EWG - iShares MSCI Germany ETF

Signal Pair Analysis

RSmean-MACD

Best Pair

52.5%

Best CAGR

103

Total Months

7.4%

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 6 1.7 52.5 83.3 5.4 0.0 59.4 8.0 -0.9
pair RSmean MACD neg-pos 6 1.7 52.5 83.3 5.4 0.0 59.4 8.0 -0.9
pair RSmean RSI neg-pos 6 1.7 52.5 83.3 5.4 0.0 59.4 8.0 -0.9
pair RSI RSmean neg-pos 6 1.7 52.5 83.3 5.4 0.0 59.4 8.0 -0.9
pair RSmean SLmean pos-neg 6 1.7 42.4 83.3 2.2 0.0 6.2 17.1 -6.9
pair SLmean RSmean pos-neg 6 1.7 42.4 83.3 2.2 0.0 6.2 17.1 -6.9
pair RSmean MRmean pos-neg 5 1.4 32.6 80.0 1.6 0.0 4.7 18.2 -6.9
pair MRmean RSmean pos-neg 5 1.4 32.6 80.0 1.6 0.0 4.7 18.2 -6.9
pair LWTI MACD neg-pos 62 17.2 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair MACD LWTI neg-pos 62 17.2 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair SLmean RSI pos-neg 30 8.3 30.0 60.0 1.4 3.0 1.6 20.9 -18.9
pair RSI SLmean pos-neg 30 8.3 30.0 60.0 1.4 3.0 1.6 20.9 -18.9
pair RSIhist RSmean neg-pos 6 1.7 26.6 66.7 1.4 1.7 3.9 17.5 -6.9
pair RSmean RSIhist neg-pos 6 1.7 26.6 66.7 1.4 1.7 3.9 17.5 -6.9
pair RSIhist MACD neg-neg 72 19.9 24.3 62.5 0.9 1.1 0.7 30.4 -32.7
pair MACD RSIhist neg-neg 72 19.9 24.3 62.5 0.9 1.1 0.7 30.4 -32.7
pair MACD SLmean pos-neg 65 18.0 23.6 63.1 1.2 2.3 0.9 20.0 -26.3
pair SLmean MACD pos-neg 65 18.0 23.6 63.1 1.2 2.3 0.9 20.0 -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 RSmean LWTI neg-pos 20 5.5 22.7 70.0 1.9 2.0 3.0 11.5 -7.7
pair LWTI RSmean neg-pos 20 5.5 22.7 70.0 1.9 2.0 3.0 11.5 -7.7
single RSmean RSmean neg-neg 22 6.1 21.5 68.2 1.8 2.0 2.8 11.1 -7.7
pair MRmean MACD pos-neg 59 16.3 21.3 62.7 1.1 2.0 1.0 19.6 -20.7
pair MACD MRmean pos-neg 59 16.3 21.3 62.7 1.1 2.0 1.0 19.6 -20.7
pair RSmean MACDhist neg-neg 18 5.0 21.2 66.7 2.2 3.0 11.7 9.0 -1.8
pair MACDhist RSmean neg-neg 18 5.0 21.2 66.7 2.2 3.0 11.7 9.0 -1.8
pair MACD MACDhist neg-neg 99 27.4 20.3 61.6 0.8 1.1 0.4 27.2 -49.6
pair MACDhist MACD neg-neg 99 27.4 20.3 61.6 0.8 1.1 0.4 27.2 -49.6
pair MACDhist RSI neg-pos 18 5.0 19.9 50.0 0.7 1.1 0.7 34.2 -28.5
pair RSI MACDhist neg-pos 18 5.0 19.9 50.0 0.7 1.1 0.7 34.2 -28.5
pair RSmean RSIhist neg-neg 16 4.4 19.6 68.8 2.2 2.3 22.2 8.4 -0.9
pair MACD RSmean pos-neg 117 32.4 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
pair RSIhist RSmean neg-neg 16 4.4 19.6 68.8 2.2 2.3 22.2 8.4 -0.9
pair RSmean MACD pos-neg 117 32.4 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
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 LWTI MACDhist pos-neg 7 1.9 19.2 57.1 1.3 2.1 2.7 14.2 -7.1
pair MACDhist LWTI pos-neg 7 1.9 19.2 57.1 1.3 2.1 2.7 14.2 -7.1
pair RSI MACD neg-neg 92 25.5 18.7 56.5 0.7 1.0 0.4 29.4 -50.6
pair MACD RSI neg-neg 92 25.5 18.7 56.5 0.7 1.0 0.4 29.4 -50.6
single MACD MACD neg-neg 133 36.8 18.6 59.4 0.8 1.1 0.4 26.5 -49.6
pair RSI LWTI neg-pos 44 12.2 18.5 56.8 0.8 1.3 1.0 27.3 -18.1
pair LWTI RSI neg-pos 44 12.2 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 10.1 8.7 -1.8
pair MRmean RSmean neg-neg 17 4.7 18.4 64.7 2.0 2.6 10.1 8.7 -1.8
pair MACD RSI neg-pos 41 11.4 18.3 65.9 1.0 1.9 1.1 18.8 -16.3
pair RSI MACD neg-pos 41 11.4 18.3 65.9 1.0 1.9 1.1 18.8 -16.3
pair SLmean MRmean neg-pos 18 5.0 16.9 55.6 0.8 2.2 1.5 21.4 -11.1
pair MRmean SLmean neg-pos 18 5.0 16.9 55.6 0.8 2.2 1.5 21.4 -11.1
pair MACD MRmean neg-neg 74 20.5 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair MRmean MACD neg-neg 74 20.5 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair SLmean LWTI pos-neg 35 9.7 14.4 54.3 0.8 1.9 0.9 18.8 -16.7
pair LWTI SLmean pos-neg 35 9.7 14.4 54.3 0.8 1.9 0.9 18.8 -16.7
pair SLmean RSmean neg-neg 16 4.4 14.4 62.5 1.8 2.1 7.9 7.9 -1.8
pair RSmean SLmean neg-neg 16 4.4 14.4 62.5 1.8 2.1 7.9 7.9 -1.8
pair SLmean MACD neg-neg 68 18.8 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair MACD SLmean neg-neg 68 18.8 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair RSIhist SLmean pos-pos 182 50.4 14.0 61.5 0.8 1.3 0.5 17.9 -26.3
pair SLmean RSIhist pos-pos 182 50.4 14.0 61.5 0.8 1.3 0.5 17.9 -26.3
pair MACDhist MACD neg-pos 34 9.4 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair MACD MACDhist neg-pos 34 9.4 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair RSIhist LWTI pos-pos 153 42.4 13.3 62.7 0.8 1.2 0.5 18.0 -26.3
pair LWTI RSIhist pos-pos 153 42.4 13.3 62.7 0.8 1.2 0.5 18.0 -26.3
pair RSIhist MACD neg-pos 61 16.9 12.2 55.7 0.7 1.1 0.4 21.1 -32.7
pair MACD RSIhist neg-pos 61 16.9 12.2 55.7 0.7 1.1 0.4 21.1 -32.7
pair RSIhist MRmean pos-pos 174 48.2 12.0 60.9 0.7 1.1 0.5 17.7 -26.3
pair MRmean RSIhist pos-pos 174 48.2 12.0 60.9 0.7 1.1 0.5 17.7 -26.3
pair SLmean MACDhist pos-pos 156 43.2 11.7 60.9 0.8 1.2 0.3 16.2 -34.7
pair MACDhist SLmean pos-pos 156 43.2 11.7 60.9 0.8 1.2 0.3 16.2 -34.7
pair RSmean MACD neg-neg 16 4.4 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
pair MACD RSmean neg-neg 16 4.4 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
pair RSmean RSI neg-neg 16 4.4 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
pair RSI RSmean neg-neg 16 4.4 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
single SLmean SLmean pos-pos 224 62.0 11.1 60.3 0.7 1.1 0.4 18.1 -28.1
pair RSI RSIhist neg-pos 30 8.3 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair RSIhist RSI neg-pos 30 8.3 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair MRmean SLmean pos-pos 206 57.1 10.6 60.7 0.7 1.0 0.3 17.9 -35.5
pair MACDhist MRmean neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.3 -34.0
pair RSIhist MACDhist pos-pos 146 40.4 10.6 59.6 0.7 1.2 0.4 16.4 -26.6
pair MACDhist RSIhist pos-pos 146 40.4 10.6 59.6 0.7 1.2 0.4 16.4 -26.6
pair SLmean MRmean pos-pos 206 57.1 10.6 60.7 0.7 1.0 0.3 17.9 -35.5
pair MRmean MACDhist neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.3 -34.0
pair MRmean LWTI neg-pos 65 18.0 10.5 53.8 0.6 0.9 0.3 23.3 -30.0
pair LWTI SLmean pos-pos 189 52.4 10.5 61.4 0.6 1.0 0.3 18.0 -35.5
pair SLmean LWTI pos-pos 189 52.4 10.5 61.4 0.6 1.0 0.3 18.0 -35.5
pair LWTI MRmean neg-pos 65 18.0 10.5 53.8 0.6 0.9 0.3 23.3 -30.0
pair SLmean RSmean pos-pos 218 60.4 10.3 59.6 0.6 1.0 0.4 18.1 -28.1
pair RSmean SLmean pos-pos 218 60.4 10.3 59.6 0.6 1.0 0.4 18.1 -28.1
single MACDhist MACDhist pos-pos 188 52.1 10.2 58.5 0.6 0.9 0.3 18.7 -39.5
pair MACDhist MRmean pos-pos 175 48.5 10.1 60.0 0.7 0.9 0.3 17.0 -31.6
pair MRmean MACDhist pos-pos 175 48.5 10.1 60.0 0.7 0.9 0.3 17.0 -31.6
pair MACDhist LWTI neg-pos 89 24.7 10.0 60.7 0.6 0.9 0.4 21.6 -22.5
pair LWTI MACDhist neg-pos 89 24.7 10.0 60.7 0.6 0.9 0.4 21.6 -22.5
single LWTI LWTI pos-pos 270 74.8 9.9 59.3 0.6 0.8 0.3 19.8 -36.4
pair MACDhist RSmean pos-pos 184 51.0 9.9 58.2 0.6 0.8 0.2 18.7 -39.5
pair RSmean MACDhist pos-pos 184 51.0 9.9 58.2 0.6 0.8 0.2 18.7 -39.5
pair MACDhist LWTI pos-pos 181 50.1 9.8 58.6 0.6 0.8 0.2 18.9 -39.5
pair LWTI MACDhist pos-pos 181 50.1 9.8 58.6 0.6 0.8 0.2 18.9 -39.5
pair MRmean LWTI pos-pos 205 56.8 9.7 61.0 0.6 0.8 0.3 18.6 -32.4
pair LWTI MRmean pos-pos 205 56.8 9.7 61.0 0.6 0.8 0.3 18.6 -32.4
pair RSmean LWTI neg-neg 2 0.6 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair LWTI RSmean neg-neg 2 0.6 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair MACDhist SLmean pos-neg 68 18.8 9.5 58.8 0.5 0.8 0.3 22.0 -28.1
pair SLmean MACDhist pos-neg 68 18.8 9.5 58.8 0.5 0.8 0.3 22.0 -28.1
pair MACDhist MACD pos-pos 154 42.7 9.4 59.7 0.6 0.8 0.3 17.2 -34.9
pair MACD MACDhist pos-pos 154 42.7 9.4 59.7 0.6 0.8 0.3 17.2 -34.9
single MRmean MRmean pos-pos 229 63.4 9.4 59.8 0.6 0.8 0.3 18.3 -33.6
pair LWTI MACD neg-neg 71 19.7 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair MACD LWTI neg-neg 71 19.7 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair RSI MACDhist pos-pos 170 47.1 9.2 59.4 0.6 0.9 0.3 16.3 -29.2
pair MACDhist RSI pos-pos 170 47.1 9.2 59.4 0.6 0.9 0.3 16.3 -29.2
pair MRmean RSmean pos-pos 224 62.0 8.9 59.4 0.6 0.8 0.3 18.3 -30.5
pair RSmean MRmean pos-pos 224 62.0 8.9 59.4 0.6 0.8 0.3 18.3 -30.5
pair RSmean LWTI pos-pos 250 69.3 8.9 58.4 0.5 0.8 0.2 20.3 -40.0
pair LWTI RSmean pos-pos 250 69.3 8.9 58.4 0.5 0.8 0.2 20.3 -40.0
single RSIhist RSIhist pos-pos 191 52.9 8.8 58.6 0.5 0.8 0.2 18.9 -43.7
pair MACDhist RSIhist pos-neg 42 11.6 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair RSIhist MACDhist pos-neg 42 11.6 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair RSI MRmean pos-pos 209 57.9 8.5 60.8 0.5 0.8 0.2 18.0 -34.5
pair SLmean LWTI neg-pos 81 22.4 8.5 54.3 0.5 0.7 0.2 23.4 -36.3
pair LWTI SLmean neg-pos 81 22.4 8.5 54.3 0.5 0.7 0.2 23.4 -36.3
pair MRmean RSI pos-pos 209 57.9 8.5 60.8 0.5 0.8 0.2 18.0 -34.5
pair RSIhist RSI pos-pos 161 44.6 8.4 60.2 0.5 0.8 0.3 17.7 -26.3
pair RSI RSIhist pos-pos 161 44.6 8.4 60.2 0.5 0.8 0.3 17.7 -26.3
pair RSI SLmean pos-pos 194 53.7 8.4 60.3 0.6 0.8 0.3 17.6 -31.6
pair SLmean RSI pos-pos 194 53.7 8.4 60.3 0.6 0.8 0.3 17.6 -31.6
pair LWTI RSI pos-pos 226 62.6 8.3 59.7 0.5 0.8 0.2 18.0 -35.8
pair RSI LWTI pos-pos 226 62.6 8.3 59.7 0.5 0.8 0.2 18.0 -35.8
pair RSIhist RSmean pos-pos 185 51.2 8.2 58.4 0.5 0.8 0.2 19.0 -43.2
pair RSmean RSIhist pos-pos 185 51.2 8.2 58.4 0.5 0.8 0.2 19.0 -43.2
single RSI RSI neg-neg 119 33.0 7.4 52.9 0.4 0.6 0.1 30.6 -62.3
pair RSIhist MACD pos-pos 130 36.0 7.2 60.0 0.5 0.7 0.3 17.9 -26.0
pair MACD RSIhist pos-pos 130 36.0 7.2 60.0 0.5 0.7 0.3 17.9 -26.0
pair MRmean MACDhist pos-neg 54 15.0 6.9 59.3 0.4 0.6 0.2 22.1 -30.5
pair MACDhist MRmean pos-neg 54 15.0 6.9 59.3 0.4 0.6 0.2 22.1 -30.5
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 28.5 6.7 51.5 0.4 0.6 0.1 32.6 -61.9
pair RSI RSmean pos-neg 103 28.5 6.7 51.5 0.4 0.6 0.1 32.6 -61.9
pair MACD SLmean pos-pos 159 44.0 6.3 59.1 0.4 0.6 0.2 17.2 -28.1
pair SLmean MACD pos-pos 159 44.0 6.3 59.1 0.4 0.6 0.2 17.2 -28.1
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.3 56.5 0.4 0.5 0.1 22.9 -64.1
pair benchmark___benchmark_ benchmark-benchmark 361 100.0 6.3 56.5 0.4 0.5 0.1 22.9 -64.1
pair RSI RSIhist neg-neg 89 24.7 6.2 53.9 0.3 0.5 0.1 32.5 -58.0
pair RSIhist RSI neg-neg 89 24.7 6.2 53.9 0.3 0.5 0.1 32.5 -58.0
single RSI RSI pos-pos 242 67.0 5.8 58.3 0.4 0.6 0.1 18.1 -46.4
pair LWTI RSIhist neg-pos 117 32.4 5.6 54.7 0.4 0.5 0.1 21.9 -40.7
pair RSIhist LWTI neg-pos 117 32.4 5.6 54.7 0.4 0.5 0.1 21.9 -40.7
pair MACD MRmean pos-pos 170 47.1 5.5 58.8 0.4 0.5 0.2 17.7 -32.9
pair MRmean MACD pos-pos 170 47.1 5.5 58.8 0.4 0.5 0.2 17.7 -32.9
single RSmean RSmean pos-pos 339 93.9 5.4 55.8 0.3 0.5 0.1 23.5 -63.8
pair MACDhist RSI neg-neg 101 28.0 5.3 53.5 0.3 0.5 0.1 30.1 -68.9
pair RSI MACDhist neg-neg 101 28.0 5.3 53.5 0.3 0.5 0.1 30.1 -68.9
pair MRmean RSI neg-neg 99 27.4 5.1 53.5 0.3 0.5 0.1 32.2 -69.7
pair RSI MRmean neg-neg 99 27.4 5.1 53.5 0.3 0.5 0.1 32.2 -69.7
pair RSIhist SLmean neg-neg 128 35.5 5.1 53.9 0.3 0.5 0.1 29.0 -60.3
pair SLmean RSIhist neg-neg 128 35.5 5.1 53.9 0.3 0.5 0.1 29.0 -60.3
pair RSmean RSI pos-pos 236 65.4 4.8 57.6 0.3 0.5 0.1 18.2 -49.7
pair RSI RSmean pos-pos 236 65.4 4.8 57.6 0.3 0.5 0.1 18.2 -49.7
pair MRmean RSIhist neg-neg 115 31.9 4.7 53.0 0.3 0.4 0.1 29.6 -59.3
pair RSIhist MRmean neg-neg 115 31.9 4.7 53.0 0.3 0.4 0.1 29.6 -59.3
pair MACD LWTI pos-pos 208 57.6 4.4 56.7 0.3 0.5 0.1 19.0 -45.2
pair LWTI MACD pos-pos 208 57.6 4.4 56.7 0.3 0.5 0.1 19.0 -45.2
single RSIhist RSIhist neg-neg 170 47.1 3.6 54.1 0.3 0.4 0.1 26.8 -60.3
pair RSI MACD pos-pos 201 55.7 3.4 56.7 0.3 0.4 0.1 17.9 -47.4
pair MACD RSI pos-pos 201 55.7 3.4 56.7 0.3 0.4 0.1 17.9 -47.4
pair MACDhist RSIhist neg-pos 45 12.5 3.1 55.6 0.2 0.3 0.1 25.7 -37.9
pair RSIhist MACDhist neg-pos 45 12.5 3.1 55.6 0.2 0.3 0.1 25.7 -37.9
pair SLmean MACDhist neg-pos 32 8.9 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
pair MACDhist SLmean neg-pos 32 8.9 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
single MACDhist MACDhist neg-neg 173 47.9 2.3 54.3 0.2 0.3 0.0 26.9 -75.2
pair RSmean RSIhist pos-neg 154 42.7 2.1 52.6 0.2 0.3 0.0 28.0 -61.4
pair RSIhist RSmean pos-neg 154 42.7 2.1 52.6 0.2 0.3 0.0 28.0 -61.4
pair RSIhist MACDhist neg-neg 128 35.5 2.0 53.9 0.2 0.3 0.0 27.4 -63.5
pair MACDhist RSIhist neg-neg 128 35.5 2.0 53.9 0.2 0.3 0.0 27.4 -63.5
pair RSIhist MRmean pos-neg 55 15.2 1.4 56.4 0.2 0.2 0.0 20.0 -33.8
pair MRmean RSIhist pos-neg 55 15.2 1.4 56.4 0.2 0.2 0.0 20.0 -33.8
pair RSI LWTI neg-neg 75 20.8 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
pair LWTI RSI neg-neg 75 20.8 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
single MRmean MRmean neg-neg 132 36.6 1.2 50.8 0.2 0.3 0.0 29.4 -73.3
pair RSI RSIhist pos-neg 81 22.4 0.8 54.3 0.1 0.2 0.0 18.8 -49.6
pair RSIhist RSI pos-neg 81 22.4 0.8 54.3 0.1 0.2 0.0 18.8 -49.6
pair SLmean RSI neg-neg 89 24.7 0.6 50.6 0.2 0.3 0.0 33.2 -69.5
pair RSI SLmean neg-neg 89 24.7 0.6 50.6 0.2 0.3 0.0 33.2 -69.5
pair MACDhist RSmean pos-neg 155 42.9 0.3 52.9 0.1 0.2 0.0 28.2 -74.8
pair RSmean MACDhist pos-neg 155 42.9 0.3 52.9 0.1 0.2 0.0 28.2 -74.8
pair MRmean MACDhist neg-neg 119 33.0 0.2 52.1 0.1 0.2 0.0 28.8 -73.0
pair MACDhist MRmean neg-neg 119 33.0 0.2 52.1 0.1 0.2 0.0 28.8 -73.0
single MACD MACD pos-pos 228 63.2 -0.3 54.8 0.1 0.1 -0.0 20.4 -74.8
pair LWTI RSIhist neg-neg 53 14.7 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
pair RSIhist LWTI neg-neg 53 14.7 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
pair SLmean MRmean pos-neg 23 6.4 -0.9 52.2 0.1 0.1 -0.0 22.0 -23.6
pair MRmean SLmean pos-neg 23 6.4 -0.9 52.2 0.1 0.1 -0.0 22.0 -23.6
pair RSIhist SLmean pos-neg 42 11.6 -1.0 54.8 0.0 0.1 -0.0 18.7 -31.6
pair SLmean RSIhist pos-neg 42 11.6 -1.0 54.8 0.0 0.1 -0.0 18.7 -31.6
pair MRmean SLmean neg-neg 114 31.6 -1.1 50.0 0.1 0.2 -0.0 30.5 -71.8
pair SLmean MRmean neg-neg 114 31.6 -1.1 50.0 0.1 0.2 -0.0 30.5 -71.8
single SLmean SLmean neg-neg 137 38.0 -1.1 50.4 0.1 0.2 -0.0 29.2 -71.2
pair RSmean MRmean neg-pos 115 31.9 -1.1 48.7 0.1 0.2 -0.0 31.3 -72.8
pair MRmean RSmean neg-pos 115 31.9 -1.1 48.7 0.1 0.2 -0.0 31.3 -72.8
pair RSmean MACD pos-pos 222 61.5 -1.4 54.1 0.0 0.1 -0.0 20.5 -75.9
pair MACD RSmean pos-pos 222 61.5 -1.4 54.1 0.0 0.1 -0.0 20.5 -75.9
pair MACDhist RSI pos-neg 72 19.9 -1.8 55.6 0.0 0.0 -0.0 21.7 -54.5
pair RSI MACDhist pos-neg 72 19.9 -1.8 55.6 0.0 0.0 -0.0 21.7 -54.5
pair SLmean MACDhist neg-neg 105 29.1 -2.2 51.4 0.1 0.1 -0.0 29.6 -72.9
pair MACDhist SLmean neg-neg 105 29.1 -2.2 51.4 0.1 0.1 -0.0 29.6 -72.9
pair RSmean SLmean neg-pos 121 33.5 -2.9 48.8 0.1 0.1 -0.0 30.9 -70.6
pair SLmean RSmean neg-pos 121 33.5 -2.9 48.8 0.1 0.1 -0.0 30.9 -70.6
single LWTI LWTI neg-neg 91 25.2 -3.7 48.4 0.0 0.1 -0.1 30.5 -69.2
pair LWTI RSmean pos-neg 89 24.7 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair RSmean LWTI pos-neg 89 24.7 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair RSI SLmean neg-pos 48 13.3 -4.1 50.0 -0.1 -0.1 -0.1 19.9 -47.1
pair SLmean RSI neg-pos 48 13.3 -4.1 50.0 -0.1 -0.1 -0.1 19.9 -47.1
pair MACDhist LWTI neg-neg 84 23.3 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair LWTI MACDhist neg-neg 84 23.3 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair MRmean LWTI neg-neg 67 18.6 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair LWTI MRmean neg-neg 67 18.6 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair RSIhist LWTI pos-neg 38 10.5 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair LWTI RSIhist pos-neg 38 10.5 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair RSIhist MACD pos-neg 98 27.1 -9.4 48.0 -0.3 -0.4 -0.1 23.2 -75.5
pair MACD RSIhist pos-neg 98 27.1 -9.4 48.0 -0.3 -0.4 -0.1 23.2 -75.5
pair MRmean RSI neg-pos 33 9.1 -9.7 42.4 -0.5 -0.7 -0.2 18.5 -44.4
pair RSI MRmean neg-pos 33 9.1 -9.7 42.4 -0.5 -0.7 -0.2 18.5 -44.4
pair SLmean LWTI neg-neg 56 15.5 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair LWTI SLmean neg-neg 56 15.5 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair SLmean MACD neg-pos 69 19.1 -14.0 44.9 -0.4 -0.6 -0.2 26.1 -74.0
pair MACD SLmean neg-pos 69 19.1 -14.0 44.9 -0.4 -0.6 -0.2 26.1 -74.0
pair MACD MRmean neg-pos 58 16.1 -15.4 43.1 -0.5 -0.8 -0.2 26.4 -71.0
pair MRmean MACD neg-pos 58 16.1 -15.4 43.1 -0.5 -0.8 -0.2 26.4 -71.0
pair MACDhist MACD pos-neg 74 20.5 -17.7 44.6 -0.6 -1.0 -0.2 25.1 -77.8
pair MACD MACDhist pos-neg 74 20.5 -17.7 44.6 -0.6 -1.0 -0.2 25.1 -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 7.5 -23.8 40.7 -0.6 -1.1 -0.4 33.3 -54.7
pair RSI MACD pos-neg 27 7.5 -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 0.65 | Sortino 0.99 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 206M (57%)
CAGR -0.9% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -23.6%
Months 23M (6%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
MRmean
neg
CAGR 16.9% | Win 56%
Sharpe 0.84 | Sortino 2.25 | 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 (32%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (37%)
SLmean
only
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (62%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 8.9% | Win 59%
Sharpe 0.56 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 224M (62%)
CAGR 32.6% | Win 80%
Sharpe 1.64 | Sortino 0.00 | Calmar 4.7
Vol 18% | MDD -6.9%
Months 5M (1%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 1.99 | Sortino 2.59 | Calmar 10.1
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 (37%)
RSmean
only
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (94%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
MRmean × MACD
MACD
pos		MACD
neg		MRmean
only
MRmean
pos
CAGR 5.5% | Win 59%
Sharpe 0.39 | Sortino 0.53 | Calmar 0.2
Vol 18% | MDD -32.9%
Months 170M (47%)
CAGR 21.3% | Win 63%
Sharpe 1.09 | Sortino 2.01 | Calmar 1.0
Vol 20% | MDD -20.7%
Months 59M (16%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 (37%)
MACD
only
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (37%)
MRmean × RSI
RSI
pos		RSI
neg		MRmean
only
MRmean
pos
CAGR 8.5% | Win 61%
Sharpe 0.54 | Sortino 0.76 | Calmar 0.2
Vol 18% | MDD -34.5%
Months 209M (58%)
CAGR 19.3% | Win 50%
Sharpe 0.92 | Sortino 1.92 | Calmar 1.1
Vol 22% | MDD -17.0%
Months 20M (6%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 (37%)
RSI
only
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 6.9% | Win 59%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.2
Vol 22% | MDD -30.5%
Months 54M (15%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 (37%)
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 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (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 1.4% | Win 56%
Sharpe 0.17 | Sortino 0.22 | Calmar 0.0
Vol 20% | MDD -33.8%
Months 55M (15%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 (37%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 9.7% | Win 61%
Sharpe 0.59 | Sortino 0.83 | Calmar 0.3
Vol 19% | MDD -32.4%
Months 205M (57%)
CAGR 6.7% | Win 50%
Sharpe 0.48 | Sortino 1.22 | Calmar 0.4
Vol 16% | MDD -18.8%
Months 24M (7%)
CAGR 9.4% | Win 60%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 229M (63%)
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 (19%)
CAGR 1.2% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 132M (37%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 10.3% | Win 60%
Sharpe 0.63 | Sortino 1.00 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 218M (60%)
CAGR 42.4% | Win 83%
Sharpe 2.17 | Sortino 0.00 | Calmar 6.2
Vol 17% | MDD -6.9%
Months 6M (2%)
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (62%)
SLmean
neg
CAGR -2.9% | Win 49%
Sharpe 0.06 | Sortino 0.09 | Calmar -0.0
Vol 31% | MDD -70.6%
Months 121M (34%)
CAGR 14.4% | Win 62%
Sharpe 1.75 | Sortino 2.07 | Calmar 7.9
Vol 8% | MDD -1.8%
Months 16M (4%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
RSmean
only
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (94%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
SLmean × MACD
MACD
pos		MACD
neg		SLmean
only
SLmean
pos
CAGR 6.3% | Win 59%
Sharpe 0.44 | Sortino 0.64 | Calmar 0.2
Vol 17% | MDD -28.1%
Months 159M (44%)
CAGR 23.6% | Win 63%
Sharpe 1.17 | Sortino 2.27 | Calmar 0.9
Vol 20% | MDD -26.3%
Months 65M (18%)
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (62%)
SLmean
neg
CAGR -14.0% | Win 45%
Sharpe -0.44 | Sortino -0.64 | Calmar -0.2
Vol 26% | MDD -74.0%
Months 69M (19%)
CAGR 14.0% | Win 56%
Sharpe 0.58 | Sortino 0.76 | Calmar 0.3
Vol 32% | MDD -47.7%
Months 68M (19%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
MACD
only
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (37%)
SLmean × RSI
RSI
pos		RSI
neg		SLmean
only
SLmean
pos
CAGR 8.4% | Win 60%
Sharpe 0.55 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -31.6%
Months 194M (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 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (62%)
SLmean
neg
CAGR -4.1% | Win 50%
Sharpe -0.11 | Sortino -0.14 | Calmar -0.1
Vol 20% | MDD -47.1%
Months 48M (13%)
CAGR 0.6% | Win 51%
Sharpe 0.19 | Sortino 0.28 | Calmar 0.0
Vol 33% | MDD -69.5%
Months 89M (25%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
RSI
only
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 9.5% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.3
Vol 22% | MDD -28.1%
Months 68M (19%)
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (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 -2.2% | Win 51%
Sharpe 0.08 | Sortino 0.11 | Calmar -0.0
Vol 30% | MDD -72.9%
Months 105M (29%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (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 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (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 -1.0% | Win 55%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.0
Vol 19% | MDD -31.6%
Months 42M (12%)
CAGR 11.1% | Win 60%
Sharpe 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (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 5.1% | Win 54%
Sharpe 0.32 | Sortino 0.45 | Calmar 0.1
Vol 29% | MDD -60.3%
Months 128M (36%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 10.5% | Win 61%
Sharpe 0.64 | Sortino 0.96 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 189M (52%)
CAGR 14.4% | 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 0.67 | Sortino 1.06 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 224M (62%)
SLmean
neg
CAGR 8.5% | Win 54%
Sharpe 0.47 | Sortino 0.70 | Calmar 0.2
Vol 23% | MDD -36.3%
Months 81M (22%)
CAGR -13.4% | Win 45%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.2
Vol 36% | MDD -69.5%
Months 56M (16%)
CAGR -1.1% | Win 50%
Sharpe 0.11 | Sortino 0.16 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 137M (38%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 -1.4% | Win 54%
Sharpe 0.04 | Sortino 0.05 | Calmar -0.0
Vol 20% | MDD -75.9%
Months 222M (62%)
CAGR 19.6% | Win 59%
Sharpe 0.79 | Sortino 1.12 | Calmar 0.4
Vol 28% | MDD -49.1%
Months 117M (32%)
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (94%)
RSmean
neg
CAGR 52.5% | Win 83%
Sharpe 5.37 | Sortino 0.00 | Calmar 59.4
Vol 8% | MDD -0.9%
Months 6M (2%)
CAGR 11.6% | Win 62%
Sharpe 1.03 | Sortino 1.09 | Calmar 1.5
Vol 11% | MDD -7.8%
Months 16M (4%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
MACD
only
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (37%)
RSmean × RSI
RSI
pos		RSI
neg		RSmean
only
RSmean
pos
CAGR 4.8% | Win 58%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 18% | MDD -49.7%
Months 236M (65%)
CAGR 6.7% | Win 52%
Sharpe 0.36 | Sortino 0.56 | Calmar 0.1
Vol 33% | MDD -61.9%
Months 103M (28%)
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (94%)
RSmean
neg
CAGR 52.5% | Win 83%
Sharpe 5.37 | Sortino 0.00 | Calmar 59.4
Vol 8% | MDD -0.9%
Months 6M (2%)
CAGR 11.6% | Win 62%
Sharpe 1.03 | Sortino 1.09 | Calmar 1.5
Vol 11% | MDD -7.8%
Months 16M (4%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
RSI
only
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 (51%)
CAGR 0.3% | Win 53%
Sharpe 0.15 | Sortino 0.23 | Calmar 0.0
Vol 28% | MDD -74.8%
Months 155M (43%)
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (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 21.2% | Win 67%
Sharpe 2.20 | Sortino 2.95 | Calmar 11.7
Vol 9% | MDD -1.8%
Months 18M (5%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (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 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (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 -43.2%
Months 185M (51%)
CAGR 2.1% | Win 53%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 28% | MDD -61.4%
Months 154M (43%)
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (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 19.6% | Win 69%
Sharpe 2.20 | Sortino 2.33 | Calmar 22.2
Vol 8% | MDD -0.9%
Months 16M (4%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 8.9% | Win 58%
Sharpe 0.52 | Sortino 0.79 | Calmar 0.2
Vol 20% | MDD -40.0%
Months 250M (69%)
CAGR -3.9% | Win 48%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -68.9%
Months 89M (25%)
CAGR 5.4% | Win 56%
Sharpe 0.34 | Sortino 0.49 | Calmar 0.1
Vol 24% | MDD -63.8%
Months 339M (94%)
RSmean
neg
CAGR 22.7% | Win 70%
Sharpe 1.85 | Sortino 2.00 | Calmar 2.9
Vol 12% | MDD -7.7%
Months 20M (6%)
CAGR 9.6% | Win 50%
Sharpe 1.11 | Sortino 0.00 | Calmar 0.0
Vol 8% | MDD 0.0%
Months 2M (1%)
CAGR 21.5% | Win 68%
Sharpe 1.82 | Sortino 2.05 | Calmar 2.8
Vol 11% | MDD -7.7%
Months 22M (6%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 3.4% | Win 57%
Sharpe 0.28 | Sortino 0.38 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 201M (56%)
CAGR -23.8% | Win 41%
Sharpe -0.64 | Sortino -1.15 | Calmar -0.4
Vol 33% | MDD -54.7%
Months 27M (8%)
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
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 (26%)
CAGR 18.6% | Win 59%
Sharpe 0.78 | Sortino 1.08 | Calmar 0.4
Vol 26% | MDD -49.6%
Months 133M (37%)
RSI
only
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 (43%)
CAGR -17.7% | Win 45%
Sharpe -0.64 | Sortino -0.96 | Calmar -0.2
Vol 25% | MDD -77.8%
Months 74M (20%)
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
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 (37%)
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 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (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 -9.4% | Win 48%
Sharpe -0.31 | Sortino -0.43 | Calmar -0.1
Vol 23% | MDD -75.5%
Months 98M (27%)
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
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 (37%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
MACD × LWTI
LWTI
pos		LWTI
neg		MACD
only
MACD
pos
CAGR 4.4% | Win 57%
Sharpe 0.33 | Sortino 0.48 | Calmar 0.1
Vol 19% | MDD -45.2%
Months 208M (58%)
CAGR -38.4% | Win 35%
Sharpe -1.49 | Sortino -1.93 | Calmar -0.6
Vol 29% | MDD -60.4%
Months 20M (6%)
CAGR -0.3% | Win 55%
Sharpe 0.09 | Sortino 0.12 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 228M (63%)
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 (37%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 -1.8% | Win 56%
Sharpe 0.02 | Sortino 0.04 | Calmar -0.0
Vol 22% | MDD -54.5%
Months 72M (20%)
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 8.4% | Win 60%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.3
Vol 18% | MDD -26.3%
Months 161M (45%)
CAGR 0.8% | Win 54%
Sharpe 0.14 | Sortino 0.18 | Calmar 0.0
Vol 19% | MDD -49.6%
Months 81M (22%)
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 (25%)
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 (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.3% | Win 60%
Sharpe 0.53 | Sortino 0.76 | Calmar 0.2
Vol 18% | MDD -35.8%
Months 226M (63%)
CAGR -23.9% | Win 38%
Sharpe -1.47 | Sortino -1.90 | Calmar -0.8
Vol 17% | MDD -29.1%
Months 16M (4%)
CAGR 5.8% | Win 58%
Sharpe 0.40 | Sortino 0.57 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 242M (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 0.21 | Sortino 0.29 | Calmar 0.0
Vol 32% | MDD -66.2%
Months 75M (21%)
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 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 2.0% | Win 54%
Sharpe 0.21 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -63.5%
Months 128M (36%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (48%)
RSIhist
only
CAGR 8.8% | Win 59%
Sharpe 0.54 | Sortino 0.80 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 191M (53%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
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 2.09 | Calmar 2.7
Vol 14% | MDD -7.1%
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 10.0% | Win 61%
Sharpe 0.55 | Sortino 0.91 | Calmar 0.4
Vol 22% | MDD -22.5%
Months 89M (25%)
CAGR -5.3% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -71.7%
Months 84M (23%)
CAGR 2.3% | Win 54%
Sharpe 0.22 | Sortino 0.32 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 173M (48%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (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 (53%)
RSIhist
neg
CAGR 5.6% | Win 55%
Sharpe 0.36 | Sortino 0.53 | Calmar 0.1
Vol 22% | MDD -40.7%
Months 117M (32%)
CAGR -0.6% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 36% | MDD -58.0%
Months 53M (15%)
CAGR 3.6% | Win 54%
Sharpe 0.27 | Sortino 0.38 | Calmar 0.1
Vol 27% | MDD -60.3%
Months 170M (47%)
LWTI
only
CAGR 9.9% | Win 59%
Sharpe 0.58 | Sortino 0.85 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 270M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)