Calmar 0.4
Vol 20% | MDD -32.6%
Months 174M (47%)
CAGR 6.8% | Win 51%
Sharpe 0.40 | Sortino 0.59 | Calmar 0.2
Vol 24% | MDD -28.3%
Months 67M (18%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR 16.0% | Win 50%
Sharpe 1.12 | Sortino 3.12 | Calmar 2.3
Vol 14% | MDD -7.1%
Months 10M (3%)
CAGR 2.1% | Win 59%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 31% | MDD -64.1%
Months 116M (32%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 15.0% | Win 58%
Sharpe 0.80 | Sortino 1.41 | Calmar 0.5
Vol 20% | MDD -30.0%
Months 215M (59%)
CAGR -14.1% | Win 42%
Sharpe -0.47 | Sortino -0.65 | Calmar -0.4
Vol 26% | MDD -38.2%
Months 26M (7%)
CAGR 11.5% | Win 56%
Sharpe 0.63 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -44.2%
Months 241M (66%)
MRmean
neg
CAGR 5.8% | Win 60%
Sharpe 0.36 | Sortino 0.49 | Calmar 0.1
Vol 23% | MDD -40.6%
Months 60M (16%)
CAGR 0.8% | Win 56%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 35% | MDD -52.4%
Months 66M (18%)
CAGR 3.2% | Win 58%
Sharpe 0.26 | Sortino 0.36 | Calmar 0.1
Vol 30% | MDD -63.1%
Months 126M (34%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 8.8% | Win 56%
Sharpe 0.51 | Sortino 0.83 | Calmar 0.2
Vol 21% | MDD -35.6%
Months 214M (58%)
CAGR 58.1% | Win 80%
Sharpe 2.95 | Sortino 3.77 | Calmar 11.0
Vol 16% | MDD -5.3%
Months 10M (3%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 2.4% | Win 54%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 31% | MDD -69.3%
Months 126M (34%)
CAGR 29.2% | Win 76%
Sharpe 2.32 | Sortino 4.72 | Calmar 8.6
Vol 11% | MDD -3.4%
Months 17M (5%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
RSmean
only
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.3% | Win 54%
Sharpe 0.41 | Sortino 0.64 | Calmar 0.2
Vol 20% | MDD -36.4%
Months 173M (47%)
CAGR 26.8% | Win 67%
Sharpe 1.14 | Sortino 2.12 | Calmar 1.5
Vol 23% | MDD -18.0%
Months 51M (14%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 1.4% | Win 53%
Sharpe 0.19 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -40.9%
Months 85M (23%)
CAGR 11.3% | Win 62%
Sharpe 0.50 | Sortino 0.67 | Calmar 0.2
Vol 31% | MDD -48.0%
Months 58M (16%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
MACD
only
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 10.4% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -31.9%
Months 200M (54%)
CAGR 13.3% | Win 58%
Sharpe 0.58 | Sortino 1.02 | Calmar 0.8
Vol 28% | MDD -16.1%
Months 24M (6%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 2.2% | Win 53%
Sharpe 0.21 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -38.2%
Months 60M (16%)
CAGR 7.5% | Win 59%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.1
Vol 31% | MDD -61.4%
Months 83M (23%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
RSI
only
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 14.4% | Win 59%
Sharpe 0.83 | Sortino 1.57 | Calmar 0.4
Vol 18% | MDD -34.8%
Months 157M (43%)
CAGR 2.4% | Win 54%
Sharpe 0.22 | Sortino 0.33 | Calmar 0.1
Vol 25% | MDD -39.3%
Months 67M (18%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 20.0% | Win 56%
Sharpe 0.80 | Sortino 1.36 | Calmar 1.1
Vol 27% | MDD -18.4%
Months 34M (9%)
CAGR 1.1% | Win 57%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 30% | MDD -71.0%
Months 109M (30%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
MACDhist
only
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 13.8% | Win 59%
Sharpe 0.77 | Sortino 1.38 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 178M (48%)
CAGR -0.7% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 24% | MDD -31.3%
Months 46M (12%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 3.1% | Win 33%
Sharpe 0.29 | Sortino 0.66 | Calmar 0.4
Vol 12% | MDD -7.1%
Months 6M (2%)
CAGR 5.4% | Win 58%
Sharpe 0.33 | Sortino 0.47 | Calmar 0.1
Vol 30% | MDD -69.2%
Months 137M (37%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 13.7% | Win 58%
Sharpe 0.77 | Sortino 1.40 | Calmar 0.4
Vol 19% | MDD -31.1%
Months 185M (50%)
CAGR -2.5% | Win 54%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.1
Vol 27% | MDD -33.2%
Months 39M (11%)
CAGR 10.7% | Win 57%
Sharpe 0.60 | Sortino 0.97 | Calmar 0.3
Vol 20% | MDD -32.8%
Months 224M (61%)
SLmean
neg
CAGR 11.5% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.3
Vol 24% | MDD -38.2%
Months 90M (24%)
CAGR -4.5% | Win 51%
Sharpe 0.05 | Sortino 0.08 | Calmar -0.1
Vol 36% | MDD -55.9%
Months 53M (14%)
CAGR 5.3% | Win 57%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -69.3%
Months 143M (39%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR 3.9% | Win 54%
Sharpe 0.28 | Sortino 0.41 | Calmar 0.1
Vol 23% | MDD -50.9%
Months 250M (68%)
CAGR 13.6% | Win 60%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 30% | MDD -45.6%
Months 90M (24%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
RSmean
neg
CAGR 30.2% | Win 62%
Sharpe 1.67 | Sortino 3.10 | Calmar 3.7
Vol 17% | MDD -8.2%
Months 8M (2%)
CAGR 43.1% | Win 84%
Sharpe 3.03 | Sortino 6.24 | Calmar 12.7
Vol 12% | MDD -3.4%
Months 19M (5%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
MACD
only
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 7.1% | Win 56%
Sharpe 0.43 | Sortino 0.67 | Calmar 0.1
Vol 21% | MDD -47.6%
Months 252M (69%)
CAGR 4.4% | Win 55%
Sharpe 0.30 | Sortino 0.45 | Calmar 0.1
Vol 33% | MDD -62.6%
Months 88M (24%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
RSmean
neg
CAGR 58.6% | Win 75%
Sharpe 2.69 | Sortino 3.82 | Calmar 11.1
Vol 18% | MDD -5.3%
Months 8M (2%)
CAGR 31.7% | Win 79%
Sharpe 2.56 | Sortino 5.08 | Calmar 9.4
Vol 11% | MDD -3.4%
Months 19M (5%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
RSI
only
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 15.1% | Win 58%
Sharpe 0.80 | Sortino 1.44 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 190M (52%)
CAGR -3.6% | Win 52%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.0
Vol 30% | MDD -79.8%
Months 150M (41%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
RSmean
neg
CAGR 90.8% | Win 100%
Sharpe 0.00 | Sortino 0.00 | Calmar 0.0
Vol nan% | MDD 0.0%
Months 1M (0%)
CAGR 37.5% | Win 77%
Sharpe 2.44 | Sortino 4.54 | Calmar 4.6
Vol 14% | MDD -8.2%
Months 26M (7%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
MACDhist
only
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 11.8% | Win 57%
Sharpe 0.68 | Sortino 1.22 | Calmar 0.4
Vol 19% | MDD -31.1%
Months 176M (48%)
CAGR 0.9% | Win 53%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 30% | MDD -65.1%
Months 164M (45%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
RSmean
neg
CAGR 54.9% | Win 75%
Sharpe 2.52 | Sortino 3.62 | Calmar 10.4
Vol 18% | MDD -5.3%
Months 8M (2%)
CAGR 33.1% | Win 79%
Sharpe 2.65 | Sortino 5.26 | Calmar 9.8
Vol 11% | MDD -3.4%
Months 19M (5%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 11.2% | Win 57%
Sharpe 0.61 | Sortino 0.98 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 254M (69%)
CAGR -6.5% | Win 50%
Sharpe -0.03 | Sortino -0.05 | Calmar -0.1
Vol 33% | MDD -69.8%
Months 86M (23%)
CAGR 6.4% | Win 55%
Sharpe 0.38 | Sortino 0.56 | Calmar 0.1
Vol 25% | MDD -69.7%
Months 340M (93%)
RSmean
neg
CAGR 36.9% | Win 76%
Sharpe 2.35 | Sortino 4.54 | Calmar 4.5
Vol 14% | MDD -8.2%
Months 21M (6%)
CAGR 47.4% | Win 83%
Sharpe 3.24 | Sortino 0.00 | Calmar 425.8
Vol 12% | MDD -0.1%
Months 6M (2%)
CAGR 39.2% | Win 78%
Sharpe 2.56 | Sortino 4.71 | Calmar 4.8
Vol 13% | MDD -8.2%
Months 27M (7%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 4.5% | Win 53%
Sharpe 0.31 | Sortino 0.48 | Calmar 0.1
Vol 21% | MDD -47.6%
Months 223M (61%)
CAGR 5.5% | Win 60%
Sharpe 0.33 | Sortino 0.43 | Calmar 0.2
Vol 30% | MDD -36.3%
Months 35M (10%)
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
MACD
neg
CAGR 35.3% | Win 76%
Sharpe 1.69 | Sortino 3.36 | Calmar 2.7
Vol 19% | MDD -13.2%
Months 37M (10%)
CAGR 10.4% | Win 58%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.2
Vol 31% | MDD -52.0%
Months 72M (20%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
RSI
only
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 13.0% | Win 57%
Sharpe 0.71 | Sortino 1.26 | Calmar 0.5
Vol 20% | MDD -25.7%
Months 166M (45%)
CAGR -8.9% | Win 49%
Sharpe -0.23 | Sortino -0.30 | Calmar -0.2
Vol 26% | MDD -57.0%
Months 92M (25%)
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
MACD
neg
CAGR 32.4% | Win 68%
Sharpe 1.52 | Sortino 3.24 | Calmar 2.8
Vol 20% | MDD -11.4%
Months 25M (7%)
CAGR 14.4% | Win 63%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.2
Vol 30% | MDD -60.8%
Months 84M (23%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
MACDhist
only
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 10.4% | Win 56%
Sharpe 0.62 | Sortino 1.16 | Calmar 0.3
Vol 19% | MDD -32.6%
Months 136M (37%)
CAGR -1.4% | Win 52%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 26% | MDD -47.4%
Months 122M (33%)
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
MACD
neg
CAGR 22.7% | Win 65%
Sharpe 1.10 | Sortino 1.76 | Calmar 0.8
Vol 20% | MDD -27.7%
Months 48M (13%)
CAGR 14.9% | Win 64%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.4
Vol 32% | MDD -39.7%
Months 61M (17%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 9.1% | Win 56%
Sharpe 0.52 | Sortino 0.84 | Calmar 0.2
Vol 21% | MDD -39.6%
Months 220M (60%)
CAGR -17.7% | Win 45%
Sharpe -0.49 | Sortino -0.65 | Calmar -0.3
Vol 30% | MDD -52.0%
Months 38M (10%)
CAGR 4.7% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 22% | MDD -50.9%
Months 258M (70%)
MACD
neg
CAGR 29.8% | Win 71%
Sharpe 1.40 | Sortino 2.04 | Calmar 1.9
Vol 20% | MDD -15.9%
Months 55M (15%)
CAGR 7.6% | Win 57%
Sharpe 0.39 | Sortino 0.58 | Calmar 0.2
Vol 34% | MDD -39.7%
Months 54M (15%)
CAGR 18.3% | Win 64%
Sharpe 0.75 | Sortino 1.07 | Calmar 0.4
Vol 28% | MDD -45.6%
Months 109M (30%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 13.9% | Win 58%
Sharpe 0.76 | Sortino 1.34 | Calmar 0.5
Vol 20% | MDD -26.2%
Months 184M (50%)
CAGR -3.9% | Win 51%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 24% | MDD -59.9%
Months 76M (21%)
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
RSI
neg
CAGR 60.2% | Win 57%
Sharpe 1.87 | Sortino 17.55 | Calmar 57.4
Vol 27% | MDD -1.0%
Months 7M (2%)
CAGR 5.9% | Win 59%
Sharpe 0.34 | Sortino 0.48 | Calmar 0.1
Vol 31% | MDD -71.0%
Months 100M (27%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
MACDhist
only
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 14.3% | Win 60%
Sharpe 0.81 | Sortino 1.53 | Calmar 0.5
Vol 18% | MDD -30.9%
Months 163M (44%)
CAGR -0.8% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 25% | MDD -43.9%
Months 97M (26%)
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
RSI
neg
CAGR 6.9% | Win 48%
Sharpe 0.39 | Sortino 0.63 | Calmar 0.3
Vol 24% | MDD -27.7%
Months 21M (6%)
CAGR 9.3% | Win 62%
Sharpe 0.44 | Sortino 0.61 | Calmar 0.2
Vol 32% | MDD -54.1%
Months 86M (23%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 11.3% | Win 57%
Sharpe 0.62 | Sortino 1.03 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 236M (64%)
CAGR -15.9% | Win 50%
Sharpe -0.58 | Sortino -0.71 | Calmar -0.4
Vol 25% | MDD -40.9%
Months 24M (6%)
CAGR 8.4% | Win 56%
Sharpe 0.49 | Sortino 0.76 | Calmar 0.2
Vol 21% | MDD -47.6%
Months 260M (71%)
RSI
neg
CAGR 23.7% | Win 69%
Sharpe 1.10 | Sortino 1.36 | Calmar 1.1
Vol 22% | MDD -21.1%
Months 39M (11%)
CAGR 1.1% | Win 53%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.0
Vol 35% | MDD -54.3%
Months 68M (18%)
CAGR 8.8% | Win 59%
Sharpe 0.43 | Sortino 0.60 | Calmar 0.1
Vol 30% | MDD -62.5%
Months 107M (29%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 15.9% | Win 60%
Sharpe 0.90 | Sortino 1.70 | Calmar 0.7
Vol 18% | MDD -23.9%
Months 139M (38%)
CAGR 14.0% | Win 52%
Sharpe 0.66 | Sortino 1.14 | Calmar 0.6
Vol 24% | MDD -24.4%
Months 52M (14%)
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
MACDhist
neg
CAGR 6.2% | Win 51%
Sharpe 0.38 | Sortino 0.64 | Calmar 0.2
Vol 22% | MDD -29.8%
Months 45M (12%)
CAGR 0.0% | Win 57%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 30% | MDD -73.2%
Months 131M (36%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
RSIhist
only
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 14.0% | Win 58%
Sharpe 0.77 | Sortino 1.34 | Calmar 0.5
Vol 20% | MDD -25.7%
Months 185M (50%)
CAGR 67.7% | Win 67%
Sharpe 1.93 | Sortino 15.20 | Calmar 72.0
Vol 29% | MDD -0.9%
Months 6M (2%)
CAGR 15.4% | Win 58%
Sharpe 0.82 | Sortino 1.47 | Calmar 0.6
Vol 20% | MDD -25.7%
Months 191M (52%)
MACDhist
neg
CAGR 10.8% | Win 60%
Sharpe 0.57 | Sortino 0.82 | Calmar 0.3
Vol 23% | MDD -36.1%
Months 90M (24%)
CAGR -7.3% | Win 51%
Sharpe -0.07 | Sortino -0.10 | Calmar -0.1
Vol 32% | MDD -75.4%
Months 86M (23%)
CAGR 1.6% | Win 56%
Sharpe 0.20 | Sortino 0.28 | Calmar 0.0
Vol 28% | MDD -79.5%
Months 176M (48%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 17.7% | Win 61%
Sharpe 0.97 | Sortino 1.91 | Calmar 0.8
Vol 18% | MDD -21.6%
Months 152M (41%)
CAGR -4.7% | Win 44%
Sharpe -0.12 | Sortino -0.18 | Calmar -0.2
Vol 22% | MDD -27.7%
Months 32M (9%)
CAGR 13.4% | Win 58%
Sharpe 0.75 | Sortino 1.36 | Calmar 0.4
Vol 19% | MDD -30.9%
Months 184M (50%)
RSIhist
neg
CAGR 7.3% | Win 55%
Sharpe 0.42 | Sortino 0.62 | Calmar 0.2
Vol 23% | MDD -39.3%
Months 123M (34%)
CAGR -3.1% | Win 57%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.1
Vol 37% | MDD -61.1%
Months 60M (16%)
CAGR 3.8% | Win 56%
Sharpe 0.28 | Sortino 0.39 | Calmar 0.1
Vol 28% | MDD -65.0%
Months 183M (50%)
LWTI
only
CAGR 12.9% | Win 58%
Sharpe 0.69 | Sortino 1.10 | Calmar 0.3
Vol 21% | MDD -39.6%
Months 275M (75%)
CAGR -3.6% | Win 52%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.1
Vol 32% | MDD -69.7%
Months 92M (25%)