EWG - iShares MSCI Germany ETF

Signal Pair Analysis

RSmean-MACD

Best Pair

52.5%

Best CAGR

102

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 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 SLmean RSI pos-neg 29 8.1 32.3 62.1 1.4 3.0 1.7 21.0 -18.9
pair RSI SLmean pos-neg 29 8.1 32.3 62.1 1.4 3.0 1.7 21.0 -18.9
pair RSmean RSI neg-pos 15 4.2 31.7 73.3 3.7 30.8 35.9 7.5 -0.9
pair RSI RSmean neg-pos 15 4.2 31.7 73.3 3.7 30.8 35.9 7.5 -0.9
pair LWTI MACD neg-pos 62 17.3 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair MACD LWTI neg-pos 62 17.3 30.2 67.7 1.4 1.8 1.7 21.5 -18.1
pair RSIhist RSmean neg-pos 9 2.5 28.7 66.7 1.8 1.8 4.2 14.3 -6.9
pair RSmean RSIhist neg-pos 9 2.5 28.7 66.7 1.8 1.8 4.2 14.3 -6.9
pair RSIhist MACD neg-neg 64 17.8 24.7 62.5 0.9 1.1 0.8 31.4 -32.7
pair MACD RSIhist neg-neg 64 17.8 24.7 62.5 0.9 1.1 0.8 31.4 -32.7
pair MACD SLmean pos-neg 65 18.1 23.6 63.1 1.2 2.3 0.9 20.0 -26.3
pair SLmean MACD pos-neg 65 18.1 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 5.6 22.7 70.0 1.9 2.0 3.0 11.5 -7.7
pair LWTI RSmean neg-pos 20 5.6 22.7 70.0 1.9 2.0 3.0 11.5 -7.7
pair RSI MRmean pos-neg 19 5.3 21.9 52.6 1.0 2.0 1.3 22.1 -17.0
pair MRmean RSI pos-neg 19 5.3 21.9 52.6 1.0 2.0 1.3 22.1 -17.0
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 16.4 21.3 62.7 1.1 2.0 1.0 19.6 -20.7
pair MACD MRmean pos-neg 59 16.4 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 27.6 20.3 61.6 0.8 1.1 0.4 27.2 -49.6
pair MACDhist MACD neg-neg 99 27.6 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 RSI LWTI neg-pos 34 9.5 19.7 55.9 0.7 1.4 1.1 30.9 -18.1
pair LWTI RSI neg-pos 34 9.5 19.7 55.9 0.7 1.4 1.1 30.9 -18.1
pair MACD RSmean pos-neg 117 32.6 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
pair RSmean MACD pos-neg 117 32.6 19.6 59.0 0.8 1.1 0.4 28.0 -49.1
pair RSI MACD neg-neg 82 22.8 19.2 56.1 0.7 1.0 0.4 31.0 -49.6
pair MACD RSI neg-neg 82 22.8 19.2 56.1 0.7 1.0 0.4 31.0 -49.6
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
single MACD MACD neg-neg 133 37.0 18.6 59.4 0.8 1.1 0.4 26.5 -49.6
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 51 14.2 17.6 64.7 1.0 1.7 1.1 17.1 -16.3
pair RSI MACD neg-pos 51 14.2 17.6 64.7 1.0 1.7 1.1 17.1 -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 RSIhist RSmean neg-neg 13 3.6 16.7 69.2 1.8 2.0 18.9 8.7 -0.9
pair RSmean RSIhist neg-neg 13 3.6 16.7 69.2 1.8 2.0 18.9 8.7 -0.9
pair MACD MRmean neg-neg 74 20.6 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair MRmean MACD neg-neg 74 20.6 16.5 56.8 0.7 0.9 0.3 31.0 -48.1
pair RSIhist SLmean pos-pos 186 51.8 14.9 61.8 0.9 1.4 0.6 18.0 -26.3
pair SLmean RSIhist pos-pos 186 51.8 14.9 61.8 0.9 1.4 0.6 18.0 -26.3
pair RSIhist LWTI pos-pos 160 44.6 14.7 63.1 0.9 1.3 0.6 17.9 -26.3
pair LWTI RSIhist pos-pos 160 44.6 14.7 63.1 0.9 1.3 0.6 17.9 -26.3
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 4.5 14.4 62.5 1.8 2.1 7.9 7.9 -1.8
pair RSmean SLmean neg-neg 16 4.5 14.4 62.5 1.8 2.1 7.9 7.9 -1.8
pair SLmean MACD neg-neg 68 18.9 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair MACD SLmean neg-neg 68 18.9 14.0 55.9 0.6 0.8 0.3 31.7 -47.7
pair MACDhist MACD neg-pos 34 9.5 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair MACD MACDhist neg-pos 34 9.5 13.8 52.9 0.7 1.0 0.8 24.5 -18.3
pair RSIhist MACD neg-pos 69 19.2 13.2 56.5 0.7 1.1 0.4 21.1 -32.7
pair MACD RSIhist neg-pos 69 19.2 13.2 56.5 0.7 1.1 0.4 21.1 -32.7
pair RSIhist MRmean pos-pos 178 49.6 13.0 61.2 0.8 1.2 0.5 17.8 -26.3
pair MRmean RSIhist pos-pos 178 49.6 13.0 61.2 0.8 1.2 0.5 17.8 -26.3
pair SLmean MACDhist pos-pos 155 43.2 12.8 61.3 0.8 1.4 0.4 15.9 -34.7
pair MACDhist SLmean pos-pos 155 43.2 12.8 61.3 0.8 1.4 0.4 15.9 -34.7
single SLmean SLmean pos-pos 223 62.1 11.8 60.5 0.7 1.1 0.4 18.0 -28.1
pair MACDhist RSIhist pos-pos 145 40.4 11.7 60.0 0.8 1.3 0.4 16.1 -26.6
pair RSIhist MACDhist pos-pos 145 40.4 11.7 60.0 0.8 1.3 0.4 16.1 -26.6
pair RSmean MACD neg-neg 16 4.5 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
pair MACD RSmean neg-neg 16 4.5 11.6 62.5 1.0 1.1 1.5 11.3 -7.8
pair MRmean SLmean pos-pos 205 57.1 11.3 61.0 0.7 1.1 0.3 17.7 -35.5
pair LWTI SLmean pos-pos 188 52.4 11.3 61.7 0.7 1.0 0.3 17.8 -35.5
pair SLmean LWTI pos-pos 188 52.4 11.3 61.7 0.7 1.0 0.3 17.8 -35.5
pair SLmean MRmean pos-pos 205 57.1 11.3 61.0 0.7 1.1 0.3 17.7 -35.5
single MACDhist MACDhist pos-pos 187 52.1 11.0 58.8 0.7 0.9 0.3 18.5 -39.5
pair SLmean RSmean pos-pos 217 60.4 11.0 59.9 0.7 1.1 0.4 18.0 -28.1
pair RSmean SLmean pos-pos 217 60.4 11.0 59.9 0.7 1.1 0.4 18.0 -28.1
pair MRmean MACDhist pos-pos 174 48.5 11.0 60.3 0.7 1.0 0.3 16.8 -31.6
pair MACDhist MRmean pos-pos 174 48.5 11.0 60.3 0.7 1.0 0.3 16.8 -31.6
pair RSI RSIhist neg-pos 30 8.4 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair RSIhist RSI neg-pos 30 8.4 10.8 50.0 0.5 0.8 0.3 24.6 -32.7
pair MACDhist RSmean pos-pos 183 51.0 10.8 58.5 0.7 0.9 0.3 18.5 -39.5
pair RSmean MACDhist pos-pos 183 51.0 10.8 58.5 0.7 0.9 0.3 18.5 -39.5
pair MACDhist LWTI pos-pos 180 50.1 10.7 58.9 0.6 0.9 0.3 18.7 -39.5
pair LWTI MACDhist pos-pos 180 50.1 10.7 58.9 0.6 0.9 0.3 18.7 -39.5
pair MRmean MACDhist neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.3 -34.0
pair MACDhist MRmean neg-pos 13 3.6 10.6 38.5 0.5 0.7 0.3 35.3 -34.0
pair MACDhist MACD pos-pos 153 42.6 10.4 60.1 0.7 0.9 0.3 17.0 -34.9
pair MACD MACDhist pos-pos 153 42.6 10.4 60.1 0.7 0.9 0.3 17.0 -34.9
pair LWTI MRmean pos-pos 204 56.8 10.4 61.3 0.6 0.9 0.3 18.4 -32.4
pair MRmean LWTI pos-pos 204 56.8 10.4 61.3 0.6 0.9 0.3 18.4 -32.4
single LWTI LWTI pos-pos 268 74.7 10.2 59.3 0.6 0.9 0.3 19.7 -36.4
pair RSI MACDhist pos-pos 169 47.1 10.1 59.8 0.7 1.0 0.3 16.1 -29.2
pair MACDhist RSI pos-pos 169 47.1 10.1 59.8 0.7 1.0 0.3 16.1 -29.2
single RSIhist RSIhist pos-pos 198 55.2 10.0 59.1 0.6 0.9 0.2 18.8 -43.7
single MRmean MRmean pos-pos 228 63.5 10.0 60.1 0.6 0.9 0.3 18.1 -33.6
pair RSIhist RSI pos-pos 168 46.8 9.9 60.7 0.6 0.9 0.4 17.7 -26.3
pair RSI RSIhist pos-pos 168 46.8 9.9 60.7 0.6 0.9 0.4 17.7 -26.3
pair LWTI RSmean neg-neg 2 0.6 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair RSmean MRmean pos-pos 223 62.1 9.6 59.6 0.6 0.9 0.3 18.1 -30.5
pair RSmean LWTI neg-neg 2 0.6 9.6 50.0 1.1 0.0 0.0 8.5 0.0
pair MRmean RSmean pos-pos 223 62.1 9.6 59.6 0.6 0.9 0.3 18.1 -30.5
pair MACDhist SLmean pos-neg 68 18.9 9.5 58.8 0.5 0.8 0.3 22.0 -28.1
pair SLmean MACDhist pos-neg 68 18.9 9.5 58.8 0.5 0.8 0.3 22.0 -28.1
pair MRmean LWTI neg-pos 64 17.8 9.4 53.1 0.5 0.8 0.3 23.4 -30.0
pair LWTI MRmean neg-pos 64 17.8 9.4 53.1 0.5 0.8 0.3 23.4 -30.0
pair MACD LWTI neg-neg 71 19.8 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair LWTI MACD neg-neg 71 19.8 9.3 52.1 0.5 0.7 0.2 30.2 -46.7
pair RSmean LWTI pos-pos 248 69.1 9.2 58.5 0.5 0.8 0.2 20.2 -40.0
pair LWTI MACDhist neg-pos 88 24.5 9.2 60.2 0.5 0.8 0.4 21.6 -22.5
pair RSmean RSIhist pos-pos 189 52.6 9.2 58.7 0.6 0.8 0.2 19.0 -43.2
pair MACDhist LWTI neg-pos 88 24.5 9.2 60.2 0.5 0.8 0.4 21.6 -22.5
pair LWTI RSmean pos-pos 248 69.1 9.2 58.5 0.5 0.8 0.2 20.2 -40.0
pair RSIhist RSmean pos-pos 189 52.6 9.2 58.7 0.6 0.8 0.2 19.0 -43.2
pair RSI MRmean pos-pos 209 58.2 9.0 60.8 0.6 0.8 0.3 17.8 -34.5
pair SLmean RSI pos-pos 194 54.0 9.0 60.3 0.6 0.9 0.3 17.4 -31.6
pair RSI SLmean pos-pos 194 54.0 9.0 60.3 0.6 0.9 0.3 17.4 -31.6
pair MRmean RSI pos-pos 209 58.2 9.0 60.8 0.6 0.8 0.3 17.8 -34.5
pair LWTI RSI pos-pos 234 65.2 8.9 59.8 0.6 0.8 0.2 17.5 -35.8
pair RSI LWTI pos-pos 234 65.2 8.9 59.8 0.6 0.8 0.2 17.5 -35.8
pair MACDhist RSIhist pos-neg 42 11.7 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair RSIhist MACDhist pos-neg 42 11.7 8.7 54.8 0.5 0.6 0.2 25.3 -38.1
pair MACD RSIhist pos-pos 129 35.9 8.4 60.5 0.6 0.8 0.3 17.6 -26.0
pair RSIhist MACD pos-pos 129 35.9 8.4 60.5 0.6 0.8 0.3 17.6 -26.0
pair LWTI SLmean neg-pos 80 22.3 7.6 53.8 0.4 0.7 0.2 23.5 -36.3
pair SLmean LWTI neg-pos 80 22.3 7.6 53.8 0.4 0.7 0.2 23.5 -36.3
pair SLmean MACD pos-pos 158 44.0 7.3 59.5 0.5 0.7 0.3 17.0 -28.1
pair MACD SLmean pos-pos 158 44.0 7.3 59.5 0.5 0.7 0.3 17.0 -28.1
pair RSmean RSI pos-neg 102 28.4 7.1 52.0 0.4 0.6 0.1 32.8 -61.9
pair RSI RSmean pos-neg 102 28.4 7.1 52.0 0.4 0.6 0.1 32.8 -61.9
pair MACDhist MRmean pos-neg 54 15.0 6.9 59.3 0.4 0.6 0.2 22.1 -30.5
pair MRmean MACDhist pos-neg 54 15.0 6.9 59.3 0.4 0.6 0.2 22.1 -30.5
pair MRmean LWTI pos-neg 24 6.7 6.7 50.0 0.5 1.2 0.4 16.1 -18.8
pair LWTI MRmean pos-neg 24 6.7 6.7 50.0 0.5 1.2 0.4 16.1 -18.8
single RSI RSI neg-neg 109 30.4 6.7 52.3 0.4 0.6 0.1 31.9 -62.3
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 6.5 56.5 0.4 0.6 0.1 22.9 -64.1
pair benchmark___benchmark_ benchmark-benchmark 359 100.0 6.5 56.5 0.4 0.6 0.1 22.9 -64.1
pair MRmean MACD pos-pos 169 47.1 6.4 59.2 0.4 0.6 0.2 17.5 -32.9
pair MACD MRmean pos-pos 169 47.1 6.4 59.2 0.4 0.6 0.2 17.5 -32.9
single RSI RSI pos-pos 250 69.6 6.4 58.4 0.4 0.6 0.1 17.6 -46.4
single RSmean RSmean pos-pos 337 93.9 5.6 55.8 0.3 0.5 0.1 23.4 -63.8
pair RSIhist MACDhist neg-pos 53 14.8 5.6 56.6 0.3 0.5 0.1 25.0 -37.9
pair MACDhist RSIhist neg-pos 53 14.8 5.6 56.6 0.3 0.5 0.1 25.0 -37.9
pair RSI RSIhist neg-neg 79 22.0 5.2 53.2 0.3 0.5 0.1 34.4 -58.0
pair RSIhist RSI neg-neg 79 22.0 5.2 53.2 0.3 0.5 0.1 34.4 -58.0
pair RSmean RSI pos-pos 235 65.5 5.0 57.4 0.4 0.5 0.1 18.0 -49.7
pair RSI RSmean pos-pos 235 65.5 5.0 57.4 0.4 0.5 0.1 18.0 -49.7
pair MACD LWTI pos-pos 206 57.4 4.8 56.8 0.3 0.5 0.1 18.8 -45.2
pair LWTI MACD pos-pos 206 57.4 4.8 56.8 0.3 0.5 0.1 18.8 -45.2
pair MACDhist RSI neg-neg 91 25.3 4.3 52.7 0.3 0.4 0.1 31.6 -68.9
pair RSI MACDhist neg-neg 91 25.3 4.3 52.7 0.3 0.4 0.1 31.6 -68.9
pair RSIhist SLmean neg-neg 124 34.5 3.9 53.2 0.3 0.4 0.1 29.4 -60.3
pair SLmean RSIhist neg-neg 124 34.5 3.9 53.2 0.3 0.4 0.1 29.4 -60.3
pair MRmean RSI neg-neg 90 25.1 3.8 52.2 0.3 0.4 0.1 33.7 -69.7
pair RSI MRmean neg-neg 90 25.1 3.8 52.2 0.3 0.4 0.1 33.7 -69.7
pair RSIhist LWTI neg-pos 108 30.1 3.8 53.7 0.3 0.4 0.1 22.0 -40.7
pair LWTI RSIhist neg-pos 108 30.1 3.8 53.7 0.3 0.4 0.1 22.0 -40.7
pair MACD RSI pos-pos 199 55.4 3.7 56.8 0.3 0.4 0.1 17.7 -47.4
pair RSI MACD pos-pos 199 55.4 3.7 56.8 0.3 0.4 0.1 17.7 -47.4
pair MRmean RSIhist neg-neg 111 30.9 3.3 52.3 0.3 0.4 0.1 30.0 -59.3
pair RSIhist MRmean neg-neg 111 30.9 3.3 52.3 0.3 0.4 0.1 30.0 -59.3
pair MACDhist SLmean neg-pos 32 8.9 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
pair SLmean MACDhist neg-pos 32 8.9 2.8 46.9 0.2 0.3 0.1 28.1 -45.5
single RSIhist RSIhist neg-neg 161 44.8 2.3 53.4 0.2 0.3 0.0 27.1 -60.3
pair RSI RSmean neg-neg 7 1.9 2.1 57.1 0.2 0.3 0.3 16.1 -7.8
pair RSmean RSI neg-neg 7 1.9 2.1 57.1 0.2 0.3 0.3 16.1 -7.8
single MACDhist MACDhist neg-neg 172 47.9 1.8 54.1 0.2 0.3 0.0 26.9 -75.2
pair RSI LWTI neg-neg 75 20.9 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
pair LWTI RSI neg-neg 75 20.9 1.3 50.7 0.2 0.3 0.0 32.5 -66.2
pair RSmean RSIhist pos-neg 148 41.2 1.2 52.0 0.2 0.3 0.0 28.1 -61.4
pair RSIhist RSmean pos-neg 148 41.2 1.2 52.0 0.2 0.3 0.0 28.1 -61.4
single MRmean MRmean neg-neg 131 36.5 0.6 50.4 0.2 0.2 0.0 29.4 -73.3
pair MRmean RSIhist pos-neg 50 13.9 0.2 56.0 0.1 0.1 0.0 19.3 -33.8
pair RSIhist MACDhist neg-neg 119 33.1 0.2 52.9 0.1 0.2 0.0 27.8 -63.5
pair MACDhist RSIhist neg-neg 119 33.1 0.2 52.9 0.1 0.2 0.0 27.8 -63.5
pair RSIhist MRmean pos-neg 50 13.9 0.2 56.0 0.1 0.1 0.0 19.3 -33.8
single MACD MACD pos-pos 226 63.0 -0.0 54.9 0.1 0.1 -0.0 20.3 -74.8
pair RSmean MACDhist pos-neg 154 42.9 -0.2 52.6 0.1 0.2 -0.0 28.2 -74.8
pair MACDhist RSmean pos-neg 154 42.9 -0.2 52.6 0.1 0.2 -0.0 28.2 -74.8
pair MACDhist MRmean neg-neg 118 32.9 -0.4 51.7 0.1 0.2 -0.0 28.9 -73.0
pair MRmean MACDhist neg-neg 118 32.9 -0.4 51.7 0.1 0.2 -0.0 28.9 -73.0
pair RSIhist RSI pos-neg 82 22.8 -0.4 53.7 0.1 0.1 -0.0 17.4 -49.6
pair RSI RSIhist pos-neg 82 22.8 -0.4 53.7 0.1 0.1 -0.0 17.4 -49.6
pair LWTI RSIhist neg-neg 53 14.8 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
pair RSIhist LWTI neg-neg 53 14.8 -0.6 52.8 0.2 0.2 -0.0 35.6 -58.0
pair RSI MACDhist pos-neg 81 22.6 -0.9 55.6 0.1 0.1 -0.0 20.4 -54.5
pair MACDhist RSI pos-neg 81 22.6 -0.9 55.6 0.1 0.1 -0.0 20.4 -54.5
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 MACD RSmean pos-pos 220 61.3 -1.2 54.1 0.1 0.1 -0.0 20.4 -75.9
pair RSmean MACD pos-pos 220 61.3 -1.2 54.1 0.1 0.1 -0.0 20.4 -75.9
pair RSI SLmean neg-neg 80 22.3 -1.3 48.8 0.1 0.2 -0.0 35.0 -69.5
pair SLmean RSI neg-neg 80 22.3 -1.3 48.8 0.1 0.2 -0.0 35.0 -69.5
single SLmean SLmean neg-neg 136 37.9 -1.6 50.0 0.1 0.1 -0.0 29.2 -71.2
pair SLmean MRmean neg-neg 113 31.5 -1.8 49.6 0.1 0.1 -0.0 30.6 -71.8
pair MRmean SLmean neg-neg 113 31.5 -1.8 49.6 0.1 0.1 -0.0 30.6 -71.8
pair RSmean MRmean neg-pos 114 31.8 -1.8 48.2 0.1 0.2 -0.0 31.4 -72.8
pair MRmean RSmean neg-pos 114 31.8 -1.8 48.2 0.1 0.2 -0.0 31.4 -72.8
pair SLmean RSI neg-pos 56 15.6 -2.1 51.8 -0.0 -0.0 -0.0 18.4 -47.1
pair RSI SLmean neg-pos 56 15.6 -2.1 51.8 -0.0 -0.0 -0.0 18.4 -47.1
pair SLmean RSIhist pos-neg 37 10.3 -2.9 54.1 -0.1 -0.1 -0.1 17.4 -31.6
pair MACDhist SLmean neg-neg 104 29.0 -2.9 51.0 0.1 0.1 -0.0 29.7 -72.9
pair SLmean MACDhist neg-neg 104 29.0 -2.9 51.0 0.1 0.1 -0.0 29.7 -72.9
pair RSIhist SLmean pos-neg 37 10.3 -2.9 54.1 -0.1 -0.1 -0.1 17.4 -31.6
pair RSmean SLmean neg-pos 120 33.4 -3.6 48.3 0.0 0.1 -0.1 31.0 -70.6
pair SLmean RSmean neg-pos 120 33.4 -3.6 48.3 0.0 0.1 -0.1 31.0 -70.6
single LWTI LWTI neg-neg 91 25.3 -3.7 48.4 0.0 0.1 -0.1 30.5 -69.2
pair LWTI RSmean pos-neg 89 24.8 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair RSmean LWTI pos-neg 89 24.8 -3.9 48.3 0.0 0.0 -0.1 30.9 -68.9
pair MACDhist LWTI neg-neg 84 23.4 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair LWTI MACDhist neg-neg 84 23.4 -5.3 47.6 -0.0 -0.0 -0.1 31.5 -71.7
pair MRmean RSI neg-pos 41 11.4 -6.0 46.3 -0.3 -0.4 -0.1 16.7 -44.4
pair RSI MRmean neg-pos 41 11.4 -6.0 46.3 -0.3 -0.4 -0.1 16.7 -44.4
pair MRmean LWTI neg-neg 67 18.7 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair LWTI MRmean neg-neg 67 18.7 -7.1 47.8 -0.0 -0.1 -0.1 34.3 -72.4
pair RSIhist LWTI pos-neg 38 10.6 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair LWTI RSIhist pos-neg 38 10.6 -7.7 42.1 -0.3 -0.4 -0.2 21.9 -32.7
pair RSIhist MACD pos-neg 97 27.0 -10.2 47.4 -0.3 -0.5 -0.1 23.2 -75.5
pair MACD RSIhist pos-neg 97 27.0 -10.2 47.4 -0.3 -0.5 -0.1 23.2 -75.5
pair RSIhist MRmean neg-pos 20 5.6 -13.2 40.0 -0.4 -0.6 -0.4 26.3 -34.7
pair MRmean RSIhist neg-pos 20 5.6 -13.2 40.0 -0.4 -0.6 -0.4 26.3 -34.7
pair SLmean LWTI neg-neg 56 15.6 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair LWTI SLmean neg-neg 56 15.6 -13.4 44.6 -0.2 -0.3 -0.2 35.9 -69.5
pair SLmean MACD neg-pos 68 18.9 -15.1 44.1 -0.5 -0.7 -0.2 26.0 -74.0
pair MACD SLmean neg-pos 68 18.9 -15.1 44.1 -0.5 -0.7 -0.2 26.0 -74.0
pair MACD MRmean neg-pos 57 15.9 -16.8 42.1 -0.6 -0.9 -0.2 26.4 -71.0
pair MRmean MACD neg-pos 57 15.9 -16.8 42.1 -0.6 -0.9 -0.2 26.4 -71.0
pair MACDhist MACD pos-neg 73 20.3 -18.8 43.8 -0.7 -1.0 -0.2 25.1 -77.8
pair MACD MACDhist pos-neg 73 20.3 -18.8 43.8 -0.7 -1.0 -0.2 25.1 -77.8
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 4.5 -23.9 37.5 -1.5 -1.9 -0.8 17.4 -29.1
pair RSI LWTI pos-neg 16 4.5 -23.9 37.5 -1.5 -1.9 -0.8 17.4 -29.1
pair MACD LWTI pos-neg 20 5.6 -38.4 35.0 -1.5 -1.9 -0.6 29.0 -60.4
pair LWTI MACD pos-neg 20 5.6 -38.4 35.0 -1.5 -1.9 -0.6 29.0 -60.4
pair RSIhist SLmean neg-pos 12 3.3 -44.2 16.7 -2.5 -2.8 -0.9 22.3 -48.1
pair SLmean RSIhist neg-pos 12 3.3 -44.2 16.7 -2.5 -2.8 -0.9 22.3 -48.1

All Contingency Tables for EWG

Click summary to collapse/expand individual pair analysis

MRmean × SLmean
SLmean
pos		SLmean
neg		MRmean
only
MRmean
pos
CAGR 11.3% | Win 61%
Sharpe 0.70 | Sortino 1.06 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 205M (57%)
CAGR -0.9% | Win 52%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 22% | MDD -23.6%
Months 23M (6%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
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 -1.8% | Win 50%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 31% | MDD -71.8%
Months 113M (32%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
SLmean
only
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
MRmean × RSmean
RSmean
pos		RSmean
neg		MRmean
only
MRmean
pos
CAGR 9.6% | Win 60%
Sharpe 0.60 | Sortino 0.87 | Calmar 0.3
Vol 18% | MDD -30.5%
Months 223M (62%)
CAGR 32.6% | Win 80%
Sharpe 1.64 | Sortino 0.00 | Calmar 4.7
Vol 18% | MDD -6.9%
Months 5M (1%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
MRmean
neg
CAGR -1.8% | Win 48%
Sharpe 0.10 | Sortino 0.16 | Calmar -0.0
Vol 31% | MDD -72.8%
Months 114M (32%)
CAGR 18.4% | Win 65%
Sharpe 1.99 | Sortino 2.59 | Calmar 10.1
Vol 9% | MDD -1.8%
Months 17M (5%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
RSmean
only
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (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 6.4% | Win 59%
Sharpe 0.44 | Sortino 0.59 | Calmar 0.2
Vol 18% | MDD -32.9%
Months 169M (47%)
CAGR 21.3% | Win 63%
Sharpe 1.09 | Sortino 2.01 | Calmar 1.0
Vol 20% | MDD -20.7%
Months 59M (16%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
MRmean
neg
CAGR -16.8% | Win 42%
Sharpe -0.56 | Sortino -0.86 | Calmar -0.2
Vol 26% | MDD -71.0%
Months 57M (16%)
CAGR 16.5% | Win 57%
Sharpe 0.65 | Sortino 0.87 | Calmar 0.3
Vol 31% | MDD -48.1%
Months 74M (21%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
MACD
only
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (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 9.0% | Win 61%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.3
Vol 18% | MDD -34.5%
Months 209M (58%)
CAGR 21.9% | Win 53%
Sharpe 1.01 | Sortino 2.05 | Calmar 1.3
Vol 22% | MDD -17.0%
Months 19M (5%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
MRmean
neg
CAGR -6.0% | Win 46%
Sharpe -0.28 | Sortino -0.38 | Calmar -0.1
Vol 17% | MDD -44.4%
Months 41M (11%)
CAGR 3.8% | Win 52%
Sharpe 0.28 | Sortino 0.43 | Calmar 0.1
Vol 34% | MDD -69.7%
Months 90M (25%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
RSI
only
CAGR 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
MRmean × MACDhist
MACDhist
pos		MACDhist
neg		MRmean
only
MRmean
pos
CAGR 11.0% | Win 60%
Sharpe 0.71 | Sortino 1.04 | Calmar 0.3
Vol 17% | MDD -31.6%
Months 174M (48%)
CAGR 6.9% | Win 59%
Sharpe 0.41 | Sortino 0.62 | Calmar 0.2
Vol 22% | MDD -30.5%
Months 54M (15%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (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 -0.4% | Win 52%
Sharpe 0.13 | Sortino 0.19 | Calmar -0.0
Vol 29% | MDD -73.0%
Months 118M (33%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
MACDhist
only
CAGR 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
MRmean × RSIhist
RSIhist
pos		RSIhist
neg		MRmean
only
MRmean
pos
CAGR 13.0% | Win 61%
Sharpe 0.78 | Sortino 1.22 | Calmar 0.5
Vol 18% | MDD -26.3%
Months 178M (50%)
CAGR 0.2% | Win 56%
Sharpe 0.11 | Sortino 0.13 | Calmar 0.0
Vol 19% | MDD -33.8%
Months 50M (14%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
MRmean
neg
CAGR -13.2% | Win 40%
Sharpe -0.41 | Sortino -0.57 | Calmar -0.4
Vol 26% | MDD -34.7%
Months 20M (6%)
CAGR 3.3% | Win 52%
Sharpe 0.26 | Sortino 0.38 | Calmar 0.1
Vol 30% | MDD -59.3%
Months 111M (31%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
RSIhist
only
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
MRmean × LWTI
LWTI
pos		LWTI
neg		MRmean
only
MRmean
pos
CAGR 10.4% | Win 61%
Sharpe 0.64 | Sortino 0.90 | Calmar 0.3
Vol 18% | MDD -32.4%
Months 204M (57%)
CAGR 6.7% | Win 50%
Sharpe 0.48 | Sortino 1.22 | Calmar 0.4
Vol 16% | MDD -18.8%
Months 24M (7%)
CAGR 10.0% | Win 60%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.3
Vol 18% | MDD -33.6%
Months 228M (64%)
MRmean
neg
CAGR 9.4% | Win 53%
Sharpe 0.50 | Sortino 0.84 | Calmar 0.3
Vol 23% | MDD -30.0%
Months 64M (18%)
CAGR -7.1% | Win 48%
Sharpe -0.04 | Sortino -0.06 | Calmar -0.1
Vol 34% | MDD -72.4%
Months 67M (19%)
CAGR 0.6% | Win 50%
Sharpe 0.17 | Sortino 0.25 | Calmar 0.0
Vol 29% | MDD -73.3%
Months 131M (36%)
LWTI
only
CAGR 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 11.0% | Win 60%
Sharpe 0.67 | Sortino 1.07 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 217M (60%)
CAGR 42.4% | Win 83%
Sharpe 2.17 | Sortino 0.00 | Calmar 6.2
Vol 17% | MDD -6.9%
Months 6M (2%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
SLmean
neg
CAGR -3.6% | Win 48%
Sharpe 0.04 | Sortino 0.06 | Calmar -0.1
Vol 31% | MDD -70.6%
Months 120M (33%)
CAGR 14.4% | Win 62%
Sharpe 1.75 | Sortino 2.07 | Calmar 7.9
Vol 8% | MDD -1.8%
Months 16M (4%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
RSmean
only
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (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 7.3% | Win 60%
Sharpe 0.50 | Sortino 0.72 | Calmar 0.3
Vol 17% | MDD -28.1%
Months 158M (44%)
CAGR 23.6% | Win 63%
Sharpe 1.17 | Sortino 2.27 | Calmar 0.9
Vol 20% | MDD -26.3%
Months 65M (18%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
SLmean
neg
CAGR -15.1% | Win 44%
Sharpe -0.49 | Sortino -0.71 | Calmar -0.2
Vol 26% | MDD -74.0%
Months 68M (19%)
CAGR 14.0% | Win 56%
Sharpe 0.58 | Sortino 0.76 | Calmar 0.3
Vol 32% | MDD -47.7%
Months 68M (19%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
MACD
only
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (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 9.0% | Win 60%
Sharpe 0.58 | Sortino 0.88 | Calmar 0.3
Vol 17% | MDD -31.6%
Months 194M (54%)
CAGR 32.3% | Win 62%
Sharpe 1.45 | Sortino 3.05 | Calmar 1.7
Vol 21% | MDD -18.9%
Months 29M (8%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
SLmean
neg
CAGR -2.1% | Win 52%
Sharpe -0.02 | Sortino -0.02 | Calmar -0.0
Vol 18% | MDD -47.1%
Months 56M (16%)
CAGR -1.3% | Win 49%
Sharpe 0.14 | Sortino 0.22 | Calmar -0.0
Vol 35% | MDD -69.5%
Months 80M (22%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
RSI
only
CAGR 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
SLmean × MACDhist
MACDhist
pos		MACDhist
neg		SLmean
only
SLmean
pos
CAGR 12.8% | Win 61%
Sharpe 0.84 | Sortino 1.35 | Calmar 0.4
Vol 16% | MDD -34.7%
Months 155M (43%)
CAGR 9.5% | Win 59%
Sharpe 0.52 | Sortino 0.85 | Calmar 0.3
Vol 22% | MDD -28.1%
Months 68M (19%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (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 -2.9% | Win 51%
Sharpe 0.05 | Sortino 0.07 | Calmar -0.0
Vol 30% | MDD -72.9%
Months 104M (29%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
MACDhist
only
CAGR 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
SLmean × RSIhist
RSIhist
pos		RSIhist
neg		SLmean
only
SLmean
pos
CAGR 14.9% | Win 62%
Sharpe 0.87 | Sortino 1.38 | Calmar 0.6
Vol 18% | MDD -26.3%
Months 186M (52%)
CAGR -2.9% | Win 54%
Sharpe -0.08 | Sortino -0.12 | Calmar -0.1
Vol 17% | MDD -31.6%
Months 37M (10%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
SLmean
neg
CAGR -44.2% | Win 17%
Sharpe -2.45 | Sortino -2.80 | Calmar -0.9
Vol 22% | MDD -48.1%
Months 12M (3%)
CAGR 3.9% | Win 53%
Sharpe 0.28 | Sortino 0.40 | Calmar 0.1
Vol 29% | MDD -60.3%
Months 124M (34%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
RSIhist
only
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
SLmean × LWTI
LWTI
pos		LWTI
neg		SLmean
only
SLmean
pos
CAGR 11.3% | Win 62%
Sharpe 0.69 | Sortino 1.03 | Calmar 0.3
Vol 18% | MDD -35.5%
Months 188M (52%)
CAGR 14.4% | Win 54%
Sharpe 0.81 | Sortino 1.91 | Calmar 0.9
Vol 19% | MDD -16.7%
Months 35M (10%)
CAGR 11.8% | Win 60%
Sharpe 0.71 | Sortino 1.13 | Calmar 0.4
Vol 18% | MDD -28.1%
Months 223M (62%)
SLmean
neg
CAGR 7.6% | Win 54%
Sharpe 0.43 | Sortino 0.65 | Calmar 0.2
Vol 24% | MDD -36.3%
Months 80M (22%)
CAGR -13.4% | Win 45%
Sharpe -0.22 | Sortino -0.33 | Calmar -0.2
Vol 36% | MDD -69.5%
Months 56M (16%)
CAGR -1.6% | Win 50%
Sharpe 0.09 | Sortino 0.13 | Calmar -0.0
Vol 29% | MDD -71.2%
Months 136M (38%)
LWTI
only
CAGR 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 -1.2% | Win 54%
Sharpe 0.05 | Sortino 0.06 | Calmar -0.0
Vol 20% | MDD -75.9%
Months 220M (61%)
CAGR 19.6% | Win 59%
Sharpe 0.79 | Sortino 1.12 | Calmar 0.4
Vol 28% | MDD -49.1%
Months 117M (33%)
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (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 -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (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 5.0% | Win 57%
Sharpe 0.36 | Sortino 0.52 | Calmar 0.1
Vol 18% | MDD -49.7%
Months 235M (66%)
CAGR 7.1% | Win 52%
Sharpe 0.37 | Sortino 0.57 | Calmar 0.1
Vol 33% | MDD -61.9%
Months 102M (28%)
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (94%)
RSmean
neg
CAGR 31.7% | Win 73%
Sharpe 3.73 | Sortino 30.82 | Calmar 35.9
Vol 8% | MDD -0.9%
Months 15M (4%)
CAGR 2.1% | Win 57%
Sharpe 0.20 | Sortino 0.31 | Calmar 0.3
Vol 16% | MDD -7.8%
Months 7M (2%)
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 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
RSmean × MACDhist
MACDhist
pos		MACDhist
neg		RSmean
only
RSmean
pos
CAGR 10.8% | Win 58%
Sharpe 0.65 | Sortino 0.92 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 183M (51%)
CAGR -0.2% | Win 53%
Sharpe 0.13 | Sortino 0.20 | Calmar -0.0
Vol 28% | MDD -74.8%
Months 154M (43%)
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (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 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
RSmean × RSIhist
RSIhist
pos		RSIhist
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 59%
Sharpe 0.56 | Sortino 0.83 | Calmar 0.2
Vol 19% | MDD -43.2%
Months 189M (53%)
CAGR 1.2% | Win 52%
Sharpe 0.18 | Sortino 0.27 | Calmar 0.0
Vol 28% | MDD -61.4%
Months 148M (41%)
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (94%)
RSmean
neg
CAGR 28.7% | Win 67%
Sharpe 1.84 | Sortino 1.81 | Calmar 4.2
Vol 14% | MDD -6.9%
Months 9M (2%)
CAGR 16.7% | Win 69%
Sharpe 1.83 | Sortino 2.01 | Calmar 18.9
Vol 9% | MDD -0.9%
Months 13M (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 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
RSmean × LWTI
LWTI
pos		LWTI
neg		RSmean
only
RSmean
pos
CAGR 9.2% | Win 58%
Sharpe 0.54 | Sortino 0.82 | Calmar 0.2
Vol 20% | MDD -40.0%
Months 248M (69%)
CAGR -3.9% | Win 48%
Sharpe 0.03 | Sortino 0.04 | Calmar -0.1
Vol 31% | MDD -68.9%
Months 89M (25%)
CAGR 5.6% | Win 56%
Sharpe 0.35 | Sortino 0.50 | Calmar 0.1
Vol 23% | MDD -63.8%
Months 337M (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 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 3.7% | Win 57%
Sharpe 0.30 | Sortino 0.41 | Calmar 0.1
Vol 18% | MDD -47.4%
Months 199M (55%)
CAGR -23.8% | Win 41%
Sharpe -0.64 | Sortino -1.15 | Calmar -0.4
Vol 33% | MDD -54.7%
Months 27M (8%)
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (63%)
MACD
neg
CAGR 17.6% | Win 65%
Sharpe 1.04 | Sortino 1.72 | Calmar 1.1
Vol 17% | MDD -16.3%
Months 51M (14%)
CAGR 19.2% | Win 56%
Sharpe 0.73 | Sortino 1.03 | Calmar 0.4
Vol 31% | MDD -49.6%
Months 82M (23%)
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 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
MACD × MACDhist
MACDhist
pos		MACDhist
neg		MACD
only
MACD
pos
CAGR 10.4% | Win 60%
Sharpe 0.67 | Sortino 0.94 | Calmar 0.3
Vol 17% | MDD -34.9%
Months 153M (43%)
CAGR -18.8% | Win 44%
Sharpe -0.70 | Sortino -1.03 | Calmar -0.2
Vol 25% | MDD -77.8%
Months 73M (20%)
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (63%)
MACD
neg
CAGR 13.8% | Win 53%
Sharpe 0.65 | Sortino 0.97 | Calmar 0.8
Vol 24% | MDD -18.3%
Months 34M (10%)
CAGR 20.3% | Win 62%
Sharpe 0.82 | Sortino 1.10 | Calmar 0.4
Vol 27% | MDD -49.6%
Months 99M (28%)
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 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
MACD × RSIhist
RSIhist
pos		RSIhist
neg		MACD
only
MACD
pos
CAGR 8.4% | Win 60%
Sharpe 0.55 | Sortino 0.76 | Calmar 0.3
Vol 18% | MDD -26.0%
Months 129M (36%)
CAGR -10.2% | Win 47%
Sharpe -0.34 | Sortino -0.48 | Calmar -0.1
Vol 23% | MDD -75.5%
Months 97M (27%)
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (63%)
MACD
neg
CAGR 13.2% | Win 56%
Sharpe 0.69 | Sortino 1.11 | Calmar 0.4
Vol 21% | MDD -32.7%
Months 69M (19%)
CAGR 24.7% | Win 62%
Sharpe 0.87 | Sortino 1.12 | Calmar 0.8
Vol 31% | MDD -32.7%
Months 64M (18%)
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 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
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 206M (57%)
CAGR -38.4% | Win 35%
Sharpe -1.49 | Sortino -1.93 | Calmar -0.6
Vol 29% | MDD -60.4%
Months 20M (6%)
CAGR -0.0% | Win 55%
Sharpe 0.10 | Sortino 0.14 | Calmar -0.0
Vol 20% | MDD -74.8%
Months 226M (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 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 10.1% | Win 60%
Sharpe 0.68 | Sortino 0.98 | Calmar 0.3
Vol 16% | MDD -29.2%
Months 169M (47%)
CAGR -0.9% | Win 56%
Sharpe 0.06 | Sortino 0.08 | Calmar -0.0
Vol 20% | MDD -54.5%
Months 81M (23%)
CAGR 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
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 4.3% | Win 53%
Sharpe 0.29 | Sortino 0.44 | Calmar 0.1
Vol 32% | MDD -68.9%
Months 91M (25%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
MACDhist
only
CAGR 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
RSI × RSIhist
RSIhist
pos		RSIhist
neg		RSI
only
RSI
pos
CAGR 9.9% | Win 61%
Sharpe 0.62 | Sortino 0.91 | Calmar 0.4
Vol 18% | MDD -26.3%
Months 168M (47%)
CAGR -0.4% | Win 54%
Sharpe 0.07 | Sortino 0.09 | Calmar -0.0
Vol 17% | MDD -49.6%
Months 82M (23%)
CAGR 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
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 5.2% | Win 53%
Sharpe 0.32 | Sortino 0.50 | Calmar 0.1
Vol 34% | MDD -58.0%
Months 79M (22%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
RSIhist
only
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
RSI × LWTI
LWTI
pos		LWTI
neg		RSI
only
RSI
pos
CAGR 8.9% | Win 60%
Sharpe 0.58 | Sortino 0.81 | Calmar 0.2
Vol 18% | MDD -35.8%
Months 234M (65%)
CAGR -23.9% | Win 38%
Sharpe -1.47 | Sortino -1.90 | Calmar -0.8
Vol 17% | MDD -29.1%
Months 16M (4%)
CAGR 6.4% | Win 58%
Sharpe 0.44 | Sortino 0.62 | Calmar 0.1
Vol 18% | MDD -46.4%
Months 250M (70%)
RSI
neg
CAGR 19.7% | Win 56%
Sharpe 0.74 | Sortino 1.44 | Calmar 1.1
Vol 31% | MDD -18.1%
Months 34M (10%)
CAGR 1.3% | Win 51%
Sharpe 0.21 | Sortino 0.29 | Calmar 0.0
Vol 32% | MDD -66.2%
Months 75M (21%)
CAGR 6.7% | Win 52%
Sharpe 0.37 | Sortino 0.56 | Calmar 0.1
Vol 32% | MDD -62.3%
Months 109M (30%)
LWTI
only
CAGR 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 11.7% | Win 60%
Sharpe 0.77 | Sortino 1.34 | Calmar 0.4
Vol 16% | MDD -26.6%
Months 145M (40%)
CAGR 8.7% | Win 55%
Sharpe 0.46 | Sortino 0.56 | Calmar 0.2
Vol 25% | MDD -38.1%
Months 42M (12%)
CAGR 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
MACDhist
neg
CAGR 5.6% | Win 57%
Sharpe 0.34 | Sortino 0.46 | Calmar 0.1
Vol 25% | MDD -37.9%
Months 53M (15%)
CAGR 0.2% | Win 53%
Sharpe 0.15 | Sortino 0.22 | Calmar 0.0
Vol 28% | MDD -63.5%
Months 119M (33%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
RSIhist
only
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
MACDhist × LWTI
LWTI
pos		LWTI
neg		MACDhist
only
MACDhist
pos
CAGR 10.7% | Win 59%
Sharpe 0.64 | Sortino 0.91 | Calmar 0.3
Vol 19% | MDD -39.5%
Months 180M (50%)
CAGR 19.2% | Win 57%
Sharpe 1.31 | Sortino 2.09 | Calmar 2.7
Vol 14% | MDD -7.1%
Months 7M (2%)
CAGR 11.0% | Win 59%
Sharpe 0.66 | Sortino 0.94 | Calmar 0.3
Vol 18% | MDD -39.5%
Months 187M (52%)
MACDhist
neg
CAGR 9.2% | Win 60%
Sharpe 0.51 | Sortino 0.85 | Calmar 0.4
Vol 22% | MDD -22.5%
Months 88M (24%)
CAGR -5.3% | Win 48%
Sharpe -0.01 | Sortino -0.02 | Calmar -0.1
Vol 32% | MDD -71.7%
Months 84M (23%)
CAGR 1.8% | Win 54%
Sharpe 0.20 | Sortino 0.30 | Calmar 0.0
Vol 27% | MDD -75.2%
Months 172M (48%)
LWTI
only
CAGR 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (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 14.7% | Win 63%
Sharpe 0.86 | Sortino 1.28 | Calmar 0.6
Vol 18% | MDD -26.3%
Months 160M (45%)
CAGR -7.7% | Win 42%
Sharpe -0.26 | Sortino -0.38 | Calmar -0.2
Vol 22% | MDD -32.7%
Months 38M (11%)
CAGR 10.0% | Win 59%
Sharpe 0.60 | Sortino 0.89 | Calmar 0.2
Vol 19% | MDD -43.7%
Months 198M (55%)
RSIhist
neg
CAGR 3.8% | Win 54%
Sharpe 0.28 | Sortino 0.42 | Calmar 0.1
Vol 22% | MDD -40.7%
Months 108M (30%)
CAGR -0.6% | Win 53%
Sharpe 0.16 | Sortino 0.23 | Calmar -0.0
Vol 36% | MDD -58.0%
Months 53M (15%)
CAGR 2.3% | Win 53%
Sharpe 0.22 | Sortino 0.31 | Calmar 0.0
Vol 27% | MDD -60.3%
Months 161M (45%)
LWTI
only
CAGR 10.2% | Win 59%
Sharpe 0.59 | Sortino 0.88 | Calmar 0.3
Vol 20% | MDD -36.4%
Months 268M (75%)
CAGR -3.7% | Win 48%
Sharpe 0.03 | Sortino 0.05 | Calmar -0.1
Vol 30% | MDD -69.2%
Months 91M (25%)