EWG - iShares MSCI Germany ETF

Signal Pair Analysis

RSmean-MACD

Best Pair

36.7%

Best CAGR

104

Total Months

7.0%

Avg CAGR

EWG 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 EWG

All signal pairs ranked by CAGR

Type Signal 1 Signal 2 Condition Months (n) Months (%) CAGR (%) Win Rate (%) Sharpe Sortino Calmar Vol (%) MDD (%)
pair MACD RSmean neg-pos 7 1.9 36.7 71.4 2.9 6.8 12.9 11.2 -2.8
pair RSmean MACD neg-pos 7 1.9 36.7 71.4 2.9 6.8 12.9 11.2 -2.8
pair RSmean RSI neg-pos 7 1.9 36.7 71.4 2.9 6.8 12.9 11.2 -2.8
pair RSI RSmean neg-pos 7 1.9 36.7 71.4 2.9 6.8 12.9 11.2 -2.8
pair LWTI MACD neg-pos 62 17.0 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair MACD LWTI neg-pos 62 17.0 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair SLmean RSI pos-neg 30 8.2 30.0 60.0 1.4 3.0 1.6 20.9 -18.9
pair RSI SLmean pos-neg 30 8.2 30.0 60.0 1.4 3.0 1.6 20.9 -18.9
pair RSmean SLmean pos-neg 7 1.9 28.9 71.4 1.6 2.7 4.2 17.4 -6.9
pair SLmean RSmean pos-neg 7 1.9 28.9 71.4 1.6 2.7 4.2 17.4 -6.9
pair RSIhist RSmean neg-pos 6 1.6 26.6 66.7 1.4 1.7 3.9 17.5 -6.9
pair RSmean RSIhist neg-pos 6 1.6 26.6 66.7 1.4 1.7 3.9 17.5 -6.9
pair RSIhist MACD neg-neg 72 19.7 24.3 62.5 0.9 1.1 0.7 30.4 -32.7
pair MACD RSIhist neg-neg 72 19.7 24.3 62.5 0.9 1.1 0.7 30.4 -32.7
pair MACD SLmean pos-neg 65 17.8 23.6 63.1 1.2 2.3 0.9 19.9 -26.3
pair SLmean MACD pos-neg 65 17.8 23.6 63.1 1.2 2.3 0.9 19.9 -26.3
pair MACDhist RSmean neg-pos 4 1.1 22.7 75.0 1.1 0.0 3.3 20.2 -6.9
pair RSmean MACDhist neg-pos 4 1.1 22.7 75.0 1.1 0.0 3.3 20.2 -6.9
pair MRmean MACD pos-neg 59 16.2 21.3 62.7 1.1 2.0 1.0 19.6 -20.7
pair MACD MRmean pos-neg 59 16.2 21.3 62.7 1.1 2.0 1.0 19.6 -20.7
pair MACDhist MACD neg-neg 99 27.1 20.3 61.6 0.8 1.1 0.4 27.2 -49.6
pair MACD MACDhist neg-neg 99 27.1 20.3 61.6 0.8 1.1 0.4 27.2 -49.6
pair MACDhist RSI neg-pos 18 4.9 19.9 50.0 0.7 1.1 0.7 34.2 -28.5
pair RSI MACDhist neg-pos 18 4.9 19.9 50.0 0.7 1.1 0.7 34.2 -28.5
pair RSmean LWTI neg-pos 21 5.8 19.6 66.7 1.6 2.0 2.5 11.7 -7.7
pair LWTI RSmean neg-pos 21 5.8 19.6 66.7 1.6 2.0 2.5 11.7 -7.7
pair MACD RSmean pos-neg 117 32.1 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
pair RSmean MACD pos-neg 117 32.1 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
pair RSmean MRmean pos-neg 6 1.6 19.5 66.7 1.1 1.9 2.8 18.0 -6.9
pair MRmean RSmean pos-neg 6 1.6 19.5 66.7 1.1 1.9 2.8 18.0 -6.9
pair RSI MRmean pos-neg 20 5.5 19.3 50.0 0.9 1.9 1.1 21.8 -17.0
pair MRmean RSI pos-neg 20 5.5 19.3 50.0 0.9 1.9 1.1 21.8 -17.0
pair MACDhist LWTI pos-neg 7 1.9 19.2 57.1 1.3 2.1 2.7 14.2 -7.2
pair LWTI MACDhist pos-neg 7 1.9 19.2 57.1 1.3 2.1 2.7 14.2 -7.2
single RSmean RSmean neg-neg 23 6.3 18.7 65.2 1.6 2.0 2.4 11.4 -7.7
pair RSI MACD neg-neg 92 25.2 18.7 56.5 0.7 1.0 0.4 29.4 -50.6
pair MACD RSI neg-neg 92 25.2 18.7 56.5 0.7 1.0 0.4 29.4 -50.6
single MACD MACD neg-neg 133 36.4 18.6 59.4 0.8 1.1 0.4 26.5 -49.6
pair RSI LWTI neg-pos 44 12.1 18.5 56.8 0.8 1.3 1.0 27.3 -18.1
pair LWTI RSI neg-pos 44 12.1 18.5 56.8 0.8 1.3 1.0 27.3 -18.1
pair RSmean MRmean neg-neg 17 4.7 18.4 64.7 2.0 2.6 10.0 8.7 -1.8
pair MRmean RSmean neg-neg 17 4.7 18.4 64.7 2.0 2.6 10.0 8.7 -1.8
pair MACD RSI neg-pos 41 11.2 18.3 65.9 1.0 1.9 1.1 18.8 -16.3
pair RSI MACD neg-pos 41 11.2 18.3 65.9 1.0 1.9 1.1 18.8 -16.3
pair MACDhist RSmean neg-neg 19 5.2 17.8 63.2 1.8 2.8 6.3 9.4 -2.8
pair RSmean MACDhist neg-neg 19 5.2 17.8 63.2 1.8 2.8 6.3 9.4 -2.8
pair SLmean MRmean neg-pos 18 4.9 16.9 55.6 0.8 2.3 1.5 21.3 -11.1
pair MRmean SLmean neg-pos 18 4.9 16.9 55.6 0.8 2.3 1.5 21.3 -11.1
pair MACD MRmean neg-neg 74 20.3 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair MRmean MACD neg-neg 74 20.3 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair RSIhist RSmean neg-neg 17 4.7 16.0 64.7 1.7 2.3 5.6 8.9 -2.8
pair RSmean RSIhist neg-neg 17 4.7 16.0 64.7 1.7 2.3 5.6 8.9 -2.8
pair SLmean RSmean neg-neg 16 4.4 14.4 62.5 1.7 2.1 7.9 7.9 -1.8
pair RSmean SLmean neg-neg 16 4.4 14.4 62.5 1.7 2.1 7.9 7.9 -1.8
pair SLmean LWTI pos-neg 35 9.6 14.3 54.3 0.8 1.9 0.9 18.8 -16.7
pair LWTI SLmean pos-neg 35 9.6 14.3 54.3 0.8 1.9 0.9 18.8 -16.7
pair SLmean MACD neg-neg 68 18.6 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair MACD SLmean neg-neg 68 18.6 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair RSIhist SLmean pos-pos 182 49.9 14.0 61.5 0.8 1.3 0.5 17.9 -26.3
pair SLmean RSIhist pos-pos 182 49.9 14.0 61.5 0.8 1.3 0.5 17.9 -26.3
pair MACDhist MACD neg-pos 34 9.3 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair MACD MACDhist neg-pos 34 9.3 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair RSIhist LWTI pos-pos 153 41.9 13.3 62.7 0.8 1.2 0.5 18.0 -26.3
pair LWTI RSIhist pos-pos 153 41.9 13.3 62.7 0.8 1.2 0.5 18.0 -26.3
pair RSIhist MACD neg-pos 61 16.7 12.2 55.7 0.7 1.1 0.4 21.1 -32.7
pair MACD RSIhist neg-pos 61 16.7 12.2 55.7 0.7 1.1 0.4 21.1 -32.7
pair RSIhist MRmean pos-pos 174 47.7 12.0 60.9 0.7 1.1 0.5 17.7 -26.3
pair MRmean RSIhist pos-pos 174 47.7 12.0 60.9 0.7 1.1 0.5 17.7 -26.3
pair SLmean MACDhist pos-pos 156 42.7 11.7 60.9 0.8 1.2 0.3 16.2 -34.7
pair MACDhist SLmean pos-pos 156 42.7 11.7 60.9 0.8 1.2 0.3 16.2 -34.7
pair RSmean MACD neg-neg 16 4.4 11.5 62.5 1.0 1.1 1.5 11.3 -7.8
pair MACD RSmean neg-neg 16 4.4 11.5 62.5 1.0 1.1 1.5 11.3 -7.8
pair RSmean RSI neg-neg 16 4.4 11.5 62.5 1.0 1.1 1.5 11.3 -7.8
pair RSI RSmean neg-neg 16 4.4 11.5 62.5 1.0 1.1 1.5 11.3 -7.8
single SLmean SLmean pos-pos 227 62.2 11.1 60.4 0.7 1.1 0.4 18.0 -28.1
pair RSI RSIhist neg-pos 30 8.2 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair RSIhist RSI neg-pos 30 8.2 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair LWTI SLmean pos-pos 192 52.6 10.6 61.5 0.7 1.0 0.3 17.9 -35.5
pair MACDhist RSIhist pos-pos 146 40.0 10.6 59.6 0.7 1.2 0.4 16.4 -26.6
pair LWTI MACDhist neg-pos 93 25.5 10.6 61.3 0.6 1.0 0.5 21.2 -22.5
pair RSIhist MACDhist pos-pos 146 40.0 10.6 59.6 0.7 1.2 0.4 16.4 -26.6
pair MACDhist LWTI neg-pos 93 25.5 10.6 61.3 0.6 1.0 0.5 21.2 -22.5
pair MACDhist MRmean neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.4 -34.0
pair MRmean MACDhist neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.4 -34.0
pair SLmean RSmean pos-pos 220 60.3 10.6 60.0 0.7 1.0 0.4 18.1 -28.1
pair SLmean LWTI pos-pos 192 52.6 10.6 61.5 0.7 1.0 0.3 17.9 -35.5
pair MRmean SLmean pos-pos 209 57.3 10.6 60.8 0.7 1.0 0.3 17.8 -35.5
pair SLmean MRmean pos-pos 209 57.3 10.6 60.8 0.7 1.0 0.3 17.8 -35.5
pair RSmean SLmean pos-pos 220 60.3 10.6 60.0 0.7 1.0 0.4 18.1 -28.1
pair MRmean LWTI neg-pos 65 17.8 10.5 53.8 0.6 0.9 0.3 23.3 -30.0
pair LWTI MRmean neg-pos 65 17.8 10.5 53.8 0.6 0.9 0.3 23.3 -30.0
single MACDhist MACDhist pos-pos 188 51.5 10.2 58.5 0.6 0.9 0.3 18.7 -39.5
pair MACDhist MRmean pos-pos 175 47.9 10.1 60.0 0.7 0.9 0.3 17.0 -31.6
single LWTI LWTI pos-pos 274 75.1 10.1 59.5 0.6 0.9 0.3 19.7 -36.4
pair MRmean MACDhist pos-pos 175 47.9 10.1 60.0 0.7 0.9 0.3 17.0 -31.6
pair MACDhist RSmean pos-pos 184 50.4 9.9 58.2 0.6 0.8 0.2 18.7 -39.5
pair MRmean LWTI pos-pos 209 57.3 9.9 61.2 0.6 0.9 0.3 18.4 -32.4
pair RSmean MACDhist pos-pos 184 50.4 9.9 58.2 0.6 0.8 0.2 18.7 -39.5
pair LWTI MRmean pos-pos 209 57.3 9.9 61.2 0.6 0.9 0.3 18.4 -32.4
pair MACDhist SLmean pos-neg 71 19.5 9.8 59.2 0.5 0.9 0.3 21.6 -28.1
pair MACDhist LWTI pos-pos 181 49.6 9.8 58.6 0.6 0.8 0.2 18.9 -39.5
pair SLmean MACDhist pos-neg 71 19.5 9.8 59.2 0.5 0.9 0.3 21.6 -28.1
pair LWTI MACDhist pos-pos 181 49.6 9.8 58.6 0.6 0.8 0.2 18.9 -39.5
single MRmean MRmean pos-pos 233 63.8 9.6 60.1 0.6 0.9 0.3 18.2 -33.6
pair LWTI RSmean neg-neg 2 0.5 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair RSmean LWTI neg-neg 2 0.5 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair MACD MACDhist pos-pos 154 42.2 9.4 59.7 0.6 0.8 0.3 17.2 -34.9
pair MACDhist MACD pos-pos 154 42.2 9.4 59.7 0.6 0.8 0.3 17.2 -34.9
pair MRmean RSmean pos-pos 227 62.2 9.4 59.9 0.6 0.8 0.3 18.2 -30.5
pair RSmean MRmean pos-pos 227 62.2 9.4 59.9 0.6 0.8 0.3 18.2 -30.5
pair LWTI MACD neg-neg 71 19.5 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair MACD LWTI neg-neg 71 19.5 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair LWTI RSmean pos-pos 253 69.3 9.3 58.9 0.6 0.8 0.2 20.2 -40.0
pair RSmean LWTI pos-pos 253 69.3 9.3 58.9 0.6 0.8 0.2 20.2 -40.0
pair MACDhist RSI pos-pos 170 46.6 9.2 59.4 0.6 0.9 0.3 16.3 -29.2
pair RSI MACDhist pos-pos 170 46.6 9.2 59.4 0.6 0.9 0.3 16.3 -29.2
pair SLmean LWTI neg-pos 82 22.5 9.0 54.9 0.5 0.7 0.2 23.3 -36.3
pair LWTI SLmean neg-pos 82 22.5 9.0 54.9 0.5 0.7 0.2 23.3 -36.3
single RSIhist RSIhist pos-pos 191 52.3 8.8 58.6 0.5 0.8 0.2 18.9 -43.7
pair RSI MRmean pos-pos 213 58.4 8.7 61.0 0.6 0.8 0.2 17.8 -34.5
pair RSIhist MACDhist pos-neg 42 11.5 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair MACDhist RSIhist pos-neg 42 11.5 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair MRmean RSI pos-pos 213 58.4 8.7 61.0 0.6 0.8 0.2 17.8 -34.5
pair LWTI RSI pos-pos 230 63.0 8.5 60.0 0.6 0.8 0.2 17.9 -35.8
pair RSI LWTI pos-pos 230 63.0 8.5 60.0 0.6 0.8 0.2 17.9 -35.8
pair RSI SLmean pos-pos 197 54.0 8.5 60.4 0.6 0.8 0.3 17.5 -31.6
pair SLmean RSI pos-pos 197 54.0 8.5 60.4 0.6 0.8 0.3 17.5 -31.6
pair RSIhist RSI pos-pos 161 44.1 8.4 60.2 0.6 0.8 0.3 17.7 -26.3
pair RSI RSIhist pos-pos 161 44.1 8.4 60.2 0.6 0.8 0.3 17.7 -26.3
pair RSIhist RSmean pos-pos 185 50.7 8.2 58.4 0.5 0.8 0.2 19.0 -43.1
pair RSmean RSIhist pos-pos 185 50.7 8.2 58.4 0.5 0.8 0.2 19.0 -43.1
pair MACDhist MRmean pos-neg 58 15.9 8.0 60.3 0.5 0.7 0.3 21.5 -30.5
pair MRmean MACDhist pos-neg 58 15.9 8.0 60.3 0.5 0.7 0.3 21.5 -30.5
single RSI RSI neg-neg 119 32.6 7.4 52.9 0.4 0.6 0.1 30.6 -62.3
pair RSIhist MACD pos-pos 130 35.6 7.2 60.0 0.5 0.7 0.3 17.9 -26.0
pair MACD RSIhist pos-pos 130 35.6 7.2 60.0 0.5 0.7 0.3 17.9 -26.0
pair LWTI MRmean pos-neg 24 6.6 6.7 50.0 0.5 1.2 0.4 16.1 -18.8
pair MRmean LWTI pos-neg 24 6.6 6.7 50.0 0.5 1.2 0.4 16.1 -18.8
pair RSmean RSI pos-neg 103 28.2 6.7 51.5 0.4 0.6 0.1 32.6 -61.9
pair RSI RSmean pos-neg 103 28.2 6.7 51.5 0.4 0.6 0.1 32.6 -61.9
pair MACD SLmean pos-pos 162 44.4 6.5 59.3 0.5 0.7 0.2 17.1 -28.1
pair SLmean MACD pos-pos 162 44.4 6.5 59.3 0.5 0.7 0.2 17.1 -28.1
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 6.5 56.7 0.4 0.6 0.1 22.8 -64.2
pair benchmark___benchmark_ benchmark-benchmark 365 100.0 6.5 56.7 0.4 0.6 0.1 22.8 -64.2
pair RSI RSIhist neg-neg 89 24.4 6.2 53.9 0.3 0.5 0.1 32.5 -58.0
pair RSIhist RSI neg-neg 89 24.4 6.2 53.9 0.3 0.5 0.1 32.5 -58.0
pair RSIhist LWTI neg-pos 121 33.2 6.1 55.4 0.4 0.6 0.1 21.6 -40.7
pair LWTI RSIhist neg-pos 121 33.2 6.1 55.4 0.4 0.6 0.1 21.6 -40.7
single RSI RSI pos-pos 246 67.4 6.1 58.5 0.4 0.6 0.1 18.0 -46.4
pair MACD MRmean pos-pos 174 47.7 5.9 59.2 0.4 0.6 0.2 17.6 -32.9
pair MRmean MACD pos-pos 174 47.7 5.9 59.2 0.4 0.6 0.2 17.6 -32.9
single RSmean RSmean pos-pos 342 93.7 5.7 56.1 0.4 0.5 0.1 23.4 -63.8
pair RSIhist SLmean neg-neg 129 35.3 5.4 54.3 0.3 0.5 0.1 28.9 -60.3
pair SLmean RSIhist neg-neg 129 35.3 5.4 54.3 0.3 0.5 0.1 28.9 -60.3
pair MACDhist RSI neg-neg 101 27.7 5.3 53.5 0.3 0.5 0.1 30.1 -68.9
pair RSI MACDhist neg-neg 101 27.7 5.3 53.5 0.3 0.5 0.1 30.1 -68.9
pair RSmean RSI pos-pos 239 65.5 5.3 58.2 0.4 0.5 0.1 18.1 -49.8
pair RSI RSmean pos-pos 239 65.5 5.3 58.2 0.4 0.5 0.1 18.1 -49.8
pair MRmean RSI neg-neg 99 27.1 5.1 53.5 0.3 0.5 0.1 32.2 -69.7
pair RSI MRmean neg-neg 99 27.1 5.1 53.5 0.3 0.5 0.1 32.2 -69.7
pair MACD LWTI pos-pos 212 58.1 4.8 57.1 0.3 0.5 0.1 18.9 -45.2
pair LWTI MACD pos-pos 212 58.1 4.8 57.1 0.3 0.5 0.1 18.9 -45.2
pair MRmean RSIhist neg-neg 115 31.5 4.7 53.0 0.3 0.4 0.1 29.6 -59.3
pair RSIhist MRmean neg-neg 115 31.5 4.7 53.0 0.3 0.4 0.1 29.6 -59.3
single RSIhist RSIhist neg-neg 174 47.7 4.0 54.6 0.3 0.4 0.1 26.5 -60.3
pair RSI MACD pos-pos 205 56.2 3.8 57.1 0.3 0.4 0.1 17.8 -47.4
pair MACD RSI pos-pos 205 56.2 3.8 57.1 0.3 0.4 0.1 17.8 -47.4
pair MACDhist RSIhist neg-pos 45 12.3 3.1 55.6 0.2 0.3 0.1 25.7 -37.9
pair RSIhist MACDhist neg-pos 45 12.3 3.1 55.6 0.2 0.3 0.1 25.7 -37.9
pair SLmean MACDhist neg-pos 32 8.8 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
pair MACDhist SLmean neg-pos 32 8.8 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
pair RSIhist RSmean pos-neg 157 43.0 2.8 53.5 0.2 0.3 0.1 27.8 -61.5
pair RSIhist MRmean pos-neg 59 16.2 2.8 57.6 0.2 0.3 0.1 19.5 -33.8
pair MRmean RSIhist pos-neg 59 16.2 2.8 57.6 0.2 0.3 0.1 19.5 -33.8
pair RSmean RSIhist pos-neg 157 43.0 2.8 53.5 0.2 0.3 0.1 27.8 -61.5
single MACDhist MACDhist neg-neg 177 48.5 2.7 54.8 0.2 0.3 0.0 26.6 -75.2
pair RSIhist MACDhist neg-neg 132 36.2 2.6 54.5 0.2 0.3 0.0 27.0 -63.5
pair MACDhist RSIhist neg-neg 132 36.2 2.6 54.5 0.2 0.3 0.0 27.0 -63.5
pair RSIhist RSI pos-neg 85 23.3 1.8 55.3 0.2 0.3 0.0 18.5 -49.6
pair RSI RSIhist pos-neg 85 23.3 1.8 55.3 0.2 0.3 0.0 18.5 -49.6
pair RSI LWTI neg-neg 75 20.5 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
pair LWTI RSI neg-neg 75 20.5 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
single MRmean MRmean neg-neg 132 36.2 1.2 50.8 0.2 0.3 0.0 29.4 -73.3
pair MACDhist RSmean pos-neg 158 43.3 1.0 53.8 0.2 0.3 0.0 28.0 -74.8
pair RSmean MACDhist pos-neg 158 43.3 1.0 53.8 0.2 0.3 0.0 28.0 -74.8
pair MRmean SLmean pos-neg 24 6.6 0.9 54.2 0.1 0.2 0.0 21.6 -23.6
pair SLmean MRmean pos-neg 24 6.6 0.9 54.2 0.1 0.2 0.0 21.6 -23.6
pair SLmean RSI neg-neg 89 24.4 0.6 50.6 0.2 0.3 0.0 33.2 -69.5
pair RSI SLmean neg-neg 89 24.4 0.6 50.6 0.2 0.3 0.0 33.2 -69.5
pair MRmean MACDhist neg-neg 119 32.6 0.2 52.1 0.1 0.2 0.0 28.8 -73.0
pair MACDhist MRmean neg-neg 119 32.6 0.2 52.1 0.1 0.2 0.0 28.8 -73.0
single MACD MACD pos-pos 232 63.6 0.1 55.2 0.1 0.1 0.0 20.3 -74.8
pair RSIhist SLmean pos-neg 45 12.3 0.1 55.6 0.1 0.1 0.0 18.3 -31.6
pair SLmean RSIhist pos-neg 45 12.3 0.1 55.6 0.1 0.1 0.0 18.3 -31.6
pair RSI MACDhist pos-neg 76 20.8 -0.6 56.6 0.1 0.1 -0.0 21.2 -54.5
pair MACDhist RSI pos-neg 76 20.8 -0.6 56.6 0.1 0.1 -0.0 21.2 -54.5
pair LWTI RSIhist neg-neg 53 14.5 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
pair RSIhist LWTI neg-neg 53 14.5 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
single SLmean SLmean neg-neg 138 37.8 -0.7 50.7 0.1 0.2 -0.0 29.1 -71.2
pair RSmean MACD pos-pos 225 61.6 -0.9 54.7 0.1 0.1 -0.0 20.4 -75.9
pair MACD RSmean pos-pos 225 61.6 -0.9 54.7 0.1 0.1 -0.0 20.4 -75.9
pair SLmean MRmean neg-neg 114 31.2 -1.1 50.0 0.1 0.2 -0.0 30.5 -71.8
pair MRmean RSmean neg-pos 115 31.5 -1.1 48.7 0.1 0.2 -0.0 31.3 -72.8
pair RSmean MRmean neg-pos 115 31.5 -1.1 48.7 0.1 0.2 -0.0 31.3 -72.8
pair MRmean SLmean neg-neg 114 31.2 -1.1 50.0 0.1 0.2 -0.0 30.5 -71.8
pair SLmean MACDhist neg-neg 106 29.0 -1.8 51.9 0.1 0.1 -0.0 29.5 -72.9
pair MACDhist SLmean neg-neg 106 29.0 -1.8 51.9 0.1 0.1 -0.0 29.5 -72.9
pair RSmean SLmean neg-pos 122 33.4 -2.6 49.2 0.1 0.1 -0.0 30.8 -70.6
pair SLmean RSmean neg-pos 122 33.4 -2.6 49.2 0.1 0.1 -0.0 30.8 -70.6
pair SLmean RSI neg-pos 49 13.4 -3.2 51.0 -0.1 -0.1 -0.1 19.8 -47.1
pair RSI SLmean neg-pos 49 13.4 -3.2 51.0 -0.1 -0.1 -0.1 19.8 -47.1
single LWTI LWTI neg-neg 91 24.9 -3.7 48.4 0.0 0.1 -0.1 30.5 -69.2
pair LWTI RSmean pos-neg 89 24.4 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair RSmean LWTI pos-neg 89 24.4 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair MACDhist LWTI neg-neg 84 23.0 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair LWTI MACDhist neg-neg 84 23.0 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair MRmean LWTI neg-neg 67 18.4 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair LWTI MRmean neg-neg 67 18.4 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair RSIhist LWTI pos-neg 38 10.4 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair LWTI RSIhist pos-neg 38 10.4 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair RSIhist MACD pos-neg 102 27.9 -8.3 49.0 -0.3 -0.4 -0.1 22.9 -75.5
pair MACD RSIhist pos-neg 102 27.9 -8.3 49.0 -0.3 -0.4 -0.1 22.9 -75.5
pair MRmean RSI neg-pos 33 9.0 -9.7 42.4 -0.5 -0.7 -0.2 18.5 -44.4
pair RSI MRmean neg-pos 33 9.0 -9.7 42.4 -0.5 -0.7 -0.2 18.5 -44.4
pair SLmean MACD neg-pos 70 19.2 -13.3 45.7 -0.4 -0.6 -0.2 25.9 -74.0
pair MACD SLmean neg-pos 70 19.2 -13.3 45.7 -0.4 -0.6 -0.2 25.9 -74.0
pair SLmean LWTI neg-neg 56 15.3 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair LWTI SLmean neg-neg 56 15.3 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair MACD MRmean neg-pos 58 15.9 -15.4 43.1 -0.5 -0.8 -0.2 26.4 -71.0
pair MRmean MACD neg-pos 58 15.9 -15.4 43.1 -0.5 -0.8 -0.2 26.4 -71.0
pair MACDhist MACD pos-neg 78 21.4 -16.0 46.2 -0.6 -0.8 -0.2 24.7 -77.8
pair MACD MACDhist pos-neg 78 21.4 -16.0 46.2 -0.6 -0.8 -0.2 24.7 -77.8
pair RSIhist MRmean neg-pos 17 4.7 -19.5 35.3 -0.6 -0.9 -0.6 28.0 -31.0
pair MRmean RSIhist neg-pos 17 4.7 -19.5 35.3 -0.6 -0.9 -0.6 28.0 -31.0
pair MACD RSI pos-neg 27 7.4 -23.8 40.7 -0.6 -1.1 -0.4 33.3 -54.7
pair RSI MACD pos-neg 27 7.4 -23.8 40.7 -0.6 -1.1 -0.4 33.3 -54.7
pair LWTI RSI pos-neg 16 4.4 -23.9 37.5 -1.5 -1.9 -0.8 17.4 -29.1
pair RSI LWTI pos-neg 16 4.4 -23.9 37.5 -1.5 -1.9 -0.8 17.4 -29.1
pair MACD LWTI pos-neg 20 5.5 -38.4 35.0 -1.5 -1.9 -0.6 29.0 -60.4
pair LWTI MACD pos-neg 20 5.5 -38.4 35.0 -1.5 -1.9 -0.6 29.0 -60.4
pair RSIhist SLmean neg-pos 9 2.5 -58.2 0.0 -4.2 -4.2 -1.2 19.4 -47.5
pair SLmean RSIhist neg-pos 9 2.5 -58.2 0.0 -4.2 -4.2 -1.2 19.4 -47.5

All Contingency Tables for EWG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 10.6% | Win 61%
Sharpe 0.66 | Sortino 1.00 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 209M (57%)
CAGR 0.9% | Win 54%
Sharpe 0.15 | Sortino 0.18 | Calmar 0.0
Vol 22% | MDD -23.6%
Months 24M (7%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR 16.9% | Win 56%
Sharpe 0.84 | Sortino 2.26 | Calmar 1.5
Vol 21% | MDD -11.1%
Months 18M (5%)
CAGR -1.1% | Win 50%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 30% | MDD -71.8%
Months 114M (31%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
SLmean
only
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.84 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 227M (62%)
CAGR 19.5% | Win 67%
Sharpe 1.07 | Sortino 1.94 | Calmar 2.8
Vol 18% | MDD -6.9%
Months 6M (2%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR -1.1% | Win 49%
Sharpe 0.12 | Sortino 0.19 | Calmar -0.0
Vol 31% | MDD -72.8%
Months 115M (32%)
CAGR 18.4% | Win 65%
Sharpe 1.98 | Sortino 2.59 | Calmar 10.0
Vol 9% | MDD -1.8%
Months 17M (5%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
RSmean
only
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.9% | Win 59%
Sharpe 0.41 | Sortino 0.56 | Calmar 0.2
Vol 18% | MDD -32.9%
Months 174M (48%)
CAGR 21.3% | Win 63%
Sharpe 1.09 | Sortino 2.01 | Calmar 1.0
Vol 20% | MDD -20.7%
Months 59M (16%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR -15.4% | Win 43%
Sharpe -0.50 | Sortino -0.77 | Calmar -0.2
Vol 26% | MDD -71.0%
Months 58M (16%)
CAGR 16.5% | Win 57%
Sharpe 0.65 | Sortino 0.87 | Calmar 0.3
Vol 31% | MDD -48.1%
Months 74M (20%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
MACD
only
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.7% | Win 61%
Sharpe 0.56 | Sortino 0.78 | Calmar 0.3
Vol 18% | MDD -34.5%
Months 213M (58%)
CAGR 19.3% | Win 50%
Sharpe 0.92 | Sortino 1.92 | Calmar 1.1
Vol 22% | MDD -17.0%
Months 20M (6%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR -9.7% | Win 42%
Sharpe -0.46 | Sortino -0.69 | Calmar -0.2
Vol 18% | MDD -44.4%
Months 33M (9%)
CAGR 5.1% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 32% | MDD -69.7%
Months 99M (27%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
RSI
only
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 10.1% | Win 60%
Sharpe 0.66 | Sortino 0.95 | Calmar 0.3
Vol 17% | MDD -31.6%
Months 175M (48%)
CAGR 8.0% | Win 60%
Sharpe 0.47 | Sortino 0.69 | Calmar 0.3
Vol 22% | MDD -30.5%
Months 58M (16%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR 10.6% | Win 38%
Sharpe 0.45 | Sortino 0.69 | Calmar 0.3
Vol 35% | MDD -34.0%
Months 13M (4%)
CAGR 0.2% | Win 52%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 29% | MDD -73.0%
Months 119M (33%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
MACDhist
only
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 12.0% | Win 61%
Sharpe 0.73 | Sortino 1.14 | Calmar 0.5
Vol 18% | MDD -26.3%
Months 174M (48%)
CAGR 2.8% | Win 58%
Sharpe 0.24 | Sortino 0.31 | Calmar 0.1
Vol 20% | MDD -33.8%
Months 59M (16%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR -19.5% | Win 35%
Sharpe -0.63 | Sortino -0.95 | Calmar -0.6
Vol 28% | MDD -31.0%
Months 17M (5%)
CAGR 4.7% | Win 53%
Sharpe 0.30 | Sortino 0.44 | Calmar 0.1
Vol 30% | MDD -59.3%
Months 115M (32%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.9% | Win 61%
Sharpe 0.61 | Sortino 0.86 | Calmar 0.3
Vol 18% | MDD -32.4%
Months 209M (57%)
CAGR 6.7% | Win 50%
Sharpe 0.48 | Sortino 1.22 | Calmar 0.4
Vol 16% | MDD -18.8%
Months 24M (7%)
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 233M (64%)
MRmean
neg
CAGR 10.5% | Win 54%
Sharpe 0.55 | Sortino 0.91 | Calmar 0.4
Vol 23% | MDD -30.0%
Months 65M (18%)
CAGR -7.1% | Win 48%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 34% | MDD -72.4%
Months 67M (18%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (36%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
SLmean × RSmean
RSmean
pos		RSmean
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 60%
Sharpe 0.65 | Sortino 1.02 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 220M (60%)
CAGR 28.9% | Win 71%
Sharpe 1.55 | Sortino 2.71 | Calmar 4.2
Vol 17% | MDD -6.9%
Months 7M (2%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR -2.6% | Win 49%
Sharpe 0.07 | Sortino 0.11 | Calmar -0.0
Vol 31% | MDD -70.6%
Months 122M (33%)
CAGR 14.4% | Win 62%
Sharpe 1.74 | Sortino 2.07 | Calmar 7.9
Vol 8% | MDD -1.8%
Months 16M (4%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
RSmean
only
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.5% | Win 59%
Sharpe 0.46 | Sortino 0.65 | Calmar 0.2
Vol 17% | MDD -28.1%
Months 162M (44%)
CAGR 23.6% | Win 63%
Sharpe 1.17 | Sortino 2.28 | Calmar 0.9
Vol 20% | MDD -26.3%
Months 65M (18%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR -13.3% | Win 46%
Sharpe -0.41 | Sortino -0.59 | Calmar -0.2
Vol 26% | MDD -74.0%
Months 70M (19%)
CAGR 14.0% | Win 56%
Sharpe 0.58 | Sortino 0.76 | Calmar 0.3
Vol 32% | MDD -47.7%
Months 68M (19%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
MACD
only
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.5% | Win 60%
Sharpe 0.56 | Sortino 0.83 | Calmar 0.3
Vol 18% | MDD -31.6%
Months 197M (54%)
CAGR 30.0% | Win 60%
Sharpe 1.37 | Sortino 2.95 | Calmar 1.6
Vol 21% | MDD -18.9%
Months 30M (8%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR -3.2% | Win 51%
Sharpe -0.07 | Sortino -0.08 | Calmar -0.1
Vol 20% | MDD -47.1%
Months 49M (13%)
CAGR 0.6% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 33% | MDD -69.5%
Months 89M (24%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
RSI
only
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 11.7% | Win 61%
Sharpe 0.77 | Sortino 1.22 | Calmar 0.3
Vol 16% | MDD -34.7%
Months 156M (43%)
CAGR 9.8% | Win 59%
Sharpe 0.54 | Sortino 0.87 | Calmar 0.3
Vol 22% | MDD -28.1%
Months 71M (20%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR 2.8% | Win 47%
Sharpe 0.24 | Sortino 0.32 | Calmar 0.1
Vol 28% | MDD -45.5%
Months 32M (9%)
CAGR -1.8% | Win 52%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 30% | MDD -72.9%
Months 106M (29%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
MACDhist
only
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.0% | Win 62%
Sharpe 0.83 | Sortino 1.31 | Calmar 0.5
Vol 18% | MDD -26.3%
Months 182M (50%)
CAGR 0.1% | Win 56%
Sharpe 0.10 | Sortino 0.15 | Calmar 0.0
Vol 18% | MDD -31.6%
Months 45M (12%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR -58.2% | Win 0%
Sharpe -4.24 | Sortino -4.24 | Calmar -1.2
Vol 19% | MDD -47.5%
Months 9M (2%)
CAGR 5.4% | Win 54%
Sharpe 0.33 | Sortino 0.46 | Calmar 0.1
Vol 29% | MDD -60.3%
Months 129M (35%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.6% | Win 62%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 192M (53%)
CAGR 14.3% | Win 54%
Sharpe 0.81 | Sortino 1.91 | Calmar 0.9
Vol 19% | MDD -16.7%
Months 35M (10%)
CAGR 11.1% | Win 60%
Sharpe 0.68 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 227M (62%)
SLmean
neg
CAGR 9.0% | Win 55%
Sharpe 0.49 | Sortino 0.72 | Calmar 0.2
Vol 23% | MDD -36.3%
Months 82M (22%)
CAGR -13.4% | Win 45%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.2
Vol 36% | MDD -69.5%
Months 56M (15%)
CAGR -0.7% | Win 51%
Sharpe 0.12 | Sortino 0.17 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 138M (38%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
RSmean × MACD
MACD
pos		MACD
neg		RSmean
only
RSmean
pos
CAGR -0.9% | Win 55%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 20% | MDD -75.9%
Months 225M (62%)
CAGR 19.6% | Win 59%
Sharpe 0.79 | Sortino 1.12 | Calmar 0.4
Vol 28% | MDD -49.1%
Months 117M (32%)
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
RSmean
neg
CAGR 36.7% | Win 71%
Sharpe 2.88 | Sortino 6.75 | Calmar 12.9
Vol 11% | MDD -2.8%
Months 7M (2%)
CAGR 11.5% | Win 62%
Sharpe 1.02 | Sortino 1.10 | Calmar 1.5
Vol 11% | MDD -7.8%
Months 16M (4%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
MACD
only
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 5.3% | Win 58%
Sharpe 0.38 | Sortino 0.54 | Calmar 0.1
Vol 18% | MDD -49.8%
Months 239M (66%)
CAGR 6.7% | Win 52%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.1
Vol 33% | MDD -61.9%
Months 103M (28%)
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
RSmean
neg
CAGR 36.7% | Win 71%
Sharpe 2.88 | Sortino 6.75 | Calmar 12.9
Vol 11% | MDD -2.8%
Months 7M (2%)
CAGR 11.5% | Win 62%
Sharpe 1.02 | Sortino 1.10 | Calmar 1.5
Vol 11% | MDD -7.8%
Months 16M (4%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
RSI
only
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 9.9% | Win 58%
Sharpe 0.60 | Sortino 0.85 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 184M (50%)
CAGR 1.0% | Win 54%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -74.8%
Months 158M (43%)
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
RSmean
neg
CAGR 22.7% | Win 75%
Sharpe 1.10 | Sortino 0.00 | Calmar 3.3
Vol 20% | MDD -6.9%
Months 4M (1%)
CAGR 17.8% | Win 63%
Sharpe 1.79 | Sortino 2.80 | Calmar 6.3
Vol 9% | MDD -2.8%
Months 19M (5%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
MACDhist
only
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 8.2% | Win 58%
Sharpe 0.51 | Sortino 0.76 | Calmar 0.2
Vol 19% | MDD -43.1%
Months 185M (51%)
CAGR 2.8% | Win 54%
Sharpe 0.24 | Sortino 0.35 | Calmar 0.0
Vol 28% | MDD -61.5%
Months 157M (43%)
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
RSmean
neg
CAGR 26.6% | Win 67%
Sharpe 1.43 | Sortino 1.72 | Calmar 3.9
Vol 18% | MDD -6.9%
Months 6M (2%)
CAGR 16.0% | Win 65%
Sharpe 1.72 | Sortino 2.32 | Calmar 5.6
Vol 9% | MDD -2.8%
Months 17M (5%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.3% | Win 59%
Sharpe 0.55 | Sortino 0.82 | Calmar 0.2
Vol 20% | MDD -40.0%
Months 253M (69%)
CAGR -3.9% | Win 48%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -68.9%
Months 89M (24%)
CAGR 5.7% | Win 56%
Sharpe 0.36 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 342M (94%)
RSmean
neg
CAGR 19.6% | Win 67%
Sharpe 1.59 | Sortino 2.02 | Calmar 2.5
Vol 12% | MDD -7.7%
Months 21M (6%)
CAGR 9.6% | Win 50%
Sharpe 1.10 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 2M (0%)
CAGR 18.7% | Win 65%
Sharpe 1.57 | Sortino 2.02 | Calmar 2.4
Vol 11% | MDD -7.7%
Months 23M (6%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
MACD × RSI
RSI
pos		RSI
neg		MACD
only
MACD
pos
CAGR 3.8% | Win 57%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 205M (56%)
CAGR -23.8% | Win 41%
Sharpe -0.64 | Sortino -1.15 | Calmar -0.4
Vol 33% | MDD -54.7%
Months 27M (7%)
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
MACD
neg
CAGR 18.3% | Win 66%
Sharpe 0.99 | Sortino 1.85 | Calmar 1.1
Vol 19% | MDD -16.3%
Months 41M (11%)
CAGR 18.7% | Win 56%
Sharpe 0.74 | Sortino 1.00 | Calmar 0.4
Vol 29% | MDD -50.6%
Months 92M (25%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
RSI
only
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 9.4% | Win 60%
Sharpe 0.61 | Sortino 0.85 | Calmar 0.3
Vol 17% | MDD -34.9%
Months 154M (42%)
CAGR -16.0% | Win 46%
Sharpe -0.57 | Sortino -0.84 | Calmar -0.2
Vol 25% | MDD -77.8%
Months 78M (21%)
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
MACD
neg
CAGR 13.8% | Win 53%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.8
Vol 24% | MDD -18.3%
Months 34M (9%)
CAGR 20.3% | Win 62%
Sharpe 0.82 | Sortino 1.10 | Calmar 0.4
Vol 27% | MDD -49.6%
Months 99M (27%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
MACDhist
only
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 7.2% | Win 60%
Sharpe 0.48 | Sortino 0.67 | Calmar 0.3
Vol 18% | MDD -26.0%
Months 130M (36%)
CAGR -8.3% | Win 49%
Sharpe -0.26 | Sortino -0.36 | Calmar -0.1
Vol 23% | MDD -75.5%
Months 102M (28%)
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
MACD
neg
CAGR 12.2% | Win 56%
Sharpe 0.65 | Sortino 1.07 | Calmar 0.4
Vol 21% | MDD -32.7%
Months 61M (17%)
CAGR 24.3% | Win 62%
Sharpe 0.88 | Sortino 1.12 | Calmar 0.7
Vol 30% | MDD -32.7%
Months 72M (20%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.8% | Win 57%
Sharpe 0.34 | Sortino 0.51 | Calmar 0.1
Vol 19% | MDD -45.2%
Months 212M (58%)
CAGR -38.4% | Win 35%
Sharpe -1.49 | Sortino -1.93 | Calmar -0.6
Vol 29% | MDD -60.4%
Months 20M (6%)
CAGR 0.1% | Win 55%
Sharpe 0.11 | Sortino 0.15 | Calmar 0.0
Vol 20% | MDD -74.8%
Months 232M (64%)
MACD
neg
CAGR 30.2% | Win 68%
Sharpe 1.35 | Sortino 1.81 | Calmar 1.7
Vol 22% | MDD -18.1%
Months 62M (17%)
CAGR 9.3% | Win 52%
Sharpe 0.45 | Sortino 0.65 | Calmar 0.2
Vol 30% | MDD -46.7%
Months 71M (20%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (36%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
RSI × MACDhist
MACDhist
pos		MACDhist
neg		RSI
only
RSI
pos
CAGR 9.2% | Win 59%
Sharpe 0.62 | Sortino 0.88 | Calmar 0.3
Vol 16% | MDD -29.2%
Months 170M (47%)
CAGR -0.6% | Win 57%
Sharpe 0.08 | Sortino 0.12 | Calmar -0.0
Vol 21% | MDD -54.5%
Months 76M (21%)
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
RSI
neg
CAGR 19.9% | Win 50%
Sharpe 0.70 | Sortino 1.10 | Calmar 0.7
Vol 34% | MDD -28.5%
Months 18M (5%)
CAGR 5.3% | Win 54%
Sharpe 0.32 | Sortino 0.46 | Calmar 0.1
Vol 30% | MDD -68.9%
Months 101M (28%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
MACDhist
only
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 60%
Sharpe 0.55 | Sortino 0.80 | Calmar 0.3
Vol 18% | MDD -26.3%
Months 161M (44%)
CAGR 1.8% | Win 55%
Sharpe 0.19 | Sortino 0.26 | Calmar 0.0
Vol 18% | MDD -49.6%
Months 85M (23%)
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
RSI
neg
CAGR 10.8% | Win 50%
Sharpe 0.54 | Sortino 0.84 | Calmar 0.3
Vol 25% | MDD -32.7%
Months 30M (8%)
CAGR 6.2% | Win 54%
Sharpe 0.35 | Sortino 0.51 | Calmar 0.1
Vol 32% | MDD -58.0%
Months 89M (24%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.5% | Win 60%
Sharpe 0.55 | Sortino 0.78 | Calmar 0.2
Vol 18% | MDD -35.8%
Months 230M (63%)
CAGR -23.9% | Win 38%
Sharpe -1.47 | Sortino -1.90 | Calmar -0.8
Vol 17% | MDD -29.1%
Months 16M (4%)
CAGR 6.1% | Win 58%
Sharpe 0.42 | Sortino 0.60 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 246M (67%)
RSI
neg
CAGR 18.5% | Win 57%
Sharpe 0.76 | Sortino 1.29 | Calmar 1.0
Vol 27% | MDD -18.1%
Months 44M (12%)
CAGR 1.3% | Win 51%
Sharpe 0.20 | Sortino 0.29 | Calmar 0.0
Vol 32% | MDD -66.2%
Months 75M (20%)
CAGR 7.4% | Win 53%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.1
Vol 31% | MDD -62.3%
Months 119M (33%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
MACDhist × RSIhist
RSIhist
pos		RSIhist
neg		MACDhist
only
MACDhist
pos
CAGR 10.6% | Win 60%
Sharpe 0.70 | Sortino 1.18 | Calmar 0.4
Vol 16% | MDD -26.6%
Months 146M (40%)
CAGR 8.7% | Win 55%
Sharpe 0.46 | Sortino 0.56 | Calmar 0.2
Vol 25% | MDD -38.1%
Months 42M (12%)
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
MACDhist
neg
CAGR 3.1% | Win 56%
Sharpe 0.25 | Sortino 0.34 | Calmar 0.1
Vol 26% | MDD -37.9%
Months 45M (12%)
CAGR 2.6% | Win 55%
Sharpe 0.23 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -63.5%
Months 132M (36%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 9.8% | Win 59%
Sharpe 0.59 | Sortino 0.84 | Calmar 0.2
Vol 19% | MDD -39.5%
Months 181M (50%)
CAGR 19.2% | Win 57%
Sharpe 1.31 | Sortino 2.10 | Calmar 2.7
Vol 14% | MDD -7.2%
Months 7M (2%)
CAGR 10.2% | Win 58%
Sharpe 0.61 | Sortino 0.87 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 188M (52%)
MACDhist
neg
CAGR 10.6% | Win 61%
Sharpe 0.58 | Sortino 0.96 | Calmar 0.5
Vol 21% | MDD -22.5%
Months 93M (26%)
CAGR -5.3% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -71.7%
Months 84M (23%)
CAGR 2.7% | Win 55%
Sharpe 0.24 | Sortino 0.34 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 177M (48%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)
RSIhist × LWTI
LWTI
pos		LWTI
neg		RSIhist
only
RSIhist
pos
CAGR 13.3% | Win 63%
Sharpe 0.79 | Sortino 1.18 | Calmar 0.5
Vol 18% | MDD -26.3%
Months 153M (42%)
CAGR -7.7% | Win 42%
Sharpe -0.26 | Sortino -0.38 | Calmar -0.2
Vol 22% | MDD -32.7%
Months 38M (10%)
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (52%)
RSIhist
neg
CAGR 6.1% | Win 55%
Sharpe 0.39 | Sortino 0.57 | Calmar 0.2
Vol 22% | MDD -40.7%
Months 121M (33%)
CAGR -0.6% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 36% | MDD -58.0%
Months 53M (14%)
CAGR 4.0% | Win 55%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 26% | MDD -60.3%
Months 174M (48%)
LWTI
only
CAGR 10.1% | Win 60%
Sharpe 0.59 | Sortino 0.87 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 274M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)